XML 77 R63.htm IDEA: XBRL DOCUMENT v3.19.1
Fair Value - Financial Statement Items Measured at Fair Value on a Recurring Basis (Details) - USD ($)
$ in Thousands
Mar. 31, 2019
Dec. 31, 2018
Assets:    
Short-term investments at fair value $ 149,372 $ 117,824
Mortgage loans held for sale 2,668,929 2,521,647
Derivative assets:    
Derivative asset, before netting 185,282 123,316
Netting (64,129) (26,969)
Total derivative assets 121,153 96,347
Mortgage servicing rights at fair value 2,675,704 2,807,333
Derivative liabilities:    
Derivative liability, before netting 31,315 28,146
Netting (13,477) (25,082)
Net amounts of liabilities presented in the consolidated balance sheet 17,838 3,064
Mortgage servicing liabilities 7,844 8,681
PMT    
Derivative assets:    
Investment in PennyMac Mortgage Investment Trust 1,553 1,397
Interest rate lock commitments    
Derivative assets:    
Total derivative assets 68,248 50,507
Forward contracts | Purchases    
Derivative assets:    
Derivative asset, before netting 61,932 35,916
Derivative liabilities:    
Derivative liability, before netting 3,170 215
Forward contracts | Sales    
Derivative assets:    
Derivative asset, before netting 1,215 437
Derivative liabilities:    
Derivative liability, before netting 25,962 26,762
MBS put options    
Derivative assets:    
Derivative asset, before netting 6,287 720
MBS call options    
Derivative assets:    
Derivative asset, before netting 6,251 2,135
Call options on interest rate futures | Purchases    
Derivative assets:    
Derivative asset, before netting 14,078 5,965
Put options on interest rate futures | Purchases    
Derivative assets:    
Derivative asset, before netting 2,639 866
Recurring basis    
Assets:    
Short-term investments at fair value 149,372 117,824
Mortgage loans held for sale 2,668,929 2,521,647
Derivative assets:    
Derivative asset, before netting 185,282 123,316
Netting (64,129) (26,969)
Total derivative assets 121,153 96,347
Mortgage servicing rights at fair value 2,905,090 2,820,612
Total assets 5,846,097 5,557,827
Derivative liabilities:    
Derivative liability, before netting 31,315 28,146
Netting (13,477) (25,082)
Net amounts of liabilities presented in the consolidated balance sheet 17,838 3,064
Mortgage servicing liabilities 7,844 8,681
Total liabilities 230,763 227,855
Recurring basis | PMT    
Derivative assets:    
Investment in PennyMac Mortgage Investment Trust 1,553 1,397
Derivative liabilities:    
Excess servicing spread financing at fair value to affiliate 205,081 216,110
Recurring basis | Interest rate lock commitments    
Derivative assets:    
Derivative asset, before netting 68,248 50,507
Derivative liabilities:    
Derivative liability, before netting 2,183 1,169
Recurring basis | Repurchase agreement derivatives    
Derivative assets:    
Derivative asset, before netting 24,632 26,770
Recurring basis | Forward contracts | Purchases    
Derivative assets:    
Derivative asset, before netting 61,932 35,916
Derivative liabilities:    
Derivative liability, before netting 3,170 215
Recurring basis | Forward contracts | Sales    
Derivative assets:    
Derivative asset, before netting 1,215 437
Derivative liabilities:    
Derivative liability, before netting 25,962 26,762
Recurring basis | MBS put options    
Derivative assets:    
Derivative asset, before netting 6,287 720
Recurring basis | MBS call options    
Derivative assets:    
Derivative asset, before netting 6,251 2,135
Recurring basis | Call options on interest rate futures | Purchases    
Derivative assets:    
Derivative asset, before netting 14,078 5,965
Recurring basis | Put options on interest rate futures | Purchases    
Derivative assets:    
Derivative asset, before netting 2,639 866
Recurring basis | Level 1    
Assets:    
Short-term investments at fair value 149,372 117,824
Derivative assets:    
Derivative asset, before netting 16,717 6,831
Total derivative assets 16,717 6,831
Total assets 167,642 126,052
Recurring basis | Level 1 | PMT    
Derivative assets:    
Investment in PennyMac Mortgage Investment Trust 1,553 1,397
Recurring basis | Level 1 | Call options on interest rate futures | Purchases    
Derivative assets:    
Derivative asset, before netting 14,078 5,965
Recurring basis | Level 1 | Put options on interest rate futures | Purchases    
Derivative assets:    
Derivative asset, before netting 2,639 866
Recurring basis | Level 2    
Assets:    
Mortgage loans held for sale 2,213,396 2,261,639
Derivative assets:    
Derivative asset, before netting 75,685 39,208
Total derivative assets 75,685 39,208
Total assets 2,289,081 2,300,847
Derivative liabilities:    
Derivative liability, before netting 29,132 26,977
Net amounts of liabilities presented in the consolidated balance sheet 29,132 26,977
Total liabilities 29,132 26,977
Recurring basis | Level 2 | Forward contracts | Purchases    
Derivative assets:    
Derivative asset, before netting 61,932 35,916
Derivative liabilities:    
Derivative liability, before netting 3,170 215
Recurring basis | Level 2 | Forward contracts | Sales    
Derivative assets:    
Derivative asset, before netting 1,215 437
Derivative liabilities:    
Derivative liability, before netting 25,962 26,762
Recurring basis | Level 2 | MBS put options    
Derivative assets:    
Derivative asset, before netting 6,287 720
Recurring basis | Level 2 | MBS call options    
Derivative assets:    
Derivative asset, before netting 6,251 2,135
Recurring basis | Level 3    
Assets:    
Mortgage loans held for sale 455,533 260,008
Derivative assets:    
Derivative asset, before netting 92,880 77,277
Total derivative assets 92,880 77,277
Mortgage servicing rights at fair value 2,905,090 2,820,612
Total assets 3,453,503 3,157,897
Derivative liabilities:    
Derivative liability, before netting 2,183 1,169
Net amounts of liabilities presented in the consolidated balance sheet 2,183 1,169
Mortgage servicing liabilities 7,844 8,681
Total liabilities 215,108 225,960
Recurring basis | Level 3 | PMT    
Derivative liabilities:    
Excess servicing spread financing at fair value to affiliate 205,081 216,110
Recurring basis | Level 3 | Interest rate lock commitments    
Derivative assets:    
Derivative asset, before netting 68,248 50,507
Derivative liabilities:    
Derivative liability, before netting 2,183 1,169
Recurring basis | Level 3 | Repurchase agreement derivatives    
Derivative assets:    
Derivative asset, before netting $ 24,632 $ 26,770