Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2023 | May 02, 2023 | |
Document And Entity Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Mar. 31, 2023 | |
Document Fiscal Year Focus | 2023 | |
Document Fiscal Period Focus | Q1 | |
Entity Registrant Name | PennyMac Mortgage Investment Trust | |
Entity Central Index Key | 0001464423 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Large Accelerated Filer | |
Entity Current Reporting Status | Yes | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 87,556,352 | |
Entity File Number | 001-34416 | |
Entity Incorporation, State or Country Code | MD | |
Entity Tax Identification Number | 27-0186273 | |
Entity Address, Address Line One | 3043 Townsgate Road | |
Entity Address, City or Town | Westlake Village | |
Entity Address, State or Province | CA | |
Entity Address, Postal Zip Code | 91361 | |
City Area Code | 818 | |
Local Phone Number | 224-7442 | |
Entity Interactive Data Current | Yes | |
Document Quarterly Report | true | |
Document Transition Report | false | |
Common Stock [Member] | ||
Document And Entity Information [Line Items] | ||
Title of 12(b) Security | Common Shares of Beneficial Interest, $0.01 Par Value | |
Trading Symbol | PMT | |
Security Exchange Name | NYSE | |
8.125% Series A Preferred Stock [Member] | ||
Document And Entity Information [Line Items] | ||
Title of 12(b) Security | 8.125% Series A Cumulative Redeemable PreferredShares of Beneficial Interest, $0.01 Par Value | |
Trading Symbol | PMT/PA | |
Security Exchange Name | NYSE | |
8.00% Series B Preferred Stock [Member] | ||
Document And Entity Information [Line Items] | ||
Title of 12(b) Security | 8.00% Series B Cumulative Redeemable PreferredShares of Beneficial Interest, $0.01 Par Value | |
Trading Symbol | PMT/PB | |
Security Exchange Name | NYSE | |
6.75% Series C Preferred Stock [Member] | ||
Document And Entity Information [Line Items] | ||
Title of 12(b) Security | 6.75% Series C Cumulative Redeemable PreferredShares of Beneficial Interest, $0.01 Par Value | |
Trading Symbol | PMT/PC | |
Security Exchange Name | NYSE |
Consolidated Balance Sheets (Un
Consolidated Balance Sheets (Unaudited) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
ASSETS | ||
Cash | $ 118,672 | $ 111,866 |
Short-term investments at fair value | 292,153 | 252,271 |
Mortgage-backed securities at fair value ($4,616,580 and $4,462,601 pledged to creditors, respectively) | 4,629,004 | 4,462,601 |
Loans acquired for sale at fair value ($3,117,294 and $1,801,368 pledged to creditors, respectively) | 3,143,518 | 1,821,933 |
Loans at fair value ($1,499,117 and $1,510,148 pledged to creditors, respectively) | 1,502,471 | 1,513,399 |
Derivative assets at fair value | 62,506 | 62,811 |
Derivative assets ($2,883 and $1,262 pledged to creditors, respectively) | 89,285 | 84,940 |
Deposits securing credit risk transfer arrangements pledged to creditors | 1,297,917 | 1,325,294 |
Mortgage servicing rights at fair value ($3,926,160 and $3,962,820 pledged to creditors, respectively) | 3,975,076 | 4,012,737 |
Servicing advances ($76,664 and $100,888 pledged to creditors, respectively) | 138,716 | 197,972 |
Other ($3,554 and $3,297 pledged to creditors, respectively) | 170,417 | 134,991 |
Total assets | 15,357,229 | 13,921,564 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 8,114,108 | 6,616,528 |
Notes payable secured by credit risk transfer and mortgage servicing assets | 2,790,958 | 2,804,028 |
Exchangeable senior notes | 547,003 | 546,254 |
Asset-backed financing of variable interest entities at fair value | 1,403,080 | 1,414,955 |
Interest-only security payable at fair value | 23,205 | 21,925 |
Derivative and credit risk transfer strip liabilities at fair value | 138,469 | 167,226 |
Unsettled securities trades | 12,424 | 0 |
Accounts payable and accrued liabilities | 152,793 | 160,212 |
Income taxes payable | 129,882 | 151,778 |
Liability for losses under representations and warranties | 39,407 | 39,471 |
Total liabilities | 13,386,495 | 11,958,749 |
Commitments and contingencies ─ Note 17 | ||
SHAREHOLDERS’ EQUITY | ||
Preferred shares of beneficial interest, $0.01 par value per share, authorized 100,000,000 shares, issued and outstanding 22,400,000, liquidation preference $560,000,000 | 541,482 | 541,482 |
Common shares of beneficial interest-authorized, 500,000,000 common shares of $0.01 par value; issued and outstanding, 88,385,614 and 88,888,889 common shares, respectively | 884 | 889 |
Additional paid-in capital | 1,940,297 | 1,947,266 |
Accumulated deficit | (511,929) | (526,822) |
Total shareholders’ equity | 1,970,734 | 1,962,815 |
Total liabilities and shareholders’ equity | 15,357,229 | 13,921,564 |
Variable Interest Entities [Member] | ||
ASSETS | ||
Loans at fair value ($1,499,117 and $1,510,148 pledged to creditors, respectively) | 1,498,923 | 1,509,942 |
Derivative assets at fair value | 2,883 | 1,262 |
Deposits securing credit risk transfer arrangements pledged to creditors | 1,297,917 | 1,325,294 |
Other interest receivable | 4,287 | 4,343 |
Total assets | 2,804,010 | 2,840,841 |
LIABILITIES | ||
Asset-backed financing of variable interest entities at fair value | 1,403,080 | 1,414,955 |
Interest-only security payable at fair value | 23,205 | 21,925 |
Derivative and credit risk transfer strip liabilities at fair value | 129,808 | 160,553 |
Accounts payable and accrued liabilities interest payable | 4,287 | 4,343 |
Total liabilities | 1,560,380 | 1,601,776 |
PennyMac Financial Services, Inc. [Member] | ||
ASSETS | ||
Due from PennyMac Financial Services, Inc. | 0 | 3,560 |
LIABILITIES | ||
Due to PennyMac Financial Services, Inc. | $ 35,166 | $ 36,372 |
Consolidated Balance Sheets (_2
Consolidated Balance Sheets (Unaudited) (Parenthetical) - USD ($) | Mar. 31, 2023 | Dec. 31, 2022 |
Assets Sold under Agreements to Repurchase, Market Value | $ 4,616,580,000 | $ 4,462,601,000 |
Loans acquired for sale at fair value, pledged to creditors | 3,117,294,000 | 1,801,368,000 |
Loans at fair value, pledged to creditors | 1,499,117,000 | 1,510,148,000 |
Derivative assets, pledged to creditors | 2,883,000 | 1,262,000 |
Mortgage servicing rights pledged to creditors | 3,926,160,000 | 3,962,820,000 |
Servicing Advances pledged to creditors | $ 76,664,000 | $ 100,888,000 |
Preferred stock, par value | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized | 100,000,000 | 100,000,000 |
Preferred stock, shares issued | 22,400,000 | 22,400,000 |
Preferred stock, shares outstanding | 22,400,000 | 22,400,000 |
Preferred stock, liquidation preference, value | $ 560,000,000 | $ 560,000,000 |
Common shares, authorized | 500,000,000 | 500,000,000 |
Common shares, par value | $ 0.01 | $ 0.01 |
Common shares, issued | 88,385,614 | 88,888,889 |
Common shares, outstanding | 88,385,614 | 88,888,889 |
Real Estate Acquired in Satisfaction of Debt [Member] | ||
Other, pledged to creditors | $ 3,554,000 | $ 3,297,000 |
Consolidated Statements of Oper
Consolidated Statements of Operations (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Net investment income | ||
Net gains (losses) on investments and financings | $ 125,804 | $ (229,095) |
Contractually specified | 164,214 | 146,885 |
Other | 3,943 | 9,114 |
Net mortgage loan servicing fees | 168,157 | 155,999 |
Change in fair value of mortgage servicing rights | (137,444) | 303,721 |
Mortgage servicing rights hedging results | (54,891) | (163,802) |
Net servicing fees from non-affiliates | (23,693) | 304,178 |
Net gains on loans acquired for sale: | 6,473 | 3,953 |
Loan origination fees | 7,706 | 14,774 |
Interest income | 153,019 | 51,063 |
Interest expense | 179,137 | 63,514 |
Net interest expense | (26,118) | (12,451) |
Results of real estate acquired in settlement of loans | 56 | 230 |
Other | 138 | 250 |
Net investment income | 90,366 | 81,839 |
Expenses | ||
Management fees | 7,257 | 8,117 |
Loan origination | 2,178 | 2,842 |
Professional services | 1,523 | 4,025 |
Safekeeping | 1,116 | 2,395 |
Compensation | 1,539 | 1,437 |
Loan collection and liquidation | 579 | 3,177 |
Other | 5,001 | 3,946 |
Total expenses | 51,565 | 63,781 |
Income before (benefit from) provision for income taxes | 38,801 | 18,058 |
(Benefit from) provision for income taxes | (21,896) | 37,187 |
Net income (loss) | 60,697 | (19,129) |
Dividends on preferred shares | 10,455 | 10,455 |
Net income (loss) attributable to common shareholders | $ 50,242 | $ (29,584) |
(Loss) earnings per common share | ||
Basic | $ 0.56 | $ (0.32) |
Diluted | $ 0.50 | $ (0.32) |
Weighted average common shares outstanding | ||
Basic | 88,831 | 94,146 |
Diluted | 113,388 | 94,146 |
Dividends declared per common share | $ 0.40 | $ 0.47 |
Nonaffiliates [Member] | ||
Net investment income | ||
Other | $ 3,943 | $ 9,114 |
Net servicing fees from non-affiliates | (24,178) | 295,918 |
Net gains on loans acquired for sale: | 5,145 | 2,657 |
PennyMac Financial Services, Inc. [Member] | ||
Net investment income | ||
From PennyMac Financial Services, Inc. | 485 | 8,260 |
Net gains on loans acquired for sale: | 1,328 | 1,296 |
Expenses | ||
Loan servicing fees | 20,449 | 21,088 |
Loan fulfillment fees | 11,923 | 16,754 |
Management fees | $ 7,257 | $ 8,117 |
Consolidated Statements of Chan
Consolidated Statements of Changes in Shareholders' Equity (Unaudited) - USD ($) $ in Thousands | Total | Cumulative Effect, Period of Adoption, Adjustment [Member] | Cumulative Effect, Period of Adoption, Adjusted Balance [Member] | Preferred Stock | Preferred Stock Cumulative Effect, Period of Adoption, Adjustment [Member] | Preferred Stock Cumulative Effect, Period of Adoption, Adjusted Balance [Member] | Common Shares [Member] | Common Shares [Member] Cumulative Effect, Period of Adoption, Adjustment [Member] | Common Shares [Member] Cumulative Effect, Period of Adoption, Adjusted Balance [Member] | Additional Paid-in Capital [Member] | Additional Paid-in Capital [Member] Cumulative Effect, Period of Adoption, Adjustment [Member] | Additional Paid-in Capital [Member] Cumulative Effect, Period of Adoption, Adjusted Balance [Member] | Accumulated Deficit [Member] | Accumulated Deficit [Member] Cumulative Effect, Period of Adoption, Adjustment [Member] | Accumulated Deficit [Member] Cumulative Effect, Period of Adoption, Adjusted Balance [Member] |
Balance, Amount at Dec. 31, 2021 | $ 2,367,518 | $ (40,953) | $ 2,326,565 | $ 541,482 | $ 0 | $ 541,482 | $ 949 | $ 0 | $ 949 | $ 2,081,757 | $ (50,347) | $ 2,031,410 | $ (256,670) | $ 9,394 | $ (247,276) |
Balance, Shares at Dec. 31, 2021 | 22,400,000 | 0 | 22,400,000 | 94,897,000 | 0 | 94,897,000 | |||||||||
Net income (loss) | (19,129) | $ 0 | $ 0 | 0 | (19,129) | ||||||||||
Share-based compensation, Amount | 507 | 0 | $ 1 | 506 | 0 | ||||||||||
Share-based compensation, Shares | 84,000 | ||||||||||||||
Dividends: | |||||||||||||||
Preferred shares dividends | (10,454) | 0 | $ 0 | 0 | (10,454) | ||||||||||
Common share dividends | (43,722) | 0 | 0 | 0 | (43,722) | ||||||||||
Repurchase of common shares, Amount | $ (31,829) | $ 0 | $ (20) | (31,809) | 0 | ||||||||||
Repurchase of common shares, Shares | (1,974,000) | 0 | (1,974,000) | ||||||||||||
Balance, Amount at Mar. 31, 2022 | $ 2,221,938 | $ 541,482 | $ 930 | 2,000,107 | (320,581) | ||||||||||
Balance, Shares at Mar. 31, 2022 | 22,400,000 | 93,007,000 | |||||||||||||
Balance, Amount at Dec. 31, 2022 | 1,962,815 | $ 541,482 | $ 889 | 1,947,266 | (526,822) | ||||||||||
Balance, Shares at Dec. 31, 2022 | 22,400,000 | 88,889,000 | |||||||||||||
Net income (loss) | 60,697 | $ 0 | $ 0 | 0 | 60,697 | ||||||||||
Share-based compensation, Amount | 590 | 0 | $ 1 | 589 | 0 | ||||||||||
Share-based compensation, Shares | 135,000 | ||||||||||||||
Dividends: | |||||||||||||||
Preferred shares dividends | (10,455) | 0 | $ 0 | 0 | (10,455) | ||||||||||
Common share dividends | (35,349) | 0 | 0 | 0 | (35,349) | ||||||||||
Repurchase of common shares, Amount | $ (7,564) | $ 0 | $ (6) | (7,558) | 0 | ||||||||||
Repurchase of common shares, Shares | (638,000) | 0 | (638,000) | ||||||||||||
Balance, Amount at Mar. 31, 2023 | $ 1,970,734 | $ 541,482 | $ 884 | $ 1,940,297 | $ (511,929) | ||||||||||
Balance, Shares at Mar. 31, 2023 | 22,400,000 | 88,386,000 |
Consolidated Statements of Ch_2
Consolidated Statements of Changes in Shareholders' Equity (Unaudited) (Parenthetical) - $ / shares | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Dividends declared per common share | $ 0.40 | $ 0.47 |
Accumulated Deficit [Member] | ||
Dividends declared per common share | $ 0.40 | $ 0.47 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Cash flows from operating activities | ||
Net income | $ 60,697 | $ (19,129) |
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | ||
Net (gains) losses on investments and financings | (125,804) | 229,095 |
Change in fair value of mortgage servicing rights | 137,444 | (303,721) |
Mortgage servicing rights hedging results | 54,891 | 163,802 |
Net gains on loans acquired for sale | (6,473) | (3,953) |
Accrual of unearned discounts and amortization of purchase premiums on mortgage-backed securities, loans at fair value, and asset-backed financings | 1,289 | 1,526 |
Amortization of debt issuance costs | 3,762 | 4,140 |
Results of real estate acquired in settlement of loans | (56) | (230) |
Share-based compensation expense | 1,156 | 1,029 |
Purchase of loans acquired for sale at fair value from nonaffiliates | (20,417,078) | (23,072,430) |
Sale to nonaffiliates and repayment of loans acquired for sale | 5,587,266 | 11,985,961 |
Repurchase of loans subject to representation and warranties | (19,199) | (24,234) |
Decrease in servicing advances | 58,919 | 70,949 |
Repurchase of real estate previously sold as loans acquired for sale | (442) | 0 |
Increase in other assets | (36,963) | (230,332) |
(Decrease) increase in accounts payable and accrued liabilities | (7,110) | 22,601 |
Decrease in due to PennyMac Financial Services, Inc. | (1,206) | (12,369) |
(Decrease) increase in income taxes payable | (21,896) | 37,199 |
Net cash (used in) provided by operating activities | (1,276,212) | 1,747,025 |
Cash flows from investing activities | ||
Net increase in short-term investments | (39,882) | (68,469) |
Purchase of mortgage-backed securities at fair value | (2,772,168) | (661,774) |
Sale and repayment of mortgage-backed securities at fair value | 2,694,450 | 70,276 |
Repurchase of loans at fair value | (119) | 0 |
Repayment of loans at fair value | 22,182 | 51,081 |
Net settlement of derivative financial instruments | (3,352) | 2,688 |
Distribution from credit risk transfer arrangements | 42,709 | 207,014 |
Transfer of mortgage servicing rights relating to delinquent loans to Agency | 835 | 0 |
Sale of real estate acquired in settlement of loans | 760 | 2,893 |
(Increase) decrease in margin deposits | (68,158) | 199,719 |
Net cash used in investing activities | (122,743) | (196,572) |
Cash flows from financing activities | ||
Sale of assets under agreements to repurchase | 33,465,001 | 30,883,776 |
Repurchase of assets sold under agreements to repurchase | (31,968,132) | (32,463,483) |
Issuance of mortgage loan participation purchase and sale agreements | 416,243 | 999,031 |
Repayment of mortgage loan participation purchase and sale agreements | (416,243) | (983,296) |
Issuance of notes payable secured by credit risk transfer and mortgage servicing assets | 10,000 | 125,001 |
Repayment of notes payable secured by credit risk transfer and mortgage servicing assets | (24,578) | (225,927) |
Issuance of asset-backed financings at fair value | 0 | 382,423 |
Repayment of asset-backed financings at fair value | (21,493) | (49,764) |
Payment of debt issuance costs | (794) | (1,715) |
Payment of dividends to preferred shareholders | (10,455) | (10,454) |
Payment of dividends to common shareholders | (35,658) | (44,797) |
Payment of vested share-based compensation tax withholdings | (567) | (522) |
Repurchase of common shares | (7,563) | (31,829) |
Net cash provided by (used in) financing activities | 1,405,761 | (1,421,556) |
Net increase in cash | 6,806 | 128,897 |
Cash at beginning of quarter | 111,866 | 58,983 |
Cash at end of quarter | 118,672 | 187,880 |
Payments (refunds), net: | ||
Income taxes | 0 | (11) |
Interest | 189,351 | 62,903 |
Non-cash investing activities: | ||
Unsettled securities trades | 12,424 | 0 |
Receipt of mortgage servicing rights as proceeds from sales of loans | 100,618 | 194,596 |
Retention of subordinate mortgage-backed securities in loan securitizations | 0 | 23,485 |
Recognition of loans at fair value resulting from initial consolidation of variable interest entities | 0 | 405,908 |
Transfer of loans and advances to real estate acquired in settlement of loans | 797 | 0 |
Non-cash financing activities: | ||
Recognition of asset-backed financings resulting from initial consolidation of VIEs | 0 | 382,423 |
Dividends declared, not paid | 35,349 | 43,689 |
PennyMac Loan Services, LLC [Member] | ||
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | ||
Purchase of loans acquired for sale at fair value from PennyMac Financial Services, Inc. | 0 | (259,038) |
Sale of loans acquired for sale to PennyMac Financial Services, Inc. | 13,451,031 | 13,160,768 |
Decrease (increase) in due from PennyMac Financial Services, Inc. | $ 3,560 | $ (4,609) |
Organization
Organization | 3 Months Ended |
Mar. 31, 2023 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | Note 1—Organization PennyMac Mortgage Investment Trust (“PMT” or the “Company”) is a specialty finance company, which, through its subsidiaries (all of which are wholly-owned), invests primarily in residential mortgage-related assets. The Company operates in four segments: credit sensitive strategies, interest rate sensitive strategies, correspondent production, and corporate: • The credit sensitive strategies segment represents the Company’s investments in credit risk transfer (“CRT”) arrangements referencing loans from its own correspondent production, including CRT agreements (“CRT Agreements”) and other CRT securities (together, “CRT arrangements”) and subordinate mortgage-backed securities (“MBS”). • The interest rate sensitive strategies segment represents the Company’s investments in mortgage servicing rights (“MSRs”), Agency and senior non-Agency MBS and the related interest rate hedging activities. • The correspondent production segment represents the Company’s operations aimed at serving as an intermediary between lenders and the capital markets by purchasing, pooling and reselling newly originated prime credit quality loans either directly or in the form of MBS, using the services of PNMAC Capital Management, LLC (“PCM” or the “Manager”) and PennyMac Loan Services, LLC (“PLS”), both indirect controlled subsidiaries of PennyMac Financial Services, Inc. (“PFSI”), a publicly-traded mortgage banking and investment management company. The Company primarily sells the loans it acquires through its correspondent production activities to government-sponsored entities ("GSEs") such as the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or to PLS for sale into securitizations guaranteed by the Government National Mortgage Association ("GinnieMae"). Fannie Mae, Freddie Mac and Ginnie Mae are each referred to as an “Agency” and, collectively, as the “Agencies.” • The corporate segment includes management fees, corporate expense amounts and certain interest income and expense. The Company conducts substantially all of its operations and makes substantially all of its investments through its subsidiary, PennyMac Operating Partnership, L.P. (the “Operating Partnership”), and the Operating Partnership’s subsidiaries. A wholly-owned subsidiary of the Company is the sole general partner, and the Company is the sole limited partner, of the Operating Partnership. The Company believes that it qualifies, and has elected to be taxed, as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended. To maintain its tax status as a REIT, the Company is required to distribute at least 90 % of its taxable income in the form of qualifying distributions to shareholders. |
Basis of Presentation
Basis of Presentation | 3 Months Ended |
Mar. 31, 2023 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Basis of Presentation | Note 2—Basis of Presentation The Company’s consolidated financial statements have been prepared in compliance with accounting principles generally accepted in the United States (“GAAP”) as codified in the Financial Accounting Standards Board’s Accounting Standards Codification for interim financial information and with the Securities and Exchange Commission’s instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Accordingly, these financial statements and notes do not include all of the information required by GAAP for complete financial statements. This interim consolidated information should be read together with the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 2022. These unaudited consolidated financial statements reflect all normal recurring adjustments necessary to present fairly the financial position, results of operations, and cash flows for the interim periods presented, but are not necessarily indicative of the results of operations that may be anticipated for the full year. Intercompany accounts and transactions have been eliminated. Preparation of financial statements in compliance with GAAP requires the Company to make estimates and judgments that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements, and revenues and expenses during the reporting period. Actual results will likely differ from those estimates. The Company held no restricted cash during the periods presented. Therefore, the consolidated statements of cash flows do not include references to restricted cash. |
Concentration of Risks
Concentration of Risks | 3 Months Ended |
Mar. 31, 2023 | |
Risks and Uncertainties [Abstract] | |
Concentration of Risks | Note 3—Concentration of Risks As discussed in Note 1 – Organization above, PMT’s operations and investing activities are centered in residential mortgage-related assets, including CRT arrangements, subordinate MBS, Agency and senior Non-Agency MBS and MSRs. CRT arrangements and subordinate MBS are more sensitive to borrower credit performance than other mortgage-related investments such as traditional loans and Agency MBS. Fixed-rate Agency and senior non-Agency MBS are sensitive to changes in market interest rates. MSRs are sensitive to changes in prepayment rate activity and expectations. Credit Risk Note 6 – Variable Interest Entities details the Company’s investments in CRT arrangements whereby the Company sold pools of loans into Fannie Mae guaranteed loan securitizations which became reference pools underlying the CRT arrangements. Fannie Mae transferred interest-only (“IO”) ownership interests and recourse obligations based upon securitized reference pools of loans subject to the CRT arrangements into the trust entities, and the Company acquired the IO ownership interest and assumed the recourse obligations in the CRT arrangements. The Company also invests in subordinate MBS which are among the first beneficial interests in the related securitizations to absorb credit losses on the underlying loans. The Company’s retention of credit risk through its investment in CRT arrangements and subordinate MBS subjects it to risks associated with delinquency and foreclosure similar to the risks of loss associated with owning the underlying loans, which is greater than the risk of loss associated with selling such loans to Fannie Mae without the retention of such credit risk in the case of CRT arrangements and investing in senior mortgage pass through securities in the case of subordinate MBS. CRT Agreements are structured such that loans that reach a specific number of days delinquent (including loans in forbearance which also includes those subject to the forbearance provided in the Coronavirus Aid, Relief, and Economic Security Act (“CARES Act”)) trigger losses chargeable to the CRT Agreements based on the size of the loan and a contractual schedule of loss severity. Therefore, the risks associated with delinquency and foreclosure may in some instances be greater than the risks associated with owning the related loans because the structure of the CRT Agreements provides that the Company may be required to absorb losses in the event of delinquency or foreclosure even when there is ultimately no loss realized with respect to such loans (e.g., as a result of a borrower’s re-performance). In contrast, the structure of the Company’s investment in CRT strips requires PMT to absorb losses only when the reference loans realize losses. Fair Value Risk The Company is exposed to fair value risk in addition to the risks specific to credit and, as a result of prevailing market conditions or the economy generally, may be required to recognize losses associated with adverse changes to the fair value of its investments in MSRs, CRT arrangements, and MBS: • The fair value of MSRs is sensitive to changes in prepayment speeds, estimates of cost to service the underlying loans or the returns demanded by market participants; • The fair values of CRT arrangements and subordinate MBS are sensitive to market perceptions of future credit performance of the underlying loans as well as the actual credit performance of such loans and to the returns required by market participants to hold such investments; and • The fair values of fixed-rate Agency and senior non-Agency pass through MBS are sensitive to changes in market interest rates. |
Transactions with Related Parti
Transactions with Related Parties | 3 Months Ended |
Mar. 31, 2023 | |
Related Party Transactions [Abstract] | |
Transactions with Related parties | Note 4—Transactions with Related Parties The Company enters into transactions with subsidiaries of PFSI in support of its operating, investing and financing activities as summarized below. Operating Activities Correspondent Production Activities The Company is provided fulfillment and other services by PLS under an amended and restated mortgage banking services agreement. The Company does not hold the Ginnie Mae approval required to issue securities guaranteed by Ginnie Mae MBS and act as a servicer. Accordingly, under the agreement, PLS currently purchases loans saleable in accordance with the Ginnie Mae MBS Guide “as is” and without recourse of any kind from the Company at cost less any administrative fees paid by the correspondent to the Company plus accrued interest and a sourcing fee, which generally ranges from one to two basis points based on the average number of calendar days loans are held by the Company before purchase by PLS. The Company may also sell conventional loans to PLS under the same arrangement subject to mutual agreement between the parties. Fulfillment and sourcing fees are summarized below: • Fulfillment fees shall not exceed the following: (i) the number of loan commitments issued by the Company multiplied by a pull-through factor of either .99 or .80 depending on whether the loan commitments are subject to a “mandatory trade confirmation” or a “best efforts lock confirmation”, respectively, and then multiplied by $ 585 for each pull-through adjusted loan commitment up to and including 16,500 per quarter and $ 355 for each pull-through adjusted loan commitment in excess of 16,500 per quarter, plus (ii) $ 315 multiplied by the number of purchased loans up to and including 16,500 per quarter and $ 195 multiplied by the number of purchased loans in excess of 16,500 per quarter, plus (iii) $ 750 multiplied by the number of all purchased loans that are sold or securitized to parties other than Fannie Mae and Freddie Mac; provided however, that no fulfillment fee shall be due or payable to PLS with respect to any Ginnie Mae loans or, as of October 1, 2022, designated Fannie Mae or Freddie Mac loans acquired by PLS. • Sourcing fees range from one to two basis points of the unpaid principal balance (“UPB”), generally based on the average number of calendar days the loans are held by PMT before purchase by PLS. The mortgage banking services agreement expires, unless terminated earlier in accordance with its terms, on June 30, 2025 , subject to automatic renewal for additional 18 -month periods, unless terminated in accordance with its terms. The Company may purchase newly originated conforming balance non-government insured or guaranteed loans from PLS under a mortgage loan purchase and sale agreement. Following is a summary of correspondent production activity between the Company and PLS: Quarter ended March 31, 2023 2022 (in thousands) Loan fulfillment fees earned by PLS $ 11,923 $ 16,754 UPB of loans fulfilled by PLS $ 6,628,810 $ 9,769,262 Sourcing fees received from PLS included in Net gains on loans acquired for sale $ 1,328 $ 1,296 UPB of loans sold to PLS: Government guaranteed or insured $ 9,213,712 $ 12,747,779 Conventional conforming 4,062,874 — $ 13,276,586 $ 12,747,779 Purchases of loans acquired for sale from PLS $ — $ 259,038 Tax service fees paid to PLS $ 1,410 $ 2,342 March 31, 2023 December 31, 2022 (in thousands) Loans included in Loans acquired for sale at fair value $ 416,162 $ 159,671 Loan Servicing The Company, through its Operating Partnership, has a loan servicing agreement with PLS (the “Servicing Agreement”) pursuant to which PLS provides subservicing for the Company's portfolio of MSRs, loans held for sale, loans held in VIEs (prime servicing) and its portfolio of residential loans purchased with credit deterioration (special servicing). The Servicing Agreement provides for servicing fees earned by PLS that are established at a fixed per loan monthly amount based on the delinquency, bankruptcy and/or foreclosure status of the serviced loan or real estate acquired in settlement of loans (“REO”). The Servicing Agreement expires on June 30, 2025 , subject to automatic renewal for additional 18 -month periods, unless terminated earlier in accordance with its terms. Prime Servicing The base servicing fees for prime loans subserviced by PLS on the Company’s behalf are $ 7.50 per month for fixed-rate loans and $ 8.50 per month for adjustable-rate loans. To the extent that these prime loans become delinquent, PLS is entitled to an additional servicing fee per loan ranging from $ 10 to $ 55 per month and based on the delinquency, bankruptcy and foreclosure status of the loan or $ 75 per month if the underlying mortgaged property becomes REO. PLS is also entitled to customary ancillary income and certain market-based fees and charges, including boarding and deboarding fees, liquidation and disposition fees, assumption, modification and origination fees and certain fees for COVID-19 pandemic-related forbearance and modification activities it provides as required by the CARES Act. Special Servicing The base servicing fee rates for loans purchased with credit deterioration (distressed loans) range from $ 30 per month for current loans up to $ 95 per month for loans in foreclosure proceedings. The base servicing fee rate for REO is $ 75 per month. PLS also receives a supplemental servicing fee of $ 25 per month for each distressed loan. PLS receives activity-based fees for modifications, foreclosures and liquidations that it facilitates with respect to distressed loans, as well as other market-based refinancing and loan disposition fees. MSR Recapture Agreement The Company has an MSR recapture agreement with PFSI. Pursuant to the terms of the MSR recapture agreement, if PFSI refinances mortgage loans for which the Company previously held the MSRs, PFSI is generally required to transfer and convey to the Company cash in an amount equal to: • 40% of the fair market value of the MSRs relating to the recaptured loans subject to the first 15% of the “recapture rate”; • 35% of the fair market value of the MSRs relating to the recaptured loans subject to the “recapture rate” in excess of 15% and up to 30%; and • 30% of the fair market value of the MSRs relating to the recaptured loans subject to the “recapture rate” in excess of 30%. The “recapture rate” means, during each month, the ratio of (i) the aggregate unpaid principal balance of all recaptured loans, to (ii) the aggregate unpaid principal balance of all mortgage loans for which the Company held the MSRs and that were refinanced or otherwise paid off in such month. PFSI has further agreed to allocate sufficient resources to target a recapture rate of at least 15 %. The MSR recapture agreement expires, unless terminated earlier in accordance with its terms, on June 30, 2025 , subject to automatic renewal for additional 18 -month periods, unless terminated in accordance with its terms. Following is a summary of loan servicing fees earned by PLS: Quarter ended March 31, 2023 2022 (in thousands) Loan servicing fees: Loans acquired for sale at fair value $ 285 $ 264 Loans at fair value 120 210 MSRs 20,044 20,614 $ 20,449 $ 21,088 Average investment in loans: Acquired for sale at fair value $ 2,359,044 $ 2,129,668 At fair value $ 1,510,606 $ 1,559,939 Average MSR portfolio UPB $ 230,812,774 $ 217,692,169 Management Fees The Company has a management agreement with PCM pursuant to which PMT pays PCM management fees as follows: • A base management fee that is calculated quarterly and is equal to the sum of (i) 1.5 % per year of average shareholders’ equity up to $ 2 billion, (ii) 1.375 % per year of average shareholders’ equity in excess of $ 2 billion and up to $ 5 billion, and (iii) 1.25 % per year of average shareholders’ equity in excess of $ 5 billion. • A performance incentive fee that is calculated quarterly at a defined annualized percentage of the amount by which “net income,” on a rolling four-quarter basis and before deducting the incentive fee, exceeds certain levels of return on “equity.” The performance incentive fee is equal to the sum of: (a) 10 % of the amount by which “net income” for the quarter exceeds (i) an 8 % return on “equity” plus the “high watermark”, up to (ii) a 12 % return on “equity”; plus (b) 15 % of the amount by which “net income” for the quarter exceeds (i) a 12 % return on “equity” plus the “high watermark”, up to (ii) a 16 % return on “equity”; plus (c) 20 % of the amount by which “net income” for the quarter exceeds a 16 % return on “equity” plus the “high watermark”. For the purpose of determining the amount of the performance incentive fee: “Net income” is defined as net income or loss attributable to the Company’s common shares of beneficial interest (“Common Shares”) calculated in accordance with GAAP, and adjusted to exclude one-time events pursuant to changes in GAAP and certain other non-cash charges after discussion between PCM and the Company’s independent trustees and after approval by a majority of the Company’s independent trustees. “Equity” is the weighted average of the issue price per Common Share of all of the Company’s public offerings, multiplied by the weighted average number of Common Shares outstanding (including restricted share units) in the rolling four-quarter period. “High watermark” is the quarterly adjustment that reflects the amount by which the “net income” (stated as a percentage of return on "equity") in that quarter exceeds or falls short of the lesser of 8 % and the average Fannie Mae 30 -year MBS yield (the "target yield") for the four quarters then ended. The “high watermark” starts at zero and is adjusted quarterly. If the “net income” is lower than the target yield, the “high watermark” is increased by the difference. If the “net income” is higher than the target yield, the “high watermark” is reduced by the difference. Each time a performance incentive fee is earned, the “high watermark” returns to zero. As a result, the threshold amounts required for PCM to earn a performance incentive fee are adjusted cumulatively based on the performance of PMT’s “net income” over (or under) the target yield, until the “net income” in excess of the target yield exceeds the then-current cumulative “high watermark” amount. The base management fee and the performance incentive fee are both payable quarterly in arrears. The performance incentive fee may be paid in cash or a combination of cash and the Company’s Common Shares (subject to a limit of no more than 50 % paid in Common Shares), at the Company’s option. In the event of termination of the management agreement between the Company and PCM, PCM may be entitled to a termination fee in certain circumstances. The termination fee is equal to three times the sum of (a) the average annual base management fee, and (b) the average annual performance incentive fee earned by PCM, in each case during the 24-month period before termination. Following is a summary of management fee expenses: Quarter ended March 31, 2023 2022 (in thousands) Base management $ 7,257 $ 8,117 Performance incentive — — $ 7,257 $ 8,117 Average shareholders' equity amounts used $ 1,962,105 $ 2,212,304 Expense Reimbursement Under the management agreement, PCM is entitled to reimbursement of its organizational and operating expenses, including third-party expenses, incurred on the Company’s behalf, it being understood that PCM and its affiliates shall allocate a portion of their personnel’s time to provide certain legal, tax and investor relations services for the direct benefit of the Company. PCM is reimbursed $ 165,000 per fiscal quarter, such amount to be reviewed annually and to not preclude reimbursement for any other services performed by PCM or its affiliates. The Company is required to pay PCM and its affiliates a portion of rent, telephone, utilities, office furniture, equipment, machinery and other office, internal and overhead expenses of PCM and its affiliates required for the Company’s and its subsidiaries’ operations. These expenses are allocated based on the ratio of the Company’s and its subsidiaries’ proportion of gross assets compared to all remaining gross assets managed or owned by PCM and/or its affiliates as calculated at each fiscal quarter end. Following is a summary of the Company’s reimbursements to PCM and its affiliates for expenses: Quarter ended March 31, 2023 2022 (in thousands) Reimbursement of: Expenses incurred on the Company’s behalf, net $ 5,661 $ 5,357 Common overhead incurred by PCM and its affiliates 1,821 1,864 Compensation 165 165 $ 7,647 $ 7,386 Payments and settlements during the year (1) $ 32,384 $ 39,764 (1) Payments and settlements include payments and netting settlements made pursuant to master netting agreements between the Company and PFSI for the operating, investing and financing activities itemized in this Note. Financing Activities PFSI held 75,000 of the Company’s Common Shares at both March 31, 2023 and December 31, 2022. Amounts Receivable from and Payable to PFSI Amounts receivable from and payable to PFSI are summarized below: March 31, 2023 December 31, 2022 (in thousands) Due from PFSI-Miscellaneous receivables $ — $ 3,560 Due to PFSI: Correspondent production fees $ 8,325 $ 6,835 Allocated expenses and expenses and costs 7,610 11,447 Management fees 7,257 7,307 Loan servicing fees 6,791 6,740 Fulfillment fees 5,183 4,043 $ 35,166 $ 36,372 The Company has also transferred cash to PLS to fund loan servicing advances and REO property acquisition and preservation costs on its behalf. Such amounts are included in various balance sheet items as summarized below: Balance sheet line including advance amount March 31, 2023 December 31, 2022 (in thousands) Loan servicing advances $ 138,716 $ 197,972 Real estate acquired in settlement of loans 3,291 3,479 $ 142,007 $ 201,451 |
Loan Sales
Loan Sales | 3 Months Ended |
Mar. 31, 2023 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Loan Sales | Note 5—Loan Sales The following table summarizes cash flows between the Company and transferees in transfers of loans that are accounted for as sales where the Company maintains continuing involvement with the loans: Quarter ended March 31, 2023 2022 (in thousands) Cash flows: Proceeds from sales $ 5,587,266 $ 11,985,961 Loan servicing fees received $ 164,214 $ 146,885 The following table summarizes for the dates presented collection status information for loans that are accounted for as sales where the Company maintains continuing involvement: March 31, 2023 December 31, 2022 (in thousands) UPB of loans outstanding $ 231,507,353 $ 229,858,573 Collection status (UPB) (1) Delinquency: 30-89 days delinquent $ 1,556,305 $ 1,903,007 90 or more days delinquent: Not in foreclosure $ 839,807 $ 880,841 In foreclosure $ 66,275 $ 70,921 Bankruptcy $ 132,238 $ 123,239 Delinquent loans in COVID-19 pandemic-related 30-89 days $ 144,897 $ 176,346 90 days or more $ 404,288 $ 464,694 Custodial funds managed by the Company (2) $ 2,347,138 $ 1,783,157 (1) Includes delinquent loans in COVID-19 pandemic-related forbearance plans that were requested by borrowers seeking payment relief in accordance with the CARES Act. (2) Custodial funds include borrower and investor custodial cash accounts relating to loans serviced under mortgage servicing agreements and are not included on the Company’s consolidated balance sheets. The Company earns placement fees on certain of the custodial funds it manages on behalf of the loans’ borrowers and investors, and these fees are included in Interest income in the Company’s consolidated statements of operations. |
Variable Interest Entities
Variable Interest Entities | 3 Months Ended |
Mar. 31, 2023 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Variable Interest Entities | Note 6—Variable Interest Entities The Company is a variable interest holder in various VIEs that relate to its investing and financing activities. Credit Risk Transfer Arrangements The Company has previously entered into certain loan sales arrangements pursuant to which it accepted credit risk relating to the loans sold in exchange for a portion of the interest earned on such loans. These arrangements absorb scheduled or realized credit losses on such loans and include CRT Agreements, and other CRT securities. The Company, through its subsidiary, PennyMac Corp. (“PMC”), entered into CRT arrangements with Fannie Mae, pursuant to which the Company sold pools of loans into Fannie Mae-guaranteed securitizations while retaining recourse obligations as part of the retention of IO ownership interests in such loans and include: • CRT Agreements, which are structured such that loans that reach a specific number of days delinquent (including loans in forbearance, which also includes those subject to the forbearance provided in the CARES Act) trigger losses chargeable to the CRT Agreements based on the size of the loan and a contractual schedule of loss severity; and • Other CRT securities, which require the Company to absorb losses only when the reference loans realize credit losses. The Company placed Deposits securing CRT arrangements into the subsidiary trust entities to secure its recourse obligations. The Deposits securing CRT arrangements represent the Company’s maximum contractual exposure to claims under its recourse obligations and are the sole source of settlement of losses under the CRT arrangements. The Company’s exposure to losses under its recourse obligations was initially established at rates ranging from 3.5 % to 4.0 % of the UPB of the loans sold under the CRT arrangements. As the UPB of the underlying loans subject to each CRT arrangement is reduced through repayments, the percentage exposure of each CRT arrangement will increase to maximums ranging from 4.5 % to 5.0 % of outstanding UPB, although the total dollar amount of exposure to losses does not increase. The Company has concluded that the subsidiary trust entities holding its CRT arrangements are VIEs and the Company is the primary beneficiary of the VIEs as it is the holder of the primary beneficial interests which absorb the variability of the trusts’ results of operations. For CRT Agreements, the Company recognizes its IO ownership interests and recourse obligations on the consolidated balance sheets as CRT Derivatives in Derivative assets and Derivative and credit risk transfer strip liabilities. For other CRT securities, the Company recognizes its IO ownership interests and recourse obligations as CRT strips which are also included on the consolidated balance sheet in Derivative and credit risk transfer strip liabilities. Gains and losses on the derivatives and strips (including the IO ownership interest sold to nonaffiliates) included in the CRT arrangements are included in Net gains (losses) on investments and financings in the consolidated statements of operations. Following is a summary of the CRT arrangements: Quarter ended March 31, 2023 2022 (in thousands) Net investment income: Net gains (losses) on investments and financings: CRT Derivatives and strips: CRT derivatives Realized $ 3,030 $ 21,201 Valuation changes 8,096 ( 27,049 ) 11,126 ( 5,848 ) CRT strips Realized 12,304 17,763 Valuation changes 24,128 ( 41,758 ) 36,432 ( 23,995 ) Interest-only security payable at fair value ( 1,280 ) ( 5,780 ) 46,278 ( 35,623 ) Interest income — Deposits securing CRT arrangements 14,212 222 $ 60,490 $ ( 35,401 ) Net payments made (recoveries received) to settle $ 1,257 $ ( 15,973 ) March 31, 2023 December 31, 2022 (in thousands) Carrying value of CRT arrangements: Derivative and credit risk transfer strip assets (liabilities), net CRT derivatives $ ( 13,860 ) $ ( 22,098 ) CRT strips ( 113,065 ) ( 137,193 ) $ ( 126,925 ) $ ( 159,291 ) Deposits securing CRT arrangements $ 1,297,917 $ 1,325,294 Interest-only security payable at fair value $ 23,205 $ 21,925 CRT arrangement assets pledged to secure borrowings: Derivative assets $ 2,883 $ 1,262 Deposits securing CRT arrangements (1) $ 1,297,917 $ 1,325,294 UPB of loans underlying CRT arrangements $ 24,824,362 $ 25,315,524 Collection status (UPB): Delinquency (2) Current $ 24,277,884 $ 24,673,719 30-89 days delinquent $ 322,328 $ 409,049 90-180 days delinquent $ 107,982 $ 112,286 180 or more days delinquent $ 91,892 $ 93,717 Foreclosure $ 24,276 $ 26,753 Bankruptcy $ 57,676 $ 54,395 Delinquent loans in COVID-19 pandemic-related forbearance plans: 30-89 days delinquent $ 23,358 $ 35,388 90-180 days delinquent $ 29,352 $ 39,033 180 or more days delinquent $ 29,052 $ 35,588 (1) Deposits securing credit risk transfer strip liabilities also secure $ 129.8 million and $ 160.6 million in CRT strip and CRT derivative liabilities at March 31, 2023 and December 31, 2022, respectively . (2) Includes delinquent loans in COVID-19 pandemic-related forbearance plans that were requested by borrowers seeking payment relief in accordance with the CARES Act. Subordinate Mortgage-Backed Securities The Company retains or purchases subordinate MBS in transactions sponsored by PMC or a nonaffiliate. Cash inflows from the loans underlying these securities are distributed to investors and service providers in accordance with the contractual priority of payments and, as such, most of these inflows must be directed first to service and repay the senior securities. The rights of holders of the subordinate securities to receive distributions of principal and/or interest, as applicable, are subordinate to the rights of holders of the senior securities. After the senior securities are repaid, substantially all cash inflows will be directed to the subordinate securities, including those held by the Company, until they are fully repaid. The Company’s retention or purchase of subordinate MBS exposes PMT to the credit risk in the underlying loans because the Company’s beneficial interests are among the first beneficial interests to absorb credit losses on those assets. The Company’s exposure to losses from its investments in subordinate MBS is limited to its recorded investment in such securities. Whether the Company concludes that it is the primary beneficiary of the VIEs issuing the subordinate MBS and therefore consolidates these entities is based on its exposure to losses that could be significant to the VIEs and its power to direct activities that most significantly impact the VIEs’ economic performance: • Certain of the Company’s investments in subordinate MBS either do not expose the Company to losses or residual returns that could be significant to the issuing VIE or the Company has concluded that it does not have the power to direct the activities that most significantly impact the VIE’s economic performance. These investments are classified as subordinate credit-linked securities in its investment in MBS as shown in Note 8 – Mortgage-Backed Securities . • For other investments in subordinate MBS, comprised of transactions backed by loans purchased by the Company that were subsequently included in securitizations sponsored by the Company or a nonaffiliate and serviced by PLS, the Company concluded that it is the primary beneficiary of the VIEs as it has the power, through PLS, in its role as the servicer or sub-servicer of the loans, to direct the activities of the VIEs that most significantly impact the VIEs’ economic performance and, as a holder of subordinate securities, is exposed to losses or residual returns that could potentially be significant to the VIEs. Therefore, PMT consolidates the VIEs that issue those subordinate MBS. The Company recognizes the interest income earned on the loans owned by the VIEs and the interest expense attributable to the asset-backed securities issued to nonaffiliates by its consolidated VIEs on its consolidated statements of operations. Following is a summary of the Company’s investment in subordinate mortgage-backed securities held in consolidated VIEs: Quarter ended March 31, 2023 2022 (in thousands) Fair value changes: Loans at fair value $ 11,017 $ ( 96,564 ) Asset-backed financings at fair value $ ( 10,160 ) $ 89,174 Interest income $ 15,166 $ 12,849 Interest expense $ 12,353 $ 11,027 March 31, 2023 December 31, 2022 (in thousands) Loans at fair value $ 1,498,923 $ 1,509,942 Asset-backed financings at fair value $ 1,403,080 $ 1,414,955 Subordinate MBS retained at fair value pledged to Assets sold under agreements to repurchase $ 84,866 $ 84,044 |
Fair Value
Fair Value | 3 Months Ended |
Mar. 31, 2023 | |
Fair Value Disclosures [Abstract] | |
Fair Value | Note 7— Fair Value The Company’s consolidated financial statements include assets and liabilities that are measured at or based on their fair values. Measurement at or based on fair value may be on a recurring or nonrecurring basis depending on the accounting principles applicable to the specific asset or liability and whether the Company has elected to carry the item at its fair value as discussed in the following paragraphs. The Company groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the inputs used to determine fair value. These levels are: • Level 1—Quoted prices in active markets for identical assets or liabilities. • Level 2—Prices determined or determinable using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing an asset or liability and are developed based on market data obtained from sources independent of the Company. • Level 3—Prices determined using significant unobservable inputs. In situations where significant observable inputs are unavailable, unobservable inputs may be used. Unobservable inputs reflect the Company’s own judgments about the factors that market participants use in pricing an asset or liability, and are based on the best information available in the circumstances. As a result of the difficulty in observing certain significant valuation inputs affecting “Level 3” fair value assets and liabilities, the Company is required to make judgments regarding these items’ fair values. Different persons in possession of the same facts may reasonably arrive at different conclusions as to the inputs to be applied in valuing these assets and liabilities and their fair values. Such differences may result in significantly different fair value measurements. Likewise, due to the general illiquidity of some of these assets and liabilities, subsequent transactions may be at values significantly different from those reported. The Company reclassifies its assets and liabilities between levels of the fair value hierarchy when the inputs required to establish fair value at a level of the fair value hierarchy are no longer readily available, requiring the use of lower-level inputs, or when the inputs required to establish fair value at a higher level of the hierarchy become available. Fair Value Accounting Elections The Company identified all of PMT’s non-cash financial assets and MSRs to be accounted for at fair value. The Company has elected to account for these assets at fair value so such changes in fair value will be reflected in income as they occur and more timely reflect the results of the Company’s performance. The Company identified PMT’s asset-backed financings of VIEs and interest only security payable to be accounted for at fair value to reflect the generally offsetting changes in fair value of these borrowings to changes in fair value of the assets at fair value collateralizing these financings. For other borrowings, the Company has determined that historical cost accounting is more appropriate because under this method debt issuance costs are amortized over the term of the debt facilities, thereby matching the debt issuance cost to the periods benefiting from the availability of these facilities. Financial Statement Items Measured at Fair Value on a Recurring Basis Following is a summary of financial statement items that are measured at fair value on a recurring basis: March 31, 2023 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 292,153 $ — $ — $ 292,153 Mortgage-backed securities at fair value — 4,629,004 — 4,629,004 Loans acquired for sale at fair value — 3,133,409 10,109 3,143,518 Loans at fair value — 1,498,923 3,548 1,502,471 Derivative assets: Call options on interest rate futures purchase contracts 13,508 — — 13,508 Put options on interest rate futures purchase contracts 6,570 — — 6,570 Forward purchase contracts — 16,477 — 16,477 Forward sale contracts — 7,711 — 7,711 MBS call options — 1,832 — 1,832 MBS put options — 3,573 — 3,573 CRT derivatives — — 2,883 2,883 Interest rate lock commitments — — 9,952 9,952 Total derivative assets before netting 20,078 29,593 12,835 62,506 Netting — — — 26,779 Total derivative assets after netting 20,078 29,593 12,835 89,285 Mortgage servicing rights at fair value — — 3,975,076 3,975,076 $ 312,231 $ 9,290,929 $ 4,001,568 $ 13,631,507 Liabilities: Asset-backed financings at fair value $ — $ 1,403,080 $ — $ 1,403,080 Interest-only security payable at fair value — — 23,205 23,205 Derivative and credit risk transfer strip liabilities: Forward purchase contracts — 5,302 — 5,302 Forward sales contracts — 86,918 — 86,918 MBS call options — 2,004 — 2,004 CRT derivatives — — 16,743 16,743 Interest rate lock commitments — — 1,403 1,403 Total derivative liabilities before netting — 94,224 18,146 112,370 Netting — — — ( 86,966 ) Total derivative liabilities after netting — 94,224 18,146 25,404 Credit risk transfer strips — — 113,065 113,065 Total derivative and credit risk transfer strip liabilities — 94,224 131,211 138,469 $ — $ 1,497,304 $ 154,416 $ 1,564,754 December 31, 2022 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 252,271 $ — $ — $ 252,271 Mortgage-backed securities at fair value — 4,462,601 — 4,462,601 Loans acquired for sale at fair value — 1,811,225 10,708 1,821,933 Loans at fair value — 1,509,942 3,457 1,513,399 Derivative assets: Call options on interest rate futures purchase contracts 2,906 — — 2,906 Put options on interest rate futures purchase contracts 8,130 — — 8,130 Forward purchase contracts — 418 — 418 Forward sale contracts — 43,435 — 43,435 MBS put options — 2,783 — 2,783 CRT derivatives — — 1,262 1,262 Interest rate lock commitments — — 3,877 3,877 Total derivative assets before netting 11,036 46,636 5,139 62,811 Netting — — — 22,129 Total derivative assets after netting 11,036 46,636 5,139 84,940 Mortgage servicing rights at fair value — — 4,012,737 4,012,737 $ 263,307 $ 7,830,404 $ 4,032,041 $ 12,147,881 Liabilities: Asset-backed financings at fair value $ — $ 1,414,955 $ — $ 1,414,955 Interest-only security payable at fair value — — 21,925 21,925 Derivative liabilities and credit risk transfer strips: Forward purchase contracts — 15,196 — 15,196 Forward sales contracts — 17,279 — 17,279 CRT derivatives — — 23,360 23,360 Interest rate lock commitments — — 4,355 4,355 Total derivative liabilities before netting — 32,475 27,715 60,190 Netting — — — ( 30,157 ) Total derivative liabilities after netting — 32,475 27,715 30,033 Credit risk transfer strips — — 137,193 137,193 Total derivative and credit risk transfer strip — 32,475 164,908 167,226 $ — $ 1,447,430 $ 186,833 $ 1,604,106 The following is a summary of changes in items measured at fair value on a recurring basis using Level 3 inputs that are significant to the estimation of the fair values of the assets and liabilities at either the beginning or end of the periods presented: Quarter ended March 31, 2023 Assets (1) Loans Loans at CRT Interest rate CRT Mortgage Total (in thousands) Balance, December 31, 2022 $ 10,708 $ 3,457 $ ( 22,098 ) $ ( 478 ) $ ( 137,193 ) $ 4,012,737 $ 3,867,133 Purchases and issuances 3,495 119 — ( 7,687 ) — — ( 4,073 ) Repayments and sales ( 3,767 ) ( 20 ) ( 2,888 ) — ( 12,304 ) — ( 18,979 ) Amounts received pursuant to sales of loans — — — — — 100,618 100,618 Changes in fair value included in results of arising from: Changes in instrument - specific — — — — — — — Other factors ( 327 ) 452 11,126 27,032 36,432 ( 137,444 ) ( 62,729 ) ( 327 ) 452 11,126 27,032 36,432 ( 137,444 ) ( 62,729 ) Transfers of: Loans to REO — ( 460 ) — — — — ( 460 ) Interest rate lock commitments to loans — — — ( 10,318 ) — — ( 10,318 ) Mortgage servicing rights relating to — — — — — ( 835 ) ( 835 ) Balance, March 31, 2023 $ 10,109 $ 3,548 $ ( 13,860 ) $ 8,549 $ ( 113,065 ) $ 3,975,076 $ 3,870,357 Changes in fair value recognized during $ 161 $ ( 8 ) $ 8,096 $ 8,549 $ 24,128 $ ( 137,444 ) $ ( 96,518 ) (1) For the purpose of this table, CRT derivative, interest rate lock commitment (“IRLC”), and CRT strip asset and liability positions are shown net. (2) The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale at fair value upon purchase of the respective loans. Liabilities Quarter ended March 31, 2023 (in thousands) Interest-only security payable: Balance, December 31, 2022 $ 21,925 Changes in fair value included in results of operations : Changes in instrument - specific credit risk — Other factors 1,280 1,280 Balance, March 31, 2023 $ 23,205 Changes in fair value recognized during the year relating $ 1,280 Quarter ended March 31, 2022 Assets (1) Loans Loans at CRT Interest CRT strips Mortgage Total (in thousands) Balance, December 31, 2021 $ 30,129 $ 4,161 $ 18,964 $ 2,451 $ ( 26,837 ) $ 2,892,855 $ 2,921,723 Purchases and issuances 24,105 — — ( 28,144 ) — — ( 4,039 ) Repayments and sales ( 29,498 ) ( 654 ) ( 21,165 ) — ( 17,763 ) — ( 69,080 ) Amounts received pursuant to sales of loans — — — — — 194,596 194,596 Changes in fair value included in results Changes in instrument - — — — — — — — Other factors ( 411 ) 442 ( 5,848 ) ( 118,799 ) ( 23,995 ) 303,721 155,110 ( 411 ) 442 ( 5,848 ) ( 118,799 ) ( 23,995 ) 303,721 155,110 Transfers: Interest rate lock commitments — — — 121,027 — — 121,027 Balance, March 31, 2022 $ 24,325 $ 3,949 $ ( 8,049 ) $ ( 23,465 ) $ ( 68,595 ) $ 3,391,172 $ 3,319,337 Changes in fair value recognized during $ ( 229 ) $ 66 $ ( 27,049 ) $ ( 23,465 ) $ ( 41,758 ) $ 303,721 $ 211,286 (1) For the purpose of this table, CRT derivative, IRLC, and CRT strip asset and liability positions are shown net. (2) The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale at fair value upon purchase of the respective loans. Liabilities Quarter ended March 31, 2022 (in thousands) Interest-only security payable: Balance, December 31, 2021 $ 10,593 Changes in fair value included in results of operations Changes in instrument - specific credit risk — Other factors 5,780 5,780 Balance, March 31, 2022 $ 16,373 Changes in fair value recognized during the quarter relating $ 5,780 Financial Statement Items Measured at Fair Value under the Fair Value Option Following are the fair values and related principal amounts due upon maturity of loans accounted for under the fair value option (including loans acquired for sale, loans held in consolidated VIEs, and distressed loans): March 31, 2023 December 31, 2022 Fair value Principal Difference Fair value Principal Difference (in thousands) Loans acquired for sale at fair value: Current through 89 days delinquent $ 3,140,761 $ 3,089,597 $ 51,164 $ 1,819,551 $ 1,795,445 $ 24,106 90 or more days delinquent: Not in foreclosure 2,551 3,449 ( 898 ) 1,666 1,927 ( 261 ) In foreclosure 206 300 ( 94 ) 716 809 ( 93 ) 2,757 3,749 ( 992 ) 2,382 2,736 ( 354 ) $ 3,143,518 $ 3,093,346 $ 50,172 $ 1,821,933 $ 1,798,181 $ 23,752 Loans at fair value: Held in consolidated VIEs: Current through 89 days delinquent $ 1,498,108 $ 1,766,772 $ ( 268,664 ) $ 1,508,540 $ 1,788,911 $ ( 280,371 ) 90 or more days delinquent: Not in foreclosure 815 1,077 ( 262 ) 1,231 1,642 ( 411 ) In foreclosure — — — 171 226 ( 55 ) 815 1,077 ( 262 ) 1,402 1,868 ( 466 ) 1,498,923 1,767,849 ( 268,926 ) 1,509,942 1,790,779 ( 280,837 ) Distressed: Current through 89 days delinquent 480 714 ( 234 ) 498 682 ( 184 ) 90 or more days delinquent: Not in foreclosure 1,404 2,561 ( 1,157 ) 1,230 2,964 ( 1,734 ) In foreclosure 1,664 2,575 ( 911 ) 1,729 2,728 ( 999 ) 3,068 5,136 ( 2,068 ) 2,959 5,692 ( 2,733 ) 3,548 5,850 ( 2,302 ) 3,457 6,374 ( 2,917 ) $ 1,502,471 $ 1,773,699 $ ( 271,228 ) $ 1,513,399 $ 1,797,153 $ ( 283,754 ) Following are the changes in fair value included in current period results of operations by consolidated statement of operations line item for financial statement items accounted for under the fair value option: Quarter ended March 31, 2023 Net gains (losses) Net loan Net gains on Net interest Total (in thousands) Assets: Mortgage-backed securities at fair value $ 78,218 $ — $ — $ ( 1,956 ) $ 76,262 Loans acquired for sale at fair value — — 15,315 — 15,315 Loans at fair value 11,468 — — 126 11,594 Credit risk transfer strips 36,432 — — — 36,432 MSRs at fair value — ( 137,444 ) — — ( 137,444 ) $ 126,118 $ ( 137,444 ) $ 15,315 $ ( 1,830 ) $ 2,159 Liabilities: Interest-only security payable at fair value $ ( 1,280 ) $ — $ — $ — $ ( 1,280 ) Asset-backed financings at fair value ( 10,160 ) — — ( 542 ) ( 10,702 ) $ ( 11,440 ) $ — $ — $ ( 542 ) $ ( 11,982 ) Quarter ended March 31, 2022 Net gains (losses) Net loan Net gains on Net interest Total (in thousands) Assets: Mortgage-backed securities at fair value $ ( 186,525 ) $ — $ — $ ( 1,411 ) $ ( 187,936 ) Loans acquired for sale at fair value — — ( 227,266 ) — ( 227,266 ) Loans at fair value ( 96,121 ) — — ( 949 ) ( 97,070 ) Credit risk transfer strips ( 23,995 ) — — — ( 23,995 ) MSRs at fair value — 303,721 — — 303,721 $ ( 306,641 ) $ 303,721 $ ( 227,266 ) $ ( 2,360 ) $ ( 232,546 ) Liabilities: Interest-only security payable at fair value $ ( 5,780 ) $ — $ — $ — $ ( 5,780 ) Asset-backed financings at fair value 89,174 — — ( 834 ) 88,340 $ 83,394 $ — $ — $ ( 834 ) $ 82,560 Financial Statement Item Measured at Fair Value on a Nonrecurring Basis Following is a summary of the carrying value of assets that were remeasured during the period based on fair value on a nonrecurring basis: Real estate acquired in settlement of loans Level 1 Level 2 Level 3 Total (in thousands) March 31, 2023 $ — $ — $ 325 $ 325 December 31, 2022 $ — $ — $ 1,292 $ 1,292 The following table summarizes the fair value changes recognized during the periods on assets held at period end that were remeasured at fair value on a nonrecurring basis: Quarter ended March 31, 2023 2022 (in thousands) Real estate asset acquired in settlement of loans $ 73 $ ( 148 ) The Company remeasures its REO based on fair value when it evaluates the REO for impairment. The Company evaluates its REO for impairment with reference to the respective properties’ fair values less costs to sell. REO may be revalued after acquisition due to the Company receiving greater access to the property, the property being held for an extended period or receiving indications that the property’s fair value may not be supported by developing market conditions. Any subsequent change in fair value to a level that is less than or equal to the property’s cost is recognized in Results of real estate acquired in settlement of loans in the Company’s consolidated statements of operations. Fair Value of Financial Instruments Carried at Amortized Cost Most of the Company’s borrowings are carried at amortized cost. The Company’s Assets sold under agreements to repurchase , Mortgage loan participation purchase and sale agreements, Notes payable secured by credit risk transfer and mortgage servicing assets and Exchangeable senior notes are classified as “Level 3” fair value liabilities due to the Company’s reliance on unobservable inputs to estimate these instruments’ fair values. The Company has concluded that the fair values of these borrowings other than Notes payable secured by credit risk transfer and mortgage servicing assets and Exchangeable senior notes approximate the agreements’ carrying values due to the borrowing agreements’ variable interest rates and short maturities. Following are the carrying and fair values of the Notes payable secured by credit risk transfer and mortgage servicing assets and Exchangeable senior notes : March 31, 2023 December 31, 2022 Instrument Carrying value Fair value Carrying value Fair value (in thousands) Notes payable secured by credit risk transfer $ 2,790,958 $ 2,763,386 $ 2,804,028 $ 2,721,391 Exchangeable senior notes $ 547,003 $ 496,073 $ 546,254 $ 471,781 The Company estimates the fair value of the Notes payable secured by credit risk transfer and mortgage servicing assets and Exchangeable senior notes using indications of fair value provided by nonaffiliate brokers. Valuation Governance Most of the Company’s assets, its Asset-backed financings at fair value, Interest-only security payable at fair value and Derivative and credit risk transfer strip liabilities at fair value are carried at fair value with changes in fair value recognized in current period results of operations. A substantial portion of these items are “Level 3” fair value assets and liabilities which require the use of unobservable inputs that are significant to the estimation of the fair values of the assets and liabilities. Unobservable inputs reflect the Company’s own judgments about the factors that market participants use in pricing an asset or liability and are based on the best information available under the circumstances. Due to the difficulty in estimating the fair values of “Level 3” fair value assets and liabilities, the Company has assigned responsibility for estimating the fair value of these assets and liabilities to specialized staff and subjects the valuation process to significant senior management oversight: • PFSI’s Financial Analysis and Valuation group (the “FAV group”) is responsible for estimating the fair values of “Level 3” fair value assets and liabilities other than IRLCs and maintaining its valuation policies and procedures. • PFSI’s Capital Markets Risk Management staff is responsible for estimating the fair value of the Company’s IRLCs which is reviewed by PFSI’s Capital Markets Operations group. With respect to the non-IRLC “Level 3” valuations, the FAV group reports to PFSI’s senior management valuation committee, which oversees the valuations. The FAV group monitors the models used for valuation of the Company’s “Level 3” fair value assets and liabilities other than IRLCs, including the models’ performance versus actual results, and reports those results to PFSI’s senior management valuation committee. PFSI’s senior management valuation committee includes the Company’s chief financial, risk, credit, and capital markets officers as well as other senior members of the Company’s finance, capital markets and risk management staffs. The FAV group is responsible for reporting to PFSI’s senior management valuation committee on the changes in the valuation of the non-IRLC “Level 3” fair value assets and liabilities, including major factors affecting the valuation and any changes in model methods and inputs. To assess the reasonableness of its valuations, the FAV group presents an analysis of the effect on the valuation of changes to the significant inputs to the models and, for MSRs, comparisons of its estimates of fair value and of key inputs to those procured from nonaffiliated brokers and published surveys. Valuation Techniques and Inputs The following is a description of the techniques and inputs used in estimating the fair values of “Level 2” and “Level 3” fair value assets and liabilities: Mortgage-Backed Securities The Company categorizes its current holdings of securities accounted for as MBS as “Level 2” fair value assets. Fair value of these MBS is established based on quoted market prices for the Company’s MBS holdings or similar securities. Changes in the fair value of MBS are included in Net gains (losses) on investments and financings in the consolidated statements of operations. Loans Fair value of loans is estimated based on whether the loans are saleable into active markets: • Loans that are saleable into active markets, comprised of most of the Company’s loans acquired for sale at fair value and all of the loans at fair value held in VIEs, are categorized as “Level 2” fair value assets: • For loans acquired for sale, the fair values are established using the loans’ contracted selling price or quoted market price or market price equivalent. • For the loans at fair value held in VIEs, the quoted indications of fair value of all of the individual securities issued by the securitization trusts are used to derive fair values for the loans. The Company obtains indications of fair value from nonaffiliated brokers based on comparable securities and validates the brokers’ indications of fair value using pricing models and inputs the Company believes are similar to the models and inputs used by other market participants. The Company adjusts the fair values received from brokers to include the fair value of MSRs attributable to the loans held by the Company included in the VIEs. • Loans that are not saleable into active markets, comprised of previously sold loans that the Company repurchased pursuant to the representation and warranties it provided to the purchaser and distressed loans, are categorized as “Level 3” fair value assets: • Fair value for loans acquired for sale categorized as “Level 3” assets is estimated using a discounted cash flow approach or their contracted selling price when applicable. Inputs to the discounted cash flow model include current interest rates, payment status, property types, discount rates and forecasts of future interest rates, home prices, prepayment speeds, default speeds and loss severities. • Distressed loans’ fair values are estimated based on the expected resolution from the individual asset’s disposition strategy. When a cash flow projection is used to estimate the fair value, those cash flows are discounted at annual rates up to 20 %. Derivative and Credit Risk Transfer Strip Assets and Liabilities CRT Derivatives The Company categorizes CRT derivatives as “Level 3” fair value assets and liabilities. The fair value of CRT derivatives is based on indications of fair value provided to the Company by nonaffiliated brokers for the certificates representing the beneficial interests in the trusts holding the Deposits securing credit risk transfer arrangements pledged to creditors , the recourse obligations and the IO ownership interests. Together, the recourse obligation and the IO ownership interest comprise the CRT derivative. Fair value of the CRT derivatives is derived by deducting the balance of the Deposits securing credit risk transfer arrangements pledged to creditors from the fair value of the certificates. The Company assesses the fair values it receives from nonaffiliated brokers using the discounted cash flow approach. The significant unobservable inputs used by the Company in its review and approval of the valuation of CRT derivatives are the discount rate, voluntary and involuntary prepayment speeds and the remaining loss expectations of the reference loans. Changes in fair value of CRT derivatives are included in Net gains (losses) on investments and financings in the consolidated statements of operations. Following is a quantitative summary of key unobservable inputs used in the Company’s review and approval of broker-provided fair values for CRT derivatives: March 31, 2023 December 31, 2022 (dollars in thousands) Fair value CRT derivatives: Assets $ 2,883 $ 1,262 Liabilities $ 16,743 $ 23,360 UPB of loans in reference pools $ 5,865,196 $ 5,972,060 Key inputs (1) Discount rate Range 8.3 % – 10.0 % 8.7 % – 11.1 % Weighted average 9.9 % 10.8 % Voluntary prepayment speed (2) Range 7.3 % – 8.4 % 7.5 % – 8.3 % Weighted average 7.6 % 7.6 % Involuntary prepayment speed (3) Range 0.5 % – 1.2 % 0.5 % – 1.3 % Weighted average 0.6 % 0.6 % Remaining loss expectation Range 0.4 % – 0.6 % 0.4 % – 0.7 % Weighted average 0.6 % 0.6 % (1) Weighted average inputs are based on fair value amounts of the CRT Agreements, except for remaining loss expectation which is based on the UPB of the loans in the reference pools. (2) Voluntary prepayment speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”). (3) Involuntary prepayment speed is measured using Life Involuntary CPR. Interest Rate Lock Commitments The Company categorizes IRLCs as “Level 3” fair value assets and liabilities. The Company estimates the fair value of IRLCs based on quoted Agency MBS prices, the probability that the loans will be purchased under the commitments (the “pull-through rate”) and the Company’s estimate of the fair value of the MSRs it expects to receive upon sale of the loans. The significant unobservable inputs used in the fair value measurement of the Company’s IRLCs are the pull-through rates and the estimated MSRs attributed to the mortgage loans subject to the commitments. Significant changes in the pull-through rate or the MSR component of the IRLCs, in isolation, may result in a significant change in the IRLCs’ fair value. The financial effects of changes in these inputs are generally inversely correlated as increasing interest rates have a positive effect on the fair value of the MSR component of an IRLC’s fair value, but also increase the pull-through rate for the loan principal and interest payment cash flow component that has decreased in fair value. Changes in fair value of IRLCs are included in Net gains on loans acquired for sale in the consolidated statements of operations. Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs: March 31, 2023 December 31, 2022 Fair value (in thousands) (1) $ 8,549 $ ( 478 ) Committed amount (in thousands) $ 1,806,398 $ 1,484,384 Key inputs (2) Pull-through rate Range 42.0 % – 100 % 54.8 % – 100 % Weighted average 86.7 % 92.1 % MSR fair value expressed as Servicing fee multiple Range 1.5 – 7.4 1.9 – 7.1 Weighted average 4.4 4.7 Percentage of UPB Range 0.5 % – 3.1 % 0.7 % – 3.1 % Weighted average 1.9 % 1.9 % (1) For purposes of this table, IRLC asset and liability positions are shown net. (2) Weighted-average inputs are based on the committed amounts. Hedging Derivatives Fair value of derivative financial instruments actively traded on exchanges are categorized by the Company as “Level 1” fair value assets and liabilities. Fair values of derivative financial instruments based on observable interest rates, volatilities and prices in the MBS or other markets are categorized by the Company as “Level 2” fair value assets and liabilities. Changes in the fair value of hedging derivatives are included in Net gains (losses) on investments and financings, Net loan servicing fees – from nonaffiliates – Mortgage servicing rights hedging results, or Net gains on loans acquired for sale , as applicable, in the consolidated statements of operations. Credit Risk Transfer Strips The Company categorizes CRT strips as “Level 3” fair value assets or liabilities. The fair value of CRT strips is based on indications of fair value provided to the Company by nonaffiliated brokers for the securities representing the beneficial interests in the trusts holding the Deposits securing credit risk transfer arrangements pledged to creditors, the IO ownership interest and recourse obligation. Together, the IO ownership interest and the recourse obligation comprise the CRT strip. Fair value of the CRT strips is derived by deducting the balance of the Deposits securing credit risk transfer arrangements pledged to creditors from the fair value of the securities derived from indications provided by the nonaffiliated brokers. Through December 31, 2021, the Company applied adjustments to the fair value derived from these indications to account for contractual restrictions limiting PMT’s ability to sell certain of the certificates. During the quarter ended March 31, 2022, the contractual restrictions on the Company’s ability to sell the certificates were removed. The Company recognized the effect of the removal of this restriction in Net gains (losses) on investments and financing during the quarter ended March 31, 2022. The Company assesses the indications of fair value it receives from nonaffiliated brokers using the discounted cash flow approach. The significant unobservable inputs used by the Company in its review and approval of the valuation of the CRT strips are the discount rate, voluntary and involuntary prepayment speeds and the remaining loss expectations of the reference loans. Changes in fair value of CRT strips are included in Net gains (losses) on investments and financings in the consolidated statements of operations . Following is a quantitative summary of key unobservable inputs used in the Company’s review and approval of the adjusted broker-provided fair values used to derive the fair value of the CRT strip liabilities: March 31, 2023 December 31, 2022 (dollars in thousands) Fair value $ 113,065 $ 137,193 UPB of loans in the reference pools $ 18,959,166 $ 19,343,464 Key inputs (1) Discount rate Range 6.6 % – 10.3 % 4.3 % – 11.3 % Weighted average 9.8 % 10.5 % Voluntary prepayment speed (2) Range 7.7 % – 7.9 % 7.7 % – 7.9 % Weighted average 7.7 % 7.7 % Involuntary prepayment speed (3) Range 0.5 % – 1.5 % 0.6 % – 2.0 % Weighted average 0.6 % 0.8 % Remaining loss expectation Range 0.7 % – 2.0 % 0.7 % – 2.0 % Weighted average 0.9 % 0.9 % (1) Weighted average inputs are based on fair value amounts of the CRT arrangements, except for remaining loss expectation which is based on the UPB of the loans in the reference pools. (2) Voluntary prepayment speed is measured using Life Voluntary CPR. (3) Involuntary prepayment speed is measured using Life Involuntary CPR. Mortgage Servicing Rights The Company categorizes MSRs as “Level 3” fair value assets. The Company uses a discounted cash flow approach to estimate the fair value of MSRs. The fair value of MSRs is derived from the net positive cash flows associated with the servicing agreements. The Company receives a servicing fee based on the remaining UPB of the loans subject to the servicing agreements and generally has the right to receive other remuneration including various mortgagor-contracted fees such as late charges and collateral reconveyance charges, and is generally entitled to retain any placement fees earned on funds held pending remittance of mortgagor principal, interest, tax and insurance payments. The key inputs used in the estimation of the fair value of MSRs include the applicable pricing spreads, the prepayment speeds of the underlying loans, and the annual per-loan cost to service the loans, all of which are unobservable. Significant changes to any of those inputs in isolation could result in a significant change in the MSR fair value measurement. Changes in these key inputs are not directly related. Changes in the fair value of MSRs are included in Net loan servicing fees – From nonaffiliates – Change in fair value of mortgage servicing rights in the consolidated statements of operations. MSRs are generally subject to loss in fair value when mortgage interest rates decrease, when returns required by market participants (pricing spreads) increase, or when annual per-loan cost of servicing increases. Reductions in the fair value of MSRs affect income primarily through recognition of the change in fair value. Following are the key inputs used in determining the fair value of MSRs at the time of initial recognition: Quarter ended March 31, 2023 2022 (MSR recognized and UPB of underlying loans amounts MSR recognized $ 100,618 $ 194,596 UPB of underlying loans $ 5,549,325 $ 11,929,172 Weighted average annual servicing fee rate (in basis points) 41 31 Key inputs (1) Pricing spread (2) Range 5.5 % – 8.7 % 5.8 % – 7.8 % Weighted average 5.8 % 6.6 % Prepayment speed (3) Range 13.1 % – 21.8 % 6.0 % – 9.0 % Weighted average 13.2 % 8.4 % Equivalent average life (in years) Range 2.8 – 6.6 4.0 – 8.4 Weighted average 6.5 8.0 Annual per-loan cost of servicing Range $ 69 – $ 69 $ 80 – $ 80 Weighted average $ 69 $ 80 (1) Weighted average inputs are based on UPB of the underlying loans. (2) The Company uses the pricing spread over the United States Treasury (“Treasury”) securities yield curve for the purpose of discounting cash flows relating to MSRs. (3) Prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information. Following is a quantitative summary of key inputs used in the valuation of MSRs as of the dates presented, and the effect on the fair value from adverse changes in those inputs: March 31, 2023 December 31, 2022 (Fair value, UPB of underlying loans Fair value $ 3,975,076 $ 4,012,737 UPB of underlying loans $ 231,615,214 $ 229,971,035 Weighted average annual servicing fee rate (in basis points) 29 29 Weighted average note interest rate 3.5 % 3.5 % Key inputs (1) Pricing spread (2) Range 4.9 % – 8.9 % 4.9 % – 8.8 % Weighted average 5.8 % 5.7 % Effect on fair value of (3): 5% adverse change $( 52,336 |
Mortgage-Backed Securities
Mortgage-Backed Securities | 3 Months Ended |
Mar. 31, 2023 | |
Mortgage Backed Securities [Abstract] | |
Mortgage-Backed Securities | Note 8— Mortgage-Backed Securities Following is a summary of activity in the Company’s investment in MBS: Quarter ended March 31, 2023 2022 (in thousands) Balance at beginning of quarter $ 4,462,601 $ 2,666,768 Purchases 2,784,592 661,774 Sales ( 2,629,540 ) — Repayments ( 64,910 ) ( 70,276 ) Changes in fair value included in income arising from: Amortization of net purchase premiums (discounts) ( 1,957 ) ( 1,411 ) Valuation adjustments 78,218 ( 186,525 ) 76,261 ( 187,936 ) Balance at end of quarter $ 4,629,004 $ 3,070,330 March 31, 2023 December 31, 2022 (in thousands) Fair value of mortgage-backed securities pledged to secure Assets $ 4,616,580 $ 4,462,601 Following is a summary of the Company’s investment in MBS: March 31, 2023 Principal Unamortized Accumulated Fair value (1) (in thousands) Agency fixed-rate pass-through securities $ 4,419,508 $ 607 $ ( 10,064 ) $ 4,410,051 Subordinate credit-linked securities 197,313 ( 180 ) ( 431 ) 196,702 Senior non-Agency securities 27,814 ( 865 ) ( 4,698 ) 22,251 $ 4,644,635 $ ( 438 ) $ ( 15,193 ) $ 4,629,004 December 31, 2022 Principal Unamortized Accumulated Fair value (1) (in thousands) Agency fixed-rate pass-through securities $ 4,693,045 $ 30,423 $ ( 460,966 ) $ 4,262,502 Subordinate credit-linked securities 184,620 52 ( 6,774 ) 177,898 Senior non-Agency securities 28,103 ( 876 ) ( 5,026 ) 22,201 $ 4,905,768 $ 29,599 $ ( 472,766 ) $ 4,462,601 (1) All MBS have maturities of more than ten years . |
Loans Acquired for Sale at Fair
Loans Acquired for Sale at Fair Value | 3 Months Ended |
Mar. 31, 2023 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Loans Acquired for Sale at Fair Value | Note 9—Loans Acquired for Sale at Fair Value Following is a summary of the distribution of the Company’s loans acquired for sale at fair value: Loan type March 31, 2023 December 31, 2022 (in thousands) GSE eligible (1) $ 2,717,247 $ 1,651,554 Held for sale to PLS — Government insured or guaranteed (2) 416,162 159,671 Home equity lines of credit 2,174 2,424 Repurchased pursuant to representations and warranties 7,935 8,284 $ 3,143,518 $ 1,821,933 Loans pledged to secure Assets sold under agreements to repurchase $ 3,117,294 $ 1,801,368 (1) GSE eligibility refers to the eligibility of loans for sale to Fannie Mae or Freddie Mac. The Company sells or finances a portion of its GSE eligible loan production to other investors, including PLS. (2) The Company is not approved by Ginnie Mae as an issuer of Ginnie Mae-guaranteed securities which are backed by government-insured or guaranteed loans. The Company sells all government-insured or guaranteed loans (as well as certain GSE eligible loans) that it purchases from correspondent sellers to PLS, which is a Ginnie Mae-approved issuer, and earns a sourcing fee as described in Note 4 – Transactions with Related Parties – Operating activities – Correspondent Production Activities . |
Loans at Fair Value
Loans at Fair Value | 3 Months Ended |
Mar. 31, 2023 | |
Mortgage Loans At Fair Value [Abstract] | |
Loans at Fair Value | Note 10—Loans at Fair Value Loans at fair value are comprised primarily of loans held in VIEs securing asset-backed financings as discussed in Note 6 – Variable Interest Entities – Subordinate Mortgage-Backed Securities . Following is a summary of the distribution of the Company’s loans at fair value: Loan type March 31, 2023 December 31, 2022 (in thousands) Loans in VIEs: Agency-conforming loans secured by investment properties $ 1,449,070 $ 1,459,160 Fixed interest rate jumbo loans 49,853 50,782 1,498,923 1,509,942 Distressed loans 3,548 3,457 $ 1,502,471 $ 1,513,399 Loans at fair value pledged to secure: Asset-backed financings at fair value (1) $ 1,498,923 $ 1,509,942 Assets sold under agreements to repurchase 194 206 $ 1,499,117 $ 1,510,148 (1) As discussed in Note 6 ‒ Variable Interest Entities ‒ Subordinate Mortgage-Backed Securities , the Company holds a portion of the securities issued by the VIEs. At March 31, 2023 and December 31, 2022, $ 84.9 million and $ 84.0 million, respectively, of such retained certificates were pledged to secure Assets sold under agreements to repurchase . |
Derivative and Credit Risk Tran
Derivative and Credit Risk Transfer Strip Assets and Liabilities | 3 Months Ended |
Mar. 31, 2023 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative and Credit Risk Transfer Strip Assets and Liabilities | Note 11—Derivative and Credit Risk Transfer Strip Assets and Liabilities Derivative and credit risk transfer assets and liabilities are summarized below: March 31, 2023 December 31, 2022 (in thousands) Derivative assets $ 89,285 $ 84,940 $ 89,285 $ 84,940 Derivative liabilities $ 25,404 $ 30,033 Credit risk transfer strip liabilities 113,065 137,193 $ 138,469 $ 167,226 The Company records all derivative and CRT strip assets and liabilities at fair value and records changes in fair value in current period results of operations. Derivative Activities The Company holds and issues derivative financial instruments in connection with its operating, investing and financing activities. Derivative financial instruments are created as a result of certain of the Company’s operations and the Company also enters into derivative transactions as part of its interest rate risk management activities. Derivative financial instruments created as a result of the Company’s operations include: • IRLCs that are created when the Company commits to purchase loans acquired for sale; and • CRT Agreements whereby the Company retained a recourse obligation relating to certain loans it sold into Fannie Mae guaranteed securitizations as part of the retention of IO ownership interests in such loans. The Company engages in interest rate risk management activities in an effort to reduce the variability of earnings caused by the effects of changes in interest rates on the fair value of certain of its assets and liabilities. The Company bears price risk related to its mortgage production, servicing assets and MBS financing activities due to changes in market interest rates as discussed below: • The Company is exposed to losses if market mortgage interest rates increase, because market interest rate increases generally cause the fair value of MBS, IRLCs and loans acquired for sale to decrease. • The Company is exposed to losses if market mortgage interest rates decrease, because market interest rate decreases generally cause the fair value of MSRs to decrease. To manage the price risk resulting from these interest rate risks, the Company uses derivative financial instruments with the intention of moderating the risk that changes in market interest rates will result in unfavorable changes in the fair value of the Company’s MBS, inventory of loans acquired for sale, IRLCs and MSRs. The Company records all derivative and CRT strip assets and liabilities at fair value and records changes in fair value in current period results of operations. The Company does not designate and qualify any of its derivative financial instruments for hedge accounting. Cash flows from derivative financial instruments relating to hedging of IRLCs and loans acquired for sale are included in Cash flows from operating activities in Sale to nonaffiliates and repayment of loans acquired for sale at fair value. Cash flows from derivative financial instruments relating to hedging of MSRs are included in Cash flows from investing activities . Derivative Notional Amounts and Fair Value of Derivatives The Company had the following derivative assets and liabilities recorded within Derivative assets and Derivative and credit risk transfer liabilities and related margin deposits recorded in Other assets on the consolidated balance sheets: March 31, 2023 December 31, 2022 Fair value Fair value Notional Derivative Derivative Notional Derivative Derivative Instrument amount (1) assets liabilities amount (1) assets liabilities (in thousands) Hedging derivatives subject to master netting Call options on interest rate futures purchase 1,325,000 $ 13,508 $ — 1,950,000 $ 2,906 $ — Put options on interest rate futures purchase 2,775,000 6,570 — 1,785,000 8,130 — Forward purchase contracts 4,121,991 16,477 5,302 3,929,833 418 15,196 Forward sale contracts 11,511,964 7,711 86,918 11,661,925 43,435 17,279 MBS call options — 1,832 2,004 — — — MBS put options 750,000 3,573 — 1,050,000 2,783 — Bond futures 1,212,800 — — 867,900 — — Other derivatives not subject to master netting CRT derivatives 5,865,196 2,883 16,743 5,972,060 1,262 23,360 Interest rate lock commitments 1,806,398 9,952 1,403 1,484,384 3,877 4,355 Total derivative instruments before netting 62,506 112,370 62,811 60,190 Netting 26,779 ( 86,966 ) 22,129 ( 30,157 ) $ 89,285 $ 25,404 $ 84,940 $ 30,033 Margin deposits placed with derivative $ 113,744 $ 52,286 Derivative assets pledged to secure: Notes payable secured by credit risk transfer $ 2,883 $ 1,262 (1) Notional amounts provide an indication of the volume of the Company’s derivative activity. (2) All hedging derivatives are interest rate derivatives that are used as economic hedges. Netting of Financial Instruments The Company has elected to net derivative asset and liability positions, and cash collateral placed with or received from its counterparties when such positions are subject to a legally enforceable master netting arrangement and the Company intends to set off. The derivative financial instruments that are not subject to master netting arrangements are CRT derivatives and IRLCs. As of March 31, 2023 and December 31, 2022, the Company was not a party to any reverse repurchase agreements or securities lending transactions that are required to be disclosed in the following tables. Derivative Assets, Financial Instruments and Collateral Held by Counterparty The following table summarizes by significant counterparty the amount of derivative asset positions after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance qualifying for setoff accounting. March 31, 2023 December 31, 2022 Net amount Gross amounts Net amount Gross amounts of assets not offset in the of assets not offset in the presented consolidated presented consolidated in the balance sheet in the balance sheet consolidated Cash consolidated Cash balance Financial collateral Net balance Financial collateral Net sheet instruments received amount sheet instruments received amount (in thousands) CRT derivatives $ 2,883 $ — $ — $ 2,883 $ 1,262 $ — $ — $ 1,262 Interest rate lock commitments 9,952 — — 9,952 3,877 — — 3,877 RJ O’Brien & Associates, LLC 20,078 — — 20,078 11,036 — — 11,036 Bank of America, N.A. 19,982 — — 19,982 14,666 — — 14,666 Morgan Stanley & Co. LLC 17,169 — — 17,169 33,703 — — 33,703 Goldman Sachs & Co. LLC 9,315 — — 9,315 2,789 — — 2,789 Citigroup Global Markets Inc. 6,276 — — 6,276 — — — — Wells Fargo Securities, LLC — — — — 6,980 — — 6,980 Credit Suisse Securities (USA) LLC — — — — 5,827 — — 5,827 Barclays Capital Inc. — — — — 2,013 — — 2,013 J.P. Morgan Securities LLC — — — — 110 — — 110 Other 3,630 — — 3,630 2,677 — — 2,677 $ 89,285 $ — $ — $ 89,285 $ 84,940 $ — $ — $ 84,940 Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty The following table summarizes by significant counterparty the amount of derivative liabilities and assets sold under agreements to repurchase after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance to qualify for setoff accounting. All assets sold under agreements to repurchase represent sufficient collateral or exceed the liability amount recorded on the consolidated balance sheet. March 31, 2023 December 31, 2022 Net amount Gross amounts Net amount Gross amounts of liabilities not offset in the of liabilities not offset in the presented consolidated presented consolidated in the balance sheet in the balance sheet consolidated Financial Cash consolidated Financial Cash balance instruments collateral Net balance instruments collateral Net sheet (1) pledged amount sheet (1) pledged amount (in thousands) Interest rate lock commitments $ 1,403 $ — $ — $ 1,403 $ 4,355 $ — $ — $ 4,355 CRT derivatives 16,743 — — 16,743 23,360 — — 23,360 J.P. Morgan Securities LLC 1,991,349 ( 1,991,349 ) — — 1,605,813 ( 1,605,813 ) — — Barclays Capital Inc. 1,242,211 ( 1,241,372 ) — 839 1,115,265 ( 1,115,265 ) — — Bank of America, N.A. 1,085,013 ( 1,085,013 ) — — 1,239,293 ( 1,239,293 ) — — Wells Fargo Securities, LLC 951,279 ( 949,955 ) — 1,324 262,512 ( 262,512 ) — — Atlas Securitized Products, L.P. 895,137 ( 895,137 ) — — — — — — Credit Suisse Securities (USA) LLC — — — — 675,639 ( 675,639 ) — — BNP Paribas 378,785 ( 378,785 ) — — 153,220 ( 153,220 ) — — Daiwa Capital Markets 376,627 ( 376,317 ) — 310 439,089 ( 439,089 ) — — RBC Capital Markets, L.P. 335,303 ( 335,303 ) — — 268,581 ( 268,581 ) — — Amherst Pierpont Securities LLC 262,183 ( 262,093 ) — 90 283,928 ( 283,294 ) — 634 Citigroup Global Markets Inc. 246,508 ( 246,508 ) — — 197,229 ( 195,807 ) — 1,422 Goldman Sachs & Co. LLC 193,012 ( 193,012 ) — — 156,952 ( 156,952 ) — — Mizuho Financial Group 81,569 ( 80,066 ) — 1,503 — — — — Morgan Stanley & Co. LLC 76,031 ( 76,031 ) — — 218,730 ( 218,730 ) — — Nomura Holdings America, Inc 4,567 ( 4,567 ) — — 4,444 ( 4,444 ) — — Other 3,192 — — 3,192 262 — — 262 $ 8,140,912 $ ( 8,115,508 ) $ — $ 25,404 $ 6,648,672 $ ( 6,618,639 ) $ — $ 30,033 (1) Amounts represent the UPB of Assets sold under agreements to repurchase . Following are the net gains (losses) recognized by the Company on derivative financial instruments and the consolidated statements of operations line items where such gains and losses are included: Quarter ended March 31, Derivative activity Consolidated statements of operations line 2023 2022 (in thousands) Interest rate lock commitments Net gains on loans acquired for sale (1) $ 9,027 $ ( 25,916 ) CRT derivatives Net gains (losses) on investments and financings $ 11,126 $ ( 5,848 ) Hedged item: Interest rate lock commitments Net gains on loans acquired for sale $ ( 20,744 ) $ 251,899 Mortgage servicing rights Net loan servicing fees $ ( 54,891 ) $ ( 163,802 ) (1) Represents net change in fair value of IRLCs from the beginning to the end of the reporting period. Amounts recognized at the date of commitment and fair value changes recognized during the period until purchase of the underlying loan or cancellation of the commitment are shown in the rollforward of IRLCs for the period in Note 7 – Fair Value – Financial Statement Items Measured at Fair Value on a Recurring Basis . |
Mortgage Servicing Rights
Mortgage Servicing Rights | 3 Months Ended |
Mar. 31, 2023 | |
Text Block [Abstract] | |
Mortgage Servicing Rights | Note 12—Mortgage Servicing Rights Following is a summary of MSRs: Quarter ended March 31, 2023 2022 (in thousands) Balance at beginning of quarter $ 4,012,737 $ 2,892,855 MSRs resulting from loan sales 100,618 194,596 Transfer to Agency of mortgage servicing rights ( 835 ) — Changes in fair value: Due to changes in inputs used in valuation model (1) ( 45,771 ) 392,640 Other changes in fair value (2) ( 91,673 ) ( 88,919 ) ( 137,444 ) 303,721 Balance at end of quarter $ 3,975,076 $ 3,391,172 March 31, 2023 December 31, 2022 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets and Notes payable $ 3,926,160 $ 3,962,820 (1) Primarily reflects changes in pricing spread, prepayment speed, servicing cost, and UPB of underlying loan inputs. (2) Represents changes due to realization of expected cash flows. Servicing fees relating to MSRs are recorded in Net loan servicing fees – from nonaffiliates on the Company’s consolidated statements of operations and are summarized below: Quarter ended March 31, 2023 2022 (in thousands) Contractually-specified servicing fees $ 164,214 $ 146,885 Ancillary and other fees: Late charges 759 612 Other 3,184 8,502 3,943 9,114 $ 168,157 $ 155,999 Average MSR servicing portfolio $ 230,812,774 $ 217,692,169 MSR recapture fees $ 485 $ 8,260 UPB of loans recaptured $ 95,191 $ 1,580,805 |
Other Assets
Other Assets | 3 Months Ended |
Mar. 31, 2023 | |
Other Assets [Abstract] | |
Other Assets | Note 13— Other Assets Other assets are summarized below: March 31, 2023 December 31, 2022 (dollars in thousands) Derivative margin deposits $ 59,191 $ 51,463 Interest receivable 40,231 31,027 Servicing fees receivable 13,149 15,727 Correspondent lending receivables 8,063 8,967 Other receivables 22,781 7,657 Real estate acquired in settlement of loans 8,270 7,734 Other 18,732 12,416 $ 170,417 $ 134,991 Real estate acquired in settlement of loans pledge to secure Assets sold under agreements to repurchase $ 3,554 $ 3,297 |
Short-Term Debt
Short-Term Debt | 3 Months Ended |
Mar. 31, 2023 | |
Short-Term Debt [Abstract] | |
Short-Term Debt | Note 14— Short-Term Debt The borrowing facilities described throughout these Notes 14 and 15 contain various covenants, including financial covenants governing the Company and its subsidiaries’ net worth, debt-to-equity ratio, and liquidity. Management believes that the Company was in compliance with these covenants as of March 31, 2023. Assets Sold Under Agreements to Repurchase Following is a summary of financial information relating to assets sold under agreements to repurchase: Quarter ended March 31, 2023 2022 (dollars in thousands) Weighted average interest rate (1) 5.55 % 1.06 % Average balance $ 7,242,478 $ 4,999,896 Total interest expense $ 100,267 $ 15,571 Maximum daily amount outstanding $ 9,107,074 $ 7,405,436 (1) Excludes the effect of amortization of debt issuance costs of $ 1.2 million and $ 2.5 million for the quarters ended March 31, 2023 and 2022, respectively. March 31, 2023 December 31, 2022 (dollars in thousands) Carrying value: Unpaid principal balance $ 8,115,508 $ 6,618,639 Unamortized debt issuance costs ( 1,400 ) ( 2,111 ) $ 8,114,108 $ 6,616,528 Weighted average interest rate 5.80 % 5.03 % Available borrowing capacity (1): Committed $ 41,308 $ 217,279 Uncommitted 3,253,455 4,762,056 $ 3,294,763 $ 4,979,335 Margin deposits placed with (received from) counterparties included in Other assets ( Accounts payable and accrued liabilities ), net $ 17,399 $ ( 13,630 ) Assets securing agreements to repurchase: Mortgage-backed securities $ 4,616,580 $ 4,462,601 Loans acquired for sale at fair value $ 3,117,294 $ 1,801,368 Loans at fair value: Securities retained in asset-backed financings $ 84,866 $ 84,044 Distressed $ 194 $ 206 Deposits securing credit risk transfer arrangements $ 446,574 $ 455,552 Mortgage servicing rights (2) $ 2,045,372 $ 2,092,794 Servicing advances $ 76,664 $ 100,888 Real estate acquired in settlement of loans $ 3,554 $ 3,297 (1) The amount the Company is able to borrow under asset repurchase agreements is tied to the fair value of unencumbered assets eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the assets financed. (2) Beneficial interests in Fannie Mae MSRs are pledged for both Assets sold under agreements to repurchase and Notes payable secured by credit risk transfer and mortgage servicing assets . Following is a summary of maturities of outstanding advances under repurchase agreements by maturity date: Remaining maturity at March 31, 2023 (1) Unpaid (in thousands) Within 30 days $ 4,405,227 Over 30 to 90 days 2,837,245 Over 90 days to 180 days 424,998 Over 180 days to 1 year — Over 1 year to 2 years 448,038 $ 8,115,508 Weighted average maturity (in months) 2.0 (1) The Company is subject to margin calls during the period the repurchase agreements are outstanding and therefore may be required to repay a portion of the borrowings before the respective repurchase agreements mature if the fair value (as determined by the applicable lender) of the assets securing those repurchase agreements decreases. The amount at risk (the fair value of the assets pledged plus the related margin deposit, less the amount advanced by the counterparty and interest payable) and maturity information relating to the Company’s assets sold under agreements to repurchase is summarized by pledged asset and counterparty below as of March 31, 2023: Loans, REO and MSRs Weighted-average maturity Counterparty Amount at risk Advances Facility (in thousands) Bank of America, N.A. $ 33,622 May 6, 2023 June 5, 2024 Citibank, N.A. $ 18,609 May 31, 2023 April 26, 2024 Barclays Capital Inc. $ 48,065 June 2, 2023 November 13, 2024 Goldman Sachs & Co. LLC $ 3,745 June 5, 2023 December 23, 2023 JPMorgan Chase & Co. $ 11,598 May 30, 2023 June 17, 2024 Atlas Securitized Products, L.P. $ 61,683 June 9, 2023 May 31, 2024 Wells Fargo Securities, LLC $ 14,178 June 13, 2023 November 17, 2023 BNP Paribas Corporate & Institutional Banking $ 14,908 June 18, 2023 November 30, 2024 RBC Capital Markets, L.P. $ 12,112 June 6, 2023 February 10, 2024 Morgan Stanley & Co. LLC $ 4,082 June 19, 2023 January 27, 2025 Securities Counterparty Amount at risk Weighted average maturity (in thousands) Bank of America, N.A. $ 19,928 April 23, 2023 Citibank, N.A. $ 32,022 May 24, 2023 Barclays Capital Inc. $ 56,559 April 14, 2023 JPMorgan Chase & Co. $ 52,383 April 19, 2023 Wells Fargo Securities, LLC $ 28,870 April 6, 2023 Daiwa Capital Markets America Inc. $ 10,772 April 24, 2023 Amherst Pierpont Securities LLC $ 7,831 April 21, 2023 Mizuho Financial Group $ 4,173 April 21, 2023 Nomura Holdings America, Inc $ 1,707 April 3, 2023 CRT arrangements Counterparty Amount at risk Weighted average maturity (in thousands) Bank of America, N.A. $ 57,379 April 3, 2023 Citibank, N.A. $ 54,539 July 3, 2023 Goldman Sachs & Co. LLC $ 96,233 May 23, 2023 Mortgage Loan Participation Purchase and Sale Agreement One of the borrowing facilities secured by loans acquired for sale is in the form of a mortgage loan participation purchase and sale agreement. Participation certificates, each of which represents an undivided beneficial ownership interest in a pool of loans that have been pooled with Fannie Mae or Freddie Mac, are sold to the lender pending the securitization of such loans and the sale of the resulting security. The commitment between the Company and a nonaffiliate to sell such security is also assigned to the lender at the time a participation certificate is sold. The purchase price paid by the lender for each participation certificate is based on the trade price of the security, plus an amount of interest expected to accrue on the security to its anticipated delivery date, minus a present value adjustment, any related hedging costs and a holdback amount. The holdback amount is based on a percentage of the purchase price and is not required to be paid to the Company until the settlement of the security and its delivery to the lender. The mortgage loan participation purchase and sale agreement is summarized below: Quarter ended March 31, 2023 2022 (dollars in thousands) Average balance (1) $ 17,107 $ 35,809 Weighted average interest rate (2) 6.20 % 1.64 % Total interest expense $ 293 $ 176 Maximum daily amount outstanding $ 90,531 $ 88,633 (1) No outstanding balance as of March 31, 2023 and December 31, 2022. (2) Excludes the effect of amortization of debt issuance costs of $ 31,000 for the quarters ended March 31, 2023 and 2022. |
Long-Term Debt
Long-Term Debt | 3 Months Ended |
Mar. 31, 2023 | |
Debt Disclosure [Abstract] | |
Long-Term Debt | Note 15— Long-Term Debt Notes Payable Secured By Credit Risk Transfer and Mortgage Servicing Assets CRT Arrangement Financing The Company, through various wholly-owned subsidiaries, issued secured term notes (the “CRT Term Notes”) to qualified institutional buyers under Rule 144A of the Securities Act of 1933, as amended (the “Securities Act”). All of the CRT Term Notes rank pari passu with each other. Following is a summary of the CRT Term Notes outstanding: Unpaid Annual interest rate Maturity date Term Issuance date Issuance amount principal Index Spread Stated Optional extension (1) (in thousands) 2021 1R March 4, 2021 $ 659,156 $ 292,216 LIBOR (2) 2.90 % February 28, 2024 February 27, 2026 2020 1R February 14, 2020 $ 350,000 56,576 LIBOR 2.35 % February 27, 2025 (3) 2019 3R October 16, 2019 $ 375,000 53,134 LIBOR 2.70 % October 29, 2024 (3) 2019 2R June 11, 2019 $ 638,000 176,190 LIBOR 2.75 % May 29, 2023 May 29, 2025 $ 578,116 (1) The indentures relating to these issuances provide the Company with the option to extend the maturity dates of certain of the CRT Term Notes under the conditions specified in the respective agreements. (2) London Inter-Bank Offered Rate ("LIBOR"). (3) Stated maturity date reflects the exercise by the Company of its option to extend the maturity of this issuance. Fannie Mae MSR Financing The Company, through a subsidiary, PMT ISSUER TRUST-FMSR, finances MSRs and ESS pledged or sold by PMC through a combination of repurchase agreements and term financing. The repurchase agreement financing for Fannie Mae MSRs is effected through the issuance of a Series 2017-VF1 Note dated December 20, 2017 (the "FMSR VFN") by PMT ISSUER TRUST-FMSR to PMC which is then sold to qualified institutional buyers under an agreement to repurchase. The amount outstanding under the FMSR VFN is included in Assets sold under agreements to repurchase in the Company’s consolidated balance sheets. The FMSR VFN has a committed borrowing capacity of $ 700 million and matures on May 31, 2024 . The Company’s term financing for Fannie Mae MSRs through PMT ISSUER TRUST – FMSR is effected through the issuance of term notes (the “FT-1 Notes”) to qualified institutional buyers under Rule 144A of the Securities Act. The FT1 Notes and the FMSR VFN are secured by certain participation certificates relating to Fannie Mae MSRs and rank pari passu with each other. Following is a summary of the term financing of the Company’s Fannie Mae MSRs: Unpaid Annual interest rate Maturity date FT-1 Note Issuance date Issuance amount principal Index Spread Stated Optional extension (1) (in thousands) 2022 June 28, 2022 $ 305,000 $ 305,000 SOFR (2) 4.19 % June 25, 2027 (3) 2021 March 30, 2021 $ 350,000 350,000 LIBOR 3.00 % March 25, 2026 March 27, 2028 2018 April 25, 2018 $ 450,000 450,000 LIBOR 2.35 % April 25, 2023 April 25, 2025 $ 1,105,000 (1) The indentures relating to these issuances provide the Company with the option of extending the maturity dates of certain of the FT-1 Notes under the conditions specified in the respective agreements. (2) Secured Overnight Financing Rate ("SOFR") (3) Either June 26, 2028 or June 25, 2029. Freddie Mac MSR Financing The Company, through PMC and PMH, finances certain MSRs (including any related excess servicing spread) relating to loans pooled into Freddie Mac securities through various credit agreements. The total loan amount available under the agreements is $ 1.6 billion, bearing interest at an annual rate equal to SOFR plus a spread as defined in each agreement, with a weighted average maturity of June 2024 . The total loan amount available under the agreements may be reduced by other debt outstanding with the counterparties. Advances under the credit agreements are secured by MSRs relating to loans serviced for Freddie Mac guaranteed securities. On March 16, 2023, the Company and its subsidiaries consented to assignments of all of the credit facilities provided to the Company by Credit Suisse First Boston Mortgage Capital LLC, as administrative agent and Credit Suisse AG, Cayman Islands Branch, as a buyer or purchaser, and Alpine Securitization LTD, as a buyer or purchaser. All of the credit facilities were assigned to Atlas Securitized Products, L.P., Atlas Securitized Products Investments 3, L.P., Atlas Securitized Products Funding 2, L.P., and Nexera Holding LLC. Following is a summary of financial information relating to notes payable secured by credit risk transfer and mortgage servicing assets: Quarter ended March 31, 2023 2022 (dollars in thousands) Average balance $ 2,802,691 $ 2,438,773 Weighted average interest rate (1) 7.69 % 3.14 % Total interest expense $ 54,947 $ 20,366 Maximum daily amount outstanding $ 2,812,694 $ 2,601,767 (1) Excludes the effect of amortization of debt issuance costs of $ 1.8 million and $ 1.5 million for the quarters ended March 31, 2023 and 2022, respectively. March 31, 2023 December 31, 2022 (dollars in thousands) Carrying value: Unpaid principal balance: CRT Term Notes $ 578,116 $ 592,694 FT-1 Notes 1,105,000 1,105,000 Freddie Mac credit agreements 1,115,000 1,115,000 2,798,116 2,812,694 Unamortized debt issuance costs ( 7,158 ) ( 8,666 ) $ 2,790,958 $ 2,804,028 Weighted average interest rate 7.84 % 7.30 % Assets securing notes payable: Mortgage servicing rights (1) $ 3,926,160 $ 3,962,820 CRT Agreements: Deposits securing CRT arrangements $ 851,343 $ 869,742 Derivative assets $ 2,883 $ 1,262 (1) Beneficial interests in Freddie Mac MSRs are pledged as collateral for the Notes payable secured by credit risk transfer and mortgage servicing assets. Beneficial interests in Fannie Mae MSRs are pledged for both Assets sold under agreements to repurchase and Notes payable secured by credit risk transfer and mortgage servicing assets . Exchangeable Senior Notes On March 5 and March 9, 2021, PMC issued $ 345 million aggregate principal amount of exchangeable senior notes (the “2026 Exchangeable Notes”) due 2026 in a private offering. The 2026 Exchangeable Notes will mature on March 15, 2026 unless repurchased or exchanged in accordance with their terms before such date. The 2026 Exchangeable Notes bear interest at a rate of 5.50 % per year, payable semiannually. On November 7 and November 19, 2019, PMC issued $ 210 million aggregate principal amount of exchangeable senior notes due 2024 (the “2024 Exchangeable Notes” and, together with the 2026 Exchangeable Notes, the “Exchangeable Notes”) in a private offering. The 2024 Exchangeable Notes will mature on November 1, 2024 unless repurchased or exchanged in accordance with their terms before such date. The 2024 Exchangeable Notes bear interest at 5.50 % per year, payable semiannually. The 2026 Exchangeable Notes and the 2024 Exchangeable Notes are fully and unconditionally guaranteed by the Company and are exchangeable for Common Shares, cash, or a combination thereof, at PMC’s election, at any time until the close of business on the second scheduled trading day immediately preceding the maturity date, subject to the satisfaction of certain conditions if the exchange occurs before December 15, 2025 and August 1, 2024, respectively. The exchange rates are equal to 46.1063 and 40.101 Common Shares per $ 1,000 principal amount of the 2026 Exchangeable Notes and 2024 Exchangeable Notes, respectively, and are subject to adjustment upon the occurrence of certain events, but will not be adjusted for any accrued and unpaid interest. Following is financial information relating to the Exchangeable Notes: Quarter ended March 31, 2023 2022 (in thousands) Average balance $ 546,511 $ 529,542 Weighted average interest rate (1) 5.66 % 5.84 % Interest expense $ 8,380 $ 8,320 March 31, 2023 December 31, 2022 (in thousands) Carrying value: UPB $ 555,000 $ 555,000 Unamortized debt issuance costs ( 7,997 ) ( 8,746 ) $ 547,003 $ 546,254 (1) Excludes the effect of amortization of debt issuance costs of $ 748,000 and $ 689,000 for the quarters ended March 31, 2023 and 2022, respectively. Asset-Backed Financing of Variable Interest Entities at Fair Value Following is a summary of financial information relating to the asset-backed financings of VIEs at fair value described in Note 6 ‒ Variable Interest Entities ‒ Subordinate Mortgage-Backed Securities : Quarter ended March 31, 2023 2022 (dollars in thousands) Average balance $ 1,411,990 $ 1,460,610 Total interest expense $ 12,353 $ 11,027 Weighted average interest rate (1) 3.70 % 3.29 % (1) Excludes the effect of (accrual) amortization of premiums and debt issuance cost of $( 542,000 ) and $ 834,000 for the quarters ended March 31, 2023 and 2022, respectively. March 31, 2023 December 31, 2022 (dollars in thousands) Fair value $ 1,403,080 $ 1,414,955 Unpaid principal balance $ 1,659,916 $ 1,681,410 Weighted average interest rate 3.22 % 3.22 % The asset-backed financings are non-recourse liabilities and are secured solely by the assets of consolidated VIEs and not by any other assets of the Company. The assets of the VIEs are the only source of funds for repayment of the certificates. Maturities of Long-Term Debt Contractual maturities of long-term debt obligations (based on final maturity dates) are as follows: Twelve months ended March 31, Total 2024 2025 2026 2027 2028 Thereafter (in thousands) Notes payable secured by credit risk transfer $ 2,798,116 $ 918,406 $ 1,224,710 $ 350,000 $ — $ 305,000 $ — Exchangeable senior notes 555,000 — 210,000 345,000 — — — Asset-backed financings at fair value (2) 1,659,916 — — — — — 1,659,916 Interest-only security payable at fair value (2) 23,205 — — — — — 23,205 Total $ 5,036,237 $ 918,406 $ 1,434,710 $ 695,000 $ — $ 305,000 $ 1,683,121 (1) Based on stated maturity. As discussed above, certain of the Notes payable secured by credit risk and mortgage servicing assets allow the Company to exercise optional extensions. (2) Contractual maturity does not reflect expected repayment as borrowers of the underlying loans generally have the right to repay their loans at any time . |
Liability for Losses Under Repr
Liability for Losses Under Representations and Warranties | 3 Months Ended |
Mar. 31, 2023 | |
Liability For Representations And Warranties [Abstract] | |
Liability for Losses Under Representations and Warranties | Note 16—Liability for Losses Under Representations and Warranties Following is a summary of the Company’s liability for losses under representations and warranties: Quarter ended March 31, 2023 2022 (in thousands) Balance, beginning of quarter $ 39,471 $ 40,249 Provision for losses: Pursuant to loan sales 940 1,317 Reduction in liability due to change in estimate ( 616 ) ( 1,165 ) Losses incurred ( 388 ) ( 176 ) Balance, end of quarter $ 39,407 $ 40,225 UPB of loans subject to representations and warranties $ 230,035,290 $ 217,466,262 |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2023 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 17—Commitments and Contingencies Commitments The following table summarizes the Company’s outstanding contractual commitments: March 31, 2023 (in thousands) Commitments to purchase loans acquired for sale $ 1,806,398 Litigation From time to time, the Company may be involved in various legal and regulatory proceedings, claims and legal actions arising in the ordinary course of business. The amount, if any, of ultimate liability with respect to such matters cannot be determined, but despite the inherent uncertainties of litigation, management believes that the ultimate disposition of any such proceedings and exposure will not have, individually or taken together, a material adverse effect on the financial condition, results of operations, or cash flows of the Company. Cessation of the LIBOR Index The Company historically used a LIBOR index to establish the applicable interest rates in lending and financing transactions. One-week and two-month United States Dollar LIBOR rates were discontinued as of December 31, 2021 and non-U.S. Dollar LIBOR settings have ceased to be representative. The principal United States Dollar LIBOR tenors (overnight and one, three, six and 12 months) will cease to be published by any administrator or will no longer be representative as of June 30, 2023. The Company services LIBOR-based adjustable rate mortgages and other financial arrangements that may incorporate fallback provisions or replacement provisions related to the LIBOR transition. The discontinuation of LIBOR could affect the Company’s interest expense and earnings, cost of capital, and the fair value of certain of its assets and the instruments used to hedge their fair value. Furthermore, the transition away from widely used benchmark rates like LIBOR could result in customers or other market participants challenging the determination of their interest or dividend payments, disputing the interpretations or implementation of contract or instrument “fallback” provisions and other transition related changes. |
Shareholders' Equity
Shareholders' Equity | 3 Months Ended |
Mar. 31, 2023 | |
Equity [Abstract] | |
Shareholders' Equity | Note 18—Shareholders’ Equity Preferred Shares of Beneficial Interest Preferred shares of beneficial interest are summarized below: Dividends per share Preferred Quarter ended March 31, Share Description (1) Number Liquidation Issuance Carrying 2023 2022 Fixed-to-floating rate cumulative redeemable (in thousands, except dividends per share) A 8.125 % Issued March 2017 4,600 $ 115,000 $ 3,828 $ 111,172 $ 0.51 $ 0.51 B 8.00 % Issued July 2017 7,800 195,000 6,465 188,535 $ 0.50 $ 0.50 Fixed-rate cumulative redeemable C 6.75 % Issued August 2021 10,000 250,000 8,225 241,775 $ 0.42 $ 0.42 22,400 $ 560,000 $ 18,518 $ 541,482 (1) Par value is $ 0.01 per share. The Company’s Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Shares of Beneficial Interest (the “Series A Preferred Shares”) pay cumulative dividends at a fixed rate of 8.125 % per year based on the $ 25.00 per share liquidation preference to, but not including, March 15, 2024. From, and including, March 15, 2024 and thereafter, the Company will pay cumulative dividends on the Series A Preferred Shares at a floating rate equal to three-month LIBOR as calculated on each applicable dividend determination date plus a spread of 5.831 % per year based on the $ 25.00 per share liquidation preference. The Company’s Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Shares of Beneficial Interest (the “Series B Preferred Shares”) pay cumulative dividends at a fixed rate of 8.00 % per year based on the $ 25.00 per share liquidation preference to, but not including, June 15, 2024. From, and including, June 15, 2024 and thereafter, the Company will pay cumulative dividends on the Series B Preferred Shares at a floating rate equal to three-month LIBOR as calculated on each applicable dividend determination date plus a spread of 5.99 % per year based on the $ 25.00 per share liquidation preference. The Company’s Series C Fixed Rate Cumulative Redeemable Preferred Shares of Beneficial Interest (the “Series C Preferred Shares” together with the Series A Preferred Shares and Series B Preferred Shares, the “Preferred Shares”) pay cumulative dividends at a fixed rate of 6.75 % per year based on the $ 25.00 per share liquidation preference. The Series A Preferred Shares, the Series B Preferred Shares and Series C Preferred Shares will not be redeemable before March 15, 2024, June 15, 2024 and August 24, 2026, respectively, except in connection with the Company’s qualification as a REIT for U.S. federal income tax purposes or upon the occurrence of a change of control. On or after the date the Preferred Shares become redeemable, or 120 days after the first date on which such change of control occurred, the Company may, at its option, redeem any or all of the Preferred Shares at $ 25.00 per share plus any accumulated and unpaid dividends to, but not including, the redemption date. The Preferred Shares have no stated maturity, are not subject to any sinking fund or mandatory redemption and will remain outstanding indefinitely unless redeemed or repurchased by the Company or converted into Common Shares in connection with a change of control by the holders of the Preferred Shares. Common Shares of Beneficial Interest “At-The-Market” (“ATM”) Equity Offering Program The Company periodically enters into ATM equity offering programs allowing it to offer and sell securities on an as-and-when-needed basis through designated broker-dealers. On June 15, 2021, the Company entered into a new ATM equity offering program allowing it to offer up to $ 200 million of its Common Shares, all of which were available for issuance as of March 31, 2023. Common Share Repurchase Program The Company has a Common Share repurchase program. On October 24, 2022, the Company’s board of trustees approved an increase to PMT's Common Share repurchase authorization from $ 400 million to $ 500 million before transaction fees. The following table summarizes the Company’s Common Share repurchase activity: Quarter ended March 31, Cumulative 2023 2022 total (1) (in thousands) Common Shares repurchased 638 1,974 27,329 Cost of Common Shares repurchased (2) $ 7,564 $ 31,829 $ 406,303 (1) Amounts represent the Common Share repurchase program total from its inception in August 2015 through March 31, 2023. (2) Cumulative total cost of Common Shares repurchased includes $ 547,000 of transaction fees. |
Net Gains (Losses) on Investmen
Net Gains (Losses) on Investments and Financings | 3 Months Ended |
Mar. 31, 2023 | |
Investments, Debt and Equity Securities [Abstract] | |
Net Gains (Losses) on Investments and Financings | Note 19— Net Gains (Losses) on Investments and Financings Net gains (losses) on investments and financings are summarized below: Quarter ended March 31, 2023 2022 (in thousands) From nonaffiliates: Mortgage-backed securities $ 78,218 $ ( 186,525 ) Loans at fair value: Held in VIEs 11,017 ( 96,564 ) Distressed 451 443 CRT arrangements 46,278 ( 35,623 ) Asset-backed financings at fair value ( 10,160 ) 89,174 $ 125,804 $ ( 229,095 ) |
Net Gains on Loans Acquired for
Net Gains on Loans Acquired for Sale | 3 Months Ended |
Mar. 31, 2023 | |
Text Block [Abstract] | |
Net Gains on Loans Acquired for Sale | Note 20— Net Gains on Loans Acquired for Sale Net gains on loans acquired for sale are summarized below: Quarter ended March 31, 2023 2022 (in thousands) From nonaffiliates: Cash losses: Sales of loans $ ( 72,945 ) $ ( 439,788 ) Hedging activities ( 52,116 ) 338,102 ( 125,061 ) ( 101,686 ) Non-cash gains: Receipt of MSRs in mortgage loan sale transactions 100,618 194,596 Provision for losses relating to representations Pursuant to loans sales ( 940 ) ( 1,317 ) Reduction of liability due to change in estimate 616 1,165 ( 324 ) ( 152 ) Changes in fair value of loans and derivatives Interest rate lock commitments 9,027 ( 25,916 ) Loans ( 10,487 ) 22,018 Hedging derivatives 31,372 ( 86,203 ) 29,912 ( 90,101 ) 130,206 104,343 Total from nonaffiliates 5,145 2,657 From PFSI ‒ cash gains 1,328 1,296 $ 6,473 $ 3,953 |
Net Interest Expense
Net Interest Expense | 3 Months Ended |
Mar. 31, 2023 | |
Banking and Thrift, Interest [Abstract] | |
Net Interest Expense | Note 21—Net Interest Expense Net interest expense is summarized below: Quarter ended March 31, 2023 2022 (in thousands) Interest income: Cash and short-term investments $ 6,311 $ 403 Mortgage-backed securities 51,139 14,400 Loans acquired for sale at fair value 36,988 19,248 Loans at fair value: Held in consolidated variable interest entities 15,166 12,849 Distressed ( 7 ) 174 Deposits securing CRT arrangements 14,212 222 Placement fees relating to custodial funds 28,920 3,709 Other 290 58 153,019 51,063 Interest expense: Assets sold under agreements to repurchase 100,267 15,571 Mortgage loan participation purchase and sale agreements 293 176 Notes payable secured by credit risk transfer and 54,947 20,366 Exchangeable senior notes 8,380 8,320 Asset-backed financings at fair value 12,353 11,027 Interest shortfall on repayments of loans serviced 1,029 7,042 Interest on loan impound deposits 1,343 1,012 Other 525 — 179,137 63,514 Net interest expense $ ( 26,118 ) $ ( 12,451 ) |
Share-Based Compensation
Share-Based Compensation | 3 Months Ended |
Mar. 31, 2023 | |
Share-Based Payment Arrangement [Abstract] | |
Share-Based Compensation | Note 22—Share-Based Compensation The Company has adopted an equity incentive plan (“2019 Plan”) which provides for the issuance of equity based awards based on PMT’s Common Shares that may be made by the Company to its officers and trustees, and the members, officers, trustees, directors and employees of PCM, PFSI, or their affiliates and to PCM, PFSI and other entities that provide services to PMT and the employees of such other entities. The 2019 Plan is administered by the Company’s compensation committee, pursuant to authority delegated by PMT’s board of trustees, which has the authority to make awards to the eligible participants referenced above, and to determine what form the awards will take, and the terms and conditions of the awards. The 2019 Plan allows for the grant of restricted and performance-based share and unit awards. The shares underlying award grants will again be available for award under the 2019 Plan if: • any shares subject to an award granted under the equity incentive plan are forfeited, canceled, exchanged or surrendered; • an award terminates or expires without a distribution of shares to the participant; or • shares are surrendered or withheld by PMT as payment of either the exercise price of an award and/or withholding taxes for an award. Restricted share units have been awarded to trustees and officers of the Company and to other employees of PFSI and its subsidiaries at no cost to the grantees. Such awards generally vest over a one - to three-year period. The following table summarizes the Company’s share-based compensation activity: Quarter ended March 31, 2023 2022 (in thousands) Grants: Restricted share units 165 128 Performance share units 123 99 288 227 Grant date fair value: Restricted share units $ 2,134 $ 2,006 Performance share units 1,581 1,551 $ 3,715 3,557 Vestings: Restricted share units 129 78 Performance share units (1) 48 41 177 119 Forfeitures: Restricted share units — — Performance share units — 9 — 9 Compensation expense relating to share-based grants $ 1,156 $ 1,029 (1) The actual number of performance-based restricted share units (“RSUs”) that vested during the quarter ended March 31, 2023 was 48,372 Common Shares, which is app roximately 39 % of the originally granted performance-based RSUs. March 31, 2023 Restricted share units Performance share units Shares expected to vest: Number of units (in thousands) 261 217 Grant date average fair value per unit $ 14.43 $ 14.53 |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2023 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Note 23—Income Taxes The Company’s effective tax rate was ( 56.4 )% with consolidated pretax income of $ 38.8 million for the quarter ended March 31, 2023. The Company’s taxable REIT subsidiary (“TRS”) recognized a tax benefit of $ 21.8 million on a pretax loss of $ 90.1 million for the quarter ended March 31, 2023. For the same period in 2022, the TRS recognized a tax expense of $ 37.9 million on pretax income of $ 272.8 million. The Company’s reported consolidated pretax income was $ 18.1 million for the quarter ended March 31, 2022. The primary difference between the Company’s effective tax rate and the statutory tax rate is generally attributable to nontaxable REIT income resulting from the dividends paid deduction. The Company assesses the available positive and negative evidence to estimate whether sufficient future taxable income will be generated to permit use of the existing deferred tax assets. On the basis of this evaluation, as of March 31, 2023, the valuation allowance remains zero . The conclusion was primarily based on the fact that the TRS has reported cumulative GAAP income over the last three-year period ending March 31, 2023. The amount of deferred tax assets considered realizable could be adjusted in future periods based on future income. In general, cash dividends declared by the Company will be considered ordinary income to the shareholders for income tax purposes. Some portion of the dividends may be characterized as capital gain distributions or a return of capital. For tax years beginning after December 31, 2017, the 2017 Tax Cuts and Jobs Act (subject to certain limitations) provides a 20 % deduction from taxable income for ordinary REIT dividends. |
Earnings Per Common Share
Earnings Per Common Share | 3 Months Ended |
Mar. 31, 2023 | |
Earnings Per Share [Abstract] | |
Earnings Per Common Share | Note 24—Earnings Per Common Share The Company grants restricted share units which entitle the recipients to receive dividend equivalents during the vesting period on a basis equivalent to the dividends paid to holders of Common Shares. Unvested share-based compensation awards containing non-forfeitable rights to receive dividends or dividend equivalents (collectively, “dividends”) are classified as “participating securities” and are included in the basic earnings per share calculation using the two-class method . Under the two-class method, all earnings (distributed and undistributed) are allocated to Common Shares and participating securities based on their respective rights to receive dividends. Basic earnings per share is determined by dividing net income available to common shareholders (net income reduced by preferred dividends and income attributable to the participating securities) by the weighted average Common Shares outstanding during the period. The following table summarizes the basic and diluted earnings per share calculations: Quarter ended March 31, 2023 2022 (in thousands except per share amounts) Net income (loss) $ 60,697 $ ( 19,129 ) Dividends on preferred shares ( 10,455 ) ( 10,455 ) Effect of participating securities—share-based compensation awards ( 140 ) ( 104 ) Net income (loss) attributable to common shareholders 50,102 ( 29,688 ) Interest on Exchangeable Notes, net of income taxes 6,352 — Income attributable to participating securities 8 — Diluted net income (loss) attributable to common shareholders $ 56,462 $ ( 29,688 ) Weighted average basic shares outstanding 88,831 94,146 Dilutive securities: Shares issuable pursuant to exchange of the Exchangeable Notes 24,328 — Shares issuable under share-based compensation plan 229 — Diluted weighted average shares outstanding 113,388 94,146 Basic earnings (loss) per share $ 0.56 $ ( 0.32 ) Diluted earnings (loss) per share $ 0.50 $ ( 0.32 ) Calculation of diluted earnings per share requires certain potentially dilutive shares to be excluded when the inclusion of such shares would be anti-dilutive. The following table summarizes the potentially dilutive shares excluded from the diluted earnings per share calculation as inclusion of such shares would have been antidilutive: Quarter ended March 31, 2023 2022 (in thousands) Shares issuable under share-based compensation plan — 133 Shares issuable pursuant to exchange of the Exchangeable Senior Notes — 24,328 |
Segments
Segments | 3 Months Ended |
Mar. 31, 2023 | |
Segment Reporting [Abstract] | |
Segments | Note 25—Segments The Company operates in four segments as described in Note 1 ‒ Organization. The Company’s reportable segments are identified based on PMT’s investment strategies. The Company’s chief operating decision maker is its chief executive officer. The following disclosures about the Company’s business segments are presented consistent with the way the Company’s chief operating decision maker organizes and evaluates financial information for making operating decisions and assessing performance. Financial highlights by operating segment are summarized below: Credit Interest rate sensitive sensitive Correspondent Quarter ended March 31, 2023 strategies strategies production Corporate Total (in thousands) Net investment income: Net gains (losses) on investments and financings $ 54,388 $ 71,416 $ — $ — $ 125,804 Net gains on loans acquired for sale — — 6,473 — 6,473 Net loan servicing fees — ( 23,693 ) — — ( 23,693 ) Net interest expense: Interest income 21,394 92,083 36,927 2,615 153,019 Interest expense 17,803 125,168 35,132 1,034 179,137 3,591 ( 33,085 ) 1,795 1,581 ( 26,118 ) Other 56 — 7,844 — 7,900 58,035 14,638 16,112 1,581 90,366 Expenses: Loan fulfillment and servicing fees 77 20,372 11,923 — 32,372 Management fees — — — 7,257 7,257 Other 636 1,289 2,408 7,603 11,936 713 21,661 14,331 14,860 51,565 Pretax income (loss) $ 57,322 $ ( 7,023 ) $ 1,781 $ ( 13,279 ) $ 38,801 Total assets at end of quarter $ 1,620,576 $ 10,110,650 $ 3,196,705 $ 429,298 $ 15,357,229 Credit Interest rate sensitive sensitive Correspondent Quarter ended March 31, 2022 strategies strategies production Corporate Total (in thousands) Net investment income: Net gains (losses) on investments and financings $ ( 44,905 ) $ ( 184,190 ) $ — $ — $ ( 229,095 ) Net gains on loans acquired for sale ( 4 ) — 3,957 — 3,953 Net loan servicing fees — 304,178 — — 304,178 Net interest expense: Interest income 2,058 29,110 19,181 714 51,063 Interest expense 10,128 41,685 11,560 141 63,514 ( 8,070 ) ( 12,575 ) 7,621 573 ( 12,451 ) Other 288 — 14,966 — 15,254 ( 52,691 ) 107,413 26,544 573 81,839 Expenses: Loan fulfillment and servicing fees 59 21,029 16,754 — 37,842 Management fees — — — 8,117 8,117 Other 3,211 2,175 5,212 7,224 17,822 3,270 23,204 21,966 15,341 63,781 Pretax income (loss) $ ( 55,961 ) $ 84,209 $ 4,578 $ ( 14,768 ) $ 18,058 Total assets at end of quarter $ 1,747,763 $ 8,387,313 $ 1,812,210 $ 440,229 $ 12,387,515 |
Regulatory Capital and Liquidit
Regulatory Capital and Liquidity Requirements | 3 Months Ended |
Mar. 31, 2023 | |
Mortgage Banking [Abstract] | |
Regulatory Capital and Liquidity Requirements | Note 26—Regulatory Capital and Liquidity Requirements The Company, through PMC, is subject to financial eligibility requirements established by the Federal Housing Finance Agency for sellers/servicers eligible to sell or service mortgage loans with Fannie Mae and Freddie Mac. The eligibility requirements include: • A tangible net worth of $ 2.5 million plus 25 basis points of the UPB of the Company’s total 1-4 unit servicing portfolio, excluding mortgage loans subserviced for others; • A tangible net worth/total assets ratio greater than or equal to 6 %; and • A liquidity requirement equal to 3.5 basis points of the aggregate UPB serviced for the Agencies plus 200 basis points of total nonperforming Agency servicing UPB less 70 % of such nonperforming Agency servicing UPB in excess of 600 basis points where the underlying loans are in COVID-19 forbearance but were current at the time they entered forbearance. The Agencies’ capital and liquidity amounts and requirements, are summarized below: Net worth (1) Tangible net worth / Liquidity (1) Fannie Mae and Freddie Mac Actual Required Actual Required Actual Required (dollars in thousands) March 31, 2023 $ 1,100,753 $ 593,721 13 % 6 % $ 385,500 $ 79,946 December 31, 2022 $ 1,138,331 $ 586,436 16 % 6 % $ 343,286 $ 79,372 (1) Calculated in accordance with the Agencies’ requirements. In August 2022, the Agencies issued revised capital and liquidity requirements. The requirements will be effective at various dates beginning September 30, 2023, for seller/servicers of mortgage loans to Fannie Mae and Freddie Mac. The Company believes it was in compliance with the Agencies’ revised requirements as of March 31, 2023. Noncompliance with the Agencies’ capital and liquidity requirements can result in the Agencies taking various remedial actions up to and including removing the Company’s ability to sell loans to and service loans on behalf of the Agencies. |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2023 | |
Subsequent Events [Abstract] | |
Subsequent Events | Note 27—Subsequent Events Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period, all agreements to repurchase assets that matured before the date of this Report were extended or renewed. • On April 5, 2023, the Company issued an aggregate principal amount of $ 235 million in secured term notes to qualified institutional buyers under Rule 144A of the Securities Act. The term notes bear interest at an annual rate equal to SOFR plus a spread as defined in the borrowing agreement. • The Company exercised its options to extend the maturity dates of the 2018 FT-1 Note from April 25, 2023 to April 25, 2025 and of the 2019-2R CRT Term Note from May 29, 2023 to May 29, 2025 as specified in these borrowings' indentures. • All agreements to repurchase assets that matured before the date of this Report were extended or renewed. |
Organization and Basis of Prese
Organization and Basis of Presentation and Recently Issued Accounting Pronouncements (Policies) | 3 Months Ended |
Mar. 31, 2023 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Segment Reporting | PennyMac Mortgage Investment Trust (“PMT” or the “Company”) is a specialty finance company, which, through its subsidiaries (all of which are wholly-owned), invests primarily in residential mortgage-related assets. The Company operates in four segments: credit sensitive strategies, interest rate sensitive strategies, correspondent production, and corporate: • The credit sensitive strategies segment represents the Company’s investments in credit risk transfer (“CRT”) arrangements referencing loans from its own correspondent production, including CRT agreements (“CRT Agreements”) and other CRT securities (together, “CRT arrangements”) and subordinate mortgage-backed securities (“MBS”). • The interest rate sensitive strategies segment represents the Company’s investments in mortgage servicing rights (“MSRs”), Agency and senior non-Agency MBS and the related interest rate hedging activities. • The correspondent production segment represents the Company’s operations aimed at serving as an intermediary between lenders and the capital markets by purchasing, pooling and reselling newly originated prime credit quality loans either directly or in the form of MBS, using the services of PNMAC Capital Management, LLC (“PCM” or the “Manager”) and PennyMac Loan Services, LLC (“PLS”), both indirect controlled subsidiaries of PennyMac Financial Services, Inc. (“PFSI”), a publicly-traded mortgage banking and investment management company. The Company primarily sells the loans it acquires through its correspondent production activities to government-sponsored entities ("GSEs") such as the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or to PLS for sale into securitizations guaranteed by the Government National Mortgage Association ("GinnieMae"). Fannie Mae, Freddie Mac and Ginnie Mae are each referred to as an “Agency” and, collectively, as the “Agencies.” • The corporate segment includes management fees, corporate expense amounts and certain interest income and expense. |
Basis of Presentation | The Company’s consolidated financial statements have been prepared in compliance with accounting principles generally accepted in the United States (“GAAP”) as codified in the Financial Accounting Standards Board’s Accounting Standards Codification for interim financial information and with the Securities and Exchange Commission’s instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Accordingly, these financial statements and notes do not include all of the information required by GAAP for complete financial statements. This interim consolidated information should be read together with the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 2022. These unaudited consolidated financial statements reflect all normal recurring adjustments necessary to present fairly the financial position, results of operations, and cash flows for the interim periods presented, but are not necessarily indicative of the results of operations that may be anticipated for the full year. Intercompany accounts and transactions have been eliminated. Preparation of financial statements in compliance with GAAP requires the Company to make estimates and judgments that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements, and revenues and expenses during the reporting period. Actual results will likely differ from those estimates. The Company held no restricted cash during the periods presented. Therefore, the consolidated statements of cash flows do not include references to restricted cash. |
Fair Value | The Company’s consolidated financial statements include assets and liabilities that are measured at or based on their fair values. Measurement at or based on fair value may be on a recurring or nonrecurring basis depending on the accounting principles applicable to the specific asset or liability and whether the Company has elected to carry the item at its fair value as discussed in the following paragraphs. The Company groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the inputs used to determine fair value. These levels are: • Level 1—Quoted prices in active markets for identical assets or liabilities. • Level 2—Prices determined or determinable using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing an asset or liability and are developed based on market data obtained from sources independent of the Company. • Level 3—Prices determined using significant unobservable inputs. In situations where significant observable inputs are unavailable, unobservable inputs may be used. Unobservable inputs reflect the Company’s own judgments about the factors that market participants use in pricing an asset or liability, and are based on the best information available in the circumstances. As a result of the difficulty in observing certain significant valuation inputs affecting “Level 3” fair value assets and liabilities, the Company is required to make judgments regarding these items’ fair values. Different persons in possession of the same facts may reasonably arrive at different conclusions as to the inputs to be applied in valuing these assets and liabilities and their fair values. Such differences may result in significantly different fair value measurements. Likewise, due to the general illiquidity of some of these assets and liabilities, subsequent transactions may be at values significantly different from those reported. The Company reclassifies its assets and liabilities between levels of the fair value hierarchy when the inputs required to establish fair value at a level of the fair value hierarchy are no longer readily available, requiring the use of lower-level inputs, or when the inputs required to establish fair value at a higher level of the hierarchy become available. Fair Value Accounting Elections The Company identified all of PMT’s non-cash financial assets and MSRs to be accounted for at fair value. The Company has elected to account for these assets at fair value so such changes in fair value will be reflected in income as they occur and more timely reflect the results of the Company’s performance. The Company identified PMT’s asset-backed financings of VIEs and interest only security payable to be accounted for at fair value to reflect the generally offsetting changes in fair value of these borrowings to changes in fair value of the assets at fair value collateralizing these financings. For other borrowings, the Company has determined that historical cost accounting is more appropriate because under this method debt issuance costs are amortized over the term of the debt facilities, thereby matching the debt issuance cost to the periods benefiting from the availability of these facilities. |
Earnings Per Common Share | . Under the two-class method, all earnings (distributed and undistributed) are allocated to Common Shares and participating securities based on their respective rights to receive dividends. Basic earnings per share is determined by dividing net income available to common shareholders (net income reduced by preferred dividends and income attributable to the participating securities) by the weighted average Common Shares outstanding during the period. |
Transactions with Related Par_2
Transactions with Related Parties (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Related Party Transactions [Abstract] | |
Summary of Correspondent Production Activity | Following is a summary of correspondent production activity between the Company and PLS: Quarter ended March 31, 2023 2022 (in thousands) Loan fulfillment fees earned by PLS $ 11,923 $ 16,754 UPB of loans fulfilled by PLS $ 6,628,810 $ 9,769,262 Sourcing fees received from PLS included in Net gains on loans acquired for sale $ 1,328 $ 1,296 UPB of loans sold to PLS: Government guaranteed or insured $ 9,213,712 $ 12,747,779 Conventional conforming 4,062,874 — $ 13,276,586 $ 12,747,779 Purchases of loans acquired for sale from PLS $ — $ 259,038 Tax service fees paid to PLS $ 1,410 $ 2,342 March 31, 2023 December 31, 2022 (in thousands) Loans included in Loans acquired for sale at fair value $ 416,162 $ 159,671 |
Summary of Loan Servicing Fees Earned and Mortgage Servicing Rights Recaptured Income Earned | Following is a summary of loan servicing fees earned by PLS: Quarter ended March 31, 2023 2022 (in thousands) Loan servicing fees: Loans acquired for sale at fair value $ 285 $ 264 Loans at fair value 120 210 MSRs 20,044 20,614 $ 20,449 $ 21,088 Average investment in loans: Acquired for sale at fair value $ 2,359,044 $ 2,129,668 At fair value $ 1,510,606 $ 1,559,939 Average MSR portfolio UPB $ 230,812,774 $ 217,692,169 |
Summary of Management Fee Expense | Following is a summary of management fee expenses: Quarter ended March 31, 2023 2022 (in thousands) Base management $ 7,257 $ 8,117 Performance incentive — — $ 7,257 $ 8,117 Average shareholders' equity amounts used $ 1,962,105 $ 2,212,304 |
Summary of Expenses | Following is a summary of the Company’s reimbursements to PCM and its affiliates for expenses: Quarter ended March 31, 2023 2022 (in thousands) Reimbursement of: Expenses incurred on the Company’s behalf, net $ 5,661 $ 5,357 Common overhead incurred by PCM and its affiliates 1,821 1,864 Compensation 165 165 $ 7,647 $ 7,386 Payments and settlements during the year (1) $ 32,384 $ 39,764 (1) Payments and settlements include payments and netting settlements made pursuant to master netting agreements between the Company and PFSI for the operating, investing and financing activities itemized in this Note. |
Summary of Amounts Receivable From and Payable to PFSI | Amounts receivable from and payable to PFSI are summarized below: March 31, 2023 December 31, 2022 (in thousands) Due from PFSI-Miscellaneous receivables $ — $ 3,560 Due to PFSI: Correspondent production fees $ 8,325 $ 6,835 Allocated expenses and expenses and costs 7,610 11,447 Management fees 7,257 7,307 Loan servicing fees 6,791 6,740 Fulfillment fees 5,183 4,043 $ 35,166 $ 36,372 |
Summary of Transfer Cash to Fund Loan Servicing Advances | The Company has also transferred cash to PLS to fund loan servicing advances and REO property acquisition and preservation costs on its behalf. Such amounts are included in various balance sheet items as summarized below: Balance sheet line including advance amount March 31, 2023 December 31, 2022 (in thousands) Loan servicing advances $ 138,716 $ 197,972 Real estate acquired in settlement of loans 3,291 3,479 $ 142,007 $ 201,451 |
Loan Sales (Tables)
Loan Sales (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Loan Sales [Abstract] | |
Summary of Cash Flows between Company and Transferees in Transfers Accounted for Sales | The following table summarizes cash flows between the Company and transferees in transfers of loans that are accounted for as sales where the Company maintains continuing involvement with the loans: Quarter ended March 31, 2023 2022 (in thousands) Cash flows: Proceeds from sales $ 5,587,266 $ 11,985,961 Loan servicing fees received $ 164,214 $ 146,885 |
Summary of Collection Status Information for Loans Accounted for Sales | The following table summarizes for the dates presented collection status information for loans that are accounted for as sales where the Company maintains continuing involvement: March 31, 2023 December 31, 2022 (in thousands) UPB of loans outstanding $ 231,507,353 $ 229,858,573 Collection status (UPB) (1) Delinquency: 30-89 days delinquent $ 1,556,305 $ 1,903,007 90 or more days delinquent: Not in foreclosure $ 839,807 $ 880,841 In foreclosure $ 66,275 $ 70,921 Bankruptcy $ 132,238 $ 123,239 Delinquent loans in COVID-19 pandemic-related 30-89 days $ 144,897 $ 176,346 90 days or more $ 404,288 $ 464,694 Custodial funds managed by the Company (2) $ 2,347,138 $ 1,783,157 (1) Includes delinquent loans in COVID-19 pandemic-related forbearance plans that were requested by borrowers seeking payment relief in accordance with the CARES Act. (2) Custodial funds include borrower and investor custodial cash accounts relating to loans serviced under mortgage servicing agreements and are not included on the Company’s consolidated balance sheets. The Company earns placement fees on certain of the custodial funds it manages on behalf of the loans’ borrowers and investors, and these fees are included in Interest income in the Company’s consolidated statements of operations. |
Variable Interest Entities (Tab
Variable Interest Entities (Tables) - Variable Interest Entities [Member] | 3 Months Ended |
Mar. 31, 2023 | |
Summary of Investment in Subordinate Mortgage Backed Securities | Following is a summary of the Company’s investment in subordinate mortgage-backed securities held in consolidated VIEs: Quarter ended March 31, 2023 2022 (in thousands) Fair value changes: Loans at fair value $ 11,017 $ ( 96,564 ) Asset-backed financings at fair value $ ( 10,160 ) $ 89,174 Interest income $ 15,166 $ 12,849 Interest expense $ 12,353 $ 11,027 March 31, 2023 December 31, 2022 (in thousands) Loans at fair value $ 1,498,923 $ 1,509,942 Asset-backed financings at fair value $ 1,403,080 $ 1,414,955 Subordinate MBS retained at fair value pledged to Assets sold under agreements to repurchase $ 84,866 $ 84,044 |
Credit Risk Transfer Agreements [Member] | |
Summary of Credit Risk Transfer Agreements | Following is a summary of the CRT arrangements: Quarter ended March 31, 2023 2022 (in thousands) Net investment income: Net gains (losses) on investments and financings: CRT Derivatives and strips: CRT derivatives Realized $ 3,030 $ 21,201 Valuation changes 8,096 ( 27,049 ) 11,126 ( 5,848 ) CRT strips Realized 12,304 17,763 Valuation changes 24,128 ( 41,758 ) 36,432 ( 23,995 ) Interest-only security payable at fair value ( 1,280 ) ( 5,780 ) 46,278 ( 35,623 ) Interest income — Deposits securing CRT arrangements 14,212 222 $ 60,490 $ ( 35,401 ) Net payments made (recoveries received) to settle $ 1,257 $ ( 15,973 ) March 31, 2023 December 31, 2022 (in thousands) Carrying value of CRT arrangements: Derivative and credit risk transfer strip assets (liabilities), net CRT derivatives $ ( 13,860 ) $ ( 22,098 ) CRT strips ( 113,065 ) ( 137,193 ) $ ( 126,925 ) $ ( 159,291 ) Deposits securing CRT arrangements $ 1,297,917 $ 1,325,294 Interest-only security payable at fair value $ 23,205 $ 21,925 CRT arrangement assets pledged to secure borrowings: Derivative assets $ 2,883 $ 1,262 Deposits securing CRT arrangements (1) $ 1,297,917 $ 1,325,294 UPB of loans underlying CRT arrangements $ 24,824,362 $ 25,315,524 Collection status (UPB): Delinquency (2) Current $ 24,277,884 $ 24,673,719 30-89 days delinquent $ 322,328 $ 409,049 90-180 days delinquent $ 107,982 $ 112,286 180 or more days delinquent $ 91,892 $ 93,717 Foreclosure $ 24,276 $ 26,753 Bankruptcy $ 57,676 $ 54,395 Delinquent loans in COVID-19 pandemic-related forbearance plans: 30-89 days delinquent $ 23,358 $ 35,388 90-180 days delinquent $ 29,352 $ 39,033 180 or more days delinquent $ 29,052 $ 35,588 (1) Deposits securing credit risk transfer strip liabilities also secure $ 129.8 million and $ 160.6 million in CRT strip and CRT derivative liabilities at March 31, 2023 and December 31, 2022, respectively . (2) Includes delinquent loans in COVID-19 pandemic-related forbearance plans that were requested by borrowers seeking payment relief in accordance with the CARES Act. |
Fair Value (Tables)
Fair Value (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Fair Value Disclosures [Abstract] | |
Summary of Financial Statement Items Measured at Fair Value on Recurring Basis | Following is a summary of financial statement items that are measured at fair value on a recurring basis: March 31, 2023 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 292,153 $ — $ — $ 292,153 Mortgage-backed securities at fair value — 4,629,004 — 4,629,004 Loans acquired for sale at fair value — 3,133,409 10,109 3,143,518 Loans at fair value — 1,498,923 3,548 1,502,471 Derivative assets: Call options on interest rate futures purchase contracts 13,508 — — 13,508 Put options on interest rate futures purchase contracts 6,570 — — 6,570 Forward purchase contracts — 16,477 — 16,477 Forward sale contracts — 7,711 — 7,711 MBS call options — 1,832 — 1,832 MBS put options — 3,573 — 3,573 CRT derivatives — — 2,883 2,883 Interest rate lock commitments — — 9,952 9,952 Total derivative assets before netting 20,078 29,593 12,835 62,506 Netting — — — 26,779 Total derivative assets after netting 20,078 29,593 12,835 89,285 Mortgage servicing rights at fair value — — 3,975,076 3,975,076 $ 312,231 $ 9,290,929 $ 4,001,568 $ 13,631,507 Liabilities: Asset-backed financings at fair value $ — $ 1,403,080 $ — $ 1,403,080 Interest-only security payable at fair value — — 23,205 23,205 Derivative and credit risk transfer strip liabilities: Forward purchase contracts — 5,302 — 5,302 Forward sales contracts — 86,918 — 86,918 MBS call options — 2,004 — 2,004 CRT derivatives — — 16,743 16,743 Interest rate lock commitments — — 1,403 1,403 Total derivative liabilities before netting — 94,224 18,146 112,370 Netting — — — ( 86,966 ) Total derivative liabilities after netting — 94,224 18,146 25,404 Credit risk transfer strips — — 113,065 113,065 Total derivative and credit risk transfer strip liabilities — 94,224 131,211 138,469 $ — $ 1,497,304 $ 154,416 $ 1,564,754 December 31, 2022 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 252,271 $ — $ — $ 252,271 Mortgage-backed securities at fair value — 4,462,601 — 4,462,601 Loans acquired for sale at fair value — 1,811,225 10,708 1,821,933 Loans at fair value — 1,509,942 3,457 1,513,399 Derivative assets: Call options on interest rate futures purchase contracts 2,906 — — 2,906 Put options on interest rate futures purchase contracts 8,130 — — 8,130 Forward purchase contracts — 418 — 418 Forward sale contracts — 43,435 — 43,435 MBS put options — 2,783 — 2,783 CRT derivatives — — 1,262 1,262 Interest rate lock commitments — — 3,877 3,877 Total derivative assets before netting 11,036 46,636 5,139 62,811 Netting — — — 22,129 Total derivative assets after netting 11,036 46,636 5,139 84,940 Mortgage servicing rights at fair value — — 4,012,737 4,012,737 $ 263,307 $ 7,830,404 $ 4,032,041 $ 12,147,881 Liabilities: Asset-backed financings at fair value $ — $ 1,414,955 $ — $ 1,414,955 Interest-only security payable at fair value — — 21,925 21,925 Derivative liabilities and credit risk transfer strips: Forward purchase contracts — 15,196 — 15,196 Forward sales contracts — 17,279 — 17,279 CRT derivatives — — 23,360 23,360 Interest rate lock commitments — — 4,355 4,355 Total derivative liabilities before netting — 32,475 27,715 60,190 Netting — — — ( 30,157 ) Total derivative liabilities after netting — 32,475 27,715 30,033 Credit risk transfer strips — — 137,193 137,193 Total derivative and credit risk transfer strip — 32,475 164,908 167,226 $ — $ 1,447,430 $ 186,833 $ 1,604,106 |
Summary of Changes in Items Measured Using Level 3 Inputs on Recurring Basis | The following is a summary of changes in items measured at fair value on a recurring basis using Level 3 inputs that are significant to the estimation of the fair values of the assets and liabilities at either the beginning or end of the periods presented: Quarter ended March 31, 2023 Assets (1) Loans Loans at CRT Interest rate CRT Mortgage Total (in thousands) Balance, December 31, 2022 $ 10,708 $ 3,457 $ ( 22,098 ) $ ( 478 ) $ ( 137,193 ) $ 4,012,737 $ 3,867,133 Purchases and issuances 3,495 119 — ( 7,687 ) — — ( 4,073 ) Repayments and sales ( 3,767 ) ( 20 ) ( 2,888 ) — ( 12,304 ) — ( 18,979 ) Amounts received pursuant to sales of loans — — — — — 100,618 100,618 Changes in fair value included in results of arising from: Changes in instrument - specific — — — — — — — Other factors ( 327 ) 452 11,126 27,032 36,432 ( 137,444 ) ( 62,729 ) ( 327 ) 452 11,126 27,032 36,432 ( 137,444 ) ( 62,729 ) Transfers of: Loans to REO — ( 460 ) — — — — ( 460 ) Interest rate lock commitments to loans — — — ( 10,318 ) — — ( 10,318 ) Mortgage servicing rights relating to — — — — — ( 835 ) ( 835 ) Balance, March 31, 2023 $ 10,109 $ 3,548 $ ( 13,860 ) $ 8,549 $ ( 113,065 ) $ 3,975,076 $ 3,870,357 Changes in fair value recognized during $ 161 $ ( 8 ) $ 8,096 $ 8,549 $ 24,128 $ ( 137,444 ) $ ( 96,518 ) (1) For the purpose of this table, CRT derivative, interest rate lock commitment (“IRLC”), and CRT strip asset and liability positions are shown net. (2) The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale at fair value upon purchase of the respective loans. Liabilities Quarter ended March 31, 2023 (in thousands) Interest-only security payable: Balance, December 31, 2022 $ 21,925 Changes in fair value included in results of operations : Changes in instrument - specific credit risk — Other factors 1,280 1,280 Balance, March 31, 2023 $ 23,205 Changes in fair value recognized during the year relating $ 1,280 Quarter ended March 31, 2022 Assets (1) Loans Loans at CRT Interest CRT strips Mortgage Total (in thousands) Balance, December 31, 2021 $ 30,129 $ 4,161 $ 18,964 $ 2,451 $ ( 26,837 ) $ 2,892,855 $ 2,921,723 Purchases and issuances 24,105 — — ( 28,144 ) — — ( 4,039 ) Repayments and sales ( 29,498 ) ( 654 ) ( 21,165 ) — ( 17,763 ) — ( 69,080 ) Amounts received pursuant to sales of loans — — — — — 194,596 194,596 Changes in fair value included in results Changes in instrument - — — — — — — — Other factors ( 411 ) 442 ( 5,848 ) ( 118,799 ) ( 23,995 ) 303,721 155,110 ( 411 ) 442 ( 5,848 ) ( 118,799 ) ( 23,995 ) 303,721 155,110 Transfers: Interest rate lock commitments — — — 121,027 — — 121,027 Balance, March 31, 2022 $ 24,325 $ 3,949 $ ( 8,049 ) $ ( 23,465 ) $ ( 68,595 ) $ 3,391,172 $ 3,319,337 Changes in fair value recognized during $ ( 229 ) $ 66 $ ( 27,049 ) $ ( 23,465 ) $ ( 41,758 ) $ 303,721 $ 211,286 (1) For the purpose of this table, CRT derivative, IRLC, and CRT strip asset and liability positions are shown net. (2) The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale at fair value upon purchase of the respective loans. Liabilities Quarter ended March 31, 2022 (in thousands) Interest-only security payable: Balance, December 31, 2021 $ 10,593 Changes in fair value included in results of operations Changes in instrument - specific credit risk — Other factors 5,780 5,780 Balance, March 31, 2022 $ 16,373 Changes in fair value recognized during the quarter relating $ 5,780 |
Fair Values and Related Principal Amounts Due upon Maturity of Mortgage Loans Accounted for Under Fair Value Option | Following are the fair values and related principal amounts due upon maturity of loans accounted for under the fair value option (including loans acquired for sale, loans held in consolidated VIEs, and distressed loans): March 31, 2023 December 31, 2022 Fair value Principal Difference Fair value Principal Difference (in thousands) Loans acquired for sale at fair value: Current through 89 days delinquent $ 3,140,761 $ 3,089,597 $ 51,164 $ 1,819,551 $ 1,795,445 $ 24,106 90 or more days delinquent: Not in foreclosure 2,551 3,449 ( 898 ) 1,666 1,927 ( 261 ) In foreclosure 206 300 ( 94 ) 716 809 ( 93 ) 2,757 3,749 ( 992 ) 2,382 2,736 ( 354 ) $ 3,143,518 $ 3,093,346 $ 50,172 $ 1,821,933 $ 1,798,181 $ 23,752 Loans at fair value: Held in consolidated VIEs: Current through 89 days delinquent $ 1,498,108 $ 1,766,772 $ ( 268,664 ) $ 1,508,540 $ 1,788,911 $ ( 280,371 ) 90 or more days delinquent: Not in foreclosure 815 1,077 ( 262 ) 1,231 1,642 ( 411 ) In foreclosure — — — 171 226 ( 55 ) 815 1,077 ( 262 ) 1,402 1,868 ( 466 ) 1,498,923 1,767,849 ( 268,926 ) 1,509,942 1,790,779 ( 280,837 ) Distressed: Current through 89 days delinquent 480 714 ( 234 ) 498 682 ( 184 ) 90 or more days delinquent: Not in foreclosure 1,404 2,561 ( 1,157 ) 1,230 2,964 ( 1,734 ) In foreclosure 1,664 2,575 ( 911 ) 1,729 2,728 ( 999 ) 3,068 5,136 ( 2,068 ) 2,959 5,692 ( 2,733 ) 3,548 5,850 ( 2,302 ) 3,457 6,374 ( 2,917 ) $ 1,502,471 $ 1,773,699 $ ( 271,228 ) $ 1,513,399 $ 1,797,153 $ ( 283,754 ) |
Summary of Changes in Fair Value Included in Current Period Results of Operations | Following are the changes in fair value included in current period results of operations by consolidated statement of operations line item for financial statement items accounted for under the fair value option: Quarter ended March 31, 2023 Net gains (losses) Net loan Net gains on Net interest Total (in thousands) Assets: Mortgage-backed securities at fair value $ 78,218 $ — $ — $ ( 1,956 ) $ 76,262 Loans acquired for sale at fair value — — 15,315 — 15,315 Loans at fair value 11,468 — — 126 11,594 Credit risk transfer strips 36,432 — — — 36,432 MSRs at fair value — ( 137,444 ) — — ( 137,444 ) $ 126,118 $ ( 137,444 ) $ 15,315 $ ( 1,830 ) $ 2,159 Liabilities: Interest-only security payable at fair value $ ( 1,280 ) $ — $ — $ — $ ( 1,280 ) Asset-backed financings at fair value ( 10,160 ) — — ( 542 ) ( 10,702 ) $ ( 11,440 ) $ — $ — $ ( 542 ) $ ( 11,982 ) Quarter ended March 31, 2022 Net gains (losses) Net loan Net gains on Net interest Total (in thousands) Assets: Mortgage-backed securities at fair value $ ( 186,525 ) $ — $ — $ ( 1,411 ) $ ( 187,936 ) Loans acquired for sale at fair value — — ( 227,266 ) — ( 227,266 ) Loans at fair value ( 96,121 ) — — ( 949 ) ( 97,070 ) Credit risk transfer strips ( 23,995 ) — — — ( 23,995 ) MSRs at fair value — 303,721 — — 303,721 $ ( 306,641 ) $ 303,721 $ ( 227,266 ) $ ( 2,360 ) $ ( 232,546 ) Liabilities: Interest-only security payable at fair value $ ( 5,780 ) $ — $ — $ — $ ( 5,780 ) Asset-backed financings at fair value 89,174 — — ( 834 ) 88,340 $ 83,394 $ — $ — $ ( 834 ) $ 82,560 |
Summary of Carrying Value of Financial Statement Items Remeasured Based on Fair Value on Nonrecurring Basis | Following is a summary of the carrying value of assets that were remeasured during the period based on fair value on a nonrecurring basis: Real estate acquired in settlement of loans Level 1 Level 2 Level 3 Total (in thousands) March 31, 2023 $ — $ — $ 325 $ 325 December 31, 2022 $ — $ — $ 1,292 $ 1,292 |
Summary of Changes in Fair Value Recognized in Assets that Remeasured at Fair Value on a Nonrecurring Basis | The following table summarizes the fair value changes recognized during the periods on assets held at period end that were remeasured at fair value on a nonrecurring basis: Quarter ended March 31, 2023 2022 (in thousands) Real estate asset acquired in settlement of loans $ 73 $ ( 148 ) |
Carrying and Fair Values of Notes Payable Secured by Credit Risk Transfer and Mortgage Servicing Rights and Exchangeable Senior Notes | Following are the carrying and fair values of the Notes payable secured by credit risk transfer and mortgage servicing assets and Exchangeable senior notes : March 31, 2023 December 31, 2022 Instrument Carrying value Fair value Carrying value Fair value (in thousands) Notes payable secured by credit risk transfer $ 2,790,958 $ 2,763,386 $ 2,804,028 $ 2,721,391 Exchangeable senior notes $ 547,003 $ 496,073 $ 546,254 $ 471,781 |
Quantitative Summary of Key Unobservable Inputs Used in Valuation of CRT Derivatives | Following is a quantitative summary of key unobservable inputs used in the Company’s review and approval of broker-provided fair values for CRT derivatives: March 31, 2023 December 31, 2022 (dollars in thousands) Fair value CRT derivatives: Assets $ 2,883 $ 1,262 Liabilities $ 16,743 $ 23,360 UPB of loans in reference pools $ 5,865,196 $ 5,972,060 Key inputs (1) Discount rate Range 8.3 % – 10.0 % 8.7 % – 11.1 % Weighted average 9.9 % 10.8 % Voluntary prepayment speed (2) Range 7.3 % – 8.4 % 7.5 % – 8.3 % Weighted average 7.6 % 7.6 % Involuntary prepayment speed (3) Range 0.5 % – 1.2 % 0.5 % – 1.3 % Weighted average 0.6 % 0.6 % Remaining loss expectation Range 0.4 % – 0.6 % 0.4 % – 0.7 % Weighted average 0.6 % 0.6 % (1) Weighted average inputs are based on fair value amounts of the CRT Agreements, except for remaining loss expectation which is based on the UPB of the loans in the reference pools. (2) Voluntary prepayment speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”). (3) Involuntary prepayment speed is measured using Life Involuntary CPR. |
Quantitative Summary of Key Unobservable Inputs Used in Valuation of Interest Rate Lock Commitments | Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs: March 31, 2023 December 31, 2022 Fair value (in thousands) (1) $ 8,549 $ ( 478 ) Committed amount (in thousands) $ 1,806,398 $ 1,484,384 Key inputs (2) Pull-through rate Range 42.0 % – 100 % 54.8 % – 100 % Weighted average 86.7 % 92.1 % MSR fair value expressed as Servicing fee multiple Range 1.5 – 7.4 1.9 – 7.1 Weighted average 4.4 4.7 Percentage of UPB Range 0.5 % – 3.1 % 0.7 % – 3.1 % Weighted average 1.9 % 1.9 % (1) For purposes of this table, IRLC asset and liability positions are shown net. (2) Weighted-average inputs are based on the committed amounts. |
Summary of Key Unobservable Inputs Used in Valuation of Credit Risk Transfer Strip Liabilities | Following is a quantitative summary of key unobservable inputs used in the Company’s review and approval of the adjusted broker-provided fair values used to derive the fair value of the CRT strip liabilities: March 31, 2023 December 31, 2022 (dollars in thousands) Fair value $ 113,065 $ 137,193 UPB of loans in the reference pools $ 18,959,166 $ 19,343,464 Key inputs (1) Discount rate Range 6.6 % – 10.3 % 4.3 % – 11.3 % Weighted average 9.8 % 10.5 % Voluntary prepayment speed (2) Range 7.7 % – 7.9 % 7.7 % – 7.9 % Weighted average 7.7 % 7.7 % Involuntary prepayment speed (3) Range 0.5 % – 1.5 % 0.6 % – 2.0 % Weighted average 0.6 % 0.8 % Remaining loss expectation Range 0.7 % – 2.0 % 0.7 % – 2.0 % Weighted average 0.9 % 0.9 % (1) Weighted average inputs are based on fair value amounts of the CRT arrangements, except for remaining loss expectation which is based on the UPB of the loans in the reference pools. (2) Voluntary prepayment speed is measured using Life Voluntary CPR. (3) Involuntary prepayment speed is measured using Life Involuntary CPR. |
Key Assumptions Used in Determining Fair Value of MSRs at Time of Initial Recognition | Following are the key inputs used in determining the fair value of MSRs at the time of initial recognition: Quarter ended March 31, 2023 2022 (MSR recognized and UPB of underlying loans amounts MSR recognized $ 100,618 $ 194,596 UPB of underlying loans $ 5,549,325 $ 11,929,172 Weighted average annual servicing fee rate (in basis points) 41 31 Key inputs (1) Pricing spread (2) Range 5.5 % – 8.7 % 5.8 % – 7.8 % Weighted average 5.8 % 6.6 % Prepayment speed (3) Range 13.1 % – 21.8 % 6.0 % – 9.0 % Weighted average 13.2 % 8.4 % Equivalent average life (in years) Range 2.8 – 6.6 4.0 – 8.4 Weighted average 6.5 8.0 Annual per-loan cost of servicing Range $ 69 – $ 69 $ 80 – $ 80 Weighted average $ 69 $ 80 (1) Weighted average inputs are based on UPB of the underlying loans. (2) The Company uses the pricing spread over the United States Treasury (“Treasury”) securities yield curve for the purpose of discounting cash flows relating to MSRs. (3) Prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information. |
Quantitative Summary of Key Assumptions Used in Valuation of MSRs as of Dates Presented, and Effect on Estimated Fair Value from Adverse Changes in Those Inputs | Following is a quantitative summary of key inputs used in the valuation of MSRs as of the dates presented, and the effect on the fair value from adverse changes in those inputs: March 31, 2023 December 31, 2022 (Fair value, UPB of underlying loans Fair value $ 3,975,076 $ 4,012,737 UPB of underlying loans $ 231,615,214 $ 229,971,035 Weighted average annual servicing fee rate (in basis points) 29 29 Weighted average note interest rate 3.5 % 3.5 % Key inputs (1) Pricing spread (2) Range 4.9 % – 8.9 % 4.9 % – 8.8 % Weighted average 5.8 % 5.7 % Effect on fair value of (3): 5% adverse change $( 52,336 ) $( 52,004 ) 10% adverse change $( 103,357 ) $( 102,727 ) 20% adverse change $( 201,628 ) $( 200,497 ) Prepayment speed (4) Range 5.2 % – 18.4 % 5.1 % – 17.4 % Weighted average 6.7 % 6.3 % Equivalent average life (in years) Range 3.3 – 9.1 3.5 – 9.3 Weighted average 8.7 8.9 Effect on fair value of (3): 5% adverse change $( 53,572 ) $( 51,044 ) 10% adverse change $( 105,425 ) $( 100,544 ) 20% adverse change $( 204,325 ) $( 195,201 ) Annual per-loan cost of servicing Range $ 68 – $ 69 $ 69 – $ 69 Weighted average $ 69 $ 69 Effect on fair value of (3): 5% adverse change $( 17,640 ) $( 17,629 ) 10% adverse change $( 35,279 ) $( 35,258 ) 20% adverse change $( 70,559 ) $( 70,515 ) (1) Weighted-average inputs are based on the UPB of the underlying loans. (2) The Company uses a pricing spread over the Treasury securities yield curve for the purpose of discounting cash flows relating to MSRs. (3) These sensitivity analyses are limited in that they were performed as of a particular date; only account for the estimated effect of the movements in the indicated inputs; do not incorporate changes in those inputs in relation to other inputs; are subject to the accuracy of the models and inputs used; and do not incorporate other factors that would affect the Company’s overall financial performance in such events, including operational adjustments to account for changing circumstances. For these reasons, these estimates should not be viewed as earnings forecasts. (4) Prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information. |
Mortgage-Backed Securities (Tab
Mortgage-Backed Securities (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Mortgage Backed Securities [Abstract] | |
Schedule of Investment in Mortgage Backed Securities Activity | Following is a summary of activity in the Company’s investment in MBS: Quarter ended March 31, 2023 2022 (in thousands) Balance at beginning of quarter $ 4,462,601 $ 2,666,768 Purchases 2,784,592 661,774 Sales ( 2,629,540 ) — Repayments ( 64,910 ) ( 70,276 ) Changes in fair value included in income arising from: Amortization of net purchase premiums (discounts) ( 1,957 ) ( 1,411 ) Valuation adjustments 78,218 ( 186,525 ) 76,261 ( 187,936 ) Balance at end of quarter $ 4,629,004 $ 3,070,330 |
Schedule of Mortgage Backed Securities Pledged to Secure Assets Sold | March 31, 2023 December 31, 2022 (in thousands) Fair value of mortgage-backed securities pledged to secure Assets $ 4,616,580 $ 4,462,601 |
Schedule of Investment in Mortgage Backed Securities | Following is a summary of the Company’s investment in MBS: March 31, 2023 Principal Unamortized Accumulated Fair value (1) (in thousands) Agency fixed-rate pass-through securities $ 4,419,508 $ 607 $ ( 10,064 ) $ 4,410,051 Subordinate credit-linked securities 197,313 ( 180 ) ( 431 ) 196,702 Senior non-Agency securities 27,814 ( 865 ) ( 4,698 ) 22,251 $ 4,644,635 $ ( 438 ) $ ( 15,193 ) $ 4,629,004 December 31, 2022 Principal Unamortized Accumulated Fair value (1) (in thousands) Agency fixed-rate pass-through securities $ 4,693,045 $ 30,423 $ ( 460,966 ) $ 4,262,502 Subordinate credit-linked securities 184,620 52 ( 6,774 ) 177,898 Senior non-Agency securities 28,103 ( 876 ) ( 5,026 ) 22,201 $ 4,905,768 $ 29,599 $ ( 472,766 ) $ 4,462,601 (1) All MBS have maturities of more than ten years . |
Loans Acquired for Sale at Fa_2
Loans Acquired for Sale at Fair Value (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Summary of Distribution of Company's Loans Acquired for Sale at Fair Value | Following is a summary of the distribution of the Company’s loans acquired for sale at fair value: Loan type March 31, 2023 December 31, 2022 (in thousands) GSE eligible (1) $ 2,717,247 $ 1,651,554 Held for sale to PLS — Government insured or guaranteed (2) 416,162 159,671 Home equity lines of credit 2,174 2,424 Repurchased pursuant to representations and warranties 7,935 8,284 $ 3,143,518 $ 1,821,933 Loans pledged to secure Assets sold under agreements to repurchase $ 3,117,294 $ 1,801,368 (1) GSE eligibility refers to the eligibility of loans for sale to Fannie Mae or Freddie Mac. The Company sells or finances a portion of its GSE eligible loan production to other investors, including PLS. (2) The Company is not approved by Ginnie Mae as an issuer of Ginnie Mae-guaranteed securities which are backed by government-insured or guaranteed loans. The Company sells all government-insured or guaranteed loans (as well as certain GSE eligible loans) that it purchases from correspondent sellers to PLS, which is a Ginnie Mae-approved issuer, and earns a sourcing fee as described in Note 4 – Transactions with Related Parties – Operating activities – Correspondent Production Activities . |
Loans at Fair Value (Tables)
Loans at Fair Value (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Mortgage Loans At Fair Value [Abstract] | |
Summary of Distribution of Company's Loans at Fair Value | Following is a summary of the distribution of the Company’s loans at fair value: Loan type March 31, 2023 December 31, 2022 (in thousands) Loans in VIEs: Agency-conforming loans secured by investment properties $ 1,449,070 $ 1,459,160 Fixed interest rate jumbo loans 49,853 50,782 1,498,923 1,509,942 Distressed loans 3,548 3,457 $ 1,502,471 $ 1,513,399 Loans at fair value pledged to secure: Asset-backed financings at fair value (1) $ 1,498,923 $ 1,509,942 Assets sold under agreements to repurchase 194 206 $ 1,499,117 $ 1,510,148 (1) As discussed in Note 6 ‒ Variable Interest Entities ‒ Subordinate Mortgage-Backed Securities , the Company holds a portion of the securities issued by the VIEs. At March 31, 2023 and December 31, 2022, $ 84.9 million and $ 84.0 million, respectively, of such retained certificates were pledged to secure Assets sold under agreements to repurchase . |
Derivative and Credit Risk Tr_2
Derivative and Credit Risk Transfer Strip Assets and Liabilities (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Summary of Derivative and Credit Risk Transfer Assets and Liabilities | Derivative and credit risk transfer assets and liabilities are summarized below: March 31, 2023 December 31, 2022 (in thousands) Derivative assets $ 89,285 $ 84,940 $ 89,285 $ 84,940 Derivative liabilities $ 25,404 $ 30,033 Credit risk transfer strip liabilities 113,065 137,193 $ 138,469 $ 167,226 |
Derivative Assets and Derivative and Credit Risk Transfer Liabilities and Related Margin Deposits Recorded in Other Assets | The Company had the following derivative assets and liabilities recorded within Derivative assets and Derivative and credit risk transfer liabilities and related margin deposits recorded in Other assets on the consolidated balance sheets: March 31, 2023 December 31, 2022 Fair value Fair value Notional Derivative Derivative Notional Derivative Derivative Instrument amount (1) assets liabilities amount (1) assets liabilities (in thousands) Hedging derivatives subject to master netting Call options on interest rate futures purchase 1,325,000 $ 13,508 $ — 1,950,000 $ 2,906 $ — Put options on interest rate futures purchase 2,775,000 6,570 — 1,785,000 8,130 — Forward purchase contracts 4,121,991 16,477 5,302 3,929,833 418 15,196 Forward sale contracts 11,511,964 7,711 86,918 11,661,925 43,435 17,279 MBS call options — 1,832 2,004 — — — MBS put options 750,000 3,573 — 1,050,000 2,783 — Bond futures 1,212,800 — — 867,900 — — Other derivatives not subject to master netting CRT derivatives 5,865,196 2,883 16,743 5,972,060 1,262 23,360 Interest rate lock commitments 1,806,398 9,952 1,403 1,484,384 3,877 4,355 Total derivative instruments before netting 62,506 112,370 62,811 60,190 Netting 26,779 ( 86,966 ) 22,129 ( 30,157 ) $ 89,285 $ 25,404 $ 84,940 $ 30,033 Margin deposits placed with derivative $ 113,744 $ 52,286 Derivative assets pledged to secure: Notes payable secured by credit risk transfer $ 2,883 $ 1,262 (1) Notional amounts provide an indication of the volume of the Company’s derivative activity. (2) All hedging derivatives are interest rate derivatives that are used as economic hedges. |
Summary of Derivative Assets, Financial Instruments and Collateral Held by Counterparty | The following table summarizes by significant counterparty the amount of derivative asset positions after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance qualifying for setoff accounting. March 31, 2023 December 31, 2022 Net amount Gross amounts Net amount Gross amounts of assets not offset in the of assets not offset in the presented consolidated presented consolidated in the balance sheet in the balance sheet consolidated Cash consolidated Cash balance Financial collateral Net balance Financial collateral Net sheet instruments received amount sheet instruments received amount (in thousands) CRT derivatives $ 2,883 $ — $ — $ 2,883 $ 1,262 $ — $ — $ 1,262 Interest rate lock commitments 9,952 — — 9,952 3,877 — — 3,877 RJ O’Brien & Associates, LLC 20,078 — — 20,078 11,036 — — 11,036 Bank of America, N.A. 19,982 — — 19,982 14,666 — — 14,666 Morgan Stanley & Co. LLC 17,169 — — 17,169 33,703 — — 33,703 Goldman Sachs & Co. LLC 9,315 — — 9,315 2,789 — — 2,789 Citigroup Global Markets Inc. 6,276 — — 6,276 — — — — Wells Fargo Securities, LLC — — — — 6,980 — — 6,980 Credit Suisse Securities (USA) LLC — — — — 5,827 — — 5,827 Barclays Capital Inc. — — — — 2,013 — — 2,013 J.P. Morgan Securities LLC — — — — 110 — — 110 Other 3,630 — — 3,630 2,677 — — 2,677 $ 89,285 $ — $ — $ 89,285 $ 84,940 $ — $ — $ 84,940 |
Summary of Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty | The following table summarizes by significant counterparty the amount of derivative liabilities and assets sold under agreements to repurchase after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance to qualify for setoff accounting. All assets sold under agreements to repurchase represent sufficient collateral or exceed the liability amount recorded on the consolidated balance sheet. March 31, 2023 December 31, 2022 Net amount Gross amounts Net amount Gross amounts of liabilities not offset in the of liabilities not offset in the presented consolidated presented consolidated in the balance sheet in the balance sheet consolidated Financial Cash consolidated Financial Cash balance instruments collateral Net balance instruments collateral Net sheet (1) pledged amount sheet (1) pledged amount (in thousands) Interest rate lock commitments $ 1,403 $ — $ — $ 1,403 $ 4,355 $ — $ — $ 4,355 CRT derivatives 16,743 — — 16,743 23,360 — — 23,360 J.P. Morgan Securities LLC 1,991,349 ( 1,991,349 ) — — 1,605,813 ( 1,605,813 ) — — Barclays Capital Inc. 1,242,211 ( 1,241,372 ) — 839 1,115,265 ( 1,115,265 ) — — Bank of America, N.A. 1,085,013 ( 1,085,013 ) — — 1,239,293 ( 1,239,293 ) — — Wells Fargo Securities, LLC 951,279 ( 949,955 ) — 1,324 262,512 ( 262,512 ) — — Atlas Securitized Products, L.P. 895,137 ( 895,137 ) — — — — — — Credit Suisse Securities (USA) LLC — — — — 675,639 ( 675,639 ) — — BNP Paribas 378,785 ( 378,785 ) — — 153,220 ( 153,220 ) — — Daiwa Capital Markets 376,627 ( 376,317 ) — 310 439,089 ( 439,089 ) — — RBC Capital Markets, L.P. 335,303 ( 335,303 ) — — 268,581 ( 268,581 ) — — Amherst Pierpont Securities LLC 262,183 ( 262,093 ) — 90 283,928 ( 283,294 ) — 634 Citigroup Global Markets Inc. 246,508 ( 246,508 ) — — 197,229 ( 195,807 ) — 1,422 Goldman Sachs & Co. LLC 193,012 ( 193,012 ) — — 156,952 ( 156,952 ) — — Mizuho Financial Group 81,569 ( 80,066 ) — 1,503 — — — — Morgan Stanley & Co. LLC 76,031 ( 76,031 ) — — 218,730 ( 218,730 ) — — Nomura Holdings America, Inc 4,567 ( 4,567 ) — — 4,444 ( 4,444 ) — — Other 3,192 — — 3,192 262 — — 262 $ 8,140,912 $ ( 8,115,508 ) $ — $ 25,404 $ 6,648,672 $ ( 6,618,639 ) $ — $ 30,033 (1) Amounts represent the UPB of Assets sold under agreements to repurchase . |
Net Gains (Losses) Recognized on Derivative Financial Instruments | Following are the net gains (losses) recognized by the Company on derivative financial instruments and the consolidated statements of operations line items where such gains and losses are included: Quarter ended March 31, Derivative activity Consolidated statements of operations line 2023 2022 (in thousands) Interest rate lock commitments Net gains on loans acquired for sale (1) $ 9,027 $ ( 25,916 ) CRT derivatives Net gains (losses) on investments and financings $ 11,126 $ ( 5,848 ) Hedged item: Interest rate lock commitments Net gains on loans acquired for sale $ ( 20,744 ) $ 251,899 Mortgage servicing rights Net loan servicing fees $ ( 54,891 ) $ ( 163,802 ) (1) Represents net change in fair value of IRLCs from the beginning to the end of the reporting period. Amounts recognized at the date of commitment and fair value changes recognized during the period until purchase of the underlying loan or cancellation of the commitment are shown in the rollforward of IRLCs for the period in Note 7 – Fair Value – Financial Statement Items Measured at Fair Value on a Recurring Basis . |
Mortgage Servicing Rights (Tabl
Mortgage Servicing Rights (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Text Block [Abstract] | |
Summary of MSRs Carried at Fair Value | Following is a summary of MSRs: Quarter ended March 31, 2023 2022 (in thousands) Balance at beginning of quarter $ 4,012,737 $ 2,892,855 MSRs resulting from loan sales 100,618 194,596 Transfer to Agency of mortgage servicing rights ( 835 ) — Changes in fair value: Due to changes in inputs used in valuation model (1) ( 45,771 ) 392,640 Other changes in fair value (2) ( 91,673 ) ( 88,919 ) ( 137,444 ) 303,721 Balance at end of quarter $ 3,975,076 $ 3,391,172 March 31, 2023 December 31, 2022 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets and Notes payable $ 3,926,160 $ 3,962,820 (1) Primarily reflects changes in pricing spread, prepayment speed, servicing cost, and UPB of underlying loan inputs. (2) Represents changes due to realization of expected cash flows. |
Summary of Net Loan Servicing Fees Relating to MSRs | Servicing fees relating to MSRs are recorded in Net loan servicing fees – from nonaffiliates on the Company’s consolidated statements of operations and are summarized below: Quarter ended March 31, 2023 2022 (in thousands) Contractually-specified servicing fees $ 164,214 $ 146,885 Ancillary and other fees: Late charges 759 612 Other 3,184 8,502 3,943 9,114 $ 168,157 $ 155,999 Average MSR servicing portfolio $ 230,812,774 $ 217,692,169 MSR recapture fees $ 485 $ 8,260 UPB of loans recaptured $ 95,191 $ 1,580,805 |
Other Assets (Tables)
Other Assets (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Other Assets [Abstract] | |
Summary of Other Assets | Other assets are summarized below: March 31, 2023 December 31, 2022 (dollars in thousands) Derivative margin deposits $ 59,191 $ 51,463 Interest receivable 40,231 31,027 Servicing fees receivable 13,149 15,727 Correspondent lending receivables 8,063 8,967 Other receivables 22,781 7,657 Real estate acquired in settlement of loans 8,270 7,734 Other 18,732 12,416 $ 170,417 $ 134,991 Real estate acquired in settlement of loans pledge to secure Assets sold under agreements to repurchase $ 3,554 $ 3,297 |
Short-Term Debt (Tables)
Short-Term Debt (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase | Following is a summary of financial information relating to assets sold under agreements to repurchase: Quarter ended March 31, 2023 2022 (dollars in thousands) Weighted average interest rate (1) 5.55 % 1.06 % Average balance $ 7,242,478 $ 4,999,896 Total interest expense $ 100,267 $ 15,571 Maximum daily amount outstanding $ 9,107,074 $ 7,405,436 (1) Excludes the effect of amortization of debt issuance costs of $ 1.2 million and $ 2.5 million for the quarters ended March 31, 2023 and 2022, respectively. March 31, 2023 December 31, 2022 (dollars in thousands) Carrying value: Unpaid principal balance $ 8,115,508 $ 6,618,639 Unamortized debt issuance costs ( 1,400 ) ( 2,111 ) $ 8,114,108 $ 6,616,528 Weighted average interest rate 5.80 % 5.03 % Available borrowing capacity (1): Committed $ 41,308 $ 217,279 Uncommitted 3,253,455 4,762,056 $ 3,294,763 $ 4,979,335 Margin deposits placed with (received from) counterparties included in Other assets ( Accounts payable and accrued liabilities ), net $ 17,399 $ ( 13,630 ) Assets securing agreements to repurchase: Mortgage-backed securities $ 4,616,580 $ 4,462,601 Loans acquired for sale at fair value $ 3,117,294 $ 1,801,368 Loans at fair value: Securities retained in asset-backed financings $ 84,866 $ 84,044 Distressed $ 194 $ 206 Deposits securing credit risk transfer arrangements $ 446,574 $ 455,552 Mortgage servicing rights (2) $ 2,045,372 $ 2,092,794 Servicing advances $ 76,664 $ 100,888 Real estate acquired in settlement of loans $ 3,554 $ 3,297 (1) The amount the Company is able to borrow under asset repurchase agreements is tied to the fair value of unencumbered assets eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the assets financed. (2) Beneficial interests in Fannie Mae MSRs are pledged for both Assets sold under agreements to repurchase and Notes payable secured by credit risk transfer and mortgage servicing assets . |
Summary of Maturities of Outstanding Advances Under Repurchase Agreements by Maturity Date | Following is a summary of maturities of outstanding advances under repurchase agreements by maturity date: Remaining maturity at March 31, 2023 (1) Unpaid (in thousands) Within 30 days $ 4,405,227 Over 30 to 90 days 2,837,245 Over 90 days to 180 days 424,998 Over 180 days to 1 year — Over 1 year to 2 years 448,038 $ 8,115,508 Weighted average maturity (in months) 2.0 |
Summary of Assets Sold under Agreements to Repurchase by Counterparty | Securities Counterparty Amount at risk Weighted average maturity (in thousands) Bank of America, N.A. $ 19,928 April 23, 2023 Citibank, N.A. $ 32,022 May 24, 2023 Barclays Capital Inc. $ 56,559 April 14, 2023 JPMorgan Chase & Co. $ 52,383 April 19, 2023 Wells Fargo Securities, LLC $ 28,870 April 6, 2023 Daiwa Capital Markets America Inc. $ 10,772 April 24, 2023 Amherst Pierpont Securities LLC $ 7,831 April 21, 2023 Mizuho Financial Group $ 4,173 April 21, 2023 Nomura Holdings America, Inc $ 1,707 April 3, 2023 CRT arrangements Counterparty Amount at risk Weighted average maturity (in thousands) Bank of America, N.A. $ 57,379 April 3, 2023 Citibank, N.A. $ 54,539 July 3, 2023 Goldman Sachs & Co. LLC $ 96,233 May 23, 2023 |
Summary of Mortgage Loan Participation Purchase and Sale Agreement | The mortgage loan participation purchase and sale agreement is summarized below: Quarter ended March 31, 2023 2022 (dollars in thousands) Average balance (1) $ 17,107 $ 35,809 Weighted average interest rate (2) 6.20 % 1.64 % Total interest expense $ 293 $ 176 Maximum daily amount outstanding $ 90,531 $ 88,633 (1) No outstanding balance as of March 31, 2023 and December 31, 2022. (2) Excludes the effect of amortization of debt issuance costs of $ 31,000 for the quarters ended March 31, 2023 and 2022. |
Loans RE and MSRs Sold Under Agreements to Repurchase [Member] | |
Summary of Assets Sold under Agreements to Repurchase by Counterparty | Loans, REO and MSRs Weighted-average maturity Counterparty Amount at risk Advances Facility (in thousands) Bank of America, N.A. $ 33,622 May 6, 2023 June 5, 2024 Citibank, N.A. $ 18,609 May 31, 2023 April 26, 2024 Barclays Capital Inc. $ 48,065 June 2, 2023 November 13, 2024 Goldman Sachs & Co. LLC $ 3,745 June 5, 2023 December 23, 2023 JPMorgan Chase & Co. $ 11,598 May 30, 2023 June 17, 2024 Atlas Securitized Products, L.P. $ 61,683 June 9, 2023 May 31, 2024 Wells Fargo Securities, LLC $ 14,178 June 13, 2023 November 17, 2023 BNP Paribas Corporate & Institutional Banking $ 14,908 June 18, 2023 November 30, 2024 RBC Capital Markets, L.P. $ 12,112 June 6, 2023 February 10, 2024 Morgan Stanley & Co. LLC $ 4,082 June 19, 2023 January 27, 2025 |
Long-Term Debt (Tables)
Long-Term Debt (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Summary of Financial Information Relating to Note Payable Secured by Credit Risk Transfer and Mortgage Servicing Assets | Following is a summary of financial information relating to notes payable secured by credit risk transfer and mortgage servicing assets: Quarter ended March 31, 2023 2022 (dollars in thousands) Average balance $ 2,802,691 $ 2,438,773 Weighted average interest rate (1) 7.69 % 3.14 % Total interest expense $ 54,947 $ 20,366 Maximum daily amount outstanding $ 2,812,694 $ 2,601,767 (1) Excludes the effect of amortization of debt issuance costs of $ 1.8 million and $ 1.5 million for the quarters ended March 31, 2023 and 2022, respectively. March 31, 2023 December 31, 2022 (dollars in thousands) Carrying value: Unpaid principal balance: CRT Term Notes $ 578,116 $ 592,694 FT-1 Notes 1,105,000 1,105,000 Freddie Mac credit agreements 1,115,000 1,115,000 2,798,116 2,812,694 Unamortized debt issuance costs ( 7,158 ) ( 8,666 ) $ 2,790,958 $ 2,804,028 Weighted average interest rate 7.84 % 7.30 % Assets securing notes payable: Mortgage servicing rights (1) $ 3,926,160 $ 3,962,820 CRT Agreements: Deposits securing CRT arrangements $ 851,343 $ 869,742 Derivative assets $ 2,883 $ 1,262 (1) Beneficial interests in Freddie Mac MSRs are pledged as collateral for the Notes payable secured by credit risk transfer and mortgage servicing assets. Beneficial interests in Fannie Mae MSRs are pledged for both Assets sold under agreements to repurchase and Notes payable secured by credit risk transfer and mortgage servicing assets . |
Summary of Financial Information Relating to Exchangeable Notes | Following is financial information relating to the Exchangeable Notes: Quarter ended March 31, 2023 2022 (in thousands) Average balance $ 546,511 $ 529,542 Weighted average interest rate (1) 5.66 % 5.84 % Interest expense $ 8,380 $ 8,320 March 31, 2023 December 31, 2022 (in thousands) Carrying value: UPB $ 555,000 $ 555,000 Unamortized debt issuance costs ( 7,997 ) ( 8,746 ) $ 547,003 $ 546,254 (1) Excludes the effect of amortization of debt issuance costs of $ 748,000 and $ 689,000 for the quarters ended March 31, 2023 and 2022, respectively. |
Summary of Financial Information Relating to Asset-Backed Financing of a VIE at Fair Value | Following is a summary of financial information relating to the asset-backed financings of VIEs at fair value described in Note 6 ‒ Variable Interest Entities ‒ Subordinate Mortgage-Backed Securities : Quarter ended March 31, 2023 2022 (dollars in thousands) Average balance $ 1,411,990 $ 1,460,610 Total interest expense $ 12,353 $ 11,027 Weighted average interest rate (1) 3.70 % 3.29 % (1) Excludes the effect of (accrual) amortization of premiums and debt issuance cost of $( 542,000 ) and $ 834,000 for the quarters ended March 31, 2023 and 2022, respectively. March 31, 2023 December 31, 2022 (dollars in thousands) Fair value $ 1,403,080 $ 1,414,955 Unpaid principal balance $ 1,659,916 $ 1,681,410 Weighted average interest rate 3.22 % 3.22 % |
Schedule of Contractual Maturities on Long Term Debt Obligations | Maturities of Long-Term Debt Contractual maturities of long-term debt obligations (based on final maturity dates) are as follows: Twelve months ended March 31, Total 2024 2025 2026 2027 2028 Thereafter (in thousands) Notes payable secured by credit risk transfer $ 2,798,116 $ 918,406 $ 1,224,710 $ 350,000 $ — $ 305,000 $ — Exchangeable senior notes 555,000 — 210,000 345,000 — — — Asset-backed financings at fair value (2) 1,659,916 — — — — — 1,659,916 Interest-only security payable at fair value (2) 23,205 — — — — — 23,205 Total $ 5,036,237 $ 918,406 $ 1,434,710 $ 695,000 $ — $ 305,000 $ 1,683,121 (1) Based on stated maturity. As discussed above, certain of the Notes payable secured by credit risk and mortgage servicing assets allow the Company to exercise optional extensions. (2) Contractual maturity does not reflect expected repayment as borrowers of the underlying loans generally have the right to repay their loans at any time . |
CRT Arrangement Financing [Member] | |
Summary of Term Note Issued to Qualified Institutional Buyers | Following is a summary of the CRT Term Notes outstanding: Unpaid Annual interest rate Maturity date Term Issuance date Issuance amount principal Index Spread Stated Optional extension (1) (in thousands) 2021 1R March 4, 2021 $ 659,156 $ 292,216 LIBOR (2) 2.90 % February 28, 2024 February 27, 2026 2020 1R February 14, 2020 $ 350,000 56,576 LIBOR 2.35 % February 27, 2025 (3) 2019 3R October 16, 2019 $ 375,000 53,134 LIBOR 2.70 % October 29, 2024 (3) 2019 2R June 11, 2019 $ 638,000 176,190 LIBOR 2.75 % May 29, 2023 May 29, 2025 $ 578,116 (1) The indentures relating to these issuances provide the Company with the option to extend the maturity dates of certain of the CRT Term Notes under the conditions specified in the respective agreements. (2) London Inter-Bank Offered Rate ("LIBOR"). (3) Stated maturity date reflects the exercise by the Company of its option to extend the maturity of this issuance. |
Fannie Mae M S R Financing | |
Summary of Term Note Issued to Qualified Institutional Buyers | Following is a summary of the term financing of the Company’s Fannie Mae MSRs: Unpaid Annual interest rate Maturity date FT-1 Note Issuance date Issuance amount principal Index Spread Stated Optional extension (1) (in thousands) 2022 June 28, 2022 $ 305,000 $ 305,000 SOFR (2) 4.19 % June 25, 2027 (3) 2021 March 30, 2021 $ 350,000 350,000 LIBOR 3.00 % March 25, 2026 March 27, 2028 2018 April 25, 2018 $ 450,000 450,000 LIBOR 2.35 % April 25, 2023 April 25, 2025 $ 1,105,000 (1) The indentures relating to these issuances provide the Company with the option of extending the maturity dates of certain of the FT-1 Notes under the conditions specified in the respective agreements. (2) Secured Overnight Financing Rate ("SOFR") (3) Either June 26, 2028 or June 25, 2029. |
Liability for Losses Under Re_2
Liability for Losses Under Representations and Warranties (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Liability For Representations And Warranties [Abstract] | |
Summary of Company's Liability for Losses under Representations and Warranties | Following is a summary of the Company’s liability for losses under representations and warranties: Quarter ended March 31, 2023 2022 (in thousands) Balance, beginning of quarter $ 39,471 $ 40,249 Provision for losses: Pursuant to loan sales 940 1,317 Reduction in liability due to change in estimate ( 616 ) ( 1,165 ) Losses incurred ( 388 ) ( 176 ) Balance, end of quarter $ 39,407 $ 40,225 UPB of loans subject to representations and warranties $ 230,035,290 $ 217,466,262 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Commitments and Contingencies Disclosure [Abstract] | |
Company's Outstanding Contractual Commitments | The following table summarizes the Company’s outstanding contractual commitments: March 31, 2023 (in thousands) Commitments to purchase loans acquired for sale $ 1,806,398 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Equity [Abstract] | |
Schedule of Preferred Shares of Beneficial Interest | Preferred shares of beneficial interest are summarized below: Dividends per share Preferred Quarter ended March 31, Share Description (1) Number Liquidation Issuance Carrying 2023 2022 Fixed-to-floating rate cumulative redeemable (in thousands, except dividends per share) A 8.125 % Issued March 2017 4,600 $ 115,000 $ 3,828 $ 111,172 $ 0.51 $ 0.51 B 8.00 % Issued July 2017 7,800 195,000 6,465 188,535 $ 0.50 $ 0.50 Fixed-rate cumulative redeemable C 6.75 % Issued August 2021 10,000 250,000 8,225 241,775 $ 0.42 $ 0.42 22,400 $ 560,000 $ 18,518 $ 541,482 (1) Par value is $ 0.01 per share. |
Summary of Common Share Repurchase Activity | The following table summarizes the Company’s Common Share repurchase activity: Quarter ended March 31, Cumulative 2023 2022 total (1) (in thousands) Common Shares repurchased 638 1,974 27,329 Cost of Common Shares repurchased (2) $ 7,564 $ 31,829 $ 406,303 (1) Amounts represent the Common Share repurchase program total from its inception in August 2015 through March 31, 2023. (2) Cumulative total cost of Common Shares repurchased includes $ 547,000 of transaction fees. |
Net Gains (Losses) on Investm_2
Net Gains (Losses) on Investments and Financings (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of Net Gains (Losses) on Investments and Financings | Net gains (losses) on investments and financings are summarized below: Quarter ended March 31, 2023 2022 (in thousands) From nonaffiliates: Mortgage-backed securities $ 78,218 $ ( 186,525 ) Loans at fair value: Held in VIEs 11,017 ( 96,564 ) Distressed 451 443 CRT arrangements 46,278 ( 35,623 ) Asset-backed financings at fair value ( 10,160 ) 89,174 $ 125,804 $ ( 229,095 ) |
Net Gains on Loans Acquired f_2
Net Gains on Loans Acquired for Sale (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Text Block [Abstract] | |
Schedule of Net Gains on Loans Acquired for Sale | Net gains on loans acquired for sale are summarized below: Quarter ended March 31, 2023 2022 (in thousands) From nonaffiliates: Cash losses: Sales of loans $ ( 72,945 ) $ ( 439,788 ) Hedging activities ( 52,116 ) 338,102 ( 125,061 ) ( 101,686 ) Non-cash gains: Receipt of MSRs in mortgage loan sale transactions 100,618 194,596 Provision for losses relating to representations Pursuant to loans sales ( 940 ) ( 1,317 ) Reduction of liability due to change in estimate 616 1,165 ( 324 ) ( 152 ) Changes in fair value of loans and derivatives Interest rate lock commitments 9,027 ( 25,916 ) Loans ( 10,487 ) 22,018 Hedging derivatives 31,372 ( 86,203 ) 29,912 ( 90,101 ) 130,206 104,343 Total from nonaffiliates 5,145 2,657 From PFSI ‒ cash gains 1,328 1,296 $ 6,473 $ 3,953 |
Net Interest Expense (Tables)
Net Interest Expense (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Banking and Thrift, Interest [Abstract] | |
Summary of Net Interest Expense | Net interest expense is summarized below: Quarter ended March 31, 2023 2022 (in thousands) Interest income: Cash and short-term investments $ 6,311 $ 403 Mortgage-backed securities 51,139 14,400 Loans acquired for sale at fair value 36,988 19,248 Loans at fair value: Held in consolidated variable interest entities 15,166 12,849 Distressed ( 7 ) 174 Deposits securing CRT arrangements 14,212 222 Placement fees relating to custodial funds 28,920 3,709 Other 290 58 153,019 51,063 Interest expense: Assets sold under agreements to repurchase 100,267 15,571 Mortgage loan participation purchase and sale agreements 293 176 Notes payable secured by credit risk transfer and 54,947 20,366 Exchangeable senior notes 8,380 8,320 Asset-backed financings at fair value 12,353 11,027 Interest shortfall on repayments of loans serviced 1,029 7,042 Interest on loan impound deposits 1,343 1,012 Other 525 — 179,137 63,514 Net interest expense $ ( 26,118 ) $ ( 12,451 ) |
Share-Based Compensation (Table
Share-Based Compensation (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Share-Based Payment Arrangement [Abstract] | |
Summary of Share-Based Compensation Activity | The following table summarizes the Company’s share-based compensation activity: Quarter ended March 31, 2023 2022 (in thousands) Grants: Restricted share units 165 128 Performance share units 123 99 288 227 Grant date fair value: Restricted share units $ 2,134 $ 2,006 Performance share units 1,581 1,551 $ 3,715 3,557 Vestings: Restricted share units 129 78 Performance share units (1) 48 41 177 119 Forfeitures: Restricted share units — — Performance share units — 9 — 9 Compensation expense relating to share-based grants $ 1,156 $ 1,029 (1) The actual number of performance-based restricted share units (“RSUs”) that vested during the quarter ended March 31, 2023 was 48,372 Common Shares, which is app roximately 39 % of the originally granted performance-based RSUs. |
Summary of Restricted Share Units and Performance Share Units Expected to Vest | March 31, 2023 Restricted share units Performance share units Shares expected to vest: Number of units (in thousands) 261 217 Grant date average fair value per unit $ 14.43 $ 14.53 |
Earnings Per Common Share (Tabl
Earnings Per Common Share (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Earnings Per Share [Abstract] | |
Summary of Basic and Diluted Earnings per Share | The following table summarizes the basic and diluted earnings per share calculations: Quarter ended March 31, 2023 2022 (in thousands except per share amounts) Net income (loss) $ 60,697 $ ( 19,129 ) Dividends on preferred shares ( 10,455 ) ( 10,455 ) Effect of participating securities—share-based compensation awards ( 140 ) ( 104 ) Net income (loss) attributable to common shareholders 50,102 ( 29,688 ) Interest on Exchangeable Notes, net of income taxes 6,352 — Income attributable to participating securities 8 — Diluted net income (loss) attributable to common shareholders $ 56,462 $ ( 29,688 ) Weighted average basic shares outstanding 88,831 94,146 Dilutive securities: Shares issuable pursuant to exchange of the Exchangeable Notes 24,328 — Shares issuable under share-based compensation plan 229 — Diluted weighted average shares outstanding 113,388 94,146 Basic earnings (loss) per share $ 0.56 $ ( 0.32 ) Diluted earnings (loss) per share $ 0.50 $ ( 0.32 ) |
Summary of Potentially Dilutive Shares Excluded from Computation of Diluted Earnings Per Share | The following table summarizes the potentially dilutive shares excluded from the diluted earnings per share calculation as inclusion of such shares would have been antidilutive: Quarter ended March 31, 2023 2022 (in thousands) Shares issuable under share-based compensation plan — 133 Shares issuable pursuant to exchange of the Exchangeable Senior Notes — 24,328 |
Segments (Tables)
Segments (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Segment Reporting [Abstract] | |
Financial Highlights by Operating Segment | Financial highlights by operating segment are summarized below: Credit Interest rate sensitive sensitive Correspondent Quarter ended March 31, 2023 strategies strategies production Corporate Total (in thousands) Net investment income: Net gains (losses) on investments and financings $ 54,388 $ 71,416 $ — $ — $ 125,804 Net gains on loans acquired for sale — — 6,473 — 6,473 Net loan servicing fees — ( 23,693 ) — — ( 23,693 ) Net interest expense: Interest income 21,394 92,083 36,927 2,615 153,019 Interest expense 17,803 125,168 35,132 1,034 179,137 3,591 ( 33,085 ) 1,795 1,581 ( 26,118 ) Other 56 — 7,844 — 7,900 58,035 14,638 16,112 1,581 90,366 Expenses: Loan fulfillment and servicing fees 77 20,372 11,923 — 32,372 Management fees — — — 7,257 7,257 Other 636 1,289 2,408 7,603 11,936 713 21,661 14,331 14,860 51,565 Pretax income (loss) $ 57,322 $ ( 7,023 ) $ 1,781 $ ( 13,279 ) $ 38,801 Total assets at end of quarter $ 1,620,576 $ 10,110,650 $ 3,196,705 $ 429,298 $ 15,357,229 Credit Interest rate sensitive sensitive Correspondent Quarter ended March 31, 2022 strategies strategies production Corporate Total (in thousands) Net investment income: Net gains (losses) on investments and financings $ ( 44,905 ) $ ( 184,190 ) $ — $ — $ ( 229,095 ) Net gains on loans acquired for sale ( 4 ) — 3,957 — 3,953 Net loan servicing fees — 304,178 — — 304,178 Net interest expense: Interest income 2,058 29,110 19,181 714 51,063 Interest expense 10,128 41,685 11,560 141 63,514 ( 8,070 ) ( 12,575 ) 7,621 573 ( 12,451 ) Other 288 — 14,966 — 15,254 ( 52,691 ) 107,413 26,544 573 81,839 Expenses: Loan fulfillment and servicing fees 59 21,029 16,754 — 37,842 Management fees — — — 8,117 8,117 Other 3,211 2,175 5,212 7,224 17,822 3,270 23,204 21,966 15,341 63,781 Pretax income (loss) $ ( 55,961 ) $ 84,209 $ 4,578 $ ( 14,768 ) $ 18,058 Total assets at end of quarter $ 1,747,763 $ 8,387,313 $ 1,812,210 $ 440,229 $ 12,387,515 |
Regulatory Capital and Liquid_2
Regulatory Capital and Liquidity Requirements (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Mortgage Banking [Abstract] | |
Summary of Capital and Liquidity Amounts and Requirements by Agencies | The Agencies’ capital and liquidity amounts and requirements, are summarized below: Net worth (1) Tangible net worth / Liquidity (1) Fannie Mae and Freddie Mac Actual Required Actual Required Actual Required (dollars in thousands) March 31, 2023 $ 1,100,753 $ 593,721 13 % 6 % $ 385,500 $ 79,946 December 31, 2022 $ 1,138,331 $ 586,436 16 % 6 % $ 343,286 $ 79,372 (1) Calculated in accordance with the Agencies’ requirements. |
Organization - Additional Infor
Organization - Additional Information (Detail) | 3 Months Ended |
Mar. 31, 2023 Segment | |
Accounting Policies [Abstract] | |
Number of business segments | 4 |
Percentage of taxable income for distributions | 90% |
Basis of Presentation - Additio
Basis of Presentation - Additional Information (Detail) - USD ($) | Mar. 31, 2023 | Mar. 31, 2022 |
New Accounting Pronouncements Or Change In Accounting Principle [Line Items] | ||
Restricted cash | $ 0 | $ 0 |
Transactions with Related Par_3
Transactions with Related Parties - Correspondent Production Activities - Additional Information (Detail) | 3 Months Ended |
Mar. 31, 2023 USD ($) | |
Maximum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Interest income and sourcing fee | 0.20% |
Minimum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Interest income and sourcing fee | 0.10% |
2020 MBS Agreement [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Servicing agreement expiration date | Jun. 30, 2025 |
Service agreement maturity renewal term | 18 months |
2020 MBS Agreement [Member] | Fannie Mae Or Freddie Mac Mortgage Loans [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Number of mortgage loans purchased multiplier | $ 750 |
2020 MBS Agreement [Member] | Ginnie Mae Mortgage Loans [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Mortgage loan servicing fees payable | 0 |
2020 MBS Agreement [Member] | Maximum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Mortgage loans commitments multiplier | 585 |
Mortgage adjusted loan commitments | 16,500 |
Number of mortgage loans purchased multiplier | 315 |
Number of mortgage loans purchased | $ 16,500 |
Interest income and sourcing fee | 0.02% |
2020 MBS Agreement [Member] | Minimum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Mortgage loans commitments multiplier | $ 355 |
Mortgage adjusted loan commitments | 16,500 |
Number of mortgage loans purchased multiplier | 195 |
Number of mortgage loans purchased | $ 16,500 |
Interest income and sourcing fee | 0.01% |
Transactions with Related Par_4
Transactions with Related Parties - Summary of Correspondent Production Activity (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2022 | |
Related Party Transaction [Line Items] | |||
Mortgages Held-for-sale, Fair Value Disclosure | $ 3,143,518 | $ 1,821,933 | |
PennyMac Loan Services, LLC [Member] | |||
Related Party Transaction [Line Items] | |||
Loan fulfillment fees earned by PLS | 11,923 | $ 16,754 | |
UPB of loans fulfilled by PLS | 6,628,810 | 9,769,262 | |
Sourcing fees received from PLS included in Net gains on loans acquired for sale | 1,328 | 1,296 | |
UPB of loans sold to PLS | 13,276,586 | 12,747,779 | |
Purchases of loans acquired for sale from PLS | 0 | 259,038 | |
Tax service fees paid to PLS | 1,410 | 2,342 | |
Mortgages Held-for-sale, Fair Value Disclosure | 416,162 | $ 159,671 | |
PennyMac Loan Services, LLC [Member] | Government Guaranteed Or Insured [Member] | |||
Related Party Transaction [Line Items] | |||
UPB of loans sold to PLS | 9,213,712 | 12,747,779 | |
PennyMac Loan Services, LLC [Member] | Conventional Conforming [Member] | |||
Related Party Transaction [Line Items] | |||
UPB of loans sold to PLS | $ 4,062,874 | $ 0 |
Transactions with Related Par_5
Transactions with Related Parties - Loan Servicing - Additional Information (Detail) - PennyMac Loan Services, LLC [Member] | 3 Months Ended |
Mar. 31, 2023 | |
Mortgage Loans On Real Estate [Line Items] | |
Servicing agreement expiration date | Jun. 30, 2025 |
Service agreement maturity renewal term | 18 months |
Transactions with Related Par_6
Transactions with Related Parties - Prime Servicing - Additional Information (Detail) - PennyMac Loan Services, LLC [Member] | 3 Months Ended |
Mar. 31, 2023 USD ($) | |
Subserviced loan [Member] | Fixed-Rate Mortgage Loans [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees per month | $ 7.50 |
Subserviced loan [Member] | Adjustable rate mortgage loans [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees per month | 8.50 |
Prime Mortgage Loans [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees for REO per month | 75 |
Prime Mortgage Loans [Member] | Minimum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Additional servicing fees per loan per month | 10 |
Prime Mortgage Loans [Member] | Maximum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Additional servicing fees per loan per month | $ 55 |
Transactions with Related Par_7
Transactions with Related Parties - Special Servicing - Additional Information (Detail) - PennyMac Loan Services, LLC [Member] - Distressed loans [Member] | 3 Months Ended |
Mar. 31, 2023 USD ($) | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees for REO per month | $ 75 |
Supplemental servicing fee | 25 |
Minimum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees per month | 30 |
Maximum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees per month | $ 95 |
Transactions with Related Par_8
Transactions with Related Parties - MSR Recapture Agreement - Additional Information (Detail) - 2020 MSR Recapture Agreement [Member] | 3 Months Ended |
Mar. 31, 2023 | |
Mortgage Loans On Real Estate [Line Items] | |
Servicing agreement expiration date | Jun. 30, 2025 |
Service agreement maturity renewal term | 18 months |
Mortgage loans on real estate, renewed and Extended, description | 40% of the fair market value of the MSRs relating to the recaptured loans subject to the first 15% of the “recapture rate”; •35% of the fair market value of the MSRs relating to the recaptured loans subject to the “recapture rate” in excess of 15% and up to 30%; and •30% of the fair market value of the MSRs relating to the recaptured loans subject to the “recapture rate” in excess of 30%. |
Recapture rate | 15% |
Transactions with Related Par_9
Transactions with Related Parties - Summary of Loan Servicing Fees Earned and Mortgage Servicing Rights Recaptured Income Earned (Detail) - PennyMac Loan Services, LLC [Member] - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Related Party Transaction [Line Items] | ||
Loan servicing fees | $ 20,449 | $ 21,088 |
Average MSR portfolio UPB | 230,812,774 | 217,692,169 |
Loans acquired for sale at fair value [Member] | ||
Related Party Transaction [Line Items] | ||
Loan servicing fees | 285 | 264 |
Average investment in loans acquired for sale at fair value | 2,359,044 | 2,129,668 |
Loans at fair value [Member] | ||
Related Party Transaction [Line Items] | ||
Loan servicing fees | 120 | 210 |
Loans at fair value | 1,510,606 | 1,559,939 |
Mortgage servicing rights [Member] | ||
Related Party Transaction [Line Items] | ||
Loan servicing fees | $ 20,044 | $ 20,614 |
Transactions with Related Pa_10
Transactions with Related Parties - Management Fees - Additional Information (Detail) | 3 Months Ended |
Mar. 31, 2023 USD ($) | |
Mortgage Loans On Real Estate [Line Items] | |
Termination fees, description | The termination fee is equal to three times the sum of (a) the average annual base management fee, and (b) the average annual performance incentive fee earned by PCM, in each case during the 24-month period before termination. |
Fannie Mae [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
MBS yield, average number of year | 30 years |
PNMAC Capital Management LLC [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Percentage of change in net income due to quarterly adjustments | 8% |
PMT agreed to reimburse PCM for a payment | $ 165,000 |
PNMAC Capital Management LLC [Member] | 1.5% per annum of stockholders equity [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base management fee annual rate | 1.50% |
PNMAC Capital Management LLC [Member] | 1.375% per annum of stockholders equity [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base management fee annual rate | 1.375% |
PNMAC Capital Management LLC [Member] | 1.25% per annum of stockholders equity [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base management fee annual rate | 1.25% |
PNMAC Capital Management LLC [Member] | Net income exceeds 10% [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Percentage of net income for calculation of performance incentive fees | 10% |
Percentage of return on equity | 12% |
PNMAC Capital Management LLC [Member] | Net income exceeds 15% [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Percentage of net income for calculation of performance incentive fees | 15% |
Percentage of return on equity | 16% |
PNMAC Capital Management LLC [Member] | Net income exceeds 20% [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Percentage of net income for calculation of performance incentive fees | 20% |
PNMAC Capital Management LLC [Member] | Maximum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Percentage of performance incentive fee paid in Company's common shares | 50% |
PNMAC Capital Management LLC [Member] | Maximum [Member] | 1.5% per annum of stockholders equity [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base management fee shareholders' equity limit | $ 2,000,000,000 |
PNMAC Capital Management LLC [Member] | Maximum [Member] | 1.375% per annum of stockholders equity [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base management fee shareholders' equity limit | $ 5,000,000,000 |
PNMAC Capital Management LLC [Member] | Maximum [Member] | Net income exceeds 10% [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Percentage of return on equity | 8% |
PNMAC Capital Management LLC [Member] | Maximum [Member] | Net income exceeds 15% [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Percentage of return on equity | 12% |
PNMAC Capital Management LLC [Member] | Maximum [Member] | Net income exceeds 20% [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Percentage of return on equity | 16% |
PNMAC Capital Management LLC [Member] | Minimum [Member] | 1.375% per annum of stockholders equity [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base management fee shareholders' equity limit | $ 2,000,000,000 |
PNMAC Capital Management LLC [Member] | Minimum [Member] | 1.25% per annum of stockholders equity [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base management fee shareholders' equity limit | $ 5,000,000,000 |
PennyMac Financial Services, Inc. [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Performance incentive fee description | The performance incentive fee is equal to the sum of: (a) 10% of the amount by which “net income” for the quarter exceeds (i) an 8% return on “equity” plus the “high watermark”, up to (ii) a 12% return on “equity”; plus (b) 15% of the amount by which “net income” for the quarter exceeds (i) a 12% return on “equity” plus the “high watermark”, up to (ii) a 16% return on “equity”; plus (c) 20% of the amount by which “net income” for the quarter exceeds a 16% return on “equity” plus the “high watermark”. |
Transactions with Related Pa_11
Transactions with Related Parties - Summary of Management Fee Expense (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Related Party Transaction [Line Items] | ||
Total management fee incurred during the period | $ 7,257 | $ 8,117 |
PNMAC Capital Management LLC [Member] | ||
Related Party Transaction [Line Items] | ||
Total management fee incurred during the period | 7,257 | 8,117 |
Average shareholders' equity amounts used to calculate base management fee expense | 1,962,105 | 2,212,304 |
PNMAC Capital Management LLC [Member] | Base [Member] | ||
Related Party Transaction [Line Items] | ||
Total management fee incurred during the period | 7,257 | 8,117 |
PNMAC Capital Management LLC [Member] | Performance incentive [Member] | ||
Related Party Transaction [Line Items] | ||
Total management fee incurred during the period | $ 0 | $ 0 |
Transactions with Related Pa_12
Transactions with Related Parties - Summary of Expenses (Detail) - PNMAC Capital Management LLC [Member] - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2023 | Mar. 31, 2022 | ||
Related Party Transaction [Line Items] | |||
Expenses incurred on the Company’s behalf, net | $ 5,661 | $ 5,357 | |
Common overhead incurred by PCM and its affiliates | 1,821 | 1,864 | |
Compensation | 165 | 165 | |
Total expenses incurred in transaction with affiliates | 7,647 | 7,386 | |
Payments and settlements during the year | [1] | $ 32,384 | $ 39,764 |
[1] Payments and settlements include payments and netting settlements made pursuant to master netting agreements between the Company and PFSI for the operating, investing and financing activities itemized in this Note. |
Transactions with Related Pa_13
Transactions with Related Parties - Note Payable to PLS - Additional Information (Detail) - shares | Mar. 31, 2023 | Dec. 31, 2022 |
PennyMac Financial Services, Inc. [Member] | ||
Related Party Transaction [Line Items] | ||
Number of common shares held by affiliate | 75,000 | 75,000 |
Transactions with Related Pa_14
Transactions with Related Parties - Summary of Amounts Receivable From and Payable to PFSI (Detail) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Due to PFSI: | ||
Allocated expenses and expenses and costs paid by PFSI on PMT’s behalf | $ 7,610 | $ 11,447 |
PennyMac Financial Services, Inc. [Member] | ||
Due from PFSI: | ||
Due from PFSI-Miscellaneous receivables | 0 | 3,560 |
Due to PFSI: | ||
Management fees | 7,257 | 7,307 |
Correspondent production fees | 8,325 | 6,835 |
Loan servicing fees | 6,791 | 6,740 |
Fulfillment fees | 5,183 | 4,043 |
Total expense due to affiliate | $ 35,166 | $ 36,372 |
Transactions with Related Pa_15
Transactions with Related Parties - Summary of Transfer Cash to Fund Loan Servicing Advances (Detail) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Related Party Transaction [Line Items] | ||
Loan servicing advances | $ 138,716 | $ 197,972 |
Real estate acquired in settlement of loans | 8,270 | 7,734 |
PennyMac Loan Services, LLC [Member] | ||
Related Party Transaction [Line Items] | ||
Loan servicing advances | 138,716 | 197,972 |
Real estate acquired in settlement of loans | 3,291 | 3,479 |
Servicing advances and real estate acquired | $ 142,007 | $ 201,451 |
Loan Sales - Summary of Cash Fl
Loan Sales - Summary of Cash Flows between Company and Transferees in Transfers Accounted for Sales (Detail) - Variable Interest Entity, Not Primary Beneficiary [Member] - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Cash flows: | ||
Proceeds from sales | $ 5,587,266 | $ 11,985,961 |
Loan servicing fees received | $ 164,214 | $ 146,885 |
Loan Sales - Summary of Collect
Loan Sales - Summary of Collection Status Information for Loans Accounted for Sales (Detail) - Variable Interest Entity, Not Primary Beneficiary [Member] - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 | |
Mortgage Loans On Real Estate [Line Items] | |||
UPB of loans outstanding | $ 231,507,353 | $ 229,858,573 | |
Collection Status (UPB) | |||
30-89 days delinquent | [1] | 1,556,305 | 1,903,007 |
90 or more days delinquent: | |||
Not in foreclosure | 839,807 | 880,841 | |
In foreclosure | 66,275 | 70,921 | |
Bankruptcy | 132,238 | 123,239 | |
Custodial funds managed by the Company | [2] | 2,347,138 | 1,783,157 |
COVID-19 [Member] | |||
90 or more days delinquent: | |||
30-89 days | 144,897 | 176,346 | |
90 days or more | $ 404,288 | $ 464,694 | |
[1] Includes delinquent loans in COVID-19 pandemic-related forbearance plans that were requested by borrowers seeking payment relief in accordance with the CARES Act. Custodial funds include borrower and investor custodial cash accounts relating to loans serviced under mortgage servicing agreements and are not included on the Company’s consolidated balance sheets. The Company earns placement fees on certain of the custodial funds it manages on behalf of the loans’ borrowers and investors, and these fees are included in Interest income in the Company’s consolidated statements of operations. |
Variable Interest Entities - Ad
Variable Interest Entities - Additional Information (Detail) - Credit Risk Transfer Agreements [Member] | 3 Months Ended |
Mar. 31, 2023 | |
Minimum [Member] | |
Mortgage Loans on Real Estate [Line Items] | |
Initially established percentage of unpaid principal balance of loans sold under recourse obligation losses | 3.50% |
Increase to maximum percentage of outstanding unpaid principal balance | 4.50% |
Maximum [Member] | |
Mortgage Loans on Real Estate [Line Items] | |
Initially established percentage of unpaid principal balance of loans sold under recourse obligation losses | 4% |
Increase to maximum percentage of outstanding unpaid principal balance | 5% |
Variable Interest Entities - Su
Variable Interest Entities - Summary of Credit Risk Transfer Agreements (Detail) - USD ($) $ in Thousands | 3 Months Ended | |||||||||
Mar. 31, 2023 | Mar. 31, 2022 | Mar. 31, 2029 | Mar. 31, 2028 | Mar. 31, 2027 | Mar. 31, 2026 | Mar. 31, 2025 | Mar. 31, 2024 | Dec. 31, 2022 | ||
CRT strips: | ||||||||||
Net investment income | $ 90,366 | $ 81,839 | ||||||||
Carrying value of CRT arrangements: | ||||||||||
Derivative and credit risk transfer strip assets | 89,285 | $ 84,940 | ||||||||
Interest-only security payable at fair value | 23,205 | $ 23,205 | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 | 21,925 | ||
Variable Interest Entities [Member] | ||||||||||
Carrying value of CRT arrangements: | ||||||||||
Interest-only security payable at fair value | 23,205 | 21,925 | ||||||||
Variable Interest Entities [Member] | Credit Risk Transfer Agreements [Member] | ||||||||||
CRT derivatives: | ||||||||||
Realized | 3,030 | 21,201 | ||||||||
Valuation changes | 8,096 | (27,049) | ||||||||
Gains (losses) recognized on gross derivative related to credit risk transactions | 46,278 | (35,623) | ||||||||
CRT strips: | ||||||||||
Realized | 12,304 | 17,763 | ||||||||
Valuation changes | 24,128 | (41,758) | ||||||||
Credit risk transfer strips | 11,126 | (5,848) | ||||||||
Interest-only security payable at fair value | (1,280) | (5,780) | ||||||||
Gains (losses) recognized on gross derivative related to credit risk transactions | 36,432 | (23,995) | ||||||||
Interest income — Deposits securing CRT arrangements | 14,212 | 222 | ||||||||
Net investment income | 60,490 | (35,401) | ||||||||
Net payments made (recoveries received) to settle losses (recoveries) on CRT arrangements | 1,257 | $ (15,973) | ||||||||
Carrying value of CRT arrangements: | ||||||||||
CRT derivatives | (13,860) | (22,098) | ||||||||
CRT strips | (113,065) | (137,193) | ||||||||
Derivative and credit risk transfer strip assets | (126,925) | (159,291) | ||||||||
Deposits securing CRT arrangements | 1,297,917 | 1,325,294 | ||||||||
Interest-only security payable at fair value | 23,205 | 21,925 | ||||||||
Derivative assets | 2,883 | 1,262 | ||||||||
Derivative and credit risk transfer strip assets pledged to secure | [1] | 1,297,917 | 1,325,294 | |||||||
UPB of loans underlying CRT arrangements | 24,824,362 | 25,315,524 | ||||||||
Variable Interest Entities [Member] | Credit Risk Transfer Agreements [Member] | Purchase Commitment [Member] | ||||||||||
Collection status (UPB): | ||||||||||
Current | 24,277,884 | 24,673,719 | ||||||||
30-89 days delinquent | 322,328 | 409,049 | ||||||||
90-180 days delinquent | 107,982 | 112,286 | ||||||||
180 or more days delinquent | 91,892 | 93,717 | ||||||||
Foreclosure | 24,276 | 26,753 | ||||||||
Bankruptcy | 57,676 | 54,395 | ||||||||
Variable Interest Entities [Member] | Credit Risk Transfer Agreements [Member] | Purchase Commitment [Member] | COVID-19 [Member] | ||||||||||
Collection status (UPB): | ||||||||||
30-89 days | 23,358 | 35,388 | ||||||||
90-180 days delinquent | 29,352 | 39,033 | ||||||||
180 or more days delinquent | $ 29,052 | $ 35,588 | ||||||||
[1] Deposits securing credit risk transfer strip liabilities also secure $ 129.8 million and $ 160.6 million in CRT strip and CRT derivative liabilities at March 31, 2023 and December 31, 2022, respectively . |
Variable Interest Entities - _2
Variable Interest Entities - Summary of Credit Risk Transfer Agreements (Parenthetical) (Detail) - USD ($) $ in Millions | Mar. 31, 2023 | Dec. 31, 2022 |
Transfer Of Financial Assets Accounted For As Sales [Line Items] | ||
Deposits securing CRT strips and derivatives liabilities | $ 129.8 | $ 160.6 |
Variable Interest Entities - _3
Variable Interest Entities - Summary of Investment in Subordinate Mortgage Backed Securities (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2022 | |
Loans at fair value | $ 130,206 | $ 104,343 | |
Asset-backed financings at fair value | (10,160) | 89,174 | |
Interest income | 153,019 | 51,063 | |
Interest expense | 179,137 | 63,514 | |
Loans at fair value | 1,502,471 | $ 1,513,399 | |
Asset-backed financings at fair value | 1,403,080 | 1,414,955 | |
Variable Interest Entities [Member] | |||
Loans at fair value | 1,498,923 | 1,509,942 | |
Asset-backed financings at fair value | 1,403,080 | 1,414,955 | |
Variable Interest Entities [Member] | Subordinate Mortgage Backed Securities [Member] | |||
Loans at fair value | 11,017 | (96,564) | |
Asset-backed financings at fair value | (10,160) | 89,174 | |
Interest income | 15,166 | 12,849 | |
Interest expense | 12,353 | $ 11,027 | |
Loans at fair value | 1,498,923 | 1,509,942 | |
Asset-backed financings at fair value | 1,403,080 | 1,414,955 | |
Subordinate MBS retained at fair value pledged to secure Assets sold under agreements to repurchase | $ 84,866 | $ 84,044 |
Fair Value - Summary of Financi
Fair Value - Summary of Financial Statement Items Measured at Fair Value on Recurring Basis (Detail) - USD ($) $ in Thousands | Mar. 31, 2029 | Mar. 31, 2028 | Mar. 31, 2027 | Mar. 31, 2026 | Mar. 31, 2025 | Mar. 31, 2024 | Mar. 31, 2023 | Dec. 31, 2022 | Mar. 31, 2022 | Dec. 31, 2021 | ||
Assets: | ||||||||||||
Short-term investments | $ 292,153 | $ 252,271 | ||||||||||
Mortgage-backed securities at fair value pledged to creditors | 4,629,004 | 4,462,601 | ||||||||||
Loans acquired for sale at fair value | 3,143,518 | 1,821,933 | ||||||||||
Derivative assets | 62,506 | 62,811 | ||||||||||
Derivative assets, Netting | 26,779 | 22,129 | ||||||||||
Total derivative assets after netting | 89,285 | 84,940 | ||||||||||
Mortgage servicing rights at fair value | 3,975,076 | 4,012,737 | $ 3,391,172 | $ 2,892,855 | ||||||||
Liabilities: | ||||||||||||
Asset-backed financings at fair value | 1,403,080 | 1,414,955 | ||||||||||
Interest-only security payable at fair value | $ 23,205 | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 | 23,205 | 21,925 | ||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 112,370 | 60,190 | ||||||||||
Derivative liabilities, Netting | (86,966) | (30,157) | ||||||||||
Total derivative liabilities after netting | 25,404 | 30,033 | ||||||||||
Total derivative and credit risk transfer strip liabilities | 138,469 | 167,226 | ||||||||||
CRT Derivatives [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 2,883 | [1] | 1,262 | |||||||||
Total derivative assets after netting | 2,883 | 1,262 | ||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 16,743 | 23,360 | ||||||||||
Interest Rate Lock Commitments [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 9,952 | [1] | 3,877 | |||||||||
Total derivative assets after netting | 9,952 | 3,877 | ||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 1,403 | 4,355 | ||||||||||
Forward Purchase Contracts [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | [1] | 16,477 | 418 | |||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | [1] | 5,302 | 15,196 | |||||||||
Forward Sales Contracts [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | [1] | 7,711 | 43,435 | |||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | [1] | 86,918 | 17,279 | |||||||||
Call Options on Interest Rate Futures Purchase Contracts [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | [1] | 13,508 | 2,906 | |||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | [1] | 0 | 0 | |||||||||
Put Options On Interest Rate Futures Purchase Contracts | ||||||||||||
Assets: | ||||||||||||
Derivative assets | [1] | 6,570 | 8,130 | |||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | [1] | 0 | 0 | |||||||||
MBS Call Options [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | [1] | 1,832 | 0 | |||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | [1] | 2,004 | 0 | |||||||||
MBS Put Options [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | [1] | 3,573 | 2,783 | |||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | [1] | 0 | 0 | |||||||||
Recurring [Member] | ||||||||||||
Assets: | ||||||||||||
Short-term investments | 292,153 | 252,271 | ||||||||||
Mortgage-backed securities at fair value pledged to creditors | 4,629,004 | 4,462,601 | ||||||||||
Loans acquired for sale at fair value | 3,143,518 | 1,821,933 | ||||||||||
Loans at fair value | 1,502,471 | 1,513,399 | ||||||||||
Total Assets | 13,631,507 | 12,147,881 | ||||||||||
Derivative assets | 62,506 | 62,811 | ||||||||||
Derivative assets, Netting | 26,779 | 22,129 | ||||||||||
Total derivative assets after netting | 89,285 | 84,940 | ||||||||||
Mortgage servicing rights at fair value | 3,975,076 | 4,012,737 | ||||||||||
Liabilities: | ||||||||||||
Asset-backed financings at fair value | 1,403,080 | 1,414,955 | ||||||||||
Interest-only security payable at fair value | 23,205 | 21,925 | ||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 112,370 | 60,190 | ||||||||||
Derivative liabilities, Netting | (86,966) | (30,157) | ||||||||||
Total derivative liabilities after netting | 25,404 | 30,033 | ||||||||||
Total derivative and credit risk transfer strip liabilities | 138,469 | 167,226 | ||||||||||
Total liabilities | 1,564,754 | 1,604,106 | ||||||||||
Recurring [Member] | Credit Risk Transfer Strips [Member] | ||||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 113,065 | 137,193 | ||||||||||
Recurring [Member] | CRT Derivatives [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 2,883 | 1,262 | ||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 16,743 | 23,360 | ||||||||||
Recurring [Member] | Level 1 [Member] | ||||||||||||
Assets: | ||||||||||||
Short-term investments | 292,153 | 252,271 | ||||||||||
Mortgage-backed securities at fair value pledged to creditors | 0 | 0 | ||||||||||
Loans acquired for sale at fair value | 0 | 0 | ||||||||||
Loans at fair value | 0 | 0 | ||||||||||
Total Assets | 312,231 | 263,307 | ||||||||||
Derivative assets | 20,078 | 11,036 | ||||||||||
Derivative assets, Netting | 0 | 0 | ||||||||||
Total derivative assets after netting | 20,078 | 11,036 | ||||||||||
Mortgage servicing rights at fair value | 0 | 0 | ||||||||||
Liabilities: | ||||||||||||
Asset-backed financings at fair value | 0 | 0 | ||||||||||
Interest-only security payable at fair value | 0 | 0 | ||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 0 | 0 | ||||||||||
Derivative liabilities, Netting | 0 | 0 | ||||||||||
Total derivative liabilities after netting | 0 | 0 | ||||||||||
Total derivative and credit risk transfer strip liabilities | 0 | 0 | ||||||||||
Total liabilities | 0 | 0 | ||||||||||
Recurring [Member] | Level 1 [Member] | Credit Risk Transfer Strips [Member] | ||||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 0 | 0 | ||||||||||
Recurring [Member] | Level 1 [Member] | CRT Derivatives [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 0 | 0 | ||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 0 | 0 | ||||||||||
Recurring [Member] | Level 2 [Member] | ||||||||||||
Assets: | ||||||||||||
Short-term investments | 0 | 0 | ||||||||||
Mortgage-backed securities at fair value pledged to creditors | 4,629,004 | 4,462,601 | ||||||||||
Loans acquired for sale at fair value | 3,133,409 | 1,811,225 | ||||||||||
Loans at fair value | 1,498,923 | 1,509,942 | ||||||||||
Total Assets | 9,290,929 | 7,830,404 | ||||||||||
Derivative assets | 29,593 | 46,636 | ||||||||||
Derivative assets, Netting | 0 | 0 | ||||||||||
Total derivative assets after netting | 29,593 | 46,636 | ||||||||||
Mortgage servicing rights at fair value | 0 | 0 | ||||||||||
Liabilities: | ||||||||||||
Asset-backed financings at fair value | 1,403,080 | 1,414,955 | ||||||||||
Interest-only security payable at fair value | 0 | 0 | ||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 94,224 | 32,475 | ||||||||||
Derivative liabilities, Netting | 0 | 0 | ||||||||||
Total derivative liabilities after netting | 94,224 | 32,475 | ||||||||||
Total derivative and credit risk transfer strip liabilities | 94,224 | 32,475 | ||||||||||
Total liabilities | 1,497,304 | 1,447,430 | ||||||||||
Recurring [Member] | Level 2 [Member] | Credit Risk Transfer Strips [Member] | ||||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 0 | 0 | ||||||||||
Recurring [Member] | Level 2 [Member] | CRT Derivatives [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 0 | 0 | ||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 0 | 0 | ||||||||||
Recurring [Member] | Level 3 [Member] | ||||||||||||
Assets: | ||||||||||||
Short-term investments | 0 | 0 | ||||||||||
Mortgage-backed securities at fair value pledged to creditors | 0 | 0 | ||||||||||
Loans acquired for sale at fair value | 10,109 | 10,708 | ||||||||||
Loans at fair value | 3,548 | 3,457 | ||||||||||
Total Assets | 4,001,568 | 4,032,041 | ||||||||||
Derivative assets | 12,835 | 5,139 | ||||||||||
Derivative assets, Netting | 0 | 0 | ||||||||||
Total derivative assets after netting | 12,835 | 5,139 | ||||||||||
Mortgage servicing rights at fair value | 3,975,076 | 4,012,737 | ||||||||||
Liabilities: | ||||||||||||
Asset-backed financings at fair value | 0 | 0 | ||||||||||
Interest-only security payable at fair value | 23,205 | 21,925 | ||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 18,146 | 27,715 | ||||||||||
Derivative liabilities, Netting | 0 | 0 | ||||||||||
Total derivative liabilities after netting | 18,146 | 27,715 | ||||||||||
Total derivative and credit risk transfer strip liabilities | 131,211 | 164,908 | ||||||||||
Total liabilities | 154,416 | 186,833 | ||||||||||
Recurring [Member] | Level 3 [Member] | Credit Risk Transfer Strips [Member] | ||||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 113,065 | 137,193 | ||||||||||
Recurring [Member] | Level 3 [Member] | CRT Derivatives [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 2,883 | 1,262 | ||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 16,743 | 23,360 | ||||||||||
Recurring [Member] | Interest Rate Lock Commitments [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 9,952 | 3,877 | ||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 1,403 | 4,355 | ||||||||||
Recurring [Member] | Interest Rate Lock Commitments [Member] | Level 1 [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 0 | 0 | ||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 0 | 0 | ||||||||||
Recurring [Member] | Interest Rate Lock Commitments [Member] | Level 2 [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 0 | 0 | ||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 0 | 0 | ||||||||||
Recurring [Member] | Interest Rate Lock Commitments [Member] | Level 3 [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 9,952 | 3,877 | ||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 1,403 | 4,355 | ||||||||||
Recurring [Member] | Forward Purchase Contracts [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 16,477 | 418 | ||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 5,302 | 15,196 | ||||||||||
Recurring [Member] | Forward Purchase Contracts [Member] | Level 1 [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 0 | 0 | ||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 0 | 0 | ||||||||||
Recurring [Member] | Forward Purchase Contracts [Member] | Level 2 [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 16,477 | 418 | ||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 5,302 | 15,196 | ||||||||||
Recurring [Member] | Forward Purchase Contracts [Member] | Level 3 [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 0 | 0 | ||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 0 | 0 | ||||||||||
Recurring [Member] | Forward Sales Contracts [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 7,711 | 43,435 | ||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 86,918 | 17,279 | ||||||||||
Recurring [Member] | Forward Sales Contracts [Member] | Level 1 [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 0 | 0 | ||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 0 | 0 | ||||||||||
Recurring [Member] | Forward Sales Contracts [Member] | Level 2 [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 7,711 | 43,435 | ||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 86,918 | 17,279 | ||||||||||
Recurring [Member] | Forward Sales Contracts [Member] | Level 3 [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 0 | 0 | ||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 0 | 0 | ||||||||||
Recurring [Member] | Call Options on Interest Rate Futures Purchase Contracts [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 13,508 | 2,906 | ||||||||||
Recurring [Member] | Call Options on Interest Rate Futures Purchase Contracts [Member] | Level 1 [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 13,508 | 2,906 | ||||||||||
Recurring [Member] | Call Options on Interest Rate Futures Purchase Contracts [Member] | Level 2 [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 0 | 0 | ||||||||||
Recurring [Member] | Call Options on Interest Rate Futures Purchase Contracts [Member] | Level 3 [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 0 | 0 | ||||||||||
Recurring [Member] | Put Options On Interest Rate Futures Purchase Contracts | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 6,570 | 8,130 | ||||||||||
Recurring [Member] | Put Options On Interest Rate Futures Purchase Contracts | Level 1 [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 6,570 | 8,130 | ||||||||||
Recurring [Member] | Put Options On Interest Rate Futures Purchase Contracts | Level 2 [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 0 | 0 | ||||||||||
Recurring [Member] | Put Options On Interest Rate Futures Purchase Contracts | Level 3 [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 0 | 0 | ||||||||||
Recurring [Member] | MBS Call Options [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 1,832 | |||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 2,004 | |||||||||||
Recurring [Member] | MBS Call Options [Member] | Level 1 [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 0 | |||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 0 | |||||||||||
Recurring [Member] | MBS Call Options [Member] | Level 2 [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 1,832 | |||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 2,004 | |||||||||||
Recurring [Member] | MBS Call Options [Member] | Level 3 [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 0 | |||||||||||
Derivative and credit risk transfer strip liabilities: | ||||||||||||
Derivative liabilities | 0 | |||||||||||
Recurring [Member] | MBS Put Options [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 3,573 | 2,783 | ||||||||||
Recurring [Member] | MBS Put Options [Member] | Level 1 [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 0 | 0 | ||||||||||
Recurring [Member] | MBS Put Options [Member] | Level 2 [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | 3,573 | 2,783 | ||||||||||
Recurring [Member] | MBS Put Options [Member] | Level 3 [Member] | ||||||||||||
Assets: | ||||||||||||
Derivative assets | $ 0 | $ 0 | ||||||||||
[1] All hedging derivatives are interest rate derivatives that are used as economic hedges. |
Fair Value - Summary of Changes
Fair Value - Summary of Changes in Items Measured Using Level 3 Inputs on Recurring Basis (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Assets: | ||
Amounts received pursuant to sales of loans | $ 100,618 | $ 194,596 |
Changes in fair value included in results of operations arising from: | ||
Loans to REO | (797) | 0 |
Mortgage servicing rights relating to delinquent loans to Agency | $ (835) | $ 0 |
Liabilities: | ||
Fair Value, Asset, Recurring Basis, Still Held, Unrealized Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Gain (Loss) on Investments | Gain (Loss) on Investments |
Interest Rate Lock Commitments [Member] | ||
Assets: | ||
Beginning balance | $ (478) | |
Changes in fair value included in results of operations arising from: | ||
Ending balance | 8,549 | |
Recurring [Member] | ||
Assets: | ||
Beginning balance | 3,867,133 | $ 2,921,723 |
Purchases and issuances | (4,073) | (4,039) |
Repayments and sales | (18,979) | (69,080) |
Amounts received pursuant to sales of loans | 100,618 | 194,596 |
Changes in fair value included in results of operations arising from: | ||
Changes in instrument-specific credit risk | 0 | 0 |
Other factors | (62,729) | 155,110 |
Total | (62,729) | 155,110 |
Loans to REO | (460) | |
Interest rate lock commitments to loans acquired for sale | (10,318) | 121,027 |
Mortgage servicing rights relating to delinquent loans to Agency | (835) | |
Ending balance | 3,870,357 | 3,319,337 |
Changes in fair value recognized during the year relating to assets | (96,518) | 211,286 |
Recurring [Member] | CRT Derivatives [Member] | ||
Assets: | ||
Beginning balance | (22,098) | 18,964 |
Purchases and issuances | 0 | 0 |
Repayments and sales | (2,888) | (21,165) |
Amounts received pursuant to sales of loans | 0 | 0 |
Changes in fair value included in results of operations arising from: | ||
Changes in instrument-specific credit risk | 0 | 0 |
Other factors | 11,126 | (5,848) |
Total | 11,126 | (5,848) |
Loans to REO | 0 | |
Interest rate lock commitments to loans acquired for sale | 0 | 0 |
Mortgage servicing rights relating to delinquent loans to Agency | 0 | |
Ending balance | (13,860) | (8,049) |
Changes in fair value recognized during the year relating to assets | 8,096 | (27,049) |
Recurring [Member] | Credit Risk Transfer Strips [Member] | ||
Assets: | ||
Beginning balance | (137,193) | (26,837) |
Purchases and issuances | 0 | 0 |
Repayments and sales | (12,304) | (17,763) |
Amounts received pursuant to sales of loans | 0 | 0 |
Changes in fair value included in results of operations arising from: | ||
Changes in instrument-specific credit risk | 0 | 0 |
Other factors | 36,432 | (23,995) |
Total | 36,432 | (23,995) |
Loans to REO | 0 | |
Interest rate lock commitments to loans acquired for sale | 0 | 0 |
Mortgage servicing rights relating to delinquent loans to Agency | 0 | |
Ending balance | (113,065) | (68,595) |
Changes in fair value recognized during the year relating to assets | 24,128 | (41,758) |
Recurring [Member] | Loans At Fair Value [Member] | ||
Assets: | ||
Beginning balance | 3,457 | 4,161 |
Purchases and issuances | 119 | 0 |
Repayments and sales | (20) | (654) |
Amounts received pursuant to sales of loans | 0 | 0 |
Changes in fair value included in results of operations arising from: | ||
Changes in instrument-specific credit risk | 0 | 0 |
Other factors | 452 | 442 |
Total | 452 | 442 |
Loans to REO | (460) | |
Interest rate lock commitments to loans acquired for sale | 0 | 0 |
Mortgage servicing rights relating to delinquent loans to Agency | 0 | |
Ending balance | 3,548 | 3,949 |
Changes in fair value recognized during the year relating to assets | (8) | 66 |
Recurring [Member] | Mortgage servicing rights [Member] | ||
Assets: | ||
Beginning balance | 4,012,737 | 2,892,855 |
Purchases and issuances | 0 | 0 |
Repayments and sales | 0 | 0 |
Amounts received pursuant to sales of loans | 100,618 | 194,596 |
Changes in fair value included in results of operations arising from: | ||
Changes in instrument-specific credit risk | 0 | 0 |
Other factors | (137,444) | 303,721 |
Total | (137,444) | 303,721 |
Loans to REO | 0 | |
Interest rate lock commitments to loans acquired for sale | 0 | 0 |
Mortgage servicing rights relating to delinquent loans to Agency | (835) | |
Ending balance | 3,975,076 | 3,391,172 |
Changes in fair value recognized during the year relating to assets | (137,444) | 303,721 |
Recurring [Member] | Loans acquired for sale [Member] | ||
Assets: | ||
Beginning balance | 10,708 | 30,129 |
Purchases and issuances | 3,495 | 24,105 |
Repayments and sales | (3,767) | (29,498) |
Amounts received pursuant to sales of loans | 0 | 0 |
Changes in fair value included in results of operations arising from: | ||
Changes in instrument-specific credit risk | 0 | 0 |
Other factors | (327) | (411) |
Total | (327) | (411) |
Loans to REO | 0 | |
Interest rate lock commitments to loans acquired for sale | 0 | 0 |
Mortgage servicing rights relating to delinquent loans to Agency | 0 | |
Ending balance | 10,109 | 24,325 |
Changes in fair value recognized during the year relating to assets | 161 | (229) |
Recurring [Member] | Interest Rate Lock Commitments [Member] | ||
Assets: | ||
Beginning balance | (478) | 2,451 |
Purchases and issuances | (7,687) | (28,144) |
Repayments and sales | 0 | 0 |
Amounts received pursuant to sales of loans | 0 | 0 |
Changes in fair value included in results of operations arising from: | ||
Changes in instrument-specific credit risk | 0 | 0 |
Other factors | 27,032 | (118,799) |
Total | 27,032 | (118,799) |
Loans to REO | 0 | |
Interest rate lock commitments to loans acquired for sale | (10,318) | 121,027 |
Mortgage servicing rights relating to delinquent loans to Agency | 0 | |
Ending balance | 8,549 | (23,465) |
Changes in fair value recognized during the year relating to assets | 8,549 | (23,465) |
Recurring [Member] | Interest-only security payable [Member] | ||
Liabilities: | ||
Beginning balance | 21,925 | 10,593 |
Changes in instrument-specific credit risk\Other factors | 1,280 | 5,780 |
Ending balance | 23,205 | 16,373 |
Changes in fair value recognized during the quarter relating to liability | 1,280 | 5,780 |
Recurring [Member] | Interest-only security payable [Member] | Credit Risk [Member] | ||
Liabilities: | ||
Changes in instrument-specific credit risk\Other factors | 0 | 0 |
Recurring [Member] | Interest-only security payable [Member] | Other Factors [Member] | ||
Liabilities: | ||
Changes in instrument-specific credit risk\Other factors | $ 1,280 | $ 5,780 |
Fair Value - Fair Values and Re
Fair Value - Fair Values and Related Principal Amounts Due upon Maturity of Loans Accounted for Under Fair Value Option (Detail) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Loans, fair value [Abstract] | ||
Fair value | $ 1,502,471 | $ 1,513,399 |
Fair value, Total | 1,502,471 | 1,513,399 |
Loans, principal amount due upon maturity [Abstract] | ||
Principal amount due upon maturity | 1,773,699 | 1,797,153 |
Loans, difference, [Abstract] | ||
Difference | (271,228) | (283,754) |
Loans acquired for sale at fair value [Member] | ||
Loans, fair value [Abstract] | ||
Current through 89 days delinquent | 3,140,761 | 1,819,551 |
90 or more days delinquent, not in foreclosure | 2,551 | 1,666 |
90 or more days delinquent, in foreclosure | 206 | 716 |
Fair value, Total | 3,143,518 | 1,821,933 |
Loans, principal amount due upon maturity [Abstract] | ||
Current through 89 days delinquent | 3,089,597 | 1,795,445 |
90 or more days delinquent, not in foreclosure | 3,449 | 1,927 |
90 or more days delinquent, in foreclosure | 300 | 809 |
Principal amount due upon maturity | 3,093,346 | 1,798,181 |
Loans, difference, [Abstract] | ||
Current through 89 days delinquent | 51,164 | 24,106 |
90 or more days delinquent, not in foreclosure | (898) | (261) |
90 or more days delinquent, in foreclosure | (94) | (93) |
Difference | 50,172 | 23,752 |
Loans acquired for sale at fair value [Member] | Nonperforming mortgage loans [Member] | ||
Loans, fair value [Abstract] | ||
Fair value | 2,757 | 2,382 |
Loans, principal amount due upon maturity [Abstract] | ||
Principal amount due upon maturity | 3,749 | 2,736 |
Loans, difference, [Abstract] | ||
Difference | (992) | (354) |
Loans at Fair Value Held in Consolidated VIE [Member] | ||
Loans, fair value [Abstract] | ||
Current through 89 days delinquent | 1,498,108 | 1,508,540 |
90 or more days delinquent, not in foreclosure | 815 | 1,231 |
90 or more days delinquent, in foreclosure | 0 | 171 |
Fair value | 1,498,923 | 1,509,942 |
Loans, principal amount due upon maturity [Abstract] | ||
Current through 89 days delinquent | 1,766,772 | 1,788,911 |
90 or more days delinquent, not in foreclosure | 1,077 | 1,642 |
90 or more days delinquent, in foreclosure | 0 | 226 |
Principal amount due upon maturity | 1,767,849 | 1,790,779 |
Loans, difference, [Abstract] | ||
Current through 89 days delinquent | (268,664) | (280,371) |
90 or more days delinquent, not in foreclosure | (262) | (411) |
90 or more days delinquent, in foreclosure | 0 | (55) |
Difference | (268,926) | (280,837) |
Loans at Fair Value Held in Consolidated VIE [Member] | Nonperforming mortgage loans [Member] | ||
Loans, fair value [Abstract] | ||
Fair value | 815 | 1,402 |
Loans, principal amount due upon maturity [Abstract] | ||
Principal amount due upon maturity | 1,077 | 1,868 |
Loans, difference, [Abstract] | ||
Difference | (262) | (466) |
Distressed at Fair Value [Member] | ||
Loans, fair value [Abstract] | ||
Current through 89 days delinquent | 480 | 498 |
90 or more days delinquent, not in foreclosure | 1,404 | 1,230 |
90 or more days delinquent, in foreclosure | 1,664 | 1,729 |
Fair value | 3,068 | 2,959 |
Loans, principal amount due upon maturity [Abstract] | ||
Current through 89 days delinquent | 714 | 682 |
90 or more days delinquent, not in foreclosure | 2,561 | 2,964 |
90 or more days delinquent, in foreclosure | 2,575 | 2,728 |
Principal amount due upon maturity | 5,136 | 5,692 |
Loans, difference, [Abstract] | ||
Current through 89 days delinquent | (234) | (184) |
90 or more days delinquent, not in foreclosure | (1,157) | (1,734) |
90 or more days delinquent, in foreclosure | (911) | (999) |
Difference | (2,068) | (2,733) |
Distressed at Fair Value [Member] | Nonperforming mortgage loans [Member] | ||
Loans, fair value [Abstract] | ||
Fair value | 3,548 | 3,457 |
Loans, principal amount due upon maturity [Abstract] | ||
Principal amount due upon maturity | 5,850 | 6,374 |
Loans, difference, [Abstract] | ||
Difference | $ (2,302) | $ (2,917) |
Fair Value - Summary of Chang_2
Fair Value - Summary of Changes in Fair Value Included in Current Period Results of Operations (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Credit Risk Transfer Strips [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | $ 36,432 | $ (23,995) |
Credit Risk Transfer Strips [Member] | Net Gains (Losses) on Investments and Financings [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 36,432 | (23,995) |
Credit Risk Transfer Strips [Member] | Net Loan Servicing Fees [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Credit Risk Transfer Strips [Member] | Net Gains on Loans Acquired for Sale [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Credit Risk Transfer Strips [Member] | Net Interest Income (Expense) [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Interest-only security payable [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (1,280) | (5,780) |
Interest-only security payable [Member] | Net Gains (Losses) on Investments and Financings [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (1,280) | (5,780) |
Interest-only security payable [Member] | Net Loan Servicing Fees [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Interest-only security payable [Member] | Net Gains on Loans Acquired for Sale [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Interest-only security payable [Member] | Net Interest Income (Expense) [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Asset-Backed Financings at Fair Value [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (10,702) | 88,340 |
Asset-Backed Financings at Fair Value [Member] | Net Gains (Losses) on Investments and Financings [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (10,160) | 89,174 |
Asset-Backed Financings at Fair Value [Member] | Net Loan Servicing Fees [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Asset-Backed Financings at Fair Value [Member] | Net Gains on Loans Acquired for Sale [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Asset-Backed Financings at Fair Value [Member] | Net Interest Income (Expense) [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (542) | (834) |
Liabilities, Total [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (11,982) | 82,560 |
Liabilities, Total [Member] | Net Gains (Losses) on Investments and Financings [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (11,440) | 83,394 |
Liabilities, Total [Member] | Net Loan Servicing Fees [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Liabilities, Total [Member] | Net Gains on Loans Acquired for Sale [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Liabilities, Total [Member] | Net Interest Income (Expense) [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (542) | (834) |
Mortgage-backed securities at fair value [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 76,262 | (187,936) |
Mortgage-backed securities at fair value [Member] | Net Gains (Losses) on Investments and Financings [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 78,218 | (186,525) |
Mortgage-backed securities at fair value [Member] | Net Loan Servicing Fees [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Mortgage-backed securities at fair value [Member] | Net Gains on Loans Acquired for Sale [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Mortgage-backed securities at fair value [Member] | Net Interest Income (Expense) [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (1,956) | (1,411) |
Acquired for sale at fair value [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 15,315 | (227,266) |
Acquired for sale at fair value [Member] | Net Gains (Losses) on Investments and Financings [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Acquired for sale at fair value [Member] | Net Loan Servicing Fees [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Acquired for sale at fair value [Member] | Net Gains on Loans Acquired for Sale [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 15,315 | (227,266) |
Acquired for sale at fair value [Member] | Net Interest Income (Expense) [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
At fair value [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 11,594 | (97,070) |
At fair value [Member] | Net Gains (Losses) on Investments and Financings [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 11,468 | (96,121) |
At fair value [Member] | Net Loan Servicing Fees [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
At fair value [Member] | Net Gains on Loans Acquired for Sale [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
At fair value [Member] | Net Interest Income (Expense) [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 126 | (949) |
MSRs at fair value [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (137,444) | 303,721 |
MSRs at fair value [Member] | Net Gains (Losses) on Investments and Financings [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
MSRs at fair value [Member] | Net Loan Servicing Fees [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (137,444) | 303,721 |
MSRs at fair value [Member] | Net Gains on Loans Acquired for Sale [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
MSRs at fair value [Member] | Net Interest Income (Expense) [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Assets, Total [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 2,159 | (232,546) |
Assets, Total [Member] | Net Gains (Losses) on Investments and Financings [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 126,118 | (306,641) |
Assets, Total [Member] | Net Loan Servicing Fees [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (137,444) | 303,721 |
Assets, Total [Member] | Net Gains on Loans Acquired for Sale [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 15,315 | (227,266) |
Assets, Total [Member] | Net Interest Income (Expense) [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | $ (1,830) | $ (2,360) |
Fair Value - Summary of Carryin
Fair Value - Summary of Carrying Value of Assets Remeasured Based on Fair Value on Nonrecurring Basis (Detail) - Nonrecurring [Member] - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate acquired in settlement of loans | $ 325 | $ 1,292 |
Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate acquired in settlement of loans | 0 | 0 |
Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate acquired in settlement of loans | 0 | 0 |
Level 3 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate acquired in settlement of loans | $ 325 | $ 1,292 |
Fair Value - Summary of Chang_3
Fair Value - Summary of Changes in Fair Value Recognized in Assets that Remeasured at Fair Value on a Nonrecurring Basis (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Nonrecurring [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate asset acquired in settlement of loans | $ 73 | $ (148) |
Fair Value - Carrying and Fair
Fair Value - Carrying and Fair Values of Notes Payable Secured by Credit Risk Transfer and Mortgage Servicing Rights and Exchangeable Senior Notes (Detail) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Notes Payable Secured by Credit Risk Transfer and Mortgage Servicing Assets [Member] | Carrying Value [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Notes payable | $ 2,790,958 | $ 2,804,028 |
Notes Payable Secured by Credit Risk Transfer and Mortgage Servicing Assets [Member] | Fair Value [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Notes payable | 2,763,386 | 2,721,391 |
Exchangeable Senior Notes [Member] | Carrying Value [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Notes payable | 547,003 | 546,254 |
Exchangeable Senior Notes [Member] | Fair Value [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Notes payable | $ 496,073 | $ 471,781 |
Fair Value - Additional Informa
Fair Value - Additional Information (Detail) | 3 Months Ended |
Mar. 31, 2023 | |
Level 3 [Member] | Maximum [Member] | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |
Estimated loans at fair value of cash flows valuation, discounted annual rate | 20% |
Fair Value - Quantitative Summa
Fair Value - Quantitative Summary of Key Unobservable Inputs Used in Review and Approval of Broker-provided Fair Values for CRT Derivatives (Detail) - CRT Derivatives [Member] - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2023 | Dec. 31, 2022 | |
Fair value of CRT derivatives | ||
Fair value of CRT derivatives assets | $ 2,883 | $ 1,262 |
Fair value of CRT derivatives liabilities | 16,743 | 23,360 |
UPB of loans in reference pools | $ 5,865,196 | $ 5,972,060 |
Discount Rate [Member] | Minimum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 8.30% | 8.70% |
Discount Rate [Member] | Maximum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 10% | 11.10% |
Discount Rate [Member] | Weighted Average [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 9.90% | 10.80% |
Voluntary Prepayment Speed [Member] | Minimum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 7.30% | 7.50% |
Voluntary Prepayment Speed [Member] | Maximum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 8.40% | 8.30% |
Voluntary Prepayment Speed [Member] | Weighted Average [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 7.60% | 7.60% |
Involuntary Prepayment Speed [Member] | Minimum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 0.50% | 0.50% |
Involuntary Prepayment Speed [Member] | Maximum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 1.20% | 1.30% |
Involuntary Prepayment Speed [Member] | Weighted Average [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 0.60% | 0.60% |
Measurement Input, Loss Severity | Minimum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 0.40% | 0.40% |
Measurement Input, Loss Severity | Maximum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 0.60% | 0.70% |
Measurement Input, Loss Severity | Weighted Average [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 0.60% | 0.60% |
Fair Value - Quantitative Sum_2
Fair Value - Quantitative Summary of Key Unobservable Inputs Used in Valuation of Interest Rate Lock Commitments (Detail) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Pull-Through Rate [Member] | Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 42% | 54.80% |
Pull-Through Rate [Member] | Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 100% | 100% |
Pull-Through Rate [Member] | Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 86.70% | 92.10% |
Servicing Fee Multiple [Member] | Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 1.50% | 1.90% |
Servicing Fee Multiple [Member] | Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 7.40% | 7.10% |
Servicing Fee Multiple [Member] | Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 4.40% | 4.70% |
Percentage of UPB [Member] | Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 0.50% | 0.70% |
Percentage of UPB [Member] | Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 3.10% | 3.10% |
Percentage of UPB [Member] | Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 1.90% | 1.90% |
Interest Rate Lock Commitments [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value | $ 8,549 | $ (478) |
Committed amount | $ 1,806,398 | $ 1,484,384 |
Fair Value - Summary of Key Uno
Fair Value - Summary of Key Unobservable Inputs Used in Valuation Credit Risk Transfer Strip Liabilities (Detail) - Credit Risk Transfer Strips [Member] - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of CRT derivatives liabilities | $ 113,065 | $ 137,193 |
UPB of loans in the reference pools | $ 18,959,166 | $ 19,343,464 |
Maximum [Member] | Discount Rate [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 10.30% | 11.30% |
Maximum [Member] | Voluntary Prepayment Speed [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 7.90% | 7.90% |
Maximum [Member] | Involuntary Prepayment Speed [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 1.50% | 2% |
Maximum [Member] | Remaining Loss Expectation [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 2% | 2% |
Minimum [Member] | Discount Rate [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 6.60% | 4.30% |
Minimum [Member] | Voluntary Prepayment Speed [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 7.70% | 7.70% |
Minimum [Member] | Involuntary Prepayment Speed [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.50% | 0.60% |
Minimum [Member] | Remaining Loss Expectation [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.70% | 0.70% |
Weighted Average [Member] | Discount Rate [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 9.80% | 10.50% |
Weighted Average [Member] | Voluntary Prepayment Speed [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 7.70% | 7.70% |
Weighted Average [Member] | Involuntary Prepayment Speed [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.60% | 0.80% |
Weighted Average [Member] | Remaining Loss Expectation [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.90% | 0.90% |
Fair Value - Key Assumptions Us
Fair Value - Key Assumptions Used in Determining Fair Value of MSRs at Time of Initial Recognition (Detail) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 USD ($) $ / Loan | Mar. 31, 2022 USD ($) $ / Loan | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value, MSR recognized | $ | $ 100,618 | $ 194,596 |
Fair value, UPB of underlying loans | $ | $ 5,549,325 | $ 11,929,172 |
Fair value, Weighted-average annual servicing fee rate (in basis points) | 0.41% | 0.31% |
Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair Value inputs, Pricing spread during period | 5.50% | 5.80% |
Fair Value inputs, Prepayment speed during period | 13.10% | 6% |
Fair Value inputs, Weighted average equivalent average life during period | 2 years 9 months 18 days | 4 years |
Fair Value inputs, Annual per loan cost of servicing during period | 69 | 80 |
Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair Value inputs, Pricing spread during period | 8.70% | 7.80% |
Fair Value inputs, Prepayment speed during period | 21.80% | 9% |
Fair Value inputs, Weighted average equivalent average life during period | 6 years 7 months 6 days | 8 years 4 months 24 days |
Fair Value inputs, Annual per loan cost of servicing during period | 69 | 80 |
Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair Value inputs, Pricing spread during period | 5.80% | 6.60% |
Fair Value inputs, Prepayment speed during period | 13.20% | 8.40% |
Fair Value inputs, Weighted average equivalent average life during period | 6 years 6 months | 8 years |
Fair Value inputs, Annual per loan cost of servicing during period | 69 | 80 |
Fair Value - Quantitative Sum_3
Fair Value - Quantitative Summary of Key Assumptions Used in Valuation of MSRs as of Dates Presented, and Effect on Estimated Fair Value from Adverse Changes in Those Inputs (Detail) $ in Thousands | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2023 USD ($) $ / Loan | Dec. 31, 2022 USD ($) $ / Loan | Mar. 31, 2022 USD ($) | Dec. 31, 2021 USD ($) | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Balance at end of period | $ 3,975,076 | $ 4,012,737 | $ 3,391,172 | $ 2,892,855 |
UPB of underlying loans, Fair Value | $ 231,615,214 | $ 229,971,035 | ||
Weighted-average annual servicing fee rate (in basis points), Fair value input | 0.29% | 0.29% | ||
Weighted-average note interest rate, Fair value | 3.50% | 3.50% | ||
Pricing Spread [Member] | Effect On Value Of Five Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | $ (52,336) | $ (52,004) | ||
Pricing Spread [Member] | Effect On Value Of Ten Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | (103,357) | (102,727) | ||
Pricing Spread [Member] | Effect On Value Of Twenty Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | (201,628) | (200,497) | ||
Prepayment Speed [Member] | Effect On Value Of Five Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | (53,572) | (51,044) | ||
Prepayment Speed [Member] | Effect On Value Of Ten Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | (105,425) | (100,544) | ||
Prepayment Speed [Member] | Effect On Value Of Twenty Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | (204,325) | (195,201) | ||
Cost of Servicing [Member] | Effect On Value Of Five Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | (17,640) | (17,629) | ||
Cost of Servicing [Member] | Effect On Value Of Ten Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | (35,279) | (35,258) | ||
Cost of Servicing [Member] | Effect On Value Of Twenty Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | $ (70,559) | $ (70,515) | ||
Minimum [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Estimated fair value inputs, Pricing spread | 4.90% | 4.90% | ||
Estimated fair value inputs, Prepayment speed | 5.20% | 5.10% | ||
Estimated fair value inputs, Annual per-loan cost of servicing | $ / Loan | 68 | 69 | ||
Minimum [Member] | Mortgage service rights [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Estimated fair value inputs, Life (in years) | 3 years 3 months 18 days | 3 years 6 months | ||
Maximum [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Estimated fair value inputs, Pricing spread | 8.90% | 8.80% | ||
Estimated fair value inputs, Prepayment speed | 18.40% | 17.40% | ||
Estimated fair value inputs, Annual per-loan cost of servicing | $ / Loan | 69 | 69 | ||
Maximum [Member] | Mortgage service rights [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Estimated fair value inputs, Life (in years) | 9 years 1 month 6 days | 9 years 3 months 18 days | ||
Weighted Average [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Estimated fair value inputs, Pricing spread | 5.80% | 5.70% | ||
Estimated fair value inputs, Prepayment speed | 6.70% | 6.30% | ||
Estimated fair value inputs, Annual per-loan cost of servicing | $ / Loan | 69 | 69 | ||
Weighted Average [Member] | Mortgage service rights [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Estimated fair value inputs, Life (in years) | 8 years 8 months 12 days | 8 years 10 months 24 days |
Mortgage-Backed Securities - Su
Mortgage-Backed Securities - Summary of Investment in Mortgage Backed Securities Activity (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Mortgage Backed Securities [Line Items] | ||
Balance at beginning of quarter | $ 4,462,601 | |
Changes in fair value included in income arising from: | ||
Balance at end of quarter | 4,629,004 | |
Mortgage Backed Securities [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Balance at beginning of quarter | 4,462,601 | $ 2,666,768 |
Purchases | 2,784,592 | 661,774 |
Sales | (2,629,540) | 0 |
Repayments | (64,910) | (70,276) |
Changes in fair value included in income arising from: | ||
Amortization of net purchase premiums (discounts) | (1,957) | (1,411) |
Valuation adjustments | 78,218 | (186,525) |
Total changes in fair value included in income | 76,261 | (187,936) |
Balance at end of quarter | $ 4,629,004 | $ 3,070,330 |
Mortgage-Backed Securities - Sc
Mortgage-Backed Securities - Schedule of Mortgage Backed Securities Pledged to Secure Assets Sold (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Mortgage Backed Securities [Line Items] | ||
Assets sold under agreements to repurchase | $ 4,616,580 | $ 4,462,601 |
Mortgage Backed Securities [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Assets sold under agreements to repurchase | $ 4,616,580 | $ 4,462,601 |
Mortgage-Backed Securities - _2
Mortgage-Backed Securities - Summary of Investment in Mortgage Backed Securities (Detail) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Mortgage Backed Securities [Line Items] | ||
Fair value | $ 4,629,004 | $ 4,462,601 |
Mortgage Backed Securities [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Principal balance | 4,644,635 | 4,905,768 |
Unamortized net purchase premiums (discounts) | (438) | 29,599 |
Accumulated valuation changes | (15,193) | (472,766) |
Fair value | 4,629,004 | 4,462,601 |
Agency Fixed Rate Pass Through Securities [Member] | Mortgage Backed Securities [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Principal balance | 4,419,508 | 4,693,045 |
Unamortized net purchase premiums (discounts) | 607 | 30,423 |
Accumulated valuation changes | (10,064) | (460,966) |
Fair value | 4,410,051 | 4,262,502 |
Subordinate Credit-Linked Securities | Mortgage Backed Securities [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Principal balance | 197,313 | 184,620 |
Unamortized net purchase premiums (discounts) | (180) | 52 |
Accumulated valuation changes | (431) | (6,774) |
Fair value | 196,702 | 177,898 |
Senior Non-Agency Securities [Member] | Mortgage Backed Securities [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Principal balance | 27,814 | 28,103 |
Unamortized net purchase premiums (discounts) | (865) | (876) |
Accumulated valuation changes | (4,698) | (5,026) |
Fair value | $ 22,251 | $ 22,201 |
Mortgage-Backed Securities - _3
Mortgage-Backed Securities - Summary of Investment in Mortgage Backed Securities (Parenthetical) (Detail) | 3 Months Ended |
Mar. 31, 2023 | |
Minimum [Member] | |
Mortgage Backed Securities [Line Items] | |
Mortgage backed securities, maturity period | 10 years |
Loans Acquired for Sale at Fa_3
Loans Acquired for Sale at Fair Value - Summary of Distribution of Company's Loans Acquired for Sale at Fair Value (Detail) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Loans acquired for sale at fair value | $ 3,143,518 | $ 1,821,933 | |
Loans pledged to secure Assets sold under agreements to repurchase | 4,616,580 | 4,462,601 | |
Loans acquired for sale at fair value [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Loans pledged to secure Assets sold under agreements to repurchase | 3,117,294 | 1,801,368 | |
PennyMac Loan Services, LLC [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Loans acquired for sale at fair value | 416,162 | 159,671 | |
GSE Eligible [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Loans acquired for sale at fair value | [1] | 2,717,247 | 1,651,554 |
Held for Sale to PLS - Government-Insured or Guaranteed [Member] | PennyMac Loan Services, LLC [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Loans acquired for sale at fair value | [2] | 416,162 | 159,671 |
Home Equity Lines of Credit [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Loans acquired for sale at fair value | 2,174 | 2,424 | |
Repurchased Pursuant to Representations and Warranties [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Loans acquired for sale at fair value | $ 7,935 | $ 8,284 | |
[1] GSE eligibility refers to the eligibility of loans for sale to Fannie Mae or Freddie Mac. The Company sells or finances a portion of its GSE eligible loan production to other investors, including PLS. The Company is not approved by Ginnie Mae as an issuer of Ginnie Mae-guaranteed securities which are backed by government-insured or guaranteed loans. The Company sells all government-insured or guaranteed loans (as well as certain GSE eligible loans) that it purchases from correspondent sellers to PLS, which is a Ginnie Mae-approved issuer, and earns a sourcing fee as described in Note 4 – Transactions with Related Parties – Operating activities – Correspondent Production Activities . |
Loans at Fair Value - Summary o
Loans at Fair Value - Summary of Distribution of Company's Loans at Fair Value (Detail) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Financing Receivable Recorded Investment [Line Items] | ||
Fair value | $ 1,502,471 | $ 1,513,399 |
Asset-backed financings at fair value (1) | 1,498,923 | 1,509,942 |
Assets sold under agreements to repurchase | 4,616,580 | 4,462,601 |
Loans at fair value, pledged to creditors | 1,499,117 | 1,510,148 |
Loans in VIEs [Member] | ||
Financing Receivable Recorded Investment [Line Items] | ||
Fair value | 1,498,923 | 1,509,942 |
Distressed [Member] | ||
Financing Receivable Recorded Investment [Line Items] | ||
Fair value | 3,548 | 3,457 |
Agency-conforming loans secured by investment properties [Member] | ||
Financing Receivable Recorded Investment [Line Items] | ||
Fair value | 1,449,070 | 1,459,160 |
Fixed interest rate jumbo loans held in a VIE [Member] | ||
Financing Receivable Recorded Investment [Line Items] | ||
Fair value | 49,853 | 50,782 |
Loans acquired for sale at fair value [Member] | ||
Financing Receivable Recorded Investment [Line Items] | ||
Fair value | 3,143,518 | 1,821,933 |
Assets sold under agreements to repurchase | $ 194 | $ 206 |
Loans at Fair Value - Summary_2
Loans at Fair Value - Summary of Distribution of Company's Loans at Fair Value (Parenthetical) (Detail) - USD ($) $ in Millions | Mar. 31, 2023 | Dec. 31, 2022 |
Mortgage Loans At Fair Value [Abstract] | ||
Certificates retained at fair value pledged to secure Assets sold under agreements to repurchase | $ 84.9 | $ 84 |
Derivative and Credit Risk Tr_3
Derivative and Credit Risk Transfer Strip Assets and Liabilities - Summary of Derivative and Credit Risk Transfer Assets and Liabilities (Detail) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Derivative assets | $ 89,285 | $ 84,940 |
Derivative and credit risk transfer strip assets | 89,285 | 84,940 |
Derivative liabilities | 25,404 | 30,033 |
Credit risk transfer strip liabilities | 113,065 | 137,193 |
Total derivative and credit risk transfer strip liabilities | $ 138,469 | $ 167,226 |
Derivative and Credit Risk Tr_4
Derivative and Credit Risk Transfer Strip Assets and Liabilities - Derivative Assets and Derivative Liabilities and Related Margin Deposits Recorded in Other Assets (Detail) - USD ($) | Mar. 31, 2023 | Dec. 31, 2022 | ||
Derivatives Fair Value [Line Items] | ||||
Total derivatives assets before netting | $ 62,506,000 | $ 62,811,000 | ||
Derivative assets, Netting | 26,779,000 | 22,129,000 | ||
Total derivative assets after netting | 89,285,000 | 84,940,000 | ||
Margin deposits placed with derivative counterparties included in derivative balances above, net | 113,744,000 | 52,286,000 | ||
Derivative assets pledged to secure: | ||||
Notes payable secured by credit risk transfer and mortgage servicing assets | 2,790,958,000 | 2,804,028,000 | ||
Total derivative liabilities | 112,370,000 | 60,190,000 | ||
Derivative liabilities, Netting | (86,966,000) | (30,157,000) | ||
Total derivative liabilities after netting | 25,404,000 | 30,033,000 | ||
Derivative assets related to CRT Derivatives [Member] | ||||
Derivative assets pledged to secure: | ||||
Notes payable secured by credit risk transfer and mortgage servicing assets | 2,883,000 | 1,262,000 | ||
CRT Derivatives [Member] | ||||
Derivatives Fair Value [Line Items] | ||||
Notional amount | [2] | 5,865,196,000 | [1] | 5,972,060,000 |
Total derivatives assets before netting | 2,883,000 | [1] | 1,262,000 | |
Total derivative assets after netting | 2,883,000 | 1,262,000 | ||
Derivative assets pledged to secure: | ||||
Total derivative liabilities | 16,743,000 | 23,360,000 | ||
Forward Purchase Contracts [Member] | ||||
Derivatives Fair Value [Line Items] | ||||
Notional amount | [1],[2] | 4,121,991,000 | 3,929,833,000 | |
Total derivatives assets before netting | [1] | 16,477,000 | 418,000 | |
Derivative assets pledged to secure: | ||||
Total derivative liabilities | [1] | 5,302,000 | 15,196,000 | |
Forward Sale Contracts [Member] | ||||
Derivatives Fair Value [Line Items] | ||||
Notional amount | [1],[2] | 11,511,964,000 | 11,661,925,000 | |
Total derivatives assets before netting | [1] | 7,711,000 | 43,435,000 | |
Derivative assets pledged to secure: | ||||
Total derivative liabilities | [1] | 86,918,000 | 17,279,000 | |
Interest Rate Lock Commitments [Member] | ||||
Derivatives Fair Value [Line Items] | ||||
Notional amount | [2] | 1,806,398,000 | [1] | 1,484,384,000 |
Total derivatives assets before netting | 9,952,000 | [1] | 3,877,000 | |
Total derivative assets after netting | 9,952,000 | 3,877,000 | ||
Derivative assets pledged to secure: | ||||
Total derivative liabilities | 1,403,000 | 4,355,000 | ||
Call Options on Interest Rate Futures Purchase Contracts [Member] | ||||
Derivatives Fair Value [Line Items] | ||||
Notional amount | [1],[2] | 1,325,000,000 | 1,950,000,000 | |
Total derivatives assets before netting | [1] | 13,508,000 | 2,906,000 | |
Derivative assets pledged to secure: | ||||
Total derivative liabilities | [1] | 0 | 0 | |
Put Options On Interest Rate Futures Purchase Contracts | ||||
Derivatives Fair Value [Line Items] | ||||
Notional amount | [1],[2] | 2,775,000,000 | 1,785,000,000 | |
Total derivatives assets before netting | [1] | 6,570,000 | 8,130,000 | |
Derivative assets pledged to secure: | ||||
Total derivative liabilities | [1] | 0 | 0 | |
MBS Call Options [Member] | ||||
Derivatives Fair Value [Line Items] | ||||
Notional amount | [1],[2] | 0 | 0 | |
Total derivatives assets before netting | [1] | 1,832,000 | 0 | |
Derivative assets pledged to secure: | ||||
Total derivative liabilities | [1] | 2,004,000 | 0 | |
MBS Put Options [Member] | ||||
Derivatives Fair Value [Line Items] | ||||
Notional amount | [1],[2] | 750,000,000 | 1,050,000,000 | |
Total derivatives assets before netting | [1] | 3,573,000 | 2,783,000 | |
Derivative assets pledged to secure: | ||||
Total derivative liabilities | [1] | 0 | 0 | |
Bond Futures [Member] | ||||
Derivatives Fair Value [Line Items] | ||||
Notional amount | [1],[2] | 1,212,800,000 | 867,900,000 | |
Total derivatives assets before netting | [1] | 0 | 0 | |
Derivative assets pledged to secure: | ||||
Total derivative liabilities | [1] | $ 0 | $ 0 | |
[1] All hedging derivatives are interest rate derivatives that are used as economic hedges. Notional amounts provide an indication of the volume of the Company’s derivative activity. |
Derivative and Credit Risk Tr_5
Derivative and Credit Risk Transfer Strip Assets and Liabilities - Summary of Derivative Assets, Financial Instruments and Collateral Held by Counterparty (Detail) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | $ 89,285 | $ 84,940 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 89,285 | 84,940 |
CRT Derivatives [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 2,883 | 1,262 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 2,883 | 1,262 |
Interest Rate Lock Commitments [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 9,952 | 3,877 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 9,952 | 3,877 |
RJ O'Brien & Associates, LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 20,078 | 11,036 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 20,078 | 11,036 |
Bank of America, N.A. [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 19,982 | 14,666 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 19,982 | 14,666 |
Morgan Stanley & Co. LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 17,169 | 33,703 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 17,169 | 33,703 |
Goldman Sachs & Co. LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 9,315 | 2,789 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 9,315 | 2,789 |
Citigroup Global Markets Inc. [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 6,276 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 6,276 | 0 |
Wells Fargo Securities L L C | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 0 | 6,980 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 0 | 6,980 |
Credit Suisse Securities (USA) LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 0 | 5,827 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 0 | 5,827 |
Barclays Capital Inc. [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 0 | 2,013 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 0 | 2,013 |
J.P. Morgan Securities LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 0 | 110 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 0 | 110 |
Other [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 3,630 | 2,677 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | $ 3,630 | $ 2,677 |
Derivative and Credit Risk Tr_6
Derivative and Credit Risk Transfer Strip Assets and Liabilities - Summary of Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty (Detail) - Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | $ 8,140,912 | $ 6,648,672 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (8,115,508) | (6,618,639) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 25,404 | 30,033 |
CRT Derivatives [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 16,743 | 23,360 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 16,743 | 23,360 |
Interest Rate Lock Commitments [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 1,403 | 4,355 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 1,403 | 4,355 |
J.P. Morgan Securities LLC [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 1,991,349 | 1,605,813 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (1,991,349) | (1,605,813) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Barclays Capital Inc. [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 1,242,211 | 1,115,265 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (1,241,372) | (1,115,265) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 839 | 0 |
Bank of America, N.A. [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 1,085,013 | 1,239,293 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (1,085,013) | (1,239,293) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Wells Fargo Securities L L C | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 951,279 | 262,512 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (949,955) | (262,512) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 1,324 | 0 |
Atlas Securitized Products, L.P. [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 895,137 | 0 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (895,137) | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Credit Suisse Securities (USA) LLC [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 0 | 675,639 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 0 | (675,639) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
BNP Paribas [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 378,785 | 153,220 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (378,785) | (153,220) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Daiwa Capital Markets [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 376,627 | 439,089 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (376,317) | (439,089) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 310 | 0 |
RBC Capital Markets, L.P. [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 335,303 | 268,581 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (335,303) | (268,581) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Amherst Pierpont Securities LLC [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 262,183 | 283,928 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (262,093) | (283,294) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 90 | 634 |
Citigroup Global Markets Inc. [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 246,508 | 197,229 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (246,508) | (195,807) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 1,422 |
Goldman Sachs & Co. LLC [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 193,012 | 156,952 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (193,012) | (156,952) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Mizuho Financial Group [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 81,569 | 0 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (80,066) | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 1,503 | 0 |
Morgan Stanley & Co. LLC [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 76,031 | 218,730 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (76,031) | (218,730) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Nomura Holdings America, Inc [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 4,567 | 4,444 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (4,567) | (4,444) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Other [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 3,192 | 262 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | $ 3,192 | $ 262 |
Derivative and Credit Risk Tr_7
Derivative and Credit Risk Transfer Strip Assets and Liabilities - Net Gains (Losses) Recognized on Derivative Financial Instruments (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Interest Rate Lock Commitments [Member] | ||
Derivative Instruments Gain Loss [Line Items] | ||
Net gains on derivative financial instruments used as economic hedges | $ 9,027 | $ (25,916) |
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Gain (Loss) on Sales of Loans, Net | Gain (Loss) on Sales of Loans, Net |
Interest rate lock commitments and loans acquired for sale [Member] | ||
Derivative Instruments Gain Loss [Line Items] | ||
Net gains on derivative financial instruments used as economic hedges | $ (20,744) | $ 251,899 |
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Gain (Loss) on Sales of Loans, Net | Gain (Loss) on Sales of Loans, Net |
Mortgage service rights [Member] | ||
Derivative Instruments Gain Loss [Line Items] | ||
Net gains on derivative financial instruments used as economic hedges | $ (54,891) | $ (163,802) |
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Contractually Specified Servicing Fee, Late Fee, and Ancillary Fee Earned in Exchange for Servicing Financial Asset | Contractually Specified Servicing Fee, Late Fee, and Ancillary Fee Earned in Exchange for Servicing Financial Asset |
CRT Derivatives [Member] | ||
Derivative Instruments Gain Loss [Line Items] | ||
Net gains on derivative financial instruments used as economic hedges | $ 11,126 | $ (5,848) |
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Gain Loss On Investments And Financings | Gain Loss On Investments And Financings |
Mortgage Servicing Rights - Sum
Mortgage Servicing Rights - Summary of MSRs Carried at Fair Value (Detail) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2022 | ||
Summary Of Mortgage Servicing Rights [Line Items] | ||||
Balance at beginning of quarter | $ 4,012,737 | $ 2,892,855 | ||
Servicing Asset At Fair Value Additions From Loan Sales | 100,618 | 194,596 | ||
Transfer to Agency of mortgage servicing rights relating to delinquent loans | (835) | 0 | ||
Due to changes in inputs used in valuation model | [1] | (45,771) | 392,640 | |
Other changes in fair value | [2] | (91,673) | (88,919) | |
Change in fair value, Total | (137,444) | 303,721 | ||
Balance at end of quarter | 3,975,076 | $ 3,391,172 | ||
Pledged Assets [Member] | ||||
Summary Of Mortgage Servicing Rights [Line Items] | ||||
Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and Notes payable secured by credit risk transfer and mortgage servicing assets | $ 3,926,160 | $ 3,962,820 | ||
[1] Primarily reflects changes in pricing spread, prepayment speed, servicing cost, and UPB of underlying loan inputs. Represents changes due to realization of expected cash flows. |
Mortgage Servicing Rights - S_2
Mortgage Servicing Rights - Summary of Net Loan Servicing Fees Relating to MSRs (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Transfers and Servicing [Abstract] | ||
Contractually-specified servicing fees | $ 164,214 | $ 146,885 |
Late charges | 759 | 612 |
Other | 3,184 | 8,502 |
Mortgage loan other servicing fees | 3,943 | 9,114 |
Net mortgage loan servicing fees | 168,157 | 155,999 |
Average MSR servicing portfolio | 230,812,774 | 217,692,169 |
MSR recapture fees | 485 | 8,260 |
UPB of loans recaptured | $ 95,191 | $ 1,580,805 |
Other Assets - Summary of Other
Other Assets - Summary of Other Assets (Detail) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Other Assets [Line Items] | ||
Derivative margin deposits | $ 59,191 | $ 51,463 |
Interest receivable | 40,231 | 31,027 |
Servicing fees receivable | 13,149 | 15,727 |
Correspondent lending receivables | 8,063 | 8,967 |
Other receivables | 22,781 | 7,657 |
Real estate acquired in settlement of loans | 8,270 | 7,734 |
Other | 18,732 | 12,416 |
Other Assets | 170,417 | 134,991 |
Assets sold under agreements to repurchase | 4,616,580 | 4,462,601 |
Real Estate Acquired in Settlement of Loans Pledge to Secure [Member] | ||
Other Assets [Line Items] | ||
Assets sold under agreements to repurchase | $ 3,554 | $ 3,297 |
Assets Sold Under Agreements to
Assets Sold Under Agreements to Repurchase - Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase (Detail) - USD ($) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2022 | |
Assets Sold under Agreements to Repurchase [Line Items] | |||
Weighted average interest rate | 5.55% | 1.06% | |
Average balance | $ 7,242,478,000 | $ 4,999,896,000 | |
Total interest expense | 100,267,000 | 15,571,000 | |
Maximum daily amount outstanding | 9,107,074,000 | $ 7,405,436,000 | |
Assets Sold Under Agreements To Repurchase | 8,115,508,000 | $ 6,618,639,000 | |
Assets sold under agreements to repurchase, At year end | $ 8,114,108,000 | $ 6,616,528,000 | |
Weighted average interest rate | 5.80% | 5.03% | |
Available borrowing capacity, Committed | $ 41,308,000 | $ 217,279,000 | |
Available borrowing capacity, Uncommitted | 3,253,455,000 | 4,762,056,000 | |
Available borrowing capacity | 3,294,763,000 | 4,979,335,000 | |
Margin deposits placed with (received from) counterparties included in Other assets (Accounts payable and accrued liabilities), net | 17,399,000 | (13,630,000) | |
Assets Sold under Agreements to Repurchase, Market Value | 4,616,580,000 | 4,462,601,000 | |
Assets Sold Under Agreements to Repurchase [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Unamortized debt issuance costs | (1,400,000) | (2,111,000) | |
Mortgage Backed Securities [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets Sold under Agreements to Repurchase, Market Value | 4,616,580,000 | 4,462,601,000 | |
Loans Acquired For Sale At Fair Value [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets Sold under Agreements to Repurchase, Market Value | 3,117,294,000 | 1,801,368,000 | |
Loans At Fair Value | Securities Retained In Asset Backed Financings [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets Sold under Agreements to Repurchase, Market Value | 84,866,000 | 84,044,000 | |
Loans At Fair Value | Distressed loans [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets Sold under Agreements to Repurchase, Market Value | 194,000 | 206,000 | |
Servicing advances [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets Sold under Agreements to Repurchase, Market Value | 76,664,000 | 100,888,000 | |
Real estate acquired in settlement of loans [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets Sold under Agreements to Repurchase, Market Value | 3,554,000 | 3,297,000 | |
Mortgage service rights [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets Sold under Agreements to Repurchase, Market Value | 2,045,372,000 | 2,092,794,000 | |
Deposits Securing Credit Risk Transfer Arrangements [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets Sold under Agreements to Repurchase, Market Value | $ 446,574,000 | $ 455,552,000 |
Assets Sold Under Agreements _2
Assets Sold Under Agreements to Repurchase - Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase (Parenthetical) (Detail) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Assets Sold Under Agreements to Repurchase [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Amortization of debt issuance costs | $ 1.2 | $ 2.5 |
Assets Sold Under Agreements _3
Assets Sold Under Agreements to Repurchase - Summary of Maturities of Outstanding Advances Under Repurchase Agreements by Maturity Date (Detail) $ in Thousands | 3 Months Ended |
Mar. 31, 2023 USD ($) | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 8,115,508 |
Weighted average maturity (in months) | 2 months |
Within 30 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 4,405,227 |
Over 30 to 90 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 2,837,245 |
Over 90 days to 180 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 424,998 |
Over 180 Days to 1 Year [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 0 |
Over 1 year to 2 years [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 448,038 |
Assets Sold Under Agreements _4
Assets Sold Under Agreements to Repurchase - Summary of Assets Sold under Agreements to Repurchase by Counterparty (Detail) $ in Thousands | 3 Months Ended |
Mar. 31, 2023 USD ($) | |
Barclays Capital Inc. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 56,559 |
Weighted average maturity | Apr. 14, 2023 |
Barclays Capital Inc. [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 48,065 |
Weighted-average maturity, Advances | Jun. 02, 2023 |
Weighted-average maturity, Facility | Nov. 13, 2024 |
Goldman Sachs & Co. LLC [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 3,745 |
Weighted-average maturity, Advances | Jun. 05, 2023 |
Weighted-average maturity, Facility | Dec. 23, 2023 |
Goldman Sachs & Co. LLC [Member] | Credit Risk Transfer Agreements [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 96,233 |
Weighted average maturity | May 23, 2023 |
JPMorgan Chase & Co. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 52,383 |
Weighted average maturity | Apr. 19, 2023 |
JPMorgan Chase & Co. [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 11,598 |
Weighted-average maturity, Advances | May 30, 2023 |
Weighted-average maturity, Facility | Jun. 17, 2024 |
Atlas Securitized Products, L.P. [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 61,683 |
Weighted-average maturity, Advances | Jun. 09, 2023 |
Weighted-average maturity, Facility | May 31, 2024 |
BNP Paribas Corporate & Institutional Banking [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 14,908 |
Weighted-average maturity, Advances | Jun. 18, 2023 |
Weighted-average maturity, Facility | Nov. 30, 2024 |
RBC Capital Markets L.P. [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 12,112 |
Weighted-average maturity, Advances | Jun. 06, 2023 |
Weighted-average maturity, Facility | Feb. 10, 2024 |
Morgan Stanley & Co. LLC [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 4,082 |
Weighted-average maturity, Advances | Jun. 19, 2023 |
Weighted-average maturity, Facility | Jan. 27, 2025 |
Wells Fargo Securities L L C | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 28,870 |
Weighted average maturity | Apr. 06, 2023 |
Wells Fargo Securities L L C | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 14,178 |
Weighted-average maturity, Advances | Jun. 13, 2023 |
Weighted-average maturity, Facility | Nov. 17, 2023 |
Daiwa Capital Markets America Inc. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 10,772 |
Weighted average maturity | Apr. 24, 2023 |
Citibank, N.A. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 32,022 |
Weighted average maturity | May 24, 2023 |
Citibank, N.A. [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 18,609 |
Weighted-average maturity, Advances | May 31, 2023 |
Weighted-average maturity, Facility | Apr. 26, 2024 |
Citibank, N.A. [Member] | Credit Risk Transfer Agreements [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 54,539 |
Weighted average maturity | Jul. 03, 2023 |
Amherst Pierpont Securities LLC [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 7,831 |
Weighted average maturity | Apr. 21, 2023 |
Mizuho Financial Group [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 4,173 |
Weighted average maturity | Apr. 21, 2023 |
Bank of America, N.A. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 19,928 |
Weighted average maturity | Apr. 23, 2023 |
Bank of America, N.A. [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 33,622 |
Weighted-average maturity, Advances | May 06, 2023 |
Weighted-average maturity, Facility | Jun. 05, 2024 |
Bank of America, N.A. [Member] | Credit Risk Transfer Agreements [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 57,379 |
Weighted average maturity | Apr. 03, 2023 |
Nomura Holdings America Inc [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 1,707 |
Weighted average maturity | Apr. 03, 2023 |
Mortgage Loan Participation Pur
Mortgage Loan Participation Purchase and Sale Agreement - Summary of Mortgage Loan Participation Purchase and Sale Agreement (Detail) - Mortgage Loan Participation Purchase and Sale Agreement [Member] - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Mortgage Loan Participation Purchase And Sale Agreement [Line Items] | ||
Weighted average interest rate | 6.20% | 1.64% |
Average balance | $ 17,107 | $ 35,809 |
Total interest expense | 293 | 176 |
Maximum daily amount outstanding | $ 90,531 | $ 88,633 |
Mortgage Loan Participation P_2
Mortgage Loan Participation Purchase and Sale Agreement - Summary of Mortgage Loan Participation Purchase and Sale Agreement (Parenthetical) (Detail) - USD ($) | 3 Months Ended | ||
Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2022 | |
Mortgage Loan Participation Purchase And Sale Agreement [Line Items] | |||
Amortization of Debt Issuance Costs and Discounts | $ 3,762,000 | $ 4,140,000 | |
Mortgage Loan Participation Purchase and Sale Agreement [Member] | |||
Mortgage Loan Participation Purchase And Sale Agreement [Line Items] | |||
Amortization of Debt Issuance Costs and Discounts | 31,000 | $ 31,000 | |
Average outstanding balance | $ 0 | $ 0 |
Long-Term Debt - Summary of Ter
Long-Term Debt - Summary of Term Note Issued to Qualified Institutional Buyers (Detail) $ in Thousands | 3 Months Ended |
Mar. 31, 2023 USD ($) | |
Secured Debt | CRT Arrangement Financing | |
Debt Instrument [Line Items] | |
Unpaid principal balance | $ 578,116 |
Secured Term Notes | Fannie Mae M S R Financing | |
Debt Instrument [Line Items] | |
Unpaid principal balance | 1,105,000 |
March 4, 2021 [Member] | Secured Debt | CRT Arrangement Financing | |
Debt Instrument [Line Items] | |
Notes Issued | 659,156 |
Unpaid principal balance | $ 292,216 |
Annual interest rate index | LIBOR |
Interest rate spread (Annual) | 2.90% |
Maturity date, Stated | Feb. 28, 2024 |
Maturity date, Optional extension | Feb. 27, 2026 |
February 14, 2020 [Member] | Secured Debt | CRT Arrangement Financing | |
Debt Instrument [Line Items] | |
Notes Issued | $ 350,000 |
Unpaid principal balance | $ 56,576 |
Annual interest rate index | LIBOR |
Interest rate spread (Annual) | 2.35% |
Maturity date, Stated | Feb. 27, 2025 |
October 16, 2019 [Member] | Secured Debt | CRT Arrangement Financing | |
Debt Instrument [Line Items] | |
Notes Issued | $ 375,000 |
Unpaid principal balance | $ 53,134 |
Annual interest rate index | LIBOR |
Interest rate spread (Annual) | 2.70% |
Maturity date, Stated | Oct. 29, 2024 |
June 11, 2019 [Member] | Secured Debt | CRT Arrangement Financing | |
Debt Instrument [Line Items] | |
Notes Issued | $ 638,000 |
Unpaid principal balance | $ 176,190 |
Annual interest rate index | LIBOR |
Interest rate spread (Annual) | 2.75% |
Maturity date, Stated | May 29, 2023 |
Maturity date, Optional extension | May 29, 2025 |
June 28, 2022 [Member] | Secured Term Notes | Fannie Mae M S R Financing | |
Debt Instrument [Line Items] | |
Notes Issued | $ 305,000 |
Unpaid principal balance | $ 305,000 |
Annual interest rate index | SOFR |
Interest rate spread (Annual) | 4.19% |
Maturity date, Stated | Jun. 25, 2027 |
Maturity date, Optional extension | Either June 26, 2028 or June 25, 2029 |
March 30, 2021 [Member] | Secured Term Notes | Fannie Mae M S R Financing | |
Debt Instrument [Line Items] | |
Notes Issued | $ 350,000 |
Unpaid principal balance | $ 350,000 |
Annual interest rate index | LIBOR |
Interest rate spread (Annual) | 3% |
Maturity date, Stated | Mar. 25, 2026 |
Maturity date, Optional extension | Mar. 27, 2028 |
April 25, 2018 [Member] | Secured Term Notes | Fannie Mae M S R Financing | |
Debt Instrument [Line Items] | |
Notes Issued | $ 450,000 |
Unpaid principal balance | $ 450,000 |
Annual interest rate index | LIBOR |
Interest rate spread (Annual) | 2.35% |
Maturity date, Stated | Apr. 25, 2023 |
Maturity date, Optional extension | Apr. 25, 2025 |
Long-Term Debt - Additional Inf
Long-Term Debt - Additional Information (Detail) | 3 Months Ended | ||
Mar. 09, 2021 USD ($) | Nov. 19, 2019 USD ($) | Mar. 31, 2023 USD ($) | |
Credit Agreements [Member] | Freddie Mac MSR Financing | |||
Debt Instrument [Line Items] | |||
Aggregate loan amount | $ 1,600,000,000 | ||
Maturity date of debt instrument | Jun. 30, 2024 | ||
Exchangeable Senior Notes due March 15, 2026 [Member] | |||
Debt Instrument [Line Items] | |||
Maturity date of debt instrument | Mar. 15, 2026 | ||
Issuance of debt through private offering | $ 345,000,000 | ||
Exchangeable Senior Notes Per Note Principal Amount | $ 1,000 | ||
Percentage of interest on debt | 5.50% | ||
2024 Exchangeable Notes and 2026 Exchangeable Notes [Member] | |||
Debt Instrument [Line Items] | |||
Issuance of debt through private offering | $ 210,000,000 | ||
Exchangeable Senior Notes due November 1, 2024 [Member] | |||
Debt Instrument [Line Items] | |||
Maturity date of debt instrument | Nov. 01, 2024 | ||
Exchangeable Senior Notes Per Note Principal Amount | $ 1,000 | ||
Percentage of interest on debt | 5.50% | ||
Initial Exchangeable Rate [Member] | Exchangeable Senior Notes due March 15, 2026 [Member] | Maximum [Member] | |||
Debt Instrument [Line Items] | |||
Number of shares exchanged per exchangeable notes | 40.101 | ||
Initial Exchangeable Rate [Member] | Exchangeable Senior Notes due March 15, 2026 [Member] | Minimum [Member] | |||
Debt Instrument [Line Items] | |||
Number of shares exchanged per exchangeable notes | 46.1063 | ||
Initial Exchangeable Rate [Member] | Exchangeable Senior Notes due November 1, 2024 [Member] | Maximum [Member] | |||
Debt Instrument [Line Items] | |||
Number of shares exchanged per exchangeable notes | 40.101 | ||
Initial Exchangeable Rate [Member] | Exchangeable Senior Notes due November 1, 2024 [Member] | Minimum [Member] | |||
Debt Instrument [Line Items] | |||
Number of shares exchanged per exchangeable notes | 46.1063 | ||
PennyMac Loan Services, LLC [Member] | Fannie Mae M S R Financing | |||
Debt Instrument [Line Items] | |||
Line of credit, maximum borrowing capacity | $ 700,000,000 | ||
Extended termination date of debt instrument | May 31, 2024 |
Long-Term Debt - Summary of Fin
Long-Term Debt - Summary of Financial Information Relating to Note Payable Secured by Credit Risk Transfer and Mortgage Servicing Assets (Detail) - USD ($) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2022 | |
Carrying value: | |||
Balance | $ 2,790,958,000 | $ 2,804,028,000 | |
Assets securing notes payable: | |||
Derivative assets | 2,883,000 | 1,262,000 | |
Freddie Mac MSR Financing | |||
Carrying value: | |||
Balance | 2,790,958,000 | 2,804,028,000 | |
Carrying value of notes | 2,798,116,000 | 2,812,694,000 | |
Assets securing notes payable: | |||
Mortgage servicing rights | 3,926,160,000 | 3,962,820,000 | |
Deposits securing CRT arrangements | 851,343,000 | 869,742,000 | |
Notes Payable [Member] | Freddie Mac MSR Financing | |||
Short Term Debt [Line Items] | |||
Average balance | $ 2,802,691,000 | $ 2,438,773,000 | |
Weighted-average interest rate | 7.69% | 3.14% | |
Total interest expense | $ 54,947,000 | $ 20,366,000 | |
Maximum daily amount outstanding | 2,812,694,000 | $ 2,601,767,000 | |
Carrying value: | |||
Unamortized debt issuance costs | $ (7,158,000) | $ (8,666,000) | |
Weighted average interest rate | 7.84% | 7.30% | |
Assets securing notes payable: | |||
Derivative assets | $ 2,883,000 | $ 1,262,000 | |
CRT Term Notes [Member] | Freddie Mac MSR Financing | |||
Carrying value: | |||
Carrying value of notes | 578,116,000 | 592,694,000 | |
FT-1 Notes [Member] | Freddie Mac MSR Financing | |||
Carrying value: | |||
Carrying value of notes | 1,105,000,000 | 1,105,000,000 | |
Freddie Mac Credit Agreements [Member] | Freddie Mac MSR Financing | |||
Carrying value: | |||
Carrying value of notes | $ 1,115,000,000 | $ 1,115,000,000 |
Long-Term Debt - Summary of F_2
Long-Term Debt - Summary of Financial Information Relating to Note Payable Secured by Credit Risk Transfer and Mortgage Servicing Assets (Parenthetical) (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Short Term Debt [Line Items] | ||
Amortization of Debt Issuance Costs and Discounts | $ 3,762 | $ 4,140 |
Notes Payable [Member] | Freddie Mac MSR Financing | ||
Short Term Debt [Line Items] | ||
Amortization of Debt Issuance Costs and Discounts | $ 1,800 | $ 1,500 |
Long-Term Debt - Summary of F_3
Long-Term Debt - Summary of Financial Information Relating to Exchangeable Senior Notes (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||||||||
Mar. 31, 2023 | Mar. 31, 2022 | Mar. 31, 2029 | Mar. 31, 2028 | Mar. 31, 2027 | Mar. 31, 2026 | Mar. 31, 2025 | Mar. 31, 2024 | Dec. 31, 2022 | |
Carrying value: | |||||||||
UPB | $ 555,000 | $ 0 | $ 0 | $ 0 | $ 345,000 | $ 210,000 | $ 0 | $ 555,000 | |
Exchangeable senior notes | 547,003 | 546,254 | |||||||
Convertible Debt [Member] | |||||||||
Short Term Debt [Line Items] | |||||||||
Interest expense | 8,380 | $ 8,320 | |||||||
Carrying value: | |||||||||
Unamortized debt issuance costs | (7,997) | $ (8,746) | |||||||
Convertible Debt [Member] | Nonaffiliates [Member] | |||||||||
Short Term Debt [Line Items] | |||||||||
Average balance | $ 546,511 | $ 529,542 | |||||||
Weighted average interest rate | 5.66% | 5.84% | |||||||
Interest expense | $ 8,380 | $ 8,320 |
Long-Term Debt - Summary of F_4
Long-Term Debt - Summary of Financial Information Relating to Exchangeable Senior Notes (Parenthetical) (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Short Term Debt [Line Items] | ||
Amortization of debt issuance costs | $ 3,762 | $ 4,140 |
Exchangeable Notes [Member] | ||
Short Term Debt [Line Items] | ||
Amortization of debt issuance costs | 748,000 | 689,000 |
Conversion options | $ 748,000 | $ 689,000 |
Long-Term Debt - Summary of F_5
Long-Term Debt - Summary of Financial Information Relating to Asset-Backed Financing of a VIE at Fair Value (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||||||||
Mar. 31, 2023 | Mar. 31, 2022 | Mar. 31, 2029 | Mar. 31, 2028 | Mar. 31, 2027 | Mar. 31, 2026 | Mar. 31, 2025 | Mar. 31, 2024 | Dec. 31, 2022 | |
Short Term Debt [Line Items] | |||||||||
Asset-backed financing of variable interest entities at fair value | $ 1,403,080 | $ 1,414,955 | |||||||
Unpaid principal balance | 1,659,916 | $ 1,659,916 | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 | ||
Variable Interest Entities [Member] | |||||||||
Short Term Debt [Line Items] | |||||||||
Asset-backed financing of variable interest entities at fair value | 1,403,080 | 1,414,955 | |||||||
Asset-backed Securities | Variable Interest Entities [Member] | |||||||||
Short Term Debt [Line Items] | |||||||||
Asset-backed financing of variable interest entities at fair value | 1,403,080 | 1,414,955 | |||||||
Unpaid principal balance | 1,659,916 | $ 1,681,410 | |||||||
Asset-backed Securities | Variable Interest Entities [Member] | Asset Backed Secured Financing Liability Fair Value | |||||||||
Short Term Debt [Line Items] | |||||||||
Average balance | 1,411,990 | $ 1,460,610 | |||||||
Total interest expense | $ 12,353 | $ 11,027 | |||||||
Weighted average interest rate | 3.70% | 3.29% | |||||||
Weighted average interest rate | 3.22% | 3.22% |
Long-Term Debt - Summary of F_6
Long-Term Debt - Summary of Financial Information Relating to Asset-Backed Financing of a VIE at Fair Value (Parenthetical) (Detail) - USD ($) | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Debt Instrument [Line Items] | ||
Amortization of premiums and debt issuance costs | $ 3,762,000 | $ 4,140,000 |
Variable Interest Entities [Member] | Asset-backed Securities | Asset Backed Secured Financing Liability Fair Value | ||
Debt Instrument [Line Items] | ||
Amortization of premiums and debt issuance costs | $ (542,000) | $ 834,000 |
Long-Term Debt - Schedule of Co
Long-Term Debt - Schedule of Contractual Maturities on Long Term Debt Obligations (Detail) - USD ($) $ in Thousands | Mar. 31, 2029 | Mar. 31, 2028 | Mar. 31, 2027 | Mar. 31, 2026 | Mar. 31, 2025 | Mar. 31, 2024 | Mar. 31, 2023 | Dec. 31, 2022 |
Debt Disclosure [Abstract] | ||||||||
Notes payable secured by credit risk transfer and mortgage servicing assets | $ 0 | $ 305,000 | $ 0 | $ 350,000 | $ 1,224,710 | $ 918,406 | $ 2,798,116 | |
Convertible Notes Payable | 0 | 0 | 0 | 345,000 | 210,000 | 0 | 555,000 | $ 555,000 |
Asset-backed financings at fair value | 1,659,916 | 0 | 0 | 0 | 0 | 0 | 1,659,916 | |
Interest-only security payable at fair value | 23,205 | 0 | 0 | 0 | 0 | 0 | 23,205 | $ 21,925 |
Total | $ 1,683,121 | $ 305,000 | $ 0 | $ 695,000 | $ 1,434,710 | $ 918,406 | $ 5,036,237 |
Liability for Losses under Re_3
Liability for Losses under Representations and Warranties - Summary of Company's Liability for Losses under Representations and Warranties (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Mortgage Banking [Abstract] | ||
Balance, beginning of quarter | $ 39,471 | $ 40,249 |
Provision for losses: | ||
Pursuant to loan sales | 940 | 1,317 |
Reduction in liability due to change in estimate | (616) | (1,165) |
Losses incurred | (388) | (176) |
Balance, end of quarter | 39,407 | 40,225 |
UPB of loans subject to representations and warranties at end of quarter | $ 230,035,290 | $ 217,466,262 |
Commitments and Contingencies -
Commitments and Contingencies - Company's Outstanding Contractual Commitments (Detail) $ in Thousands | Mar. 31, 2023 USD ($) |
Commitments to purchase mortgage loans: | |
Commitments to purchase loans acquired for sale | $ 1,806,398 |
Shareholders' Equity - Summary
Shareholders' Equity - Summary of Preferred Shares of Beneficial Interest (Detail) - USD ($) | 3 Months Ended | ||
Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2022 | |
Class Of Stock [Line Items] | |||
Number of shares | 22,400,000 | 22,400,000 | |
Liquidation preference | $ 560,000,000 | $ 560,000,000 | |
Issuance discount | 18,518,000 | ||
Carrying value | $ 541,482,000 | $ 541,482,000 | |
8.125% Series A Preferred Stock [Member] | |||
Class Of Stock [Line Items] | |||
Number of shares | 4,600,000 | ||
Liquidation preference | $ 115,000,000 | ||
Issuance discount | 3,828,000 | ||
Carrying value | $ 111,172,000 | ||
Dividends per share | $ 0.51 | $ 0.51 | |
8.00% Series B Preferred Stock [Member] | |||
Class Of Stock [Line Items] | |||
Number of shares | 7,800,000 | ||
Liquidation preference | $ 195,000,000 | ||
Issuance discount | 6,465,000 | ||
Carrying value | $ 188,535,000 | ||
Dividends per share | $ 0.50 | 0.50 | |
6.75% Series C Preferred Stock [Member] | |||
Class Of Stock [Line Items] | |||
Number of shares | 10,000,000 | ||
Liquidation preference | $ 250,000,000 | ||
Issuance discount | 8,225,000 | ||
Carrying value | $ 241,775,000 | ||
Dividends per share | $ 0.42 | $ 0.42 |
Shareholders' Equity - Summar_2
Shareholders' Equity - Summary of Preferred Shares of Beneficial Interest (Parenthetical) (Detail) - $ / shares | 1 Months Ended | 3 Months Ended | |||
Aug. 31, 2021 | Jul. 31, 2017 | Mar. 31, 2023 | Mar. 31, 2017 | Dec. 31, 2022 | |
Class Of Stock [Line Items] | |||||
Preferred stock, par value | $ 0.01 | $ 0.01 | |||
8.125% Series A Preferred Stock [Member] | |||||
Class Of Stock [Line Items] | |||||
Cumulative dividend, beneficial interest rate | 8.125% | 8.125% | |||
Sale of Stock, Transaction Date | Mar. 31, 2017 | ||||
Preferred stock, par value | $ 0.01 | ||||
8.00% Series B Preferred Stock [Member] | |||||
Class Of Stock [Line Items] | |||||
Cumulative dividend, beneficial interest rate | 5.99% | 8% | |||
Sale of Stock, Transaction Date | Jul. 31, 2017 | ||||
Preferred stock, par value | $ 0.01 | ||||
6.75% Series C Preferred Stock [Member] | |||||
Class Of Stock [Line Items] | |||||
Cumulative dividend, beneficial interest rate | 6.75% | 6.75% | |||
Sale of Stock, Transaction Date | Aug. 31, 2017 | ||||
Preferred stock, par value | $ 0.01 |
Shareholders' Equity - Addition
Shareholders' Equity - Additional Information (Detail) - USD ($) | 1 Months Ended | 3 Months Ended | |||||
Aug. 31, 2021 | Jul. 31, 2017 | Mar. 31, 2023 | Mar. 31, 2017 | Oct. 24, 2022 | Oct. 23, 2022 | Mar. 31, 2019 | |
Schedule Of Capitalization Equity [Line Items] | |||||||
Common stock shares repurchase authorized amount before transaction fees | $ 500,000,000 | $ 400,000,000 | |||||
Equity Distribution Agreement [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Maximum aggregate offering price | $ 200,000,000 | ||||||
8.125% Series A Preferred Stock [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Cumulative dividend, beneficial interest rate | 8.125% | 8.125% | |||||
8.125% Series A Preferred Stock [Member] | Fixed Annuity | Date Of Original Issuance To March 14, 2024 [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Preferred stock, liquidation preference | $ 25 | ||||||
8.125% Series A Preferred Stock [Member] | Floating Rate [Member] | March 15, 2024 and Thereafter [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Cumulative dividend, beneficial interest rate | 5.831% | ||||||
8.00% Series B Preferred Stock [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Cumulative dividend, beneficial interest rate | 5.99% | 8% | |||||
Preferred stock, liquidation preference | $ 25 | ||||||
8.00% Series B Preferred Stock [Member] | Date Of Original Issuance To March 14, 2024 [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Cumulative dividend, beneficial interest rate | 8% | ||||||
8.00% Series B Preferred Stock [Member] | Fixed Annuity | Date Of Original Issuance To March 14, 2024 [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Preferred stock, liquidation preference | $ 25 | ||||||
6.75% Series C Preferred Stock [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Cumulative dividend, beneficial interest rate | 6.75% | 6.75% | |||||
6.75% Series C Preferred Stock [Member] | Fixed Annuity | Date Of Original Issuance To March 14, 2024 [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Preferred stock, liquidation preference | $ 25 | ||||||
8.125% Series A, 8.00% Series B, 6.75% Series C Preferred Stock [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Preferred stock redemption price per share | $ 25 |
Shareholders' Equity - Summar_3
Shareholders' Equity - Summary of Common Share Repurchase Activity (Detail) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Equity [Abstract] | ||
Common shares repurchased | 638 | 1,974 |
Cumulative shares repurchased | 27,329 | |
Cost of common shares repurchased | $ 7,564 | $ 31,829 |
Cumulative cost of shares repurchased | $ 406,303 |
Shareholders' Equity - Summar_4
Shareholders' Equity - Summary of Common Share Repurchase Activity (Parenthetical) (Details) | 3 Months Ended |
Mar. 31, 2023 USD ($) | |
Common Stock [Member] | Commission Amount | |
Schedule Of Capitalization Equity [Line Items] | |
Transaction fees | $ 547,000 |
Net Gains (Losses) on Investm_3
Net Gains (Losses) on Investments and Financings - Summary of Net Gains (Losses) on Investments and Financings (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Schedule Of Gain Loss On Investments Including Marketable Securities And Investments Held At Cost Income Statement Reported Amounts Summary [Line Items] | ||
Loans at fair value | $ 130,206 | $ 104,343 |
Asset-backed financings at fair value | (10,160) | 89,174 |
Net losses (gains) on investments and financings | 125,804 | (229,095) |
Nonaffiliates [Member] | ||
Schedule Of Gain Loss On Investments Including Marketable Securities And Investments Held At Cost Income Statement Reported Amounts Summary [Line Items] | ||
Investment securities at fair value, Mortgage-backed securities | 78,218 | (186,525) |
CRT arrangements | 46,278 | (35,623) |
Variable Interest Entities [Member] | Nonaffiliates [Member] | ||
Schedule Of Gain Loss On Investments Including Marketable Securities And Investments Held At Cost Income Statement Reported Amounts Summary [Line Items] | ||
Loans at fair value | 11,017 | (96,564) |
Distressed [Member] | Nonaffiliates [Member] | ||
Schedule Of Gain Loss On Investments Including Marketable Securities And Investments Held At Cost Income Statement Reported Amounts Summary [Line Items] | ||
Loans at fair value | $ 451 | $ 443 |
Net Gains on Loans Acquired f_3
Net Gains on Loans Acquired for Sale - Summary of Net Gains on Mortgage Loans Acquired for Sale (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Non-cash gains: | ||
Receipt of MSRs in mortgage loan sale transactions | $ (100,618) | $ (194,596) |
Provision for losses relating to representations and warranties provided in loan sales: | ||
Pursuant to loans sales | (940) | (1,317) |
Changes in fair value of loans and derivatives | ||
Net cash of gain on mortgage loans acquired for sale | 130,206 | 104,343 |
Net gains on loans acquired for sale | 6,473 | 3,953 |
PennyMac Financial Services, Inc. [Member] | ||
Changes in fair value of loans and derivatives | ||
Net gains on loans acquired for sale | 1,328 | 1,296 |
Nonaffiliates [Member] | ||
Cash losses: | ||
Sales of loans | (72,945) | (439,788) |
Hedging activities | (52,116) | 338,102 |
Cash gain, net of effects of cash hedging, on sale of mortgage loans acquired for sale | (125,061) | (101,686) |
Non-cash gains: | ||
Receipt of MSRs in mortgage loan sale transactions | 100,618 | 194,596 |
Provision for losses relating to representations and warranties provided in loan sales: | ||
Pursuant to loans sales | (940) | (1,317) |
Reduction of liability due to change in estimate | 616 | 1,165 |
Provision for losses relating to representations and warranties | (324) | (152) |
Changes in fair value of loans and derivatives | ||
Interest rate lock commitments | 9,027 | (25,916) |
Loans | (10,487) | 22,018 |
Hedging derivatives | 31,372 | (86,203) |
Total non cash portion of gain on mortgage loans acquired for sale | 29,912 | (90,101) |
Net gains on loans acquired for sale | $ 5,145 | $ 2,657 |
Net Interest Expense - Summary
Net Interest Expense - Summary of Net Interest Expense (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Interest income: | ||
Cash and short-term investments | $ 6,311 | $ 403 |
Mortgage-backed securities | 51,139 | 14,400 |
Loans acquired for sale at fair value | 36,988 | 19,248 |
Distressed | (7) | 174 |
Deposits securing CRT arrangements | 14,212 | 222 |
Placement fees relating to custodial funds | 28,920 | 3,709 |
Other | 290 | 58 |
Interest income | 153,019 | 51,063 |
Interest expense: | ||
Assets sold under agreements to repurchase | 100,267 | 15,571 |
Mortgage loan participation purchase and sale agreements | 293 | 176 |
Notes payable secured by credit risk transfer and mortgage servicing assets | 54,947 | 20,366 |
Asset-backed financings at fair value | 12,353 | 11,027 |
Interest shortfall on repayments of loans serviced for Agency securitizations | 1,029 | 7,042 |
Interest on loan impound deposits | 1,343 | 1,012 |
Other | 525 | 0 |
Interest expense, total | 179,137 | 63,514 |
Net interest expense | (26,118) | (12,451) |
Convertible Debt [Member] | ||
Interest expense: | ||
Total interest expense | 8,380 | 8,320 |
Variable Interest Entities [Member] | ||
Interest income: | ||
Loans at fair value | $ 15,166 | $ 12,849 |
Share-Based Compensation - Addi
Share-Based Compensation - Additional Information (Detail) - Restricted Share Units [Member] | 3 Months Ended |
Mar. 31, 2023 | |
Minimum [Member] | |
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |
Vesting period | 1 year |
Maximum [Member] | |
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |
Vesting period | 3 years |
Share-Based Compensation - Summ
Share-Based Compensation - Summary of Share-Based Compensation Activity (Detail) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | ||
Total share units granted | 288 | 227 |
Total grant date value of share units | $ 3,715 | $ 3,557 |
Total share units vested | 177 | 119 |
Total share units forfeiture | 0 | 9 |
Compensation expense relating to share-based grants | $ 1,156 | $ 1,029 |
Restricted Shares Units [Member] | ||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | ||
Total share units granted | 129 | 78 |
Total grant date value of share units | $ 2,134 | $ 2,006 |
Total share units vested | 165 | 128 |
Total share units forfeiture | 0 | 0 |
Performance Shares Units [Member] | ||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | ||
Total share units granted | 0 | 9 |
Total grant date value of share units | $ 1,581 | $ 1,551 |
Total share units vested | 48 | 41 |
Total share units forfeiture | 123 | 99 |
Share-Based Compensation - Su_2
Share-Based Compensation - Summary of Share-Based Compensation Activity (Parenthetical) (Detail) - Performance Shares Units [Member] | 3 Months Ended |
Mar. 31, 2023 shares | |
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |
Share vested due to exceeding performance goal | 48,372 |
Vesting percentage | 39% |
Share-Based Compensation - Su_3
Share-Based Compensation - Summary of Restricted Share Units and Performance Share Units Expected to Vest (Detail) shares in Thousands | Mar. 31, 2023 $ / shares shares |
Restricted Share Units [Member] | |
Shares expected to vest: | |
Number of units (in thousands) | shares | 261 |
Grant date average fair value per unit | $ / shares | $ 14.43 |
Performance Share Units [Member] | |
Shares expected to vest: | |
Number of units (in thousands) | shares | 217 |
Grant date average fair value per unit | $ / shares | $ 14.53 |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Detail) - USD ($) | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Income Tax [Line Items] | ||
Effective income tax rates | (56.40%) | |
Income (loss) before benefit from income taxes | $ 38,801,000 | $ 18,058,000 |
Expense (benefit) from income taxes | $ (21,896,000) | 37,187,000 |
Percentage of deduction from taxable income | 20% | |
Taxable REIT Subsidiary [Member] | ||
Income Tax [Line Items] | ||
Income (loss) before benefit from income taxes | $ (90,100,000) | 272,800,000 |
Expense (benefit) from income taxes | (21,800,000) | $ 37,900,000 |
Deferred tax assets, valuation allowance | $ 0 |
Earnings Per Common Share - Sum
Earnings Per Common Share - Summary of Basic and Diluted Earnings per Share (Detail) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Earnings Per Share [Abstract] | ||
Net income (loss) | $ 60,697 | $ (19,129) |
Dividends on preferred shares | (10,455) | (10,455) |
Effect of participating securities‒share-based compensation awards | (140) | (104) |
Net income (loss) attributable to common shareholders | 50,102 | (29,688) |
Interest on Exchangeable Notes, net of income taxes | 6,352 | 0 |
Income attributable to participating securities | 8 | 0 |
Diluted net income (loss) attributable to common shareholders | $ 56,462 | $ (29,688) |
Weighted average basic shares outstanding | 88,831 | 94,146 |
Dilutive securities: | ||
Shares issuable pursuant to exchange of the Exchangeable Notes | 24,328 | 0 |
Shares issuable under share-based compensation plan | 229 | 0 |
Diluted weighted average shares outstanding | 113,388 | 94,146 |
Basic earnings (loss) per share | $ 0.56 | $ (0.32) |
Diluted earnings (loss) per share | $ 0.50 | $ (0.32) |
Earnings Per Common Share - S_2
Earnings Per Common Share - Summary of Potentially Dilutive Shares Excluded from Computation of Diluted Earnings Per Share (Detail) - shares shares in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Share-based Compensation Plan [Member] | ||
Antidilutive Securities Excluded From Computation Of Earnings Per Share [Line Items] | ||
Potentially dilutive stock excluded from the diluted earnings per share | 0 | 133 |
Shares Issuable Pursuant to Exchange of Exchangeable Senior Notes [Member] | ||
Antidilutive Securities Excluded From Computation Of Earnings Per Share [Line Items] | ||
Potentially dilutive stock excluded from the diluted earnings per share | 0 | 24,328 |
Segments - Additional Informati
Segments - Additional Information (Detail) | 3 Months Ended |
Mar. 31, 2023 Segment | |
Segment Reporting [Abstract] | |
Number of business segments | 4 |
Segments - Financial Highlights
Segments - Financial Highlights by Operating Segment (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2022 | |
Net investment income: | |||
Net gains (losses) on investments and financings | $ 125,804 | $ (229,095) | |
Net gains on loans acquired for sale | 6,473 | 3,953 | |
Net loan servicing fees | (23,693) | 304,178 | |
Net interest expense: | |||
Interest income | 153,019 | 51,063 | |
Interest expense | 179,137 | 63,514 | |
Net interest expense | (26,118) | (12,451) | |
Other | 7,900 | 15,254 | |
Net investment income | 90,366 | 81,839 | |
Expenses: | |||
Loan servicing fees and fulfillment payable to PFSI | 32,372 | 37,842 | |
Management fees | 7,257 | 8,117 | |
Other | 11,936 | 17,822 | |
Total expenses | 51,565 | 63,781 | |
Income before (benefit from) provision for income taxes | 38,801 | 18,058 | |
Total assets at end of quarter | 15,357,229 | 12,387,515 | $ 13,921,564 |
Credit Sensitive Strategies [Member] | |||
Net investment income: | |||
Net gains (losses) on investments and financings | 54,388 | (44,905) | |
Net gains on loans acquired for sale | 0 | (4) | |
Net loan servicing fees | 0 | 0 | |
Net interest expense: | |||
Interest income | 21,394 | 2,058 | |
Interest expense | 17,803 | 10,128 | |
Net interest expense | 3,591 | (8,070) | |
Other | 56 | 288 | |
Net investment income | 58,035 | (52,691) | |
Expenses: | |||
Loan servicing fees and fulfillment payable to PFSI | 77 | 59 | |
Management fees | 0 | 0 | |
Other | 636 | 3,211 | |
Total expenses | 713 | 3,270 | |
Income before (benefit from) provision for income taxes | 57,322 | (55,961) | |
Total assets at end of quarter | 1,620,576 | 1,747,763 | |
Interest Rate Sensitive Strategies [Member] | |||
Net investment income: | |||
Net gains (losses) on investments and financings | 71,416 | (184,190) | |
Net gains on loans acquired for sale | 0 | 0 | |
Net loan servicing fees | (23,693) | 304,178 | |
Net interest expense: | |||
Interest income | 92,083 | 29,110 | |
Interest expense | 125,168 | 41,685 | |
Net interest expense | (33,085) | (12,575) | |
Other | 0 | 0 | |
Net investment income | 14,638 | 107,413 | |
Expenses: | |||
Loan servicing fees and fulfillment payable to PFSI | 20,372 | 21,029 | |
Management fees | 0 | 0 | |
Other | 1,289 | 2,175 | |
Total expenses | 21,661 | 23,204 | |
Income before (benefit from) provision for income taxes | (7,023) | 84,209 | |
Total assets at end of quarter | 10,110,650 | 8,387,313 | |
Correspondent Production [Member] | |||
Net investment income: | |||
Net gains (losses) on investments and financings | 0 | 0 | |
Net gains on loans acquired for sale | 6,473 | 3,957 | |
Net loan servicing fees | 0 | 0 | |
Net interest expense: | |||
Interest income | 36,927 | 19,181 | |
Interest expense | 35,132 | 11,560 | |
Net interest expense | 1,795 | 7,621 | |
Other | 7,844 | 14,966 | |
Net investment income | 16,112 | 26,544 | |
Expenses: | |||
Loan servicing fees and fulfillment payable to PFSI | 11,923 | 16,754 | |
Management fees | 0 | 0 | |
Other | 2,408 | 5,212 | |
Total expenses | 14,331 | 21,966 | |
Income before (benefit from) provision for income taxes | 1,781 | 4,578 | |
Total assets at end of quarter | 3,196,705 | 1,812,210 | |
Corporate [Member] | |||
Net investment income: | |||
Net gains (losses) on investments and financings | 0 | 0 | |
Net gains on loans acquired for sale | 0 | 0 | |
Net loan servicing fees | 0 | 0 | |
Net interest expense: | |||
Interest income | 2,615 | 714 | |
Interest expense | 1,034 | 141 | |
Net interest expense | 1,581 | 573 | |
Other | 0 | 0 | |
Net investment income | 1,581 | 573 | |
Expenses: | |||
Loan servicing fees and fulfillment payable to PFSI | 0 | 0 | |
Management fees | 7,257 | 8,117 | |
Other | 7,603 | 7,224 | |
Total expenses | 14,860 | 15,341 | |
Income before (benefit from) provision for income taxes | (13,279) | (14,768) | |
Total assets at end of quarter | $ 429,298 | $ 440,229 |
Regulatory Capital and Liquid_3
Regulatory Capital and Liquidity Requirements - Additional Information (Detail) | Mar. 31, 2023 USD ($) |
Minimum [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Basis point | 6% |
Fannie Mae Or Freddie Mac Mortgage Loans [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Minimum net worth amount | $ 2,500,000 |
Basis point | 0.25% |
Unpaid Principal Balance [Member] | Fannie Mae Or Freddie Mac Mortgage Loans [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Basis point | 2% |
Liquidity requirement basis point | 0.035% |
Nonperforming mortgage loans [Member] | Fannie Mae Or Freddie Mac Mortgage Loans [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Basis point | 70% |
Nonperforming mortgage loans [Member] | Fannie Mae Or Freddie Mac Mortgage Loans [Member] | Minimum [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Basis point | 6% |
Regulatory Capital and Liquid_4
Regulatory Capital and Liquidity Requirements - Summary of Capital and Liquidity Amounts and Requirements by Agencies (Detail) - Fannie Mae and Freddie Mac [Member] $ in Thousands | Mar. 31, 2023 USD ($) | Dec. 31, 2022 USD ($) | |
Capital Requirements By Agencies [Line Items] | |||
Net worth, Actual | [1] | $ 1,100,753 | $ 1,138,331 |
Net worth, Required | [1] | $ 593,721 | $ 586,436 |
Tangible net worth / total assets ratio, Actual | [1] | 0.13 | 0.16 |
Tangible net worth / total assets ratio, Required | [1] | 0.06 | 0.06 |
Liquidity, Actual | [1] | $ 385,500 | $ 343,286 |
Liquidity, Required | [1] | $ 79,946 | $ 79,372 |
[1] Calculated in accordance with the Agencies’ requirements. |
Subsequent Events - Additional
Subsequent Events - Additional Information (Details) - Subsequent Event $ in Millions | Apr. 05, 2023 USD ($) |
Subsequent Event [Line Items] | |
Aggregate principal amount | $ 235 |
2018 FT-1 Notes | |
Subsequent Event [Line Items] | |
Maturity date of debt instrument | Apr. 25, 2023 |
Maturity date, Optional extension | Apr. 25, 2025 |
CRT Term Notes | |
Subsequent Event [Line Items] | |
Maturity date of debt instrument | May 29, 2023 |
Maturity date, Optional extension | May 29, 2025 |