Document_and_Entity_Informatio
Document and Entity Information | 3 Months Ended | |
Mar. 31, 2014 | 6-May-14 | |
Document And Entity Information [Abstract] | ' | ' |
Document Type | '10-Q | ' |
Amendment Flag | 'false | ' |
Document Period End Date | 31-Mar-14 | ' |
Document Fiscal Year Focus | '2014 | ' |
Document Fiscal Period Focus | 'Q1 | ' |
Trading Symbol | 'PMT | ' |
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 Common Stock, Shares Outstanding | ' | 73,989,941 |
Consolidated_Balance_Sheets
Consolidated Balance Sheets (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
ASSETS | ' | ' |
Cash | $11,871 | $27,411 |
Short-term investments | 91,338 | 92,398 |
Mortgage-backed securities at fair value pledged to secure securities sold under agreements to repurchase | 198,110 | 197,401 |
Mortgage loans acquired for sale at fair value (includes $339,153 and $454,210 pledged to secure mortgage loans acquired for sale under agreements to repurchase) | 344,680 | 458,137 |
Mortgage loans at fair value (includes $1,913,828 and $1,963,266 pledged to secure mortgage loans sold under agreements to repurchase) | 2,079,020 | 2,076,665 |
Mortgage loans under forward purchase agreements at fair value pledged to secure borrowings under forward purchase agreements | 202,661 | 218,128 |
Mortgage loans at fair value held by variable interest entity (includes $522,684 and $516,473 pledged to secure agreement to repurchase and asset-backed secured financing of the variable interest entity at fair value) | 529,680 | 523,652 |
Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value | 151,019 | 138,723 |
Derivative assets | 7,928 | 7,976 |
Real estate acquired in settlement of loans (includes $81,615 and $89,404 pledged to secure real estate acquired in settlement of loans sold under agreements to repurchase) | 172,987 | 138,942 |
Real estate acquired in settlement of loans under forward purchase agreements pledged to secure forward purchase agreements | 13,890 | 9,138 |
Mortgage servicing rights (includes $36,181 and $26,452 carried at fair value) | 301,427 | 290,572 |
Servicing advances | 60,024 | 59,573 |
Due from PennyMac Financial Services, Inc. | 3,590 | 6,009 |
Other assets | 59,312 | 66,192 |
Total assets | 4,227,537 | 4,310,917 |
LIABILITIES | ' | ' |
Assets sold under agreements to repurchase | 1,887,778 | 2,039,605 |
Borrowings under forward purchase agreements | 216,614 | 226,580 |
Asset-backed secured financing of the variable interest entity at fair value | 166,514 | 165,415 |
Exchangeable senior notes | 250,000 | 250,000 |
Derivative liabilities | 961 | 1,961 |
Accounts payable and accrued liabilities | 72,413 | 71,561 |
Due to PennyMac Financial Services, Inc. | 20,812 | 18,636 |
Income taxes payable | 58,309 | 59,935 |
Liability for losses under representations and warranties | 10,854 | 10,110 |
Total liabilities | 2,684,255 | 2,843,803 |
Commitments and contingencies | ' | ' |
SHAREHOLDERS' EQUITY | ' | ' |
Common shares of beneficial interest-authorized, 500,000,000 common shares of $0.01 par value; issued and outstanding, 73,929,541 and 70,458,082 common shares, respectively | 739 | 705 |
Additional paid-in capital | 1,466,347 | 1,384,468 |
Retained earnings | 76,196 | 81,941 |
Total shareholders' equity | 1,543,282 | 1,467,114 |
Total liabilities and shareholders' equity | $4,227,537 | $4,310,917 |
Consolidated_Balance_Sheets_Pa
Consolidated Balance Sheets (Parenthetical) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, except Share data, unless otherwise specified | ||
Statement Of Financial Position [Abstract] | ' | ' |
Mortgage loans acquired for sale at fair value, pledged to secure mortgage loans acquired for sale sold under agreements to repurchase | $339,153 | $454,210 |
Mortgage loans at fair value, pledged to secure mortgage loans sold under agreements to repurchase | 1,913,828 | 1,963,266 |
Pledged to secure agreement to repurchase and asset-backed secured financing of the variable interest entity at fair value | 522,684 | 516,473 |
Real estate acquired in settlement of loans, pledged to secure real estate acquired in settlement of loans sold under agreements to repurchase | 81,615 | 89,404 |
Mortgage servicing rights at fair value | $36,181 | $26,452 |
Common shares, authorized | 500,000,000 | 500,000,000 |
Common shares, par value | $0.01 | $0.01 |
Common shares, issued | 73,929,541 | 70,458,082 |
Common shares, outstanding | 73,929,541 | 70,458,082 |
Consolidated_Statements_of_Inc
Consolidated Statements of Income (USD $) | 3 Months Ended | |
In Thousands, except Per Share data, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Net investment income | ' | ' |
Net gain on mortgage loans acquired for sale | $9,971 | $29,279 |
Loan origination fees | 2,356 | 5,473 |
Net interest income: | ' | ' |
Interest income | 39,346 | 16,875 |
Interest expense | 19,775 | 11,236 |
Total, Net interest income (expense) | 19,571 | 5,639 |
Net gain on investments | 42,585 | 63,980 |
Net loan servicing fees | 7,421 | 6,011 |
Results of real estate acquired in settlement of loans | -6,626 | -3,253 |
Other | 1,317 | 687 |
Net investment income | 76,595 | 107,816 |
Expenses | ' | ' |
Loan fulfillment fees | 8,902 | 28,244 |
Loan servicing fees | 14,591 | 7,726 |
Management fees | 8,074 | 6,492 |
Professional services | 1,731 | 2,384 |
Compensation | 2,942 | 2,089 |
Other | 4,066 | 4,946 |
Total expenses | 40,306 | 51,881 |
Income before provision for income taxes | 36,289 | 55,935 |
(Benefit from) provision for income taxes | -1,584 | 2,639 |
Net income | $37,873 | $53,296 |
Earnings per share | ' | ' |
Basic | $0.52 | $0.90 |
Diluted | $0.50 | $0.90 |
Weighted-average shares outstanding | ' | ' |
Basic | 71,527 | 58,927 |
Diluted | 80,289 | 59,319 |
Dividends declared per share | $0.59 | $0.57 |
Consolidated_Statements_of_Cha
Consolidated Statements of Changes in Shareholders' Equity (USD $) | Total | Common Stock [Member] | Additional paid-in capital [Member] | Retained earnings [Member] |
In Thousands, except Share data | ||||
Balance, Amount at Dec. 31, 2012 | $1,201,336 | $589 | $1,129,858 | $70,889 |
Balance, Shares at Dec. 31, 2012 | ' | 58,904,000 | ' | ' |
Net income | 53,296 | ' | ' | 53,296 |
Share-based compensation, Amount | 1,452 | 1 | 1,451 | ' |
Share-based compensation, Shares | ' | 86,000 | ' | ' |
Cash dividends | -33,577 | ' | ' | -33,577 |
Underwriting and offering costs | -78 | ' | -78 | ' |
Balance, Amount at Mar. 31, 2013 | 1,222,429 | 590 | 1,131,231 | 90,608 |
Balance, Shares at Mar. 31, 2013 | ' | 58,990,000 | ' | ' |
Balance, Amount at Dec. 31, 2013 | 1,467,114 | 705 | 1,384,468 | 81,941 |
Balance, Shares at Dec. 31, 2013 | ' | 70,458,000 | ' | ' |
Net income | 37,873 | ' | ' | 37,873 |
Share-based compensation, Amount | 1,814 | 85 | 1,814 | ' |
Cash dividends | -43,618 | ' | ' | -43,618 |
Proceeds from offerings of common shares, Amount | 81,017 | 34 | 80,983 | ' |
Proceeds from offerings of common shares, Shares | 3,387,022 | 3,387,000 | ' | ' |
Underwriting and offering costs | -918 | ' | -918 | ' |
Balance, Amount at Mar. 31, 2014 | $1,543,282 | $739 | $1,466,347 | $76,196 |
Balance, Shares at Mar. 31, 2014 | ' | 73,930,000 | ' | ' |
Consolidated_Statements_of_Cha1
Consolidated Statements of Changes in Shareholders' Equity (Parenthetical) (USD $) | 3 Months Ended | |
Mar. 31, 2014 | Mar. 31, 2013 | |
Dividends declared per share | $0.59 | $0.57 |
Retained earnings [Member] | ' | ' |
Dividends declared per share | $0.59 | $0.57 |
Consolidated_Statements_of_Cas
Consolidated Statements of Cash Flows (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Cash flows from operating activities | ' | ' |
Net income | $37,873 | $53,296 |
Adjustments to reconcile net income to net cash used by operating activities: | ' | ' |
Net gain on mortgage loans acquired for sale at fair value | -9,971 | -29,279 |
Accrual of unearned discounts on mortgage-backed securities at fair value | -240 | ' |
Capitalization of interest and advances on mortgage loans at fair value | -12,470 | -5,230 |
Accrual of interest on excess servicing spread | -2,862 | ' |
Amortization of credit facility commitment fees and debt issuance costs | 2,360 | 1,143 |
Accrual of costs related to forward purchase agreements | 2,200 | ' |
Net gain on investments | -42,585 | -63,980 |
Change in fair value, amortization and impairment of mortgage servicing rights | 10,020 | 4,539 |
Results of real estate acquired in settlement of loans | 6,626 | 3,253 |
Share-based compensation expense | 1,814 | 1,452 |
Purchases of mortgage loans acquired for sale at fair value | -5,046,603 | -8,849,152 |
Sales of mortgage loans acquired for sale at fair value to nonaffiliates | 2,026,306 | 5,134,736 |
Sales of mortgage loans acquired for sale to PennyMac Financial Services, Inc. | 3,130,531 | 3,548,397 |
Increase in servicing advances | -5,647 | -5,504 |
Decrease (increase) in due from PennyMac Financial Services, Inc. | 3,196 | -1,161 |
Decrease (increase) in other assets | 17,434 | -2,210 |
Decrease in accounts payable and accrued liabilities | -1,124 | -20,142 |
Increase in payable to PennyMac Financial Services, Inc. | 2,212 | 2,532 |
(Decrease) increase in income taxes payable | -1,626 | 2,165 |
Net cash provided by (used in) operating activities | 113,302 | -225,145 |
Cash flows from investing activities | ' | ' |
Net decrease (increase) in short-term investments | 1,060 | -6,007 |
Repayments of mortgage-backed securities at fair value | 1,978 | ' |
Purchases of mortgage loans at fair value | -256,280 | -200,473 |
Repayments and sales of mortgage loans at fair value | 246,839 | 61,421 |
Repayments of mortgage loans under forward purchase agreements at fair value | 5,329 | ' |
Repayments of mortgage loans at fair value held by variable interest entity | 5,453 | ' |
Purchase of excess servicing spread from PennyMac Financial Services, Inc. | -20,526 | ' |
Repayment of excess spread investment | 7,413 | ' |
Purchases of derivative financial instruments | -259 | ' |
Sales of real estate acquired in settlement of loans | 31,772 | 32,024 |
Purchase of real estate acquired in settlement of loans | -3,049 | ' |
Sales of real estate acquired in settlement of loans under forward purchase agreements | 1,620 | ' |
Increase in margin deposits and restricted cash | -21,857 | -1,493 |
Net cash used in investing activities | -507 | -114,528 |
Cash flows from financing activities | ' | ' |
Sale of assets under agreement to repurchase | 6,814,735 | 8,510,958 |
Repurchases of assets sold under agreements to repurchase | -6,966,561 | -8,152,010 |
Repayments of borrowings under forward purchase agreements | -13,124 | ' |
Repayments of asset-backed secured financing of the variable interest entity at fair value | -1,805 | ' |
Proceeds from issuance of common shares | 81,017 | ' |
Payment of common share underwriting and offering costs | -918 | -78 |
Payment of contingent underwriting fees payable | -109 | ' |
Payment of dividends | -41,570 | -33,577 |
Net cash (used in) provided by financing activities | -128,335 | 325,293 |
Net decrease in cash | -15,540 | -14,380 |
Cash at beginning of period | 27,411 | 33,756 |
Cash at end of period | $11,871 | $19,376 |
Organization_and_Basis_of_Pres
Organization and Basis of Presentation | 3 Months Ended | ||||||||||||
Mar. 31, 2014 | |||||||||||||
Accounting Policies [Abstract] | ' | ||||||||||||
Organization and Basis of Presentation | ' | ||||||||||||
Note 1—Organization and Basis of Presentation | |||||||||||||
PennyMac Mortgage Investment Trust (“PMT” or the “Company”) was organized in Maryland on May 18, 2009, and commenced operations on August 4, 2009, when it completed its initial offerings of common shares of beneficial interest (“shares”). The Company is a specialty finance company, which, through its subsidiaries (all of which are wholly-owned), invests primarily in residential mortgage loans and mortgage-related assets. | |||||||||||||
The Company operates in two segments: correspondent lending and investment activities: | |||||||||||||
• | The correspondent lending segment represents the Company’s operations aimed at serving as an intermediary between mortgage lenders and the capital markets by purchasing, pooling and reselling newly originated prime credit quality mortgage loans either directly or in the form of mortgage-backed securities (“MBS”), using the services of PNMAC Capital Management, LLC (“PCM” or “Manager”) and PennyMac Loan Services, LLC (“PLS” or “Servicer”), both subsidiaries of PennyMac Financial Services, Inc. (“PFSI”). | ||||||||||||
Most of the loans the Company has acquired in its correspondent lending activities have been eligible for sale to government-sponsored entities such as the Federal National Mortgage Association (“Fannie Mae”) and Federal Home Loan Mortgage Corporation (“Freddie Mac”) or through government agencies such as the Government National Mortgage Association (“Ginnie Mae”). Fannie Mae, Freddie Mac and Ginnie Mae are each referred to as an “Agency” and, collectively, as the “Agencies.” | |||||||||||||
• | The investment activities segment represents the Company’s investments in mortgage-related assets, which include distressed mortgage loans, real estate acquired in settlement of loans (“REO”), MBS, mortgage servicing rights (“MSRs”) and excess servicing spread (“ESS”). The Company seeks to maximize the value of the distressed mortgage loans that it acquires through proprietary loan modification programs, special servicing or other initiatives focused on keeping borrowers in their homes. Where this is not possible, such as in the case of many nonperforming mortgage loans, the Company seeks to effect property resolution in a timely, orderly and economically efficient manner, including through the use of resolution alternatives to foreclosure. | ||||||||||||
The Company is externally managed by PCM, an investment adviser registered with the Securities and Exchange Commission (the “SEC”) that specializes in and focuses on residential mortgage loans. Under the terms of a management agreement, PCM is paid a management fee with a base component and a performance incentive component. | |||||||||||||
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 (the “Internal Revenue Code”), beginning with its taxable period ended on December 31, 2009. To maintain its tax status as a REIT, the Company has to distribute at least 90% of its taxable income in the form of qualifying distributions to shareholders. | |||||||||||||
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 accompanying consolidated financial statements have been prepared in compliance with accounting principles generally accepted in the United States (“U.S. GAAP”) as codified in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification for interim financial information and with the SEC’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 U.S. GAAP for complete financial statements. The interim consolidated information should be read together with the Company’s Annual Report on Form 10-K for the year ended December 31, 2013 (the “Annual Report”). Intercompany accounts and transactions have been eliminated. | |||||||||||||
Preparation of financial statements in compliance with U.S. GAAP requires management to make estimates and assumptions 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. | |||||||||||||
Reclassification of previously presented balances | |||||||||||||
Certain prior period amounts have been reclassified to conform to the current presentation. Specifically: | |||||||||||||
• | Interest expense is included with Interest income under a new caption, Net interest income, to better reflect the Company’s results due to growth in its portfolio of interest-earning assets. This reclassification results in the presentation of Net interest income in Net investment income and a decrease in Expenses. | ||||||||||||
• | Loan servicing fees payable to PennyMac Financial Services, Inc. is presented without the inclusion of other servicing expenses payable to nonaffiliates. Previously, Loan servicing expense included amounts payable to PFSI and to nonaffiliates. Amounts payable to nonaffiliates have been reclassified to Other expenses. | ||||||||||||
• | Other minor amounts were reclassified to Other expenses, to conform to the current period presentation. | ||||||||||||
Following is a summary of the reclassifications: | |||||||||||||
Quarter ended March 31, 2013 | |||||||||||||
As reported | As previously reported | Reclassification | |||||||||||
(in thousands) | |||||||||||||
Net interest income (new caption): | |||||||||||||
Interest income | $ | 16,875 | $ | 16,875 | $ | — | |||||||
Interest expense | 11,236 | — | 11,236 | ||||||||||
5,639 | 16,875 | (11,236 | ) | ||||||||||
Net investment income | $ | 107,816 | $ | 119,052 | $ | (11,236 | ) | ||||||
Expenses: | |||||||||||||
Interest expense | $ | — | $ | 11,236 | $ | (11,236 | ) | ||||||
Expenses payable to PennyMac Financial Services, Inc.: | |||||||||||||
Loan servicing fees | 7,726 | 8,090 | (364 | ) | |||||||||
Other | 4,946 | 4,690 | 256 | ||||||||||
Total expenses | $ | 51,881 | $ | 63,117 | $ | (11,236 | ) | ||||||
These reclassifications did not change previously reported income before provision for income taxes, (benefit from) provision for income taxes, net income, reported consolidated balance sheet amounts, including shareholders’ equity, or consolidated cash flows. |
Concentration_of_Risks
Concentration of Risks | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Risks And Uncertainties [Abstract] | ' | ||||||||
Concentration of Risks | ' | ||||||||
Note 2—Concentration of Risks | |||||||||
As discussed in Note 1—Organization and Basis of Presentation above, PMT’s operations and investing activities are centered in mortgage-related assets, a substantial portion of which are distressed at acquisition. Many of the mortgage loans in its targeted asset class are purchased at discounts reflecting their distressed state or perceived higher risk of default, as well as a greater likelihood of collateral documentation deficiencies. | |||||||||
Because of the Company’s investment focus, PMT is exposed, to a greater extent than traditional mortgage investors, to the risks that borrowers may be in economic distress and/or may have become unemployed, bankrupt or otherwise unable or unwilling to make payments when due, and to the effects of fluctuations in the residential real estate market on the performance of its investments. Factors influencing these risks include, but are not limited to: | |||||||||
• | changes in the overall economy and unemployment rates and residential real estate values in the markets where the properties securing the Company’s mortgage loans are located; | ||||||||
• | PCM’s ability to identify and the Company’s loan servicers’ ability to execute optimal resolutions of problem mortgage loans; | ||||||||
• | the accuracy of valuation information obtained during the Company’s due diligence activities; | ||||||||
• | PCM’s ability to effectively model, and to develop appropriate model assumptions that properly anticipate, future outcomes; | ||||||||
• | the level of government support for problem loan resolution and the effect of current and future proposed and enacted legislative and regulatory changes on the Company’s ability to effect cures or resolutions to distressed loans; and | ||||||||
• | regulatory, judicial and legislative support of the foreclosure process, and the resulting effect on the Company’s ability to acquire and liquidate the real estate securing its portfolio of distressed mortgage loans in a timely manner or at all. | ||||||||
Due to these uncertainties, there can be no assurance that risk management activities identified and executed on PMT’s behalf will prevent significant losses arising from the Company’s investments in real estate-related assets. | |||||||||
A substantial portion of the distressed mortgage loans and REO purchased by the Company has been acquired from or through one or more subsidiaries of Citigroup Inc. The following tables present purchases for the Company’s investment portfolio of mortgage loans and REO (including purchases under forward purchase agreements), and the portion thereof representing assets purchased from or through one or more subsidiaries of Citigroup Inc.: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Investment portfolio purchases: | |||||||||
Mortgage loans | $ | 257,200 | $ | 200,473 | |||||
REO | 3,087 | — | |||||||
$ | 260,287 | $ | 200,473 | ||||||
Investment portfolio purchases above through one or more subsidiaries of Citigroup Inc.: | |||||||||
Mortgage loans | $ | — | $ | 200,473 | |||||
REO | 38 | — | |||||||
$ | 38 | $ | 200,473 | ||||||
Following is a summary of the Company's holdings of assets purchased through one or more subsidiaries of Citigroup Inc.: | |||||||||
March 31, | December 31, | ||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Mortgage loans | $ | 927,107 | $ | 1,138,131 | |||||
Mortgage loans - forward | 202,661 | 218,128 | |||||||
REO | 88,081 | 84,726 | |||||||
REO - forward | 13,032 | 8,705 | |||||||
$ | 1,230,881 | $ | 1,449,690 | ||||||
During the year ended December 31, 2013, the Company entered into forward purchase agreements with Citigroup Global Markets Realty Corp. (“CGM”), a subsidiary of Citigroup Inc., to purchase certain nonperforming mortgage loans and REO (collectively, the “CGM Assets”). The CGM Assets were acquired by CGM from unaffiliated money center banks and are held in a trust subsidiary by CGM pending payment by the Company. | |||||||||
The Company recognized these assets and related obligations as of the dates of the agreements and recognizes all subsequent income and changes in value relating to such assets. As a result of recognizing these assets, the Company’s consolidated statements of income and cash flows include the following amounts related to the forward purchase agreements: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Statements of income: | |||||||||
Interest income on mortgage loans | $ | 2,154 | $ | — | |||||
Interest expense | $ | 1,580 | $ | — | |||||
Net gain on investments | $ | (940 | ) | $ | — | ||||
Results of REO | $ | (400 | ) | $ | — | ||||
Loan servicing fees | $ | 316 | $ | — | |||||
Statements of cash flows: | |||||||||
Repayments of mortgage loans | $ | 5,329 | $ | — | |||||
Sales of REO | $ | 1,622 | $ | — | |||||
Repayments of borrowings under forward purchase agreements | $ | (13,124 | ) | $ | — | ||||
The Company has no other variable interests in the trust entity or other exposure to the creditors of the trust entity that could expose the Company to loss. |
Transactions_with_Related_Part
Transactions with Related Parties | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Related Party Transactions [Abstract] | ' | ||||||||
Transactions with Related Parties | ' | ||||||||
Note 3—Transactions with Related Parties | |||||||||
Following is a summary of the base management and performance incentive fees payable to PFSI recorded by the Company: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Management fee: | |||||||||
Base | $ | 5,521 | $ | 4,364 | |||||
Performance incentive | 2,553 | 2,128 | |||||||
$ | 8,074 | $ | 6,492 | ||||||
In the event of termination, PFSI 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 (or, if the period is less than 24 months, annualized) performance incentive fee earned by PFSI, in each case during the 24-month period before termination. | |||||||||
Following is a summary of mortgage loan servicing fees payable to PFSI: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Mortgage loan servicing fees payable to PFSI: | |||||||||
Mortgage loans acquired for sale at fair value: | |||||||||
Base | $ | 17 | $ | 77 | |||||
Activity-based | 26 | 72 | |||||||
43 | 149 | ||||||||
Distressed mortgage loans: | |||||||||
Base | 4,966 | 3,875 | |||||||
Activity-based | 6,386 | 1,877 | |||||||
11,352 | 5,752 | ||||||||
MSRs: | |||||||||
Base | 3,148 | 1,763 | |||||||
Activity-based | 48 | 62 | |||||||
3,196 | 1,825 | ||||||||
$ | 14,591 | $ | 7,726 | ||||||
Following is a summary of correspondent lending activity between the Company and PFSI: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Fulfillment fees expense payable to PFSI | $ | 8,902 | $ | 28,244 | |||||
Unpaid principal balance of loans fulfilled by PFSI | $ | 1,919,578 | $ | 4,786,826 | |||||
Sourcing fees received from PFSI | $ | 892 | $ | 1,010 | |||||
Fair value of loans sold to PFSI | $ | 3,130,530 | $ | 3,548,397 | |||||
At period end: | |||||||||
Mortgage loans included in mortgage loans acquired for sale pending sale to PFSI | $ | 48,909 | $ | 542,490 | |||||
Following is a summary of investment activity between the Company and PFSI: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Purchases of excess servicing spread | $ | 20,526 | $ | — | |||||
Interest income from excess servicing spread | $ | 2,862 | $ | — | |||||
Excess servicing spread recapture recognized | $ | 1,890 | $ | — | |||||
MSR recapture recognized | $ | 8 | $ | 133 | |||||
Other Transactions | |||||||||
In connection with the initial public offering of PMT’s common shares (“IPO”) on August 4, 2009, the Company entered into an agreement with PFSI pursuant to which the Company agreed to reimburse PFSI for the $2.9 million payment that it made to the IPO underwriters if the Company satisfied certain performance measures over a specified period (the “Conditional Reimbursement”). Effective February 1, 2013, the Company amended the terms of the reimbursement agreement to provide for the reimbursement of PFSI of the Conditional Reimbursement if the Company is required to pay PFSI performance incentive fees under the management agreement at a rate of $10 in reimbursement for every $100 of performance incentive fees earned. The reimbursement of the Conditional Reimbursement is subject to a maximum reimbursement in any particular 12-month period of $1.0 million and the maximum amount that may be reimbursed under the agreement is $2.9 million. During the quarter ended March 31, 2014, the Company paid $36,000 to PFSI. | |||||||||
The reimbursement agreement also provides for the payment to the underwriters in such offering of the payment that the Company agreed to make to them at the time of the offering if the Company satisfied certain performance measures over a specified period. As PFSI earns performance incentive fees under the management agreement, such underwriters will be paid at a rate of $20 of payments for every $100 of performance incentive fees earned by PFSI. The payment to the underwriters is subject to a maximum reimbursement in any particular 12-month period of $2.0 million and the maximum amount that may be paid under the agreement is $5.9 million. During the quarter ended March 31, 2014, the Company paid $72,000 to the underwriters. | |||||||||
In the event the termination fee is payable to PFSI under the management agreement and PFSI and the underwriters have not received the full amount of the reimbursements and payments under the reimbursement agreement, such amount will be paid in full. The term of the reimbursement agreement expires on February 1, 2019. | |||||||||
The Company reimburses PFSI and its affiliates for other expenses, including common overhead expenses and other expenses incurred on its behalf by PFSI, in accordance with the terms of its management agreement as summarized below: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Reimbursement of: | |||||||||
Common overhead incurred by PFSI | $ | 2,578 | $ | 2,606 | |||||
Expenses incurred on the Company’s behalf | 445 | 1,358 | |||||||
$ | 3,023 | $ | 3,964 | ||||||
Payments and settlements during the period (1) | $ | 18,386 | $ | 33,362 | |||||
-1 | Payments and settlements include payments for management fees and correspondent lending activities itemized in the preceding tables and netting settlements made pursuant to master netting agreements between the Company and PFSI. | ||||||||
Amounts due to PFSI are summarized below: | |||||||||
March 31, | December 31, | ||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Contingent underwriting fees | $ | 1,752 | $ | 1,788 | |||||
Servicing fees | 8,222 | 5,915 | |||||||
Management fees | 8,074 | 8,924 | |||||||
Allocated expenses | 2,764 | 2,009 | |||||||
$ | 20,812 | $ | 18,636 | ||||||
Amounts due from affiliates totaling $3.6 million and $6.0 million at March 31, 2014 and December 31, 2013, respectively. At March 31, 2014, the balance represent payments receivable relating to cash flows from the Company’s investment in ESS and amounts receivable relating to unsettled MSR and ESS recaptures. At March 31, 2013, amounts due from affiliates represent amounts receivable pursuant to loan sales to PFSI and reimbursable expenses paid on the affiliates’ behalf by the Company. | |||||||||
PFSI held 75,000 of the Company’s common shares of beneficial interest at both March 31, 2014 and December 31, 2013. |
Earnings_Per_Share
Earnings Per Share | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Earnings Per Share [Abstract] | ' | ||||||||
Earnings Per Share | ' | ||||||||
Note 4—Earnings Per Share | |||||||||
Basic earnings per share is determined 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 using net income reduced by income attributable to the participating securities and divided by the weighted-average common shares outstanding during the period. 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 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. | |||||||||
Diluted earnings per share is determined by dividing net income attributable to diluted shareholders, which adds back to net income the interest expense, net of applicable income taxes, on the Company’s exchangeable senior notes (the “Notes”), by the weighted-average shares outstanding, assuming all potentially dilutive securities were issued. In periods in which the Company records a loss, potentially dilutive securities are excluded from the diluted loss per share calculation, as their effect on loss per share is anti-dilutive. | |||||||||
The following table summarizes the basic and diluted earnings per share calculations: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands, except per share amounts) | |||||||||
Basic earnings per share: | |||||||||
Net income | $ | 37,873 | $ | 53,296 | |||||
Effect of participating securities—share-based compensation awards | (408 | ) | (518 | ) | |||||
Net income attributable to common shareholders | $ | 37,465 | $ | 52,778 | |||||
Weighted-average shares outstanding | 71,527 | 58,927 | |||||||
Basic earnings per share | $ | 0.52 | $ | 0.9 | |||||
Diluted earnings per share: | |||||||||
Net income | $ | 37,873 | $ | 53,296 | |||||
Interest on exchangeable senior notes, net of income taxes | 2,079 | — | |||||||
Net income attributable to diluted shareholders | $ | 39,952 | $ | 53,296 | |||||
Weighted-average shares outstanding | 71,527 | 58,927 | |||||||
Potentially dilutive securities: | |||||||||
Shares issuable pursuant exchange of the Notes | 8,379 | — | |||||||
Shares issuable under share-based compensation | 383 | 392 | |||||||
Diluted weighted-average number of shares outstanding | 80,289 | 59,319 | |||||||
Diluted earnings per share | $ | 0.5 | $ | 0.9 | |||||
Loan_Sales
Loan Sales | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Text Block [Abstract] | ' | ||||||||
Loan Sales | ' | ||||||||
Note 5—Loan Sales | |||||||||
The Company is a variable interest holder in various special purpose entities that relate to its loan transfer and financing activities. The Company has segregated its involvement with variable interest entities (“VIEs”) between those VIEs which the Company does not consolidate and those VIEs which the Company consolidates. | |||||||||
Unconsolidated VIEs with Continuing Involvement | |||||||||
The following table summarizes cash flows between the Company and transferees upon sale of loans in transactions where PMT maintains continuing involvement with the mortgage loans as well as unpaid principal balance information at period end: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Cash flows: | |||||||||
Proceeds from sales | $ | 2,026,306 | $ | 5,134,736 | |||||
Servicing fees received (1) | $ | 16,838 | $ | 9,136 | |||||
Period end information: | |||||||||
Unpaid principal balance of mortgage loans outstanding | $ | 27,192,550 | $ | 16,642,130 | |||||
Unpaid principal balance of delinquent mortgage loans: | |||||||||
30-89 days delinquent | $ | 70,365 | $ | 38,272 | |||||
90 or more days delinquent | |||||||||
Not in foreclosure or bankruptcy | $ | 7,700 | $ | 2,731 | |||||
In foreclosure or bankruptcy | $ | 10,569 | $ | 1,526 | |||||
-1 | Net of guarantee fees | ||||||||
Consolidated VIE | |||||||||
On September 30, 2013, the Company completed a securitization transaction in which a wholly-owned VIE issued $537.0 million in offered certificates backed by fixed rate prime jumbo mortgage loans of PMT Loan Trust 2013-J1, at a 3.9% weighted yield. The Company retained $366.8 million of those certificates. Management concluded that the Company is the primary beneficiary of the VIE and, as a result, the Company consolidates the VIE. Consolidation of the VIE results in the securitized mortgage loans remaining on the consolidated balance sheets of the Company and the certificates issued by the VIE to nonaffiliates being accounted for as secured financing. The certificates are secured solely by the assets of the VIE and not by any other assets of the Company. The assets of the VIE are the only source of funds for repayment of the certificates. | |||||||||
The following table presents a summary of the assets and liabilities of the VIE. Intercompany balances have been eliminated for purposes of this presentation. | |||||||||
Assets and Liabilities of Consolidated VIE | |||||||||
March 31, | December 31, | ||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Assets | |||||||||
Mortgage loans at fair value held by VIE | $ | 529,680 | $ | 523,652 | |||||
Interest receivable, included in Other assets | 1,718 | 1,584 | |||||||
Total | $ | 531,398 | $ | 525,236 | |||||
Liabilities | |||||||||
Asset-backed secured financing of the variable interest entity at fair value | $ | 166,514 | $ | 165,415 | |||||
Interest payable, included in Accounts payable and accrued liabilities | 497 | 497 | |||||||
Total | $ | 167,011 | $ | 165,912 | |||||
Netting_of_Financial_Instrumen
Netting of Financial Instruments | 3 Months Ended | ||||||||||||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||||||||||||
Text Block [Abstract] | ' | ||||||||||||||||||||||||||||||||
Netting of Financial Instruments | ' | ||||||||||||||||||||||||||||||||
Note 6—Netting of Financial Instruments | |||||||||||||||||||||||||||||||||
The Company uses derivative financial instruments to manage exposure to interest rate risk created by its interest rate lock commitments (“IRLC”), mortgage loans acquired for sale at fair value, MBS, ESS and MSRs. All derivative financial instruments are recorded on the balance sheet at fair value. The Company has elected to net derivative asset and liability positions, and cash collateral obtained (or posted) by (or to) its counterparties when subject to a legally enforceable master netting arrangement. The derivative financial instruments that are not subject to master netting arrangements are IRLCs. | |||||||||||||||||||||||||||||||||
Offsetting of Derivative Assets | |||||||||||||||||||||||||||||||||
Following is a summary of net derivative assets. As discussed above, all derivatives with the exception of IRLCs are subject to master netting arrangements. | |||||||||||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||||||||||
Gross | Gross | Net | Gross | Gross | Net | ||||||||||||||||||||||||||||
amounts | amounts | amounts | amounts | amounts | amounts | ||||||||||||||||||||||||||||
of | offset | of assets | of | offset | of assets | ||||||||||||||||||||||||||||
recognized | in the | presented | recognized | in the | presented | ||||||||||||||||||||||||||||
assets | consolidated | in the | assets | consolidated | in the | ||||||||||||||||||||||||||||
balance | consolidated | balance | consolidated | ||||||||||||||||||||||||||||||
sheet | balance | sheet | balance | ||||||||||||||||||||||||||||||
sheet | sheet | ||||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||
Derivatives subject to master netting arrangements: | |||||||||||||||||||||||||||||||||
MBS put options | $ | 1,027 | $ | — | $ | 1,027 | $ | 272 | $ | — | $ | 272 | |||||||||||||||||||||
MBS call options | 93 | — | 93 | ||||||||||||||||||||||||||||||
Forward purchase contracts | 777 | — | 777 | 1,229 | — | 1,229 | |||||||||||||||||||||||||||
Forward sale contracts | 5,434 | — | 5,434 | 16,385 | — | 16,385 | |||||||||||||||||||||||||||
Treasury futures | 328 | — | 328 | — | — | — | |||||||||||||||||||||||||||
Put options on Eurodollar futures | 432 | — | 432 | 566 | — | 566 | |||||||||||||||||||||||||||
Call options on Eurodollar futures | 66 | — | 66 | — | — | — | |||||||||||||||||||||||||||
Netting | — | (3,738 | ) | (3,738 | ) | — | (12,986 | ) | (12,986 | ) | |||||||||||||||||||||||
8,157 | (3,738 | ) | 4,419 | 18,452 | (12,986 | ) | 5,466 | ||||||||||||||||||||||||||
Derivatives not subject to master netting arrangements: | |||||||||||||||||||||||||||||||||
Interest rate lock commitments | 3,509 | — | 3,509 | 2,510 | — | 2,510 | |||||||||||||||||||||||||||
$ | 11,666 | $ | (3,738 | ) | $ | 7,928 | $ | 20,962 | $ | (12,986 | ) | $ | 7,976 | ||||||||||||||||||||
Derivative Assets 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 netting. | |||||||||||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||||||||||
Gross amounts | Gross amounts | ||||||||||||||||||||||||||||||||
not offset in the | not offset in the | ||||||||||||||||||||||||||||||||
consolidated | consolidated | ||||||||||||||||||||||||||||||||
balance sheet | balance sheet | ||||||||||||||||||||||||||||||||
Net | Financial | Cash | Net | Net | Financial | Cash | Net | ||||||||||||||||||||||||||
amount | instruments | collateral | amount | amount | instruments | collateral | amount | ||||||||||||||||||||||||||
of assets | received | of assets | received | ||||||||||||||||||||||||||||||
presented | presented | ||||||||||||||||||||||||||||||||
in the | in the | ||||||||||||||||||||||||||||||||
balance | balance | ||||||||||||||||||||||||||||||||
sheet | sheet | ||||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||
Interest rate lock commitments | $ | 3,509 | $ | — | $ | — | $ | 3,509 | $ | 2,510 | $ | — | $ | — | $ | 2,510 | |||||||||||||||||
RBS Securities | 892 | — | — | 892 | — | — | — | — | |||||||||||||||||||||||||
RJ O’Brien | 826 | — | — | 826 | 566 | — | — | 566 | |||||||||||||||||||||||||
Citibank | 725 | — | — | 725 | — | — | — | — | |||||||||||||||||||||||||
Bank of America, N.A. | 594 | — | — | 594 | 1,024 | — | — | 1,024 | |||||||||||||||||||||||||
Wells Fargo | 245 | 245 | 378 | 378 | |||||||||||||||||||||||||||||
Credit Suisse First Boston Mortgage Capital LLC | 234 | — | — | 234 | — | — | — | — | |||||||||||||||||||||||||
Daiwa Capital Markets | 141 | — | — | 141 | 608 | — | — | 608 | |||||||||||||||||||||||||
Fannie Mae Capital Markets | — | — | — | — | 432 | — | — | 432 | |||||||||||||||||||||||||
Morgan Stanley Bank, N.A. | — | — | — | — | 546 | — | — | 546 | |||||||||||||||||||||||||
Cantor Fitzgerald LP | — | — | — | — | 613 | — | — | 613 | |||||||||||||||||||||||||
Other | 762 | — | — | 762 | 1,299 | — | — | 1,299 | |||||||||||||||||||||||||
Total | $ | 7,928 | $ | — | $ | — | $ | 7,928 | $ | 7,976 | $ | — | $ | — | $ | 7,976 | |||||||||||||||||
Offsetting of Derivative Liabilities and Financial Liabilities | |||||||||||||||||||||||||||||||||
Following is a summary of net derivative liabilities and assets sold under agreements to repurchase. As discussed above, all derivatives with the exception of IRLCs are subject to master netting arrangements. Assets sold under agreements to repurchase do not qualify for netting. | |||||||||||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||||||||||
Gross | Gross | Net | Gross | Gross | Net | ||||||||||||||||||||||||||||
amounts | amounts | amounts | amounts | amounts | amounts | ||||||||||||||||||||||||||||
of | offset | of liabilities | of | offset | of liabilities | ||||||||||||||||||||||||||||
recognized | in the | presented | recognized | in the | presented | ||||||||||||||||||||||||||||
liabilities | balance | in the | liabilities | balance | in the | ||||||||||||||||||||||||||||
sheet | balance | sheet | balance | ||||||||||||||||||||||||||||||
sheet | sheet | ||||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||
Derivatives subject to master netting arrangements: | |||||||||||||||||||||||||||||||||
Forward purchase contracts | $ | 3,547 | $ | — | $ | 3,547 | $ | 7,420 | $ | — | $ | 7,420 | |||||||||||||||||||||
Forward contracts | 1,219 | — | 1,219 | 1,295 | — | 1,295 | |||||||||||||||||||||||||||
MBS options | 333 | — | 333 | — | — | — | |||||||||||||||||||||||||||
Netting | — | (4,376 | ) | (4,376 | ) | — | (8,015 | ) | (8,015 | ) | |||||||||||||||||||||||
5,099 | (4,376 | ) | 723 | 8,715 | (8,015 | ) | 700 | ||||||||||||||||||||||||||
Derivatives not subject to master netting arrangements: | |||||||||||||||||||||||||||||||||
Interest rate lock commitments | 238 | — | 238 | 1,261 | — | 1,261 | |||||||||||||||||||||||||||
5,337 | (4,376 | ) | 961 | 9,976 | (8,015 | ) | 1,961 | ||||||||||||||||||||||||||
Assets sold under agreements to repurchase | 1,887,778 | — | 1,887,778 | 2,039,605 | — | 2,039,605 | |||||||||||||||||||||||||||
$ | 1,893,115 | $ | (4,376 | ) | $ | 1,888,739 | $ | 2,049,581 | $ | (8,015 | ) | $ | 2,041,566 | ||||||||||||||||||||
Derivative Liabilities, Financial Liabilities and Collateral Held 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 qualifying for offset. All assets sold under agreements to repurchase represent sufficient collateral or exceed the liability amount recorded on the consolidated balance sheet. | |||||||||||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||||||||||
Gross amounts | Gross amounts | ||||||||||||||||||||||||||||||||
not offset in the | not offset in the | ||||||||||||||||||||||||||||||||
consolidated | consolidated | ||||||||||||||||||||||||||||||||
balance sheet | balance sheet | ||||||||||||||||||||||||||||||||
Net amount of | Financial | Cash | Net | Net amount of | Financial | Cash | Net | ||||||||||||||||||||||||||
liabilities | instruments | collateral | amount | liabilities | instruments | collateral | amount | ||||||||||||||||||||||||||
presented | pledged | presented | pledged | ||||||||||||||||||||||||||||||
in the | in the | ||||||||||||||||||||||||||||||||
consolidated | consolidated | ||||||||||||||||||||||||||||||||
balance | balance | ||||||||||||||||||||||||||||||||
sheet | sheet | ||||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||
Citibank | $ | 778,460 | $ | (778,460 | ) | $ | — | $ | — | $ | 945,015 | $ | (944,856 | ) | $ | — | $ | 159 | |||||||||||||||
Credit Suisse First Boston Mortgage Capital LLC | 443,362 | (443,362 | ) | — | — | 523,546 | (523,546 | ) | — | — | |||||||||||||||||||||||
Bank of America, N.A. | 334,772 | (334,772 | ) | — | — | 408,452 | (408,452 | ) | — | — | |||||||||||||||||||||||
Deutsche Bank | — | — | — | 110 | — | 110 | |||||||||||||||||||||||||||
Daiwa Capital Markets | 130,825 | (130,825 | ) | — | — | 132,525 | (132,525 | ) | — | — | |||||||||||||||||||||||
Morgan Stanley Bank, N.A. | 109,884 | (109,707 | ) | — | 177 | 30,226 | (30,226 | ) | — | — | |||||||||||||||||||||||
RBS Securities | 90,652 | (90,652 | ) | — | — | — | — | — | — | ||||||||||||||||||||||||
JP Morgan | — | — | — | 228 | 228 | ||||||||||||||||||||||||||||
Interest rate lock commitments | 238 | — | — | 238 | 1,261 | — | — | 1,261 | |||||||||||||||||||||||||
Other | 546 | — | — | 546 | 203 | — | — | 203 | |||||||||||||||||||||||||
Total | $ | 1,888,739 | $ | (1,887,778 | ) | $ | — | $ | 961 | $ | 2,041,566 | $ | (2,039,605 | ) | $ | — | $ | 1,961 | |||||||||||||||
Fair_Value
Fair Value | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | ' | ||||||||||||||||||||||||
Fair Value | ' | ||||||||||||||||||||||||
Note 7—Fair Value | |||||||||||||||||||||||||
The Company’s consolidated financial statements include assets and liabilities that are measured based on their estimated fair values. Measurement at fair value may be on a recurring or nonrecurring basis depending on the accounting principles applicable to the specific asset or liability and whether management has elected to carry the item at its estimated fair value as discussed in the following paragraphs. | |||||||||||||||||||||||||
Fair Value Accounting Elections | |||||||||||||||||||||||||
Management identified all of its non-cash financial assets and MSRs relating to loans with initial interest rates of more than 4.5% to be accounted for at estimated fair value. Management has elected to account for these financial statement items 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. Management has also identified its asset-backed secured financing of the variable interest entity 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 mortgage loans held by variable interest entity which are also carried at fair value. | |||||||||||||||||||||||||
For MSRs relating to mortgage loans with initial interest rates of less than or equal to 4.5%, management concluded that such assets present different risks to the Company than MSRs relating to mortgage loans with initial interest rates of more than 4.5% and therefore require a different risk management approach. Management’s risk management efforts relating to these assets are aimed at moderating the effects of non-interest rate risks on fair value, such as the effect of changes in home prices on the assets’ values. Management has identified these assets for accounting at the lower of amortized cost or fair value. | |||||||||||||||||||||||||
The Company’s risk management efforts in connection with MSRs relating to mortgage loans with initial interest rates of more than 4.5% are generally aimed at moderating the effects of changes in interest rates on the assets’ values. During the quarters ended March 31, 2014 and 2013, derivatives were used to hedge the fair value changes of the MSRs. | |||||||||||||||||||||||||
For assets sold under agreements to repurchase, borrowings under forward purchase agreements and the Notes, management has determined that historical cost accounting is more appropriate because under this method debt issuance costs are amortized over the term of the debt, thereby matching the debt issuance cost to the periods benefiting from the usage of the debt. | |||||||||||||||||||||||||
Financial Statement Items Measured at Fair Value on a Recurring Basis | |||||||||||||||||||||||||
Following is a summary of financial statement items that are measured at estimated fair value on a recurring basis: | |||||||||||||||||||||||||
March 31, 2014 | |||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||
Short-term investments | $ | 91,338 | $ | — | $ | — | $ | 91,338 | |||||||||||||||||
Mortgage-backed securities at fair value | — | 198,110 | — | 198,110 | |||||||||||||||||||||
Mortgage loans acquired for sale at fair value | — | 344,680 | — | 344,680 | |||||||||||||||||||||
Mortgage loans at fair value | — | — | 2,079,020 | 2,079,020 | |||||||||||||||||||||
Mortgage loans under forward purchase agreements at fair value | — | — | 202,661 | 202,661 | |||||||||||||||||||||
Mortgage loans at fair value held by variable interest entity | — | 529,680 | — | 529,680 | |||||||||||||||||||||
Excess servicing spread purchased from PennyMac Financial Services, Inc. | — | — | 151,019 | 151,019 | |||||||||||||||||||||
Derivative assets: | |||||||||||||||||||||||||
Interest rate lock commitments | — | — | 3,509 | 3,509 | |||||||||||||||||||||
MBS put options | — | 1,027 | — | 1,027 | |||||||||||||||||||||
MBS call options | — | 93 | — | 93 | |||||||||||||||||||||
Forward purchase contracts | — | 777 | — | 777 | |||||||||||||||||||||
Forward sales contracts | — | 5,434 | — | 5,434 | |||||||||||||||||||||
Treasury futures | — | 328 | — | 328 | |||||||||||||||||||||
Put options on Eurodollar futures | — | 432 | — | 432 | |||||||||||||||||||||
Call options on Eurodollar futures | — | 66 | — | 66 | |||||||||||||||||||||
Total derivative assets before netting | — | 8,157 | 3,509 | 11,666 | |||||||||||||||||||||
Netting (1) | — | — | — | (3,738 | ) | ||||||||||||||||||||
Total derivative assets before netting | — | 8,157 | 3,509 | 7,928 | |||||||||||||||||||||
Mortgage servicing rights at fair value | — | — | 36,181 | 36,181 | |||||||||||||||||||||
$ | 91,338 | $ | 1,080,627 | $ | 2,472,390 | $ | 3,640,617 | ||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||
Asset-backed secured financing of the variable interest entity at fair value | $ | — | $ | 166,514 | $ | — | $ | 166,514 | |||||||||||||||||
Derivative liabilities: | |||||||||||||||||||||||||
Interest rate lock commitments | — | — | 238 | 238 | |||||||||||||||||||||
MBS call options | — | 333 | — | 333 | |||||||||||||||||||||
Forward purchase contracts | — | 3,547 | — | 3,547 | |||||||||||||||||||||
Forward sales contracts | — | 1,219 | — | 1,219 | |||||||||||||||||||||
Total derivative liabilities before netting | — | 5,099 | 238 | 5,337 | |||||||||||||||||||||
Netting (1) | — | — | — | (4,376 | ) | ||||||||||||||||||||
Total derivative liabilities | — | 5,099 | 238 | 961 | |||||||||||||||||||||
Total liabilities | $ | — | $ | 171,613 | $ | 238 | $ | 167,475 | |||||||||||||||||
-1 | Derivatives are reported net of cash collateral received and paid and, to the extent that the criteria of the accounting guidance covering the offsetting of amounts related to certain contracts are met, positions with the same counterparty are netted as part of a legally enforceable master netting agreement. | ||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||
Short-term investments | $ | 92,398 | $ | — | $ | — | $ | 92,398 | |||||||||||||||||
Mortgage-backed securities at fair value | — | 197,401 | — | 197,401 | |||||||||||||||||||||
Mortgage loans acquired for sale at fair value | — | 458,137 | — | 458,137 | |||||||||||||||||||||
Mortgage loans at fair value | — | — | 2,076,665 | 2,076,665 | |||||||||||||||||||||
Mortgage loans under forward purchase agreements at fair value | — | — | 218,128 | 218,128 | |||||||||||||||||||||
Mortgage loans at fair value held by variable interest entity | — | 523,652 | — | 523,652 | |||||||||||||||||||||
Excess servicing spread purchased from PennyMac Financial Services, Inc. | — | — | 138,723 | 138,723 | |||||||||||||||||||||
Derivative assets: | |||||||||||||||||||||||||
Interest rate lock commitments | — | — | 2,510 | 2,510 | |||||||||||||||||||||
MBS put options | — | 272 | — | 272 | |||||||||||||||||||||
Forward purchase contracts | — | 1,229 | — | 1,229 | |||||||||||||||||||||
Forward sales contracts | — | 16,385 | — | 16,385 | |||||||||||||||||||||
Options on Eurodollar futures | — | 566 | — | 566 | |||||||||||||||||||||
Total derivative assets before netting | — | 18,452 | 2,510 | 20,962 | |||||||||||||||||||||
Netting (1) | — | — | — | (12,986 | ) | ||||||||||||||||||||
Total derivative assets | — | 18,452 | 2,510 | 7,976 | |||||||||||||||||||||
Mortgage servicing rights at fair value | — | — | 26,452 | 26,452 | |||||||||||||||||||||
$ | 92,398 | $ | 1,197,642 | $ | 2,462,478 | $ | 3,739,532 | ||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||
Asset-backed secured financing of the variable interest entity at fair value | $ | — | $ | 165,415 | $ | — | $ | 165,415 | |||||||||||||||||
Derivative liabilities: | |||||||||||||||||||||||||
Interest rate lock commitments | — | — | 1,261 | 1,261 | |||||||||||||||||||||
Forward purchase contracts | — | 7,420 | — | 7,420 | |||||||||||||||||||||
Forward sales contracts | — | 1,295 | — | 1,295 | |||||||||||||||||||||
Total derivative liabilities | — | 8,715 | 1,261 | 9,976 | |||||||||||||||||||||
Netting (1) | — | — | — | (8,015 | ) | ||||||||||||||||||||
Total derivative liabilities | — | 8,715 | 1,261 | 1,961 | |||||||||||||||||||||
Total liabilities | $ | — | $ | 174,130 | $ | 1,261 | $ | 167,376 | |||||||||||||||||
-1 | Derivatives are reported net of cash collateral received and paid and, to the extent that the criteria of the accounting guidance covering the offsetting of amounts related to certain contracts are met, positions with the same counterparty are netted as part of a legally enforceable master netting agreement. | ||||||||||||||||||||||||
The following is a summary of changes in items measured using Level 3 inputs on a recurring basis: | |||||||||||||||||||||||||
Mortgage | Mortgage | Excess | Interest | Mortgage | Total | ||||||||||||||||||||
loans | loans under | servicing | rate lock | servicing | |||||||||||||||||||||
at fair value | forward | spread | commitments(1) | rights | |||||||||||||||||||||
purchase | |||||||||||||||||||||||||
agreements | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||
Balance, December 31, 2013 | $ | 2,076,665 | $ | 218,128 | $ | 138,723 | $ | 1,249 | $ | 26,452 | $ | 2,461,217 | |||||||||||||
Purchases | 256,280 | 920 | 20,526 | — | — | 277,726 | |||||||||||||||||||
Repayments | (54,436 | ) | (5,329 | ) | (7,413 | ) | — | — | (67,178 | ) | |||||||||||||||
Accrual of interest | — | — | 2,862 | — | — | 2,862 | |||||||||||||||||||
ESS received pursuant to a recapture agreement with PFSI | — | — | 1,113 | — | — | 1,113 | |||||||||||||||||||
Interest rate lock commitments issued, net | — | — | — | 12,596 | — | 12,596 | |||||||||||||||||||
Capitalization of interest | 11,726 | 744 | — | — | — | 12,470 | |||||||||||||||||||
Sales | (192,403 | ) | — | — | — | — | (192,403 | ) | |||||||||||||||||
Servicing received as proceeds from sales of mortgage loans | — | — | — | — | 11,757 | 11,757 | |||||||||||||||||||
Changes in fair value included in income arising from: | |||||||||||||||||||||||||
Changes in instrument-specific credit risk | 15,742 | 2,397 | 18,139 | ||||||||||||||||||||||
Other factors | 25,116 | (3,337 | ) | (4,792 | ) | 2,430 | (2,028 | ) | 17,389 | ||||||||||||||||
40,858 | (940 | ) | (4,792 | ) | 2,430 | (2,028 | ) | 35,528 | |||||||||||||||||
Transfers of mortgage loans under forward purchase agreements to mortgage loans | 4,460 | (4,460 | ) | — | — | — | — | ||||||||||||||||||
Transfers of mortgage loans to REO | (64,130 | ) | — | — | — | — | (64,130 | ) | |||||||||||||||||
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements | — | (6,402 | ) | — | — | — | (6,402 | ) | |||||||||||||||||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | — | — | — | (13,004 | ) | — | (13,004 | ) | |||||||||||||||||
Balance, March 31, 2014 | $ | 2,079,020 | $ | 202,661 | $ | 151,019 | $ | 3,271 | $ | 36,181 | $ | 2,472,152 | |||||||||||||
Changes in fair value recognized during the period relating to assets still held at March 31, 2014 | $ | 34,209 | $ | (1,623 | ) | $ | (4,792 | ) | $ | 3,271 | $ | (2,028 | ) | $ | 29,037 | ||||||||||
-1 | For the purpose of this table, the interest rate lock asset and liability positions are shown net. | ||||||||||||||||||||||||
March 31, 2013 | |||||||||||||||||||||||||
Mortgage | Interest | Mortgage | Total | ||||||||||||||||||||||
loans | rate lock | servicing | |||||||||||||||||||||||
at fair value | commitments(1) | rights | |||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||
Balance, December 31, 2012 | $ | 1,189,971 | $ | 19,479 | $ | 1,346 | $ | 1,210,796 | |||||||||||||||||
Purchases | 200,473 | — | — | 200,473 | |||||||||||||||||||||
Repayments | (61,421 | ) | — | — | (61,421 | ) | |||||||||||||||||||
Interest rate lock commitments issued, net | — | 35,414 | — | 35,414 | |||||||||||||||||||||
Capitalization of interest | 5,230 | — | — | 5,230 | |||||||||||||||||||||
Servicing received as proceeds from sales of mortgage loans | — | — | 26 | 26 | |||||||||||||||||||||
Changes in fair value included in income arising from: | |||||||||||||||||||||||||
Changes in instrument-specific credit risk | 8,445 | 8,445 | |||||||||||||||||||||||
Other factors | 55,535 | — | (67 | ) | 55,468 | ||||||||||||||||||||
63,980 | — | (67 | ) | 63,913 | |||||||||||||||||||||
Transfers of mortgage loans to REO | (31,311 | ) | — | — | (31,311 | ) | |||||||||||||||||||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | — | (43,841 | ) | — | (43,841 | ) | |||||||||||||||||||
Balance, March 31, 2013 | $ | 1,366,922 | $ | 11,052 | $ | 1,305 | $ | 1,379,279 | |||||||||||||||||
Changes in fair value recognized during the period relating to assets still held at March 31, 2013 | $ | 50,608 | $ | 11,052 | $ | (67 | ) | $ | 61,593 | ||||||||||||||||
-1 | For the purpose of this table, the interest rate lock asset and liability positions are shown net. | ||||||||||||||||||||||||
Following are the fair values and related principal amounts due upon maturity of mortgage loans accounted for under the fair value option (including mortgage loans acquired for sale, mortgage loans at fair value, mortgage loans under forward purchase agreements at fair value and mortgage loans at fair value held by variable interest entity): | |||||||||||||||||||||||||
March 31, 2014 | |||||||||||||||||||||||||
Fair value | Principal | Difference | |||||||||||||||||||||||
amount due | |||||||||||||||||||||||||
upon maturity | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Mortgage loans acquired for sale: | |||||||||||||||||||||||||
Current through 89 days delinquent | $ | 344,515 | $ | 332,267 | $ | 12,248 | |||||||||||||||||||
90 or more days delinquent (1) | |||||||||||||||||||||||||
Not in foreclosure | 165 | 162 | 3 | ||||||||||||||||||||||
In foreclosure | — | — | — | ||||||||||||||||||||||
344,680 | 332,429 | 12,251 | |||||||||||||||||||||||
Mortgage loans and mortgage loans under forward purchase agreements at fair value: | |||||||||||||||||||||||||
Current through 89 days delinquent | 541,634 | 859,763 | (318,129 | ) | |||||||||||||||||||||
90 or more days delinquent (1) | |||||||||||||||||||||||||
Not in foreclosure | 719,726 | 1,149,611 | (429,885 | ) | |||||||||||||||||||||
In foreclosure | 1,020,321 | 1,635,615 | (615,294 | ) | |||||||||||||||||||||
2,281,681 | 3,644,989 | (1,363,308 | ) | ||||||||||||||||||||||
Mortgage loans at fair value held by variable interest entity: | |||||||||||||||||||||||||
Current through 89 days delinquent | 529,680 | 537,804 | (8,124 | ) | |||||||||||||||||||||
90 or more days delinquent (1) | |||||||||||||||||||||||||
Not in foreclosure | — | — | — | ||||||||||||||||||||||
In foreclosure | — | — | — | ||||||||||||||||||||||
529,680 | 537,804 | (8,124 | ) | ||||||||||||||||||||||
$ | 3,156,041 | $ | 4,515,222 | $ | (1,359,181 | ) | |||||||||||||||||||
-1 | Loans delinquent 90 or more days are placed on nonaccrual status and previously accrued interest is reversed. | ||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
Fair value | Principal | Difference | |||||||||||||||||||||||
amount due | |||||||||||||||||||||||||
upon maturity | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Mortgage loans acquired for sale: | |||||||||||||||||||||||||
Current through 89 days delinquent | $ | 457,968 | $ | 447,224 | $ | 10,744 | |||||||||||||||||||
90 or more days delinquent (1) | |||||||||||||||||||||||||
Not in foreclosure | 169 | 162 | 7 | ||||||||||||||||||||||
In foreclosure | — | — | — | ||||||||||||||||||||||
458,137 | 447,386 | 10,751 | |||||||||||||||||||||||
Mortgage loans and mortgage loans under forward purchase agreements at fair value: | |||||||||||||||||||||||||
Current through 89 days delinquent | 647,266 | 962,919 | (315,653 | ) | |||||||||||||||||||||
90 or more days delinquent (1) | |||||||||||||||||||||||||
Not in foreclosure | 738,043 | 1,190,403 | (452,360 | ) | |||||||||||||||||||||
In foreclosure | 909,484 | 1,493,644 | (584,160 | ) | |||||||||||||||||||||
2,294,793 | 3,646,966 | (1,352,173 | ) | ||||||||||||||||||||||
Mortgage loans at fair value held by variable interest entity: | |||||||||||||||||||||||||
Current through 89 days delinquent | 523,652 | 543,257 | (19,605 | ) | |||||||||||||||||||||
90 or more days delinquent (1) | |||||||||||||||||||||||||
Not in foreclosure | — | — | — | ||||||||||||||||||||||
In foreclosure | — | — | — | ||||||||||||||||||||||
523,652 | 543,257 | (19,605 | ) | ||||||||||||||||||||||
$ | 3,276,582 | $ | 4,637,609 | $ | (1,361,027 | ) | |||||||||||||||||||
-1 | Loans delinquent 90 or more days are placed on nonaccrual status and previously accrued interest is reversed. | ||||||||||||||||||||||||
Following are the changes in fair value included in current period income by consolidated statement of income line item for financial statement items accounted for under the fair value option: | |||||||||||||||||||||||||
Quarter ended March 31, 2014 | |||||||||||||||||||||||||
Net gain on | Net | Net gain | Net loan | Total | |||||||||||||||||||||
mortgage | interest | on | servicing | ||||||||||||||||||||||
loans | income | investments | fees | ||||||||||||||||||||||
acquired | |||||||||||||||||||||||||
for sale | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||
Short-term investments | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Mortgage-backed securities at fair value | — | 33 | 2,652 | — | 2,685 | ||||||||||||||||||||
Mortgage loans acquired for sale at fair value | 18,632 | — | — | — | 18,632 | ||||||||||||||||||||
Mortgage loans at fair value | — | — | 40,858 | — | 40,858 | ||||||||||||||||||||
Mortgage loans under forward purchase agreements at fair value | — | — | (940 | ) | — | (940 | ) | ||||||||||||||||||
Mortgage loans at fair value held by variable interest entity | — | 330 | 11,307 | — | 11,637 | ||||||||||||||||||||
Excess servicing spread at fair value | — | — | (2,901 | ) | — | (2,901 | ) | ||||||||||||||||||
Mortgage servicing rights at fair value | — | — | — | (2,027 | ) | (2,027 | ) | ||||||||||||||||||
$ | 18,632 | $ | 363 | $ | 50,976 | $ | (2,027 | ) | $ | 67,944 | |||||||||||||||
Liabilities: | |||||||||||||||||||||||||
Asset-backed secured financing of the variable interest entity at fair value | $ | — | $ | (124 | ) | $ | (2,780 | ) | $ | — | $ | (2,904 | ) | ||||||||||||
$ | — | $ | (124 | ) | $ | (2,780 | ) | $ | — | $ | (2,904 | ) | |||||||||||||
Quarter ended March 31, 2013 | |||||||||||||||||||||||||
Net gain on | Net | Net gain on | Net loan | Total | |||||||||||||||||||||
mortgage | interest | investments | servicing | ||||||||||||||||||||||
loans | income | fees | |||||||||||||||||||||||
acquired | |||||||||||||||||||||||||
for sale | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||
Short-term investments | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Mortgage loans acquired for sale at fair value | 24,757 | — | — | — | 24,757 | ||||||||||||||||||||
Mortgage loans at fair value | — | — | 63,980 | — | 63,980 | ||||||||||||||||||||
Mortgage servicing rights at fair value | — | — | — | (67 | ) | (67 | ) | ||||||||||||||||||
$ | 24,757 | $ | — | $ | 63,980 | $ | (67 | ) | $ | 88,670 | |||||||||||||||
Financial Statement Items Measured at Fair Value on a Nonrecurring Basis | |||||||||||||||||||||||||
Following is a summary of financial statement items that are measured at estimated fair value on a nonrecurring basis: | |||||||||||||||||||||||||
March 31, 2014 | |||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Real estate asset acquired in settlement of loans | $ | — | $ | — | $ | 75,025 | $ | 75,025 | |||||||||||||||||
Real estate asset acquired in settlement of loans under forward purchase agreements | — | — | 10,236 | 10,236 | |||||||||||||||||||||
Mortgage servicing rights at lower of amortized cost or fair value | — | — | 49,108 | 49,108 | |||||||||||||||||||||
$ | — | $ | — | $ | 134,369 | $ | 134,369 | ||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Real estate asset acquired in settlement of loans | $ | — | $ | — | $ | 63,043 | $ | 63,043 | |||||||||||||||||
Real estate asset acquired in settlement of loans under forward purchase agreements | — | — | 7,760 | 7,760 | |||||||||||||||||||||
Mortgage servicing rights at lower of amortized cost or fair value | — | — | 184,067 | 184,067 | |||||||||||||||||||||
$ | — | $ | — | $ | 254,870 | $ | 254,870 | ||||||||||||||||||
The following table summarizes the net losses recognized during the period on assets measured at estimated fair values on a nonrecurring basis: | |||||||||||||||||||||||||
Quarter ended March 31, | |||||||||||||||||||||||||
2014 | 2013 | ||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Real estate asset acquired in settlement of loans | $ | (7,314 | ) | $ | (4,954 | ) | |||||||||||||||||||
Real estate asset acquired in settlement of loans under forward purchase agreements | (528 | ) | — | ||||||||||||||||||||||
Mortgage servicing rights at lower of amortized cost or fair value | (627 | ) | 2,486 | ||||||||||||||||||||||
$ | (8,469 | ) | $ | (2,468 | ) | ||||||||||||||||||||
Real Estate Acquired in Settlement of Loans | |||||||||||||||||||||||||
The Company measures its investment in REO at the respective properties’ estimated fair values less cost to sell on a nonrecurring basis. The initial carrying value of the REO is measured by cost in the case of purchased REO or by the fair value of the property at the time of acquisition in the case of acquisition in settlement of a loan. REO may be subsequently revalued due to the Company receiving greater access to the property, the property being held for an extended period or management receiving indications that the property’s 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 value at which the property was initially recorded is recognized in Results of real estate acquired in settlement of loans in the consolidated statements of income. | |||||||||||||||||||||||||
Mortgage Servicing Rights at Lower of Amortized Cost or Fair Value | |||||||||||||||||||||||||
The Company evaluates its MSRs at lower of amortized cost or fair value for impairment with reference to the assets’ fair value. For purposes of performing its MSR impairment evaluation, the Company stratifies its MSRs at lower of amortized cost or fair value based on the interest rates borne by the mortgage loans underlying the MSRs. Mortgage loans are grouped into pools of mortgage loans with 50 basis point interest rate ranges for fixed-rate mortgage loans with interest rates between 3% and 4.5% and a single pool for mortgage loans with interest rates below 3%. MSRs relating to adjustable rate mortgage loans with initial interest rates of 4.5% or less are evaluated in a single pool. If the fair value of MSRs in any of the interest rate pools is below the amortized cost of the MSRs for that pool reduced by the existing valuation allowance, those MSRs are impaired. | |||||||||||||||||||||||||
When MSRs are impaired, the impairment is recognized in current-period income and the carrying value of the MSRs is adjusted using a valuation allowance. If the value of the MSRs subsequently increases, the increase in value is recognized in current period income only to the extent of the valuation allowance for the respective impairment stratum. | |||||||||||||||||||||||||
Management periodically reviews the various impairment strata to determine whether the value of the impaired MSRs in a given stratum is likely to recover. When management deems recovery of the value to be unlikely in the foreseeable future, a write-down of the cost of the MSRs for that stratum to its estimated recoverable value is charged to the valuation allowance. | |||||||||||||||||||||||||
Fair Value of Financial Instruments Carried at Amortized Cost | |||||||||||||||||||||||||
The Company’s cash balances as well as certain of its borrowings are carried at amortized cost. Management has concluded that the estimated fair values of Cash, Securities sold under agreements to repurchase, Mortgage loans acquired for sale at fair value sold under agreements to repurchase, Mortgage loans at fair value sold under agreements to repurchase, Mortgage loans at fair value held by variable interest entity sold under agreements to repurchase, Real estate acquired in settlement of loans financed under agreements to repurchase, and Borrowings under forward purchase agreements approximate the agreements’ carrying values due to the immediate realizability of cash at its carrying amount and to the borrowing agreements’ short terms and variable interest rates. | |||||||||||||||||||||||||
Cash is measured using Level 1 inputs. The Company’s assets sold under agreements to repurchase and borrowings under forward purchase agreements are carried at amortized cost. The Company has classified these financial instruments as “Level 3” financial statement items as of March 31, 2014 due to the lack of current market activity and the Company’s reliance on unobservable inputs to estimate these instruments’ fair values. | |||||||||||||||||||||||||
Exchangeable Senior Notes are carried at amortized cost. The fair value of the Notes at March 31, 2014 was $242.0 million. The fair value of the Notes is estimated using a broker indication of value. The Company has classified the Notes as “Level 3” financial statement items as of March 31, 2014 due to the lack of current market activity and the reliance on the broker’s quote to estimate the instrument’s fair values. | |||||||||||||||||||||||||
Valuation Techniques and Assumptions | |||||||||||||||||||||||||
Most of the Company’s assets and a portion of its liabilities are carried at fair value with changes in fair value recognized in current period income. A substantial portion of those items are “Level 3” financial statement items which require the use of significant unobservable inputs in the estimation of the assets’ and liabilities’ fair values. Unobservable inputs reflect the Company’s own assumptions about the factors that market participants use in pricing an asset or liability, and are based on the best information available under the circumstances. | |||||||||||||||||||||||||
PFSI has assigned the responsibility for estimating the fair values of “Level 3” financial statement items to its Financial Analysis and Valuation group (the “FAV group”), which is responsible for valuing and monitoring the Company’s investment portfolios and maintenance of its valuation policies and procedures. | |||||||||||||||||||||||||
The FAV group reports to PFSI’s valuation committee, which oversees and approves the valuations. The valuation committee includes the chief executive, financial, operating, credit, and asset/liability management officers of PFSI. The FAV group monitors the models used for valuation of the Company’s “Level 3” financial statement items, including the models’ performance versus actual results and reports those results to the valuation committee. The results developed in the FAV group’s monitoring activities are used to calibrate subsequent projections used for valuation. | |||||||||||||||||||||||||
The FAV group is responsible for reporting to PFSI’s valuation committee on a monthly basis on the changes in the valuation of the Level 3 assets and liabilities it values, including major factors affecting the valuation and any changes in model methods and assumptions. To assess the reasonableness of its valuations, the FAV group presents an analysis of the effect on the valuation of each of the changes to the significant inputs to the valuation models. | |||||||||||||||||||||||||
The following describes the valuation techniques and assumptions used in estimating the fair values of Level 2 and Level 3 financial statement items: | |||||||||||||||||||||||||
Mortgage-Backed Securities | |||||||||||||||||||||||||
The Company’s MBS securities are presently Agency MBS. Agency MBS are categorized as “Level 2” financial statement items. Fair value of Agency MBS is estimated based on quoted market prices for similar securities. | |||||||||||||||||||||||||
Mortgage Loans | |||||||||||||||||||||||||
Fair value of mortgage loans is estimated based on whether the mortgage loans are saleable into active markets: | |||||||||||||||||||||||||
• | Mortgage loans that are saleable into active markets, comprised of the Company’s mortgage loans acquired for sale at fair value and mortgage loans at fair value held by variable interest entity, are categorized as “Level 2” financial statement items. The fair values of mortgage loans acquired for sale at fair value are estimated using their quoted market or contracted price or market price equivalent. For mortgage loans at fair value held by variable interest entity, the fair values of all of the individual securities issued by the securitization trust are used to derive a price for the mortgage loans. | ||||||||||||||||||||||||
• | Loans that are not saleable into active markets, comprised of the Company’s mortgage loans at fair value and mortgage loans under forward purchase agreements at fair value, are categorized as “Level 3” financial statement items and their fair values are estimated using a discounted cash flow approach. Inputs to the discounted cash flow model include current interest rates, loan amount, payment status, property type or contracted selling price, discount rates and forecasts of future interest rates, home prices, prepayment speeds, default speeds and loss severities. | ||||||||||||||||||||||||
The valuation process includes the computation by stratum of loan population and a review for reasonableness of various measures such as weighted average life, projected prepayment and default speeds, and projected default and loss percentages. The FAV group computes the effect on the valuation of changes in input variables such as interest rates, home prices, and delinquency status to assess the reasonableness of changes in the loan valuation. The results of the estimates of fair value of “Level 3” mortgage loans are reported to PFSI’s valuation committee as part of its review and approval of monthly valuation results. | |||||||||||||||||||||||||
Changes in fair value attributable to changes in instrument-specific credit risk are measured by the effect on fair value of the change in the respective loan’s delinquency status at period-end from the later of the beginning of the period or acquisition date. | |||||||||||||||||||||||||
The significant unobservable inputs used in the fair value measurement of the Company’s mortgage loans at fair value and mortgage loans under forward purchase agreements at fair value are discount rate, home price projections, voluntary prepayment speeds and default speeds. Significant changes in any of those inputs in isolation could result in a significant change to the loans’ fair value measurement. Increases in home price projections are generally accompanied by an increase in voluntary prepayment speeds. | |||||||||||||||||||||||||
Following is a quantitative summary of key inputs used in the valuation of mortgage loans at fair value and mortgage loans under forward purchase agreements at fair value: | |||||||||||||||||||||||||
Range | |||||||||||||||||||||||||
(Weighted average) | |||||||||||||||||||||||||
Key inputs | March 31, 2014 | December 31, 2013 | |||||||||||||||||||||||
Mortgage loans at fair value | |||||||||||||||||||||||||
Discount rate | 8.5% – 16.9% | 8.7% – 16.9% | |||||||||||||||||||||||
-12.40% | -12.70% | ||||||||||||||||||||||||
Twelve-month projected housing price index change | 2.1% – 3.8% | 2.5% – 4.3% | |||||||||||||||||||||||
-3.50% | -3.70% | ||||||||||||||||||||||||
Prepayment speed(1) | 0.0% – 6.0% | 0.0% – 3.9% | |||||||||||||||||||||||
-2.10% | -2.00% | ||||||||||||||||||||||||
Total prepayment speed (2) | 0.6% – 32.9% | 0.3% – 33.9% | |||||||||||||||||||||||
-23.60% | -24.30% | ||||||||||||||||||||||||
Mortgage loans under forward purchase agreements | |||||||||||||||||||||||||
Discount rate | 8.5% – 15.2% | 9.5% – 13.5% | |||||||||||||||||||||||
-12.50% | -11.90% | ||||||||||||||||||||||||
Twelve-month projected housing price index change | 3.2% – 3.8% | 3.3% – 4.2% | |||||||||||||||||||||||
-3.60% | -3.80% | ||||||||||||||||||||||||
Prepayment speed(1) | 1.9% – 3.9% | 1.1% – 2.9% | |||||||||||||||||||||||
-2.70% | -2.20% | ||||||||||||||||||||||||
Total prepayment speed (2) | 11.3% – 26.6% | 13.4% – 27.9% | |||||||||||||||||||||||
-21.60% | -22.80% | ||||||||||||||||||||||||
-1 | Prepayment speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”). | ||||||||||||||||||||||||
-2 | Total prepayment speed is measured using Life Total CPR. | ||||||||||||||||||||||||
Excess Servicing Spread Purchased from PennyMac Financial Services, Inc. | |||||||||||||||||||||||||
The Company categorizes ESS as a “Level 3” financial statement item. The Company uses a discounted cash flow approach to estimate the fair value of ESS. The key inputs used in the estimation of the fair value of ESS include prepayment speed and discount rate. Significant changes to those inputs in isolation could result in a significant change in the ESS fair value measurement. Changes in these key inputs are not necessarily directly related. | |||||||||||||||||||||||||
ESS is generally subject to loss in value when interest rates decrease. Decreasing mortgage rates normally encourage increased mortgage refinancing activity. Increased refinancing activity reduces the life of the loans underlying the ESS, thereby reducing ESS value. Reductions in the value of ESS affect income primarily through change in fair value. | |||||||||||||||||||||||||
Interest income for ESS is accrued using the interest method, based upon the expected interest yield from the ESS through the expected life of the underlying mortgages. Changes to expected interest yield result in a change in interest income which is recorded in Interest income. Changes to expected cash flows result in a change to fair value that is recognized in Net gain (loss) on investments. | |||||||||||||||||||||||||
Following are the key inputs used in determining the fair value of ESS: | |||||||||||||||||||||||||
Range | |||||||||||||||||||||||||
(Weighted average) | |||||||||||||||||||||||||
Key inputs | March 31, 2014 | December 31, 2013 | |||||||||||||||||||||||
Unpaid principal balance of underlying mortgage loans (in thousands) | $ | 22,246,336 | $ | 20,512,659 | |||||||||||||||||||||
Average servicing fee rate (in basis points) | 32 | 32 | |||||||||||||||||||||||
Average ESS rate (in basis points) | 16 | 16 | |||||||||||||||||||||||
Pricing spread (1) | 1.7% – 14.4% | 2.8% - 14.4% | |||||||||||||||||||||||
-4.80% | -5.40% | ||||||||||||||||||||||||
Life (in years) | 0. 6 - 7.3 | 0.9 - 8.0 | |||||||||||||||||||||||
-5.7 | -6.1 | ||||||||||||||||||||||||
Annual total prepayment speed (2) | 7.7% – 63.8% | 7.7% - 48.6% | |||||||||||||||||||||||
-10.40% | -9.70% | ||||||||||||||||||||||||
-1 | Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar London Interbank Offered Rate (“LIBOR”) curve for purposes of discounting cash flows relating to ESS. | ||||||||||||||||||||||||
-2 | Prepayment speed is measured using Life Total CPR. | ||||||||||||||||||||||||
Derivative Financial Instruments | |||||||||||||||||||||||||
The Company estimates the fair value of IRLCs based on quoted Agency MBS prices, its estimate of the fair value of the MSRs it expects to receive in the sale of the loans and the probability that the mortgage loan will be purchased as a percentage of the commitments it has made (the “pull-through rate”). The Company categorizes IRLCs as “Level 3” financial statement items. | |||||||||||||||||||||||||
The significant unobservable inputs used in the fair value measurement of the Company’s IRLCs are the pull-through rate and the MSR component of the Company’s estimate of the value of the mortgage loans it has committed to purchase. Significant changes in the pull-through rate and the MSR component of the IRLCs, in isolation, could result in a significant change in fair value measurement. The financial effects of changes in these assumptions are generally inversely correlated as increasing interest rates have a positive effect on the fair value of the MSR component of IRLC value, but increase the pull-through rate for loans that have decreased in fair value. | |||||||||||||||||||||||||
Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs: | |||||||||||||||||||||||||
Range | |||||||||||||||||||||||||
(Weighted average) | |||||||||||||||||||||||||
Key inputs | March 31, 2014 | December 31, 2013 | |||||||||||||||||||||||
Pull-through rate | 64.0% - 98.0% | 64.8% - 98.0% | |||||||||||||||||||||||
-83.50% | -86.40% | ||||||||||||||||||||||||
MSR value expressed as: | |||||||||||||||||||||||||
Servicing fee multiple | 2.1 - 4.9 | 1.4 - 5.1 | |||||||||||||||||||||||
-3.9 | -4.1 | ||||||||||||||||||||||||
Percentage of unpaid principal balance | 0.5% - 1.2% | 0.4% - 1.3% | |||||||||||||||||||||||
-1.00% | -1.00% | ||||||||||||||||||||||||
The Company estimates the fair value of commitments to sell loans based on quoted MBS prices. The Company estimates the fair value of the interest rate options and futures it purchases and sells based on observed interest rate volatilities in the MBS market. | |||||||||||||||||||||||||
Real Estate Acquired in Settlement of Loans | |||||||||||||||||||||||||
REO is measured based on its fair value on a nonrecurring basis and is categorized as a “Level 3” financial statement item. Fair value of REO is estimated by using a current estimate of value from a broker’s price opinion or a full appraisal, or the price given in a current contract of sale. | |||||||||||||||||||||||||
REO values are reviewed by PCM’s staff appraisers when the Company obtains multiple indications of value and there is a significant difference between the values received. PCM’s staff appraisers will attempt to resolve the difference between the indications of value. In circumstances where the appraisers are not able to generate adequate data to support a value conclusion, the staff appraisers will order an additional appraisal to determine the value. | |||||||||||||||||||||||||
Mortgage Servicing Rights | |||||||||||||||||||||||||
MSRs are categorized as “Level 3” financial statement items. The Company uses a discounted cash flow approach to estimate the fair value of MSRs. The key inputs used in the Company’s discounted cash flow model are based on market factors which management believes are consistent with inputs and data used by market participants valuing similar MSRs. The key inputs used in the estimation of the fair value of MSRs include prepayment and default rates of the underlying loans, the applicable pricing spread or discount rate, and annual per-loan cost to service mortgage 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 necessarily directly related. The results of the estimates of fair value of MSRs are reported to PFSI’s valuation committee as part of their review and approval of monthly valuation results. | |||||||||||||||||||||||||
MSRs are generally subject to loss in value when mortgage interest rates decrease. Decreasing mortgage interest rates normally encourage increased mortgage refinancing activity. Increased refinancing activity reduces the life of the loans underlying the MSRs, thereby reducing MSR value. Reductions in the value of MSRs affect income primarily through change in fair value and impairment charges. For MSRs backed by mortgage loans with historically low interest rates, factors other than interest rates (such as housing price changes) take on increasing influence on prepayment behavior of the underlying mortgage loans. | |||||||||||||||||||||||||
Following are the key inputs used in determining the fair value of MSRs at the time of initial recognition: | |||||||||||||||||||||||||
Quarter ended March 31, | |||||||||||||||||||||||||
2014 | 2013 | ||||||||||||||||||||||||
Range | |||||||||||||||||||||||||
(Weighted average) | |||||||||||||||||||||||||
Key inputs | Amortized cost | Fair value | Amortized cost | Fair value | |||||||||||||||||||||
(MSR recognized and unpaid principal balance of underlying loan amounts in thousands) | |||||||||||||||||||||||||
MSR recognized | $ | 9,118 | $ | 11,757 | $ | 56,190 | $ | 26 | |||||||||||||||||
Unpaid principal balance of underlying mortgage loans | $ | 850,548 | $ | 1,091,714 | $ | 5,003,557 | $ | 2,600 | |||||||||||||||||
Weighted-average annual servicing fee rate (in basis points) | 25 | 25 | 25 | 33 | |||||||||||||||||||||
Pricing spread (1) | 6.3% – 14.3% | 8.5% – 12.3% | 5.4% – 14.4% | 7.5% - 14.4% | |||||||||||||||||||||
-8.50% | -8.90% | -7.00% | -8.50% | ||||||||||||||||||||||
Life (in years) | 1.1 – 7.3 | 2.8 – 7.3 | 2.7 - 6.9 | 2.8 - 6.8 | |||||||||||||||||||||
-5.9 | -7.1 | -6.4 | -6.1 | ||||||||||||||||||||||
Annual total prepayment speed (2) | 7.6% – 56.4% | 8.0% – 23.8% | 8.5% – 22.7% | 10.4% - 27.0% | |||||||||||||||||||||
-10.30% | -9.30% | -9.10% | -14.40% | ||||||||||||||||||||||
Annual per-loan cost of servicing | $68 – $68 | $68 – $68 | $68 – $140 | $68 - $68 | |||||||||||||||||||||
($68) | ($68) | ($68) | ($68) | ||||||||||||||||||||||
-1 | Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs acquired as proceeds from the sale of mortgage loans. | ||||||||||||||||||||||||
-2 | Prepayment speed is measured using Life Total CPR. | ||||||||||||||||||||||||
Following is a quantitative summary of key inputs used in the valuation of MSRs as of the dates presented, and the effect on the estimated fair value from adverse changes in those assumptions (weighted averages are based upon unpaid principal balance or fair value where applicable): | |||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||
Range | |||||||||||||||||||||||||
(Weighted average) | |||||||||||||||||||||||||
Amortized cost | Fair value | Amortized cost | Fair value | ||||||||||||||||||||||
(Carrying value, unpaid principal balance and effect on value amounts in | |||||||||||||||||||||||||
thousands) | |||||||||||||||||||||||||
Carrying value | $ | 265,246 | $ | 36,181 | $ | 264,120 | $ | 26,452 | |||||||||||||||||
Key inputs: | |||||||||||||||||||||||||
Unpaid principal balance of underlying mortgage loans | $ | 23,897,201 | $ | 3,426,693 | $ | 23,399,612 | $ | 2,393,321 | |||||||||||||||||
Weighted-average annual servicing fee rate (in basis points) | 26 | 26 | 26 | 26 | |||||||||||||||||||||
Weighted-average note interest rate | 3.70% | 4.79% | 3.68% | 4.78% | |||||||||||||||||||||
Pricing spread (1) | 6.3% – 17.5% | 7.3% – 15.3% | 6.3% – 17.5% | 7.3% – 15.3% | |||||||||||||||||||||
-6.90% | -8.80% | -6.70% | -8.60% | ||||||||||||||||||||||
Effect on fair value of a: | |||||||||||||||||||||||||
5% adverse change | $ | (5,406 | ) | $ | (656 | ) | $ | (5,490 | ) | $ | (488 | ) | |||||||||||||
10% adverse change | $ | (10,628 | ) | $ | (1,290 | ) | $ | (10,791 | ) | $ | (959 | ) | |||||||||||||
20% adverse change | $ | (20,557 | ) | $ | (2,495 | ) | $ | (20,861 | ) | $ | (1,855 | ) | |||||||||||||
Weighted average life (in years) | 1.1 - 7.3 | 2.6 - 7.3 | 1.3 - 7.3 | 2.8 - 7.3 | |||||||||||||||||||||
-6.5 | -7.1 | -6.7 | -7.2 | ||||||||||||||||||||||
Prepayment speed (2) | 7.7% – 56.4% | 8.0% – 23.9% | 7.7% - 51.9% | 8.0% - 20.0% | |||||||||||||||||||||
-8.30% | -9.40% | -8.20% | -8.90% | ||||||||||||||||||||||
Effect on fair value of a: | |||||||||||||||||||||||||
5% adverse change | $ | (5,443 | ) | $ | (824 | ) | $ | (5,467 | ) | $ | (568 | ) | |||||||||||||
10% adverse change | $ | (10,719 | ) | $ | (1,619 | ) | $ | (10,765 | ) | $ | (1,117 | ) | |||||||||||||
20% adverse change | $ | (20,800 | ) | $ | (3,128 | ) | $ | (20,886 | ) | $ | (2,160 | ) | |||||||||||||
Annual per-loan cost of servicing | $68 – $140 | $68 – $140 | $68 – $140 | $68 – $140 | |||||||||||||||||||||
($68) | ($68) | ($68) | ($68) | ||||||||||||||||||||||
Effect on fair value of a: | |||||||||||||||||||||||||
5% adverse change | $ | (1,735 | ) | $ | (220 | ) | $ | (1,695 | ) | $ | (158 | ) | |||||||||||||
10% adverse change | $ | (3,471 | ) | $ | (439 | ) | $ | (3,390 | ) | $ | (316 | ) | |||||||||||||
20% adverse change | $ | (6,941 | ) | $ | (878 | ) | $ | (6,780 | ) | $ | (633 | ) | |||||||||||||
-1 | Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs acquired as proceeds from the sale of mortgage loans and purchased MSRs not backed by pools of distressed mortgage loans. | ||||||||||||||||||||||||
-2 | Prepayment speed is measured using Life Total CPR. | ||||||||||||||||||||||||
The preceding sensitivity analyses are limited in that they were performed at a particular point in time; only contemplate the movements in the indicated inputs; do not incorporate changes in the inputs in relation to other inputs; are subject to the accuracy of various models and assumptions used; and do not incorporate other factors that would affect the Company’s overall financial performance in such scenarios, including operational adjustments made by management to account for changing circumstances. For these reasons, the preceding estimates should not be viewed as earnings forecasts. |
Mortgage_Loans_Acquired_for_Sa
Mortgage Loans Acquired for Sale at Fair Value | 3 Months Ended | ||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||
Mortgage Loans On Real Estate [Abstract] | ' | ||||||||||||||||
Mortgage Loans Acquired for Sale at Fair Value | ' | ||||||||||||||||
Note 8—Mortgage Loans Acquired for Sale at Fair Value | |||||||||||||||||
Mortgage loans acquired for sale at fair value is comprised of recently originated mortgage loans purchased by the Company for resale. Following is a summary of the distribution of the Company’s mortgage loans acquired for sale at fair value: | |||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||
Fair | Unpaid | Fair | Unpaid | ||||||||||||||
value | principal | value | principal | ||||||||||||||
balance | balance | ||||||||||||||||
Loan type | (in thousands) | ||||||||||||||||
Conventional: | |||||||||||||||||
Agency-eligible | $ | 282,250 | $ | 272,765 | $ | 311,162 | $ | 304,749 | |||||||||
Jumbo | 13,521 | 13,092 | 34,615 | 35,050 | |||||||||||||
Government-insured or guaranteed | 48,909 | 46,572 | 112,360 | 107,587 | |||||||||||||
$ | 344,680 | $ | 332,429 | $ | 458,137 | $ | 447,386 | ||||||||||
Loans pledged to secure assets sold under agreements to repurchase | $ | 339,153 | $ | 454,210 | |||||||||||||
The Company is not approved by Ginnie Mae as an issuer of Ginnie Mae-guaranteed securities which are backed by government-insured or guaranteed mortgage loans. The Company transfers government-insured or guaranteed mortgage loans that it purchases from correspondent lenders to PLS, which is a Ginnie Mae-approved issuer, and earns a sourcing fee of three basis points on the unpaid principal balance plus interest earned during the period it holds each such loan. |
Derivative_Financial_Instrumen
Derivative Financial Instruments | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||||
Derivative Instruments And Hedging Activities Disclosure [Abstract] | ' | ||||||||||||||||||||||||
Derivative Financial Instruments | ' | ||||||||||||||||||||||||
Note 9—Derivative Financial Instruments | |||||||||||||||||||||||||
The Company is exposed to price risk relative to its mortgage loans acquired for sale as well as to the IRLCs it issues to correspondent lenders. The Company bears price risk from the time an IRLC is issued to a correspondent lender to the time the purchased mortgage loan is sold. During this period, the Company is exposed to losses if mortgage interest rates increase because the value of the purchase commitment or mortgage loan acquired for sale decreases. | |||||||||||||||||||||||||
The Company engages in interest rate risk management activities in an effort to reduce the variability of earnings caused by changes in interest rates. To manage the price risk resulting from interest rate risk, the Company uses derivative financial instruments acquired 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 IRLCs and inventory of mortgage loans acquired for sale. | |||||||||||||||||||||||||
The Company is also exposed to risk relative to the fair value of its MSRs. The Company is exposed to loss in value of its MSRs when interest rates decrease. The Company periodically includes MSRs in its hedging activities. | |||||||||||||||||||||||||
Beginning in the third quarter of 2013, the Company entered into Eurodollar futures, which settle daily, to economically hedge net fair value changes of a portion of fixed-rate mortgage loans at fair value held by variable interest entity and MBS securities at fair value and the related variable rate repurchase agreement liabilities indexed to LIBOR. The Company uses the Eurodollar futures with the intention of moderating the risk of rising market interest rates that will result in unfavorable changes in the value of the Company’s fixed-rate assets and economic performance of its LIBOR-indexed variable interest rate repurchase agreement liabilities. | |||||||||||||||||||||||||
The Company does not use derivative financial instruments for purposes other than in support of its risk management activities other than IRLCs, which are generated in the normal course of business when the Company commits to purchase mortgage loans acquired for sale. The Company records all derivative financial instruments at fair value and records changes in fair value in current period income. | |||||||||||||||||||||||||
The Company had the following derivative assets and liabilities and related margin deposits recorded within Derivative assets and Derivative liabilities on the consolidated balance sheets: | |||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||
Fair value | Fair value | ||||||||||||||||||||||||
Notional | Derivative | Derivative | Notional | Derivative | Derivative | ||||||||||||||||||||
Instrument | amount | assets | liabilities | amount | assets | liabilities | |||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Derivatives not designated as hedging instruments: | |||||||||||||||||||||||||
Free-standing derivatives: | |||||||||||||||||||||||||
Interest rate lock commitments | 704,824 | $ | 3,509 | $ | 238 | 557,343 | $ | 2,510 | $ | 1,261 | |||||||||||||||
Forward sales contracts | 2,497,960 | 5,434 | 1,219 | 3,588,027 | 16,385 | 1,295 | |||||||||||||||||||
Forward purchase contracts | 1,777,353 | 777 | 3,547 | 2,781,066 | 1,229 | 7,420 | |||||||||||||||||||
MBS put options | 260,000 | 1,027 | — | 55,000 | 272 | — | |||||||||||||||||||
MBS call options | 35,000 | 93 | 333 | 110,000 | — | — | |||||||||||||||||||
Eurodollar futures | 6,084,000 | — | — | 8,779,000 | — | — | |||||||||||||||||||
Treasury futures | 75,000 | 328 | — | 105,000 | — | — | |||||||||||||||||||
Call options on Eurodollar futures | 380,000 | 66 | — | — | — | — | |||||||||||||||||||
Put options on Eurodollar futures | 90,000 | 432 | — | 52,500 | 566 | — | |||||||||||||||||||
Total derivative instruments before netting | 11,666 | 5,337 | 20,962 | 9,976 | |||||||||||||||||||||
Netting | (3,738 | ) | (4,376 | ) | (12,986 | ) | (8,015 | ) | |||||||||||||||||
$ | 7,928 | $ | 961 | $ | 7,976 | $ | 1,961 | ||||||||||||||||||
Margin deposits with (collateral received from) derivatives counterparties | $ | 638 | $ | (4,971 | ) | ||||||||||||||||||||
The following table summarizes the notional amount activity for derivative contracts used to hedge the Company’s IRLCs, inventory of mortgage loans acquired for sale and MSR: | |||||||||||||||||||||||||
Balance, | Balance, | ||||||||||||||||||||||||
beginning | Dispositions/ | end | |||||||||||||||||||||||
Period/Instrument | of period | Additions | expirations | of period | |||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Quarter ended March 31, 2014 | |||||||||||||||||||||||||
Forward purchase contracts | 2,781,066 | 6,397,817 | (7,401,530 | ) | 1,777,353 | ||||||||||||||||||||
Forward sales contracts | 3,588,027 | 8,668,939 | (9,759,006 | ) | 2,497,960 | ||||||||||||||||||||
MBS put option sales contracts | 15,000 | — | (15,000 | ) | — | ||||||||||||||||||||
MBS put option purchase contracts | 55,000 | 405,000 | (225,000 | ) | 235,000 | ||||||||||||||||||||
MBS call option purchase contracts | 110,000 | 60,000 | (135,000 | ) | 35,000 | ||||||||||||||||||||
Treasury Future sale contracts | — | 28,800 | (28,800 | ) | — | ||||||||||||||||||||
Treasury Future purchase contracts | — | 21,600 | (21,600 | ) | — | ||||||||||||||||||||
Put option on Eurodollar futures | — | 325,000 | — | 325,000 | |||||||||||||||||||||
Call option on Eurodollar futures | — | 150,000 | (60,000 | ) | 90,000 | ||||||||||||||||||||
The Company recorded net gains on derivative financial instruments used to hedge the Company’s IRLCs and inventory of mortgage loans totaling $10.7 million and $12.9 million for the quarters ended March 31, 2014 and 2013, respectively. Derivative gains and losses are included in Net gains on mortgage loans acquired for sale in the Company’s consolidated statements of income. | |||||||||||||||||||||||||
The Company recorded net losses on derivative financial instruments used as economic hedges of MSRs totaling $99,000 and $2.0 million for the quarters ended March 31, 2014 and 2013, respectively. The derivative losses are included in Net loan servicing fees in the Company’s consolidated statements of income. | |||||||||||||||||||||||||
The following table summarizes the notional amount activity for derivative contracts used to hedge the Company’s net fair value changes of a portion of fixed-rate Mortgage loans at fair value held by variable interest entity and MBS securities at fair value and the related variable LIBOR rate repurchase agreement liabilities: | |||||||||||||||||||||||||
Period/Instrument | Balance, | Additions | Dispositions/ | Balance, | |||||||||||||||||||||
beginning | expirations | end | |||||||||||||||||||||||
of period | of period | ||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Quarter ended March 31, 2014 | |||||||||||||||||||||||||
Eurodollar Future sale contracts | 8,779,000 | 126,000 | (2,821,000 | ) | 6,084,000 | ||||||||||||||||||||
Eurodollar Future purchase contracts | — | 2,597,000 | (2,597,000 | ) | — | ||||||||||||||||||||
Treasury Future sale contracts | 105,000 | 75,000 | (105,000 | ) | 75,000 | ||||||||||||||||||||
Treasury Future purchase contracts | — | 75,000 | (75,000 | ) | — | ||||||||||||||||||||
Put options on Eurodollar futures | 52,500 | 112,000 | (109,500 | ) | 55,000 | ||||||||||||||||||||
MBS put option purchase contracts | 15,000 | 25,000 | (15,000 | ) | 25,000 | ||||||||||||||||||||
The Company recorded net losses on derivative financial instruments used to hedge the net change in fair value of fixed-rate assets and its variable LIBOR rate repurchase agreement liabilities of $5.6 million for the quarter ended March 31, 2014. The derivative losses are included in Net gain on investments in the Company’s consolidated statements of income. The Company had no similar economic hedges in place for the quarter ended March 31, 2013. |
Mortgage_Loans_at_Fair_Value
Mortgage Loans at Fair Value | 3 Months Ended | ||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||
Text Block [Abstract] | ' | ||||||||||||||||
Mortgage Loans at Fair Value | ' | ||||||||||||||||
Note 10—Mortgage Loans at Fair Value | |||||||||||||||||
Mortgage loans at fair value are comprised of mortgage loans that are not acquired for sale and may be sold at a later date pursuant to a management determination that such a sale represents the most advantageous liquidation strategy for the identified loan. | |||||||||||||||||
Following is a summary of the distribution of the Company’s mortgage loans at fair value: | |||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||
Loan type | Fair | Unpaid | Fair | Unpaid | |||||||||||||
value | principal | value | principal | ||||||||||||||
balance | balance | ||||||||||||||||
(in thousands) | |||||||||||||||||
Nonperforming loans | $ | 1,584,703 | $ | 2,549,293 | $ | 1,469,686 | $ | 2,415,446 | |||||||||
Performing loans: | |||||||||||||||||
Fixed interest rate | 277,352 | 440,005 | 310,607 | 475,568 | |||||||||||||
Adjustable-rate mortgage (“ARM”)/hybrid | 95,550 | 134,357 | 165,327 | 207,553 | |||||||||||||
Interest rate step-up | 121,274 | 211,866 | 130,906 | 215,702 | |||||||||||||
Balloon | 141 | 212 | 139 | 213 | |||||||||||||
494,317 | 786,440 | 606,979 | 899,036 | ||||||||||||||
$ | 2,079,020 | $ | 3,335,733 | $ | 2,076,665 | $ | 3,314,482 | ||||||||||
Mortgage loans at fair value pledged to secure borrowings at period end: | |||||||||||||||||
Assets sold under agreements to repurchase | $ | 1,913,828 | $ | 1,963,266 | |||||||||||||
Mortgage loans held in a consolidated subsidiary whose stock is pledged to secure financings of such loans | $ | 679 | $ | 989 | |||||||||||||
Following is a summary of certain concentrations of credit risk in the portfolio of mortgage loans at fair value: | |||||||||||||||||
Concentration | March 31, | December 31, | |||||||||||||||
2014 | 2013 | ||||||||||||||||
Portion of mortgage loans originated between 2005 and 2007 | 72 | % | 72 | % | |||||||||||||
Percentage of fair value of mortgage loans with unpaid-principal-balance-to-current-property-value in excess of 100% | 62 | % | 61 | % | |||||||||||||
Percentage of mortgage loans secured by California real estate | 21 | % | 24 | % | |||||||||||||
Additional states contributing 5% or more of mortgage loans | New York | New York | |||||||||||||||
Florida | Florida | ||||||||||||||||
New Jersey | New Jersey | ||||||||||||||||
Maryland |
Mortgage_Loans_at_Fair_Value_H
Mortgage Loans at Fair Value Held by Variable Interest Entity | 3 Months Ended | ||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||
Debt Disclosure [Abstract] | ' | ||||||||||||||||
Mortgage Loans at Fair Value Held by Variable Interest Entity | ' | ||||||||||||||||
Note 11—Mortgage Loans at Fair Value Held by Variable Interest Entity | |||||||||||||||||
Following is a summary of the distribution of the Company’s mortgage loans at fair value held by variable interest entity: | |||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||
Unpaid | Unpaid | ||||||||||||||||
Fair | principal | Fair | principal | ||||||||||||||
Loan type | value | balance | value | balance | |||||||||||||
(in thousands) | |||||||||||||||||
Jumbo fixed interest rate | $ | 529,680 | $ | 537,804 | $ | 523,652 | $ | 543,257 | |||||||||
Following is a summary of certain concentrations of credit risk in the portfolio of mortgage loans at fair value held by variable interest entity: | |||||||||||||||||
States comprising more than 5.00% of unpaid principal balance | March 31, 2014 | December 31, 2013 | |||||||||||||||
California | 57 | % | 57 | % | |||||||||||||
Washington | 8 | % | 8 | % | |||||||||||||
Texas | 6 | % | 6 | % | |||||||||||||
Virginia | 6 | % | 6 | % | |||||||||||||
Other | 23 | % | 23 | % |
Mortgage_Loans_Under_Forward_P
Mortgage Loans Under Forward Purchase Agreements at Fair Value | 3 Months Ended | ||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||
Text Block [Abstract] | ' | ||||||||||||||||
Mortgage Loans Under Forward Purchase Agreements at Fair Value | ' | ||||||||||||||||
Note 12—Mortgage Loans Under Forward Purchase Agreements at Fair Value | |||||||||||||||||
Mortgage loans under forward purchase agreements at fair value are comprised of mortgage loans not acquired for resale. Such loans may be sold at a later date pursuant to a management determination that such a sale represents the most advantageous liquidation strategy for the identified loan. Following is a summary of the distribution of the Company’s mortgage loans under forward purchase agreements at fair value: | |||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||
Unpaid | Unpaid | ||||||||||||||||
Fair | principal | Fair | principal | ||||||||||||||
Loan type | value | balance | value | balance | |||||||||||||
(in thousands) | |||||||||||||||||
Nonperforming loans | $ | 155,344 | $ | 235,932 | $ | 177,841 | $ | 268,600 | |||||||||
Performing loans: | |||||||||||||||||
Fixed | 21,860 | 32,728 | 19,292 | 29,496 | |||||||||||||
ARM/hybrid | 21,094 | 33,016 | 19,510 | 31,933 | |||||||||||||
Interest rate step-up | 4,363 | 7,580 | 1,485 | 2,455 | |||||||||||||
47,317 | 73,324 | 40,287 | 63,884 | ||||||||||||||
$ | 202,661 | $ | 309,256 | $ | 218,128 | $ | 332,484 | ||||||||||
Following is a summary of certain concentrations of credit risk in the portfolio of mortgage loans under forward purchase agreements at fair value: | |||||||||||||||||
March 31, | December 31, | ||||||||||||||||
2014 | 2013 | ||||||||||||||||
Portion of mortgage loans originated between 2005 and 2007 | 73 | % | 72 | % | |||||||||||||
Percentage of mortgage loans secured by California real estate | 25 | % | 25 | % | |||||||||||||
Additional states contributing 5% or more of mortgage loans | New Jersey | New Jersey | |||||||||||||||
New York | Washington | ||||||||||||||||
Washington | New York | ||||||||||||||||
Maryland | Maryland | ||||||||||||||||
Florida | |||||||||||||||||
At March 31, 2014, the entire balance of mortgage loans under forward purchase agreements was held in a VIE by the seller of the loans to secure borrowings under forward purchase agreements. |
Real_Estate_Acquired_in_Settle
Real Estate Acquired in Settlement of Loans | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Banking And Thrift [Abstract] | ' | ||||||||
Real Estate Acquired in Settlement of Loans | ' | ||||||||
Note 13—Real Estate Acquired in Settlement of Loans | |||||||||
Following is a summary of financial information relating to REO: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Balance at beginning of period | $ | 138,942 | $ | 88,078 | |||||
Purchases | 3,049 | — | |||||||
Transfers from mortgage loans at fair value and advances | 68,902 | 31,685 | |||||||
Transfers from REO under forward purchase agreements | 92 | — | |||||||
Results of REO: | |||||||||
Valuation adjustments, net | (8,408 | ) | (6,089 | ) | |||||
Gain on sale, net | 2,182 | 2,836 | |||||||
(6,226 | ) | (3,253 | ) | ||||||
Proceeds from sales | (31,772 | ) | (32,024 | ) | |||||
Balance at end of period | $ | 172,987 | $ | 84,486 | |||||
At period end: | |||||||||
REO pledged to secure assets sold under agreements to repurchase | $ | 29,966 | $ | 8,233 | |||||
REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties | $ | 51,649 | $ | 7,122 | |||||
Real_Estate_Acquired_in_Settle1
Real Estate Acquired in Settlement of Loans Under Forward Purchase Agreements | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Text Block [Abstract] | ' | ||||||||
Real Estate Acquired in Settlement of Loans Under Forward Purchase Agreements | ' | ||||||||
Note 14—Real Estate Acquired in Settlement of Loans Under Forward Purchase Agreements | |||||||||
Following is a summary of the activity in REO under forward purchase agreements: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Balance at beginning of period | $ | 9,138 | $ | — | |||||
Purchases | 38 | — | |||||||
Purchases financed through forward purchase agreements | — | — | |||||||
Transfers from mortgage loans under forward purchase agreements at fair value and advances | 6,828 | — | |||||||
Transfers to REO | (92 | ) | — | ||||||
Results of REO under forward purchase agreements: | |||||||||
Valuation adjustments, net | (484 | ) | — | ||||||
Gain on sale, net | 84 | — | |||||||
(400 | ) | — | |||||||
Proceeds from sales | (1,622 | ) | — | ||||||
Balance at end of period | $ | 13,890 | $ | — | |||||
At March 31, 2014, the entire balance of REO under forward purchase agreements was subject to borrowings under forward purchase agreements. |
Mortgage_Servicing_Rights
Mortgage Servicing Rights | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Text Block [Abstract] | ' | ||||||||
Mortgage Servicing Rights | ' | ||||||||
Note 15—Mortgage Servicing Rights | |||||||||
Carried at Fair Value: | |||||||||
Following is a summary of MSRs carried at fair value: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Balance at beginning of period | $ | 26,452 | $ | 1,346 | |||||
Additions: | |||||||||
Purchases | — | — | |||||||
MSRs resulting from loan sales | 11,757 | 26 | |||||||
Total additions | 11,757 | 26 | |||||||
Change in fair value: | |||||||||
Due to changes in valuation inputs or assumptions used in valuation model(1) | (1,232 | ) | (9 | ) | |||||
Other changes in fair value(2) | (796 | ) | (58 | ) | |||||
(2,028 | ) | (67 | ) | ||||||
Sales | — | — | |||||||
Balance at end of period | $ | 36,181 | $ | 1,305 | |||||
-1 | Principally reflects changes in pricing spread (discount rate) and prepayment speed inputs, primarily due to changes in interest rates. | ||||||||
-2 | Represents changes due to realization of expected cash flows. | ||||||||
Carried at Lower of Amortized Cost or Fair Value: | |||||||||
Following is a summary of MSRs carried at lower of amortized cost or fair value: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Amortized Cost: | |||||||||
Balance at beginning of period | $ | 266,697 | $ | 132,977 | |||||
MSRs resulting from loan sales | 9,118 | 56,190 | |||||||
Purchases | — | — | |||||||
9,118 | 56,190 | ||||||||
Sales | — | — | |||||||
Amortization | (7,365 | ) | (4,970 | ) | |||||
Application of valuation allowance to write down MSRs with other-than temporary impairment | — | — | |||||||
Balance at end of period | 268,450 | 184,197 | |||||||
Valuation Allowance: | |||||||||
Balance at beginning of period | (2,577 | ) | (7,547 | ) | |||||
(Additions) reversals | (627 | ) | 2,486 | ||||||
Application of valuation allowance to write down MSRs with other-than temporary impairment | — | — | |||||||
Balance at end of period | (3,204 | ) | (5,061 | ) | |||||
MSRs, net | $ | 265,246 | $ | 179,136 | |||||
Estimated fair value at end of period | $ | 289,934 | $ | 186,209 | |||||
The following table summarizes the Company’s estimate of amortization of its existing MSRs carried at amortized cost. This projection was developed using the assumptions made by management in its March 31, 2014 valuation of MSRs. The assumptions underlying the following estimate will change as market conditions and portfolio composition and behavior change, causing both actual and projected amortization levels to change over time. Therefore, the following estimates will change in a manner and amount not presently determinable by management. | |||||||||
Estimated MSR | |||||||||
Year ended March 31, | amortization | ||||||||
(in thousands) | |||||||||
2015 | $ | 26,661 | |||||||
2016 | 26,082 | ||||||||
2017 | 24,924 | ||||||||
2018 | 23,513 | ||||||||
2019 | 21,697 | ||||||||
Thereafter | 145,573 | ||||||||
Total | $ | 268,450 | |||||||
Servicing fees relating to MSRs are recorded in Net loan servicing fees on the consolidated statements of income and are summarized below: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Contractual servicing fees | $ | 16,816 | $ | 8,937 | |||||
Assets_Sold_Under_Agreements_t
Assets Sold Under Agreements to Repurchase at Fair Value | 3 Months Ended | ||||||||||||
Mar. 31, 2014 | |||||||||||||
Text Block [Abstract] | ' | ||||||||||||
Assets Sold Under Agreements to Repurchase at Fair Value | ' | ||||||||||||
Note 16— Assets Sold Under Agreements to Repurchase at Fair Value | |||||||||||||
Following is a summary of financial information relating to assets sold under agreements to repurchase at fair value: | |||||||||||||
Quarter ended March 31, | |||||||||||||
2014 | 2013 | ||||||||||||
(dollars in thousands) | |||||||||||||
During the period: | |||||||||||||
Weighted-average interest rate (1) | 2.21 | % | 2.77 | % | |||||||||
Average balance | $ | 1,795,702 | $ | 1,221,766 | |||||||||
Total interest expense | $ | 12,539 | $ | 10,712 | |||||||||
Maximum daily amount outstanding | $ | 2,079,090 | $ | 1,619,022 | |||||||||
Period end: | |||||||||||||
Balance | $ | 1,887,778 | $ | 1,615,050 | |||||||||
Weighted-average interest rate | 2.31 | % | 3.51 | % | |||||||||
Available borrowing capacity: | |||||||||||||
Committed | $ | 1,195,414 | $ | 884,950 | |||||||||
Uncommitted | $ | 865,223 | $ | 50,000 | |||||||||
$ | 2,060,637 | $ | 934,950 | ||||||||||
Margin deposits placed with counterparties | $ | 3,780 | $ | 2,973 | |||||||||
Fair value of assets securing agreements to repurchase: | |||||||||||||
Mortgage-backed securities | $ | 198,110 | $ | — | |||||||||
Mortgage loans acquired for sale at fair value | $ | 339,153 | $ | 1,122,940 | |||||||||
Mortgage loans at fair value | $ | 1,914,507 | $ | 1,203,788 | |||||||||
Mortgage loans at fair value held by variable interest entity | $ | 356,170 | $ | — | |||||||||
Real estate acquired in settlement of loans | $ | 81,615 | $ | 15,355 | |||||||||
$ | 2,889,555 | $ | 2,342,083 | ||||||||||
-1 | Excludes the amortization of commitment fees and issuance costs of $2.5 million and $2.3 million for the quarters ended March 31, 2014 and 2013, respectively. | ||||||||||||
Following is a summary of maturities of outstanding assets sold under agreements to repurchase by maturity date: | |||||||||||||
Remaining Maturity at March 31, 2014 | Balance | ||||||||||||
(in thousands) | |||||||||||||
Within 30 days | $ | 372,590 | |||||||||||
Over 30 to 90 days | 130,825 | ||||||||||||
Over 90 days to 180 days | 704,238 | ||||||||||||
Over 180 days to 1 year | 680,125 | ||||||||||||
$ | 1,887,778 | ||||||||||||
Weighted average maturity (in months) | 4.5 | ||||||||||||
The Company is subject to margin calls during the period the agreements are outstanding and therefore may be required to repay a portion of the borrowings before the respective agreements mature if the value (as determined by the applicable lender) of the assets securing those agreements decreases. Margin deposits are included in Other assets in the consolidated balance sheets. | |||||||||||||
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 counterparty below as of March 31, 2014: | |||||||||||||
Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase | |||||||||||||
Counterparty | Amount at risk | Mortgage loans | Facility maturity | ||||||||||
acquired for sale | |||||||||||||
weighted-average | |||||||||||||
repurchase agreement | |||||||||||||
maturity | |||||||||||||
(in thousands) | |||||||||||||
Credit Suisse First Boston Mortgage Capital LLC | $ | 339,267 | June 22, 2014 | 31-Oct-14 | |||||||||
Bank of America, N.A. | $ | 32,059 | June 12, 2014 | 30-Jan-15 | |||||||||
Morgan Stanley | $ | 6,317 | May 20, 2014 | December 18, 2014 | |||||||||
The Royal Bank of Scotland Group | $ | 57,295 | 17-Feb-15 | ||||||||||
Citibank, N.A. | $ | 559,042 | March 31, 2014 | 24-Jul-14 | |||||||||
Securities sold under agreements to repurchase | |||||||||||||
Counterparty | Amount at risk | Maturity | |||||||||||
(in thousands) | |||||||||||||
Daiwa Capital Markets America, Inc | $ | 6,217 | May 3, 2014 | ||||||||||
Credit Suisse First Boston Mortgage Capital LLC | $ | 2,374 | April 15, 2014 | ||||||||||
Bank of America, N.A. | $ | 612 | 15-Apr-14 | ||||||||||
The Company’s debt financing agreements require PMT and certain of its subsidiaries to comply with financial covenants that include a minimum tangible net worth for the Company of $860 million; a minimum tangible net worth for certain of the Company’s subsidiaries, including the Operating Partnership of $700 million (net worth was $1.6 billion, which includes PennyMac Holdings, LLC “PMH” and PennyMac Corp. (“PMC”)), PMH of $250 million (net worth was $694.5 million), and PMC of $150 million (net worth was $342.3 million). These tangible net worth requirements limit the subsidiaries’ abilities to transfer funds to the Company. |
Assetbacked_Secured_Financing_
Asset-backed Secured Financing of the Variable Interest Entity at Fair Value | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Text Block [Abstract] | ' | ||||||||
Asset-backed Secured Financing of the Variable Interest Entity at Fair Value | ' | ||||||||
Note 17—Asset-backed secured financing of the variable interest entity at fair value | |||||||||
Following is a summary of financial information relating to the asset-backed secured financing of the variable interest entity: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(dollars in thousands) | |||||||||
Period end: | |||||||||
Balance | $ | 166,514 | $ | — | |||||
Weighted-average interest rate | 3.58 | % | — | ||||||
During the period: | |||||||||
Weighted-average balance | $ | 166,894 | 0 | % | |||||
Interest expense | $ | 1,617 | $ | — | |||||
The Asset-backed secured financing of the variable interest entity is a non-recourse liability and secured solely by the assets of the VIE and not by any other assets of the Company. The assets of the VIE are the only source of funds for repayment of the certificates. |
Exchangeable_Senior_Notes
Exchangeable Senior Notes | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Text Block [Abstract] | ' | ||||||||
Exchangeable Senior Notes | ' | ||||||||
Note 18—Exchangeable Senior Notes | |||||||||
PMC issued in a private offering $250 million aggregate principal amount of Notes due May 1, 2020. The Notes bear interest at a rate of 5.375% per year, payable semiannually. The Notes are exchangeable into common shares of beneficial interest of the Company at a rate of 33.5149 common shares per $1,000 principal amount of the Notes. | |||||||||
Following is financial information relating to the Notes: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(dollars in thousands) | |||||||||
Period end: | |||||||||
Balance | $ | 250,000 | $ | — | |||||
Unamortized issuance costs (1) | $ | 6,616 | $ | — | |||||
Weighted-average interest rate | 5.38 | % | — | ||||||
During the period: | |||||||||
Weighted-average balance | $ | 250,000 | $ | — | |||||
Interest expense (2) | $ | 3,584 | $ | — | |||||
-1 | Unamortized issuance costs are included in Other assets in the consolidated balance sheets. | ||||||||
-2 | Total interest expense includes amortization of debt issuance costs of $225,000 during the quarter ended March 31, 2014. |
Borrowings_under_Forward_Purch
Borrowings under Forward Purchase Agreements | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Text Block [Abstract] | ' | ||||||||
Borrowings under Forward Purchase Agreements | ' | ||||||||
Note 19—Borrowings under Forward Purchase Agreements | |||||||||
Following is a summary of financial information relating to borrowings under forward purchase agreements: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(dollars in thousands) | |||||||||
Period end: | |||||||||
Balance | $ | 216,614 | $ | — | |||||
Interest rate | 3.01 | % | 0 | % | |||||
Fair value of underlying loans and REO | $ | 215,693 | $ | — | |||||
During the period: | |||||||||
Weighted-average interest rate | 2.85 | % | 0 | % | |||||
Weighted-average balance | $ | 221,769 | $ | — | |||||
Interest expense | $ | 1,580 | $ | — | |||||
Maximum daily amount outstanding | $ | 226,848 | $ | — |
Liability_for_Losses_Under_Rep
Liability for Losses Under Representations and Warranties | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Text Block [Abstract] | ' | ||||||||
Liability for Losses Under Representations and Warranties | ' | ||||||||
Note 20—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, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Balance, beginning of period | $ | 10,110 | $ | 4,441 | |||||
Provision for losses | 744 | 1,790 | |||||||
Incurred losses | — | — | |||||||
Balance, end of period | $ | 10,854 | $ | 6,231 | |||||
Following is a summary of the Company’s repurchase activity: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
During the period: | |||||||||
Unpaid principal balance of mortgage loans repurchased | $ | 4,939 | $ | 648 | |||||
Unpaid principal balance of repurchased mortgage loans repurchased by correspondent lenders | $ | 1,333 | $ | 710 | |||||
At end of period: | |||||||||
Unpaid principal balance of mortgage loans subject to pending claims for repurchase | $ | 12,097 | $ | — | |||||
Unpaid principal balance of mortgage loans subject to representations and warranties | $ | 27,188,848 | $ | 16,639,996 |
Commitments_and_Contingencies
Commitments and Contingencies | 3 Months Ended | ||||
Mar. 31, 2014 | |||||
Commitments And Contingencies Disclosure [Abstract] | ' | ||||
Commitments and Contingencies | ' | ||||
Note 21—Commitments and Contingencies | |||||
Litigation | |||||
From time to time, the Company may be involved in various proceedings, claims and legal actions arising in the ordinary course of business. As of March 31, 2014, the Company was not involved in any such proceedings, claims or legal actions that in management’s view would reasonably be likely to have a material adverse effect on the Company. | |||||
Mortgage Loan Commitments | |||||
The following table summarizes the Company’s outstanding contractual loan commitments: | |||||
March 31, 2014 | |||||
(in thousands) | |||||
Commitments to purchase mortgage loans: | |||||
Correspondent lending | $ | 704,824 | |||
Other mortgage loans | $ | — |
Shareholders_Equity
Shareholders' Equity | 3 Months Ended |
Mar. 31, 2014 | |
Equity [Abstract] | ' |
Shareholders' Equity | ' |
Note 22—Shareholders’ Equity | |
At March 31, 2014, the Company had approximately $117.6 million of common shares available for issuance under its ATM Equity Offering Sales AgreementSM. During the three months ended March 31, 2014, the Company sold a total of 3,387,022 of its common shares at a weighted average price of $23.92 per share, providing net proceeds to the Company of approximately $80.1 million, net of sales commissions of $874,000. |
Net_Gain_on_Mortgage_Loans_Acq
Net Gain on Mortgage Loans Acquired for Sale | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Text Block [Abstract] | ' | ||||||||
Net Gain on Mortgage Loans Acquired for Sale | ' | ||||||||
Note 23—Net Gain on Mortgage Loans Acquired for Sale | |||||||||
Net gain on mortgage loans acquired for sale is summarized below: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Cash gain (loss): | |||||||||
Sales proceeds, net | $ | (2,894 | ) | $ | (27,247 | ) | |||
Hedging activities | (3,547 | ) | 13,614 | ||||||
(6,441 | ) | (13,633 | ) | ||||||
Non cash gain: | |||||||||
Receipt of MSRs in loan sale transactions | 20,875 | 56,216 | |||||||
Provision for losses relating to representations and warranties provided in loan sales | (744 | ) | (1,790 | ) | |||||
Change in fair value relating to IRLCs, mortgage loans, and hedging derivatives held at period end: | |||||||||
IRLCs | 2,022 | (8,426 | ) | ||||||
Mortgage loans | 1,411 | (2,422 | ) | ||||||
Hedging derivatives | (7,152 | ) | (666 | ) | |||||
(3,719 | ) | (11,514 | ) | ||||||
$ | 9,971 | $ | 29,279 | ||||||
Net_Interest_Income
Net Interest Income | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Banking And Thrift Interest [Abstract] | ' | ||||||||
Net Interest Income | ' | ||||||||
Note 24—Net Interest Income | |||||||||
Net interest income is summarized below: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Interest income: | |||||||||
Short-term investments | $ | 152 | $ | 31 | |||||
Mortgage-backed securities | 1,761 | — | |||||||
Mortgage loans acquired for sale at fair value | 3,625 | 6,323 | |||||||
Mortgage loans at fair value | 23,286 | 10,497 | |||||||
Mortgage loans under forward purchase agreements at fair value | 2,154 | — | |||||||
Mortgage loans at fair value held by variable interest entity | 5,495 | — | |||||||
Excess servicing spread purchased from PFSI, at fair value | 2,862 | — | |||||||
Other | 11 | 24 | |||||||
39,346 | 16,875 | ||||||||
Interest expense: | |||||||||
Assets sold under agreements to repurchase | 12,539 | 10,712 | |||||||
Borrowings under forward purchase agreements | 1,580 | — | |||||||
Asset-backed secured financing and the variable interest entity | 1,617 | — | |||||||
Exchangeable senior notes | 3,584 | — | |||||||
Other | 455 | 524 | |||||||
19,775 | 11,236 | ||||||||
Net interest income | $ | 19,571 | $ | 5,639 | |||||
Net_Gain_on_Investments
Net Gain on Investments | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Investments Debt And Equity Securities [Abstract] | ' | ||||||||
Net Gain on Investments | ' | ||||||||
Note 25—Net Gain on Investments | |||||||||
Net gain on investments is summarized below: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Net gain (loss) on investments: | |||||||||
Mortgage-backed securities | $ | 709 | $ | — | |||||
Mortgage loans | 39,918 | 63,980 | |||||||
Mortgage loans held by VIE and related secured financing: | |||||||||
Mortgage loans held by variable interest entity | 7,639 | — | |||||||
Asset-backed secured financing and the variable interest entity | (2,780 | ) | — | ||||||
4,859 | — | ||||||||
Excess servicing spread purchased from PFSI, at fair value | (2,901 | ) | — | ||||||
$ | 42,585 | $ | 63,980 | ||||||
Net_Loan_Servicing_Fees
Net Loan Servicing Fees | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Text Block [Abstract] | ' | ||||||||
Net Loan Servicing Fees | ' | ||||||||
Note 26—Net Loan Servicing Fees | |||||||||
Net loan servicing fees are summarized below: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Servicing fees (1) | $ | 17,532 | $ | 10,417 | |||||
MSR recapture fee receivable from PFSI | 8 | 133 | |||||||
Effect of MSRs: | |||||||||
Carried at lower of amortized cost or fair value | |||||||||
Amortization | (7,365 | ) | (4,970 | ) | |||||
(Provision for) reversal of impairment | (627 | ) | 2,486 | ||||||
Carried at fair value - change in fair value | (2,028 | ) | (67 | ) | |||||
Losses on hedging derivatives | (99 | ) | (1,988 | ) | |||||
(10,119 | ) | (4,539 | ) | ||||||
Net loan servicing fees | $ | 7,421 | $ | 6,011 | |||||
-1 | Includes contractually specified servicing and ancillary fees. |
ShareBased_Compensation_Plans
Share-Based Compensation Plans | 3 Months Ended |
Mar. 31, 2014 | |
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract] | ' |
Share-Based Compensation Plans | ' |
Note 27—Share-Based Compensation Plans | |
On March 31, 2014 and 2013, the Company had one share-based compensation plan. Compensation expense relating to grants under the plan of $2.6 million and $1.8 million, which includes dividend equivalents paid to unvested restricted share unit holders, was recognized for the three months ended March 31, 2014 and 2013, respectively. The Company issued no new grants and had vestings of 84,437 and 85,769 units during the three months ended March 31, 2014 and 2013, respectively. |
Income_Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2014 | |
Income Tax Disclosure [Abstract] | ' |
Income Taxes | ' |
Note 28—Income Taxes | |
The Company had a tax benefit of $1.6 million for the three months ended March 31, 2014 and a tax expense of $2.6 million for the three months ended March 31, 2013. The Company’s effective tax rate was (4.4)% for the three months ended March 31, 2014 compared to 4.7% for the same period in 2013. The decrease in the Company’s effective tax rate for the three months ended March 31, 2014 compared to the prior period in 2013 is due primarily to a loss in the Company’s taxable REIT subsidiary for the first quarter of 2014 compared to income in that entity for the same period in 2013. The primary difference between the Company’s effective tax rate and the statutory tax rate is non-taxable REIT income resulting from the deduction for dividends paid. | |
In general, cash dividends declared by the Company will be considered ordinary income to shareholders for income tax purposes. Some portion of the dividends may be characterized as capital gain distributions or a return of capital. |
Segments_and_Related_Informati
Segments and Related Information | 3 Months Ended | ||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||
Segment Reporting [Abstract] | ' | ||||||||||||||||
Segments and Related Information | ' | ||||||||||||||||
Note 29—Segments and Related Information | |||||||||||||||||
The Company has two segments: correspondent lending and investment activities. | |||||||||||||||||
• | The correspondent lending segment represents the Company’s operations aimed at serving as an intermediary between mortgage lenders and the capital markets by purchasing, pooling and reselling newly originated prime credit quality mortgage loans either directly or in the form of MBS, using the services of PCM and PLS, both subsidiaries of PFSI. | ||||||||||||||||
Most of the loans the Company has acquired in its correspondent lending activities have been eligible for sale to government-sponsored entities such as Fannie Mae and Freddie Mac or through government agencies such as Ginnie Mae. | |||||||||||||||||
• | The investment activities segment represents the Company’s investments in mortgage-related assets, which include distressed mortgage loans, REO, MBS, MSRs and ESS. The Company seeks to maximize the value of the distressed mortgage loans that it acquires through proprietary loan modification programs, special servicing or other initiatives focused on keeping borrowers in their homes. Where this is not possible, such as in the case of many nonperforming mortgage loans, the Company seeks to effect property resolution in a timely, orderly and economically efficient manner, including through the use of resolution alternatives to foreclosure. | ||||||||||||||||
Financial highlights by operating segment are summarized below: | |||||||||||||||||
Quarter ended March 31, 2014 | Correspondent | Investment | Intersegment | Total | |||||||||||||
lending | activities | elimination & other | |||||||||||||||
(in thousands) | |||||||||||||||||
Net investment income: | |||||||||||||||||
Net gain on mortgage loans acquired for sale | $ | 9,971 | $ | — | $ | — | $ | 9,971 | |||||||||
Net gain on investments | — | 42,585 | — | 42,585 | |||||||||||||
Interest income | 3,635 | 36,598 | (887 | ) | 39,346 | ||||||||||||
Interest expense | (3,655 | ) | (17,007 | ) | 887 | (19,775 | ) | ||||||||||
(20 | ) | 19,591 | — | 19,571 | |||||||||||||
Net loan servicing fees | — | 7,421 | 7,421 | ||||||||||||||
Other investment income (loss) | 2,356 | (5,309 | ) | — | (2,953 | ) | |||||||||||
12,307 | 64,288 | — | 76,595 | ||||||||||||||
Expenses: | |||||||||||||||||
Loan fulfillment, Servicing and Management fees payable to PennyMac Financial Services, Inc. | 9,071 | 22,496 | — | 31,567 | |||||||||||||
Other | 88 | 8,651 | — | 8,739 | |||||||||||||
9,159 | 31,147 | — | 40,306 | ||||||||||||||
Income before provision for income taxes | $ | 3,148 | $ | 33,141 | $ | — | $ | 36,289 | |||||||||
Total assets at period end | $ | 359,348 | $ | 3,868,189 | $ | — | $ | 4,227,537 | |||||||||
Quarter ended March 31, 2013 | Correspondent | Investment | Intersegment | Total | |||||||||||||
lending | activities | elimination & other | |||||||||||||||
(in thousands) | |||||||||||||||||
Net investment income: | |||||||||||||||||
Net gain on mortgage loans acquired for sale | $ | 29,279 | $ | — | $ | — | $ | 29,279 | |||||||||
Net gain on investments | — | 63,980 | — | 63,980 | |||||||||||||
Interest income | 6,324 | 10,592 | (41 | ) | 16,875 | ||||||||||||
Interest expense | (5,688 | ) | (5,589 | ) | 41 | (11,236 | ) | ||||||||||
636 | 5,003 | — | 5,639 | ||||||||||||||
Net loan servicing fees | — | 6,011 | — | 6,011 | |||||||||||||
Other investment income (loss) | 5,473 | (2,566 | ) | — | 2,907 | ||||||||||||
35,388 | 72,428 | — | 107,816 | ||||||||||||||
Expenses: | |||||||||||||||||
Loan fulfillment, Servicing and Management fees payable to PennyMac Financial Services, Inc. | 25,454 | 13,724 | 3,284 | (1) | 42,462 | ||||||||||||
Other | 1,054 | 8,365 | — | 9,419 | |||||||||||||
26,508 | 22,089 | 3,284 | 51,881 | ||||||||||||||
Income before provision for income taxes | $ | 8,880 | $ | 50,339 | $ | (3,284 | ) | $ | 55,935 | ||||||||
Total assets at period end | $ | 1,142,774 | $ | 1,829,246 | $ | (44,860 | ) | $ | 2,927,160 | ||||||||
-1 | Corporate absorption of fulfillment fees for transition adjustment related to the amended and restated management agreement effective February 1, 2013. |
Supplemental_Cash_Flow_Informa
Supplemental Cash Flow Information | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Supplemental Cash Flow Elements [Abstract] | ' | ||||||||
Supplemental Cash Flow Information | ' | ||||||||
Note 30—Supplemental Cash Flow Information | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Cash paid for interest | $ | 25,490 | $ | 11,192 | |||||
Income tax payment | $ | 42 | $ | 473 | |||||
Non-cash investing activities: | |||||||||
Transfer of mortgage loans and advances to real estate acquired in settlement of loans | $ | 68,902 | $ | 31,510 | |||||
Purchase of mortgage loans financed through forward purchase agreements | $ | 920 | $ | — | |||||
Transfer of mortgage loans under forward purchase agreements to mortgage loans at fair value | $ | 4,460 | $ | — | |||||
Transfer of mortgage loans under forward purchase agreements and advances to REO under forward purchase agreements | $ | 6,828 | $ | — | |||||
Receipt of MSRs as proceeds from sales of loans | $ | 20,875 | $ | 56,216 | |||||
Purchase of REO financed through forward purchase agreements | $ | 38 | $ | — | |||||
Receipt of ESS pursuant to recapture agreement with PFSI | $ | 1,113 | $ | — | |||||
Transfer of REO under forward purchase agreements to REO | $ | 92 | $ | — | |||||
Non-cash financing activities: | |||||||||
Purchase of mortgage loans financed through forward purchase agreements | $ | 920 | $ | — | |||||
Purchase of REO financed through forward purchase agreements | $ | 38 | $ | — | |||||
Transfer of mortgage loans at fair value financed through agreements to repurchase to REO financed under agreements to repurchase | $ | 2,046 | $ | — | |||||
Dividends payable | $ | 43,618 | $ | — |
Regulatory_Net_Worth
Regulatory Net Worth | 3 Months Ended |
Mar. 31, 2014 | |
Mortgage Banking [Abstract] | ' |
Regulatory Net Worth | ' |
Note 31—Regulatory Net Worth | |
PMC is a seller-servicer for Fannie Mae and Freddie Mac. To retain its status as an approved seller-servicer, PMC is required to meet Fannie Mae’s and Freddie Mac’s capital standards, which require PMC to maintain a minimum net worth of $53.0 million and $20.6 million, respectively. Management believes that PMC complies with Fannie Mae’s and Freddie Mac’s net worth requirement as of March 31, 2014. |
Subsequent_Events
Subsequent Events | 3 Months Ended | |||
Mar. 31, 2014 | ||||
Subsequent Events [Abstract] | ' | |||
Subsequent Events | ' | |||
Note 32—Subsequent Events | ||||
Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period: | ||||
• | On May 8, 2014, the Company purchased a pool of nonperforming mortgage loans with an aggregate unpaid principal balance of $37.9 million. | |||
• | On April 29, 2014, PFSI entered into a letter of intent with a third party to purchase a $3.5 billion unpaid principal balance portfolio of Ginnie Mae MSRs. The Company intends to purchase from PFSI approximately $26 million of ESS from this MSR portfolio. The MSR acquisition by PFSI and the Company’s purchase of ESS are subject to the negotiation and execution of definitive documentation, continuing due diligence and customary closing conditions and approvals. There can be no assurance that the committed amounts will ultimately be acquired or that the transactions will be completed at all. | |||
• | All agreements to repurchase assets that matured between March 31, 2014 and the date of this Report were extended or renewed. |
Organization_and_Basis_of_Pres1
Organization and Basis of Presentation (Policies) | 3 Months Ended | |||
Mar. 31, 2014 | ||||
Earnings Per Share [Abstract] | ' | |||
Segment Reporting | ' | |||
The Company operates in two segments: correspondent lending and investment activities: | ||||
• | The correspondent lending segment represents the Company’s operations aimed at serving as an intermediary between mortgage lenders and the capital markets by purchasing, pooling and reselling newly originated prime credit quality mortgage loans either directly or in the form of mortgage-backed securities (“MBS”), using the services of PNMAC Capital Management, LLC (“PCM” or “Manager”) and PennyMac Loan Services, LLC (“PLS” or “Servicer”), both subsidiaries of PennyMac Financial Services, Inc. (“PFSI”). | |||
Most of the loans the Company has acquired in its correspondent lending activities have been eligible for sale to government-sponsored entities such as the Federal National Mortgage Association (“Fannie Mae”) and Federal Home Loan Mortgage Corporation (“Freddie Mac”) or through government agencies such as the Government National Mortgage Association (“Ginnie Mae”). Fannie Mae, Freddie Mac and Ginnie Mae are each referred to as an “Agency” and, collectively, as the “Agencies.” | ||||
• | The investment activities segment represents the Company’s investments in mortgage-related assets, which include distressed mortgage loans, real estate acquired in settlement of loans (“REO”), MBS, mortgage servicing rights (“MSRs”) and excess servicing spread (“ESS”). The Company seeks to maximize the value of the distressed mortgage loans that it acquires through proprietary loan modification programs, special servicing or other initiatives focused on keeping borrowers in their homes. Where this is not possible, such as in the case of many nonperforming mortgage loans, the Company seeks to effect property resolution in a timely, orderly and economically efficient manner, including through the use of resolution alternatives to foreclosure. | |||
Basis of Accounting | ' | |||
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 accompanying consolidated financial statements have been prepared in compliance with accounting principles generally accepted in the United States (“U.S. GAAP”) as codified in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification for interim financial information and with the SEC’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 U.S. GAAP for complete financial statements. The interim consolidated information should be read together with the Company’s Annual Report on Form 10-K for the year ended December 31, 2013 (the “Annual Report”). Intercompany accounts and transactions have been eliminated. | ||||
Reclassification of Previously Presented Balances | ' | |||
Reclassification of previously presented balances | ||||
Certain prior period amounts have been reclassified to conform to the current presentation. Specifically: | ||||
• | Interest expense is included with Interest income under a new caption, Net interest income, to better reflect the Company’s results due to growth in its portfolio of interest-earning assets. This reclassification results in the presentation of Net interest income in Net investment income and a decrease in Expenses. | |||
• | Loan servicing fees payable to PennyMac Financial Services, Inc. is presented without the inclusion of other servicing expenses payable to nonaffiliates. Previously, Loan servicing expense included amounts payable to PFSI and to nonaffiliates. Amounts payable to nonaffiliates have been reclassified to Other expenses. | |||
• | Other minor amounts were reclassified to Other expenses, to conform to the current period presentation. | |||
Concentration Risk | ' | |||
Because of the Company’s investment focus, PMT is exposed, to a greater extent than traditional mortgage investors, to the risks that borrowers may be in economic distress and/or may have become unemployed, bankrupt or otherwise unable or unwilling to make payments when due, and to the effects of fluctuations in the residential real estate market on the performance of its investments. Factors influencing these risks include, but are not limited to: | ||||
• | changes in the overall economy and unemployment rates and residential real estate values in the markets where the properties securing the Company’s mortgage loans are located; | |||
• | PCM’s ability to identify and the Company’s loan servicers’ ability to execute optimal resolutions of problem mortgage loans; | |||
• | the accuracy of valuation information obtained during the Company’s due diligence activities; | |||
• | PCM’s ability to effectively model, and to develop appropriate model assumptions that properly anticipate, future outcomes; | |||
• | the level of government support for problem loan resolution and the effect of current and future proposed and enacted legislative and regulatory changes on the Company’s ability to effect cures or resolutions to distressed loans; and | |||
• | regulatory, judicial and legislative support of the foreclosure process, and the resulting effect on the Company’s ability to acquire and liquidate the real estate securing its portfolio of distressed mortgage loans in a timely manner or at all. | |||
Due to these uncertainties, there can be no assurance that risk management activities identified and executed on PMT’s behalf will prevent significant losses arising from the Company’s investments in real estate-related assets. | ||||
Earnings Per 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 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. | ||||
Diluted earnings per share is determined by dividing net income attributable to diluted shareholders, which adds back to net income the interest expense, net of applicable income taxes, on the Company’s exchangeable senior notes (the “Notes”), by the weighted-average shares outstanding, assuming all potentially dilutive securities were issued. In periods in which the Company records a loss, potentially dilutive securities are excluded from the diluted loss per share calculation, as their effect on loss per share is anti-dilutive. | ||||
Derivative Financial Instruments | ' | |||
The Company uses derivative financial instruments to manage exposure to interest rate risk created by its interest rate lock commitments (“IRLC”), mortgage loans acquired for sale at fair value, MBS, ESS and MSRs. All derivative financial instruments are recorded on the balance sheet at fair value. The Company has elected to net derivative asset and liability positions, and cash collateral obtained (or posted) by (or to) its counterparties when subject to a legally enforceable master netting arrangement. The derivative financial instruments that are not subject to master netting arrangements are IRLCs. | ||||
Fair Value Measurement | ' | |||
The Company’s consolidated financial statements include assets and liabilities that are measured based on their estimated fair values. Measurement at fair value may be on a recurring or nonrecurring basis depending on the accounting principles applicable to the specific asset or liability and whether management has elected to carry the item at its estimated fair value as discussed in the following paragraphs. | ||||
Fair Value Accounting Elections | ||||
Management identified all of its non-cash financial assets and MSRs relating to loans with initial interest rates of more than 4.5% to be accounted for at estimated fair value. Management has elected to account for these financial statement items 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. Management has also identified its asset-backed secured financing of the variable interest entity 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 mortgage loans held by variable interest entity which are also carried at fair value. | ||||
For MSRs relating to mortgage loans with initial interest rates of less than or equal to 4.5%, management concluded that such assets present different risks to the Company than MSRs relating to mortgage loans with initial interest rates of more than 4.5% and therefore require a different risk management approach. Management’s risk management efforts relating to these assets are aimed at moderating the effects of non-interest rate risks on fair value, such as the effect of changes in home prices on the assets’ values. Management has identified these assets for accounting at the lower of amortized cost or fair value. | ||||
The Company’s risk management efforts in connection with MSRs relating to mortgage loans with initial interest rates of more than 4.5% are generally aimed at moderating the effects of changes in interest rates on the assets’ values. During the quarter ended March 31, 2014 and 2013, derivatives were used to hedge the fair value changes of the MSRs. | ||||
For assets sold under agreements to repurchase, borrowings under forward purchase agreements and the Notes, management has determined that historical cost accounting is more appropriate because under this method debt issuance costs are amortized over the term of the debt, thereby matching the debt issuance cost to the periods benefiting from the usage of the debt. |
Organization_and_Basis_of_Pres2
Organization and Basis of Presentation (Tables) | 3 Months Ended | ||||||||||||
Mar. 31, 2014 | |||||||||||||
Accounting Policies [Abstract] | ' | ||||||||||||
Summary of Reclassifications of Previously Presented Balances | ' | ||||||||||||
Following is a summary of the reclassifications: | |||||||||||||
Quarter ended March 31, 2013 | |||||||||||||
As reported | As previously reported | Reclassification | |||||||||||
(in thousands) | |||||||||||||
Net interest income (new caption): | |||||||||||||
Interest income | $ | 16,875 | $ | 16,875 | $ | — | |||||||
Interest expense | 11,236 | — | 11,236 | ||||||||||
5,639 | 16,875 | (11,236 | ) | ||||||||||
Net investment income | $ | 107,816 | $ | 119,052 | $ | (11,236 | ) | ||||||
Expenses: | |||||||||||||
Interest expense | $ | — | $ | 11,236 | $ | (11,236 | ) | ||||||
Expenses payable to PennyMac Financial Services, Inc.: | |||||||||||||
Loan servicing fees | 7,726 | 8,090 | (364 | ) | |||||||||
Other | 4,946 | 4,690 | 256 | ||||||||||
Total expenses | $ | 51,881 | $ | 63,117 | $ | (11,236 | ) |
Concentration_of_Risks_Tables
Concentration of Risks (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Risks And Uncertainties [Abstract] | ' | ||||||||
Fair Value of Mortgage Loans and REO Purchased (Including Purchases under Forward Purchase Agreements) Portion Representing Assets Purchased | ' | ||||||||
A substantial portion of the distressed mortgage loans and REO purchased by the Company has been acquired from or through one or more subsidiaries of Citigroup Inc. The following tables present purchases for the Company’s investment portfolio of mortgage loans and REO (including purchases under forward purchase agreements), and the portion thereof representing assets purchased from or through one or more subsidiaries of Citigroup Inc.: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Investment portfolio purchases: | |||||||||
Mortgage loans | $ | 257,200 | $ | 200,473 | |||||
REO | 3,087 | — | |||||||
$ | 260,287 | $ | 200,473 | ||||||
Investment portfolio purchases above through one or more subsidiaries of Citigroup Inc.: | |||||||||
Mortgage loans | $ | — | $ | 200,473 | |||||
REO | 38 | — | |||||||
$ | 38 | $ | 200,473 | ||||||
Following is a summary of the Company's holdings of assets purchased through one or more subsidiaries of Citigroup Inc.: | |||||||||
March 31, | December 31, | ||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Mortgage loans | $ | 927,107 | $ | 1,138,131 | |||||
Mortgage loans - forward | 202,661 | 218,128 | |||||||
REO | 88,081 | 84,726 | |||||||
REO - forward | 13,032 | 8,705 | |||||||
$ | 1,230,881 | $ | 1,449,690 | ||||||
Consolidated Statements of Income and Cash Flows | ' | ||||||||
As a result of recognizing these assets, the Company’s consolidated statements of income and cash flows include the following amounts related to the forward purchase agreements: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Statements of income: | |||||||||
Interest income on mortgage loans | $ | 2,154 | $ | — | |||||
Interest expense | $ | 1,580 | $ | — | |||||
Net gain on investments | $ | (940 | ) | $ | — | ||||
Results of REO | $ | (400 | ) | $ | — | ||||
Loan servicing fees | $ | 316 | $ | — | |||||
Statements of cash flows: | |||||||||
Repayments of mortgage loans | $ | 5,329 | $ | — | |||||
Sales of REO | $ | 1,622 | $ | — | |||||
Repayments of borrowings under forward purchase agreements | $ | (13,124 | ) | $ | — |
Transactions_with_Related_Part1
Transactions with Related Parties (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Related Party Transactions [Abstract] | ' | ||||||||
Summary of Management Fee Expense and Related Liability | ' | ||||||||
Following is a summary of the base management and performance incentive fees payable to PFSI recorded by the Company: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Management fee: | |||||||||
Base | $ | 5,521 | $ | 4,364 | |||||
Performance incentive | 2,553 | 2,128 | |||||||
$ | 8,074 | $ | 6,492 | ||||||
Summary of Mortgage Loan Servicing Fees Payable | ' | ||||||||
Following is a summary of mortgage loan servicing fees payable to PFSI: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Mortgage loan servicing fees payable to PFSI: | |||||||||
Mortgage loans acquired for sale at fair value: | |||||||||
Base | $ | 17 | $ | 77 | |||||
Activity-based | 26 | 72 | |||||||
43 | 149 | ||||||||
Distressed mortgage loans: | |||||||||
Base | 4,966 | 3,875 | |||||||
Activity-based | 6,386 | 1,877 | |||||||
11,352 | 5,752 | ||||||||
MSRs: | |||||||||
Base | 3,148 | 1,763 | |||||||
Activity-based | 48 | 62 | |||||||
3,196 | 1,825 | ||||||||
$ | 14,591 | $ | 7,726 | ||||||
Summary of Corresponding Lending Activity | ' | ||||||||
Following is a summary of correspondent lending activity between the Company and PFSI: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Fulfillment fees expense payable to PFSI | $ | 8,902 | $ | 28,244 | |||||
Unpaid principal balance of loans fulfilled by PFSI | $ | 1,919,578 | $ | 4,786,826 | |||||
Sourcing fees received from PFSI | $ | 892 | $ | 1,010 | |||||
Fair value of loans sold to PFSI | $ | 3,130,530 | $ | 3,548,397 | |||||
At period end: | |||||||||
Mortgage loans included in mortgage loans acquired for sale pending sale to PFSI | $ | 48,909 | $ | 542,490 | |||||
Summary of Investment Activity | ' | ||||||||
Following is a summary of investment activity between the Company and PFSI: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Purchases of excess servicing spread | $ | 20,526 | $ | — | |||||
Interest income from excess servicing spread | $ | 2,862 | $ | — | |||||
Excess servicing spread recapture recognized | $ | 1,890 | $ | — | |||||
MSR recapture recognized | $ | 8 | $ | 133 | |||||
Summary of Expenses | ' | ||||||||
The Company reimburses PFSI and its affiliates for other expenses, including common overhead expenses and other expenses incurred on its behalf by PFSI, in accordance with the terms of its management agreement as summarized below: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Reimbursement of: | |||||||||
Common overhead incurred by PFSI | $ | 2,578 | $ | 2,606 | |||||
Expenses incurred on the Company’s behalf | 445 | 1,358 | |||||||
$ | 3,023 | $ | 3,964 | ||||||
Payments and settlements during the period (1) | $ | 18,386 | $ | 33,362 | |||||
-1 | Payments and settlements include payments for management fees and correspondent lending activities itemized in the preceding tables and netting settlements made pursuant to master netting agreements between the Company and PFSI. | ||||||||
Summary of Amounts Due to Affiliates | ' | ||||||||
Amounts due to PFSI are summarized below: | |||||||||
March 31, | December 31, | ||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Contingent underwriting fees | $ | 1,752 | $ | 1,788 | |||||
Servicing fees | 8,222 | 5,915 | |||||||
Management fees | 8,074 | 8,924 | |||||||
Allocated expenses | 2,764 | 2,009 | |||||||
$ | 20,812 | $ | 18,636 | ||||||
Earnings_Per_Share_Tables
Earnings Per Share (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
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, | |||||||||
2014 | 2013 | ||||||||
(in thousands, except per share amounts) | |||||||||
Basic earnings per share: | |||||||||
Net income | $ | 37,873 | $ | 53,296 | |||||
Effect of participating securities—share-based compensation awards | (408 | ) | (518 | ) | |||||
Net income attributable to common shareholders | $ | 37,465 | $ | 52,778 | |||||
Weighted-average shares outstanding | 71,527 | 58,927 | |||||||
Basic earnings per share | $ | 0.52 | $ | 0.9 | |||||
Diluted earnings per share: | |||||||||
Net income | $ | 37,873 | $ | 53,296 | |||||
Interest on exchangeable senior notes, net of income taxes | 2,079 | — | |||||||
Net income attributable to diluted shareholders | $ | 39,952 | $ | 53,296 | |||||
Weighted-average shares outstanding | 71,527 | 58,927 | |||||||
Potentially dilutive securities: | |||||||||
Shares issuable pursuant exchange of the Notes | 8,379 | — | |||||||
Shares issuable under share-based compensation | 383 | 392 | |||||||
Diluted weighted-average number of shares outstanding | 80,289 | 59,319 | |||||||
Diluted earnings per share | $ | 0.5 | $ | 0.9 | |||||
Loan_Sales_Tables
Loan Sales (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Text Block [Abstract] | ' | ||||||||
Summary of Cash Flows between Company and Transferees upon Sale of Loans in Transactions | ' | ||||||||
The following table summarizes cash flows between the Company and transferees upon sale of loans in transactions where PMT maintains continuing involvement with the mortgage loans as well as unpaid principal balance information at period end: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Cash flows: | |||||||||
Proceeds from sales | $ | 2,026,306 | $ | 5,134,736 | |||||
Servicing fees received (1) | $ | 16,838 | $ | 9,136 | |||||
Period end information: | |||||||||
Unpaid principal balance of mortgage loans outstanding | $ | 27,192,550 | $ | 16,642,130 | |||||
Unpaid principal balance of delinquent mortgage loans: | |||||||||
30-89 days delinquent | $ | 70,365 | $ | 38,272 | |||||
90 or more days delinquent | |||||||||
Not in foreclosure or bankruptcy | $ | 7,700 | $ | 2,731 | |||||
In foreclosure or bankruptcy | $ | 10,569 | $ | 1,526 | |||||
-1 | Net of guarantee fees | ||||||||
Assets and Liabilities of Consolidated VIE | ' | ||||||||
Assets and Liabilities of Consolidated VIE | |||||||||
March 31, | December 31, | ||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Assets | |||||||||
Mortgage loans at fair value held by VIE | $ | 529,680 | $ | 523,652 | |||||
Interest receivable, included in Other assets | 1,718 | 1,584 | |||||||
Total | $ | 531,398 | $ | 525,236 | |||||
Liabilities | |||||||||
Asset-backed secured financing of the variable interest entity at fair value | $ | 166,514 | $ | 165,415 | |||||
Interest payable, included in Accounts payable and accrued liabilities | 497 | 497 | |||||||
Total | $ | 167,011 | $ | 165,912 | |||||
Netting_of_Financial_Instrumen1
Netting of Financial Instruments (Tables) | 3 Months Ended | ||||||||||||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||||||||||||
Text Block [Abstract] | ' | ||||||||||||||||||||||||||||||||
Summary of Offsetting of Derivative Assets | ' | ||||||||||||||||||||||||||||||||
Offsetting of Derivative Assets | |||||||||||||||||||||||||||||||||
Following is a summary of net derivative assets. As discussed above, all derivatives with the exception of IRLCs are subject to master netting arrangements. | |||||||||||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||||||||||
Gross | Gross | Net | Gross | Gross | Net | ||||||||||||||||||||||||||||
amounts | amounts | amounts | amounts | amounts | amounts | ||||||||||||||||||||||||||||
of | offset | of assets | of | offset | of assets | ||||||||||||||||||||||||||||
recognized | in the | presented | recognized | in the | presented | ||||||||||||||||||||||||||||
assets | consolidated | in the | assets | consolidated | in the | ||||||||||||||||||||||||||||
balance | consolidated | balance | consolidated | ||||||||||||||||||||||||||||||
sheet | balance | sheet | balance | ||||||||||||||||||||||||||||||
sheet | sheet | ||||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||
Derivatives subject to master netting arrangements: | |||||||||||||||||||||||||||||||||
MBS put options | $ | 1,027 | $ | — | $ | 1,027 | $ | 272 | $ | — | $ | 272 | |||||||||||||||||||||
MBS call options | 93 | — | 93 | ||||||||||||||||||||||||||||||
Forward purchase contracts | 777 | — | 777 | 1,229 | — | 1,229 | |||||||||||||||||||||||||||
Forward sale contracts | 5,434 | — | 5,434 | 16,385 | — | 16,385 | |||||||||||||||||||||||||||
Treasury futures | 328 | — | 328 | — | — | — | |||||||||||||||||||||||||||
Put options on Eurodollar futures | 432 | — | 432 | 566 | — | 566 | |||||||||||||||||||||||||||
Call options on Eurodollar futures | 66 | — | 66 | — | — | — | |||||||||||||||||||||||||||
Netting | — | (3,738 | ) | (3,738 | ) | — | (12,986 | ) | (12,986 | ) | |||||||||||||||||||||||
8,157 | (3,738 | ) | 4,419 | 18,452 | (12,986 | ) | 5,466 | ||||||||||||||||||||||||||
Derivatives not subject to master netting arrangements: | |||||||||||||||||||||||||||||||||
Interest rate lock commitments | 3,509 | — | 3,509 | 2,510 | — | 2,510 | |||||||||||||||||||||||||||
$ | 11,666 | $ | (3,738 | ) | $ | 7,928 | $ | 20,962 | $ | (12,986 | ) | $ | 7,976 | ||||||||||||||||||||
Summary of Derivative Assets and Collateral Held by Counterparty | ' | ||||||||||||||||||||||||||||||||
Derivative Assets 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 netting. | |||||||||||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||||||||||
Gross amounts | Gross amounts | ||||||||||||||||||||||||||||||||
not offset in the | not offset in the | ||||||||||||||||||||||||||||||||
consolidated | consolidated | ||||||||||||||||||||||||||||||||
balance sheet | balance sheet | ||||||||||||||||||||||||||||||||
Net | Financial | Cash | Net | Net | Financial | Cash | Net | ||||||||||||||||||||||||||
amount | instruments | collateral | amount | amount | instruments | collateral | amount | ||||||||||||||||||||||||||
of assets | received | of assets | received | ||||||||||||||||||||||||||||||
presented | presented | ||||||||||||||||||||||||||||||||
in the | in the | ||||||||||||||||||||||||||||||||
balance | balance | ||||||||||||||||||||||||||||||||
sheet | sheet | ||||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||
Interest rate lock commitments | $ | 3,509 | $ | — | $ | — | $ | 3,509 | $ | 2,510 | $ | — | $ | — | $ | 2,510 | |||||||||||||||||
RBS Securities | 892 | — | — | 892 | — | — | — | — | |||||||||||||||||||||||||
RJ O’Brien | 826 | — | — | 826 | 566 | — | — | 566 | |||||||||||||||||||||||||
Citibank | 725 | — | — | 725 | — | — | — | — | |||||||||||||||||||||||||
Bank of America, N.A. | 594 | — | — | 594 | 1,024 | — | — | 1,024 | |||||||||||||||||||||||||
Wells Fargo | 245 | 245 | 378 | 378 | |||||||||||||||||||||||||||||
Credit Suisse First Boston Mortgage Capital LLC | 234 | — | — | 234 | — | — | — | — | |||||||||||||||||||||||||
Daiwa Capital Markets | 141 | — | — | 141 | 608 | — | — | 608 | |||||||||||||||||||||||||
Fannie Mae Capital Markets | — | — | — | — | 432 | — | — | 432 | |||||||||||||||||||||||||
Morgan Stanley Bank, N.A. | — | — | — | — | 546 | — | — | 546 | |||||||||||||||||||||||||
Cantor Fitzgerald LP | — | — | — | — | 613 | — | — | 613 | |||||||||||||||||||||||||
Other | 762 | — | — | 762 | 1,299 | — | — | 1,299 | |||||||||||||||||||||||||
Total | $ | 7,928 | $ | — | $ | — | $ | 7,928 | $ | 7,976 | $ | — | $ | — | $ | 7,976 | |||||||||||||||||
Schedule of Offsetting of Derivative Liabilities and Financial Liabilities | ' | ||||||||||||||||||||||||||||||||
Offsetting of Derivative Liabilities and Financial Liabilities | |||||||||||||||||||||||||||||||||
Following is a summary of net derivative liabilities and assets sold under agreements to repurchase. As discussed above, all derivatives with the exception of IRLCs are subject to master netting arrangements. Assets sold under agreements to repurchase do not qualify for netting. | |||||||||||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||||||||||
Gross | Gross | Net | Gross | Gross | Net | ||||||||||||||||||||||||||||
amounts | amounts | amounts | amounts | amounts | amounts | ||||||||||||||||||||||||||||
of | offset | of liabilities | of | offset | of liabilities | ||||||||||||||||||||||||||||
recognized | in the | presented | recognized | in the | presented | ||||||||||||||||||||||||||||
liabilities | balance | in the | liabilities | balance | in the | ||||||||||||||||||||||||||||
sheet | balance | sheet | balance | ||||||||||||||||||||||||||||||
sheet | sheet | ||||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||
Derivatives subject to master netting arrangements: | |||||||||||||||||||||||||||||||||
Forward purchase contracts | $ | 3,547 | $ | — | $ | 3,547 | $ | 7,420 | $ | — | $ | 7,420 | |||||||||||||||||||||
Forward contracts | 1,219 | — | 1,219 | 1,295 | — | 1,295 | |||||||||||||||||||||||||||
MBS options | 333 | — | 333 | — | — | — | |||||||||||||||||||||||||||
Netting | — | (4,376 | ) | (4,376 | ) | — | (8,015 | ) | (8,015 | ) | |||||||||||||||||||||||
5,099 | (4,376 | ) | 723 | 8,715 | (8,015 | ) | 700 | ||||||||||||||||||||||||||
Derivatives not subject to master netting arrangements: | |||||||||||||||||||||||||||||||||
Interest rate lock commitments | 238 | — | 238 | 1,261 | — | 1,261 | |||||||||||||||||||||||||||
5,337 | (4,376 | ) | 961 | 9,976 | (8,015 | ) | 1,961 | ||||||||||||||||||||||||||
Assets sold under agreements to repurchase | 1,887,778 | — | 1,887,778 | 2,039,605 | — | 2,039,605 | |||||||||||||||||||||||||||
$ | 1,893,115 | $ | (4,376 | ) | $ | 1,888,739 | $ | 2,049,581 | $ | (8,015 | ) | $ | 2,041,566 | ||||||||||||||||||||
Summary of Derivative Liabilities, Financial Liabilities and Collateral Held by Counterparty | ' | ||||||||||||||||||||||||||||||||
Derivative Liabilities, Financial Liabilities and Collateral Held 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 qualifying for offset. All assets sold under agreements to repurchase represent sufficient collateral or exceed the liability amount recorded on the consolidated balance sheet. | |||||||||||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||||||||||
Gross amounts | Gross amounts | ||||||||||||||||||||||||||||||||
not offset in the | not offset in the | ||||||||||||||||||||||||||||||||
consolidated | consolidated | ||||||||||||||||||||||||||||||||
balance sheet | balance sheet | ||||||||||||||||||||||||||||||||
Net amount of | Financial | Cash | Net | Net amount of | Financial | Cash | Net | ||||||||||||||||||||||||||
liabilities | instruments | collateral | amount | liabilities | instruments | collateral | amount | ||||||||||||||||||||||||||
presented | pledged | presented | pledged | ||||||||||||||||||||||||||||||
in the | in the | ||||||||||||||||||||||||||||||||
consolidated | consolidated | ||||||||||||||||||||||||||||||||
balance | balance | ||||||||||||||||||||||||||||||||
sheet | sheet | ||||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||
Citibank | $ | 778,460 | $ | (778,460 | ) | $ | — | $ | — | $ | 945,015 | $ | (944,856 | ) | $ | — | $ | 159 | |||||||||||||||
Credit Suisse First Boston Mortgage Capital LLC | 443,362 | (443,362 | ) | — | — | 523,546 | (523,546 | ) | — | — | |||||||||||||||||||||||
Bank of America, N.A. | 334,772 | (334,772 | ) | — | — | 408,452 | (408,452 | ) | — | — | |||||||||||||||||||||||
Deutsche Bank | — | — | — | 110 | — | 110 | |||||||||||||||||||||||||||
Daiwa Capital Markets | 130,825 | (130,825 | ) | — | — | 132,525 | (132,525 | ) | — | — | |||||||||||||||||||||||
Morgan Stanley Bank, N.A. | 109,884 | (109,707 | ) | — | 177 | 30,226 | (30,226 | ) | — | — | |||||||||||||||||||||||
RBS Securities | 90,652 | (90,652 | ) | — | — | — | — | — | — | ||||||||||||||||||||||||
JP Morgan | — | — | — | 228 | 228 | ||||||||||||||||||||||||||||
Interest rate lock commitments | 238 | — | — | 238 | 1,261 | — | — | 1,261 | |||||||||||||||||||||||||
Other | 546 | — | — | 546 | 203 | — | — | 203 | |||||||||||||||||||||||||
Total | $ | 1,888,739 | $ | (1,887,778 | ) | $ | — | $ | 961 | $ | 2,041,566 | $ | (2,039,605 | ) | $ | — | $ | 1,961 | |||||||||||||||
Fair_Value_Tables
Fair Value (Tables) | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | ' | ||||||||||||||||||||||||
Summary of Financial Statement Items Measured at Estimated Fair Value on Recurring Basis | ' | ||||||||||||||||||||||||
Following is a summary of financial statement items that are measured at estimated fair value on a recurring basis: | |||||||||||||||||||||||||
March 31, 2014 | |||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||
Short-term investments | $ | 91,338 | $ | — | $ | — | $ | 91,338 | |||||||||||||||||
Mortgage-backed securities at fair value | — | 198,110 | — | 198,110 | |||||||||||||||||||||
Mortgage loans acquired for sale at fair value | — | 344,680 | — | 344,680 | |||||||||||||||||||||
Mortgage loans at fair value | — | — | 2,079,020 | 2,079,020 | |||||||||||||||||||||
Mortgage loans under forward purchase agreements at fair value | — | — | 202,661 | 202,661 | |||||||||||||||||||||
Mortgage loans at fair value held by variable interest entity | — | 529,680 | — | 529,680 | |||||||||||||||||||||
Excess servicing spread purchased from PennyMac Financial Services, Inc. | — | — | 151,019 | 151,019 | |||||||||||||||||||||
Derivative assets: | |||||||||||||||||||||||||
Interest rate lock commitments | — | — | 3,509 | 3,509 | |||||||||||||||||||||
MBS put options | — | 1,027 | — | 1,027 | |||||||||||||||||||||
MBS call options | — | 93 | — | 93 | |||||||||||||||||||||
Forward purchase contracts | — | 777 | — | 777 | |||||||||||||||||||||
Forward sales contracts | — | 5,434 | — | 5,434 | |||||||||||||||||||||
Treasury futures | — | 328 | — | 328 | |||||||||||||||||||||
Put options on Eurodollar futures | — | 432 | — | 432 | |||||||||||||||||||||
Call options on Eurodollar futures | — | 66 | — | 66 | |||||||||||||||||||||
Total derivative assets before netting | — | 8,157 | 3,509 | 11,666 | |||||||||||||||||||||
Netting (1) | — | — | — | (3,738 | ) | ||||||||||||||||||||
Total derivative assets before netting | — | 8,157 | 3,509 | 7,928 | |||||||||||||||||||||
Mortgage servicing rights at fair value | — | — | 36,181 | 36,181 | |||||||||||||||||||||
$ | 91,338 | $ | 1,080,627 | $ | 2,472,390 | $ | 3,640,617 | ||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||
Asset-backed secured financing of the variable interest entity at fair value | $ | — | $ | 166,514 | $ | — | $ | 166,514 | |||||||||||||||||
Derivative liabilities: | |||||||||||||||||||||||||
Interest rate lock commitments | — | — | 238 | 238 | |||||||||||||||||||||
MBS call options | — | 333 | — | 333 | |||||||||||||||||||||
Forward purchase contracts | — | 3,547 | — | 3,547 | |||||||||||||||||||||
Forward sales contracts | — | 1,219 | — | 1,219 | |||||||||||||||||||||
Total derivative liabilities before netting | — | 5,099 | 238 | 5,337 | |||||||||||||||||||||
Netting (1) | — | — | — | (4,376 | ) | ||||||||||||||||||||
Total derivative liabilities | — | 5,099 | 238 | 961 | |||||||||||||||||||||
Total liabilities | $ | — | $ | 171,613 | $ | 238 | $ | 167,475 | |||||||||||||||||
-1 | Derivatives are reported net of cash collateral received and paid and, to the extent that the criteria of the accounting guidance covering the offsetting of amounts related to certain contracts are met, positions with the same counterparty are netted as part of a legally enforceable master netting agreement. | ||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||
Short-term investments | $ | 92,398 | $ | — | $ | — | $ | 92,398 | |||||||||||||||||
Mortgage-backed securities at fair value | — | 197,401 | — | 197,401 | |||||||||||||||||||||
Mortgage loans acquired for sale at fair value | — | 458,137 | — | 458,137 | |||||||||||||||||||||
Mortgage loans at fair value | — | — | 2,076,665 | 2,076,665 | |||||||||||||||||||||
Mortgage loans under forward purchase agreements at fair value | — | — | 218,128 | 218,128 | |||||||||||||||||||||
Mortgage loans at fair value held by variable interest entity | — | 523,652 | — | 523,652 | |||||||||||||||||||||
Excess servicing spread purchased from PennyMac Financial Services, Inc. | — | — | 138,723 | 138,723 | |||||||||||||||||||||
Derivative assets: | |||||||||||||||||||||||||
Interest rate lock commitments | — | — | 2,510 | 2,510 | |||||||||||||||||||||
MBS put options | — | 272 | — | 272 | |||||||||||||||||||||
Forward purchase contracts | — | 1,229 | — | 1,229 | |||||||||||||||||||||
Forward sales contracts | — | 16,385 | — | 16,385 | |||||||||||||||||||||
Options on Eurodollar futures | — | 566 | — | 566 | |||||||||||||||||||||
Total derivative assets before netting | — | 18,452 | 2,510 | 20,962 | |||||||||||||||||||||
Netting (1) | — | — | — | (12,986 | ) | ||||||||||||||||||||
Total derivative assets | — | 18,452 | 2,510 | 7,976 | |||||||||||||||||||||
Mortgage servicing rights at fair value | — | — | 26,452 | 26,452 | |||||||||||||||||||||
$ | 92,398 | $ | 1,197,642 | $ | 2,462,478 | $ | 3,739,532 | ||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||
Asset-backed secured financing of the variable interest entity at fair value | $ | — | $ | 165,415 | $ | — | $ | 165,415 | |||||||||||||||||
Derivative liabilities: | |||||||||||||||||||||||||
Interest rate lock commitments | — | — | 1,261 | 1,261 | |||||||||||||||||||||
Forward purchase contracts | — | 7,420 | — | 7,420 | |||||||||||||||||||||
Forward sales contracts | — | 1,295 | — | 1,295 | |||||||||||||||||||||
Total derivative liabilities | — | 8,715 | 1,261 | 9,976 | |||||||||||||||||||||
Netting (1) | — | — | — | (8,015 | ) | ||||||||||||||||||||
Total derivative liabilities | — | 8,715 | 1,261 | 1,961 | |||||||||||||||||||||
Total liabilities | $ | — | $ | 174,130 | $ | 1,261 | $ | 167,376 | |||||||||||||||||
-1 | Derivatives are reported net of cash collateral received and paid and, to the extent that the criteria of the accounting guidance covering the offsetting of amounts related to certain contracts are met, positions with the same counterparty are netted as part of a legally enforceable master netting agreement. | ||||||||||||||||||||||||
Summary of Changes in Items Measured Using Level 3 Inputs on Recurring Basis | ' | ||||||||||||||||||||||||
The following is a summary of changes in items measured using Level 3 inputs on a recurring basis: | |||||||||||||||||||||||||
Mortgage | Mortgage | Excess | Interest | Mortgage | Total | ||||||||||||||||||||
loans | loans under | servicing | rate lock | servicing | |||||||||||||||||||||
at fair value | forward | spread | commitments(1) | rights | |||||||||||||||||||||
purchase | |||||||||||||||||||||||||
agreements | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||
Balance, December 31, 2013 | $ | 2,076,665 | $ | 218,128 | $ | 138,723 | $ | 1,249 | $ | 26,452 | $ | 2,461,217 | |||||||||||||
Purchases | 256,280 | 920 | 20,526 | — | — | 277,726 | |||||||||||||||||||
Repayments | (54,436 | ) | (5,329 | ) | (7,413 | ) | — | — | (67,178 | ) | |||||||||||||||
Accrual of interest | — | — | 2,862 | — | — | 2,862 | |||||||||||||||||||
ESS received pursuant to a recapture agreement with PFSI | — | — | 1,113 | — | — | 1,113 | |||||||||||||||||||
Interest rate lock commitments issued, net | — | — | — | 12,596 | — | 12,596 | |||||||||||||||||||
Capitalization of interest | 11,726 | 744 | — | — | — | 12,470 | |||||||||||||||||||
Sales | (192,403 | ) | — | — | — | — | (192,403 | ) | |||||||||||||||||
Servicing received as proceeds from sales of mortgage loans | — | — | — | — | 11,757 | 11,757 | |||||||||||||||||||
Changes in fair value included in income arising from: | |||||||||||||||||||||||||
Changes in instrument-specific credit risk | 15,742 | 2,397 | 18,139 | ||||||||||||||||||||||
Other factors | 25,116 | (3,337 | ) | (4,792 | ) | 2,430 | (2,028 | ) | 17,389 | ||||||||||||||||
40,858 | (940 | ) | (4,792 | ) | 2,430 | (2,028 | ) | 35,528 | |||||||||||||||||
Transfers of mortgage loans under forward purchase agreements to mortgage loans | 4,460 | (4,460 | ) | — | — | — | — | ||||||||||||||||||
Transfers of mortgage loans to REO | (64,130 | ) | — | — | — | — | (64,130 | ) | |||||||||||||||||
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements | — | (6,402 | ) | — | — | — | (6,402 | ) | |||||||||||||||||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | — | — | — | (13,004 | ) | — | (13,004 | ) | |||||||||||||||||
Balance, March 31, 2014 | $ | 2,079,020 | $ | 202,661 | $ | 151,019 | $ | 3,271 | $ | 36,181 | $ | 2,472,152 | |||||||||||||
Changes in fair value recognized during the period relating to assets still held at March 31, 2014 | $ | 34,209 | $ | (1,623 | ) | $ | (4,792 | ) | $ | 3,271 | $ | (2,028 | ) | $ | 29,037 | ||||||||||
-1 | For the purpose of this table, the interest rate lock asset and liability positions are shown net. | ||||||||||||||||||||||||
March 31, 2013 | |||||||||||||||||||||||||
Mortgage | Interest | Mortgage | Total | ||||||||||||||||||||||
loans | rate lock | servicing | |||||||||||||||||||||||
at fair value | commitments(1) | rights | |||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||
Balance, December 31, 2012 | $ | 1,189,971 | $ | 19,479 | $ | 1,346 | $ | 1,210,796 | |||||||||||||||||
Purchases | 200,473 | — | — | 200,473 | |||||||||||||||||||||
Repayments | (61,421 | ) | — | — | (61,421 | ) | |||||||||||||||||||
Interest rate lock commitments issued, net | — | 35,414 | — | 35,414 | |||||||||||||||||||||
Capitalization of interest | 5,230 | — | — | 5,230 | |||||||||||||||||||||
Servicing received as proceeds from sales of mortgage loans | — | — | 26 | 26 | |||||||||||||||||||||
Changes in fair value included in income arising from: | |||||||||||||||||||||||||
Changes in instrument-specific credit risk | 8,445 | 8,445 | |||||||||||||||||||||||
Other factors | 55,535 | — | (67 | ) | 55,468 | ||||||||||||||||||||
63,980 | — | (67 | ) | 63,913 | |||||||||||||||||||||
Transfers of mortgage loans to REO | (31,311 | ) | — | — | (31,311 | ) | |||||||||||||||||||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | — | (43,841 | ) | — | (43,841 | ) | |||||||||||||||||||
Balance, March 31, 2013 | $ | 1,366,922 | $ | 11,052 | $ | 1,305 | $ | 1,379,279 | |||||||||||||||||
Changes in fair value recognized during the period relating to assets still held at March 31, 2013 | $ | 50,608 | $ | 11,052 | $ | (67 | ) | $ | 61,593 | ||||||||||||||||
-1 | For the purpose of this table, the interest rate lock asset and liability positions are shown net. | ||||||||||||||||||||||||
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 mortgage loans accounted for under the fair value option (including mortgage loans acquired for sale, mortgage loans at fair value, mortgage loans under forward purchase agreements at fair value and mortgage loans at fair value held by variable interest entity): | |||||||||||||||||||||||||
March 31, 2014 | |||||||||||||||||||||||||
Fair value | Principal | Difference | |||||||||||||||||||||||
amount due | |||||||||||||||||||||||||
upon maturity | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Mortgage loans acquired for sale: | |||||||||||||||||||||||||
Current through 89 days delinquent | $ | 344,515 | $ | 332,267 | $ | 12,248 | |||||||||||||||||||
90 or more days delinquent (1) | |||||||||||||||||||||||||
Not in foreclosure | 165 | 162 | 3 | ||||||||||||||||||||||
In foreclosure | — | — | — | ||||||||||||||||||||||
344,680 | 332,429 | 12,251 | |||||||||||||||||||||||
Mortgage loans and mortgage loans under forward purchase agreements at fair value: | |||||||||||||||||||||||||
Current through 89 days delinquent | 541,634 | 859,763 | (318,129 | ) | |||||||||||||||||||||
90 or more days delinquent (1) | |||||||||||||||||||||||||
Not in foreclosure | 719,726 | 1,149,611 | (429,885 | ) | |||||||||||||||||||||
In foreclosure | 1,020,321 | 1,635,615 | (615,294 | ) | |||||||||||||||||||||
2,281,681 | 3,644,989 | (1,363,308 | ) | ||||||||||||||||||||||
Mortgage loans at fair value held by variable interest entity: | |||||||||||||||||||||||||
Current through 89 days delinquent | 529,680 | 537,804 | (8,124 | ) | |||||||||||||||||||||
90 or more days delinquent (1) | |||||||||||||||||||||||||
Not in foreclosure | — | — | — | ||||||||||||||||||||||
In foreclosure | — | — | — | ||||||||||||||||||||||
529,680 | 537,804 | (8,124 | ) | ||||||||||||||||||||||
$ | 3,156,041 | $ | 4,515,222 | $ | (1,359,181 | ) | |||||||||||||||||||
-1 | Loans delinquent 90 or more days are placed on nonaccrual status and previously accrued interest is reversed. | ||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
Fair value | Principal | Difference | |||||||||||||||||||||||
amount due | |||||||||||||||||||||||||
upon maturity | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Mortgage loans acquired for sale: | |||||||||||||||||||||||||
Current through 89 days delinquent | $ | 457,968 | $ | 447,224 | $ | 10,744 | |||||||||||||||||||
90 or more days delinquent (1) | |||||||||||||||||||||||||
Not in foreclosure | 169 | 162 | 7 | ||||||||||||||||||||||
In foreclosure | — | — | — | ||||||||||||||||||||||
458,137 | 447,386 | 10,751 | |||||||||||||||||||||||
Mortgage loans and mortgage loans under forward purchase agreements at fair value: | |||||||||||||||||||||||||
Current through 89 days delinquent | 647,266 | 962,919 | (315,653 | ) | |||||||||||||||||||||
90 or more days delinquent (1) | |||||||||||||||||||||||||
Not in foreclosure | 738,043 | 1,190,403 | (452,360 | ) | |||||||||||||||||||||
In foreclosure | 909,484 | 1,493,644 | (584,160 | ) | |||||||||||||||||||||
2,294,793 | 3,646,966 | (1,352,173 | ) | ||||||||||||||||||||||
Mortgage loans at fair value held by variable interest entity: | |||||||||||||||||||||||||
Current through 89 days delinquent | 523,652 | 543,257 | (19,605 | ) | |||||||||||||||||||||
90 or more days delinquent (1) | |||||||||||||||||||||||||
Not in foreclosure | — | — | — | ||||||||||||||||||||||
In foreclosure | — | — | — | ||||||||||||||||||||||
523,652 | 543,257 | (19,605 | ) | ||||||||||||||||||||||
$ | 3,276,582 | $ | 4,637,609 | $ | (1,361,027 | ) | |||||||||||||||||||
-1 | Loans delinquent 90 or more days are placed on nonaccrual status and previously accrued interest is reversed. | ||||||||||||||||||||||||
Summary of Changes in Fair Value Included in Current Period Income | ' | ||||||||||||||||||||||||
Following are the changes in fair value included in current period income by consolidated statement of income line item for financial statement items accounted for under the fair value option: | |||||||||||||||||||||||||
Quarter ended March 31, 2014 | |||||||||||||||||||||||||
Net gain on | Net | Net gain | Net loan | Total | |||||||||||||||||||||
mortgage | interest | on | servicing | ||||||||||||||||||||||
loans | income | investments | fees | ||||||||||||||||||||||
acquired | |||||||||||||||||||||||||
for sale | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||
Short-term investments | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Mortgage-backed securities at fair value | — | 33 | 2,652 | — | 2,685 | ||||||||||||||||||||
Mortgage loans acquired for sale at fair value | 18,632 | — | — | — | 18,632 | ||||||||||||||||||||
Mortgage loans at fair value | — | — | 40,858 | — | 40,858 | ||||||||||||||||||||
Mortgage loans under forward purchase agreements at fair value | — | — | (940 | ) | — | (940 | ) | ||||||||||||||||||
Mortgage loans at fair value held by variable interest entity | — | 330 | 11,307 | — | 11,637 | ||||||||||||||||||||
Excess servicing spread at fair value | — | — | (2,901 | ) | — | (2,901 | ) | ||||||||||||||||||
Mortgage servicing rights at fair value | — | — | — | (2,027 | ) | (2,027 | ) | ||||||||||||||||||
$ | 18,632 | $ | 363 | $ | 50,976 | $ | (2,027 | ) | $ | 67,944 | |||||||||||||||
Liabilities: | |||||||||||||||||||||||||
Asset-backed secured financing of the variable interest entity at fair value | $ | — | $ | (124 | ) | $ | (2,780 | ) | $ | — | $ | (2,904 | ) | ||||||||||||
$ | — | $ | (124 | ) | $ | (2,780 | ) | $ | — | $ | (2,904 | ) | |||||||||||||
Quarter ended March 31, 2013 | |||||||||||||||||||||||||
Net gain on | Net | Net gain on | Net loan | Total | |||||||||||||||||||||
mortgage | interest | investments | servicing | ||||||||||||||||||||||
loans | income | fees | |||||||||||||||||||||||
acquired | |||||||||||||||||||||||||
for sale | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||
Short-term investments | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Mortgage loans acquired for sale at fair value | 24,757 | — | — | — | 24,757 | ||||||||||||||||||||
Mortgage loans at fair value | — | — | 63,980 | — | 63,980 | ||||||||||||||||||||
Mortgage servicing rights at fair value | — | — | — | (67 | ) | (67 | ) | ||||||||||||||||||
$ | 24,757 | $ | — | $ | 63,980 | $ | (67 | ) | $ | 88,670 | |||||||||||||||
Summary of Financial Statement Items Measured at Estimated Fair Value on Nonrecurring Basis | ' | ||||||||||||||||||||||||
Following is a summary of financial statement items that are measured at estimated fair value on a nonrecurring basis: | |||||||||||||||||||||||||
March 31, 2014 | |||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Real estate asset acquired in settlement of loans | $ | — | $ | — | $ | 75,025 | $ | 75,025 | |||||||||||||||||
Real estate asset acquired in settlement of loans under forward purchase agreements | — | — | 10,236 | 10,236 | |||||||||||||||||||||
Mortgage servicing rights at lower of amortized cost or fair value | — | — | 49,108 | 49,108 | |||||||||||||||||||||
$ | — | $ | — | $ | 134,369 | $ | 134,369 | ||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Real estate asset acquired in settlement of loans | $ | — | $ | — | $ | 63,043 | $ | 63,043 | |||||||||||||||||
Real estate asset acquired in settlement of loans under forward purchase agreements | — | — | 7,760 | 7,760 | |||||||||||||||||||||
Mortgage servicing rights at lower of amortized cost or fair value | — | — | 184,067 | 184,067 | |||||||||||||||||||||
$ | — | $ | — | $ | 254,870 | $ | 254,870 | ||||||||||||||||||
Summary of Total Gains (Losses) Recognized on Assets Measured at Estimated Fair Values on Nonrecurring Basis | ' | ||||||||||||||||||||||||
The following table summarizes the net losses recognized during the period on assets measured at estimated fair values on a nonrecurring basis: | |||||||||||||||||||||||||
Quarter ended March 31, | |||||||||||||||||||||||||
2014 | 2013 | ||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Real estate asset acquired in settlement of loans | $ | (7,314 | ) | $ | (4,954 | ) | |||||||||||||||||||
Real estate asset acquired in settlement of loans under forward purchase agreements | (528 | ) | — | ||||||||||||||||||||||
Mortgage servicing rights at lower of amortized cost or fair value | (627 | ) | 2,486 | ||||||||||||||||||||||
$ | (8,469 | ) | $ | (2,468 | ) | ||||||||||||||||||||
Quantitative Summary of Key Inputs Used in Valuation of Mortgage Loans and Mortgage Loans Under Forward Purchase Agreements at Fair Value | ' | ||||||||||||||||||||||||
Following is a quantitative summary of key inputs used in the valuation of mortgage loans at fair value and mortgage loans under forward purchase agreements at fair value: | |||||||||||||||||||||||||
Range | |||||||||||||||||||||||||
(Weighted average) | |||||||||||||||||||||||||
Key inputs | March 31, 2014 | December 31, 2013 | |||||||||||||||||||||||
Mortgage loans at fair value | |||||||||||||||||||||||||
Discount rate | 8.5% – 16.9% | 8.7% – 16.9% | |||||||||||||||||||||||
-12.40% | -12.70% | ||||||||||||||||||||||||
Twelve-month projected housing price index change | 2.1% – 3.8% | 2.5% – 4.3% | |||||||||||||||||||||||
-3.50% | -3.70% | ||||||||||||||||||||||||
Prepayment speed(1) | 0.0% – 6.0% | 0.0% – 3.9% | |||||||||||||||||||||||
-2.10% | -2.00% | ||||||||||||||||||||||||
Total prepayment speed (2) | 0.6% – 32.9% | 0.3% – 33.9% | |||||||||||||||||||||||
-23.60% | -24.30% | ||||||||||||||||||||||||
Mortgage loans under forward purchase agreements | |||||||||||||||||||||||||
Discount rate | 8.5% – 15.2% | 9.5% – 13.5% | |||||||||||||||||||||||
-12.50% | -11.90% | ||||||||||||||||||||||||
Twelve-month projected housing price index change | 3.2% – 3.8% | 3.3% – 4.2% | |||||||||||||||||||||||
-3.60% | -3.80% | ||||||||||||||||||||||||
Prepayment speed(1) | 1.9% – 3.9% | 1.1% – 2.9% | |||||||||||||||||||||||
-2.70% | -2.20% | ||||||||||||||||||||||||
Total prepayment speed (2) | 11.3% – 26.6% | 13.4% – 27.9% | |||||||||||||||||||||||
-21.60% | -22.80% | ||||||||||||||||||||||||
-1 | Prepayment speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”). | ||||||||||||||||||||||||
-2 | Total prepayment speed is measured using Life Total CPR. | ||||||||||||||||||||||||
Summary of Key Inputs Used in Determining Fair Value of ESS | ' | ||||||||||||||||||||||||
Following are the key inputs used in determining the fair value of ESS: | |||||||||||||||||||||||||
Range | |||||||||||||||||||||||||
(Weighted average) | |||||||||||||||||||||||||
Key inputs | March 31, 2014 | December 31, 2013 | |||||||||||||||||||||||
Unpaid principal balance of underlying mortgage loans (in thousands) | $ | 22,246,336 | $ | 20,512,659 | |||||||||||||||||||||
Average servicing fee rate (in basis points) | 32 | 32 | |||||||||||||||||||||||
Average ESS rate (in basis points) | 16 | 16 | |||||||||||||||||||||||
Pricing spread (1) | 1.7% – 14.4% | 2.8% - 14.4% | |||||||||||||||||||||||
-4.80% | -5.40% | ||||||||||||||||||||||||
Life (in years) | 0. 6 - 7.3 | 0.9 - 8.0 | |||||||||||||||||||||||
-5.7 | -6.1 | ||||||||||||||||||||||||
Annual total prepayment speed (2) | 7.7% – 63.8% | 7.7% - 48.6% | |||||||||||||||||||||||
-10.40% | -9.70% | ||||||||||||||||||||||||
-1 | Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar London Interbank Offered Rate (“LIBOR”) curve for purposes of discounting cash flows relating to ESS. | ||||||||||||||||||||||||
-2 | Prepayment speed is measured using Life Total 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: | |||||||||||||||||||||||||
Range | |||||||||||||||||||||||||
(Weighted average) | |||||||||||||||||||||||||
Key inputs | March 31, 2014 | December 31, 2013 | |||||||||||||||||||||||
Pull-through rate | 64.0% - 98.0% | 64.8% - 98.0% | |||||||||||||||||||||||
-83.50% | -86.40% | ||||||||||||||||||||||||
MSR value expressed as: | |||||||||||||||||||||||||
Servicing fee multiple | 2.1 - 4.9 | 1.4 - 5.1 | |||||||||||||||||||||||
-3.9 | -4.1 | ||||||||||||||||||||||||
Percentage of unpaid principal balance | 0.5% - 1.2% | 0.4% - 1.3% | |||||||||||||||||||||||
-1.00% | -1.00% | ||||||||||||||||||||||||
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, | |||||||||||||||||||||||||
2014 | 2013 | ||||||||||||||||||||||||
Range | |||||||||||||||||||||||||
(Weighted average) | |||||||||||||||||||||||||
Key inputs | Amortized cost | Fair value | Amortized cost | Fair value | |||||||||||||||||||||
(MSR recognized and unpaid principal balance of underlying loan amounts in thousands) | |||||||||||||||||||||||||
MSR recognized | $ | 9,118 | $ | 11,757 | $ | 56,190 | $ | 26 | |||||||||||||||||
Unpaid principal balance of underlying mortgage loans | $ | 850,548 | $ | 1,091,714 | $ | 5,003,557 | $ | 2,600 | |||||||||||||||||
Weighted-average annual servicing fee rate (in basis points) | 25 | 25 | 25 | 33 | |||||||||||||||||||||
Pricing spread (1) | 6.3% – 14.3% | 8.5% – 12.3% | 5.4% – 14.4% | 7.5% - 14.4% | |||||||||||||||||||||
-8.50% | -8.90% | -7.00% | -8.50% | ||||||||||||||||||||||
Life (in years) | 1.1 – 7.3 | 2.8 – 7.3 | 2.7 - 6.9 | 2.8 - 6.8 | |||||||||||||||||||||
-5.9 | -7.1 | -6.4 | -6.1 | ||||||||||||||||||||||
Annual total prepayment speed (2) | 7.6% – 56.4% | 8.0% – 23.8% | 8.5% – 22.7% | 10.4% - 27.0% | |||||||||||||||||||||
-10.30% | -9.30% | -9.10% | -14.40% | ||||||||||||||||||||||
Annual per-loan cost of servicing | $68 – $68 | $68 – $68 | $68 – $140 | $68 - $68 | |||||||||||||||||||||
($68) | ($68) | ($68) | ($68) | ||||||||||||||||||||||
-1 | Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs acquired as proceeds from the sale of mortgage loans. | ||||||||||||||||||||||||
-2 | Prepayment speed is measured using Life Total CPR. | ||||||||||||||||||||||||
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 Assumptions | ' | ||||||||||||||||||||||||
Following is a quantitative summary of key inputs used in the valuation of MSRs as of the dates presented, and the effect on the estimated fair value from adverse changes in those assumptions (weighted averages are based upon unpaid principal balance or fair value where applicable): | |||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||
Range | |||||||||||||||||||||||||
(Weighted average) | |||||||||||||||||||||||||
Amortized cost | Fair value | Amortized cost | Fair value | ||||||||||||||||||||||
(Carrying value, unpaid principal balance and effect on value amounts in | |||||||||||||||||||||||||
thousands) | |||||||||||||||||||||||||
Carrying value | $ | 265,246 | $ | 36,181 | $ | 264,120 | $ | 26,452 | |||||||||||||||||
Key inputs: | |||||||||||||||||||||||||
Unpaid principal balance of underlying mortgage loans | $ | 23,897,201 | $ | 3,426,693 | $ | 23,399,612 | $ | 2,393,321 | |||||||||||||||||
Weighted-average annual servicing fee rate (in basis points) | 26 | 26 | 26 | 26 | |||||||||||||||||||||
Weighted-average note interest rate | 3.70% | 4.79% | 3.68% | 4.78% | |||||||||||||||||||||
Pricing spread (1) | 6.3% – 17.5% | 7.3% – 15.3% | 6.3% – 17.5% | 7.3% – 15.3% | |||||||||||||||||||||
-6.90% | -8.80% | -6.70% | -8.60% | ||||||||||||||||||||||
Effect on fair value of a: | |||||||||||||||||||||||||
5% adverse change | $ | (5,406 | ) | $ | (656 | ) | $ | (5,490 | ) | $ | (488 | ) | |||||||||||||
10% adverse change | $ | (10,628 | ) | $ | (1,290 | ) | $ | (10,791 | ) | $ | (959 | ) | |||||||||||||
20% adverse change | $ | (20,557 | ) | $ | (2,495 | ) | $ | (20,861 | ) | $ | (1,855 | ) | |||||||||||||
Weighted average life (in years) | 1.1 - 7.3 | 2.6 - 7.3 | 1.3 - 7.3 | 2.8 - 7.3 | |||||||||||||||||||||
-6.5 | -7.1 | -6.7 | -7.2 | ||||||||||||||||||||||
Prepayment speed (2) | 7.7% – 56.4% | 8.0% – 23.9% | 7.7% - 51.9% | 8.0% - 20.0% | |||||||||||||||||||||
-8.30% | -9.40% | -8.20% | -8.90% | ||||||||||||||||||||||
Effect on fair value of a: | |||||||||||||||||||||||||
5% adverse change | $ | (5,443 | ) | $ | (824 | ) | $ | (5,467 | ) | $ | (568 | ) | |||||||||||||
10% adverse change | $ | (10,719 | ) | $ | (1,619 | ) | $ | (10,765 | ) | $ | (1,117 | ) | |||||||||||||
20% adverse change | $ | (20,800 | ) | $ | (3,128 | ) | $ | (20,886 | ) | $ | (2,160 | ) | |||||||||||||
Annual per-loan cost of servicing | $68 – $140 | $68 – $140 | $68 – $140 | $68 – $140 | |||||||||||||||||||||
($68) | ($68) | ($68) | ($68) | ||||||||||||||||||||||
Effect on fair value of a: | |||||||||||||||||||||||||
5% adverse change | $ | (1,735 | ) | $ | (220 | ) | $ | (1,695 | ) | $ | (158 | ) | |||||||||||||
10% adverse change | $ | (3,471 | ) | $ | (439 | ) | $ | (3,390 | ) | $ | (316 | ) | |||||||||||||
20% adverse change | $ | (6,941 | ) | $ | (878 | ) | $ | (6,780 | ) | $ | (633 | ) | |||||||||||||
-1 | Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs acquired as proceeds from the sale of mortgage loans and purchased MSRs not backed by pools of distressed mortgage loans. | ||||||||||||||||||||||||
-2 | Prepayment speed is measured using Life Total CPR. |
Mortgage_Loans_Acquired_for_Sa1
Mortgage Loans Acquired for Sale at Fair Value (Tables) | 3 Months Ended | ||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||
Mortgage Loans On Real Estate [Abstract] | ' | ||||||||||||||||
Summary of Distribution of Company's Mortgage Loans Acquired for Sale at Fair Value | ' | ||||||||||||||||
Following is a summary of the distribution of the Company’s mortgage loans acquired for sale at fair value: | |||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||
Fair | Unpaid | Fair | Unpaid | ||||||||||||||
value | principal | value | principal | ||||||||||||||
balance | balance | ||||||||||||||||
Loan type | (in thousands) | ||||||||||||||||
Conventional: | |||||||||||||||||
Agency-eligible | $ | 282,250 | $ | 272,765 | $ | 311,162 | $ | 304,749 | |||||||||
Jumbo | 13,521 | 13,092 | 34,615 | 35,050 | |||||||||||||
Government-insured or guaranteed | 48,909 | 46,572 | 112,360 | 107,587 | |||||||||||||
$ | 344,680 | $ | 332,429 | $ | 458,137 | $ | 447,386 | ||||||||||
Loans pledged to secure assets sold under agreements to repurchase | $ | 339,153 | $ | 454,210 | |||||||||||||
Derivative_Financial_Instrumen1
Derivative Financial Instruments (Tables) | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||||
Derivative Assets and Liabilities and Related Margin Deposits Recorded within Derivative Assets and Derivative Liabilities | ' | ||||||||||||||||||||||||
The Company had the following derivative assets and liabilities and related margin deposits recorded within Derivative assets and Derivative liabilities on the consolidated balance sheets: | |||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||
Fair value | Fair value | ||||||||||||||||||||||||
Notional | Derivative | Derivative | Notional | Derivative | Derivative | ||||||||||||||||||||
Instrument | amount | assets | liabilities | amount | assets | liabilities | |||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Derivatives not designated as hedging instruments: | |||||||||||||||||||||||||
Free-standing derivatives: | |||||||||||||||||||||||||
Interest rate lock commitments | 704,824 | $ | 3,509 | $ | 238 | 557,343 | $ | 2,510 | $ | 1,261 | |||||||||||||||
Forward sales contracts | 2,497,960 | 5,434 | 1,219 | 3,588,027 | 16,385 | 1,295 | |||||||||||||||||||
Forward purchase contracts | 1,777,353 | 777 | 3,547 | 2,781,066 | 1,229 | 7,420 | |||||||||||||||||||
MBS put options | 260,000 | 1,027 | — | 55,000 | 272 | — | |||||||||||||||||||
MBS call options | 35,000 | 93 | 333 | 110,000 | — | — | |||||||||||||||||||
Eurodollar futures | 6,084,000 | — | — | 8,779,000 | — | — | |||||||||||||||||||
Treasury futures | 75,000 | 328 | — | 105,000 | — | — | |||||||||||||||||||
Call options on Eurodollar futures | 380,000 | 66 | — | — | — | — | |||||||||||||||||||
Put options on Eurodollar futures | 90,000 | 432 | — | 52,500 | 566 | — | |||||||||||||||||||
Total derivative instruments before netting | 11,666 | 5,337 | 20,962 | 9,976 | |||||||||||||||||||||
Netting | (3,738 | ) | (4,376 | ) | (12,986 | ) | (8,015 | ) | |||||||||||||||||
$ | 7,928 | $ | 961 | $ | 7,976 | $ | 1,961 | ||||||||||||||||||
Margin deposits with (collateral received from) derivatives counterparties | $ | 638 | $ | (4,971 | ) | ||||||||||||||||||||
Summary of Activity in Notional Amount of Derivative Contracts | ' | ||||||||||||||||||||||||
The following table summarizes the notional amount activity for derivative contracts used to hedge the Company’s IRLCs, inventory of mortgage loans acquired for sale and MSR: | |||||||||||||||||||||||||
Balance, | Balance, | ||||||||||||||||||||||||
beginning | Dispositions/ | end | |||||||||||||||||||||||
Period/Instrument | of period | Additions | expirations | of period | |||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Quarter ended March 31, 2014 | |||||||||||||||||||||||||
Forward purchase contracts | 2,781,066 | 6,397,817 | (7,401,530 | ) | 1,777,353 | ||||||||||||||||||||
Forward sales contracts | 3,588,027 | 8,668,939 | (9,759,006 | ) | 2,497,960 | ||||||||||||||||||||
MBS put option sales contracts | 15,000 | — | (15,000 | ) | — | ||||||||||||||||||||
MBS put option purchase contracts | 55,000 | 405,000 | (225,000 | ) | 235,000 | ||||||||||||||||||||
MBS call option purchase contracts | 110,000 | 60,000 | (135,000 | ) | 35,000 | ||||||||||||||||||||
Treasury Future sale contracts | — | 28,800 | (28,800 | ) | — | ||||||||||||||||||||
Treasury Future purchase contracts | — | 21,600 | (21,600 | ) | — | ||||||||||||||||||||
Put option on Eurodollar futures | — | 325,000 | — | 325,000 | |||||||||||||||||||||
Call option on Eurodollar futures | — | 150,000 | (60,000 | ) | 90,000 | ||||||||||||||||||||
Mortgage loans at fair value held by VIE [Member] | ' | ||||||||||||||||||||||||
Summary of Activity in Notional Amount of Derivative Contracts | ' | ||||||||||||||||||||||||
The following table summarizes the notional amount activity for derivative contracts used to hedge the Company’s net fair value changes of a portion of fixed-rate Mortgage loans at fair value held by variable interest entity and MBS securities at fair value and the related variable LIBOR rate repurchase agreement liabilities: | |||||||||||||||||||||||||
Period/Instrument | Balance, | Additions | Dispositions/ | Balance, | |||||||||||||||||||||
beginning | expirations | end | |||||||||||||||||||||||
of period | of period | ||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Quarter ended March 31, 2014 | |||||||||||||||||||||||||
Eurodollar Future sale contracts | 8,779,000 | 126,000 | (2,821,000 | ) | 6,084,000 | ||||||||||||||||||||
Eurodollar Future purchase contracts | — | 2,597,000 | (2,597,000 | ) | — | ||||||||||||||||||||
Treasury Future sale contracts | 105,000 | 75,000 | (105,000 | ) | 75,000 | ||||||||||||||||||||
Treasury Future purchase contracts | — | 75,000 | (75,000 | ) | — | ||||||||||||||||||||
Put options on Eurodollar futures | 52,500 | 112,000 | (109,500 | ) | 55,000 | ||||||||||||||||||||
MBS put option purchase contracts | 15,000 | 25,000 | (15,000 | ) | 25,000 |
Mortgage_Loans_at_Fair_Value_T
Mortgage Loans at Fair Value (Tables) | 3 Months Ended | ||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||
Text Block [Abstract] | ' | ||||||||||||||||
Summary of Distribution of Company's Mortgage Loans at Fair Value | ' | ||||||||||||||||
Following is a summary of the distribution of the Company’s mortgage loans at fair value: | |||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||
Loan type | Fair | Unpaid | Fair | Unpaid | |||||||||||||
value | principal | value | principal | ||||||||||||||
balance | balance | ||||||||||||||||
(in thousands) | |||||||||||||||||
Nonperforming loans | $ | 1,584,703 | $ | 2,549,293 | $ | 1,469,686 | $ | 2,415,446 | |||||||||
Performing loans: | |||||||||||||||||
Fixed interest rate | 277,352 | 440,005 | 310,607 | 475,568 | |||||||||||||
Adjustable-rate mortgage (“ARM”)/hybrid | 95,550 | 134,357 | 165,327 | 207,553 | |||||||||||||
Interest rate step-up | 121,274 | 211,866 | 130,906 | 215,702 | |||||||||||||
Balloon | 141 | 212 | 139 | 213 | |||||||||||||
494,317 | 786,440 | 606,979 | 899,036 | ||||||||||||||
$ | 2,079,020 | $ | 3,335,733 | $ | 2,076,665 | $ | 3,314,482 | ||||||||||
Mortgage loans at fair value pledged to secure borrowings at period end: | |||||||||||||||||
Assets sold under agreements to repurchase | $ | 1,913,828 | $ | 1,963,266 | |||||||||||||
Mortgage loans held in a consolidated subsidiary whose stock is pledged to secure financings of such loans | $ | 679 | $ | 989 | |||||||||||||
Summary of Certain Concentrations of Credit Risk in Portfolio of Mortgage Loans at Fair Value | ' | ||||||||||||||||
Following is a summary of certain concentrations of credit risk in the portfolio of mortgage loans at fair value: | |||||||||||||||||
Concentration | March 31, | December 31, | |||||||||||||||
2014 | 2013 | ||||||||||||||||
Portion of mortgage loans originated between 2005 and 2007 | 72 | % | 72 | % | |||||||||||||
Percentage of fair value of mortgage loans with unpaid-principal-balance-to-current-property-value in excess of 100% | 62 | % | 61 | % | |||||||||||||
Percentage of mortgage loans secured by California real estate | 21 | % | 24 | % | |||||||||||||
Additional states contributing 5% or more of mortgage loans | New York | New York | |||||||||||||||
Florida | Florida | ||||||||||||||||
New Jersey | New Jersey | ||||||||||||||||
Maryland |
Mortgage_Loans_at_Fair_Value_H1
Mortgage Loans at Fair Value Held by Variable Interest Entity (Tables) | 3 Months Ended | ||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||
Debt Disclosure [Abstract] | ' | ||||||||||||||||
Summary of Distribution of Company's Mortgage Loans at Fair Value Held by Variable Interest Entity | ' | ||||||||||||||||
Following is a summary of the distribution of the Company’s mortgage loans at fair value held by variable interest entity: | |||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||
Unpaid | Unpaid | ||||||||||||||||
Fair | principal | Fair | principal | ||||||||||||||
Loan type | value | balance | value | balance | |||||||||||||
(in thousands) | |||||||||||||||||
Jumbo fixed interest rate | $ | 529,680 | $ | 537,804 | $ | 523,652 | $ | 543,257 | |||||||||
Summary of Certain Concentrations of Credit Risk in Portfolio of Mortgage Loans at Fair Value Held by Variable Interest Entity | ' | ||||||||||||||||
Following is a summary of certain concentrations of credit risk in the portfolio of mortgage loans at fair value held by variable interest entity: | |||||||||||||||||
States comprising more than 5.00% of unpaid principal balance | March 31, 2014 | December 31, 2013 | |||||||||||||||
California | 57 | % | 57 | % | |||||||||||||
Washington | 8 | % | 8 | % | |||||||||||||
Texas | 6 | % | 6 | % | |||||||||||||
Virginia | 6 | % | 6 | % | |||||||||||||
Other | 23 | % | 23 | % |
Mortgage_Loans_Under_Forward_P1
Mortgage Loans Under Forward Purchase Agreements at Fair Value (Tables) (Forward Purchasers [Member]) | 3 Months Ended | ||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||
Forward Purchasers [Member] | ' | ||||||||||||||||
Summary of Distribution of Company's Mortgage Loans under Forward Purchase Agreements at Fair Value | ' | ||||||||||||||||
Following is a summary of the distribution of the Company’s mortgage loans under forward purchase agreements at fair value: | |||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||
Unpaid | Unpaid | ||||||||||||||||
Fair | principal | Fair | principal | ||||||||||||||
Loan type | value | balance | value | balance | |||||||||||||
(in thousands) | |||||||||||||||||
Nonperforming loans | $ | 155,344 | $ | 235,932 | $ | 177,841 | $ | 268,600 | |||||||||
Performing loans: | |||||||||||||||||
Fixed | 21,860 | 32,728 | 19,292 | 29,496 | |||||||||||||
ARM/hybrid | 21,094 | 33,016 | 19,510 | 31,933 | |||||||||||||
Interest rate step-up | 4,363 | 7,580 | 1,485 | 2,455 | |||||||||||||
47,317 | 73,324 | 40,287 | 63,884 | ||||||||||||||
$ | 202,661 | $ | 309,256 | $ | 218,128 | $ | 332,484 | ||||||||||
Summary of Certain Concentrations of Credit Risk in Portfolio of Mortgage Loans at Fair Value | ' | ||||||||||||||||
Following is a summary of certain concentrations of credit risk in the portfolio of mortgage loans under forward purchase agreements at fair value: | |||||||||||||||||
March 31, | December 31, | ||||||||||||||||
2014 | 2013 | ||||||||||||||||
Portion of mortgage loans originated between 2005 and 2007 | 73 | % | 72 | % | |||||||||||||
Percentage of mortgage loans secured by California real estate | 25 | % | 25 | % | |||||||||||||
Additional states contributing 5% or more of mortgage loans | New Jersey | New Jersey | |||||||||||||||
New York | Washington | ||||||||||||||||
Washington | New York | ||||||||||||||||
Maryland | Maryland | ||||||||||||||||
Florida |
Real_Estate_Acquired_in_Settle2
Real Estate Acquired in Settlement of Loans (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Banking And Thrift [Abstract] | ' | ||||||||
Summary of Financial Information Relating to REO | ' | ||||||||
Following is a summary of financial information relating to REO: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Balance at beginning of period | $ | 138,942 | $ | 88,078 | |||||
Purchases | 3,049 | — | |||||||
Transfers from mortgage loans at fair value and advances | 68,902 | 31,685 | |||||||
Transfers from REO under forward purchase agreements | 92 | — | |||||||
Results of REO: | |||||||||
Valuation adjustments, net | (8,408 | ) | (6,089 | ) | |||||
Gain on sale, net | 2,182 | 2,836 | |||||||
(6,226 | ) | (3,253 | ) | ||||||
Proceeds from sales | (31,772 | ) | (32,024 | ) | |||||
Balance at end of period | $ | 172,987 | $ | 84,486 | |||||
At period end: | |||||||||
REO pledged to secure assets sold under agreements to repurchase | $ | 29,966 | $ | 8,233 | |||||
REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties | $ | 51,649 | $ | 7,122 | |||||
Real_Estate_Acquired_in_Settle3
Real Estate Acquired in Settlement of Loans Under Forward Purchase Agreements (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Text Block [Abstract] | ' | ||||||||
Summary of Activity in REO Under Forward Purchase Agreements | ' | ||||||||
Following is a summary of the activity in REO under forward purchase agreements: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Balance at beginning of period | $ | 9,138 | $ | — | |||||
Purchases | 38 | — | |||||||
Purchases financed through forward purchase agreements | — | — | |||||||
Transfers from mortgage loans under forward purchase agreements at fair value and advances | 6,828 | — | |||||||
Transfers to REO | (92 | ) | — | ||||||
Results of REO under forward purchase agreements: | |||||||||
Valuation adjustments, net | (484 | ) | — | ||||||
Gain on sale, net | 84 | — | |||||||
(400 | ) | — | |||||||
Proceeds from sales | (1,622 | ) | — | ||||||
Balance at end of period | $ | 13,890 | $ | — | |||||
Mortgage_Servicing_Rights_Tabl
Mortgage Servicing Rights (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Text Block [Abstract] | ' | ||||||||
Summary of MSRs Carried at Fair Value | ' | ||||||||
Following is a summary of MSRs carried at fair value: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Balance at beginning of period | $ | 26,452 | $ | 1,346 | |||||
Additions: | |||||||||
Purchases | — | — | |||||||
MSRs resulting from loan sales | 11,757 | 26 | |||||||
Total additions | 11,757 | 26 | |||||||
Change in fair value: | |||||||||
Due to changes in valuation inputs or assumptions used in valuation model(1) | (1,232 | ) | (9 | ) | |||||
Other changes in fair value(2) | (796 | ) | (58 | ) | |||||
(2,028 | ) | (67 | ) | ||||||
Sales | — | — | |||||||
Balance at end of period | $ | 36,181 | $ | 1,305 | |||||
-1 | Principally reflects changes in pricing spread (discount rate) and prepayment speed inputs, primarily due to changes in interest rates. | ||||||||
-2 | Represents changes due to realization of expected cash flows. | ||||||||
Summary of MSRs Carried at Lower of Amortized Cost or Fair Value | ' | ||||||||
Following is a summary of MSRs carried at lower of amortized cost or fair value: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Amortized Cost: | |||||||||
Balance at beginning of period | $ | 266,697 | $ | 132,977 | |||||
MSRs resulting from loan sales | 9,118 | 56,190 | |||||||
Purchases | — | — | |||||||
9,118 | 56,190 | ||||||||
Sales | — | — | |||||||
Amortization | (7,365 | ) | (4,970 | ) | |||||
Application of valuation allowance to write down MSRs with other-than temporary impairment | — | — | |||||||
Balance at end of period | 268,450 | 184,197 | |||||||
Valuation Allowance: | |||||||||
Balance at beginning of period | (2,577 | ) | (7,547 | ) | |||||
(Additions) reversals | (627 | ) | 2,486 | ||||||
Application of valuation allowance to write down MSRs with other-than temporary impairment | — | — | |||||||
Balance at end of period | (3,204 | ) | (5,061 | ) | |||||
MSRs, net | $ | 265,246 | $ | 179,136 | |||||
Estimated fair value at end of period | $ | 289,934 | $ | 186,209 | |||||
Summary of Company's Estimate of Amortization of Existing MSRs Carried at Amortized Cost | ' | ||||||||
The following table summarizes the Company’s estimate of amortization of its existing MSRs carried at amortized cost. This projection was developed using the assumptions made by management in its March 31, 2014 valuation of MSRs. The assumptions underlying the following estimate will change as market conditions and portfolio composition and behavior change, causing both actual and projected amortization levels to change over time. Therefore, the following estimates will change in a manner and amount not presently determinable by management. | |||||||||
Estimated MSR | |||||||||
Year ended March 31, | amortization | ||||||||
(in thousands) | |||||||||
2015 | $ | 26,661 | |||||||
2016 | 26,082 | ||||||||
2017 | 24,924 | ||||||||
2018 | 23,513 | ||||||||
2019 | 21,697 | ||||||||
Thereafter | 145,573 | ||||||||
Total | $ | 268,450 | |||||||
Net_Loan_Servicing_Fees_Tables
Net Loan Servicing Fees (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Summary of Net Loan Servicing Fees | ' | ||||||||
Net loan servicing fees are summarized below: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Servicing fees (1) | $ | 17,532 | $ | 10,417 | |||||
MSR recapture fee receivable from PFSI | 8 | 133 | |||||||
Effect of MSRs: | |||||||||
Carried at lower of amortized cost or fair value | |||||||||
Amortization | (7,365 | ) | (4,970 | ) | |||||
(Provision for) reversal of impairment | (627 | ) | 2,486 | ||||||
Carried at fair value - change in fair value | (2,028 | ) | (67 | ) | |||||
Losses on hedging derivatives | (99 | ) | (1,988 | ) | |||||
(10,119 | ) | (4,539 | ) | ||||||
Net loan servicing fees | $ | 7,421 | $ | 6,011 | |||||
-1 | Includes contractually specified servicing and ancillary fees. | ||||||||
Mortgage Service Rights [Member] | ' | ||||||||
Summary of Net Loan Servicing Fees | ' | ||||||||
Servicing fees relating to MSRs are recorded in Net loan servicing fees on the consolidated statements of income and are summarized below: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Contractual servicing fees | $ | 16,816 | $ | 8,937 | |||||
Assets_Sold_Under_Agreements_t1
Assets Sold Under Agreements to Repurchase at Fair Value (Tables) | 3 Months Ended | ||||||||||||
Mar. 31, 2014 | |||||||||||||
Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase at Fair Value | ' | ||||||||||||
Following is a summary of financial information relating to assets sold under agreements to repurchase at fair value: | |||||||||||||
Quarter ended March 31, | |||||||||||||
2014 | 2013 | ||||||||||||
(dollars in thousands) | |||||||||||||
During the period: | |||||||||||||
Weighted-average interest rate (1) | 2.21 | % | 2.77 | % | |||||||||
Average balance | $ | 1,795,702 | $ | 1,221,766 | |||||||||
Total interest expense | $ | 12,539 | $ | 10,712 | |||||||||
Maximum daily amount outstanding | $ | 2,079,090 | $ | 1,619,022 | |||||||||
Period end: | |||||||||||||
Balance | $ | 1,887,778 | $ | 1,615,050 | |||||||||
Weighted-average interest rate | 2.31 | % | 3.51 | % | |||||||||
Available borrowing capacity: | |||||||||||||
Committed | $ | 1,195,414 | $ | 884,950 | |||||||||
Uncommitted | $ | 865,223 | $ | 50,000 | |||||||||
$ | 2,060,637 | $ | 934,950 | ||||||||||
Margin deposits placed with counterparties | $ | 3,780 | $ | 2,973 | |||||||||
Fair value of assets securing agreements to repurchase: | |||||||||||||
Mortgage-backed securities | $ | 198,110 | $ | — | |||||||||
Mortgage loans acquired for sale at fair value | $ | 339,153 | $ | 1,122,940 | |||||||||
Mortgage loans at fair value | $ | 1,914,507 | $ | 1,203,788 | |||||||||
Mortgage loans at fair value held by variable interest entity | $ | 356,170 | $ | — | |||||||||
Real estate acquired in settlement of loans | $ | 81,615 | $ | 15,355 | |||||||||
$ | 2,889,555 | $ | 2,342,083 | ||||||||||
-1 | Excludes the amortization of commitment fees and issuance costs of $2.5 million and $2.3 million for the quarters ended March 31, 2014 and 2013, respectively. | ||||||||||||
Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member] | ' | ||||||||||||
Summary of Assets Sold under Agreements to Repurchase by Counterparty | ' | ||||||||||||
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 counterparty below as of March 31, 2014: | |||||||||||||
Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase | |||||||||||||
Counterparty | Amount at risk | Mortgage loans | Facility maturity | ||||||||||
acquired for sale | |||||||||||||
weighted-average | |||||||||||||
repurchase agreement | |||||||||||||
maturity | |||||||||||||
(in thousands) | |||||||||||||
Credit Suisse First Boston Mortgage Capital LLC | $ | 339,267 | June 22, 2014 | 31-Oct-14 | |||||||||
Bank of America, N.A. | $ | 32,059 | June 12, 2014 | 30-Jan-15 | |||||||||
Morgan Stanley | $ | 6,317 | May 20, 2014 | December 18, 2014 | |||||||||
The Royal Bank of Scotland Group | $ | 57,295 | 17-Feb-15 | ||||||||||
Citibank, N.A. | $ | 559,042 | March 31, 2014 | 24-Jul-14 | |||||||||
Securities Sold Under Agreements to Repurchase at Fair Value [Member] | ' | ||||||||||||
Summary of Maturities of Outstanding Assets Sold Under Agreements to Repurchase by Maturity Date | ' | ||||||||||||
Following is a summary of maturities of outstanding assets sold under agreements to repurchase by maturity date: | |||||||||||||
Remaining Maturity at March 31, 2014 | Balance | ||||||||||||
(in thousands) | |||||||||||||
Within 30 days | $ | 372,590 | |||||||||||
Over 30 to 90 days | 130,825 | ||||||||||||
Over 90 days to 180 days | 704,238 | ||||||||||||
Over 180 days to 1 year | 680,125 | ||||||||||||
$ | 1,887,778 | ||||||||||||
Weighted average maturity (in months) | 4.5 | ||||||||||||
Summary of Assets Sold under Agreements to Repurchase by Counterparty | ' | ||||||||||||
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 counterparty below as of March 31, 2014: | |||||||||||||
Securities sold under agreements to repurchase | |||||||||||||
Counterparty | Amount at risk | Maturity | |||||||||||
(in thousands) | |||||||||||||
Daiwa Capital Markets America, Inc | $ | 6,217 | May 3, 2014 | ||||||||||
Credit Suisse First Boston Mortgage Capital LLC | $ | 2,374 | April 15, 2014 | ||||||||||
Bank of America, N.A. | $ | 612 | 15-Apr-14 |
Assetbacked_Secured_Financing_1
Asset-backed Secured Financing of the Variable Interest Entity at Fair Value (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Text Block [Abstract] | ' | ||||||||
Summary of Financial Information Relating to Asset-Backed Secured Financing of Variable Interest Entity | ' | ||||||||
Following is a summary of financial information relating to the asset-backed secured financing of the variable interest entity: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(dollars in thousands) | |||||||||
Period end: | |||||||||
Balance | $ | 166,514 | $ | — | |||||
Weighted-average interest rate | 3.58 | % | — | ||||||
During the period: | |||||||||
Weighted-average balance | $ | 166,894 | 0 | % | |||||
Interest expense | $ | 1,617 | $ | — |
Exchangeable_Senior_Notes_Tabl
Exchangeable Senior Notes (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Text Block [Abstract] | ' | ||||||||
Summary of Financial Information Related to Notes | ' | ||||||||
Following is financial information relating to the Notes: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(dollars in thousands) | |||||||||
Period end: | |||||||||
Balance | $ | 250,000 | $ | — | |||||
Unamortized issuance costs (1) | $ | 6,616 | $ | — | |||||
Weighted-average interest rate | 5.38 | % | — | ||||||
During the period: | |||||||||
Weighted-average balance | $ | 250,000 | $ | — | |||||
Interest expense (2) | $ | 3,584 | $ | — | |||||
-1 | Unamortized issuance costs are included in Other assets in the consolidated balance sheets. | ||||||||
-2 | Total interest expense includes amortization of debt issuance costs of $225,000 during the quarter ended March 31, 2014. |
Borrowings_under_Forward_Purch1
Borrowings under Forward Purchase Agreements (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Text Block [Abstract] | ' | ||||||||
Summary of Financial Information Relating to Borrowings under Forward Purchase Agreements | ' | ||||||||
Following is a summary of financial information relating to borrowings under forward purchase agreements: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(dollars in thousands) | |||||||||
Period end: | |||||||||
Balance | $ | 216,614 | $ | — | |||||
Interest rate | 3.01 | % | 0 | % | |||||
Fair value of underlying loans and REO | $ | 215,693 | $ | — | |||||
During the period: | |||||||||
Weighted-average interest rate | 2.85 | % | 0 | % | |||||
Weighted-average balance | $ | 221,769 | $ | — | |||||
Interest expense | $ | 1,580 | $ | — | |||||
Maximum daily amount outstanding | $ | 226,848 | $ | — |
Liability_for_Losses_Under_Rep1
Liability for Losses Under Representations and Warranties (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Text Block [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, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Balance, beginning of period | $ | 10,110 | $ | 4,441 | |||||
Provision for losses | 744 | 1,790 | |||||||
Incurred losses | — | — | |||||||
Balance, end of period | $ | 10,854 | $ | 6,231 | |||||
Summary of Company's Repurchase Activity | ' | ||||||||
Following is a summary of the Company’s repurchase activity: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
During the period: | |||||||||
Unpaid principal balance of mortgage loans repurchased | $ | 4,939 | $ | 648 | |||||
Unpaid principal balance of repurchased mortgage loans repurchased by correspondent lenders | $ | 1,333 | $ | 710 | |||||
At end of period: | |||||||||
Unpaid principal balance of mortgage loans subject to pending claims for repurchase | $ | 12,097 | $ | — | |||||
Unpaid principal balance of mortgage loans subject to representations and warranties | $ | 27,188,848 | $ | 16,639,996 |
Commitments_and_Contingencies_
Commitments and Contingencies (Tables) | 3 Months Ended | ||||
Mar. 31, 2014 | |||||
Commitments And Contingencies Disclosure [Abstract] | ' | ||||
Company's Outstanding Contractual Loan Commitments | ' | ||||
The following table summarizes the Company’s outstanding contractual loan commitments: | |||||
March 31, 2014 | |||||
(in thousands) | |||||
Commitments to purchase mortgage loans: | |||||
Correspondent lending | $ | 704,824 | |||
Other mortgage loans | $ | — |
Net_Gain_on_Mortgage_Loans_Acq1
Net Gain on Mortgage Loans Acquired for Sale (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Text Block [Abstract] | ' | ||||||||
Summary of Net Gain on Mortgage Loans Acquired for Sale | ' | ||||||||
Net gain on mortgage loans acquired for sale is summarized below: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Cash gain (loss): | |||||||||
Sales proceeds, net | $ | (2,894 | ) | $ | (27,247 | ) | |||
Hedging activities | (3,547 | ) | 13,614 | ||||||
(6,441 | ) | (13,633 | ) | ||||||
Non cash gain: | |||||||||
Receipt of MSRs in loan sale transactions | 20,875 | 56,216 | |||||||
Provision for losses relating to representations and warranties provided in loan sales | (744 | ) | (1,790 | ) | |||||
Change in fair value relating to IRLCs, mortgage loans, and hedging derivatives held at period end: | |||||||||
IRLCs | 2,022 | (8,426 | ) | ||||||
Mortgage loans | 1,411 | (2,422 | ) | ||||||
Hedging derivatives | (7,152 | ) | (666 | ) | |||||
(3,719 | ) | (11,514 | ) | ||||||
$ | 9,971 | $ | 29,279 | ||||||
Net_Interest_Income_Tables
Net Interest Income (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Banking And Thrift Interest [Abstract] | ' | ||||||||
Summary of Net Interest Income | ' | ||||||||
Net interest income is summarized below: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Interest income: | |||||||||
Short-term investments | $ | 152 | $ | 31 | |||||
Mortgage-backed securities | 1,761 | — | |||||||
Mortgage loans acquired for sale at fair value | 3,625 | 6,323 | |||||||
Mortgage loans at fair value | 23,286 | 10,497 | |||||||
Mortgage loans under forward purchase agreements at fair value | 2,154 | — | |||||||
Mortgage loans at fair value held by variable interest entity | 5,495 | — | |||||||
Excess servicing spread purchased from PFSI, at fair value | 2,862 | — | |||||||
Other | 11 | 24 | |||||||
39,346 | 16,875 | ||||||||
Interest expense: | |||||||||
Assets sold under agreements to repurchase | 12,539 | 10,712 | |||||||
Borrowings under forward purchase agreements | 1,580 | — | |||||||
Asset-backed secured financing and the variable interest entity | 1,617 | — | |||||||
Exchangeable senior notes | 3,584 | — | |||||||
Other | 455 | 524 | |||||||
19,775 | 11,236 | ||||||||
Net interest income | $ | 19,571 | $ | 5,639 | |||||
Net_Gain_on_Investments_Tables
Net Gain on Investments (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Investments Debt And Equity Securities [Abstract] | ' | ||||||||
Summary of Net Gain on Investments | ' | ||||||||
Net gain on investments is summarized below: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Net gain (loss) on investments: | |||||||||
Mortgage-backed securities | $ | 709 | $ | — | |||||
Mortgage loans | 39,918 | 63,980 | |||||||
Mortgage loans held by VIE and related secured financing: | |||||||||
Mortgage loans held by variable interest entity | 7,639 | — | |||||||
Asset-backed secured financing and the variable interest entity | (2,780 | ) | — | ||||||
4,859 | — | ||||||||
Excess servicing spread purchased from PFSI, at fair value | (2,901 | ) | — | ||||||
$ | 42,585 | $ | 63,980 | ||||||
Segments_and_Related_Informati1
Segments and Related Information (Tables) | 3 Months Ended | ||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||
Segment Reporting [Abstract] | ' | ||||||||||||||||
Financial Highlights by Operating Segment | ' | ||||||||||||||||
Financial highlights by operating segment are summarized below: | |||||||||||||||||
Quarter ended March 31, 2014 | Correspondent | Investment | Intersegment | Total | |||||||||||||
lending | activities | elimination & other | |||||||||||||||
(in thousands) | |||||||||||||||||
Net investment income: | |||||||||||||||||
Net gain on mortgage loans acquired for sale | $ | 9,971 | $ | — | $ | — | $ | 9,971 | |||||||||
Net gain on investments | — | 42,585 | — | 42,585 | |||||||||||||
Interest income | 3,635 | 36,598 | (887 | ) | 39,346 | ||||||||||||
Interest expense | (3,655 | ) | (17,007 | ) | 887 | (19,775 | ) | ||||||||||
(20 | ) | 19,591 | — | 19,571 | |||||||||||||
Net loan servicing fees | — | 7,421 | 7,421 | ||||||||||||||
Other investment income (loss) | 2,356 | (5,309 | ) | — | (2,953 | ) | |||||||||||
12,307 | 64,288 | — | 76,595 | ||||||||||||||
Expenses: | |||||||||||||||||
Loan fulfillment, Servicing and Management fees payable to PennyMac Financial Services, Inc. | 9,071 | 22,496 | — | 31,567 | |||||||||||||
Other | 88 | 8,651 | — | 8,739 | |||||||||||||
9,159 | 31,147 | — | 40,306 | ||||||||||||||
Income before provision for income taxes | $ | 3,148 | $ | 33,141 | $ | — | $ | 36,289 | |||||||||
Total assets at period end | $ | 359,348 | $ | 3,868,189 | $ | — | $ | 4,227,537 | |||||||||
Quarter ended March 31, 2013 | Correspondent | Investment | Intersegment | Total | |||||||||||||
lending | activities | elimination & other | |||||||||||||||
(in thousands) | |||||||||||||||||
Net investment income: | |||||||||||||||||
Net gain on mortgage loans acquired for sale | $ | 29,279 | $ | — | $ | — | $ | 29,279 | |||||||||
Net gain on investments | — | 63,980 | — | 63,980 | |||||||||||||
Interest income | 6,324 | 10,592 | (41 | ) | 16,875 | ||||||||||||
Interest expense | (5,688 | ) | (5,589 | ) | 41 | (11,236 | ) | ||||||||||
636 | 5,003 | — | 5,639 | ||||||||||||||
Net loan servicing fees | — | 6,011 | — | 6,011 | |||||||||||||
Other investment income (loss) | 5,473 | (2,566 | ) | — | 2,907 | ||||||||||||
35,388 | 72,428 | — | 107,816 | ||||||||||||||
Expenses: | |||||||||||||||||
Loan fulfillment, Servicing and Management fees payable to PennyMac Financial Services, Inc. | 25,454 | 13,724 | 3,284 | (1) | 42,462 | ||||||||||||
Other | 1,054 | 8,365 | — | 9,419 | |||||||||||||
26,508 | 22,089 | 3,284 | 51,881 | ||||||||||||||
Income before provision for income taxes | $ | 8,880 | $ | 50,339 | $ | (3,284 | ) | $ | 55,935 | ||||||||
Total assets at period end | $ | 1,142,774 | $ | 1,829,246 | $ | (44,860 | ) | $ | 2,927,160 | ||||||||
-1 | Corporate absorption of fulfillment fees for transition adjustment related to the amended and restated management agreement effective February 1, 2013. |
Supplemental_Cash_Flow_Informa1
Supplemental Cash Flow Information (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Supplemental Cash Flow Elements [Abstract] | ' | ||||||||
Summary of Supplemental Cash Flow Information | ' | ||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Cash paid for interest | $ | 25,490 | $ | 11,192 | |||||
Income tax payment | $ | 42 | $ | 473 | |||||
Non-cash investing activities: | |||||||||
Transfer of mortgage loans and advances to real estate acquired in settlement of loans | $ | 68,902 | $ | 31,510 | |||||
Purchase of mortgage loans financed through forward purchase agreements | $ | 920 | $ | — | |||||
Transfer of mortgage loans under forward purchase agreements to mortgage loans at fair value | $ | 4,460 | $ | — | |||||
Transfer of mortgage loans under forward purchase agreements and advances to REO under forward purchase agreements | $ | 6,828 | $ | — | |||||
Receipt of MSRs as proceeds from sales of loans | $ | 20,875 | $ | 56,216 | |||||
Purchase of REO financed through forward purchase agreements | $ | 38 | $ | — | |||||
Receipt of ESS pursuant to recapture agreement with PFSI | $ | 1,113 | $ | — | |||||
Transfer of REO under forward purchase agreements to REO | $ | 92 | $ | — | |||||
Non-cash financing activities: | |||||||||
Purchase of mortgage loans financed through forward purchase agreements | $ | 920 | $ | — | |||||
Purchase of REO financed through forward purchase agreements | $ | 38 | $ | — | |||||
Transfer of mortgage loans at fair value financed through agreements to repurchase to REO financed under agreements to repurchase | $ | 2,046 | $ | — | |||||
Dividends payable | $ | 43,618 | $ | — |
Organization_and_Basis_of_Pres3
Organization and Basis of Presentation - Additional Information (Detail) | 3 Months Ended |
Mar. 31, 2014 | |
Segment | |
Accounting Policies [Abstract] | ' |
Number of business segment | 2 |
Percentage of taxable income for distributions | 90.00% |
Organization_and_Basis_of_Pres4
Organization and Basis of Presentation - Summary of Reclassifications of Previously Presented Balances (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Net interest income (new caption): | ' | ' |
Interest income | $39,346 | $16,875 |
Interest expense | 19,775 | 11,236 |
Net interest income | 19,571 | 5,639 |
Net investment income | 76,595 | 107,816 |
Expenses: | ' | ' |
Interest expense | -19,775 | -11,236 |
Expenses payable to PennyMac Financial Services, Inc.: | ' | ' |
Loan servicing fees | 14,591 | 7,726 |
Other | 4,066 | 4,946 |
Total expenses | 40,306 | 51,881 |
As reported [Member] | ' | ' |
Net interest income (new caption): | ' | ' |
Interest income | ' | 16,875 |
Interest expense | ' | 11,236 |
Net interest income | ' | 5,639 |
Net investment income | ' | 107,816 |
Expenses: | ' | ' |
Interest expense | ' | -11,236 |
Expenses payable to PennyMac Financial Services, Inc.: | ' | ' |
Loan servicing fees | ' | 7,726 |
Other | ' | 4,946 |
Total expenses | ' | 51,881 |
As previously reported [Member] | ' | ' |
Net interest income (new caption): | ' | ' |
Interest income | ' | 16,875 |
Interest expense | ' | -11,236 |
Net interest income | ' | 16,875 |
Net investment income | ' | 119,052 |
Expenses: | ' | ' |
Interest expense | ' | 11,236 |
Expenses payable to PennyMac Financial Services, Inc.: | ' | ' |
Loan servicing fees | ' | 8,090 |
Other | ' | 4,690 |
Total expenses | ' | 63,117 |
Reclassification [Member] | ' | ' |
Net interest income (new caption): | ' | ' |
Interest income | ' | ' |
Interest expense | ' | 11,236 |
Net interest income | ' | -11,236 |
Net investment income | ' | -11,236 |
Expenses: | ' | ' |
Interest expense | ' | -11,236 |
Expenses payable to PennyMac Financial Services, Inc.: | ' | ' |
Loan servicing fees | ' | -364 |
Other | ' | 256 |
Total expenses | ' | ($11,236) |
Concentration_of_Risks_Fair_Va
Concentration of Risks - Fair Value of Mortgage Loans and REO Purchased (Including Purchases under Forward Purchase Agreements) Portion Representing Assets Purchased (Detail) (USD $) | 3 Months Ended | 12 Months Ended | 3 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 |
Forward Purchase Commitments [Member] | Forward Purchase Commitments [Member] | Forward Purchase Commitments [Member] | Forward Purchase Commitments [Member] | |||
Mortgage loans under forward purchase agreements [Member] | Mortgage loans under forward purchase agreements [Member] | |||||
Investment portfolio purchases: | ' | ' | ' | ' | ' | ' |
Investment portfolio purchases, Mortgage loans | $257,200 | $200,473 | ' | ' | ' | ' |
Investment portfolio purchases, REO | 3,087 | ' | ' | ' | ' | ' |
Investment portfolio purchases, total | 260,287 | 200,473 | ' | ' | ' | ' |
Investment portfolio purchases above through one or more subsidiaries of Citigroup Inc.: | ' | ' | ' | ' | ' | ' |
Investment portfolio purchases above through one or more subsidiaries of Citigroup, Inc. Mortgage loans | ' | 200,473 | 927,107 | 1,138,131 | 202,661 | 218,128 |
Investment portfolio purchases above through one or more subsidiaries of Citigroup, Inc. REO | 38 | ' | 88,081 | 84,726 | 13,032 | 8,705 |
Investment portfolio purchases above through one or more subsidiaries of Citigroup, Inc. total | $38 | $200,473 | $1,230,881 | $1,449,690 | ' | ' |
Concentration_of_Risks_Consoli
Concentration of Risks - Consolidated Statements of Income and Cash Flows (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Statements of income: | ' | ' |
Interest income on mortgage loans | $2,154 | ' |
Interest expense | 1,580 | ' |
Net gain on investments | -940 | ' |
Results of REO | -400 | ' |
Loan servicing fees | 316 | ' |
Statements of cash flows: | ' | ' |
Repayments of mortgage loans | 5,329 | ' |
Sales of REO | 1,620 | ' |
Repayments of borrowings under forward purchase agreements | ($13,124) | ' |
Transactions_with_Related_Part2
Transactions with Related Parties - Summary of Management Fee Expense and Related Liability (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Management fee: | ' | ' |
Base | $5,521 | $4,364 |
Performance incentive | 2,553 | 2,128 |
Total management fee incurred during the year | $8,074 | $6,492 |
Transactions_with_Related_Part3
Transactions with Related Parties - Management Fees - Additional Information (Detail) | 3 Months Ended |
Mar. 31, 2014 | |
Related Party Transactions [Abstract] | ' |
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 (or, if the period is less than 24 months, annualized) performance incentive fee earned by PFSI, in each case during the 24-month period before termination. |
Transactions_with_Related_Part4
Transactions with Related Parties - Summary of Mortgage Loan Servicing Fees Payable (Detail) (PFSI [Member], USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Related Party Transaction [Line Items] | ' | ' |
Mortgage loan servicing fees payable to PFSI | $14,591 | $7,726 |
Mortgage loans acquired for sale at fair value [Member] | ' | ' |
Related Party Transaction [Line Items] | ' | ' |
Mortgage loan servicing fees payable to PFSI | 43 | 149 |
Mortgage loans acquired for sale at fair value [Member] | Base [Member] | ' | ' |
Related Party Transaction [Line Items] | ' | ' |
Mortgage loan servicing fees payable to PFSI | 17 | 77 |
Mortgage loans acquired for sale at fair value [Member] | Activity-based [Member] | ' | ' |
Related Party Transaction [Line Items] | ' | ' |
Mortgage loan servicing fees payable to PFSI | 26 | 72 |
Distress mortgage loans [Member] | ' | ' |
Related Party Transaction [Line Items] | ' | ' |
Mortgage loan servicing fees payable to PFSI | 11,352 | 5,752 |
Distress mortgage loans [Member] | Base [Member] | ' | ' |
Related Party Transaction [Line Items] | ' | ' |
Mortgage loan servicing fees payable to PFSI | 4,966 | 3,875 |
Distress mortgage loans [Member] | Activity-based [Member] | ' | ' |
Related Party Transaction [Line Items] | ' | ' |
Mortgage loan servicing fees payable to PFSI | 6,386 | 1,877 |
Mortgage servicing rights [Member] | ' | ' |
Related Party Transaction [Line Items] | ' | ' |
Mortgage loan servicing fees payable to PFSI | 3,196 | 1,825 |
Mortgage servicing rights [Member] | Base [Member] | ' | ' |
Related Party Transaction [Line Items] | ' | ' |
Mortgage loan servicing fees payable to PFSI | 3,148 | 1,763 |
Mortgage servicing rights [Member] | Activity-based [Member] | ' | ' |
Related Party Transaction [Line Items] | ' | ' |
Mortgage loan servicing fees payable to PFSI | $48 | $62 |
Transactions_with_Related_Part5
Transactions with Related Parties - Summary of Corresponding Lending Activity (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Real Estate [Abstract] | ' | ' |
Fulfillment fees expense payable to PFSI | $8,902 | $28,244 |
Unpaid principal balance of loans fulfilled by PFSI | 1,919,578 | 4,786,826 |
Sourcing fees received from PFSI | 892 | 1,010 |
Fair value of loans sold to PFSI | 3,130,530 | 3,548,397 |
At period end: | ' | ' |
Mortgage loans included in mortgage loans acquired for sale pending sale to PFSI | $48,909 | $542,490 |
Transactions_with_Related_Part6
Transactions with Related Parties - Summary of Investment Activity (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Related Party Transactions [Abstract] | ' | ' |
Purchases of excess servicing spread | $20,526 | ' |
Interest income from excess servicing spread | 2,862 | ' |
Excess servicing spread recapture recognized | 1,890 | ' |
MSR recapture recognized | $8 | $133 |
Transactions_with_Related_Part7
Transactions with Related Parties - Other Transactions - Additional Information (Detail) (USD $) | 3 Months Ended | 0 Months Ended | 3 Months Ended | 0 Months Ended | 3 Months Ended | ||||
Mar. 31, 2014 | Dec. 31, 2013 | Feb. 01, 2013 | Feb. 01, 2013 | Mar. 31, 2014 | Feb. 01, 2013 | Feb. 01, 2013 | Mar. 31, 2014 | Feb. 01, 2013 | |
IPO underwriters [Member] | IPO underwriters [Member] | IPO underwriters [Member] | Management [Member] | Management [Member] | Management [Member] | ||||
Maximum [Member] | Maximum [Member] | ||||||||
Mortgage Loans on Real Estate [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' |
PMT agreed to reimburse PFSI for a payment | ' | ' | $2,900,000 | ' | ' | ' | ' | ' | ' |
Rate during reimbursement period | ' | ' | ' | 'At a rate of $20 of payments for every $100 of performance incentive fees earned by PCM. | ' | ' | 'At a rate of $10 in reimbursement for every $100 of performance incentive fees earned | ' | ' |
Reimbursement amount for a year | ' | ' | ' | ' | ' | 2,000,000 | ' | ' | 1,000,000 |
Reimbursement amount | ' | ' | ' | ' | ' | 5,900,000 | ' | ' | 2,900,000 |
Performance incentive fees payable | 10 | ' | ' | ' | ' | ' | ' | ' | ' |
Amount of performance incentive fees for every targeted performance earned | 100 | ' | ' | ' | 100 | ' | ' | ' | ' |
Payments of contingent underwriting fee to manager | ' | ' | ' | ' | ' | ' | ' | 36,000 | ' |
Performance incentive fees paid | ' | ' | ' | ' | 20 | ' | ' | ' | ' |
Payments of contingent underwriting fees to underwriters | ' | ' | ' | ' | 72,000 | ' | ' | ' | ' |
Reimbursement agreement expiration date | ' | ' | ' | ' | 1-Feb-19 | ' | ' | ' | ' |
Amounts due from affiliates | $3,600,000 | $6,000,000 | ' | ' | ' | ' | ' | ' | ' |
Number of common shares held by affiliate | 75,000 | 75,000 | ' | ' | ' | ' | ' | ' | ' |
Transactions_with_Related_Part8
Transactions with Related Parties - Summary of Expenses (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Related Party Transactions [Abstract] | ' | ' |
Reimbursement of common overhead incurred by PFSI | $2,578 | $2,606 |
Reimbursement of expenses incurred on the Company's behalf | 445 | 1,358 |
Total expenses incurred in transaction with affiliates | 3,023 | 3,964 |
Payments and settlements during the period | $18,386 | $33,362 |
Transactions_with_Related_Part9
Transactions with Related Parties - Summary of Amounts Due to Affiliates (Detail) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Related Party Transactions [Abstract] | ' | ' |
Contingent underwriting fees | $1,752 | $1,788 |
Servicing fees | 8,222 | 5,915 |
Management fees | 8,074 | 8,924 |
Allocated expenses | 2,764 | 2,009 |
Total expense due to affiliate | $20,812 | $18,636 |
Earnings_Per_Share_Summary_of_
Earnings Per Share - Summary of Basic and Diluted Earnings per Share (Detail) (USD $) | 3 Months Ended | |
In Thousands, except Per Share data, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Basic earnings per share: | ' | ' |
Net income | $37,873 | $53,296 |
Effect of participating securities-share-based compensation awards | -408 | -518 |
Net income attributable to common shareholders | 37,465 | 52,778 |
Weighted-average shares outstanding | 71,527 | 58,927 |
Basic earnings per share | $0.52 | $0.90 |
Diluted earnings per share: | ' | ' |
Net income | 37,873 | 53,296 |
Interest on exchangeable senior notes, net of income taxes | 2,079 | ' |
Net income attributable to diluted shareholders | $39,952 | $53,296 |
Weighted-average shares outstanding | 71,527 | 58,927 |
Potentially dilutive securities: | ' | ' |
Shares issuable pursuant exchange of the Notes | 8,379 | ' |
Shares issuable under share-based compensation | 383 | 392 |
Diluted weighted-average number of shares outstanding | 80,289 | 59,319 |
Diluted earnings per share | $0.50 | $0.90 |
Loan_Sales_and_Variable_Intere
Loan Sales and Variable Interest Entities - Summary of Cash Flows between Company and Transferees upon Sale of Loans in Transactions (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Cash flows: | ' | ' |
Proceeds from sales | $2,026,306 | $5,134,736 |
Servicing fees received | 16,838 | 9,136 |
Period end information: | ' | ' |
Unpaid principal balance of mortgage loans outstanding | 27,192,550 | 16,642,130 |
Unpaid principal balance of delinquent mortgage loans: | ' | ' |
30-89 days delinquent | 70,365 | 38,272 |
90 or more days delinquent | ' | ' |
Not in foreclosure or bankruptcy | 7,700 | 2,731 |
In foreclosure or bankruptcy | $10,569 | $1,526 |
Loan_Sales_and_Variable_Intere1
Loan Sales and Variable Interest Entities - Additional Information (Detail) (USD $) | 9 Months Ended |
In Millions, unless otherwise specified | Sep. 30, 2013 |
Statement Of Financial Position [Abstract] | ' |
Certificates issued | $537 |
Weighted yield | 3.90% |
Certificates retained | $366.80 |
Loan_Sales_and_Variable_Intere2
Loan Sales and Variable Interest Entities - Assets and Liabilities of Consolidated VIE (Detail) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Assets | ' | ' |
Mortgage loans at fair value held by VIE | $529,680 | $523,652 |
Consolidated VIE [Member] | ' | ' |
Assets | ' | ' |
Mortgage loans at fair value held by VIE | 529,680 | 523,652 |
Interest receivable, included in Other assets | 1,718 | 1,584 |
Total | 531,398 | 525,236 |
Liabilities | ' | ' |
Asset-backed secured financing of the variable interest entity at fair value | 166,514 | 165,415 |
Interest payable, included in Accounts payable and accrued liabilities | 497 | 497 |
Total | $167,011 | $165,912 |
Netting_of_Financial_Instrumen2
Netting of Financial Instruments - Summary of Offsetting of Derivative Assets (Detail) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Derivative [Line Items] | ' | ' |
Gross amounts of recognized assets | $11,666 | $20,962 |
Gross amounts offset in the consolidated balance sheet | -3,738 | -12,986 |
Net amounts of assets presented in the consolidated balance sheet | 7,928 | 7,976 |
MBS put options [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gross amounts of recognized assets | 1,027 | 272 |
Gross amounts offset in the consolidated balance sheet | ' | ' |
Net amounts of assets presented in the consolidated balance sheet | 1,027 | 272 |
MBS call options [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gross amounts of recognized assets | 93 | ' |
Gross amounts offset in the consolidated balance sheet | ' | ' |
Net amounts of assets presented in the consolidated balance sheet | 93 | ' |
Forward purchase contracts [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gross amounts of recognized assets | 777 | 1,229 |
Gross amounts offset in the consolidated balance sheet | ' | ' |
Net amounts of assets presented in the consolidated balance sheet | 777 | 1,229 |
Forward sales contracts [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gross amounts of recognized assets | 5,434 | 16,385 |
Gross amounts offset in the consolidated balance sheet | ' | ' |
Net amounts of assets presented in the consolidated balance sheet | 5,434 | 16,385 |
Treasury futures [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gross amounts of recognized assets | 328 | ' |
Gross amounts offset in the consolidated balance sheet | ' | ' |
Net amounts of assets presented in the consolidated balance sheet | 328 | ' |
Put options on Eurodollar futures [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gross amounts of recognized assets | 432 | 566 |
Gross amounts offset in the consolidated balance sheet | ' | ' |
Net amounts of assets presented in the consolidated balance sheet | 432 | 566 |
Call options on Eurodollar futures [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gross amounts of recognized assets | 66 | ' |
Gross amounts offset in the consolidated balance sheet | ' | ' |
Net amounts of assets presented in the consolidated balance sheet | 66 | ' |
Netting [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gross amounts of recognized assets | ' | ' |
Gross amounts offset in the consolidated balance sheet | -3,738 | -12,986 |
Net amounts of assets presented in the consolidated balance sheet | -3,738 | -12,986 |
Derivatives subject to master netting arrangements [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gross amounts of recognized assets | 8,157 | 18,452 |
Gross amounts offset in the consolidated balance sheet | -3,738 | -12,986 |
Net amounts of assets presented in the consolidated balance sheet | 4,419 | 5,466 |
Interest rate lock commitments [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gross amounts of recognized assets | 3,509 | 2,510 |
Gross amounts offset in the consolidated balance sheet | ' | ' |
Net amounts of assets presented in the consolidated balance sheet | 3,509 | 2,510 |
Derivatives not subject to master netting arrangements [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gross amounts of recognized assets | 11,666 | 20,962 |
Gross amounts offset in the consolidated balance sheet | -3,738 | -12,986 |
Net amounts of assets presented in the consolidated balance sheet | $7,928 | $7,976 |
Netting_of_Financial_Instrumen3
Netting of Financial Instruments - Summary of Derivative Assets and Collateral Held by Counterparty (Detail) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Derivative [Line Items] | ' | ' |
Net amount of assets presented in the balance sheet | $7,928 | $7,976 |
Financial instruments | ' | ' |
Cash collateral received | ' | ' |
Net amount | 7,928 | 7,976 |
Interest rate lock commitments [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Net amount of assets presented in the balance sheet | 3,509 | 2,510 |
Financial instruments | ' | ' |
Cash collateral received | ' | ' |
Net amount | 3,509 | 2,510 |
RBS Securities [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Net amount of assets presented in the balance sheet | 892 | ' |
Financial instruments | ' | ' |
Cash collateral received | ' | ' |
Net amount | 892 | ' |
RJ O'Brien [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Net amount of assets presented in the balance sheet | 826 | 566 |
Financial instruments | ' | ' |
Cash collateral received | ' | ' |
Net amount | 826 | 566 |
Citibank, N.A. [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Net amount of assets presented in the balance sheet | 725 | ' |
Financial instruments | ' | ' |
Cash collateral received | ' | ' |
Net amount | 725 | ' |
Bank of America, N.A. [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Net amount of assets presented in the balance sheet | 594 | 1,024 |
Financial instruments | ' | ' |
Cash collateral received | ' | ' |
Net amount | 594 | 1,024 |
Wells Fargo [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Net amount of assets presented in the balance sheet | 245 | 378 |
Net amount | 245 | 378 |
Credit Suisse First Boston Mortgage Capital LLC [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Net amount of assets presented in the balance sheet | 234 | ' |
Financial instruments | ' | ' |
Cash collateral received | ' | ' |
Net amount | 234 | ' |
Daiwa Capital Markets [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Net amount of assets presented in the balance sheet | 141 | 608 |
Financial instruments | ' | ' |
Cash collateral received | ' | ' |
Net amount | 141 | 608 |
Fannie Mae Capital Markets [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Net amount of assets presented in the balance sheet | ' | 432 |
Financial instruments | ' | ' |
Cash collateral received | ' | ' |
Net amount | ' | 432 |
Morgan Stanley Bank, N.A. [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Net amount of assets presented in the balance sheet | ' | 546 |
Financial instruments | ' | ' |
Cash collateral received | ' | ' |
Net amount | ' | 546 |
Cantor Fitzgerald LP [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Net amount of assets presented in the balance sheet | ' | 613 |
Financial instruments | ' | ' |
Cash collateral received | ' | ' |
Net amount | ' | 613 |
Other [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Net amount of assets presented in the balance sheet | 762 | 1,299 |
Financial instruments | ' | ' |
Cash collateral received | ' | ' |
Net amount | $762 | $1,299 |
Netting_of_Financial_Instrumen4
Netting of Financial Instruments - Schedule of Offsetting of Derivative Liabilities and Financial Liabilities (Detail) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Derivative [Line Items] | ' | ' |
Gross amounts of recognized liabilities | $1,893,115 | $2,049,581 |
Gross amounts offset in the balance sheet | -4,376 | -8,015 |
Net amounts of liabilities presented in the balance sheet | 1,888,739 | 2,041,566 |
Forward purchase contracts [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gross amounts of recognized liabilities | 3,547 | 7,420 |
Gross amounts offset in the balance sheet | ' | ' |
Net amounts of liabilities presented in the balance sheet | 3,547 | 7,420 |
Forward contracts [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gross amounts of recognized liabilities | 1,219 | 1,295 |
Gross amounts offset in the balance sheet | ' | ' |
Net amounts of liabilities presented in the balance sheet | 1,219 | 1,295 |
MBS options [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gross amounts of recognized liabilities | 333 | ' |
Gross amounts offset in the balance sheet | ' | ' |
Net amounts of liabilities presented in the balance sheet | 333 | ' |
Netting [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gross amounts of recognized liabilities | ' | ' |
Gross amounts offset in the balance sheet | -4,376 | -8,015 |
Net amounts of liabilities presented in the balance sheet | -4,376 | -8,015 |
Derivatives subject to master netting arrangements [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gross amounts of recognized liabilities | 5,099 | 8,715 |
Gross amounts offset in the balance sheet | -4,376 | -8,015 |
Net amounts of liabilities presented in the balance sheet | 723 | 700 |
Interest rate lock commitments [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gross amounts of recognized liabilities | 238 | 1,261 |
Gross amounts offset in the balance sheet | ' | ' |
Net amounts of liabilities presented in the balance sheet | 238 | 1,261 |
Derivatives not subject to master netting arrangements [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gross amounts of recognized liabilities | 5,337 | 9,976 |
Gross amounts offset in the balance sheet | -4,376 | -8,015 |
Net amounts of liabilities presented in the balance sheet | 961 | 1,961 |
Securities Sold Under Agreements to Repurchase [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gross amounts of recognized liabilities | 1,887,778 | 2,039,605 |
Gross amounts offset in the balance sheet | ' | ' |
Net amounts of liabilities presented in the balance sheet | $1,887,778 | $2,039,605 |
Netting_of_Financial_Instrumen5
Netting of Financial Instruments - Summary of Derivative Liabilities, Financial Liabilities and Collateral Held by Counterparty (Detail) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Derivative [Line Items] | ' | ' |
Net amounts of liabilities presented in the consolidated balance sheet | $1,888,739 | $2,041,566 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | -1,887,778 | -2,039,605 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | ' | ' |
Net amount | 961 | 1,961 |
Citibank, N.A. [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Net amounts of liabilities presented in the consolidated balance sheet | 778,460 | 945,015 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | -778,460 | -944,856 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | ' | ' |
Net amount | ' | 159 |
Credit Suisse First Boston Mortgage Capital LLC [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Net amounts of liabilities presented in the consolidated balance sheet | 443,362 | 523,546 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | -443,362 | -523,546 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | ' | ' |
Bank of America, N.A. [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Net amounts of liabilities presented in the consolidated balance sheet | 334,772 | 408,452 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | -334,772 | -408,452 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | ' | ' |
Deutsche Bank [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Net amounts of liabilities presented in the consolidated balance sheet | ' | 110 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | ' | ' |
Net amount | ' | 110 |
Daiwa Capital Markets [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Net amounts of liabilities presented in the consolidated balance sheet | 130,825 | 132,525 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | -130,825 | -132,525 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | ' | ' |
Morgan Stanley Bank, N.A. [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Net amounts of liabilities presented in the consolidated balance sheet | 109,884 | 30,226 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | -109,707 | -30,226 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | ' | ' |
Net amount | 177 | ' |
RBS Securities [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Net amounts of liabilities presented in the consolidated balance sheet | 90,652 | ' |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | -90,652 | ' |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | ' | ' |
JP Morgan [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Net amounts of liabilities presented in the consolidated balance sheet | ' | 228 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | ' | ' |
Net amount | ' | 228 |
Interest rate lock commitments [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Net amounts of liabilities presented in the consolidated balance sheet | 238 | 1,261 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | ' | ' |
Net amount | 238 | 1,261 |
Other [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Net amounts of liabilities presented in the consolidated balance sheet | 546 | 203 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | ' | ' |
Net amount | $546 | $203 |
Fair_Value_Additional_Informat
Fair Value - Additional Information (Detail) (USD $) | 3 Months Ended |
In Millions, unless otherwise specified | Mar. 31, 2014 |
Mortgage Loans on Real Estate [Line Items] | ' |
Initial interest rates | 'More than 4.5% |
Interest rate | 4.50% |
Mortgage loans description | 'Pools of mortgage loans with 50 basis point interest rate |
Basis point for mortgage loan | 0.50% |
Fair value of notes | $242 |
Minimum [Member] | ' |
Mortgage Loans on Real Estate [Line Items] | ' |
Fixed-rate mortgage loans | 3.00% |
Maximum [Member] | ' |
Mortgage Loans on Real Estate [Line Items] | ' |
Fixed-rate mortgage loans | 4.50% |
Fair_Value_Summary_of_Financia
Fair Value - Summary of Financial Statement Items Measured at Estimated Fair Value on Recurring Basis (Detail) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||||
Assets: | ' | ' | ' | ' |
Short-term investments | $91,338 | $92,398 | ' | ' |
Mortgage-backed securities at fair value | 198,110 | 197,401 | ' | ' |
Mortgage loans acquired for sale at fair value | 344,680 | 458,137 | ' | ' |
Mortgage loans under forward purchase agreements at fair value | 202,661 | 218,128 | ' | ' |
Mortgage loans at fair value held by variable interest entity | 529,680 | 523,652 | ' | ' |
Derivative assets: | ' | ' | ' | ' |
Total derivative assets before netting | 11,666 | 20,962 | ' | ' |
Derivative assets, Netting | -3,738 | -12,986 | ' | ' |
Gross derivative asset | 7,928 | 7,976 | ' | ' |
Mortgage servicing rights at fair value | 36,181 | 26,452 | 1,305 | 1,346 |
Liabilities: | ' | ' | ' | ' |
Asset-backed secured financing of the variable interest entity at fair value | 166,514 | 165,415 | ' | ' |
Derivative liabilities: | ' | ' | ' | ' |
Total derivative liabilities before netting | 5,337 | 9,976 | ' | ' |
Derivative liabilities, Netting | -4,376 | -8,015 | ' | ' |
Gross derivative liability | 961 | 1,961 | ' | ' |
Recurring [Member] | ' | ' | ' | ' |
Assets: | ' | ' | ' | ' |
Short-term investments | 91,338 | 92,398 | ' | ' |
Mortgage-backed securities at fair value | 198,110 | 197,401 | ' | ' |
Mortgage loans acquired for sale at fair value | 344,680 | 458,137 | ' | ' |
Mortgage loans at fair value | 2,079,020 | 2,076,665 | ' | ' |
Mortgage loans under forward purchase agreements at fair value | 202,661 | 218,128 | ' | ' |
Mortgage loans at fair value held by variable interest entity | 529,680 | 523,652 | ' | ' |
Excess servicing spread purchased from PennyMac Financial Services, Inc. | 151,019 | 138,723 | ' | ' |
Derivative assets: | ' | ' | ' | ' |
Total derivative assets before netting | 11,666 | 20,962 | ' | ' |
Derivative assets, Netting | -3,738 | -12,986 | ' | ' |
Gross derivative asset | 7,928 | 7,976 | ' | ' |
Mortgage servicing rights at fair value | 36,181 | 26,452 | ' | ' |
Total Assets | 3,640,617 | 3,739,532 | ' | ' |
Liabilities: | ' | ' | ' | ' |
Asset-backed secured financing of the variable interest entity at fair value | 166,514 | 165,415 | ' | ' |
Derivative liabilities: | ' | ' | ' | ' |
Total derivative liabilities before netting | 5,337 | 9,976 | ' | ' |
Derivative liabilities, Netting | -4,376 | -8,015 | ' | ' |
Gross derivative liability | 961 | 1,961 | ' | ' |
Total liabilities | 167,475 | 167,376 | ' | ' |
Recurring [Member] | Interest rate lock commitments [Member] | ' | ' | ' | ' |
Derivative assets: | ' | ' | ' | ' |
Gross derivative asset | 3,509 | 2,510 | ' | ' |
Derivative liabilities: | ' | ' | ' | ' |
Gross derivative liability | 238 | 1,261 | ' | ' |
Recurring [Member] | MBS put options one [Member] | ' | ' | ' | ' |
Derivative assets: | ' | ' | ' | ' |
Gross derivative asset | 1,027 | ' | ' | ' |
Recurring [Member] | MBS put options two [Member] | ' | ' | ' | ' |
Derivative assets: | ' | ' | ' | ' |
Gross derivative asset | 93 | ' | ' | ' |
Recurring [Member] | Forward purchase contracts [Member] | ' | ' | ' | ' |
Derivative assets: | ' | ' | ' | ' |
Gross derivative asset | 777 | 1,229 | ' | ' |
Derivative liabilities: | ' | ' | ' | ' |
Gross derivative liability | 3,547 | 7,420 | ' | ' |
Recurring [Member] | Forward sales contracts [Member] | ' | ' | ' | ' |
Derivative assets: | ' | ' | ' | ' |
Gross derivative asset | 5,434 | 16,385 | ' | ' |
Derivative liabilities: | ' | ' | ' | ' |
Gross derivative liability | 1,219 | 1,295 | ' | ' |
Recurring [Member] | Treasury futures [Member] | ' | ' | ' | ' |
Derivative assets: | ' | ' | ' | ' |
Gross derivative asset | 328 | ' | ' | ' |
Recurring [Member] | Put options on Eurodollar futures [Member] | ' | ' | ' | ' |
Derivative assets: | ' | ' | ' | ' |
Gross derivative asset | 432 | 566 | ' | ' |
Recurring [Member] | Call options on Eurodollar futures [Member] | ' | ' | ' | ' |
Derivative assets: | ' | ' | ' | ' |
Gross derivative asset | 66 | ' | ' | ' |
Recurring [Member] | MBS call options [Member] | ' | ' | ' | ' |
Derivative liabilities: | ' | ' | ' | ' |
Gross derivative liability | 333 | ' | ' | ' |
Recurring [Member] | MBS put options [Member] | ' | ' | ' | ' |
Derivative assets: | ' | ' | ' | ' |
Gross derivative asset | ' | 272 | ' | ' |
Recurring [Member] | Level 1 [Member] | ' | ' | ' | ' |
Assets: | ' | ' | ' | ' |
Short-term investments | 91,338 | 92,398 | ' | ' |
Derivative assets: | ' | ' | ' | ' |
Total Assets | 91,338 | 92,398 | ' | ' |
Recurring [Member] | Level 2 [Member] | ' | ' | ' | ' |
Assets: | ' | ' | ' | ' |
Mortgage-backed securities at fair value | 198,110 | 197,401 | ' | ' |
Mortgage loans acquired for sale at fair value | 344,680 | 458,137 | ' | ' |
Mortgage loans at fair value held by variable interest entity | 529,680 | 523,652 | ' | ' |
Derivative assets: | ' | ' | ' | ' |
Total derivative assets before netting | 8,157 | 18,452 | ' | ' |
Gross derivative asset | 8,157 | 18,452 | ' | ' |
Total Assets | 1,080,627 | 1,197,642 | ' | ' |
Liabilities: | ' | ' | ' | ' |
Asset-backed secured financing of the variable interest entity at fair value | 166,514 | 165,415 | ' | ' |
Derivative liabilities: | ' | ' | ' | ' |
Total derivative liabilities before netting | 5,099 | 8,715 | ' | ' |
Gross derivative liability | 5,099 | 8,715 | ' | ' |
Total liabilities | 171,613 | 174,130 | ' | ' |
Recurring [Member] | Level 2 [Member] | MBS put options one [Member] | ' | ' | ' | ' |
Derivative assets: | ' | ' | ' | ' |
Gross derivative asset | 1,027 | ' | ' | ' |
Recurring [Member] | Level 2 [Member] | MBS put options two [Member] | ' | ' | ' | ' |
Derivative assets: | ' | ' | ' | ' |
Gross derivative asset | 93 | ' | ' | ' |
Recurring [Member] | Level 2 [Member] | Forward purchase contracts [Member] | ' | ' | ' | ' |
Derivative assets: | ' | ' | ' | ' |
Gross derivative asset | 777 | 1,229 | ' | ' |
Derivative liabilities: | ' | ' | ' | ' |
Gross derivative liability | 3,547 | 7,420 | ' | ' |
Recurring [Member] | Level 2 [Member] | Forward sales contracts [Member] | ' | ' | ' | ' |
Derivative assets: | ' | ' | ' | ' |
Gross derivative asset | 5,434 | 16,385 | ' | ' |
Derivative liabilities: | ' | ' | ' | ' |
Gross derivative liability | 1,219 | 1,295 | ' | ' |
Recurring [Member] | Level 2 [Member] | Treasury futures [Member] | ' | ' | ' | ' |
Derivative assets: | ' | ' | ' | ' |
Gross derivative asset | 328 | ' | ' | ' |
Recurring [Member] | Level 2 [Member] | Put options on Eurodollar futures [Member] | ' | ' | ' | ' |
Derivative assets: | ' | ' | ' | ' |
Gross derivative asset | 432 | 566 | ' | ' |
Recurring [Member] | Level 2 [Member] | Call options on Eurodollar futures [Member] | ' | ' | ' | ' |
Derivative assets: | ' | ' | ' | ' |
Gross derivative asset | 66 | ' | ' | ' |
Recurring [Member] | Level 2 [Member] | MBS call options [Member] | ' | ' | ' | ' |
Derivative liabilities: | ' | ' | ' | ' |
Gross derivative liability | 333 | ' | ' | ' |
Recurring [Member] | Level 2 [Member] | MBS put options [Member] | ' | ' | ' | ' |
Derivative assets: | ' | ' | ' | ' |
Gross derivative asset | ' | 272 | ' | ' |
Recurring [Member] | Level 3 [Member] | ' | ' | ' | ' |
Assets: | ' | ' | ' | ' |
Mortgage loans at fair value | 2,079,020 | 2,076,665 | ' | ' |
Mortgage loans under forward purchase agreements at fair value | 202,661 | 218,128 | ' | ' |
Excess servicing spread purchased from PennyMac Financial Services, Inc. | 151,019 | 138,723 | ' | ' |
Derivative assets: | ' | ' | ' | ' |
Total derivative assets before netting | 3,509 | 2,510 | ' | ' |
Gross derivative asset | 3,509 | 2,510 | ' | ' |
Mortgage servicing rights at fair value | 36,181 | 26,452 | ' | ' |
Total Assets | 2,472,390 | 2,462,478 | ' | ' |
Derivative liabilities: | ' | ' | ' | ' |
Total derivative liabilities before netting | 238 | 1,261 | ' | ' |
Gross derivative liability | 238 | 1,261 | ' | ' |
Total liabilities | 238 | 1,261 | ' | ' |
Recurring [Member] | Level 3 [Member] | Interest rate lock commitments [Member] | ' | ' | ' | ' |
Derivative assets: | ' | ' | ' | ' |
Gross derivative asset | 3,509 | 2,510 | ' | ' |
Derivative liabilities: | ' | ' | ' | ' |
Gross derivative liability | $238 | $1,261 | ' | ' |
Fair_Value_Summary_of_Changes_
Fair Value - Summary of Changes in Items Measured Using Level 3 Inputs on Recurring Basis (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Assets: | ' | ' |
Beginning balance | $2,461,217 | $1,210,796 |
Purchases | 277,726 | 200,473 |
Repayments | -67,178 | -61,421 |
Accrual of interest | 2,862 | ' |
ESS received pursuant to a recapture agreement with PFSI | 1,113 | ' |
Interest rate lock commitments issued, net | 12,596 | 35,414 |
Capitalization of interest | 12,470 | 5,230 |
Sales | -192,403 | ' |
Servicing received as proceeds from sales of mortgage loans | 11,757 | 26 |
Changes in fair value included in income arising from: | ' | ' |
Changes in instrument-specific credit risk | 18,139 | 8,445 |
Other factors | 17,389 | 55,468 |
Total | 35,528 | 63,913 |
Transfers of mortgage loans to REO | -64,130 | -31,311 |
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements | -6,402 | ' |
Transfers of interest rate lock commitments to mortgage loans acquired for sale | -13,004 | -43,841 |
Ending balance | 2,472,152 | 1,379,279 |
Changes in fair value recognized during the period relating to assets still held at March 31, 2013 | 29,037 | 61,593 |
Mortgage loans at fair value [Member] | ' | ' |
Assets: | ' | ' |
Beginning balance | 2,076,665 | 1,189,971 |
Purchases | 256,280 | 200,473 |
Repayments | -54,436 | -61,421 |
Capitalization of interest | 11,726 | 5,230 |
Sales | -192,403 | ' |
Changes in fair value included in income arising from: | ' | ' |
Changes in instrument-specific credit risk | 15,742 | 8,445 |
Other factors | 25,116 | 55,535 |
Total | 40,858 | 63,980 |
Transfers of mortgage loans under forward purchase agreements to mortgage loans | 4,460 | ' |
Transfers of mortgage loans to REO | -64,130 | -31,311 |
Ending balance | 2,079,020 | 1,366,922 |
Changes in fair value recognized during the period relating to assets still held at March 31, 2013 | 34,209 | 50,608 |
Mortgage loans under forward purchase agreements [Member] | ' | ' |
Assets: | ' | ' |
Beginning balance | 218,128 | ' |
Purchases | 920 | ' |
Repayments | -5,329 | ' |
Capitalization of interest | 744 | ' |
Changes in fair value included in income arising from: | ' | ' |
Changes in instrument-specific credit risk | 2,397 | ' |
Other factors | -3,337 | ' |
Total | -940 | ' |
Transfers of mortgage loans under forward purchase agreements to mortgage loans | -4,460 | ' |
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements | -6,402 | ' |
Ending balance | 202,661 | ' |
Changes in fair value recognized during the period relating to assets still held at March 31, 2013 | -1,623 | ' |
Excess servicing spread [Member] | ' | ' |
Assets: | ' | ' |
Beginning balance | 138,723 | ' |
Purchases | 20,526 | ' |
Repayments | -7,413 | ' |
Accrual of interest | 2,862 | ' |
ESS received pursuant to a recapture agreement with PFSI | 1,113 | ' |
Changes in fair value included in income arising from: | ' | ' |
Other factors | -4,792 | ' |
Total | -4,792 | ' |
Ending balance | 151,019 | ' |
Changes in fair value recognized during the period relating to assets still held at March 31, 2013 | -4,792 | ' |
Interest rate lock commitments [Member] | ' | ' |
Assets: | ' | ' |
Beginning balance | 1,249 | 19,479 |
Interest rate lock commitments issued, net | 12,596 | 35,414 |
Changes in fair value included in income arising from: | ' | ' |
Other factors | 2,430 | ' |
Total | 2,430 | ' |
Transfers of interest rate lock commitments to mortgage loans acquired for sale | -13,004 | -43,841 |
Ending balance | 3,271 | 11,052 |
Changes in fair value recognized during the period relating to assets still held at March 31, 2013 | 3,271 | 11,052 |
Mortgage servicing rights [Member] | ' | ' |
Assets: | ' | ' |
Beginning balance | 26,452 | 1,346 |
Servicing received as proceeds from sales of mortgage loans | 11,757 | 26 |
Changes in fair value included in income arising from: | ' | ' |
Other factors | -2,028 | -67 |
Total | -2,028 | -67 |
Ending balance | 36,181 | 1,305 |
Changes in fair value recognized during the period relating to assets still held at March 31, 2013 | ($2,028) | ($67) |
Fair_Value_Fair_Values_and_Rel
Fair Value - Fair Values and Related Principal Amounts Due upon Maturity of Mortgage Loans Accounted for Under Fair Value Option (Detail) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2013 |
In Thousands, unless otherwise specified | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' | ' |
Fair value option loans held as assets, Total | $3,156,041 | $3,276,582 | ' |
Mortgage loans on real estate principal amount of delinquent loans less than ninety days | 4,515,222 | 4,637,609 | ' |
Not in foreclosure | 10,569 | ' | 1,526 |
In foreclosure | 7,700 | ' | 2,731 |
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | -1,359,181 | -1,361,027 | ' |
Mortgage loans acquired for sale [Member] | ' | ' | ' |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' | ' |
Fair value option loans held as assets ninety days or less past due | 344,515 | 457,968 | ' |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due | ' | ' | ' |
Not in foreclosure | 165 | 169 | ' |
In foreclosure | ' | ' | ' |
Fair value option loans held as assets, Total | 344,680 | 458,137 | ' |
Mortgage loans on real estate principal amount of delinquent loans less than ninety days | 332,267 | 447,224 | ' |
Mortgage loans on real estate principal amount of delinquent loans | ' | ' | ' |
Not in foreclosure | 162 | 162 | ' |
In foreclosure | ' | ' | ' |
Unpaid principal balance of loans outstanding at period-end | 332,429 | 447,386 | ' |
Fair value option loans held as assets ninety days or less past due aggregate difference | 12,248 | 10,744 | ' |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference | ' | ' | ' |
Not in foreclosure | 3 | 7 | ' |
In foreclosure | ' | ' | ' |
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | 12,251 | 10,751 | ' |
Mortgage loans and mortgage loans under forward purchase agreements at fair value [Member] | ' | ' | ' |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' | ' |
Fair value option loans held as assets ninety days or less past due | 541,634 | 647,266 | ' |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due | ' | ' | ' |
Not in foreclosure | 719,726 | 738,043 | ' |
In foreclosure | 1,020,321 | 909,484 | ' |
Fair value option loans held as assets, Total | 2,281,681 | 2,294,793 | ' |
Mortgage loans on real estate principal amount of delinquent loans less than ninety days | 859,763 | 962,919 | ' |
Mortgage loans on real estate principal amount of delinquent loans | ' | ' | ' |
Not in foreclosure | 1,149,611 | 1,190,403 | ' |
In foreclosure | 1,635,615 | 1,493,644 | ' |
Unpaid principal balance of loans outstanding at period-end | 3,644,989 | 3,646,966 | ' |
Fair value option loans held as assets ninety days or less past due aggregate difference | -318,129 | -315,653 | ' |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference | ' | ' | ' |
Not in foreclosure | -429,885 | -452,360 | ' |
In foreclosure | -615,294 | -584,160 | ' |
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | -1,363,308 | -1,352,173 | ' |
Mortgage loans at fair value held by VIE [Member] | ' | ' | ' |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' | ' |
Fair value option loans held as assets ninety days or less past due | 529,680 | 523,652 | ' |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due | ' | ' | ' |
Not in foreclosure | ' | ' | ' |
In foreclosure | ' | ' | ' |
Fair value option loans held as assets, Total | 529,680 | 523,652 | ' |
Mortgage loans on real estate principal amount of delinquent loans less than ninety days | 537,804 | 543,257 | ' |
Mortgage loans on real estate principal amount of delinquent loans | ' | ' | ' |
Not in foreclosure | ' | ' | ' |
In foreclosure | ' | ' | ' |
Unpaid principal balance of loans outstanding at period-end | 537,804 | 543,257 | ' |
Fair value option loans held as assets ninety days or less past due aggregate difference | -8,124 | -19,605 | ' |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference | ' | ' | ' |
Not in foreclosure | ' | ' | ' |
In foreclosure | ' | ' | ' |
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | ($8,124) | ($19,605) | ' |
Fair_Value_Summary_of_Changes_1
Fair Value - Summary of Changes in Fair Value Included in Current Period Income (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Fair Value Inputs Assets Liabilities Quantitative Information [Line Items] | ' | ' |
Net gain on mortgage loans acquired for sale | $9,971 | $29,279 |
Net gain on investments | 42,585 | 63,980 |
Asset-backed secured financing of the variable interest entity at fair value [Member] | ' | ' |
Fair Value Inputs Assets Liabilities Quantitative Information [Line Items] | ' | ' |
Net interest income | -124 | ' |
Net gain on investments | -2,780 | ' |
Total | -2,904 | ' |
Liabilities, Total [Member] | ' | ' |
Fair Value Inputs Assets Liabilities Quantitative Information [Line Items] | ' | ' |
Net interest income | -124 | ' |
Net gain on investments | -2,780 | ' |
Total | -2,904 | ' |
Short-term investments [Member] | ' | ' |
Fair Value Inputs Assets Liabilities Quantitative Information [Line Items] | ' | ' |
Net gain on mortgage loans acquired for sale | ' | ' |
Net interest income | ' | ' |
Net gain on investments | ' | ' |
Net loan servicing income | ' | ' |
Total | ' | ' |
Mortgage-backed securities at fair value [Member] | ' | ' |
Fair Value Inputs Assets Liabilities Quantitative Information [Line Items] | ' | ' |
Net interest income | 33 | ' |
Net gain on investments | 2,652 | ' |
Total | 2,685 | ' |
Excess servicing spread [Member] | ' | ' |
Fair Value Inputs Assets Liabilities Quantitative Information [Line Items] | ' | ' |
Net gain on investments | -2,901 | ' |
Total | -2,901 | ' |
Mortgage loans acquired for sale at fair value [Member] | ' | ' |
Fair Value Inputs Assets Liabilities Quantitative Information [Line Items] | ' | ' |
Net gain on mortgage loans acquired for sale | 18,632 | 24,757 |
Net interest income | ' | ' |
Net gain on investments | ' | ' |
Net loan servicing income | ' | ' |
Total | 18,632 | 24,757 |
Mortgage loans at fair value [Member] | ' | ' |
Fair Value Inputs Assets Liabilities Quantitative Information [Line Items] | ' | ' |
Net gain on mortgage loans acquired for sale | ' | ' |
Net interest income | ' | ' |
Net gain on investments | 40,858 | 63,980 |
Net loan servicing income | ' | ' |
Total | 40,858 | 63,980 |
Mortgage loans under forward purchase agreements at fair value [Member] | ' | ' |
Fair Value Inputs Assets Liabilities Quantitative Information [Line Items] | ' | ' |
Net gain on investments | -940 | ' |
Total | -940 | ' |
Mortgage loans at fair value held by VIE [Member] | ' | ' |
Fair Value Inputs Assets Liabilities Quantitative Information [Line Items] | ' | ' |
Net interest income | 330 | ' |
Net gain on investments | 11,307 | ' |
Total | 11,637 | ' |
Mortgage servicing rights at fair value [Member] | ' | ' |
Fair Value Inputs Assets Liabilities Quantitative Information [Line Items] | ' | ' |
Net gain on mortgage loans acquired for sale | ' | ' |
Net interest income | ' | ' |
Net gain on investments | ' | ' |
Net loan servicing income | -2,027 | -67 |
Total | -2,027 | -67 |
Assets, Total [Member] | ' | ' |
Fair Value Inputs Assets Liabilities Quantitative Information [Line Items] | ' | ' |
Net gain on mortgage loans acquired for sale | 18,632 | 24,757 |
Net interest income | 363 | ' |
Net gain on investments | 50,976 | 63,980 |
Net loan servicing income | -2,027 | -67 |
Total | $67,944 | $88,670 |
Fair_Value_Summary_of_Financia1
Fair Value - Summary of Financial Statement Items Measured at Estimated Fair Value on Nonrecurring Basis (Detail) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Real estate asset acquired in settlement of loans | $75,025 | $63,043 |
Real estate asset acquired in settlement of loans under forward purchase agreements | 10,236 | 7,760 |
Mortgage servicing rights at lower of amortized cost or fair value | 49,108 | 184,067 |
Total Assets | 134,369 | 254,870 |
Level 1 [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Real estate asset acquired in settlement of loans | ' | ' |
Real estate asset acquired in settlement of loans under forward purchase agreements | ' | ' |
Mortgage servicing rights at lower of amortized cost or fair value | ' | ' |
Total Assets | ' | ' |
Level 2 [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Real estate asset acquired in settlement of loans | ' | ' |
Real estate asset acquired in settlement of loans under forward purchase agreements | ' | ' |
Mortgage servicing rights at lower of amortized cost or fair value | ' | ' |
Total Assets | ' | ' |
Level 3 [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Real estate asset acquired in settlement of loans | 75,025 | 63,043 |
Real estate asset acquired in settlement of loans under forward purchase agreements | 10,236 | 7,760 |
Mortgage servicing rights at lower of amortized cost or fair value | 49,108 | 184,067 |
Total Assets | $134,369 | $254,870 |
Fair_Value_Summary_of_Total_Ga
Fair Value - Summary of Total Gains (Losses) Recognized on Assets Measured at Estimated Fair Values on Nonrecurring Basis (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Fair Value Disclosures [Abstract] | ' | ' |
Real estate asset acquired in settlement of loans | ($7,314) | ($4,954) |
Real estate asset acquired in settlement of loans under forward purchase agreements | -528 | ' |
Mortgage servicing rights at lower of amortized cost or fair value | -627 | 2,486 |
Total assets, gains (losses) recognized | ($8,469) | ($2,468) |
Fair_Value_Quantitative_Summar
Fair Value - Quantitative Summary of Key Inputs Used in Valuation of Mortgage Loans and Mortgage Loans Under Forward Purchase Agreements at Fair Value (Detail) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2014 | Dec. 31, 2013 | |
Minimum [Member] | Mortgage loans at fair value [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Discount rate | 8.50% | 8.70% |
Twelve-month projected housing price index change | 2.10% | 2.50% |
Prepayment speed | 0.00% | 0.00% |
Total prepayment speed | 0.60% | 0.30% |
Minimum [Member] | Mortgage loans under forward purchase agreements [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Discount rate | 8.50% | 9.50% |
Twelve-month projected housing price index change | 3.20% | 3.30% |
Prepayment speed | 1.90% | 1.10% |
Total prepayment speed | 11.30% | 13.40% |
Maximum [Member] | Mortgage loans at fair value [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Discount rate | 16.90% | 16.90% |
Twelve-month projected housing price index change | 3.80% | 4.30% |
Prepayment speed | 6.00% | 3.90% |
Total prepayment speed | 32.90% | 33.90% |
Maximum [Member] | Mortgage loans under forward purchase agreements [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Discount rate | 15.20% | 13.50% |
Twelve-month projected housing price index change | 3.80% | 4.20% |
Prepayment speed | 3.90% | 2.90% |
Total prepayment speed | 26.60% | 27.90% |
Weighted average [Member] | Mortgage loans at fair value [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Discount rate | 12.40% | 12.70% |
Twelve-month projected housing price index change | 3.50% | 3.70% |
Prepayment speed | 2.10% | 2.00% |
Total prepayment speed | 23.60% | 24.30% |
Weighted average [Member] | Mortgage loans under forward purchase agreements [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Discount rate | 12.50% | 11.90% |
Twelve-month projected housing price index change | 3.60% | 3.80% |
Prepayment speed | 2.70% | 2.20% |
Total prepayment speed | 21.60% | 22.80% |
Fair_Value_Summary_of_Key_Inpu
Fair Value - Summary of Key Inputs Used in Determining Fair Value of ESS (Detail) (USD $) | 3 Months Ended | 12 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' |
Unpaid principal balance of underlying mortgage loans (in thousands) | $1,091,714 | $2,600 | ' |
Average servicing fee rate (in basis points) | 25.00% | 33.00% | 26.00% |
Minimum [Member] | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' |
Pricing spread | 8.50% | 7.50% | ' |
Annual total prepayment speed | 8.00% | ' | 8.00% |
Minimum [Member] | Excess servicing spread [Member] | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' |
Pricing spread | 1.70% | ' | 2.80% |
Life (in years) | '7 months 6 days | ' | '10 months 24 days |
Annual total prepayment speed | 7.70% | ' | 7.70% |
Maximum [Member] | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' |
Pricing spread | 12.30% | 14.40% | ' |
Annual total prepayment speed | 23.90% | ' | 20.00% |
Maximum [Member] | Excess servicing spread [Member] | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' |
Pricing spread | 14.40% | ' | 14.40% |
Life (in years) | '7 years 3 months 18 days | ' | '8 years |
Annual total prepayment speed | 63.80% | ' | 48.60% |
Weighted average [Member] | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' |
Pricing spread | 8.90% | 8.50% | ' |
Annual total prepayment speed | 9.40% | ' | 8.90% |
Weighted average [Member] | Excess servicing spread [Member] | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' |
Unpaid principal balance of underlying mortgage loans (in thousands) | $22,246,336 | ' | 20,512,659 |
Average servicing fee rate (in basis points) | 32.00% | ' | 32.00% |
Average ESS rate (in basis points) | 16.00% | ' | 16.00% |
Pricing spread | 4.80% | ' | 5.40% |
Life (in years) | '5 years 8 months 12 days | ' | '6 years 1 month 6 days |
Annual total prepayment speed | 10.40% | ' | 9.70% |
Fair_Value_Quantitative_Summar1
Fair Value - Quantitative Summary of Key Unobservable Inputs Used in Valuation of Interest Rate Lock Commitments (Detail) | Mar. 31, 2014 | Dec. 31, 2013 |
Minimum [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Pull-through rate | 64.00% | 64.80% |
Servicing fee multiple | 2.10% | 1.40% |
Percentage of unpaid principal balance | 0.50% | 0.40% |
Maximum [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Pull-through rate | 98.00% | 98.00% |
Servicing fee multiple | 4.90% | 5.10% |
Percentage of unpaid principal balance | 1.20% | 1.30% |
Weighted average [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Pull-through rate | 83.50% | 86.40% |
Servicing fee multiple | 3.90% | 4.10% |
Percentage of unpaid principal balance | 1.00% | 1.00% |
Fair_Value_Key_Assumptions_Use
Fair Value - Key Assumptions Used in Determining Fair Value of MSRs at Time of Initial Recognition (Detail) (USD $) | 3 Months Ended | 12 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' |
MSR recognized | $9,118 | $56,190 | ' |
Unpaid principal balance of underlying mortgage loans, Amortized cost | 850,548 | 5,003,557 | ' |
Weighted-average annual servicing fee rate (in basis points) | 26.00% | 25.00% | 26.00% |
MSR recognized | 11,757 | 26 | ' |
Unpaid principal balance of underlying mortgage loans, Fair value | 1,091,714 | 2,600 | ' |
Weighted-average annual servicing fee rate (in basis points) | 25.00% | 33.00% | 26.00% |
Minimum [Member] | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' |
Amortized cost, Pricing spread during period | 6.30% | 5.40% | ' |
Amortized cost, Life (in years) | '1 year 1 month 6 days | '2 years 8 months 12 days | ' |
Amortized cost, Annual prepayment speed during period | 7.60% | 8.50% | ' |
Amortized cost, Annual per loan cost of servicing during period | 68 | 68 | ' |
Fair value inputs, Pricing spread during period | 8.50% | 7.50% | ' |
Fair value inputs, Weighted average life during period | '2 years 9 months 18 days | '2 years 9 months 18 days | ' |
Fair value inputs, Annual prepayment speed during period | 8.00% | 10.40% | ' |
Fair value inputs, Annual per loan cost of servicing during period | 68 | 68 | ' |
Maximum [Member] | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' |
Amortized cost, Pricing spread during period | 14.30% | 14.40% | ' |
Amortized cost, Life (in years) | '7 years 3 months 18 days | '6 years 10 months 24 days | ' |
Amortized cost, Annual prepayment speed during period | 56.40% | 22.70% | ' |
Amortized cost, Annual per loan cost of servicing during period | 68 | 140 | ' |
Fair value inputs, Pricing spread during period | 12.30% | 14.40% | ' |
Fair value inputs, Weighted average life during period | '7 years 3 months 18 days | '6 years 9 months 18 days | ' |
Fair value inputs, Annual prepayment speed during period | 23.80% | 27.00% | ' |
Fair value inputs, Annual per loan cost of servicing during period | 68 | 68 | ' |
Weighted average [Member] | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' |
Amortized cost, Pricing spread during period | 8.50% | 7.00% | ' |
Amortized cost, Life (in years) | '5 years 10 months 24 days | '6 years 4 months 24 days | ' |
Amortized cost, Annual prepayment speed during period | 10.30% | 9.10% | ' |
Amortized cost, Annual per loan cost of servicing during period | 68 | 68 | ' |
Fair value inputs, Pricing spread during period | 8.90% | 8.50% | ' |
Fair value inputs, Weighted average life during period | '7 years 1 month 6 days | '6 years 1 month 6 days | ' |
Fair value inputs, Annual prepayment speed during period | 9.30% | 14.40% | ' |
Fair value inputs, Annual per loan cost of servicing during period | $68 | $68 | ' |
Fair_Value_Quantitative_Summar2
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 Assumptions (Detail) (USD $) | 3 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2012 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' | ' |
Carrying value, Amortized cost | $265,246 | $179,136 | $264,120 | ' |
Unpaid principal balance of underlying mortgage loans, Amortized cost | 23,897,201 | ' | 23,399,612 | ' |
Weighted-average annual servicing fee rate (in basis points), Amortized cost | 26.00% | 25.00% | 26.00% | ' |
Weighted-average note interest rate, Amortized cost | 3.70% | ' | 3.68% | ' |
Balance at end of period | 36,181 | 1,305 | 26,452 | 1,346 |
Unpaid principal balance of underlying mortgage loans, Fair Value | 3,426,693 | ' | 2,393,321 | ' |
Weighted-average annual servicing fee rate (in basis points), Fair value input | 25.00% | 33.00% | 26.00% | ' |
Weighted-average note interest rate, Fair value | 4.79% | ' | 4.78% | ' |
Pricing spread [Member] | Effect on value of 5% adverse change [Member] | ' | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' | ' |
Amortized Cost, Annual per-loan cost of servicing | -5,406 | ' | -5,490 | ' |
Effect on value of percentage adverse change, Fair value input | -656 | ' | -488 | ' |
Pricing spread [Member] | Effect on value of 10% adverse change [Member] | ' | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' | ' |
Amortized Cost, Annual per-loan cost of servicing | -10,628 | ' | -10,791 | ' |
Effect on value of percentage adverse change, Fair value input | -1,290 | ' | -959 | ' |
Pricing spread [Member] | Effect on value of 20% adverse change [Member] | ' | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' | ' |
Amortized Cost, Annual per-loan cost of servicing | -20,557 | ' | -20,861 | ' |
Effect on value of percentage adverse change, Fair value input | -2,495 | ' | -1,855 | ' |
Prepayment speed [Member] | Effect on value of 5% adverse change [Member] | ' | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' | ' |
Amortized Cost, Annual per-loan cost of servicing | -5,443 | ' | -5,467 | ' |
Effect on value of percentage adverse change, Fair value input | -824 | ' | -568 | ' |
Prepayment speed [Member] | Effect on value of 10% adverse change [Member] | ' | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' | ' |
Amortized Cost, Annual per-loan cost of servicing | -10,719 | ' | -10,765 | ' |
Effect on value of percentage adverse change, Fair value input | -1,619 | ' | -1,117 | ' |
Prepayment speed [Member] | Effect on value of 20% adverse change [Member] | ' | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' | ' |
Amortized Cost, Annual per-loan cost of servicing | -20,800 | ' | -20,886 | ' |
Effect on value of percentage adverse change, Fair value input | -3,128 | ' | -2,160 | ' |
Cost of servicing [Member] | Effect on value of 5% adverse change [Member] | ' | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' | ' |
Amortized Cost, Annual per-loan cost of servicing | -1,735 | ' | -1,695 | ' |
Effect on value of percentage adverse change, Fair value input | -220 | ' | -158 | ' |
Cost of servicing [Member] | Effect on value of 10% adverse change [Member] | ' | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' | ' |
Amortized Cost, Annual per-loan cost of servicing | -3,471 | ' | -3,390 | ' |
Effect on value of percentage adverse change, Fair value input | -439 | ' | -316 | ' |
Cost of servicing [Member] | Effect on value of 20% adverse change [Member] | ' | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' | ' |
Amortized Cost, Annual per-loan cost of servicing | -6,941 | ' | -6,780 | ' |
Effect on value of percentage adverse change, Fair value input | -878 | ' | -633 | ' |
Minimum [Member] | ' | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' | ' |
Amortized cost, Pricing spread | 6.30% | ' | 6.30% | ' |
Amortized cost, Weighted average life (in years) | '1 year 1 month 6 days | ' | '1 year 3 months 18 days | ' |
Amortized cost, Prepayment speed | 7.70% | ' | 7.70% | ' |
Amortized cost, Annual per- loan cost of servicing | 68 | ' | 68 | ' |
Fair value inputs, Pricing spread | 7.30% | ' | 7.30% | ' |
Fair value inputs, Weighted average life (in years) | '2 years 7 months 6 days | ' | '2 years 9 months 18 days | ' |
Fair value inputs, Prepayment speed | 8.00% | ' | 8.00% | ' |
Fair value inputs, Annual per-loan cost of servicing | 68 | ' | 68 | ' |
Maximum [Member] | ' | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' | ' |
Amortized cost, Pricing spread | 17.50% | ' | 17.50% | ' |
Amortized cost, Weighted average life (in years) | '7 years 3 months 18 days | ' | '7 years 3 months 18 days | ' |
Amortized cost, Prepayment speed | 56.40% | ' | 51.90% | ' |
Amortized cost, Annual per- loan cost of servicing | 140 | ' | 140 | ' |
Fair value inputs, Pricing spread | 15.30% | ' | 15.30% | ' |
Fair value inputs, Weighted average life (in years) | '7 years 3 months 18 days | ' | '7 years 3 months 18 days | ' |
Fair value inputs, Prepayment speed | 23.90% | ' | 20.00% | ' |
Fair value inputs, Annual per-loan cost of servicing | 140 | ' | 140 | ' |
Weighted average [Member] | ' | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' | ' |
Amortized cost, Pricing spread | 6.90% | ' | 6.70% | ' |
Amortized cost, Weighted average life (in years) | '6 years 6 months | ' | '6 years 8 months 12 days | ' |
Amortized cost, Prepayment speed | 8.30% | ' | 8.20% | ' |
Amortized cost, Annual per- loan cost of servicing | 68 | ' | 68 | ' |
Fair value inputs, Pricing spread | 8.80% | ' | 8.60% | ' |
Fair value inputs, Weighted average life (in years) | '7 years 1 month 6 days | ' | '7 years 2 months 12 days | ' |
Fair value inputs, Prepayment speed | 9.40% | ' | 8.90% | ' |
Fair value inputs, Annual per-loan cost of servicing | $68 | ' | $68 | ' |
Mortgage_Loans_Acquired_for_Sa2
Mortgage Loans Acquired for Sale at Fair Value - Summary of Distribution of Company's Mortgage Loans Acquired for Sale at Fair Value (Detail) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' |
Mortgage loans acquired for sale at fair value | $344,680 | $458,137 |
Mortgage loan acquired at unpaid principal balance | 332,429 | 447,386 |
Agency-eligible [Member] | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' |
Mortgage loans acquired for sale at fair value | 282,250 | 311,162 |
Mortgage loan acquired at unpaid principal balance | 272,765 | 304,749 |
Jumbo [Member] | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' |
Mortgage loans acquired for sale at fair value | 13,521 | 34,615 |
Mortgage loan acquired at unpaid principal balance | 13,092 | 35,050 |
Government-insured or guaranteed [Member] | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' |
Mortgage loans acquired for sale at fair value | 48,909 | 112,360 |
Mortgage loan acquired at unpaid principal balance | 46,572 | 107,587 |
Mortgage loans acquired for sale [Member] | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' |
Loans pledged to secure assets sold under agreements to repurchase | $339,153 | $454,210 |
Mortgage_Loans_Acquired_for_Sa3
Mortgage Loans Acquired for Sale at Fair Value - Additional Information (Detail) | 3 Months Ended |
Mar. 31, 2014 | |
Fair Value Disclosures [Abstract] | ' |
Sourcing fee on the unpaid principal balance | 0.03% |
Derivative_Financial_Instrumen2
Derivative Financial Instruments - Derivative Assets and Liabilities and Related Margin Deposits Recorded within Derivative Assets and Derivative Liabilities (Detail) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Derivatives, Fair Value [Line Items] | ' | ' |
Total derivative assets instruments before netting | $11,666 | $20,962 |
Derivative assets, Netting | -3,738 | -12,986 |
Derivative assets, Fair value, Total | 7,928 | 7,976 |
Total derivative liabilities instruments fair value before netting | 5,337 | 9,976 |
Derivative liabilities, Netting | -4,376 | -8,015 |
Derivative liabilities, Fair value, Total | 961 | 1,961 |
Margin deposits with (collateral received from) derivatives counterparties | 638 | -4,971 |
Interest rate lock commitments [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Notional amount | 704,824 | 557,343 |
Total derivative assets instruments before netting | 3,509 | 2,510 |
Derivative assets, Netting | ' | ' |
Derivative assets, Fair value, Total | 3,509 | 2,510 |
Total derivative liabilities instruments fair value before netting | 238 | 1,261 |
Forward purchase contracts [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Notional amount | 1,777,353 | 2,781,066 |
Total derivative assets instruments before netting | 777 | 1,229 |
Derivative assets, Netting | ' | ' |
Derivative assets, Fair value, Total | 777 | 1,229 |
Total derivative liabilities instruments fair value before netting | 3,547 | 7,420 |
Forward sales contracts [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Notional amount | 2,497,960 | 3,588,027 |
Total derivative assets instruments before netting | 5,434 | 16,385 |
Derivative assets, Netting | ' | ' |
Derivative assets, Fair value, Total | 5,434 | 16,385 |
Total derivative liabilities instruments fair value before netting | 1,219 | 1,295 |
Eurodollar futures [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Notional amount | 6,084,000 | 8,779,000 |
Total derivative assets instruments before netting | ' | ' |
Total derivative liabilities instruments fair value before netting | ' | ' |
Treasury futures [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Notional amount | 75,000 | 105,000 |
Total derivative assets instruments before netting | 328 | ' |
Derivative assets, Netting | ' | ' |
Derivative assets, Fair value, Total | 328 | ' |
Total derivative liabilities instruments fair value before netting | ' | ' |
Call options on Eurodollar futures [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Notional amount | 380,000 | ' |
Total derivative assets instruments before netting | 66 | ' |
Derivative assets, Netting | ' | ' |
Derivative assets, Fair value, Total | 66 | ' |
Total derivative liabilities instruments fair value before netting | ' | ' |
Put options on Eurodollar futures [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Notional amount | 90,000 | 52,500 |
Total derivative assets instruments before netting | 432 | 566 |
Derivative assets, Netting | ' | ' |
Derivative assets, Fair value, Total | 432 | 566 |
Total derivative liabilities instruments fair value before netting | ' | ' |
MBS put options [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Notional amount | 260,000 | 55,000 |
Total derivative assets instruments before netting | 1,027 | 272 |
Derivative assets, Netting | ' | ' |
Derivative assets, Fair value, Total | 1,027 | 272 |
Total derivative liabilities instruments fair value before netting | ' | ' |
MBS call options [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Notional amount | 35,000 | 110,000 |
Total derivative assets instruments before netting | 93 | ' |
Derivative assets, Netting | ' | ' |
Derivative assets, Fair value, Total | 93 | ' |
Total derivative liabilities instruments fair value before netting | $333 | ' |
Derivative_Financial_Instrumen3
Derivative Financial Instruments - Summary of Activity in Notional Amount of Derivative Contracts (Detail) (USD $) | 3 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2014 |
Treasury Future sale contracts [Member] | ' |
Derivatives, Fair Value [Line Items] | ' |
Balance, beginning of period | ' |
Additions | 28,800 |
Disposition/expirations | -28,800 |
Balance, end of period | ' |
Treasury Future purchase contracts [Member] | ' |
Derivatives, Fair Value [Line Items] | ' |
Balance, beginning of period | ' |
Additions | 21,600 |
Disposition/expirations | -21,600 |
Balance, end of period | ' |
Put options on Eurodollar futures [Member] | ' |
Derivatives, Fair Value [Line Items] | ' |
Balance, beginning of period | 52,500 |
Additions | 325,000 |
Disposition/expirations | ' |
Balance, end of period | 90,000 |
MBS put option purchase contracts [Member] | Hedging derivatives [Member] | ' |
Derivatives, Fair Value [Line Items] | ' |
Balance, beginning of period | 55,000 |
Additions | 405,000 |
Disposition/expirations | -225,000 |
Balance, end of period | 235,000 |
Forward purchase contracts [Member] | ' |
Derivatives, Fair Value [Line Items] | ' |
Balance, beginning of period | 2,781,066 |
Additions | 6,397,817 |
Disposition/expirations | -7,401,530 |
Balance, end of period | 1,777,353 |
Forward sales contracts [Member] | ' |
Derivatives, Fair Value [Line Items] | ' |
Balance, beginning of period | 3,588,027 |
Additions | 8,668,939 |
Disposition/expirations | -9,759,006 |
Balance, end of period | 2,497,960 |
MBS put option sales contracts [Member] | Hedging derivatives [Member] | ' |
Derivatives, Fair Value [Line Items] | ' |
Balance, beginning of period | 15,000 |
Additions | ' |
Disposition/expirations | -15,000 |
Balance, end of period | ' |
MBS call option purchase contracts [Member] | ' |
Derivatives, Fair Value [Line Items] | ' |
Balance, beginning of period | 110,000 |
Additions | 600,000 |
Disposition/expirations | -135,000 |
Balance, end of period | 35,000 |
Call options on Eurodollar futures [Member] | ' |
Derivatives, Fair Value [Line Items] | ' |
Balance, beginning of period | ' |
Additions | 150,000 |
Disposition/expirations | -60,000 |
Balance, end of period | 380,000 |
Mortgage loans at fair value held by VIE [Member] | Eurodollar Future sale contracts [Member] | ' |
Derivatives, Fair Value [Line Items] | ' |
Balance, beginning of period | 8,779,000 |
Additions | 126,000 |
Disposition/expirations | -2,821,000 |
Balance, end of period | 6,084,000 |
Mortgage loans at fair value held by VIE [Member] | Eurodollar Future purchase contracts [Member] | ' |
Derivatives, Fair Value [Line Items] | ' |
Balance, beginning of period | ' |
Additions | 2,597,000 |
Disposition/expirations | -2,597,000 |
Balance, end of period | ' |
Mortgage loans at fair value held by VIE [Member] | Treasury Future sale contracts [Member] | ' |
Derivatives, Fair Value [Line Items] | ' |
Balance, beginning of period | 105,000 |
Additions | 75,000 |
Disposition/expirations | -105,000 |
Balance, end of period | 75,000 |
Mortgage loans at fair value held by VIE [Member] | Treasury Future purchase contracts [Member] | ' |
Derivatives, Fair Value [Line Items] | ' |
Balance, beginning of period | ' |
Additions | 75,000 |
Disposition/expirations | -75,000 |
Balance, end of period | ' |
Mortgage loans at fair value held by VIE [Member] | Put options on Eurodollar futures [Member] | ' |
Derivatives, Fair Value [Line Items] | ' |
Balance, beginning of period | 52,500 |
Additions | 112,000 |
Disposition/expirations | -109,500 |
Balance, end of period | 55,000 |
Mortgage loans at fair value held by VIE [Member] | MBS put option purchase contracts [Member] | ' |
Derivatives, Fair Value [Line Items] | ' |
Balance, beginning of period | 15,000 |
Additions | 25,000 |
Disposition/expirations | -15,000 |
Balance, end of period | $25,000 |
Derivative_Financial_Instrumen4
Derivative Financial Instruments - Additional Information (Detail) (USD $) | 3 Months Ended | |
Mar. 31, 2014 | Mar. 31, 2013 | |
Mortgage loans acquired for sale at fair value [Member] | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' |
Net gains on derivative financial instruments used to hedge IRLCs and inventory of mortgage loans | $10,700,000 | $12,900,000 |
Mortgage Service Rights [Member] | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' |
Net losses on derivative financial instruments used as economic hedges | 99,000 | 2,000,000 |
LIBOR [Member] | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' |
Net losses on derivative financial instruments used to hedge | $5,600,000 | ' |
Mortgage_Loans_at_Fair_Value_S
Mortgage Loans at Fair Value - Summary of Distribution of Company's Mortgage Loans at Fair Value (Detail) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Financing Receivable, Recorded Investment [Line Items] | ' | ' |
Fair value | $2,079,020 | $2,076,665 |
Unpaid principal balance | 3,335,733 | 3,314,482 |
Assets sold under agreements to repurchase | 1,913,828 | 1,963,266 |
Mortgage loans held in a consolidated subsidiary whose stock is pledged to secure financings of such loans | 679 | 989 |
Nonperforming loans [Member] | ' | ' |
Financing Receivable, Recorded Investment [Line Items] | ' | ' |
Fair value | 1,584,703 | 1,469,686 |
Unpaid principal balance | 2,549,293 | 2,415,446 |
Performing loans [Member] | ' | ' |
Financing Receivable, Recorded Investment [Line Items] | ' | ' |
Fair value | 494,317 | 606,979 |
Unpaid principal balance | 786,440 | 899,036 |
Performing loans [Member] | Fixed interest rate [Member] | ' | ' |
Financing Receivable, Recorded Investment [Line Items] | ' | ' |
Fair value | 277,352 | 310,607 |
Unpaid principal balance | 440,005 | 475,568 |
Performing loans [Member] | Adjustable-rate mortgage (ARM)/hybrid [Member] | ' | ' |
Financing Receivable, Recorded Investment [Line Items] | ' | ' |
Fair value | 95,550 | 165,327 |
Unpaid principal balance | 134,357 | 207,553 |
Performing loans [Member] | Interest rate step-up [Member] | ' | ' |
Financing Receivable, Recorded Investment [Line Items] | ' | ' |
Fair value | 121,274 | 130,906 |
Unpaid principal balance | 211,866 | 215,702 |
Performing loans [Member] | Balloon [Member] | ' | ' |
Financing Receivable, Recorded Investment [Line Items] | ' | ' |
Fair value | 141 | 139 |
Unpaid principal balance | $212 | $213 |
Mortgage_Loans_at_Fair_Value_S1
Mortgage Loans at Fair Value - Summary of Certain Concentrations of Credit Risk in Portfolio of Mortgage Loans at Fair Value (Detail) | Mar. 31, 2014 | Dec. 31, 2013 |
Concentration Risk [Line Items] | ' | ' |
Portion of mortgage loans originated between 2005 and 2007 | 72.00% | 72.00% |
Percentage of fair value of mortgage loans with unpaid-principal-balance-to-current-property-value in excess of 100% | 62.00% | 61.00% |
Additional states contributing 5% or more of mortgage loans | 'New York Florida New Jersey Maryland | 'New York Florida New Jersey |
California real estate [Member] | ' | ' |
Concentration Risk [Line Items] | ' | ' |
Percentage of mortgage loans secured by California real estate | 21.00% | 24.00% |
Mortgage_Loans_at_Fair_Value_S2
Mortgage Loans at Fair Value - Summary of Certain Concentrations of Credit Risk in Portfolio of Mortgage Loans at Fair Value (Parenthetical) (Detail) | Mar. 31, 2014 | Dec. 31, 2013 |
Risks And Uncertainties [Abstract] | ' | ' |
Percentage of fair value of mortgage loans | 100.00% | 100.00% |
Percentage of contribution by states in mortgage loans | 5.00% | 5.00% |
Mortgage_Loans_at_Fair_Value_H2
Mortgage Loans at Fair Value Held by Variable Interest Entity - Summary of Distribution of Company's Mortgage Loans at Fair Value Held by Variable Interest Entity (Detail) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Financing Receivable, Recorded Investment [Line Items] | ' | ' |
Fair value | $2,079,020 | $2,076,665 |
Unpaid principal balance | 3,335,733 | 3,314,482 |
Variable Interest Entity [Member] | Jumbo fixed interest rate [Member] | ' | ' |
Financing Receivable, Recorded Investment [Line Items] | ' | ' |
Fair value | 529,680 | 523,652 |
Unpaid principal balance | $537,804 | $543,257 |
Mortgage_Loans_at_Fair_Value_H3
Mortgage Loans at Fair Value Held by Variable Interest Entity - Summary of Certain Concentrations of Credit Risk in Portfolio of Mortgage Loans at Fair Value Held by Variable Interest Entity (Detail) (Variable Interest Entity [Member]) | Mar. 31, 2014 | Dec. 31, 2013 |
California [Member] | ' | ' |
Concentration Risk [Line Items] | ' | ' |
Additional states contributing 5% or more of mortgage loans | 57.00% | 57.00% |
Washington [Member] | ' | ' |
Concentration Risk [Line Items] | ' | ' |
Additional states contributing 5% or more of mortgage loans | 8.00% | 8.00% |
Texas [Member] | ' | ' |
Concentration Risk [Line Items] | ' | ' |
Additional states contributing 5% or more of mortgage loans | 6.00% | 6.00% |
Virginia [Member] | ' | ' |
Concentration Risk [Line Items] | ' | ' |
Additional states contributing 5% or more of mortgage loans | 6.00% | 6.00% |
Other [Member] | ' | ' |
Concentration Risk [Line Items] | ' | ' |
Additional states contributing 5% or more of mortgage loans | 23.00% | 23.00% |
Mortgage_Loans_at_Fair_Value_H4
Mortgage Loans at Fair Value Held by Variable Interest Entity - Summary of Certain Concentrations of Credit Risk in Portfolio of Mortgage Loans at Fair Value Held by Variable Interest Entity (Parenthetical) (Detail) | Mar. 31, 2014 | Dec. 31, 2013 |
Concentration Risk [Line Items] | ' | ' |
Percentage of contribution by other states in mortgage loans | 5.00% | 5.00% |
Variable Interest Entity [Member] | ' | ' |
Concentration Risk [Line Items] | ' | ' |
Percentage of contribution by other states in mortgage loans | 5.00% | 5.00% |
Mortgage_Loans_Under_Forward_P2
Mortgage Loans Under Forward Purchase Agreements at Fair Value - Summary of Distribution of Company's Mortgage Loans under Forward Purchase Agreements at Fair Value (Detail) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Financing Receivable, Recorded Investment [Line Items] | ' | ' |
Fair value | $202,661 | $218,128 |
Unpaid principal balance | 309,256 | 332,484 |
Nonperforming loans [Member] | ' | ' |
Financing Receivable, Recorded Investment [Line Items] | ' | ' |
Fair value | 155,344 | 177,841 |
Unpaid principal balance | 235,932 | 268,600 |
Performing loans [Member] | ' | ' |
Financing Receivable, Recorded Investment [Line Items] | ' | ' |
Fair value | 47,317 | 40,287 |
Unpaid principal balance | 73,324 | 63,884 |
Performing loans [Member] | Fixed [Member] | ' | ' |
Financing Receivable, Recorded Investment [Line Items] | ' | ' |
Fair value | 21,860 | 19,292 |
Unpaid principal balance | 32,728 | 29,496 |
Performing loans [Member] | ARM/hybrid [Member] | ' | ' |
Financing Receivable, Recorded Investment [Line Items] | ' | ' |
Fair value | 21,094 | 19,510 |
Unpaid principal balance | 33,016 | 31,933 |
Performing loans [Member] | Interest rate step-up [Member] | ' | ' |
Financing Receivable, Recorded Investment [Line Items] | ' | ' |
Fair value | 4,363 | 1,485 |
Unpaid principal balance | $7,580 | $2,455 |
Mortgage_Loans_Under_Forward_P3
Mortgage Loans Under Forward Purchase Agreements at Fair Value - Summary of Certain Concentrations of Credit Risk in Portfolio of Mortgage Loans at Fair Value (Detail) | Mar. 31, 2014 | Dec. 31, 2013 |
Risks And Uncertainties [Abstract] | ' | ' |
Portion of mortgage loans originated between 2005 and 2007 | 73.00% | 72.00% |
Percentage of mortgage loans secured by California real estate | 25.00% | 25.00% |
Additional states contributing 5% or more of mortgage loans | 'New Jersey New York Washington Maryland Florida | 'New Jersey Washington New York Maryland |
Mortgage_Loans_Under_Forward_P4
Mortgage Loans Under Forward Purchase Agreements at Fair Value - Summary of Certain Concentrations of Credit Risk in Portfolio of Mortgage Loans at Fair Value (Parenthetical) (Detail) | Mar. 31, 2014 | Dec. 31, 2013 |
Risks And Uncertainties [Abstract] | ' | ' |
Percentage of contribution by other states in mortgage loans | 5.00% | 5.00% |
Real_Estate_Acquired_in_Settle4
Real Estate Acquired in Settlement of Loans - Summary of Financial Information Relating to REO (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Real Estate [Abstract] | ' | ' |
Balance at beginning of period | $138,942 | $88,078 |
Purchases | 3,049 | ' |
Transfers from mortgage loans at fair value and advances | 68,902 | 31,685 |
Transfers from REO under forward purchase agreements | 92 | ' |
Results of REO: | ' | ' |
Valuation adjustments, net | -8,408 | -6,089 |
Gain on sale, net | 2,182 | 2,836 |
Total gain | -6,226 | -3,253 |
Proceeds from sales | -31,772 | -32,024 |
Balance at end of period | 172,987 | 84,486 |
At period end: | ' | ' |
REO pledged to secure assets sold under agreements to repurchase | 29,966 | 8,233 |
REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties | $51,649 | $7,122 |
Real_Estate_Acquired_in_Settle5
Real Estate Acquired in Settlement of Loans Under Forward Purchase Agreements - Summary of Activity in REO Under Forward Purchase Agreements (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Real Estate [Abstract] | ' | ' |
Balance at beginning of period | $9,138 | ' |
Purchases | 38 | ' |
Purchases financed through forward purchase agreements | ' | ' |
Transfers from mortgage loans under forward purchase agreements at fair value and advances | 6,828 | ' |
Transfers to REO | -92 | ' |
Valuation adjustments, net | -484 | ' |
Gain on sale, net | 84 | ' |
Results of REO under forward purchase agreements | -400 | ' |
Proceeds from sales | -1,622 | ' |
Balance at end of period | $13,890 | ' |
Mortgage_Servicing_Rights_Summ
Mortgage Servicing Rights - Summary of MSRs Carried at Fair Value (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Servicing Asset At Fair Value Changes In Fair Value [Abstract] | ' | ' |
Balance at beginning of period | $26,452 | $1,346 |
Purchases | ' | ' |
MSRs resulting from loan sales | 11,757 | 26 |
Total additions | 11,757 | 26 |
Due to changes in valuation inputs or assumptions used in valuation model | -1,232 | -9 |
Other changes in fair value | -796 | -58 |
Change in fair value, Total | -2,028 | -67 |
Sales | ' | ' |
Balance at end of period | $36,181 | $1,305 |
Mortgage_Servicing_Rights_Summ1
Mortgage Servicing Rights - Summary of MSRs Carried at Lower of Amortized Cost or Fair Value (Detail) (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 |
Servicing Asset at Amortized Cost, Balance [Roll Forward] | ' | ' | ' |
Balance at beginning of period | $266,697 | $132,977 | ' |
MSRs resulting from loan sales | 9,118 | 56,190 | ' |
Purchases | ' | ' | ' |
Mortgage Servicing Rights, gross | 9,118 | 56,190 | ' |
Sales | ' | ' | ' |
Amortization | -7,365 | -4,970 | ' |
Application of valuation allowance to write down MSRs with other-than temporary impairment | ' | ' | ' |
Balance at end of period | 268,450 | 184,197 | ' |
Balance at beginning of period | -2,577 | -7,547 | ' |
(Additions) reversals | -627 | 2,486 | ' |
Application of valuation allowance to write down MSRs with other-than temporary impairment | ' | ' | ' |
Balance at end of period | -3,204 | -5,061 | ' |
MSRs, net | 265,246 | 179,136 | 264,120 |
Estimated fair value at end of period | $289,934 | $186,209 | ' |
Mortgage_Servicing_Rights_Summ2
Mortgage Servicing Rights - Summary of Company's Estimate of Amortization of Existing MSRs Carried at Amortized Cost (Detail) (USD $) | Mar. 31, 2014 |
In Thousands, unless otherwise specified | |
Servicing Asset Future Amortization Expense Abstract [Abstract] | ' |
2015 | $26,661 |
2016 | 26,082 |
2017 | 24,924 |
2018 | 23,513 |
2019 | 21,697 |
Thereafter | 145,573 |
Total | $268,450 |
Mortgage_Servicing_Rights_Summ3
Mortgage Servicing Rights - Summary of Net Loan Servicing Fees (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Transfers And Servicing [Abstract] | ' | ' |
Contractual servicing fees | $16,816 | $8,937 |
Assets_Sold_Under_Agreements_t2
Assets Sold Under Agreements to Repurchase at Fair Value - Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase at Fair Value (Detail) (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 |
Disclosure of Repurchase Agreements [Abstract] | ' | ' | ' |
Weighted-average interest rate | 2.21% | 2.77% | ' |
Average balance | $1,795,702 | $1,221,766 | ' |
Total interest expense | 12,539 | 10,712 | ' |
Maximum daily amount outstanding | 2,079,090 | 1,619,022 | ' |
Balance | 1,887,778 | 1,615,050 | ' |
Weighted-average interest rate | 2.31% | 3.51% | ' |
Available borrowing capacity, Committed | 1,195,414 | 884,950 | ' |
Available borrowing capacity, Uncommitted | 865,223 | 50,000 | ' |
Available borrowing capacity | 2,060,637 | 934,950 | ' |
Margin deposits placed with counterparties | 3,780 | 2,973 | ' |
Mortgage-backed securities | 198,110 | ' | 197,401 |
Mortgage loans acquired for sale at fair value | 339,153 | 1,122,940 | 454,210 |
Mortgage loans at fair value | 1,914,507 | 1,203,788 | ' |
Mortgage loans at fair value held by variable interest entity | 356,170 | ' | ' |
Real estate acquired in settlement of loans | 81,615 | 15,355 | 89,404 |
Fair value of assets securing agreements to repurchase | $2,889,555 | $2,342,083 | ' |
Assets_Sold_Under_Agreements_t3
Assets Sold Under Agreements to Repurchase at Fair Value - Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase at Fair Value (Parenthetical) (Detail) (USD $) | 3 Months Ended | |
In Millions, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Disclosure of Repurchase Agreements [Abstract] | ' | ' |
Amortization of commitment fees and insurance costs | $2.50 | $2.30 |
Assets_Sold_Under_Agreements_t4
Assets Sold Under Agreements to Repurchase at Fair Value - Summary of Maturities of Outstanding Assets Sold Under Agreements to Repurchase by Maturity Date (Detail) (USD $) | Mar. 31, 2014 | Mar. 31, 2013 | Mar. 31, 2014 | Mar. 31, 2014 | Mar. 31, 2014 | Mar. 31, 2014 | Mar. 31, 2014 |
In Thousands, unless otherwise specified | Securities Sold Under Agreements to Repurchase at Fair Value [Member] | Securities Sold Under Agreements to Repurchase at Fair Value [Member] | Securities Sold Under Agreements to Repurchase at Fair Value [Member] | Securities Sold Under Agreements to Repurchase at Fair Value [Member] | Securities Sold Under Agreements to Repurchase at Fair Value [Member] | ||
Within 30 days [Member] | Over 30 to 90 days [Member] | Over 90 days to 180 days [Member] | Over 180 days to 1 year [Member] | ||||
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' | ' | ' | ' | ' | ' |
Maturity of repurchase agreements | $1,887,778 | $1,615,050 | $1,887,778 | $372,590 | $130,825 | $704,238 | $680,125 |
Weighted average maturity | ' | ' | '4 years 6 months | ' | ' | ' | ' |
Assets_Sold_Under_Agreements_t5
Assets Sold Under Agreements to Repurchase at Fair Value - Summary of Assets Sold under Agreements to Repurchase by Counterparty (Detail) (USD $) | 3 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2014 |
Daiwa Capital Markets [Member] | Securities Sold Under Agreements to Repurchase at Fair Value [Member] | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' |
Amount at risk | $6,217 |
Facility maturity | 3-May-14 |
Credit Suisse First Boston Mortgage Capital LLC [Member] | Securities Sold Under Agreements to Repurchase at Fair Value [Member] | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' |
Amount at risk | 2,374 |
Facility maturity | 15-Apr-14 |
Bank of America, N.A. [Member] | Securities Sold Under Agreements to Repurchase at Fair Value [Member] | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' |
Amount at risk | 612 |
Facility maturity | 15-Apr-14 |
Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member] | Credit Suisse First Boston Mortgage Capital LLC [Member] | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' |
Amount at risk | 339,267 |
Mortgage loans acquired for sale weighted-average repurchase agreement maturity | 22-Jun-14 |
Facility maturity | 31-Oct-14 |
Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member] | Bank of America, N.A. [Member] | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' |
Amount at risk | 32,059 |
Mortgage loans acquired for sale weighted-average repurchase agreement maturity | 12-Jun-14 |
Facility maturity | 30-Jan-15 |
Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member] | Morgan Stanley Bank, N.A. [Member] | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' |
Amount at risk | 6,317 |
Mortgage loans acquired for sale weighted-average repurchase agreement maturity | 20-May-14 |
Facility maturity | 18-Dec-14 |
Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member] | The Royal Bank of Scotland Group [Member] | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' |
Amount at risk | 57,295 |
Facility maturity | 17-Feb-15 |
Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member] | Citibank, N.A. [Member] | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' |
Amount at risk | $559,042 |
Mortgage loans acquired for sale weighted-average repurchase agreement maturity | 31-Mar-14 |
Facility maturity | 24-Jul-14 |
Assets_Sold_Under_Agreements_t6
Assets Sold Under Agreements to Repurchase at Fair Value - Additional Information (Detail) (USD $) | Mar. 31, 2014 |
In Millions, unless otherwise specified | |
PMT [Member] | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' |
Net worth, Required | $860 |
Operating Partnership [Member] | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' |
Net worth, Required | 700 |
Net Worth | 1,600 |
PMH [Member] | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' |
Net worth, Required | 250 |
Net Worth | 694.5 |
PMC [Member] | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' |
Net worth, Required | 150 |
Net Worth | $342.30 |
Assetbacked_Secured_Financing_2
Asset-backed Secured Financing of the Variable Interest Entity at Fair Value - Summary of Financial Information Relating to Asset-Backed Secured Financing of Variable Interest Entity (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
During the period: | ' | ' |
Interest expense | $1,617 | ' |
Asset-backed secured financing of the variable interest entity at fair value [Member] | ' | ' |
Period end: | ' | ' |
Balance | 166,514 | ' |
Weighted-average interest rate | 3.58% | ' |
During the period: | ' | ' |
Weighted-average balance | 166,894 | 0 |
Interest expense | $1,617 | ' |
Exchangeable_Senior_Notes_Addi
Exchangeable Senior Notes - Additional Information (Detail) (Exchangeable Senior Notes due 2020 [Member], USD $) | 3 Months Ended |
Mar. 31, 2014 | |
Exchangeable Senior Notes due 2020 [Member] | ' |
Debt Instrument [Line Items] | ' |
Issuance of debt through private offering | $250,000,000 |
Percentage of interest on debt | 5.38% |
Number of shares exchanged per notes | 33.5149 |
Principal amount of the notes | $1,000 |
Maturity date of debt instrument | 1-May-20 |
Exchangeable_Senior_Notes_Summ
Exchangeable Senior Notes - Summary of Financial Information Related to Notes (Detail) (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 |
Period end: | ' | ' | ' |
Balance | $250,000 | ' | $250,000 |
Unamortized issuance costs | 6,616 | ' | ' |
Weighted-average interest rate | 5.38% | ' | ' |
During the period: | ' | ' | ' |
Weighted-average balance | 250,000 | ' | ' |
Interest expense | $3,584 | ' | ' |
Exchangeable_Senior_Notes_Summ1
Exchangeable Senior Notes - Summary of Financial Information Related to Notes (Parenthetical) (Detail) (USD $) | 3 Months Ended |
Mar. 31, 2014 | |
Debt Disclosure [Abstract] | ' |
Amortization of debt issuance costs | $225,000 |
Borrowings_under_Forward_Purch2
Borrowings under Forward Purchase Agreements - Summary of Financial Information Relating to Borrowings under Forward Purchase Agreements (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
During the period: | ' | ' |
Interest expense | $1,580 | ' |
Borrowings under forward purchase agreement [Member] | ' | ' |
Period end: | ' | ' |
Balance | 216,614 | ' |
Interest rate | 3.01% | 0.00% |
Fair value of underlying loans and REO | 215,693 | ' |
During the period: | ' | ' |
Weighted-average interest rate | 2.85% | 0.00% |
Weighted-average balance | 221,769 | ' |
Interest expense | 1,580 | ' |
Maximum daily amount outstanding | $226,848 | ' |
Recovered_Sheet1
Liability for Losses under Representations and Warranties - Summary of Company's Liability for Losses under Representations and Warranties (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Mortgage Banking [Abstract] | ' | ' |
Balance, beginning of period | $10,110 | $4,441 |
Provision for losses | 744 | 1,790 |
Incurred losses | ' | ' |
Balance, end of period | $10,854 | $6,231 |
Recovered_Sheet2
Liability for Losses under Representations and Warranties - Summary of Company's Repurchase Activity (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Mortgage Banking [Abstract] | ' | ' |
Unpaid principal balance of mortgage loans repurchased | $4,939 | $648 |
Unpaid principal balance of repurchased mortgage loans repurchased by correspondent lenders | 1,333 | 710 |
Unpaid principal balance of mortgage loans subject to pending claims for repurchase | 12,097 | ' |
Unpaid principal balance of mortgage loans subject to representations and warranties | $27,188,848 | $16,639,996 |
Commitments_and_Contingencies_1
Commitments and Contingencies - Company's Outstanding Contractual Loan Commitments (Detail) (USD $) | Mar. 31, 2014 |
In Thousands, unless otherwise specified | |
Commitments to purchase mortgage loans: | ' |
Correspondent lending | $704,824 |
Other mortgage loans | ' |
Shareholders_Equity_Additional
Shareholders' Equity - Additional Information (Detail) (USD $) | 3 Months Ended |
Mar. 31, 2014 | |
Statement Of Partners Capital [Abstract] | ' |
Amount of common stock available for future issuance under Sales Agreement | $117,600,000 |
Number of common shares sold under Sales Agreement | 3,387,022 |
Weighted average price of common shares sold under Sales Agreement | $23.92 |
Proceeds from public offering of common shares | 80,100,000 |
Sales commissions net | $874,000 |
Net_Gain_on_Mortgage_Loans_Acq2
Net Gain on Mortgage Loans Acquired for Sale - Summary of Net Gain on Mortgage Loans Acquired for Sale (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Cash gain (loss): | ' | ' |
Sales proceeds, net | ($2,894) | ($27,247) |
Hedging activities | -3,547 | 13,614 |
Cash gain, net of effects of cash hedging, on sale of mortgage loans acquired for sale | -6,441 | -13,633 |
Non cash gain: | ' | ' |
Receipt of MSRs in loan sale transactions | 20,875 | 56,216 |
Provision for losses relating to representations and warranties provided in loan sales | -744 | -1,790 |
Change in fair value relating to IRLCs, mortgage loans, and hedging derivatives held at period end: | ' | ' |
IRLCs | 2,022 | -8,426 |
Mortgage loans | 1,411 | -2,422 |
Hedging derivatives | -7,152 | -666 |
Total non cash portion of gain on mortgage loans acquired for sale | -3,719 | -11,514 |
Net gain on mortgage loans acquired for sale | $9,971 | $29,279 |
Net_Interest_Income_Summary_of
Net Interest Income - Summary of Net Interest Income (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Interest income: | ' | ' |
Short-term investments | $152 | $31 |
Mortgage-backed securities | 1,761 | ' |
Mortgage loans acquired for sale at fair value | 3,625 | 6,323 |
Mortgage loans at fair value | 23,286 | 10,497 |
Mortgage loans under forward purchase agreements at fair value | 2,154 | ' |
Mortgage loans at fair value held by variable interest entity | 5,495 | ' |
Excess servicing spread purchased from PFSI, at fair value | 2,862 | ' |
Other | 11 | 24 |
Interest income, total | 39,346 | 16,875 |
Interest expense: | ' | ' |
Assets sold under agreements to repurchase | 12,539 | 10,712 |
Borrowings under forward purchase agreements | 1,580 | ' |
Asset-backed secured financing and the variable interest entity | 1,617 | ' |
Exchangeable senior notes | 3,584 | ' |
Other | 455 | 524 |
Interest expense, total | 19,775 | 11,236 |
Net interest income | $19,571 | $5,639 |
Net_Gain_on_Investments_Summar
Net Gain on Investments - Summary of Net Gain on Investments (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Net gain (loss) on investments: | ' | ' |
Mortgage-backed securities | $709 | ' |
Mortgage loans | 39,918 | 63,980 |
Mortgage loans held by VIE and related secured financing: | ' | ' |
Mortgage loans held by variable interest entity | 7,639 | ' |
Asset-backed secured financing and the variable interest entity | -2,780 | ' |
Mortgage loans held by VIE secured financing, net | 4,859 | ' |
Excess servicing spread purchased from PFSI, at fair value | -2,901 | ' |
Net gain (loss) on investments | $42,585 | $63,980 |
Net_Loan_Servicing_Fees_Summar
Net Loan Servicing Fees - Summary of Net Loan Servicing Fees (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Transfers And Servicing [Abstract] | ' | ' |
Servicing fees | $17,532 | $10,417 |
MSR recapture fee receivable from PFSI | 8 | 133 |
Effect of MSRs: | ' | ' |
Carried at lower of amortized cost or fair value Amortization | -7,365 | -4,970 |
(Provision for) reversal of impairment | -627 | 2,486 |
Carried at fair value - change in fair value | -2,028 | -67 |
Losses on hedging derivatives | -99 | -1,988 |
Total Effect of MSRs | -10,119 | -4,539 |
Net loan servicing fees | $7,421 | $6,011 |
ShareBased_Compensation_Plans_
Share-Based Compensation Plans - Additional Information (Detail) (USD $) | 3 Months Ended | |
In Millions, except Share data, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract] | ' | ' |
Share-based share compensation plan, and compensation expense | $2.60 | $1.80 |
Grants units issued | ' | ' |
Units vested | 84,437 | 85,769 |
Income_Taxes_Additional_Inform
Income Taxes - Additional Information (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Income Tax Disclosure [Abstract] | ' | ' |
Income tax benefit expense | ($1,584) | $2,639 |
Effective income tax rate | -4.40% | 4.70% |
Segments_and_Related_Informati2
Segments and Related Information - Additional Information (Detail) | 3 Months Ended |
Mar. 31, 2014 | |
Segment | |
Segment Reporting [Abstract] | ' |
Number of segment | 2 |
Segments_and_Related_Informati3
Segments and Related Information - Financial Highlights by Operating Segment (Detail) (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 |
Net investment income: | ' | ' | ' |
Net gain on mortgage loans acquired for sale | $9,971 | $29,279 | ' |
Net gain on investments | 42,585 | 63,980 | ' |
Interest income | 39,346 | 16,875 | ' |
Interest expense | -19,775 | -11,236 | ' |
Net interest income | 19,571 | 5,639 | ' |
Net loan servicing fees | 7,421 | 6,011 | ' |
Other investment income (loss) | -2,953 | 2,907 | ' |
Net investment income | 76,595 | 107,816 | ' |
Expenses: | ' | ' | ' |
Loan fulfillment, Servicing and Management fees payable to PennyMac Financial Services, Inc. | 31,567 | 42,462 | ' |
Other | 8,739 | 9,419 | ' |
Total expenses | 40,306 | 51,881 | ' |
Income before provision for income taxes | 36,289 | 55,935 | ' |
Total assets at period end | 4,227,537 | 2,927,160 | 4,310,917 |
Intersegment elimination & other [Member] | ' | ' | ' |
Net investment income: | ' | ' | ' |
Net gain on mortgage loans acquired for sale | ' | ' | ' |
Net gain on investments | ' | ' | ' |
Interest income | -887 | -41 | ' |
Interest expense | 887 | 41 | ' |
Net interest income | ' | ' | ' |
Net loan servicing fees | ' | ' | ' |
Other investment income (loss) | ' | ' | ' |
Net investment income | ' | ' | ' |
Expenses: | ' | ' | ' |
Loan fulfillment, Servicing and Management fees payable to PennyMac Financial Services, Inc. | ' | 3,284 | ' |
Other | ' | ' | ' |
Total expenses | ' | 3,284 | ' |
Income before provision for income taxes | ' | -3,284 | ' |
Total assets at period end | ' | -44,860 | ' |
Correspondent lending [Member] | Operating segments [Member] | ' | ' | ' |
Net investment income: | ' | ' | ' |
Net gain on mortgage loans acquired for sale | 9,971 | 29,279 | ' |
Net gain on investments | ' | ' | ' |
Interest income | 3,635 | 6,324 | ' |
Interest expense | -3,655 | -5,688 | ' |
Net interest income | -20 | 636 | ' |
Net loan servicing fees | ' | ' | ' |
Other investment income (loss) | 2,356 | 5,473 | ' |
Net investment income | 12,307 | 35,388 | ' |
Expenses: | ' | ' | ' |
Loan fulfillment, Servicing and Management fees payable to PennyMac Financial Services, Inc. | 9,071 | 25,454 | ' |
Other | 88 | 1,054 | ' |
Total expenses | 9,159 | 26,508 | ' |
Income before provision for income taxes | 3,148 | 8,880 | ' |
Total assets at period end | 359,348 | 1,142,774 | ' |
Investment activities [Member] | Operating segments [Member] | ' | ' | ' |
Net investment income: | ' | ' | ' |
Net gain on mortgage loans acquired for sale | ' | ' | ' |
Net gain on investments | 42,585 | 63,980 | ' |
Interest income | 36,598 | 10,592 | ' |
Interest expense | -17,007 | -5,589 | ' |
Net interest income | 19,591 | 5,003 | ' |
Net loan servicing fees | 7,421 | 6,011 | ' |
Other investment income (loss) | -5,309 | -2,566 | ' |
Net investment income | 64,288 | 72,428 | ' |
Expenses: | ' | ' | ' |
Loan fulfillment, Servicing and Management fees payable to PennyMac Financial Services, Inc. | 22,496 | 13,724 | ' |
Other | 8,651 | 8,365 | ' |
Total expenses | 31,147 | 22,089 | ' |
Income before provision for income taxes | 33,141 | 50,339 | ' |
Total assets at period end | $3,868,189 | $1,829,246 | ' |
Supplemental_Cash_Flow_Informa2
Supplemental Cash Flow Information - Summary of Supplemental Cash Flow Information (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Additional Cash Flow Elements And Supplemental Cash Flow Information [Abstract] | ' | ' |
Cash paid for interest | $25,490 | $11,192 |
Income tax payment | 42 | 473 |
Non-cash investing activities: | ' | ' |
Transfer of mortgage loans and advances to real estate acquired in settlement of loans | 68,902 | 31,685 |
Purchase of mortgage loans financed through forward purchase agreements | 920 | ' |
Transfer of mortgage loans under forward purchase agreements to mortgage loans at fair value | 4,460 | ' |
Transfer of mortgage loans under forward purchase agreements and advances to REO under forward purchase agreements | 6,828 | ' |
Receipt of MSRs as proceeds from sales of loans | 20,875 | 56,216 |
Purchase of REO financed through forward purchase agreements | 38 | ' |
Receipt of ESS pursuant to recapture agreement with PFSI | 1,113 | ' |
Transfer of REO under forward purchase agreements to REO | 92 | ' |
Non-cash financing activities: | ' | ' |
Purchase of mortgage loans financed through forward purchase agreements | 920 | ' |
Purchase of REO financed through forward purchase agreements | 38 | ' |
Transfer of mortgage loans at fair value financed through agreements to repurchase to REO financed under agreements to repurchase | 2,046 | ' |
Dividends payable | $43,618 | ' |
Regulatory_Net_Worth_Additiona
Regulatory Net Worth - Additional Information (Detail) (USD $) | Mar. 31, 2014 |
In Millions, unless otherwise specified | |
Fannie Mae Capital Markets [Member] | ' |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | ' |
Minimum net worth amount | $53 |
Freddie Mac Capital Markets [Member] | ' |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | ' |
Minimum net worth amount | $20.60 |
Subsequent_Events_Additional_I
Subsequent Events - Additional Information (Detail) (Subsequent Event [Member], USD $) | Apr. 29, 2014 | 8-May-14 | Apr. 29, 2014 |
In Millions, unless otherwise specified | Ginnie Mae MSRs [Member] | Nonperforming loans [Member] | Nonperforming loans [Member] |
Ginnie Mae MSRs [Member] | |||
Subsequent Event [Line Items] | ' | ' | ' |
Aggregate unpaid principal balance of mortgage loans purchased | ' | $37.90 | $3,500 |
Excess servicing spread investment | $26 | ' | ' |