Document and Entity Information
Document and Entity Information - shares | 6 Months Ended | |
Jun. 30, 2015 | Aug. 05, 2015 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Jun. 30, 2015 | |
Document Fiscal Year Focus | 2,015 | |
Document Fiscal Period Focus | Q2 | |
Trading Symbol | PMT | |
Entity Registrant Name | PennyMac Mortgage Investment Trust | |
Entity Central Index Key | 1,464,423 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Large Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 74,811,922 |
Consolidated Balance Sheets (Un
Consolidated Balance Sheets (Unaudited) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
ASSETS | ||
Cash | $ 114,698 | $ 76,386 |
Short-term investments | 32,417 | 139,900 |
Mortgage-backed securities at fair value (includes $278,305 and $307,363 pledged to secure assets sold under agreements to repurchase and $9,321 and $0 pledged to secure Federal Home Loan Bank advances) | 287,626 | 307,363 |
Mortgage loans acquired for sale at fair value (includes $1,422,166 and $609,608 pledged to secure assets sold under agreements to repurchase, $72,819 and $20,862 pledged to secure mortgage loan participation and sale agreement, $48,627 and $0 pledged to secure Federal Home Loan Bank advances and $656,377 and $0 pledged to secure credit risk transfer financing) | 2,213,874 | 637,722 |
Mortgage loans at fair value (includes $2,612,167 and $2,709,161 pledged to secure assets sold under agreements to repurchase and asset-backed secured financing of the variable interest entity at fair value and $106,303 and $0 pledged to secure Federal Home Loan Bank advances) | 2,730,820 | 2,726,952 |
Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value pledged to secure borrowings under note payable to PennyMac Financial Services, Inc. | 359,102 | 191,166 |
Derivative assets | 13,950 | 11,107 |
Real estate acquired in settlement of loans (includes $203,051 and $150,649 pledged to secure assets sold under agreements to repurchase) | 324,278 | 303,228 |
Real estate held for investment | 1,544 | 0 |
Mortgage servicing rights pledged to secure borrowings under note payable (includes $57,343 and $57,358 carried at fair value) | 394,737 | 357,780 |
Servicing advances | 78,347 | 79,878 |
Due from PennyMac Financial Services, Inc. | 9,342 | 6,621 |
Other assets | 116,639 | 59,155 |
Total assets | 6,677,374 | 4,897,258 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 3,500,569 | 2,729,027 |
Federal Home Loan Bank advances | 138,400 | 0 |
Mortgage loan participation and sale agreement | 70,612 | 20,222 |
Credit risk transfer financing at fair value | 649,120 | 0 |
Notes payable | 192,352 | |
Asset-backed secured financing of the variable interest entity at fair value | 151,489 | 165,920 |
Exchangeable senior notes | 244,559 | 244,079 |
Derivative liabilities | 6,818 | 2,430 |
Accounts payable and accrued liabilities | 75,967 | 67,806 |
Due to PennyMac Financial Services, Inc. | 16,245 | 23,943 |
Income taxes payable | 36,706 | 51,417 |
Liability for losses under representations and warranties | 16,714 | 14,242 |
Total liabilities | $ 5,152,077 | $ 3,319,086 |
Commitments and contingencies | ||
SHAREHOLDERS' EQUITY | ||
Common shares of beneficial interest-authorized, 500,000,000 common shares of $0.01 par value; issued and outstanding, 74,811,922 and 74,510,159 common shares, respectively | $ 748 | $ 745 |
Additional paid-in capital | 1,483,389 | 1,479,699 |
Retained earnings | 41,160 | 97,728 |
Total shareholders' equity | 1,525,297 | 1,578,172 |
Total liabilities and shareholders' equity | 6,677,374 | 4,897,258 |
PennyMac Financial Services, Inc. [Member] | ||
LIABILITIES | ||
Notes payable | 52,526 | 0 |
Consolidated VIE [Member] | ||
ASSETS | ||
Mortgage loans at fair value (includes $2,612,167 and $2,709,161 pledged to secure assets sold under agreements to repurchase and asset-backed secured financing of the variable interest entity at fair value and $106,303 and $0 pledged to secure Federal Home Loan Bank advances) | 483,876 | 527,369 |
Other assets - interest receivable | 1,543 | 1,651 |
Total assets of Consolidated Variable Interest Entity | 485,419 | 529,020 |
LIABILITIES | ||
Asset-backed secured financing of the variable interest entity at fair value | 151,489 | 165,920 |
Accounts payable and accrued expenses - interest payable | 444 | 477 |
Total liabilities of Consolidated Variable Interest Entity | $ 151,933 | $ 166,397 |
Consolidated Balance Sheets (U3
Consolidated Balance Sheets (Unaudited) (Parenthetical) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Mortgage-backed securities at fair value, pledged to secure assets sold under agreements to repurchase | $ 278,305 | $ 307,363 |
Mortgage-backed securities at fair value, pledged to secure Federal Home Loan Bank advances | 9,321 | 0 |
Mortgage loans acquired for sale at fair value, pledged to secure assets sold under agreements to repurchase | 1,422,166 | 609,608 |
Mortgage loans acquired for sale at fair value, pledged to secure Federal Home Loan Bank advances | 48,627 | 0 |
Mortgage loans acquired for sale at fair value, pledged to secure credit risk transfer financing | 656,377 | 0 |
Mortgage loans at fair value, pledged to secure assets sold under agreements to repurchase and asset-backed secured financing of the variable interest entity at fair value | 2,612,167 | 2,709,161 |
Mortgage loans at fair value, pledged to secure Federal Home Loan Bank advances | 106,303 | 0 |
Real estate acquired in settlement of loans, pledged to secure assets sold under agreements to repurchase | 203,051 | 150,649 |
Mortgage servicing rights at fair value | $ 57,343 | $ 57,358 |
Common shares, authorized | 500,000,000 | 500,000,000 |
Common shares, par value | $ 0.01 | $ 0.01 |
Common shares, issued | 74,811,922 | 74,510,159 |
Common shares, outstanding | 74,811,922 | 74,510,159 |
Mortgage Loan Participation and Sale Agreement [Member] | ||
Mortgage loans acquired for sale at fair value, pledged to secure mortgage loan participation and sale agreement | $ 72,819 | $ 20,862 |
Consolidated Statements of Inco
Consolidated Statements of Income (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Net investment income | ||||
Interest income | $ 45,333 | $ 48,518 | $ 86,018 | $ 87,864 |
Interest expense | ||||
Interest expense | 29,739 | 21,865 | 55,485 | 41,640 |
Net interest income | 15,594 | 26,653 | 30,533 | 46,224 |
Net gain on mortgage loans acquired for sale | 11,175 | 10,222 | 21,335 | 20,193 |
Loan origination fees | 7,279 | 4,485 | 12,566 | 6,841 |
Net gain on investments | 22,614 | 73,134 | 26,061 | 115,719 |
Net loan servicing fees | 13,017 | 8,758 | 21,019 | 16,179 |
Results of real estate acquired in settlement of loans | (1,806) | (5,348) | (7,638) | (11,974) |
Other | 1,892 | 2,652 | 3,546 | 3,969 |
Net investment income | 69,765 | 120,556 | 107,422 | 197,151 |
Expenses | ||||
Loan fulfillment fees | 15,333 | 12,433 | 28,199 | 21,335 |
Loan servicing fees | 12,136 | 14,180 | 22,806 | 28,771 |
Management fees | 5,779 | 8,912 | 12,782 | 16,986 |
Compensation | 1,389 | 1,883 | 4,198 | 4,825 |
Professional services | 1,662 | 2,690 | 3,490 | 4,421 |
Other | 8,378 | 7,154 | 14,679 | 11,221 |
Total expenses | 44,677 | 47,252 | 86,154 | 87,559 |
Income before benefit from income taxes | 25,088 | 73,304 | 21,268 | 109,592 |
Benefit from income taxes | (2,983) | (1,907) | (14,311) | (3,492) |
Net income | $ 28,071 | $ 75,211 | $ 35,579 | $ 113,084 |
Earnings per share | ||||
Basic | $ 0.37 | $ 1.01 | $ 0.46 | $ 1.54 |
Diluted | $ 0.36 | $ 0.93 | $ 0.46 | $ 1.44 |
Weighted-average shares outstanding | ||||
Basic | 74,683 | 74,065 | 74,618 | 72,803 |
Diluted | 83,480 | 82,750 | 74,997 | 81,535 |
Dividends declared per share | $ 0.61 | $ 0.59 | $ 1.22 | $ 1.18 |
Nonaffiliates [Member] | ||||
Net investment income | ||||
Interest income | $ 39,515 | $ 45,380 | $ 76,448 | $ 81,863 |
Interest expense | ||||
Interest expense | 29,206 | 21,865 | 54,952 | 41,640 |
Net gain on investments | 14,025 | 80,671 | 23,719 | 126,157 |
PennyMac Financial Services, Inc. [Member] | ||||
Net investment income | ||||
Interest income | 5,818 | 3,138 | 9,570 | 6,001 |
Interest expense | ||||
Interest expense | 533 | 0 | 533 | 0 |
Net gain on investments | $ 8,589 | $ (7,537) | $ 2,342 | $ (10,438) |
Consolidated Statements of Chan
Consolidated Statements of Changes in Shareholders' Equity (Unaudited) - USD ($) $ in Thousands | Total | Common Stock [Member] | Additional paid-in capital [Member] | Retained earnings [Member] |
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 | 113,084 | 113,084 | ||
Share-based compensation, Amount | 2,958 | $ 2 | 2,956 | |
Share-based compensation, Shares | 234,000 | |||
Dividends | (87,397) | (87,397) | ||
Issuance of common shares, Amount | $ 82,453 | $ 34 | 82,419 | |
Issuance of common shares, Shares | 3,447,022 | 3,447,000 | ||
Underwriting and offering costs | $ (1,052) | (1,052) | ||
Balance, Amount at Jun. 30, 2014 | 1,577,160 | $ 741 | 1,468,791 | 107,628 |
Balance, Shares at Jun. 30, 2014 | 74,139,000 | |||
Balance, Amount at Dec. 31, 2014 | 1,578,172 | $ 745 | 1,479,699 | 97,728 |
Balance, Shares at Dec. 31, 2014 | 74,510,000 | |||
Net income | 35,579 | 35,579 | ||
Share-based compensation, Amount | 3,685 | $ 3 | 3,682 | |
Share-based compensation, Shares | 302,000 | |||
Dividends | (92,147) | (92,147) | ||
Issuance of common shares, Amount | 8 | 8 | ||
Issuance of common shares, Shares | 0 | |||
Balance, Amount at Jun. 30, 2015 | $ 1,525,297 | $ 748 | $ 1,483,389 | $ 41,160 |
Balance, Shares at Jun. 30, 2015 | 74,812,000 |
Consolidated Statements of Cha6
Consolidated Statements of Changes in Shareholders' Equity (Unaudited) (Parenthetical) - $ / shares | 6 Months Ended | |
Jun. 30, 2015 | Jun. 30, 2014 | |
Dividends declared per share | $ 1.22 | $ 1.18 |
Retained earnings [Member] | ||
Dividends declared per share | $ 1.22 | $ 1.18 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2015 | Jun. 30, 2014 | |
Cash flows from operating activities | ||
Net income | $ 35,579 | $ 113,084 |
Adjustments to reconcile net income to net cash used by operating activities: | ||
Accrual of unearned discounts and amortization of premiums on mortgage-backed securities, mortgage loans at fair value, and asset-backed secured financing | (119) | (537) |
Capitalization of interest on mortgage loans at fair value | (20,130) | (30,353) |
Accrual of interest on excess servicing spread | (9,570) | (6,001) |
Amortization of credit facility commitment fees and debt issuance costs | 5,401 | 4,879 |
Net gain on mortgage loans acquired for sale | (21,335) | (20,193) |
Accrual of costs related to forward purchase agreements | 0 | (168) |
Net gain on investments | (26,061) | (115,719) |
Change in fair value, amortization and impairment of mortgage servicing rights | 27,497 | 20,518 |
Results of real estate acquired in settlement of loans | 7,638 | 11,974 |
Share-based compensation expense | 3,685 | 2,958 |
Purchases of mortgage loans acquired for sale at fair value from nonaffiliates | (20,820,811) | (12,345,380) |
Purchases of mortgage loans acquired for sale at fair value from PennyMac Financial Services, Inc. | (10,828) | (1,985) |
Repurchases of mortgage loans subject to representation and warranties | (12,972) | (6,621) |
Sales and repayments of mortgage loans acquired for sale at fair value to nonaffiliates | 5,707,641 | 4,796,065 |
Sales of mortgage loans acquired for sale to PennyMac Financial Services, Inc. | 13,523,345 | 7,085,859 |
Increase in servicing advances | (8,870) | (15,218) |
(Increase) decrease in due from PennyMac Financial Services, Inc. | (2,541) | 2,812 |
Increase in other assets | (24,223) | (20,716) |
Increase (decrease) in accounts payable and accrued liabilities | 8,440 | (45,366) |
(Decrease) increase in payable to PennyMac Financial Services, Inc. | (7,469) | 1,036 |
(Decrease) increase in income taxes payable | (14,710) | 3,283 |
Net cash used in operating activities | (1,660,413) | (565,789) |
Cash flows from investing activities | ||
Net decrease in short-term investments | 107,483 | (12,055) |
Purchases of mortgage-backed securities at fair value | (25,129) | (19,638) |
Repayments of mortgage-backed securities at fair value | 39,744 | 5,419 |
Purchases of mortgage loans at fair value | (241,981) | (283,017) |
Sales and repayments of mortgage loans at fair value | 147,465 | 397,643 |
Repayments of mortgage loans under forward purchase agreements at fair value | 0 | 6,413 |
Purchase of excess servicing spread from PennyMac Financial Services, Inc. | (187,287) | (73,393) |
Repayment of excess servicing spread by PennyMac Financial Services, Inc. | 31,083 | 16,494 |
Settlements of derivative financial instruments | (10,554) | (9,785) |
Purchase of real estate acquired in settlement of loans | 0 | (3,049) |
Sales of real estate acquired in settlement of loans | 128,097 | 76,903 |
Sales of real estate acquired in settlement of loans under forward purchase agreements | 0 | 5,365 |
Sale of mortgage servicing rights | 376 | 0 |
(Increase) decrease in margin deposits and restricted cash | (36,003) | 5,454 |
Net cash (used) provided by investing activities | (46,706) | 112,754 |
Cash flows from financing activities | ||
Sales of assets under agreement to repurchase | 22,834,050 | 15,938,914 |
Repurchases of assets sold under agreements to repurchase | (22,062,255) | (15,276,762) |
Sales of mortgage loan participation certificates | 2,440,045 | 0 |
Repayments of mortgage loan participation certificates | (2,389,653) | 0 |
Issuance of credit risk transfer financing | 649,120 | 0 |
Federal Home Loan Bank advances | 138,400 | 0 |
Advances under note payable | 192,352 | 0 |
Repayments of borrowings under forward purchase agreements | 0 | (227,866) |
Repayments of asset-backed secured financing at fair value | (11,331) | (3,372) |
Payment of debt issuance cost and commitment fees | (5,176) | (4,711) |
Issuances of common shares | 8 | 82,453 |
Payments of common share underwriting and offering costs | 0 | (1,052) |
Payments of contingent underwriting fees payable | (688) | (424) |
Payments of dividends | (91,967) | (43,654) |
Net cash provided financing activities | 1,745,431 | 463,526 |
Net decrease in cash | 38,312 | 10,491 |
Cash at beginning of period | 76,386 | 27,411 |
Cash at end of period | 114,698 | 37,902 |
PennyMac Financial Services, Inc. [Member] | ||
Cash flows from financing activities | ||
Advances under note payable | 71,072 | 0 |
Repayments under note payable to PennyMac Financial Services, Inc | $ (18,546) | $ 0 |
Organization and Basis of Prese
Organization and Basis of Presentation | 6 Months Ended |
Jun. 30, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [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 (“common 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 production and investment activities: • The correspondent production 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 (“PCM” or the “Manager”) and PennyMac Loan Services, LLC (“PLS” or the “Servicer”), both indirect subsidiaries of PennyMac Financial Services, Inc. (“PFSI”). Most of the mortgage loans the Company has acquired in its correspondent production 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 fair value of its acquired distressed mortgage loans 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 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 (“GAAP”) as codified in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification The accompanying unaudited consolidated financial statements reflect all normal recurring adjustments necessary to present fairly the financial position, income, and cash flows for the interim periods, but are not necessarily indicative of the results of operations to be anticipated for the full year ending December 31, 2015. Intercompany accounts and transactions have been eliminated. Preparation of financial statements in compliance with 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 In April of 2015, the FASB issued Accounting Standards Update (“ASU”) No. 2015-03, Interest—Imputation of Interest (Subtopic 835-30): Simplifying the Presentation of Debt Issuance Costs Other assets Mortgage loans sold under agreements to repurchase Following is a summary of the balance sheet reclassifications: December 31, 2014 As reported As previously reported Reclassification (in thousands) ASSETS Other assets $ 59,155 $ 66,193 $ (7,038 ) Total assets $ 4,897,258 $ 4,904,296 $ (7,038 ) LIABILITIES Assets sold under agreements to repurchase $ 2,729,027 $ 2,730,130 $ (1,103 ) Mortgage loan participation and sale agreement 20,222 20,236 (14 ) Exchangeable senior notes 244,079 250,000 (5,921 ) Total liabilities 3,319,086 3,326,124 (7,038 ) Total liabilities and shareholders’ equity $ 4,897,258 $ 4,904,296 $ (7,038 ) |
Concentration of Risks
Concentration of Risks | 6 Months Ended |
Jun. 30, 2015 | |
Risks and Uncertainties [Abstract] | |
Concentration of Risks | Note 2—Concentration of Risks As discussed in Note 1— Organization and Basis of Presentation 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 Servicer’s 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 mortgage 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 mortgage 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 in prior years 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 June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Investment portfolio purchases: Mortgage loans $ — $ 27,203 $ 241,981 $ 284,403 REO — 30 — 3,117 $ — $ 27,233 $ 241,981 $ 287,520 Investment portfolio purchases above through one or more subsidiaries of Citigroup Inc.: Mortgage loans $ — $ 26,737 $ — $ 26,737 REO — 30 — 68 $ — $ 26,767 $ — $ 26,805 Following is a summary of the Company’s holdings of assets purchased through one or more subsidiaries of Citigroup Inc.: June 30, December 31, (in thousands) Mortgage loans at fair value $ 882,881 $ 943,163 REO 93,171 108,302 $ 976,052 $ 1,051,465 Total holdings of mortgage loans and REO $ 3,055,098 $ 3,030,180 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 were held in a trust subsidiary by CGM pending settlement by the Company. The commitment under the forward purchase agreement was settled in full during the quarter ended June 30, 2014. The Company recognized these assets and related obligations as of the dates of the forward purchase agreements and recognized 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 for the periods presented include the following amounts related to the forward purchase agreements: Quarter ended Six months ended (in thousands) Statements of income: Interest income $ 1,430 $ 3,584 Interest expense $ 783 $ 2,364 Net gain on investments $ 1,743 $ 803 Net loan servicing fees $ 201 $ 517 Results of REO $ (72 ) $ (473 ) Statements of cash flows: Repayments of mortgage loans $ 1,084 $ 6,413 Sales of REO $ 3,743 $ 5,365 Repayments of borrowings under forward purchase agreements $ (214,742 ) $ (227,866 ) 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 Parti
Transactions with Related Parties | 6 Months Ended |
Jun. 30, 2015 | |
Related Party Transactions [Abstract] | |
Transactions with Related Parties | Note 3—Transactions with Related Parties Correspondent Production Activities Following is a summary of correspondent production activity between the Company and PLS: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Fulfillment fee expense earned by PLS $ 15,333 $ 12,433 $ 28,199 $ 21,335 Unpaid principal balance of loans fulfilled by PLS $ 3,579,078 $ 2,991,764 $ 6,469,210 $ 4,911,342 Sourcing fees received from PLS $ 2,427 $ 1,125 $ 3,848 $ 2,017 Unpaid principal balance of loans sold to PLS $ 8,082,764 $ 3,748,874 $ 12,818,138 $ 6,722,951 Purchases of mortgage loans acquired for sale at fair value from PLS $ 2,423 $ 1,985 $ 10,828 $ 1,985 Tax service fees paid to PLS $ 1,113 $ 684 $ 2,002 $ 1,050 At period end: Mortgage loans included in mortgage loans acquired for sale pending sale to PLS $ 830,330 $ 304,707 Mortgage Loan Servicing Activities Following is a summary of mortgage loan servicing fees earned by PLS: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Mortgage loans acquired for sale at fair value: Base $ 42 $ 29 $ 68 $ 46 Activity-based 59 51 90 77 101 80 158 123 Distressed mortgage loans: Base 4,183 4,975 8,215 9,941 Activity-based 3,093 5,746 5,987 12,132 7,276 10,721 14,202 22,073 MSRs: Base 4,654 3,323 8,310 6,471 Activity-based 105 56 136 104 4,759 3,379 8,446 6,575 $ 12,136 $ 14,180 $ 22,806 $ 28,771 Average investment in: Mortgage loans acquired for sale at fair value $ 1,014,883 $ 519,357 $ 887,660 $ 428,941 Distressed mortgage loans $ 2,295,807 $ 2,133,587 $ 2,303,080 $ 2,042,362 Average mortgage loans servicing portfolio $ 35,742,835 $ 28,230,295 $ 35,215,677 $ 27,417,841 Investing and Financing Activities Following is a summary of investing and financing activities between the Company and PFSI: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Purchases of ESS $ 140,875 $ 52,867 $ 187,287 $ 73,393 Interest income from ESS $ 5,818 $ 3,138 $ 9,570 $ 6,001 Net gain (loss) on ESS $ 7,133 $ (10,062 ) $ (403 ) $ (14,854 ) ESS recapture recognized $ 1,456 $ 2,525 $ 2,745 $ 4,415 Repayment of ESS $ 18,352 $ 9,081 $ 31,083 $ 16,494 MSR recapture recognized $ — $ 1 $ — $ 9 Advances under note payable to PLS $ 71,072 $ — $ 71,072 $ — Repayment of note payable to PLS $ 18,546 $ — $ 18,546 $ — Interest income from note payable to PLS $ 535 $ — $ 535 $ — On April 30, 2015, PFSI entered into an amendment to a lending facility pursuant to which it may finance certain of its MSRs and servicing advance receivables. Under the terms of the amendment, the maximum loan amount increased from $257 million to $407 million. The $150 million increase was implemented for the purpose of facilitating the financing of excess servicing spread (“ESS”) by the Company. The aggregate loan amount outstanding under the lending facility and relating to advances outstanding with the Company is guaranteed in full by PMT. In connection with the amendment to the lending facility, the Company and PFSI entered into an underlying loan and security agreement, dated as of April 30, 2015, pursuant to which the Company may borrow up to $150 million from PFSI for the purpose of financing ESS. The principal amount of the borrowings under the Loan and Security Agreement is based upon a percentage of the market value of the ESS pledged by the Company, subject to the maximum loan amount described above. Pursuant to the underlying loan and security agreement, the Company granted to PFSI a security interest in all of its right, title and interest in, to and under the ESS pledged to secure loans. The Company and PFSI have agreed that the Company is required to repay PFSI the principal amount of such borrowings plus accrued interest to the date of such repayment, and PFSI is required to repay their lender the corresponding amount under the lending facility. The Company is also required to pay PFSI a fee for the structuring of the lending facility in an amount equal to the portion of the corresponding fee paid by PFSI to their lender under the lending facility and allocable to the increase in the maximum loan amount resulting from the ESS financing. The note matures on October 30, 2015 and interest accrues at a rate based on the lender’s cost of funds. In connection with the initial public offering of PMT’s common shares (“IPO”) on August 4, 2009, the Company entered into an agreement with PCM pursuant to which the Company agreed to reimburse PCM 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 PCM of the Conditional Reimbursement if the Company is required to pay PCM 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 and six months ended June 30, 2015, the Company paid $230,000 and $387,000 to PCM, respectively, compared to $36,000 for the quarter and six months ended June 30, 2014. The Company has also agreed to pay the IPO underwriters an amount to which it agreed at the time of the offering if the Company satisfies certain performance measures over a specified period. As PCM 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 PCM. 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 and six months ended June 30, 2015, the Company paid $459,000 and 772,000 to the underwriters, respectively, compared to $315,000 and $387,000 for the same periods in 2014. In the event the termination fee is payable to PCM under the management agreement and PCM 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. Other Transactions Following is a summary of the base management and performance incentive fees payable to PCM recorded by the Company: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Base $ 5,709 $ 5,838 $ 11,439 $ 11,359 Performance incentive 70 3,074 1,343 5,627 Total management fee incurred during the period $ 5,779 $ 8,912 $ 12,782 $ 16,986 In the event of termination of the management agreement between the Company and PCM, PCM may be entitled to a termination fee in certain circumstances. The termination fee is equal to three times the sum of (a) the average annual base management fee, and (b) the average annual performance incentive fee earned by PFSI, in each case during the 24-month period before termination. The Company reimburses PCM and its affiliates for other expenses, including common overhead expenses incurred on its behalf by PCM and its affiliates, in accordance with the terms of its management agreement as summarized below: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Reimbursement of: Common overhead incurred by PCM and its affiliates (1) $ 2,702 $ 2,691 $ 5,431 $ 5,269 Expenses incurred on the Company’s behalf 83 104 462 549 $ 2,785 $ 2,795 $ 5,893 $ 5,818 Payments and settlements during the period (2) $ 24,114 $ 14,894 $ 46,866 $ 33,280 (1) For the quarter ended June 30, 2015, in accordance with the terms of the management agreement, PCM provided the Company a discretionary waiver of $700,000 of overhead expenses that otherwise would have been allocable to the Company. (2) Payments and settlements include payments for management fees and correspondent production activities itemized in the preceding tables and netting settlements made pursuant to master netting agreements between the Company and PFSI. Amounts due to PCM and its affiliates are summarized below: June 30, December 31, 2015 2014 (in thousands) Allocated expenses $ 5,893 $ 6,582 Management fees 5,779 8,426 Servicing fees 3,667 3,457 Conditional Reimbursement 906 1,136 Unsettled ESS investment — 3,836 Fulfillment fees — 506 $ 16,245 $ 23,943 Amounts due from PCM and its affiliates totaled $9.3 million and $6.6 million at June 30, 2015 and December 31, 2014, respectively. At June 30, 2015, the balance represents payments receivable relating to cash flows from the Company’s investment in ESS and amounts receivable relating to unsettled ESS recaptures. PFSI held 75,000 of the Company’s common shares at both June 30, 2015 and December 31, 2014. |
Earnings Per Share
Earnings Per Share | 6 Months Ended |
Jun. 30, 2015 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Note 4—Earnings Per Share Basic earnings per share is determined using the two-class method, under which all earnings (distributed and undistributed) are allocated to common shares and participating securities, based on their respective rights to receive dividends. Basic earnings per share is determined by dividing net income, reduced by income attributable to the participating securities, 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 common shares. Unvested share-based compensation awards containing non-forfeitable rights to receive dividends or dividend equivalents (collectively, “dividends”) are classified as “participating securities” and are included in the basic earnings per share calculation using the two-class method. 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 “Exchangeable Notes”), by the weighted-average common 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 June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands except per share amounts) Basic earnings per share: Net income $ 28,071 $ 75,211 $ 35,579 $ 113,084 Effect of participating securities—share-based compensation awards (438 ) (433 ) (1,015 ) (841 ) Net income attributable to common shareholders $ 27,633 $ 74,778 $ 34,564 $ 112,243 Weighted-average shares outstanding 74,683 74,065 74,618 72,803 Basic earnings per share $ 0.37 $ 1.01 $ 0.46 $ 1.54 Diluted earnings per share: Net income $ 27,633 $ 75,211 $ 34,564 $ 113,084 Interest on Exchangeable Notes, net of income taxes 2,121 2,079 — 4,156 Net income attributable to diluted shareholders $ 29,754 $ 77,290 $ 34,564 $ 117,240 Weighted-average shares outstanding 74,683 74,065 74,618 72,803 Potentially dilutive securities: Shares issuable pursuant to exchange of the Exchangeable Notes 8,467 8,393 — 8,393 Shares issuable under share-based compensation plan 330 292 379 338 Diluted weighted-average number of shares outstanding 83,480 82,750 74,997 81,535 Diluted earnings per share $ 0.36 $ 0.93 $ 0.46 $ 1.44 Dividends and undistributed earnings allocated to participating securities under the basic and diluted earnings per share calculations require specific shares to be included or excluded that may differ in certain circumstances. For the six months ended June 30, 2015, approximately 8,467,000 shares issuable pursuant to the exchange feature embedded in the Exchangeable Notes were excluded from the diluted earnings per share calculation as inclusion of the exchange of such shares would have been antidilutive. |
Loan Sales and Variable Interes
Loan Sales and Variable Interest Entities | 6 Months Ended |
Jun. 30, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Loan Sales and Variable Interest Entities | Note 5—Loan Sales and Variable Interest Entities The Company is a variable interest holder in various special purpose entities that relate to its loan transfer and financing activities. These entities are classified as variable interest entities (“VIEs”) for accounting purposes. The Company has segregated its involvement with 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 in transfers that are accounted for as sales where PMT maintains continuing involvement with the mortgage loans, as well as unpaid principal balance information at period end: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Cash flows: Proceeds from sales $ 3,063,397 $ 2,763,138 $ 5,707,641 $ 4,789,444 Servicing fees received (1) $ 22,738 $ 19,019 $ 44,641 $ 34,907 Period end information: Unpaid principal balance of mortgage loans outstanding $ 36,448,945 $ 29,268,039 Unpaid principal balance of delinquent mortgage loans: 30-89 days delinquent $ 129,316 $ 90,091 90 or more days delinquent Not in foreclosure 28,805 13,325 In foreclosure or bankruptcy 20,063 11,306 48,868 24,631 $ 178,184 $ 114,722 (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 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. The Manager 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 a 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 repayment of the certificates. |
Netting of Financial Instrument
Netting of Financial Instruments | 6 Months Ended |
Jun. 30, 2015 | |
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 MBS, interest rate lock commitments (“IRLCs”), mortgage loans acquired for sale at fair value, mortgage loans at fair value, 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. As of June 30, 2015 and December 31, 2014, the Company did not enter into reverse repurchase agreements or securities lending transactions that are required to be disclosed in the following tables. 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. June 30, 2015 December 31, 2014 Net Net Gross amounts Gross amounts amounts of assets amounts of assets Gross offset presented Gross offset presented amounts in the in the amounts in the in the of consolidated consolidated of consolidated consolidated recognized balance balance recognized balance balance assets sheet sheet assets sheet sheet (in thousands) Derivatives subject to master netting arrangements: MBS put options $ 1,426 $ — $ 1,426 $ 374 $ — $ 374 MBS call options 169 — 169 — — — Forward purchase contracts 2,415 — 2,415 3,775 — 3,775 Forward sale contracts 10,844 — 10,844 52 — 52 Put options on interest rate futures 1,659 — 1,659 193 — 193 Call options on interest rate futures 3,557 — 3,557 3,319 — 3,319 Treasury futures contracts 1,210 — 1,210 — — — Netting — (11,541 ) (11,541 ) — (2,284 ) (2,284 ) 21,280 (11,541 ) 9,739 7,713 (2,284 ) 5,429 Derivatives not subject to master netting arrangements: Interest rate lock commitments 4,211 — 4,211 5,678 — 5,678 $ 25,491 $ (11,541 ) $ 13,950 $ 13,391 $ (2,284 ) $ 11,107 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. June 30, 2015 December 31, 2014 Gross amounts Gross amounts not offset in the not offset in the consolidated consolidated balance sheet balance sheet Net amount Net amount of assets of assets presented presented in the Cash in the Cash consolidated Financial collateral Net consolidated Financial collateral Net balance sheet instruments received amount balance sheet instruments received amount (in thousands) Interest rate lock commitments $ 4,211 $ — $ — $ 4,211 $ 5,678 $ — $ — $ 5,678 RJ O’Brien & Associates, LLC 4,924 — — 4,924 3,034 — — 3,034 Jefferies Group, LLC 1,438 1,438 133 — — 133 JP Morgan Chase & Co. 973 — — 973 — — — — Fannie Mae Capital Markets 712 — — 712 — — — — Daiwa Capital Markets 78 — — 78 29 — — 29 Credit Suisse First Boston Mortgage Capital LLC 4 — — 4 253 — — 253 Bank of America, N.A. — — — — 738 — — 738 Morgan Stanley Bank, N.A. — — — — 104 — — 104 Other 1,610 — — 1,610 1,138 — — 1,138 Total $ 13,950 $ — $ — $ 13,950 $ 11,107 $ — $ — $ 11,107 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 setoff accounting. June 30, 2015 December 31, 2014 Net Net amounts amounts Gross amounts of liabilities Gross of liabilities Gross offset presented Gross amounts offset presented amounts in the in the amounts in the in the of consolidated consolidated of consolidated consolidated recognized balance balance recognized balance balance liabilities sheet sheet liabilities sheet sheet (in thousands) Derivatives subject to master netting arrangements: Forward purchase contracts $ 7,912 $ — $ 7,912 $ 34 $ — $ 34 Forward sales contracts 4,002 — 4,002 6,649 — 6,649 Treasury futures contracts 164 — 164 478 — 478 Netting — (9,738 ) (9,738 ) — (4,748 ) (4,748 ) 12,078 (9,738 ) 2,340 7,161 (4,748 ) 2,413 Derivatives not subject to master netting arrangements: Interest rate lock commitments 4,478 — 4,478 17 — 17 16,556 (9,738 ) 6,818 7,178 (4,748 ) 2,430 Assets sold under agreements to repurchase Amount outstanding 3,501,925 — 3,501,925 2,729,027 — 2,729,027 Unamortized issuance costs (1,356 ) — (1,356 ) (1,117 ) — (1,117 ) 3,500,569 — 3,500,569 2,730,144 — 2,730,144 $ 3,517,125 $ (9,738 ) $ 3,507,387 $ 2,737,322 $ (4,748 ) $ 2,732,575 Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty The following table summarizes by significant counterparty the amount of derivative liabilities and assets sold under agreements to repurchase after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance qualifying for netting. All assets sold under agreements to repurchase represent sufficient collateral or exceed the liability amount recorded on the consolidated balance sheet. June 30, 2015 December 31, 2014 Gross amounts Gross amounts not offset in the not offset in the consolidated consolidated balance sheet balance sheet Net amount of Net amount of liabilities liabilities presented presented in the in the consolidated Cash consolidated Cash balance Financial collateral Net balance Financial collateral Net sheet instruments pledged amount sheet instruments pledged amount (in thousands) Interest rate lock commitments $ 4,478 $ — $ — $ 4,478 $ 17 $ — $ — $ 17 Morgan Stanley Bank, N.A. 273,173 (273,125 ) — 48 121,975 (121,975 ) — — Credit Suisse First Boston Mortgage Capital LLC 858,824 (858,824 ) — — 966,155 (966,155 ) — — Citibank 1,113,055 (1,113,055 ) — — 797,851 (797,663 ) — 188 Bank of America, N.A. 696,438 (696,438 ) — — 508,922 (508,922 ) — — RBS Securities — — — — 208,520 (208,520 ) — — Daiwa Capital Markets 120,436 (120,436 ) — — 126,909 (126,909 ) — — JPMorgan Chase & Co. 440,047 (440,047 ) — — — — — — Other 2,292 — — 2,292 2,225 — — 2,225 Total $ 3,508,743 $ (3,501,925 ) $ — $ 6,818 $ 2,732,574 $ (2,730,144 ) $ — $ 2,430 |
Fair Value
Fair Value | 6 Months Ended |
Jun. 30, 2015 | |
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 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 the Manager has elected to carry the item at its fair value as discussed in the following paragraphs. Fair Value Accounting Elections The Manager identified all of the Company’s non-cash financial assets and MSRs relating to loans with initial interest rates of more than 4.5%, to be accounted for at fair value. The Manager 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. The Manager has also identified the Company’s asset-backed secured financing of the VIE 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 at fair value collateralizing this financing. The Company’s subsequent accounting for MSRs is based on the class of MSRs. Originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5% are accounted for using the amortization method. Originated MSRs backed by loans with initial interest rates of more than 4.5% are accounted for at fair value with changes in fair value recorded in current period income. For assets sold under agreements to repurchase, borrowings under forward purchase agreements and the Exchangeable Notes, the Manager 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 availability 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 fair value on a recurring basis: June 30, 2015 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 32,417 $ — $ — $ 32,417 Mortgage-backed securities at fair value — 287,626 — 287,626 Mortgage loans acquired for sale at fair value — 2,213,874 — 2,213,874 Mortgage loans at fair value — 483,876 2,246,944 2,730,820 Excess servicing spread purchased from PFSI — — 359,102 359,102 Derivative assets: Interest rate lock commitments — — 4,211 4,211 MBS put options — 1,426 — 1,426 MBS call options — 169 — 169 Forward purchase contracts — 2,415 — 2,415 Forward sales contracts — 10,844 — 10,844 Treasury futures contracts 1,210 — — 1,210 Put options on interest rate futures 1,659 — — 1,659 Call options on interest rate futures 3,557 — — 3,557 Total derivative assets before netting 6,426 14,854 4,211 25,491 Netting (1) — — — (11,541 ) Total derivative assets after netting 6,426 14,854 4,211 13,950 Mortgage servicing rights at fair value — — 57,343 57,343 $ 38,843 $ 3,000,230 $ 2,667,600 $ 5,695,132 Liabilities: Credit risk transfer financing at fair value $ — $ 649,120 $ — $ 649,120 Asset-backed secured financing of the variable interest entity at fair value — 151,489 — 151,489 Derivative liabilities: Interest rate lock commitments — — 4,478 4,478 Treasury futures 164 — — 164 Forward purchase contracts — 7,912 — 7,912 Forward sales contracts — 4,002 — 4,002 Total derivative liabilities before netting 164 11,914 4,478 16,556 Netting (1) — — — (9,738 ) Total derivative liabilities after netting 164 11,914 4,478 6,818 Total liabilities $ 164 $ 812,523 $ 4,478 $ 807,427 (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, 2014 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 139,900 $ — $ — $ 139,900 Mortgage-backed securities at fair value — 307,363 — 307,363 Mortgage loans acquired for sale at fair value — 637,722 — 637,722 Mortgage loans at fair value — 527,369 2,199,583 2,726,952 Excess servicing spread purchased from PFSI — — 191,166 191,166 Derivative assets: Interest rate lock commitments — — 5,678 5,678 MBS put options — 374 — 374 Forward purchase contracts — 3,775 — 3,775 Forward sales contracts — 52 — 52 Put options on interest rate futures 193 — — 193 Call options on interest rate futures 3,319 — — 3,319 Total derivative assets 3,512 4,201 5,678 13,391 Netting (1) — — — (2,284 ) Total derivative assets after netting 3,512 4,201 5,678 11,107 Mortgage servicing rights at fair value — — 57,358 57,358 $ 143,412 $ 1,476,655 $ 2,453,785 $ 4,071,568 Liabilities: Asset-backed secured financing of the variable interest entity at fair value $ — $ 165,920 $ — $ 165,920 Derivative liabilities: Interest rate lock commitments — — 17 17 MBS call options 478 — — 478 Forward purchase contracts — 34 — 34 Forward sales contracts — 6,649 — 6,649 Total derivative liabilities 478 6,683 17 7,178 Netting (1) — — — (4,748 ) Total derivative liabilities 478 6,683 17 2,430 Total liabilities $ 478 $ 172,603 $ 17 $ 168,350 (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: Quarter ended June 30, 2015 Mortgage Excess Interest Mortgage loans servicing rate lock servicing at fair value spread commitments (1) rights Total (in thousands) Assets: Balance, March 31, 2015 $ 2,343,382 $ 222,309 $ 8,214 $ 49,448 $ 2,623,353 Purchases — 140,874 — — 140,874 Repayments and sales (68,190 ) (18,352 ) — — (86,542 ) Capitalization of interest 9,922 — — — 9,922 Accrual of interest — 5,819 — — 5,819 ESS received pursuant to a recapture agreement with PFSI — 1,319 — — 1,319 Interest rate lock commitments issued, net — — 11,683 — 11,683 Servicing received as proceeds from sales of mortgage loans — — — 1,588 1,588 Changes in instrument-specific credit risk 7,489 — — 7,489 Other factors 22,579 7,133 (23,411 ) 6,307 12,608 30,068 7,133 (23,411 ) 6,307 20,097 Transfers of mortgage loans to REO (68,238 ) — — — (68,238 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — 3,247 — 3,247 Balance, June 30, 2015 $ 2,246,944 $ 359,102 $ (267 ) $ 57,343 $ 2,663,122 Changes in fair value recognized during the period relating to assets still held at June 30, 2015 $ 32,807 $ 7,133 $ (267 ) $ 6,307 $ 45,980 (1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. Quarter ended June 30, 2014 Mortgage Mortgage loans under Excess Net interest Mortgage loans forward purchase servicing rate lock servicing at fair value agreements spread commitments (1) rights Total (in thousands) Assets: Balance, March 31, 2014 $ 2,079,020 $ 202,661 $ 151,019 $ 3,271 $ 36,181 $ 2,472,152 Purchases 26,737 466 52,867 — — 80,070 Repayments and sales (140,807 ) (1,084 ) (9,080 ) — — (150,971 ) Capitalization of interest 17,042 1,057 — — — 18,099 Accrual of interest — — 3,138 — — 3,138 ESS received pursuant to a recapture agreement with PFSI — — 2,362 — — 2,362 Interest rate lock commitments issued, net — — — 19,158 — 19,158 Servicing received as proceeds from sales of mortgage loans — — — — 15,385 15,385 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 19,326 1,236 — — — 20,562 Other factors 52,525 507 (10,062 ) 9,563 (4,764 ) 47,769 71,851 1,743 (10,062 ) 9,563 (4,764 ) 68,331 Transfers of mortgage loans under forward purchase agreements to mortgage loans 201,443 (201,443 ) — — — — Transfers of mortgage loans to REO (98,785 ) — — — — (98,785 ) Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements — (3,400 ) — — — (3,400 ) Transfers of interest rate lock commitments to mortgage loans — — — (20,905 ) — (20,905 ) Balance, June 30, 2014 $ 2,156,501 $ — $ 190,244 $ 11,087 $ 46,802 $ 2,404,634 Changes in fair value recognized during the period relating to assets still held at June 30, 2014 $ 50,613 $ — $ (10,062 ) $ 11,088 $ (4,764 ) $ 46,875 (1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. Six months ended June 30, 2015 Mortgage Excess Interest Mortgage loans servicing rate lock servicing at fair value spread commitments (1) rights Total (in thousands) Assets: Balance, December 31, 2014 $ 2,199,583 $ 191,166 $ 5,661 $ 57,358 $ 2,453,768 Purchases 241,981 187,287 — — 429,268 Repayments and sales (114,070 ) (31,083 ) — — (145,153 ) Capitalization of interest 20,130 — — — 20,130 Accrual of interest — 9,570 — — 9,570 ESS received pursuant to a recapture agreement with PFSI — 2,565 — — 2,565 Interest rate lock commitments issued, net — — 31,083 — 31,083 Servicing received as proceeds from sales of mortgage loans — — — 3,495 3,495 Changes in instrument-specific credit risk 19,057 — — 19,057 Other factors 28,196 (403 ) (23,399 ) (3,510 ) 884 47,253 (403 ) (23,399 ) (3,510 ) 19,941 Transfers of mortgage loans to REO (147,933 ) — — — (147,933 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (13,612 ) — (13,612 ) Balance, June 30, 2015 $ 2,246,944 $ 359,102 $ (267 ) $ 57,343 $ 2,663,122 Changes in fair value recognized during the period relating to assets still held at June 30, 2015 $ 54,574 $ (403 ) $ (267 ) $ (3,510 ) $ 50,394 (1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. Six months ended June 30, 2014 Mortgage at fair value Mortgage loans under Excess Net interest rate lock Mortgage Total (in thousands) Assets: Balance, December 31, 2013 $ 2,076,665 $ 218,128 $ 138,723 $ 1,249 $ 26,452 $ 2,461,217 Purchases 283,017 1,386 73,393 — — 357,796 Repayments and sales (387,430 ) (6,413 ) (16,494 ) — — (410,337 ) Capitalization of interest 28,553 1,801 — — — 30,354 Accrual of interest — — 6,001 — — 6,001 ESS received pursuant to a recapture agreement with PFSI — — 3,475 — — 3,475 Interest rate lock commitments issued, net — — — 31,754 — 31,754 Servicing received as proceeds from sales of mortgage loans — — — — 27,142 27,142 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 42,629 2,269 — — 44,898 Other factors 70,080 (1,466 ) (14,854 ) 11,993 (6,792 ) 58,961 112,709 803 (14,854 ) 11,993 (6,792 ) 103,859 Transfers of mortgage loans under forward purchase agreements to mortgage loans 205,902 (205,902 ) — — — — Transfers of mortgage loans to REO (162,915 ) — — — — (162,915 ) Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements — (9,803 ) — — — (9,803 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — — (33,909 ) — (33,909 ) Balance, June 30, 2014 $ 2,156,501 $ — $ 190,244 $ 11,087 $ 46,802 $ 2,404,634 Changes in fair value recognized during the period relating to assets still held at June 30, 2014 $ 73,951 $ — $ (14,854 ) $ 11,087 $ (6,792 ) $ 63,392 (1) For 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 and mortgage loans held in a consolidated VIE): June 30, 2015 Principal amount due Fair value upon maturity Difference (in thousands) Mortgage loans acquired for sale at fair value: Current through 89 days delinquent $ 2,212,726 $ 2,123,424 $ 89,302 90 or more days delinquent (1) Not in foreclosure 554 547 7 In foreclosure 594 689 (95 ) 1,148 1,236 (88 ) 2,213,874 2,124,660 89,214 Other mortgage loans at fair value: Current through 89 days delinquent 1,239,333 1,495,190 (255,857 ) 90 or more days delinquent (1) Not in foreclosure 597,859 839,463 (241,604 ) In foreclosure 893,628 1,264,333 (370,705 ) 1,491,487 2,103,796 (612,309 ) 2,730,820 3,598,986 (868,166 ) $ 4,944,694 $ 5,723,646 $ (778,952 ) (1) Loans delinquent 90 or more days are placed on nonaccrual status and previously accrued interest is reversed. December 31, 2014 Principal amount due Fair value upon maturity Difference (in thousands) Mortgage loans acquired for sale: Current through 89 days delinquent $ 637,518 $ 610,372 $ 27,146 90 or more days delinquent (1) Not in foreclosure 204 255 (51 ) In foreclosure — — — 204 255 (51 ) 637,722 610,627 27,095 Other mortgage loans at fair value: Current through 89 days delinquent 1,191,635 1,452,885 (261,250 ) 90 or more days delinquent (1) Not in foreclosure 608,144 875,214 (267,070 ) In foreclosure 927,173 1,371,371 (444,198 ) 1,535,317 2,246,585 (711,268 ) 2,726,952 3,699,470 (972,518 ) $ 3,364,674 $ 4,310,097 $ (945,423 ) (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 June 30, 2015 Net gain on mortgage loans Net Net gain Net loan acquired interest on servicing for sale income investments fees Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — (23 ) (6,702 ) — (6,725 ) Mortgage loans acquired for sale at fair value (5,017 ) — — — (5,017 ) Mortgage loans at fair value — (310 ) 17,990 — 17,680 Excess servicing spread at fair value — — 8,589 — 8,589 Mortgage servicing rights at fair value — — — 6,307 6,307 $ (5,017 ) $ (333 ) $ 19,877 $ 6,307 $ 20,834 Liabilities: Asset-backed secured financing at fair value $ — $ 51 $ 3,991 $ — $ 4,042 $ — $ 51 $ 3,991 $ — $ 4,042 Quarter ended June 30, 2014 Net gain on mortgage loans Net Net gain Net loan acquired interest on servicing for sale income investments fees Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — 155 4,081 — 4,236 Mortgage loans acquired for sale at fair value 31,202 — — — 31,202 Mortgage loans at fair value — 223 88,029 — 88,252 Mortgage loans under forward purchase agreements at fair value — — 1,743 — 1,743 Excess servicing spread at fair value — — (7,537 ) — (7,537 ) Mortgage servicing rights at fair value — — — (4,764 ) (4,764 ) $ 31,202 $ 378 $ 86,316 $ (4,764 ) $ 113,132 Liabilities: Asset-backed secured financing at fair value $ (5,175 ) $ (80 ) $ — $ — $ (5,255 ) $ (5,175 ) $ (80 ) $ — $ — $ (5,255 ) Six months ended June 30, 2015 Net gain on Net Net gain Net loan acquired interest on servicing for sale income investments fees Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — 63 (5,186 ) — (5,123 ) Mortgage loans acquired for sale at fair value 18,064 — — — 18,064 Mortgage loans at fair value — 179 36,977 — 37,156 Mortgage loans under forward purchase agreements at fair value — — — — — Excess servicing spread at fair value — — 2,342 — 2,342 Mortgage servicing rights at fair value — — — (3,510 ) (3,510 ) $ 18,064 $ 242 $ 34,133 $ (3,510 ) $ 48,929 Liabilities: Asset-backed secured financing at fair value $ — $ (122 ) $ 3,222 $ — $ 3,100 $ — $ (122 ) $ 3,222 $ — $ 3,100 Six months ended June 30, 2014 Net gain on mortgage loans Net Net gain Net loan acquired interest on servicing for sale income investments fees Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — 188 6,734 — 6,922 Mortgage loans acquired for sale at fair value 49,834 — — — 49,834 Mortgage loans at fair value — 553 140,194 — 140,747 Mortgage loans under forward purchase agreements at fair value — — 803 — 803 Excess servicing spread at fair value — — (10,438 ) — (10,438 ) Mortgage servicing rights at fair value — — — (6,792 ) (6,792 ) $ 49,834 $ 741 $ 137,293 $ (6,792 ) $ 181,076 Liabilities: Asset-backed secured financing at fair value $ (7,954 ) $ (204 ) $ — $ — $ (8,158 ) $ (7,954 ) $ (204 ) $ — $ — $ (8,158 ) Financial Statement Items Measured at Fair Value on a Nonrecurring Basis Following is a summary of financial statement items that were re-measured at fair value on a nonrecurring basis during the periods presented: June 30, 2015 Level 1 Level 2 Level 3 Total (in thousands) Real estate asset acquired in settlement of loans $ — $ — $ 150,121 $ 150,121 Mortgage servicing rights at lower of amortized cost or fair value — — 112,363 112,363 $ — $ — $ 262,484 $ 262,484 December 31, 2014 Level 1 Level 2 Level 3 Total (in thousands) Real estate asset acquired in settlement of loans $ — $ — $ 157,203 $ 157,203 Mortgage servicing rights at lower of amortized cost or fair value — — 91,990 91,990 $ — $ — $ 249,193 $ 249,193 The following table summarizes the fair value changes recognized during the period on assets held at period end that were measured at estimated fair values on a nonrecurring basis: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Real estate asset acquired in settlement of loans $ (6,491 ) $ (7,942 ) $ (13,800 ) $ (12,525 ) Mortgage servicing rights at lower of amortized cost or fair value 7,082 (2,224 ) 703 (2,851 ) $ 591 $ (10,166 ) $ (13,097 ) $ (15,376 ) Real Estate Acquired in Settlement of Loans The Company measures its investment in REO at the respective properties’ fair values less cost to sell on a nonrecurring basis. The initial carrying value of the REO is measured by cost as indicated by the purchase price in the case of purchased REO or as measured by the fair value of the mortgage loan immediately before 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 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 property’s cost is recognized in Results of real estate acquired in settlement of loans 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 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 reduced by the existing valuation allowance for that pool, 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 fair value of the MSRs subsequently increases, the increase in fair value is recognized in current period income only to the extent of the valuation allowance for the respective impairment stratum. The Manager periodically reviews the various impairment strata to determine whether the fair value of the impaired MSRs in a given stratum is likely to recover. When the Manager deems recovery of 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. Cash is measured using “Level 1” inputs. The Company’s assets sold under agreements to repurchase and mortgage loans participation and sale agreement are classified as “Level 3” financial statement instruments as of June 30, 2015 due to the lack of current market activity and the Company’s reliance on unobservable inputs to estimate these instruments’ fair values. The Manager has concluded that the fair values of Cash Assets sold under agreements to repurchase, Mortgage loan participation and sale agreement Credit Risk Transfer financing at fair value The Exchangeable Notes are carried at amortized cost. The fair value of the Exchangeable Notes at June 30, 2015 and December 31, 2014 was $233.0 million and $239.0 million, respectively. The fair value of the Exchangeable Notes is estimated using a broker indication of value. The Company has classified the Exchangeable Notes as “Level 3” financial statement items as of June 30, 2015 due to the lack of current market activity and use of a broker’s indication of value to estimate the instrument’s fair value. Valuation Techniques and Inputs Most of the Company’s assets and asset-backed financing agreements are carried at fair value with changes in fair value recognized in current period income. A substantial portion of these items are “Level 3” financial statement items which require the use of unobservable inputs that are significant to the estimation of the items’ 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. Due to the difficulty in estimating the fair values of “Level 3” financial statement items, the Manager has assigned the responsibility for estimating fair value of these items to specialized staff and subjects the valuation process to significant executive management oversight. The Manager’s Financial Analysis and Valuation group (the “FAV group”) is responsible for estimating the fair values of “Level 3” financial statement items other than IRLCs and maintaining its valuation policies and procedures. With respect to the Level 3 valuations, the FAV group reports to the Manager’s senior management valuation committee, which oversees and approves the valuations. 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 Manager’s senior management valuation committee. The Manager’s senior management valuation committee includes PFSI’s chief executive, financial, operating, credit and asset/liability management officers. The FAV group is responsible for reporting to the Manager’s senior management valuation committee on a monthly basis on the changes in the valuation of the portfolio, including major factors affecting the valuation and any changes in model methods and inputs. To assess the reasonableness of its valuations, the FAV group presents an analysis of the effect on the valuation of changes to the significant inputs to the models. With respect to IRLCs, the Manager has assigned responsibility for developing fair values to its capital markets risk management staff. The fair values developed by the capital markets risk management staff are submitted to the Manager’s senior management secondary marketing working group. The Manager’s secondary marketing working group includes PFSI’s chief executive, operating, institutional mortgage banking, capital markets, asset/liability, portfolio risk, and capital markets operations officers. The following is a description of the techniques and inputs used in estimating the fair values of “Level 2” and “Level 3” financial statement items: Mortgage-Backed Securities The Company’s MBS include Agency and senior non-agency MBS. The Company categorized its MBS as “Level 2” financial statement items. Fair value of Agency and senior non-Agency MBS is estimated based on quoted market prices for the Company’s MBS or 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 in a VIE, 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 the mortgage loans at fair value held in a VIE, the fair values of all of the individual securities issued by the securitization trust are used to derive a fair value for the mortgage loans. The Company obtains indications of fair value from nonaffiliated brokers based on comparable securities and validates brokers’ indications of fair value using pricing models and inputs the Manager believes are similar to the models and inputs used by other market participants. • Loans that are not saleable into active markets, comprised of the Company’s mortgage loans at fair value held outside the VIE 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 the mortgage loans’ fair values 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 the Manager’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 and history 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 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: Key inputs June 30, 2015 December 31, 2014 Discount rate Range 2.3% – 15.0% 2.3% – 15.0% Weighted average 7.2% 7.7% Twelve-month projected housing price index change Range 1.9% – 5.2% 4.0% – 5.3% Weighted average 3.9% 4.8% Prepayment speed (1) Range 0.1% – 5.1% 0.0% – 6.5% Weighted average 3.6% 3.1% Total prepayment speed (2) Range 3.6% – 29.6% 0.0% – 27.9% Weighted average 20.9% 21.6% (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 may 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 fair value when interest rates decrease. Decreasing mortgage rates normally encourage increased mortgage refinancing activity. Increased refinancing activity reduces the life of the mortgage loans underlying the ESS, thereby reducing the fair value of ESS. Reductions in the fair 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 Net gain (loss) on investments Following are the key inputs used in determining the fair value of ESS: Range (Weighted average) Key inputs June 30, 2015 December 31, 2014 Unpaid principal balance of underlying mortgage loans (in thousands) $46,809,508 $28,227,340 Average servicing fee rate (in basis points) 32 31 Average ESS rate (in basis points) 16 16 Pricing spread (1) Range 1.7% – 12.4% 1.7% – 12.0% Weighted average 5.0% 5.3% Life (in years) Range 0.3 – 7.3 0.4 – 7.3 Weighted average 6.2 5.8 Annual total prepayment speed (2) Range 7.6% – 74.3% 7.6% – 74.6% Weighted average 9.7% 11.2% (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 categorizes IRLCs as a “Level 3” financial statement item. 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 mortgage 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 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 fair 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, may result in a significant change in fair value. The financial effects of changes in these inputs are generally inversely correlated as increasing interest rates have a positive effect on the fair value of the MSR component of 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: Key inputs June 30, 2015 December 31, 2014 Pull-through rate Range 63.6% – 99.9% 65.0% – 98.0% Weighted average 93.7% 94.9% MSR value expressed as: Servicing fee multiple Range 1.4 – 5.2 0.7 – 5.2 Weighted average 4.4 4.3 Percentage of unpaid principal balance Range 0.3% – 3.7% 0.2% – 1.3% Weighted average 1.1% 1.1% 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. These derivative financial instruments are categorized by the Company as “Level 2” financial statement items. 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 established by using a current estimate of fair value from a broker’s price opinion or a full appraisal, or the price given in a current contract of sale. REO fair values are reviewed by the Manager’s staff appraisers when the Company obtains multiple indications of fair value and there is a significant difference between the fair values received. PCM’s staff appraisers will attempt to resolve the difference between the indications of fair value. In circumstances where th |
Mortgage Loans Acquired for Sal
Mortgage Loans Acquired for Sale at Fair Value | 6 Months Ended |
Jun. 30, 2015 | |
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: June 30, 2015 December 31, 2014 Unpaid Unpaid Fair principal Fair principal value balance value balance Loan type (in thousands) Conventional: Agency-eligible (1) $ 1,331,950 $ 1,279,712 $ 290,007 $ 277,355 Jumbo 51,594 50,976 138,390 135,008 Acquired for sale to PennyMac Loan Services, LLC — Government insured or guaranteed 830,330 793,972 209,325 198,265 $ 2,213,874 $ 2,124,660 $ 637,722 $ 610,628 Mortgage loans pledged to secure assets sold under agreements to repurchase $ 1,422,166 $ 609,608 Mortgage loans pledged to secure mortgage loan participation and sale agreements $ 72,819 $ 20,862 Mortgage loans pledged to secure credit risk transfer financing $ 656,377 $ — Mortgage loans pledged to secure Federal Home Loan Bank (“FHLB”) advances $ 48,627 $ — (1) Includes mortgage loans pooled under credit risk transfer financing with a fair value of $656.4 million. 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 mortgage loan. |
Derivative Financial Instrument
Derivative Financial Instruments | 6 Months Ended |
Jun. 30, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Financial Instruments | Note 9—Derivative Financial Instruments 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 MBS, IRLCs and inventory of 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 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. The Company is exposed to loss if mortgage interest rates increase, because the value of the purchase commitment or mortgage loan acquired for sale decreases. The Company is also exposed to risk relative to the fair value of its MSRs. The Company is exposed to loss in fair value of its MSRs when interest rates decrease. The Company includes MSRs in its hedging activities. The Company enters into Eurodollar futures contracts, which settle daily, to economically hedge net fair value changes of MBS at fair value and the related variable rate repurchase agreement liabilities indexed to LIBOR and a portion of fixed-rate mortgage loans at fair value held by its consolidated VIE. The Company uses the Eurodollar futures with the intention of moderating the risk of changing 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 had the following derivative assets and liabilities and related margin deposits recorded within Derivative assets Derivative liabilities June 30, 2015 December 31, 2014 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 1,503,814 $ 4,211 $ 4,478 695,488 $ 5,678 $ 17 Forward sales contracts 3,252,286 10,844 4,002 1,601,282 52 6,649 Forward purchase contracts 2,263,622 2,415 7,912 1,100,700 3,775 34 MBS put options 367,500 1,426 — 340,000 374 — MBS call options 40,000 169 — — — — Eurodollar future sale contracts 5,984,000 — — 7,426,000 — — Eurodollar future purchase contracts — — — 800,000 — — Treasury future contracts 40,000 1,210 164 85,000 — 478 Call options on interest rate futures 1,135,000 3,557 — 1,030,000 3,319 — Put options on interest rate futures 1,273,000 1,659 — 275,000 193 — Total derivative instruments before netting 25,491 16,556 13,391 7,178 Netting (11,541 ) (9,738 ) (2,284 ) (4,748 ) $ 13,950 $ 6,818 $ 11,107 $ 2,430 Margin deposits with (collateral received from) derivatives counterparties $ (1,803 ) $ 2,465 The following tables summarize the notional amount activity for derivative contracts used to hedge the Company’s IRLCs, inventory of mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS. Quarter ended June 30, 2015 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) Forward sales contracts 2,958,492 14,047,534 (13,753,740 ) 3,252,286 Forward purchase contracts 2,132,616 9,885,504 (9,754,498 ) 2,263,622 MBS put options 190,000 587,500 (410,000 ) 367,500 MBS call options — 140,000 (100,000 ) 40,000 Eurodollar future sale contracts 6,355,000 185,000 (556,000 ) 5,984,000 Treasury future contracts 85,000 65,000 (110,000 ) 40,000 Call option on interest rate futures 1,165,000 1,635,000 (1,665,000 ) 1,135,000 Put options on interest rate futures 1,020,000 1,548,000 (1,295,000 ) 1,273,000 Quarter ended June 30, 2014 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) Forward purchase contracts 1,777,353 12,037,081 (10,755,830 ) 3,058,604 Forward sales contracts 2,497,960 15,317,583 (13,629,910 ) 4,185,633 MBS put options 260,000 412,500 (280,000 ) 392,500 MBS call options 35,000 95,000 (35,000 ) 95,000 Eurodollar future sale contracts 6,084,000 336,000 (858,000 ) 5,562,000 Eurodollar future purchase contracts — 400,000 (400,000 ) — Treasury future sale contracts 75,000 117,000 (107,000 ) 85,000 Treasury future purchase contracts 380,000 125,000 (380,000 ) 125,000 Put options on interest rate futures 90,000 230,000 (90,000 ) 230,000 Six months ended June 30, 2015 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) Forward sales contracts 1,601,283 23,877,061 (22,226,058 ) 3,252,286 Forward purchase contracts 1,100,700 16,933,180 (15,770,258 ) 2,263,622 MBS put options 340,000 992,500 (965,000 ) 367,500 MBS call options — 140,000 (100,000 ) 40,000 Eurodollar future sale contracts 7,426,000 285,000 (1,727,000 ) 5,984,000 Eurodollar future purchase contracts 800,000 — (800,000 ) — Treasury future contracts 85,000 161,500 (206,500 ) 40,000 Call options on interest rate futures 1,030,000 2,275,000 (2,170,000 ) 1,135,000 Put options on interest rate futures 275,000 2,668,000 (1,670,000 ) 1,273,000 Six months ended June 30, 2014 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) Forward purchase contracts 2,781,066 18,434,899 (18,157,361 ) 3,058,604 Forward sales contracts 3,588,027 23,986,522 (23,388,917 ) 4,185,633 MBS put option 55,000 842,500 (505,000 ) 392,500 MBS call option 110,000 155,000 (170,000 ) 95,000 Eurodollar future sale contracts 8,779,000 462,000 (3,679,000 ) 5,562,000 Eurodollar future purchase contracts — 2,997,000 (2,997,000 ) — Treasury future sale contracts 105,000 220,800 (240,800 ) 85,000 Treasury future purchase contracts 52,500 562,000 (489,500 ) 125,000 Put options on interest rate futures — 380,000 (150,000 ) 230,000 Following are the net gains (losses) recognized by the Company on derivative financial instruments and the income statement line items where such gains and losses are included: Quarter ended June 30, Six months ended June 30, Hedged Item Income statement line 2015 2014 2015 2014 (in thousands) Interest rate lock commitments and mortgage loans acquired for sale Net gain on mortgage loans $ 25,566 $ (28,802 ) $ 10,456 $ (39,501 ) Mortgage servicing rights Net loan servicing fees $ (16,272 ) $ 4,286 $ (5,196 ) $ 4,186 Fixed-rate assets and LIBOR-indexed repurchase agreements Net gain on investments $ (1,256 ) $ 8,191 $ (11,294 ) $ (13,802 |
Mortgage Loans at Fair Value
Mortgage Loans at Fair Value | 6 Months Ended |
Jun. 30, 2015 | |
Text Block [Abstract] | |
Mortgage Loans at Fair Value | Note 10—Mortgage Loans at Fair Value Following is a summary of the distribution of the Company’s mortgage loans at fair value: June 30, 2015 December 31, 2014 Unpaid Unpaid Fair principal Fair principal Loan type value balance value balance (in thousands) Nonperforming mortgage loans $ 1,491,487 $ 2,103,796 $ 1,535,317 $ 2,246,585 Performing mortgage loans: Fixed interest rate 362,389 482,120 322,704 449,496 Adjustable-rate/hybrid 152,286 184,340 127,405 162,329 Interest rate step-up 240,620 344,418 213,999 323,350 Balloon 162 207 158 210 755,456 1,011,085 664,266 935,385 Fixed interest rate jumbo loans held in a VIE 483,876 484,105 527,369 517,500 $ 2,730,820 $ 3,598,986 $ 2,726,952 $ 3,699,470 Mortgage loans at fair value pledged to secure : Assets sold under agreements to repurchase $ 2,460,678 $ 2,543,242 FHLB advances $ 106,303 $ — Asset-backed secured financing $ 377,573 $ 527,369 Following is a summary of certain concentrations of credit risk in the portfolio of mortgage loans at fair value, excluding mortgage loans held in a VIE securing asset-backed financing: Concentration June 30, 2015 December 31, 2014 (percentages are fair value) Portion of mortgage loans originated between 2005 and 2007 73% 75% Percentage of fair value of mortgage loans with unpaid-principal balance-to-current-property-value in excess of 100% 50% 55% Percentage of mortgage loans secured by California real estate 23% 22% Additional states contributing 5% or more of mortgage loans New York New York |
Real Estate Acquired in Settlem
Real Estate Acquired in Settlement of Loans | 6 Months Ended |
Jun. 30, 2015 | |
Banking and Thrift [Abstract] | |
Real Estate Acquired in Settlement of Loans | Note 11—Real Estate Acquired in Settlement of Loans Following is a summary of financial information relating to REO: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Balance at beginning of period $ 317,536 $ 172,987 $ 303,228 $ 138,942 Purchases — — — 3,049 Transfers from mortgage loans at fair value and advances 71,963 105,245 158,078 174,147 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment (1,293 ) — (1,293 ) — Transfers from REO under forward purchase agreements — 12,645 — 12,737 Results of REO: Valuation adjustments, net (6,606 ) (8,865 ) (18,006 ) (17,273 ) Gain on sale, net 4,800 3,590 10,368 5,772 (1,806 ) (5,275 ) (7,638 ) (11,501 ) Proceeds from sales (62,122 ) (45,131 ) (128,097 ) (76,903 ) Balance at end of period $ 324,278 $ 240,471 $ 324,278 $ 240,471 At period end: REO pledged to secure assets sold under agreements to repurchase $ 55,420 $ 76,258 REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties $ 147,631 $ 31,426 |
Real Estate Acquired in Settl19
Real Estate Acquired in Settlement of Loans Under Forward Purchase Agreements | 6 Months Ended |
Jun. 30, 2015 | |
Text Block [Abstract] | |
Real Estate Acquired in Settlement of Loans Under Forward Purchase Agreements | Note 12—Real Estate Acquired in Settlement of Loans Under Forward Purchase Agreements The Company held no real estate acquired in settlement of loans under forward purchase agreements during the quarter and six months ended June 30, 2015. Following is a summary of the activity in REO under forward purchase agreements during the quarter and six months ended June 30, 2014: Quarter ended June 30, 2014 Six months ended June 30, 2014 (in thousands) Balance at beginning of period $ 13,890 $ 9,138 Purchases 29 68 Transfers from mortgage loans under forward purchase agreements at fair value and advances 2,542 9,369 Transfers to REO (12,646 ) (12,737 ) Results of REO under forward purchase agreements: Valuation adjustments, net (294 ) (779 ) Gain on sale, net 222 306 (72 ) (473 ) Proceeds from sales (3,743 ) (5,365 ) Balance at end of period $ — $ — |
Mortgage Servicing Rights
Mortgage Servicing Rights | 6 Months Ended |
Jun. 30, 2015 | |
Text Block [Abstract] | |
Mortgage Servicing Rights | Note 13—Mortgage Servicing Rights Carried at Fair Value: Following is a summary of MSRs carried at fair value: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Balance at beginning of period $ 49,448 $ 36,181 $ 57,358 $ 26,452 Addition resulting from mortgage loan sales 1,589 15,385 3,495 27,142 Change in fair value: Due to changes in valuation inputs or assumptions used in valuation model (1) 8,088 (3,636 ) (107 ) (4,868 ) Other changes in fair value (2) (1,782 ) (1,128 ) (3,403 ) (1,924 ) 6,307 (4,764 ) (3,510 ) (6,792 ) Balance at end of period $ 57,343 $ 46,802 $ 57,343 $ 46,802 MSRs pledged to secure note payable $ 57,343 $ — (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 June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Amortized Cost: Balance at beginning of period $ 323,806 $ 268,450 $ 308,137 $ 266,697 MSRs resulting from loan sales 30,587 13,356 56,141 22,474 Amortization (9,988 ) (7,696 ) (19,580 ) (15,061 ) Application of valuation allowance to write down MSRs with other-than temporary impairment — — — — Sales — — (293 ) — Balance at end of period 344,405 274,110 344,405 274,110 Valuation Allowance: Balance at beginning of period (14,093 ) (3,204 ) (7,714 ) (2,577 ) Reductions (Additions) 7,082 (2,224 ) 703 (2,851 ) Application of valuation allowance to write down MSRs with other-than temporary impairment — — — — Balance at end of period (7,011 ) (5,428 ) (7,011 ) (5,428 ) MSRs, net $ 337,394 $ 268,682 $ 337,394 $ 268,682 Estimated fair value at beginning of period $ 327,703 $ 289,934 $ 322,230 $ 289,737 Estimated fair value at end of period $ 362,908 $ 289,226 MSRs pledged to secure note payable $ 337,394 $ — The following table summarizes the Company’s estimate of future amortization of its existing MSRs carried at amortized cost. This estimate was developed with the inputs used in the June 30, 2015 valuation of MSRs. The inputs 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. Estimated MSR Twelve months ended June 30, amortization (in thousands) 2015 $ 35,410 2016 35,115 2017 32,863 2018 30,287 2019 27,621 Thereafter 183,109 Total $ 344,405 Servicing fees relating to MSRs are recorded in Net loan servicing fees Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Contractually-specified servicing fees $ 24,490 $ 18,234 $ 46,077 $ 35,051 |
Assets Sold Under Agreements to
Assets Sold Under Agreements to Repurchase | 6 Months Ended |
Jun. 30, 2015 | |
Text Block [Abstract] | |
Assets Sold Under Agreements to Repurchase | Note 14—Assets Sold Under Agreements to Repurchase Following is a summary of financial information relating to assets sold under agreements to repurchase: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (dollars in thousands) During the period: Weighted-average interest rate (1) 2.25 % 2.20 % 2.25 % 2.21 % Average balance $ 3,172,806 $ 2,253,127 $ 3,061,923 $ 2,025,678 Total interest expense $ 20,210 $ 15,143 $ 39,122 $ 27,682 Maximum daily amount outstanding $ 3,511,918 $ 2,814,572 $ 3,842,167 $ 2,814,572 At period end: Amount outstanding $ 3,501,925 $ 2,702,642 Unamortized debt issuance costs (1,356 ) (887 ) Balance $ 3,500,569 $ 2,701,755 Weighted-average interest rate 2.25 % 2.09 % Available borrowing capacity: Committed $ 242,310 $ 344,923 Uncommitted 129,723 828,885 $ 372,033 $ 1,173,808 Margin deposits placed with counterparties $ 12,848 $ 4,469 Fair value of assets securing agreements to repurchase: Mortgage-backed securities $ 278,305 $ 198,899 Mortgage loans acquired for sale at fair value 1,422,166 905,044 Mortgage loans at fair value 2,460,678 2,407,821 Real estate acquired in settlement of loans 203,051 107,684 $ 4,364,200 $ 3,619,448 (1) Excludes the effect of amortization of commitment fees and issuance costs of $2.2 million and $4.9 million for the quarter and six months ended June 30, 2015 and $2.6 million and $5.2 million for the quarter and six months ended June 30, 2014, respectively. Following is a summary of maturities of outstanding assets sold under agreements to repurchase by facility maturity date: Remaining Maturity at June 30, 2015 Balance (in thousands) Within 30 days $ 143,919 Over 30 to 90 days 1,329,621 Over 90 days to 180 days 1,096,036 Over 180 days to 1 year 490,783 Over 1 year to 2 year 441,566 $ 3,501,925 Weighted average maturity (in months) 5.6 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 fair value (as determined by the applicable lender) of the assets securing those agreements decreases. Margin deposits are included in Other assets 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 June 30, 2015: Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase Mortgage loans acquired for sale weighted-average Counterparty Amount at risk repurchase agreement maturity Facility maturity (in thousands) Credit Suisse First Boston Mortgage Capital LLC $ 170,684 September 18, 2015 October 30, 2015 Bank of America, N.A. $ 442,604 September 19, 2015 January 29, 2016 Morgan Stanley $ 15,200 August 22, 2015 December 17, 2015 Citibank, N.A. $ 333,424 July 29, 2015 September 7, 2015 JPMorgan Chase & Co. $ 177,811 - January 26, 2017 Securities sold under agreements to repurchase Counterparty Amount at risk Maturity (in thousands) Daiwa Capital Markets America Inc. $ 5,415 August 2, 2015 JPMorgan Chase & Co. $ 3,820 July 29, 2015 Bank of America, N.A. $ 12,528 August 16, 2015 Citibank, N.A. $ 416 September 30, 2015 The following is a summary of the tangible net worth and minimum required amounts for the Company and certain of its subsidiaries at June 30, 2015 to comply with the debt covenants contained in the borrowing agreements: Tangible net worth at Balance Minimum Entity (in thousands) PennyMac Mortgage Investment Trust $ 1,525,297 $ 860,000 Operating Partnership $ 1,579,016 $ 700,000 PennyMac Holdings, LLC $ 873,495 $ 250,000 PennyMac Corp $ 412,488 $ 150,000 |
Mortgage Loan Participation and
Mortgage Loan Participation and Sale Agreement | 6 Months Ended |
Jun. 30, 2015 | |
Text Block [Abstract] | |
Mortgage Loan Participation and Sale Agreement | Note 15—Mortgage Loan Participation and Sale Agreement One of the borrowing facilities secured by mortgage loans acquired for sale is in the form of a mortgage loan participation and sale agreement. Participation certificates, each of which represents an undivided beneficial ownership interest in a pool of mortgage loans that have been pooled with Fannie Mae or Freddie Mac, are sold to the lender pending the securitization of such mortgage loans and the sale of the resulting security. A commitment between the Company and a non-affiliate to sell such security is also assigned to the lender at the time a participation certificate is sold. The purchase price paid by the lender for each participation certificate is based on the trade price of the security, plus an amount of interest expected to accrue on the security to its anticipated delivery date, minus a present value adjustment, any related hedging costs and a holdback amount that is based on a percentage of the purchase price and is not required to be paid to the Company until the settlement of the security and its delivery to the lender. The mortgage loan participation and sale agreement is summarized below: Quarter ended 2015 Six months ended 2015 (dollars in thousands) During the period: Weighted-average interest rate (1) 1.43 % 1.43 % Average balance $ 60,363 $ 52,001 Total interest expense $ 266 $ 473 Maximum daily amount outstanding $ 148,032 $ 148,032 At period end: Amount outstanding $ 70,627 Unamortized debt issuance costs (15 ) Balance $ 70,612 Weighted-average interest rate 1.44 % Mortgage loans pledged to secure mortgage loan participation and sale agreement $ 72,819 (1) Excludes the effect of amortization of commitment fees of $47,000 and $99,000 for the quarter and six months ended June 30, 2015. |
Federal Home Loan Bank Advances
Federal Home Loan Bank Advances | 6 Months Ended |
Jun. 30, 2015 | |
Banking and Thrift [Abstract] | |
Federal Home Loan Bank Advances | Note 16—Federal Home Loan Bank Advances In June 2015, the Company entered into a collateral, pledge, and security agreement with the FHLB with no specified termination date. The Company may request advances up to a maximum of $400.0 million. At June 30, 2015, outstanding advances and the maximum outstanding for the quarter and six-month period then ended were $138.4 million with a weighted average interest rate of 0.24% and maturities of 30 days from the day of the advance. The Company pledged MBS of $9.3 million, mortgage loans at fair value of $106.3 million, and mortgage loans acquired for sale of $48.6 million as collateral for these borrowings. The Company is required to comply with certain financial covenants and must also maintain capital stock of 4%. |
Credit Risk Transfer Financing
Credit Risk Transfer Financing | 6 Months Ended |
Jun. 30, 2015 | |
Text Block [Abstract] | |
Credit Risk Transfer Financing | Note 17—Credit Risk Transfer Financing On May 11, 2015, the Company, through its wholly-owned subsidiary, PennyMac Corp. (“PMC”), entered into a credit risk transfer financing arrangement (the “CRT Financing Agreement”) with Fannie Mae, pursuant to which PMC may sell up to $1.1 billion in unpaid principal balance (“UPB”) of pools of mortgage loans while retaining a portion of the credit risk underlying such mortgage loans. Transfers of mortgage loans subject to the CRT Financing Agreement receive sale accounting treatment upon completion of the CRT Financing Agreement’s aggregation period and the sale to nonaffiliates of the MBS and a related interest-only stripped security resulting from the mortgage loans. At June 30, 2015, the aggregation period had not been completed. Accordingly, transfers of mortgage loans subject to the CRT Financing Agreement were not derecognized from the Company’s consolidated balance sheet and the transfers of mortgage loans subject to the CRT Financing Agreement were accounted for as non-recourse secured financings. As of June 30, 2015, the Company had pooled all mortgage loans under the CRT Financing Agreement with an aggregate fair value of $656.4 million, which is included in Mortgage loans acquired for sale at fair value Credit risk transfer financing at fair value |
Note Payable
Note Payable | 6 Months Ended |
Jun. 30, 2015 | |
Text Block [Abstract] | |
Note Payable | Note 18—Note Payable On March 31, 2015, the Company, through its wholly-owned subsidiary PennyMac Corp. entered into a Loan and Security Agreement with Citibank, N.A., pursuant to which PMC may finance certain of its mortgage servicing rights relating to mortgage loans pooled into Fannie Mae and/or Freddie Mac MBS in an aggregate loan amount not to exceed $250 million. The note matures on March 29, 2016. Following is a summary of financial information relating to the note payable: Quarter ended Six months ended June 30, 2015 June 30, 2015 (dollars in thousands) During the period: Weighted-average interest rate 4.18 % 4.18 % Average balance $ 104,797 $ 52,981 Total interest expense $ 994 $ 994 Maximum daily amount outstanding $ 192,352 $ 192,352 At period end: Amount outstanding Balance $ 192,352 Weighted-average interest rate 4.18 % Mortgage servicing rights pledged to secure note payable $ 394,737 |
Asset-Backed Secured Financing
Asset-Backed Secured Financing of the Variable Interest Entity at Fair Value | 6 Months Ended |
Jun. 30, 2015 | |
Text Block [Abstract] | |
Asset-Backed Secured Financing of the Variable Interest Entity at Fair Value | Note 19—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 VIE: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (dollars in thousands) During the period: Weighted-average fair value $ 159,236 $ 165,495 $ 162,361 $ 166,190 Interest expense $ 1,301 $ 1,561 $ 2,885 $ 3,178 Weighted-average effective interest rate 3.23 % 3.73 % 3.53 % 3.80 % At period end: Balance $ 151,489 $ 170,201 Interest rate 3.50 % 3.50 % The Asset-backed secured financing of the variable interest entity is a non-recourse liability and secured solely by the assets of the consolidated 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 | 6 Months Ended |
Jun. 30, 2015 | |
Text Block [Abstract] | |
Exchangeable Senior Notes | Note 20—Exchangeable Senior Notes PMC issued in a private offering $250 million aggregate principal amount of the Exchangeable Notes due May 1, 2020. The Exchangeable Notes bear interest at a rate of 5.375% per year, payable semiannually. The Exchangeable Notes are exchangeable into common shares of the Company at a rate of 33.8667 common shares per $1,000 principal amount of the Exchangeable Notes as of June 30, 2015, which exchange rate increased from the initial exchange rate of 33.5149. The increase in the calculated exchange rate was the result of cash dividends exceeding the dividend threshold amount of $0.57 per share as provided in the related indenture. Following is financial information relating to the Exchangeable Notes: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (dollars in thousands) During the period: Weighted-average unpaid principal balance $ 250,000 $ 250,000 $ 250,000 $ 250,000 Interest expense (1) $ 3,601 $ 3,587 $ 7,198 $ 7,171 At period end: Carrying value: Unpaid principal balance $ 250,000 $ 250,000 Unamortized issuance costs (5,441 ) (6,388 ) $ 244,559 $ 243,612 (1) Total interest expense includes amortization of debt issuance costs of $242,000 and $481,000 during the quarter and six months ended June 30, 2015, respectively, and $228,000 and $453,000 during the quarter and six months ended June 2014, respectively. |
Borrowings under Forward Purcha
Borrowings under Forward Purchase Agreements | 6 Months Ended |
Jun. 30, 2015 | |
Text Block [Abstract] | |
Borrowings under Forward Purchase Agreements | Note 21—Borrowings under Forward Purchase Agreements There were no borrowings under forward purchase agreements during the quarter and six months ended June 30, 2015. Following is a summary of financial information relating to borrowings under forward purchase agreements: Quarter ended June 30, 2014 Six months ended June 30, 2014 (dollars in thousands) During the period: Weighted-average effective interest rate 2.82 % 2.84 % Weighted-average balance $ 109,793 $ 165,471 Interest expense $ 783 $ 2,363 Maximum daily amount outstanding $ 226,847 $ 226,847 At period end: Balance $ — Interest rate 0.00 % Fair value of underlying loans and REO $ — |
Liability for Losses Under Repr
Liability for Losses Under Representations and Warranties | 6 Months Ended |
Jun. 30, 2015 | |
Text Block [Abstract] | |
Liability for Losses Under Representations and Warranties | Note 22—Liability for Losses Under Representations and Warranties Following is a summary of the Company’s liability for losses under representations and warranties: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Balance, beginning of period $ 15,379 $ 10,854 $ 14,242 $ 10,110 Provision for losses 1,419 1,022 2,344 1,766 Losses incurred (84 ) — (102 ) — Recoveries — — 230 — Balance, end of period $ 16,714 $ 11,876 $ 16,714 $ 11,876 Unpaid principal balance of mortgage loans subject to representations and warranties at period end $ 37,431,575 $ 29,806,058 |
Commitments and Contingencies
Commitments and Contingencies | 6 Months Ended |
Jun. 30, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 23—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 June 30, 2015, 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: June 30, 2015 (in thousands) Commitments to purchase mortgage loans: Mortgage loans acquired for sale at fair value $ 1,503,814 |
Shareholders' Equity
Shareholders' Equity | 6 Months Ended |
Jun. 30, 2015 | |
Equity [Abstract] | |
Shareholders' Equity | Note 24—Shareholders’ Equity At June 30, 2015, the Company had approximately $106.9 million of common shares available for issuance under its ATM Equity Offering Sales Agreement SM At June 30, 2014, the Company had approximately $115.0 million of common shares available for issuance under its ATM Equity Offering Sales Agreement SM |
Net Interest Income
Net Interest Income | 6 Months Ended |
Jun. 30, 2015 | |
Banking and Thrift, Interest [Abstract] | |
Net Interest Income | Note 25—Net Interest Income Net interest income is summarized below: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Interest income: From nonaffiliates: Short-term investments $ 82 $ 172 $ 302 $ 324 Mortgage-backed securities 2,505 1,961 5,139 3,722 Mortgage loans acquired for sale at fair value 10,315 5,574 17,416 9,199 Mortgage loans at fair value 22,171 30,813 43,725 54,099 Mortgage loans at fair value held by VIE 4,429 5,418 9,842 10,913 Mortgage loans under forward purchase agreements — 1,430 — 3,584 Other 13 12 24 22 39,515 45,380 76,448 81,863 From PennyMac Financial Services, Inc: Excess servicing spread purchased from PFSI, at fair value 5,818 3,138 9,570 6,001 45,333 48,518 86,018 87,864 Interest expense: From nonaffiliates: Assets sold under agreements to repurchase 20,208 15,143 39,120 27,682 Mortgage loans participation and sale agreement 266 — 473 — Credit risk transfer financing at fair value 1,113 — 1,113 — Asset-backed secured financing 1,301 1,561 2,884 3,178 Federal Home Loan Bank advances 2 — 2 — Exchangeable senior notes 3,601 3,587 7,198 7,171 Borrowings under forward purchase agreements — 783 — 2,363 Note payable 994 — 994 — Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 1,291 461 2,464 700 Interest on mortgage loan impound deposits 430 330 704 546 29,206 21,865 54,952 41,640 From PennyMac Financial Services, Inc: Note payable to PennyMac Financial Services, Inc. 533 — 533 — 29,739 21,865 55,485 41,640 Net interest income $ 15,594 $ 26,653 $ 30,533 $ 46,224 |
Net Gain on Mortgage Loans Acqu
Net Gain on Mortgage Loans Acquired for Sale | 6 Months Ended |
Jun. 30, 2015 | |
Text Block [Abstract] | |
Net Gain on Mortgage Loans Acquired for Sale | Note 26—Net Gain on Mortgage Loans Acquired for Sale Net gain on mortgage loans acquired for sale is summarized below: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Cash (loss) gain: Sales proceeds, net $ (51,218 ) $ (3,173 ) $ (58,762 ) $ (6,067 ) Hedging activities 18,713 (18,749 ) 6,186 (22,299 ) (32,505 ) (21,922 ) (52,576 ) (28,366 ) Non cash gain: Receipt of MSRs in loan sale transactions 32,176 28,741 59,636 49,616 Provision for losses relating to representations and warranties provided in loan sales (1,419 ) (1,022 ) (2,344 ) (1,766 ) Change in fair value of IRLCs, mortgage loans and hedging derivatives held at period end: IRLCs (8,481 ) 7,816 (5,927 ) 9,838 Mortgage loans 14,551 6,660 18,277 8,073 Hedging derivatives 6,853 (10,051 ) 4,269 (17,202 ) 12,923 4,425 16,619 709 $ 11,175 $ 10,222 $ 21,335 $ 20,193 |
Net Gain on Investments
Net Gain on Investments | 6 Months Ended |
Jun. 30, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |
Net Gain on Investments | Note 27—Net Gain on Investments Net gain on investments is summarized below: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Net gain (loss) on investments: From nonaffiliates: Mortgage-backed securities $ (6,702 ) $ 4,265 $ (5,186 ) $ 6,917 Mortgage loans 30,068 73,595 47,254 113,512 Mortgage loans held in a VIE (12,077 ) 16,177 (10,277 ) 27,484 Asset-backed secured financing 3,991 (5,175 ) 3,222 (7,954 ) Hedging derivatives (1,255 ) (8,191 ) (11,294 ) (13,802 ) 14,025 80,671 23,719 126,157 From PennyMac Financial Services, Inc: Excess servicing spread purchased from PFSI 8,589 (7,537 ) 2,342 (10,438 ) $ 22,614 $ 73,134 $ 26,061 $ 115,719 |
Net Loan Servicing Fees
Net Loan Servicing Fees | 6 Months Ended |
Jun. 30, 2015 | |
Text Block [Abstract] | |
Net Loan Servicing Fees | Note 28—Net Loan Servicing Fees Net loan servicing fees are summarized below: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Servicing fees (1) $ 25,887 $ 19,156 $ 48,516 $ 36,688 MSR recapture fee receivable from PFSI — 1 — 9 Effect of MSRs: Carried at lower of amortized cost or fair value Amortization (9,987 ) (7,696 ) (19,580 ) (15,061 ) Reversal of (provision for) impairment 7,082 (2,224 ) 703 (2,851 ) Gain on sale — — 83 — Carried at fair value - change in fair value 6,307 (4,764 ) (3,510 ) (6,792 ) (Losses) gains on hedging derivatives (16,272 ) 4,285 (5,193 ) 4,186 (12,870 ) (10,399 ) (27,497 ) (20,518 ) Net loan servicing fees $ 13,017 $ 8,758 $ 21,019 $ 16,179 Average servicing portfolio $ 35,742,835 $ 28,230,295 $ 35,215,677 $ 27,417,841 (1) Includes contractually specified servicing and ancillary fees. |
Share-Based Compensation Plans
Share-Based Compensation Plans | 6 Months Ended |
Jun. 30, 2015 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Share-Based Compensation Plans | Note 29—Share-Based Compensation Plans On June 30, 2015 and 2014, the Company had one share-based compensation plan. The Company recognized compensation expense of $1.1 million and $3.7 million for the quarter and six months ended June 30, 2015, compared to $1.6 million and $4.1 million for the same periods in 2014. The Company granted 294,684 and 300,131 restricted share units with a grant date fair value of $6.3 million and $6.0 million during the six months ended June 30, 2015 and the quarter and six months ended June 30, 2014, respectively. No restricted share units were granted during the quarter ended June 30, 2015. The Company had vestings of 226,700 and 301,763 restricted share units during the quarter and six months ended June 30, 2015, compared to 149,529 and 230,216 units for the same periods in 2014. |
Other Expenses
Other Expenses | 6 Months Ended |
Jun. 30, 2015 | |
Other Income and Expenses [Abstract] | |
Other Expenses | Note 30—Other Expenses Other expenses are summarized below: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Common overhead allocation from PFSI (1) $ 2,546 $ 2,638 $ 4,937 $ 5,216 Servicing and collection costs 3,182 3,114 4,627 3,745 Loan origination 1,176 397 2,129 435 Insurance 302 252 675 491 Technology 311 227 603 474 Other expenses 861 526 1,708 860 $ 8,378 $ 7,154 $ 14,679 $ 11,221 (1) For the quarter ended June 30, 2015, in accordance with the terms of the management agreement, PCM provided the Company a discretionary waiver of $700,000 of overhead expenses that otherwise would have been allocable to the Company. |
Income Taxes
Income Taxes | 6 Months Ended |
Jun. 30, 2015 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Note 31—Income Taxes The Company had a tax benefit of $3.0 million and $14.3 million for the quarter and six months ended June 30, 2015, as compared to a tax benefit of $1.9 million and $3.5 million for the same periods in 2014. The Company’s effective tax rate is (11.9)% and (67.3)% for the quarter and six months ended June 30, 2015, as compared to (2.6)% and (3.2)% for the same periods in 2014. The increase in the Company’s tax benefit is due primarily to an increased loss incurred at the Company’s taxable REIT subsidiary for the quarter and six months ended June 30, 2015 as compared to the same periods in 2014. The primary difference between the Company’s effective tax rate and the statutory tax rate is due to non-taxable REIT income resulting from the dividends paid deduction. 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 Informatio
Segments and Related Information | 6 Months Ended |
Jun. 30, 2015 | |
Segment Reporting [Abstract] | |
Segments and Related Information | Note 32—Segments and Related Information The Company has two segments: correspondent production and investment activities. • The correspondent production 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 PFSI. Most of the loans the Company has acquired in its correspondent production 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 fair 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 June 30, 2015 Correspondent Investment Intersegment Total (in thousands) Net investment income: Net gain on mortgage loans acquired for sale $ 11,175 $ — $ — $ 11,175 Net gain on investments — 22,614 — 22,614 Net interest income Interest income 8,997 36,336 — 45,333 Interest expense (4,763 ) (24,976 ) — (29,739 ) 4,234 11,360 — 15,594 Net loan servicing fees — 13,017 13,017 Other income (loss) 7,352 13 — 7,365 22,761 47,004 — 69,765 Expenses: Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc. 15,785 17,463 — 33,248 Other 1,754 9,675 — 11,429 17,539 27,138 — 44,677 Pre-tax income $ 5,222 $ 19,866 $ — $ 25,088 Total assets at period end $ 2,243,570 $ 4,433,804 $ — $ 6,677,374 Quarter ended June 30, 2014 Correspondent Investment Intersegment Total (in thousands) Net investment income: Net gain on mortgage loans acquired for sale $ 10,222 $ — $ — $ 10,222 Net gain on investments — 73,134 — 73,134 Net interest income Interest income 5,585 44,434 (1,501 ) 48,518 Interest expense (4,881 ) (18,485 ) 1,501 (21,865 ) 704 25,949 — 26,653 Net loan servicing fees — 8,758 8,758 Other income (loss) 4,485 (2,696 ) — 1,789 15,411 105,145 — 120,556 Expenses: Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc. 12,749 22,776 — 35,525 Other 265 11,462 — 11,727 13,014 34,238 — 47,252 Pre-tax income $ 2,397 $ 70,907 $ — $ 73,304 Total assets at period end $ 927,849 $ 3,941,896 $ — $ 4,869,745 Six months ended June 30, 2015 Correspondent Investment Intersegment Total (in thousands) Net investment income: Net gain on mortgage loans acquired for sale $ 21,335 $ — $ — $ 21,335 Net gain on investments — 26,061 — 26,061 Net interest income Interest income 16,109 69,909 — 86,018 Interest expense (8,583 ) (46,902 ) — (55,485 ) 7,526 23,007 — 30,533 Net loan servicing fees — 21,019 21,019 Other income (loss) 12,703 (4,229 ) — 8,474 41,564 65,858 — 107,422 Expenses: Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc. 28,956 34,831 — 63,787 Other 2,938 19,429 — 22,367 31,894 54,260 — 86,154 Pre-tax income $ 9,670 $ 11,598 $ — $ 21,268 Total assets at period end $ 2,243,570 $ 4,433,804 $ — $ 6,677,374 Six months ended June 30, 2014 Correspondent Investment Intersegment Total (in thousands) Net investment income: Net gain on mortgage loans acquired for sale $ 20,193 $ — $ — $ 20,193 Net gain on investments — 115,719 — 115,719 Net interest income Interest income 9,220 81,032 (2,388 ) 87,864 Interest expense (8,536 ) (35,492 ) 2,388 (41,640 ) 684 45,540 — 46,224 Net loan servicing fees — 16,179 — 16,179 Other income (loss) 6,841 (8,005 ) — (1,164 ) 27,718 169,433 — 197,151 Expenses: Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc. 21,821 45,271 — 67,092 Other 353 20,114 — 20,467 22,174 65,385 — 87,559 Pre-tax income $ 5,544 $ 104,048 $ — $ 109,592 Total assets at period end $ 927,849 $ 3,941,896 $ — $ 4,869,745 |
Supplemental Cash Flow Informat
Supplemental Cash Flow Information | 6 Months Ended |
Jun. 30, 2015 | |
Supplemental Cash Flow Elements [Abstract] | |
Supplemental Cash Flow Information | Note 33—Supplemental Cash Flow Information Six months ended June 30, 2015 2014 (in thousands) Cash paid for interest $ 53,449 $ 50,926 Income tax paid (refund) $ 401 $ (6,775 ) Non-cash investing activities: Transfer of mortgage loans and advances to real estate acquired in settlement of loans $ 158,078 $ 174,147 Purchase of mortgage loans financed through forward purchase agreements $ — $ 1,386 Transfer of mortgage loans under forward purchase agreements to mortgage loans at fair value $ — $ 205,903 Transfer of mortgage loans under forward purchase agreements and advances to REO under forward purchase agreements $ — $ 9,369 Receipt of MSRs as proceeds from sales of loans $ 59,636 $ 49,616 Purchase of REO financed through forward purchase agreements $ — $ 68 Receipt of ESS pursuant to recapture agreement with PFSI $ 2,565 $ 3,475 Transfer of REO under forward purchase agreements to REO $ — $ 12,737 Non-cash financing activities: Purchase of mortgage loans financed through forward purchase agreements $ — $ 1,386 Purchase of REO financed through forward purchase agreements $ — $ 68 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment $ 1,548 $ — Transfer of mortgage loans at fair value financed through agreements to repurchase to REO financed under agreements to repurchase $ 24,972 $ 2,123 Dividends payable $ 46,074 $ 43,743 |
Regulatory Net Worth
Regulatory Net Worth | 6 Months Ended |
Jun. 30, 2015 | |
Mortgage Banking [Abstract] | |
Regulatory Net Worth | Note 34—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 are a minimum net worth of $61.3 million and $35.8 million, respectively. Management believes that PMC complies with Fannie Mae’s and Freddie Mac’s net worth requirements as of June 30, 2015. |
Recently Issued Accounting Pron
Recently Issued Accounting Pronouncements | 6 Months Ended |
Jun. 30, 2015 | |
Accounting Changes and Error Corrections [Abstract] | |
Recently Issued Accounting Pronouncements | Note 35—Recently Issued Accounting Pronouncements In April of 2015, the FASB issued ASU No. 2015-03. The amendments in this ASU require that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts. The recognition and measurement guidance for debt issuance costs are not affected by the amendments in this ASU. ASU 2015-03 should be applied on a retrospective basis and is effective for the Company for financial statements issued for fiscal years and interim periods within those fiscal years beginning after December 15, 2015. The Company adopted ASU 2015-03 during the quarter ended June 30, 2015. As a result of the adoption of ASU 2015-03, the Company reclassified $6.8 million in debt issuance costs from Other Mortgage loans sold under agreements to repurchase Mortgage loan participation and sale agreement Exchangeable senior notes |
Subsequent Events
Subsequent Events | 6 Months Ended |
Jun. 30, 2015 | |
Subsequent Events [Abstract] | |
Subsequent Events | Note 36—Subsequent Events Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period: • On July 27, 2015, the Company, through PennyMac Corp., entered into an amendment to its master repurchase agreement with Morgan Stanley Bank, N.A. (“Morgan Stanley”). The primary purpose of the amendment was to temporarily increase the maximum aggregate transaction limit from $300 million to $400 million, until December 1, 2015, with such $100 million increase on an uncommitted basis. The Company, through PMC, is required to pay Morgan Stanley certain costs and expenses associated with the preparation of the amendment. All other terms and conditions of the repurchase agreement remain the same in all material respects. • On July 31, 2015, the Company, through the Operating Partnership, entered into an amendment to its master repurchase agreement with Bank of America, N.A (“BANA”). The primary purpose of the amendment was to temporarily increase the maximum aggregate transaction limit from $550 million to $650 million, until September 30, 2015, with such $100 million increase on an uncommitted basis. The Company, through the Operating Partnership, is required to pay BANA a facility fee relating to the increase in the aggregate transaction limit, as well as certain other costs and expenses associated with the preparation of the amendment. All other terms and conditions of the repurchase agreement remain the same in all material respects. |
Organization and Basis of Pre44
Organization and Basis of Presentation (Policies) | 6 Months Ended |
Jun. 30, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Segment Reporting | The Company operates in two segments correspondent production and investment activities: • The correspondent production 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 (“PCM” or the “Manager”) and PennyMac Loan Services, LLC (“PLS” or the “Servicer”), both indirect subsidiaries of PennyMac Financial Services, Inc. (“PFSI”). Most of the mortgage loans the Company has acquired in its correspondent production 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 fair value of its acquired distressed mortgage loans 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 (“GAAP”) as codified in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification The accompanying unaudited consolidated financial statements reflect all normal recurring adjustments necessary to present fairly the financial position, income, and cash flows for the interim periods, but are not necessarily indicative of the results of operations to be anticipated for the full year ending December 31, 2015. Intercompany accounts and transactions have been eliminated. |
Reclassification of Previously Presented Balances | Reclassification of previously presented balances In April of 2015, the FASB issued Accounting Standards Update (“ASU”) No. 2015-03, Interest—Imputation of Interest (Subtopic 835-30): Simplifying the Presentation of Debt Issuance Costs Other Mortgage loans sold under agreements to repurchase |
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 Servicer’s 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 mortgage 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 mortgage 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 common shares. Unvested share-based compensation awards containing non-forfeitable rights to receive dividends or dividend equivalents (collectively, “dividends”) are classified as “participating securities” and are included in the basic earnings per share calculation using the two-class method. 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 “Exchangeable Notes”), by the weighted-average common 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. |
Fair Value Measurement | The Company’s consolidated financial statements include assets and liabilities that are measured based on their 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 the Manager has elected to carry the item at its fair value as discussed in the following paragraphs. Fair Value Accounting Elections The Manager identified all of the Company’s non-cash financial assets and MSRs relating to loans with initial interest rates of more than 4.5%, to be accounted for at fair value. The Manager 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. The Manager has also identified the Company’s asset-backed secured financing of the VIE 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 at fair value collateralizing this financing. The Company’s subsequent accounting for MSRs is based on the class of MSRs. Originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5% are accounted for using the amortization method. Originated MSRs backed by loans with initial interest rates of more than 4.5% are accounted for at fair value with changes in fair value recorded in current period income. |
Recently Issued Accounting Pronouncements | Recently Issued Accounting Pronouncements In April of 2015, the FASB issued ASU No. 2015-03. The amendments in this ASU require that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts. The recognition and measurement guidance for debt issuance costs are not affected by the amendments in this ASU. ASU 2015-03 should be applied on a retrospective basis and is effective for the Company for financial statements issued for fiscal years and interim periods within those fiscal years beginning after December 15, 2015. The Company adopted ASU 2015-03 during the quarter ended June 30, 2015. As a result of the adoption of ASU 2015-03, the Company reclassified $6.8 million in debt issuance costs from Other Mortgage loans sold under agreements to repurchase Mortgage loan participation and sale agreement Exchangeable senior notes |
Organization and Basis of Pre45
Organization and Basis of Presentation (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Summary of Reclassifications of Previously Presented Balances | Following is a summary of the balance sheet reclassifications: December 31, 2014 As reported As previously reported Reclassification (in thousands) ASSETS Other assets $ 59,155 $ 66,193 $ (7,038 ) Total assets $ 4,897,258 $ 4,904,296 $ (7,038 ) LIABILITIES Assets sold under agreements to repurchase $ 2,729,027 $ 2,730,130 $ (1,103 ) Mortgage loan participation and sale agreement 20,222 20,236 (14 ) Exchangeable senior notes 244,079 250,000 (5,921 ) Total liabilities 3,319,086 3,326,124 (7,038 ) Total liabilities and shareholders’ equity $ 4,897,258 $ 4,904,296 $ (7,038 ) |
Concentration of Risks (Tables)
Concentration of Risks (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
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 in prior years 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 June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Investment portfolio purchases: Mortgage loans $ — $ 27,203 $ 241,981 $ 284,403 REO — 30 — 3,117 $ — $ 27,233 $ 241,981 $ 287,520 Investment portfolio purchases above through one or more subsidiaries of Citigroup Inc.: Mortgage loans $ — $ 26,737 $ — $ 26,737 REO — 30 — 68 $ — $ 26,767 $ — $ 26,805 Following is a summary of the Company’s holdings of assets purchased through one or more subsidiaries of Citigroup Inc.: June 30, December 31, (in thousands) Mortgage loans at fair value $ 882,881 $ 943,163 REO 93,171 108,302 $ 976,052 $ 1,051,465 Total holdings of mortgage loans and REO $ 3,055,098 $ 3,030,180 |
Consolidated Statements of Income and Cash Flows | As a result of recognizing these assets, the Company’s consolidated statements of income and cash flows for the periods presented include the following amounts related to the forward purchase agreements: Quarter ended Six months ended (in thousands) Statements of income: Interest income $ 1,430 $ 3,584 Interest expense $ 783 $ 2,364 Net gain on investments $ 1,743 $ 803 Net loan servicing fees $ 201 $ 517 Results of REO $ (72 ) $ (473 ) Statements of cash flows: Repayments of mortgage loans $ 1,084 $ 6,413 Sales of REO $ 3,743 $ 5,365 Repayments of borrowings under forward purchase agreements $ (214,742 ) $ (227,866 ) |
Transactions with Related Par47
Transactions with Related Parties (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Related Party Transactions [Abstract] | |
Summary of Corresponding Production Activity | Following is a summary of correspondent production activity between the Company and PLS: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Fulfillment fee expense earned by PLS $ 15,333 $ 12,433 $ 28,199 $ 21,335 Unpaid principal balance of loans fulfilled by PLS $ 3,579,078 $ 2,991,764 $ 6,469,210 $ 4,911,342 Sourcing fees received from PLS $ 2,427 $ 1,125 $ 3,848 $ 2,017 Unpaid principal balance of loans sold to PLS $ 8,082,764 $ 3,748,874 $ 12,818,138 $ 6,722,951 Purchases of mortgage loans acquired for sale at fair value from PLS $ 2,423 $ 1,985 $ 10,828 $ 1,985 Tax service fees paid to PLS $ 1,113 $ 684 $ 2,002 $ 1,050 At period end: Mortgage loans included in mortgage loans acquired for sale pending sale to PLS $ 830,330 $ 304,707 |
Summary of Mortgage Loan Servicing Fees Earned | Following is a summary of mortgage loan servicing fees earned by PLS: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Mortgage loans acquired for sale at fair value: Base $ 42 $ 29 $ 68 $ 46 Activity-based 59 51 90 77 101 80 158 123 Distressed mortgage loans: Base 4,183 4,975 8,215 9,941 Activity-based 3,093 5,746 5,987 12,132 7,276 10,721 14,202 22,073 MSRs: Base 4,654 3,323 8,310 6,471 Activity-based 105 56 136 104 4,759 3,379 8,446 6,575 $ 12,136 $ 14,180 $ 22,806 $ 28,771 Average investment in: Mortgage loans acquired for sale at fair value $ 1,014,883 $ 519,357 $ 887,660 $ 428,941 Distressed mortgage loans $ 2,295,807 $ 2,133,587 $ 2,303,080 $ 2,042,362 Average mortgage loans servicing portfolio $ 35,742,835 $ 28,230,295 $ 35,215,677 $ 27,417,841 |
Summary of Investing and Financing Activities | Following is a summary of investing and financing activities between the Company and PFSI: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Purchases of ESS $ 140,875 $ 52,867 $ 187,287 $ 73,393 Interest income from ESS $ 5,818 $ 3,138 $ 9,570 $ 6,001 Net gain (loss) on ESS $ 7,133 $ (10,062 ) $ (403 ) $ (14,854 ) ESS recapture recognized $ 1,456 $ 2,525 $ 2,745 $ 4,415 Repayment of ESS $ 18,352 $ 9,081 $ 31,083 $ 16,494 MSR recapture recognized $ — $ 1 $ — $ 9 Advances under note payable to PLS $ 71,072 $ — $ 71,072 $ — Repayment of note payable to PLS $ 18,546 $ — $ 18,546 $ — Interest income from note payable to PLS $ 535 $ — $ 535 $ — |
Summary of Management Fee Expense and Related Liability | Following is a summary of the base management and performance incentive fees payable to PCM recorded by the Company: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Base $ 5,709 $ 5,838 $ 11,439 $ 11,359 Performance incentive 70 3,074 1,343 5,627 Total management fee incurred during the period $ 5,779 $ 8,912 $ 12,782 $ 16,986 |
Summary of Expenses | The Company reimburses PCM and its affiliates for other expenses, including common overhead expenses incurred on its behalf by PCM and its affiliates, in accordance with the terms of its management agreement as summarized below: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Reimbursement of: Common overhead incurred by PCM and its affiliates (1) $ 2,702 $ 2,691 $ 5,431 $ 5,269 Expenses incurred on the Company’s behalf 83 104 462 549 $ 2,785 $ 2,795 $ 5,893 $ 5,818 Payments and settlements during the period (2) $ 24,114 $ 14,894 $ 46,866 $ 33,280 (1) For the quarter ended June 30, 2015, in accordance with the terms of the management agreement, PCM provided the Company a discretionary waiver of $700,000 of overhead expenses that otherwise would have been allocable to the Company. (2) Payments and settlements include payments for management fees and correspondent production 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 PCM and its affiliates are summarized below: June 30, December 31, 2015 2014 (in thousands) Allocated expenses $ 5,893 $ 6,582 Management fees 5,779 8,426 Servicing fees 3,667 3,457 Conditional Reimbursement 906 1,136 Unsettled ESS investment — 3,836 Fulfillment fees — 506 $ 16,245 $ 23,943 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
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 June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands except per share amounts) Basic earnings per share: Net income $ 28,071 $ 75,211 $ 35,579 $ 113,084 Effect of participating securities—share-based compensation awards (438 ) (433 ) (1,015 ) (841 ) Net income attributable to common shareholders $ 27,633 $ 74,778 $ 34,564 $ 112,243 Weighted-average shares outstanding 74,683 74,065 74,618 72,803 Basic earnings per share $ 0.37 $ 1.01 $ 0.46 $ 1.54 Diluted earnings per share: Net income $ 27,633 $ 75,211 $ 34,564 $ 113,084 Interest on Exchangeable Notes, net of income taxes 2,121 2,079 — 4,156 Net income attributable to diluted shareholders $ 29,754 $ 77,290 $ 34,564 $ 117,240 Weighted-average shares outstanding 74,683 74,065 74,618 72,803 Potentially dilutive securities: Shares issuable pursuant to exchange of the Exchangeable Notes 8,467 8,393 — 8,393 Shares issuable under share-based compensation plan 330 292 379 338 Diluted weighted-average number of shares outstanding 83,480 82,750 74,997 81,535 Diluted earnings per share $ 0.36 $ 0.93 $ 0.46 $ 1.44 |
Loan Sales and Variable Inter49
Loan Sales and Variable Interest Entities (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Summary of Cash Flows between Company and Transferees in Transfers Accounted for Sales | The following table summarizes cash flows between the Company and transferees in transfers that are accounted for as sales where PMT maintains continuing involvement with the mortgage loans, as well as unpaid principal balance information at period end: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Cash flows: Proceeds from sales $ 3,063,397 $ 2,763,138 $ 5,707,641 $ 4,789,444 Servicing fees received (1) $ 22,738 $ 19,019 $ 44,641 $ 34,907 Period end information: Unpaid principal balance of mortgage loans outstanding $ 36,448,945 $ 29,268,039 Unpaid principal balance of delinquent mortgage loans: 30-89 days delinquent $ 129,316 $ 90,091 90 or more days delinquent Not in foreclosure 28,805 13,325 In foreclosure or bankruptcy 20,063 11,306 48,868 24,631 $ 178,184 $ 114,722 (1) Net of guarantee fees. |
Netting of Financial Instrume50
Netting of Financial Instruments (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Text Block [Abstract] | |
Summary of 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. June 30, 2015 December 31, 2014 Net Net Gross amounts Gross amounts amounts of assets amounts of assets Gross offset presented Gross offset presented amounts in the in the amounts in the in the of consolidated consolidated of consolidated consolidated recognized balance balance recognized balance balance assets sheet sheet assets sheet sheet (in thousands) Derivatives subject to master netting arrangements: MBS put options $ 1,426 $ — $ 1,426 $ 374 $ — $ 374 MBS call options 169 — 169 — — — Forward purchase contracts 2,415 — 2,415 3,775 — 3,775 Forward sale contracts 10,844 — 10,844 52 — 52 Put options on interest rate futures 1,659 — 1,659 193 — 193 Call options on interest rate futures 3,557 — 3,557 3,319 — 3,319 Treasury futures contracts 1,210 — 1,210 — — — Netting — (11,541 ) (11,541 ) — (2,284 ) (2,284 ) 21,280 (11,541 ) 9,739 7,713 (2,284 ) 5,429 Derivatives not subject to master netting arrangements: Interest rate lock commitments 4,211 — 4,211 5,678 — 5,678 $ 25,491 $ (11,541 ) $ 13,950 $ 13,391 $ (2,284 ) $ 11,107 |
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. June 30, 2015 December 31, 2014 Gross amounts Gross amounts not offset in the not offset in the consolidated consolidated balance sheet balance sheet Net amount Net amount of assets of assets presented presented in the Cash in the Cash consolidated Financial collateral Net consolidated Financial collateral Net balance sheet instruments received amount balance sheet instruments received amount (in thousands) Interest rate lock commitments $ 4,211 $ — $ — $ 4,211 $ 5,678 $ — $ — $ 5,678 RJ O’Brien & Associates, LLC 4,924 — — 4,924 3,034 — — 3,034 Jefferies Group, LLC 1,438 1,438 133 — — 133 JP Morgan Chase & Co. 973 — — 973 — — — — Fannie Mae Capital Markets 712 — — 712 — — — — Daiwa Capital Markets 78 — — 78 29 — — 29 Credit Suisse First Boston Mortgage Capital LLC 4 — — 4 253 — — 253 Bank of America, N.A. — — — — 738 — — 738 Morgan Stanley Bank, N.A. — — — — 104 — — 104 Other 1,610 — — 1,610 1,138 — — 1,138 Total $ 13,950 $ — $ — $ 13,950 $ 11,107 $ — $ — $ 11,107 |
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 setoff accounting. June 30, 2015 December 31, 2014 Net Net amounts amounts Gross amounts of liabilities Gross of liabilities Gross offset presented Gross amounts offset presented amounts in the in the amounts in the in the of consolidated consolidated of consolidated consolidated recognized balance balance recognized balance balance liabilities sheet sheet liabilities sheet sheet (in thousands) Derivatives subject to master netting arrangements: Forward purchase contracts $ 7,912 $ — $ 7,912 $ 34 $ — $ 34 Forward sales contracts 4,002 — 4,002 6,649 — 6,649 Treasury futures contracts 164 — 164 478 — 478 Netting — (9,738 ) (9,738 ) — (4,748 ) (4,748 ) 12,078 (9,738 ) 2,340 7,161 (4,748 ) 2,413 Derivatives not subject to master netting arrangements: Interest rate lock commitments 4,478 — 4,478 17 — 17 16,556 (9,738 ) 6,818 7,178 (4,748 ) 2,430 Assets sold under agreements to repurchase Amount outstanding 3,501,925 — 3,501,925 2,729,027 — 2,729,027 Unamortized issuance costs (1,356 ) — (1,356 ) (1,117 ) — (1,117 ) 3,500,569 — 3,500,569 2,730,144 — 2,730,144 $ 3,517,125 $ (9,738 ) $ 3,507,387 $ 2,737,322 $ (4,748 ) $ 2,732,575 |
Summary of Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty | Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty The following table summarizes by significant counterparty the amount of derivative liabilities and assets sold under agreements to repurchase after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance qualifying for netting. All assets sold under agreements to repurchase represent sufficient collateral or exceed the liability amount recorded on the consolidated balance sheet. June 30, 2015 December 31, 2014 Gross amounts Gross amounts not offset in the not offset in the consolidated consolidated balance sheet balance sheet Net amount of Net amount of liabilities liabilities presented presented in the in the consolidated Cash consolidated Cash balance Financial collateral Net balance Financial collateral Net sheet instruments pledged amount sheet instruments pledged amount (in thousands) Interest rate lock commitments $ 4,478 $ — $ — $ 4,478 $ 17 $ — $ — $ 17 Morgan Stanley Bank, N.A. 273,173 (273,125 ) — 48 121,975 (121,975 ) — — Credit Suisse First Boston Mortgage Capital LLC 858,824 (858,824 ) — — 966,155 (966,155 ) — — Citibank 1,113,055 (1,113,055 ) — — 797,851 (797,663 ) — 188 Bank of America, N.A. 696,438 (696,438 ) — — 508,922 (508,922 ) — — RBS Securities — — — — 208,520 (208,520 ) — — Daiwa Capital Markets 120,436 (120,436 ) — — 126,909 (126,909 ) — — JPMorgan Chase & Co. 440,047 (440,047 ) — — — — — — Other 2,292 — — 2,292 2,225 — — 2,225 Total $ 3,508,743 $ (3,501,925 ) $ — $ 6,818 $ 2,732,574 $ (2,730,144 ) $ — $ 2,430 |
Fair Value (Tables)
Fair Value (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Summary of Financial Statement Items Measured at Fair Value on Recurring Basis | Following is a summary of financial statement items that are measured at fair value on a recurring basis: June 30, 2015 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 32,417 $ — $ — $ 32,417 Mortgage-backed securities at fair value — 287,626 — 287,626 Mortgage loans acquired for sale at fair value — 2,213,874 — 2,213,874 Mortgage loans at fair value — 483,876 2,246,944 2,730,820 Excess servicing spread purchased from PFSI — — 359,102 359,102 Derivative assets: Interest rate lock commitments — — 4,211 4,211 MBS put options — 1,426 — 1,426 MBS call options — 169 — 169 Forward purchase contracts — 2,415 — 2,415 Forward sales contracts — 10,844 — 10,844 Treasury futures contracts 1,210 — — 1,210 Put options on interest rate futures 1,659 — — 1,659 Call options on interest rate futures 3,557 — — 3,557 Total derivative assets before netting 6,426 14,854 4,211 25,491 Netting (1) — — — (11,541 ) Total derivative assets after netting 6,426 14,854 4,211 13,950 Mortgage servicing rights at fair value — — 57,343 57,343 $ 38,843 $ 3,000,230 $ 2,667,600 $ 5,695,132 Liabilities: Credit risk transfer financing at fair value $ — $ 649,120 $ — $ 649,120 Asset-backed secured financing of the variable interest entity at fair value — 151,489 — 151,489 Derivative liabilities: Interest rate lock commitments — — 4,478 4,478 Treasury futures 164 — — 164 Forward purchase contracts — 7,912 — 7,912 Forward sales contracts — 4,002 — 4,002 Total derivative liabilities before netting 164 11,914 4,478 16,556 Netting (1) — — — (9,738 ) Total derivative liabilities after netting 164 11,914 4,478 6,818 Total liabilities $ 164 $ 812,523 $ 4,478 $ 807,427 (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, 2014 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 139,900 $ — $ — $ 139,900 Mortgage-backed securities at fair value — 307,363 — 307,363 Mortgage loans acquired for sale at fair value — 637,722 — 637,722 Mortgage loans at fair value — 527,369 2,199,583 2,726,952 Excess servicing spread purchased from PFSI — — 191,166 191,166 Derivative assets: Interest rate lock commitments — — 5,678 5,678 MBS put options — 374 — 374 Forward purchase contracts — 3,775 — 3,775 Forward sales contracts — 52 — 52 Put options on interest rate futures 193 — — 193 Call options on interest rate futures 3,319 — — 3,319 Total derivative assets 3,512 4,201 5,678 13,391 Netting (1) — — — (2,284 ) Total derivative assets after netting 3,512 4,201 5,678 11,107 Mortgage servicing rights at fair value — — 57,358 57,358 $ 143,412 $ 1,476,655 $ 2,453,785 $ 4,071,568 Liabilities: Asset-backed secured financing of the variable interest entity at fair value $ — $ 165,920 $ — $ 165,920 Derivative liabilities: Interest rate lock commitments — — 17 17 MBS call options 478 — — 478 Forward purchase contracts — 34 — 34 Forward sales contracts — 6,649 — 6,649 Total derivative liabilities 478 6,683 17 7,178 Netting (1) — — — (4,748 ) Total derivative liabilities 478 6,683 17 2,430 Total liabilities $ 478 $ 172,603 $ 17 $ 168,350 (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: Quarter ended June 30, 2015 Mortgage Excess Interest Mortgage loans servicing rate lock servicing at fair value spread commitments (1) rights Total (in thousands) Assets: Balance, March 31, 2015 $ 2,343,382 $ 222,309 $ 8,214 $ 49,448 $ 2,623,353 Purchases — 140,874 — — 140,874 Repayments and sales (68,190 ) (18,352 ) — — (86,542 ) Capitalization of interest 9,922 — — — 9,922 Accrual of interest — 5,819 — — 5,819 ESS received pursuant to a recapture agreement with PFSI — 1,319 — — 1,319 Interest rate lock commitments issued, net — — 11,683 — 11,683 Servicing received as proceeds from sales of mortgage loans — — — 1,588 1,588 Changes in instrument-specific credit risk 7,489 — — 7,489 Other factors 22,579 7,133 (23,411 ) 6,307 12,608 30,068 7,133 (23,411 ) 6,307 20,097 Transfers of mortgage loans to REO (68,238 ) — — — (68,238 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — 3,247 — 3,247 Balance, June 30, 2015 $ 2,246,944 $ 359,102 $ (267 ) $ 57,343 $ 2,663,122 Changes in fair value recognized during the period relating to assets still held at June 30, 2015 $ 32,807 $ 7,133 $ (267 ) $ 6,307 $ 45,980 (1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. Quarter ended June 30, 2014 Mortgage Mortgage loans under Excess Net interest Mortgage loans forward purchase servicing rate lock servicing at fair value agreements spread commitments (1) rights Total (in thousands) Assets: Balance, March 31, 2014 $ 2,079,020 $ 202,661 $ 151,019 $ 3,271 $ 36,181 $ 2,472,152 Purchases 26,737 466 52,867 — — 80,070 Repayments and sales (140,807 ) (1,084 ) (9,080 ) — — (150,971 ) Capitalization of interest 17,042 1,057 — — — 18,099 Accrual of interest — — 3,138 — — 3,138 ESS received pursuant to a recapture agreement with PFSI — — 2,362 — — 2,362 Interest rate lock commitments issued, net — — — 19,158 — 19,158 Servicing received as proceeds from sales of mortgage loans — — — — 15,385 15,385 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 19,326 1,236 — — — 20,562 Other factors 52,525 507 (10,062 ) 9,563 (4,764 ) 47,769 71,851 1,743 (10,062 ) 9,563 (4,764 ) 68,331 Transfers of mortgage loans under forward purchase agreements to mortgage loans 201,443 (201,443 ) — — — — Transfers of mortgage loans to REO (98,785 ) — — — — (98,785 ) Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements — (3,400 ) — — — (3,400 ) Transfers of interest rate lock commitments to mortgage loans — — — (20,905 ) — (20,905 ) Balance, June 30, 2014 $ 2,156,501 $ — $ 190,244 $ 11,087 $ 46,802 $ 2,404,634 Changes in fair value recognized during the period relating to assets still held at June 30, 2014 $ 50,613 $ — $ (10,062 ) $ 11,088 $ (4,764 ) $ 46,875 (1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. Six months ended June 30, 2015 Mortgage Excess Interest Mortgage loans servicing rate lock servicing at fair value spread commitments (1) rights Total (in thousands) Assets: Balance, December 31, 2014 $ 2,199,583 $ 191,166 $ 5,661 $ 57,358 $ 2,453,768 Purchases 241,981 187,287 — — 429,268 Repayments and sales (114,070 ) (31,083 ) — — (145,153 ) Capitalization of interest 20,130 — — — 20,130 Accrual of interest — 9,570 — — 9,570 ESS received pursuant to a recapture agreement with PFSI — 2,565 — — 2,565 Interest rate lock commitments issued, net — — 31,083 — 31,083 Servicing received as proceeds from sales of mortgage loans — — — 3,495 3,495 Changes in instrument-specific credit risk 19,057 — — 19,057 Other factors 28,196 (403 ) (23,399 ) (3,510 ) 884 47,253 (403 ) (23,399 ) (3,510 ) 19,941 Transfers of mortgage loans to REO (147,933 ) — — — (147,933 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (13,612 ) — (13,612 ) Balance, June 30, 2015 $ 2,246,944 $ 359,102 $ (267 ) $ 57,343 $ 2,663,122 Changes in fair value recognized during the period relating to assets still held at June 30, 2015 $ 54,574 $ (403 ) $ (267 ) $ (3,510 ) $ 50,394 (1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. Six months ended June 30, 2014 Mortgage at fair value Mortgage loans under Excess Net interest rate lock Mortgage Total (in thousands) Assets: Balance, December 31, 2013 $ 2,076,665 $ 218,128 $ 138,723 $ 1,249 $ 26,452 $ 2,461,217 Purchases 283,017 1,386 73,393 — — 357,796 Repayments and sales (387,430 ) (6,413 ) (16,494 ) — — (410,337 ) Capitalization of interest 28,553 1,801 — — — 30,354 Accrual of interest — — 6,001 — — 6,001 ESS received pursuant to a recapture agreement with PFSI — — 3,475 — — 3,475 Interest rate lock commitments issued, net — — — 31,754 — 31,754 Servicing received as proceeds from sales of mortgage loans — — — — 27,142 27,142 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 42,629 2,269 — — 44,898 Other factors 70,080 (1,466 ) (14,854 ) 11,993 (6,792 ) 58,961 112,709 803 (14,854 ) 11,993 (6,792 ) 103,859 Transfers of mortgage loans under forward purchase agreements to mortgage loans 205,902 (205,902 ) — — — — Transfers of mortgage loans to REO (162,915 ) — — — — (162,915 ) Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements — (9,803 ) — — — (9,803 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — — (33,909 ) — (33,909 ) Balance, June 30, 2014 $ 2,156,501 $ — $ 190,244 $ 11,087 $ 46,802 $ 2,404,634 Changes in fair value recognized during the period relating to assets still held at June 30, 2014 $ 73,951 $ — $ (14,854 ) $ 11,087 $ (6,792 ) $ 63,392 (1) For 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 and mortgage loans held in a consolidated VIE): June 30, 2015 Principal amount due Fair value upon maturity Difference (in thousands) Mortgage loans acquired for sale at fair value: Current through 89 days delinquent $ 2,212,726 $ 2,123,424 $ 89,302 90 or more days delinquent (1) Not in foreclosure 554 547 7 In foreclosure 594 689 (95 ) 1,148 1,236 (88 ) 2,213,874 2,124,660 89,214 Other mortgage loans at fair value: Current through 89 days delinquent 1,239,333 1,495,190 (255,857 ) 90 or more days delinquent (1) Not in foreclosure 597,859 839,463 (241,604 ) In foreclosure 893,628 1,264,333 (370,705 ) 1,491,487 2,103,796 (612,309 ) 2,730,820 3,598,986 (868,166 ) $ 4,944,694 $ 5,723,646 $ (778,952 ) (1) Loans delinquent 90 or more days are placed on nonaccrual status and previously accrued interest is reversed. December 31, 2014 Principal amount due Fair value upon maturity Difference (in thousands) Mortgage loans acquired for sale: Current through 89 days delinquent $ 637,518 $ 610,372 $ 27,146 90 or more days delinquent (1) Not in foreclosure 204 255 (51 ) In foreclosure — — — 204 255 (51 ) 637,722 610,627 27,095 Other mortgage loans at fair value: Current through 89 days delinquent 1,191,635 1,452,885 (261,250 ) 90 or more days delinquent (1) Not in foreclosure 608,144 875,214 (267,070 ) In foreclosure 927,173 1,371,371 (444,198 ) 1,535,317 2,246,585 (711,268 ) 2,726,952 3,699,470 (972,518 ) $ 3,364,674 $ 4,310,097 $ (945,423 ) (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 June 30, 2015 Net gain on mortgage loans Net Net gain Net loan acquired interest on servicing for sale income investments fees Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — (23 ) (6,702 ) — (6,725 ) Mortgage loans acquired for sale at fair value (5,017 ) — — — (5,017 ) Mortgage loans at fair value — (310 ) 17,990 — 17,680 Excess servicing spread at fair value — — 8,589 — 8,589 Mortgage servicing rights at fair value — — — 6,307 6,307 $ (5,017 ) $ (333 ) $ 19,877 $ 6,307 $ 20,834 Liabilities: Asset-backed secured financing at fair value $ — $ 51 $ 3,991 $ — $ 4,042 $ — $ 51 $ 3,991 $ — $ 4,042 Quarter ended June 30, 2014 Net gain on mortgage loans Net Net gain Net loan acquired interest on servicing for sale income investments fees Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — 155 4,081 — 4,236 Mortgage loans acquired for sale at fair value 31,202 — — — 31,202 Mortgage loans at fair value — 223 88,029 — 88,252 Mortgage loans under forward purchase agreements at fair value — — 1,743 — 1,743 Excess servicing spread at fair value — — (7,537 ) — (7,537 ) Mortgage servicing rights at fair value — — — (4,764 ) (4,764 ) $ 31,202 $ 378 $ 86,316 $ (4,764 ) $ 113,132 Liabilities: Asset-backed secured financing at fair value $ (5,175 ) $ (80 ) $ — $ — $ (5,255 ) $ (5,175 ) $ (80 ) $ — $ — $ (5,255 ) Six months ended June 30, 2015 Net gain on Net Net gain Net loan acquired interest on servicing for sale income investments fees Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — 63 (5,186 ) — (5,123 ) Mortgage loans acquired for sale at fair value 18,064 — — — 18,064 Mortgage loans at fair value — 179 36,977 — 37,156 Mortgage loans under forward purchase agreements at fair value — — — — — Excess servicing spread at fair value — — 2,342 — 2,342 Mortgage servicing rights at fair value — — — (3,510 ) (3,510 ) $ 18,064 $ 242 $ 34,133 $ (3,510 ) $ 48,929 Liabilities: Asset-backed secured financing at fair value $ — $ (122 ) $ 3,222 $ — $ 3,100 $ — $ (122 ) $ 3,222 $ — $ 3,100 Six months ended June 30, 2014 Net gain on mortgage loans Net Net gain Net loan acquired interest on servicing for sale income investments fees Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — 188 6,734 — 6,922 Mortgage loans acquired for sale at fair value 49,834 — — — 49,834 Mortgage loans at fair value — 553 140,194 — 140,747 Mortgage loans under forward purchase agreements at fair value — — 803 — 803 Excess servicing spread at fair value — — (10,438 ) — (10,438 ) Mortgage servicing rights at fair value — — — (6,792 ) (6,792 ) $ 49,834 $ 741 $ 137,293 $ (6,792 ) $ 181,076 Liabilities: Asset-backed secured financing at fair value $ (7,954 ) $ (204 ) $ — $ — $ (8,158 ) $ (7,954 ) $ (204 ) $ — $ — $ (8,158 ) |
Summary of Financial Statement Items Re-measured at Fair Value on Nonrecurring Basis | Following is a summary of financial statement items that were re-measured at fair value on a nonrecurring basis during the periods presented: June 30, 2015 Level 1 Level 2 Level 3 Total (in thousands) Real estate asset acquired in settlement of loans $ — $ — $ 150,121 $ 150,121 Mortgage servicing rights at lower of amortized cost or fair value — — 112,363 112,363 $ — $ — $ 262,484 $ 262,484 December 31, 2014 Level 1 Level 2 Level 3 Total (in thousands) Real estate asset acquired in settlement of loans $ — $ — $ 157,203 $ 157,203 Mortgage servicing rights at lower of amortized cost or fair value — — 91,990 91,990 $ — $ — $ 249,193 $ 249,193 |
Summary of Fair Value Changes Recognized on Assets Held Measured at Estimated Fair Values on Nonrecurring Basis | The following table summarizes the fair value changes recognized during the period on assets held at period end that were measured at estimated fair values on a nonrecurring basis: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Real estate asset acquired in settlement of loans $ (6,491 ) $ (7,942 ) $ (13,800 ) $ (12,525 ) Mortgage servicing rights at lower of amortized cost or fair value 7,082 (2,224 ) 703 (2,851 ) $ 591 $ (10,166 ) $ (13,097 ) $ (15,376 ) |
Quantitative Summary of Key Inputs Used in Valuation of Mortgage Loans at Fair Value | Following is a quantitative summary of key inputs used in the valuation of mortgage loans at fair value: Key inputs June 30, 2015 December 31, 2014 Discount rate Range 2.3% – 15.0% 2.3% – 15.0% Weighted average 7.2% 7.7% Twelve-month projected housing price index change Range 1.9% – 5.2% 4.0% – 5.3% Weighted average 3.9% 4.8% Prepayment speed (1) Range 0.1% – 5.1% 0.0% – 6.5% Weighted average 3.6% 3.1% Total prepayment speed (2) Range 3.6% – 29.6% 0.0% – 27.9% Weighted average 20.9% 21.6% (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 June 30, 2015 December 31, 2014 Unpaid principal balance of underlying mortgage loans (in thousands) $46,809,508 $28,227,340 Average servicing fee rate (in basis points) 32 31 Average ESS rate (in basis points) 16 16 Pricing spread (1) Range 1.7% – 12.4% 1.7% – 12.0% Weighted average 5.0% 5.3% Life (in years) Range 0.3 – 7.3 0.4 – 7.3 Weighted average 6.2 5.8 Annual total prepayment speed (2) Range 7.6% – 74.3% 7.6% – 74.6% Weighted average 9.7% 11.2% (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: Key inputs June 30, 2015 December 31, 2014 Pull-through rate Range 63.6% – 99.9% 65.0% – 98.0% Weighted average 93.7% 94.9% MSR value expressed as: Servicing fee multiple Range 1.4 – 5.2 0.7 – 5.2 Weighted average 4.4 4.3 Percentage of unpaid principal balance Range 0.3% – 3.7% 0.2% – 1.3% Weighted average 1.1% 1.1% |
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 June 30, 2015 2014 Amortized Fair Amortized Fair cost value cost value (MSR recognized and unpaid principal balance of underlying loan amounts in MSR and pool characteristics: MSR recognized $ 30,587 $ 1,589 $ 13,356 $ 15,385 Unpaid principal balance of underlying mortgage loans $ 3,346,010 $ 176,404 $ 1,244,538 $ 1,458,400 Weighted-average annual servicing fee rate (in basis points) 25 25 25 25 Key inputs: Pricing spread (1) Range 6.5% – 13.0% 9.0% – 16.3% 6.3% – 14.3% 8.5% – 10.3% Weighted average 8.1% 10.1% 8.7% 9.1% Life (in years) Range 2.6 – 7.3 2.3 – 7.3 1.3 – 7.3 3.2 – 7.3 Weighted average 6.7 6.8 6.1 7.1 Annual total prepayment speed (2) Range 7.6% – 28.6% 8.3% – 34.2% 7.6% – 50.9% 8.1% – 25.4% Weighted average 8.3% 10.6% 10.4% 9.6% Annual per-loan cost of servicing Range $62 – $62 $62 – $62 $68 – $100 $68 – $68 Weighted average $62 $62 $68 $68 Six months ended June 30, 2015 2014 Amortized Fair Amortized Fair cost value cost value (MSR recognized and unpaid principal balance of underlying loan amounts in MSR and pool characteristics: MSR recognized $ 56,141 $ 3,495 $ 22,474 $ 27,142 Unpaid principal balance of underlying mortgage loans $ 5,628,766 $ 400,057 $ 2,095,087 $ 2,550,114 Weighted-average annual servicing fee rate (in basis points) 26 26 25 25 Key inputs: Pricing spread (1) Range 6.5% – 17.5% 9.0% – 16.3% 6.3% – 14.3% 8.5% – 12.3% Weighted average 8.3% 10.6% 8.6% 9.0% Life (in years) Range 1.3 – 7.7 2.3 – 7.3 1.1 – 7.3 2.8 – 7.3 Weighted average 6.6 6.3 6.0 7.1 Annual total prepayment speed (2) Range 7.6% – 51.0% 8.3% – 34.2% 7.6% – 56.4% 8.0% – 25.4% Weighted average 8.7% 12.3% 10.4% 9.5% Annual per-loan cost of servicing Range $62 – $134 $62 – $62 $68 – $100 $68 – $68 Weighted average $63 $62 $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 Inputs | Following is a quantitative summary of key inputs used in the valuation of MSRs as of the dates presented, and the effect on the fair value from adverse changes in those inputs: June 30, 2015 December 31, 2014 Amortized Fair Amortized Fair cost value cost value (Carrying value, unpaid principal balance and effect on fair value amounts in thousands) MSR and pool characteristics: Carrying value $ 337,394 $ 57,343 $ 300,422 $ 57,358 Unpaid principal balance of underlying mortgage loans $ 30,687,534 $ 5,761,411 $ 28,006,797 $ 6,278,676 Weighted-average annual servicing fee rate (in basis points) 26 25 26 25 Weighted-average note interest rate 3.81 % 4.77 % 3.80 % 4.78 % Key inputs: Pricing spread (1) (2) Range 6.3% – 17.5% 7.8% – 16.3% 6.3% – 17.5% 8.1% – 16.3% Weighted average 7.6% 9.7% 7.9% 10.3% Effect on fair value of a: 5% adverse change $(6,593) $(992) $(5,801) $(937) 10% adverse change $(12,968) $(1,951) $(11,410) $(1,845) 20% adverse change $(25,098) $(3,779) $(22,086) $(3,577) Weighted average life (in years) Range 1.7 – 7.3 2.2 – 7.3 1.8 – 7.2 1.8 – 7.2 Weighted average 6.4 6.9 6.4 6.7 Prepayment speed (1) (3) Range 7.6% – 38.3% 8.0% – 31.4% 7.8% – 47.9% 8.0% – 39.6% Weighted average 8.4% 10.1% 8.8% 11.4% Effect on fair value of a: 5% adverse change $(6,824) $(1,350) $(6,166) $(1,430) 10% adverse change $(13,437) $(2,652) $(12,138) $(2,803) 20% adverse change $(26,066) $(5,116) $(23,532) $(5,394) Annual per-loan cost of servicing Range $62 – $134 $62 – $134 $62 – $134 $62 – $134 Weighted average $62 $62 $62 $62 Effect on fair value of a: 5% adverse change $(2,063) $(356) $(1,807) $(334) 10% adverse change $(4,127) $(711) $(3,614) $(668) 20% adverse change $(8,253) $(1,422) $(7,228) $(1,337) (1) The effect on value of an adverse change in one of the above-mentioned key inputs may result in recognition of MSR impairment. The extent of impairment recognized will depend on the relationship of fair value to the carrying value of MSRs. (2) Pricing spread represents a margin that is added 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. (3) Prepayment speed is measured using Life Total CPR. |
Mortgage Loans Acquired for S52
Mortgage Loans Acquired for Sale at Fair Value (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Mortgage Loans on Real Estate [Abstract] | |
Summary of Distribution of Company's 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: June 30, 2015 December 31, 2014 Unpaid Unpaid Fair principal Fair principal value balance value balance Loan type (in thousands) Conventional: Agency-eligible (1) $ 1,331,950 $ 1,279,712 $ 290,007 $ 277,355 Jumbo 51,594 50,976 138,390 135,008 Acquired for sale to PennyMac Loan Services, LLC — Government insured or guaranteed 830,330 793,972 209,325 198,265 $ 2,213,874 $ 2,124,660 $ 637,722 $ 610,628 Mortgage loans pledged to secure assets sold under agreements to repurchase $ 1,422,166 $ 609,608 Mortgage loans pledged to secure mortgage loan participation and sale agreements $ 72,819 $ 20,862 Mortgage loans pledged to secure credit risk transfer financing $ 656,377 $ — Mortgage loans pledged to secure Federal Home Loan Bank (“FHLB”) advances $ 48,627 $ — (1) Includes mortgage loans pooled under credit risk transfer financing with a fair value of $656.4 million. |
Derivative Financial Instrume53
Derivative Financial Instruments (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
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 Derivative liabilities June 30, 2015 December 31, 2014 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 1,503,814 $ 4,211 $ 4,478 695,488 $ 5,678 $ 17 Forward sales contracts 3,252,286 10,844 4,002 1,601,282 52 6,649 Forward purchase contracts 2,263,622 2,415 7,912 1,100,700 3,775 34 MBS put options 367,500 1,426 — 340,000 374 — MBS call options 40,000 169 — — — — Eurodollar future sale contracts 5,984,000 — — 7,426,000 — — Eurodollar future purchase contracts — — — 800,000 — — Treasury future contracts 40,000 1,210 164 85,000 — 478 Call options on interest rate futures 1,135,000 3,557 — 1,030,000 3,319 — Put options on interest rate futures 1,273,000 1,659 — 275,000 193 — Total derivative instruments before netting 25,491 16,556 13,391 7,178 Netting (11,541 ) (9,738 ) (2,284 ) (4,748 ) $ 13,950 $ 6,818 $ 11,107 $ 2,430 Margin deposits with (collateral received from) derivatives counterparties $ (1,803 ) $ 2,465 |
Net Gains (Losses) Recognized on Derivative Financial Instruments | Following are the net gains (losses) recognized by the Company on derivative financial instruments and the income statement line items where such gains and losses are included: Quarter ended June 30, Six months ended June 30, Hedged Item Income statement line 2015 2014 2015 2014 (in thousands) Interest rate lock commitments and mortgage loans acquired for sale Net gain on mortgage loans $ 25,566 $ (28,802 ) $ 10,456 $ (39,501 ) Mortgage servicing rights Net loan servicing fees $ (16,272 ) $ 4,286 $ (5,196 ) $ 4,186 Fixed-rate assets and LIBOR-indexed repurchase agreements Net gain on investments $ (1,256 ) $ 8,191 $ (11,294 ) $ (13,802 ) |
Mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS securities [Member] | |
Summary of Activity in Notional Amount of Derivative Contracts | The following tables summarize the notional amount activity for derivative contracts used to hedge the Company’s IRLCs, inventory of mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS. Quarter ended June 30, 2015 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) Forward sales contracts 2,958,492 14,047,534 (13,753,740 ) 3,252,286 Forward purchase contracts 2,132,616 9,885,504 (9,754,498 ) 2,263,622 MBS put options 190,000 587,500 (410,000 ) 367,500 MBS call options — 140,000 (100,000 ) 40,000 Eurodollar future sale contracts 6,355,000 185,000 (556,000 ) 5,984,000 Treasury future contracts 85,000 65,000 (110,000 ) 40,000 Call option on interest rate futures 1,165,000 1,635,000 (1,665,000 ) 1,135,000 Put options on interest rate futures 1,020,000 1,548,000 (1,295,000 ) 1,273,000 Quarter ended June 30, 2014 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) Forward purchase contracts 1,777,353 12,037,081 (10,755,830 ) 3,058,604 Forward sales contracts 2,497,960 15,317,583 (13,629,910 ) 4,185,633 MBS put options 260,000 412,500 (280,000 ) 392,500 MBS call options 35,000 95,000 (35,000 ) 95,000 Eurodollar future sale contracts 6,084,000 336,000 (858,000 ) 5,562,000 Eurodollar future purchase contracts — 400,000 (400,000 ) — Treasury future sale contracts 75,000 117,000 (107,000 ) 85,000 Treasury future purchase contracts 380,000 125,000 (380,000 ) 125,000 Put options on interest rate futures 90,000 230,000 (90,000 ) 230,000 Six months ended June 30, 2015 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) Forward sales contracts 1,601,283 23,877,061 (22,226,058 ) 3,252,286 Forward purchase contracts 1,100,700 16,933,180 (15,770,258 ) 2,263,622 MBS put options 340,000 992,500 (965,000 ) 367,500 MBS call options — 140,000 (100,000 ) 40,000 Eurodollar future sale contracts 7,426,000 285,000 (1,727,000 ) 5,984,000 Eurodollar future purchase contracts 800,000 — (800,000 ) — Treasury future contracts 85,000 161,500 (206,500 ) 40,000 Call options on interest rate futures 1,030,000 2,275,000 (2,170,000 ) 1,135,000 Put options on interest rate futures 275,000 2,668,000 (1,670,000 ) 1,273,000 Six months ended June 30, 2014 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) Forward purchase contracts 2,781,066 18,434,899 (18,157,361 ) 3,058,604 Forward sales contracts 3,588,027 23,986,522 (23,388,917 ) 4,185,633 MBS put option 55,000 842,500 (505,000 ) 392,500 MBS call option 110,000 155,000 (170,000 ) 95,000 Eurodollar future sale contracts 8,779,000 462,000 (3,679,000 ) 5,562,000 Eurodollar future purchase contracts — 2,997,000 (2,997,000 ) — Treasury future sale contracts 105,000 220,800 (240,800 ) 85,000 Treasury future purchase contracts 52,500 562,000 (489,500 ) 125,000 Put options on interest rate futures — 380,000 (150,000 ) 230,000 |
Mortgage Loans at Fair Value (T
Mortgage Loans at Fair Value (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
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: June 30, 2015 December 31, 2014 Unpaid Unpaid Fair principal Fair principal Loan type value balance value balance (in thousands) Nonperforming mortgage loans $ 1,491,487 $ 2,103,796 $ 1,535,317 $ 2,246,585 Performing mortgage loans: Fixed interest rate 362,389 482,120 322,704 449,496 Adjustable-rate/hybrid 152,286 184,340 127,405 162,329 Interest rate step-up 240,620 344,418 213,999 323,350 Balloon 162 207 158 210 755,456 1,011,085 664,266 935,385 Fixed interest rate jumbo loans held in a VIE 483,876 484,105 527,369 517,500 $ 2,730,820 $ 3,598,986 $ 2,726,952 $ 3,699,470 Mortgage loans at fair value pledged to secure : Assets sold under agreements to repurchase $ 2,460,678 $ 2,543,242 FHLB advances $ 106,303 $ — Asset-backed secured financing $ 377,573 $ 527,369 |
Summary of Certain Concentrations of Credit Risk in Portfolio of Mortgage Loans at Fair Value, Excluding VIE Securing Asset-Backed Financing | Following is a summary of certain concentrations of credit risk in the portfolio of mortgage loans at fair value, excluding mortgage loans held in a VIE securing asset-backed financing: Concentration June 30, 2015 December 31, 2014 (percentages are fair value) Portion of mortgage loans originated between 2005 and 2007 73% 75% Percentage of fair value of mortgage loans with unpaid-principal balance-to-current-property-value in excess of 100% 50% 55% Percentage of mortgage loans secured by California real estate 23% 22% Additional states contributing 5% or more of mortgage loans New York New York |
Real Estate Acquired in Settl55
Real Estate Acquired in Settlement of Loans (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Banking and Thrift [Abstract] | |
Summary of Financial Information Relating to REO | Following is a summary of financial information relating to REO: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Balance at beginning of period $ 317,536 $ 172,987 $ 303,228 $ 138,942 Purchases — — — 3,049 Transfers from mortgage loans at fair value and advances 71,963 105,245 158,078 174,147 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment (1,293 ) — (1,293 ) — Transfers from REO under forward purchase agreements — 12,645 — 12,737 Results of REO: Valuation adjustments, net (6,606 ) (8,865 ) (18,006 ) (17,273 ) Gain on sale, net 4,800 3,590 10,368 5,772 (1,806 ) (5,275 ) (7,638 ) (11,501 ) Proceeds from sales (62,122 ) (45,131 ) (128,097 ) (76,903 ) Balance at end of period $ 324,278 $ 240,471 $ 324,278 $ 240,471 At period end: REO pledged to secure assets sold under agreements to repurchase $ 55,420 $ 76,258 REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties $ 147,631 $ 31,426 |
Real Estate Acquired in Settl56
Real Estate Acquired in Settlement of Loans Under Forward Purchase Agreements (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
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 during the quarter and six months ended June 30, 2014: Quarter ended June 30, 2014 Six months ended June 30, 2014 (in thousands) Balance at beginning of period $ 13,890 $ 9,138 Purchases 29 68 Transfers from mortgage loans under forward purchase agreements at fair value and advances 2,542 9,369 Transfers to REO (12,646 ) (12,737 ) Results of REO under forward purchase agreements: Valuation adjustments, net (294 ) (779 ) Gain on sale, net 222 306 (72 ) (473 ) Proceeds from sales (3,743 ) (5,365 ) Balance at end of period $ — $ — |
Mortgage Servicing Rights (Tabl
Mortgage Servicing Rights (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Summary of MSRs Carried at Fair Value | Following is a summary of MSRs carried at fair value: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Balance at beginning of period $ 49,448 $ 36,181 $ 57,358 $ 26,452 Addition resulting from mortgage loan sales 1,589 15,385 3,495 27,142 Change in fair value: Due to changes in valuation inputs or assumptions used in valuation model (1) 8,088 (3,636 ) (107 ) (4,868 ) Other changes in fair value (2) (1,782 ) (1,128 ) (3,403 ) (1,924 ) 6,307 (4,764 ) (3,510 ) (6,792 ) Balance at end of period $ 57,343 $ 46,802 $ 57,343 $ 46,802 MSRs pledged to secure note payable $ 57,343 $ — (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 June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Amortized Cost: Balance at beginning of period $ 323,806 $ 268,450 $ 308,137 $ 266,697 MSRs resulting from loan sales 30,587 13,356 56,141 22,474 Amortization (9,988 ) (7,696 ) (19,580 ) (15,061 ) Application of valuation allowance to write down MSRs with other-than temporary impairment — — — — Sales — — (293 ) — Balance at end of period 344,405 274,110 344,405 274,110 Valuation Allowance: Balance at beginning of period (14,093 ) (3,204 ) (7,714 ) (2,577 ) Reductions (Additions) 7,082 (2,224 ) 703 (2,851 ) Application of valuation allowance to write down MSRs with other-than temporary impairment — — — — Balance at end of period (7,011 ) (5,428 ) (7,011 ) (5,428 ) MSRs, net $ 337,394 $ 268,682 $ 337,394 $ 268,682 Estimated fair value at beginning of period $ 327,703 $ 289,934 $ 322,230 $ 289,737 Estimated fair value at end of period $ 362,908 $ 289,226 MSRs pledged to secure note payable $ 337,394 $ — |
Summary of Company's Estimate of Future Amortization of Existing MSRs Carried at Amortized Cost | The following table summarizes the Company’s estimate of future amortization of its existing MSRs carried at amortized cost. This estimate was developed with the inputs used in the June 30, 2015 valuation of MSRs. The inputs 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. Estimated MSR Twelve months ended June 30, amortization (in thousands) 2015 $ 35,410 2016 35,115 2017 32,863 2018 30,287 2019 27,621 Thereafter 183,109 Total $ 344,405 |
Mortgage service rights [Member] | |
Summary of Net Loan Servicing Fees Relating to MSRs | Servicing fees relating to MSRs are recorded in Net loan servicing fees Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Contractually-specified servicing fees $ 24,490 $ 18,234 $ 46,077 $ 35,051 |
Assets Sold Under Agreements 58
Assets Sold Under Agreements to Repurchase (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase | Following is a summary of financial information relating to assets sold under agreements to repurchase: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (dollars in thousands) During the period: Weighted-average interest rate (1) 2.25 % 2.20 % 2.25 % 2.21 % Average balance $ 3,172,806 $ 2,253,127 $ 3,061,923 $ 2,025,678 Total interest expense $ 20,210 $ 15,143 $ 39,122 $ 27,682 Maximum daily amount outstanding $ 3,511,918 $ 2,814,572 $ 3,842,167 $ 2,814,572 At period end: Amount outstanding $ 3,501,925 $ 2,702,642 Unamortized debt issuance costs (1,356 ) (887 ) Balance $ 3,500,569 $ 2,701,755 Weighted-average interest rate 2.25 % 2.09 % Available borrowing capacity: Committed $ 242,310 $ 344,923 Uncommitted 129,723 828,885 $ 372,033 $ 1,173,808 Margin deposits placed with counterparties $ 12,848 $ 4,469 Fair value of assets securing agreements to repurchase: Mortgage-backed securities $ 278,305 $ 198,899 Mortgage loans acquired for sale at fair value 1,422,166 905,044 Mortgage loans at fair value 2,460,678 2,407,821 Real estate acquired in settlement of loans 203,051 107,684 $ 4,364,200 $ 3,619,448 (1) Excludes the effect of amortization of commitment fees and issuance costs of $2.2 million and $4.9 million for the quarter and six months ended June 30, 2015 and $2.6 million and $5.2 million for the quarter and six months ended June 30, 2014, respectively. |
Summary of Maturities of Outstanding Assets Sold under Agreements to Repurchase by Facility Maturity Date | Following is a summary of maturities of outstanding assets sold under agreements to repurchase by facility maturity date: Remaining Maturity at June 30, 2015 Balance (in thousands) Within 30 days $ 143,919 Over 30 to 90 days 1,329,621 Over 90 days to 180 days 1,096,036 Over 180 days to 1 year 490,783 Over 1 year to 2 year 441,566 $ 3,501,925 Weighted average maturity (in months) 5.6 |
Covenant Compliance | The following is a summary of the tangible net worth and minimum required amounts for the Company and certain of its subsidiaries at June 30, 2015 to comply with the debt covenants contained in the borrowing agreements: Tangible net worth at Balance Minimum Entity (in thousands) PennyMac Mortgage Investment Trust $ 1,525,297 $ 860,000 Operating Partnership $ 1,579,016 $ 700,000 PennyMac Holdings, LLC $ 873,495 $ 250,000 PennyMac Corp $ 412,488 $ 150,000 |
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 June 30, 2015: Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase Mortgage loans acquired for sale weighted-average Counterparty Amount at risk repurchase agreement maturity Facility maturity (in thousands) Credit Suisse First Boston Mortgage Capital LLC $ 170,684 September 18, 2015 October 30, 2015 Bank of America, N.A. $ 442,604 September 19, 2015 January 29, 2016 Morgan Stanley $ 15,200 August 22, 2015 December 17, 2015 Citibank, N.A. $ 333,424 July 29, 2015 September 7, 2015 JPMorgan Chase & Co. $ 177,811 - January 26, 2017 |
Securities sold under agreements to repurchase at fair value [Member] | |
Summary of Assets Sold under Agreements to Repurchase by Counterparty | Securities sold under agreements to repurchase Counterparty Amount at risk Maturity (in thousands) Daiwa Capital Markets America Inc. $ 5,415 August 2, 2015 JPMorgan Chase & Co. $ 3,820 July 29, 2015 Bank of America, N.A. $ 12,528 August 16, 2015 Citibank, N.A. $ 416 September 30, 2015 |
Mortgage Loan Participation a59
Mortgage Loan Participation and Sale Agreement (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Text Block [Abstract] | |
Summary of Mortgage Loan Participation and Sale Agreement | The mortgage loan participation and sale agreement is summarized below: Quarter ended 2015 Six months ended 2015 (dollars in thousands) During the period: Weighted-average interest rate (1) 1.43 % 1.43 % Average balance $ 60,363 $ 52,001 Total interest expense $ 266 $ 473 Maximum daily amount outstanding $ 148,032 $ 148,032 At period end: Amount outstanding $ 70,627 Unamortized debt issuance costs (15 ) Balance $ 70,612 Weighted-average interest rate 1.44 % Mortgage loans pledged to secure mortgage loan participation and sale agreement $ 72,819 (1) Excludes the effect of amortization of commitment fees of $47,000 and $99,000 for the quarter and six months ended June 30, 2015. |
Note Payable (Tables)
Note Payable (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Text Block [Abstract] | |
Summary of Financial Information Relating to Note Payable | Following is a summary of financial information relating to the note payable: Quarter ended Six months ended June 30, 2015 June 30, 2015 (dollars in thousands) During the period: Weighted-average interest rate 4.18 % 4.18 % Average balance $ 104,797 $ 52,981 Total interest expense $ 994 $ 994 Maximum daily amount outstanding $ 192,352 $ 192,352 At period end: Amount outstanding Balance $ 192,352 Weighted-average interest rate 4.18 % Mortgage servicing rights pledged to secure note payable $ 394,737 |
Asset-Backed Secured Financin61
Asset-Backed Secured Financing of the Variable Interest Entity at Fair Value (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Text Block [Abstract] | |
Summary of Financial Information Relating to Asset-Backed Secured Financing of the VIE | Following is a summary of financial information relating to the asset-backed secured financing of the VIE: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (dollars in thousands) During the period: Weighted-average fair value $ 159,236 $ 165,495 $ 162,361 $ 166,190 Interest expense $ 1,301 $ 1,561 $ 2,885 $ 3,178 Weighted-average effective interest rate 3.23 % 3.73 % 3.53 % 3.80 % At period end: Balance $ 151,489 $ 170,201 Interest rate 3.50 % 3.50 % |
Exchangeable Senior Notes (Tabl
Exchangeable Senior Notes (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Text Block [Abstract] | |
Summary of Financial Information Relating to Exchangeable Notes | Following is financial information relating to the Exchangeable Notes: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (dollars in thousands) During the period: Weighted-average unpaid principal balance $ 250,000 $ 250,000 $ 250,000 $ 250,000 Interest expense (1) $ 3,601 $ 3,587 $ 7,198 $ 7,171 At period end: Carrying value: Unpaid principal balance $ 250,000 $ 250,000 Unamortized issuance costs (5,441 ) (6,388 ) $ 244,559 $ 243,612 (1) Total interest expense includes amortization of debt issuance costs of $242,000 and $481,000 during the quarter and six months ended June 30, 2015, respectively, and $228,000 and $453,000 during the quarter and six months ended June 2014, respectively. |
Borrowings under Forward Purc63
Borrowings under Forward Purchase Agreements (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Text Block [Abstract] | |
Summary of Financial Information Relating to Borrowings under Forward Purchase Agreements | There were no borrowings under forward purchase agreements during the quarter and six months ended June 30, 2015. Following is a summary of financial information relating to borrowings under forward purchase agreements: Quarter ended June 30, 2014 Six months ended June 30, 2014 (dollars in thousands) During the period: Weighted-average effective interest rate 2.82 % 2.84 % Weighted-average balance $ 109,793 $ 165,471 Interest expense $ 783 $ 2,363 Maximum daily amount outstanding $ 226,847 $ 226,847 At period end: Balance $ — Interest rate 0.00 % Fair value of underlying loans and REO $ — |
Liability for Losses Under Re64
Liability for Losses Under Representations and Warranties (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
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 June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Balance, beginning of period $ 15,379 $ 10,854 $ 14,242 $ 10,110 Provision for losses 1,419 1,022 2,344 1,766 Losses incurred (84 ) — (102 ) — Recoveries — — 230 — Balance, end of period $ 16,714 $ 11,876 $ 16,714 $ 11,876 Unpaid principal balance of mortgage loans subject to representations and warranties at period end $ 37,431,575 $ 29,806,058 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Company's Outstanding Contractual Loan Commitments | The following table summarizes the Company’s outstanding contractual loan commitments: June 30, 2015 (in thousands) Commitments to purchase mortgage loans: Mortgage loans acquired for sale at fair value $ 1,503,814 |
Net Interest Income (Tables)
Net Interest Income (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Banking and Thrift, Interest [Abstract] | |
Summary of Net Interest Income | Net interest income is summarized below: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Interest income: From nonaffiliates: Short-term investments $ 82 $ 172 $ 302 $ 324 Mortgage-backed securities 2,505 1,961 5,139 3,722 Mortgage loans acquired for sale at fair value 10,315 5,574 17,416 9,199 Mortgage loans at fair value 22,171 30,813 43,725 54,099 Mortgage loans at fair value held by VIE 4,429 5,418 9,842 10,913 Mortgage loans under forward purchase agreements — 1,430 — 3,584 Other 13 12 24 22 39,515 45,380 76,448 81,863 From PennyMac Financial Services, Inc: Excess servicing spread purchased from PFSI, at fair value 5,818 3,138 9,570 6,001 45,333 48,518 86,018 87,864 Interest expense: From nonaffiliates: Assets sold under agreements to repurchase 20,208 15,143 39,120 27,682 Mortgage loans participation and sale agreement 266 — 473 — Credit risk transfer financing at fair value 1,113 — 1,113 — Asset-backed secured financing 1,301 1,561 2,884 3,178 Federal Home Loan Bank advances 2 — 2 — Exchangeable senior notes 3,601 3,587 7,198 7,171 Borrowings under forward purchase agreements — 783 — 2,363 Note payable 994 — 994 — Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 1,291 461 2,464 700 Interest on mortgage loan impound deposits 430 330 704 546 29,206 21,865 54,952 41,640 From PennyMac Financial Services, Inc: Note payable to PennyMac Financial Services, Inc. 533 — 533 — 29,739 21,865 55,485 41,640 Net interest income $ 15,594 $ 26,653 $ 30,533 $ 46,224 |
Net Gain on Mortgage Loans Ac67
Net Gain on Mortgage Loans Acquired for Sale (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
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 June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Cash (loss) gain: Sales proceeds, net $ (51,218 ) $ (3,173 ) $ (58,762 ) $ (6,067 ) Hedging activities 18,713 (18,749 ) 6,186 (22,299 ) (32,505 ) (21,922 ) (52,576 ) (28,366 ) Non cash gain: Receipt of MSRs in loan sale transactions 32,176 28,741 59,636 49,616 Provision for losses relating to representations and warranties provided in loan sales (1,419 ) (1,022 ) (2,344 ) (1,766 ) Change in fair value of IRLCs, mortgage loans and hedging derivatives held at period end: IRLCs (8,481 ) 7,816 (5,927 ) 9,838 Mortgage loans 14,551 6,660 18,277 8,073 Hedging derivatives 6,853 (10,051 ) 4,269 (17,202 ) 12,923 4,425 16,619 709 $ 11,175 $ 10,222 $ 21,335 $ 20,193 |
Net Gain on Investments (Tables
Net Gain on Investments (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of Net Gain on Investments | Net gain on investments is summarized below: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Net gain (loss) on investments: From nonaffiliates: Mortgage-backed securities $ (6,702 ) $ 4,265 $ (5,186 ) $ 6,917 Mortgage loans 30,068 73,595 47,254 113,512 Mortgage loans held in a VIE (12,077 ) 16,177 (10,277 ) 27,484 Asset-backed secured financing 3,991 (5,175 ) 3,222 (7,954 ) Hedging derivatives (1,255 ) (8,191 ) (11,294 ) (13,802 ) 14,025 80,671 23,719 126,157 From PennyMac Financial Services, Inc: Excess servicing spread purchased from PFSI 8,589 (7,537 ) 2,342 (10,438 ) $ 22,614 $ 73,134 $ 26,061 $ 115,719 |
Net Loan Servicing Fees (Tables
Net Loan Servicing Fees (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Text Block [Abstract] | |
Summary of Net Loan Servicing Fees | Net loan servicing fees are summarized below: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Servicing fees (1) $ 25,887 $ 19,156 $ 48,516 $ 36,688 MSR recapture fee receivable from PFSI — 1 — 9 Effect of MSRs: Carried at lower of amortized cost or fair value Amortization (9,987 ) (7,696 ) (19,580 ) (15,061 ) Reversal of (provision for) impairment 7,082 (2,224 ) 703 (2,851 ) Gain on sale — — 83 — Carried at fair value - change in fair value 6,307 (4,764 ) (3,510 ) (6,792 ) (Losses) gains on hedging derivatives (16,272 ) 4,285 (5,193 ) 4,186 (12,870 ) (10,399 ) (27,497 ) (20,518 ) Net loan servicing fees $ 13,017 $ 8,758 $ 21,019 $ 16,179 Average servicing portfolio $ 35,742,835 $ 28,230,295 $ 35,215,677 $ 27,417,841 (1) Includes contractually specified servicing and ancillary fees. |
Other Expenses (Tables)
Other Expenses (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Other Income and Expenses [Abstract] | |
Summary of Other Expenses | Other expenses are summarized below: Quarter ended June 30, Six months ended June 30, 2015 2014 2015 2014 (in thousands) Common overhead allocation from PFSI (1) $ 2,546 $ 2,638 $ 4,937 $ 5,216 Servicing and collection costs 3,182 3,114 4,627 3,745 Loan origination 1,176 397 2,129 435 Insurance 302 252 675 491 Technology 311 227 603 474 Other expenses 861 526 1,708 860 $ 8,378 $ 7,154 $ 14,679 $ 11,221 (1) For the quarter ended June 30, 2015, in accordance with the terms of the management agreement, PCM provided the Company a discretionary waiver of $700,000 of overhead expenses that otherwise would have been allocable to the Company. |
Segments and Related Informat71
Segments and Related Information (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Segment Reporting [Abstract] | |
Financial Highlights by Operating Segment | Financial highlights by operating segment are summarized below: Quarter ended June 30, 2015 Correspondent Investment Intersegment Total (in thousands) Net investment income: Net gain on mortgage loans acquired for sale $ 11,175 $ — $ — $ 11,175 Net gain on investments — 22,614 — 22,614 Net interest income Interest income 8,997 36,336 — 45,333 Interest expense (4,763 ) (24,976 ) — (29,739 ) 4,234 11,360 — 15,594 Net loan servicing fees — 13,017 13,017 Other income (loss) 7,352 13 — 7,365 22,761 47,004 — 69,765 Expenses: Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc. 15,785 17,463 — 33,248 Other 1,754 9,675 — 11,429 17,539 27,138 — 44,677 Pre-tax income $ 5,222 $ 19,866 $ — $ 25,088 Total assets at period end $ 2,243,570 $ 4,433,804 $ — $ 6,677,374 Quarter ended June 30, 2014 Correspondent Investment Intersegment Total (in thousands) Net investment income: Net gain on mortgage loans acquired for sale $ 10,222 $ — $ — $ 10,222 Net gain on investments — 73,134 — 73,134 Net interest income Interest income 5,585 44,434 (1,501 ) 48,518 Interest expense (4,881 ) (18,485 ) 1,501 (21,865 ) 704 25,949 — 26,653 Net loan servicing fees — 8,758 8,758 Other income (loss) 4,485 (2,696 ) — 1,789 15,411 105,145 — 120,556 Expenses: Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc. 12,749 22,776 — 35,525 Other 265 11,462 — 11,727 13,014 34,238 — 47,252 Pre-tax income $ 2,397 $ 70,907 $ — $ 73,304 Total assets at period end $ 927,849 $ 3,941,896 $ — $ 4,869,745 Six months ended June 30, 2015 Correspondent Investment Intersegment Total (in thousands) Net investment income: Net gain on mortgage loans acquired for sale $ 21,335 $ — $ — $ 21,335 Net gain on investments — 26,061 — 26,061 Net interest income Interest income 16,109 69,909 — 86,018 Interest expense (8,583 ) (46,902 ) — (55,485 ) 7,526 23,007 — 30,533 Net loan servicing fees — 21,019 21,019 Other income (loss) 12,703 (4,229 ) — 8,474 41,564 65,858 — 107,422 Expenses: Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc. 28,956 34,831 — 63,787 Other 2,938 19,429 — 22,367 31,894 54,260 — 86,154 Pre-tax income $ 9,670 $ 11,598 $ — $ 21,268 Total assets at period end $ 2,243,570 $ 4,433,804 $ — $ 6,677,374 Six months ended June 30, 2014 Correspondent Investment Intersegment Total (in thousands) Net investment income: Net gain on mortgage loans acquired for sale $ 20,193 $ — $ — $ 20,193 Net gain on investments — 115,719 — 115,719 Net interest income Interest income 9,220 81,032 (2,388 ) 87,864 Interest expense (8,536 ) (35,492 ) 2,388 (41,640 ) 684 45,540 — 46,224 Net loan servicing fees — 16,179 — 16,179 Other income (loss) 6,841 (8,005 ) — (1,164 ) 27,718 169,433 — 197,151 Expenses: Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc. 21,821 45,271 — 67,092 Other 353 20,114 — 20,467 22,174 65,385 — 87,559 Pre-tax income $ 5,544 $ 104,048 $ — $ 109,592 Total assets at period end $ 927,849 $ 3,941,896 $ — $ 4,869,745 |
Supplemental Cash Flow Inform72
Supplemental Cash Flow Information (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Supplemental Cash Flow Elements [Abstract] | |
Summary of Supplemental Cash Flow Information | Six months ended June 30, 2015 2014 (in thousands) Cash paid for interest $ 53,449 $ 50,926 Income tax paid (refund) $ 401 $ (6,775 ) Non-cash investing activities: Transfer of mortgage loans and advances to real estate acquired in settlement of loans $ 158,078 $ 174,147 Purchase of mortgage loans financed through forward purchase agreements $ — $ 1,386 Transfer of mortgage loans under forward purchase agreements to mortgage loans at fair value $ — $ 205,903 Transfer of mortgage loans under forward purchase agreements and advances to REO under forward purchase agreements $ — $ 9,369 Receipt of MSRs as proceeds from sales of loans $ 59,636 $ 49,616 Purchase of REO financed through forward purchase agreements $ — $ 68 Receipt of ESS pursuant to recapture agreement with PFSI $ 2,565 $ 3,475 Transfer of REO under forward purchase agreements to REO $ — $ 12,737 Non-cash financing activities: Purchase of mortgage loans financed through forward purchase agreements $ — $ 1,386 Purchase of REO financed through forward purchase agreements $ — $ 68 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment $ 1,548 $ — Transfer of mortgage loans at fair value financed through agreements to repurchase to REO financed under agreements to repurchase $ 24,972 $ 2,123 Dividends payable $ 46,074 $ 43,743 |
Organization and Basis of Pre73
Organization and Basis of Presentation - Additional Information (Detail) - 6 months ended Jun. 30, 2015 - Segment | Total |
Accounting Policies [Abstract] | |
Number of business segments | 2 |
Percentage of taxable income for distributions | 90.00% |
Organization and Basis of Pre74
Organization and Basis of Presentation - Summary of Reclassifications of Previously Presented Balances (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | Jun. 30, 2014 |
ASSETS | |||
Other assets | $ 116,639 | $ 59,155 | |
Total assets | 6,677,374 | 4,897,258 | $ 4,869,745 |
LIABILITIES | |||
Assets sold under agreements to repurchase | 3,500,569 | 2,729,027 | 2,701,755 |
Mortgage loan participation and sale agreement | 70,612 | 20,222 | |
Exchangeable senior notes | 244,559 | 244,079 | $ 243,612 |
Total liabilities | 5,152,077 | 3,319,086 | |
Total liabilities and shareholders' equity | $ 6,677,374 | 4,897,258 | |
As previously reported [Member] | |||
ASSETS | |||
Other assets | 66,193 | ||
Total assets | 4,904,296 | ||
LIABILITIES | |||
Assets sold under agreements to repurchase | 2,730,130 | ||
Mortgage loan participation and sale agreement | 20,236 | ||
Exchangeable senior notes | 250,000 | ||
Total liabilities | 3,326,124 | ||
Total liabilities and shareholders' equity | 4,904,296 | ||
Reclassification [Member] | |||
ASSETS | |||
Other assets | (7,038) | ||
Total assets | (7,038) | ||
LIABILITIES | |||
Assets sold under agreements to repurchase | (1,103) | ||
Mortgage loan participation and sale agreement | (14) | ||
Exchangeable senior notes | (5,921) | ||
Total liabilities | (7,038) | ||
Total liabilities and shareholders' equity | $ (7,038) |
Concentration of Risks - Fair V
Concentration of Risks - Fair Value of Mortgage Loans and REO Purchased (Including Purchases under Forward Purchase Agreements) Portion Representing Assets Purchased (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | |
Investment portfolio purchases: | |||||
Investment portfolio purchases, Mortgage loans | $ 0 | $ 27,203 | $ 241,981 | $ 284,403 | |
Investment portfolio purchases, REO | 0 | 30 | 0 | 3,117 | |
Investment portfolio purchases, total | 0 | 27,233 | 241,981 | 287,520 | |
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 | 0 | 26,737 | 0 | 26,737 | |
Investment portfolio purchases above through one or more subsidiaries of Citigroup, Inc. REO | 0 | 30 | 0 | 68 | |
Investment portfolio purchases above through one or more subsidiaries of Citigroup, Inc. total | 0 | $ 26,767 | 0 | $ 26,805 | |
Forward Purchase Commitments [Member] | |||||
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 | 882,881 | $ 943,163 | |||
Investment portfolio purchases above through one or more subsidiaries of Citigroup, Inc. REO | 93,171 | 108,302 | |||
Investment portfolio purchases above through one or more subsidiaries of Citigroup, Inc. total | 976,052 | 1,051,465 | |||
Total holdings of mortgage loans and REO | $ 3,055,098 | $ 3,055,098 | $ 3,030,180 |
Concentration of Risks - Consol
Concentration of Risks - Consolidated Statements of Income and Cash Flows (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Statements of income: | ||||
Interest income | $ 45,333 | $ 48,518 | $ 86,018 | $ 87,864 |
Interest expense | 29,739 | 21,865 | 55,485 | 41,640 |
Net gain on investments | 22,614 | 73,134 | 26,061 | 115,719 |
Net loan servicing fees | 13,017 | 8,758 | 21,019 | 16,179 |
Results of REO | $ (1,806) | (5,348) | (7,638) | (11,974) |
Statements of cash flows: | ||||
Repayments of mortgage loans | 0 | 6,413 | ||
Sales of REO | 0 | 5,365 | ||
Repayments of borrowings under forward purchase agreements | $ 0 | (227,866) | ||
Citigroup Global Markets Realty Corp [Member] | ||||
Statements of income: | ||||
Interest income | 1,430 | 3,584 | ||
Interest expense | 783 | 2,364 | ||
Net gain on investments | 1,743 | 803 | ||
Net loan servicing fees | 201 | 517 | ||
Results of REO | (72) | (473) | ||
Statements of cash flows: | ||||
Repayments of mortgage loans | 1,084 | 6,413 | ||
Sales of REO | 3,743 | 5,365 | ||
Repayments of borrowings under forward purchase agreements | $ (214,742) | $ (227,866) |
Transactions with Related Par77
Transactions with Related Parties - Summary of Corresponding Production Activity (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | |
Related Party Transaction [Line Items] | |||||
Fulfillment fee expense earned by PLS | $ 15,333 | $ 12,433 | $ 28,199 | $ 21,335 | |
Purchases of mortgage loans acquired for sale at fair value from PLS | 10,828 | 1,985 | |||
At period end: | |||||
Mortgage loans included in mortgage loans acquired for sale pending sale to PLS | 2,213,874 | 2,213,874 | $ 637,722 | ||
Penny Mac Loan Services LLC [Member] | |||||
Related Party Transaction [Line Items] | |||||
Fulfillment fee expense earned by PLS | 15,333 | 12,433 | 28,199 | 21,335 | |
Unpaid principal balance of loans fulfilled by PLS | 3,579,078 | 2,991,764 | 6,469,210 | 4,911,342 | |
Sourcing fees received from PLS | 2,427 | 1,125 | 3,848 | 2,017 | |
Unpaid principal balance of loans sold to PLS | 8,082,764 | 3,748,874 | 12,818,138 | 6,722,951 | |
Purchases of mortgage loans acquired for sale at fair value from PLS | 2,423 | 1,985 | 10,828 | 1,985 | |
Tax service fees paid to PLS | 1,113 | 684 | 2,002 | 1,050 | |
At period end: | |||||
Mortgage loans included in mortgage loans acquired for sale pending sale to PLS | $ 830,330 | $ 304,707 | $ 830,330 | $ 304,707 |
Transactions with Related Par78
Transactions with Related Parties - Summary of Mortgage Loan Servicing Fees Earned (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Related Party Transaction [Line Items] | ||||
Loan servicing fees | $ 12,136 | $ 14,180 | $ 22,806 | $ 28,771 |
Average mortgage loans servicing portfolio | 35,742,835 | 28,230,295 | 35,215,677 | 27,417,841 |
Penny Mac Loan Services LLC [Member] | ||||
Related Party Transaction [Line Items] | ||||
Loan servicing fees | 12,136 | 14,180 | 22,806 | 28,771 |
Average mortgage loans servicing portfolio | 35,742,835 | 28,230,295 | 35,215,677 | 27,417,841 |
Penny Mac Loan Services LLC [Member] | Mortgage loans acquired for sale at fair value [Member] | ||||
Related Party Transaction [Line Items] | ||||
Loan servicing fees | 101 | 80 | 158 | 123 |
Average mortgage loans servicing portfolio | 1,014,883 | 519,357 | 887,660 | 428,941 |
Penny Mac Loan Services LLC [Member] | Mortgage loans acquired for sale at fair value [Member] | Base [Member] | ||||
Related Party Transaction [Line Items] | ||||
Loan servicing fees | 42 | 29 | 68 | 46 |
Penny Mac Loan Services LLC [Member] | Mortgage loans acquired for sale at fair value [Member] | Activity-based [Member] | ||||
Related Party Transaction [Line Items] | ||||
Loan servicing fees | 59 | 51 | 90 | 77 |
Penny Mac Loan Services LLC [Member] | Distress mortgage loans [Member] | ||||
Related Party Transaction [Line Items] | ||||
Loan servicing fees | 7,276 | 10,721 | 14,202 | 22,073 |
Average mortgage loans servicing portfolio | 2,295,807 | 2,133,587 | 2,303,080 | 2,042,362 |
Penny Mac Loan Services LLC [Member] | Distress mortgage loans [Member] | Base [Member] | ||||
Related Party Transaction [Line Items] | ||||
Loan servicing fees | 4,183 | 4,975 | 8,215 | 9,941 |
Penny Mac Loan Services LLC [Member] | Distress mortgage loans [Member] | Activity-based [Member] | ||||
Related Party Transaction [Line Items] | ||||
Loan servicing fees | 3,093 | 5,746 | 5,987 | 12,132 |
Penny Mac Loan Services LLC [Member] | Mortgage servicing rights [Member] | ||||
Related Party Transaction [Line Items] | ||||
Loan servicing fees | 4,759 | 3,379 | 8,446 | 6,575 |
Penny Mac Loan Services LLC [Member] | Mortgage servicing rights [Member] | Base [Member] | ||||
Related Party Transaction [Line Items] | ||||
Loan servicing fees | 4,654 | 3,323 | 8,310 | 6,471 |
Penny Mac Loan Services LLC [Member] | Mortgage servicing rights [Member] | Activity-based [Member] | ||||
Related Party Transaction [Line Items] | ||||
Loan servicing fees | $ 105 | $ 56 | $ 136 | $ 104 |
Transactions with Related Par79
Transactions with Related Parties - Note Payable - Additional Information (Detail) - USD ($) | 1 Months Ended | 6 Months Ended | |
Apr. 30, 2015 | Jun. 30, 2015 | Mar. 27, 2015 | |
Loan Agreement [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Maximum borrowing capacity of loan amount | $ 150,000,000 | $ 257,000,000 | |
Senior notes, maturity date | Oct. 30, 2015 | ||
Additional fee payable, description | The Company and PFSI have agreed that the Company is required to repay PFSI the principal amount of such borrowings plus accrued interest to the date of such repayment, and PFSI is required to repay their lender the corresponding amount under the lending facility. The Company is also required to pay PFSI a fee for the structuring of the lending facility in an amount equal to the portion of the corresponding fee paid by PFSI to their lender under the lending facility and allocable to the increase in the maximum loan amount resulting from the ESS financing. The note matures on October 30, 2015 and interest accrues at a rate based on the lender’s cost of funds. | ||
Amended Loan Agreement [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Maximum borrowing capacity of loan amount | 407,000,000 | ||
Increase in borrowing capacity of loan amount | $ 150,000,000 |
Transactions with Related Par80
Transactions with Related Parties - Summary of Investing and Financing Activities (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Related Party Transaction [Line Items] | ||||
Purchases of ESS | $ 187,287 | $ 73,393 | ||
Repayment of ESS | 31,083 | 16,494 | ||
MSR recapture recognized | $ 0 | $ 1 | 0 | 9 |
Advances under note payable to PLS | 192,352 | 0 | ||
PennyMac Financial Services, Inc. [Member] | ||||
Related Party Transaction [Line Items] | ||||
Purchases of ESS | 140,875 | 52,867 | 187,287 | 73,393 |
Interest income from ESS | 5,818 | 3,138 | 9,570 | 6,001 |
Net gain (loss) on ESS | 7,133 | (10,062) | (403) | (14,854) |
ESS recapture recognized | 1,456 | 2,525 | 2,745 | 4,415 |
Repayment of ESS | 18,352 | 9,081 | 31,083 | 16,494 |
MSR recapture recognized | 0 | 1 | 0 | 9 |
PennyMac Financial Services, Inc. [Member] | Penny Mac Loan Services LLC [Member] | ||||
Related Party Transaction [Line Items] | ||||
Advances under note payable to PLS | 71,072 | 0 | 71,072 | 0 |
Repayment of note payable to PLS | 18,546 | 0 | 18,546 | 0 |
Interest income from note payable to PLS | $ 535 | $ 0 | $ 535 | $ 0 |
Transactions with Related Par81
Transactions with Related Parties - Other Transactions - Additional Information (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | |||||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | Feb. 01, 2013 | Aug. 04, 2009 | |
Schedule of Other Related Party Transactions [Line Items] | |||||||
Amounts due from PCM | $ 9,342,000 | $ 9,342,000 | $ 6,621,000 | ||||
PNMAC Capital Management LLC [Member] | |||||||
Schedule of Other Related Party Transactions [Line Items] | |||||||
PMT agreed to reimburse PCM for a payment | $ 2,900,000 | ||||||
Rate during reimbursement period | At a rate of $10 in reimbursement for every $100 of performance incentive fees earned. | ||||||
Performance incentive fees payable | $ 10 | ||||||
Amount of performance incentive fees for every targeted performance earned | 100 | ||||||
Payments of contingent underwriting fee to manager | 230,000 | $ 36,000 | 387,000 | $ 36,000 | |||
Amounts due from PCM | 9,300,000 | $ 9,300,000 | 6,600,000 | ||||
PNMAC Capital Management LLC [Member] | Maximum [Member] | |||||||
Schedule of Other Related Party Transactions [Line Items] | |||||||
Reimbursement amount for a year | $ 1,000,000 | ||||||
Reimbursement amount | 2,900,000 | ||||||
IPO underwriters [Member] | |||||||
Schedule of Other Related Party Transactions [Line Items] | |||||||
Rate during reimbursement period | At a rate of $20 of payments for every $100 of performance incentive fees earned by PCM. | ||||||
Performance incentive fees payable | $ 20 | ||||||
Amount of performance incentive fees for every targeted performance earned | 100 | ||||||
Payments of contingent underwriting fees to underwriters | 459,000 | $ 315,000 | $ 772,000 | $ 387,000 | |||
Reimbursement agreement expiration date | Feb. 1, 2019 | ||||||
IPO underwriters [Member] | Maximum [Member] | |||||||
Schedule of Other Related Party Transactions [Line Items] | |||||||
Reimbursement amount for a year | 2,000,000 | ||||||
Reimbursement amount | $ 5,900,000 | ||||||
PennyMac Financial Services, Inc. [Member] | |||||||
Schedule of Other Related Party Transactions [Line Items] | |||||||
PMT agreed to reimburse PCM for a payment | $ 906,000 | $ 906,000 | $ 1,136,000 | ||||
Number of common shares held by affiliate | 75,000 | 75,000 | 75,000 |
Transactions with Related Par82
Transactions with Related Parties - Summary of Management Fee Expense and Related Liability (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Related Party Transaction [Line Items] | ||||
Total management fee incurred during the period | $ 5,779 | $ 8,912 | $ 12,782 | $ 16,986 |
PNMAC Capital Management LLC [Member] | ||||
Related Party Transaction [Line Items] | ||||
Total management fee incurred during the period | 5,779 | 8,912 | 12,782 | 16,986 |
PNMAC Capital Management LLC [Member] | Base [Member] | ||||
Related Party Transaction [Line Items] | ||||
Total management fee incurred during the period | 5,709 | 5,838 | 11,439 | 11,359 |
PNMAC Capital Management LLC [Member] | Performance Incentive [Member] | ||||
Related Party Transaction [Line Items] | ||||
Total management fee incurred during the period | $ 70 | $ 3,074 | $ 1,343 | $ 5,627 |
Transactions with Related Par83
Transactions with Related Parties - Management Fees - Additional Information (Detail) | 6 Months Ended |
Jun. 30, 2015 | |
PNMAC Capital Management LLC [Member] | |
Mortgage Loans on Real Estate [Line Items] | |
Termination fees, description | The termination fee is equal to three times the sum of (a) the average annual base management fee, and (b) the average annual performance incentive fee earned by PFSI, in each case during the 24-month period before termination. |
Transactions with Related Par84
Transactions with Related Parties - Summary of Expenses (Detail) - PNMAC Capital Management LLC [Member] - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Related Party Transaction [Line Items] | ||||
Common overhead incurred by PCM and its affiliates | $ 2,702 | $ 2,691 | $ 5,431 | $ 5,269 |
Reimbursement of expenses incurred on the Company's behalf | 83 | 104 | 462 | 549 |
Total expenses incurred in transaction with affiliates | 2,785 | 2,795 | 5,893 | 5,818 |
Payments and settlements during the period | $ 24,114 | $ 14,894 | $ 46,866 | $ 33,280 |
Transactions with Related Par85
Transactions with Related Parties - Summary of Expenses (Parenthetical) (Detail) | 3 Months Ended |
Jun. 30, 2015USD ($) | |
PNMAC Capital Management LLC [Member] | |
Related Party Transaction [Line Items] | |
Waiver of overhead expenses | $ 700,000 |
Transactions with Related Par86
Transactions with Related Parties - Summary of Amounts Due to Affiliates (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Related Party Transaction [Line Items] | ||
Total expense due to affiliate | $ 16,245 | $ 23,943 |
PennyMac Financial Services, Inc. [Member] | ||
Related Party Transaction [Line Items] | ||
Allocated expenses | 5,893 | 6,582 |
Management fees | 5,779 | 8,426 |
Servicing fees | 3,667 | 3,457 |
Conditional Reimbursement | 906 | 1,136 |
Unsettled ESS investment | 0 | 3,836 |
Fulfillment fees | 0 | 506 |
Total expense due to affiliate | $ 16,245 | $ 23,943 |
Earnings Per Share - Summary of
Earnings Per Share - Summary of Basic and Diluted Earnings per Share (Detail) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Basic earnings per share: | ||||
Net income | $ 28,071 | $ 75,211 | $ 35,579 | $ 113,084 |
Effect of participating securities-share-based compensation awards | (438) | (433) | (1,015) | (841) |
Net income attributable to common shareholders | $ 27,633 | $ 74,778 | $ 34,564 | $ 112,243 |
Weighted-average shares outstanding | 74,683 | 74,065 | 74,618 | 72,803 |
Basic earnings per share | $ 0.37 | $ 1.01 | $ 0.46 | $ 1.54 |
Diluted earnings per share: | ||||
Net income | $ 27,633 | $ 75,211 | $ 34,564 | $ 113,084 |
Interest on Exchangeable Notes, net of income taxes | 2,121 | 2,079 | 0 | 4,156 |
Net income attributable to diluted shareholders | $ 29,754 | $ 77,290 | $ 34,564 | $ 117,240 |
Weighted-average shares outstanding | 74,683 | 74,065 | 74,618 | 72,803 |
Potentially dilutive securities: | ||||
Shares issuable pursuant to exchange of the Exchangeable Notes | 8,467 | 8,393 | 0 | 8,393 |
Shares issuable under share-based compensation plan | 330 | 292 | 379 | 338 |
Diluted weighted-average number of shares outstanding | 83,480 | 82,750 | 74,997 | 81,535 |
Diluted earnings per share | $ 0.36 | $ 0.93 | $ 0.46 | $ 1.44 |
Earnings Per Share - Additional
Earnings Per Share - Additional Information (Detail) | 6 Months Ended |
Jun. 30, 2015shares | |
Exchangeable Notes [Member] | |
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | |
Shares excluded from diluted earnings per share calculation | 8,467,000 |
Loan Sales and Variable Inter89
Loan Sales and Variable Interest Entities - Summary of Cash Flows between Company and Transferees in Transfers Accounted for Sales (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Cash flows: | ||||
Proceeds from sales | $ 3,063,397 | $ 2,763,138 | $ 5,707,641 | $ 4,789,444 |
Servicing fees received | 22,738 | 19,019 | 44,641 | 34,907 |
Period end information: | ||||
Unpaid principal balance of mortgage loans outstanding | 36,448,945 | 29,268,039 | 36,448,945 | 29,268,039 |
Unpaid principal balance of delinquent mortgage loans: | ||||
30-89 days delinquent | 129,316 | 90,091 | 129,316 | 90,091 |
90 or more days delinquent | ||||
Not in foreclosure | 28,805 | 13,325 | 28,805 | 13,325 |
In foreclosure or bankruptcy | 20,063 | 11,306 | 20,063 | 11,306 |
Unpaid principal balance of loans outstanding at period-end | 48,868 | 24,631 | 48,868 | 24,631 |
Unpaid principal balance of delinquent mortgage loans | $ 178,184 | $ 114,722 | $ 178,184 | $ 114,722 |
Loan Sales and Variable Inter90
Loan Sales and Variable Interest Entities - Additional Information (Detail) - Sep. 30, 2013 - USD ($) | Total |
Statement of Financial Position [Abstract] | |
Certificates issued | $ 537,000,000 |
Weighted yield | 3.90% |
Certificates retained | $ 366,800,000 |
Netting of Financial Instrume91
Netting of Financial Instruments - Summary of Offsetting of Derivative Assets (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Derivative [Line Items] | ||
Gross amounts of recognized assets | $ 25,491 | $ 13,391 |
Gross amounts offset in the consolidated balance sheet | (11,541) | (2,284) |
Net amounts of assets presented in the consolidated balance sheet | 13,950 | 11,107 |
MBS put options [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 1,426 | 374 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 1,426 | 374 |
MBS call options [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 169 | 0 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 169 | 0 |
Forward purchase contracts [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 2,415 | 3,775 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 2,415 | 3,775 |
Forward sales contracts [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 10,844 | 52 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 10,844 | 52 |
Interest rate lock commitments [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 4,211 | 5,678 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 4,211 | 5,678 |
Put options on interest rate futures [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 1,659 | 193 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 1,659 | 193 |
Call options on interest rate futures [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 3,557 | 3,319 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 3,557 | 3,319 |
Treasury futures contracts [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 1,210 | 0 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 1,210 | 0 |
Netting [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 0 | 0 |
Gross amounts offset in the consolidated balance sheet | (11,541) | (2,284) |
Net amounts of assets presented in the consolidated balance sheet | (11,541) | (2,284) |
Derivatives subject to master netting arrangements [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 21,280 | 7,713 |
Gross amounts offset in the consolidated balance sheet | (11,541) | (2,284) |
Net amounts of assets presented in the consolidated balance sheet | 9,739 | 5,429 |
Derivatives not subject to master netting arrangements [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 25,491 | 13,391 |
Gross amounts offset in the consolidated balance sheet | (11,541) | (2,284) |
Net amounts of assets presented in the consolidated balance sheet | $ 13,950 | $ 11,107 |
Netting of Financial Instrume92
Netting of Financial Instruments - Summary of Derivative Assets and Collateral Held by Counterparty (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | $ 13,950 | $ 11,107 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 13,950 | 11,107 |
Interest rate lock commitments [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 4,211 | 5,678 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 4,211 | 5,678 |
RJ O'Brien & Associates, LLC [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 4,924 | 3,034 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 4,924 | 3,034 |
Jefferies Group, LLC [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 1,438 | 133 |
Financial instruments | 0 | |
Cash collateral received | 0 | |
Net amount | 1,438 | 133 |
JPMorgan Chase & Co. [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 973 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 973 | 0 |
Fannie Mae Capital Markets [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 712 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 712 | 0 |
Daiwa Capital Markets [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 78 | 29 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 78 | 29 |
Credit Suisse First Boston Mortgage Capital LLC [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 4 | 253 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 4 | 253 |
Bank of America, N.A. [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 0 | 738 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 0 | 738 |
Morgan Stanley Bank, N.A. [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 0 | 104 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 0 | 104 |
Other [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 1,610 | 1,138 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | $ 1,610 | $ 1,138 |
Netting of Financial Instrume93
Netting of Financial Instruments - Schedule of Offsetting of Derivative Liabilities and Financial Liabilities (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Derivative [Line Items] | ||
Gross amounts of recognized liabilities | $ 3,517,125 | $ 2,737,322 |
Gross amounts offset in the consolidated balance sheet | (9,738) | (4,748) |
Net amounts of liabilities presented in the consolidated balance sheet | 3,507,387 | 2,732,575 |
Forward purchase contracts [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities | 7,912 | 34 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 7,912 | 34 |
Forward sales contracts [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities | 4,002 | 6,649 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 4,002 | 6,649 |
Interest rate lock commitments [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities | 4,478 | 17 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 4,478 | 17 |
Treasury futures contracts [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities | 164 | 478 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 164 | 478 |
Netting [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities | 0 | 0 |
Gross amounts offset in the consolidated balance sheet | (9,738) | (4,748) |
Net amounts of liabilities presented in the consolidated balance sheet | (9,738) | (4,748) |
Derivatives subject to master netting arrangements [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities | 12,078 | 7,161 |
Gross amounts offset in the consolidated balance sheet | (9,738) | (4,748) |
Net amounts of liabilities presented in the consolidated balance sheet | 2,340 | 2,413 |
Derivatives not subject to master netting arrangements [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities | 16,556 | 7,178 |
Gross amounts offset in the consolidated balance sheet | (9,738) | (4,748) |
Net amounts of liabilities presented in the consolidated balance sheet | 6,818 | 2,430 |
Security sold under agreements to repurchase amount outstanding [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities | 3,501,925 | 2,729,027 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 3,501,925 | 2,729,027 |
Security sold under agreements to repurchase [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities | 3,500,569 | 2,730,144 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 3,500,569 | 2,732,574 |
Unamortized issuance costs [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities | (1,356) | (1,117) |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | $ (1,356) | $ (1,117) |
Netting of Financial Instrume94
Netting of Financial Instruments - Summary of Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Derivative [Line Items] | ||
Net amounts of liabilities presented in the consolidated balance sheet | $ 3,507,387 | $ 2,732,575 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (3,501,925) | (2,730,144) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 6,818 | 2,430 |
Interest rate lock commitments [Member] | ||
Derivative [Line Items] | ||
Net amounts of liabilities presented in the consolidated balance sheet | 4,478 | 17 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 4,478 | 17 |
Morgan Stanley Bank, N.A. [Member] | ||
Derivative [Line Items] | ||
Net amounts of liabilities presented in the consolidated balance sheet | 273,173 | 121,975 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (273,125) | (121,975) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 48 | 0 |
Credit Suisse First Boston Mortgage Capital LLC [Member] | ||
Derivative [Line Items] | ||
Net amounts of liabilities presented in the consolidated balance sheet | 858,824 | 966,155 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (858,824) | (966,155) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Citibank, N.A. [Member] | ||
Derivative [Line Items] | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,113,055 | 797,851 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (1,113,055) | (797,663) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 188 |
Bank of America, N.A. [Member] | ||
Derivative [Line Items] | ||
Net amounts of liabilities presented in the consolidated balance sheet | 696,438 | 508,922 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (696,438) | (508,922) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
RBS Securities [Member] | ||
Derivative [Line Items] | ||
Net amounts of liabilities presented in the consolidated balance sheet | 0 | 208,520 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 0 | (208,520) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Daiwa Capital Markets [Member] | ||
Derivative [Line Items] | ||
Net amounts of liabilities presented in the consolidated balance sheet | 120,436 | 126,909 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (120,436) | (126,909) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
JPMorgan Chase & Co. [Member] | ||
Derivative [Line Items] | ||
Net amounts of liabilities presented in the consolidated balance sheet | 440,047 | 0 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (440,047) | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Other [Member] | ||
Derivative [Line Items] | ||
Net amounts of liabilities presented in the consolidated balance sheet | 2,292 | 2,225 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | $ 2,292 | $ 2,225 |
Netting of Financial Instrume95
Netting of Financial Instruments - Summary of Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty (Parenthetical) (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Jun. 30, 2014 |
Derivative [Line Items] | ||
Unamortization of commitment fees and issuance costs | $ (5,441) | $ (6,388) |
Assets Sold under Agreement to Repurchase [Member] | ||
Derivative [Line Items] | ||
Unamortization of commitment fees and issuance costs | $ (1,356) | $ (887) |
Fair Value - Additional Informa
Fair Value - Additional Information (Detail) - USD ($) $ in Millions | 6 Months Ended | |
Jun. 30, 2015 | Dec. 31, 2014 | |
Mortgage Loans on Real Estate [Line Items] | ||
Initial interest rates | More than 4.5% | |
Interest rate | 4.50% | |
Mortgage loans description | Note interest rate pools of 50 basis points | |
Basis point for mortgage loan | 0.50% | |
Fair value of exchangeable notes | $ 233 | $ 239 |
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 Financi
Fair Value - Summary of Financial Statement Items Measured at Fair Value on Recurring Basis (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 |
Assets: | ||||||
Short-term investments | $ 32,417 | $ 139,900 | ||||
Mortgage-backed securities at fair value | 287,626 | 307,363 | ||||
Mortgage loans acquired for sale at fair value | 2,213,874 | 637,722 | ||||
Derivative assets: | ||||||
Total derivative assets before netting | 25,491 | 13,391 | ||||
Derivative assets, Netting | (11,541) | (2,284) | ||||
Derivative assets | 13,950 | 11,107 | ||||
Mortgage servicing rights at fair value | 57,343 | $ 49,448 | 57,358 | $ 46,802 | $ 36,181 | $ 26,452 |
Liabilities: | ||||||
Credit risk transfer financing at fair value | 649,120 | 0 | ||||
Asset-backed secured financing of the variable interest entity at fair value | 151,489 | 165,920 | ||||
Derivative liabilities: | ||||||
Total derivative liabilities before netting | 16,556 | 7,178 | ||||
Derivative liabilities, Netting | (9,738) | (4,748) | ||||
Derivative liabilities | 6,818 | 2,430 | ||||
Interest rate lock commitments [Member] | ||||||
Derivative assets: | ||||||
Total derivative assets before netting | 4,211 | 5,678 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Derivative assets | 4,211 | 5,678 | ||||
MBS put options [Member] | ||||||
Derivative assets: | ||||||
Total derivative assets before netting | 1,426 | 374 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Derivative assets | 1,426 | 374 | ||||
Forward purchase contracts [Member] | ||||||
Derivative assets: | ||||||
Total derivative assets before netting | 2,415 | 3,775 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Derivative assets | 2,415 | 3,775 | ||||
Forward sales contracts [Member] | ||||||
Derivative assets: | ||||||
Total derivative assets before netting | 10,844 | 52 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Derivative assets | 10,844 | 52 | ||||
MBS call options [Member] | ||||||
Derivative assets: | ||||||
Total derivative assets before netting | 169 | 0 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Derivative assets | 169 | 0 | ||||
Recurring [Member] | ||||||
Assets: | ||||||
Short-term investments | 32,417 | 139,900 | ||||
Mortgage-backed securities at fair value | 287,626 | 307,363 | ||||
Mortgage loans acquired for sale at fair value | 2,213,874 | 637,722 | ||||
Mortgage loans at fair value | 2,730,820 | 2,726,952 | ||||
Excess servicing spread purchased from PFSI | 359,102 | 191,166 | ||||
Derivative assets: | ||||||
Total derivative assets before netting | 25,491 | 13,391 | ||||
Derivative assets, Netting | (11,541) | (2,284) | ||||
Derivative assets | 13,950 | 11,107 | ||||
Mortgage servicing rights at fair value | 57,343 | 57,358 | ||||
Total Assets | 5,695,132 | 4,071,568 | ||||
Liabilities: | ||||||
Credit risk transfer financing at fair value | 649,120 | |||||
Asset-backed secured financing of the variable interest entity at fair value | 151,489 | 165,920 | ||||
Derivative liabilities: | ||||||
Total derivative liabilities before netting | 16,556 | 7,178 | ||||
Derivative liabilities, Netting | (9,738) | (4,748) | ||||
Derivative liabilities | 6,818 | 2,430 | ||||
Total liabilities | 807,427 | 168,350 | ||||
Recurring [Member] | Interest rate lock commitments [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 4,211 | 5,678 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 4,478 | 17 | ||||
Recurring [Member] | MBS put options [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 1,426 | 374 | ||||
Recurring [Member] | Forward purchase contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 2,415 | 3,775 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 7,912 | 34 | ||||
Recurring [Member] | Forward sales contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 10,844 | 52 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 4,002 | 6,649 | ||||
Recurring [Member] | MBS call options [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 169 | |||||
Derivative liabilities: | ||||||
Derivative liabilities | 478 | |||||
Recurring [Member] | Put options on interest rate futures [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 1,659 | 193 | ||||
Recurring [Member] | Call options on interest rate futures [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 3,557 | 3,319 | ||||
Recurring [Member] | Treasury futures contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 1,210 | |||||
Recurring [Member] | Treasury futures [Member] | ||||||
Derivative liabilities: | ||||||
Derivative liabilities | 164 | |||||
Recurring [Member] | Level 1 [Member] | ||||||
Assets: | ||||||
Short-term investments | 32,417 | 139,900 | ||||
Mortgage-backed securities at fair value | 0 | 0 | ||||
Mortgage loans acquired for sale at fair value | 0 | 0 | ||||
Mortgage loans at fair value | 0 | 0 | ||||
Excess servicing spread purchased from PFSI | 0 | 0 | ||||
Derivative assets: | ||||||
Total derivative assets before netting | 6,426 | 3,512 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Derivative assets | 6,426 | 3,512 | ||||
Mortgage servicing rights at fair value | 0 | 0 | ||||
Total Assets | 38,843 | 143,412 | ||||
Liabilities: | ||||||
Credit risk transfer financing at fair value | 0 | |||||
Asset-backed secured financing of the variable interest entity at fair value | 0 | 0 | ||||
Derivative liabilities: | ||||||
Total derivative liabilities before netting | 164 | 478 | ||||
Derivative liabilities, Netting | 0 | 0 | ||||
Derivative liabilities | 164 | 478 | ||||
Total liabilities | 164 | 478 | ||||
Recurring [Member] | Level 1 [Member] | Interest rate lock commitments [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Recurring [Member] | Level 1 [Member] | MBS put options [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Recurring [Member] | Level 1 [Member] | Forward purchase contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Recurring [Member] | Level 1 [Member] | Forward sales contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Recurring [Member] | Level 1 [Member] | MBS call options [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | |||||
Derivative liabilities: | ||||||
Derivative liabilities | 478 | |||||
Recurring [Member] | Level 1 [Member] | Put options on interest rate futures [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 1,659 | 193 | ||||
Recurring [Member] | Level 1 [Member] | Call options on interest rate futures [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 3,557 | 3,319 | ||||
Recurring [Member] | Level 1 [Member] | Treasury futures contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 1,210 | |||||
Recurring [Member] | Level 1 [Member] | Treasury futures [Member] | ||||||
Derivative liabilities: | ||||||
Derivative liabilities | 164 | |||||
Recurring [Member] | Level 2 [Member] | ||||||
Assets: | ||||||
Short-term investments | 0 | 0 | ||||
Mortgage-backed securities at fair value | 287,626 | 307,363 | ||||
Mortgage loans acquired for sale at fair value | 2,213,874 | 637,722 | ||||
Mortgage loans at fair value | 483,876 | 527,369 | ||||
Excess servicing spread purchased from PFSI | 0 | 0 | ||||
Derivative assets: | ||||||
Total derivative assets before netting | 14,854 | 4,201 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Derivative assets | 14,854 | 4,201 | ||||
Mortgage servicing rights at fair value | 0 | 0 | ||||
Total Assets | 3,000,230 | 1,476,655 | ||||
Liabilities: | ||||||
Credit risk transfer financing at fair value | 649,120 | |||||
Asset-backed secured financing of the variable interest entity at fair value | 151,489 | 165,920 | ||||
Derivative liabilities: | ||||||
Total derivative liabilities before netting | 11,914 | 6,683 | ||||
Derivative liabilities, Netting | 0 | 0 | ||||
Derivative liabilities | 11,914 | 6,683 | ||||
Total liabilities | 812,523 | 172,603 | ||||
Recurring [Member] | Level 2 [Member] | Interest rate lock commitments [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Recurring [Member] | Level 2 [Member] | MBS put options [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 1,426 | 374 | ||||
Recurring [Member] | Level 2 [Member] | Forward purchase contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 2,415 | 3,775 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 7,912 | 34 | ||||
Recurring [Member] | Level 2 [Member] | Forward sales contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 10,844 | 52 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 4,002 | 6,649 | ||||
Recurring [Member] | Level 2 [Member] | MBS call options [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 169 | |||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | |||||
Recurring [Member] | Level 2 [Member] | Put options on interest rate futures [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Recurring [Member] | Level 2 [Member] | Call options on interest rate futures [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Recurring [Member] | Level 2 [Member] | Treasury futures contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | |||||
Recurring [Member] | Level 2 [Member] | Treasury futures [Member] | ||||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | |||||
Recurring [Member] | Level 3 [Member] | ||||||
Assets: | ||||||
Short-term investments | 0 | 0 | ||||
Mortgage-backed securities at fair value | 0 | 0 | ||||
Mortgage loans acquired for sale at fair value | 0 | 0 | ||||
Mortgage loans at fair value | 2,246,944 | 2,199,583 | ||||
Excess servicing spread purchased from PFSI | 359,102 | 191,166 | ||||
Derivative assets: | ||||||
Total derivative assets before netting | 4,211 | 5,678 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Derivative assets | 4,211 | 5,678 | ||||
Mortgage servicing rights at fair value | 57,343 | 57,358 | ||||
Total Assets | 2,667,600 | 2,453,785 | ||||
Liabilities: | ||||||
Credit risk transfer financing at fair value | 0 | |||||
Asset-backed secured financing of the variable interest entity at fair value | 0 | 0 | ||||
Derivative liabilities: | ||||||
Total derivative liabilities before netting | 4,478 | 17 | ||||
Derivative liabilities, Netting | 0 | 0 | ||||
Derivative liabilities | 4,478 | 17 | ||||
Total liabilities | 4,478 | 17 | ||||
Recurring [Member] | Level 3 [Member] | Interest rate lock commitments [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 4,211 | 5,678 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 4,478 | 17 | ||||
Recurring [Member] | Level 3 [Member] | MBS put options [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Recurring [Member] | Level 3 [Member] | Forward purchase contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Recurring [Member] | Level 3 [Member] | Forward sales contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Recurring [Member] | Level 3 [Member] | MBS call options [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | |||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | |||||
Recurring [Member] | Level 3 [Member] | Put options on interest rate futures [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Recurring [Member] | Level 3 [Member] | Call options on interest rate futures [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | $ 0 | ||||
Recurring [Member] | Level 3 [Member] | Treasury futures contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | |||||
Recurring [Member] | Level 3 [Member] | Treasury futures [Member] | ||||||
Derivative liabilities: | ||||||
Derivative liabilities | $ 0 |
Fair Value - Summary of Changes
Fair Value - Summary of Changes in Items Measured Using Level 3 Inputs on Recurring Basis (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Assets: | ||||
Beginning balance | $ 2,623,353 | $ 2,472,152 | $ 2,453,768 | $ 2,461,217 |
Purchases | 140,874 | 80,070 | 429,268 | 357,796 |
Repayments and sales | (86,542) | (150,971) | (145,153) | (410,337) |
Capitalization of interest | 9,922 | 18,099 | 20,130 | 30,354 |
Accrual of interest | 5,819 | 3,138 | 9,570 | 6,001 |
ESS received pursuant to a recapture agreement with PFSI | 1,319 | 2,362 | 2,565 | 3,475 |
Interest rate lock commitments issued, net | 11,683 | 19,158 | 31,083 | 31,754 |
Servicing received as proceeds from sales of mortgage loans | 1,588 | 15,385 | 3,495 | 27,142 |
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 7,489 | 20,562 | 19,057 | 44,898 |
Other factors | 12,608 | 47,769 | 884 | 58,961 |
Total | 20,097 | 68,331 | 19,941 | 103,859 |
Transfers of mortgage loans under forward purchase agreements to mortgage loans | 0 | 0 | ||
Transfers of mortgage loans to REO | (68,238) | (98,785) | (147,933) | (162,915) |
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements | (3,400) | (9,803) | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 3,247 | (20,905) | (13,612) | (33,909) |
Ending balance | 2,663,122 | 2,404,634 | 2,663,122 | 2,404,634 |
Changes in fair value recognized during the period relating to assets | 45,980 | 46,875 | 50,394 | 63,392 |
Interest rate lock commitments [Member] | ||||
Assets: | ||||
Beginning balance | 8,214 | 3,271 | 5,661 | 1,249 |
Purchases | 0 | 0 | 0 | 0 |
Repayments and sales | 0 | 0 | 0 | 0 |
Capitalization of interest | 0 | 0 | 0 | 0 |
Accrual of interest | 0 | 0 | 0 | 0 |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | 0 |
Interest rate lock commitments issued, net | 11,683 | 19,158 | 31,083 | 31,754 |
Servicing received as proceeds from sales of mortgage loans | 0 | 0 | 0 | 0 |
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 0 | 0 | 0 | 0 |
Other factors | (23,411) | 9,563 | (23,399) | 11,993 |
Total | (23,411) | 9,563 | (23,399) | 11,993 |
Transfers of mortgage loans under forward purchase agreements to mortgage loans | 0 | 0 | ||
Transfers of mortgage loans to REO | 0 | 0 | 0 | 0 |
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements | 0 | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 3,247 | (20,905) | (13,612) | (33,909) |
Ending balance | (267) | 11,087 | (267) | 11,087 |
Changes in fair value recognized during the period relating to assets | (267) | 11,088 | (267) | 11,087 |
Mortgage loans at fair value [Member] | ||||
Assets: | ||||
Beginning balance | 2,343,382 | 2,079,020 | 2,199,583 | 2,076,665 |
Purchases | 0 | 26,737 | 241,981 | 283,017 |
Repayments and sales | (68,190) | (140,807) | (114,070) | (387,430) |
Capitalization of interest | 9,922 | 17,042 | 20,130 | 28,553 |
Accrual of interest | 0 | 0 | 0 | 0 |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | 0 |
Interest rate lock commitments issued, net | 0 | 0 | 0 | 0 |
Servicing received as proceeds from sales of mortgage loans | 0 | 0 | 0 | 0 |
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 7,489 | 19,326 | 19,057 | 42,629 |
Other factors | 22,579 | 52,525 | 28,196 | 70,080 |
Total | 30,068 | 71,851 | 47,253 | 112,709 |
Transfers of mortgage loans under forward purchase agreements to mortgage loans | 201,443 | 205,902 | ||
Transfers of mortgage loans to REO | (68,238) | (98,785) | (147,933) | (162,915) |
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements | 0 | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Ending balance | 2,246,944 | 2,156,501 | 2,246,944 | 2,156,501 |
Changes in fair value recognized during the period relating to assets | 32,807 | 50,613 | 54,574 | 73,951 |
Mortgage loans under forward purchase agreements [Member] | ||||
Assets: | ||||
Beginning balance | 202,661 | 218,128 | ||
Purchases | 466 | 1,386 | ||
Repayments and sales | (1,084) | (6,413) | ||
Capitalization of interest | 1,057 | 1,801 | ||
Accrual of interest | 0 | 0 | ||
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | ||
Interest rate lock commitments issued, net | 0 | 0 | ||
Servicing received as proceeds from sales of mortgage loans | 0 | 0 | ||
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 1,236 | 2,269 | ||
Other factors | 507 | (1,466) | ||
Total | 1,743 | 803 | ||
Transfers of mortgage loans under forward purchase agreements to mortgage loans | (201,443) | (205,902) | ||
Transfers of mortgage loans to REO | 0 | 0 | ||
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements | (3,400) | (9,803) | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | ||
Ending balance | 0 | 0 | ||
Changes in fair value recognized during the period relating to assets | 0 | 0 | ||
Excess servicing spread [Member] | ||||
Assets: | ||||
Beginning balance | 222,309 | 151,019 | 191,166 | 138,723 |
Purchases | 140,874 | 52,867 | 187,287 | 73,393 |
Repayments and sales | (18,352) | (9,080) | (31,083) | (16,494) |
Capitalization of interest | 0 | 0 | 0 | 0 |
Accrual of interest | 5,819 | 3,138 | 9,570 | 6,001 |
ESS received pursuant to a recapture agreement with PFSI | 1,319 | 2,362 | 2,565 | 3,475 |
Interest rate lock commitments issued, net | 0 | 0 | 0 | 0 |
Servicing received as proceeds from sales of mortgage loans | 0 | 0 | 0 | 0 |
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 0 | 0 | 0 | 0 |
Other factors | 7,133 | (10,062) | (403) | (14,854) |
Total | 7,133 | (10,062) | (403) | (14,854) |
Transfers of mortgage loans under forward purchase agreements to mortgage loans | 0 | 0 | ||
Transfers of mortgage loans to REO | 0 | 0 | 0 | 0 |
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements | 0 | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Ending balance | 359,102 | 190,244 | 359,102 | 190,244 |
Changes in fair value recognized during the period relating to assets | 7,133 | (10,062) | (403) | (14,854) |
Mortgage servicing rights [Member] | ||||
Assets: | ||||
Beginning balance | 49,448 | 36,181 | 57,358 | 26,452 |
Purchases | 0 | 0 | 0 | 0 |
Repayments and sales | 0 | 0 | 0 | 0 |
Capitalization of interest | 0 | 0 | 0 | 0 |
Accrual of interest | 0 | 0 | 0 | 0 |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | 0 |
Interest rate lock commitments issued, net | 0 | 0 | 0 | 0 |
Servicing received as proceeds from sales of mortgage loans | 1,588 | 15,385 | 3,495 | 27,142 |
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 0 | |||
Other factors | 6,307 | (4,764) | (3,510) | (6,792) |
Total | 6,307 | (4,764) | (3,510) | (6,792) |
Transfers of mortgage loans under forward purchase agreements to mortgage loans | 0 | 0 | ||
Transfers of mortgage loans to REO | 0 | 0 | 0 | 0 |
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements | 0 | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Ending balance | 57,343 | 46,802 | 57,343 | 46,802 |
Changes in fair value recognized during the period relating to assets | $ 6,307 | $ (4,764) | $ (3,510) | $ (6,792) |
Fair Value - Fair Values and Re
Fair Value - Fair Values and Related Principal Amounts Due upon Maturity of Mortgage Loans Accounted for Under Fair Value Option (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent | ||
Fair value option loans held as assets, Total | $ 4,944,694 | $ 3,364,674 |
Mortgage loans at fair value | 2,730,820 | 2,726,952 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Unpaid principal balance of loans outstanding at period-end | 5,723,646 | 4,310,097 |
Unpaid principal balance | 3,598,986 | 3,699,470 |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference | ||
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | (778,952) | (945,423) |
Nonperforming mortgage loans [Member] | ||
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent | ||
Mortgage loans at fair value | 1,491,487 | 1,535,317 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Unpaid principal balance | 2,103,796 | 2,246,585 |
Mortgage loans acquired for sale at fair value [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Fair value option loans held as assets ninety days or less past due | 2,212,726 | 637,518 |
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent | ||
Not in foreclosure | 554 | 204 |
In foreclosure | 594 | 0 |
Fair value option loans held as assets, Total | 1,148 | 204 |
Mortgage loans at fair value | 2,213,874 | 637,722 |
Mortgage loans on real estate principal amount of delinquent loans less than ninety days | 2,123,424 | 610,372 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Not in foreclosure | 547 | 255 |
In foreclosure | 689 | 0 |
Unpaid principal balance of loans outstanding at period-end | 2,124,660 | 610,627 |
Fair value option loans held as assets ninety days or less past due aggregate difference | 89,302 | 27,146 |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference | ||
Not in foreclosure | 7 | (51) |
In foreclosure | (95) | 0 |
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | 89,214 | 27,095 |
Mortgage loans acquired for sale at fair value [Member] | Nonperforming loans [Member] | ||
Mortgage loans on real estate principal amount of delinquent loans | ||
Unpaid principal balance of loans outstanding at period-end | 1,236 | 255 |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference | ||
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | (88) | (51) |
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 | 1,239,333 | 1,191,635 |
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent | ||
Not in foreclosure | 597,859 | 608,144 |
In foreclosure | 893,628 | 927,173 |
Mortgage loans at fair value | 2,730,820 | 2,726,952 |
Mortgage loans on real estate principal amount of delinquent loans less than ninety days | 1,495,190 | 1,452,885 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Not in foreclosure | 839,463 | 875,214 |
In foreclosure | 1,264,333 | 1,371,371 |
Unpaid principal balance | 3,598,986 | 3,699,470 |
Fair value option loans held as assets ninety days or less past due aggregate difference | (255,857) | (261,250) |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference | ||
Not in foreclosure | (241,604) | (267,070) |
In foreclosure | (370,705) | (444,198) |
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | (868,166) | (972,518) |
Mortgage loans and mortgage loans under forward purchase agreements at fair value [Member] | Nonperforming mortgage loans [Member] | ||
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent | ||
Mortgage loans at fair value | 1,491,487 | 1,535,317 |
Mortgage loans and mortgage loans under forward purchase agreements at fair value [Member] | Nonperforming loans [Member] | ||
Mortgage loans on real estate principal amount of delinquent loans | ||
Unpaid principal balance | 2,103,796 | 2,246,585 |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference | ||
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | $ (612,309) | $ (711,268) |
Fair Value - Summary of Chan100
Fair Value - Summary of Changes in Fair Value Included in Current Period Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain on mortgage loans acquired for sale | $ 11,175 | $ 10,222 | $ 21,335 | $ 20,193 |
Net gain on investments | 22,614 | 73,134 | 26,061 | 115,719 |
Asset-backed secured financing of the variable interest entity at fair value [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain on mortgage loans acquired for sale | 0 | (5,175) | 0 | (7,954) |
Net interest income | 51 | (80) | (122) | (204) |
Net gain on investments | 3,991 | 0 | 3,222 | 0 |
Net loan servicing fees | 0 | 0 | 0 | 0 |
Total | 4,042 | (5,255) | 3,100 | (8,158) |
Liabilities, Total [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain on mortgage loans acquired for sale | 0 | (5,175) | 0 | (7,954) |
Net interest income | 51 | (80) | (122) | (204) |
Net gain on investments | 3,991 | 0 | 3,222 | 0 |
Net loan servicing fees | 0 | 0 | 0 | 0 |
Total | 4,042 | (5,255) | 3,100 | (8,158) |
Short-term investments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Net interest income | 0 | 0 | 0 | 0 |
Net gain on investments | 0 | 0 | 0 | 0 |
Net loan servicing fees | 0 | 0 | 0 | 0 |
Total | 0 | 0 | 0 | 0 |
Mortgage-backed securities at fair value [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Net interest income | (23) | 155 | 63 | 188 |
Net gain on investments | (6,702) | 4,081 | (5,186) | 6,734 |
Net loan servicing fees | 0 | 0 | 0 | 0 |
Total | (6,725) | 4,236 | (5,123) | 6,922 |
Mortgage loans acquired for sale at fair value [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain on mortgage loans acquired for sale | (5,017) | 31,202 | 18,064 | 49,834 |
Net interest income | 0 | 0 | 0 | 0 |
Net gain on investments | 0 | 0 | 0 | 0 |
Net loan servicing fees | 0 | 0 | 0 | 0 |
Total | (5,017) | 31,202 | 18,064 | 49,834 |
Mortgage loans at fair value [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Net interest income | (310) | 223 | 179 | 553 |
Net gain on investments | 17,990 | 88,029 | 36,977 | 140,194 |
Net loan servicing fees | 0 | 0 | 0 | 0 |
Total | 17,680 | 88,252 | 37,156 | 140,747 |
Mortgage loans under forward purchase agreements at fair value [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | |
Net interest income | 0 | 0 | 0 | |
Net gain on investments | 1,743 | 0 | 803 | |
Net loan servicing fees | 0 | 0 | 0 | |
Total | 1,743 | 0 | 803 | |
Excess servicing spread [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Net interest income | 0 | 0 | 0 | 0 |
Net gain on investments | 8,589 | (7,537) | 2,342 | (10,438) |
Net loan servicing fees | 0 | 0 | 0 | 0 |
Total | 8,589 | (7,537) | 2,342 | (10,438) |
Mortgage servicing rights at fair value [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Net interest income | 0 | 0 | 0 | 0 |
Net gain on investments | 0 | 0 | 0 | 0 |
Net loan servicing fees | 6,307 | (4,764) | (3,510) | (6,792) |
Total | 6,307 | (4,764) | (3,510) | (6,792) |
Assets, Total [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain on mortgage loans acquired for sale | (5,017) | 31,202 | 18,064 | 49,834 |
Net interest income | (333) | 378 | 242 | 741 |
Net gain on investments | 19,877 | 86,316 | 34,133 | 137,293 |
Net loan servicing fees | 6,307 | (4,764) | (3,510) | (6,792) |
Total | $ 20,834 | $ 113,132 | $ 48,929 | $ 181,076 |
Fair Value - Summary of Fina101
Fair Value - Summary of Financial Statement Items Re-measured at Fair Value on Nonrecurring Basis (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate asset acquired in settlement of loans | $ 150,121 | $ 157,203 |
Mortgage servicing rights at lower of amortized cost or fair value | 112,363 | 91,990 |
Total Assets | 262,484 | 249,193 |
Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate asset acquired in settlement of loans | 0 | 0 |
Mortgage servicing rights at lower of amortized cost or fair value | 0 | 0 |
Total Assets | 0 | 0 |
Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate asset acquired in settlement of loans | 0 | 0 |
Mortgage servicing rights at lower of amortized cost or fair value | 0 | 0 |
Total Assets | 0 | 0 |
Level 3 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate asset acquired in settlement of loans | 150,121 | 157,203 |
Mortgage servicing rights at lower of amortized cost or fair value | 112,363 | 91,990 |
Total Assets | $ 262,484 | $ 249,193 |
Fair Value - Summary of Fair Va
Fair Value - Summary of Fair Value Changes Recognized on Assets Held Measured at Estimated Fair Values on Nonrecurring Basis (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Fair Value Disclosures [Abstract] | ||||
Real estate asset acquired in settlement of loans | $ (6,491) | $ (7,942) | $ (13,800) | $ (12,525) |
Mortgage servicing rights at lower of amortized cost or fair value | 7,082 | (2,224) | 703 | (2,851) |
Total assets, gains (losses) recognized | $ 591 | $ (10,166) | $ (13,097) | $ (15,376) |
Fair Value - Quantitative Summa
Fair Value - Quantitative Summary of Key Inputs Used in Valuation of Mortgage Loans at Fair Value (Detail) - Mortgage loans at fair value [Member] | 6 Months Ended | 12 Months Ended |
Jun. 30, 2015 | Dec. 31, 2014 | |
Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Discount rate | 2.30% | 2.30% |
Twelve-month projected housing price index change | 1.90% | 4.00% |
Prepayment speed | 0.10% | 0.00% |
Total prepayment speed | 3.60% | 0.00% |
Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Discount rate | 15.00% | 15.00% |
Twelve-month projected housing price index change | 5.20% | 5.30% |
Prepayment speed | 5.10% | 6.50% |
Total prepayment speed | 29.60% | 27.90% |
Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Discount rate | 7.20% | 7.70% |
Twelve-month projected housing price index change | 3.90% | 4.80% |
Prepayment speed | 3.60% | 3.10% |
Total prepayment speed | 20.90% | 21.60% |
Fair Value - Summary of Key Inp
Fair Value - Summary of Key Inputs Used in Determining Fair Value of ESS (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Unpaid principal balance of underlying mortgage loans (in thousands) | $ 176,404 | $ 1,458,400 | $ 400,057 | $ 2,550,114 | |
Average servicing fee rate (in basis points) | 0.25% | 0.25% | 0.26% | 0.25% | 0.25% |
Minimum [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Pricing spread | 9.00% | 8.50% | 9.00% | 8.50% | |
Annual total prepayment speed | 8.00% | 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% | 1.70% | |||
Life (in years) | 3 months 18 days | 4 months 24 days | |||
Annual total prepayment speed | 7.60% | 7.60% | 7.60% | ||
Maximum [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Pricing spread | 16.30% | 10.30% | 16.30% | 12.30% | |
Annual total prepayment speed | 31.40% | 31.40% | 39.60% | ||
Maximum [Member] | Excess servicing spread [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Pricing spread | 12.40% | 12.00% | |||
Life (in years) | 7 years 3 months 18 days | 7 years 3 months 18 days | |||
Annual total prepayment speed | 74.30% | 74.30% | 74.60% | ||
Weighted Average [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Pricing spread | 10.10% | 9.10% | 10.60% | 9.00% | |
Annual total prepayment speed | 10.10% | 10.10% | 11.40% | ||
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) | $ 46,809,508 | $ 28,227,340 | |||
Average servicing fee rate (in basis points) | 0.32% | 0.31% | |||
Average ESS rate (in basis points) | 0.16% | 0.16% | |||
Pricing spread | 5.00% | 5.30% | |||
Life (in years) | 6 years 2 months 12 days | 5 years 9 months 18 days | |||
Annual total prepayment speed | 9.70% | 9.70% | 11.20% |
Fair Value - Quantitative Su105
Fair Value - Quantitative Summary of Key Unobservable Inputs Used in Valuation of Interest Rate Lock Commitments (Detail) | Jun. 30, 2015 | Dec. 31, 2014 |
Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Pull-through rate | 63.60% | 65.00% |
Servicing fee multiple | 1.40% | 0.70% |
Percentage of unpaid principal balance | 0.30% | 0.20% |
Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Pull-through rate | 99.90% | 98.00% |
Servicing fee multiple | 5.20% | 5.20% |
Percentage of unpaid principal balance | 3.70% | 1.30% |
Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Pull-through rate | 93.70% | 94.90% |
Servicing fee multiple | 4.40% | 4.30% |
Percentage of unpaid principal balance | 1.10% | 1.10% |
Fair Value - Key Assumptions Us
Fair Value - Key Assumptions Used in Determining Fair Value of MSRs at Time of Initial Recognition (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Amortized cost, MSR recognized | $ 30,587,000 | $ 13,356,000 | $ 56,141,000 | $ 22,474,000 | |
Amortized cost, Unpaid principal balance of underlying mortgage loans | $ 3,346,010,000 | $ 1,244,538,000 | $ 5,628,766,000 | $ 2,095,087,000 | |
Amortized cost, Weighted-average annual servicing fee rate (in basis points) | 0.25% | 0.25% | 0.26% | 0.25% | |
Fair value, MSR recognized | $ 1,588,000 | $ 15,385,000 | $ 3,495,000 | $ 27,142,000 | |
Fair value, Unpaid principal balance of underlying mortgage loans | $ 176,404,000 | $ 1,458,400,000 | $ 400,057,000 | $ 2,550,114,000 | |
Fair value, Weighted-average annual servicing fee rate (in basis points) | 0.25% | 0.25% | 0.26% | 0.25% | 0.25% |
Minimum [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Amortized cost, Pricing spread during period | 6.50% | 6.30% | 6.50% | 6.30% | |
Amortized cost, Life (in years) | 2 years 7 months 6 days | 1 year 3 months 18 days | 1 year 3 months 18 days | 1 year 1 month 6 days | |
Amortized cost, Annual prepayment speed during period | 7.60% | 7.60% | 7.60% | 7.60% | |
Amortized cost, Annual per loan cost of servicing during period | $ 62,000 | $ 68,000 | $ 62,000 | $ 68,000 | |
Fair value inputs, Pricing spread during period | 9.00% | 8.50% | 9.00% | 8.50% | |
Fair value inputs, Weighted average life during period | 2 years 3 months 18 days | 3 years 2 months 12 days | 2 years 3 months 18 days | 2 years 9 months 18 days | |
Fair value inputs, Annual prepayment speed during period | 8.30% | 8.10% | 8.30% | 8.00% | |
Fair value inputs, Annual per loan cost of servicing during period | $ 62,000 | $ 68,000 | $ 62,000 | $ 68,000 | |
Maximum [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Amortized cost, Pricing spread during period | 13.00% | 14.30% | 17.50% | 14.30% | |
Amortized cost, Life (in years) | 7 years 3 months 18 days | 7 years 3 months 18 days | 7 years 8 months 12 days | 7 years 3 months 18 days | |
Amortized cost, Annual prepayment speed during period | 28.60% | 50.90% | 51.00% | 56.40% | |
Amortized cost, Annual per loan cost of servicing during period | $ 62,000 | $ 100,000 | $ 134,000 | $ 100,000 | |
Fair value inputs, Pricing spread during period | 16.30% | 10.30% | 16.30% | 12.30% | |
Fair value inputs, Weighted average life during period | 7 years 3 months 18 days | 7 years 3 months 18 days | 7 years 3 months 18 days | 7 years 3 months 18 days | |
Fair value inputs, Annual prepayment speed during period | 34.20% | 25.40% | 34.20% | 25.40% | |
Fair value inputs, Annual per loan cost of servicing during period | $ 62,000 | $ 68,000 | $ 62,000 | $ 68,000 | |
Weighted Average [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Amortized cost, Pricing spread during period | 8.10% | 8.70% | 8.30% | 8.60% | |
Amortized cost, Life (in years) | 6 years 8 months 12 days | 6 years 1 month 6 days | 6 years 7 months 6 days | 6 years | |
Amortized cost, Annual prepayment speed during period | 8.30% | 10.40% | 8.70% | 10.40% | |
Amortized cost, Annual per loan cost of servicing during period | $ 62,000 | $ 68,000 | $ 63,000 | $ 68,000 | |
Fair value inputs, Pricing spread during period | 10.10% | 9.10% | 10.60% | 9.00% | |
Fair value inputs, Weighted average life during period | 6 years 9 months 18 days | 7 years 1 month 6 days | 6 years 3 months 18 days | 7 years 1 month 6 days | |
Fair value inputs, Annual prepayment speed during period | 10.60% | 9.60% | 12.30% | 9.50% | |
Fair value inputs, Annual per loan cost of servicing during period | $ 62,000 | $ 68,000 | $ 62,000 | $ 68,000 |
Fair Value - Quantitative Su107
Fair Value - Quantitative Summary of Key Assumptions Used in Valuation of MSRs as of Dates Presented, and Effect on Estimated Fair Value from Adverse Changes in Those Inputs (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Carrying value, Amortized cost | $ 337,394,000 | $ 268,682,000 | $ 337,394,000 | $ 268,682,000 | $ 300,422,000 |
Unpaid principal balance of underlying mortgage loans, Amortized cost | $ 30,687,534,000 | $ 28,006,797,000 | |||
Weighted-average annual servicing fee rate (in basis points), Amortized cost | 0.26% | 0.26% | |||
Weighted-average note interest rate, Amortized cost | 3.81% | 3.80% | |||
Balance at end of period | 57,343,000 | $ 46,802,000 | $ 57,343,000 | $ 46,802,000 | $ 57,358,000 |
Unpaid principal balance of underlying mortgage loans, Fair Value | $ 5,761,411,000 | $ 5,761,411,000 | $ 6,278,676,000 | ||
Weighted-average annual servicing fee rate (in basis points), Fair value input | 0.25% | 0.25% | 0.26% | 0.25% | 0.25% |
Weighted-average note interest rate, Fair value | 4.77% | 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] | |||||
Effect on value of percentage adverse change, Amortized cost | $ (6,593,000) | $ (6,593,000) | $ (5,801,000) | ||
Effect on value of percentage adverse change, Fair value input | (992,000) | (992,000) | (937,000) | ||
Pricing spread [Member] | Effect on value of 10% adverse change [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Effect on value of percentage adverse change, Amortized cost | (12,968,000) | (12,968,000) | (11,410,000) | ||
Effect on value of percentage adverse change, Fair value input | (1,951,000) | (1,951,000) | (1,845,000) | ||
Pricing spread [Member] | Effect on value of 20% adverse change [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Effect on value of percentage adverse change, Amortized cost | (25,098,000) | (25,098,000) | (22,086,000) | ||
Effect on value of percentage adverse change, Fair value input | (3,779,000) | (3,779,000) | (3,577,000) | ||
Prepayment speed [Member] | Effect on value of 5% adverse change [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Effect on value of percentage adverse change, Amortized cost | (6,824,000) | (6,824,000) | (6,166,000) | ||
Effect on value of percentage adverse change, Fair value input | (1,350,000) | (1,350,000) | (1,430,000) | ||
Prepayment speed [Member] | Effect on value of 10% adverse change [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Effect on value of percentage adverse change, Amortized cost | (13,437,000) | (13,437,000) | (12,138,000) | ||
Effect on value of percentage adverse change, Fair value input | (2,652,000) | (2,652,000) | (2,803,000) | ||
Prepayment speed [Member] | Effect on value of 20% adverse change [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Effect on value of percentage adverse change, Amortized cost | (26,066,000) | (26,066,000) | (23,532,000) | ||
Effect on value of percentage adverse change, Fair value input | (5,116,000) | (5,116,000) | (5,394,000) | ||
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] | |||||
Effect on value of percentage adverse change, Amortized cost | (2,063,000) | (2,063,000) | (1,807,000) | ||
Effect on value of percentage adverse change, Fair value input | (356,000) | (356,000) | (334,000) | ||
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] | |||||
Effect on value of percentage adverse change, Amortized cost | (4,127,000) | (4,127,000) | (3,614,000) | ||
Effect on value of percentage adverse change, Fair value input | (711,000) | (711,000) | (668,000) | ||
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] | |||||
Effect on value of percentage adverse change, Amortized cost | (8,253,000) | (8,253,000) | (7,228,000) | ||
Effect on value of percentage adverse change, Fair value input | $ (1,422,000) | $ (1,422,000) | $ (1,337,000) | ||
Minimum [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Amortized cost, Pricing spread | 6.30% | 6.30% | 6.30% | ||
Amortized cost, Weighted average life (in years) | 1 year 8 months 12 days | 1 year 9 months 18 days | |||
Amortized cost, Prepayment speed | 7.60% | 7.60% | 7.80% | ||
Amortized cost, Annual per-loan cost of servicing | $ 62,000 | $ 62,000 | $ 62,000 | ||
Estimated fair value inputs, Pricing spread | 7.80% | 7.80% | 8.10% | ||
Estimated fair value inputs, Prepayment speed | 8.00% | 8.00% | 8.00% | ||
Estimated fair value inputs, Annual per-loan cost of servicing | $ 62,000 | $ 62,000 | $ 62,000 | ||
Minimum [Member] | Mortgage service rights [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Estimated fair value inputs, Weighted average life (in years) | 2 years 2 months 12 days | 1 year 9 months 18 days | |||
Maximum [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Amortized cost, Pricing spread | 17.50% | 17.50% | 17.50% | ||
Amortized cost, Weighted average life (in years) | 7 years 3 months 18 days | 7 years 2 months 12 days | |||
Amortized cost, Prepayment speed | 38.30% | 38.30% | 47.90% | ||
Amortized cost, Annual per-loan cost of servicing | $ 134,000 | $ 134,000 | $ 134,000 | ||
Estimated fair value inputs, Pricing spread | 16.30% | 16.30% | 16.30% | ||
Estimated fair value inputs, Prepayment speed | 31.40% | 31.40% | 39.60% | ||
Estimated fair value inputs, Annual per-loan cost of servicing | $ 134,000 | $ 134,000 | $ 134,000 | ||
Maximum [Member] | Mortgage service rights [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Estimated fair value inputs, Weighted average life (in years) | 7 years 3 months 18 days | 7 years 2 months 12 days | |||
Weighted Average [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Amortized cost, Pricing spread | 7.60% | 7.60% | 7.90% | ||
Amortized cost, Weighted average life (in years) | 6 years 4 months 24 days | 6 years 4 months 24 days | |||
Amortized cost, Prepayment speed | 8.40% | 8.40% | 8.80% | ||
Amortized cost, Annual per-loan cost of servicing | $ 62,000 | $ 62,000 | $ 62,000 | ||
Estimated fair value inputs, Pricing spread | 9.70% | 9.70% | 10.30% | ||
Estimated fair value inputs, Prepayment speed | 10.10% | 10.10% | 11.40% | ||
Estimated fair value inputs, Annual per-loan cost of servicing | $ 62,000 | $ 62,000 | $ 62,000 | ||
Weighted Average [Member] | Mortgage service rights [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Estimated fair value inputs, Weighted average life (in years) | 6 years 10 months 24 days | 6 years 8 months 12 days |
Mortgage Loans Acquired for 108
Mortgage Loans Acquired for Sale at Fair Value - Summary of Distribution of Company's Mortgage Loans Acquired for Sale at Fair Value (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | $ 2,213,874 | $ 637,722 |
Mortgage loan acquired at unpaid principal balance | 2,124,660 | 610,628 |
Mortgage loans pledged to secure assets sold under agreements to repurchase | 1,422,166 | 609,608 |
Mortgage loans pledged to secure credit risk transfer financing | 656,377 | 0 |
Mortgage loans pledged to secure Federal Home Loan Bank ("FHLB") advances | 48,627 | 0 |
Agency-eligible [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 1,331,950 | 290,007 |
Mortgage loan acquired at unpaid principal balance | 1,279,712 | 277,355 |
Jumbo [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 51,594 | 138,390 |
Mortgage loan acquired at unpaid principal balance | 50,976 | 135,008 |
Acquired for sale to PennyMac Loan Services, LLC - Government-insured or guaranteed [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 830,330 | 209,325 |
Mortgage loan acquired at unpaid principal balance | 793,972 | 198,265 |
Mortgage loans acquired for sale [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans pledged to secure assets sold under agreements to repurchase | 1,422,166 | 609,608 |
Mortgage loans pledged to secure mortgage loan participation and sale agreements | 72,819 | 20,862 |
Mortgage loans pledged to secure credit risk transfer financing | 656,377 | 0 |
Mortgage loans pledged to secure Federal Home Loan Bank ("FHLB") advances | $ 48,627 | $ 0 |
Mortgage Loans Acquired for 109
Mortgage Loans Acquired for Sale at Fair Value - Summary of Distribution of Company's Mortgage Loans Acquired for Sale at Fair Value (Parenthetical) (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans pledged to secure credit risk transfer financing | $ 656,377 | $ 0 |
Mortgage loans acquired for sale [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans pledged to secure credit risk transfer financing | $ 656,377 | $ 0 |
Mortgage Loans Acquired for 110
Mortgage Loans Acquired for Sale at Fair Value - Additional Information (Detail) | 6 Months Ended |
Jun. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Sourcing fee on the unpaid principal balance | 0.03% |
Derivative Financial Instrum111
Derivative Financial Instruments - Derivative Assets and Liabilities and Related Margin Deposits Recorded within Derivative Assets and Derivative Liabilities (Detail) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 |
Derivatives, Fair Value [Line Items] | ||
Total derivative assets instruments before netting | $ 25,491,000 | $ 13,391,000 |
Derivative assets, Netting | (11,541,000) | (2,284,000) |
Derivative assets, Fair value, Total | 13,950,000 | 11,107,000 |
Total derivative liabilities instruments fair value before netting | 16,556,000 | 7,178,000 |
Derivative liabilities, Netting | (9,738,000) | (4,748,000) |
Derivative liabilities, Fair value, Total | 6,818,000 | 2,430,000 |
Margin deposits with (collateral received from) derivatives counterparties | (1,803,000) | 2,465,000 |
Interest rate lock commitments [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 1,503,814,000 | 695,488,000 |
Total derivative assets instruments before netting | 4,211,000 | 5,678,000 |
Total derivative liabilities instruments fair value before netting | 4,478,000 | 17,000 |
Forward sales contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 3,252,286,000 | 1,601,282,000 |
Total derivative assets instruments before netting | 10,844,000 | 52,000 |
Total derivative liabilities instruments fair value before netting | 4,002,000 | 6,649,000 |
Forward purchase contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 2,263,622,000 | 1,100,700,000 |
Total derivative assets instruments before netting | 2,415,000 | 3,775,000 |
Total derivative liabilities instruments fair value before netting | 7,912,000 | 34,000 |
MBS put options [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 367,500,000 | 340,000,000 |
Total derivative assets instruments before netting | 1,426,000 | 374,000 |
Total derivative liabilities instruments fair value before netting | 0 | 0 |
MBS call options [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 40,000,000 | 0 |
Total derivative assets instruments before netting | 169,000 | 0 |
Total derivative liabilities instruments fair value before netting | 0 | 0 |
Eurodollar future sale contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 5,984,000,000 | 7,426,000,000 |
Total derivative assets instruments before netting | 0 | 0 |
Total derivative liabilities instruments fair value before netting | 0 | 0 |
Eurodollar future purchase contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 0 | 800,000,000 |
Total derivative assets instruments before netting | 0 | 0 |
Total derivative liabilities instruments fair value before netting | 0 | 0 |
Treasury futures contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 40,000,000 | 85,000,000 |
Total derivative assets instruments before netting | 1,210,000 | 0 |
Derivative assets, Netting | 0 | 0 |
Derivative assets, Fair value, Total | 1,210,000 | 0 |
Total derivative liabilities instruments fair value before netting | 164,000 | 478,000 |
Call options on interest rate futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 1,135,000,000 | 1,030,000,000 |
Total derivative assets instruments before netting | 3,557,000 | 3,319,000 |
Derivative assets, Netting | 0 | 0 |
Derivative assets, Fair value, Total | 3,557,000 | 3,319,000 |
Total derivative liabilities instruments fair value before netting | 0 | 0 |
Put options on interest rate futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 1,273,000,000 | 275,000,000 |
Total derivative assets instruments before netting | 1,659,000 | 193,000 |
Derivative assets, Netting | 0 | 0 |
Derivative assets, Fair value, Total | 1,659,000 | 193,000 |
Total derivative liabilities instruments fair value before netting | $ 0 | $ 0 |
Derivative Financial Instrum112
Derivative Financial Instruments - Summary of Activity in Notional Amount of Derivative Contracts (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Forward sales contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | $ 1,601,282,000 | |||
Balance, end of period | $ 3,252,286,000 | 3,252,286,000 | ||
Forward purchase contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 1,100,700,000 | |||
Balance, end of period | 2,263,622,000 | 2,263,622,000 | ||
MBS put options [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 340,000,000 | |||
Balance, end of period | 367,500,000 | 367,500,000 | ||
MBS call options [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 0 | |||
Balance, end of period | 40,000,000 | 40,000,000 | ||
Eurodollar future sale contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 7,426,000,000 | |||
Balance, end of period | 5,984,000,000 | 5,984,000,000 | ||
Eurodollar future purchase contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 800,000,000 | |||
Balance, end of period | 0 | 0 | ||
Treasury futures contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 85,000,000 | |||
Balance, end of period | 40,000,000 | 40,000,000 | ||
Call options on interest rate futures [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 1,030,000,000 | |||
Balance, end of period | 1,135,000,000 | 1,135,000,000 | ||
Put options on interest rate futures [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 275,000,000 | |||
Balance, end of period | 1,273,000,000 | 1,273,000,000 | ||
Mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS securities [Member] | Forward sales contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 2,958,492,000 | $ 2,497,960,000 | 1,601,283,000 | $ 3,588,027,000 |
Additions | 14,047,534,000 | 15,317,583,000 | 23,877,061,000 | 23,986,522,000 |
Dispositions/expirations | (13,753,740,000) | (13,629,910,000) | (22,226,058,000) | (23,388,917,000) |
Balance, end of period | 3,252,286,000 | 4,185,633,000 | 3,252,286,000 | 4,185,633,000 |
Mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS securities [Member] | Forward purchase contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 2,132,616,000 | 1,777,353,000 | 1,100,700,000 | 2,781,066,000 |
Additions | 9,885,504,000 | 12,037,081,000 | 16,933,180,000 | 18,434,899,000 |
Dispositions/expirations | (9,754,498,000) | (10,755,830,000) | (15,770,258,000) | (18,157,361,000) |
Balance, end of period | 2,263,622,000 | 3,058,604,000 | 2,263,622,000 | 3,058,604,000 |
Mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS securities [Member] | MBS put options [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 190,000,000 | 260,000,000 | 340,000,000 | 55,000,000 |
Additions | 587,500,000 | 412,500,000 | 992,500,000 | 842,500,000 |
Dispositions/expirations | (410,000,000) | (280,000,000) | (965,000,000) | (505,000,000) |
Balance, end of period | 367,500,000 | 392,500,000 | 367,500,000 | 392,500,000 |
Mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS securities [Member] | MBS call options [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 0 | 35,000,000 | 0 | 110,000,000 |
Additions | 140,000,000 | 95,000,000 | 140,000,000 | 155,000,000 |
Dispositions/expirations | (100,000,000) | (35,000,000) | (100,000,000) | (170,000,000) |
Balance, end of period | 40,000,000 | 95,000,000 | 40,000,000 | 95,000,000 |
Mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS securities [Member] | Eurodollar future sale contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 6,355,000,000 | 6,084,000,000 | 7,426,000,000 | 8,779,000,000 |
Additions | 185,000,000 | 336,000,000 | 285,000,000 | 462,000,000 |
Dispositions/expirations | (556,000,000) | (858,000,000) | (1,727,000,000) | (3,679,000,000) |
Balance, end of period | 5,984,000,000 | 5,562,000,000 | 5,984,000,000 | 5,562,000,000 |
Mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS securities [Member] | Eurodollar future purchase contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 0 | 800,000,000 | 0 | |
Additions | 400,000,000 | 0 | 2,997,000,000 | |
Dispositions/expirations | (400,000,000) | (800,000,000) | (2,997,000,000) | |
Balance, end of period | 0 | 0 | 0 | 0 |
Mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS securities [Member] | Treasury futures contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 85,000,000 | 75,000,000 | 85,000,000 | 105,000,000 |
Additions | 65,000,000 | 117,000,000 | 161,500,000 | 220,800,000 |
Dispositions/expirations | (110,000,000) | (107,000,000) | (206,500,000) | (240,800,000) |
Balance, end of period | 40,000,000 | 85,000,000 | 40,000,000 | 85,000,000 |
Mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS securities [Member] | Call options on interest rate futures [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 1,165,000,000 | 1,030,000,000 | ||
Additions | 1,635,000,000 | 2,275,000,000 | ||
Dispositions/expirations | (1,665,000,000) | (2,170,000,000) | ||
Balance, end of period | 1,135,000,000 | 1,135,000,000 | ||
Mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS securities [Member] | Put options on interest rate futures [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 1,020,000,000 | 90,000,000 | 275,000,000 | 0 |
Additions | 1,548,000,000 | 230,000,000 | 2,668,000,000 | 380,000,000 |
Dispositions/expirations | (1,295,000,000) | (90,000,000) | (1,670,000,000) | (150,000,000) |
Balance, end of period | $ 1,273,000,000 | 230,000,000 | $ 1,273,000,000 | 230,000,000 |
Mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS securities [Member] | Treasury Future purchase contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 380,000,000 | 52,500,000 | ||
Additions | 125,000,000 | 562,000,000 | ||
Dispositions/expirations | (380,000,000) | (489,500,000) | ||
Balance, end of period | $ 125,000,000 | $ 125,000,000 |
Derivative Financial Instrum113
Derivative Financial Instruments - Net Gains (Losses) Recognized on Derivative Financial Instruments (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) on derivative financial instruments used as economic hedges | $ (16,272) | $ 4,285 | $ (5,193) | $ 4,186 |
Fixed-rate assets and LIBOR- indexed repurchase agreements [Member] | Net gain on investments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) on derivative financial instruments used as economic hedges | (1,256) | 8,191 | (11,294) | (13,802) |
Mortgage loans acquired for sale at fair value [Member] | Mortgage loans acquired for sale [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) on derivative financial instruments used as economic hedges | 25,566 | (28,802) | 10,456 | (39,501) |
Mortgage service rights [Member] | Net loan servicing fees [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) on derivative financial instruments used as economic hedges | $ (16,272) | $ 4,286 | $ (5,196) | $ 4,186 |
Mortgage Loans at Fair Value -
Mortgage Loans at Fair Value - Summary of Distribution of Company's Mortgage Loans at Fair Value (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | Jun. 30, 2014 |
Financing Receivable, Recorded Investment [Line Items] | |||
Fair value | $ 2,730,820 | $ 2,726,952 | |
Unpaid principal balance | 3,598,986 | 3,699,470 | |
Assets sold under agreements to repurchase | 4,364,200 | $ 3,619,448 | |
FHLB advances | 48,627 | 0 | |
Asset-backed secured financing | 377,573 | 527,369 | |
Fixed interest rate jumbo loans held in a VIE [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Fair value | 483,876 | 527,369 | |
Unpaid principal balance | 484,105 | 517,500 | |
Mortgage loans acquired for sale at fair value [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Fair value | 2,213,874 | 637,722 | |
Assets sold under agreements to repurchase | 2,460,678 | 2,543,242 | |
FHLB advances | 106,303 | 0 | |
Nonperforming mortgage loans [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Fair value | 1,491,487 | 1,535,317 | |
Unpaid principal balance | 2,103,796 | 2,246,585 | |
Performing mortgage loans [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Fair value | 755,456 | 664,266 | |
Unpaid principal balance | 1,011,085 | 935,385 | |
Performing mortgage loans [Member] | Fixed interest rate [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Fair value | 362,389 | 322,704 | |
Unpaid principal balance | 482,120 | 449,496 | |
Performing mortgage loans [Member] | Adjustable-rate/hybrid [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Fair value | 152,286 | 127,405 | |
Unpaid principal balance | 184,340 | 162,329 | |
Performing mortgage loans [Member] | Interest rate step-up [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Fair value | 240,620 | 213,999 | |
Unpaid principal balance | 344,418 | 323,350 | |
Performing mortgage loans [Member] | Balloon [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Fair value | 162 | 158 | |
Unpaid principal balance | $ 207 | $ 210 |
Mortgage Loans at Fair Value115
Mortgage Loans at Fair Value - Summary of Certain Concentrations of Credit Risk in Portfolio of Mortgage Loans at Fair Value, Excluding VIE Securing Asset-Backed Financing (Detail) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2015 | Dec. 31, 2014 | |
Mortgage Loans on Real Estate [Line Items] | ||
Portion of mortgage loans originated between 2005 and 2007 | 73.00% | 75.00% |
Percentage of fair value of mortgage loans with unpaid-principal balance-to-current-property-value in excess of 100% | 50.00% | 55.00% |
Additional states contributing 5% or more of mortgage loans | New York New Jersey Florida | New York New Jersey Florida |
California real estate [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of mortgage loans secured by California real estate | 23.00% | 22.00% |
Mortgage Loans at Fair Value116
Mortgage Loans at Fair Value - Summary of Certain Concentrations of Credit Risk in Portfolio of Mortgage Loans at Fair Value, Excluding VIE Securing Asset-Backed Financing (Parenthetical) (Detail) | Jun. 30, 2015 | Dec. 31, 2014 |
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% |
Real Estate Acquired in Sett117
Real Estate Acquired in Settlement of Loans - Summary of Financial Information Relating to REO (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Real Estate [Abstract] | ||||
Balance at beginning of period | $ 317,536 | $ 172,987 | $ 303,228 | $ 138,942 |
Purchases | 0 | 0 | 0 | 3,049 |
Transfers from mortgage loans at fair value and advances | 71,963 | 105,245 | 158,078 | 174,147 |
Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment | (1,293) | 0 | (1,293) | 0 |
Transfers from REO under forward purchase agreements | 0 | 12,645 | 0 | 12,737 |
Results of REO: | ||||
Valuation adjustments, net | (6,606) | (8,865) | (18,006) | (17,273) |
Gain on sale, net | 4,800 | 3,590 | 10,368 | 5,772 |
Total gain | (1,806) | (5,275) | (7,638) | (11,501) |
Proceeds from sales | (62,122) | (45,131) | (128,097) | (76,903) |
Balance at end of period | 324,278 | 240,471 | 324,278 | 240,471 |
At period end: | ||||
REO pledged to secure assets sold under agreements to repurchase | 55,420 | 76,258 | 55,420 | 76,258 |
REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties | $ 147,631 | $ 31,426 | $ 147,631 | $ 31,426 |
Real Estate Acquired in Sett118
Real Estate Acquired in Settlement of Loans under Forward Purchase Agreements - Summary of Activity in REO under Forward Purchase Agreements (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Real Estate [Abstract] | |||
Balance at beginning of period | $ 13,890 | $ 9,138 | |
Purchases | 29 | $ 0 | 68 |
Transfers from mortgage loans under forward purchase agreements at fair value and advances | 2,542 | $ 0 | 9,369 |
Transfers to REO | (12,646) | (12,737) | |
Valuation adjustments, net | (294) | (779) | |
Gain on sale, net | 222 | 306 | |
Results of REO under forward purchase agreements | (72) | (473) | |
Proceeds from sales | (3,743) | (5,365) | |
Balance at end of period | $ 0 | $ 0 |
Mortgage Servicing Rights - Sum
Mortgage Servicing Rights - Summary of MSRs Carried at Fair Value (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Servicing Asset At Fair Value Changes In Fair Value [Abstract] | ||||
Balance at beginning of period | $ 49,448 | $ 36,181 | $ 57,358 | $ 26,452 |
Addition resulting from mortgage loan sales | 1,588 | 15,385 | 3,495 | 27,142 |
Due to changes in valuation inputs or assumptions used in valuation model | 8,088 | (3,636) | (107) | (4,868) |
Other changes in fair value | (1,782) | (1,128) | (3,403) | (1,924) |
Change in fair value, Total | 6,307 | (4,764) | (3,510) | (6,792) |
Balance at end of period | 57,343 | 46,802 | 57,343 | 46,802 |
MSRs pledged to secure note payable | $ 57,343 | $ 0 | $ 57,343 | $ 0 |
Mortgage Servicing Rights - 120
Mortgage Servicing Rights - Summary of MSRs Carried at Lower of Amortized Cost or Fair Value (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | |
Servicing Asset at Amortized Cost, Balance [Roll Forward] | |||||
Balance at beginning of period | $ 323,806 | $ 268,450 | $ 308,137 | $ 266,697 | |
MSRs resulting from loan sales | 30,587 | 13,356 | 56,141 | 22,474 | |
Amortization | (9,988) | (7,696) | (19,580) | (15,061) | |
Application of valuation allowance to write down MSRs with other-than temporary impairment | 0 | 0 | 0 | 0 | |
Sales | 0 | 0 | (293) | 0 | |
Balance at end of period | 344,405 | 274,110 | 344,405 | 274,110 | |
Balance at beginning of period | (14,093) | (3,204) | (7,714) | (2,577) | |
Reductions (Additions) | 7,082 | (2,224) | 703 | (2,851) | |
Application of valuation allowance to write down MSRs with other-than temporary impairment | 0 | 0 | 0 | 0 | |
Balance at end of period | (7,011) | (5,428) | (7,011) | (5,428) | |
MSRs, net | 337,394 | 268,682 | 337,394 | 268,682 | $ 300,422 |
Estimated fair value at beginning of period | 327,703 | 289,934 | 322,230 | 289,737 | |
Estimated fair value at end of period | 362,908 | 289,226 | 362,908 | 289,226 | |
MSRs pledged to secure note payable | $ 337,394 | $ 0 | $ 337,394 | $ 0 |
Mortgage Servicing Rights - 121
Mortgage Servicing Rights - Summary of Company's Estimate of Future Amortization of Existing MSRs Carried at Amortized Cost (Detail) $ in Thousands | Jun. 30, 2015USD ($) |
Servicing Asset Future Amortization Expense Abstract [Abstract] | |
2,015 | $ 35,410 |
2,016 | 35,115 |
2,017 | 32,863 |
2,018 | 30,287 |
2,019 | 27,621 |
Thereafter | 183,109 |
Total | $ 344,405 |
Mortgage Servicing Rights - 122
Mortgage Servicing Rights - Summary of Net Loan Servicing Fees (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Transfers and Servicing [Abstract] | ||||
Contractually-specified servicing fees | $ 24,490 | $ 18,234 | $ 46,077 | $ 35,051 |
Assets Sold Under Agreements123
Assets Sold Under Agreements to Repurchase - Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | |
Disclosure of Repurchase Agreements [Abstract] | |||||
Weighted-average interest rate | 2.25% | 2.20% | 2.25% | 2.21% | |
Average balance | $ 3,172,806,000 | $ 2,253,127,000 | $ 3,061,923,000 | $ 2,025,678,000 | |
Total interest expense | 20,210,000 | 15,143,000 | 39,122,000 | 27,682,000 | |
Maximum daily amount outstanding | 3,511,918,000 | 2,814,572,000 | 3,842,167,000 | 2,814,572,000 | |
Amount outstanding | 3,501,925,000 | 2,702,642,000 | 3,501,925,000 | 2,702,642,000 | |
Unamortization of commitment fees and issuance costs | (5,441,000) | (6,388,000) | (5,441,000) | (6,388,000) | |
Balance | $ 3,500,569,000 | $ 2,701,755,000 | 3,500,569,000 | 2,701,755,000 | $ 2,729,027,000 |
Weighted-average interest rate | 2.25% | 2.09% | |||
Available borrowing capacity, Committed | $ 242,310,000 | $ 344,923,000 | |||
Available borrowing capacity, Uncommitted | 129,723,000 | 828,885,000 | |||
Available borrowing capacity | 372,033,000 | 1,173,808,000 | |||
Margin deposits placed with counterparties | 12,848,000 | 4,469,000 | 12,848,000 | 4,469,000 | |
Fair value of assets securing agreements to repurchase | 4,364,200,000 | 3,619,448,000 | 4,364,200,000 | 3,619,448,000 | |
Assets Sold under Agreement to Repurchase [Member] | |||||
Disclosure of Repurchase Agreements [Abstract] | |||||
Unamortization of commitment fees and issuance costs | (1,356,000) | (887,000) | (1,356,000) | (887,000) | |
Mortgage-backed securities at fair value [Member] | |||||
Disclosure of Repurchase Agreements [Abstract] | |||||
Fair value of assets securing agreements to repurchase | 278,305,000 | 198,899,000 | 278,305,000 | 198,899,000 | |
Mortgage loans acquired for sale at fair value [Member] | |||||
Disclosure of Repurchase Agreements [Abstract] | |||||
Fair value of assets securing agreements to repurchase | 1,422,166,000 | 905,044,000 | 1,422,166,000 | 905,044,000 | |
Mortgage loans at fair value [Member] | |||||
Disclosure of Repurchase Agreements [Abstract] | |||||
Fair value of assets securing agreements to repurchase | 2,460,678,000 | 2,407,821,000 | 2,460,678,000 | 2,407,821,000 | |
Real estate acquired in settlement of loans [Member] | |||||
Disclosure of Repurchase Agreements [Abstract] | |||||
Fair value of assets securing agreements to repurchase | $ 203,051,000 | $ 107,684,000 | $ 203,051,000 | $ 107,684,000 |
Assets Sold Under Agreements124
Assets Sold Under Agreements to Repurchase - Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase (Parenthetical) (Detail) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Assets Sold under Agreement to Repurchase [Member] | ||||
Disclosure of Repurchase Agreements [Abstract] | ||||
Amortization of commitment fees and issuance costs | $ 2.2 | $ 2.6 | $ 4.9 | $ 5.2 |
Assets Sold Under Agreements125
Assets Sold Under Agreements to Repurchase - Summary of Maturities of Outstanding Assets Sold under Agreements to Repurchase by Facility Maturity Date (Detail) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2015 | Jun. 30, 2014 | |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Maturity of repurchase agreements | $ 3,501,925 | $ 2,702,642 |
Securities sold under agreements to repurchase at fair value [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Maturity of repurchase agreements | $ 3,501,925 | |
Weighted average maturity | 5 years 7 months 6 days | |
Securities sold under agreements to repurchase at fair value [Member] | Within 30 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Maturity of repurchase agreements | $ 143,919 | |
Securities sold under agreements to repurchase at fair value [Member] | Over 30 to 90 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Maturity of repurchase agreements | 1,329,621 | |
Securities sold under agreements to repurchase at fair value [Member] | Over 90 days to 180 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Maturity of repurchase agreements | 1,096,036 | |
Securities sold under agreements to repurchase at fair value [Member] | Over 180 days to 1 year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Maturity of repurchase agreements | 490,783 | |
Securities sold under agreements to repurchase at fair value [Member] | Maturity One Year To Two Years [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Maturity of repurchase agreements | $ 441,566 |
Assets Sold Under Agreements126
Assets Sold Under Agreements to Repurchase - Summary of Assets Sold under Agreements to Repurchase by Counterparty (Detail) - Jun. 30, 2015 - USD ($) $ in Thousands | Total |
Credit Suisse First Boston Mortgage Capital LLC [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Sep. 18, 2015 |
Bank of America, N.A. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Sep. 19, 2015 |
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 | $ 12,528 |
Facility maturity | Aug. 16, 2015 |
Morgan Stanley Bank, N.A. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Aug. 22, 2015 |
Citibank, N.A. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Jul. 29, 2015 |
Citibank, N.A. [Member] | Securities sold under agreements to repurchase at fair value [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 416 |
Facility maturity | Sep. 30, 2015 |
JPMorgan Chase & Co. [Member] | Securities sold under agreements to repurchase at fair value [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 3,820 |
Facility maturity | Jul. 29, 2015 |
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 | $ 5,415 |
Facility maturity | Aug. 2, 2015 |
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 | $ 170,684 |
Facility maturity | Oct. 30, 2015 |
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 | $ 442,604 |
Facility maturity | Jan. 29, 2016 |
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 | $ 15,200 |
Facility maturity | Dec. 17, 2015 |
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 | $ 333,424 |
Facility maturity | Sep. 7, 2015 |
Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member] | JPMorgan Chase & Co. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 177,811 |
Facility maturity | Jan. 26, 2017 |
Assets Sold Under Agreements127
Assets Sold Under Agreements to Repurchase - Covenant Compliance (Detail) | Jun. 30, 2015USD ($) |
PennyMac Mortgage Investment Trust [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Net worth | $ 1,525,297,000 |
Minimum net worth amount | 860,000,000 |
Operating Partnership [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Net worth | 1,579,016,000 |
Minimum net worth amount | 700,000,000 |
PennyMac Holdings, LLC [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Net worth | 873,495,000 |
Minimum net worth amount | 250,000,000 |
PennyMac Corp [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Net worth | 412,488,000 |
Minimum net worth amount | $ 150,000,000 |
Mortgage Loan Participation 128
Mortgage Loan Participation and Sale Agreement - Summary of Mortgage Loan Participation and Sale Agreement (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | Jun. 30, 2014 | |
At period end: | ||||
Unamortization of commitment fees and issuance costs | $ (5,441,000) | $ (5,441,000) | $ (6,388,000) | |
Balance | $ 70,612,000 | $ 70,612,000 | $ 20,222,000 | |
Mortgage Loan Participation and Sale Agreement [Member] | ||||
During the period: | ||||
Weighted-average interest rate | 1.43% | 1.43% | ||
Average balance | $ 60,363,000 | $ 52,001,000 | ||
Total interest expense | 266,000 | 473,000 | ||
Maximum daily amount outstanding | 148,032,000 | 148,032,000 | ||
At period end: | ||||
Amount outstanding | 70,627,000 | 70,627,000 | ||
Unamortization of commitment fees and issuance costs | (15,000) | (15,000) | ||
Balance | $ 70,612,000 | 70,612,000 | ||
Weighted-average interest rate | 1.44% | |||
Mortgage loans pledged to secure mortgage loan participation and sale agreement | $ 72,819,000 | $ 72,819,000 | $ 20,862,000 |
Mortgage Loan Participation 129
Mortgage Loan Participation and Sale Agreement - Summary of Mortgage Loan Participation and Sale Agreement (Parenthetical) (Detail) - Jun. 30, 2015 - USD ($) $ in Thousands | Total | Total |
Mortgage Loan Participation and Sale Agreement [Member] | ||
Participating Mortgage Loans [Line Items] | ||
Amortization of commitment fee | $ 47,000 | $ 99,000 |
Federal Home Loan Bank Advan130
Federal Home Loan Bank Advances - Additional Information (Detail) - USD ($) | 6 Months Ended | |
Jun. 30, 2015 | Dec. 31, 2014 | |
Federal Home Loan Bank, Advances [Line Items] | ||
Federal home loan bank advances | $ 400,000,000 | |
Outstanding FHLB advances | 138,400,000 | $ 0 |
Maximum outstanding FHLB advances | $ 138,400,000 | |
Weighted average interest rate | 0.24% | |
Pledged to secure FHLB advances | $ 48,627,000 | 0 |
Maturity period of FHLB advances | 30 days | |
Percentage of capital stock | 4.00% | |
Mortgage-backed securities [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Pledged to secure FHLB advances | $ 9,300,000 | |
Mortgage loans acquired for sale at fair value [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Pledged to secure FHLB advances | 106,303,000 | 0 |
Mortgage loans acquired for sale [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Pledged to secure FHLB advances | $ 48,627,000 | $ 0 |
Credit Risk Transfer Financing
Credit Risk Transfer Financing - Additional Information (Detail) - USD ($) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2015 | May. 11, 2015 | Dec. 31, 2014 | |
Debt Instrument [Line Items] | |||
Mortgage loans under credit risk financing fair value | $ 656,377 | $ 0 | |
Asset-backed financing, aggregate fair value | $ 649,120 | $ 0 | |
CRT Financing Agreement [Member] | |||
Debt Instrument [Line Items] | |||
Unpaid principal balance of mortgage loans held for sale | $ 1,100,000 | ||
Agreement date | May 11, 2015 | ||
Mortgage loans under credit risk financing fair value | $ 656,400 |
Note Payable - Additional Infor
Note Payable - Additional Information (Detail) - USD ($) | 6 Months Ended | ||
Jun. 30, 2015 | Mar. 31, 2015 | Sep. 30, 2013 | |
Debt Instrument [Line Items] | |||
Aggregate loan amount | $ 537,000,000 | ||
Maturity date of debt instrument | Mar. 29, 2016 | ||
Maximum [Member] | |||
Debt Instrument [Line Items] | |||
Aggregate loan amount | $ 250,000,000 |
Note Payable - Summary of Finan
Note Payable - Summary of Financial Information Relating to Note Payable (Detail) - Jun. 30, 2015 - USD ($) | Total | Total |
During the period: | ||
Weighted-average interest rate | 4.18% | 4.18% |
Average balance | $ 104,797,000 | $ 52,981,000 |
Total interest expense | 994,000 | 994,000 |
Maximum daily amount outstanding | 192,352,000 | 192,352,000 |
At period end: | ||
Amount outstanding | 0 | 0 |
Balance | $ 192,352,000 | 192,352,000 |
Weighted-average interest rate | 4.18% | |
Mortgage servicing rights pledged to secure note payable | $ 394,737,000 | $ 394,737,000 |
Asset-Backed Secured Financi134
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) - Asset-backed secured financing of the variable interest entity at fair value [Member] - Variable Interest Entity [Member] - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
During the period: | ||||
Weighted-average fair value | $ 159,236 | $ 165,495 | $ 162,361 | $ 166,190 |
Interest expense | $ 1,301 | $ 1,561 | $ 2,885 | $ 3,178 |
Weighted-average effective interest rate | 3.23% | 3.73% | 3.53% | 3.80% |
At period end: | ||||
Balance | $ 151,489 | $ 170,201 | $ 151,489 | $ 170,201 |
Interest rate | 3.50% | 3.50% |
Exchangeable Senior Notes - Add
Exchangeable Senior Notes - Additional Information (Detail) - Jun. 30, 2015 | USD ($)$ / shares |
Debt Instrument [Line Items] | |
Maturity date of debt instrument | Mar. 29, 2016 |
Exchangeable Senior Notes due May 1, 2020 [Member] | |
Debt Instrument [Line Items] | |
Issuance of debt through private offering | $ 250,000,000 |
Percentage of interest on debt | 5.375% |
Number of shares exchanged per exchangeable notes | 33.8667 |
Principal amount of the exchangeable notes | $ 1,000 |
Increased in cash dividend | $ / shares | $ 0.57 |
Maturity date of debt instrument | May 1, 2020 |
Initial exchangeable rate [Member] | Exchangeable Senior Notes due May 1, 2020 [Member] | |
Debt Instrument [Line Items] | |
Number of shares exchanged per exchangeable notes | 33.5149 |
Exchangeable Senior Notes - Sum
Exchangeable Senior Notes - Summary of Financial Information Relating to Exchangeable Notes (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | |
During the period: | |||||
Weighted-average unpaid principal balance | $ 250,000 | $ 250,000 | $ 250,000 | $ 250,000 | |
Interest expense | 3,601 | 3,587 | 7,198 | 7,171 | |
At period end: | |||||
Unpaid principal balance | 250,000 | 250,000 | 250,000 | 250,000 | |
Unamortized issuance costs | (5,441) | (6,388) | (5,441) | (6,388) | |
Exchangeable senior notes | $ 244,559 | $ 243,612 | $ 244,559 | $ 243,612 | $ 244,079 |
Exchangeable Senior Notes - 137
Exchangeable Senior Notes - Summary of Financial Information Relating to Exchangeable Notes (Parenthetical) (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Interest Expense [Member] | ||||
Debt Instrument [Line Items] | ||||
Amortization of debt issuance costs | $ 242,000 | $ 228,000 | $ 481,000 | $ 453,000 |
Borrowings under Forward Pur138
Borrowings under Forward Purchase Agreements - Additional Information (Detail) - USD ($) | Jun. 30, 2015 | Jun. 30, 2014 |
Forward purchase agreements [Member] | ||
Debt Instrument [Line Items] | ||
Borrowings | $ 0 | $ 0 |
Borrowings under Forward Pur139
Borrowings under Forward Purchase Agreements - Summary of Financial Information Relating to Borrowings under Forward Purchase Agreements (Detail) - Forward purchase agreements [Member] - USD ($) | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2015 | |
During the period: | |||
Weighted-average effective interest rate | 2.82% | 2.84% | |
Weighted-average balance | $ 109,793,000 | $ 165,471,000 | |
Interest expense | 783,000 | 2,363,000 | |
Maximum daily amount outstanding | 226,847,000 | 226,847,000 | |
At period end: | |||
Balance | $ 0 | $ 0 | $ 0 |
Interest rate | 0.00% | ||
Fair value of underlying loans and REO | $ 0 |
Liability for Losses under R140
Liability for Losses under Representations and Warranties - Summary of Company's Liability for Losses under Representations and Warranties (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Mortgage Banking [Abstract] | ||||
Balance, beginning of period | $ 15,379 | $ 10,854 | $ 14,242 | $ 10,110 |
Provision for losses | 1,419 | 1,022 | 2,344 | 1,766 |
Losses incurred | (84) | 0 | (102) | 0 |
Recoveries | 0 | 0 | 230 | 0 |
Balance, end of period | 16,714 | 11,876 | 16,714 | 11,876 |
Unpaid principal balance of mortgage loans subject to representations and warranties at period end | $ 37,431,575 | $ 29,806,058 | $ 37,431,575 | $ 29,806,058 |
Commitments and Contingencies -
Commitments and Contingencies - Company's Outstanding Contractual Loan Commitments (Detail) $ in Thousands | Jun. 30, 2015USD ($) |
Commitments to purchase mortgage loans: | |
Mortgage loans acquired for sale at fair value | $ 1,503,814 |
Shareholders' Equity - Addition
Shareholders' Equity - Additional Information (Detail) - USD ($) | 3 Months Ended | 6 Months Ended |
Jun. 30, 2015 | Jun. 30, 2014 | |
Schedule of Capitalization, Equity [Line Items] | ||
Number of common shares sold under Sales Agreement | 0 | 3,447,022 |
Proceeds from public offering of common shares | $ 81,600,000 | |
Sales commissions net | $ 889,000 | |
Weighted Average [Member] | ||
Schedule of Capitalization, Equity [Line Items] | ||
Price of common shares sold under sales agreement | $ 23.92 | |
ATM Equity Offering Sales AgreementSM [Member] | ||
Schedule of Capitalization, Equity [Line Items] | ||
Amount of common stock available for future issuance under Sales Agreement | $ 106,900,000 | $ 115,000,000 |
Net Interest Income - Summary o
Net Interest Income - Summary of Net Interest Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Interest income: | ||||
Interest income, total | $ 45,333 | $ 48,518 | $ 86,018 | $ 87,864 |
Interest expense: | ||||
Assets sold under agreements to repurchase | 20,210 | 15,143 | 39,122 | 27,682 |
Note payable | 994 | 994 | ||
Interest expense, total | 29,739 | 21,865 | 55,485 | 41,640 |
Net interest income | 15,594 | 26,653 | 30,533 | 46,224 |
Nonaffiliates [Member] | ||||
Interest income: | ||||
Short-term investments | 82 | 172 | 302 | 324 |
Mortgage-backed securities | 2,505 | 1,961 | 5,139 | 3,722 |
Mortgage loans acquired for sale at fair value | 10,315 | 5,574 | 17,416 | 9,199 |
Mortgage loans at fair value | 22,171 | 30,813 | 43,725 | 54,099 |
Mortgage loans under forward purchase agreements | 0 | 1,430 | 0 | 3,584 |
Other | 13 | 12 | 24 | 22 |
Interest income, total | 39,515 | 45,380 | 76,448 | 81,863 |
Interest expense: | ||||
Assets sold under agreements to repurchase | 20,208 | 15,143 | 39,120 | 27,682 |
Mortgage loans participation and sale agreement | 266 | 0 | 473 | 0 |
Credit risk transfer financing at fair value | 1,113 | 0 | 1,113 | 0 |
Asset-backed secured financing | 1,301 | 1,561 | 2,884 | 3,178 |
Federal Home Loan Bank advances | 2 | 0 | 2 | 0 |
Exchangeable senior notes | 3,601 | 3,587 | 7,198 | 7,171 |
Borrowings under forward purchase agreements | 0 | 783 | 0 | 2,363 |
Note payable | 994 | 0 | 994 | 0 |
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations | 1,291 | 461 | 2,464 | 700 |
Interest on mortgage loan impound deposits | 430 | 330 | 704 | 546 |
Interest expense, total | 29,206 | 21,865 | 54,952 | 41,640 |
Nonaffiliates [Member] | Consolidated VIE [Member] | ||||
Interest income: | ||||
Mortgage loans at fair value | 4,429 | 5,418 | 9,842 | 10,913 |
PennyMac Financial Services, Inc. [Member] | ||||
Interest income: | ||||
Interest income, total | 5,818 | 3,138 | 9,570 | 6,001 |
Excess servicing spread purchased from PFSI, at fair value | 5,818 | 3,138 | 9,570 | 6,001 |
Interest expense: | ||||
Note payable | 533 | 0 | 533 | 0 |
Interest expense, total | $ 533 | $ 0 | $ 533 | $ 0 |
Net Gain on Mortgage Loans A144
Net Gain on Mortgage Loans Acquired for Sale - Summary of Net Gain on Mortgage Loans Acquired for Sale (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Cash (loss) gain: | ||||
Sales proceeds, net | $ (51,218) | $ (3,173) | $ (58,762) | $ (6,067) |
Hedging activities | 18,713 | (18,749) | 6,186 | (22,299) |
Cash gain, net of effects of cash hedging, on sale of mortgage loans acquired for sale | (32,505) | (21,922) | (52,576) | (28,366) |
Non cash gain: | ||||
Receipt of MSRs in loan sale transactions | 32,176 | 28,741 | 59,636 | 49,616 |
Provision for losses relating to representations and warranties provided in loan sales | (1,419) | (1,022) | (2,344) | (1,766) |
Change in fair value of IRLCs, mortgage loans and hedging derivatives held at period end: | ||||
IRLCs | (8,481) | 7,816 | (5,927) | 9,838 |
Mortgage loans | 14,551 | 6,660 | 18,277 | 8,073 |
Hedging derivatives | 6,853 | (10,051) | 4,269 | (17,202) |
Total non cash portion of gain on mortgage loans acquired for sale | 12,923 | 4,425 | 16,619 | 709 |
Net gain on mortgage loans acquired for sale | $ 11,175 | $ 10,222 | $ 21,335 | $ 20,193 |
Net Gain on Investments - Summa
Net Gain on Investments - Summary of Net Gain on Investments (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Net gain (loss) on investments: | ||||
Net gain (loss) on investments | $ 22,614 | $ 73,134 | $ 26,061 | $ 115,719 |
Nonaffiliates [Member] | ||||
Net gain (loss) on investments: | ||||
Mortgage-backed securities | (6,702) | 4,265 | (5,186) | 6,917 |
Mortgage loans | 30,068 | 73,595 | 47,254 | 113,512 |
Mortgage loans held in a VIE | (12,077) | 16,177 | (10,277) | 27,484 |
Asset-backed secured financing | 3,991 | (5,175) | 3,222 | (7,954) |
Hedging derivatives | (1,255) | (8,191) | (11,294) | (13,802) |
Net gain (loss) on investments | 14,025 | 80,671 | 23,719 | 126,157 |
PennyMac Financial Services, Inc. [Member] | ||||
Net gain (loss) on investments: | ||||
Net gain (loss) on investments | 8,589 | (7,537) | 2,342 | (10,438) |
Excess servicing spread purchased from PFSI | $ 8,589 | $ (7,537) | $ 2,342 | $ (10,438) |
Net Loan Servicing Fees - Summa
Net Loan Servicing Fees - Summary of Net Loan Servicing Fees (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Transfers and Servicing [Abstract] | ||||
Servicing fees | $ 25,887 | $ 19,156 | $ 48,516 | $ 36,688 |
MSR recapture fee receivable from PFSI | 0 | 1 | 0 | 9 |
Effect of MSRs: | ||||
Carried at lower of amortized cost or fair value Amortization | (9,988) | (7,696) | (19,580) | (15,061) |
Reversal of (provision for) impairment | 7,082 | (2,224) | 703 | (2,851) |
Gain on sale | 0 | 0 | 83 | 0 |
Carried at fair value - change in fair value | 6,307 | (4,764) | (3,510) | (6,792) |
(Losses) gains on hedging derivatives | (16,272) | 4,285 | (5,193) | 4,186 |
Total Effect of MSRs | (12,870) | (10,399) | (27,497) | (20,518) |
Net loan servicing fees | 13,017 | 8,758 | 21,019 | 16,179 |
Average servicing portfolio | $ 35,742,835 | $ 28,230,295 | $ 35,215,677 | $ 27,417,841 |
Share-Based Compensation Plans
Share-Based Compensation Plans - Additional Information (Detail) - Restricted share units [Member] - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Share-based share compensation plan, and compensation expense | $ 1.1 | $ 1.6 | $ 3.7 | $ 4.1 |
Restricted share units granted | 0 | 300,131 | 294,684 | 300,131 |
Restricted share units, grant date fair value | $ 6 | $ 6.3 | $ 6 | |
Units vested | 226,700 | 149,529 | 301,763 | 230,216 |
Other Expenses - Summary of Oth
Other Expenses - Summary of Other Expenses (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | $ 8,378 | $ 7,154 | $ 14,679 | $ 11,221 |
Loan origination [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | 1,176 | 397 | 2,129 | 435 |
Common overhead allocation from PFSI [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | 2,546 | 2,638 | 4,937 | 5,216 |
Servicing and collection costs [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | 3,182 | 3,114 | 4,627 | 3,745 |
Insurance [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | 302 | 252 | 675 | 491 |
Technology [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | 311 | 227 | 603 | 474 |
Other expenses [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | $ 861 | $ 526 | $ 1,708 | $ 860 |
Other Expenses - Summary of 149
Other Expenses - Summary of Other Expenses (Parenthetical) (Detail) | 3 Months Ended |
Jun. 30, 2015USD ($) | |
PNMAC Capital Management LLC [Member] | |
Other Non operating Income Expense [Line Items] | |
Waiver of overhead expenses | $ 700,000 |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Income Tax Disclosure [Abstract] | ||||
Income tax (benefit) expense | $ (2,983) | $ (1,907) | $ (14,311) | $ (3,492) |
Effective income tax rate | (11.90%) | (2.60%) | (67.30%) | (3.20%) |
Segments and Related Informa151
Segments and Related Information - Additional Information (Detail) | 6 Months Ended |
Jun. 30, 2015Segment | |
Segment Reporting [Abstract] | |
Number of business segments | 2 |
Segments and Related Informa152
Segments and Related Information - Financial Highlights by Operating Segment (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | |
Net investment income: | |||||
Net gain on mortgage loans acquired for sale | $ 11,175 | $ 10,222 | $ 21,335 | $ 20,193 | |
Net gain on investments | 22,614 | 73,134 | 26,061 | 115,719 | |
Net interest income | |||||
Interest income | 45,333 | 48,518 | 86,018 | 87,864 | |
Interest expense | (29,739) | (21,865) | (55,485) | (41,640) | |
Net interest income | 15,594 | 26,653 | 30,533 | 46,224 | |
Net loan servicing fees | 13,017 | 8,758 | 21,019 | 16,179 | |
Other income (loss) | 7,365 | 1,789 | 8,474 | (1,164) | |
Net investment income | 69,765 | 120,556 | 107,422 | 197,151 | |
Expenses: | |||||
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc. | 33,248 | 35,525 | 63,787 | 67,092 | |
Other | 11,429 | 11,727 | 22,367 | 20,467 | |
Total expenses | 44,677 | 47,252 | 86,154 | 87,559 | |
Pre-tax income | 25,088 | 73,304 | 21,268 | 109,592 | |
Total assets at period end | 6,677,374 | 4,869,745 | 6,677,374 | 4,869,745 | $ 4,897,258 |
Operating segments [Member] | Correspondent production [Member] | |||||
Net investment income: | |||||
Net gain on mortgage loans acquired for sale | 11,175 | 10,222 | 21,335 | 20,193 | |
Net gain on investments | 0 | 0 | 0 | 0 | |
Net interest income | |||||
Interest income | 8,997 | 5,585 | 16,109 | 9,220 | |
Interest expense | (4,763) | (4,881) | (8,583) | (8,536) | |
Net interest income | 4,234 | 704 | 7,526 | 684 | |
Net loan servicing fees | 0 | 0 | 0 | 0 | |
Other income (loss) | 7,352 | 4,485 | 12,703 | 6,841 | |
Net investment income | 22,761 | 15,411 | 41,564 | 27,718 | |
Expenses: | |||||
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc. | 15,785 | 12,749 | 28,956 | 21,821 | |
Other | 1,754 | 265 | 2,938 | 353 | |
Total expenses | 17,539 | 13,014 | 31,894 | 22,174 | |
Pre-tax income | 5,222 | 2,397 | 9,670 | 5,544 | |
Total assets at period end | 2,243,570 | 927,849 | 2,243,570 | 927,849 | |
Operating segments [Member] | Investment activities [Member] | |||||
Net investment income: | |||||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 | |
Net gain on investments | 22,614 | 73,134 | 26,061 | 115,719 | |
Net interest income | |||||
Interest income | 36,336 | 44,434 | 69,909 | 81,032 | |
Interest expense | (24,976) | (18,485) | (46,902) | (35,492) | |
Net interest income | 11,360 | 25,949 | 23,007 | 45,540 | |
Net loan servicing fees | 13,017 | 8,758 | 21,019 | 16,179 | |
Other income (loss) | 13 | (2,696) | (4,229) | (8,005) | |
Net investment income | 47,004 | 105,145 | 65,858 | 169,433 | |
Expenses: | |||||
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc. | 17,463 | 22,776 | 34,831 | 45,271 | |
Other | 9,675 | 11,462 | 19,429 | 20,114 | |
Total expenses | 27,138 | 34,238 | 54,260 | 65,385 | |
Pre-tax income | 19,866 | 70,907 | 11,598 | 104,048 | |
Total assets at period end | 4,433,804 | 3,941,896 | 4,433,804 | 3,941,896 | |
Intersegment elimination & other [Member] | |||||
Net investment income: | |||||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 | |
Net gain on investments | 0 | 0 | 0 | 0 | |
Net interest income | |||||
Interest income | 0 | (1,501) | 0 | (2,388) | |
Interest expense | 0 | 1,501 | 0 | 2,388 | |
Net interest income | 0 | 0 | 0 | 0 | |
Net loan servicing fees | 0 | 0 | 0 | 0 | |
Other income (loss) | 0 | 0 | 0 | 0 | |
Net investment income | 0 | 0 | 0 | 0 | |
Expenses: | |||||
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc. | 0 | 0 | 0 | 0 | |
Other | 0 | 0 | 0 | 0 | |
Total expenses | 0 | 0 | 0 | 0 | |
Pre-tax income | 0 | 0 | 0 | 0 | |
Total assets at period end | $ 0 | $ 0 | $ 0 | $ 0 |
Supplemental Cash Flow Infor153
Supplemental Cash Flow Information - Summary of Supplemental Cash Flow Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Additional Cash Flow Elements and Supplemental Cash Flow Information [Abstract] | ||||
Cash paid for interest | $ 53,449 | $ 50,926 | ||
Income tax paid (refund) | 401 | (6,775) | ||
Non-cash investing activities: | ||||
Transfer of mortgage loans and advances to real estate acquired in settlement of loans | $ 71,963 | $ 105,245 | 158,078 | 174,147 |
Purchase of mortgage loans financed through forward purchase agreements | 0 | 1,386 | ||
Transfer of mortgage loans under forward purchase agreements to mortgage loans at fair value | 0 | 205,903 | ||
Transfer of mortgage loans under forward purchase agreements and advances to REO under forward purchase agreements | 2,542 | 0 | 9,369 | |
Receipt of MSRs as proceeds from sales of loans | 32,176 | 28,741 | 59,636 | 49,616 |
Purchase of REO financed through forward purchase agreements | 29 | 0 | 68 | |
Receipt of ESS pursuant to recapture agreement with PFSI | 2,565 | 3,475 | ||
Transfer of REO under forward purchase agreements to REO | 0 | 12,645 | 0 | 12,737 |
Non-cash financing activities: | ||||
Purchase of mortgage loans financed through forward purchase agreements | 0 | 1,386 | ||
Purchase of REO financed through forward purchase agreements | 29 | 0 | 68 | |
Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment | (1,293) | 0 | (1,293) | 0 |
Transfer of mortgage loans at fair value financed through agreements to repurchase to REO financed under agreements to repurchase | 24,972 | 2,123 | ||
Dividends payable | $ 46,074 | $ 43,743 | $ 46,074 | $ 43,743 |
Regulatory Net Worth - Addition
Regulatory Net Worth - Additional Information (Detail) | Jun. 30, 2015USD ($) |
Fannie Mae Capital Markets [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Minimum net worth amount | $ 61,300,000 |
Freddie Mac Capital Markets [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Minimum net worth amount | $ 35,800,000 |
Recently Issued Accounting P155
Recently Issued Accounting Pronouncements - Additional Information (Detail) - Restatement Adjustment [Member] - ASU 2015-03 [Member] | 3 Months Ended |
Jun. 30, 2015USD ($) | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Debt issuance costs | $ 6,800,000 |
Mortgage loans sold under agreements to repurchase [Member] | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Debt issuance costs | 1,300,000 |
Mortgage Loan Participation and Sale Agreement [Member] | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Debt issuance costs | 15,000 |
Exchangeable senior notes [Member] | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Debt issuance costs | $ 5,400,000 |
Subsequent Events - Additional
Subsequent Events - Additional Information (Detail) - USD ($) | Jul. 31, 2015 | Jul. 27, 2015 | Apr. 30, 2015 | Mar. 27, 2015 |
Loan Agreement [Member] | ||||
Subsequent Event [Line Items] | ||||
Maximum borrowing capacity of loan amount | $ 150,000,000 | $ 257,000,000 | ||
Amended Loan Agreement [Member] | ||||
Subsequent Event [Line Items] | ||||
Maximum borrowing capacity of loan amount | 407,000,000 | |||
Increase in borrowing capacity of loan amount | $ 150,000,000 | |||
Subsequent Event [Member] | Morgan Stanley Bank, N.A. [Member] | Loan Agreement [Member] | ||||
Subsequent Event [Line Items] | ||||
Maximum borrowing capacity of loan amount | $ 300,000,000 | |||
Subsequent Event [Member] | Morgan Stanley Bank, N.A. [Member] | Amended Loan Agreement [Member] | ||||
Subsequent Event [Line Items] | ||||
Maximum borrowing capacity of loan amount | 400,000,000 | |||
Increase in borrowing capacity of loan amount | $ 100,000,000 | |||
Subsequent Event [Member] | Bank of America, N.A. [Member] | Loan Agreement [Member] | ||||
Subsequent Event [Line Items] | ||||
Maximum borrowing capacity of loan amount | $ 550,000,000 | |||
Subsequent Event [Member] | Bank of America, N.A. [Member] | Amended Loan Agreement [Member] | ||||
Subsequent Event [Line Items] | ||||
Maximum borrowing capacity of loan amount | 650,000,000 | |||
Increase in borrowing capacity of loan amount | $ 100,000,000 |