Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2015 | Nov. 04, 2015 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2015 | |
Document Fiscal Year Focus | 2,015 | |
Document Fiscal Period Focus | Q3 | |
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 | 73,767,435 |
Consolidated Balance Sheets (Un
Consolidated Balance Sheets (Unaudited) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
ASSETS | ||
Cash | $ 89,303 | $ 76,386 |
Short-term investments | 31,518 | 139,900 |
Mortgage-backed securities at fair value (includes $306,638 and $307,363 pledged to secure assets sold under agreements to repurchase and $8,961 and $0 pledged to secure Federal Home Loan Bank advances) | 315,599 | 307,363 |
Mortgage loans acquired for sale at fair value (includes $903,806 and $609,608 pledged to secure assets sold under agreements to repurchase, $63,162 and $20,862 pledged to secure mortgage loan participation and sale agreement, and $68,937 and $0 pledged to secure Federal Home Loan Bank advances) | 1,050,296 | 637,722 |
Mortgage loans at fair value (includes $2,485,046 and $2,709,161 pledged to secure assets sold under agreements to repurchase and asset-backed secured financing of a variable interest entity at fair value and $140,025 and $0 pledged to secure Federal Home Loan Bank advances) | 2,637,730 | 2,726,952 |
Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value pledged to secure note payable to PennyMac Financial Services, Inc. | 418,573 | 191,166 |
Derivative assets | 16,806 | 11,107 |
Real estate acquired in settlement of loans (includes $280,045 and $150,649 pledged to secure assets sold under agreements to repurchase) | 353,563 | 303,228 |
Real estate held for investment | 4,448 | 0 |
Mortgage servicing rights (includes $57,751 and $57,358 carried at fair value and $423,095 and $0 pledged to secure borrowings under notes payable) | 423,095 | 357,780 |
Servicing advances | 79,528 | 79,878 |
Due from PennyMac Financial Services, Inc. | 9,050 | 6,621 |
Other | 162,722 | 59,155 |
Total assets | 5,592,231 | 4,897,258 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 2,864,032 | 2,729,027 |
Mortgage loan participation and sale agreement | 61,078 | 20,222 |
Federal Home Loan Bank advances | 183,000 | 0 |
Notes payable | 192,332 | 0 |
Asset-backed secured financing of a variable interest entity at fair value | 234,287 | 165,920 |
Exchangeable senior notes | 244,805 | 244,079 |
Derivative liabilities | 2,786 | 2,430 |
Accounts payable and accrued liabilities | 67,086 | 67,806 |
Due to PennyMac Financial Services, Inc. | 17,220 | 23,943 |
Income taxes payable | 42,702 | 51,417 |
Liability for losses under representations and warranties | 18,473 | 14,242 |
Total liabilities | 4,077,801 | 3,319,086 |
SHAREHOLDERS' EQUITY | ||
Common shares of beneficial interest-authorized, 500,000,000 common shares of $0.01 par value; issued and outstanding, 73,792,435 and 74,510,159 common shares | 738 | 745 |
Additional paid-in capital | 1,468,739 | 1,479,699 |
Retained earnings | 44,953 | 97,728 |
Total shareholders' equity | 1,514,430 | 1,578,172 |
Total liabilities and shareholders' equity | 5,592,231 | 4,897,258 |
PennyMac Financial Services, Inc. [Member] | ||
LIABILITIES | ||
Notes payable | 150,000 | 0 |
Consolidated VIE [Member] | ||
ASSETS | ||
Mortgage loans at fair value (includes $2,485,046 and $2,709,161 pledged to secure assets sold under agreements to repurchase and asset-backed secured financing of a variable interest entity at fair value and $140,025 and $0 pledged to secure Federal Home Loan Bank advances) | 477,271 | 527,369 |
Derivative assets | 626 | 0 |
Other assets | ||
Interest receivable | 1,502 | 1,651 |
Restricted cash | 87,891 | 0 |
Total assets of Consolidated Variable Interest Entity | 567,290 | 529,020 |
LIABILITIES | ||
Asset-backed secured financing of a variable interest entity at fair value | 234,287 | 165,920 |
Accounts payable and accrued expenses-interest payable | 679 | 477 |
Total liabilities of Consolidated Variable Interest Entity | $ 234,966 | $ 166,397 |
Consolidated Balance Sheets (U3
Consolidated Balance Sheets (Unaudited) (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Mortgage-backed securities at fair value, pledged to secure assets sold under agreements to repurchase | $ 306,638 | $ 307,363 |
Mortgage-backed securities at fair value, pledged to secure Federal Home Loan Bank advances | 8,961 | 0 |
Mortgage loans acquired for sale at fair value, pledged to secure assets sold under agreements to repurchase | 903,806 | 609,608 |
Mortgage loans acquired for sale at fair value, pledged to secure Federal Home Loan Bank advances | 68,937 | 0 |
Mortgage loans at fair value, pledged to secure assets sold under agreements to repurchase and asset-backed secured financing of a variable interest entity at fair value | 2,485,046 | 2,709,161 |
Mortgage loans at fair value, pledged to secure Federal Home Loan Bank advances | 140,025 | 0 |
Real estate acquired in settlement of loans, pledged to secure assets sold under agreements to repurchase | 280,045 | 150,649 |
Mortgage servicing rights at fair value | 57,751 | 57,358 |
Mortgage servicing rights, pledged to secure borrowings under notes payable | $ 423,095 | $ 0 |
Common shares, authorized | 500,000,000 | 500,000,000 |
Common shares, par value | $ 0.01 | $ 0.01 |
Common shares, issued | 73,792,435 | 74,510,159 |
Common shares, outstanding | 73,792,435 | 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 | $ 63,162 | $ 20,862 |
Consolidated Statements of Inco
Consolidated Statements of Income (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Net investment income | ||||
Interest income | $ 61,438 | $ 41,236 | $ 147,456 | $ 129,100 |
Interest expense | ||||
Interest expense | 37,760 | 22,020 | 93,245 | 63,660 |
Net interest income | 23,678 | 19,216 | 54,211 | 65,440 |
Net gain on mortgage loans acquired for sale | 13,884 | 9,509 | 35,219 | 29,702 |
Loan origination fees | 9,135 | 6,447 | 21,701 | 13,288 |
Net gain on investments | 24,958 | 70,390 | 51,019 | 186,109 |
Net loan servicing fees | 20,791 | 10,533 | 41,810 | 26,712 |
Results of real estate acquired in settlement of loans | (4,221) | (11,926) | (11,859) | (23,900) |
Other | 2,549 | 2,361 | 6,095 | 6,330 |
Net investment income | 90,774 | 106,530 | 198,196 | 303,681 |
Expenses | ||||
Loan fulfillment fees | 17,553 | 15,497 | 45,752 | 36,832 |
Loan servicing fees | 11,736 | 12,325 | 34,542 | 41,096 |
Management fees | 5,742 | 9,623 | 18,524 | 26,609 |
Compensation | 1,550 | 1,843 | 5,748 | 6,668 |
Professional services | 1,759 | 1,927 | 5,249 | 6,348 |
Other | 7,327 | 7,384 | 22,006 | 18,604 |
Total expenses | 45,667 | 48,599 | 131,821 | 136,157 |
Income before provision for (benefit from) income taxes | 45,107 | 57,931 | 66,375 | 167,524 |
Provision for (benefit from) income taxes | 6,295 | 2,982 | (8,016) | (509) |
Net income | $ 38,812 | $ 54,949 | $ 74,391 | $ 168,033 |
Earnings per share | ||||
Basic | $ 0.51 | $ 0.74 | $ 0.98 | $ 2.28 |
Diluted | $ 0.49 | $ 0.69 | $ 0.95 | $ 2.13 |
Weighted-average shares outstanding | ||||
Basic | 74,681 | 74,140 | 74,675 | 73,254 |
Diluted | 83,411 | 82,832 | 83,486 | 81,978 |
Dividends declared per share | $ 0.47 | $ 0.61 | $ 1.69 | $ 1.79 |
Nonaffiliates [Member] | ||||
Net investment income | ||||
Interest income | $ 53,412 | $ 37,659 | $ 129,860 | $ 119,522 |
Interest expense | ||||
Interest expense | 36,471 | 22,020 | 91,423 | 63,660 |
Net gain on investments | 32,802 | 77,786 | 56,521 | 203,943 |
PennyMac Financial Services, Inc. [Member] | ||||
Net investment income | ||||
Interest income | 8,026 | 3,577 | 17,596 | 9,578 |
Interest expense | ||||
Interest expense | 1,289 | 0 | 1,822 | 0 |
Net gain on investments | $ (7,844) | $ (7,396) | $ (5,502) | $ (17,834) |
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 | 168,033 | 168,033 | ||
Share-based compensation, Amount | 4,356 | $ 2 | 4,354 | |
Share-based compensation, Shares | 235,000 | |||
Common share dividends | (132,863) | (132,863) | ||
Issuance of common shares, Amount | $ 82,453 | $ 34 | 82,419 | |
Issuance of common shares, Shares | 3,447,022 | 3,447,000 | ||
Share underwriting and offering costs | $ (1,052) | (1,052) | ||
Balance, Amount at Sep. 30, 2014 | 1,588,041 | $ 741 | 1,470,189 | 117,111 |
Balance, Shares at Sep. 30, 2014 | 74,140,000 | |||
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 | 74,391 | 74,391 | ||
Share-based compensation, Amount | 4,980 | $ 3 | 4,977 | |
Share-based compensation, Shares | 302,000 | |||
Common share dividends | (127,166) | (127,166) | ||
Issuance of common shares, Amount | 8 | 8 | ||
Issuance of common shares, Shares | 0 | |||
Repurchase of common shares, Amount | $ (15,955) | $ (10) | (15,945) | |
Repurchase of common shares, Shares | (1,000,000) | (1,020,000) | ||
Balance, Amount at Sep. 30, 2015 | $ 1,514,430 | $ 738 | $ 1,468,739 | $ 44,953 |
Balance, Shares at Sep. 30, 2015 | 73,792,000 |
Consolidated Statements of Cha6
Consolidated Statements of Changes in Shareholders' Equity (Unaudited) (Parenthetical) - $ / shares | 9 Months Ended | |
Sep. 30, 2015 | Sep. 30, 2014 | |
Common share dividends declared per share | $ 1.69 | $ 1.79 |
Retained earnings [Member] | ||
Common share dividends declared per share | $ 1.69 | $ 1.79 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2015 | Sep. 30, 2014 | |
Cash flows from operating activities | ||
Net income | $ 74,391 | $ 168,033 |
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 | (884) | (905) |
Capitalization of interest on mortgage loans at fair value | (34,979) | (40,805) |
Accrual of interest on excess servicing spread | (17,596) | (9,578) |
Amortization of credit facility commitment fees and debt issuance costs | 8,491 | 7,298 |
Net gain on mortgage loans acquired for sale | (35,219) | (29,702) |
Reversal of costs related to forward purchase agreements | 0 | (168) |
Net gain on investments | (51,019) | (186,109) |
Change in fair value, amortization and impairment of mortgage servicing rights | 32,876 | 30,285 |
Results of real estate acquired in settlement of loans | 11,859 | 23,900 |
Share-based compensation expense | 4,980 | 4,356 |
Purchases of mortgage loans acquired for sale at fair value from nonaffiliates | (35,922,418) | (20,759,885) |
Purchases of mortgage loans acquired for sale at fair value from PennyMac Financial Services, Inc. | (13,708) | (4,955) |
Repurchase of mortgage loans subject to representation and warranties | (14,873) | (14,266) |
Sales and repayments of mortgage loans acquired for sale at fair value to nonaffiliates | 10,593,309 | 8,548,903 |
Sales of mortgage loans acquired for sale to PennyMac Financial Services, Inc. | 24,877,077 | 11,947,251 |
Increase in servicing advances | (16,930) | (14,347) |
(Increase) decrease in due from PennyMac Financial Services, Inc. | (2,090) | 2,163 |
Increase in other assets | (14,891) | (70,252) |
Increase in accounts payable and accrued liabilities | 10,624 | 6,038 |
(Decrease) increase in payable to PennyMac Financial Services, Inc. | (6,487) | 3,076 |
(Decrease) increase in income taxes payable | (8,715) | 6,273 |
Net cash used in operating activities | (526,202) | 383,396 |
Cash flows from investing activities | ||
Net decrease in short-term investments | 108,382 | 54,946 |
Purchases of mortgage-backed securities at fair value | (62,224) | (73,922) |
Repayments of mortgage-backed securities at fair value | 52,520 | 9,830 |
Purchases of mortgage loans at fair value | (241,981) | (283,017) |
Sales and repayments of mortgage loans at fair value | 215,630 | 532,375 |
Repayments of mortgage loans under forward purchase agreements at fair value | 0 | 6,413 |
Purchases of excess servicing spread from PennyMac Financial Services, Inc. | (271,452) | (82,646) |
Repayments of excess servicing spread by PennyMac Financial Services, Inc. | 55,800 | 25,280 |
Purchase of Federal Home Loan Bank capital stock | (7,330) | 0 |
Settlements of derivative financial instruments | (8,766) | (7,879) |
Sale of mortgage loans at fair value to PennyMac Financial Services, Inc. | 1,466 | 0 |
Purchase of real estate acquired in settlement of loans | 0 | (3,049) |
Sales of real estate acquired in settlement of loans | 174,784 | 124,794 |
Sales of real estate acquired in settlement of loans under forward purchase agreements | 0 | 5,365 |
Sale of mortgage servicing rights | 392 | 137 |
Deposits of cash collateral to variable interest entities | (87,891) | 0 |
Decrease (increase) in margin deposits and restricted cash | 1,438 | (350) |
Net cash (used) provided by investing activities | (69,232) | 308,277 |
Cash flows from financing activities | ||
Sales of assets under agreement to repurchase | 38,669,898 | 26,109,117 |
Repurchases of assets sold under agreements to repurchase | (38,534,306) | (25,732,035) |
Sales of mortgage loan participation certificates | 3,613,090 | 0 |
Repayments of mortgage loan participation certificates | (3,572,232) | 0 |
Issuances of credit risk transfer financing | 1,204,187 | 0 |
Repayments of credit risk transfer financing | (1,204,187) | 0 |
Federal Home Loan Bank advances | 461,484 | 0 |
Repayments of Federal Home Loan Bank advances | (278,484) | 0 |
Advances under note payable | 346,179 | 0 |
Repayments under note payable | (153,765) | 0 |
Repayments of borrowings under forward purchase agreements | 0 | (227,866) |
Issuances of asset-backed secured financing at fair value | 85,206 | 0 |
Repayments of asset-backed secured financing at fair value | (15,590) | (6,161) |
Payments of debt issuance cost and commitment fees | (8,436) | 0 |
Issuances of common shares | 8 | 82,453 |
Repurchases of common shares | (15,955) | 0 |
Payments of common share underwriting and offering costs | 0 | (1,052) |
Payments of contingent underwriting fees payable | (705) | (1,295) |
Payments of dividends | (138,041) | (128,966) |
Net cash provided financing activities | 608,351 | 94,195 |
Net increase in cash | 12,917 | 19,076 |
Cash at beginning of period | 76,386 | 27,411 |
Cash at end of period | 89,303 | 46,487 |
PennyMac Financial Services, Inc. [Member] | ||
Cash flows from financing activities | ||
Advances under note payable to PennyMac Financial Services, Inc. | 168,546 | 0 |
Repayments under note payable to PennyMac Financial Services, Inc. | $ (18,546) | $ 0 |
Organization and Basis of Prese
Organization and Basis of Presentation | 9 Months Ended |
Sep. 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, LLC (“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 the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or through government agencies such as the Government National Mortgage Association (“Ginnie Mae”). Fannie Mae, Freddie Mac and Ginnie Mae are each referred to as an “Agency” and, collectively, as the “Agencies.” • The investment activities segment represents the Company’s investments in mortgage-related assets, which include distressed mortgage loans, real estate acquired in settlement of loans (“REO”), MBS, mortgage servicing rights (“MSRs”) and excess servicing spread (“ESS”). The Company seeks to maximize the value of 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 that may be anticipated for the full year. Intercompany accounts and transactions have been eliminated. Preparation of financial statements in compliance with GAAP requires the Manager to make estimates and judgments that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements, and revenues and expenses during the reporting period. Actual results will likely differ from those estimates. 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 sold under agreements to repurchase, Mortgage loan participation and sale agreement Exchangeable senior notes Following is a summary of the balance sheet reclassifications: December 31, 2014 As reported As previously reported Reclassification (in thousands) ASSETS Other $ 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 | 9 Months Ended |
Sep. 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 PLS’ 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 September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Investment portfolio purchases: Mortgage loans $ — $ — $ 241,981 $ 284,403 REO — — — 3,117 $ — $ — $ 241,981 $ 287,520 Investment portfolio purchases above through one or more subsidiaries of Citigroup Inc.: Mortgage loans $ — $ — $ — $ 26,737 REO — — — 68 $ — $ — $ — $ 26,805 Following is a summary of the Company’s holdings of assets purchased through one or more subsidiaries of Citigroup Inc.: September 30, December 31, (in thousands) Mortgage loans $ 879,990 $ 943,163 REO 97,619 108,302 $ 977,609 $ 1,051,465 Total holdings of mortgage loans and REO $ 2,991,293 $ 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 the CGM assets and related obligations as of the dates of the forward purchase agreements and recognized all subsequent income and changes in fair value relating to such assets. As a result of recognizing the CGM assets and related obligations, the Company’s consolidated statements of income and cash flows included the following amounts related to the forward purchase agreements: Quarter ended Nine months ended (in thousands) Statements of income: Interest income $ — $ 3,584 Interest expense $ — $ 2,364 Net gain on investments $ — $ 803 Net loan servicing fees $ — $ 517 Results of REO $ — $ (473 ) Statements of cash flows: Repayments of mortgage loans $ — $ 6,413 Sales of REO $ — $ 5,365 Repayments of borrowings under forward purchase agreements $ — $ (227,866 ) The Company had 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 | 9 Months Ended |
Sep. 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 September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Fulfillment fees earned by PLS $ 17,553 $ 15,497 $ 45,752 $ 36,832 Unpaid principal balance of loans fulfilled by PLS $ 4,073,201 $ 3,677,613 $ 10,542,411 $ 8,588,955 Sourcing fees received from PLS $ 3,236 $ 1,384 $ 7,084 $ 3,401 Unpaid principal balance of loans sold to PLS $ 10,783,882 $ 4,609,947 $ 23,602,020 $ 11,332,898 Purchases of mortgage loans acquired for sale at fair value from PLS $ 2,880 $ 2,970 $ 13,708 $ 4,955 Tax service fee to paid to PLS $ 1,291 $ 703 $ 3,293 $ 1,753 At period end: Mortgage loans included in mortgage loans acquired for sale pending sale to PLS $ 373,812 $ 59,719 Mortgage Loan Servicing Activities Following is a summary of mortgage loan servicing fees earned by PLS: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Mortgage loans acquired for sale at fair value: Base $ 130 $ 28 $ 198 $ 74 Activity-based 153 35 243 112 283 63 441 186 Mortgage loans at fair value: Distressed mortgage loans Base 3,896 4,662 12,053 14,549 Activity-based 2,961 4,076 8,948 16,208 6,857 8,738 21,001 30,757 Mortgage loans held in VIE Base 34 17 92 71 Activity-based — — — — 34 17 92 71 MSRs: Base 4,473 3,459 12,783 9,930 Activity-based 89 48 225 152 4,562 3,507 13,008 10,082 $ 11,736 $ 12,325 $ 34,542 $ 41,096 Average investment in: Mortgage loans acquired for sale at fair value $ 1,783,011 $ 732,287 $ 1,189,754 $ 530,861 Distressed mortgage loans $ 2,201,533 $ 2,122,397 $ 2,268,538 $ 2,171,724 Mortgage loans held in a VIE $ 481,925 $ 537,367 $ 504,351 $ 534,784 Average mortgage loan servicing portfolio $ 38,172,371 $ 30,701,324 $ 36,446,663 $ 28,597,033 Investing and Financing Activities Following is a summary of investing and financing activities between the Company and PFSI: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) ESS: Purchases $ 84,165 $ 9,253 $ 271,452 $ 82,646 Recapture income recognized $ 2,428 $ 2,143 $ 5,173 $ 6,558 Repayments $ 24,717 $ 8,786 $ 55,800 $ 25,280 Interest income $ 8,026 $ 3,577 $ 17,596 $ 9,578 Net gain (loss) $ (10,272 ) $ (9,539 ) $ (10,675 ) $ (24,392 ) MSR recapture income recognized $ 670 $ — $ 670 $ 9 Note payable: Advances $ 97,474 $ — $ 168,546 $ — Repayments $ — $ — $ 18,546 $ — Interest expense $ 1,289 $ — $ 1,822 $ — PLS is a party to a lending facility with a nonaffiliate lender pursuant to which it finances certain of its MSRs and servicing advance receivables. On April 30, 2015, PLS amended and restated the lending facility to increase the maximum loan amount to $407 million, $150 million of which is for the purpose of facilitating its financing of the related ESS by PennyMac Holdings, LLC (“PMH”), a wholly owned subsidiary of the Company. In connection with the amendment to lending facility, PMH and PLS entered into an underlying loan and security agreement, dated as of April 30, 2015, pursuant to which PMH may borrow up to $150 million from PLS for the purpose of financing its purchase of ESS. The principal amount of the borrowings under the underlying loan and security agreement is based upon a percentage of the market value of the ESS pledged by PMH, subject to the $150 million sublimit described above. Pursuant to the underlying loan and security agreement, PMH granted to PLS a security interest in all of its right, title and interest in, to and under the ESS pledged to secure loans. The portion of the loan amount outstanding under the lending facility between PLS and the nonaffiliate lender and relating to advances for ESS outstanding with PMH under the underlying loan and security agreement was guaranteed in full by the Company. PMH and PLS have agreed that PMH is required to repay PLS the principal amount of such borrowings plus accrued interest to the date of such repayment, and PLS is required to repay its lender the corresponding amount under the lending facility. Interest accrues under the underlying loan and security agreement at a rate based on the nonaffiliate lender’s cost of funds. PMH was also required to pay PLS a fee for the structuring of the underlying loan and security agreement in an amount equal to the portion of the corresponding fee paid by PLS to the nonaffiliate lender under the lending facility and allocable to the $150 million relating to the ESS financing. In addition, in connection with its initial public offering of common shares on August 4, 2009 (“IPO”), the Company conditionally agreed to reimburse PCM up to $2.9 million for underwriting fees paid to the IPO underwriters by PCM on the Company’s behalf. During the quarter and nine months ended September 30, 2015, the Company reimbursed PCM $7,000 and $237,000, respectively, compared to $256,000 and $292,000 for the same periods in 2014. Also in connection with its IPO, the Company agreed to pay the IPO underwriters up to $5.9 million in contingent underwriting fees. During the quarter and nine months ended September 30, 2015, the Company paid $14,000 and $473,000 to the underwriters, respectively, compared to $615,000 and $1.0 million for the same periods in 2014. At September 30, 2015 and December 31, 2014, $459,000 and $1.7 million, respectively, of contingent underwriting fees were included in accounts payable and accrued liabilities. Other Transactions Following is a summary of the base management and performance incentive fees payable to PCM recorded by the Company: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Base $ 5,742 $ 6,033 $ 17,181 $ 17,392 Performance incentive — 3,590 1,343 9,217 Total management fee incurred during the period $ 5,742 $ 9,623 $ 18,524 $ 26,609 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 September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Reimbursement of: Common overhead incurred by PCM and its affiliates (1) $ 2,694 $ 2,912 $ 8,125 $ 8,181 Expenses incurred on the Company’s behalf (85 ) 122 377 671 $ 2,609 $ 3,034 $ 8,502 $ 8,852 Payments and settlements during the period (2) $ 17,709 $ 31,621 $ 64,575 $ 72,975 (1) For the quarter and nine months ended September 30, 2015, in accordance with the terms of the management agreement, PCM provided the Company discretionary waivers of $900,000 and $1.6 million, respectively, 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, on the one hand, and PCM and PLS, on the other hand. Amounts due to PCM and PLS are summarized below: September 30, December 31, (in thousands) Management fees $ 5,742 $ 8,426 Allocated expenses 5,237 6,582 Fulfillment fees 3,031 506 Servicing fees 2,310 3,457 Conditional reimbursement 900 1,136 Unsettled purchases of ESS — 3,836 $ 17,220 $ 23,943 Amounts due from PCM and its affiliates totaled $9.1 million and $6.6 million at September 30, 2015 and December 31, 2014, respectively. At September 30, 2015 and December 31, 2015, the balance represents payments receivable relating to cash flows from the Company’s investment in ESS and amounts receivable relating to unsettled ESS and MSR recaptures. PFSI, through a controlled subsidiary, held 75,000 of the Company’s common shares at both September 30, 2015 and December 31, 2014. |
Earnings Per Share
Earnings Per Share | 9 Months Ended |
Sep. 30, 2015 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Note 4—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. Under the two-class method, all earnings (distributed and undistributed) are allocated to common shares and participating securities, based on their respective rights to receive dividends. Basic earnings per share is determined by dividing net income, reduced by income attributable to the participating securities, by the weighted-average common shares outstanding during the period. 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 September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands except per share amounts) Basic earnings per share: Net income 38,812 $ 54,949 $ 74,391 $ 168,033 Effect of participating securities—share-based compensation awards (361 ) (305 ) (1,352 ) (1,360 ) Net income attributable to common shareholders $ 38,451 $ 54,644 $ 73,039 $ 166,673 Diluted earnings per share: Net income attributable to common shareholders $ 38,451 $ 54,949 $ 73,039 $ 168,033 Interest on Exchangeable Notes, net of income taxes 2,123 2,081 6,364 6,237 Net income attributable to diluted shareholders $ 40,574 $ 57,030 $ 79,403 $ 174,270 Weighted-average basic shares outstanding 74,681 74,140 74,675 73,254 Potentially dilutive securities: Shares issuable pursuant to exchange of the Exchangeable Notes 8,414 8,401 8,414 8,401 Shares issuable under share-based compensation plan 316 291 397 323 Diluted weighted-average number of shares outstanding 83,411 82,832 83,486 81,978 Basic earnings per share $ 0.51 $ 0.74 $ 0.98 $ 2.28 Diluted earnings per share $ 0.49 $ 0.69 $ 0.95 $ 2.13 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. |
Loan Sales and Variable Interes
Loan Sales and Variable Interest Entities | 9 Months Ended |
Sep. 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 (“UPB”) information at period end: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Cash flows: Proceeds from sales $ 4,885,668 $ 3,745,193 $ 10,593,309 $ 8,534,637 Servicing fees received (1) $ 25,054 $ 17,797 $ 69,876 $ 52,704 Period end information: Unpaid principal balance of: Mortgage loans outstanding $ 39,786,376 $ 32,134,609 Delinquent mortgage loans: 30-89 days delinquent $ 154,346 $ 87,374 90 or more days delinquent Not in foreclosure or bankruptcy 25,243 20,708 In foreclosure or bankruptcy 30,406 11,583 55,649 32,291 $ 209,995 $ 119,665 (1) Net of guarantee fees. Consolidated VIEs Credit Risk Transfer (“CRT”) Transactions The Company, through its wholly-owned subsidiary, PennyMac Corp. (“PMC”), entered into CRT arrangements with Fannie Mae, pursuant to which PMC, through subsidiary trust entities, may sell pools of mortgage loans into Fannie Mae-guaranteed securitizations while retaining a portion of the credit risk underlying such mortgage loans (the “CRT Agreements”). Transfers of mortgage loans subject to CRT Agreements receive sale accounting treatment upon fulfillment of the criteria for sale recognition contained in the Transfers and Servicing The Company retains a portion of the credit risk underlying such mortgage loans by issuing a credit guarantee to Fannie Mae in exchange for a portion of the guarantee fee normally charged by Fannie Mae for mortgage loan securitizations that it guarantees. The mortgage loans subject to the CRT Agreements are transferred by PMC to subsidiary trust entities which sell the mortgage loans into Fannie Mae mortgage loan securitizations and issue the credit guarantees to Fannie Mae. The Manager has concluded that the Company’s subsidiary trust entities are VIEs. The Manager concluded that the Company is the primary beneficiary of the VIEs as it is the holder of the primary beneficial interests which absorb the variability of the trusts’ results of operations. Consolidation of the VIEs results in the inclusion on the Company’s consolidated balance sheet of the credit guarantees, including the cash pledged to fulfill the guarantee obligation, on the Company’s consolidated balance sheet in the form of a net derivative and the restricted cash deposited to secure the guarantee obligation. The restricted cash represents the Company’s maximum contractual exposure to claims under its credit guarantee and is the sole source of settlement of losses under the CRT Agreements. Gains and losses on net derivatives related to CRT Agreements are included in net gain on investments in the consolidated statements of income. Following is a summary of the CRT Agreements: Quarter ended September 30, Nine months ended September 30, 2015 2015 (in thousands) During the period: UPB of mortgage loans transferred and sold under CRT Agreements $ 1,660,280 $ 2,400,433 Restricted cash deposited to fund guarantees $ 59,841 $ 87,891 Gains recognized on net derivatives related to CRT Agreements Realized $ — $ — Resulting from valuation changes 626 626 $ 626 $ 626 Payments made to settle losses $ — $ — At period end: UPB of mortgage loans subject to guarantee obligation $ 2,400,433 Delinquency Current—89 days delinquent $ 2,400,433 90 or more days delinquent — $ 2,400,433 Carrying value of CRT Agreements: Restricted cash included in Other assets $ 87,891 Net derivative assets included in Derivative assets 626 $ 88,517 Jumbo Mortgage Loan Financing On September 30, 2013, the Company completed a securitization transaction in which a VIE issued $537.0 million in UPB of 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. During the quarter ended September 30, 2015, the Company sold an additional $85.2 million in certificates issued under PMT Loan Trust 2013-J1, thereby reducing the certificates retained by the Company to $238.8 million as of September 30, 2015. 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 | 9 Months Ended |
Sep. 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 held in VIE, 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 and the net derivatives related to CRT Agreements. As of September 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 and the net derivatives related to CRT Agreements are subject to master netting arrangements. September 30, 2015 December 31, 2014 Gross Gross Net Gross Gross Net (in thousands) Derivatives subject to master netting arrangements: MBS put options $ — $ — $ — $ 374 $ — $ 374 MBS call options — — — — — — Forward purchase contracts 22,985 — 22,985 3,775 — 3,775 Forward sale contracts 15 — 15 52 — 52 Put options on interest rate futures 693 — 693 193 — 193 Call options on interest rate futures 3,270 — 3,270 3,319 — 3,319 Treasury futures contracts — — — — — — Netting — (19,892 ) (19,892 ) — (2,284 ) (2,284 ) 26,963 (19,892 ) 7,071 7,713 (2,284 ) 5,429 Derivatives not subject to master netting arrangements: Interest rate lock commitments 9,109 — 9,109 5,678 — 5,678 Net derivatives related to CRT Agreements 626 — 626 — — — $ 36,698 $ (19,892 ) $ 16,806 $ 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. September 30, 2015 December 31, 2014 Net amount Gross amounts Net amount Gross amounts Financial Cash Net Financial Cash Net (in thousands) Interest rate lock commitments $ 9,109 $ — $ — $ 9,109 $ 5,678 $ — $ — $ 5,678 RJ O’Brien & Associates, LLC 3,112 — — 3,112 3,034 — — 3,034 Nomura Securities International, Inc 733 — — 733 — — — — Fannie Mae Capital Markets 730 — — 730 — — — — Jefferies Group, LLC 598 — — 598 133 — — 133 Deutsche Bank 572 — — 572 124 — — 124 Morgan Stanley Bank, N.A. 531 — — 531 104 — — 104 Bank of New York Mellon 403 — — 403 — — — — JP Morgan Chase & Co. 313 — — 313 — — — — Credit Suisse First Boston Mortgage Capital LLC 188 — — 188 253 — — 253 Goldman Sachs 186 — — 186 — — — — Royal Bank of Canada 173 — — 173 — — — — Daiwa Capital Markets 100 — — 100 29 — — 29 Bank of America, N.A. — — — — 738 — — 738 Other 58 — — 58 1,014 — — 1,014 Total $ 16,806 $ — $ — $ 16,806 $ 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. September 30, 2015 December 31, 2014 Gross in the consolidated Gross Net Gross in the consolidated Gross Net (in thousands) Derivatives subject to master netting arrangements: Forward purchase contracts $ 6 $ — $ 6 $ 34 $ — $ 34 Forward sales contracts 21,794 — 21,794 6,649 — 6,649 Treasury futures sales contracts — — — 478 — 478 Netting — (19,316 ) (19,316 ) — (4,748 ) (4,748 ) 21,800 (19,316 ) 2,484 7,161 (4,748 ) 2,413 Derivatives not subject to master netting arrangements: Interest rate lock commitments 302 — 302 17 — 17 22,102 (19,316 ) 2,786 7,178 (4,748 ) 2,430 Assets sold under agreements to repurchase 2,865,722 — 2,865,722 2,730,130 — 2,730,130 Unamortized commitment fees and issuance cost (1,690 ) — (1,690 ) (1,103 ) — (1,103 ) 2,864,032 — 2,864,032 2,729,027 — 2,729,027 $ 2,886,134 $ (19,316 ) $ 2,866,818 $ 2,736,205 $ (4,748 ) $ 2,731,457 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. September 30, 2015 December 31, 2014 Gross amounts Gross amounts Net amount Financial Cash Net Net amount Financial Cash Net (in thousands) Interest rate lock commitments $ 302 $ — $ — $ 302 $ 17 $ — $ — $ 17 Morgan Stanley Bank, N.A. 163,104 (163,104 ) — — 121,975 (121,975 ) — — Credit Suisse First Boston Mortgage Capital LLC 861,527 (861,527 ) — — 966,155 (966,155 ) — — Citibank 843,743 (843,743 ) — — 797,851 (797,663 ) — 188 JPMorgan Chase & Co. 446,348 (446,348 ) — — — — — — Bank of America, N.A. 403,193 (402,917 ) — 276 508,908 (508,908 ) — — Daiwa Capital Markets 148,083 (148,083 ) — — 126,909 (126,909 ) — — RBS Securities — — — — 208,520 (208,520 ) — — Other 2,208 — — 2,208 2,225 — — 2,225 Unamortized commitment fees and issuance cost (1,690 ) 1,690 — — (1,103 ) 1,103 — — Total $ 2,866,818 $ (2,864,032 ) $ — $ 2,786 $ 2,731,457 $ (2,729,027 ) $ — $ 2,430 |
Fair Value
Fair Value | 9 Months Ended |
Sep. 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 CRT financing and 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 these financings. 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: September 30, 2015 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 31,518 $ — $ — $ 31,518 Mortgage-backed securities at fair value — 315,599 — 315,599 Mortgage loans acquired for sale at fair value — 1,050,296 — 1,050,296 Mortgage loans at fair value — 477,271 2,160,459 2,637,730 Excess servicing spread purchased from PFSI — — 418,573 418,573 Derivative assets: Interest rate lock commitments — — 9,109 9,109 Forward purchase contracts — 22,985 — 22,985 Forward sales contracts — 15 — 15 Net derivatives related to CRT Agreements — — 626 626 Put options on interest rate futures 693 — — 693 Call options on interest rate futures 3,270 — — 3,270 Total derivative assets before netting before netting 3,963 23,000 9,735 36,698 Netting (1) — — — (19,892 ) Total derivative assets after netting 3,963 23,000 9,735 16,806 Mortgage servicing rights at fair value — — 57,751 57,751 $ 35,481 $ 1,866,166 $ 2,646,518 $ 4,528,273 Liabilities: Asset-backed secured financing of a variable interest entity at fair value — 234,287 — 234,287 Derivative liabilities: Interest rate lock commitments — — 302 302 Forward purchase contracts — 6 — 6 Forward sales contracts — 21,794 — 21,794 Total derivative liabilities before netting — 21,800 302 22,102 Netting (1) — — — (19,316 ) Total derivative liabilities after netting — 21,800 302 2,786 $ — $ 256,087 $ 302 $ 237,073 (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 a 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 September 30, 2015 Mortgage Excess Interest rate Net derivatives Mortgage Total (in thousands) Assets: Balance, June 30, 2015 $ 2,246,944 $ 359,102 $ (267 ) $ — $ 57,343 $ 2,663,122 Purchases — 84,165 — — — 84,165 Repayments and sales (57,022 ) (24,717 ) — — — (81,739 ) Capitalization of interest 14,849 8,026 — — — 22,875 ESS received pursuant to a recapture agreement with PFSI — 2,268 — — — 2,268 Interest rate lock commitments issued, net — — 11,834 — — 11,834 Servicing received as proceeds from sales of mortgage loans 5,674 5,674 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 9,255 — — — — 9,255 Other factors 22,638 (10,271 ) 16,458 626 (5,266 ) 24,185 31,893 (10,271 ) 16,458 626 (5,266 ) 33,440 Transfers of mortgage loans to REO (76,205 ) — — — — (76,205 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (19,218 ) — — (19,218 ) Balance, September 30, 2015 $ 2,160,459 $ 418,573 $ 8,807 $ 626 $ 57,751 $ 2,646,216 Changes in fair value recognized during the period relating to assets still held at September 30, 2015 $ 32,971 $ (10,271 ) $ 8,807 $ 626 $ (5,266 ) $ 26,867 (1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. Quarter ended September 30, 2014 Mortgage Excess Net interest Mortgage Total (in thousands) Assets: Balance, June 30, 2014 $ 2,156,501 $ 190,244 $ 11,087 $ 46,802 $ 2,404,634 Purchases — 9,253 — — 9,253 Repayments and sales (126,413 ) (8,786 ) — (137 ) (135,336 ) Capitalization of interest 10,451 3,577 — — 14,028 ESS received pursuant to a recapture agreement with PFSI — 2,619 — — 2,619 Interest rate lock commitments issued, net — — 14,046 — 14,046 Servicing received as proceeds from sales of mortgage loans — — — 12,812 12,812 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 13,850 — — — 13,850 Other factors 67,446 (9,539 ) 843 (1,606 ) 57,144 81,296 (9,539 ) 843 (1,606 ) 70,994 Transfers of mortgage loans to REO (90,733 ) — — — (90,733 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (20,585 ) — (20,585 ) Balance, September 30, 2014 $ 2,031,102 $ 187,368 $ 5,391 $ 57,871 $ 2,281,732 Changes in fair value recognized during the period relating to assets still held at September 30, 2014 $ 70,713 $ (9,539 ) $ 5,391 $ (1,606 ) $ 64,959 (1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. Nine months ended September 30, 2015 Mortgage Excess Interest rate lock Net derivatives Mortgage Total (in thousands) Assets: Balance, December 31, 2014 $ 2,199,583 $ 191,166 $ 5,661 $ — $ 57,358 $ 2,453,768 Purchases 241,981 271,452 — — — 513,433 Repayments and sales (171,093 ) (55,800 ) — — — (226,893 ) Capitalization of interest 34,979 17,596 — — — 52,575 ESS received pursuant to a recapture agreement with PFSI — 4,833 — — — 4,833 Interest rate lock commitments issued, net — — 42,917 — — 42,917 Servicing received as proceeds from sales of mortgage loans — — — — 9,169 9,169 Charges in fair value included in income arising from: Changes in instrument-specific credit risk 29,563 — — — — 29,563 Other factors 49,584 (10,674 ) (6,941 ) 626 (8,776 ) 23,819 79,147 (10,674 ) (6,941 ) 626 (8,776 ) 53,382 Transfers of mortgage loans to REO (224,138 ) — — — — (224,138 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (32,830 ) — — (32,830 ) Balance, September 30, 2015 $ 2,160,459 $ 418,573 $ 8,807 $ 626 $ 57,751 $ 2,646,216 Changes in fair value recognized during the period relating to assets still held at September 30, 2015 $ 80,885 $ (10,674 ) $ 8,807 $ 626 $ (8,776 ) $ 70,868 (1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. Nine months ended September 30, 2014 Mortgage 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 82,646 — — 367,049 Repayments and sales (513,843 ) (6,413 ) (25,280 ) — (137 ) (545,673 ) Capitalization of interest 39,005 1,800 9,578 — — 50,383 ESS received pursuant to a recapture agreement with PFSI — — 6,093 — — 6,093 Interest rate lock commitments issued, net — — — 45,800 — 45,800 Servicing received as proceeds from sales of mortgage loans — — — — 39,954 39,954 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 54,612 2,269 — — 56,881 Other factors 139,393 (1,466 ) (24,392 ) 12,837 (8,398 ) 117,974 194,005 803 (24,392 ) 12,837 (8,398 ) 174,855 Transfers of mortgage loans under forward purchase agreements to mortgage loans 205,902 (205,902 ) — — — — Transfers of mortgage loans to REO (253,649 ) — — — — (253,649 ) Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements — (9,802 ) — — — (9,802 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — — (54,495 ) — (54,495 ) Balance, September 30, 2014 $ 2,031,102 $ — $ 187,368 $ 5,391 $ 57,871 $ 2,281,732 Changes in fair value recognized during the period relating to assets still held at September 30, 2014 $ 126,773 $ — $ (24,392 ) $ 5,391 $ (8,398 ) $ 99,374 (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): September 30, 2015 Fair value Principal Difference (in thousands) Mortgage loans acquired for sale at fair value: Current through 89 days delinquent $ 1,050,006 $ 1,003,249 $ 46,757 90 or more days delinquent (1) Not in foreclosure 85 116 (31 ) In foreclosure 205 254 (49 ) 290 370 (80 ) $ 1,050,296 $ 1,003,619 $ 46,677 Mortgage loans at fair value: Mortgage loans held in a consolidated VIE: Current through 89 days delinquent $ 477,271 $ 471,496 $ 5,775 90 or more days delinquent (1) Not in foreclosure — — — In foreclosure — — — — — — 477,271 471,496 5,775 Other mortgage loans at fair value: Current through 89 days delinquent 801,018 1,049,502 (248,484 ) 90 or more days delinquent (1) Not in foreclosure 533,070 739,183 (206,113 ) In foreclosure 826,371 1,149,326 (322,955 ) 1,359,441 1,888,509 (529,068 ) 2,160,459 2,938,011 (777,552 ) $ 2,637,730 $ 3,409,507 $ (771,777 ) (1) Loans delinquent 90 or more days are placed on nonaccrual status and previously accrued interest is reversed. December 31, 2014 Fair value Principal 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 Mortgage loans at fair value: Mortgage loans held in a consolidated VIE: Current through 89 days delinquent $ 527,369 $ 517,500 $ 9,869 90 or more days delinquent (1) Not in foreclosure — — — In foreclosure — — — — — — 527,369 517,500 9,869 Other mortgage loans at fair value: Current through 89 days delinquent 664,266 935,385 (271,119 ) 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 September 30, 2015 Net gain on Net Net gain on Net loan Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — 91 3,564 — 3,655 Mortgage loans acquired for sale at fair value 39,504 — — — 39,504 Mortgage loans at fair value — 1,024 39,273 — 40,297 Excess servicing spread at fair value — — (7,844 ) — (7,844 ) Mortgage servicing rights at fair value — — — (5,266 ) (5,266 ) $ 39,504 $ 1,115 $ 34,993 $ (5,266 ) $ 70,346 Liabilities: Asset-backed secured financing at fair value — (351 ) (3,940 ) — (4,291 ) $ — $ (351 ) $ (3,940 ) $ — $ (4,291 ) Quarter ended September 30, 2014 Net gain on Net Net gain on Net loan Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — 108 (821 ) — (713 ) Mortgage loans acquired for sale at fair value 19,977 — — — 19,977 Mortgage loans at fair value — 385 78,717 — 79,102 Excess servicing spread at fair value — — (7,396 ) — (7,396 ) Mortgage servicing rights at fair value — — — (1,606 ) (1,606 ) $ 19,977 $ 493 $ 70,500 $ (1,606 ) $ 89,364 Liabilities: Asset-backed secured financing at fair value $ — $ (124 ) $ 696 $ — $ 572 $ — $ (124 ) $ 696 $ — $ 572 Nine months ended September 30, 2015 Net gain on Net Net gain on Net loan Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — Mortgage-backed securities at fair value — 155 (1,622 ) — (1,467 ) Mortgage loans acquired for sale at fair value 57,568 — — — 57,568 Mortgage loans at fair value — 1,203 76,249 — 77,452 Excess servicing spread at fair value — — (5,502 ) — (5,502 ) Mortgage servicing rights at fair value — — — (8,776 ) (8,776 ) $ 57,568 $ 1,358 $ 69,125 $ (8,776 ) $ 119,275 Liabilities: Asset-backed secured financing at fair value — (474 ) (719 ) — (1,193 ) $ — $ (474 ) $ (719 ) $ — $ (1,193 ) Nine months ended September 30, 2014 Net gain on Net Net gain on Net loan Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — 296 6,096 — 6,392 Mortgage loans acquired for sale at fair value 69,812 — — — 69,812 Mortgage loans at fair value — 938 218,912 — 219,850 Mortgage loans under forward purchase agreements at fair value — — 803 — 803 Excess servicing spread at fair value — — (17,834 ) — (17,834 ) Mortgage servicing rights at fair value — — — (8,398 ) (8,398 ) $ 69,812 $ 1,234 $ 207,977 $ (8,398 ) $ 270,625 Liabilities: Asset-backed secured financing at fair value $ — $ (328 ) $ (7,258 ) $ — $ (7,586 ) $ — $ (328 ) $ (7,258 ) $ — $ (7,586 ) 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: September 30, 2015 Level 1 Level 2 Level 3 Total (in thousands) Real estate asset acquired in settlement of loans $ — $ — $ 145,815 $ 145,815 Mortgage servicing rights at lower of amortized cost or fair value — — 125,952 125,952 $ — $ — $ 271,767 $ 271,767 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 fair value on a nonrecurring basis: Quarter ended Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Real estate asset acquired in settlement of loans $ (8,182 ) $ (14,242 ) $ (18,308 ) $ (24,027 ) Mortgage servicing rights at lower of amortized cost or fair value (7,845 ) 602 (7,142 ) (2,249 ) $ (16,027 ) $ (13,640 ) $ (25,450 ) $ (26,276 ) Real Estate Acquired in Settlement of Loans The Company evaluates its REO for impairment with reference to the respective properties’ fair values less cost to sell on a nonrecurring basis. The initial carrying value of the REO is measured at 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 asset’s 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, 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 loan participation and sale agreement are classified as “Level 3” financial statement instruments as of September 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 The Exchangeable Notes are carried at amortized cost. The fair value of the Exchangeable Notes at September 30, 2015 and December 31, 2014 was $225.0 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 September 30, 2015 due to the lack of current market activity. Valuation Techniques and Inputs Most of the Company’s assets and asset-backed financing of a VIE 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 judgments about the factors that market participants use in pricing an asset or liability, and are based on the best information available under the circumstances. Due to the difficulty in estimating the fair values of “Level 3” 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, risk 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 financial statement items, 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 current holdings of MBS as “Level 2” financial statement items. Fair value of Agency and senior non-Agency MBS is established 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 the 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: Range (Weighted average) Key inputs September 30, 2015 December 31, 2014 Discount rate Range 2.5% – 15.0% 2.3% – 15.0% Weighted average 6.9% 7.7% Twelve-month projected housing price index change Range 2.0% – 4.3% 4.0% – 5.3% Weighted average 3.9% 4.8% Prepayment speed (1) Range 0.1% – 4.6% 0.0% – 6.5% Weighted average 3.6% 3.1% Total prepayment speed (2) Range 3.6% – 27.3% 0.0% – 27.9% Weighted average 20.5% 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 September 30, 2015 December 31, 2014 Unpaid principal balance of underlying mortgage loans (in thousands) $54,189,421 $28,227,340 Average servicing fee rate (in basis points) 32 31 Average ESS rate (in basis points) 17 16 Pricing spread (1) Range 4.8% – 6.5% 1.7% – 12.0% Weighted average 5.7% 5.3% Life (in years) Range 1.5 – 8.9 0.4 – 7.3 Weighted average 6.7 5.8 Annual total prepayment speed (2) Range 5.5% – 50.3% 7.6% – 74.6% Weighted average 10.4% 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 or 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 mortgage loans whose payments cash flows have decreased in fair value. Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs: Range (Weighted average) Key inputs September 30, 2015 December 31, 2014 Pull-through rate Range 44.8% – 99.9% 65.0% – 98.0% Weighted average 88.6% 94.9% MSR value expressed as: Servicing fee multiple Range 1.9 – 6.0 0.7 – 5.2 Weighted average 4.5 4.3 Percentage of unpaid principal balance Range 0.5% – 3.7% 0.2% – 1.3% Weighted average 1.2% 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 uses as hedging derivatives 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 the appraisers are not able to generate adequate data to support a fair value conclusion, the staff appraisers will order an additional appraisal to determine the fair value. Mortgage Servicing Rights MSRs are categorized as “Level 3” financial statement items. The Company uses a discounted cash flow approach to estimate the fair value of MSRs. The key inputs used in the estimation of the fair value of MSRs include prepayment and default rates of the underlying mortgage loans, the applicable pricing spread or discount rate, and annual per-loan cost to servi |
Mortgage Loans Acquired for Sal
Mortgage Loans Acquired for Sale at Fair Value | 9 Months Ended |
Sep. 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: September 30, 2015 December 31, 2014 Loan type Fair Unpaid Fair Unpaid (in thousands) Conventional: Agency-eligible $ 601,394 $ 575,458 $ 287,300 $ 274,650 Jumbo 69,157 67,544 137,440 134,079 Held for sale to PennyMac Loan Services, LLC—Government insured or guaranteed 373,812 354,529 209,325 198,265 Commercial real estate loan 1,851 1,798 — — Mortgage loans repurchased pursuant to representations and warranties 4,082 4,291 3,657 3,634 $ 1,050,296 $ 1,003,620 $ 637,722 $ 610,628 Mortgage loans pledged to secure: Assets sold under agreements to repurchase $ 903,806 $ 609,608 Mortgage loan participation and sale agreements $ 63,162 $ 20,862 Federal Home Loan Bank (“FHLB”) advances $ 68,937 $ — 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 UPB plus interest earned during the period it holds each such mortgage loan. |
Derivative Financial Instrument
Derivative Financial Instruments | 9 Months Ended |
Sep. 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, MSRs, ESS, mortgage loans held by VIE, asset backed financing, 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 uses Eurodollar futures, which settle daily, 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 has entered into CRT Agreements whereby it retains a portion of the credit risk relating to mortgage loans it sells into Fannie Mae-guaranteed securitizations. These investments are accounted for as derivative financial instruments. The Company’s remaining derivative financial instrument transactions, except for IRLCs, are in support of its risk management activities. IRLCs 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 September 30, 2015 December 31, 2014 Fair value Fair value Instrument Notional Derivative Derivative Notional Derivative Derivative (in thousands) Derivatives not designated as hedging instruments: Free-standing derivatives: Interest rate lock commitments 1,163,415 $ 9,109 $ 302 695,488 $ 5,678 $ 17 Forward sales contracts 3,410,839 15 21,794 1,601,282 52 6,649 Forward purchase contracts 3,282,364 22,985 6 1,100,700 3,775 34 MBS put options 450,000 — — 340,000 374 — MBS call options — — — — — — Eurodollar future sales contracts 1,756,000 — — 7,426,000 — — Eurodollar future purchase contracts — — — 800,000 — — Treasury future contracts — — — 85,000 — 478 Call options on interest rate futures 1,555,000 3,270 — 1,030,000 3,319 — Put options on interest rate futures 1,625,000 693 — 275,000 193 — Net derivative related to CRT transactions 2,400,433 626 — — — — Total derivative instruments before netting 36,698 22,102 13,391 7,178 Netting (19,892 ) (19,316 ) (2,284 ) (4,748 ) $ 16,806 $ 2,786 $ 11,107 $ 2,430 The following tables summarize the notional amount activity for derivative arising from CRT Agreements and 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 September 30, 2015 Instrument Balance, Additions Dispositions/ Balance, (in thousands) Forward sales contracts 3,252,286 15,003,760 (14,845,207 ) 3,410,839 Forward purchase contracts 2,263,622 10,938,733 (9,919,991 ) 3,282,364 MBS put options 367,500 700,000 (617,500 ) 450,000 MBS call options 40,000 — (40,000 ) — Eurodollar future sale contracts 5,984,000 — (4,228,000 ) 1,756,000 Treasury future contracts 40,000 — (40,000 ) — Call option on interest rate futures 1,135,000 1,805,000 (1,385,000 ) 1,555,000 Put options on interest rate futures 1,273,000 1,650,000 (1,298,000 ) 1,625,000 Net derivative related to CRT transactions — 2,400,433 — 2,400,433 Quarter ended September 30, 2014 Instrument Balance, Additions Dispositions/ Balance, (in thousands) Forward purchase contracts 3,058,604 8,216,022 (9,364,487 ) 1,910,139 Forward sales contracts 4,185,633 11,670,826 (13,080,210 ) 2,776,249 MBS put option 392,500 640,000 (467,500 ) 565,000 MBS call option 95,000 75,000 (120,000 ) 50,000 Eurodollar future sale contracts 5,562,000 990,000 (290,000 ) 6,262,000 Eurodollar future purchase contracts — 290,000 (290,000 ) — Treasury future sale contracts 85,000 154,500 (154,500 ) 85,000 Treasury future purchase contracts — 138,300 (138,300 ) — Put options on interest rate futures 125,000 490,500 (395,500 ) 220,000 Call options on interest rate futures 230,000 580,000 (455,000 ) 355,000 Nine months ended September 30, 2015 Instrument Balance, Additions Dispositions/ Balance, (in thousands) Forward sales contracts 1,601,283 38,880,821 (37,071,265 ) 3,410,839 Forward purchase contracts 1,100,700 27,871,913 (25,690,249 ) 3,282,364 MBS put options 340,000 1,692,500 (1,582,500 ) 450,000 MBS call options — 140,000 (140,000 ) — Eurodollar future sale contracts 7,426,000 285,000 (5,955,000 ) 1,756,000 Eurodollar future purchase contracts 800,000 — (800,000 ) — Treasury future contracts 85,000 161,500 (246,500 ) — Call options on interest rate futures 1,030,000 4,080,000 (3,555,000 ) 1,555,000 Put options on interest rate futures 275,000 4,318,000 (2,968,000 ) 1,625,000 Net derivative related to CRT transactions — 2,400,433 — 2,400,433 Nine months ended September 30, 2014 Instrument Balance, Additions Dispositions/ Balance, (in thousands) Forward purchase contracts 2,781,066 26,650,920 (27,521,847 ) 1,910,139 Forward sales contracts 3,588,027 35,657,347 (36,469,125 ) 2,776,249 MBS put option 55,000 1,482,500 (972,500 ) 565,000 MBS call option 110,000 230,000 (290,000 ) 50,000 Eurodollar future sale contracts 8,779,000 1,452,000 (3,969,000 ) 6,262,000 Eurodollar future purchase contracts — 3,287,000 (3,287,000 ) — Treasury future sale contracts 105,000 375,300 (395,300 ) 85,000 Treasury future purchase contracts — 331,900 (331,900 ) — Put options on interest rate futures 52,500 1,052,500 (885,000 ) 220,000 Call options on interest rate futures — 960,000 (605,000 ) 355,000 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: Hedged Item Income Statement Line Quarter ended Nine months ended 2015 2014 2015 2014 (in thousands) Interest rate lock commitments and mortgage loans acquired for sale Net gain on mortgage loans $ (33,652 ) $ (4,503 ) $ (23,198 ) $ (44,003 ) Mortgage servicing rights Net loan servicing fees $ 19,061 $ (654 ) $ 13,868 $ 3,532 Fixed-rate assets and LIBOR—indexed repurchase agreements Net gain on investments $ (6,772 ) $ (807 ) $ (18,065 ) $ (14,609 ) |
Mortgage Loans at Fair Value
Mortgage Loans at Fair Value | 9 Months Ended |
Sep. 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: September 30, 2015 December 31, 2014 Loan type Fair Unpaid Fair Unpaid (in thousands) Distressed mortgage loans: Nonperforming mortgage loans $ 1,359,441 $ 1,888,509 $ 1,535,317 $ 2,246,585 Performing mortgage loans: Fixed interest rate 380,322 494,804 322,704 449,496 Adjustable-rate/hybrid 157,265 186,534 127,405 162,329 Interest rate step-up 263,270 367,958 213,999 323,350 Balloon 161 206 158 210 801,018 1,049,502 664,266 935,385 Fixed interest rate jumbo mortgage loans held in a VIE 477,271 471,496 527,369 517,500 $ 2,637,730 $ 3,409,507 $ 2,726,952 $ 3,699,470 Mortgage loans at fair value pledged to secure : Assets sold under agreements to repurchase $ 2,390,784 $ 2,543,242 FHLB advances $ 140,025 $ — Asset-backed secured financing $ 477,271 $ 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 September 30, 2015 December 31, 2014 (percentages are at 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% 46% 55% Percentage of mortgage loans secured by California real estate 22% 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 | 9 Months Ended |
Sep. 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 Nine months ended 2015 2014 2015 2014 (in thousands) Balance at beginning of period $ 324,278 $ 240,471 $ 303,228 $ 138,942 Purchases — — — 3,049 Transfers from mortgage loans at fair value and servicing advances 82,405 94,530 240,483 268,677 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment (2,212 ) — (3,505 ) — Transfers from REO under forward purchase agreements — — — 12,737 Results of REO: Valuation adjustments, net (8,734 ) (15,639 ) (26,740 ) (32,912 ) Gain on sale, net 4,513 3,713 14,881 9,485 (4,221 ) (11,926 ) (11,859 ) (23,427 ) Proceeds from sales (46,687 ) (47,890 ) (174,784 ) (124,793 ) Balance at end of period $ 353,563 $ 275,185 $ 353,563 $ 275,185 At period end: REO pledged to secure assets sold under agreements to repurchase $ 280,045 $ 56,702 REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties $ — $ 19,858 |
Real Estate Acquired in Settl19
Real Estate Acquired in Settlement of Loans Under Forward Purchase Agreements | 9 Months Ended |
Sep. 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 nine months ended September 30, 2015. Following is a summary of the activity in REO under forward purchase agreements during the quarter and nine months ended September 30, 2014: Quarter ended Nine months ended (in thousands) Balance at beginning of period $ — $ 9,138 Purchases — 68 Transfers from mortgage loans under forward purchase agreements at fair value and advances — 9,369 Transfers to REO — (12,737 ) Results of REO under forward purchase agreements: — Valuation adjustments, net — (779 ) Gain on sale, net — 306 — (473 ) Proceeds from sales — (5,365 ) Balance at end of period $ — $ — |
Mortgage Servicing Rights
Mortgage Servicing Rights | 9 Months Ended |
Sep. 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 Nine months ended 2015 2014 2015 2014 (in thousands) Balance at beginning of period $ 57,343 $ 46,802 $ 57,358 $ 26,452 MSRs resulting from mortgage loan sales 5,674 12,812 9,169 39,954 Changes in fair value: Due to changes in valuation inputs or assumptions used in valuation model (1) (3,418 ) (106 ) (3,525 ) (4,974 ) Other changes in fair value (2) (1,848 ) (1,500 ) (5,251 ) (3,424 ) (5,266 ) (1,606 ) (8,776 ) (8,398 ) Sales — (137 ) — (137 ) Balance at end of period $ 57,751 $ 57,871 $ 57,751 $ 57,871 MSRs pledged to secure note payable at end of period $ 57,751 $ — (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 Nine months ended 2015 2014 2015 2014 (in thousands) Amortized Cost: Balance at beginning of period $ 344,405 $ 274,110 $ 308,137 $ 266,697 MSRs resulting from loan sales 47,140 26,802 103,281 49,276 Amortization (11,333 ) (8,109 ) (30,913 ) (23,170 ) Application of valuation allowance to write down MSRs with other-than temporary impairment — — — — Sales (12 ) — (305 ) — Balance at end of period 380,200 292,803 380,200 292,803 Valuation Allowance: Balance at beginning of period (7,011 ) (5,428 ) (7,714 ) (2,577 ) (Additions) reversals (7,845 ) 602 (7,142 ) (2,249 ) Application of valuation allowance to write down MSRs with other-than temporary impairment — — — — Balance at end of period (14,856 ) (4,826 ) (14,856 ) (4,826 ) MSRs, net $ 365,344 $ 287,977 $ 365,344 $ 287,977 Fair value at beginning of period $ 362,908 $ 289,226 $ 322,230 $ 289,737 Fair value at end of period $ 386,539 $ 312,196 Carrying value of MSRs pledged to secure note payable $ 365,344 $ — 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 September 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. Quarter ended September 30, 2015 Estimated MSR (in thousands) 2015 $ 49,227 2016 42,898 2017 37,642 2018 33,216 2019 29,421 Thereafter 187,796 Total $ 380,200 Servicing fees relating to MSRs are recorded in Net loan servicing fees Quarter ended Nine months ended 2015 2014 2015 2014 (in thousands) Contractually-specified servicing fees $ 25,500 $ 19,345 $ 74,016 $ 54,396 |
Assets Sold Under Agreements to
Assets Sold Under Agreements to Repurchase | 9 Months Ended |
Sep. 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 Nine months ended 2015 2014 2015 2014 (dollars in thousands) During the period: Weighted-average interest rate (1) 2.30 % 2.13 % 2.27 % 2.18 % Average balance $ 3,252,341 $ 2,501,816 $ 3,125,328 $ 2,186,135 Total interest expense $ 21,350 $ 15,814 $ 60,470 $ 43,496 Maximum daily amount outstanding $ 4,160,814 $ 2,815,572 $ 4,612,001 $ 2,700,586 At period end: Amount outstanding $ 2,865,722 $ 2,416,686 Unamortized debt issuance costs (1,690 ) (639 ) $ 2,864,032 $ 2,416,047 Weighted-average interest rate 2.22 % 2.17 % Available borrowing capacity: Committed $ 510,109 $ 578,969 Uncommitted 868,978 894,343 $ 1,379,087 $ 1,473,312 Margin deposits placed with counterparties $ 7,230 $ 8,210 Fair value of assets securing agreements to repurchase: Mortgage-backed securities $ 306,638 $ 262,378 Mortgage loans acquired for sale at fair value 903,806 609,608 Mortgage loans at fair value 2,390,784 2,273,768 Real estate acquired in settlement of loans 280,045 76,561 $ 3,881,273 $ 3,222,315 (1) Excludes the effect of amortization of commitment fees and issuance costs of $2.2 million and $6.7 million for the quarter and nine months ended September 30, 2015 and $2.2 million and $7.4 million for the quarter and nine months ended September 30, 2014, respectively. Following is a summary of maturities of outstanding assets sold under agreements to repurchase by facility maturity date: Remaining Maturity at September 30, 2015 Contractual (in thousands) Within 30 days $ 1,521,695 Over 30 to 90 days 413,728 Over 90 days to 180 days 252,357 Over 180 days to 1 year 290,986 Over 1 year to 2 year 386,956 $ 2,865,722 Weighted average maturity (in months) 4.5 The Company is subject to margin calls during the period the agreements are outstanding and therefore may be required to repay a portion of the borrowings before the respective agreements mature if the fair value (as determined by the applicable lender) of the assets securing those agreements decreases. Margin deposits are included in Other 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 September 30, 2015: Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase Counterparty Amount at risk Mortgage loans acquired for sale Weighted-average repurchase agreement maturity Facility maturity (in thousands) Citibank, N.A. $ 366,115 October 22, 2015 October 22, 2015 Credit Suisse First Boston Mortgage Capital LLC $ 317,292 October 30, 2015 October 30, 2015 JPMorgan Chase & Co. $ 160,224 — January 26, 2017 Bank of America, N.A. $ 31,157 December 19, 2015 January 29, 2016 Morgan Stanley $ 10,905 November 17, 2015 December 17, 2015 Securities sold under agreements to repurchase Counterparty Amount at risk Maturity (in thousands) Citibank, N.A. $ 517 December 30, 2015 JPMorgan Chase & Co. $ 16,547 October 23, 2015 Daiwa Capital Markets America Inc. $ 8,275 November 6, 2015 Bank of America, N.A. $ 15,181 November 18, 2015 The following is a summary of the tangible net worth and minimum required amounts for the Company and certain of its subsidiaries at September 30, 2015 to comply with the debt covenants contained in the borrowing agreements: Tangible net worth at Entity Balance Minimum (in thousands) PennyMac Mortgage Investment Trust $ 1,514,430 $ 860,000 Operating Partnership $ 1,554,310 $ 700,000 PennyMac Holdings, LLC $ 896,693 $ 250,000 PennyMac Corp. $ 417,780 $ 150,000 |
Mortgage Loan Participation and
Mortgage Loan Participation and Sale Agreement | 9 Months Ended |
Sep. 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 agreements are summarized below: Quarter ended Nine months ended September 30, 2015 (dollars in thousands) During the period: Weighted-average interest rate (1) 1.44 % 1.43 % Average balance $ 48,832 $ 50,933 Total interest expense $ 226 $ 699 Maximum daily amount outstanding $ 120,374 $ 148,032 At period end: Amount outstanding $ 61,093 Unamortized debt issuance costs (16 ) $ 61,078 Weighted-average interest rate 1.44 % Mortgage loans pledged to secure mortgage loan participation and sale agreement $ 63,162 (1) Excludes the effect of amortization of commitment fees of $47,000 and $146,000 for the quarter and nine months ended September 30, 2015. |
Federal Home Loan Bank Advances
Federal Home Loan Bank Advances | 9 Months Ended |
Sep. 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 Federal Home Loan Bank of Des Moines with no specified termination date. The Company may request advances up to a maximum of $400.0 million. The Company is required to comply with certain financial covenants and must also maintain capital stock equal to at least 4% of the outstanding balance of FHLB advances. The FHLB advances are summarized below: Quarter ended Nine months ended (dollars in thousands) During the period: Weighted-average interest rate 0.27 % 0.27 % Average balance $ 170,902 $ 58,100 Total interest expense $ 117 $ 119 Maximum daily amount outstanding $ 188,834 $ 188,834 At period end: Balance $ 183,000 Weighted-average interest rate 0.27 % Fair value of assets securing FHLB advances: Mortgage-backed securities $ 8,961 Mortgage loans acquired for sale at fair value 68,937 Mortgage loans at fair value 140,025 $ 217,923 |
Notes Payable
Notes Payable | 9 Months Ended |
Sep. 30, 2015 | |
Text Block [Abstract] | |
Notes Payable | Note 17—Notes Payable On September 14, 2015, the Company, through its wholly-owned subsidiary PMC, entered into a Loan and Security Agreement with Barclays Bank PLC, pursuant to which PMC may finance certain of its MSRs relating to mortgage loans pooled into Fannie Mae MBS in an aggregate loan amount not to exceed $150 million. The note matures on September 13, 2016. The Company used the proceeds of this financing to repay its borrowings collateralized by MSRs relating to mortgage loans pooled into Fannie Mae MBS under a Loan and Security Agreement with Citibank, N.A, which is now used to finance Freddie Mac MSRs only. The note in favor of Citibank, N.A. matures on March 29, 2016. Following is a summary of financial information relating to the notes payable: Quarter ended Nine months ended (dollars in thousands) During the period: Weighted-average interest rate (1) 4.25 % 4.24 % Average balance $ 195,030 $ 85,907 Total interest expense $ 2,375 $ 3,369 Maximum daily amount outstanding $ 198,191 $ 198,191 At period end: Amount outstanding $ 192,332 Weighted-average interest rate 4.39 % Mortgage servicing rights pledged to secure notes payable $ 423,095 (1) Excludes the effect of amortization of commitment fees and issuance costs of $562,000 and $915,000 for the quarter and nine months ended September 30, 2015. |
Asset-Backed Secured Financing
Asset-Backed Secured Financing of a Variable Interest Entity at Fair Value | 9 Months Ended |
Sep. 30, 2015 | |
Text Block [Abstract] | |
Asset-Backed Secured Financing of a Variable Interest Entity at Fair Value | Note 18—Asset-Backed Secured Financing of a Variable Interest Entity at Fair Value Following is a summary of financial information relating to the asset-backed secured financing of a VIE: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (dollars in thousands) During the period: Weighted-average fair value $ 170,262 $ 168,923 $ 165,024 $ 168,186 Interest expense $ 1,787 $ 1,584 $ 4,671 $ 4,762 Weighted-average effective interest rate 3.30 % 3.67 % 3.35 % 3.73 % At period end: Fair value $ 234,287 $ 166,841 Interest rate 3.50 % 3.50 % The asset-backed secured financing of a variable interest entity is a non-recourse liability and secured solely by the assets of a 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 | 9 Months Ended |
Sep. 30, 2015 | |
Text Block [Abstract] | |
Exchangeable Senior Notes | Note 19—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 33.6567 common shares per $1,000 principal amount of the Exchangeable Notes as of September 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 cumulative cash dividends exceeding the quarterly 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 September 30, Nine months ended September 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) $ 3,605 $ 3,592 $ 10,803 $ 10,763 At period end: Amount outstanding $ 250,000 $ 250,000 Unamortized issuance costs (5,195 ) (6,156 ) $ 244,805 $ 243,844 (1) Total interest expense includes amortization of debt issuance costs of $245,000 and $726,000 during the quarter and nine months ended September 30, 2015, respectively, and $232,000 and $685,000 during the quarter and nine months ended September 2014, respectively. |
Borrowings under Forward Purcha
Borrowings under Forward Purchase Agreements | 9 Months Ended |
Sep. 30, 2015 | |
Text Block [Abstract] | |
Borrowings under Forward Purchase Agreements | Note 20—Borrowings under Forward Purchase Agreements There were no borrowings under forward purchase agreements during the quarter and nine months ended September 30, 2015. Following is a summary of financial information relating to borrowings under forward purchase agreements: Quarter ended Nine months ended (dollars in thousands) During the period: Weighted-average effective interest rate — 2.84 % Weighted-average balance $ — $ 109,708 Interest expense $ — $ 2,364 Maximum daily amount outstanding $ — $ 226,847 At period end: Balance $ — Interest rate — Fair value of underlying loans and REO $ — |
Liability for Losses Under Repr
Liability for Losses Under Representations and Warranties | 9 Months Ended |
Sep. 30, 2015 | |
Text Block [Abstract] | |
Liability for Losses Under Representations and Warranties | Note 21—Liability for Losses Under Representations and Warranties Following is a summary of the Company’s liability for losses under representations and warranties: Quarter ended Nine months ended 2015 2014 2015 2014 (in thousands) Balance, beginning of period $ 16,714 $ 11,876 $ 14,242 $ 10,110 Provision for losses 1,833 1,359 4,177 3,125 Losses incurred (74 ) — (176 ) — Recoveries — — 230 — Balance, end of period $ 18,473 $ 13,235 $ 18,473 $ 13,235 Unpaid principal balance of mortgage loans subject to representations and warranties at period end $ 39,730,788 $ 32,129,635 |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 22—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 September 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: September 30, 2015 (in thousands) Commitments to purchase mortgage loans: Mortgage loans acquired for sale at fair value $ 1,163,415 |
Shareholders' Equity
Shareholders' Equity | 9 Months Ended |
Sep. 30, 2015 | |
Equity [Abstract] | |
Shareholders' Equity | Note 23—Shareholders’ Equity Common Share Repurchases On August 19, 2015, the Company announced that its Board of Directors authorized a common share repurchase program under which the Company may repurchase up to $150 million of its outstanding common shares. During the quarter and nine months ended September 30, 2015, 1.0 million common shares were repurchased by the Company at a cost of $16.0 million. The repurchased common shares were canceled upon settlement of the repurchase transactions. Common Share Issuances The Company has entered into an ATM Equity Offering Sales Agreement SM At September 30, 2015, the Company had approximately $106.9 million of common shares available for issuance under its ATM Equity Offering Sales Agreement SM |
Net Interest Income
Net Interest Income | 9 Months Ended |
Sep. 30, 2015 | |
Banking and Thrift, Interest [Abstract] | |
Net Interest Income | Note 24—Net Interest Income Net interest income is summarized below: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Interest income: From nonaffiliates: Short-term investments $ 115 $ 138 $ 417 $ 462 Mortgage-backed securities 2,614 1,935 7,752 5,657 Mortgage loans acquired for sale at fair value 20,704 7,712 38,120 16,911 Mortgage loans at fair value 24,364 22,401 68,089 76,502 Mortgage loans at fair value held by VIE 5,598 5,457 15,440 16,368 Mortgage loans under forward purchase agreements — — — 3,584 Other 17 16 42 38 53,412 37,659 129,860 119,522 From PennyMac Financial Services, Inc: Excess servicing spread purchased from PFSI, at fair value 8,026 3,577 17,596 9,578 61,438 41,236 147,456 129,100 Interest expense: From nonaffiliates: Assets sold under agreements to repurchase 21,350 15,814 60,470 43,496 Federal Home Loan Bank advances 117 — 119 — Mortgage loans participation and sale agreement 226 — 699 — Credit risk transfer financing 5,799 — 6,912 — Notes payable 2,375 — 3,369 — Asset-backed secured financing of a variable interest entity at fair value 1,787 1,584 4,671 4,762 Exchangeable senior notes 3,605 3,592 10,803 10,763 Borrowings under forward purchase agreements — — — 2,363 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 849 581 3,313 1,281 Interest on mortgage loan impound deposits 363 449 1,067 995 36,471 22,020 91,423 63,660 From PennyMac Financial Services, Inc: Note payable to PennyMac Financial Services, Inc. 1,289 — 1,822 — 37,760 22,020 93,245 63,660 Net interest income $ 23,678 $ 19,216 $ 54,211 $ 65,440 |
Net Gain on Mortgage Loans Acqu
Net Gain on Mortgage Loans Acquired for Sale | 9 Months Ended |
Sep. 30, 2015 | |
Text Block [Abstract] | |
Net Gain on Mortgage Loans Acquired for Sale | Note 25—Net Gain on Mortgage Loans Acquired for Sale Net gain on mortgage loans acquired for sale is summarized below: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Cash (loss) gain: Loans $ 4,579 $ (15,473 ) (54,183 ) $ (21,540 ) Hedging activities (33,268 ) (12,706 ) (27,082 ) (35,004 ) (28,689 ) (28,179 ) (81,265 ) (56,544 ) Non cash gain: Receipt of MSRs in loan sale transactions 52,814 39,614 112,450 89,230 Provision for losses relating to representations and warranties provided in loan sales (1,833 ) (1,359 ) (4,177 ) (3,125 ) Change in fair value of financial instruments issued and held at period end: IRLCs 9,073 (5,697 ) 3,146 4,140 Mortgage loans (17,097 ) (3,073 ) 1,181 5,000 Hedging derivatives (384 ) 8,203 3,884 (8,999 ) (8,408 ) (567 ) 8,211 141 $ 13,884 $ 9,509 $ 35,219 $ 29,702 |
Net Gain on Investments
Net Gain on Investments | 9 Months Ended |
Sep. 30, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |
Net Gain on Investments | Note 26—Net Gain on Investments Net gain on investments is summarized below: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Net gain (loss) on investments: From non-affiliates: Mortgage-backed securities $ 3,564 $ (821 ) $ (1,622 ) $ 6,096 Mortgage loans 31,909 81,296 79,163 194,808 Mortgage loans held in a VIE 7,421 (2,578 ) (2,856 ) 24,906 Net derivatives related to CRT Agreements 626 — 626 — Asset-backed secured financing (3,941 ) 696 (719 ) (7,258 ) Hedging derivatives (6,777 ) (807 ) (18,071 ) (14,609 ) 32,802 77,786 56,521 203,943 From PennyMac Financial Services, Inc: Excess servicing spread purchased from PFSI (7,844 ) (7,396 ) (5,502 ) (17,834 ) $ 24,958 $ 70,390 $ 51,019 $ 186,109 |
Net Loan Servicing Fees
Net Loan Servicing Fees | 9 Months Ended |
Sep. 30, 2015 | |
Text Block [Abstract] | |
Net Loan Servicing Fees | Note 27—Net Loan Servicing Fees Net loan servicing fees are summarized below: Quarter ended Nine months ended 2015 2014 2015 2014 (in thousands) Servicing fees (1) $ 25,500 $ 20,300 $ 74,016 $ 56,988 MSR recapture fee receivable from PFSI 670 — 670 9 Effect of MSRs: Carried at lower of amortized cost or fair value: Amortization (11,333 ) (8,109 ) (30,913 ) (23,170 ) (Provision for) reversal of impairment (7,845 ) 602 (7,142 ) (2,249 ) Gain on sale 4 — 87 — Carried at fair value—change in fair value (5,266 ) (1,606 ) (8,776 ) (8,398 ) Gains (losses) on hedging derivatives 19,061 (654 ) 13,868 3,532 (5,379 ) (9,767 ) (32,876 ) (30,285 ) Net loan servicing fees $ 20,791 $ 10,533 $ 41,810 $ 26,712 Average servicing portfolio $ 38,172,371 $ 30,701,324 $ 36,446,663 $ 28,597,033 (1) Includes contractually specified servicing and ancillary fees. |
Share-Based Compensation Plans
Share-Based Compensation Plans | 9 Months Ended |
Sep. 30, 2015 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Share-Based Compensation Plans | Note 28—Share-Based Compensation Plans On September 30, 2015 and 2014, the Company had one share-based compensation plan. The Company recognized compensation expense of $1.3 million and $5.0 million for the quarter and nine months ended September 30, 2015, compared to $1.6 million and $5.7 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 nine months ended September 30, 2015 and 2014, respectively. No restricted share units were granted during the quarters ended September 30, 2015 and 2014. The Company had vestings of zero and 301,763 restricted share units during the quarter and nine months ended September 30, 2015, compared to 500 and 230,716 units for the same periods in 2014. |
Other Expenses
Other Expenses | 9 Months Ended |
Sep. 30, 2015 | |
Other Income and Expenses [Abstract] | |
Other Expenses | Note 29—Other Expenses Other expenses are summarized below: Quarter ended Nine months ended 2015 2014 2015 2014 (in thousands) Common overhead allocation from PFSI (1) $ 2,550 $ 2,802 $ 7,487 $ 8,018 Servicing and collection costs 1,853 2,064 6,480 5,809 Loan origination 1,367 1,202 3,496 1,637 Insurance 309 247 984 738 Technology 307 246 910 720 Other 941 823 2,649 1,682 $ 7,327 $ 7,384 $ 22,006 $ 18,604 (1) For the quarter and nine months ended September 30, 2015, in accordance with the terms of the management agreement, PCM provided the Company discretionary waivers of $900,000 and $1.6 million, respectively, of overhead expenses that otherwise would have been allocable to the Company. |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2015 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Note 30—Income Taxes The Company’s effective tax rate is 14.0% and (12.1)% for the quarter and nine months ended September 30, 2015, as compared to 5.1% and (0.3)% for the same periods in 2014. The increase in the Company’s tax expense for the quarter ended September 30, 2015 as compared to the same period in 2014 is due primarily to increased income before income taxes earned at the Company’s taxable REIT subsidiary. The increase in the Company’s tax benefit for the nine months ended September 30, 2015 as compared to the same period in 2014 is due primarily to an increased loss before income taxes incurred at the Company’s taxable REIT subsidiary. 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 | 9 Months Ended |
Sep. 30, 2015 | |
Segment Reporting [Abstract] | |
Segments and Related Information | Note 31—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 September 30, 2015 Correspondent Investment Intersegment elimination Total (in thousands) Net investment income: Interest income $ 13,748 $ 47,690 $ — $ 61,438 Interest expense (6,370 ) (31,390 ) — (37,760 ) 7,378 16,300 — 23,678 Net gain on mortgage loans acquired for sale 13,884 — — 13,884 Net gain on investments — 24,958 — 24,958 Net loan servicing fees — 20,791 20,791 Other income (loss) 9,154 (1,691 ) — 7,463 30,416 60,358 — 90,774 Expenses: Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc. 18,367 16,664 — 35,031 Other 1,876 8,760 — 10,636 20,243 25,424 — 45,667 Pre-tax income $ 10,173 $ 34,934 $ — $ 45,107 Total assets at period end $ 1,073,070 $ 4,519,161 $ — $ 5,592,231 Quarter ended September 30, 2014 Correspondent Investment Intersegment Total (in thousands) Net investment income: Interest income $ 7,727 $ 33,509 $ — $ 41,236 Interest expense (3,660 ) (18,360 ) — (22,020 ) 4,067 15,149 — 19,216 Net gain on mortgage loans acquired for sale 9,509 — — 9,509 Net gain on investments — 70,390 — 70,390 Net loan servicing fees — 10,533 10,533 Other income (loss) 6,524 (9,642 ) — (3,118 ) 20,100 86,430 — 106,530 Expenses: Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc. 15,900 21,545 — 37,445 Other 1,410 9,744 — 11,154 17,310 31,289 — 48,599 Pre-tax income $ 2,790 $ 55,141 $ — $ 57,931 Total assets at period end $ 708,442 $ 3,896,371 $ — $ 4,604,813 Nine months ended September 30, 2015 Correspondent Investment Intersegment Total (in thousands) Net investment income: Interest income $ 29,858 $ 117,598 $ — $ 147,456 Interest expense (14,953 ) (78,292 ) — (93,245 ) 14,905 39,306 — 54,211 Net gain on mortgage loans acquired for sale 35,219 — — 35,219 Net gain on investments — 51,019 — 51,019 Net loan servicing fees — 41,810 41,810 Other income (loss) 21,857 (5,920 ) — 15,937 71,981 126,215 — 198,196 Expenses: Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc. 47,313 51,505 — 98,818 Other 4,803 28,200 — 33,003 52,116 79,705 — 131,821 Pre-tax income $ 19,865 $ 46,510 $ — $ 66,375 Total assets at period end $ 1,073,070 $ 4,519,161 $ — $ 5,592,231 Nine months ended September 30, 2014 Correspondent Investment Intersegment Total (in thousands) Net investment income: Interest income $ 16,948 $ 114,540 $ (2,388 ) $ 129,100 Interest expense (12,196 ) (53,852 ) 2,388 (63,660 ) 4,752 60,688 — 65,440 Net gain on mortgage loans acquired for sale 29,702 — — 29,702 Net gain on investments — 186,109 — 186,109 Net loan servicing fees — 26,712 26,712 Other income (loss) 13,365 (17,647 ) — (4,282 ) 47,819 255,862 — 303,681 Expenses: Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc. 37,701 66,836 — 104,537 Other 2,248 29,372 — 31,620 39,949 96,208 — 136,157 Pre-tax income $ 7,870 $ 159,654 $ — $ 167,524 Total assets at period end $ 708,442 $ 3,896,371 $ — $ 4,604,813 |
Supplemental Cash Flow Informat
Supplemental Cash Flow Information | 9 Months Ended |
Sep. 30, 2015 | |
Supplemental Cash Flow Elements [Abstract] | |
Supplemental Cash Flow Information | Note 32—Supplemental Cash Flow Information Nine months ended September 30, 2015 2014 (in thousands) Cash paid for interest $ 85,876 $ 68,443 Income tax paid (refund) $ 700 $ (6,782 ) Non-cash investing activities: Transfer of mortgage loans and advances to real estate acquired in settlement of loans $ 240,483 $ 268,677 Purchase of mortgage loans financed through forward purchase agreements $ — $ 2,828 Transfer of mortgage loans under forward purchase agreements to mortgage loans at fair value $ — $ 205,902 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 $ 112,450 $ 89,230 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment $ 4,440 $ — Receipt of ESS pursuant to recapture agreement with PFSI $ 4,833 $ 6,093 Transfer of REO under forward purchase agreements to REO $ — $ 12,737 Non-cash financing activities: Purchase of mortgage loans financed through forward purchase agreements $ — $ 2,828 Transfer of mortgage loans at fair value financed through agreements to repurchase to REO financed under agreements to repurchase $ 58,923 $ 3,491 Dividends payable $ 35,019 $ 45,467 |
Regulatory Net Worth
Regulatory Net Worth | 9 Months Ended |
Sep. 30, 2015 | |
Mortgage Banking [Abstract] | |
Regulatory Net Worth | Note 33—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 $75.9 million and $39.4 million, respectively. Management believes that PMC complies with Fannie Mae’s and Freddie Mac’s net worth requirements as of September 30, 2015. |
Recently Issued Accounting Pron
Recently Issued Accounting Pronouncements | 9 Months Ended |
Sep. 30, 2015 | |
Accounting Changes and Error Corrections [Abstract] | |
Recently Issued Accounting Pronouncements | Note 34—Recently Issued Accounting Pronouncements In February 2015, the FASB issued ASU 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis In April 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, on its September 30, 2015 consolidated balance sheet, reclassified $7.0 million in debt issuance costs from Other Mortgage loans sold under agreements to repurchase Mortgage loan participation and sale agreement Notes payable Exchangeable senior notes |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2015 | |
Subsequent Events [Abstract] | |
Subsequent Events | Note 35—Subsequent Events Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period: • On October 16, 2015, the Company sold an additional $25.3 million in certificates issued under PMT Loan Trust 2013-J1, thereby reducing the certificates retained by the Company to $213.5 million. • On October 22, 2015, the Company, through PMC and PMH, entered into amendments to (i) its master repurchase agreement, dated December 9, 2010, by and among Citibank, N.A. (“Citi”), PMC, PMH and PLS (the “NPL Repurchase Agreement”), and (ii) its master repurchase agreement, dated May 24, 2012, by and among Citi, PMC and PLS (the “Loan Repo Facility” and, together with the NPL Repurchase Agreement, the “Repurchase Agreements”). Under the terms of the amendments, the maturity date of each Repurchase Agreement was extended to October 20, 2016, and the maximum aggregate purchase price provided for in each Repurchase Agreement was increased to $1.075 billion, $925 million of which is committed and the available amount of which is reduced under each Repurchase Agreement by the aggregate outstanding purchase price under the other Repurchase Agreement (and as defined therein). The Repurchase Agreements together require the Company to maintain various financial and other covenants, which include maintaining (i) a minimum adjusted tangible net worth at all times greater than or equal to $830 million; (ii) a minimum in unrestricted cash and cash equivalents among the Company and its subsidiaries at all times equal to or greater than $40 million; (iii) a ratio of total liabilities to adjusted tangible net worth at all times less than 5:1; and (iv) profitability of at least $1.00 for at least one (1) of the previous two (2) consecutive fiscal quarters, as of the end of each fiscal quarter. The Repurchase Agreements together also require PMH and PMC to maintain various financial and other covenants, which include maintaining (i) a minimum adjusted tangible net worth at all times greater than or equal to $220 million for PMH and $140 million for PMC; (ii) a minimum in unrestricted cash and cash equivalents between PMH and PMC at all times greater than or equal to $25 million in the aggregate; and (iii) a ratio of total liabilities to adjusted tangible net worth at all times less than 10:1 for each of PMH and PMC. The Repurchase Agreements together also require PLS to maintain various financial and other covenants, which include maintaining (i) a minimum adjusted tangible net worth at all times greater than or equal to $170 million; (ii) a minimum in unrestricted cash and cash equivalents at all times greater than or equal to $20 million; (iii) a ratio of total liabilities to adjusted tangible net worth at all times less than 10:1; and (iv) profitability of at least $1.00 for each fiscal quarter. |
Organization and Basis of Pre43
Organization and Basis of Presentation (Policies) | 9 Months Ended |
Sep. 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, LLC (“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 the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or through government agencies such as the Government National Mortgage Association (“Ginnie Mae”). Fannie Mae, Freddie Mac and Ginnie Mae are each referred to as an “Agency” and, collectively, as the “Agencies.” • The investment activities segment represents the Company’s investments in mortgage-related assets, which include distressed mortgage loans, real estate acquired in settlement of loans (“REO”), MBS, mortgage servicing rights (“MSRs”) and excess servicing spread (“ESS”). The Company seeks to maximize the value of 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 that may be anticipated for the full year. 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 Assets sold under agreements to repurchase, Mortgage loan participation and sale agreement Exchangeable senior notes |
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 PLS’ 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. Under the two-class method, all earnings (distributed and undistributed) are allocated to common shares and participating securities, based on their respective rights to receive dividends. Basic earnings per share is determined by dividing net income, reduced by income attributable to the participating securities, by the weighted-average common shares outstanding during the period. 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 CRT financing and 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 these financings. 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 February 2015, the FASB issued ASU 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis In April 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, on its September 30, 2015 consolidated balance sheet, reclassified $7.0 million in debt issuance costs from Other Mortgage loans sold under agreements to repurchase Mortgage loan participation and sale agreement Notes payable Exchangeable senior notes |
Organization and Basis of Pre44
Organization and Basis of Presentation (Tables) | 9 Months Ended |
Sep. 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 $ 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) | 9 Months Ended |
Sep. 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 September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Investment portfolio purchases: Mortgage loans $ — $ — $ 241,981 $ 284,403 REO — — — 3,117 $ — $ — $ 241,981 $ 287,520 Investment portfolio purchases above through one or more subsidiaries of Citigroup Inc.: Mortgage loans $ — $ — $ — $ 26,737 REO — — — 68 $ — $ — $ — $ 26,805 Following is a summary of the Company’s holdings of assets purchased through one or more subsidiaries of Citigroup Inc.: September 30, December 31, (in thousands) Mortgage loans $ 879,990 $ 943,163 REO 97,619 108,302 $ 977,609 $ 1,051,465 Total holdings of mortgage loans and REO $ 2,991,293 $ 3,030,180 |
Consolidated Statements of Income and Cash Flows | As a result of recognizing the CGM assets and related obligations, the Company’s consolidated statements of income and cash flows included the following amounts related to the forward purchase agreements: Quarter ended Nine months ended (in thousands) Statements of income: Interest income $ — $ 3,584 Interest expense $ — $ 2,364 Net gain on investments $ — $ 803 Net loan servicing fees $ — $ 517 Results of REO $ — $ (473 ) Statements of cash flows: Repayments of mortgage loans $ — $ 6,413 Sales of REO $ — $ 5,365 Repayments of borrowings under forward purchase agreements $ — $ (227,866 ) |
Transactions with Related Par46
Transactions with Related Parties (Tables) | 9 Months Ended |
Sep. 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 September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Fulfillment fees earned by PLS $ 17,553 $ 15,497 $ 45,752 $ 36,832 Unpaid principal balance of loans fulfilled by PLS $ 4,073,201 $ 3,677,613 $ 10,542,411 $ 8,588,955 Sourcing fees received from PLS $ 3,236 $ 1,384 $ 7,084 $ 3,401 Unpaid principal balance of loans sold to PLS $ 10,783,882 $ 4,609,947 $ 23,602,020 $ 11,332,898 Purchases of mortgage loans acquired for sale at fair value from PLS $ 2,880 $ 2,970 $ 13,708 $ 4,955 Tax service fee to paid to PLS $ 1,291 $ 703 $ 3,293 $ 1,753 At period end: Mortgage loans included in mortgage loans acquired for sale pending sale to PLS $ 373,812 $ 59,719 |
Summary of Mortgage Loan Servicing Fees Earned | Following is a summary of mortgage loan servicing fees earned by PLS: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Mortgage loans acquired for sale at fair value: Base $ 130 $ 28 $ 198 $ 74 Activity-based 153 35 243 112 283 63 441 186 Mortgage loans at fair value: Distressed mortgage loans Base 3,896 4,662 12,053 14,549 Activity-based 2,961 4,076 8,948 16,208 6,857 8,738 21,001 30,757 Mortgage loans held in VIE Base 34 17 92 71 Activity-based — — — — 34 17 92 71 MSRs: Base 4,473 3,459 12,783 9,930 Activity-based 89 48 225 152 4,562 3,507 13,008 10,082 $ 11,736 $ 12,325 $ 34,542 $ 41,096 Average investment in: Mortgage loans acquired for sale at fair value $ 1,783,011 $ 732,287 $ 1,189,754 $ 530,861 Distressed mortgage loans $ 2,201,533 $ 2,122,397 $ 2,268,538 $ 2,171,724 Mortgage loans held in a VIE $ 481,925 $ 537,367 $ 504,351 $ 534,784 Average mortgage loan servicing portfolio $ 38,172,371 $ 30,701,324 $ 36,446,663 $ 28,597,033 |
Summary of Investing and Financing Activities | Following is a summary of investing and financing activities between the Company and PFSI: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) ESS: Purchases $ 84,165 $ 9,253 $ 271,452 $ 82,646 Recapture income recognized $ 2,428 $ 2,143 $ 5,173 $ 6,558 Repayments $ 24,717 $ 8,786 $ 55,800 $ 25,280 Interest income $ 8,026 $ 3,577 $ 17,596 $ 9,578 Net gain (loss) $ (10,272 ) $ (9,539 ) $ (10,675 ) $ (24,392 ) MSR recapture income recognized $ 670 $ — $ 670 $ 9 Note payable: Advances $ 97,474 $ — $ 168,546 $ — Repayments $ — $ — $ 18,546 $ — Interest expense $ 1,289 $ — $ 1,822 $ — |
Summary of Base Management and Performance Incentive Fees Payable | Following is a summary of the base management and performance incentive fees payable to PCM recorded by the Company: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Base $ 5,742 $ 6,033 $ 17,181 $ 17,392 Performance incentive — 3,590 1,343 9,217 Total management fee incurred during the period $ 5,742 $ 9,623 $ 18,524 $ 26,609 |
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 September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Reimbursement of: Common overhead incurred by PCM and its affiliates (1) $ 2,694 $ 2,912 $ 8,125 $ 8,181 Expenses incurred on the Company’s behalf (85 ) 122 377 671 $ 2,609 $ 3,034 $ 8,502 $ 8,852 Payments and settlements during the period (2) $ 17,709 $ 31,621 $ 64,575 $ 72,975 (1) For the quarter and nine months ended September 30, 2015, in accordance with the terms of the management agreement, PCM provided the Company discretionary waivers of $900,000 and $1.6 million, respectively, 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, on the one hand, and PCM and PLS, on the other hand. |
Summary of Amounts Due to Affiliates | Amounts due to PCM and PLS are summarized below: September 30, December 31, (in thousands) Management fees $ 5,742 $ 8,426 Allocated expenses 5,237 6,582 Fulfillment fees 3,031 506 Servicing fees 2,310 3,457 Conditional reimbursement 900 1,136 Unsettled purchases of ESS — 3,836 $ 17,220 $ 23,943 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 9 Months Ended |
Sep. 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 September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands except per share amounts) Basic earnings per share: Net income 38,812 $ 54,949 $ 74,391 $ 168,033 Effect of participating securities—share-based compensation awards (361 ) (305 ) (1,352 ) (1,360 ) Net income attributable to common shareholders $ 38,451 $ 54,644 $ 73,039 $ 166,673 Diluted earnings per share: Net income attributable to common shareholders $ 38,451 $ 54,949 $ 73,039 $ 168,033 Interest on Exchangeable Notes, net of income taxes 2,123 2,081 6,364 6,237 Net income attributable to diluted shareholders $ 40,574 $ 57,030 $ 79,403 $ 174,270 Weighted-average basic shares outstanding 74,681 74,140 74,675 73,254 Potentially dilutive securities: Shares issuable pursuant to exchange of the Exchangeable Notes 8,414 8,401 8,414 8,401 Shares issuable under share-based compensation plan 316 291 397 323 Diluted weighted-average number of shares outstanding 83,411 82,832 83,486 81,978 Basic earnings per share $ 0.51 $ 0.74 $ 0.98 $ 2.28 Diluted earnings per share $ 0.49 $ 0.69 $ 0.95 $ 2.13 |
Loan Sales and Variable Inter48
Loan Sales and Variable Interest Entities (Tables) | 9 Months Ended |
Sep. 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 (“UPB”) information at period end: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Cash flows: Proceeds from sales $ 4,885,668 $ 3,745,193 $ 10,593,309 $ 8,534,637 Servicing fees received (1) $ 25,054 $ 17,797 $ 69,876 $ 52,704 Period end information: Unpaid principal balance of: Mortgage loans outstanding $ 39,786,376 $ 32,134,609 Delinquent mortgage loans: 30-89 days delinquent $ 154,346 $ 87,374 90 or more days delinquent Not in foreclosure or bankruptcy 25,243 20,708 In foreclosure or bankruptcy 30,406 11,583 55,649 32,291 $ 209,995 $ 119,665 (1) Net of guarantee fees. |
Summary of Credit Risk Transfer Agreements | Following is a summary of the CRT Agreements: Quarter ended September 30, Nine months ended September 30, 2015 2015 (in thousands) During the period: UPB of mortgage loans transferred and sold under CRT Agreements $ 1,660,280 $ 2,400,433 Restricted cash deposited to fund guarantees $ 59,841 $ 87,891 Gains recognized on net derivatives related to CRT Agreements Realized $ — $ — Resulting from valuation changes 626 626 $ 626 $ 626 Payments made to settle losses $ — $ — At period end: UPB of mortgage loans subject to guarantee obligation $ 2,400,433 Delinquency Current—89 days delinquent $ 2,400,433 90 or more days delinquent — $ 2,400,433 Carrying value of CRT Agreements: Restricted cash included in Other assets $ 87,891 Net derivative assets included in Derivative assets 626 $ 88,517 |
Netting of Financial Instrume49
Netting of Financial Instruments (Tables) | 9 Months Ended |
Sep. 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 and the net derivatives related to CRT Agreements are subject to master netting arrangements. September 30, 2015 December 31, 2014 Gross Gross Net Gross Gross Net (in thousands) Derivatives subject to master netting arrangements: MBS put options $ — $ — $ — $ 374 $ — $ 374 MBS call options — — — — — — Forward purchase contracts 22,985 — 22,985 3,775 — 3,775 Forward sale contracts 15 — 15 52 — 52 Put options on interest rate futures 693 — 693 193 — 193 Call options on interest rate futures 3,270 — 3,270 3,319 — 3,319 Treasury futures contracts — — — — — — Netting — (19,892 ) (19,892 ) — (2,284 ) (2,284 ) 26,963 (19,892 ) 7,071 7,713 (2,284 ) 5,429 Derivatives not subject to master netting arrangements: Interest rate lock commitments 9,109 — 9,109 5,678 — 5,678 Net derivatives related to CRT Agreements 626 — 626 — — — $ 36,698 $ (19,892 ) $ 16,806 $ 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. September 30, 2015 December 31, 2014 Net amount Gross amounts Net amount Gross amounts Financial Cash Net Financial Cash Net (in thousands) Interest rate lock commitments $ 9,109 $ — $ — $ 9,109 $ 5,678 $ — $ — $ 5,678 RJ O’Brien & Associates, LLC 3,112 — — 3,112 3,034 — — 3,034 Nomura Securities International, Inc 733 — — 733 — — — — Fannie Mae Capital Markets 730 — — 730 — — — — Jefferies Group, LLC 598 — — 598 133 — — 133 Deutsche Bank 572 — — 572 124 — — 124 Morgan Stanley Bank, N.A. 531 — — 531 104 — — 104 Bank of New York Mellon 403 — — 403 — — — — JP Morgan Chase & Co. 313 — — 313 — — — — Credit Suisse First Boston Mortgage Capital LLC 188 — — 188 253 — — 253 Goldman Sachs 186 — — 186 — — — — Royal Bank of Canada 173 — — 173 — — — — Daiwa Capital Markets 100 — — 100 29 — — 29 Bank of America, N.A. — — — — 738 — — 738 Other 58 — — 58 1,014 — — 1,014 Total $ 16,806 $ — $ — $ 16,806 $ 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. September 30, 2015 December 31, 2014 Gross in the consolidated Gross Net Gross in the consolidated Gross Net (in thousands) Derivatives subject to master netting arrangements: Forward purchase contracts $ 6 $ — $ 6 $ 34 $ — $ 34 Forward sales contracts 21,794 — 21,794 6,649 — 6,649 Treasury futures sales contracts — — — 478 — 478 Netting — (19,316 ) (19,316 ) — (4,748 ) (4,748 ) 21,800 (19,316 ) 2,484 7,161 (4,748 ) 2,413 Derivatives not subject to master netting arrangements: Interest rate lock commitments 302 — 302 17 — 17 22,102 (19,316 ) 2,786 7,178 (4,748 ) 2,430 Assets sold under agreements to repurchase 2,865,722 — 2,865,722 2,730,130 — 2,730,130 Unamortized commitment fees and issuance cost (1,690 ) — (1,690 ) (1,103 ) — (1,103 ) 2,864,032 — 2,864,032 2,729,027 — 2,729,027 $ 2,886,134 $ (19,316 ) $ 2,866,818 $ 2,736,205 $ (4,748 ) $ 2,731,457 |
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. September 30, 2015 December 31, 2014 Gross amounts Gross amounts Net amount Financial Cash Net Net amount Financial Cash Net (in thousands) Interest rate lock commitments $ 302 $ — $ — $ 302 $ 17 $ — $ — $ 17 Morgan Stanley Bank, N.A. 163,104 (163,104 ) — — 121,975 (121,975 ) — — Credit Suisse First Boston Mortgage Capital LLC 861,527 (861,527 ) — — 966,155 (966,155 ) — — Citibank 843,743 (843,743 ) — — 797,851 (797,663 ) — 188 JPMorgan Chase & Co. 446,348 (446,348 ) — — — — — — Bank of America, N.A. 403,193 (402,917 ) — 276 508,908 (508,908 ) — — Daiwa Capital Markets 148,083 (148,083 ) — — 126,909 (126,909 ) — — RBS Securities — — — — 208,520 (208,520 ) — — Other 2,208 — — 2,208 2,225 — — 2,225 Unamortized commitment fees and issuance cost (1,690 ) 1,690 — — (1,103 ) 1,103 — — Total $ 2,866,818 $ (2,864,032 ) $ — $ 2,786 $ 2,731,457 $ (2,729,027 ) $ — $ 2,430 |
Fair Value (Tables)
Fair Value (Tables) | 9 Months Ended |
Sep. 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: September 30, 2015 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 31,518 $ — $ — $ 31,518 Mortgage-backed securities at fair value — 315,599 — 315,599 Mortgage loans acquired for sale at fair value — 1,050,296 — 1,050,296 Mortgage loans at fair value — 477,271 2,160,459 2,637,730 Excess servicing spread purchased from PFSI — — 418,573 418,573 Derivative assets: Interest rate lock commitments — — 9,109 9,109 Forward purchase contracts — 22,985 — 22,985 Forward sales contracts — 15 — 15 Net derivatives related to CRT Agreements — — 626 626 Put options on interest rate futures 693 — — 693 Call options on interest rate futures 3,270 — — 3,270 Total derivative assets before netting before netting 3,963 23,000 9,735 36,698 Netting (1) — — — (19,892 ) Total derivative assets after netting 3,963 23,000 9,735 16,806 Mortgage servicing rights at fair value — — 57,751 57,751 $ 35,481 $ 1,866,166 $ 2,646,518 $ 4,528,273 Liabilities: Asset-backed secured financing of a variable interest entity at fair value — 234,287 — 234,287 Derivative liabilities: Interest rate lock commitments — — 302 302 Forward purchase contracts — 6 — 6 Forward sales contracts — 21,794 — 21,794 Total derivative liabilities before netting — 21,800 302 22,102 Netting (1) — — — (19,316 ) Total derivative liabilities after netting — 21,800 302 2,786 $ — $ 256,087 $ 302 $ 237,073 (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 a 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 September 30, 2015 Mortgage Excess Interest rate Net derivatives Mortgage Total (in thousands) Assets: Balance, June 30, 2015 $ 2,246,944 $ 359,102 $ (267 ) $ — $ 57,343 $ 2,663,122 Purchases — 84,165 — — — 84,165 Repayments and sales (57,022 ) (24,717 ) — — — (81,739 ) Capitalization of interest 14,849 8,026 — — — 22,875 ESS received pursuant to a recapture agreement with PFSI — 2,268 — — — 2,268 Interest rate lock commitments issued, net — — 11,834 — — 11,834 Servicing received as proceeds from sales of mortgage loans 5,674 5,674 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 9,255 — — — — 9,255 Other factors 22,638 (10,271 ) 16,458 626 (5,266 ) 24,185 31,893 (10,271 ) 16,458 626 (5,266 ) 33,440 Transfers of mortgage loans to REO (76,205 ) — — — — (76,205 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (19,218 ) — — (19,218 ) Balance, September 30, 2015 $ 2,160,459 $ 418,573 $ 8,807 $ 626 $ 57,751 $ 2,646,216 Changes in fair value recognized during the period relating to assets still held at September 30, 2015 $ 32,971 $ (10,271 ) $ 8,807 $ 626 $ (5,266 ) $ 26,867 (1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. Quarter ended September 30, 2014 Mortgage Excess Net interest Mortgage Total (in thousands) Assets: Balance, June 30, 2014 $ 2,156,501 $ 190,244 $ 11,087 $ 46,802 $ 2,404,634 Purchases — 9,253 — — 9,253 Repayments and sales (126,413 ) (8,786 ) — (137 ) (135,336 ) Capitalization of interest 10,451 3,577 — — 14,028 ESS received pursuant to a recapture agreement with PFSI — 2,619 — — 2,619 Interest rate lock commitments issued, net — — 14,046 — 14,046 Servicing received as proceeds from sales of mortgage loans — — — 12,812 12,812 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 13,850 — — — 13,850 Other factors 67,446 (9,539 ) 843 (1,606 ) 57,144 81,296 (9,539 ) 843 (1,606 ) 70,994 Transfers of mortgage loans to REO (90,733 ) — — — (90,733 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (20,585 ) — (20,585 ) Balance, September 30, 2014 $ 2,031,102 $ 187,368 $ 5,391 $ 57,871 $ 2,281,732 Changes in fair value recognized during the period relating to assets still held at September 30, 2014 $ 70,713 $ (9,539 ) $ 5,391 $ (1,606 ) $ 64,959 (1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. Nine months ended September 30, 2015 Mortgage Excess Interest rate lock Net derivatives Mortgage Total (in thousands) Assets: Balance, December 31, 2014 $ 2,199,583 $ 191,166 $ 5,661 $ — $ 57,358 $ 2,453,768 Purchases 241,981 271,452 — — — 513,433 Repayments and sales (171,093 ) (55,800 ) — — — (226,893 ) Capitalization of interest 34,979 17,596 — — — 52,575 ESS received pursuant to a recapture agreement with PFSI — 4,833 — — — 4,833 Interest rate lock commitments issued, net — — 42,917 — — 42,917 Servicing received as proceeds from sales of mortgage loans — — — — 9,169 9,169 Charges in fair value included in income arising from: Changes in instrument-specific credit risk 29,563 — — — — 29,563 Other factors 49,584 (10,674 ) (6,941 ) 626 (8,776 ) 23,819 79,147 (10,674 ) (6,941 ) 626 (8,776 ) 53,382 Transfers of mortgage loans to REO (224,138 ) — — — — (224,138 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (32,830 ) — — (32,830 ) Balance, September 30, 2015 $ 2,160,459 $ 418,573 $ 8,807 $ 626 $ 57,751 $ 2,646,216 Changes in fair value recognized during the period relating to assets still held at September 30, 2015 $ 80,885 $ (10,674 ) $ 8,807 $ 626 $ (8,776 ) $ 70,868 (1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. Nine months ended September 30, 2014 Mortgage 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 82,646 — — 367,049 Repayments and sales (513,843 ) (6,413 ) (25,280 ) — (137 ) (545,673 ) Capitalization of interest 39,005 1,800 9,578 — — 50,383 ESS received pursuant to a recapture agreement with PFSI — — 6,093 — — 6,093 Interest rate lock commitments issued, net — — — 45,800 — 45,800 Servicing received as proceeds from sales of mortgage loans — — — — 39,954 39,954 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 54,612 2,269 — — 56,881 Other factors 139,393 (1,466 ) (24,392 ) 12,837 (8,398 ) 117,974 194,005 803 (24,392 ) 12,837 (8,398 ) 174,855 Transfers of mortgage loans under forward purchase agreements to mortgage loans 205,902 (205,902 ) — — — — Transfers of mortgage loans to REO (253,649 ) — — — — (253,649 ) Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements — (9,802 ) — — — (9,802 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — — (54,495 ) — (54,495 ) Balance, September 30, 2014 $ 2,031,102 $ — $ 187,368 $ 5,391 $ 57,871 $ 2,281,732 Changes in fair value recognized during the period relating to assets still held at September 30, 2014 $ 126,773 $ — $ (24,392 ) $ 5,391 $ (8,398 ) $ 99,374 (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): September 30, 2015 Fair value Principal Difference (in thousands) Mortgage loans acquired for sale at fair value: Current through 89 days delinquent $ 1,050,006 $ 1,003,249 $ 46,757 90 or more days delinquent (1) Not in foreclosure 85 116 (31 ) In foreclosure 205 254 (49 ) 290 370 (80 ) $ 1,050,296 $ 1,003,619 $ 46,677 Mortgage loans at fair value: Mortgage loans held in a consolidated VIE Current through 89 days delinquent $ 477,271 $ 471,496 $ 5,775 90 or more days delinquent (1) Not in foreclosure — — — In foreclosure — — — — — — 477,271 471,496 5,775 Other mortgage loans at fair value: Current through 89 days delinquent 801,018 1,049,502 (248,484 ) 90 or more days delinquent (1) Not in foreclosure 533,070 739,183 (206,113 ) In foreclosure 826,371 1,149,326 (322,955 ) 1,359,441 1,888,509 (529,068 ) 2,160,459 2,938,011 (777,552 ) $ 2,637,730 $ 3,409,507 $ (771,777 ) (1) Loans delinquent 90 or more days are placed on nonaccrual status and previously accrued interest is reversed. December 31, 2014 Fair value Principal 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 Mortgage loans at fair value Mortgage loans held in a consolidated VIE Current through 89 days delinquent $ 527,369 $ 517,500 $ 9,869 90 or more days delinquent (1) Not in foreclosure — — — In foreclosure — — — — — — 527,369 517,500 9,869 Other mortgage loans at fair value: Current through 89 days delinquent 664,266 935,385 (271,119 ) 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 September 30, 2015 Net gain on Net Net gain on Net loan Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — 91 3,564 — 3,655 Mortgage loans acquired for sale at fair value 39,504 — — — 39,504 Mortgage loans at fair value — 1,024 39,273 — 40,297 Excess servicing spread at fair value — — (7,844 ) — (7,844 ) Mortgage servicing rights at fair value — — — (5,266 ) (5,266 ) $ 39,504 $ 1,115 $ 34,993 $ (5,266 ) $ 70,346 Liabilities: Asset-backed secured financing at fair value — (351 ) (3,940 ) — (4,291 ) $ — $ (351 ) $ (3,940 ) $ — $ (4,291 ) Quarter ended September 30, 2014 Net gain on Net Net gain on Net loan Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — 108 (821 ) — (713 ) Mortgage loans acquired for sale at fair value 19,977 — — — 19,977 Mortgage loans at fair value — 385 78,717 — 79,102 Excess servicing spread at fair value — — (7,396 ) — (7,396 ) Mortgage servicing rights at fair value — — — (1,606 ) (1,606 ) $ 19,977 $ 493 $ 70,500 $ (1,606 ) $ 89,364 Liabilities: Asset-backed secured financing at fair value $ — $ (124 ) $ 696 $ — $ 572 $ — $ (124 ) $ 696 $ — $ 572 Nine months ended September 30, 2015 Net gain on Net Net gain on Net loan Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — Mortgage-backed securities at fair value — 155 (1,622 ) — (1,467 ) Mortgage loans acquired for sale at fair value 57,568 — — — 57,568 Mortgage loans at fair value — 1,203 76,249 — 77,452 Excess servicing spread at fair value — — (5,502 ) — (5,502 ) Mortgage servicing rights at fair value — — — (8,776 ) (8,776 ) $ 57,568 $ 1,358 $ 69,125 $ (8,776 ) $ 119,275 Liabilities: Asset-backed secured financing at fair value — (474 ) (719 ) — (1,193 ) $ — $ (474 ) $ (719 ) $ — $ (1,193 ) Nine months ended September 30, 2014 Net gain on Net Net gain on Net loan Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — 296 6,096 — 6,392 Mortgage loans acquired for sale at fair value 69,812 — — — 69,812 Mortgage loans at fair value — 938 218,912 — 219,850 Mortgage loans under forward purchase agreements at fair value — — 803 — 803 Excess servicing spread at fair value — — (17,834 ) — (17,834 ) Mortgage servicing rights at fair value — — — (8,398 ) (8,398 ) $ 69,812 $ 1,234 $ 207,977 $ (8,398 ) $ 270,625 Liabilities: Asset-backed secured financing at fair value $ — $ (328 ) $ (7,258 ) $ — $ (7,586 ) $ — $ (328 ) $ (7,258 ) $ — $ (7,586 ) |
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: September 30, 2015 Level 1 Level 2 Level 3 Total (in thousands) Real estate asset acquired in settlement of loans $ — $ — $ 145,815 $ 145,815 Mortgage servicing rights at lower of amortized cost or fair value — — 125,952 125,952 $ — $ — $ 271,767 $ 271,767 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 Fair Value 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 fair value on a nonrecurring basis: Quarter ended Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Real estate asset acquired in settlement of loans $ (8,182 ) $ (14,242 ) $ (18,308 ) $ (24,027 ) Mortgage servicing rights at lower of amortized cost or fair value (7,845 ) 602 (7,142 ) (2,249 ) $ (16,027 ) $ (13,640 ) $ (25,450 ) $ (26,276 ) |
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: Range (Weighted average) Key inputs September 30, 2015 December 31, 2014 Discount rate Range 2.5% – 15.0% 2.3% – 15.0% Weighted average 6.9% 7.7% Twelve-month projected housing price index change Range 2.0% – 4.3% 4.0% – 5.3% Weighted average 3.9% 4.8% Prepayment speed (1) Range 0.1% – 4.6% 0.0% – 6.5% Weighted average 3.6% 3.1% Total prepayment speed (2) Range 3.6% – 27.3% 0.0% – 27.9% Weighted average 20.5% 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 September 30, 2015 December 31, 2014 Unpaid principal balance of underlying mortgage loans (in thousands) $54,189,421 $28,227,340 Average servicing fee rate (in basis points) 32 31 Average ESS rate (in basis points) 17 16 Pricing spread (1) Range 4.8% – 6.5% 1.7% – 12.0% Weighted average 5.7% 5.3% Life (in years) Range 1.5 – 8.9 0.4 – 7.3 Weighted average 6.7 5.8 Annual total prepayment speed (2) Range 5.5% – 50.3% 7.6% – 74.6% Weighted average 10.4% 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: Range (Weighted average) Key inputs September 30, 2015 December 31, 2014 Pull-through rate Range 44.8% – 99.9% 65.0% – 98.0% Weighted average 88.6% 94.9% MSR value expressed as: Servicing fee multiple Range 1.9 – 6.0 0.7 – 5.2 Weighted average 4.5 4.3 Percentage of unpaid principal balance Range 0.5% – 3.7% 0.2% – 1.3% Weighted average 1.2% 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 September 30, 2015 2014 Key inputs Amortized Fair Amortized Fair (MSR recognized and unpaid principal balance of underlying loan amounts in MSR recognized $ 47,140 $ 5,674 $ 26,802 $ 12,812 Unpaid principal balance of underlying mortgage loans $ 3,512,016 $ 578,894 $ 2,423,013 $ 1,234,028 Weighted-average annual servicing fee rate (in basis points) 25 25 25 25 Pricing spread (1) Range 6.5% – 13.0% 7.2% – 14.3% 6.5% – 17.5% 8.8% – 13.5% Weighted average 7.8% 8.4% 8.5% 9.1% Life (in years) Range 2.0 – 7.4 2.3 – 7.2 1.4 – 7.3 2.8 – 7.3 Weighted average 6.8 6.6 6.6 7.1 Annual total prepayment speed (2) Range 7.6% – 37.6% 8.4% – 22.4% 7.6% – 48.8% 8.0% – 30.4% Weighted average 9.2% 11.9% 9.2% 9.7% Annual per-loan cost of servicing Range $62 – $68 $62 – $68 $68 – $140 $68 – $140 Weighted average $65 $65 $70 $70 Nine months ended September 30, 2015 2014 Key inputs Amortized Fair Amortized Fair (MSR recognized and unpaid principal balance of underlying loan MSR recognized $ 103,281 $ 9,169 $ 49,276 $ 39,954 Unpaid principal balance of underlying mortgage loans $ 9,140,782 $ 978,951 $ 4,518,100 $ 3,784,142 Weighted-average annual servicing fee rate (in basis points) 25 25 25 25 Pricing spread (1) Range 6.5% – 17.5% 7.2% – 16.3% 6.3% – 17.5% 8.5% – 13.5% Weighted average 8.1% 9.2% 8.5% 9.1% Life (in years) Range 1.3 – 7.7 2.3 – 7.3 1.1 – 7.3 2.8 – 7.3 Weighted average 6.7 6.5 6.3 7.1 Annual total prepayment speed (2) Range 7.6% – 51.0% 8.3% – 34.2% 7.6% – 56.4% 8.0% – 30.4% Weighted average 8.9% 12.1% 9.7% 9.5% Annual per-loan cost of servicing Range $62 – $134 $62 – $68 $68 – $140 $68 – $140 Weighted average $63 $64 $69 $69 (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: September 30, 2015 December 31, 2014 Amortized Fair Amortized Fair (Carrying value, unpaid principal balance and effect Carrying value $ 365,344 $ 57,751 $ 300,422 $ 57,358 Key inputs: Unpaid principal balance of underlying mortgage loans $ 33,834,143 $ 6,061,654 $ 28,006,797 $ 6,278,676 Weighted-average annual servicing fee rate (in basis points) 26 25 26 25 Weighted-average note interest rate 3.84 % 4.77 % 3.80 % 4.78 % Pricing spread (1) (2) Range 7.2% – 10.7% 7.2% – 10.7% 6.3% – 17.5% 8.1% – 16.3% Weighted average 7.2% 7.2% 7.9% 10.3% Effect on fair value of a: 5% adverse change $ (5,826 ) $ (813 ) $ (5,801 ) $ (937 ) 10% adverse change $ (11,484 ) $ (1,602 ) $ (11,410 ) $ (1,845 ) 20% adverse change $ (22,318 ) $ (3,117 ) $ (22,086 ) $ (3,577 ) Weighted average life (in years) Range 1.3 – 7.4 1.9 – 5.6 1.8 – 7.2 1.8 – 7.2 Weighted average 6.9 5.6 6.4 6.7 Prepayment speed (1) (3) Range 8.6% – 54.2% 14.3% – 38.5% 7.8% – 47.9% 8.0% – 39.6% Weighted average 10.2% 14.6% 8.8% 11.4% Effect on fair value of a: 5% adverse change $ (8,064 ) $ (1,751 ) $ (6,166 ) $ (1,430 ) 10% adverse change $ (15,826 ) $ (3,416 ) $ (12,138 ) $ (2,803 ) 20% adverse change $ (30,511 ) $ (6,508 ) $ (23,532 ) $ (5,394 ) Annual per-loan cost of servicing Range $68 – $68 $68 – $68 $62 – $134 $62 – $134 Weighted average $68 $68 $62 $62 Effect on fair value of a: 5% adverse change $ (2,512 ) $ (412 ) $ (1,807 ) $ (334 ) 10% adverse change $ (5,024 ) $ (824 ) $ (3,614 ) $ (668 ) 20% adverse change $ (10,047 ) $ (1,648 ) $ (7,228 ) $ (1,337 ) (1) The effect on fair 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 S51
Mortgage Loans Acquired for Sale at Fair Value (Tables) | 9 Months Ended |
Sep. 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: September 30, 2015 December 31, 2014 Loan type Fair Unpaid Fair Unpaid (in thousands) Conventional: Agency-eligible $ 601,394 $ 575,458 $ 287,300 $ 274,650 Jumbo 69,157 67,544 137,440 134,079 Held for sale to PennyMac Loan Services, LLC—Government insured or guaranteed 373,812 354,529 209,325 198,265 Commercial real estate loan 1,851 1,798 — — Mortgage loans repurchased pursuant to representations and warranties 4,082 4,291 3,657 3,634 $ 1,050,296 $ 1,003,620 $ 637,722 $ 610,628 Mortgage loans pledged to secure: Assets sold under agreements to repurchase $ 903,806 $ 609,608 Mortgage loan participation and sale agreements $ 63,162 $ 20,862 Federal Home Loan Bank (“FHLB”) advances $ 68,937 $ — |
Derivative Financial Instrume52
Derivative Financial Instruments (Tables) | 9 Months Ended |
Sep. 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 September 30, 2015 December 31, 2014 Fair value Fair value Instrument Notional Derivative Derivative Notional Derivative Derivative (in thousands) Derivatives not designated as hedging instruments: Free-standing derivatives: Interest rate lock commitments 1,163,415 $ 9,109 $ 302 695,488 $ 5,678 $ 17 Forward sales contracts 3,410,839 15 21,794 1,601,282 52 6,649 Forward purchase contracts 3,282,364 22,985 6 1,100,700 3,775 34 MBS put options 450,000 — — 340,000 374 — MBS call options — — — — — — Eurodollar future sales contracts 1,756,000 — — 7,426,000 — — Eurodollar future purchase contracts — — — 800,000 — — Treasury future contracts — — — 85,000 — 478 Call options on interest rate futures 1,555,000 3,270 — 1,030,000 3,319 — Put options on interest rate futures 1,625,000 693 — 275,000 193 — Net derivative related to CRT transactions 2,400,433 626 — — — — Total derivative instruments before netting 36,698 22,102 13,391 7,178 Netting (19,892 ) (19,316 ) (2,284 ) (4,748 ) $ 16,806 $ 2,786 $ 11,107 $ 2,430 |
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: Hedged Item Income Statement Line Quarter ended Nine months ended 2015 2014 2015 2014 (in thousands) Interest rate lock commitments and mortgage loans acquired for sale Net gain on mortgage loans $ (33,652 ) $ (4,503 ) $ (23,198 ) $ (44,003 ) Mortgage servicing rights Net loan servicing fees $ 19,061 $ (654 ) $ 13,868 $ 3,532 Fixed-rate assets and LIBOR—indexed repurchase agreements Net gain on investments $ (6,772 ) $ (807 ) $ (18,065 ) $ (14,609 ) |
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 for Derivative Arising from CRT Agreements and Derivative Contracts | The following tables summarize the notional amount activity for derivative arising from CRT Agreements and 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 September 30, 2015 Instrument Balance, Additions Dispositions/ Balance, (in thousands) Forward sales contracts 3,252,286 15,003,760 (14,845,207 ) 3,410,839 Forward purchase contracts 2,263,622 10,938,733 (9,919,991 ) 3,282,364 MBS put options 367,500 700,000 (617,500 ) 450,000 MBS call options 40,000 — (40,000 ) — Eurodollar future sale contracts 5,984,000 — (4,228,000 ) 1,756,000 Treasury future contracts 40,000 — (40,000 ) — Call option on interest rate futures 1,135,000 1,805,000 (1,385,000 ) 1,555,000 Put options on interest rate futures 1,273,000 1,650,000 (1,298,000 ) 1,625,000 Net derivative related to CRT transactions — 2,400,433 — 2,400,433 Quarter ended September 30, 2014 Instrument Balance, Additions Dispositions/ Balance, (in thousands) Forward purchase contracts 3,058,604 8,216,022 (9,364,487 ) 1,910,139 Forward sales contracts 4,185,633 11,670,826 (13,080,210 ) 2,776,249 MBS put option 392,500 640,000 (467,500 ) 565,000 MBS call option 95,000 75,000 (120,000 ) 50,000 Eurodollar future sale contracts 5,562,000 990,000 (290,000 ) 6,262,000 Eurodollar future purchase contracts — 290,000 (290,000 ) — Treasury future sale contracts 85,000 154,500 (154,500 ) 85,000 Treasury future purchase contracts — 138,300 (138,300 ) — Put options on interest rate futures 125,000 490,500 (395,500 ) 220,000 Call options on interest rate futures 230,000 580,000 (455,000 ) 355,000 Nine months ended September 30, 2015 Instrument Balance, Additions Dispositions/ Balance, (in thousands) Forward sales contracts 1,601,283 38,880,821 (37,071,265 ) 3,410,839 Forward purchase contracts 1,100,700 27,871,913 (25,690,249 ) 3,282,364 MBS put options 340,000 1,692,500 (1,582,500 ) 450,000 MBS call options — 140,000 (140,000 ) — Eurodollar future sale contracts 7,426,000 285,000 (5,955,000 ) 1,756,000 Eurodollar future purchase contracts 800,000 — (800,000 ) — Treasury future contracts 85,000 161,500 (246,500 ) — Call options on interest rate futures 1,030,000 4,080,000 (3,555,000 ) 1,555,000 Put options on interest rate futures 275,000 4,318,000 (2,968,000 ) 1,625,000 Net derivative related to CRT transactions — 2,400,433 — 2,400,433 Nine months ended September 30, 2014 Instrument Balance, Additions Dispositions/ Balance, (in thousands) Forward purchase contracts 2,781,066 26,650,920 (27,521,847 ) 1,910,139 Forward sales contracts 3,588,027 35,657,347 (36,469,125 ) 2,776,249 MBS put option 55,000 1,482,500 (972,500 ) 565,000 MBS call option 110,000 230,000 (290,000 ) 50,000 Eurodollar future sale contracts 8,779,000 1,452,000 (3,969,000 ) 6,262,000 Eurodollar future purchase contracts — 3,287,000 (3,287,000 ) — Treasury future sale contracts 105,000 375,300 (395,300 ) 85,000 Treasury future purchase contracts — 331,900 (331,900 ) — Put options on interest rate futures 52,500 1,052,500 (885,000 ) 220,000 Call options on interest rate futures — 960,000 (605,000 ) 355,000 |
Mortgage Loans at Fair Value (T
Mortgage Loans at Fair Value (Tables) | 9 Months Ended |
Sep. 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: September 30, 2015 December 31, 2014 Loan type Fair Unpaid Fair Unpaid (in thousands) Distressed mortgage loans: Nonperforming mortgage loans $ 1,359,441 $ 1,888,509 $ 1,535,317 $ 2,246,585 Performing mortgage loans: Fixed interest rate 380,322 494,804 322,704 449,496 Adjustable-rate/hybrid 157,265 186,534 127,405 162,329 Interest rate step-up 263,270 367,958 213,999 323,350 Balloon 161 206 158 210 801,018 1,049,502 664,266 935,385 Fixed interest rate jumbo mortgage loans held in a VIE 477,271 471,496 527,369 517,500 $ 2,637,730 $ 3,409,507 $ 2,726,952 $ 3,699,470 Mortgage loans at fair value pledged to secure : Assets sold under agreements to repurchase $ 2,390,784 $ 2,543,242 FHLB advances $ 140,025 $ — Asset-backed secured financing $ 477,271 $ 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 September 30, 2015 December 31, 2014 (percentages are at 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% 46% 55% Percentage of mortgage loans secured by California real estate 22% 22% Additional states contributing 5% or more of mortgage loans New York New York |
Real Estate Acquired in Settl54
Real Estate Acquired in Settlement of Loans (Tables) | 9 Months Ended |
Sep. 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 Nine months ended 2015 2014 2015 2014 (in thousands) Balance at beginning of period $ 324,278 $ 240,471 $ 303,228 $ 138,942 Purchases — — — 3,049 Transfers from mortgage loans at fair value and servicing advances 82,405 94,530 240,483 268,677 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment (2,212 ) — (3,505 ) — Transfers from REO under forward purchase agreements — — — 12,737 Results of REO: Valuation adjustments, net (8,734 ) (15,639 ) (26,740 ) (32,912 ) Gain on sale, net 4,513 3,713 14,881 9,485 (4,221 ) (11,926 ) (11,859 ) (23,427 ) Proceeds from sales (46,687 ) (47,890 ) (174,784 ) (124,793 ) Balance at end of period $ 353,563 $ 275,185 $ 353,563 $ 275,185 At period end: REO pledged to secure assets sold under agreements to repurchase $ 280,045 $ 56,702 REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties $ — $ 19,858 |
Real Estate Acquired in Settl55
Real Estate Acquired in Settlement of Loans Under Forward Purchase Agreements (Tables) | 9 Months Ended |
Sep. 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 nine months ended September 30, 2014: Quarter ended Nine months ended (in thousands) Balance at beginning of period $ — $ 9,138 Purchases — 68 Transfers from mortgage loans under forward purchase agreements at fair value and advances — 9,369 Transfers to REO — (12,737 ) Results of REO under forward purchase agreements: — Valuation adjustments, net — (779 ) Gain on sale, net — 306 — (473 ) Proceeds from sales — (5,365 ) Balance at end of period $ — $ — |
Mortgage Servicing Rights (Tabl
Mortgage Servicing Rights (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Summary of MSRs Carried at Fair Value | Following is a summary of MSRs carried at fair value: Quarter ended Nine months ended 2015 2014 2015 2014 (in thousands) Balance at beginning of period $ 57,343 $ 46,802 $ 57,358 $ 26,452 MSRs resulting from mortgage loan sales 5,674 12,812 9,169 39,954 Changes in fair value: Due to changes in valuation inputs or assumptions used in valuation model (1) (3,418 ) (106 ) (3,525 ) (4,974 ) Other changes in fair value (2) (1,848 ) (1,500 ) (5,251 ) (3,424 ) (5,266 ) (1,606 ) (8,776 ) (8,398 ) Sales — (137 ) — (137 ) Balance at end of period $ 57,751 $ 57,871 $ 57,751 $ 57,871 MSRs pledged to secure note payable at end of period $ 57,751 $ — (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 Nine months ended 2015 2014 2015 2014 (in thousands) Amortized Cost: Balance at beginning of period $ 344,405 $ 274,110 $ 308,137 $ 266,697 MSRs resulting from loan sales 47,140 26,802 103,281 49,276 Amortization (11,333 ) (8,109 ) (30,913 ) (23,170 ) Application of valuation allowance to write down MSRs with other-than temporary impairment — — — — Sales (12 ) — (305 ) — Balance at end of period 380,200 292,803 380,200 292,803 Valuation Allowance: Balance at beginning of period (7,011 ) (5,428 ) (7,714 ) (2,577 ) (Additions) reversals (7,845 ) 602 (7,142 ) (2,249 ) Application of valuation allowance to write down MSRs with other-than temporary impairment — — — — Balance at end of period (14,856 ) (4,826 ) (14,856 ) (4,826 ) MSRs, net $ 365,344 $ 287,977 $ 365,344 $ 287,977 Fair value at beginning of period $ 362,908 $ 289,226 $ 322,230 $ 289,737 Fair value at end of period $ 386,539 $ 312,196 Carrying value of MSRs pledged to secure note payable $ 365,344 $ — |
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 September 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. Quarter ended September 30, 2015 Estimated MSR (in thousands) 2015 $ 49,227 2016 42,898 2017 37,642 2018 33,216 2019 29,421 Thereafter 187,796 Total $ 380,200 |
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 Nine months ended 2015 2014 2015 2014 (in thousands) Contractually-specified servicing fees $ 25,500 $ 19,345 $ 74,016 $ 54,396 |
Assets Sold Under Agreements 57
Assets Sold Under Agreements to Repurchase (Tables) | 9 Months Ended |
Sep. 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 Nine months ended 2015 2014 2015 2014 (dollars in thousands) During the period: Weighted-average interest rate (1) 2.30 % 2.13 % 2.27 % 2.18 % Average balance $ 3,252,341 $ 2,501,816 $ 3,125,328 $ 2,186,135 Total interest expense $ 21,350 $ 15,814 $ 60,470 $ 43,496 Maximum daily amount outstanding $ 4,160,814 $ 2,815,572 $ 4,612,001 $ 2,700,586 At period end: Amount outstanding $ 2,865,722 $ 2,416,686 Unamortized debt issuance costs (1,690 ) (639 ) $ 2,864,032 $ 2,416,047 Weighted-average interest rate 2.22 % 2.17 % Available borrowing capacity: Committed $ 510,109 $ 578,969 Uncommitted 868,978 894,343 $ 1,379,087 $ 1,473,312 Margin deposits placed with counterparties $ 7,230 $ 8,210 Fair value of assets securing agreements to repurchase: Mortgage-backed securities $ 306,638 $ 262,378 Mortgage loans acquired for sale at fair value 903,806 609,608 Mortgage loans at fair value 2,390,784 2,273,768 Real estate acquired in settlement of loans 280,045 76,561 $ 3,881,273 $ 3,222,315 (1) Excludes the effect of amortization of commitment fees and issuance costs of $2.2 million and $6.7 million for the quarter and nine months ended September 30, 2015 and $2.2 million and $7.4 million for the quarter and nine months ended September 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 September 30, 2015 Contractual (in thousands) Within 30 days $ 1,521,695 Over 30 to 90 days 413,728 Over 90 days to 180 days 252,357 Over 180 days to 1 year 290,986 Over 1 year to 2 year 386,956 $ 2,865,722 Weighted average maturity (in months) 4.5 |
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 September 30, 2015 to comply with the debt covenants contained in the borrowing agreements: Tangible net worth at Entity Balance Minimum (in thousands) PennyMac Mortgage Investment Trust $ 1,514,430 $ 860,000 Operating Partnership $ 1,554,310 $ 700,000 PennyMac Holdings, LLC $ 896,693 $ 250,000 PennyMac Corp. $ 417,780 $ 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 September 30, 2015: Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase Counterparty Amount at risk Mortgage loans acquired for sale Weighted-average repurchase agreement maturity Facility maturity (in thousands) Citibank, N.A. $ 366,115 October 22, 2015 October 22, 2015 Credit Suisse First Boston Mortgage Capital LLC $ 317,292 October 30, 2015 October 30, 2015 JPMorgan Chase & Co. $ 160,224 — January 26, 2017 Bank of America, N.A. $ 31,157 December 19, 2015 January 29, 2016 Morgan Stanley $ 10,905 November 17, 2015 December 17, 2015 |
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) Citibank, N.A. $ 517 December 30, 2015 JPMorgan Chase & Co. $ 16,547 October 23, 2015 Daiwa Capital Markets America Inc. $ 8,275 November 6, 2015 Bank of America, N.A. $ 15,181 November 18, 2015 |
Mortgage Loan Participation a58
Mortgage Loan Participation and Sale Agreement (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Text Block [Abstract] | |
Summary of Mortgage Loan Participation and Sale Agreements | The mortgage loan participation and sale agreements are summarized below: Quarter ended Nine months ended September 30, 2015 (dollars in thousands) During the period: Weighted-average interest rate (1) 1.44 % 1.43 % Average balance $ 48,832 $ 50,933 Total interest expense $ 226 $ 699 Maximum daily amount outstanding $ 120,374 $ 148,032 At period end: Amount outstanding $ 61,093 Unamortized debt issuance costs (16 ) $ 61,078 Weighted-average interest rate 1.44 % Mortgage loans pledged to secure mortgage loan participation and sale agreement $ 63,162 (1) Excludes the effect of amortization of commitment fees of $47,000 and $146,000 for the quarter and nine months ended September 30, 2015. |
Federal Home Loan Bank Advanc59
Federal Home Loan Bank Advances (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Banking and Thrift [Abstract] | |
Summary of FHLB Advances | The FHLB advances are summarized below: Quarter ended Nine months ended (dollars in thousands) During the period: Weighted-average interest rate 0.27 % 0.27 % Average balance $ 170,902 $ 58,100 Total interest expense $ 117 $ 119 Maximum daily amount outstanding $ 188,834 $ 188,834 At period end: Balance $ 183,000 Weighted-average interest rate 0.27 % Fair value of assets securing FHLB advances: Mortgage-backed securities $ 8,961 Mortgage loans acquired for sale at fair value 68,937 Mortgage loans at fair value 140,025 $ 217,923 |
Notes Payable (Tables)
Notes Payable (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Text Block [Abstract] | |
Summary of Financial Information Relating to Note Payable | Following is a summary of financial information relating to the notes payable: Quarter ended Nine months ended (dollars in thousands) During the period: Weighted-average interest rate (1) 4.25 % 4.24 % Average balance $ 195,030 $ 85,907 Total interest expense $ 2,375 $ 3,369 Maximum daily amount outstanding $ 198,191 $ 198,191 At period end: Amount outstanding $ 192,332 Weighted-average interest rate 4.39 % Mortgage servicing rights pledged to secure notes payable $ 423,095 (1) Excludes the effect of amortization of commitment fees and issuance costs of $562,000 and $915,000 for the quarter and nine months ended September 30, 2015. |
Asset-Backed Secured Financin61
Asset-Backed Secured Financing of a Variable Interest Entity at Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Text Block [Abstract] | |
Summary of Financial Information Relating to Asset-Backed Secured Financing of a VIE | Following is a summary of financial information relating to the asset-backed secured financing of a VIE: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (dollars in thousands) During the period: Weighted-average fair value $ 170,262 $ 168,923 $ 165,024 $ 168,186 Interest expense $ 1,787 $ 1,584 $ 4,671 $ 4,762 Weighted-average effective interest rate 3.30 % 3.67 % 3.35 % 3.73 % At period end: Fair value $ 234,287 $ 166,841 Interest rate 3.50 % 3.50 % |
Exchangeable Senior Notes (Tabl
Exchangeable Senior Notes (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Text Block [Abstract] | |
Summary of Financial Information Relating to Exchangeable Notes | Following is financial information relating to the Exchangeable Notes: Quarter ended September 30, Nine months ended September 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) $ 3,605 $ 3,592 $ 10,803 $ 10,763 At period end: Amount outstanding $ 250,000 $ 250,000 Unamortized issuance costs (5,195 ) (6,156 ) $ 244,805 $ 243,844 (1) Total interest expense includes amortization of debt issuance costs of $245,000 and $726,000 during the quarter and nine months ended September 30, 2015, respectively, and $232,000 and $685,000 during the quarter and nine months ended September 2014, respectively. |
Borrowings under Forward Purc63
Borrowings under Forward Purchase Agreements (Tables) | 9 Months Ended |
Sep. 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 nine months ended September 30, 2015. Following is a summary of financial information relating to borrowings under forward purchase agreements: Quarter ended Nine months ended (dollars in thousands) During the period: Weighted-average effective interest rate — 2.84 % Weighted-average balance $ — $ 109,708 Interest expense $ — $ 2,364 Maximum daily amount outstanding $ — $ 226,847 At period end: Balance $ — Interest rate — Fair value of underlying loans and REO $ — |
Liability for Losses Under Re64
Liability for Losses Under Representations and Warranties (Tables) | 9 Months Ended |
Sep. 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 Nine months ended 2015 2014 2015 2014 (in thousands) Balance, beginning of period $ 16,714 $ 11,876 $ 14,242 $ 10,110 Provision for losses 1,833 1,359 4,177 3,125 Losses incurred (74 ) — (176 ) — Recoveries — — 230 — Balance, end of period $ 18,473 $ 13,235 $ 18,473 $ 13,235 Unpaid principal balance of mortgage loans subject to representations and warranties at period end $ 39,730,788 $ 32,129,635 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Company's Outstanding Contractual Loan Commitments | The following table summarizes the Company’s outstanding contractual loan commitments: September 30, 2015 (in thousands) Commitments to purchase mortgage loans: Mortgage loans acquired for sale at fair value $ 1,163,415 |
Net Interest Income (Tables)
Net Interest Income (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Banking and Thrift, Interest [Abstract] | |
Summary of Net Interest Income | Net interest income is summarized below: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Interest income: From nonaffiliates: Short-term investments $ 115 $ 138 $ 417 $ 462 Mortgage-backed securities 2,614 1,935 7,752 5,657 Mortgage loans acquired for sale at fair value 20,704 7,712 38,120 16,911 Mortgage loans at fair value 24,364 22,401 68,089 76,502 Mortgage loans at fair value held by VIE 5,598 5,457 15,440 16,368 Mortgage loans under forward purchase agreements — — — 3,584 Other 17 16 42 38 53,412 37,659 129,860 119,522 From PennyMac Financial Services, Inc: Excess servicing spread purchased from PFSI, at fair value 8,026 3,577 17,596 9,578 61,438 41,236 147,456 129,100 Interest expense: From nonaffiliates: Assets sold under agreements to repurchase 21,350 15,814 60,470 43,496 Federal Home Loan Bank advances 117 — 119 — Mortgage loans participation and sale agreement 226 — 699 — Credit risk transfer financing 5,799 — 6,912 — Notes payable 2,375 — 3,369 — Asset-backed secured financing of a variable interest entity at fair value 1,787 1,584 4,671 4,762 Exchangeable senior notes 3,605 3,592 10,803 10,763 Borrowings under forward purchase agreements — — — 2,363 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 849 581 3,313 1,281 Interest on mortgage loan impound deposits 363 449 1,067 995 36,471 22,020 91,423 63,660 From PennyMac Financial Services, Inc: Note payable to PennyMac Financial Services, Inc. 1,289 — 1,822 — 37,760 22,020 93,245 63,660 Net interest income $ 23,678 $ 19,216 $ 54,211 $ 65,440 |
Net Gain on Mortgage Loans Ac67
Net Gain on Mortgage Loans Acquired for Sale (Tables) | 9 Months Ended |
Sep. 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 September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Cash (loss) gain: Loans $ 4,579 $ (15,473 ) (54,183 ) $ (21,540 ) Hedging activities (33,268 ) (12,706 ) (27,082 ) (35,004 ) (28,689 ) (28,179 ) (81,265 ) (56,544 ) Non cash gain: Receipt of MSRs in loan sale transactions 52,814 39,614 112,450 89,230 Provision for losses relating to representations and warranties provided in loan sales (1,833 ) (1,359 ) (4,177 ) (3,125 ) Change in fair value of financial instruments issued and held at period end: IRLCs 9,073 (5,697 ) 3,146 4,140 Mortgage loans (17,097 ) (3,073 ) 1,181 5,000 Hedging derivatives (384 ) 8,203 3,884 (8,999 ) (8,408 ) (567 ) 8,211 141 $ 13,884 $ 9,509 $ 35,219 $ 29,702 |
Net Gain on Investments (Tables
Net Gain on Investments (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of Net Gain on Investments | Net gain on investments is summarized below: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Net gain (loss) on investments: From non-affiliates: Mortgage-backed securities $ 3,564 $ (821 ) $ (1,622 ) $ 6,096 Mortgage loans 31,909 81,296 79,163 194,808 Mortgage loans held in a VIE 7,421 (2,578 ) (2,856 ) 24,906 Net derivatives related to CRT Agreements 626 — 626 — Asset-backed secured financing (3,941 ) 696 (719 ) (7,258 ) Hedging derivatives (6,777 ) (807 ) (18,071 ) (14,609 ) 32,802 77,786 56,521 203,943 From PennyMac Financial Services, Inc: Excess servicing spread purchased from PFSI (7,844 ) (7,396 ) (5,502 ) (17,834 ) $ 24,958 $ 70,390 $ 51,019 $ 186,109 |
Net Loan Servicing Fees (Tables
Net Loan Servicing Fees (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Text Block [Abstract] | |
Summary of Net Loan Servicing Fees | Net loan servicing fees are summarized below: Quarter ended Nine months ended 2015 2014 2015 2014 (in thousands) Servicing fees (1) $ 25,500 $ 20,300 $ 74,016 $ 56,988 MSR recapture fee receivable from PFSI 670 — 670 9 Effect of MSRs: Carried at lower of amortized cost or fair value: Amortization (11,333 ) (8,109 ) (30,913 ) (23,170 ) (Provision for) reversal of impairment (7,845 ) 602 (7,142 ) (2,249 ) Gain on sale 4 — 87 — Carried at fair value—change in fair value (5,266 ) (1,606 ) (8,776 ) (8,398 ) Gains (losses) on hedging derivatives 19,061 (654 ) 13,868 3,532 (5,379 ) (9,767 ) (32,876 ) (30,285 ) Net loan servicing fees $ 20,791 $ 10,533 $ 41,810 $ 26,712 Average servicing portfolio $ 38,172,371 $ 30,701,324 $ 36,446,663 $ 28,597,033 (1) Includes contractually specified servicing and ancillary fees. |
Other Expenses (Tables)
Other Expenses (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Other Income and Expenses [Abstract] | |
Summary of Other Expenses | Other expenses are summarized below: Quarter ended Nine months ended 2015 2014 2015 2014 (in thousands) Common overhead allocation from PFSI (1) $ 2,550 $ 2,802 $ 7,487 $ 8,018 Servicing and collection costs 1,853 2,064 6,480 5,809 Loan origination 1,367 1,202 3,496 1,637 Insurance 309 247 984 738 Technology 307 246 910 720 Other 941 823 2,649 1,682 $ 7,327 $ 7,384 $ 22,006 $ 18,604 (1) For the quarter and nine months ended September 30, 2015, in accordance with the terms of the management agreement, PCM provided the Company discretionary waivers of $900,000 and $1.6 million, respectively, of overhead expenses that otherwise would have been allocable to the Company. |
Segments and Related Informat71
Segments and Related Information (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Segment Reporting [Abstract] | |
Financial Highlights by Operating Segment | Financial highlights by operating segment are summarized below: Quarter ended September 30, 2015 Correspondent Investment Intersegment elimination Total (in thousands) Net investment income: Interest income $ 13,748 $ 47,690 $ — $ 61,438 Interest expense (6,370 ) (31,390 ) — (37,760 ) 7,378 16,300 — 23,678 Net gain on mortgage loans acquired for sale 13,884 — — 13,884 Net gain on investments — 24,958 — 24,958 Net loan servicing fees — 20,791 20,791 Other income (loss) 9,154 (1,691 ) — 7,463 30,416 60,358 — 90,774 Expenses: Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc. 18,367 16,664 — 35,031 Other 1,876 8,760 — 10,636 20,243 25,424 — 45,667 Pre-tax income $ 10,173 $ 34,934 $ — $ 45,107 Total assets at period end $ 1,073,070 $ 4,519,161 $ — $ 5,592,231 Quarter ended September 30, 2014 Correspondent Investment Intersegment Total (in thousands) Net investment income: Interest income $ 7,727 $ 33,509 $ — $ 41,236 Interest expense (3,660 ) (18,360 ) — (22,020 ) 4,067 15,149 — 19,216 Net gain on mortgage loans acquired for sale 9,509 — — 9,509 Net gain on investments — 70,390 — 70,390 Net loan servicing fees — 10,533 10,533 Other income (loss) 6,524 (9,642 ) — (3,118 ) 20,100 86,430 — 106,530 Expenses: Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc. 15,900 21,545 — 37,445 Other 1,410 9,744 — 11,154 17,310 31,289 — 48,599 Pre-tax income $ 2,790 $ 55,141 $ — $ 57,931 Total assets at period end $ 708,442 $ 3,896,371 $ — $ 4,604,813 Nine months ended September 30, 2015 Correspondent Investment Intersegment Total (in thousands) Net investment income: Interest income $ 29,858 $ 117,598 $ — $ 147,456 Interest expense (14,953 ) (78,292 ) — (93,245 ) 14,905 39,306 — 54,211 Net gain on mortgage loans acquired for sale 35,219 — — 35,219 Net gain on investments — 51,019 — 51,019 Net loan servicing fees — 41,810 41,810 Other income (loss) 21,857 (5,920 ) — 15,937 71,981 126,215 — 198,196 Expenses: Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc. 47,313 51,505 — 98,818 Other 4,803 28,200 — 33,003 52,116 79,705 — 131,821 Pre-tax income $ 19,865 $ 46,510 $ — $ 66,375 Total assets at period end $ 1,073,070 $ 4,519,161 $ — $ 5,592,231 Nine months ended September 30, 2014 Correspondent Investment Intersegment Total (in thousands) Net investment income: Interest income $ 16,948 $ 114,540 $ (2,388 ) $ 129,100 Interest expense (12,196 ) (53,852 ) 2,388 (63,660 ) 4,752 60,688 — 65,440 Net gain on mortgage loans acquired for sale 29,702 — — 29,702 Net gain on investments — 186,109 — 186,109 Net loan servicing fees — 26,712 26,712 Other income (loss) 13,365 (17,647 ) — (4,282 ) 47,819 255,862 — 303,681 Expenses: Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc. 37,701 66,836 — 104,537 Other 2,248 29,372 — 31,620 39,949 96,208 — 136,157 Pre-tax income $ 7,870 $ 159,654 $ — $ 167,524 Total assets at period end $ 708,442 $ 3,896,371 $ — $ 4,604,813 |
Supplemental Cash Flow Inform72
Supplemental Cash Flow Information (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Supplemental Cash Flow Elements [Abstract] | |
Summary of Supplemental Cash Flow Information | Nine months ended September 30, 2015 2014 (in thousands) Cash paid for interest $ 85,876 $ 68,443 Income tax paid (refund) $ 700 $ (6,782 ) Non-cash investing activities: Transfer of mortgage loans and advances to real estate acquired in settlement of loans $ 240,483 $ 268,677 Purchase of mortgage loans financed through forward purchase agreements $ — $ 2,828 Transfer of mortgage loans under forward purchase agreements to mortgage loans at fair value $ — $ 205,902 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 $ 112,450 $ 89,230 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment $ 4,440 $ — Receipt of ESS pursuant to recapture agreement with PFSI $ 4,833 $ 6,093 Transfer of REO under forward purchase agreements to REO $ — $ 12,737 Non-cash financing activities: Purchase of mortgage loans financed through forward purchase agreements $ — $ 2,828 Transfer of mortgage loans at fair value financed through agreements to repurchase to REO financed under agreements to repurchase $ 58,923 $ 3,491 Dividends payable $ 35,019 $ 45,467 |
Organization and Basis of Pre73
Organization and Basis of Presentation - Additional Information (Detail) | 9 Months Ended |
Sep. 30, 2015Segment | |
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 | Sep. 30, 2015 | Dec. 31, 2014 | Sep. 30, 2014 |
ASSETS | |||
Other | $ 162,722 | $ 59,155 | |
Total assets | 5,592,231 | 4,897,258 | $ 4,604,813 |
LIABILITIES | |||
Assets sold under agreements to repurchase | 2,864,032 | 2,729,027 | 2,416,047 |
Mortgage loan participation and sale agreement | 61,078 | 20,222 | |
Exchangeable senior notes | 244,805 | 244,079 | $ 243,844 |
Total liabilities | 4,077,801 | 3,319,086 | |
Total liabilities and shareholders' equity | $ 5,592,231 | 4,897,258 | |
Accounting Standards Update ASU 2015-03 [Member] | |||
ASSETS | |||
Other | 59,155 | ||
Total assets | 4,897,258 | ||
LIABILITIES | |||
Assets sold under agreements to repurchase | 2,729,027 | ||
Mortgage loan participation and sale agreement | 20,222 | ||
Exchangeable senior notes | 244,079 | ||
Total liabilities | 3,319,086 | ||
Total liabilities and shareholders' equity | 4,897,258 | ||
As previously reported [Member] | Accounting Standards Update ASU 2015-03 [Member] | |||
ASSETS | |||
Other | 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] | Accounting Standards Update ASU 2015-03 [Member] | |||
ASSETS | |||
Other | (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 | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 | |
Investment portfolio purchases: | |||||
Investment portfolio purchases, Mortgage loans | $ 0 | $ 0 | $ 241,981 | $ 284,403 | |
Investment portfolio purchases, REO | 0 | 0 | 0 | 3,117 | |
Investment portfolio purchases, total | 0 | 0 | 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 | 0 | 0 | 26,737 | |
Investment portfolio purchases above through one or more subsidiaries of Citigroup, Inc. REO | 0 | 0 | 0 | 68 | |
Investment portfolio purchases above through one or more subsidiaries of Citigroup, Inc. total | 0 | $ 0 | 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 | 879,990 | $ 943,163 | |||
Investment portfolio purchases above through one or more subsidiaries of Citigroup, Inc. REO | 97,619 | 108,302 | |||
Investment portfolio purchases above through one or more subsidiaries of Citigroup, Inc. total | 977,609 | 1,051,465 | |||
Total holdings of mortgage loans and REO | $ 2,991,293 | $ 2,991,293 | $ 3,030,180 |
Concentration of Risks - Consol
Concentration of Risks - Consolidated Statements of Income and Cash Flows (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Statements of income: | ||||
Interest income | $ 61,438 | $ 41,236 | $ 147,456 | $ 129,100 |
Interest expense | 37,760 | 22,020 | 93,245 | 63,660 |
Net gain on investments | 24,958 | 70,390 | 51,019 | 186,109 |
Net loan servicing fees | 20,791 | 10,533 | 41,810 | 26,712 |
Results of REO | $ (4,221) | (11,926) | (11,859) | (23,900) |
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 | 0 | 3,584 | ||
Interest expense | 0 | 2,364 | ||
Net gain on investments | 0 | 803 | ||
Net loan servicing fees | 0 | 517 | ||
Results of REO | 0 | (473) | ||
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) |
Transactions with Related Par77
Transactions with Related Parties - Summary of Corresponding Production Activity (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 | |
Related Party Transaction [Line Items] | |||||
Fulfillment fees earned by PLS | $ 17,553 | $ 15,497 | $ 45,752 | $ 36,832 | |
Purchases of mortgage loans acquired for sale at fair value from PLS | 13,708 | 4,955 | |||
At period end: | |||||
Mortgage loans included in mortgage loans acquired for sale pending sale to PLS | 1,050,296 | 1,050,296 | $ 637,722 | ||
Penny Mac Loan Services LLC [Member] | |||||
Related Party Transaction [Line Items] | |||||
Fulfillment fees earned by PLS | 17,553 | 15,497 | 45,752 | 36,832 | |
Unpaid principal balance of loans fulfilled by PLS | 4,073,201 | 3,677,613 | 10,542,411 | 8,588,955 | |
Sourcing fees received from PLS | 3,236 | 1,384 | 7,084 | 3,401 | |
Unpaid principal balance of loans sold to PLS | 10,783,882 | 4,609,947 | 23,602,020 | 11,332,898 | |
Purchases of mortgage loans acquired for sale at fair value from PLS | 2,880 | 2,970 | 13,708 | 4,955 | |
Tax service fee to paid to PLS | 1,291 | 703 | 3,293 | 1,753 | |
At period end: | |||||
Mortgage loans included in mortgage loans acquired for sale pending sale to PLS | $ 373,812 | $ 59,719 | $ 373,812 | $ 59,719 |
Transactions with Related Par78
Transactions with Related Parties - Summary of Mortgage Loan Servicing Fees Earned (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Related Party Transaction [Line Items] | ||||
Loan servicing fees | $ 11,736 | $ 12,325 | $ 34,542 | $ 41,096 |
Average mortgage loan servicing portfolio | 38,172,371 | 30,701,324 | 36,446,663 | 28,597,033 |
Penny Mac Loan Services LLC [Member] | ||||
Related Party Transaction [Line Items] | ||||
Loan servicing fees | 11,736 | 12,325 | 34,542 | 41,096 |
Average mortgage loan servicing portfolio | 38,172,371 | 30,701,324 | 36,446,663 | 28,597,033 |
Penny Mac Loan Services LLC [Member] | Mortgage loans acquired for sale at fair value [Member] | ||||
Related Party Transaction [Line Items] | ||||
Loan servicing fees | 283 | 63 | 441 | 186 |
Average mortgage loan servicing portfolio | 1,783,011 | 732,287 | 1,189,754 | 530,861 |
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 | 130 | 28 | 198 | 74 |
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 | 153 | 35 | 243 | 112 |
Penny Mac Loan Services LLC [Member] | Distressed mortgage loans [Member] | ||||
Related Party Transaction [Line Items] | ||||
Loan servicing fees | 6,857 | 8,738 | 21,001 | 30,757 |
Average mortgage loan servicing portfolio | 2,201,533 | 2,122,397 | 2,268,538 | 2,171,724 |
Penny Mac Loan Services LLC [Member] | Distressed mortgage loans [Member] | Base [Member] | ||||
Related Party Transaction [Line Items] | ||||
Loan servicing fees | 3,896 | 4,662 | 12,053 | 14,549 |
Penny Mac Loan Services LLC [Member] | Distressed mortgage loans [Member] | Activity-based [Member] | ||||
Related Party Transaction [Line Items] | ||||
Loan servicing fees | 2,961 | 4,076 | 8,948 | 16,208 |
Penny Mac Loan Services LLC [Member] | Mortgage loans held in VIE [Member] | ||||
Related Party Transaction [Line Items] | ||||
Loan servicing fees | 34 | 17 | 92 | 71 |
Average mortgage loan servicing portfolio | 481,925 | 537,367 | 504,351 | 534,784 |
Penny Mac Loan Services LLC [Member] | Mortgage loans held in VIE [Member] | Base [Member] | ||||
Related Party Transaction [Line Items] | ||||
Loan servicing fees | 34 | 17 | 92 | 71 |
Penny Mac Loan Services LLC [Member] | Mortgage loans held in VIE [Member] | Activity-based [Member] | ||||
Related Party Transaction [Line Items] | ||||
Loan servicing fees | 0 | 0 | 0 | 0 |
Penny Mac Loan Services LLC [Member] | Mortgage servicing rights [Member] | ||||
Related Party Transaction [Line Items] | ||||
Loan servicing fees | 4,562 | 3,507 | 13,008 | 10,082 |
Penny Mac Loan Services LLC [Member] | Mortgage servicing rights [Member] | Base [Member] | ||||
Related Party Transaction [Line Items] | ||||
Loan servicing fees | 4,473 | 3,459 | 12,783 | 9,930 |
Penny Mac Loan Services LLC [Member] | Mortgage servicing rights [Member] | Activity-based [Member] | ||||
Related Party Transaction [Line Items] | ||||
Loan servicing fees | $ 89 | $ 48 | $ 225 | $ 152 |
Transactions with Related Par79
Transactions with Related Parties - Summary of Investing and Financing Activities (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
ESS: | ||||
Purchases | $ 271,452 | $ 82,646 | ||
Repayments | 55,800 | 25,280 | ||
MSR recapture income recognized | $ 670 | $ 0 | 670 | 9 |
PennyMac Financial Services, Inc. [Member] | ||||
ESS: | ||||
Purchases | 84,165 | 9,253 | 271,452 | 82,646 |
Recapture income recognized | 2,428 | 2,143 | 5,173 | 6,558 |
Repayments | 24,717 | 8,786 | 55,800 | 25,280 |
Interest income | 8,026 | 3,577 | 17,596 | 9,578 |
Net gain (loss) | (10,272) | (9,539) | (10,675) | (24,392) |
MSR recapture income recognized | 670 | 0 | 670 | 9 |
Note payable: | ||||
Advances | 97,474 | 0 | 168,546 | 0 |
Repayments | 0 | 0 | 18,546 | 0 |
Interest expense | $ 1,289 | $ 0 | $ 1,822 | $ 0 |
Transactions with Related Par80
Transactions with Related Parties - Note Payable - Additional Information (Detail) - USD ($) | 9 Months Ended | |
Sep. 30, 2015 | Apr. 30, 2015 | |
Loan Agreement [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Maximum borrowing capacity of loan amount | $ 150,000,000 | |
Additional fee payable, description | PMH and PLS have agreed that PMH is required to repay PLS the principal amount of such borrowings plus accrued interest to the date of such repayment, and PLS is required to repay its lender the corresponding amount under the lending facility. Interest accrues under the underlying loan and security agreement at a rate based on the nonaffiliate lender’s cost of funds. PMH was also required to pay PLS a fee for the structuring of the underlying loan and security agreement in an amount equal to the portion of the corresponding fee paid by PLS to the nonaffiliate lender under the lending facility and allocable to the $150 million relating to the ESS financing. | |
PennyMac Holdings, LLC [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Maximum borrowing capacity of loan amount | 150,000,000 | |
Penny Mac Loan Services LLC [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Maximum borrowing capacity of loan amount | $ 407,000,000 |
Transactions with Related Par81
Transactions with Related Parties - Other Transactions - Additional Information (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 | Aug. 04, 2009 | |
Related Party Transaction [Line Items] | ||||||
Amounts due from PCM | $ 9,050,000 | $ 9,050,000 | $ 6,621,000 | |||
PNMAC Capital Management LLC [Member] | ||||||
Related Party Transaction [Line Items] | ||||||
Payments of contingent underwriting fee to manager | 7,000 | $ 256,000 | 237,000 | $ 292,000 | ||
Amounts due from PCM | 9,100,000 | 9,100,000 | 6,600,000 | |||
PNMAC Capital Management LLC [Member] | Maximum [Member] | ||||||
Related Party Transaction [Line Items] | ||||||
Conditional reimbursement | $ 2,900,000 | |||||
IPO underwriters [Member] | ||||||
Related Party Transaction [Line Items] | ||||||
Payments of contingent underwriting fees to underwriters | 14,000 | $ 615,000 | 473,000 | $ 1,000,000 | ||
Contingent underwriting fees | $ 459,000 | $ 459,000 | $ 1,700,000 | |||
IPO underwriters [Member] | Maximum [Member] | ||||||
Related Party Transaction [Line Items] | ||||||
Reimbursement amount | $ 5,900,000 | |||||
PennyMac Financial Services, Inc. [Member] | ||||||
Related Party Transaction [Line Items] | ||||||
Number of common shares held by affiliate | 75,000 | 75,000 | 75,000 |
Transactions with Related Par82
Transactions with Related Parties - Summary of Base Management and Performance Incentive Fees Payable (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Related Party Transaction [Line Items] | ||||
Total management fee incurred during the period | $ 5,742 | $ 9,623 | $ 18,524 | $ 26,609 |
PNMAC Capital Management LLC [Member] | ||||
Related Party Transaction [Line Items] | ||||
Total management fee incurred during the period | 5,742 | 9,623 | 18,524 | 26,609 |
PNMAC Capital Management LLC [Member] | Base [Member] | ||||
Related Party Transaction [Line Items] | ||||
Total management fee incurred during the period | 5,742 | 6,033 | 17,181 | 17,392 |
PNMAC Capital Management LLC [Member] | Performance incentive [Member] | ||||
Related Party Transaction [Line Items] | ||||
Total management fee incurred during the period | $ 0 | $ 3,590 | $ 1,343 | $ 9,217 |
Transactions with Related Par83
Transactions with Related Parties - Summary of Expenses (Detail) - PNMAC Capital Management LLC [Member] - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Related Party Transaction [Line Items] | ||||
Common overhead incurred by PCM and its affiliates | $ 2,694 | $ 2,912 | $ 8,125 | $ 8,181 |
Reimbursement of expenses incurred on the Company's behalf | (85) | 122 | 377 | 671 |
Total expenses incurred in transaction with affiliates | 2,609 | 3,034 | 8,502 | 8,852 |
Payments and settlements during the period | $ 17,709 | $ 31,621 | $ 64,575 | $ 72,975 |
Transactions with Related Par84
Transactions with Related Parties - Summary of Expenses (Parenthetical) (Detail) - USD ($) | 3 Months Ended | 9 Months Ended |
Sep. 30, 2015 | Sep. 30, 2015 | |
PNMAC Capital Management LLC [Member] | ||
Related Party Transaction [Line Items] | ||
Waiver of overhead expenses | $ 900,000 | $ 1,600,000 |
Transactions with Related Par85
Transactions with Related Parties - Summary of Amounts Due to Affiliates (Detail) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Related Party Transaction [Line Items] | ||
Total expense due to affiliate | $ 17,220 | $ 23,943 |
PennyMac Financial Services, Inc. [Member] | ||
Related Party Transaction [Line Items] | ||
Management fees | 5,742 | 8,426 |
Allocated expenses | 5,237 | 6,582 |
Fulfillment fees | 3,031 | 506 |
Servicing fees | 2,310 | 3,457 |
Conditional reimbursement | 900 | 1,136 |
Unsettled purchases of ESS | 0 | 3,836 |
Total expense due to affiliate | $ 17,220 | $ 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 | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Basic earnings per share: | ||||
Net income | $ 38,812 | $ 54,949 | $ 74,391 | $ 168,033 |
Effect of participating securities-share-based compensation awards | (361) | (305) | (1,352) | (1,360) |
Net income attributable to common shareholders | 38,451 | 54,644 | 73,039 | 166,673 |
Diluted earnings per share: | ||||
Net income attributable to common shareholders | 38,451 | 54,949 | 73,039 | 168,033 |
Interest on Exchangeable Notes, net of income taxes | 2,123 | 2,081 | 6,364 | 6,237 |
Net income attributable to diluted shareholders | $ 40,574 | $ 57,030 | $ 79,403 | $ 174,270 |
Weighted-average basic shares outstanding | 74,681 | 74,140 | 74,675 | 73,254 |
Potentially dilutive securities: | ||||
Shares issuable pursuant to exchange of the Exchangeable Notes | 8,414 | 8,401 | 8,414 | 8,401 |
Shares issuable under share-based compensation plan | 316 | 291 | 397 | 323 |
Diluted weighted-average number of shares outstanding | 83,411 | 82,832 | 83,486 | 81,978 |
Basic earnings per share | $ 0.51 | $ 0.74 | $ 0.98 | $ 2.28 |
Diluted earnings per share | $ 0.49 | $ 0.69 | $ 0.95 | $ 2.13 |
Loan Sales and Variable Inter87
Loan Sales and Variable Interest Entities - Summary of Cash Flows between Company and Transferees in Transfers Accounted for Sales (Detail) - Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member] - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Cash flows: | ||||
Proceeds from sales | $ 4,885,668 | $ 3,745,193 | $ 10,593,309 | $ 8,534,637 |
Servicing fees received | 25,054 | 17,797 | 69,876 | 52,704 |
Period end information: | ||||
Unpaid principal balance of mortgage loans outstanding | 39,786,376 | 32,134,609 | 39,786,376 | 32,134,609 |
Delinquent mortgage loans: | ||||
30-89 days delinquent | 154,346 | 87,374 | 154,346 | 87,374 |
90 or more days delinquent | ||||
Not in foreclosure or bankruptcy | 25,243 | 20,708 | 25,243 | 20,708 |
In foreclosure or bankruptcy | 30,406 | 11,583 | 30,406 | 11,583 |
Unpaid principal balance of loans outstanding at period-end | 55,649 | 32,291 | 55,649 | 32,291 |
Unpaid principal balance of delinquent mortgage loans | $ 209,995 | $ 119,665 | $ 209,995 | $ 119,665 |
Loan Sales and Variable Inter88
Loan Sales and Variable Interest Entities - Summary of Credit Risk Transfer Agreements (Detail) - Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member] - Credit Risk Transfer Agreement [Member] $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2015USD ($) | Sep. 30, 2015USD ($) | |
During the period: | ||
UPB of mortgage loans transferred and sold under CRT Agreements | $ 1,660,280 | $ 2,400,433 |
Restricted cash deposited to fund guarantees | 59,841 | 87,891 |
Gains recognized on net derivatives related to CRT Agreements | ||
Realized | 0 | 0 |
Resulting from valuation changes | 626 | 626 |
Gains (losses) recognized on net derivative related to credit risk transactions | 626 | 626 |
Payments made to settle losses | 0 | 0 |
At period end: | ||
UPB of mortgage loans subject to guarantee obligation | 2,400,433 | 2,400,433 |
Delinquency | ||
Current-89 days delinquent | 2,400,433 | 2,400,433 |
90-or more days delinquent | 0 | 0 |
UPB of mortgage loans subject to guarantee obligation | 2,400,433 | 2,400,433 |
Carrying value of CRT Agreements: | ||
Carrying value of CRT Agreements | 88,517 | 88,517 |
Other Assets [Member] | ||
Carrying value of CRT Agreements: | ||
Restricted cash included in Other assets | 87,891 | 87,891 |
Derivative Assets [Member] | ||
Carrying value of CRT Agreements: | ||
Net derivative assets included in Derivative assets | $ 626 | $ 626 |
Loan Sales and Variable Inter89
Loan Sales and Variable Interest Entities - Additional Information (Detail) - Jumbo Mortgage Loan Financing [Member] - Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member] - USD ($) | 3 Months Ended | 9 Months Ended | |
Sep. 30, 2015 | Sep. 30, 2015 | Sep. 30, 2013 | |
Variable Interest Entity [Line Items] | |||
Certificates issued | $ 85,200,000 | $ 537,000,000 | |
Weighted yield | 3.90% | ||
Certificates retained | $ 238,800,000 | $ 238,800,000 | $ 366,800,000 |
Netting of Financial Instrume90
Netting of Financial Instruments - Summary of Offsetting of Derivative Assets (Detail) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Derivative [Line Items] | ||
Gross amounts of recognized assets | $ 36,698 | $ 13,391 |
Gross amounts offset in the consolidated balance sheet | (19,892) | (2,284) |
Net amounts of assets presented in the consolidated balance sheet | 16,806 | 11,107 |
Net derivatives related to CRT Agreements [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 626 | 0 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 626 | 0 |
MBS put options [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 0 | 374 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 0 | 374 |
MBS call options [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 0 | 0 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 0 | 0 |
Forward purchase contracts [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 22,985 | 3,775 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 22,985 | 3,775 |
Forward sales contracts [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 15 | 52 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 15 | 52 |
Interest rate lock commitments [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 9,109 | 5,678 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 9,109 | 5,678 |
Put options on interest rate futures [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 693 | 193 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 693 | 193 |
Call options on interest rate futures [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 3,270 | 3,319 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 3,270 | 3,319 |
Treasury future contracts [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 0 | 0 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 0 | 0 |
Netting [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 0 | 0 |
Gross amounts offset in the consolidated balance sheet | (19,892) | (2,284) |
Net amounts of assets presented in the consolidated balance sheet | (19,892) | (2,284) |
Derivatives subject to master netting arrangements [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 26,963 | 7,713 |
Gross amounts offset in the consolidated balance sheet | (19,892) | (2,284) |
Net amounts of assets presented in the consolidated balance sheet | 7,071 | 5,429 |
Derivatives not subject to master netting arrangements [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 36,698 | 13,391 |
Gross amounts offset in the consolidated balance sheet | (19,892) | (2,284) |
Net amounts of assets presented in the consolidated balance sheet | $ 16,806 | $ 11,107 |
Netting of Financial Instrume91
Netting of Financial Instruments - Summary of Derivative Assets and Collateral Held by Counterparty (Detail) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | $ 16,806 | $ 11,107 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 16,806 | 11,107 |
Interest rate lock commitments [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 9,109 | 5,678 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 9,109 | 5,678 |
RJ O'Brien & Associates, LLC [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 3,112 | 3,034 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 3,112 | 3,034 |
Nomura Securities International, Inc [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 733 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 733 | 0 |
Fannie Mae Capital Markets [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 730 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 730 | 0 |
Jefferies Group, LLC [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 598 | 133 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 598 | 133 |
Deutsche Bank [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 572 | 124 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 572 | 124 |
Morgan Stanley Bank, N.A. [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 531 | 104 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 531 | 104 |
Bank of New York Mellon [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 403 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 403 | 0 |
JPMorgan Chase & Co. [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 313 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 313 | 0 |
Credit Suisse First Boston Mortgage Capital LLC [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 188 | 253 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 188 | 253 |
Goldman Sachs [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 186 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 186 | 0 |
Royal Bank of Canada [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 173 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 173 | 0 |
Daiwa Capital Markets [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 100 | 29 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 100 | 29 |
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 |
Other [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 58 | 1,014 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | $ 58 | $ 1,014 |
Netting of Financial Instrume92
Netting of Financial Instruments - Schedule of Offsetting of Derivative Liabilities and Financial Liabilities (Detail) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Derivative [Line Items] | ||
Gross amounts of recognized liabilities in the consolidated balance sheet | $ 2,886,134 | $ 2,736,205 |
Gross amounts offset in the consolidated balance sheet | (19,316) | (4,748) |
Net amounts of liabilities presented in the consolidated balance sheet | 2,866,818 | 2,731,457 |
Forward purchase contracts [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities in the consolidated balance sheet | 6 | 34 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 6 | 34 |
Forward sales contracts [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities in the consolidated balance sheet | 21,794 | 6,649 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 21,794 | 6,649 |
Interest rate lock commitments [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities in the consolidated balance sheet | 302 | 17 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 302 | 17 |
Treasury future contracts [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities in the consolidated balance sheet | 0 | 478 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 0 | 478 |
Netting [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities in the consolidated balance sheet | 0 | 0 |
Gross amounts offset in the consolidated balance sheet | (19,316) | (4,748) |
Net amounts of liabilities presented in the consolidated balance sheet | (19,316) | (4,748) |
Derivatives subject to master netting arrangements [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities in the consolidated balance sheet | 21,800 | 7,161 |
Gross amounts offset in the consolidated balance sheet | (19,316) | (4,748) |
Net amounts of liabilities presented in the consolidated balance sheet | 2,484 | 2,413 |
Derivatives not subject to master netting arrangements [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities in the consolidated balance sheet | 22,102 | 7,178 |
Gross amounts offset in the consolidated balance sheet | (19,316) | (4,748) |
Net amounts of liabilities presented in the consolidated balance sheet | 2,786 | 2,430 |
Security sold under agreements to repurchase amount outstanding [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities in the consolidated balance sheet | 2,865,722 | 2,730,130 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 2,865,722 | 2,730,130 |
Security sold under agreements to repurchase [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities in the consolidated balance sheet | 2,864,032 | 2,729,027 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 2,864,032 | 2,729,027 |
Unamortized commitment fees and issuance costs [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities in the consolidated balance sheet | (1,690) | (1,103) |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | $ (1,690) | $ (1,103) |
Netting of Financial Instrume93
Netting of Financial Instruments - Summary of Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty (Detail) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Derivative [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | $ 2,866,818 | $ 2,731,457 |
Gross amounts, Financial instruments | (2,864,032) | (2,729,027) |
Gross amounts, Cash collateral pledged | 0 | 0 |
Net amount | 2,786 | 2,430 |
Interest rate lock commitments [Member] | ||
Derivative [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 302 | 17 |
Gross amounts, Financial instruments | 0 | 0 |
Gross amounts, Cash collateral pledged | 0 | 0 |
Net amount | 302 | 17 |
Morgan Stanley Bank, N.A. [Member] | ||
Derivative [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 163,104 | 121,975 |
Gross amounts, Financial instruments | (163,104) | (121,975) |
Gross amounts, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Credit Suisse First Boston Mortgage Capital LLC [Member] | ||
Derivative [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 861,527 | 966,155 |
Gross amounts, Financial instruments | (861,527) | (966,155) |
Gross amounts, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Citibank, N.A. [Member] | ||
Derivative [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 843,743 | 797,851 |
Gross amounts, Financial instruments | (843,743) | (797,663) |
Gross amounts, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 188 |
JPMorgan Chase & Co. [Member] | ||
Derivative [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 446,348 | 0 |
Gross amounts, Financial instruments | (446,348) | 0 |
Gross amounts, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Bank of America, N.A. [Member] | ||
Derivative [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 403,193 | 508,908 |
Gross amounts, Financial instruments | (402,917) | (508,908) |
Gross amounts, Cash collateral pledged | 0 | 0 |
Net amount | 276 | 0 |
Daiwa Capital Markets [Member] | ||
Derivative [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 148,083 | 126,909 |
Gross amounts, Financial instruments | (148,083) | (126,909) |
Gross amounts, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
RBS Securities [Member] | ||
Derivative [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 0 | 208,520 |
Gross amounts, Financial instruments | 0 | (208,520) |
Gross amounts, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Other [Member] | ||
Derivative [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 2,208 | 2,225 |
Gross amounts, Financial instruments | 0 | 0 |
Gross amounts, Cash collateral pledged | 0 | 0 |
Net amount | 2,208 | 2,225 |
Unamortized commitment fees and issuance costs [Member] | ||
Derivative [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | (1,690) | (1,103) |
Gross amounts, Financial instruments | 1,690 | 1,103 |
Gross amounts, Cash collateral pledged | 0 | 0 |
Net amount | $ 0 | $ 0 |
Fair Value - Additional Informa
Fair Value - Additional Information (Detail) - USD ($) $ in Millions | 9 Months Ended | |
Sep. 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 | $ 225 | $ 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 | Sep. 30, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 |
Assets: | ||||||
Short-term investments | $ 31,518 | $ 139,900 | ||||
Mortgage-backed securities at fair value | 315,599 | 307,363 | ||||
Mortgage loans acquired for sale at fair value | 1,050,296 | 637,722 | ||||
Derivative assets: | ||||||
Total derivative assets before netting | 36,698 | 13,391 | ||||
Derivative assets, Netting | (19,892) | (2,284) | ||||
Derivative assets | 16,806 | 11,107 | ||||
Mortgage servicing rights at fair value | 57,751 | $ 57,343 | 57,358 | $ 57,871 | $ 46,802 | $ 26,452 |
Liabilities: | ||||||
Asset-backed secured financing of a variable interest entity at fair value | 234,287 | 165,920 | ||||
Derivative liabilities: | ||||||
Total derivative liabilities before netting | 22,102 | 7,178 | ||||
Derivative liabilities, Netting | (19,316) | (4,748) | ||||
Derivative liabilities | 2,786 | 2,430 | ||||
Net derivatives related to CRT Agreements [Member] | ||||||
Derivative assets: | ||||||
Total derivative assets before netting | 626 | 0 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Derivative assets | 626 | 0 | ||||
Derivative liabilities: | ||||||
Total derivative liabilities before netting | 0 | 0 | ||||
Interest rate lock commitments [Member] | ||||||
Derivative assets: | ||||||
Total derivative assets before netting | 9,109 | 5,678 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Derivative assets | 9,109 | 5,678 | ||||
MBS put options [Member] | ||||||
Derivative assets: | ||||||
Total derivative assets before netting | 0 | 374 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Derivative assets | 0 | 374 | ||||
Forward purchase contracts [Member] | ||||||
Derivative assets: | ||||||
Total derivative assets before netting | 22,985 | 3,775 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Derivative assets | 22,985 | 3,775 | ||||
Forward sales contracts [Member] | ||||||
Derivative assets: | ||||||
Total derivative assets before netting | 15 | 52 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Derivative assets | 15 | 52 | ||||
MBS call options [Member] | ||||||
Derivative assets: | ||||||
Total derivative assets before netting | 0 | 0 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Derivative assets | 0 | 0 | ||||
Recurring [Member] | ||||||
Assets: | ||||||
Short-term investments | 31,518 | 139,900 | ||||
Mortgage-backed securities at fair value | 315,599 | 307,363 | ||||
Mortgage loans acquired for sale at fair value | 1,050,296 | 637,722 | ||||
Mortgage loans at fair value | 2,637,730 | 2,726,952 | ||||
Excess servicing spread purchased from PFSI | 418,573 | 191,166 | ||||
Derivative assets: | ||||||
Total derivative assets before netting | 36,698 | 13,391 | ||||
Derivative assets, Netting | (19,892) | (2,284) | ||||
Derivative assets | 16,806 | 11,107 | ||||
Mortgage servicing rights at fair value | 57,751 | 57,358 | ||||
Total Assets | 4,528,273 | 4,071,568 | ||||
Liabilities: | ||||||
Asset-backed secured financing of a variable interest entity at fair value | 234,287 | 165,920 | ||||
Derivative liabilities: | ||||||
Total derivative liabilities before netting | 22,102 | 7,178 | ||||
Derivative liabilities, Netting | (19,316) | (4,748) | ||||
Derivative liabilities | 2,786 | 2,430 | ||||
Total liabilities | 237,073 | 168,350 | ||||
Recurring [Member] | Net derivatives related to CRT Agreements [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 626 | |||||
Recurring [Member] | Interest rate lock commitments [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 9,109 | 5,678 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 302 | 17 | ||||
Recurring [Member] | MBS put options [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 374 | |||||
Recurring [Member] | Forward purchase contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 22,985 | 3,775 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 6 | 34 | ||||
Recurring [Member] | Forward sales contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 15 | 52 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 21,794 | 6,649 | ||||
Recurring [Member] | MBS call options [Member] | ||||||
Derivative liabilities: | ||||||
Derivative liabilities | 478 | |||||
Recurring [Member] | Put options on interest rate futures [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 693 | 193 | ||||
Recurring [Member] | Call options on interest rate futures [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 3,270 | 3,319 | ||||
Recurring [Member] | Level 1 [Member] | ||||||
Assets: | ||||||
Short-term investments | 31,518 | 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 | 3,963 | 3,512 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Derivative assets | 3,963 | 3,512 | ||||
Mortgage servicing rights at fair value | 0 | 0 | ||||
Total Assets | 35,481 | 143,412 | ||||
Liabilities: | ||||||
Asset-backed secured financing of a variable interest entity at fair value | 0 | 0 | ||||
Derivative liabilities: | ||||||
Total derivative liabilities before netting | 0 | 478 | ||||
Derivative liabilities, Netting | 0 | 0 | ||||
Derivative liabilities | 0 | 478 | ||||
Total liabilities | 0 | 478 | ||||
Recurring [Member] | Level 1 [Member] | Net derivatives related to CRT Agreements [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | |||||
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 | |||||
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 liabilities: | ||||||
Derivative liabilities | 478 | |||||
Recurring [Member] | Level 1 [Member] | Put options on interest rate futures [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 693 | 193 | ||||
Recurring [Member] | Level 1 [Member] | Call options on interest rate futures [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 3,270 | 3,319 | ||||
Recurring [Member] | Level 2 [Member] | ||||||
Assets: | ||||||
Short-term investments | 0 | 0 | ||||
Mortgage-backed securities at fair value | 315,599 | 307,363 | ||||
Mortgage loans acquired for sale at fair value | 1,050,296 | 637,722 | ||||
Mortgage loans at fair value | 477,271 | 527,369 | ||||
Excess servicing spread purchased from PFSI | 0 | 0 | ||||
Derivative assets: | ||||||
Total derivative assets before netting | 23,000 | 4,201 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Derivative assets | 23,000 | 4,201 | ||||
Mortgage servicing rights at fair value | 0 | 0 | ||||
Total Assets | 1,866,166 | 1,476,655 | ||||
Liabilities: | ||||||
Asset-backed secured financing of a variable interest entity at fair value | 234,287 | 165,920 | ||||
Derivative liabilities: | ||||||
Total derivative liabilities before netting | 21,800 | 6,683 | ||||
Derivative liabilities, Netting | 0 | 0 | ||||
Derivative liabilities | 21,800 | 6,683 | ||||
Total liabilities | 256,087 | 172,603 | ||||
Recurring [Member] | Level 2 [Member] | Net derivatives related to CRT Agreements [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | |||||
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 | 374 | |||||
Recurring [Member] | Level 2 [Member] | Forward purchase contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 22,985 | 3,775 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 6 | 34 | ||||
Recurring [Member] | Level 2 [Member] | Forward sales contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 15 | 52 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 21,794 | 6,649 | ||||
Recurring [Member] | Level 2 [Member] | MBS call options [Member] | ||||||
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 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 | 2,160,459 | 2,199,583 | ||||
Excess servicing spread purchased from PFSI | 418,573 | 191,166 | ||||
Derivative assets: | ||||||
Total derivative assets before netting | 9,735 | 5,678 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Derivative assets | 9,735 | 5,678 | ||||
Mortgage servicing rights at fair value | 57,751 | 57,358 | ||||
Total Assets | 2,646,518 | 2,453,785 | ||||
Liabilities: | ||||||
Asset-backed secured financing of a variable interest entity at fair value | 0 | 0 | ||||
Derivative liabilities: | ||||||
Total derivative liabilities before netting | 302 | 17 | ||||
Derivative liabilities, Netting | 0 | 0 | ||||
Derivative liabilities | 302 | 17 | ||||
Total liabilities | 302 | 17 | ||||
Recurring [Member] | Level 3 [Member] | Net derivatives related to CRT Agreements [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 626 | |||||
Recurring [Member] | Level 3 [Member] | Interest rate lock commitments [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 9,109 | 5,678 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 302 | 17 | ||||
Recurring [Member] | Level 3 [Member] | MBS put options [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 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 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 |
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 | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Assets: | ||||
Servicing received as proceeds from sales of mortgage loans | $ 5,674 | $ 12,812 | $ 9,169 | $ 39,954 |
Recurring [Member] | ||||
Assets: | ||||
Beginning balance | 2,663,122 | 2,404,634 | 2,453,768 | 2,461,217 |
Purchases | 84,165 | 9,253 | 513,433 | 367,049 |
Repayments and sales | (81,739) | (135,336) | (226,893) | (545,673) |
Capitalization of interest | 22,875 | 14,028 | 52,575 | 50,383 |
ESS received pursuant to a recapture agreement with PFSI | 2,268 | 2,619 | 4,833 | 6,093 |
Interest rate lock commitments issued, net | 11,834 | 14,046 | 42,917 | 45,800 |
Servicing received as proceeds from sales of mortgage loans | 5,674 | 12,812 | 9,169 | 39,954 |
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 9,255 | 13,850 | 29,563 | 56,881 |
Other factors | 24,185 | 57,144 | 23,819 | 117,974 |
Total | 33,440 | 70,994 | 53,382 | 174,855 |
Transfers of mortgage loans under forward purchase agreements to mortgage loans | 0 | |||
Transfers of mortgage loans to REO | (76,205) | (90,733) | (224,138) | (253,649) |
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements | (9,802) | |||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | (19,218) | (20,585) | (32,830) | (54,495) |
Ending balance | 2,646,216 | 2,281,732 | 2,646,216 | 2,281,732 |
Changes in fair value recognized during the period relating to assets | 26,867 | 64,959 | 70,868 | 99,374 |
Net derivatives related to CRT Agreements [Member] | Recurring [Member] | ||||
Assets: | ||||
Beginning balance | 0 | 0 | ||
Purchases | 0 | 0 | ||
Repayments and sales | 0 | 0 | ||
Capitalization 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 | |||
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 0 | 0 | ||
Other factors | 626 | 626 | ||
Total | 626 | 626 | ||
Transfers of mortgage loans to REO | 0 | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | ||
Ending balance | 626 | 626 | ||
Changes in fair value recognized during the period relating to assets | 626 | 626 | ||
Interest rate lock commitments [Member] | Recurring [Member] | ||||
Assets: | ||||
Beginning balance | (267) | 11,087 | 5,661 | 1,249 |
Purchases | 0 | 0 | 0 | 0 |
Repayments and sales | 0 | 0 | 0 | 0 |
Capitalization 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 | 11,834 | 14,046 | 42,917 | 45,800 |
Servicing received as proceeds from sales of mortgage loans | 0 | 0 | 0 | |
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 0 | 0 | 0 | 0 |
Other factors | 16,458 | 843 | (6,941) | 12,837 |
Total | 16,458 | 843 | (6,941) | 12,837 |
Transfers of mortgage loans under forward purchase agreements to mortgage loans | 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 | |||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | (19,218) | (20,585) | (32,830) | (54,495) |
Ending balance | 8,807 | 5,391 | 8,807 | 5,391 |
Changes in fair value recognized during the period relating to assets | 8,807 | 5,391 | 8,807 | 5,391 |
Mortgage loans at fair value [Member] | Recurring [Member] | ||||
Assets: | ||||
Beginning balance | 2,246,944 | 2,156,501 | 2,199,583 | 2,076,665 |
Purchases | 0 | 0 | 241,981 | 283,017 |
Repayments and sales | (57,022) | (126,413) | (171,093) | (513,843) |
Capitalization of interest | 14,849 | 10,451 | 34,979 | 39,005 |
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 | |
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 9,255 | 13,850 | 29,563 | 54,612 |
Other factors | 22,638 | 67,446 | 49,584 | 139,393 |
Total | 31,893 | 81,296 | 79,147 | 194,005 |
Transfers of mortgage loans under forward purchase agreements to mortgage loans | 205,902 | |||
Transfers of mortgage loans to REO | (76,205) | (90,733) | (224,138) | (253,649) |
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements | 0 | |||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Ending balance | 2,160,459 | 2,031,102 | 2,160,459 | 2,031,102 |
Changes in fair value recognized during the period relating to assets | 32,971 | 70,713 | 80,885 | 126,773 |
Excess servicing spread [Member] | Recurring [Member] | ||||
Assets: | ||||
Beginning balance | 359,102 | 190,244 | 191,166 | 138,723 |
Purchases | 84,165 | 9,253 | 271,452 | 82,646 |
Repayments and sales | (24,717) | (8,786) | (55,800) | (25,280) |
Capitalization of interest | 8,026 | 3,577 | 17,596 | 9,578 |
ESS received pursuant to a recapture agreement with PFSI | 2,268 | 2,619 | 4,833 | 6,093 |
Interest rate lock commitments issued, net | 0 | 0 | 0 | 0 |
Servicing received as proceeds from sales of mortgage loans | 0 | 0 | 0 | |
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 0 | 0 | 0 | 0 |
Other factors | (10,271) | (9,539) | (10,674) | (24,392) |
Total | (10,271) | (9,539) | (10,674) | (24,392) |
Transfers of mortgage loans under forward purchase agreements to mortgage loans | 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 | |||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Ending balance | 418,573 | 187,368 | 418,573 | 187,368 |
Changes in fair value recognized during the period relating to assets | (10,271) | (9,539) | (10,674) | (24,392) |
Mortgage servicing rights [Member] | Recurring [Member] | ||||
Assets: | ||||
Beginning balance | 57,343 | 46,802 | 57,358 | 26,452 |
Purchases | 0 | 0 | 0 | 0 |
Repayments and sales | 0 | (137) | 0 | (137) |
Capitalization 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 | 5,674 | 12,812 | 9,169 | 39,954 |
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 0 | 0 | 0 | |
Other factors | (5,266) | (1,606) | (8,776) | (8,398) |
Total | (5,266) | (1,606) | (8,776) | (8,398) |
Transfers of mortgage loans under forward purchase agreements to mortgage loans | 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 | |||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Ending balance | 57,751 | 57,871 | 57,751 | 57,871 |
Changes in fair value recognized during the period relating to assets | $ (5,266) | (1,606) | $ (8,776) | (8,398) |
Mortgage loans under forward purchase agreements [Member] | Recurring [Member] | ||||
Assets: | ||||
Beginning balance | 218,128 | |||
Purchases | 1,386 | |||
Repayments and sales | (6,413) | |||
Capitalization of interest | 1,800 | |||
ESS received pursuant to a recapture agreement with PFSI | 0 | |||
Interest rate lock commitments issued, net | 0 | |||
Servicing received as proceeds from sales of mortgage loans | 0 | |||
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 2,269 | |||
Other factors | (1,466) | |||
Total | 803 | |||
Transfers of mortgage loans under forward purchase agreements to mortgage loans | (205,902) | |||
Transfers of mortgage loans to REO | 0 | |||
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements | (9,802) | |||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | |||
Ending balance | $ 0 | 0 | ||
Changes in fair value recognized during the period relating to assets | $ 0 |
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 | Sep. 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 | $ 2,637,730 | $ 3,364,674 |
Mortgage loans at fair value | 2,637,730 | 2,726,952 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Unpaid principal balance of loans outstanding at period-end | 3,409,507 | 4,310,097 |
Unpaid principal balance | 3,409,507 | 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 | (771,777) | (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 | 1,359,441 | 1,535,317 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Unpaid principal balance | 1,888,509 | 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 | 1,050,006 | 637,518 |
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent | ||
Not in foreclosure | 85 | 204 |
In foreclosure | 205 | 0 |
Fair value option loans held as assets, Total | 290 | 204 |
Mortgage loans at fair value | 1,050,296 | 637,722 |
Mortgage loans on real estate principal amount of delinquent loans less than ninety days | 1,003,249 | 610,372 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Not in foreclosure | 116 | 255 |
In foreclosure | 254 | 0 |
Unpaid principal balance of loans outstanding at period-end | 1,003,619 | 610,627 |
Fair value option loans held as assets ninety days or less past due aggregate difference | 46,757 | 27,146 |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference | ||
Not in foreclosure | (31) | (51) |
In foreclosure | (49) | 0 |
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | 46,677 | 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 | 370 | 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 | (80) | (51) |
Mortgage loans at fair value held in consolidated VIE [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Fair value option loans held as assets ninety days or less past due | 477,271 | 527,369 |
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent | ||
Not in foreclosure | 0 | 0 |
In foreclosure | 0 | 0 |
Mortgage loans at fair value | 477,271 | 527,369 |
Mortgage loans on real estate principal amount of delinquent loans less than ninety days | 471,496 | 517,500 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Not in foreclosure | 0 | 0 |
In foreclosure | 0 | 0 |
Unpaid principal balance | 471,496 | 517,500 |
Fair value option loans held as assets ninety days or less past due aggregate difference | 5,775 | 9,869 |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference | ||
Not in foreclosure | 0 | 0 |
In foreclosure | 0 | 0 |
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | 5,775 | 9,869 |
Mortgage loans at fair value held in consolidated VIE [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 | 0 | 0 |
Mortgage loans at fair value held in consolidated VIE [Member] | Nonperforming loans [Member] | ||
Mortgage loans on real estate principal amount of delinquent loans | ||
Unpaid principal balance | 0 | 0 |
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 | 0 | 0 |
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 | 801,018 | 664,266 |
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent | ||
Not in foreclosure | 533,070 | 608,144 |
In foreclosure | 826,371 | 927,173 |
Mortgage loans at fair value | 2,160,459 | 2,726,952 |
Mortgage loans on real estate principal amount of delinquent loans less than ninety days | 1,049,502 | 935,385 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Not in foreclosure | 739,183 | 875,214 |
In foreclosure | 1,149,326 | 1,371,371 |
Unpaid principal balance | 2,938,011 | 3,699,470 |
Fair value option loans held as assets ninety days or less past due aggregate difference | (248,484) | (271,119) |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference | ||
Not in foreclosure | (206,113) | (267,070) |
In foreclosure | (322,955) | (444,198) |
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | (777,552) | (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 | 1,359,441 | 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 | 1,888,509 | 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 | $ (529,068) | $ (711,268) |
Fair Value - Summary of Chang98
Fair Value - Summary of Changes in Fair Value Included in Current Period Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain on mortgage loans acquired for sale | $ 13,884 | $ 9,509 | $ 35,219 | $ 29,702 |
Net gain on investments | 24,958 | 70,390 | 51,019 | 186,109 |
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 | 0 | 0 | 0 |
Net interest income | (351) | (124) | (474) | (328) |
Net gain on investments | (3,940) | 696 | (719) | (7,258) |
Net loan servicing fees | 0 | 0 | 0 | 0 |
Total | (4,291) | 572 | (1,193) | (7,586) |
Liabilities, Total [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Net interest income | (351) | (124) | (474) | (328) |
Net gain on investments | (3,940) | 696 | (719) | (7,258) |
Net loan servicing fees | 0 | 0 | 0 | 0 |
Total | (4,291) | 572 | (1,193) | (7,586) |
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 | |
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 | 91 | 108 | 155 | 296 |
Net gain on investments | 3,564 | (821) | (1,622) | 6,096 |
Net loan servicing fees | 0 | 0 | 0 | 0 |
Total | 3,655 | (713) | (1,467) | 6,392 |
Mortgage loans acquired for sale at fair value [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain on mortgage loans acquired for sale | 39,504 | 19,977 | 57,568 | 69,812 |
Net interest income | 0 | 0 | 0 | 0 |
Net gain on investments | 0 | 0 | 0 | 0 |
Net loan servicing fees | 0 | 0 | 0 | 0 |
Total | 39,504 | 19,977 | 57,568 | 69,812 |
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 | 1,024 | 385 | 1,203 | 938 |
Net gain on investments | 39,273 | 78,717 | 76,249 | 218,912 |
Net loan servicing fees | 0 | 0 | 0 | 0 |
Total | 40,297 | 79,102 | 77,452 | 219,850 |
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 | |||
Net interest income | 0 | |||
Net gain on investments | 803 | |||
Net loan servicing fees | 0 | |||
Total | 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 | (7,844) | (7,396) | (5,502) | (17,834) |
Net loan servicing fees | 0 | 0 | 0 | 0 |
Total | (7,844) | (7,396) | (5,502) | (17,834) |
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 | (5,266) | (1,606) | (8,776) | (8,398) |
Total | (5,266) | (1,606) | (8,776) | (8,398) |
Assets, Total [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain on mortgage loans acquired for sale | 39,504 | 19,977 | 57,568 | 69,812 |
Net interest income | 1,115 | 493 | 1,358 | 1,234 |
Net gain on investments | 34,993 | 70,500 | 69,125 | 207,977 |
Net loan servicing fees | (5,266) | (1,606) | (8,776) | (8,398) |
Total | $ 70,346 | $ 89,364 | $ 119,275 | $ 270,625 |
Fair Value - Summary of Finan99
Fair Value - Summary of Financial Statement Items Re-measured at Fair Value on Nonrecurring Basis (Detail) - Nonrecurring [Member] - USD ($) $ in Thousands | Sep. 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 | $ 145,815 | $ 157,203 |
Mortgage servicing rights at lower of amortized cost or fair value | 125,952 | 91,990 |
Total Assets | 271,767 | 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 | 145,815 | 157,203 |
Mortgage servicing rights at lower of amortized cost or fair value | 125,952 | 91,990 |
Total Assets | $ 271,767 | $ 249,193 |
Fair Value - Summary of Fair Va
Fair Value - Summary of Fair Value Changes Recognized on Assets Held Measured at Fair Value on Nonrecurring Basis (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Mortgage servicing rights at lower of amortized cost or fair value | $ (7,845) | $ 602 | $ (7,142) | $ (2,249) |
Nonrecurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Real estate asset acquired in settlement of loans | (8,182) | (14,242) | (18,308) | (24,027) |
Mortgage servicing rights at lower of amortized cost or fair value | (7,845) | 602 | (7,142) | (2,249) |
Total assets, gains (losses) recognized | $ (16,027) | $ (13,640) | $ (25,450) | $ (26,276) |
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] | 9 Months Ended | 12 Months Ended |
Sep. 30, 2015 | Dec. 31, 2014 | |
Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Discount rate | 2.50% | 2.30% |
Twelve-month projected housing price index change | 2.00% | 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 | 4.30% | 5.30% |
Prepayment speed | 4.60% | 6.50% |
Total prepayment speed | 27.30% | 27.90% |
Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Discount rate | 6.90% | 7.70% |
Twelve-month projected housing price index change | 3.90% | 4.80% |
Prepayment speed | 3.60% | 3.10% |
Total prepayment speed | 20.50% | 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 | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 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) | $ 578,894 | $ 1,234,028 | $ 978,951 | $ 3,784,142 | |
Average servicing fee rate (in basis points) | 0.25% | 0.25% | 0.25% | 0.25% | 0.25% |
Minimum [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Pricing spread | 7.20% | 8.80% | 7.20% | 8.50% | |
Annual total prepayment speed | 14.30% | 14.30% | 8.00% | ||
Minimum [Member] | Excess servicing spread [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Pricing spread | 4.80% | 1.70% | |||
Life (in years) | 1 year 6 months | 4 months 24 days | |||
Annual total prepayment speed | 5.50% | 5.50% | 7.60% | ||
Maximum [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Pricing spread | 14.30% | 13.50% | 16.30% | 13.50% | |
Annual total prepayment speed | 38.50% | 38.50% | 39.60% | ||
Maximum [Member] | Excess servicing spread [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Pricing spread | 6.50% | 12.00% | |||
Life (in years) | 8 years 10 months 24 days | 7 years 3 months 18 days | |||
Annual total prepayment speed | 50.30% | 50.30% | 74.60% | ||
Weighted Average [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Pricing spread | 8.40% | 9.10% | 9.20% | 9.10% | |
Annual total prepayment speed | 14.60% | 14.60% | 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) | $ 54,189,421 | $ 28,227,340 | |||
Average servicing fee rate (in basis points) | 0.32% | 0.31% | |||
Average ESS rate (in basis points) | 0.17% | 0.16% | |||
Pricing spread | 5.70% | 5.30% | |||
Life (in years) | 6 years 8 months 12 days | 5 years 9 months 18 days | |||
Annual total prepayment speed | 10.40% | 10.40% | 11.20% |
Fair Value - Quantitative Su103
Fair Value - Quantitative Summary of Key Unobservable Inputs Used in Valuation of Interest Rate Lock Commitments (Detail) | Sep. 30, 2015 | Dec. 31, 2014 |
Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Pull-through rate | 44.80% | 65.00% |
Servicing fee multiple | 1.90% | 0.70% |
Percentage of unpaid principal balance | 0.50% | 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 | 6.00% | 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 | 88.60% | 94.90% |
Servicing fee multiple | 4.50% | 4.30% |
Percentage of unpaid principal balance | 1.20% | 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 | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Amortized cost, MSR recognized | $ 47,140,000 | $ 26,802,000 | $ 103,281,000 | $ 49,276,000 | |
Amortized cost, Unpaid principal balance of underlying mortgage loans | $ 3,512,016,000 | $ 2,423,013,000 | $ 9,140,782,000 | $ 4,518,100,000 | |
Amortized cost, Weighted-average annual servicing fee rate (in basis points) | 0.25% | 0.25% | 0.25% | 0.25% | |
Fair value, MSR recognized | $ 5,674,000 | $ 12,812,000 | $ 9,169,000 | $ 39,954,000 | |
Fair value, Unpaid principal balance of underlying mortgage loans | $ 578,894,000 | $ 1,234,028,000 | $ 978,951,000 | $ 3,784,142,000 | |
Fair value, Weighted-average annual servicing fee rate (in basis points) | 0.25% | 0.25% | 0.25% | 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% | 6.50% | 6.50% | 6.30% | |
Amortized cost, Life (in years) | 2 years | 1 year 4 months 24 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 | 7.20% | 8.80% | 7.20% | 8.50% | |
Fair value inputs, Weighted average life during period | 2 years 3 months 18 days | 2 years 9 months 18 days | 2 years 3 months 18 days | 2 years 9 months 18 days | |
Fair value inputs, Annual prepayment speed during period | 8.40% | 8.00% | 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% | 17.50% | 17.50% | 17.50% | |
Amortized cost, Life (in years) | 7 years 4 months 24 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 | 37.60% | 48.80% | 51.00% | 56.40% | |
Amortized cost, Annual per loan cost of servicing during period | $ 68,000 | $ 140,000 | $ 134,000 | $ 140,000 | |
Fair value inputs, Pricing spread during period | 14.30% | 13.50% | 16.30% | 13.50% | |
Fair value inputs, Weighted average life during period | 7 years 2 months 12 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 | 22.40% | 30.40% | 34.20% | 30.40% | |
Fair value inputs, Annual per loan cost of servicing during period | $ 68,000 | $ 140,000 | $ 68,000 | $ 140,000 | |
Weighted Average [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Amortized cost, Pricing spread during period | 7.80% | 8.50% | 8.10% | 8.50% | |
Amortized cost, Life (in years) | 6 years 9 months 18 days | 6 years 7 months 6 days | 6 years 8 months 12 days | 6 years 3 months 18 days | |
Amortized cost, Annual prepayment speed during period | 9.20% | 9.20% | 8.90% | 9.70% | |
Amortized cost, Annual per loan cost of servicing during period | $ 65,000 | $ 70,000 | $ 63,000 | $ 69,000 | |
Fair value inputs, Pricing spread during period | 8.40% | 9.10% | 9.20% | 9.10% | |
Fair value inputs, Weighted average life during period | 6 years 7 months 6 days | 7 years 1 month 6 days | 6 years 6 months | 7 years 1 month 6 days | |
Fair value inputs, Annual prepayment speed during period | 11.90% | 9.70% | 12.10% | 9.50% | |
Fair value inputs, Annual per loan cost of servicing during period | $ 65,000 | $ 70,000 | $ 64,000 | $ 69,000 |
Fair Value - Quantitative Su105
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 | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Carrying value, Amortized cost | $ 365,344,000 | $ 287,977,000 | $ 365,344,000 | $ 287,977,000 | $ 300,422,000 |
Unpaid principal balance of underlying mortgage loans, Amortized cost | $ 33,834,143,000 | $ 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 | 3.84% | 3.80% | |||
Balance at end of period | 57,751,000 | $ 57,871,000 | $ 57,751,000 | $ 57,871,000 | $ 57,358,000 |
Unpaid principal balance of underlying mortgage loans, Fair Value | $ 6,061,654,000 | $ 6,061,654,000 | $ 6,278,676,000 | ||
Weighted-average annual servicing fee rate (in basis points), Fair value input | 0.25% | 0.25% | 0.25% | 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 | $ (5,826,000) | $ (5,826,000) | $ (5,801,000) | ||
Effect on value of percentage adverse change, Fair value input | (813,000) | (813,000) | (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 | (11,484,000) | (11,484,000) | (11,410,000) | ||
Effect on value of percentage adverse change, Fair value input | (1,602,000) | (1,602,000) | (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 | (22,318,000) | (22,318,000) | (22,086,000) | ||
Effect on value of percentage adverse change, Fair value input | (3,117,000) | (3,117,000) | (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 | (8,064,000) | (8,064,000) | (6,166,000) | ||
Effect on value of percentage adverse change, Fair value input | (1,751,000) | (1,751,000) | (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 | (15,826,000) | (15,826,000) | (12,138,000) | ||
Effect on value of percentage adverse change, Fair value input | (3,416,000) | (3,416,000) | (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 | (30,511,000) | (30,511,000) | (23,532,000) | ||
Effect on value of percentage adverse change, Fair value input | (6,508,000) | (6,508,000) | (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 | (2,512,000) | (2,512,000) | (1,807,000) | ||
Effect on value of percentage adverse change, Fair value input | (412,000) | (412,000) | (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 | (5,024,000) | (5,024,000) | (3,614,000) | ||
Effect on value of percentage adverse change, Fair value input | (824,000) | (824,000) | (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 | (10,047,000) | (10,047,000) | (7,228,000) | ||
Effect on value of percentage adverse change, Fair value input | $ (1,648,000) | $ (1,648,000) | $ (1,337,000) | ||
Minimum [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Amortized cost, Pricing spread | 7.20% | 7.20% | 6.30% | ||
Amortized cost, Weighted average life (in years) | 1 year 3 months 18 days | 1 year 9 months 18 days | |||
Amortized cost, Prepayment speed | 8.60% | 8.60% | 7.80% | ||
Amortized cost, Annual per-loan cost of servicing | $ 68,000 | $ 68,000 | $ 62,000 | ||
Estimated fair value inputs, Pricing spread | 7.20% | 7.20% | 8.10% | ||
Estimated fair value inputs, Prepayment speed | 14.30% | 14.30% | 8.00% | ||
Estimated fair value inputs, Annual per-loan cost of servicing | $ 68,000 | $ 68,000 | $ 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) | 1 year 10 months 24 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 | 10.70% | 10.70% | 17.50% | ||
Amortized cost, Weighted average life (in years) | 7 years 4 months 24 days | 7 years 2 months 12 days | |||
Amortized cost, Prepayment speed | 54.20% | 54.20% | 47.90% | ||
Amortized cost, Annual per-loan cost of servicing | $ 68,000 | $ 68,000 | $ 134,000 | ||
Estimated fair value inputs, Pricing spread | 10.70% | 10.70% | 16.30% | ||
Estimated fair value inputs, Prepayment speed | 38.50% | 38.50% | 39.60% | ||
Estimated fair value inputs, Annual per-loan cost of servicing | $ 68,000 | $ 68,000 | $ 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) | 5 years 7 months 6 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 | 7.20% | 7.20% | 7.90% | ||
Amortized cost, Weighted average life (in years) | 6 years 10 months 24 days | 6 years 4 months 24 days | |||
Amortized cost, Prepayment speed | 10.20% | 10.20% | 8.80% | ||
Amortized cost, Annual per-loan cost of servicing | $ 68,000 | $ 68,000 | $ 62,000 | ||
Estimated fair value inputs, Pricing spread | 7.20% | 7.20% | 10.30% | ||
Estimated fair value inputs, Prepayment speed | 14.60% | 14.60% | 11.40% | ||
Estimated fair value inputs, Annual per-loan cost of servicing | $ 68,000 | $ 68,000 | $ 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) | 5 years 7 months 6 days | 6 years 8 months 12 days |
Mortgage Loans Acquired for 106
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 | Sep. 30, 2015 | Dec. 31, 2014 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | $ 1,050,296 | $ 637,722 |
Mortgage loan acquired at unpaid principal balance | 1,003,620 | 610,628 |
Mortgage loans pledged to secure assets sold under agreements to repurchase | 903,806 | 609,608 |
Agency-eligible [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 601,394 | 287,300 |
Mortgage loan acquired at unpaid principal balance | 575,458 | 274,650 |
Jumbo [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 69,157 | 137,440 |
Mortgage loan acquired at unpaid principal balance | 67,544 | 134,079 |
Held 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 | 373,812 | 209,325 |
Mortgage loan acquired at unpaid principal balance | 354,529 | 198,265 |
Commercial real estate loan [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 1,851 | 0 |
Mortgage loan acquired at unpaid principal balance | 1,798 | 0 |
Mortgage loans repurchased pursuant to representations and warranties [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 4,082 | 3,657 |
Mortgage loan acquired at unpaid principal balance | 4,291 | 3,634 |
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 | 903,806 | 609,608 |
Mortgage loans pledged to secure mortgage loan participation and sale agreements | 63,162 | 20,862 |
Mortgage loans pledged to secure Federal Home Loan Bank ("FHLB") advances | $ 68,937 | $ 0 |
Mortgage Loans Acquired for 107
Mortgage Loans Acquired for Sale at Fair Value - Additional Information (Detail) | 9 Months Ended |
Sep. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Sourcing fee on the unpaid principal balance | 0.03% |
Derivative Financial Instrum108
Derivative Financial Instruments - Derivative Assets and Liabilities and Related Margin Deposits Recorded within Derivative Assets and Derivative Liabilities (Detail) - USD ($) | Sep. 30, 2015 | Dec. 31, 2014 |
Derivatives, Fair Value [Line Items] | ||
Total derivative assets instruments before netting | $ 36,698,000 | $ 13,391,000 |
Derivative assets, Netting | (19,892,000) | (2,284,000) |
Derivative assets, Fair value, Total | 16,806,000 | 11,107,000 |
Total derivative liabilities instruments fair value before netting | 22,102,000 | 7,178,000 |
Derivative liabilities, Netting | (19,316,000) | (4,748,000) |
Derivative liabilities, Fair value, Total | 2,786,000 | 2,430,000 |
Interest rate lock commitments [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 1,163,415,000 | 695,488,000 |
Total derivative assets instruments before netting | 9,109,000 | 5,678,000 |
Total derivative liabilities instruments fair value before netting | 302,000 | 17,000 |
Forward sales contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 3,410,839,000 | 1,601,282,000 |
Total derivative assets instruments before netting | 15,000 | 52,000 |
Total derivative liabilities instruments fair value before netting | 21,794,000 | 6,649,000 |
Forward purchase contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 3,282,364,000 | 1,100,700,000 |
Total derivative assets instruments before netting | 22,985,000 | 3,775,000 |
Total derivative liabilities instruments fair value before netting | 6,000 | 34,000 |
MBS put options [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 450,000,000 | 340,000,000 |
Total derivative assets instruments before netting | 0 | 374,000 |
Total derivative liabilities instruments fair value before netting | 0 | 0 |
MBS call options [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 0 | 0 |
Total derivative assets instruments before netting | 0 | 0 |
Total derivative liabilities instruments fair value before netting | 0 | 0 |
Eurodollar future sale contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 1,756,000,000 | 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 future contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 0 | 85,000,000 |
Total derivative assets instruments before netting | 0 | 0 |
Derivative assets, Netting | 0 | 0 |
Derivative assets, Fair value, Total | 0 | 0 |
Total derivative liabilities instruments fair value before netting | 0 | 478,000 |
Call options on interest rate futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 1,555,000,000 | 1,030,000,000 |
Total derivative assets instruments before netting | 3,270,000 | 3,319,000 |
Derivative assets, Netting | 0 | 0 |
Derivative assets, Fair value, Total | 3,270,000 | 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 | 1,625,000,000 | 275,000,000 |
Total derivative assets instruments before netting | 693,000 | 193,000 |
Derivative assets, Netting | 0 | 0 |
Derivative assets, Fair value, Total | 693,000 | 193,000 |
Total derivative liabilities instruments fair value before netting | 0 | 0 |
Net derivatives related to CRT Agreements [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 2,400,433,000 | 0 |
Total derivative assets instruments before netting | 626,000 | 0 |
Derivative assets, Netting | 0 | 0 |
Derivative assets, Fair value, Total | 626,000 | 0 |
Total derivative liabilities instruments fair value before netting | $ 0 | $ 0 |
Derivative Financial Instrum109
Derivative Financial Instruments - Summary of Activity in Notional Amount for Derivative Arising from CRT Agreements and Derivative Contracts (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Forward sales contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | $ 1,601,282,000 | |||
Balance, end of period | $ 3,410,839,000 | 3,410,839,000 | ||
Forward purchase contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 1,100,700,000 | |||
Balance, end of period | 3,282,364,000 | 3,282,364,000 | ||
MBS put options [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 340,000,000 | |||
Balance, end of period | 450,000,000 | 450,000,000 | ||
MBS call options [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 0 | |||
Balance, end of period | 0 | 0 | ||
Eurodollar future sale contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 7,426,000,000 | |||
Balance, end of period | 1,756,000,000 | 1,756,000,000 | ||
Eurodollar future purchase contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 800,000,000 | |||
Balance, end of period | 0 | 0 | ||
Treasury future contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 85,000,000 | |||
Balance, end of period | 0 | 0 | ||
Call options on interest rate futures [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 1,030,000,000 | |||
Balance, end of period | 1,555,000,000 | 1,555,000,000 | ||
Put options on interest rate futures [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 275,000,000 | |||
Balance, end of period | 1,625,000,000 | 1,625,000,000 | ||
Net derivatives related to CRT Agreements [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 0 | |||
Balance, end of period | 2,400,433,000 | 2,400,433,000 | ||
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 | 3,252,286,000 | $ 4,185,633,000 | 1,601,283,000 | $ 3,588,027,000 |
Additions | 15,003,760,000 | 11,670,826,000 | 38,880,821,000 | 35,657,347,000 |
Dispositions/expirations | (14,845,207,000) | (13,080,210,000) | (37,071,265,000) | (36,469,125,000) |
Balance, end of period | 3,410,839,000 | 2,776,249,000 | 3,410,839,000 | 2,776,249,000 |
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 | 2,263,622,000 | 3,058,604,000 | 1,100,700,000 | 2,781,066,000 |
Additions | 10,938,733,000 | 8,216,022,000 | 27,871,913,000 | 26,650,920,000 |
Dispositions/expirations | (9,919,991,000) | (9,364,487,000) | (25,690,249,000) | (27,521,847,000) |
Balance, end of period | 3,282,364,000 | 1,910,139,000 | 3,282,364,000 | 1,910,139,000 |
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 | 367,500,000 | 392,500,000 | 340,000,000 | 55,000,000 |
Additions | 700,000,000 | 640,000,000 | 1,692,500,000 | 1,482,500,000 |
Dispositions/expirations | (617,500,000) | (467,500,000) | (1,582,500,000) | (972,500,000) |
Balance, end of period | 450,000,000 | 565,000,000 | 450,000,000 | 565,000,000 |
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 | 40,000,000 | 95,000,000 | 0 | 110,000,000 |
Additions | 0 | 75,000,000 | 140,000,000 | 230,000,000 |
Dispositions/expirations | (40,000,000) | (120,000,000) | (140,000,000) | (290,000,000) |
Balance, end of period | 0 | 50,000,000 | 0 | 50,000,000 |
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 | 5,984,000,000 | 5,562,000,000 | 7,426,000,000 | 8,779,000,000 |
Additions | 0 | 990,000,000 | 285,000,000 | 1,452,000,000 |
Dispositions/expirations | (4,228,000,000) | (290,000,000) | (5,955,000,000) | (3,969,000,000) |
Balance, end of period | 1,756,000,000 | 6,262,000,000 | 1,756,000,000 | 6,262,000,000 |
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 | 290,000,000 | 0 | 3,287,000,000 | |
Dispositions/expirations | (290,000,000) | (800,000,000) | (3,287,000,000) | |
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 future contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 40,000,000 | 85,000,000 | 85,000,000 | 105,000,000 |
Additions | 0 | 154,500,000 | 161,500,000 | 375,300,000 |
Dispositions/expirations | (40,000,000) | (154,500,000) | (246,500,000) | (395,300,000) |
Balance, end of period | 0 | 85,000,000 | 0 | 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 | 1,135,000,000 | 230,000,000 | 1,030,000,000 | 0 |
Additions | 1,805,000,000 | 580,000,000 | 4,080,000,000 | 960,000,000 |
Dispositions/expirations | (1,385,000,000) | (455,000,000) | (3,555,000,000) | (605,000,000) |
Balance, end of period | 1,555,000,000 | 355,000,000 | 1,555,000,000 | 355,000,000 |
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 | 1,273,000,000 | 125,000,000 | 275,000,000 | 52,500,000 |
Additions | 1,650,000,000 | 490,500,000 | 4,318,000,000 | 1,052,500,000 |
Dispositions/expirations | (1,298,000,000) | (395,500,000) | (2,968,000,000) | (885,000,000) |
Balance, end of period | 1,625,000,000 | 220,000,000 | 1,625,000,000 | 220,000,000 |
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 | 0 | 0 | ||
Additions | 138,300,000 | 331,900,000 | ||
Dispositions/expirations | (138,300,000) | (331,900,000) | ||
Balance, end of period | $ 0 | $ 0 | ||
Mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS securities [Member] | Net derivatives related to CRT Agreements [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 0 | 0 | ||
Additions | 2,400,433,000 | 2,400,433,000 | ||
Dispositions/expirations | 0 | 0 | ||
Balance, end of period | $ 2,400,433,000 | $ 2,400,433,000 |
Derivative Financial Instrum110
Derivative Financial Instruments - Net Gains (Losses) Recognized on Derivative Financial Instruments (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
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 | $ (6,772) | $ (807) | $ (18,065) | $ (14,609) |
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 | (33,652) | (4,503) | (23,198) | (44,003) |
Mortgage service rights [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) on derivative financial instruments used as economic hedges | 19,061 | (654) | 13,868 | 3,532 |
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 | $ 19,061 | $ (654) | $ 13,868 | $ 3,532 |
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 | Sep. 30, 2015 | Dec. 31, 2014 | Sep. 30, 2014 |
Financing Receivable, Recorded Investment [Line Items] | |||
Fair value | $ 2,637,730 | $ 2,726,952 | |
Unpaid principal balance | 3,409,507 | 3,699,470 | |
Assets sold under agreements to repurchase | 3,881,273 | $ 3,222,315 | |
FHLB advances | 68,937 | 0 | |
Asset-backed secured financing | 477,271 | 527,369 | |
Fixed interest rate jumbo mortgage loans held in a VIE [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Fair value | 477,271 | 527,369 | |
Unpaid principal balance | 471,496 | 517,500 | |
Mortgage loans acquired for sale at fair value [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Fair value | 1,050,296 | 637,722 | |
Assets sold under agreements to repurchase | 2,390,784 | 2,543,242 | |
FHLB advances | 140,025 | 0 | |
Nonperforming mortgage loans [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Fair value | 1,359,441 | 1,535,317 | |
Unpaid principal balance | 1,888,509 | 2,246,585 | |
Performing mortgage loans [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Fair value | 801,018 | 664,266 | |
Unpaid principal balance | 1,049,502 | 935,385 | |
Performing mortgage loans [Member] | Fixed interest rate [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Fair value | 380,322 | 322,704 | |
Unpaid principal balance | 494,804 | 449,496 | |
Performing mortgage loans [Member] | Adjustable-rate/hybrid [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Fair value | 157,265 | 127,405 | |
Unpaid principal balance | 186,534 | 162,329 | |
Performing mortgage loans [Member] | Interest rate step-up [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Fair value | 263,270 | 213,999 | |
Unpaid principal balance | 367,958 | 323,350 | |
Performing mortgage loans [Member] | Balloon [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Fair value | 161 | 158 | |
Unpaid principal balance | $ 206 | $ 210 |
Mortgage Loans at Fair Value112
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) | 9 Months Ended | |
Sep. 30, 2015 | Dec. 31, 2014 | |
Risks and Uncertainties [Abstract] | ||
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% | 46.00% | 55.00% |
Percentage of mortgage loans secured by California real estate | 22.00% | 22.00% |
Additional states contributing 5% or more of mortgage loans | New York New Jersey Florida |
Mortgage Loans at Fair Value113
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) | Sep. 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 Sett114
Real Estate Acquired in Settlement of Loans - Summary of Financial Information Relating to REO (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Real Estate [Abstract] | ||||
Balance at beginning of period | $ 324,278 | $ 240,471 | $ 303,228 | $ 138,942 |
Purchases | 0 | 0 | 0 | 3,049 |
Transfers from mortgage loans at fair value and servicing advances | 82,405 | 94,530 | 240,483 | 268,677 |
Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment | (2,212) | 0 | (3,505) | 0 |
Transfers from REO under forward purchase agreements | 0 | 0 | 0 | 12,737 |
Results of REO: | ||||
Valuation adjustments, net | (8,734) | (15,639) | (26,740) | (32,912) |
Gain on sale, net | 4,513 | 3,713 | 14,881 | 9,485 |
Total gain (loss), net | (4,221) | (11,926) | (11,859) | (23,427) |
Proceeds from sales | (46,687) | (47,890) | (174,784) | (124,793) |
Balance at end of period | 353,563 | 275,185 | 353,563 | 275,185 |
At period end: | ||||
REO pledged to secure assets sold under agreements to repurchase | 280,045 | 56,702 | 280,045 | 56,702 |
REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties | $ 0 | $ 19,858 | $ 0 | $ 19,858 |
Real Estate Acquired in Sett115
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 | 9 Months Ended | |
Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Real Estate [Abstract] | |||
Balance at beginning of period | $ 0 | $ 9,138 | |
Purchases | 0 | 68 | |
Transfers from mortgage loans under forward purchase agreements at fair value and advances | 0 | $ 0 | 9,369 |
Transfers to REO | 0 | (12,737) | |
Valuation adjustments, net | 0 | (779) | |
Gain on sale, net | 0 | 306 | |
Results of REO under forward purchase agreements | 0 | (473) | |
Proceeds from sales | 0 | (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 | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Servicing Asset At Fair Value Changes In Fair Value [Abstract] | ||||
Balance at beginning of period | $ 57,343 | $ 46,802 | $ 57,358 | $ 26,452 |
MSRs resulting from mortgage loan sales | 5,674 | 12,812 | 9,169 | 39,954 |
Due to changes in valuation inputs or assumptions used in valuation model | (3,418) | (106) | (3,525) | (4,974) |
Other changes in fair value | (1,848) | (1,500) | (5,251) | (3,424) |
Change in fair value, Total | (5,266) | (1,606) | (8,776) | (8,398) |
Sales | 0 | (137) | 0 | (137) |
Balance at end of period | 57,751 | 57,871 | 57,751 | 57,871 |
MSRs pledged to secure note payable at end of period | $ 57,751 | $ 0 | $ 57,751 | $ 0 |
Mortgage Servicing Rights - 117
Mortgage Servicing Rights - Summary of MSRs Carried at Lower of Amortized Cost or Fair Value (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 | |
Servicing Asset at Amortized Cost, Balance [Roll Forward] | |||||
Balance at beginning of period | $ 344,405 | $ 274,110 | $ 308,137 | $ 266,697 | |
MSRs resulting from loan sales | 47,140 | 26,802 | 103,281 | 49,276 | |
Amortization | (11,333) | (8,109) | (30,913) | (23,170) | |
Application of valuation allowance to write down MSRs with other-than temporary impairment | 0 | 0 | 0 | 0 | |
Sales | (12) | 0 | (305) | 0 | |
Balance at end of period | 380,200 | 292,803 | 380,200 | 292,803 | |
Balance at beginning of period | (7,011) | (5,428) | (7,714) | (2,577) | |
(Additions) reversals | (7,845) | 602 | (7,142) | (2,249) | |
Application of valuation allowance to write down MSRs with other-than temporary impairment | 0 | 0 | 0 | 0 | |
Balance at end of period | (14,856) | (4,826) | (14,856) | (4,826) | |
MSRs, net | 365,344 | 287,977 | 365,344 | 287,977 | $ 300,422 |
Fair value at beginning of period | 362,908 | 289,226 | 322,230 | 289,737 | |
Fair value at end of period | 386,539 | 312,196 | 386,539 | 312,196 | |
Mortgage servicing rights [Member] | |||||
Servicing Asset at Amortized Cost, Balance [Roll Forward] | |||||
Carrying value pledged to secure note payable | $ 365,344 | $ 0 | $ 365,344 | $ 0 |
Mortgage Servicing Rights - 118
Mortgage Servicing Rights - Summary of Company's Estimate of Future Amortization of Existing MSRs Carried at Amortized Cost (Detail) $ in Thousands | Sep. 30, 2015USD ($) |
Servicing Asset Future Amortization Expense Abstract [Abstract] | |
2,015 | $ 49,227 |
2,016 | 42,898 |
2,017 | 37,642 |
2,018 | 33,216 |
2,019 | 29,421 |
Thereafter | 187,796 |
Total | $ 380,200 |
Mortgage Servicing Rights - 119
Mortgage Servicing Rights - Summary of Net Loan Servicing Fees (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Transfers and Servicing [Abstract] | ||||
Contractually-specified servicing fees | $ 25,500 | $ 19,345 | $ 74,016 | $ 54,396 |
Assets Sold Under Agreements120
Assets Sold Under Agreements to Repurchase - Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 | |
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Weighted-average interest rate | 2.30% | 2.13% | 2.27% | 2.18% | |
Average balance | $ 3,252,341,000 | $ 2,501,816,000 | $ 3,125,328,000 | $ 2,186,135,000 | |
Total interest expense | 21,350,000 | 15,814,000 | 60,470,000 | 43,496,000 | |
Maximum daily amount outstanding | 4,160,814,000 | 2,815,572,000 | 4,612,001,000 | 2,700,586,000 | |
Amount outstanding | 2,865,722,000 | 2,416,686,000 | 2,865,722,000 | 2,416,686,000 | |
Unamortized debt issuance costs | (5,195,000) | (6,156,000) | (5,195,000) | (6,156,000) | |
Assets sold under agreements to repurchase, At period end | $ 2,864,032,000 | $ 2,416,047,000 | 2,864,032,000 | 2,416,047,000 | $ 2,729,027,000 |
Weighted-average interest rate | 2.22% | 2.17% | |||
Available borrowing capacity, Committed | $ 510,109,000 | $ 578,969,000 | |||
Available borrowing capacity, Uncommitted | 868,978,000 | 894,343,000 | |||
Available borrowing capacity | 1,379,087,000 | 1,473,312,000 | |||
Margin deposits placed with counterparties | 7,230,000 | 8,210,000 | 7,230,000 | 8,210,000 | |
Fair value of assets securing agreements to repurchase | 3,881,273,000 | 3,222,315,000 | 3,881,273,000 | 3,222,315,000 | |
Assets Sold under Agreement to Repurchase [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Unamortized debt issuance costs | (1,690,000) | (639,000) | (1,690,000) | (639,000) | |
Mortgage-backed securities at fair value [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Fair value of assets securing agreements to repurchase | 306,638,000 | 262,378,000 | 306,638,000 | 262,378,000 | |
Mortgage loans acquired for sale at fair value [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Fair value of assets securing agreements to repurchase | 903,806,000 | 609,608,000 | 903,806,000 | 609,608,000 | |
Mortgage loans at fair value [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Fair value of assets securing agreements to repurchase | 2,390,784,000 | 2,273,768,000 | 2,390,784,000 | 2,273,768,000 | |
Real estate acquired in settlement of loans [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Fair value of assets securing agreements to repurchase | $ 280,045,000 | $ 76,561,000 | $ 280,045,000 | $ 76,561,000 |
Assets Sold Under Agreements121
Assets Sold Under Agreements to Repurchase - Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase (Parenthetical) (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Assets Sold under Agreements to Repurchase [Line Items] | ||||
Amortization of commitment fees and issuance costs | $ 562,000 | $ 915,000 | ||
Assets Sold under Agreement to Repurchase [Member] | ||||
Assets Sold under Agreements to Repurchase [Line Items] | ||||
Amortization of commitment fees and issuance costs | $ 2,200 | $ 2,200 | $ 6,700 | $ 7,400 |
Assets Sold Under Agreements122
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 | 9 Months Ended | |
Sep. 30, 2015 | Sep. 30, 2014 | |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Maturity of repurchase agreements | $ 2,865,722 | $ 2,416,686 |
Securities sold under agreements to repurchase at fair value [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Maturity of repurchase agreements | $ 2,865,722 | |
Weighted average maturity | 4 years 6 months | |
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 | $ 1,521,695 | |
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 | 413,728 | |
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 | 252,357 | |
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 | 290,986 | |
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 | $ 386,956 |
Assets Sold Under Agreements123
Assets Sold Under Agreements to Repurchase - Summary of Assets Sold under Agreements to Repurchase by Counterparty (Detail) $ in Thousands | 9 Months Ended |
Sep. 30, 2015USD ($) | |
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 | $ 517 |
Facility maturity | Dec. 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 | $ 16,547 |
Facility maturity | Oct. 23, 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 | $ 8,275 |
Facility maturity | Nov. 6, 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 | $ 15,181 |
Facility maturity | Nov. 18, 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 | $ 366,115 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Oct. 22, 2015 |
Facility maturity | Oct. 22, 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 | $ 317,292 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Oct. 30, 2015 |
Facility maturity | Oct. 30, 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 | $ 160,224 |
Facility maturity | Jan. 26, 2017 |
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 | $ 31,157 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Dec. 19, 2015 |
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 | $ 10,905 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Nov. 17, 2015 |
Facility maturity | Dec. 17, 2015 |
Assets Sold Under Agreements124
Assets Sold Under Agreements to Repurchase - Covenant Compliance (Detail) | Sep. 30, 2015USD ($) |
PennyMac Mortgage Investment Trust [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Net worth | $ 1,514,430,000 |
Minimum net worth amount | 860,000,000 |
Operating Partnership [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Net worth | 1,554,310,000 |
Minimum net worth amount | 700,000,000 |
PennyMac Holdings, LLC [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Net worth | 896,693,000 |
Minimum net worth amount | 250,000,000 |
PennyMac Corp. [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Net worth | 417,780,000 |
Minimum net worth amount | $ 150,000,000 |
Mortgage Loan Participation 125
Mortgage Loan Participation and Sale Agreement - Summary of Mortgage Loan Participation and Sale Agreements (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | |
At period end: | ||||
Unamortized debt issuance costs | $ (5,195,000) | $ (5,195,000) | $ (6,156,000) | |
Mortgage loan participation and sale agreements, At period end | $ 61,078,000 | $ 61,078,000 | $ 20,222,000 | |
Mortgage Loan Participation and Sale Agreement [Member] | ||||
During the period: | ||||
Weighted-average interest rate | 1.44% | 1.43% | ||
Average balance | $ 48,832,000 | $ 50,933,000 | ||
Total interest expense | 226,000 | 699,000 | ||
Maximum daily amount outstanding | 120,374,000 | 148,032,000 | ||
At period end: | ||||
Amount outstanding | 61,093,000 | 61,093,000 | ||
Unamortized debt issuance costs | (16,000) | (16,000) | ||
Mortgage loan participation and sale agreements, At period end | $ 61,078,000 | 61,078,000 | ||
Weighted-average interest rate | 1.44% | |||
Mortgage loans pledged to secure mortgage loan participation and sale agreement | $ 63,162,000 | $ 63,162,000 | $ 20,862,000 |
Mortgage Loan Participation 126
Mortgage Loan Participation and Sale Agreement - Summary of Mortgage Loan Participation and Sale Agreements (Parenthetical) (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2015 | Sep. 30, 2015 | |
Participating Mortgage Loans [Line Items] | ||
Amortization of commitment fee | $ 562,000 | $ 915,000 |
Mortgage Loan Participation and Sale Agreement [Member] | ||
Participating Mortgage Loans [Line Items] | ||
Amortization of commitment fee | $ 47,000 | $ 146,000 |
Federal Home Loan Bank Advan127
Federal Home Loan Bank Advances - Additional Information (Detail) | Jun. 30, 2015USD ($) |
Federal Home Loan Banks [Abstract] | |
Federal home loan bank advances | $ 400,000,000 |
Percentage of capital stock | 4.00% |
Federal Home Loan Bank Advan128
Federal Home Loan Bank Advances - Summary of FHLB Advances (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | |
Sep. 30, 2015 | Sep. 30, 2015 | Dec. 31, 2014 | |
Federal Home Loan Banks [Abstract] | |||
Weighted-average interest rate | 0.27% | 0.27% | |
Average balance | $ 170,902,000 | $ 58,100,000 | |
Total interest expense | 117,000 | 119,000 | |
Maximum daily amount outstanding | 188,834,000 | 188,834,000 | |
Balance | $ 183,000,000 | $ 183,000,000 | |
Weighted-average interest rate | 0.27% | 0.27% | |
Mortgage-backed securities | $ 8,961,000 | $ 8,961,000 | $ 0 |
Mortgage loans acquired for sale at fair value | 68,937,000 | 68,937,000 | 0 |
Mortgage loans at fair value | 140,025,000 | 140,025,000 | $ 0 |
Fair value of assets securing FHLB advances, total | $ 217,923,000 | $ 217,923,000 |
Note Payable - Additional Infor
Note Payable - Additional Information (Detail) - USD ($) | 9 Months Ended | |
Sep. 30, 2015 | Sep. 14, 2015 | |
Loan and Security Agreement with Citibank, N.A. [Member] | ||
Debt Instrument [Line Items] | ||
Maturity date of debt instrument | Mar. 29, 2016 | |
Loan and Security Agreement with Barclays Bank PLC, [Member] | ||
Debt Instrument [Line Items] | ||
Maturity date of debt instrument | Sep. 13, 2016 | |
Maximum [Member] | Loan and Security Agreement with Barclays Bank PLC, [Member] | ||
Debt Instrument [Line Items] | ||
Aggregate loan amount | $ 150,000,000 |
Note Payable - Summary of Finan
Note Payable - Summary of Financial Information Relating to Note Payable (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | |
Sep. 30, 2015 | Sep. 30, 2015 | Dec. 31, 2014 | |
During the period: | |||
Weighted-average interest rate | 4.25% | 4.24% | |
Average balance | $ 195,030,000 | $ 85,907,000 | |
Total interest expense | 2,375,000 | 3,369,000 | |
Maximum daily amount outstanding | 198,191,000 | 198,191,000 | |
At period end: | |||
Amount outstanding | $ 192,332,000 | 192,332,000 | $ 0 |
Weighted-average interest rate | 4.39% | ||
Mortgage servicing rights pledged to secure notes payable | $ 423,095,000 | $ 423,095,000 |
Note Payable - Summary of Fi131
Note Payable - Summary of Financial Information Relating to Note Payable (Parenthetical) (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2015 | Sep. 30, 2015 | |
Debt Disclosure [Abstract] | ||
Amortization of commitment fees and issuance costs | $ 562,000 | $ 915,000 |
Asset-Backed Secured Financi132
Asset-Backed Secured Financing of a 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 | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
During the period: | ||||
Weighted-average fair value | $ 170,262 | $ 168,923 | $ 165,024 | $ 168,186 |
Interest expense | $ 1,787 | $ 1,584 | $ 4,671 | $ 4,762 |
Weighted-average effective interest rate | 3.30% | 3.67% | 3.35% | 3.73% |
At period end: | ||||
Fair value | $ 234,287 | $ 166,841 | $ 234,287 | $ 166,841 |
Interest rate | 3.50% | 3.50% |
Exchangeable Senior Notes - Add
Exchangeable Senior Notes - Additional Information (Detail) - Exchangeable Senior Notes due May 1, 2020 [Member] | 9 Months Ended |
Sep. 30, 2015USD ($)$ / shares | |
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 | 33.6567 |
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] | |
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 | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 | |
During the period: | |||||
Weighted-average unpaid principal balance | $ 250,000 | $ 250,000 | $ 250,000 | $ 250,000 | |
Interest expense | 3,605 | 3,592 | 10,803 | 10,763 | |
At period end: | |||||
Amount outstanding | 250,000 | 250,000 | 250,000 | 250,000 | |
Unamortized issuance costs | (5,195) | (6,156) | (5,195) | (6,156) | |
Exchangeable senior notes | $ 244,805 | $ 243,844 | $ 244,805 | $ 243,844 | $ 244,079 |
Exchangeable Senior Notes - 135
Exchangeable Senior Notes - Summary of Financial Information Relating to Exchangeable Notes (Parenthetical) (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Debt Instrument [Line Items] | ||||
Amortization of debt issuance costs | $ 562,000,000 | $ 915,000,000 | ||
Interest Expense [Member] | ||||
Debt Instrument [Line Items] | ||||
Amortization of debt issuance costs | $ 245,000 | $ 232,000 | $ 726,000 | $ 685,000 |
Borrowings under Forward Pur136
Borrowings under Forward Purchase Agreements - Additional Information (Detail) - USD ($) | Sep. 30, 2015 | Sep. 30, 2014 |
Forward purchase agreements [Member] | ||
Debt Instrument [Line Items] | ||
Borrowings | $ 0 | $ 0 |
Borrowings under Forward Pur137
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 | 9 Months Ended | |
Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2015 | |
During the period: | |||
Weighted-average effective interest rate | 0.00% | 2.84% | |
Weighted-average balance | $ 0 | $ 109,708,000 | |
Interest expense | 0 | 2,364,000 | |
Maximum daily amount outstanding | 0 | 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 R138
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 | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Mortgage Banking [Abstract] | ||||
Balance, beginning of period | $ 16,714 | $ 11,876 | $ 14,242 | $ 10,110 |
Provision for losses | 1,833 | 1,359 | 4,177 | 3,125 |
Losses incurred | (74) | 0 | (176) | 0 |
Recoveries | 0 | 0 | 230 | 0 |
Balance, end of period | 18,473 | 13,235 | 18,473 | 13,235 |
Unpaid principal balance of mortgage loans subject to representations and warranties at period end | $ 39,730,788 | $ 32,129,635 | $ 39,730,788 | $ 32,129,635 |
Commitments and Contingencies -
Commitments and Contingencies - Company's Outstanding Contractual Loan Commitments (Detail) $ in Thousands | Sep. 30, 2015USD ($) |
Commitments to purchase mortgage loans: | |
Mortgage loans acquired for sale at fair value | $ 1,163,415 |
Shareholders' Equity - Addition
Shareholders' Equity - Additional Information (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2015 | Sep. 30, 2014 | Aug. 19, 2015 | |
Schedule of Capitalization, Equity [Line Items] | ||||
Number of common stock shares Repurchased during period | 1,000,000 | 1,000,000 | ||
Value of common stock shares Repurchased during period | $ 16,000,000 | $ 15,955,000 | ||
Number of common shares sold under Sales Agreement | 3,447,022 | |||
Proceeds from public offering of common shares | $ 81,600,000 | |||
Sales commissions net | $ 0 | 1,052,000 | ||
ATM Equity Offering Sales AgreementSM [Member] | ||||
Schedule of Capitalization, Equity [Line Items] | ||||
Number of common shares sold under Sales Agreement | 0 | 0 | ||
Sales commissions net | $ 899,000 | |||
Amount of common stock available for future issuance under Sales Agreement | $ 106,900,000 | $ 106,900,000 | ||
Weighted Average [Member] | ||||
Schedule of Capitalization, Equity [Line Items] | ||||
Price of common shares sold under sales agreement | $ 23.92 | |||
Maximum [Member] | ||||
Schedule of Capitalization, Equity [Line Items] | ||||
Common stock shares Repurchase authorized amount | $ 150,000,000 |
Net Interest Income - Summary o
Net Interest Income - Summary of Net Interest Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Interest income: | ||||
Interest income, total | $ 61,438 | $ 41,236 | $ 147,456 | $ 129,100 |
Interest expense: | ||||
Assets sold under agreements to repurchase | 21,350 | 15,814 | 60,470 | 43,496 |
Notes payable | 2,375 | 3,369 | ||
Exchangeable senior notes | 3,605 | 3,592 | 10,803 | 10,763 |
Interest expense, total | 37,760 | 22,020 | 93,245 | 63,660 |
Net interest income | 23,678 | 19,216 | 54,211 | 65,440 |
Nonaffiliates [Member] | ||||
Interest income: | ||||
Short-term investments | 115 | 138 | 417 | 462 |
Mortgage-backed securities | 2,614 | 1,935 | 7,752 | 5,657 |
Mortgage loans acquired for sale at fair value | 20,704 | 7,712 | 38,120 | 16,911 |
Mortgage loans at fair value | 24,364 | 22,401 | 68,089 | 76,502 |
Mortgage loans under forward purchase agreements | 0 | 0 | 0 | 3,584 |
Other | 17 | 16 | 42 | 38 |
Interest income, total | 53,412 | 37,659 | 129,860 | 119,522 |
Interest expense: | ||||
Assets sold under agreements to repurchase | 21,350 | 15,814 | 60,470 | 43,496 |
Federal Home Loan Bank advances | 117 | 0 | 119 | 0 |
Mortgage loans participation and sale agreement | 226 | 0 | 699 | 0 |
Credit risk transfer financing | 5,799 | 0 | 6,912 | 0 |
Notes payable | 2,375 | 0 | 3,369 | 0 |
Asset-backed secured financing of a variable interest entity at fair value | 1,787 | 1,584 | 4,671 | 4,762 |
Exchangeable senior notes | 3,605 | 3,592 | 10,803 | 10,763 |
Borrowings under forward purchase agreements | 0 | 0 | 0 | 2,363 |
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations | 849 | 581 | 3,313 | 1,281 |
Interest on mortgage loan impound deposits | 363 | 449 | 1,067 | 995 |
Interest expense, total | 36,471 | 22,020 | 91,423 | 63,660 |
Nonaffiliates [Member] | Consolidated VIE [Member] | ||||
Interest income: | ||||
Mortgage loans at fair value | 5,598 | 5,457 | 15,440 | 16,368 |
PennyMac Financial Services, Inc. [Member] | ||||
Interest income: | ||||
Interest income, total | 8,026 | 3,577 | 17,596 | 9,578 |
Excess servicing spread purchased from PFSI, at fair value | 8,026 | 3,577 | 17,596 | 9,578 |
Interest expense: | ||||
Notes payable | 1,289 | 0 | 1,822 | 0 |
Interest expense, total | $ 1,289 | $ 0 | $ 1,822 | $ 0 |
Net Gain on Mortgage Loans A142
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 | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Cash (loss) gain: | ||||
Loans | $ 4,579 | $ (15,473) | $ (54,183) | $ (21,540) |
Hedging activities | (33,268) | (12,706) | (27,082) | (35,004) |
Cash gain, net of effects of cash hedging, on sale of mortgage loans acquired for sale | (28,689) | (28,179) | (81,265) | (56,544) |
Non cash gain: | ||||
Receipt of MSRs in loan sale transactions | 52,814 | 39,614 | 112,450 | 89,230 |
Provision for losses relating to representations and warranties provided in loan sales | (1,833) | (1,359) | (4,177) | (3,125) |
Change in fair value of financial instruments issued and held at period end: | ||||
IRLCs | 9,073 | (5,697) | 3,146 | 4,140 |
Mortgage loans | (17,097) | (3,073) | 1,181 | 5,000 |
Hedging derivatives | (384) | 8,203 | 3,884 | (8,999) |
Total non cash portion of gain on mortgage loans acquired for sale | (8,408) | (567) | 8,211 | 141 |
Net gain on mortgage loans acquired for sale | $ 13,884 | $ 9,509 | $ 35,219 | $ 29,702 |
Net Gain on Investments - Summa
Net Gain on Investments - Summary of Net Gain on Investments (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Net gain (loss) on investments: | ||||
Net gain (loss) on investments | $ 24,958 | $ 70,390 | $ 51,019 | $ 186,109 |
Nonaffiliates [Member] | ||||
Net gain (loss) on investments: | ||||
Mortgage-backed securities | 3,564 | (821) | (1,622) | 6,096 |
Mortgage loans | 31,909 | 81,296 | 79,163 | 194,808 |
Mortgage loans held in a VIE | 7,421 | (2,578) | (2,856) | 24,906 |
Net derivatives related to CRT Agreements | 626 | 0 | 626 | 0 |
Asset-backed secured financing | (3,941) | 696 | (719) | (7,258) |
Hedging derivatives | (6,777) | (807) | (18,071) | (14,609) |
Net gain (loss) on investments | 32,802 | 77,786 | 56,521 | 203,943 |
PennyMac Financial Services, Inc. [Member] | ||||
Net gain (loss) on investments: | ||||
Net gain (loss) on investments | (7,844) | (7,396) | (5,502) | (17,834) |
Excess servicing spread purchased from PFSI | $ (7,844) | $ (7,396) | $ (5,502) | $ (17,834) |
Net Loan Servicing Fees - Summa
Net Loan Servicing Fees - Summary of Net Loan Servicing Fees (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Components of Net Servicing Fee Income [Line Items] | ||||
Servicing fees | $ 25,500 | $ 20,300 | $ 74,016 | $ 56,988 |
MSR recapture fee receivable from PFSI | 670 | 0 | 670 | 9 |
Effect of MSRs: | ||||
Carried at lower of amortized cost or fair value Amortization | (11,333) | (8,109) | (30,913) | (23,170) |
(Provision for) reversal of impairment | (7,845) | 602 | (7,142) | (2,249) |
Gain on sale | 4 | 0 | 87 | 0 |
Carried at fair value-change in fair value | (5,266) | (1,606) | (8,776) | (8,398) |
Total Effect of MSRs | (5,379) | (9,767) | (32,876) | (30,285) |
Net loan servicing fees | 20,791 | 10,533 | 41,810 | 26,712 |
Average servicing portfolio | 38,172,371 | 30,701,324 | 36,446,663 | 28,597,033 |
Mortgage service rights [Member] | ||||
Effect of MSRs: | ||||
Gains (losses) on hedging derivatives | $ 19,061 | $ (654) | $ 13,868 | $ 3,532 |
Share-Based Compensation Plans
Share-Based Compensation Plans - Additional Information (Detail) - Restricted share units [Member] - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Share-based share compensation plan, and compensation expense | $ 1.3 | $ 1.6 | $ 5 | $ 5.7 |
Restricted share units granted | 0 | 0 | 294,684 | 300,131 |
Restricted share units, grant date fair value | $ 6.3 | $ 6 | ||
Units vested | 0 | 500 | 301,763 | 230,716 |
Other Expenses - Summary of Oth
Other Expenses - Summary of Other Expenses (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | $ 7,327 | $ 7,384 | $ 22,006 | $ 18,604 |
Loan origination [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | 1,367 | 1,202 | 3,496 | 1,637 |
Common overhead allocation from PFSI [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | 2,550 | 2,802 | 7,487 | 8,018 |
Servicing and collection costs [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | 1,853 | 2,064 | 6,480 | 5,809 |
Insurance [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | 309 | 247 | 984 | 738 |
Technology [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | 307 | 246 | 910 | 720 |
Other [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | $ 941 | $ 823 | $ 2,649 | $ 1,682 |
Other Expenses - Summary of 147
Other Expenses - Summary of Other Expenses (Parenthetical) (Detail) - USD ($) | 3 Months Ended | 9 Months Ended |
Sep. 30, 2015 | Sep. 30, 2015 | |
PNMAC Capital Management LLC [Member] | ||
Other Non operating Income Expense [Line Items] | ||
Waiver of overhead expenses | $ 900,000 | $ 1,600,000 |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Detail) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Income Tax Disclosure [Abstract] | ||||
Effective income tax rate | 14.00% | 5.10% | (12.10%) | (0.30%) |
Segments and Related Informa149
Segments and Related Information - Additional Information (Detail) | 9 Months Ended |
Sep. 30, 2015Segment | |
Segment Reporting [Abstract] | |
Number of business segments | 2 |
Segments and Related Informa150
Segments and Related Information - Financial Highlights by Operating Segment (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 | |
Net investment income: | |||||
Interest income | $ 61,438 | $ 41,236 | $ 147,456 | $ 129,100 | |
Interest expense | (37,760) | (22,020) | (93,245) | (63,660) | |
Net interest income | 23,678 | 19,216 | 54,211 | 65,440 | |
Net gain on mortgage loans acquired for sale | 13,884 | 9,509 | 35,219 | 29,702 | |
Net gain on investments | 24,958 | 70,390 | 51,019 | 186,109 | |
Net loan servicing fees | 20,791 | 10,533 | 41,810 | 26,712 | |
Other income (loss) | 7,463 | (3,118) | 15,937 | (4,282) | |
Net investment income | 90,774 | 106,530 | 198,196 | 303,681 | |
Expenses: | |||||
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc. | 35,031 | 37,445 | 98,818 | 104,537 | |
Other | 10,636 | 11,154 | 33,003 | 31,620 | |
Total expenses | 45,667 | 48,599 | 131,821 | 136,157 | |
Pre-tax income | 45,107 | 57,931 | 66,375 | 167,524 | |
Total assets at period end | 5,592,231 | 4,604,813 | 5,592,231 | 4,604,813 | $ 4,897,258 |
Operating segments [Member] | Correspondent production [Member] | |||||
Net investment income: | |||||
Interest income | 13,748 | 7,727 | 29,858 | 16,948 | |
Interest expense | (6,370) | (3,660) | (14,953) | (12,196) | |
Net interest income | 7,378 | 4,067 | 14,905 | 4,752 | |
Net gain on mortgage loans acquired for sale | 13,884 | 9,509 | 35,219 | 29,702 | |
Net gain on investments | 0 | 0 | 0 | 0 | |
Net loan servicing fees | 0 | 0 | 0 | 0 | |
Other income (loss) | 9,154 | 6,524 | 21,857 | 13,365 | |
Net investment income | 30,416 | 20,100 | 71,981 | 47,819 | |
Expenses: | |||||
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc. | 18,367 | 15,900 | 47,313 | 37,701 | |
Other | 1,876 | 1,410 | 4,803 | 2,248 | |
Total expenses | 20,243 | 17,310 | 52,116 | 39,949 | |
Pre-tax income | 10,173 | 2,790 | 19,865 | 7,870 | |
Total assets at period end | 1,073,070 | 708,442 | 1,073,070 | 708,442 | |
Operating segments [Member] | Investment activities [Member] | |||||
Net investment income: | |||||
Interest income | 47,690 | 33,509 | 117,598 | 114,540 | |
Interest expense | (31,390) | (18,360) | (78,292) | (53,852) | |
Net interest income | 16,300 | 15,149 | 39,306 | 60,688 | |
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 | |
Net gain on investments | 24,958 | 70,390 | 51,019 | 186,109 | |
Net loan servicing fees | 20,791 | 10,533 | 41,810 | 26,712 | |
Other income (loss) | (1,691) | (9,642) | (5,920) | (17,647) | |
Net investment income | 60,358 | 86,430 | 126,215 | 255,862 | |
Expenses: | |||||
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc. | 16,664 | 21,545 | 51,505 | 66,836 | |
Other | 8,760 | 9,744 | 28,200 | 29,372 | |
Total expenses | 25,424 | 31,289 | 79,705 | 96,208 | |
Pre-tax income | 34,934 | 55,141 | 46,510 | 159,654 | |
Total assets at period end | 4,519,161 | 3,896,371 | 4,519,161 | 3,896,371 | |
Intersegment elimination & other [Member] | |||||
Net investment income: | |||||
Interest income | 0 | 0 | 0 | (2,388) | |
Interest expense | 0 | 0 | 0 | 2,388 | |
Net interest income | 0 | 0 | 0 | 0 | |
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 | |
Net gain on investments | 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 Infor151
Supplemental Cash Flow Information - Summary of Supplemental Cash Flow Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Additional Cash Flow Elements and Supplemental Cash Flow Information [Abstract] | ||||
Cash paid for interest | $ 85,876 | $ 68,443 | ||
Income tax paid (refund) | 700 | (6,782) | ||
Non-cash investing activities: | ||||
Transfer of mortgage loans and advances to real estate acquired in settlement of loans | $ 82,405 | $ 94,530 | 240,483 | 268,677 |
Purchase of mortgage loans financed through forward purchase agreements | 0 | 2,828 | ||
Transfer of mortgage loans under forward purchase agreements to mortgage loans at fair value | 0 | 205,902 | ||
Transfer of mortgage loans under forward purchase agreements and advances to REO under forward purchase agreements | 0 | 0 | 9,369 | |
Receipt of MSRs as proceeds from sales of loans | 52,814 | 39,614 | 112,450 | 89,230 |
Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment | 4,440 | 0 | ||
Receipt of ESS pursuant to recapture agreement with PFSI | 4,833 | 6,093 | ||
Transfer of REO under forward purchase agreements to REO | 0 | 0 | 0 | 12,737 |
Non-cash financing activities: | ||||
Purchase of mortgage loans financed through forward purchase agreements | 0 | 2,828 | ||
Transfer of mortgage loans at fair value financed through agreements to repurchase to REO financed under agreements to repurchase | 58,923 | 3,491 | ||
Dividends payable | $ 35,019 | $ 45,467 | $ 35,019 | $ 45,467 |
Regulatory Net Worth - Addition
Regulatory Net Worth - Additional Information (Detail) | Sep. 30, 2015USD ($) |
Fannie Mae Capital Markets [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Minimum net worth amount | $ 75,900,000 |
Freddie Mac Capital Markets [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Minimum net worth amount | $ 39,400,000 |
Recently Issued Accounting P153
Recently Issued Accounting Pronouncements - Additional Information (Detail) - ASU 2015-03 [Member] - Reclassification [Member] | 9 Months Ended |
Sep. 30, 2015USD ($) | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Debt issuance costs | $ 7,000,000 |
Mortgage loans sold under agreements to repurchase [Member] | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Debt issuance costs | 1,700,000 |
Mortgage Loan Participation and Sale Agreement [Member] | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Debt issuance costs | 16,000 |
Notes payable [Member] | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Debt issuance costs | 82,000 |
Exchangeable senior notes [Member] | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Debt issuance costs | $ 5,200,000 |
Subsequent Events - Additional
Subsequent Events - Additional Information (Detail) | Oct. 22, 2015USD ($) | Sep. 30, 2015USD ($) | Oct. 16, 2015USD ($) |
PennyMac Holdings, LLC [Member] | |||
Subsequent Event [Line Items] | |||
Minimum adjusted tangible net worth required | $ 250,000,000 | ||
PennyMac Corp. [Member] | |||
Subsequent Event [Line Items] | |||
Minimum adjusted tangible net worth required | $ 150,000,000 | ||
Amended Loan Repo Facility and NPL Repurchase Agreement [Member] | |||
Subsequent Event [Line Items] | |||
Repurchase agreement, covenants description | The Repurchase Agreements together require the Company to maintain various financial and other covenants, which include maintaining (i) a minimum adjusted tangible net worth at all times greater than or equal to $830 million; (ii) a minimum in unrestricted cash and cash equivalents among the Company and its subsidiaries at all times equal to or greater than $40 million; (iii) a ratio of total liabilities to adjusted tangible net worth at all times less than 5:1; and (iv) profitability of at least $1.00 for at least one (1) of the previous two (2) consecutive fiscal quarters, as of the end of each fiscal quarter. | ||
Amended Loan Repo Facility and NPL Repurchase Agreement [Member] | PennyMac Corp. and PennyMac Holdings, LLC [Member] | |||
Subsequent Event [Line Items] | |||
Repurchase agreement, covenants description | The Repurchase Agreements together also require PMH and PMC to maintain various financial and other covenants, which include maintaining (i) a minimum adjusted tangible net worth at all times greater than or equal to $220 million for PMH and $140 million for PMC; (ii) a minimum in unrestricted cash and cash equivalents between PMH and PMC at all times greater than or equal to $25 million in the aggregate; and (iii) a ratio of total liabilities to adjusted tangible net worth at all times less than 10:1 for each of PMH and PMC. | ||
Amended Loan Repo Facility and NPL Repurchase Agreement [Member] | Penny Mac Loan Services LLC [Member] | |||
Subsequent Event [Line Items] | |||
Repurchase agreement, covenants description | The Repurchase Agreements together also require PLS to maintain various financial and other covenants, which include maintaining (i) a minimum adjusted tangible net worth at all times greater than or equal to $170 million; (ii) a minimum in unrestricted cash and cash equivalents at all times greater than or equal to $20 million; (iii) a ratio of total liabilities to adjusted tangible net worth at all times less than 10:1; and (iv) profitability of at least $1.00 for each fiscal quarter. | ||
Subsequent Event [Member] | Amended Loan Repo Facility and NPL Repurchase Agreement [Member] | |||
Subsequent Event [Line Items] | |||
Minimum adjusted tangible net worth required | $ 830,000,000 | ||
Unrestricted cash and cash equivalents required | $ 40,000,000 | ||
Total liabilities to adjusted tangible net worth ratio | 5 | ||
Minimum profitability for each fiscal quarter | $ 1 | ||
Subsequent Event [Member] | Amended Loan Repo Facility and NPL Repurchase Agreement [Member] | PennyMac Corp. and PennyMac Holdings, LLC [Member] | |||
Subsequent Event [Line Items] | |||
Date of amendments to repurchase agreement | Oct. 22, 2015 | ||
Repurchase agreements maturity date | Oct. 20, 2016 | ||
Repurchase agreement, amount committed | $ 925,000,000 | ||
Subsequent Event [Member] | Amended Loan Repo Facility and NPL Repurchase Agreement [Member] | PennyMac Corp. and PennyMac Holdings, LLC [Member] | Maximum [Member] | |||
Subsequent Event [Line Items] | |||
Repurchase agreement, aggregate purchase price | 1,075,000,000 | ||
Subsequent Event [Member] | Amended Loan Repo Facility and NPL Repurchase Agreement [Member] | PennyMac Holdings, LLC [Member] | |||
Subsequent Event [Line Items] | |||
Minimum adjusted tangible net worth required | 220,000,000 | ||
Unrestricted cash and cash equivalents required | $ 25,000,000 | ||
Total liabilities to adjusted tangible net worth ratio | 10 | ||
Subsequent Event [Member] | Amended Loan Repo Facility and NPL Repurchase Agreement [Member] | PennyMac Corp. [Member] | |||
Subsequent Event [Line Items] | |||
Minimum adjusted tangible net worth required | $ 140,000,000 | ||
Unrestricted cash and cash equivalents required | $ 25,000,000 | ||
Total liabilities to adjusted tangible net worth ratio | 10 | ||
Subsequent Event [Member] | Amended Loan Repo Facility and NPL Repurchase Agreement [Member] | Penny Mac Loan Services LLC [Member] | |||
Subsequent Event [Line Items] | |||
Minimum adjusted tangible net worth required | $ 170,000,000 | ||
Unrestricted cash and cash equivalents required | $ 20,000,000 | ||
Total liabilities to adjusted tangible net worth ratio | 10 | ||
Minimum profitability for each fiscal quarter | $ 1 | ||
Subsequent Event [Member] | Jumbo Mortgage Loan Financing [Member] | |||
Subsequent Event [Line Items] | |||
Certificates issued | $ 25,300,000 | ||
Certificates retained | $ 213,500,000 |