Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2016 | May. 04, 2016 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Mar. 31, 2016 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q1 | |
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 | 68,587,094 |
Consolidated Balance Sheets (Un
Consolidated Balance Sheets (Unaudited) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
ASSETS | ||
Cash | $ 66,972 | $ 58,108 |
Short-term investments | 47,500 | 41,865 |
Mortgage-backed securities at fair value pledged to creditors | 364,439 | 322,473 |
Mortgage loans acquired for sale at fair value (includes $1,310,418 and $1,268,455 pledged to creditors, respectively) | 1,339,633 | 1,283,795 |
Mortgage loans at fair value | 2,496,778 | 2,555,788 |
Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value pledged to secure note payable to PennyMac Financial Services, Inc. | 321,976 | 412,425 |
Derivative assets | 18,462 | 10,085 |
Real estate acquired in settlement of loans (includes $257,294 and $283,343 pledged to creditors, respectively) | 327,212 | 341,846 |
Other assets | ||
Restricted cash | 180,992 | |
Real estate held for investment | 12,758 | 8,796 |
Mortgage servicing rights pledged to creditors (includes $61,071 and $66,584 carried at fair value, respectively) | 455,097 | 459,741 |
Servicing advances | 76,881 | 88,010 |
Due from PennyMac Financial Services, Inc. | 6,531 | 8,806 |
Other (includes restricted cash of $180,992 pledged to creditors at March 31, 2016) | 286,201 | 235,186 |
Total assets | 5,820,440 | 5,826,924 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 3,245,014 | 3,128,780 |
Mortgage loan participation and sale agreements | 62,400 | 0 |
Federal Home Loan Bank advances | 0 | 183,000 |
Notes payable | 206,191 | 236,015 |
Asset-backed financing at fair value | 344,693 | 247,690 |
Exchangeable senior notes | 245,307 | 245,054 |
Interest-only security payable at fair value | 675 | 0 |
Derivative liabilities | 13,488 | 3,157 |
Accounts payable and accrued liabilities | 71,932 | 64,474 |
Due to PennyMac Financial Services, Inc. | 17,647 | 18,965 |
Income taxes payable | 29,878 | 33,505 |
Liability for losses under representations and warranties | 18,712 | 20,171 |
Total liabilities | 4,405,937 | 4,330,811 |
SHAREHOLDERS' EQUITY | ||
Common shares of beneficial interest-authorized, 500,000,000 common shares of $0.01 par value; issued and outstanding, 68,687,094 and 73,767,435 common shares | 687 | 738 |
Additional paid-in capital | 1,406,350 | 1,469,722 |
Retained earnings | 7,466 | 25,653 |
Total shareholders' equity | 1,414,503 | 1,496,113 |
Total liabilities and shareholders' equity | 5,820,440 | 5,826,924 |
Variable Interest Entities [Member] | ||
ASSETS | ||
Mortgage loans at fair value | 449,215 | 455,394 |
Derivative assets | 0 | 593 |
Other assets | ||
Interest receivable | 1,407 | 1,447 |
Restricted cash | 213,536 | 147,000 |
Total assets of Consolidated Variable Interest Entity | 664,158 | 604,434 |
LIABILITIES | ||
Asset-backed financing at fair value | 344,693 | 247,690 |
Interest-only security payable at fair value | 675 | 0 |
Derivative liabilities | 4,218 | 0 |
Accounts payable and accrued liabilities-interest payable | 990 | 724 |
SHAREHOLDERS' EQUITY | ||
Total liabilities of Consolidated Variable Interest Entity | 350,576 | 248,414 |
PennyMac Financial Services, Inc. [Member] | ||
Other assets | ||
Due from PennyMac Financial Services, Inc. | 6,531 | 8,806 |
LIABILITIES | ||
Notes payable | 150,000 | 150,000 |
Due to PennyMac Financial Services, Inc. | $ 17,647 | $ 18,965 |
Consolidated Balance Sheets (U3
Consolidated Balance Sheets (Unaudited) (Parenthetical) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Mortgage loans acquired for sale at fair value, pledged to creditors | $ 1,310,418 | $ 1,268,455 |
Mortgage loans at fair value, pledged to creditors | 2,014,446 | 2,201,513 |
Mortgage servicing rights at fair value | 61,071 | $ 66,584 |
Restricted cash | $ 180,992 | |
Common shares, authorized | 500,000,000 | 500,000,000 |
Common shares, par value | $ 0.01 | $ 0.01 |
Common shares, issued | 68,687,094 | 73,767,435 |
Common shares, outstanding | 68,687,094 | 73,767,435 |
Real Estate Acquired in Satisfaction of Debt [Member] | ||
Real estate pledged to creditors | $ 257,294 | $ 283,343 |
Consolidated Statements of Inco
Consolidated Statements of Income (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Net investment income | ||
Interest income | $ 54,366 | $ 40,685 |
Interest expense | ||
Interest expense | 32,004 | 25,746 |
Net interest income | 22,362 | 14,939 |
Net gain on mortgage loans acquired for sale | 15,049 | 10,160 |
Mortgage loan origination fees | 6,901 | 5,287 |
Net (loss) gain on investments | (3,898) | 3,447 |
Net mortgage loan servicing fees | 15,554 | 8,001 |
Results of real estate acquired in settlement of loans | (6,036) | (5,832) |
Other | 2,284 | 1,655 |
Net investment income | 52,216 | 37,657 |
Expenses | ||
Mortgage loan fulfillment fees | 12,935 | 12,866 |
Mortgage loan servicing fees | 11,453 | 10,670 |
Management fees | 5,352 | 7,003 |
Professional services | 2,293 | 1,828 |
Mortgage loan collection and liquidation | 2,214 | 1,445 |
Compensation | 1,289 | 2,808 |
Other | 5,636 | 4,857 |
Total expenses | 41,172 | 41,477 |
Income (loss) before benefit from income taxes | 11,044 | (3,820) |
Benefit from income taxes | (3,452) | (11,328) |
Net income | $ 14,496 | $ 7,508 |
Earnings per share | ||
Basic | $ 0.20 | $ 0.09 |
Diluted | $ 0.20 | $ 0.09 |
Weighted-average shares outstanding | ||
Basic | 71,884 | 74,528 |
Diluted | 71,884 | 74,956 |
Dividends declared per share | $ 0.47 | $ 0.61 |
Nonaffiliates [Member] | ||
Net investment income | ||
Interest income | $ 47,351 | $ 36,933 |
Interest expense | ||
Interest expense | 30,402 | 25,746 |
Net (loss) gain on investments | 13,729 | 9,694 |
PennyMac Financial Services, Inc. [Member] | ||
Net investment income | ||
Interest income | 7,015 | 3,752 |
Interest expense | ||
Interest expense | 1,602 | 0 |
Net (loss) gain on investments | $ (17,627) | $ (6,247) |
Consolidated Statements of Chan
Consolidated Statements of Changes in Shareholders' Equity (Unaudited) - USD ($) shares in Thousands, $ in Thousands | Total | Common Shares [Member] | Additional Paid-in Capital [Member] | Retained Earnings [Member] |
Balance, Amount at Dec. 31, 2014 | $ 1,578,172 | $ 745 | $ 1,479,699 | $ 97,728 |
Balance, Shares at Dec. 31, 2014 | 74,510 | |||
Net income | 7,508 | $ 0 | 0 | 7,508 |
Share-based compensation, Amount | 2,544 | $ 1 | 2,543 | 0 |
Share-based compensation, Shares | 75 | |||
Common share dividends | (46,073) | $ 0 | 0 | (46,073) |
Issuance of common shares, Amount | $ 8 | $ 0 | $ 8 | $ 0 |
Issuance of common shares, Shares | 0 | 0 | 0 | 0 |
Balance, Amount at Mar. 31, 2015 | $ 1,542,159 | $ 746 | $ 1,482,250 | $ 59,163 |
Balance, Shares at Mar. 31, 2015 | 74,585 | |||
Balance, Amount at Dec. 31, 2014 | 1,578,172 | $ 745 | 1,479,699 | 97,728 |
Balance, Shares at Dec. 31, 2014 | 74,510 | |||
Repurchase of common shares, Amount | $ (80,800) | |||
Repurchase of common shares, Shares | (6,200) | |||
Balance, Amount at Dec. 31, 2015 | $ 1,496,113 | $ 738 | 1,469,722 | 25,653 |
Balance, Shares at Dec. 31, 2015 | 73,767 | |||
Net income | 14,496 | $ 0 | 0 | 14,496 |
Share-based compensation, Amount | 1,048 | $ 1 | 1,047 | 0 |
Share-based compensation, Shares | 76 | |||
Common share dividends | (32,683) | $ 0 | 0 | (32,683) |
Repurchase of common shares, Amount | $ (64,471) | $ (52) | (64,419) | 0 |
Repurchase of common shares, Shares | (5,200) | (5,156) | ||
Balance, Amount at Mar. 31, 2016 | $ 1,414,503 | $ 687 | $ 1,406,350 | $ 7,466 |
Balance, Shares at Mar. 31, 2016 | 68,687 |
Consolidated Statements of Cha6
Consolidated Statements of Changes in Shareholders' Equity (Unaudited) (Parenthetical) - $ / shares | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Common share dividends declared per share | $ 0.47 | $ 0.61 |
Retained Earnings [Member] | ||
Common share dividends declared per share | $ 0.47 | $ 0.61 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Cash flows from operating activities | ||
Net income | $ 14,496 | $ 7,508 |
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 financing of a variable interest entity | (6,060) | (402) |
Capitalization of interest on mortgage loans at fair value | (23,294) | (10,209) |
Capitalization of interest on excess servicing spread | (7,015) | (3,752) |
Amortization of debt issuance costs | 3,201 | 2,581 |
Net gain on mortgage loans acquired for sale | (15,049) | (10,160) |
Net loss (gain) on investments | 3,898 | (3,447) |
Change in fair value, amortization and impairment of mortgage servicing rights | 13,448 | 14,628 |
Results of real estate acquired in settlement of loans | 6,036 | 5,832 |
Share-based compensation expense | 1,048 | 2,544 |
Purchase of mortgage loans acquired for sale at fair value from nonaffiliates | (10,149,221) | (8,366,569) |
Purchase of mortgage loans acquired for sale at fair value from PennyMac Financial Services, Inc. | (4,715) | (8,405) |
Repurchase of mortgage loans subject to representation and warranties | (3,844) | (7,708) |
Sale and repayment of mortgage loans acquired for sale at fair value to nonaffiliates | 3,233,779 | 2,644,244 |
Sale of mortgage loans acquired for sale to PennyMac Financial Services, Inc. | 6,853,542 | 4,990,358 |
Decrease (increase) in servicing advances | 9,080 | (5,804) |
Decrease in due from PennyMac Financial Services, Inc. | 2,186 | 886 |
Decrease in other assets | 24,088 | 7,164 |
Increase in accounts payable and accrued liabilities | 9,771 | 4,163 |
Decrease in payable to PennyMac Financial Services, Inc. | (1,318) | (5,067) |
Decrease in income taxes payable | (3,627) | (11,514) |
Net cash used in operating activities | (39,570) | (753,129) |
Cash flows from investing activities | ||
Net (increase) decrease in short-term investments | (5,635) | 94,951 |
Purchase of mortgage-backed securities at fair value | (50,702) | (25,129) |
Sale and repayment of mortgage-backed securities at fair value | 13,848 | 17,802 |
Purchase of mortgage loans at fair value | 0 | (241,981) |
Sale and repayment of mortgage loans at fair value | 47,865 | 59,596 |
Purchase of excess servicing spread from PennyMac Financial Services, Inc. | 0 | (46,412) |
Repayment of excess servicing spread by PennyMac Financial Services, Inc. | 20,881 | 12,731 |
Sale of excess servicing spread to PennyMac Financial Services, Inc. | 59,045 | 0 |
Net settlement of derivative financial instruments | (2) | (13,466) |
Sale of real estate acquired in settlement of loans | 64,908 | 65,976 |
Purchase of mortgage servicing rights | (2,602) | 0 |
Sale of mortgage servicing rights | 0 | 376 |
Deposit of cash collateral securing credit risk transfer agreements | (66,706) | 0 |
Distribution from credit risk transfer agreements | 2,706 | 0 |
Decrease (increase) in margin deposits and restricted cash | 2,368 | (15,792) |
Purchase of Federal Home Loan Bank capital stock | (225) | 0 |
Redemption of Federal Home Loan Bank capital stock | 7,320 | 0 |
Net cash provided by (used in) investing activities | 93,069 | (91,348) |
Cash flows from financing activities | ||
Sale of assets under agreements to repurchase | 11,058,933 | 9,744,632 |
Repurchase of assets sold under agreements to repurchase | (10,943,166) | (8,911,469) |
Sale of mortgage loan participation certificates | 1,567,101 | 1,014,727 |
Repayment of mortgage loan participation certificates | (1,504,700) | (963,134) |
Federal Home Loan Bank advances | 28,000 | 0 |
Repayment of Federal Home Loan Bank advances | (211,000) | 0 |
Advance under notes payable | 17,057 | 0 |
Repayment under notes payable | (46,936) | 0 |
Issuance of asset-backed financing of a variable interest entity at fair value | 100,301 | 0 |
Repayment of asset-backed financing of a variable interest entity at fair value | (8,334) | (4,641) |
Payment of debt issuance costs | (2,427) | 0 |
Issuance of common shares | 0 | 8 |
Repurchase of common shares | (64,471) | 0 |
Payment of contingent underwriting fees payable | 0 | (470) |
Payment of dividends | (34,993) | (45,894) |
Net cash (used in) provided by financing activities | (44,635) | 833,759 |
Net increase (decrease) in cash | 8,864 | (10,718) |
Cash at beginning of period | 58,108 | 76,386 |
Cash at end of period | $ 66,972 | $ 65,668 |
Organization and Basis of Prese
Organization and Basis of Presentation | 3 Months Ended |
Mar. 31, 2016 | |
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-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”), both indirect controlled 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 mortgage-backed securities (“MBS”), distressed mortgage loans, excess servicing spread (“ESS”), credit risk transfer agreements (“CRT Agreements”), real estate acquired in settlement of loans (“REO”), real estate held for investment, mortgage servicing rights (“MSRs”), and small balance commercial real estate loans. 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, 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. |
Concentration of Risks
Concentration of Risks | 3 Months Ended |
Mar. 31, 2016 | |
Risks and Uncertainties [Abstract] | |
Concentration of Risks | Note 2—Concentration of Risks As discussed in Note 1— Organization and Basis of Presentation Due to the nature of the Company’s investments, 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, 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 certain 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 inputs that properly anticipate, future outcomes; • the level of government support for resolution of certain mortgage loans 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., as presented in the following summary: March 31, December 31, (in thousands) Mortgage loans at fair value $ 845,154 $ 855,691 REO 76,316 88,088 $ 921,470 $ 943,779 Total carrying value of mortgage loans at fair value and REO $ 2,823,990 $ 2,897,634 |
Transactions with Related Parti
Transactions with Related Parties | 3 Months Ended |
Mar. 31, 2016 | |
Related Party Transactions [Abstract] | |
Transactions with Related Parties | Note 3—Transactions with Related Parties Operating Activities Correspondent Production Activities Following is a summary of correspondent production activity between the Company and PLS: Quarter ended March 31, 2016 2015 (in thousands) Fulfillment fees earned by PLS $ 12,935 $ 12,866 UPB of mortgage loans fulfilled by PLS $ 3,259,363 $ 2,890,132 Sourcing fees received from PLS included in Net gain on mortgage loans acquired for sale $ 1,950 $ 1,421 Unpaid principal balance (“UPB”) of mortgage loans sold to PLS $ 6,495,722 $ 4,735,374 Purchases of mortgage loans acquired for sale at fair value from PLS $ 4,715 $ 8,405 Tax service fee paid to PLS included in Other $ 1,007 $ 889 Mortgage banking and warehouse services fees paid to PLS $ 1 $ — March 31, December 31, 2015 (in thousands) Mortgage loans included in Mortgage loans acquired for sale at fair value $ 596,166 $ 669,288 Mortgage Loan Servicing Activities Following is a summary of mortgage loan servicing fees earned by PLS and MSR recapture income earned from PLS: Quarter ended March 31, 2016 2015 (in thousands) Mortgage loan servicing fees Mortgage loans acquired for sale at fair value: Base $ 56 $ 26 Activity-based 115 31 171 57 Mortgage loans at fair value: Distressed mortgage loans Base 3,359 4,032 Activity-based 3,449 2,894 6,808 6,926 Mortgage loans held in VIE: Base 41 30 Activity-based — — 41 30 MSRs: Base 4,344 3,626 Activity-based 89 31 4,433 3,657 $ 11,453 $ 10,670 MSR recapture income recognized included in Net mortgage loan servicing fees $ 130 $ — Average investment in: Mortgage loans acquired for sale at fair value $ 918,741 $ 756,646 Mortgage loans at fair value: Distressed mortgage loans $ 2,064,101 $ 2,309,282 Mortgage loans held in a VIE $ 454,538 $ 526,220 Average mortgage loan servicing portfolio $ 43,253,977 $ 34,599,043 Management Fees Following is a summary of the base management and performance incentive fees payable to PCM recorded by the Company: Quarter ended 2016 2015 (in thousands) Base $ 5,352 $ 5,730 Performance incentive — 1,273 $ 5,352 $ 7,003 Expense Reimbursement and Amounts Payable to and Receivable from PFSI 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 2016 2015 (in thousands) Reimbursement of: Common overhead incurred by PCM and its affiliates (1) $ 2,561 $ 2,729 Expenses incurred on the Company’s behalf 55 379 $ 2,616 $ 3,108 Payments and settlements during the year (2) $ 27,661 $ 22,752 (1) On December 15, 2015, the Operating Partnership amended its management agreement to provide that the total costs and expenses incurred by PFSI in any quarter and reimbursable by the Operating Partnership is capped at an amount equal to the product of (A) 70 basis points (0.0070), multiplied by (B) PMT’s shareholders’ equity (as defined in the management agreement) as of the last day of the month preceding quarter end, divided by four. (2) Payments and settlements include payments and netting settlements made pursuant to master netting agreements between the Company and PFSI for operating, investment and financing activities itemized in this Note. Amounts receivable and payable to PFSI are summarized below: March 31, December 31, 2016 2015 (in thousands) Receivable from PFSI MSR recapture receivable $ 691 $ 781 Other 5,840 8,025 $ 6,531 $ 8,806 Payable to PFSI Management fees $ 5,352 $ 5,670 Servicing fees 4,601 3,682 Correspondent production fees 2,898 2,729 Fulfillment fees 1,631 1,082 Allocated expenses 1,254 390 Conditional Reimbursement 900 900 Expenses paid by PFSI on PMT’s behalf 576 4,100 Interest on Note payable to PFSI 435 412 $ 17,647 $ 18,965 Investing Activities On February 29, 2016, the Company and PLS terminated that certain master spread acquisition and MSR servicing agreement that the parties entered into effective February 1, 2013 (the “2/1/13 Spread Acquisition Agreement”) and all amendments thereto. In connection with the termination of the 2/1/13 Spread Acquisition Agreement, PLS reacquired from the Company all of its right, title and interest in and to all of the Fannie Mae ESS previously sold by PLS to the Company under the 2/1/13 Spread Acquisition Agreement and then subject to such 2/1/13 Spread Acquisition Agreement. On February 29, 2016, PLS also reacquired from the Company all of its right, title and interest in and to all of the Freddie Mac ESS previously sold to the Company by PLS. During the quarter ended March 31, 2016, the amount of ESS sold by the Company to PLS under these reacquisitions was $59.0 million. Following is a summary of investing activities between the Company and PFSI: Quarter ended 2016 2015 (in thousands) ESS: Purchases $ — $ 46,412 Received pursuant to a recapture agreement $ 1,911 $ 1,246 Repayments and sales $ 79,926 $ 12,731 Interest income $ 7,015 $ 3,752 Net loss included in Net (loss) gain on investments Valuation changes $ (19,449 ) $ (7,536 ) Recapture income 1,822 1,289 $ (17,627 ) $ (6,247 ) Financing Activities PFSI held 75,000 of the Company’s common shares at both March 31, 2016 and December 31, 2015. Note Payable to PLS PLS is a party to a repurchase agreement between it and Credit Suisse First Boston Mortgage Capital LLC (“CSFB”) (the “MSR Repo”), pursuant to which PLS finances Ginnie Mae MSRs and servicing advance receivables and pledges to CSFB all of its rights and interests in any Ginnie Mae MSRs it owns or acquires, and a separate acknowledgement agreement with respect thereto, by and among Ginnie Mae, CSFB and PLS. In connection with the MSR Repo described above, the Company, through a wholly-owned subsidiary, entered into an underlying loan and security agreement with PLS, dated as of April 30, 2015, pursuant to which the Company may borrow up to $150 million from PLS for the purpose of financing its investment in ESS (the “Underlying LSA”). The principal amount of the borrowings under the Underlying LSA is based upon a percentage of the market value of the ESS pledged to PLS, subject to the $150 million sublimit described above. Pursuant to the Underlying LSA, the Company granted to PLS a security interest in all of its right, title and interest in, to and under the ESS pledged to secure the borrowings, and PLS, in turn, re-pledged such ESS to CSFB under the MSR Repo. The Company agreed with PLS in connection with the Underlying LSA that the Company is required to repay PLS the principal amount of borrowings plus accrued interest to the date of such repayment, and PLS, in turn, is required to repay CSFB the corresponding amount under the MSR Repo. Interest accrues on the Company’s note relating to the Underlying LSA at a rate based on CSFB’s cost of funds under the MSR Repo. The Company was also required to pay PLS a fee for the structuring of the Underlying LSA in an amount equal to the portion of the corresponding fee paid by PLS to CSFB allocable to $150 million relating to the ESS financing. Conditional Reimbursement and Contingent Underwriting Fees 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 (the “Conditional Reimbursement”). Also in connection with its IPO, the Company agreed to pay the IPO underwriters up to $5.9 million in contingent underwriting fees. Following is a summary of financing activities between the Company and PFSI: Quarter ended 2016 2015 (in thousands) Note payable—Interest expense $ 1,602 $ — Conditional Reimbursements paid to PCM $ — $ 157 |
Earnings Per Share
Earnings Per Share | 3 Months Ended |
Mar. 31, 2016 | |
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 2016 2015 (in thousands except Basic earnings per share: Net income $ 14,496 $ 7,508 Effect of participating securities—share-based compensation awards (412 ) (576 ) Net income attributable to common shareholders $ 14,084 $ 6,932 Diluted earnings per share: Net income attributable to common shareholders $ 14,084 $ 7,508 Effect of participating securities—share-based compensation awards — (576 ) Interest on Exchangeable Notes, net of income taxes — — Net income attributable to diluted shareholders $ 14,084 $ 6,932 Weighted-average basic shares outstanding 71,884 74,528 Potentially dilutive securities: Shares issuable under share-based compensation plan — 428 Shares issuable pursuant to exchange of the Exchangeable Notes — — Diluted weighted-average number of shares outstanding 71,884 74,956 Basic earnings per share $ 0.20 $ 0.09 Diluted earnings per share $ 0.20 $ 0.09 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. The following table summarizes the common shares excluded from the diluted earnings per share calculation for the periods as inclusion of such shares would have been antidilutive: Quarter ended 2016 2015 (in thousands) Shares issuable under share-based compensation awards 1,171 — Shares issuable pursuant to exchange of the Exchangeable Notes 8,467 8,433 |
Loan Sales and Variable Interes
Loan Sales and Variable Interest Entities | 3 Months Ended |
Mar. 31, 2016 | |
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 mortgage loan transfer and financing activities. These entities are classified as 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 of mortgage loans that are accounted for as sales where the Company maintains continuing involvement with the mortgage loans, as well as UPB information at period end: Quarter ended March 31, 2016 2015 (in thousands) Cash flows: Proceeds from sales $ 3,233,779 $ 2,644,244 Mortgage loan servicing fees received (1) $ 27,559 $ 15,732 March 31, December 31, (in thousands) UPB of mortgage loans outstanding $ 44,207,616 $ 42,300,338 Delinquent mortgage loans: 30-89 days delinquent $ 162,415 $ 175,599 90 or more days delinquent Not in foreclosure or bankruptcy 40,304 38,669 In foreclosure or bankruptcy 38,934 31,386 79,238 70,055 $ 241,653 $ 245,654 (1) Net of guarantee fees. Consolidated VIEs Credit Risk Transfer Agreements The Company, through its wholly-owned subsidiary, PennyMac Corp. (“PMC”), entered into CRT Agreements with Fannie Mae, pursuant to which PMC, through subsidiary trust entities, sells pools of mortgage loans into Fannie Mae-guaranteed securitizations while retaining a portion of the credit risk underlying such mortgage loans in exchange for a portion of the contractual guarantee fee normally charged by Fannie Mae. 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. 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 Manager has concluded that the Company’s subsidiary trust entities are VIEs and the Company is the primary beneficiary of the VIEs as it is the holder of the primary beneficial interests which absorb the variability of the trusts’ results of operations. Consolidation of the VIEs results in the inclusion on the Company’s consolidated balance sheet of the cash pledged to fulfill the guarantee obligation and a credit derivative comprised of the fair values of the credit guarantees and the Company’s right to the related guarantee fees. The pledged cash represents the Company’s maximum contractual exposure to claims under its credit guarantee; is the sole source of settlement of losses under the CRT Agreements and is included in Other Net gain on investments Following is a summary of the CRT Agreements: Quarter ended (in thousands) During the period: UPB of mortgage loans transferred and sold under CRT Agreements $ 1,923,113 Deposits of restricted cash $ 66,706 Gains (losses) recognized on CRT agreements included in Net gain on investments Realized $ 2,536 Resulting from valuation changes (6,679 ) $ (4,143 ) Payments made to settle losses $ — March 31, December 31, (in thousands) UPB of mortgage loans subject to credit guarantee obligation $ 5,931,409 $ 4,546,265 Delinquency (in UPB) Current—89 days delinquent $ 5,930,936 $ 4,546,265 90 or more days delinquent $ 473 $ — Carrying value of CRT Agreements: Net derivative asset included in Derivative assets $ — $ 593 Restricted cash included in Other $ 213,536 $ 147,000 Net derivative liability included in Derivative liabilities $ 4,218 $ — Jumbo Mortgage Loan Financing On September 30, 2013, the Company completed a securitization transaction in which PMT Loan Trust 2013-J1, a VIE, issued $537.0 million in UPB of certificates backed by fixed-rate prime jumbo mortgage loans, at a 3.9% weighted yield. The Company retained $366.8 million in fair value of such certificates. During the year ended December 31, 2015, the Company sold an additional $111.0 million in UPB of those certificates and $100.6 million in UPB of those certificates were sold during the quarter ended March 31, 2016, which reduced the fair value of the certificates retained by the Company to $104.5 million as of March 31, 2016. The VIE is consolidated by the Company as PMT determined it is the primary beneficiary of the VIE as it had the power, through PLS, in its role as servicer of the mortgage loans, to direct the activities of the trust that most significantly impact the trust’s economic performance. Further, the retained subordinated and residual interest trust certificates expose the Company to losses that could potentially be significant to the Company. |
Netting of Financial Instrument
Netting of Financial Instruments | 3 Months Ended |
Mar. 31, 2016 | |
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 consolidated balance sheets at fair value. The Company has elected to net derivative asset and liability positions, and cash collateral obtained (or posted) from (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 March 31, 2016 and December 31, 2015, 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 CRT Agreements are subject to master netting arrangements. March 31, 2016 December 31, 2015 Gross Gross Net Gross Gross Net (in thousands) Derivative assets Not subject to master netting arrangements: Interest rate lock commitments $ 9,372 $ — $ 9,372 $ 4,983 $ — $ 4,983 CRT Agreements — — — 593 — 593 9,372 — 9,372 5,576 — 5,576 Subject to master netting arrangements: MBS put options 64 — 64 93 — 93 Forward purchase contracts 20,795 — 20,795 2,444 — 2,444 Forward sale contracts 138 — 138 2,604 — 2,604 Put options on interest rate futures 414 — 414 1,512 — 1,512 Call options on interest rate futures 3,949 — 3,949 1,156 — 1,156 Netting — (16,270 ) (16,270 ) — (3,300 ) (3,300 ) 25,360 (16,270 ) 9,090 7,809 (3,300 ) 4,509 $ 34,732 $ (16,270 ) $ 18,462 $ 13,385 $ (3,300 ) $ 10,085 Derivative Assets and Collateral Held by Counterparty The following table summarizes by significant counterparty the amount of derivative asset positions after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance qualifying for netting. March 31, 2016 December 31, 2015 Gross amounts Gross amounts Net amount Financial Cash Net Net amount Financial Cash Net (in thousands) Interest rate lock commitments $ 9,372 $ — $ — $ 9,372 $ 4,983 $ — $ — $ 4,983 RJ O’Brien & Associates, LLC 2,805 — — 2,805 1,672 — — 1,672 Fannie Mae Capital Markets 2,466 — — 2,466 — — — — Bank of America, N.A. 1,220 — — 1,220 — — — — Jefferies Group, LLC 726 — — 726 541 — — 541 BNP Paribas 682 — — 682 59 — — 59 Wells Fargo 468 — — 468 99 — — 99 Nomura Securities International, Inc 395 — — 395 119 — — 119 Barclays Capital — — — — 796 — — 796 Morgan Stanley Bank, N.A. — — — — 464 — — 464 Royal Bank of Canada — — — — 400 — — 400 Ally Financial — — — — 209 — — 209 Other 328 — — 328 743 — — 743 $ 18,462 $ — $ — $ 18,462 $ 10,085 $ — $ — $ 10,085 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 derivative liabilities with the exception of IRLCs and CRT Agreements are subject to master netting arrangements. Assets sold under agreements to repurchase do not qualify for setoff accounting. March 31, 2016 December 31, 2015 Gross Gross Net Gross Gross Net (in thousands) Derivative liabilities Not subject to master netting arrangements: Interest rate lock commitments $ 37 $ — $ 37 $ 337 $ — $ 337 CRT Agreements 4,218 — 4,218 — — — 4,255 — 4,255 337 — 337 Subject to master netting arrangements: Forward purchase contracts 15 — 15 3,774 — 3,774 Forward sales contracts 19,884 — 19,884 2,680 — 2,680 Put options on interest rate futures — — — 39 — 39 Call options on interest rate futures 895 — 895 305 — 305 Netting — (11,561 ) (11,561 ) — (3,978 ) (3,978 ) 20,794 (11,561 ) 9,233 6,798 (3,978 ) 2,820 Assets sold under agreements to repurchase: UPB 3,246,095 — 3,246,095 3,130,328 — 3,130,328 Unamortized debt issuance costs (1,081 ) — (1,081 ) (1,548 ) — (1,548 ) 3,245,014 — 3,245,014 3,128,780 — 3,128,780 $ 3,270,063 $ (11,561 ) $ 3,258,502 $ 3,135,915 $ (3,978 ) $ 3,131,937 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. March 31, 2016 December 31, 2015 Gross amounts Gross amounts Net amount Financial Cash Net Net amount Financial Cash Net (in thousands) Interest rate lock commitments $ 37 $ — $ — $ 37 $ 337 $ — $ — $ 337 CRT Agreements 4,218 — — 4,218 — — — — Credit Suisse First Boston Mortgage Capital LLC 858,021 (857,269 ) — 752 893,947 (893,854 ) — 93 Citibank 824,003 (824,003 ) — — 817,089 (816,699 ) — 390 Bank of America, N.A. 568,850 (568,850 ) — — 538,755 (538,515 ) — 240 JPMorgan Chase & Co. 543,313 (543,177 ) — 136 467,427 (467,145 ) — 282 Morgan Stanley Bank, N.A. 252,082 (251,620 ) — 462 214,086 (214,086 ) — — Daiwa Capital Markets 178,994 (178,914 ) — 80 165,480 (165,480 ) — — Barclays Capital 12,379 (12,140 ) — 239 24,346 (24,346 ) — — BNP Paribas 10,122 (10,122 ) — — 10,203 (10,203 ) — — Fannie Mae Capital Markets 5,863 — — 5,863 924 — — 924 Deutsche Bank 784 — — 784 — — — — Goldman Sachs 262 — — 262 819 — — 819 Other 655 — — 655 72 — — 72 Unamortized debt issuance costs (1,081 ) 1,081 — — (1,548 ) 1,548 — — Total $ 3,258,502 $ (3,245,014 ) $ — $ 13,488 $ 3,131,937 $ (3,128,780 ) $ — $ 3,157 |
Fair Value
Fair Value | 3 Months Ended |
Mar. 31, 2016 | |
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. The Company groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the inputs used to determine fair value. These levels are: • Level 1—Quoted prices in active markets for identical assets or liabilities. • Level 2—Prices determined or determinable using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing an asset or liability and are developed based on market data obtained from sources independent of the Company. These may include quoted prices for similar assets and liabilities, interest rates, prepayment speeds, credit risk and other inputs. • Level 3—Prices determined using significant unobservable inputs. In situations where significant observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period) unobservable inputs may be used. Unobservable inputs reflect the Company’s own judgments about the factors that market participants use in pricing an asset or liability, and are based on the best information available in the circumstances. As a result of the difficulty in observing certain significant valuation inputs affecting “Level 3” fair value financial statement items, the Manager is required to make judgments regarding these items’ fair values. Different persons in possession of the same facts may reasonably arrive at different conclusions as to the inputs to be applied in valuing these financial statement items and their fair values. Likewise, due to the general illiquidity of some of these financial statement items, subsequent transactions may be at values significantly different from those reported. 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. 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. The Manager has also identified the Company’s CRT financing and asset-backed financing of a 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. For assets sold under agreements to repurchase 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: March 31, 2016 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 47,500 $ — $ — $ 47,500 Mortgage-backed securities at fair value — 364,439 — 364,439 Mortgage loans acquired for sale at fair value — 1,339,633 — 1,339,633 Mortgage loans at fair value — 449,215 2,047,563 2,496,778 Excess servicing spread purchased from PFSI — — 321,976 321,976 Derivative assets: Interest rate lock commitments — — 9,372 9,372 MBS put options — 64 — 64 Forward purchase contracts — 20,795 — 20,795 Forward sales contracts — 138 — 138 Put options on interest rate futures 414 — — 414 Call options on interest rate futures 3,949 — — 3,949 Total derivative assets before netting 4,363 20,997 9,372 34,732 Netting — — — (16,270 ) Total derivative assets after netting 4,363 20,997 9,372 18,462 Mortgage servicing rights at fair value — — 61,071 61,071 $ 51,863 $ 2,174,284 $ 2,439,982 $ 4,649,859 Liabilities: Asset-backed financing of a VIE at fair value $ — $ 344,693 $ — $ 344,693 Interest-only security payable at fair value — — 675 675 Derivative liabilities: Interest rate lock commitments — — 37 37 CRT Agreements — — 4,218 4,218 Call options on interest rate futures 895 — — 895 Forward purchase contracts — 15 — 15 Forward sales contracts — 19,884 — 19,884 Total derivative liabilities before netting 895 19,899 4,255 25,049 Netting — — — (11,561 ) Total derivative liabilities after netting 895 19,899 4,255 13,488 $ 895 $ 364,592 $ 4,930 $ 358,856 December 31, 2015 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 41,865 $ — $ — $ 41,865 Mortgage-backed securities at fair value — 322,473 — 322,473 Mortgage loans acquired for sale at fair value — 1,283,795 — 1,283,795 Mortgage loans at fair value — 455,394 2,100,394 2,555,788 Excess servicing spread purchased from PFSI — — 412,425 412,425 Derivative assets: Interest rate lock commitments — — 4,983 4,983 CRT Agreements — — 593 593 MBS put options — 93 — 93 Forward purchase contracts — 2,444 — 2,444 Forward sales contracts — 2,604 — 2,604 Put options on interest rate futures 1,512 — — 1,512 Call options on interest rate futures 1,156 — — 1,156 Total derivative assets 2,668 5,141 5,576 13,385 Netting — — — (3,300 ) Total derivative assets after netting 2,668 5,141 5,576 10,085 Mortgage servicing rights at fair value — — 66,584 66,584 $ 44,533 $ 2,066,803 $ 2,584,979 $ 4,693,015 Liabilities: Asset-backed financing of the VIE at fair value $ — $ 247,690 $ — $ 247,690 Derivative liabilities: Interest rate lock commitments — — 337 337 Put options on interest rate futures 39 — — 39 Call options on interest rate futures 305 — — 305 Forward purchase contracts — 3,774 — 3,774 Forward sales contracts — 2,680 — 2,680 Total derivative liabilities 344 6,454 337 7,135 Netting — — — (3,978 ) Total derivative liabilities after netting 344 6,454 337 3,157 $ 344 $ 254,144 $ 337 $ 250,847 The following is a summary of changes in items measured using Level 3 inputs on a recurring basis: Quarter ended March 31, 2016 Mortgage Excess Interest Net derivative Mortgage Interest- loans servicing rate lock related to CRT servicing at fair value spread commitments (1) Agreements (1) rights Total (in thousands) Balance, December 31, 2015 $ 2,100,394 $ 412,425 $ 4,646 $ 593 $ 66,584 $ — $ 2,584,642 Purchases and issuances — — — — 2,602 682 3,284 Repayments and sales (32,065 ) (79,926 ) — (668 ) — — (112,659 ) Capitalization of interest 23,294 7,015 — — — — 30,309 ESS received pursuant to a recapture agreement with PFSI — 1,911 — — — — 1,911 Interest rate lock commitments issued, net — — 10,698 — — — 10,698 Servicing received as proceeds from sales of mortgage loans — — — — 3,300 — 3,300 Proceeds from CRT Agreements — — — 2,536 — — 2,536 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 12,466 — — — — — 12,466 Other factors 1,929 (19,449 ) 20,666 (6,679 ) (11,415 ) (7 ) (14,955 ) 14,395 (19,449 ) 20,666 (6,679 ) (11,415 ) (7 ) (2,489 ) Transfers of mortgage loans to REO and real estate held for investment (58,455 ) — — — — — (58,455 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (26,675 ) — — — (26,675 ) Balance, March 31, 2016 $ 2,047,563 $ 321,976 $ 9,335 $ (4,218 ) $ 61,071 675 $ 2,436,402 Changes in fair value recognized during the period relating to assets still held at March 31, 2016 $ 17,676 $ (12,239 ) $ 9,335 $ (6,679 ) $ (11,415 ) (7 ) $ (3,329 ) (1) For the purpose of this table, the IRLC and CRT Agreement asset and liability positions are shown net. Quarter ended March 31, 2015 Mortgage Excess Interest Mortgage loans servicing rate lock servicing at fair value spread commitments (1) rights Total (in thousands) Balance, December 31, 2014 $ 2,199,583 $ 191,166 $ 5,661 $ 57,358 $ 2,453,768 Purchases 241,981 46,412 — — 288,393 Repayments and sales (45,882 ) (12,731 ) — — (58,613 ) Capitalization of interest 10,209 — — — 10,209 Accrual of interest — 3,752 — — 3,752 ESS received pursuant to a recapture agreement with PFSI — 1,246 — — 1,246 Interest rate lock commitments issued, net — — 19,400 — 19,400 Servicing received as proceeds from sales of mortgage loans — — — 1,906 1,906 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 7,206 — — — 7,206 Other factors 9,980 (7,536 ) 12 (9,816 ) (7,360 ) 17,186 (7,536 ) 12 (9,816 ) (154 ) Transfers of mortgage loans to REO (79,695 ) — — — (79,695 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (16,859 ) — (16,859 ) Balance, March 31, 2015 $ 2,343,382 $ 222,309 $ 8,214 $ 49,448 $ 2,623,353 Changes in fair value recognized during the period relating to assets still held at March 31, 2015 $ 24,665 $ (7,536 ) $ 8,214 $ (9,816 ) $ 15,527 (1) For the purpose of this table, the IRLC 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): March 31, 2016 December 31, 2015 Fair value Principal Difference Fair value Principal Difference (in thousands) Mortgage loans acquired for sale at fair value: Current through 89 days delinquent $ 1,338,755 $ 1,277,319 $ 61,436 $ 1,283,275 $ 1,235,433 $ 47,842 90 or more days delinquent Not in foreclosure 878 1,096 (218 ) 304 333 (29 ) In foreclosure — — — 216 253 (37 ) 878 1,096 (218 ) 520 586 (66 ) $ 1,339,633 $ 1,278,415 $ 61,218 $ 1,283,795 $ 1,236,019 $ 47,776 Mortgage loans at fair value: Mortgage loans held in a consolidated VIE Current through 89 days delinquent $ 449,215 $ 442,637 $ 6,578 $ 455,394 $ 454,935 $ 459 90 or more days delinquent Not in foreclosure — — — — — — In foreclosure — — — — — — — — — — — — 449,215 442,637 6,578 455,394 454,935 459 Other mortgage loans at fair value: Current through 89 days delinquent 960,473 1,228,550 (268,077 ) 877,438 1,134,560 (257,122 ) 90 or more days delinquent Not in foreclosure 422,152 583,026 (160,874 ) 459,060 640,343 (181,283 ) In foreclosure 664,938 919,221 (254,283 ) 763,896 1,062,205 (298,309 ) 1,087,090 1,502,247 (415,157 ) 1,222,956 1,702,548 (479,592 ) 2,047,563 2,730,797 (683,234 ) 2,100,394 2,837,108 (736,714 ) $ 2,496,778 $ 3,173,434 $ (676,656 ) $ 2,555,788 $ 3,292,043 $ (736,255 ) Following are the changes in fair value included in current period income by consolidated statement of income line item for financial statement items accounted for under the fair value option: Quarter ended March 31, 2016 Net gain on Net mortgage mortgage loans Net Net gain loan acquired interest on servicing for sale income investments fees Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — 13 5,099 — 5,112 Mortgage loans acquired for sale at fair value 42,005 — — — 42,005 Mortgage loans at fair value — 1,229 22,789 — 24,018 ESS at fair value — — (19,449 ) — (19,449 ) MSRs at fair value — — — (11,415 ) (11,415 ) $ 42,005 $ 1,242 $ 8,439 $ (11,415 ) $ 40,271 Liabilities: Asset-backed financing of a VIE at fair value $ — $ (1,317 ) $ (9,854 ) $ — $ (11,171 ) $ — $ (1,317 ) $ (9,854 ) $ — $ (11,171 ) Quarter ended March 31, 2015 Net gain on Net mortgage mortgage loans Net Net gain loan acquired interest on servicing for sale income investments fees Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — 86 1,516 — 1,602 Mortgage loans acquired for sale at fair value 23,081 — — — 23,081 Mortgage loans at fair value — 489 18,986 — 19,475 ESS at fair value — — (6,247 ) — (6,247 ) MSRs at fair value — — — (9,816 ) (9,816 ) $ 23,081 $ 575 $ 14,255 $ (9,816 ) $ 28,095 Liabilities: Asset-backed financing of a VIE at fair value $ — $ (173 ) $ (770 ) $ — $ (943 ) $ — $ (173 ) $ (770 ) $ — $ (943 ) 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: March 31, 2016 Level 1 Level 2 Level 3 Total (in thousands) Real estate acquired in settlement of loans $ — $ — $ 142,602 $ 142,602 MSRs at lower of amortized cost or fair value — — 144,050 144,050 $ — $ — $ 286,652 $ 286,652 December 31, 2015 Level 1 Level 2 Level 3 Total (in thousands) Real estate acquired in settlement of loans $ — $ — $ 173,662 $ 173,662 MSRs at lower of amortized cost or fair value — — 145,187 145,187 $ — $ — $ 318,849 $ 318,849 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 March 31, 2016 2015 (in thousands) Real estate asset acquired in settlement of loans $ (9,116 ) $ (10,615 ) MSRs at lower of amortized cost or fair value (17,706 ) (6,379 ) $ (26,822 ) $ (16,994 ) 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 REO 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 3.0% and 4.5% and a single pool for mortgage loans with interest rates below 3.0%. 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 fair 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 The Manager has concluded that the fair values of Cash Assets sold under agreements to repurchase Mortgage loan participation and sale agreement s Federal Home Loan Bank advances Notes payable Cash The Exchangeable Notes are carried at amortized cost. The fair value of the Exchangeable Notes at March 31, 2016 and December 31, 2015 was $224.4 million and $230.0 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” fair value financial statement items as of March 31, 2016 due to the lack of current market activity. Valuation Techniques and Inputs Most of the Company’s assets, its Derivative liabilities Asset-backed financing of a VIE Interest-only security payable Due to the difficulty in estimating the fair values of “Level 3” fair value financial statement items, the Manager has assigned 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” fair value financial statement items other than IRLCs and maintaining its valuation policies and procedures. With respect to its Level 3 valuations, the FAV group reports to PCM’s valuation committee, which oversees and approves the valuations. The FAV group monitors the models used for valuation of the Company’s non-IRLC “Level 3” fair value financial statement items, including the models’ performance versus actual results, and reports those results to PCM’s valuation committee. PCM’s valuation committee includes PFSI’s chief executive, financial, operating, risk and asset/liability management officers. The FAV group is responsible for reporting to PCM’s 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. The fair value of the Company’s IRLCs is developed by the Manager’s Capital Markets Risk Management staff and is reviewed by the Manager’s Capital Markets Operations group. The following is a description of the techniques and inputs used in estimating the fair values of “Level 2” and “Level 3” fair value financial statement items: Mortgage-Backed Securities The Company’s MBS include Agency and senior non-agency MBS. The Company categorizes its current holdings of MBS as “Level 2” fair value financial statement items. Fair value of these 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” fair value financial statement items. The fair values of mortgage loans acquired for sale at fair value are established 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. • Mortgage loans that are not saleable into active markets, comprised of the Company’s mortgage loans at fair value held outside the VIE are categorized as “Level 3” fair value 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, discount rates and forecasts of future interest rates, home prices, prepayment speeds, default speeds, loss severities and contracted selling price where applicable. 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 inputs such as interest rates, home prices, and delinquency status to assess the reasonableness of changes in the mortgage loan valuation. 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 mortgage 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 mortgage loans’ fair value measurement. Increases in home price projections are generally accompanied by an increase in voluntary prepayment speeds. Following is a quantitative summary of key inputs used in the valuation of mortgage loans at fair value: Key inputs March 31, 2016 December 31, 2015 Discount rate Range 2.5% – 15.0% 2.5% – 15.0% Weighted average 6.8% 7.1% Twelve-month projected housing price index change Range 1.7% – 5.9% 1.5% – 5.1% Weighted average 3.7% 3.6% Prepayment speed (1) Range 0.1% – 10.6% 0.1% – 9.6% Weighted average 3.8% 3.7% Total prepayment speed (2) Range 0.6% – 25.9% 0.5% – 27.2% Weighted average 20.0% 19.6% (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 PFSI The Company categorizes ESS as a “Level 3” fair value 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. Following are the key inputs used in determining the fair value of ESS: Key inputs March 31, 2016 December 31, 2015 UPB of underlying mortgage loans (in thousands) $38,076,993 $51,966,405 Average servicing fee rate (in basis points) 34 32 Average ESS rate (in basis points) 19 17 Pricing spread (1) Range 4.8% - 6.5% 4.8% - 6.5% Weighted average 5.8% 5.7% Life (in years) Range 1.8 - 9.3 1.4 - 9.0 Weighted average 6.8 6.9 Annual total prepayment speed (2) Range 6.2% - 44.5% 5.2% - 52.4% Weighted average 11.0% 9.6% (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” fair value 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 under the commitment 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 loan principal and interest payment cash flows that have decreased in fair value. Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs: Key inputs March 31, 2016 December 31, 2015 Pull-through rate Range 52.4% - 100.0% 60.2% - 100.0% Weighted average 89.9% 92.4% MSR value expressed as: Servicing fee multiple Range 1.9 - 6.1 2.1 - 6.2 Weighted average 4.9 4.9 Percentage of UPB Range 0.5% - 1.5% 0.5% - 3.8% Weighted average 1.2% 1.2% The Company estimates the fair value of commitments to sell mortgage 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” fair value 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” fair value 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” fair value 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 the applicable pricing spread, prepayment and default rates of the underlying mortgage loans, and annual per-loan cost to service mortgage loans, all of which are unobservable. Significant changes to any of those inputs in isolation could result in a significant change in the MSR fair value measurement. Changes in these key inputs are not necessarily directly related. MSRs are generally subject to loss in fair value when mortgage interest rates decrease. Decreasing mortgage interest rates normally encourage increased mortgage refinancing activity. Increased refinancing activity reduces the life of the underlying mortgage loans, thereby reducing MSR fair value. Reductions in the fair value of MSRs affect income primarily through change in fair value and change in impairment. For MSRs backed by mortgage loans with historically low interest rates, factors other than interest rates (such as housing price changes) take on increasing influence on prepayment behavior of the underlying mortgage loans. Following are the key inputs used in determining the fair value of MSRs at the time of initial recognition: Quarter ended March 31, 2016 2015 Amortized Fair Amortized Fair (MSR recognized and UPB of underlying mortgage loan amounts in thousands) MSR recognized $32,862 $3,300 $25,554 $1,906 Key inputs UPB of underlying mortgage loans $2,759,545 $327,025 $2,282,756 $223,653 Weighted-average annual servicing fee rate (in basis points) 25 26 26 26 Pricing spread (1) Range 7.2% – 10.2% 7.2% – 7.2% 6.8% –17.5% 10.3% – 14.3% Weighted average 7.2% 7.2% 8.6% 11.0% Life (in years) Range 1.4 – 12.3 2.3 – 9.4 1.3 – 7.7 2.6 – 7.2 Weighted average 7.0 5.6 6.5 5.9 Annual total prepayment speed (2) Range 3.6% – 49.2% 7.2% – 34.8% 7.6% – 51.0% 8.6% – 33.3% Weighted average 10.4% 15.7% 9.3% 13.8% Annual per-loan cost of servicing Range $68 – $68 $68 – $68 $62 – $134 $62 – $62 Weighted average $68 $68 $63 $62 (1) The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs acquired as proceeds from the sale of mortgage loans. (2) Prepayment speed is measured using Life Total CPR. Following is a quantitative summary of key inputs used in the valuation of MSRs as of the dates presented, and the effect on the fair value from adverse changes in those inputs: March 31, 2016 December 31, 2015 Amortized Fair Amortized Fair (Carrying value, UPB of underlying mortgage loan and effect on fair value Carrying value $394,026 $61,071 $393,157 $66,584 Key inputs: UPB of underlying mortgage loans $37,479,123 $6,728,493 $35,841,654 $6,458,684 Weighted-average annual servicing fee rate (in basis points) 26 25 26 25 Weighted-average note interest rate 3.9% 4.7% 3.9% 4.7% Pricing spread (1) Range 7.2% – 10.7% 7.2% – 10.2% 7.2% – 10.7% 7.2% – 10.2% Weighted average 7.2% 7.2% 7.3% 7.2% Effect on fair value of (2): 5% adverse change $(5,953) $(849) $(6,411) $(944) 10% adverse change $(11,736) $(1,675) $(12,635) $(1,862) 20% adverse change $(22,815) $(3,257) $(24,553) $(3,621) Weighted average life (in years) Range 1.4 - 6.9 2.0 - 5.4 1.3 - 7.7 2.5 - 6.1 Weighted average 6.5 5.4 7.2 6.1 Prepayment speed (3) Range 9.8% – 50.6% 10.4% – 37.6% 8.1% – 51.5% 9.2% – 32.5% Weighted average 11.5% 15.7% 9.6% 13.2% Effect on fair value of (2): 5% adverse change $(9,184) $(1,939) $(8,159) $(1,793) 10% adverse change $(17,998) $(3,779) $(16,024) $(3,502) 20% adverse change $(34,602) $(7,186) $(30,938) $(6,692) Annual per-loan cost of servicing Range $68 – $68 $68 – $68 $68 – $68 $68 – $68 Weighted average $68 $68 $68 $68 Effect on fair value of (2): 5% adverse change $(2,718) $(452) $(2,742) $(470) 10% adverse change $(5,435) $(904) $(5,484) $(940) 20% adverse change $(10,870) $(1,807) $(10,968) $(1,880) (1) The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs. (2) For MSRs carried at fair value, an adverse change in one of the above-mentioned key inputs is expected to result in a reduction in fair value which will be recognized in income. For MSRs carried at lower of amortized cost or fair value, an adverse change in one of the above-mentioned key inputs may result in recognition of MSR impairment. The extent of the recognized MSR impairment will depend on the relationship of fair value to the carrying value of such MSRs. (3) Prepayment speed is measured using Life Total CPR. The preceding sensitivity analyses are limited in that they were performed at a particular point in time; only account for the estimated effect of the movements in the indicated inputs; do not incorporate changes in the inputs in relation to other inputs; are subject to the accuracy of various models and inputs used; and do not incorporate other factors that would affect the Company’s overall financial performance in such scenarios, including operational adjustments made by the Manager to account for changing circumstances. For these reasons, the preceding estimates should not be viewed as earnings forecasts. Securities Sold Under Agreements to Repurchase Fair value of securities sold under agreements to repurchase is based on the accrued cost of the agreements, which approximates the fair values of the agreements, due to the short maturities of such agreements. |
Mortgage Loans Acquired for Sal
Mortgage Loans Acquired for Sale at Fair Value | 3 Months Ended |
Mar. 31, 2016 | |
Mortgage Loans on Real Estate [Abstract] | |
Mortgage Loans Acquired for Sale at Fair Value | Note 8—Mortgage Loans Acquired for Sale at Fair Value Mortgage loans acquired for sale at fair value is comprised of recently originated mortgage loans purchased by the Company for resale. Following is a summary of the distribution of the Company’s mortgage loans acquired for sale at fair value: March 31, 2016 December 31, 2015 Loan type Fair Unpaid Fair Unpaid (in thousands) Conventional: Agency-eligible $ 705,089 $ 674,703 $ 540,947 $ 525,192 Jumbo 13,621 13,426 54,613 54,096 Held for sale to PLS — Government insured or guaranteed 596,166 565,086 669,288 637,666 Commercial real estate 18,985 18,989 14,590 14,461 Mortgage loans repurchased pursuant to representations and warranties 5,772 6,212 4,357 4,604 $ 1,339,633 $ 1,278,416 $ 1,283,795 $ 1,236,019 Mortgage loans pledged to secure: Assets sold under agreements to repurchase $ 1,245,625 $ 1,204,462 Mortgage loan participation and sale agreements $ 64,794 $ — Federal Home Loan Bank (“FHLB”) advances $ — $ 63,993 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 | 3 Months Ended |
Mar. 31, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Financial Instruments | Note 9—Derivative Financial Instruments The Company enters into CRT Agreements whereby it retains a portion of the credit risk relating to mortgage loans it sells into Fannie Mae guaranteed securitizations in exchange for a portion of the contractual guarantee fee related to such securitizations. The fair values of the credit guarantees and the Company’s right to the related guarantee fee are accounted for as a derivative financial instrument. IRLCs are generated in the normal course of business when the Company commits to purchase mortgage loans acquired for sale. The Company’s remaining derivative financial instrument transactions are in support of its interest rate risk management activities. 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, inventory of mortgage loans acquired for sale, mortgage loans held by VIE, ESS, IRLCs and MSRs. 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 the IRLCs it issues to correspondent lenders and to the mortgage loans it purchases as a result of issuing the IRLCs. 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 interest rate increases generally cause the fair value of the purchase commitment or mortgage loan acquired for sale to decrease. The Company is also exposed to risk relative to the fair value of its MSRs and ESS. The Company is exposed to loss in fair value of its MSRs and ESS when interest rates decrease. The Company includes MSRs and ESS 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 fair value of the Company’s fixed-rate assets and economic performance of its LIBOR-indexed variable interest rate repurchase agreement liabilities. The Company had the following derivative assets and liabilities and related margin deposits recorded within Derivative assets Derivative liabilities March 31, 2016 December 31, 2015 Fair value Fair value Notional Derivative Derivative Notional Derivative Derivative Instrument amount assets liabilities amount assets liabilities (in thousands) Derivatives not designated as hedging instruments: Free-standing derivatives: Interest rate lock commitments 1,234,894 $ 9,372 $ 37 970,067 $ 4,983 $ 337 Used for hedging purposes: Forward sales contracts 3,466,697 138 19,884 2,450,642 2,604 2,680 Forward purchase contracts 2,981,134 20,795 15 2,469,550 2,444 3,774 MBS put options 425,000 64 — 375,000 93 — Swap futures 12,500 — — — — — Eurodollar future sales contracts 1,734,000 — — 1,755,000 — — Call options on interest rate futures 1,250,000 3,949 895 50,000 1,156 305 Put options on interest rate futures 1,525,000 414 — 1,600,000 1,512 39 CRT Agreements 5,931,409 — 4,218 4,546,265 593 — Total derivative instruments before netting 34,732 25,049 13,385 7,135 Netting (16,270 ) (11,561 ) (3,300 ) (3,978 ) $ 18,462 $ 13,488 $ 10,085 $ 3,157 (Collateral received from) margin deposits with derivatives counterparties $ (4,709 ) $ 678 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 March 31, 2016 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) Forward sales contracts 2,450,642 14,153,873 (13,137,818 ) 3,466,697 Forward purchase contracts 2,469,550 10,068,440 (9,556,856 ) 2,981,134 MBS call options 375,000 750,000 (700,000 ) 425,000 Swap futures — 12,500 — 12,500 Eurodollar future sale contracts 1,755,000 80,000 (101,000 ) 1,734,000 Call options on interest rate futures 50,000 1,300,000 (100,000 ) 1,250,000 Put options on interest rate futures 1,600,000 2,050,000 (2,125,000 ) 1,525,000 CRT Agreements 4,546,265 1,923,113 (537,969 ) 5,931,409 Quarter ended March 31, 2015 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) Forward sales contracts 1,601,283 9,829,527 (8,472,318 ) 2,958,492 Forward purchase contracts 1,100,700 7,047,676 (6,015,760 ) 2,132,616 MBS put option 340,000 405,000 (555,000 ) 190,000 Eurodollar future sale contracts 7,426,000 100,000 (1,171,000 ) 6,355,000 Eurodollar future purchase contracts 800,000 — (800,000 ) — Treasury future sale contracts 85,000 96,500 (96,500 ) 85,000 Call options on interest rate futures 1,030,000 640,000 (505,000 ) 1,165,000 Put options on interest rate futures 275,000 1,120,000 (375,000 ) 1,020,000 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: Income statement line Quarter ended March 31, 2016 2015 (in thousands) Interest rate lock commitments Net gain on mortgage loans acquired for sale $ 31,364 $ 19,412 Hedged item: Interest rate lock commitments and mortgage loans acquired for sale Net gain on mortgage loans acquired for sale $ (30,672 ) $ (15,111 ) Mortgage servicing rights Net loan servicing fees $ 29,960 $ 11,076 Fixed-rate assets and LIBOR- indexed repurchase agreements Net gain on investments $ (162 ) $ (10,038 ) CRT agreements Net gain on investments $ (4,143 ) $ — |
Mortgage Loans at Fair Value
Mortgage Loans at Fair Value | 3 Months Ended |
Mar. 31, 2016 | |
Text Block [Abstract] | |
Mortgage Loans at Fair Value | Note 10—Mortgage Loans at Fair Value Mortgage loans at fair value are comprised of mortgage loans that are not acquired for sale and, to the extent they are not held in a VIE securing an asset-backed financing, may be sold at a later date pursuant to a management determination that such a sale represents the most advantageous liquidation strategy for the identified mortgage loan. Following is a summary of the distribution of the Company’s mortgage loans at fair value: March 31, 2016 December 31, 2015 Loan type Fair Unpaid Fair Unpaid (in thousands) Distressed mortgage loans Nonperforming mortgage loans $ 1,087,089 $ 1,502,248 $ 1,222,956 $ 1,702,548 Performing mortgage loans: Fixed interest rate 458,662 578,951 417,658 535,610 Interest rate step-up 341,111 463,396 299,569 412,749 Adjustable-rate/hybrid 160,519 186,000 160,051 185,997 Balloon 182 202 160 204 960,474 1,228,549 877,438 1,134,560 Fixed interest rate jumbo mortgage loans held in a VIE 449,215 442,637 455,394 454,935 $ 2,496,778 $ 3,173,434 $ 2,555,788 $ 3,292,043 Mortgage loans at fair value pledged to secure: Assets sold under agreements to repurchase $ 2,014,446 $ 2,067,341 FHLB advances $ — $ 134,172 Asset-backed financing of the VIE at fair value $ 449,215 $ 455,394 Following is a summary of certain concentrations of credit risk in the portfolio of distressed mortgage loans at fair value: Concentration March 31, December 31, (percentages are of fair value) Portion of mortgage loans originated between 2005 and 2007 72% 72% Percentage of fair value of mortgage loans with unpaid-principal balance-to-current-property-value in excess of 100% 42% 48% 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 | 3 Months Ended |
Mar. 31, 2016 | |
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 March 31, 2016 2015 (in thousands) Balance at beginning of period $ 341,846 $ 303,228 Transfers from mortgage loans at fair value and advances 60,494 86,117 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment (4,184 ) — Results of REO: Valuation adjustments, net (10,645 ) (11,400 ) Gain on sale, net 4,609 5,568 (6,036 ) (5,832 ) Proceeds from sales (64,908 ) (65,977 ) Balance at end of period $ 327,212 $ 317,536 At period end: REO pledged to secure assets sold under agreements to repurchase $ 200,766 $ 71,716 REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties $ 56,528 $ 128,788 |
Mortgage Servicing Rights
Mortgage Servicing Rights | 3 Months Ended |
Mar. 31, 2016 | |
Text Block [Abstract] | |
Mortgage Servicing Rights | Note 12—Mortgage Servicing Rights Carried at Fair Value: Following is a summary of MSRs carried at fair value: Quarter ended March 31, 2016 2015 (in thousands) Balance at beginning of period $ 66,584 $ 57,358 Purchases 2,602 — MSRs resulting from mortgage loan sales 3,300 1,906 Changes in fair value: Due to changes in valuation inputs used in valuation model (1) (8,952 ) (8,194 ) Other changes in fair value (2) (2,463 ) (1,622 ) (11,415 ) (9,816 ) Balance at end of period $ 61,071 $ 49,448 MSRs pledged to secure notes payable at period end $ 61,071 $ — (1) Principally reflects changes in pricing spread (discount rate) and prepayment speed inputs, primarily due to changes in market interest rates. (2) Represents changes due to realization of expected cash flows. Carried at Lower of Amortized Cost or Fair Value: Following is a summary of MSRs carried at lower of amortized cost or fair value: Quarter ended March 31, 2016 2015 (in thousands) Amortized Cost: Balance at beginning of period $ 404,101 $ 308,137 MSRs resulting from mortgage loan sales 32,862 25,554 Amortization (14,287 ) (9,592 ) Sales — (293 ) Balance at end of period 422,676 323,806 Valuation Allowance: Balance at beginning of period (10,944 ) (7,715 ) Additions (17,706 ) (6,379 ) Balance at end of period (28,650 ) (14,094 ) MSRs, net $ 394,026 $ 309,712 Fair value at beginning of period $ 424,154 $ 322,230 Fair value at end of period $ 405,635 $ 327,703 MSRs pledged to secure notes payable $ 394,026 $ — 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 March 31, 2016 valuation of MSRs. The inputs underlying the following estimate will change as market conditions and portfolio composition and behavior change, causing both actual and projected amortization levels to change over time. Estimated MSR 12 months ended March 31, amortization (in thousands) 2017 $ 59,226 2018 50,401 2019 43,243 2020 37,530 2021 32,801 Thereafter 199,475 Total $ 422,676 Servicing fees relating to MSRs are recorded in Net mortgage loan servicing fees Quarter ended March 31, 2016 2015 (in thousands) Contractually-specified servicing fees $ 27,779 $ 21,588 |
Assets Sold Under Agreements to
Assets Sold Under Agreements to Repurchase | 3 Months Ended |
Mar. 31, 2016 | |
Brokers and Dealers [Abstract] | |
Assets Sold Under Agreements to Repurchase | Note 13—Assets Sold Under Agreements to Repurchase Following is a summary of financial information relating to assets sold under agreements to repurchase: Quarter ended March 31, 2016 2015 (dollars in thousands) During the period: Weighted-average interest rate (1) 2.23 % 2.33 % Average balance $ 2,797,301 $ 2,847,915 Total interest expense $ 20,412 $ 18,912 Maximum daily amount outstanding $ 3,577,236 $ 3,860,671 (1) Excludes the effect of amortization of debt issuance costs of $2.1 million and $2.3 million for the quarters ended March 31, 2016 and 2015, respectively. March 31, 2016 December 31, 2015 (dollars in thousands) Carrying value: Amount outstanding $ 3,246,095 $ 3,130,328 Unamortized debt issuance costs (1,081 ) (1,548 ) $ 3,245,014 $ 3,128,780 Weighted-average interest rate 2.46 % 2.33 % Available borrowing capacity: Committed $ 176,033 $ 231,913 Uncommitted 1,059,224 661,756 $ 1,235,257 $ 893,669 Margin deposits placed with counterparties included in Other $ 6,939 $ 7,268 Fair value of assets securing agreements to repurchase: Mortgage-backed securities $ 364,439 $ 313,753 Mortgage loans acquired for sale at fair value 1,245,625 1,204,462 Mortgage loans at fair value 2,014,446 2,067,341 Real estate acquired in settlement of loans 257,294 283,343 Restricted cash included in Other 180,992 — $ 4,062,796 $ 3,868,899 Following is a summary of maturities of outstanding assets sold under agreements to repurchase by facility maturity date: Remaining Maturity at March 31, 2016 Contractual (in thousands) Within 30 days $ 245,478 Over 30 to 90 days 305,775 Over 90 days to 180 days 250,396 Over 180 days to 1 year 2,444,446 Over 1 year to 2 years — $ 3,246,095 Weighted average maturity (in months) 8 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 March 31, 2016: Mortgage loans acquired for sale, Mortgage loans and REO sold under agreements to repurchase Weighted-average Counterparty Amount at risk repurchase Facility maturity (in thousands) Citibank, N.A. $ 352,362 May 15, 2016 October 20, 2016 Credit Suisse First Boston Mortgage Capital LLC $ 278,944 June 24, 2016 March 30, 2017 JPMorgan Chase & Co. $ 151,873 - January 26, 2017 Bank of America, N.A. $ 37,910 June 22, 2016 March 29, 2017 Morgan Stanley $ 17,903 May 23, 2016 December 16, 2016 Barclays $ 970 June 12, 2016 September 13, 2016 Securities sold under agreements to repurchase Counterparty Amount at risk Weighted average maturity (in thousands) JPMorgan Chase & Co. $ 52,898 April 8, 2016 Bank of America, N.A. $ 16,153 April 21, 2016 Daiwa Capital Markets America Inc. $ 9,370 May 9, 2016 BNP Paribas Corporate & Institutional Banking $ 3,469 April 18, 2019 Citibank, N.A. $ 527 June 30, 2016 The following is a summary of the tangible net worth, as defined in the respective borrowing agreements, and minimum required amounts for the Company and certain of its subsidiaries at March 31, 2016 to comply with the debt covenants contained in the borrowing agreements: Tangible net worth as of Minimum Entity Balance required (in thousands) PennyMac Mortgage Investment Trust $ 1,414,503 $ 860,000 Operating Partnership $ 1,453,675 $ 700,000 PennyMac Holdings, LLC $ 878,764 $ 250,000 PennyMac Corp. $ 403,394 $ 150,000 |
Mortgage Loan Participation and
Mortgage Loan Participation and Sale Agreements | 3 Months Ended |
Mar. 31, 2016 | |
Text Block [Abstract] | |
Mortgage Loan Participation and Sale Agreements | Note 14—Mortgage Loan Participation and Sale Agreements Two of the borrowing facilities secured by mortgage loans acquired for sale are in the form of mortgage loan participation and sale agreements. 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 nonaffiliate to sell such security is also assigned to the lender at the time a participation certificate is sold. The purchase price paid by the lender for each participation certificate is based on the trade price of the security, plus an amount of interest expected to accrue on the security to its anticipated delivery date, minus a present value adjustment, any related hedging costs and a holdback amount 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. Mortgage loan participation and sale agreements are summarized below: Quarter ended March 31, 2016 2015 (dollars in thousands) During the period: Weighted-average interest rate (1) 1.68 % 1.42 % Average balance $ 68,598 $ 43,547 Total interest expense $ 327 $ 207 Maximum daily amount outstanding $ 97,672 $ 92,940 (1) Excludes the effect of amortization of debt issuance costs of $36,000 and $52,000 for the quarters ended March 31, 2016 and 2015. March 31, 2016 (dollars in thousands) Carrying value: Amount outstanding $ 62,400 Unamortized debt issuance costs — $ 62,400 Weighted-average interest rate 1.69 % Mortgage loans acquired for sale pledged to secure mortgage loan participation and sale agreements $ 64,794 |
Federal Home Loan Bank Advances
Federal Home Loan Bank Advances | 3 Months Ended |
Mar. 31, 2016 | |
Banking and Thrift [Abstract] | |
Federal Home Loan Bank Advances | Note 15—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 was able to request advances up to a maximum of $400.0 million. On January 12, 2016, the Federal Housing Finance Agency (“FHFA”) issued a final rule establishing new requirements for membership in the Federal Home Loan Banks. The final rule excludes captive insurance companies such as the Company’s insurance subsidiary, Copper Insurance, LLC, from membership. For captive insurance companies that became members since the rule was proposed in 2014, including Copper Insurance, LLC, membership must be terminated within one year, and no additional advances may be made. Accordingly, the Company has repaid all of the advances outstanding as of March 31, 2016. The FHLB advances are summarized below: Quarter ended (dollars in thousands) During the period: Weighted-average interest rate 0.49 % Average balance $ 98,038 Total interest expense $ 122 Maximum daily amount outstanding $ 201,130 December 31, 2015 (dollars in thousands) Carrying value $ 183,000 Weighted-average interest rate 0.30 % Fair value of assets securing FHLB advances: Mortgage-backed securities $ 8,720 Mortgage loans acquired for sale at fair value 63,993 Mortgage loans at fair value 134,172 $ 206,885 |
Notes Payable
Notes Payable | 3 Months Ended |
Mar. 31, 2016 | |
Text Block [Abstract] | |
Notes Payable | Note 16—Notes Payable On March 31, 2015, the Company, through PMC, entered into a Loan and Security Agreement with Citibank, N.A., pursuant to which PMC may finance certain of its MSRs relating to mortgage loans pooled into Freddie Mac MBS in an aggregate loan amount not to exceed $125 million. The note matures on October 20, 2016. On September 14, 2015, the Company, through PMC, entered into a Loan and Security Agreement with Barclays Bank PLC (“Barclays”), 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 $200 million. The note matures on September 13, 2016, subject to a wind down period of up to one year following such maturity date. Following is a summary of financial information relating to the notes payable: Quarter ended (dollars in thousands) During the period: Weighted-average interest rate (1) 4.59 % Average balance $ 213,616 Total interest expense $ 3,344 Maximum daily amount outstanding $ 234,476 (1) Excludes the effect of amortization of debt issuance costs of $825,000 for the quarter ended March 31, 2016. March 31, 2016 December 31, 2015 (dollars in thousands) Carrying value: Amount outstanding $ 206,228 $ 236,107 Unamortized debt issuance costs (37 ) (92 ) $ 206,191 $ 236,015 Weighted-average interest rate 4.59 % 4.53 % MSRs pledged to secure notes payable $ 455,097 $ 459,741 |
Asset-Backed Financing of a Var
Asset-Backed Financing of a Variable Interest Entity at Fair Value | 3 Months Ended |
Mar. 31, 2016 | |
Text Block [Abstract] | |
Asset-Backed Financing of a Variable Interest Entity at Fair Value | Note 17—Asset-Backed Financing of a Variable Interest Entity at Fair Value Following is a summary of financial information relating to the asset-backed financing of a VIE: Quarter ended March 31, 2016 2015 (dollars in thousands) During the period: Weighted-average fair value $ 315,991 $ 165,522 Interest expense $ 1,352 $ 1,583 Weighted-average effective interest rate 3.34 % 3.83 % March 31, 2016 December 31, 2015 (dollars in thousands) Carrying value $ 344,693 $ 247,690 UPB $ 339,449 $ 248,284 Weighted-average interest rate 3.50 % 3.50 % The asset-backed financing of a VIE 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 | 3 Months Ended |
Mar. 31, 2016 | |
Text Block [Abstract] | |
Exchangeable Senior Notes | Note 18—Exchangeable Senior Notes PMC issued in a private offering $250 million aggregate principal amount of the Exchangeable Notes due May 1, 2020. The Exchangeable Notes bear interest at a rate of 5.375% per year, payable semiannually. The Exchangeable Notes are exchangeable into common shares of the Company at a rate of 33.8667 common shares per $1,000 principal amount of the Exchangeable Notes as of December 31, 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 March 31, 2016 2015 (in thousands) During the period: Weighted-average UPB $ 250,000 $ 250,000 Interest expense (1) $ 3,612 $ 3,597 (1) Total interest expense includes amortization of debt issuance costs of $253,000 and $239,000 during the quarters ended March 31, 2016 and 2015, respectively. March 31, December 31, (in thousands) Carrying value: UPB $ 250,000 $ 250,000 Unamortized debt issuance costs (4,693 ) (4,946 ) $ 245,307 $ 245,054 |
Liability for Losses Under Repr
Liability for Losses Under Representations and Warranties | 3 Months Ended |
Mar. 31, 2016 | |
Text Block [Abstract] | |
Liability for Losses Under Representations and Warranties | Note 19—Liability for Losses Under Representations and Warranties Following is a summary of the Company’s liability for losses under representations and warranties: Quarter ended March 31, 2016 2015 (in thousands) Balance, beginning of period $ 20,171 $ 14,242 Provision for losses Pursuant to mortgage loan sales 571 925 Adjustment to previously recorded amount due to change in estimate (1,724 ) — Losses incurred (306 ) (53 ) Recoveries — 265 Balance, end of period $ 18,712 $ 15,379 UPB of mortgage loans subject to representations and warranties at period end $ 43,464,887 $ 35,573,237 |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 20—Commitments and Contingencies Litigation From time to time, the Company may be involved in various proceedings, claims and legal actions arising in the ordinary course of business. As of March 31, 2016, the Company was not involved in any such proceedings, claims or legal actions that in management’s view would reasonably be likely to have a material adverse effect on the Company. Mortgage Loan Commitments The following table summarizes the Company’s outstanding contractual loan commitments: March 31, 2016 (in thousands) Commitments to purchase mortgage loans: Mortgage loans acquired for sale at fair value $ 1,234,894 |
Shareholders' Equity
Shareholders' Equity | 3 Months Ended |
Mar. 31, 2016 | |
Equity [Abstract] | |
Shareholders' Equity | Note 21—Shareholders’ Equity Common Share Repurchases During August 2015, the Company’s board of trustees authorized a common share repurchase program under which the Company may repurchase up to $150 million of its outstanding common shares. During February 2016, the Company’s board of trustees approved an increase to its share repurchase program pursuant to which the Company is now authorized to repurchase up to $200 million of its common shares. During the quarter ended March 31, 2016, the Company repurchased 5.2 million common shares at a cost of $64.5 million for a cumulative total of 6.2 million common shares repurchased at a cost of $80.8 million under the program. The repurchased common shares were canceled upon settlement of the repurchase transactions and returned to the authorized but unissued share pool. Common Share Issuances The Company has entered into an ATM Equity Offering Sales Agreement SM At March 31, 2016, 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 | 3 Months Ended |
Mar. 31, 2016 | |
Banking and Thrift, Interest [Abstract] | |
Net Interest Income | Note 22—Net Interest Income Net interest income is summarized below: Quarter ended March 31, 2016 2015 (in thousands) Interest income: From nonaffiliates: Short-term investments $ 376 $ 220 Mortgage-backed securities 2,712 2,633 Mortgage loans acquired for sale at fair value 9,264 7,101 Mortgage loans at fair value 29,186 21,554 Mortgage loans at fair value held by a VIE 5,529 5,413 Other 284 12 47,351 36,933 From PFSI: ESS purchased from PFSI, at fair value 7,015 3,752 54,366 40,685 Interest expense: From nonaffiliates: Assets sold under agreements to repurchase 20,412 18,912 Mortgage loans participation and sale agreement 327 207 FHLB advances 122 — Notes payable 3,344 — Asset-backed financings of a VIE at fair value 1,352 1,583 Exchangeable Notes 3,612 3,597 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 972 1,173 Interest on mortgage loan impound deposits 261 274 30,402 25,746 From PFSI—Note payable 1,602 — 32,004 25,746 Net interest income $ 22,362 $ 14,939 |
Net Gain on Mortgage Loans Acqu
Net Gain on Mortgage Loans Acquired for Sale | 3 Months Ended |
Mar. 31, 2016 | |
Text Block [Abstract] | |
Net Gain on Mortgage Loans Acquired for Sale | Note 23—Net Gain on Mortgage Loans Acquired for Sale Net gain on mortgage loans acquired for sale is summarized below: Quarter ended March 31, 2016 2015 (in thousands) Cash loss: Mortgage loans $ (3,019 ) $ (7,544 ) Hedging activities (32,577 ) (12,527 ) (35,596 ) (20,071 ) Non cash gain: Receipt of MSRs in mortgage loan sale transactions 36,162 27,460 Provision for losses relating to representations and warranties provided in mortgage loan sales Pursuant to mortgage loans sales (571 ) (925 ) Adjustment to previously recorded amount due to change in estimate 1,724 — Change in fair value during the period of financial instruments held at period end: IRLCs 4,688 2,554 Mortgage loans 6,737 3,726 Hedging derivatives 1,905 (2,584 ) 13,330 3,696 $ 15,049 $ 10,160 |
Net (Loss) Gain on Investments
Net (Loss) Gain on Investments | 3 Months Ended |
Mar. 31, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Net (Loss) Gain on Investments | Note 24—Net (Loss) Gain on Investments Net (loss) gain on investments is summarized below: Quarter ended March 31, 2016 2015 (in thousands) Net (loss) gain on investments: From non-affiliates: Mortgage-backed securities $ 5,099 $ 1,516 Mortgage loans at fair value 14,395 17,186 Mortgage loans held in a VIE 8,394 1,800 CRT Agreements (4,143 ) — Asset-backed financing of a VIE at fair value (9,854 ) (770 ) Hedging derivatives (162 ) (10,038 ) 13,729 9,694 From PFSI—ESS (17,627 ) (6,247 ) $ (3,898 ) $ 3,447 |
Net Loan Servicing Fees
Net Loan Servicing Fees | 3 Months Ended |
Mar. 31, 2016 | |
Text Block [Abstract] | |
Net Loan Servicing Fees | Note 25—Net Loan Servicing Fees Net loan servicing fees are summarized below: Quarter ended March 31, 2016 2015 (in thousands) Servicing fees (1) $ 28,872 $ 22,629 MSR recapture fee receivable from PFSI 130 — Effect of MSRs: Carried at lower of amortized cost or fair value: Amortization (14,287 ) (9,592 ) Provision for impairment (17,706 ) (6,379 ) Gain on sale — 83 Carried at fair value—change in fair value (11,415 ) (9,816 ) Gains on hedging derivatives 29,960 11,076 (13,448 ) (14,628 ) Net loan servicing fees $ 15,554 $ 8,001 Average servicing portfolio $ 43,253,977 $ 34,599,043 (1) Includes contractually specified servicing and ancillary fees. |
Share-Based Compensation Plans
Share-Based Compensation Plans | 3 Months Ended |
Mar. 31, 2016 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Share-Based Compensation Plans | Note 26—Share-Based Compensation Plans On March 31, 2016 and 2015, the Company had one share-based compensation plan. The Company recognized compensation expense of $1.0 million and $2.5 million for the quarters ended March 31, 2016 and 2015, respectively. The Company granted 330,076 and 294,684 restricted share units with a grant date fair value of $6.3 million and $6.3 million during the quarters ended March 31, 2016 and 2015, respectively. The 2016 grant includes 112,079 performance-based awards. The Company had vestings of 76,048 and 75,063 restricted share units during the quarters ended March 31, 2016 and 2015, respectively. |
Other Expenses
Other Expenses | 3 Months Ended |
Mar. 31, 2016 | |
Other Income and Expenses [Abstract] | |
Other Expenses | Note 27—Other Expenses Other expenses are summarized below: Quarter ended March 31, 2016 2015 (in thousands) Common overhead allocation from PFSI (1) $ 2,561 $ 2,392 Mortgage loan origination 1,121 953 Real estate held for investment 557 — Technology 435 292 Insurance 318 373 Other 644 847 $ 5,636 $ 4,857 (1) On December 15, 2015, the Operating Partnership amended its management agreement to provide that the total costs and expenses incurred by PFSI in any quarter and reimbursable by the Operating Partnership is capped at an amount equal to the product of (A) 70 basis points (0.0070), multiplied by (B) PMT’s shareholders’ equity (as defined in the management agreement) as of the last day of the month preceding quarter end, divided by four. |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2016 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Note 28—Income Taxes The Company’s effective tax rate was (31)% and 297% for the quarters ended March 31, 2016 and 2015, respectively. The change in the Company’s tax benefit was due primarily to reduced losses before income taxes incurred at the Company’s taxable REIT subsidiary. The Company’s taxable REIT subsidiary recognized a tax benefit of $3.5 million on a loss of $6.0 million while the Company’s reported consolidated pretax income was $11.0 million for the quarter ended March 31, 2016. For the same period in 2015, the taxable REIT subsidiary recognized a tax benefit of $11.3 million on a loss of $28.6 million and the Company reported a consolidated pretax loss of $3.8 million. The relative values between the tax benefit at the taxable REIT subsidiary and the Company’s consolidated pretax income drive the fluctuation in the effective tax rate. 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 | 3 Months Ended |
Mar. 31, 2016 | |
Segment Reporting [Abstract] | |
Segments and Related Information | Note 29—Segments and Related Information Financial highlights by operating segment are summarized below: Correspondent Investment Quarter ended March 31, 2016 production activities Total (in thousands) Net investment income: Interest income $ 9,023 $ 45,343 $ 54,366 Interest expense (5,119 ) (26,885 ) (32,004 ) 3,904 18,458 22,362 Net gain on mortgage loans acquired for sale 15,049 — 15,049 Net loss on investments — (3,898 ) (3,898 ) Net mortgage loan servicing fees — 15,554 15,554 Other income (loss) 6,837 (3,688 ) 3,149 25,790 26,426 52,216 Expenses: Mortgage loan fulfillment, servicing and management fees payable to PFSI 13,354 16,386 29,740 Other 1,527 9,905 11,432 14,881 26,291 41,172 Pre-tax income $ 10,909 $ 135 $ 11,044 Total assets at period end $ 1,351,098 $ 4,469,342 $ 5,820,440 Correspondent Investment Quarter ended March 31, 2015 production activities Total (in thousands) Net investment income: Interest income $ 7,112 $ 33,573 $ 40,685 Interest expense (3,820 ) (21,926 ) (25,746 ) 3,292 11,647 14,939 Net gain on mortgage loans acquired for sale 10,160 — 10,160 Net gain on investments — 3,447 3,447 Net mortgage loan servicing fees — 8,001 8,001 Other income (loss) 5,351 (4,241 ) 1,110 18,803 18,854 37,657 Expenses: Mortgage loan fulfillment, servicing and management fees payable to PFSI 13,170 17,369 30,539 Other 1,214 9,724 10,938 14,384 27,093 41,477 Pre-tax income (loss) $ 4,419 $ (8,239 ) $ (3,820 ) Total assets at period end $ 1,392,680 $ 4,344,730 $ 5,737,410 |
Supplemental Cash Flow Informat
Supplemental Cash Flow Information | 3 Months Ended |
Mar. 31, 2016 | |
Supplemental Cash Flow Elements [Abstract] | |
Supplemental Cash Flow Information | Note 30—Supplemental Cash Flow Information Quarter ended March 31 2016 2015 (in thousands) Cash paid for interest $ 36,594 $ 21,188 Income taxes paid, net $ 175 $ 186 Non-cash investing activities: Receipt of MSRs as proceeds from sales of mortgage loans $ 36,162 $ 27,460 Transfer of mortgage loans and advances to real estate acquired in settlement of loans $ 60,494 $ 86,117 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment $ 4,184 $ — Receipt of ESS pursuant to recapture agreement with PFSI $ 1,911 $ 1,246 Non-cash financing activities: Transfer of mortgage loans at fair value financed under agreements to repurchase to REO financed under agreements to repurchase $ 9,710 $ — Dividends payable $ 32,695 $ 46,073 |
Regulatory Capital and Liquidit
Regulatory Capital and Liquidity Requirements | 3 Months Ended |
Mar. 31, 2016 | |
Mortgage Banking [Abstract] | |
Regulatory Capital and Liquidity Requirements | Note 31—Regulatory Capital and Liquidity Requirements PMC is a seller-servicer for Fannie Mae and Freddie Mac. The Company is required to comply with the following minimum capital and liquidity eligibility requirements to remain in good standing with each Agency: • A minimum net worth of a base of $2.5 million plus 25 basis points of UPB for total 1-4 unit residential mortgage loans serviced; • A tangible net worth/total assets ratio greater than or equal to 6%; and • Liquidity equal to or exceeding 3.5 basis points multiplied by the aggregate UPB of all mortgages secured by 1-4 unit residential properties serviced for Freddie Mac and Fannie Mae (“Agency Mortgage Servicing”) plus 200 basis points multiplied by the sum of nonperforming (90 or more days delinquent) Agency Mortgage Servicing that exceeds 6% of Agency Mortgage Servicing. Such Agencies’ capital and liquidity requirements, the calculations of which are defined by each entity, are summarized below: March 31, 2016 Net Worth (1) Tangible Net Worth / (1) Liquidity (1) Agency Actual Required Actual Required Actual Required (in thousands) (in thousands) (in thousands) Fannie Mae $ 407,438 $ 113,019 14 % 6 % $ 30,797 $ 15,473 Freddie Mac $ 407,438 $ 113,019 14 % 6 % $ 30,797 $ 15,473 (1) Calculated in compliance with the respective Agency’s requirements. Noncompliance with the respective Agency’s capital and liquidity requirements can result in the respective Agency taking various remedial actions up to and including removing the Company’s ability to sell loans to and service loans on behalf of the respective Agency. |
Recently Issued Accounting Pron
Recently Issued Accounting Pronouncements | 3 Months Ended |
Mar. 31, 2016 | |
Accounting Changes and Error Corrections [Abstract] | |
Recently Issued Accounting Pronouncements | Note 32—Recently Issued Accounting Pronouncements In February 2015, the FASB issued ASU 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis On January 5, 2016, the FASB issued ASU 2016-01, Financial Instruments–Overall: Recognition and Measurement of Financial Assets and Financial Liabilities ASU 2016-01 requires that: • All equity investments in unconsolidated entities (other than those accounted for using the equity method of accounting) with readily determinable fair values will generally be measured at fair value through earnings. • When the fair value option has been elected for financial liabilities, changes in fair value due to instrument-specific credit risk will be recognized separately in other comprehensive income. The accumulated gains and losses due to these changes will be reclassified from accumulated other comprehensive income to earnings if the financial liability is settled before maturity. • For financial instruments measured at amortized cost, public business entities will be required to use the exit price when measuring the fair value of financial instruments for disclosure purposes. • Financial assets and financial liabilities shall be presented separately in the notes to the financial statements, grouped by measurement category (e.g., fair value, amortized cost, lower of cost or fair value) and form of financial asset (e.g., loans, securities). • Public business entities will no longer be required to disclose the methods and significant assumptions used to estimate the fair value of financial instruments carried at amortized cost. • Entities will have to assess the realizability of a deferred tax asset related to a debt security classified as available for sale in combination with the entity’s other deferred tax assets. The classification and measurement guidance will be effective for public business entities in fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. Early adoption of the provision to record fair value changes for financial liabilities under the fair value option resulting from instrument-specific credit risk in other comprehensive income is permitted and can be elected for all financial statements of fiscal years and interim periods that have not yet been issued or that have not yet been made available for issuance. The Company is currently assessing the potential effect that the adoption of ASU 2016-01 will have on its consolidated financial statements. In March of 2016, The FASB issued ASU 2016-09, Compensation—Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting (“ASU 2016-09”). ASU 2016-09 simplifies several aspects of the accounting for share-based payment award transactions, including: • Modifies the accounting for income taxes relating to share-based payments. All excess tax benefits and tax deficiencies (including tax benefits of dividends on share-based payment awards) will be recognized as income tax expense or benefit in the consolidated income statement. The tax effects of exercised or vested awards will be treated as discrete items in the reporting period in which they occur. An entity will recognize excess tax benefits regardless of whether the benefit reduces taxes payable in the current period. Under current GAAP, excess tax benefits are recognized in additional paid-in capital; tax deficiencies are recognized either as an offset to accumulated excess tax benefits, if any, or in the consolidated income statement in the period they reduce income taxes payable. • Changes the classification of excess tax benefits on the consolidated statement of cash flows. In the consolidated statement of cash flows, excess tax benefits will be classified along with other income tax cash flows as an operating activity. Under current GAAP, excess tax benefits are separated from other income tax cash flows and classified as a financing activity. • Changes the requirement to estimate the number of awards that are expected to vest. Under ASC 2016-09, an entity can make an entity-wide accounting policy election to either estimate the number of awards that are expected to vest as presently required or account for forfeitures when they occur. Under current GAAP, accruals of compensation cost are based on the number of awards that are expected to vest. • Changes the tax withholding requirements for share-based payment awards to qualify for equity accounting. The threshold to qualify for equity classification permits withholding up to the maximum statutory tax rates in the applicable jurisdictions. Under current GAAP, for an award to qualify for equity classification is that an entity cannot partially settle the award in cash in excess of the employer’s minimum statutory withholding requirements. • Establishes GAAP for the classification of employee taxes paid when an employer withholds shares for tax withholding purposes. Cash paid by an employer when directly withholding shares for tax- withholding purposes should be classified as a financing activity. This guidance establishes GAAP related to the classification of withholding taxes in the statement of cash flows as there is no such guidance under current GAAP. ASU 2016-09 is effective for annual periods beginning after December 15, 2016, and interim periods within those annual periods. Early adoption is permitted for any organization in any interim or annual period. The Company is currently assessing the potential effect that the adoption of ASU 2016-09 will have on its consolidated financial statements. |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2016 | |
Subsequent Events [Abstract] | |
Subsequent Events | Note 33—Subsequent Events Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period: • During May 2016, the Company completed the sale of approximately $419.3 million in UPB of Mortgage Loans at Fair Value • During April 2016, the Company repurchased 100,000 common shares at a cost of $1.4 million under the common share repurchase program described in Note 21— Shareholders’ Equity |
Organization and Basis of Pre41
Organization and Basis of Presentation (Policies) | 3 Months Ended |
Mar. 31, 2016 | |
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”), both indirect controlled 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 mortgage-backed securities (“MBS”), distressed mortgage loans, excess servicing spread (“ESS”), credit risk transfer agreements (“CRT Agreements”), real estate acquired in settlement of loans (“REO”), real estate held for investment, mortgage servicing rights (“MSRs”), and small balance commercial real estate loans. |
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. |
Concentration Risk | Due to the nature of the Company’s investments, 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, 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 certain 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 inputs that properly anticipate, future outcomes; • the level of government support for resolution of certain mortgage loans 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. The Company groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the inputs used to determine fair value. These levels are: • Level 1—Quoted prices in active markets for identical assets or liabilities. • Level 2—Prices determined or determinable using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing an asset or liability and are developed based on market data obtained from sources independent of the Company. These may include quoted prices for similar assets and liabilities, interest rates, prepayment speeds, credit risk and other inputs. • Level 3—Prices determined using significant unobservable inputs. In situations where significant observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period) unobservable inputs may be used. Unobservable inputs reflect the Company’s own judgments about the factors that market participants use in pricing an asset or liability, and are based on the best information available in the circumstances. As a result of the difficulty in observing certain significant valuation inputs affecting “Level 3” fair value financial statement items, the Manager is required to make judgments regarding these items’ fair values. Different persons in possession of the same facts may reasonably arrive at different conclusions as to the inputs to be applied in valuing these financial statement items and their fair values. Likewise, due to the general illiquidity of some of these financial statement items, subsequent transactions may be at values significantly different from those reported. 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. 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. The Manager has also identified the Company’s CRT financing and asset-backed financing of a 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. For assets sold under agreements to repurchase 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. |
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 On January 5, 2016, the FASB issued ASU 2016-01, Financial Instruments–Overall: Recognition and Measurement of Financial Assets and Financial Liabilities ASU 2016-01 requires that: • All equity investments in unconsolidated entities (other than those accounted for using the equity method of accounting) with readily determinable fair values will generally be measured at fair value through earnings. • When the fair value option has been elected for financial liabilities, changes in fair value due to instrument-specific credit risk will be recognized separately in other comprehensive income. The accumulated gains and losses due to these changes will be reclassified from accumulated other comprehensive income to earnings if the financial liability is settled before maturity. • For financial instruments measured at amortized cost, public business entities will be required to use the exit price when measuring the fair value of financial instruments for disclosure purposes. • Financial assets and financial liabilities shall be presented separately in the notes to the financial statements, grouped by measurement category (e.g., fair value, amortized cost, lower of cost or fair value) and form of financial asset (e.g., loans, securities). • Public business entities will no longer be required to disclose the methods and significant assumptions used to estimate the fair value of financial instruments carried at amortized cost. • Entities will have to assess the realizability of a deferred tax asset related to a debt security classified as available for sale in combination with the entity’s other deferred tax assets. The classification and measurement guidance will be effective for public business entities in fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. Early adoption of the provision to record fair value changes for financial liabilities under the fair value option resulting from instrument-specific credit risk in other comprehensive income is permitted and can be elected for all financial statements of fiscal years and interim periods that have not yet been issued or that have not yet been made available for issuance. The Company is currently assessing the potential effect that the adoption of ASU 2016-01 will have on its consolidated financial statements. In March of 2016, The FASB issued ASU 2016-09, Compensation—Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting (“ASU 2016-09”). ASU 2016-09 simplifies several aspects of the accounting for share-based payment award transactions, including: • Modifies the accounting for income taxes relating to share-based payments. All excess tax benefits and tax deficiencies (including tax benefits of dividends on share-based payment awards) will be recognized as income tax expense or benefit in the consolidated income statement. The tax effects of exercised or vested awards will be treated as discrete items in the reporting period in which they occur. An entity will recognize excess tax benefits regardless of whether the benefit reduces taxes payable in the current period. Under current GAAP, excess tax benefits are recognized in additional paid-in capital; tax deficiencies are recognized either as an offset to accumulated excess tax benefits, if any, or in the consolidated income statement in the period they reduce income taxes payable. • Changes the classification of excess tax benefits on the consolidated statement of cash flows. In the consolidated statement of cash flows, excess tax benefits will be classified along with other income tax cash flows as an operating activity. Under current GAAP, excess tax benefits are separated from other income tax cash flows and classified as a financing activity. • Changes the requirement to estimate the number of awards that are expected to vest. Under ASC 2016-09, an entity can make an entity-wide accounting policy election to either estimate the number of awards that are expected to vest as presently required or account for forfeitures when they occur. Under current GAAP, accruals of compensation cost are based on the number of awards that are expected to vest. • Changes the tax withholding requirements for share-based payment awards to qualify for equity accounting. The threshold to qualify for equity classification permits withholding up to the maximum statutory tax rates in the applicable jurisdictions. Under current GAAP, for an award to qualify for equity classification is that an entity cannot partially settle the award in cash in excess of the employer’s minimum statutory withholding requirements. • Establishes GAAP for the classification of employee taxes paid when an employer withholds shares for tax withholding purposes. Cash paid by an employer when directly withholding shares for tax- withholding purposes should be classified as a financing activity. This guidance establishes GAAP related to the classification of withholding taxes in the statement of cash flows as there is no such guidance under current GAAP. ASU 2016-09 is effective for annual periods beginning after December 15, 2016, and interim periods within those annual periods. Early adoption is permitted for any organization in any interim or annual period. The Company is currently assessing the potential effect that the adoption of ASU 2016-09 will have on its consolidated financial statements. |
Concentration of Risks (Tables)
Concentration of Risks (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Risks and Uncertainties [Abstract] | |
Summary of Holdings of 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., as presented in the following summary: March 31, December 31, (in thousands) Mortgage loans at fair value $ 845,154 $ 855,691 REO 76,316 88,088 $ 921,470 $ 943,779 Total carrying value of mortgage loans at fair value and REO $ 2,823,990 $ 2,897,634 |
Transactions with Related Par43
Transactions with Related Parties (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Related Party Transactions [Abstract] | |
Summary of Correspondent Production Activity | Following is a summary of correspondent production activity between the Company and PLS: Quarter ended March 31, 2016 2015 (in thousands) Fulfillment fees earned by PLS $ 12,935 $ 12,866 UPB of mortgage loans fulfilled by PLS $ 3,259,363 $ 2,890,132 Sourcing fees received from PLS included in Net gain on mortgage loans acquired for sale $ 1,950 $ 1,421 Unpaid principal balance (“UPB”) of mortgage loans sold to PLS $ 6,495,722 $ 4,735,374 Purchases of mortgage loans acquired for sale at fair value from PLS $ 4,715 $ 8,405 Tax service fee paid to PLS included in Other $ 1,007 $ 889 Mortgage banking and warehouse services fees paid to PLS $ 1 $ — March 31, December 31, 2015 (in thousands) Mortgage loans included in Mortgage loans acquired for sale at fair value $ 596,166 $ 669,288 |
Summary of Mortgage Loan Servicing Fees Earned and Mortgage Servicing Rights Recaptured Income Earned | Following is a summary of mortgage loan servicing fees earned by PLS and MSR recapture income earned from PLS: Quarter ended March 31, 2016 2015 (in thousands) Mortgage loan servicing fees Mortgage loans acquired for sale at fair value: Base $ 56 $ 26 Activity-based 115 31 171 57 Mortgage loans at fair value: Distressed mortgage loans Base 3,359 4,032 Activity-based 3,449 2,894 6,808 6,926 Mortgage loans held in VIE Base 41 30 Activity-based — — 41 30 MSRs: Base 4,344 3,626 Activity-based 89 31 4,433 3,657 $ 11,453 $ 10,670 MSR recapture income recognized included in Net mortgage loan servicing fees $ 130 $ — Average investment in: Mortgage loans acquired for sale at fair value $ 918,741 $ 756,646 Mortgage loans at fair value: Distressed mortgage loans $ 2,064,101 $ 2,309,282 Mortgage loans held in a VIE $ 454,538 $ 526,220 Average mortgage loan servicing portfolio $ 43,253,977 $ 34,599,043 |
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 2016 2015 (in thousands) Base $ 5,352 $ 5,730 Performance incentive — 1,273 $ 5,352 $ 7,003 |
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 2016 2015 (in thousands) Reimbursement of: Common overhead incurred by PCM and its affiliates (1) $ 2,561 $ 2,729 Expenses incurred on the Company’s behalf 55 379 $ 2,616 $ 3,108 Payments and settlements during the year (2) $ 27,661 $ 22,752 (1) On December 15, 2015, the Operating Partnership amended its management agreement to provide that the total costs and expenses incurred by PFSI in any quarter and reimbursable by the Operating Partnership is capped at an amount equal to the product of (A) 70 basis points (0.0070), multiplied by (B) PMT’s shareholders’ equity (as defined in the management agreement) as of the last day of the month preceding quarter end, divided by four. (2) Payments and settlements include payments and netting settlements made pursuant to master netting agreements between the Company and PFSI for operating, investment and financing activities itemized in this Note. |
Summary of Amounts Receivable and Payable to PFSI | Amounts receivable and payable to PFSI are summarized below: March 31, December 31, 2016 2015 (in thousands) Receivable from PFSI MSR recapture receivable $ 691 $ 781 Other 5,840 8,025 $ 6,531 $ 8,806 Payable to PFSI Management fees $ 5,352 $ 5,670 Servicing fees 4,601 3,682 Correspondent production fees 2,898 2,729 Fulfillment fees 1,631 1,082 Allocated expenses 1,254 390 Conditional Reimbursement 900 900 Expenses paid by PFSI on PMT’s behalf 576 4,100 Interest on Note payable to PFSI 435 412 $ 17,647 $ 18,965 |
Summary of Investing Activity | Following is a summary of investing activities between the Company and PFSI: Quarter ended 2016 2015 (in thousands) ESS: Purchases $ — $ 46,412 Received pursuant to a recapture agreement $ 1,911 $ 1,246 Repayments and sales $ 79,926 $ 12,731 Interest income $ 7,015 $ 3,752 Net loss included in Net (loss) gain on investments Valuation changes $ (19,449 ) $ (7,536 ) Recapture income 1,822 1,289 $ (17,627 ) $ (6,247 ) |
Summary of Financing Activities | Following is a summary of financing activities between the Company and PFSI: Quarter ended 2016 2015 (in thousands) Note payable—Interest expense $ 1,602 $ — Conditional Reimbursements paid to PCM $ — $ 157 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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 2016 2015 (in thousands except Basic earnings per share: Net income $ 14,496 $ 7,508 Effect of participating securities—share-based compensation awards (412 ) (576 ) Net income attributable to common shareholders $ 14,084 $ 6,932 Diluted earnings per share: Net income attributable to common shareholders $ 14,084 $ 7,508 Effect of participating securities—share-based compensation awards — (576 ) Interest on Exchangeable Notes, net of income taxes — — Net income attributable to diluted shareholders $ 14,084 $ 6,932 Weighted-average basic shares outstanding 71,884 74,528 Potentially dilutive securities: Shares issuable under share-based compensation plan — 428 Shares issuable pursuant to exchange of the Exchangeable Notes — — Diluted weighted-average number of shares outstanding 71,884 74,956 Basic earnings per share $ 0.20 $ 0.09 Diluted earnings per share $ 0.20 $ 0.09 |
Summary of Common Shares Excluded from Computation of Diluted Earnings Per Share | The following table summarizes the common shares excluded from the diluted earnings per share calculation for the periods as inclusion of such shares would have been antidilutive: Quarter ended 2016 2015 (in thousands) Shares issuable under share-based compensation awards 1,171 — Shares issuable pursuant to exchange of the Exchangeable Notes 8,467 8,433 |
Loan Sales and Variable Inter45
Loan Sales and Variable Interest Entities (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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 of mortgage loans that are accounted for as sales where the Company maintains continuing involvement with the mortgage loans, as well as UPB information at period end: Quarter ended March 31, 2016 2015 (in thousands) Cash flows: Proceeds from sales $ 3,233,779 $ 2,644,244 Mortgage loan servicing fees received (1) $ 27,559 $ 15,732 March 31, December 31, (in thousands) UPB of mortgage loans outstanding $ 44,207,616 $ 42,300,338 Delinquent mortgage loans: 30-89 days delinquent $ 162,415 $ 175,599 90 or more days delinquent Not in foreclosure or bankruptcy 40,304 38,669 In foreclosure or bankruptcy 38,934 31,386 79,238 70,055 $ 241,653 $ 245,654 (1) Net of guarantee fees. |
Summary of Credit Risk Transfer Agreements | Following is a summary of the CRT Agreements: Quarter ended (in thousands) During the period: UPB of mortgage loans transferred and sold under CRT Agreements $ 1,923,113 Deposits of restricted cash $ 66,706 Gains (losses) recognized on CRT agreements included in Net gain on investments Realized $ 2,536 Resulting from valuation changes (6,679 ) $ (4,143 ) Payments made to settle losses $ — March 31, December 31, (in thousands) UPB of mortgage loans subject to credit guarantee obligation $ 5,931,409 $ 4,546,265 Delinquency (in UPB) Current—89 days delinquent $ 5,930,936 $ 4,546,265 90 or more days delinquent $ 473 $ — Carrying value of CRT Agreements: Net derivative asset included in Derivative assets $ — $ 593 Restricted cash included in Other $ 213,536 $ 147,000 Net derivative liability included in Derivative liabilities $ 4,218 $ — |
Netting of Financial Instrume46
Netting of Financial Instruments (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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 CRT Agreements are subject to master netting arrangements. March 31, 2016 December 31, 2015 Gross Gross Net Gross Gross Net (in thousands) Derivative assets Not subject to master netting arrangements: Interest rate lock commitments $ 9,372 $ — $ 9,372 $ 4,983 $ — $ 4,983 CRT Agreements — — — 593 — 593 9,372 — 9,372 5,576 — 5,576 Subject to master netting arrangements: MBS put options 64 — 64 93 — 93 Forward purchase contracts 20,795 — 20,795 2,444 — 2,444 Forward sale contracts 138 — 138 2,604 — 2,604 Put options on interest rate futures 414 — 414 1,512 — 1,512 Call options on interest rate futures 3,949 — 3,949 1,156 — 1,156 Netting — (16,270 ) (16,270 ) — (3,300 ) (3,300 ) 25,360 (16,270 ) 9,090 7,809 (3,300 ) 4,509 $ 34,732 $ (16,270 ) $ 18,462 $ 13,385 $ (3,300 ) $ 10,085 |
Summary of Derivative Assets and Collateral Held by Counterparty | The following table summarizes by significant counterparty the amount of derivative asset positions after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance qualifying for netting. March 31, 2016 December 31, 2015 Gross amounts Gross amounts Net amount Financial Cash Net Net amount Financial Cash Net (in thousands) Interest rate lock commitments $ 9,372 $ — $ — $ 9,372 $ 4,983 $ — $ — $ 4,983 RJ O’Brien & Associates, LLC 2,805 — — 2,805 1,672 — — 1,672 Fannie Mae Capital Markets 2,466 — — 2,466 — — — — Bank of America, N.A. 1,220 — — 1,220 — — — — Jefferies Group, LLC 726 — — 726 541 — — 541 BNP Paribas 682 — — 682 59 — — 59 Wells Fargo 468 — — 468 99 — — 99 Nomura Securities International, Inc 395 — — 395 119 — — 119 Barclays Capital — — — — 796 — — 796 Morgan Stanley Bank, N.A. — — — — 464 — — 464 Royal Bank of Canada — — — — 400 — — 400 Ally Financial — — — — 209 — — 209 Other 328 — — 328 743 — — 743 $ 18,462 $ — $ — $ 18,462 $ 10,085 $ — $ — $ 10,085 |
Schedule of 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 derivative liabilities with the exception of IRLCs and CRT Agreements are subject to master netting arrangements. Assets sold under agreements to repurchase do not qualify for setoff accounting. March 31, 2016 December 31, 2015 Gross Gross Net Gross Gross Net (in thousands) Derivative liabilities Not subject to master netting arrangements: Interest rate lock commitments $ 37 $ — $ 37 $ 337 $ — $ 337 CRT Agreements 4,218 — 4,218 — — — 4,255 — 4,255 337 — 337 Subject to master netting arrangements: Forward purchase contracts 15 — 15 3,774 — 3,774 Forward sales contracts 19,884 — 19,884 2,680 — 2,680 Put options on interest rate futures — — — 39 — 39 Call options on interest rate futures 895 — 895 305 — 305 Netting — (11,561 ) (11,561 ) — (3,978 ) (3,978 ) 20,794 (11,561 ) 9,233 6,798 (3,978 ) 2,820 Assets sold under agreements to repurchase: UPB 3,246,095 — 3,246,095 3,130,328 — 3,130,328 Unamortized debt issuance costs (1,081 ) — (1,081 ) (1,548 ) — (1,548 ) 3,245,014 — 3,245,014 3,128,780 — 3,128,780 $ 3,270,063 $ (11,561 ) $ 3,258,502 $ 3,135,915 $ (3,978 ) $ 3,131,937 |
Summary of Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty | The following table summarizes by significant counterparty the amount of derivative liabilities and assets sold under agreements to repurchase after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance qualifying for netting. All assets sold under agreements to repurchase represent sufficient collateral or exceed the liability amount recorded on the consolidated balance sheet. March 31, 2016 December 31, 2015 Gross amounts Gross amounts Net amount Financial Cash Net Net amount Financial Cash Net (in thousands) Interest rate lock commitments $ 37 $ — $ — $ 37 $ 337 $ — $ — $ 337 CRT Agreements 4,218 — — 4,218 — — — — Credit Suisse First Boston Mortgage Capital LLC 858,021 (857,269 ) — 752 893,947 (893,854 ) — 93 Citibank 824,003 (824,003 ) — — 817,089 (816,699 ) — 390 Bank of America, N.A. 568,850 (568,850 ) — — 538,755 (538,515 ) — 240 JPMorgan Chase & Co. 543,313 (543,177 ) — 136 467,427 (467,145 ) — 282 Morgan Stanley Bank, N.A. 252,082 (251,620 ) — 462 214,086 (214,086 ) — — Daiwa Capital Markets 178,994 (178,914 ) — 80 165,480 (165,480 ) — — Barclays Capital 12,379 (12,140 ) — 239 24,346 (24,346 ) — — BNP Paribas 10,122 (10,122 ) — — 10,203 (10,203 ) — — Fannie Mae Capital Markets 5,863 — — 5,863 924 — — 924 Deutsche Bank 784 — — 784 — — — — Goldman Sachs 262 — — 262 819 — — 819 Other 655 — — 655 72 — — 72 Unamortized debt issuance costs (1,081 ) 1,081 — — (1,548 ) 1,548 — — Total $ 3,258,502 $ (3,245,014 ) $ — $ 13,488 $ 3,131,937 $ (3,128,780 ) $ — $ 3,157 |
Fair Value (Tables)
Fair Value (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Fair Value Disclosures [Abstract] | |
Summary of Financial Statement Items Measured at Fair Value on Recurring Basis | Following is a summary of financial statement items that are measured at fair value on a recurring basis: March 31, 2016 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 47,500 $ — $ — $ 47,500 Mortgage-backed securities at fair value — 364,439 — 364,439 Mortgage loans acquired for sale at fair value — 1,339,633 — 1,339,633 Mortgage loans at fair value — 449,215 2,047,563 2,496,778 Excess servicing spread purchased from PFSI — — 321,976 321,976 Derivative assets: Interest rate lock commitments — — 9,372 9,372 MBS put options — 64 — 64 Forward purchase contracts — 20,795 — 20,795 Forward sales contracts — 138 — 138 Put options on interest rate futures 414 — — 414 Call options on interest rate futures 3,949 — — 3,949 Total derivative assets before netting 4,363 20,997 9,372 34,732 Netting — — — (16,270 ) Total derivative assets after netting 4,363 20,997 9,372 18,462 Mortgage servicing rights at fair value — — 61,071 61,071 $ 51,863 $ 2,174,284 $ 2,439,982 $ 4,649,859 Liabilities: Asset-backed financing of a VIE at fair value $ — $ 344,693 $ — $ 344,693 Interest-only security payable at fair value — — 675 675 Derivative liabilities: Interest rate lock commitments — — 37 37 CRT Agreements — — 4,218 4,218 Call options on interest rate futures 895 — — 895 Forward purchase contracts — 15 — 15 Forward sales contracts — 19,884 — 19,884 Total derivative liabilities before netting 895 19,899 4,255 25,049 Netting — — — (11,561 ) Total derivative liabilities after netting 895 19,899 4,255 13,488 $ 895 $ 364,592 $ 4,930 $ 358,856 December 31, 2015 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 41,865 $ — $ — $ 41,865 Mortgage-backed securities at fair value — 322,473 — 322,473 Mortgage loans acquired for sale at fair value — 1,283,795 — 1,283,795 Mortgage loans at fair value — 455,394 2,100,394 2,555,788 Excess servicing spread purchased from PFSI — — 412,425 412,425 Derivative assets: Interest rate lock commitments — — 4,983 4,983 CRT Agreements — — 593 593 MBS put options — 93 — 93 Forward purchase contracts — 2,444 — 2,444 Forward sales contracts — 2,604 — 2,604 Put options on interest rate futures 1,512 — — 1,512 Call options on interest rate futures 1,156 — — 1,156 Total derivative assets 2,668 5,141 5,576 13,385 Netting — — — (3,300 ) Total derivative assets after netting 2,668 5,141 5,576 10,085 Mortgage servicing rights at fair value — — 66,584 66,584 $ 44,533 $ 2,066,803 $ 2,584,979 $ 4,693,015 Liabilities: Asset-backed financing of the VIE at fair value $ — $ 247,690 $ — $ 247,690 Derivative liabilities: Interest rate lock commitments — — 337 337 Put options on interest rate futures 39 — — 39 Call options on interest rate futures 305 — — 305 Forward purchase contracts — 3,774 — 3,774 Forward sales contracts — 2,680 — 2,680 Total derivative liabilities 344 6,454 337 7,135 Netting — — — (3,978 ) Total derivative liabilities after netting 344 6,454 337 3,157 $ 344 $ 254,144 $ 337 $ 250,847 |
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 March 31, 2016 Mortgage Excess Interest Net derivative Mortgage Interest- loans servicing rate lock related to CRT servicing at fair value spread commitments (1) Agreements (1) rights Total (in thousands) Balance, December 31, 2015 $ 2,100,394 $ 412,425 $ 4,646 $ 593 $ 66,584 $ — $ 2,584,642 Purchases and issuances — — — — 2,602 682 3,284 Repayments and sales (32,065 ) (79,926 ) — (668 ) — — (112,659 ) Capitalization of interest 23,294 7,015 — — — — 30,309 ESS received pursuant to a recapture agreement with PFSI — 1,911 — — — — 1,911 Interest rate lock commitments issued, net — — 10,698 — — — 10,698 Servicing received as proceeds from sales of mortgage loans — — — — 3,300 — 3,300 Proceeds from CRT Agreements — — — 2,536 — — 2,536 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 12,466 — — — — — 12,466 Other factors 1,929 (19,449 ) 20,666 (6,679 ) (11,415 ) (7 ) (14,955 ) 14,395 (19,449 ) 20,666 (6,679 ) (11,415 ) (7 ) (2,489 ) Transfers of mortgage loans to REO and real estate held for investment (58,455 ) — — — — — (58,455 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (26,675 ) — — — (26,675 ) Balance, March 31, 2016 $ 2,047,563 $ 321,976 $ 9,335 $ (4,218 ) $ 61,071 675 $ 2,436,402 Changes in fair value recognized during the period relating to assets still held at March 31, 2016 $ 17,676 $ (12,239 ) $ 9,335 $ (6,679 ) $ (11,415 ) (7 ) $ (3,329 ) (1) For the purpose of this table, the IRLC and CRT Agreement asset and liability positions are shown net. Quarter ended March 31, 2015 Mortgage Excess Interest Mortgage loans servicing rate lock servicing at fair value spread commitments (1) rights Total (in thousands) Balance, December 31, 2014 $ 2,199,583 $ 191,166 $ 5,661 $ 57,358 $ 2,453,768 Purchases 241,981 46,412 — — 288,393 Repayments and sales (45,882 ) (12,731 ) — — (58,613 ) Capitalization of interest 10,209 — — — 10,209 Accrual of interest — 3,752 — — 3,752 ESS received pursuant to a recapture agreement with PFSI — 1,246 — — 1,246 Interest rate lock commitments issued, net — — 19,400 — 19,400 Servicing received as proceeds from sales of mortgage loans — — — 1,906 1,906 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 7,206 — — — 7,206 Other factors 9,980 (7,536 ) 12 (9,816 ) (7,360 ) 17,186 (7,536 ) 12 (9,816 ) (154 ) Transfers of mortgage loans to REO (79,695 ) — — — (79,695 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (16,859 ) — (16,859 ) Balance, March 31, 2015 $ 2,343,382 $ 222,309 $ 8,214 $ 49,448 $ 2,623,353 Changes in fair value recognized during the period relating to assets still held at March 31, 2015 $ 24,665 $ (7,536 ) $ 8,214 $ (9,816 ) $ 15,527 (1) For the purpose of this table, the IRLC 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): March 31, 2016 December 31, 2015 Fair value Principal Difference Fair value Principal Difference (in thousands) Mortgage loans acquired for sale at fair value: Current through 89 days delinquent $ 1,338,755 $ 1,277,319 $ 61,436 $ 1,283,275 $ 1,235,433 $ 47,842 90 or more days delinquent Not in foreclosure 878 1,096 (218 ) 304 333 (29 ) In foreclosure — — — 216 253 (37 ) 878 1,096 (218 ) 520 586 (66 ) $ 1,339,633 $ 1,278,415 $ 61,218 $ 1,283,795 $ 1,236,019 $ 47,776 Mortgage loans at fair value: Mortgage loans held in a consolidated VIE Current through 89 days delinquent $ 449,215 $ 442,637 $ 6,578 $ 455,394 $ 454,935 $ 459 90 or more days delinquent Not in foreclosure — — — — — — In foreclosure — — — — — — — — — — — — 449,215 442,637 6,578 455,394 454,935 459 Other mortgage loans at fair value: Current through 89 days delinquent 960,473 1,228,550 (268,077 ) 877,438 1,134,560 (257,122 ) 90 or more days delinquent Not in foreclosure 422,152 583,026 (160,874 ) 459,060 640,343 (181,283 ) In foreclosure 664,938 919,221 (254,283 ) 763,896 1,062,205 (298,309 ) 1,087,090 1,502,247 (415,157 ) 1,222,956 1,702,548 (479,592 ) 2,047,563 2,730,797 (683,234 ) 2,100,394 2,837,108 (736,714 ) $ 2,496,778 $ 3,173,434 $ (676,656 ) $ 2,555,788 $ 3,292,043 $ (736,255 ) |
Summary of Changes in Fair Value Included in Current Period Income | Following are the changes in fair value included in current period income by consolidated statement of income line item for financial statement items accounted for under the fair value option: Quarter ended March 31, 2016 Net gain on Net mortgage mortgage loans Net Net gain loan acquired interest on servicing for sale income investments fees Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — 13 5,099 — 5,112 Mortgage loans acquired for sale at fair value 42,005 — — — 42,005 Mortgage loans at fair value — 1,229 22,789 — 24,018 ESS at fair value — — (19,449 ) — (19,449 ) MSRs at fair value — — — (11,415 ) (11,415 ) $ 42,005 $ 1,242 $ 8,439 $ (11,415 ) $ 40,271 Liabilities: Asset-backed financing of a VIE at fair value $ — $ (1,317 ) $ (9,854 ) $ — $ (11,171 ) $ — $ (1,317 ) $ (9,854 ) $ — $ (11,171 ) Quarter ended March 31, 2015 Net gain on Net mortgage mortgage loans Net Net gain loan acquired interest on servicing for sale income investments fees Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — 86 1,516 — 1,602 Mortgage loans acquired for sale at fair value 23,081 — — — 23,081 Mortgage loans at fair value — 489 18,986 — 19,475 ESS at fair value — — (6,247 ) — (6,247 ) MSRs at fair value — — — (9,816 ) (9,816 ) $ 23,081 $ 575 $ 14,255 $ (9,816 ) $ 28,095 Liabilities: Asset-backed financing of a VIE at fair value $ — $ (173 ) $ (770 ) $ — $ (943 ) $ — $ (173 ) $ (770 ) $ — $ (943 ) |
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: March 31, 2016 Level 1 Level 2 Level 3 Total (in thousands) Real estate acquired in settlement of loans $ — $ — $ 142,602 $ 142,602 MSRs at lower of amortized cost or fair value — — 144,050 144,050 $ — $ — $ 286,652 $ 286,652 December 31, 2015 Level 1 Level 2 Level 3 Total (in thousands) Real estate acquired in settlement of loans $ — $ — $ 173,662 $ 173,662 MSRs at lower of amortized cost or fair value — — 145,187 145,187 $ — $ — $ 318,849 $ 318,849 |
Summary of Changes in Fair Value Recognized in Assets that Measured at Fair Value on a 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 March 31, 2016 2015 (in thousands) Real estate asset acquired in settlement of loans $ (9,116 ) $ (10,615 ) MSRs at lower of amortized cost or fair value (17,706 ) (6,379 ) $ (26,822 ) $ (16,994 ) |
Quantitative Summary of Key Inputs Used in Valuation of Mortgage Loans at Fair Value | Following is a quantitative summary of key inputs used in the valuation of mortgage loans at fair value: Key inputs March 31, 2016 December 31, 2015 Discount rate Range 2.5% – 15.0% 2.5% – 15.0% Weighted average 6.8% 7.1% Twelve-month projected housing price index change Range 1.7% – 5.9% 1.5% – 5.1% Weighted average 3.7% 3.6% Prepayment speed (1) Range 0.1% – 10.6% 0.1% – 9.6% Weighted average 3.8% 3.7% Total prepayment speed (2) Range 0.6% – 25.9% 0.5% – 27.2% Weighted average 20.0% 19.6% (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: Key inputs March 31, 2016 December 31, 2015 UPB of underlying mortgage loans (in thousands) $38,076,993 $51,966,405 Average servicing fee rate (in basis points) 34 32 Average ESS rate (in basis points) 19 17 Pricing spread (1) Range 4.8% - 6.5% 4.8% - 6.5% Weighted average 5.8% 5.7% Life (in years) Range 1.8 - 9.3 1.4 - 9.0 Weighted average 6.8 6.9 Annual total prepayment speed (2) Range 6.2% - 44.5% 5.2% - 52.4% Weighted average 11.0% 9.6% (1) Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar London Interbank Offered Rate (“LIBOR”) curve for purposes of discounting cash flows relating to ESS. (2) Prepayment speed is measured using Life Total CPR. |
Quantitative Summary of Key Unobservable Inputs Used in Valuation of Interest Rate Lock Commitments | Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs: Key inputs March 31, 2016 December 31, 2015 Pull-through rate Range 52.4% - 100.0% 60.2% - 100.0% Weighted average 89.9% 92.4% MSR value expressed as: Servicing fee multiple Range 1.9 - 6.1 2.1 - 6.2 Weighted average 4.9 4.9 Percentage of UPB Range 0.5% - 1.5% 0.5% - 3.8% Weighted average 1.2% 1.2% |
Key Assumptions Used in Determining Fair Value of MSRs at Time of Initial Recognition | Following are the key inputs used in determining the fair value of MSRs at the time of initial recognition: Quarter ended March 31, 2016 2015 Amortized Fair Amortized Fair (MSR recognized and UPB of underlying mortgage loan amounts in thousands) MSR recognized $32,862 $3,300 $25,554 $1,906 Key inputs UPB of underlying mortgage loans $2,759,545 $327,025 $2,282,756 $223,653 Weighted-average annual servicing fee rate (in basis points) 25 26 26 26 Pricing spread (1) Range 7.2% – 10.2% 7.2% – 7.2% 6.8% –17.5% 10.3% – 14.3% Weighted average 7.2% 7.2% 8.6% 11.0% Life (in years) Range 1.4 – 12.3 2.3 – 9.4 1.3 – 7.7 2.6 – 7.2 Weighted average 7.0 5.6 6.5 5.9 Annual total prepayment speed (2) Range 3.6% – 49.2% 7.2% – 34.8% 7.6% – 51.0% 8.6% – 33.3% Weighted average 10.4% 15.7% 9.3% 13.8% Annual per-loan cost of servicing Range $68 – $68 $68 – $68 $62 – $134 $62 – $62 Weighted average $68 $68 $63 $62 (1) 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: March 31, 2016 December 31, 2015 Amortized Fair Amortized Fair (Carrying value, UPB of underlying mortgage loan and effect on fair value Carrying value $394,026 $61,071 $393,157 $66,584 Key inputs: UPB of underlying mortgage loans $37,479,123 $6,728,493 $35,841,654 $6,458,684 Weighted-average annual servicing fee rate (in basis points) 26 25 26 25 Weighted-average note interest rate 3.9% 4.7% 3.9% 4.7% Pricing spread (1) Range 7.2% – 10.7% 7.2% – 10.2% 7.2% – 10.7% 7.2% – 10.2% Weighted average 7.2% 7.2% 7.3% 7.2% Effect on fair value of (2): 5% adverse change $(5,953) $(849) $(6,411) $(944) 10% adverse change $(11,736) $(1,675) $(12,635) $(1,862) 20% adverse change $(22,815) $(3,257) $(24,553) $(3,621) Weighted average life (in years) Range 1.4 - 6.9 2.0 - 5.4 1.3 - 7.7 2.5 - 6.1 Weighted average 6.5 5.4 7.2 6.1 Prepayment speed (3) Range 9.8% – 50.6% 10.4% – 37.6% 8.1% – 51.5% 9.2% – 32.5% Weighted average 11.5% 15.7% 9.6% 13.2% Effect on fair value of (2): 5% adverse change $(9,184) $(1,939) $(8,159) $(1,793) 10% adverse change $(17,998) $(3,779) $(16,024) $(3,502) 20% adverse change $(34,602) $(7,186) $(30,938) $(6,692) Annual per-loan cost of servicing Range $68 – $68 $68 – $68 $68 – $68 $68 – $68 Weighted average $68 $68 $68 $68 Effect on fair value of (2): 5% adverse change $(2,718) $(452) $(2,742) $(470) 10% adverse change $(5,435) $(904) $(5,484) $(940) 20% adverse change $(10,870) $(1,807) $(10,968) $(1,880) (1) The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs. (2) For MSRs carried at fair value, an adverse change in one of the above-mentioned key inputs is expected to result in a reduction in fair value which will be recognized in income. For MSRs carried at lower of amortized cost or fair value, an adverse change in one of the above-mentioned key inputs may result in recognition of MSR impairment. The extent of the recognized MSR impairment will depend on the relationship of fair value to the carrying value of such MSRs. (3) Prepayment speed is measured using Life Total CPR. |
Mortgage Loans Acquired for S48
Mortgage Loans Acquired for Sale at Fair Value (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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: March 31, 2016 December 31, 2015 Loan type Fair Unpaid Fair Unpaid (in thousands) Conventional: Agency-eligible $ 705,089 $ 674,703 $ 540,947 $ 525,192 Jumbo 13,621 13,426 54,613 54,096 Held for sale to PLS — Government insured or guaranteed 596,166 565,086 669,288 637,666 Commercial real estate 18,985 18,989 14,590 14,461 Mortgage loans repurchased pursuant to representations and warranties 5,772 6,212 4,357 4,604 $ 1,339,633 $ 1,278,416 $ 1,283,795 $ 1,236,019 Mortgage loans pledged to secure: Assets sold under agreements to repurchase $ 1,245,625 $ 1,204,462 Mortgage loan participation and sale agreements $ 64,794 $ — Federal Home Loan Bank (“FHLB”) advances $ — $ 63,993 |
Derivative Financial Instrume49
Derivative Financial Instruments (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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 March 31, 2016 December 31, 2015 Fair value Fair value Notional Derivative Derivative Notional Derivative Derivative Instrument amount assets liabilities amount assets liabilities (in thousands) Derivatives not designated as hedging instruments: Free-standing derivatives: Interest rate lock commitments 1,234,894 $ 9,372 $ 37 970,067 $ 4,983 $ 337 Used for hedging purposes: Forward sales contracts 3,466,697 138 19,884 2,450,642 2,604 2,680 Forward purchase contracts 2,981,134 20,795 15 2,469,550 2,444 3,774 MBS put options 425,000 64 — 375,000 93 — Swap futures 12,500 — — — — — Eurodollar future sales contracts 1,734,000 — — 1,755,000 — — Call options on interest rate futures 1,250,000 3,949 895 50,000 1,156 305 Put options on interest rate futures 1,525,000 414 — 1,600,000 1,512 39 CRT Agreements 5,931,409 — 4,218 4,546,265 593 — Total derivative instruments before netting 34,732 25,049 13,385 7,135 Netting (16,270 ) (11,561 ) (3,300 ) (3,978 ) $ 18,462 $ 13,488 $ 10,085 $ 3,157 (Collateral received from) margin deposits with derivatives counterparties $ (4,709 ) $ 678 |
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: Income statement line Quarter ended March 31, 2016 2015 (in thousands) Interest rate lock commitments Net gain on mortgage loans acquired for sale $ 31,364 $ 19,412 Hedged item: Interest rate lock commitments and mortgage loans acquired for sale Net gain on mortgage loans acquired for sale $ (30,672 ) $ (15,111 ) Mortgage servicing rights Net loan servicing fees $ 29,960 $ 11,076 Fixed-rate assets and LIBOR- indexed repurchase agreements Net gain on investments $ (162 ) $ (10,038 ) CRT agreements Net gain on investments $ (4,143 ) $ — |
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 March 31, 2016 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) Forward sales contracts 2,450,642 14,153,873 (13,137,818 ) 3,466,697 Forward purchase contracts 2,469,550 10,068,440 (9,556,856 ) 2,981,134 MBS call options 375,000 750,000 (700,000 ) 425,000 Swap futures — 12,500 — 12,500 Eurodollar future sale contracts 1,755,000 80,000 (101,000 ) 1,734,000 Call options on interest rate futures 50,000 1,300,000 (100,000 ) 1,250,000 Put options on interest rate futures 1,600,000 2,050,000 (2,125,000 ) 1,525,000 CRT Agreements 4,546,265 1,923,113 (537,969 ) 5,931,409 Quarter ended March 31, 2015 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) Forward sales contracts 1,601,283 9,829,527 (8,472,318 ) 2,958,492 Forward purchase contracts 1,100,700 7,047,676 (6,015,760 ) 2,132,616 MBS put option 340,000 405,000 (555,000 ) 190,000 Eurodollar future sale contracts 7,426,000 100,000 (1,171,000 ) 6,355,000 Eurodollar future purchase contracts 800,000 — (800,000 ) — Treasury future sale contracts 85,000 96,500 (96,500 ) 85,000 Call options on interest rate futures 1,030,000 640,000 (505,000 ) 1,165,000 Put options on interest rate futures 275,000 1,120,000 (375,000 ) 1,020,000 |
Mortgage Loans at Fair Value (T
Mortgage Loans at Fair Value (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Text Block [Abstract] | |
Summary of Distribution of Company's Mortgage Loans at Fair Value | Following is a summary of the distribution of the Company’s mortgage loans at fair value: March 31, 2016 December 31, 2015 Loan type Fair Unpaid Fair Unpaid (in thousands) Distressed mortgage loans Nonperforming mortgage loans $ 1,087,089 $ 1,502,248 $ 1,222,956 $ 1,702,548 Performing mortgage loans: Fixed interest rate 458,662 578,951 417,658 535,610 Interest rate step-up 341,111 463,396 299,569 412,749 Adjustable-rate/hybrid 160,519 186,000 160,051 185,997 Balloon 182 202 160 204 960,474 1,228,549 877,438 1,134,560 Fixed interest rate jumbo mortgage loans held in a VIE 449,215 442,637 455,394 454,935 $ 2,496,778 $ 3,173,434 $ 2,555,788 $ 3,292,043 Mortgage loans at fair value pledged to secure: Assets sold under agreements to repurchase $ 2,014,446 $ 2,067,341 FHLB advances $ — $ 134,172 Asset-backed financing of the VIE at fair value $ 449,215 $ 455,394 |
Summary of Certain Concentrations of Credit Risk in Portfolio of Distressed Mortgage Loans at Fair Value | Following is a summary of certain concentrations of credit risk in the portfolio of distressed mortgage loans at fair value: Concentration March 31, December 31, (percentages are of fair value) Portion of mortgage loans originated between 2005 and 2007 72% 72% Percentage of fair value of mortgage loans with unpaid-principal balance-to-current-property-value in excess of 100% 42% 48% 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 Settl51
Real Estate Acquired in Settlement of Loans (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Banking and Thrift [Abstract] | |
Summary of Financial Information Relating to REO | Following is a summary of financial information relating to REO: Quarter ended March 31, 2016 2015 (in thousands) Balance at beginning of period $ 341,846 $ 303,228 Transfers from mortgage loans at fair value and advances 60,494 86,117 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment (4,184 ) — Results of REO: Valuation adjustments, net (10,645 ) (11,400 ) Gain on sale, net 4,609 5,568 (6,036 ) (5,832 ) Proceeds from sales (64,908 ) (65,977 ) Balance at end of period $ 327,212 $ 317,536 At period end: REO pledged to secure assets sold under agreements to repurchase $ 200,766 $ 71,716 REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties $ 56,528 $ 128,788 |
Mortgage Servicing Rights (Tabl
Mortgage Servicing Rights (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Summary of MSRs Carried at Fair Value | Following is a summary of MSRs carried at fair value: Quarter ended March 31, 2016 2015 (in thousands) Balance at beginning of period $ 66,584 $ 57,358 Purchases 2,602 — MSRs resulting from mortgage loan sales 3,300 1,906 Changes in fair value: Due to changes in valuation inputs used in valuation model (1) (8,952 ) (8,194 ) Other changes in fair value (2) (2,463 ) (1,622 ) (11,415 ) (9,816 ) Balance at end of period $ 61,071 $ 49,448 MSRs pledged to secure notes payable at period end $ 61,071 $ — (1) Principally reflects changes in pricing spread (discount rate) and prepayment speed inputs, primarily due to changes in market interest rates. (2) Represents changes due to realization of expected cash flows. |
Summary of MSRs Carried at Lower of Amortized Cost or Fair Value | Following is a summary of MSRs carried at lower of amortized cost or fair value: Quarter ended March 31, 2016 2015 (in thousands) Amortized Cost: Balance at beginning of period $ 404,101 $ 308,137 MSRs resulting from mortgage loan sales 32,862 25,554 Amortization (14,287 ) (9,592 ) Sales — (293 ) Balance at end of period 422,676 323,806 Valuation Allowance: Balance at beginning of period (10,944 ) (7,715 ) Additions (17,706 ) (6,379 ) Balance at end of period (28,650 ) (14,094 ) MSRs, net $ 394,026 $ 309,712 Fair value at beginning of period $ 424,154 $ 322,230 Fair value at end of period $ 405,635 $ 327,703 MSRs pledged to secure notes payable $ 394,026 $ — |
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 March 31, 2016 valuation of MSRs. The inputs underlying the following estimate will change as market conditions and portfolio composition and behavior change, causing both actual and projected amortization levels to change over time. Estimated MSR 12 months ended March 31, amortization (in thousands) 2017 $ 59,226 2018 50,401 2019 43,243 2020 37,530 2021 32,801 Thereafter 199,475 Total $ 422,676 |
Mortgage service rights [Member] | |
Summary of Net Mortgage Loan Servicing Fees Relating to MSRs | Servicing fees relating to MSRs are recorded in Net mortgage loan servicing fees Quarter ended March 31, 2016 2015 (in thousands) Contractually-specified servicing fees $ 27,779 $ 21,588 |
Assets Sold Under Agreements 53
Assets Sold Under Agreements to Repurchase (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase | Following is a summary of financial information relating to assets sold under agreements to repurchase: Quarter ended March 31, 2016 2015 (dollars in thousands) During the period: Weighted-average interest rate (1) 2.23 % 2.33 % Average balance $ 2,797,301 $ 2,847,915 Total interest expense $ 20,412 $ 18,912 Maximum daily amount outstanding $ 3,577,236 $ 3,860,671 (1) Excludes the effect of amortization of debt issuance costs of $2.1 million and $2.3 million for the quarters ended March 31, 2016 and 2015, respectively. March 31, 2016 December 31, 2015 (dollars in thousands) Carrying value: Amount outstanding $ 3,246,095 $ 3,130,328 Unamortized debt issuance costs (1,081 ) (1,548 ) $ 3,245,014 $ 3,128,780 Weighted-average interest rate 2.46 % 2.33 % Available borrowing capacity: Committed $ 176,033 $ 231,913 Uncommitted 1,059,224 661,756 $ 1,235,257 $ 893,669 Margin deposits placed with counterparties included in Other $ 6,939 $ 7,268 Fair value of assets securing agreements to repurchase: Mortgage-backed securities $ 364,439 $ 313,753 Mortgage loans acquired for sale at fair value 1,245,625 1,204,462 Mortgage loans at fair value 2,014,446 2,067,341 Real estate acquired in settlement of loans 257,294 283,343 Restricted cash included in Other 180,992 — $ 4,062,796 $ 3,868,899 |
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 March 31, 2016 Contractual (in thousands) Within 30 days $ 245,478 Over 30 to 90 days 305,775 Over 90 days to 180 days 250,396 Over 180 days to 1 year 2,444,446 Over 1 year to 2 years — $ 3,246,095 Weighted average maturity (in months) 8 |
Covenant Compliance | The following is a summary of the tangible net worth, as defined in the respective borrowing agreements, and minimum required amounts for the Company and certain of its subsidiaries at March 31, 2016 to comply with the debt covenants contained in the borrowing agreements: Tangible net worth as of Minimum Entity Balance required (in thousands) PennyMac Mortgage Investment Trust $ 1,414,503 $ 860,000 Operating Partnership $ 1,453,675 $ 700,000 PennyMac Holdings, LLC $ 878,764 $ 250,000 PennyMac Corp. $ 403,394 $ 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 March 31, 2016: Mortgage loans acquired for sale, Mortgage loans and REO sold under agreements to repurchase Weighted-average Counterparty Amount at risk repurchase Facility maturity (in thousands) Citibank, N.A. $ 352,362 May 15, 2016 October 20, 2016 Credit Suisse First Boston Mortgage Capital LLC $ 278,944 June 24, 2016 March 30, 2017 JPMorgan Chase & Co. $ 151,873 - January 26, 2017 Bank of America, N.A. $ 37,910 June 22, 2016 March 29, 2017 Morgan Stanley $ 17,903 May 23, 2016 December 16, 2016 Barclays $ 970 June 12, 2016 September 13, 2016 |
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 Weighted average maturity (in thousands) JPMorgan Chase & Co. $ 52,898 April 8, 2016 Bank of America, N.A. $ 16,153 April 21, 2016 Daiwa Capital Markets America Inc. $ 9,370 May 9, 2016 BNP Paribas Corporate & Institutional Banking $ 3,469 April 18, 2019 Citibank, N.A. $ 527 June 30, 2016 |
Mortgage Loan Participation a54
Mortgage Loan Participation and Sale Agreements (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Text Block [Abstract] | |
Summary of Mortgage Loan Participation and Sale Agreements | Mortgage loan participation and sale agreements are summarized below: Quarter ended March 31, 2016 2015 (dollars in thousands) During the period: Weighted-average interest rate (1) 1.68 % 1.42 % Average balance $ 68,598 $ 43,547 Total interest expense $ 327 $ 207 Maximum daily amount outstanding $ 97,672 $ 92,940 (1) Excludes the effect of amortization of debt issuance costs of $36,000 and $52,000 for the quarters ended March 31, 2016 and 2015. March 31, 2016 (dollars in thousands) Carrying value: Amount outstanding $ 62,400 Unamortized debt issuance costs — $ 62,400 Weighted-average interest rate 1.69 % Mortgage loans acquired for sale pledged to secure mortgage loan participation and sale agreements $ 64,794 |
Federal Home Loan Bank Advanc55
Federal Home Loan Bank Advances (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Banking and Thrift [Abstract] | |
Summary of FHLB Advances | The FHLB advances are summarized below: Quarter ended (dollars in thousands) During the period: Weighted-average interest rate 0.49 % Average balance $ 98,038 Total interest expense $ 122 Maximum daily amount outstanding $ 201,130 December 31, 2015 (dollars in thousands) Carrying value $ 183,000 Weighted-average interest rate 0.30 % Fair value of assets securing FHLB advances: Mortgage-backed securities $ 8,720 Mortgage loans acquired for sale at fair value 63,993 Mortgage loans at fair value 134,172 $ 206,885 |
Notes Payable (Tables)
Notes Payable (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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 March 31, 2016 (dollars in thousands) During the period: Weighted-average interest rate (1) 4.59 % Average balance $ 213,616 Total interest expense $ 3,344 Maximum daily amount outstanding $ 234,476 (1) Excludes the effect of amortization of debt issuance costs of $825,000 for the quarter ended March 31, 2016. March 31, 2016 December 31, 2015 (dollars in thousands) Carrying value: Amount outstanding $ 206,228 $ 236,107 Unamortized debt issuance costs (37 ) (92 ) $ 206,191 $ 236,015 Weighted-average interest rate 4.59 % 4.53 % MSRs pledged to secure notes payable $ 455,097 $ 459,741 |
Asset-Backed Financing of a V57
Asset-Backed Financing of a Variable Interest Entity at Fair Value (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Text Block [Abstract] | |
Summary of Financial Information Relating to Asset-Backed Financing of a VIE | Following is a summary of financial information relating to the asset-backed financing of a VIE: Quarter ended March 31, 2016 2015 (dollars in thousands) During the period: Weighted-average fair value $ 315,991 $ 165,522 Interest expense $ 1,352 $ 1,583 Weighted-average effective interest rate 3.34 % 3.83 % March 31, 2016 December 31, 2015 (dollars in thousands) Carrying value $ 344,693 $ 247,690 UPB $ 339,449 $ 248,284 Weighted-average interest rate 3.50 % 3.50 % |
Exchangeable Senior Notes (Tabl
Exchangeable Senior Notes (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Text Block [Abstract] | |
Summary of Financial Information Relating to Exchangeable Notes | Following is financial information relating to the Exchangeable Notes: Quarter ended March 31, 2016 2015 (in thousands) During the period: Weighted-average UPB $ 250,000 $ 250,000 Interest expense (1) $ 3,612 $ 3,597 (1) Total interest expense includes amortization of debt issuance costs of $253,000 and $239,000 during the quarters ended March 31, 2016 and 2015, respectively. March 31, December 31, (in thousands) Carrying value: UPB $ 250,000 $ 250,000 Unamortized debt issuance costs (4,693 ) (4,946 ) $ 245,307 $ 245,054 |
Liability for Losses Under Re59
Liability for Losses Under Representations and Warranties (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Text Block [Abstract] | |
Summary of Company's Liability for Losses under Representations and Warranties | Following is a summary of the Company’s liability for losses under representations and warranties: Quarter ended March 31, 2016 2015 (in thousands) Balance, beginning of period $ 20,171 $ 14,242 Provision for losses Pursuant to mortgage loan sales 571 925 Adjustment to previously recorded amount due to change in estimate (1,724 ) — Losses incurred (306 ) (53 ) Recoveries — 265 Balance, end of period $ 18,712 $ 15,379 UPB of mortgage loans subject to representations and warranties at period end $ 43,464,887 $ 35,573,237 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
Company's Outstanding Contractual Loan Commitments | The following table summarizes the Company’s outstanding contractual loan commitments: March 31, 2016 (in thousands) Commitments to purchase mortgage loans: Mortgage loans acquired for sale at fair value $ 1,234,894 |
Net Interest Income (Tables)
Net Interest Income (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Banking and Thrift, Interest [Abstract] | |
Summary of Net Interest Income | Net interest income is summarized below: Quarter ended March 31, 2016 2015 (in thousands) Interest income: From nonaffiliates: Short-term investments $ 376 $ 220 Mortgage-backed securities 2,712 2,633 Mortgage loans acquired for sale at fair value 9,264 7,101 Mortgage loans at fair value 29,186 21,554 Mortgage loans at fair value held by a VIE 5,529 5,413 Other 284 12 47,351 36,933 From PFSI: ESS purchased from PFSI, at fair value 7,015 3,752 54,366 40,685 Interest expense: From nonaffiliates: Assets sold under agreements to repurchase 20,412 18,912 Mortgage loans participation and sale agreement 327 207 FHLB advances 122 — Notes payable 3,344 — Asset-backed financings of a VIE at fair value 1,352 1,583 Exchangeable Notes 3,612 3,597 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 972 1,173 Interest on mortgage loan impound deposits 261 274 30,402 25,746 From PFSI—Note payable 1,602 — 32,004 25,746 Net interest income $ 22,362 $ 14,939 |
Net Gain on Mortgage Loans Ac62
Net Gain on Mortgage Loans Acquired for Sale (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Text Block [Abstract] | |
Summary of Net Gain on Mortgage Loans Acquired for Sale | Net gain on mortgage loans acquired for sale is summarized below: Quarter ended March 31, 2016 2015 (in thousands) Cash loss: Mortgage loans $ (3,019 ) $ (7,544 ) Hedging activities (32,577 ) (12,527 ) (35,596 ) (20,071 ) Non cash gain: Receipt of MSRs in mortgage loan sale transactions 36,162 27,460 Provision for losses relating to representations and warranties provided in mortgage loan sales Pursuant to mortgage loans sales (571 ) (925 ) Adjustment to previously recorded amount due to change in estimate 1,724 — Change in fair value during the period of financial instruments held at period end: IRLCs 4,688 2,554 Mortgage loans 6,737 3,726 Hedging derivatives 1,905 (2,584 ) 13,330 3,696 $ 15,049 $ 10,160 |
Net (Loss) Gain on Investments
Net (Loss) Gain on Investments (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of Net (Loss) Gain on Investments | Net (loss) gain on investments is summarized below: Quarter ended March 31, 2016 2015 (in thousands) Net (loss) gain on investments: From non-affiliates: Mortgage-backed securities $ 5,099 $ 1,516 Mortgage loans at fair value 14,395 17,186 Mortgage loans held in a VIE 8,394 1,800 CRT Agreements (4,143 ) — Asset-backed financing of a VIE at fair value (9,854 ) (770 ) Hedging derivatives (162 ) (10,038 ) 13,729 9,694 From PFSI—ESS (17,627 ) (6,247 ) $ (3,898 ) $ 3,447 |
Net Loan Servicing Fees (Tables
Net Loan Servicing Fees (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Text Block [Abstract] | |
Summary of Net Loan Servicing Fees | Net loan servicing fees are summarized below: Quarter ended March 31, 2016 2015 (in thousands) Servicing fees (1) $ 28,872 $ 22,629 MSR recapture fee receivable from PFSI 130 — Effect of MSRs: Carried at lower of amortized cost or fair value: Amortization (14,287 ) (9,592 ) Provision for impairment (17,706 ) (6,379 ) Gain on sale — 83 Carried at fair value—change in fair value (11,415 ) (9,816 ) Gains on hedging derivatives 29,960 11,076 (13,448 ) (14,628 ) Net loan servicing fees $ 15,554 $ 8,001 Average servicing portfolio $ 43,253,977 $ 34,599,043 (1) Includes contractually specified servicing and ancillary fees. |
Other Expenses (Tables)
Other Expenses (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Other Income and Expenses [Abstract] | |
Summary of Other Expenses | Other expenses are summarized below: Quarter ended March 31, 2016 2015 (in thousands) Common overhead allocation from PFSI (1) $ 2,561 $ 2,392 Mortgage loan origination 1,121 953 Real estate held for investment 557 — Technology 435 292 Insurance 318 373 Other 644 847 $ 5,636 $ 4,857 (1) On December 15, 2015, the Operating Partnership amended its management agreement to provide that the total costs and expenses incurred by PFSI in any quarter and reimbursable by the Operating Partnership is capped at an amount equal to the product of (A) 70 basis points (0.0070), multiplied by (B) PMT’s shareholders’ equity (as defined in the management agreement) as of the last day of the month preceding quarter end, divided by four. |
Segments and Related Informat66
Segments and Related Information (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Segment Reporting [Abstract] | |
Financial Highlights by Operating Segment | Financial highlights by operating segment are summarized below: Correspondent Investment Quarter ended March 31, 2016 production activities Total (in thousands) Net investment income: Interest income $ 9,023 $ 45,343 $ 54,366 Interest expense (5,119 ) (26,885 ) (32,004 ) 3,904 18,458 22,362 Net gain on mortgage loans acquired for sale 15,049 — 15,049 Net loss on investments — (3,898 ) (3,898 ) Net mortgage loan servicing fees — 15,554 15,554 Other income (loss) 6,837 (3,688 ) 3,149 25,790 26,426 52,216 Expenses: Mortgage loan fulfillment, servicing and management fees payable to PFSI 13,354 16,386 29,740 Other 1,527 9,905 11,432 14,881 26,291 41,172 Pre-tax income $ 10,909 $ 135 $ 11,044 Total assets at period end $ 1,351,098 $ 4,469,342 $ 5,820,440 Correspondent Investment Quarter ended March 31, 2015 production activities Total (in thousands) Net investment income: Interest income $ 7,112 $ 33,573 $ 40,685 Interest expense (3,820 ) (21,926 ) (25,746 ) 3,292 11,647 14,939 Net gain on mortgage loans acquired for sale 10,160 — 10,160 Net gain on investments — 3,447 3,447 Net mortgage loan servicing fees — 8,001 8,001 Other income (loss) 5,351 (4,241 ) 1,110 18,803 18,854 37,657 Expenses: Mortgage loan fulfillment, servicing and management fees payable to PFSI 13,170 17,369 30,539 Other 1,214 9,724 10,938 14,384 27,093 41,477 Pre-tax income (loss) $ 4,419 $ (8,239 ) $ (3,820 ) Total assets at period end $ 1,392,680 $ 4,344,730 $ 5,737,410 |
Supplemental Cash Flow Inform67
Supplemental Cash Flow Information (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Supplemental Cash Flow Elements [Abstract] | |
Summary of Supplemental Cash Flow Information | Quarter ended March 31 2016 2015 (in thousands) Cash paid for interest $ 36,594 $ 21,188 Income taxes paid, net $ 175 $ 186 Non-cash investing activities: Receipt of MSRs as proceeds from sales of mortgage loans $ 36,162 $ 27,460 Transfer of mortgage loans and advances to real estate acquired in settlement of loans $ 60,494 $ 86,117 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment $ 4,184 $ — Receipt of ESS pursuant to recapture agreement with PFSI $ 1,911 $ 1,246 Non-cash financing activities: Transfer of mortgage loans at fair value financed under agreements to repurchase to REO financed under agreements to repurchase $ 9,710 $ — Dividends payable $ 32,695 $ 46,073 |
Regulatory Capital and Liquid68
Regulatory Capital and Liquidity Requirements (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Mortgage Banking [Abstract] | |
Summary of Capital and Liquidity Requirements by Agencies | Such Agencies’ capital and liquidity requirements, the calculations of which are defined by each entity, are summarized below: March 31, 2016 Net Worth (1) Tangible Net Worth / (1) Liquidity (1) Agency Actual Required Actual Required Actual Required (in thousands) (in thousands) (in thousands) Fannie Mae $ 407,438 $ 113,019 14 % 6 % $ 30,797 $ 15,473 Freddie Mac $ 407,438 $ 113,019 14 % 6 % $ 30,797 $ 15,473 (1) Calculated in compliance with the respective Agency’s requirements. |
Organization and Basis of Pre69
Organization and Basis of Presentation - Additional Information (Detail) | 3 Months Ended |
Mar. 31, 2016Segment | |
Accounting Policies [Abstract] | |
Number of business segments | 2 |
Percentage of taxable income for distributions | 90.00% |
Concentration of Risks - Summar
Concentration of Risks - Summary of Holdings of Assets Purchased (Detail) - Forward Purchase Commitments [Member] - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Investment portfolio purchases through one or more subsidiaries of Citigroup Inc. as of: | ||
Investment portfolio purchases above through one or more subsidiaries of Citigroup, Inc. Mortgage loans at fair value | $ 845,154 | $ 855,691 |
Investment portfolio purchases above through one or more subsidiaries of Citigroup, Inc. REO | 76,316 | 88,088 |
Investment portfolio purchases above through one or more subsidiaries of Citigroup, Inc. total | 921,470 | 943,779 |
Total carrying value of mortgage loans at fair value and REO | $ 2,823,990 | $ 2,897,634 |
Transactions with Related Par71
Transactions with Related Parties - Summary of Correspondent Production Activity (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |
Related Party Transaction [Line Items] | |||
Fulfillment fees earned by PLS | $ 12,935 | $ 12,866 | |
Purchases of mortgage loans acquired for sale at fair value from PLS | 4,715 | 8,405 | |
Mortgage loans included in Mortgage loans acquired for sale at fair value pending sale to PLS | 1,339,633 | $ 1,283,795 | |
Penny Mac Loan Services LLC [Member] | |||
Related Party Transaction [Line Items] | |||
Fulfillment fees earned by PLS | 12,935 | 12,866 | |
UPB of mortgage loans fulfilled by PLS | 3,259,363 | 2,890,132 | |
Sourcing fees received from PLS included in Net gain on mortgage loans acquired for sale | 1,950 | 1,421 | |
Unpaid principal balance ("UPB") of mortgage loans sold to PLS | 6,495,722 | 4,735,374 | |
Purchases of mortgage loans acquired for sale at fair value from PLS | 4,715 | 8,405 | |
Tax service fee paid to PLS included in Other expense | 1,007 | 889 | |
Mortgage banking and warehouse services fees paid to PLS | 1 | $ 0 | |
Mortgage loans included in Mortgage loans acquired for sale at fair value pending sale to PLS | $ 596,166 | $ 669,288 |
Transactions with Related Par72
Transactions with Related Parties - Summary of Mortgage Loan Servicing Fees Earned and Mortgage Servicing Rights Recaptured Income Earned (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Related Party Transaction [Line Items] | ||
Mortgage loan servicing fees | $ 11,453 | $ 10,670 |
MSR recapture income recognized included in Net mortgage loan servicing fees | 130 | 0 |
Average mortgage loan servicing portfolio | 43,253,977 | 34,599,043 |
Penny Mac Loan Services LLC [Member] | ||
Related Party Transaction [Line Items] | ||
Mortgage loan servicing fees | 11,453 | 10,670 |
MSR recapture income recognized included in Net mortgage loan servicing fees | 130 | 0 |
Average mortgage loan servicing portfolio | 43,253,977 | 34,599,043 |
Penny Mac Loan Services LLC [Member] | Mortgage loans acquired for sale at fair value [Member] | ||
Related Party Transaction [Line Items] | ||
Mortgage loan servicing fees | 171 | 57 |
Average mortgage loan servicing portfolio | 918,741 | 756,646 |
Penny Mac Loan Services LLC [Member] | Mortgage loans acquired for sale at fair value [Member] | Base [Member] | ||
Related Party Transaction [Line Items] | ||
Mortgage loan servicing fees | 56 | 26 |
Penny Mac Loan Services LLC [Member] | Mortgage loans acquired for sale at fair value [Member] | Activity-based [Member] | ||
Related Party Transaction [Line Items] | ||
Mortgage loan servicing fees | 115 | 31 |
Penny Mac Loan Services LLC [Member] | Distressed mortgage loans [Member] | ||
Related Party Transaction [Line Items] | ||
Mortgage loan servicing fees | 6,808 | 6,926 |
Average mortgage loan servicing portfolio | 2,064,101 | 2,309,282 |
Penny Mac Loan Services LLC [Member] | Distressed mortgage loans [Member] | Base [Member] | ||
Related Party Transaction [Line Items] | ||
Mortgage loan servicing fees | 3,359 | 4,032 |
Penny Mac Loan Services LLC [Member] | Distressed mortgage loans [Member] | Activity-based [Member] | ||
Related Party Transaction [Line Items] | ||
Mortgage loan servicing fees | 3,449 | 2,894 |
Penny Mac Loan Services LLC [Member] | Mortgage loans held in VIE [Member] | ||
Related Party Transaction [Line Items] | ||
Mortgage loan servicing fees | 41 | 30 |
Average mortgage loan servicing portfolio | 454,538 | 526,220 |
Penny Mac Loan Services LLC [Member] | Mortgage loans held in VIE [Member] | Base [Member] | ||
Related Party Transaction [Line Items] | ||
Mortgage loan servicing fees | 41 | 30 |
Penny Mac Loan Services LLC [Member] | Mortgage loans held in VIE [Member] | Activity-based [Member] | ||
Related Party Transaction [Line Items] | ||
Mortgage loan servicing fees | 0 | 0 |
Penny Mac Loan Services LLC [Member] | Mortgage servicing rights [Member] | ||
Related Party Transaction [Line Items] | ||
Mortgage loan servicing fees | 4,433 | 3,657 |
Penny Mac Loan Services LLC [Member] | Mortgage servicing rights [Member] | Base [Member] | ||
Related Party Transaction [Line Items] | ||
Mortgage loan servicing fees | 4,344 | 3,626 |
Penny Mac Loan Services LLC [Member] | Mortgage servicing rights [Member] | Activity-based [Member] | ||
Related Party Transaction [Line Items] | ||
Mortgage loan servicing fees | $ 89 | $ 31 |
Transactions with Related Par73
Transactions with Related Parties - Summary of Base Management and Performance Incentive Fees Payable (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Related Party Transaction [Line Items] | ||
Total management fee incurred during the period | $ 5,352 | $ 7,003 |
PNMAC Capital Management LLC [Member] | ||
Related Party Transaction [Line Items] | ||
Total management fee incurred during the period | 5,352 | 7,003 |
PNMAC Capital Management LLC [Member] | Base [Member] | ||
Related Party Transaction [Line Items] | ||
Total management fee incurred during the period | 5,352 | 5,730 |
PNMAC Capital Management LLC [Member] | Performance incentive [Member] | ||
Related Party Transaction [Line Items] | ||
Total management fee incurred during the period | $ 0 | $ 1,273 |
Transactions with Related Par74
Transactions with Related Parties - Summary of Expenses (Detail) - PNMAC Capital Management LLC [Member] - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Related Party Transaction [Line Items] | ||
Common overhead incurred by PCM and its affiliates | $ 2,561 | $ 2,729 |
Reimbursement of expenses incurred on the Company's behalf | 55 | 379 |
Total expenses incurred in transaction with affiliates | 2,616 | 3,108 |
Payments and settlements during the year | $ 27,661 | $ 22,752 |
Transactions with Related Par75
Transactions with Related Parties - Summary of Expenses (Parenthetical) (Detail) | 3 Months Ended |
Mar. 31, 2016 | |
Related Party Transaction [Line Items] | |
Management agreement amendment description | The Operating Partnership amended its management agreement to provide that the total costs and expenses incurred by PFSI in any quarter and reimbursable by the Operating Partnership is capped at an amount equal to the product of (A) 70 basis points (0.0070), multiplied by (B) PMT’s shareholders’ equity (as defined in the management agreement) as of the last day of the month preceding quarter end, divided by four. |
PNMAC Capital Management LLC [Member] | |
Related Party Transaction [Line Items] | |
Management agreement amendment description | The Operating Partnership amended its management agreement to provide that the total costs and expenses incurred by PFSI in any quarter and reimbursable by the Operating Partnership is capped at an amount equal to the product of (A) 70 basis points (0.0070), multiplied by (B) PMT’s shareholders’ equity (as defined in the management agreement) as of the last day of the month preceding quarter end, divided by four. |
Transactions with Related Par76
Transactions with Related Parties - Summary of Amounts Receivable and Payable to PFSI (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Receivable from PFSI | ||
Due from Affiliates | $ 6,531 | $ 8,806 |
Payable to PFSI | ||
Total expense due to affiliate | 17,647 | 18,965 |
PennyMac Financial Services, Inc. [Member] | ||
Receivable from PFSI | ||
MSR recapture receivable | 691 | 781 |
Other | 5,840 | 8,025 |
Due from Affiliates | 6,531 | 8,806 |
Payable to PFSI | ||
Management fees | 5,352 | 5,670 |
Servicing fees | 4,601 | 3,682 |
Correspondent production fees | 2,898 | 2,729 |
Fulfillment fees | 1,631 | 1,082 |
Allocated expenses | 1,254 | 390 |
Conditional Reimbursement | 900 | 900 |
Expenses paid by PFSI on PMT's behalf | 576 | 4,100 |
Interest on Note payable to PFSI | 435 | 412 |
Total expense due to affiliate | $ 17,647 | $ 18,965 |
Transactions with Related Par77
Transactions with Related Parties - Note Payable to PLS - Additional Information (Detail) - USD ($) | Aug. 04, 2009 | Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | Apr. 30, 2015 |
Related Party Transaction [Line Items] | |||||
Sale of excess servicing spread | $ 59,045,000 | $ 0 | |||
Payment of contingent underwriting fees | $ 0 | $ 470,000 | |||
PennyMac Financial Services, Inc. [Member] | |||||
Related Party Transaction [Line Items] | |||||
Number of common shares held by affiliate | 75,000 | 75,000 | |||
PNMAC Capital Management LLC [Member] | Maximum [Member] | |||||
Related Party Transaction [Line Items] | |||||
PMT agreed to reimburse PCM for a payment | $ 2,900,000 | ||||
Payment of contingent underwriting fees | $ 5,900,000 | ||||
Loan Agreement [Member] | |||||
Related Party Transaction [Line Items] | |||||
Maximum borrowing capacity of loan amount | $ 150,000,000 |
Transactions with Related Par78
Transactions with Related Parties - Summary of Investing Activity (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
ESS: | ||
Purchases | $ 0 | $ 46,412 |
Interest income | 54,366 | 40,685 |
Net loss included in Net (loss) gain on investments : | ||
Net (loss) gain on investments | (3,898) | 3,447 |
PennyMac Financial Services, Inc. [Member] | ||
ESS: | ||
Purchases | 0 | 46,412 |
Received pursuant to a recapture agreement | 1,911 | 1,246 |
Repayments and sales | 79,926 | 12,731 |
Interest income | 7,015 | 3,752 |
Net loss included in Net (loss) gain on investments : | ||
Valuation changes | (19,449) | (7,536) |
Recapture income | 1,822 | 1,289 |
Net (loss) gain on investments | $ (17,627) | $ (6,247) |
Transactions with Related Par79
Transactions with Related Parties - Summary of Financing Activities (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
PennyMac Financial Services, Inc. [Member] | ||
Related Party Transaction [Line Items] | ||
Note payable-Interest expense | $ 1,602 | $ 0 |
PNMAC Capital Management LLC [Member] | ||
Related Party Transaction [Line Items] | ||
Conditional Reimbursements paid to PCM | $ 0 | $ 157 |
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 | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Basic earnings per share: | ||
Net income | $ 14,496 | $ 7,508 |
Effect of participating securities-share-based compensation awards | (412) | (576) |
Net income attributable to common shareholders | 14,084 | 6,932 |
Diluted earnings per share: | ||
Net income attributable to common shareholders | 14,084 | 7,508 |
Effect of participating securities-share-based compensation awards | 0 | (576) |
Interest on Exchangeable Notes, net of income taxes | 0 | 0 |
Net income attributable to diluted shareholders | $ 14,084 | $ 6,932 |
Weighted-average basic shares outstanding | 71,884 | 74,528 |
Potentially dilutive securities: | ||
Shares issuable under share-based compensation plan | 0 | 428 |
Shares issuable pursuant to exchange of the Exchangeable Notes | 0 | 0 |
Diluted weighted-average number of shares outstanding | 71,884 | 74,956 |
Basic earnings per share | $ 0.20 | $ 0.09 |
Diluted earnings per share | $ 0.20 | $ 0.09 |
Earnings Per Share - Summary 81
Earnings Per Share - Summary of Common Shares Excluded from Computation of Diluted Earnings Per Share (Detail) - shares shares in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Share-based Compensation Awards [Member] | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | ||
Common stock excluded from the diluted earnings per share | 1,171 | 0 |
Exchangeable Notes [Member] | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | ||
Common stock excluded from the diluted earnings per share | 8,467 | 8,433 |
Loan Sales and Variable Inter82
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 | ||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |
Cash flows: | |||
Proceeds from sales | $ 3,233,779 | $ 2,644,244 | |
Mortgage loan servicing fees received | 27,559 | $ 15,732 | |
UPB of mortgage loans outstanding | 44,207,616 | $ 42,300,338 | |
Delinquent mortgage loans: | |||
30-89 days delinquent | 162,415 | 175,599 | |
90 or more days delinquent | |||
Not in foreclosure or bankruptcy | 40,304 | 38,669 | |
In foreclosure or bankruptcy | 38,934 | 31,386 | |
Unpaid principal balance of loans outstanding at period-end | 79,238 | 70,055 | |
Unpaid principal balance of delinquent mortgage loans | $ 241,653 | $ 245,654 |
Loan Sales and Variable Inter83
Loan Sales and Variable Interest Entities - Summary of Credit Risk Transfer Agreements (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | |
Carrying value of CRT Agreements: | ||
Restricted cash included in Other assets | $ 180,992 | |
Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member] | Credit Risk Transfer Agreements [Member] | ||
During the period: | ||
UPB of mortgage loans transferred and sold under CRT Agreements | 1,923,113 | |
Deposits of restricted cash | 66,706 | |
Gains (losses) recognized on CRT agreements included in Net gain on investments | ||
Realized | 2,536 | |
Resulting from valuation changes | (6,679) | |
Gains (losses) recognized on net derivative related to credit risk transactions | (4,143) | |
Payments made to settle losses | 0 | |
UPB of mortgage loans subject to credit guarantee obligation | 5,931,409 | $ 4,546,265 |
Delinquency (in UPB) | ||
Current-89 days delinquent | 5,930,936 | 4,546,265 |
90 or more days delinquent | 473 | 0 |
Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member] | Derivative Assets [Member] | Credit Risk Transfer Agreements [Member] | ||
Carrying value of CRT Agreements: | ||
Net derivative asset included in Derivative assets | 0 | 593 |
Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member] | Other Assets [Member] | Credit Risk Transfer Agreements [Member] | ||
Carrying value of CRT Agreements: | ||
Restricted cash included in Other assets | 213,536 | 147,000 |
Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member] | Derivative Liabilities [Member] | Credit Risk Transfer Agreements [Member] | ||
Carrying value of CRT Agreements: | ||
Net derivative liability included in Derivative liabilities | $ 4,218 | $ 0 |
Loan Sales and Variable Inter84
Loan Sales and Variable Interest Entities - Additional Information (Detail) - Jumbo Mortgage Loan Financing [Member] - Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member] - USD ($) $ in Millions | Sep. 30, 2013 | Mar. 31, 2016 | Dec. 31, 2015 |
Mortgage Loans on Real Estate [Line Items] | |||
Certificates issued | $ 537 | $ 100.6 | $ 111 |
Weighted yield | 3.90% | ||
Fair value of certificates retained | $ 366.8 | $ 104.5 |
Netting of Financial Instrume85
Netting of Financial Instruments - Summary of Offsetting of Derivative Assets (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||
Gross amounts of recognized assets | $ 34,732 | $ 13,385 |
Gross amounts offset in the consolidated balance sheet | (16,270) | (3,300) |
Net amounts of assets presented in the consolidated balance sheet | 18,462 | 10,085 |
Net amounts of assets presented in the consolidated balance sheet | (16,270) | (3,300) |
CRT Agreements [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 0 | 593 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 0 | 593 |
Forward Purchase Contracts [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 20,795 | 2,444 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 20,795 | 2,444 |
Forward Sales Contracts [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 138 | 2,604 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 138 | 2,604 |
Interest Rate Lock Commitments [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 9,372 | 4,983 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 9,372 | 4,983 |
MBS Put Options [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 64 | 93 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 64 | 93 |
Put Options on Interest Rate Futures [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 414 | 1,512 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 414 | 1,512 |
Call Options on Interest Rate Futures [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 3,949 | 1,156 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 3,949 | 1,156 |
Netting [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 0 | 0 |
Gross amounts offset in the consolidated balance sheet | (16,270) | (3,300) |
Net amounts of assets presented in the consolidated balance sheet | (16,270) | (3,300) |
Derivatives Not Subject to Master Netting Arrangements [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 9,372 | 5,576 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 9,372 | 5,576 |
Derivatives Subject to Master Netting Arrangements [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized assets | 25,360 | 7,809 |
Gross amounts offset in the consolidated balance sheet | (16,270) | (3,300) |
Net amounts of assets presented in the consolidated balance sheet | $ 9,090 | $ 4,509 |
Netting of Financial Instrume86
Netting of Financial Instruments - Summary of Derivative Assets and Collateral Held by Counterparty (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | $ 18,462 | $ 10,085 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 18,462 | 10,085 |
Interest Rate Lock Commitments [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 9,372 | 4,983 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 9,372 | 4,983 |
RJ O'Brien & Associates, LLC [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 2,805 | 1,672 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 2,805 | 1,672 |
Fannie Mae Capital Markets [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 2,466 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 2,466 | 0 |
Bank of America, N.A. [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 1,220 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 1,220 | 0 |
Jefferies Group, LLC [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 726 | 541 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 726 | 541 |
BNP Paribas [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 682 | 59 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 682 | 59 |
Wells Fargo [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 468 | 99 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 468 | 99 |
Nomura Securities International, Inc [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 395 | 119 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 395 | 119 |
Barclays Capital [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 0 | 796 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 0 | 796 |
Morgan Stanley Bank, N.A. [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 0 | 464 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 0 | 464 |
Royal Bank of Canada [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 0 | 400 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 0 | 400 |
Ally Financial [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 0 | 209 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 0 | 209 |
Other [Member] | ||
Derivative [Line Items] | ||
Derivative assets, Fair value, Total | 328 | 743 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | $ 328 | $ 743 |
Netting of Financial Instrume87
Netting of Financial Instruments - Schedule of Offsetting of Derivative Liabilities and Financial Liabilities (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||
Gross amounts of recognized liabilities | $ 3,270,063 | $ 3,135,915 |
Gross amounts offset in the consolidated balance sheet | (11,561) | (3,978) |
Net amounts of liabilities presented in the consolidated balance sheet | 3,258,502 | 3,131,937 |
Unpaid Principal Balance [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities | 3,246,095 | 3,130,328 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 3,246,095 | 3,130,328 |
CRT Agreements [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities | 4,218 | 0 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 4,218 | 0 |
Forward Purchase Contracts [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities | 15 | 3,774 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 15 | 3,774 |
Forward Sales Contracts [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities | 19,884 | 2,680 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 19,884 | 2,680 |
Interest Rate Lock Commitments [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities | 37 | 337 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 37 | 337 |
Put Options on Interest Rate Futures [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities | 0 | 39 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 0 | 39 |
Call Options on Interest Rate Futures [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities | 895 | 305 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 895 | 305 |
Netting [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities | 0 | 0 |
Gross amounts offset in the consolidated balance sheet | (11,561) | (3,978) |
Net amounts of liabilities presented in the consolidated balance sheet | (11,561) | (3,978) |
Derivatives Not Subject to Master Netting Arrangements [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities | 4,255 | 337 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 4,255 | 337 |
Derivatives Subject to Master Netting Arrangements [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities | 20,794 | 6,798 |
Gross amounts offset in the consolidated balance sheet | (11,561) | (3,978) |
Net amounts of liabilities presented in the consolidated balance sheet | 9,233 | 2,820 |
Unamortized Debt Issuance Costs [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities | (1,081) | (1,548) |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | (1,081) | (1,548) |
Security Sold Under Agreements to Repurchase [Member] | ||
Derivative [Line Items] | ||
Gross amounts of recognized liabilities | 3,245,014 | 3,128,780 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | $ 3,245,014 | $ 3,128,780 |
Netting of Financial Instrume88
Netting of Financial Instruments - Summary of Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | $ 3,258,502 | $ 3,131,937 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (3,245,014) | (3,128,780) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 13,488 | 3,157 |
CRT Agreements [Member] | ||
Derivative [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 4,218 | 0 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 4,218 | 0 |
Interest Rate Lock Commitments [Member] | ||
Derivative [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 37 | 337 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 37 | 337 |
Unamortized Debt Issuance Costs [Member] | ||
Derivative [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | (1,081) | (1,548) |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 1,081 | 1,548 |
Gross amounts not offset in the consolidated balance sheet, 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 | 858,021 | 893,947 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (857,269) | (893,854) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 752 | 93 |
Citibank, N.A. [Member] | ||
Derivative [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 824,003 | 817,089 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (824,003) | (816,699) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 390 |
Bank of America, N.A. [Member] | ||
Derivative [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 568,850 | 538,755 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (568,850) | (538,515) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 240 |
JPMorgan Chase & Co. [Member] | ||
Derivative [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 543,313 | 467,427 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (543,177) | (467,145) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 136 | 282 |
Morgan Stanley Bank, N.A. [Member] | ||
Derivative [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 252,082 | 214,086 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (251,620) | (214,086) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 462 | 0 |
Daiwa Capital Markets [Member] | ||
Derivative [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 178,994 | 165,480 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (178,914) | (165,480) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 80 | 0 |
Barclays Capital [Member] | ||
Derivative [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 12,379 | 24,346 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (12,140) | (24,346) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 239 | 0 |
BNP Paribas [Member] | ||
Derivative [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 10,122 | 10,203 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (10,122) | (10,203) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Fannie Mae Capital Markets [Member] | ||
Derivative [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 5,863 | 924 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 5,863 | 924 |
Deutsche Bank [Member] | ||
Derivative [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 784 | 0 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 784 | 0 |
Goldman Sachs [Member] | ||
Derivative [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 262 | 819 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 262 | 819 |
Other [Member] | ||
Derivative [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 655 | 72 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | $ 655 | $ 72 |
Fair Value - Additional Informa
Fair Value - Additional Information (Detail) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | |
Mortgage Loans on Real Estate [Line Items] | ||
Initial interest rates | More than 4.5% | |
Mortgage loans description | Note interest rate pools of 50 basis points | |
Basis point for mortgage loan | 0.50% | |
Fair value of exchangeable notes | $ 224.4 | $ 230 |
Minimum [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest rate | 4.50% | |
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 | Mar. 31, 2016 | Dec. 31, 2015 | Mar. 31, 2015 | Dec. 31, 2014 |
Assets: | ||||
Short-term investments | $ 47,500 | $ 41,865 | ||
Mortgage-backed securities at fair value | 364,439 | 322,473 | ||
Mortgage loans acquired for sale at fair value | 1,339,633 | 1,283,795 | ||
Derivative assets: | ||||
Total derivative assets | 34,732 | 13,385 | ||
Derivative assets, Netting | (16,270) | (3,300) | ||
Derivative assets | 18,462 | 10,085 | ||
Mortgage servicing rights at fair value | 61,071 | 66,584 | $ 49,448 | $ 57,358 |
Liabilities: | ||||
Asset-backed financing of a VIE at fair value | 344,693 | 247,690 | ||
Interest-only security payable at fair value | 675 | 0 | ||
Derivative liabilities: | ||||
Total derivative liabilities | 25,049 | 7,135 | ||
Derivative liabilities, Netting | (11,561) | (3,978) | ||
Derivative liabilities | 13,488 | 3,157 | ||
CRT Agreements [Member] | ||||
Derivative assets: | ||||
Total derivative assets | 0 | 593 | ||
Derivative assets, Netting | 0 | 0 | ||
Derivative assets | 0 | 593 | ||
Derivative liabilities: | ||||
Total derivative liabilities | 4,218 | 0 | ||
Interest Rate Lock Commitments [Member] | ||||
Derivative assets: | ||||
Total derivative assets | 9,372 | 4,983 | ||
Derivative assets, Netting | 0 | 0 | ||
Derivative assets | 9,372 | 4,983 | ||
Derivative liabilities: | ||||
Total derivative liabilities | 37 | 337 | ||
Forward Purchase Contracts [Member] | ||||
Derivative assets: | ||||
Total derivative assets | 20,795 | 2,444 | ||
Derivative assets, Netting | 0 | 0 | ||
Derivative assets | 20,795 | 2,444 | ||
Derivative liabilities: | ||||
Total derivative liabilities | 15 | 3,774 | ||
Forward Sales Contracts [Member] | ||||
Derivative assets: | ||||
Total derivative assets | 138 | 2,604 | ||
Derivative assets, Netting | 0 | 0 | ||
Derivative assets | 138 | 2,604 | ||
Derivative liabilities: | ||||
Total derivative liabilities | 19,884 | 2,680 | ||
MBS Put Options [Member] | ||||
Derivative assets: | ||||
Total derivative assets | 64 | 93 | ||
Derivative assets, Netting | 0 | 0 | ||
Derivative assets | 64 | 93 | ||
Derivative liabilities: | ||||
Total derivative liabilities | 0 | 0 | ||
Put Options on Interest Rate Futures [Member] | ||||
Derivative assets: | ||||
Total derivative assets | 414 | 1,512 | ||
Derivative assets, Netting | 0 | 0 | ||
Derivative assets | 414 | 1,512 | ||
Derivative liabilities: | ||||
Total derivative liabilities | 0 | 39 | ||
Call Options on Interest Rate Futures [Member] | ||||
Derivative assets: | ||||
Total derivative assets | 3,949 | 1,156 | ||
Derivative assets, Netting | 0 | 0 | ||
Derivative assets | 3,949 | 1,156 | ||
Derivative liabilities: | ||||
Total derivative liabilities | 895 | 305 | ||
Recurring [Member] | ||||
Assets: | ||||
Short-term investments | 47,500 | 41,865 | ||
Mortgage-backed securities at fair value | 364,439 | 322,473 | ||
Mortgage loans acquired for sale at fair value | 1,339,633 | 1,283,795 | ||
Mortgage loans at fair value | 2,496,778 | 2,555,788 | ||
Excess servicing spread purchased from PFSI | 321,976 | 412,425 | ||
Derivative assets: | ||||
Total derivative assets | 34,732 | 13,385 | ||
Derivative assets, Netting | (16,270) | (3,300) | ||
Derivative assets | 18,462 | 10,085 | ||
Mortgage servicing rights at fair value | 61,071 | 66,584 | ||
Total Assets | 4,649,859 | 4,693,015 | ||
Liabilities: | ||||
Asset-backed financing of a VIE at fair value | 344,693 | 247,690 | ||
Interest-only security payable at fair value | 675 | |||
Derivative liabilities: | ||||
Total derivative liabilities | 25,049 | 7,135 | ||
Derivative liabilities, Netting | (11,561) | (3,978) | ||
Derivative liabilities | 13,488 | 3,157 | ||
Total liabilities | 358,856 | 250,847 | ||
Recurring [Member] | CRT Agreements [Member] | ||||
Derivative assets: | ||||
Derivative assets | 593 | |||
Derivative liabilities: | ||||
Derivative liabilities | 4,218 | |||
Recurring [Member] | Interest Rate Lock Commitments [Member] | ||||
Derivative assets: | ||||
Derivative assets | 9,372 | 4,983 | ||
Derivative liabilities: | ||||
Derivative liabilities | 37 | 337 | ||
Recurring [Member] | Forward Purchase Contracts [Member] | ||||
Derivative assets: | ||||
Derivative assets | 20,795 | 2,444 | ||
Derivative liabilities: | ||||
Derivative liabilities | 15 | 3,774 | ||
Recurring [Member] | Forward Sales Contracts [Member] | ||||
Derivative assets: | ||||
Derivative assets | 138 | 2,604 | ||
Derivative liabilities: | ||||
Derivative liabilities | 19,884 | 2,680 | ||
Recurring [Member] | MBS Put Options [Member] | ||||
Derivative assets: | ||||
Derivative assets | 64 | 93 | ||
Recurring [Member] | Put Options on Interest Rate Futures [Member] | ||||
Derivative assets: | ||||
Derivative assets | 414 | 1,512 | ||
Derivative liabilities: | ||||
Derivative liabilities | 39 | |||
Recurring [Member] | Call Options on Interest Rate Futures [Member] | ||||
Derivative assets: | ||||
Derivative assets | 3,949 | 1,156 | ||
Derivative liabilities: | ||||
Derivative liabilities | 895 | 305 | ||
Recurring [Member] | Level 1 [Member] | ||||
Assets: | ||||
Short-term investments | 47,500 | 41,865 | ||
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 | 4,363 | 2,668 | ||
Derivative assets, Netting | 0 | 0 | ||
Derivative assets | 4,363 | 2,668 | ||
Mortgage servicing rights at fair value | 0 | 0 | ||
Total Assets | 51,863 | 44,533 | ||
Liabilities: | ||||
Asset-backed financing of a VIE at fair value | 0 | 0 | ||
Derivative liabilities: | ||||
Total derivative liabilities | 895 | 344 | ||
Derivative liabilities, Netting | 0 | 0 | ||
Derivative liabilities | 895 | 344 | ||
Total liabilities | 895 | 344 | ||
Recurring [Member] | Level 1 [Member] | CRT Agreements [Member] | ||||
Derivative assets: | ||||
Derivative assets | 0 | |||
Derivative liabilities: | ||||
Derivative liabilities | 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] | 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 Put Options [Member] | ||||
Derivative assets: | ||||
Derivative assets | 0 | 0 | ||
Recurring [Member] | Level 1 [Member] | Put Options on Interest Rate Futures [Member] | ||||
Derivative assets: | ||||
Derivative assets | 414 | 1,512 | ||
Derivative liabilities: | ||||
Derivative liabilities | 39 | |||
Recurring [Member] | Level 1 [Member] | Call Options on Interest Rate Futures [Member] | ||||
Derivative assets: | ||||
Derivative assets | 3,949 | 1,156 | ||
Derivative liabilities: | ||||
Derivative liabilities | 895 | 305 | ||
Recurring [Member] | Level 2 [Member] | ||||
Assets: | ||||
Short-term investments | 0 | 0 | ||
Mortgage-backed securities at fair value | 364,439 | 322,473 | ||
Mortgage loans acquired for sale at fair value | 1,339,633 | 1,283,795 | ||
Mortgage loans at fair value | 449,215 | 455,394 | ||
Excess servicing spread purchased from PFSI | 0 | 0 | ||
Derivative assets: | ||||
Total derivative assets | 20,997 | 5,141 | ||
Derivative assets, Netting | 0 | 0 | ||
Derivative assets | 20,997 | 5,141 | ||
Mortgage servicing rights at fair value | 0 | 0 | ||
Total Assets | 2,174,284 | 2,066,803 | ||
Liabilities: | ||||
Asset-backed financing of a VIE at fair value | 344,693 | 247,690 | ||
Derivative liabilities: | ||||
Total derivative liabilities | 19,899 | 6,454 | ||
Derivative liabilities, Netting | 0 | 0 | ||
Derivative liabilities | 19,899 | 6,454 | ||
Total liabilities | 364,592 | 254,144 | ||
Recurring [Member] | Level 2 [Member] | CRT Agreements [Member] | ||||
Derivative assets: | ||||
Derivative assets | 0 | |||
Derivative liabilities: | ||||
Derivative liabilities | 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] | Forward Purchase Contracts [Member] | ||||
Derivative assets: | ||||
Derivative assets | 20,795 | 2,444 | ||
Derivative liabilities: | ||||
Derivative liabilities | 15 | 3,774 | ||
Recurring [Member] | Level 2 [Member] | Forward Sales Contracts [Member] | ||||
Derivative assets: | ||||
Derivative assets | 138 | 2,604 | ||
Derivative liabilities: | ||||
Derivative liabilities | 19,884 | 2,680 | ||
Recurring [Member] | Level 2 [Member] | MBS Put Options [Member] | ||||
Derivative assets: | ||||
Derivative assets | 64 | 93 | ||
Recurring [Member] | Level 2 [Member] | Put Options on Interest Rate Futures [Member] | ||||
Derivative assets: | ||||
Derivative assets | 0 | 0 | ||
Derivative liabilities: | ||||
Derivative liabilities | 0 | |||
Recurring [Member] | Level 2 [Member] | Call Options on Interest Rate Futures [Member] | ||||
Derivative assets: | ||||
Derivative assets | 0 | 0 | ||
Derivative liabilities: | ||||
Derivative liabilities | 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 | 2,047,563 | 2,100,394 | ||
Excess servicing spread purchased from PFSI | 321,976 | 412,425 | ||
Derivative assets: | ||||
Total derivative assets | 9,372 | 5,576 | ||
Derivative assets, Netting | 0 | 0 | ||
Derivative assets | 9,372 | 5,576 | ||
Mortgage servicing rights at fair value | 61,071 | 66,584 | ||
Total Assets | 2,439,982 | 2,584,979 | ||
Liabilities: | ||||
Asset-backed financing of a VIE at fair value | 0 | 0 | ||
Interest-only security payable at fair value | 675 | |||
Derivative liabilities: | ||||
Total derivative liabilities | 4,255 | 337 | ||
Derivative liabilities, Netting | 0 | 0 | ||
Derivative liabilities | 4,255 | 337 | ||
Total liabilities | 4,930 | 337 | ||
Recurring [Member] | Level 3 [Member] | CRT Agreements [Member] | ||||
Derivative assets: | ||||
Derivative assets | 593 | |||
Derivative liabilities: | ||||
Derivative liabilities | 4,218 | |||
Recurring [Member] | Level 3 [Member] | Interest Rate Lock Commitments [Member] | ||||
Derivative assets: | ||||
Derivative assets | 9,372 | 4,983 | ||
Derivative liabilities: | ||||
Derivative liabilities | 37 | 337 | ||
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 Put Options [Member] | ||||
Derivative assets: | ||||
Derivative assets | 0 | 0 | ||
Recurring [Member] | Level 3 [Member] | Put Options on Interest Rate Futures [Member] | ||||
Derivative assets: | ||||
Derivative assets | 0 | 0 | ||
Derivative liabilities: | ||||
Derivative liabilities | 0 | |||
Recurring [Member] | Level 3 [Member] | Call Options on Interest Rate Futures [Member] | ||||
Derivative assets: | ||||
Derivative assets | 0 | 0 | ||
Derivative liabilities: | ||||
Derivative liabilities | $ 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 | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Assets: | ||
Servicing received as proceeds from sales of mortgage loans | $ 3,300 | $ 1,906 |
Recurring [Member] | ||
Assets: | ||
Beginning balance | 2,584,642 | 2,453,768 |
Purchases and issuances | 3,284 | 288,393 |
Repayments and sales | (112,659) | (58,613) |
Capitalization of interest | 30,309 | 10,209 |
Accrual of interest | 3,752 | |
ESS received pursuant to a recapture agreement with PFSI | 1,911 | 1,246 |
Interest rate lock commitments issued, net | 10,698 | 19,400 |
Servicing received as proceeds from sales of mortgage loans | 3,300 | 1,906 |
Proceeds from CRT Agreements | 2,536 | |
Changes in fair value included in income arising from: | ||
Changes in instrument-specific credit risk | 12,466 | 7,206 |
Other factors | (14,955) | (7,360) |
Total | (2,489) | (154) |
Transfers of mortgage loans to REO and real estate held for investment | (58,455) | |
Transfers of mortgage loans to REO | (79,695) | |
Transfers of interest rate lock commitments to mortgage loans acquired for sale | (26,675) | (16,859) |
Ending balance | 2,436,402 | 2,623,353 |
Changes in fair value recognized during the period relating to assets | (3,329) | 15,527 |
CRT Agreements [Member] | Recurring [Member] | ||
Assets: | ||
Beginning balance | 593 | |
Purchases and issuances | 0 | |
Repayments and sales | (668) | |
Capitalization of interest | 0 | |
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 | |
Proceeds from CRT Agreements | 2,536 | |
Changes in fair value included in income arising from: | ||
Changes in instrument-specific credit risk | 0 | |
Other factors | (6,679) | |
Total | (6,679) | |
Transfers of mortgage loans to REO and real estate held for investment | 0 | |
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | |
Ending balance | (4,218) | |
Changes in fair value recognized during the period relating to assets | (6,679) | |
Interest Rate Lock Commitments [Member] | Recurring [Member] | ||
Assets: | ||
Beginning balance | 4,646 | 5,661 |
Purchases and issuances | 0 | 0 |
Repayments and sales | 0 | 0 |
Capitalization of interest | 0 | 0 |
Accrual of interest | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 |
Interest rate lock commitments issued, net | 10,698 | 19,400 |
Servicing received as proceeds from sales of mortgage loans | 0 | 0 |
Proceeds from CRT Agreements | 0 | |
Changes in fair value included in income arising from: | ||
Changes in instrument-specific credit risk | 0 | 0 |
Other factors | 20,666 | 12 |
Total | 20,666 | 12 |
Transfers of mortgage loans to REO and real estate held for investment | 0 | |
Transfers of mortgage loans to REO | 0 | |
Transfers of interest rate lock commitments to mortgage loans acquired for sale | (26,675) | (16,859) |
Ending balance | 9,335 | 8,214 |
Changes in fair value recognized during the period relating to assets | 9,335 | 8,214 |
Interest-only security payable [Member] | Recurring [Member] | ||
Assets: | ||
Beginning balance | 0 | |
Purchases and issuances | 682 | |
Repayments and sales | 0 | |
Capitalization of interest | 0 | |
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 | |
Proceeds from CRT Agreements | 0 | |
Changes in fair value included in income arising from: | ||
Changes in instrument-specific credit risk | 0 | |
Other factors | (7) | |
Total | (7) | |
Transfers of mortgage loans to REO and real estate held for investment | 0 | |
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | |
Ending balance | 675 | |
Changes in fair value recognized during the period relating to assets | (7) | |
Mortgage loans at fair value [Member] | Recurring [Member] | ||
Assets: | ||
Beginning balance | 2,100,394 | 2,199,583 |
Purchases and issuances | 0 | 241,981 |
Repayments and sales | (32,065) | (45,882) |
Capitalization of interest | 23,294 | 10,209 |
Accrual of interest | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 |
Interest rate lock commitments issued, net | 0 | 0 |
Servicing received as proceeds from sales of mortgage loans | 0 | 0 |
Proceeds from CRT Agreements | 0 | |
Changes in fair value included in income arising from: | ||
Changes in instrument-specific credit risk | 12,466 | 7,206 |
Other factors | 1,929 | 9,980 |
Total | 14,395 | 17,186 |
Transfers of mortgage loans to REO and real estate held for investment | (58,455) | |
Transfers of mortgage loans to REO | (79,695) | |
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 |
Ending balance | 2,047,563 | 2,343,382 |
Changes in fair value recognized during the period relating to assets | 17,676 | 24,665 |
Excess servicing spread [Member] | Recurring [Member] | ||
Assets: | ||
Beginning balance | 412,425 | 191,166 |
Purchases and issuances | 0 | 46,412 |
Repayments and sales | (79,926) | (12,731) |
Capitalization of interest | 7,015 | 0 |
Accrual of interest | 3,752 | |
ESS received pursuant to a recapture agreement with PFSI | 1,911 | 1,246 |
Interest rate lock commitments issued, net | 0 | 0 |
Servicing received as proceeds from sales of mortgage loans | 0 | 0 |
Proceeds from CRT Agreements | 0 | |
Changes in fair value included in income arising from: | ||
Changes in instrument-specific credit risk | 0 | 0 |
Other factors | (19,449) | (7,536) |
Total | (19,449) | (7,536) |
Transfers of mortgage loans to REO and real estate held for investment | 0 | |
Transfers of mortgage loans to REO | 0 | |
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 |
Ending balance | 321,976 | 222,309 |
Changes in fair value recognized during the period relating to assets | (12,239) | (7,536) |
Mortgage servicing rights [Member] | Recurring [Member] | ||
Assets: | ||
Beginning balance | 66,584 | 57,358 |
Purchases and issuances | 2,602 | 0 |
Repayments and sales | 0 | 0 |
Capitalization of interest | 0 | 0 |
Accrual of interest | 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 | 3,300 | 1,906 |
Proceeds from CRT Agreements | 0 | |
Changes in fair value included in income arising from: | ||
Changes in instrument-specific credit risk | 0 | 0 |
Other factors | (11,415) | (9,816) |
Total | (11,415) | (9,816) |
Transfers of mortgage loans to REO and real estate held for investment | 0 | |
Transfers of mortgage loans to REO | 0 | |
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 |
Ending balance | 61,071 | 49,448 |
Changes in fair value recognized during the period relating to assets | $ (11,415) | $ (9,816) |
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 | Mar. 31, 2016 | Dec. 31, 2015 |
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 | $ 2,496,778 | $ 2,555,788 |
Mortgage loans at fair value | 2,496,778 | 2,555,788 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Unpaid principal balance of loans outstanding at period-end | 3,173,434 | 3,292,043 |
Unpaid principal balance | 3,173,434 | 3,292,043 |
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 | (676,656) | (736,255) |
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 | 1,087,089 | 1,222,956 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Unpaid principal balance | 1,502,248 | 1,702,548 |
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 | 1,338,755 | 1,283,275 |
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent | ||
Not in foreclosure | 878 | 304 |
In foreclosure | 0 | 216 |
Fair value option loans held as assets, Total | 878 | 520 |
Mortgage loans at fair value | 1,339,633 | 1,283,795 |
Mortgage loans on real estate principal amount of delinquent loans less than ninety days | 1,277,319 | 1,235,433 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Not in foreclosure | 1,096 | 333 |
In foreclosure | 0 | 253 |
Unpaid principal balance of loans outstanding at period-end | 1,278,415 | 1,236,019 |
Fair value option loans held as assets ninety days or less past due aggregate difference | 61,436 | 47,842 |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference | ||
Not in foreclosure | (218) | (29) |
In foreclosure | 0 | (37) |
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | 61,218 | 47,776 |
Mortgage loans acquired for sale at fair value [Member] | Nonperforming mortgage loans [Member] | ||
Mortgage loans on real estate principal amount of delinquent loans | ||
Unpaid principal balance of loans outstanding at period-end | 1,096 | 586 |
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 | (218) | (66) |
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 | 449,215 | 455,394 |
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 | 449,215 | 455,394 |
Mortgage loans on real estate principal amount of delinquent loans less than ninety days | 442,637 | 454,935 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Not in foreclosure | 0 | 0 |
In foreclosure | 0 | 0 |
Unpaid principal balance | 442,637 | 454,935 |
Fair value option loans held as assets ninety days or less past due aggregate difference | 6,578 | 459 |
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 | 6,578 | 459 |
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 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 | 960,473 | 877,438 |
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent | ||
Not in foreclosure | 422,152 | 459,060 |
In foreclosure | 664,938 | 763,896 |
Mortgage loans at fair value | 2,047,563 | 2,100,394 |
Mortgage loans on real estate principal amount of delinquent loans less than ninety days | 1,228,550 | 1,134,560 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Not in foreclosure | 583,026 | 640,343 |
In foreclosure | 919,221 | 1,062,205 |
Unpaid principal balance | 2,730,797 | 2,837,108 |
Fair value option loans held as assets ninety days or less past due aggregate difference | (268,077) | (257,122) |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference | ||
Not in foreclosure | (160,874) | (181,283) |
In foreclosure | (254,283) | (298,309) |
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | (683,234) | (736,714) |
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 | 1,087,090 | 1,222,956 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Unpaid principal balance | 1,502,247 | 1,702,548 |
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 | $ (415,157) | $ (479,592) |
Fair Value - Summary of Chang93
Fair Value - Summary of Changes in Fair Value Included in Current Period Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Net gain on mortgage loans acquired for sale | $ 15,049 | $ 10,160 |
Net gain on investments | (3,898) | 3,447 |
Asset-Backed Financing of the VIE at Fair Value [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Net gain on mortgage loans acquired for sale | 0 | 0 |
Net interest income | (1,317) | (173) |
Net gain on investments | (9,854) | (770) |
Net Mortgage loan servicing fees | 0 | 0 |
Total | (11,171) | (943) |
Liabilities, Total [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Net gain on mortgage loans acquired for sale | 0 | 0 |
Net interest income | (1,317) | (173) |
Net gain on investments | (9,854) | (770) |
Net Mortgage loan servicing fees | 0 | 0 |
Total | (11,171) | (943) |
Short-term Investments [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Net gain on mortgage loans acquired for sale | 0 | 0 |
Net interest income | 0 | 0 |
Net gain on investments | 0 | 0 |
Net Mortgage loan servicing fees | 0 | 0 |
Total | 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 |
Net interest income | 13 | 86 |
Net gain on investments | 5,099 | 1,516 |
Net Mortgage loan servicing fees | 0 | 0 |
Total | 5,112 | 1,602 |
Mortgage loans acquired for sale at fair value [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Net gain on mortgage loans acquired for sale | 42,005 | 23,081 |
Net interest income | 0 | 0 |
Net gain on investments | 0 | 0 |
Net Mortgage loan servicing fees | 0 | 0 |
Total | 42,005 | 23,081 |
Mortgage loans at fair value [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Net gain on mortgage loans acquired for sale | 0 | 0 |
Net interest income | 1,229 | 489 |
Net gain on investments | 22,789 | 18,986 |
Net Mortgage loan servicing fees | 0 | 0 |
Total | 24,018 | 19,475 |
Excess servicing spread [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Net gain on mortgage loans acquired for sale | 0 | 0 |
Net interest income | 0 | 0 |
Net gain on investments | (19,449) | (6,247) |
Net Mortgage loan servicing fees | 0 | 0 |
Total | (19,449) | (6,247) |
MSRs at fair value [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Net gain on mortgage loans acquired for sale | 0 | 0 |
Net interest income | 0 | 0 |
Net gain on investments | 0 | 0 |
Net Mortgage loan servicing fees | (11,415) | (9,816) |
Total | (11,415) | (9,816) |
Assets, Total [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Net gain on mortgage loans acquired for sale | 42,005 | 23,081 |
Net interest income | 1,242 | 575 |
Net gain on investments | 8,439 | 14,255 |
Net Mortgage loan servicing fees | (11,415) | (9,816) |
Total | $ 40,271 | $ 28,095 |
Fair Value - Summary of Finan94
Fair Value - Summary of Financial Statement Items Re-measured at Fair Value on Nonrecurring Basis (Detail) - Nonrecurring [Member] - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate acquired in settlement of loans | $ 142,602 | $ 173,662 |
MSRs at lower of amortized cost or fair value | 144,050 | 145,187 |
Total Assets | 286,652 | 318,849 |
Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate acquired in settlement of loans | 0 | 0 |
MSRs 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 acquired in settlement of loans | 0 | 0 |
MSRs 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 acquired in settlement of loans | 142,602 | 173,662 |
MSRs at lower of amortized cost or fair value | 144,050 | 145,187 |
Total Assets | $ 286,652 | $ 318,849 |
Fair Value - Summary of Chang95
Fair Value - Summary of Changes in Fair Value Recognized in Assets that Measured at Fair Value on a Nonrecurring Basis (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
MSRs at lower of amortized cost or fair value | $ 17,706 | $ 6,379 |
Nonrecurring [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate asset acquired in settlement of loans | (9,116) | (10,615) |
MSRs at lower of amortized cost or fair value | (17,706) | (6,379) |
Total assets, gains (losses) recognized | $ (26,822) | $ (16,994) |
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] | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Discount rate | 2.50% | 2.50% |
Twelve-month projected housing price index change | 1.70% | 1.50% |
Prepayment speed | 0.10% | 0.10% |
Total prepayment speed | 0.60% | 0.50% |
Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Discount rate | 15.00% | 15.00% |
Twelve-month projected housing price index change | 5.90% | 5.10% |
Prepayment speed | 10.60% | 9.60% |
Total prepayment speed | 25.90% | 27.20% |
Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Discount rate | 6.80% | 7.10% |
Twelve-month projected housing price index change | 3.70% | 3.60% |
Prepayment speed | 3.80% | 3.70% |
Total prepayment speed | 20.00% | 19.60% |
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 | 12 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
UPB of underlying mortgage loans (in thousands) | $ 327,025 | $ 223,653 | |
Average servicing fee rate (in basis points) | 0.26% | 0.26% | 0.25% |
Minimum [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Pricing spread | 7.20% | 10.30% | |
Annual total prepayment speed | 10.40% | 9.20% | |
Minimum [Member] | Excess servicing spread [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Pricing spread | 4.80% | 4.80% | |
Life (in years) | 1 year 9 months 18 days | 1 year 4 months 24 days | |
Annual total prepayment speed | 6.20% | 5.20% | |
Maximum [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Pricing spread | 7.20% | 14.30% | |
Annual total prepayment speed | 37.60% | 32.50% | |
Maximum [Member] | Excess servicing spread [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Pricing spread | 6.50% | 6.50% | |
Life (in years) | 9 years 3 months 18 days | 9 years | |
Annual total prepayment speed | 44.50% | 52.40% | |
Weighted Average [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Pricing spread | 7.20% | 11.00% | |
Annual total prepayment speed | 15.70% | 13.20% | |
Weighted Average [Member] | Excess servicing spread [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
UPB of underlying mortgage loans (in thousands) | $ 38,076,993 | $ 51,966,405 | |
Average servicing fee rate (in basis points) | 0.34% | 0.32% | |
Average ESS rate (in basis points) | 0.19% | 0.17% | |
Pricing spread | 5.80% | 5.70% | |
Life (in years) | 6 years 9 months 18 days | 6 years 10 months 24 days | |
Annual total prepayment speed | 11.00% | 9.60% |
Fair Value - Quantitative Sum98
Fair Value - Quantitative Summary of Key Unobservable Inputs Used in Valuation of Interest Rate Lock Commitments (Detail) | Mar. 31, 2016 | Dec. 31, 2015 |
Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Pull-through rate | 52.40% | 60.20% |
Servicing fee multiple | 1.90% | 2.10% |
Percentage of UPB | 0.50% | 0.50% |
Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Pull-through rate | 100.00% | 100.00% |
Servicing fee multiple | 6.10% | 6.20% |
Percentage of UPB | 1.50% | 3.80% |
Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Pull-through rate | 89.90% | 92.40% |
Servicing fee multiple | 4.90% | 4.90% |
Percentage of UPB | 1.20% | 1.20% |
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 | 12 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Amortized cost, MSR recognized | $ 32,862,000 | $ 25,554,000 | |
Amortized cost, UPB of underlying mortgage loans | $ 2,759,545,000 | $ 2,282,756,000 | |
Amortized cost, Weighted-average annual servicing fee rate (in basis points) | 25.00% | 26.00% | |
Fair value, MSR recognized | $ 3,300,000 | $ 1,906,000 | |
Fair value, UPB of underlying mortgage loans | $ 327,025,000 | $ 223,653,000 | |
Fair value, Weighted-average annual servicing fee rate (in basis points) | 0.26% | 0.26% | 0.25% |
Minimum [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Amortized cost, Pricing spread during period | 7.20% | 6.80% | |
Amortized cost, Life (in years) | 1 year 4 months 24 days | 1 year 3 months 18 days | |
Amortized cost, Annual prepayment speed during period | 3.60% | 7.60% | |
Amortized cost, Annual per loan cost of servicing during period | $ 68,000 | $ 62,000 | |
Fair value inputs, Pricing spread during period | 7.20% | 10.30% | |
Fair value inputs, Weighted average life during period | 2 years 3 months 18 days | 2 years 7 months 6 days | |
Fair value inputs, Annual prepayment speed during period | 7.20% | 8.60% | |
Fair value inputs, Annual per loan cost of servicing during period | $ 68,000 | $ 62,000 | |
Maximum [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Amortized cost, Pricing spread during period | 10.20% | 17.50% | |
Amortized cost, Life (in years) | 12 years 3 months 18 days | 7 years 8 months 12 days | |
Amortized cost, Annual prepayment speed during period | 49.20% | 51.00% | |
Amortized cost, Annual per loan cost of servicing during period | $ 68,000 | $ 134,000 | |
Fair value inputs, Pricing spread during period | 7.20% | 14.30% | |
Fair value inputs, Weighted average life during period | 9 years 4 months 24 days | 7 years 2 months 12 days | |
Fair value inputs, Annual prepayment speed during period | 34.80% | 33.30% | |
Fair value inputs, Annual per loan cost of servicing during period | $ 68,000 | $ 62,000 | |
Weighted Average [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Amortized cost, Pricing spread during period | 7.20% | 8.60% | |
Amortized cost, Life (in years) | 7 years | 6 years 6 months | |
Amortized cost, Annual prepayment speed during period | 10.40% | 9.30% | |
Amortized cost, Annual per loan cost of servicing during period | $ 68,000 | $ 63,000 | |
Fair value inputs, Pricing spread during period | 7.20% | 11.00% | |
Fair value inputs, Weighted average life during period | 5 years 7 months 6 days | 5 years 10 months 24 days | |
Fair value inputs, Annual prepayment speed during period | 15.70% | 13.80% | |
Fair value inputs, Annual per loan cost of servicing during period | $ 68,000 | $ 62,000 |
Fair Value - Quantitative Su100
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 | 12 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Carrying value, Amortized cost | $ 394,026,000 | $ 309,712,000 | $ 393,157,000 |
UPB of underlying mortgage loans, Amortized cost | $ 37,479,123,000 | $ 35,841,654,000 | |
Weighted-average annual servicing fee rate (in basis points), Amortized cost | 0.26% | 0.26% | |
Weighted-average note interest rate, Amortized cost | 3.90% | 3.90% | |
Balance at end of period | $ 61,071,000 | $ 49,448,000 | $ 66,584,000 |
UPB of underlying mortgage loans, Fair Value | $ 6,728,493,000 | $ 6,458,684,000 | |
Weighted-average annual servicing fee rate (in basis points), Fair value input | 0.26% | 0.26% | 0.25% |
Weighted-average note interest rate, Fair value | 4.70% | 4.70% | |
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 | $ (5,953,000) | $ (6,411,000) | |
Effect on value of percentage adverse change, Fair value input | (849,000) | (944,000) | |
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 | (11,736,000) | (12,635,000) | |
Effect on value of percentage adverse change, Fair value input | (1,675,000) | (1,862,000) | |
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 | (22,815,000) | (24,553,000) | |
Effect on value of percentage adverse change, Fair value input | (3,257,000) | (3,621,000) | |
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 | (9,184,000) | (8,159,000) | |
Effect on value of percentage adverse change, Fair value input | (1,939,000) | (1,793,000) | |
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 | (17,998,000) | (16,024,000) | |
Effect on value of percentage adverse change, Fair value input | (3,779,000) | (3,502,000) | |
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 | (34,602,000) | (30,938,000) | |
Effect on value of percentage adverse change, Fair value input | (7,186,000) | (6,692,000) | |
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 | (2,718,000) | (2,742,000) | |
Effect on value of percentage adverse change, Fair value input | (452,000) | (470,000) | |
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 | (5,435,000) | (5,484,000) | |
Effect on value of percentage adverse change, Fair value input | (904,000) | (940,000) | |
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 | (10,870,000) | (10,968,000) | |
Effect on value of percentage adverse change, Fair value input | $ (1,807,000) | $ (1,880,000) | |
Minimum [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Amortized cost, Pricing spread | 7.20% | 7.20% | |
Amortized cost, Weighted average life (in years) | 1 year 4 months 24 days | 1 year 3 months 18 days | |
Amortized cost, Prepayment speed | 9.80% | 8.10% | |
Amortized cost, Annual per-loan cost of servicing | $ 68,000 | $ 68,000 | |
Estimated fair value inputs, Pricing spread | 7.20% | 7.20% | |
Estimated fair value inputs, Prepayment speed | 10.40% | 9.20% | |
Estimated fair value inputs, Annual per-loan cost of servicing | $ 68,000 | $ 68,000 | |
Minimum [Member] | Mortgage service rights [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Estimated fair value inputs, Weighted average life (in years) | 2 years | 2 years 6 months | |
Maximum [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Amortized cost, Pricing spread | 10.70% | 10.70% | |
Amortized cost, Weighted average life (in years) | 6 years 10 months 24 days | 7 years 8 months 12 days | |
Amortized cost, Prepayment speed | 50.60% | 51.50% | |
Amortized cost, Annual per-loan cost of servicing | $ 68,000 | $ 68,000 | |
Estimated fair value inputs, Pricing spread | 10.20% | 10.20% | |
Estimated fair value inputs, Prepayment speed | 37.60% | 32.50% | |
Estimated fair value inputs, Annual per-loan cost of servicing | $ 68,000 | $ 68,000 | |
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 4 months 24 days | 6 years 1 month 6 days | |
Weighted Average [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Amortized cost, Pricing spread | 7.20% | 7.30% | |
Amortized cost, Weighted average life (in years) | 6 years 6 months | 7 years 2 months 12 days | |
Amortized cost, Prepayment speed | 11.50% | 9.60% | |
Amortized cost, Annual per-loan cost of servicing | $ 68,000 | $ 68,000 | |
Estimated fair value inputs, Pricing spread | 7.20% | 7.20% | |
Estimated fair value inputs, Prepayment speed | 15.70% | 13.20% | |
Estimated fair value inputs, Annual per-loan cost of servicing | $ 68,000 | $ 68,000 | |
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 4 months 24 days | 6 years 1 month 6 days |
Mortgage Loans Acquired for 101
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 | Mar. 31, 2016 | Dec. 31, 2015 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | $ 1,339,633 | $ 1,283,795 |
Mortgage loan acquired at unpaid principal balance | 1,278,416 | 1,236,019 |
Mortgage loans pledged to secure: Assets sold under agreements to repurchase | 1,310,418 | 1,268,455 |
Agency-Eligible [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 705,089 | 540,947 |
Mortgage loan acquired at unpaid principal balance | 674,703 | 525,192 |
Jumbo [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 13,621 | 54,613 |
Mortgage loan acquired at unpaid principal balance | 13,426 | 54,096 |
Held for Sale to PLS - Government-Insured or Guaranteed [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 596,166 | 669,288 |
Mortgage loan acquired at unpaid principal balance | 565,086 | 637,666 |
Commercial Real Estate [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 18,985 | 14,590 |
Mortgage loan acquired at unpaid principal balance | 18,989 | 14,461 |
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 | 5,772 | 4,357 |
Mortgage loan acquired at unpaid principal balance | 6,212 | 4,604 |
Mortgage Loans Acquired for Sale [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans pledged to secure: Assets sold under agreements to repurchase | 1,245,625 | 1,204,462 |
Mortgage loans pledged to secure mortgage loan participation and sale agreements | 64,794 | 0 |
Mortgage loans pledged to secure Federal Home Loan Bank ("FHLB") advances | $ 0 | $ 63,993 |
Mortgage Loans Acquired for 102
Mortgage Loans Acquired for Sale at Fair Value - Additional Information (Detail) | 3 Months Ended |
Mar. 31, 2016 | |
Fair Value Disclosures [Abstract] | |
Sourcing fee on the unpaid principal balance | 0.03% |
Derivative Financial Instrum103
Derivative Financial Instruments - Derivative Assets and Liabilities and Related Margin Deposits Recorded within Derivative Assets and Derivative Liabilities (Detail) - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 |
Derivatives, Fair Value [Line Items] | ||
Total derivative assets instruments before netting | $ 34,732,000 | $ 13,385,000 |
Derivative assets, Netting | (16,270,000) | (3,300,000) |
Derivative assets, Fair value, Total | 18,462,000 | 10,085,000 |
(Collateral received from) margin deposits with derivatives counterparties | (4,709,000) | 678,000 |
Total derivative liabilities instruments fair value before netting | 25,049,000 | 7,135,000 |
Derivative liabilities, Netting | (11,561,000) | (3,978,000) |
Derivative liabilities, Fair value, Total | 13,488,000 | 3,157,000 |
Interest Rate Lock Commitments [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 1,234,894,000 | 970,067,000 |
Total derivative assets instruments before netting | 9,372,000 | 4,983,000 |
Derivative assets, Netting | 0 | 0 |
Derivative assets, Fair value, Total | 9,372,000 | 4,983,000 |
Total derivative liabilities instruments fair value before netting | 37,000 | 337,000 |
Forward Sales Contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 3,466,697,000 | 2,450,642,000 |
Total derivative assets instruments before netting | 138,000 | 2,604,000 |
Derivative assets, Netting | 0 | 0 |
Derivative assets, Fair value, Total | 138,000 | 2,604,000 |
Total derivative liabilities instruments fair value before netting | 19,884,000 | 2,680,000 |
Forward Purchase Contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 2,981,134,000 | 2,469,550,000 |
Total derivative assets instruments before netting | 20,795,000 | 2,444,000 |
Derivative assets, Netting | 0 | 0 |
Derivative assets, Fair value, Total | 20,795,000 | 2,444,000 |
Total derivative liabilities instruments fair value before netting | 15,000 | 3,774,000 |
MBS Put Options [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 425,000,000 | 375,000,000 |
Total derivative assets instruments before netting | 64,000 | 93,000 |
Derivative assets, Netting | 0 | 0 |
Derivative assets, Fair value, Total | 64,000 | 93,000 |
Total derivative liabilities instruments fair value before netting | 0 | 0 |
Swap Futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 12,500,000 | 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 | 1,734,000,000 | 1,755,000,000 |
Total derivative assets instruments before netting | 0 | 0 |
Total derivative liabilities instruments fair value before netting | 0 | 0 |
Call Options on Interest Rate Futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 1,250,000,000 | 50,000,000 |
Total derivative assets instruments before netting | 3,949,000 | 1,156,000 |
Derivative assets, Netting | 0 | 0 |
Derivative assets, Fair value, Total | 3,949,000 | 1,156,000 |
Total derivative liabilities instruments fair value before netting | 895,000 | 305,000 |
Put Options on Interest Rate Futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 1,525,000,000 | 1,600,000,000 |
Total derivative assets instruments before netting | 414,000 | 1,512,000 |
Derivative assets, Netting | 0 | 0 |
Derivative assets, Fair value, Total | 414,000 | 1,512,000 |
Total derivative liabilities instruments fair value before netting | 0 | 39,000 |
CRT Agreements [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 5,931,409,000 | 4,546,265,000 |
Total derivative assets instruments before netting | 0 | 593,000 |
Derivative assets, Netting | 0 | 0 |
Derivative assets, Fair value, Total | 0 | 593,000 |
Total derivative liabilities instruments fair value before netting | $ 4,218,000 | $ 0 |
Derivative Financial Instrum104
Derivative Financial Instruments - Summary of Activity in Notional Amount for Derivative Arising from CRT Agreements and Derivative Contracts (Detail) - USD ($) | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Forward Sales Contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Balance, beginning of period | $ 2,450,642,000 | |
Balance, end of period | 3,466,697,000 | |
Forward Purchase Contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Balance, beginning of period | 2,469,550,000 | |
Balance, end of period | 2,981,134,000 | |
MBS Put Options [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Balance, beginning of period | 375,000,000 | |
Balance, end of period | 425,000,000 | |
Swap Futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Balance, beginning of period | 0 | |
Balance, end of period | 12,500,000 | |
Eurodollar Future Sale Contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Balance, beginning of period | 1,755,000,000 | |
Balance, end of period | 1,734,000,000 | |
Put Options on Interest Rate Futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Balance, beginning of period | 1,600,000,000 | |
Balance, end of period | 1,525,000,000 | |
Call Options on Interest Rate Futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Balance, beginning of period | 50,000,000 | |
Balance, end of period | 1,250,000,000 | |
CRT Agreements [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Balance, beginning of period | 4,546,265,000 | |
Balance, end of period | 5,931,409,000 | |
Mortgage Loans Acquired for Sale, MSRs, Mortgage Loans at Fair Value Held in a VIE and MBS Securities [Member] | Forward Sales Contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Balance, beginning of period | 2,450,642,000 | $ 1,601,283,000 |
Additions | 14,153,873,000 | 9,829,527,000 |
Dispositions/expirations | (13,137,818,000) | (8,472,318,000) |
Balance, end of period | 3,466,697,000 | 2,958,492,000 |
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 | 2,469,550,000 | 1,100,700,000 |
Additions | 10,068,440,000 | 7,047,676,000 |
Dispositions/expirations | (9,556,856,000) | (6,015,760,000) |
Balance, end of period | 2,981,134,000 | 2,132,616,000 |
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 | 375,000,000 | |
Additions | 750,000,000 | |
Dispositions/expirations | (700,000,000) | |
Balance, end of period | 425,000,000 | |
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 | 340,000,000 | |
Additions | 405,000,000 | |
Dispositions/expirations | (555,000,000) | |
Balance, end of period | 190,000,000 | |
Mortgage Loans Acquired for Sale, MSRs, Mortgage Loans at Fair Value Held in a VIE and MBS Securities [Member] | Swap Futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Balance, beginning of period | 0 | |
Additions | 12,500,000 | |
Dispositions/expirations | 0 | |
Balance, end of period | 12,500,000 | |
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 | 1,755,000,000 | 7,426,000,000 |
Additions | 80,000,000 | 100,000,000 |
Dispositions/expirations | (101,000,000) | (1,171,000,000) |
Balance, end of period | 1,734,000,000 | 6,355,000,000 |
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 | 800,000,000 | |
Additions | 0 | |
Dispositions/expirations | (800,000,000) | |
Balance, end of period | 0 | |
Mortgage Loans Acquired for Sale, MSRs, Mortgage Loans at Fair Value Held in a VIE and MBS Securities [Member] | Treasury Future Sale Contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Balance, beginning of period | 85,000,000 | |
Additions | 96,500,000 | |
Dispositions/expirations | (96,500,000) | |
Balance, end of period | 85,000,000 | |
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 | 1,600,000,000 | 275,000,000 |
Additions | 2,050,000,000 | 1,120,000,000 |
Dispositions/expirations | (2,125,000,000) | (375,000,000) |
Balance, end of period | 1,525,000,000 | 1,020,000,000 |
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 | 50,000,000 | 1,030,000,000 |
Additions | 1,300,000,000 | 640,000,000 |
Dispositions/expirations | (100,000,000) | (505,000,000) |
Balance, end of period | 1,250,000,000 | $ 1,165,000,000 |
Mortgage Loans Acquired for Sale, MSRs, Mortgage Loans at Fair Value Held in a VIE and MBS Securities [Member] | CRT Agreements [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Balance, beginning of period | 4,546,265,000 | |
Additions | 1,923,113,000 | |
Dispositions/expirations | (537,969,000) | |
Balance, end of period | $ 5,931,409,000 |
Derivative Financial Instrum105
Derivative Financial Instruments - Net Gains (Losses) Recognized on Derivative Financial Instruments (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Gain Loss on mortgage loans acquired for sale [Member] | Interest Rate Lock Commitments [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net gains (losses) on derivative financial instruments used as economic hedges | $ 31,364 | $ 19,412 |
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 | (162) | (10,038) |
Credit Risk Transfer Agreements [Member] | Net gain on investments [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net gains (losses) on derivative financial instruments used as economic hedges | (4,143) | 0 |
Mortgage loans acquired for sale at fair value [Member] | Gain Loss on mortgage loans acquired for sale [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net gains (losses) on derivative financial instruments used as economic hedges | (30,672) | (15,111) |
Mortgage service rights [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net gains (losses) on derivative financial instruments used as economic hedges | 29,960 | 11,076 |
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 | $ 29,960 | $ 11,076 |
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 | Mar. 31, 2016 | Dec. 31, 2015 |
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | $ 2,496,778 | $ 2,555,788 |
Unpaid principal balance | 3,173,434 | 3,292,043 |
Assets sold under agreements to repurchase | 4,062,796 | 3,868,899 |
FHLB advances | 63,993 | |
Asset-backed financing of the VIE at fair value | 449,215 | 455,394 |
Fixed interest rate jumbo mortgage loans held in a VIE [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 449,215 | 455,394 |
Unpaid principal balance | 442,637 | 454,935 |
Mortgage loans acquired for sale at fair value [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 1,339,633 | 1,283,795 |
Assets sold under agreements to repurchase | 2,014,446 | 2,067,341 |
FHLB advances | 0 | 134,172 |
Nonperforming mortgage loans [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 1,087,089 | 1,222,956 |
Unpaid principal balance | 1,502,248 | 1,702,548 |
Performing mortgage loans [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 960,474 | 877,438 |
Unpaid principal balance | 1,228,549 | 1,134,560 |
Performing mortgage loans [Member] | Fixed interest rate [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 458,662 | 417,658 |
Unpaid principal balance | 578,951 | 535,610 |
Performing mortgage loans [Member] | Interest rate step-up [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 341,111 | 299,569 |
Unpaid principal balance | 463,396 | 412,749 |
Performing mortgage loans [Member] | Adjustable-rate/hybrid [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 160,519 | 160,051 |
Unpaid principal balance | 186,000 | 185,997 |
Performing mortgage loans [Member] | Balloon [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 182 | 160 |
Unpaid principal balance | $ 202 | $ 204 |
Mortgage Loans at Fair Value107
Mortgage Loans at Fair Value - Summary of Certain Concentrations of Credit Risk in Portfolio of Distressed Mortgage Loans at Fair Value (Detail) | Mar. 31, 2016 | Dec. 31, 2015 |
Risks and Uncertainties [Abstract] | ||
Portion of mortgage loans originated between 2005 and 2007 | 72.00% | 72.00% |
Percentage of fair value of mortgage loans with unpaid-principal balance-to-current-property-value in excess of 100% | 42.00% | 48.00% |
Percentage of mortgage loans secured by California real estate | 22.00% | 22.00% |
Mortgage Loans at Fair Value108
Mortgage Loans at Fair Value - Summary of Certain Concentrations of Credit Risk in Portfolio of Distressed Mortgage Loans at Fair Value (Parenthetical) (Detail) | Mar. 31, 2016 | Dec. 31, 2015 |
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 Sett109
Real Estate Acquired in Settlement of Loans - Summary of Financial Information Relating to REO (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Real Estate [Abstract] | ||
Balance at beginning of period | $ 341,846 | $ 303,228 |
Transfers from mortgage loans at fair value and advances | 60,494 | 86,117 |
Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment | (4,184) | 0 |
Results of REO: | ||
Valuation adjustments, net | (10,645) | (11,400) |
Gain on sale, net | 4,609 | 5,568 |
Total gain (loss), net | (6,036) | (5,832) |
Proceeds from sales | (64,908) | (65,977) |
Balance at end of period | 327,212 | 317,536 |
At period end: | ||
REO pledged to secure assets sold under agreements to repurchase | 200,766 | 71,716 |
REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties | $ 56,528 | $ 128,788 |
Mortgage Servicing Rights - Sum
Mortgage Servicing Rights - Summary of MSRs Carried at Fair Value (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Servicing Asset At Fair Value Changes In Fair Value [Abstract] | ||
Balance at beginning of period | $ 66,584 | $ 57,358 |
Purchases | 2,602 | 0 |
MSRs resulting from mortgage loan sales | 3,300 | 1,906 |
Due to changes in valuation inputs used in valuation model | (8,952) | (8,194) |
Other changes in fair value | (2,463) | (1,622) |
Change in fair value, Total | (11,415) | (9,816) |
Balance at end of period | 61,071 | 49,448 |
MSRs pledged to secure notes payable at period end | $ 61,071 | $ 0 |
Mortgage Servicing Rights - 111
Mortgage Servicing Rights - Summary of MSRs Carried at Lower of Amortized Cost or Fair Value (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |
Servicing Asset at Amortized Cost, Balance [Roll Forward] | |||
Balance at beginning of period | $ 404,101 | $ 308,137 | |
MSRs resulting from mortgage loan sales | 32,862 | 25,554 | |
Amortization | (14,287) | (9,592) | |
Sales | 0 | (293) | |
Balance at end of period | 422,676 | 323,806 | |
Balance at beginning of period | (10,944) | (7,715) | |
Additions | (17,706) | (6,379) | |
Balance at end of period | (28,650) | (14,094) | |
MSRs, net | 394,026 | 309,712 | $ 393,157 |
Fair value at beginning of period | 424,154 | 322,230 | |
Fair value at end of period | 405,635 | 327,703 | |
Mortgage servicing rights [Member] | |||
Servicing Asset at Amortized Cost, Balance [Roll Forward] | |||
MSRs pledged to secure notes payable | $ 394,026 | $ 0 |
Mortgage Servicing Rights - 112
Mortgage Servicing Rights - Summary of Company's Estimate of Future Amortization of Existing MSRs Carried at Amortized Cost (Detail) $ in Thousands | Mar. 31, 2016USD ($) |
Servicing Asset Future Amortization Expense Abstract [Abstract] | |
2,017 | $ 59,226 |
2,018 | 50,401 |
2,019 | 43,243 |
2,020 | 37,530 |
2,021 | 32,801 |
Thereafter | 199,475 |
Total | $ 422,676 |
Mortgage Servicing Rights - 113
Mortgage Servicing Rights - Summary of Net Mortgage Loan Servicing Fees Relating to MSRs (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Transfers and Servicing [Abstract] | ||
Contractually-specified servicing fees | $ 27,779 | $ 21,588 |
Assets Sold Under Agreements114
Assets Sold Under Agreements to Repurchase - Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase (Detail) - USD ($) | 3 Months Ended | ||
Mar. 31, 2016 | Dec. 31, 2015 | Mar. 31, 2015 | |
Assets Sold under Agreements to Repurchase [Line Items] | |||
Weighted-average interest rate | 2.23% | 2.33% | |
Average balance | $ 2,797,301,000 | $ 2,847,915,000 | |
Total interest expense | 20,412,000 | 18,912,000 | |
Maximum daily amount outstanding | 3,577,236,000 | $ 3,860,671,000 | |
Amount outstanding | 3,246,095,000 | $ 3,130,328,000 | |
Unamortized debt issuance costs | (37,000) | (92,000) | |
Assets sold under agreements to repurchase, At year end | $ 3,245,014,000 | $ 3,128,780,000 | |
Weighted-average interest rate | 2.46% | 2.33% | |
Available borrowing capacity, Committed | $ 176,033,000 | $ 231,913,000 | |
Available borrowing capacity, Uncommitted | 1,059,224,000 | 661,756,000 | |
Available borrowing capacity | 1,235,257,000 | 893,669,000 | |
Margin deposits placed with counterparties included in Other assets | 6,939,000 | 7,268,000 | |
Fair value of assets securing agreements to repurchase | 4,062,796,000 | 3,868,899,000 | |
Assets Sold Under Agreements to Repurchase [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Unamortized debt issuance costs | (1,081,000) | (1,548,000) | |
Mortgage-backed securities at fair value [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Fair value of assets securing agreements to repurchase | 364,439,000 | 313,753,000 | |
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 | 1,245,625,000 | 1,204,462,000 | |
Mortgage loans at fair value [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Fair value of assets securing agreements to repurchase | 2,014,446,000 | 2,067,341,000 | |
Real estate acquired in settlement of loans [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Fair value of assets securing agreements to repurchase | 257,294,000 | 283,343,000 | |
Restricted Cash Included in Other Assets [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Fair value of assets securing agreements to repurchase | $ 180,992,000 | $ 0 |
Assets Sold Under Agreements115
Assets Sold Under Agreements to Repurchase - Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase (Parenthetical) (Detail) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Assets Sold Under Agreements to Repurchase [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Amortization of debt issuance costs | $ 2.1 | $ 2.3 |
Assets Sold Under Agreements116
Assets Sold Under Agreements to Repurchase - Summary of Maturities of Outstanding Assets Sold under Agreements to Repurchase by Facility Maturity Date (Detail) - Securities sold under agreements to repurchase at fair value [Member] $ in Thousands | 3 Months Ended |
Mar. 31, 2016USD ($) | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 3,246,095 |
Weighted average maturity | 8 years |
Within 30 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 245,478 |
Over 30 to 90 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 305,775 |
Over 90 days to 180 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 250,396 |
Over 180 days to 1 year [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 2,444,446 |
Maturity One Year To Two Years [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 0 |
Assets Sold Under Agreements117
Assets Sold Under Agreements to Repurchase - Summary of Assets Sold under Agreements to Repurchase by Counterparty (Detail) $ in Thousands | 3 Months Ended |
Mar. 31, 2016USD ($) | |
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 | $ 527 |
Weighted average maturity | Jun. 30, 2016 |
Citibank, N.A. [Member] | Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 352,362 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | May 15, 2016 |
Facility maturity | Oct. 20, 2016 |
Credit Suisse First Boston Mortgage Capital LLC [Member] | Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 278,944 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Jun. 24, 2016 |
Facility maturity | Mar. 30, 2017 |
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 | $ 52,898 |
Weighted average maturity | Apr. 8, 2016 |
JPMorgan Chase & Co. [Member] | Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 151,873 |
Facility maturity | Jan. 26, 2017 |
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 | $ 9,370 |
Weighted average maturity | May 9, 2016 |
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 | $ 16,153 |
Weighted average maturity | Apr. 21, 2016 |
Bank of America, N.A. [Member] | Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 37,910 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Jun. 22, 2016 |
Facility maturity | Mar. 29, 2017 |
Morgan Stanley Bank, N.A. [Member] | Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 17,903 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | May 23, 2016 |
Facility maturity | Dec. 16, 2016 |
Barclays [Member] | Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 970 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Jun. 12, 2016 |
Facility maturity | Sep. 13, 2016 |
BNP Paribas Corporate & Institutional Banking [Member] | Securities sold under agreements to repurchase at fair value [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 3,469 |
Weighted average maturity | Apr. 18, 2019 |
Assets Sold Under Agreements118
Assets Sold Under Agreements to Repurchase - Covenant Compliance (Detail) | Mar. 31, 2016USD ($) |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Minimum net worth amount | $ 2,500,000 |
PennyMac Mortgage Investment Trust [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Net worth | 1,414,503,000 |
Minimum net worth amount | 860,000,000 |
Operating Partnership [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Net worth | 1,453,675,000 |
Minimum net worth amount | 700,000,000 |
PennyMac Holdings, LLC [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Net worth | 878,764,000 |
Minimum net worth amount | 250,000,000 |
PennyMac Corp. [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Net worth | 403,394,000 |
Minimum net worth amount | $ 150,000,000 |
Mortgage Loan Participation 119
Mortgage Loan Participation and Sale Agreements - Summary of Mortgage Loan Participation and Sale Agreements (Detail) - USD ($) | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |
At period end: | |||
Unamortized debt issuance costs | $ (37,000) | $ (92,000) | |
Mortgage loan participation and sale agreements, At year end | $ 62,400,000 | $ 0 | |
Mortgage Loan Participation and Sale Agreement [Member] | |||
During the period: | |||
Weighted-average interest rate | 1.68% | 1.42% | |
Average balance | $ 68,598,000 | $ 43,547,000 | |
Total interest expense | 327,000 | 207,000 | |
Maximum daily amount outstanding | 97,672,000 | $ 92,940,000 | |
At period end: | |||
Amount outstanding | 62,400,000 | ||
Unamortized debt issuance costs | 0 | ||
Mortgage loan participation and sale agreements, At year end | $ 62,400,000 | ||
Weighted-average interest rate | 1.69% | ||
Mortgage loans acquired for sale pledged to secure mortgage loan participation and sale agreements | $ 64,794,000 |
Mortgage Loan Participation 120
Mortgage Loan Participation and Sale Agreements - Summary of Mortgage Loan Participation and Sale Agreements (Parenthetical) (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Mortgage Loan Participation and Sale Agreement [Member] | ||
Mortgage Loan Participation And Sale Agreement [Line Items] | ||
Amortization of debt issuance costs | $ 36,000 | $ 52,000 |
Federal Home Loan Bank Advan121
Federal Home Loan Bank Advances - Additional Information (Detail) - USD ($) | 3 Months Ended | |
Mar. 31, 2016 | Jun. 30, 2015 | |
Short-term Debt [Line Items] | ||
Federal home loan bank advances | $ 400,000,000 | |
Federal Home Loan Bank Advances [Member] | ||
Short-term Debt [Line Items] | ||
Membership termination description | For captive insurance companies that became members since the rule was proposed in 2014, including Copper Insurance, LLC, membership must be terminated within one year, and no additional advances may be made | |
Membership termination window | 1 year | |
Additional advances in membership | $ 0 |
Federal Home Loan Bank Advan122
Federal Home Loan Bank Advances - Summary of FHLB Advances (Detail) - USD ($) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Federal Home Loan Banks [Abstract] | ||
Carrying value | $ 0 | $ 183,000,000 |
Weighted-average interest rate | 0.49% | 0.30% |
Mortgage-backed securities | $ 8,720,000 | |
Average balance | $ 98,038,000 | |
Mortgage loans acquired for sale at fair value | 63,993,000 | |
Total interest expense | 122,000 | |
Mortgage loans at fair value | 134,172,000 | |
Maximum daily amount outstanding | $ 201,130,000 | |
Fair value of assets securing FHLB advances, total | $ 206,885,000 |
Notes Payable - Additional Info
Notes Payable - Additional Information (Detail) - USD ($) | 3 Months Ended | ||
Mar. 31, 2016 | Sep. 14, 2015 | Mar. 31, 2015 | |
Loan and Security Agreement with Citibank, N.A. [Member] | |||
Short-term Debt [Line Items] | |||
Maturity date of debt instrument | Oct. 20, 2016 | ||
Loan and Security Agreement with Barclays Bank PLC, [Member] | |||
Short-term Debt [Line Items] | |||
Maturity date of debt instrument | Sep. 13, 2016 | ||
Maximum [Member] | Loan and Security Agreement with Citibank, N.A. [Member] | |||
Short-term Debt [Line Items] | |||
Aggregate loan amount | $ 125,000,000 | ||
Maximum [Member] | Loan and Security Agreement with Barclays Bank PLC, [Member] | |||
Short-term Debt [Line Items] | |||
Aggregate loan amount | $ 200,000,000 |
Notes Payable - Summary of Fina
Notes Payable - Summary of Financial Information Relating to Note Payable (Detail) - USD ($) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
During the period: | ||
Weighted-average interest rate | 4.59% | |
Average balance | $ 213,616,000 | |
Total interest expense | 3,344,000 | |
Maximum daily amount outstanding | 234,476,000 | |
Carrying value: | ||
Amount outstanding | 206,228,000 | $ 236,107,000 |
Unamortized debt issuance costs | (37,000) | (92,000) |
Balance | $ 206,191,000 | $ 236,015,000 |
Weighted-average interest rate | 4.59% | 4.53% |
MSRs pledged to secure notes payable | $ 455,097,000 | $ 459,741,000 |
Notes Payable - Summary of F125
Notes Payable - Summary of Financial Information Relating to Note Payable (Parenthetical) (Detail) | 3 Months Ended |
Mar. 31, 2016USD ($) | |
Notes payable [Member] | |
Debt Instrument [Line Items] | |
Amortization of debt issuance costs | $ 825,000 |
Asset-Backed Financing of a 126
Asset-Backed Financing of a Variable Interest Entity at Fair Value - Summary of Financial Information Relating to Asset-Backed Financing of a VIE (Detail) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |
During the period: | |||
Carrying value | $ 344,693 | $ 247,690 | |
Variable Interest Entities [Member] | |||
During the period: | |||
Carrying value | 344,693 | 247,690 | |
Asset-Backed Financing of the VIE at Fair Value [Member] | Variable Interest Entities [Member] | |||
During the period: | |||
Carrying value | 344,693 | 247,690 | |
UPB | $ 339,449 | $ 248,284 | |
Weighted-average interest rate | 3.50% | 3.50% | |
Asset-Backed Financing of the VIE at Fair Value [Member] | Variable Interest Entities [Member] | |||
During the period: | |||
Weighted-average fair value | $ 315,991 | $ 165,522 | |
Interest expense | $ 1,352 | $ 1,583 | |
Weighted-average effective interest rate | 3.34% | 3.83% |
Exchangeable Senior Notes - Add
Exchangeable Senior Notes - Additional Information (Detail) - Exchangeable Senior Notes due May 1, 2020 [Member] | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016USD ($)$ / shares | Dec. 31, 2015USD ($) | |
Debt Instrument [Line Items] | ||
Issuance of debt through private offering | $ 250,000,000 | |
Percentage of interest on debt | 5.375% | |
Number of shares exchanged per exchangeable notes | 33.8667 | |
Principal amount of the exchangeable notes | $ 1,000 | |
Increased in cash dividend | $ / shares | $ 0.57 | |
Maturity date of debt instrument | May 1, 2020 | |
Initial Exchangeable Rate [Member] | ||
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 Senior Notes (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |
During the period: | |||
Weighted-average UPB | $ 250,000 | $ 250,000 | |
Carrying value: | |||
UPB | 250,000 | $ 250,000 | |
Unamortized debt issuance costs | (37) | (92) | |
Exchangeable senior notes | 245,307 | $ 245,054 | |
Convertible Debt [Member] | |||
During the period: | |||
Interest expense | $ 3,612 | $ 3,597 |
Exchangeable Senior Notes - 129
Exchangeable Senior Notes - Summary of Financial Information Relating to Exchangeable Senior Notes (Parenthetical) (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Interest Expense [Member] | Convertible Debt [Member] | ||
Debt Instrument [Line Items] | ||
Amortization of commitment fees and debt issuance costs | $ 253,000 | $ 239,000 |
Liability for Losses under R130
Liability for Losses under Representations and Warranties - Summary of Company's Liability for Losses under Representations and Warranties (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Mortgage Banking [Abstract] | ||
Balance, beginning of period | $ 20,171 | $ 14,242 |
Provision for losses | ||
Pursuant to mortgage loan sales | 571 | 925 |
Adjustment to previously recorded amount due to change in estimate | (1,724) | 0 |
Losses incurred | (306) | (53) |
Recoveries | 0 | 265 |
Balance, end of period | 18,712 | 15,379 |
UPB of mortgage loans subject to representations and warranties at period end | $ 43,464,887 | $ 35,573,237 |
Commitments and Contingencies -
Commitments and Contingencies - Company's Outstanding Contractual Loan Commitments (Detail) $ in Thousands | Mar. 31, 2016USD ($) |
Commitments to purchase mortgage loans: | |
Mortgage loans acquired for sale at fair value | $ 1,234,894 |
Shareholders' Equity - Addition
Shareholders' Equity - Additional Information (Detail) - USD ($) | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | Feb. 28, 2016 | Aug. 31, 2015 | |
Schedule of Capitalization, Equity [Line Items] | |||||
Number of common stock shares Repurchased during period | 5,200,000 | 6,200,000 | |||
Value of common stock shares Repurchased during period | $ 64,471,000 | $ 80,800,000 | |||
Number of common shares sold under Sales Agreement | 0 | ||||
ATM Equity Offering Sales AgreementSM [Member] | |||||
Schedule of Capitalization, Equity [Line Items] | |||||
Number of common shares sold under Sales Agreement | 0 | 0 | |||
Amount of common stock available for future issuance under Sales Agreement | $ 106,900,000 | ||||
Maximum [Member] | |||||
Schedule of Capitalization, Equity [Line Items] | |||||
Common stock shares Repurchase authorized amount | $ 200,000,000 | $ 150,000,000 |
Net Interest Income - Summary o
Net Interest Income - Summary of Net Interest Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Interest income: | ||
ESS purchased from PFSI, at fair value | $ 54,366 | $ 40,685 |
Interest expense: | ||
Notes payable | 3,344 | |
Interest expense, total | 32,004 | 25,746 |
Net interest income | 22,362 | 14,939 |
Nonaffiliates [Member] | ||
Interest income: | ||
Short-term investments | 376 | 220 |
Other | 284 | 12 |
Mortgage-backed securities | 2,712 | 2,633 |
Mortgage loans acquired for sale at fair value | 9,264 | 7,101 |
Mortgage loans at fair value | 29,186 | 21,554 |
ESS purchased from PFSI, at fair value | 47,351 | 36,933 |
Interest expense: | ||
Assets sold under agreements to repurchase | 20,412 | 18,912 |
Mortgage loans participation and sale agreement | 327 | 207 |
FHLB advances | 122 | 0 |
Notes payable | 3,344 | 0 |
Asset-backed financings of a VIE at fair value | 1,352 | 1,583 |
Exchangeable Notes | 3,612 | 3,597 |
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations | 972 | 1,173 |
Interest on mortgage loan impound deposits | 261 | 274 |
Interest expense, total | 30,402 | 25,746 |
Nonaffiliates [Member] | Variable Interest Entities [Member] | ||
Interest income: | ||
Mortgage loans at fair value | 5,529 | 5,413 |
PennyMac Financial Services, Inc. [Member] | ||
Interest income: | ||
ESS purchased from PFSI, at fair value | 7,015 | 3,752 |
Interest expense: | ||
Notes payable | 1,602 | 0 |
Interest expense, total | $ 1,602 | $ 0 |
Net Gain on Mortgage Loans A134
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 | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Cash loss: | ||
Mortgage loans | $ (3,019) | $ (7,544) |
Hedging activities | (32,577) | (12,527) |
Cash gain, net of effects of cash hedging, on sale of mortgage loans acquired for sale | (35,596) | (20,071) |
Non cash gain: | ||
Receipt of MSRs in mortgage loan sale transactions | 36,162 | 27,460 |
Provision for losses relating to representations and warranties provided in mortgage loan sales | ||
Pursuant to mortgage loans sales | 571 | 925 |
Adjustment to previously recorded amount due to change in estimate | 1,724 | 0 |
Change in fair value during the period of financial instruments held at period end: | ||
IRLCs | 4,688 | 2,554 |
Mortgage loans | 6,737 | 3,726 |
Hedging derivatives | 1,905 | (2,584) |
Total non cash portion of gain on mortgage loans acquired for sale | 13,330 | 3,696 |
Net gain on mortgage loans acquired for sale | $ 15,049 | $ 10,160 |
Net (Loss) Gain on Investmen135
Net (Loss) Gain on Investments - Summary of Net (Loss) Gain on Investments (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Net (loss) gain on investments: | ||
Net (loss) gain on investments | $ (3,898) | $ 3,447 |
Nonaffiliates [Member] | ||
Net (loss) gain on investments: | ||
Mortgage-backed securities | 5,099 | 1,516 |
Mortgage loans at fair value | 14,395 | 17,186 |
Mortgage loans held in a VIE | 8,394 | 1,800 |
CRT Agreements | (4,143) | 0 |
Asset-backed financing of a VIE at fair value | (9,854) | (770) |
Hedging derivatives | (162) | (10,038) |
Net (loss) gain on investments | 13,729 | 9,694 |
PennyMac Financial Services, Inc. [Member] | ||
Net (loss) gain on investments: | ||
Net (loss) gain on investments | $ (17,627) | $ (6,247) |
Net Loan Servicing Fees - Summa
Net Loan Servicing Fees - Summary of Net Loan Servicing Fees (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Components of Net Servicing Fee Income [Line Items] | ||
Servicing fees | $ 28,872 | $ 22,629 |
MSR recapture fee receivable from PFSI | 130 | 0 |
Effect of MSRs: | ||
Amortization | (14,287) | (9,592) |
Provision for impairment | (17,706) | (6,379) |
Gain on sale | 0 | 83 |
Carried at fair value-change in fair value | (11,415) | (9,816) |
Total Effect of MSRs | (13,448) | (14,628) |
Net loan servicing fees | 15,554 | 8,001 |
Average servicing portfolio | 43,253,977 | 34,599,043 |
Mortgage service rights [Member] | ||
Effect of MSRs: | ||
Gains on hedging derivatives | $ 29,960 | $ 11,076 |
Share-Based Compensation Plans
Share-Based Compensation Plans - Additional Information (Detail) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Restricted Share Units [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Share-based share compensation plan, and compensation expense | $ 1 | $ 2.5 |
Number of share units granted | 330,076 | 294,684 |
Restricted share units, grant date fair value | $ 6.3 | $ 6.3 |
Units vested | 76,048 | 75,063 |
Performance-Based Awards [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Number of share units granted | 112,079 |
Other Expenses - Summary of Oth
Other Expenses - Summary of Other Expenses (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Other Non operating Income Expense [Line Items] | ||
Total other expenses | $ 5,636 | $ 4,857 |
Real Estate Held for Investment [Member] | ||
Other Non operating Income Expense [Line Items] | ||
Total other expenses | 557 | 0 |
Mortgage Loan Origination [Member] | ||
Other Non operating Income Expense [Line Items] | ||
Total other expenses | 1,121 | 953 |
Common Overhead Allocation from PFSI [Member] | ||
Other Non operating Income Expense [Line Items] | ||
Total other expenses | 2,561 | 2,392 |
Technology [Member] | ||
Other Non operating Income Expense [Line Items] | ||
Total other expenses | 435 | 292 |
Insurance [Member] | ||
Other Non operating Income Expense [Line Items] | ||
Total other expenses | 318 | 373 |
Other [Member] | ||
Other Non operating Income Expense [Line Items] | ||
Total other expenses | $ 644 | $ 847 |
Other Expenses - Summary of 139
Other Expenses - Summary of Other Expenses (Parenthetical) (Detail) | 3 Months Ended |
Mar. 31, 2016 | |
Other Income and Expenses [Abstract] | |
Management agreement amendment description | The Operating Partnership amended its management agreement to provide that the total costs and expenses incurred by PFSI in any quarter and reimbursable by the Operating Partnership is capped at an amount equal to the product of (A) 70 basis points (0.0070), multiplied by (B) PMT’s shareholders’ equity (as defined in the management agreement) as of the last day of the month preceding quarter end, divided by four. |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Income Tax Examination [Line Items] | ||
Effective income tax rate | (31.00%) | 297.00% |
Benefit from income taxes | $ (3,452) | $ (11,328) |
Income (loss) before benefit from income taxes | 11,044 | (3,820) |
Taxable REIT Subsidiary [Member] | ||
Income Tax Examination [Line Items] | ||
Benefit from income taxes | (3,500) | (11,300) |
Income (loss) before benefit from income taxes | $ (6,000) | $ (28,600) |
Segments and Related Informa141
Segments and Related Information - Financial Highlights by Operating Segment (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |
Net investment income: | |||
Interest income | $ 54,366 | $ 40,685 | |
Interest expense | (32,004) | (25,746) | |
Net interest income | 22,362 | 14,939 | |
Net gain on mortgage loans acquired for sale | 15,049 | 10,160 | |
Net (loss) gain on investments | (3,898) | 3,447 | |
Net mortgage loan servicing fees | 15,554 | 8,001 | |
Other income (loss) | 3,149 | 1,110 | |
Net investment income | 52,216 | 37,657 | |
Expenses: | |||
Mortgage loan fulfillment, servicing and management fees payable to PFSI | 29,740 | 30,539 | |
Other | 11,432 | 10,938 | |
Total expenses | 41,172 | 41,477 | |
Pre-tax income (loss) | 11,044 | (3,820) | |
Total assets at period end | 5,820,440 | 5,737,410 | $ 5,826,924 |
Correspondent production [Member] | |||
Net investment income: | |||
Interest income | 9,023 | 7,112 | |
Interest expense | (5,119) | (3,820) | |
Net interest income | 3,904 | 3,292 | |
Net gain on mortgage loans acquired for sale | 15,049 | 10,160 | |
Net (loss) gain on investments | 0 | 0 | |
Net mortgage loan servicing fees | 0 | 0 | |
Other income (loss) | 6,837 | 5,351 | |
Net investment income | 25,790 | 18,803 | |
Expenses: | |||
Mortgage loan fulfillment, servicing and management fees payable to PFSI | 13,354 | 13,170 | |
Other | 1,527 | 1,214 | |
Total expenses | 14,881 | 14,384 | |
Pre-tax income (loss) | 10,909 | 4,419 | |
Total assets at period end | 1,351,098 | 1,392,680 | |
Investment activities [Member] | |||
Net investment income: | |||
Interest income | 45,343 | 33,573 | |
Interest expense | (26,885) | (21,926) | |
Net interest income | 18,458 | 11,647 | |
Net gain on mortgage loans acquired for sale | 0 | 0 | |
Net (loss) gain on investments | (3,898) | 3,447 | |
Net mortgage loan servicing fees | 15,554 | 8,001 | |
Other income (loss) | (3,688) | (4,241) | |
Net investment income | 26,426 | 18,854 | |
Expenses: | |||
Mortgage loan fulfillment, servicing and management fees payable to PFSI | 16,386 | 17,369 | |
Other | 9,905 | 9,724 | |
Total expenses | 26,291 | 27,093 | |
Pre-tax income (loss) | 135 | (8,239) | |
Total assets at period end | $ 4,469,342 | $ 4,344,730 |
Supplemental Cash Flow Infor142
Supplemental Cash Flow Information - Summary of Supplemental Cash Flow Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Additional Cash Flow Elements and Supplemental Cash Flow Information [Abstract] | ||
Cash paid for interest | $ 36,594 | $ 21,188 |
Income taxes paid, net | 175 | 186 |
Non-cash investing activities: | ||
Receipt of MSRs as proceeds from sales of mortgage loans | 36,162 | 27,460 |
Transfer of mortgage loans and advances to real estate acquired in settlement of loans | 60,494 | 86,117 |
Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment | 4,184 | 0 |
Receipt of ESS pursuant to recapture agreement with PFSI | 1,911 | 1,246 |
Non-cash financing activities: | ||
Transfer of mortgage loans at fair value financed under agreements to repurchase to REO financed under agreements to repurchase | 9,710 | 0 |
Dividends payable | $ 32,695 | $ 46,073 |
Regulatory Capital and Liqui143
Regulatory Capital and Liquidity Requirements - Additional Information (Detail) | 3 Months Ended |
Mar. 31, 2016USD ($) | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Minimum net worth amount | $ 2,500,000 |
Basis point | 25.00% |
Number of residential mortgage loans served | 1-4 |
Unpaid Principal Balance [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Basis point | 3.50% |
Nonperforming mortgage loans [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Basis point | 200.00% |
Minimum [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Tangible net worth/ total assets ratio | 6.00% |
Regulatory Capital and Liqui144
Regulatory Capital and Liquidity Requirements - Summary of Capital and Liquidity Requirements by Agencies (Detail) $ in Thousands | Mar. 31, 2016USD ($) |
Fannie Mae Capital Markets [Member] | |
Capital Requirements By Agencies [Line Items] | |
Net Worth | $ 407,438 |
Required | $ 113,019 |
Total Assets Ratio | 14.00% |
Required | 6.00% |
Liquidity | $ 30,797 |
Required | 15,473 |
Freddie Mac Capital Markets [Member] | |
Capital Requirements By Agencies [Line Items] | |
Net Worth | 407,438 |
Required | $ 113,019 |
Total Assets Ratio | 14.00% |
Required | 6.00% |
Liquidity | $ 30,797 |
Required | $ 15,473 |
Subsequent Events - Additional
Subsequent Events - Additional Information (Detail) - USD ($) $ in Thousands | May. 06, 2016 | Apr. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 |
Subsequent Event [Line Items] | ||||
Repurchase of common shares | 5,200,000 | 6,200,000 | ||
Common stock value | $ 64,471 | $ 80,800 | ||
Subsequent Event [Member] | ||||
Subsequent Event [Line Items] | ||||
UPB of mortgage loans sold | $ 419,300 | |||
Cash proceeds net of fees and repayment of associated financing | $ 100,400 | |||
Repurchase of common shares | 100,000 | |||
Common stock value | $ 1,400 |