Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2016 | Nov. 03, 2016 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2016 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q3 | |
Trading Symbol | PMT | |
Entity Registrant Name | PennyMac Mortgage Investment Trust | |
Entity Central Index Key | 1,464,423 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Large Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 66,697,286 |
Consolidated Balance Sheets (Un
Consolidated Balance Sheets (Unaudited) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
ASSETS | ||
Cash | $ 139,068 | $ 58,108 |
Short-term investments | 33,353 | 41,865 |
Mortgage-backed securities at fair value pledged to creditors | 708,862 | 322,473 |
Mortgage loans acquired for sale at fair value (includes $2,018,292 and $1,268,455 pledged to creditors, respectively) | 2,043,453 | 1,283,795 |
Mortgage loans at fair value | 1,957,117 | 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. | 280,367 | 412,425 |
Derivative assets | 44,774 | 10,085 |
Real estate acquired in settlement of loans (includes $221,153 and $283,343 pledged to creditors, respectively) | 288,348 | 341,846 |
Real estate held for investment | 25,708 | 8,796 |
Mortgage servicing rights pledged to creditors (includes $55,843 and $66,584 carried at fair value, respectively) | 524,529 | 459,741 |
Servicing advances | 78,624 | 88,010 |
Deposits securing credit risk transfer agreements | 427,677 | 147,000 |
Other | 61,245 | 88,186 |
Total assets | 6,618,901 | 5,826,924 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 4,041,085 | 3,128,780 |
Mortgage loan participation and sale agreements | 88,458 | 0 |
Federal Home Loan Bank advances | 0 | 183,000 |
Notes payable | 196,132 | 236,015 |
Asset-backed financing of a variable interest entity at fair value | 384,407 | 247,690 |
Exchangeable senior notes | 245,824 | 245,054 |
Interest-only security payable at fair value | 1,699 | 0 |
Derivative liabilities | 1,620 | 3,157 |
Accounts payable and accrued liabilities | 88,704 | 64,474 |
Income taxes payable | 36,380 | 33,505 |
Liability for losses under representations and warranties | 14,927 | 20,171 |
Total liabilities | 5,263,983 | 4,330,811 |
SHAREHOLDERS’ EQUITY | ||
Common shares of beneficial interest—authorized, 500,000,000 common shares of $0.01 par value; issued and outstanding, 67,036,149 and 73,767,435 common shares | 671 | 738 |
Additional paid-in capital | 1,380,502 | 1,469,722 |
(Accumulated deficit) retained earnings | (26,255) | 25,653 |
Total shareholders’ equity | 1,354,918 | 1,496,113 |
Total liabilities and shareholders’ equity | 6,618,901 | 5,826,924 |
Variable Interest Entities [Member] | ||
ASSETS | ||
Mortgage loans at fair value | 397,740 | 455,394 |
Derivative assets | 16,662 | 593 |
Deposits securing credit risk transfer agreements | 427,677 | 147,000 |
Other—interest receivable | 1,097 | 1,447 |
Total assets of Consolidated Variable Interest Entity | 843,176 | 604,434 |
LIABILITIES | ||
Asset-backed financing of a variable interest entity at fair value | 384,407 | 247,690 |
Interest-only security payable at fair value | 1,699 | 0 |
Accounts payable and accrued liabilities—interest payable | 1,097 | 724 |
SHAREHOLDERS’ EQUITY | ||
Total liabilities of Consolidated Variable Interest Entity | 387,203 | 248,414 |
PennyMac Financial Services, Inc. [Member] | ||
ASSETS | ||
Due from PennyMac Financial Services, Inc. | 5,776 | 8,806 |
LIABILITIES | ||
Notes payable | 150,000 | 150,000 |
Due to PennyMac Financial Services, Inc. | $ 14,747 | $ 18,965 |
Consolidated Balance Sheets (U3
Consolidated Balance Sheets (Unaudited) (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Mortgage loans acquired for sale at fair value, pledged to creditors | $ 2,018,292 | $ 1,268,455 |
Mortgage loans at fair value, pledged to creditors | 1,947,425 | 2,201,513 |
Derivative assets, pledged to creditors | 8,268 | |
Real estate pledged to creditors | 221,153 | |
Mortgage servicing rights at fair value | 55,843 | $ 66,584 |
Deposits securing credit risk transfer agreements, pledged to creditors | $ 416,163 | |
Common shares, authorized | 500,000,000 | 500,000,000 |
Common shares, par value | $ 0.01 | $ 0.01 |
Common shares, issued | 67,036,149 | 73,767,435 |
Common shares, outstanding | 67,036,149 | 73,767,435 |
Real Estate Acquired in Satisfaction of Debt [Member] | ||
Real estate pledged to creditors | $ 221,153 | $ 283,343 |
Consolidated Statements of Inco
Consolidated Statements of Income (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Net investment income | ||||
Interest income | $ 58,134 | $ 61,438 | $ 164,266 | $ 147,456 |
Interest expense: | ||||
Interest expense | 40,330 | 37,760 | 108,927 | 93,245 |
Net interest income | 17,804 | 23,678 | 55,339 | 54,211 |
Net gain on mortgage loans acquired for sale | 43,858 | 13,884 | 83,133 | 35,219 |
Mortgage loan origination fees | 12,684 | 9,135 | 28,104 | 21,701 |
Net gain (loss) on investments | 14,279 | 24,958 | (5,106) | 51,019 |
Net mortgage loan servicing fees | 15,761 | 20,791 | 47,006 | 41,810 |
Results of real estate acquired in settlement of loans | (3,285) | (4,221) | (11,886) | (11,859) |
Other | 2,225 | 2,549 | 6,570 | 6,095 |
Net investment income | 103,326 | 90,774 | 203,160 | 198,196 |
Expenses | ||||
Mortgage loan fulfillment fees | 27,255 | 17,553 | 59,301 | 45,752 |
Mortgage loan servicing fees | 11,039 | 11,736 | 38,919 | 34,542 |
Management fees | 5,025 | 5,742 | 15,576 | 18,524 |
Mortgage loan collection and liquidation | 6,205 | 1,853 | 12,709 | 6,480 |
Professional services | 1,134 | 1,759 | 5,438 | 5,249 |
Compensation | 1,508 | 1,550 | 5,021 | 5,748 |
Other | 6,146 | 5,474 | 18,297 | 15,526 |
Total expenses | 58,312 | 45,667 | 155,261 | 131,821 |
Income before provision for (benefit from) income taxes | 45,014 | 45,107 | 47,899 | 66,375 |
Provision for (benefit from) income taxes | 9,606 | 6,295 | 3,262 | (8,016) |
Net income | $ 35,408 | $ 38,812 | $ 44,637 | $ 74,391 |
Earnings per share | ||||
Basic | $ 0.52 | $ 0.51 | $ 0.63 | $ 0.98 |
Diluted | $ 0.49 | $ 0.49 | $ 0.63 | $ 0.95 |
Weighted-average shares outstanding | ||||
Basic | 67,554 | 74,681 | 69,289 | 74,675 |
Diluted | 76,329 | 83,411 | 69,289 | 83,486 |
Dividends declared per share | $ 0.47 | $ 0.47 | $ 1.41 | $ 1.69 |
Nonaffiliates [Member] | ||||
Net investment income | ||||
Interest income | $ 53,307 | $ 53,412 | $ 146,711 | $ 129,860 |
Interest expense: | ||||
Interest expense | 38,356 | 36,471 | 103,129 | 91,423 |
Net gain (loss) on investments | 17,103 | 32,802 | 31,169 | 56,521 |
PennyMac Financial Services, Inc. [Member] | ||||
Net investment income | ||||
Interest income | 4,827 | 8,026 | 17,555 | 17,596 |
Interest expense: | ||||
Interest expense | 1,974 | 1,289 | 5,798 | 1,822 |
Net gain (loss) on investments | $ (2,824) | $ (7,844) | $ (36,275) | $ (5,502) |
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] | (Accumulated Deficit) 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 | 0 | ||
Net income | 74,391 | $ 0 | 0 | $ 74,391 |
Share-based compensation, Amount | 4,980 | $ 3 | 4,977 | $ 0 |
Share-based compensation, Shares | 302 | 0 | ||
Common share dividends | (127,166) | $ 0 | 0 | $ (127,166) |
Issuance of common shares, Amount | 8 | $ 0 | 8 | $ 0 |
Issuance of common shares, Shares | 0 | 0 | ||
Repurchase of common shares, Amount | $ (15,955) | $ (10) | (15,945) | $ 0 |
Repurchase of common shares, Shares | (1,019,487) | (1,020) | 0 | |
Balance, Amount at Sep. 30, 2015 | $ 1,514,430 | $ 738 | 1,468,739 | $ 44,953 |
Balance, Shares at Sep. 30, 2015 | 73,792 | 0 | ||
Balance, Amount at Dec. 31, 2015 | 1,496,113 | $ 738 | 1,469,722 | $ 25,653 |
Balance, Shares at Dec. 31, 2015 | 73,767 | 0 | ||
Net income | 44,637 | $ 0 | 0 | $ 44,637 |
Share-based compensation, Amount | 4,142 | $ 3 | 4,139 | $ 0 |
Share-based compensation, Shares | 298 | 0 | ||
Common share dividends | (96,545) | $ 0 | 0 | $ (96,545) |
Repurchase of common shares, Amount | $ (93,429) | $ (70) | (93,359) | $ 0 |
Repurchase of common shares, Shares | (7,029,048) | (7,029) | 0 | |
Balance, Amount at Sep. 30, 2016 | $ 1,354,918 | $ 671 | $ 1,380,502 | $ (26,255) |
Balance, Shares at Sep. 30, 2016 | 67,036 | 0 |
Consolidated Statements of Cha6
Consolidated Statements of Changes in Shareholders' Equity (Unaudited) (Parenthetical) - $ / shares | 9 Months Ended | |
Sep. 30, 2016 | Sep. 30, 2015 | |
Common share dividends declared per share | $ 1.41 | $ 1.69 |
(Accumulated Deficit) Retained Earnings [Member] | ||
Common share dividends declared per share | $ 1.41 | $ 1.69 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2016 | Sep. 30, 2015 | |
Cash flows from operating activities | ||
Net income | $ 44,637 | $ 74,391 |
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 | 1,628 | (884) |
Capitalization of interest on mortgage loans at fair value | (62,783) | (34,979) |
Capitalization of interest on excess servicing spread | (17,555) | (17,596) |
Amortization of debt issuance costs | 9,798 | 8,491 |
Net gain on mortgage loans acquired for sale | (83,133) | (35,219) |
Net loss (gain) on investments | 5,106 | (51,019) |
Change in fair value, amortization and impairment of mortgage servicing rights | 48,608 | 32,876 |
Results of real estate acquired in settlement of loans | 11,886 | 11,859 |
Share-based compensation expense | 4,142 | 4,980 |
Purchase of mortgage loans acquired for sale at fair value from nonaffiliates | (45,300,447) | (35,922,418) |
Purchase of mortgage loans acquired for sale at fair value from PennyMac Financial Services, Inc. | (13,146) | (13,708) |
Repurchase of mortgage loans subject to representation and warranties | (9,922) | (14,873) |
Sale and repayment of mortgage loans acquired for sale at fair value to nonaffiliates | 15,323,444 | 10,593,309 |
Sale of mortgage loans acquired for sale to PennyMac Financial Services, Inc. | 29,154,270 | 24,877,077 |
Decrease (increase) in servicing advances | 4,719 | (16,930) |
Decrease (increase) in due from PennyMac Financial Services, Inc. | 2,699 | (2,090) |
Decrease (increase) in other assets | 58,246 | (14,891) |
Increase in accounts payable and accrued liabilities | 27,442 | 10,624 |
Decrease in due to PennyMac Financial Services, Inc. | (4,218) | (6,487) |
Increase (decrease) in income taxes payable | 2,875 | (8,715) |
Net cash used in operating activities | (791,704) | (526,202) |
Cash flows from investing activities | ||
Net decrease in short-term investments | 8,512 | 108,382 |
Purchase of mortgage-backed securities at fair value | (551,654) | (62,224) |
Sale and repayment of mortgage-backed securities at fair value | 172,470 | 52,520 |
Purchase of mortgage loans at fair value | 0 | (241,981) |
Sale and repayment of mortgage loans at fair value | 516,507 | 215,630 |
Purchase of excess servicing spread from PennyMac Financial Services, Inc. | 0 | (271,452) |
Repayment of excess servicing spread by PennyMac Financial Services, Inc. | 54,623 | 55,800 |
Sale of excess servicing spread to PennyMac Financial Services, Inc. | 59,045 | 0 |
Net settlement of derivative financial instruments | (6,077) | (8,766) |
Sale of mortgage loans at fair value to PennyMac Financial Services, Inc. | 891 | 1,466 |
Sale of real estate acquired in settlement of loans | 180,416 | 174,784 |
Purchase of mortgage servicing rights | (2,602) | 0 |
Sale of mortgage servicing rights | 106 | 392 |
Deposit of cash securing credit risk transfer agreements | (282,434) | (87,891) |
Distribution from credit risk transfer agreements | 14,358 | 0 |
(Increase) decrease in margin deposits and restricted cash | (3,017) | 1,438 |
Purchase of Federal Home Loan Bank capital stock | (225) | (7,330) |
Redemption of Federal Home Loan Bank capital stock | 7,320 | 0 |
Net cash provided by (used in) investing activities | 168,239 | (69,232) |
Cash flows from financing activities | ||
Sale of assets under agreements to repurchase | 48,753,454 | 38,669,898 |
Repurchase of assets sold under agreements to repurchase | (47,841,632) | (38,534,306) |
Sale of mortgage loan participation certificates | 4,955,742 | 3,613,090 |
Repayment of mortgage loan participation certificates | (4,867,284) | (3,572,232) |
Issuance of credit risk transfer financing | 0 | 1,204,187 |
Repayment of credit risk transfer financing | 0 | (1,204,187) |
Federal Home Loan Bank advances | 28,000 | 461,484 |
Repayment of Federal Home Loan Bank advances | (211,000) | (278,484) |
Advance under notes payable | 103,554 | 346,179 |
Repayment under notes payable | (143,518) | (153,765) |
Advance under notes payable to PennyMac Financial Services, Inc | 0 | 168,546 |
Repayment under notes payable to PennyMac Financial Services, Inc | 0 | (18,546) |
Issuance of asset-backed financing of a variable interest entity at fair value | 182,400 | 85,206 |
Repayment of asset-backed financing of a variable interest entity at fair value | (53,641) | (15,590) |
Payment of debt issuance costs | (8,464) | (8,436) |
Issuance of common shares | 0 | 8 |
Repurchase of common shares | (93,429) | (15,955) |
Payment of contingent underwriting fees payable | 0 | (705) |
Payment of dividends | (99,757) | (138,041) |
Net cash provided by financing activities | 704,425 | 608,351 |
Net increase in cash | 80,960 | 12,917 |
Cash at beginning of period | 58,108 | 76,386 |
Cash at end of period | $ 139,068 | $ 89,303 |
Organization and Basis of Prese
Organization and Basis of Presentation | 9 Months Ended |
Sep. 30, 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 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 mortgage 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 | 9 Months Ended |
Sep. 30, 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 associated with loan resolution, including 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 that fluctuations in the residential real estate market may affect 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: September 30, 2016 December 31, 2015 (in thousands) Mortgage loans at fair value $ 601,572 $ 855,691 REO 53,052 88,088 $ 654,624 $ 943,779 Total carrying value of mortgage loans at fair value and REO $ 2,245,465 $ 2,897,634 |
Transactions with Related Parti
Transactions with Related Parties | 9 Months Ended |
Sep. 30, 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Fulfillment fees earned by PLS $ 27,255 $ 17,553 $ 59,301 $ 45,752 Unpaid principal balance (“UPB”) of mortgage loans fulfilled by PLS $ 7,263,557 $ 4,073,201 $ 15,696,940 $ 10,542,411 Sourcing fees received from PLS included in Net gain on mortgage loans acquired for sale $ 3,509 $ 3,236 $ 8,282 $ 7,084 UPB of mortgage loans sold to PLS $ 11,694,065 $ 10,783,882 $ 27,599,186 $ 23,602,020 Purchases of mortgage loans acquired for sale at fair value from PLS $ 5,007 $ 2,880 $ 13,146 $ 13,708 Tax service fee paid to PLS included in Other expense $ 2,066 $ 1,291 $ 4,537 $ 3,293 Early purchase program fees paid to PLS included in Mortgage loan servicing fees $ 5 $ — $ 7 $ — September 30, 2016 December 31, 2015 (in thousands) Mortgage loans included in Mortgage loans acquired for sale at fair value pending sale to PLS $ 575,487 $ 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Mortgage loans acquired for sale at fair value: Base $ 90 $ 130 $ 225 $ 198 Activity-based 210 153 497 243 300 283 722 441 Mortgage loans at fair value: Distressed mortgage loans Base 2,615 3,896 8,881 12,053 Activity-based 3,014 2,961 14,981 8,948 5,629 6,857 23,862 21,001 Mortgage loans held in VIE: Base 65 34 157 92 Activity-based 1 — 1 — 66 34 158 92 MSRs: Base 4,913 4,473 13,841 12,783 Activity-based 131 89 336 225 5,044 4,562 14,177 13,008 $ 11,039 $ 11,736 $ 38,919 $ 34,542 MSR recapture income recognized included in Net mortgage loan servicing fees $ 409 $ 670 $ 849 $ 670 Average investment in: Mortgage loans acquired for sale at fair value $ 1,607,564 $ 1,783,011 $ 1,317,230 $ 1,189,754 Mortgage loans at fair value: Distressed mortgage loans $ 1,579,246 $ 2,201,533 $ 1,810,779 $ 2,268,538 Mortgage loans held in a VIE $ 413,749 $ 481,925 $ 434,967 $ 504,351 Average MSR portfolio $ 48,997,875 $ 38,172,371 $ 46,125,926 $ 36,446,663 Management Fees Following is a summary of the base management and performance incentive fees payable to PCM recorded by the Company: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Base management $ 5,025 $ 5,742 $ 15,576 $ 17,181 Performance incentive — — — 1,343 $ 5,025 $ 5,742 $ 15,576 $ 18,524 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Reimbursement of: Common overhead incurred by PCM and its affiliates $ 1,417 $ 2,694 $ 6,413 $ 8,125 Expenses incurred on the Company’s (PFSI's) behalf, net 13 (85 ) (102 ) 377 $ 1,430 $ 2,609 $ 6,311 $ 8,502 Payments and settlements during the year (1) $ 45,988 $ 17,709 $ 102,600 $ 64,575 (1) 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 from and payable to PFSI are summarized below: September 30, 2016 December 31, 2015 (in thousands) Receivable from PFSI: MSR recapture receivable $ 450 $ 781 Other 5,326 8,025 $ 5,776 $ 8,806 Payable to PFSI: Management fees $ 5,025 $ 5,670 Servicing fees 3,641 3,682 Allocated expenses and expenses paid by PFSI on PMT’s behalf 3,227 4,490 Fulfillment fees 926 1,082 Conditional Reimbursement 900 900 Interest on Note payable to PFSI 536 412 Correspondent production fees 492 2,729 $ 14,747 $ 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. 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Mortgage loans at fair value for sale to PFSI $ 891 $ 1,466 $ 891 $ 1,466 ESS: Purchases $ — $ 84,165 $ — $ 271,452 Received pursuant to a recapture agreement $ 1,438 $ 2,268 $ 5,039 $ 4,833 Repayments and sales $ 16,342 $ 24,717 $ 113,668 $ 55,800 Interest income $ 4,827 $ 8,026 $ 17,555 $ 17,596 Net (loss) gain included in Net (loss) gain on investments: Valuation changes $ (4,107 ) $ (10,272 ) $ (40,984 ) $ (10,675 ) Recapture income 1,283 2,428 4,709 5,173 $ (2,824 ) $ (7,844 ) $ (36,275 ) $ (5,502 ) Financing Activities PFSI held 75,000 of the Company’s common shares at both September 30, 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 and as further amended, 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 under the MSR Repo and allocable to the $150 million relating to the ESS financing. As of September 30, 2016 and December 31, 2015, the outstanding borrowings on the Underlying LSA totaled $150 million. 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Note payable—Interest expense $ 1,974 $ 1,289 $ 5,798 $ 1,822 Conditional Reimbursements paid to PCM $ — $ 7 $ — $ 237 |
Earnings Per Share
Earnings Per Share | 9 Months Ended |
Sep. 30, 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 dilutive securities were issued. In periods in which the Company records a loss, potentially dilutive securities are excluded from the diluted loss per share calculation, as their effect on loss per share is anti-dilutive. The following table summarizes the basic and diluted earnings per share calculations: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands except per share amounts) Basic earnings per share: Net income $ 35,408 $ 38,812 $ 44,637 $ 74,391 Effect of participating securities—share-based compensation awards (341 ) (361 ) (1,026 ) (1,352 ) Net income attributable to common shareholders $ 35,067 $ 38,451 $ 43,611 $ 73,039 Diluted earnings per share: Net income attributable to common shareholders $ 35,067 $ 38,451 $ 43,611 $ 73,039 Interest on Exchangeable Notes, net of income taxes 2,181 2,123 — 6,364 Net income attributable to common diluted shareholders $ 37,248 $ 40,574 $ 43,611 $ 79,403 Weighted-average basic shares outstanding 67,554 74,681 69,289 74,675 Dilutive securities: Shares issuable under share-based compensation plan 308 316 — 397 Shares issuable pursuant to exchange of the Exchangeable Notes 8,467 8,414 — 8,414 Diluted weighted-average number of shares outstanding 76,329 83,411 69,289 83,486 Basic earnings per share $ 0.52 $ 0.51 $ 0.63 $ 0.98 Diluted earnings per share $ 0.49 $ 0.49 $ 0.63 $ 0.95 Dividends and undistributed earnings allocated to participating securities under the basic and diluted earnings per share calculations require specific potentially dilutive shares to be included or excluded that may differ in certain circumstances. The following table summarizes the potentially dilutive shares excluded from the diluted earnings per share calculation for the periods as inclusion of such shares would have been antidilutive: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Shares issuable under share-based compensation awards — — 717 — Shares issuable pursuant to exchange of the Exchangeable Notes — — 8,467 — |
Loan Sales and Variable Interes
Loan Sales and Variable Interest Entities | 9 Months Ended |
Sep. 30, 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Cash flows: Proceeds from sales $ 6,857,691 $ 4,885,668 $ 15,323,444 $ 10,593,309 Mortgage loan servicing fees received (1) $ 31,514 $ 25,054 $ 88,269 $ 69,876 September 30, 2016 December 31, 2015 (in thousands) UPB of mortgage loans outstanding $ 50,908,319 $ 42,300,338 Delinquent mortgage loans: 30-89 days delinquent $ 217,191 $ 175,599 90 or more days delinquent: Not in foreclosure or bankruptcy 45,096 38,669 In foreclosure or bankruptcy 53,772 31,386 98,868 70,055 $ 316,059 $ 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 cash-collateralized 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 because the activities of the subsidiary trust entities are established by the Company and PMT owns substantially all of the beneficial interests issued by the trust. 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 Deposits securing credit risk transfer agreements Net gain (loss) on investments Following is a summary of the CRT Agreements: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) During the period: UPB of mortgage loans sold under CRT Agreements $ 3,357,443 $ 2,400,433 $ 8,442,187 $ 2,400,433 Deposits of cash securing CRT Agreements $ 89,697 $ 59,841 $ 282,434 $ 87,891 Gains recognized on CRT Agreements included in Net gain (loss) on investments Realized $ 6,206 $ — $ 12,601 $ — Resulting from valuation changes 12,271 626 9,497 626 $ 18,477 $ 626 $ 22,098 $ 626 Payments made to settle losses $ 28 $ — $ 28 $ — September 30, 2016 December 31, 2015 (in thousands) UPB of mortgage loans subject to credit guarantee obligations $ 12,196,636 $ 4,546,265 Delinquency status (in UPB): Current—89 days delinquent $ 12,192,306 $ 4,546,265 90 or more days delinquent $ 3,125 $ — Foreclosure $ 1,205 $ — Carrying value of CRT Agreements: Derivative assets $ 16,662 $ 593 Deposits securing credit risk transfer agreements $ 427,677 $ 147,000 Interest-only security payable at fair value $ 1,699 $ — Commitments to fund Deposits securing credit risk transfer agreements $ 35,106 $ — 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 initially retained $366.8 million in fair value of such certificates. During the year ended December 31, 2015 and nine months ended September 30, 2016, the Company sold $111.0 million and $208.8 million in UPB of those certificates, respectively, which reduced the fair value of the certificates retained by the Company to $9.4 million as of September 30, 2016. The VIE is consolidated by the Company as the Manager determined that PMT is the primary beneficiary of the VIE because it has the power, through PLS, in its role as servicer of the mortgage loans, to direct the activities of the VIE that most significantly impact its economic performance and the retained subordinated and residual interest trust certificates expose the Company to losses that could potentially be significant to the VIE. |
Netting of Financial Instrument
Netting of Financial Instruments | 9 Months Ended |
Sep. 30, 2016 | |
Offsetting [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 a 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 from (or posted 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 derivatives related to CRT Agreements. As of September 30, 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. September 30, 2016 December 31, 2015 Gross amounts of recognized assets Gross amounts offset in the consolidated balance sheet Net amounts of assets presented in the consolidated balance sheet Gross amounts of recognized assets Gross amounts offset in the consolidated balance sheet Net amounts of assets presented in the consolidated balance sheet (in thousands) Derivative assets Not subject to master netting arrangements: Interest rate lock commitments $ 15,535 $ — $ 15,535 $ 4,983 $ — $ 4,983 CRT Agreements 16,662 — 16,662 593 — 593 32,197 — 32,197 5,576 — 5,576 Subject to master netting arrangements: MBS put options 3,441 — 3,441 93 — 93 Forward purchase contracts 21,031 — 21,031 2,444 — 2,444 Forward sale contracts 1,308 — 1,308 2,604 — 2,604 Put options on interest rate futures 2,480 — 2,480 1,512 — 1,512 Call options on interest rate futures 1,965 — 1,965 1,156 — 1,156 Netting — (17,648 ) (17,648 ) — (3,300 ) (3,300 ) 30,225 (17,648 ) 12,577 7,809 (3,300 ) 4,509 $ 62,422 $ (17,648 ) $ 44,774 $ 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 setoff accounting. September 30, 2016 December 31, 2015 Gross amounts not offset in the consolidated balance sheet Gross amounts not offset in the consolidated balance sheet Net amount of assets presented in the consolidated balance sheet Financial instruments Cash collateral received Net amount Net amount of assets presented in the consolidated balance sheet Financial instruments Cash collateral received Net amount (in thousands) Interest rate lock commitments $ 15,535 $ — $ — $ 15,535 $ 4,983 $ — $ — $ 4,983 CRT Agreements 16,662 — — 16,662 593 — — 593 Federal National Mortgage Association 3,401 — — 3,401 — — — — RJ O’Brien & Associates, LLC 2,672 — — 2,672 1,672 — — 1,672 JPMorgan Chase & Co. 2,500 — — 2,500 — — — — Jefferies Group LLC 1,285 — — 1,285 541 — — 541 Bank of America, N.A. 752 — — 752 — — — — Goldman Sachs 593 — — 593 — — — — Wells Fargo Bank, N.A. 537 — — 537 99 — — 99 Nomura Securities International, Inc. 409 — — 409 119 — — 119 Barclays Capital 277 — — 277 796 — — 796 Royal Bank of Canada — — — — 400 — — 400 Morgan Stanley Bank, N.A. — — — — 464 — — 464 Ally Financial — — — — 209 — — 209 Other 151 — — 151 209 — — 209 $ 44,774 $ — $ — $ 44,774 $ 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. September 30, 2016 December 31, 2015 Gross amounts of recognized liabilities Gross amounts offset in the consolidated balance sheet Net amounts of liabilities presented in the consolidated balance sheet Gross amounts of recognized liabilities Gross amounts offset in the consolidated balance sheet Net amounts of liabilities presented in the consolidated balance sheet (in thousands) Derivative liabilities Not subject to master netting arrangements: Interest rate lock commitments $ 207 $ — $ 207 $ 337 $ — $ 337 207 — 207 337 — 337 Subject to master netting arrangements: Forward purchase contracts 808 — 808 3,774 — 3,774 Forward sales contracts 20,234 — 20,234 2,680 — 2,680 Put options on interest rate futures 188 — 188 39 — 39 Call options on interest rate futures — — — 305 — 305 Netting — (19,817 ) (19,817 ) — (3,978 ) (3,978 ) 21,230 (19,817 ) 1,413 6,798 (3,978 ) 2,820 21,437 (19,817 ) 1,620 7,135 (3,978 ) 3,157 Assets sold under agreements to repurchase: UPB 4,042,150 — 4,042,150 3,130,328 — 3,130,328 Unamortized debt issuance costs (1,065 ) — (1,065 ) (1,548 ) — (1,548 ) 4,041,085 — 4,041,085 3,128,780 — 3,128,780 $ 4,062,522 $ (19,817 ) $ 4,042,705 $ 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 setoff accounting. All assets sold under agreements to repurchase represent sufficient collateral or exceed the liability amount recorded on the consolidated balance sheet. September 30, 2016 December 31, 2015 Gross amounts not offset in the consolidated balance sheet Gross amounts not offset in the consolidated balance sheet Net amount of liabilities presented in the consolidated balance sheet Financial instruments Cash collateral pledged Net amount Net amount of liabilities presented in the consolidated balance sheet Financial instruments Cash collateral pledged Net amount (in thousands) Interest rate lock commitments $ 207 $ — $ — $ 207 $ 337 $ — $ — $ 337 Credit Suisse First Boston Mortgage Capital LLC 1,259,028 (1,258,630 ) — 398 893,947 (893,854 ) — 93 Citibank 899,840 (899,717 ) — 123 817,089 (816,699 ) — 390 Bank of America, N.A. 650,204 (650,204 ) — — 538,755 (538,515 ) — 240 JPMorgan Chase & Co. 544,610 (544,610 ) — — 467,427 (467,145 ) — 282 Daiwa Capital Markets 189,119 (188,949 ) — 170 165,480 (165,480 ) — — Barclays Capital 154,120 (154,120 ) — — 24,346 (24,346 ) — — Wells Fargo, N.A. 122,453 (122,453 ) — — — — — — Morgan Stanley Bank, N.A. 116,603 (116,579 ) — 24 214,086 (214,086 ) — — Royal Bank of Canada 60,424 (60,258 ) — 166 — — — — BNP Paribas 46,630 (46,630 ) — — 10,203 (10,203 ) — — Goldman Sachs — — — — 819 — — 819 Federal National Mortgage Association — — — — 924 — — 924 Other 532 — — 532 72 — — 72 Unamortized debt issuance costs (1,065 ) 1,065 — — (1,548 ) 1,548 — — $ 4,042,705 $ (4,041,085 ) $ — $ 1,620 $ 3,131,937 $ (3,128,780 ) $ — $ 3,157 |
Fair Value
Fair Value | 9 Months Ended |
Sep. 30, 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 the 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 or 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 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 financial statement item, and are based on the best information available in the circumstances. As a result of the difficulty in observing certain significant valuation inputs affecting “Level 3” fair value assets or liabilities, 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 assets or liabilities and to their fair values. Likewise, due to the general illiquidity of some of these assets or liabilities, 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 non-commercial real estate secured mortgage 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 assets at fair value so such changes in fair value will be reflected in income as they occur and more timely reflect the results of the Company’s performance. The 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 other borrowings, the Manager has determined that historical cost accounting is more appropriate because under this method debt issuance costs are amortized over the term of the debt, thereby matching the debt issuance cost to the periods benefiting from the availability of the debt. Financial Statement Items Measured at Fair Value on a Recurring Basis Following is a summary of financial statement items that are measured at fair value on a recurring basis: September 30, 2016 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 33,353 $ — $ — $ 33,353 Mortgage-backed securities at fair value — 708,862 — 708,862 Mortgage loans acquired for sale at fair value — 2,043,453 — 2,043,453 Mortgage loans at fair value — 397,740 1,559,377 1,957,117 Excess servicing spread purchased from PFSI — — 280,367 280,367 Derivative assets: Interest rate lock commitments — — 15,535 15,535 CRT Agreements — — 16,662 16,662 MBS call options — 3,441 — 3,441 Forward sales contracts — 1,308 — 1,308 Forward purchase contracts — 21,031 — 21,031 Call options on interest rate futures 1,965 — — 1,965 Put options on interest rate futures 2,480 — — 2,480 Total derivative assets before netting 4,445 25,780 32,197 62,422 Netting — — — (17,648 ) Total derivative assets after netting 4,445 25,780 32,197 44,774 Mortgage servicing rights at fair value — — 55,843 55,843 $ 37,798 $ 3,175,835 $ 1,927,784 $ 5,123,769 Liabilities: Asset-backed financing of a VIE at fair value $ — $ 384,407 $ — $ 384,407 Interest-only security payable at fair value — — 1,699 1,699 Derivative liabilities: Interest rate lock commitments — — 207 207 Forward purchase contracts — 808 — 808 Forward sales contracts — 20,234 — 20,234 Put options on interest rate futures 188 — — 188 Total derivative liabilities before netting 188 21,042 207 21,437 Netting — — — (19,817 ) Total derivative liabilities after netting 188 21,042 207 1,620 $ 188 $ 405,449 $ 1,906 $ 387,726 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 September 30, 2016 Mortgage Excess Interest Mortgage Interest-only loans servicing rate lock CRT servicing security at fair value spread commitments (1) Agreements (1) rights payable Total (in thousands) Balance, June 30, 2016 $ 1,608,906 $ 294,551 $ 16,757 $ (199 ) $ 57,977 $ (1,663 ) $ 1,976,329 Purchases and issuances — — 30,429 — — — 30,429 Repayments and sales (29,921 ) (16,342 ) — — — — (46,263 ) Capitalization of interest 23,068 4,827 — — — — 27,895 ESS received pursuant to a recapture agreement with PFSI — 1,438 — — — — 1,438 Servicing received as proceeds from sales of mortgage loans — — — — 1,068 — 1,068 Proceeds from CRT Agreements — — — (6,206 ) — — (6,206 ) Changes in fair value included in income arising from: Changes in instrument- specific credit risk 9,699 — — — — — 9,699 Other factors (13,099 ) (4,107 ) 23,390 23,067 (3,202 ) (36 ) 26,013 (3,400 ) (4,107 ) 23,390 23,067 (3,202 ) (36 ) 35,712 Transfers of mortgage loans to REO and real estate held for investment (39,276 ) — — — — — (39,276 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (55,248 ) — — — (55,248 ) Balance, September 30, 2016 $ 1,559,377 $ 280,367 $ 15,328 $ 16,662 $ 55,843 $ (1,699 ) $ 1,925,878 Changes in fair value recognized during the period relating to assets still held at September 30, 2016 $ (820 ) $ (4,107 ) $ 15,328 $ 16,662 $ (3,202 ) (36 ) $ 23,825 (1) For the purpose of this table, the IRLC and CRT Agreement “Level 3” asset and liability positions are shown net. Quarter ended September 30, 2015 Mortgage Excess Interest Mortgage loans servicing rate lock CRT servicing at fair value spread commitments (1) Agreements (1) rights Total (in thousands) Balance, June 30, 2015 $ 2,246,944 $ 359,102 $ (267 ) $ — $ 57,343 $ 2,663,122 Purchases and issuances — 84,165 11,834 — — 95,999 Repayments and sales (57,022 ) (24,717 ) — — — (81,739 ) Capitalization of interest 14,849 8,026 — — — 22,875 ESS received pursuant to a recapture agreement with PFSI — 2,268 — — — 2,268 Servicing received as proceeds from sales of mortgage loans — — — — 5,674 5,674 Changes in fair value included in income arising from: Changes in instrument- specific credit risk 9,255 — — — — 9,255 Other factors 22,638 (10,272 ) 16,458 626 (5,266 ) 24,184 31,893 (10,272 ) 16,458 626 (5,266 ) 33,439 Transfers of mortgage loans to REO (76,205 ) — — — — (76,205 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (19,218 ) — — (19,218 ) Balance, September 31, 2015 $ 2,160,459 $ 418,572 $ 8,807 $ 626 $ 57,751 $ 2,646,215 Changes in fair value recognized during the period relating to assets still held at September 30, 2015 $ 32,971 $ (10,272 ) $ 8,807 $ 626 $ (5,266 ) $ 26,866 (1) For the purpose of this table, the IRLC and CRT Agreement “Level 3” asset and liability positions are shown net. Nine months ended September 30, 2016 Mortgage Excess Interest Mortgage Interest-only loans servicing rate lock CRT servicing security at fair value spread commitments (1) Agreements (1) rights payable Total (in thousands) Balance, December 31, 2015 $ 2,100,394 $ 412,425 $ 4,646 $ 593 $ 66,584 $ — $ 2,584,642 Purchases and issuances — — 58,475 — 2,602 (2,136 ) 58,941 Repayments and sales (449,647 ) (113,668 ) — — — — (563,315 ) Capitalization of interest 62,783 17,555 — — — — 80,338 ESS received pursuant to a recapture agreement with PFSI — 5,039 — — — — 5,039 Servicing received as proceeds from sales of mortgage loans — — — — 6,215 — 6,215 Proceeds from CRT Agreements — — — (12,601 ) — — (12,601 ) Changes in fair value included in income arising from: Changes in instrument- specific credit risk 29,480 — — — — — 29,480 Other factors (31,948 ) (40,984 ) 71,286 28,670 (19,558 ) 437 7,903 (2,468 ) (40,984 ) 71,286 28,670 (19,558 ) 437 37,383 Transfers of mortgage loans to REO and real estate held for investment (151,685 ) — — — — — (151,685 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (119,079 ) — — — (119,079 ) Balance, September 30, 2016 $ 1,559,377 $ 280,367 $ 15,328 $ 16,662 $ 55,843 $ (1,699 ) $ 1,925,878 Changes in fair value recognized during the period relating to assets still held at September 30, 2016 $ (2,399 ) $ (33,774 ) $ 15,328 $ 16,662 $ (19,558 ) $ 437 $ (23,304 ) (1) For the purpose of this table, the IRLC and CRT Agreement “Level 3” asset and liability positions are shown net. Nine months ended September 30, 2015 Mortgage Excess Interest Mortgage loans servicing rate lock CRT servicing at fair value spread commitments (1) Agreements (1) rights Total (in thousands) Balance, December 31, 2014 $ 2,199,583 $ 191,166 $ 5,661 $ — $ 57,358 $ 2,453,768 Purchases and issuances 241,981 271,452 42,917 — — 556,350 Repayments and sales (171,093 ) (55,800 ) — — — (226,893 ) Capitalization of interest 34,979 17,596 — — — 52,575 ESS received pursuant to a recapture agreement with PFSI — 4,833 — — — 4,833 Servicing received as proceeds from sales of mortgage loans — — — — 9,169 9,169 Changes in fair value included in income arising from: Changes in instrument- specific credit risk 29,563 — — — — 29,563 Other factors 49,584 (10,675 ) (6,941 ) 626 (8,776 ) 23,818 79,147 (10,675 ) (6,941 ) 626 (8,776 ) 53,381 Transfers of mortgage loans to REO (224,138 ) — — — — (224,138 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (32,830 ) — — (32,830 ) Balance, September 30, 2015 $ 2,160,459 $ 418,572 $ 8,807 $ 626 $ 57,751 $ 2,646,215 Changes in fair value recognized during the period relating to assets still held at September 30, 2015 $ 80,885 $ (10,675 ) $ 8,807 $ 626 $ (8,776 ) $ 70,867 (1) For the purpose of this table, the IRLC and CRT Agreement “Level The information used in the preceding roll forwards represents activity for financial statement items measured at fair value on a recurring basis and identified as using “Level 3” significant fair value inputs at either the beginning or the end of the periods presented. The Company had transfers among the fair value levels arising from transfers of IRLCs to mortgage loans held for sale at fair value upon purchase of the respective mortgage loans. 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 held in a consolidated VIE, and other mortgage loans at fair value): September 30, 2016 December 31, 2015 Fair value Principal amount due upon maturity Difference Fair value Principal amount due upon maturity Difference (in thousands) Mortgage loans acquired for sale at fair value: Current through 89 days delinquent $ 2,042,569 $ 1,950,907 $ 91,662 $ 1,283,275 $ 1,235,433 $ 47,842 90 or more days delinquent Not in foreclosure 631 665 (34 ) 304 333 (29 ) In foreclosure 253 307 (54 ) 216 253 (37 ) 884 972 (88 ) 520 586 (66 ) $ 2,043,453 $ 1,951,879 $ 91,574 $ 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 $ 397,740 $ 388,543 $ 9,197 $ 455,394 $ 454,935 $ 459 90 or more days delinquent Not in foreclosure — — — — — — In foreclosure — — — — — — — — — — — — 397,740 388,543 9,197 455,394 454,935 459 Other mortgage loans at fair value: Current through 89 days delinquent 705,618 939,853 (234,235 ) 877,438 1,134,560 (257,122 ) 90 or more days delinquent Not in foreclosure 334,850 463,405 (128,555 ) 459,060 640,343 (181,283 ) In foreclosure 518,909 699,091 (180,182 ) 763,896 1,062,205 (298,309 ) 853,759 1,162,496 (308,737 ) 1,222,956 1,702,548 (479,592 ) 1,559,377 2,102,349 (542,972 ) 2,100,394 2,837,108 (736,714 ) $ 1,957,117 $ 2,490,892 $ (533,775 ) $ 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 September 30, 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 — (1,193 ) 517 — (676 ) Mortgage loans acquired for sale at fair value 58,128 — — — 58,128 Mortgage loans at fair value — 193 (3,936 ) — (3,743 ) ESS at fair value — — (4,107 ) — (4,107 ) MSRs at fair value — — — (3,202 ) (3,202 ) $ 58,128 $ (1,000 ) $ (7,526 ) $ (3,202 ) $ 46,400 Liabilities: Asset-backed financing of a VIE at fair value $ — $ (2,520 ) $ 2,990 $ — $ 470 $ — $ (2,520 ) $ 2,990 $ — $ 470 Quarter ended September 30, 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 — 91 3,564 — 3,655 Mortgage loans acquired for sale at fair value 39,504 — — — 39,504 Mortgage loans at fair value — 1,024 39,273 — 40,297 ESS at fair value — — (7,844 ) — (7,844 ) MSRs at fair value — — — (5,266 ) (5,266 ) $ 39,504 $ 1,115 $ 34,993 $ (5,266 ) $ 70,346 Liabilities: Asset-backed financing of a VIE at fair value $ — $ (351 ) $ (3,941 ) $ — $ (4,292 ) $ — $ (351 ) $ (3,941 ) $ — $ (4,292 ) Nine months ended September 30, 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 — (1,930 ) 9,948 — 8,018 Mortgage loans acquired for sale at fair value 147,135 — — — 147,135 Mortgage loans at fair value — 2,287 5,342 — 7,629 ESS at fair value — — (40,984 ) — (40,984 ) MSRs at fair value — — — (19,558 ) (19,558 ) $ 147,135 $ 357 $ (25,694 ) $ (19,558 ) $ 102,240 Liabilities: Asset-backed financing of a VIE at fair value $ — $ (1,985 ) $ (5,974 ) $ — $ (7,959 ) $ — $ (1,985 ) $ (5,974 ) $ — $ (7,959 ) Nine months ended September 30, 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 — 155 (1,622 ) — (1,467 ) Mortgage loans acquired for sale at fair value 57,568 — — — 57,568 Mortgage loans at fair value — 1,203 76,249 — 77,452 ESS at fair value — — (5,502 ) — (5,502 ) MSRs at fair value — — — (8,776 ) (8,776 ) $ 57,568 $ 1,358 $ 69,125 $ (8,776 ) $ 119,275 Liabilities: Asset-backed financing of a VIE at fair value $ — $ (474 ) $ (719 ) $ — $ (1,193 ) $ — $ (474 ) $ (719 ) $ — $ (1,193 ) Financial Statement Items Measured at Fair Value on a Nonrecurring Basis Following is a summary of financial statement items that were re-measured at fair value on a nonrecurring basis during the periods presented: September 30, 2016 Level 1 Level 2 Level 3 Total (in thousands) Real estate acquired in settlement of loans $ — $ — $ 145,237 $ 145,237 MSRs at lower of amortized cost or fair value — — 370,987 370,987 $ — $ — $ 516,224 $ 516,224 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Real estate asset acquired in settlement of loans $ (6,940 ) $ (8,182 ) $ (14,552 ) $ (18,308 ) MSRs at lower of amortized cost or fair value (3,460 ) (7,845 ) (44,336 ) (7,142 ) $ (10,400 ) $ (16,027 ) $ (58,888 ) $ (25,450 ) 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 results of operations 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 Assets sold under agreements to repurchase Mortgage loan participation and sale agreements Federal Home Loan Bank advances Notes payable Exchangeable senior notes The Manager has concluded that the fair values of Cash Assets sold under agreements to repurchase Mortgage loan participation and sale agreements Federal Home Loan Bank advances Notes payable Cash Exchangeable senior notes Exchangeable senior notes 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 the Company’s non-IRLC “Level 3” fair value financial statement items, 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, business development 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 non-IRLC “Level 3” assets and liabilities, including major factors affecting the valuation and any changes in model methods and inputs. To assess the reasonableness of its valuations, the FAV group presents an analysis of the effect on the valuation of changes to the significant inputs to the models. 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 assets and liabilities: Mortgage-Backed Securities 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. Changes in the fair value of MBS are included in Net gain (loss) on investments 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 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 performance 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. Changes in the fair value of mortgage loans at fair value are included in Net gain (loss) on investments Following is a quantitative summary of key inputs used in the valuation of mortgage loans at fair value: Key inputs September 30, 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 3.2% – 5.8% 1.5% – 5.1% Weighted average 4.5% 3.6% Prepayment speed (1) Range 0.1% – 14.7% 0.1% – 9.6% Weighted average 4.0% 3.7% Total prepayment speed (2) Range 3.2% – 25.2% 0.5% – 27.2% Weighted average 18.3% 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 cash flows expected to accrue to ESS. Reductions in the fair value of ESS affect income primarily through change in fair value. Changes in the fair value of ESS are included in Net gain (loss) on investments Following are the key inputs used in determining the fair value of ESS: Key inputs September 30, 2016 December 31, 2015 UPB of underlying mortgage loans (in thousands) $ 34,189,425 $51,966,405 Average servicing fee rate (in basis points) 34 32 Average ESS rate (in basis points) 19 17 Pricing spread (1) Range 4.7% - 6.0% 4.8% - 6.5% Weighted average 5.5% 5.7% Life (in years) Range 2.2 - 8.9 1.4 - 9.0 Weighted average 6.2 6.9 Annual total prepayment speed (2) Range 6.7% - 23.3% 5.2% - 52.4% Weighted average 12.2% 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 Interest Rate Lock Commitments 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 loan and the probability that the mortgage loans will be purchased under the commitment (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. Changes in fair value of IRLCs are included in Net gain on mortgage loans acquired for sale Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs: Key inputs September 30, 2016 December 31, 2015 Pull-through rate Range 57.2% - 100.0% 60.2% - 100.0% Weighted average 87.6% 92.4% MSR value expressed as: Servicing fee multiple Range 2.1 - 5.8 2.1 - 6.2 Weighted average 4.7 4.9 Percentage of UPB Range 0.6% - 1.5% 0.5% - 3.8% Weighted average 1.2% 1.2% Hedging Derivatives The Company estimates the fair value of commitments to sell mortgage loans based on quoted MBS prices. These derivative financial instruments are categorized by the Company as “Level 1” fair value financial statement items for those based on exchange traded market prices or as “Level 2” fair value financial statement items for those based on observable interest rate volatilities in the MBS market. Changes in the fair value of hedging derivatives are included in Net gain on mortgage loans acquired for sale Net gain (loss) on investments Net mortgage loan servicing fees 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 fair value. Changes in the fair value of REO are included in Results of real estate acquired in settlement of loans 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. Changes in the fair value of MSRs are included |
Mortgage Loans Acquired for Sal
Mortgage Loans Acquired for Sale at Fair Value | 9 Months Ended |
Sep. 30, 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: Loan type September 30, 2016 December 31, 2015 (in thousands) Conventional: Agency-eligible $ 1,439,697 $ 540,947 Jumbo 9,412 54,613 Held for sale to PLS — Government insured or guaranteed 575,487 669,288 Small balance commercial real estate loans 12,673 14,590 Mortgage loans repurchased pursuant to representations and warranties 6,184 4,357 $ 2,043,453 $ 1,283,795 Mortgage loans pledged to secure: Assets sold under agreements to repurchase $ 1,926,914 $ 1,204,462 Mortgage loan participation and sale agreements 91,378 — Federal Home Loan Bank (“FHLB”) advances — 63,993 $ 2,018,292 $ 1,268,455 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 ranging from two to three and one-half basis points, generally based on the average number of calendar days that mortgage loans are held prior to purchase by PLS |
Derivative Financial Instrument
Derivative Financial Instruments | 9 Months Ended |
Sep. 30, 2016 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
Derivative Financial Instruments | Note 9—Derivative Financial Instruments The Company’s activities involving derivative financial instruments are summarized below: • The Company enters into CRT Agreements whereby it retains a portion of the credit risk relating to certain 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. • The Company generates IRLCs in the normal course of business when it commits to purchase mortgage loans acquired for sale. • The Company engages in interest rate risk management activities in an effort to reduce the variability of earnings caused by the effects of changes in interest rates on the fair value of certain of its assets and liabilities. 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 market mortgage interest rates increase, because market interest rate increases generally cause the fair value of the purchase commitment or mortgage loan acquired for sale to decrease. The Company had the following derivative assets and liabilities recorded within Derivative assets Derivative liabilities Other September 30, 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 2,431,253 $ 15,535 $ 207 970,067 $ 4,983 $ 337 Used for hedging purposes: Forward sale contracts 6,451,444 1,308 20,234 2,450,642 2,604 2,680 Forward purchase contracts 5,632,182 21,031 808 2,469,550 2,444 3,774 MBS call options 3,025,000 3,441 — 375,000 93 — Swap futures 12,500 — — — — — Eurodollar future sales contracts 1,442,000 — — 1,755,000 — — Treasury future buy contracts 150,000 — — — — — Call options on interest rate futures 825,000 1,965 — 50,000 1,156 305 Put options on interest rate futures 1,200,000 2,480 188 1,600,000 1,512 39 CRT Agreements 12,196,636 16,662 — 4,546,265 593 — Total derivative instruments before netting 62,422 21,437 13,385 7,135 Netting (17,648 ) (19,817 ) (3,300 ) (3,978 ) $ 44,774 $ 1,620 $ 10,085 $ 3,157 Margin deposits with derivatives counterparties included in Other $ 2,169 $ 678 The following tables summarize the notional amount activity for derivative contracts used to hedge the Company’s MBS, inventory of mortgage loans acquired for sale, mortgage loans at fair value held in a VIE, IRLCs and MSRs and for derivatives arising from CRT Agreements. Quarter ended September 30, 2016 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) Forward sales contracts 4,347,526 29,853,649 (27,749,731 ) 6,451,444 Forward purchase contracts 4,190,349 22,535,622 (21,093,789 ) 5,632,182 MBS call options 1,525,000 3,875,000 (2,375,000 ) 3,025,000 Swap futures 12,500 12,500 (12,500 ) 12,500 Eurodollar future sale contracts 1,543,000 101,000 (202,000 ) 1,442,000 Treasury future buy contracts — 276,200 (126,200 ) 150,000 Treasury future sale contracts — 126,200 (126,200 ) — Call options on interest rate futures 525,000 1,825,000 (1,525,000 ) 825,000 Put options on interest rate futures 425,000 1,625,000 (850,000 ) 1,200,000 CRT Agreements 8,976,961 3,357,443 (137,768 ) 12,196,636 Quarter ended September 30, 2015 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) Forward sales contracts 3,252,286 15,003,760 (14,845,207 ) 3,410,839 Forward purchase contracts 2,263,622 10,938,733 (9,919,991 ) 3,282,364 MBS put option 367,500 700,000 (617,500 ) 450,000 MBS call option 40,000 — (40,000 ) — Eurodollar future sale contracts 5,984,000 — (4,228,000 ) 1,756,000 Treasury future sale contracts 40,000 — (40,000 ) — Call options on interest rate futures 1,135,000 1,805,000 (1,385,000 ) 1,555,000 Put options on interest rate futures 1,273,000 1,650,000 (1,298,000 ) 1,625,000 CRT Agreements — 2,400,433 — 2,400,433 Nine months ended September 30, 2016 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) Forward sales contracts 2,450,642 65,146,064 (61,145,262 ) 6,451,444 Forward purchase contracts 2,469,550 47,965,764 (44,803,132 ) 5,632,182 MBS call options 375,000 6,600,000 (3,950,000 ) 3,025,000 Swap futures — 37,500 (25,000 ) 12,500 Eurodollar future sale contracts 1,755,000 181,000 (494,000 ) 1,442,000 Treasury future buy contracts — 276,200 (126,200 ) 150,000 Treasury future sale contracts — 126,200 (126,200 ) — Call options on interest rate futures 50,000 3,400,000 (2,625,000 ) 825,000 Put options on interest rate futures 1,600,000 4,225,000 (4,625,000 ) 1,200,000 CRT Agreements 4,546,265 8,442,187 (791,816 ) 12,196,636 Nine months ended September 30, 2015 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) Forward sales contracts 1,601,283 38,880,821 (37,071,265 ) 3,410,839 Forward purchase contracts 1,100,700 27,871,913 (25,690,249 ) 3,282,364 MBS put option 340,000 1,692,500 (1,582,500 ) 450,000 MBS call option — 140,000 (140,000 ) — Eurodollar future sale contracts 7,426,000 285,000 (5,955,000 ) 1,756,000 Eurodollar future purchase contracts 800,000 — (800,000 ) — Treasury future sale contracts 85,000 161,500 (246,500 ) — Call options on interest rate futures 1,030,000 4,080,000 (3,555,000 ) 1,555,000 Put options on interest rate futures 275,000 4,318,000 (2,968,000 ) 1,625,000 CRT Agreements — 2,400,433 — 2,400,433 Following are the net gains (losses) recognized by the Company on derivative financial instruments and the consolidated statements of income line items where such gains and losses are included: Quarter ended September 30, Nine months ended September 30, Derivative activity Income statement line 2016 2015 2016 2015 (in thousands) Interest rate lock commitments Net gain on mortgage loans acquired for sale $ 53,819 $ 28,292 $ 129,761 $ 35,976 Hedged item: Interest rate lock commitments and mortgage loans acquired for sale Net gain on mortgage loans acquired for sale $ (16,791 ) $ (33,652 ) $ (76,672 ) $ (23,198 ) Mortgage servicing rights Net loan servicing fees $ 5,612 $ 19,061 $ 63,006 $ 13,868 Fixed-rate assets and LIBOR- indexed repurchase agreements Net gain on investments $ (945 ) $ (6,772 ) $ (245 ) $ (18,065 ) CRT agreements Net gain on investments $ 18,477 $ 626 $ 22,098 $ 626 |
Mortgage Loans at Fair Value
Mortgage Loans at Fair Value | 9 Months Ended |
Sep. 30, 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: September 30, 2016 December 31, 2015 Loan type Fair value Unpaid principal balance Fair value Unpaid principal balance (in thousands) Distressed mortgage loans Nonperforming mortgage loans $ 853,759 $ 1,162,496 $ 1,222,956 $ 1,702,548 Performing mortgage loans: Fixed interest rate 339,813 459,394 417,658 535,610 Interest rate step-up 256,932 356,710 299,569 412,749 Adjustable-rate/hybrid 108,873 123,749 160,051 185,997 Balloon — — 160 204 705,618 939,853 877,438 1,134,560 1,559,377 2,102,349 2,100,394 2,837,108 Fixed interest rate jumbo mortgage loans held in a VIE 397,740 388,543 455,394 454,935 $ 1,957,117 $ 2,490,892 $ 2,555,788 $ 3,292,043 Mortgage loans at fair value pledged to secure: Assets sold under agreements to repurchase $ 1,549,685 $ 2,067,341 Asset-backed financing of a VIE at fair value and FHLB advances $ 397,740 $ 455,394 Following is a summary of certain concentrations of credit risk in the portfolio of distressed mortgage loans at fair value: Concentration September 30, 2016 December 31, 2015 (percentages are of fair value) Portion of mortgage loans originated between 2005 and 2007 71% 72% Percentage of fair value of mortgage loans with unpaid-principal balance-to-current-property-value in excess of 100% 41% 48% States contributing 5% or more of mortgage loans New York California New Jersey Florida Massachusetts California New York New Jersey Florida |
Real Estate Acquired in Settlem
Real Estate Acquired in Settlement of Loans | 9 Months Ended |
Sep. 30, 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Balance at beginning of period $ 299,458 $ 324,278 $ 341,846 $ 303,228 Transfers from mortgage loans at fair value and advances 42,300 82,405 156,352 240,483 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment (5,282 ) (2,212 ) (17,548 ) (3,505 ) Results of REO: Valuation adjustments, net (7,888 ) (8,734 ) (25,816 ) (26,740 ) Gain on sale, net 4,603 4,513 13,930 14,881 (3,285 ) (4,221 ) (11,886 ) (11,859 ) Proceeds from sales (44,843 ) (46,687 ) (180,416 ) (174,784 ) Balance at end of period $ 288,348 $ 353,563 $ 288,348 $ 353,563 REO pledged to secure assets sold under agreements to repurchase $ 56,037 $ 280,045 REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties 165,116 — $ 221,153 $ 280,045 |
Mortgage Servicing Rights
Mortgage Servicing Rights | 9 Months Ended |
Sep. 30, 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Balance at beginning of period $ 57,977 $ 57,343 $ 66,584 $ 57,358 Purchases — — 2,602 — MSRs resulting from mortgage loan sales 1,068 5,674 6,215 9,169 Changes in fair value: Due to changes in valuation inputs used in valuation model (1) (883 ) (3,418 ) (12,343 ) (3,525 ) Other changes in fair value (2) (2,319 ) (1,848 ) (7,215 ) (5,251 ) (3,202 ) (5,266 ) (19,558 ) (8,776 ) Balance at period end $ 55,843 $ 57,751 $ 55,843 $ 57,751 MSRs carried at fair value pledged to secure notes payable at period end $ 55,843 $ 57,751 (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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Amortized Cost: Balance at beginning of period $ 465,301 $ 344,405 $ 404,101 $ 308,137 MSRs resulting from mortgage loan sales 76,567 47,140 167,691 103,281 Amortization (17,902 ) (11,333 ) (47,720 ) (30,913 ) Sales — (12 ) (106 ) (305 ) Balance at end of period 523,966 380,200 523,966 380,200 Valuation Allowance: Balance at beginning of period (51,820 ) (7,011 ) (10,944 ) (7,714 ) Additions (3,460 ) (7,845 ) (44,336 ) (7,142 ) Balance at end of period (55,280 ) (14,856 ) (55,280 ) (14,856 ) MSRs, net $ 468,686 $ 365,344 $ 468,686 $ 365,344 Fair value at beginning of period $ 417,094 $ 362,908 $ 424,154 $ 322,230 Fair value at period end $ 472,790 $ 386,539 MSRs carried at lower of cost or fair value pledged to secure notes payable at period end $ 468,686 $ 365,344 The following table summarizes the Company’s estimate of future amortization of its existing MSRs carried at amortized cost. This estimate was developed with the inputs used in the September 30, 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 September 30, amortization (in thousands) 2017 $ 71,532 2018 62,271 2019 54,538 2020 47,902 2021 42,070 Thereafter 245,653 Total $ 523,966 Servicing fees relating to MSRs are recorded in Net mortgage loan servicing fees Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Contractually-specified servicing fees 32,724 24,394 90,494 70,471 Ancillary and other fees: Late charges 148 218 421 218 Other 1,432 888 3,839 3,327 34,304 25,500 94,754 74,016 |
Assets Sold Under Agreements to
Assets Sold Under Agreements to Repurchase | 9 Months Ended |
Sep. 30, 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (dollars in thousands) Weighted-average interest rate (1) 2.26 % 2.30 % 2.19 % 2.27 % Average balance $ 3,538,720 $ 3,252,341 $ 3,202,829 $ 3,125,328 Total interest expense $ 23,751 $ 21,350 $ 66,217 $ 60,470 Maximum daily amount outstanding $ 4,824,044 $ 4,160,814 $ 5,221,997 $ 4,612,001 (1) Excludes the effect of amortization of debt issuance costs of $2.2 million and $6.5 million for the quarter and nine months ended September 30, 2016, respectively, and $2.2 million and $6.7 million for the quarter and nine months ended September 30, 2015, respectively. September 30, 2016 December 31, 2015 (dollars in thousands) Carrying value: Amount outstanding $ 4,042,150 $ 3,130,328 Unamortized debt issuance costs (1,065 ) (1,548 ) $ 4,041,085 $ 3,128,780 Weighted-average interest rate 2.27 % 2.33 % Available borrowing capacity: Committed $ 150,469 $ 231,913 Uncommitted 860,382 661,756 $ 1,010,851 $ 893,669 Margin deposits placed with counterparties included in Other $ 13,443 $ 7,268 Fair value of assets securing agreements to repurchase: Mortgage-backed securities $ 708,862 $ 313,753 Mortgage loans acquired for sale at fair value $ 1,926,914 $ 1,204,462 Mortgage loans at fair value $ 1,549,685 $ 2,067,341 Real estate acquired in settlement of loans $ 221,153 $ 283,343 Deposits securing CRT Agreements $ 416,163 $ — Derivatives related to CRT Agreements $ 8,268 $ — Following is a summary of maturities of outstanding assets sold under agreements to repurchase by facility maturity date: Remaining Maturity at September 30, 2016 Contractual balance (in thousands) Within 30 days $ 453,172 Over 30 to 90 days 1,675,330 Over 90 days to 180 days 657,097 Over 180 days to 1 year 1,028,229 Over 1 year to 2 years 228,322 $ 4,042,150 Weighted average maturity (in months) 4.3 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. The amount at risk (the fair value of the assets pledged plus the related margin deposit, less the amount advanced by the counterparty and interest payable) and maturity information relating to the Company’s assets sold under agreements to repurchase is summarized by counterparty below as of September 30, 2016: Mortgage loans acquired for sale, Mortgage loans and REO sold under agreements to repurchase Weighted-average Counterparty Amount repurchase agreement maturity Facility maturity (in thousands) Citibank, N.A. $ 241,851 November 2, 2016 December 2, 2016 Credit Suisse First Boston Mortgage Capital LLC $ 192,091 December 22, 2016 March 30, 2017 JPMorgan Chase & Co. $ 125,475 - January 26, 2017 Bank of America, N.A. $ 30,361 December 19, 2016 March 28, 2017 Morgan Stanley $ 7,721 November 17, 2016 August 25, 2017 Barclays Bank PLC $ 11,223 December 2, 2016 December 2, 2016 Securities sold under agreements to repurchase Counterparty Amount at risk Weighted average maturity (in thousands) Bank of America, N.A. $ 7,492 November 21, 2016 Daiwa Capital Markets America Inc. $ 10,181 November 19, 2016 JPMorgan Chase & Co. $ 4,056 November 7, 2016 Royal Bank of Canada $ 2,500 November 24, 2016 Wells Fargo, N.A. $ 5,218 October 25, 2016 CRT Agreements Counterparty Amount at risk Weighted average maturity (in thousands) JPMorgan Chase & Co. $ 104,903 October 18, 2016 Bank of America, N.A. $ 31,799 October 18, 2016 BNP Paribas Corporate & Institutional Banking $ 19,192 October 12, 2016 |
Mortgage Loan Participation and
Mortgage Loan Participation and Sale Agreements | 9 Months Ended |
Sep. 30, 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 a 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (dollars in thousands) Weighted-average interest rate (1) 1.76 % 1.44 % 1.71 % 1.43 % Average balance $ 73,537 $ 48,832 $ 70,955 $ 50,933 Total interest expense $ 361 $ 226 $ 1,023 $ 699 Maximum daily amount outstanding $ 99,469 $ 120,374 $ 99,469 $ 148,032 (1) Excludes the effect of amortization of debt issuance costs of $31,000 and $99,000 for the quarter and nine months ended September 30, 2016, respectively, and $47,000 and $146,000 for the quarter and nine months ended September 30, 2015, respectively. September 30, 2016 (dollars in Carrying value: Amount outstanding $ 88,458 Unamortized debt issuance costs — $ 88,458 Weighted-average interest rate 1.78 % Mortgage loans acquired for sale pledged to secure mortgage loan participation and sale agreements $ 91,378 |
Federal Home Loan Bank Advances
Federal Home Loan Bank Advances | 9 Months Ended |
Sep. 30, 2016 | |
Banking And Thrift [Abstract] | |
Federal Home Loan Bank Advances | Note 15—Federal Home Loan Bank Advances 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 September 30, 2016. The FHLB advances are summarized below: Quarter ended September 30, Nine months ended September 30, 2015 2016 2015 (dollars Weighted-average interest rate 0.27 % 0.49 % 0.27 % Average balance $ 170,902 $ 32,560 $ 58,100 Total interest expense $ 117 $ 122 $ 119 Maximum daily amount outstanding $ 188,834 $ 201,130 $ 188,834 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 |
Notes Payable
Notes Payable | 9 Months Ended |
Sep. 30, 2016 | |
Text Block [Abstract] | |
Notes Payable | Note 16—Notes Payable On January 22, 2016, the Company, through PMC, entered into an Amended and Restated 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 December 2, 2016, subject to a wind down period of up to one year following such maturity date. On September 15, 2016, the Company, through PMC, entered into an Amended and Restated 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 December 2, 2016. Following is a summary of financial information relating to the notes payable: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (dollars Weighted-average interest rate (1) 4.76 % 4.25 % 4.68 % 4.24 % Average balance $ 170,907 $ 195,030 $ 190,878 $ 85,907 Total interest expense $ 2,883 $ 2,375 $ 9,217 $ 3,369 Maximum daily amount outstanding $ 196,317 $ 198,191 $ 234,476 $ 198,191 (1) Excludes the effect of amortization of debt issuance costs of $805,000 and $2.4 million for the quarter and nine months ended September 30, 2016, respectively, and $562,000 and $915,000 for the quarter and nine months ended September 30, 2015, respectively. September 30, 2016 December 31, 2015 (dollars in thousands) Carrying value: Amount outstanding $ 196,144 $ 236,107 Unamortized debt issuance costs (12 ) (92 ) $ 196,132 $ 236,015 Weighted-average interest rate 4.44 % 4.53 % MSRs pledged to secure notes payable $ 524,529 $ 459,741 |
Asset-Backed Financing of a Var
Asset-Backed Financing of a Variable Interest Entity at Fair Value | 9 Months Ended |
Sep. 30, 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (dollars in thousands) Weighted-average fair value $ 330,622 $ 170,262 $ 326,962 $ 165,024 Interest expense $ 5,253 $ 1,787 $ 10,212 $ 4,671 Weighted-average effective interest rate 3.23 % 3.30 % 3.31 % 3.35 % September 30, 2016 December 31, 2015 (dollars in thousands) Carrying value $ 384,407 $ 247,690 UPB $ 375,477 $ 248,284 Weighted-average interest rate 3.51 % 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 | 9 Months Ended |
Sep. 30, 2016 | |
Text Block [Abstract] | |
Exchangeable Senior Notes | Note 18—Exchangeable Senior Notes PMC issued in a private offering $250 million aggregate principal amount of 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 September 30, 2016, which is an increase over the initial exchange rate of 33.5149. The increase in the calculated exchange rate was the result of quarterly cash dividends exceeding the quarterly dividend threshold amount of $0.57 per share in prior reporting periods, as provided in the related indenture. Following is financial information relating to the Exchangeable Notes: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Weighted-average UPB $ 250,000 $ 250,000 $ 250,000 $ 250,000 Interest expense (1) $ 3,620 $ 3,605 $ 10,848 $ 10,803 (1) Total interest expense includes amortization of debt issuance costs of $261,000 and $770,000 for the quarter and nine months ended September 30, 2016, respectively, and $245,000 and $726,000 for the quarter and nine months ended September 30, 2015, respectively. September 30, 2016 December 31, 2015 (in thousands) Carrying value: UPB $ 250,000 $ 250,000 Unamortized debt issuance costs (4,176 ) (4,946 ) $ 245,824 $ 245,054 |
Liability for Losses Under Repr
Liability for Losses Under Representations and Warranties | 9 Months Ended |
Sep. 30, 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Balance, beginning of period $ 19,258 $ 16,714 $ 20,171 $ 14,242 Provision for losses Pursuant to mortgage loan sales 781 1,833 2,002 4,177 Reduction in liability due to change in estimate (5,098 ) — (6,822 ) — Losses incurred (14 ) (74 ) (424 ) (176 ) Recoveries — — — 230 Balance, end of period $ 14,927 $ 18,473 $ 14,927 $ 18,473 UPB of mortgage loans subject to representations and warranties at period end $ 50,167,783 $ 39,730,788 |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 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 September 30, 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. Commitments The following table summarizes the Company’s outstanding contractual commitments: September 30, 2016 (in thousands) Commitments to purchase mortgage loans acquired for sale $ 2,431,253 Commitments to fund Deposits securing credit risk transfer agreements (1) $ 35,106 (1) Certain deposits of cash collateral on CRT Agreements are made upon the first to occur of fulfillment of the aggregation obligation or the lapse of the aggregation period. |
Shareholders' Equity
Shareholders' Equity | 9 Months Ended |
Sep. 30, 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. The following table summarizes the Company’s share repurchase activity: Quarter ended September 30, Nine months ended September 30, Cumulative 2016 2015 2016 2015 Total (1) Common shares repurchased 687,144 1,019,487 7,029,048 1,019,487 8,073,535 Cost of common shares repurchased (in thousands) $ 10,595 $ 15,955 $ 93,429 $ 15,955 $ 109,767 (1) Amounts represent the share repurchase program total through September 30, 2016. The repurchased common shares were canceled upon settlement of the repurchase transactions and returned to the authorized but unissued common share pool. Common Share Issuances The Company has entered into an ATM Equity Offering Sales Agreement SM |
Net Interest Income
Net Interest Income | 9 Months Ended |
Sep. 30, 2016 | |
Banking And Thrift Interest [Abstract] | |
Net Interest Income | Note 22—Net Interest Income Net interest income is summarized below: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Interest income: From nonaffiliates: Short-term investments $ 165 $ 115 $ 747 $ 417 Mortgage-backed securities 3,394 2,614 8,863 7,752 Mortgage loans acquired for sale at fair value 15,008 20,704 37,868 38,120 Mortgage loans at fair value 28,952 24,364 81,180 68,089 Mortgage loans at fair value held by a VIE 4,040 5,598 14,520 15,440 Other 1,748 17 3,533 42 53,307 53,412 146,711 129,860 From PFSI—ESS purchased from PFSI, at fair value 4,827 8,026 17,555 17,596 58,134 61,438 164,266 147,456 Interest expense: To nonaffiliates: Assets sold under agreements to repurchase 23,751 21,350 66,217 60,470 Mortgage loan participation and sale agreements 361 226 1,023 699 FHLB advances — 117 122 119 Notes payable 2,883 2,375 9,217 3,369 Asset-backed financings of VIEs at fair value (1) 5,253 7,586 10,212 11,583 Exchangeable Notes 3,620 3,605 10,848 10,803 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 2,142 849 4,703 3,313 Placement fees on mortgage loan impound deposits 346 363 787 1,067 38,356 36,471 103,129 91,423 To PFSI—Note payable 1,974 1,289 5,798 1,822 40,330 37,760 108,927 93,245 Net interest income $ 17,804 $ 23,678 $ 55,339 $ 54,211 (1) The results for the quarter and nine months ended September 30, 2015 include interest expense from Asset-backed financing of a VIE at fair value and CRT Agreements financing at fair value. |
Net Gain on Mortgage Loans Acqu
Net Gain on Mortgage Loans Acquired for Sale | 9 Months Ended |
Sep. 30, 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Cash loss: Mortgage loans $ (25,102 ) $ 4,579 $ (46,582 ) $ (54,183 ) Hedging activities (17,378 ) (33,268 ) (79,072 ) (27,082 ) (42,480 ) (28,689 ) (125,654 ) (81,265 ) Non cash gain: Receipt of MSRs in mortgage loan sale transactions 77,635 52,814 173,906 112,450 Provision for losses relating to representations and warranties provided in mortgage loan sales Pursuant to mortgage loans sales (781 ) (1,833 ) (2,002 ) (4,177 ) Reduction in liability due to change in estimate 5,098 — 6,822 — Change in fair value of financial instruments held at period end: IRLCs (1,429 ) 9,073 10,681 3,146 Mortgage loans 5,228 (17,097 ) 16,980 1,181 Hedging derivatives 587 (384 ) 2,400 3,884 4,386 (8,408 ) 30,061 8,211 $ 43,858 $ 13,884 $ 83,133 $ 35,219 |
Net Gain (Loss) on Investments
Net Gain (Loss) on Investments | 9 Months Ended |
Sep. 30, 2016 | |
Investments Debt And Equity Securities [Abstract] | |
Net Gain (Loss) on Investments | Note 24—Net Gain (Loss) on Investments Net gain (loss) on investments is summarized below: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Net gain (loss) on investments: From non-affiliates: Mortgage-backed securities $ 517 $ 3,564 $ 9,948 $ (1,622 ) Mortgage loans at fair value: Distressed mortgage loans (3,400 ) 31,909 (2,468 ) 79,163 Mortgage loans held in a VIE (536 ) 7,421 7,810 (2,856 ) CRT Agreements 18,477 626 22,098 626 Asset-backed financing of a VIE at fair value 2,990 (3,941 ) (5,974 ) (719 ) Hedging derivatives (945 ) (6,777 ) (245 ) (18,071 ) 17,103 32,802 31,169 56,521 From PFSI—ESS (2,824 ) (7,844 ) (36,275 ) (5,502 ) $ 14,279 $ 24,958 $ (5,106 ) $ 51,019 |
Net Mortgage Loan Servicing Fee
Net Mortgage Loan Servicing Fees | 9 Months Ended |
Sep. 30, 2016 | |
Text Block [Abstract] | |
Net Mortgage Loan Servicing Fees | Note 25—Net Mortgage Loan Servicing Fees Net mortgage loan servicing fees are summarized below: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Servicing fees (1) $ 34,304 $ 25,500 $ 94,754 $ 74,016 MSR recapture income from PFSI 409 670 849 670 Effect of MSRs: Carried at lower of amortized cost or fair value: Amortization (17,902 ) (11,333 ) (47,720 ) (30,913 ) Provision for impairment (3,460 ) (7,845 ) (44,336 ) (7,142 ) Gain on sale — 4 11 87 Carried at fair value—change in fair value (3,202 ) (5,266 ) (19,558 ) (8,776 ) Gains on hedging derivatives 5,612 19,061 63,006 13,868 (18,952 ) (5,379 ) (48,597 ) (32,876 ) Net mortgage loan servicing fees $ 15,761 $ 20,791 $ 47,006 $ 41,810 Average servicing portfolio $ 48,997,875 $ 38,172,371 $ 46,125,926 $ 36,446,663 (1) Includes contractually specified servicing and ancillary fees. |
Share-Based Compensation Plans
Share-Based Compensation Plans | 9 Months Ended |
Sep. 30, 2016 | |
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract] | |
Share-Based Compensation Plans | Note 26—Share-Based Compensation Plans As of September 30, 2016 and December 31, 2015, the Company had one share-based compensation plan. The following table summarizes the Company’s share-based compensation activity: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (dollars in thousands) RSUs granted — — 217,997 294,684 PSUs granted — — 112,079 — Total share units granted — — 330,076 294,684 Fair value of RSUs granted $ — $ — $ 2,690 $ 6,286 Fair value of PSUs granted — — 1,351 — Total fair value of share units granted $ — $ — $ 4,041 $ 6,286 RSUs vested — — 298,581 301,763 PSUs vested — — — — Total share units vested — — 298,581 301,763 Compensation expense $ 1,129 $ 1,294 $ 4,142 $ 4,979 |
Other Expenses
Other Expenses | 9 Months Ended |
Sep. 30, 2016 | |
Other Income And Expenses [Abstract] | |
Other Expenses | Note 27—Other Expenses Other expenses are summarized below: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Common overhead allocation from PFSI $ 1,417 $ 2,550 $ 6,413 $ 7,487 Mortgage loan origination 2,202 1,367 4,880 3,496 Real estate held for investment 821 146 2,308 213 Technology 279 307 1,045 910 Insurance 304 309 938 984 Other 1,123 795 2,713 2,436 $ 6,146 $ 5,474 $ 18,297 $ 15,526 |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2016 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Note 28—Income Taxes The Company’s effective tax rate was 21.3% and 6.8% for the quarter and nine months ended September 30, 2016 and 14.0% and (12.1)% for the quarter and nine months ended September 30, 2015, respectively. The Company’s taxable REIT subsidiary recognized tax expense of $9.7 million and $3.6 million on income of $24.2 million and $9.0 million while the Company reported consolidated pretax income of $45.0 million and $47.9 million for the quarter and nine months ended September 30, 2016, respectively. For the same periods in 2015, the taxable REIT subsidiary recognized tax expense of $6.1 million and tax benefit of $6.8 million on income of $14.8 million and loss of $16.5 million while the Company reported a consolidated pretax income of $45.1 million and $66.4 million, respectively. 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 | 9 Months Ended |
Sep. 30, 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 September 30, 2016 production activities Total (in thousands) Net investment income: Interest income $ 14,850 $ 43,284 $ 58,134 Interest expense (9,373 ) (30,957 ) (40,330 ) 5,477 12,327 17,804 Net gain on mortgage loans acquired for sale 43,858 — 43,858 Net gain on investments — 14,279 14,279 Net mortgage loan servicing fees — 15,761 15,761 Other income (loss) 12,724 (1,100 ) 11,624 62,059 41,267 103,326 Expenses: Mortgage loan fulfillment, servicing and management fees payable to PFSI 27,969 15,350 43,319 Other 2,707 12,286 14,993 30,676 27,636 58,312 Pre-tax income $ 31,383 $ 13,631 $ 45,014 Total assets at period end $ 2,072,185 $ 4,546,716 $ 6,618,901 Correspondent Investment Quarter ended September 30, 2015 production activities Total (in thousands) Net investment income: Interest income $ 13,748 $ 47,690 $ 61,438 Interest expense (6,370 ) (31,390 ) (37,760 ) 7,378 16,300 23,678 Net gain on mortgage loans acquired for sale 13,884 — 13,884 Net gain on investments — 24,958 24,958 Net mortgage loan servicing fees — 20,791 20,791 Other income 9,154 (1,691 ) 7,463 30,416 60,358 90,774 Expenses: Mortgage loan fulfillment, servicing and management fees payable to PFSI 18,367 16,664 35,031 Other 1,876 8,760 10,636 20,243 25,424 45,667 Pre-tax income $ 10,173 $ 34,934 $ 45,107 Total assets at period end $ 1,073,070 $ 4,519,161 $ 5,592,231 Correspondent Investment Nine months ended September 30, 2016 production activities Total (in thousands) Net investment income: Interest income $ 37,288 $ 126,978 $ 164,266 Interest expense (22,443 ) (86,484 ) (108,927 ) 14,845 40,494 55,339 Net gain on mortgage loans acquired for sale 83,133 — 83,133 Net loss on investments — (5,106 ) (5,106 ) Net mortgage loan servicing fees — 47,006 47,006 Other income (loss) 28,097 (5,309 ) 22,788 126,075 77,085 203,160 Expenses: Mortgage loan fulfillment, servicing and management fees payable to PFSI 61,033 52,763 113,796 Other 6,315 35,150 41,465 67,348 87,913 155,261 Pre-tax income (loss) $ 58,727 $ (10,828 ) $ 47,899 Total assets at period end $ 2,072,185 $ 4,546,716 $ 6,618,901 Correspondent Investment Nine months ended September 30, 2015 production activities Total (in thousands) Net investment income: Interest income $ 29,858 $ 117,598 $ 147,456 Interest expense (14,953 ) (78,292 ) (93,245 ) 14,905 39,306 54,211 Net gain on mortgage loans acquired for sale 35,219 — 35,219 Net gain on investments — 51,019 51,019 Net mortgage loan servicing fees — 41,810 41,810 Other income (loss) 21,857 (5,920 ) 15,937 71,981 126,215 198,196 Expenses: Mortgage loan fulfillment, servicing and management fees payable to PFSI 47,313 51,505 98,818 Other 4,803 28,200 33,003 52,116 79,705 131,821 Pre-tax income $ 19,865 $ 46,510 $ 66,375 Total assets at period end $ 1,073,070 $ 4,519,161 $ 5,592,231 |
Supplemental Cash Flow Informat
Supplemental Cash Flow Information | 9 Months Ended |
Sep. 30, 2016 | |
Supplemental Cash Flow Elements [Abstract] | |
Supplemental Cash Flow Information | Note 30—Supplemental Cash Flow Information Nine months ended September 30, 2016 2015 (in thousands) Cash paid for interest $ 111,008 $ 85,876 Income taxes paid, net $ 388 $ 700 Non-cash investing activities: Receipt of MSRs as proceeds from sales of mortgage loans $ 173,906 $ 112,450 Transfer of mortgage loans and advances to real estate acquired in settlement of loans $ 156,352 $ 240,483 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment $ 17,548 $ 4,440 Receipt of ESS pursuant to recapture agreement with PFSI $ 5,039 $ 4,833 Non-cash financing activities: Dividends payable $ 31,804 $ 35,019 |
Regulatory Capital and Liquidit
Regulatory Capital and Liquidity Requirements | 9 Months Ended |
Sep. 30, 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: September 30, 2016 Net Worth (1) Tangible Net Worth / Total Assets Ratio (1) Liquidity (1) Fannie Mae and Freddie Mac Actual Required Actual Required Actual Required (in thousands) (in thousands) September 30, 2016 $ 416,721 $ 129,771 11 % 6 % $ 113,271 $ 17,818 December 31, 2015 $ 409,930 $ 107,405 13 % 6 % $ 46,030 $ 16,481 (1) Calculated in accordance with the respective Agency’s capital and liquidity 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 | 9 Months Ended |
Sep. 30, 2016 | |
Accounting Changes And Error Corrections Abstract | |
Recently Issued Accounting Pronouncements | Note 32—Recently Issued Accounting Pronouncements In May 2014, the FASB issued ASU 2014-09, Revenue from Contracts with Customers (Subtopic 606) Revenue Recognition Upon adoption, ASU 2014-09 provides for transition through either a full retrospective approach requiring the restatement of all presented prior periods or a modified retrospective approach, which allows the new recognition standard to be applied to only those contracts that are not completed at the date of transition. If the modified retrospective approach is adopted, a cumulative-effect adjustment to retained earnings is performed with additional disclosures required including the amount by which each line item is affected by the transition as compared to the guidance in effect before adoption and an explanation of the reasons for significant changes in these amounts. The FASB has issued several amendments to the new revenue standard ASU 2014-09, including: In May 2014, ASU 2015-14, Revenue From Contracts With Customers (“ASU 2015-14”) In March 2015, ASU 2016-08, Principal Versus Agent Considerations (Reporting Revenue Gross versus Net) In May 2016, ASU 2016-12, Narrow-Scope Improvements and Practical Expedients The Company is currently evaluating the pending adoption of ASU 2014-09 and its impact on its consolidated financial statements and has not yet identified which transition method will be applied upon adoption. In February 2015, the FASB issued ASU 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis In January 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 2016, The FASB issued ASU 2016-09, Compensation—Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting • 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 statement of income. 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 statement of income 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. In August 2014, the FASB issued ASU 2014-15, Presentation of Financial Statements—Going Concern (Subtopic 205-40): Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern Under GAAP, financial statements are prepared under the presumption that the reporting organization will continue to operate as a going concern, except in limited circumstances. Financial reporting under this presumption is commonly referred to as the going concern basis of accounting. The going concern basis of accounting establishes the fundamental basis for measuring and classifying assets and liabilities. ASU 2014-15 extends the responsibility for performing the going-concern assessment to management and contains guidance on (1) how to perform a going-concern assessment and (2) when going-concern disclosures are required under GAAP. Under ASU 2014-15, an entity would be required to evaluate its status as a going concern as part of its periodic financial statement preparation process and would be required to disclose information about its potential inability to continue as a going concern when “substantial doubt” about its ability to continue as a going concern for the period of one year from the earlier of the date its financial statements are issued or are ready to be issued. If management concludes that there is “substantial doubt about the entity’s ability to continue as a going concern,” it must disclose the principal conditions or events causing substantial doubt to be raised, management’s evaluation of the conditions and management’s plans. If substantial doubt is not alleviated as a result of management’s plans, the entity is required to include a statement that there is “substantial doubt about the entity’s ability to continue as a going concern.” ASU 2014-15 also requires an entity to disclose how the substantial doubt was resolved in the period that substantial doubt no longer exists. ASU 2014-15 is effective for the annual period ending December 31, 2016. The requirements of ASU 2014-15 are not expected to have an effect on the financial statements of the Company upon adoption. |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 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: • On October 4, 2016, the Company, through PMC, amended the terms of its master repurchase agreement, dated November 20, 2012, by and among Morgan Stanley Bank, N.A. and Morgan Stanley Mortgage Capital Holdings LLC (collectively, “Morgan Stanley”), on the one hand, and PMC, on the other hand (the “MS Repurchase Agreement”), pursuant to which PMC may sell, and later repurchase, newly originated mortgage loans that are purchased from correspondent lenders by PMC and held for sale and/or securitization. Prior to the amendment, the MS Repurchase Agreement provided for a maximum aggregate purchase price of $300 million. Of this amount, $200 million was committed and available for purchases under the MS Repurchase Agreement. Pursuant to the terms of the amendment, Morgan Stanley agreed to increase the maximum aggregate purchase price from $300 million to $400 million. Of this amount, $250 million is committed and available for purchases under the MS Repurchase Agreement. • On October 14, 2016, the Company, through PMC and the Operating Partnership, entered into a master repurchase agreement with JPMorgan Chase Bank, N.A. (“JPM”), pursuant to which PMC and the Operating Partnership may sell to JPM, and later repurchase, newly originated mortgage loans in an aggregate principal amount of up to $200 million, $50 million of which is committed (the “JPM Repurchase Agreement”). The JPM Repurchase Agreement will be used to fund newly originated mortgage loans that are purchased from correspondent lenders by PMC and held for sale and/or securitization. • On October 14, 2016, the Company, through the Operating Partnership, PMC, PennyMac Holdings, LLC (“PMH”) and PMC REO Financing Trust (“REO Subsidiary”), entered into amendments (the “October Amendments”) to the terms of (i) its Amended and Restated Master Repurchase Agreement, dated as of March 31, 2016, by and among Credit Suisse First Boston Mortgage Capital LLC (“CSFB”), the Operating Partnership, PMC, PMH, REO Subsidiary and the Company (the “Consolidated Repurchase Agreement”), pursuant to which the Company, through the Operating Partnership, PMC and/or PMH, as applicable, may sell, and later repurchase, (a) newly originated mortgage loans that PMC purchases from correspondent lenders and holds pending sale and/or securitization, (b) newly originated mortgage loans that have been purchased by PMC from correspondent lenders and pledged by PMC to PMH or the Operating Partnership pending sale and/or securitization by PMC, and (c) distressed mortgage loans and equity interests in REO Subsidiary; and (ii) its Amended and Restated Master Repurchase Agreement, dated as of March 31, 2016, by and among CSFB, the Operating Partnership and the Company, pursuant to which the Operating Partnership may sell to CSFB, and later repurchase, newly originated mortgage loans for which the Operating Partnership provides financing to third-party mortgage loan originators (the “Re-warehouse Facility”). The original terms of the Consolidated Repurchase Agreement and the Re-warehouse Facility collectively provided for a maximum combined purchase price of $850 million. Of this amount, $650 million was committed and available for purchases under the Consolidated Repurchase Agreement to the extent not reduced by purchased amounts outstanding under the Re-warehouse Facility, while $300 million was committed and available for purchases under the Re-warehouse Facility to the extent not reduced by purchased amounts outstanding under the Consolidated Repurchase Agreement. On September 26, 2016, CSFB previously agreed to increase the maximum combined purchase price provided for under the Consolidated Repurchase Agreement and the Re-warehouse Facility from $850 million to $1.15 billion until October 26, 2016, at which time the maximum combined purchase price would be reset to $850 million. Pursuant to the terms of the October Amendments, CSFB agreed to extend such increase in the maximum combined purchase price to December 23, 2016. • On October 21, 2016, the Company entered into an agreement to sell $172 million in UPB of performing loans from its distressed portfolio. The sale is scheduled to settle in December 2016. Although definitive documentation has been executed, these transactions are subject to continuing due diligence and customary closing conditions. There can be no assurance regarding the size of the transactions or that the transactions will be completed at all. |
Organization and Basis of Pre41
Organization and Basis of Presentation (Policies) | 9 Months Ended |
Sep. 30, 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 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 mortgage 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 associated with loan resolution, including 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 that fluctuations in the residential real estate market may affect 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 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 the 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 or 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 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 financial statement item, and are based on the best information available in the circumstances. As a result of the difficulty in observing certain significant valuation inputs affecting “Level 3” fair value assets or liabilities, 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 assets or liabilities and to their fair values. Likewise, due to the general illiquidity of some of these assets or liabilities, 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 non-commercial real estate secured mortgage 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 assets at fair value so such changes in fair value will be reflected in income as they occur and more timely reflect the results of the Company’s performance. The 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 other borrowings, 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 | In May 2014, the FASB issued ASU 2014-09, Revenue from Contracts with Customers (Subtopic 606) Revenue Recognition Upon adoption, ASU 2014-09 provides for transition through either a full retrospective approach requiring the restatement of all presented prior periods or a modified retrospective approach, which allows the new recognition standard to be applied to only those contracts that are not completed at the date of transition. If the modified retrospective approach is adopted, a cumulative-effect adjustment to retained earnings is performed with additional disclosures required including the amount by which each line item is affected by the transition as compared to the guidance in effect before adoption and an explanation of the reasons for significant changes in these amounts. The FASB has issued several amendments to the new revenue standard ASU 2014-09, including: In May 2014, ASU 2015-14, Revenue From Contracts With Customers (“ASU 2015-14”) In March 2015, ASU 2016-08, Principal Versus Agent Considerations (Reporting Revenue Gross versus Net) In May 2016, ASU 2016-12, Narrow-Scope Improvements and Practical Expedients The Company is currently evaluating the pending adoption of ASU 2014-09 and its impact on its consolidated financial statements and has not yet identified which transition method will be applied upon adoption. In February 2015, the FASB issued ASU 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis In January 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 2016, The FASB issued ASU 2016-09, Compensation—Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting • 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 statement of income. 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 statement of income 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. In August 2014, the FASB issued ASU 2014-15, Presentation of Financial Statements—Going Concern (Subtopic 205-40): Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern Under GAAP, financial statements are prepared under the presumption that the reporting organization will continue to operate as a going concern, except in limited circumstances. Financial reporting under this presumption is commonly referred to as the going concern basis of accounting. The going concern basis of accounting establishes the fundamental basis for measuring and classifying assets and liabilities. ASU 2014-15 extends the responsibility for performing the going-concern assessment to management and contains guidance on (1) how to perform a going-concern assessment and (2) when going-concern disclosures are required under GAAP. Under ASU 2014-15, an entity would be required to evaluate its status as a going concern as part of its periodic financial statement preparation process and would be required to disclose information about its potential inability to continue as a going concern when “substantial doubt” about its ability to continue as a going concern for the period of one year from the earlier of the date its financial statements are issued or are ready to be issued. If management concludes that there is “substantial doubt about the entity’s ability to continue as a going concern,” it must disclose the principal conditions or events causing substantial doubt to be raised, management’s evaluation of the conditions and management’s plans. If substantial doubt is not alleviated as a result of management’s plans, the entity is required to include a statement that there is “substantial doubt about the entity’s ability to continue as a going concern.” ASU 2014-15 also requires an entity to disclose how the substantial doubt was resolved in the period that substantial doubt no longer exists. ASU 2014-15 is effective for the annual period ending December 31, 2016. The requirements of ASU 2014-15 are not expected to have an effect on the financial statements of the Company upon adoption. |
Concentration of Risks (Tables)
Concentration of Risks (Tables) | 9 Months Ended |
Sep. 30, 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: September 30, 2016 December 31, 2015 (in thousands) Mortgage loans at fair value $ 601,572 $ 855,691 REO 53,052 88,088 $ 654,624 $ 943,779 Total carrying value of mortgage loans at fair value and REO $ 2,245,465 $ 2,897,634 |
Transactions with Related Par43
Transactions with Related Parties (Tables) | 9 Months Ended |
Sep. 30, 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Fulfillment fees earned by PLS $ 27,255 $ 17,553 $ 59,301 $ 45,752 Unpaid principal balance (“UPB”) of mortgage loans fulfilled by PLS $ 7,263,557 $ 4,073,201 $ 15,696,940 $ 10,542,411 Sourcing fees received from PLS included in Net gain on mortgage loans acquired for sale $ 3,509 $ 3,236 $ 8,282 $ 7,084 UPB of mortgage loans sold to PLS $ 11,694,065 $ 10,783,882 $ 27,599,186 $ 23,602,020 Purchases of mortgage loans acquired for sale at fair value from PLS $ 5,007 $ 2,880 $ 13,146 $ 13,708 Tax service fee paid to PLS included in Other expense $ 2,066 $ 1,291 $ 4,537 $ 3,293 Early purchase program fees paid to PLS included in Mortgage loan servicing fees $ 5 $ — $ 7 $ — September 30, 2016 December 31, 2015 (in thousands) Mortgage loans included in Mortgage loans acquired for sale at fair value pending sale to PLS $ 575,487 $ 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Mortgage loans acquired for sale at fair value: Base $ 90 $ 130 $ 225 $ 198 Activity-based 210 153 497 243 300 283 722 441 Mortgage loans at fair value: Distressed mortgage loans Base 2,615 3,896 8,881 12,053 Activity-based 3,014 2,961 14,981 8,948 5,629 6,857 23,862 21,001 Mortgage loans held in VIE: Base 65 34 157 92 Activity-based 1 — 1 — 66 34 158 92 MSRs: Base 4,913 4,473 13,841 12,783 Activity-based 131 89 336 225 5,044 4,562 14,177 13,008 $ 11,039 $ 11,736 $ 38,919 $ 34,542 MSR recapture income recognized included in Net mortgage loan servicing fees $ 409 $ 670 $ 849 $ 670 Average investment in: Mortgage loans acquired for sale at fair value $ 1,607,564 $ 1,783,011 $ 1,317,230 $ 1,189,754 Mortgage loans at fair value: Distressed mortgage loans $ 1,579,246 $ 2,201,533 $ 1,810,779 $ 2,268,538 Mortgage loans held in a VIE $ 413,749 $ 481,925 $ 434,967 $ 504,351 Average MSR portfolio $ 48,997,875 $ 38,172,371 $ 46,125,926 $ 36,446,663 |
Summary of Base Management and Performance Incentive Fees Payable | Following is a summary of the base management and performance incentive fees payable to PCM recorded by the Company: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Base management $ 5,025 $ 5,742 $ 15,576 $ 17,181 Performance incentive — — — 1,343 $ 5,025 $ 5,742 $ 15,576 $ 18,524 |
Summary of Expenses | The Company reimburses PCM and its affiliates for other expenses, including common overhead expenses incurred on its behalf by PCM and its affiliates, in accordance with the terms of its management agreement as summarized below: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Reimbursement of: Common overhead incurred by PCM and its affiliates $ 1,417 $ 2,694 $ 6,413 $ 8,125 Expenses incurred on the Company’s (PFSI's) behalf, net 13 (85 ) (102 ) 377 $ 1,430 $ 2,609 $ 6,311 $ 8,502 Payments and settlements during the year (1) $ 45,988 $ 17,709 $ 102,600 $ 64,575 (1) 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 From and Payable to PFSI | Amounts receivable from and payable to PFSI are summarized below: September 30, 2016 December 31, 2015 (in thousands) Receivable from PFSI: MSR recapture receivable $ 450 $ 781 Other 5,326 8,025 $ 5,776 $ 8,806 Payable to PFSI: Management fees $ 5,025 $ 5,670 Servicing fees 3,641 3,682 Allocated expenses and expenses paid by PFSI on PMT’s behalf 3,227 4,490 Fulfillment fees 926 1,082 Conditional Reimbursement 900 900 Interest on Note payable to PFSI 536 412 Correspondent production fees 492 2,729 $ 14,747 $ 18,965 |
Summary of Investing Activity | Following is a summary of investing activities between the Company and PFSI: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Mortgage loans at fair value for sale to PFSI $ 891 $ 1,466 $ 891 $ 1,466 ESS: Purchases $ — $ 84,165 $ — $ 271,452 Received pursuant to a recapture agreement $ 1,438 $ 2,268 $ 5,039 $ 4,833 Repayments and sales $ 16,342 $ 24,717 $ 113,668 $ 55,800 Interest income $ 4,827 $ 8,026 $ 17,555 $ 17,596 Net (loss) gain included in Net (loss) gain on investments: Valuation changes $ (4,107 ) $ (10,272 ) $ (40,984 ) $ (10,675 ) Recapture income 1,283 2,428 4,709 5,173 $ (2,824 ) $ (7,844 ) $ (36,275 ) $ (5,502 ) |
Summary of Financing Activities | Following is a summary of financing activities between the Company and PFSI: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Note payable—Interest expense $ 1,974 $ 1,289 $ 5,798 $ 1,822 Conditional Reimbursements paid to PCM $ — $ 7 $ — $ 237 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 9 Months Ended |
Sep. 30, 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands except per share amounts) Basic earnings per share: Net income $ 35,408 $ 38,812 $ 44,637 $ 74,391 Effect of participating securities—share-based compensation awards (341 ) (361 ) (1,026 ) (1,352 ) Net income attributable to common shareholders $ 35,067 $ 38,451 $ 43,611 $ 73,039 Diluted earnings per share: Net income attributable to common shareholders $ 35,067 $ 38,451 $ 43,611 $ 73,039 Interest on Exchangeable Notes, net of income taxes 2,181 2,123 — 6,364 Net income attributable to common diluted shareholders $ 37,248 $ 40,574 $ 43,611 $ 79,403 Weighted-average basic shares outstanding 67,554 74,681 69,289 74,675 Dilutive securities: Shares issuable under share-based compensation plan 308 316 — 397 Shares issuable pursuant to exchange of the Exchangeable Notes 8,467 8,414 — 8,414 Diluted weighted-average number of shares outstanding 76,329 83,411 69,289 83,486 Basic earnings per share $ 0.52 $ 0.51 $ 0.63 $ 0.98 Diluted earnings per share $ 0.49 $ 0.49 $ 0.63 $ 0.95 |
Summary of Potentially Dilutive Shares Excluded from Computation of Diluted Earnings Per Share | Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Shares issuable under share-based compensation awards — — 717 — Shares issuable pursuant to exchange of the Exchangeable Notes — — 8,467 — |
Loan Sales and Variable Inter45
Loan Sales and Variable Interest Entities (Tables) | 9 Months Ended |
Sep. 30, 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Cash flows: Proceeds from sales $ 6,857,691 $ 4,885,668 $ 15,323,444 $ 10,593,309 Mortgage loan servicing fees received (1) $ 31,514 $ 25,054 $ 88,269 $ 69,876 September 30, 2016 December 31, 2015 (in thousands) UPB of mortgage loans outstanding $ 50,908,319 $ 42,300,338 Delinquent mortgage loans: 30-89 days delinquent $ 217,191 $ 175,599 90 or more days delinquent: Not in foreclosure or bankruptcy 45,096 38,669 In foreclosure or bankruptcy 53,772 31,386 98,868 70,055 $ 316,059 $ 245,654 (1) Net of guarantee fees. |
Summary of Credit Risk Transfer Agreements | Following is a summary of the CRT Agreements: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) During the period: UPB of mortgage loans sold under CRT Agreements $ 3,357,443 $ 2,400,433 $ 8,442,187 $ 2,400,433 Deposits of cash securing CRT Agreements $ 89,697 $ 59,841 $ 282,434 $ 87,891 Gains recognized on CRT Agreements included in Net gain (loss) on investments Realized $ 6,206 $ — $ 12,601 $ — Resulting from valuation changes 12,271 626 9,497 626 $ 18,477 $ 626 $ 22,098 $ 626 Payments made to settle losses $ 28 $ — $ 28 $ — September 30, 2016 December 31, 2015 (in thousands) UPB of mortgage loans subject to credit guarantee obligations $ 12,196,636 $ 4,546,265 Delinquency status (in UPB): Current—89 days delinquent $ 12,192,306 $ 4,546,265 90 or more days delinquent $ 3,125 $ — Foreclosure $ 1,205 $ — Carrying value of CRT Agreements: Derivative assets $ 16,662 $ 593 Deposits securing credit risk transfer agreements $ 427,677 $ 147,000 Interest-only security payable at fair value $ 1,699 $ — Commitments to fund Deposits securing credit risk transfer agreements $ 35,106 $ — |
Netting of Financial Instrume46
Netting of Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Offsetting [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. September 30, 2016 December 31, 2015 Gross amounts of recognized assets Gross amounts offset in the consolidated balance sheet Net amounts of assets presented in the consolidated balance sheet Gross amounts of recognized assets Gross amounts offset in the consolidated balance sheet Net amounts of assets presented in the consolidated balance sheet (in thousands) Derivative assets Not subject to master netting arrangements: Interest rate lock commitments $ 15,535 $ — $ 15,535 $ 4,983 $ — $ 4,983 CRT Agreements 16,662 — 16,662 593 — 593 32,197 — 32,197 5,576 — 5,576 Subject to master netting arrangements: MBS put options 3,441 — 3,441 93 — 93 Forward purchase contracts 21,031 — 21,031 2,444 — 2,444 Forward sale contracts 1,308 — 1,308 2,604 — 2,604 Put options on interest rate futures 2,480 — 2,480 1,512 — 1,512 Call options on interest rate futures 1,965 — 1,965 1,156 — 1,156 Netting — (17,648 ) (17,648 ) — (3,300 ) (3,300 ) 30,225 (17,648 ) 12,577 7,809 (3,300 ) 4,509 $ 62,422 $ (17,648 ) $ 44,774 $ 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 setoff accounting. September 30, 2016 December 31, 2015 Gross amounts not offset in the consolidated balance sheet Gross amounts not offset in the consolidated balance sheet Net amount of assets presented in the consolidated balance sheet Financial instruments Cash collateral received Net amount Net amount of assets presented in the consolidated balance sheet Financial instruments Cash collateral received Net amount (in thousands) Interest rate lock commitments $ 15,535 $ — $ — $ 15,535 $ 4,983 $ — $ — $ 4,983 CRT Agreements 16,662 — — 16,662 593 — — 593 Federal National Mortgage Association 3,401 — — 3,401 — — — — RJ O’Brien & Associates, LLC 2,672 — — 2,672 1,672 — — 1,672 JPMorgan Chase & Co. 2,500 — — 2,500 — — — — Jefferies Group LLC 1,285 — — 1,285 541 — — 541 Bank of America, N.A. 752 — — 752 — — — — Goldman Sachs 593 — — 593 — — — — Wells Fargo Bank, N.A. 537 — — 537 99 — — 99 Nomura Securities International, Inc. 409 — — 409 119 — — 119 Barclays Capital 277 — — 277 796 — — 796 Royal Bank of Canada — — — — 400 — — 400 Morgan Stanley Bank, N.A. — — — — 464 — — 464 Ally Financial — — — — 209 — — 209 Other 151 — — 151 209 — — 209 $ 44,774 $ — $ — $ 44,774 $ 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. September 30, 2016 December 31, 2015 Gross amounts of recognized liabilities Gross amounts offset in the consolidated balance sheet Net amounts of liabilities presented in the consolidated balance sheet Gross amounts of recognized liabilities Gross amounts offset in the consolidated balance sheet Net amounts of liabilities presented in the consolidated balance sheet (in thousands) Derivative liabilities Not subject to master netting arrangements: Interest rate lock commitments $ 207 $ — $ 207 $ 337 $ — $ 337 207 — 207 337 — 337 Subject to master netting arrangements: Forward purchase contracts 808 — 808 3,774 — 3,774 Forward sales contracts 20,234 — 20,234 2,680 — 2,680 Put options on interest rate futures 188 — 188 39 — 39 Call options on interest rate futures — — — 305 — 305 Netting — (19,817 ) (19,817 ) — (3,978 ) (3,978 ) 21,230 (19,817 ) 1,413 6,798 (3,978 ) 2,820 21,437 (19,817 ) 1,620 7,135 (3,978 ) 3,157 Assets sold under agreements to repurchase: UPB 4,042,150 — 4,042,150 3,130,328 — 3,130,328 Unamortized debt issuance costs (1,065 ) — (1,065 ) (1,548 ) — (1,548 ) 4,041,085 — 4,041,085 3,128,780 — 3,128,780 $ 4,062,522 $ (19,817 ) $ 4,042,705 $ 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 setoff accounting. All assets sold under agreements to repurchase represent sufficient collateral or exceed the liability amount recorded on the consolidated balance sheet. September 30, 2016 December 31, 2015 Gross amounts not offset in the consolidated balance sheet Gross amounts not offset in the consolidated balance sheet Net amount of liabilities presented in the consolidated balance sheet Financial instruments Cash collateral pledged Net amount Net amount of liabilities presented in the consolidated balance sheet Financial instruments Cash collateral pledged Net amount (in thousands) Interest rate lock commitments $ 207 $ — $ — $ 207 $ 337 $ — $ — $ 337 Credit Suisse First Boston Mortgage Capital LLC 1,259,028 (1,258,630 ) — 398 893,947 (893,854 ) — 93 Citibank 899,840 (899,717 ) — 123 817,089 (816,699 ) — 390 Bank of America, N.A. 650,204 (650,204 ) — — 538,755 (538,515 ) — 240 JPMorgan Chase & Co. 544,610 (544,610 ) — — 467,427 (467,145 ) — 282 Daiwa Capital Markets 189,119 (188,949 ) — 170 165,480 (165,480 ) — — Barclays Capital 154,120 (154,120 ) — — 24,346 (24,346 ) — — Wells Fargo, N.A. 122,453 (122,453 ) — — — — — — Morgan Stanley Bank, N.A. 116,603 (116,579 ) — 24 214,086 (214,086 ) — — Royal Bank of Canada 60,424 (60,258 ) — 166 — — — — BNP Paribas 46,630 (46,630 ) — — 10,203 (10,203 ) — — Goldman Sachs — — — — 819 — — 819 Federal National Mortgage Association — — — — 924 — — 924 Other 532 — — 532 72 — — 72 Unamortized debt issuance costs (1,065 ) 1,065 — — (1,548 ) 1,548 — — $ 4,042,705 $ (4,041,085 ) $ — $ 1,620 $ 3,131,937 $ (3,128,780 ) $ — $ 3,157 |
Fair Value (Tables)
Fair Value (Tables) | 9 Months Ended |
Sep. 30, 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: September 30, 2016 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 33,353 $ — $ — $ 33,353 Mortgage-backed securities at fair value — 708,862 — 708,862 Mortgage loans acquired for sale at fair value — 2,043,453 — 2,043,453 Mortgage loans at fair value — 397,740 1,559,377 1,957,117 Excess servicing spread purchased from PFSI — — 280,367 280,367 Derivative assets: Interest rate lock commitments — — 15,535 15,535 CRT Agreements — — 16,662 16,662 MBS call options — 3,441 — 3,441 Forward sales contracts — 1,308 — 1,308 Forward purchase contracts — 21,031 — 21,031 Call options on interest rate futures 1,965 — — 1,965 Put options on interest rate futures 2,480 — — 2,480 Total derivative assets before netting 4,445 25,780 32,197 62,422 Netting — — — (17,648 ) Total derivative assets after netting 4,445 25,780 32,197 44,774 Mortgage servicing rights at fair value — — 55,843 55,843 $ 37,798 $ 3,175,835 $ 1,927,784 $ 5,123,769 Liabilities: Asset-backed financing of a VIE at fair value $ — $ 384,407 $ — $ 384,407 Interest-only security payable at fair value — — 1,699 1,699 Derivative liabilities: Interest rate lock commitments — — 207 207 Forward purchase contracts — 808 — 808 Forward sales contracts — 20,234 — 20,234 Put options on interest rate futures 188 — — 188 Total derivative liabilities before netting 188 21,042 207 21,437 Netting — — — (19,817 ) Total derivative liabilities after netting 188 21,042 207 1,620 $ 188 $ 405,449 $ 1,906 $ 387,726 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 September 30, 2016 Mortgage Excess Interest Mortgage Interest-only loans servicing rate lock CRT servicing security at fair value spread commitments (1) Agreements (1) rights payable Total (in thousands) Balance, June 30, 2016 $ 1,608,906 $ 294,551 $ 16,757 $ (199 ) $ 57,977 $ (1,663 ) $ 1,976,329 Purchases and issuances — — 30,429 — — — 30,429 Repayments and sales (29,921 ) (16,342 ) — — — — (46,263 ) Capitalization of interest 23,068 4,827 — — — — 27,895 ESS received pursuant to a recapture agreement with PFSI — 1,438 — — — — 1,438 Servicing received as proceeds from sales of mortgage loans — — — — 1,068 — 1,068 Proceeds from CRT Agreements — — — (6,206 ) — — (6,206 ) Changes in fair value included in income arising from: Changes in instrument- specific credit risk 9,699 — — — — — 9,699 Other factors (13,099 ) (4,107 ) 23,390 23,067 (3,202 ) (36 ) 26,013 (3,400 ) (4,107 ) 23,390 23,067 (3,202 ) (36 ) 35,712 Transfers of mortgage loans to REO and real estate held for investment (39,276 ) — — — — — (39,276 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (55,248 ) — — — (55,248 ) Balance, September 30, 2016 $ 1,559,377 $ 280,367 $ 15,328 $ 16,662 $ 55,843 $ (1,699 ) $ 1,925,878 Changes in fair value recognized during the period relating to assets still held at September 30, 2016 $ (820 ) $ (4,107 ) $ 15,328 $ 16,662 $ (3,202 ) (36 ) $ 23,825 (1) For the purpose of this table, the IRLC and CRT Agreement “Level 3” asset and liability positions are shown net. Quarter ended September 30, 2015 Mortgage Excess Interest Mortgage loans servicing rate lock CRT servicing at fair value spread commitments (1) Agreements (1) rights Total (in thousands) Balance, June 30, 2015 $ 2,246,944 $ 359,102 $ (267 ) $ — $ 57,343 $ 2,663,122 Purchases and issuances — 84,165 11,834 — — 95,999 Repayments and sales (57,022 ) (24,717 ) — — — (81,739 ) Capitalization of interest 14,849 8,026 — — — 22,875 ESS received pursuant to a recapture agreement with PFSI — 2,268 — — — 2,268 Servicing received as proceeds from sales of mortgage loans — — — — 5,674 5,674 Changes in fair value included in income arising from: Changes in instrument- specific credit risk 9,255 — — — — 9,255 Other factors 22,638 (10,272 ) 16,458 626 (5,266 ) 24,184 31,893 (10,272 ) 16,458 626 (5,266 ) 33,439 Transfers of mortgage loans to REO (76,205 ) — — — — (76,205 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (19,218 ) — — (19,218 ) Balance, September 31, 2015 $ 2,160,459 $ 418,572 $ 8,807 $ 626 $ 57,751 $ 2,646,215 Changes in fair value recognized during the period relating to assets still held at September 30, 2015 $ 32,971 $ (10,272 ) $ 8,807 $ 626 $ (5,266 ) $ 26,866 (1) For the purpose of this table, the IRLC and CRT Agreement “Level 3” asset and liability positions are shown net. Nine months ended September 30, 2016 Mortgage Excess Interest Mortgage Interest-only loans servicing rate lock CRT servicing security at fair value spread commitments (1) Agreements (1) rights payable Total (in thousands) Balance, December 31, 2015 $ 2,100,394 $ 412,425 $ 4,646 $ 593 $ 66,584 $ — $ 2,584,642 Purchases and issuances — — 58,475 — 2,602 (2,136 ) 58,941 Repayments and sales (449,647 ) (113,668 ) — — — — (563,315 ) Capitalization of interest 62,783 17,555 — — — — 80,338 ESS received pursuant to a recapture agreement with PFSI — 5,039 — — — — 5,039 Servicing received as proceeds from sales of mortgage loans — — — — 6,215 — 6,215 Proceeds from CRT Agreements — — — (12,601 ) — — (12,601 ) Changes in fair value included in income arising from: Changes in instrument- specific credit risk 29,480 — — — — — 29,480 Other factors (31,948 ) (40,984 ) 71,286 28,670 (19,558 ) 437 7,903 (2,468 ) (40,984 ) 71,286 28,670 (19,558 ) 437 37,383 Transfers of mortgage loans to REO and real estate held for investment (151,685 ) — — — — — (151,685 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (119,079 ) — — — (119,079 ) Balance, September 30, 2016 $ 1,559,377 $ 280,367 $ 15,328 $ 16,662 $ 55,843 $ (1,699 ) $ 1,925,878 Changes in fair value recognized during the period relating to assets still held at September 30, 2016 $ (2,399 ) $ (33,774 ) $ 15,328 $ 16,662 $ (19,558 ) $ 437 $ (23,304 ) (1) For the purpose of this table, the IRLC and CRT Agreement “Level 3” asset and liability positions are shown net. Nine months ended September 30, 2015 Mortgage Excess Interest Mortgage loans servicing rate lock CRT servicing at fair value spread commitments (1) Agreements (1) rights Total (in thousands) Balance, December 31, 2014 $ 2,199,583 $ 191,166 $ 5,661 $ — $ 57,358 $ 2,453,768 Purchases and issuances 241,981 271,452 42,917 — — 556,350 Repayments and sales (171,093 ) (55,800 ) — — — (226,893 ) Capitalization of interest 34,979 17,596 — — — 52,575 ESS received pursuant to a recapture agreement with PFSI — 4,833 — — — 4,833 Servicing received as proceeds from sales of mortgage loans — — — — 9,169 9,169 Changes in fair value included in income arising from: Changes in instrument- specific credit risk 29,563 — — — — 29,563 Other factors 49,584 (10,675 ) (6,941 ) 626 (8,776 ) 23,818 79,147 (10,675 ) (6,941 ) 626 (8,776 ) 53,381 Transfers of mortgage loans to REO (224,138 ) — — — — (224,138 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (32,830 ) — — (32,830 ) Balance, September 30, 2015 $ 2,160,459 $ 418,572 $ 8,807 $ 626 $ 57,751 $ 2,646,215 Changes in fair value recognized during the period relating to assets still held at September 30, 2015 $ 80,885 $ (10,675 ) $ 8,807 $ 626 $ (8,776 ) $ 70,867 |
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 held in a consolidated VIE, and other mortgage loans at fair value): September 30, 2016 December 31, 2015 Fair value Principal amount due upon maturity Difference Fair value Principal amount due upon maturity Difference (in thousands) Mortgage loans acquired for sale at fair value: Current through 89 days delinquent $ 2,042,569 $ 1,950,907 $ 91,662 $ 1,283,275 $ 1,235,433 $ 47,842 90 or more days delinquent Not in foreclosure 631 665 (34 ) 304 333 (29 ) In foreclosure 253 307 (54 ) 216 253 (37 ) 884 972 (88 ) 520 586 (66 ) $ 2,043,453 $ 1,951,879 $ 91,574 $ 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 $ 397,740 $ 388,543 $ 9,197 $ 455,394 $ 454,935 $ 459 90 or more days delinquent Not in foreclosure — — — — — — In foreclosure — — — — — — — — — — — — 397,740 388,543 9,197 455,394 454,935 459 Other mortgage loans at fair value: Current through 89 days delinquent 705,618 939,853 (234,235 ) 877,438 1,134,560 (257,122 ) 90 or more days delinquent Not in foreclosure 334,850 463,405 (128,555 ) 459,060 640,343 (181,283 ) In foreclosure 518,909 699,091 (180,182 ) 763,896 1,062,205 (298,309 ) 853,759 1,162,496 (308,737 ) 1,222,956 1,702,548 (479,592 ) 1,559,377 2,102,349 (542,972 ) 2,100,394 2,837,108 (736,714 ) $ 1,957,117 $ 2,490,892 $ (533,775 ) $ 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 September 30, 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 — (1,193 ) 517 — (676 ) Mortgage loans acquired for sale at fair value 58,128 — — — 58,128 Mortgage loans at fair value — 193 (3,936 ) — (3,743 ) ESS at fair value — — (4,107 ) — (4,107 ) MSRs at fair value — — — (3,202 ) (3,202 ) $ 58,128 $ (1,000 ) $ (7,526 ) $ (3,202 ) $ 46,400 Liabilities: Asset-backed financing of a VIE at fair value $ — $ (2,520 ) $ 2,990 $ — $ 470 $ — $ (2,520 ) $ 2,990 $ — $ 470 Quarter ended September 30, 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 — 91 3,564 — 3,655 Mortgage loans acquired for sale at fair value 39,504 — — — 39,504 Mortgage loans at fair value — 1,024 39,273 — 40,297 ESS at fair value — — (7,844 ) — (7,844 ) MSRs at fair value — — — (5,266 ) (5,266 ) $ 39,504 $ 1,115 $ 34,993 $ (5,266 ) $ 70,346 Liabilities: Asset-backed financing of a VIE at fair value $ — $ (351 ) $ (3,941 ) $ — $ (4,292 ) $ — $ (351 ) $ (3,941 ) $ — $ (4,292 ) Nine months ended September 30, 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 — (1,930 ) 9,948 — 8,018 Mortgage loans acquired for sale at fair value 147,135 — — — 147,135 Mortgage loans at fair value — 2,287 5,342 — 7,629 ESS at fair value — — (40,984 ) — (40,984 ) MSRs at fair value — — — (19,558 ) (19,558 ) $ 147,135 $ 357 $ (25,694 ) $ (19,558 ) $ 102,240 Liabilities: Asset-backed financing of a VIE at fair value $ — $ (1,985 ) $ (5,974 ) $ — $ (7,959 ) $ — $ (1,985 ) $ (5,974 ) $ — $ (7,959 ) Nine months ended September 30, 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 — 155 (1,622 ) — (1,467 ) Mortgage loans acquired for sale at fair value 57,568 — — — 57,568 Mortgage loans at fair value — 1,203 76,249 — 77,452 ESS at fair value — — (5,502 ) — (5,502 ) MSRs at fair value — — — (8,776 ) (8,776 ) $ 57,568 $ 1,358 $ 69,125 $ (8,776 ) $ 119,275 Liabilities: Asset-backed financing of a VIE at fair value $ — $ (474 ) $ (719 ) $ — $ (1,193 ) $ — $ (474 ) $ (719 ) $ — $ (1,193 ) |
Summary of Financial Statement Items Re-measured at Fair Value on Nonrecurring Basis | Following is a summary of financial statement items that were re-measured at fair value on a nonrecurring basis during the periods presented: September 30, 2016 Level 1 Level 2 Level 3 Total (in thousands) Real estate acquired in settlement of loans $ — $ — $ 145,237 $ 145,237 MSRs at lower of amortized cost or fair value — — 370,987 370,987 $ — $ — $ 516,224 $ 516,224 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Real estate asset acquired in settlement of loans $ (6,940 ) $ (8,182 ) $ (14,552 ) $ (18,308 ) MSRs at lower of amortized cost or fair value (3,460 ) (7,845 ) (44,336 ) (7,142 ) $ (10,400 ) $ (16,027 ) $ (58,888 ) $ (25,450 ) |
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 September 30, 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 3.2% – 5.8% 1.5% – 5.1% Weighted average 4.5% 3.6% Prepayment speed (1) Range 0.1% – 14.7% 0.1% – 9.6% Weighted average 4.0% 3.7% Total prepayment speed (2) Range 3.2% – 25.2% 0.5% – 27.2% Weighted average 18.3% 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 September 30, 2016 December 31, 2015 UPB of underlying mortgage loans (in thousands) $ 34,189,425 $51,966,405 Average servicing fee rate (in basis points) 34 32 Average ESS rate (in basis points) 19 17 Pricing spread (1) Range 4.7% - 6.0% 4.8% - 6.5% Weighted average 5.5% 5.7% Life (in years) Range 2.2 - 8.9 1.4 - 9.0 Weighted average 6.2 6.9 Annual total prepayment speed (2) Range 6.7% - 23.3% 5.2% - 52.4% Weighted average 12.2% 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 September 30, 2016 December 31, 2015 Pull-through rate Range 57.2% - 100.0% 60.2% - 100.0% Weighted average 87.6% 92.4% MSR value expressed as: Servicing fee multiple Range 2.1 - 5.8 2.1 - 6.2 Weighted average 4.7 4.9 Percentage of UPB Range 0.6% - 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 September 30, 2016 2015 Amortized cost Fair value Amortized cost Fair value (MSR recognized and UPB of underlying mortgage loan amounts in thousands) MSR recognized $ 76,567 $ 1,068 $ 47,140 $ 5,674 Key inputs UPB of underlying mortgage loans $ 6,532,562 $ 120,457 $ 3,512,016 $ 578,894 Weighted-average annual servicing fee rate (in basis points) 25 25 25 25 Pricing spread (1) Range 7.6% –12.6% 7.6% –7.6% 6.5% –13.0% 7.2% – 14.3% Weighted average 7.6% 7.6% 7.8% 8.4% Life (in years) Range 2.3 – 10.9 2.4 – 7.3 2.0 – 7.4 2.3 – 7.2 Weighted average 7.8 5.7 6.8 6.6 Annual total prepayment speed (2) Range 4.5% – 33.2% 10.3% – 33.3% 7.6% – 37.6% 8.4% – 22.4% Weighted average 8.6% 14.9% 9.2% 11.9% Annual per-loan cost of servicing Range $78 – $78 $78 – $82 $62 – $68 $62 – $68 Weighted average $78 $80 $65 $65 (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. Nine months ended September 30, 2016 2015 Amortized cost Fair value Amortized cost Fair value (MSR recognized and UPB of underlying mortgage loan amounts in thousands) MSR recognized $ 167,691 $ 6,215 $ 103,281 $ 9,169 Key inputs UPB of underlying mortgage loans $ 14,139,102 $ 647,976 $ 9,140,782 $ 978,951 Weighted-average annual servicing fee rate (in basis points) 25 26 25 25 Pricing spread (1) Range 7.2% –12.6% 7.2% –7.6% 6.5% –17.5% 7.2% – 16.3% Weighted average 7.4% 7.3% 8.1% 9.2% Life (in years) Range 1.4 – 12.3 2.0 – 9.4 1.3 – 7.7 2.3 – 7.3 Weighted average 7.6 5.7 6.7 6.5 Annual total prepayment speed (2) Range 3.4% – 49.2% 7.2% – 38.0% 7.6% – 51.0% 8.3% – 34.2% Weighted average 9.2% 15.1% 8.9% 12.1% Annual per-loan cost of servicing Range $68 – $79 $68 – $82 $62 – $134 $62 – $68 Weighted average $75 $73 $63 $64 (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: September 30, 2016 December 31, 2015 Amortized cost Fair value Amortized cost Fair value (Carrying value, UPB of underlying mortgage loans and effect on fair value amounts in thousands) Carrying value $ 468,686 $ 55,843 $ 393,157 $ 66,584 Key inputs: UPB of underlying mortgage loans $ 44,810,667 $ 6,097,652 $ 35,841,654 $ 6,458,684 Weighted-average annual servicing fee rate (in basis points) 25 25 26 25 Weighted-average note interest rate 3.8% 4.7% 3.9% 4.7% Pricing spread (1) Range 7.6% – 13.1% 7.6% – 12.6% 7.2% – 10.7% 7.2% – 10.2% Weighted average 7.6% 7.6% 7.3% 7.2% Effect on fair value of (2): 5% adverse change $(7,116) $(810) $(6,411) $(944) 10% adverse change $(14,025) $(1,598) $(12,635) $(1,862) 20% adverse change $(27,256) $(3,106) $(24,553) $(3,621) Weighted average life (in years) Range 3.0 - 7.0 3.2 - 5.8 1.3 - 7.7 2.5 - 6.1 Weighted average 6.7 5.8 7.2 6.1 Prepayment speed (3) Range 8.4% – 26.6% 8.3% – 22.1% 8.1% – 51.5% 9.2% – 32.5% Weighted average 10.4% 13.8% 9.6% 13.2% Effect on fair value of (2): 5% adverse change $(9,962) $(1,588) $(8,159) $(1,793) 10% adverse change $(19,539) $(3,101) $(16,024) $(3,502) 20% adverse change $(37,624) $(5,921) $(30,938) $(6,692) Annual per-loan cost of servicing Range $77 – $78 $77 – $78 $68 – $68 $68 – $68 Weighted average $78 $78 $68 $68 Effect on fair value of (2): 5% adverse change $(3,720) $(506) $(2,742) $(470) 10% adverse change $(7,441) $(1,012) $(5,484) $(940) 20% adverse change $(14,881) $(2,023) $(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) | 9 Months Ended |
Sep. 30, 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. F ollowing is a summary of the distribution of the Company’s mortgage loans acquired for sale at fair value: Loan type September 30, 2016 December 31, 2015 (in thousands) Conventional: Agency-eligible $ 1,439,697 $ 540,947 Jumbo 9,412 54,613 Held for sale to PLS — Government insured or guaranteed 575,487 669,288 Small balance commercial real estate loans 12,673 14,590 Mortgage loans repurchased pursuant to representations and warranties 6,184 4,357 $ 2,043,453 $ 1,283,795 Mortgage loans pledged to secure: Assets sold under agreements to repurchase $ 1,926,914 $ 1,204,462 Mortgage loan participation and sale agreements 91,378 — Federal Home Loan Bank (“FHLB”) advances — 63,993 $ 2,018,292 $ 1,268,455 |
Derivative Financial Instrume49
Derivative Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Derivative Assets and Liabilities Recorded within Derivative Assets and Derivative Liabilities and Related Margin Deposits Recorded in Other Assets | The Company had the following derivative assets and liabilities recorded within Derivative assets Derivative liabilities Other September 30, 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 2,431,253 $ 15,535 $ 207 970,067 $ 4,983 $ 337 Used for hedging purposes: Forward sale contracts 6,451,444 1,308 20,234 2,450,642 2,604 2,680 Forward purchase contracts 5,632,182 21,031 808 2,469,550 2,444 3,774 MBS call options 3,025,000 3,441 — 375,000 93 — Swap futures 12,500 — — — — — Eurodollar future sales contracts 1,442,000 — — 1,755,000 — — Treasury future buy contracts 150,000 — — — — — Call options on interest rate futures 825,000 1,965 — 50,000 1,156 305 Put options on interest rate futures 1,200,000 2,480 188 1,600,000 1,512 39 CRT Agreements 12,196,636 16,662 — 4,546,265 593 — Total derivative instruments before netting 62,422 21,437 13,385 7,135 Netting (17,648 ) (19,817 ) (3,300 ) (3,978 ) $ 44,774 $ 1,620 $ 10,085 $ 3,157 Margin deposits with derivatives counterparties included in Other $ 2,169 $ 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 consolidated statements of income line items where such gains and losses are included: Quarter ended September 30, Nine months ended September 30, Derivative activity Income statement line 2016 2015 2016 2015 (in thousands) Interest rate lock commitments Net gain on mortgage loans acquired for sale $ 53,819 $ 28,292 $ 129,761 $ 35,976 Hedged item: Interest rate lock commitments and mortgage loans acquired for sale Net gain on mortgage loans acquired for sale $ (16,791 ) $ (33,652 ) $ (76,672 ) $ (23,198 ) Mortgage servicing rights Net loan servicing fees $ 5,612 $ 19,061 $ 63,006 $ 13,868 Fixed-rate assets and LIBOR- indexed repurchase agreements Net gain on investments $ (945 ) $ (6,772 ) $ (245 ) $ (18,065 ) CRT agreements Net gain on investments $ 18,477 $ 626 $ 22,098 $ 626 |
Derivative Arising From CRT Agreements And Derivative Contracts [Member] | |
Summary of Activity in Notional Amount for Derivative Contracts and Derivatives Arising from CRT Agreements | The following tables summarize the notional amount activity for derivative contracts used to hedge the Company’s MBS, inventory of mortgage loans acquired for sale, mortgage loans at fair value held in a VIE, IRLCs and MSRs and for derivatives arising from CRT Agreements. Quarter ended September 30, 2016 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) Forward sales contracts 4,347,526 29,853,649 (27,749,731 ) 6,451,444 Forward purchase contracts 4,190,349 22,535,622 (21,093,789 ) 5,632,182 MBS call options 1,525,000 3,875,000 (2,375,000 ) 3,025,000 Swap futures 12,500 12,500 (12,500 ) 12,500 Eurodollar future sale contracts 1,543,000 101,000 (202,000 ) 1,442,000 Treasury future buy contracts — 276,200 (126,200 ) 150,000 Treasury future sale contracts — 126,200 (126,200 ) — Call options on interest rate futures 525,000 1,825,000 (1,525,000 ) 825,000 Put options on interest rate futures 425,000 1,625,000 (850,000 ) 1,200,000 CRT Agreements 8,976,961 3,357,443 (137,768 ) 12,196,636 Quarter ended September 30, 2015 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) Forward sales contracts 3,252,286 15,003,760 (14,845,207 ) 3,410,839 Forward purchase contracts 2,263,622 10,938,733 (9,919,991 ) 3,282,364 MBS put option 367,500 700,000 (617,500 ) 450,000 MBS call option 40,000 — (40,000 ) — Eurodollar future sale contracts 5,984,000 — (4,228,000 ) 1,756,000 Treasury future sale contracts 40,000 — (40,000 ) — Call options on interest rate futures 1,135,000 1,805,000 (1,385,000 ) 1,555,000 Put options on interest rate futures 1,273,000 1,650,000 (1,298,000 ) 1,625,000 CRT Agreements — 2,400,433 — 2,400,433 Nine months ended September 30, 2016 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) Forward sales contracts 2,450,642 65,146,064 (61,145,262 ) 6,451,444 Forward purchase contracts 2,469,550 47,965,764 (44,803,132 ) 5,632,182 MBS call options 375,000 6,600,000 (3,950,000 ) 3,025,000 Swap futures — 37,500 (25,000 ) 12,500 Eurodollar future sale contracts 1,755,000 181,000 (494,000 ) 1,442,000 Treasury future buy contracts — 276,200 (126,200 ) 150,000 Treasury future sale contracts — 126,200 (126,200 ) — Call options on interest rate futures 50,000 3,400,000 (2,625,000 ) 825,000 Put options on interest rate futures 1,600,000 4,225,000 (4,625,000 ) 1,200,000 CRT Agreements 4,546,265 8,442,187 (791,816 ) 12,196,636 Nine months ended September 30, 2015 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) Forward sales contracts 1,601,283 38,880,821 (37,071,265 ) 3,410,839 Forward purchase contracts 1,100,700 27,871,913 (25,690,249 ) 3,282,364 MBS put option 340,000 1,692,500 (1,582,500 ) 450,000 MBS call option — 140,000 (140,000 ) — Eurodollar future sale contracts 7,426,000 285,000 (5,955,000 ) 1,756,000 Eurodollar future purchase contracts 800,000 — (800,000 ) — Treasury future sale contracts 85,000 161,500 (246,500 ) — Call options on interest rate futures 1,030,000 4,080,000 (3,555,000 ) 1,555,000 Put options on interest rate futures 275,000 4,318,000 (2,968,000 ) 1,625,000 CRT Agreements — 2,400,433 — 2,400,433 |
Mortgage Loans at Fair Value (T
Mortgage Loans at Fair Value (Tables) | 9 Months Ended |
Sep. 30, 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: September 30, 2016 December 31, 2015 Loan type Fair value Unpaid principal balance Fair value Unpaid principal balance (in thousands) Distressed mortgage loans Nonperforming mortgage loans $ 853,759 $ 1,162,496 $ 1,222,956 $ 1,702,548 Performing mortgage loans: Fixed interest rate 339,813 459,394 417,658 535,610 Interest rate step-up 256,932 356,710 299,569 412,749 Adjustable-rate/hybrid 108,873 123,749 160,051 185,997 Balloon — — 160 204 705,618 939,853 877,438 1,134,560 1,559,377 2,102,349 2,100,394 2,837,108 Fixed interest rate jumbo mortgage loans held in a VIE 397,740 388,543 455,394 454,935 $ 1,957,117 $ 2,490,892 $ 2,555,788 $ 3,292,043 Mortgage loans at fair value pledged to secure: Assets sold under agreements to repurchase $ 1,549,685 $ 2,067,341 Asset-backed financing of a VIE at fair value and FHLB advances $ 397,740 $ 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 September 30, 2016 December 31, 2015 (percentages are of fair value) Portion of mortgage loans originated between 2005 and 2007 71% 72% Percentage of fair value of mortgage loans with unpaid-principal balance-to-current-property-value in excess of 100% 41% 48% States contributing 5% or more of mortgage loans New York California New Jersey Florida Massachusetts California New York New Jersey Florida |
Real Estate Acquired in Settl51
Real Estate Acquired in Settlement of Loans (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Banking And Thrift [Abstract] | |
Summary of Financial Information Relating to REO | Following is a summary of financial information relating to REO: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Balance at beginning of period $ 299,458 $ 324,278 $ 341,846 $ 303,228 Transfers from mortgage loans at fair value and advances 42,300 82,405 156,352 240,483 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment (5,282 ) (2,212 ) (17,548 ) (3,505 ) Results of REO: Valuation adjustments, net (7,888 ) (8,734 ) (25,816 ) (26,740 ) Gain on sale, net 4,603 4,513 13,930 14,881 (3,285 ) (4,221 ) (11,886 ) (11,859 ) Proceeds from sales (44,843 ) (46,687 ) (180,416 ) (174,784 ) Balance at end of period $ 288,348 $ 353,563 $ 288,348 $ 353,563 REO pledged to secure assets sold under agreements to repurchase $ 56,037 $ 280,045 REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties 165,116 — $ 221,153 $ 280,045 |
Mortgage Servicing Rights (Tabl
Mortgage Servicing Rights (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Summary of MSRs Carried at Fair Value | Following is a summary of MSRs carried at fair value: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Balance at beginning of period $ 57,977 $ 57,343 $ 66,584 $ 57,358 Purchases — — 2,602 — MSRs resulting from mortgage loan sales 1,068 5,674 6,215 9,169 Changes in fair value: Due to changes in valuation inputs used in valuation model (1) (883 ) (3,418 ) (12,343 ) (3,525 ) Other changes in fair value (2) (2,319 ) (1,848 ) (7,215 ) (5,251 ) (3,202 ) (5,266 ) (19,558 ) (8,776 ) Balance at period end $ 55,843 $ 57,751 $ 55,843 $ 57,751 MSRs carried at fair value pledged to secure notes payable at period end $ 55,843 $ 57,751 (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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Amortized Cost: Balance at beginning of period $ 465,301 $ 344,405 $ 404,101 $ 308,137 MSRs resulting from mortgage loan sales 76,567 47,140 167,691 103,281 Amortization (17,902 ) (11,333 ) (47,720 ) (30,913 ) Sales — (12 ) (106 ) (305 ) Balance at end of period 523,966 380,200 523,966 380,200 Valuation Allowance: Balance at beginning of period (51,820 ) (7,011 ) (10,944 ) (7,714 ) Additions (3,460 ) (7,845 ) (44,336 ) (7,142 ) Balance at end of period (55,280 ) (14,856 ) (55,280 ) (14,856 ) MSRs, net $ 468,686 $ 365,344 $ 468,686 $ 365,344 Fair value at beginning of period $ 417,094 $ 362,908 $ 424,154 $ 322,230 Fair value at period end $ 472,790 $ 386,539 MSRs carried at lower of cost or fair value pledged to secure notes payable at period end $ 468,686 $ 365,344 |
Summary of Company's Estimate of Future Amortization of Existing MSRs Carried at Amortized Cost | The following table summarizes the Company’s estimate of future amortization of its existing MSRs carried at amortized cost. This estimate was developed with the inputs used in the September 30, 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 September 30, amortization (in thousands) 2017 $ 71,532 2018 62,271 2019 54,538 2020 47,902 2021 42,070 Thereafter 245,653 Total $ 523,966 |
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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Contractually-specified servicing fees 32,724 24,394 90,494 70,471 Ancillary and other fees: Late charges 148 218 421 218 Other 1,432 888 3,839 3,327 34,304 25,500 94,754 74,016 |
Assets Sold Under Agreements 53
Assets Sold Under Agreements to Repurchase (Tables) | 9 Months Ended |
Sep. 30, 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (dollars in thousands) Weighted-average interest rate (1) 2.26 % 2.30 % 2.19 % 2.27 % Average balance $ 3,538,720 $ 3,252,341 $ 3,202,829 $ 3,125,328 Total interest expense $ 23,751 $ 21,350 $ 66,217 $ 60,470 Maximum daily amount outstanding $ 4,824,044 $ 4,160,814 $ 5,221,997 $ 4,612,001 (1) Excludes the effect of amortization of debt issuance costs of $2.2 million and $6.5 million for the quarter and nine months ended September 30, 2016, respectively, and $2.2 million and $6.7 million for the quarter and nine months ended September 30, 2015, respectively. September 30, 2016 December 31, 2015 (dollars in thousands) Carrying value: Amount outstanding $ 4,042,150 $ 3,130,328 Unamortized debt issuance costs (1,065 ) (1,548 ) $ 4,041,085 $ 3,128,780 Weighted-average interest rate 2.27 % 2.33 % Available borrowing capacity: Committed $ 150,469 $ 231,913 Uncommitted 860,382 661,756 $ 1,010,851 $ 893,669 Margin deposits placed with counterparties included in Other $ 13,443 $ 7,268 Fair value of assets securing agreements to repurchase: Mortgage-backed securities $ 708,862 $ 313,753 Mortgage loans acquired for sale at fair value $ 1,926,914 $ 1,204,462 Mortgage loans at fair value $ 1,549,685 $ 2,067,341 Real estate acquired in settlement of loans $ 221,153 $ 283,343 Deposits securing CRT Agreements $ 416,163 $ — Derivatives related to CRT Agreements $ 8,268 $ — |
Summary of Maturities of Outstanding Assets Sold under Agreements to Repurchase by Facility Maturity Date | Following is a summary of maturities of outstanding assets sold under agreements to repurchase by facility maturity date: Remaining Maturity at September 30, 2016 Contractual balance (in thousands) Within 30 days $ 453,172 Over 30 to 90 days 1,675,330 Over 90 days to 180 days 657,097 Over 180 days to 1 year 1,028,229 Over 1 year to 2 years 228,322 $ 4,042,150 Weighted average maturity (in months) 4.3 |
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) Bank of America, N.A. $ 7,492 November 21, 2016 Daiwa Capital Markets America Inc. $ 10,181 November 19, 2016 JPMorgan Chase & Co. $ 4,056 November 7, 2016 Royal Bank of Canada $ 2,500 November 24, 2016 Wells Fargo, N.A. $ 5,218 October 25, 2016 |
CRT Agreements [Member] | |
Summary of Assets Sold under Agreements to Repurchase by Counterparty | CRT Agreements Counterparty Amount at risk Weighted average maturity (in thousands) JPMorgan Chase & Co. $ 104,903 October 18, 2016 Bank of America, N.A. $ 31,799 October 18, 2016 BNP Paribas Corporate & Institutional Banking $ 19,192 October 12, 2016 |
Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member] | |
Summary of Assets Sold under Agreements to Repurchase by Counterparty | The amount at risk (the fair value of the assets pledged plus the related margin deposit, less the amount advanced by the counterparty and interest payable) and maturity information relating to the Company’s assets sold under agreements to repurchase is summarized by counterparty below as of September 30, 2016: Mortgage loans acquired for sale, Mortgage loans and REO sold under agreements to repurchase Weighted-average Counterparty Amount repurchase agreement maturity Facility maturity (in thousands) Citibank, N.A. $ 241,851 November 2, 2016 December 2, 2016 Credit Suisse First Boston Mortgage Capital LLC $ 192,091 December 22, 2016 March 30, 2017 JPMorgan Chase & Co. $ 125,475 - January 26, 2017 Bank of America, N.A. $ 30,361 December 19, 2016 March 28, 2017 Morgan Stanley $ 7,721 November 17, 2016 August 25, 2017 Barclays Bank PLC $ 11,223 December 2, 2016 December 2, 2016 |
Mortgage Loan Participation a54
Mortgage Loan Participation and Sale Agreements (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Text Block [Abstract] | |
Summary of Mortgage Loan Participation and Sale Agreements | Mortgage loan participation and sale agreements are summarized below: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (dollars in thousands) Weighted-average interest rate (1) 1.76 % 1.44 % 1.71 % 1.43 % Average balance $ 73,537 $ 48,832 $ 70,955 $ 50,933 Total interest expense $ 361 $ 226 $ 1,023 $ 699 Maximum daily amount outstanding $ 99,469 $ 120,374 $ 99,469 $ 148,032 (1) Excludes the effect of amortization of debt issuance costs of $31,000 and $99,000 for the quarter and nine months ended September 30, 2016, respectively, and $47,000 and $146,000 for the quarter and nine months ended September 30, 2015, respectively. September 30, 2016 (dollars in Carrying value: Amount outstanding $ 88,458 Unamortized debt issuance costs — $ 88,458 Weighted-average interest rate 1.78 % Mortgage loans acquired for sale pledged to secure mortgage loan participation and sale agreements $ 91,378 |
Federal Home Loan Bank Advanc55
Federal Home Loan Bank Advances (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Banking And Thrift [Abstract] | |
Summary of FHLB Advances | The FHLB advances are summarized below: Quarter ended September 30, Nine months ended September 30, 2015 2016 2015 (dollars Weighted-average interest rate 0.27 % 0.49 % 0.27 % Average balance $ 170,902 $ 32,560 $ 58,100 Total interest expense $ 117 $ 122 $ 119 Maximum daily amount outstanding $ 188,834 $ 201,130 $ 188,834 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 |
Notes Payable (Tables)
Notes Payable (Tables) | 9 Months Ended |
Sep. 30, 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (dollars Weighted-average interest rate (1) 4.76 % 4.25 % 4.68 % 4.24 % Average balance $ 170,907 $ 195,030 $ 190,878 $ 85,907 Total interest expense $ 2,883 $ 2,375 $ 9,217 $ 3,369 Maximum daily amount outstanding $ 196,317 $ 198,191 $ 234,476 $ 198,191 (1) Excludes the effect of amortization of debt issuance costs of $805,000 and $2.4 million for the quarter and nine months ended September 30, 2016, respectively, and $562,000 and $915,000 for the quarter and nine months ended September 30, 2015, respectively. September 30, 2016 December 31, 2015 (dollars in thousands) Carrying value: Amount outstanding $ 196,144 $ 236,107 Unamortized debt issuance costs (12 ) (92 ) $ 196,132 $ 236,015 Weighted-average interest rate 4.44 % 4.53 % MSRs pledged to secure notes payable $ 524,529 $ 459,741 |
Asset-Backed Financing of a V57
Asset-Backed Financing of a Variable Interest Entity at Fair Value (Tables) | 9 Months Ended |
Sep. 30, 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (dollars in thousands) Weighted-average fair value $ 330,622 $ 170,262 $ 326,962 $ 165,024 Interest expense $ 5,253 $ 1,787 $ 10,212 $ 4,671 Weighted-average effective interest rate 3.23 % 3.30 % 3.31 % 3.35 % September 30, 2016 December 31, 2015 (dollars in thousands) Carrying value $ 384,407 $ 247,690 UPB $ 375,477 $ 248,284 Weighted-average interest rate 3.51 % 3.50 % |
Exchangeable Senior Notes (Tabl
Exchangeable Senior Notes (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Text Block [Abstract] | |
Summary of Financial Information Relating to Exchangeable Notes | Following is financial information relating to the Exchangeable Notes: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Weighted-average UPB $ 250,000 $ 250,000 $ 250,000 $ 250,000 Interest expense (1) $ 3,620 $ 3,605 $ 10,848 $ 10,803 (1) Total interest expense includes amortization of debt issuance costs of $261,000 and $770,000 for the quarter and nine months ended September 30, 2016, respectively, and $245,000 and $726,000 for the quarter and nine months ended September 30, 2015, respectively. September 30, 2016 December 31, 2015 (in thousands) Carrying value: UPB $ 250,000 $ 250,000 Unamortized debt issuance costs (4,176 ) (4,946 ) $ 245,824 $ 245,054 |
Liability for Losses Under Re59
Liability for Losses Under Representations and Warranties (Tables) | 9 Months Ended |
Sep. 30, 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Balance, beginning of period $ 19,258 $ 16,714 $ 20,171 $ 14,242 Provision for losses Pursuant to mortgage loan sales 781 1,833 2,002 4,177 Reduction in liability due to change in estimate (5,098 ) — (6,822 ) — Losses incurred (14 ) (74 ) (424 ) (176 ) Recoveries — — — 230 Balance, end of period $ 14,927 $ 18,473 $ 14,927 $ 18,473 UPB of mortgage loans subject to representations and warranties at period end $ 50,167,783 $ 39,730,788 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Commitments And Contingencies Disclosure [Abstract] | |
Company's Outstanding Contractual Commitments | The following table summarizes the Company’s outstanding contractual commitments: September 30, 2016 (in thousands) Commitments to purchase mortgage loans acquired for sale $ 2,431,253 Commitments to fund Deposits securing credit risk transfer agreements (1) $ 35,106 (1) Certain deposits of cash collateral on CRT Agreements are made upon the first to occur of fulfillment of the aggregation obligation or the lapse of the aggregation period. |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Equity [Abstract] | |
Summary of Share Repurchase Activity | The following table summarizes the Company’s share repurchase activity: Quarter ended September 30, Nine months ended September 30, Cumulative 2016 2015 2016 2015 Total (1) Common shares repurchased 687,144 1,019,487 7,029,048 1,019,487 8,073,535 Cost of common shares repurchased (in thousands) $ 10,595 $ 15,955 $ 93,429 $ 15,955 $ 109,767 (1) Amounts represent the share repurchase program total through September 30, 2016. |
Net Interest Income (Tables)
Net Interest Income (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Banking And Thrift Interest [Abstract] | |
Summary of Net Interest Income | Net interest income is summarized below: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Interest income: From nonaffiliates: Short-term investments $ 165 $ 115 $ 747 $ 417 Mortgage-backed securities 3,394 2,614 8,863 7,752 Mortgage loans acquired for sale at fair value 15,008 20,704 37,868 38,120 Mortgage loans at fair value 28,952 24,364 81,180 68,089 Mortgage loans at fair value held by a VIE 4,040 5,598 14,520 15,440 Other 1,748 17 3,533 42 53,307 53,412 146,711 129,860 From PFSI—ESS purchased from PFSI, at fair value 4,827 8,026 17,555 17,596 58,134 61,438 164,266 147,456 Interest expense: To nonaffiliates: Assets sold under agreements to repurchase 23,751 21,350 66,217 60,470 Mortgage loan participation and sale agreements 361 226 1,023 699 FHLB advances — 117 122 119 Notes payable 2,883 2,375 9,217 3,369 Asset-backed financings of VIEs at fair value (1) 5,253 7,586 10,212 11,583 Exchangeable Notes 3,620 3,605 10,848 10,803 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 2,142 849 4,703 3,313 Placement fees on mortgage loan impound deposits 346 363 787 1,067 38,356 36,471 103,129 91,423 To PFSI—Note payable 1,974 1,289 5,798 1,822 40,330 37,760 108,927 93,245 Net interest income $ 17,804 $ 23,678 $ 55,339 $ 54,211 (1) The results for the quarter and nine months ended September 30, 2015 include interest expense from Asset-backed financing of a VIE at fair value and CRT Agreements financing at fair value. |
Net Gain on Mortgage Loans Ac63
Net Gain on Mortgage Loans Acquired for Sale (Tables) | 9 Months Ended |
Sep. 30, 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Cash loss: Mortgage loans $ (25,102 ) $ 4,579 $ (46,582 ) $ (54,183 ) Hedging activities (17,378 ) (33,268 ) (79,072 ) (27,082 ) (42,480 ) (28,689 ) (125,654 ) (81,265 ) Non cash gain: Receipt of MSRs in mortgage loan sale transactions 77,635 52,814 173,906 112,450 Provision for losses relating to representations and warranties provided in mortgage loan sales Pursuant to mortgage loans sales (781 ) (1,833 ) (2,002 ) (4,177 ) Reduction in liability due to change in estimate 5,098 — 6,822 — Change in fair value of financial instruments held at period end: IRLCs (1,429 ) 9,073 10,681 3,146 Mortgage loans 5,228 (17,097 ) 16,980 1,181 Hedging derivatives 587 (384 ) 2,400 3,884 4,386 (8,408 ) 30,061 8,211 $ 43,858 $ 13,884 $ 83,133 $ 35,219 |
Net Gain (Loss) on Investments
Net Gain (Loss) on Investments (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Investments Debt And Equity Securities [Abstract] | |
Summary of Net Gain (Loss) on Investments | Net gain (loss) on investments is summarized below: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Net gain (loss) on investments: From non-affiliates: Mortgage-backed securities $ 517 $ 3,564 $ 9,948 $ (1,622 ) Mortgage loans at fair value: Distressed mortgage loans (3,400 ) 31,909 (2,468 ) 79,163 Mortgage loans held in a VIE (536 ) 7,421 7,810 (2,856 ) CRT Agreements 18,477 626 22,098 626 Asset-backed financing of a VIE at fair value 2,990 (3,941 ) (5,974 ) (719 ) Hedging derivatives (945 ) (6,777 ) (245 ) (18,071 ) 17,103 32,802 31,169 56,521 From PFSI—ESS (2,824 ) (7,844 ) (36,275 ) (5,502 ) $ 14,279 $ 24,958 $ (5,106 ) $ 51,019 |
Net Mortgage Loan Servicing F65
Net Mortgage Loan Servicing Fees (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Text Block [Abstract] | |
Summary of Net Mortgage Loan Servicing Fees | Net mortgage loan servicing fees are summarized below: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Servicing fees (1) $ 34,304 $ 25,500 $ 94,754 $ 74,016 MSR recapture income from PFSI 409 670 849 670 Effect of MSRs: Carried at lower of amortized cost or fair value: Amortization (17,902 ) (11,333 ) (47,720 ) (30,913 ) Provision for impairment (3,460 ) (7,845 ) (44,336 ) (7,142 ) Gain on sale — 4 11 87 Carried at fair value—change in fair value (3,202 ) (5,266 ) (19,558 ) (8,776 ) Gains on hedging derivatives 5,612 19,061 63,006 13,868 (18,952 ) (5,379 ) (48,597 ) (32,876 ) Net mortgage loan servicing fees $ 15,761 $ 20,791 $ 47,006 $ 41,810 Average servicing portfolio $ 48,997,875 $ 38,172,371 $ 46,125,926 $ 36,446,663 (1) Includes contractually specified servicing and ancillary fees. |
Share-Based Compensation Plans
Share-Based Compensation Plans (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract] | |
Summary of Share-Based Compensation Activity | The following table summarizes the Company’s share-based compensation activity: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (dollars in thousands) RSUs granted — — 217,997 294,684 PSUs granted — — 112,079 — Total share units granted — — 330,076 294,684 Fair value of RSUs granted $ — $ — $ 2,690 $ 6,286 Fair value of PSUs granted — — 1,351 — Total fair value of share units granted $ — $ — $ 4,041 $ 6,286 RSUs vested — — 298,581 301,763 PSUs vested — — — — Total share units vested — — 298,581 301,763 Compensation expense $ 1,129 $ 1,294 $ 4,142 $ 4,979 |
Other Expenses (Tables)
Other Expenses (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Other Income And Expenses [Abstract] | |
Summary of Other Expenses | Other expenses are summarized below: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Common overhead allocation from PFSI $ 1,417 $ 2,550 $ 6,413 $ 7,487 Mortgage loan origination 2,202 1,367 4,880 3,496 Real estate held for investment 821 146 2,308 213 Technology 279 307 1,045 910 Insurance 304 309 938 984 Other 1,123 795 2,713 2,436 $ 6,146 $ 5,474 $ 18,297 $ 15,526 |
Segments and Related Informat68
Segments and Related Information (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Segment Reporting [Abstract] | |
Financial Highlights by Operating Segment | Financial highlights by operating segment are summarized below: Correspondent Investment Quarter ended September 30, 2016 production activities Total (in thousands) Net investment income: Interest income $ 14,850 $ 43,284 $ 58,134 Interest expense (9,373 ) (30,957 ) (40,330 ) 5,477 12,327 17,804 Net gain on mortgage loans acquired for sale 43,858 — 43,858 Net gain on investments — 14,279 14,279 Net mortgage loan servicing fees — 15,761 15,761 Other income (loss) 12,724 (1,100 ) 11,624 62,059 41,267 103,326 Expenses: Mortgage loan fulfillment, servicing and management fees payable to PFSI 27,969 15,350 43,319 Other 2,707 12,286 14,993 30,676 27,636 58,312 Pre-tax income $ 31,383 $ 13,631 $ 45,014 Total assets at period end $ 2,072,185 $ 4,546,716 $ 6,618,901 Correspondent Investment Quarter ended September 30, 2015 production activities Total (in thousands) Net investment income: Interest income $ 13,748 $ 47,690 $ 61,438 Interest expense (6,370 ) (31,390 ) (37,760 ) 7,378 16,300 23,678 Net gain on mortgage loans acquired for sale 13,884 — 13,884 Net gain on investments — 24,958 24,958 Net mortgage loan servicing fees — 20,791 20,791 Other income 9,154 (1,691 ) 7,463 30,416 60,358 90,774 Expenses: Mortgage loan fulfillment, servicing and management fees payable to PFSI 18,367 16,664 35,031 Other 1,876 8,760 10,636 20,243 25,424 45,667 Pre-tax income $ 10,173 $ 34,934 $ 45,107 Total assets at period end $ 1,073,070 $ 4,519,161 $ 5,592,231 Correspondent Investment Nine months ended September 30, 2016 production activities Total (in thousands) Net investment income: Interest income $ 37,288 $ 126,978 $ 164,266 Interest expense (22,443 ) (86,484 ) (108,927 ) 14,845 40,494 55,339 Net gain on mortgage loans acquired for sale 83,133 — 83,133 Net loss on investments — (5,106 ) (5,106 ) Net mortgage loan servicing fees — 47,006 47,006 Other income (loss) 28,097 (5,309 ) 22,788 126,075 77,085 203,160 Expenses: Mortgage loan fulfillment, servicing and management fees payable to PFSI 61,033 52,763 113,796 Other 6,315 35,150 41,465 67,348 87,913 155,261 Pre-tax income (loss) $ 58,727 $ (10,828 ) $ 47,899 Total assets at period end $ 2,072,185 $ 4,546,716 $ 6,618,901 Correspondent Investment Nine months ended September 30, 2015 production activities Total (in thousands) Net investment income: Interest income $ 29,858 $ 117,598 $ 147,456 Interest expense (14,953 ) (78,292 ) (93,245 ) 14,905 39,306 54,211 Net gain on mortgage loans acquired for sale 35,219 — 35,219 Net gain on investments — 51,019 51,019 Net mortgage loan servicing fees — 41,810 41,810 Other income (loss) 21,857 (5,920 ) 15,937 71,981 126,215 198,196 Expenses: Mortgage loan fulfillment, servicing and management fees payable to PFSI 47,313 51,505 98,818 Other 4,803 28,200 33,003 52,116 79,705 131,821 Pre-tax income $ 19,865 $ 46,510 $ 66,375 Total assets at period end $ 1,073,070 $ 4,519,161 $ 5,592,231 |
Supplemental Cash Flow Inform69
Supplemental Cash Flow Information (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Supplemental Cash Flow Elements [Abstract] | |
Summary of Supplemental Cash Flow Information | Nine months ended September 30, 2016 2015 (in thousands) Cash paid for interest $ 111,008 $ 85,876 Income taxes paid, net $ 388 $ 700 Non-cash investing activities: Receipt of MSRs as proceeds from sales of mortgage loans $ 173,906 $ 112,450 Transfer of mortgage loans and advances to real estate acquired in settlement of loans $ 156,352 $ 240,483 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment $ 17,548 $ 4,440 Receipt of ESS pursuant to recapture agreement with PFSI $ 5,039 $ 4,833 Non-cash financing activities: Dividends payable $ 31,804 $ 35,019 |
Regulatory Capital and Liquid70
Regulatory Capital and Liquidity Requirements (Tables) | 9 Months Ended |
Sep. 30, 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: September 30, 2016 Net Worth (1) Tangible Net Worth / Total Assets Ratio (1) Liquidity (1) Fannie Mae and Freddie Mac Actual Required Actual Required Actual Required (in thousands) (in thousands) September 30, 2016 $ 416,721 $ 129,771 11 % 6 % $ 113,271 $ 17,818 December 31, 2015 $ 409,930 $ 107,405 13 % 6 % $ 46,030 $ 16,481 (1) Calculated in accordance with the respective Agency’s capital and liquidity requirements. |
Organization and Basis of Pre71
Organization and Basis of Presentation - Additional Information (Detail) | 9 Months Ended |
Sep. 30, 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 | 9 Months Ended | 12 Months Ended |
Sep. 30, 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 | $ 601,572 | $ 855,691 |
Investment portfolio purchases above through one or more subsidiaries of Citigroup, Inc. REO | 53,052 | 88,088 |
Investment portfolio purchases above through one or more subsidiaries of Citigroup, Inc. total | 654,624 | 943,779 |
Total carrying value of mortgage loans at fair value and REO | $ 2,245,465 | $ 2,897,634 |
Transactions with Related Par73
Transactions with Related Parties - Summary of Correspondent Production Activity (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
Related Party Transaction [Line Items] | |||||
Fulfillment fees earned by PLS | $ 27,255 | $ 17,553 | $ 59,301 | $ 45,752 | |
Purchases of mortgage loans acquired for sale at fair value from PLS | 13,146 | 13,708 | |||
Mortgage loans included in Mortgage loans acquired for sale at fair value pending sale to PLS | 2,043,453 | 2,043,453 | $ 1,283,795 | ||
Penny Mac Loan Services LLC [Member] | |||||
Related Party Transaction [Line Items] | |||||
Fulfillment fees earned by PLS | 27,255 | 17,553 | 59,301 | 45,752 | |
Unpaid principal balance (“UPB”) of mortgage loans fulfilled by PLS | 7,263,557 | 4,073,201 | 15,696,940 | 10,542,411 | |
Sourcing fees received from PLS included in Net gain on mortgage loans acquired for sale | 3,509 | 3,236 | 8,282 | 7,084 | |
UPB of mortgage loans sold to PLS | 11,694,065 | 10,783,882 | 27,599,186 | 23,602,020 | |
Purchases of mortgage loans acquired for sale at fair value from PLS | 5,007 | 2,880 | 13,146 | 13,708 | |
Tax service fee paid to PLS included in Other expense | 2,066 | 1,291 | 4,537 | 3,293 | |
Early purchase program fees paid to PLS included in Mortgage loan servicing fees | 5 | $ 0 | 7 | $ 0 | |
Mortgage loans included in Mortgage loans acquired for sale at fair value pending sale to PLS | $ 575,487 | $ 575,487 | $ 669,288 |
Transactions with Related Par74
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 | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | $ 11,039 | $ 11,736 | $ 38,919 | $ 34,542 |
MSR recapture income recognized included in Net mortgage loan servicing fees | 409 | 670 | 849 | 670 |
Average MSR portfolio | 48,997,875 | 38,172,371 | 46,125,926 | 36,446,663 |
Penny Mac Loan Services LLC [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 11,039 | 11,736 | 38,919 | 34,542 |
MSR recapture income recognized included in Net mortgage loan servicing fees | 409 | 670 | 849 | 670 |
Average MSR portfolio | 48,997,875 | 38,172,371 | 46,125,926 | 36,446,663 |
Penny Mac Loan Services LLC [Member] | Mortgage loans acquired for sale at fair value [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 300 | 283 | 722 | 441 |
Average MSR portfolio | 1,607,564 | 1,783,011 | 1,317,230 | 1,189,754 |
Penny Mac Loan Services LLC [Member] | Distressed mortgage loans [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 5,629 | 6,857 | 23,862 | 21,001 |
Average MSR portfolio | 1,579,246 | 2,201,533 | 1,810,779 | 2,268,538 |
Penny Mac Loan Services LLC [Member] | Mortgage loans held in VIE [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 66 | 34 | 158 | 92 |
Average MSR portfolio | 413,749 | 481,925 | 434,967 | 504,351 |
Penny Mac Loan Services LLC [Member] | Mortgage servicing rights [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 5,044 | 4,562 | 14,177 | 13,008 |
Penny Mac Loan Services LLC [Member] | Base [Member] | Mortgage loans acquired for sale at fair value [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 90 | 130 | 225 | 198 |
Penny Mac Loan Services LLC [Member] | Base [Member] | Distressed mortgage loans [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 2,615 | 3,896 | 8,881 | 12,053 |
Penny Mac Loan Services LLC [Member] | Base [Member] | Mortgage loans held in VIE [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 65 | 34 | 157 | 92 |
Penny Mac Loan Services LLC [Member] | Base [Member] | Mortgage servicing rights [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 4,913 | 4,473 | 13,841 | 12,783 |
Penny Mac Loan Services LLC [Member] | Activity-based [Member] | Mortgage loans acquired for sale at fair value [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 210 | 153 | 497 | 243 |
Penny Mac Loan Services LLC [Member] | Activity-based [Member] | Distressed mortgage loans [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 3,014 | 2,961 | 14,981 | 8,948 |
Penny Mac Loan Services LLC [Member] | Activity-based [Member] | Mortgage loans held in VIE [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 1 | 0 | 1 | 0 |
Penny Mac Loan Services LLC [Member] | Activity-based [Member] | Mortgage servicing rights [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | $ 131 | $ 89 | $ 336 | $ 225 |
Transactions with Related Par75
Transactions with Related Parties - Summary of Base Management and Performance Incentive Fees Payable (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Related Party Transaction [Line Items] | ||||
Total management fee incurred during the period | $ 5,025 | $ 5,742 | $ 15,576 | $ 18,524 |
PNMAC Capital Management LLC [Member] | ||||
Related Party Transaction [Line Items] | ||||
Total management fee incurred during the period | 5,025 | 5,742 | 15,576 | 18,524 |
PNMAC Capital Management LLC [Member] | Base [Member] | ||||
Related Party Transaction [Line Items] | ||||
Total management fee incurred during the period | 5,025 | 5,742 | 15,576 | 17,181 |
PNMAC Capital Management LLC [Member] | Performance incentive [Member] | ||||
Related Party Transaction [Line Items] | ||||
Total management fee incurred during the period | $ 0 | $ 0 | $ 0 | $ 1,343 |
Transactions with Related Par76
Transactions with Related Parties - Summary of Expenses (Detail) - PNMAC Capital Management LLC [Member] - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Related Party Transaction [Line Items] | ||||
Common overhead incurred by PCM and its affiliates | $ 1,417 | $ 2,694 | $ 6,413 | $ 8,125 |
Expenses incurred on the Company’s (PFSI's) behalf, net | 13 | (85) | (102) | 377 |
Total expenses incurred in transaction with affiliates | 1,430 | 2,609 | 6,311 | 8,502 |
Payments and settlements during the year | $ 45,988 | $ 17,709 | $ 102,600 | $ 64,575 |
Transactions with Related Par77
Transactions with Related Parties - Summary of Amounts Receivable From and Payable to PFSI (Detail) - PennyMac Financial Services, Inc. [Member] - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Receivable from PFSI: | ||
MSR recapture receivable | $ 450 | $ 781 |
Other | 5,326 | 8,025 |
Due from Affiliates | 5,776 | 8,806 |
Payable to PFSI: | ||
Management fees | 5,025 | 5,670 |
Servicing fees | 3,641 | 3,682 |
Allocated expenses and expenses paid by PFSI on PMT’s behalf | 3,227 | 4,490 |
Fulfillment fees | 926 | 1,082 |
Conditional Reimbursement | 900 | 900 |
Interest on Note payable to PFSI | 536 | 412 |
Correspondent production fees | 492 | 2,729 |
Total expense due to affiliate | $ 14,747 | $ 18,965 |
Transactions with Related Par78
Transactions with Related Parties - Note Payable to PLS - Additional Information (Detail) - USD ($) | Aug. 04, 2009 | Sep. 30, 2016 | Sep. 30, 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 | $ 705,000 | |||
Loan Agreement [Member] | |||||
Related Party Transaction [Line Items] | |||||
Maximum borrowing capacity of loan amount | $ 150,000,000 | ||||
Outstanding borrowings | $ 150,000,000 | $ 150,000,000 | |||
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 |
Transactions with Related Par79
Transactions with Related Parties - Summary of Investing Activity (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Related Party Transaction [Line Items] | ||||
Mortgage loans at fair value for sale to PFSI | $ 891 | $ 1,466 | ||
ESS: | ||||
Purchases | 0 | 271,452 | ||
Interest income | $ 58,134 | $ 61,438 | 164,266 | 147,456 |
Net (loss) gain included in Net (loss) gain on investments: | ||||
Net (loss) gain on investments | 14,279 | 24,958 | (5,106) | 51,019 |
PennyMac Financial Services, Inc. [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loans at fair value for sale to PFSI | 891 | 1,466 | 891 | 1,466 |
ESS: | ||||
Purchases | 0 | 84,165 | 0 | 271,452 |
Received pursuant to a recapture agreement | 1,438 | 2,268 | 5,039 | 4,833 |
Repayments and sales | 16,342 | 24,717 | 113,668 | 55,800 |
Interest income | 4,827 | 8,026 | 17,555 | 17,596 |
Net (loss) gain included in Net (loss) gain on investments: | ||||
Valuation changes | (4,107) | (10,272) | (40,984) | (10,675) |
Recapture income | 1,283 | 2,428 | 4,709 | 5,173 |
Net (loss) gain on investments | $ (2,824) | $ (7,844) | $ (36,275) | $ (5,502) |
Transactions with Related Par80
Transactions with Related Parties - Summary of Financing Activities (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Related Party Transaction [Line Items] | ||||
Note payable—Interest expense | $ 40,330 | $ 37,760 | $ 108,927 | $ 93,245 |
PennyMac Financial Services, Inc. [Member] | ||||
Related Party Transaction [Line Items] | ||||
Note payable—Interest expense | 1,974 | 1,289 | 5,798 | 1,822 |
PennyMac Financial Services, Inc. [Member] | Affiliated Entity [Member] | ||||
Related Party Transaction [Line Items] | ||||
Note payable—Interest expense | 1,974 | 1,289 | 5,798 | 1,822 |
PNMAC Capital Management LLC [Member] | ||||
Related Party Transaction [Line Items] | ||||
Conditional Reimbursements paid to PCM | $ 0 | $ 7 | $ 0 | $ 237 |
Earnings Per Share - Summary of
Earnings Per Share - Summary of Basic and Diluted Earnings per Share (Detail) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Basic earnings per share: | ||||
Net income | $ 35,408 | $ 38,812 | $ 44,637 | $ 74,391 |
Effect of participating securities—share-based compensation awards | (341) | (361) | (1,026) | (1,352) |
Net income attributable to common shareholders | 35,067 | 38,451 | 43,611 | 73,039 |
Diluted earnings per share: | ||||
Net income attributable to common shareholders | 35,067 | 38,451 | 43,611 | 73,039 |
Interest on Exchangeable Notes, net of income taxes | 2,181 | 2,123 | 0 | 6,364 |
Net income attributable to common diluted shareholders | $ 37,248 | $ 40,574 | $ 43,611 | $ 79,403 |
Weighted-average basic shares outstanding | 67,554 | 74,681 | 69,289 | 74,675 |
Dilutive securities: | ||||
Shares issuable under share-based compensation plan | 308 | 316 | 0 | 397 |
Shares issuable pursuant to exchange of the Exchangeable Notes | 8,467 | 8,414 | 0 | 8,414 |
Diluted weighted-average number of shares outstanding | 76,329 | 83,411 | 69,289 | 83,486 |
Basic earnings per share | $ 0.52 | $ 0.51 | $ 0.63 | $ 0.98 |
Diluted earnings per share | $ 0.49 | $ 0.49 | $ 0.63 | $ 0.95 |
Earnings Per Share - Summary 82
Earnings Per Share - Summary of Potentially Dilutive Shares Excluded from Computation of Diluted Earnings Per Share (Detail) - shares shares in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Share-based Compensation Awards [Member] | ||||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | ||||
Potentially dilutive stock excluded from the diluted earnings per share | 0 | 0 | 717 | 0 |
Exchangeable Notes [Member] | ||||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | ||||
Potentially dilutive stock excluded from the diluted earnings per share | 0 | 0 | 8,467 | 0 |
Loan Sales and Variable Inter83
Loan Sales and Variable Interest Entities - Summary of Cash Flows between Company and Transferees in Transfers Accounted for Sales (Detail) - Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member] - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
Cash flows: | |||||
Proceeds from sales | $ 6,857,691 | $ 4,885,668 | $ 15,323,444 | $ 10,593,309 | |
Mortgage loan servicing fees received | 31,514 | $ 25,054 | 88,269 | $ 69,876 | |
UPB of mortgage loans outstanding | 50,908,319 | 50,908,319 | $ 42,300,338 | ||
Delinquent mortgage loans: | |||||
30-89 days delinquent | 217,191 | 217,191 | 175,599 | ||
90 or more days delinquent: | |||||
Not in foreclosure or bankruptcy | 45,096 | 45,096 | 38,669 | ||
In foreclosure or bankruptcy | 53,772 | 53,772 | 31,386 | ||
Unpaid principal balance of loans outstanding at period-end | 98,868 | 98,868 | 70,055 | ||
Unpaid principal balance of delinquent mortgage loans | $ 316,059 | $ 316,059 | $ 245,654 |
Loan Sales and Variable Inter84
Loan Sales and Variable Interest Entities - Summary of Credit Risk Transfer Agreements (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
During the period: | |||||
Deposits of cash securing CRT Agreements | $ 282,434 | $ 87,891 | |||
Carrying value of CRT Agreements: | |||||
Deposits securing credit risk transfer agreements | $ 427,677 | 427,677 | $ 147,000 | ||
Interest-only security payable at fair value | 1,699 | 1,699 | 0 | ||
Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member] | Credit Risk Transfer Agreements [Member] | |||||
During the period: | |||||
UPB of mortgage loans sold under CRT Agreements | 3,357,443 | $ 2,400,433 | 8,442,187 | 2,400,433 | |
Deposits of cash securing CRT Agreements | 89,697 | 59,841 | 282,434 | 87,891 | |
Gains recognized on CRT Agreements included in Net gain (loss) on investments | |||||
Realized | 6,206 | 0 | 12,601 | 0 | |
Resulting from valuation changes | 12,271 | 626 | 9,497 | 626 | |
Gains (losses) recognized on net derivative related to credit risk transactions | 18,477 | 626 | 22,098 | 626 | |
Payments made to settle losses | 28 | $ 0 | 28 | $ 0 | |
UPB of mortgage loans subject to credit guarantee obligations | 12,196,636 | 12,196,636 | 4,546,265 | ||
Delinquency status (in UPB): | |||||
Current—89 days delinquent | 12,192,306 | 12,192,306 | 4,546,265 | ||
90 or more days delinquent | 3,125 | 3,125 | 0 | ||
Foreclosure | 1,205 | 1,205 | 0 | ||
Carrying value of CRT Agreements: | |||||
Deposits securing credit risk transfer agreements | 427,677 | 427,677 | 147,000 | ||
Interest-only security payable at fair value | 1,699 | 1,699 | 0 | ||
Commitments to fund Deposits securing credit risk transfer agreements | 35,106 | 35,106 | 0 | ||
Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member] | Credit Risk Transfer Agreements [Member] | Derivative Assets [Member] | |||||
Carrying value of CRT Agreements: | |||||
Derivative assets | $ 16,662 | $ 16,662 | $ 593 |
Loan Sales and Variable Inter85
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 | Sep. 30, 2016 | Dec. 31, 2015 |
Mortgage Loans on Real Estate [Line Items] | |||
Certificates issued | $ 537 | $ 208.8 | $ 111 |
Weighted yield | 3.90% | ||
Fair value of certificates retained | $ 366.8 | $ 9.4 |
Netting of Financial Instrume86
Netting of Financial Instruments - Summary of Offsetting of Derivative Assets (Detail) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | $ 62,422 | $ 13,385 |
Gross amounts offset in the consolidated balance sheet | (17,648) | (3,300) |
Net amounts of assets presented in the consolidated balance sheet | 44,774 | 10,085 |
Net amounts of assets presented in the consolidated balance sheet | (17,648) | (3,300) |
CRT Agreements [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 16,662 | 593 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 16,662 | 593 |
Interest Rate Lock Commitments [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 15,535 | 4,983 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 15,535 | 4,983 |
Forward Purchase Contracts [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 21,031 | 2,444 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 21,031 | 2,444 |
Forward Sales Contracts [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 1,308 | 2,604 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 1,308 | 2,604 |
Derivatives Not Subject to Master Netting Arrangements [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 32,197 | 5,576 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 32,197 | 5,576 |
MBS Put Options [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 3,441 | 93 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 3,441 | 93 |
Put Options on Interest Rate Futures [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 2,480 | 1,512 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 2,480 | 1,512 |
Call Options on Interest Rate Futures [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 1,965 | 1,156 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 1,965 | 1,156 |
Netting [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 0 | 0 |
Gross amounts offset in the consolidated balance sheet | (17,648) | (3,300) |
Net amounts of assets presented in the consolidated balance sheet | (17,648) | (3,300) |
Derivatives Subject to Master Netting Arrangements [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 30,225 | 7,809 |
Gross amounts offset in the consolidated balance sheet | (17,648) | (3,300) |
Net amounts of assets presented in the consolidated balance sheet | $ 12,577 | $ 4,509 |
Netting of Financial Instrume87
Netting of Financial Instruments - Summary of Derivative Assets and Collateral Held by Counterparty (Detail) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | $ 44,774 | $ 10,085 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 44,774 | 10,085 |
CRT Agreements [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | 16,662 | 593 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 16,662 | 593 |
Interest Rate Lock Commitments [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | 15,535 | 4,983 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 15,535 | 4,983 |
Federal National Mortgage Association [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | 3,401 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 3,401 | 0 |
RJ O'Brien & Associates, LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | 2,672 | 1,672 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 2,672 | 1,672 |
JPMorgan Chase & Co. [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | 2,500 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 2,500 | 0 |
Jefferies Group, LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | 1,285 | 541 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 1,285 | 541 |
Bank of America, N.A. [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | 752 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 752 | 0 |
Goldman Sachs [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | 593 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 593 | 0 |
Wells Fargo Bank, N.A. [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | 537 | 99 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 537 | 99 |
Barclays Capital [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | 277 | 796 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 277 | 796 |
Nomura Securities International, Inc [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | 409 | 119 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 409 | 119 |
Royal Bank of Canada [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | 0 | 400 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 0 | 400 |
Morgan Stanley Bank, N.A. [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | 0 | 464 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 0 | 464 |
Ally Financial [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | 0 | 209 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 0 | 209 |
Other [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | 151 | 209 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | $ 151 | $ 209 |
Netting of Financial Instrume88
Netting of Financial Instruments - Schedule of Offsetting of Derivative Liabilities and Financial Liabilities (Detail) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | $ 4,062,522 | $ 3,135,915 |
Gross amounts offset in the consolidated balance sheet | (19,817) | (3,978) |
Net amounts of liabilities presented in the consolidated balance sheet | 4,042,705 | 3,131,937 |
Unpaid Principal Balance [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 4,042,150 | 3,130,328 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 4,042,150 | 3,130,328 |
Interest Rate Lock Commitments [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 207 | 337 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 207 | 337 |
Forward Purchase Contracts [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 808 | 3,774 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 808 | 3,774 |
Forward Sales Contracts [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 20,234 | 2,680 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 20,234 | 2,680 |
Derivatives Not Subject to Master Netting Arrangements [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 207 | 337 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 207 | 337 |
Put Options on Interest Rate Futures [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 188 | 39 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 188 | 39 |
Call Options on Interest Rate Futures [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 0 | 305 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 0 | 305 |
Netting [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 0 | 0 |
Gross amounts offset in the consolidated balance sheet | (19,817) | (3,978) |
Net amounts of liabilities presented in the consolidated balance sheet | (19,817) | (3,978) |
Derivatives Subject to Master Netting Arrangements [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 21,230 | 6,798 |
Gross amounts offset in the consolidated balance sheet | (19,817) | (3,978) |
Net amounts of liabilities presented in the consolidated balance sheet | 1,413 | 2,820 |
Derivative Liabilities Before Netting [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 21,437 | 7,135 |
Gross amounts offset in the consolidated balance sheet | (19,817) | (3,978) |
Net amounts of liabilities presented in the consolidated balance sheet | 1,620 | 3,157 |
Unamortized Debt Issuance Costs [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | (1,065) | (1,548) |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | (1,065) | (1,548) |
Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 4,041,085 | 3,128,780 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | $ 4,041,085 | $ 3,128,780 |
Netting of Financial Instrume89
Netting of Financial Instruments - Summary of Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty (Detail) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | $ 4,042,705 | $ 3,131,937 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (4,041,085) | (3,128,780) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 1,620 | 3,157 |
Interest Rate Lock Commitments [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 207 | 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 | 207 | 337 |
Credit Suisse First Boston Mortgage Capital LLC [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 1,259,028 | 893,947 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (1,258,630) | (893,854) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 398 | 93 |
Citibank, N.A. [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 899,840 | 817,089 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (899,717) | (816,699) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 123 | 390 |
Bank of America, N.A. [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 650,204 | 538,755 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (650,204) | (538,515) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 240 |
JPMorgan Chase & Co. [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 544,610 | 467,427 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (544,610) | (467,145) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 282 |
Barclays Capital [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 154,120 | 24,346 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (154,120) | (24,346) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Daiwa Capital Markets [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 189,119 | 165,480 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (188,949) | (165,480) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 170 | 0 |
Wells Fargo, N.A. [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 122,453 | 0 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (122,453) | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Morgan Stanley Bank, N.A. [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 116,603 | 214,086 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (116,579) | (214,086) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 24 | 0 |
Royal Bank of Canada [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 60,424 | 0 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (60,258) | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 166 | 0 |
BNP Paribas [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 46,630 | 10,203 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (46,630) | (10,203) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Goldman Sachs [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 0 | 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 | 0 | 819 |
Other [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 532 | 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 | 532 | 72 |
Federal National Mortgage Association [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 0 | 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 | 0 | 924 |
Unamortized Debt Issuance Costs [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | (1,065) | (1,548) |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 1,065 | 1,548 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | $ 0 | $ 0 |
Fair Value - Additional Informa
Fair Value - Additional Information (Detail) - USD ($) $ in Millions | 9 Months Ended | |
Sep. 30, 2016 | Dec. 31, 2015 | |
Mortgage Loans On Real Estate [Line Items] | ||
Mortgage loans description | Note interest rate pools of 50 basis points | |
Basis point for mortgage loan | 0.50% | |
Fair value of exchangeable senior notes | $ 239.5 | $ 230 |
Minimum [Member] | ||
Mortgage Loans On Real Estate [Line Items] | ||
Fixed-rate mortgage loans | 3.00% | |
Maximum [Member] | ||
Mortgage Loans On Real Estate [Line Items] | ||
Fixed-rate mortgage loans | 4.50% | |
Non-Commercial Real Estate Secured Mortgage Loans [Member] | ||
Mortgage Loans On Real Estate [Line Items] | ||
Initial interest rates | More than 4.5% | |
Non-Commercial Real Estate Secured Mortgage Loans [Member] | Minimum [Member] | ||
Mortgage Loans On Real Estate [Line Items] | ||
Interest rate | 4.50% |
Fair Value - Summary of Financi
Fair Value - Summary of Financial Statement Items Measured at Fair Value on Recurring Basis (Detail) - USD ($) $ in Thousands | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Dec. 31, 2014 |
Assets: | ||||||
Short-term investments | $ 33,353 | $ 41,865 | ||||
Mortgage-backed securities at fair value | 708,862 | 322,473 | ||||
Mortgage loans acquired for sale at fair value | 2,043,453 | 1,283,795 | ||||
Derivative assets: | ||||||
Derivative assets | 62,422 | 13,385 | ||||
Derivative assets, Netting | (17,648) | (3,300) | ||||
Net amounts of assets presented in the consolidated balance sheet | 44,774 | 10,085 | ||||
Mortgage servicing rights at fair value | 55,843 | $ 57,977 | 66,584 | $ 57,751 | $ 57,343 | $ 57,358 |
Liabilities: | ||||||
Asset-backed financing of a VIE at fair value | 384,407 | 247,690 | ||||
Interest-only security payable at fair value | 1,699 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 1,620 | 3,157 | ||||
Total derivative liabilities | 21,437 | 7,135 | ||||
Derivative liabilities, Netting | (19,817) | (3,978) | ||||
CRT Agreements [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 16,662 | 593 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Net amounts of assets presented in the consolidated balance sheet | 16,662 | 593 | ||||
Derivative liabilities: | ||||||
Total derivative liabilities | 0 | 0 | ||||
Interest Rate Lock Commitments [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 15,535 | 4,983 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Net amounts of assets presented in the consolidated balance sheet | 15,535 | 4,983 | ||||
Derivative liabilities: | ||||||
Total derivative liabilities | 207 | 337 | ||||
Forward Sales Contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 1,308 | 2,604 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Net amounts of assets presented in the consolidated balance sheet | 1,308 | 2,604 | ||||
Derivative liabilities: | ||||||
Total derivative liabilities | 20,234 | 2,680 | ||||
Forward Purchase Contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 21,031 | 2,444 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Net amounts of assets presented in the consolidated balance sheet | 21,031 | 2,444 | ||||
Derivative liabilities: | ||||||
Total derivative liabilities | 808 | 3,774 | ||||
Recurring [Member] | ||||||
Assets: | ||||||
Short-term investments | 33,353 | 41,865 | ||||
Mortgage-backed securities at fair value | 708,862 | 322,473 | ||||
Mortgage loans acquired for sale at fair value | 2,043,453 | 1,283,795 | ||||
Mortgage loans at fair value | 1,957,117 | 2,555,788 | ||||
Excess servicing spread purchased from PFSI | 280,367 | 412,425 | ||||
Derivative assets: | ||||||
Derivative assets | 62,422 | 13,385 | ||||
Derivative assets, Netting | (17,648) | (3,300) | ||||
Net amounts of assets presented in the consolidated balance sheet | 44,774 | 10,085 | ||||
Mortgage servicing rights at fair value | 55,843 | 66,584 | ||||
Total Assets | 5,123,769 | 4,693,015 | ||||
Liabilities: | ||||||
Asset-backed financing of a VIE at fair value | 384,407 | 247,690 | ||||
Interest-only security payable at fair value | 1,699 | |||||
Derivative liabilities: | ||||||
Derivative liabilities | 1,620 | 3,157 | ||||
Total derivative liabilities | 21,437 | 7,135 | ||||
Derivative liabilities, Netting | (19,817) | (3,978) | ||||
Total liabilities | 387,726 | 250,847 | ||||
Recurring [Member] | Level 1 [Member] | ||||||
Assets: | ||||||
Short-term investments | 33,353 | 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: | ||||||
Derivative assets | 4,445 | 2,668 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Net amounts of assets presented in the consolidated balance sheet | 4,445 | 2,668 | ||||
Mortgage servicing rights at fair value | 0 | 0 | ||||
Total Assets | 37,798 | 44,533 | ||||
Liabilities: | ||||||
Asset-backed financing of a VIE at fair value | 0 | 0 | ||||
Interest-only security payable at fair value | 0 | |||||
Derivative liabilities: | ||||||
Derivative liabilities | 188 | 344 | ||||
Total derivative liabilities | 188 | 344 | ||||
Derivative liabilities, Netting | 0 | 0 | ||||
Total liabilities | 188 | 344 | ||||
Recurring [Member] | Level 2 [Member] | ||||||
Assets: | ||||||
Short-term investments | 0 | 0 | ||||
Mortgage-backed securities at fair value | 708,862 | 322,473 | ||||
Mortgage loans acquired for sale at fair value | 2,043,453 | 1,283,795 | ||||
Mortgage loans at fair value | 397,740 | 455,394 | ||||
Excess servicing spread purchased from PFSI | 0 | 0 | ||||
Derivative assets: | ||||||
Derivative assets | 25,780 | 5,141 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Net amounts of assets presented in the consolidated balance sheet | 25,780 | 5,141 | ||||
Mortgage servicing rights at fair value | 0 | 0 | ||||
Total Assets | 3,175,835 | 2,066,803 | ||||
Liabilities: | ||||||
Asset-backed financing of a VIE at fair value | 384,407 | 247,690 | ||||
Interest-only security payable at fair value | 0 | |||||
Derivative liabilities: | ||||||
Derivative liabilities | 21,042 | 6,454 | ||||
Total derivative liabilities | 21,042 | 6,454 | ||||
Derivative liabilities, Netting | 0 | 0 | ||||
Total liabilities | 405,449 | 254,144 | ||||
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 | 1,559,377 | 2,100,394 | ||||
Excess servicing spread purchased from PFSI | 280,367 | 412,425 | ||||
Derivative assets: | ||||||
Derivative assets | 32,197 | 5,576 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Net amounts of assets presented in the consolidated balance sheet | 32,197 | 5,576 | ||||
Mortgage servicing rights at fair value | 55,843 | 66,584 | ||||
Total Assets | 1,927,784 | 2,584,979 | ||||
Liabilities: | ||||||
Asset-backed financing of a VIE at fair value | 0 | 0 | ||||
Interest-only security payable at fair value | 1,699 | |||||
Derivative liabilities: | ||||||
Derivative liabilities | 207 | 337 | ||||
Total derivative liabilities | 207 | 337 | ||||
Derivative liabilities, Netting | 0 | 0 | ||||
Total liabilities | 1,906 | 337 | ||||
Recurring [Member] | CRT Agreements [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 16,662 | 593 | ||||
Recurring [Member] | CRT Agreements [Member] | Level 1 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Recurring [Member] | CRT Agreements [Member] | Level 2 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Recurring [Member] | CRT Agreements [Member] | Level 3 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 16,662 | 593 | ||||
Recurring [Member] | Interest Rate Lock Commitments [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 15,535 | 4,983 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 207 | 337 | ||||
Recurring [Member] | Interest Rate Lock Commitments [Member] | Level 1 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Recurring [Member] | Interest Rate Lock Commitments [Member] | Level 2 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Recurring [Member] | Interest Rate Lock Commitments [Member] | Level 3 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 15,535 | 4,983 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 207 | 337 | ||||
Recurring [Member] | Forward Sales Contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 1,308 | 2,604 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 20,234 | 2,680 | ||||
Recurring [Member] | Forward Sales Contracts [Member] | Level 1 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Recurring [Member] | Forward Sales Contracts [Member] | Level 2 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 1,308 | 2,604 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 20,234 | 2,680 | ||||
Recurring [Member] | Forward Sales Contracts [Member] | Level 3 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Recurring [Member] | Forward Purchase Contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 21,031 | 2,444 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 808 | 3,774 | ||||
Recurring [Member] | Forward Purchase Contracts [Member] | Level 1 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Recurring [Member] | Forward Purchase Contracts [Member] | Level 2 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 21,031 | 2,444 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 808 | 3,774 | ||||
Recurring [Member] | Forward Purchase Contracts [Member] | Level 3 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
MBS Call Options [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 3,441 | 93 | ||||
Derivative liabilities: | ||||||
Total derivative liabilities | 0 | 0 | ||||
MBS Call Options [Member] | Recurring [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 3,441 | |||||
MBS Call Options [Member] | Recurring [Member] | Level 1 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | |||||
MBS Call Options [Member] | Recurring [Member] | Level 2 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 3,441 | |||||
MBS Call Options [Member] | Recurring [Member] | Level 3 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | |||||
MBS Put Options [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 3,441 | 93 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Net amounts of assets presented in the consolidated balance sheet | 3,441 | 93 | ||||
MBS Put Options [Member] | Recurring [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 93 | |||||
MBS Put Options [Member] | Recurring [Member] | Level 1 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | |||||
MBS Put Options [Member] | Recurring [Member] | Level 2 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 93 | |||||
MBS Put Options [Member] | Recurring [Member] | Level 3 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | |||||
Call Options on Interest Rate Futures [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 1,965 | 1,156 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Net amounts of assets presented in the consolidated balance sheet | 1,965 | 1,156 | ||||
Derivative liabilities: | ||||||
Total derivative liabilities | 0 | 305 | ||||
Call Options on Interest Rate Futures [Member] | Recurring [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 1,965 | 1,156 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 305 | |||||
Call Options on Interest Rate Futures [Member] | Recurring [Member] | Level 1 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 1,965 | 1,156 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 305 | |||||
Call Options on Interest Rate Futures [Member] | Recurring [Member] | Level 2 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | |||||
Call Options on Interest Rate Futures [Member] | Recurring [Member] | Level 3 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | |||||
Put Options on Interest Rate Futures [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 2,480 | 1,512 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Net amounts of assets presented in the consolidated balance sheet | 2,480 | 1,512 | ||||
Derivative liabilities: | ||||||
Total derivative liabilities | 188 | 39 | ||||
Put Options on Interest Rate Futures [Member] | Recurring [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 2,480 | 1,512 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 188 | 39 | ||||
Put Options on Interest Rate Futures [Member] | Recurring [Member] | Level 1 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 2,480 | 1,512 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 188 | 39 | ||||
Put Options on Interest Rate Futures [Member] | Recurring [Member] | Level 2 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Put Options on Interest Rate Futures [Member] | Recurring [Member] | Level 3 [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 | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Assets: | ||||
Servicing received as proceeds from sales of mortgage loans | $ 1,068 | $ 5,674 | $ 6,215 | $ 9,169 |
Recurring [Member] | ||||
Assets: | ||||
Beginning balance | 1,976,329 | 2,663,122 | 2,584,642 | 2,453,768 |
Purchases and issuances | 30,429 | 95,999 | 58,941 | 556,350 |
Repayments and sales | (46,263) | (81,739) | (563,315) | (226,893) |
Capitalization of interest | 27,895 | 22,875 | 80,338 | 52,575 |
ESS received pursuant to a recapture agreement with PFSI | 1,438 | 2,268 | 5,039 | 4,833 |
Servicing received as proceeds from sales of mortgage loans | 1,068 | 5,674 | 6,215 | 9,169 |
Proceeds from CRT Agreements | (6,206) | (12,601) | ||
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 9,699 | 9,255 | 29,480 | 29,563 |
Other factors | 26,013 | 24,184 | 7,903 | 23,818 |
Total | 35,712 | 33,439 | 37,383 | 53,381 |
Transfers of mortgage loans to REO and real estate held for investment | (39,276) | (151,685) | ||
Transfers of mortgage loans to REO | (76,205) | (224,138) | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | (55,248) | (19,218) | (119,079) | (32,830) |
Ending balance | 1,925,878 | 2,646,215 | 1,925,878 | 2,646,215 |
Changes in fair value recognized during the period relating to assets | 23,825 | 26,866 | (23,304) | 70,867 |
Recurring [Member] | CRT Agreements [Member] | ||||
Assets: | ||||
Beginning balance | (199) | 593 | 0 | |
Purchases and issuances | 0 | 0 | 0 | |
Repayments and sales | 0 | 0 | 0 | 0 |
Capitalization of interest | 0 | 0 | 0 | 0 |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | 0 |
Servicing received as proceeds from sales of mortgage loans | 0 | 0 | 0 | 0 |
Proceeds from CRT Agreements | (6,206) | (12,601) | ||
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 0 | 0 | ||
Other factors | 23,067 | 626 | 28,670 | 626 |
Total | 23,067 | 626 | 28,670 | 626 |
Transfers of mortgage loans to REO and real estate held for investment | 0 | 0 | ||
Transfers of mortgage loans to REO | 0 | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Ending balance | 16,662 | 626 | 16,662 | 626 |
Changes in fair value recognized during the period relating to assets | 16,662 | 626 | 16,662 | 626 |
Recurring [Member] | Interest Rate Lock Commitments [Member] | ||||
Assets: | ||||
Beginning balance | 16,757 | (267) | 4,646 | 5,661 |
Purchases and issuances | 30,429 | 11,834 | 58,475 | 42,917 |
Repayments and sales | 0 | 0 | 0 | 0 |
Capitalization of interest | 0 | 0 | 0 | 0 |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | 0 |
Servicing received as proceeds from sales of mortgage loans | 0 | 0 | 0 | 0 |
Proceeds from CRT Agreements | 0 | 0 | ||
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 0 | 0 | 0 | 0 |
Other factors | 23,390 | 16,458 | 71,286 | (6,941) |
Total | 23,390 | 16,458 | 71,286 | (6,941) |
Transfers of mortgage loans to REO and real estate held for investment | 0 | 0 | ||
Transfers of mortgage loans to REO | 0 | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | (55,248) | (19,218) | (119,079) | (32,830) |
Ending balance | 15,328 | 8,807 | 15,328 | 8,807 |
Changes in fair value recognized during the period relating to assets | 15,328 | 8,807 | 15,328 | 8,807 |
Recurring [Member] | Interest-only security payable [Member] | ||||
Assets: | ||||
Beginning balance | (1,663) | 0 | ||
Purchases and issuances | 0 | (2,136) | ||
Repayments and sales | 0 | 0 | ||
Capitalization of interest | 0 | 0 | ||
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | ||
Servicing received as proceeds from sales of mortgage loans | 0 | 0 | ||
Proceeds from CRT Agreements | 0 | 0 | ||
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 0 | 0 | ||
Other factors | (36) | 437 | ||
Total | (36) | 437 | ||
Transfers of mortgage loans to REO and real estate held for investment | 0 | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | ||
Ending balance | (1,699) | (1,699) | ||
Changes in fair value recognized during the period relating to assets | (36) | 437 | ||
Recurring [Member] | Mortgage loans at fair value [Member] | ||||
Assets: | ||||
Beginning balance | 1,608,906 | 2,246,944 | 2,100,394 | 2,199,583 |
Purchases and issuances | 0 | 0 | 0 | 241,981 |
Repayments and sales | (29,921) | (57,022) | (449,647) | (171,093) |
Capitalization of interest | 23,068 | 14,849 | 62,783 | 34,979 |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | 0 |
Servicing received as proceeds from sales of mortgage loans | 0 | 0 | 0 | 0 |
Proceeds from CRT Agreements | 0 | 0 | ||
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 9,699 | 9,255 | 29,480 | 29,563 |
Other factors | (13,099) | 22,638 | (31,948) | 49,584 |
Total | (3,400) | 31,893 | (2,468) | 79,147 |
Transfers of mortgage loans to REO and real estate held for investment | (39,276) | (151,685) | ||
Transfers of mortgage loans to REO | (76,205) | (224,138) | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Ending balance | 1,559,377 | 2,160,459 | 1,559,377 | 2,160,459 |
Changes in fair value recognized during the period relating to assets | (820) | 32,971 | (2,399) | 80,885 |
Recurring [Member] | Excess servicing spread [Member] | ||||
Assets: | ||||
Beginning balance | 294,551 | 359,102 | 412,425 | 191,166 |
Purchases and issuances | 0 | 84,165 | 0 | 271,452 |
Repayments and sales | (16,342) | (24,717) | (113,668) | (55,800) |
Capitalization of interest | 4,827 | 8,026 | 17,555 | 17,596 |
ESS received pursuant to a recapture agreement with PFSI | 1,438 | 2,268 | 5,039 | 4,833 |
Servicing received as proceeds from sales of mortgage loans | 0 | 0 | 0 | 0 |
Proceeds from CRT Agreements | 0 | 0 | ||
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 0 | 0 | 0 | 0 |
Other factors | (4,107) | (10,272) | (40,984) | (10,675) |
Total | (4,107) | (10,272) | (40,984) | (10,675) |
Transfers of mortgage loans to REO and real estate held for investment | 0 | 0 | ||
Transfers of mortgage loans to REO | 0 | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Ending balance | 280,367 | 418,572 | 280,367 | 418,572 |
Changes in fair value recognized during the period relating to assets | (4,107) | (10,272) | (33,774) | (10,675) |
Recurring [Member] | Mortgage servicing rights [Member] | ||||
Assets: | ||||
Beginning balance | 57,977 | 57,343 | 66,584 | 57,358 |
Purchases and issuances | 0 | 0 | 2,602 | 0 |
Repayments and sales | 0 | 0 | 0 | 0 |
Capitalization of interest | 0 | 0 | 0 | 0 |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | 0 |
Servicing received as proceeds from sales of mortgage loans | 1,068 | 5,674 | 6,215 | 9,169 |
Proceeds from CRT Agreements | 0 | 0 | ||
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 0 | 0 | 0 | 0 |
Other factors | (3,202) | (5,266) | (19,558) | (8,776) |
Total | (3,202) | (5,266) | (19,558) | (8,776) |
Transfers of mortgage loans to REO and real estate held for investment | 0 | 0 | ||
Transfers of mortgage loans to REO | 0 | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Ending balance | 55,843 | 57,751 | 55,843 | 57,751 |
Changes in fair value recognized during the period relating to assets | $ (3,202) | $ (5,266) | $ (19,558) | $ (8,776) |
Fair Value - Fair Values and Re
Fair Value - Fair Values and Related Principal Amounts Due upon Maturity of Mortgage Loans Accounted for Under Fair Value Option (Detail) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Unpaid principal balance of loans outstanding at period-end | $ 2,490,892 | $ 3,292,043 |
Unpaid principal balance | 2,490,892 | 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 | (533,775) | (736,255) |
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 | 1,957,117 | 2,555,788 |
Mortgage loans at fair value | 1,957,117 | 2,555,788 |
Mortgage loans acquired for sale at fair value [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Mortgage loans on real estate principal amount of delinquent loans less than ninety days | 1,950,907 | 1,235,433 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Not in foreclosure | 665 | 333 |
In foreclosure | 307 | 253 |
Unpaid principal balance of loans outstanding at period-end | 1,951,879 | 1,236,019 |
Fair value option loans held as assets ninety days or less past due aggregate difference | 91,662 | 47,842 |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference | ||
Not in foreclosure | (34) | (29) |
In foreclosure | (54) | (37) |
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | 91,574 | 47,776 |
Fair value option loans held as assets ninety days or less past due | 2,042,569 | 1,283,275 |
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent | ||
Not in foreclosure | 631 | 304 |
In foreclosure | 253 | 216 |
Fair value option loans held as assets, Total | 884 | 520 |
Mortgage loans at fair value | 2,043,453 | 1,283,795 |
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 | 972 | 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 | (88) | (66) |
Mortgage Loans at Fair Value Held in Consolidated VIE [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Mortgage loans on real estate principal amount of delinquent loans less than ninety days | 388,543 | 454,935 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Not in foreclosure | 0 | 0 |
In foreclosure | 0 | 0 |
Unpaid principal balance | 388,543 | 454,935 |
Fair value option loans held as assets ninety days or less past due aggregate difference | 9,197 | 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 | 9,197 | 459 |
Fair value option loans held as assets ninety days or less past due | 397,740 | 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 | 397,740 | 455,394 |
Mortgage Loans at Fair Value Held in Consolidated VIE [Member] | Nonperforming mortgage loans [Member] | ||
Mortgage loans on real estate principal amount of delinquent loans | ||
Unpaid principal balance | 0 | 0 |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference | ||
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | 0 | 0 |
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 and Mortgage Loans under Forward Purchase Agreements at Fair Value [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Mortgage loans on real estate principal amount of delinquent loans less than ninety days | 939,853 | 1,134,560 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Not in foreclosure | 463,405 | 640,343 |
In foreclosure | 699,091 | 1,062,205 |
Unpaid principal balance | 2,102,349 | 2,837,108 |
Fair value option loans held as assets ninety days or less past due aggregate difference | (234,235) | (257,122) |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference | ||
Not in foreclosure | (128,555) | (181,283) |
In foreclosure | (180,182) | (298,309) |
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | (542,972) | (736,714) |
Fair value option loans held as assets ninety days or less past due | 705,618 | 877,438 |
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent | ||
Not in foreclosure | 334,850 | 459,060 |
In foreclosure | 518,909 | 763,896 |
Mortgage loans at fair value | 1,559,377 | 2,100,394 |
Mortgage Loans and Mortgage Loans under Forward Purchase Agreements at Fair Value [Member] | Nonperforming mortgage loans [Member] | ||
Mortgage loans on real estate principal amount of delinquent loans | ||
Unpaid principal balance | 1,162,496 | 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 | (308,737) | (479,592) |
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent | ||
Mortgage loans at fair value | $ 853,759 | $ 1,222,956 |
Fair Value - Summary of Chang94
Fair Value - Summary of Changes in Fair Value Included in Current Period Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain on mortgage loans acquired for sale | $ 43,858 | $ 13,884 | $ 83,133 | $ 35,219 |
Net gain on investments | 14,279 | 24,958 | (5,106) | 51,019 |
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 | 0 | 0 |
Net interest income | (2,520) | (351) | (1,985) | (474) |
Net gain on investments | 2,990 | (3,941) | (5,974) | (719) |
Net Mortgage loan servicing fees | 0 | 0 | 0 | 0 |
Total | 470 | (4,292) | (7,959) | (1,193) |
Liabilities, Total [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Net interest income | (2,520) | (351) | (1,985) | (474) |
Net gain on investments | 2,990 | (3,941) | (5,974) | (719) |
Net Mortgage loan servicing fees | 0 | 0 | 0 | 0 |
Total | 470 | (4,292) | (7,959) | (1,193) |
Short-term Investments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Net interest income | 0 | 0 | 0 | 0 |
Net gain on investments | 0 | 0 | 0 | 0 |
Net Mortgage loan servicing fees | 0 | 0 | 0 | 0 |
Total | 0 | 0 | 0 | 0 |
Mortgage-backed securities at fair value [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Net interest income | (1,193) | 91 | (1,930) | 155 |
Net gain on investments | 517 | 3,564 | 9,948 | (1,622) |
Net Mortgage loan servicing fees | 0 | 0 | 0 | 0 |
Total | (676) | 3,655 | 8,018 | (1,467) |
Mortgage loans acquired for sale at fair value [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain on mortgage loans acquired for sale | 58,128 | 39,504 | 147,135 | 57,568 |
Net interest income | 0 | 0 | 0 | 0 |
Net gain on investments | 0 | 0 | 0 | 0 |
Net Mortgage loan servicing fees | 0 | 0 | 0 | 0 |
Total | 58,128 | 39,504 | 147,135 | 57,568 |
Mortgage loans at fair value [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Net interest income | 193 | 1,024 | 2,287 | 1,203 |
Net gain on investments | (3,936) | 39,273 | 5,342 | 76,249 |
Net Mortgage loan servicing fees | 0 | 0 | 0 | 0 |
Total | (3,743) | 40,297 | 7,629 | 77,452 |
Excess servicing spread [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Net interest income | 0 | 0 | 0 | 0 |
Net gain on investments | (4,107) | (7,844) | (40,984) | (5,502) |
Net Mortgage loan servicing fees | 0 | 0 | 0 | 0 |
Total | (4,107) | (7,844) | (40,984) | (5,502) |
MSRs at fair value [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Net interest income | 0 | 0 | 0 | 0 |
Net gain on investments | 0 | 0 | 0 | 0 |
Net Mortgage loan servicing fees | (3,202) | (5,266) | (19,558) | (8,776) |
Total | (3,202) | (5,266) | (19,558) | (8,776) |
Assets, Total [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain on mortgage loans acquired for sale | 58,128 | 39,504 | 147,135 | 57,568 |
Net interest income | (1,000) | 1,115 | 357 | 1,358 |
Net gain on investments | (7,526) | 34,993 | (25,694) | 69,125 |
Net Mortgage loan servicing fees | (3,202) | (5,266) | (19,558) | (8,776) |
Total | $ 46,400 | $ 70,346 | $ 102,240 | $ 119,275 |
Fair Value - Summary of Finan95
Fair Value - Summary of Financial Statement Items Re-measured at Fair Value on Nonrecurring Basis (Detail) - Nonrecurring [Member] - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate acquired in settlement of loans | $ 145,237 | $ 173,662 |
MSRs at lower of amortized cost or fair value | 370,987 | 145,187 |
Total Assets | 516,224 | 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 | 145,237 | 173,662 |
MSRs at lower of amortized cost or fair value | 370,987 | 145,187 |
Total Assets | $ 516,224 | $ 318,849 |
Fair Value - Summary of Chang96
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 | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
MSRs at lower of amortized cost or fair value | $ 3,460 | $ 7,845 | $ 44,336 | $ 7,142 |
Nonrecurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Real estate asset acquired in settlement of loans | (6,940) | (8,182) | (14,552) | (18,308) |
MSRs at lower of amortized cost or fair value | (3,460) | (7,845) | (44,336) | (7,142) |
Total assets, gains (losses) recognized | $ (10,400) | $ (16,027) | $ (58,888) | $ (25,450) |
Fair Value - Quantitative Summa
Fair Value - Quantitative Summary of Key Inputs Used in Valuation of Mortgage Loans at Fair Value (Detail) - Mortgage loans at fair value [Member] | 9 Months Ended | 12 Months Ended |
Sep. 30, 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 | 3.20% | 1.50% |
Prepayment speed | 0.10% | 0.10% |
Total prepayment speed | 3.20% | 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 | 5.80% | 5.10% |
Prepayment speed | 14.70% | 9.60% |
Total prepayment speed | 25.20% | 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 | 4.50% | 3.60% |
Prepayment speed | 4.00% | 3.70% |
Total prepayment speed | 18.30% | 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 | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
UPB of underlying mortgage loans (in thousands) | $ 120,457 | $ 578,894 | $ 647,976 | $ 978,951 | |
Average servicing fee rate (in basis points) | 0.25% | 0.25% | 0.26% | 0.25% | |
Weighted Average [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Pricing spread | 7.60% | 8.40% | 7.30% | 9.20% | |
Annual total prepayment speed | 13.80% | 13.80% | 13.20% | ||
Minimum [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Pricing spread | 7.60% | 7.20% | 7.20% | 7.20% | |
Annual total prepayment speed | 8.30% | 8.30% | 9.20% | ||
Maximum [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Pricing spread | 7.60% | 14.30% | 7.60% | 16.30% | |
Annual total prepayment speed | 22.10% | 22.10% | 32.50% | ||
Excess servicing spread [Member] | Weighted Average [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
UPB of underlying mortgage loans (in thousands) | $ 34,189,425 | $ 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 | 5.50% | 5.70% | |||
Life (in years) | 6 years 2 months 12 days | 6 years 10 months 24 days | |||
Annual total prepayment speed | 12.20% | 12.20% | 9.60% | ||
Excess servicing spread [Member] | Minimum [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Pricing spread | 4.70% | 4.80% | |||
Life (in years) | 2 years 2 months 12 days | 1 year 4 months 24 days | |||
Annual total prepayment speed | 6.70% | 6.70% | 5.20% | ||
Excess servicing spread [Member] | Maximum [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Pricing spread | 6.00% | 6.50% | |||
Life (in years) | 8 years 10 months 24 days | 9 years | |||
Annual total prepayment speed | 23.30% | 23.30% | 52.40% |
Fair Value - Quantitative Sum99
Fair Value - Quantitative Summary of Key Unobservable Inputs Used in Valuation of Interest Rate Lock Commitments (Detail) | Sep. 30, 2016 | Dec. 31, 2015 |
Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Pull-through rate | 57.20% | 60.20% |
Servicing fee multiple | 2.10% | 2.10% |
Percentage of UPB | 0.60% | 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 | 5.80% | 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 | 87.60% | 92.40% |
Servicing fee multiple | 4.70% | 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 | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair value, MSR recognized | $ 1,068,000 | $ 5,674,000 | $ 6,215,000 | $ 9,169,000 |
Fair value, UPB of underlying mortgage loans | $ 120,457,000 | $ 578,894,000 | $ 647,976,000 | $ 978,951,000 |
Fair value, Weighted-average annual servicing fee rate (in basis points) | 0.25% | 0.25% | 0.26% | 0.25% |
Amortized cost, MSR recognized | $ 76,567,000 | $ 47,140,000 | $ 167,691,000 | $ 103,281,000 |
Amortized cost, UPB of underlying mortgage loans | $ 6,532,562,000 | $ 3,512,016,000 | $ 14,139,102,000 | $ 9,140,782,000 |
Amortized cost, Weighted-average annual servicing fee rate (in basis points) | 0.25% | 0.25% | 0.25% | 0.25% |
Minimum [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair value inputs, Pricing spread during period | 7.60% | 7.20% | 7.20% | 7.20% |
Fair value inputs, Weighted average life during period | 2 years 4 months 24 days | 2 years 3 months 18 days | 2 years | 2 years 3 months 18 days |
Fair value inputs, Annual prepayment speed during period | 10.30% | 8.40% | 7.20% | 8.30% |
Fair value inputs, Annual per loan cost of servicing during period | $ 78,000 | $ 62,000 | $ 68,000 | $ 62,000 |
Amortized cost, Pricing spread during period | 7.60% | 6.50% | 7.20% | 6.50% |
Amortized cost, Life (in years) | 2 years 3 months 18 days | 2 years | 1 year 4 months 24 days | 1 year 3 months 18 days |
Amortized cost, Annual prepayment speed during period | 4.50% | 7.60% | 3.40% | 7.60% |
Amortized cost, Annual per loan cost of servicing during period | $ 78,000 | $ 62,000 | $ 68,000 | $ 62,000 |
Maximum [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair value inputs, Pricing spread during period | 7.60% | 14.30% | 7.60% | 16.30% |
Fair value inputs, Weighted average life during period | 7 years 3 months 18 days | 7 years 2 months 12 days | 9 years 4 months 24 days | 7 years 3 months 18 days |
Fair value inputs, Annual prepayment speed during period | 33.30% | 22.40% | 38.00% | 34.20% |
Fair value inputs, Annual per loan cost of servicing during period | $ 82,000 | $ 68,000 | $ 82,000 | $ 68,000 |
Amortized cost, Pricing spread during period | 12.60% | 13.00% | 12.60% | 17.50% |
Amortized cost, Life (in years) | 10 years 10 months 24 days | 7 years 4 months 24 days | 12 years 3 months 18 days | 7 years 8 months 12 days |
Amortized cost, Annual prepayment speed during period | 33.20% | 37.60% | 49.20% | 51.00% |
Amortized cost, Annual per loan cost of servicing during period | $ 78,000 | $ 68,000 | $ 79,000 | $ 134,000 |
Weighted Average [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair value inputs, Pricing spread during period | 7.60% | 8.40% | 7.30% | 9.20% |
Fair value inputs, Weighted average life during period | 5 years 8 months 12 days | 6 years 7 months 6 days | 5 years 8 months 12 days | 6 years 6 months |
Fair value inputs, Annual prepayment speed during period | 14.90% | 11.90% | 15.10% | 12.10% |
Fair value inputs, Annual per loan cost of servicing during period | $ 80,000 | $ 65,000 | $ 73,000 | $ 64,000 |
Amortized cost, Pricing spread during period | 7.60% | 7.80% | 7.40% | 8.10% |
Amortized cost, Life (in years) | 7 years 9 months 18 days | 6 years 9 months 18 days | 7 years 7 months 6 days | 6 years 8 months 12 days |
Amortized cost, Annual prepayment speed during period | 8.60% | 9.20% | 9.20% | 8.90% |
Amortized cost, Annual per loan cost of servicing during period | $ 78,000 | $ 65,000 | $ 75,000 | $ 63,000 |
Fair Value - Quantitative Su101
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 ($) | 9 Months Ended | 12 Months Ended | ||||
Sep. 30, 2016 | Dec. 31, 2015 | Jun. 30, 2016 | Sep. 30, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Balance at end of period | $ 55,843,000 | $ 66,584,000 | $ 57,977,000 | $ 57,751,000 | $ 57,343,000 | $ 57,358,000 |
UPB of underlying mortgage loans, Fair Value | $ 6,097,652,000 | $ 6,458,684,000 | ||||
Weighted-average annual servicing fee rate (in basis points), Fair value input | 0.25% | 0.25% | ||||
Weighted-average note interest rate, Fair value | 4.70% | 4.70% | ||||
Carrying value, Amortized cost | $ 468,686,000 | $ 393,157,000 | $ 365,344,000 | |||
UPB of underlying mortgage loans, Amortized cost | $ 44,810,667,000 | $ 35,841,654,000 | ||||
Weighted-average annual servicing fee rate (in basis points), Amortized cost | 0.25% | 0.26% | ||||
Weighted-average note interest rate, Amortized cost | 3.80% | 3.90% | ||||
Minimum [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Estimated fair value inputs, Pricing spread | 7.60% | 7.20% | ||||
Estimated fair value inputs, Prepayment speed | 8.30% | 9.20% | ||||
Estimated fair value inputs, Annual per-loan cost of servicing | $ 77,000 | $ 68,000 | ||||
Amortized cost, Pricing spread | 7.60% | 7.20% | ||||
Amortized cost, Weighted average life (in years) | 3 years | 1 year 3 months 18 days | ||||
Amortized cost, Prepayment speed | 8.40% | 8.10% | ||||
Amortized cost, Annual per-loan cost of servicing | $ 77,000 | $ 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) | 3 years 2 months 12 days | 2 years 6 months | ||||
Maximum [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Estimated fair value inputs, Pricing spread | 12.60% | 10.20% | ||||
Estimated fair value inputs, Prepayment speed | 22.10% | 32.50% | ||||
Estimated fair value inputs, Annual per-loan cost of servicing | $ 78,000 | $ 68,000 | ||||
Amortized cost, Pricing spread | 13.10% | 10.70% | ||||
Amortized cost, Weighted average life (in years) | 7 years | 7 years 8 months 12 days | ||||
Amortized cost, Prepayment speed | 26.60% | 51.50% | ||||
Amortized cost, Annual per-loan cost of servicing | $ 78,000 | $ 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 9 months 18 days | 6 years 1 month 6 days | ||||
Weighted Average [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Estimated fair value inputs, Pricing spread | 7.60% | 7.20% | ||||
Estimated fair value inputs, Prepayment speed | 13.80% | 13.20% | ||||
Estimated fair value inputs, Annual per-loan cost of servicing | $ 78,000 | $ 68,000 | ||||
Amortized cost, Pricing spread | 7.60% | 7.30% | ||||
Amortized cost, Weighted average life (in years) | 6 years 8 months 12 days | 7 years 2 months 12 days | ||||
Amortized cost, Prepayment speed | 10.40% | 9.60% | ||||
Amortized cost, Annual per-loan cost of servicing | $ 78,000 | $ 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 9 months 18 days | 6 years 1 month 6 days | ||||
Pricing Spread [Member] | Effect On Value Of Five Percentage Adverse Change | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Effect on value of percentage adverse change, Fair value input | $ (810,000) | $ (944,000) | ||||
Effect on value of percentage adverse change, Amortized cost | (7,116,000) | (6,411,000) | ||||
Pricing Spread [Member] | Effect On Value Of Ten Percentage Adverse Change | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Effect on value of percentage adverse change, Fair value input | (1,598,000) | (1,862,000) | ||||
Effect on value of percentage adverse change, Amortized cost | (14,025,000) | (12,635,000) | ||||
Pricing Spread [Member] | Effect On Value Of Twenty Percentage Adverse Change | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Effect on value of percentage adverse change, Fair value input | (3,106,000) | (3,621,000) | ||||
Effect on value of percentage adverse change, Amortized cost | (27,256,000) | (24,553,000) | ||||
Prepayment Speed [Member] | Effect On Value Of Five Percentage Adverse Change | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Effect on value of percentage adverse change, Fair value input | (1,588,000) | (1,793,000) | ||||
Effect on value of percentage adverse change, Amortized cost | (9,962,000) | (8,159,000) | ||||
Prepayment Speed [Member] | Effect On Value Of Ten Percentage Adverse Change | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Effect on value of percentage adverse change, Fair value input | (3,101,000) | (3,502,000) | ||||
Effect on value of percentage adverse change, Amortized cost | (19,539,000) | (16,024,000) | ||||
Prepayment Speed [Member] | Effect On Value Of Twenty Percentage Adverse Change | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Effect on value of percentage adverse change, Fair value input | (5,921,000) | (6,692,000) | ||||
Effect on value of percentage adverse change, Amortized cost | (37,624,000) | (30,938,000) | ||||
Cost of Servicing [Member] | Effect On Value Of Five Percentage Adverse Change | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Effect on value of percentage adverse change, Fair value input | (506,000) | (470,000) | ||||
Effect on value of percentage adverse change, Amortized cost | (3,720,000) | (2,742,000) | ||||
Cost of Servicing [Member] | Effect On Value Of Ten Percentage Adverse Change | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Effect on value of percentage adverse change, Fair value input | (1,012,000) | (940,000) | ||||
Effect on value of percentage adverse change, Amortized cost | (7,441,000) | (5,484,000) | ||||
Cost of Servicing [Member] | Effect On Value Of Twenty Percentage Adverse Change | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Effect on value of percentage adverse change, Fair value input | (2,023,000) | (1,880,000) | ||||
Effect on value of percentage adverse change, Amortized cost | $ (14,881,000) | $ (10,968,000) |
Mortgage Loans Acquired for 102
Mortgage Loans Acquired for Sale at Fair Value - Summary of Distribution of Company's Mortgage Loans Acquired for Sale at Fair Value (Detail) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | $ 2,043,453 | $ 1,283,795 |
Mortgage loans pledged to secure: Assets sold under agreements to repurchase | 2,018,292 | 1,268,455 |
Mortgage loans pledged to secure total | 2,018,292 | 1,268,455 |
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 | 1,926,914 | 1,204,462 |
Mortgage loans pledged to secure mortgage loan participation and sale agreements | 91,378 | 0 |
Mortgage loans pledged to secure Federal Home Loan Bank ("FHLB") advances | 0 | 63,993 |
Agency-Eligible [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 1,439,697 | 540,947 |
Jumbo [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 9,412 | 54,613 |
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 | 575,487 | 669,288 |
Small Balance Commercial Real Estate Loans [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 12,673 | 14,590 |
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 | $ 6,184 | $ 4,357 |
Mortgage Loans Acquired for 103
Mortgage Loans Acquired for Sale at Fair Value - Additional Information (Detail) | 9 Months Ended |
Sep. 30, 2016 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |
Sourcing fee on average number of calendar days mortgage loans are held prior to purchase by PLS | 0.005% |
Minimum [Member] | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |
Sourcing fee on average number of calendar days mortgage loans are held prior to purchase by PLS | 0.02% |
Maximum [Member] | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |
Sourcing fee on average number of calendar days mortgage loans are held prior to purchase by PLS | 0.03% |
Derivative Financial Instrum104
Derivative Financial Instruments - Derivative Assets and Liabilities Recorded within Derivative Assets and Derivative Liabilities and Related Margin Deposits Recorded in Other Assets (Detail) - USD ($) | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Dec. 31, 2014 |
Derivatives, Fair Value [Line Items] | ||||||
Total derivative assets instruments before netting | $ 62,422,000 | $ 13,385,000 | ||||
Derivative assets, Netting | (17,648,000) | (3,300,000) | ||||
Net amounts of assets presented in the consolidated balance sheet | 44,774,000 | 10,085,000 | ||||
Margin deposits with derivatives counterparties included in Other assets | 2,169,000 | 678,000 | ||||
Total derivative liabilities | 21,437,000 | 7,135,000 | ||||
Derivative liabilities, Netting | (19,817,000) | (3,978,000) | ||||
Derivative liabilities, Fair value, Total | 1,620,000 | 3,157,000 | ||||
Interest Rate Lock Commitments [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Notional amount | 2,431,253,000 | 970,067,000 | ||||
Total derivative assets instruments before netting | 15,535,000 | 4,983,000 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Net amounts of assets presented in the consolidated balance sheet | 15,535,000 | 4,983,000 | ||||
Total derivative liabilities | 207,000 | 337,000 | ||||
Forward Sale Contracts [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Notional amount | 6,451,444,000 | $ 4,347,526,000 | 2,450,642,000 | $ 3,410,839,000 | $ 3,252,286,000 | $ 1,601,283,000 |
Total derivative assets instruments before netting | 1,308,000 | 2,604,000 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Net amounts of assets presented in the consolidated balance sheet | 1,308,000 | 2,604,000 | ||||
Total derivative liabilities | 20,234,000 | 2,680,000 | ||||
Forward Purchase Contracts [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Notional amount | 5,632,182,000 | 4,190,349,000 | 2,469,550,000 | 3,282,364,000 | 2,263,622,000 | 1,100,700,000 |
Total derivative assets instruments before netting | 21,031,000 | 2,444,000 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Net amounts of assets presented in the consolidated balance sheet | 21,031,000 | 2,444,000 | ||||
Total derivative liabilities | 808,000 | 3,774,000 | ||||
MBS Call Options [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Notional amount | 3,025,000,000 | 1,525,000,000 | 375,000,000 | 0 | 40,000,000 | 0 |
Total derivative assets instruments before netting | 3,441,000 | 93,000 | ||||
Total derivative liabilities | 0 | 0 | ||||
Swap Futures [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Notional amount | 12,500,000 | 12,500,000 | 0 | |||
Total derivative assets instruments before netting | 0 | 0 | ||||
Total derivative liabilities | 0 | 0 | ||||
Eurodollar Future Sale Contracts [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Notional amount | 1,442,000,000 | 1,543,000,000 | 1,755,000,000 | 1,756,000,000 | 5,984,000,000 | 7,426,000,000 |
Total derivative assets instruments before netting | 0 | 0 | ||||
Total derivative liabilities | 0 | 0 | ||||
Treasury Future Buy Contracts [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Notional amount | 150,000,000 | 0 | 0 | |||
Total derivative assets instruments before netting | 0 | 0 | ||||
Total derivative liabilities | 0 | 0 | ||||
Call Options on Interest Rate Futures [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Notional amount | 825,000,000 | 525,000,000 | 50,000,000 | 1,555,000,000 | 1,135,000,000 | 1,030,000,000 |
Total derivative assets instruments before netting | 1,965,000 | 1,156,000 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Net amounts of assets presented in the consolidated balance sheet | 1,965,000 | 1,156,000 | ||||
Total derivative liabilities | 0 | 305,000 | ||||
Put Options on Interest Rate Futures [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Notional amount | 1,200,000,000 | 425,000,000 | 1,600,000,000 | 1,625,000,000 | 1,273,000,000 | 275,000,000 |
Total derivative assets instruments before netting | 2,480,000 | 1,512,000 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Net amounts of assets presented in the consolidated balance sheet | 2,480,000 | 1,512,000 | ||||
Total derivative liabilities | 188,000 | 39,000 | ||||
CRT Agreements [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Notional amount | 12,196,636,000 | $ 8,976,961,000 | 4,546,265,000 | $ 2,400,433,000 | $ 0 | $ 0 |
Total derivative assets instruments before netting | 16,662,000 | 593,000 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Net amounts of assets presented in the consolidated balance sheet | 16,662,000 | 593,000 | ||||
Total derivative liabilities | $ 0 | $ 0 |
Derivative Financial Instrum105
Derivative Financial Instruments - Summary of Activity in Notional Amount for Derivative Contracts and Derivatives Arising from CRT Agreements (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Forward Sales Contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | $ 4,347,526,000 | $ 3,252,286,000 | $ 2,450,642,000 | $ 1,601,283,000 |
Additions | 29,853,649,000 | 15,003,760,000 | 65,146,064,000 | 38,880,821,000 |
Dispositions/expirations | (27,749,731,000) | (14,845,207,000) | (61,145,262,000) | (37,071,265,000) |
Balance, end of period | 6,451,444,000 | 3,410,839,000 | 6,451,444,000 | 3,410,839,000 |
Forward Purchase Contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 4,190,349,000 | 2,263,622,000 | 2,469,550,000 | 1,100,700,000 |
Additions | 22,535,622,000 | 10,938,733,000 | 47,965,764,000 | 27,871,913,000 |
Dispositions/expirations | (21,093,789,000) | (9,919,991,000) | (44,803,132,000) | (25,690,249,000) |
Balance, end of period | 5,632,182,000 | 3,282,364,000 | 5,632,182,000 | 3,282,364,000 |
MBS Put Options [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 367,500,000 | 340,000,000 | ||
Additions | 700,000,000 | 1,692,500,000 | ||
Dispositions/expirations | (617,500,000) | (1,582,500,000) | ||
Balance, end of period | 450,000,000 | 450,000,000 | ||
MBS Call Options [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 1,525,000,000 | 40,000,000 | 375,000,000 | 0 |
Additions | 3,875,000,000 | 0 | 6,600,000,000 | 140,000,000 |
Dispositions/expirations | (2,375,000,000) | (40,000,000) | (3,950,000,000) | (140,000,000) |
Balance, end of period | 3,025,000,000 | 0 | 3,025,000,000 | 0 |
Swap Futures [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 12,500,000 | 0 | ||
Additions | 12,500,000 | 37,500,000 | ||
Dispositions/expirations | (12,500,000) | (25,000,000) | ||
Balance, end of period | 12,500,000 | 12,500,000 | ||
Eurodollar Future Sale Contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 1,543,000,000 | 5,984,000,000 | 1,755,000,000 | 7,426,000,000 |
Additions | 101,000,000 | 0 | 181,000,000 | 285,000,000 |
Dispositions/expirations | (202,000,000) | (4,228,000,000) | (494,000,000) | (5,955,000,000) |
Balance, end of period | 1,442,000,000 | 1,756,000,000 | 1,442,000,000 | 1,756,000,000 |
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 | 0 | ||
Treasury Future Buy Contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 0 | 0 | ||
Additions | 276,200,000 | 276,200,000 | ||
Dispositions/expirations | (126,200,000) | (126,200,000) | ||
Balance, end of period | 150,000,000 | 150,000,000 | ||
Treasury Future Sale Contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 0 | 40,000,000 | 0 | 85,000,000 |
Additions | 126,200,000 | 0 | 126,200,000 | 161,500,000 |
Dispositions/expirations | (126,200,000) | (40,000,000) | (126,200,000) | (246,500,000) |
Balance, end of period | 0 | 0 | 0 | 0 |
Call Options on Interest Rate Futures [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 525,000,000 | 1,135,000,000 | 50,000,000 | 1,030,000,000 |
Additions | 1,825,000,000 | 1,805,000,000 | 3,400,000,000 | 4,080,000,000 |
Dispositions/expirations | (1,525,000,000) | (1,385,000,000) | (2,625,000,000) | (3,555,000,000) |
Balance, end of period | 825,000,000 | 1,555,000,000 | 825,000,000 | 1,555,000,000 |
Put Options on Interest Rate Futures [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 425,000,000 | 1,273,000,000 | 1,600,000,000 | 275,000,000 |
Additions | 1,625,000,000 | 1,650,000,000 | 4,225,000,000 | 4,318,000,000 |
Dispositions/expirations | (850,000,000) | (1,298,000,000) | (4,625,000,000) | (2,968,000,000) |
Balance, end of period | 1,200,000,000 | 1,625,000,000 | 1,200,000,000 | 1,625,000,000 |
CRT Agreements [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 8,976,961,000 | 0 | 4,546,265,000 | 0 |
Additions | 3,357,443,000 | 2,400,433,000 | 8,442,187,000 | 2,400,433,000 |
Dispositions/expirations | (137,768,000) | 0 | (791,816,000) | 0 |
Balance, end of period | $ 12,196,636,000 | $ 2,400,433,000 | $ 12,196,636,000 | $ 2,400,433,000 |
Derivative Financial Instrum106
Derivative Financial Instruments - Net Gains (Losses) Recognized on Derivative Financial Instruments (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 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 | $ 53,819 | $ 28,292 | $ 129,761 | $ 35,976 |
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 | (945) | (6,772) | (245) | (18,065) |
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 | 18,477 | 626 | 22,098 | 626 |
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 | (16,791) | (33,652) | (76,672) | (23,198) |
Mortgage service rights [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) on derivative financial instruments used as economic hedges | 5,612 | 19,061 | 63,006 | 13,868 |
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 | $ 5,612 | $ 19,061 | $ 63,006 | $ 13,868 |
Mortgage Loans at Fair Value -
Mortgage Loans at Fair Value - Summary of Distribution of Company's Mortgage Loans at Fair Value (Detail) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | $ 1,957,117 | $ 2,555,788 |
Unpaid principal balance | 2,490,892 | 3,292,043 |
Asset-backed financing of a VIE at fair value and FHLB advances | 397,740 | 455,394 |
Mortgage loans acquired for sale at fair value [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 2,043,453 | 1,283,795 |
Assets sold under agreements to repurchase | 1,549,685 | 2,067,341 |
Fixed interest rate jumbo mortgage loans held in a VIE [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 397,740 | 455,394 |
Unpaid principal balance | 388,543 | 454,935 |
Distressed mortgage loans [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 1,559,377 | 2,100,394 |
Unpaid principal balance | 2,102,349 | 2,837,108 |
Distressed mortgage loans [Member] | Nonperforming mortgage loans [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 853,759 | 1,222,956 |
Unpaid principal balance | 1,162,496 | 1,702,548 |
Distressed mortgage loans [Member] | Performing mortgage loans [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 705,618 | 877,438 |
Unpaid principal balance | 939,853 | 1,134,560 |
Distressed mortgage loans [Member] | Performing mortgage loans [Member] | Fixed interest rate [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 339,813 | 417,658 |
Unpaid principal balance | 459,394 | 535,610 |
Distressed mortgage loans [Member] | Performing mortgage loans [Member] | Interest rate step-up [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 256,932 | 299,569 |
Unpaid principal balance | 356,710 | 412,749 |
Distressed mortgage loans [Member] | Performing mortgage loans [Member] | Adjustable-rate/hybrid [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 108,873 | 160,051 |
Unpaid principal balance | $ 123,749 | 185,997 |
Distressed mortgage loans [Member] | Performing mortgage loans [Member] | Balloon [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 160 | |
Unpaid principal balance | $ 204 |
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 (Detail) | Sep. 30, 2016 | Dec. 31, 2015 |
Risks And Uncertainties [Abstract] | ||
Portion of mortgage loans originated between 2005 and 2007 | 71.00% | 72.00% |
Percentage of fair value of mortgage loans with unpaid-principal balance-to-current-property-value in excess of 100% | 41.00% | 48.00% |
Mortgage Loans at Fair Value109
Mortgage Loans at Fair Value - Summary of Certain Concentrations of Credit Risk in Portfolio of Distressed Mortgage Loans at Fair Value (Parenthetical) (Detail) | Sep. 30, 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 Sett110
Real Estate Acquired in Settlement of Loans - Summary of Financial Information Relating to REO (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Real Estate [Abstract] | ||||
Balance at beginning of period | $ 299,458 | $ 324,278 | $ 341,846 | $ 303,228 |
Transfers from mortgage loans at fair value and advances | 42,300 | 82,405 | 156,352 | 240,483 |
Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment | (5,282) | (2,212) | (17,548) | (3,505) |
Results of REO: | ||||
Valuation adjustments, net | (7,888) | (8,734) | (25,816) | (26,740) |
Gain on sale, net | 4,603 | 4,513 | 13,930 | 14,881 |
Total gain (loss), net | (3,285) | (4,221) | (11,886) | (11,859) |
Proceeds from sales | (44,843) | (46,687) | (180,416) | (174,784) |
Balance at end of period | 288,348 | 353,563 | 288,348 | 353,563 |
REO pledged to secure assets sold under agreements to repurchase | 56,037 | 280,045 | 56,037 | 280,045 |
REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties | 165,116 | 165,116 | ||
Real estate pledged to creditors | $ 221,153 | $ 280,045 | $ 221,153 | $ 280,045 |
Mortgage Servicing Rights - Sum
Mortgage Servicing Rights - Summary of MSRs Carried at Fair Value (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Servicing Asset At Fair Value Changes In Fair Value [Abstract] | ||||
Balance at beginning of period | $ 57,977 | $ 57,343 | $ 66,584 | $ 57,358 |
Purchases | 0 | 0 | 2,602 | 0 |
MSRs resulting from mortgage loan sales | 1,068 | 5,674 | 6,215 | 9,169 |
Due to changes in valuation inputs used in valuation model | (883) | (3,418) | (12,343) | (3,525) |
Other changes in fair value | (2,319) | (1,848) | (7,215) | (5,251) |
Change in fair value, Total | (3,202) | (5,266) | (19,558) | (8,776) |
Balance at period end | 55,843 | 57,751 | 55,843 | 57,751 |
MSRs carried at fair value pledged to secure notes payable at period end | $ 55,843 | $ 57,751 | $ 55,843 | $ 57,751 |
Mortgage Servicing Rights - 112
Mortgage Servicing Rights - Summary of MSRs Carried at Lower of Amortized Cost or Fair Value (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
Servicing Asset at Amortized Cost, Balance [Roll Forward] | |||||
Balance at beginning of period | $ 465,301 | $ 344,405 | $ 404,101 | $ 308,137 | |
MSRs resulting from mortgage loan sales | 76,567 | 47,140 | 167,691 | 103,281 | |
Amortization | (17,902) | (11,333) | (47,720) | (30,913) | |
Sales | 0 | (12) | (106) | (305) | |
Balance at end of period | 523,966 | 380,200 | 523,966 | 380,200 | |
Balance at beginning of period | (51,820) | (7,011) | (10,944) | (7,714) | |
Additions | (3,460) | (7,845) | (44,336) | (7,142) | |
Balance at end of period | (55,280) | (14,856) | (55,280) | (14,856) | |
MSRs, net | 468,686 | 365,344 | 468,686 | 365,344 | $ 393,157 |
Fair value at beginning of period | 417,094 | 362,908 | 424,154 | 322,230 | |
Fair value at period end | 472,790 | 386,539 | 472,790 | 386,539 | |
Mortgage servicing rights [Member] | |||||
Servicing Asset at Amortized Cost, Balance [Roll Forward] | |||||
MSRs carried at lower of cost or fair value pledged to secure notes payable at period end | $ 468,686 | $ 365,344 | $ 468,686 | $ 365,344 |
Mortgage Servicing Rights - 113
Mortgage Servicing Rights - Summary of Company's Estimate of Future Amortization of Existing MSRs Carried at Amortized Cost (Detail) $ in Thousands | Sep. 30, 2016USD ($) |
Servicing Asset Future Amortization Expense Abstract [Abstract] | |
2,017 | $ 71,532 |
2,018 | 62,271 |
2,019 | 54,538 |
2,020 | 47,902 |
2,021 | 42,070 |
Thereafter | 245,653 |
Total | $ 523,966 |
Mortgage Servicing Rights - 114
Mortgage Servicing Rights - Summary of Net Mortgage Loan Servicing Fees Relating to MSRs (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Transfers And Servicing [Abstract] | ||||
Contractually-specified servicing fees | $ 32,724 | $ 24,394 | $ 90,494 | $ 70,471 |
Late charges | 148 | 218 | 421 | 218 |
Other | 1,432 | 888 | 3,839 | 3,327 |
Net mortgage loan servicing fees | $ 34,304 | $ 25,500 | $ 94,754 | $ 74,016 |
Assets Sold Under Agreements115
Assets Sold Under Agreements to Repurchase - Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Weighted-average interest rate | 2.26% | 2.30% | 2.19% | 2.27% | |
Average balance | $ 3,538,720,000 | $ 3,252,341,000 | $ 3,202,829,000 | $ 3,125,328,000 | |
Total interest expense | 23,751,000 | 21,350,000 | 66,217,000 | 60,470,000 | |
Maximum daily amount outstanding | 4,824,044,000 | $ 4,160,814,000 | 5,221,997,000 | $ 4,612,001,000 | |
Amount outstanding | 4,042,150,000 | 4,042,150,000 | $ 3,130,328,000 | ||
Unamortized debt issuance costs | (12,000) | (12,000) | (92,000) | ||
Assets sold under agreements to repurchase, At year end | 4,041,085,000 | $ 4,041,085,000 | $ 3,128,780,000 | ||
Weighted-average interest rate | 2.27% | 2.33% | |||
Available borrowing capacity, Committed | $ 150,469,000 | $ 231,913,000 | |||
Available borrowing capacity, Uncommitted | 860,382,000 | 661,756,000 | |||
Available borrowing capacity | 1,010,851,000 | 893,669,000 | |||
Margin deposits placed with counterparties included in Other assets | 13,443,000 | 13,443,000 | 7,268,000 | ||
Assets Sold Under Agreements to Repurchase [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Unamortized debt issuance costs | (1,065,000) | (1,065,000) | (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 | 708,862,000 | 708,862,000 | 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 | 1,926,914,000 | 1,926,914,000 | 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 | 1,549,685,000 | 1,549,685,000 | 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 | 221,153,000 | 221,153,000 | 283,343,000 | ||
Deposits securing CRT Agreements [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Fair value of assets securing agreements to repurchase | 416,163,000 | 416,163,000 | 0 | ||
Derivatives related to CRT Agreements [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Fair value of assets securing agreements to repurchase | $ 8,268,000 | $ 8,268,000 | $ 0 |
Assets Sold Under Agreements116
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 | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Assets Sold Under Agreements to Repurchase [Member] | ||||
Assets Sold under Agreements to Repurchase [Line Items] | ||||
Amortization of debt issuance costs | $ 2.2 | $ 2.2 | $ 6.5 | $ 6.7 |
Assets Sold Under Agreements117
Assets Sold Under Agreements to Repurchase - Summary of Maturities of Outstanding Assets Sold under Agreements to Repurchase by Facility Maturity Date (Detail) $ in Thousands | 9 Months Ended |
Sep. 30, 2016USD ($) | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 4,042,150 |
Weighted average maturity (in months) | 4 months 9 days |
Within 30 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 453,172 |
Over 30 to 90 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 1,675,330 |
Over 90 days to 180 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 657,097 |
Over 180 days to 1 year [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 1,028,229 |
Maturity One Year To Two Years [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 228,322 |
Assets Sold Under Agreements118
Assets Sold Under Agreements to Repurchase - Summary of Assets Sold under Agreements to Repurchase by Counterparty (Detail) $ in Thousands | 9 Months Ended |
Sep. 30, 2016USD ($) | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 11,223 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Dec. 2, 2016 |
Facility maturity | Dec. 2, 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 | $ 241,851 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Nov. 2, 2016 |
Facility maturity | Dec. 2, 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 | $ 192,091 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Dec. 22, 2016 |
Facility maturity | Mar. 30, 2017 |
JPMorgan Chase & Co. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 4,056 |
Weighted average maturity | Nov. 7, 2016 |
JPMorgan Chase & Co. [Member] | CRT Agreements [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 104,903 |
Weighted average maturity | Oct. 18, 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 | $ 125,475 |
Facility maturity | Jan. 26, 2017 |
Royal Bank of Canada [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 2,500 |
Weighted average maturity | Nov. 24, 2016 |
Bank of America, N.A. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 7,492 |
Weighted average maturity | Nov. 21, 2016 |
Bank of America, N.A. [Member] | CRT Agreements [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 31,799 |
Weighted average maturity | Oct. 18, 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 | $ 30,361 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Dec. 19, 2016 |
Facility maturity | Mar. 28, 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 | $ 7,721 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Nov. 17, 2016 |
Facility maturity | Aug. 25, 2017 |
Daiwa Capital Markets [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 10,181 |
Weighted average maturity | Nov. 19, 2016 |
Wells Fargo, N.A. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 5,218 |
Weighted average maturity | Oct. 25, 2016 |
BNP Paribas Corporate & Institutional Banking [Member] | CRT Agreements [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 19,192 |
Weighted average maturity | Oct. 12, 2016 |
Mortgage Loan Participation 119
Mortgage Loan Participation and Sale Agreements - Summary of Mortgage Loan Participation and Sale Agreements (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
At period end: | |||||
Unamortized debt issuance costs | $ (12,000) | $ (12,000) | $ (92,000) | ||
Mortgage loan participation and sale agreements, At year end | $ 88,458,000 | $ 88,458,000 | $ 0 | ||
Mortgage Loan Participation and Sale Agreement [Member] | |||||
Mortgage Loan Participation And Sale Agreement [Line Items] | |||||
Weighted-average interest rate | 1.76% | 1.44% | 1.71% | 1.43% | |
Average balance | $ 73,537,000 | $ 48,832,000 | $ 70,955,000 | $ 50,933,000 | |
Total interest expense | 361,000 | 226,000 | 1,023,000 | 699,000 | |
Maximum daily amount outstanding | 99,469,000 | $ 120,374,000 | 99,469,000 | $ 148,032,000 | |
At period end: | |||||
Amount outstanding | 88,458,000 | 88,458,000 | |||
Unamortized debt issuance costs | 0 | 0 | |||
Mortgage loan participation and sale agreements, At year end | 88,458,000 | $ 88,458,000 | |||
Weighted-average interest rate | 1.78% | ||||
Mortgage loans acquired for sale pledged to secure mortgage loan participation and sale agreements | $ 91,378,000 | $ 91,378,000 |
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 | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Mortgage Loan Participation and Sale Agreement [Member] | ||||
Mortgage Loan Participation And Sale Agreement [Line Items] | ||||
Amortization of debt issuance costs | $ 31,000 | $ 47,000 | $ 99,000 | $ 146,000 |
Federal Home Loan Bank Advan121
Federal Home Loan Bank Advances - Additional Information (Detail) - Federal Home Loan Bank Advances [Member] | 9 Months Ended |
Sep. 30, 2016USD ($) | |
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 | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
Federal Home Loan Banks [Abstract] | ||||
Weighted-average interest rate | 0.27% | 0.49% | 0.27% | 0.30% |
Average balance | $ 170,902,000 | $ 32,560,000 | $ 58,100,000 | |
Total interest expense | 117,000 | 122,000 | 119,000 | |
Maximum daily amount outstanding | $ 188,834,000 | 201,130,000 | $ 188,834,000 | |
Carrying value | $ 0 | $ 183,000,000 | ||
Mortgage-backed securities | 8,720,000 | |||
Mortgage loans acquired for sale at fair value | 63,993,000 | |||
Mortgage loans at fair value | $ 134,172,000 |
Notes Payable - Additional Info
Notes Payable - Additional Information (Detail) - USD ($) | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 15, 2016 | Jan. 22, 2016 | |
Amended and Restated Loan and Security Agreement with Barclays Bank PLC, [Member] | |||
Short-term Debt [Line Items] | |||
Maturity date of debt instrument | Dec. 2, 2016 | ||
Amended and Restated Loan and Security Agreement with Citibank, N.A. [Member] | |||
Short-term Debt [Line Items] | |||
Maturity date of debt instrument | Dec. 2, 2016 | ||
Maximum [Member] | Amended and Restated Loan and Security Agreement with Barclays Bank PLC, [Member] | |||
Short-term Debt [Line Items] | |||
Aggregate loan amount | $ 200,000,000 | ||
Maximum [Member] | Amended and Restated Loan and Security Agreement with Citibank, N.A. [Member] | |||
Short-term Debt [Line Items] | |||
Aggregate loan amount | $ 125,000,000 |
Notes Payable - Summary of Fina
Notes Payable - Summary of Financial Information Relating to Note Payable (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
During the period: | |||||
Weighted-average interest rate | 4.76% | 4.25% | 4.68% | 4.24% | |
Average balance | $ 170,907,000 | $ 195,030,000 | $ 190,878,000 | $ 85,907,000 | |
Total interest expense | 2,883,000 | 2,375,000 | 9,217,000 | 3,369,000 | |
Maximum daily amount outstanding | 196,317,000 | $ 198,191,000 | 234,476,000 | $ 198,191,000 | |
Carrying value: | |||||
Amount outstanding | 196,144,000 | 196,144,000 | $ 236,107,000 | ||
Unamortized debt issuance costs | (12,000) | (12,000) | (92,000) | ||
Balance | 196,132,000 | $ 196,132,000 | $ 236,015,000 | ||
Weighted-average interest rate | 4.44% | 4.53% | |||
MSRs pledged to secure notes payable | $ 524,529,000 | $ 524,529,000 | $ 459,741,000 |
Notes Payable - Summary of F125
Notes Payable - Summary of Financial Information Relating to Note Payable (Parenthetical) (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Notes payable [Member] | ||||
Debt Instrument [Line Items] | ||||
Amortization of debt issuance costs | $ 805,000 | $ 562,000 | $ 2,400,000 | $ 915,000 |
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 | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Carrying value | $ 384,407 | $ 384,407 | $ 247,690 | ||
Variable Interest Entities [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Carrying value | 384,407 | 384,407 | 247,690 | ||
Asset-Backed Financing of the VIE at Fair Value [Member] | Variable Interest Entities [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Weighted-average fair value | 330,622 | $ 170,262 | 326,962 | $ 165,024 | |
Interest expense | $ 5,253 | $ 1,787 | $ 10,212 | $ 4,671 | |
Weighted-average effective interest rate | 3.23% | 3.30% | 3.31% | 3.35% | |
Carrying value | $ 384,407 | $ 384,407 | 247,690 | ||
UPB | $ 375,477 | $ 375,477 | $ 248,284 | ||
Weighted-average interest rate | 3.51% | 3.50% |
Exchangeable Senior Notes - Add
Exchangeable Senior Notes - Additional Information (Detail) - Exchangeable Senior Notes due May 1, 2020 [Member] | 9 Months Ended |
Sep. 30, 2016USD ($)$ / shares | |
Debt Instrument [Line Items] | |
Issuance of debt through private offering | $ 250,000,000 |
Percentage of interest on debt | 5.375% |
Number of shares exchanged per exchangeable notes | 33.8667 |
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 | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
Debt Instrument [Line Items] | |||||
Weighted-average UPB | $ 250,000 | $ 250,000 | $ 250,000 | $ 250,000 | |
Carrying value: | |||||
UPB | 250,000 | 250,000 | $ 250,000 | ||
Unamortized debt issuance costs | (12) | (12) | (92) | ||
Exchangeable senior notes | 245,824 | 245,824 | 245,054 | ||
Convertible Debt [Member] | |||||
Debt Instrument [Line Items] | |||||
Interest expense | 3,620 | $ 3,605 | 10,848 | $ 10,803 | |
Carrying value: | |||||
Unamortized debt issuance costs | $ (4,176) | $ (4,176) | $ (4,946) |
Exchangeable Senior Notes - 129
Exchangeable Senior Notes - Summary of Financial Information Relating to Exchangeable Senior Notes (Parenthetical) (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Interest Expense [Member] | Convertible Debt [Member] | ||||
Debt Instrument [Line Items] | ||||
Amortization of commitment fees and debt issuance costs | $ 261,000 | $ 245,000 | $ 770,000 | $ 726,000 |
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 | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Mortgage Banking [Abstract] | ||||
Balance, beginning of period | $ 19,258 | $ 16,714 | $ 20,171 | $ 14,242 |
Provision for losses | ||||
Pursuant to mortgage loan sales | 781 | 1,833 | 2,002 | 4,177 |
Reduction in liability due to change in estimate | (5,098) | 0 | (6,822) | 0 |
Losses incurred | (14) | (74) | (424) | (176) |
Recoveries | 0 | 0 | 0 | 230 |
Balance, end of period | 14,927 | 18,473 | 14,927 | 18,473 |
UPB of mortgage loans subject to representations and warranties at period end | $ 50,167,783 | $ 39,730,788 | $ 50,167,783 | $ 39,730,788 |
Commitments and Contingencies -
Commitments and Contingencies - Company's Outstanding Contractual Commitments (Detail) $ in Thousands | Sep. 30, 2016USD ($) |
Commitments to purchase mortgage loans: | |
Commitments to purchase mortgage loans acquired for sale | $ 2,431,253 |
Commitments to fund Deposits securing credit risk transfer agreements | $ 35,106 |
Shareholders' Equity - Addition
Shareholders' Equity - Additional Information (Detail) - USD ($) | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Feb. 28, 2016 | Aug. 31, 2015 | |
ATM Equity Offering Sales Agreement SM [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 |
Shareholders' Equity - Summary
Shareholders' Equity - Summary of Share Repurchase Activity (Detail) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Equity [Abstract] | ||||
Common shares repurchased | 687,144 | 1,019,487 | 7,029,048 | 1,019,487 |
Cost of common shares repurchased (in thousands) | $ 10,595 | $ 15,955 | $ 93,429 | $ 15,955 |
Cumulative shares repurchased | 8,073,535 | 8,073,535 | ||
Cumulative cost of shares repurchased | $ 109,767 | $ 109,767 |
Net Interest Income - Summary o
Net Interest Income - Summary of Net Interest Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Interest income: | ||||
ESS purchased from PFSI, at fair value | $ 58,134 | $ 61,438 | $ 164,266 | $ 147,456 |
Interest expense: | ||||
Notes payable | 2,883 | 2,375 | 9,217 | 3,369 |
Interest expense, total | 40,330 | 37,760 | 108,927 | 93,245 |
Net interest income | 17,804 | 23,678 | 55,339 | 54,211 |
PennyMac Financial Services, Inc. [Member] | ||||
Interest income: | ||||
ESS purchased from PFSI, at fair value | 4,827 | 8,026 | 17,555 | 17,596 |
Interest expense: | ||||
Notes payable | 1,974 | 1,289 | 5,798 | 1,822 |
Interest expense, total | 1,974 | 1,289 | 5,798 | 1,822 |
Nonaffiliates [Member] | ||||
Interest income: | ||||
Short-term investments | 165 | 115 | 747 | 417 |
Mortgage-backed securities | 3,394 | 2,614 | 8,863 | 7,752 |
Mortgage loans acquired for sale at fair value | 15,008 | 20,704 | 37,868 | 38,120 |
Mortgage loans at fair value | 28,952 | 24,364 | 81,180 | 68,089 |
Other | 1,748 | 17 | 3,533 | 42 |
ESS purchased from PFSI, at fair value | 53,307 | 53,412 | 146,711 | 129,860 |
Interest expense: | ||||
Assets sold under agreements to repurchase | 23,751 | 21,350 | 66,217 | 60,470 |
Mortgage loan participation and sale agreements | 361 | 226 | 1,023 | 699 |
FHLB advances | 0 | 117 | 122 | 119 |
Notes payable | 2,883 | 2,375 | 9,217 | 3,369 |
Asset-backed financings of VIEs at fair value | 5,253 | 7,586 | 10,212 | 11,583 |
Exchangeable Notes | 3,620 | 3,605 | 10,848 | 10,803 |
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations | 2,142 | 849 | 4,703 | 3,313 |
Placement fees on mortgage loan impound deposits | 346 | 363 | 787 | 1,067 |
Interest expense, total | 38,356 | 36,471 | 103,129 | 91,423 |
Nonaffiliates [Member] | Variable Interest Entities [Member] | ||||
Interest income: | ||||
Mortgage loans at fair value | $ 4,040 | $ 5,598 | $ 14,520 | $ 15,440 |
Net Gain on Mortgage Loans A135
Net Gain on Mortgage Loans Acquired for Sale - Summary of Net Gain on Mortgage Loans Acquired for Sale (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Cash loss: | ||||
Mortgage loans | $ (25,102) | $ 4,579 | $ (46,582) | $ (54,183) |
Hedging activities | (17,378) | (33,268) | (79,072) | (27,082) |
Cash gain, net of effects of cash hedging, on sale of mortgage loans acquired for sale | (42,480) | (28,689) | (125,654) | (81,265) |
Non cash gain: | ||||
Receipt of MSRs in mortgage loan sale transactions | 77,635 | 52,814 | 173,906 | 112,450 |
Provision for losses relating to representations and warranties provided in mortgage loan sales | ||||
Pursuant to mortgage loans sales | (781) | (1,833) | (2,002) | (4,177) |
Reduction in liability due to change in estimate | 5,098 | 0 | 6,822 | 0 |
Change in fair value of financial instruments held at period end: | ||||
IRLCs | (1,429) | 9,073 | 10,681 | 3,146 |
Mortgage loans | 5,228 | (17,097) | 16,980 | 1,181 |
Hedging derivatives | 587 | (384) | 2,400 | 3,884 |
Total non cash portion of gain on mortgage loans acquired for sale | 4,386 | (8,408) | 30,061 | 8,211 |
Net gain on mortgage loans acquired for sale | $ 43,858 | $ 13,884 | $ 83,133 | $ 35,219 |
Net Gain (Loss) on Investmen136
Net Gain (Loss) on Investments - Summary of Net Gain (Loss) on Investments (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Net gain (loss) on investments: | ||||
Net gain (loss) on investments | $ 14,279 | $ 24,958 | $ (5,106) | $ 51,019 |
Nonaffiliates [Member] | ||||
Net gain (loss) on investments: | ||||
Mortgage-backed securities | 517 | 3,564 | 9,948 | (1,622) |
CRT Agreements | 18,477 | 626 | 22,098 | 626 |
Asset-backed financing of a VIE at fair value | 2,990 | (3,941) | (5,974) | (719) |
Hedging derivatives | (945) | (6,777) | (245) | (18,071) |
Net gain (loss) on investments | 17,103 | 32,802 | 31,169 | 56,521 |
PennyMac Financial Services, Inc. [Member] | ||||
Net gain (loss) on investments: | ||||
Net gain (loss) on investments | (2,824) | (7,844) | (36,275) | (5,502) |
Variable Interest Entities [Member] | Nonaffiliates [Member] | ||||
Net gain (loss) on investments: | ||||
Mortgage loans at fair value | (536) | 7,421 | 7,810 | (2,856) |
Distressed mortgage loans [Member] | Nonaffiliates [Member] | ||||
Net gain (loss) on investments: | ||||
Mortgage loans at fair value | $ (3,400) | $ 31,909 | $ (2,468) | $ 79,163 |
Net Mortgage Loan Servicing 137
Net Mortgage Loan Servicing Fees - Summary of Net Loan Servicing Fees (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Components of Net Servicing Fee Income [Line Items] | ||||
Servicing fees | $ 34,304 | $ 25,500 | $ 94,754 | $ 74,016 |
MSR recapture income from PFSI | 409 | 670 | 849 | 670 |
Effect of MSRs: | ||||
Amortization | (17,902) | (11,333) | (47,720) | (30,913) |
Provision for impairment | (3,460) | (7,845) | (44,336) | (7,142) |
Gain on sale | 0 | 4 | 11 | 87 |
Carried at fair value-change in fair value | (3,202) | (5,266) | (19,558) | (8,776) |
Total Effect of MSRs | (48,608) | (32,876) | ||
Net mortgage loan servicing fees | 15,761 | 20,791 | 47,006 | 41,810 |
Average servicing portfolio | 48,997,875 | 38,172,371 | 46,125,926 | 36,446,663 |
Mortgage service rights [Member] | ||||
Effect of MSRs: | ||||
Gains on hedging derivatives | 5,612 | 19,061 | 63,006 | 13,868 |
Total Effect of MSRs | $ (18,952) | $ (5,379) | $ (48,597) | $ (32,876) |
Share-Based Compensation Pla138
Share-Based Compensation Plans - Summary of Share-Based Compensation Activity (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | ||||
Total share units granted | 0 | 0 | 330,076 | 294,684 |
Total fair value of share units granted | $ 0 | $ 0 | $ 4,041 | $ 6,286 |
Total share units vested | 0 | 0 | 298,581 | 301,763 |
Compensation expense | $ 1,129 | $ 1,294 | $ 4,142 | $ 4,979 |
RSUs [Member] | ||||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | ||||
Total share units granted | 0 | 0 | 217,997 | 294,684 |
Total fair value of share units granted | $ 0 | $ 0 | $ 2,690 | $ 6,286 |
Total share units vested | 0 | 0 | 298,581 | 301,763 |
PSUs [Member] | ||||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | ||||
Total share units granted | 0 | 0 | 112,079 | 0 |
Total fair value of share units granted | $ 0 | $ 0 | $ 1,351 | $ 0 |
Total share units vested | 0 | 0 | 0 | 0 |
Other Expenses - Summary of Oth
Other Expenses - Summary of Other Expenses (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | $ 6,146 | $ 5,474 | $ 18,297 | $ 15,526 |
Real Estate Held for Investment [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | 821 | 146 | 2,308 | 213 |
Mortgage Loan Origination [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | 2,202 | 1,367 | 4,880 | 3,496 |
Common Overhead Allocation from PFSI [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | 1,417 | 2,550 | 6,413 | 7,487 |
Technology [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | 279 | 307 | 1,045 | 910 |
Insurance [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | 304 | 309 | 938 | 984 |
Other [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | $ 1,123 | $ 795 | $ 2,713 | $ 2,436 |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Income Tax Examination [Line Items] | ||||
Effective income tax rate | 21.30% | 14.00% | 6.80% | (12.10%) |
Expense (benefit) from income taxes | $ 9,606 | $ 6,295 | $ 3,262 | $ (8,016) |
Income (loss) before benefit from income taxes | 45,014 | 45,107 | 47,899 | 66,375 |
Taxable REIT Subsidiary [Member] | ||||
Income Tax Examination [Line Items] | ||||
Expense (benefit) from income taxes | 9,700 | 6,100 | 3,600 | (6,800) |
Income (loss) before benefit from income taxes | $ 24,200 | $ 14,800 | $ 9,000 | $ (16,500) |
Segments and Related Informa141
Segments and Related Information - Financial Highlights by Operating Segment (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
Net investment income: | |||||
Interest income | $ 58,134 | $ 61,438 | $ 164,266 | $ 147,456 | |
Interest expense | (40,330) | (37,760) | (108,927) | (93,245) | |
Net interest income | 17,804 | 23,678 | 55,339 | 54,211 | |
Net gain on mortgage loans acquired for sale | 43,858 | 13,884 | 83,133 | 35,219 | |
Net gain (loss) on investments | 14,279 | 24,958 | (5,106) | 51,019 | |
Net mortgage loan servicing fees | 15,761 | 20,791 | 47,006 | 41,810 | |
Other income (loss) | 11,624 | 7,463 | 22,788 | 15,937 | |
Net investment income | 103,326 | 90,774 | 203,160 | 198,196 | |
Expenses: | |||||
Mortgage loan fulfillment, servicing and management fees payable to PFSI | 43,319 | 35,031 | 113,796 | 98,818 | |
Other | 14,993 | 10,636 | 41,465 | 33,003 | |
Total expenses | 58,312 | 45,667 | 155,261 | 131,821 | |
Pre-tax income (loss) | 45,014 | 45,107 | 47,899 | 66,375 | |
Total assets at period end | 6,618,901 | 5,592,231 | 6,618,901 | 5,592,231 | $ 5,826,924 |
Correspondent production [Member] | |||||
Net investment income: | |||||
Interest income | 14,850 | 13,748 | 37,288 | 29,858 | |
Interest expense | (9,373) | (6,370) | (22,443) | (14,953) | |
Net interest income | 5,477 | 7,378 | 14,845 | 14,905 | |
Net gain on mortgage loans acquired for sale | 43,858 | 13,884 | 83,133 | 35,219 | |
Net gain (loss) on investments | 0 | 0 | 0 | 0 | |
Net mortgage loan servicing fees | 0 | 0 | 0 | 0 | |
Other income (loss) | 12,724 | 9,154 | 28,097 | 21,857 | |
Net investment income | 62,059 | 30,416 | 126,075 | 71,981 | |
Expenses: | |||||
Mortgage loan fulfillment, servicing and management fees payable to PFSI | 27,969 | 18,367 | 61,033 | 47,313 | |
Other | 2,707 | 1,876 | 6,315 | 4,803 | |
Total expenses | 30,676 | 20,243 | 67,348 | 52,116 | |
Pre-tax income (loss) | 31,383 | 10,173 | 58,727 | 19,865 | |
Total assets at period end | 2,072,185 | 1,073,070 | 2,072,185 | 1,073,070 | |
Investment activities [Member] | |||||
Net investment income: | |||||
Interest income | 43,284 | 47,690 | 126,978 | 117,598 | |
Interest expense | (30,957) | (31,390) | (86,484) | (78,292) | |
Net interest income | 12,327 | 16,300 | 40,494 | 39,306 | |
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 | |
Net gain (loss) on investments | 14,279 | 24,958 | (5,106) | 51,019 | |
Net mortgage loan servicing fees | 15,761 | 20,791 | 47,006 | 41,810 | |
Other income (loss) | (1,100) | (1,691) | (5,309) | (5,920) | |
Net investment income | 41,267 | 60,358 | 77,085 | 126,215 | |
Expenses: | |||||
Mortgage loan fulfillment, servicing and management fees payable to PFSI | 15,350 | 16,664 | 52,763 | 51,505 | |
Other | 12,286 | 8,760 | 35,150 | 28,200 | |
Total expenses | 27,636 | 25,424 | 87,913 | 79,705 | |
Pre-tax income (loss) | 13,631 | 34,934 | (10,828) | 46,510 | |
Total assets at period end | $ 4,546,716 | $ 4,519,161 | $ 4,546,716 | $ 4,519,161 |
Supplemental Cash Flow Infor142
Supplemental Cash Flow Information - Summary of Supplemental Cash Flow Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Additional Cash Flow Elements And Supplemental Cash Flow Information [Abstract] | ||||
Cash paid for interest | $ 111,008 | $ 85,876 | ||
Income taxes paid, net | 388 | 700 | ||
Non-cash investing activities: | ||||
Receipt of MSRs as proceeds from sales of mortgage loans | $ 77,635 | $ 52,814 | 173,906 | 112,450 |
Transfer of mortgage loans and advances to real estate acquired in settlement of loans | 42,300 | 82,405 | 156,352 | 240,483 |
Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment | 17,548 | 4,440 | ||
Receipt of ESS pursuant to recapture agreement with PFSI | 5,039 | 4,833 | ||
Non-cash financing activities: | ||||
Dividends payable | $ 31,804 | $ 35,019 | $ 31,804 | $ 35,019 |
Regulatory Capital and Liqui143
Regulatory Capital and Liquidity Requirements - Additional Information (Detail) | 9 Months Ended |
Sep. 30, 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) - Fannie Mae and Freddie Mac [Member] - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Capital Requirements By Agencies [Line Items] | ||
Net Worth | $ 416,721 | $ 409,930 |
Required | $ 129,771 | $ 107,405 |
Total Assets Ratio | 11.00% | 13.00% |
Required | 6.00% | 6.00% |
Liquidity | $ 113,271 | $ 46,030 |
Required | $ 17,818 | $ 16,481 |
Subsequent Events - Additional
Subsequent Events - Additional Information (Detail) - USD ($) | Oct. 21, 2016 | Oct. 26, 2016 | Oct. 14, 2016 | Sep. 30, 2016 |
Subsequent Event [Member] | ||||
Subsequent Event [Line Items] | ||||
UPB agreement to sell | $ 172,000,000 | |||
UPB sale scheduled settlement month | 2016-12 | |||
MS Repurchase Agreement [Member] | ||||
Subsequent Event [Line Items] | ||||
Repurchase agreement, amount committed | $ 200,000,000 | |||
MS Repurchase Agreement [Member] | Maximum [Member] | ||||
Subsequent Event [Line Items] | ||||
Repurchase agreement, aggregate purchase price | 300,000,000 | |||
MS Repurchase Agreement [Member] | Morgan Stanley Bank, N.A. and Morgan Stanley Mortgage Capital Holdings LLC [Member] | ||||
Subsequent Event [Line Items] | ||||
Repurchase agreement, amount committed | 250,000,000 | |||
Repurchase agreement, increase in aggregate purchase price | 400,000,000 | |||
JPM Repurchase Agreement | JPMorgan Chase Bank, N.A. [Member] | Subsequent Event [Member] | ||||
Subsequent Event [Line Items] | ||||
Repurchase agreement, aggregate purchase price | $ 200,000,000 | |||
Repurchase agreement, amount committed | $ 50,000,000 | |||
Repurchase Agreement and the Re-warehouse Facility [Member] | ||||
Subsequent Event [Line Items] | ||||
Repurchase agreement, amount committed | 650,000,000 | |||
Repurchase agreement, amount committed | 300,000,000 | |||
Repurchase Agreement and the Re-warehouse Facility [Member] | Maximum [Member] | ||||
Subsequent Event [Line Items] | ||||
Repurchase agreement, aggregate purchase price | $ 850,000,000 | |||
Repurchase Agreement and the Re-warehouse Facility [Member] | Credit Suisse First Boston Mortgage Capital LLC [Member] | Maximum [Member] | Subsequent Event [Member] | ||||
Subsequent Event [Line Items] | ||||
Repurchase agreement, aggregate purchase price | $ 1,150,000,000 |