Document and Entity Information
Document and Entity Information - USD ($) | 12 Months Ended | ||
Dec. 31, 2016 | Feb. 21, 2017 | Jun. 30, 2016 | |
Document And Entity Information [Abstract] | |||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Period End Date | Dec. 31, 2016 | ||
Document Fiscal Year Focus | 2,016 | ||
Document Fiscal Period Focus | FY | ||
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 Well-known Seasoned Issuer | Yes | ||
Entity Current Reporting Status | Yes | ||
Entity Voluntary Filers | No | ||
Entity Filer Category | Large Accelerated Filer | ||
Entity Common Stock, Shares Outstanding | 66,701,272 | ||
Entity Public Float | $ 1,077,928,941 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
ASSETS | ||
Cash | $ 34,476 | $ 58,108 |
Short-term investments | 122,088 | 41,865 |
Mortgage-backed securities at fair (includes $863,802 and $322,473 pledged to creditors, respectively) | 865,061 | 322,473 |
Mortgage loans acquired for sale at fair value (includes $1,653,748 and $1,268,455 pledged to creditors, respectively) | 1,673,112 | 1,283,795 |
Mortgage loans at fair value | 1,721,741 | 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. | 288,669 | 412,425 |
Derivative assets | 33,709 | 10,085 |
Real estate acquired in settlement of loans (includes $215,713 and $283,343 pledged to creditors, respectively) | 274,069 | 341,846 |
Real estate held for investment | 29,324 | 8,796 |
Mortgage servicing rights pledged to creditors (includes $64,136 and $66,584 carried at fair value, respectively) | 656,567 | 459,741 |
Servicing advances | 76,950 | 88,010 |
Deposits securing credit risk transfer agreements | 450,059 | 147,000 |
Other | 124,586 | 88,186 |
Total assets | 6,357,502 | 5,826,924 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 3,784,001 | 3,128,780 |
Mortgage loan participation and sale agreements | 25,917 | 0 |
Notes payable | 275,106 | 236,015 |
Exchangeable senior notes | 246,089 | 245,054 |
Asset-backed financing of a variable interest entity at fair value | 353,898 | 247,690 |
Interest-only security payable at fair value | 4,114 | 0 |
Federal Home Loan Bank advances | 0 | 183,000 |
Derivative liabilities | 9,573 | 3,157 |
Accounts payable and accrued liabilities | 107,758 | 64,474 |
Income taxes payable | 18,166 | 33,505 |
Liability for losses under representations and warranties | 15,350 | 20,171 |
Total liabilities | 5,006,388 | 4,330,811 |
SHAREHOLDERS’ EQUITY | ||
Common shares of beneficial interest—authorized, 500,000,000 common shares of $0.01 par value; issued and outstanding, 66,697,286 and 73,767,435 common shares | 667 | 738 |
Additional paid-in capital | 1,377,171 | 1,469,722 |
(Accumulated deficit) retained earnings | (26,724) | 25,653 |
Total shareholders’ equity | 1,351,114 | 1,496,113 |
Total liabilities and shareholders’ equity | 6,357,502 | 5,826,924 |
Variable Interest Entities [Member] | ||
ASSETS | ||
Mortgage loans at fair value | 367,169 | 455,394 |
Derivative assets | 15,610 | 593 |
Deposits securing credit risk transfer agreements | 450,059 | 147,000 |
Other—interest receivable | 1,058 | 1,447 |
Total assets of Consolidated Variable Interest Entity | 833,896 | 604,434 |
LIABILITIES | ||
Asset-backed financing of a variable interest entity at fair value | 353,898 | 247,690 |
Interest-only security payable at fair value | 4,114 | 0 |
Accounts payable and accrued liabilities—interest payable | 1,058 | 724 |
SHAREHOLDERS’ EQUITY | ||
Total liabilities of Consolidated Variable Interest Entity | 359,070 | 248,414 |
PennyMac Financial Services, Inc. [Member] | ||
ASSETS | ||
Due from PennyMac Financial Services, Inc. | 7,091 | 8,806 |
LIABILITIES | ||
Notes payable | 150,000 | 150,000 |
Due to PennyMac Financial Services, Inc. | $ 16,416 | $ 18,965 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Mortgage-backed securities at fair value, pledged to creditors | $ 863,802 | $ 322,473 |
Mortgage loans acquired for sale at fair value, pledged to creditors | 1,653,748 | 1,268,455 |
Mortgage loans at fair value, pledged to creditors | 1,712,190 | 2,201,513 |
Derivative assets, pledged to creditors | 9,078 | |
Real estate pledged to creditors | 215,713 | 283,343 |
Mortgage servicing rights at fair value | 64,136 | $ 66,584 |
Deposits securing credit risk transfer agreements, pledged to creditors | $ 414,610 | |
Common shares, authorized | 500,000,000 | 500,000,000 |
Common shares, par value | $ 0.01 | $ 0.01 |
Common shares, issued | 66,697,286 | 73,767,435 |
Common shares, outstanding | 66,697,286 | 73,767,435 |
Real Estate Acquired in Satisfaction of Debt [Member] | ||
Real estate pledged to creditors | $ 215,713 | $ 283,343 |
Consolidated Statements of Inco
Consolidated Statements of Income - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Net investment income | |||
Net gain on mortgage loans acquired for sale | $ 106,442 | $ 51,016 | $ 35,647 |
Mortgage loan origination fees | 41,993 | 28,702 | 18,184 |
Interest income | 222,122 | 201,345 | 172,348 |
Interest expense: | |||
Interest expense | 149,768 | 124,708 | 85,589 |
Net interest income | 72,354 | 76,637 | 86,759 |
Net mortgage loan servicing fees | 54,789 | 49,319 | 37,893 |
Net gain on investments | 7,175 | 53,985 | 201,809 |
Results of real estate acquired in settlement of loans | (19,118) | (19,177) | (32,451) |
Other | 8,453 | 8,283 | 8,900 |
Net investment income | 272,088 | 248,765 | 356,741 |
Expenses | |||
Mortgage loan fulfillment fees | 86,465 | 58,607 | 48,719 |
Mortgage loan servicing fees | 50,615 | 46,423 | 52,522 |
Management fees | 20,657 | 24,194 | 35,035 |
Mortgage loan collection and liquidation | 13,436 | 10,408 | 6,892 |
Mortgage loan origination | 7,108 | 4,686 | 2,638 |
Compensation | 7,000 | 7,366 | 8,328 |
Professional services | 6,819 | 7,306 | 8,380 |
Other | 18,225 | 16,471 | 14,763 |
Total expenses | 210,325 | 175,461 | 177,277 |
Income before benefit from income taxes | 61,763 | 73,304 | 179,464 |
Benefit from income taxes | (14,047) | (16,796) | (15,080) |
Net income | $ 75,810 | $ 90,100 | $ 194,544 |
Earnings per share | |||
Basic | $ 1.09 | $ 1.19 | $ 2.62 |
Diluted | $ 1.08 | $ 1.16 | $ 2.47 |
Weighted-average common shares outstanding | |||
Basic | 68,642 | 74,446 | 73,495 |
Diluted | 77,109 | 83,336 | 82,211 |
Nonaffiliates [Member] | |||
Net investment income | |||
Net gain on mortgage loans acquired for sale | $ 97,218 | $ 43,441 | $ 31,395 |
Interest income | 199,521 | 175,980 | 159,056 |
Interest expense: | |||
Interest expense | 141,938 | 121,365 | 85,589 |
Net mortgage loan servicing fees | 53,216 | 48,532 | 37,884 |
Net gain on investments | 24,569 | 50,746 | 222,643 |
PennyMac Financial Services, Inc. [Member] | |||
Net investment income | |||
Net gain on mortgage loans acquired for sale | 9,224 | 7,575 | 4,252 |
Interest income | 22,601 | 25,365 | 13,292 |
Interest expense: | |||
Interest expense | 7,830 | 3,343 | 0 |
Net mortgage loan servicing fees | 1,573 | 787 | 9 |
Net gain on investments | $ (17,394) | $ 3,239 | $ (20,834) |
Consolidated Statements of Chan
Consolidated Statements of Changes in Shareholders' Equity - USD ($) shares in Thousands, $ in Thousands | Total | Common Shares [Member] | Additional Paid-in Capital [Member] | Retained Earnings (Accumulated Deficit) [Member] |
Balance, Amount at Dec. 31, 2013 | $ 1,467,114 | $ 705 | $ 1,384,468 | $ 81,941 |
Balance, Shares at Dec. 31, 2013 | 70,458 | 0 | ||
Net income | 194,544 | $ 0 | 0 | $ 194,544 |
Share-based compensation, Amount | 5,752 | $ 2 | 5,750 | $ 0 |
Share-based compensation, Shares | 235 | 0 | ||
Common share dividends | (178,757) | $ 0 | 0 | $ (178,757) |
Issuance of common shares, Amount | 90,589 | $ 38 | 90,551 | $ 0 |
Issuance of common shares, Shares | 3,817 | 0 | ||
Underwriting and offering costs | (1,070) | $ 0 | (1,070) | $ 0 |
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 | 7,508 | |||
Balance, Amount at Mar. 31, 2015 | 1,542,159 | |||
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 | 90,100 | $ 0 | 0 | $ 90,100 |
Share-based compensation, Amount | 6,346 | $ 3 | 6,343 | $ 0 |
Share-based compensation, Shares | 302 | 0 | ||
Common share dividends | (162,175) | $ 0 | 0 | $ (162,175) |
Issuance of common shares, Amount | 8 | $ 0 | 8 | $ 0 |
Issuance of common shares, Shares | 0 | 0 | ||
Repurchase of common shares, Amount | $ (16,338) | $ (10) | (16,328) | $ 0 |
Repurchase of common shares, Shares | (1,045) | (1,045) | 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 | ||
Balance, Amount at Mar. 31, 2015 | 1,542,159 | |||
Net income | 28,071 | |||
Balance, Amount at Jun. 30, 2015 | 1,525,297 | |||
Net income | 38,812 | |||
Balance, Amount at Sep. 30, 2015 | 1,514,430 | |||
Net income | 15,709 | |||
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 | 14,496 | |||
Balance, Amount at Mar. 31, 2016 | 1,414,503 | |||
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 | 75,810 | $ 0 | 0 | $ 75,810 |
Share-based compensation, Amount | 5,748 | $ 3 | 5,745 | $ 0 |
Share-based compensation, Shares | 298 | 0 | ||
Common share dividends | (128,187) | $ 0 | 0 | $ (128,187) |
Repurchase of common shares, Amount | $ (98,370) | $ (74) | (98,296) | $ 0 |
Repurchase of common shares, Shares | (7,368) | (7,368) | 0 | |
Balance, Amount at Dec. 31, 2016 | $ 1,351,114 | $ 667 | 1,377,171 | $ (26,724) |
Balance, Shares at Dec. 31, 2016 | 66,697 | 0 | ||
Balance, Amount at Mar. 31, 2016 | 1,414,503 | |||
Net income | (5,267) | |||
Balance, Amount at Jun. 30, 2016 | 1,360,827 | |||
Net income | 35,408 | |||
Balance, Amount at Sep. 30, 2016 | 1,354,918 | |||
Net income | 31,174 | |||
Balance, Amount at Dec. 31, 2016 | $ 1,351,114 | $ 667 | $ 1,377,171 | $ (26,724) |
Balance, Shares at Dec. 31, 2016 | 66,697 | 0 |
Consolidated Statements of Cha6
Consolidated Statements of Changes in Shareholders' Equity (Parenthetical) - $ / shares | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Retained Earnings (Accumulated Deficit) [Member] | |||
Common share dividends declared per share | $ 1.88 | $ 2.16 | $ 2.40 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Cash flows from operating activities | |||
Net income | $ 75,810 | $ 90,100 | $ 194,544 |
Adjustments to reconcile net income to net cash used by operating activities: | |||
Net gain on mortgage loans acquired for sale | (106,442) | (51,016) | (35,647) |
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 | 1,766 | (719) | (1,588) |
Capitalization of interest on mortgage loans at fair value | (84,820) | (57,754) | (66,850) |
Capitalization of interest on excess servicing spread | (22,601) | (25,365) | (13,292) |
Amortization of debt issuance costs | 13,152 | 11,587 | 9,763 |
Change in fair value, amortization and impairment of mortgage servicing rights | 78,628 | 53,615 | 42,124 |
Reversal of costs related to forward purchase agreements | 0 | 0 | (168) |
Net gain on investments | (7,175) | (53,985) | (201,809) |
Results of real estate acquired in settlement of loans | 19,118 | 19,177 | 32,451 |
Share-based compensation expense | 5,748 | 6,346 | 5,752 |
Purchase of mortgage loans acquired for sale at fair value from nonaffiliates | (66,112,316) | (46,423,734) | (28,381,456) |
Purchase of mortgage loans acquired for sale at fair value from PennyMac Financial Services, Inc. | (21,541) | (28,445) | (8,082) |
Repurchase of mortgage loans subject to representation and warranties | (11,380) | (17,782) | 1,747 |
Sale and repayment of mortgage loans acquired for sale at fair value to nonaffiliates | 23,525,952 | 14,206,816 | 11,703,015 |
Sale of mortgage loans acquired for sale to PennyMac Financial Services, Inc. | 42,051,505 | 31,490,920 | 16,431,338 |
Decrease (increase) in servicing advances | 4,672 | (30,255) | (40,084) |
Decrease (increase) in due from PennyMac Financial Services, Inc. | 1,640 | (1,863) | (127) |
Increase in other assets | (62,028) | (36,161) | (24,910) |
Increase (decrease) in accounts payable and accrued liabilities | 46,657 | 7,984 | (6,361) |
(Decrease) Increase in due to PennyMac Financial Services, Inc. | (2,549) | (4,742) | 2,122 |
Decrease in income taxes payable | (15,339) | (17,912) | (8,518) |
Net cash used in operating activities | (621,543) | (863,188) | (366,036) |
Cash flows from investing activities | |||
Net (increase) decrease in short-term investments | (80,223) | 98,035 | (47,502) |
Purchase of mortgage-backed securities at fair value | (765,467) | (84,828) | (185,972) |
Sale and repayment of mortgage-backed securities at fair value | 206,508 | 64,459 | 86,783 |
Purchase of mortgage loans at fair value | 0 | (241,981) | (554,604) |
Sale and repayment of mortgage loans at fair value | 712,975 | 279,683 | 598,339 |
Sale of mortgage loans at fair value to PennyMac Financial Services, Inc. | 891 | 1,466 | 0 |
Repayment of mortgage loans under forward purchase agreements at fair value | 0 | 0 | 6,413 |
Purchase of excess servicing spread from PennyMac Financial Services, Inc. | 0 | (271,554) | (95,892) |
Repayment of excess servicing spread by PennyMac Financial Services, Inc. | 69,992 | 78,578 | 39,257 |
Settlement of excess servicing spread by PennyMac Financial Services, Inc. | 59,045 | 0 | 0 |
Net settlement of derivative financial instruments | (7,216) | (6,809) | (10,436) |
Purchase of real estate acquired in settlement of loans | 0 | 0 | (3,049) |
Sale of real estate acquired in settlement of loans | 234,684 | 240,833 | 184,467 |
Sale of real estate acquired in settlement of loans under forward purchase agreements | 0 | 0 | 5,365 |
Purchase of mortgage servicing rights | (2,739) | (2,335) | 0 |
Sale of mortgage servicing rights | 106 | 752 | 474 |
Deposit of cash securing credit risk transfer agreements | (306,507) | (147,446) | 0 |
Distribution from credit risk transfer agreements | 24,746 | 1,831 | 0 |
Decrease in margin deposits and restricted cash | 40,062 | 8,148 | 4,329 |
Purchase of Federal Home Loan Bank capital stock | (225) | (7,691) | 0 |
Redemption of Federal Home Loan Bank capital stock | 7,320 | 361 | 0 |
Net cash provided by investing activities | 193,952 | 11,502 | 27,972 |
Cash flows from financing activities | |||
Sale of assets under agreements to repurchase | 70,684,674 | 50,133,359 | 31,873,913 |
Repurchase of assets sold under agreements to repurchase | (70,030,317) | (49,733,160) | (31,183,387) |
Sale of mortgage loan participation certificates | 6,579,706 | 5,009,065 | 4,246,892 |
Repayment of mortgage loan participation certificates | (6,553,789) | (5,029,301) | (4,226,656) |
Advance under notes payable | 129,812 | 394,242 | 0 |
Repayment under notes payable | (90,812) | (158,343) | 0 |
Issuance of asset-backed financing of a variable interest entity at fair value | 182,400 | 110,482 | 0 |
Repayment of asset-backed financing of a variable interest entity at fair value | (73,624) | (24,951) | (8,571) |
Federal Home Loan Bank advances | 28,000 | 760,484 | 0 |
Repayment of Federal Home Loan Bank advances | (211,000) | (577,484) | 0 |
Advance under financings payable to PennyMac Financial Services, Inc. | 0 | 168,546 | 0 |
Repayment under financings payable to PennyMac Financial Services, Inc. | 0 | (18,546) | 0 |
Issuance of credit risk transfer financing | 0 | 1,204,187 | 0 |
Repayment of credit risk transfer financing | 0 | (1,204,187) | 0 |
Repayment of borrowings under forward purchase agreements | 0 | 0 | (227,866) |
Payment of debt issuance costs | (11,161) | (10,928) | 0 |
Issuance of common shares | 0 | 8 | 90,589 |
Repurchase of common shares | (98,370) | (16,338) | 0 |
Payment of common share underwriting and offering costs | 0 | 0 | (1,070) |
Payment of contingent underwriting fees payable | 0 | (705) | (2,372) |
Payment of dividends | (131,560) | (173,022) | (174,433) |
Net cash provided by financing activities | 403,959 | 833,408 | 387,039 |
Net increase in cash | (23,632) | (18,278) | 48,975 |
Net (decrease) increase in cash | (23,632) | (18,278) | 48,975 |
Cash at beginning of year | 58,108 | 76,386 | 27,411 |
Cash at end of year | $ 34,476 | $ 58,108 | $ 76,386 |
Organization
Organization | 12 Months Ended |
Dec. 31, 2016 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Organization | Note 1—Organization 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 investment activities segment represents the Company’s investments in mortgage-related assets, which include 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”), mortgage-backed securities (“MBS”); and small balance commercial real estate loans. • The correspondent production segment represents the Company’s operations aimed at serving as an intermediary between mortgage lenders and the capital markets by purchasing, pooling and reselling newly originated prime credit quality mortgage loans either directly or in the form of MBS using the services of 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 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 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. |
Concentration of Risks
Concentration of Risks | 12 Months Ended |
Dec. 31, 2016 | |
Risks And Uncertainties [Abstract] | |
Concentration of Risks | Note 2—Concentration of Risks As discussed in Note 1— Organization 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: December 31, 2016 December 31, 2015 (in thousands) Mortgage loans at fair value $ 519,698 $ 855,691 REO 49,048 88,088 $ 568,746 $ 943,779 Total carrying value of distressed mortgage loans at fair value and REO $ 1,628,641 $ 2,442,240 |
Significant Accounting Policies
Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2016 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies | Note 3—Significant Accounting Policies PMT’s significant accounting policies are summarized below. Basis of Presentation The Company’s 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 Use of Estimates 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. Consolidation The consolidated financial statements include the accounts of PMT and all wholly-owned subsidiaries. PMT has no significant equity method or cost-basis investments. Intercompany accounts and transactions have been eliminated upon consolidation. The Company also consolidates assets and liabilities included in a securitization transaction, and CRT Agreements as discussed below. Securitization Transactions The Company enters into various types of on- and off-balance sheet transactions with special purpose entities (“SPEs”), which are trusts that are established for a limited purpose. Generally, SPEs are formed in connection with securitization transactions. In a securitization transaction, the Company transfers mortgage loans on its balance sheet to an SPE, which then issues to investors various forms of beneficial interests in those assets. In a securitization transaction, the Company typically receives a combination of cash and interests in the SPE in exchange for the assets transferred by the Company. SPEs are generally Variable Interest Entities (“VIEs”). A VIE is an entity having either a total equity investment at risk that is insufficient to finance its activities without additional subordinated financial support or whose equity investors at risk lack the ability to control the entity’s activities. Variable interests are investments or other interests that will absorb portions of a VIE’s expected losses or receive portions of the VIE’s expected residual returns. Expected residual returns represent the expected positive variability in the fair value of a VIE’s net assets. PMT consolidates the assets and liabilities of VIEs of which the Company is the primary beneficiary. The primary beneficiary is the party that has both the power to direct the activities that most significantly impact the VIE and holds a variable interest that could potentially be significant to the VIE. To determine whether a variable interest the Company holds could potentially be significant to the VIE, the Company considers both qualitative and quantitative factors regarding the nature, size and form of its involvement with the VIE. The Company assesses whether it is the primary beneficiary of a VIE on an ongoing basis. The Company evaluates the securitization trust into which mortgage loans are transferred to determine whether the entity is a VIE and whether the Company is the primary beneficiary and therefore is required to consolidate the securitization trust. 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 unpaid principal balance (“UPB”) of certificates backed by fixed-rate prime jumbo mortgage loans at a 3.9% weighted yield. The VIE is consolidated by the Company as the Manager determined that PMT is the primary beneficiary of the VIE. The Manager concluded that PMT is the primary beneficiary of the VIE as it has the power, through its affiliate, PLS, in its role as servicer of the mortgage loans, to direct the activities of the trust that most significantly impact the trust’s economic performance. Further, the retained subordinated and residual interest trust certificates expose the Company to losses and returns that could potentially be significant to the VIE. The asset-backed securities issued by the consolidated VIE are backed by the expected cash flows from the underlying fixed-rate prime jumbo mortgage loans. Cash inflows from these fixed-rate prime jumbo mortgage loans are distributed to investors and service providers in accordance with the contractual priority of payments and, as such, most of these inflows must be directed first to service and repay the senior certificates. After the senior certificates are settled, substantially all cash inflows will be directed to the subordinated certificates until fully repaid and, thereafter, to the residual interest in the trust that the Company owns. The Company retains beneficial interests in the securitization transaction, including subordinated certificates and residual interests issued by the VIE. The Company retains credit risk in the securitization because the Company’s beneficial interests include the most subordinated interests in the securitized assets, which are the first to absorb credit losses on those assets. The Manager expects that any credit losses in the pools of securitized assets will likely be limited to the Company’s subordinated and residual interests. The Company has no obligation to repurchase or replace securitized assets that subsequently become delinquent or are otherwise in default other than pursuant to breaches of representations and warranties. For financial reporting purposes, the mortgage loans owned by the consolidated VIE are included in Mortgage loans at fair value Asset-backed financing of a variable interest entity at fair value Credit Risk Transfer 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 (“Recourse Obligations”) as part of the retention of an interest-only (“IO”) ownership interest in such mortgage loans. 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. 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 topic of the ASC. The Manager has concluded that the Company’s subsidiary trust entities are VIEs and the Company is the primary beneficiary of the VIEs as it is the holder of the primary beneficial interests which absorb the variability of the trusts’ results of operations. Consolidation of the VIEs results in the inclusion on the Company’s consolidated balance sheet of the fair value of the Recourse Obligations, retained IO ownership interest and the cash pledged to fulfill the Recourse Obligations in the form of a derivative financial instrument and the pledged cash. The pledged cash represents the Company’s maximum contractual exposure to claims under its Recourse Obligations and is the sole source of settlement of losses under the CRT Agreements. Gains and losses on net derivatives related to CRT Agreements are included in Net gain on investments in the consolidated statements of income. Fair Value PMT groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the inputs used to determine fair value. These levels are: • Level 1—Quoted prices in active markets for identical assets or liabilities. • Level 2—Prices determined or determinable using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing an asset or liability and are developed based on market data obtained from sources independent of the Company. These may include quoted prices for similar assets and liabilities, interest rates, prepayment speeds, credit risk and other inputs. • Level 3—Prices determined using significant unobservable inputs. In situations where significant observable inputs are unavailable, unobservable inputs may be used. Unobservable inputs reflect the Company’s own judgments about the factors that market participants use in pricing an asset or liability, and are based on the best information available in the circumstances. As a result of the difficulty in observing certain significant valuation inputs affecting “Level 3” fair value assets and 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 financial statement items and their fair values. Likewise, due to the general illiquidity of some of these assets and liabilities, subsequent transactions may be at values significantly different from those reported. The Manager reclassifies its assets and liabilities between levels of the fair value hierarchy when the inputs required to establish fair value at a level of the fair value hierarchy are no longer readily available, requiring the use of lower-level inputs, or when the inputs required to establish fair value at a higher level of the hierarchy become available. Short-Term Investments Short-term investments are carried at fair value with changes in fair value recognized in current period income. Short-term investments represent deposit accounts. The Company categorizes its short-term investments as “Level 1” fair value assets. Mortgage-Backed Securities The Company invests in Agency and non-Agency MBS. Purchases and sales of MBS are recorded as of the trade date. The Company’s investments in MBS are carried at fair value with changes in fair value recognized in current period income. Changes in fair value arising from amortization of purchase premiums and accrual of unearned discounts are recognized using the interest method and are included in Interest income. Net gain (loss) on investments. Interest Income Recognition Interest income on MBS is recognized over the life of the security using the interest method. The Manager estimates, at the time of purchase, the future expected cash flows and determines the effective interest rate based on the estimated cash flows and the security’s purchase price. The Manager updates its cash flow estimates monthly. Estimating cash flows requires a number of inputs that are subject to uncertainties, including the rate and timing of principal payments (including prepayments, repurchases, defaults and liquidations), coupon interest rate, interest rate fluctuations, interest payment shortfalls due to delinquencies on the underlying mortgage loans, the likelihood of modification and the timing of the magnitude of credit losses on the mortgage loans underlying the securities. The Manager applies its judgment in developing its estimates. However, these uncertainties are difficult to predict; therefore, the outcome of future events will affect the timing and amount of interest income. Mortgage Loans Mortgage loans are carried at their fair values. Changes in the fair value of mortgage loans are recognized in current period income. Changes in fair value, other than changes in fair value attributable to accrual of unearned discounts and amortization of purchase premiums, are included in Net gain on investments Net gain on mortgage loans acquired for sale Interest income Sale Recognition The Company purchases from and sells mortgage loans into the secondary mortgage market without recourse for credit losses. However, the Company maintains continuing involvement with the mortgage loans in the form of servicing arrangements and the liability under the representations and warranties it makes to purchasers and insurers of the mortgage loans. The Company recognizes transfers of mortgage loans as sales based on whether the transfer is made to a VIE: • For mortgage loans that are not transferred to a VIE, the Company recognizes the transfer as a sale when it surrenders control over the mortgage loans. Control over transferred mortgage loans is deemed to be surrendered when (i) the mortgage loans have been isolated from the Company, (ii) the transferee has the right (free of conditions that constrain it from taking advantage of that right) to pledge or exchange the transferred mortgage loans, and (iii) the Company does not maintain effective control over the transferred mortgage loans through either (a) an agreement that entitles and obligates the Company to repurchase or redeem them before their maturity or (b) the ability to unilaterally cause the holder to return specific mortgage loans. • For mortgage loans that are transferred to a VIE, the Company recognizes the transfer as a sale when the Manager determines that the Company is not the primary beneficiary of the VIE, as the Company does not both have the power to direct the activities that will have the most significant economic impact on the VIE and does not hold a variable interest that could potentially be significant to the VIE. Interest Income Recognition The Company has the ability but not the intent to hold mortgage loans acquired for sale, mortgage loans at fair value other than mortgage loans held in a VIE, and mortgage loans under forward purchase agreements for the foreseeable future. Therefore, interest income on mortgage loans acquired for sale, mortgage loans at fair value other than mortgage loans held in a VIE, and mortgage loans under forward purchase agreements is recognized over the life of the loans using their contractual interest rates. The Company has both the ability and intent to hold mortgage loans held in a VIE for the foreseeable future. Therefore, interest income on mortgage loans held in a variable interest entity is recognized over the estimated remaining life of the mortgage loans using the interest method. Unearned discounts and purchase premiums are accrued and amortized to interest income using the effective interest rate inherent in the estimated cash flows from the mortgage loans. Income recognition is suspended and the accrued unpaid interest receivable is reversed against interest income when mortgage loans become 90 days delinquent, or when, in the Manager’s opinion, a full recovery of income and principal becomes doubtful. Income recognition is resumed when the loan becomes contractually current. Excess Servicing Spread The Company has acquired the right to receive the ESS related to MSRs owned by PFSI. ESS is carried at its fair value. Changes in fair value are recognized in current period income in Net gain on investments Interest Income Recognition Interest income for ESS is accrued using the interest method, based upon the expected yield from the ESS through the expected life of the underlying mortgages. Changes to the expected interest yield result in a change in fair value which is recorded in Interest income Derivative Financial Instruments In its correspondent production activities, the Company makes contractual commitments to correspondent sellers to purchase mortgage loans at specified interest rates (“interest rate lock commitments” or “IRLCs”). These commitments are accounted for as derivative financial instruments. The Company manages the risk created by IRLCs relating to mortgage loans acquired for sale by entering into forward sale agreements to sell the resulting mortgage loans and by the purchase and sale of interest rate options and futures. Such agreements are also accounted for as derivative financial instruments. These instruments may also be used to manage the risk created by changes in interest rates on certain of the MBS and MSRs the Company holds. The Company classifies its IRLCs as “Level 3” fair value assets and liabilities and the derivative assets and liabilities it acquires to manage the risks created by IRLCs and from holding MBS, mortgage loans pending sale and MSRs as “Level 1” or “Level 2” fair value assets and liabilities. The Company enters into CRT Agreements whereby it retains a portion of the credit risk relating to mortgage loans it sells into Fannie Mae guaranteed securitizations and retains an IO ownership interest in such mortgage loans. These investments are classified as “Level 3” fair value assets. All other derivative financial instruments are used for risk management activities. The Company accounts for its derivative financial instruments as free-standing derivatives. The Company does not designate its derivative financial instruments for hedge accounting. All derivative financial instruments are recognized on the balance sheet at fair value with changes in fair value being reported in current period income. The fair value of the Company’s derivative financial instruments is included in Derivative assets Derivative liabilities Net gain on mortgage loans acquired for sale Net gain on investments Net mortgage loan servicing fees When the Company has master netting agreements with its derivatives counterparties, the Company nets its counterparty positions along with any cash collateral received from or delivered to the counterparty. Real Estate Acquired in Settlement of Loans REO is measured at the lower of the acquisition cost of the property (as measured by purchase price in the case of purchased REO; or the fair value of the mortgage loan immediately before REO acquisition in the case of acquisition in settlement of a mortgage loan) or its fair value reduced by estimated costs to sell. The Company categorizes REO as a “Level 3” fair value asset. Changes in fair value to levels that are less than or equal to acquisition cost and gains or losses on sale of REO are recognized in the consolidated statements of income under the caption Results of real estate acquired in settlement of loans Mortgage Servicing Rights MSRs arise from contractual agreements between the Company and investors (or their agents) in mortgage securities and mortgage loans. Under these contracts, the Company is obligated to provide mortgage loan servicing functions in exchange for fees and other remuneration. The servicing functions typically performed include, among other responsibilities, collecting and remitting mortgage loan payments; responding to borrower inquiries; accounting for principal and interest, holding custodial (impound) funds for payment of property taxes and insurance premiums; counseling delinquent mortgagors; and supervising the acquisition and disposition of REO. The Company has engaged PFSI to provide these services on its behalf. The Company recognizes MSRs initially at their fair values, either as proceeds from sales of mortgage loans where the Company assumes the obligation to service the mortgage loan in the sale transaction, or from the purchase of MSRs. The precise fair value of MSRs is difficult to determine because MSRs are not actively traded in observable stand-alone markets. Considerable judgment is required to estimate the fair values of these assets and the exercise of such judgment can significantly affect the Company’s earnings. Therefore, the Company categorizes its MSRs as “Level 3” fair value assets. The fair value of MSRs is derived from the net positive cash flows associated with the servicing contracts. The Company receives a servicing fee of generally 0.25% annually on the remaining outstanding principal balances of conventional mortgage loans. The servicing fees are collected from the monthly payments made by the mortgagors. The Company generally receives other remuneration including rights to various mortgagor-contracted fees such as late charges and collateral reconveyance charges and the Company is generally entitled to retain any interest earned on funds held pending remittance of mortgagor principal, interest, tax and insurance payments. The Company accounts for MSRs at either the asset’s fair value with changes in fair value recorded in current period earnings or using the amortization method with the MSRs carried at the lower of amortized cost or fair value based on the class of MSR. The Company has identified two classes of MSRs: originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5%; and originated MSRs backed by mortgage loans with initial interest rates of more than 4.5%. Originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5% are accounted for using the amortization method. Originated MSRs backed by loans with initial interest rates of more than 4.5% are accounted for at fair value with changes in fair value recorded in current period income. MSRs Accounted for Using the MSR Amortization Method The Company amortizes MSRs that are accounted for using the MSR amortization method. MSR amortization is determined by applying the ratio of the net MSR cash flows projected for the current period to the projected total remaining net MSR cash flows. The estimated total net MSR cash flows are estimated at the beginning of each month using prepayment inputs applicable at that time. The Company assesses MSRs accounted for using the amortization method for impairment monthly. Impairment occurs when the current fair value of the MSR falls below the asset’s amortized cost. If MSRs are impaired, the impairment is recognized in current-period income and the carrying value (carrying value is amortized cost reduced by a valuation allowance) of the MSRs is adjusted through a valuation allowance. If the fair value of impaired MSRs subsequently increases, the Company recognizes the increase in fair value in current-period earnings and adjusts the carrying value of the MSRs through a reduction in the valuation allowance to adjust the carrying value only to the extent of the valuation allowance. The Company stratifies its MSRs by risk characteristic when evaluating for impairment. For purposes of performing its MSR impairment evaluation, the Company stratifies its servicing portfolio on the basis of certain risk characteristics including mortgage loan type (fixed-rate or adjustable-rate) and note interest rate. Fixed-rate mortgage loans are stratified into note interest rate pools of 50 basis points for note interest rates between 3.0% and 4.5% and a single pool for note interest rates below 3%. 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 note interest rate pools is below the amortized cost of the MSRs for that pool, impairment is recognized to the extent of the difference between the fair value and the existing carrying value for that pool. 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 in the foreseeable future. When the Manager deems recovery of the 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. Amortization and impairment of MSRs are included in current period income as a component of Net mortgage loan servicing fees MSRs Accounted for at Fair Value Changes in fair value of MSRs accounted for at fair value are recognized in current period income as a component of Net mortgage loan servicing fees Servicing Advances Servicing advances represent advances made on behalf of borrowers and the mortgage loans’ investors to fund delinquent balances for property tax and insurance premiums and out of pocket costs (e.g., preservation and restoration of mortgaged property REO, legal fees, appraisals and insurance premiums). Servicing advances are made in accordance with the Company’s servicing agreements and, when made, are deemed recoverable. The Company periodically reviews servicing advances for collectability. Servicing advances are written off when they are deemed uncollectible. Borrowings Borrowings, other than Asset-backed financing of a VIE at fair value Interest expense Asset-backed financing of a VIE at Fair Value The certificates issued to nonaffiliates by the Company relating to the asset-backed financing are recorded as borrowings. Certificates issued to nonaffiliates have the right to receive principal and interest payments of the mortgage loans held by the consolidated VIE. Asset-backed financings of the VIE are carried at fair value. Changes in fair value are recognized in current period income as a component of Net gain on investments Liability for Losses Under Representations and Warranties The Company provides for its estimate of the losses that it expects to incur in the future as a result of its breach of the representations and warranties that it provides to the purchasers and insurers of the mortgage loans it has sold. The Company’s agreements with the Agencies and other investors include representations and warranties related to the mortgage loans the Company sells to the Agencies and other investors. The representations and warranties require adherence to Agency and other investor origination and underwriting guidelines, including but not limited to the validity of the lien securing the mortgage loan, property eligibility, borrower credit, income and asset requirements, and compliance with applicable federal, state and local law. In the event of a breach of its representations and warranties, the Company may be required to either repurchase the mortgage loans with the identified defects or indemnify the investor or insurer. In such cases, the Company bears any subsequent credit loss on the mortgage loans. The Company’s credit loss may be reduced by any recourse it has to correspondent lenders that, in turn, had sold such mortgage loans to the Company and breached similar or other representations and warranties. In such event, the Company has the right to seek a recovery of related repurchase losses from that correspondent lender. The Company records a provision for losses relating to representations and warranties as part of its mortgage loan sale transactions. The method used to estimate the liability for representations and warranties is a function of the representations and warranties given and considers a combination of factors, including, but not limited to, estimated future defaults and mortgage loan repurchase rates, the estimated severity of loss in the event of default and the probability of reimbursement by the correspondent mortgage loan seller. The Company establishes a liability at the time mortgage loans are sold and periodically updates its liability estimate. The level of the liability for representations and warranties is reviewed and approved by the Manager’s management credit committee. The level of the liability for representations and warranties is difficult to estimate and requires considerable management judgment. The level of mortgage loan repurchase losses is dependent on economic factors, investor demand strategies, and other external conditions that may change over the lives of the underlying mortgage loans. The Company’s representations and warranties are generally not subject to stated limits of exposure. However, the Manager believes that the current unpaid principal balance of mortgage loans sold by the Company to date represents the maximum exposure to repurchases related to representations and warranties. The Manager believes the range of reasonably possible losses in relation to the recorded liability is not material to the Company’s financial condition or income. Underwriting Commissions and Offering Costs Underwriting commissions and offering costs incurred in connection with the Company’s share offerings are reflected as a reduction of additional paid-in capital. Contingent offering costs that are deemed by the Manager as probable of being paid are recorded as a reduction of additional paid-in capital. Mortgage Loan Servicing Fees Mortgage loan servicing fees and other remuneration are received by the Company for servicing mortgage loans. Mortgage loan servicing fees are recorded net of Agency guarantee fees paid by the Company. Mortgage loan servicing fees are recognized as earned over the life of the loans in the servicing portfolio. Mortgage loan servicing fees are deemed to be earned when they are collected. Share-Based Compensation The Company amortizes the fair value of previously granted share-based awards to compensation expense over the vesting period using the graded vesting method. Expense relating to share-based awards is included in Compensation The initial cost of restricted share units awarded is established at the Company’s closing share price on the date of the award. The Company adjusts the cost of its share-based compensation awards depending on whether the awards are made to its trustees and officers or to non-employees such as officers and employees of affiliates: • For awards to officers and trustees of the Company, compensation cost relating to restricted share units is generally fixed at the fair value of the award date. Compensation relating to performance share units is adjusted for changes in expected performance attainment in each subsequent reporting period until the units have vested or expired. • Compensation cost for share-based compensation awarded to employees of the Manager is adjusted to reflect changes in the fair value of awards, including changes in the Company’s share price for both restricted share units and performance share units and, in the case of performance share units, for changes in expected performance attainment in each subsequent reporting period until the award has vested or expired, the service being provided is subsequently completed, or, under certain circumstances, is likely to be completed, whichever occurs first. The Manager’s estimates of compensation costs reflect the expected portion of share-based compensation awards that are expected to vest. Income Taxes The Company has elected to be taxed as a REIT and the Manager believes the Company complies with the provisions of the Internal Revenue Code applicable to REITs. Accordingly, the Manager believes the Company will not be subject to federal income tax on that portion of its REIT taxable income that is distributed to shareholders as long as certain asset, income and share ownership tests are met. If PMT fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to income taxes and may be precluded from qualifying as a REIT for the four tax years following the year of loss of the Company’s REIT qualification. The Company’s taxable REIT subsidiary is subject to federal and state income taxes. Income taxes are provided for using the asset and liability method. Deferred tax assets and liabilities are recognized for the future tax consequences attributable to differences between the financial statement carrying amounts of existing assets and liabilities and their respective tax bases. Deferred tax assets and liabilities are measured using enacted rates expected to apply to taxable income in the years in which the Manager expects those temporary differences to be recovered or settled. The effect on deferred taxes of a change in tax rates is recognized in income in the period in which the change occurs. A valuation allowance is established if, in the Manager’s judgment, realization of deferred tax assets is not more likely than not. The Company recognizes a tax benefit relating to tax positions it takes only if it is more likely than not that the position will be sustained upon examination by the appropriate taxing authority. A tax position that meets this standard is recognized as the largest amount that exceeds 50 percent likelihood of being realized upon settlement. The Company will classify any penalties and interest as a component of income tax expense. As of December 31, 2016 and 2015, the Company was not under examination by any federal or state income taxing authority . |
Transactions with Related Parti
Transactions with Related Parties | 12 Months Ended |
Dec. 31, 2016 | |
Related Party Transactions [Abstract] | |
Transactions with Related Parties | Note 4—Transactions with Related Parties Operating Activities Correspondent Production Activities The Company’s mortgage banking services agreement provides for a fulfillment fee paid to PLS based on the type of mortgage loan that the Company acquires. The fulfillment fee is equal to a percentage of the unpaid principal balance of mortgage loans purchased by the Company. PLS has also agreed to provide such services exclusively for the Company’s benefit, and PLS and its affiliates are prohibited from providing such services for any other party. Prior to September 12, 2016, the applicable fulfillment fee percentages were (i) 0.50% for conventional mortgage loans, (ii) 0.88% for loans sold in accordance with the Ginnie Mae Mortgage-Backed Securities Guide, and (iii) 0.50% for all other mortgage loans not contemplated above; provided, however, that PLS was permitted, in its sole discretion, to reduce the amount of the applicable fulfillment fee and credit the amount of such reduction to any reimbursement that would have otherwise been due based on volumes tied to the aggregate unpaid principal balance of the mortgage loans purchased by the Company in the related month. This reduction was only credited to the reimbursement applicable to the month in which the related mortgage was funded. Effective as of September 12, 2016, the applicable fulfillment fee percentages are (i) 0.35% for mortgage loans sold or delivered to Fannie Mae or Freddie Mac, and (ii) 0.85% for all other mortgage loans; provided however, that no fulfillment fee shall be due or payable to PLS with respect to any Ginnie Mae mortgage loans. The Company does not hold the Ginnie Mae approval required to issue securities guaranteed by Ginnie Mae MBS and act as a servicer. Accordingly, under the mortgage banking services agreement, PLS currently purchases loans salable in accordance with the Ginnie Mae Mortgage-Backed Securities Guide “as is” and without recourse of any kind from the Company at cost less any administrative fees paid by the Correspondent to PMT plus accrued interest and a sourcing fee ranging from two to three and one-half basis points, generally based on the average number of calendar days loans are held by the Company prior to purchase by PLS. The discretionary reductions and volume reimbursements described above are no longer in effect. In consideration for the mortgage banking services provided by PLS with respect to the Company’s acquisition of mortgage loans under PLS’s early purchase program, PLS is entitled to fees accruing (i) at a rate equal to $1,500 per annum per early purchase facility, and (ii) in the amount of $35 for each mortgage loan that the Company acquires. The mortgage banking services agreement expires on September 12, 2020, subject to automatic renewal for additional 18-month periods, unless terminated earlier in accordance with the terms of the agreement. Following is a summary of correspondent production activity between the Company and PLS: Year ended December 31, 2016 2015 2014 (in thousands) Mortgage loans fulfillment fees earned by PLS $ 86,465 $ 58,607 $ 48,719 Unpaid principal balance (“UPB”) of mortgage loans fulfilled by PLS $ 23,188,386 $ 14,014,603 $ 11,476,448 Sourcing fees received from PLS included in Net gain on mortgage loans acquired for sale $ 11,976 $ 8,966 $ 4,676 UPB of mortgage loans sold to PLS $ 39,908,163 $ 29,867,580 $ 15,579,322 Purchases of mortgage loans acquired for sale at fair value from PLS $ 21,541 $ 28,445 $ 8,082 Tax service fee paid to PLS included in Other $ 6,690 $ 4,390 $ 2,080 Early purchase program fees paid to PLS included in Mortgage loan servicing fees $ 30 $ — $ — December 31, 2016 December 31, 2015 (in thousands) Mortgage loans included in Mortgage loans acquired for sale at fair value pending sale to PLS $ 804,616 $ 669,288 Mortgage Loan Servicing Activities The Company, through its Operating Partnership, has a mortgage loan servicing agreement with PLS. The servicing agreement provides for servicing fees earned by PLS that are based on a percentage of the mortgage loan’s unpaid principal balance to fixed per-loan monthly amounts based on the delinquency, bankruptcy and/or foreclosure status of the serviced mortgage loan or the REO. PLS is also entitled to market-based fees and charges including boarding and deboarding, liquidation and disposition fees, assumption, modification and origination fees and late charges relating to mortgage loans it services for the Company. The servicing agreement was amended and restated as of September 12, 2016; however, the fee structure was not amended in any material respect. • The base servicing fees for distressed mortgage loans are calculated based on a monthly per-loan dollar amount, with the actual dollar amount for each mortgage loan based on the delinquency, bankruptcy and/or foreclosure status of such mortgage loan or the related underlying real estate. Presently, the base servicing fees for distressed mortgage loans range from $30 per month for current mortgage loans up to $100 per month for mortgage loans where the borrower has declared bankruptcy. PLS is also entitled to certain activity-based fees for distressed mortgage loans that are charged based on the achievement of certain events. These fees range from 0.50% for a streamline modification to 1.50% for a liquidation and $500 for a deed-in-lieu of foreclosure. PLS is not entitled to earn more than one liquidation fee, reperformance fee or modification fee in any 18-month period. • The base servicing fee rate for REO is $75 per month. To the extent that the Company rents its REO under an REO rental program, the Company pays PLS an REO rental fee of $30 per month per REO, an REO property lease renewal fee of $100 per lease renewal, and a property management fee in an amount equal to PLS’ cost if property management services and/or any related software costs are outsourced to a third-party property management firm or 9% of gross rental income if PLS provides property management services directly. PLS is also entitled to retain any tenant paid application fees and late rent fees and seek reimbursement for certain third party vendor fees. • The base servicing fees for non-distressed mortgage loans subserviced by PLS on the Company’s behalf are also calculated through a monthly per-loan dollar amount, with the actual dollar amount for each loan based on whether the mortgage loan is a fixed-rate or adjustable-rate loan. The base servicing fees for loans subserviced on the Company’s behalf are $7.50 per month for fixed-rate loans and $8.50 per month for adjustable rate mortgage loans. • To the extent that these non-distressed mortgage loans become delinquent, PLS is entitled to an additional servicing fee per mortgage loan ranging from $10 to $55 per month and based on the delinquency, bankruptcy and foreclosure status of the mortgage loan or $75 per month if the underlying mortgaged property becomes REO. PLS is also entitled to customary ancillary income and certain market-based fees and charges, including boarding and deboarding fees, liquidation and disposition fees, assumption, modification and origination fees. • PLS is required to provide a range of services and activities significantly greater in scope than the services provided in connection with a customary servicing arrangement because the Company does not have any employees or infrastructure. For these services, PLS received a supplemental fee of $25 per month for each distressed whole loan. PLS is entitled to reimbursement for all customary, good faith reasonable and necessary out-of-pocket expenses incurred in performance of its servicing obligations. • PLS, on behalf of the Company, currently participates in the Home Affordable Modification Program (“HAMP”) of the U.S. Department of the Treasury and U.S. Department of Housing and Urban Development (“HUD”) (and other similar mortgage loan modification programs). HAMP establishes standard loan modification guidelines for “at risk” homeowners and provides incentive payments to certain participants, including loan servicers, for achieving modifications and successfully remaining in the program. The loan servicing agreement entitles PLS to retain any incentive payments made to it and to which it is entitled under HAMP; provided, however, that with respect to any such incentive payments paid to PLS under HAMP in connection with a mortgage loan modification for which the Company previously paid PLS a modification fee, PLS shall reimburse the Company an amount equal to the incentive payments. The term of the servicing agreement, as amended, expires on September 12, 2020, subject to automatic renewal for additional 18-month periods, unless terminated earlier in accordance with the terms of the servicing agreement. Pursuant to the terms of an MSR recapture agreement, if PLS refinances through its consumer direct lending business mortgage loans for which the Company previously held the MSRs, PLS is generally required to transfer and convey to one of the Company’s wholly-owned subsidiaries without cost to the Company, the MSRs with respect to new mortgage loans originated in those refinancings (or, under certain circumstances, other mortgage loans) that have an aggregate unpaid principal balance that is not less than 30% of the aggregate unpaid principal balance of all the loans so originated. Where the fair value of the aggregate MSRs to be transferred for the applicable month is less than $200,000, PLS may, at its option, pay cash to the Company in an amount equal to such fair value instead of transferring such MSRs. Following is a summary of mortgage loan servicing fees earned by PLS and MSR recapture income earned from PLS: Year ended December 31, 2016 2015 2014 (in thousands) Mortgage loans acquired for sale at fair value: Base $ 330 $ 260 $ 103 Activity-based 733 371 149 1,063 631 252 Mortgage loans at fair value: Distressed mortgage loans Base 11,078 16,123 18,953 Activity-based 18,521 12,437 19,608 29,599 28,560 38,561 Mortgage loans held in VIE: Base 83 125 110 Activity-based — — — 83 125 110 MSRs: Base 19,378 16,786 13,405 Activity-based 492 321 194 19,870 17,107 13,599 $ 50,615 $ 46,423 $ 52,522 MSR recapture income recognized included in Net mortgage loan servicing fees $ 1,573 $ 787 $ 9 Average investment in: Mortgage loans acquired for sale at fair value $ 1,443,587 $ 1,143,232 $ 573,256 Mortgage loans at fair value: Distressed mortgage loans $ 1,731,638 $ 2,231,259 $ 2,121,806 Mortgage loans held in a VIE $ 422,122 $ 494,655 $ 533,480 Average MSR portfolio $ 49,626,758 $ 38,450,379 $ 30,720,168 Management Fees Under a management agreement, the Company pays PCM management fees as follows: • A base management fee that is calculated quarterly and is equal to the sum of (i) 1.5% per year of average shareholders’ equity up to $2 billion, (ii) 1.375% per year of average shareholders’ equity in excess of $2 billion and up to $5 billion, and (iii) 1.25% per year of average shareholders’ equity in excess of $5 billion. • A performance incentive fee that is calculated at a defined annualized percentage of the amount by which “net income,” on a rolling four-quarter basis and before deducting the incentive fee, exceeds certain levels of return on “equity.” The performance incentive fee is calculated quarterly and is equal to: (a) 10% of the amount by which net income for the quarter exceeds (i) an 8% return on equity plus the high watermark, up to (ii) a 12% return on equity; plus (b) 15% of the amount by which net income for the quarter exceeds (i) a 12% return on equity plus the high watermark, up to (ii) a 16% return on equity; plus (c) 20% of the amount by which net income for the quarter exceeds a 16% return on equity plus the high watermark. For the purpose of determining the amount of the performance incentive fee: “Net income” is defined as net income or loss computed in accordance with GAAP and certain other non-cash charges determined after discussions between PCM and PMT’s independent trustees and after approval by a majority of PMT’s independent trustees. “Equity” is the weighted average of the issue price per common share of all of PMT’s public offerings, multiplied by the weighted average number of common shares outstanding (including restricted share units) in the rolling four-quarter period. The “high watermark” is the quarterly adjustment that reflects the amount by which the net income (stated as a percentage of return on equity) in that quarter exceeds or falls short of the lesser of 8% and the Fannie Mae MBS yield (the target yield) for such quarter. The “high watermark” starts at zero and is adjusted quarterly. If the net income is lower than the target yield, the high watermark is increased by the difference. If the net income is higher than the target yield, the high watermark is reduced by the difference. Each time a performance incentive fee is earned, the high watermark returns to zero. As a result, the threshold amounts required for PCM to earn a performance incentive fee are adjusted cumulatively based on the performance of PMT’s net income over (or under) the target yield, until the net income in excess of the target yield exceeds the then-current cumulative high watermark amount, and a performance incentive fee is earned. The base management fee and the performance incentive fee are both payable quarterly in arrears. The performance incentive fee may be paid in cash or a combination of cash and PMT’s common shares (subject to a limit of no more than 50% paid in common shares), at the Company’s option. The management agreement was amended and restated as of September 12, 2016; however, the fee structure was not amended in any material respect. Following is a summary of the base management and performance incentive fees payable to PCM recorded by the Company: Year ended December 31, 2016 2015 2014 (in thousands) Base management $ 20,657 $ 22,851 $ 23,330 Performance incentive — 1,343 11,705 $ 20,657 $ 24,194 $ 35,035 In the event of termination of the management agreement between the Company and PFSI, PFSI may be entitled to a termination fee in certain circumstances. The termination fee is equal to three times the sum of (a) the average annual base management fee, and (b) the average annual performance incentive fee earned by PFSI, in each case during the 24-month period before termination. Expense Reimbursement and Amounts Payable to and Receivable from PFSI Under the management agreement, PCM is entitled to reimbursement of its organizational and operating expenses, including third-party expenses, incurred on the Company’s behalf, it being understood that PCM and its affiliates shall allocate a portion of their personnel’s time to provide certain legal, tax and investor relations services for the direct benefit of the Company. With respect to the allocation of PCM’s and its affiliates personnel, from and after September 12, 2016, PCM shall be reimbursed $120,000 per fiscal quarter, such amount to be reviewed annually and to not preclude reimbursement for any other services performed by PCM or its affiliates. The Company is required to pay PCM and its affiliates a pro rata portion of rent, telephone, utilities, office furniture, equipment, machinery and other office, internal and overhead expenses of PCM and its affiliates required for the Company’s and its subsidiaries’ operations. These expenses will be allocated based on the ratio of the Company’s and its subsidiaries’ proportion of gross assets compared to all remaining gross assets managed by PCM as calculated at each fiscal quarter end: The Company reimbursed PCM and its affiliates for expenses as follows: Year ended December 31, 2016 2015 2014 (in thousands) Reimbursement of: Common overhead incurred by PCM and its affiliates $ 7,898 $ 10,742 $ 10,850 Expenses incurred on the Company’s (PFSI's) behalf, net (163 ) 582 792 $ 7,735 $ 11,324 $ 11,642 Payments and settlements during the year (1) $ 143,542 $ 99,967 $ 99,987 (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. The MSR recapture agreement was amended and restated as of September 12, 2016; however, the fee structure was not amended in any material respect. The MSR recapture agreement expires, unless terminated earlier in accordance with the agreement, on September 12, 2020, subject to automatic renewal for additional 18-month periods. Amounts receivable from and payable to PFSI are summarized below: December 31, 2016 December 31, 2015 (in thousands) Receivable from PFSI: MSR recapture receivable $ 707 $ 781 Other 6,384 8,025 $ 7,091 $ 8,806 Payable to PFSI: Servicing fees $ 5,465 $ 3,682 Management fees 5,081 5,670 Correspondent production fees 2,371 2,729 Fulfillment fees 1,300 1,082 Allocated expenses and expenses paid by PFSI on PMT’s behalf 1,046 4,490 Conditional Reimbursement 900 900 Interest on Note payable to PFSI 253 412 $ 16,416 $ 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: Year ended December 31, 2016 2015 2014 (in thousands) Sale of mortgage loans at fair value for sale to PFSI $ 891 $ 1,466 $ — ESS: Purchases $ — $ 271,554 $ 99,728 Received pursuant to a recapture agreement $ 6,603 $ 6,728 $ 7,343 Repayments and sales $ 129,037 $ 78,578 $ 39,257 Interest income $ 22,601 $ 25,365 $ 13,292 Net (loss) gain included in Net gain on investments: Valuation changes $ (23,923 ) $ (3,810 ) $ (28,662 ) Recapture income 6,529 7,049 7,828 $ (17,394 ) $ 3,239 $ (20,834 ) Financing Activities PFSI held 75,000 of the Company’s common shares at both December 31, 2016 and December 31, 2015. Repurchase Agreement with PLS On December 19, 2016, the Company, through a wholly-owned subsidiary, PennyMac Holdings, LLC (“PMH”), entered into a master repurchase agreement with PLS (the “PMH Repurchase Agreement”), pursuant to which PMH may borrow from PLS for the purpose of financing PMH’s participation certificates representing beneficial ownership in ESS. PLS then re-pledges such participation certificates to PNMAC GMSR ISSUER TRUST (the “Issuer Trust”) under a master repurchase agreement by and among PLS, the Issuer Trust and Private National Mortgage Acceptance Company, LLC, as guarantor (the “PC Repurchase Agreement”). The Issuer Trust was formed for the purpose of allowing PLS to finance MSRs and ESS relating to such MSRs (the “GNMA MSR Facility”). In connection with the GNMA MSR Facility, PLS pledges and/or sells to the Issuer Trust participation certificates representing beneficial interests in MSRs and ESS pursuant to the terms of the PC Repurchase Agreement. In return, the Issuer Trust (a) has issued to PLS, pursuant to the terms of an indenture, the Series 2016-MSRVF1 Variable Funding Note, dated December 19, 2016, known as the “PNMAC GMSR ISSUER TRUST MSR Collateralized Notes, Series 2016-MSRVF1” (the “VFN”), and (b) may, from time to time pursuant to the terms of any supplemental indenture, issue to institutional investors additional term notes (“Term Notes”), in each case secured on a pari passu basis by the participation certificates relating to the MSRs and ESS. The maximum principal balance of the VFN is $1,000,000,000. The principal amount paid by PLS for the participation certificates under the PMH Repurchase Agreement is based upon a percentage of the market value of the underlying ESS. Upon PMH’s repurchase of the participation certificates, PMH is required to repay PLS the principal amount relating thereto plus accrued interest (at a rate reflective of the current market and consistent with the weighted average note rate of the VFN and any outstanding Term Notes) to the date of such repurchase. PLS is then required to repay the Issuer Trust the corresponding amount under the PC Repurchase Agreement. Note Payable to PLS Before entering into the PMH Repurchase Agreement, PLS was a party to a repurchase agreement between it and Credit Suisse First Boston Mortgage Capital LLC (“CSFB”) (the “MSR Repo”), pursuant to which PLS financed Ginnie Mae MSRs and servicing advance receivables and pledged all of its rights and interests in any Ginnie Mae MSRs it owned to CSFB, and a separate acknowledgement agreement with respect thereto, by and among Ginnie Mae, CSFB and PLS. In connection with the MSR Repo, the Company was party to an underlying loan and security agreement with PLS, pursuant to which the Company was able to 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 was 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. Interest accrued 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 underlying LSA was terminated in connection with the execution of the PMH Agreement. 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: Year ended December 31, 2016 2015 2014 (in thousands) Financings payable—Interest expense $ 7,830 $ 3,343 $ — Conditional Reimbursements paid to PCM $ — $ 237 $ 860 |
Earnings Per Share
Earnings Per Share | 12 Months Ended |
Dec. 31, 2016 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Note 5—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: Year ended December 31, 2016 2015 2014 (in thousands except per share amounts) Basic earnings per share: Net income $ 75,810 $ 90,100 $ 194,544 Effect of participating securities—share-based compensation awards (1,333 ) (1,689 ) (1,830 ) Net income attributable to common shareholders $ 74,477 $ 88,411 $ 192,714 Diluted earnings per share: Net income attributable to common shareholders $ 74,477 $ 88,411 $ 194,544 Interest on Exchangeable Notes, net of income taxes 8,719 8,468 8,456 Net income attributable to common diluted shareholders $ 83,196 $ 96,879 $ 203,000 Weighted-average basic shares outstanding 68,642 74,446 73,495 Dilutive securities: Shares issuable under share-based compensation plan — 423 298 Shares issuable pursuant to exchange of the Exchangeable Notes 8,467 8,467 8,418 Diluted weighted-average number of shares outstanding 77,109 83,336 82,211 Basic earnings per share $ 1.09 $ 1.19 $ 2.62 Diluted earnings per share $ 1.08 $ 1.16 $ 2.47 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: Year ended December 31, 2016 2015 2014 (in thousands) Shares issuable under share-based compensation awards 701 369 371 |
Loan Sales and Variable Interes
Loan Sales and Variable Interest Entities | 12 Months Ended |
Dec. 31, 2016 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Loan Sales and Variable Interest Entities | Note 6—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: Year ended December 31, 2016 2015 2014 (in thousands) Cash flows: Proceeds from sales $ 23,525,952 $ 14,206,816 $ 11,703,015 Mortgage loan servicing fees received (1) $ 125,961 $ 97,633 $ 70,294 (1) Net of guarantee fees. December 31, 2016 2015 (in thousands) UPB of mortgage loans outstanding $ 56,303,664 $ 42,300,338 Delinquent mortgage loans: 30-89 days delinquent $ 262,467 $ 175,599 90 or more days delinquent: Not in foreclosure or bankruptcy $ 53,200 $ 38,669 In foreclosure or bankruptcy $ 61,537 $ 31,386 Consolidated VIEs Credit Risk Transfer Agreements Following is a summary of the CRT Agreements: Year ended December 31, 2016 2015 (in thousands) During the year: UPB of mortgage loans sold under CRT Agreements $ 11,190,933 $ 4,602,507 Deposits of cash securing CRT Agreements $ 306,507 $ 147,446 Interest earned on Deposits securing CRT Agreements $ 930 $ — Gains recognized on CRT Agreements included in Net gain (loss) on investments Realized $ 21,298 $ 1,831 Resulting from valuation changes 15,316 (1,238 ) 36,614 593 Change in fair value of interest-only security payable at fair value (4,114 ) — $ 32,500 $ 593 Payments made to settle losses $ 90 $ — December 31, 2016 December 31, 2015 (in thousands) UPB of mortgage loans subject to credit guarantee obligations $ 14,379,850 $ 4,546,265 Delinquency status (in UPB): Current—89 days delinquent $ 14,372,247 $ 4,546,265 90 or more days delinquent $ 5,711 $ — Foreclosure $ 1,892 $ — Carrying value of CRT Agreements: Derivative assets $ 15,610 $ 593 Deposits securing credit risk transfer agreements $ 450,059 $ 147,000 Interest-only security payable at fair value $ 4,114 $ — Commitments to fund Deposits securing credit risk transfer agreements $ 92,109 $ — 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 years ended December 31, 2015 and December 31, 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 $8.9 million as of December 31, 2016. |
Netting of Financial Instrument
Netting of Financial Instruments | 12 Months Ended |
Dec. 31, 2016 | |
Offsetting [Abstract] | |
Netting of Financial Instruments | Note 7—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 December 31, 2016 and December 31, 2015, the Company did not enter into reverse repurchase agreements or securities lending transactions that are required to be disclosed in the following tables. Offsetting of Derivative Assets Following is a summary of net derivative assets. December 31, 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 $ 7,069 $ — $ 7,069 $ 4,983 $ — $ 4,983 CRT Agreements 15,610 — 15,610 593 — 593 22,679 — 22,679 5,576 — 5,576 Subject to master netting arrangements: MBS put options 1,697 — 1,697 93 — 93 MBS call options 142 — 142 — — — Forward purchase contracts 30,879 — 30,879 2,444 — 2,444 Forward sale contracts 13,164 — 13,164 2,604 — 2,604 Put options on interest rate futures 2,469 — 2,469 1,512 — 1,512 Call options on interest rate futures 63 — 63 1,156 — 1,156 Netting — (37,384 ) (37,384 ) — (3,300 ) (3,300 ) 48,414 (37,384 ) 11,030 7,809 (3,300 ) 4,509 $ 71,093 $ (37,384 ) $ 33,709 $ 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. December 31, 2016 December 31, 2015 Net amount Gross amounts Net amount Gross amounts of assets not offset in the of assets not offset in the presented consolidated presented consolidated in the balance sheet in the balance sheet consolidated Cash consolidated Cash balance Financial collateral Net balance Financial collateral Net sheet instruments received amount sheet instruments received amount (in thousands) CRT Agreements $ 15,610 $ — $ — $ 15,610 $ — $ — $ — $ — Interest rate lock commitments 7,069 — — 7,069 4,983 — — 4,983 Bank of America, N.A. 1,881 — — 1,881 — — — — RJ O’Brien & Associates, LLC 1,531 — — 1,531 1,672 — — 1,672 Royal Bank of Canada 1,194 — — 1,194 400 — — 400 Goldman Sachs 1,164 — — 1,164 — — — — Jefferies Group LLC 967 — — 967 541 — — 541 Barclays Capital 855 — — 855 796 — — 796 Wells Fargo Bank, N.A. 638 — — 638 99 — — 99 Morgan Stanley Bank, N.A. — — — — 464 — — 464 Other 2,800 — — 2,800 1,130 — — 1,130 $ 33,709 $ — $ — $ 33,709 $ 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. Assets sold under agreements to repurchase do not qualify for setoff accounting. December 31, 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 $ 3,292 $ — $ 3,292 $ 337 $ — $ 337 3,292 — 3,292 337 — 337 Subject to master netting arrangements: Forward purchase contracts 7,619 — 7,619 3,774 — 3,774 Forward sales contracts 17,974 — 17,974 2,680 — 2,680 Put options on interest rate futures — — — 39 — 39 Call options on interest rate futures — — — 305 — 305 Netting (19,312 ) (19,312 ) — (3,978 ) (3,978 ) 25,593 (19,312 ) 6,281 6,798 (3,978 ) 2,820 28,885 (19,312 ) 9,573 7,135 (3,978 ) 3,157 Assets sold under agreements to repurchase: UPB 3,784,685 — 3,784,685 3,130,328 — 3,130,328 Unamortized debt issuance costs (684 ) — (684 ) (1,548 ) — (1,548 ) 3,784,001 — 3,784,001 3,128,780 — 3,128,780 $ 3,812,886 $ (19,312 ) $ 3,793,574 $ 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. December 31, 2016 December 31, 2015 Net amount Gross amounts Net amount Gross amounts of liabilities not offset in the of liabilities not offset in the presented consolidated presented consolidated in the balance sheet in the balance sheet consolidated Cash consolidated Cash balance Financial collateral Net balance Financial collateral Net sheet instruments pledged amount sheet instruments pledged amount (in thousands) Interest rate lock commitments $ 3,292 $ — $ — $ 3,292 $ 337 $ — $ — $ 337 Credit Suisse First Boston Mortgage Capital LLC 1,181,441 (1,181,235 ) — 206 893,947 (893,854 ) — 93 Bank of America, N.A. 847,683 (847,683 ) — — 538,755 (538,515 ) — 240 Citibank 575,092 (573,589 ) — 1,503 817,089 (816,699 ) — 390 JPMorgan Chase & Co. 544,009 (542,542 ) — 1,467 467,427 (467,145 ) — 282 Daiwa Capital Markets 177,316 (177,077 ) — 239 165,480 (165,480 ) — — Morgan Stanley Bank, N.A. 143,951 (142,055 ) — 1,896 214,086 (214,086 ) — — Wells Fargo 116,648 (116,648 ) — — — — — — Barclays Capital 92,796 (92,796 ) — — 24,346 (24,346 ) — — Royal Bank of Canada 63,926 (63,926 ) — — — — — — BNP Paribas 47,785 (47,134 ) — 651 10,203 (10,203 ) — — Other 319 — — 319 1,815 — — 1,815 Unamortized debt issuance costs (684 ) 684 — — (1,548 ) 1,548 — — $ 3,793,574 $ (3,784,001 ) $ — $ 9,573 $ 3,131,937 $ (3,128,780 ) $ — $ 3,157 |
Fair Value
Fair Value | 12 Months Ended |
Dec. 31, 2016 | |
Fair Value Disclosures [Abstract] | |
Fair Value | Note 8—Fair Value The Company’s consolidated financial statements include assets and liabilities that are measured based on their fair values. Measurement at fair value may be on a recurring or nonrecurring basis depending on the accounting principles applicable to the specific asset or liability and whether the Manager has elected to carry the item at its fair value as discussed in the following paragraphs. Fair Value Accounting Elections The Manager identified all of the Company’s non-cash financial assets and MSRs relating to 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: December 31, 2016 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 122,088 $ — $ — $ 122,088 Mortgage-backed securities at fair value — 865,061 — 865,061 Mortgage loans acquired for sale at fair value — 1,673,112 — 1,673,112 Mortgage loans at fair value — 367,169 1,354,572 1,721,741 Excess servicing spread purchased from PFSI — — 288,669 288,669 Derivative assets: Interest rate lock commitments — — 7,069 7,069 CRT Agreements — — 15,610 15,610 MBS put options — 1,697 — 1,697 MBS call options 142 — 142 Forward purchase contracts — 30,879 — 30,879 Forward sales contracts — 13,164 — 13,164 Put options on interest rate futures 2,469 — — 2,469 Call options on interest rate futures 63 — — 63 Total derivative assets before netting 2,532 45,882 22,679 71,093 Netting — — — (37,384 ) Total derivative assets after netting 2,532 45,882 22,679 33,709 Mortgage servicing rights at fair value — — 64,136 64,136 $ 124,620 $ 2,951,224 $ 1,730,056 $ 4,768,516 Liabilities: Asset-backed financing of a VIE at fair value $ — $ 353,898 $ — $ 353,898 Interest-only security payable at fair value — — 4,114 4,114 Derivative liabilities: Interest rate lock commitments — — 3,292 3,292 Forward purchase contracts — 7,619 — 7,619 Forward sales contracts — 17,974 — 17,974 Put options on interest rate futures — — — — Total derivative liabilities before netting — 25,593 3,292 28,885 Netting — — — (19,312 ) Total derivative liabilities after netting — 25,593 3,292 9,573 $ — $ 379,491 $ 7,406 $ 367,585 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 Forward purchase contracts — 3,774 — 3,774 Forward sales contracts — 2,680 — 2,680 Put options on interest rate futures 39 — — 39 Call options on interest rate futures 305 — — 305 Total derivative liabilities 344 6,454 337 7,135 Netting — — — (3,978 ) Total derivative liabilities after netting 344 6,454 337 3,157 $ 44,877 $ 2,320,947 $ 2,585,316 $ 4,943,862 The following is a summary of changes in items measured using Level 3 inputs on a recurring basis: Year ended December 31, 2016 Mortgage Excess Interest Mortgage loans servicing rate lock CRT servicing at fair value spread commitments (1) Agreements (1) rights Total (in thousands) Assets Balance, December 31, 2015 $ 2,100,394 $ 412,425 $ 4,646 $ 593 $ 66,584 $ 2,584,642 Purchases and issuances — — 71,892 — 2,739 74,631 Repayments and sales (626,095 ) (129,037 ) — — — (755,132 ) Capitalization of interest 84,820 22,601 — — — 107,421 ESS received pursuant to a recapture agreement with PFSI — 6,603 — — — 6,603 Servicing received as proceeds from sales of mortgage loans — — — — 7,337 7,337 Proceeds from CRT Agreements — — — (21,298 ) — (21,298 ) Changes in fair value included in income arising from: Changes in instrument-specific credit risk 26,910 — — — — 26,910 Other factors (30,414 ) (23,923 ) 15,944 36,315 (12,524 ) (14,602 ) (3,504 ) (23,923 ) 15,944 36,315 (12,524 ) 12,308 Transfers of mortgage loans to REO and real estate held for investment (201,043 ) — — — — (201,043 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (88,705 ) — — (88,705 ) Balance, December 31, 2016 $ 1,354,572 $ 288,669 $ 3,777 $ 15,610 $ 64,136 $ 1,726,764 Changes in fair value recognized during the period relating to assets still held at December 31, 2016 $ (15,877 ) $ (16,713 ) $ 3,777 $ 15,610 $ (12,524 ) $ (25,727 ) (1) For the purpose of this table, the IRLC and CRT Agreement “Level 3” fair value asset and liability positions are shown net. Year ended December 31, 2016 Interest-only security payable (in thousands) Liability: Balance, December 31, 2015 $ — Purchases and issuances — Repayments and sales — Capitalization of interest — Changes in fair value included in income arising from: Changes in instrument- specific credit risk — Other factors 4,114 4,114 Balance, December 31, 2016 $ 4,114 Changes in fair value recognized during the period relating to assets still held at December 31, 2016 $ 4,114 Year ended December 31, 2015 Mortgage Excess Interest Mortgage loans servicing rate lock CRT servicing at fair value spread commitments (1) Agreements rights Total (in thousands) Balance, December 31, 2014 $ 2,199,583 $ 191,166 $ 5,661 $ — $ 57,358 $ 2,453,768 Purchases and issuances 241,981 271,554 — — 2,335 515,870 Repayments and sales (218,585 ) (78,578 ) — — — (297,163 ) Capitalization of interest 57,754 25,365 — — — 83,119 ESS received pursuant to a recapture agreement with PFSI — 6,728 — — — 6,728 Interest rate lock commitments issued, net — — 50,536 — — 50,536 Servicing received as proceeds from sales of mortgage loans — — — — 13,963 13,963 Changes in fair value included in income arising from: Changes in instrument- specific credit risk 42,267 — — — — 42,267 Other factors 38,866 (3,810 ) (12,811 ) 593 (7,072 ) 15,766 81,133 (3,810 ) (12,811 ) 593 (7,072 ) 58,033 Transfers of mortgage loans to REO (285,331 ) — — — — (285,331 ) Transfers of mortgage loans at fair value from “Level 2” to “Level 3” (2) 23,859 — — — — 23,859 Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (38,740 ) — — (38,740 ) Balance, September 30, 2015 $ 2,100,394 $ 412,425 $ 4,646 $ 593 $ 66,584 $ 2,584,642 Changes in fair value recognized during the period relating to assets still held at December 31, 2015 $ 77,867 $ (3,810 ) $ 4,646 $ 593 $ (7,072 ) $ 72,224 (1) For the purpose of this table, the IRLC “Level 3” fair value asset and liability positions are shown net. (2) During the year ended December 31, 2015, the Manager identified certain “Level 2” fair value mortgage loans that were not salable into the prime mortgage market and therefore transferred them to “Level 3”. Year ended December 31, 2014 Mortgage loans under Mortgage forward Excess Interest Mortgage loans purchase servicing rate lock servicing at fair value agreements spread commitments (1) rights Total (in thousands) Balance, December 31, 2013 $ 2,076,665 $ 218,128 $ 138,723 $ 1,249 $ 26,452 $ 2,461,217 Purchases and issuances 554,604 1,386 99,728 — — 655,718 Repayments and sales (572,586 ) (6,413 ) (39,257 ) — (139 ) (618,395 ) Capitalization of interest 65,050 1,800 13,292 — — 80,142 ESS received pursuant to a recapture agreement with PFSI — — 7,342 — — 7,342 Interest rate lock commitments issued, net — — — 56,367 — 56,367 Sales — — Servicing received as proceeds from sales of mortgage loans — — — — 47,693 47,693 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 34,785 1,815 — — 36,600 Other factors 179,896 (1,012 ) (28,662 ) 17,326 (16,648 ) 150,900 214,681 803 (28,662 ) 17,326 (16,648 ) 187,500 Transfers of mortgage loans under forward purchase agreements to mortgage loans 205,902 (205,902 ) — Transfers of mortgage loans to REO (344,733 ) — — — — (344,733 ) Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements — (9,802 ) — — — (9,802 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — — (69,281 ) — (69,281 ) Balance, December 31, 2014 $ 2,199,583 $ — $ 191,166 $ 5,661 $ 57,358 $ 2,453,768 Changes in fair value recognized during the period relating to assets still held at December 31, 2014 $ 134,724 $ — $ (28,662 ) $ 5,661 $ (16,648 ) $ 95,075 (1) For the purpose of this table, the IRLC “Level 3” fair value asset and liability positions are shown net. 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 distressed mortgage loans at fair value): December 31, 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 $ 1,672,181 $ 1,633,569 $ 38,612 $ 1,283,275 $ 1,235,433 $ 47,842 90 or more days delinquent Not in foreclosure 145 189 (44 ) 304 333 (29 ) In foreclosure 786 717 69 216 253 (37 ) 931 906 25 520 586 (66 ) $ 1,673,112 $ 1,634,475 $ 38,637 $ 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 $ 367,169 $ 368,524 $ (1,355 ) $ 455,394 $ 454,935 $ 459 90 or more days delinquent Not in foreclosure — — — — — — In foreclosure — — — — — — — — — — — — 367,169 368,524 (1,355 ) 455,394 454,935 459 Distressed mortgage loans at fair value: Current through 89 days delinquent 611,584 818,665 (207,081 ) 877,438 1,134,560 (257,122 ) 90 or more days delinquent Not in foreclosure 305,431 425,460 (120,029 ) 459,060 640,343 (181,283 ) In foreclosure 437,557 595,534 (157,977 ) 763,896 1,062,205 (298,309 ) 742,988 1,020,994 (278,006 ) 1,222,956 1,702,548 (479,592 ) 1,354,572 1,839,659 (485,087 ) 2,100,394 2,837,108 (736,714 ) $ 1,721,741 $ 2,208,183 $ (486,442 ) $ 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: Year ended December 31, 2016 Net gain on Net mortgage mortgage loans Net loan Net gain acquired interest servicing on for sale income fees investments Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — (2,391 ) — (13,168 ) (15,559 ) Mortgage loans acquired for sale at fair value 55,350 — — — 55,350 Mortgage loans at fair value — 1,294 — (5,252 ) (3,958 ) ESS at fair value — — — (23,923 ) (23,923 ) MSRs at fair value — — (12,524 ) — (12,524 ) $ 55,350 $ (1,097 ) $ (12,524 ) $ (42,343 ) $ (614 ) Liabilities: Asset-backed financing of a VIE at fair value $ — $ (669 ) $ — $ 3,238 $ 2,569 $ — $ (669 ) $ — $ 3,238 $ 2,569 Year ended December 31, 2015 Net gain on Net mortgage mortgage loans Net loan Net gain acquired interest servicing on for sale income fees investments Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — (35 ) — (5,224 ) (5,259 ) Mortgage loans acquired for sale at fair value 71,880 — — — 71,880 Mortgage loans at fair value — 1,253 — 70,470 71,723 ESS at fair value — — — 3,239 3,239 MSRs at fair value — — (7,072 ) — (7,072 ) $ 71,880 $ 1,218 $ (7,072 ) $ 68,485 $ 134,511 Liabilities: Asset-backed financing of a VIE at fair value $ — $ (499 ) $ — $ 4,260 $ 3,761 $ — $ (499 ) $ — $ 4,260 $ 3,761 Year ended December 31, 2014 Net gain on Net mortgage mortgage loans Net loan Net gain acquired interest servicing on for sale income fees investments Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — 357 — 10,416 10,773 Mortgage loans acquired for sale at fair value 100,213 — — — 100,213 Mortgage loans at fair value — 1,848 — 242,449 244,297 Mortgage loans under forward purchase agreements at fair value 803 803 ESS at fair value — — — (20,834 ) (20,834 ) MSRs at fair value — — (16,648 ) — (16,648 ) $ 100,213 $ 2,205 $ (16,648 ) $ 232,834 $ 318,604 Liabilities: Asset-backed financing of a VIE at fair value $ — $ (617 ) $ — $ (8,459 ) $ (9,076 ) $ — $ (617 ) $ — $ (8,459 ) $ (9,076 ) 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: December 31, 2016 Level 1 Level 2 Level 3 Total (in thousands) Real estate acquired in settlement of loans $ — $ — $ 125,683 $ 125,683 MSRs at lower of amortized cost or fair value — — 173,765 173,765 $ — $ — $ 299,448 $ 299,448 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: Year ended December 31, 2016 2015 2014 (in thousands) Real estate asset acquired in settlement of loans $ (17,561 ) $ (24,546 ) $ (24,896 ) MSRs at lower of amortized cost or fair value (2,728 ) (3,229 ) (5,138 ) $ (20,289 ) $ (27,775 ) $ (30,034 ) Real Estate Acquired in Settlement of Loans The Company evaluates its REO for impairment with reference to the respective properties’ fair values less cost to sell on a nonrecurring basis. The initial carrying value of the REO is measured at cost as indicated by the purchase price in the case of purchased REO or as measured by the fair value of the mortgage loan immediately before REO acquisition in the case of acquisition in settlement of a loan. REO may be subsequently revalued due to the Company receiving greater access to the property, the property being held for an extended period or receiving indications that the property’s value may not be supported by developing market conditions. Any subsequent change in fair value to a level that is less than or equal to the property’s cost is recognized in Results of real estate acquired in settlement of loans Mortgage Servicing Rights at Lower of Amortized Cost or Fair Value The Company evaluates its MSRs at lower of amortized cost or fair value for impairment with reference to the asset’s fair value. For purposes of performing its MSR impairment evaluation, the Company stratifies its MSRs at lower of amortized cost or fair value based on the interest rates borne by the mortgage loans underlying the MSRs. Mortgage loans are grouped into pools with 50 basis point interest rate ranges for fixed-rate mortgage loans with interest rates between 3.0% and 4.5% and a single pool for mortgage loans with interest rates below 3.0%. MSRs relating to adjustable rate mortgage loans with initial interest rates of 4.5% or less are evaluated in a single pool. If the fair value of MSRs in any of the interest rate pools is below the amortized cost of the MSRs, those MSRs are impaired. When MSRs are impaired, the impairment is recognized in current-period income and the carrying value of the MSRs is adjusted using a valuation allowance. If the fair value of the MSRs subsequently increases, the increase in fair value is recognized in current period income only to the extent of the valuation allowance for the respective impairment stratum. The Manager periodically reviews the various impairment strata to determine whether the fair value of the impaired MSRs in a given stratum is likely to recover. When the Manager deems recovery of fair value to be unlikely in the foreseeable future, a write-down of the cost of the MSRs for that stratum to its estimated recoverable value is charged to the valuation allowance. Fair Value of Financial Instruments Carried at Amortized Cost The Company’s Cash Assets sold under agreements to repurchase Mortgage loan participation and sale agreements Notes payable, Exchangeable senior notes Federal Home Loan Bank advances The Manager has concluded that the fair values of Cash Assets sold under agreements to repurchase Mortgage loan participation and sale agreements Notes payable Federal Home Loan Bank advances Cash Exchangeable senior notes Exchangeable senior notes Valuation Techniques and Inputs Most of the Company’s assets, and the Asset-backed financing of a VIE Interest-only security payable Derivative liabilities Due to the difficulty in estimating the fair values of “Level 3” fair value assets and liabilities, 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 assets and liabilities other than IRLCs and maintaining its valuation policies and procedures. With respect to the Company’s non-IRLC “Level 3” fair value assets and liabilities, 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 assets and liabilities, including the models’ performance versus actual results, and reports those results to PCM’s valuation committee. During 2016, PCM’s valuation committee included PFSI’s chief executive, financial, 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” fair value 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 assets. Fair value of MBS is established based on quoted market prices. 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 assets. 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 quoted 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 distressed mortgage loans, are categorized as “Level 3” fair value assets 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 year-end from the later of the beginning of the year 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 December 31, 2016 December 31, 2015 Discount rate Range 2.6% – 15.0% 2.5% – 15.0% Weighted average 7.1% 7.1% Twelve-month projected housing price index change Range 2.5% – 4.8% 1.5% – 5.1% Weighted average 3.7% 3.6% Prepayment speed (1) Range 0.1% – 10.9% 0.1% – 9.6% Weighted average 4.0% 3.7% Total prepayment speed (2) Range 2.9% – 24.6% 0.5% – 27.2% Weighted average 17.7% 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 asset. 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 market interest rates normally encourage increased mortgage refinancing activity. Increased refinancing activity reduces the expected 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 December 31, 2016 December 31, 2015 UPB of underlying mortgage loans (in thousands) $32,376,359 $51,966,405 Average servicing fee rate (in basis points) 34 32 Average ESS rate (in basis points) 19 17 Pricing spread (1) Range 3.8% - 4.8% 4.8% - 6.5% Weighted average 4.4% 5.7% Life (in years) Range 1.4 - 8.6 1.4 - 9.0 Weighted average 6.8 6.9 Annual total prepayment speed (2) Range 7.0% - 41.3% 5.2% - 52.4% Weighted average 10.5% 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 “Level 3” fair value assets and liabilities. 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 December 31, 2016 December 31, 2015 Pull-through rate Range 60.7% - 100.0% 60.2% - 100.0% Weighted average 88.5% 92.4% MSR value expressed as: Servicing fee multiple Range 2.6 - 6.0 2.1 - 6.2 Weighted average 5.0 4.9 Percentage of UPB Range 0.7% - 1.5% 0.5% - 3.8% Weighted average 1.3% 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 assets and liabilities for those based on exchange traded market prices or as “Level 2” fair value assets and liabilities 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 mortgage loan servicing fees, Net gain on investments 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 asset. Fair value of REO is established by using a current estimate of fair value from a broker’s price opinion, 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 assets. 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 in Net mortgage loan servicing fees MSRs are generally subject to loss in fair value when mortgage interest rates decrease. Decreasing mortgage interest rates normally encourage increased mortgage refinancing activity. Increased refinancing activity reduces the expected life of the underlying mortgage loans, thereby reducing the cash flows expected to accrue to the MSRs. Reductions in the fair value of MSRs affect income primarily through change in fair value and change in impairment. For MSRs backed by mortgage loans with historically low interest rates, factors other than interest rates (such as housing price changes) take on increasing influence on prepayment behavior of the underlying mortgage loans. Following are the key inputs used in determining the fair value of MSRs at the time of initial recognition: Year ended December 31, 2016 2015 2014 Amortized cost Fair value Amortized cost Fair value Amortized cost Fair value (MSR recognized and UPB of underlying mortgage loan amounts in thousands) MSR recognized $ 267,755 $ 7,337 $ 140,511 $ 13,963 $ 73,640 $ 47,693 Key inputs UPB of underlying mortgage loans $ 22,068,577 $ 752,850 $ 12,195,574 $ 1,430,795 $ 6,800,637 $ 4,573,369 Weighted-average annual servicing fee rate (in basis points) 25 26 25 25 25 25 Pricing spread (1) Range 7.2% – 12.6% 7.2% – 7.6% 6.5% –17.5% 7.2% – 16.3% 6.3% – 17.5% 8.5% – 14.3% Weighted average 7.5% 7.3% 7.9% 8.5% 8.6% 9.1% Life (in years) Range 1.4 – 12.3 2.0 – 9.4 1.3 – 12.0 2.2 – 9.4 1.1 – 7.3 1.6 – 7.3 Weighted average 8.0 5.9 6.9 6.4 6.4 7.1 Annual total prepayment speed (2) Range 3.3% – 49.2% 7.2% – 38.0% 3.5% – 51.0% 6.8% – 34.2% 7.6% – 56.4% 8.0% – 42.7% Weighted average 8.3% 14.5% 9.0% 12.3% 9.6% 9.7% Annual per-loan cost of servicing Range $68 – $79 $68 – $82 $62 – $134 $62 – $68 $59 – $140 $59 – $140 Weighted average $77 $73 $64 $65 $69 $68 (1) The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs acquired as proceeds from the sale of mortgage loans. (2) Prepayment speed is measured using Life Total CPR. Following is a quantitative summary of key inputs used in the valuation of MSRs as of the dates presented, and the effect on the fair value from adverse changes in those inputs: December 31, 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 $ 592,431 $ 64,136 $ 393,157 $ 66,584 Key inputs: UPB of underlying mortgage loans $ 50,539,707 $ 5,763,957 $ 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% – 13.0% 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% adver |
Short-Term Investments
Short-Term Investments | 12 Months Ended |
Dec. 31, 2016 | |
Cash And Cash Equivalents [Abstract] | |
Short-Term Investments | Note 9—Short-Term Investments The Company’s short-term investments are comprised of deposit accounts with U.S. commercial banks. |
Mortgage Loans Acquired for Sal
Mortgage Loans Acquired for Sale at Fair Value | 12 Months Ended |
Dec. 31, 2016 | |
Mortgage Loans On Real Estate [Abstract] | |
Mortgage Loans Acquired for Sale at Fair Value | Note 10—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: Mortgage loan type December 31, 2016 December 31, 2015 (in thousands) Conventional: Agency-eligible $ 847,810 $ 540,947 Jumbo 6,042 54,613 Held for sale to PLS — Government insured or guaranteed 804,616 669,288 Commercial real estate 8,961 14,590 Repurchased pursuant to representations and warranties 5,683 4,357 $ 1,673,112 $ 1,283,795 Mortgage loans pledged to secure: Assets sold under agreements to repurchase $ 1,627,010 $ 1,204,462 Mortgage loan participation and sale agreements 26,738 — Federal Home Loan Bank (“FHLB”) advances — 63,993 $ 1,653,748 $ 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 | 12 Months Ended |
Dec. 31, 2016 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
Derivative Financial Instruments | Note 11—Derivative Financial Instruments The Company’s activities involving derivative financial instruments are summarized below: • The Company generates IRLCs in the normal course of business when it commits to purchase mortgage loans acquired for sale. • 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 and an IO ownership interest in such mortgage loans. The fair values of the Recourse Obligations and the Company’s retention of the IO ownership interest are accounted for as a derivative financial instrument. • 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 sellers 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 seller 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 December 31, 2016 December 31, 2015 Fair value Fair value Notional Derivative Derivative Notional Derivative Derivative Instrument amount assets liabilities amount assets liabilities (in thousands) Derivatives not designated as hedging instruments: Not subject to master netting arrangements: Interest rate lock commitments 1,420,468 $ 7,069 $ 3,292 970,067 $ 4,983 $ 337 CRT Agreements 14,379,850 15,610 — 4,546,265 593 — Subject to master netting arrangements: Forward sale contracts 6,148,242 13,164 17,974 2,450,642 2,604 2,680 Forward purchase contracts 4,840,707 30,879 7,619 2,469,550 2,444 3,774 MBS put options 925,000 1,697 — 375,000 93 — MBS call options 750,000 142 — — — — Swap futures 150,000 — — — — — Eurodollar future sales contracts 1,351,000 — — 1,755,000 — — Call options on interest rate futures 200,000 63 — 50,000 1,156 305 Put options on interest rate futures 550,000 2,469 — 1,600,000 1,512 39 Total derivative instruments before netting 71,093 28,885 13,385 7,135 Netting (37,384 ) (19,312 ) (3,300 ) (3,978 ) $ 33,709 $ 9,573 $ 10,085 $ 3,157 Margin deposits (received from) placed with derivatives counterparties included in Other $ (18,071 ) $ 679 The following tables summarize the notional amount activity for derivative contracts used to hedge the Company’s MBS, mortgage loans acquired for sale, mortgage loans at fair value held in a VIE, IRLCs and MSRs and for derivatives arising from CRT Agreements. Year ended December 31, 2016 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) CRT Agreements 4,546,265 11,190,933 (1,357,348 ) 14,379,850 Forward sales contracts 2,450,642 99,737,855 (96,040,255 ) 6,148,242 Forward purchase contracts 2,469,550 73,269,440 (70,898,283 ) 4,840,707 MBS put options 375,000 12,400,000 (11,850,000 ) 925,000 MBS call options — 750,000 — 750,000 Swap futures — 175,000 (25,000 ) 150,000 Eurodollar future sale contracts 1,755,000 282,000 (686,000 ) 1,351,000 Treasury future buy contracts — 558,700 (558,700 ) — Treasury future sale contracts — 558,700 (558,700 ) — Call options on interest rate futures 50,000 4,425,000 (4,275,000 ) 200,000 Put options on interest rate futures 1,600,000 7,445,000 (8,495,000 ) 550,000 Year ended December 31, 2015 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) CRT Agreements — 4,602,507 (56,242 ) 4,546,265 Forward sales contracts 1,601,283 51,449,971 (50,600,612 ) 2,450,642 Forward purchase contracts 1,100,700 37,757,703 (36,388,853 ) 2,469,550 MBS put option 340,000 2,177,500 (2,142,500 ) 375,000 MBS call option — 140,000 (140,000 ) — Eurodollar future sale contracts 7,426,000 385,000 (6,056,000 ) 1,755,000 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 4,510,000 (5,490,000 ) 50,000 Put options on interest rate futures 275,000 5,743,000 (4,418,000 ) 1,600,000 Year ended December 31, 2014 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) Forward sales contracts 3,588,027 45,904,253 (47,890,997 ) 1,601,283 Forward purchase contracts 2,781,066 33,418,838 (35,099,204 ) 1,100,700 MBS put option 55,000 2,087,500 (1,802,500 ) 340,000 MBS call option 110,000 230,000 (340,000 ) — Eurodollar future sale contracts 8,779,000 3,032,000 (4,385,000 ) 7,426,000 Eurodollar future purchase contracts — 4,087,000 (3,287,000 ) 800,000 Treasury future sale contracts 105,000 482,600 (502,600 ) 85,000 Treasury future purchase contracts — 439,200 (439,200 ) — Call options on interest rate futures — 3,530,000 (2,500,000 ) 1,030,000 Put options on interest rate futures 52,500 1,687,500 (1,465,000 ) 275,000 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: Year ended December 31, Derivative activity Income statement line 2016 2015 2014 (in thousands) CRT agreements Net gain on investments $ 32,500 $ 593 $ — Interest rate lock commitments Net gain on mortgage loans acquired for sale $ 87,836 $ 37,725 $ 73,693 Hedged item: Interest rate lock commitments and mortgage loans acquired for sale Net gain on mortgage loans acquired for sale $ 50,274 $ (16,781 ) $ (68,679 ) Mortgage servicing rights Net loan servicing fees $ 2,271 $ 481 $ 11,527 Fixed-rate assets and LIBOR- indexed repurchase agreements Net gain on investments $ 7,251 $ (19,353 ) $ (22,565 ) |
Mortgage Loans at Fair Value
Mortgage Loans at Fair Value | 12 Months Ended |
Dec. 31, 2016 | |
Text Block [Abstract] | |
Mortgage Loans at Fair Value | Note 12—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: December 31, 2016 December 31, 2015 Loan type Fair value Unpaid principal balance Fair value Unpaid principal balance (in thousands) Distressed mortgage loans Nonperforming mortgage loans $ 742,988 $ 1,020,994 $ 1,222,956 $ 1,702,548 Performing mortgage loans: Fixed interest rate 296,901 408,943 417,658 535,610 Interest rate step-up 232,700 317,409 299,569 412,749 Adjustable-rate/hybrid 81,983 92,313 160,051 185,997 Balloon — — 160 204 611,584 818,665 877,438 1,134,560 1,354,572 1,839,659 2,100,394 2,837,108 Fixed interest rate jumbo mortgage loans held in a VIE 367,169 368,524 455,394 454,935 $ 1,721,741 $ 2,208,183 $ 2,555,788 $ 3,292,043 Mortgage loans at fair value pledged to secure: Assets sold under agreements to repurchase $ 1,345,021 $ 2,067,341 Asset-backed financing of a VIE at fair value and FHLB advances $ 367,169 $ 455,394 FHLB advances $ — $ 134,172 Following is a summary of certain concentrations of credit risk in the portfolio of distressed mortgage loans at fair value: Concentration December 31, 2016 December 31, 2015 (percentages are of fair value) Portion of mortgage loans originated between 2005 and 2007 72% 72% Percentage of fair value of mortgage loans with unpaid-principal balance-to-current-property-value in excess of 100% 41% 48% States contributing 5% or more of mortgage loans New York California New Jersey Florida Massachusetts New York California New Jersey Florida |
Real Estate Acquired in Settlem
Real Estate Acquired in Settlement of Loans | 12 Months Ended |
Dec. 31, 2016 | |
Banking And Thrift [Abstract] | |
Real Estate Acquired in Settlement of Loans | Note 13—Real Estate Acquired in Settlement of Loans Following is a summary of financial information relating to REO: Year ended December 31, 2016 2015 2014 (in thousands) Balance at beginning of year $ 341,846 $ 303,228 $ 138,942 Purchases — — 3,049 Transfers from mortgage loans at fair value and advances 207,431 307,455 364,945 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment (21,406 ) (8,827 ) — Transfers from REO under forward purchase agreements — — 12,737 Results of REO: Valuation adjustments, net (36,193 ) (40,432 ) (45,476 ) Gain on sale, net 17,075 21,255 13,498 (19,118 ) (19,177 ) (31,978 ) Proceeds from sales (234,684 ) (240,833 ) (184,467 ) Balance at end of year $ 274,069 $ 341,846 $ 303,228 At the end of year: REO pledged to secure assets sold under agreements to repurchase $ 167,430 $ 245,647 REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties 48,283 37,696 $ 215,713 $ 283,343 |
Mortgage Servicing Rights
Mortgage Servicing Rights | 12 Months Ended |
Dec. 31, 2016 | |
Text Block [Abstract] | |
Mortgage Servicing Rights | Note 14—Mortgage Servicing Rights Carried at Fair Value: Following is a summary of MSRs carried at fair value: Year ended December 31, 2016 2015 2014 (in thousands) Balance at beginning of year $ 66,584 $ 57,358 $ 26,452 Purchases 2,739 2,335 — MSRs resulting from mortgage loan sales 7,337 13,963 47,693 Changes in fair value: Due to changes in valuation inputs used in valuation model (1) (3,210 ) 312 (11,455 ) Other changes in fair value (2) (9,314 ) (7,384 ) (5,193 ) (12,524 ) (7,072 ) (16,648 ) Sales — — (139 ) Balance at year end $ 64,136 $ 66,584 $ 57,358 MSRs carried at fair value pledged to secure notes payable at year end $ 64,136 $ 66,584 (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: Year ended December 31, 2016 2015 2014 (in thousands) Amortized cost: Balance at beginning of year $ 404,101 $ 308,137 $ 266,697 MSRs resulting from mortgage loan sales 267,755 140,511 73,640 Amortization (65,647 ) (43,982 ) (31,911 ) Sales (106 ) (565 ) (289 ) Balance at end of year 606,103 404,101 308,137 Valuation allowance: Balance at beginning of year (10,944 ) (7,715 ) (2,577 ) Additions (2,728 ) (3,229 ) (5,138 ) Balance at end of year (13,672 ) (10,944 ) (7,715 ) MSRs, net $ 592,431 $ 393,157 $ 300,422 Fair value at beginning of year $ 424,154 $ 322,230 $ 289,737 Fair value at year end $ 626,334 $ 424,154 $ 322,230 MSRs carried at lower of cost or fair value pledged to secure notes payable at year end $ 592,431 $ 393,157 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 December 31, 2016 valuation of MSRs. The inputs underlying the following estimate will change as market conditions and portfolio composition and behavior change, causing both actual and projected amortization levels to change over time. Estimated MSR Year ended December 31, amortization (in thousands) 2017 $ 67,814 2018 63,283 2019 58,297 2020 53,184 2021 48,204 Thereafter 315,321 Total $ 606,103 Servicing fees relating to MSRs are recorded in Net mortgage loan servicing fees Year ended December 31, 2016 2015 2014 (in thousands) Contractually-specified servicing fees $ 125,961 $ 97,633 $ 76,300 Ancillary and other fees: Late charges 570 328 — Other 5,302 4,186 3,708 $ 131,833 $ 102,147 $ 80,008 |
Assets Sold Under Agreements to
Assets Sold Under Agreements to Repurchase | 12 Months Ended |
Dec. 31, 2016 | |
Brokers And Dealers [Abstract] | |
Assets Sold Under Agreements to Repurchase | Note 15—Assets Sold Under Agreements to Repurchase Following is a summary of financial information relating to assets sold under agreements to repurchase: Year ended December 31, 2016 2015 2014 (dollars in thousands) Weighted-average interest rate (1) 2.44 % 2.33 % 2.12 % Average balance $ 3,382,528 $ 3,046,963 $ 2,311,273 Total interest expense $ 92,838 $ 79,869 $ 58,304 Maximum daily amount outstanding $ 5,573,021 $ 4,710,412 $ 3,203,989 December 31, 2016 2015 (dollars in thousands) Carrying value: Unpaid principal balance $ 3,784,685 $ 3,130,328 Unamortized debt issuance costs (684 ) (1,548 ) $ 3,784,001 $ 3,128,780 Weighted-average interest rate 2.70 % 2.33 % Available borrowing capacity: Committed $ 518,932 $ 231,913 Uncommitted 1,092,253 661,756 $ 1,611,185 $ 893,669 Margin deposits placed with counterparties included in Other $ 29,634 $ 7,268 Fair value of assets securing agreements to repurchase: Mortgage-backed securities $ 863,802 $ 313,753 Mortgage loans acquired for sale at fair value $ 1,627,010 $ 1,204,462 Mortgage loans at fair value $ 1,345,021 $ 2,067,341 Real estate acquired in settlement of loans $ 215,713 $ 283,343 CRT Agreements: Deposits securing CRT agreements $ 414,610 $ — Derivative assets $ 9,078 $ — (1) Excludes the effect of amortization of debt issuance costs of $8.8 million for the year ended December 31, 2016, and $8.9 million for the year ended December 31, 2015. Following is a summary of maturities of outstanding assets sold under agreements to repurchase by facility maturity date: Remaining Maturity at December 31, 2016 Unpaid principal balance (in thousands) Within 30 days $ 1,185,874 Over 30 to 90 days 1,874,899 Over 90 days to 180 days — Over 180 days to 1 year 506,120 Over 1 year to 2 years 217,792 $ 3,784,685 Weighted average maturity (in months) 3.7 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 December 31, 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. $ 249,493 January 21, 2017 March 3, 2017 JPMorgan Chase & Co. $ 116,225 October 13, 2017 October 13, 2017 JPMorgan Chase & Co. $ 1,854 January 26, 2017 January 26, 2017 Credit Suisse First Boston Mortgage Capital LLC $ 149,984 March 21, 2017 March 30, 2017 Bank of America, N.A. $ 23,156 March 22, 2017 March 29, 2017 Barclays Bank PLC $ 4,590 March 21, 2017 December 1, 2017 Morgan Stanley $ 6,622 February 17, 2017 August 25, 2017 Securities sold under agreements to repurchase Counterparty Amount at risk Weighted average maturity (in thousands) JPMorgan Chase & Co. $ 4,539 January 20, 2017 Bank of America, N.A. $ 15,526 January 17, 2017 Daiwa Capital Markets America Inc. $ 8,218 January 14, 2017 Wells Fargo, N.A. $ 7,116 January 9, 2017 Royal Bank of Canada $ 2,590 January 19, 2017 CRT Agreements Counterparty Amount at risk Weighted average maturity (in thousands) JPMorgan Chase & Co. $ 72,670 January 13, 2017 Bank of America, N.A. $ 33,731 January 16, 2017 BNP Paribas Corporate & Institutional Banking $ 19,498 January 13, 2017 |
Mortgage Loan Participation and
Mortgage Loan Participation and Sale Agreements | 12 Months Ended |
Dec. 31, 2016 | |
Text Block [Abstract] | |
Mortgage Loan Participation and Sale Agreements | Note 16—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. The holdback 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: Year ended December 31, 2016 2015 2014 (dollars in thousands) Weighted-average interest rate (1) 1.74 % 1.62 % 1.42 % Average balance $ 70,391 $ 49,318 $ 44,770 Total interest expense $ 1,376 $ 1,001 $ 912 Maximum daily amount outstanding $ 99,469 $ 148,032 $ 116,363 (1) Excludes the effect of amortization of debt issuance costs of $130,000 for the year ended December 31, 2016, and $193,000 for the year ended December 31, 2015. December 31, 2016 2015 (dollars in thousands) Carrying value: Amount outstanding $ 25,917 $ — Unamortized debt issuance costs — — $ 25,917 $ — Weighted-average interest rate 2.02 % — Mortgage loans acquired for sale pledged to secure mortgage loan participation and sale agreements $ 26,738 $ — |
Notes Payable
Notes Payable | 12 Months Ended |
Dec. 31, 2016 | |
Text Block [Abstract] | |
Notes Payable | Note 17—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 $220 million. The note matures on December 1, 2017, 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 March 31, 2017. Following is a summary of financial information relating to the notes payable: Year ended December 31, 2016 2015 (dollars Weighted-average interest rate (1) 4.73 % 4.31 % Average balance $ 202,293 $ 119,307 Total interest expense $ 12,892 $ 6,826 Maximum daily amount outstanding $ 275,106 $ 236,107 (1) Excludes the effect of amortization of debt issuance costs of $3.2 million for the year ended December 31, 2016, and $1.6 million for the year ended December 31, 2015. Year ended December 31, 2016 2015 (dollars in thousands) Carrying value: Amount outstanding $ 275,106 $ 236,107 Unamortized debt issuance costs — (92 ) $ 275,106 $ 236,015 Weighted-average interest rate 4.73 % 4.53 % MSRs pledged to secure notes payable $ 656,567 $ 459,741 |
Exchangeable Senior Notes
Exchangeable Senior Notes | 12 Months Ended |
Dec. 31, 2016 | |
Text Block [Abstract] | |
Exchangeable Senior Notes | Note 18—Exchangeable Senior Notes PMC issued in a private offering $250 million aggregate principal amount of Exchangeable Notes due May 1, 2020. The Exchangeable Notes bear interest at a rate of 5.375% per year, payable semiannually. The Exchangeable Notes are exchangeable into common shares of the Company at a rate of 33.8667 common shares per $1,000 principal amount of the Exchangeable Notes as of December 31, 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: Year ended December 31, 2016 2015 2014 (in thousands) Weighted-average UPB $ 250,000 $ 250,000 $ 250,000 Interest expense (1) $ 14,473 $ 14,413 $ 14,358 (1) Total interest expense includes amortization of debt issuance costs of $1.0 million, $975,000, and $920,000 for the years ended December 31, 2016, 2015 and 2014, respectively. December 31, 2016 2015 (in thousands) Carrying value: UPB $ 250,000 $ 250,000 Unamortized debt issuance costs (3,911 ) (4,946 ) $ 246,089 $ 245,054 |
Asset-Backed Financing of a Var
Asset-Backed Financing of a Variable Interest Entity at Fair Value | 12 Months Ended |
Dec. 31, 2016 | |
Text Block [Abstract] | |
Asset-Backed Financing of a Variable Interest Entity at Fair Value | Note 19—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: Year ended December 31, 2016 2015 2014 (dollars in thousands) Weighted-average fair value $ 338,582 $ 186,430 $ 167,752 Interest expense $ 12,091 $ 6,840 $ 6,490 Weighted-average effective interest rate 3.32 % 3.35 % 3.82 % December 31, 2016 2015 (dollars in thousands) Carrying value $ 353,898 $ 247,690 UPB $ 355,494 $ 248,284 Weighted-average interest rate 3.50 % 3.50 % The asset-backed financing of a VIE is a non-recourse liability and secured solely by the assets of a consolidated VIE and not by any other assets of the Company. The assets of the VIE are the only source of funds for repayment of the asset-backed financing. |
Federal Home Loan Bank Advances
Federal Home Loan Bank Advances | 12 Months Ended |
Dec. 31, 2016 | |
Banking And Thrift [Abstract] | |
Federal Home Loan Bank Advances | Note 20—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 December 31, 2016. The FHLB advances are summarized below: Year ended December 31, 2016 2015 (dollars Weighted-average interest rate 0.49 % 0.30 % Average balance $ 24,375 $ 89,512 Total interest expense $ 122 $ 275 Maximum daily amount outstanding $ 201,130 $ 196,100 December 31, 2016 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 |
Liability for Losses Under Repr
Liability for Losses Under Representations and Warranties | 12 Months Ended |
Dec. 31, 2016 | |
Text Block [Abstract] | |
Liability for Losses Under Representations and Warranties | Note 21—Liability for Losses Under Representations and Warranties Following is a summary of the Company’s liability for losses under representations and warranties: Year ended December 31, 2016 2015 2014 (in thousands) Balance, beginning of period $ 20,171 $ 14,242 $ 10,110 Provision for losses Pursuant to mortgage loan sales 3,254 5,771 4,255 Reduction in liability due to change in estimate (7,564 ) — — Losses incurred (511 ) (176 ) (123 ) Recoveries — 334 — Balance, end of period $ 15,350 $ 20,171 $ 14,242 UPB of mortgage loans subject to representations and warranties at period end $ 56,114,162 $ 41,842,601 $ 34,673,414 |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2016 | |
Commitments And Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 22—Commitments and Contingencies Litigation From time to time, the Company may be involved in various proceedings, claims and legal actions arising in the ordinary course of business. As of December 31, 2016, the Company was not involved in any such proceedings, claims or legal actions that in management’s view would reasonably be likely to have a material adverse effect on the Company. Commitments The following table summarizes the Company’s outstanding contractual commitments: December 31, 2016 (in thousands) Commitments to purchase mortgage loans acquired for sale $ 1,420,468 Commitments to fund Deposits securing credit risk transfer agreements (1) $ 92,109 (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 | 12 Months Ended |
Dec. 31, 2016 | |
Equity [Abstract] | |
Shareholders' Equity | Note 23—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: Year ended December 31, Cumulative 2016 2015 Total (1) (in thousands) Common shares repurchased 7,368 1,045 8,413 Cost of common shares repurchased $ 98,370 $ 16,338 $ 114,708 (1) Amounts represent the share repurchase program total through December 31, 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 As more fully described in Note 4— Transactions with Related Parties The Reimbursement Agreement also provides for the payment to the IPO underwriters of the amount that the Company agreed to pay to them at the time of the IPO if the Company satisfied certain performance measures over a specified period of time. As PCM earns performance incentive fees under the management agreement, the IPO underwriters will be paid at a rate of $20 of payments for every $100 of performance incentive fees earned by PCM. The payment to the underwriters is subject to a maximum reimbursement in any particular 12-month period of $2.0 million and the maximum amount that may be paid under the agreement is $5.9 million. No payments were made during the year ended December 31, 2016. During the years ended December 31, 2015 and 2014, $473,000 and $1.7 million, respectively was paid to the underwriters. The Reimbursement Agreement expires on February 1, 2019. |
Net Interest Income
Net Interest Income | 12 Months Ended |
Dec. 31, 2016 | |
Banking And Thrift Interest [Abstract] | |
Net Interest Income | Note 24—Net Interest Income Net interest income is summarized below: Year ended December 31, 2016 2015 2014 (in thousands) Interest income: From nonaffiliates: Short-term investments $ 923 $ 815 $ 604 Mortgage-backed securities 14,663 10,267 8,226 Mortgage loans acquired for sale at fair value 54,750 48,281 23,974 Mortgage loans at fair value: Distressed 107,044 96,536 100,340 Under forward purchase agreements — — 3,584 Held in a VIE 17,042 19,903 22,280 Placement fees relating to custodial funds 4,058 — — Deposits securing CRT Agreements 930 — — Other 111 178 48 199,521 175,980 159,056 From PFSI—ESS purchased from PFSI at fair value 22,601 25,365 13,292 222,122 201,345 172,348 Interest expense: To nonaffiliates: Assets sold under agreements to repurchase 92,838 79,869 58,304 Mortgage loan participation and sale agreements 1,376 1,001 912 Notes payable 12,892 6,826 — Exchangeable Notes 14,473 14,413 14,358 Asset-backed financings of VIEs at fair value (1) 12,091 13,754 6,490 FHLB advances 122 275 — Borrowings under forward purchase agreements — — 2,363 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 6,812 4,207 2,004 Placement fees on mortgage loan impound deposits 1,334 1,020 1,158 141,938 121,365 85,589 To PFSI—financings payable 7,830 3,343 — 149,768 124,708 85,589 Net interest income $ 72,354 $ 76,637 $ 86,759 (1) The results for the year ended December 31, 2016 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 | 12 Months Ended |
Dec. 31, 2016 | |
Text Block [Abstract] | |
Net Gain on Mortgage Loans Acquired for Sale | Note 25—Net Gain on Mortgage Loans Acquired for Sale Net gain on mortgage loans acquired for sale is summarized below: Year ended December 31, 2016 2015 2014 (in thousands) From non-affiliates: Cash loss: Mortgage loans $ (229,743 ) $ (84,489 ) $ (25,241 ) Hedging activities 30,927 (17,742 ) (57,161 ) (198,816 ) (102,231 ) (82,402 ) Non cash gain: Receipt of MSRs in mortgage loan sale transactions 275,092 154,474 121,333 Provision for losses relating to representations and warranties provided in mortgage loan sales Pursuant to mortgage loans sales (3,254 ) (5,771 ) (4,255 ) Reduction in liability due to change in estimate 7,564 — — Change in fair value of financial instruments held at period end: IRLCs (869 ) (1,015 ) 4,412 Mortgage loans (1,846 ) (2,977 ) 3,825 Hedging derivatives 19,347 961 (11,518 ) 16,632 (3,031 ) (3,281 ) Total from non-affiliates 97,218 43,441 31,395 From PFSI—cash gain 9,224 7,575 4,252 $ 106,442 $ 51,016 $ 35,647 |
Net Gain on Investments
Net Gain on Investments | 12 Months Ended |
Dec. 31, 2016 | |
Investments Debt And Equity Securities [Abstract] | |
Net Gain on Investments | Note 26—Net Gain on Investments Net gain (loss) on investments is summarized below: Year ended December 31, 2016 2015 2014 (in thousands) Net gain (loss) on investments: From non-affiliates: Mortgage-backed securities $ (13,168 ) $ (5,224 ) $ 10,416 Mortgage loans at fair value: Distressed mortgage loans (3,504 ) 81,133 215,483 Mortgage loans held in a VIE (1,748 ) (10,663 ) 27,768 CRT Agreements 32,500 593 — Asset-backed financing of a VIE at fair value 3,238 4,260 (8,459 ) Hedging derivatives 7,251 (19,353 ) (22,565 ) 24,569 50,746 222,643 From PFSI—ESS (17,394 ) 3,239 (20,834 ) $ 7,175 $ 53,985 $ 201,809 |
Net Mortgage Loan Servicing Fee
Net Mortgage Loan Servicing Fees | 12 Months Ended |
Dec. 31, 2016 | |
Text Block [Abstract] | |
Net Mortgage Loan Servicing Fees | Note 27—Net Mortgage Loan Servicing Fees Net mortgage loan servicing fees are summarized below: Year ended December 31, 2016 2015 2014 (in thousands) From non-affiliates: Servicing fees (1) $ 131,833 $ 102,147 $ 80,008 Effect of MSRs: Carried at lower of amortized cost or fair value: Amortization (65,647 ) (43,982 ) (31,911 ) Provision for impairment (2,728 ) (3,229 ) (5,138 ) Gain on sale 11 187 46 Carried at fair value—change in fair value (12,524 ) (7,072 ) (16,648 ) Gains on hedging derivatives 2,271 481 11,527 (78,617 ) (53,615 ) (42,124 ) 53,216 48,532 37,884 From PFSI-MSR recapture income 1,573 787 9 Net mortgage loan servicing fees $ 54,789 $ 49,319 $ 37,893 Average servicing portfolio $ 49,626,758 $ 38,450,379 $ 30,720,168 (1) Includes contractually specified servicing and ancillary fees. |
Share-Based Compensation Plans
Share-Based Compensation Plans | 12 Months Ended |
Dec. 31, 2016 | |
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract] | |
Share-Based Compensation Plans | Note 28—Share-Based Compensation Plans The Company has adopted an equity incentive plan which provides for the issuance of equity based awards, including share options, restricted shares, restricted share units, unrestricted common share awards, LTIP units (a special class of partnership interests in the Operating Partnership) and other awards based on PMT’s common shares that may be made by the Company directly to its officers and trustees, and the members, officers, trustees, directors and employees of PCM, PFSI, or their affiliates and to PCM, PFSI and other entities that provide services to PMT and the employees of such other entities. The equity incentive plan is administered by the Company’s compensation committee, pursuant to authority delegated by the board of trustees, which has the authority to make awards to the eligible participants referenced above, and to determine what form the awards will take, and the terms and conditions of the awards. The Company’s equity incentive plan allows for grants of share-based awards up to an aggregate of 8% of PMT’s issued and outstanding shares on a diluted basis at the time of the award. The shares underlying award grants will again be available for award under the equity incentive plan if: • any shares subject to an award granted under the equity incentive plan are forfeited, canceled, exchanged or surrendered; • an award terminates or expires without a distribution of shares to the participant; or • shares are surrendered or withheld by PMT as payment of either the exercise price of an award and/or withholding taxes for an award. Restricted share units have been awarded to trustees and officers of the Company and to employees of PFSI at no cost to the grantees. Such awards generally vest over a one- to three-year period. The following table summarizes the Company’s share-based compensation activity: Year ended December 31, 2016 2015 2014 (in thousands except per share amounts) Number of units: Outstanding at beginning of year 734 725 661 Granted 330 312 300 Vested (299 ) (302 ) (234 ) Canceled or forfeited — (1 ) (2 ) Outstanding at end of year 765 734 725 Weighted Average Grant Date Fair Value: Outstanding at beginning of year $ 21.26 $ 21.00 $ 19.95 Granted $ 10.46 $ 21.06 $ 21.05 Vested $ 18.46 $ 19.65 $ 19.68 Expired or canceled $ — $ 21.29 $ 18.74 Outstanding at end of year $ 16.19 $ 21.26 $ 21.00 Compensation expense recorded during the year $ 5,748 $ 6,346 $ 7,107 Fair value of vested units during the year $ 5,510 $ 5,929 $ 4,615 Year end: Units available for future awards(1) 4,632 Unamortized compensation cost $ 4,118 (1) Based on shares outstanding as of December 31, 2016. Total units available for future awards may be adjusted in accordance with the equity incentive plan based on future issuances of PMT’s shares as described above. As of December 31, 2016, 653,210 restricted share units with a weighted average grant date fair value of $17.34 per share unit are expected to vest over their average remaining vesting period of 12 months. The grant date fair values of share unit awards are based on the market value of the Company’s stock at the date of grant. As of December 31, 2016, 112,079 performance units with a weighted average grant date fair value of $9.50 per share unit are expected to vest over their average remaining vesting period of 12 months. The grant date fair values of share unit awards are based on the market value of the Company’s stock at the date of grant. |
Other Expenses
Other Expenses | 12 Months Ended |
Dec. 31, 2016 | |
Other Income And Expenses [Abstract] | |
Other Expenses | Note 29—Other Expenses Other expenses are summarized below: Year ended December 31, 2016 2015 2014 (in thousands) Common overhead allocation from PFSI $ 7,898 $ 10,742 $ 10,477 Real estate held for investment 3,213 604 — Technology 1,448 1,279 984 Insurance 1,326 1,304 989 Other 4,340 2,542 2,313 $ 18,225 $ 16,471 $ 14,763 |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2016 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Note 30—Income Taxes The Company has elected to be taxed as a REIT for U.S. federal income tax purposes under Sections 856 through 860 of the Internal Revenue Code. Therefore, PMT generally will not be subject to corporate federal or state income tax to the extent that qualifying distributions are made to shareholders and the Company meets REIT requirements including certain asset, income, distribution and share ownership tests. The Company believes that it has met the distribution requirements, as it has declared dividends sufficient to distribute substantially all of its taxable income. Taxable income will generally differ from net income. The primary differences between net income and the REIT taxable income (before deduction for qualifying distributions) are the taxable income of the taxable REIT subsidiary (“TRS”) and the method of determining the income or loss related to valuation of the mortgage loans owned by the qualified REIT subsidiary (“QRS”). In general, cash dividends declared by the Company will be considered ordinary income to the shareholders for income tax purposes. Some portion of the dividends may be characterized as capital gain distributions or a return of capital. The approximate tax characterization of the Company’s distributions is as follows: Year ended December 31, Ordinary income Long term capital gain Return of capital 2016 60 % 40 % 0 % 2015 41 % 25 % 34 % 2014 86 % 14 % 0 % The Company had elected to treat two of its subsidiaries as TRSs. In the quarter ended September 30, 2012, the Company revoked the election to treat its wholly owned subsidiary that is the sole general partner of the Operating Partnership as a TRS. As a result, beginning September 1, 2012, only one subsidiary, PMC, is treated as a TRS. Income from a TRS is only included as a component of REIT taxable income to the extent that the TRS makes dividend distributions of income to the REIT. No such dividend distributions have been made to date. A TRS is subject to corporate federal and state income tax. Accordingly, a provision for income taxes for PMC and, for the periods for which TRS treatment had been elected, the sole general partner of the Operating Partnership is included in the Consolidated Statements of Income. The Company files U.S. federal and state income tax returns for both the REIT and TRSs. These federal income tax returns for 2013 and forward are subject to examination. The Company’s state income tax returns are generally subject to examination for 2012 and forward. No returns are currently under examination. The following table details the Company’s income tax benefit which relates primarily to the TRSs for the years presented: Year ended December 31, 2016 2015 2014 (in thousands) Current expense: Federal $ 361 $ 671 $ 352 State 81 204 104 Total current expense 442 875 456 Deferred benefit: Federal (8,790 ) (13,124 ) (10,232 ) State (5,699 ) (4,547 ) (5,304 ) Total deferred benefit (14,489 ) (17,671 ) (15,536 ) Total benefit from income taxes $ (14,047 ) $ (16,796 ) $ (15,080 ) The following table is a reconciliation of the Company’s provision for income taxes at statutory rates to the provision for income taxes at the Company’s effective rate for the years presented: Year ended December 31, 2016 2015 2014 Amount Rate Amount Rate Amount Rate (in thousands) Federal income tax expense at statutory tax rate $ 21,617 35.0 % $ 25,656 35.0 % $ 62,812 35.0 % Effect of non-taxable REIT income (32,501 ) (52.6 )% (40,366 ) (55.1 )% (74,480 ) (41.5 )% State income taxes, net of federal benefit (3,652 ) (5.9 )% (2,823 ) (3.9 )% (3,380 ) (1.9 )% Other 489 0.8 % 737 1.1 % (32 ) 0 % Valuation allowance — 0 % — 0 % — 0 % Benefit from income taxes $ (14,047 ) (22.7 )% $ (16,796 ) (22.9 )% $ (15,080 ) (8.4 )% The Company’s components of the provision for deferred income taxes are as follows: Year ended December 31, 2016 2015 2014 (in thousands) Real estate valuation loss $ 2,732 $ (1,577 ) $ (5,079 ) Mortgage servicing rights 10,597 (31,324 ) 27,996 Net operating loss carryforward (19,863 ) 33,297 (35,963 ) Liability for losses under representations and warranties 2,222 (2,467 ) (5,944 ) Excess interest expense disallowance (8,721 ) (15,384 ) — Other (1,456 ) (216 ) 3,454 Valuation allowance — — — Total (benefit) provision for deferred income taxes $ (14,489 ) $ (17,671 ) $ (15,536 ) The components of income taxes payable are as follows: December 31, 2016 December 31, 2015 (in thousands) Taxes currently receivable 2,519 1,669 Deferred income taxes payable $ (20,685 ) $ (35,174 ) Income taxes payable $ (18,166 ) $ (33,505 ) The tax effects of temporary differences that gave rise to deferred income tax assets and liabilities are presented below: December 31, 2016 December 31, 2015 (in thousands) Deferred income tax assets: REO valuation loss $ 9,542 $ 12,274 Net operating loss carryforward 60,435 40,572 Liability for losses under representations and warranties 6,189 8,411 Excess interest expense disallowance 24,105 15,384 Other 1,882 426 Gross deferred tax assets 102,153 77,067 Deferred income tax liabilities: Mortgage servicing rights (122,838 ) (112,241 ) Other — — Gross deferred tax liabilities (122,838 ) (112,241 ) Net deferred income tax liability $ (20,685 ) $ (35,174 ) The net deferred income tax liability is recorded in Income taxes payable The Company has net operating loss carryforwards of $152 million and $96.7 million for the years ended December 31, 2016 and December 31, 2015, respectively, that expire between 2033 and 2036. At December 31, 2016 and December 31, 2015, the Company had no unrecognized tax benefits and does not anticipate any increase in unrecognized tax benefits. Should the accrual of any interest or penalties relative to unrecognized tax benefits be necessary, it is the Company’s policy to record such accruals in the Company’s income tax accounts. No such accruals existed at December 31, 2016 and December 31, 2015. |
Segments
Segments | 12 Months Ended |
Dec. 31, 2016 | |
Segment Reporting [Abstract] | |
Segments | Note 31—Segments The Company has two segments: correspondent production and investment activities. • The correspondent production segment represents the Company’s operations aimed at serving as an intermediary between mortgage lenders and the capital markets by purchasing, pooling and reselling newly originated prime credit quality mortgage loans either directly or in the form of MBS, using the services of PFSI. Most of the loans the Company has acquired in its correspondent production activities have been eligible for sale to government-sponsored entities such as Fannie Mae and Freddie Mac or through government agencies such as Ginnie Mae. • The investment activities segment represents the Company’s investments in mortgage-related assets, which include distressed mortgage loans, REO, MBS, MSRs, ESS, small balance commercial real estate loans and CRT Agreements. The Company seeks to maximize the value of the distressed mortgage loans that it acquires through proprietary loan modification programs, special servicing or other initiatives focused on keeping borrowers in their homes. Where this is not possible, such as in the case of many nonperforming mortgage loans, the Company seeks to effect property resolution in a timely, orderly and economically efficient manner, including through the use of resolution alternatives to foreclosure. Financial highlights by operating segment are summarized below: Correspondent Investment Year ended December 31, 2016 production activities Total (in thousands) Net gain on mortgage loans acquired for sale $ 106,442 $ — $ 106,442 Net investment income: Interest income 53,998 168,124 222,122 Interest expense (33,701 ) (116,067 ) (149,768 ) 20,297 52,057 72,354 Net mortgage loan servicing fees — 54,789 54,789 Net gain on investments — 7,175 7,175 Other income (loss) 41,998 (10,670 ) 31,328 168,737 103,351 272,088 Expenses: Mortgage loan fulfillment, servicing and management fees payable to PFSI 88,978 68,759 157,737 Other 9,292 43,296 52,588 98,270 112,055 210,325 Pre-tax income (loss) $ 70,467 $ (8,704 ) $ 61,763 Total assets at period end $ 1,715,145 $ 4,642,357 $ 6,357,502 Correspondent Investment Year ended December 31, 2015 production activities Total (in thousands) Net gain on mortgage loans acquired for sale $ 51,016 $ — $ 51,016 Net investment income: Interest income 39,976 161,369 201,345 Interest expense (19,843 ) (104,865 ) (124,708 ) 20,133 56,504 76,637 Net mortgage loan servicing fees — 49,319 49,319 Net gain on investments — 53,985 53,985 Other income (loss) 28,822 (11,014 ) 17,808 99,971 148,794 248,765 Expenses: Mortgage loan fulfillment, servicing and management fees payable to PFSI 60,619 68,605 129,224 Other 6,450 39,787 46,237 67,069 108,392 175,461 Pre-tax income $ 32,902 $ 40,402 $ 73,304 Total assets at period end $ 1,286,138 $ 4,540,786 $ 5,826,924 Correspondent Investment Intersegment Year ended December 31, 2014 production activities elimination & other Total (in thousands) Net gain on mortgage loans acquired for sale $ 35,647 $ — — $ 35,647 Net investment income: Interest income 24,022 150,714 (2,388 ) 172,348 Interest expense (15,899 ) (72,078 ) 2,388 (85,589 ) 8,123 78,636 — 86,759 Net mortgage loan servicing fees — 37,893 — 37,893 Net gain on investments — 201,809 — 201,809 Other income 18,290 (23,657 ) — (5,367 ) 62,060 294,681 — 356,741 Expenses: Mortgage loan fulfillment, servicing and management fees payable to PFSI 49,872 86,404 — 136,276 Other 3,357 37,644 — 41,001 53,229 124,048 — 177,277 Pre-tax income $ 8,831 $ 170,633 $ — $ 179,464 Total assets at period end $ 654,476 $ 4,242,782 $ — $ 4,897,258 |
Selected Quarterly Results
Selected Quarterly Results | 12 Months Ended |
Dec. 31, 2016 | |
Quarterly Financial Information Disclosure [Abstract] | |
Selected Quarterly Results | Note 32—Selected Quarterly Results (Unaudited) Following is a presentation of selected quarterly financial data: Quarter ended 2016 2015 Dec. 31 Sept. 30 June 30 Mar. 31 Dec. 31 Sept. 30 June 30 Mar. 31 (dollars in thousands, except per share data) For the quarter ended: Net investment income $ 68,928 $ 103,326 $ 47,618 $ 52,216 $ 50,569 $ 90,774 $ 69,765 $ 37,657 Net income $ 31,174 $ 35,408 $ (5,267 ) $ 14,496 $ 15,709 $ 38,812 $ 28,071 $ 7,508 Earnings per share: Basic $ 0.46 $ 0.52 $ (0.08 ) $ 0.20 $ 0.21 $ 0.51 $ 0.37 $ 0.09 Diluted $ 0.44 $ 0.49 $ (0.08 ) $ 0.20 $ 0.21 $ 0.49 $ 0.36 $ 0.09 Cash dividends declared per share $ 0.47 $ 0.47 $ 0.47 $ 0.47 $ 0.47 $ 0.47 $ 0.61 $ 0.61 At period end: Short-term investments at fair value $ 122,088 $ 33,353 $ 16,877 $ 47,500 $ 41,865 $ 31,518 $ 32,417 $ 44,949 Mortgage-backed securities at fair value 865,061 708,862 531,612 364,439 322,473 315,599 287,626 316,292 Mortgage loans at fair value (1) 3,394,853 4,000,570 3,497,026 3,836,411 3,839,583 3,688,026 4,944,694 4,226,290 Excess servicing spread 288,669 280,367 294,551 321,976 412,425 418,573 359,102 222,309 Real estate acquired in settlement of loans (2) 303,393 314,056 320,120 339,970 350,642 358,011 325,822 317,536 Mortgage servicing rights (3) 656,567 524,529 471,458 455,097 459,741 423,095 394,737 359,160 Other assets 726,871 757,164 635,918 455,047 400,195 357,409 332,976 243,991 Total assets $ 6,357,502 $ 6,618,901 $ 5,767,562 $ 5,820,440 $ 5,826,924 $ 5,592,231 $ 6,677,374 $ 5,730,527 Assets sold under agreements to repurchase and mortgage loan participation and sale agreement $ 3,809,918 $ 4,129,543 $ 3,372,026 $ 3,307,414 $ 3,128,780 $ 2,925,110 $ 3,571,181 $ 3,633,922 Federal Home Loan Bank advances — — — — 183,000 183,000 138,400 — Credit risk transfer financing at fair value — — — — — — 649,120 — Notes payable 425,106 346,132 313,976 356,191 386,015 342,332 297,404 — Borrowings under forward purchase agreements — — — — — — — — Asset-backed financing of a VIE at fair value 353,898 384,407 325,939 344,693 247,690 234,287 151,489 162,222 Exchangeable senior notes 246,089 245,824 245,564 245,307 245,054 244,805 244,559 244,317 Other liabilities 171,377 158,077 149,230 152,332 140,272 148,267 99,924 147,907 Total liabilities 5,006,388 5,263,983 4,406,735 4,405,937 4,330,811 4,077,801 5,152,077 4,188,368 Shareholders’ equity 1,351,114 1,354,918 1,360,827 1,414,503 1,496,113 1,514,430 1,525,297 1,542,159 Total liabilities and shareholders’ equity $ 6,357,502 $ 6,618,901 $ 5,767,562 $ 5,820,440 $ 5,826,924 $ 5,592,231 $ 6,677,374 $ 5,730,527 (1) Includes mortgage loans acquired for sale at fair value, mortgage loans at fair value, mortgage loans at fair value held by variable interest entity and mortgage loans under forward purchase agreements at fair value. (2) Includes REO, REO under forward purchase agreements and real estate held for investment. (3) Includes mortgage servicing rights at fair value and mortgage servicing rights at lower of amortized cost or fair value. |
Supplemental Cash Flow Informat
Supplemental Cash Flow Information | 12 Months Ended |
Dec. 31, 2016 | |
Supplemental Cash Flow Elements [Abstract] | |
Supplemental Cash Flow Information | Note 33—Supplemental Cash Flow Information Year ended December 31, 2016 2015 2014 (in thousands) Cash paid for interest $ 157,686 $ 117,223 $ 94,116 Income taxes paid, net $ 1,294 $ 1,116 $ (6,562 ) Non-cash investing activities: Receipt of MSRs as proceeds from sales of mortgage loans $ 275,092 $ 154,474 $ 121,333 Transfer of mortgage loans and advances to real estate acquired in settlement of loans $ 207,431 $ 307,455 $ 364,945 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment $ 21,406 $ 8,827 $ — Receipt of ESS pursuant to recapture agreement with PFSI $ 6,603 $ 6,728 $ 7,343 Transfers of mortgage loans acquired for sale to mortgage loans at fair value $ — $ 23,859 $ — Purchase of mortgage loans financed through forward purchase agreements $ — $ — $ 2,828 Transfer of mortgage loans under forward purchase agreements to mortgage loans at fair value $ — $ — $ 205,902 Transfer of mortgage loans under forward purchase agreements and advances to REO under forward purchase agreements $ — $ — $ 9,369 Purchase of REO financed through forward purchase agreements $ — $ — $ 68 Transfer of REO under forward purchase agreements to REO $ — $ — $ 12,737 Non-cash financing activities: Dividends payable $ 31,655 $ 35,069 $ 45,894 Transfer of mortgage loans at fair value financed through agreements to repurchase to REO financed under agreements to repurchase $ — $ 85,134 $ 2,731 Purchase of mortgage loans financed through forward purchase agreements $ — $ — $ 2,828 Purchase of REO financed through forward purchase agreements $ — $ — $ 68 |
Regulatory Capital and Liquidit
Regulatory Capital and Liquidity Requirements | 12 Months Ended |
Dec. 31, 2016 | |
Mortgage Banking [Abstract] | |
Regulatory Capital and Liquidity Requirements | Note 34—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: December 31, 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) December 31, 2016 $ 392,056 $ 143,259 12 % 6 % $ 26,670 $ 19,706 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 | 12 Months Ended |
Dec. 31, 2016 | |
Accounting Changes And Error Corrections [Abstract] | |
Recently Issued Accounting Pronouncements | Note 35—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 does not believe that the adoption of ASU 2016-01 will have a significant effect 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 does not believe that the adoption of ASU 2016-09 will have a significant effect 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. |
Parent Company Information
Parent Company Information | 12 Months Ended |
Dec. 31, 2016 | |
Condensed Financial Information Of Parent Company Only Disclosure [Abstract] | |
Parent Company Information | Note 36—Parent Company Information The Company’s debt financing agreements require PMT and certain of its subsidiaries to comply with financial covenants that include a minimum tangible net worth for the Company of $860 million; a minimum tangible net worth for the Company’s subsidiaries including the Operating Partnership of $700 million (net worth was $1.4 billion, which includes PMH and PMC); a minimum tangible net worth for PMH of $250 million (net worth was $835 million); and a minimum tangible net worth for PMC of $150 million (net worth was $1.1 billion). The Company’s subsidiaries are limited from transferring funds to the Parent by these minimum tangible net worth requirements. PENNYMAC MORTGAGE INVESTMENT TRUST CONDENSED BALANCE SHEETS December 31, 2016 2015 (in thousands) Assets Short-term investment $ 1,035 $ 2,606 Investments in subsidiaries 1,408,979 1,558,728 Due from affiliates 100 168 Due from PennyMac Financial Services, Inc. 54 — Other assets 610 806 Total assets 1,410,778 1,562,308 Liabilities Dividends payable 31,385 34,720 Accounts payable and accrued liabilities 2,765 2,708 Capital notes due to subsidiaries 18,409 20,379 Due to PennyMac Financial Services, Inc. 1,185 1,247 Due to affiliates 42 219 Income taxes payable — — Total liabilities 53,786 59,273 Shareholders' equity 1,356,992 1,503,035 Total liabilities and shareholders' equity 1,410,778 1,562,308 PENNYMAC MORTGAGE INVESTMENT TRUST CONDENSED STATEMENTS OF INCOME Year ended December 31, 2016 2015 2014 (in thousands) Income Dividends from subsidiaries $ 230,091 $ 171,254 $ 174,192 Intercompany interest 6 8 15 Interest — — 4 Other 1,250 1,250 1,250 Total income 231,347 172,512 175,461 Expenses Intercompany interest 1,382 441 26 Other (114 ) 14 — Total expenses 1,268 455 26 Income before provision for income taxes and equity in undistributed earnings in subsidiaries 230,079 172,057 175,435 Provision for income taxes 442 875 372 Income before equity in undistributed earnings of subsidiaries 229,637 171,182 175,063 Equity in undistributed earnings of subsidiaries (155,093 ) (78,704 ) 23,288 Net income $ 74,544 $ 92,478 $ 198,351 PENNYMAC MORTGAGE INVESTMENT TRUST CONDENSED STATEMENTS OF CASH FLOWS Year ended December 31, 2016 2015 2014 (in thousands, except share data) Cash flows from operating activities: Net income $ 74,544 $ 92,478 $ 198,351 Equity in undistributed earnings of subsidiaries 155,093 78,704 (23,288 ) Decrease in due from affiliates 693 915 107 Decrease (increase) in other assets 196 (284 ) (1 ) Increase (decrease) in accounts payable and accrued liabilities 93 (257 ) (837 ) Increase in due from affiliates (116 ) (238 ) (652 ) Decrease due to affiliates (174 ) (119 ) (40 ) Increase in income taxes payable — (126 ) 59 Net cash provided by operating activities 230,329 171,073 173,699 Cash flows from investing activities: Increase in investment in subsidiaries — — (89,618 ) Net decrease in short-term investments 1,571 (2,100 ) 834 Net cash used by investing activities 1,571 (2,100 ) (88,784 ) Cash flows from financing activities: Issuance of common shares — 8 90,588 Net increase in intercompany unsecured note payable to PMT subsidiary (1,970 ) 20,379 — Repurchases of common shares (98,370 ) (16,338 ) — Payment of common share underwriting and offering costs — — (1,070 ) Payment of dividends (131,560 ) (173,022 ) (174,433 ) Net cash provided (used) by financing activities (231,900 ) (168,973 ) (84,915 ) Net change in cash — — — Cash at beginning of year — — — Cash at end of year $ — $ — $ — Non-cash financing activity — dividends payable $ 31,655 $ 35,069 $ 45,894 |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2016 | |
Subsequent Events [Abstract] | |
Subsequent Events | Note 37—Subsequent Events Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period: • On January 26, 2017, the Company entered into an agreement to sell $89 million in UPB of performing loans from the distressed portfolio. The sale is scheduled to settle in March 2017. Although definitive documentation has been executed, this transaction is subject to continuing due diligence and customary closing conditions. There can be no assurance regarding the size of the transaction or that the transaction will be completed at all. |
Significant Accounting Polici45
Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2016 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Segment Reporting | The Company operates in two segments, correspondent production and investment activities: • The investment activities segment represents the Company’s investments in mortgage-related assets, which include 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”), mortgage-backed securities (“MBS”); and small balance commercial real estate loans. • The correspondent production segment represents the Company’s operations aimed at serving as an intermediary between mortgage lenders and the capital markets by purchasing, pooling and reselling newly originated prime credit quality mortgage loans either directly or in the form of MBS using the services of 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.” |
Basis of Presentation | Basis of Presentation The Company’s 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 |
Use of Estimates | Use of Estimates 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. |
Consolidation | Consolidation The consolidated financial statements include the accounts of PMT and all wholly-owned subsidiaries. PMT has no significant equity method or cost-basis investments. Intercompany accounts and transactions have been eliminated upon consolidation. The Company also consolidates assets and liabilities included in a securitization transaction, and CRT Agreements as discussed below. Securitization Transactions The Company enters into various types of on- and off-balance sheet transactions with special purpose entities (“SPEs”), which are trusts that are established for a limited purpose. Generally, SPEs are formed in connection with securitization transactions. In a securitization transaction, the Company transfers mortgage loans on its balance sheet to an SPE, which then issues to investors various forms of beneficial interests in those assets. In a securitization transaction, the Company typically receives a combination of cash and interests in the SPE in exchange for the assets transferred by the Company. SPEs are generally Variable Interest Entities (“VIEs”). A VIE is an entity having either a total equity investment at risk that is insufficient to finance its activities without additional subordinated financial support or whose equity investors at risk lack the ability to control the entity’s activities. Variable interests are investments or other interests that will absorb portions of a VIE’s expected losses or receive portions of the VIE’s expected residual returns. Expected residual returns represent the expected positive variability in the fair value of a VIE’s net assets. PMT consolidates the assets and liabilities of VIEs of which the Company is the primary beneficiary. The primary beneficiary is the party that has both the power to direct the activities that most significantly impact the VIE and holds a variable interest that could potentially be significant to the VIE. To determine whether a variable interest the Company holds could potentially be significant to the VIE, the Company considers both qualitative and quantitative factors regarding the nature, size and form of its involvement with the VIE. The Company assesses whether it is the primary beneficiary of a VIE on an ongoing basis. The Company evaluates the securitization trust into which mortgage loans are transferred to determine whether the entity is a VIE and whether the Company is the primary beneficiary and therefore is required to consolidate the securitization trust. 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 unpaid principal balance (“UPB”) of certificates backed by fixed-rate prime jumbo mortgage loans at a 3.9% weighted yield. The VIE is consolidated by the Company as the Manager determined that PMT is the primary beneficiary of the VIE. The Manager concluded that PMT is the primary beneficiary of the VIE as it has the power, through its affiliate, PLS, in its role as servicer of the mortgage loans, to direct the activities of the trust that most significantly impact the trust’s economic performance. Further, the retained subordinated and residual interest trust certificates expose the Company to losses and returns that could potentially be significant to the VIE. The asset-backed securities issued by the consolidated VIE are backed by the expected cash flows from the underlying fixed-rate prime jumbo mortgage loans. Cash inflows from these fixed-rate prime jumbo mortgage loans are distributed to investors and service providers in accordance with the contractual priority of payments and, as such, most of these inflows must be directed first to service and repay the senior certificates. After the senior certificates are settled, substantially all cash inflows will be directed to the subordinated certificates until fully repaid and, thereafter, to the residual interest in the trust that the Company owns. The Company retains beneficial interests in the securitization transaction, including subordinated certificates and residual interests issued by the VIE. The Company retains credit risk in the securitization because the Company’s beneficial interests include the most subordinated interests in the securitized assets, which are the first to absorb credit losses on those assets. The Manager expects that any credit losses in the pools of securitized assets will likely be limited to the Company’s subordinated and residual interests. The Company has no obligation to repurchase or replace securitized assets that subsequently become delinquent or are otherwise in default other than pursuant to breaches of representations and warranties. For financial reporting purposes, the mortgage loans owned by the consolidated VIE are included in Mortgage loans at fair value Asset-backed financing of a variable interest entity at fair value Credit Risk Transfer 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 (“Recourse Obligations”) as part of the retention of an interest-only (“IO”) ownership interest in such mortgage loans. 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. 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 topic of the ASC. The Manager has concluded that the Company’s subsidiary trust entities are VIEs and the Company is the primary beneficiary of the VIEs as it is the holder of the primary beneficial interests which absorb the variability of the trusts’ results of operations. Consolidation of the VIEs results in the inclusion on the Company’s consolidated balance sheet of the fair value of the Recourse Obligations, retained IO ownership interest and the cash pledged to fulfill the Recourse Obligations in the form of a derivative financial instrument and the pledged cash. The pledged cash represents the Company’s maximum contractual exposure to claims under its Recourse Obligations and is the sole source of settlement of losses under the CRT Agreements. Gains and losses on net derivatives related to CRT Agreements are included in Net gain on investments in the consolidated statements of income. |
Fair Value | Fair Value PMT groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the inputs used to determine fair value. These levels are: • Level 1—Quoted prices in active markets for identical assets or liabilities. • Level 2—Prices determined or determinable using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing an asset or liability and are developed based on market data obtained from sources independent of the Company. These may include quoted prices for similar assets and liabilities, interest rates, prepayment speeds, credit risk and other inputs. • Level 3—Prices determined using significant unobservable inputs. In situations where significant observable inputs are unavailable, unobservable inputs may be used. Unobservable inputs reflect the Company’s own judgments about the factors that market participants use in pricing an asset or liability, and are based on the best information available in the circumstances. As a result of the difficulty in observing certain significant valuation inputs affecting “Level 3” fair value assets and 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 financial statement items and their fair values. Likewise, due to the general illiquidity of some of these assets and liabilities, subsequent transactions may be at values significantly different from those reported. The Manager reclassifies its assets and liabilities between levels of the fair value hierarchy when the inputs required to establish fair value at a level of the fair value hierarchy are no longer readily available, requiring the use of lower-level inputs, or when the inputs required to establish fair value at a higher level of the hierarchy become available. |
Short-Term Investments | Short-Term Investments Short-term investments are carried at fair value with changes in fair value recognized in current period income. Short-term investments represent deposit accounts. The Company categorizes its short-term investments as “Level 1” fair value assets. |
Mortgage-Backed Securities | Mortgage-Backed Securities The Company invests in Agency and non-Agency MBS. Purchases and sales of MBS are recorded as of the trade date. The Company’s investments in MBS are carried at fair value with changes in fair value recognized in current period income. Changes in fair value arising from amortization of purchase premiums and accrual of unearned discounts are recognized using the interest method and are included in Interest income. Net gain (loss) on investments. Interest Income Recognition Interest income on MBS is recognized over the life of the security using the interest method. The Manager estimates, at the time of purchase, the future expected cash flows and determines the effective interest rate based on the estimated cash flows and the security’s purchase price. The Manager updates its cash flow estimates monthly. Estimating cash flows requires a number of inputs that are subject to uncertainties, including the rate and timing of principal payments (including prepayments, repurchases, defaults and liquidations), coupon interest rate, interest rate fluctuations, interest payment shortfalls due to delinquencies on the underlying mortgage loans, the likelihood of modification and the timing of the magnitude of credit losses on the mortgage loans underlying the securities. The Manager applies its judgment in developing its estimates. However, these uncertainties are difficult to predict; therefore, the outcome of future events will affect the timing and amount of interest income. |
Mortgage Loans | Mortgage Loans Mortgage loans are carried at their fair values. Changes in the fair value of mortgage loans are recognized in current period income. Changes in fair value, other than changes in fair value attributable to accrual of unearned discounts and amortization of purchase premiums, are included in Net gain on investments Net gain on mortgage loans acquired for sale Interest income Sale Recognition The Company purchases from and sells mortgage loans into the secondary mortgage market without recourse for credit losses. However, the Company maintains continuing involvement with the mortgage loans in the form of servicing arrangements and the liability under the representations and warranties it makes to purchasers and insurers of the mortgage loans. The Company recognizes transfers of mortgage loans as sales based on whether the transfer is made to a VIE: • For mortgage loans that are not transferred to a VIE, the Company recognizes the transfer as a sale when it surrenders control over the mortgage loans. Control over transferred mortgage loans is deemed to be surrendered when (i) the mortgage loans have been isolated from the Company, (ii) the transferee has the right (free of conditions that constrain it from taking advantage of that right) to pledge or exchange the transferred mortgage loans, and (iii) the Company does not maintain effective control over the transferred mortgage loans through either (a) an agreement that entitles and obligates the Company to repurchase or redeem them before their maturity or (b) the ability to unilaterally cause the holder to return specific mortgage loans. • For mortgage loans that are transferred to a VIE, the Company recognizes the transfer as a sale when the Manager determines that the Company is not the primary beneficiary of the VIE, as the Company does not both have the power to direct the activities that will have the most significant economic impact on the VIE and does not hold a variable interest that could potentially be significant to the VIE. Interest Income Recognition The Company has the ability but not the intent to hold mortgage loans acquired for sale, mortgage loans at fair value other than mortgage loans held in a VIE, and mortgage loans under forward purchase agreements for the foreseeable future. Therefore, interest income on mortgage loans acquired for sale, mortgage loans at fair value other than mortgage loans held in a VIE, and mortgage loans under forward purchase agreements is recognized over the life of the loans using their contractual interest rates. The Company has both the ability and intent to hold mortgage loans held in a VIE for the foreseeable future. Therefore, interest income on mortgage loans held in a variable interest entity is recognized over the estimated remaining life of the mortgage loans using the interest method. Unearned discounts and purchase premiums are accrued and amortized to interest income using the effective interest rate inherent in the estimated cash flows from the mortgage loans. Income recognition is suspended and the accrued unpaid interest receivable is reversed against interest income when mortgage loans become 90 days delinquent, or when, in the Manager’s opinion, a full recovery of income and principal becomes doubtful. Income recognition is resumed when the loan becomes contractually current. |
Excess Servicing Spread | Excess Servicing Spread The Company has acquired the right to receive the ESS related to MSRs owned by PFSI. ESS is carried at its fair value. Changes in fair value are recognized in current period income in Net gain on investments Interest Income Recognition Interest income for ESS is accrued using the interest method, based upon the expected yield from the ESS through the expected life of the underlying mortgages. Changes to the expected interest yield result in a change in fair value which is recorded in Interest income |
Derivative Financial Instruments | Derivative Financial Instruments In its correspondent production activities, the Company makes contractual commitments to correspondent sellers to purchase mortgage loans at specified interest rates (“interest rate lock commitments” or “IRLCs”). These commitments are accounted for as derivative financial instruments. The Company manages the risk created by IRLCs relating to mortgage loans acquired for sale by entering into forward sale agreements to sell the resulting mortgage loans and by the purchase and sale of interest rate options and futures. Such agreements are also accounted for as derivative financial instruments. These instruments may also be used to manage the risk created by changes in interest rates on certain of the MBS and MSRs the Company holds. The Company classifies its IRLCs as “Level 3” fair value assets and liabilities and the derivative assets and liabilities it acquires to manage the risks created by IRLCs and from holding MBS, mortgage loans pending sale and MSRs as “Level 1” or “Level 2” fair value assets and liabilities. The Company enters into CRT Agreements whereby it retains a portion of the credit risk relating to mortgage loans it sells into Fannie Mae guaranteed securitizations and retains an IO ownership interest in such mortgage loans. These investments are classified as “Level 3” fair value assets. All other derivative financial instruments are used for risk management activities. The Company accounts for its derivative financial instruments as free-standing derivatives. The Company does not designate its derivative financial instruments for hedge accounting. All derivative financial instruments are recognized on the balance sheet at fair value with changes in fair value being reported in current period income. The fair value of the Company’s derivative financial instruments is included in Derivative assets Derivative liabilities Net gain on mortgage loans acquired for sale Net gain on investments Net mortgage loan servicing fees When the Company has master netting agreements with its derivatives counterparties, the Company nets its counterparty positions along with any cash collateral received from or delivered to the counterparty. |
Real Estate Acquired in Settlement of Loans | Real Estate Acquired in Settlement of Loans REO is measured at the lower of the acquisition cost of the property (as measured by purchase price in the case of purchased REO; or the fair value of the mortgage loan immediately before REO acquisition in the case of acquisition in settlement of a mortgage loan) or its fair value reduced by estimated costs to sell. The Company categorizes REO as a “Level 3” fair value asset. Changes in fair value to levels that are less than or equal to acquisition cost and gains or losses on sale of REO are recognized in the consolidated statements of income under the caption Results of real estate acquired in settlement of loans |
Mortgage Servicing Rights | Mortgage Servicing Rights MSRs arise from contractual agreements between the Company and investors (or their agents) in mortgage securities and mortgage loans. Under these contracts, the Company is obligated to provide mortgage loan servicing functions in exchange for fees and other remuneration. The servicing functions typically performed include, among other responsibilities, collecting and remitting mortgage loan payments; responding to borrower inquiries; accounting for principal and interest, holding custodial (impound) funds for payment of property taxes and insurance premiums; counseling delinquent mortgagors; and supervising the acquisition and disposition of REO. The Company has engaged PFSI to provide these services on its behalf. The Company recognizes MSRs initially at their fair values, either as proceeds from sales of mortgage loans where the Company assumes the obligation to service the mortgage loan in the sale transaction, or from the purchase of MSRs. The precise fair value of MSRs is difficult to determine because MSRs are not actively traded in observable stand-alone markets. Considerable judgment is required to estimate the fair values of these assets and the exercise of such judgment can significantly affect the Company’s earnings. Therefore, the Company categorizes its MSRs as “Level 3” fair value assets. The fair value of MSRs is derived from the net positive cash flows associated with the servicing contracts. The Company receives a servicing fee of generally 0.25% annually on the remaining outstanding principal balances of conventional mortgage loans. The servicing fees are collected from the monthly payments made by the mortgagors. The Company generally receives other remuneration including rights to various mortgagor-contracted fees such as late charges and collateral reconveyance charges and the Company is generally entitled to retain any interest earned on funds held pending remittance of mortgagor principal, interest, tax and insurance payments. The Company accounts for MSRs at either the asset’s fair value with changes in fair value recorded in current period earnings or using the amortization method with the MSRs carried at the lower of amortized cost or fair value based on the class of MSR. The Company has identified two classes of MSRs: originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5%; and originated MSRs backed by mortgage loans with initial interest rates of more than 4.5%. Originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5% are accounted for using the amortization method. Originated MSRs backed by loans with initial interest rates of more than 4.5% are accounted for at fair value with changes in fair value recorded in current period income. MSRs Accounted for Using the MSR Amortization Method The Company amortizes MSRs that are accounted for using the MSR amortization method. MSR amortization is determined by applying the ratio of the net MSR cash flows projected for the current period to the projected total remaining net MSR cash flows. The estimated total net MSR cash flows are estimated at the beginning of each month using prepayment inputs applicable at that time. The Company assesses MSRs accounted for using the amortization method for impairment monthly. Impairment occurs when the current fair value of the MSR falls below the asset’s amortized cost. If MSRs are impaired, the impairment is recognized in current-period income and the carrying value (carrying value is amortized cost reduced by a valuation allowance) of the MSRs is adjusted through a valuation allowance. If the fair value of impaired MSRs subsequently increases, the Company recognizes the increase in fair value in current-period earnings and adjusts the carrying value of the MSRs through a reduction in the valuation allowance to adjust the carrying value only to the extent of the valuation allowance. The Company stratifies its MSRs by risk characteristic when evaluating for impairment. For purposes of performing its MSR impairment evaluation, the Company stratifies its servicing portfolio on the basis of certain risk characteristics including mortgage loan type (fixed-rate or adjustable-rate) and note interest rate. Fixed-rate mortgage loans are stratified into note interest rate pools of 50 basis points for note interest rates between 3.0% and 4.5% and a single pool for note interest rates below 3%. 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 note interest rate pools is below the amortized cost of the MSRs for that pool, impairment is recognized to the extent of the difference between the fair value and the existing carrying value for that pool. 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 in the foreseeable future. When the Manager deems recovery of the 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. Amortization and impairment of MSRs are included in current period income as a component of Net mortgage loan servicing fees MSRs Accounted for at Fair Value Changes in fair value of MSRs accounted for at fair value are recognized in current period income as a component of Net mortgage loan servicing fees |
Servicing Advances | Servicing Advances Servicing advances represent advances made on behalf of borrowers and the mortgage loans’ investors to fund delinquent balances for property tax and insurance premiums and out of pocket costs (e.g., preservation and restoration of mortgaged property REO, legal fees, appraisals and insurance premiums). Servicing advances are made in accordance with the Company’s servicing agreements and, when made, are deemed recoverable. The Company periodically reviews servicing advances for collectability. Servicing advances are written off when they are deemed uncollectible. |
Borrowings | Borrowings Borrowings, other than Asset-backed financing of a VIE at fair value Interest expense |
Asset-Backed Secured Financing at Fair Value | Asset-backed financing of a VIE at Fair Value The certificates issued to nonaffiliates by the Company relating to the asset-backed financing are recorded as borrowings. Certificates issued to nonaffiliates have the right to receive principal and interest payments of the mortgage loans held by the consolidated VIE. Asset-backed financings of the VIE are carried at fair value. Changes in fair value are recognized in current period income as a component of Net gain on investments |
Liability for Losses Under Representation and Warranties | Liability for Losses Under Representations and Warranties The Company provides for its estimate of the losses that it expects to incur in the future as a result of its breach of the representations and warranties that it provides to the purchasers and insurers of the mortgage loans it has sold. The Company’s agreements with the Agencies and other investors include representations and warranties related to the mortgage loans the Company sells to the Agencies and other investors. The representations and warranties require adherence to Agency and other investor origination and underwriting guidelines, including but not limited to the validity of the lien securing the mortgage loan, property eligibility, borrower credit, income and asset requirements, and compliance with applicable federal, state and local law. In the event of a breach of its representations and warranties, the Company may be required to either repurchase the mortgage loans with the identified defects or indemnify the investor or insurer. In such cases, the Company bears any subsequent credit loss on the mortgage loans. The Company’s credit loss may be reduced by any recourse it has to correspondent lenders that, in turn, had sold such mortgage loans to the Company and breached similar or other representations and warranties. In such event, the Company has the right to seek a recovery of related repurchase losses from that correspondent lender. The Company records a provision for losses relating to representations and warranties as part of its mortgage loan sale transactions. The method used to estimate the liability for representations and warranties is a function of the representations and warranties given and considers a combination of factors, including, but not limited to, estimated future defaults and mortgage loan repurchase rates, the estimated severity of loss in the event of default and the probability of reimbursement by the correspondent mortgage loan seller. The Company establishes a liability at the time mortgage loans are sold and periodically updates its liability estimate. The level of the liability for representations and warranties is reviewed and approved by the Manager’s management credit committee. The level of the liability for representations and warranties is difficult to estimate and requires considerable management judgment. The level of mortgage loan repurchase losses is dependent on economic factors, investor demand strategies, and other external conditions that may change over the lives of the underlying mortgage loans. The Company’s representations and warranties are generally not subject to stated limits of exposure. However, the Manager believes that the current unpaid principal balance of mortgage loans sold by the Company to date represents the maximum exposure to repurchases related to representations and warranties. The Manager believes the range of reasonably possible losses in relation to the recorded liability is not material to the Company’s financial condition or income. |
Underwriting Commissions and Offering Costs | Underwriting Commissions and Offering Costs Underwriting commissions and offering costs incurred in connection with the Company’s share offerings are reflected as a reduction of additional paid-in capital. Contingent offering costs that are deemed by the Manager as probable of being paid are recorded as a reduction of additional paid-in capital. |
Mortgage Loan Servicing Fees | Mortgage Loan Servicing Fees Mortgage loan servicing fees and other remuneration are received by the Company for servicing mortgage loans. Mortgage loan servicing fees are recorded net of Agency guarantee fees paid by the Company. Mortgage loan servicing fees are recognized as earned over the life of the loans in the servicing portfolio. Mortgage loan servicing fees are deemed to be earned when they are collected. |
Share-Based Compensation | Share-Based Compensation The Company amortizes the fair value of previously granted share-based awards to compensation expense over the vesting period using the graded vesting method. Expense relating to share-based awards is included in Compensation The initial cost of restricted share units awarded is established at the Company’s closing share price on the date of the award. The Company adjusts the cost of its share-based compensation awards depending on whether the awards are made to its trustees and officers or to non-employees such as officers and employees of affiliates: • For awards to officers and trustees of the Company, compensation cost relating to restricted share units is generally fixed at the fair value of the award date. Compensation relating to performance share units is adjusted for changes in expected performance attainment in each subsequent reporting period until the units have vested or expired. • Compensation cost for share-based compensation awarded to employees of the Manager is adjusted to reflect changes in the fair value of awards, including changes in the Company’s share price for both restricted share units and performance share units and, in the case of performance share units, for changes in expected performance attainment in each subsequent reporting period until the award has vested or expired, the service being provided is subsequently completed, or, under certain circumstances, is likely to be completed, whichever occurs first. The Manager’s estimates of compensation costs reflect the expected portion of share-based compensation awards that are expected to vest. |
Income Taxes | Income Taxes The Company has elected to be taxed as a REIT and the Manager believes the Company complies with the provisions of the Internal Revenue Code applicable to REITs. Accordingly, the Manager believes the Company will not be subject to federal income tax on that portion of its REIT taxable income that is distributed to shareholders as long as certain asset, income and share ownership tests are met. If PMT fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to income taxes and may be precluded from qualifying as a REIT for the four tax years following the year of loss of the Company’s REIT qualification. The Company’s taxable REIT subsidiary is subject to federal and state income taxes. Income taxes are provided for using the asset and liability method. Deferred tax assets and liabilities are recognized for the future tax consequences attributable to differences between the financial statement carrying amounts of existing assets and liabilities and their respective tax bases. Deferred tax assets and liabilities are measured using enacted rates expected to apply to taxable income in the years in which the Manager expects those temporary differences to be recovered or settled. The effect on deferred taxes of a change in tax rates is recognized in income in the period in which the change occurs. A valuation allowance is established if, in the Manager’s judgment, realization of deferred tax assets is not more likely than not. The Company recognizes a tax benefit relating to tax positions it takes only if it is more likely than not that the position will be sustained upon examination by the appropriate taxing authority. A tax position that meets this standard is recognized as the largest amount that exceeds 50 percent likelihood of being realized upon settlement. The Company will classify any penalties and interest as a component of income tax expense. As of December 31, 2016 and 2015, the Company was not under examination by any federal or state income taxing authority . |
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. 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 does not believe that the adoption of ASU 2016-01 will have a significant effect 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 does not believe that the adoption of ASU 2016-09 will have a significant effect 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) | 12 Months Ended |
Dec. 31, 2016 | |
Risks And Uncertainties [Abstract] | |
Summary of Holdings of Assets Purchased | A substantial portion of the distressed mortgage loans and REO purchased by the Company in prior years has been acquired from or through one or more subsidiaries of Citigroup Inc., as presented in the following summary: December 31, 2016 December 31, 2015 (in thousands) Mortgage loans at fair value $ 519,698 $ 855,691 REO 49,048 88,088 $ 568,746 $ 943,779 Total carrying value of distressed mortgage loans at fair value and REO $ 1,628,641 $ 2,442,240 |
Transactions with Related Par47
Transactions with Related Parties (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Related Party Transactions [Abstract] | |
Summary of Correspondent Production Activity | Following is a summary of correspondent production activity between the Company and PLS: Year ended December 31, 2016 2015 2014 (in thousands) Mortgage loans fulfillment fees earned by PLS $ 86,465 $ 58,607 $ 48,719 Unpaid principal balance (“UPB”) of mortgage loans fulfilled by PLS $ 23,188,386 $ 14,014,603 $ 11,476,448 Sourcing fees received from PLS included in Net gain on mortgage loans acquired for sale $ 11,976 $ 8,966 $ 4,676 UPB of mortgage loans sold to PLS $ 39,908,163 $ 29,867,580 $ 15,579,322 Purchases of mortgage loans acquired for sale at fair value from PLS $ 21,541 $ 28,445 $ 8,082 Tax service fee paid to PLS included in Other $ 6,690 $ 4,390 $ 2,080 Early purchase program fees paid to PLS included in Mortgage loan servicing fees $ 30 $ — $ — December 31, 2016 December 31, 2015 (in thousands) Mortgage loans included in Mortgage loans acquired for sale at fair value pending sale to PLS $ 804,616 $ 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: Year ended December 31, 2016 2015 2014 (in thousands) Mortgage loans acquired for sale at fair value: Base $ 330 $ 260 $ 103 Activity-based 733 371 149 1,063 631 252 Mortgage loans at fair value: Distressed mortgage loans Base 11,078 16,123 18,953 Activity-based 18,521 12,437 19,608 29,599 28,560 38,561 Mortgage loans held in VIE: Base 83 125 110 Activity-based — — — 83 125 110 MSRs: Base 19,378 16,786 13,405 Activity-based 492 321 194 19,870 17,107 13,599 $ 50,615 $ 46,423 $ 52,522 MSR recapture income recognized included in Net mortgage loan servicing fees $ 1,573 $ 787 $ 9 Average investment in: Mortgage loans acquired for sale at fair value $ 1,443,587 $ 1,143,232 $ 573,256 Mortgage loans at fair value: Distressed mortgage loans $ 1,731,638 $ 2,231,259 $ 2,121,806 Mortgage loans held in a VIE $ 422,122 $ 494,655 $ 533,480 Average MSR portfolio $ 49,626,758 $ 38,450,379 $ 30,720,168 |
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: Year ended December 31, 2016 2015 2014 (in thousands) Base management $ 20,657 $ 22,851 $ 23,330 Performance incentive — 1,343 11,705 $ 20,657 $ 24,194 $ 35,035 |
Summary of Expenses | The Company reimbursed PCM and its affiliates for expenses as follows: Year ended December 31, 2016 2015 2014 (in thousands) Reimbursement of: Common overhead incurred by PCM and its affiliates $ 7,898 $ 10,742 $ 10,850 Expenses incurred on the Company’s (PFSI's) behalf, net (163 ) 582 792 $ 7,735 $ 11,324 $ 11,642 Payments and settlements during the year (1) $ 143,542 $ 99,967 $ 99,987 (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: December 31, 2016 December 31, 2015 (in thousands) Receivable from PFSI: MSR recapture receivable $ 707 $ 781 Other 6,384 8,025 $ 7,091 $ 8,806 Payable to PFSI: Servicing fees $ 5,465 $ 3,682 Management fees 5,081 5,670 Correspondent production fees 2,371 2,729 Fulfillment fees 1,300 1,082 Allocated expenses and expenses paid by PFSI on PMT’s behalf 1,046 4,490 Conditional Reimbursement 900 900 Interest on Note payable to PFSI 253 412 $ 16,416 $ 18,965 |
Summary of Investing Activity | Following is a summary of investing activities between the Company and PFSI: Year ended December 31, 2016 2015 2014 (in thousands) Sale of mortgage loans at fair value for sale to PFSI $ 891 $ 1,466 $ — ESS: Purchases $ — $ 271,554 $ 99,728 Received pursuant to a recapture agreement $ 6,603 $ 6,728 $ 7,343 Repayments and sales $ 129,037 $ 78,578 $ 39,257 Interest income $ 22,601 $ 25,365 $ 13,292 Net (loss) gain included in Net gain on investments: Valuation changes $ (23,923 ) $ (3,810 ) $ (28,662 ) Recapture income 6,529 7,049 7,828 $ (17,394 ) $ 3,239 $ (20,834 ) |
Summary of Financing Activities | Following is a summary of financing activities between the Company and PFSI: Year ended December 31, 2016 2015 2014 (in thousands) Financings payable—Interest expense $ 7,830 $ 3,343 $ — Conditional Reimbursements paid to PCM $ — $ 237 $ 860 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Earnings Per Share [Abstract] | |
Summary of Basic and Diluted Earnings per Share | The following table summarizes the basic and diluted earnings per share calculations: Year ended December 31, 2016 2015 2014 (in thousands except per share amounts) Basic earnings per share: Net income $ 75,810 $ 90,100 $ 194,544 Effect of participating securities—share-based compensation awards (1,333 ) (1,689 ) (1,830 ) Net income attributable to common shareholders $ 74,477 $ 88,411 $ 192,714 Diluted earnings per share: Net income attributable to common shareholders $ 74,477 $ 88,411 $ 194,544 Interest on Exchangeable Notes, net of income taxes 8,719 8,468 8,456 Net income attributable to common diluted shareholders $ 83,196 $ 96,879 $ 203,000 Weighted-average basic shares outstanding 68,642 74,446 73,495 Dilutive securities: Shares issuable under share-based compensation plan — 423 298 Shares issuable pursuant to exchange of the Exchangeable Notes 8,467 8,467 8,418 Diluted weighted-average number of shares outstanding 77,109 83,336 82,211 Basic earnings per share $ 1.09 $ 1.19 $ 2.62 Diluted earnings per share $ 1.08 $ 1.16 $ 2.47 |
Summary of Potentially Dilutive Shares Excluded from Computation of Diluted Earnings Per Share | Year ended December 31, 2016 2015 2014 (in thousands) Shares issuable under share-based compensation awards 701 369 371 |
Loan Sales and Variable Inter49
Loan Sales and Variable Interest Entities (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Summary of Cash Flows between Company and Transferees in Transfers Accounted for Sales | The following table summarizes cash flows between the Company and transferees in transfers of mortgage loans that are accounted for as sales where the Company maintains continuing involvement with the mortgage loans, as well as UPB information at period end: Year ended December 31, 2016 2015 2014 (in thousands) Cash flows: Proceeds from sales $ 23,525,952 $ 14,206,816 $ 11,703,015 Mortgage loan servicing fees received (1) $ 125,961 $ 97,633 $ 70,294 (1) Net of guarantee fees. December 31, 2016 2015 (in thousands) UPB of mortgage loans outstanding $ 56,303,664 $ 42,300,338 Delinquent mortgage loans: 30-89 days delinquent $ 262,467 $ 175,599 90 or more days delinquent: Not in foreclosure or bankruptcy $ 53,200 $ 38,669 In foreclosure or bankruptcy $ 61,537 $ 31,386 |
Summary of Credit Risk Transfer Agreements | Following is a summary of the CRT Agreements: Year ended December 31, 2016 2015 (in thousands) During the year: UPB of mortgage loans sold under CRT Agreements $ 11,190,933 $ 4,602,507 Deposits of cash securing CRT Agreements $ 306,507 $ 147,446 Interest earned on Deposits securing CRT Agreements $ 930 $ — Gains recognized on CRT Agreements included in Net gain (loss) on investments Realized $ 21,298 $ 1,831 Resulting from valuation changes 15,316 (1,238 ) 36,614 593 Change in fair value of interest-only security payable at fair value (4,114 ) — $ 32,500 $ 593 Payments made to settle losses $ 90 $ — December 31, 2016 December 31, 2015 (in thousands) UPB of mortgage loans subject to credit guarantee obligations $ 14,379,850 $ 4,546,265 Delinquency status (in UPB): Current—89 days delinquent $ 14,372,247 $ 4,546,265 90 or more days delinquent $ 5,711 $ — Foreclosure $ 1,892 $ — Carrying value of CRT Agreements: Derivative assets $ 15,610 $ 593 Deposits securing credit risk transfer agreements $ 450,059 $ 147,000 Interest-only security payable at fair value $ 4,114 $ — Commitments to fund Deposits securing credit risk transfer agreements $ 92,109 $ — |
Netting of Financial Instrume50
Netting of Financial Instruments (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Offsetting [Abstract] | |
Summary of Offsetting of Derivative Assets | Following is a summary of net derivative assets. December 31, 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 $ 7,069 $ — $ 7,069 $ 4,983 $ — $ 4,983 CRT Agreements 15,610 — 15,610 593 — 593 22,679 — 22,679 5,576 — 5,576 Subject to master netting arrangements: MBS put options 1,697 — 1,697 93 — 93 MBS call options 142 — 142 — — — Forward purchase contracts 30,879 — 30,879 2,444 — 2,444 Forward sale contracts 13,164 — 13,164 2,604 — 2,604 Put options on interest rate futures 2,469 — 2,469 1,512 — 1,512 Call options on interest rate futures 63 — 63 1,156 — 1,156 Netting — (37,384 ) (37,384 ) — (3,300 ) (3,300 ) 48,414 (37,384 ) 11,030 7,809 (3,300 ) 4,509 $ 71,093 $ (37,384 ) $ 33,709 $ 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. December 31, 2016 December 31, 2015 Net amount Gross amounts Net amount Gross amounts of assets not offset in the of assets not offset in the presented consolidated presented consolidated in the balance sheet in the balance sheet consolidated Cash consolidated Cash balance Financial collateral Net balance Financial collateral Net sheet instruments received amount sheet instruments received amount (in thousands) CRT Agreements $ 15,610 $ — $ — $ 15,610 $ — $ — $ — $ — Interest rate lock commitments 7,069 — — 7,069 4,983 — — 4,983 Bank of America, N.A. 1,881 — — 1,881 — — — — RJ O’Brien & Associates, LLC 1,531 — — 1,531 1,672 — — 1,672 Royal Bank of Canada 1,194 — — 1,194 400 — — 400 Goldman Sachs 1,164 — — 1,164 — — — — Jefferies Group LLC 967 — — 967 541 — — 541 Barclays Capital 855 — — 855 796 — — 796 Wells Fargo Bank, N.A. 638 — — 638 99 — — 99 Morgan Stanley Bank, N.A. — — — — 464 — — 464 Other 2,800 — — 2,800 1,130 — — 1,130 $ 33,709 $ — $ — $ 33,709 $ 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. Assets sold under agreements to repurchase do not qualify for setoff accounting. December 31, 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 $ 3,292 $ — $ 3,292 $ 337 $ — $ 337 3,292 — 3,292 337 — 337 Subject to master netting arrangements: Forward purchase contracts 7,619 — 7,619 3,774 — 3,774 Forward sales contracts 17,974 — 17,974 2,680 — 2,680 Put options on interest rate futures — — — 39 — 39 Call options on interest rate futures — — — 305 — 305 Netting (19,312 ) (19,312 ) — (3,978 ) (3,978 ) 25,593 (19,312 ) 6,281 6,798 (3,978 ) 2,820 28,885 (19,312 ) 9,573 7,135 (3,978 ) 3,157 Assets sold under agreements to repurchase: UPB 3,784,685 — 3,784,685 3,130,328 — 3,130,328 Unamortized debt issuance costs (684 ) — (684 ) (1,548 ) — (1,548 ) 3,784,001 — 3,784,001 3,128,780 — 3,128,780 $ 3,812,886 $ (19,312 ) $ 3,793,574 $ 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. December 31, 2016 December 31, 2015 Net amount Gross amounts Net amount Gross amounts of liabilities not offset in the of liabilities not offset in the presented consolidated presented consolidated in the balance sheet in the balance sheet consolidated Cash consolidated Cash balance Financial collateral Net balance Financial collateral Net sheet instruments pledged amount sheet instruments pledged amount (in thousands) Interest rate lock commitments $ 3,292 $ — $ — $ 3,292 $ 337 $ — $ — $ 337 Credit Suisse First Boston Mortgage Capital LLC 1,181,441 (1,181,235 ) — 206 893,947 (893,854 ) — 93 Bank of America, N.A. 847,683 (847,683 ) — — 538,755 (538,515 ) — 240 Citibank 575,092 (573,589 ) — 1,503 817,089 (816,699 ) — 390 JPMorgan Chase & Co. 544,009 (542,542 ) — 1,467 467,427 (467,145 ) — 282 Daiwa Capital Markets 177,316 (177,077 ) — 239 165,480 (165,480 ) — — Morgan Stanley Bank, N.A. 143,951 (142,055 ) — 1,896 214,086 (214,086 ) — — Wells Fargo 116,648 (116,648 ) — — — — — — Barclays Capital 92,796 (92,796 ) — — 24,346 (24,346 ) — — Royal Bank of Canada 63,926 (63,926 ) — — — — — — BNP Paribas 47,785 (47,134 ) — 651 10,203 (10,203 ) — — Other 319 — — 319 1,815 — — 1,815 Unamortized debt issuance costs (684 ) 684 — — (1,548 ) 1,548 — — $ 3,793,574 $ (3,784,001 ) $ — $ 9,573 $ 3,131,937 $ (3,128,780 ) $ — $ 3,157 |
Fair Value (Tables)
Fair Value (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Fair Value Disclosures [Abstract] | |
Summary of Financial Statement Items Measured at Fair Value on Recurring Basis | Following is a summary of financial statement items that are measured at fair value on a recurring basis: December 31, 2016 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 122,088 $ — $ — $ 122,088 Mortgage-backed securities at fair value — 865,061 — 865,061 Mortgage loans acquired for sale at fair value — 1,673,112 — 1,673,112 Mortgage loans at fair value — 367,169 1,354,572 1,721,741 Excess servicing spread purchased from PFSI — — 288,669 288,669 Derivative assets: Interest rate lock commitments — — 7,069 7,069 CRT Agreements — — 15,610 15,610 MBS put options — 1,697 — 1,697 MBS call options 142 — 142 Forward purchase contracts — 30,879 — 30,879 Forward sales contracts — 13,164 — 13,164 Put options on interest rate futures 2,469 — — 2,469 Call options on interest rate futures 63 — — 63 Total derivative assets before netting 2,532 45,882 22,679 71,093 Netting — — — (37,384 ) Total derivative assets after netting 2,532 45,882 22,679 33,709 Mortgage servicing rights at fair value — — 64,136 64,136 $ 124,620 $ 2,951,224 $ 1,730,056 $ 4,768,516 Liabilities: Asset-backed financing of a VIE at fair value $ — $ 353,898 $ — $ 353,898 Interest-only security payable at fair value — — 4,114 4,114 Derivative liabilities: Interest rate lock commitments — — 3,292 3,292 Forward purchase contracts — 7,619 — 7,619 Forward sales contracts — 17,974 — 17,974 Put options on interest rate futures — — — — Total derivative liabilities before netting — 25,593 3,292 28,885 Netting — — — (19,312 ) Total derivative liabilities after netting — 25,593 3,292 9,573 $ — $ 379,491 $ 7,406 $ 367,585 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 Forward purchase contracts — 3,774 — 3,774 Forward sales contracts — 2,680 — 2,680 Put options on interest rate futures 39 — — 39 Call options on interest rate futures 305 — — 305 Total derivative liabilities 344 6,454 337 7,135 Netting — — — (3,978 ) Total derivative liabilities after netting 344 6,454 337 3,157 $ 44,877 $ 2,320,947 $ 2,585,316 $ 4,943,862 |
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: Year ended December 31, 2016 Mortgage Excess Interest Mortgage loans servicing rate lock CRT servicing at fair value spread commitments (1) Agreements (1) rights Total (in thousands) Assets Balance, December 31, 2015 $ 2,100,394 $ 412,425 $ 4,646 $ 593 $ 66,584 $ 2,584,642 Purchases and issuances — — 71,892 — 2,739 74,631 Repayments and sales (626,095 ) (129,037 ) — — — (755,132 ) Capitalization of interest 84,820 22,601 — — — 107,421 ESS received pursuant to a recapture agreement with PFSI — 6,603 — — — 6,603 Servicing received as proceeds from sales of mortgage loans — — — — 7,337 7,337 Proceeds from CRT Agreements — — — (21,298 ) — (21,298 ) Changes in fair value included in income arising from: Changes in instrument-specific credit risk 26,910 — — — — 26,910 Other factors (30,414 ) (23,923 ) 15,944 36,315 (12,524 ) (14,602 ) (3,504 ) (23,923 ) 15,944 36,315 (12,524 ) 12,308 Transfers of mortgage loans to REO and real estate held for investment (201,043 ) — — — — (201,043 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (88,705 ) — — (88,705 ) Balance, December 31, 2016 $ 1,354,572 $ 288,669 $ 3,777 $ 15,610 $ 64,136 $ 1,726,764 Changes in fair value recognized during the period relating to assets still held at December 31, 2016 $ (15,877 ) $ (16,713 ) $ 3,777 $ 15,610 $ (12,524 ) $ (25,727 ) (1) For the purpose of this table, the IRLC and CRT Agreement “Level 3” fair value asset and liability positions are shown net. Year ended December 31, 2016 Interest-only security payable (in thousands) Liability: Balance, December 31, 2015 $ — Purchases and issuances — Repayments and sales — Capitalization of interest — Changes in fair value included in income arising from: Changes in instrument- specific credit risk — Other factors 4,114 4,114 Balance, December 31, 2016 $ 4,114 Changes in fair value recognized during the period relating to assets still held at December 31, 2016 $ 4,114 Year ended December 31, 2015 Mortgage Excess Interest Mortgage loans servicing rate lock CRT servicing at fair value spread commitments (1) Agreements rights Total (in thousands) Balance, December 31, 2014 $ 2,199,583 $ 191,166 $ 5,661 $ — $ 57,358 $ 2,453,768 Purchases and issuances 241,981 271,554 — — 2,335 515,870 Repayments and sales (218,585 ) (78,578 ) — — — (297,163 ) Capitalization of interest 57,754 25,365 — — — 83,119 ESS received pursuant to a recapture agreement with PFSI — 6,728 — — — 6,728 Interest rate lock commitments issued, net — — 50,536 — — 50,536 Servicing received as proceeds from sales of mortgage loans — — — — 13,963 13,963 Changes in fair value included in income arising from: Changes in instrument- specific credit risk 42,267 — — — — 42,267 Other factors 38,866 (3,810 ) (12,811 ) 593 (7,072 ) 15,766 81,133 (3,810 ) (12,811 ) 593 (7,072 ) 58,033 Transfers of mortgage loans to REO (285,331 ) — — — — (285,331 ) Transfers of mortgage loans at fair value from “Level 2” to “Level 3” (2) 23,859 — — — — 23,859 Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (38,740 ) — — (38,740 ) Balance, September 30, 2015 $ 2,100,394 $ 412,425 $ 4,646 $ 593 $ 66,584 $ 2,584,642 Changes in fair value recognized during the period relating to assets still held at December 31, 2015 $ 77,867 $ (3,810 ) $ 4,646 $ 593 $ (7,072 ) $ 72,224 (1) For the purpose of this table, the IRLC “Level 3” fair value asset and liability positions are shown net. (2) During the year ended December 31, 2015, the Manager identified certain “Level 2” fair value mortgage loans that were not salable into the prime mortgage market and therefore transferred them to “Level 3”. Year ended December 31, 2014 Mortgage loans under Mortgage forward Excess Interest Mortgage loans purchase servicing rate lock servicing at fair value agreements spread commitments (1) rights Total (in thousands) Balance, December 31, 2013 $ 2,076,665 $ 218,128 $ 138,723 $ 1,249 $ 26,452 $ 2,461,217 Purchases and issuances 554,604 1,386 99,728 — — 655,718 Repayments and sales (572,586 ) (6,413 ) (39,257 ) — (139 ) (618,395 ) Capitalization of interest 65,050 1,800 13,292 — — 80,142 ESS received pursuant to a recapture agreement with PFSI — — 7,342 — — 7,342 Interest rate lock commitments issued, net — — — 56,367 — 56,367 Sales — — Servicing received as proceeds from sales of mortgage loans — — — — 47,693 47,693 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 34,785 1,815 — — 36,600 Other factors 179,896 (1,012 ) (28,662 ) 17,326 (16,648 ) 150,900 214,681 803 (28,662 ) 17,326 (16,648 ) 187,500 Transfers of mortgage loans under forward purchase agreements to mortgage loans 205,902 (205,902 ) — Transfers of mortgage loans to REO (344,733 ) — — — — (344,733 ) Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements — (9,802 ) — — — (9,802 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — — (69,281 ) — (69,281 ) Balance, December 31, 2014 $ 2,199,583 $ — $ 191,166 $ 5,661 $ 57,358 $ 2,453,768 Changes in fair value recognized during the period relating to assets still held at December 31, 2014 $ 134,724 $ — $ (28,662 ) $ 5,661 $ (16,648 ) $ 95,075 (1) For the purpose of this table, the IRLC “Level 3” fair value asset and liability positions are shown net. |
Fair Values and Related Principal Amounts Due upon Maturity of Mortgage Loans Accounted for Under Fair Value Option | Following are the fair values and related principal amounts due upon maturity of mortgage loans accounted for under the fair value option (including mortgage loans acquired for sale, mortgage loans held in a consolidated VIE, and distressed mortgage loans at fair value): December 31, 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 $ 1,672,181 $ 1,633,569 $ 38,612 $ 1,283,275 $ 1,235,433 $ 47,842 90 or more days delinquent Not in foreclosure 145 189 (44 ) 304 333 (29 ) In foreclosure 786 717 69 216 253 (37 ) 931 906 25 520 586 (66 ) $ 1,673,112 $ 1,634,475 $ 38,637 $ 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 $ 367,169 $ 368,524 $ (1,355 ) $ 455,394 $ 454,935 $ 459 90 or more days delinquent Not in foreclosure — — — — — — In foreclosure — — — — — — — — — — — — 367,169 368,524 (1,355 ) 455,394 454,935 459 Distressed mortgage loans at fair value: Current through 89 days delinquent 611,584 818,665 (207,081 ) 877,438 1,134,560 (257,122 ) 90 or more days delinquent Not in foreclosure 305,431 425,460 (120,029 ) 459,060 640,343 (181,283 ) In foreclosure 437,557 595,534 (157,977 ) 763,896 1,062,205 (298,309 ) 742,988 1,020,994 (278,006 ) 1,222,956 1,702,548 (479,592 ) 1,354,572 1,839,659 (485,087 ) 2,100,394 2,837,108 (736,714 ) $ 1,721,741 $ 2,208,183 $ (486,442 ) $ 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: Year ended December 31, 2016 Net gain on Net mortgage mortgage loans Net loan Net gain acquired interest servicing on for sale income fees investments Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — (2,391 ) — (13,168 ) (15,559 ) Mortgage loans acquired for sale at fair value 55,350 — — — 55,350 Mortgage loans at fair value — 1,294 — (5,252 ) (3,958 ) ESS at fair value — — — (23,923 ) (23,923 ) MSRs at fair value — — (12,524 ) — (12,524 ) $ 55,350 $ (1,097 ) $ (12,524 ) $ (42,343 ) $ (614 ) Liabilities: Asset-backed financing of a VIE at fair value $ — $ (669 ) $ — $ 3,238 $ 2,569 $ — $ (669 ) $ — $ 3,238 $ 2,569 Year ended December 31, 2015 Net gain on Net mortgage mortgage loans Net loan Net gain acquired interest servicing on for sale income fees investments Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — (35 ) — (5,224 ) (5,259 ) Mortgage loans acquired for sale at fair value 71,880 — — — 71,880 Mortgage loans at fair value — 1,253 — 70,470 71,723 ESS at fair value — — — 3,239 3,239 MSRs at fair value — — (7,072 ) — (7,072 ) $ 71,880 $ 1,218 $ (7,072 ) $ 68,485 $ 134,511 Liabilities: Asset-backed financing of a VIE at fair value $ — $ (499 ) $ — $ 4,260 $ 3,761 $ — $ (499 ) $ — $ 4,260 $ 3,761 Year ended December 31, 2014 Net gain on Net mortgage mortgage loans Net loan Net gain acquired interest servicing on for sale income fees investments Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — 357 — 10,416 10,773 Mortgage loans acquired for sale at fair value 100,213 — — — 100,213 Mortgage loans at fair value — 1,848 — 242,449 244,297 Mortgage loans under forward purchase agreements at fair value 803 803 ESS at fair value — — — (20,834 ) (20,834 ) MSRs at fair value — — (16,648 ) — (16,648 ) $ 100,213 $ 2,205 $ (16,648 ) $ 232,834 $ 318,604 Liabilities: Asset-backed financing of a VIE at fair value $ — $ (617 ) $ — $ (8,459 ) $ (9,076 ) $ — $ (617 ) $ — $ (8,459 ) $ (9,076 ) |
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: December 31, 2016 Level 1 Level 2 Level 3 Total (in thousands) Real estate acquired in settlement of loans $ — $ — $ 125,683 $ 125,683 MSRs at lower of amortized cost or fair value — — 173,765 173,765 $ — $ — $ 299,448 $ 299,448 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: Year ended December 31, 2016 2015 2014 (in thousands) Real estate asset acquired in settlement of loans $ (17,561 ) $ (24,546 ) $ (24,896 ) MSRs at lower of amortized cost or fair value (2,728 ) (3,229 ) (5,138 ) $ (20,289 ) $ (27,775 ) $ (30,034 ) |
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 December 31, 2016 December 31, 2015 Discount rate Range 2.6% – 15.0% 2.5% – 15.0% Weighted average 7.1% 7.1% Twelve-month projected housing price index change Range 2.5% – 4.8% 1.5% – 5.1% Weighted average 3.7% 3.6% Prepayment speed (1) Range 0.1% – 10.9% 0.1% – 9.6% Weighted average 4.0% 3.7% Total prepayment speed (2) Range 2.9% – 24.6% 0.5% – 27.2% Weighted average 17.7% 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 December 31, 2016 December 31, 2015 UPB of underlying mortgage loans (in thousands) $32,376,359 $51,966,405 Average servicing fee rate (in basis points) 34 32 Average ESS rate (in basis points) 19 17 Pricing spread (1) Range 3.8% - 4.8% 4.8% - 6.5% Weighted average 4.4% 5.7% Life (in years) Range 1.4 - 8.6 1.4 - 9.0 Weighted average 6.8 6.9 Annual total prepayment speed (2) Range 7.0% - 41.3% 5.2% - 52.4% Weighted average 10.5% 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 December 31, 2016 December 31, 2015 Pull-through rate Range 60.7% - 100.0% 60.2% - 100.0% Weighted average 88.5% 92.4% MSR value expressed as: Servicing fee multiple Range 2.6 - 6.0 2.1 - 6.2 Weighted average 5.0 4.9 Percentage of UPB Range 0.7% - 1.5% 0.5% - 3.8% Weighted average 1.3% 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: Year ended December 31, 2016 2015 2014 Amortized cost Fair value Amortized cost Fair value Amortized cost Fair value (MSR recognized and UPB of underlying mortgage loan amounts in thousands) MSR recognized $ 267,755 $ 7,337 $ 140,511 $ 13,963 $ 73,640 $ 47,693 Key inputs UPB of underlying mortgage loans $ 22,068,577 $ 752,850 $ 12,195,574 $ 1,430,795 $ 6,800,637 $ 4,573,369 Weighted-average annual servicing fee rate (in basis points) 25 26 25 25 25 25 Pricing spread (1) Range 7.2% – 12.6% 7.2% – 7.6% 6.5% –17.5% 7.2% – 16.3% 6.3% – 17.5% 8.5% – 14.3% Weighted average 7.5% 7.3% 7.9% 8.5% 8.6% 9.1% Life (in years) Range 1.4 – 12.3 2.0 – 9.4 1.3 – 12.0 2.2 – 9.4 1.1 – 7.3 1.6 – 7.3 Weighted average 8.0 5.9 6.9 6.4 6.4 7.1 Annual total prepayment speed (2) Range 3.3% – 49.2% 7.2% – 38.0% 3.5% – 51.0% 6.8% – 34.2% 7.6% – 56.4% 8.0% – 42.7% Weighted average 8.3% 14.5% 9.0% 12.3% 9.6% 9.7% Annual per-loan cost of servicing Range $68 – $79 $68 – $82 $62 – $134 $62 – $68 $59 – $140 $59 – $140 Weighted average $77 $73 $64 $65 $69 $68 (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: December 31, 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 $ 592,431 $ 64,136 $ 393,157 $ 66,584 Key inputs: UPB of underlying mortgage loans $ 50,539,707 $ 5,763,957 $ 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% – 13.0% 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 $(10,018) $(979) $(6,411) $(944) 10% adverse change $(19,738) $(1,929) $(12,635) $(1,862) 20% adverse change $(38,330) $(3,748) $(24,553) $(3,621) Weighted average life (in years) Range 3.1 - 8.5 3.2 - 7.0 1.3 - 7.7 2.5 - 6.1 Weighted average 8.0 7.0 7.2 6.1 Prepayment speed (3) Range 6.7% – 25.7% 6.8% – 24.2% 8.1% – 51.5% 9.2% – 32.5% Weighted average 7.7% 10.7% 9.6% 13.2% Effect on fair value of (2): 5% adverse change $(9,436) $(1,379) $(8,159) $(1,793) 10% adverse change $(18,578) $(2,704) $(16,024) $(3,502) 20% adverse change $(36,037) $(5,202) $(30,938) $(6,692) Annual per-loan cost of servicing Range $78 – $79 $77 – $79 $68 – $68 $68 – $68 Weighted average $79 $79 $68 $68 Effect on fair value of (2): 5% adverse change $(4,650) $(555) $(2,742) $(470) 10% adverse change $(9,300) $(1,110) $(5,484) $(940) 20% adverse change $(18,600) $(2,220) $(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 S52
Mortgage Loans Acquired for Sale at Fair Value (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Mortgage Loans On Real Estate [Abstract] | |
Summary of Distribution of Company's Mortgage Loans Acquired for Sale at Fair Value | Mortgage loans acquired for sale at fair value is comprised of recently originated mortgage loans purchased by the Company for resale. Following is a summary of the distribution of the Company’s mortgage loans acquired for sale at fair value: Mortgage loan type December 31, 2016 December 31, 2015 (in thousands) Conventional: Agency-eligible $ 847,810 $ 540,947 Jumbo 6,042 54,613 Held for sale to PLS — Government insured or guaranteed 804,616 669,288 Commercial real estate 8,961 14,590 Repurchased pursuant to representations and warranties 5,683 4,357 $ 1,673,112 $ 1,283,795 Mortgage loans pledged to secure: Assets sold under agreements to repurchase $ 1,627,010 $ 1,204,462 Mortgage loan participation and sale agreements 26,738 — Federal Home Loan Bank (“FHLB”) advances — 63,993 $ 1,653,748 $ 1,268,455 |
Derivative Financial Instrume53
Derivative Financial Instruments (Tables) | 12 Months Ended |
Dec. 31, 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 December 31, 2016 December 31, 2015 Fair value Fair value Notional Derivative Derivative Notional Derivative Derivative Instrument amount assets liabilities amount assets liabilities (in thousands) Derivatives not designated as hedging instruments: Not subject to master netting arrangements: Interest rate lock commitments 1,420,468 $ 7,069 $ 3,292 970,067 $ 4,983 $ 337 CRT Agreements 14,379,850 15,610 — 4,546,265 593 — Subject to master netting arrangements: Forward sale contracts 6,148,242 13,164 17,974 2,450,642 2,604 2,680 Forward purchase contracts 4,840,707 30,879 7,619 2,469,550 2,444 3,774 MBS put options 925,000 1,697 — 375,000 93 — MBS call options 750,000 142 — — — — Swap futures 150,000 — — — — — Eurodollar future sales contracts 1,351,000 — — 1,755,000 — — Call options on interest rate futures 200,000 63 — 50,000 1,156 305 Put options on interest rate futures 550,000 2,469 — 1,600,000 1,512 39 Total derivative instruments before netting 71,093 28,885 13,385 7,135 Netting (37,384 ) (19,312 ) (3,300 ) (3,978 ) $ 33,709 $ 9,573 $ 10,085 $ 3,157 Margin deposits (received from) placed with derivatives counterparties included in Other $ (18,071 ) $ 679 |
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: Year ended December 31, Derivative activity Income statement line 2016 2015 2014 (in thousands) CRT agreements Net gain on investments $ 32,500 $ 593 $ — Interest rate lock commitments Net gain on mortgage loans acquired for sale $ 87,836 $ 37,725 $ 73,693 Hedged item: Interest rate lock commitments and mortgage loans acquired for sale Net gain on mortgage loans acquired for sale $ 50,274 $ (16,781 ) $ (68,679 ) Mortgage servicing rights Net loan servicing fees $ 2,271 $ 481 $ 11,527 Fixed-rate assets and LIBOR- indexed repurchase agreements Net gain on investments $ 7,251 $ (19,353 ) $ (22,565 ) |
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, mortgage loans acquired for sale, mortgage loans at fair value held in a VIE, IRLCs and MSRs and for derivatives arising from CRT Agreements. Year ended December 31, 2016 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) CRT Agreements 4,546,265 11,190,933 (1,357,348 ) 14,379,850 Forward sales contracts 2,450,642 99,737,855 (96,040,255 ) 6,148,242 Forward purchase contracts 2,469,550 73,269,440 (70,898,283 ) 4,840,707 MBS put options 375,000 12,400,000 (11,850,000 ) 925,000 MBS call options — 750,000 — 750,000 Swap futures — 175,000 (25,000 ) 150,000 Eurodollar future sale contracts 1,755,000 282,000 (686,000 ) 1,351,000 Treasury future buy contracts — 558,700 (558,700 ) — Treasury future sale contracts — 558,700 (558,700 ) — Call options on interest rate futures 50,000 4,425,000 (4,275,000 ) 200,000 Put options on interest rate futures 1,600,000 7,445,000 (8,495,000 ) 550,000 Year ended December 31, 2015 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) CRT Agreements — 4,602,507 (56,242 ) 4,546,265 Forward sales contracts 1,601,283 51,449,971 (50,600,612 ) 2,450,642 Forward purchase contracts 1,100,700 37,757,703 (36,388,853 ) 2,469,550 MBS put option 340,000 2,177,500 (2,142,500 ) 375,000 MBS call option — 140,000 (140,000 ) — Eurodollar future sale contracts 7,426,000 385,000 (6,056,000 ) 1,755,000 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 4,510,000 (5,490,000 ) 50,000 Put options on interest rate futures 275,000 5,743,000 (4,418,000 ) 1,600,000 Year ended December 31, 2014 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) Forward sales contracts 3,588,027 45,904,253 (47,890,997 ) 1,601,283 Forward purchase contracts 2,781,066 33,418,838 (35,099,204 ) 1,100,700 MBS put option 55,000 2,087,500 (1,802,500 ) 340,000 MBS call option 110,000 230,000 (340,000 ) — Eurodollar future sale contracts 8,779,000 3,032,000 (4,385,000 ) 7,426,000 Eurodollar future purchase contracts — 4,087,000 (3,287,000 ) 800,000 Treasury future sale contracts 105,000 482,600 (502,600 ) 85,000 Treasury future purchase contracts — 439,200 (439,200 ) — Call options on interest rate futures — 3,530,000 (2,500,000 ) 1,030,000 Put options on interest rate futures 52,500 1,687,500 (1,465,000 ) 275,000 |
Mortgage Loans at Fair Value (T
Mortgage Loans at Fair Value (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Text Block [Abstract] | |
Summary of Distribution of Company's Mortgage Loans at Fair Value | Following is a summary of the distribution of the Company’s mortgage loans at fair value: December 31, 2016 December 31, 2015 Loan type Fair value Unpaid principal balance Fair value Unpaid principal balance (in thousands) Distressed mortgage loans Nonperforming mortgage loans $ 742,988 $ 1,020,994 $ 1,222,956 $ 1,702,548 Performing mortgage loans: Fixed interest rate 296,901 408,943 417,658 535,610 Interest rate step-up 232,700 317,409 299,569 412,749 Adjustable-rate/hybrid 81,983 92,313 160,051 185,997 Balloon — — 160 204 611,584 818,665 877,438 1,134,560 1,354,572 1,839,659 2,100,394 2,837,108 Fixed interest rate jumbo mortgage loans held in a VIE 367,169 368,524 455,394 454,935 $ 1,721,741 $ 2,208,183 $ 2,555,788 $ 3,292,043 Mortgage loans at fair value pledged to secure: Assets sold under agreements to repurchase $ 1,345,021 $ 2,067,341 Asset-backed financing of a VIE at fair value and FHLB advances $ 367,169 $ 455,394 FHLB advances $ — $ 134,172 |
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 December 31, 2016 December 31, 2015 (percentages are of fair value) Portion of mortgage loans originated between 2005 and 2007 72% 72% Percentage of fair value of mortgage loans with unpaid-principal balance-to-current-property-value in excess of 100% 41% 48% States contributing 5% or more of mortgage loans New York California New Jersey Florida Massachusetts New York California New Jersey Florida |
Real Estate Acquired in Settl55
Real Estate Acquired in Settlement of Loans (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Banking And Thrift [Abstract] | |
Summary of Financial Information Relating to REO | Following is a summary of financial information relating to REO: Year ended December 31, 2016 2015 2014 (in thousands) Balance at beginning of year $ 341,846 $ 303,228 $ 138,942 Purchases — — 3,049 Transfers from mortgage loans at fair value and advances 207,431 307,455 364,945 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment (21,406 ) (8,827 ) — Transfers from REO under forward purchase agreements — — 12,737 Results of REO: Valuation adjustments, net (36,193 ) (40,432 ) (45,476 ) Gain on sale, net 17,075 21,255 13,498 (19,118 ) (19,177 ) (31,978 ) Proceeds from sales (234,684 ) (240,833 ) (184,467 ) Balance at end of year $ 274,069 $ 341,846 $ 303,228 At the end of year: REO pledged to secure assets sold under agreements to repurchase $ 167,430 $ 245,647 REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties 48,283 37,696 $ 215,713 $ 283,343 |
Mortgage Servicing Rights (Tabl
Mortgage Servicing Rights (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Summary of MSRs Carried at Fair Value | Following is a summary of MSRs carried at fair value: Year ended December 31, 2016 2015 2014 (in thousands) Balance at beginning of year $ 66,584 $ 57,358 $ 26,452 Purchases 2,739 2,335 — MSRs resulting from mortgage loan sales 7,337 13,963 47,693 Changes in fair value: Due to changes in valuation inputs used in valuation model (1) (3,210 ) 312 (11,455 ) Other changes in fair value (2) (9,314 ) (7,384 ) (5,193 ) (12,524 ) (7,072 ) (16,648 ) Sales — — (139 ) Balance at year end $ 64,136 $ 66,584 $ 57,358 MSRs carried at fair value pledged to secure notes payable at year end $ 64,136 $ 66,584 (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: Year ended December 31, 2016 2015 2014 (in thousands) Amortized cost: Balance at beginning of year $ 404,101 $ 308,137 $ 266,697 MSRs resulting from mortgage loan sales 267,755 140,511 73,640 Amortization (65,647 ) (43,982 ) (31,911 ) Sales (106 ) (565 ) (289 ) Balance at end of year 606,103 404,101 308,137 Valuation allowance: Balance at beginning of year (10,944 ) (7,715 ) (2,577 ) Additions (2,728 ) (3,229 ) (5,138 ) Balance at end of year (13,672 ) (10,944 ) (7,715 ) MSRs, net $ 592,431 $ 393,157 $ 300,422 Fair value at beginning of year $ 424,154 $ 322,230 $ 289,737 Fair value at year end $ 626,334 $ 424,154 $ 322,230 MSRs carried at lower of cost or fair value pledged to secure notes payable at year end $ 592,431 $ 393,157 |
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 December 31, 2016 valuation of MSRs. The inputs underlying the following estimate will change as market conditions and portfolio composition and behavior change, causing both actual and projected amortization levels to change over time. Estimated MSR Year ended December 31, amortization (in thousands) 2017 $ 67,814 2018 63,283 2019 58,297 2020 53,184 2021 48,204 Thereafter 315,321 Total $ 606,103 |
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 Year ended December 31, 2016 2015 2014 (in thousands) Contractually-specified servicing fees $ 125,961 $ 97,633 $ 76,300 Ancillary and other fees: Late charges 570 328 — Other 5,302 4,186 3,708 $ 131,833 $ 102,147 $ 80,008 |
Assets Sold Under Agreements 57
Assets Sold Under Agreements to Repurchase (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase | Following is a summary of financial information relating to assets sold under agreements to repurchase: Year ended December 31, 2016 2015 2014 (dollars in thousands) Weighted-average interest rate (1) 2.44 % 2.33 % 2.12 % Average balance $ 3,382,528 $ 3,046,963 $ 2,311,273 Total interest expense $ 92,838 $ 79,869 $ 58,304 Maximum daily amount outstanding $ 5,573,021 $ 4,710,412 $ 3,203,989 December 31, 2016 2015 (dollars in thousands) Carrying value: Unpaid principal balance $ 3,784,685 $ 3,130,328 Unamortized debt issuance costs (684 ) (1,548 ) $ 3,784,001 $ 3,128,780 Weighted-average interest rate 2.70 % 2.33 % Available borrowing capacity: Committed $ 518,932 $ 231,913 Uncommitted 1,092,253 661,756 $ 1,611,185 $ 893,669 Margin deposits placed with counterparties included in Other $ 29,634 $ 7,268 Fair value of assets securing agreements to repurchase: Mortgage-backed securities $ 863,802 $ 313,753 Mortgage loans acquired for sale at fair value $ 1,627,010 $ 1,204,462 Mortgage loans at fair value $ 1,345,021 $ 2,067,341 Real estate acquired in settlement of loans $ 215,713 $ 283,343 CRT Agreements: Deposits securing CRT agreements $ 414,610 $ — Derivative assets $ 9,078 $ — (1) Excludes the effect of amortization of debt issuance costs of $8.8 million for the year ended December 31, 2016, and $8.9 million for the year ended December 31, 2015. |
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 December 31, 2016 Unpaid principal balance (in thousands) Within 30 days $ 1,185,874 Over 30 to 90 days 1,874,899 Over 90 days to 180 days — Over 180 days to 1 year 506,120 Over 1 year to 2 years 217,792 $ 3,784,685 Weighted average maturity (in months) 3.7 |
Summary of Assets Sold under Agreements to Repurchase by Counterparty | Securities sold under agreements to repurchase Counterparty Amount at risk Weighted average maturity (in thousands) JPMorgan Chase & Co. $ 4,539 January 20, 2017 Bank of America, N.A. $ 15,526 January 17, 2017 Daiwa Capital Markets America Inc. $ 8,218 January 14, 2017 Wells Fargo, N.A. $ 7,116 January 9, 2017 Royal Bank of Canada $ 2,590 January 19, 2017 |
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. $ 72,670 January 13, 2017 Bank of America, N.A. $ 33,731 January 16, 2017 BNP Paribas Corporate & Institutional Banking $ 19,498 January 13, 2017 |
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 | 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. $ 249,493 January 21, 2017 March 3, 2017 JPMorgan Chase & Co. $ 116,225 October 13, 2017 October 13, 2017 JPMorgan Chase & Co. $ 1,854 January 26, 2017 January 26, 2017 Credit Suisse First Boston Mortgage Capital LLC $ 149,984 March 21, 2017 March 30, 2017 Bank of America, N.A. $ 23,156 March 22, 2017 March 29, 2017 Barclays Bank PLC $ 4,590 March 21, 2017 December 1, 2017 Morgan Stanley $ 6,622 February 17, 2017 August 25, 2017 |
Mortgage Loan Participation a58
Mortgage Loan Participation and Sale Agreements (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Text Block [Abstract] | |
Summary of Mortgage Loan Participation and Sale Agreements | Mortgage loan participation and sale agreements are summarized below: Year ended December 31, 2016 2015 2014 (dollars in thousands) Weighted-average interest rate (1) 1.74 % 1.62 % 1.42 % Average balance $ 70,391 $ 49,318 $ 44,770 Total interest expense $ 1,376 $ 1,001 $ 912 Maximum daily amount outstanding $ 99,469 $ 148,032 $ 116,363 (1) Excludes the effect of amortization of debt issuance costs of $130,000 for the year ended December 31, 2016, and $193,000 for the year ended December 31, 2015. December 31, 2016 2015 (dollars in thousands) Carrying value: Amount outstanding $ 25,917 $ — Unamortized debt issuance costs — — $ 25,917 $ — Weighted-average interest rate 2.02 % — Mortgage loans acquired for sale pledged to secure mortgage loan participation and sale agreements $ 26,738 $ — |
Notes Payable (Tables)
Notes Payable (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Text Block [Abstract] | |
Summary of Financial Information Relating to Note Payable | Following is a summary of financial information relating to the notes payable: Year ended December 31, 2016 2015 (dollars Weighted-average interest rate (1) 4.73 % 4.31 % Average balance $ 202,293 $ 119,307 Total interest expense $ 12,892 $ 6,826 Maximum daily amount outstanding $ 275,106 $ 236,107 (1) Excludes the effect of amortization of debt issuance costs of $3.2 million for the year ended December 31, 2016, and $1.6 million for the year ended December 31, 2015. Year ended December 31, 2016 2015 (dollars in thousands) Carrying value: Amount outstanding $ 275,106 $ 236,107 Unamortized debt issuance costs — (92 ) $ 275,106 $ 236,015 Weighted-average interest rate 4.73 % 4.53 % MSRs pledged to secure notes payable $ 656,567 $ 459,741 |
Exchangeable Senior Notes (Tabl
Exchangeable Senior Notes (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Text Block [Abstract] | |
Summary of Financial Information Relating to Exchangeable Notes | Following is financial information relating to the Exchangeable Notes: Year ended December 31, 2016 2015 2014 (in thousands) Weighted-average UPB $ 250,000 $ 250,000 $ 250,000 Interest expense (1) $ 14,473 $ 14,413 $ 14,358 (1) Total interest expense includes amortization of debt issuance costs of $1.0 million, $975,000, and $920,000 for the years ended December 31, 2016, 2015 and 2014, respectively. December 31, 2016 2015 (in thousands) Carrying value: UPB $ 250,000 $ 250,000 Unamortized debt issuance costs (3,911 ) (4,946 ) $ 246,089 $ 245,054 |
Asset-Backed Financing of a V61
Asset-Backed Financing of a Variable Interest Entity at Fair Value (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Text Block [Abstract] | |
Summary of Financial Information Relating to Asset-Backed Financing of a VIE | Following is a summary of financial information relating to the asset-backed financing of a VIE: Year ended December 31, 2016 2015 2014 (dollars in thousands) Weighted-average fair value $ 338,582 $ 186,430 $ 167,752 Interest expense $ 12,091 $ 6,840 $ 6,490 Weighted-average effective interest rate 3.32 % 3.35 % 3.82 % December 31, 2016 2015 (dollars in thousands) Carrying value $ 353,898 $ 247,690 UPB $ 355,494 $ 248,284 Weighted-average interest rate 3.50 % 3.50 % |
Federal Home Loan Bank Advanc62
Federal Home Loan Bank Advances (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Banking And Thrift [Abstract] | |
Summary of FHLB Advances | The FHLB advances are summarized below: Year ended December 31, 2016 2015 (dollars Weighted-average interest rate 0.49 % 0.30 % Average balance $ 24,375 $ 89,512 Total interest expense $ 122 $ 275 Maximum daily amount outstanding $ 201,130 $ 196,100 December 31, 2016 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 |
Liability for Losses Under Re63
Liability for Losses Under Representations and Warranties (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Text Block [Abstract] | |
Summary of Company's Liability for Losses under Representations and Warranties | Following is a summary of the Company’s liability for losses under representations and warranties: Year ended December 31, 2016 2015 2014 (in thousands) Balance, beginning of period $ 20,171 $ 14,242 $ 10,110 Provision for losses Pursuant to mortgage loan sales 3,254 5,771 4,255 Reduction in liability due to change in estimate (7,564 ) — — Losses incurred (511 ) (176 ) (123 ) Recoveries — 334 — Balance, end of period $ 15,350 $ 20,171 $ 14,242 UPB of mortgage loans subject to representations and warranties at period end $ 56,114,162 $ 41,842,601 $ 34,673,414 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Commitments And Contingencies Disclosure [Abstract] | |
Company's Outstanding Contractual Commitments | The following table summarizes the Company’s outstanding contractual commitments: December 31, 2016 (in thousands) Commitments to purchase mortgage loans acquired for sale $ 1,420,468 Commitments to fund Deposits securing credit risk transfer agreements (1) $ 92,109 (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) | 12 Months Ended |
Dec. 31, 2016 | |
Equity [Abstract] | |
Summary of Share Repurchase Activity | The following table summarizes the Company’s share repurchase activity: Year ended December 31, Cumulative 2016 2015 Total (1) (in thousands) Common shares repurchased 7,368 1,045 8,413 Cost of common shares repurchased $ 98,370 $ 16,338 $ 114,708 (1) Amounts represent the share repurchase program total through December 31, 2016. |
Net Interest Income (Tables)
Net Interest Income (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Banking And Thrift Interest [Abstract] | |
Summary of Net Interest Income | Net interest income is summarized below: Year ended December 31, 2016 2015 2014 (in thousands) Interest income: From nonaffiliates: Short-term investments $ 923 $ 815 $ 604 Mortgage-backed securities 14,663 10,267 8,226 Mortgage loans acquired for sale at fair value 54,750 48,281 23,974 Mortgage loans at fair value: Distressed 107,044 96,536 100,340 Under forward purchase agreements — — 3,584 Held in a VIE 17,042 19,903 22,280 Placement fees relating to custodial funds 4,058 — — Deposits securing CRT Agreements 930 — — Other 111 178 48 199,521 175,980 159,056 From PFSI—ESS purchased from PFSI at fair value 22,601 25,365 13,292 222,122 201,345 172,348 Interest expense: To nonaffiliates: Assets sold under agreements to repurchase 92,838 79,869 58,304 Mortgage loan participation and sale agreements 1,376 1,001 912 Notes payable 12,892 6,826 — Exchangeable Notes 14,473 14,413 14,358 Asset-backed financings of VIEs at fair value (1) 12,091 13,754 6,490 FHLB advances 122 275 — Borrowings under forward purchase agreements — — 2,363 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 6,812 4,207 2,004 Placement fees on mortgage loan impound deposits 1,334 1,020 1,158 141,938 121,365 85,589 To PFSI—financings payable 7,830 3,343 — 149,768 124,708 85,589 Net interest income $ 72,354 $ 76,637 $ 86,759 (1) The results for the year ended December 31, 2016 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 Ac67
Net Gain on Mortgage Loans Acquired for Sale (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Text Block [Abstract] | |
Summary of Net Gain on Mortgage Loans Acquired for Sale | Net gain on mortgage loans acquired for sale is summarized below: Year ended December 31, 2016 2015 2014 (in thousands) From non-affiliates: Cash loss: Mortgage loans $ (229,743 ) $ (84,489 ) $ (25,241 ) Hedging activities 30,927 (17,742 ) (57,161 ) (198,816 ) (102,231 ) (82,402 ) Non cash gain: Receipt of MSRs in mortgage loan sale transactions 275,092 154,474 121,333 Provision for losses relating to representations and warranties provided in mortgage loan sales Pursuant to mortgage loans sales (3,254 ) (5,771 ) (4,255 ) Reduction in liability due to change in estimate 7,564 — — Change in fair value of financial instruments held at period end: IRLCs (869 ) (1,015 ) 4,412 Mortgage loans (1,846 ) (2,977 ) 3,825 Hedging derivatives 19,347 961 (11,518 ) 16,632 (3,031 ) (3,281 ) Total from non-affiliates 97,218 43,441 31,395 From PFSI—cash gain 9,224 7,575 4,252 $ 106,442 $ 51,016 $ 35,647 |
Net Gain on Investments (Tables
Net Gain on Investments (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Investments Debt And Equity Securities [Abstract] | |
Summary of Net Gain (Loss) on Investments | Net gain (loss) on investments is summarized below: Year ended December 31, 2016 2015 2014 (in thousands) Net gain (loss) on investments: From non-affiliates: Mortgage-backed securities $ (13,168 ) $ (5,224 ) $ 10,416 Mortgage loans at fair value: Distressed mortgage loans (3,504 ) 81,133 215,483 Mortgage loans held in a VIE (1,748 ) (10,663 ) 27,768 CRT Agreements 32,500 593 — Asset-backed financing of a VIE at fair value 3,238 4,260 (8,459 ) Hedging derivatives 7,251 (19,353 ) (22,565 ) 24,569 50,746 222,643 From PFSI—ESS (17,394 ) 3,239 (20,834 ) $ 7,175 $ 53,985 $ 201,809 |
Net Mortgage Loan Servicing F69
Net Mortgage Loan Servicing Fees (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Text Block [Abstract] | |
Summary of Net Mortgage Loan Servicing Fees | Net mortgage loan servicing fees are summarized below: Year ended December 31, 2016 2015 2014 (in thousands) From non-affiliates: Servicing fees (1) $ 131,833 $ 102,147 $ 80,008 Effect of MSRs: Carried at lower of amortized cost or fair value: Amortization (65,647 ) (43,982 ) (31,911 ) Provision for impairment (2,728 ) (3,229 ) (5,138 ) Gain on sale 11 187 46 Carried at fair value—change in fair value (12,524 ) (7,072 ) (16,648 ) Gains on hedging derivatives 2,271 481 11,527 (78,617 ) (53,615 ) (42,124 ) 53,216 48,532 37,884 From PFSI-MSR recapture income 1,573 787 9 Net mortgage loan servicing fees $ 54,789 $ 49,319 $ 37,893 Average servicing portfolio $ 49,626,758 $ 38,450,379 $ 30,720,168 (1) Includes contractually specified servicing and ancillary fees. |
Share-Based Compensation Plans
Share-Based Compensation Plans (Tables) | 12 Months Ended |
Dec. 31, 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: Year ended December 31, 2016 2015 2014 (in thousands except per share amounts) Number of units: Outstanding at beginning of year 734 725 661 Granted 330 312 300 Vested (299 ) (302 ) (234 ) Canceled or forfeited — (1 ) (2 ) Outstanding at end of year 765 734 725 Weighted Average Grant Date Fair Value: Outstanding at beginning of year $ 21.26 $ 21.00 $ 19.95 Granted $ 10.46 $ 21.06 $ 21.05 Vested $ 18.46 $ 19.65 $ 19.68 Expired or canceled $ — $ 21.29 $ 18.74 Outstanding at end of year $ 16.19 $ 21.26 $ 21.00 Compensation expense recorded during the year $ 5,748 $ 6,346 $ 7,107 Fair value of vested units during the year $ 5,510 $ 5,929 $ 4,615 Year end: Units available for future awards(1) 4,632 Unamortized compensation cost $ 4,118 (1) Based on shares outstanding as of December 31, 2016. Total units available for future awards may be adjusted in accordance with the equity incentive plan based on future issuances of PMT’s shares as described above. |
Other Expenses (Tables)
Other Expenses (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Other Income And Expenses [Abstract] | |
Summary of Other Expenses | Other expenses are summarized below: Year ended December 31, 2016 2015 2014 (in thousands) Common overhead allocation from PFSI $ 7,898 $ 10,742 $ 10,477 Real estate held for investment 3,213 604 — Technology 1,448 1,279 984 Insurance 1,326 1,304 989 Other 4,340 2,542 2,313 $ 18,225 $ 16,471 $ 14,763 |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Income Tax Disclosure [Abstract] | |
Schedule of Tax Characterization of Distributions | The approximate tax characterization of the Company’s distributions is as follows: Year ended December 31, Ordinary income Long term capital gain Return of capital 2016 60 % 40 % 0 % 2015 41 % 25 % 34 % 2014 86 % 14 % 0 % |
Summary of Company's Income Tax Benefit | The following table details the Company’s income tax benefit which relates primarily to the TRSs for the years presented: Year ended December 31, 2016 2015 2014 (in thousands) Current expense: Federal $ 361 $ 671 $ 352 State 81 204 104 Total current expense 442 875 456 Deferred benefit: Federal (8,790 ) (13,124 ) (10,232 ) State (5,699 ) (4,547 ) (5,304 ) Total deferred benefit (14,489 ) (17,671 ) (15,536 ) Total benefit from income taxes $ (14,047 ) $ (16,796 ) $ (15,080 ) |
Reconciliation of Company's Provision for Income Taxes | The following table is a reconciliation of the Company’s provision for income taxes at statutory rates to the provision for income taxes at the Company’s effective rate for the years presented: Year ended December 31, 2016 2015 2014 Amount Rate Amount Rate Amount Rate (in thousands) Federal income tax expense at statutory tax rate $ 21,617 35.0 % $ 25,656 35.0 % $ 62,812 35.0 % Effect of non-taxable REIT income (32,501 ) (52.6 )% (40,366 ) (55.1 )% (74,480 ) (41.5 )% State income taxes, net of federal benefit (3,652 ) (5.9 )% (2,823 ) (3.9 )% (3,380 ) (1.9 )% Other 489 0.8 % 737 1.1 % (32 ) 0 % Valuation allowance — 0 % — 0 % — 0 % Benefit from income taxes $ (14,047 ) (22.7 )% $ (16,796 ) (22.9 )% $ (15,080 ) (8.4 )% |
Components of Provision for Deferred Income Taxes | The Company’s components of the provision for deferred income taxes are as follows: Year ended December 31, 2016 2015 2014 (in thousands) Real estate valuation loss $ 2,732 $ (1,577 ) $ (5,079 ) Mortgage servicing rights 10,597 (31,324 ) 27,996 Net operating loss carryforward (19,863 ) 33,297 (35,963 ) Liability for losses under representations and warranties 2,222 (2,467 ) (5,944 ) Excess interest expense disallowance (8,721 ) (15,384 ) — Other (1,456 ) (216 ) 3,454 Valuation allowance — — — Total (benefit) provision for deferred income taxes $ (14,489 ) $ (17,671 ) $ (15,536 ) |
Components of Income Taxes Payable | The components of income taxes payable are as follows: December 31, 2016 December 31, 2015 (in thousands) Taxes currently receivable 2,519 1,669 Deferred income taxes payable $ (20,685 ) $ (35,174 ) Income taxes payable $ (18,166 ) $ (33,505 ) |
Summary of Deferred Income Tax Assets and Liabilities | The tax effects of temporary differences that gave rise to deferred income tax assets and liabilities are presented below: December 31, 2016 December 31, 2015 (in thousands) Deferred income tax assets: REO valuation loss $ 9,542 $ 12,274 Net operating loss carryforward 60,435 40,572 Liability for losses under representations and warranties 6,189 8,411 Excess interest expense disallowance 24,105 15,384 Other 1,882 426 Gross deferred tax assets 102,153 77,067 Deferred income tax liabilities: Mortgage servicing rights (122,838 ) (112,241 ) Other — — Gross deferred tax liabilities (122,838 ) (112,241 ) Net deferred income tax liability $ (20,685 ) $ (35,174 ) |
Segments (Tables)
Segments (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Segment Reporting [Abstract] | |
Financial Highlights by Operating Segment | Financial highlights by operating segment are summarized below: Correspondent Investment Year ended December 31, 2016 production activities Total (in thousands) Net gain on mortgage loans acquired for sale $ 106,442 $ — $ 106,442 Net investment income: Interest income 53,998 168,124 222,122 Interest expense (33,701 ) (116,067 ) (149,768 ) 20,297 52,057 72,354 Net mortgage loan servicing fees — 54,789 54,789 Net gain on investments — 7,175 7,175 Other income (loss) 41,998 (10,670 ) 31,328 168,737 103,351 272,088 Expenses: Mortgage loan fulfillment, servicing and management fees payable to PFSI 88,978 68,759 157,737 Other 9,292 43,296 52,588 98,270 112,055 210,325 Pre-tax income (loss) $ 70,467 $ (8,704 ) $ 61,763 Total assets at period end $ 1,715,145 $ 4,642,357 $ 6,357,502 Correspondent Investment Year ended December 31, 2015 production activities Total (in thousands) Net gain on mortgage loans acquired for sale $ 51,016 $ — $ 51,016 Net investment income: Interest income 39,976 161,369 201,345 Interest expense (19,843 ) (104,865 ) (124,708 ) 20,133 56,504 76,637 Net mortgage loan servicing fees — 49,319 49,319 Net gain on investments — 53,985 53,985 Other income (loss) 28,822 (11,014 ) 17,808 99,971 148,794 248,765 Expenses: Mortgage loan fulfillment, servicing and management fees payable to PFSI 60,619 68,605 129,224 Other 6,450 39,787 46,237 67,069 108,392 175,461 Pre-tax income $ 32,902 $ 40,402 $ 73,304 Total assets at period end $ 1,286,138 $ 4,540,786 $ 5,826,924 Correspondent Investment Intersegment Year ended December 31, 2014 production activities elimination & other Total (in thousands) Net gain on mortgage loans acquired for sale $ 35,647 $ — — $ 35,647 Net investment income: Interest income 24,022 150,714 (2,388 ) 172,348 Interest expense (15,899 ) (72,078 ) 2,388 (85,589 ) 8,123 78,636 — 86,759 Net mortgage loan servicing fees — 37,893 — 37,893 Net gain on investments — 201,809 — 201,809 Other income 18,290 (23,657 ) — (5,367 ) 62,060 294,681 — 356,741 Expenses: Mortgage loan fulfillment, servicing and management fees payable to PFSI 49,872 86,404 — 136,276 Other 3,357 37,644 — 41,001 53,229 124,048 — 177,277 Pre-tax income $ 8,831 $ 170,633 $ — $ 179,464 Total assets at period end $ 654,476 $ 4,242,782 $ — $ 4,897,258 |
Selected Quarterly Results (Tab
Selected Quarterly Results (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Quarterly Financial Information Disclosure [Abstract] | |
Selected Quarterly Financial Data | Following is a presentation of selected quarterly financial data: Quarter ended 2016 2015 Dec. 31 Sept. 30 June 30 Mar. 31 Dec. 31 Sept. 30 June 30 Mar. 31 (dollars in thousands, except per share data) For the quarter ended: Net investment income $ 68,928 $ 103,326 $ 47,618 $ 52,216 $ 50,569 $ 90,774 $ 69,765 $ 37,657 Net income $ 31,174 $ 35,408 $ (5,267 ) $ 14,496 $ 15,709 $ 38,812 $ 28,071 $ 7,508 Earnings per share: Basic $ 0.46 $ 0.52 $ (0.08 ) $ 0.20 $ 0.21 $ 0.51 $ 0.37 $ 0.09 Diluted $ 0.44 $ 0.49 $ (0.08 ) $ 0.20 $ 0.21 $ 0.49 $ 0.36 $ 0.09 Cash dividends declared per share $ 0.47 $ 0.47 $ 0.47 $ 0.47 $ 0.47 $ 0.47 $ 0.61 $ 0.61 At period end: Short-term investments at fair value $ 122,088 $ 33,353 $ 16,877 $ 47,500 $ 41,865 $ 31,518 $ 32,417 $ 44,949 Mortgage-backed securities at fair value 865,061 708,862 531,612 364,439 322,473 315,599 287,626 316,292 Mortgage loans at fair value (1) 3,394,853 4,000,570 3,497,026 3,836,411 3,839,583 3,688,026 4,944,694 4,226,290 Excess servicing spread 288,669 280,367 294,551 321,976 412,425 418,573 359,102 222,309 Real estate acquired in settlement of loans (2) 303,393 314,056 320,120 339,970 350,642 358,011 325,822 317,536 Mortgage servicing rights (3) 656,567 524,529 471,458 455,097 459,741 423,095 394,737 359,160 Other assets 726,871 757,164 635,918 455,047 400,195 357,409 332,976 243,991 Total assets $ 6,357,502 $ 6,618,901 $ 5,767,562 $ 5,820,440 $ 5,826,924 $ 5,592,231 $ 6,677,374 $ 5,730,527 Assets sold under agreements to repurchase and mortgage loan participation and sale agreement $ 3,809,918 $ 4,129,543 $ 3,372,026 $ 3,307,414 $ 3,128,780 $ 2,925,110 $ 3,571,181 $ 3,633,922 Federal Home Loan Bank advances — — — — 183,000 183,000 138,400 — Credit risk transfer financing at fair value — — — — — — 649,120 — Notes payable 425,106 346,132 313,976 356,191 386,015 342,332 297,404 — Borrowings under forward purchase agreements — — — — — — — — Asset-backed financing of a VIE at fair value 353,898 384,407 325,939 344,693 247,690 234,287 151,489 162,222 Exchangeable senior notes 246,089 245,824 245,564 245,307 245,054 244,805 244,559 244,317 Other liabilities 171,377 158,077 149,230 152,332 140,272 148,267 99,924 147,907 Total liabilities 5,006,388 5,263,983 4,406,735 4,405,937 4,330,811 4,077,801 5,152,077 4,188,368 Shareholders’ equity 1,351,114 1,354,918 1,360,827 1,414,503 1,496,113 1,514,430 1,525,297 1,542,159 Total liabilities and shareholders’ equity $ 6,357,502 $ 6,618,901 $ 5,767,562 $ 5,820,440 $ 5,826,924 $ 5,592,231 $ 6,677,374 $ 5,730,527 (1) Includes mortgage loans acquired for sale at fair value, mortgage loans at fair value, mortgage loans at fair value held by variable interest entity and mortgage loans under forward purchase agreements at fair value. (2) Includes REO, REO under forward purchase agreements and real estate held for investment. (3) Includes mortgage servicing rights at fair value and mortgage servicing rights at lower of amortized cost or fair value. |
Supplemental Cash Flow Inform75
Supplemental Cash Flow Information (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Supplemental Cash Flow Elements [Abstract] | |
Summary of Supplemental Cash Flow Information | Year ended December 31, 2016 2015 2014 (in thousands) Cash paid for interest $ 157,686 $ 117,223 $ 94,116 Income taxes paid, net $ 1,294 $ 1,116 $ (6,562 ) Non-cash investing activities: Receipt of MSRs as proceeds from sales of mortgage loans $ 275,092 $ 154,474 $ 121,333 Transfer of mortgage loans and advances to real estate acquired in settlement of loans $ 207,431 $ 307,455 $ 364,945 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment $ 21,406 $ 8,827 $ — Receipt of ESS pursuant to recapture agreement with PFSI $ 6,603 $ 6,728 $ 7,343 Transfers of mortgage loans acquired for sale to mortgage loans at fair value $ — $ 23,859 $ — Purchase of mortgage loans financed through forward purchase agreements $ — $ — $ 2,828 Transfer of mortgage loans under forward purchase agreements to mortgage loans at fair value $ — $ — $ 205,902 Transfer of mortgage loans under forward purchase agreements and advances to REO under forward purchase agreements $ — $ — $ 9,369 Purchase of REO financed through forward purchase agreements $ — $ — $ 68 Transfer of REO under forward purchase agreements to REO $ — $ — $ 12,737 Non-cash financing activities: Dividends payable $ 31,655 $ 35,069 $ 45,894 Transfer of mortgage loans at fair value financed through agreements to repurchase to REO financed under agreements to repurchase $ — $ 85,134 $ 2,731 Purchase of mortgage loans financed through forward purchase agreements $ — $ — $ 2,828 Purchase of REO financed through forward purchase agreements $ — $ — $ 68 |
Regulatory Capital and Liquid76
Regulatory Capital and Liquidity Requirements (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Mortgage Banking [Abstract] | |
Summary of Capital and Liquidity Requirements by Agencies | December 31, 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) December 31, 2016 $ 392,056 $ 143,259 12 % 6 % $ 26,670 $ 19,706 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. |
Parent Company Information (Tab
Parent Company Information (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Condensed Financial Information Of Parent Company Only Disclosure [Abstract] | |
Schedule of Parent Company Information | PENNYMAC MORTGAGE INVESTMENT TRUST CONDENSED BALANCE SHEETS December 31, 2016 2015 (in thousands) Assets Short-term investment $ 1,035 $ 2,606 Investments in subsidiaries 1,408,979 1,558,728 Due from affiliates 100 168 Due from PennyMac Financial Services, Inc. 54 — Other assets 610 806 Total assets 1,410,778 1,562,308 Liabilities Dividends payable 31,385 34,720 Accounts payable and accrued liabilities 2,765 2,708 Capital notes due to subsidiaries 18,409 20,379 Due to PennyMac Financial Services, Inc. 1,185 1,247 Due to affiliates 42 219 Income taxes payable — — Total liabilities 53,786 59,273 Shareholders' equity 1,356,992 1,503,035 Total liabilities and shareholders' equity 1,410,778 1,562,308 PENNYMAC MORTGAGE INVESTMENT TRUST CONDENSED STATEMENTS OF INCOME Year ended December 31, 2016 2015 2014 (in thousands) Income Dividends from subsidiaries $ 230,091 $ 171,254 $ 174,192 Intercompany interest 6 8 15 Interest — — 4 Other 1,250 1,250 1,250 Total income 231,347 172,512 175,461 Expenses Intercompany interest 1,382 441 26 Other (114 ) 14 — Total expenses 1,268 455 26 Income before provision for income taxes and equity in undistributed earnings in subsidiaries 230,079 172,057 175,435 Provision for income taxes 442 875 372 Income before equity in undistributed earnings of subsidiaries 229,637 171,182 175,063 Equity in undistributed earnings of subsidiaries (155,093 ) (78,704 ) 23,288 Net income $ 74,544 $ 92,478 $ 198,351 PENNYMAC MORTGAGE INVESTMENT TRUST CONDENSED STATEMENTS OF CASH FLOWS Year ended December 31, 2016 2015 2014 (in thousands, except share data) Cash flows from operating activities: Net income $ 74,544 $ 92,478 $ 198,351 Equity in undistributed earnings of subsidiaries 155,093 78,704 (23,288 ) Decrease in due from affiliates 693 915 107 Decrease (increase) in other assets 196 (284 ) (1 ) Increase (decrease) in accounts payable and accrued liabilities 93 (257 ) (837 ) Increase in due from affiliates (116 ) (238 ) (652 ) Decrease due to affiliates (174 ) (119 ) (40 ) Increase in income taxes payable — (126 ) 59 Net cash provided by operating activities 230,329 171,073 173,699 Cash flows from investing activities: Increase in investment in subsidiaries — — (89,618 ) Net decrease in short-term investments 1,571 (2,100 ) 834 Net cash used by investing activities 1,571 (2,100 ) (88,784 ) Cash flows from financing activities: Issuance of common shares — 8 90,588 Net increase in intercompany unsecured note payable to PMT subsidiary (1,970 ) 20,379 — Repurchases of common shares (98,370 ) (16,338 ) — Payment of common share underwriting and offering costs — — (1,070 ) Payment of dividends (131,560 ) (173,022 ) (174,433 ) Net cash provided (used) by financing activities (231,900 ) (168,973 ) (84,915 ) Net change in cash — — — Cash at beginning of year — — — Cash at end of year $ — $ — $ — Non-cash financing activity — dividends payable $ 31,655 $ 35,069 $ 45,894 |
Organization - Additional Infor
Organization - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2016Segment | |
Accounting Policies [Abstract] | |
Number of business segments | 2 |
Percentage of taxable income for distributions | 90.00% |
Concentration of Risks - Summar
Concentration of Risks - Summary of Holdings of Assets Purchased (Detail) - Assets Purchased from Citigroup [Member] - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Investment portfolio purchases through one or more subsidiaries of Citigroup Inc. as of: | ||
Investment portfolio purchases above through one or more subsidiaries of Citigroup, Inc. Mortgage loans at fair value | $ 519,698 | $ 855,691 |
Investment portfolio purchases above through one or more subsidiaries of Citigroup, Inc. REO | 49,048 | 88,088 |
Investment portfolio purchases above through one or more subsidiaries of Citigroup, Inc. total | 568,746 | 943,779 |
Total carrying value of distressed mortgage loans at fair value and REO | $ 1,628,641 | $ 2,442,240 |
Significant Accounting Polici80
Significant Accounting Policies - Additional Information (Detail) - USD ($) | Sep. 30, 2013 | Dec. 31, 2016 | Dec. 31, 2015 |
Mortgage Loans on Real Estate [Line Items] | |||
Cost-basis investments | $ 0 | ||
Equity method investments | $ 0 | ||
Loans delinquent | 90 or more days | ||
Servicing fee, percentage | 0.25% | ||
Deciding percentage of class of MSRs | More than 4.5%. | ||
Interest rate | 4.50% | ||
MSRs note rate pool description | Note interest rate pools of 50 basis points for note interest rates between 3.0% and 4.5% and a single pool for note interest rates below 3%. Adjustable rate mortgage loans with initial interest rates of 4.5% or less are evaluated in a single pool. | ||
Mortgage loans description | Note interest rate pools of 50 basis points | ||
Basis point for mortgage loan | 0.50% | ||
Income tax positions likely to be recognized | 50.00% | ||
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% | ||
Mortgage servicing rights [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Deciding percentage of class of MSRs | The Company has identified two classes of MSRs: originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5%; and originated MSRs backed by mortgage loans with initial interest rates of more than 4.5%. | ||
Jumbo Mortgage Loan Financing [Member] | Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Certificates issued | $ 537,000,000 | $ 208,800,000 | $ 111,000,000 |
Weighted yield | 3.90% |
Transactions with Related Par81
Transactions with Related Parties - Correspondent Production Activities - Additional Information (Detail) - USD ($) | Sep. 12, 2016 | Sep. 11, 2016 | Dec. 31, 2016 |
Mortgage Loans on Real Estate [Line Items] | |||
Servicing agreement expiration date | Sep. 12, 2020 | ||
Renewal period of servicing agreement | 18 months | ||
Minimum [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest income and sourcing fee | 2.00% | ||
Maximum [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest income and sourcing fee | 3.50% | ||
PennyMac Financial Services, Inc. [Member] | Conventional mortgage loan [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Basis point for fulfillment fee | 0.50% | ||
PennyMac Financial Services, Inc. [Member] | Ginnie Mae Mortgage-Backed Securities [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Basis point for fulfillment fee | 0.88% | ||
PennyMac Financial Services, Inc. [Member] | Other mortgage loans [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Basis point for fulfillment fee | 0.50% | ||
PennyMac Loan Services, LLC [Member] | Other mortgage loans [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Basis point for fulfillment fee | 0.85% | ||
PennyMac Loan Services, LLC [Member] | Fannie Mae or Freddie Mac mortgage loans [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Basis point for fulfillment fee | 0.35% | ||
Mortgage banking services [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage loan fees per annum | $ 1,500 | ||
Mortgage loan fees per loan | $ 35 | ||
Servicing agreement expiration date | Sep. 12, 2020 | ||
Renewal period of servicing agreement | 18 months | ||
Warehouse services [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Servicing agreement expiration date | Sep. 12, 2020 | ||
Renewal period of servicing agreement | 18 months |
Transactions with Related Par82
Transactions with Related Parties - Summary of Correspondent Production Activity (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Related Party Transaction [Line Items] | |||
Mortgage loans fulfillment fees earned by PLS | $ 86,465 | $ 58,607 | $ 48,719 |
Purchases of mortgage loans acquired for sale at fair value from PLS | 21,541 | 28,445 | 8,082 |
Mortgage loans included in Mortgage loans acquired for sale at fair value pending sale to PLS | 1,673,112 | 1,283,795 | |
PennyMac Loan Services, LLC [Member] | |||
Related Party Transaction [Line Items] | |||
Mortgage loans fulfillment fees earned by PLS | 86,465 | 58,607 | 48,719 |
Unpaid principal balance (“UPB”) of mortgage loans fulfilled by PLS | 23,188,386 | 14,014,603 | 11,476,448 |
Sourcing fees received from PLS included in Net gain on mortgage loans acquired for sale | 11,976 | 8,966 | 4,676 |
UPB of mortgage loans sold to PLS | 39,908,163 | 29,867,580 | 15,579,322 |
Purchases of mortgage loans acquired for sale at fair value from PLS | 21,541 | 28,445 | 8,082 |
Tax service fee paid to PLS included in Other expense | 6,690 | 4,390 | 2,080 |
Early purchase program fees paid to PLS included in Mortgage loan servicing fees | 30 | 0 | $ 0 |
Mortgage loans included in Mortgage loans acquired for sale at fair value pending sale to PLS | $ 804,616 | $ 669,288 |
Transactions with Related Par83
Transactions with Related Parties - Mortgage Loan Servicing Activities - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2016USD ($) | |
Mortgage Loans on Real Estate [Line Items] | |
Servicing agreement expiration date | Sep. 12, 2020 |
Renewal period of servicing agreement | 18 months |
PennyMac Loan Services, LLC [Member] | |
Mortgage Loans on Real Estate [Line Items] | |
Base servicing fees for REO per month | $ 75 |
REO rental fee | 30 |
Lease renewal fee for REO | $ 100 |
Rental income percentage gross | 9.00% |
PennyMac Loan Services, LLC [Member] | Distressed mortgage loans [Member] | |
Mortgage Loans on Real Estate [Line Items] | |
Activity based fees | $ 500 |
Services agreement fees collection period | 18 months |
PennyMac Loan Services, LLC [Member] | Distressed mortgage loans [Member] | Minimum [Member] | |
Mortgage Loans on Real Estate [Line Items] | |
Base servicing fees per month | $ 30 |
Activity based fees | 0.50% |
PennyMac Loan Services, LLC [Member] | Distressed mortgage loans [Member] | Maximum [Member] | |
Mortgage Loans on Real Estate [Line Items] | |
Base servicing fees per month | $ 100 |
Activity based fees | 1.50% |
PennyMac Loan Services, LLC [Member] | Subserviced loan [Member] | Fixed-Rate Mortgage Loans [Member] | |
Mortgage Loans on Real Estate [Line Items] | |
Base servicing fees per month | $ 7.50 |
PennyMac Loan Services, LLC [Member] | Subserviced loan [Member] | Adjustable rate mortgage loans [Member] | |
Mortgage Loans on Real Estate [Line Items] | |
Base servicing fees per month | 8.50 |
PennyMac Loan Services, LLC [Member] | Non-Distressed Mortgage Loans [Member] | |
Mortgage Loans on Real Estate [Line Items] | |
Base servicing fees for REO per month | 75 |
PennyMac Loan Services, LLC [Member] | Non-Distressed Mortgage Loans [Member] | Minimum [Member] | |
Mortgage Loans on Real Estate [Line Items] | |
Additional servicing fees per loan per month | 10 |
PennyMac Loan Services, LLC [Member] | Non-Distressed Mortgage Loans [Member] | Maximum [Member] | |
Mortgage Loans on Real Estate [Line Items] | |
Additional servicing fees per loan per month | 55 |
PennyMac Loan Services, LLC [Member] | Whole loans [Member] | |
Mortgage Loans on Real Estate [Line Items] | |
Supplemental fee received per month | $ 25 |
PennyMac Financial Services, Inc. [Member] | |
Mortgage Loans on Real Estate [Line Items] | |
Percentage of aggregate unpaid principal balance of loans | 30.00% |
PennyMac Financial Services, Inc. [Member] | Maximum [Member] | |
Mortgage Loans on Real Estate [Line Items] | |
Aggregate MSRs transferred | $ 200,000 |
Transactions with Related Par84
Transactions with Related Parties - Summary of Mortgage Loan Servicing Fees Earned and Mortgage Servicing Rights Recaptured Income Earned (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Related Party Transaction [Line Items] | |||
Mortgage loan servicing fees | $ 50,615 | $ 46,423 | $ 52,522 |
Average MSR portfolio | 49,626,758 | 38,450,379 | 30,720,168 |
PennyMac Loan Services, LLC [Member] | |||
Related Party Transaction [Line Items] | |||
Mortgage loan servicing fees | 50,615 | 46,423 | 52,522 |
MSR recapture income recognized included in Net mortgage loan servicing fees | 1,573 | 787 | 9 |
Average MSR portfolio | 49,626,758 | 38,450,379 | 30,720,168 |
PennyMac Loan Services, LLC [Member] | Mortgage loans acquired for sale at fair value [Member] | |||
Related Party Transaction [Line Items] | |||
Mortgage loan servicing fees | 1,063 | 631 | 252 |
Average MSR portfolio | 1,443,587 | 1,143,232 | 573,256 |
PennyMac Loan Services, LLC [Member] | Distressed mortgage loans [Member] | |||
Related Party Transaction [Line Items] | |||
Mortgage loan servicing fees | 29,599 | 28,560 | 38,561 |
Average MSR portfolio | 1,731,638 | 2,231,259 | 2,121,806 |
PennyMac Loan Services, LLC [Member] | Mortgage loans held in VIE [Member] | |||
Related Party Transaction [Line Items] | |||
Mortgage loan servicing fees | 83 | 125 | 110 |
Average MSR portfolio | 422,122 | 494,655 | 533,480 |
PennyMac Loan Services, LLC [Member] | Mortgage servicing rights [Member] | |||
Related Party Transaction [Line Items] | |||
Mortgage loan servicing fees | 19,870 | 17,107 | 13,599 |
PennyMac Loan Services, LLC [Member] | Base [Member] | Mortgage loans acquired for sale at fair value [Member] | |||
Related Party Transaction [Line Items] | |||
Mortgage loan servicing fees | 330 | 260 | 103 |
PennyMac Loan Services, LLC [Member] | Base [Member] | Distressed mortgage loans [Member] | |||
Related Party Transaction [Line Items] | |||
Mortgage loan servicing fees | 11,078 | 16,123 | 18,953 |
PennyMac Loan Services, LLC [Member] | Base [Member] | Mortgage loans held in VIE [Member] | |||
Related Party Transaction [Line Items] | |||
Mortgage loan servicing fees | 83 | 125 | 110 |
PennyMac Loan Services, LLC [Member] | Base [Member] | Mortgage servicing rights [Member] | |||
Related Party Transaction [Line Items] | |||
Mortgage loan servicing fees | 19,378 | 16,786 | 13,405 |
PennyMac 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 | 733 | 371 | 149 |
PennyMac Loan Services, LLC [Member] | Activity-based [Member] | Distressed mortgage loans [Member] | |||
Related Party Transaction [Line Items] | |||
Mortgage loan servicing fees | 18,521 | 12,437 | 19,608 |
PennyMac Loan Services, LLC [Member] | Activity-based [Member] | Mortgage loans held in VIE [Member] | |||
Related Party Transaction [Line Items] | |||
Mortgage loan servicing fees | 0 | 0 | 0 |
PennyMac Loan Services, LLC [Member] | Activity-based [Member] | Mortgage servicing rights [Member] | |||
Related Party Transaction [Line Items] | |||
Mortgage loan servicing fees | $ 492 | $ 321 | $ 194 |
Transactions with Related Par85
Transactions with Related Parties - Management Fees - Additional Information (Detail) - USD ($) | 12 Months Ended | |
Dec. 31, 2016 | Aug. 04, 2009 | |
PNMAC Capital Management LLC [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of change in net income due to quarterly adjustments | 8.00% | |
PMT agreed to reimburse PCM for a payment | $ 120,000 | |
PNMAC Capital Management LLC [Member] | 1.5% per annum of stockholders equity [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Base management fee annual rate | 1.50% | |
PNMAC Capital Management LLC [Member] | 1.375% per annum of stockholders equity [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Base management fee annual rate | 1.375% | |
PNMAC Capital Management LLC [Member] | 1.25% per annum of stockholders equity [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Base management fee annual rate | 1.25% | |
PNMAC Capital Management LLC [Member] | Net income exceeds 10% [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of net income for calculation of performance incentive fees | 10.00% | |
Percentage of return on equity | 12.00% | |
PNMAC Capital Management LLC [Member] | Net income exceeds 15% [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of net income for calculation of performance incentive fees | 15.00% | |
Percentage of return on equity | 16.00% | |
PNMAC Capital Management LLC [Member] | Net income exceeds 20% [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of net income for calculation of performance incentive fees | 20.00% | |
PNMAC Capital Management LLC [Member] | Maximum [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of performance incentive fee paid in Company's common shares | 50.00% | |
PMT agreed to reimburse PCM for a payment | $ 2,900,000 | |
PNMAC Capital Management LLC [Member] | Maximum [Member] | 1.5% per annum of stockholders equity [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Base management fee shareholders' equity limit | $ 2,000,000,000 | |
PNMAC Capital Management LLC [Member] | Maximum [Member] | 1.375% per annum of stockholders equity [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Base management fee shareholders' equity limit | $ 5,000,000,000 | |
PNMAC Capital Management LLC [Member] | Maximum [Member] | Net income exceeds 10% [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of return on equity | 8.00% | |
PNMAC Capital Management LLC [Member] | Maximum [Member] | Net income exceeds 15% [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of return on equity | 12.00% | |
PNMAC Capital Management LLC [Member] | Maximum [Member] | Net income exceeds 20% [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percentage of return on equity | 16.00% | |
PNMAC Capital Management LLC [Member] | Minimum [Member] | 1.375% per annum of stockholders equity [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Base management fee shareholders' equity limit | $ 2,000,000,000 | |
PNMAC Capital Management LLC [Member] | Minimum [Member] | 1.25% per annum of stockholders equity [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Base management fee shareholders' equity limit | $ 5,000,000,000 | |
PennyMac Financial Services, Inc. [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Performance incentive fee description | The performance incentive fee is calculated quarterly and is equal to: (a) 10% of the amount by which net income for the quarter exceeds (i) an 8% return on equity plus the high watermark, up to (ii) a 12% return on equity; plus (b) 15% of the amount by which net income for the quarter exceeds (i) a 12% return on equity plus the high watermark, up to (ii) a 16% return on equity; plus (c) 20% of the amount by which net income for the quarter exceeds a 16% return on equity plus the high watermark | |
Termination fees, description | The termination fee is equal to three times the sum of (a) the average annual base management fee, and (b) the average annual performance incentive fee earned by PFSI, in each case during the 24-month period before termination. |
Transactions with Related Par86
Transactions with Related Parties - Summary of Base Management and Performance Incentive Fees Payable (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Related Party Transaction [Line Items] | |||
Total management fee incurred during the period | $ 20,657 | $ 24,194 | $ 35,035 |
PNMAC Capital Management LLC [Member] | |||
Related Party Transaction [Line Items] | |||
Total management fee incurred during the period | 20,657 | 24,194 | 35,035 |
PNMAC Capital Management LLC [Member] | Base [Member] | |||
Related Party Transaction [Line Items] | |||
Total management fee incurred during the period | 20,657 | 22,851 | 23,330 |
PNMAC Capital Management LLC [Member] | Performance incentive [Member] | |||
Related Party Transaction [Line Items] | |||
Total management fee incurred during the period | $ 0 | $ 1,343 | $ 11,705 |
Transactions with Related Par87
Transactions with Related Parties - Summary of Expenses (Detail) - PNMAC Capital Management LLC [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Related Party Transaction [Line Items] | |||
Common overhead incurred by PCM and its affiliates | $ 7,898 | $ 10,742 | $ 10,850 |
Expenses incurred on the Company’s (PFSI's) behalf, net | (163) | 582 | 792 |
Total expenses incurred in transaction with affiliates | 7,735 | 11,324 | 11,642 |
Payments and settlements during the year | $ 143,542 | $ 99,967 | $ 99,987 |
Transactions with Related Par88
Transactions with Related Parties - Summary of Amounts Receivable From and Payable to PFSI (Detail) - PennyMac Financial Services, Inc. [Member] - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Receivable from PFSI: | ||
MSR recapture receivable | $ 707 | $ 781 |
Other | 6,384 | 8,025 |
Due from Affiliates | 7,091 | 8,806 |
Payable to PFSI: | ||
Servicing fees | 5,465 | 3,682 |
Management fees | 5,081 | 5,670 |
Correspondent production fees | 2,371 | 2,729 |
Fulfillment fees | 1,300 | 1,082 |
Allocated expenses and expenses paid by PFSI on PMT’s behalf | 1,046 | 4,490 |
Conditional Reimbursement | 900 | 900 |
Interest on Note payable to PFSI | 253 | 412 |
Total expense due to affiliate | $ 16,416 | $ 18,965 |
Transactions with Related Par89
Transactions with Related Parties - Note Payable to PLS - Additional Information (Detail) - USD ($) | Aug. 04, 2009 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 |
Related Party Transaction [Line Items] | ||||
Sale of excess servicing spread | $ 59,045,000 | $ 0 | $ 0 | |
Payment of contingent underwriting fees | 0 | $ 705,000 | $ 2,372,000 | |
Loan Agreement [Member] | ||||
Related Party Transaction [Line Items] | ||||
Maximum borrowing capacity of loan amount | $ 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] | ||||
Related Party Transaction [Line Items] | ||||
PMT agreed to reimburse PCM for a payment | $ 120,000 | |||
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 Par90
Transactions with Related Parties - Summary of Investing Activity (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Related Party Transaction [Line Items] | |||
Sale of mortgage loans at fair value for sale to PFSI | $ 891 | $ 1,466 | $ 0 |
ESS: | |||
Purchases | 0 | 271,554 | 95,892 |
Interest income | 222,122 | 201,345 | 172,348 |
Net (loss) gain included in Net gain on investments: | |||
Net (loss) gain on investments | 7,175 | 53,985 | 201,809 |
PennyMac Financial Services, Inc. [Member] | |||
Related Party Transaction [Line Items] | |||
Sale of mortgage loans at fair value for sale to PFSI | 891 | 1,466 | 0 |
ESS: | |||
Purchases | 0 | 271,554 | 99,728 |
Received pursuant to a recapture agreement | 6,603 | 6,728 | 7,343 |
Interest income | 22,601 | 25,365 | 13,292 |
Repayments and sales | 129,037 | 78,578 | 39,257 |
Net (loss) gain included in Net gain on investments: | |||
Valuation changes | (23,923) | (3,810) | (28,662) |
Recapture income | 6,529 | 7,049 | 7,828 |
Net (loss) gain on investments | $ (17,394) | $ 3,239 | $ (20,834) |
Transactions with Related Par91
Transactions with Related Parties - Repurchase Agreement with PLS - Additional Information (Detail) | Dec. 19, 2016USD ($) |
VFN [Member] | |
Related Party Transaction [Line Items] | |
Maximum principal balance | $ 1,000,000,000 |
Transactions with Related Par92
Transactions with Related Parties - Summary of Financing Activities (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Related Party Transaction [Line Items] | |||
Financings payable—Interest expense | $ 149,768 | $ 124,708 | $ 85,589 |
PennyMac Financial Services, Inc. [Member] | |||
Related Party Transaction [Line Items] | |||
Financings payable—Interest expense | 7,830 | 3,343 | 0 |
PennyMac Financial Services, Inc. [Member] | Affiliated Entity [Member] | |||
Related Party Transaction [Line Items] | |||
Financings payable—Interest expense | 7,830 | 3,343 | 0 |
PNMAC Capital Management LLC [Member] | |||
Related Party Transaction [Line Items] | |||
Conditional Reimbursements paid to PCM | $ 0 | $ 237 | $ 860 |
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 | 12 Months Ended | |||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Basic earnings per share: | |||||||||||
Net income | $ 31,174 | $ 35,408 | $ (5,267) | $ 14,496 | $ 15,709 | $ 38,812 | $ 28,071 | $ 7,508 | $ 75,810 | $ 90,100 | $ 194,544 |
Effect of participating securities—share-based compensation awards | (1,333) | (1,689) | (1,830) | ||||||||
Net income attributable to common shareholders | 74,477 | 88,411 | 192,714 | ||||||||
Diluted earnings per share: | |||||||||||
Net income attributable to common shareholders | 74,477 | 88,411 | 194,544 | ||||||||
Interest on Exchangeable Notes, net of income taxes | 8,719 | 8,468 | 8,456 | ||||||||
Net income attributable to common diluted shareholders | $ 83,196 | $ 96,879 | $ 203,000 | ||||||||
Weighted-average basic shares outstanding | 68,642 | 74,446 | 73,495 | ||||||||
Dilutive securities: | |||||||||||
Shares issuable under share-based compensation plan | 0 | 423 | 298 | ||||||||
Shares issuable pursuant to exchange of the Exchangeable Notes | 8,467 | 8,467 | 8,418 | ||||||||
Diluted weighted-average number of shares outstanding | 77,109 | 83,336 | 82,211 | ||||||||
Basic earnings per share | $ 0.46 | $ 0.52 | $ (0.08) | $ 0.20 | $ 0.21 | $ 0.51 | $ 0.37 | $ 0.09 | $ 1.09 | $ 1.19 | $ 2.62 |
Diluted earnings per share | $ 0.44 | $ 0.49 | $ (0.08) | $ 0.20 | $ 0.21 | $ 0.49 | $ 0.36 | $ 0.09 | $ 1.08 | $ 1.16 | $ 2.47 |
Earnings Per Share - Summary 94
Earnings Per Share - Summary of Potentially Dilutive Shares Excluded from Computation of Diluted Earnings Per Share (Detail) - shares shares in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
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 | 701 | 369 | 371 |
Loan Sales and Variable Inter95
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 | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Cash flows: | |||
Proceeds from sales | $ 23,525,952 | $ 14,206,816 | $ 11,703,015 |
Mortgage loan servicing fees received | 125,961 | 97,633 | $ 70,294 |
UPB of mortgage loans outstanding | 56,303,664 | 42,300,338 | |
Delinquent mortgage loans: | |||
30-89 days delinquent | 262,467 | 175,599 | |
90 or more days delinquent: | |||
Not in foreclosure or bankruptcy | 53,200 | 38,669 | |
In foreclosure or bankruptcy | $ 61,537 | $ 31,386 |
Loan Sales and Variable Inter96
Loan Sales and Variable Interest Entities - Summary of Credit Risk Transfer Agreements (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
During the year: | |||
Deposits of cash securing CRT Agreements | $ 306,507 | $ 147,446 | $ 0 |
Carrying value of CRT Agreements: | |||
Deposits securing credit risk transfer agreements | 450,059 | 147,000 | |
Interest-only security payable at fair value | 4,114 | 0 | |
Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member] | Credit Risk Transfer Agreements [Member] | |||
During the year: | |||
UPB of mortgage loans sold under CRT Agreements | 11,190,933 | 4,602,507 | |
Deposits of cash securing CRT Agreements | 306,507 | 147,446 | |
Interest earned on Deposits securing CRT Agreements | 930 | 0 | |
Gains recognized on CRT Agreements included in Net gain (loss) on investments | |||
Realized | 21,298 | 1,831 | |
Resulting from valuation changes | 15,316 | (1,238) | |
Gains (losses) recognized on gross derivative related to credit risk transactions | 36,614 | 593 | |
Change in fair value of interest-only security payable at fair value | (4,114) | 0 | |
Gains (losses) recognized on net derivative related to credit risk transactions | 32,500 | 593 | |
Payments made to settle losses | 90 | 0 | |
UPB of mortgage loans subject to credit guarantee obligations | 14,379,850 | 4,546,265 | |
Delinquency status (in UPB): | |||
Current—89 days delinquent | 14,372,247 | 4,546,265 | |
90 or more days delinquent | 5,711 | 0 | |
Foreclosure | 1,892 | 0 | |
Carrying value of CRT Agreements: | |||
Deposits securing credit risk transfer agreements | 450,059 | 147,000 | |
Interest-only security payable at fair value | 4,114 | 0 | |
Commitments to fund Deposits securing credit risk transfer agreements | 92,109 | 0 | |
Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member] | Credit Risk Transfer Agreements [Member] | Derivative Assets [Member] | |||
Carrying value of CRT Agreements: | |||
Derivative assets | $ 15,610 | $ 593 |
Loan Sales and Variable Inter97
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 | Dec. 31, 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 | $ 8.9 |
Netting of Financial Instrume98
Netting of Financial Instruments - Summary of Offsetting of Derivative Assets (Detail) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | $ 71,093 | $ 13,385 |
Gross amounts offset in the consolidated balance sheet | (37,384) | (3,300) |
Net amounts of assets presented in the consolidated balance sheet | 33,709 | 10,085 |
Net amounts of assets presented in the consolidated balance sheet | (37,384) | (3,300) |
CRT Agreements [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 15,610 | 593 |
Net amounts of assets presented in the consolidated balance sheet | 15,610 | 0 |
Interest Rate Lock Commitments [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 7,069 | 4,983 |
Net amounts of assets presented in the consolidated balance sheet | 7,069 | 4,983 |
Forward Purchase Contracts [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 30,879 | 2,444 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 30,879 | 2,444 |
Forward Sales Contracts [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 13,164 | 2,604 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 13,164 | 2,604 |
Derivatives Not Subject To Master Netting Adjustment [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 22,679 | 5,576 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 22,679 | 5,576 |
Derivatives Not Subject To Master Netting Adjustment [Member] | CRT Agreements [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 15,610 | 593 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 15,610 | 593 |
Derivatives Not Subject To Master Netting Adjustment [Member] | Interest Rate Lock Commitments [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 7,069 | 4,983 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 7,069 | 4,983 |
MBS Put Options [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 1,697 | 93 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 1,697 | 93 |
MBS Call Options [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 142 | 0 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 142 | 0 |
Put Options on Interest Rate Futures [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 2,469 | 1,512 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 2,469 | 1,512 |
Call Options on Interest Rate Futures [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 63 | 1,156 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 63 | 1,156 |
Netting [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 0 | 0 |
Gross amounts offset in the consolidated balance sheet | (37,384) | (3,300) |
Net amounts of assets presented in the consolidated balance sheet | (37,384) | (3,300) |
Derivatives Subject to Master Netting Arrangements [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 48,414 | 7,809 |
Gross amounts offset in the consolidated balance sheet | (37,384) | (3,300) |
Net amounts of assets presented in the consolidated balance sheet | $ 11,030 | $ 4,509 |
Netting of Financial Instrume99
Netting of Financial Instruments - Summary of Derivative Assets and Collateral Held by Counterparty (Detail) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | $ 33,709 | $ 10,085 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 33,709 | 10,085 |
CRT Agreements [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | 15,610 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 15,610 | 0 |
Interest Rate Lock Commitments [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | 7,069 | 4,983 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 7,069 | 4,983 |
Bank of America, N.A. [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | 1,881 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 1,881 | 0 |
RJ O'Brien & Associates, LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | 1,531 | 1,672 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 1,531 | 1,672 |
Royal Bank of Canada [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | 1,194 | 400 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 1,194 | 400 |
Goldman Sachs [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | 1,164 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 1,164 | 0 |
Jefferies Group, LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | 967 | 541 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 967 | 541 |
Barclays Capital [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | 855 | 796 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 855 | 796 |
Wells Fargo Bank, N.A. [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | 638 | 99 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 638 | 99 |
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 |
Other [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the consolidated balance sheet | 2,800 | 1,130 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | $ 2,800 | $ 1,130 |
Netting of Financial Instrum100
Netting of Financial Instruments - Schedule of Offsetting of Derivative Liabilities and Financial Liabilities (Detail) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | $ 3,812,886 | $ 3,135,915 |
Gross amounts offset in the consolidated balance sheet | (19,312) | (3,978) |
Net amounts of liabilities presented in the consolidated balance sheet | 3,793,574 | 3,131,937 |
Unpaid Principal Balance [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 3,784,685 | 3,130,328 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 3,784,685 | 3,130,328 |
Interest Rate Lock Commitments [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 3,292 | 337 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 3,292 | 337 |
Forward Purchase Contracts [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 7,619 | 3,774 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 7,619 | 3,774 |
Forward Sales Contracts [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 17,974 | 2,680 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 17,974 | 2,680 |
Derivatives Not Subject To Master Netting Adjustment [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 3,292 | 337 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 3,292 | 337 |
Put Options on Interest Rate Futures [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 0 | 39 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 0 | 39 |
Call Options on Interest Rate Futures [Member] | ||
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 | (19,312) | (3,978) |
Net amounts of liabilities presented in the consolidated balance sheet | (19,312) | (3,978) |
Derivatives Subject to Master Netting Arrangements [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 25,593 | 6,798 |
Gross amounts offset in the consolidated balance sheet | (19,312) | (3,978) |
Net amounts of liabilities presented in the consolidated balance sheet | 6,281 | 2,820 |
Derivative Liabilities Before Netting [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 28,885 | 7,135 |
Gross amounts offset in the consolidated balance sheet | (19,312) | (3,978) |
Net amounts of liabilities presented in the consolidated balance sheet | 9,573 | 3,157 |
Unamortized Debt Issuance Costs [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | (684) | (1,548) |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | (684) | (1,548) |
Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 3,784,001 | 3,128,780 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | $ 3,784,001 | $ 3,128,780 |
Netting of Financial Instrum101
Netting of Financial Instruments - Summary of Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty (Detail) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | $ 3,793,574 | $ 3,131,937 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (3,784,001) | (3,128,780) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 9,573 | 3,157 |
Interest Rate Lock Commitments [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 3,292 | 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 | 3,292 | 337 |
Credit Suisse First Boston Mortgage Capital LLC [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 1,181,441 | 893,947 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (1,181,235) | (893,854) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 206 | 93 |
Bank of America, N.A. [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 847,683 | 538,755 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (847,683) | (538,515) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 240 |
Citibank [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 575,092 | 817,089 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (573,589) | (816,699) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 1,503 | 390 |
JPMorgan Chase & Co. [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 544,009 | 467,427 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (542,542) | (467,145) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 1,467 | 282 |
Daiwa Capital Markets [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 177,316 | 165,480 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (177,077) | (165,480) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 239 | 0 |
Morgan Stanley Bank, N.A. [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 143,951 | 214,086 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (142,055) | (214,086) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 1,896 | 0 |
Wells Fargo [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 116,648 | 0 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (116,648) | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Barclays Capital [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 92,796 | 24,346 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (92,796) | (24,346) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Royal Bank of Canada [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 63,926 | 0 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (63,926) | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
BNP Paribas [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 47,785 | 10,203 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (47,134) | (10,203) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 651 | 0 |
Other [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 319 | 1,815 |
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 | 319 | 1,815 |
Unamortized Debt Issuance Costs [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | (684) | (1,548) |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 684 | 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 | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Mortgage Servicing Rights [Line Items] | ||
Initial interest rates | More than 4.5%. | |
Interest rate | 4.50% | |
Mortgage loans description | Note interest rate pools of 50 basis points | |
Basis point for mortgage loan | 0.50% | |
Fair value of exchangeable senior notes | $ 240.7 | $ 230 |
Minimum [Member] | ||
Mortgage Servicing Rights [Line Items] | ||
Fixed-rate mortgage loans | 3.00% | |
Maximum [Member] | ||
Mortgage Servicing Rights [Line Items] | ||
Fixed-rate mortgage loans | 4.50% | |
Non-Commercial Real Estate Secured Mortgage Loans [Member] | ||
Mortgage Servicing Rights [Line Items] | ||
Initial interest rates | More than 4.5% | |
Non-Commercial Real Estate Secured Mortgage Loans [Member] | Minimum [Member] | ||
Mortgage Servicing Rights [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 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 |
Assets: | ||||||||||
Short-term investments | $ 122,088 | $ 33,353 | $ 16,877 | $ 47,500 | $ 41,865 | $ 31,518 | $ 32,417 | $ 44,949 | ||
Mortgage-backed securities at fair value | 865,061 | 708,862 | 531,612 | 364,439 | 322,473 | 315,599 | 287,626 | 316,292 | ||
Mortgage loans acquired for sale at fair value | 1,673,112 | 1,283,795 | ||||||||
Excess servicing spread purchased from PFSI | 288,669 | 280,367 | 294,551 | 321,976 | 412,425 | 418,573 | 359,102 | 222,309 | ||
Derivative assets: | ||||||||||
Derivative assets | 71,093 | 13,385 | ||||||||
Derivative assets, Netting | (37,384) | (3,300) | ||||||||
Net amounts of assets presented in the consolidated balance sheet | 33,709 | 10,085 | ||||||||
Mortgage servicing rights at fair value | 64,136 | 66,584 | $ 57,358 | $ 26,452 | ||||||
Liabilities: | ||||||||||
Asset-backed financing of a VIE at fair value | 353,898 | $ 384,407 | $ 325,939 | $ 344,693 | 247,690 | $ 234,287 | $ 151,489 | $ 162,222 | ||
Interest-only security payable at fair value | 4,114 | 0 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 28,885 | 7,135 | ||||||||
Derivative liabilities, Netting | (19,312) | (3,978) | ||||||||
Total derivative liabilities after netting | 9,573 | 3,157 | ||||||||
CRT Agreements [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 15,610 | 593 | ||||||||
Net amounts of assets presented in the consolidated balance sheet | 15,610 | 0 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 0 | 0 | ||||||||
Interest Rate Lock Commitments [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 7,069 | 4,983 | ||||||||
Net amounts of assets presented in the consolidated balance sheet | 7,069 | 4,983 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 3,292 | 337 | ||||||||
Forward Sales Contracts [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 13,164 | 2,604 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Net amounts of assets presented in the consolidated balance sheet | 13,164 | 2,604 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 17,974 | 2,680 | ||||||||
Forward Purchase Contracts [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 30,879 | 2,444 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Net amounts of assets presented in the consolidated balance sheet | 30,879 | 2,444 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 7,619 | 3,774 | ||||||||
MBS Put Options [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 1,697 | 93 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Net amounts of assets presented in the consolidated balance sheet | 1,697 | 93 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 0 | 0 | ||||||||
MBS Call Options [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 142 | 0 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Net amounts of assets presented in the consolidated balance sheet | 142 | 0 | ||||||||
Call Options on Interest Rate Futures [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 63 | 1,156 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Net amounts of assets presented in the consolidated balance sheet | 63 | 1,156 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 0 | 305 | ||||||||
Put Options on Interest Rate Futures [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 2,469 | 1,512 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Net amounts of assets presented in the consolidated balance sheet | 2,469 | 1,512 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 0 | 39 | ||||||||
Recurring [Member] | ||||||||||
Assets: | ||||||||||
Short-term investments | 122,088 | 41,865 | ||||||||
Mortgage-backed securities at fair value | 865,061 | 322,473 | ||||||||
Mortgage loans acquired for sale at fair value | 1,673,112 | 1,283,795 | ||||||||
Mortgage loans at fair value | 1,721,741 | 2,555,788 | ||||||||
Excess servicing spread purchased from PFSI | 288,669 | 412,425 | ||||||||
Derivative assets: | ||||||||||
Derivative assets | 71,093 | 13,385 | ||||||||
Derivative assets, Netting | (37,384) | (3,300) | ||||||||
Net amounts of assets presented in the consolidated balance sheet | 33,709 | 10,085 | ||||||||
Mortgage servicing rights at fair value | 64,136 | 66,584 | ||||||||
Total Assets | 4,768,516 | 4,693,015 | ||||||||
Liabilities: | ||||||||||
Asset-backed financing of a VIE at fair value | 353,898 | 247,690 | ||||||||
Interest-only security payable at fair value | 4,114 | |||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 28,885 | 7,135 | ||||||||
Derivative liabilities, Netting | (19,312) | (3,978) | ||||||||
Total derivative liabilities after netting | 9,573 | 3,157 | ||||||||
Total liabilities | 367,585 | 4,943,862 | ||||||||
Recurring [Member] | CRT Agreements [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 15,610 | 593 | ||||||||
Recurring [Member] | Level 1 [Member] | ||||||||||
Assets: | ||||||||||
Short-term investments | 122,088 | 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 | 2,532 | 2,668 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Net amounts of assets presented in the consolidated balance sheet | 2,532 | 2,668 | ||||||||
Mortgage servicing rights at fair value | 0 | 0 | ||||||||
Total Assets | 124,620 | 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 | 0 | 344 | ||||||||
Derivative liabilities, Netting | 0 | 0 | ||||||||
Total derivative liabilities after netting | 0 | 344 | ||||||||
Total liabilities | 0 | 44,877 | ||||||||
Recurring [Member] | Level 1 [Member] | CRT Agreements [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 0 | 0 | ||||||||
Recurring [Member] | Level 2 [Member] | ||||||||||
Assets: | ||||||||||
Short-term investments | 0 | 0 | ||||||||
Mortgage-backed securities at fair value | 865,061 | 322,473 | ||||||||
Mortgage loans acquired for sale at fair value | 1,673,112 | 1,283,795 | ||||||||
Mortgage loans at fair value | 367,169 | 455,394 | ||||||||
Excess servicing spread purchased from PFSI | 0 | 0 | ||||||||
Derivative assets: | ||||||||||
Derivative assets | 45,882 | 5,141 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Net amounts of assets presented in the consolidated balance sheet | 45,882 | 5,141 | ||||||||
Mortgage servicing rights at fair value | 0 | 0 | ||||||||
Total Assets | 2,951,224 | 2,066,803 | ||||||||
Liabilities: | ||||||||||
Asset-backed financing of a VIE at fair value | 353,898 | 247,690 | ||||||||
Interest-only security payable at fair value | 0 | |||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 25,593 | 6,454 | ||||||||
Derivative liabilities, Netting | 0 | 0 | ||||||||
Total derivative liabilities after netting | 25,593 | 6,454 | ||||||||
Total liabilities | 379,491 | 2,320,947 | ||||||||
Recurring [Member] | Level 2 [Member] | CRT Agreements [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 0 | 0 | ||||||||
Recurring [Member] | Level 3 [Member] | ||||||||||
Assets: | ||||||||||
Short-term investments | 0 | 0 | ||||||||
Mortgage-backed securities at fair value | 0 | 0 | ||||||||
Mortgage loans acquired for sale at fair value | 0 | 0 | ||||||||
Mortgage loans at fair value | 1,354,572 | 2,100,394 | ||||||||
Excess servicing spread purchased from PFSI | 288,669 | 412,425 | ||||||||
Derivative assets: | ||||||||||
Derivative assets | 22,679 | 5,576 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Net amounts of assets presented in the consolidated balance sheet | 22,679 | 5,576 | ||||||||
Mortgage servicing rights at fair value | 64,136 | 66,584 | ||||||||
Total Assets | 1,730,056 | 2,584,979 | ||||||||
Liabilities: | ||||||||||
Asset-backed financing of a VIE at fair value | 0 | 0 | ||||||||
Interest-only security payable at fair value | 4,114 | |||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 3,292 | 337 | ||||||||
Derivative liabilities, Netting | 0 | 0 | ||||||||
Total derivative liabilities after netting | 3,292 | 337 | ||||||||
Total liabilities | 7,406 | 2,585,316 | ||||||||
Recurring [Member] | Level 3 [Member] | CRT Agreements [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 15,610 | 593 | ||||||||
Recurring [Member] | Interest Rate Lock Commitments [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 7,069 | 4,983 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 3,292 | 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 | 7,069 | 4,983 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 3,292 | 337 | ||||||||
Recurring [Member] | Forward Sales Contracts [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 13,164 | 2,604 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 17,974 | 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 | 13,164 | 2,604 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 17,974 | 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 | 30,879 | 2,444 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 7,619 | 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 | 30,879 | 2,444 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 7,619 | 3,774 | ||||||||
Recurring [Member] | Forward Purchase Contracts [Member] | Level 3 [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 0 | 0 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 0 | 0 | ||||||||
Recurring [Member] | MBS Put Options [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 1,697 | 93 | ||||||||
Recurring [Member] | MBS Put Options [Member] | Level 1 [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 0 | 0 | ||||||||
Recurring [Member] | MBS Put Options [Member] | Level 2 [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 1,697 | 93 | ||||||||
Recurring [Member] | MBS Put Options [Member] | Level 3 [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 0 | 0 | ||||||||
Recurring [Member] | MBS Call Options [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 142 | |||||||||
Recurring [Member] | MBS Call Options [Member] | Level 1 [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 0 | |||||||||
Recurring [Member] | MBS Call Options [Member] | Level 2 [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 142 | |||||||||
Recurring [Member] | MBS Call Options [Member] | Level 3 [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 0 | |||||||||
Recurring [Member] | Call Options on Interest Rate Futures [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 63 | 1,156 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 305 | |||||||||
Recurring [Member] | Call Options on Interest Rate Futures [Member] | Level 1 [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 63 | 1,156 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 305 | |||||||||
Recurring [Member] | Call Options on Interest Rate Futures [Member] | Level 2 [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 0 | 0 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 0 | |||||||||
Recurring [Member] | Call Options on Interest Rate Futures [Member] | Level 3 [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 0 | 0 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 0 | |||||||||
Recurring [Member] | Put Options on Interest Rate Futures [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 2,469 | 1,512 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 0 | 39 | ||||||||
Recurring [Member] | Put Options on Interest Rate Futures [Member] | Level 1 [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 2,469 | 1,512 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 0 | 39 | ||||||||
Recurring [Member] | Put Options on Interest Rate Futures [Member] | Level 2 [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 0 | 0 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 0 | 0 | ||||||||
Recurring [Member] | Put Options on Interest Rate Futures [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 | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Assets: | |||
Servicing received as proceeds from sales of mortgage loans | $ 7,337 | $ 13,963 | $ 47,693 |
Changes in fair value included in income arising from: | |||
Transfers of mortgage loans under forward purchase agreements to mortgage loans | 0 | 0 | 205,902 |
Recurring [Member] | |||
Assets: | |||
Beginning balance | 2,584,642 | 2,453,768 | 2,461,217 |
Purchases and issuances | 74,631 | 515,870 | 655,718 |
Repayments and sales | (755,132) | (297,163) | (618,395) |
Capitalization of interest | 107,421 | 83,119 | 80,142 |
ESS received pursuant to a recapture agreement with PFSI | 6,603 | 6,728 | 7,342 |
Interest rate lock commitments issued, net | 50,536 | 56,367 | |
Sales | 0 | ||
Servicing received as proceeds from sales of mortgage loans | 7,337 | 13,963 | 47,693 |
Proceeds from CRT Agreements | (21,298) | ||
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk | 26,910 | 42,267 | 36,600 |
Other factors | (14,602) | 15,766 | 150,900 |
Total | 12,308 | 58,033 | 187,500 |
Transfers of mortgage loans to REO and real estate held for investment | (201,043) | ||
Transfers of mortgage loans to REO | (285,331) | (344,733) | |
Transfers of mortgage loans at fair value from level 2 to level 3 | 23,859 | ||
Transfers of mortgage loans under forward purchase agreements to mortgage loans | 0 | ||
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements | (9,802) | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | (88,705) | (38,740) | (69,281) |
Ending balance | 1,726,764 | 2,584,642 | 2,453,768 |
Changes in fair value recognized during the period relating to assets | (25,727) | 72,224 | 95,075 |
Recurring [Member] | CRT Agreements [Member] | |||
Assets: | |||
Beginning balance | 593 | 0 | |
Purchases and issuances | 0 | 0 | |
Repayments and sales | 0 | 0 | |
Capitalization of interest | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | |
Interest rate lock commitments issued, net | 0 | ||
Servicing received as proceeds from sales of mortgage loans | 0 | 0 | |
Proceeds from CRT Agreements | (21,298) | ||
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk | 0 | 0 | |
Other factors | 36,315 | 593 | |
Total | 36,315 | 593 | |
Transfers of mortgage loans to REO and real estate held for investment | 0 | ||
Transfers of mortgage loans to REO | 0 | ||
Transfers of mortgage loans at fair value from level 2 to level 3 | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | |
Ending balance | 15,610 | 593 | 0 |
Changes in fair value recognized during the period relating to assets | 15,610 | 593 | |
Recurring [Member] | Interest Rate Lock Commitments [Member] | |||
Assets: | |||
Beginning balance | 4,646 | 5,661 | 1,249 |
Purchases and issuances | 71,892 | 0 | 0 |
Repayments and sales | 0 | 0 | 0 |
Capitalization of interest | 0 | 0 | 0 |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 |
Interest rate lock commitments issued, net | 50,536 | 56,367 | |
Sales | 0 | ||
Servicing received as proceeds from sales of mortgage loans | 0 | 0 | 0 |
Proceeds from CRT Agreements | 0 | ||
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | 15,944 | (12,811) | 17,326 |
Total | 15,944 | (12,811) | 17,326 |
Transfers of mortgage loans to REO and real estate held for investment | 0 | ||
Transfers of mortgage loans to REO | 0 | 0 | |
Transfers of mortgage loans at fair value from level 2 to level 3 | 0 | ||
Transfers of mortgage loans under forward purchase agreements to mortgage loans | 0 | ||
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | (88,705) | (38,740) | (69,281) |
Ending balance | 3,777 | 4,646 | 5,661 |
Changes in fair value recognized during the period relating to assets | 3,777 | 4,646 | 5,661 |
Recurring [Member] | Interest-only security payable [Member] | |||
Liabilities: | |||
Beginning balance | 0 | ||
Purchases and issuances | 0 | ||
Repayments and sales | 0 | ||
Capitalization of interest | 0 | ||
Changes in fair value included in income arising from: | |||
Changes in instrument- specific credit risk | 0 | ||
Other factors | 4,114 | ||
Total | 4,114 | ||
Ending balance | 4,114 | 0 | |
Changes in fair value recognized during the period relating to assets | 4,114 | ||
Recurring [Member] | Mortgage loans at fair value [Member] | |||
Assets: | |||
Beginning balance | 2,100,394 | 2,199,583 | 2,076,665 |
Purchases and issuances | 0 | 241,981 | 554,604 |
Repayments and sales | (626,095) | (218,585) | (572,586) |
Capitalization of interest | 84,820 | 57,754 | 65,050 |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 |
Interest rate lock commitments issued, net | 0 | 0 | |
Sales | 0 | ||
Servicing received as proceeds from sales of mortgage loans | 0 | 0 | 0 |
Proceeds from CRT Agreements | 0 | ||
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk | 26,910 | 42,267 | 34,785 |
Other factors | (30,414) | 38,866 | 179,896 |
Total | (3,504) | 81,133 | 214,681 |
Transfers of mortgage loans to REO and real estate held for investment | (201,043) | ||
Transfers of mortgage loans to REO | (285,331) | (344,733) | |
Transfers of mortgage loans at fair value from level 2 to level 3 | 23,859 | ||
Transfers of mortgage loans under forward purchase agreements to mortgage loans | 205,902 | ||
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | 0 |
Ending balance | 1,354,572 | 2,100,394 | 2,199,583 |
Changes in fair value recognized during the period relating to assets | (15,877) | 77,867 | 134,724 |
Recurring [Member] | Excess servicing spread [Member] | |||
Assets: | |||
Beginning balance | 412,425 | 191,166 | 138,723 |
Purchases and issuances | 0 | 271,554 | 99,728 |
Repayments and sales | (129,037) | (78,578) | (39,257) |
Capitalization of interest | 22,601 | 25,365 | 13,292 |
ESS received pursuant to a recapture agreement with PFSI | 6,603 | 6,728 | 7,342 |
Interest rate lock commitments issued, net | 0 | 0 | |
Sales | 0 | ||
Servicing received as proceeds from sales of mortgage loans | 0 | 0 | 0 |
Proceeds from CRT Agreements | 0 | ||
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | (23,923) | (3,810) | (28,662) |
Total | (23,923) | (3,810) | (28,662) |
Transfers of mortgage loans to REO and real estate held for investment | 0 | ||
Transfers of mortgage loans to REO | 0 | 0 | |
Transfers of mortgage loans at fair value from level 2 to level 3 | 0 | ||
Transfers of mortgage loans under forward purchase agreements to mortgage loans | 0 | ||
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | 0 |
Ending balance | 288,669 | 412,425 | 191,166 |
Changes in fair value recognized during the period relating to assets | (16,713) | (3,810) | (28,662) |
Recurring [Member] | Mortgage servicing rights [Member] | |||
Assets: | |||
Beginning balance | 66,584 | 57,358 | 26,452 |
Purchases and issuances | 2,739 | 2,335 | 0 |
Repayments and sales | 0 | 0 | (139) |
Capitalization of interest | 0 | 0 | 0 |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 |
Interest rate lock commitments issued, net | 0 | 0 | |
Sales | 0 | ||
Servicing received as proceeds from sales of mortgage loans | 7,337 | 13,963 | 47,693 |
Proceeds from CRT Agreements | 0 | ||
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | (12,524) | (7,072) | (16,648) |
Total | (12,524) | (7,072) | (16,648) |
Transfers of mortgage loans to REO and real estate held for investment | 0 | ||
Transfers of mortgage loans to REO | 0 | 0 | |
Transfers of mortgage loans at fair value from level 2 to level 3 | 0 | ||
Transfers of mortgage loans under forward purchase agreements to mortgage loans | 0 | ||
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | 0 |
Ending balance | 64,136 | 66,584 | 57,358 |
Changes in fair value recognized during the period relating to assets | $ (12,524) | (7,072) | (16,648) |
Recurring [Member] | Mortgage loans under forward purchase agreements [Member] | |||
Assets: | |||
Beginning balance | $ 0 | 218,128 | |
Purchases and issuances | 1,386 | ||
Repayments and sales | (6,413) | ||
Capitalization of interest | 1,800 | ||
ESS received pursuant to a recapture agreement with PFSI | 0 | ||
Interest rate lock commitments issued, net | 0 | ||
Sales | 0 | ||
Servicing received as proceeds from sales of mortgage loans | 0 | ||
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk | 1,815 | ||
Other factors | (1,012) | ||
Total | 803 | ||
Transfers of mortgage loans to REO | 0 | ||
Transfers of mortgage loans under forward purchase agreements to mortgage loans | (205,902) | ||
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements | (9,802) | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | ||
Ending balance | 0 | ||
Changes in fair value recognized during the period relating to assets | $ 0 |
Fair Value - Fair Values and Re
Fair Value - Fair Values and Related Principal Amounts Due upon Maturity of Mortgage Loans Accounted for Under Fair Value Option (Detail) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent | ||
Fair value option loans held as assets, Total | $ 1,721,741 | $ 2,555,788 |
Mortgage loans at fair value | 1,721,741 | 2,555,788 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Unpaid principal balance of loans outstanding at period-end | 2,208,183 | 3,292,043 |
Unpaid principal balance | 2,208,183 | 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 | (486,442) | (736,255) |
Mortgage loans acquired for sale at fair value [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Fair value option loans held as assets ninety days or less past due | 1,672,181 | 1,283,275 |
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent | ||
Not in foreclosure | 145 | 304 |
In foreclosure | 786 | 216 |
Fair value option loans held as assets, Total | 931 | 520 |
Mortgage loans at fair value | 1,673,112 | 1,283,795 |
Mortgage loans on real estate principal amount of delinquent loans less than ninety days | 1,633,569 | 1,235,433 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Not in foreclosure | 189 | 333 |
In foreclosure | 717 | 253 |
Unpaid principal balance of loans outstanding at period-end | 1,634,475 | 1,236,019 |
Fair value option loans held as assets ninety days or less past due aggregate difference | 38,612 | 47,842 |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference | ||
Not in foreclosure | (44) | (29) |
In foreclosure | 69 | (37) |
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | 38,637 | 47,776 |
Mortgage loans acquired for sale at fair value [Member] | Nonperforming mortgage loans [Member] | ||
Mortgage loans on real estate principal amount of delinquent loans | ||
Unpaid principal balance of loans outstanding at period-end | 906 | 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 | 25 | (66) |
Mortgage Loans at Fair Value Held in Consolidated VIE [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Fair value option loans held as assets ninety days or less past due | 367,169 | 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 | 367,169 | 455,394 |
Mortgage loans on real estate principal amount of delinquent loans less than ninety days | 368,524 | 454,935 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Not in foreclosure | 0 | 0 |
In foreclosure | 0 | 0 |
Unpaid principal balance | 368,524 | 454,935 |
Fair value option loans held as assets ninety days or less past due aggregate difference | (1,355) | 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 | (1,355) | 459 |
Mortgage Loans at Fair Value Held in Consolidated VIE [Member] | Nonperforming mortgage loans [Member] | ||
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent | ||
Mortgage loans at fair value | 0 | 0 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Unpaid principal balance | 0 | 0 |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference | ||
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | 0 | 0 |
Mortgage Loans and Mortgage Loans under Forward Purchase Agreements at Fair Value [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Fair value option loans held as assets ninety days or less past due | 611,584 | 877,438 |
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent | ||
Not in foreclosure | 305,431 | 459,060 |
In foreclosure | 437,557 | 763,896 |
Mortgage loans at fair value | 1,354,572 | 2,100,394 |
Mortgage loans on real estate principal amount of delinquent loans less than ninety days | 818,665 | 1,134,560 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Not in foreclosure | 425,460 | 640,343 |
In foreclosure | 595,534 | 1,062,205 |
Unpaid principal balance | 1,839,659 | 2,837,108 |
Fair value option loans held as assets ninety days or less past due aggregate difference | (207,081) | (257,122) |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference | ||
Not in foreclosure | (120,029) | (181,283) |
In foreclosure | (157,977) | (298,309) |
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | (485,087) | (736,714) |
Mortgage Loans and Mortgage Loans under Forward Purchase Agreements at Fair Value [Member] | Nonperforming mortgage loans [Member] | ||
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent | ||
Mortgage loans at fair value | 742,988 | 1,222,956 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Unpaid principal balance | 1,020,994 | 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 | $ (278,006) | $ (479,592) |
Fair Value - Summary of Chan106
Fair Value - Summary of Changes in Fair Value Included in Current Period Income (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Net gain on mortgage loans acquired for sale | $ 106,442 | $ 51,016 | $ 35,647 |
Net gain on investments | 7,175 | 53,985 | 201,809 |
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 |
Net interest income | (669) | (499) | (617) |
Net mortgage loan servicing fees | 0 | 0 | 0 |
Net gain on investments | 3,238 | 4,260 | (8,459) |
Total | 2,569 | 3,761 | (9,076) |
Liabilities, Total [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 |
Net interest income | (669) | (499) | (617) |
Net mortgage loan servicing fees | 0 | 0 | 0 |
Net gain on investments | 3,238 | 4,260 | (8,459) |
Total | 2,569 | 3,761 | (9,076) |
Short-term Investments [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 |
Net interest income | 0 | 0 | 0 |
Net mortgage loan servicing fees | 0 | 0 | 0 |
Net gain on investments | 0 | 0 | 0 |
Total | 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 |
Net interest income | (2,391) | (35) | 357 |
Net mortgage loan servicing fees | 0 | 0 | 0 |
Net gain on investments | (13,168) | (5,224) | 10,416 |
Total | (15,559) | (5,259) | 10,773 |
Mortgage loans acquired for sale at fair value [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Net gain on mortgage loans acquired for sale | 55,350 | 71,880 | 100,213 |
Net interest income | 0 | 0 | 0 |
Net mortgage loan servicing fees | 0 | 0 | 0 |
Net gain on investments | 0 | 0 | 0 |
Total | 55,350 | 71,880 | 100,213 |
Mortgage loans at fair value [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 |
Net interest income | 1,294 | 1,253 | 1,848 |
Net mortgage loan servicing fees | 0 | 0 | 0 |
Net gain on investments | (5,252) | 70,470 | 242,449 |
Total | (3,958) | 71,723 | 244,297 |
Mortgage loans under forward purchase agreements at fair value [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Net gain on investments | 803 | ||
Total | 803 | ||
Excess servicing spread [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 |
Net interest income | 0 | 0 | 0 |
Net mortgage loan servicing fees | 0 | 0 | 0 |
Net gain on investments | (23,923) | 3,239 | (20,834) |
Total | (23,923) | 3,239 | (20,834) |
MSRs at fair value [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 |
Net interest income | 0 | 0 | 0 |
Net mortgage loan servicing fees | (12,524) | (7,072) | (16,648) |
Net gain on investments | 0 | 0 | 0 |
Total | (12,524) | (7,072) | (16,648) |
Assets, Total [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Net gain on mortgage loans acquired for sale | 55,350 | 71,880 | 100,213 |
Net interest income | (1,097) | 1,218 | 2,205 |
Net mortgage loan servicing fees | (12,524) | (7,072) | (16,648) |
Net gain on investments | (42,343) | 68,485 | 232,834 |
Total | $ (614) | $ 134,511 | $ 318,604 |
Fair Value - Summary of Fina107
Fair Value - Summary of Financial Statement Items Re-measured at Fair Value on Nonrecurring Basis (Detail) - Nonrecurring [Member] - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate acquired in settlement of loans | $ 125,683 | $ 173,662 |
MSRs at lower of amortized cost or fair value | 173,765 | 145,187 |
Total Assets | 299,448 | 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 | 125,683 | 173,662 |
MSRs at lower of amortized cost or fair value | 173,765 | 145,187 |
Total Assets | $ 299,448 | $ 318,849 |
Fair Value - Summary of Chan108
Fair Value - Summary of Changes in Fair Value Recognized in Assets that Measured at Fair Value on a Nonrecurring Basis (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
MSRs at lower of amortized cost or fair value | $ 2,728 | $ 3,229 | $ 5,138 |
Nonrecurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Real estate asset acquired in settlement of loans | (17,561) | (24,546) | (24,896) |
MSRs at lower of amortized cost or fair value | (2,728) | (3,229) | (5,138) |
Total assets, gains (losses) recognized | $ (20,289) | $ (27,775) | $ (30,034) |
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] | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Discount rate | 2.60% | 2.50% |
Twelve-month projected housing price index change | 2.50% | 1.50% |
Prepayment speed | 0.10% | 0.10% |
Total prepayment speed | 2.90% | 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 | 4.80% | 5.10% |
Prepayment speed | 10.90% | 9.60% |
Total prepayment speed | 24.60% | 27.20% |
Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Discount rate | 7.10% | 7.10% |
Twelve-month projected housing price index change | 3.70% | 3.60% |
Prepayment speed | 4.00% | 3.70% |
Total prepayment speed | 17.70% | 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 | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
UPB of underlying mortgage loans (in thousands) | $ 752,850 | $ 1,430,795 | $ 4,573,369 |
Average servicing fee rate (in basis points) | 0.26% | 0.25% | 0.25% |
Weighted Average [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Pricing spread | 7.30% | 8.50% | 9.10% |
Annual total prepayment speed | 10.70% | 13.20% | |
Minimum [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Pricing spread | 7.20% | 7.20% | 8.50% |
Annual total prepayment speed | 6.80% | 9.20% | |
Maximum [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Pricing spread | 7.60% | 16.30% | 14.30% |
Annual total prepayment speed | 24.20% | 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) | $ 32,376,359 | $ 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 | 4.40% | 5.70% | |
Life (in years) | 6 years 9 months 18 days | 6 years 10 months 24 days | |
Annual total prepayment speed | 10.50% | 9.60% | |
Excess servicing spread [Member] | Minimum [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Pricing spread | 3.80% | 4.80% | |
Life (in years) | 1 year 4 months 24 days | 1 year 4 months 24 days | |
Annual total prepayment speed | 7.00% | 5.20% | |
Excess servicing spread [Member] | Maximum [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Pricing spread | 4.80% | 6.50% | |
Life (in years) | 8 years 7 months 6 days | 9 years | |
Annual total prepayment speed | 41.30% | 52.40% |
Fair Value - Quantitative Su111
Fair Value - Quantitative Summary of Key Unobservable Inputs Used in Valuation of Interest Rate Lock Commitments (Detail) | Dec. 31, 2016 | Dec. 31, 2015 |
Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Pull-through rate | 60.70% | 60.20% |
Servicing fee multiple | 2.60% | 2.10% |
Percentage of UPB | 0.70% | 0.50% |
Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Pull-through rate | 100.00% | 100.00% |
Servicing fee multiple | 6.00% | 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 | 88.50% | 92.40% |
Servicing fee multiple | 5.00% | 4.90% |
Percentage of UPB | 1.30% | 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 ($) | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fair value, MSR recognized | $ 7,337,000 | $ 13,963,000 | $ 47,693,000 |
Fair value, UPB of underlying mortgage loans | $ 752,850,000 | $ 1,430,795,000 | $ 4,573,369,000 |
Fair value, Weighted-average annual servicing fee rate (in basis points) | 0.26% | 0.25% | 0.25% |
Amortized cost, MSR recognized | $ 267,755,000 | $ 140,511,000 | $ 73,640,000 |
Amortized cost, UPB of underlying mortgage loans | $ 22,068,577,000 | $ 12,195,574,000 | $ 6,800,637,000 |
Amortized cost, Weighted-average annual servicing fee rate (in basis points) | 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 | 7.20% | 7.20% | 8.50% |
Fair value inputs, Weighted average life during period | 2 years 2 months 12 days | 2 years 2 months 12 days | 1 year 7 months 6 days |
Fair value inputs, Annual prepayment speed during period | 7.20% | 6.80% | 8.00% |
Fair value inputs, Annual per loan cost of servicing during period | $ 68 | $ 62 | $ 59 |
Amortized cost, Pricing spread during period | 7.20% | 6.50% | 6.30% |
Amortized cost, Life (in years) | 1 year 4 months 24 days | 1 year 3 months 18 days | 1 year 1 month 6 days |
Amortized cost, Annual prepayment speed during period | 3.30% | 3.50% | 7.60% |
Amortized cost, Annual per loan cost of servicing during period | $ 68 | $ 62 | $ 59 |
Maximum [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fair value inputs, Pricing spread during period | 7.60% | 16.30% | 14.30% |
Fair value inputs, Weighted average life during period | 9 years 4 months 24 days | 9 years 4 months 24 days | 7 years 3 months 18 days |
Fair value inputs, Annual prepayment speed during period | 38.00% | 34.20% | 42.70% |
Fair value inputs, Annual per loan cost of servicing during period | $ 82 | $ 68 | $ 140 |
Amortized cost, Pricing spread during period | 12.60% | 17.50% | 17.50% |
Amortized cost, Life (in years) | 12 years 3 months 18 days | 12 years | 7 years 3 months 18 days |
Amortized cost, Annual prepayment speed during period | 49.20% | 51.00% | 56.40% |
Amortized cost, Annual per loan cost of servicing during period | $ 79 | $ 134 | $ 140 |
Weighted Average [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fair value inputs, Pricing spread during period | 7.30% | 8.50% | 9.10% |
Fair value inputs, Weighted average life during period | 5 years 10 months 24 days | 6 years 4 months 24 days | 7 years 1 month 6 days |
Fair value inputs, Annual prepayment speed during period | 14.50% | 12.30% | 9.70% |
Fair value inputs, Annual per loan cost of servicing during period | $ 73 | $ 65 | $ 68 |
Amortized cost, Pricing spread during period | 7.50% | 7.90% | 8.60% |
Amortized cost, Life (in years) | 8 years | 6 years 10 months 24 days | 6 years 4 months 24 days |
Amortized cost, Annual prepayment speed during period | 8.30% | 9.00% | 9.60% |
Amortized cost, Annual per loan cost of servicing during period | $ 77 | $ 64 | $ 69 |
Fair Value - Quantitative Su113
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 ($) | 12 Months Ended | |||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Balance at end of period | $ 64,136,000 | $ 66,584,000 | $ 57,358,000 | $ 26,452,000 |
UPB of underlying mortgage loans, Fair Value | $ 5,763,957,000 | $ 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 | $ 592,431,000 | $ 393,157,000 | $ 300,422,000 | |
UPB of underlying mortgage loans, Amortized cost | $ 50,539,707,000 | $ 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% | ||
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 | $ (979,000) | $ (944,000) | ||
Effect on value of percentage adverse change, Amortized cost | (10,018,000) | (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 | (1,929,000) | (1,862,000) | ||
Effect on value of percentage adverse change, Amortized cost | (19,738,000) | (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 | (3,748,000) | (3,621,000) | ||
Effect on value of percentage adverse change, Amortized cost | (38,330,000) | (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 | (1,379,000) | (1,793,000) | ||
Effect on value of percentage adverse change, Amortized cost | (9,436,000) | (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 | (2,704,000) | (3,502,000) | ||
Effect on value of percentage adverse change, Amortized cost | (18,578,000) | (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 | (5,202,000) | (6,692,000) | ||
Effect on value of percentage adverse change, Amortized cost | (36,037,000) | (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 | (555,000) | (470,000) | ||
Effect on value of percentage adverse change, Amortized cost | (4,650,000) | (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 | (1,110,000) | (940,000) | ||
Effect on value of percentage adverse change, Amortized cost | (9,300,000) | (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 | (2,220,000) | (1,880,000) | ||
Effect on value of percentage adverse change, Amortized cost | $ (18,600,000) | $ (10,968,000) | ||
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 | 6.80% | 9.20% | ||
Estimated fair value inputs, Annual per-loan cost of servicing | $ 77 | $ 68 | ||
Amortized cost, Pricing spread | 7.60% | 7.20% | ||
Amortized cost, Weighted average life (in years) | 3 years 1 month 6 days | 1 year 3 months 18 days | ||
Amortized cost, Prepayment speed | 6.70% | 8.10% | ||
Amortized cost, Annual per-loan cost of servicing | $ 78 | $ 68 | ||
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 | 24.20% | 32.50% | ||
Estimated fair value inputs, Annual per-loan cost of servicing | $ 79 | $ 68 | ||
Amortized cost, Pricing spread | 13.00% | 10.70% | ||
Amortized cost, Weighted average life (in years) | 8 years 6 months | 7 years 8 months 12 days | ||
Amortized cost, Prepayment speed | 25.70% | 51.50% | ||
Amortized cost, Annual per-loan cost of servicing | $ 79 | $ 68 | ||
Maximum [Member] | Mortgage service rights [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Estimated fair value inputs, Weighted average life (in years) | 7 years | 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 | 10.70% | 13.20% | ||
Estimated fair value inputs, Annual per-loan cost of servicing | $ 79 | $ 68 | ||
Amortized cost, Pricing spread | 7.60% | 7.30% | ||
Amortized cost, Weighted average life (in years) | 8 years | 7 years 2 months 12 days | ||
Amortized cost, Prepayment speed | 7.70% | 9.60% | ||
Amortized cost, Annual per-loan cost of servicing | $ 79 | $ 68 | ||
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) | 8 years | 6 years 1 month 6 days |
Mortgage Loans Acquired for 114
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 | Dec. 31, 2016 | Dec. 31, 2015 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | $ 1,673,112 | $ 1,283,795 |
Mortgage loans pledged to secure: Assets sold under agreements to repurchase | 1,653,748 | 1,268,455 |
Mortgage loans pledged to secure total | 1,653,748 | 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 | 1,627,010 | 1,204,462 |
Mortgage loans pledged to secure mortgage loan participation and sale agreements | 26,738 | 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 | 847,810 | 540,947 |
Jumbo [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 6,042 | 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 | 804,616 | 669,288 |
Commercial Real Estate [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 8,961 | 14,590 |
Repurchased Pursuant to Representations and Warranties [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | $ 5,683 | $ 4,357 |
Mortgage Loans Acquired for 115
Mortgage Loans Acquired for Sale at Fair Value - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2016 | |
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 | 0.035% |
Derivative Financial Instrum116
Derivative Financial Instruments - Derivative Assets and Liabilities Recorded within Derivative Assets and Derivative Liabilities and Related Margin Deposits Recorded in Other Assets (Detail) - USD ($) | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 |
Derivatives, Fair Value [Line Items] | ||||
Total derivative assets instruments before netting | $ 71,093,000 | $ 13,385,000 | ||
Derivative assets, Netting | (37,384,000) | (3,300,000) | ||
Net amounts of assets presented in the consolidated balance sheet | 33,709,000 | 10,085,000 | ||
Margin deposits (received from) placed with derivatives counterparties included in Other assets | (18,071,000) | 679,000 | ||
Total derivative liabilities | 28,885,000 | 7,135,000 | ||
Derivative liabilities, Netting | (19,312,000) | (3,978,000) | ||
Total derivative liabilities after netting | 9,573,000 | 3,157,000 | ||
Interest Rate Lock Commitments [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Notional amount | 1,420,468,000 | 970,067,000 | ||
Total derivative assets instruments before netting | 7,069,000 | 4,983,000 | ||
Net amounts of assets presented in the consolidated balance sheet | 7,069,000 | 4,983,000 | ||
Total derivative liabilities | 3,292,000 | 337,000 | ||
Forward Sale Contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Notional amount | 6,148,242,000 | 2,450,642,000 | $ 1,601,283,000 | $ 3,588,027,000 |
Total derivative assets instruments before netting | 13,164,000 | 2,604,000 | ||
Derivative assets, Netting | 0 | 0 | ||
Net amounts of assets presented in the consolidated balance sheet | 13,164,000 | 2,604,000 | ||
Total derivative liabilities | 17,974,000 | 2,680,000 | ||
Forward Purchase Contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Notional amount | 4,840,707,000 | 2,469,550,000 | 1,100,700,000 | 2,781,066,000 |
Total derivative assets instruments before netting | 30,879,000 | 2,444,000 | ||
Derivative assets, Netting | 0 | 0 | ||
Net amounts of assets presented in the consolidated balance sheet | 30,879,000 | 2,444,000 | ||
Total derivative liabilities | 7,619,000 | 3,774,000 | ||
MBS Put Options [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Notional amount | 925,000,000 | 375,000,000 | 340,000,000 | 55,000,000 |
Total derivative assets instruments before netting | 1,697,000 | 93,000 | ||
Derivative assets, Netting | 0 | 0 | ||
Net amounts of assets presented in the consolidated balance sheet | 1,697,000 | 93,000 | ||
Total derivative liabilities | 0 | 0 | ||
MBS Call Options [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Notional amount | 750,000,000 | 0 | 0 | 110,000,000 |
Total derivative assets instruments before netting | 142,000 | 0 | ||
Derivative assets, Netting | 0 | 0 | ||
Net amounts of assets presented in the consolidated balance sheet | 142,000 | 0 | ||
Swap Futures [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Notional amount | 150,000,000 | 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 | 1,351,000,000 | 1,755,000,000 | 7,426,000,000 | 8,779,000,000 |
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 | 200,000,000 | 50,000,000 | 1,030,000,000 | 0 |
Total derivative assets instruments before netting | 63,000 | 1,156,000 | ||
Derivative assets, Netting | 0 | 0 | ||
Net amounts of assets presented in the consolidated balance sheet | 63,000 | 1,156,000 | ||
Total derivative liabilities | 0 | 305,000 | ||
Put Options on Interest Rate Futures [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Notional amount | 550,000,000 | 1,600,000,000 | 275,000,000 | $ 52,500,000 |
Total derivative assets instruments before netting | 2,469,000 | 1,512,000 | ||
Derivative assets, Netting | 0 | 0 | ||
Net amounts of assets presented in the consolidated balance sheet | 2,469,000 | 1,512,000 | ||
Total derivative liabilities | 0 | 39,000 | ||
CRT Agreements [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Notional amount | 14,379,850,000 | 4,546,265,000 | $ 0 | |
Total derivative assets instruments before netting | 15,610,000 | 593,000 | ||
Net amounts of assets presented in the consolidated balance sheet | 15,610,000 | 0 | ||
Total derivative liabilities | $ 0 | $ 0 |
Derivative Financial Instrum117
Derivative Financial Instruments - Summary of Activity in Notional Amount for Derivative Contracts and Derivatives Arising from CRT Agreements (Detail) - USD ($) | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
CRT Agreements [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Balance, beginning of period | $ 4,546,265,000 | $ 0 | |
Additions | 11,190,933,000 | 4,602,507,000 | |
Dispositions/expirations | (1,357,348,000) | (56,242,000) | |
Balance, end of period | 14,379,850,000 | 4,546,265,000 | $ 0 |
Forward Sales Contracts [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Balance, beginning of period | 2,450,642,000 | 1,601,283,000 | 3,588,027,000 |
Additions | 99,737,855,000 | 51,449,971,000 | 45,904,253,000 |
Dispositions/expirations | (96,040,255,000) | (50,600,612,000) | (47,890,997,000) |
Balance, end of period | 6,148,242,000 | 2,450,642,000 | 1,601,283,000 |
Forward Purchase Contracts [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Balance, beginning of period | 2,469,550,000 | 1,100,700,000 | 2,781,066,000 |
Additions | 73,269,440,000 | 37,757,703,000 | 33,418,838,000 |
Dispositions/expirations | (70,898,283,000) | (36,388,853,000) | (35,099,204,000) |
Balance, end of period | 4,840,707,000 | 2,469,550,000 | 1,100,700,000 |
MBS Put Options [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Balance, beginning of period | 375,000,000 | 340,000,000 | 55,000,000 |
Additions | 12,400,000,000 | 2,177,500,000 | 2,087,500,000 |
Dispositions/expirations | (11,850,000,000) | (2,142,500,000) | (1,802,500,000) |
Balance, end of period | 925,000,000 | 375,000,000 | 340,000,000 |
MBS Call Options [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Balance, beginning of period | 0 | 0 | 110,000,000 |
Additions | 750,000,000 | 140,000,000 | 230,000,000 |
Dispositions/expirations | 0 | (140,000,000) | (340,000,000) |
Balance, end of period | 750,000,000 | 0 | 0 |
Swap Futures [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Balance, beginning of period | 0 | ||
Additions | 175,000,000 | ||
Dispositions/expirations | (25,000,000) | ||
Balance, end of period | 150,000,000 | 0 | |
Eurodollar Future Sale Contracts [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Balance, beginning of period | 1,755,000,000 | 7,426,000,000 | 8,779,000,000 |
Additions | 282,000,000 | 385,000,000 | 3,032,000,000 |
Dispositions/expirations | (686,000,000) | (6,056,000,000) | (4,385,000,000) |
Balance, end of period | 1,351,000,000 | 1,755,000,000 | 7,426,000,000 |
Treasury Future Buy Contracts [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Balance, beginning of period | 0 | 0 | 0 |
Additions | 558,700,000 | 439,200,000 | |
Dispositions/expirations | (558,700,000) | (439,200,000) | |
Balance, end of period | 0 | 0 | 0 |
Eurodollar Future Purchase Contracts [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Balance, beginning of period | 0 | 800,000,000 | 0 |
Additions | 0 | 4,087,000,000 | |
Dispositions/expirations | (800,000,000) | (3,287,000,000) | |
Balance, end of period | 0 | 800,000,000 | |
Treasury Future Sale Contracts [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Balance, beginning of period | 0 | 85,000,000 | 105,000,000 |
Additions | 558,700,000 | 161,500,000 | 482,600,000 |
Dispositions/expirations | (558,700,000) | (246,500,000) | (502,600,000) |
Balance, end of period | 0 | 0 | 85,000,000 |
Call Options on Interest Rate Futures [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Balance, beginning of period | 50,000,000 | 1,030,000,000 | 0 |
Additions | 4,425,000,000 | 4,510,000,000 | 3,530,000,000 |
Dispositions/expirations | (4,275,000,000) | (5,490,000,000) | (2,500,000,000) |
Balance, end of period | 200,000,000 | 50,000,000 | 1,030,000,000 |
Put Options on Interest Rate Futures [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Balance, beginning of period | 1,600,000,000 | 275,000,000 | 52,500,000 |
Additions | 7,445,000,000 | 5,743,000,000 | 1,687,500,000 |
Dispositions/expirations | (8,495,000,000) | (4,418,000,000) | (1,465,000,000) |
Balance, end of period | $ 550,000,000 | $ 1,600,000,000 | $ 275,000,000 |
Derivative Financial Instrum118
Derivative Financial Instruments - Net Gains (Losses) Recognized on Derivative Financial Instruments (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
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 | $ 87,836 | $ 37,725 | $ 73,693 |
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 | 7,251 | (19,353) | (22,565) |
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 | 32,500 | 593 | 0 |
Mortgage loans acquired for sale at fair value [Member] | Gain Loss on mortgage loans acquired for sale [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net gains (losses) on derivative financial instruments used as economic hedges | 50,274 | (16,781) | (68,679) |
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 | $ 2,271 | $ 481 | $ 11,527 |
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 | Dec. 31, 2016 | Dec. 31, 2015 |
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | $ 1,721,741 | $ 2,555,788 |
Unpaid principal balance | 2,208,183 | 3,292,043 |
Asset-backed financing of a VIE at fair value and FHLB advances | 367,169 | 455,394 |
FHLB advances | 0 | 63,993 |
Mortgage loans acquired for sale at fair value [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 1,673,112 | 1,283,795 |
Assets sold under agreements to repurchase | 1,345,021 | 2,067,341 |
FHLB advances | 0 | 134,172 |
Fixed interest rate jumbo mortgage loans held in a VIE [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 367,169 | 455,394 |
Unpaid principal balance | 368,524 | 454,935 |
Distressed mortgage loans [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 1,354,572 | 2,100,394 |
Unpaid principal balance | 1,839,659 | 2,837,108 |
Distressed mortgage loans [Member] | Nonperforming mortgage loans [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 742,988 | 1,222,956 |
Unpaid principal balance | 1,020,994 | 1,702,548 |
Distressed mortgage loans [Member] | Performing mortgage loans [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 611,584 | 877,438 |
Unpaid principal balance | 818,665 | 1,134,560 |
Distressed mortgage loans [Member] | Performing mortgage loans [Member] | Fixed interest rate [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 296,901 | 417,658 |
Unpaid principal balance | 408,943 | 535,610 |
Distressed mortgage loans [Member] | Performing mortgage loans [Member] | Interest rate step-up [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 232,700 | 299,569 |
Unpaid principal balance | 317,409 | 412,749 |
Distressed mortgage loans [Member] | Performing mortgage loans [Member] | Adjustable-rate/hybrid [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 81,983 | 160,051 |
Unpaid principal balance | 92,313 | 185,997 |
Distressed mortgage loans [Member] | Performing mortgage loans [Member] | Balloon [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 0 | 160 |
Unpaid principal balance | $ 0 | $ 204 |
Mortgage Loans at Fair Value120
Mortgage Loans at Fair Value - Summary of Certain Concentrations of Credit Risk in Portfolio of Distressed Mortgage Loans at Fair Value (Detail) | Dec. 31, 2016 | Dec. 31, 2015 |
Risks And Uncertainties [Abstract] | ||
Portion of mortgage loans originated between 2005 and 2007 | 72.00% | 72.00% |
Percentage of fair value of mortgage loans with unpaid-principal balance-to-current-property-value in excess of 100% | 41.00% | 48.00% |
Mortgage Loans at Fair Value121
Mortgage Loans at Fair Value - Summary of Certain Concentrations of Credit Risk in Portfolio of Distressed Mortgage Loans at Fair Value (Parenthetical) (Detail) | Dec. 31, 2016 | Dec. 31, 2015 |
Risks And Uncertainties [Abstract] | ||
Percentage of fair value of mortgage loans | 100.00% | 100.00% |
Percentage of contribution by states in mortgage loans | 5.00% | 5.00% |
Real Estate Acquired in Sett122
Real Estate Acquired in Settlement of Loans - Summary of Financial Information Relating to REO (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Real Estate [Abstract] | |||
Balance at beginning of year | $ 341,846 | $ 303,228 | $ 138,942 |
Purchases | 0 | 0 | 3,049 |
Transfers from mortgage loans at fair value and advances | 207,431 | 307,455 | 364,945 |
Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment | (21,406) | (8,827) | 0 |
Transfers from REO under forward purchase agreements | 0 | 0 | 12,737 |
Results of REO: | |||
Valuation adjustments, net | (36,193) | (40,432) | (45,476) |
Gain on sale, net | 17,075 | 21,255 | 13,498 |
Total gain (loss), net | (19,118) | (19,177) | (31,978) |
Proceeds from sales | (234,684) | (240,833) | (184,467) |
Balance at end of year | 274,069 | 341,846 | $ 303,228 |
At the end of year: | |||
REO pledged to secure assets sold under agreements to repurchase | 167,430 | 245,647 | |
REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties | 48,283 | 37,696 | |
Real estate pledged to creditors | $ 215,713 | $ 283,343 |
Mortgage Servicing Rights - Sum
Mortgage Servicing Rights - Summary of MSRs Carried at Fair Value (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Servicing Asset At Fair Value Changes In Fair Value [Abstract] | |||
Balance at beginning of year | $ 66,584 | $ 57,358 | $ 26,452 |
Purchases | 2,739 | 2,335 | 0 |
MSRs resulting from mortgage loan sales | 7,337 | 13,963 | 47,693 |
Due to changes in valuation inputs used in valuation model | (3,210) | 312 | (11,455) |
Other changes in fair value | (9,314) | (7,384) | (5,193) |
Change in fair value, Total | (12,524) | (7,072) | (16,648) |
Sales | 0 | 0 | (139) |
Balance at year end | 64,136 | 66,584 | $ 57,358 |
MSRs carried at fair value pledged to secure notes payable at year end | $ 64,136 | $ 66,584 |
Mortgage Servicing Rights - 124
Mortgage Servicing Rights - Summary of MSRs Carried at Lower of Amortized Cost or Fair Value (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Servicing Asset at Amortized Cost, Balance [Roll Forward] | |||
Balance at beginning of year | $ 404,101 | $ 308,137 | $ 266,697 |
MSRs resulting from mortgage loan sales | 267,755 | 140,511 | 73,640 |
Amortization | (65,647) | (43,982) | (31,911) |
Sales | (106) | (565) | (289) |
Balance at end of year | 606,103 | 404,101 | 308,137 |
Balance at beginning of year | (10,944) | (7,715) | (2,577) |
Additions | (2,728) | (3,229) | (5,138) |
Balance at end of year | (13,672) | (10,944) | (7,715) |
MSRs, net | 592,431 | 393,157 | 300,422 |
Fair value at beginning of year | 424,154 | 322,230 | 289,737 |
Fair value at year end | 626,334 | 424,154 | $ 322,230 |
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 year end | $ 592,431 | $ 393,157 |
Mortgage Servicing Rights - 125
Mortgage Servicing Rights - Summary of Company's Estimate of Future Amortization of Existing MSRs Carried at Amortized Cost (Detail) $ in Thousands | Dec. 31, 2016USD ($) |
Servicing Asset Future Amortization Expense Abstract [Abstract] | |
2,017 | $ 67,814 |
2,018 | 63,283 |
2,019 | 58,297 |
2,020 | 53,184 |
2,021 | 48,204 |
Thereafter | 315,321 |
Total | $ 606,103 |
Mortgage Servicing Rights - 126
Mortgage Servicing Rights - Summary of Net Mortgage Loan Servicing Fees Relating to MSRs (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Transfers And Servicing [Abstract] | |||
Contractually-specified servicing fees | $ 125,961 | $ 97,633 | $ 76,300 |
Late charges | 570 | 328 | 0 |
Other | 5,302 | 4,186 | 3,708 |
Net mortgage loan servicing fees | $ 131,833 | $ 102,147 | $ 80,008 |
Assets Sold Under Agreements127
Assets Sold Under Agreements to Repurchase - Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase (Detail) - USD ($) | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Assets Sold under Agreements to Repurchase [Line Items] | |||
Weighted-average interest rate | 2.44% | 2.33% | 2.12% |
Average balance | $ 3,382,528,000 | $ 3,046,963,000 | $ 2,311,273,000 |
Total interest expense | 92,838,000 | 79,869,000 | 58,304,000 |
Maximum daily amount outstanding | 5,573,021,000 | 4,710,412,000 | $ 3,203,989,000 |
Unpaid principal balance | 3,784,685,000 | 3,130,328,000 | |
Assets sold under agreements to repurchase, At year end | $ 3,784,001,000 | $ 3,128,780,000 | |
Weighted-average interest rate | 2.70% | 2.33% | |
Available borrowing capacity, Committed | $ 518,932,000 | $ 231,913,000 | |
Available borrowing capacity, Uncommitted | 1,092,253,000 | 661,756,000 | |
Available borrowing capacity | 1,611,185,000 | 893,669,000 | |
Margin deposits placed with counterparties included in Other assets | 29,634,000 | 7,268,000 | |
Assets Sold Under Agreements to Repurchase [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Unamortized debt issuance costs | (684,000) | (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 | 863,802,000 | 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 | 1,627,010,000 | 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 | 1,345,021,000 | 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 | 215,713,000 | 283,343,000 | |
Deposits securing CRT Agreements [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Fair value of assets securing agreements to repurchase | 414,610,000 | 0 | |
Derivative assets related to CRT Agreements [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Fair value of assets securing agreements to repurchase | $ 9,078,000 | $ 0 |
Assets Sold Under Agreements128
Assets Sold Under Agreements to Repurchase - Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase (Parenthetical) (Detail) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Assets Sold Under Agreements to Repurchase [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Amortization of debt issuance costs | $ 8.8 | $ 8.9 |
Assets Sold Under Agreements129
Assets Sold Under Agreements to Repurchase - Summary of Maturities of Outstanding Assets Sold under Agreements to Repurchase by Facility Maturity Date (Detail) $ in Thousands | 12 Months Ended |
Dec. 31, 2016USD ($) | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 3,784,685 |
Weighted average maturity (in months) | 3 years 8 months 12 days |
Within 30 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 1,185,874 |
Over 30 to 90 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 1,874,899 |
Over 90 days to 180 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 0 |
Over 180 days to 1 year [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 506,120 |
Maturity One Year To Two Years [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 217,792 |
Assets Sold Under Agreements130
Assets Sold Under Agreements to Repurchase - Summary of Assets Sold under Agreements to Repurchase by Counterparty (Detail) $ in Thousands | 12 Months Ended |
Dec. 31, 2016USD ($) | |
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 | $ 249,493 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Jan. 21, 2017 |
Facility maturity | Mar. 3, 2017 |
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 | $ 149,984 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Mar. 21, 2017 |
Facility maturity | Mar. 30, 2017 |
JPMorgan Chase & Co. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 4,539 |
Weighted average maturity | Jan. 20, 2017 |
JPMorgan Chase & Co. [Member] | CRT Agreements [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 72,670 |
Weighted average maturity | Jan. 13, 2017 |
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 | $ 116,225 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Oct. 13, 2017 |
Facility maturity | Oct. 13, 2017 |
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 | $ 1,854 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Jan. 26, 2017 |
Facility maturity | Jan. 26, 2017 |
Royal Bank of Canada [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 2,590 |
Weighted average maturity | Jan. 19, 2017 |
Bank of America, N.A. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 15,526 |
Weighted average maturity | Jan. 17, 2017 |
Bank of America, N.A. [Member] | CRT Agreements [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 33,731 |
Weighted average maturity | Jan. 16, 2017 |
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 | $ 23,156 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Mar. 22, 2017 |
Facility maturity | Mar. 29, 2017 |
Morgan Stanley Bank, N.A. [Member] | Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 6,622 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Feb. 17, 2017 |
Facility maturity | Aug. 25, 2017 |
Barclays [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 4,590 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Mar. 21, 2017 |
Facility maturity | Dec. 1, 2017 |
Daiwa Capital Markets [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 8,218 |
Weighted average maturity | Jan. 14, 2017 |
Wells Fargo Bank, N.A. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 7,116 |
Weighted average maturity | Jan. 9, 2017 |
BNP Paribas Corporate & Institutional Banking [Member] | CRT Agreements [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 19,498 |
Weighted average maturity | Jan. 13, 2017 |
Mortgage Loan Participation 131
Mortgage Loan Participation and Sale Agreements - Summary of Mortgage Loan Participation and Sale Agreements (Detail) - USD ($) | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
At period end: | |||
Mortgage loan participation and sale agreements, At year end | $ 25,917,000 | $ 0 | |
Mortgage Loan Participation and Sale Agreement [Member] | |||
Mortgage Loan Participation And Sale Agreement [Line Items] | |||
Weighted-average interest rate | 1.74% | 1.62% | 1.42% |
Average balance | $ 70,391,000 | $ 49,318,000 | $ 44,770,000 |
Total interest expense | 1,376,000 | 1,001,000 | 912,000 |
Maximum daily amount outstanding | 99,469,000 | 148,032,000 | $ 116,363,000 |
At period end: | |||
Amount outstanding | 25,917,000 | 0 | |
Unamortized debt issuance costs | 0 | 0 | |
Mortgage loan participation and sale agreements, At year end | $ 25,917,000 | $ 0 | |
Weighted-average interest rate | 2.02% | 0.00% | |
Mortgage loans acquired for sale pledged to secure mortgage loan participation and sale agreements | $ 26,738,000 | $ 0 |
Mortgage Loan Participation 132
Mortgage Loan Participation and Sale Agreements - Summary of Mortgage Loan Participation and Sale Agreements (Parenthetical) (Detail) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Mortgage Loan Participation and Sale Agreement [Member] | ||
Mortgage Loan Participation And Sale Agreement [Line Items] | ||
Amortization of debt issuance costs | $ 130,000 | $ 193,000 |
Notes Payable - Additional Info
Notes Payable - Additional Information (Detail) - USD ($) | 12 Months Ended | ||
Dec. 31, 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. 1, 2017 | ||
Amended and Restated Loan and Security Agreement with Citibank, N.A. [Member] | |||
Short-term Debt [Line Items] | |||
Maturity date of debt instrument | Mar. 31, 2017 | ||
Maximum [Member] | Amended and Restated Loan and Security Agreement with Barclays Bank PLC, [Member] | |||
Short-term Debt [Line Items] | |||
Aggregate loan amount | $ 220,000,000 | ||
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 ($) | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
During the period: | ||
Weighted-average interest rate | 4.73% | 4.31% |
Average balance | $ 202,293,000 | $ 119,307,000 |
Total interest expense | 12,892,000 | 6,826,000 |
Carrying value: | ||
Amount outstanding | 275,106,000 | 236,107,000 |
Balance | $ 275,106,000 | $ 236,015,000 |
Weighted-average interest rate | 4.73% | 4.53% |
MSRs pledged to secure notes payable | $ 656,567,000 | $ 459,741,000 |
Notes payable [Member] | ||
During the period: | ||
Maximum daily amount outstanding | 275,106,000 | 236,107,000 |
Carrying value: | ||
Unamortized debt issuance costs | $ 0 | $ (92,000) |
Notes Payable - Summary of F135
Notes Payable - Summary of Financial Information Relating to Note Payable (Parenthetical) (Detail) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Notes payable [Member] | ||
Debt Instrument [Line Items] | ||
Amortization of debt issuance costs | $ 3.2 | $ 1.6 |
Exchangeable Senior Notes - Add
Exchangeable Senior Notes - Additional Information (Detail) - Exchangeable Senior Notes due May 1, 2020 [Member] | 12 Months Ended |
Dec. 31, 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 | 12 Months Ended | ||||||||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | |
Debt Instrument [Line Items] | |||||||||
Weighted-average UPB | $ 250,000 | $ 250,000 | $ 250,000 | ||||||
Carrying value: | |||||||||
UPB | 250,000 | 250,000 | |||||||
Exchangeable senior notes | 246,089 | 245,054 | $ 245,824 | $ 245,564 | $ 245,307 | $ 244,805 | $ 244,559 | $ 244,317 | |
Convertible Debt [Member] | |||||||||
Debt Instrument [Line Items] | |||||||||
Interest expense | 14,473 | 14,413 | $ 14,358 | ||||||
Carrying value: | |||||||||
Unamortized debt issuance costs | $ (3,911) | $ (4,946) |
Exchangeable Senior Notes - 138
Exchangeable Senior Notes - Summary of Financial Information Relating to Exchangeable Senior Notes (Parenthetical) (Detail) - USD ($) | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Interest Expense [Member] | Convertible Debt [Member] | |||
Debt Instrument [Line Items] | |||
Amortization of commitment fees and debt issuance costs | $ 1,000,000 | $ 975,000 | $ 920,000 |
Asset-Backed Financing of a 139
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 | 12 Months Ended | ||||||||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | |
Assets Sold under Agreements to Repurchase [Line Items] | |||||||||
Carrying value | $ 353,898 | $ 247,690 | $ 384,407 | $ 325,939 | $ 344,693 | $ 234,287 | $ 151,489 | $ 162,222 | |
Variable Interest Entities [Member] | |||||||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||||||
Carrying value | 353,898 | 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 | 338,582 | 186,430 | $ 167,752 | ||||||
Interest expense | $ 12,091 | $ 6,840 | $ 6,490 | ||||||
Weighted-average effective interest rate | 3.32% | 3.35% | 3.82% | ||||||
Carrying value | $ 353,898 | $ 247,690 | |||||||
UPB | $ 355,494 | $ 248,284 | |||||||
Weighted-average interest rate | 3.50% | 3.50% |
Federal Home Loan Bank Advan140
Federal Home Loan Bank Advances - Additional Information (Detail) - Federal Home Loan Bank Advances [Member] | 12 Months Ended |
Dec. 31, 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 Advan141
Federal Home Loan Bank Advances - Summary of FHLB Advances (Detail) - USD ($) | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 |
Federal Home Loan Banks [Abstract] | ||||||||||
Weighted-average interest rate | 0.00% | 0.30% | 0.49% | 0.30% | ||||||
Average balance | $ 24,375,000 | $ 89,512,000 | ||||||||
Total interest expense | 122,000 | 275,000 | ||||||||
Maximum daily amount outstanding | $ 201,130,000 | $ 196,100,000 | 201,130,000 | 196,100,000 | ||||||
Carrying value | 0 | 183,000,000 | 0 | 183,000,000 | $ 0 | $ 0 | $ 0 | $ 183,000,000 | $ 138,400,000 | $ 0 |
Mortgage-backed securities | 0 | 8,720,000 | 0 | 8,720,000 | ||||||
Mortgage loans acquired for sale at fair value | 0 | 63,993,000 | 0 | 63,993,000 | ||||||
Mortgage loans at fair value | $ 0 | $ 134,172,000 | $ 0 | $ 134,172,000 |
Liability for Losses under R142
Liability for Losses under Representations and Warranties - Summary of Company's Liability for Losses under Representations and Warranties (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Mortgage Banking [Abstract] | |||
Balance, beginning of period | $ 20,171 | $ 14,242 | $ 10,110 |
Provision for losses | |||
Pursuant to mortgage loan sales | 3,254 | 5,771 | 4,255 |
Reduction in liability due to change in estimate | (7,564) | 0 | 0 |
Losses incurred | (511) | (176) | (123) |
Recoveries | 0 | 334 | |
Balance, end of period | 15,350 | 20,171 | 14,242 |
UPB of mortgage loans subject to representations and warranties at period end | $ 56,114,162 | $ 41,842,601 | $ 34,673,414 |
Commitments and Contingencies -
Commitments and Contingencies - Company's Outstanding Contractual Commitments (Detail) $ in Thousands | Dec. 31, 2016USD ($) |
Commitments to purchase mortgage loans: | |
Commitments to purchase mortgage loans acquired for sale | $ 1,420,468 |
Commitments to fund Deposits securing credit risk transfer agreements | $ 92,109 |
Shareholders' Equity - Addition
Shareholders' Equity - Additional Information (Detail) - USD ($) | 12 Months Ended | ||||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Feb. 28, 2016 | Aug. 31, 2015 | |
Schedule of Capitalization, Equity [Line Items] | |||||
Reimbursement agreement effective date | Feb. 1, 2013 | ||||
Reimbursement paid for every $100 of performance incentive fees earned | $ 10 | ||||
Performance incentive fees earned | 100 | ||||
Payments of contingent underwriting fees to underwriters | 0 | $ 473,000 | $ 1,700,000 | ||
Initial Public Offering [Member] | |||||
Schedule of Capitalization, Equity [Line Items] | |||||
Reimbursement paid for every $100 of performance incentive fees earned | 20 | ||||
Performance incentive fees earned | 100 | ||||
Amount paid by underwriters | $ 5,900,000 | ||||
Reimbursement agreement expiry date | Feb. 1, 2019 | ||||
Management [Member] | |||||
Schedule of Capitalization, Equity [Line Items] | |||||
Payments of contingent underwriting fee to manager | $ 0 | $ 237,000 | $ 651,000 | ||
ATM Equity Offering Sales Agreement SM [Member] | |||||
Schedule of Capitalization, Equity [Line Items] | |||||
Number of common shares sold under Sales Agreement | 0 | ||||
Amount of common stock available for future issuance under Sales Agreement | $ 85,300,000 | ||||
Maximum [Member] | |||||
Schedule of Capitalization, Equity [Line Items] | |||||
Common stock shares Repurchase authorized amount | $ 200,000,000 | $ 150,000,000 | |||
Reimbursement payable in a 12-month period | 1,000,000 | ||||
Underwriting cost paid | 2,900,000 | ||||
Maximum [Member] | Initial Public Offering [Member] | |||||
Schedule of Capitalization, Equity [Line Items] | |||||
Reimbursement payable in a 12-month period | $ 2,000,000 |
Shareholders' Equity - Summary
Shareholders' Equity - Summary of Share Repurchase Activity (Detail) - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Equity [Abstract] | ||
Common shares repurchased | 7,368 | 1,045 |
Cost of common shares repurchased | $ 98,370 | $ 16,338 |
Cumulative shares repurchased | 8,413 | |
Cumulative cost of shares repurchased | $ 114,708 |
Net Interest Income - Summary o
Net Interest Income - Summary of Net Interest Income (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Interest income: | |||
ESS purchased from PFSI, at fair value | $ 222,122 | $ 201,345 | $ 172,348 |
Interest expense: | |||
Total interest expense | 92,838 | 79,869 | 58,304 |
Notes payable | 12,892 | 6,826 | |
Interest expense, total | 149,768 | 124,708 | 85,589 |
Net interest income | 72,354 | 76,637 | 86,759 |
PennyMac Financial Services, Inc. [Member] | |||
Interest income: | |||
ESS purchased from PFSI, at fair value | 22,601 | 25,365 | 13,292 |
Interest expense: | |||
Notes payable | 7,830 | 3,343 | 0 |
Interest expense, total | 7,830 | 3,343 | 0 |
Nonaffiliates [Member] | |||
Interest income: | |||
Short-term investments | 923 | 815 | 604 |
Mortgage-backed securities | 14,663 | 10,267 | 8,226 |
Mortgage loans acquired for sale at fair value | 54,750 | 48,281 | 23,974 |
Distressed | 107,044 | 96,536 | 100,340 |
Under forward purchase agreements | 0 | 0 | 3,584 |
Placement fees relating to custodial funds | 4,058 | 0 | 0 |
Deposits securing CRT Agreements | 930 | 0 | 0 |
Other | 111 | 178 | 48 |
ESS purchased from PFSI, at fair value | 199,521 | 175,980 | 159,056 |
Interest expense: | |||
Total interest expense | 92,838 | 79,869 | 58,304 |
Mortgage loan participation and sale agreements | 1,376 | 1,001 | 912 |
Notes payable | 12,892 | 6,826 | 0 |
Exchangeable Notes | 14,473 | 14,413 | 14,358 |
Asset-backed financings of VIEs at fair value | 12,091 | 13,754 | 6,490 |
FHLB advances | 122 | 275 | 0 |
Borrowings under forward purchase agreements | 0 | 0 | 2,363 |
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations | 6,812 | 4,207 | 2,004 |
Placement fees on mortgage loan impound deposits | 1,334 | 1,020 | 1,158 |
Interest expense, total | 141,938 | 121,365 | 85,589 |
Nonaffiliates [Member] | Variable Interest Entities [Member] | |||
Interest income: | |||
Mortgage loans at fair value | $ 17,042 | $ 19,903 | $ 22,280 |
Net Gain on Mortgage Loans A147
Net Gain on Mortgage Loans Acquired for Sale - Summary of Net Gain on Mortgage Loans Acquired for Sale (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Non cash gain: | |||
Receipt of MSRs in mortgage loan sale transactions | $ 275,092 | $ 154,474 | $ 121,333 |
Provision for losses relating to representations and warranties provided in mortgage loan sales | |||
Pursuant to mortgage loans sales | (3,254) | (5,771) | (4,255) |
Reduction in liability due to change in estimate | (7,564) | 0 | 0 |
Change in fair value of financial instruments held at period end: | |||
Net gain on mortgage loans acquired for sale | 106,442 | 51,016 | 35,647 |
PennyMac Financial Services, Inc. [Member] | |||
Change in fair value of financial instruments held at period end: | |||
Net gain on mortgage loans acquired for sale | 9,224 | 7,575 | 4,252 |
Nonaffiliates [Member] | |||
Cash loss: | |||
Mortgage loans | (229,743) | (84,489) | (25,241) |
Hedging activities | 30,927 | (17,742) | (57,161) |
Cash gain, net of effects of cash hedging, on sale of mortgage loans acquired for sale | (198,816) | (102,231) | (82,402) |
Non cash gain: | |||
Receipt of MSRs in mortgage loan sale transactions | 275,092 | 154,474 | 121,333 |
Provision for losses relating to representations and warranties provided in mortgage loan sales | |||
Pursuant to mortgage loans sales | (3,254) | (5,771) | (4,255) |
Reduction in liability due to change in estimate | 7,564 | 0 | 0 |
Change in fair value of financial instruments held at period end: | |||
IRLCs | (869) | (1,015) | 4,412 |
Mortgage loans | (1,846) | (2,977) | 3,825 |
Hedging derivatives | 19,347 | 961 | (11,518) |
Total non cash portion of gain on mortgage loans acquired for sale | 16,632 | (3,031) | (3,281) |
Net gain on mortgage loans acquired for sale | $ 97,218 | $ 43,441 | $ 31,395 |
Net Gain on Investments - Summa
Net Gain on Investments - Summary of Net Gain (Loss) on Investments (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Net gain (loss) on investments: | |||
Net gain (loss) on investments | $ 7,175 | $ 53,985 | $ 201,809 |
Nonaffiliates [Member] | |||
Net gain (loss) on investments: | |||
Mortgage-backed securities | (13,168) | (5,224) | 10,416 |
Mortgage loans at fair value | 0 | 0 | 0 |
CRT Agreements | 32,500 | 593 | 0 |
Asset-backed financing of a VIE at fair value | 3,238 | 4,260 | (8,459) |
Hedging derivatives | 7,251 | (19,353) | (22,565) |
Net gain (loss) on investments | 24,569 | 50,746 | 222,643 |
PennyMac Financial Services, Inc. [Member] | |||
Net gain (loss) on investments: | |||
Net gain (loss) on investments | (17,394) | 3,239 | (20,834) |
Variable Interest Entities [Member] | Nonaffiliates [Member] | |||
Net gain (loss) on investments: | |||
Mortgage loans at fair value | (1,748) | (10,663) | 27,768 |
Distressed mortgage loans [Member] | Nonaffiliates [Member] | |||
Net gain (loss) on investments: | |||
Mortgage loans at fair value | $ (3,504) | $ 81,133 | $ 215,483 |
Net Mortgage Loan Servicing 149
Net Mortgage Loan Servicing Fees - Summary of Net Loan Servicing Fees (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Components of Net Servicing Fee Income [Line Items] | |||
Servicing fees | $ 131,833 | $ 102,147 | $ 80,008 |
Effect of MSRs: | |||
Amortization | (65,647) | (43,982) | (31,911) |
Provision for impairment | (2,728) | (3,229) | (5,138) |
Carried at fair value-change in fair value | (12,524) | (7,072) | (16,648) |
Total Effect of MSRs | (78,628) | (53,615) | (42,124) |
Net mortgage loan servicing fees | 54,789 | 49,319 | 37,893 |
Average servicing portfolio | 49,626,758 | 38,450,379 | 30,720,168 |
PennyMac Financial Services, Inc. [Member] | |||
Effect of MSRs: | |||
Net mortgage loan servicing fees | 1,573 | 787 | 9 |
From PFSI-MSR recapture income | 1,573 | 787 | 9 |
Nonaffiliates [Member] | |||
Components of Net Servicing Fee Income [Line Items] | |||
Servicing fees | 131,833 | 102,147 | 80,008 |
Effect of MSRs: | |||
Amortization | (65,647) | (43,982) | (31,911) |
Provision for impairment | (2,728) | (3,229) | (5,138) |
Gain on sale | 11 | 187 | 46 |
Carried at fair value-change in fair value | (12,524) | (7,072) | (16,648) |
Total Effect of MSRs | (78,617) | (53,615) | (42,124) |
Net mortgage loan servicing fees | 53,216 | 48,532 | 37,884 |
Nonaffiliates [Member] | Mortgage service rights [Member] | |||
Effect of MSRs: | |||
Gains on hedging derivatives | $ 2,271 | $ 481 | $ 11,527 |
Share-Based Compensation Pla150
Share-Based Compensation Plans - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2016$ / sharesshares | |
Restricted Share Units [Member] | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of share units outstanding expected to vest | shares | 653,210 |
Weighted average grant date fair value of shares expected to vest | $ / shares | $ 17.34 |
Weighted average remaining vesting period of shares expected to vest | 12 months |
Performance Units [Member] | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of share units outstanding expected to vest | shares | 112,079 |
Weighted average grant date fair value of shares expected to vest | $ / shares | $ 9.50 |
Weighted average remaining vesting period of shares expected to vest | 12 months |
Maximum [Member] | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Percentage of Company's issued and outstanding shares | 8.00% |
Maximum [Member] | Restricted Share Units [Member] | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Vesting period | 3 years |
Minimum [Member] | Restricted Share Units [Member] | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Vesting period | 1 year |
Share-Based Compensation Pla151
Share-Based Compensation Plans - Summary of Share-Based Compensation Activity (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Number of units: | |||
Outstanding at beginning of year | 734,000 | 725,000 | 661,000 |
Granted | 330,000 | 312,000 | 300,000 |
Vested | (299,000) | (302,000) | (234,000) |
Canceled or forfeited | 0 | (1,000) | (2,000) |
Outstanding at end of year | 765,000 | 734,000 | 725,000 |
Weighted Average Grant Date Fair Value: | |||
Outstanding at beginning of year | $ 21.26 | $ 21 | $ 19.95 |
Granted | 10.46 | 21.06 | 21.05 |
Vested | 18.46 | 19.65 | 19.68 |
Expired or canceled | 0 | 21.29 | 18.74 |
Outstanding at end of year | $ 16.19 | $ 21.26 | $ 21 |
Compensation expense recorded during the year | $ 5,748 | $ 6,346 | $ 7,107 |
Fair value of vested units during the year | $ 5,510 | $ 5,929 | $ 4,615 |
At period end: | |||
Units available for future awards | 4,632,000 | ||
Unamortized compensation cost | $ 4,118 |
Other Expenses - Summary of Oth
Other Expenses - Summary of Other Expenses (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Other Non operating Income Expense [Line Items] | |||
Total other expenses | $ 18,225 | $ 16,471 | $ 14,763 |
Real Estate Held for Investment [Member] | |||
Other Non operating Income Expense [Line Items] | |||
Total other expenses | 3,213 | 604 | 0 |
Common Overhead Allocation from PFSI [Member] | |||
Other Non operating Income Expense [Line Items] | |||
Total other expenses | 7,898 | 10,742 | 10,477 |
Technology [Member] | |||
Other Non operating Income Expense [Line Items] | |||
Total other expenses | 1,448 | 1,279 | 984 |
Insurance [Member] | |||
Other Non operating Income Expense [Line Items] | |||
Total other expenses | 1,326 | 1,304 | 989 |
Other [Member] | |||
Other Non operating Income Expense [Line Items] | |||
Total other expenses | $ 4,340 | $ 2,542 | $ 2,313 |
Income Taxes - Schedule of Tax
Income Taxes - Schedule of Tax Characterization of Distributions (Detail) | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Income Tax Disclosure [Abstract] | |||
Ordinary income | 60.00% | 41.00% | 86.00% |
Long term capital gain | 40.00% | 25.00% | 14.00% |
Return of capital | 0.00% | 34.00% | 0.00% |
Income Taxes - Summary of Compa
Income Taxes - Summary of Company's Income Tax Benefit (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Current expense: | |||
Federal | $ 361 | $ 671 | $ 352 |
State | 81 | 204 | 104 |
Total current expense | 442 | 875 | 456 |
Deferred benefit: | |||
Federal | (8,790) | (13,124) | (10,232) |
State | (5,699) | (4,547) | (5,304) |
Total deferred benefit | (14,489) | (17,671) | (15,536) |
Total benefit from income taxes | $ (14,047) | $ (16,796) | $ (15,080) |
Income Taxes - Reconciliation o
Income Taxes - Reconciliation of Company's Provision for Income Taxes (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Income Tax Disclosure [Abstract] | |||
Federal income tax expense at statutory tax rate, Amount | $ 21,617 | $ 25,656 | $ 62,812 |
Effect of non-taxable REIT income, Amount | (32,501) | (40,366) | (74,480) |
State income taxes, net of federal benefit, Amount | (3,652) | (2,823) | (3,380) |
Other, Amount | 489 | 737 | (32) |
Valuation allowance, Amount | 0 | 0 | 0 |
Total benefit from income taxes | $ (14,047) | $ (16,796) | $ (15,080) |
Federal income tax expense at statutory tax rate, Rate | 35.00% | 35.00% | 35.00% |
Effect of non-taxable REIT income, Rate | (52.60%) | (55.10%) | (41.50%) |
State income taxes, net of federal benefit, Rate | (5.90%) | (3.90%) | (1.90%) |
Other, Rate | 0.80% | 1.10% | 0.00% |
Valuation allowance, Rate | 0.00% | 0.00% | 0.00% |
Benefit from income taxes | (22.70%) | (22.90%) | (8.40%) |
Income Taxes - Components of Pr
Income Taxes - Components of Provision for Deferred Income Taxes (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Income Tax Disclosure [Abstract] | |||
Real estate valuation loss | $ 2,732 | $ (1,577) | $ (5,079) |
Mortgage servicing rights | 10,597 | (31,324) | 27,996 |
Net operating loss carryforward | (19,863) | 33,297 | (35,963) |
Liability for losses under representations and warranties | 2,222 | (2,467) | (5,944) |
Excess interest expense disallowance | (8,721) | (15,384) | |
Other | (1,456) | (216) | 3,454 |
Valuation allowance | 0 | ||
Total (benefit) provision for deferred income taxes | $ (14,489) | $ (17,671) | $ (15,536) |
Income Taxes - Components of In
Income Taxes - Components of Income Taxes Payable (Detail) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Income Tax Disclosure [Abstract] | ||
Taxes currently receivable | $ 2,519 | $ 1,669 |
Deferred income taxes payable | (20,685) | (35,174) |
Income taxes payable | $ (18,166) | $ (33,505) |
Income Taxes - Summary of Defer
Income Taxes - Summary of Deferred Income Tax Assets and Liabilities (Detail) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Deferred income tax assets: | ||
REO valuation loss | $ 9,542 | $ 12,274 |
Net operating loss carryforward | 60,435 | 40,572 |
Liability for losses under representations and warranties | 6,189 | 8,411 |
Excess interest expense disallowance | 24,105 | 15,384 |
Other | 1,882 | 426 |
Gross deferred tax assets | 102,153 | 77,067 |
Deferred income tax liabilities: | ||
Mortgage servicing rights | (122,838) | (112,241) |
Other | 0 | |
Gross deferred tax liabilities | (122,838) | (112,241) |
Net deferred income tax liability | $ (20,685) | $ (35,174) |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Detail) - USD ($) | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Income Tax Disclosure [Abstract] | ||
Net operating loss carryforwards | $ 152,000,000 | $ 96,700,000 |
Net operating loss carryforwards, expiration year | 2,033 | 2,036 |
Unrecognized tax benefits | $ 0 | $ 0 |
Segments - Additional Informati
Segments - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2016Segment | |
Segment Reporting [Abstract] | |
Number of business segments | 2 |
Segments - Financial Highlights
Segments - Financial Highlights by Operating Segment (Detail) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Net investment income: | |||||||||||
Net gain on mortgage loans acquired for sale | $ 106,442 | $ 51,016 | $ 35,647 | ||||||||
Interest income | 222,122 | 201,345 | 172,348 | ||||||||
Interest expense | (149,768) | (124,708) | (85,589) | ||||||||
Net interest income | 72,354 | 76,637 | 86,759 | ||||||||
Net mortgage loan servicing fees | 54,789 | 49,319 | 37,893 | ||||||||
Net gain on investments | 7,175 | 53,985 | 201,809 | ||||||||
Other income (loss) | 31,328 | 17,808 | (5,367) | ||||||||
Net investment income | $ 68,928 | $ 103,326 | $ 47,618 | $ 52,216 | $ 50,569 | $ 90,774 | $ 69,765 | $ 37,657 | 272,088 | 248,765 | 356,741 |
Expenses: | |||||||||||
Mortgage loan fulfillment, servicing and management fees payable to PFSI | 157,737 | 129,224 | 136,276 | ||||||||
Other | 52,588 | 46,237 | 41,001 | ||||||||
Total expenses | 210,325 | 175,461 | 177,277 | ||||||||
Pre-tax income (loss) | 61,763 | 73,304 | 179,464 | ||||||||
Total assets at period end | 6,357,502 | $ 6,618,901 | $ 5,767,562 | $ 5,820,440 | 5,826,924 | $ 5,592,231 | $ 6,677,374 | $ 5,730,527 | 6,357,502 | 5,826,924 | 4,897,258 |
Intersegment elimination & other [Member] | |||||||||||
Net investment income: | |||||||||||
Net gain on mortgage loans acquired for sale | 0 | ||||||||||
Interest income | (2,388) | ||||||||||
Interest expense | 2,388 | ||||||||||
Net interest income | 0 | ||||||||||
Net mortgage loan servicing fees | 0 | ||||||||||
Net gain on investments | 0 | ||||||||||
Other income (loss) | 0 | ||||||||||
Net investment income | 0 | ||||||||||
Expenses: | |||||||||||
Mortgage loan fulfillment, servicing and management fees payable to PFSI | 0 | ||||||||||
Other | 0 | ||||||||||
Total expenses | 0 | ||||||||||
Pre-tax income (loss) | 0 | ||||||||||
Total assets at period end | 0 | ||||||||||
Correspondent production [Member] | |||||||||||
Net investment income: | |||||||||||
Net gain on mortgage loans acquired for sale | 106,442 | 51,016 | |||||||||
Interest income | 53,998 | 39,976 | |||||||||
Interest expense | (33,701) | (19,843) | |||||||||
Net interest income | 20,297 | 20,133 | |||||||||
Net mortgage loan servicing fees | 0 | 0 | |||||||||
Net gain on investments | 0 | 0 | |||||||||
Other income (loss) | 41,998 | 28,822 | |||||||||
Net investment income | 168,737 | 99,971 | |||||||||
Expenses: | |||||||||||
Mortgage loan fulfillment, servicing and management fees payable to PFSI | 88,978 | 60,619 | |||||||||
Other | 9,292 | 6,450 | |||||||||
Total expenses | 98,270 | 67,069 | |||||||||
Pre-tax income (loss) | 70,467 | 32,902 | |||||||||
Total assets at period end | 1,715,145 | 1,286,138 | 1,715,145 | 1,286,138 | |||||||
Correspondent production [Member] | Operating Segments | |||||||||||
Net investment income: | |||||||||||
Net gain on mortgage loans acquired for sale | 35,647 | ||||||||||
Interest income | 24,022 | ||||||||||
Interest expense | (15,899) | ||||||||||
Net interest income | 8,123 | ||||||||||
Net mortgage loan servicing fees | 0 | ||||||||||
Net gain on investments | 0 | ||||||||||
Other income (loss) | 18,290 | ||||||||||
Net investment income | 62,060 | ||||||||||
Expenses: | |||||||||||
Mortgage loan fulfillment, servicing and management fees payable to PFSI | 49,872 | ||||||||||
Other | 3,357 | ||||||||||
Total expenses | 53,229 | ||||||||||
Pre-tax income (loss) | 8,831 | ||||||||||
Total assets at period end | 654,476 | ||||||||||
Investment activities [Member] | |||||||||||
Net investment income: | |||||||||||
Net gain on mortgage loans acquired for sale | 0 | 0 | |||||||||
Interest income | 168,124 | 161,369 | |||||||||
Interest expense | (116,067) | (104,865) | |||||||||
Net interest income | 52,057 | 56,504 | |||||||||
Net mortgage loan servicing fees | 54,789 | 49,319 | |||||||||
Net gain on investments | 7,175 | 53,985 | |||||||||
Other income (loss) | (10,670) | (11,014) | |||||||||
Net investment income | 103,351 | 148,794 | |||||||||
Expenses: | |||||||||||
Mortgage loan fulfillment, servicing and management fees payable to PFSI | 68,759 | 68,605 | |||||||||
Other | 43,296 | 39,787 | |||||||||
Total expenses | 112,055 | 108,392 | |||||||||
Pre-tax income (loss) | (8,704) | 40,402 | |||||||||
Total assets at period end | $ 4,642,357 | $ 4,540,786 | $ 4,642,357 | $ 4,540,786 | |||||||
Investment activities [Member] | Operating Segments | |||||||||||
Net investment income: | |||||||||||
Net gain on mortgage loans acquired for sale | 0 | ||||||||||
Interest income | 150,714 | ||||||||||
Interest expense | (72,078) | ||||||||||
Net interest income | 78,636 | ||||||||||
Net mortgage loan servicing fees | 37,893 | ||||||||||
Net gain on investments | 201,809 | ||||||||||
Other income (loss) | (23,657) | ||||||||||
Net investment income | 294,681 | ||||||||||
Expenses: | |||||||||||
Mortgage loan fulfillment, servicing and management fees payable to PFSI | 86,404 | ||||||||||
Other | 37,644 | ||||||||||
Total expenses | 124,048 | ||||||||||
Pre-tax income (loss) | 170,633 | ||||||||||
Total assets at period end | $ 4,242,782 |
Selected Quarterly Results - Se
Selected Quarterly Results - Selected Quarterly Financial Data (Detail) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | ||||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Quarterly Financial Information Disclosure [Abstract] | ||||||||||||
Net investment income | $ 68,928 | $ 103,326 | $ 47,618 | $ 52,216 | $ 50,569 | $ 90,774 | $ 69,765 | $ 37,657 | $ 272,088 | $ 248,765 | $ 356,741 | |
Net income | $ 31,174 | $ 35,408 | $ (5,267) | $ 14,496 | $ 15,709 | $ 38,812 | $ 28,071 | $ 7,508 | $ 75,810 | $ 90,100 | $ 194,544 | |
Earnings per share: | ||||||||||||
Basic | $ 0.46 | $ 0.52 | $ (0.08) | $ 0.20 | $ 0.21 | $ 0.51 | $ 0.37 | $ 0.09 | $ 1.09 | $ 1.19 | $ 2.62 | |
Diluted | 0.44 | 0.49 | (0.08) | 0.20 | 0.21 | 0.49 | 0.36 | 0.09 | $ 1.08 | $ 1.16 | $ 2.47 | |
Cash dividends declared per share | $ 0.47 | $ 0.47 | $ 0.47 | $ 0.47 | $ 0.47 | $ 0.47 | $ 0.61 | $ 0.61 | ||||
Short-term investments at fair value | $ 122,088 | $ 33,353 | $ 16,877 | $ 47,500 | $ 41,865 | $ 31,518 | $ 32,417 | $ 44,949 | $ 122,088 | $ 41,865 | ||
Mortgage-backed securities at fair value | 865,061 | 708,862 | 531,612 | 364,439 | 322,473 | 315,599 | 287,626 | 316,292 | 865,061 | 322,473 | ||
Mortgage loans at fair value | 3,394,853 | 4,000,570 | 3,497,026 | 3,836,411 | 3,839,583 | 3,688,026 | 4,944,694 | 4,226,290 | 3,394,853 | 3,839,583 | ||
Excess servicing spread | 288,669 | 280,367 | 294,551 | 321,976 | 412,425 | 418,573 | 359,102 | 222,309 | 288,669 | 412,425 | ||
Real estate acquired in settlement of loans | 303,393 | 314,056 | 320,120 | 339,970 | 350,642 | 358,011 | 325,822 | 317,536 | 303,393 | 350,642 | ||
Mortgage servicing rights | 656,567 | 524,529 | 471,458 | 455,097 | 459,741 | 423,095 | 394,737 | 359,160 | 656,567 | 459,741 | ||
Other assets | 726,871 | 757,164 | 635,918 | 455,047 | 400,195 | 357,409 | 332,976 | 243,991 | 726,871 | 400,195 | ||
Total assets | 6,357,502 | 6,618,901 | 5,767,562 | 5,820,440 | 5,826,924 | 5,592,231 | 6,677,374 | 5,730,527 | 6,357,502 | 5,826,924 | $ 4,897,258 | |
Assets sold under agreements to repurchase and mortgage loan participation and sale agreement | 3,809,918 | 4,129,543 | 3,372,026 | 3,307,414 | 3,128,780 | 2,925,110 | 3,571,181 | 3,633,922 | 3,809,918 | 3,128,780 | ||
Federal Home Loan Bank advances | 0 | 0 | 0 | 0 | 183,000 | 183,000 | 138,400 | 0 | 0 | 183,000 | ||
Credit risk transfer financing at fair value | 0 | 0 | 0 | 0 | 0 | 0 | 649,120 | 0 | 0 | 0 | ||
Notes payable | 425,106 | 346,132 | 313,976 | 356,191 | 386,015 | 342,332 | 297,404 | 0 | 425,106 | 386,015 | ||
Borrowings under forward purchase agreements | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||
Asset-backed financing of a VIE at fair value | 353,898 | 384,407 | 325,939 | 344,693 | 247,690 | 234,287 | 151,489 | 162,222 | 353,898 | 247,690 | ||
Exchangeable senior notes | 246,089 | 245,824 | 245,564 | 245,307 | 245,054 | 244,805 | 244,559 | 244,317 | 246,089 | 245,054 | ||
Other liabilities | 171,377 | 158,077 | 149,230 | 152,332 | 140,272 | 148,267 | 99,924 | 147,907 | 171,377 | 140,272 | ||
Total liabilities | 5,006,388 | 5,263,983 | 4,406,735 | 4,405,937 | 4,330,811 | 4,077,801 | 5,152,077 | 4,188,368 | 5,006,388 | 4,330,811 | ||
Shareholders' equity | 1,351,114 | 1,354,918 | 1,360,827 | 1,414,503 | 1,496,113 | 1,514,430 | 1,525,297 | 1,542,159 | 1,351,114 | 1,496,113 | $ 1,578,172 | $ 1,467,114 |
Total liabilities and shareholders' equity | $ 6,357,502 | $ 6,618,901 | $ 5,767,562 | $ 5,820,440 | $ 5,826,924 | $ 5,592,231 | $ 6,677,374 | $ 5,730,527 | $ 6,357,502 | $ 5,826,924 |
Supplemental Cash Flow Infor163
Supplemental Cash Flow Information - Summary of Supplemental Cash Flow Information (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Additional Cash Flow Elements And Supplemental Cash Flow Information [Abstract] | |||
Cash paid for interest | $ 157,686 | $ 117,223 | $ 94,116 |
Income taxes paid, net | 1,294 | 1,116 | (6,562) |
Non-cash investing activities: | |||
Receipt of MSRs as proceeds from sales of mortgage loans | 275,092 | 154,474 | 121,333 |
Transfer of mortgage loans and advances to real estate acquired in settlement of loans | 207,431 | 307,455 | 364,945 |
Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment | 21,406 | 8,827 | 0 |
Receipt of ESS pursuant to recapture agreement with PFSI | 6,603 | 6,728 | 7,343 |
Transfers of mortgage loans acquired for sale to mortgage loans at fair value | 0 | 23,859 | 0 |
Purchase of mortgage loans financed through forward purchase agreements | 0 | 0 | 2,828 |
Transfer of mortgage loans under forward purchase agreements to mortgage loans at fair value | 0 | 0 | 205,902 |
Transfer of mortgage loans under forward purchase agreements and advances to REO under forward purchase agreements | 0 | 0 | 9,369 |
Purchase of REO financed through forward purchase agreements | 0 | 0 | 68 |
Transfer of REO under forward purchase agreements to REO | 0 | 0 | 12,737 |
Non-cash financing activities: | |||
Dividends payable | 31,655 | 35,069 | 45,894 |
Transfer of mortgage loans at fair value financed through agreements to repurchase to REO financed under agreements to repurchase | 0 | 85,134 | 2,731 |
Purchase of mortgage loans financed through forward purchase agreements | 0 | 0 | 2,828 |
Purchase of REO financed through forward purchase agreements | $ 0 | $ 0 | $ 68 |
Regulatory Capital and Liqui164
Regulatory Capital and Liquidity Requirements - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2016USD ($) | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Minimum net worth amount | $ 2,500,000 |
Basis point | 0.25% |
Number of residential mortgage loans served | 1-4 |
Unpaid Principal Balance [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Basis point | 0.035% |
Nonperforming mortgage loans [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Basis point | 2.00% |
Minimum [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Tangible net worth/ total assets ratio | 6.00% |
Regulatory Capital and Liqui165
Regulatory Capital and Liquidity Requirements - Summary of Capital and Liquidity Requirements by Agencies (Detail) - Fannie Mae and Freddie Mac [Member] - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Capital Requirements By Agencies [Line Items] | ||
Net Worth | $ 392,056 | $ 409,930 |
Required | $ 143,259 | $ 107,405 |
Total Assets Ratio | 12.00% | 13.00% |
Required | 6.00% | 6.00% |
Liquidity | $ 26,670 | $ 46,030 |
Required | $ 19,706 | $ 16,481 |
Parent Company Information - Ad
Parent Company Information - Additional Information (Detail) | Dec. 31, 2016USD ($) |
Minimum net worth amount | $ 2,500,000 |
PennyMac Mortgage Investment Trust [Member] | |
Minimum net worth amount | 860,000,000 |
Operating Partnership [Member] | |
Minimum net worth amount | 700,000,000 |
Net Worth | 1,400,000,000 |
PennyMac Holdings, LLC [Member] | |
Minimum net worth amount | 250,000,000 |
Net Worth | 835,000,000 |
PennyMac Corp. [Member] | |
Minimum net worth amount | 150,000,000 |
Net Worth | $ 1,100,000,000 |
Parent Company Information - Co
Parent Company Information - Condensed Balance Sheets (Detail) - USD ($) $ in Thousands | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 |
ASSETS | ||||||||||
Short-term investment | $ 122,088 | $ 33,353 | $ 16,877 | $ 47,500 | $ 41,865 | $ 31,518 | $ 32,417 | $ 44,949 | ||
Other assets | 124,586 | 88,186 | ||||||||
Total assets | 6,357,502 | 6,618,901 | 5,767,562 | 5,820,440 | 5,826,924 | 5,592,231 | 6,677,374 | 5,730,527 | $ 4,897,258 | |
Liabilities | ||||||||||
Accounts payable and accrued liabilities | 107,758 | 64,474 | ||||||||
Income taxes payable | 18,166 | 33,505 | ||||||||
Total liabilities | 5,006,388 | 5,263,983 | 4,406,735 | 4,405,937 | 4,330,811 | 4,077,801 | 5,152,077 | 4,188,368 | ||
Shareholders' equity | 1,351,114 | 1,354,918 | 1,360,827 | 1,414,503 | 1,496,113 | 1,514,430 | 1,525,297 | 1,542,159 | $ 1,578,172 | $ 1,467,114 |
Total liabilities and shareholders’ equity | 6,357,502 | $ 6,618,901 | $ 5,767,562 | $ 5,820,440 | 5,826,924 | $ 5,592,231 | $ 6,677,374 | $ 5,730,527 | ||
PennyMac Financial Services, Inc. [Member] | ||||||||||
ASSETS | ||||||||||
Due from affiliates | 7,091 | 8,806 | ||||||||
Liabilities | ||||||||||
Due to affiliates | 16,416 | 18,965 | ||||||||
PennyMac Mortgage Investment Trust [Member] | ||||||||||
ASSETS | ||||||||||
Short-term investment | 1,035 | 2,606 | ||||||||
Investments in subsidiaries | 1,408,979 | 1,558,728 | ||||||||
Due from affiliates | 100 | 168 | ||||||||
Other assets | 610 | 806 | ||||||||
Total assets | 1,410,778 | 1,562,308 | ||||||||
Liabilities | ||||||||||
Dividends payable | 31,385 | 34,720 | ||||||||
Accounts payable and accrued liabilities | 2,765 | 2,708 | ||||||||
Capital notes due to subsidiaries | 18,409 | 20,379 | ||||||||
Due to affiliates | 42 | 219 | ||||||||
Income taxes payable | 0 | 0 | ||||||||
Total liabilities | 53,786 | 59,273 | ||||||||
Shareholders' equity | 1,356,992 | 1,503,035 | ||||||||
Total liabilities and shareholders’ equity | 1,410,778 | 1,562,308 | ||||||||
PennyMac Mortgage Investment Trust [Member] | PennyMac Financial Services, Inc. [Member] | ||||||||||
ASSETS | ||||||||||
Due from affiliates | 54 | 0 | ||||||||
Liabilities | ||||||||||
Due to affiliates | $ 1,185 | $ 1,247 |
Parent Company Information -168
Parent Company Information - Condensed Statements of Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Net investment income: | |||||||||||
Interest | $ 222,122 | $ 201,345 | $ 172,348 | ||||||||
Other | 8,453 | 8,283 | 8,900 | ||||||||
Net investment income | $ 68,928 | $ 103,326 | $ 47,618 | $ 52,216 | $ 50,569 | $ 90,774 | $ 69,765 | $ 37,657 | 272,088 | 248,765 | 356,741 |
Expenses | |||||||||||
Intercompany interest | 149,768 | 124,708 | 85,589 | ||||||||
Other | 18,225 | 16,471 | 14,763 | ||||||||
Total expenses | 210,325 | 175,461 | 177,277 | ||||||||
Income before provision for income taxes and equity in undistributed earnings in subsidiaries | 61,763 | 73,304 | 179,464 | ||||||||
Provision for income taxes | (14,047) | (16,796) | (15,080) | ||||||||
Net income | $ 31,174 | $ 35,408 | $ (5,267) | $ 14,496 | $ 15,709 | $ 38,812 | $ 28,071 | $ 7,508 | 75,810 | 90,100 | 194,544 |
PennyMac Mortgage Investment Trust [Member] | |||||||||||
Net investment income: | |||||||||||
Dividends from subsidiaries | 230,091 | 171,254 | 174,192 | ||||||||
Intercompany interest | 6 | 8 | 15 | ||||||||
Interest | 0 | 0 | 4 | ||||||||
Other | 1,250 | 1,250 | 1,250 | ||||||||
Net investment income | 231,347 | 172,512 | 175,461 | ||||||||
Expenses | |||||||||||
Intercompany interest | 1,382 | 441 | 26 | ||||||||
Other | (114) | 14 | 0 | ||||||||
Total expenses | 1,268 | 455 | 26 | ||||||||
Income before provision for income taxes and equity in undistributed earnings in subsidiaries | 230,079 | 172,057 | 175,435 | ||||||||
Provision for income taxes | 442 | 875 | 372 | ||||||||
Income before equity in undistributed earnings of subsidiaries | 229,637 | 171,182 | 175,063 | ||||||||
Equity in undistributed earnings of subsidiaries | (155,093) | (78,704) | 23,288 | ||||||||
Net income | $ 74,544 | $ 92,478 | $ 198,351 |
Parent Company Information -169
Parent Company Information - Condensed Statements of Cash Flows (Detail) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Cash flows from operating activities: | |||||||||||
Net income | $ 31,174 | $ 35,408 | $ (5,267) | $ 14,496 | $ 15,709 | $ 38,812 | $ 28,071 | $ 7,508 | $ 75,810 | $ 90,100 | $ 194,544 |
Decrease (increase) in other assets | (62,028) | (36,161) | (24,910) | ||||||||
Increase (decrease) in accounts payable and accrued liabilities | 46,657 | 7,984 | (6,361) | ||||||||
Increase in due from affiliates | 1,640 | (1,863) | (127) | ||||||||
Decrease due to affiliates | (2,549) | (4,742) | 2,122 | ||||||||
Increase in income taxes payable | (15,339) | (17,912) | (8,518) | ||||||||
Net cash used in operating activities | (621,543) | (863,188) | (366,036) | ||||||||
Cash flows from investing activities: | |||||||||||
Net decrease in short-term investments | (80,223) | 98,035 | (47,502) | ||||||||
Net cash provided by investing activities | 193,952 | 11,502 | 27,972 | ||||||||
Cash flows from financing activities: | |||||||||||
Issuance of common shares | 0 | 8 | 90,589 | ||||||||
Repurchase of common shares | (98,370) | (16,338) | 0 | ||||||||
Payment of common share underwriting and offering costs | 0 | 0 | (1,070) | ||||||||
Payment of dividends | (131,560) | (173,022) | (174,433) | ||||||||
Net cash provided by financing activities | 403,959 | 833,408 | 387,039 | ||||||||
Net (decrease) increase in cash | (23,632) | (18,278) | 48,975 | ||||||||
Cash at beginning of year | 58,108 | 76,386 | 58,108 | 76,386 | 27,411 | ||||||
Cash at end of year | 34,476 | 58,108 | 34,476 | 58,108 | 76,386 | ||||||
Non-cash financing activity — dividends payable | 31,655 | 35,069 | 31,655 | 35,069 | 45,894 | ||||||
PennyMac Mortgage Investment Trust [Member] | |||||||||||
Cash flows from operating activities: | |||||||||||
Net income | 74,544 | 92,478 | 198,351 | ||||||||
Equity in undistributed earnings of subsidiaries | 155,093 | 78,704 | (23,288) | ||||||||
Decrease in due from affiliates | 693 | 915 | 107 | ||||||||
Decrease (increase) in other assets | 196 | (284) | (1) | ||||||||
Increase (decrease) in accounts payable and accrued liabilities | 93 | (257) | (837) | ||||||||
Increase in due from affiliates | (116) | (238) | (652) | ||||||||
Decrease due to affiliates | (174) | (119) | (40) | ||||||||
Increase in income taxes payable | 0 | (126) | 59 | ||||||||
Net cash used in operating activities | 230,329 | 171,073 | 173,699 | ||||||||
Cash flows from investing activities: | |||||||||||
Increase in investment in subsidiaries | 0 | 0 | (89,618) | ||||||||
Net decrease in short-term investments | 1,571 | (2,100) | 834 | ||||||||
Net cash provided by investing activities | 1,571 | (2,100) | (88,784) | ||||||||
Cash flows from financing activities: | |||||||||||
Issuance of common shares | 0 | 8 | 90,588 | ||||||||
Net increase in intercompany unsecured note payable to PMT subsidiary | (1,970) | 20,379 | 0 | ||||||||
Repurchase of common shares | (98,370) | (16,338) | 0 | ||||||||
Payment of common share underwriting and offering costs | 0 | 0 | (1,070) | ||||||||
Payment of dividends | (131,560) | (173,022) | (174,433) | ||||||||
Net cash provided by financing activities | (231,900) | (168,973) | (84,915) | ||||||||
Net (decrease) increase in cash | 0 | 0 | 0 | ||||||||
Cash at beginning of year | $ 0 | $ 0 | 0 | 0 | 0 | ||||||
Cash at end of year | 0 | 0 | 0 | 0 | 0 | ||||||
Non-cash financing activity — dividends payable | $ 31,655 | $ 35,069 | $ 31,655 | $ 35,069 | $ 45,894 |
Subsequent Events - Additional
Subsequent Events - Additional Information (Detail) $ in Millions | Jan. 26, 2017USD ($) |
Subsequent Event [Member] | |
Subsequent Event [Line Items] | |
Unpaid principal balance sold | $ 89 |