Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2017 | Nov. 07, 2017 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2017 | |
Document Fiscal Year Focus | 2,017 | |
Document Fiscal Period Focus | Q3 | |
Trading Symbol | PMT | |
Entity Registrant Name | PennyMac Mortgage Investment Trust | |
Entity Central Index Key | 1,464,423 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Large Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 65,568,050 |
Consolidated Balance Sheets (Un
Consolidated Balance Sheets (Unaudited) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
ASSETS | ||
Cash | $ 99,515 | $ 34,476 |
Short-term investments | 5,646 | 122,088 |
Mortgage-backed securities at fair value (includes $1,036,669 and $863,802 pledged to creditors, respectively) | 1,036,669 | 865,061 |
Mortgage loans acquired for sale at fair value (includes $1,251,916 and $1,653,748 pledged to creditors, respectively) | 1,270,340 | 1,673,112 |
Mortgage loans at fair value | 1,347,943 | 1,721,741 |
Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value pledged to secure assets sold under agreements to repurchase to PennyMac Financial Services, Inc. | 248,763 | 288,669 |
Derivative assets | 67,288 | 33,709 |
Real estate acquired in settlement of loans (includes $135,761 and $215,713 pledged to creditors, respectively) | 185,034 | 274,069 |
Real estate held for investment (includes $29,664 pledged to creditors at September 30, 2017) | 42,546 | 29,324 |
Mortgage servicing rights (includes $82,312 and $64,136 at fair value; $778,270 and $656,567 pledged to creditors) | 790,335 | 656,567 |
Servicing advances | 61,826 | 76,950 |
Deposits securing credit risk transfer agreements | 545,694 | 450,059 |
Other | 78,719 | 124,586 |
Total assets | 5,785,043 | 6,357,502 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 3,203,386 | 3,784,001 |
Mortgage loan participation purchase and sale agreements | 43,988 | 25,917 |
Notes payable | 80,106 | 275,106 |
Asset-backed financing of a variable interest entity at fair value | 318,404 | 353,898 |
Exchangeable senior notes | 246,906 | 246,089 |
Interest-only security payable at fair value | 6,386 | 4,114 |
Derivative liabilities | 4,900 | 9,573 |
Accounts payable and accrued liabilities | 76,127 | 107,758 |
Income taxes payable | 20,148 | 18,166 |
Liability for losses under representations and warranties | 10,047 | 15,350 |
Total liabilities | 4,174,478 | 5,006,388 |
Commitments and contingencies — Note 19 | 0 | 0 |
SHAREHOLDERS’ EQUITY | ||
Preferred shares of beneficial interest, $0.01 par value per share, authorized 100,000,000 shares, issued and outstanding 12,400,000 shares at September 30, 2017, liquidation preference $310,000,000 | 299,707 | 0 |
Common shares of beneficial interest—authorized, 500,000,000 common shares of $0.01 par value; issued and outstanding, 65,875,618 and 66,697,286 common shares, respectively | 659 | 667 |
Additional paid-in capital | 1,362,319 | 1,377,171 |
Accumulated deficit | (52,120) | (26,724) |
Total shareholders’ equity | 1,610,565 | 1,351,114 |
Total liabilities and shareholders’ equity | 5,785,043 | 6,357,502 |
Variable Interest Entities [Member] | ||
ASSETS | ||
Mortgage loans at fair value | 331,941 | 367,169 |
Derivative assets | 56,878 | 15,610 |
Deposits securing credit risk transfer agreements | 545,694 | 450,059 |
Other—interest receivable | 931 | 1,058 |
Total assets of Consolidated Variable Interest Entity | 935,444 | 833,896 |
LIABILITIES | ||
Asset-backed financing of a variable interest entity at fair value | 318,404 | 353,898 |
Interest-only security payable at fair value | 6,386 | 4,114 |
Accounts payable and accrued liabilities—interest payable | 931 | 1,058 |
SHAREHOLDERS’ EQUITY | ||
Total liabilities of Consolidated Variable Interest Entity | 325,721 | 359,070 |
PennyMac Financial Services, Inc. [Member] | ||
ASSETS | ||
Due from PennyMac Financial Services, Inc. | 4,725 | 7,091 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 148,072 | 150,000 |
Due to PennyMac Financial Services, Inc. | $ 16,008 | $ 16,416 |
Consolidated Balance Sheets (U3
Consolidated Balance Sheets (Unaudited) (Parenthetical) - USD ($) | Sep. 30, 2017 | Dec. 31, 2016 |
Mortgage-backed securities at fair value, pledged to creditors | $ 1,036,669,000 | $ 863,802,000 |
Mortgage loans acquired for sale at fair value, pledged to creditors | 1,251,916,000 | 1,653,748,000 |
Mortgage loans at fair value, pledged to creditors | 1,341,671,000 | 1,712,190,000 |
Derivative assets, pledged to creditors | 15,742,000 | 9,078,000 |
Real estate pledged to creditors | 135,761,000 | 215,713,000 |
Mortgage servicing rights at fair value | 82,312,000 | 64,136,000 |
Mortgage servicing rights pledged to creditors | 778,270,000 | 656,567,000 |
Deposits securing credit risk transfer agreements, pledged to creditors | $ 408,100,000 | $ 414,610,000 |
Preferred stock, par value | $ 0.01 | $ 0 |
Preferred stock, shares authorized | 100,000,000 | 0 |
Preferred stock, shares issued | 12,400,000 | 0 |
Preferred stock, shares outstanding | 12,400,000 | 0 |
Preferred stock, liquidation preference, value | $ 310,000,000 | $ 310,000,000 |
Common shares, authorized | 500,000,000 | 500,000,000 |
Common shares, par value | $ 0.01 | $ 0.01 |
Common shares, issued | 65,875,618 | 66,697,286 |
Common shares, outstanding | 65,875,618 | 66,697,286 |
Real Estate Acquired in Satisfaction of Debt [Member] | ||
Real estate pledged to creditors | $ 135,761,000 | $ 215,713,000 |
Real Estate Held for Investment [Member] | ||
Real estate pledged to creditors | $ 29,664,000 | $ 0 |
Consolidated Statements of Inco
Consolidated Statements of Income (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Net investment income: | ||||
Net gain on mortgage loans acquired for sale | $ 17,967 | $ 43,858 | $ 54,284 | $ 83,133 |
Mortgage loan origination fees | 11,744 | 12,684 | 30,501 | 28,104 |
Net gain (loss) on investments | 13,834 | 14,279 | 58,147 | (5,106) |
Net mortgage loan servicing fees | 21,876 | 15,761 | 49,325 | 47,006 |
Interest income | 51,577 | 58,134 | 152,063 | 164,266 |
Interest expense: | ||||
Interest expense | 40,277 | 40,330 | 115,882 | 108,927 |
Net interest income | 11,300 | 17,804 | 36,181 | 55,339 |
Results of real estate acquired in settlement of loans | (3,143) | (3,285) | (10,854) | (11,886) |
Other | 2,226 | 2,225 | 6,653 | 6,570 |
Net investment income | 75,804 | 103,326 | 224,237 | 203,160 |
Expenses | ||||
Mortgage loan fulfillment fees | 23,507 | 27,255 | 61,184 | 59,301 |
Mortgage loan servicing fees | 11,402 | 11,039 | 31,987 | 38,919 |
Management fees | 6,038 | 5,025 | 16,684 | 15,576 |
Mortgage loan origination | 2,230 | 2,202 | 5,735 | 4,880 |
Professional services | 1,331 | 1,134 | 5,531 | 5,438 |
Compensation | 1,067 | 1,508 | 4,918 | 5,021 |
Mortgage loan collection and liquidation | 864 | 6,205 | 4,556 | 12,709 |
Other | 5,199 | 3,944 | 15,043 | 13,417 |
Total expenses | 51,638 | 58,312 | 145,638 | 155,261 |
Income before provision for income taxes | 24,166 | 45,014 | 78,599 | 47,899 |
Provision for income taxes | 4,771 | 9,606 | 1,688 | 3,262 |
Net income | 19,395 | 35,408 | 76,911 | 44,637 |
Dividends on preferred stock | 6,125 | 0 | 9,032 | 0 |
Net income attributable to common shareholders | $ 13,270 | $ 35,408 | $ 67,879 | $ 44,637 |
Earnings per common share | ||||
Basic | $ 0.20 | $ 0.52 | $ 1.01 | $ 0.63 |
Diluted | $ 0.20 | $ 0.49 | $ 0.98 | $ 0.63 |
Weighted-average common shares outstanding | ||||
Basic | 66,636 | 67,554 | 66,702 | 69,289 |
Diluted | 66,636 | 76,329 | 75,169 | 69,289 |
Dividends declared per common share | $ 0.47 | $ 0.47 | $ 1.41 | $ 1.41 |
Nonaffiliates [Member] | ||||
Net investment income: | ||||
Net gain on mortgage loans acquired for sale | $ 14,692 | $ 41,321 | $ 44,944 | $ 76,903 |
Net gain (loss) on investments | 17,499 | 17,103 | 69,067 | 31,169 |
Net mortgage loan servicing fees | 21,543 | 15,352 | 48,466 | 46,157 |
Interest income | 47,579 | 53,307 | 139,052 | 146,711 |
Interest expense: | ||||
Interest expense | 38,161 | 38,356 | 109,936 | 103,129 |
PennyMac Financial Services, Inc. [Member] | ||||
Net investment income: | ||||
Net gain on mortgage loans acquired for sale | 3,275 | 2,537 | 9,340 | 6,230 |
Net gain (loss) on investments | (3,665) | (2,824) | (10,920) | (36,275) |
Net mortgage loan servicing fees | 333 | 409 | 859 | 849 |
Interest income | 3,998 | 4,827 | 13,011 | 17,555 |
Interest expense: | ||||
Interest expense | $ 2,116 | $ 1,974 | $ 5,946 | $ 5,798 |
Consolidated Statements of Chan
Consolidated Statements of Changes in Shareholders' Equity (Unaudited) - USD ($) shares in Thousands, $ in Thousands | Total | Preferred Shares [Member] | Common Shares [Member] | Additional Paid-in Capital [Member] | Retained Earnings (Accumulated Deficit) [Member] |
Balance, Amount at Dec. 31, 2015 | $ 1,496,113 | $ 738 | $ 1,469,722 | $ 25,653 | |
Balance, Shares at Dec. 31, 2015 | 73,767 | ||||
Net income | 44,637 | $ 0 | 0 | 44,637 | |
Share-based compensation, Amount | 4,142 | $ 3 | 4,139 | 0 | |
Share-based compensation, Shares | 298 | ||||
Dividends | |||||
Common share dividends | (96,545) | (96,545) | |||
Repurchase of common shares, Amount | $ (93,429) | $ (70) | (93,359) | 0 | |
Repurchase of common shares, Shares | (7,029) | (7,029) | |||
Balance, Amount at Sep. 30, 2016 | $ 1,354,918 | $ 671 | 1,380,502 | (26,255) | |
Balance, Shares at Sep. 30, 2016 | 67,036 | ||||
Balance, Amount at Dec. 31, 2016 | 1,351,114 | $ 667 | 1,377,171 | (26,724) | |
Balance, Shares at Dec. 31, 2016 | 66,697 | ||||
Net income | 76,911 | $ 0 | 0 | 76,911 | |
Share-based compensation, Amount | 3,864 | $ 3 | 3,861 | 0 | |
Share-based compensation, Shares | 284 | ||||
Dividends | |||||
Common share dividends | (94,477) | (94,477) | |||
Preferred shares dividends | (7,830) | (7,830) | |||
Issuance of preferred shares, Amount | 310,000 | $ 310,000 | |||
Issuance of preferred shares, Shares | 12,400 | ||||
Issuance costs relating to preferred shares | (10,293) | $ (10,293) | |||
Repurchase of common shares, Amount | $ (18,724) | $ (11) | (18,713) | 0 | |
Repurchase of common shares, Shares | (1,105) | (1,105) | |||
Balance, Amount at Sep. 30, 2017 | $ 1,610,565 | $ 299,707 | $ 659 | $ 1,362,319 | $ (52,120) |
Balance, Shares at Sep. 30, 2017 | 12,400 | 65,876 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2017 | Sep. 30, 2016 | |
Cash flows from operating activities | ||
Net income | $ 76,911 | $ 44,637 |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||
Net gain on mortgage loans acquired for sale | (54,284) | (83,133) |
Net (gain) loss on investments | (58,147) | 5,106 |
Change in fair value, amortization and impairment of mortgage servicing rights | 75,403 | 48,608 |
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 | 4,625 | 1,628 |
Capitalization of interest on mortgage loans at fair value | (27,737) | (62,783) |
Capitalization of interest on excess servicing spread | (13,011) | (17,555) |
Amortization of debt issuance costs | 10,243 | 9,798 |
Results of real estate acquired in settlement of loans | 10,854 | 11,886 |
Share-based compensation expense | 3,864 | 4,142 |
Purchase of mortgage loans acquired for sale at fair value from nonaffiliates | (49,769,392) | (45,300,447) |
Purchase of mortgage loans acquired for sale at fair value from PennyMac Financial Services, Inc. | (373,108) | (13,146) |
Repurchase of mortgage loans subject to representation and warranties | (8,706) | (9,922) |
Sale and repayment of mortgage loans acquired for sale at fair value to nonaffiliates | 17,683,444 | 15,323,444 |
Sale of mortgage loans acquired for sale to PennyMac Financial Services, Inc. | 32,724,487 | 29,154,270 |
Decrease in servicing advances | 8,275 | 4,719 |
Decrease in due from PennyMac Financial Services, Inc. | 2,043 | 2,699 |
Decrease in other assets | 16,936 | 58,246 |
(Decrease) increase in accounts payable and accrued liabilities | (31,155) | 27,442 |
Decrease in due to PennyMac Financial Services, Inc. | (454) | (4,218) |
Increase in income taxes payable | 1,982 | 2,875 |
Net cash provided by (used in) operating activities | 283,073 | (791,704) |
Cash flows from investing activities | ||
Net decrease in short-term investments | 116,442 | 8,512 |
Purchase of mortgage-backed securities at fair value | (251,872) | (551,654) |
Sale and repayment of mortgage-backed securities at fair value | 85,144 | 172,470 |
Sale and repayment of mortgage loans at fair value to nonaffiliates | 345,824 | 516,507 |
Sale of mortgage loans at fair value to PennyMac Financial Services, Inc. | 0 | 891 |
Repayment of excess servicing spread by PennyMac Financial Services, Inc. | 42,320 | 54,623 |
Sale of excess servicing spread to PennyMac Financial Services, Inc. | 0 | 59,045 |
Net settlement of derivative financial instruments | (423) | (6,077) |
Sale of real estate acquired in settlement of loans | 140,862 | 180,416 |
Purchase of mortgage servicing rights | (79) | (2,602) |
Sale of mortgage servicing rights | 0 | 106 |
Deposit of cash securing credit risk transfer agreements | (102,146) | (282,434) |
Distribution from credit risk transfer agreements | 41,823 | 14,358 |
Increase in margin deposits and restricted cash | (2,350) | (3,017) |
Purchase of Federal Home Loan Bank capital stock | 0 | (225) |
Redemption of Federal Home Loan Bank capital stock | 0 | 7,320 |
Net cash provided by investing activities | 415,545 | 168,239 |
Cash flows from financing activities | ||
Sale of assets under agreements to repurchase | 58,275,935 | 48,753,454 |
Repurchase of assets sold under agreements to repurchase | (58,856,728) | (47,841,632) |
Issuance of mortgage loan participation certificates | 5,473,935 | 4,955,742 |
Repayment of mortgage loan participation certificates | (5,455,770) | (4,867,284) |
Federal Home Loan Bank advances | 0 | 28,000 |
Repayment of Federal Home Loan Bank advances | 0 | (211,000) |
Advance under notes payable | 135,000 | 103,554 |
Repayment of notes payable | (330,000) | (143,518) |
Issuance of asset-backed financing of a variable interest entity at fair value | 0 | 182,400 |
Repayment of asset-backed financing of a variable interest entity at fair value | (42,881) | (53,641) |
Repayments of notes payable to PennyMac Financial Services, Inc. | (1,928) | 0 |
Payment of debt issuance costs | (9,342) | (8,464) |
Payment of dividends to preferred shareholders | (7,830) | 0 |
Payment of dividends to common shareholders | (94,953) | (99,757) |
Issuance of preferred shares | 310,000 | 0 |
Payment of issuance costs related to preferred shares | (10,293) | 0 |
Repurchase of common shares | (18,724) | (93,429) |
Net cash (used in) provided by financing activities | (633,579) | 704,425 |
Net increase in cash | 65,039 | 80,960 |
Cash at beginning of period | 34,476 | 58,108 |
Cash at end of period | $ 99,515 | $ 139,068 |
Organization
Organization | 9 Months Ended |
Sep. 30, 2017 | |
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 four segments: correspondent production, credit sensitive strategies, interest rate sensitive strategies and corporate: • The correspondent production segment represents the Company’s operations aimed at serving as an intermediary between mortgage lenders and the capital markets by purchasing, pooling and reselling newly originated prime credit quality mortgage loans either directly or in the form of mortgage-backed securities (“MBS”), using the services of PNMAC Capital Management, LLC (“PCM” or the “Manager”) and PennyMac Loan Services, LLC (“PLS”), both indirect controlled subsidiaries of PennyMac Financial Services, Inc. (“PFSI”). Most of the mortgage loans the Company has acquired in its correspondent production activities have been eligible for sale to government-sponsored entities such as the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or through government agencies such as the Government National Mortgage Association (“Ginnie Mae”). Fannie Mae, Freddie Mac and Ginnie Mae are each referred to as an “Agency” and, collectively, as the “Agencies.” • The credit sensitive strategies segment represents the Company’s investments in distressed mortgage loans, real estate acquired in settlement of mortgage loans (“REO”), credit risk transfer agreements (“CRT Agreements”), non-Agency subordinated bonds and small balance commercial real estate mortgage loans. • The interest rate sensitive strategies segment represents the Company’s investments in mortgage servicing rights (“MSRs”), excess servicing spread (“ESS”), Agency and senior non-Agency MBS and the related interest rate hedging activities. • The corporate segment includes certain interest income, management fee and corporate expense amounts. The Company believes that it qualifies, and has elected to be taxed, as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended, beginning with its taxable period ended on December 31, 2009. To maintain its tax status as a REIT, the Company has to distribute at least 90% of its taxable income in the form of qualifying distributions to shareholders. The Company conducts substantially all of its operations and makes substantially all of its investments through its subsidiary, PennyMac Operating Partnership, L.P. (the “Operating Partnership”), and the Operating Partnership’s subsidiaries. A wholly-owned subsidiary of the Company is the sole general partner, and the Company is the sole limited partner, of the Operating Partnership. |
Basis of Presentation
Basis of Presentation | 9 Months Ended |
Sep. 30, 2017 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Basis of Presentation | Note 2—Basis of Presentation The accompanying consolidated financial statements have been prepared in compliance with accounting principles generally accepted in the United States (“GAAP”) as codified in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification The accompanying unaudited consolidated financial statements reflect all normal recurring adjustments necessary to present fairly the financial position, results of operations, and cash flows for the interim periods, but are not necessarily indicative of the results of operations that may be anticipated for the full year. Intercompany accounts and transactions have been eliminated. Preparation of financial statements in compliance with GAAP requires the Manager to make estimates and judgments that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements, and revenues and expenses during the reporting period. Actual results will likely differ from those estimates. |
Concentration of Risks
Concentration of Risks | 9 Months Ended |
Sep. 30, 2017 | |
Risks And Uncertainties [Abstract] | |
Concentration of Risks | Note 3—Concentration of Risks As discussed in Note 1— Organization Due to the nature of a substantial portion of the Company’s investments, PMT is exposed, to a greater extent than traditional mortgage investors, to the risks associated with loan performance and 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 fair 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 has been acquired by the Company in prior years from or through one or more subsidiaries of JPMorgan Chase & Co. and Citigroup Inc., as presented in the following summary: September 30, 2017 December 31, 2016 (in thousands) JPMorgan Chase & Co. Mortgage loans at fair value $ 401,879 $ 505,167 REO 84,620 118,737 486,499 623,904 Citigroup Inc. Mortgage loans at fair value 417,664 519,698 REO 31,579 49,048 449,243 568,746 $ 935,742 $ 1,192,650 Total carrying value of distressed mortgage loans at fair value and REO $ 1,201,036 $ 1,628,641 |
Transactions with Related Parti
Transactions with Related Parties | 9 Months Ended |
Sep. 30, 2017 | |
Related Party Transactions [Abstract] | |
Transactions with Related Parties | Note 4—Transactions with Related Parties Operating Activities Correspondent Production Activities The Company is provided fulfillment and other services by PLS under a mortgage banking services agreement. 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. Before 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, pursuant to the terms of an amended and restated mortgage banking services agreement the 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 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 the Company 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. The Company purchases newly originated loans from PLS under a mortgage loan purchase agreement and a flow commercial mortgage loan purchase agreement. Historically, the Company has used the mortgage loan purchase agreement for the purpose of purchasing from PLS prime jumbo residential mortgage loans originated through PLS’s consumer direct lending channel. The Company uses the flow commercial mortgage loan purchase agreement for the purpose of purchasing from PLS small balance commercial mortgage loans, including multifamily mortgage loans, originated as part of PLS’s commercial lending activities. Following is a summary of correspondent production activity between the Company and PLS: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Purchases of mortgage loans acquired for sale at fair value from PLS $ 332,886 $ 5,007 $ 373,108 $ 13,146 Mortgage loans fulfillment fees earned by PLS $ 23,507 $ 27,255 $ 61,184 $ 59,301 Unpaid principal balance (“UPB”) of mortgage loans fulfilled by PLS $ 6,530,036 $ 7,263,557 $ 17,079,969 $ 15,696,940 Sourcing fees received from PLS included in Net gain on mortgage loans acquired for sale $ 3,275 $ 3,509 $ 9,340 $ 8,282 UPB of mortgage loans sold to PLS $ 10,915,194 $ 11,694,065 $ 31,131,154 $ 27,599,186 Early purchase program fees paid to PLS included in Mortgage loan servicing fees $ 1 $ 5 $ 7 $ 7 Tax service fee paid to PLS included in Other $ 2,108 $ 2,066 $ 5,377 $ 4,537 September 30, 2017 December 31, 2016 (in thousands) Mortgage loans included in Mortgage loans acquired for sale at fair value pending sale to PLS $ 202,320 $ 804,616 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 or 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 fees, liquidation and disposition, 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 has limited employees and 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, is entitled to retain any incentive payments made to it and to which it is entitled under the U.S. Department of Treasury’s Home Affordable Modification Plan (“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 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. 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. Following is a summary of mortgage loan servicing fees earned by PLS and MSR recapture income earned from PLS: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Mortgage loans servicing fees: Mortgage loans acquired for sale at fair value: Base $ 88 $ 90 $ 235 $ 225 Activity-based 188 210 507 497 276 300 742 722 Mortgage loans at fair value: Distressed mortgage loans: Base 1,571 2,615 5,284 8,881 Activity-based 2,702 3,014 6,859 14,981 4,273 5,629 12,143 23,862 Mortgage loans held in VIE: Base 54 65 96 157 Activity-based — 1 — 1 54 66 96 158 MSRs: Base 6,648 4,913 18,631 13,841 Activity-based 151 131 375 336 6,799 5,044 19,006 14,177 $ 11,402 $ 11,039 $ 31,987 $ 38,919 MSR recapture income recognized included in Net mortgage loan servicing fees $ 333 $ 409 $ 859 $ 849 Average investment in: Mortgage loans acquired for sale at fair value $ 1,460,054 $ 1,607,564 $ 1,271,158 $ 1,317,230 Mortgage loans at fair value: Distressed mortgage loans $ 1,104,738 $ 1,579,246 $ 1,210,328 $ 1,810,779 Mortgage loans held in a VIE $ 339,464 $ 413,749 $ 350,607 $ 434,967 Average MSR portfolio $ 63,584,416 $ 48,997,875 $ 61,764,228 $ 46,125,926 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 attributable to common shares of beneficial interest and 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 attributable to common shares of beneficial interest computed in accordance with GAAP and certain other non-cash charges determined after discussions between PCM and the Company’s independent trustees and after approval by a majority of the Company’s independent trustees. “Equity” is the weighted average of the issue price per common share of all of the Company’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 the Company’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: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Base management $ 6,038 $ 5,025 $ 16,380 $ 15,576 Performance incentive — — 304 — $ 6,038 $ 5,025 $ 16,684 $ 15,576 In the event of termination of the management agreement between the Company and PCM, PCM may be entitled to a termination fee in certain circumstances. The termination fee is equal to three times the sum of (a) the average annual base management fee, and (b) the average annual performance incentive fee earned by PCM, in each case during the 24-month period before termination. Expense Reimbursement and Amounts Payable to and Receivable from PCM 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: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Reimbursement of: Common overhead incurred by PCM and its affiliates $ 1,193 $ 1,417 $ 4,220 $ 6,413 Expenses incurred on the Company’s behalf, net 196 13 849 (102 ) $ 1,389 $ 1,430 $ 5,069 $ 6,311 Payments and settlements during the year (1) $ 22,786 $ 45,988 $ 63,249 $ 102,600 (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. Investing Activities Spread Acquisition and MSR Servicing Agreements Effective February 1, 2013, the Company entered into a master spread acquisition and MSR servicing agreement (the “2/1/13 Spread Acquisition Agreement”), pursuant to which it purchased from PLS the rights to receive certain ESS from MSRs acquired by PLS from banks and other third party financial institutions. PLS was generally required to service or subservice the related mortgage loans for the applicable Agency or investor. To the extent PLS refinanced any of the mortgage loans relating to the ESS sold to the Company, the 2/1/13 Spread Acquisition Agreement contained recapture provisions requiring that PLS transfer to the Company, at no cost, the ESS relating to a certain percentage of the UPB of the newly originated mortgage loans. To the extent the fair value of the aggregate ESS to be transferred for the applicable month was less than $200,000, PFSI was, at its option, permitted to pay cash to the Company in an amount equal to such fair value instead of transferring such ESS. The Company only used the 2/1/13 Spread Acquisition Agreement for the purpose of acquiring ESS relating to Fannie Mae MSRs. Effective December 19, 2014, the Company entered into a second master spread acquisition and MSR servicing agreement (the “12/19/14 Spread Acquisition Agreement”) with PLS. The terms of the 12/19/14 Spread Acquisition Agreement are substantially similar to the terms of the 2/1/13 Spread Acquisition Agreement, except that the Company only purchased ESS relating to Freddie Mac MSRs under the 12/19/14 Spread Acquisition Agreement. On February 29, 2016, the Company and PLS terminated 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. 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 by PLS to the Company under the 12/19/14 Spread Acquisition Agreement. The amount of ESS sold by the Company to PLS under these reacquisitions was $59.0 million. On December 19, 2016, the Company amended and restated a third master spread acquisition and MSR servicing agreement with PLS (the “12/19/16 Spread Acquisition Agreement”). The terms of the 12/19/16 Spread Acquisition Agreement are substantially similar to the terms of the 2/1/13 Spread Acquisition Agreement and the 12/19/14 Spread Acquisition Agreement, except that the Company has only purchased ESS relating to Ginnie Mae MSRs under the 12/19/16 Spread Acquisition Agreement. Pursuant to the 12/19/16 Spread Acquisition Agreement, the Company may purchase from PLS, from time to time, the right to receive participation certificates representing beneficial ownership in ESS arising from Ginnie Mae MSRs acquired by PLS, in which case PLS generally would be required to service or subservice the related mortgage loans for Ginnie Mae. The primary purpose of the amendment and restatement was to facilitate the continued financing of the ESS owned by the Company in connection with the parties’ participation in the GNMA MSR Facility (as defined below). To the extent PLS refinances any of the mortgage loans relating to the ESS the Company has acquired, the 12/19/16 Spread Acquisition Agreement also contains recapture provisions requiring that PLS transfer to the Company, at no cost, the ESS relating to a certain percentage of the unpaid principal balance of the newly originated mortgage loans. However, under the 12/19/16 Spread Acquisition Agreement, in any month where the transferred ESS relating to newly originated Ginnie Mae mortgage loans is not equivalent to at least 90% of the product of the excess servicing fee rate and the unpaid principal balance of the refinanced mortgage loans, PLS is also required to transfer additional ESS or cash in the amount of such shortfall. Similarly, in any month where the transferred ESS relating to modified Ginnie Mae mortgage loans is not equivalent to at least 90% of the product of the excess servicing fee rate and the unpaid principal balance of the modified mortgage loans, the 12/19/16 Spread Acquisition Agreement contains provisions that require PLS to transfer additional ESS or cash in the amount of such shortfall. To the extent the fair market value of the aggregate ESS to be transferred for the applicable month is less than $200,000, PLS may, at its option, wire cash to the Company in an amount equal to such fair market value in lieu of transferring such ESS. Following is a summary of investing activities between the Company and PFSI: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Sale of mortgage loans at fair value to PFSI $ — $ 891 $ — $ 891 ESS: Received pursuant to a recapture agreement $ 1,207 $ 1,438 $ 4,160 $ 5,039 Repayments and sales $ 13,410 $ 16,342 $ 42,320 $ 113,668 Interest income $ 3,998 $ 4,827 $ 13,011 $ 17,555 Net (loss) gain included in Net (loss) gain on investments: Valuation changes $ (4,828 ) $ (4,107 ) $ (14,757 ) $ (40,984 ) Recapture income 1,163 1,283 3,837 4,709 $ (3,665 ) $ (2,824 ) $ (10,920 ) $ (36,275 ) Financing Activities PFSI held 75,000 of the Company’s common shares at both September 30, 2017 and December 31, 2016. 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 acquired from PLS under the 12/19/16 Spread Acquisition Agreement. 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. Conditional Reimbursement of Initial Public Offering (“IPO”) Underwriting Fees In connection with its IPO, the Company conditionally agreed to reimburse PCM up to $2.9 million for underwriting fees paid to the IPO underwriters by PCM on the Company’s behalf (the “Conditional Reimbursement”). Also in connection with its IPO, the Company agreed to pay the IPO underwriters up to $5.9 million in contingent underwriting fees. Following is a summary of financing activities between the Company and PFSI: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Interest expense $ 2,116 $ 1,974 $ 5,946 $ 5,798 Conditional Reimbursements paid to PCM $ 30 $ — $ 30 $ — September 30, 2017 December 31, 2016 (in thousands) Assets sold to PFSI under agreement to repurchase $ 148,072 $ 150,000 Conditional Reimbursement payable to PFSI included in Accounts payable and accrued liabilities $ 870 $ 900 Amounts Receivable from and Payable to PFSI Amounts receivable from and payable to PFSI are summarized below: September 30, 2017 December 31, 2016 (in thousands) Due from PFSI: MSR recapture receivable $ 384 $ 707 Other 4,341 6,384 $ 4,725 $ 7,091 Due to PFSI: Management fees $ 6,038 $ 5,081 Mortgage loan servicing fees 5,329 5,465 Allocated expenses and expenses paid by PFSI on PMT’s behalf 1,541 1,046 Conditional Reimbursement 870 900 Fulfillment fees 662 1,300 Interest on Assets sold to PFSI under agreement to repurchase Note payable to PFSI 138 253 Correspondent production fees 1,430 2,371 $ 16,008 $ 16,416 |
Loan Sales and Variable Interes
Loan Sales and Variable Interest Entities | 9 Months Ended |
Sep. 30, 2017 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Loan Sales and Variable Interest Entities | Note 5—Loan Sales and Variable Interest Entities The Company is a variable interest holder in various special purpose entities that relate to its mortgage loan transfer and financing activities. These entities are classified as VIEs for accounting purposes. The Company has distinguished 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: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Cash flows: Proceeds from sales $ 7,035,994 $ 6,857,691 $ 17,683,444 $ 15,323,444 Mortgage loan servicing fees received (1) $ 42,237 $ 31,514 $ 119,223 $ 88,269 (1) Net of guarantee fees The following table summarizes UPB information for mortgage loans that are accounted for as sales for the dates presented: September 30, 2017 December 31, 2016 (in thousands) UPB of mortgage loans outstanding $ 67,415,863 $ 56,303,664 Delinquent mortgage loans: 30-89 days delinquent $ 462,199 $ 262,467 90 or more days delinquent: Not in foreclosure $ 96,587 $ 53,200 In foreclosure $ 20,814 $ 25,180 Bankruptcy $ 49,334 $ 36,357 Custodial funds managed by the Company (1) $ 1,055,517 $ 736,398 (1) Custodial funds include borrower and investor custodial cash accounts relating to mortgage loans serviced under the servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns placement fees on certain of the custodial funds it manages on behalf of the mortgage loans’ investors, which are included in Interest income Consolidated VIEs Credit Risk Transfer Agreements The Company, through its wholly-owned subsidiary, PennyMac Corp. (“PMC”), entered into CRT Agreements with Fannie Mae, pursuant to which PMC, through subsidiary trust entities, sells pools of mortgage loans into Fannie Mae-guaranteed securitizations while retaining a portion of the credit risk underlying such mortgage loans (“Recourse Obligations”) as part of the retention of an interest-only 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 Net gain on investments Following is a summary of the CRT Agreements: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) UPB of mortgage loans sold under CRT Agreements $ 4,126,946 $ 3,357,443 $ 9,722,067 $ 8,442,187 Deposits of cash securing CRT Agreements $ 44,998 $ 89,697 $ 102,146 $ 282,434 Increase in commitments to fund Deposits securing CRT Agreements resulting from sale of mortgage loans under CRT Agreements $ 108,051 $ — $ 264,165 $ — Interest earned on Deposits securing Agreements $ 1,440 $ 285 $ 2,703 $ 661 Gains recognized on CRT Agreements included in Net gain (loss) on investments Realized $ 10,798 $ 6,206 $ 27,595 $ 12,601 Resulting from valuation changes 4,162 12,307 41,268 9,060 14,960 18,513 68,863 21,661 Change in fair value of interest-only security payable at fair value 191 (36 ) (2,272 ) 437 $ 15,151 $ 18,477 $ 66,591 $ 22,098 Payments made to settle losses $ 539 $ 28 $ 950 $ 28 September 30, 2017 December 31, 2016 (in thousands) UPB of mortgage loans subject to credit guarantee obligations $ 22,931,988 $ 14,379,850 Delinquency status (in UPB): Current—89 days delinquent $ 22,899,266 $ 14,372,247 90 or more days delinquent $ 20,540 $ 5,711 Foreclosure $ 2,481 $ 1,892 Bankruptcy $ 9,701 $ — Carrying value of CRT Agreements: Derivative assets $ 56,878 $ 15,610 Deposits securing CRT Agreements $ 545,694 $ 450,059 Interest-only security payable at fair value $ 6,386 $ 4,114 CRT Agreement assets pledged to secure assets sold under agreements to repurchase: Deposits securing credit risk CRT Agreements $ 408,100 $ 414,610 Derivative assets $ 15,742 $ 9,078 Commitments to fund Deposits securing credit risk transfer agreements $ 356,274 $ 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 year ended December 31, 2016, the Company sold $208.8 million in UPB of those certificates, which reduced the fair value of the certificates retained by the Company to $9.5 million as of September 30, 2017. The Company included the proceeds from the sales in Asset backed financing of a variable interest entity at fair value |
Fair Value
Fair Value | 9 Months Ended |
Sep. 30, 2017 | |
Fair Value Disclosures [Abstract] | |
Fair Value | Note 6—Fair Value The Company’s consolidated financial statements include assets and liabilities that are measured based on their fair values. Measurement at fair value may be on a recurring or nonrecurring basis depending on the accounting principles applicable to the specific asset or liability and whether the Manager has elected to carry the item at its fair value as discussed in the following paragraphs. The Company groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the inputs used to determine fair value. These levels are: • Level 1—Quoted prices in active markets for identical assets or liabilities. • Level 2—Prices determined or determinable using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the Company. These may include quoted prices for similar assets or liabilities, interest rates, prepayment speeds, credit risk and other inputs. • Level 3—Prices determined using significant unobservable inputs. In situations where significant observable inputs are unavailable unobservable inputs may be used. Unobservable inputs reflect the Company’s own judgments about the factors that market participants use in pricing assets and liabilities, 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 assets and liabilities and to 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. 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 asset-backed financing of a VIE and interest only security payable at fair value 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 or other assets collateralizing these financings. For other borrowings, the Manager has determined that historical cost accounting is more appropriate because under this method debt issuance costs are amortized over the term of the debt, thereby matching the debt issuance cost to the periods benefiting from the availability of the debt. Financial Statement Items Measured at Fair Value on a Recurring Basis Following is a summary of financial statement items that are measured at fair value on a recurring basis: September 30, 2017 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 5,646 $ — $ — $ 5,646 Mortgage-backed securities at fair value — 1,036,669 — 1,036,669 Mortgage loans acquired for sale at fair value — 1,270,340 — 1,270,340 Mortgage loans at fair value — 331,941 1,016,002 1,347,943 Excess servicing spread purchased from PFSI — — 248,763 248,763 Derivative assets: Interest rate lock commitments — — 2,789 2,789 CRT Agreements — — 56,878 56,878 Repurchase agreement derivatives — — 181 181 Forward sales contracts — 8,861 — 8,861 MBS put options — 1,503 — 1,503 MBS call options — 171 — 171 Call options on interest rate futures 438 — — 438 Put options on interest rate futures 1,258 — — 1,258 Total derivative assets before netting 1,696 10,535 59,848 72,079 Netting — — — (4,791 ) Total derivative assets after netting 1,696 10,535 59,848 67,288 Mortgage servicing rights at fair value — — 82,312 82,312 $ 7,342 $ 2,649,485 $ 1,406,925 $ 4,058,961 Liabilities: Asset-backed financing of a VIE at fair value $ — $ 318,404 $ — $ 318,404 Interest-only security payable at fair value — — 6,386 6,386 Derivative liabilities: Interest rate lock commitments — — 1,514 1,514 Forward purchase contracts — 6,616 — 6,616 Forward sales contracts — 165 — 165 Total derivative liabilities before netting — 6,781 1,514 8,295 Netting — — — (3,395 ) Total derivative liabilities after netting — 6,781 1,514 4,900 $ — $ 325,185 $ 7,900 $ 329,690 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 Forward purchase contracts — 30,879 — 30,879 Forward sales contracts — 13,164 — 13,164 MBS put options — 1,697 — 1,697 MBS call options — 142 — 142 Call options on interest rate futures 63 — — 63 Put options on interest rate futures 2,469 — — 2,469 Total derivative assets 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 the 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 Total derivative liabilities — 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 The following is a summary of changes in items measured using Level 3 inputs on a recurring basis: Quarter ended September 30, 2017 Mortgage Excess Interest Repurchase Mortgage loans servicing rate lock CRT agreement servicing at fair value spread commitments (1) Agreements derivatives rights Total (in thousands) Assets: Balance, June 30, 2017 $ 1,184,620 $ 261,796 $ 395 $ 52,716 $ — $ 77,624 $ 1,577,151 Purchases and issuances — — 9,264 — 181 10 9,455 Repayments and sales (156,821 ) (13,410 ) — (10,798 ) — — (181,029 ) Capitalization of interest 7,020 3,998 — — — — 11,018 Capitalization of advances 4,611 — — — — — 4,611 ESS received pursuant to a recapture agreement with PFSI — 1,207 — — — — 1,207 Servicing received as proceeds from sales of mortgage loans — — — — — 8,655 8,655 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 6,035 — — — — — 6,035 Other factors (2,758 ) (4,828 ) 15,430 14,960 — (3,977 ) 18,827 3,277 (4,828 ) 15,430 14,960 — (3,977 ) 24,862 Transfers of mortgage loans to REO and real estate held for investment (26,705 ) — — — — — (26,705 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (23,814 ) — — — (23,814 ) Balance, September 30, 2017 $ 1,016,002 $ 248,763 $ 1,275 $ 56,878 $ 181 $ 82,312 $ 1,405,411 Changes in fair value recognized during the period relating to assets still held at September 30, 2017 $ (7,302 ) $ (4,828 ) $ 1,275 $ 4,162 $ — $ (3,977 ) $ (10,670 ) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended September 30, 2017 Interest-only security payable (in thousands) Liabilities: Balance, June 30, 2017 $ 6,577 Changes in fair value included in income arising from: Changes in instrument- specific credit risk — Other factors (191 ) (191 ) Balance, September 30, 2017 $ 6,386 Changes in fair value recognized during the period relating to liability outstanding at September 30, 2017 $ (191 ) Quarter ended September 30, 2016 Mortgage Excess Interest Mortgage loans servicing rate lock CRT servicing at fair value spread commitments (1) Agreements rights Total (in thousands) Assets: Balance, June 30, 2016 $ 1,608,906 $ 294,551 $ 16,757 $ (199 ) $ 57,977 $ 1,977,992 Purchases and issuances — — 30,429 — — 30,429 Repayments and sales (29,921 ) (16,342 ) — (6,206 ) — (52,469 ) Capitalization of interest 23,068 4,827 — — — 27,895 ESS received pursuant to a recapture agreement with PFSI — 1,438 — — — 1,438 Servicing received as proceeds from sales of mortgage loans — — — — 1,068 1,068 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 9,699 — — — — 9,699 Other factors (13,099 ) (4,107 ) 23,390 23,067 (3,202 ) 26,049 (3,400 ) (4,107 ) 23,390 23,067 (3,202 ) 35,748 Transfers of mortgage loans to REO (39,276 ) — — — — (39,276 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (55,248 ) — — (55,248 ) Balance, September 30, 2016 $ 1,559,377 $ 280,367 $ 15,328 $ 16,662 $ 55,843 $ 1,927,577 Changes in fair value recognized during the period relating to assets still held at September 30, 2016 $ (820 ) $ (4,107 ) $ 15,328 $ 16,662 $ (3,202 ) $ 23,861 (1) For the purpose of this table, the IRLC and CRT Agreement asset and liability positions are shown net. Quarter ended September 30, 2016 Interest-only security payable (in thousands) Liabilities: Balance, June 30, 2016 $ 1,663 Changes in fair value included in income arising from: Changes in instrument- specific credit risk — Other factors 36 36 Balance, September 30, 2016 $ 1,699 Changes in fair value recognized during the period relating to liability outstanding at September 30, 2016 $ 36 Nine months ended September 30, 2017 Mortgage Excess Interest Repurchase Mortgage loans servicing rate lock CRT agreement servicing at fair value spread commitments (1) Agreements (1) derivatives rights Total (in thousands) Assets: Balance, December 31, 2016 $ 1,354,572 $ 288,669 $ 3,777 $ 15,610 $ — $ 64,136 $ 1,726,764 Purchases and issuances — — 26,185 — 181 79 26,445 Repayments and sales (302,829 ) (42,320 ) — (27,595 ) — — (372,744 ) Capitalization of interest 27,737 13,011 — — — — 40,748 Capitalization of advances 17,759 — — — — — 17,759 ESS received pursuant to a recapture agreement with PFSI — 4,160 — — — — 4,160 Servicing received as proceeds from sales of mortgage loans — — — — — 28,467 28,467 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 23,498 — — — — — 23,498 Other factors (15,975 ) (14,757 ) 43,946 68,863 — (10,370 ) 71,707 7,523 (14,757 ) 43,946 68,863 — (10,370 ) 95,205 Transfers of mortgage loans to REO and real estate held for investment (88,760 ) — — — — — (88,760 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (72,633 ) — — — (72,633 ) Balance, September 30, 2017 $ 1,016,002 $ 248,763 $ 1,275 $ 56,878 $ 181 $ 82,312 $ 1,405,411 Changes in fair value recognized during the period relating to assets still held at September 30, 2017 $ (6,650 ) $ (14,757 ) $ 1,275 $ 41,268 $ — $ (10,370 ) $ 10,766 (1) For the purpose of this table, the IRLC and CRT Agreement asset and liability positions are shown net. Nine months ended September 30, 2017 Interest-only security payable (in thousands) Liabilities: Balance, December 31, 2016 $ 4,114 Changes in fair value included in income arising from: Changes in instrument- specific credit risk — Other factors 2,272 2,272 Balance, September 30, 2017 $ 6,386 Changes in fair value recognized during the period relating to liability outstanding at September 30, 2017 $ 2,272 Nine months ended September 30, 2016 Mortgage Excess Interest Mortgage loans servicing rate lock CRT servicing at fair value spread commitments (1) Agreements 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 — — 58,475 — 2,602 61,077 Repayments and sales (449,647 ) (113,668 ) — (12,601 ) — (575,916 ) Capitalization of interest 62,783 17,555 — — — 80,338 ESS received pursuant to a recapture agreement with PFSI — 5,039 — — — 5,039 Servicing received as proceeds from sales of mortgage loans — — — — 6,215 6,215 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 29,480 — — — — 29,480 Other factors (31,948 ) (40,984 ) 71,286 28,670 (19,558 ) 7,466 (2,468 ) (40,984 ) 71,286 28,670 (19,558 ) 36,946 Transfers of mortgage loans to REO (151,685 ) — — — — (151,685 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (119,079 ) — — (119,079 ) Balance, September 30, 2016 $ 1,559,377 $ 280,367 $ 15,328 $ 16,662 $ 55,843 $ 1,927,577 Changes in fair value recognized during the period relating to assets still held at September 30, 2016 $ (2,399 ) $ (33,774 ) $ 15,328 $ 16,662 $ (19,558 ) $ (23,741 ) (1) For the purpose of this table, the IRLC and CRT Agreement asset and liability positions are shown net. Nine months ended September 30, 2016 Interest-only security payable (in thousands) Liabilities: Balance, December 31, 2015 $ — Issuances 2,136 Changes in fair value included in income arising from: Changes in instrument- specific credit risk — Other factors (437 ) (437 ) Balance, September 30, 2016 1,699 Changes in fair value recognized during the period relating to liability outstanding at September 30, 2016 $ (437 ) 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” fair value inputs that are significant to the estimation of the fair values of the assets and liabilities 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): September 30, 2017 December 31, 2016 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: $ 1,269,137 $ 1,220,098 $ 49,039 $ 1,672,181 $ 1,633,569 $ 38,612 90 or more days delinquent: Not in foreclosure 759 954 (195 ) 145 189 (44 ) In foreclosure 444 497 (53 ) 786 717 69 1,203 1,451 (248 ) 931 906 25 $ 1,270,340 $ 1,221,549 $ 48,791 $ 1,673,112 $ 1,634,475 $ 38,637 Mortgage loans at fair value: Mortgage loans held in a consolidated VIE: Current through 89 days delinquent: $ 331,941 $ 325,529 $ 6,412 $ 367,169 $ 368,524 $ (1,355 ) 90 or more days delinquent: Not in foreclosure — — — — — — In foreclosure — — — — — — — — — — — — 331,941 325,529 6,412 367,169 368,524 (1,355 ) Distressed mortgage loans at fair value: Current through 89 days delinquent: 527,874 667,649 (139,775 ) 611,584 818,665 (207,081 ) 90 or more days delinquent: Not in foreclosure 210,783 319,417 (108,634 ) 305,431 425,460 (120,029 ) In foreclosure 277,345 397,909 (120,564 ) 437,557 595,534 (157,977 ) 488,128 717,326 (229,198 ) 742,988 1,020,994 (278,006 ) 1,016,002 1,384,975 (368,973 ) 1,354,572 1,839,659 (485,087 ) $ 1,347,943 $ 1,710,504 $ (362,561 ) $ 1,721,741 $ 2,208,183 $ (486,442 ) Following are the changes in fair value included in current period income by consolidated statement of income line item for financial statement items accounted for under the fair value option: Quarter ended September 30, 2017 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 — (1,481 ) — 5,001 3,520 Mortgage loans acquired for sale at fair value 32,935 — — — 32,935 Mortgage loans at fair value — 7,617 — 5,415 13,032 ESS at fair value — 3,998 — (4,828 ) (830 ) MSRs at fair value — — (3,977 ) — (3,977 ) $ 32,935 $ 10,134 $ (3,977 ) $ 5,588 $ 44,680 Liabilities: Interest-only security payable $ — $ — $ — $ 191 $ 191 Asset-backed financing of a VIE at fair value — (735 ) — (2,158 ) (2,893 ) $ — $ (735 ) $ — $ (1,967 ) $ (2,702 ) Quarter ended September 30, 2016 Net gain on Net mortgage mortgage loans Net loan Net gain acquired interest servicing on for sale income (1) fees investments Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — (1,193 ) — 517 (676 ) Mortgage loans acquired for sale at fair value 58,128 — — — 58,128 Mortgage loans at fair value — 23,261 — (3,936 ) 19,325 ESS at fair value — 4,827 — (4,107 ) 720 MSRs at fair value — — (3,202 ) — (3,202 ) $ 58,128 $ 26,895 $ (3,202 ) $ (7,526 ) $ 74,295 Liabilities: Asset-backed financing of a VIE at fair value $ — $ (2,520 ) $ — $ 2,990 $ 470 $ — $ (2,520 ) $ — $ 2,990 $ 470 (1) The amounts in the above table have been expanded to conform with current period presentation. The table includes the effect of capitalization of interest and accrual of unearned discounts on fair value. Nine months ended September 30, 2017 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 — (4,276 ) — 9,168 4,892 Mortgage loans acquired for sale at fair value 83,839 — — — 83,839 Mortgage loans at fair value — 29,195 — 13,832 43,027 ESS at fair value — 13,011 — (14,757 ) (1,746 ) MSRs at fair value — — (10,370 ) — (10,370 ) $ 83,839 $ 37,930 $ (10,370 ) $ 8,243 $ 119,642 Liabilities: Interest-only security payable $ — $ — $ — $ (2,272 ) $ (2,272 ) Asset-backed financing of a VIE at fair value — (1,807 ) — (5,581 ) (7,388 ) $ — $ (1,807 ) $ — $ (7,853 ) $ (9,660 ) Nine months ended September 30, 2016 Net gain on Net mortgage mortgage loans Net loan Net gain acquired interest servicing on for sale income (1) fees investments Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — (1,930 ) — 9,948 8,018 Mortgage loans acquired for sale at fair value 147,135 — — — 147,135 Mortgage loans at fair value — 65,070 — 5,342 70,412 ESS at fair value — 17,555 — (40,984 ) (23,429 ) MSRs at fair value — — (19,558 ) — (19,558 ) $ 147,135 $ 80,695 $ (19,558 ) $ (25,694 ) $ 182,578 Liabilities: Asset-backed financing of a VIE at fair value $ — $ (1,985 ) $ — $ (5,974 ) $ (7,959 ) $ — $ (1,985 ) $ — $ (5,974 ) $ (7,959 ) (1) The amounts in the above table have been expanded to conform with current period presentation. The table includes the effect of capitalization of interest and accrual of unearned discounts on fair value. Financial Statement Items Measured at Fair Value on a Nonrecurring Basis Following is a summary of financial statement items that were re-measured at fair value on a nonrecurring basis during the periods presented: September 30, 2017 Level 1 Level 2 Level 3 Total (in thousands) Real estate acquired in settlement of loans $ — $ — $ 60,805 $ 60,805 MSRs at lower of amortized cost or fair value — — 277,260 277,260 $ — $ — $ 338,065 $ 338,065 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 The following table summarizes the fair value changes recognized during the period on assets held at period end that were measured at fair value on a nonrecurring basis: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Real estate asset acquired in settlement of loans $ (5,666 ) $ (6,940 ) $ (7,454 ) $ (14,552 ) MSRs at lower of amortized cost or fair value (1,702 ) (3,460 ) (4,287 ) (44,336 ) $ (7,368 ) $ (10,400 ) $ (11,741 ) $ (58,888 ) 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 mortgage 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 fair 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 Certain of the Company’s borrowings are carried at amortized cost. The Company’s Assets sold under agreements to repurchase Mortgage loan participation purchase and sale agreements Notes payable, Exchangeable senior notes Assets sold to PennyMac Financial Services, Inc. under agreements to repurchase The Manager has concluded that the fair values of Assets sold under agreements to repurchase Mortgage loan participation purchase and sale agreements Notes payable Assets sold to PennyMac Financial Services, Inc. under agreements to repurchase Exchangeable senior notes Exchangeable senior notes Valuation Techniques and Inputs Most of the Company’s assets, its 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 assets and liabilities 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. PCM’s valuation committee includes PFSI’s executive chairman, and chief executive, chief financial, chief enterprise operations, chief risk and deputy chief financial 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 these MBS is established based on quoted market prices for the Company’s MBS or similar securities. Changes in the fair value of MBS are included in Net gain (loss) on investments Mortgage Loans Fair value of mortgage loans is estimated based on whether the mortgage loans are saleable into active markets: • Mortgage loans that are saleable into active markets, comprised of the Company’s mortgage loans acquired for sale at fair value and mortgage loans at fair value held in a VIE, are categorized as “Level 2” fair value 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 or contracted selling price when applicable. The valuation process for “Level 3” fair value mortgage loans includes the computation by stratum of the mortgage loans’ fair values and a review for reasonableness of various measures such as weighted average life, projected prepayment and default speeds, and projected default and loss percentages. The FAV group computes the effect on the valuation of changes in inputs such as interest rates, home prices, and delinquency status to assess the reasonableness of changes in the mortgage loan valuation. Changes in fair value attributable to changes in instrument-specific credit risk are measured by the effect on fair value of the change in the respective mortgage loan’s delinquency status and performance history at period-end from the later of the beginning of the period or acquisition date. The significant unobservable inputs used in the fair value measurement of the Company’s mortgage loans at fair value are discount rate, home price projections, voluntary prepayment speeds and default speeds. Significant changes in any of those inputs in isolation could result in a significant change to the mortgage loans’ fair value measurement. Increases in home price projections are generally accompanied by an increase in voluntary prepayment speeds. Changes in the fair value of mortgage loans at fair value are included in Net gain (loss) on investments Following is a quantitative summary of key inputs used in the valuation of mortgage loans at fair value: Key inputs September 30, 2017 December 31, 2016 Discount rate Range 2.9% – 15.0% 2.6% – 15.0% Weighted average 6.7% 7.1% Twelve-month projected housing price index change Range 3.4% – 4.9% 2.5% – 4.8% Weighted average 4.6% 3.7% Prepayment speed (1) Range 3.0% – 6.9% 0.1% – 10.9% Weighted average 4.1% 4.0% Total prepayment speed (2) Range 4.7% – 24.0% 2.9% – 24.6% Weighted average 16.7% 17.7% (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 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 September 30, 2017 December 31, 2016 UPB of underlying mortgage loans (in thousands) $ 28,385,316 $ 32,376,359 Average servicing fee rate (in basis points) 34 34 Average ESS rate (in basis points) 19 19 Pricing spread (1) Range 3.8% - 4.4% 3.8% - 4.8% Weighted average 4.2% 4.4% Annual total prepayment speed (2) Range 7.7% - 37.2% 7.0% - 41.3% Weighted average 10.7% 10.5% Life (in years) Range 1.5 - 8.1 1.4 - 8.6 Weighted average 6.6 6.8 (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 loan 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 the mortgage loan principal and interest payment cash flow component that has decreased in fair value. Changes in fair value of IRLCs are included in Net gain on mortgage loans acquired for sale Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs: Key inputs September 30, 2017 December 31, 2016 P |
Mortgage Loans Acquired for Sal
Mortgage Loans Acquired for Sale at Fair Value | 9 Months Ended |
Sep. 30, 2017 | |
Mortgage Loans On Real Estate [Abstract] | |
Mortgage Loans Acquired for Sale at Fair Value | Note 7—Mortgage Loans Acquired for Sale at Fair Value Mortgage loans acquired for sale at fair value is comprised of recently originated mortgage loans purchased by the Company for resale. Following is a summary of the distribution of the Company’s mortgage loans acquired for sale at fair value: Loan type September 30, 2017 December 31, 2016 (in thousands) Conventional: Agency-eligible $ 1,052,355 $ 847,810 Jumbo — 6,042 Held for sale to PLS — Government insured or guaranteed 202,320 804,616 Commercial real estate 8,870 8,961 Repurchased pursuant to representations and warranties 6,795 5,683 $ 1,270,340 $ 1,673,112 Mortgage loans pledged to secure: Assets sold under agreements to repurchase $ 1,206,859 $ 1,627,010 Mortgage loan participation purchase and sale agreements 45,057 26,738 $ 1,251,916 $ 1,653,748 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 |
Mortgage Loans at Fair Value
Mortgage Loans at Fair Value | 9 Months Ended |
Sep. 30, 2017 | |
Text Block [Abstract] | |
Mortgage Loans at Fair Value | Note 8—Mortgage Loans at Fair Value Mortgage loans at fair value are comprised of mortgage loans that are not acquired for sale and, to the extent they are not held in a VIE securing an asset-backed financing, may be sold at a later date pursuant to a management determination that such a sale represents the most advantageous liquidation strategy for the identified mortgage loan. Following is a summary of the distribution of the Company’s mortgage loans at fair value: September 30, 2017 December 31, 2016 Loan type Fair value Unpaid principal balance Fair value Unpaid principal balance (in thousands) Distressed mortgage loans: Nonperforming mortgage loans $ 488,128 $ 717,326 $ 742,988 $ 1,020,994 Performing mortgage loans: Fixed interest rate 242,873 315,065 296,901 408,943 Interest rate step-up 238,768 304,099 232,700 317,409 Adjustable-rate/hybrid 46,233 48,486 81,983 92,313 527,874 667,649 611,584 818,665 1,016,002 1,384,975 1,354,572 1,839,659 Fixed interest rate jumbo mortgage loans held in a VIE 331,941 325,529 367,169 368,524 $ 1,347,943 $ 1,710,504 $ 1,721,741 $ 2,208,183 Mortgage loans at fair value pledged to secure: Assets sold under agreements to repurchase $ 1,009,730 $ 1,345,021 Asset-backed financing of a VIE at fair value 331,941 367,169 $ 1,341,671 $ 1,712,190 Following is a summary of certain concentrations of credit risk in the portfolio of distressed mortgage loans at fair value: Concentration September 30, 2017 December 31, 2016 (percentages are of fair value) Portion of mortgage loans originated between 2005 and 2007 72% 72% Mortgage loans with unpaid-principal balance-to-current -property-value in excess of 100% 40% 41% States contributing 5% or more of mortgage loans New York California New Jersey Florida Massachusetts New York California New Jersey Florida Massachusetts |
Derivative Activities
Derivative Activities | 9 Months Ended |
Sep. 30, 2017 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
Derivative Activities | Note 9—Derivative Activities The Company holds and issues derivative financial instruments in connection with its operating activities. Derivative financial instruments are created as a result of certain of the Company’s operations and the Company also enters into derivative transactions as part of its interest rate risk management activities. Derivative financial instruments created as a result of the Company’s operations include: • IRLCs that are created when the Company commits to purchase mortgage loans acquired for sale; • CRT Agreements whereby the Company retains a Recourse Obligation relating to certain mortgage loans it sells into Fannie Mae guaranteed securitizations and an interest-only ownership interest in such mortgage loans; and • Derivatives that are embedded in a master repurchase agreement that provides for the Company to receive interest expense offsets if it finances mortgage loans approved as satisfying certain consumer credit relief characteristics under the master repurchase agreement. 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. 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 until 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 IRLC or mortgage loan acquired for sale to decrease. The Company is exposed to losses related to its investment in MSRs if market mortgage interest rates decrease, because market interest rate decreases generally encourages mortgage refinancing activity, which reduces the expected life of the mortgage loans underlying the MSRs, causing the fair value of MSRs to decrease. To manage the price risk resulting from interest rate risk, the Company uses derivative financial instruments 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 in a 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. Derivative Notional Amounts and Fair Value of Derivatives The Company had the following derivative assets and liabilities recorded within Derivative assets Derivative liabilities Other September 30, 2017 December 31, 2016 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 1,259,592 $ 2,789 $ 1,514 1,420,468 $ 7,069 $ 3,292 CRT Agreements 22,931,988 56,878 — 14,379,850 15,610 — Repurchase agreement derivatives — 181 — — — — Subject to master netting agreements ─ for hedging purposes: Forward purchase contracts 1,598,412 — 6,616 4,840,707 30,879 7,619 Forward sale contracts 2,808,847 8,861 165 6,148,242 13,164 17,974 MBS put options 1,125,000 1,503 — 925,000 1,697 — MBS call options 75,000 171 — 750,000 142 — Call options on interest rate futures 250,000 438 — 200,000 63 — Put options on interest rate futures 475,000 1,258 — 550,000 2,469 — Swap futures 275,000 — — 150,000 — — Eurodollar future contracts 1,038,000 — — 1,351,000 — — Total derivative instruments before netting 72,079 8,295 71,093 28,885 Netting (4,791 ) (3,395 ) (37,384 ) (19,312 ) $ 67,288 $ 4,900 $ 33,709 $ 9,573 Margin deposits placed with (received from) derivatives counterparties included in Other assets ( ) $ (1,395 ) $ (18,071 ) Derivative assets pledged to secure assets sold under agreements to repurchase $ 15,742 $ 9,078 The following tables summarize the notional amount activity for CRT Agreements and for derivative contracts used to hedge the Company’s MBS, inventory of mortgage loans acquired for sale, mortgage loans at fair value held in a VIE, IRLCs and MSRs. Quarter ended September 30, 2017 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) CRT Agreements 19,301,982 4,126,946 (496,940 ) 22,931,988 Forward purchase contracts 1,933,390 20,560,886 (20,895,864 ) 1,598,412 Forward sales contracts 3,644,636 27,214,513 (28,050,302 ) 2,808,847 MBS put options 1,475,000 3,200,000 (3,550,000 ) 1,125,000 MBS call options 200,000 275,000 (400,000 ) 75,000 Call options on interest rate futures 200,000 450,000 (400,000 ) 250,000 Put options on interest rate futures 925,000 2,500,000 (2,950,000 ) 475,000 Swap futures 175,000 100,000 — 275,000 Eurodollar future contracts 1,139,000 202,000 (303,000 ) 1,038,000 Treasury future buy contracts — 55,000 (55,000 ) — Treasury future sale contracts — 55,000 (55,000 ) — Quarter ended September 30, 2016 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) CRT Agreements 8,976,961 3,357,443 (137,768 ) 12,196,636 Forward purchase contracts 4,190,349 22,535,622 (21,093,789 ) 5,632,182 Forward sales contracts 4,347,526 29,853,649 (27,749,731 ) 6,451,444 MBS call option 1,525,000 3,875,000 (2,375,000 ) 3,025,000 Swap futures 12,500 12,500 (12,500 ) 12,500 Eurodollar future contracts 1,543,000 101,000 (202,000 ) 1,442,000 Treasury future buy contracts — 276,200 (126,200 ) 150,000 Treasury future sale contracts — 126,200 (126,200 ) — Call options on interest rate futures 525,000 1,825,000 (1,525,000 ) 825,000 Put options on interest rate futures 425,000 1,625,000 (850,000 ) 1,200,000 Nine months ended September 30, 2017 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) CRT Agreements 14,379,850 9,722,067 (1,169,929 ) 22,931,988 Forward purchase contracts 4,840,707 54,953,063 (58,195,358 ) 1,598,412 Forward sales contracts 6,148,242 73,030,446 (76,369,842 ) 2,808,847 MBS put options 925,000 5,125,000 (4,925,000 ) 1,125,000 MBS call options 750,000 475,000 (1,150,000 ) 75,000 Call options on interest rate futures 200,000 575,000 (525,000 ) 250,000 Put options on interest rate futures 550,000 5,875,000 (5,950,000 ) 475,000 Swap futures 150,000 950,000 (825,000 ) 275,000 Eurodollar future sale contracts 1,351,000 303,000 (616,000 ) 1,038,000 Treasury future buy contracts — 110,700 (110,700 ) — Treasury future sale contracts — 110,700 (110,700 ) — Nine months ended September 30, 2016 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) CRT Agreements 4,546,265 8,442,187 (791,816 ) 12,196,636 Forward purchase contracts 2,469,550 47,965,764 (44,803,132 ) 5,632,182 Forward sales contracts 2,450,642 65,146,064 (61,145,262 ) 6,451,444 MBS call option 375,000 6,600,000 (3,950,000 ) 3,025,000 Swap futures — 37,500 (25,000 ) 12,500 Eurodollar future sale contracts 1,755,000 181,000 (494,000 ) 1,442,000 Treasury future buy contracts — 276,200 (126,200 ) 150,000 Treasury future sale contracts — 126,200 (126,200 ) — Call options on interest rate futures 50,000 3,400,000 (2,625,000 ) 825,000 Put options on interest rate futures 1,600,000 4,225,000 (4,625,000 ) 1,200,000 Netting of Financial Instruments 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, the derivatives related to CRT Agreements and repurchase agreement derivatives. As of September 30, 2017 and December 31, 2016, 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. September 30, 2017 December 31, 2016 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 $ 2,789 $ — $ 2,789 $ 7,069 $ — $ 7,069 CRT Agreements 56,878 — 56,878 15,610 — 15,610 Repurchase agreement derivatives 181 — 181 — — — 59,848 — 59,848 22,679 — 22,679 Subject to master netting arrangements: Forward purchase contracts — — — 30,879 — 30,879 Forward sale contracts 8,861 — 8,861 13,164 — 13,164 MBS put options 1,503 — 1,503 1,697 — 1,697 MBS call options 171 — 171 142 — 142 Call options on interest rate futures 438 — 438 63 — 63 Put options on interest rate futures 1,258 — 1,258 2,469 — 2,469 Netting — (4,791 ) (4,791 ) — (37,384 ) (37,384 ) 12,231 (4,791 ) 7,440 48,414 (37,384 ) 11,030 $ 72,079 $ (4,791 ) $ 67,288 $ 71,093 $ (37,384 ) $ 33,709 Derivative Assets, Financial Instruments and Collateral Held by Counterparty The following table summarizes by significant counterparty the amount of derivative asset positions after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance qualifying for setoff accounting. September 30, 2017 December 31, 2016 Net amount of assets presented in the Gross amounts not offset in the consolidated balance sheet Net amount of assets presented in the Gross amounts not offset in the consolidated balance sheet consolidated balance sheet Financial instruments Cash collateral received Net amount consolidated balance sheet Financial instruments Cash collateral received Net amount (in thousands) CRT Agreements $ 56,878 $ — $ — $ 56,878 $ 15,610 $ — $ — $ 15,610 Interest rate lock commitments 2,789 — — 2,789 7,069 — — 7,069 Repurchase agreement derivatives 181 — — 181 — — — — Bank of America, N.A. 1,819 — — 1,819 1,881 — — 1,881 RJ O’Brien & Associates, LLC 1,695 — — 1,695 1,531 — — 1,531 JPMorgan Chase & Co. 911 — — 911 — — — — RBS Securities Inc. 655 — — 655 — — — — Citibank 565 — — 565 — — — — Goldman Sachs 511 — — 511 1,164 — — 1,164 Federal Home Loan Mortgage Corporation 464 — — 464 7 — — 7 Barclays Capital 394 — — 394 855 — — 855 Morgan Stanley Bank, N.A. 296 — — 296 — — — — Jefferies Group, Inc 70 — — 70 967 — — 967 Royal Bank of Canada — — — — 1,194 — — 1,194 Bank of Oklahoma — — — — 629 — — 629 Other 60 — — 60 2,802 — — 2,802 $ 67,288 $ — $ — $ 67,288 $ 33,709 $ — $ — $ 33,709 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. September 30, 2017 December 31, 2016 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 $ 1,514 $ — $ 1,514 $ 3,292 $ — $ 3,292 1,514 — 1,514 3,292 — 3,292 Subject to master netting arrangements: Forward purchase contracts 6,616 — 6,616 7,619 — 7,619 Forward sales contracts 165 — 165 17,974 — 17,974 Netting — (3,395 ) (3,395 ) — (19,312 ) (19,312 ) 6,781 (3,395 ) 3,386 25,593 (19,312 ) 6,281 8,295 (3,395 ) 4,900 28,885 (19,312 ) 9,573 Assets sold under agreements to repurchase: UPB 3,204,054 — 3,204,054 3,784,685 — 3,784,685 Unamortized debt issuance costs (668 ) — (668 ) (684 ) — (684 ) 3,203,386 — 3,203,386 3,784,001 — 3,784,001 $ 3,211,681 $ (3,395 ) $ 3,208,286 $ 3,812,886 $ (19,312 ) $ 3,793,574 Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty The following table summarizes by significant counterparty the amount of derivative liabilities and assets sold under agreements to repurchase after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance qualifying for setoff accounting. All assets sold under agreements to repurchase represent sufficient collateral or exceed the liability amount recorded on the consolidated balance sheet. September 30, 2017 December 31, 2016 Net amount of liabilities presented in the Gross amounts not offset in the consolidated balance sheet Net amount of liabilities presented in the Gross amounts not offset in the consolidated balance sheet consolidated balance sheet Financial instruments Cash collateral pledged Net amount consolidated balance sheet Financial instruments Cash collateral pledged Net amount (in thousands) Interest rate lock commitments $ 1,514 $ — $ — $ 1,514 $ 3,292 $ — $ — $ 3,292 Bank of America, N.A. 938,104 (938,104 ) — — 847,683 (847,683 ) — — Credit Suisse First Boston Mortgage Capital LLC 857,882 (857,882 ) — — 1,181,441 (1,181,235 ) — 206 JPMorgan Chase & Co. 445,746 (445,746 ) — — 544,009 (542,542 ) — 1,467 Citibank 280,127 (279,905 ) — 222 575,092 (573,589 ) — 1,503 Morgan Stanley Bank, N.A. 168,184 (168,184 ) — — 143,951 (142,055 ) — 1,896 Daiwa Capital Markets 157,827 (157,827 ) — — 177,316 (177,077 ) — 239 Deutsche Bank 114,852 (114,852 ) — — — — — — Royal Bank of Canada 94,424 (93,494 ) — 930 63,926 (63,926 ) — — Wells Fargo, N.A. 51,780 (51,377 ) — 403 116,648 (116,648 ) — — Barclays Capital 50,353 (50,353 ) — — 92,796 (92,796 ) — — BNP Paribas 46,330 (46,330 ) — — 47,785 (47,134 ) — 651 Federal National Mortgage Association 1,353 — — 1,353 312 — — 312 Other 478 — — 478 7 — — 7 Unamortized debt issuance costs (668 ) 668 — — (684 ) 684 — — $ 3,208,286 $ (3,203,386 ) $ — $ 4,900 $ 3,793,574 $ (3,784,001 ) $ — $ 9,573 Following are the net gains (losses) recognized by the Company on derivative financial instruments and the consolidated statements of income line items where such gains and losses are included: Quarter ended September 30, Nine months ended September 30, Derivative activity Statement of income line 2017 2016 2017 2016 (in thousands) Interest rate lock commitments Net gain on mortgage loans acquired for sale $ 24,694 $ 53,819 $ 70,131 $ 129,761 Hedged item: Interest rate lock commitments and mortgage loans acquired for sale Net gain on mortgage loans acquired for sale $ (16,943 ) $ (16,791 ) $ (32,308 ) $ (76,672 ) Mortgage servicing rights Net loan servicing fees $ 4,576 $ 5,612 $ (1,731 ) $ 63,006 Fixed-rate assets and LIBOR- indexed repurchase agreements Net gain on investments $ (5,910 ) $ (945 ) $ (14,943 ) $ (245 ) CRT agreements Net gain on investments $ 14,960 $ 18,477 $ 68,863 $ 22,098 |
Real Estate Acquired in Settlem
Real Estate Acquired in Settlement of Loans | 9 Months Ended |
Sep. 30, 2017 | |
Banking And Thrift [Abstract] | |
Real Estate Acquired in Settlement of Loans | Note 10—Real Estate Acquired in Settlement of Loans Following is a summary of financial information relating to REO: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Balance at beginning of period $ 207,034 $ 299,458 $ 274,069 $ 341,846 Transfers from mortgage loans at fair value and advances 22,951 42,300 76,981 156,352 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment (2,555 ) (5,282 ) (14,300 ) (17,548 ) Results of REO: Valuation adjustments, net (6,423 ) (7,888 ) (21,749 ) (25,816 ) Gain on sale, net 3,280 4,603 10,895 13,930 (3,143 ) (3,285 ) (10,854 ) (11,886 ) Proceeds from sales (39,253 ) (44,843 ) (140,862 ) (180,416 ) Balance at end of period $ 185,034 $ 288,348 $ 185,034 $ 288,348 September 30, 2017 December 31, 2016 (in thousands) REO pledged to secure assets sold under agreements to repurchase $ 84,796 $ 167,430 REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties 50,965 48,283 $ 135,761 $ 215,713 |
Mortgage Servicing Rights
Mortgage Servicing Rights | 9 Months Ended |
Sep. 30, 2017 | |
Text Block [Abstract] | |
Mortgage Servicing Rights | Note 11—Mortgage Servicing Rights Carried at Lower of Amortized Cost or Fair Value: Following is a summary of MSRs carried at lower of amortized cost or fair value: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Amortized Cost: Balance at beginning of period $ 673,433 $ 465,301 $ 606,103 $ 404,101 MSRs resulting from mortgage loan sales 74,183 76,567 178,894 167,691 Amortization (21,634 ) (17,902 ) (59,015 ) (47,720 ) Sales — — — (106 ) Balance at end of period 725,982 523,966 725,982 523,966 Valuation Allowance: Balance at beginning of period (16,257 ) (51,820 ) (13,672 ) (10,944 ) Additions to impairment valuation allowance (1,702 ) (3,460 ) (4,287 ) (44,336 ) Balance at end of period (17,959 ) (55,280 ) (17,959 ) (55,280 ) MSRs, net $ 708,023 $ 468,686 $ 708,023 $ 468,686 Fair value at beginning of period $ 682,437 $ 417,094 $ 626,334 $ 424,154 Fair value at end of period $ 728,828 $ 472,790 September 30, 2017 December 31, 2016 (in thousands) MSRs carried at lower of cost or fair value pledged to secure notes payable $ 696,991 $ 592,431 The following table summarizes the Company’s estimate of future amortization of its existing MSRs carried at amortized cost. This estimate was developed with the inputs used in the September 30, 2017 valuation of MSRs. The inputs underlying the following estimate will change as market conditions and portfolio composition and behavior change, causing both actual and projected amortization levels to change over time. Estimated MSR 12 months ended September 30, amortization (in thousands) 2018 $ 85,876 2019 78,404 2020 71,153 2021 64,092 2022 57,647 Thereafter 368,810 Total $ 725,982 Carried at Fair Value: Following is a summary of MSRs carried at fair value: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Balance at beginning of period $ 77,624 $ 57,977 $ 64,136 $ 66,584 Purchases 10 — 79 2,602 MSRs resulting from mortgage loan sales 8,655 1,068 28,467 6,215 Changes in fair value: Due to changes in valuation inputs used in valuation model (1) (2,628 ) (883 ) (6,956 ) (12,343 ) Other changes in fair value (2) (1,349 ) (2,319 ) (3,414 ) (7,215 ) (3,977 ) (3,202 ) (10,370 ) (19,558 ) Balance at end of period $ 82,312 $ 55,843 $ 82,312 $ 55,843 September 30, 2017 December 31, 2016 (in thousands) MSRs carried at fair value pledged to secure notes payable $ 81,279 $ 64,136 (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. Servicing fees relating to MSRs are recorded in Net mortgage loan servicing fees Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Contractually-specified servicing fees $ 42,237 $ 32,724 $ 119,223 $ 90,494 Ancillary and other fees: Late charges 173 148 536 421 Other 1,870 1,432 4,110 3,839 $ 44,280 $ 34,304 $ 123,869 $ 94,754 |
Assets Sold Under Agreements to
Assets Sold Under Agreements to Repurchase | 9 Months Ended |
Sep. 30, 2017 | |
Brokers And Dealers [Abstract] | |
Assets Sold Under Agreements to Repurchase | Note 12—Assets Sold Under Agreements to Repurchase Following is a summary of financial information relating to assets sold under agreements to repurchase: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (dollars in thousands) Weighted-average interest rate (1) 2.72 % 2.26 % 2.57 % 2.19 % Average balance $ 3,474,903 $ 3,538,720 $ 3,388,626 $ 3,202,829 Total interest expense $ 26,157 $ 23,751 $ 72,280 $ 66,217 Maximum daily amount outstanding $ 3,973,869 $ 4,824,044 $ 4,083,326 $ 5,221,997 (1) Excludes the effect of amortization of debt issuance costs of $1.9 million and $6.1 million for the quarter and nine months ended September 30, 2017, respectively, and $2.2 million and $6.5 million for the quarter and nine months ended September 30, 2016, respectively. September 30, 2017 December 31, 2016 (dollars in thousands) Carrying value: Unpaid principal balance $ 3,204,054 $ 3,784,685 Unamortized debt issuance costs and premiums (668 ) (684 ) $ 3,203,386 $ 3,784,001 Weighted-average interest rate 2.63 % 2.70 % Available borrowing capacity: Committed $ 457,144 $ 518,932 Uncommitted 2,233,034 1,092,253 $ 2,690,178 $ 1,611,185 Margin deposits placed with counterparties included in Other $ 15,037 $ 29,634 Fair value of assets securing agreements to repurchase: Mortgage-backed securities $ 1,036,669 $ 863,802 Mortgage loans acquired for sale at fair value $ 1,206,859 $ 1,627,010 Mortgage loans at fair value $ 1,009,730 $ 1,345,021 CRT Agreements: Deposits securing CRT agreements $ 408,100 $ 414,610 Derivative assets $ 15,742 $ 9,078 Real estate acquired in settlement of loans $ 135,761 $ 215,713 Real estate held for investment $ 29,664 $ — Following is a summary of maturities of outstanding assets sold under agreements to repurchase by facility maturity date: Remaining Maturity at September 30, 2017 Contractual balance (in thousands) Within 30 days $ 1,473,873 Over 30 to 90 days 50,353 Over 90 days to 180 days 470,753 Over 180 days to 1 year 1,209,075 Over one year to two years — $ 3,204,054 Weighted average maturity (in months) 3.9 The Company is subject to margin calls during the period the agreements are outstanding and therefore may be required to repay a portion of the borrowings before the respective agreements mature if the fair value (as determined by the applicable lender) of the assets securing those agreements decreases. The amount at risk (the fair value of the assets pledged plus the related margin deposit, less the amount advanced by the counterparty and interest payable) and maturity information relating to the Company’s assets sold under agreements to repurchase is summarized by counterparty below as of September 30, 2017: 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. $ 253,993 October 29, 2017 March 2, 2018 Credit Suisse First Boston Mortgage Capital LLC $ 93,099 December 17, 2017 April 27, 2018 JPMorgan Chase & Co. $ 11,729 October 13, 2017 October 13, 2017 JPMorgan Chase & Co. $ 83,685 — March 14, 2018 Bank of America, N.A. $ 21,671 December 20, 2017 May 25, 2018 Morgan Stanley $ 10,051 December 16, 2017 August 24, 2018 Deutsche Bank $ 7,272 December 25, 2017 March 30, 2018 Barclays Bank PLC $ 3,691 December 1, 2017 December 1, 2017 Securities sold under agreements to repurchase Counterparty Amount at risk Weighted average maturity (in thousands) JPMorgan Chase & Co. $ 4,092 October 16, 2017 Bank of America, N.A. $ 19,037 October 18, 2017 Daiwa Capital Markets America Inc. $ 7,006 October 19, 2017 Royal Bank of Canada $ 4,061 October 16, 2017 Wells Fargo, N.A. $ 2,381 October 12, 2017 CRT Agreements Counterparty Amount at risk Weighted average maturity (in thousands) Credit Suisse First Boston Mortgage Capital LLC $ 55,008 October 11, 2017 Bank of America, N.A. $ 35,283 October 13, 2017 BNP Paribas Corporate & Institutional Banking $ 19,150 October 6, 2017 |
Mortgage Loan Participation Pur
Mortgage Loan Participation Purchase and Sale Agreements | 9 Months Ended |
Sep. 30, 2017 | |
Text Block [Abstract] | |
Mortgage Loan Participation Purchase and Sale Agreements | Note 13—Mortgage Loan Participation Purchase and Sale Agreements Certain borrowing facilities secured by mortgage loans acquired for sale are in the form of mortgage loan participation purchase 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. The holdback amount is based on a percentage of the purchase price and is not required to be paid to the Company until the settlement of the security and its delivery to the lender. Mortgage loan participation purchase and sale agreements are summarized below: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (dollars in thousands) Weighted-average interest rate (1) 2.48 % 1.76 % 2.28 % 1.71 % Average balance $ 59,701 $ 73,537 $ 65,290 $ 70,955 Total interest expense $ 409 $ 361 $ 1,225 $ 1,023 Maximum daily amount outstanding $ 99,441 $ 99,469 $ 99,441 $ 99,469 (1) Excludes the effect of amortization of debt issuance costs of $31,000 and $94,000 for the quarter and nine months ended September 30, 2017, respectively, and $31,000 and $99,000 for the quarter and nine months ended September 30, 2016, respectively. September 30, 2017 December 31, 2016 (dollars in Carrying value: Amount outstanding $ 44,082 $ 25,917 Unamortized debt issuance costs (94 ) — $ 43,988 $ 25,917 Weighted-average interest rate 2.48 % 2.02 % Mortgage loans acquired for sale pledged to secure mortgage loan participation purchase and sale agreements $ 45,057 $ 26,738 |
Federal Home Loan Bank Advances
Federal Home Loan Bank Advances | 9 Months Ended |
Sep. 30, 2017 | |
Banking And Thrift [Abstract] | |
Federal Home Loan Bank Advances | Note 14—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 June 30, 2016. The FHLB advances are summarized below: Nine months ended September 30, 2016 (dollars Weighted-average interest rate 0.49 % Average balance $ 32,560 Total interest expense $ 122 Maximum daily amount outstanding $ 201,130 |
Notes Payable
Notes Payable | 9 Months Ended |
Sep. 30, 2017 | |
Debt Disclosure [Abstract] | |
Notes Payable | Note 15—Notes Payable On March 24, 2017, the Company, through PennyMac Corp (“PMC”) and PMH, entered into a Loan and Security Agreement with Barclays Bank PLC (“Barclays”), pursuant to which PMC and PMH may finance certain mortgage servicing rights (inclusive of any related excess servicing spread arising therefrom and that maybe transferred from PMC to PMH from time to time) relating to mortgage loans pooled into Freddie Mac securities (collectively, the “Freddie MSRs”), in an aggregate loan amount not to exceed $170 million, all of which is committed. The note matures on December 1, 2017, subject to a wind down period of up to one year following such maturity date. On March 24, 2017, the Company, through PMC and PMH, entered into a second Amended and Restated Loan and Security Agreement with Citibank, N.A., pursuant to which PMC and PMH finance certain MSRs (inclusive of any related excess servicing spread and/or junior excess strips arising therefrom and that may be transferred from PMC to PMH from time to time) relating to mortgage loans pooled into Fannie Mae securities (collectively, the “Fannie MSRs”) in an aggregate loan amount not to exceed $400 million, all of which is committed. The note matures on March 2, 2018. Following is a summary of financial information relating to the notes payable: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (dollars Weighted-average interest rate (1) 6.30 % 4.76 % 5.57 % 4.68 % Average balance $ 79,345 $ 170,907 $ 152,395 $ 190,878 Total interest expense $ 2,320 $ 2,883 $ 9,719 $ 9,217 Maximum daily amount outstanding $ 160,106 $ 196,317 $ 275,106 $ 234,476 (1) Excludes the effect of amortization of debt issuance costs of $1.0 million and $3.3 million for the quarter and nine months ended September 30, 2017, respectively, and $0.8 million and $2.4 million for the quarter and nine months ended September 30, 2016, respectively. September 30, 2017 December 31, 2016 (dollars in thousands) Carrying value: Amount outstanding $ 80,106 $ 275,106 Unamortized debt issuance costs — — $ 80,106 $ 275,106 Weighted-average interest rate 5.57 % 4.73 % MSRs pledged to secure notes payable $ 778,270 $ 656,567 |
Asset-Backed Financing of a Var
Asset-Backed Financing of a Variable Interest Entity at Fair Value | 9 Months Ended |
Sep. 30, 2017 | |
Text Block [Abstract] | |
Asset-Backed Financing of a Variable Interest Entity at Fair Value | Note 16—Asset-Backed Financing of a Variable Interest Entity at Fair Value Following is a summary of financial information relating to the asset-backed financing of a VIE: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (dollars in thousands) Weighted-average fair value $ 325,763 $ 330,622 $ 337,073 $ 326,962 Interest expense $ 3,515 $ 5,253 $ 10,520 $ 10,212 Weighted-average effective interest rate 3.34 % 3.23 % 3.41 % 3.31 % September 30, 2017 December 31, 2016 (dollars in thousands) Carrying value $ 318,404 $ 353,898 UPB $ 325,529 $ 355,494 Weighted-average interest rate 3.51 % 3.50 % The asset-backed financing of a VIE is a non-recourse liability and secured solely by the assets of a consolidated VIE and not by any other assets of the Company. The assets of the VIE are the only source of funds for repayment of the certificates. |
Exchangeable Senior Notes
Exchangeable Senior Notes | 9 Months Ended |
Sep. 30, 2017 | |
Text Block [Abstract] | |
Exchangeable Senior Notes | Note 17—Exchangeable Senior Notes PMC issued in a private offering $250 million aggregate principal amount of exchangeable senior notes (“Exchangeable Notes”) due May 1, 2020. The Exchangeable Notes bear interest at a rate of 5.375% per year, payable semiannually. The Exchangeable Notes are exchangeable into common shares of the Company at a rate of 33.8667 common shares per $1,000 principal amount of the Exchangeable Notes as of September 30, 2017, which is an increase over the initial exchange rate of 33.5149. The increase in the calculated exchange rate was the result of quarterly cash dividends exceeding the quarterly dividend threshold amount of $0.57 per share in prior reporting periods, as provided in the related indenture. Following is financial information relating to the Exchangeable Notes: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Weighted-average UPB $ 250,000 $ 250,000 $ 250,000 $ 250,000 Interest expense $ 3,636 $ 3,620 $ 10,895 $ 10,848 September 30, 2017 December 31, 2016 (in thousands) Carrying value: UPB $ 250,000 $ 250,000 Unamortized debt issuance costs (3,094 ) (3,911 ) $ 246,906 $ 246,089 |
Liability for Losses Under Repr
Liability for Losses Under Representations and Warranties | 9 Months Ended |
Sep. 30, 2017 | |
Text Block [Abstract] | |
Liability for Losses Under Representations and Warranties | Note 18—Liability for Losses Under Representations and Warranties Following is a summary of the Company’s liability for losses under representations and warranties: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Balance, beginning of period $ 10,697 $ 19,258 $ 15,350 $ 20,171 Provision for losses: Pursuant to mortgage loan sales 1,075 781 2,355 2,002 Reduction in liability due to change in estimate (1,642 ) (5,098 ) (7,523 ) (6,822 ) Losses incurred (83 ) (14 ) (135 ) (424 ) Balance, end of period $ 10,047 $ 14,927 $ 10,047 $ 14,927 UPB of mortgage loans subject to representations and warranties at end of period $ 67,196,537 $ 50,167,783 |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2017 | |
Commitments And Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 19—Commitments and Contingencies Litigation From time to time, the Company may be involved in various proceedings, claims and legal actions arising in the ordinary course of business. As of September 30, 2017, the Company was not involved in any such proceedings, claims or legal actions that in management’s view would reasonably be likely to have a material adverse effect on the Company. Commitments The following table summarizes the Company’s outstanding contractual commitments: September 30, 2017 (in thousands) Commitments to purchase mortgage loans acquired for sale $ 1,259,592 Commitments to fund Deposits securing CRT agreements $ 356,274 (1) Certain deposits of cash collateral on CRT Agreements are made upon the first to occur of fulfillment of the aggregation obligation or the lapse of the aggregation period. |
Shareholders' Equity
Shareholders' Equity | 9 Months Ended |
Sep. 30, 2017 | |
Equity [Abstract] | |
Shareholders' Equity | Note 20—Shareholders’ Equity Preferred Shares of Beneficial Interest Preferred shares of beneficial interest are summarized below: September 30, 2017 Series Description (1) Number of shares Liquidation preference Issuance discount Carrying value (in thousands) A 8.125% fixed-to-floating rate cumulative redeemable preferred, Issuance March 2017 4,600 $ 115,000 $ 3,828 $ 111,172 B 8.00% fixed-to-floating rate cumulative redeemable preferred, Issuance July 2017 7,800 195,000 6,465 188,535 12,400 $ 310,000 $ 10,293 $ 299,707 (1) Par value is $0.01 per share for both series. During July 2017, the Company issued 7,800,000 of its 8.00% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Shares of Beneficial Interest, $0.01 par value per share (the “Series B Preferred Shares”). From, and including, the date of original issuance to, but not including, June 15, 2024, the Company pays cumulative dividends on the Series B Preferred Shares at a fixed rate of 8.00% per annum based on the $25.00 per share liquidation preference, or $2.00 per share. From, and including, June 15, 2024 and thereafter, the Company will pay cumulative dividends on the Series B Preferred Shares at a floating rate equal to three-month LIBOR as calculated on each applicable dividend determination date plus a spread of 5.99% per annum based on the $25.00 per share liquidation preference. The Company paid dividends of $0.39 per Series B Preferred Share for the nine months ended September 30, 2017. The Series B Preferred Shares will not be redeemable before June 15, 2024, except in connection with the Company’s qualification as a REIT for U.S. federal income tax purposes and except as described below upon the occurrence of a change of control. On or after June 15, 2024, or 120 days after the first date on which such change of control occurred, the Company may, at its option, redeem any or all of the Series B Preferred Shares at $25.00 per share plus any accumulated and unpaid dividends thereon to, but not including, the redemption date. During March 2017, the Company issued 4,600,000 of its 8.125% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Shares of Beneficial Interest, $0.01 par value per share (“Series A Preferred Shares” and, together with the Series B Preferred Shares, the “Preferred Shares”). From, and including, the date of original issuance to, but not including, March 15, 2024, the Company pays cumulative dividends on the Series A Preferred Shares at a fixed rate of 8.125% per annum based on the $25.00 per share liquidation preference. From, and including, March 15, 2024 and thereafter, the Company will pay cumulative dividends on the Series A Preferred Shares at a floating rate equal to three-month LIBOR as calculated on each applicable dividend determination date plus a spread of 5.831% per annum based on the $25.00 per share liquidation preference. The Company paid dividends of $1.05 per Series A Preferred Share during the nine months ended September 30, 2017. The Series A Preferred Shares will not be redeemable before March 15, 2024, except in connection with the Company’s qualification as a REIT for U.S. federal income tax purposes or upon the occurrence of a change of control of the Company as described in the prospectus supplement filed with the SEC on March 6, 2017. On or after March 15, 2024 or within 120 days of the occurrence of a change in control, the Company may, at its option, redeem any or all of the Series A Preferred Shares at $25.00 per share plus any accumulated and unpaid dividends thereon to, but not including, the redemption date. The Company will pay quarterly cumulative dividends on its Preferred Shares on the 15 th Common Share Repurchases During August 2015, the Company’s board of trustees authorized a common share repurchase program under which the Company may repurchase up to $150 million of its outstanding common shares. During February 2016, the Company’s board of trustees approved an increase to its share repurchase program pursuant to which the Company is now authorized to repurchase up to $200 million of its common shares. The following table summarizes the Company’s share repurchase activity: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 Cumulative total (1) (in thousands) Common shares repurchased 966 687 1,105 7,029 9,518 Cost of common shares repurchased $ 16,417 $ 10,595 $ 18,724 $ 93,429 $ 133,431 (1) Amounts represent the share repurchase program total from its inception in August 2015 through September 30, 2017. The repurchased common shares were canceled upon settlement of the repurchase transactions and returned to the authorized but unissued common share pool. Conditional Reimbursement of IPO Underwriting Costs 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. The Company made payments under the Reimbursement Agreement totaling $61,000 during the quarter and nine months ended September 30, 2017. No payments were made during the quarter and nine months ended September 30, 2016. The Reimbursement Agreement expires on February 1, 2019. |
Net Gain on Mortgage Loans Acqu
Net Gain on Mortgage Loans Acquired for Sale | 9 Months Ended |
Sep. 30, 2017 | |
Text Block [Abstract] | |
Net Gain on Mortgage Loans Acquired for Sale | Note 21—Net Gain on Mortgage Loans Acquired for Sale Net gain on mortgage loans acquired for sale is summarized below: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) From non-affiliates: Cash loss: Mortgage loans $ (51,485 ) $ (27,639 ) $ (135,666 ) $ (52,812 ) Hedging activities (13,468 ) (17,378 ) (16,931 ) (79,072 ) (64,953 ) (45,017 ) (152,597 ) (131,884 ) Non cash gain: Receipt of MSRs in mortgage loan sale transactions 82,838 77,635 207,361 173,906 Provision for losses relating to representations and warranties provided in mortgage loan sales: Pursuant to mortgage loans sales (1,075 ) (781 ) (2,355 ) (2,002 ) Reduction in liability due to change in estimate 1,642 5,098 7,523 6,822 Change in fair value of financial instruments held at end of period: IRLCs 880 (1,429 ) (2,502 ) 10,681 Mortgage loans (1,165 ) 5,228 2,891 16,980 Hedging derivatives (3,475 ) 587 (15,377 ) 2,400 (3,760 ) 4,386 (14,988 ) 30,061 Total from non-affiliates 14,692 41,321 44,944 76,903 From PFSI—cash gain 3,275 2,537 9,340 6,230 $ 17,967 $ 43,858 $ 54,284 $ 83,133 |
Net Gain (Loss) on Investments
Net Gain (Loss) on Investments | 9 Months Ended |
Sep. 30, 2017 | |
Investments Debt And Equity Securities [Abstract] | |
Net Gain (Loss) on Investments | Note 22—Net Gain (Loss) on Investments Net gain (loss) on investments is summarized below: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Net gain (loss) on investments: From non-affiliates: Mortgage-backed securities $ 5,001 $ 517 $ 9,168 $ 9,948 Distressed mortgage loans at fair value 3,277 (3,400 ) 7,523 (2,468 ) Mortgage loans held in a VIE at fair value 2,138 (536 ) 6,309 7,810 CRT Agreements 15,151 18,477 66,591 22,098 Asset-backed financing of a VIE at fair value (2,158 ) 2,990 (5,581 ) (5,974 ) Hedging derivatives (5,910 ) (945 ) (14,943 ) (245 ) 17,499 17,103 69,067 31,169 From PFSI—ESS (3,665 ) (2,824 ) (10,920 ) (36,275 ) $ 13,834 $ 14,279 $ 58,147 $ (5,106 ) |
Net Mortgage Loan Servicing Fee
Net Mortgage Loan Servicing Fees | 9 Months Ended |
Sep. 30, 2017 | |
Text Block [Abstract] | |
Net Mortgage Loan Servicing Fees | Note 23—Net Mortgage Loan Servicing Fees Net mortgage loan servicing fees are summarized below: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) From non-affiliates: Servicing fees (1) $ 44,280 $ 34,304 $ 123,869 $ 94,754 Effect of MSRs: Carried at lower of amortized cost or fair value: Amortization (21,634 ) (17,902 ) (59,015 ) (47,720 ) Additions to impairment valuation allowance (1,702 ) (3,460 ) (4,287 ) (44,336 ) Gain on sale — — — 11 Carried at fair value—change in fair value (3,977 ) (3,202 ) (10,370 ) (19,558 ) Gains (losses) on hedging derivatives 4,576 5,612 (1,731 ) 63,006 (22,737 ) (18,952 ) (75,403 ) (48,597 ) 21,543 15,352 48,466 46,157 From PFSI—MSR recapture income 333 409 859 849 Net mortgage loan servicing fees $ 21,876 $ 15,761 $ 49,325 $ 47,006 Average servicing portfolio $ 63,584,416 $ 48,997,875 $ 61,764,228 $ 46,125,926 (1) Includes contractually specified servicing and ancillary fees, net of Agency guarantee fees. |
Net Interest Income
Net Interest Income | 9 Months Ended |
Sep. 30, 2017 | |
Banking And Thrift Interest [Abstract] | |
Net Interest Income | Note 24—Net Interest Income Net interest income is summarized below: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Interest income: From nonaffiliates: Short-term investments $ 132 $ 165 $ 516 $ 747 Mortgage-backed securities 7,447 3,394 21,954 8,863 Mortgage loans acquired for sale at fair value 16,202 15,008 40,699 37,868 Mortgage loans at fair value: Distressed 14,213 28,952 53,456 81,180 Held in a VIE 3,766 4,040 11,370 14,520 Deposits securing CRT Agreements 1,440 285 2,703 661 Placement fees relating to custodial funds 4,330 1,445 8,212 2,786 Other 49 18 142 86 47,579 53,307 139,052 146,711 From PFSI—ESS 3,998 4,827 13,011 17,555 51,577 58,134 152,063 164,266 Interest expense: To nonaffiliates: Assets sold under agreements to repurchase 26,157 23,751 72,280 66,217 Mortgage loan participation purchase and sale agreements 409 361 1,225 1,023 FHLB advances — — — 122 Notes payable 2,320 2,883 9,719 9,217 Asset-backed financings of VIEs at fair value 3,515 5,253 10,520 10,212 Exchangeable Notes 3,636 3,620 10,895 10,848 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 1,638 2,142 4,068 4,703 Interest on mortgage loan impound deposits 486 346 1,229 787 38,161 38,356 109,936 103,129 To PFSI—Assets sold under agreement to repurchase 2,116 1,974 5,946 5,798 40,277 40,330 115,882 108,927 Net interest income $ 11,300 $ 17,804 $ 36,181 $ 55,339 |
Share-Based Compensation Plans
Share-Based Compensation Plans | 9 Months Ended |
Sep. 30, 2017 | |
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract] | |
Share-Based Compensation Plans | Note 25—Share-Based Compensation Plans As of September 30, 2017 and December 31, 2016, the Company had one share-based compensation plan. The following table summarizes the Company’s share-based compensation activity: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Restricted share units granted 2 — 136 218 Performance share units granted — — 126 112 Total share units granted 2 — 262 330 Grant date fair value of restricted share units granted $ 36 $ — $ 2,317 $ 2,690 Grant date fair value of performance share units granted — — 1,675 1,351 Total fair value of share units granted $ 36 $ — $ 3,992 $ 4,041 Restricted share units vested — — 284 299 Performance share units vested — — — — Total share units vested — — 284 299 Restricted share units forfeited — — 13 299 Performance share units forfeited — — — — Total share units forfeited — — 13 299 Compensation expense relating to share-based grants $ 737 $ 1,129 $ 3,864 $ 4,142 |
Other Expenses
Other Expenses | 9 Months Ended |
Sep. 30, 2017 | |
Other Income And Expenses [Abstract] | |
Other Expenses | Note 26—Other Expenses Other expenses are summarized below: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Common overhead allocation from PFSI $ 1,193 $ 1,417 $ 4,220 $ 6,413 Real estate held for investment 1,898 821 4,339 2,308 Technology 374 279 1,088 1,045 Insurance 300 304 968 938 Other 1,434 1,123 4,428 2,713 $ 5,199 $ 3,944 $ 15,043 $ 13,417 |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2017 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Note 27—Income Taxes The Company’s effective tax rate was 19.7% and 2.1% for the quarter and nine months ended September 30, 2017 and 21.3% and 6.8% for the quarter and nine months ended September 30, 2016, respectively. The Company’s taxable REIT subsidiary recognized a tax expense of $4.8 million on income of $12.0 million and tax expense of $0.9 million on income of $4.5 million while the Company’s reported consolidated pretax income was $24.2 million and $78.6 million for the quarter and nine months ended September 30, 2017. For the same periods in 2016, the Company’s taxable REIT subsidiary recognized tax expense of $9.7 million and $3.6 million on income of $24.2 million and $9.0 million, respectively, while the Company’s reported consolidated pretax income was $45.0 million and $47.9 million during such periods. The relative values between the tax benefit or expense at the taxable REIT subsidiary and the Company’s consolidated pretax income drive the fluctuation in the effective tax rate. The primary difference between the Company’s effective tax rate and the statutory tax rate is due to nontaxable REIT income resulting from the dividends paid deduction. In general, cash dividends declared by the Company will be considered ordinary income to shareholders for income tax purposes. Some portion of the dividends may be characterized as capital gain distributions or a return of capital. |
Earnings Per Share
Earnings Per Share | 9 Months Ended |
Sep. 30, 2017 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Note 28—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 Notes, by the weighted-average common shares outstanding, assuming all dilutive securities were issued. In periods in which the Company records a loss, potentially dilutive securities are excluded from the diluted loss per share calculation, as their effect on loss per share is anti-dilutive. The following table summarizes the basic and diluted earnings per share calculations: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands except per share amounts) Net income $ 19,395 $ 35,408 $ 76,911 $ 44,637 Preferred share dividends (6,125 ) — (9,032 ) — Effect of participating securities—share-based compensation awards (231 ) (341 ) (760 ) (1,026 ) Net income available to common shareholders $ 13,039 $ 35,067 $ 67,119 $ 43,611 Net income available to common shareholders $ 13,039 $ 35,067 $ 67,119 $ 43,611 Interest on Exchangeable Notes, net of income taxes — 2,181 6,564 — Diluted net income attributable to common shareholders $ 13,039 $ 37,248 $ 73,683 $ 43,611 Weighted-average basic shares outstanding 66,636 67,554 66,702 69,289 Dilutive securities: Shares issuable under share-based compensation plan — 308 — — Shares issuable pursuant to exchange of the Exchangeable Notes — 8,467 8,467 — Diluted weighted-average number of shares outstanding 66,636 76,329 75,169 69,289 Basic earnings per share $ 0.20 $ 0.52 $ 1.01 $ 0.63 Diluted earnings per share $ 0.20 $ 0.49 $ 0.98 $ 0.63 Calculation of diluted earnings per share requires certain potentially dilutive shares to be excluded based on whether the inclusion of such shares in the diluted earnings per share calculation would be antidilutive. The following table summarizes the potentially dilutive shares excluded from the diluted earnings per share calculation for the periods as inclusion of such shares would have been antidilutive: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Shares issuable under share-based compensation awards 643 — 699 717 Shares issuable pursuant to exchange of the Exchangeable Notes 8,467 — — 8,467 |
Segments and Related Informatio
Segments and Related Information | 9 Months Ended |
Sep. 30, 2017 | |
Segment Reporting [Abstract] | |
Segments and Related Information | Note 29—Segments and Related Information During the nine months ended September 30, 2017, the Company changed the composition of its operating segments. The reporting used by the Company’s chief operating decision maker has changed as the Company’s investment activities have become more diversified. The Manager has focused this broadened investment base on two classes of investments: credit sensitive and interest rate sensitive mortgage related assets. As this focus has developed, the Manager’s reporting on and management of the Company’s investments has also developed along these lines. Accordingly, during the nine months ended September 30, 2017, the Manager re-evaluated this new information in relation to its definition of its operating segments. The Company has redefined its segment reporting to separately distinguish its investment activities between credit sensitive and interest rate sensitive investments and certain corporate activities. Credit sensitive investment strategies include investments in distressed mortgage loans, REO, CRT Agreements, non-Agency subordinated bonds and small balance commercial real estate mortgage loans. Interest rate sensitive strategies include investments in MSRs, ESS, Agency and senior non-Agency MBS and the related interest rate hedging activities. The corporate segment includes certain interest income, management fee and corporate expense amounts. Segment results for the quarter and nine months ended September 30, 2016 have been restated to conform prior year presentation to the new segment composition. Financial highlights by operating segment are summarized below: Quarter ended September 30, 2017 Correspondent production Credit sensitive strategies Interest rate sensitive strategies Corporate Total (in thousands) Net investment income: Net gain on mortgage loans acquired for sale $ 17,963 $ 4 $ — $ — $ 17,967 Net gain (loss) on investments — 18,562 (4,728 ) — 13,834 Net mortgage loan servicing fees — 47 21,829 — 21,876 Net interest income: Interest income 16,018 15,951 19,426 182 51,577 Interest expense (11,351 ) (13,096 ) (15,830 ) — (40,277 ) 4,667 2,855 3,596 182 11,300 Other income (loss) 11,762 (935 ) — — 10,827 34,392 20,533 20,697 182 75,804 Expenses: Mortgage loan fulfillment, servicing and management fees payable to PFSI 23,508 4,273 7,128 — 34,909 Management fees — — — 6,038 6,038 Other 2,574 3,194 265 4,658 10,691 26,082 7,467 7,393 10,696 51,638 Pre-tax income (loss) $ 8,310 $ 13,066 $ 13,304 $ (10,514 ) $ 24,166 Total assets at end of period $ 1,304,647 $ 1,959,792 $ 2,414,477 $ 106,127 $ 5,785,043 Quarter ended September 30, 2016 Correspondent production Credit sensitive strategies Interest rate sensitive strategies Corporate Total (in thousands) Net investment income: Net gain on mortgage loans acquired for sale $ 43,946 $ (88 ) $ — $ — $ 43,858 Net gain (loss) on investments — 16,145 (1,866 ) — 14,279 Net mortgage loan servicing fees — — 15,761 — 15,761 Net interest income: Interest income 14,835 29,771 13,346 182 58,134 Interest expense (9,613 ) (14,944 ) (15,773 ) — (40,330 ) 5,222 14,827 (2,427 ) 182 17,804 Other income 12,724 (1,100 ) — — 11,624 61,892 29,784 11,468 182 103,326 Expenses: Mortgage loan fulfillment and servicing fees payable to PFSI 27,255 5,629 5,410 — 38,294 Management fees — — — 5,025 5,025 Other 2,539 7,542 424 4,488 14,993 29,794 13,171 5,834 9,513 58,312 Pre-tax income (loss) $ 32,098 $ 16,613 $ 5,634 $ (9,331 ) $ 45,014 Total assets at end of period $ 2,088,515 $ 2,446,785 $ 1,910,121 $ 173,480 $ 6,618,901 Nine months ended September 30, 2017 Correspondent production Credit sensitive strategies Interest rate sensitive strategies Corporate Total (in thousands) Net investment income: Net gain on mortgage loans acquired for sale $ 54,117 $ 167 $ — $ — $ 54,284 Net gain (loss) on investments — 74,695 (16,548 ) — 58,147 Net mortgage loan servicing fees — 91 49,234 — 49,325 Net interest income: Interest income 40,194 57,011 54,200 658 152,063 Interest expense (28,214 ) (41,178 ) (46,490 ) — (115,882 ) 11,980 15,833 7,710 658 36,181 Other income (loss) 30,576 (4,281 ) — 5 26,300 96,673 86,505 40,396 663 224,237 Expenses: Mortgage loan fulfillment, servicing and management fees payable to PFSI 61,191 12,143 19,837 — 93,171 Management fees — — — 16,684 16,684 Other 6,614 11,419 1,094 16,656 35,783 67,805 23,562 20,931 33,340 145,638 Pre-tax income (loss) $ 28,868 $ 62,943 $ 19,465 $ (32,677 ) $ 78,599 Total assets at period end $ 1,304,647 $ 1,959,792 $ 2,414,477 $ 106,127 $ 5,785,043 Nine months ended September 30, 2016 Correspondent production Credit sensitive strategies Interest rate sensitive strategies Corporate Total (in thousands) Net investment income: Net gain on mortgage loans acquired for sale $ 83,565 $ (432 ) $ — $ — $ 83,133 Net gain (loss) on investments — 21,389 (26,495 ) — (5,106 ) Net mortgage loan servicing fees — — 47,006 — 47,006 Net interest income: Interest income 37,248 83,550 43,017 451 164,266 Interest expense (23,144 ) (47,039 ) (38,744 ) — (108,927 ) 14,104 36,511 4,273 451 55,339 Other income (loss) 28,186 (5,398 ) — — 22,788 125,855 52,070 24,784 451 203,160 Expenses: Mortgage loan fulfillment, servicing and management fees payable to PFSI 59,301 23,863 15,056 — 98,220 Management fees — — — 15,576 15,576 Other 5,620 17,209 1,018 17,618 41,465 64,921 41,072 16,074 33,194 155,261 Pre-tax income $ 60,934 $ 10,998 $ 8,710 $ (32,743 ) $ 47,899 Total assets at period end $ 2,088,515 $ 2,446,785 $ 1,910,121 $ 173,480 $ 6,618,901 |
Supplemental Cash Flow Informat
Supplemental Cash Flow Information | 9 Months Ended |
Sep. 30, 2017 | |
Supplemental Cash Flow Elements [Abstract] | |
Supplemental Cash Flow Information | Note 30—Supplemental Cash Flow Information Nine months ended September 30, 2017 2017 2016 (in thousands) Cash paid for interest $ 115,108 $ 111,008 Income taxes (refunded) paid, net $ (294 ) $ 388 Non-cash investing activities: Receipt of MSRs as proceeds from sales of mortgage loans $ 207,361 $ 173,906 Transfer of mortgage loans and advances to real estate acquired in settlement of loans $ 76,981 $ 156,352 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment $ 14,300 $ 17,548 Receipt of ESS pursuant to recapture agreement with PFSI $ 4,160 $ 5,039 Capitalization of servicing advances pursuant to mortgage loan modifications $ 17,759 $ — Non-cash financing activities: Dividends payable $ 31,655 $ 31,804 |
Regulatory Capital and Liquidit
Regulatory Capital and Liquidity Requirements | 9 Months Ended |
Sep. 30, 2017 | |
Mortgage Banking [Abstract] | |
Regulatory Capital and Liquidity Requirements | Note 31—Regulatory Capital and Liquidity Requirements PMC is a seller/servicer for Fannie Mae and Freddie Mac. The Company is required to comply with the following minimum capital and liquidity eligibility requirements to remain in good standing with each Agency: • A minimum net worth of a base of $2.5 million plus 25 basis points of UPB for total 1-4 unit residential mortgage loans serviced; • A tangible net worth/total assets ratio greater than or equal to 6%; and • Liquidity equal to or exceeding 3.5 basis points multiplied by the aggregate UPB of all mortgages secured by 1-4 unit residential properties serviced for Freddie Mac and Fannie Mae (“Agency Mortgage Servicing”) plus 200 basis points multiplied by the sum of nonperforming (90 or more days delinquent) Agency Mortgage Servicing that exceeds 6% of Agency Mortgage Servicing. Such Agencies’ capital and liquidity requirements, the calculations of which are defined by each entity, are summarized below: September 30, 2017 Net Worth (1) Tangible Net Worth / Total Assets Ratio (1) Liquidity (1) Fannie Mae and Freddie Mac Actual Required Actual Required Actual Required (in thousands) (in thousands) September 30, 2017 $ 466,530 $ 172,311 12 % 6 % $ 86,919 $ 23,774 December 31, 2016 $ 392,056 $ 143,259 12 % 6 % $ 26,670 $ 19,706 (1) Calculated in accordance with the Agencies’ capital and liquidity requirements. Noncompliance with the Agencies’ capital and liquidity requirements can result in the Agencies taking various remedial actions up to and including removing the Company’s ability to sell loans to and service loans on behalf of the Agencies. |
Recently Issued Accounting Pron
Recently Issued Accounting Pronouncements | 9 Months Ended |
Sep. 30, 2017 | |
Accounting Changes And Error Corrections [Abstract] | |
Recently Issued Accounting Pronouncements | Note 32—Recently Issued Accounting Pronouncements Revenue Recognition 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 ASU 2014-09, including: • In August 2015, ASU 2015-14, Revenue From Contracts With Customers • In March 2016, ASU 2016-08, Principal Versus Agent Considerations (Reporting Revenue Gross versus Net) • In May 2016, ASU 2016-12, Narrow-Scope Improvements and Practical Expedients • In December 2016, ASU 2016-20, Technical Corrections and Improvements to Topic 606, Revenue from Contracts with Customers o Clarify that guarantee fees within the scope of the Guarantees Revenue from Contracts with Customers Derivatives and Hedging o Clarify the Other Assets and Deferred Costs—Contracts with Customers o Clarify the interaction of impairment testing with guidance in other ASC topics that impairment testing first should be performed on assets not within the scope of the Other Assets and Deferred Costs Intangibles-Goodwill and Other Property, Plant, and Equipment Inventory Other Assets and Deferred Other Assets and Deferred Costs Intangibles-Goodwill and Other Property, Plant, and Equipment o Clarify that all contracts within the scope of the Financial Services – Insurance o Provide optional exemptions from the disclosure requirement for remaining performance obligations for specific situations in which an entity need not estimate variable consideration to recognize revenue and expands the information that is required to be disclosed when an entity applies one of the optional exemptions. o Clarify that the disclosure of revenue recognized from performance obligations satisfied (or partially satisfied) in previous periods applies to all performance obligations and is not limited to performance obligations with corresponding contract balances. • In February 2017, ASU 2017-05, Other Income—Gains and Losses from the Derecognition of Nonfinancial Assets (Subtopic 610-20) Other Income—Gains and Losses from the Derecognition of Nonfinancial Assets o A financial asset is within the scope of the Other Income—Gains and Losses from the Derecognition of Nonfinancial Assets o It excludes all businesses and nonprofit activities from the scope of the Other Income – Gains and Losses from the Derecognition of Nonfinancial Assets Consolidation—Overall o An entity should identify each distinct nonfinancial asset or in substance nonfinancial asset promised to a counterparty and derecognize each asset when a counterparty obtains control of it. o An entity should allocate consideration to each distinct asset by applying the guidance in the Revenue from Contracts with Customers o An entity must derecognize a distinct nonfinancial asset or distinct in substance nonfinancial asset in a partial sale transaction when it (1) does not have (or ceases to have) a controlling financial interest in the legal entity that holds the asset in accordance with the Consolidations topic and (2) transfers control of the asset in accordance with the Revenue from Contracts with Customers The Manager has evaluated the effect of adoption of ASU 2014-09 and its amendments and their effect on the Company’s consolidated financial statements, and has concluded that ASU 2014-09 will not have a significant effect on such financial statements. Fair Value of Financial Instruments 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 Manager does not believe that the adoption of ASU 2016-01 will have a significant effect on its consolidated financial statements. Share-Based Compensation 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 adoption ASU 2016-09 did not have a significant effect on the Company’s consolidated financial statements. |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2017 | |
Subsequent Events [Abstract] | |
Subsequent Events | Note 33—Subsequent Events Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period: • On October 27, 2017, the Company, through PMC and PMH, committed to sell to a third party nonperforming and performing loans from the distressed portfolio with an unpaid principal balance of approximately $324 million. The sale is subject to the negotiation and execution of definitive documentation, continuing due diligence and customary closing conditions and approvals. There can be no assurance that the committed amount will ultimately be sold or that the transaction will be completed at all. |
Organization and Basis of Prese
Organization and Basis of Presentation (Policies) | 9 Months Ended |
Sep. 30, 2017 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Segment Reporting | The Company operates in four segments: correspondent production, credit sensitive strategies, interest rate sensitive strategies and corporate: • The correspondent production segment represents the Company’s operations aimed at serving as an intermediary between mortgage lenders and the capital markets by purchasing, pooling and reselling newly originated prime credit quality mortgage loans either directly or in the form of mortgage-backed securities (“MBS”), using the services of PNMAC Capital Management, LLC (“PCM” or the “Manager”) and PennyMac Loan Services, LLC (“PLS”), both indirect controlled subsidiaries of PennyMac Financial Services, Inc. (“PFSI”). Most of the mortgage loans the Company has acquired in its correspondent production activities have been eligible for sale to government-sponsored entities such as the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or through government agencies such as the Government National Mortgage Association (“Ginnie Mae”). Fannie Mae, Freddie Mac and Ginnie Mae are each referred to as an “Agency” and, collectively, as the “Agencies.” • The credit sensitive strategies segment represents the Company’s investments in distressed mortgage loans, real estate acquired in settlement of mortgage loans (“REO”), credit risk transfer agreements (“CRT Agreements”), non-Agency subordinated bonds and small balance commercial real estate mortgage loans. • The interest rate sensitive strategies segment represents the Company’s investments in mortgage servicing rights (“MSRs”), excess servicing spread (“ESS”), Agency and senior non-Agency MBS and the related interest rate hedging activities. • The corporate segment includes certain interest income, management fee and corporate expense amounts. |
Basis of Presentation | The accompanying consolidated financial statements have been prepared in compliance with accounting principles generally accepted in the United States (“GAAP”) as codified in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification The accompanying unaudited consolidated financial statements reflect all normal recurring adjustments necessary to present fairly the financial position, results of operations, and cash flows for the interim periods, but are not necessarily indicative of the results of operations that may be anticipated for the full year. Intercompany accounts and transactions have been eliminated. |
Concentration Risk | Due to the nature of a substantial portion of the Company’s investments, PMT is exposed, to a greater extent than traditional mortgage investors, to the risks associated with loan performance and 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 fair 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. |
Fair Value Measurement | The Company’s consolidated financial statements include assets and liabilities that are measured based on their fair values. Measurement at fair value may be on a recurring or nonrecurring basis depending on the accounting principles applicable to the specific asset or liability and whether the Manager has elected to carry the item at its fair value as discussed in the following paragraphs. The Company groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the inputs used to determine fair value. These levels are: • Level 1—Quoted prices in active markets for identical assets or liabilities. • Level 2—Prices determined or determinable using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the Company. These may include quoted prices for similar assets or liabilities, interest rates, prepayment speeds, credit risk and other inputs. • Level 3—Prices determined using significant unobservable inputs. In situations where significant observable inputs are unavailable unobservable inputs may be used. Unobservable inputs reflect the Company’s own judgments about the factors that market participants use in pricing assets and liabilities, 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 assets and liabilities and to 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. 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 asset-backed financing of a VIE and interest only security payable at fair value 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 or other assets 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. |
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 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. |
Recently Issued Accounting Pronouncements | Revenue Recognition 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 ASU 2014-09, including: • In August 2015, ASU 2015-14, Revenue From Contracts With Customers • In March 2016, ASU 2016-08, Principal Versus Agent Considerations (Reporting Revenue Gross versus Net) • In May 2016, ASU 2016-12, Narrow-Scope Improvements and Practical Expedients • In December 2016, ASU 2016-20, Technical Corrections and Improvements to Topic 606, Revenue from Contracts with Customers o Clarify that guarantee fees within the scope of the Guarantees Revenue from Contracts with Customers Derivatives and Hedging o Clarify the Other Assets and Deferred Costs—Contracts with Customers o Clarify the interaction of impairment testing with guidance in other ASC topics that impairment testing first should be performed on assets not within the scope of the Other Assets and Deferred Costs Intangibles-Goodwill and Other Property, Plant, and Equipment Inventory Other Assets and Deferred Other Assets and Deferred Costs Intangibles-Goodwill and Other Property, Plant, and Equipment o Clarify that all contracts within the scope of the Financial Services – Insurance o Provide optional exemptions from the disclosure requirement for remaining performance obligations for specific situations in which an entity need not estimate variable consideration to recognize revenue and expands the information that is required to be disclosed when an entity applies one of the optional exemptions. o Clarify that the disclosure of revenue recognized from performance obligations satisfied (or partially satisfied) in previous periods applies to all performance obligations and is not limited to performance obligations with corresponding contract balances. • In February 2017, ASU 2017-05, Other Income—Gains and Losses from the Derecognition of Nonfinancial Assets (Subtopic 610-20) Other Income—Gains and Losses from the Derecognition of Nonfinancial Assets o A financial asset is within the scope of the Other Income—Gains and Losses from the Derecognition of Nonfinancial Assets o It excludes all businesses and nonprofit activities from the scope of the Other Income – Gains and Losses from the Derecognition of Nonfinancial Assets Consolidation—Overall o An entity should identify each distinct nonfinancial asset or in substance nonfinancial asset promised to a counterparty and derecognize each asset when a counterparty obtains control of it. o An entity should allocate consideration to each distinct asset by applying the guidance in the Revenue from Contracts with Customers o An entity must derecognize a distinct nonfinancial asset or distinct in substance nonfinancial asset in a partial sale transaction when it (1) does not have (or ceases to have) a controlling financial interest in the legal entity that holds the asset in accordance with the Consolidations topic and (2) transfers control of the asset in accordance with the Revenue from Contracts with Customers The Manager has evaluated the effect of adoption of ASU 2014-09 and its amendments and their effect on the Company’s consolidated financial statements, and has concluded that ASU 2014-09 will not have a significant effect on such financial statements. Fair Value of Financial Instruments 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 Manager does not believe that the adoption of ASU 2016-01 will have a significant effect on its consolidated financial statements. Share-Based Compensation 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 adoption ASU 2016-09 did not have a significant effect on the Company’s consolidated financial statements. |
Concentration of Risks (Tables)
Concentration of Risks (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Risks And Uncertainties [Abstract] | |
Summary of Holdings of Assets Purchased | A substantial portion of the distressed mortgage loans and REO has been acquired by the Company in prior years from or through one or more subsidiaries of JPMorgan Chase & Co. and Citigroup Inc., as presented in the following summary: September 30, 2017 December 31, 2016 (in thousands) JPMorgan Chase & Co. Mortgage loans at fair value $ 401,879 $ 505,167 REO 84,620 118,737 486,499 623,904 Citigroup Inc. Mortgage loans at fair value 417,664 519,698 REO 31,579 49,048 449,243 568,746 $ 935,742 $ 1,192,650 Total carrying value of distressed mortgage loans at fair value and REO $ 1,201,036 $ 1,628,641 |
Transactions with Related Par42
Transactions with Related Parties (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Related Party Transactions [Abstract] | |
Summary of Correspondent Production Activity | Following is a summary of correspondent production activity between the Company and PLS: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Purchases of mortgage loans acquired for sale at fair value from PLS $ 332,886 $ 5,007 $ 373,108 $ 13,146 Mortgage loans fulfillment fees earned by PLS $ 23,507 $ 27,255 $ 61,184 $ 59,301 Unpaid principal balance (“UPB”) of mortgage loans fulfilled by PLS $ 6,530,036 $ 7,263,557 $ 17,079,969 $ 15,696,940 Sourcing fees received from PLS included in Net gain on mortgage loans acquired for sale $ 3,275 $ 3,509 $ 9,340 $ 8,282 UPB of mortgage loans sold to PLS $ 10,915,194 $ 11,694,065 $ 31,131,154 $ 27,599,186 Early purchase program fees paid to PLS included in Mortgage loan servicing fees $ 1 $ 5 $ 7 $ 7 Tax service fee paid to PLS included in Other $ 2,108 $ 2,066 $ 5,377 $ 4,537 September 30, 2017 December 31, 2016 (in thousands) Mortgage loans included in Mortgage loans acquired for sale at fair value pending sale to PLS $ 202,320 $ 804,616 |
Summary of Mortgage Loan Servicing Fees Earned and Mortgage Servicing Rights Recaptured Income Earned | Following is a summary of mortgage loan servicing fees earned by PLS and MSR recapture income earned from PLS: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Mortgage loans servicing fees: Mortgage loans acquired for sale at fair value: Base $ 88 $ 90 $ 235 $ 225 Activity-based 188 210 507 497 276 300 742 722 Mortgage loans at fair value: Distressed mortgage loans: Base 1,571 2,615 5,284 8,881 Activity-based 2,702 3,014 6,859 14,981 4,273 5,629 12,143 23,862 Mortgage loans held in VIE: Base 54 65 96 157 Activity-based — 1 — 1 54 66 96 158 MSRs: Base 6,648 4,913 18,631 13,841 Activity-based 151 131 375 336 6,799 5,044 19,006 14,177 $ 11,402 $ 11,039 $ 31,987 $ 38,919 MSR recapture income recognized included in Net mortgage loan servicing fees $ 333 $ 409 $ 859 $ 849 Average investment in: Mortgage loans acquired for sale at fair value $ 1,460,054 $ 1,607,564 $ 1,271,158 $ 1,317,230 Mortgage loans at fair value: Distressed mortgage loans $ 1,104,738 $ 1,579,246 $ 1,210,328 $ 1,810,779 Mortgage loans held in a VIE $ 339,464 $ 413,749 $ 350,607 $ 434,967 Average MSR portfolio $ 63,584,416 $ 48,997,875 $ 61,764,228 $ 46,125,926 |
Summary of Base Management and Performance Incentive Fees Payable | Following is a summary of the base management and performance incentive fees payable to PCM recorded by the Company: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Base management $ 6,038 $ 5,025 $ 16,380 $ 15,576 Performance incentive — — 304 — $ 6,038 $ 5,025 $ 16,684 $ 15,576 |
Summary of Expenses | The Company reimbursed PCM and its affiliates for expenses: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Reimbursement of: Common overhead incurred by PCM and its affiliates $ 1,193 $ 1,417 $ 4,220 $ 6,413 Expenses incurred on the Company’s behalf, net 196 13 849 (102 ) $ 1,389 $ 1,430 $ 5,069 $ 6,311 Payments and settlements during the year (1) $ 22,786 $ 45,988 $ 63,249 $ 102,600 (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 Investing Activity | Following is a summary of investing activities between the Company and PFSI: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Sale of mortgage loans at fair value to PFSI $ — $ 891 $ — $ 891 ESS: Received pursuant to a recapture agreement $ 1,207 $ 1,438 $ 4,160 $ 5,039 Repayments and sales $ 13,410 $ 16,342 $ 42,320 $ 113,668 Interest income $ 3,998 $ 4,827 $ 13,011 $ 17,555 Net (loss) gain included in Net (loss) gain on investments: Valuation changes $ (4,828 ) $ (4,107 ) $ (14,757 ) $ (40,984 ) Recapture income 1,163 1,283 3,837 4,709 $ (3,665 ) $ (2,824 ) $ (10,920 ) $ (36,275 ) |
Summary of Financing Activities | Following is a summary of financing activities between the Company and PFSI: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Interest expense $ 2,116 $ 1,974 $ 5,946 $ 5,798 Conditional Reimbursements paid to PCM $ 30 $ — $ 30 $ — September 30, 2017 December 31, 2016 (in thousands) Assets sold to PFSI under agreement to repurchase $ 148,072 $ 150,000 Conditional Reimbursement payable to PFSI included in Accounts payable and accrued liabilities $ 870 $ 900 |
Summary of Amounts Receivable From and Payable to PFSI | Amounts receivable from and payable to PFSI are summarized below: September 30, 2017 December 31, 2016 (in thousands) Due from PFSI: MSR recapture receivable $ 384 $ 707 Other 4,341 6,384 $ 4,725 $ 7,091 Due to PFSI: Management fees $ 6,038 $ 5,081 Mortgage loan servicing fees 5,329 5,465 Allocated expenses and expenses paid by PFSI on PMT’s behalf 1,541 1,046 Conditional Reimbursement 870 900 Fulfillment fees 662 1,300 Interest on Assets sold to PFSI under agreement to repurchase Note payable to PFSI 138 253 Correspondent production fees 1,430 2,371 $ 16,008 $ 16,416 |
Loan Sales and Variable Inter43
Loan Sales and Variable Interest Entities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Cash flows: Proceeds from sales $ 7,035,994 $ 6,857,691 $ 17,683,444 $ 15,323,444 Mortgage loan servicing fees received (1) $ 42,237 $ 31,514 $ 119,223 $ 88,269 (1) Net of guarantee fees |
Summary of Unpaid Balance Information for Mortgage Loans Accounted for Sales | The following table summarizes UPB information for mortgage loans that are accounted for as sales for the dates presented: September 30, 2017 December 31, 2016 (in thousands) UPB of mortgage loans outstanding $ 67,415,863 $ 56,303,664 Delinquent mortgage loans: 30-89 days delinquent $ 462,199 $ 262,467 90 or more days delinquent: Not in foreclosure $ 96,587 $ 53,200 In foreclosure $ 20,814 $ 25,180 Bankruptcy $ 49,334 $ 36,357 Custodial funds managed by the Company (1) $ 1,055,517 $ 736,398 (1) Custodial funds include borrower and investor custodial cash accounts relating to mortgage loans serviced under the servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns placement fees on certain of the custodial funds it manages on behalf of the mortgage loans’ investors, which are included in Interest income |
Summary of Credit Risk Transfer Agreements | Following is a summary of the CRT Agreements: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) UPB of mortgage loans sold under CRT Agreements $ 4,126,946 $ 3,357,443 $ 9,722,067 $ 8,442,187 Deposits of cash securing CRT Agreements $ 44,998 $ 89,697 $ 102,146 $ 282,434 Increase in commitments to fund Deposits securing CRT Agreements resulting from sale of mortgage loans under CRT Agreements $ 108,051 $ — $ 264,165 $ — Interest earned on Deposits securing Agreements $ 1,440 $ 285 $ 2,703 $ 661 Gains recognized on CRT Agreements included in Net gain (loss) on investments Realized $ 10,798 $ 6,206 $ 27,595 $ 12,601 Resulting from valuation changes 4,162 12,307 41,268 9,060 14,960 18,513 68,863 21,661 Change in fair value of interest-only security payable at fair value 191 (36 ) (2,272 ) 437 $ 15,151 $ 18,477 $ 66,591 $ 22,098 Payments made to settle losses $ 539 $ 28 $ 950 $ 28 September 30, 2017 December 31, 2016 (in thousands) UPB of mortgage loans subject to credit guarantee obligations $ 22,931,988 $ 14,379,850 Delinquency status (in UPB): Current—89 days delinquent $ 22,899,266 $ 14,372,247 90 or more days delinquent $ 20,540 $ 5,711 Foreclosure $ 2,481 $ 1,892 Bankruptcy $ 9,701 $ — Carrying value of CRT Agreements: Derivative assets $ 56,878 $ 15,610 Deposits securing CRT Agreements $ 545,694 $ 450,059 Interest-only security payable at fair value $ 6,386 $ 4,114 CRT Agreement assets pledged to secure assets sold under agreements to repurchase: Deposits securing credit risk CRT Agreements $ 408,100 $ 414,610 Derivative assets $ 15,742 $ 9,078 Commitments to fund Deposits securing credit risk transfer agreements $ 356,274 $ 92,109 |
Fair Value (Tables)
Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Fair Value Disclosures [Abstract] | |
Summary of Financial Statement Items Measured at Fair Value on Recurring Basis | Following is a summary of financial statement items that are measured at fair value on a recurring basis: September 30, 2017 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 5,646 $ — $ — $ 5,646 Mortgage-backed securities at fair value — 1,036,669 — 1,036,669 Mortgage loans acquired for sale at fair value — 1,270,340 — 1,270,340 Mortgage loans at fair value — 331,941 1,016,002 1,347,943 Excess servicing spread purchased from PFSI — — 248,763 248,763 Derivative assets: Interest rate lock commitments — — 2,789 2,789 CRT Agreements — — 56,878 56,878 Repurchase agreement derivatives — — 181 181 Forward sales contracts — 8,861 — 8,861 MBS put options — 1,503 — 1,503 MBS call options — 171 — 171 Call options on interest rate futures 438 — — 438 Put options on interest rate futures 1,258 — — 1,258 Total derivative assets before netting 1,696 10,535 59,848 72,079 Netting — — — (4,791 ) Total derivative assets after netting 1,696 10,535 59,848 67,288 Mortgage servicing rights at fair value — — 82,312 82,312 $ 7,342 $ 2,649,485 $ 1,406,925 $ 4,058,961 Liabilities: Asset-backed financing of a VIE at fair value $ — $ 318,404 $ — $ 318,404 Interest-only security payable at fair value — — 6,386 6,386 Derivative liabilities: Interest rate lock commitments — — 1,514 1,514 Forward purchase contracts — 6,616 — 6,616 Forward sales contracts — 165 — 165 Total derivative liabilities before netting — 6,781 1,514 8,295 Netting — — — (3,395 ) Total derivative liabilities after netting — 6,781 1,514 4,900 $ — $ 325,185 $ 7,900 $ 329,690 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 Forward purchase contracts — 30,879 — 30,879 Forward sales contracts — 13,164 — 13,164 MBS put options — 1,697 — 1,697 MBS call options — 142 — 142 Call options on interest rate futures 63 — — 63 Put options on interest rate futures 2,469 — — 2,469 Total derivative assets 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 the 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 Total derivative liabilities — 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 |
Summary of Changes in Items Measured Using Level 3 Inputs on Recurring Basis | The following is a summary of changes in items measured using Level 3 inputs on a recurring basis: Quarter ended September 30, 2017 Mortgage Excess Interest Repurchase Mortgage loans servicing rate lock CRT agreement servicing at fair value spread commitments (1) Agreements derivatives rights Total (in thousands) Assets: Balance, June 30, 2017 $ 1,184,620 $ 261,796 $ 395 $ 52,716 $ — $ 77,624 $ 1,577,151 Purchases and issuances — — 9,264 — 181 10 9,455 Repayments and sales (156,821 ) (13,410 ) — (10,798 ) — — (181,029 ) Capitalization of interest 7,020 3,998 — — — — 11,018 Capitalization of advances 4,611 — — — — — 4,611 ESS received pursuant to a recapture agreement with PFSI — 1,207 — — — — 1,207 Servicing received as proceeds from sales of mortgage loans — — — — — 8,655 8,655 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 6,035 — — — — — 6,035 Other factors (2,758 ) (4,828 ) 15,430 14,960 — (3,977 ) 18,827 3,277 (4,828 ) 15,430 14,960 — (3,977 ) 24,862 Transfers of mortgage loans to REO and real estate held for investment (26,705 ) — — — — — (26,705 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (23,814 ) — — — (23,814 ) Balance, September 30, 2017 $ 1,016,002 $ 248,763 $ 1,275 $ 56,878 $ 181 $ 82,312 $ 1,405,411 Changes in fair value recognized during the period relating to assets still held at September 30, 2017 $ (7,302 ) $ (4,828 ) $ 1,275 $ 4,162 $ — $ (3,977 ) $ (10,670 ) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended September 30, 2017 Interest-only security payable (in thousands) Liabilities: Balance, June 30, 2017 $ 6,577 Changes in fair value included in income arising from: Changes in instrument- specific credit risk — Other factors (191 ) (191 ) Balance, September 30, 2017 $ 6,386 Changes in fair value recognized during the period relating to liability outstanding at September 30, 2017 $ (191 ) Quarter ended September 30, 2016 Mortgage Excess Interest Mortgage loans servicing rate lock CRT servicing at fair value spread commitments (1) Agreements rights Total (in thousands) Assets: Balance, June 30, 2016 $ 1,608,906 $ 294,551 $ 16,757 $ (199 ) $ 57,977 $ 1,977,992 Purchases and issuances — — 30,429 — — 30,429 Repayments and sales (29,921 ) (16,342 ) — (6,206 ) — (52,469 ) Capitalization of interest 23,068 4,827 — — — 27,895 ESS received pursuant to a recapture agreement with PFSI — 1,438 — — — 1,438 Servicing received as proceeds from sales of mortgage loans — — — — 1,068 1,068 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 9,699 — — — — 9,699 Other factors (13,099 ) (4,107 ) 23,390 23,067 (3,202 ) 26,049 (3,400 ) (4,107 ) 23,390 23,067 (3,202 ) 35,748 Transfers of mortgage loans to REO (39,276 ) — — — — (39,276 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (55,248 ) — — (55,248 ) Balance, September 30, 2016 $ 1,559,377 $ 280,367 $ 15,328 $ 16,662 $ 55,843 $ 1,927,577 Changes in fair value recognized during the period relating to assets still held at September 30, 2016 $ (820 ) $ (4,107 ) $ 15,328 $ 16,662 $ (3,202 ) $ 23,861 (1) For the purpose of this table, the IRLC and CRT Agreement asset and liability positions are shown net. Quarter ended September 30, 2016 Interest-only security payable (in thousands) Liabilities: Balance, June 30, 2016 $ 1,663 Changes in fair value included in income arising from: Changes in instrument- specific credit risk — Other factors 36 36 Balance, September 30, 2016 $ 1,699 Changes in fair value recognized during the period relating to liability outstanding at September 30, 2016 $ 36 Nine months ended September 30, 2017 Mortgage Excess Interest Repurchase Mortgage loans servicing rate lock CRT agreement servicing at fair value spread commitments (1) Agreements (1) derivatives rights Total (in thousands) Assets: Balance, December 31, 2016 $ 1,354,572 $ 288,669 $ 3,777 $ 15,610 $ — $ 64,136 $ 1,726,764 Purchases and issuances — — 26,185 — 181 79 26,445 Repayments and sales (302,829 ) (42,320 ) — (27,595 ) — — (372,744 ) Capitalization of interest 27,737 13,011 — — — — 40,748 Capitalization of advances 17,759 — — — — — 17,759 ESS received pursuant to a recapture agreement with PFSI — 4,160 — — — — 4,160 Servicing received as proceeds from sales of mortgage loans — — — — — 28,467 28,467 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 23,498 — — — — — 23,498 Other factors (15,975 ) (14,757 ) 43,946 68,863 — (10,370 ) 71,707 7,523 (14,757 ) 43,946 68,863 — (10,370 ) 95,205 Transfers of mortgage loans to REO and real estate held for investment (88,760 ) — — — — — (88,760 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (72,633 ) — — — (72,633 ) Balance, September 30, 2017 $ 1,016,002 $ 248,763 $ 1,275 $ 56,878 $ 181 $ 82,312 $ 1,405,411 Changes in fair value recognized during the period relating to assets still held at September 30, 2017 $ (6,650 ) $ (14,757 ) $ 1,275 $ 41,268 $ — $ (10,370 ) $ 10,766 (1) For the purpose of this table, the IRLC and CRT Agreement asset and liability positions are shown net. Nine months ended September 30, 2017 Interest-only security payable (in thousands) Liabilities: Balance, December 31, 2016 $ 4,114 Changes in fair value included in income arising from: Changes in instrument- specific credit risk — Other factors 2,272 2,272 Balance, September 30, 2017 $ 6,386 Changes in fair value recognized during the period relating to liability outstanding at September 30, 2017 $ 2,272 Nine months ended September 30, 2016 Mortgage Excess Interest Mortgage loans servicing rate lock CRT servicing at fair value spread commitments (1) Agreements 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 — — 58,475 — 2,602 61,077 Repayments and sales (449,647 ) (113,668 ) — (12,601 ) — (575,916 ) Capitalization of interest 62,783 17,555 — — — 80,338 ESS received pursuant to a recapture agreement with PFSI — 5,039 — — — 5,039 Servicing received as proceeds from sales of mortgage loans — — — — 6,215 6,215 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 29,480 — — — — 29,480 Other factors (31,948 ) (40,984 ) 71,286 28,670 (19,558 ) 7,466 (2,468 ) (40,984 ) 71,286 28,670 (19,558 ) 36,946 Transfers of mortgage loans to REO (151,685 ) — — — — (151,685 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (119,079 ) — — (119,079 ) Balance, September 30, 2016 $ 1,559,377 $ 280,367 $ 15,328 $ 16,662 $ 55,843 $ 1,927,577 Changes in fair value recognized during the period relating to assets still held at September 30, 2016 $ (2,399 ) $ (33,774 ) $ 15,328 $ 16,662 $ (19,558 ) $ (23,741 ) (1) For the purpose of this table, the IRLC and CRT Agreement asset and liability positions are shown net. Nine months ended September 30, 2016 Interest-only security payable (in thousands) Liabilities: Balance, December 31, 2015 $ — Issuances 2,136 Changes in fair value included in income arising from: Changes in instrument- specific credit risk — Other factors (437 ) (437 ) Balance, September 30, 2016 1,699 Changes in fair value recognized during the period relating to liability outstanding at September 30, 2016 $ (437 ) |
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): September 30, 2017 December 31, 2016 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: $ 1,269,137 $ 1,220,098 $ 49,039 $ 1,672,181 $ 1,633,569 $ 38,612 90 or more days delinquent: Not in foreclosure 759 954 (195 ) 145 189 (44 ) In foreclosure 444 497 (53 ) 786 717 69 1,203 1,451 (248 ) 931 906 25 $ 1,270,340 $ 1,221,549 $ 48,791 $ 1,673,112 $ 1,634,475 $ 38,637 Mortgage loans at fair value: Mortgage loans held in a consolidated VIE: Current through 89 days delinquent: $ 331,941 $ 325,529 $ 6,412 $ 367,169 $ 368,524 $ (1,355 ) 90 or more days delinquent: Not in foreclosure — — — — — — In foreclosure — — — — — — — — — — — — 331,941 325,529 6,412 367,169 368,524 (1,355 ) Distressed mortgage loans at fair value: Current through 89 days delinquent: 527,874 667,649 (139,775 ) 611,584 818,665 (207,081 ) 90 or more days delinquent: Not in foreclosure 210,783 319,417 (108,634 ) 305,431 425,460 (120,029 ) In foreclosure 277,345 397,909 (120,564 ) 437,557 595,534 (157,977 ) 488,128 717,326 (229,198 ) 742,988 1,020,994 (278,006 ) 1,016,002 1,384,975 (368,973 ) 1,354,572 1,839,659 (485,087 ) $ 1,347,943 $ 1,710,504 $ (362,561 ) $ 1,721,741 $ 2,208,183 $ (486,442 ) |
Summary of Changes in Fair Value Included in Current Period Income | Following are the changes in fair value included in current period income by consolidated statement of income line item for financial statement items accounted for under the fair value option: Quarter ended September 30, 2017 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 — (1,481 ) — 5,001 3,520 Mortgage loans acquired for sale at fair value 32,935 — — — 32,935 Mortgage loans at fair value — 7,617 — 5,415 13,032 ESS at fair value — 3,998 — (4,828 ) (830 ) MSRs at fair value — — (3,977 ) — (3,977 ) $ 32,935 $ 10,134 $ (3,977 ) $ 5,588 $ 44,680 Liabilities: Interest-only security payable $ — $ — $ — $ 191 $ 191 Asset-backed financing of a VIE at fair value — (735 ) — (2,158 ) (2,893 ) $ — $ (735 ) $ — $ (1,967 ) $ (2,702 ) Quarter ended September 30, 2016 Net gain on Net mortgage mortgage loans Net loan Net gain acquired interest servicing on for sale income (1) fees investments Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — (1,193 ) — 517 (676 ) Mortgage loans acquired for sale at fair value 58,128 — — — 58,128 Mortgage loans at fair value — 23,261 — (3,936 ) 19,325 ESS at fair value — 4,827 — (4,107 ) 720 MSRs at fair value — — (3,202 ) — (3,202 ) $ 58,128 $ 26,895 $ (3,202 ) $ (7,526 ) $ 74,295 Liabilities: Asset-backed financing of a VIE at fair value $ — $ (2,520 ) $ — $ 2,990 $ 470 $ — $ (2,520 ) $ — $ 2,990 $ 470 (1) The amounts in the above table have been expanded to conform with current period presentation. The table includes the effect of capitalization of interest and accrual of unearned discounts on fair value. Nine months ended September 30, 2017 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 — (4,276 ) — 9,168 4,892 Mortgage loans acquired for sale at fair value 83,839 — — — 83,839 Mortgage loans at fair value — 29,195 — 13,832 43,027 ESS at fair value — 13,011 — (14,757 ) (1,746 ) MSRs at fair value — — (10,370 ) — (10,370 ) $ 83,839 $ 37,930 $ (10,370 ) $ 8,243 $ 119,642 Liabilities: Interest-only security payable $ — $ — $ — $ (2,272 ) $ (2,272 ) Asset-backed financing of a VIE at fair value — (1,807 ) — (5,581 ) (7,388 ) $ — $ (1,807 ) $ — $ (7,853 ) $ (9,660 ) Nine months ended September 30, 2016 Net gain on Net mortgage mortgage loans Net loan Net gain acquired interest servicing on for sale income (1) fees investments Total (in thousands) Assets: Short-term investments $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — (1,930 ) — 9,948 8,018 Mortgage loans acquired for sale at fair value 147,135 — — — 147,135 Mortgage loans at fair value — 65,070 — 5,342 70,412 ESS at fair value — 17,555 — (40,984 ) (23,429 ) MSRs at fair value — — (19,558 ) — (19,558 ) $ 147,135 $ 80,695 $ (19,558 ) $ (25,694 ) $ 182,578 Liabilities: Asset-backed financing of a VIE at fair value $ — $ (1,985 ) $ — $ (5,974 ) $ (7,959 ) $ — $ (1,985 ) $ — $ (5,974 ) $ (7,959 ) |
Summary of Financial Statement Items Re-measured at Fair Value on Nonrecurring Basis | Following is a summary of financial statement items that were re-measured at fair value on a nonrecurring basis during the periods presented: September 30, 2017 Level 1 Level 2 Level 3 Total (in thousands) Real estate acquired in settlement of loans $ — $ — $ 60,805 $ 60,805 MSRs at lower of amortized cost or fair value — — 277,260 277,260 $ — $ — $ 338,065 $ 338,065 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 |
Summary of Changes in Fair Value Recognized in Assets that Measured at Fair Value on a Nonrecurring Basis | The following table summarizes the fair value changes recognized during the period on assets held at period end that were measured at fair value on a nonrecurring basis: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Real estate asset acquired in settlement of loans $ (5,666 ) $ (6,940 ) $ (7,454 ) $ (14,552 ) MSRs at lower of amortized cost or fair value (1,702 ) (3,460 ) (4,287 ) (44,336 ) $ (7,368 ) $ (10,400 ) $ (11,741 ) $ (58,888 ) |
Quantitative Summary of Key Inputs Used in Valuation of Mortgage Loans at Fair Value | Following is a quantitative summary of key inputs used in the valuation of mortgage loans at fair value: Key inputs September 30, 2017 December 31, 2016 Discount rate Range 2.9% – 15.0% 2.6% – 15.0% Weighted average 6.7% 7.1% Twelve-month projected housing price index change Range 3.4% – 4.9% 2.5% – 4.8% Weighted average 4.6% 3.7% Prepayment speed (1) Range 3.0% – 6.9% 0.1% – 10.9% Weighted average 4.1% 4.0% Total prepayment speed (2) Range 4.7% – 24.0% 2.9% – 24.6% Weighted average 16.7% 17.7% (1) Prepayment speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”). (2) Total prepayment speed is measured using Life Total CPR. |
Summary of Key Inputs Used in Determining Fair Value of ESS | Following are the key inputs used in determining the fair value of ESS: Key inputs September 30, 2017 December 31, 2016 UPB of underlying mortgage loans (in thousands) $ 28,385,316 $ 32,376,359 Average servicing fee rate (in basis points) 34 34 Average ESS rate (in basis points) 19 19 Pricing spread (1) Range 3.8% - 4.4% 3.8% - 4.8% Weighted average 4.2% 4.4% Annual total prepayment speed (2) Range 7.7% - 37.2% 7.0% - 41.3% Weighted average 10.7% 10.5% Life (in years) Range 1.5 - 8.1 1.4 - 8.6 Weighted average 6.6 6.8 (1) Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar London Interbank Offered Rate (“LIBOR”) curve for purposes of discounting cash flows relating to ESS. (2) Prepayment speed is measured using Life Total CPR. |
Quantitative Summary of Key Unobservable Inputs Used in Valuation of Interest Rate Lock Commitments | Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs: Key inputs September 30, 2017 December 31, 2016 Pull-through rate Range 57.6% – 100.0% 60.7% - 100.0% Weighted average 88.6% 88.5% MSR value expressed as: Servicing fee multiple Range 2.4 - 6.0 2.6 - 6.0 Weighted average 5.0 5.0 Percentage of UPB Range 0.7% – 1.5% 0.7% - 1.5% Weighted average 1.2% 1.3% |
Key Assumptions Used in Determining Fair Value of MSRs at Time of Initial Recognition | Following are the key inputs used in determining the fair value of MSRs at the time of initial recognition: Quarter ended September 30, 2017 2016 Amortized cost Fair value Amortized cost Fair value (MSR recognized and UPB of underlying mortgage loan amounts in thousands) MSR recognized $ 74,183 $ 8,655 $ 76,567 $ 1,068 Key inputs UPB of underlying mortgage loans $ 6,050,337 $ 794,770 $ 6,532,562 $ 120,457 Weighted-average annual servicing fee rate (in basis points) 25 25 25 25 Pricing spread (1) Range 7.6% – 12.6% 7.6% – 7.6% 7.6% – 12.6% 7.6% – 7.6% Weighted average 7.6% 7.6% 7.6% 7.6% Annual total prepayment speed (2) Range 3.5% – 31.1% 8.3% – 29.5% 4.5% – 33.2% 10.3% – 33.3% Weighted average 8.1% 10.5% 8.6% 14.9% Life (in years) Range 2.6 - 11.2 2.8 - 8.5 2.3 – 10.9 2.4 – 7.3 Weighted average 8.4 7.4 7.8 5.7 Annual per-loan cost of servicing Range $79 - $79 $79 - $79 $78 – $78 $78 – $82 Weighted average $79 $79 $78 $80 (1) The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs. (2) Prepayment speed is measured using Life Total CPR. Nine months ended September 30, 2017 2016 Amortized cost Fair value Amortized cost Fair value (MSR recognized and UPB of underlying mortgage loan amounts in thousands) MSR recognized $ 178,894 $ 28,467 $ 167,691 $ 6,215 Key inputs UPB of underlying mortgage loans $ 14,624,151 $ 2,613,258 $ 14,139,102 $ 647,976 Weighted-average annual servicing fee rate (in basis points) 25 25 25 26 Pricing spread (1) Range 7.6% – 12.6% 7.6% – 7.6% 7.2% –12.6% 7.2% – 7.6% Weighted average 7.6% 7.6% 7.4% 7.3% Annual total prepayment speed (2) Range 3.2% – 31.1% 7.9% – 29.5% 3.4% – 49.2% 7.2% – 38.0% Weighted average 8.1% 10.7% 9.2% 15.1% Life (in years) Range 2.6 - 11.9 2.8 - 8.5 1.4 – 12.3 2.0 – 9.4 Weighted average 8.3 7.3 7.6 5.7 Annual per-loan cost of servicing Range $79 - $79 $79 - $79 $68 – $79 $68 – $82 Weighted average $79 $79 $75 $73 (1) The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs. (2) Prepayment speed is measured using Life Total CPR. |
Quantitative Summary of Key Assumptions Used in Valuation of MSRs as of Dates Presented, and Effect on Estimated Fair Value from Adverse Changes in Those Inputs | Following is a quantitative summary of key inputs used in the valuation of MSRs as of the dates presented, and the effect on the fair value from adverse changes in those inputs: September 30, 2017 December 31, 2016 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 $ 708,023 $ 82,312 $ 592,431 $ 64,136 Key inputs: UPB of underlying mortgage loans $ 60,399,531 $ 7,525,020 $ 50,539,707 $ 5,763,957 Weighted-average annual servicing fee rate (in basis points) 25 25 25 25 Weighted-average note interest rate 3.9% 4.7% 3.8% 4.7% Pricing spread (1) Range 7.6% – 13.1% 7.6% – 12.6% 7.6% – 13.0% 7.6% – 12.6% Weighted average 7.6% 7.6% 7.6% 7.6% Effect on fair value of (2): 5% adverse change $(11,401) $(1,238) $(10,018) $(979) 10% adverse change $(22,466) $(2,440) $(19,738) $(1,929) 20% adverse change $(43,641) $(4,743) $(38,330) $(3,748) Prepayment speed (3) Range 7.3% – 26.8% 7.4% – 20.7% 6.7% – 25.7% 6.8% – 24.2% Weighted average 8.3% 11.1% 7.7% 10.7% Life (in years) Range 2.9 - 8.1 3.0 - 6.9 3.1 - 8.5 3.2 - 7.0 Weighted average 7.7 6.9 8.0 7.0 Effect on fair value of (2): 5% adverse change $(11,706) $(1,801) $(9,436) $(1,379) 10% adverse change $(23,026) $(3,529) $(18,578) $(2,704) 20% adverse change $(44,584) $(6,782) $(36,037) $(5,202) Annual per-loan cost of servicing Range $78 - $79 $77 - $79 $78 – $79 $77 – $79 Weighted average $79 $79 $79 $79 Effect on fair value of (2): 5% adverse change $(5,470) $(693) $(4,650) $(555) 10% adverse change $(10,940) $(1,385) $(9,300) $(1,110) 20% adverse change $(21,879) $(2,770) $(18,600) $(2,220) (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 S45
Mortgage Loans Acquired for Sale at Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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: Loan type September 30, 2017 December 31, 2016 (in thousands) Conventional: Agency-eligible $ 1,052,355 $ 847,810 Jumbo — 6,042 Held for sale to PLS — Government insured or guaranteed 202,320 804,616 Commercial real estate 8,870 8,961 Repurchased pursuant to representations and warranties 6,795 5,683 $ 1,270,340 $ 1,673,112 Mortgage loans pledged to secure: Assets sold under agreements to repurchase $ 1,206,859 $ 1,627,010 Mortgage loan participation purchase and sale agreements 45,057 26,738 $ 1,251,916 $ 1,653,748 |
Mortgage Loans at Fair Value (T
Mortgage Loans at Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Text Block [Abstract] | |
Summary of Distribution of Company's Mortgage Loans at Fair Value | Following is a summary of the distribution of the Company’s mortgage loans at fair value: September 30, 2017 December 31, 2016 Loan type Fair value Unpaid principal balance Fair value Unpaid principal balance (in thousands) Distressed mortgage loans: Nonperforming mortgage loans $ 488,128 $ 717,326 $ 742,988 $ 1,020,994 Performing mortgage loans: Fixed interest rate 242,873 315,065 296,901 408,943 Interest rate step-up 238,768 304,099 232,700 317,409 Adjustable-rate/hybrid 46,233 48,486 81,983 92,313 527,874 667,649 611,584 818,665 1,016,002 1,384,975 1,354,572 1,839,659 Fixed interest rate jumbo mortgage loans held in a VIE 331,941 325,529 367,169 368,524 $ 1,347,943 $ 1,710,504 $ 1,721,741 $ 2,208,183 Mortgage loans at fair value pledged to secure: Assets sold under agreements to repurchase $ 1,009,730 $ 1,345,021 Asset-backed financing of a VIE at fair value 331,941 367,169 $ 1,341,671 $ 1,712,190 |
Summary of Certain Concentrations of Credit Risk in Portfolio of Distressed Mortgage Loans at Fair Value | Following is a summary of certain concentrations of credit risk in the portfolio of distressed mortgage loans at fair value: Concentration September 30, 2017 December 31, 2016 (percentages are of fair value) Portion of mortgage loans originated between 2005 and 2007 72% 72% Mortgage loans with unpaid-principal balance-to-current -property-value in excess of 100% 40% 41% States contributing 5% or more of mortgage loans New York California New Jersey Florida Massachusetts New York California New Jersey Florida Massachusetts |
Derivative Activities (Tables)
Derivative Activities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Derivative Assets and Liabilities Recorded within Derivative Assets and Derivative Liabilities and Related Margin Deposits Recorded in Other Assets | The Company had the following derivative assets and liabilities recorded within Derivative assets Derivative liabilities Other September 30, 2017 December 31, 2016 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 1,259,592 $ 2,789 $ 1,514 1,420,468 $ 7,069 $ 3,292 CRT Agreements 22,931,988 56,878 — 14,379,850 15,610 — Repurchase agreement derivatives — 181 — — — — Subject to master netting agreements ─ for hedging purposes: Forward purchase contracts 1,598,412 — 6,616 4,840,707 30,879 7,619 Forward sale contracts 2,808,847 8,861 165 6,148,242 13,164 17,974 MBS put options 1,125,000 1,503 — 925,000 1,697 — MBS call options 75,000 171 — 750,000 142 — Call options on interest rate futures 250,000 438 — 200,000 63 — Put options on interest rate futures 475,000 1,258 — 550,000 2,469 — Swap futures 275,000 — — 150,000 — — Eurodollar future contracts 1,038,000 — — 1,351,000 — — Total derivative instruments before netting 72,079 8,295 71,093 28,885 Netting (4,791 ) (3,395 ) (37,384 ) (19,312 ) $ 67,288 $ 4,900 $ 33,709 $ 9,573 Margin deposits placed with (received from) derivatives counterparties included in Other assets ( ) $ (1,395 ) $ (18,071 ) Derivative assets pledged to secure assets sold under agreements to repurchase $ 15,742 $ 9,078 |
Summary of Net Derivative Assets | Following is a summary of net derivative assets. September 30, 2017 December 31, 2016 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 $ 2,789 $ — $ 2,789 $ 7,069 $ — $ 7,069 CRT Agreements 56,878 — 56,878 15,610 — 15,610 Repurchase agreement derivatives 181 — 181 — — — 59,848 — 59,848 22,679 — 22,679 Subject to master netting arrangements: Forward purchase contracts — — — 30,879 — 30,879 Forward sale contracts 8,861 — 8,861 13,164 — 13,164 MBS put options 1,503 — 1,503 1,697 — 1,697 MBS call options 171 — 171 142 — 142 Call options on interest rate futures 438 — 438 63 — 63 Put options on interest rate futures 1,258 — 1,258 2,469 — 2,469 Netting — (4,791 ) (4,791 ) — (37,384 ) (37,384 ) 12,231 (4,791 ) 7,440 48,414 (37,384 ) 11,030 $ 72,079 $ (4,791 ) $ 67,288 $ 71,093 $ (37,384 ) $ 33,709 |
Summary of Derivative Assets, Financial Instruments and Collateral Held by Counterparty | The following table summarizes by significant counterparty the amount of derivative asset positions after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance qualifying for setoff accounting. September 30, 2017 December 31, 2016 Net amount of assets presented in the Gross amounts not offset in the consolidated balance sheet Net amount of assets presented in the Gross amounts not offset in the consolidated balance sheet consolidated balance sheet Financial instruments Cash collateral received Net amount consolidated balance sheet Financial instruments Cash collateral received Net amount (in thousands) CRT Agreements $ 56,878 $ — $ — $ 56,878 $ 15,610 $ — $ — $ 15,610 Interest rate lock commitments 2,789 — — 2,789 7,069 — — 7,069 Repurchase agreement derivatives 181 — — 181 — — — — Bank of America, N.A. 1,819 — — 1,819 1,881 — — 1,881 RJ O’Brien & Associates, LLC 1,695 — — 1,695 1,531 — — 1,531 JPMorgan Chase & Co. 911 — — 911 — — — — RBS Securities Inc. 655 — — 655 — — — — Citibank 565 — — 565 — — — — Goldman Sachs 511 — — 511 1,164 — — 1,164 Federal Home Loan Mortgage Corporation 464 — — 464 7 — — 7 Barclays Capital 394 — — 394 855 — — 855 Morgan Stanley Bank, N.A. 296 — — 296 — — — — Jefferies Group, Inc 70 — — 70 967 — — 967 Royal Bank of Canada — — — — 1,194 — — 1,194 Bank of Oklahoma — — — — 629 — — 629 Other 60 — — 60 2,802 — — 2,802 $ 67,288 $ — $ — $ 67,288 $ 33,709 $ — $ — $ 33,709 |
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. September 30, 2017 December 31, 2016 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 $ 1,514 $ — $ 1,514 $ 3,292 $ — $ 3,292 1,514 — 1,514 3,292 — 3,292 Subject to master netting arrangements: Forward purchase contracts 6,616 — 6,616 7,619 — 7,619 Forward sales contracts 165 — 165 17,974 — 17,974 Netting — (3,395 ) (3,395 ) — (19,312 ) (19,312 ) 6,781 (3,395 ) 3,386 25,593 (19,312 ) 6,281 8,295 (3,395 ) 4,900 28,885 (19,312 ) 9,573 Assets sold under agreements to repurchase: UPB 3,204,054 — 3,204,054 3,784,685 — 3,784,685 Unamortized debt issuance costs (668 ) — (668 ) (684 ) — (684 ) 3,203,386 — 3,203,386 3,784,001 — 3,784,001 $ 3,211,681 $ (3,395 ) $ 3,208,286 $ 3,812,886 $ (19,312 ) $ 3,793,574 |
Summary of Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty | The following table summarizes by significant counterparty the amount of derivative liabilities and assets sold under agreements to repurchase after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance qualifying for setoff accounting. All assets sold under agreements to repurchase represent sufficient collateral or exceed the liability amount recorded on the consolidated balance sheet. September 30, 2017 December 31, 2016 Net amount of liabilities presented in the Gross amounts not offset in the consolidated balance sheet Net amount of liabilities presented in the Gross amounts not offset in the consolidated balance sheet consolidated balance sheet Financial instruments Cash collateral pledged Net amount consolidated balance sheet Financial instruments Cash collateral pledged Net amount (in thousands) Interest rate lock commitments $ 1,514 $ — $ — $ 1,514 $ 3,292 $ — $ — $ 3,292 Bank of America, N.A. 938,104 (938,104 ) — — 847,683 (847,683 ) — — Credit Suisse First Boston Mortgage Capital LLC 857,882 (857,882 ) — — 1,181,441 (1,181,235 ) — 206 JPMorgan Chase & Co. 445,746 (445,746 ) — — 544,009 (542,542 ) — 1,467 Citibank 280,127 (279,905 ) — 222 575,092 (573,589 ) — 1,503 Morgan Stanley Bank, N.A. 168,184 (168,184 ) — — 143,951 (142,055 ) — 1,896 Daiwa Capital Markets 157,827 (157,827 ) — — 177,316 (177,077 ) — 239 Deutsche Bank 114,852 (114,852 ) — — — — — — Royal Bank of Canada 94,424 (93,494 ) — 930 63,926 (63,926 ) — — Wells Fargo, N.A. 51,780 (51,377 ) — 403 116,648 (116,648 ) — — Barclays Capital 50,353 (50,353 ) — — 92,796 (92,796 ) — — BNP Paribas 46,330 (46,330 ) — — 47,785 (47,134 ) — 651 Federal National Mortgage Association 1,353 — — 1,353 312 — — 312 Other 478 — — 478 7 — — 7 Unamortized debt issuance costs (668 ) 668 — — (684 ) 684 — — $ 3,208,286 $ (3,203,386 ) $ — $ 4,900 $ 3,793,574 $ (3,784,001 ) $ — $ 9,573 |
Net Gains (Losses) Recognized on Derivative Financial Instruments | Following are the net gains (losses) recognized by the Company on derivative financial instruments and the consolidated statements of income line items where such gains and losses are included: Quarter ended September 30, Nine months ended September 30, Derivative activity Statement of income line 2017 2016 2017 2016 (in thousands) Interest rate lock commitments Net gain on mortgage loans acquired for sale $ 24,694 $ 53,819 $ 70,131 $ 129,761 Hedged item: Interest rate lock commitments and mortgage loans acquired for sale Net gain on mortgage loans acquired for sale $ (16,943 ) $ (16,791 ) $ (32,308 ) $ (76,672 ) Mortgage servicing rights Net loan servicing fees $ 4,576 $ 5,612 $ (1,731 ) $ 63,006 Fixed-rate assets and LIBOR- indexed repurchase agreements Net gain on investments $ (5,910 ) $ (945 ) $ (14,943 ) $ (245 ) CRT agreements Net gain on investments $ 14,960 $ 18,477 $ 68,863 $ 22,098 |
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 CRT Agreements and for derivative contracts used to hedge the Company’s MBS, inventory of mortgage loans acquired for sale, mortgage loans at fair value held in a VIE, IRLCs and MSRs. Quarter ended September 30, 2017 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) CRT Agreements 19,301,982 4,126,946 (496,940 ) 22,931,988 Forward purchase contracts 1,933,390 20,560,886 (20,895,864 ) 1,598,412 Forward sales contracts 3,644,636 27,214,513 (28,050,302 ) 2,808,847 MBS put options 1,475,000 3,200,000 (3,550,000 ) 1,125,000 MBS call options 200,000 275,000 (400,000 ) 75,000 Call options on interest rate futures 200,000 450,000 (400,000 ) 250,000 Put options on interest rate futures 925,000 2,500,000 (2,950,000 ) 475,000 Swap futures 175,000 100,000 — 275,000 Eurodollar future contracts 1,139,000 202,000 (303,000 ) 1,038,000 Treasury future buy contracts — 55,000 (55,000 ) — Treasury future sale contracts — 55,000 (55,000 ) — Quarter ended September 30, 2016 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) CRT Agreements 8,976,961 3,357,443 (137,768 ) 12,196,636 Forward purchase contracts 4,190,349 22,535,622 (21,093,789 ) 5,632,182 Forward sales contracts 4,347,526 29,853,649 (27,749,731 ) 6,451,444 MBS call option 1,525,000 3,875,000 (2,375,000 ) 3,025,000 Swap futures 12,500 12,500 (12,500 ) 12,500 Eurodollar future contracts 1,543,000 101,000 (202,000 ) 1,442,000 Treasury future buy contracts — 276,200 (126,200 ) 150,000 Treasury future sale contracts — 126,200 (126,200 ) — Call options on interest rate futures 525,000 1,825,000 (1,525,000 ) 825,000 Put options on interest rate futures 425,000 1,625,000 (850,000 ) 1,200,000 Nine months ended September 30, 2017 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) CRT Agreements 14,379,850 9,722,067 (1,169,929 ) 22,931,988 Forward purchase contracts 4,840,707 54,953,063 (58,195,358 ) 1,598,412 Forward sales contracts 6,148,242 73,030,446 (76,369,842 ) 2,808,847 MBS put options 925,000 5,125,000 (4,925,000 ) 1,125,000 MBS call options 750,000 475,000 (1,150,000 ) 75,000 Call options on interest rate futures 200,000 575,000 (525,000 ) 250,000 Put options on interest rate futures 550,000 5,875,000 (5,950,000 ) 475,000 Swap futures 150,000 950,000 (825,000 ) 275,000 Eurodollar future sale contracts 1,351,000 303,000 (616,000 ) 1,038,000 Treasury future buy contracts — 110,700 (110,700 ) — Treasury future sale contracts — 110,700 (110,700 ) — Nine months ended September 30, 2016 Balance, Balance, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) CRT Agreements 4,546,265 8,442,187 (791,816 ) 12,196,636 Forward purchase contracts 2,469,550 47,965,764 (44,803,132 ) 5,632,182 Forward sales contracts 2,450,642 65,146,064 (61,145,262 ) 6,451,444 MBS call option 375,000 6,600,000 (3,950,000 ) 3,025,000 Swap futures — 37,500 (25,000 ) 12,500 Eurodollar future sale contracts 1,755,000 181,000 (494,000 ) 1,442,000 Treasury future buy contracts — 276,200 (126,200 ) 150,000 Treasury future sale contracts — 126,200 (126,200 ) — Call options on interest rate futures 50,000 3,400,000 (2,625,000 ) 825,000 Put options on interest rate futures 1,600,000 4,225,000 (4,625,000 ) 1,200,000 |
Real Estate Acquired in Settl48
Real Estate Acquired in Settlement of Loans (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Banking And Thrift [Abstract] | |
Summary of Financial Information Relating to REO | Following is a summary of financial information relating to REO: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Balance at beginning of period $ 207,034 $ 299,458 $ 274,069 $ 341,846 Transfers from mortgage loans at fair value and advances 22,951 42,300 76,981 156,352 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment (2,555 ) (5,282 ) (14,300 ) (17,548 ) Results of REO: Valuation adjustments, net (6,423 ) (7,888 ) (21,749 ) (25,816 ) Gain on sale, net 3,280 4,603 10,895 13,930 (3,143 ) (3,285 ) (10,854 ) (11,886 ) Proceeds from sales (39,253 ) (44,843 ) (140,862 ) (180,416 ) Balance at end of period $ 185,034 $ 288,348 $ 185,034 $ 288,348 September 30, 2017 December 31, 2016 (in thousands) REO pledged to secure assets sold under agreements to repurchase $ 84,796 $ 167,430 REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties 50,965 48,283 $ 135,761 $ 215,713 |
Mortgage Servicing Rights (Tabl
Mortgage Servicing Rights (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Summary of MSRs Carried at Lower of Amortized Cost or Fair Value | Following is a summary of MSRs carried at lower of amortized cost or fair value: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Amortized Cost: Balance at beginning of period $ 673,433 $ 465,301 $ 606,103 $ 404,101 MSRs resulting from mortgage loan sales 74,183 76,567 178,894 167,691 Amortization (21,634 ) (17,902 ) (59,015 ) (47,720 ) Sales — — — (106 ) Balance at end of period 725,982 523,966 725,982 523,966 Valuation Allowance: Balance at beginning of period (16,257 ) (51,820 ) (13,672 ) (10,944 ) Additions to impairment valuation allowance (1,702 ) (3,460 ) (4,287 ) (44,336 ) Balance at end of period (17,959 ) (55,280 ) (17,959 ) (55,280 ) MSRs, net $ 708,023 $ 468,686 $ 708,023 $ 468,686 Fair value at beginning of period $ 682,437 $ 417,094 $ 626,334 $ 424,154 Fair value at end of period $ 728,828 $ 472,790 September 30, 2017 December 31, 2016 (in thousands) MSRs carried at lower of cost or fair value pledged to secure notes payable $ 696,991 $ 592,431 |
Summary of Company's Estimate of Future Amortization of Existing MSRs Carried at Amortized Cost | The following table summarizes the Company’s estimate of future amortization of its existing MSRs carried at amortized cost. This estimate was developed with the inputs used in the September 30, 2017 valuation of MSRs. The inputs underlying the following estimate will change as market conditions and portfolio composition and behavior change, causing both actual and projected amortization levels to change over time. Estimated MSR 12 months ended September 30, amortization (in thousands) 2018 $ 85,876 2019 78,404 2020 71,153 2021 64,092 2022 57,647 Thereafter 368,810 Total $ 725,982 |
Summary of MSRs Carried at Fair Value | Following is a summary of MSRs carried at fair value: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Balance at beginning of period $ 77,624 $ 57,977 $ 64,136 $ 66,584 Purchases 10 — 79 2,602 MSRs resulting from mortgage loan sales 8,655 1,068 28,467 6,215 Changes in fair value: Due to changes in valuation inputs used in valuation model (1) (2,628 ) (883 ) (6,956 ) (12,343 ) Other changes in fair value (2) (1,349 ) (2,319 ) (3,414 ) (7,215 ) (3,977 ) (3,202 ) (10,370 ) (19,558 ) Balance at end of period $ 82,312 $ 55,843 $ 82,312 $ 55,843 September 30, 2017 December 31, 2016 (in thousands) MSRs carried at fair value pledged to secure notes payable $ 81,279 $ 64,136 (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. |
Mortgage service rights [Member] | |
Summary of Net Mortgage Loan Servicing Fees Relating to MSRs | Servicing fees relating to MSRs are recorded in Net mortgage loan servicing fees Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Contractually-specified servicing fees $ 42,237 $ 32,724 $ 119,223 $ 90,494 Ancillary and other fees: Late charges 173 148 536 421 Other 1,870 1,432 4,110 3,839 $ 44,280 $ 34,304 $ 123,869 $ 94,754 |
Assets Sold Under Agreements 50
Assets Sold Under Agreements to Repurchase (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase | Following is a summary of financial information relating to assets sold under agreements to repurchase: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (dollars in thousands) Weighted-average interest rate (1) 2.72 % 2.26 % 2.57 % 2.19 % Average balance $ 3,474,903 $ 3,538,720 $ 3,388,626 $ 3,202,829 Total interest expense $ 26,157 $ 23,751 $ 72,280 $ 66,217 Maximum daily amount outstanding $ 3,973,869 $ 4,824,044 $ 4,083,326 $ 5,221,997 (1) Excludes the effect of amortization of debt issuance costs of $1.9 million and $6.1 million for the quarter and nine months ended September 30, 2017, respectively, and $2.2 million and $6.5 million for the quarter and nine months ended September 30, 2016, respectively. September 30, 2017 December 31, 2016 (dollars in thousands) Carrying value: Unpaid principal balance $ 3,204,054 $ 3,784,685 Unamortized debt issuance costs and premiums (668 ) (684 ) $ 3,203,386 $ 3,784,001 Weighted-average interest rate 2.63 % 2.70 % Available borrowing capacity: Committed $ 457,144 $ 518,932 Uncommitted 2,233,034 1,092,253 $ 2,690,178 $ 1,611,185 Margin deposits placed with counterparties included in Other $ 15,037 $ 29,634 Fair value of assets securing agreements to repurchase: Mortgage-backed securities $ 1,036,669 $ 863,802 Mortgage loans acquired for sale at fair value $ 1,206,859 $ 1,627,010 Mortgage loans at fair value $ 1,009,730 $ 1,345,021 CRT Agreements: Deposits securing CRT agreements $ 408,100 $ 414,610 Derivative assets $ 15,742 $ 9,078 Real estate acquired in settlement of loans $ 135,761 $ 215,713 Real estate held for investment $ 29,664 $ — |
Summary of Maturities of Outstanding Assets Sold under Agreements to Repurchase by Facility Maturity Date | Following is a summary of maturities of outstanding assets sold under agreements to repurchase by facility maturity date: Remaining Maturity at September 30, 2017 Contractual balance (in thousands) Within 30 days $ 1,473,873 Over 30 to 90 days 50,353 Over 90 days to 180 days 470,753 Over 180 days to 1 year 1,209,075 Over one year to two years — $ 3,204,054 Weighted average maturity (in months) 3.9 |
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. $ 4,092 October 16, 2017 Bank of America, N.A. $ 19,037 October 18, 2017 Daiwa Capital Markets America Inc. $ 7,006 October 19, 2017 Royal Bank of Canada $ 4,061 October 16, 2017 Wells Fargo, N.A. $ 2,381 October 12, 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) Credit Suisse First Boston Mortgage Capital LLC $ 55,008 October 11, 2017 Bank of America, N.A. $ 35,283 October 13, 2017 BNP Paribas Corporate & Institutional Banking $ 19,150 October 6, 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. $ 253,993 October 29, 2017 March 2, 2018 Credit Suisse First Boston Mortgage Capital LLC $ 93,099 December 17, 2017 April 27, 2018 JPMorgan Chase & Co. $ 11,729 October 13, 2017 October 13, 2017 JPMorgan Chase & Co. $ 83,685 — March 14, 2018 Bank of America, N.A. $ 21,671 December 20, 2017 May 25, 2018 Morgan Stanley $ 10,051 December 16, 2017 August 24, 2018 Deutsche Bank $ 7,272 December 25, 2017 March 30, 2018 Barclays Bank PLC $ 3,691 December 1, 2017 December 1, 2017 |
Mortgage Loan Participation P51
Mortgage Loan Participation Purchase and Sale Agreements (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Text Block [Abstract] | |
Summary of Mortgage Loan Participation Purchase and Sale Agreements | Mortgage loan participation purchase and sale agreements are summarized below: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (dollars in thousands) Weighted-average interest rate (1) 2.48 % 1.76 % 2.28 % 1.71 % Average balance $ 59,701 $ 73,537 $ 65,290 $ 70,955 Total interest expense $ 409 $ 361 $ 1,225 $ 1,023 Maximum daily amount outstanding $ 99,441 $ 99,469 $ 99,441 $ 99,469 (1) Excludes the effect of amortization of debt issuance costs of $31,000 and $94,000 for the quarter and nine months ended September 30, 2017, respectively, and $31,000 and $99,000 for the quarter and nine months ended September 30, 2016, respectively. September 30, 2017 December 31, 2016 (dollars in Carrying value: Amount outstanding $ 44,082 $ 25,917 Unamortized debt issuance costs (94 ) — $ 43,988 $ 25,917 Weighted-average interest rate 2.48 % 2.02 % Mortgage loans acquired for sale pledged to secure mortgage loan participation purchase and sale agreements $ 45,057 $ 26,738 |
Federal Home Loan Bank Advanc52
Federal Home Loan Bank Advances (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Banking And Thrift [Abstract] | |
Summary of FHLB Advances | The FHLB advances are summarized below: Nine months ended September 30, 2016 (dollars Weighted-average interest rate 0.49 % Average balance $ 32,560 Total interest expense $ 122 Maximum daily amount outstanding $ 201,130 |
Notes Payable (Tables)
Notes Payable (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Debt Disclosure [Abstract] | |
Summary of Financial Information Relating to Note Payable | Following is a summary of financial information relating to the notes payable: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (dollars Weighted-average interest rate (1) 6.30 % 4.76 % 5.57 % 4.68 % Average balance $ 79,345 $ 170,907 $ 152,395 $ 190,878 Total interest expense $ 2,320 $ 2,883 $ 9,719 $ 9,217 Maximum daily amount outstanding $ 160,106 $ 196,317 $ 275,106 $ 234,476 (1) Excludes the effect of amortization of debt issuance costs of $1.0 million and $3.3 million for the quarter and nine months ended September 30, 2017, respectively, and $0.8 million and $2.4 million for the quarter and nine months ended September 30, 2016, respectively. September 30, 2017 December 31, 2016 (dollars in thousands) Carrying value: Amount outstanding $ 80,106 $ 275,106 Unamortized debt issuance costs — — $ 80,106 $ 275,106 Weighted-average interest rate 5.57 % 4.73 % MSRs pledged to secure notes payable $ 778,270 $ 656,567 |
Asset-Backed Financing of a V54
Asset-Backed Financing of a Variable Interest Entity at Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Text Block [Abstract] | |
Summary of Financial Information Relating to Asset-Backed Financing of a VIE | Following is a summary of financial information relating to the asset-backed financing of a VIE: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (dollars in thousands) Weighted-average fair value $ 325,763 $ 330,622 $ 337,073 $ 326,962 Interest expense $ 3,515 $ 5,253 $ 10,520 $ 10,212 Weighted-average effective interest rate 3.34 % 3.23 % 3.41 % 3.31 % September 30, 2017 December 31, 2016 (dollars in thousands) Carrying value $ 318,404 $ 353,898 UPB $ 325,529 $ 355,494 Weighted-average interest rate 3.51 % 3.50 % |
Exchangeable Senior Notes (Tabl
Exchangeable Senior Notes (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Text Block [Abstract] | |
Summary of Financial Information Relating to Exchangeable Notes | Following is financial information relating to the Exchangeable Notes: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Weighted-average UPB $ 250,000 $ 250,000 $ 250,000 $ 250,000 Interest expense $ 3,636 $ 3,620 $ 10,895 $ 10,848 September 30, 2017 December 31, 2016 (in thousands) Carrying value: UPB $ 250,000 $ 250,000 Unamortized debt issuance costs (3,094 ) (3,911 ) $ 246,906 $ 246,089 |
Liability for Losses Under Re56
Liability for Losses Under Representations and Warranties (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Text Block [Abstract] | |
Summary of Company's Liability for Losses under Representations and Warranties | Following is a summary of the Company’s liability for losses under representations and warranties: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Balance, beginning of period $ 10,697 $ 19,258 $ 15,350 $ 20,171 Provision for losses: Pursuant to mortgage loan sales 1,075 781 2,355 2,002 Reduction in liability due to change in estimate (1,642 ) (5,098 ) (7,523 ) (6,822 ) Losses incurred (83 ) (14 ) (135 ) (424 ) Balance, end of period $ 10,047 $ 14,927 $ 10,047 $ 14,927 UPB of mortgage loans subject to representations and warranties at end of period $ 67,196,537 $ 50,167,783 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Commitments And Contingencies Disclosure [Abstract] | |
Company's Outstanding Contractual Commitments | The following table summarizes the Company’s outstanding contractual commitments: September 30, 2017 (in thousands) Commitments to purchase mortgage loans acquired for sale $ 1,259,592 Commitments to fund Deposits securing CRT agreements $ 356,274 (1) Certain deposits of cash collateral on CRT Agreements are made upon the first to occur of fulfillment of the aggregation obligation or the lapse of the aggregation period. |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Equity [Abstract] | |
Schedule of Preferred Shares of Beneficial Interest | Preferred shares of beneficial interest are summarized below: September 30, 2017 Series Description (1) Number of shares Liquidation preference Issuance discount Carrying value (in thousands) A 8.125% fixed-to-floating rate cumulative redeemable preferred, Issuance March 2017 4,600 $ 115,000 $ 3,828 $ 111,172 B 8.00% fixed-to-floating rate cumulative redeemable preferred, Issuance July 2017 7,800 195,000 6,465 188,535 12,400 $ 310,000 $ 10,293 $ 299,707 (1) Par value is $0.01 per share for both series. |
Summary of Share Repurchase Activity | The following table summarizes the Company’s share repurchase activity: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 Cumulative total (1) (in thousands) Common shares repurchased 966 687 1,105 7,029 9,518 Cost of common shares repurchased $ 16,417 $ 10,595 $ 18,724 $ 93,429 $ 133,431 (1) Amounts represent the share repurchase program total from its inception in August 2015 through September 30, 2017. |
Net Gain on Mortgage Loans Ac59
Net Gain on Mortgage Loans Acquired for Sale (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Text Block [Abstract] | |
Summary of Net Gain on Mortgage Loans Acquired for Sale | Net gain on mortgage loans acquired for sale is summarized below: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) From non-affiliates: Cash loss: Mortgage loans $ (51,485 ) $ (27,639 ) $ (135,666 ) $ (52,812 ) Hedging activities (13,468 ) (17,378 ) (16,931 ) (79,072 ) (64,953 ) (45,017 ) (152,597 ) (131,884 ) Non cash gain: Receipt of MSRs in mortgage loan sale transactions 82,838 77,635 207,361 173,906 Provision for losses relating to representations and warranties provided in mortgage loan sales: Pursuant to mortgage loans sales (1,075 ) (781 ) (2,355 ) (2,002 ) Reduction in liability due to change in estimate 1,642 5,098 7,523 6,822 Change in fair value of financial instruments held at end of period: IRLCs 880 (1,429 ) (2,502 ) 10,681 Mortgage loans (1,165 ) 5,228 2,891 16,980 Hedging derivatives (3,475 ) 587 (15,377 ) 2,400 (3,760 ) 4,386 (14,988 ) 30,061 Total from non-affiliates 14,692 41,321 44,944 76,903 From PFSI—cash gain 3,275 2,537 9,340 6,230 $ 17,967 $ 43,858 $ 54,284 $ 83,133 |
Net Gain (Loss) on Investments
Net Gain (Loss) on Investments (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Investments Debt And Equity Securities [Abstract] | |
Summary of Net Gain (Loss) on Investments | Net gain (loss) on investments is summarized below: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Net gain (loss) on investments: From non-affiliates: Mortgage-backed securities $ 5,001 $ 517 $ 9,168 $ 9,948 Distressed mortgage loans at fair value 3,277 (3,400 ) 7,523 (2,468 ) Mortgage loans held in a VIE at fair value 2,138 (536 ) 6,309 7,810 CRT Agreements 15,151 18,477 66,591 22,098 Asset-backed financing of a VIE at fair value (2,158 ) 2,990 (5,581 ) (5,974 ) Hedging derivatives (5,910 ) (945 ) (14,943 ) (245 ) 17,499 17,103 69,067 31,169 From PFSI—ESS (3,665 ) (2,824 ) (10,920 ) (36,275 ) $ 13,834 $ 14,279 $ 58,147 $ (5,106 ) |
Net Mortgage Loan Servicing F61
Net Mortgage Loan Servicing Fees (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Text Block [Abstract] | |
Summary of Net Mortgage Loan Servicing Fees | Net mortgage loan servicing fees are summarized below: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) From non-affiliates: Servicing fees (1) $ 44,280 $ 34,304 $ 123,869 $ 94,754 Effect of MSRs: Carried at lower of amortized cost or fair value: Amortization (21,634 ) (17,902 ) (59,015 ) (47,720 ) Additions to impairment valuation allowance (1,702 ) (3,460 ) (4,287 ) (44,336 ) Gain on sale — — — 11 Carried at fair value—change in fair value (3,977 ) (3,202 ) (10,370 ) (19,558 ) Gains (losses) on hedging derivatives 4,576 5,612 (1,731 ) 63,006 (22,737 ) (18,952 ) (75,403 ) (48,597 ) 21,543 15,352 48,466 46,157 From PFSI—MSR recapture income 333 409 859 849 Net mortgage loan servicing fees $ 21,876 $ 15,761 $ 49,325 $ 47,006 Average servicing portfolio $ 63,584,416 $ 48,997,875 $ 61,764,228 $ 46,125,926 (1) Includes contractually specified servicing and ancillary fees, net of Agency guarantee fees. |
Net Interest Income (Tables)
Net Interest Income (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Banking And Thrift Interest [Abstract] | |
Summary of Net Interest Income | Net interest income is summarized below: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Interest income: From nonaffiliates: Short-term investments $ 132 $ 165 $ 516 $ 747 Mortgage-backed securities 7,447 3,394 21,954 8,863 Mortgage loans acquired for sale at fair value 16,202 15,008 40,699 37,868 Mortgage loans at fair value: Distressed 14,213 28,952 53,456 81,180 Held in a VIE 3,766 4,040 11,370 14,520 Deposits securing CRT Agreements 1,440 285 2,703 661 Placement fees relating to custodial funds 4,330 1,445 8,212 2,786 Other 49 18 142 86 47,579 53,307 139,052 146,711 From PFSI—ESS 3,998 4,827 13,011 17,555 51,577 58,134 152,063 164,266 Interest expense: To nonaffiliates: Assets sold under agreements to repurchase 26,157 23,751 72,280 66,217 Mortgage loan participation purchase and sale agreements 409 361 1,225 1,023 FHLB advances — — — 122 Notes payable 2,320 2,883 9,719 9,217 Asset-backed financings of VIEs at fair value 3,515 5,253 10,520 10,212 Exchangeable Notes 3,636 3,620 10,895 10,848 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 1,638 2,142 4,068 4,703 Interest on mortgage loan impound deposits 486 346 1,229 787 38,161 38,356 109,936 103,129 To PFSI—Assets sold under agreement to repurchase 2,116 1,974 5,946 5,798 40,277 40,330 115,882 108,927 Net interest income $ 11,300 $ 17,804 $ 36,181 $ 55,339 |
Share-Based Compensation Plans
Share-Based Compensation Plans (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract] | |
Summary of Share-Based Compensation Activity | The following table summarizes the Company’s share-based compensation activity: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Restricted share units granted 2 — 136 218 Performance share units granted — — 126 112 Total share units granted 2 — 262 330 Grant date fair value of restricted share units granted $ 36 $ — $ 2,317 $ 2,690 Grant date fair value of performance share units granted — — 1,675 1,351 Total fair value of share units granted $ 36 $ — $ 3,992 $ 4,041 Restricted share units vested — — 284 299 Performance share units vested — — — — Total share units vested — — 284 299 Restricted share units forfeited — — 13 299 Performance share units forfeited — — — — Total share units forfeited — — 13 299 Compensation expense relating to share-based grants $ 737 $ 1,129 $ 3,864 $ 4,142 |
Other Expenses (Tables)
Other Expenses (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Other Income And Expenses [Abstract] | |
Summary of Other Expenses | Other expenses are summarized below: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Common overhead allocation from PFSI $ 1,193 $ 1,417 $ 4,220 $ 6,413 Real estate held for investment 1,898 821 4,339 2,308 Technology 374 279 1,088 1,045 Insurance 300 304 968 938 Other 1,434 1,123 4,428 2,713 $ 5,199 $ 3,944 $ 15,043 $ 13,417 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Earnings Per Share [Abstract] | |
Summary of Basic and Diluted Earnings per Share | The following table summarizes the basic and diluted earnings per share calculations: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands except per share amounts) Net income $ 19,395 $ 35,408 $ 76,911 $ 44,637 Preferred share dividends (6,125 ) — (9,032 ) — Effect of participating securities—share-based compensation awards (231 ) (341 ) (760 ) (1,026 ) Net income available to common shareholders $ 13,039 $ 35,067 $ 67,119 $ 43,611 Net income available to common shareholders $ 13,039 $ 35,067 $ 67,119 $ 43,611 Interest on Exchangeable Notes, net of income taxes — 2,181 6,564 — Diluted net income attributable to common shareholders $ 13,039 $ 37,248 $ 73,683 $ 43,611 Weighted-average basic shares outstanding 66,636 67,554 66,702 69,289 Dilutive securities: Shares issuable under share-based compensation plan — 308 — — Shares issuable pursuant to exchange of the Exchangeable Notes — 8,467 8,467 — Diluted weighted-average number of shares outstanding 66,636 76,329 75,169 69,289 Basic earnings per share $ 0.20 $ 0.52 $ 1.01 $ 0.63 Diluted earnings per share $ 0.20 $ 0.49 $ 0.98 $ 0.63 |
Summary of Potentially Dilutive Shares Excluded from Computation of Diluted Earnings Per Share | Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Shares issuable under share-based compensation awards 643 — 699 717 Shares issuable pursuant to exchange of the Exchangeable Notes 8,467 — — 8,467 |
Segments and Related Informat66
Segments and Related Information (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Segment Reporting [Abstract] | |
Financial Highlights by Operating Segment | Financial highlights by operating segment are summarized below: Quarter ended September 30, 2017 Correspondent production Credit sensitive strategies Interest rate sensitive strategies Corporate Total (in thousands) Net investment income: Net gain on mortgage loans acquired for sale $ 17,963 $ 4 $ — $ — $ 17,967 Net gain (loss) on investments — 18,562 (4,728 ) — 13,834 Net mortgage loan servicing fees — 47 21,829 — 21,876 Net interest income: Interest income 16,018 15,951 19,426 182 51,577 Interest expense (11,351 ) (13,096 ) (15,830 ) — (40,277 ) 4,667 2,855 3,596 182 11,300 Other income (loss) 11,762 (935 ) — — 10,827 34,392 20,533 20,697 182 75,804 Expenses: Mortgage loan fulfillment, servicing and management fees payable to PFSI 23,508 4,273 7,128 — 34,909 Management fees — — — 6,038 6,038 Other 2,574 3,194 265 4,658 10,691 26,082 7,467 7,393 10,696 51,638 Pre-tax income (loss) $ 8,310 $ 13,066 $ 13,304 $ (10,514 ) $ 24,166 Total assets at end of period $ 1,304,647 $ 1,959,792 $ 2,414,477 $ 106,127 $ 5,785,043 Quarter ended September 30, 2016 Correspondent production Credit sensitive strategies Interest rate sensitive strategies Corporate Total (in thousands) Net investment income: Net gain on mortgage loans acquired for sale $ 43,946 $ (88 ) $ — $ — $ 43,858 Net gain (loss) on investments — 16,145 (1,866 ) — 14,279 Net mortgage loan servicing fees — — 15,761 — 15,761 Net interest income: Interest income 14,835 29,771 13,346 182 58,134 Interest expense (9,613 ) (14,944 ) (15,773 ) — (40,330 ) 5,222 14,827 (2,427 ) 182 17,804 Other income 12,724 (1,100 ) — — 11,624 61,892 29,784 11,468 182 103,326 Expenses: Mortgage loan fulfillment and servicing fees payable to PFSI 27,255 5,629 5,410 — 38,294 Management fees — — — 5,025 5,025 Other 2,539 7,542 424 4,488 14,993 29,794 13,171 5,834 9,513 58,312 Pre-tax income (loss) $ 32,098 $ 16,613 $ 5,634 $ (9,331 ) $ 45,014 Total assets at end of period $ 2,088,515 $ 2,446,785 $ 1,910,121 $ 173,480 $ 6,618,901 Nine months ended September 30, 2017 Correspondent production Credit sensitive strategies Interest rate sensitive strategies Corporate Total (in thousands) Net investment income: Net gain on mortgage loans acquired for sale $ 54,117 $ 167 $ — $ — $ 54,284 Net gain (loss) on investments — 74,695 (16,548 ) — 58,147 Net mortgage loan servicing fees — 91 49,234 — 49,325 Net interest income: Interest income 40,194 57,011 54,200 658 152,063 Interest expense (28,214 ) (41,178 ) (46,490 ) — (115,882 ) 11,980 15,833 7,710 658 36,181 Other income (loss) 30,576 (4,281 ) — 5 26,300 96,673 86,505 40,396 663 224,237 Expenses: Mortgage loan fulfillment, servicing and management fees payable to PFSI 61,191 12,143 19,837 — 93,171 Management fees — — — 16,684 16,684 Other 6,614 11,419 1,094 16,656 35,783 67,805 23,562 20,931 33,340 145,638 Pre-tax income (loss) $ 28,868 $ 62,943 $ 19,465 $ (32,677 ) $ 78,599 Total assets at period end $ 1,304,647 $ 1,959,792 $ 2,414,477 $ 106,127 $ 5,785,043 Nine months ended September 30, 2016 Correspondent production Credit sensitive strategies Interest rate sensitive strategies Corporate Total (in thousands) Net investment income: Net gain on mortgage loans acquired for sale $ 83,565 $ (432 ) $ — $ — $ 83,133 Net gain (loss) on investments — 21,389 (26,495 ) — (5,106 ) Net mortgage loan servicing fees — — 47,006 — 47,006 Net interest income: Interest income 37,248 83,550 43,017 451 164,266 Interest expense (23,144 ) (47,039 ) (38,744 ) — (108,927 ) 14,104 36,511 4,273 451 55,339 Other income (loss) 28,186 (5,398 ) — — 22,788 125,855 52,070 24,784 451 203,160 Expenses: Mortgage loan fulfillment, servicing and management fees payable to PFSI 59,301 23,863 15,056 — 98,220 Management fees — — — 15,576 15,576 Other 5,620 17,209 1,018 17,618 41,465 64,921 41,072 16,074 33,194 155,261 Pre-tax income $ 60,934 $ 10,998 $ 8,710 $ (32,743 ) $ 47,899 Total assets at period end $ 2,088,515 $ 2,446,785 $ 1,910,121 $ 173,480 $ 6,618,901 |
Supplemental Cash Flow Inform67
Supplemental Cash Flow Information (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Supplemental Cash Flow Elements [Abstract] | |
Summary of Supplemental Cash Flow Information | Nine months ended September 30, 2017 2017 2016 (in thousands) Cash paid for interest $ 115,108 $ 111,008 Income taxes (refunded) paid, net $ (294 ) $ 388 Non-cash investing activities: Receipt of MSRs as proceeds from sales of mortgage loans $ 207,361 $ 173,906 Transfer of mortgage loans and advances to real estate acquired in settlement of loans $ 76,981 $ 156,352 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment $ 14,300 $ 17,548 Receipt of ESS pursuant to recapture agreement with PFSI $ 4,160 $ 5,039 Capitalization of servicing advances pursuant to mortgage loan modifications $ 17,759 $ — Non-cash financing activities: Dividends payable $ 31,655 $ 31,804 |
Regulatory Capital and Liquid68
Regulatory Capital and Liquidity Requirements (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Mortgage Banking [Abstract] | |
Summary of Capital and Liquidity Requirements by Agencies | Such Agencies’ capital and liquidity requirements, the calculations of which are defined by each entity, are summarized below: September 30, 2017 Net Worth (1) Tangible Net Worth / Total Assets Ratio (1) Liquidity (1) Fannie Mae and Freddie Mac Actual Required Actual Required Actual Required (in thousands) (in thousands) September 30, 2017 $ 466,530 $ 172,311 12 % 6 % $ 86,919 $ 23,774 December 31, 2016 $ 392,056 $ 143,259 12 % 6 % $ 26,670 $ 19,706 (1) Calculated in accordance with the Agencies’ capital and liquidity requirements. |
Organization - Additional Infor
Organization - Additional Information (Detail) | 9 Months Ended |
Sep. 30, 2017Segment | |
Accounting Policies [Abstract] | |
Number of business segments | 4 |
Percentage of taxable income for distributions | 90.00% |
Concentration of Risks - Summar
Concentration of Risks - Summary of Holdings of Assets Purchased (Detail) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
Investment portfolio purchases through one or more subsidiaries of Citigroup Inc. and JPMorgan Chase & Co. as of: | ||
Investment portfolio purchases above through one or more subsidiaries total | $ 935,742 | $ 1,192,650 |
Total carrying value of distressed mortgage loans at fair value and REO | 1,201,036 | 1,628,641 |
Assets Purchased From JPMorgan Chase & Co [Member] | ||
Investment portfolio purchases through one or more subsidiaries of Citigroup Inc. and JPMorgan Chase & Co. as of: | ||
Investment portfolio purchases above through one or more subsidiaries Mortgage loans at fair value | 401,879 | 505,167 |
Investment portfolio purchases above through one or more subsidiaries REO | 84,620 | 118,737 |
Investment portfolio purchases above through one or more subsidiaries total | 486,499 | 623,904 |
Assets Purchased from Citigroup [Member] | ||
Investment portfolio purchases through one or more subsidiaries of Citigroup Inc. and JPMorgan Chase & Co. as of: | ||
Investment portfolio purchases above through one or more subsidiaries Mortgage loans at fair value | 417,664 | 519,698 |
Investment portfolio purchases above through one or more subsidiaries REO | 31,579 | 49,048 |
Investment portfolio purchases above through one or more subsidiaries total | $ 449,243 | $ 568,746 |
Transactions with Related Par71
Transactions with Related Parties - Correspondent Production Activities - Additional Information (Detail) - USD ($) | Sep. 12, 2016 | Sep. 11, 2016 | Sep. 30, 2017 |
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 Par72
Transactions with Related Parties - Summary of Correspondent Production Activity (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Related Party Transaction [Line Items] | |||||
Purchases of mortgage loans acquired for sale at fair value from PLS | $ 373,108 | $ 13,146 | |||
Mortgage loans fulfillment fees earned by PLS | $ 23,507 | $ 27,255 | 61,184 | 59,301 | |
Mortgage loans included in Mortgage loans acquired for sale at fair value pending sale to PLS | 1,270,340 | 1,270,340 | $ 1,673,112 | ||
PennyMac Loan Services, LLC [Member] | |||||
Related Party Transaction [Line Items] | |||||
Purchases of mortgage loans acquired for sale at fair value from PLS | 332,886 | 5,007 | 373,108 | 13,146 | |
Mortgage loans fulfillment fees earned by PLS | 23,507 | 27,255 | 61,184 | 59,301 | |
Unpaid principal balance (“UPB”) of mortgage loans fulfilled by PLS | 6,530,036 | 7,263,557 | 17,079,969 | 15,696,940 | |
Sourcing fees received from PLS included in Net gain on mortgage loans acquired for sale | 3,275 | 3,509 | 9,340 | 8,282 | |
UPB of mortgage loans sold to PLS | 10,915,194 | 11,694,065 | 31,131,154 | 27,599,186 | |
Early purchase program fees paid to PLS included in Mortgage loan servicing fees | 1 | 5 | 7 | 7 | |
Tax service fee paid to PLS included in Other expense | 2,108 | $ 2,066 | 5,377 | $ 4,537 | |
Mortgage loans included in Mortgage loans acquired for sale at fair value pending sale to PLS | $ 202,320 | $ 202,320 | $ 804,616 |
Transactions with Related Par73
Transactions with Related Parties - Mortgage Loan Servicing Activities - Additional Information (Detail) | 9 Months Ended |
Sep. 30, 2017USD ($) | |
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 Par74
Transactions with Related Parties - Summary of Mortgage Loan Servicing Fees Earned and Mortgage Servicing Rights Recaptured Income Earned (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | $ 11,402 | $ 11,039 | $ 31,987 | $ 38,919 |
Average MSR portfolio | 63,584,416 | 48,997,875 | 61,764,228 | 46,125,926 |
PennyMac Loan Services, LLC [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 11,402 | 11,039 | 31,987 | 38,919 |
MSR recapture income recognized included in Net mortgage loan servicing fees | 333 | 409 | 859 | 849 |
Average MSR portfolio | 63,584,416 | 48,997,875 | 61,764,228 | 46,125,926 |
PennyMac Loan Services, LLC [Member] | Mortgage loans acquired for sale at fair value [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 276 | 300 | 742 | 722 |
Average MSR portfolio | 1,460,054 | 1,607,564 | 1,271,158 | 1,317,230 |
PennyMac Loan Services, LLC [Member] | Distressed mortgage loans [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 4,273 | 5,629 | 12,143 | 23,862 |
Average MSR portfolio | 1,104,738 | 1,579,246 | 1,210,328 | 1,810,779 |
PennyMac Loan Services, LLC [Member] | Mortgage loans held in VIE [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 54 | 66 | 96 | 158 |
Average MSR portfolio | 339,464 | 413,749 | 350,607 | 434,967 |
PennyMac Loan Services, LLC [Member] | Mortgage servicing rights [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 6,799 | 5,044 | 19,006 | 14,177 |
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 | 88 | 90 | 235 | 225 |
PennyMac Loan Services, LLC [Member] | Base [Member] | Distressed mortgage loans [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 1,571 | 2,615 | 5,284 | 8,881 |
PennyMac Loan Services, LLC [Member] | Base [Member] | Mortgage loans held in VIE [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 54 | 65 | 96 | 157 |
PennyMac Loan Services, LLC [Member] | Base [Member] | Mortgage servicing rights [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 6,648 | 4,913 | 18,631 | 13,841 |
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 | 188 | 210 | 507 | 497 |
PennyMac Loan Services, LLC [Member] | Activity-based [Member] | Distressed mortgage loans [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 2,702 | 3,014 | 6,859 | 14,981 |
PennyMac Loan Services, LLC [Member] | Activity-based [Member] | Mortgage loans held in VIE [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 0 | 1 | 0 | 1 |
PennyMac Loan Services, LLC [Member] | Activity-based [Member] | Mortgage servicing rights [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | $ 151 | $ 131 | $ 375 | $ 336 |
Transactions with Related Par75
Transactions with Related Parties - Management Fees - Additional Information (Detail) - USD ($) | 9 Months Ended | |
Sep. 30, 2017 | 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% | |
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 PCM, in each case during the 24-month period before termination. | |
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 attributable to common shares of beneficial interest and 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. |
Transactions with Related Par76
Transactions with Related Parties - Summary of Base Management and Performance Incentive Fees Payable (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Related Party Transaction [Line Items] | ||||
Total management fee incurred during the period | $ 6,038 | $ 5,025 | $ 16,684 | $ 15,576 |
PNMAC Capital Management LLC [Member] | ||||
Related Party Transaction [Line Items] | ||||
Total management fee incurred during the period | 6,038 | 5,025 | 16,684 | 15,576 |
PNMAC Capital Management LLC [Member] | Base [Member] | ||||
Related Party Transaction [Line Items] | ||||
Total management fee incurred during the period | 6,038 | 5,025 | 16,380 | 15,576 |
PNMAC Capital Management LLC [Member] | Performance incentive [Member] | ||||
Related Party Transaction [Line Items] | ||||
Total management fee incurred during the period | $ 0 | $ 0 | $ 304 | $ 0 |
Transactions with Related Par77
Transactions with Related Parties - Summary of Expenses (Detail) - PNMAC Capital Management LLC [Member] - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Related Party Transaction [Line Items] | ||||
Common overhead incurred by PCM and its affiliates | $ 1,193 | $ 1,417 | $ 4,220 | $ 6,413 |
Expenses incurred on the Company’s behalf, net | 196 | 13 | 849 | (102) |
Total expenses incurred in transaction with affiliates | 1,389 | 1,430 | 5,069 | 6,311 |
Payments and settlements during the year | $ 22,786 | $ 45,988 | $ 63,249 | $ 102,600 |
Transactions with Related Par78
Transactions with Related Parties - Note Payable to PLS - Additional Information (Detail) - USD ($) | Dec. 19, 2016 | Feb. 01, 2013 | Aug. 04, 2009 | Feb. 29, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 |
Related Party Transaction [Line Items] | |||||||
Sale of excess servicing spread | $ 59,000,000 | $ 0 | $ 59,045,000 | ||||
Recapture percentage loan fee rate and unpaid principal balance refinance mortgage loans | 90.00% | ||||||
Recapture percentage loan fee rate and unpaid principal balance modified mortgage loans | 90.00% | ||||||
Loan Agreement [Member] | |||||||
Related Party Transaction [Line Items] | |||||||
Maximum borrowing capacity of loan amount | $ 150,000,000 | ||||||
VFN [Member] | |||||||
Related Party Transaction [Line Items] | |||||||
Maximum principal balance | $ 1,000,000,000 | ||||||
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 | ||||||
Maximum [Member] | |||||||
Related Party Transaction [Line Items] | |||||||
Aggregate ESS transferred | $ 200,000 | $ 200,000 | |||||
Maximum [Member] | PNMAC Capital Management LLC [Member] | |||||||
Related Party Transaction [Line Items] | |||||||
PMT agreed to reimburse PCM for a payment | $ 2,900,000 | ||||||
Payment of contingent underwriting fees | $ 5,900,000 |
Transactions with Related Par79
Transactions with Related Parties - Summary of Investing Activity (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Related Party Transaction [Line Items] | ||||
Sale of mortgage loans at fair value to PennyMac Financial Services, Inc. | $ 0 | $ 891 | ||
ESS: | ||||
Interest income | $ 51,577 | $ 58,134 | 152,063 | 164,266 |
Net (loss) gain included in Net (loss) gain on investments: | ||||
Net (loss) gain on investments | 13,834 | 14,279 | 58,147 | (5,106) |
PennyMac Financial Services, Inc. [Member] | ||||
Related Party Transaction [Line Items] | ||||
Sale of mortgage loans at fair value to PennyMac Financial Services, Inc. | 0 | 891 | 0 | 891 |
ESS: | ||||
Received pursuant to a recapture agreement | 1,207 | 1,438 | 4,160 | 5,039 |
Repayments and sales | 13,410 | 16,342 | 42,320 | 113,668 |
Interest income | 3,998 | 4,827 | 13,011 | 17,555 |
Net (loss) gain included in Net (loss) gain on investments: | ||||
Valuation changes | (4,828) | (4,107) | (14,757) | (40,984) |
Recapture income | 1,163 | 1,283 | 3,837 | 4,709 |
Net (loss) gain on investments | $ (3,665) | $ (2,824) | $ (10,920) | $ (36,275) |
Transactions with Related Par80
Transactions with Related Parties - Summary of Financing Activities (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Related Party Transaction [Line Items] | |||||
Interest expense | $ 40,277 | $ 40,330 | $ 115,882 | $ 108,927 | |
PennyMac Financial Services, Inc. [Member] | |||||
Related Party Transaction [Line Items] | |||||
Interest expense | 2,116 | 1,974 | 5,946 | 5,798 | |
Assets sold to PFSI under agreement to repurchase | 148,072 | 148,072 | $ 150,000 | ||
Conditional Reimbursement payable to PFSI included in Accounts payable and accrued liabilities | 870 | 870 | 900 | ||
PennyMac Financial Services, Inc. [Member] | Accounts Payable and Accrued Liabilities [Member] | |||||
Related Party Transaction [Line Items] | |||||
Conditional Reimbursement payable to PFSI included in Accounts payable and accrued liabilities | 870 | 870 | $ 900 | ||
PNMAC Capital Management LLC [Member] | |||||
Related Party Transaction [Line Items] | |||||
Conditional Reimbursements paid to PCM | $ 30 | $ 0 | $ 30 | $ 0 |
Transactions with Related Par81
Transactions with Related Parties - Summary of Amounts Receivable From and Payable to PFSI (Detail) - PennyMac Financial Services, Inc. [Member] - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Due from PFSI: | ||
MSR recapture receivable | $ 384 | $ 707 |
Other | 4,341 | 6,384 |
Due from Affiliates | 4,725 | 7,091 |
Due to PFSI: | ||
Management fees | 6,038 | 5,081 |
Mortgage loan servicing fees | 5,329 | 5,465 |
Allocated expenses and expenses paid by PFSI on PMT’s behalf | 1,541 | 1,046 |
Conditional Reimbursement | 870 | 900 |
Fulfillment fees | 662 | 1,300 |
Interest on Assets sold to PFSI under agreement to repurchase and Note payable to PFSI | 138 | 253 |
Correspondent production fees | 1,430 | 2,371 |
Total expense due to affiliate | $ 16,008 | $ 16,416 |
Loan Sales and Variable Inter82
Loan Sales and Variable Interest Entities - Summary of Cash Flows between Company and Transferees in Transfers Accounted for Sales (Detail) - Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member] - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Cash flows: | ||||
Proceeds from sales | $ 7,035,994 | $ 6,857,691 | $ 17,683,444 | $ 15,323,444 |
Mortgage loan servicing fees received | $ 42,237 | $ 31,514 | $ 119,223 | $ 88,269 |
Loan Sales and Variable Inter83
Loan Sales and Variable Interest Entities - Summary of Unpaid Balance Information for Mortgage Loans Accounted for Sales (Detail) - Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member] - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Mortgage Loans on Real Estate [Line Items] | ||
UPB of mortgage loans outstanding | $ 67,415,863 | $ 56,303,664 |
Delinquent mortgage loans: | ||
30-89 days delinquent | 462,199 | 262,467 |
90 or more days delinquent: | ||
Not in foreclosure | 96,587 | 53,200 |
In foreclosure | 20,814 | 25,180 |
Bankruptcy | 49,334 | 36,357 |
Custodial funds managed by the Company | $ 1,055,517 | $ 736,398 |
Loan Sales and Variable Inter84
Loan Sales and Variable Interest Entities - Summary of Credit Risk Transfer Agreements (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Transfer Of Financial Assets Accounted For As Sales [Line Items] | |||||
Deposits of cash securing CRT Agreements | $ 102,146 | $ 282,434 | |||
Carrying value of CRT Agreements: | |||||
Deposits securing CRT Agreements | $ 545,694 | 545,694 | $ 450,059 | ||
Interest-only security payable at fair value | 6,386 | 6,386 | 4,114 | ||
CRT Agreement assets pledged to secure assets sold under agreements to repurchase: | |||||
Deposits securing credit risk CRT Agreements | 408,100 | 408,100 | 414,610 | ||
Derivative assets | 15,742 | 15,742 | 9,078 | ||
Commitments to fund Deposits securing credit risk transfer agreements | 356,274 | 356,274 | |||
Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member] | Credit Risk Transfer Agreements [Member] | |||||
Transfer Of Financial Assets Accounted For As Sales [Line Items] | |||||
UPB of mortgage loans sold under CRT Agreements | 4,126,946 | $ 3,357,443 | 9,722,067 | 8,442,187 | |
Deposits of cash securing CRT Agreements | 44,998 | 89,697 | 102,146 | 282,434 | |
Increase in commitments to fund Deposits securing CRT Agreements resulting from sale of mortgage loans under CRT Agreements | 108,051 | 0 | 264,165 | 0 | |
Interest earned on Deposits securing CRT Agreements | 1,440 | 285 | 2,703 | 661 | |
Gains recognized on CRT Agreements included in Net gain (loss) on investments | |||||
Realized | 10,798 | 6,206 | 27,595 | 12,601 | |
Resulting from valuation changes | 4,162 | 12,307 | 41,268 | 9,060 | |
Gains (losses) recognized on gross derivative related to credit risk transactions | 14,960 | 18,513 | 68,863 | 21,661 | |
Change in fair value of interest-only security payable at fair value | 191 | (36) | (2,272) | 437 | |
Gains (losses) recognized on net derivative related to credit risk transactions | 15,151 | 18,477 | 66,591 | 22,098 | |
Payments made to settle losses | 539 | $ 28 | 950 | $ 28 | |
UPB of mortgage loans subject to credit guarantee obligations | 22,931,988 | 22,931,988 | 14,379,850 | ||
Delinquency status (in UPB): | |||||
Current—89 days delinquent | 22,899,266 | 22,899,266 | 14,372,247 | ||
90 or more days delinquent | 20,540 | 20,540 | 5,711 | ||
Foreclosure | 2,481 | 2,481 | 1,892 | ||
Bankruptcy | 9,701 | 9,701 | 0 | ||
Carrying value of CRT Agreements: | |||||
Deposits securing CRT Agreements | 545,694 | 545,694 | 450,059 | ||
Interest-only security payable at fair value | 6,386 | 6,386 | 4,114 | ||
CRT Agreement assets pledged to secure assets sold under agreements to repurchase: | |||||
Deposits securing credit risk CRT Agreements | 408,100 | 408,100 | 414,610 | ||
Commitments to fund Deposits securing credit risk transfer agreements | 356,274 | 356,274 | 92,109 | ||
Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member] | Credit Risk Transfer Agreements [Member] | Derivative Assets [Member] | |||||
Carrying value of CRT Agreements: | |||||
Derivative assets | 56,878 | 56,878 | 15,610 | ||
CRT Agreement assets pledged to secure assets sold under agreements to repurchase: | |||||
Derivative assets | $ 15,742 | $ 15,742 | $ 9,078 |
Loan Sales and Variable Inter85
Loan Sales and Variable Interest Entities - Additional Information (Detail) - Jumbo Mortgage Loan Financing [Member] - Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member] - USD ($) | Sep. 30, 2013 | Sep. 30, 2017 | Dec. 31, 2016 |
Mortgage Loans on Real Estate [Line Items] | |||
Certificates issued | $ 537,000,000 | $ 0 | $ 208,800,000 |
Weighted yield | 3.90% | ||
Fair value of certificates retained | $ 366,800,000 | $ 9,500,000 |
Fair Value - Additional Informa
Fair Value - Additional Information (Detail) - USD ($) $ in Millions | 9 Months Ended | |
Sep. 30, 2017 | Dec. 31, 2016 | |
Mortgage Servicing Rights [Line Items] | ||
Mortgage loans description | Note interest rate pools of 50 basis points | |
Basis point for mortgage loan | 0.50% | |
Fair value of exchangeable senior notes | $ 246.9 | $ 240.7 |
Repurchase Agreement Derivatives [Member] | Level 3 [Member] | ||
Mortgage Servicing Rights [Line Items] | ||
Approval rate included in estimated fair value | 80.00% | |
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 | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 |
Assets: | ||||||
Short-term investments | $ 5,646 | $ 122,088 | ||||
Mortgage-backed securities at fair value | 1,036,669 | 865,061 | ||||
Mortgage loans acquired for sale at fair value | 1,270,340 | 1,673,112 | ||||
Excess servicing spread purchased from PFSI | 248,763 | 288,669 | ||||
Derivative assets: | ||||||
Derivative assets | 72,079 | 71,093 | ||||
Derivative assets, Netting | (4,791) | (37,384) | ||||
Total derivative assets after netting | 67,288 | 33,709 | ||||
Mortgage servicing rights at fair value | 82,312 | $ 77,624 | 64,136 | $ 55,843 | $ 57,977 | $ 66,584 |
Liabilities: | ||||||
Asset-backed financing of a VIE at fair value | 318,404 | 353,898 | ||||
Interest-only security payable at fair value | 6,386 | 4,114 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 8,295 | 28,885 | ||||
Derivative liabilities, Netting | (3,395) | (19,312) | ||||
Total derivative liabilities after netting | 4,900 | 9,573 | ||||
CRT Agreements [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 56,878 | 15,610 | ||||
Total derivative assets after netting | 56,878 | 15,610 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Interest Rate Lock Commitments [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 2,789 | 7,069 | ||||
Total derivative assets after netting | 2,789 | 7,069 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 1,514 | 3,292 | ||||
Forward Sales Contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 8,861 | 13,164 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 8,861 | 13,164 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 165 | 17,974 | ||||
Forward Purchase Contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 30,879 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 0 | 30,879 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 6,616 | 7,619 | ||||
MBS Put Options [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 1,503 | 1,697 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 1,503 | 1,697 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
MBS Call Options [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 171 | 142 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 171 | 142 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Call Options on Interest Rate Futures [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 438 | 63 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 438 | 63 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Put Options on Interest Rate Futures [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 1,258 | 2,469 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 1,258 | 2,469 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Repurchase Agreement Derivatives [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 181 | 0 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 181 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Recurring [Member] | ||||||
Assets: | ||||||
Short-term investments | 5,646 | 122,088 | ||||
Mortgage-backed securities at fair value | 1,036,669 | 865,061 | ||||
Mortgage loans acquired for sale at fair value | 1,270,340 | 1,673,112 | ||||
Mortgage loans at fair value | 1,347,943 | 1,721,741 | ||||
Excess servicing spread purchased from PFSI | 248,763 | 288,669 | ||||
Derivative assets: | ||||||
Derivative assets | 72,079 | 71,093 | ||||
Derivative assets, Netting | (4,791) | (37,384) | ||||
Total derivative assets after netting | 67,288 | 33,709 | ||||
Mortgage servicing rights at fair value | 82,312 | 64,136 | ||||
Total Assets | 4,058,961 | 4,768,516 | ||||
Liabilities: | ||||||
Asset-backed financing of a VIE at fair value | 318,404 | 353,898 | ||||
Interest-only security payable at fair value | 6,386 | 4,114 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 8,295 | 28,885 | ||||
Derivative liabilities, Netting | (3,395) | (19,312) | ||||
Total derivative liabilities after netting | 4,900 | 9,573 | ||||
Total liabilities | 329,690 | 367,585 | ||||
Recurring [Member] | CRT Agreements [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 56,878 | 15,610 | ||||
Recurring [Member] | Interest Rate Lock Commitments [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 2,789 | 7,069 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 1,514 | 3,292 | ||||
Recurring [Member] | Forward Sales Contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 8,861 | 13,164 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 165 | 17,974 | ||||
Recurring [Member] | Forward Purchase Contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 30,879 | |||||
Derivative liabilities: | ||||||
Derivative liabilities | 6,616 | 7,619 | ||||
Recurring [Member] | Level 1 [Member] | ||||||
Assets: | ||||||
Short-term investments | 5,646 | 122,088 | ||||
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 | 1,696 | 2,532 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 1,696 | 2,532 | ||||
Mortgage servicing rights at fair value | 0 | 0 | ||||
Total Assets | 7,342 | 124,620 | ||||
Liabilities: | ||||||
Asset-backed financing of a VIE at fair value | 0 | 0 | ||||
Interest-only security payable at fair value | 0 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Derivative liabilities, Netting | 0 | 0 | ||||
Total derivative liabilities after netting | 0 | 0 | ||||
Total liabilities | 0 | 0 | ||||
Recurring [Member] | Level 1 [Member] | CRT Agreements [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Recurring [Member] | Level 1 [Member] | Interest Rate Lock Commitments [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Recurring [Member] | Level 1 [Member] | Forward Sales Contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Recurring [Member] | Level 1 [Member] | Forward Purchase Contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | |||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Recurring [Member] | Level 2 [Member] | ||||||
Assets: | ||||||
Short-term investments | 0 | 0 | ||||
Mortgage-backed securities at fair value | 1,036,669 | 865,061 | ||||
Mortgage loans acquired for sale at fair value | 1,270,340 | 1,673,112 | ||||
Mortgage loans at fair value | 331,941 | 367,169 | ||||
Excess servicing spread purchased from PFSI | 0 | 0 | ||||
Derivative assets: | ||||||
Derivative assets | 10,535 | 45,882 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 10,535 | 45,882 | ||||
Mortgage servicing rights at fair value | 0 | 0 | ||||
Total Assets | 2,649,485 | 2,951,224 | ||||
Liabilities: | ||||||
Asset-backed financing of a VIE at fair value | 318,404 | 353,898 | ||||
Interest-only security payable at fair value | 0 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 6,781 | 25,593 | ||||
Derivative liabilities, Netting | 0 | 0 | ||||
Total derivative liabilities after netting | 6,781 | 25,593 | ||||
Total liabilities | 325,185 | 379,491 | ||||
Recurring [Member] | Level 2 [Member] | CRT Agreements [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Recurring [Member] | Level 2 [Member] | Interest Rate Lock Commitments [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Recurring [Member] | Level 2 [Member] | Forward Sales Contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 8,861 | 13,164 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 165 | 17,974 | ||||
Recurring [Member] | Level 2 [Member] | Forward Purchase Contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 30,879 | |||||
Derivative liabilities: | ||||||
Derivative liabilities | 6,616 | 7,619 | ||||
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 | 1,016,002 | 1,354,572 | ||||
Excess servicing spread purchased from PFSI | 248,763 | 288,669 | ||||
Derivative assets: | ||||||
Derivative assets | 59,848 | 22,679 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 59,848 | 22,679 | ||||
Mortgage servicing rights at fair value | 82,312 | 64,136 | ||||
Total Assets | 1,406,925 | 1,730,056 | ||||
Liabilities: | ||||||
Asset-backed financing of a VIE at fair value | 0 | 0 | ||||
Interest-only security payable at fair value | 6,386 | 4,114 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 1,514 | 3,292 | ||||
Derivative liabilities, Netting | 0 | 0 | ||||
Total derivative liabilities after netting | 1,514 | 3,292 | ||||
Total liabilities | 7,900 | 7,406 | ||||
Recurring [Member] | Level 3 [Member] | CRT Agreements [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 56,878 | 15,610 | ||||
Recurring [Member] | Level 3 [Member] | Interest Rate Lock Commitments [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 2,789 | 7,069 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 1,514 | 3,292 | ||||
Recurring [Member] | Level 3 [Member] | Forward Sales Contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Recurring [Member] | Level 3 [Member] | Forward Purchase Contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | |||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Recurring [Member] | MBS Put Options [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 1,503 | 1,697 | ||||
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 | 1,503 | 1,697 | ||||
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 | 171 | 142 | ||||
Recurring [Member] | MBS Call Options [Member] | Level 1 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Recurring [Member] | MBS Call Options [Member] | Level 2 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 171 | 142 | ||||
Recurring [Member] | MBS Call Options [Member] | Level 3 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Recurring [Member] | Call Options on Interest Rate Futures [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 438 | 63 | ||||
Recurring [Member] | Call Options on Interest Rate Futures [Member] | Level 1 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 438 | 63 | ||||
Recurring [Member] | Call Options on Interest Rate Futures [Member] | Level 2 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Recurring [Member] | Call Options on Interest Rate Futures [Member] | Level 3 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Recurring [Member] | Put Options on Interest Rate Futures [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 1,258 | 2,469 | ||||
Recurring [Member] | Put Options on Interest Rate Futures [Member] | Level 1 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 1,258 | 2,469 | ||||
Recurring [Member] | Put Options on Interest Rate Futures [Member] | Level 2 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Recurring [Member] | Put Options on Interest Rate Futures [Member] | Level 3 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | $ 0 | ||||
Recurring [Member] | Repurchase Agreement Derivatives [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 181 | |||||
Recurring [Member] | Repurchase Agreement Derivatives [Member] | Level 1 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | |||||
Recurring [Member] | Repurchase Agreement Derivatives [Member] | Level 2 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | |||||
Recurring [Member] | Repurchase Agreement Derivatives [Member] | Level 3 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | $ 181 |
Fair Value - Summary of Changes
Fair Value - Summary of Changes in Items Measured Using Level 3 Inputs on Recurring Basis (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Assets: | ||||
Servicing received as proceeds from sales of mortgage loans | $ 8,655 | $ 1,068 | $ 28,467 | $ 6,215 |
Recurring [Member] | ||||
Assets: | ||||
Beginning balance | 1,577,151 | 1,977,992 | 1,726,764 | 2,584,642 |
Purchases and issuances | 9,455 | 30,429 | 26,445 | 61,077 |
Repayments and sales | (181,029) | (52,469) | (372,744) | (575,916) |
Capitalization of interest | 11,018 | 27,895 | 40,748 | 80,338 |
Capitalization of advances | 4,611 | 17,759 | ||
ESS received pursuant to a recapture agreement with PFSI | 1,207 | 1,438 | 4,160 | 5,039 |
Servicing received as proceeds from sales of mortgage loans | 8,655 | 1,068 | 28,467 | 6,215 |
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 6,035 | 9,699 | 23,498 | 29,480 |
Other factors | 18,827 | 26,049 | 71,707 | 7,466 |
Total | 24,862 | 35,748 | 95,205 | 36,946 |
Transfers of mortgage loans to REO | (39,276) | (151,685) | ||
Transfers of mortgage loans to REO and real estate held for investment | (26,705) | (88,760) | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | (23,814) | (55,248) | (72,633) | (119,079) |
Ending balance | 1,405,411 | 1,927,577 | 1,405,411 | 1,927,577 |
Changes in fair value recognized during the period relating to assets | (10,670) | 23,861 | 10,766 | (23,741) |
Recurring [Member] | CRT Agreements [Member] | ||||
Assets: | ||||
Beginning balance | 52,716 | (199) | 15,610 | 593 |
Purchases and issuances | 0 | 0 | 0 | 0 |
Repayments and sales | (10,798) | (6,206) | (27,595) | (12,601) |
Capitalization of interest | 0 | 0 | 0 | 0 |
Capitalization of advances | 0 | 0 | ||
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | 0 |
Servicing received as proceeds from sales of mortgage loans | 0 | 0 | 0 | 0 |
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 0 | 0 | 0 | 0 |
Other factors | 14,960 | 23,067 | 68,863 | 28,670 |
Total | 14,960 | 23,067 | 68,863 | 28,670 |
Transfers of mortgage loans to REO | 0 | 0 | ||
Transfers of mortgage loans to REO and real estate held for investment | 0 | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Ending balance | 56,878 | 16,662 | 56,878 | 16,662 |
Changes in fair value recognized during the period relating to assets | 4,162 | 16,662 | 41,268 | 16,662 |
Recurring [Member] | Interest Rate Lock Commitments [Member] | ||||
Assets: | ||||
Beginning balance | 395 | 16,757 | 3,777 | 4,646 |
Purchases and issuances | 9,264 | 30,429 | 26,185 | 58,475 |
Repayments and sales | 0 | 0 | 0 | 0 |
Capitalization of interest | 0 | 0 | 0 | 0 |
Capitalization of advances | 0 | 0 | ||
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | 0 |
Servicing received as proceeds from sales of mortgage loans | 0 | 0 | 0 | 0 |
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 0 | 0 | 0 | 0 |
Other factors | 15,430 | 23,390 | 43,946 | 71,286 |
Total | 15,430 | 23,390 | 43,946 | 71,286 |
Transfers of mortgage loans to REO | 0 | 0 | ||
Transfers of mortgage loans to REO and real estate held for investment | 0 | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | (23,814) | (55,248) | (72,633) | (119,079) |
Ending balance | 1,275 | 15,328 | 1,275 | 15,328 |
Changes in fair value recognized during the period relating to assets | 1,275 | 15,328 | 1,275 | 15,328 |
Recurring [Member] | Interest-only security payable [Member] | ||||
Liabilities: | ||||
Beginning balance | 6,577 | 1,663 | 4,114 | 0 |
Purchases and issuances | 2,136 | |||
Changes in fair value included in income arising from: | ||||
Changes in instrument- specific credit risk | 0 | 0 | 0 | 0 |
Other factors | (191) | 36 | 2,272 | (437) |
Total | (191) | 36 | 2,272 | (437) |
Ending balance | 6,386 | 1,699 | 6,386 | 1,699 |
Changes in fair value recognized during the period relating to liability | (191) | 36 | 2,272 | (437) |
Recurring [Member] | Mortgage loans at fair value [Member] | ||||
Assets: | ||||
Beginning balance | 1,184,620 | 1,608,906 | 1,354,572 | 2,100,394 |
Purchases and issuances | 0 | 0 | 0 | 0 |
Repayments and sales | (156,821) | (29,921) | (302,829) | (449,647) |
Capitalization of interest | 7,020 | 23,068 | 27,737 | 62,783 |
Capitalization of advances | 4,611 | 17,759 | ||
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | 0 |
Servicing received as proceeds from sales of mortgage loans | 0 | 0 | 0 | 0 |
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 6,035 | 9,699 | 23,498 | 29,480 |
Other factors | (2,758) | (13,099) | (15,975) | (31,948) |
Total | 3,277 | (3,400) | 7,523 | (2,468) |
Transfers of mortgage loans to REO | (39,276) | (151,685) | ||
Transfers of mortgage loans to REO and real estate held for investment | (26,705) | (88,760) | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Ending balance | 1,016,002 | 1,559,377 | 1,016,002 | 1,559,377 |
Changes in fair value recognized during the period relating to assets | (7,302) | (820) | (6,650) | (2,399) |
Recurring [Member] | Excess servicing spread [Member] | ||||
Assets: | ||||
Beginning balance | 261,796 | 294,551 | 288,669 | 412,425 |
Purchases and issuances | 0 | 0 | 0 | 0 |
Repayments and sales | (13,410) | (16,342) | (42,320) | (113,668) |
Capitalization of interest | 3,998 | 4,827 | 13,011 | 17,555 |
Capitalization of advances | 0 | 0 | ||
ESS received pursuant to a recapture agreement with PFSI | 1,207 | 1,438 | 4,160 | 5,039 |
Servicing received as proceeds from sales of mortgage loans | 0 | 0 | 0 | 0 |
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 0 | 0 | 0 | 0 |
Other factors | (4,828) | (4,107) | (14,757) | (40,984) |
Total | (4,828) | (4,107) | (14,757) | (40,984) |
Transfers of mortgage loans to REO | 0 | 0 | ||
Transfers of mortgage loans to REO and real estate held for investment | 0 | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Ending balance | 248,763 | 280,367 | 248,763 | 280,367 |
Changes in fair value recognized during the period relating to assets | (4,828) | (4,107) | (14,757) | (33,774) |
Recurring [Member] | Mortgage servicing rights [Member] | ||||
Assets: | ||||
Beginning balance | 77,624 | 57,977 | 64,136 | 66,584 |
Purchases and issuances | 10 | 0 | 79 | 2,602 |
Repayments and sales | 0 | 0 | 0 | 0 |
Capitalization of interest | 0 | 0 | 0 | 0 |
Capitalization of advances | 0 | 0 | ||
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | 0 |
Servicing received as proceeds from sales of mortgage loans | 8,655 | 1,068 | 28,467 | 6,215 |
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 0 | 0 | 0 | 0 |
Other factors | (3,977) | (3,202) | (10,370) | (19,558) |
Total | (3,977) | (3,202) | (10,370) | (19,558) |
Transfers of mortgage loans to REO | 0 | 0 | ||
Transfers of mortgage loans to REO and real estate held for investment | 0 | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Ending balance | 82,312 | 55,843 | 82,312 | 55,843 |
Changes in fair value recognized during the period relating to assets | (3,977) | $ (3,202) | (10,370) | $ (19,558) |
Recurring [Member] | Repurchase Agreement Derivatives [Member] | ||||
Assets: | ||||
Beginning balance | 0 | 0 | ||
Purchases and issuances | 181 | 181 | ||
Repayments and sales | 0 | 0 | ||
Capitalization of interest | 0 | 0 | ||
Capitalization of advances | 0 | 0 | ||
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | ||
Servicing received as proceeds from sales of mortgage loans | 0 | 0 | ||
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 0 | 0 | ||
Other factors | 0 | 0 | ||
Total | 0 | 0 | ||
Transfers of mortgage loans to REO and real estate held for investment | 0 | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | ||
Ending balance | 181 | 181 | ||
Changes in fair value recognized during the period relating to assets | $ 0 | $ 0 |
Fair Value - Fair Values and Re
Fair Value - Fair Values and Related Principal Amounts Due upon Maturity of Mortgage Loans Accounted for Under Fair Value Option (Detail) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
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 | $ 1,347,943 | $ 1,721,741 |
Mortgage loans at fair value | 1,347,943 | 1,721,741 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Unpaid principal balance of loans outstanding at period-end | 1,710,504 | 2,208,183 |
Unpaid principal balance | 1,710,504 | 2,208,183 |
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 | (362,561) | (486,442) |
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 | 1,269,137 | 1,672,181 |
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent | ||
Not in foreclosure | 759 | 145 |
In foreclosure | 444 | 786 |
Fair value option loans held as assets, Total | 1,203 | 931 |
Mortgage loans at fair value | 1,270,340 | 1,673,112 |
Mortgage loans on real estate principal amount of delinquent loans less than ninety days | 1,220,098 | 1,633,569 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Not in foreclosure | 954 | 189 |
In foreclosure | 497 | 717 |
Unpaid principal balance of loans outstanding at period-end | 1,221,549 | 1,634,475 |
Fair value option loans held as assets ninety days or less past due aggregate difference | 49,039 | 38,612 |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference | ||
Not in foreclosure | (195) | (44) |
In foreclosure | (53) | 69 |
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | 48,791 | 38,637 |
Mortgage loans acquired for sale at fair value [Member] | Nonperforming mortgage loans [Member] | ||
Mortgage loans on real estate principal amount of delinquent loans | ||
Unpaid principal balance of loans outstanding at period-end | 1,451 | 906 |
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 | (248) | 25 |
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 | 331,941 | 367,169 |
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 | 331,941 | 367,169 |
Mortgage loans on real estate principal amount of delinquent loans less than ninety days | 325,529 | 368,524 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Not in foreclosure | 0 | 0 |
In foreclosure | 0 | 0 |
Unpaid principal balance | 325,529 | 368,524 |
Fair value option loans held as assets ninety days or less past due aggregate difference | 6,412 | (1,355) |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference | ||
Not in foreclosure | 0 | 0 |
In foreclosure | 0 | 0 |
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | 6,412 | (1,355) |
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 | 527,874 | 611,584 |
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent | ||
Not in foreclosure | 210,783 | 305,431 |
In foreclosure | 277,345 | 437,557 |
Mortgage loans at fair value | 1,016,002 | 1,354,572 |
Mortgage loans on real estate principal amount of delinquent loans less than ninety days | 667,649 | 818,665 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Not in foreclosure | 319,417 | 425,460 |
In foreclosure | 397,909 | 595,534 |
Unpaid principal balance | 1,384,975 | 1,839,659 |
Fair value option loans held as assets ninety days or less past due aggregate difference | (139,775) | (207,081) |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference | ||
Not in foreclosure | (108,634) | (120,029) |
In foreclosure | (120,564) | (157,977) |
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | (368,973) | (485,087) |
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 | 488,128 | 742,988 |
Mortgage loans on real estate principal amount of delinquent loans | ||
Unpaid principal balance | 717,326 | 1,020,994 |
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 | $ (229,198) | $ (278,006) |
Fair Value - Summary of Chang90
Fair Value - Summary of Changes in Fair Value Included in Current Period Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||||
Net gain on mortgage loans acquired for sale | $ 17,967 | $ 43,858 | $ 54,284 | $ 83,133 | ||
Net gain on investments | 13,834 | 14,279 | 58,147 | (5,106) | ||
Interest-only security payable [Member] | ||||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||||
Net gain on mortgage loans acquired for sale | 0 | 0 | ||||
Net interest income | 0 | 0 | ||||
Net mortgage loan servicing fees | 0 | 0 | ||||
Net gain on investments | 191 | (2,272) | ||||
Total | 191 | (2,272) | ||||
Asset-Backed Financing of the VIE at Fair Value [Member] | ||||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 | ||
Net interest income | (735) | (2,520) | [1] | (1,807) | (1,985) | [1] |
Net mortgage loan servicing fees | 0 | 0 | 0 | 0 | ||
Net gain on investments | (2,158) | 2,990 | (5,581) | (5,974) | ||
Total | (2,893) | 470 | (7,388) | (7,959) | ||
Liabilities, Total [Member] | ||||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 | ||
Net interest income | (735) | (2,520) | [1] | (1,807) | (1,985) | [1] |
Net mortgage loan servicing fees | 0 | 0 | 0 | 0 | ||
Net gain on investments | (1,967) | 2,990 | (7,853) | (5,974) | ||
Total | (2,702) | 470 | (9,660) | (7,959) | ||
Short-term Investments [Member] | ||||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 | ||
Net interest income | 0 | 0 | [1] | 0 | 0 | [1] |
Net mortgage loan servicing fees | 0 | 0 | 0 | 0 | ||
Net gain on investments | 0 | 0 | 0 | 0 | ||
Total | 0 | 0 | 0 | 0 | ||
Mortgage-backed securities at fair value [Member] | ||||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 | ||
Net interest income | (1,481) | (1,193) | [1] | (4,276) | (1,930) | [1] |
Net mortgage loan servicing fees | 0 | 0 | 0 | 0 | ||
Net gain on investments | 5,001 | 517 | 9,168 | 9,948 | ||
Total | 3,520 | (676) | 4,892 | 8,018 | ||
Mortgage loans acquired for sale at fair value [Member] | ||||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||||
Net gain on mortgage loans acquired for sale | 32,935 | 58,128 | 83,839 | 147,135 | ||
Net interest income | 0 | 0 | [1] | 0 | 0 | [1] |
Net mortgage loan servicing fees | 0 | 0 | 0 | 0 | ||
Net gain on investments | 0 | 0 | 0 | 0 | ||
Total | 32,935 | 58,128 | 83,839 | 147,135 | ||
Mortgage loans at fair value [Member] | ||||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 | ||
Net interest income | 7,617 | 23,261 | [1] | 29,195 | 65,070 | [1] |
Net mortgage loan servicing fees | 0 | 0 | 0 | 0 | ||
Net gain on investments | 5,415 | (3,936) | 13,832 | 5,342 | ||
Total | 13,032 | 19,325 | 43,027 | 70,412 | ||
Excess servicing spread [Member] | ||||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 | ||
Net interest income | 3,998 | 4,827 | [1] | 13,011 | 17,555 | [1] |
Net mortgage loan servicing fees | 0 | 0 | 0 | 0 | ||
Net gain on investments | (4,828) | (4,107) | (14,757) | (40,984) | ||
Total | (830) | 720 | (1,746) | (23,429) | ||
MSRs at fair value [Member] | ||||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 | ||
Net interest income | 0 | 0 | [1] | 0 | 0 | [1] |
Net mortgage loan servicing fees | (3,977) | (3,202) | (10,370) | (19,558) | ||
Net gain on investments | 0 | 0 | 0 | 0 | ||
Total | (3,977) | (3,202) | (10,370) | (19,558) | ||
Assets, Total [Member] | ||||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||||
Net gain on mortgage loans acquired for sale | 32,935 | 58,128 | 83,839 | 147,135 | ||
Net interest income | 10,134 | 26,895 | [1] | 37,930 | 80,695 | [1] |
Net mortgage loan servicing fees | (3,977) | (3,202) | (10,370) | (19,558) | ||
Net gain on investments | 5,588 | (7,526) | 8,243 | (25,694) | ||
Total | $ 44,680 | $ 74,295 | $ 119,642 | $ 182,578 | ||
[1] | The amounts in the above table have been expanded to conform with current period presentation. The table includes the effect of capitalization of interest and accrual of unearned discounts on fair value. |
Fair Value - Summary of Finan91
Fair Value - Summary of Financial Statement Items Re-measured at Fair Value on Nonrecurring Basis (Detail) - Nonrecurring [Member] - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate acquired in settlement of loans | $ 60,805 | $ 125,683 |
MSRs at lower of amortized cost or fair value | 277,260 | 173,765 |
Total Assets | 338,065 | 299,448 |
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 | 60,805 | 125,683 |
MSRs at lower of amortized cost or fair value | 277,260 | 173,765 |
Total Assets | $ 338,065 | $ 299,448 |
Fair Value - Summary of Chang92
Fair Value - Summary of Changes in Fair Value Recognized in Assets that Measured at Fair Value on a Nonrecurring Basis (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
MSRs at lower of amortized cost or fair value | $ 1,702 | $ 3,460 | $ 4,287 | $ 44,336 |
Nonrecurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Real estate asset acquired in settlement of loans | (5,666) | (6,940) | (7,454) | (14,552) |
MSRs at lower of amortized cost or fair value | (1,702) | (3,460) | (4,287) | (44,336) |
Total assets, gains (losses) recognized | $ (7,368) | $ (10,400) | $ (11,741) | $ (58,888) |
Fair Value - Quantitative Summa
Fair Value - Quantitative Summary of Key Inputs Used in Valuation of Mortgage Loans at Fair Value (Detail) - Mortgage loans at fair value [Member] | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Discount rate | 2.90% | 2.60% |
Twelve-month projected housing price index change | 3.40% | 2.50% |
Prepayment speed | 3.00% | 0.10% |
Total prepayment speed | 4.70% | 2.90% |
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 | 4.90% | 4.80% |
Prepayment speed | 6.90% | 10.90% |
Total prepayment speed | 24.00% | 24.60% |
Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Discount rate | 6.70% | 7.10% |
Twelve-month projected housing price index change | 4.60% | 3.70% |
Prepayment speed | 4.10% | 4.00% |
Total prepayment speed | 16.70% | 17.70% |
Fair Value - Summary of Key Inp
Fair Value - Summary of Key Inputs Used in Determining Fair Value of ESS (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
UPB of underlying mortgage loans (in thousands) | $ 794,770 | $ 120,457 | $ 2,613,258 | $ 647,976 | |
Average servicing fee rate (in basis points) | 0.25% | 0.25% | 0.25% | 0.26% | |
Weighted Average [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Pricing spread | 7.60% | 7.60% | 7.60% | 7.30% | |
Annual total prepayment speed | 11.10% | 11.10% | 10.70% | ||
Minimum [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Pricing spread | 7.60% | 7.60% | 7.60% | 7.20% | |
Annual total prepayment speed | 7.40% | 7.40% | 6.80% | ||
Maximum [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Pricing spread | 7.60% | 7.60% | 7.60% | 7.60% | |
Annual total prepayment speed | 20.70% | 20.70% | 24.20% | ||
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) | $ 28,385,316 | $ 32,376,359 | |||
Average servicing fee rate (in basis points) | 0.34% | 0.34% | |||
Average ESS rate (in basis points) | 0.19% | 0.19% | |||
Pricing spread | 4.20% | 4.40% | |||
Annual total prepayment speed | 10.70% | 10.70% | 10.50% | ||
Life (in years) | 6 years 7 months 6 days | 6 years 9 months 18 days | |||
Excess servicing spread [Member] | Minimum [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Pricing spread | 3.80% | 3.80% | |||
Annual total prepayment speed | 7.70% | 7.70% | 7.00% | ||
Life (in years) | 1 year 6 months | 1 year 4 months 24 days | |||
Excess servicing spread [Member] | Maximum [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Pricing spread | 4.40% | 4.80% | |||
Annual total prepayment speed | 37.20% | 37.20% | 41.30% | ||
Life (in years) | 8 years 1 month 7 days | 8 years 7 months 6 days |
Fair Value - Quantitative Sum95
Fair Value - Quantitative Summary of Key Unobservable Inputs Used in Valuation of Interest Rate Lock Commitments (Detail) | Sep. 30, 2017 | Dec. 31, 2016 |
Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Pull-through rate | 57.60% | 60.70% |
Servicing fee multiple | 2.40% | 2.60% |
Percentage of UPB | 0.70% | 0.70% |
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% | 6.00% |
Percentage of UPB | 1.50% | 1.50% |
Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Pull-through rate | 88.60% | 88.50% |
Servicing fee multiple | 5.00% | 5.00% |
Percentage of UPB | 1.20% | 1.30% |
Fair Value - Key Assumptions Us
Fair Value - Key Assumptions Used in Determining Fair Value of MSRs at Time of Initial Recognition (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair value, MSR recognized | $ 8,655,000 | $ 1,068,000 | $ 28,467,000 | $ 6,215,000 |
Fair value, UPB of underlying mortgage loans | $ 794,770,000 | $ 120,457,000 | $ 2,613,258,000 | $ 647,976,000 |
Fair value, Weighted-average annual servicing fee rate (in basis points) | 0.25% | 0.25% | 0.25% | 0.26% |
Amortized cost, MSR recognized | $ 74,183,000 | $ 76,567,000 | $ 178,894,000 | $ 167,691,000 |
Amortized cost, UPB of underlying mortgage loans | $ 6,050,337,000 | $ 6,532,562,000 | $ 14,624,151,000 | $ 14,139,102,000 |
Amortized cost, Weighted-average annual servicing fee rate (in basis points) | 0.25% | 0.25% | 0.25% | 0.25% |
Minimum [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair value inputs, Pricing spread during period | 7.60% | 7.60% | 7.60% | 7.20% |
Fair value inputs, Annual prepayment speed during period | 8.30% | 10.30% | 7.90% | 7.20% |
Fair value inputs, Weighted average life during period | 2 years 9 months 19 days | 2 years 4 months 25 days | 2 years 9 months 19 days | 2 years |
Fair value inputs, Annual per loan cost of servicing during period | $ 79 | $ 78 | $ 79 | $ 68 |
Amortized cost, Pricing spread during period | 7.60% | 7.60% | 7.60% | 7.20% |
Amortized cost, Annual prepayment speed during period | 3.50% | 4.50% | 3.20% | 3.40% |
Amortized cost, Life (in years) | 2 years 7 months 6 days | 2 years 3 months 18 days | 2 years 7 months 6 days | 1 year 4 months 24 days |
Amortized cost, Annual per loan cost of servicing during period | $ 79 | $ 78 | $ 79 | $ 68 |
Maximum [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair value inputs, Pricing spread during period | 7.60% | 7.60% | 7.60% | 7.60% |
Fair value inputs, Annual prepayment speed during period | 29.50% | 33.30% | 29.50% | 38.00% |
Fair value inputs, Weighted average life during period | 8 years 6 months | 7 years 3 months 18 days | 8 years 6 months | 9 years 4 months 24 days |
Fair value inputs, Annual per loan cost of servicing during period | $ 79 | $ 82 | $ 79 | $ 82 |
Amortized cost, Pricing spread during period | 12.60% | 12.60% | 12.60% | 12.60% |
Amortized cost, Annual prepayment speed during period | 31.10% | 33.20% | 31.10% | 49.20% |
Amortized cost, Life (in years) | 11 years 2 months 12 days | 10 years 10 months 24 days | 11 years 10 months 24 days | 12 years 3 months 18 days |
Amortized cost, Annual per loan cost of servicing during period | $ 79 | $ 78 | $ 79 | $ 79 |
Weighted Average [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair value inputs, Pricing spread during period | 7.60% | 7.60% | 7.60% | 7.30% |
Fair value inputs, Annual prepayment speed during period | 10.50% | 14.90% | 10.70% | 15.10% |
Fair value inputs, Weighted average life during period | 7 years 4 months 24 days | 5 years 8 months 12 days | 7 years 3 months 18 days | 5 years 8 months 12 days |
Fair value inputs, Annual per loan cost of servicing during period | $ 79 | $ 80 | $ 79 | $ 73 |
Amortized cost, Pricing spread during period | 7.60% | 7.60% | 7.60% | 7.40% |
Amortized cost, Annual prepayment speed during period | 8.10% | 8.60% | 8.10% | 9.20% |
Amortized cost, Life (in years) | 8 years 4 months 24 days | 7 years 9 months 18 days | 8 years 3 months 19 days | 7 years 4 months 24 days |
Amortized cost, Annual per loan cost of servicing during period | $ 79 | $ 78 | $ 79 | $ 75 |
Fair Value - Quantitative Sum97
Fair Value - Quantitative Summary of Key Assumptions Used in Valuation of MSRs as of Dates Presented, and Effect on Estimated Fair Value from Adverse Changes in Those Inputs (Detail) - USD ($) | 9 Months Ended | 12 Months Ended | ||||
Sep. 30, 2017 | Dec. 31, 2016 | Jun. 30, 2017 | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Balance at end of period | $ 82,312,000 | $ 64,136,000 | $ 77,624,000 | $ 55,843,000 | $ 57,977,000 | $ 66,584,000 |
UPB of underlying mortgage loans, Fair Value | $ 7,525,020,000 | $ 5,763,957,000 | ||||
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 | $ 708,023,000 | $ 592,431,000 | $ 468,686,000 | |||
UPB of underlying mortgage loans, Amortized cost | $ 60,399,531,000 | $ 50,539,707,000 | ||||
Weighted-average annual servicing fee rate (in basis points), Amortized cost | 0.25% | 0.25% | ||||
Weighted-average note interest rate, Amortized cost | 3.90% | 3.80% | ||||
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 | $ (1,238,000) | $ (979,000) | ||||
Effect on value of percentage adverse change, Amortized cost | (11,401,000) | (10,018,000) | ||||
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 | (2,440,000) | (1,929,000) | ||||
Effect on value of percentage adverse change, Amortized cost | (22,466,000) | (19,738,000) | ||||
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 | (4,743,000) | (3,748,000) | ||||
Effect on value of percentage adverse change, Amortized cost | (43,641,000) | (38,330,000) | ||||
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 | (1,801,000) | (1,379,000) | ||||
Effect on value of percentage adverse change, Amortized cost | (11,706,000) | (9,436,000) | ||||
Prepayment Speed [Member] | Effect On Value Of Ten Percentage Adverse Change | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Effect on value of percentage adverse change, Fair value input | (3,529,000) | (2,704,000) | ||||
Effect on value of percentage adverse change, Amortized cost | (23,026,000) | (18,578,000) | ||||
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 | (6,782,000) | (5,202,000) | ||||
Effect on value of percentage adverse change, Amortized cost | (44,584,000) | (36,037,000) | ||||
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 | (693,000) | (555,000) | ||||
Effect on value of percentage adverse change, Amortized cost | (5,470,000) | (4,650,000) | ||||
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 | (1,385,000) | (1,110,000) | ||||
Effect on value of percentage adverse change, Amortized cost | (10,940,000) | (9,300,000) | ||||
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 | (2,770,000) | (2,220,000) | ||||
Effect on value of percentage adverse change, Amortized cost | $ (21,879,000) | $ (18,600,000) | ||||
Minimum [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Estimated fair value inputs, Pricing spread | 7.60% | 7.60% | ||||
Estimated fair value inputs, Prepayment speed | 7.40% | 6.80% | ||||
Estimated fair value inputs, Annual per-loan cost of servicing | $ 77 | $ 77 | ||||
Amortized cost, Pricing spread | 7.60% | 7.60% | ||||
Amortized cost, Prepayment speed | 7.30% | 6.70% | ||||
Amortized cost, Weighted average life (in years) | 2 years 10 months 24 days | 3 years 1 month 6 days | ||||
Amortized cost, Annual per-loan cost of servicing | $ 78 | $ 78 | ||||
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 | 3 years 2 months 12 days | ||||
Maximum [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Estimated fair value inputs, Pricing spread | 12.60% | 12.60% | ||||
Estimated fair value inputs, Prepayment speed | 20.70% | 24.20% | ||||
Estimated fair value inputs, Annual per-loan cost of servicing | $ 79 | $ 79 | ||||
Amortized cost, Pricing spread | 13.10% | 13.00% | ||||
Amortized cost, Prepayment speed | 26.80% | 25.70% | ||||
Amortized cost, Weighted average life (in years) | 8 years 1 month 7 days | 8 years 6 months | ||||
Amortized cost, Annual per-loan cost of servicing | $ 79 | $ 79 | ||||
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) | 6 years 10 months 24 days | 7 years | ||||
Weighted Average [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Estimated fair value inputs, Pricing spread | 7.60% | 7.60% | ||||
Estimated fair value inputs, Prepayment speed | 11.10% | 10.70% | ||||
Estimated fair value inputs, Annual per-loan cost of servicing | $ 79 | $ 79 | ||||
Amortized cost, Pricing spread | 7.60% | 7.60% | ||||
Amortized cost, Prepayment speed | 8.30% | 7.70% | ||||
Amortized cost, Weighted average life (in years) | 7 years 8 months 12 days | 8 years | ||||
Amortized cost, Annual per-loan cost of servicing | $ 79 | $ 79 | ||||
Weighted Average [Member] | Mortgage service rights [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Estimated fair value inputs, Weighted average life (in years) | 6 years 10 months 24 days | 7 years |
Mortgage Loans Acquired for S98
Mortgage Loans Acquired for Sale at Fair Value - Summary of Distribution of Company's Mortgage Loans Acquired for Sale at Fair Value (Detail) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | $ 1,270,340 | $ 1,673,112 |
Mortgage loans pledged to secure: Assets sold under agreements to repurchase | 1,251,916 | 1,653,748 |
Mortgage loans pledged to secure total | 1,251,916 | 1,653,748 |
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 | 1,206,859 | 1,627,010 |
Mortgage loans pledged to secure mortgage loan participation purchase and sale agreements | 45,057 | 26,738 |
Agency-Eligible [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 1,052,355 | 847,810 |
Jumbo [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 0 | 6,042 |
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 | 202,320 | 804,616 |
Commercial Real Estate [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 8,870 | 8,961 |
Repurchased Pursuant to Representations and Warranties [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | $ 6,795 | $ 5,683 |
Mortgage Loans Acquired for S99
Mortgage Loans Acquired for Sale at Fair Value - Additional Information (Detail) | 9 Months Ended |
Sep. 30, 2017 | |
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% |
Mortgage Loans at Fair Value -
Mortgage Loans at Fair Value - Summary of Distribution of Company's Mortgage Loans at Fair Value (Detail) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | $ 1,347,943 | $ 1,721,741 |
Unpaid principal balance | 1,710,504 | 2,208,183 |
Asset-backed financing of a VIE at fair value | 331,941 | 367,169 |
Mortgage loans at fair value pledged to secure | 1,341,671 | 1,712,190 |
Mortgage loans acquired for sale at fair value [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 1,270,340 | 1,673,112 |
Assets sold under agreements to repurchase | 1,009,730 | 1,345,021 |
Fixed interest rate jumbo mortgage loans held in a VIE [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 331,941 | 367,169 |
Unpaid principal balance | 325,529 | 368,524 |
Distressed mortgage loans [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 1,016,002 | 1,354,572 |
Unpaid principal balance | 1,384,975 | 1,839,659 |
Distressed mortgage loans [Member] | Nonperforming mortgage loans [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 488,128 | 742,988 |
Unpaid principal balance | 717,326 | 1,020,994 |
Distressed mortgage loans [Member] | Performing mortgage loans [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 527,874 | 611,584 |
Unpaid principal balance | 667,649 | 818,665 |
Distressed mortgage loans [Member] | Performing mortgage loans [Member] | Fixed interest rate [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 242,873 | 296,901 |
Unpaid principal balance | 315,065 | 408,943 |
Distressed mortgage loans [Member] | Performing mortgage loans [Member] | Interest rate step-up [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 238,768 | 232,700 |
Unpaid principal balance | 304,099 | 317,409 |
Distressed mortgage loans [Member] | Performing mortgage loans [Member] | Adjustable-rate/hybrid [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 46,233 | 81,983 |
Unpaid principal balance | $ 48,486 | $ 92,313 |
Mortgage Loans at Fair Value101
Mortgage Loans at Fair Value - Summary of Certain Concentrations of Credit Risk in Portfolio of Distressed Mortgage Loans at Fair Value (Detail) | Sep. 30, 2017 | Dec. 31, 2016 |
Risks And Uncertainties [Abstract] | ||
Portion of mortgage loans originated between 2005 and 2007 | 72.00% | 72.00% |
Mortgage loans with unpaid-principal balance-to-current -property-value in excess of 100% | 40.00% | 41.00% |
Mortgage Loans at Fair Value102
Mortgage Loans at Fair Value - Summary of Certain Concentrations of Credit Risk in Portfolio of Distressed Mortgage Loans at Fair Value (Parenthetical) (Detail) | Sep. 30, 2017 | Dec. 31, 2016 |
Risks And Uncertainties [Abstract] | ||
Percentage of mortgage loans | 100.00% | 100.00% |
Percentage of contribution by states in mortgage loans | 5.00% | 5.00% |
Derivative Activities - Derivat
Derivative Activities - Derivative Assets and Liabilities Recorded within Derivative Assets and Derivative Liabilities and Related Margin Deposits Recorded in Other Assets (Detail) - USD ($) | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 |
Derivatives, Fair Value [Line Items] | ||||||
Total derivative assets instruments before netting | $ 72,079,000 | $ 71,093,000 | ||||
Derivative assets, Netting | (4,791,000) | (37,384,000) | ||||
Total derivative assets after netting | 67,288,000 | 33,709,000 | ||||
Margin deposits placed with (received from) derivatives counterparties included in Other assets (Accounts payable and accrued liabilities) | (1,395,000) | (18,071,000) | ||||
Derivative assets pledged to secure assets sold under agreements to repurchase | 15,742,000 | 9,078,000 | ||||
Total derivative liabilities | 8,295,000 | 28,885,000 | ||||
Derivative liabilities, Netting | (3,395,000) | (19,312,000) | ||||
Total derivative liabilities after netting | 4,900,000 | 9,573,000 | ||||
Repurchase Agreement Derivatives [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Notional amount | 0 | 0 | ||||
Total derivative assets instruments before netting | 181,000 | 0 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 181,000 | 0 | ||||
Total derivative liabilities | 0 | 0 | ||||
CRT Agreements [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Notional amount | 22,931,988,000 | $ 19,301,982,000 | 14,379,850,000 | $ 12,196,636,000 | $ 8,976,961,000 | $ 4,546,265,000 |
Total derivative assets instruments before netting | 56,878,000 | 15,610,000 | ||||
Total derivative assets after netting | 56,878,000 | 15,610,000 | ||||
Total derivative liabilities | 0 | 0 | ||||
Interest Rate Lock Commitments [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Notional amount | 1,259,592,000 | 1,420,468,000 | ||||
Total derivative assets instruments before netting | 2,789,000 | 7,069,000 | ||||
Total derivative assets after netting | 2,789,000 | 7,069,000 | ||||
Total derivative liabilities | 1,514,000 | 3,292,000 | ||||
Forward Purchase Contracts [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Notional amount | 1,598,412,000 | 1,933,390,000 | 4,840,707,000 | 5,632,182,000 | 4,190,349,000 | 2,469,550,000 |
Total derivative assets instruments before netting | 0 | 30,879,000 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 0 | 30,879,000 | ||||
Total derivative liabilities | 6,616,000 | 7,619,000 | ||||
Forward Sale Contracts [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Notional amount | 2,808,847,000 | 3,644,636,000 | 6,148,242,000 | 6,451,444,000 | 4,347,526,000 | 2,450,642,000 |
Total derivative assets instruments before netting | 8,861,000 | 13,164,000 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 8,861,000 | 13,164,000 | ||||
Total derivative liabilities | 165,000 | 17,974,000 | ||||
MBS Put Options [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Notional amount | 1,125,000,000 | 1,475,000,000 | 925,000,000 | |||
Total derivative assets instruments before netting | 1,503,000 | 1,697,000 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 1,503,000 | 1,697,000 | ||||
Total derivative liabilities | 0 | 0 | ||||
MBS Call Options [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Notional amount | 75,000,000 | 200,000,000 | 750,000,000 | 3,025,000,000 | 1,525,000,000 | 375,000,000 |
Total derivative assets instruments before netting | 171,000 | 142,000 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 171,000 | 142,000 | ||||
Total derivative liabilities | 0 | 0 | ||||
Call Options on Interest Rate Futures [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Notional amount | 250,000,000 | 200,000,000 | 200,000,000 | 825,000,000 | 525,000,000 | 50,000,000 |
Total derivative assets instruments before netting | 438,000 | 63,000 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 438,000 | 63,000 | ||||
Total derivative liabilities | 0 | 0 | ||||
Put Options on Interest Rate Futures [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Notional amount | 475,000,000 | 925,000,000 | 550,000,000 | 1,200,000,000 | 425,000,000 | 1,600,000,000 |
Total derivative assets instruments before netting | 1,258,000 | 2,469,000 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 1,258,000 | 2,469,000 | ||||
Total derivative liabilities | 0 | 0 | ||||
Swap Futures [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Notional amount | 275,000,000 | 175,000,000 | 150,000,000 | 12,500,000 | 12,500,000 | 0 |
Total derivative assets instruments before netting | 0 | 0 | ||||
Total derivative liabilities | 0 | 0 | ||||
Eurodollar Future Contracts [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Notional amount | 1,038,000,000 | $ 1,139,000,000 | 1,351,000,000 | $ 1,442,000,000 | $ 1,543,000,000 | $ 1,755,000,000 |
Total derivative assets instruments before netting | 0 | 0 | ||||
Total derivative liabilities | $ 0 | $ 0 |
Derivative Activities - Summary
Derivative Activities - Summary of Activity in Notional Amount for Derivative Contracts and Derivatives Arising from CRT Agreements (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
CRT Agreements [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | $ 19,301,982,000 | $ 8,976,961,000 | $ 14,379,850,000 | $ 4,546,265,000 |
Additions | 4,126,946,000 | 3,357,443,000 | 9,722,067,000 | 8,442,187,000 |
Dispositions/expirations | (496,940,000) | (137,768,000) | (1,169,929,000) | (791,816,000) |
Balance, end of period | 22,931,988,000 | 12,196,636,000 | 22,931,988,000 | 12,196,636,000 |
Forward Purchase Contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 1,933,390,000 | 4,190,349,000 | 4,840,707,000 | 2,469,550,000 |
Additions | 20,560,886,000 | 22,535,622,000 | 54,953,063,000 | 47,965,764,000 |
Dispositions/expirations | (20,895,864,000) | (21,093,789,000) | (58,195,358,000) | (44,803,132,000) |
Balance, end of period | 1,598,412,000 | 5,632,182,000 | 1,598,412,000 | 5,632,182,000 |
Forward Sales Contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 3,644,636,000 | 4,347,526,000 | 6,148,242,000 | 2,450,642,000 |
Additions | 27,214,513,000 | 29,853,649,000 | 73,030,446,000 | 65,146,064,000 |
Dispositions/expirations | (28,050,302,000) | (27,749,731,000) | (76,369,842,000) | (61,145,262,000) |
Balance, end of period | 2,808,847,000 | 6,451,444,000 | 2,808,847,000 | 6,451,444,000 |
MBS Put Options [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 1,475,000,000 | 925,000,000 | ||
Additions | 3,200,000,000 | 5,125,000,000 | ||
Dispositions/expirations | (3,550,000,000) | (4,925,000,000) | ||
Balance, end of period | 1,125,000,000 | 1,125,000,000 | ||
MBS Call Options [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 200,000,000 | 1,525,000,000 | 750,000,000 | 375,000,000 |
Additions | 275,000,000 | 3,875,000,000 | 475,000,000 | 6,600,000,000 |
Dispositions/expirations | (400,000,000) | (2,375,000,000) | (1,150,000,000) | (3,950,000,000) |
Balance, end of period | 75,000,000 | 3,025,000,000 | 75,000,000 | 3,025,000,000 |
Call Options on Interest Rate Futures [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 200,000,000 | 525,000,000 | 200,000,000 | 50,000,000 |
Additions | 450,000,000 | 1,825,000,000 | 575,000,000 | 3,400,000,000 |
Dispositions/expirations | (400,000,000) | (1,525,000,000) | (525,000,000) | (2,625,000,000) |
Balance, end of period | 250,000,000 | 825,000,000 | 250,000,000 | 825,000,000 |
Put Options on Interest Rate Futures [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 925,000,000 | 425,000,000 | 550,000,000 | 1,600,000,000 |
Additions | 2,500,000,000 | 1,625,000,000 | 5,875,000,000 | 4,225,000,000 |
Dispositions/expirations | (2,950,000,000) | (850,000,000) | (5,950,000,000) | (4,625,000,000) |
Balance, end of period | 475,000,000 | 1,200,000,000 | 475,000,000 | 1,200,000,000 |
Swap Futures [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 175,000,000 | 12,500,000 | 150,000,000 | 0 |
Additions | 100,000,000 | 12,500,000 | 950,000,000 | 37,500,000 |
Dispositions/expirations | 0 | (12,500,000) | (825,000,000) | (25,000,000) |
Balance, end of period | 275,000,000 | 12,500,000 | 275,000,000 | 12,500,000 |
Eurodollar Future Contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 1,139,000,000 | 1,543,000,000 | 1,351,000,000 | 1,755,000,000 |
Additions | 202,000,000 | 101,000,000 | 303,000,000 | 181,000,000 |
Dispositions/expirations | (303,000,000) | (202,000,000) | (616,000,000) | (494,000,000) |
Balance, end of period | 1,038,000,000 | 1,442,000,000 | 1,038,000,000 | 1,442,000,000 |
Treasury Future Buy Contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 0 | 0 | 0 | 0 |
Additions | 55,000,000 | 276,200,000 | 110,700,000 | 276,200,000 |
Dispositions/expirations | (55,000,000) | (126,200,000) | (110,700,000) | (126,200,000) |
Balance, end of period | 0 | 150,000,000 | 0 | 150,000,000 |
Treasury Future Sale Contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Balance, beginning of period | 0 | 0 | 0 | 0 |
Additions | 55,000,000 | 126,200,000 | 110,700,000 | 126,200,000 |
Dispositions/expirations | (55,000,000) | (126,200,000) | (110,700,000) | (126,200,000) |
Balance, end of period | $ 0 | $ 0 | $ 0 | $ 0 |
Derivative Activities - Summ105
Derivative Activities - Summary of Net Derivative Assets (Detail) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | $ 72,079 | $ 71,093 |
Gross amounts offset in the consolidated balance sheet | (4,791) | (37,384) |
Total derivative assets after netting | 67,288 | 33,709 |
Net amounts of assets presented in the consolidated balance sheet | (4,791) | (37,384) |
Repurchase Agreement Derivatives [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 181 | 0 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Total derivative assets after netting | 181 | 0 |
CRT Agreements [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 56,878 | 15,610 |
Total derivative assets after netting | 56,878 | 15,610 |
Interest Rate Lock Commitments [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 2,789 | 7,069 |
Total derivative assets after netting | 2,789 | 7,069 |
Forward Purchase Contracts [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 0 | 30,879 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Total derivative assets after netting | 0 | 30,879 |
Forward Sales Contracts [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 8,861 | 13,164 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Total derivative assets after netting | 8,861 | 13,164 |
Derivatives Not Subject To Master Netting Adjustment [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 59,848 | 22,679 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Total derivative assets after netting | 59,848 | 22,679 |
Derivatives Not Subject To Master Netting Adjustment [Member] | CRT Agreements [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 56,878 | 15,610 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Total derivative assets after netting | 56,878 | 15,610 |
Derivatives Not Subject To Master Netting Adjustment [Member] | Interest Rate Lock Commitments [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 2,789 | 7,069 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Total derivative assets after netting | 2,789 | 7,069 |
MBS Put Options [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 1,503 | 1,697 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Total derivative assets after netting | 1,503 | 1,697 |
MBS Call Options [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 171 | 142 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Total derivative assets after netting | 171 | 142 |
Put Options on Interest Rate Futures [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 1,258 | 2,469 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Total derivative assets after netting | 1,258 | 2,469 |
Call Options on Interest Rate Futures [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 438 | 63 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Total derivative assets after netting | 438 | 63 |
Netting [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 0 | 0 |
Gross amounts offset in the consolidated balance sheet | (4,791) | (37,384) |
Derivatives Subject to Master Netting Arrangements [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 12,231 | 48,414 |
Gross amounts offset in the consolidated balance sheet | (4,791) | (37,384) |
Total derivative assets after netting | $ 7,440 | $ 11,030 |
Derivative Activities - Summ106
Derivative Activities - Summary of Derivative Assets, Financial Instruments and Collateral Held by Counterparty (Detail) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | $ 67,288 | $ 33,709 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 67,288 | 33,709 |
Federal Home Loan Mortgage Corporation [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 464 | 7 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 464 | 7 |
Repurchase Agreement Derivatives [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 181 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 181 | 0 |
CRT Agreements [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 56,878 | 15,610 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 56,878 | 15,610 |
Interest Rate Lock Commitments [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 2,789 | 7,069 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 2,789 | 7,069 |
RJ O'Brien & Associates, LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 1,695 | 1,531 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 1,695 | 1,531 |
JPMorgan Chase & Co. [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 911 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 911 | 0 |
Bank of Oklahoma [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 0 | 629 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 0 | 629 |
Royal Bank of Canada [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 0 | 1,194 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 0 | 1,194 |
Bank of America, N.A. [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 1,819 | 1,881 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 1,819 | 1,881 |
Goldman Sachs [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 511 | 1,164 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 511 | 1,164 |
RBS Securities Inc [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 655 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 655 | 0 |
Jefferies Group, Inc [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 70 | 967 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 70 | 967 |
Citibank [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 565 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 565 | 0 |
Barclays Capital [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 394 | 855 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 394 | 855 |
Morgan Stanley Bank, N.A. [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 296 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 296 | 0 |
Other [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 60 | 2,802 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | $ 60 | $ 2,802 |
Derivative Activities - Schedul
Derivative Activities - Schedule of Offsetting of Derivative Liabilities and Financial Liabilities (Detail) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | $ 3,211,681 | $ 3,812,886 |
Gross amounts offset in the consolidated balance sheet | (3,395) | (19,312) |
Net amounts of liabilities presented in the consolidated balance sheet | 3,208,286 | 3,793,574 |
Unpaid Principal Balance [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 3,204,054 | 3,784,685 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 3,204,054 | 3,784,685 |
Interest Rate Lock Commitments [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 1,514 | 3,292 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 1,514 | 3,292 |
Forward Purchase Contracts [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 6,616 | 7,619 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 6,616 | 7,619 |
Forward Sales Contracts [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 165 | 17,974 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 165 | 17,974 |
Derivatives Not Subject To Master Netting Adjustment [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 1,514 | 3,292 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 1,514 | 3,292 |
Netting [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 0 | 0 |
Gross amounts offset in the consolidated balance sheet | (3,395) | (19,312) |
Derivatives Subject to Master Netting Arrangements [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 6,781 | 25,593 |
Gross amounts offset in the consolidated balance sheet | (3,395) | (19,312) |
Net amounts of liabilities presented in the consolidated balance sheet | 3,386 | 6,281 |
Derivative Liabilities Before Netting [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 8,295 | 28,885 |
Gross amounts offset in the consolidated balance sheet | (3,395) | (19,312) |
Net amounts of liabilities presented in the consolidated balance sheet | 4,900 | 9,573 |
Unamortized Debt Issuance Costs [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | (668) | (684) |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | (668) | (684) |
Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 3,203,386 | 3,784,001 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | $ 3,203,386 | $ 3,784,001 |
Derivative Activities - Summ108
Derivative Activities - Summary of Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty (Detail) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | $ 3,208,286 | $ 3,793,574 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (3,203,386) | (3,784,001) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 4,900 | 9,573 |
Interest Rate Lock Commitments [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 1,514 | 3,292 |
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 | 1,514 | 3,292 |
Bank of America, N.A. [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 938,104 | 847,683 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (938,104) | (847,683) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Credit Suisse First Boston Mortgage Capital LLC [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 857,882 | 1,181,441 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (857,882) | (1,181,235) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 206 |
JPMorgan Chase & Co. [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 445,746 | 544,009 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (445,746) | (542,542) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 1,467 |
Citibank [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 280,127 | 575,092 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (279,905) | (573,589) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 222 | 1,503 |
Morgan Stanley Bank, N.A. [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 168,184 | 143,951 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (168,184) | (142,055) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 1,896 |
Daiwa Capital Markets [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 157,827 | 177,316 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (157,827) | (177,077) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 239 |
Deutsche Bank [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 114,852 | 0 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (114,852) | 0 |
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 | 94,424 | 63,926 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (93,494) | (63,926) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 930 | 0 |
Wells Fargo, N.A. [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 51,780 | 116,648 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (51,377) | (116,648) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 403 | 0 |
Barclays Capital [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 50,353 | 92,796 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (50,353) | (92,796) |
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 | 46,330 | 47,785 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (46,330) | (47,134) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 651 |
Federal National Mortgage Association [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 1,353 | 312 |
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 | 1,353 | 312 |
Other [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 478 | 7 |
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 | 478 | 7 |
Unamortized Debt Issuance Costs [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | (668) | (684) |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 668 | 684 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | $ 0 | $ 0 |
Derivative Activities - Net Gai
Derivative Activities - Net Gains (Losses) Recognized on Derivative Financial Instruments (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
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 | $ 24,694 | $ 53,819 | $ 70,131 | $ 129,761 |
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 | (5,910) | (945) | (14,943) | (245) |
CRT Agreements [Member] | Net gain on investments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) on derivative financial instruments used as economic hedges | 14,960 | 18,477 | 68,863 | 22,098 |
Interest rate lock commitments and mortgage loans acquired for sale at fair value [Member] | Gain Loss on mortgage loans acquired for sale [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) on derivative financial instruments used as economic hedges | (16,943) | (16,791) | (32,308) | (76,672) |
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 | $ 4,576 | $ 5,612 | $ (1,731) | $ 63,006 |
Real Estate Acquired in Sett110
Real Estate Acquired in Settlement of Loans - Summary of Financial Information Relating to REO (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Real Estate [Abstract] | |||||
Balance at beginning of period | $ 207,034 | $ 299,458 | $ 274,069 | $ 341,846 | |
Transfers from mortgage loans at fair value and advances | 22,951 | 42,300 | 76,981 | 156,352 | |
Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment | (2,555) | (5,282) | (14,300) | (17,548) | |
Results of REO: | |||||
Valuation adjustments, net | (6,423) | (7,888) | (21,749) | (25,816) | |
Gain on sale, net | 3,280 | 4,603 | 10,895 | 13,930 | |
Total gain (loss), net | (3,143) | (3,285) | (10,854) | (11,886) | |
Proceeds from sales | (39,253) | (44,843) | (140,862) | (180,416) | |
Balance at end of period | 185,034 | $ 288,348 | 185,034 | $ 288,348 | |
REO pledged to secure assets sold under agreements to repurchase | 84,796 | 84,796 | $ 167,430 | ||
REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties | 50,965 | 50,965 | 48,283 | ||
Real estate pledged to creditors | $ 135,761 | $ 135,761 | $ 215,713 |
Mortgage Servicing Rights - Sum
Mortgage Servicing Rights - Summary of MSRs Carried at Lower of Amortized Cost or Fair Value (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Servicing Asset at Amortized Cost, Balance [Roll Forward] | |||||
Balance at beginning of year | $ 673,433 | $ 465,301 | $ 606,103 | $ 404,101 | |
MSRs resulting from mortgage loan sales | 74,183 | 76,567 | 178,894 | 167,691 | |
Amortization | (21,634) | (17,902) | (59,015) | (47,720) | |
Sales | 0 | 0 | 0 | (106) | |
Balance at end of year | 725,982 | 523,966 | 725,982 | 523,966 | |
Balance at beginning of year | (16,257) | (51,820) | (13,672) | (10,944) | |
Additions to impairment valuation allowance | (1,702) | (3,460) | (4,287) | (44,336) | |
Balance at end of period | (17,959) | (55,280) | (17,959) | (55,280) | |
MSRs, net | 708,023 | 468,686 | 708,023 | 468,686 | $ 592,431 |
Fair value at beginning of year | 682,437 | 417,094 | 626,334 | 424,154 | |
Fair value at end of period | 728,828 | $ 472,790 | 728,828 | $ 472,790 | |
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 | $ 696,991 | $ 696,991 | $ 592,431 |
Mortgage Servicing Rights - 112
Mortgage Servicing Rights - Summary of Company's Estimate of Future Amortization of Existing MSRs Carried at Amortized Cost (Detail) $ in Thousands | Sep. 30, 2017USD ($) |
Servicing Asset Future Amortization Expense Abstract [Abstract] | |
2,018 | $ 85,876 |
2,019 | 78,404 |
2,020 | 71,153 |
2,021 | 64,092 |
2,022 | 57,647 |
Thereafter | 368,810 |
Total | $ 725,982 |
Mortgage Servicing Rights - 113
Mortgage Servicing Rights - Summary of MSRs Carried at Fair Value (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | ||
Servicing Asset At Fair Value Changes In Fair Value [Abstract] | ||||||
Balance at beginning of year | $ 77,624 | $ 57,977 | $ 64,136 | $ 66,584 | ||
Purchases | 10 | 0 | 79 | 2,602 | ||
MSRs resulting from mortgage loan sales | 8,655 | 1,068 | 28,467 | 6,215 | ||
Due to changes in valuation inputs used in valuation model | [1] | (2,628) | (883) | (6,956) | (12,343) | |
Other changes in fair value | [2] | (1,349) | (2,319) | (3,414) | (7,215) | |
Change in fair value, Total | (3,977) | (3,202) | (10,370) | (19,558) | ||
Balance at year end | 82,312 | $ 55,843 | 82,312 | $ 55,843 | ||
MSRs carried at fair value pledged to secure notes payable | $ 81,279 | $ 81,279 | $ 64,136 | |||
[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. |
Mortgage Servicing Rights - 114
Mortgage Servicing Rights - Summary of Net Mortgage Loan Servicing Fees Relating to MSRs (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Transfers And Servicing [Abstract] | ||||
Contractually-specified servicing fees | $ 42,237 | $ 32,724 | $ 119,223 | $ 90,494 |
Late charges | 173 | 148 | 536 | 421 |
Other | 1,870 | 1,432 | 4,110 | 3,839 |
Net mortgage loan servicing fees | $ 44,280 | $ 34,304 | $ 123,869 | $ 94,754 |
Assets Sold Under Agreements115
Assets Sold Under Agreements to Repurchase - Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Weighted-average interest rate | 2.72% | 2.26% | 2.57% | 2.19% | |
Average balance | $ 3,474,903,000 | $ 3,538,720,000 | $ 3,388,626,000 | $ 3,202,829,000 | |
Total interest expense | 26,157,000 | 23,751,000 | 72,280,000 | 66,217,000 | |
Maximum daily amount outstanding | 3,973,869,000 | $ 4,824,044,000 | 4,083,326,000 | $ 5,221,997,000 | |
Unpaid principal balance | 3,204,054,000 | 3,204,054,000 | $ 3,784,685,000 | ||
Assets sold under agreements to repurchase, At year end | 3,203,386,000 | $ 3,203,386,000 | $ 3,784,001,000 | ||
Weighted-average interest rate | 2.63% | 2.70% | |||
Available borrowing capacity, Committed | $ 457,144,000 | $ 518,932,000 | |||
Available borrowing capacity, Uncommitted | 2,233,034,000 | 1,092,253,000 | |||
Available borrowing capacity | 2,690,178,000 | 1,611,185,000 | |||
Margin deposits placed with counterparties included in Other assets | 15,037,000 | 15,037,000 | 29,634,000 | ||
Real Estate Held for Investment [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Fair value of assets securing agreements to repurchase | 29,664,000 | 29,664,000 | 0 | ||
Assets Sold Under Agreements to Repurchase [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Unamortized debt issuance costs and premiums | (668,000) | (668,000) | (684,000) | ||
Mortgage-backed securities at fair value [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Fair value of assets securing agreements to repurchase | 1,036,669,000 | 1,036,669,000 | 863,802,000 | ||
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 | 1,206,859,000 | 1,206,859,000 | 1,627,010,000 | ||
Mortgage loans at fair value [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Fair value of assets securing agreements to repurchase | 1,009,730,000 | 1,009,730,000 | 1,345,021,000 | ||
Real estate acquired in settlement of loans [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Fair value of assets securing agreements to repurchase | 135,761,000 | 135,761,000 | 215,713,000 | ||
Deposits securing CRT Agreements [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Fair value of assets securing agreements to repurchase | 408,100,000 | 408,100,000 | 414,610,000 | ||
Derivative assets related to CRT Agreements [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Fair value of assets securing agreements to repurchase | $ 15,742,000 | $ 15,742,000 | $ 9,078,000 |
Assets Sold Under Agreements116
Assets Sold Under Agreements to Repurchase - Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase (Parenthetical) (Detail) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Assets Sold Under Agreements to Repurchase [Member] | ||||
Assets Sold under Agreements to Repurchase [Line Items] | ||||
Amortization of debt issuance costs | $ 1.9 | $ 2.2 | $ 6.1 | $ 6.5 |
Assets Sold Under Agreements117
Assets Sold Under Agreements to Repurchase - Summary of Maturities of Outstanding Assets Sold under Agreements to Repurchase by Facility Maturity Date (Detail) $ in Thousands | 9 Months Ended |
Sep. 30, 2017USD ($) | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 3,204,054 |
Weighted average maturity (in months) | 3 years 10 months 24 days |
Within 30 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 1,473,873 |
Over 30 to 90 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 50,353 |
Over 90 days to 180 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 470,753 |
Over 180 days to 1 year [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 1,209,075 |
Over one year to two years [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 0 |
Assets Sold Under Agreements118
Assets Sold Under Agreements to Repurchase - Summary of Assets Sold under Agreements to Repurchase by Counterparty (Detail) $ in Thousands | 9 Months Ended |
Sep. 30, 2017USD ($) | |
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 | $ 253,993 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Oct. 29, 2017 |
Facility maturity | Mar. 2, 2018 |
Credit Suisse First Boston Mortgage Capital LLC [Member] | CRT Agreements [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 55,008 |
Weighted average maturity | Oct. 11, 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 | $ 93,099 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Dec. 17, 2017 |
Facility maturity | Apr. 27, 2018 |
JPMorgan Chase & Co. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 4,092 |
Weighted average maturity | Oct. 16, 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 | $ 11,729 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Oct. 13, 2017 |
Facility maturity | Oct. 13, 2017 |
Bank of America, N.A. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 19,037 |
Weighted average maturity | Oct. 18, 2017 |
Bank of America, N.A. [Member] | CRT Agreements [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 35,283 |
Weighted average maturity | Oct. 13, 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 | $ 21,671 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Dec. 20, 2017 |
Facility maturity | May 25, 2018 |
JPMorgan Chase & Co., Maturity in 2018 [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 | $ 83,685 |
Facility maturity | Mar. 14, 2018 |
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 | $ 10,051 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Dec. 16, 2017 |
Facility maturity | Aug. 24, 2018 |
Barclays Bank PLC [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 | $ 3,691 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Dec. 1, 2017 |
Facility maturity | Dec. 1, 2017 |
Deutsche Bank [Member] | Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 7,272 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Dec. 25, 2017 |
Facility maturity | Mar. 30, 2018 |
Daiwa Capital Markets America Inc. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 7,006 |
Weighted average maturity | Oct. 19, 2017 |
Royal Bank of Canada [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 4,061 |
Weighted average maturity | Oct. 16, 2017 |
Wells Fargo, N.A. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 2,381 |
Weighted average maturity | Oct. 12, 2017 |
BNP Paribas Corporate & Institutional Banking [Member] | CRT Agreements [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 19,150 |
Weighted average maturity | Oct. 6, 2017 |
Mortgage Loan Participation 119
Mortgage Loan Participation Purchase and Sale Agreements - Summary of Mortgage Loan Participation Purchase and Sale Agreements (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
At period end: | |||||
Mortgage loan participation purchase and sale agreements, At year end | $ 43,988,000 | $ 43,988,000 | $ 25,917,000 | ||
Mortgage Loan Participation Purchase and Sale Agreement [Member] | |||||
Mortgage Loan Participation Purchase And Sale Agreement [Line Items] | |||||
Weighted-average interest rate | 2.48% | 1.76% | 2.28% | 1.71% | |
Average balance | $ 59,701,000 | $ 73,537,000 | $ 65,290,000 | $ 70,955,000 | |
Total interest expense | 409,000 | 361,000 | 1,225,000 | 1,023,000 | |
Maximum daily amount outstanding | 99,441,000 | $ 99,469,000 | 99,441,000 | $ 99,469,000 | |
At period end: | |||||
Amount outstanding | 44,082,000 | 44,082,000 | 25,917,000 | ||
Unamortized debt issuance costs | (94,000) | (94,000) | 0 | ||
Mortgage loan participation purchase and sale agreements, At year end | 43,988,000 | $ 43,988,000 | $ 25,917,000 | ||
Weighted-average interest rate | 2.48% | 2.02% | |||
Mortgage loans acquired for sale pledged to secure mortgage loan participation purchase and sale agreements | $ 45,057,000 | $ 45,057,000 | $ 26,738,000 |
Mortgage Loan Participation 120
Mortgage Loan Participation Purchase and Sale Agreements - Summary of Mortgage Loan Participation Purchase and Sale Agreements (Parenthetical) (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Mortgage Loan Participation Purchase and Sale Agreement [Member] | ||||
Mortgage Loan Participation Purchase And Sale Agreement [Line Items] | ||||
Amortization of debt issuance costs | $ 31,000 | $ 31,000 | $ 94,000 | $ 99,000 |
Federal Home Loan Bank Advan121
Federal Home Loan Bank Advances - Additional Information (Detail) - Federal Home Loan Bank Advances [Member] | 9 Months Ended |
Sep. 30, 2017USD ($) | |
Short-term Debt [Line Items] | |
Membership termination description | For captive insurance companies that became members since the rule was proposed in 2014, including Copper Insurance, LLC, membership must be terminated within one year, and no additional advances may be made |
Membership termination window | 1 year |
Additional advances in membership | $ 0 |
Federal Home Loan Bank Advan122
Federal Home Loan Bank Advances - Summary of FHLB Advances (Detail) | 9 Months Ended |
Sep. 30, 2016USD ($) | |
Federal Home Loan Banks [Abstract] | |
Weighted-average interest rate | 0.49% |
Average balance | $ 32,560,000 |
Total interest expense | 122,000 |
Maximum daily amount outstanding | $ 201,130,000 |
Notes Payable - Additional Info
Notes Payable - Additional Information (Detail) - USD ($) | 9 Months Ended | |
Sep. 30, 2017 | Mar. 24, 2017 | |
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. 2, 2018 | |
Maximum [Member] | Loan and Security Agreement with Barclays Bank PLC [Member] | ||
Short-term Debt [Line Items] | ||
Aggregate loan amount | $ 170,000,000 | |
Maximum [Member] | Amended and Restated Loan and Security Agreement with Citibank, N.A. [Member] | ||
Short-term Debt [Line Items] | ||
Aggregate loan amount | $ 400,000,000 |
Notes Payable - Summary of Fina
Notes Payable - Summary of Financial Information Relating to Note Payable (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Debt Instrument [Line Items] | |||||
Weighted-average interest rate | 6.30% | 4.76% | 5.57% | 4.68% | |
Average balance | $ 79,345,000 | $ 170,907,000 | $ 152,395,000 | $ 190,878,000 | |
Total interest expense | 2,320,000 | 2,883,000 | 9,719,000 | 9,217,000 | |
Carrying value: | |||||
Amount outstanding | 80,106,000 | 80,106,000 | $ 275,106,000 | ||
Balance | 80,106,000 | $ 80,106,000 | $ 275,106,000 | ||
Weighted-average interest rate | 5.57% | 4.73% | |||
MSRs pledged to secure notes payable | 778,270,000 | $ 778,270,000 | $ 656,567,000 | ||
Notes payable [Member] | |||||
Debt Instrument [Line Items] | |||||
Maximum daily amount outstanding | 160,106,000 | $ 196,317,000 | 275,106,000 | $ 234,476,000 | |
Carrying value: | |||||
Unamortized debt issuance costs | $ 0 | $ 0 | $ 0 |
Notes Payable - Summary of F125
Notes Payable - Summary of Financial Information Relating to Note Payable (Parenthetical) (Detail) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Notes payable [Member] | ||||
Debt Instrument [Line Items] | ||||
Amortization of debt issuance costs | $ 1 | $ 0.8 | $ 3.3 | $ 2.4 |
Asset-Backed Financing of a 126
Asset-Backed Financing of a Variable Interest Entity at Fair Value - Summary of Financial Information Relating to Asset-Backed Financing of a VIE (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Carrying value | $ 318,404 | $ 318,404 | $ 353,898 | ||
Variable Interest Entities [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Carrying value | 318,404 | 318,404 | 353,898 | ||
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 | 325,763 | $ 330,622 | 337,073 | $ 326,962 | |
Interest expense | $ 3,515 | $ 5,253 | $ 10,520 | $ 10,212 | |
Weighted-average effective interest rate | 3.34% | 3.23% | 3.41% | 3.31% | |
Carrying value | $ 318,404 | $ 318,404 | 353,898 | ||
UPB | $ 325,529 | $ 325,529 | $ 355,494 | ||
Weighted-average interest rate | 3.51% | 3.50% |
Exchangeable Senior Notes - Add
Exchangeable Senior Notes - Additional Information (Detail) - Exchangeable Senior Notes due May 1, 2020 [Member] | Apr. 30, 2013USD ($) | Sep. 30, 2017USD ($)$ / shares |
Debt Instrument [Line Items] | ||
Issuance of debt through private offering | $ 250,000,000 | |
Percentage of interest on debt | 5.375% | |
Number of shares exchanged per exchangeable notes | 33.8667 | |
Principal amount of the exchangeable notes | $ 1,000 | |
Increased in cash dividend | $ / shares | $ 0.57 | |
Maturity date of debt instrument | May 1, 2020 | |
Initial Exchangeable Rate [Member] | ||
Debt Instrument [Line Items] | ||
Number of shares exchanged per exchangeable notes | 33.5149 |
Exchangeable Senior Notes - Sum
Exchangeable Senior Notes - Summary of Financial Information Relating to Exchangeable Senior Notes (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Debt Instrument [Line Items] | |||||
Weighted-average UPB | $ 250,000 | $ 250,000 | $ 250,000 | $ 250,000 | |
Carrying value: | |||||
UPB | 250,000 | 250,000 | $ 250,000 | ||
Exchangeable senior notes | 246,906 | 246,906 | 246,089 | ||
Convertible Debt [Member] | |||||
Debt Instrument [Line Items] | |||||
Interest expense | 3,636 | $ 3,620 | 10,895 | $ 10,848 | |
Carrying value: | |||||
Unamortized debt issuance costs | $ (3,094) | $ (3,094) | $ (3,911) |
Liability for Losses under R129
Liability for Losses under Representations and Warranties - Summary of Company's Liability for Losses under Representations and Warranties (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Mortgage Banking [Abstract] | ||||
Balance, beginning of period | $ 10,697 | $ 19,258 | $ 15,350 | $ 20,171 |
Provision for losses: | ||||
Pursuant to mortgage loan sales | 1,075 | 781 | 2,355 | 2,002 |
Reduction in liability due to change in estimate | (1,642) | (5,098) | (7,523) | (6,822) |
Losses incurred | (83) | (14) | (135) | (424) |
Balance, end of period | 10,047 | 14,927 | 10,047 | 14,927 |
UPB of mortgage loans subject to representations and warranties at end of period | $ 67,196,537 | $ 50,167,783 | $ 67,196,537 | $ 50,167,783 |
Commitments and Contingencies -
Commitments and Contingencies - Company's Outstanding Contractual Commitments (Detail) $ in Thousands | Sep. 30, 2017USD ($) |
Commitments to purchase mortgage loans: | |
Commitments to purchase mortgage loans acquired for sale | $ 1,259,592 |
Commitments to fund Deposits securing CRT agreements | $ 356,274 |
Shareholders' Equity - Summary
Shareholders' Equity - Summary of Preferred Shares of Benefical Interest (Detail) - USD ($) | Sep. 30, 2017 | Jul. 31, 2017 | Dec. 31, 2016 |
Class Of Stock [Line Items] | |||
Number of shares | 12,400,000 | 0 | |
Liquidation preference | $ 310,000,000 | $ 310,000,000 | |
Issuance discount | 10,293,000 | ||
Carrying value | $ 299,707,000 | $ 0 | |
8.125% Series A Preferred Stock [Member] | |||
Class Of Stock [Line Items] | |||
Number of shares | 4,600,000 | ||
Liquidation preference | $ 115,000,000 | ||
Issuance discount | 3,828,000 | ||
Carrying value | $ 111,172,000 | ||
8.00% Series B Preferred Stock [Member] | |||
Class Of Stock [Line Items] | |||
Number of shares | 7,800,000 | 7,800,000 | |
Liquidation preference | $ 195,000,000 | ||
Issuance discount | 6,465,000 | ||
Carrying value | $ 188,535,000 |
Shareholders' Equity - Summa132
Shareholders' Equity - Summary of Preferred Shares of Benefical Interest (Parenthetical) (Detail) - $ / shares | Jul. 05, 2017 | Mar. 31, 2017 | Sep. 30, 2017 | Jul. 31, 2017 | Dec. 31, 2016 |
Class Of Stock [Line Items] | |||||
Preferred stock, par value | $ 0.01 | $ 0 | |||
8.125% Series A Preferred Stock [Member] | |||||
Class Of Stock [Line Items] | |||||
Cumulative dividend, beneficial interest rate | 8.125% | 8.125% | |||
Sale of Stock, Transaction Date | Mar. 31, 2017 | ||||
Preferred stock, par value | $ 0.01 | $ 0.01 | |||
8.00% Series B Preferred Stock [Member] | |||||
Class Of Stock [Line Items] | |||||
Cumulative dividend, beneficial interest rate | 8.00% | 8.00% | |||
Sale of Stock, Transaction Date | Jul. 31, 2017 | ||||
Preferred stock, par value | $ 0.01 | $ 0.01 |
Shareholders' Equity - Addition
Shareholders' Equity - Additional Information (Detail) - USD ($) | Jul. 05, 2017 | Jul. 31, 2017 | Mar. 31, 2017 | Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | Feb. 29, 2016 | Aug. 31, 2015 |
Schedule of Capitalization, Equity [Line Items] | ||||||||||
Preferred stock, shares issued | 12,400,000 | 12,400,000 | 0 | |||||||
Preferred stock, par value | $ 0.01 | $ 0.01 | $ 0 | |||||||
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 | $ 61,000 | $ 0 | 61,000 | $ 0 | ||||||
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 | |||||||||
Reimbursement agreement expiry date | Feb. 1, 2019 | |||||||||
Management [Member] | ||||||||||
Schedule of Capitalization, Equity [Line Items] | ||||||||||
Reimbursement of contingent underwriting fee to manager | 30,000 | $ 0 | $ 30,000 | $ 0 | ||||||
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 | |||||||||
Amount paid by underwriters | $ 5,900,000 | $ 5,900,000 | ||||||||
8.00% Series B Preferred Stock [Member] | ||||||||||
Schedule of Capitalization, Equity [Line Items] | ||||||||||
Preferred stock, shares issued | 7,800,000 | 7,800,000 | 7,800,000 | |||||||
Cumulative dividend, beneficial interest rate | 8.00% | 8.00% | ||||||||
Preferred stock, par value | $ 0.01 | $ 0.01 | $ 0.01 | |||||||
Preferred stock redemption price per share | 25 | $ 25 | ||||||||
8.00% Series B Preferred Stock [Member] | From, and including, the date of original issuance to, but not including, June 15, 2024 [Member] | ||||||||||
Schedule of Capitalization, Equity [Line Items] | ||||||||||
Cumulative dividend, beneficial interest rate | 8.00% | |||||||||
Preferred stock, liquidation preference | $ 25 | |||||||||
Preferred stock, dividend per share | $ 2 | |||||||||
8.00% Series B Preferred Stock [Member] | From, and including, June 15, 2024 and thereafter [Member] | ||||||||||
Schedule of Capitalization, Equity [Line Items] | ||||||||||
Cumulative dividend, beneficial interest rate | 5.99% | |||||||||
Preferred stock, liquidation preference | $ 25 | |||||||||
Preferred stock, dividends per share paid | $ 0.39 | |||||||||
8.125% Series A Preferred Stock [Member] | ||||||||||
Schedule of Capitalization, Equity [Line Items] | ||||||||||
Preferred stock, shares issued | 4,600,000 | |||||||||
Cumulative dividend, beneficial interest rate | 8.125% | 8.125% | ||||||||
Preferred stock, par value | $ 0.01 | 0.01 | $ 0.01 | |||||||
Preferred stock, dividends per share paid | $ 1.05 | |||||||||
Preferred stock redemption price per share | $ 25 | $ 25 | ||||||||
Statutory Dividend Payment Restrictions Disclosure | 0 | |||||||||
8.125% Series A Preferred Stock [Member] | Fixed Rate [Member] | Date Of Original Issuance To March 14,2024 [Member] | ||||||||||
Schedule of Capitalization, Equity [Line Items] | ||||||||||
Cumulative dividend, beneficial interest rate | 8.125% | |||||||||
Preferred stock, liquidation preference | $ 25 | |||||||||
8.125% Series A Preferred Stock [Member] | Floating Rate [Member] | March 15,2024 and Thereafter [member] | ||||||||||
Schedule of Capitalization, Equity [Line Items] | ||||||||||
Cumulative dividend, beneficial interest rate | 5.831% | |||||||||
Preferred stock, liquidation preference | $ 25 |
Shareholders' Equity - Summa134
Shareholders' Equity - Summary of Share Repurchase Activity (Detail) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Equity [Abstract] | ||||
Common shares repurchased | 966 | 687 | 1,105 | 7,029 |
Cost of common shares repurchased | $ 16,417 | $ 10,595 | $ 18,724 | $ 93,429 |
Cumulative shares repurchased | 9,518 | 9,518 | ||
Cumulative cost of shares repurchased | $ 133,431 | $ 133,431 |
Net Gain on Mortgage Loans A135
Net Gain on Mortgage Loans Acquired for Sale - Summary of Net Gain on Mortgage Loans Acquired for Sale (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Non cash gain: | ||||
Receipt of MSRs in mortgage loan sale transactions | $ 207,361 | $ 173,906 | ||
Provision for losses relating to representations and warranties provided in mortgage loan sales: | ||||
Pursuant to mortgage loans sales | $ (1,075) | $ (781) | (2,355) | (2,002) |
Reduction in liability due to change in estimate | (1,642) | (5,098) | (7,523) | (6,822) |
Change in fair value of financial instruments held at end of period: | ||||
Net gain on mortgage loans acquired for sale | 17,967 | 43,858 | 54,284 | 83,133 |
PennyMac Financial Services, Inc. [Member] | ||||
Change in fair value of financial instruments held at end of period: | ||||
Net gain on mortgage loans acquired for sale | 3,275 | 2,537 | 9,340 | 6,230 |
Nonaffiliates [Member] | ||||
Cash loss: | ||||
Mortgage loans | (51,485) | (27,639) | (135,666) | (52,812) |
Hedging activities | (13,468) | (17,378) | (16,931) | (79,072) |
Cash gain, net of effects of cash hedging, on sale of mortgage loans acquired for sale | (64,953) | (45,017) | (152,597) | (131,884) |
Non cash gain: | ||||
Receipt of MSRs in mortgage loan sale transactions | 82,838 | 77,635 | 207,361 | 173,906 |
Provision for losses relating to representations and warranties provided in mortgage loan sales: | ||||
Pursuant to mortgage loans sales | (1,075) | (781) | (2,355) | (2,002) |
Reduction in liability due to change in estimate | 1,642 | 5,098 | 7,523 | 6,822 |
Change in fair value of financial instruments held at end of period: | ||||
IRLCs | 880 | (1,429) | (2,502) | 10,681 |
Mortgage loans | (1,165) | 5,228 | 2,891 | 16,980 |
Hedging derivatives | (3,475) | 587 | (15,377) | 2,400 |
Total non cash portion of gain on mortgage loans acquired for sale | (3,760) | 4,386 | (14,988) | 30,061 |
Net gain on mortgage loans acquired for sale | $ 14,692 | $ 41,321 | $ 44,944 | $ 76,903 |
Net Gain (Loss) on Investmen136
Net Gain (Loss) on Investments - Summary of Net Gain (Loss) on Investments (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Net gain (loss) on investments: | ||||
Net gain (loss) on investments | $ 13,834 | $ 14,279 | $ 58,147 | $ (5,106) |
Nonaffiliates [Member] | ||||
Net gain (loss) on investments: | ||||
Mortgage-backed securities | 5,001 | 517 | 9,168 | 9,948 |
CRT Agreements | 15,151 | 18,477 | 66,591 | 22,098 |
Asset-backed financing of a VIE at fair value | (2,158) | 2,990 | (5,581) | (5,974) |
Hedging derivatives | (5,910) | (945) | (14,943) | (245) |
Net gain (loss) on investments | 17,499 | 17,103 | 69,067 | 31,169 |
PennyMac Financial Services, Inc. [Member] | ||||
Net gain (loss) on investments: | ||||
Net gain (loss) on investments | (3,665) | (2,824) | (10,920) | (36,275) |
Variable Interest Entities [Member] | Nonaffiliates [Member] | ||||
Net gain (loss) on investments: | ||||
Mortgage loans at fair value | 2,138 | (536) | 6,309 | 7,810 |
Distressed mortgage loans [Member] | Nonaffiliates [Member] | ||||
Net gain (loss) on investments: | ||||
Mortgage loans at fair value | $ 3,277 | $ (3,400) | $ 7,523 | $ (2,468) |
Net Mortgage Loan Servicing 137
Net Mortgage Loan Servicing Fees - Summary of Net Loan Servicing Fees (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Components of Net Servicing Fee Income [Line Items] | ||||
Servicing fees | $ 44,280 | $ 34,304 | $ 123,869 | $ 94,754 |
Effect of MSRs: | ||||
Amortization | (21,634) | (17,902) | (59,015) | (47,720) |
Additions to impairment valuation allowance | (1,702) | (3,460) | (4,287) | (44,336) |
Carried at fair value-change in fair value | (3,977) | (3,202) | (10,370) | (19,558) |
Total Effect of MSRs | (75,403) | (48,608) | ||
Net mortgage loan servicing fees | 21,876 | 15,761 | 49,325 | 47,006 |
Average servicing portfolio | 63,584,416 | 48,997,875 | 61,764,228 | 46,125,926 |
PennyMac Financial Services, Inc. [Member] | ||||
Effect of MSRs: | ||||
Net mortgage loan servicing fees | 333 | 409 | 859 | 849 |
From PFSI—MSR recapture income | 333 | 409 | 859 | 849 |
Nonaffiliates [Member] | ||||
Components of Net Servicing Fee Income [Line Items] | ||||
Servicing fees | 44,280 | 34,304 | 123,869 | 94,754 |
Effect of MSRs: | ||||
Amortization | (21,634) | (17,902) | (59,015) | (47,720) |
Additions to impairment valuation allowance | (1,702) | (3,460) | (4,287) | (44,336) |
Gain on sale | 0 | 0 | 0 | 11 |
Carried at fair value-change in fair value | (3,977) | (3,202) | (10,370) | (19,558) |
Total Effect of MSRs | (22,737) | (18,952) | (75,403) | (48,597) |
Net mortgage loan servicing fees | 21,543 | 15,352 | 48,466 | 46,157 |
Nonaffiliates [Member] | Mortgage service rights [Member] | ||||
Effect of MSRs: | ||||
Gains (losses) on hedging derivatives | $ 4,576 | $ 5,612 | $ (1,731) | $ 63,006 |
Net Interest Income - Summary o
Net Interest Income - Summary of Net Interest Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Interest income: | ||||
ESS | $ 51,577 | $ 58,134 | $ 152,063 | $ 164,266 |
Interest expense: | ||||
Total interest expense | 26,157 | 23,751 | 72,280 | 66,217 |
Notes payable | 2,320 | 2,883 | 9,719 | 9,217 |
Interest expense, total | 40,277 | 40,330 | 115,882 | 108,927 |
Net interest income | 11,300 | 17,804 | 36,181 | 55,339 |
Convertible Debt [Member] | ||||
Interest expense: | ||||
Interest expense | 3,636 | 3,620 | 10,895 | 10,848 |
PennyMac Financial Services, Inc. [Member] | ||||
Interest income: | ||||
ESS | 3,998 | 4,827 | 13,011 | 17,555 |
Interest expense: | ||||
Total interest expense | 2,116 | 1,974 | 5,946 | 5,798 |
Nonaffiliates [Member] | ||||
Interest income: | ||||
Short-term investments | 132 | 165 | 516 | 747 |
Mortgage-backed securities | 7,447 | 3,394 | 21,954 | 8,863 |
Mortgage loans acquired for sale at fair value | 16,202 | 15,008 | 40,699 | 37,868 |
Distressed | 14,213 | 28,952 | 53,456 | 81,180 |
Deposits securing CRT Agreements | 1,440 | 285 | 2,703 | 661 |
Placement fees relating to custodial funds | 4,330 | 1,445 | 8,212 | 2,786 |
Other | 49 | 18 | 142 | 86 |
ESS | 47,579 | 53,307 | 139,052 | 146,711 |
Interest expense: | ||||
Total interest expense | 26,157 | 23,751 | 72,280 | 66,217 |
Mortgage loan participation purchase and sale agreements | 409 | 361 | 1,225 | 1,023 |
FHLB advances | 0 | 0 | 0 | 122 |
Notes payable | 2,320 | 2,883 | 9,719 | 9,217 |
Asset-backed financings of VIEs at fair value | 3,515 | 5,253 | 10,520 | 10,212 |
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations | 1,638 | 2,142 | 4,068 | 4,703 |
Interest on mortgage loan impound deposits | 486 | 346 | 1,229 | 787 |
Interest expense, total | 38,161 | 38,356 | 109,936 | 103,129 |
Nonaffiliates [Member] | Convertible Debt [Member] | ||||
Interest expense: | ||||
Interest expense | 3,636 | 3,620 | 10,895 | 10,848 |
Nonaffiliates [Member] | Variable Interest Entities [Member] | ||||
Interest income: | ||||
Mortgage loans at fair value | $ 3,766 | $ 4,040 | $ 11,370 | $ 14,520 |
Share-Based Compensation Pla139
Share-Based Compensation Plans - Summary of Share-Based Compensation Activity (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | ||||
Total share units granted | 2 | 0 | 262 | 330 |
Total fair value of share units granted | $ 36 | $ 0 | $ 3,992 | $ 4,041 |
Total share units vested | 0 | 0 | 284 | 299 |
Total share units forfeited | 0 | 0 | 13 | 299 |
Compensation expense relating to share-based grants | $ 737 | $ 1,129 | $ 3,864 | $ 4,142 |
Restricted Shares Units [Member] | ||||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | ||||
Total share units granted | 2 | 0 | 136 | 218 |
Total fair value of share units granted | $ 36 | $ 0 | $ 2,317 | $ 2,690 |
Total share units vested | 0 | 0 | 284 | 299 |
Total share units forfeited | 0 | 0 | 13 | 299 |
Performance Shares Units [Member] | ||||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | ||||
Total share units granted | 0 | 0 | 126 | 112 |
Total fair value of share units granted | $ 0 | $ 0 | $ 1,675 | $ 1,351 |
Total share units vested | 0 | 0 | 0 | 0 |
Total share units forfeited | 0 | 0 | 0 | 0 |
Other Expenses - Summary of Oth
Other Expenses - Summary of Other Expenses (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | $ 5,199 | $ 3,944 | $ 15,043 | $ 13,417 |
Real Estate Held for Investment [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | 1,898 | 821 | 4,339 | 2,308 |
Common Overhead Allocation from PFSI [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | 1,193 | 1,417 | 4,220 | 6,413 |
Technology [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | 374 | 279 | 1,088 | 1,045 |
Insurance [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | 300 | 304 | 968 | 938 |
Other [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | $ 1,434 | $ 1,123 | $ 4,428 | $ 2,713 |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Income Tax [Line Items] | ||||
Effective income tax rate | 19.70% | 21.30% | 2.10% | 6.80% |
Expense (benefit) from income taxes | $ 4,771 | $ 9,606 | $ 1,688 | $ 3,262 |
Income (loss) before benefit from income taxes | 24,166 | 45,014 | 78,599 | 47,899 |
Taxable REIT Subsidiary [Member] | ||||
Income Tax [Line Items] | ||||
Expense (benefit) from income taxes | 4,800 | 9,700 | 900 | 3,600 |
Income (loss) before benefit from income taxes | $ 12,000 | $ 24,200 | $ 4,500 | $ 9,000 |
Earnings Per Share - Summary of
Earnings Per Share - Summary of Basic and Diluted Earnings per Share (Detail) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Earnings Per Share [Abstract] | ||||
Net income | $ 19,395 | $ 35,408 | $ 76,911 | $ 44,637 |
Preferred share dividends | (6,125) | 0 | (9,032) | 0 |
Effect of participating securities—share-based compensation awards | (231) | (341) | (760) | (1,026) |
Net income available to common shareholders | 13,039 | 35,067 | 67,119 | 43,611 |
Net income available to common shareholders | 13,039 | 35,067 | 67,119 | 43,611 |
Interest on Exchangeable Notes, net of income taxes | 0 | 2,181 | 6,564 | 0 |
Diluted net income attributable to common shareholders | $ 13,039 | $ 37,248 | $ 73,683 | $ 43,611 |
Weighted-average basic shares outstanding | 66,636 | 67,554 | 66,702 | 69,289 |
Dilutive securities: | ||||
Shares issuable under share-based compensation plan | 0 | 308 | 0 | 0 |
Shares issuable pursuant to exchange of the Exchangeable Notes | 0 | 8,467 | 8,467 | 0 |
Diluted weighted-average number of shares outstanding | 66,636 | 76,329 | 75,169 | 69,289 |
Basic earnings per share | $ 0.20 | $ 0.52 | $ 1.01 | $ 0.63 |
Diluted earnings per share | $ 0.20 | $ 0.49 | $ 0.98 | $ 0.63 |
Earnings Per Share - Summary143
Earnings Per Share - Summary of Potentially Dilutive Shares Excluded from Computation of Diluted Earnings Per Share (Detail) - shares shares in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
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 | 643 | 0 | 699 | 717 |
Exchangeable Notes [Member] | ||||
Antidilutive Securities Excluded From Computation Of Earnings Per Share [Line Items] | ||||
Potentially dilutive stock excluded from the diluted earnings per share | 8,467 | 0 | 0 | 8,467 |
Segments and Related Informa144
Segments and Related Information - Financial Highlights by Operating Segment (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Net investment income: | |||||
Net gain on mortgage loans acquired for sale | $ 17,967 | $ 43,858 | $ 54,284 | $ 83,133 | |
Net gain (loss) on investments | 13,834 | 14,279 | 58,147 | (5,106) | |
Net mortgage loan servicing fees | 21,876 | 15,761 | 49,325 | 47,006 | |
Net interest income: | |||||
Interest income | 51,577 | 58,134 | 152,063 | 164,266 | |
Interest expense | (40,277) | (40,330) | (115,882) | (108,927) | |
Net interest income | 11,300 | 17,804 | 36,181 | 55,339 | |
Other income (loss) | 10,827 | 11,624 | 26,300 | 22,788 | |
Net investment income | 75,804 | 103,326 | 224,237 | 203,160 | |
Expenses | |||||
Mortgage loan fulfillment, servicing and management fees payable to PFSI | 34,909 | 38,294 | 93,171 | 98,220 | |
Management fees | 6,038 | 5,025 | 16,684 | 15,576 | |
Other | 10,691 | 14,993 | 35,783 | 41,465 | |
Total expenses | 51,638 | 58,312 | 145,638 | 155,261 | |
Pre-tax income (loss) | 24,166 | 45,014 | 78,599 | 47,899 | |
Total assets at end of period | 5,785,043 | 6,618,901 | 5,785,043 | 6,618,901 | $ 6,357,502 |
Correspondent production [Member] | |||||
Net investment income: | |||||
Net gain on mortgage loans acquired for sale | 17,963 | 43,946 | 54,117 | 83,565 | |
Net gain (loss) on investments | 0 | 0 | 0 | 0 | |
Net mortgage loan servicing fees | 0 | 0 | 0 | 0 | |
Net interest income: | |||||
Interest income | 16,018 | 14,835 | 40,194 | 37,248 | |
Interest expense | (11,351) | (9,613) | (28,214) | (23,144) | |
Net interest income | 4,667 | 5,222 | 11,980 | 14,104 | |
Other income (loss) | 11,762 | 12,724 | 30,576 | 28,186 | |
Net investment income | 34,392 | 61,892 | 96,673 | 125,855 | |
Expenses | |||||
Mortgage loan fulfillment, servicing and management fees payable to PFSI | 23,508 | 27,255 | 61,191 | 59,301 | |
Management fees | 0 | 0 | 0 | 0 | |
Other | 2,574 | 2,539 | 6,614 | 5,620 | |
Total expenses | 26,082 | 29,794 | 67,805 | 64,921 | |
Pre-tax income (loss) | 8,310 | 32,098 | 28,868 | 60,934 | |
Total assets at end of period | 1,304,647 | 2,088,515 | 1,304,647 | 2,088,515 | |
Credit Sensitive Strategies [Member] | |||||
Net investment income: | |||||
Net gain on mortgage loans acquired for sale | 4 | (88) | 167 | (432) | |
Net gain (loss) on investments | 18,562 | 16,145 | 74,695 | 21,389 | |
Net mortgage loan servicing fees | 47 | 0 | 91 | 0 | |
Net interest income: | |||||
Interest income | 15,951 | 29,771 | 57,011 | 83,550 | |
Interest expense | (13,096) | (14,944) | (41,178) | (47,039) | |
Net interest income | 2,855 | 14,827 | 15,833 | 36,511 | |
Other income (loss) | (935) | (1,100) | (4,281) | (5,398) | |
Net investment income | 20,533 | 29,784 | 86,505 | 52,070 | |
Expenses | |||||
Mortgage loan fulfillment, servicing and management fees payable to PFSI | 4,273 | 5,629 | 12,143 | 23,863 | |
Management fees | 0 | 0 | 0 | 0 | |
Other | 3,194 | 7,542 | 11,419 | 17,209 | |
Total expenses | 7,467 | 13,171 | 23,562 | 41,072 | |
Pre-tax income (loss) | 13,066 | 16,613 | 62,943 | 10,998 | |
Total assets at end of period | 1,959,792 | 2,446,785 | 1,959,792 | 2,446,785 | |
Interest Rate Sensitive Strategies [Member] | |||||
Net investment income: | |||||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 | |
Net gain (loss) on investments | (4,728) | (1,866) | (16,548) | (26,495) | |
Net mortgage loan servicing fees | 21,829 | 15,761 | 49,234 | 47,006 | |
Net interest income: | |||||
Interest income | 19,426 | 13,346 | 54,200 | 43,017 | |
Interest expense | (15,830) | (15,773) | (46,490) | (38,744) | |
Net interest income | 3,596 | (2,427) | 7,710 | 4,273 | |
Other income (loss) | 0 | 0 | 0 | 0 | |
Net investment income | 20,697 | 11,468 | 40,396 | 24,784 | |
Expenses | |||||
Mortgage loan fulfillment, servicing and management fees payable to PFSI | 7,128 | 5,410 | 19,837 | 15,056 | |
Management fees | 0 | 0 | 0 | 0 | |
Other | 265 | 424 | 1,094 | 1,018 | |
Total expenses | 7,393 | 5,834 | 20,931 | 16,074 | |
Pre-tax income (loss) | 13,304 | 5,634 | 19,465 | 8,710 | |
Total assets at end of period | 2,414,477 | 1,910,121 | 2,414,477 | 1,910,121 | |
Corporate [Member] | |||||
Net investment income: | |||||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 | |
Net gain (loss) on investments | 0 | 0 | 0 | 0 | |
Net mortgage loan servicing fees | 0 | 0 | 0 | 0 | |
Net interest income: | |||||
Interest income | 182 | 182 | 658 | 451 | |
Interest expense | 0 | 0 | 0 | 0 | |
Net interest income | 182 | 182 | 658 | 451 | |
Other income (loss) | 0 | 0 | 5 | 0 | |
Net investment income | 182 | 182 | 663 | 451 | |
Expenses | |||||
Mortgage loan fulfillment, servicing and management fees payable to PFSI | 0 | 0 | 0 | 0 | |
Management fees | 6,038 | 5,025 | 16,684 | 15,576 | |
Other | 4,658 | 4,488 | 16,656 | 17,618 | |
Total expenses | 10,696 | 9,513 | 33,340 | 33,194 | |
Pre-tax income (loss) | (10,514) | (9,331) | (32,677) | (32,743) | |
Total assets at end of period | $ 106,127 | $ 173,480 | $ 106,127 | $ 173,480 |
Supplemental Cash Flow Infor145
Supplemental Cash Flow Information - Summary of Supplemental Cash Flow Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Additional Cash Flow Elements And Supplemental Cash Flow Information [Abstract] | ||||
Cash paid for interest | $ 115,108 | $ 111,008 | ||
Income taxes (refunded) paid, net | (294) | 388 | ||
Non-cash investing activities: | ||||
Receipt of MSRs as proceeds from sales of mortgage loans | 207,361 | 173,906 | ||
Transfer of mortgage loans and advances to real estate acquired in settlement of loans | $ 22,951 | $ 42,300 | 76,981 | 156,352 |
Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment | 2,555 | 5,282 | 14,300 | 17,548 |
Receipt of ESS pursuant to recapture agreement with PFSI | 4,160 | 5,039 | ||
Capitalization of servicing advances pursuant to mortgage loan modifications | 17,759 | 0 | ||
Non-cash financing activities: | ||||
Dividends payable | $ 31,655 | $ 31,804 | $ 31,655 | $ 31,804 |
Regulatory Capital and Liqui146
Regulatory Capital and Liquidity Requirements - Additional Information (Detail) | 9 Months Ended |
Sep. 30, 2017USD ($) | |
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 Liqui147
Regulatory Capital and Liquidity Requirements - Summary of Capital and Liquidity Requirements by Agencies (Detail) - Fannie Mae and Freddie Mac [Member] - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Capital Requirements By Agencies [Line Items] | ||
Net Worth, Actual | $ 466,530 | $ 392,056 |
Net Worth, Required | $ 172,311 | $ 143,259 |
Tangible Net Worth / Total Assets Ratio, Actual | 12.00% | 12.00% |
Tangible Net Worth / Total Assets Ratio, Required | 6.00% | 6.00% |
Liquidity, Actual | $ 86,919 | $ 26,670 |
Liquidity, Required | $ 23,774 | $ 19,706 |
Subsequent Events - Additional
Subsequent Events - Additional Information (Detail) $ in Millions | Oct. 27, 2017USD ($) |
Subsequent Event [Member] | Non Performing and Performing Loans [Member] | Distressed Portfolio [Member] | |
Subsequent Event [Line Items] | |
Unpaid principal balance of third party loans committed to sell amount | $ 324 |