Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2018 | Nov. 06, 2018 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2018 | |
Document Fiscal Year Focus | 2,018 | |
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 Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Common Stock, Shares Outstanding | 60,951,444 |
Consolidated Balance Sheets (Un
Consolidated Balance Sheets (Unaudited) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
ASSETS | ||
Cash | $ 88,929 | $ 77,647 |
Short-term investments at fair value | 26,736 | 18,398 |
Mortgage-backed securities at fair value pledged to creditors | 2,126,507 | 989,461 |
Mortgage loans acquired for sale at fair value (includes $1,930,547 and $1,249,277 pledged to creditors, respectively) | 1,949,432 | 1,269,515 |
Mortgage loans at fair value (includes $624,267 and $1,081,893 pledged to creditors, respectively) | 633,168 | 1,089,473 |
Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value pledged to secure Assets sold to PennyMac Financial Services, Inc. under agreements to repurchase | 223,275 | 236,534 |
Derivative assets (includes $27,710 and $26,058 pledged to creditors, respectively) | 143,577 | 113,881 |
Firm commitment to purchase credit risk transfer security at fair value | 18,749 | 0 |
Real estate acquired in settlement of loans (includes $69,399 and $124,532 pledged to creditors, respectively) | 95,605 | 162,865 |
Real estate held for investment (includes $31,795 and $31,128 pledged to creditors, respectively) | 45,971 | 44,224 |
Deposits securing credit risk transfer agreements (includes $378,090 and $400,778 pledged to creditors, respectively) | 662,624 | 588,867 |
Mortgage servicing rights (includes $1,109,741 and $91,459 at fair value; $1,090,406 and $831,892 pledged to creditors) | 1,109,741 | 844,781 |
Servicing advances | 48,056 | 77,158 |
Other | 92,857 | 87,975 |
Total assets | 7,267,578 | 5,604,933 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 4,394,500 | 3,180,886 |
Mortgage loan participation purchase and sale agreements | 31,578 | 44,488 |
Exchangeable senior notes | 248,053 | 247,186 |
Notes payable | 445,318 | 0 |
Asset-backed financing of a variable interest entity at fair value | 278,113 | 307,419 |
Interest-only security payable at fair value | 8,821 | 7,070 |
Derivative liabilities | 11,880 | 1,306 |
Accounts payable and accrued liabilities | 70,362 | 64,751 |
Income taxes payable | 52,382 | 27,317 |
Liability for losses under representations and warranties | 7,413 | 8,678 |
Total liabilities | 5,709,015 | 4,060,348 |
Commitments and contingencies — Note 20 | 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, liquidation preference $310,000,000 | 299,707 | 299,707 |
Common shares of beneficial interest—authorized, 500,000,000 common shares of $0.01 par value; issued and outstanding, 60,951,444 and 61,334,087 common shares, respectively | 610 | 613 |
Additional paid-in capital | 1,284,537 | 1,290,931 |
Accumulated deficit | (26,291) | (46,666) |
Total shareholders’ equity | 1,558,563 | 1,544,585 |
Total liabilities and shareholders’ equity | 7,267,578 | 5,604,933 |
Variable Interest Entities [Member] | ||
ASSETS | ||
Mortgage loans at fair value (includes $624,267 and $1,081,893 pledged to creditors, respectively) | 292,174 | 321,040 |
Derivative assets (includes $27,710 and $26,058 pledged to creditors, respectively) | 126,354 | 98,640 |
Deposits securing credit risk transfer agreements (includes $378,090 and $400,778 pledged to creditors, respectively) | 662,624 | 588,867 |
Other—interest receivable | 855 | 904 |
Total assets of Consolidated Variable Interest Entity | 1,082,007 | 1,009,451 |
LIABILITIES | ||
Asset-backed financing of a variable interest entity at fair value | 278,113 | 307,419 |
Interest-only security payable at fair value | 8,821 | 7,070 |
Accounts payable and accrued liabilities—interest payable | 855 | 904 |
SHAREHOLDERS’ EQUITY | ||
Total liabilities of Consolidated Variable Interest Entity | 287,789 | 315,393 |
PennyMac Financial Services, Inc. [Member] | ||
ASSETS | ||
Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value pledged to secure Assets sold to PennyMac Financial Services, Inc. under agreements to repurchase | 223,275 | 236,534 |
Due from PennyMac Financial Services, Inc. | 2,351 | 4,154 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 133,128 | 144,128 |
Due to PennyMac Financial Services, Inc. | $ 27,467 | $ 27,119 |
Consolidated Balance Sheets (_2
Consolidated Balance Sheets (Unaudited) (Parenthetical) - USD ($) | Sep. 30, 2018 | Dec. 31, 2017 |
Mortgage loans acquired for sale at fair value, pledged to creditors | $ 1,930,547,000 | $ 1,249,277,000 |
Mortgage loans at fair value, pledged to creditors | 624,267,000 | 1,081,893,000 |
Derivative assets, pledged to creditors | 27,710,000 | 26,058,000 |
Real estate pledged to creditors | 69,399,000 | 124,532,000 |
Deposits securing credit risk transfer agreements, pledged to creditors | 378,090,000 | 400,778,000 |
Mortgage servicing rights at fair value | 1,109,741,000 | 91,459,000 |
Mortgage servicing rights pledged to creditors | $ 1,090,406,000 | $ 831,892,000 |
Preferred stock, par value | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized | 100,000,000 | 100,000,000 |
Preferred stock, shares issued | 12,400,000 | 12,400,000 |
Preferred stock, shares outstanding | 12,400,000 | 12,400,000 |
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 | 60,951,444 | 61,334,087 |
Common shares, outstanding | 60,951,444 | 61,334,087 |
Real Estate Acquired in Satisfaction of Debt [Member] | ||
Real estate pledged to creditors | $ 69,399,000 | $ 124,532,000 |
Real Estate Held for Investment [Member] | ||
Real estate pledged to creditors | $ 31,795,000 | $ 31,128,000 |
Consolidated Statements of Inco
Consolidated Statements of Income (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Net investment income | ||||
Net mortgage loan servicing fees | $ 44,394 | $ 21,876 | $ 128,135 | $ 49,325 |
Net gain on mortgage loans acquired for sale | 24,810 | 17,967 | 41,579 | 54,284 |
Mortgage loan origination fees | 12,424 | 11,744 | 28,311 | 30,501 |
Net gain (loss) on investments | 9,683 | 13,834 | 35,210 | 58,147 |
Interest income | 62,324 | 51,577 | 155,648 | 152,063 |
Interest expense: | ||||
Interest expense | 46,609 | 40,277 | 121,490 | 115,882 |
Net interest income | 15,715 | 11,300 | 34,158 | 36,181 |
Results of real estate acquired in settlement of loans | (310) | (3,143) | (5,833) | (10,854) |
Other | 1,785 | 2,226 | 5,605 | 6,653 |
Net investment income | 108,501 | 75,804 | 267,165 | 224,237 |
Expenses | ||||
Mortgage loan fulfillment fees | 26,256 | 23,507 | 52,759 | 61,184 |
Mortgage loan servicing fees | 10,071 | 11,402 | 30,521 | 31,987 |
Management fees | 6,482 | 6,038 | 17,906 | 16,684 |
Mortgage loan collection and liquidation | 2,747 | 864 | 6,899 | 4,556 |
Professional services | 2,616 | 1,331 | 5,692 | 5,531 |
Compensation | 1,924 | 1,067 | 5,412 | 4,918 |
Real estate held for investment | 1,713 | 1,898 | 4,452 | 4,339 |
Mortgage loan origination | 2,136 | 2,230 | 3,980 | 5,735 |
Other | 2,894 | 3,301 | 7,758 | 10,704 |
Total expenses | 56,839 | 51,638 | 135,379 | 145,638 |
Income before provision for income taxes | 51,662 | 24,166 | 131,786 | 78,599 |
Provision for income taxes | 5,100 | 4,771 | 20,613 | 1,688 |
Net income | 46,562 | 19,395 | 111,173 | 76,911 |
Dividends on preferred shares | 6,235 | 6,125 | 18,703 | 9,032 |
Net income attributable to common shareholders | $ 40,327 | $ 13,270 | $ 92,470 | $ 67,879 |
Earnings per common share | ||||
Basic | $ 0.66 | $ 0.20 | $ 1.51 | $ 1.01 |
Diluted | $ 0.62 | $ 0.20 | $ 1.44 | $ 0.98 |
Weighted-average common shares outstanding | ||||
Basic | 60,950 | 66,636 | 60,880 | 66,702 |
Diluted | 69,417 | 66,636 | 69,347 | 75,169 |
Dividends declared per common share | $ 0.47 | $ 0.47 | $ 1.41 | $ 1.41 |
Nonaffiliates [Member] | ||||
Net investment income | ||||
Net mortgage loan servicing fees | $ 43,833 | $ 21,543 | $ 126,567 | $ 48,466 |
Net gain on mortgage loans acquired for sale | 22,121 | 14,692 | 33,358 | 44,944 |
Net gain (loss) on investments | 7,977 | 17,499 | 24,233 | 69,067 |
Interest income | 58,584 | 47,579 | 144,064 | 139,052 |
Interest expense: | ||||
Interest expense | 44,797 | 38,161 | 115,804 | 109,936 |
PennyMac Financial Services, Inc. [Member] | ||||
Net investment income | ||||
Net mortgage loan servicing fees | 561 | 333 | 1,568 | 859 |
Net gain on mortgage loans acquired for sale | 2,689 | 3,275 | 8,221 | 9,340 |
Net gain (loss) on investments | 1,706 | (3,665) | 10,977 | (10,920) |
Interest income | 3,740 | 3,998 | 11,584 | 13,011 |
Interest expense: | ||||
Interest expense | $ 1,812 | $ 2,116 | $ 5,686 | $ 5,946 |
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] | Accumulated Deficit [Member] |
Balance, Amount at Dec. 31, 2016 | $ 1,351,114 | $ 0 | $ 667 | $ 1,377,171 | $ (26,724) |
Balance, Shares at Dec. 31, 2016 | 0 | 66,697 | |||
Net income | 76,911 | 0 | 76,911 | ||
Share-based compensation, Amount | 3,864 | $ 3 | 3,861 | 0 | |
Share-based compensation, Shares | 284 | ||||
Issuance of preferred shares, Amount | 310,000 | $ 310,000 | 0 | 0 | |
Issuance of preferred shares, Shares | 12,400 | ||||
Issuance costs relating to preferred shares | (10,293) | $ (10,293) | 0 | 0 | |
Dividends: | |||||
Common share dividends | (94,477) | $ 0 | 0 | (94,477) | |
Preferred shares dividends | (7,830) | 0 | 0 | 0 | (7,830) |
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 | |||
Balance, Amount at Jun. 30, 2017 | 1,454,832 | $ 111,172 | $ 668 | 1,377,990 | (34,998) |
Balance, Shares at Jun. 30, 2017 | 4,600 | 66,842 | |||
Net income | 19,395 | 0 | 19,395 | ||
Share-based compensation, Amount | 737 | $ 1 | 736 | 0 | |
Share-based compensation, Shares | 0 | ||||
Issuance of preferred shares, Amount | 195,000 | $ 195,000 | 0 | 0 | |
Issuance of preferred shares, Shares | 7,800 | ||||
Issuance costs relating to preferred shares | (6,465) | $ (6,465) | 0 | 0 | |
Dividends: | |||||
Common share dividends | (31,179) | $ 0 | 0 | (31,179) | |
Preferred shares dividends | (5,338) | 0 | 0 | 0 | (5,338) |
Repurchase of common shares, Amount | $ (16,417) | $ (10) | (16,407) | 0 | |
Repurchase of common shares, Shares | (966) | (966) | |||
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 | |||
Balance, Amount at Dec. 31, 2017 | 1,544,585 | $ 299,707 | $ 613 | 1,290,931 | (46,666) |
Balance, Shares at Dec. 31, 2017 | 12,400 | 61,334 | |||
Balance, Shares (Accounting Standards Update 2014-11 Transfers and Servicing [Member]) at Dec. 31, 2017 | 12,400 | 61,334 | |||
Balance, Amount (Accounting Standards Update 2014-11 Transfers and Servicing [Member]) at Dec. 31, 2017 | 14,361 | $ 0 | $ 0 | 0 | 14,361 |
Balance, Amount (Accounting Standards Update 2014-11 Transfers and Servicing [Member]) at Dec. 31, 2017 | 1,558,946 | 299,707 | 613 | 1,290,931 | (32,305) |
Net income | 111,173 | 0 | 111,173 | ||
Share-based compensation, Amount | 4,322 | $ 3 | 4,319 | 0 | |
Share-based compensation, Shares | 288 | ||||
Dividends: | |||||
Common share dividends | (86,451) | 0 | $ 0 | 0 | (86,451) |
Preferred shares dividends | (18,708) | 0 | (18,708) | ||
Repurchase of common shares, Amount | $ (10,719) | $ (6) | (10,713) | 0 | |
Repurchase of common shares, Shares | (671) | (671) | |||
Balance, Amount at Sep. 30, 2018 | $ 1,558,563 | $ 299,707 | $ 610 | 1,284,537 | (26,291) |
Balance, Shares at Sep. 30, 2018 | 12,400 | 60,951 | |||
Balance, Amount at Jun. 30, 2018 | 1,545,487 | $ 299,707 | $ 610 | 1,282,971 | (37,801) |
Balance, Shares at Jun. 30, 2018 | 12,400 | 60,951 | |||
Net income | 46,562 | 0 | 46,562 | ||
Share-based compensation, Amount | 1,566 | $ 0 | 1,566 | 0 | |
Share-based compensation, Shares | 0 | ||||
Dividends: | |||||
Common share dividends | (28,816) | $ 0 | $ 0 | 0 | (28,816) |
Preferred shares dividends | (6,236) | 0 | (6,236) | ||
Repurchase of common shares, Amount | $ 0 | ||||
Repurchase of common shares, Shares | 0 | ||||
Balance, Amount at Sep. 30, 2018 | $ 1,558,563 | $ 299,707 | $ 610 | $ 1,284,537 | $ (26,291) |
Balance, Shares at Sep. 30, 2018 | 12,400 | 60,951 |
Consolidated Statements of Ch_2
Consolidated Statements of Changes in Shareholders' Equity (Unaudited) (Parenthetical) - $ / shares | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Common share dividends declared per share | $ 0.47 | $ 0.47 | $ 1.41 | $ 1.41 |
Accumulated Deficit [Member] | ||||
Common share dividends declared per share | $ 0.47 | $ 0.47 | $ 1.41 | $ 1.41 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 2017 | |
Cash flows from operating activities | ||
Net income | $ 111,173 | $ 76,911 |
Adjustments to reconcile net income to net cash (used in) provided by operating activities: | ||
Change in fair value, amortization and impairment of mortgage servicing rights, net of hedging results | 27,368 | 75,403 |
Net gain on mortgage loans acquired for sale at fair value | (41,579) | (54,284) |
Net gain on investments | (35,210) | (58,147) |
Accrual of interest on excess servicing spread purchased from PennyMac Financial Services, Inc. | (11,584) | (13,011) |
Capitalization of interest and fees on mortgage loans at fair value | (6,543) | (27,737) |
Amortization of debt issuance (premiums) and costs, net | (3,193) | 10,243 |
Accrual of unearned discounts and amortization of premiums on mortgage-backed securities, mortgage loans at fair value, and asset-backed secured financing of a VIE | 2,731 | 4,625 |
Results of real estate acquired in settlement of loans | 5,833 | 10,854 |
Share-based compensation expense | 4,322 | 3,864 |
Purchase of mortgage loans acquired for sale at fair value from nonaffiliates | (46,127,315) | (49,769,392) |
Purchase of mortgage loans acquired for sale at fair value from PennyMac Financial Services, Inc. | (2,336,162) | (373,108) |
Repurchase of mortgage loans subject to representation and warranties | (8,243) | (8,706) |
Sale and repayment of mortgage loans acquired for sale at fair value to nonaffiliates | 18,992,722 | 17,683,444 |
Sale of mortgage loans acquired for sale to PennyMac Financial Services, Inc. | 28,584,762 | 32,724,487 |
Settlement of repurchase agreement derivatives | 5,626 | 0 |
Decrease in servicing advances | 37,506 | 8,275 |
Decrease in due from PennyMac Financial Services, Inc. | 1,769 | 2,043 |
(Increase) decrease in other assets | (31,419) | 16,936 |
Increase (decrease) in accounts payable and accrued liabilities | 5,938 | (31,155) |
Increase (decrease) in due to PennyMac Financial Services, Inc. | 348 | (454) |
Increase in income taxes payable | 19,713 | 1,982 |
Net cash (used in) provided by operating activities | (801,437) | 283,073 |
Cash flows from investing activities | ||
Net (increase) decrease in short-term investments | (8,338) | 116,442 |
Purchase of mortgage-backed securities at fair value | (1,316,200) | (251,872) |
Sale and repayment of mortgage-backed securities at fair value | 126,243 | 85,144 |
Sale and repayment of mortgage loans at fair value | 398,488 | 345,824 |
Repayment of excess servicing spread by PennyMac Financial Services, Inc. | 35,852 | 42,320 |
Net settlement of derivative financial instruments | 1,300 | (423) |
Sale of real estate acquired in settlement of loans | 84,645 | 140,862 |
Purchase of mortgage servicing rights | 0 | (79) |
Sale of mortgage servicing rights | 100 | 0 |
Contribution to deposits securing credit risk transfer agreements | (96,446) | (102,146) |
Distribution from credit risk transfer agreements | 87,596 | 41,823 |
Decrease (increase) in margin deposits | 4,617 | (2,350) |
Net cash (used in) provided by investing activities | (682,143) | 415,545 |
Cash flows from financing activities | ||
Sale of assets under agreements to repurchase | 60,463,168 | 58,275,935 |
Repurchase of assets sold under agreements to repurchase | (59,250,379) | (58,856,728) |
Issuance of mortgage loan participation certificates | 4,603,429 | 5,473,935 |
Repayment of mortgage loan participation certificates | (4,616,304) | (5,455,770) |
Advance under notes payable | 450,000 | 135,000 |
Repayment of notes payable | 0 | (330,000) |
Repayment of asset-backed financing of a variable interest entity at fair value | (16,721) | (42,881) |
Sale of assets sold to PennyMac Financial Services, Inc. under agreements to repurchase | 2,208 | 0 |
Repurchase of assets sold to PennyMac Financial Services, Inc. under agreement to repurchase | (13,208) | (1,928) |
Payment of debt issuance costs | (11,125) | (9,342) |
Issuance of preferred shares | 0 | 310,000 |
Payment of issuance costs related to preferred shares | 0 | (10,293) |
Payment of dividends to preferred shareholders | (18,708) | (7,830) |
Payment of dividends to common shareholders | (86,779) | (94,953) |
Repurchase of common shares | (10,719) | (18,724) |
Net cash provided by (used in) financing activities | 1,494,862 | (633,579) |
Net increase in cash and restricted cash | 11,282 | 65,039 |
Cash and restricted cash at beginning of period | 77,647 | 34,476 |
Cash and restricted cash at end of period | 88,929 | 99,515 |
Cash and restricted cash end of period are comprised of the following: | ||
Cash | 88,929 | 99,515 |
Restricted cash | $ 0 | $ 0 |
Organization
Organization | 9 Months Ended |
Sep. 30, 2018 | |
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 (“GSEs”) 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 credit risk transfer agreements (“CRT Agreements”), distressed mortgage loans, real estate acquired in settlement of mortgage loans (“REO”), real estate held for investment, 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 purchased from PFSI (“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 conducts substantially all of its operations and makes substantially all of its investments through its subsidiary, PennyMac Operating Partnership, L.P. (the “Operating Partnership”), and the Operating Partnership’s subsidiaries. A wholly-owned subsidiary of the Company is the sole general partner, and the Company is the sole limited partner, of the Operating Partnership. The Company believes that it qualifies, and has elected to be taxed, as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended, beginning with its taxable period ended on December 31, 2009. To maintain its tax status as a REIT, the Company has to distribute at least 90% of its taxable income in the form of qualifying distributions to shareholders. |
Basis of Presentation
Basis of Presentation | 9 Months Ended |
Sep. 30, 2018 | |
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. |
Accounting Developments
Accounting Developments | 9 Months Ended |
Sep. 30, 2018 | |
Accounting Changes And Error Corrections [Abstract] | |
Accounting Developments | Note 3—Accounting Developments Accounting Changes Mortgage Servicing Rights Effective January 1, 2018, the Company has elected to change the accounting for the classes of MSRs it accounted for using the amortization method through December 31, 2017, to the fair value method as allowed in the Transfers and Servicing Revenue Recognition As disclosed in Note 33 – Recently Issued Accounting Pronouncements Receivables, Investments and Debt and Equity Securities, Transfers and Servicing, Financial Instruments Derivatives and Hedging . Cash Flows During the nine months ended September 30, 2018, the Company adopted FASB Accounting Standards Update 2016-18, Statement of Cash Flows (Topic 230) – Restricted Cash Recently Issued Accounting Pronouncement On June 20, 2018, the FASB issued ASU 2018-07, Compensation—Stock Compensation (Topic 718): Improvements to Nonemployee Share-Based Payment Accounting ASU 2018-07 expands the scope of the Compensation—Stock Compensation The Company issues share-based compensation to certain employees of the Manager. Presently, the Company accounts for share-based payments to employees of the Manager under the guidance of Equity – Equity-Based Payments to Non-Employees The amendments in this ASU are effective for the Company for the fiscal year ending December 31, 2019, including interim periods within that fiscal year. Upon adoption, the Manager does not expect to record a cumulative effect adjustment to its accumulated deficit. |
Concentration of Risks
Concentration of Risks | 9 Months Ended |
Sep. 30, 2018 | |
Risks And Uncertainties [Abstract] | |
Concentration of Risks | Note 4—Concentration of Risks As discussed in Note 1 — Organization Distressed Mortgage Loans Due to the nature of the Company’s investments in distressed mortgage loans, 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 distressed mortgage loans are located; • PCM’s ability to identify and PLS’ ability to execute optimal resolutions of distressed 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 distressed 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. Most 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., Citigroup Inc., and Bank of America Corporation, as presented in the following summary: September 30, 2018 December 31, 2017 (in thousands) JPMorgan Chase & Co. Mortgage loans at fair value $ 135,486 $ 315,437 REO 42,003 66,294 177,489 381,731 Citigroup Inc. Mortgage loans at fair value 133,547 280,488 REO 13,223 26,702 146,770 307,190 Bank of America Corporation Mortgage loans at fair value 60,884 143,969 REO 15,786 27,970 76,670 171,939 $ 400,929 $ 860,860 Total carrying value of distressed mortgage loans at fair value and REO $ 436,599 $ 931,298 CRT Agreements As detailed in Note 6 — Loan Sales and Variable Interest Entities The Company’s retention of credit risk through its investment in CRT Agreements subjects it to risks associated with delinquency and foreclosure similar to the risks associated with owning the related mortgage loans, and exposes the Company to risk of loss greater than the risks associated with selling such mortgage loans to Fannie Mae without the retention of such credit risk. Further, under agreements that include Recourse Obligations, the risks associated with delinquency and foreclosure may in some instances be greater than the risks associated with owning the related mortgage loans because the structure of certain of the CRT Agreements provides that the Company may be required to realize losses in the event of delinquency or foreclosure even where there is ultimately no loss realized with respect to such loans (e.g., as a result of a borrower’s re-performance). Beginning in June 2018, the Company entered into a new form of CRT Agreement under which PMT sells pools of recently-originated mortgage loans into Fannie Mae-guaranteed securities and purchases related credit transfer securities that are entitled to receive a portion of the mortgage loans’ interest payments in exchange for absorbing certain losses on such mortgage loans. At the commencement of the aggregation period and before the settlement of the credit-subordinated securities, the Company makes a firm commitment to purchase the securities. Accordingly, the Company recognizes the fair value of such commitment as it sells loans subject to the CRT Agreement, and also recognizes changes in fair value of the firm commitment during the time it is outstanding. Unlike the Company’s investment in CRT Agreements before June 2018, the structure of its investment in credit risk transfer securities only requires the Company to realize losses as the reference mortgage loans realize actual losses. In addition to the risks specific to credit, the Company is exposed to market risk and, as a result of prevailing market conditions or the economy generally, may be required to recognize losses associated with adverse changes to the fair value of the CRT Agreements, the firm commitment to purchase credit risk transfer securities and of the credit risk transfer securities. |
Transactions with Related Parti
Transactions with Related Parties | 9 Months Ended |
Sep. 30, 2018 | |
Related Party Transactions [Abstract] | |
Transactions with Related Parties | Note 5—Transactions with Related Parties Operating Activities Correspondent Production Activities The Company is provided fulfillment and other services by PLS under an amended and restated mortgage banking services agreement. Pursuant to the terms of the agreement, the monthly fulfillment fee is an amount that shall equal (a) no greater than the product of (i) 0.35% and (ii) the aggregate initial unpaid principal balance (the “Initial UPB”) of all mortgage loans purchased in such month, plus (b) in the case of all mortgage loans other than mortgage loans sold to or securitized through Fannie Mae or Freddie Mac, no greater than the product of (i) 0.50% and (ii) the aggregate Initial UPB of all such mortgage loans sold and securitized in such month; provided however, that no fulfillment fee shall be due or payable to PLS with respect to any mortgage loans underwritten to the Ginnie Mae MBS Guide. 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 saleable in accordance with the Ginnie Mae MBS 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. 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 administered by PLS, 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 participation purchase and sale agreement and a flow commercial mortgage loan purchase agreement. Historically, the Company has used the mortgage loan participation purchase and sale agreement for the purpose of purchasing from PLS prime jumbo residential mortgage loans. 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, 2018 2017 2018 2017 (in thousands) Mortgage loans fulfillment fees earned by PLS $ 26,256 $ 23,507 $ 52,759 $ 61,184 Unpaid principal balance ("UPB") of mortgage loans fulfilled by PLS $ 7,517,883 $ 6,530,036 $ 17,139,884 $ 17,079,969 Sourcing fees received from PLS included in Net gain on mortgage loans acquired for sale $ 2,689 $ 3,275 $ 8,221 $ 9,340 UPB of mortgage loans sold to PLS $ 8,916,654 $ 10,915,194 $ 27,404,022 $ 31,131,154 Early purchase program fees paid to PLS included in Mortgage loan servicing fees $ — $ 1 $ — $ 7 Purchases of mortgage loans acquired for sale from PLS $ 908,525 $ 332,886 $ 2,336,162 $ 373,108 Tax service fee paid to PLS included in Other $ 2,119 $ 2,108 $ 4,869 $ 5,377 September 30, 2018 December 31, 2017 (in thousands) Mortgage loans included in Mortgage loans acquired for sale at fair value pending sale to PLS $ 217,334 $ 279,571 Mortgage Loan Servicing Activities The Company, through its Operating Partnership, has an amended and restated mortgage loan servicing agreement with PLS dated as of September 12, 2016. 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 a percentage of late charges relating to mortgage loans it services for the Company. • The base servicing fee rates for distressed whole mortgage loans range from $30 per month for current loans up to $100 per month for loans where the borrower has declared bankruptcy. 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. • Except as otherwise provided in the MSR recapture agreement, when PLS effects a refinancing of a mortgage loan on behalf of the Company and not through a third-party lender and the resulting mortgage loan is readily saleable, or PLS originates a loan to facilitate the disposition of an REO, PLS is entitled to receive from the Company market-based fees and compensation consistent with pricing and terms PLS offers unaffiliated parties on a retail basis. • 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 the 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. • PLS is also entitled to certain activity-based fees for distressed whole mortgage loans that are charged based on the achievement of certain events. These fees range from $750 for a streamline modification to $1,750 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 per mortgage loan in any 18-month period. • 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. The term of the servicing 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 servicing agreement. Pursuant to the terms of an amended and restated 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 cash in an amount equal to 30% of the fair market value of the MSRs related to all the loans so originated. 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, 2018 2017 2018 2017 (in thousands) Mortgage loans servicing fees: Mortgage loans acquired for sale at fair value: Base $ 98 $ 88 $ 250 $ 235 Activity-based 218 188 489 507 316 276 739 742 Mortgage loans at fair value: Distressed mortgage loans: Base 614 1,571 2,328 5,284 Activity-based 657 2,702 3,200 6,859 1,271 4,273 5,528 12,143 Mortgage loans held in VIE - Base 35 54 103 96 MSRs: Base 8,291 6,648 23,772 18,631 Activity-based 158 151 379 375 8,449 6,799 24,151 19,006 $ 10,071 $ 11,402 $ 30,521 $ 31,987 Average investment in: Mortgage loans acquired for sale at fair value $ 1,833,232 $ 1,460,054 $ 1,460,547 $ 1,271,158 Mortgage loans at fair value: Distressed mortgage loans $ 417,487 $ 1,104,738 $ 537,300 $ 1,210,328 Mortgage loans held in a VIE $ 299,415 $ 339,464 $ 306,856 $ 350,607 Average MSR portfolio $ 81,350,980 $ 63,584,416 $ 77,522,709 $ 61,764,228 MSR recapture income recognized included in Net mortgage loan servicing fees ‒ Financial Services, Inc. $ 561 $ 333 $ 1,568 $ 859 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 quarterly 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 equal to the sum of: (a) 10% of the amount by which “net income” for the quarter exceeds (i) an 8% return on equity plus the high watermark, up to (ii) a 12% return on equity; plus (b) 15% of the amount by which “net income” for the quarter exceeds (i) a 12% return on equity plus the high watermark, up to (ii) a 16% return on equity; plus (c) 20% of the amount by which “net income” for the quarter exceeds a 16% return on equity plus the high watermark. For the purpose of determining the amount of the performance incentive fee: “Net income” is defined as net income or loss 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 average Fannie Mae 30-year MBS yield (the target yield) for the four quarters then ended. 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. 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 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. 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 immediately preceding the date of termination. 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, 2018 2017 2018 2017 (in thousands) Base management $ 5,799 $ 6,038 $ 17,223 $ 16,380 Performance incentive 683 — 683 304 $ 6,482 $ 6,038 $ 17,906 $ 16,684 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’ compensation expenses, 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 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 are 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. Following is a summary of the Company’s reimbursements to PCM and its affiliates for expenses: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Reimbursement of: Common overhead incurred by PCM and its affiliates $ 1,210 $ 1,193 $ 3,387 $ 4,220 Compensation 120 — 360 — Expenses incurred on the Company’s behalf, net 527 196 586 849 $ 1,857 $ 1,389 $ 4,333 $ 5,069 Payments and settlements during the period (1) $ 21,650 $ 22,786 $ 45,265 $ 63,249 (1) Payments and settlements include payments and netting settlements made pursuant to master netting agreements between the Company and PFSI for the operating, investment and financing activities itemized in this Note. Investing Activities Spread Acquisition and MSR Servicing Agreements On December 19, 2016, the Company, through a wholly-owned subsidiary, PennyMac Holdings, LLC (“PMH”), amended and restated a master spread acquisition and MSR servicing agreement with PLS (the “Spread Acquisition Agreement”), pursuant to which 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 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 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 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, settle its recapture liability to the Company in cash 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, 2018 2017 2018 2017 (in thousands) ESS: Received pursuant to a recapture agreement $ 499 $ 1,207 $ 1,983 $ 4,160 Repayments $ 11,543 $ 13,410 $ 35,852 $ 42,320 Interest income $ 3,740 $ 3,998 $ 11,584 $ 13,011 Net gain (loss) included in Net gain (loss) on investments: Valuation changes $ 1,109 $ (4,828 ) $ 9,026 $ (14,757 ) Recapture income 597 1,163 1,951 3,837 $ 1,706 $ (3,665 ) $ 10,977 $ (10,920 ) September 30, 2018 December 31, 2017 (in thousands) Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value $ 223,275 $ 236,534 Financing Activities PFSI held 75,000 of the Company’s common shares at both September 30, 2018 and December 31, 2017. Repurchase Agreement with PLS On December 19, 2016, the Company, through 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 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 billion. 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. 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. There were no reimbursements during the quarter and nine months ended September 30, 2018. The Company reimbursed PCM $30,000 and paid the underwriters $61,000 for the quarter and nine months ended September 30, 2017. During the quarter ended September 30, 2018, the Company incurred performance incentive fees of $683,000. Accordingly, the Company will reimburse PCM $68,000 during the quarter ending December 31, 2018. Following is a summary of financing activities between the Company and PFSI: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Interest expense $ 1,812 $ 2,116 $ 5,686 $ 5,946 Conditional Reimbursements paid to PCM $ — $ 30 $ — $ 30 September 30, 2018 December 31, 2017 (in thousands) Assets sold to PFSI under agreement to repurchase $ 133,128 $ 144,128 Conditional Reimbursement payable to PFSI included in Accounts payable and accrued liabilities $ 870 $ 870 Amounts Receivable from and Payable to PFSI Amounts receivable from and payable to PFSI are summarized below: September 30, 2018 December 31, 2017 (in thousands) Due from PFSI: MSR recapture receivable $ 250 $ 282 Other 2,101 3,872 $ 2,351 $ 4,154 Due to PFSI: Fulfillment fees $ 12,078 $ 346 Management fees 6,482 5,901 Mortgage loan servicing fees 3,765 6,583 Allocated expenses and expenses paid by PFSI on PMT’s behalf 2,295 11,542 Correspondent production fees 1,864 1,735 Conditional Reimbursement 870 870 Interest on Assets sold to PFSI under agreement to repurchase 113 142 $ 27,467 $ 27,119 |
Loan Sales and Variable Interes
Loan Sales and Variable Interest Entities | 9 Months Ended |
Sep. 30, 2018 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Loan Sales and Variable Interest Entities | Note 6—Loan Sales and Variable Interest Entities The Company is a variable interest holder in various special purpose entities that relate to its mortgage loan transfer and, financing activities and credit risk investment. 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, 2018 2017 2018 2017 (in thousands) Cash flows: Proceeds from sales $ 8,435,791 $ 7,035,994 $ 18,992,722 $ 17,683,444 Mortgage loan servicing fees received (1) $ 49,864 $ 42,237 $ 147,262 $ 119,223 (1) Net of guarantee fees The following table summarizes collection status information for mortgage loans that are accounted for as sales where the Company maintains continuing involvement for the dates presented: September 30, 2018 December 31, 2017 (in thousands) UPB of mortgage loans outstanding $ 83,913,215 $ 71,639,351 UPB of delinquent mortgage loans: 30-89 days delinquent $ 601,114 $ 532,673 90 or more days delinquent: Not in foreclosure $ 140,122 $ 280,786 In foreclosure $ 36,069 $ 25,258 UPB of mortgage loans in bankruptcy $ 66,377 $ 52,202 Custodial funds managed by the Company (1) $ 1,203,229 $ 879,321 (1) Custodial funds include borrower and investor custodial cash accounts relating to mortgage loans serviced under mortgage servicing agreements and are not included 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 Transactions The Company has entered into mortgage loan sales arrangements pursuant to which it accepts credit risk relating to certain of its mortgage loan sales. These arrangements include CRT Agreements and sales of mortgage loans that include commitments to purchase credit risk transfer securities that absorb credit losses on such mortgage loans. The Company, through 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 the Recourse Obligations as part of the retention of an IO ownership interest in such mortgage loans. Transfers of mortgage loans subject to CRT Agreements received sale accounting treatment. The Deposits securing CRT Agreements represent the Company’s maximum contractual exposure to claims under its Recourse Obligations and is the sole source of settlement of losses under the CRT Agreements. Gains and losses on derivatives related to CRT Agreements are included in Net gain (loss) on investments Following is a summary of the CRT Agreements: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) UPB of mortgage loans sold under CRT Agreements $ — $ 4,126,946 $ 5,546,977 $ 9,722,067 Deposits securing CRT Agreements $ 18,558 $ 44,998 $ 96,446 $ 102,146 (Decrease) increase in commitments to fund Deposits securing CRT Agreements resulting from sale of mortgage loans under CRT Agreements $ (18,558 ) $ 108,051 $ 96,037 $ 264,165 Interest earned on Deposits securing Agreements $ 3,190 $ 1,440 $ 8,788 $ 2,703 Gains recognized on CRT Agreements included in Net gain (loss) on investments Realized $ 23,367 $ 10,798 $ 64,907 $ 27,595 Resulting from valuation changes 7,185 4,162 27,714 41,268 30,552 14,960 92,621 68,863 Change in fair value of Interest-only security payable at fair value (3,083 ) 191 (4,105 ) (2,272 ) $ 27,469 $ 15,151 $ 88,516 $ 66,591 Payments made to settle losses $ 443 $ 539 $ 1,452 $ 950 September 30, 2018 December 31, 2017 (in thousands) UPB of mortgage loans subject to credit guarantee obligations $ 30,648,306 $ 26,845,392 Collection status (in UPB): Current $ 30,342,833 $ 26,540,953 30—89 days delinquent $ 226,447 $ 179,144 90—180 days delinquent $ 32,852 $ 101,114 180 or more days delinquent $ 15,520 $ 5,146 Foreclosure $ 9,339 $ 5,463 Bankruptcy $ 21,315 $ 13,572 Carrying value of CRT Agreements: Derivative assets $ 126,354 $ 98,640 Deposits securing CRT agreements $ 662,624 $ 588,867 Interest-only security payable at fair value $ 8,821 $ 7,070 CRT Agreement assets pledged to secure Assets sold under agreements to repurchase : Deposits securing CRT Agreements $ 378,090 $ 400,778 Derivative assets $ 27,710 $ 26,058 Commitments to fund Deposits securing credit risk transfer agreements $ 578,508 $ 482,471 Effective in June 2018, the Company began selling mortgage loans subject to agreements that require the Company to purchase securities that absorb credit losses on such mortgage loans. The Company has elected to account for the firm commitments to purchase such securities at fair value. The Company recognizes these purchase commitments initially as a component of Gain on sale of mortgage loans Net gain (loss) on investments Following is a summary of activity under these purchase commitments during the quarter and nine months ended September 30, 2018: Periods ended September 30, 2018 Quarter Nine months (in thousands) UPB of mortgage loans sold $ 6,773,336 $ 8,308,708 Fair value of firm commitment recognized in Gain on sale of mortgage loans $ 12,311 $ 16,737 Gains recognized on CRT Agreements included in Net gain (loss) on investments $ 2,012 $ 2,012 Increase in face amount of firm commitment to purchase securities backed by mortgage loans sold $ 236,875 $ 294,698 September 30, 2018 (in thousands) Firm commitment to purchase CRT securities $ 294,698 Fair value of firm commitment $ 18,749 UPB of mortgage loans sold subject to firm commitment to purchase securities related to such loans $ 8,097,660 Collection status (in UPB): Current $ 8,073,018 30—89 days delinquent $ 24,439 90—180 days delinquent $ 203 180 or more days delinquent $ — Foreclosure $ — Bankruptcy $ — 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 fair value of the certificates retained by the Company was $14.1 million and $9.7 million as of September 30, 2018 and December 31, 2017, respectively. The Company includes the balance of certificates issued to nonaffiliates in Asset backed financing of a variable interest entity at fair value |
Fair Value
Fair Value | 9 Months Ended |
Sep. 30, 2018 | |
Fair Value Disclosures [Abstract] | |
Fair Value | Note 7—Fair Value The Company’s consolidated financial statements include assets and liabilities that are measured based on their fair values. Measurement at fair value may be on a recurring or nonrecurring basis depending on the accounting principles applicable to the specific asset or liability and whether the Manager has elected to carry the item at its fair value as discussed in the following paragraphs. The Company groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the inputs used to determine fair value. These levels are: • Level 1—Quoted prices in active markets for identical assets or liabilities. • Level 2—Prices determined or determinable using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the Company. These may include quoted prices for similar assets or liabilities, interest rates, prepayment speeds, credit risk and other inputs. • Level 3—Prices determined using significant unobservable inputs. In situations where significant observable inputs are unavailable, unobservable inputs may be used. Unobservable inputs reflect the Company’s own judgments about the factors that market participants use in pricing 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. Such differences may result in significantly different fair value measurements. 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, firm commitment to purchase credit risk transfer securities and MSRs 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. Before January 1, 2018, originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5% were accounted for using the amortization method. Beginning January 1, 2018, the Company elected to account for all MSRs at fair value prospectively. The Manager determined that this change makes the accounting treatment for MSRs consistent with lender valuation under financing arrangements and simplifies hedging activities. 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 the assets at fair value collateralizing these financings. For other borrowings, the Manager has determined that historical cost accounting is more appropriate because under this method debt issuance costs are amortized over the term of the debt facility, 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, 2018 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 26,736 $ — $ — $ 26,736 Mortgage-backed securities at fair value — 2,126,507 — 2,126,507 Mortgage loans acquired for sale at fair value — 1,942,335 7,097 1,949,432 Mortgage loans at fair value — 292,174 340,994 633,168 Excess servicing spread purchased from PFSI — — 223,275 223,275 Derivative assets: Interest rate lock commitments — — 2,317 2,317 CRT Agreements — — 126,354 126,354 Repurchase agreement derivatives — — 9,415 9,415 Forward purchase contracts — 1,761 — 1,761 Forward sale contracts — 19,238 — 19,238 MBS call options — 7 — 7 MBS put options — 2,302 — 2,302 Put options on interest rate futures 141 — — 141 Total derivative assets before netting 141 23,308 138,086 161,535 Netting — — — (17,958 ) Total derivative assets after netting 141 23,308 138,086 143,577 Firm commitment to purchase credit risk transfer security at fair value — — 18,749 18,749 Mortgage servicing rights at fair value — — 1,109,741 1,109,741 $ 26,877 $ 4,384,324 $ 1,837,942 $ 6,231,185 Liabilities: Asset-backed financing of a VIE at fair value $ — $ 278,113 $ — $ 278,113 Interest-only security payable at fair value — — 8,821 8,821 Derivative liabilities: Interest rate lock commitments — — 3,418 3,418 Forward purchase contracts — 11,964 — 11,964 Forward sales contracts — 1,719 — 1,719 Total derivative liabilities before netting — 13,683 3,418 17,101 Netting — — — (5,221 ) Total derivative liabilities after netting — 13,683 3,418 11,880 $ — $ 291,796 $ 12,239 $ 298,814 December 31, 2017 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 18,398 $ — $ — $ 18,398 Mortgage-backed securities at fair value — 989,461 — 989,461 Mortgage loans acquired for sale at fair value — 1,261,380 8,135 1,269,515 Mortgage loans at fair value — 321,040 768,433 1,089,473 Excess servicing spread purchased from PFSI — — 236,534 236,534 Derivative assets: Interest rate lock commitments — — 4,859 4,859 CRT Agreements — — 98,640 98,640 Repurchase agreement derivatives — — 3,748 3,748 Forward purchase contracts — 4,343 — 4,343 Forward sale contracts — 387 — 387 MBS put options — 3,170 — 3,170 Put options on interest rate futures 656 — — 656 Total derivative assets before netting 656 7,900 107,247 115,803 Netting — — — (1,922 ) Total derivative assets after netting 656 7,900 107,247 113,881 Mortgage servicing rights at fair value — — 91,459 91,459 $ 19,054 $ 2,579,781 $ 1,211,808 $ 3,808,721 Liabilities: Asset-backed financing of a VIE at fair value $ — $ 307,419 $ — $ 307,419 Interest-only security payable at fair value — — 7,070 7,070 Derivative liabilities: Interest rate lock commitments — — 227 227 Forward purchase contracts — 248 — 248 Forward sales contracts — 2,830 — 2,830 Total derivative liabilities before netting — 3,078 227 3,305 Netting — — — (1,999 ) Total derivative liabilities after netting — 3,078 227 1,306 $ — $ 310,497 $ 7,297 $ 315,795 The following is a summary of changes in items measured at fair value on a recurring basis using Level 3 inputs that are significant to the estimation of the fair values of the assets and liabilities at either the beginning or end of the years presented: Quarter ended September 30, 2018 Mortgage loans acquired for sale at fair value Mortgage loans at fair value Excess servicing spread Interest rate lock commitments (1) CRT Agreements Repurchase agreement derivatives Firm commitment to purchase CRT security Mortgage servicing rights Total (in thousands) Assets: Balance, June 30, 2018 $ 6,540 $ 447,473 $ 229,470 $ 2,807 $ 119,169 $ 6,912 $ 4,426 $ 1,010,507 $ 1,827,304 Purchases and issuances 2,640 — — (3,699 ) — 5,671 — — 4,612 Repayments and sales (2,481 ) (98,622 ) (11,543 ) — (23,367 ) (3,131 ) — (100 ) (139,244 ) Capitalization of interest — 2,297 3,740 — — — — — 6,037 Capitalization of advances — 1,373 — — — — — — 1,373 ESS received pursuant to a recapture agreement with PFSI — — 499 — — — — — 499 Amounts received as proceeds from sales of mortgage loans — — — — — — 12,311 96,383 108,694 Changes in fair value included in income arising from: Changes in instrument- specific credit risk — 4,407 — — — — — — 4,407 Other factors (324 ) (7,458 ) 1,109 (4,001 ) 30,552 (37 ) 2,012 2,951 24,804 (324 ) (3,051 ) 1,109 (4,001 ) 30,552 (37 ) 2,012 2,951 29,211 Transfers of mortgage loans to REO and real estate held for investment — (8,476 ) — — — — — — (8,476 ) Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" (2) 722 — — — — — — — 722 Transfers of interest rate lock commitments to mortgage loans acquired for sale — — — 3,792 — — — — 3,792 Balance, September 30, 2018 $ 7,097 $ 340,994 $ 223,275 $ (1,101 ) $ 126,354 $ 9,415 $ 18,749 $ 1,109,741 $ 1,834,524 Changes in fair value recognized during the quarter relating to assets still held at September 30, 2018 $ (257 ) $ (6,711 ) $ 1,109 $ (1,101 ) $ 7,185 $ — $ 2,012 $ 2,951 $ 5,188 (1) For the purpose of this table, the interest rate lock commitment (“IRLC”) asset and liability positions are shown net. (2) During the quarter ended September 30, 2018, the Manager identified certain “Level 2” fair value mortgage loans acquired for sale that were not saleable into the prime mortgage market and therefore transferred them to “Level 3”. Quarter ended September 30, 2018 Interest-only security payable (in thousands) Liabilities: Balance, June 30, 2018 $ 7,652 Changes in fair value included in income arising from: Changes in instrument-specific credit risk — Other factors 1,169 1,169 Balance, September 30, 2018 $ 8,821 Changes in fair value recognized during the quarter relating to liability outstanding at September 30, 2018 $ 1,169 Quarter ended September 30, 2017 Mortgage loans at fair value Excess servicing spread Interest rate lock commitments (1) CRT Agreements Repurchase agreement derivatives Mortgage servicing 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 Amounts 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 quarter 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 quarter relating to liability outstanding at September 30, 2017 $ (191 ) Nine months ended September 30, 2018 Mortgage loans acquired for sale at fair value Mortgage loans at fair value Excess servicing spread Interest rate lock commitments (1) CRT Agreements Repurchase agreement derivatives Firm commitment to purchase CRT security Mortgage servicing rights Total (in thousands) Assets: Balance, December 31, 2017 $ 8,135 $ 768,433 $ 236,534 $ 4,632 $ 98,640 $ 3,748 $ — $ 91,459 $ 1,211,581 Cumulative effect of a change in accounting principle — Adoption of fair value accounting for mortgage servicing rights — — — — — — — 773,035 773,035 Balance, January 1, 2018 8,135 768,433 236,534 4,632 98,640 3,748 — 864,494 1,984,616 Purchases and issuances 8,243 — — 2,140 — 11,411 — — 21,794 Repayments and sales (10,441 ) (381,646 ) (35,852 ) — (64,907 ) (5,626 ) — (100 ) (498,572 ) Capitalization of interest — 6,543 11,584 — — — — — 18,127 Capitalization of advances — 4,733 — — — — — — 4,733 ESS received pursuant to a recapture agreement with PFSI — — 1,983 — — — — — 1,983 Amounts received as proceeds from sales of mortgage loans — — — — — — 16,737 228,337 245,074 Changes in fair value included in income arising from: Changes in instrument- specific credit risk — 6,864 — — — — — — 6,864 Other factors (176 ) (24,566 ) 9,026 (28,571 ) 92,621 (118 ) 2,012 17,010 67,238 (176 ) (17,702 ) 9,026 (28,571 ) 92,621 (118 ) 2,012 17,010 74,102 Transfers of mortgage loans to REO and real estate held for investment — (39,367 ) — — — — — — (39,367 ) Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" (2) 1,336 — — — — — — — 1,336 Transfers of interest rate lock commitments to mortgage loans acquired for sale — — — 20,698 — — — — 20,698 Balance, September 30, 2018 $ 7,097 $ 340,994 $ 223,275 $ (1,101 ) $ 126,354 $ 9,415 $ 18,749 $ 1,109,741 $ 1,834,524 Changes in fair value recognized during the period relating to assets still held at September 30, 2018 $ (330 ) $ (18,170 ) $ 9,026 $ (1,101 ) $ 27,714 $ 77 $ 2,012 $ 17,010 $ 36,238 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. (2) During the nine months ended September 30, 2018, the Manager identified certain “Level 2” fair value mortgage loans acquired for sale that were not saleable into the prime mortgage market and therefore transferred them to “Level 3”. Nine months ended September 30, 2018 Interest-only security payable (in thousands) Liabilities: Balance, December 31, 2017 $ 7,070 Changes in fair value included in income arising from: Changes in instrument- specific credit risk — Other factors 1,751 1,751 Balance, September 30, 2018 $ 8,821 Changes in fair value recognized during the period relating to liability outstanding at September 30, 2018 $ 1,751 Nine months ended September 30, 2017 Mortgage loans at fair value Excess servicing spread Interest rate lock commitments (1) CRT Agreements Repurchase agreement derivatives Mortgage servicing 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 Amounts 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 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 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, 2018 December 31, 2017 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 $ 1,949,285 $ 1,900,556 $ 48,729 $ 1,268,121 $ 1,221,125 $ 46,996 90 or more days delinquent: Not in foreclosure 147 187 (40 ) 950 1,120 (170 ) In foreclosure — — — 444 496 (52 ) 147 187 (40 ) 1,394 1,616 (222 ) $ 1,949,432 $ 1,900,743 $ 48,689 $ 1,269,515 $ 1,222,741 $ 46,774 Mortgage loans at fair value: Mortgage loans held in a consolidated VIE: Current through 89 days delinquent $ 292,174 $ 299,843 $ (7,669 ) $ 321,040 $ 316,684 $ 4,356 90 or more days delinquent: Not in foreclosure — — — — — — In foreclosure — — — — — — — — — — — — 292,174 299,843 (7,669 ) 321,040 316,684 4,356 Distressed mortgage loans at fair value: Current through 89 days delinquent 200,176 261,808 (61,632 ) 414,785 519,009 (104,224 ) 90 or more days delinquent: Not in foreclosure 66,791 113,308 (46,517 ) 166,749 257,038 (90,289 ) In foreclosure 74,027 113,067 (39,040 ) 186,899 267,911 (81,012 ) 140,818 226,375 (85,557 ) 353,648 524,949 (171,301 ) 340,994 488,183 (147,189 ) 768,433 1,043,958 (275,525 ) $ 633,168 $ 788,026 $ (154,858 ) $ 1,089,473 $ 1,360,642 $ (271,169 ) 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, 2018 Net mortgage loan servicing fees Net gain on mortgage loans acquired for sale Net gain (loss) on investments Net interest income Total (in thousands) Assets: Short-term investments at fair value $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — — (19,030 ) (1,229 ) (20,259 ) Mortgage loans acquired for sale at fair value — 751 — — 751 Mortgage loans at fair value — — (6,681 ) 2,458 (4,223 ) ESS at fair value — — 1,109 3,740 4,849 Firm commitment to purchase credit risk transfer security at fair value — 12,311 2,012 — 14,323 MSRs at fair value 2,951 — — — 2,951 $ 2,951 $ 13,062 $ (22,590 ) $ 4,969 $ (1,608 ) Liabilities: Interest-only security payable at fair value $ — $ — $ (1,169 ) $ — $ (1,169 ) Asset-backed financing of a VIE at fair value — — 3,516 (201 ) 3,315 $ — $ — $ 2,347 $ (201 ) $ 2,146 Quarter ended September 30, 2017 Net mortgage loan servicing fees Net gain on mortgage loans acquired for sale Net gain (loss) on investments Net interest income Total (in thousands) Assets: Short-term investments at fair value $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — — 5,001 (1,481 ) 3,520 Mortgage loans acquired for sale at fair value — 32,935 — — 32,935 Mortgage loans at fair value — — 5,415 7,617 13,032 ESS at fair value — — (4,828 ) 3,998 (830 ) MSRs at fair value (3,977 ) — — — (3,977 ) $ (3,977 ) $ 32,935 $ 5,588 $ 10,134 $ 44,680 Liabilities: Interest-only security payable at fair value $ — $ — $ 191 $ — $ 191 Asset-backed financing of a VIE at fair value — — (2,158 ) (735 ) (2,893 ) $ — $ — $ (1,967 ) $ (735 ) $ (2,702 ) Nine months ended September 30, 2018 Net mortgage loan servicing fees Net gain on mortgage loans acquired for sale Net gain (loss) on investments Net interest income Total (in thousands) Assets: Short-term investments at fair value $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — — (50,288 ) (2,623 ) (52,911 ) Mortgage loans acquired for sale at fair value — (27,397 ) — — (27,397 ) Mortgage loans at fair value — — (29,694 ) 6,509 (23,185 ) ESS at fair value — — 9,026 11,584 20,610 Firm commitment to purchase credit risk transfer security at fair value — 16,737 2,012 — 18,749 MSRs at fair value 17,010 — — — 17,010 $ 17,010 $ (10,660 ) $ (68,944 ) $ 15,470 $ (47,124 ) Liabilities: Interest-only security payable at fair value $ — $ — $ (1,751 ) $ — $ (1,751 ) Asset-backed financing of a VIE at fair value — — 12,658 (74 ) 12,584 $ — $ — $ 10,907 $ (74 ) $ 10,833 Nine months ended September 30, 2017 Net mortgage loan servicing fees Net gain on mortgage loans acquired for sale Net gain (loss) on investments Net interest income Total (in thousands) Assets: Short-term investments at fair value $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — — 9,168 (4,276 ) 4,892 Mortgage loans acquired for sale at fair value — 83,839 — — 83,839 Mortgage loans at fair value — — 13,832 29,195 43,027 ESS at fair value — — (14,757 ) 13,011 (1,746 ) MSRs at fair value (10,370 ) — — — (10,370 ) $ (10,370 ) $ 83,839 $ 8,243 $ 37,930 $ 119,642 Liabilities: Interest-only security payable at fair value $ — $ — $ (2,272 ) $ — $ (2,272 ) Asset-backed financing of a VIE at fair value — — (5,581 ) (1,807 ) (7,388 ) $ — $ — $ (7,853 ) $ (1,807 ) $ (9,660 ) Financial Statement Items Measured at Fair Value on a Nonrecurring Basis Following is a summary of the carrying value at year end for financial statement items that were re-measured at fair value on a nonrecurring basis during the periods presented: September 30, 2018 Level 1 Level 2 Level 3 Total (in thousands) Real estate acquired in settlement of loans $ — $ — $ 37,722 $ 37,722 $ — $ — $ 37,722 $ 37,722 December 31, 2017 Level 1 Level 2 Level 3 Total (in thousands) Real estate acquired in settlement of loans $ — $ — $ 71,380 $ 71,380 MSRs at lower of amortized cost or fair value — — 312,995 312,995 $ — $ — $ 384,375 $ 384,375 The following table summarizes the fair value changes recognized during the period on assets held at period end that were remeasured at fair value on a nonrecurring basis: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Real estate asset acquired in settlement of loans $ (2,285 ) $ (5,666 ) $ (6,209 ) $ (7,454 ) MSRs at lower of amortized cost or fair value — (1,702 ) — (4,287 ) $ (2,285 ) $ (7,368 ) $ (6,209 ) $ (11,741 ) 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. 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 Before the Company adopted fair value accounting for all of its existing classes of MSRs on January 1, 2018, the Manager evaluated the Company’s 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 stratified 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 were 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 were evaluated in a single pool. If the fair value of MSRs in any of the interest rate pools was below the amortized cost of the MSRs, those MSRs were impaired. When MSRs were impaired, the change in impairment was recognized in current-period income and the carrying value of the MSRs was adjusted using a valuation allowance. If the fair value of the MSRs subsequently increased, the increase in fair value was recognized in current period income only to the extent of the valuation allowance for the respective impairment stratum. The Manager periodically reviewed the various impairment strata to determine whether the fair value of the impaired MSRs in a given stratum was likely to recover. When the Manager deemed 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 was charged to the valuation allowance. Fair Value of Financial Instruments Carried at Amortized Cost Most 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 Exchangeable senior notes, Notes payable 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 Governance 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 non-IRLC “Level 3” valuations, the FAV group reports to the Company’s senior management valuation committee, which oversees the valuations. The FAV group monitors the models used for valuation of the Company’s “Level 3” fair value assets and liabilities, including the models’ performance versus actual results, and reports those results to the Company’s senior management valuation committee. The Company’s senior management valuation committee includes the Company’s executive chairman, chief executive, chief financial, chief risk and deputy chief financial officers. The FAV group is responsible for reporting to the Manager’s valuation committee 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. Valuation Techniques and Inputs 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 holdings 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 most of the Company’s mortgage loans acquired for sale at fair value and all of the 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 primarily 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 the Company’s “Level 3” mortgage loans at fair value: Key inputs (1) September 30, 2018 December 31, 2017 Discount rate Range 2.8% – 16.7% 2.9% – 15.0% Weighted average 7.3% 6.9% Twelve-month projected housing price index change Range 3.5% – 4.4% 3.6% – 4.6% Weighted average 4.1% 4.4% Prepayment speed (2) Range 2.5% – 8.1% 3.2% – 11.0% Weighted average 4.1% 4.2% Total prepayment speed (3) Range 10.4% – 22.3% 10.8% – 23.8% Weighted average 15.6% 16.5% (1) Weighted-average inputs are based on fair value amounts of the mortgage loans. (2) Prepayment speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”). (3) 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 pricing spread (discount rate) and prepayment speed. 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. Changes in the fair value of ESS are included in Net gain (loss) on investments in the consolidated statements of income. Following are the key inputs used in determining the fair value of ESS: Key inputs (1) September 30, 2018 December 31, 2017 UPB of underlying mortgage loans (in thousands) $ 24,058,366 $ 27,217,199 Average servicing fee rate (in basis points) 34 34 Average ESS rate (in basis points) 19 19 Pricing spread (2) Range 3.4% - 3.9% 3.8% - 4.3% Weighted average 3.7% 4.1% Annual total prepayment speed (3) R |
Mortgage Backed Securities
Mortgage Backed Securities | 9 Months Ended |
Sep. 30, 2018 | |
Mortgage Backed Securities [Abstract] | |
Mortgage Backed Securities | Note 8—Mortgage Backed Securities Following is a summary of MBS: September 30, 2018 December 31, 2017 Principal balance Net premiums Accumulated valuation changes Fair value Principal balance Net premiums Accumulated valuation changes Fair value (in thousands) Agency: (1) Fannie Mae $ 1,592,192 $ 40,413 $ (46,691 ) $ 1,585,914 $ 774,473 $ 30,355 $ (7,975 ) $ 796,853 Freddie Mac 543,239 6,963 (9,609 ) 540,593 187,127 3,518 1,963 192,608 $ 2,135,431 $ 47,376 $ (56,300 ) $ 2,126,507 $ 961,600 $ 33,873 $ (6,012 ) $ 989,461 (1) All MBS are fixed-rate pass-through securities. All MBS are pledged to secure Assets sold under agreements to repurchase |
Mortgage Loans Acquired for Sal
Mortgage Loans Acquired for Sale at Fair Value | 9 Months Ended |
Sep. 30, 2018 | |
Mortgage Loans On Real Estate [Abstract] | |
Mortgage Loans Acquired for Sale at Fair Value | Note 9—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, 2018 December 31, 2017 (in thousands) Agency-eligible $ 1,708,928 $ 971,910 Held for sale to PLS — Government insured or guaranteed 217,334 279,571 Commercial real estate 8,500 9,898 Jumbo 7,573 — Repurchased pursuant to representations and warranties 7,097 8,136 $ 1,949,432 $ 1,269,515 Mortgage loans pledged to secure: Assets sold under agreements to repurchase $ 1,898,155 $ 1,201,992 Mortgage loan participation purchase and sale agreements 32,392 47,285 $ 1,930,547 $ 1,249,277 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 sellers 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, 2018 | |
Text Block [Abstract] | |
Mortgage Loans at Fair Value | Note 10—Mortgage Loans at Fair Value Mortgage loans at fair value are comprised of mortgage loans that are not acquired for sale and, to the extent they are not held in a VIE securing an asset-backed financing, may be sold at a later date pursuant to the Manager’s determination that such a sale represents the most advantageous disposition strategy for the identified mortgage loan. Following is a summary of the distribution of the Company’s mortgage loans at fair value: September 30, 2018 December 31, 2017 Loan type Fair value Unpaid principal balance Fair value Unpaid principal balance (in thousands) Distressed mortgage loans: Nonperforming mortgage loans $ 140,818 $ 226,375 $ 353,648 $ 524,949 Performing mortgage loans: Interest rate step-up 125,063 170,066 189,724 242,335 Fixed interest rate 58,179 73,769 186,929 236,840 Adjustable-rate/hybrid 16,934 17,973 38,132 39,834 200,176 261,808 414,785 519,009 340,994 488,183 768,433 1,043,958 Fixed interest rate jumbo mortgage loans held in a VIE 292,174 299,843 321,040 316,684 $ 633,168 $ 788,026 $ 1,089,473 $ 1,360,642 Mortgage loans at fair value pledged to secure: Assets sold under agreements to repurchase $ 332,093 $ 760,853 Asset-backed financing of a VIE at fair value 292,174 321,040 $ 624,267 $ 1,081,893 Following is a summary of certain concentrations of credit risk in the portfolio of distressed mortgage loans at fair value: Concentration September 30, 2018 December 31, 2017 (percentages are of fair value) Portion of mortgage loans originated between 2005 and 2007 71% 73% Mortgage loans with unpaid-principal balance-to-current -property-value in excess of 100% 31% 38% States contributing 5% or more of mortgage loans New York California Florida New Jersey New York California New Jersey Florida Massachusetts |
Derivative Activities
Derivative Activities | 9 Months Ended |
Sep. 30, 2018 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
Derivative Activities | Note 11—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 as part of the retention of an IO 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 master repurchase agreement is subject to a rolling six-month term through August 18, 2019, unless terminated earlier by the lender. There can be no assurance that the lender will not terminate this agreement before its stated maturity. 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 mortgage interest rate decreases generally encourage 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 inventory of mortgage loans acquired for sale, mortgage loans held in a VIE, IRLCs, MSRs and MBS financing. 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, 2018 December 31, 2017 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 1,682,007 $ 2,317 $ 3,418 1,250,803 $ 4,859 $ 227 CRT Agreements 30,648,306 126,354 — 26,845,392 98,640 — Repurchase agreement derivatives 9,415 — 3,748 — Subject to master netting agreements ─ for hedging purposes: Forward purchase contracts 3,350,125 1,761 11,964 1,996,235 4,343 248 Forward sale contracts 5,124,927 19,238 1,719 2,565,271 387 2,830 MBS put options 2,600,000 2,302 — 2,375,000 3,170 — MBS call options 750,000 7 — — — — Put options on interest rate futures 100,000 141 — 550,000 656 — Swap futures — — — 275,000 — — Bond futures 815,000 — — — — — Eurodollar future sale contracts 30,000 — — 937,000 — — Total derivative instruments before netting 161,535 17,101 115,803 3,305 Netting (17,958 ) (5,221 ) (1,922 ) (1,999 ) $ 143,577 $ 11,880 $ 113,881 $ 1,306 Margin deposits placed with (from) derivatives counterparties included in Other $ (12,736 ) $ 76 Derivative assets pledged to secure Assets sold under agreements to repurchase $ 27,710 $ 26,058 The following tables summarize the notional amount activity for derivative contracts used to hedge the Company’s MBS financing, inventory of mortgage loans acquired for sale, mortgage loans at fair value held in a VIE, IRLCs and MSRs. Quarter ended September 30, 2018 Amount, Amount, beginning Dispositions/ end Instrument of quarter Additions expirations of quarter (in thousands) Forward purchase contracts 2,628,934 26,864,290 (26,143,099 ) 3,350,125 Forward sales contracts 3,793,355 36,205,542 (34,873,970 ) 5,124,927 MBS put options 1,550,000 1,050,000 — 2,600,000 MBS call options — 750,000 — 750,000 Call options on interest rate futures 50,000 200,000 (250,000 ) — Put options on interest rate futures 600,000 1,300,000 (1,800,000 ) 100,000 Bond futures 815,000 2,205,000 (2,205,000 ) 815,000 Eurodollar future sale contracts 35,000 5,000 (10,000 ) 30,000 Quarter ended September 30, 2017 Amount, Amount, beginning Dispositions/ end Instrument of quarter Additions expirations of quarter (in thousands) 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 sale 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 ) — Nine months ended September 30, 2018 Amount, Amount, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) Forward purchase contracts 1,996,235 67,406,528 (66,052,638 ) 3,350,125 Forward sales contracts 2,565,271 88,131,417 (85,571,761 ) 5,124,927 MBS put options 2,375,000 9,625,000 (9,400,000 ) 2,600,000 MBS call options — 750,000 — 750,000 Call options on interest rate futures — 525,000 (525,000 ) — Put options on interest rate futures 550,000 11,700,000 (12,150,000 ) 100,000 Swap futures 275,000 — (275,000 ) — Bond futures — 3,020,000 (2,205,000 ) 815,000 Eurodollar future sale contracts 937,000 119,597 (1,026,597 ) 30,000 Nine months ended September 30, 2017 Amount, Amount, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) Forward purchase contracts 4,840,707 54,953,063 (58,195,358 ) 1,598,412 Forward sales contracts 6,148,242 73,030,446 (76,369,841 ) 2,808,847 MBS put options 925,000 5,125,000 (4,925,000 ) 1,125,000 MBS call option 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 ) — Netting of Financial Instruments The Company has elected to net derivative asset and liability positions, and cash collateral placed with or received from 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, CRT Agreement derivatives and repurchase agreement derivatives. As of September 30, 2018 and December 31, 2017, 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, 2018 December 31, 2017 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 $ 2,317 $ — $ 2,317 $ 4,859 $ — $ 4,859 CRT Agreement derivatives 126,354 — 126,354 98,640 — 98,640 Repurchase agreement derivatives 9,415 — 9,415 3,748 — 3,748 138,086 — 138,086 107,247 — 107,247 Subject to master netting arrangements: Forward purchase contracts 1,761 — 1,761 4,343 — 4,343 Forward sale contracts 19,238 — 19,238 387 — 387 MBS call options 7 — 7 — — — MBS put options 2,302 — 2,302 3,170 — 3,170 Put options on interest rate futures 141 — 141 656 — 656 Netting — (17,958 ) (17,958 ) — (1,922 ) (1,922 ) 23,449 (17,958 ) 5,491 8,556 (1,922 ) 6,634 $ 161,535 $ (17,958 ) $ 143,577 $ 115,803 $ (1,922 ) $ 113,881 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, 2018 December 31, 2017 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 $ 126,354 $ — $ — $ 126,354 $ 98,640 $ — $ — $ 98,640 Interest rate lock commitments 2,317 — — 2,317 4,859 — — 4,859 Deutsche Bank Securities LLC 9,415 — — 9,415 3,748 — — 3,748 Citigroup Global Markets Inc. 2,116 — — 2,116 429 — — 429 Wells Fargo Securities, LLC 950 — — 950 146 — — 146 J.P. Morgan Securities LLC 637 — — 637 2,020 — — 2,020 Bank of America, N.A. 627 — — 627 — — — — Goldman Sachs 558 — — 558 — — — — RJ O’Brien & Associates, LLC 141 — — 141 656 — — 656 Federal National Mortgage Association 9 — — 9 1,606 — — 1,606 Credit Suisse Securities (USA) LLC — — — — 809 — — 809 Morgan Stanley & Co. LLC — — — — 457 — — 457 Other 453 — — 453 511 — — 511 $ 143,577 $ — $ — $ 143,577 $ 113,881 $ — $ — $ 113,881 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, 2018 December 31, 2017 Gross amounts of recognized liabilities Gross amounts offset in the consolidated balance sheet Net amounts of liabilities presented in the consolidated balance sheet Gross amounts of recognized liabilities Gross amounts offset in the consolidated balance sheet Net amounts of liabilities presented in the consolidated balance sheet (in thousands) Derivative liabilities: Not subject to master netting arrangements: Interest rate lock commitments $ 3,418 $ — $ 3,418 $ 227 $ — $ 227 3,418 — 3,418 227 — 227 Subject to master netting arrangements: Forward purchase contracts 11,964 — 11,964 248 — 248 Forward sales contracts 1,719 — 1,719 2,830 — 2,830 Netting — (5,221 ) (5,221 ) — (1,999 ) (1,999 ) 13,683 (5,221 ) 8,462 3,078 (1,999 ) 1,079 17,101 (5,221 ) 11,880 3,305 (1,999 ) 1,306 Assets sold under agreements to repurchase: UPB 4,394,597 — 4,394,597 3,182,504 — 3,182,504 Unamortized debt issuance costs (97 ) — (97 ) (1,618 ) — (1,618 ) 4,394,500 — 4,394,500 3,180,886 — 3,180,886 $ 4,411,601 $ (5,221 ) $ 4,406,380 $ 3,184,191 $ (1,999 ) $ 3,182,192 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, 2018 December 31, 2017 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 $ 3,418 $ — $ — $ 3,418 $ 227 $ — $ — $ 227 Bank of America, N.A. 1,424,559 (1,424,559 ) — — 839,057 (838,771 ) — 286 Deutsche Bank Securities LLC 701,294 (701,294 ) — — 374,526 (374,526 ) — — Credit Suisse Securities (USA) LLC 683,565 (683,339 ) — 226 845,567 (845,567 ) — — J.P. Morgan Securities LLC 448,773 (448,773 ) — — 373,186 (373,186 ) — — Mizuho Securities 276,791 (276,791 ) — — — — — — Daiwa Capital Markets 262,985 (262,940 ) — 45 153,833 (153,730 ) — 103 Morgan Stanley & Co. LLC 224,035 (223,627 ) — 408 164,530 (164,530 ) — — Citigroup Global Markets Inc. 118,762 (116,091 ) — 2,671 235,541 (235,319 ) — 222 RBC Capital Markets, L.P. 95,027 (95,027 ) — — 92,014 (91,805 ) — 209 BNP Paribas 91,062 (91,062 ) — — 45,411 (45,411 ) — — Wells Fargo Securities, LLC 71,094 (71,094 ) — — 50,360 (50,360 ) — — Federal National Mortgage Association 4,350 — — 4,350 — — — — Barclays Capital Inc. 270 — — 270 9,374 (9,299 ) — 75 Other 492 — — 492 184 — — 184 Unamortized debt issuance costs (97 ) 97 — — (1,618 ) 1,618 — — $ 4,406,380 $ (4,394,500 ) $ — $ 11,880 $ 3,182,192 $ (3,180,886 ) $ — $ 1,306 Following are the net gains (losses) recognized by the Company on derivative financial instruments and the consolidated statements of income line items where such gains and losses are included: Quarter ended September 30, Nine months ended September 30, Derivative activity Income statement line 2018 2017 2018 2017 (in thousands) Interest rate lock commitments Net gain on mortgage loans acquired for sale $ (7,700 ) $ 24,694 $ (26,431 ) $ 70,131 CRT agreements Net gain (loss) on investments $ 30,552 $ 14,960 $ 92,621 $ 68,863 Repurchase agreement derivatives Interest expense $ (37 ) $ — $ (118 ) $ — Hedged item: Interest rate lock commitments and mortgage loans acquired for sale Net gain on mortgage loans acquired for sale $ 15,584 $ (16,943 ) $ 56,818 $ (32,308 ) Mortgage servicing rights Net mortgage loan servicing fees $ (12,093 ) $ 4,576 $ (44,378 ) $ (1,731 ) Fixed-rate assets and LIBOR- indexed repurchase agreements Net gain (loss) on investments $ 691 $ (5,910 ) $ 1,029 $ (14,943 ) |
Real Estate Acquired in Settlem
Real Estate Acquired in Settlement of Loans | 9 Months Ended |
Sep. 30, 2018 | |
Banking And Thrift [Abstract] | |
Real Estate Acquired in Settlement of Loans | Note 12—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, 2018 2017 2018 2017 (in thousands) Balance at beginning of period $ 109,271 $ 207,034 $ 162,865 $ 274,069 Transfers: From mortgage loans at fair value and advances 7,508 22,951 26,229 76,981 To real estate held for investment (559 ) (2,555 ) (4,123 ) (14,300 ) From real estate held for investment 655 — 1,112 — Results of REO: Valuation adjustments, net (3,323 ) (6,423 ) (13,990 ) (21,749 ) Gain on sale, net 3,013 3,280 8,157 10,895 (310 ) (3,143 ) (5,833 ) (10,854 ) Sales (20,960 ) (39,253 ) (84,645 ) (140,862 ) Balance at end of period $ 95,605 $ 185,034 $ 95,605 $ 185,034 September 30, 2018 December 31, 2017 (in thousands) REO pledged to secure assets sold under agreements to repurchase $ 43,970 $ 76,037 REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties 25,429 48,495 $ 69,399 $ 124,532 |
Mortgage Servicing Rights
Mortgage Servicing Rights | 9 Months Ended |
Sep. 30, 2018 | |
Text Block [Abstract] | |
Mortgage Servicing Rights | Note 13—Mortgage Servicing Rights Carried at Fair Value: Following is a summary of MSRs carried at fair value: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Balance at beginning of period $ 1,010,507 $ 77,624 $ 91,459 $ 64,136 Transfer of mortgage servicing rights from mortgage servicing rights carried at lower of amortized cost or fair value pursuant to a change in accounting principle — — 773,035 — Balance after reclassification 1,010,507 77,624 864,494 64,136 Purchases — 10 — 79 Sales (100 ) — (100 ) — MSRs resulting from mortgage loan sales 96,383 8,655 228,337 28,467 Changes in fair value: Due to changes in valuation inputs used in valuation model (1) 33,004 (2,628 ) 101,699 (6,956 ) Other changes in fair value (2) (30,053 ) (1,349 ) (84,689 ) (3,414 ) 2,951 (3,977 ) 17,010 (10,370 ) Balance at end of period $ 1,109,741 $ 82,312 $ 1,109,741 $ 82,312 September 30, 2018 December 31, 2017 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and (3) $ 1,090,406 $ 90,284 (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. (3) During 2018, beneficial interests in Fannie Mae MSRs are pledged as collateral for both Assets sold under agreements to repurchase Notes payable Notes Payable 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 2018 2017 (in thousands) Amortized Cost: Balance at beginning of period $ 673,433 $ 772,870 $ 606,103 Transfer of mortgage servicing right to mortgage servicing rights carried at fair value pursuant to a change in accounting principle — (772,870 ) — Balance after reclassification 673,433 — 606,103 MSRs resulting from mortgage loan sales 74,183 — 178,894 Amortization (21,634 ) — (59,015 ) Balance at end of period 725,982 — 725,982 Valuation Allowance: Balance at beginning of period (16,257 ) (19,548 ) (13,672 ) Reduction resulting from change in accounting principle — 19,548 — Balance after reclassification (16,257 ) — (13,672 ) Additions to valuation allowance (1,702 ) — (4,287 ) Balance at end of period (17,959 ) — (17,959 ) MSRs, net $ 708,023 $ — $ 708,023 Fair value at beginning of period $ 682,437 $ 626,334 Fair value at end of period $ 728,828 December 31, 2017 (in thousands) MSRs carried at lower of cost or fair value pledged to secure: Assets sold under agreements to repurchase $ 584,762 Notes payable 156,846 $ 741,608 Servicing fees relating to MSRs are recorded in Net mortgage loan servicing fees Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Contractually-specified servicing fees $ 49,864 $ 42,237 $ 147,262 $ 119,223 Ancillary and other fees: Late charges 252 173 685 536 Other 2,859 1,870 5,988 4,110 $ 52,975 $ 44,280 $ 153,935 $ 123,869 |
Assets Sold Under Agreements to
Assets Sold Under Agreements to Repurchase | 9 Months Ended |
Sep. 30, 2018 | |
Brokers And Dealers [Abstract] | |
Assets Sold Under Agreements to Repurchase | Note 14—Assets Sold Under Agreements to Repurchase Following is a summary of financial information relating to assets sold under agreements to repurchase: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (dollars in thousands) Weighted-average interest rate (1) 3.19 % 2.72 % 3.12 % 2.57 % Average balance $ 4,072,301 $ 3,474,903 $ 3,573,805 $ 3,388,626 Total interest expense (2) $ 29,725 $ 26,157 $ 79,705 $ 72,280 Maximum daily amount outstanding $ 5,091,893 $ 3,973,869 $ 5,677,797 $ 4,083,326 (1) Excludes the effect of amortization of net debt issuance premiums of $3.1 million and $4.8 million for the quarter and nine months ended September 30, 2018, respectively, and net debt issuance costs of $1.9 million and $6.1 million for the quarter and nine months ended September 30, 2017, respectively. (2) The Company’s interest expense relating to assets sold under agreements to repurchase for the quarter and nine months ended September 30, 2018 includes recognition of incentives it received for financing certain of its mortgage loans acquired for sale satisfying certain consumer debt relief characteristics under a master repurchase agreement. During the quarter and nine months ended September 30, 2018, the Company recognized $5.0 million and $11.0 million, respectively, in such incentives as a reduction of interest expense. The master repurchase agreement is subject to a rolling six-month term through August 18, 2019, unless terminated earlier at the option of the lender. There can be no assurance that the lender will not terminate this agreement before its stated maturity. September 30, 2018 December 31, 2017 (dollars in thousands) Carrying value: Unpaid principal balance $ 4,394,597 $ 3,182,504 Unamortized debt issuance costs and premiums, net (97 ) (1,618 ) $ 4,394,500 $ 3,180,886 Weighted-average interest rate 3.23 % 2.77 % Available borrowing capacity (1): Committed $ 564,023 $ 749,650 Uncommitted 1,947,494 2,030,607 $ 2,511,517 $ 2,780,257 Margin deposits placed with counterparties included in Other $ 42,550 $ 28,154 Assets securing agreements to repurchase: Mortgage-backed securities $ 2,126,507 $ 989,461 Mortgage loans acquired for sale at fair value $ 1,898,155 $ 1,201,992 Mortgage loans at fair value $ 332,093 $ 760,853 CRT Agreements: Deposits securing CRT agreements $ 378,090 $ 400,778 Derivative assets $ 27,710 $ 26,058 Real estate acquired in settlement of loans $ 69,399 $ 124,532 Real estate held for investment $ 31,795 $ 31,128 MSRs (2) $ 1,090,406 $ 651,575 (1) The amount the Company is able to borrow under asset repurchase agreements is tied to the fair value of unencumbered assets eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the assets financed. (2) During 2018, beneficial interests in Fannie Mae MSRs are pledged as collateral for both Assets sold under agreements to repurchase Notes payable Notes Payable Following is a summary of maturities of outstanding assets sold under agreements to repurchase by facility maturity date: Remaining maturity at September 30, 2018 Contractual balance (in thousands) Within 30 days $ 2,462,431 Over 30 to 90 days — Over 90 days to 180 days 10,328 Over 180 days to 1 year 1,815,302 Over one year to two years 106,536 $ 4,394,597 Weighted average maturity (in months) 3.9 The Company is subject to margin calls during the period the repurchase agreements are outstanding and therefore may be required to repay a portion of the borrowings before the respective repurchase agreements mature if the fair value (as determined by the applicable lender) of the assets securing those repurchase 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 pledged asset and counterparty below as of September 30, 2018: Mortgage loans, REO and MSRs sold under agreements to repurchase Counterparty Amount Weighted-average maturity Facility maturity (in thousands) Credit Suisse First Boston Mortgage Capital LLC $ 696,567 December 17, 2018 April 26, 2019 JPMorgan Chase & Co. $ 4,354 November 17, 2018 October 11, 2019 JPMorgan Chase & Co. $ 100,153 March 14, 2019 March 14, 2019 Citibank, N.A. $ 118,546 December 13, 2018 June 7, 2019 Bank of America, N.A. $ 16,589 October 18, 2018 July 1, 2019 Deutsche Bank $ 33,676 December 17, 2018 March 31, 2019 BNP Paribas Corporate & Institutional Banking $ 555 December 14, 2018 August 2, 2019 Morgan Stanley $ 10,781 December 13, 2018 August 23, 2019 Royal Bank of Canada $ 4,454 January 13, 2019 April 16, 2019 Securities sold under agreements to repurchase Counterparty Amount at risk Weighted average maturity (in thousands) JPMorgan Chase & Co. $ 20,251 October 26, 2018 Bank of America, N.A. $ 47,090 October 21, 2018 Daiwa Capital Markets America Inc. $ 16,385 October 19, 2018 Mizuho Securities $ 8,634 October 10, 2018 Wells Fargo, N.A. $ 4,034 October 16, 2018 CRT Agreements sold under agreements to repurchase Counterparty Amount at risk Weighted average maturity (in thousands) Credit Suisse First Boston Mortgage Capital LLC $ 50,793 October 10, 2018 Bank of America, N.A. $ 25,475 October 19, 2018 BNP Paribas Corporate & Institutional Banking $ 17,009 October 22, 2018 |
Mortgage Loan Participation Pur
Mortgage Loan Participation Purchase and Sale Agreements | 9 Months Ended |
Sep. 30, 2018 | |
Text Block [Abstract] | |
Mortgage Loan Participation Purchase and Sale Agreements | Note 15—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. The 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, 2018 2017 2018 2017 (dollars in thousands) Weighted-average interest rate (1) 3.39 % 2.48 % 3.21 % 2.28 % Average balance $ 78,806 $ 59,701 $ 51,687 $ 65,290 Total interest expense $ 739 $ 409 $ 1,396 $ 1,225 Maximum daily amount outstanding $ 258,983 $ 99,441 $ 258,983 $ 99,441 (1) Excludes the effect of amortization of debt issuance costs of $65,000 and $141,000 for the quarter and nine months ended September 30, 2018, respectively, and $31,000 and $94,000 for the quarter and nine months ended September 30, 2017, respectively. September 30, 2018 December 31, 2017 (dollars in Carrying value: Amount outstanding $ 31,675 $ 44,550 Unamortized debt issuance costs (97 ) (62 ) $ 31,578 $ 44,488 Weighted-average interest rate 3.61 % 2.82 % Mortgage loans acquired for sale pledged to secure mortgage loan participation purchase and sale agreements $ 32,392 $ 47,285 |
Exchangeable Senior Notes
Exchangeable Senior Notes | 9 Months Ended |
Sep. 30, 2018 | |
Text Block [Abstract] | |
Exchangeable Senior Notes | Note 16—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, 2018, 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, 2018 2017 2018 2017 (in thousands) Average balance $ 250,000 $ 250,000 $ 250,000 $ 250,000 Total interest expense $ 3,652 $ 3,636 $ 10,945 $ 10,895 September 30, 2018 December 31, 2017 (in thousands) Carrying value: UPB $ 250,000 $ 250,000 Unamortized debt issuance costs (1,947 ) (2,814 ) $ 248,053 $ 247,186 |
Notes Payable
Notes Payable | 9 Months Ended |
Sep. 30, 2018 | |
Text Block [Abstract] | |
Notes Payable | Note 17—Notes Payable On April 25, 2018, the Company, through its indirect subsidiary, PMT ISSUER TRUST-FMSR (“FMSR Issuer Trust”), issued an aggregate principal amount of $450 million in secured term notes (the “2018-FT1 Notes”) to qualified institutional buyers under Rule 144A of the Securities Act of 1933, as amended. The 2018-FT1 Notes bear interest at a rate equal to one-month LIBOR plus 2.35% per annum, payable each month beginning in May 2018, on the 25 th th The 2018-FT1 Notes mature on April 25, 2023 or, if extended pursuant to the terms of the related term note indenture supplement, April 25, 2025 (unless earlier redeemed in accordance with their terms). The 2018-FT1 Notes rank pari passu with the Series 2017-VF1 Note dated December 20, 2017 (the “FMSR VFN”) pledged to Credit Suisse under an agreement to repurchase. The 2018-FT1 Notes and the FMSR VFN are secured by certain participation certificates relating to Fannie Mae MSRs and ESS relating to such MSRs. On February 1, 2018, the Company, through PMC and PMH, entered into a Loan and Security Agreement with Credit Suisse First Boston Mortgage Capital LLC (“Credit Suisse”), pursuant to which PMC and PMH may finance certain mortgage servicing rights (inclusive of any related excess servicing spread arising therefrom and that may be 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 $175 million, all of which is committed. The note matures on February 1, 2020. 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 was redeemed and terminated in December 2017. On March 24, 2017, the Company, through 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 may be 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 matured and was repaid on February 1, 2018. Following is a summary of financial information relating to the notes payable: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (dollars Weighted-average interest rate (1) 4.53 % 6.30 % 4.58 % 5.57 % Average balance $ 445,149 $ 79,345 $ 251,052 $ 152,395 Total interest expense $ 5,351 $ 2,320 $ 9,032 $ 9,719 Maximum daily amount outstanding $ 445,318 $ 160,106 $ 445,318 $ 275,106 (1) Excludes the effect of amortization of debt issuance costs of $255,000 and $426,000 for the quarter and nine months ended September 30, 2018, respectively, and $1.0 million and $3.3 million for the quarter and nine months ended September 30, 2017, respectively. September 30, 2018 December 31, 2017 (dollars in thousands) Carrying value: Amount outstanding $ 450,000 $ — Unamortized debt issuance costs (4,682 ) — $ 445,318 $ — Weighted-average interest rate 4.44 % — MSRs pledged to secure notes payable (1) $ 1,090,406 $ 180,317 (1) During 2018, beneficial interests in Fannie Mae MSRs are pledged as collateral for both Assets sold under agreements to repurchase Notes payable |
Asset-Backed Financing of a Var
Asset-Backed Financing of a Variable Interest Entity at Fair Value | 9 Months Ended |
Sep. 30, 2018 | |
Text Block [Abstract] | |
Asset-Backed Financing of a Variable Interest Entity at Fair Value | Note 18—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, 2018 2017 2018 2017 (dollars in thousands) Weighted-average fair value $ 285,284 $ 325,763 $ 292,770 $ 337,073 Total interest expense $ 2,740 $ 3,515 $ 7,836 $ 10,520 Weighted-average interest rate 3.52 % 3.34 % 3.51 % 3.41 % September 30, 2018 December 31, 2017 (dollars in thousands) Fair value $ 278,113 $ 307,419 UPB $ 287,086 $ 316,684 Weighted-average interest rate 3.51 % 3.51 % 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. |
Liability for Losses Under Repr
Liability for Losses Under Representations and Warranties | 9 Months Ended |
Sep. 30, 2018 | |
Text Block [Abstract] | |
Liability for Losses Under Representations and Warranties | Note 19—Liability for Losses Under Representations and Warranties Following is a summary of the Company’s liability for losses under representations and warranties: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Balance, beginning of period $ 7,625 $ 10,697 $ 8,678 $ 15,350 Provision for losses: Pursuant to mortgage loan sales 636 1,075 1,724 2,355 Reduction in liability due to change in estimate (848 ) (1,642 ) (3,030 ) (7,523 ) (Losses incurred) recoveries, net — (83 ) 41 (135 ) Balance, end of period $ 7,413 $ 10,047 $ 7,413 $ 10,047 UPB of mortgage loans subject to representations and warranties at end of period $ 83,370,583 $ 67,196,537 |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2018 | |
Commitments And Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 20—Commitments and Contingencies Litigation From time to time, the Company may be involved in various proceedings, claims and legal actions arising in the ordinary course of business. As of September 30, 2018, the Company was not involved in any such proceedings, claims or legal actions that in the Manager’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, 2018 (in thousands) Commitments to purchase mortgage loans acquired for sale $ 1,682,007 Commitments to fund Deposits securing CRT agreements $ 578,508 Firm commitment to purchase credit risk transfer security $ 294,698 (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, 2018 | |
Equity [Abstract] | |
Shareholders' Equity | Note 21—Shareholders’ Equity Preferred Shares of Beneficial Interest Preferred shares of beneficial interest are summarized below: Series Description (1) Number of shares Liquidation preference Issuance discount Carrying value (in thousands) A 8.125% fixed-to-floating rate cumulative redeemable preferred, issued March 2017 4,600 $ 115,000 $ 3,828 $ 111,172 B 8.00% fixed-to-floating rate cumulative redeemable preferred, issued 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 March 2017, the Company issued 4.6 million of its 8.125% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Shares of Beneficial Interest, $0.01 par value per share (the “Series A 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 $1.52 per Series A Preferred Share during the nine months ended September 30, 2018. During July 2017, the Company issued 7.8 million 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” and, together with the Series A Preferred Shares, the “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. 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 $1.50 per Series B Preferred Share for the nine months ended September 30, 2018. The Company pays quarterly cumulative dividends on its Preferred Shares on the 15 th The Series A and Series B Preferred Shares will not be redeemable before March 15, 2024 and June 15, 2024, respectively, except in connection with the Company’s qualification as a REIT for U.S. federal income tax purposes and upon the occurrence of a change of control. On or after the date the Preferred Shares become redeemable, 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 Preferred Shares at $25.00 per share plus any accumulated and unpaid dividends thereon to, but not including, the redemption date. The Preferred Shares have no stated maturity, are not subject to any sinking fund or mandatory redemption and will remain outstanding indefinitely unless redeemed or repurchased by the Company or converted into common shares in connection with a change of control by the holders of the Preferred Shares. Common Share Repurchases During August 2015, the Company’s board of trustees authorized a common share repurchase program. Under the program, as amended, the Company may repurchase up to $300 million of its outstanding common shares. The following table summarizes the Company’s share repurchase activity: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 Cumulative total (1) (in thousands) Common shares repurchased — 966 671 1,105 14,731 Cost of common shares repurchased $ — $ 16,417 $ 10,719 $ 18,724 $ 216,625 (1) Amounts represent the share repurchase program total from its inception in August 2015 through September 30, 2018. 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 5— 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 the Manager earns performance incentive fees under the management agreement, the IPO underwriters will be paid at a rate of $20 of payments for every $100 of performance incentive fees earned by PCM. The payment to the underwriters is subject to a maximum reimbursement in any particular 12-month period of $2.0 million and the maximum amount that may be paid under the agreement is $5.9 million. No payments were made during the quarter and nine months ended September 30, 2018. The Company paid reimbursements totaling $61,000 during the quarter and nine months ended September 30, 2017. During the quarter ended September 30, 2018, the Company incurred performance incentive fees of $683,000. Accordingly, the Company will reimburse the underwriters $137,000 during the quarter ending December 31, 2018. The Reimbursement Agreement expires on February 1, 2019. |
Net Mortgage Loan Servicing Fee
Net Mortgage Loan Servicing Fees | 9 Months Ended |
Sep. 30, 2018 | |
Text Block [Abstract] | |
Net Mortgage Loan Servicing Fees | Note 22—Net Mortgage Loan Servicing Fees Net mortgage loan servicing fees are summarized below: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) From non-affiliates: Servicing fees (1) $ 49,864 $ 42,237 $ 147,262 $ 119,223 Ancillary and other fees 3,111 2,043 6,673 4,646 Effect of MSRs: Carried at fair value—change in fair value Realization of cashflows (30,053 ) (2,628 ) (84,689 ) (6,956 ) Other 33,127 (1,349 ) 101,822 (3,414 ) 3,074 (3,977 ) 17,133 (10,370 ) Loss on sale (123 ) — (123 ) — Carried at lower of amortized cost or fair value: Amortization — (21,634 ) — (59,015 ) Additions to impairment valuation allowance — (1,702 ) — (4,287 ) (Losses) gains on hedging derivatives (12,093 ) 4,576 (44,378 ) (1,731 ) (9,142 ) (22,737 ) (27,368 ) (75,403 ) 43,833 21,543 126,567 48,466 From PFSI—MSR recapture income 561 333 1,568 859 Net mortgage loan servicing fees $ 44,394 $ 21,876 $ 128,135 $ 49,325 Average servicing portfolio $ 81,350,980 $ 63,584,416 $ 77,522,709 $ 61,764,228 (1) Includes contractually specified servicing fees, net of Agency guarantee fees. |
Net Gain on Mortgage Loans Acqu
Net Gain on Mortgage Loans Acquired for Sale | 9 Months Ended |
Sep. 30, 2018 | |
Text Block [Abstract] | |
Net Gain on Mortgage Loans Acquired for Sale | Note 23—Net Gain on Mortgage Loans Acquired for Sale Net gain on mortgage loans acquired for sale is summarized below: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) From non-affiliates: Cash loss: Mortgage loans $ (104,475 ) $ (51,485 ) $ (272,496 ) $ (135,666 ) Hedging activities 24,659 (13,468 ) 63,047 (16,931 ) (79,816 ) (64,953 ) (209,449 ) (152,597 ) Non cash gain: Recognition of fair value of firm commitment to purchase credit risk transfer security 12,311 — 16,737 — Receipt of MSRs in mortgage loan sale transactions 96,383 82,838 228,337 207,361 Provision for losses relating to representations and warranties provided in mortgage loan sales: Pursuant to mortgage loans sales (636 ) (1,075 ) (1,724 ) (2,355 ) Reduction in liability due to change in estimate 848 1,642 3,030 7,523 212 567 1,306 5,168 Change in fair value of financial instruments held at end of period: IRLCs (3,907 ) 880 (5,733 ) (2,502 ) Mortgage loans 6,013 (1,165 ) 8,389 2,891 Hedging derivatives (9,075 ) (3,475 ) (6,229 ) (15,377 ) (6,969 ) (3,760 ) (3,573 ) (14,988 ) Total from non-affiliates 22,121 14,692 33,358 44,944 From PFSI—cash gain 2,689 3,275 8,221 9,340 $ 24,810 $ 17,967 $ 41,579 $ 54,284 |
Net Gain (Loss) on Investments
Net Gain (Loss) on Investments | 9 Months Ended |
Sep. 30, 2018 | |
Investments Debt And Equity Securities [Abstract] | |
Net Gain (Loss) on Investments | Note 24—Net Gain (Loss) on Investments Net gain (loss) on investments is summarized below: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) From non-affiliates: Mortgage-backed securities at fair value $ (19,030 ) $ 5,001 $ (50,288 ) $ 9,168 Mortgage loans at fair value: Distressed (3,051 ) 3,277 (17,702 ) 7,523 Held in a VIE (3,630 ) 2,138 (11,992 ) 6,309 CRT Agreements 29,481 15,151 90,528 66,591 Asset-backed financing of a VIE at fair value 3,516 (2,158 ) 12,658 (5,581 ) Hedging derivatives 691 (5,910 ) 1,029 (14,943 ) 7,977 17,499 24,233 69,067 From PFSI—ESS 1,706 (3,665 ) 10,977 (10,920 ) $ 9,683 $ 13,834 $ 35,210 $ 58,147 |
Net Interest Income
Net Interest Income | 9 Months Ended |
Sep. 30, 2018 | |
Banking And Thrift Interest [Abstract] | |
Net Interest Income | Note 25—Net Interest Income Net interest income is summarized below: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Interest income: From nonaffiliates: Short-term investments $ 385 $ 132 $ 656 $ 516 Mortgage-backed securities 15,903 7,447 37,127 21,954 Mortgage loans acquired for sale at fair value 22,591 16,202 51,874 40,699 Mortgage loans at fair value: Distressed 5,245 14,213 18,086 53,456 Held in a VIE 3,066 3,766 8,837 11,370 Deposits securing CRT Agreements 3,190 1,440 8,788 2,703 Placement fees relating to custodial funds 7,979 4,330 18,218 8,212 Other 225 49 478 142 58,584 47,579 144,064 139,052 From PFSI—ESS 3,740 3,998 11,584 13,011 62,324 51,577 155,648 152,063 Interest expense: To nonaffiliates: Assets sold under agreements to repurchase (1) 29,725 26,157 79,705 72,280 Mortgage loan participation purchase and sale agreements 739 409 1,396 1,225 Exchangeable Notes 3,652 3,636 10,945 10,895 Notes payable 5,351 2,320 9,032 9,719 Asset-backed financings of a VIE at fair value 2,740 3,515 7,836 10,520 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 1,897 1,638 5,294 4,068 Interest on mortgage loan impound deposits 693 486 1,596 1,229 44,797 38,161 115,804 109,936 To PFSI—Assets sold under agreement to repurchase 1,812 2,116 5,686 5,946 46,609 40,277 121,490 115,882 Net interest income $ 15,715 $ 11,300 $ 34,158 $ 36,181 (1) In 2017, the Company entered into a master repurchase agreement that provides the Company with incentives to finance mortgage loans approved for satisfying certain consumer relief characteristics as provided in the agreement. During the quarter and nine months ended September 30, 2018, the Company included $5.0 million and $11.0 million, respectively, of such incentives as a reduction of Interest expense |
Share-Based Compensation Plans
Share-Based Compensation Plans | 9 Months Ended |
Sep. 30, 2018 | |
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract] | |
Share-Based Compensation Plans | Note 26—Share-Based Compensation Plans As of September 30, 2018 and December 31, 2017, 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, 2018 2017 2018 2017 (in thousands) Grants: Restricted share units — 2 129 136 Performance share units — — 116 126 Total share units granted — 2 245 262 Grant date fair value: Restricted share units granted $ — $ 36 $ 2,281 $ 2,317 Performance share units granted — — 1,542 1,675 Total fair value of share units granted $ — $ 36 $ 3,823 $ 3,992 Vestings: Restricted share units 1 — 261 284 Performance share units — — 28 — Total share units vested 1 — 289 284 Forfeitures: Restricted share units 2 — 2 13 Performance share units — — — — Total share units forfeited 2 — 2 13 Compensation expense relating to share-based grants $ 1,566 $ 737 $ 4,322 $ 3,864 |
Other Expenses
Other Expenses | 9 Months Ended |
Sep. 30, 2018 | |
Other Income And Expenses [Abstract] | |
Other Expenses | Note 27—Other Expenses Other expenses are summarized below: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Common overhead allocation from PFSI $ 1,210 $ 1,193 $ 3,387 $ 4,220 Technology 291 374 1,014 1,088 Insurance 274 300 915 968 Other 1,119 1,434 2,442 4,428 $ 2,894 $ 3,301 $ 7,758 $ 10,704 |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2018 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Note 28—Income Taxes The Company’s effective tax rate was 9.9% and 15.6% for the quarter and nine months ended September 30, 2018. The Company’s taxable REIT subsidiary (“TRS”) recognized a tax expense of $4.8 million on income of $17.7 million and a tax expense of $19.9 million on income of $73.2 million while the Company’s reported consolidated pretax income was $51.7 million and $131.8 million for the quarter and nine months ended September 30, 2018, respectively. For the same periods in 2017, the Company’s TRS recognized tax expense of $4.8 million on income of $12.0 million and tax benefit of $900,000 on a loss of $4.5 million, respectively, while the Company’s reported consolidated pretax income was $24.2 million and $78.6 million, respectively. The relative values between the tax benefit or expense at the TRS 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 the shareholders for income tax purposes. Some portion of the dividends may be characterized as capital gain distributions or a return of capital. For tax years beginning after December 31, 2017, the 2017 Tax Cuts and Jobs Act (the “Tax Act”) (subject to certain limitations) provides a 20% deduction from taxable income for ordinary REIT dividends. |
Earnings Per Share
Earnings Per Share | 9 Months Ended |
Sep. 30, 2018 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Note 29—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 available to common shareholders, 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. The following table summarizes the basic and diluted earnings per share calculations: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands except per share amounts) Net income $ 46,562 $ 19,395 $ 111,173 $ 76,911 Dividends on preferred shares (6,235 ) (6,125 ) (18,703 ) (9,032 ) Effect of participating securities—share-based compensation awards (236 ) (231 ) (541 ) (760 ) Net income attributable to common shareholders $ 40,091 $ 13,039 $ 91,929 $ 67,119 Net income attributable to common shareholders $ 40,091 $ 13,039 $ 91,929 $ 67,119 Interest on Exchangeable Notes, net of income taxes 2,661 — 7,973 6,564 Diluted net income attributable to common shareholders $ 42,752 $ 13,039 $ 99,902 $ 73,683 Weighted-average basic shares outstanding 60,950 66,636 60,880 66,702 Dilutive securities: Shares issuable pursuant to exchange of the Exchangeable Notes 8,467 — 8,467 8,467 Diluted weighted-average number of shares outstanding 69,417 66,636 69,347 75,169 Basic earnings per share $ 0.66 $ 0.20 $ 1.51 $ 1.01 Diluted earnings per share $ 0.62 $ 0.20 $ 1.44 $ 0.98 Calculation of diluted earnings per share requires certain potentially dilutive shares to be excluded when 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, as inclusion of such shares would have been antidilutive: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Shares issuable under share-based compensation plan 361 643 403 699 Shares issuable pursuant to exchange of the Exchangeable Notes — 8,467 — — |
Segments
Segments | 9 Months Ended |
Sep. 30, 2018 | |
Segment Reporting [Abstract] | |
Segments | Note 30—Segments 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 MBS, using the services of the Manager and PLS. • Most of the mortgage loans the Company has acquired in its correspondent production activities have been eligible for sale to GSEs such as Fannie Mae and Freddie Mac or through government agencies such as Ginnie Mae. • The credit sensitive strategies segment represents the Company’s investments in CRT Agreements, firm commitments to purchase CRT securities, distressed mortgage loans, REO, real estate held for investment, non-Agency subordinated bonds and small balance commercial real estate mortgage loans. • The interest rate sensitive strategies segment represents the Company’s 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. Financial highlights by operating segment are summarized below: Quarter ended September 30, 2018 Correspondent production Credit sensitive strategies Interest rate sensitive strategies Corporate Total (in thousands) Net investment income: Net mortgage loan servicing fees $ — $ 5 $ 44,389 $ — $ 44,394 Net gain on mortgage loans acquired for sale 12,496 12,314 — — 24,810 Net gain (loss) on investments — 26,293 (16,610 ) — 9,683 Net interest income (expense): Interest income 22,465 8,675 30,573 611 62,324 Interest expense (12,708 ) (8,792 ) (25,109 ) — (46,609 ) 9,757 (117 ) 5,464 611 15,715 Other income 12,442 1,457 — — 13,899 34,695 39,952 33,243 611 108,501 Expenses: Mortgage loan fulfillment and servicing fees payable to PFSI 26,256 1,271 8,800 — 36,327 Management fees — — — 6,482 6,482 Other 2,485 5,619 344 5,582 14,030 28,741 6,890 9,144 12,064 56,839 Pre-tax income (loss) $ 5,954 $ 33,062 $ 24,099 $ (11,453 ) $ 51,662 Total assets at end of quarter $ 1,976,188 $ 1,348,750 $ 3,822,572 $ 120,068 $ 7,267,578 Quarter ended September 30, 2017 Correspondent production Credit sensitive strategies Interest rate sensitive strategies Corporate Total (in thousands) Net investment income: Net mortgage loan servicing fees $ — $ 47 $ 21,829 $ — $ 21,876 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 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 and servicing 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 quarter $ 1,304,647 $ 1,959,792 $ 2,414,477 $ 106,127 $ 5,785,043 Nine months ended September 30, 2018 Correspondent production Credit sensitive strategies Interest rate sensitive strategies Corporate Total (in thousands) Net investment income: Net mortgage loan servicing fees $ — $ 29 $ 128,106 $ — $ 128,135 Net gain on mortgage loans acquired for sale 24,810 16,769 — — 41,579 Net gain (loss) on investments — 72,744 (37,534 ) — 35,210 Net interest income (expense): Interest income 51,456 27,634 75,423 1,135 155,648 Interest expense (30,039 ) (28,899 ) (62,552 ) — (121,490 ) 21,417 (1,265 ) 12,871 1,135 34,158 Other income (loss) 28,410 (351 ) — 24 28,083 74,637 87,926 103,443 1,159 267,165 Expenses: Mortgage loan fulfillment and servicing fees payable to PFSI 52,759 5,529 24,992 — 83,280 Management fees — — — 17,906 17,906 Other 4,778 13,077 166 16,172 34,193 57,537 18,606 25,158 34,078 135,379 Pre-tax income (loss) $ 17,100 $ 69,320 $ 78,285 $ (32,919 ) $ 131,786 Total assets at end of period $ 1,976,188 $ 1,348,750 $ 3,822,572 $ 120,068 $ 7,267,578 Nine months ended September 30, 2017 Correspondent production Credit sensitive strategies Interest rate sensitive strategies Corporate Total (in thousands) Net investment income: Net mortgage loan servicing fees $ — $ 91 $ 49,234 $ — $ 49,325 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 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 and servicing 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 end of period $ 1,304,647 $ 1,959,792 $ 2,414,477 $ 106,127 $ 5,785,043 |
Supplemental Cash Flow Informat
Supplemental Cash Flow Information | 9 Months Ended |
Sep. 30, 2018 | |
Supplemental Cash Flow Elements [Abstract] | |
Supplemental Cash Flow Information | Note 31—Supplemental Cash Flow Information Nine months ended September 30, 2018 2017 (in thousands) Income tax payments, net of refunds $ 900 $ (294 ) Interest payments $ 124,332 $ 115,108 Cumulative effect on accumulated deficit of conversion to fair value accounting $ 14,361 $ — Non-cash investing activities: Transfer of mortgage loans and advances to real estate acquired in settlement of loans $ 26,229 $ 76,981 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment $ 4,123 $ 14,300 Transfer of real estate acquired in settlement of mortgage loans from real estate held for investment $ 1,112 $ — Receipt of mortgage servicing rights as proceeds from sales of mortgage loans $ 228,337 $ 207,361 Receipt of excess servicing spread pursuant to recapture agreement with PennyMac Financial Services, Inc. $ 1,983 $ 4,160 Capitalization of servicing advances pursuant to mortgage loan modifications $ 4,734 $ 17,759 Non-cash financing activities: Recognition of financing premium arising from repurchase agreement derivatives $ 11,411 $ — Dividends declared, not paid $ 28,817 $ 31,655 |
Regulatory Capital and Liquidit
Regulatory Capital and Liquidity Requirements | 9 Months Ended |
Sep. 30, 2018 | |
Mortgage Banking [Abstract] | |
Regulatory Capital and Liquidity Requirements | Note 32—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 $2.5 million plus 25 basis points of UPB for all 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 amounts and requirements, the calculations of which are defined by each entity, are summarized below: 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, 2018 $ 555,214 $ 213,379 11 % 6 % $ 100,478 $ 28,983 December 31, 2017 $ 487,535 $ 182,818 12 % 6 % $ 73,252 $ 25,245 (1) Calculated in accordance with the Agencies’ 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. |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2018 | |
Subsequent Events [Abstract] | |
Subsequent Events | Note 33—Subsequent Events Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period: • During October of 2018, the Company settled its obligation to fund Deposits securing credit risk transfer agreements Deposits securing credit risk transfer agreements • During October 2018, the Company entered into four agreements to sell approximately $300 million in UPB of performing and nonperforming loans from the distressed portfolio. These transactions are subject to continuing due diligence and customary closing conditions and there can be no assurance regarding the size of these transactions or that these transactions will be completed at all. • All agreements to repurchase assets that matured between September 31, 2018 and the date of this Report were extended or renewed. |
Organization and Basis of Prese
Organization and Basis of Presentation (Policies) | 9 Months Ended |
Sep. 30, 2018 | |
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 (“GSEs”) 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 credit risk transfer agreements (“CRT Agreements”), distressed mortgage loans, real estate acquired in settlement of mortgage loans (“REO”), real estate held for investment, 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 purchased from PFSI (“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. 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. |
Accounting Changes | Accounting Changes Mortgage Servicing Rights Effective January 1, 2018, the Company has elected to change the accounting for the classes of MSRs it accounted for using the amortization method through December 31, 2017, to the fair value method as allowed in the Transfers and Servicing |
Revenue Recognition | Revenue Recognition As disclosed in Note 33 – Recently Issued Accounting Pronouncements Receivables, Investments and Debt and Equity Securities, Transfers and Servicing, Financial Instruments Derivatives and Hedging . |
Cash Flows | Cash Flows During the nine months ended September 30, 2018, the Company adopted FASB Accounting Standards Update 2016-18, Statement of Cash Flows (Topic 230) – Restricted Cash |
Recently Issued Accounting Pronouncement | Recently Issued Accounting Pronouncement On June 20, 2018, the FASB issued ASU 2018-07, Compensation—Stock Compensation (Topic 718): Improvements to Nonemployee Share-Based Payment Accounting ASU 2018-07 expands the scope of the Compensation—Stock Compensation The Company issues share-based compensation to certain employees of the Manager. Presently, the Company accounts for share-based payments to employees of the Manager under the guidance of Equity – Equity-Based Payments to Non-Employees The amendments in this ASU are effective for the Company for the fiscal year ending December 31, 2019, including interim periods within that fiscal year. Upon adoption, the Manager does not expect to record a cumulative effect adjustment to its accumulated deficit. |
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. Such differences may result in significantly different fair value measurements. 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, firm commitment to purchase credit risk transfer securities and MSRs 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. Before January 1, 2018, originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5% were accounted for using the amortization method. Beginning January 1, 2018, the Company elected to account for all MSRs at fair value prospectively. The Manager determined that this change makes the accounting treatment for MSRs consistent with lender valuation under financing arrangements and simplifies hedging activities. 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 the assets at fair value collateralizing these financings. For other borrowings, the Manager has determined that historical cost accounting is more appropriate because under this method debt issuance costs are amortized over the term of the debt facility, 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 available to common shareholders, 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. |
Concentration of Risks (Tables)
Concentration of Risks (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Risks And Uncertainties [Abstract] | |
Summary of Holdings of Assets Purchased | Most 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., Citigroup Inc., and Bank of America Corporation, as presented in the following summary: September 30, 2018 December 31, 2017 (in thousands) JPMorgan Chase & Co. Mortgage loans at fair value $ 135,486 $ 315,437 REO 42,003 66,294 177,489 381,731 Citigroup Inc. Mortgage loans at fair value 133,547 280,488 REO 13,223 26,702 146,770 307,190 Bank of America Corporation Mortgage loans at fair value 60,884 143,969 REO 15,786 27,970 76,670 171,939 $ 400,929 $ 860,860 Total carrying value of distressed mortgage loans at fair value and REO $ 436,599 $ 931,298 |
Transactions with Related Par_2
Transactions with Related Parties (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 2017 2018 2017 (in thousands) Mortgage loans fulfillment fees earned by PLS $ 26,256 $ 23,507 $ 52,759 $ 61,184 Unpaid principal balance ("UPB") of mortgage loans fulfilled by PLS $ 7,517,883 $ 6,530,036 $ 17,139,884 $ 17,079,969 Sourcing fees received from PLS included in Net gain on mortgage loans acquired for sale $ 2,689 $ 3,275 $ 8,221 $ 9,340 UPB of mortgage loans sold to PLS $ 8,916,654 $ 10,915,194 $ 27,404,022 $ 31,131,154 Early purchase program fees paid to PLS included in Mortgage loan servicing fees $ — $ 1 $ — $ 7 Purchases of mortgage loans acquired for sale from PLS $ 908,525 $ 332,886 $ 2,336,162 $ 373,108 Tax service fee paid to PLS included in Other $ 2,119 $ 2,108 $ 4,869 $ 5,377 September 30, 2018 December 31, 2017 (in thousands) Mortgage loans included in Mortgage loans acquired for sale at fair value pending sale to PLS $ 217,334 $ 279,571 |
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, 2018 2017 2018 2017 (in thousands) Mortgage loans servicing fees: Mortgage loans acquired for sale at fair value: Base $ 98 $ 88 $ 250 $ 235 Activity-based 218 188 489 507 316 276 739 742 Mortgage loans at fair value: Distressed mortgage loans: Base 614 1,571 2,328 5,284 Activity-based 657 2,702 3,200 6,859 1,271 4,273 5,528 12,143 Mortgage loans held in VIE - Base 35 54 103 96 MSRs: Base 8,291 6,648 23,772 18,631 Activity-based 158 151 379 375 8,449 6,799 24,151 19,006 $ 10,071 $ 11,402 $ 30,521 $ 31,987 Average investment in: Mortgage loans acquired for sale at fair value $ 1,833,232 $ 1,460,054 $ 1,460,547 $ 1,271,158 Mortgage loans at fair value: Distressed mortgage loans $ 417,487 $ 1,104,738 $ 537,300 $ 1,210,328 Mortgage loans held in a VIE $ 299,415 $ 339,464 $ 306,856 $ 350,607 Average MSR portfolio $ 81,350,980 $ 63,584,416 $ 77,522,709 $ 61,764,228 MSR recapture income recognized included in Net mortgage loan servicing fees ‒ Financial Services, Inc. $ 561 $ 333 $ 1,568 $ 859 |
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, 2018 2017 2018 2017 (in thousands) Base management $ 5,799 $ 6,038 $ 17,223 $ 16,380 Performance incentive 683 — 683 304 $ 6,482 $ 6,038 $ 17,906 $ 16,684 |
Summary of Expenses | Following is a summary of the Company’s reimbursements to PCM and its affiliates for expenses: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Reimbursement of: Common overhead incurred by PCM and its affiliates $ 1,210 $ 1,193 $ 3,387 $ 4,220 Compensation 120 — 360 — Expenses incurred on the Company’s behalf, net 527 196 586 849 $ 1,857 $ 1,389 $ 4,333 $ 5,069 Payments and settlements during the period (1) $ 21,650 $ 22,786 $ 45,265 $ 63,249 (1) Payments and settlements include payments and netting settlements made pursuant to master netting agreements between the Company and PFSI for the 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, 2018 2017 2018 2017 (in thousands) ESS: Received pursuant to a recapture agreement $ 499 $ 1,207 $ 1,983 $ 4,160 Repayments $ 11,543 $ 13,410 $ 35,852 $ 42,320 Interest income $ 3,740 $ 3,998 $ 11,584 $ 13,011 Net gain (loss) included in Net gain (loss) on investments: Valuation changes $ 1,109 $ (4,828 ) $ 9,026 $ (14,757 ) Recapture income 597 1,163 1,951 3,837 $ 1,706 $ (3,665 ) $ 10,977 $ (10,920 ) September 30, 2018 December 31, 2017 (in thousands) Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value $ 223,275 $ 236,534 |
Summary Of Financing Transactions | Following is a summary of financing activities between the Company and PFSI: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Interest expense $ 1,812 $ 2,116 $ 5,686 $ 5,946 Conditional Reimbursements paid to PCM $ — $ 30 $ — $ 30 September 30, 2018 December 31, 2017 (in thousands) Assets sold to PFSI under agreement to repurchase $ 133,128 $ 144,128 Conditional Reimbursement payable to PFSI included in Accounts payable and accrued liabilities $ 870 $ 870 |
Summary of Amounts Receivable From and Payable to PFSI | Amounts receivable from and payable to PFSI are summarized below: September 30, 2018 December 31, 2017 (in thousands) Due from PFSI: MSR recapture receivable $ 250 $ 282 Other 2,101 3,872 $ 2,351 $ 4,154 Due to PFSI: Fulfillment fees $ 12,078 $ 346 Management fees 6,482 5,901 Mortgage loan servicing fees 3,765 6,583 Allocated expenses and expenses paid by PFSI on PMT’s behalf 2,295 11,542 Correspondent production fees 1,864 1,735 Conditional Reimbursement 870 870 Interest on Assets sold to PFSI under agreement to repurchase 113 142 $ 27,467 $ 27,119 |
Loan Sales and Variable Inter_2
Loan Sales and Variable Interest Entities (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 2017 2018 2017 (in thousands) Cash flows: Proceeds from sales $ 8,435,791 $ 7,035,994 $ 18,992,722 $ 17,683,444 Mortgage loan servicing fees received (1) $ 49,864 $ 42,237 $ 147,262 $ 119,223 (1) Net of guarantee fees |
Summary of Collection Status Information for Mortgage Loans Accounted for Sales | The following table summarizes collection status information for mortgage loans that are accounted for as sales where the Company maintains continuing involvement for the dates presented: September 30, 2018 December 31, 2017 (in thousands) UPB of mortgage loans outstanding $ 83,913,215 $ 71,639,351 UPB of delinquent mortgage loans: 30-89 days delinquent $ 601,114 $ 532,673 90 or more days delinquent: Not in foreclosure $ 140,122 $ 280,786 In foreclosure $ 36,069 $ 25,258 UPB of mortgage loans in bankruptcy $ 66,377 $ 52,202 Custodial funds managed by the Company (1) $ 1,203,229 $ 879,321 (1) Custodial funds include borrower and investor custodial cash accounts relating to mortgage loans serviced under mortgage servicing agreements and are not included 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, 2018 2017 2018 2017 (in thousands) UPB of mortgage loans sold under CRT Agreements $ — $ 4,126,946 $ 5,546,977 $ 9,722,067 Deposits securing CRT Agreements $ 18,558 $ 44,998 $ 96,446 $ 102,146 (Decrease) increase in commitments to fund Deposits securing CRT Agreements resulting from sale of mortgage loans under CRT Agreements $ (18,558 ) $ 108,051 $ 96,037 $ 264,165 Interest earned on Deposits securing Agreements $ 3,190 $ 1,440 $ 8,788 $ 2,703 Gains recognized on CRT Agreements included in Net gain (loss) on investments Realized $ 23,367 $ 10,798 $ 64,907 $ 27,595 Resulting from valuation changes 7,185 4,162 27,714 41,268 30,552 14,960 92,621 68,863 Change in fair value of Interest-only security payable at fair value (3,083 ) 191 (4,105 ) (2,272 ) $ 27,469 $ 15,151 $ 88,516 $ 66,591 Payments made to settle losses $ 443 $ 539 $ 1,452 $ 950 September 30, 2018 December 31, 2017 (in thousands) UPB of mortgage loans subject to credit guarantee obligations $ 30,648,306 $ 26,845,392 Collection status (in UPB): Current $ 30,342,833 $ 26,540,953 30—89 days delinquent $ 226,447 $ 179,144 90—180 days delinquent $ 32,852 $ 101,114 180 or more days delinquent $ 15,520 $ 5,146 Foreclosure $ 9,339 $ 5,463 Bankruptcy $ 21,315 $ 13,572 Carrying value of CRT Agreements: Derivative assets $ 126,354 $ 98,640 Deposits securing CRT agreements $ 662,624 $ 588,867 Interest-only security payable at fair value $ 8,821 $ 7,070 CRT Agreement assets pledged to secure Assets sold under agreements to repurchase : Deposits securing CRT Agreements $ 378,090 $ 400,778 Derivative assets $ 27,710 $ 26,058 Commitments to fund Deposits securing credit risk transfer agreements $ 578,508 $ 482,471 |
Summary of Activity Under Purchase Commitments | Following is a summary of activity under these purchase commitments during the quarter and nine months ended September 30, 2018: Periods ended September 30, 2018 Quarter Nine months (in thousands) UPB of mortgage loans sold $ 6,773,336 $ 8,308,708 Fair value of firm commitment recognized in Gain on sale of mortgage loans $ 12,311 $ 16,737 Gains recognized on CRT Agreements included in Net gain (loss) on investments $ 2,012 $ 2,012 Increase in face amount of firm commitment to purchase securities backed by mortgage loans sold $ 236,875 $ 294,698 September 30, 2018 (in thousands) Firm commitment to purchase CRT securities $ 294,698 Fair value of firm commitment $ 18,749 UPB of mortgage loans sold subject to firm commitment to purchase securities related to such loans $ 8,097,660 Collection status (in UPB): Current $ 8,073,018 30—89 days delinquent $ 24,439 90—180 days delinquent $ 203 180 or more days delinquent $ — Foreclosure $ — Bankruptcy $ — |
Fair Value (Tables)
Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 26,736 $ — $ — $ 26,736 Mortgage-backed securities at fair value — 2,126,507 — 2,126,507 Mortgage loans acquired for sale at fair value — 1,942,335 7,097 1,949,432 Mortgage loans at fair value — 292,174 340,994 633,168 Excess servicing spread purchased from PFSI — — 223,275 223,275 Derivative assets: Interest rate lock commitments — — 2,317 2,317 CRT Agreements — — 126,354 126,354 Repurchase agreement derivatives — — 9,415 9,415 Forward purchase contracts — 1,761 — 1,761 Forward sale contracts — 19,238 — 19,238 MBS call options — 7 — 7 MBS put options — 2,302 — 2,302 Put options on interest rate futures 141 — — 141 Total derivative assets before netting 141 23,308 138,086 161,535 Netting — — — (17,958 ) Total derivative assets after netting 141 23,308 138,086 143,577 Firm commitment to purchase credit risk transfer security at fair value — — 18,749 18,749 Mortgage servicing rights at fair value — — 1,109,741 1,109,741 $ 26,877 $ 4,384,324 $ 1,837,942 $ 6,231,185 Liabilities: Asset-backed financing of a VIE at fair value $ — $ 278,113 $ — $ 278,113 Interest-only security payable at fair value — — 8,821 8,821 Derivative liabilities: Interest rate lock commitments — — 3,418 3,418 Forward purchase contracts — 11,964 — 11,964 Forward sales contracts — 1,719 — 1,719 Total derivative liabilities before netting — 13,683 3,418 17,101 Netting — — — (5,221 ) Total derivative liabilities after netting — 13,683 3,418 11,880 $ — $ 291,796 $ 12,239 $ 298,814 December 31, 2017 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 18,398 $ — $ — $ 18,398 Mortgage-backed securities at fair value — 989,461 — 989,461 Mortgage loans acquired for sale at fair value — 1,261,380 8,135 1,269,515 Mortgage loans at fair value — 321,040 768,433 1,089,473 Excess servicing spread purchased from PFSI — — 236,534 236,534 Derivative assets: Interest rate lock commitments — — 4,859 4,859 CRT Agreements — — 98,640 98,640 Repurchase agreement derivatives — — 3,748 3,748 Forward purchase contracts — 4,343 — 4,343 Forward sale contracts — 387 — 387 MBS put options — 3,170 — 3,170 Put options on interest rate futures 656 — — 656 Total derivative assets before netting 656 7,900 107,247 115,803 Netting — — — (1,922 ) Total derivative assets after netting 656 7,900 107,247 113,881 Mortgage servicing rights at fair value — — 91,459 91,459 $ 19,054 $ 2,579,781 $ 1,211,808 $ 3,808,721 Liabilities: Asset-backed financing of a VIE at fair value $ — $ 307,419 $ — $ 307,419 Interest-only security payable at fair value — — 7,070 7,070 Derivative liabilities: Interest rate lock commitments — — 227 227 Forward purchase contracts — 248 — 248 Forward sales contracts — 2,830 — 2,830 Total derivative liabilities before netting — 3,078 227 3,305 Netting — — — (1,999 ) Total derivative liabilities after netting — 3,078 227 1,306 $ — $ 310,497 $ 7,297 $ 315,795 |
Summary of Changes in Items Measured Using Level 3 Inputs on Recurring Basis | The following is a summary of changes in items measured at fair value on a recurring basis using Level 3 inputs that are significant to the estimation of the fair values of the assets and liabilities at either the beginning or end of the years presented: Quarter ended September 30, 2018 Mortgage loans acquired for sale at fair value Mortgage loans at fair value Excess servicing spread Interest rate lock commitments (1) CRT Agreements Repurchase agreement derivatives Firm commitment to purchase CRT security Mortgage servicing rights Total (in thousands) Assets: Balance, June 30, 2018 $ 6,540 $ 447,473 $ 229,470 $ 2,807 $ 119,169 $ 6,912 $ 4,426 $ 1,010,507 $ 1,827,304 Purchases and issuances 2,640 — — (3,699 ) — 5,671 — — 4,612 Repayments and sales (2,481 ) (98,622 ) (11,543 ) — (23,367 ) (3,131 ) — (100 ) (139,244 ) Capitalization of interest — 2,297 3,740 — — — — — 6,037 Capitalization of advances — 1,373 — — — — — — 1,373 ESS received pursuant to a recapture agreement with PFSI — — 499 — — — — — 499 Amounts received as proceeds from sales of mortgage loans — — — — — — 12,311 96,383 108,694 Changes in fair value included in income arising from: Changes in instrument- specific credit risk — 4,407 — — — — — — 4,407 Other factors (324 ) (7,458 ) 1,109 (4,001 ) 30,552 (37 ) 2,012 2,951 24,804 (324 ) (3,051 ) 1,109 (4,001 ) 30,552 (37 ) 2,012 2,951 29,211 Transfers of mortgage loans to REO and real estate held for investment — (8,476 ) — — — — — — (8,476 ) Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" (2) 722 — — — — — — — 722 Transfers of interest rate lock commitments to mortgage loans acquired for sale — — — 3,792 — — — — 3,792 Balance, September 30, 2018 $ 7,097 $ 340,994 $ 223,275 $ (1,101 ) $ 126,354 $ 9,415 $ 18,749 $ 1,109,741 $ 1,834,524 Changes in fair value recognized during the quarter relating to assets still held at September 30, 2018 $ (257 ) $ (6,711 ) $ 1,109 $ (1,101 ) $ 7,185 $ — $ 2,012 $ 2,951 $ 5,188 (1) For the purpose of this table, the interest rate lock commitment (“IRLC”) asset and liability positions are shown net. (2) During the quarter ended September 30, 2018, the Manager identified certain “Level 2” fair value mortgage loans acquired for sale that were not saleable into the prime mortgage market and therefore transferred them to “Level 3”. Quarter ended September 30, 2018 Interest-only security payable (in thousands) Liabilities: Balance, June 30, 2018 $ 7,652 Changes in fair value included in income arising from: Changes in instrument-specific credit risk — Other factors 1,169 1,169 Balance, September 30, 2018 $ 8,821 Changes in fair value recognized during the quarter relating to liability outstanding at September 30, 2018 $ 1,169 Quarter ended September 30, 2017 Mortgage loans at fair value Excess servicing spread Interest rate lock commitments (1) CRT Agreements Repurchase agreement derivatives Mortgage servicing 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 Amounts 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 quarter 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 quarter relating to liability outstanding at September 30, 2017 $ (191 ) Nine months ended September 30, 2018 Mortgage loans acquired for sale at fair value Mortgage loans at fair value Excess servicing spread Interest rate lock commitments (1) CRT Agreements Repurchase agreement derivatives Firm commitment to purchase CRT security Mortgage servicing rights Total (in thousands) Assets: Balance, December 31, 2017 $ 8,135 $ 768,433 $ 236,534 $ 4,632 $ 98,640 $ 3,748 $ — $ 91,459 $ 1,211,581 Cumulative effect of a change in accounting principle — Adoption of fair value accounting for mortgage servicing rights — — — — — — — 773,035 773,035 Balance, January 1, 2018 8,135 768,433 236,534 4,632 98,640 3,748 — 864,494 1,984,616 Purchases and issuances 8,243 — — 2,140 — 11,411 — — 21,794 Repayments and sales (10,441 ) (381,646 ) (35,852 ) — (64,907 ) (5,626 ) — (100 ) (498,572 ) Capitalization of interest — 6,543 11,584 — — — — — 18,127 Capitalization of advances — 4,733 — — — — — — 4,733 ESS received pursuant to a recapture agreement with PFSI — — 1,983 — — — — — 1,983 Amounts received as proceeds from sales of mortgage loans — — — — — — 16,737 228,337 245,074 Changes in fair value included in income arising from: Changes in instrument- specific credit risk — 6,864 — — — — — — 6,864 Other factors (176 ) (24,566 ) 9,026 (28,571 ) 92,621 (118 ) 2,012 17,010 67,238 (176 ) (17,702 ) 9,026 (28,571 ) 92,621 (118 ) 2,012 17,010 74,102 Transfers of mortgage loans to REO and real estate held for investment — (39,367 ) — — — — — — (39,367 ) Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" (2) 1,336 — — — — — — — 1,336 Transfers of interest rate lock commitments to mortgage loans acquired for sale — — — 20,698 — — — — 20,698 Balance, September 30, 2018 $ 7,097 $ 340,994 $ 223,275 $ (1,101 ) $ 126,354 $ 9,415 $ 18,749 $ 1,109,741 $ 1,834,524 Changes in fair value recognized during the period relating to assets still held at September 30, 2018 $ (330 ) $ (18,170 ) $ 9,026 $ (1,101 ) $ 27,714 $ 77 $ 2,012 $ 17,010 $ 36,238 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. (2) During the nine months ended September 30, 2018, the Manager identified certain “Level 2” fair value mortgage loans acquired for sale that were not saleable into the prime mortgage market and therefore transferred them to “Level 3”. Nine months ended September 30, 2018 Interest-only security payable (in thousands) Liabilities: Balance, December 31, 2017 $ 7,070 Changes in fair value included in income arising from: Changes in instrument- specific credit risk — Other factors 1,751 1,751 Balance, September 30, 2018 $ 8,821 Changes in fair value recognized during the period relating to liability outstanding at September 30, 2018 $ 1,751 Nine months ended September 30, 2017 Mortgage loans at fair value Excess servicing spread Interest rate lock commitments (1) CRT Agreements Repurchase agreement derivatives Mortgage servicing 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 Amounts 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 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 |
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, 2018 December 31, 2017 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 $ 1,949,285 $ 1,900,556 $ 48,729 $ 1,268,121 $ 1,221,125 $ 46,996 90 or more days delinquent: Not in foreclosure 147 187 (40 ) 950 1,120 (170 ) In foreclosure — — — 444 496 (52 ) 147 187 (40 ) 1,394 1,616 (222 ) $ 1,949,432 $ 1,900,743 $ 48,689 $ 1,269,515 $ 1,222,741 $ 46,774 Mortgage loans at fair value: Mortgage loans held in a consolidated VIE: Current through 89 days delinquent $ 292,174 $ 299,843 $ (7,669 ) $ 321,040 $ 316,684 $ 4,356 90 or more days delinquent: Not in foreclosure — — — — — — In foreclosure — — — — — — — — — — — — 292,174 299,843 (7,669 ) 321,040 316,684 4,356 Distressed mortgage loans at fair value: Current through 89 days delinquent 200,176 261,808 (61,632 ) 414,785 519,009 (104,224 ) 90 or more days delinquent: Not in foreclosure 66,791 113,308 (46,517 ) 166,749 257,038 (90,289 ) In foreclosure 74,027 113,067 (39,040 ) 186,899 267,911 (81,012 ) 140,818 226,375 (85,557 ) 353,648 524,949 (171,301 ) 340,994 488,183 (147,189 ) 768,433 1,043,958 (275,525 ) $ 633,168 $ 788,026 $ (154,858 ) $ 1,089,473 $ 1,360,642 $ (271,169 ) |
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, 2018 Net mortgage loan servicing fees Net gain on mortgage loans acquired for sale Net gain (loss) on investments Net interest income Total (in thousands) Assets: Short-term investments at fair value $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — — (19,030 ) (1,229 ) (20,259 ) Mortgage loans acquired for sale at fair value — 751 — — 751 Mortgage loans at fair value — — (6,681 ) 2,458 (4,223 ) ESS at fair value — — 1,109 3,740 4,849 Firm commitment to purchase credit risk transfer security at fair value — 12,311 2,012 — 14,323 MSRs at fair value 2,951 — — — 2,951 $ 2,951 $ 13,062 $ (22,590 ) $ 4,969 $ (1,608 ) Liabilities: Interest-only security payable at fair value $ — $ — $ (1,169 ) $ — $ (1,169 ) Asset-backed financing of a VIE at fair value — — 3,516 (201 ) 3,315 $ — $ — $ 2,347 $ (201 ) $ 2,146 Quarter ended September 30, 2017 Net mortgage loan servicing fees Net gain on mortgage loans acquired for sale Net gain (loss) on investments Net interest income Total (in thousands) Assets: Short-term investments at fair value $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — — 5,001 (1,481 ) 3,520 Mortgage loans acquired for sale at fair value — 32,935 — — 32,935 Mortgage loans at fair value — — 5,415 7,617 13,032 ESS at fair value — — (4,828 ) 3,998 (830 ) MSRs at fair value (3,977 ) — — — (3,977 ) $ (3,977 ) $ 32,935 $ 5,588 $ 10,134 $ 44,680 Liabilities: Interest-only security payable at fair value $ — $ — $ 191 $ — $ 191 Asset-backed financing of a VIE at fair value — — (2,158 ) (735 ) (2,893 ) $ — $ — $ (1,967 ) $ (735 ) $ (2,702 ) Nine months ended September 30, 2018 Net mortgage loan servicing fees Net gain on mortgage loans acquired for sale Net gain (loss) on investments Net interest income Total (in thousands) Assets: Short-term investments at fair value $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — — (50,288 ) (2,623 ) (52,911 ) Mortgage loans acquired for sale at fair value — (27,397 ) — — (27,397 ) Mortgage loans at fair value — — (29,694 ) 6,509 (23,185 ) ESS at fair value — — 9,026 11,584 20,610 Firm commitment to purchase credit risk transfer security at fair value — 16,737 2,012 — 18,749 MSRs at fair value 17,010 — — — 17,010 $ 17,010 $ (10,660 ) $ (68,944 ) $ 15,470 $ (47,124 ) Liabilities: Interest-only security payable at fair value $ — $ — $ (1,751 ) $ — $ (1,751 ) Asset-backed financing of a VIE at fair value — — 12,658 (74 ) 12,584 $ — $ — $ 10,907 $ (74 ) $ 10,833 Nine months ended September 30, 2017 Net mortgage loan servicing fees Net gain on mortgage loans acquired for sale Net gain (loss) on investments Net interest income Total (in thousands) Assets: Short-term investments at fair value $ — $ — $ — $ — $ — Mortgage-backed securities at fair value — — 9,168 (4,276 ) 4,892 Mortgage loans acquired for sale at fair value — 83,839 — — 83,839 Mortgage loans at fair value — — 13,832 29,195 43,027 ESS at fair value — — (14,757 ) 13,011 (1,746 ) MSRs at fair value (10,370 ) — — — (10,370 ) $ (10,370 ) $ 83,839 $ 8,243 $ 37,930 $ 119,642 Liabilities: Interest-only security payable at fair value $ — $ — $ (2,272 ) $ — $ (2,272 ) Asset-backed financing of a VIE at fair value — — (5,581 ) (1,807 ) (7,388 ) $ — $ — $ (7,853 ) $ (1,807 ) $ (9,660 ) |
Summary of Carrying Value of Financial Statement Items Re-measured at Fair Value on Nonrecurring Basis | Following is a summary of the carrying value at year end for financial statement items that were re-measured at fair value on a nonrecurring basis during the periods presented: September 30, 2018 Level 1 Level 2 Level 3 Total (in thousands) Real estate acquired in settlement of loans $ — $ — $ 37,722 $ 37,722 $ — $ — $ 37,722 $ 37,722 December 31, 2017 Level 1 Level 2 Level 3 Total (in thousands) Real estate acquired in settlement of loans $ — $ — $ 71,380 $ 71,380 MSRs at lower of amortized cost or fair value — — 312,995 312,995 $ — $ — $ 384,375 $ 384,375 |
Summary of Changes in Fair Value Recognized in Assets that Remeasured 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 remeasured at fair value on a nonrecurring basis: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Real estate asset acquired in settlement of loans $ (2,285 ) $ (5,666 ) $ (6,209 ) $ (7,454 ) MSRs at lower of amortized cost or fair value — (1,702 ) — (4,287 ) $ (2,285 ) $ (7,368 ) $ (6,209 ) $ (11,741 ) |
Quantitative Summary of Key Inputs Used in Valuation of Level 3 Mortgage Loans at Fair Value | Following is a quantitative summary of key inputs used in the valuation of the Company’s “Level 3” mortgage loans at fair value: Key inputs (1) September 30, 2018 December 31, 2017 Discount rate Range 2.8% – 16.7% 2.9% – 15.0% Weighted average 7.3% 6.9% Twelve-month projected housing price index change Range 3.5% – 4.4% 3.6% – 4.6% Weighted average 4.1% 4.4% Prepayment speed (2) Range 2.5% – 8.1% 3.2% – 11.0% Weighted average 4.1% 4.2% Total prepayment speed (3) Range 10.4% – 22.3% 10.8% – 23.8% Weighted average 15.6% 16.5% (1) Weighted-average inputs are based on fair value amounts of the mortgage loans. (1) Prepayment speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”). (3) 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 (1) September 30, 2018 December 31, 2017 UPB of underlying mortgage loans (in thousands) $ 24,058,366 $ 27,217,199 Average servicing fee rate (in basis points) 34 34 Average ESS rate (in basis points) 19 19 Pricing spread (2) Range 3.4% - 3.9% 3.8% - 4.3% Weighted average 3.7% 4.1% Annual total prepayment speed (3) Range 7.5% - 38.4% 8.4% - 41.4% Weighted average 9.0% 10.8% Life (in years) Range 1.4 - 8.0 1.4 - 7.7 Weighted average 7.1 6.5 (1) Weighted-average inputs are based on UPB of underlying amounts of mortgage loans. (2) 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. (3) Prepayment speed is measured using Life Total CPR. |
Schedule of Key Inputs Used in Determining Fair Value of Firm Commitment to Purchase Credit Risk Transfer Security | The Company categorizes its firm commitment to purchase credit risk transfer securities as a “Level 3” fair value asset. The fair value of the firm commitment is estimated using a discounted cash flow approach to estimate the fair value of the credit risk transfer security to be purchased related to the loans subject to the commitment. Key inputs used in the estimation of fair value of the firm commitment are the discount rate and the voluntary and involuntary prepayment speeds of the reference mortgage loans. The firm commitment to purchase credit transfer securities is recognized initially as a component of Gain on sale of mortgage loans acquired for sale Net gain (loss) on investments Key inputs September 30, 2018 Discount rate 8.2% Voluntary prepayment speed (1) 12.0% Involuntary prepayment speed (2) 0.1% (1) Voluntary prepayment speed is measured using Life Voluntary CPR. (2) Involuntary prepayment speed is measured using Life Involuntary 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 (1) September 30, 2018 December 31, 2017 Pull-through rate Range 43.8% – 100% 58.0% - 100% Weighted average 92.6% 90.3% MSR value expressed as Servicing fee multiple Range 2.5 - 5.9 2.1 - 5.8 Weighted average 4.7 4.9 Percentage of UPB Range 0.8% – 2.8% 0.0% - 2.4% Weighted average 1.4% 1.3% (1) Weighted-average inputs are based on notional amounts. |
Quantitative Summary of Key Unobservable Inputs Used in Valuation of Non-securitized CRT Agreements | Following is a quantitative summary of key unobservable inputs used in the valuation of non-securitized CRT Agreements: Key inputs (1) September 30, 2018 December 31, 2017 Discount rate Range 5.8% – 6.7% 5.1% – 6.2% Weighted average 6.2% 5.6% Voluntary prepayment speed (2) Range 7.5% – 8.7% 12.1% – 15.0% Weighted average 8.1% 13.0% Involuntary prepayment speed (3) Range 0.2% – 0.3% 0.3% – 0.3% Weighted average 0.3% 0.3% (1) Weighted-average inputs are based on fair value amounts of the CRT Agreements. (2) Voluntary prepayment speed is measured using Life Voluntary CPR. (3) Involuntary prepayment speed is measured using Life Involuntary CPR. |
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, 2018 2017 Fair value Fair value Amortized cost (MSR recognized and UPB of underlying mortgage loan amounts in thousands) MSR recognized $ 96,383 $ 8,655 $ 74,183 Key inputs (1) UPB of underlying mortgage loans $ 8,290,310 $ 794,770 $ 6,050,337 Weighted-average annual servicing fee rate (in basis points) 25 25 25 Pricing spread (2) Range 7.3% – 12.9% 7.6% – 7.6% 7.6% – 12.6% Weighted average 7.3% 7.6% 7.6% Annual total prepayment speed (3) Range 3.5% – 34.6% 8.3% – 29.5% 3.5% – 31.1% Weighted average 10.6% 10.5% 8.1% Life (in years) Range 2.3 - 11.7 2.8 - 8.5 2.6 - 11.2 Weighted average 7.3 7.4 8.4 Annual per-loan cost of servicing Range $77 - $79 $79 - $79 $79 - $79 Weighted average $79 $79 $79 (1) Weighted-average inputs are based on UPB of the underlying mortgage loans. (2) The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs. (3) Prepayment speed is measured using Life Total CPR. Nine months ended September 30, 2018 2017 Fair value Fair value Amortized cost (MSR recognized and UPB of underlying mortgage loan amounts in thousands) MSR recognized $ 228,337 $ 28,467 $ 178,894 Key inputs (1) UPB of underlying mortgage loans $ 18,687,615 $ 2,613,258 $ 14,624,151 Weighted-average annual servicing fee rate (in basis points) 26 25 25 Pricing spread (2) Range 7.3% – 12.9% 7.6% – 7.6% 7.6% – 12.6% Weighted average 7.4% 7.6% 7.6% Annual total prepayment speed (3) Range 3.2% – 34.6% 7.9% – 29.5% 3.2% – 31.1% Weighted average 9.6% 10.7% 8.1% Life (in years) Range 2.3 - 11.9 2.8 - 8.5 2.6 - 11.9 Weighted average 7.7 7.3 8.3 Annual per-loan cost of servicing Range $77 - $79 $79 - $79 $79 - $79 Weighted average $79 $79 $79 (1) Weighted-average inputs are based on the UPB of the underlying mortgage loans. (2) The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs. (3) Prepayment speed is measured using Life Total CPR. |
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, 2018 December 31, 2017 Fair value Fair value Amortized cost (Carrying value, UPB of underlying mortgage loans and effect on fair value amounts in thousands) Carrying value $ 1,109,741 $ 91,459 $ 753,322 Key inputs (1): UPB of underlying mortgage loans $ 84,351,431 $ 8,273,696 $ 63,853,606 Weighted-average annual servicing fee rate (in basis points) 25 25 25 Weighted-average note interest rate 4.1% 4.7% 3.9% Pricing spread (2) Range 7.3% – 12.9% 7.6% – 12.6% 7.6% – 13.1% Weighted average 7.3% 7.6% 7.6% Effect on fair value of (3): 5% adverse change $ (16,686 ) $ (1,347 ) $ (11,848 ) 10% adverse change $ (32,897 ) $ (2,655 ) $ (23,352 ) 20% adverse change $ (63,970 ) $ (5,162 ) $ (45,379 ) Prepayment speed (4) Range 6.2% – 24.3% 7.3% – 20.9% 7.1% – 27.1% Weighted average 7.6% 11.1% 8.4% Life (in years) Range 2.9 - 8.5 3.1 - 6.8 2.9 - 8.0 Weighted average 8.1 6.8 7.6 Effect on fair value of (3): 5% adverse change $ (15,209 ) $ (1,954 ) $ (12,267 ) 10% adverse change $ (29,926 ) $ (3,827 ) $ (24,120 ) 20% adverse change $ (57,978 ) $ (7,352 ) $ (46,668 ) Annual per-loan cost of servicing Range $78 - $79 $77 – $79 $78 – $79 Weighted average $79 $79 $79 Effect on fair value of (3): 5% adverse change $ (7,834 ) $ (744 ) $ (5,721 ) 10% adverse change $ (15,668 ) $ (1,488 ) $ (11,441 ) 20% adverse change $ (31,337 ) $ (2,976 ) $ (22,883 ) (1) Weighted-average inputs are based on the UPB of underlying mortgage loans. (2) The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs. (3) For MSRs carried at fair value, an adverse change in one of the above-mentioned key inputs is expected to result in a recognized reduction in fair value which would be recorded 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 have resulted in recognition of MSR impairment. The extent of the recognized MSR impairment depended on the relationship of fair value to the carrying value of such MSRs. (4) Prepayment speed is measured using Life Total CPR. |
Mortgage Backed Securities (Tab
Mortgage Backed Securities (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Mortgage Backed Securities [Abstract] | |
Summary of Mortgage Backed Securities | Following is a summary of MBS: September 30, 2018 December 31, 2017 Principal balance Net premiums Accumulated valuation changes Fair value Principal balance Net premiums Accumulated valuation changes Fair value (in thousands) Agency: (1) Fannie Mae $ 1,592,192 $ 40,413 $ (46,691 ) $ 1,585,914 $ 774,473 $ 30,355 $ (7,975 ) $ 796,853 Freddie Mac 543,239 6,963 (9,609 ) 540,593 187,127 3,518 1,963 192,608 $ 2,135,431 $ 47,376 $ (56,300 ) $ 2,126,507 $ 961,600 $ 33,873 $ (6,012 ) $ 989,461 (1) All MBS are fixed-rate pass-through securities. |
Mortgage Loans Acquired for S_2
Mortgage Loans Acquired for Sale at Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 December 31, 2017 (in thousands) Agency-eligible $ 1,708,928 $ 971,910 Held for sale to PLS — Government insured or guaranteed 217,334 279,571 Commercial real estate 8,500 9,898 Jumbo 7,573 — Repurchased pursuant to representations and warranties 7,097 8,136 $ 1,949,432 $ 1,269,515 Mortgage loans pledged to secure: Assets sold under agreements to repurchase $ 1,898,155 $ 1,201,992 Mortgage loan participation purchase and sale agreements 32,392 47,285 $ 1,930,547 $ 1,249,277 |
Mortgage Loans at Fair Value (T
Mortgage Loans at Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 December 31, 2017 Loan type Fair value Unpaid principal balance Fair value Unpaid principal balance (in thousands) Distressed mortgage loans: Nonperforming mortgage loans $ 140,818 $ 226,375 $ 353,648 $ 524,949 Performing mortgage loans: Interest rate step-up 125,063 170,066 189,724 242,335 Fixed interest rate 58,179 73,769 186,929 236,840 Adjustable-rate/hybrid 16,934 17,973 38,132 39,834 200,176 261,808 414,785 519,009 340,994 488,183 768,433 1,043,958 Fixed interest rate jumbo mortgage loans held in a VIE 292,174 299,843 321,040 316,684 $ 633,168 $ 788,026 $ 1,089,473 $ 1,360,642 Mortgage loans at fair value pledged to secure: Assets sold under agreements to repurchase $ 332,093 $ 760,853 Asset-backed financing of a VIE at fair value 292,174 321,040 $ 624,267 $ 1,081,893 |
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, 2018 December 31, 2017 (percentages are of fair value) Portion of mortgage loans originated between 2005 and 2007 71% 73% Mortgage loans with unpaid-principal balance-to-current -property-value in excess of 100% 31% 38% States contributing 5% or more of mortgage loans New York California Florida New Jersey New York California New Jersey Florida Massachusetts |
Derivative Activities (Tables)
Derivative Activities (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 December 31, 2017 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 1,682,007 $ 2,317 $ 3,418 1,250,803 $ 4,859 $ 227 CRT Agreements 30,648,306 126,354 — 26,845,392 98,640 — Repurchase agreement derivatives 9,415 — 3,748 — Subject to master netting agreements ─ for hedging purposes: Forward purchase contracts 3,350,125 1,761 11,964 1,996,235 4,343 248 Forward sale contracts 5,124,927 19,238 1,719 2,565,271 387 2,830 MBS put options 2,600,000 2,302 — 2,375,000 3,170 — MBS call options 750,000 7 — — — — Put options on interest rate futures 100,000 141 — 550,000 656 — Swap futures — — — 275,000 — — Bond futures 815,000 — — — — — Eurodollar future sale contracts 30,000 — — 937,000 — — Total derivative instruments before netting 161,535 17,101 115,803 3,305 Netting (17,958 ) (5,221 ) (1,922 ) (1,999 ) $ 143,577 $ 11,880 $ 113,881 $ 1,306 Margin deposits placed with (from) derivatives counterparties included in Other $ (12,736 ) $ 76 Derivative assets pledged to secure Assets sold under agreements to repurchase $ 27,710 $ 26,058 |
Summary of Net Derivative Assets | Following is a summary of net derivative assets: September 30, 2018 December 31, 2017 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 $ 2,317 $ — $ 2,317 $ 4,859 $ — $ 4,859 CRT Agreement derivatives 126,354 — 126,354 98,640 — 98,640 Repurchase agreement derivatives 9,415 — 9,415 3,748 — 3,748 138,086 — 138,086 107,247 — 107,247 Subject to master netting arrangements: Forward purchase contracts 1,761 — 1,761 4,343 — 4,343 Forward sale contracts 19,238 — 19,238 387 — 387 MBS call options 7 — 7 — — — MBS put options 2,302 — 2,302 3,170 — 3,170 Put options on interest rate futures 141 — 141 656 — 656 Netting — (17,958 ) (17,958 ) — (1,922 ) (1,922 ) 23,449 (17,958 ) 5,491 8,556 (1,922 ) 6,634 $ 161,535 $ (17,958 ) $ 143,577 $ 115,803 $ (1,922 ) $ 113,881 |
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, 2018 December 31, 2017 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 $ 126,354 $ — $ — $ 126,354 $ 98,640 $ — $ — $ 98,640 Interest rate lock commitments 2,317 — — 2,317 4,859 — — 4,859 Deutsche Bank Securities LLC 9,415 — — 9,415 3,748 — — 3,748 Citigroup Global Markets Inc. 2,116 — — 2,116 429 — — 429 Wells Fargo Securities, LLC 950 — — 950 146 — — 146 J.P. Morgan Securities LLC 637 — — 637 2,020 — — 2,020 Bank of America, N.A. 627 — — 627 — — — — Goldman Sachs 558 — — 558 — — — — RJ O’Brien & Associates, LLC 141 — — 141 656 — — 656 Federal National Mortgage Association 9 — — 9 1,606 — — 1,606 Credit Suisse Securities (USA) LLC — — — — 809 — — 809 Morgan Stanley & Co. LLC — — — — 457 — — 457 Other 453 — — 453 511 — — 511 $ 143,577 $ — $ — $ 143,577 $ 113,881 $ — $ — $ 113,881 |
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, 2018 December 31, 2017 Gross amounts of recognized liabilities Gross amounts offset in the consolidated balance sheet Net amounts of liabilities presented in the consolidated balance sheet Gross amounts of recognized liabilities Gross amounts offset in the consolidated balance sheet Net amounts of liabilities presented in the consolidated balance sheet (in thousands) Derivative liabilities: Not subject to master netting arrangements: Interest rate lock commitments $ 3,418 $ — $ 3,418 $ 227 $ — $ 227 3,418 — 3,418 227 — 227 Subject to master netting arrangements: Forward purchase contracts 11,964 — 11,964 248 — 248 Forward sales contracts 1,719 — 1,719 2,830 — 2,830 Netting — (5,221 ) (5,221 ) — (1,999 ) (1,999 ) 13,683 (5,221 ) 8,462 3,078 (1,999 ) 1,079 17,101 (5,221 ) 11,880 3,305 (1,999 ) 1,306 Assets sold under agreements to repurchase: UPB 4,394,597 — 4,394,597 3,182,504 — 3,182,504 Unamortized debt issuance costs (97 ) — (97 ) (1,618 ) — (1,618 ) 4,394,500 — 4,394,500 3,180,886 — 3,180,886 $ 4,411,601 $ (5,221 ) $ 4,406,380 $ 3,184,191 $ (1,999 ) $ 3,182,192 |
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, 2018 December 31, 2017 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 $ 3,418 $ — $ — $ 3,418 $ 227 $ — $ — $ 227 Bank of America, N.A. 1,424,559 (1,424,559 ) — — 839,057 (838,771 ) — 286 Deutsche Bank Securities LLC 701,294 (701,294 ) — — 374,526 (374,526 ) — — Credit Suisse Securities (USA) LLC 683,565 (683,339 ) — 226 845,567 (845,567 ) — — J.P. Morgan Securities LLC 448,773 (448,773 ) — — 373,186 (373,186 ) — — Mizuho Securities 276,791 (276,791 ) — — — — — — Daiwa Capital Markets 262,985 (262,940 ) — 45 153,833 (153,730 ) — 103 Morgan Stanley & Co. LLC 224,035 (223,627 ) — 408 164,530 (164,530 ) — — Citigroup Global Markets Inc. 118,762 (116,091 ) — 2,671 235,541 (235,319 ) — 222 RBC Capital Markets, L.P. 95,027 (95,027 ) — — 92,014 (91,805 ) — 209 BNP Paribas 91,062 (91,062 ) — — 45,411 (45,411 ) — — Wells Fargo Securities, LLC 71,094 (71,094 ) — — 50,360 (50,360 ) — — Federal National Mortgage Association 4,350 — — 4,350 — — — — Barclays Capital Inc. 270 — — 270 9,374 (9,299 ) — 75 Other 492 — — 492 184 — — 184 Unamortized debt issuance costs (97 ) 97 — — (1,618 ) 1,618 — — $ 4,406,380 $ (4,394,500 ) $ — $ 11,880 $ 3,182,192 $ (3,180,886 ) $ — $ 1,306 |
Net Gains (Losses) Recognized on Derivative Financial Instruments | Following are the net gains (losses) recognized by the Company on derivative financial instruments and the consolidated statements of income line items where such gains and losses are included: Quarter ended September 30, Nine months ended September 30, Derivative activity Income statement line 2018 2017 2018 2017 (in thousands) Interest rate lock commitments Net gain on mortgage loans acquired for sale $ (7,700 ) $ 24,694 $ (26,431 ) $ 70,131 CRT agreements Net gain (loss) on investments $ 30,552 $ 14,960 $ 92,621 $ 68,863 Repurchase agreement derivatives Interest expense $ (37 ) $ — $ (118 ) $ — Hedged item: Interest rate lock commitments and mortgage loans acquired for sale Net gain on mortgage loans acquired for sale $ 15,584 $ (16,943 ) $ 56,818 $ (32,308 ) Mortgage servicing rights Net mortgage loan servicing fees $ (12,093 ) $ 4,576 $ (44,378 ) $ (1,731 ) Fixed-rate assets and LIBOR- indexed repurchase agreements Net gain (loss) on investments $ 691 $ (5,910 ) $ 1,029 $ (14,943 ) |
Derivative Arising From Derivative Contracts [Member] | |
Summary of Activity in Notional Amount for Derivative Contracts | The following tables summarize the notional amount activity for derivative contracts used to hedge the Company’s MBS financing, inventory of mortgage loans acquired for sale, mortgage loans at fair value held in a VIE, IRLCs and MSRs. Quarter ended September 30, 2018 Amount, Amount, beginning Dispositions/ end Instrument of quarter Additions expirations of quarter (in thousands) Forward purchase contracts 2,628,934 26,864,290 (26,143,099 ) 3,350,125 Forward sales contracts 3,793,355 36,205,542 (34,873,970 ) 5,124,927 MBS put options 1,550,000 1,050,000 — 2,600,000 MBS call options — 750,000 — 750,000 Call options on interest rate futures 50,000 200,000 (250,000 ) — Put options on interest rate futures 600,000 1,300,000 (1,800,000 ) 100,000 Bond futures 815,000 2,205,000 (2,205,000 ) 815,000 Eurodollar future sale contracts 35,000 5,000 (10,000 ) 30,000 Quarter ended September 30, 2017 Amount, Amount, beginning Dispositions/ end Instrument of quarter Additions expirations of quarter (in thousands) 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 sale 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 ) — Nine months ended September 30, 2018 Amount, Amount, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) Forward purchase contracts 1,996,235 67,406,528 (66,052,638 ) 3,350,125 Forward sales contracts 2,565,271 88,131,417 (85,571,761 ) 5,124,927 MBS put options 2,375,000 9,625,000 (9,400,000 ) 2,600,000 MBS call options — 750,000 — 750,000 Call options on interest rate futures — 525,000 (525,000 ) — Put options on interest rate futures 550,000 11,700,000 (12,150,000 ) 100,000 Swap futures 275,000 — (275,000 ) — Bond futures — 3,020,000 (2,205,000 ) 815,000 Eurodollar future sale contracts 937,000 119,597 (1,026,597 ) 30,000 Nine months ended September 30, 2017 Amount, Amount, beginning Dispositions/ end Instrument of period Additions expirations of period (in thousands) Forward purchase contracts 4,840,707 54,953,063 (58,195,358 ) 1,598,412 Forward sales contracts 6,148,242 73,030,446 (76,369,841 ) 2,808,847 MBS put options 925,000 5,125,000 (4,925,000 ) 1,125,000 MBS call option 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 ) — |
Real Estate Acquired in Settl_2
Real Estate Acquired in Settlement of Loans (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 2017 2018 2017 (in thousands) Balance at beginning of period $ 109,271 $ 207,034 $ 162,865 $ 274,069 Transfers: From mortgage loans at fair value and advances 7,508 22,951 26,229 76,981 To real estate held for investment (559 ) (2,555 ) (4,123 ) (14,300 ) From real estate held for investment 655 — 1,112 — Results of REO: Valuation adjustments, net (3,323 ) (6,423 ) (13,990 ) (21,749 ) Gain on sale, net 3,013 3,280 8,157 10,895 (310 ) (3,143 ) (5,833 ) (10,854 ) Sales (20,960 ) (39,253 ) (84,645 ) (140,862 ) Balance at end of period $ 95,605 $ 185,034 $ 95,605 $ 185,034 September 30, 2018 December 31, 2017 (in thousands) REO pledged to secure assets sold under agreements to repurchase $ 43,970 $ 76,037 REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties 25,429 48,495 $ 69,399 $ 124,532 |
Mortgage Servicing Rights (Tabl
Mortgage Servicing Rights (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 2017 2018 2017 (in thousands) Balance at beginning of period $ 1,010,507 $ 77,624 $ 91,459 $ 64,136 Transfer of mortgage servicing rights from mortgage servicing rights carried at lower of amortized cost or fair value pursuant to a change in accounting principle — — 773,035 — Balance after reclassification 1,010,507 77,624 864,494 64,136 Purchases — 10 — 79 Sales (100 ) — (100 ) — MSRs resulting from mortgage loan sales 96,383 8,655 228,337 28,467 Changes in fair value: Due to changes in valuation inputs used in valuation model (1) 33,004 (2,628 ) 101,699 (6,956 ) Other changes in fair value (2) (30,053 ) (1,349 ) (84,689 ) (3,414 ) 2,951 (3,977 ) 17,010 (10,370 ) Balance at end of period $ 1,109,741 $ 82,312 $ 1,109,741 $ 82,312 September 30, 2018 December 31, 2017 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and (3) $ 1,090,406 $ 90,284 (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. (3) During 2018, beneficial interests in Fannie Mae MSRs are pledged as collateral for both Assets sold under agreements to repurchase Notes payable Notes Payable |
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 2018 2017 (in thousands) Amortized Cost: Balance at beginning of period $ 673,433 $ 772,870 $ 606,103 Transfer of mortgage servicing right to mortgage servicing rights carried at fair value pursuant to a change in accounting principle — (772,870 ) — Balance after reclassification 673,433 — 606,103 MSRs resulting from mortgage loan sales 74,183 — 178,894 Amortization (21,634 ) — (59,015 ) Balance at end of period 725,982 — 725,982 Valuation Allowance: Balance at beginning of period (16,257 ) (19,548 ) (13,672 ) Reduction resulting from change in accounting principle — 19,548 — Balance after reclassification (16,257 ) — (13,672 ) Additions to valuation allowance (1,702 ) — (4,287 ) Balance at end of period (17,959 ) — (17,959 ) MSRs, net $ 708,023 $ — $ 708,023 Fair value at beginning of period $ 682,437 $ 626,334 Fair value at end of period $ 728,828 December 31, 2017 (in thousands) MSRs carried at lower of cost or fair value pledged to secure: Assets sold under agreements to repurchase $ 584,762 Notes payable 156,846 $ 741,608 |
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, 2018 2017 2018 2017 (in thousands) Contractually-specified servicing fees $ 49,864 $ 42,237 $ 147,262 $ 119,223 Ancillary and other fees: Late charges 252 173 685 536 Other 2,859 1,870 5,988 4,110 $ 52,975 $ 44,280 $ 153,935 $ 123,869 |
Assets Sold Under Agreements _2
Assets Sold Under Agreements to Repurchase (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 2017 2018 2017 (dollars in thousands) Weighted-average interest rate (1) 3.19 % 2.72 % 3.12 % 2.57 % Average balance $ 4,072,301 $ 3,474,903 $ 3,573,805 $ 3,388,626 Total interest expense (2) $ 29,725 $ 26,157 $ 79,705 $ 72,280 Maximum daily amount outstanding $ 5,091,893 $ 3,973,869 $ 5,677,797 $ 4,083,326 (1) Excludes the effect of amortization of net debt issuance premiums of $3.1 million and $4.8 million for the quarter and nine months ended September 30, 2018, respectively, and net debt issuance costs of $1.9 million and $6.1 million for the quarter and nine months ended September 30, 2017, respectively. (2) The Company’s interest expense relating to assets sold under agreements to repurchase for the quarter and nine months ended September 30, 2018 includes recognition of incentives it received for financing certain of its mortgage loans acquired for sale satisfying certain consumer debt relief characteristics under a master repurchase agreement. During the quarter and nine months ended September 30, 2018, the Company recognized $5.0 million and $11.0 million, respectively, in such incentives as a reduction of interest expense. The master repurchase agreement is subject to a rolling six-month term through August 18, 2019, unless terminated earlier at the option of the lender. There can be no assurance that the lender will not terminate this agreement before its stated maturity. September 30, 2018 December 31, 2017 (dollars in thousands) Carrying value: Unpaid principal balance $ 4,394,597 $ 3,182,504 Unamortized debt issuance costs and premiums, net (97 ) (1,618 ) $ 4,394,500 $ 3,180,886 Weighted-average interest rate 3.23 % 2.77 % Available borrowing capacity (1): Committed $ 564,023 $ 749,650 Uncommitted 1,947,494 2,030,607 $ 2,511,517 $ 2,780,257 Margin deposits placed with counterparties included in Other $ 42,550 $ 28,154 Assets securing agreements to repurchase: Mortgage-backed securities $ 2,126,507 $ 989,461 Mortgage loans acquired for sale at fair value $ 1,898,155 $ 1,201,992 Mortgage loans at fair value $ 332,093 $ 760,853 CRT Agreements: Deposits securing CRT agreements $ 378,090 $ 400,778 Derivative assets $ 27,710 $ 26,058 Real estate acquired in settlement of loans $ 69,399 $ 124,532 Real estate held for investment $ 31,795 $ 31,128 MSRs (2) $ 1,090,406 $ 651,575 (1) The amount the Company is able to borrow under asset repurchase agreements is tied to the fair value of unencumbered assets eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the assets financed. (2) During 2018, beneficial interests in Fannie Mae MSRs are pledged as collateral for both Assets sold under agreements to repurchase Notes payable Notes Payable |
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, 2018 Contractual balance (in thousands) Within 30 days $ 2,462,431 Over 30 to 90 days — Over 90 days to 180 days 10,328 Over 180 days to 1 year 1,815,302 Over one year to two years 106,536 $ 4,394,597 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. $ 20,251 October 26, 2018 Bank of America, N.A. $ 47,090 October 21, 2018 Daiwa Capital Markets America Inc. $ 16,385 October 19, 2018 Mizuho Securities $ 8,634 October 10, 2018 Wells Fargo, N.A. $ 4,034 October 16, 2018 |
CRT Agreements sold under agreements to repurchase [Member] | |
Summary of Assets Sold under Agreements to Repurchase by Counterparty | CRT Agreements sold under agreements to repurchase Counterparty Amount at risk Weighted average maturity (in thousands) Credit Suisse First Boston Mortgage Capital LLC $ 50,793 October 10, 2018 Bank of America, N.A. $ 25,475 October 19, 2018 BNP Paribas Corporate & Institutional Banking $ 17,009 October 22, 2018 |
Mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Summary of Assets Sold under Agreements to Repurchase by Counterparty | Mortgage loans, REO and MSRs sold under agreements to repurchase Counterparty Amount Weighted-average maturity Facility maturity (in thousands) Credit Suisse First Boston Mortgage Capital LLC $ 696,567 December 17, 2018 April 26, 2019 JPMorgan Chase & Co. $ 4,354 November 17, 2018 October 11, 2019 JPMorgan Chase & Co. $ 100,153 March 14, 2019 March 14, 2019 Citibank, N.A. $ 118,546 December 13, 2018 June 7, 2019 Bank of America, N.A. $ 16,589 October 18, 2018 July 1, 2019 Deutsche Bank $ 33,676 December 17, 2018 March 31, 2019 BNP Paribas Corporate & Institutional Banking $ 555 December 14, 2018 August 2, 2019 Morgan Stanley $ 10,781 December 13, 2018 August 23, 2019 Royal Bank of Canada $ 4,454 January 13, 2019 April 16, 2019 |
Mortgage Loan Participation P_2
Mortgage Loan Participation Purchase and Sale Agreements (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 2017 2018 2017 (dollars in thousands) Weighted-average interest rate (1) 3.39 % 2.48 % 3.21 % 2.28 % Average balance $ 78,806 $ 59,701 $ 51,687 $ 65,290 Total interest expense $ 739 $ 409 $ 1,396 $ 1,225 Maximum daily amount outstanding $ 258,983 $ 99,441 $ 258,983 $ 99,441 (1) Excludes the effect of amortization of debt issuance costs of $65,000 and $141,000 for the quarter and nine months ended September 30, 2018, respectively, and $31,000 and $94,000 for the quarter and nine months ended September 30, 2017, respectively. September 30, 2018 December 31, 2017 (dollars in Carrying value: Amount outstanding $ 31,675 $ 44,550 Unamortized debt issuance costs (97 ) (62 ) $ 31,578 $ 44,488 Weighted-average interest rate 3.61 % 2.82 % Mortgage loans acquired for sale pledged to secure mortgage loan participation purchase and sale agreements $ 32,392 $ 47,285 |
Exchangeable Senior Notes (Tabl
Exchangeable Senior Notes (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 2017 2018 2017 (in thousands) Average balance $ 250,000 $ 250,000 $ 250,000 $ 250,000 Total interest expense $ 3,652 $ 3,636 $ 10,945 $ 10,895 September 30, 2018 December 31, 2017 (in thousands) Carrying value: UPB $ 250,000 $ 250,000 Unamortized debt issuance costs (1,947 ) (2,814 ) $ 248,053 $ 247,186 |
Notes Payable (Tables)
Notes Payable (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Text Block [Abstract] | |
Summary of Financial Information Relating to Note Payable | Following is a summary of financial information relating to the notes payable: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (dollars Weighted-average interest rate (1) 4.53 % 6.30 % 4.58 % 5.57 % Average balance $ 445,149 $ 79,345 $ 251,052 $ 152,395 Total interest expense $ 5,351 $ 2,320 $ 9,032 $ 9,719 Maximum daily amount outstanding $ 445,318 $ 160,106 $ 445,318 $ 275,106 (1) Excludes the effect of amortization of debt issuance costs of $255,000 and $426,000 for the quarter and nine months ended September 30, 2018, respectively, and $1.0 million and $3.3 million for the quarter and nine months ended September 30, 2017, respectively. September 30, 2018 December 31, 2017 (dollars in thousands) Carrying value: Amount outstanding $ 450,000 $ — Unamortized debt issuance costs (4,682 ) — $ 445,318 $ — Weighted-average interest rate 4.44 % — MSRs pledged to secure notes payable (1) $ 1,090,406 $ 180,317 (1) During 2018, beneficial interests in Fannie Mae MSRs are pledged as collateral for both Assets sold under agreements to repurchase Notes payable |
Asset-Backed Financing of a V_2
Asset-Backed Financing of a Variable Interest Entity at Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 2017 2018 2017 (dollars in thousands) Weighted-average fair value $ 285,284 $ 325,763 $ 292,770 $ 337,073 Total interest expense $ 2,740 $ 3,515 $ 7,836 $ 10,520 Weighted-average interest rate 3.52 % 3.34 % 3.51 % 3.41 % September 30, 2018 December 31, 2017 (dollars in thousands) Fair value $ 278,113 $ 307,419 UPB $ 287,086 $ 316,684 Weighted-average interest rate 3.51 % 3.51 % |
Liability for Losses Under Re_2
Liability for Losses Under Representations and Warranties (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 2017 2018 2017 (in thousands) Balance, beginning of period $ 7,625 $ 10,697 $ 8,678 $ 15,350 Provision for losses: Pursuant to mortgage loan sales 636 1,075 1,724 2,355 Reduction in liability due to change in estimate (848 ) (1,642 ) (3,030 ) (7,523 ) (Losses incurred) recoveries, net — (83 ) 41 (135 ) Balance, end of period $ 7,413 $ 10,047 $ 7,413 $ 10,047 UPB of mortgage loans subject to representations and warranties at end of period $ 83,370,583 $ 67,196,537 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Commitments And Contingencies Disclosure [Abstract] | |
Company's Outstanding Contractual Commitments | The following table summarizes the Company’s outstanding contractual commitments: September 30, 2018 (in thousands) Commitments to purchase mortgage loans acquired for sale $ 1,682,007 Commitments to fund Deposits securing CRT agreements $ 578,508 Firm commitment to purchase credit risk transfer security $ 294,698 (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, 2018 | |
Equity [Abstract] | |
Schedule of Preferred Shares of Beneficial Interest | Preferred shares of beneficial interest are summarized below: Series Description (1) Number of shares Liquidation preference Issuance discount Carrying value (in thousands) A 8.125% fixed-to-floating rate cumulative redeemable preferred, issued March 2017 4,600 $ 115,000 $ 3,828 $ 111,172 B 8.00% fixed-to-floating rate cumulative redeemable preferred, issued 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, 2018 2017 2018 2017 Cumulative total (1) (in thousands) Common shares repurchased — 966 671 1,105 14,731 Cost of common shares repurchased $ — $ 16,417 $ 10,719 $ 18,724 $ 216,625 (1) Amounts represent the share repurchase program total from its inception in August 2015 through September 30, 2018. |
Net Mortgage Loan Servicing F_2
Net Mortgage Loan Servicing Fees (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 2017 2018 2017 (in thousands) From non-affiliates: Servicing fees (1) $ 49,864 $ 42,237 $ 147,262 $ 119,223 Ancillary and other fees 3,111 2,043 6,673 4,646 Effect of MSRs: Carried at fair value—change in fair value Realization of cashflows (30,053 ) (2,628 ) (84,689 ) (6,956 ) Other 33,127 (1,349 ) 101,822 (3,414 ) 3,074 (3,977 ) 17,133 (10,370 ) Loss on sale (123 ) — (123 ) — Carried at lower of amortized cost or fair value: Amortization — (21,634 ) — (59,015 ) Additions to impairment valuation allowance — (1,702 ) — (4,287 ) (Losses) gains on hedging derivatives (12,093 ) 4,576 (44,378 ) (1,731 ) (9,142 ) (22,737 ) (27,368 ) (75,403 ) 43,833 21,543 126,567 48,466 From PFSI—MSR recapture income 561 333 1,568 859 Net mortgage loan servicing fees $ 44,394 $ 21,876 $ 128,135 $ 49,325 Average servicing portfolio $ 81,350,980 $ 63,584,416 $ 77,522,709 $ 61,764,228 (1) Includes contractually specified servicing fees, net of Agency guarantee fees. |
Net Gain on Mortgage Loans Ac_2
Net Gain on Mortgage Loans Acquired for Sale (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 2017 2018 2017 (in thousands) From non-affiliates: Cash loss: Mortgage loans $ (104,475 ) $ (51,485 ) $ (272,496 ) $ (135,666 ) Hedging activities 24,659 (13,468 ) 63,047 (16,931 ) (79,816 ) (64,953 ) (209,449 ) (152,597 ) Non cash gain: Recognition of fair value of firm commitment to purchase credit risk transfer security 12,311 — 16,737 — Receipt of MSRs in mortgage loan sale transactions 96,383 82,838 228,337 207,361 Provision for losses relating to representations and warranties provided in mortgage loan sales: Pursuant to mortgage loans sales (636 ) (1,075 ) (1,724 ) (2,355 ) Reduction in liability due to change in estimate 848 1,642 3,030 7,523 212 567 1,306 5,168 Change in fair value of financial instruments held at end of period: IRLCs (3,907 ) 880 (5,733 ) (2,502 ) Mortgage loans 6,013 (1,165 ) 8,389 2,891 Hedging derivatives (9,075 ) (3,475 ) (6,229 ) (15,377 ) (6,969 ) (3,760 ) (3,573 ) (14,988 ) Total from non-affiliates 22,121 14,692 33,358 44,944 From PFSI—cash gain 2,689 3,275 8,221 9,340 $ 24,810 $ 17,967 $ 41,579 $ 54,284 |
Net Gain (Loss) on Investments
Net Gain (Loss) on Investments (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 2017 2018 2017 (in thousands) From non-affiliates: Mortgage-backed securities at fair value $ (19,030 ) $ 5,001 $ (50,288 ) $ 9,168 Mortgage loans at fair value: Distressed (3,051 ) 3,277 (17,702 ) 7,523 Held in a VIE (3,630 ) 2,138 (11,992 ) 6,309 CRT Agreements 29,481 15,151 90,528 66,591 Asset-backed financing of a VIE at fair value 3,516 (2,158 ) 12,658 (5,581 ) Hedging derivatives 691 (5,910 ) 1,029 (14,943 ) 7,977 17,499 24,233 69,067 From PFSI—ESS 1,706 (3,665 ) 10,977 (10,920 ) $ 9,683 $ 13,834 $ 35,210 $ 58,147 |
Net Interest Income (Tables)
Net Interest Income (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 2017 2018 2017 (in thousands) Interest income: From nonaffiliates: Short-term investments $ 385 $ 132 $ 656 $ 516 Mortgage-backed securities 15,903 7,447 37,127 21,954 Mortgage loans acquired for sale at fair value 22,591 16,202 51,874 40,699 Mortgage loans at fair value: Distressed 5,245 14,213 18,086 53,456 Held in a VIE 3,066 3,766 8,837 11,370 Deposits securing CRT Agreements 3,190 1,440 8,788 2,703 Placement fees relating to custodial funds 7,979 4,330 18,218 8,212 Other 225 49 478 142 58,584 47,579 144,064 139,052 From PFSI—ESS 3,740 3,998 11,584 13,011 62,324 51,577 155,648 152,063 Interest expense: To nonaffiliates: Assets sold under agreements to repurchase (1) 29,725 26,157 79,705 72,280 Mortgage loan participation purchase and sale agreements 739 409 1,396 1,225 Exchangeable Notes 3,652 3,636 10,945 10,895 Notes payable 5,351 2,320 9,032 9,719 Asset-backed financings of a VIE at fair value 2,740 3,515 7,836 10,520 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 1,897 1,638 5,294 4,068 Interest on mortgage loan impound deposits 693 486 1,596 1,229 44,797 38,161 115,804 109,936 To PFSI—Assets sold under agreement to repurchase 1,812 2,116 5,686 5,946 46,609 40,277 121,490 115,882 Net interest income $ 15,715 $ 11,300 $ 34,158 $ 36,181 (1) In 2017, the Company entered into a master repurchase agreement that provides the Company with incentives to finance mortgage loans approved for satisfying certain consumer relief characteristics as provided in the agreement. During the quarter and nine months ended September 30, 2018, the Company included $5.0 million and $11.0 million, respectively, of such incentives as a reduction of Interest expense |
Share-Based Compensation Plans
Share-Based Compensation Plans (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 2017 2018 2017 (in thousands) Grants: Restricted share units — 2 129 136 Performance share units — — 116 126 Total share units granted — 2 245 262 Grant date fair value: Restricted share units granted $ — $ 36 $ 2,281 $ 2,317 Performance share units granted — — 1,542 1,675 Total fair value of share units granted $ — $ 36 $ 3,823 $ 3,992 Vestings: Restricted share units 1 — 261 284 Performance share units — — 28 — Total share units vested 1 — 289 284 Forfeitures: Restricted share units 2 — 2 13 Performance share units — — — — Total share units forfeited 2 — 2 13 Compensation expense relating to share-based grants $ 1,566 $ 737 $ 4,322 $ 3,864 |
Other Expenses (Tables)
Other Expenses (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Other Income And Expenses [Abstract] | |
Summary of Other Expenses | Other expenses are summarized below: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Common overhead allocation from PFSI $ 1,210 $ 1,193 $ 3,387 $ 4,220 Technology 291 374 1,014 1,088 Insurance 274 300 915 968 Other 1,119 1,434 2,442 4,428 $ 2,894 $ 3,301 $ 7,758 $ 10,704 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 2017 2018 2017 (in thousands except per share amounts) Net income $ 46,562 $ 19,395 $ 111,173 $ 76,911 Dividends on preferred shares (6,235 ) (6,125 ) (18,703 ) (9,032 ) Effect of participating securities—share-based compensation awards (236 ) (231 ) (541 ) (760 ) Net income attributable to common shareholders $ 40,091 $ 13,039 $ 91,929 $ 67,119 Net income attributable to common shareholders $ 40,091 $ 13,039 $ 91,929 $ 67,119 Interest on Exchangeable Notes, net of income taxes 2,661 — 7,973 6,564 Diluted net income attributable to common shareholders $ 42,752 $ 13,039 $ 99,902 $ 73,683 Weighted-average basic shares outstanding 60,950 66,636 60,880 66,702 Dilutive securities: Shares issuable pursuant to exchange of the Exchangeable Notes 8,467 — 8,467 8,467 Diluted weighted-average number of shares outstanding 69,417 66,636 69,347 75,169 Basic earnings per share $ 0.66 $ 0.20 $ 1.51 $ 1.01 Diluted earnings per share $ 0.62 $ 0.20 $ 1.44 $ 0.98 |
Summary of Potentially Dilutive Shares Excluded from Computation of Diluted Earnings Per Share | Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Shares issuable under share-based compensation plan 361 643 403 699 Shares issuable pursuant to exchange of the Exchangeable Notes — 8,467 — — |
Segments (Tables)
Segments (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Segment Reporting [Abstract] | |
Financial Highlights by Operating Segment | Financial highlights by operating segment are summarized below: Quarter ended September 30, 2018 Correspondent production Credit sensitive strategies Interest rate sensitive strategies Corporate Total (in thousands) Net investment income: Net mortgage loan servicing fees $ — $ 5 $ 44,389 $ — $ 44,394 Net gain on mortgage loans acquired for sale 12,496 12,314 — — 24,810 Net gain (loss) on investments — 26,293 (16,610 ) — 9,683 Net interest income (expense): Interest income 22,465 8,675 30,573 611 62,324 Interest expense (12,708 ) (8,792 ) (25,109 ) — (46,609 ) 9,757 (117 ) 5,464 611 15,715 Other income 12,442 1,457 — — 13,899 34,695 39,952 33,243 611 108,501 Expenses: Mortgage loan fulfillment and servicing fees payable to PFSI 26,256 1,271 8,800 — 36,327 Management fees — — — 6,482 6,482 Other 2,485 5,619 344 5,582 14,030 28,741 6,890 9,144 12,064 56,839 Pre-tax income (loss) $ 5,954 $ 33,062 $ 24,099 $ (11,453 ) $ 51,662 Total assets at end of quarter $ 1,976,188 $ 1,348,750 $ 3,822,572 $ 120,068 $ 7,267,578 Quarter ended September 30, 2017 Correspondent production Credit sensitive strategies Interest rate sensitive strategies Corporate Total (in thousands) Net investment income: Net mortgage loan servicing fees $ — $ 47 $ 21,829 $ — $ 21,876 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 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 and servicing 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 quarter $ 1,304,647 $ 1,959,792 $ 2,414,477 $ 106,127 $ 5,785,043 Nine months ended September 30, 2018 Correspondent production Credit sensitive strategies Interest rate sensitive strategies Corporate Total (in thousands) Net investment income: Net mortgage loan servicing fees $ — $ 29 $ 128,106 $ — $ 128,135 Net gain on mortgage loans acquired for sale 24,810 16,769 — — 41,579 Net gain (loss) on investments — 72,744 (37,534 ) — 35,210 Net interest income (expense): Interest income 51,456 27,634 75,423 1,135 155,648 Interest expense (30,039 ) (28,899 ) (62,552 ) — (121,490 ) 21,417 (1,265 ) 12,871 1,135 34,158 Other income (loss) 28,410 (351 ) — 24 28,083 74,637 87,926 103,443 1,159 267,165 Expenses: Mortgage loan fulfillment and servicing fees payable to PFSI 52,759 5,529 24,992 — 83,280 Management fees — — — 17,906 17,906 Other 4,778 13,077 166 16,172 34,193 57,537 18,606 25,158 34,078 135,379 Pre-tax income (loss) $ 17,100 $ 69,320 $ 78,285 $ (32,919 ) $ 131,786 Total assets at end of period $ 1,976,188 $ 1,348,750 $ 3,822,572 $ 120,068 $ 7,267,578 Nine months ended September 30, 2017 Correspondent production Credit sensitive strategies Interest rate sensitive strategies Corporate Total (in thousands) Net investment income: Net mortgage loan servicing fees $ — $ 91 $ 49,234 $ — $ 49,325 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 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 and servicing 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 end of period $ 1,304,647 $ 1,959,792 $ 2,414,477 $ 106,127 $ 5,785,043 |
Supplemental Cash Flow Inform_2
Supplemental Cash Flow Information (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Supplemental Cash Flow Elements [Abstract] | |
Summary of Supplemental Cash Flow Information | Nine months ended September 30, 2018 2017 (in thousands) Income tax payments, net of refunds $ 900 $ (294 ) Interest payments $ 124,332 $ 115,108 Cumulative effect on accumulated deficit of conversion to fair value accounting $ 14,361 $ — Non-cash investing activities: Transfer of mortgage loans and advances to real estate acquired in settlement of loans $ 26,229 $ 76,981 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment $ 4,123 $ 14,300 Transfer of real estate acquired in settlement of mortgage loans from real estate held for investment $ 1,112 $ — Receipt of mortgage servicing rights as proceeds from sales of mortgage loans $ 228,337 $ 207,361 Receipt of excess servicing spread pursuant to recapture agreement with PennyMac Financial Services, Inc. $ 1,983 $ 4,160 Capitalization of servicing advances pursuant to mortgage loan modifications $ 4,734 $ 17,759 Non-cash financing activities: Recognition of financing premium arising from repurchase agreement derivatives $ 11,411 $ — Dividends declared, not paid $ 28,817 $ 31,655 |
Regulatory Capital and Liquid_2
Regulatory Capital and Liquidity Requirements (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Mortgage Banking [Abstract] | |
Summary of Capital and Liquidity Amounts and Requirements by Agencies | Such Agencies’ capital and liquidity amounts and requirements, the calculations of which are defined by each entity, are summarized below: 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, 2018 $ 555,214 $ 213,379 11 % 6 % $ 100,478 $ 28,983 December 31, 2017 $ 487,535 $ 182,818 12 % 6 % $ 73,252 $ 25,245 (1) Calculated in accordance with the Agencies’ requirements. |
Organization - Additional Infor
Organization - Additional Information (Detail) | 9 Months Ended |
Sep. 30, 2018Segment | |
Accounting Policies [Abstract] | |
Number of business segments | 4 |
Percentage of taxable income for distributions | 90.00% |
Accounting Developments - Addit
Accounting Developments - Additional Information (Detail) - USD ($) | Sep. 30, 2018 | Jan. 01, 2018 | Sep. 30, 2017 |
Accounting Developments [Line Items] | |||
Restricted cash | $ 0 | $ 0 | |
Accounting Standards Update 2014-11 Transfers and Servicing [Member] | |||
Accounting Developments [Line Items] | |||
Change in accounting principle, increase in income taxes payable | $ 5,300,000 | ||
Change in accounting principle, increase in shareholders equity | 14,400,000 | ||
Accounting Standards Update 2016-18 [Member] | |||
Accounting Developments [Line Items] | |||
Restricted cash | 0 | ||
Restricted cash equivalents | $ 0 | ||
MSRs [Member] | Accounting Standards Update 2014-11 Transfers and Servicing [Member] | |||
Accounting Developments [Line Items] | |||
Change in accounting principle, increase in investment | $ 19,700,000 |
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, 2018 | Dec. 31, 2017 | |
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 | $ 400,929 | $ 860,860 |
Total carrying value of distressed mortgage loans at fair value and REO | 436,599 | 931,298 |
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 | 135,486 | 315,437 |
Investment portfolio purchases above through one or more subsidiaries REO | 42,003 | 66,294 |
Investment portfolio purchases above through one or more subsidiaries total | 177,489 | 381,731 |
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 | 133,547 | 280,488 |
Investment portfolio purchases above through one or more subsidiaries REO | 13,223 | 26,702 |
Investment portfolio purchases above through one or more subsidiaries total | 146,770 | 307,190 |
Assets Purchased from Bank of America Corporation [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 | 60,884 | 143,969 |
Investment portfolio purchases above through one or more subsidiaries REO | 15,786 | 27,970 |
Investment portfolio purchases above through one or more subsidiaries total | $ 76,670 | $ 171,939 |
Transactions with Related Par_3
Transactions with Related Parties - Correspondent Production Activities - Additional Information (Detail) | 9 Months Ended |
Sep. 30, 2018USD ($) | |
Mortgage Loans On Real Estate [Line Items] | |
Servicing agreement expiration date | Sep. 12, 2020 |
Renewal period of servicing agreement | 18 months |
Maximum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Interest income and sourcing fee | 0.035% |
Minimum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Interest income and sourcing fee | 0.02% |
Penny Mac Loan Services Llc | Fannie Mae Or Freddie Mac Mortgage Loans | Maximum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Basis point for monthly fulfillment fee | 0.35% |
Penny Mac Loan Services Llc | Mortgage Loans Sold And Securitized | Maximum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Basis point for monthly fulfillment fee | 0.50% |
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 Par_4
Transactions with Related Parties - Summary of Correspondent Production Activity (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Related Party Transaction [Line Items] | |||||
Mortgage loans fulfillment fees earned by PLS | $ 26,256 | $ 23,507 | $ 52,759 | $ 61,184 | |
Purchases of mortgage loans acquired for sale from PLS | 2,336,162 | 373,108 | |||
Mortgage loans included in Mortgage loans acquired for sale at fair value pending sale to PLS | 1,949,432 | 1,949,432 | $ 1,269,515 | ||
PennyMac Loan Services, LLC [Member] | |||||
Related Party Transaction [Line Items] | |||||
Mortgage loans fulfillment fees earned by PLS | 26,256 | 23,507 | 52,759 | 61,184 | |
Unpaid principal balance ("UPB") of mortgage loans fulfilled by PLS | 7,517,883 | 6,530,036 | 17,139,884 | 17,079,969 | |
Sourcing fees received from PLS included in Net gain on mortgage loans acquired for sale | 2,689 | 3,275 | 8,221 | 9,340 | |
UPB of mortgage loans sold to PLS | 8,916,654 | 10,915,194 | 27,404,022 | 31,131,154 | |
Early purchase program fees paid to PLS included in Mortgage loan servicing fees | 0 | 1 | 0 | 7 | |
Purchases of mortgage loans acquired for sale from PLS | 908,525 | 332,886 | 2,336,162 | 373,108 | |
Tax service fee paid to PLS included in Other expense | 2,119 | $ 2,108 | 4,869 | $ 5,377 | |
Mortgage loans included in Mortgage loans acquired for sale at fair value pending sale to PLS | $ 217,334 | $ 217,334 | $ 279,571 |
Transactions with Related Par_5
Transactions with Related Parties - Mortgage Loan Servicing Activities - Additional Information (Detail) | 9 Months Ended |
Sep. 30, 2018USD ($) | |
Mortgage Loans On Real Estate [Line Items] | |
Servicing agreement expiration date | Sep. 12, 2020 |
Renewal period of servicing agreement | 18 months |
Penny Mac Loan Services Llc | |
Mortgage Loans On Real Estate [Line Items] | |
REO rental fee | $ 30 |
Lease renewal fee for REO | $ 100 |
Rental income percentage gross | 9.00% |
Penny Mac Loan Services Llc | Distressed mortgage loans [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees for REO per month | $ 75 |
Activity based fees | $ 500 |
Services agreement fees collection period | 18 months |
Penny Mac Loan Services Llc | Distressed mortgage loans [Member] | Minimum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees per month | $ 30 |
Activity based fees | 750 |
Penny Mac Loan Services Llc | Distressed mortgage loans [Member] | Maximum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees per month | 100 |
Activity based fees | 1,750 |
Penny Mac Loan Services Llc | Whole loans [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Supplemental fee received per month | 25 |
Penny Mac Loan Services Llc | Subserviced loan [Member] | Fixed-Rate Mortgage Loans [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees per month | 7.50 |
Penny Mac Loan Services Llc | Subserviced loan [Member] | Adjustable rate mortgage loans [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees per month | 8.50 |
Penny Mac Loan Services Llc | Non-Distressed Mortgage Loans [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees for REO per month | 75 |
Penny Mac Loan Services Llc | Non-Distressed Mortgage Loans [Member] | Minimum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Additional servicing fees per loan per month | 10 |
Penny Mac Loan Services Llc | Non-Distressed Mortgage Loans [Member] | Maximum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Additional servicing fees per loan per month | $ 55 |
PennyMac Financial Services, Inc. [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Percentage of cash in amount equal to fair market value of MSRs related to all loans | 30.00% |
Transactions with Related Par_6
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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | $ 10,071 | $ 11,402 | $ 30,521 | $ 31,987 |
Average MSR portfolio | 81,350,980 | 63,584,416 | 77,522,709 | 61,764,228 |
PennyMac Loan Services, LLC [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 35 | 54 | 103 | 96 |
Average MSR portfolio | 81,350,980 | 63,584,416 | 77,522,709 | 61,764,228 |
MSR recapture income recognized included in Net mortgage loan servicing fees ‒ from PennyMac Financial Services, Inc. | 561 | 333 | 1,568 | 859 |
PennyMac Loan Services, LLC [Member] | Mortgage loans acquired for sale at fair value [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 316 | 276 | 739 | 742 |
Average MSR portfolio | 1,833,232 | 1,460,054 | 1,460,547 | 1,271,158 |
PennyMac Loan Services, LLC [Member] | Distressed mortgage loans [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 1,271 | 4,273 | 5,528 | 12,143 |
Average MSR portfolio | 417,487 | 1,104,738 | 537,300 | 1,210,328 |
PennyMac Loan Services, LLC [Member] | Mortgage servicing rights [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 8,449 | 6,799 | 24,151 | 19,006 |
PennyMac Loan Services, LLC [Member] | Mortgage loans held in VIE [Member] | ||||
Related Party Transaction [Line Items] | ||||
Average MSR portfolio | 299,415 | 339,464 | 306,856 | 350,607 |
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 | 98 | 88 | 250 | 235 |
PennyMac Loan Services, LLC [Member] | Base [Member] | Distressed mortgage loans [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 614 | 1,571 | 2,328 | 5,284 |
PennyMac Loan Services, LLC [Member] | Base [Member] | Mortgage servicing rights [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 8,291 | 6,648 | 23,772 | 18,631 |
PennyMac Loan Services, LLC [Member] | Base [Member] | Mortgage loans held in VIE [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 10,071 | 11,402 | 30,521 | 31,987 |
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 | 218 | 188 | 489 | 507 |
PennyMac Loan Services, LLC [Member] | Activity-based [Member] | Distressed mortgage loans [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | 657 | 2,702 | 3,200 | 6,859 |
PennyMac Loan Services, LLC [Member] | Activity-based [Member] | Mortgage servicing rights [Member] | ||||
Related Party Transaction [Line Items] | ||||
Mortgage loan servicing fees | $ 158 | $ 151 | $ 379 | $ 375 |
Transactions with Related Par_7
Transactions with Related Parties - Management Fees - Additional Information (Detail) - USD ($) | 9 Months Ended | |
Sep. 30, 2018 | Aug. 04, 2009 | |
Mortgage Loans On Real Estate [Line Items] | ||
Servicing agreement expiration date | Sep. 12, 2020 | |
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 immediately preceding the date of termination. | |
Fannie Mae [Member] | ||
Mortgage Loans On Real Estate [Line Items] | ||
MBS yield, average number of year | 30 years | |
PNMAC Capital Management LLC [Member] | ||
Mortgage Loans On Real Estate [Line Items] | ||
Percentage of change in net income due to quarterly adjustments | 8.00% | |
Servicing agreement expiration date | Sep. 12, 2020 | |
Services agreement fees collection period | 18 months | |
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 equal to the sum of: (a) 10% of the amount by which “net income” for the quarter exceeds (i) an 8% return on equity plus the high watermark, up to (ii) a 12% return on equity; plus (b) 15% of the amount by which “net income” for the quarter exceeds (i) a 12% return on equity plus the high watermark, up to (ii) a 16% return on equity; plus (c) 20% of the amount by which “net income” for the quarter exceeds a 16% return on equity plus the high watermark. |
Transactions with Related Par_8
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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Related Party Transaction [Line Items] | ||||
Total management fee incurred during the period | $ 6,482 | $ 6,038 | $ 17,906 | $ 16,684 |
PNMAC Capital Management LLC [Member] | ||||
Related Party Transaction [Line Items] | ||||
Total management fee incurred during the period | 6,482 | 6,038 | 17,906 | 16,684 |
PNMAC Capital Management LLC [Member] | Base [Member] | ||||
Related Party Transaction [Line Items] | ||||
Total management fee incurred during the period | 5,799 | 6,038 | 17,223 | 16,380 |
PNMAC Capital Management LLC [Member] | Performance incentive [Member] | ||||
Related Party Transaction [Line Items] | ||||
Total management fee incurred during the period | $ 683 | $ 0 | $ 683 | $ 304 |
Transactions with Related Par_9
Transactions with Related Parties - Summary of Expenses (Detail) - PNMAC Capital Management LLC [Member] - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Related Party Transaction [Line Items] | ||||
Common overhead incurred by PCM and its affiliates | $ 1,210 | $ 1,193 | $ 3,387 | $ 4,220 |
Compensation | 120 | 0 | 360 | 0 |
Expenses incurred on the Company’s behalf, net | 527 | 196 | 586 | 849 |
Total expenses incurred in transaction with affiliates | 1,857 | 1,389 | 4,333 | 5,069 |
Payments and settlements during the period | $ 21,650 | $ 22,786 | $ 45,265 | $ 63,249 |
Transactions with Related Pa_10
Transactions with Related Parties - Note Payable to PLS - Additional Information (Detail) - USD ($) | Dec. 19, 2016 | Aug. 04, 2009 | Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2018 | Dec. 31, 2017 |
Related Party Transaction [Line Items] | ||||||||
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% | |||||||
Payments of contingent underwriting fees to underwriters | $ 0 | $ 61,000 | $ 0 | $ 61,000 | ||||
Performance incentive fees incurred | $ 683,000 | $ 683,000 | ||||||
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 | 75,000 | |||||
PNMAC Capital Management LLC [Member] | ||||||||
Related Party Transaction [Line Items] | ||||||||
PMT agreed to reimburse PCM for a payment | $ 120,000 | $ 120,000 | ||||||
Payment of contingent underwriting fees | $ 0 | $ 0 | ||||||
Reimbursement of contingent underwriting fee | $ 30,000 | $ 30,000 | ||||||
PNMAC Capital Management LLC [Member] | Scenario Forecast [Member] | ||||||||
Related Party Transaction [Line Items] | ||||||||
PMT agreed to reimburse PCM for a payment | $ 68,000 | |||||||
Maximum [Member] | ||||||||
Related Party Transaction [Line Items] | ||||||||
Aggregate ESS transferred | $ 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 Pa_11
Transactions with Related Parties - Summary of Investing Activity (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
ESS: | |||||
Interest income | $ 62,324 | $ 51,577 | $ 155,648 | $ 152,063 | |
Net gain (loss) included in Net gain (loss) on investments: | |||||
Net (loss) gain on investments | 9,683 | 13,834 | 35,210 | 58,147 | |
Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value | 223,275 | 223,275 | $ 236,534 | ||
PennyMac Financial Services, Inc. [Member] | |||||
ESS: | |||||
Received pursuant to a recapture agreement | 499 | 1,207 | 1,983 | 4,160 | |
Repayments | 11,543 | 13,410 | 35,852 | 42,320 | |
Interest income | 3,740 | 3,998 | 11,584 | 13,011 | |
Net gain (loss) included in Net gain (loss) on investments: | |||||
Valuation changes | 1,109 | (4,828) | 9,026 | (14,757) | |
Recapture income | 597 | 1,163 | 1,951 | 3,837 | |
Net (loss) gain on investments | 1,706 | $ (3,665) | 10,977 | $ (10,920) | |
Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value | $ 223,275 | $ 223,275 | $ 236,534 |
Transactions with Related Pa_12
Transactions with Related Parties - Summary of Financing Activities (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Related Party Transaction [Line Items] | |||||
Interest expense | $ 46,609 | $ 40,277 | $ 121,490 | $ 115,882 | |
PennyMac Financial Services, Inc. [Member] | |||||
Related Party Transaction [Line Items] | |||||
Interest expense | 1,812 | 2,116 | 5,686 | 5,946 | |
Assets sold to PFSI under agreement to repurchase | 133,128 | 133,128 | $ 144,128 | ||
Conditional Reimbursement payable to PFSI included in Accounts payable and accrued liabilities | 870 | 870 | 870 | ||
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 | $ 870 | ||
PNMAC Capital Management LLC [Member] | |||||
Related Party Transaction [Line Items] | |||||
Conditional Reimbursements paid to PCM | $ 0 | $ 30 | $ 0 | $ 30 |
Transactions with Related Pa_13
Transactions with Related Parties - Summary of Amounts Receivable From and Payable to PFSI (Detail) - PennyMac Financial Services, Inc. [Member] - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Due from PFSI: | ||
MSR recapture receivable | $ 250 | $ 282 |
Other | 2,101 | 3,872 |
Due from Affiliates | 2,351 | 4,154 |
Due to PFSI: | ||
Fulfillment fees | 12,078 | 346 |
Management fees | 6,482 | 5,901 |
Mortgage loan servicing fees | 3,765 | 6,583 |
Allocated expenses and expenses paid by PFSI on PMT’s behalf | 2,295 | 11,542 |
Correspondent production fees | 1,864 | 1,735 |
Conditional Reimbursement | 870 | 870 |
Interest on Assets sold to PFSI under agreement to repurchase | 113 | 142 |
Total expense due to affiliate | $ 27,467 | $ 27,119 |
Loan Sales and Variable Inter_3
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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Cash flows: | ||||
Proceeds from sales | $ 8,435,791 | $ 7,035,994 | $ 18,992,722 | $ 17,683,444 |
Mortgage loan servicing fees received | $ 49,864 | $ 42,237 | $ 147,262 | $ 119,223 |
Loan Sales and Variable Inter_4
Loan Sales and Variable Interest Entities - Summary of Collection Status Information for Mortgage Loans Accounted for Sales (Detail) - Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member] - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Mortgage Loans On Real Estate [Line Items] | ||
UPB of mortgage loans outstanding | $ 83,913,215 | $ 71,639,351 |
UPB of delinquent mortgage loans: | ||
30-89 days delinquent | 601,114 | 532,673 |
90 or more days delinquent: | ||
Not in foreclosure | 140,122 | 280,786 |
In foreclosure | 36,069 | 25,258 |
UPB of mortgage loans in bankruptcy | 66,377 | 52,202 |
Custodial funds managed by the Company | $ 1,203,229 | $ 879,321 |
Loan Sales and Variable Inter_5
Loan Sales and Variable Interest Entities - Summary of Credit Risk Transfer Agreements (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Carrying value of CRT Agreements: | |||||
Deposits securing CRT agreements | $ 662,624 | $ 662,624 | $ 588,867 | ||
Interest-only security payable at fair value | 8,821 | 8,821 | 7,070 | ||
CRT Agreement assets pledged to secure Assets sold under agreements to repurchase: | |||||
Deposits securing CRT Agreements | 378,090 | 378,090 | 400,778 | ||
Derivative assets | 27,710 | 27,710 | 26,058 | ||
Commitments to fund Deposits securing credit risk transfer agreements | 578,508 | 578,508 | |||
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 | 0 | $ 4,126,946 | 5,546,977 | $ 9,722,067 | |
Deposits securing CRT Agreements | 18,558 | 44,998 | 96,446 | 102,146 | |
(Decrease) increase in commitments to fund Deposits securing CRT Agreements resulting from sale of mortgage loans under CRT Agreements | (18,558) | 108,051 | 96,037 | 264,165 | |
Interest earned on Deposits securing CRT Agreements | 3,190 | 1,440 | 8,788 | 2,703 | |
Gains recognized on CRT Agreements included in Net gain (loss) on investments | |||||
Realized | 23,367 | 10,798 | 64,907 | 27,595 | |
Resulting from valuation changes | 7,185 | 4,162 | 27,714 | 41,268 | |
Gains (losses) recognized on gross derivative related to credit risk transactions | 30,552 | 14,960 | 92,621 | 68,863 | |
Change in fair value of Interest-only security payable at fair value | (3,083) | 191 | (4,105) | (2,272) | |
Gains (losses) recognized on net derivative related to credit risk transactions | 27,469 | 15,151 | 88,516 | 66,591 | |
Payments made to settle losses | 443 | $ 539 | 1,452 | $ 950 | |
UPB of mortgage loans subject to credit guarantee obligations | 30,648,306 | 30,648,306 | 26,845,392 | ||
Collection status (in UPB): | |||||
Current | 30,342,833 | 30,342,833 | 26,540,953 | ||
30—89 days delinquent | 226,447 | 226,447 | 179,144 | ||
90—180 days delinquent | 32,852 | 32,852 | 101,114 | ||
180 or more days delinquent | 15,520 | 15,520 | 5,146 | ||
Foreclosure | 9,339 | 9,339 | 5,463 | ||
Bankruptcy | 21,315 | 21,315 | 13,572 | ||
Carrying value of CRT Agreements: | |||||
Deposits securing CRT agreements | 662,624 | 662,624 | 588,867 | ||
Interest-only security payable at fair value | 8,821 | 8,821 | 7,070 | ||
CRT Agreement assets pledged to secure Assets sold under agreements to repurchase: | |||||
Deposits securing CRT Agreements | 378,090 | 378,090 | 400,778 | ||
Commitments to fund Deposits securing credit risk transfer agreements | 578,508 | 578,508 | 482,471 | ||
Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member] | Credit Risk Transfer Agreements [Member] | Derivative Assets [Member] | |||||
Carrying value of CRT Agreements: | |||||
Derivative assets | 126,354 | 126,354 | 98,640 | ||
CRT Agreement assets pledged to secure Assets sold under agreements to repurchase: | |||||
Derivative assets | $ 27,710 | $ 27,710 | $ 26,058 |
Loan Sales and Variable Inter_6
Loan Sales and Variable Interest Entities - Summary of Activity Under Purchase Commitments (Detail) - Credit Risk Transfer Agreements [Member] - Purchase Commitment [Member] $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2018USD ($) | Sep. 30, 2018USD ($) | |
Transfer Of Financial Assets Accounted For As Sales [Line Items] | ||
UPB of mortgage loans sold | $ 6,773,336 | $ 8,308,708 |
Fair value of firm commitment recognized in Gain on sale of mortgage loans | 12,311 | 16,737 |
Gains recognized on CRT Agreements included in Net gain (loss) on investments | 2,012 | 2,012 |
Increase in face amount of firm commitment to purchase securities backed by mortgage loans sold | 236,875 | 294,698 |
Firm commitment to purchase CRT securities | 294,698 | 294,698 |
Fair value of firm commitment | 18,749 | 18,749 |
UPB of mortgage loans sold subject to firm commitment to purchase securities related to such loans | 8,097,660 | 8,097,660 |
Collection status (in UPB): | ||
Current | 8,073,018 | 8,073,018 |
30—89 days delinquent | 24,439 | 24,439 |
90—180 days delinquent | 203 | 203 |
180 or more days delinquent | 0 | 0 |
Foreclosure | 0 | 0 |
Bankruptcy | $ 0 | $ 0 |
Loan Sales and Variable Inter_7
Loan Sales and Variable Interest Entities - Additional Information (Detail) - Jumbo Mortgage Loan Financing [Member] - Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member] - USD ($) $ in Millions | Sep. 30, 2013 | Sep. 30, 2018 | Dec. 31, 2017 |
Mortgage Loans on Real Estate [Line Items] | |||
Certificates issued | $ 537 | ||
Weighted yield | 3.90% | ||
Fair value of certificates retained | $ 14.1 | $ 9.7 |
Fair Value - Additional Informa
Fair Value - Additional Information (Detail) - USD ($) $ in Millions | 9 Months Ended | |
Sep. 30, 2018 | Dec. 31, 2017 | |
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 | $ 248.7 | $ 244.9 |
Repurchase Agreement Derivatives [Member] | Level 3 [Member] | ||
Mortgage Servicing Rights [Line Items] | ||
Ratio included in estimated fair value | 97.00% | 97.00% |
Maximum [Member] | ||
Mortgage Servicing Rights [Line Items] | ||
Fixed-rate mortgage loans | 4.50% | |
Minimum [Member] | ||
Mortgage Servicing Rights [Line Items] | ||
Fixed-rate mortgage loans | 3.00% | |
MSRs Backed by Mortgage Loans [Member] | ||
Mortgage Servicing Rights [Line Items] | ||
Initial interest rates | less than or equal to 4.5% | |
MSRs Backed by Mortgage Loans [Member] | Maximum [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, 2018 | Jun. 30, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 |
Assets: | ||||||
Short-term investments | $ 26,736 | $ 18,398 | ||||
Mortgage-backed securities at fair value | 2,126,507 | 989,461 | ||||
Mortgage loans acquired for sale at fair value | 1,949,432 | 1,269,515 | ||||
Excess servicing spread purchased from PFSI | 223,275 | 236,534 | ||||
Derivative assets: | ||||||
Derivative assets | 161,535 | 115,803 | ||||
Derivative assets, Netting | (17,958) | (1,922) | ||||
Total derivative assets after netting | 143,577 | 113,881 | ||||
Firm commitment to purchase credit risk transfer security at fair value | 18,749 | 0 | ||||
Mortgage servicing rights at fair value | 1,109,741 | $ 1,010,507 | 91,459 | $ 82,312 | $ 77,624 | $ 64,136 |
Liabilities: | ||||||
Asset-backed financing of a VIE at fair value | 278,113 | 307,419 | ||||
Interest-only security payable at fair value | 8,821 | 7,070 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 17,101 | 3,305 | ||||
Derivative liabilities, Netting | (5,221) | (1,999) | ||||
Total derivative liabilities after netting | 11,880 | 1,306 | ||||
CRT Agreements [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 126,354 | 98,640 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 126,354 | 98,640 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Interest Rate Lock Commitments [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 2,317 | 4,859 | ||||
Total derivative assets after netting | 2,317 | 4,859 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 3,418 | 227 | ||||
Forward Purchase Contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 1,761 | 4,343 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 1,761 | 4,343 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 11,964 | 248 | ||||
Forward Sales Contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 19,238 | 387 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 19,238 | 387 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 1,719 | 2,830 | ||||
MBS Put Options [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 2,302 | 3,170 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 2,302 | 3,170 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
MBS Call Options [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 7 | 0 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 7 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Put Options on Interest Rate Futures [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 141 | 656 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 141 | 656 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Repurchase Agreement Derivatives [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 9,415 | 3,748 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 9,415 | 3,748 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Recurring [Member] | ||||||
Assets: | ||||||
Short-term investments | 26,736 | 18,398 | ||||
Mortgage-backed securities at fair value | 2,126,507 | 989,461 | ||||
Mortgage loans acquired for sale at fair value | 1,949,432 | 1,269,515 | ||||
Mortgage loans at fair value | 633,168 | 1,089,473 | ||||
Excess servicing spread purchased from PFSI | 223,275 | 236,534 | ||||
Derivative assets: | ||||||
Derivative assets | 161,535 | 115,803 | ||||
Derivative assets, Netting | (17,958) | (1,922) | ||||
Total derivative assets after netting | 143,577 | 113,881 | ||||
Firm commitment to purchase credit risk transfer security at fair value | 18,749 | |||||
Mortgage servicing rights at fair value | 1,109,741 | 91,459 | ||||
Total Assets | 6,231,185 | 3,808,721 | ||||
Liabilities: | ||||||
Asset-backed financing of a VIE at fair value | 278,113 | 307,419 | ||||
Interest-only security payable at fair value | 8,821 | 7,070 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 17,101 | 3,305 | ||||
Derivative liabilities, Netting | (5,221) | (1,999) | ||||
Total derivative liabilities after netting | 11,880 | 1,306 | ||||
Total liabilities | 298,814 | 315,795 | ||||
Recurring [Member] | CRT Agreements [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 126,354 | 98,640 | ||||
Recurring [Member] | Interest Rate Lock Commitments [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 2,317 | 4,859 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 3,418 | 227 | ||||
Recurring [Member] | Forward Purchase Contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 1,761 | 4,343 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 11,964 | 248 | ||||
Recurring [Member] | Forward Sales Contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 19,238 | 387 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 1,719 | 2,830 | ||||
Recurring [Member] | Level 1 [Member] | ||||||
Assets: | ||||||
Short-term investments | 26,736 | 18,398 | ||||
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 | 141 | 656 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 141 | 656 | ||||
Firm commitment to purchase credit risk transfer security at fair value | 0 | |||||
Mortgage servicing rights at fair value | 0 | 0 | ||||
Total Assets | 26,877 | 19,054 | ||||
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 Purchase Contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Recurring [Member] | Level 1 [Member] | Forward Sales Contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Recurring [Member] | Level 2 [Member] | ||||||
Assets: | ||||||
Short-term investments | 0 | 0 | ||||
Mortgage-backed securities at fair value | 2,126,507 | 989,461 | ||||
Mortgage loans acquired for sale at fair value | 1,942,335 | 1,261,380 | ||||
Mortgage loans at fair value | 292,174 | 321,040 | ||||
Excess servicing spread purchased from PFSI | 0 | 0 | ||||
Derivative assets: | ||||||
Derivative assets | 23,308 | 7,900 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 23,308 | 7,900 | ||||
Firm commitment to purchase credit risk transfer security at fair value | 0 | |||||
Mortgage servicing rights at fair value | 0 | 0 | ||||
Total Assets | 4,384,324 | 2,579,781 | ||||
Liabilities: | ||||||
Asset-backed financing of a VIE at fair value | 278,113 | 307,419 | ||||
Interest-only security payable at fair value | 0 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 13,683 | 3,078 | ||||
Derivative liabilities, Netting | 0 | 0 | ||||
Total derivative liabilities after netting | 13,683 | 3,078 | ||||
Total liabilities | 291,796 | 310,497 | ||||
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 Purchase Contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 1,761 | 4,343 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 11,964 | 248 | ||||
Recurring [Member] | Level 2 [Member] | Forward Sales Contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 19,238 | 387 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 1,719 | 2,830 | ||||
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 | 7,097 | 8,135 | ||||
Mortgage loans at fair value | 340,994 | 768,433 | ||||
Excess servicing spread purchased from PFSI | 223,275 | 236,534 | ||||
Derivative assets: | ||||||
Derivative assets | 138,086 | 107,247 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 138,086 | 107,247 | ||||
Firm commitment to purchase credit risk transfer security at fair value | 18,749 | |||||
Mortgage servicing rights at fair value | 1,109,741 | 91,459 | ||||
Total Assets | 1,837,942 | 1,211,808 | ||||
Liabilities: | ||||||
Asset-backed financing of a VIE at fair value | 0 | 0 | ||||
Interest-only security payable at fair value | 8,821 | 7,070 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 3,418 | 227 | ||||
Derivative liabilities, Netting | 0 | 0 | ||||
Total derivative liabilities after netting | 3,418 | 227 | ||||
Total liabilities | 12,239 | 7,297 | ||||
Recurring [Member] | Level 3 [Member] | CRT Agreements [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 126,354 | 98,640 | ||||
Recurring [Member] | Level 3 [Member] | Interest Rate Lock Commitments [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 2,317 | 4,859 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 3,418 | 227 | ||||
Recurring [Member] | Level 3 [Member] | Forward Purchase Contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Recurring [Member] | Level 3 [Member] | Forward Sales Contracts [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Derivative liabilities: | ||||||
Derivative liabilities | 0 | 0 | ||||
Recurring [Member] | MBS Put Options [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 2,302 | 3,170 | ||||
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 | 2,302 | 3,170 | ||||
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 | 7 | |||||
Recurring [Member] | MBS Call Options [Member] | Level 1 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | |||||
Recurring [Member] | MBS Call Options [Member] | Level 2 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 7 | |||||
Recurring [Member] | MBS Call Options [Member] | Level 3 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | |||||
Recurring [Member] | Put Options on Interest Rate Futures [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 141 | 656 | ||||
Recurring [Member] | Put Options on Interest Rate Futures [Member] | Level 1 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 141 | 656 | ||||
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 | 9,415 | 3,748 | ||||
Recurring [Member] | Repurchase Agreement Derivatives [Member] | Level 1 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Recurring [Member] | Repurchase Agreement Derivatives [Member] | Level 2 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | 0 | 0 | ||||
Recurring [Member] | Repurchase Agreement Derivatives [Member] | Level 3 [Member] | ||||||
Derivative assets: | ||||||
Derivative assets | $ 9,415 | $ 3,748 |
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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Assets: | ||||
Amounts received as proceeds from sales of mortgage loans | $ 96,383 | $ 8,655 | $ 228,337 | $ 28,467 |
Recurring [Member] | ||||
Assets: | ||||
Beginning balance | 1,827,304 | 1,577,151 | 1,984,616 | 1,726,764 |
Purchases and issuances | 4,612 | 9,455 | 21,794 | 26,445 |
Repayments and sales | (139,244) | (181,029) | (498,572) | (372,744) |
Capitalization of interest | 6,037 | 11,018 | 18,127 | 40,748 |
Capitalization of advances | 1,373 | 4,611 | 4,733 | 17,759 |
ESS received pursuant to a recapture agreement with PFSI | 499 | 1,207 | 1,983 | 4,160 |
Amounts received as proceeds from sales of mortgage loans | 108,694 | 8,655 | 245,074 | 28,467 |
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 4,407 | 6,035 | 6,864 | 23,498 |
Other factors | 24,804 | 18,827 | 67,238 | 71,707 |
Total | 29,211 | 24,862 | 74,102 | 95,205 |
Transfers of mortgage loans to REO and real estate held for investment | (8,476) | (26,705) | (39,367) | (88,760) |
Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" (2) | 722 | 1,336 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 3,792 | (23,814) | 20,698 | (72,633) |
Ending balance | 1,834,524 | 1,405,411 | 1,834,524 | 1,405,411 |
Changes in fair value recognized during the quarter relating to assets | 5,188 | (10,670) | 36,238 | 10,766 |
Recurring [Member] | Accounting Standards Update 2014-11 Transfers and Servicing [Member] | ||||
Assets: | ||||
Beginning balance | 773,035 | |||
Recurring [Member] | Previously Reported [Member] | ||||
Assets: | ||||
Beginning balance | 1,211,581 | |||
Recurring [Member] | CRT Agreements [Member] | ||||
Assets: | ||||
Beginning balance | 119,169 | 52,716 | 98,640 | 15,610 |
Purchases and issuances | 0 | 0 | 0 | 0 |
Repayments and sales | (23,367) | (10,798) | (64,907) | (27,595) |
Capitalization of interest | 0 | 0 | 0 | 0 |
Capitalization of advances | 0 | 0 | 0 | 0 |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | 0 |
Amounts 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 | 30,552 | 14,960 | 92,621 | 68,863 |
Total | 30,552 | 14,960 | 92,621 | 68,863 |
Transfers of mortgage loans to REO and real estate held for investment | 0 | 0 | 0 | 0 |
Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" (2) | 0 | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Ending balance | 126,354 | 56,878 | 126,354 | 56,878 |
Changes in fair value recognized during the quarter relating to assets | 7,185 | 4,162 | 27,714 | 41,268 |
Recurring [Member] | Mortgage loans acquired for sale at fair value [Member] | ||||
Assets: | ||||
Beginning balance | 6,540 | 8,135 | ||
Purchases and issuances | 2,640 | 8,243 | ||
Repayments and sales | (2,481) | (10,441) | ||
Capitalization of interest | 0 | 0 | ||
Capitalization of advances | 0 | 0 | ||
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | ||
Amounts 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 | (324) | (176) | ||
Total | (324) | (176) | ||
Transfers of mortgage loans to REO and real estate held for investment | 0 | 0 | ||
Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" (2) | 722 | 1,336 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | ||
Ending balance | 7,097 | 7,097 | ||
Changes in fair value recognized during the quarter relating to assets | (257) | (330) | ||
Recurring [Member] | Interest Rate Lock Commitments [Member] | ||||
Assets: | ||||
Beginning balance | 2,807 | 395 | 4,632 | 3,777 |
Purchases and issuances | (3,699) | 9,264 | 2,140 | 26,185 |
Repayments and sales | 0 | 0 | 0 | 0 |
Capitalization of interest | 0 | 0 | 0 | 0 |
Capitalization of advances | 0 | 0 | 0 | 0 |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | 0 |
Amounts 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 | (4,001) | 15,430 | (28,571) | 43,946 |
Total | (4,001) | 15,430 | (28,571) | 43,946 |
Transfers of mortgage loans to REO and real estate held for investment | 0 | 0 | 0 | 0 |
Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" (2) | 0 | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 3,792 | (23,814) | 20,698 | (72,633) |
Ending balance | (1,101) | 1,275 | (1,101) | 1,275 |
Changes in fair value recognized during the quarter relating to assets | (1,101) | 1,275 | (1,101) | 1,275 |
Recurring [Member] | Interest-only security payable [Member] | ||||
Liabilities: | ||||
Beginning balance | 7,652 | 6,577 | 7,070 | 4,114 |
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk\Other factors | 1,169 | (191) | 1,751 | 2,272 |
Ending balance | 8,821 | 6,386 | 8,821 | 6,386 |
Changes in fair value recognized during the quarter relating to liability | 1,169 | (191) | 1,751 | 2,272 |
Recurring [Member] | Interest-only security payable [Member] | Credit Risk [Member] | ||||
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk\Other factors | 0 | 0 | 0 | 0 |
Recurring [Member] | Interest-only security payable [Member] | Other Factors [Member] | ||||
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk\Other factors | 1,169 | (191) | 1,751 | 2,272 |
Recurring [Member] | Mortgage loans at fair value [Member] | ||||
Assets: | ||||
Beginning balance | 447,473 | 1,184,620 | 768,433 | 1,354,572 |
Purchases and issuances | 0 | 0 | 0 | 0 |
Repayments and sales | (98,622) | (156,821) | (381,646) | (302,829) |
Capitalization of interest | 2,297 | 7,020 | 6,543 | 27,737 |
Capitalization of advances | 1,373 | 4,611 | 4,733 | 17,759 |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | 0 |
Amounts 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 | 4,407 | 6,035 | 6,864 | 23,498 |
Other factors | (7,458) | (2,758) | (24,566) | (15,975) |
Total | (3,051) | 3,277 | (17,702) | 7,523 |
Transfers of mortgage loans to REO and real estate held for investment | (8,476) | (26,705) | (39,367) | (88,760) |
Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" (2) | 0 | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Ending balance | 340,994 | 1,016,002 | 340,994 | 1,016,002 |
Changes in fair value recognized during the quarter relating to assets | (6,711) | (7,302) | (18,170) | (6,650) |
Recurring [Member] | Excess servicing spread [Member] | ||||
Assets: | ||||
Beginning balance | 229,470 | 261,796 | 236,534 | 288,669 |
Purchases and issuances | 0 | 0 | 0 | 0 |
Repayments and sales | (11,543) | (13,410) | (35,852) | (42,320) |
Capitalization of interest | 3,740 | 3,998 | 11,584 | 13,011 |
Capitalization of advances | 0 | 0 | 0 | 0 |
ESS received pursuant to a recapture agreement with PFSI | 499 | 1,207 | 1,983 | 4,160 |
Amounts 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 | 1,109 | (4,828) | 9,026 | (14,757) |
Total | 1,109 | (4,828) | 9,026 | (14,757) |
Transfers of mortgage loans to REO and real estate held for investment | 0 | 0 | 0 | 0 |
Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" (2) | 0 | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Ending balance | 223,275 | 248,763 | 223,275 | 248,763 |
Changes in fair value recognized during the quarter relating to assets | 1,109 | (4,828) | 9,026 | (14,757) |
Recurring [Member] | Firm commitment to purchase CRT security [Member] | ||||
Assets: | ||||
Beginning balance | 4,426 | 0 | ||
Purchases and issuances | 0 | 0 | ||
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 | ||
Amounts received as proceeds from sales of mortgage loans | 12,311 | 16,737 | ||
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 0 | 0 | ||
Other factors | 2,012 | 2,012 | ||
Total | 2,012 | 2,012 | ||
Transfers of mortgage loans to REO and real estate held for investment | 0 | 0 | ||
Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" (2) | 0 | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | ||
Ending balance | 18,749 | 18,749 | ||
Changes in fair value recognized during the quarter relating to assets | 2,012 | 2,012 | ||
Recurring [Member] | Mortgage Servicing Rights | ||||
Assets: | ||||
Beginning balance | 1,010,507 | 77,624 | 864,494 | 64,136 |
Purchases and issuances | 0 | 10 | 0 | 79 |
Repayments and sales | (100) | 0 | (100) | 0 |
Capitalization of interest | 0 | 0 | 0 | 0 |
Capitalization of advances | 0 | 0 | 0 | 0 |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | 0 |
Amounts received as proceeds from sales of mortgage loans | 96,383 | 8,655 | 228,337 | 28,467 |
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk | 0 | 0 | 0 | 0 |
Other factors | 2,951 | (3,977) | 17,010 | (10,370) |
Total | 2,951 | (3,977) | 17,010 | (10,370) |
Transfers of mortgage loans to REO and real estate held for investment | 0 | 0 | 0 | 0 |
Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" (2) | 0 | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Ending balance | 1,109,741 | 82,312 | 1,109,741 | 82,312 |
Changes in fair value recognized during the quarter relating to assets | 2,951 | (3,977) | 17,010 | (10,370) |
Recurring [Member] | Mortgage Servicing Rights | Accounting Standards Update 2014-11 Transfers and Servicing [Member] | ||||
Assets: | ||||
Beginning balance | 773,035 | |||
Recurring [Member] | Mortgage Servicing Rights | Previously Reported [Member] | ||||
Assets: | ||||
Beginning balance | 91,459 | |||
Recurring [Member] | Repurchase Agreement Derivatives [Member] | ||||
Assets: | ||||
Beginning balance | 6,912 | 0 | 3,748 | 0 |
Purchases and issuances | 5,671 | 181 | 11,411 | 181 |
Repayments and sales | (3,131) | 0 | (5,626) | 0 |
Capitalization of interest | 0 | 0 | 0 | 0 |
Capitalization of advances | 0 | 0 | 0 | 0 |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | 0 |
Amounts 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 | (37) | 0 | (118) | 0 |
Total | (37) | 0 | (118) | 0 |
Transfers of mortgage loans to REO and real estate held for investment | 0 | 0 | 0 | 0 |
Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" (2) | 0 | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | 0 | 0 |
Ending balance | 9,415 | 181 | 9,415 | 181 |
Changes in fair value recognized during the quarter relating to assets | $ 0 | $ 0 | $ 77 | $ 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, 2018 | Dec. 31, 2017 |
Fair Value Option Loans Held As Assets [Abstract] | ||
Fair value option loans held as assets, Total | $ 633,168 | $ 1,089,473 |
Mortgage loans at fair value | 633,168 | 1,089,473 |
Mortgage Loans On Real Estate Other Required Disclosures [Abstract] | ||
Unpaid principal balance of loans outstanding at period-end | 788,026 | 1,360,642 |
Unpaid principal balance | 788,026 | 1,360,642 |
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 | (154,858) | (271,169) |
Mortgage loans acquired for sale at fair value [Member] | ||
Fair Value Option Loans Held As Assets [Abstract] | ||
Fair value option loans held as assets ninety days or less past due | 1,949,285 | 1,268,121 |
Not in foreclosure | 147 | 950 |
In foreclosure | 0 | 444 |
Fair value option loans held as assets, Total | 147 | 1,394 |
Mortgage loans at fair value | 1,949,432 | 1,269,515 |
Mortgage Loans On Real Estate Other Required Disclosures [Abstract] | ||
Mortgage loans on real estate principal amount of delinquent loans less than ninety days | 1,900,556 | 1,221,125 |
Not in foreclosure | 187 | 1,120 |
In foreclosure | 0 | 496 |
Unpaid principal balance of loans outstanding at period-end | 1,900,743 | 1,222,741 |
Fair value option loans held as assets ninety days or less past due aggregate difference | 48,729 | 46,996 |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference | ||
Not in foreclosure | (40) | (170) |
In foreclosure | 0 | (52) |
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | 48,689 | 46,774 |
Mortgage loans acquired for sale at fair value [Member] | Nonperforming mortgage loans [Member] | ||
Mortgage Loans On Real Estate Other Required Disclosures [Abstract] | ||
Unpaid principal balance of loans outstanding at period-end | 187 | 1,616 |
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 | (40) | (222) |
Mortgage Loans at Fair Value Held in Consolidated VIE [Member] | ||
Fair Value Option Loans Held As Assets [Abstract] | ||
Fair value option loans held as assets ninety days or less past due | 292,174 | 321,040 |
Not in foreclosure | 0 | 0 |
In foreclosure | 0 | 0 |
Mortgage loans at fair value | 292,174 | 321,040 |
Mortgage Loans On Real Estate Other Required Disclosures [Abstract] | ||
Mortgage loans on real estate principal amount of delinquent loans less than ninety days | 299,843 | 316,684 |
Not in foreclosure | 0 | 0 |
In foreclosure | 0 | 0 |
Unpaid principal balance | 299,843 | 316,684 |
Fair value option loans held as assets ninety days or less past due aggregate difference | (7,669) | 4,356 |
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 | (7,669) | 4,356 |
Mortgage Loans at Fair Value Held in Consolidated VIE [Member] | Nonperforming mortgage loans [Member] | ||
Fair Value Option Loans Held As Assets [Abstract] | ||
Mortgage loans at fair value | 0 | 0 |
Mortgage Loans On Real Estate Other Required Disclosures [Abstract] | ||
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 Loans Held As Assets [Abstract] | ||
Fair value option loans held as assets ninety days or less past due | 200,176 | 414,785 |
Not in foreclosure | 66,791 | 166,749 |
In foreclosure | 74,027 | 186,899 |
Mortgage loans at fair value | 340,994 | 768,433 |
Mortgage Loans On Real Estate Other Required Disclosures [Abstract] | ||
Mortgage loans on real estate principal amount of delinquent loans less than ninety days | 261,808 | 519,009 |
Not in foreclosure | 113,308 | 257,038 |
In foreclosure | 113,067 | 267,911 |
Unpaid principal balance | 488,183 | 1,043,958 |
Fair value option loans held as assets ninety days or less past due aggregate difference | (61,632) | (104,224) |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference | ||
Not in foreclosure | (46,517) | (90,289) |
In foreclosure | (39,040) | (81,012) |
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | (147,189) | (275,525) |
Mortgage Loans and Mortgage Loans under Forward Purchase Agreements at Fair Value [Member] | Nonperforming mortgage loans [Member] | ||
Fair Value Option Loans Held As Assets [Abstract] | ||
Mortgage loans at fair value | 140,818 | 353,648 |
Mortgage Loans On Real Estate Other Required Disclosures [Abstract] | ||
Unpaid principal balance | 226,375 | 524,949 |
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 | $ (85,557) | $ (171,301) |
Fair Value - Summary of Chang_2
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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Interest-only security payable at fair value [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | $ (1,169) | $ 191 | $ (1,751) | $ (2,272) |
Interest-only security payable at fair value [Member] | Net Mortgage Loan Servicing Fees [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 0 | 0 | 0 | 0 |
Interest-only security payable at fair value [Member] | Net Gain on Mortgage Loans Acquired for Sale [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 0 | 0 | 0 | 0 |
Interest-only security payable at fair value [Member] | Net Gain (Loss) on Investments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | (1,169) | 191 | (1,751) | (2,272) |
Interest-only security payable at fair value [Member] | Net Interest Income [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 0 | 0 | 0 | 0 |
Asset-Backed Financing of the VIE at Fair Value [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 3,315 | (2,893) | 12,584 | (7,388) |
Asset-Backed Financing of the VIE at Fair Value [Member] | Net Mortgage Loan Servicing Fees [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 0 | 0 | 0 | 0 |
Asset-Backed Financing of the VIE at Fair Value [Member] | Net Gain on Mortgage Loans Acquired for Sale [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 0 | 0 | 0 | 0 |
Asset-Backed Financing of the VIE at Fair Value [Member] | Net Gain (Loss) on Investments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 3,516 | (2,158) | 12,658 | (5,581) |
Asset-Backed Financing of the VIE at Fair Value [Member] | Net Interest Income [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | (201) | (735) | (74) | (1,807) |
Liabilities, Total [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 2,146 | (2,702) | 10,833 | (9,660) |
Liabilities, Total [Member] | Net Mortgage Loan Servicing Fees [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 0 | 0 | 0 | 0 |
Liabilities, Total [Member] | Net Gain on Mortgage Loans Acquired for Sale [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 0 | 0 | 0 | 0 |
Liabilities, Total [Member] | Net Gain (Loss) on Investments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 2,347 | (1,967) | 10,907 | (7,853) |
Liabilities, Total [Member] | Net Interest Income [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | (201) | (735) | (74) | (1,807) |
Short-term investments at fair value [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 0 | 0 | 0 | 0 |
Short-term investments at fair value [Member] | Net Mortgage Loan Servicing Fees [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 0 | 0 | 0 | 0 |
Short-term investments at fair value [Member] | Net Gain on Mortgage Loans Acquired for Sale [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 0 | 0 | 0 | 0 |
Short-term investments at fair value [Member] | Net Gain (Loss) on Investments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 0 | 0 | 0 | 0 |
Short-term investments at fair value [Member] | Net Interest Income [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 0 | 0 | 0 | 0 |
Mortgage-backed securities at fair value [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | (20,259) | 3,520 | (52,911) | 4,892 |
Mortgage-backed securities at fair value [Member] | Net Mortgage Loan Servicing Fees [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 0 | 0 | 0 | 0 |
Mortgage-backed securities at fair value [Member] | Net Gain on Mortgage Loans Acquired for Sale [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 0 | 0 | 0 | 0 |
Mortgage-backed securities at fair value [Member] | Net Gain (Loss) on Investments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | (19,030) | 5,001 | (50,288) | 9,168 |
Mortgage-backed securities at fair value [Member] | Net Interest Income [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | (1,229) | (1,481) | (2,623) | (4,276) |
Firm commitment to purchase CRT security [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 14,323 | 18,749 | ||
Firm commitment to purchase CRT security [Member] | Net Mortgage Loan Servicing Fees [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 0 | 0 | ||
Firm commitment to purchase CRT security [Member] | Net Gain on Mortgage Loans Acquired for Sale [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 12,311 | 16,737 | ||
Firm commitment to purchase CRT security [Member] | Net Gain (Loss) on Investments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 2,012 | 2,012 | ||
Firm commitment to purchase CRT security [Member] | Net Interest Income [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 0 | 0 | ||
Mortgage loans acquired for sale at fair value [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 751 | 32,935 | (27,397) | 83,839 |
Mortgage loans acquired for sale at fair value [Member] | Net Mortgage Loan Servicing Fees [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 0 | 0 | 0 | 0 |
Mortgage loans acquired for sale at fair value [Member] | Net Gain on Mortgage Loans Acquired for Sale [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 751 | 32,935 | (27,397) | 83,839 |
Mortgage loans acquired for sale at fair value [Member] | Net Gain (Loss) on Investments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 0 | 0 | 0 | 0 |
Mortgage loans acquired for sale at fair value [Member] | Net Interest Income [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 0 | 0 | 0 | 0 |
Mortgage loans at fair value [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | (4,223) | 13,032 | (23,185) | 43,027 |
Mortgage loans at fair value [Member] | Net Mortgage Loan Servicing Fees [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 0 | 0 | 0 | 0 |
Mortgage loans at fair value [Member] | Net Gain on Mortgage Loans Acquired for Sale [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 0 | 0 | 0 | 0 |
Mortgage loans at fair value [Member] | Net Gain (Loss) on Investments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | (6,681) | 5,415 | (29,694) | 13,832 |
Mortgage loans at fair value [Member] | Net Interest Income [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 2,458 | 7,617 | 6,509 | 29,195 |
Excess servicing spread [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 4,849 | (830) | 20,610 | (1,746) |
Excess servicing spread [Member] | Net Mortgage Loan Servicing Fees [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 0 | 0 | 0 | 0 |
Excess servicing spread [Member] | Net Gain on Mortgage Loans Acquired for Sale [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 0 | 0 | 0 | 0 |
Excess servicing spread [Member] | Net Gain (Loss) on Investments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 1,109 | (4,828) | 9,026 | (14,757) |
Excess servicing spread [Member] | Net Interest Income [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 3,740 | 3,998 | 11,584 | 13,011 |
MSRs at fair value [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 2,951 | (3,977) | 17,010 | (10,370) |
MSRs at fair value [Member] | Net Mortgage Loan Servicing Fees [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 2,951 | (3,977) | 17,010 | (10,370) |
MSRs at fair value [Member] | Net Gain on Mortgage Loans Acquired for Sale [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 0 | 0 | 0 | 0 |
MSRs at fair value [Member] | Net Gain (Loss) on Investments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 0 | 0 | 0 | 0 |
MSRs at fair value [Member] | Net Interest Income [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 0 | 0 | 0 | 0 |
Assets, Total [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | (1,608) | 44,680 | (47,124) | 119,642 |
Assets, Total [Member] | Net Mortgage Loan Servicing Fees [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 2,951 | (3,977) | 17,010 | (10,370) |
Assets, Total [Member] | Net Gain on Mortgage Loans Acquired for Sale [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | 13,062 | 32,935 | (10,660) | 83,839 |
Assets, Total [Member] | Net Gain (Loss) on Investments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | (22,590) | 5,588 | (68,944) | 8,243 |
Assets, Total [Member] | Net Interest Income [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Changes in fair value included in current period income | $ 4,969 | $ 10,134 | $ 15,470 | $ 37,930 |
Fair Value - Summary of Finan_2
Fair Value - Summary of Financial Statement Items Re-measured at Fair Value on Nonrecurring Basis (Detail) - Nonrecurring [Member] - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate acquired in settlement of loans | $ 37,722 | $ 71,380 |
Total Assets | 37,722 | 384,375 |
MSRs at lower of amortized cost or fair value | 312,995 | |
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 |
Total Assets | 0 | 0 |
MSRs at lower of amortized cost or fair value | 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 |
Total Assets | 0 | 0 |
MSRs at lower of amortized cost or fair value | 0 | |
Level 3 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate acquired in settlement of loans | 37,722 | 71,380 |
Total Assets | $ 37,722 | 384,375 |
MSRs at lower of amortized cost or fair value | $ 312,995 |
Fair Value - Summary of Chang_3
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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
MSRs at lower of amortized cost or fair value | $ 1,702 | $ 0 | $ 4,287 | |
Nonrecurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Real estate asset acquired in settlement of loans | $ (2,285) | (5,666) | (6,209) | (7,454) |
MSRs at lower of amortized cost or fair value | 0 | (1,702) | 0 | (4,287) |
Total assets, gains (losses) recognized | $ (2,285) | $ (7,368) | $ (6,209) | $ (11,741) |
Fair Value - Quantitative Summa
Fair Value - Quantitative Summary of Key Inputs Used in Valuation of Level 3 Mortgage Loans at Fair Value (Detail) - Mortgage loans at fair value [Member] | Sep. 30, 2018 | Dec. 31, 2017 |
Discount Rate [Member] | Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.028 | 0.029 |
Discount Rate [Member] | Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.167 | 0.150 |
Discount Rate [Member] | Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.073 | 0.069 |
Twelve-Month Projected Housing Price Index Change [Member] | Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.035 | 0.036 |
Twelve-Month Projected Housing Price Index Change [Member] | Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.044 | 0.046 |
Twelve-Month Projected Housing Price Index Change [Member] | Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.041 | 0.044 |
Prepayment Speed [Member] | Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.025 | 0.032 |
Prepayment Speed [Member] | Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.081 | 0.110 |
Prepayment Speed [Member] | Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.041 | 0.042 |
Total Prepayment Speed [Member] | Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.104 | 0.108 |
Total Prepayment Speed [Member] | Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.223 | 0.238 |
Total Prepayment Speed [Member] | Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.156 | 0.165 |
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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
UPB of underlying mortgage loans (in thousands) | $ 8,290,310 | $ 794,770 | $ 18,687,615 | $ 2,613,258 | |
Average servicing fee rate (in basis points) | 0.25% | 0.25% | 0.26% | 0.25% | |
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) | $ 24,058,366 | $ 27,217,199 | |||
Average servicing fee rate (in basis points) | 0.34% | 0.34% | |||
Average ESS rate (in basis points) | 0.19% | 0.19% | |||
Pricing spread | 3.70% | 4.10% | |||
Annual total prepayment speed | 9.00% | 10.80% | |||
Life (in years) | 7 years 1 month 6 days | 6 years 6 months | |||
Excess servicing spread [Member] | Minimum [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Pricing spread | 3.40% | 3.80% | |||
Annual total prepayment speed | 7.50% | 8.40% | |||
Life (in years) | 1 year 4 months 24 days | 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 | 3.90% | 4.30% | |||
Annual total prepayment speed | 38.40% | 41.40% | |||
Life (in years) | 8 years | 7 years 8 months 12 days |
Fair Value - Schedule of Key In
Fair Value - Schedule of Key Inputs Used in Determining Fair Value of Firm Commitment to Purchase Credit Risk Transfer Security (Detail) - Firm commitment to purchase CRT security [Member] | Sep. 30, 2018 |
Discount Rate [Member] | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |
Key inputs used in valuation | 0.082 |
Voluntary Prepayment Speed [Member] | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |
Key inputs used in valuation | 0.120 |
Involuntary Prepayment Speed [Member] | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |
Key inputs used in valuation | 0.001 |
Fair Value - Quantitative Sum_2
Fair Value - Quantitative Summary of Key Unobservable Inputs Used in Valuation of Interest Rate Lock Commitments (Detail) | Sep. 30, 2018 | Dec. 31, 2017 |
Pull-Through Rate [Member] | Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 43.80% | 58.00% |
Pull-Through Rate [Member] | Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 100.00% | 100.00% |
Pull-Through Rate [Member] | Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 92.60% | 90.30% |
Servicing Fee Multiple [Member] | Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 2.50% | 2.10% |
Servicing Fee Multiple [Member] | Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 5.90% | 5.80% |
Servicing Fee Multiple [Member] | Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 4.70% | 4.90% |
Percentage of UPB [Member] | Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 0.80% | 0.00% |
Percentage of UPB [Member] | Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 2.80% | 2.40% |
Percentage of UPB [Member] | Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 1.40% | 1.30% |
Fair Value - Quantitative Sum_3
Fair Value - Quantitative Summary of Key Unobservable Inputs Used in Valuation of Non-securitized CRT Agreements (Detail) - CRT Agreements [Member] | Sep. 30, 2018 | Dec. 31, 2017 |
Discount Rate [Member] | Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 5.8 | 5.1 |
Discount Rate [Member] | Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 6.7 | 6.2 |
Discount Rate [Member] | Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 6.2 | 5.6 |
Voluntary Prepayment Speed [Member] | Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 7.5 | 12.1 |
Voluntary Prepayment Speed [Member] | Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 8.7 | 15 |
Voluntary Prepayment Speed [Member] | Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.081 | 0.130 |
Involuntary Prepayment Speed [Member] | Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.2 | 0.3 |
Involuntary Prepayment Speed [Member] | Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.3 | 0.3 |
Involuntary Prepayment Speed [Member] | Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.003 | 0.003 |
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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair value, MSR recognized | $ 96,383,000 | $ 8,655,000 | $ 228,337,000 | $ 28,467,000 |
Fair value, UPB of underlying mortgage loans | $ 8,290,310,000 | $ 794,770,000 | $ 18,687,615,000 | $ 2,613,258,000 |
Fair value, Weighted-average annual servicing fee rate (in basis points) | 0.25% | 0.25% | 0.26% | 0.25% |
Amortized cost, MSR recognized | $ 74,183,000 | $ 0 | $ 178,894,000 | |
Amortized cost, UPB of underlying mortgage loans | $ 6,050,337,000 | $ 14,624,151,000 | ||
Amortized cost, Weighted-average annual servicing fee rate (in basis points) | 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 | 7.30% | 7.60% | 7.30% | 7.60% |
Fair value inputs, Annual prepayment speed during period | 3.50% | 8.30% | 3.20% | 7.90% |
Fair value inputs, Weighted average life during period | 2 years 3 months 18 days | 2 years 9 months 18 days | 2 years 3 months 18 days | 2 years 9 months 18 days |
Fair value inputs, Annual per loan cost of servicing during period | $ 77,000 | $ 79,000 | $ 77,000 | $ 79,000 |
Amortized cost, Pricing spread during period | 7.60% | 7.60% | ||
Amortized cost, Annual prepayment speed during period | 3.50% | 3.20% | ||
Amortized cost, Life (in years) | 2 years 7 months 6 days | 2 years 7 months 6 days | ||
Amortized cost, Annual per loan cost of servicing during period | $ 79,000 | $ 79,000 | ||
Maximum [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair value inputs, Pricing spread during period | 12.90% | 7.60% | 12.90% | 7.60% |
Fair value inputs, Annual prepayment speed during period | 34.60% | 29.50% | 34.60% | 29.50% |
Fair value inputs, Weighted average life during period | 11 years 8 months 12 days | 8 years 6 months | 11 years 10 months 24 days | 8 years 6 months |
Fair value inputs, Annual per loan cost of servicing during period | $ 79,000 | $ 79,000 | $ 79,000 | $ 79,000 |
Amortized cost, Pricing spread during period | 12.60% | 12.60% | ||
Amortized cost, Annual prepayment speed during period | 31.10% | 31.10% | ||
Amortized cost, Life (in years) | 11 years 2 months 12 days | 11 years 10 months 24 days | ||
Amortized cost, Annual per loan cost of servicing during period | $ 79,000 | $ 79,000 | ||
Weighted Average [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair value inputs, Pricing spread during period | 7.30% | 7.60% | 7.40% | 7.60% |
Fair value inputs, Annual prepayment speed during period | 10.60% | 10.50% | 9.60% | 10.70% |
Fair value inputs, Weighted average life during period | 7 years 3 months 18 days | 7 years 4 months 24 days | 7 years 8 months 12 days | 7 years 3 months 18 days |
Fair value inputs, Annual per loan cost of servicing during period | $ 79,000 | $ 79,000 | $ 79,000 | $ 79,000 |
Amortized cost, Pricing spread during period | 7.60% | 7.60% | ||
Amortized cost, Annual prepayment speed during period | 8.10% | 8.10% | ||
Amortized cost, Life (in years) | 8 years 4 months 24 days | 8 years 3 months 18 days | ||
Amortized cost, Annual per loan cost of servicing during period | $ 79,000 | $ 79,000 |
Fair Value - Quantitative Sum_4
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, 2018 | Dec. 31, 2017 | Jun. 30, 2018 | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Balance at end of period | $ 1,109,741,000 | $ 91,459,000 | $ 1,010,507,000 | $ 82,312,000 | $ 77,624,000 | $ 64,136,000 |
UPB of underlying mortgage loans, Fair Value | $ 84,351,431,000 | $ 8,273,696,000 | ||||
Weighted-average annual servicing fee rate (in basis points), Fair value input | 0.25% | 0.25% | ||||
Weighted-average note interest rate, Fair value | 4.10% | 4.70% | ||||
Effect on fair value of 5% adverse change, Fair value input, Pricing spread | $ (16,686,000) | $ (1,347,000) | ||||
Effect on fair value of 10% adverse change, Fair value input, Pricing spread | (32,897,000) | (2,655,000) | ||||
Effect on fair value of 20% adverse change, Fair value input, Pricing spread | (63,970,000) | (5,162,000) | ||||
Effect on fair value of 5% adverse change, Fair value input, Prepayment speed | (15,209,000) | (1,954,000) | ||||
Effect on fair value of 10% adverse change, Fair value input, Prepayment speed | (29,926,000) | (3,827,000) | ||||
Effect on fair value of 20% adverse change, Fair value input, Prepayment speed | (57,978,000) | (7,352,000) | ||||
Effect on fair value of 5% adverse change, Fair value input, Annual per-loan cost of servicing | (7,834,000) | (744,000) | ||||
Effect on fair value of 10% adverse change, Fair value input, Annual per-loan cost of servicing | (15,668,000) | (1,488,000) | ||||
Effect on fair value of 20% adverse change, Fair value input, Annual per-loan cost of servicing | (31,337,000) | (2,976,000) | ||||
Carrying value, Amortized cost | $ 0 | 753,322,000 | $ 708,023,000 | |||
UPB of underlying mortgage loans, Amortized cost | $ 63,853,606,000 | |||||
Weighted-average annual servicing fee rate (in basis points), Amortized cost | 0.25% | |||||
Weighted-average note interest rate, Amortized cost | 3.90% | |||||
Effect on fair value of 5% adverse change, Amortized cost, Pricing spread | $ (11,848,000) | |||||
Effect on fair value of 10% adverse change, Amortized cost, Pricing spread | (23,352,000) | |||||
Effect on fair value of 20% adverse change, Amortized cost, Pricing spread | (45,379,000) | |||||
Effect on fair value of 5% adverse change, Amortized cost, Prepayment speed | (12,267,000) | |||||
Effect on fair value of 10% adverse change, Amortized cost, Prepayment speed | (24,120,000) | |||||
Effect on fair value of 20% adverse change, Amortized cost, Prepayment speed | (46,668,000) | |||||
Effect on fair value of 5% adverse change, Amortized cost, Annual per-loan cost of servicing | (5,721,000) | |||||
Effect on fair value of 10% adverse change, Amortized cost, Annual per-loan cost of servicing | (11,441,000) | |||||
Effect on fair value of 20% adverse change, Amortized cost, Annual per-loan cost of servicing | $ (22,883,000) | |||||
Minimum [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Estimated fair value inputs, Pricing spread | 7.30% | 7.60% | ||||
Estimated fair value inputs, Prepayment speed | 6.20% | 7.30% | ||||
Estimated fair value inputs, Annual per-loan cost of servicing | $ 78,000 | $ 77,000 | ||||
Amortized cost, Pricing spread | 7.60% | |||||
Amortized cost, Prepayment speed | 7.10% | |||||
Amortized cost, Weighted average life (in years) | 2 years 10 months 24 days | |||||
Amortized cost, Annual per-loan cost of servicing | $ 78,000 | |||||
Minimum [Member] | Mortgage service rights [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Estimated fair value inputs, Weighted average life (in years) | 2 years 10 months 24 days | 3 years 1 month 6 days | ||||
Maximum [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Estimated fair value inputs, Pricing spread | 12.90% | 12.60% | ||||
Estimated fair value inputs, Prepayment speed | 24.30% | 20.90% | ||||
Estimated fair value inputs, Annual per-loan cost of servicing | $ 79,000 | $ 79,000 | ||||
Amortized cost, Pricing spread | 13.10% | |||||
Amortized cost, Prepayment speed | 27.10% | |||||
Amortized cost, Weighted average life (in years) | 8 years | |||||
Amortized cost, Annual per-loan cost of servicing | $ 79,000 | |||||
Maximum [Member] | Mortgage service rights [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Estimated fair value inputs, Weighted average life (in years) | 8 years 6 months | 6 years 9 months 18 days | ||||
Weighted Average [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Estimated fair value inputs, Pricing spread | 7.30% | 7.60% | ||||
Estimated fair value inputs, Prepayment speed | 7.60% | 11.10% | ||||
Estimated fair value inputs, Annual per-loan cost of servicing | $ 79,000 | $ 79,000 | ||||
Amortized cost, Pricing spread | 7.60% | |||||
Amortized cost, Prepayment speed | 8.40% | |||||
Amortized cost, Weighted average life (in years) | 7 years 7 months 6 days | |||||
Amortized cost, Annual per-loan cost of servicing | $ 79,000 | |||||
Weighted Average [Member] | Mortgage service rights [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Estimated fair value inputs, Weighted average life (in years) | 8 years 1 month 6 days | 6 years 9 months 18 days |
Mortgage Backed Securities - Su
Mortgage Backed Securities - Summary of Mortgage Backed Securities (Detail) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Mortgage Backed Securities [Line Items] | ||
Fair value | $ 2,126,507 | $ 989,461 |
Mortgage Backed Securities [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Principal balance | 2,135,431 | 961,600 |
Net premiums | 47,376 | 33,873 |
Accumulated valuation changes | 56,300 | 6,012 |
Fair value | 2,126,507 | 989,461 |
Fannie Mae [Member] | Mortgage Backed Securities [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Principal balance | 1,592,192 | 774,473 |
Net premiums | 40,413 | 30,355 |
Accumulated valuation changes | 46,691 | 7,975 |
Fair value | 1,585,914 | 796,853 |
Freddie Mac [Member] | Mortgage Backed Securities [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Principal balance | 543,239 | 187,127 |
Net premiums | 6,963 | 3,518 |
Accumulated valuation changes | 9,609 | (1,963) |
Fair value | $ 540,593 | $ 192,608 |
Mortgage Loans Acquired for S_3
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, 2018 | Dec. 31, 2017 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | $ 1,949,432 | $ 1,269,515 |
Mortgage loans pledged to secure: Assets sold under agreements to repurchase | 1,930,547 | 1,249,277 |
Mortgage loans pledged to secure total | 1,930,547 | 1,249,277 |
Penny Mac Loan Services Llc | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 217,334 | 279,571 |
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 | 1,898,155 | 1,201,992 |
Mortgage loans pledged to secure mortgage loan participation purchase and sale agreements | 32,392 | 47,285 |
Agency-Eligible [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 1,708,928 | 971,910 |
Held for Sale to PLS - Government-Insured or Guaranteed [Member] | Penny Mac Loan Services Llc | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 217,334 | 279,571 |
Commercial Real Estate [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 8,500 | 9,898 |
Jumbo [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 7,573 | 0 |
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 | $ 7,097 | $ 8,136 |
Mortgage Loans Acquired for S_4
Mortgage Loans Acquired for Sale at Fair Value - Additional Information (Detail) - Penny Mac Loan Services Llc | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 | Dec. 31, 2017 |
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | $ 633,168 | $ 1,089,473 |
Unpaid principal balance | 788,026 | 1,360,642 |
Asset-backed financing of a VIE at fair value | 292,174 | 321,040 |
Mortgage loans at fair value pledged to secure | 624,267 | 1,081,893 |
Mortgage loans acquired for sale at fair value [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 1,949,432 | 1,269,515 |
Assets sold under agreements to repurchase | 332,093 | 760,853 |
Fixed interest rate jumbo mortgage loans held in a VIE [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 292,174 | 321,040 |
Unpaid principal balance | 299,843 | 316,684 |
Distressed mortgage loans [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 340,994 | 768,433 |
Unpaid principal balance | 488,183 | 1,043,958 |
Distressed mortgage loans [Member] | Nonperforming mortgage loans [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 140,818 | 353,648 |
Unpaid principal balance | 226,375 | 524,949 |
Distressed mortgage loans [Member] | Performing mortgage loans [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 200,176 | 414,785 |
Unpaid principal balance | 261,808 | 519,009 |
Distressed mortgage loans [Member] | Performing mortgage loans [Member] | Interest rate step-up [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 125,063 | 189,724 |
Unpaid principal balance | 170,066 | 242,335 |
Distressed mortgage loans [Member] | Performing mortgage loans [Member] | Fixed interest rate [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 58,179 | 186,929 |
Unpaid principal balance | 73,769 | 236,840 |
Distressed mortgage loans [Member] | Performing mortgage loans [Member] | Adjustable-rate/hybrid [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 16,934 | 38,132 |
Unpaid principal balance | $ 17,973 | $ 39,834 |
Mortgage Loans at Fair Value _2
Mortgage Loans at Fair Value - Summary of Certain Concentrations of Credit Risk in Portfolio of Distressed Mortgage Loans at Fair Value (Detail) | Sep. 30, 2018 | Dec. 31, 2017 |
Risks And Uncertainties [Abstract] | ||
Portion of mortgage loans originated between 2005 and 2007 | 71.00% | 73.00% |
Mortgage loans with unpaid-principal balance-to-current -property-value in excess of 100% | 31.00% | 38.00% |
Mortgage Loans at Fair Value _3
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, 2018 | Dec. 31, 2017 |
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 - Additio
Derivative Activities - Additional Information (Detail) | 9 Months Ended |
Sep. 30, 2018 | |
Derivatives Fair Value [Line Items] | |
Maturity date description | The master repurchase agreement is subject to a rolling six-month term through August 18, 2019, unless terminated earlier at the option of the lender. There can be no assurance that the lender will not terminate this agreement before its stated maturity |
Master Repurchase Agreement [Member] | |
Derivatives Fair Value [Line Items] | |
Maturity date description | The master repurchase agreement is subject to a rolling six month term through August 18, 2019, unless terminated earlier at the option of the lender. There can be no assurance that the lender will not terminate this agreement before its stated maturity |
Master Repurchase Agreement [Member] | Embedded Derivatives [Member] | |
Derivatives Fair Value [Line Items] | |
Maturity date description | The master repurchase agreement is subject to a rolling six-month term through August 18, 2019, unless terminated earlier by the lender. There can be no assurance that the lender will not terminate this agreement before its stated maturity |
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, 2018 | Jun. 30, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 |
Derivatives Fair Value [Line Items] | ||||||
Total derivative assets instruments before netting | $ 161,535,000 | $ 115,803,000 | ||||
Derivative assets, Netting | (17,958,000) | (1,922,000) | ||||
Total derivative assets after netting | 143,577,000 | 113,881,000 | ||||
Margin deposits placed with (from) derivatives counterparties included in Other assets, net | (12,736,000) | 76,000 | ||||
Derivative assets pledged to secure Assets sold under agreements to repurchase | 27,710,000 | 26,058,000 | ||||
Total derivative liabilities | 17,101,000 | 3,305,000 | ||||
Derivative liabilities, Netting | (5,221,000) | (1,999,000) | ||||
Total derivative liabilities after netting | 11,880,000 | 1,306,000 | ||||
Repurchase Agreement Derivatives [Member] | ||||||
Derivatives Fair Value [Line Items] | ||||||
Notional amount | 0 | 0 | ||||
Total derivative assets instruments before netting | 9,415,000 | 3,748,000 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 9,415,000 | 3,748,000 | ||||
Total derivative liabilities | 0 | 0 | ||||
CRT Agreements [Member] | ||||||
Derivatives Fair Value [Line Items] | ||||||
Notional amount | 30,648,306,000 | 26,845,392,000 | ||||
Total derivative assets instruments before netting | 126,354,000 | 98,640,000 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 126,354,000 | 98,640,000 | ||||
Total derivative liabilities | 0 | 0 | ||||
Interest Rate Lock Commitments [Member] | ||||||
Derivatives Fair Value [Line Items] | ||||||
Notional amount | 1,682,007,000 | 1,250,803,000 | ||||
Total derivative assets instruments before netting | 2,317,000 | 4,859,000 | ||||
Total derivative assets after netting | 2,317,000 | 4,859,000 | ||||
Total derivative liabilities | 3,418,000 | 227,000 | ||||
Forward Purchase Contracts [Member] | ||||||
Derivatives Fair Value [Line Items] | ||||||
Notional amount | 3,350,125,000 | $ 2,628,934,000 | 1,996,235,000 | $ 1,598,412,000 | $ 1,933,390,000 | $ 4,840,707,000 |
Total derivative assets instruments before netting | 1,761,000 | 4,343,000 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 1,761,000 | 4,343,000 | ||||
Total derivative liabilities | 11,964,000 | 248,000 | ||||
Forward Sale Contracts [Member] | ||||||
Derivatives Fair Value [Line Items] | ||||||
Notional amount | 5,124,927,000 | 3,793,355,000 | 2,565,271,000 | 2,808,847,000 | 3,644,636,000 | 6,148,242,000 |
Total derivative assets instruments before netting | 19,238,000 | 387,000 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 19,238,000 | 387,000 | ||||
Total derivative liabilities | 1,719,000 | 2,830,000 | ||||
MBS Call Options [Member] | ||||||
Derivatives Fair Value [Line Items] | ||||||
Notional amount | 750,000,000 | 0 | 0 | 75,000,000 | 200,000,000 | 750,000,000 |
Total derivative assets instruments before netting | 7,000 | 0 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 7,000 | 0 | ||||
Total derivative liabilities | 0 | 0 | ||||
MBS Put Options [Member] | ||||||
Derivatives Fair Value [Line Items] | ||||||
Notional amount | 2,600,000,000 | 1,550,000,000 | 2,375,000,000 | 1,125,000,000 | 1,475,000,000 | 925,000,000 |
Total derivative assets instruments before netting | 2,302,000 | 3,170,000 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 2,302,000 | 3,170,000 | ||||
Total derivative liabilities | 0 | 0 | ||||
Put Options on Interest Rate Futures [Member] | ||||||
Derivatives Fair Value [Line Items] | ||||||
Notional amount | 100,000,000 | 600,000,000 | 550,000,000 | 475,000,000 | 925,000,000 | 550,000,000 |
Total derivative assets instruments before netting | 141,000 | 656,000 | ||||
Derivative assets, Netting | 0 | 0 | ||||
Total derivative assets after netting | 141,000 | 656,000 | ||||
Total derivative liabilities | 0 | 0 | ||||
Swap Futures [Member] | ||||||
Derivatives Fair Value [Line Items] | ||||||
Notional amount | 0 | 275,000,000 | 275,000,000 | 175,000,000 | 150,000,000 | |
Total derivative assets instruments before netting | 0 | 0 | ||||
Total derivative liabilities | 0 | 0 | ||||
Bond Futures [Member] | ||||||
Derivatives Fair Value [Line Items] | ||||||
Notional amount | 815,000,000 | 815,000,000 | 0 | |||
Total derivative assets instruments before netting | 0 | 0 | ||||
Total derivative liabilities | 0 | 0 | ||||
Eurodollar Future Sale Contracts [Member] | ||||||
Derivatives Fair Value [Line Items] | ||||||
Notional amount | 30,000,000 | $ 35,000,000 | 937,000,000 | $ 1,038,000,000 | $ 1,139,000,000 | $ 1,351,000,000 |
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 (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Forward Purchase Contracts [Member] | ||||
Derivatives Fair Value [Line Items] | ||||
Amount, beginning of quarter | $ 2,628,934,000 | $ 1,933,390,000 | $ 1,996,235,000 | $ 4,840,707,000 |
Additions | 26,864,290,000 | 20,560,886,000 | 67,406,528,000 | 54,953,063,000 |
Dispositions/expirations | (26,143,099,000) | (20,895,864,000) | (66,052,638,000) | (58,195,358,000) |
Amount, end of quarter | 3,350,125,000 | 1,598,412,000 | 3,350,125,000 | 1,598,412,000 |
Forward Sale Contracts [Member] | ||||
Derivatives Fair Value [Line Items] | ||||
Amount, beginning of quarter | 3,793,355,000 | 3,644,636,000 | 2,565,271,000 | 6,148,242,000 |
Additions | 36,205,542,000 | 27,214,513,000 | 88,131,417,000 | 73,030,446,000 |
Dispositions/expirations | (34,873,970,000) | (28,050,302,000) | (85,571,761,000) | (76,369,841,000) |
Amount, end of quarter | 5,124,927,000 | 2,808,847,000 | 5,124,927,000 | 2,808,847,000 |
MBS Put Options [Member] | ||||
Derivatives Fair Value [Line Items] | ||||
Amount, beginning of quarter | 1,550,000,000 | 1,475,000,000 | 2,375,000,000 | 925,000,000 |
Additions | 1,050,000,000 | 3,200,000,000 | 9,625,000,000 | 5,125,000,000 |
Dispositions/expirations | 0 | (3,550,000,000) | (9,400,000,000) | (4,925,000,000) |
Amount, end of quarter | 2,600,000,000 | 1,125,000,000 | 2,600,000,000 | 1,125,000,000 |
MBS Call Options [Member] | ||||
Derivatives Fair Value [Line Items] | ||||
Amount, beginning of quarter | 0 | 200,000,000 | 0 | 750,000,000 |
Additions | 750,000,000 | 275,000,000 | 750,000,000 | 475,000,000 |
Dispositions/expirations | 0 | (400,000,000) | 0 | (1,150,000,000) |
Amount, end of quarter | 750,000,000 | 75,000,000 | 750,000,000 | 75,000,000 |
Call Options on Interest Rate Futures [Member] | ||||
Derivatives Fair Value [Line Items] | ||||
Amount, beginning of quarter | 50,000,000 | 200,000,000 | 0 | 200,000,000 |
Additions | 200,000,000 | 450,000,000 | 525,000,000 | 575,000,000 |
Dispositions/expirations | (250,000,000) | (400,000,000) | (525,000,000) | (525,000,000) |
Amount, end of quarter | 0 | 250,000,000 | 0 | 250,000,000 |
Put Options on Interest Rate Futures [Member] | ||||
Derivatives Fair Value [Line Items] | ||||
Amount, beginning of quarter | 600,000,000 | 925,000,000 | 550,000,000 | 550,000,000 |
Additions | 1,300,000,000 | 2,500,000,000 | 11,700,000,000 | 5,875,000,000 |
Dispositions/expirations | (1,800,000,000) | (2,950,000,000) | (12,150,000,000) | (5,950,000,000) |
Amount, end of quarter | 100,000,000 | 475,000,000 | 100,000,000 | 475,000,000 |
Bond Futures [Member] | ||||
Derivatives Fair Value [Line Items] | ||||
Amount, beginning of quarter | 815,000,000 | 0 | ||
Additions | 2,205,000,000 | 3,020,000,000 | ||
Dispositions/expirations | (2,205,000,000) | (2,205,000,000) | ||
Amount, end of quarter | 815,000,000 | 815,000,000 | ||
Eurodollar Future Sales Contracts [Member] | ||||
Derivatives Fair Value [Line Items] | ||||
Amount, beginning of quarter | 35,000,000 | 1,139,000,000 | 937,000,000 | 1,351,000,000 |
Additions | 5,000,000 | 202,000,000 | 119,597,000 | 303,000,000 |
Dispositions/expirations | (10,000,000) | (303,000,000) | (1,026,597,000) | (616,000,000) |
Amount, end of quarter | 30,000,000 | 1,038,000,000 | 30,000,000 | 1,038,000,000 |
Treasury Future Buy Contracts [Member] | ||||
Derivatives Fair Value [Line Items] | ||||
Amount, beginning of quarter | 0 | 0 | ||
Additions | 55,000,000 | 110,700,000 | ||
Dispositions/expirations | (55,000,000) | (110,700,000) | ||
Amount, end of quarter | 0 | 0 | ||
Treasury Future Sale Contracts [Member] | ||||
Derivatives Fair Value [Line Items] | ||||
Amount, beginning of quarter | 0 | 0 | ||
Additions | 55,000,000 | 110,700,000 | ||
Dispositions/expirations | (55,000,000) | (110,700,000) | ||
Amount, end of quarter | 0 | 0 | ||
Swap Futures [Member] | ||||
Derivatives Fair Value [Line Items] | ||||
Amount, beginning of quarter | 175,000,000 | 275,000,000 | 150,000,000 | |
Additions | 100,000,000 | 0 | 950,000,000 | |
Dispositions/expirations | 0 | (275,000,000) | (825,000,000) | |
Amount, end of quarter | $ 0 | $ 275,000,000 | $ 0 | $ 275,000,000 |
Derivative Activities - Summa_2
Derivative Activities - Summary of Net Derivative Assets (Detail) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | $ 161,535 | $ 115,803 |
Gross amounts offset in the consolidated balance sheet | (17,958) | (1,922) |
Total derivative assets after netting | 143,577 | 113,881 |
Net amounts of assets presented in the consolidated balance sheet | (17,958) | (1,922) |
Repurchase Agreement Derivatives [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 9,415 | 3,748 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Total derivative assets after netting | 9,415 | 3,748 |
CRT Agreement Derivatives [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 126,354 | 98,640 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Total derivative assets after netting | 126,354 | 98,640 |
Interest Rate Lock Commitments [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 2,317 | 4,859 |
Total derivative assets after netting | 2,317 | 4,859 |
Forward Purchase Contracts [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 1,761 | 4,343 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Total derivative assets after netting | 1,761 | 4,343 |
Forward Sale Contracts [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 19,238 | 387 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Total derivative assets after netting | 19,238 | 387 |
Derivatives Not Subject To Master Netting Adjustment [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 138,086 | 107,247 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Total derivative assets after netting | 138,086 | 107,247 |
Derivatives Not Subject To Master Netting Adjustment [Member] | Interest Rate Lock Commitments [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 2,317 | 4,859 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Total derivative assets after netting | 2,317 | 4,859 |
MBS Call Options [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 7 | 0 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Total derivative assets after netting | 7 | 0 |
MBS Put Options [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 2,302 | 3,170 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Total derivative assets after netting | 2,302 | 3,170 |
Put Options on Interest Rate Futures [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 141 | 656 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Total derivative assets after netting | 141 | 656 |
Netting [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 0 | 0 |
Gross amounts offset in the consolidated balance sheet | (17,958) | (1,922) |
Total derivative assets after netting | (17,958) | (1,922) |
Derivatives Subject to Master Netting Arrangements [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 23,449 | 8,556 |
Gross amounts offset in the consolidated balance sheet | (17,958) | (1,922) |
Total derivative assets after netting | $ 5,491 | $ 6,634 |
Derivative Activities - Summa_3
Derivative Activities - Summary of Derivative Assets, Financial Instruments and Collateral Held by Counterparty (Detail) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | $ 143,577 | $ 113,881 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 143,577 | 113,881 |
CRT Agreements [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 126,354 | 98,640 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 126,354 | 98,640 |
Interest Rate Lock Commitments [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 2,317 | 4,859 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 2,317 | 4,859 |
Deutsche Bank Securities LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 9,415 | 3,748 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 9,415 | 3,748 |
Citigroup Global Markets Inc. [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 2,116 | 429 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 2,116 | 429 |
Wells Fargo Securities, LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 950 | 146 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 950 | 146 |
J.P. Morgan Securities LLC [member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 637 | 2,020 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 637 | 2,020 |
Bank of America, N.A. [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 627 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 627 | 0 |
Goldman Sachs [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 558 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 558 | 0 |
RJ O'Brien & Associates, LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 141 | 656 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 141 | 656 |
Federal National Mortgage Association [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 9 | 1,606 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 9 | 1,606 |
Credit Suisse Securities (USA) LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 0 | 809 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 0 | 809 |
Morgan Stanley & Co. LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 0 | 457 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 0 | 457 |
Other [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 453 | 511 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | $ 453 | $ 511 |
Derivative Activities - Schedul
Derivative Activities - Schedule of Offsetting of Derivative Liabilities and Financial Liabilities (Detail) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | $ 4,411,601 | $ 3,184,191 |
Gross amounts offset in the consolidated balance sheet | (5,221) | (1,999) |
Net amounts of liabilities presented in the consolidated balance sheet | 4,406,380 | 3,182,192 |
Unpaid Principal Balance [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 4,394,597 | 3,182,504 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 4,394,597 | 3,182,504 |
Interest Rate Lock Commitments [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 3,418 | 227 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 3,418 | 227 |
Forward Purchase Contracts [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 11,964 | 248 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 11,964 | 248 |
Forward Sales Contracts [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 1,719 | 2,830 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 1,719 | 2,830 |
Derivatives Not Subject To Master Netting Adjustment [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 3,418 | 227 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 3,418 | 227 |
Netting [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 0 | 0 |
Gross amounts offset in the consolidated balance sheet | (5,221) | (1,999) |
Net amounts of liabilities presented in the consolidated balance sheet | (5,221) | (1,999) |
Derivatives Subject to Master Netting Arrangements [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 13,683 | 3,078 |
Gross amounts offset in the consolidated balance sheet | (5,221) | (1,999) |
Net amounts of liabilities presented in the consolidated balance sheet | 8,462 | 1,079 |
Derivative Liabilities Before Netting [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 17,101 | 3,305 |
Gross amounts offset in the consolidated balance sheet | (5,221) | (1,999) |
Net amounts of liabilities presented in the consolidated balance sheet | 11,880 | 1,306 |
Unamortized Debt Issuance Costs [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | (97) | (1,618) |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | (97) | (1,618) |
Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 4,394,500 | 3,180,886 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | $ 4,394,500 | $ 3,180,886 |
Derivative Activities - Summa_4
Derivative Activities - Summary of Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty (Detail) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | $ 4,406,380 | $ 3,182,192 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (4,394,500) | (3,180,886) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 11,880 | 1,306 |
Interest Rate Lock Commitments [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 3,418 | 227 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 3,418 | 227 |
Bank of America, N.A. [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 1,424,559 | 839,057 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (1,424,559) | (838,771) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 286 |
Credit Suisse Securities (USA) LLC [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 683,565 | 845,567 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (683,339) | (845,567) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 226 | 0 |
Deutsche Bank Securities LLC [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 701,294 | 374,526 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (701,294) | (374,526) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
J.P. Morgan Securities LLC [member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 448,773 | 373,186 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (448,773) | (373,186) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Mizuho Securities [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 276,791 | 0 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (276,791) | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Daiwa Capital Markets [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 262,985 | 153,833 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (262,940) | (153,730) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 45 | 103 |
Morgan Stanley & Co. LLC [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 224,035 | 164,530 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (223,627) | (164,530) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 408 | 0 |
Citigroup Global Markets Inc. [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 118,762 | 235,541 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (116,091) | (235,319) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 2,671 | 222 |
RBC Capital Markets, L.P. [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 95,027 | 92,014 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (95,027) | (91,805) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 209 |
BNP Paribas [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 91,062 | 45,411 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (91,062) | (45,411) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Wells Fargo Securities, LLC [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 71,094 | 50,360 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (71,094) | (50,360) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Federal National Mortgage Association [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 4,350 | 0 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 4,350 | 0 |
Barclays Capital Inc. [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 270 | 9,374 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 0 | (9,299) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 270 | 75 |
Other [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 492 | 184 |
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 | 492 | 184 |
Unamortized Debt Issuance Costs [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | (97) | (1,618) |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 97 | 1,618 |
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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Gain Loss on mortgage loans acquired for sale [Member] | Interest Rate Lock Commitments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains on derivative financial instruments used as economic hedges | $ (7,700) | $ 24,694 | $ (26,431) | $ 70,131 |
Interest expense [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains on derivative financial instruments used as economic hedges | (37) | 0 | (118) | 0 |
Fixed-rate assets and LIBOR- indexed repurchase agreements [Member] | Net gain (loss) on investments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains on derivative financial instruments used as economic hedges | 691 | (5,910) | 1,029 | (14,943) |
CRT Agreements [Member] | Net gain (loss) on investments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains on derivative financial instruments used as economic hedges | 30,552 | 14,960 | 92,621 | 68,863 |
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 on derivative financial instruments used as economic hedges | 15,584 | (16,943) | 56,818 | (32,308) |
Mortgage service rights [Member] | Net loan servicing fees [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains on derivative financial instruments used as economic hedges | $ (12,093) | $ 4,576 | $ (44,378) | $ (1,731) |
Real Estate Acquired in Settl_3
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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Real Estate [Abstract] | |||||
Balance at beginning of period | $ 109,271 | $ 207,034 | $ 162,865 | $ 274,069 | |
Transfer from mortgage loans at fair value and advances | 7,508 | 22,951 | 26,229 | 76,981 | |
Transfer to real estate held for investment | (559) | (2,555) | (4,123) | (14,300) | |
Transfer from real estate held for investment | 655 | 0 | 1,112 | 0 | |
Results of REO: | |||||
Valuation adjustments, net | (3,323) | (6,423) | (13,990) | (21,749) | |
Gain on sale, net | 3,013 | 3,280 | 8,157 | 10,895 | |
Total gain (loss), net | (310) | (3,143) | (5,833) | (10,854) | |
Sales | (20,960) | (39,253) | (84,645) | (140,862) | |
Balance at end of period | 95,605 | $ 185,034 | 95,605 | $ 185,034 | |
REO pledged to secure assets sold under agreements to repurchase | 43,970 | 43,970 | $ 76,037 | ||
REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties | 25,429 | 25,429 | 48,495 | ||
Real estate pledged to creditors | $ 69,399 | $ 69,399 | $ 124,532 |
Mortgage Servicing Rights - Sum
Mortgage Servicing Rights - Summary of MSRs Carried at Fair Value (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | ||
Servicing Asset At Fair Value Changes In Fair Value [Abstract] | ||||||
Balance at beginning of period | $ 1,010,507 | $ 77,624 | $ 91,459 | $ 64,136 | ||
Transfer of mortgage servicing rights from mortgage servicing rights carried at lower of amortized cost or fair value pursuant to a change in accounting principle | 0 | 0 | 773,035 | 0 | ||
Balance after reclassification | 1,010,507 | 77,624 | 864,494 | 64,136 | ||
Purchases | 0 | 10 | 0 | 79 | ||
Sales | (100) | 0 | (100) | 0 | ||
MSRs resulting from mortgage loan sales | 96,383 | 8,655 | 228,337 | 28,467 | ||
Due to changes in valuation inputs used in valuation model | [1] | 33,004 | (2,628) | 101,699 | (6,956) | |
Other changes in fair value | [2] | (30,053) | (1,349) | (84,689) | (3,414) | |
Change in fair value, Total | 2,951 | (3,977) | 17,010 | (10,370) | ||
Balance at end of period | 1,109,741 | $ 82,312 | 1,109,741 | $ 82,312 | ||
Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and Notes payable (3) | [3] | $ 1,090,406 | $ 1,090,406 | $ 90,284 | ||
[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. | |||||
[3] | During 2018, beneficial interests in Fannie Mae MSRs are pledged as collateral for both Assets sold under agreements to repurchase and Notes payable as discussed in Note 17 – Notes Payable. |
Mortgage Servicing Rights - S_2
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, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Servicing Asset at Amortized Cost, Balance [Roll Forward] | ||||
Balance at beginning of period | $ 673,433 | $ 772,870 | $ 606,103 | |
Transfer of mortgage servicing right to mortgage servicing rights carried at fair value pursuant to a change in accounting principle | 0 | (772,870) | 0 | |
Balance after reclassification | 673,433 | 0 | 606,103 | |
MSRs resulting from mortgage loan sales | 74,183 | 0 | 178,894 | |
Amortization | (21,634) | 0 | (59,015) | |
Balance at end of period | 725,982 | 0 | 725,982 | |
Balance at beginning of period | (16,257) | (19,548) | (13,672) | |
Reduction resulting from change in accounting principle | 0 | 19,548 | 0 | |
Balance after reclassification | (16,257) | 0 | (13,672) | |
Additions to valuation allowance | (1,702) | 0 | (4,287) | |
Balance at end of period | (17,959) | 0 | (17,959) | |
MSRs, net | 708,023 | $ 0 | 708,023 | $ 753,322 |
Fair value at beginning of period | 682,437 | 626,334 | ||
Fair value at end of period | $ 728,828 | $ 728,828 | ||
Assets sold under agreements to repurchase | 584,762 | |||
Notes payable | 156,846 | |||
Total | $ 741,608 |
Mortgage Servicing Rights - S_3
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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Transfers And Servicing [Abstract] | ||||
Contractually-specified servicing fees | $ 49,864 | $ 42,237 | $ 147,262 | $ 119,223 |
Late charges | 252 | 173 | 685 | 536 |
Other | 2,859 | 1,870 | 5,988 | 4,110 |
Net mortgage loan servicing fees | $ 52,975 | $ 44,280 | $ 153,935 | $ 123,869 |
Assets Sold Under Agreements _3
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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Weighted-average interest rate | 3.19% | 2.72% | 3.12% | 2.57% | |
Average balance | $ 4,072,301,000 | $ 3,474,903,000 | $ 3,573,805,000 | $ 3,388,626,000 | |
Total interest expense | 29,725,000 | 26,157,000 | 79,705,000 | 72,280,000 | |
Maximum daily amount outstanding | 5,091,893,000 | $ 3,973,869,000 | 5,677,797,000 | $ 4,083,326,000 | |
Unpaid principal balance | 4,394,597,000 | 4,394,597,000 | $ 3,182,504,000 | ||
Assets sold under agreements to repurchase, At year end | 4,394,500,000 | $ 4,394,500,000 | $ 3,180,886,000 | ||
Weighted-average interest rate | 3.23% | 2.77% | |||
Available borrowing capacity, Committed | $ 564,023,000 | $ 749,650,000 | |||
Available borrowing capacity, Uncommitted | 1,947,494,000 | 2,030,607,000 | |||
Available borrowing capacity | 2,511,517,000 | 2,780,257,000 | |||
Margin deposits placed with counterparties included in Other assets | 42,550,000 | 42,550,000 | 28,154,000 | ||
Real Estate Held for Investment [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Assets securing agreements to repurchase | 31,795,000 | 31,795,000 | 31,128,000 | ||
Assets Sold Under Agreements to Repurchase [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Unamortized debt issuance costs and premiums, net | (97,000) | (97,000) | (1,618,000) | ||
Mortgage-backed securities at fair value [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Assets securing agreements to repurchase | 2,126,507,000 | 2,126,507,000 | 989,461,000 | ||
Mortgage loans acquired for sale at fair value [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Assets securing agreements to repurchase | 1,898,155,000 | 1,898,155,000 | 1,201,992,000 | ||
Mortgage loans at fair value [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Assets securing agreements to repurchase | 332,093,000 | 332,093,000 | 760,853,000 | ||
Real estate acquired in settlement of loans [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Assets securing agreements to repurchase | 69,399,000 | 69,399,000 | 124,532,000 | ||
Deposits securing CRT Agreements [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Assets securing agreements to repurchase | 378,090,000 | 378,090,000 | 400,778,000 | ||
Derivative assets related to CRT Agreements [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Assets securing agreements to repurchase | 27,710,000 | 27,710,000 | 26,058,000 | ||
Mortgage service rights [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Assets securing agreements to repurchase | $ 1,090,406,000 | $ 1,090,406,000 | $ 651,575,000 |
Assets Sold Under Agreements _4
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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Assets Sold under Agreements to Repurchase [Line Items] | ||||
Maturity date description | The master repurchase agreement is subject to a rolling six-month term through August 18, 2019, unless terminated earlier at the option of the lender. There can be no assurance that the lender will not terminate this agreement before its stated maturity | |||
Master Repurchase Agreement [Member] | ||||
Assets Sold under Agreements to Repurchase [Line Items] | ||||
Incentives as a reduction to finance mortgage loans included in interest expense | $ 5 | $ 11 | ||
Maturity date description | The master repurchase agreement is subject to a rolling six month term through August 18, 2019, unless terminated earlier at the option of the lender. There can be no assurance that the lender will not terminate this agreement before its stated maturity | |||
Assets Sold Under Agreements to Repurchase [Member] | ||||
Assets Sold under Agreements to Repurchase [Line Items] | ||||
Amortization of debt issuance premiums | $ 3.1 | $ 4.8 | ||
Amortization of debt issuance costs | $ 1.9 | $ 6.1 |
Assets Sold Under Agreements _5
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, 2018USD ($) | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 4,394,597 |
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 | $ 2,462,431 |
Over 30 to 90 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 0 |
Over 90 days to 180 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 10,328 |
Over 180 days to 1 year [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 1,815,302 |
Over one year to two years [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 106,536 |
Assets Sold Under Agreements _6
Assets Sold Under Agreements to Repurchase - Summary of Assets Sold under Agreements to Repurchase by Counterparty (Detail) $ in Thousands | 9 Months Ended |
Sep. 30, 2018USD ($) | |
Credit Suisse First Boston Mortgage Capital LLC [Member] | CRT Agreements sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 50,793 |
Weighted average maturity | Oct. 10, 2018 |
Credit Suisse First Boston Mortgage Capital LLC [Member] | Mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 696,567 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Dec. 17, 2018 |
Facility maturity | Apr. 26, 2019 |
JPMorgan Chase & Co. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 20,251 |
Weighted average maturity | Oct. 26, 2018 |
JPMorgan Chase & Co. [Member] | Mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 4,354 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Nov. 17, 2018 |
Facility maturity | Oct. 11, 2019 |
JPMorgan Chase & Co., Maturity in 2019 [Member] | Mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 100,153 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Mar. 14, 2019 |
Facility maturity | Mar. 14, 2019 |
Citibank, N.A. [Member] | Mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 118,546 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Dec. 13, 2018 |
Facility maturity | Jun. 7, 2019 |
Bank of America, N.A. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 47,090 |
Weighted average maturity | Oct. 21, 2018 |
Bank of America, N.A. [Member] | CRT Agreements sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 25,475 |
Weighted average maturity | Oct. 19, 2018 |
Bank of America, N.A. [Member] | Mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 16,589 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Oct. 18, 2018 |
Facility maturity | Jul. 1, 2019 |
Deutsche Bank [Member] | Mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 33,676 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Dec. 17, 2018 |
Facility maturity | Mar. 31, 2019 |
BNP Paribas Corporate & Institutional Banking [Member] | CRT Agreements sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 17,009 |
Weighted average maturity | Oct. 22, 2018 |
BNP Paribas Corporate & Institutional Banking [Member] | Mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 555 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Dec. 14, 2018 |
Facility maturity | Aug. 2, 2019 |
Morgan Stanley [Member] | Mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 10,781 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Dec. 13, 2018 |
Facility maturity | Aug. 23, 2019 |
Royal Bank of Canada [Member] | Mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 4,454 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Jan. 13, 2019 |
Facility maturity | Apr. 16, 2019 |
Daiwa Capital Markets [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 16,385 |
Weighted average maturity | Oct. 19, 2018 |
Mizuho Securities [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 8,634 |
Weighted average maturity | Oct. 10, 2018 |
Wells Fargo, N.A. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 4,034 |
Weighted average maturity | Oct. 16, 2018 |
Mortgage Loan Participation P_3
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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
At period end: | |||||
Mortgage loan participation purchase and sale agreements, At year end | $ 31,578,000 | $ 31,578,000 | $ 44,488,000 | ||
Mortgage Loan Participation Purchase and Sale Agreement [Member] | |||||
Mortgage Loan Participation Purchase And Sale Agreement [Line Items] | |||||
Weighted-average interest rate | 3.39% | 2.48% | 3.21% | 2.28% | |
Average balance | $ 78,806,000 | $ 59,701,000 | $ 51,687,000 | $ 65,290,000 | |
Total interest expense | 739,000 | 409,000 | 1,396,000 | 1,225,000 | |
Maximum daily amount outstanding | 258,983,000 | $ 99,441,000 | 258,983,000 | $ 99,441,000 | |
At period end: | |||||
Amount outstanding | 31,675,000 | 31,675,000 | 44,550,000 | ||
Unamortized debt issuance costs | (97,000) | (97,000) | (62,000) | ||
Mortgage loan participation purchase and sale agreements, At year end | 31,578,000 | $ 31,578,000 | $ 44,488,000 | ||
Weighted-average interest rate | 3.61% | 2.82% | |||
Mortgage loans acquired for sale pledged to secure mortgage loan participation purchase and sale agreements | $ 32,392,000 | $ 32,392,000 | $ 47,285,000 |
Mortgage Loan Participation P_4
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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Mortgage Loan Participation Purchase And Sale Agreement [Line Items] | ||||
Amortization of debt issuance (premiums) and costs, net | $ (3,193) | $ 10,243 | ||
Mortgage Loan Participation Purchase and Sale Agreement [Member] | ||||
Mortgage Loan Participation Purchase And Sale Agreement [Line Items] | ||||
Amortization of debt issuance (premiums) and costs, net | $ 65,000 | $ 31,000 | $ 141,000 | $ 94,000 |
Exchangeable Senior Notes - Add
Exchangeable Senior Notes - Additional Information (Detail) - Exchangeable Senior Notes due May 1, 2020 [Member] | Apr. 30, 2013USD ($) | Sep. 30, 2018USD ($)$ / 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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Debt Instrument [Line Items] | |||||
Average balance | $ 250,000 | $ 250,000 | $ 250,000 | $ 250,000 | |
Carrying value: | |||||
UPB | 250,000 | 250,000 | $ 250,000 | ||
Exchangeable senior notes | 248,053 | 248,053 | 247,186 | ||
Convertible Debt [Member] | |||||
Debt Instrument [Line Items] | |||||
Total interest expense | 3,652 | $ 3,636 | 10,945 | $ 10,895 | |
Carrying value: | |||||
Unamortized debt issuance costs | $ (1,947) | $ (1,947) | $ (2,814) |
Notes Payable - Additional Info
Notes Payable - Additional Information (Detail) - USD ($) | Apr. 25, 2018 | Sep. 30, 2018 | Feb. 01, 2018 | Mar. 24, 2017 |
Secured Term Notes [Member] | ||||
Short-term Debt [Line Items] | ||||
Aggregate loan amount | $ 450,000,000 | |||
Debt instrument payable start date | 2018-05 | |||
Maturity date of debt instrument | Apr. 25, 2023 | |||
Debt instrument extended maturity date subject to term note indenture | Apr. 25, 2025 | |||
Secured Term Notes [Member] | Fixed-rate assets and LIBOR- indexed repurchase agreements [Member] | ||||
Short-term Debt [Line Items] | ||||
Debt Instrument, Description of Variable Rate Basis | one-month | |||
Debt instrument interest rate spread | 2.35% | |||
Loan and Security Agreement with Credit Suisse First Boston Mortgage Capital LLC [Member] | ||||
Short-term Debt [Line Items] | ||||
Maturity date of debt instrument | Feb. 1, 2020 | |||
Loan and Security Agreement with Credit Suisse First Boston Mortgage Capital LLC [Member] | Maximum [Member] | ||||
Short-term Debt [Line Items] | ||||
Aggregate loan amount | $ 175,000,000 | |||
Amended and Restated Loan and Security Agreement with Citibank, N.A. [Member] | ||||
Short-term Debt [Line Items] | ||||
Redemption and termination period of debt instrument | 2017-12 | |||
Amended and Restated Loan and Security Agreement with Citibank, N.A. [Member] | Maximum [Member] | ||||
Short-term Debt [Line Items] | ||||
Aggregate loan amount | $ 400,000,000 | |||
Loan and Security Agreement with Barclays Bank PLC [Member] | ||||
Short-term Debt [Line Items] | ||||
Maturity date of debt instrument | Feb. 1, 2018 | |||
Loan and Security Agreement with Barclays Bank PLC [Member] | Maximum [Member] | ||||
Short-term Debt [Line Items] | ||||
Aggregate loan amount | $ 170,000,000 |
Notes Payable - Summary of Fina
Notes Payable - Summary of Financial Information Relating to Note Payable (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Debt Instrument [Line Items] | |||||
Weighted-average interest rate | 4.53% | 6.30% | 4.58% | 5.57% | |
Average balance | $ 445,149,000 | $ 79,345,000 | $ 251,052,000 | $ 152,395,000 | |
Total interest expense | 5,351,000 | 2,320,000 | 9,032,000 | 9,719,000 | |
Carrying value: | |||||
Amount outstanding | 450,000,000 | 450,000,000 | |||
Balance | $ 445,318,000 | 445,318,000 | $ 0 | ||
Weighted-average interest rate | 4.44% | ||||
MSRs pledged to secure notes payable | $ 1,090,406,000 | 1,090,406,000 | 180,317,000 | ||
Notes payable [Member] | |||||
Debt Instrument [Line Items] | |||||
Maximum daily amount outstanding | 445,318,000 | $ 160,106,000 | 445,318,000 | $ 275,106,000 | |
Carrying value: | |||||
Unamortized debt issuance costs | $ (4,682,000) | $ (4,682,000) | $ 0 |
Notes Payable - Summary of Fi_2
Notes Payable - Summary of Financial Information Relating to Note Payable (Parenthetical) (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Debt Instrument [Line Items] | ||||
Amortization of debt issuance (premiums) and costs, net | $ (3,193,000) | $ 10,243,000 | ||
Notes payable [Member] | ||||
Debt Instrument [Line Items] | ||||
Amortization of debt issuance (premiums) and costs, net | $ 255,000 | $ 1,000,000 | $ 426,000 | $ 3,300,000 |
Asset-Backed Financing of a V_3
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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Asset-backed financing of a variable interest entity at fair value | $ 278,113 | $ 278,113 | $ 307,419 | ||
Variable Interest Entities [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Asset-backed financing of a variable interest entity at fair value | 278,113 | 278,113 | 307,419 | ||
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 | 285,284 | $ 325,763 | 292,770 | $ 337,073 | |
Total interest expense | $ 2,740 | $ 3,515 | $ 7,836 | $ 10,520 | |
Weighted-average interest rate | 3.52% | 3.34% | 3.51% | 3.41% | |
Asset-backed financing of a variable interest entity at fair value | $ 278,113 | $ 278,113 | 307,419 | ||
UPB | $ 287,086 | $ 287,086 | $ 316,684 | ||
Weighted-average interest rate | 3.51% | 3.51% |
Liability for Losses under Re_3
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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Mortgage Banking [Abstract] | ||||
Balance, beginning of period | $ 7,625 | $ 10,697 | $ 8,678 | $ 15,350 |
Provision for losses: | ||||
Pursuant to mortgage loan sales | 636 | 1,075 | 1,724 | 2,355 |
Reduction in liability due to change in estimate | (848) | (1,642) | (3,030) | (7,523) |
(Losses incurred) recoveries, net | 0 | (83) | 41 | (135) |
Balance, end of period | 7,413 | 10,047 | 7,413 | 10,047 |
UPB of mortgage loans subject to representations and warranties at end of period | $ 83,370,583 | $ 67,196,537 | $ 83,370,583 | $ 67,196,537 |
Commitments and Contingencies -
Commitments and Contingencies - Company's Outstanding Contractual Commitments (Detail) $ in Thousands | Sep. 30, 2018USD ($) |
Commitments to purchase mortgage loans: | |
Commitments to purchase mortgage loans acquired for sale | $ 1,682,007 |
Commitments to fund Deposits securing CRT agreements | 578,508 |
Firm commitment to purchase credit risk transfer security | $ 294,698 |
Shareholders' Equity - Summary
Shareholders' Equity - Summary of Preferred Shares of Benefical Interest (Detail) - USD ($) | Sep. 30, 2018 | Dec. 31, 2017 |
Class Of Stock [Line Items] | ||
Number of shares | 12,400,000 | 12,400,000 |
Liquidation preference | $ 310,000,000 | $ 310,000,000 |
Issuance discount | 10,293,000 | |
Carrying value | $ 299,707,000 | $ 299,707,000 |
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 | |
Liquidation preference | $ 195,000,000 | |
Issuance discount | 6,465,000 | |
Carrying value | $ 188,535,000 |
Shareholders' Equity - Summar_2
Shareholders' Equity - Summary of Preferred Shares of Benefical Interest (Parenthetical) (Detail) - $ / shares | Jul. 05, 2017 | Jul. 31, 2017 | Mar. 31, 2017 | Sep. 30, 2018 | Dec. 31, 2017 |
Class Of Stock [Line Items] | |||||
Preferred stock, par value | $ 0.01 | $ 0.01 | |||
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% | 5.99% | 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 | Dec. 31, 2018 | Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | Aug. 31, 2015 |
Schedule Of Capitalization Equity [Line Items] | ||||||||||
Preferred stock, par value | $ 0.01 | $ 0.01 | $ 0.01 | |||||||
Reimbursement agreement effective date | Feb. 1, 2013 | |||||||||
Reimbursement paid for every $100 of performance incentive fees earned | $ 10 | |||||||||
Performance incentive fees earned | 100 | |||||||||
Performance incentive fees, incurred | $ 683,000 | 683,000 | ||||||||
Payments of contingent underwriting fees to underwriters | 0 | $ 61,000 | 0 | $ 61,000 | ||||||
Initial Public Offering [Member] | ||||||||||
Schedule Of Capitalization Equity [Line Items] | ||||||||||
Reimbursement paid for every $100 of performance incentive fees earned | 20 | |||||||||
Performance incentive fees earned | $ 100 | |||||||||
Reimbursement agreement expiry date | Feb. 1, 2019 | |||||||||
Management [Member] | ||||||||||
Schedule Of Capitalization Equity [Line Items] | ||||||||||
Reimbursement of contingent underwriting fee to manager | 0 | 30,000 | $ 0 | 30,000 | ||||||
PNMAC Capital Management LLC [Member] | ||||||||||
Schedule Of Capitalization Equity [Line Items] | ||||||||||
Reimbursement of contingent underwriting fee to manager | $ 30,000 | $ 30,000 | ||||||||
Maximum [Member] | ||||||||||
Schedule Of Capitalization Equity [Line Items] | ||||||||||
Common stock shares Repurchase authorized amount | $ 300,000,000 | |||||||||
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 | ||||||||
Scenario Forecast [Member] | Underwriter [Member] | ||||||||||
Schedule Of Capitalization Equity [Line Items] | ||||||||||
Reimbursement of performance incentive fees | $ 137,000 | |||||||||
Scenario Forecast [Member] | PNMAC Capital Management LLC [Member] | ||||||||||
Schedule Of Capitalization Equity [Line Items] | ||||||||||
Reimbursement of performance incentive fees | $ 68,000 | |||||||||
8.125% Series A Preferred Stock [Member] | ||||||||||
Schedule Of Capitalization Equity [Line Items] | ||||||||||
Issuance of preferred shares, Shares | 4.6 | |||||||||
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 | $ 1.52 | |||||||||
Statutory Dividend Payment Restrictions Disclosure | The Company pays quarterly cumulative dividends on its Preferred Shares on the 15th day of each March, June, September and December, provided that if any dividend payment date is not a business day, then the dividend that would otherwise be payable on that dividend payment date may be paid on the following business day. | |||||||||
8.125% Series A Preferred Stock [Member] | Fixed Annuity | Date Of Original Issuance To March 14,2024 [Member] | ||||||||||
Schedule Of Capitalization Equity [Line Items] | ||||||||||
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% | |||||||||
8.00% Series B Preferred Stock [Member] | ||||||||||
Schedule Of Capitalization Equity [Line Items] | ||||||||||
Issuance of preferred shares, Shares | 7,800,000 | |||||||||
Cumulative dividend, beneficial interest rate | 8.00% | 5.99% | 8.00% | |||||||
Preferred stock, par value | $ 0.01 | 0.01 | $ 0.01 | |||||||
Preferred stock, liquidation preference | $ 25 | |||||||||
Preferred stock, dividends per share paid | 1.50 | |||||||||
8.125% Series A And 8.00% Series B Preferred Stock [Member] | ||||||||||
Schedule Of Capitalization Equity [Line Items] | ||||||||||
Preferred stock redemption price per share | $ 25 | $ 25 |
Shareholders' Equity - Summar_3
Shareholders' Equity - Summary of Share Repurchase Activity (Detail) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Equity [Abstract] | ||||
Common shares repurchased | 0 | 966 | 671 | 1,105 |
Cumulative shares repurchased | 14,731 | 14,731 | ||
Cost of common shares repurchased | $ 0 | $ 16,417 | $ 10,719 | $ 18,724 |
Cumulative cost of shares repurchased | $ 216,625 | $ 216,625 |
Net Mortgage Loan Servicing F_3
Net Mortgage Loan Servicing Fees - Summary of Net Loan Servicing Fees (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | ||
Components of Net Servicing Fee Income [Line Items] | |||||
Servicing fees | $ 52,975 | $ 44,280 | $ 153,935 | $ 123,869 | |
Effect of MSRs: | |||||
Realization of cashflows | [1] | 33,004 | (2,628) | 101,699 | (6,956) |
Other | [2] | (30,053) | (1,349) | (84,689) | (3,414) |
Change in fair value, Total | 2,951 | (3,977) | 17,010 | (10,370) | |
Amortization | (21,634) | 0 | (59,015) | ||
Additions to impairment valuation allowance | (1,702) | 0 | (4,287) | ||
Total Effect of MSRs | (27,368) | (75,403) | |||
Net mortgage loan servicing fees | 44,394 | 21,876 | 128,135 | 49,325 | |
Average servicing portfolio | 81,350,980 | 63,584,416 | 77,522,709 | 61,764,228 | |
PennyMac Financial Services, Inc. [Member] | |||||
Effect of MSRs: | |||||
Net mortgage loan servicing fees | 561 | 333 | 1,568 | 859 | |
From PFSI—MSR recapture income | 561 | 333 | 1,568 | 859 | |
Nonaffiliates [Member] | |||||
Components of Net Servicing Fee Income [Line Items] | |||||
Servicing fees | 49,864 | 42,237 | 147,262 | 119,223 | |
Ancillary and other fees | 3,111 | 2,043 | 6,673 | 4,646 | |
Effect of MSRs: | |||||
Realization of cashflows | (30,053) | (2,628) | (84,689) | (6,956) | |
Other | 33,127 | (1,349) | 101,822 | (3,414) | |
Change in fair value, Total | 3,074 | (3,977) | 17,133 | (10,370) | |
Loss on sale | (123) | 0 | (123) | 0 | |
Amortization | 0 | (21,634) | 0 | (59,015) | |
Additions to impairment valuation allowance | 0 | (1,702) | 0 | (4,287) | |
Total Effect of MSRs | (9,142) | (22,737) | (27,368) | (75,403) | |
Net mortgage loan servicing fees | 43,833 | 21,543 | 126,567 | 48,466 | |
Nonaffiliates [Member] | Mortgage service rights [Member] | |||||
Effect of MSRs: | |||||
(Losses) gains on hedging derivatives | $ (12,093) | $ 4,576 | $ (44,378) | $ (1,731) | |
[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. |
Net Gain on Mortgage Loans Ac_3
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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Non cash gain: | ||||
Receipt of MSRs in mortgage loan sale transactions | $ 228,337 | $ 207,361 | ||
Provision for losses relating to representations and warranties provided in mortgage loan sales: | ||||
Pursuant to mortgage loans sales | $ (636) | $ (1,075) | (1,724) | (2,355) |
Reduction in liability due to change in estimate | (848) | (1,642) | (3,030) | (7,523) |
Change in fair value of financial instruments held at end of period: | ||||
Net gain on mortgage loans acquired for sale | 24,810 | 17,967 | 41,579 | 54,284 |
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 | 2,689 | 3,275 | 8,221 | 9,340 |
Nonaffiliates [Member] | ||||
Cash loss: | ||||
Mortgage loans | (104,475) | (51,485) | (272,496) | (135,666) |
Hedging activities | 24,659 | (13,468) | 63,047 | (16,931) |
Cash gain, net of effects of cash hedging, on sale of mortgage loans acquired for sale | (79,816) | (64,953) | (209,449) | (152,597) |
Non cash gain: | ||||
Recognition of fair value of firm commitment to purchase credit risk transfer security | 12,311 | 0 | 16,737 | 0 |
Receipt of MSRs in mortgage loan sale transactions | 96,383 | 82,838 | 228,337 | 207,361 |
Provision for losses relating to representations and warranties provided in mortgage loan sales: | ||||
Pursuant to mortgage loans sales | (636) | (1,075) | (1,724) | (2,355) |
Reduction in liability due to change in estimate | 848 | 1,642 | 3,030 | 7,523 |
Provision for losses relating to representations and warranties | 212 | 567 | 1,306 | 5,168 |
Change in fair value of financial instruments held at end of period: | ||||
IRLCs | (3,907) | 880 | (5,733) | (2,502) |
Mortgage loans | 6,013 | (1,165) | 8,389 | 2,891 |
Hedging derivatives | (9,075) | (3,475) | (6,229) | (15,377) |
Total non cash portion of gain on mortgage loans acquired for sale | (6,969) | (3,760) | (3,573) | (14,988) |
Net gain on mortgage loans acquired for sale | $ 22,121 | $ 14,692 | $ 33,358 | $ 44,944 |
Net Gain (Loss) on Investment_2
Net Gain (Loss) on Investments - Summary of Net Gain (Loss) on Investments (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Schedule Of Gain Loss On Investments Including Marketable Securities And Investments Held At Cost Income Statement Reported Amounts Summary [Line Items] | ||||
Net gain (loss) on investments | $ 9,683 | $ 13,834 | $ 35,210 | $ 58,147 |
Nonaffiliates [Member] | ||||
Schedule Of Gain Loss On Investments Including Marketable Securities And Investments Held At Cost Income Statement Reported Amounts Summary [Line Items] | ||||
Mortgage-backed securities at fair value | (19,030) | 5,001 | (50,288) | 9,168 |
CRT Agreements | 29,481 | 15,151 | 90,528 | 66,591 |
Asset-backed financing of a VIE at fair value | 3,516 | (2,158) | 12,658 | (5,581) |
Hedging derivatives | 691 | (5,910) | 1,029 | (14,943) |
Net gain (loss) on investments | 7,977 | 17,499 | 24,233 | 69,067 |
PennyMac Financial Services, Inc. [Member] | ||||
Schedule Of Gain Loss On Investments Including Marketable Securities And Investments Held At Cost Income Statement Reported Amounts Summary [Line Items] | ||||
Net gain (loss) on investments | 1,706 | (3,665) | 10,977 | (10,920) |
Variable Interest Entities [Member] | Nonaffiliates [Member] | ||||
Schedule Of Gain Loss On Investments Including Marketable Securities And Investments Held At Cost Income Statement Reported Amounts Summary [Line Items] | ||||
Mortgage loans at fair value | (3,630) | 2,138 | (11,992) | 6,309 |
Distressed mortgage loans [Member] | Nonaffiliates [Member] | ||||
Schedule Of Gain Loss On Investments Including Marketable Securities And Investments Held At Cost Income Statement Reported Amounts Summary [Line Items] | ||||
Mortgage loans at fair value | $ (3,051) | $ 3,277 | $ (17,702) | $ 7,523 |
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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Interest income: | ||||
ESS | $ 62,324 | $ 51,577 | $ 155,648 | $ 152,063 |
Interest expense: | ||||
Total interest expense | 29,725 | 26,157 | 79,705 | 72,280 |
Notes payable | 5,351 | 2,320 | 9,032 | 9,719 |
Interest expense, total | 46,609 | 40,277 | 121,490 | 115,882 |
Net interest income | 15,715 | 11,300 | 34,158 | 36,181 |
Convertible Debt [Member] | ||||
Interest expense: | ||||
Total interest expense | 3,652 | 3,636 | 10,945 | 10,895 |
PennyMac Financial Services, Inc. [Member] | ||||
Interest income: | ||||
ESS | 3,740 | 3,998 | 11,584 | 13,011 |
Interest expense: | ||||
Total interest expense | 1,812 | 2,116 | 5,686 | 5,946 |
Nonaffiliates [Member] | ||||
Interest income: | ||||
Short-term investments | 385 | 132 | 656 | 516 |
Mortgage-backed securities | 15,903 | 7,447 | 37,127 | 21,954 |
Mortgage loans acquired for sale at fair value | 22,591 | 16,202 | 51,874 | 40,699 |
Distressed | 5,245 | 14,213 | 18,086 | 53,456 |
Deposits securing CRT Agreements | 3,190 | 1,440 | 8,788 | 2,703 |
Placement fees relating to custodial funds | 7,979 | 4,330 | 18,218 | 8,212 |
Other | 225 | 49 | 478 | 142 |
ESS | 58,584 | 47,579 | 144,064 | 139,052 |
Interest expense: | ||||
Total interest expense | 29,725 | 26,157 | 79,705 | 72,280 |
Mortgage loan participation purchase and sale agreements | 739 | 409 | 1,396 | 1,225 |
Notes payable | 5,351 | 2,320 | 9,032 | 9,719 |
Asset-backed financings of a VIE at fair value | 2,740 | 3,515 | 7,836 | 10,520 |
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations | 1,897 | 1,638 | 5,294 | 4,068 |
Interest on mortgage loan impound deposits | 693 | 486 | 1,596 | 1,229 |
Interest expense, total | 44,797 | 38,161 | 115,804 | 109,936 |
Nonaffiliates [Member] | Convertible Debt [Member] | ||||
Interest expense: | ||||
Total interest expense | 3,652 | 3,636 | 10,945 | 10,895 |
Nonaffiliates [Member] | Variable Interest Entities [Member] | ||||
Interest income: | ||||
Mortgage loans at fair value | $ 3,066 | $ 3,766 | $ 8,837 | $ 11,370 |
Net Interest Income - Summary_2
Net Interest Income - Summary of Net Interest Income (Parenthetical) (Detail) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended |
Sep. 30, 2018 | Sep. 30, 2018 | |
Schedule Of Investment Income Reported Amounts By Category [Line Items] | ||
Maturity date description | The master repurchase agreement is subject to a rolling six-month term through August 18, 2019, unless terminated earlier at the option of the lender. There can be no assurance that the lender will not terminate this agreement before its stated maturity | |
Master Repurchase Agreement [Member] | ||
Schedule Of Investment Income Reported Amounts By Category [Line Items] | ||
Incentives as a reduction to finance mortgage loans included in interest expense | $ 5 | $ 11 |
Maturity date description | The master repurchase agreement is subject to a rolling six month term through August 18, 2019, unless terminated earlier at the option of the lender. There can be no assurance that the lender will not terminate this agreement before its stated maturity |
Share-Based Compensation Plan_2
Share-Based Compensation Plans - Summary of Share-Based Compensation Activity (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | ||||
Total share units granted | 0 | 2 | 245 | 262 |
Total fair value of share units granted | $ 0 | $ 36 | $ 3,823 | $ 3,992 |
Total share units vested | 1 | 0 | 289 | 284 |
Total share units forfeited | 2 | 0 | 2 | 13 |
Compensation expense relating to share-based grants | $ 1,566 | $ 737 | $ 4,322 | $ 3,864 |
Restricted Shares Units [Member] | ||||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | ||||
Total share units granted | 0 | 2 | 129 | 136 |
Total fair value of share units granted | $ 0 | $ 36 | $ 2,281 | $ 2,317 |
Total share units vested | 1 | 0 | 261 | 284 |
Total share units forfeited | 2 | 0 | 2 | 13 |
Performance Shares Units [Member] | ||||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | ||||
Total share units granted | 0 | 0 | 116 | 126 |
Total fair value of share units granted | $ 0 | $ 0 | $ 1,542 | $ 1,675 |
Total share units vested | 0 | 0 | 28 | 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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | $ 2,894 | $ 3,301 | $ 7,758 | $ 10,704 |
Common Overhead Allocation from PFSI [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | 1,210 | 1,193 | 3,387 | 4,220 |
Technology [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | 291 | 374 | 1,014 | 1,088 |
Insurance [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | 274 | 300 | 915 | 968 |
Other [Member] | ||||
Other Non operating Income Expense [Line Items] | ||||
Total other expenses | $ 1,119 | $ 1,434 | $ 2,442 | $ 4,428 |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Income Tax [Line Items] | |||||
Effective income tax rate | 9.90% | 15.60% | |||
Expense (benefit) from income taxes | $ 5,100,000 | $ 4,771,000 | $ 20,613,000 | $ 1,688,000 | |
Income (loss) before benefit from income taxes | 51,662,000 | 24,166,000 | 131,786,000 | 78,599,000 | |
Percentage of deduction from taxable income | 20.00% | ||||
Taxable REIT Subsidiary [Member] | |||||
Income Tax [Line Items] | |||||
Expense (benefit) from income taxes | 4,800,000 | 4,800,000 | 19,900,000 | (900,000) | |
Income (loss) before benefit from income taxes | $ 17,700,000 | $ 12,000,000 | $ 73,200,000 | $ (4,500,000) |
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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Earnings Per Share [Abstract] | ||||
Net income | $ 46,562 | $ 19,395 | $ 111,173 | $ 76,911 |
Dividends on preferred shares | (6,235) | (6,125) | (18,703) | (9,032) |
Effect of participating securities—share-based compensation awards | (236) | (231) | (541) | (760) |
Net income attributable to common shareholders | 40,091 | 13,039 | 91,929 | 67,119 |
Net income attributable to common shareholders | 40,091 | 13,039 | 91,929 | 67,119 |
Interest on Exchangeable Notes, net of income taxes | 2,661 | 0 | 7,973 | 6,564 |
Diluted net income attributable to common shareholders | $ 42,752 | $ 13,039 | $ 99,902 | $ 73,683 |
Weighted-average basic shares outstanding | 60,950 | 66,636 | 60,880 | 66,702 |
Dilutive securities: | ||||
Shares issuable pursuant to exchange of the Exchangeable Notes | 8,467 | 0 | 8,467 | 8,467 |
Diluted weighted-average number of shares outstanding | 69,417 | 66,636 | 69,347 | 75,169 |
Basic earnings per share | $ 0.66 | $ 0.20 | $ 1.51 | $ 1.01 |
Diluted earnings per share | $ 0.62 | $ 0.20 | $ 1.44 | $ 0.98 |
Earnings Per Share - Summary _2
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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Share-based Compensation Plan [Member] | ||||
Antidilutive Securities Excluded From Computation Of Earnings Per Share [Line Items] | ||||
Potentially dilutive stock excluded from the diluted earnings per share | 361 | 643 | 403 | 699 |
Exchangeable Notes [Member] | ||||
Antidilutive Securities Excluded From Computation Of Earnings Per Share [Line Items] | ||||
Potentially dilutive stock excluded from the diluted earnings per share | 0 | 8,467 | 0 | 0 |
Segments - Additional Informati
Segments - Additional Information (Detail) | 9 Months Ended |
Sep. 30, 2018Segment | |
Segment Reporting [Abstract] | |
Number of business segments | 4 |
Segments - Financial Highlights
Segments - Financial Highlights by Operating Segment (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Net investment income: | |||||
Net mortgage loan servicing fees | $ 44,394 | $ 21,876 | $ 128,135 | $ 49,325 | |
Net gain on mortgage loans acquired for sale | 24,810 | 17,967 | 41,579 | 54,284 | |
Net gain (loss) on investments | 9,683 | 13,834 | 35,210 | 58,147 | |
Net interest income (expense): | |||||
Interest income | 62,324 | 51,577 | 155,648 | 152,063 | |
Interest expense | (46,609) | (40,277) | (121,490) | (115,882) | |
Net interest income | 15,715 | 11,300 | 34,158 | 36,181 | |
Other income (loss) | 13,899 | 10,827 | 28,083 | 26,300 | |
Net investment income | 108,501 | 75,804 | 267,165 | 224,237 | |
Expenses: | |||||
Mortgage loan fulfillment and servicing fees payable to PFSI | 36,327 | 34,909 | 83,280 | 93,171 | |
Management fees | 6,482 | 6,038 | 17,906 | 16,684 | |
Other | 14,030 | 10,691 | 34,193 | 35,783 | |
Total expenses | 56,839 | 51,638 | 135,379 | 145,638 | |
Pre-tax income (loss) | 51,662 | 24,166 | 131,786 | 78,599 | |
Total assets at end of quarter | 7,267,578 | 5,785,043 | 7,267,578 | 5,785,043 | $ 5,604,933 |
Correspondent production [Member] | |||||
Net investment income: | |||||
Net mortgage loan servicing fees | 0 | 0 | 0 | 0 | |
Net gain on mortgage loans acquired for sale | 12,496 | 17,963 | 24,810 | 54,117 | |
Net gain (loss) on investments | 0 | 0 | 0 | 0 | |
Net interest income (expense): | |||||
Interest income | 22,465 | 16,018 | 51,456 | 40,194 | |
Interest expense | (12,708) | (11,351) | (30,039) | (28,214) | |
Net interest income | 9,757 | 4,667 | 21,417 | 11,980 | |
Other income (loss) | 12,442 | 11,762 | 28,410 | 30,576 | |
Net investment income | 34,695 | 34,392 | 74,637 | 96,673 | |
Expenses: | |||||
Mortgage loan fulfillment and servicing fees payable to PFSI | 26,256 | 23,508 | 52,759 | 61,191 | |
Management fees | 0 | 0 | 0 | 0 | |
Other | 2,485 | 2,574 | 4,778 | 6,614 | |
Total expenses | 28,741 | 26,082 | 57,537 | 67,805 | |
Pre-tax income (loss) | 5,954 | 8,310 | 17,100 | 28,868 | |
Total assets at end of quarter | 1,976,188 | 1,304,647 | 1,976,188 | 1,304,647 | |
Credit Sensitive Strategies [Member] | |||||
Net investment income: | |||||
Net mortgage loan servicing fees | 5 | 47 | 29 | 91 | |
Net gain on mortgage loans acquired for sale | 12,314 | 4 | 16,769 | 167 | |
Net gain (loss) on investments | 26,293 | 18,562 | 72,744 | 74,695 | |
Net interest income (expense): | |||||
Interest income | 8,675 | 15,951 | 27,634 | 57,011 | |
Interest expense | (8,792) | (13,096) | (28,899) | (41,178) | |
Net interest income | (117) | 2,855 | (1,265) | 15,833 | |
Other income (loss) | 1,457 | (935) | (351) | (4,281) | |
Net investment income | 39,952 | 20,533 | 87,926 | 86,505 | |
Expenses: | |||||
Mortgage loan fulfillment and servicing fees payable to PFSI | 1,271 | 4,273 | 5,529 | 12,143 | |
Management fees | 0 | 0 | 0 | 0 | |
Other | 5,619 | 3,194 | 13,077 | 11,419 | |
Total expenses | 6,890 | 7,467 | 18,606 | 23,562 | |
Pre-tax income (loss) | 33,062 | 13,066 | 69,320 | 62,943 | |
Total assets at end of quarter | 1,348,750 | 1,959,792 | 1,348,750 | 1,959,792 | |
Interest Rate Sensitive Strategies [Member] | |||||
Net investment income: | |||||
Net mortgage loan servicing fees | 44,389 | 21,829 | 128,106 | 49,234 | |
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 | |
Net gain (loss) on investments | (16,610) | (4,728) | (37,534) | (16,548) | |
Net interest income (expense): | |||||
Interest income | 30,573 | 19,426 | 75,423 | 54,200 | |
Interest expense | (25,109) | (15,830) | (62,552) | (46,490) | |
Net interest income | 5,464 | 3,596 | 12,871 | 7,710 | |
Other income (loss) | 0 | 0 | 0 | 0 | |
Net investment income | 33,243 | 20,697 | 103,443 | 40,396 | |
Expenses: | |||||
Mortgage loan fulfillment and servicing fees payable to PFSI | 8,800 | 7,128 | 24,992 | 19,837 | |
Management fees | 0 | 0 | 0 | 0 | |
Other | 344 | 265 | 166 | 1,094 | |
Total expenses | 9,144 | 7,393 | 25,158 | 20,931 | |
Pre-tax income (loss) | 24,099 | 13,304 | 78,285 | 19,465 | |
Total assets at end of quarter | 3,822,572 | 2,414,477 | 3,822,572 | 2,414,477 | |
Corporate [Member] | |||||
Net investment income: | |||||
Net mortgage loan servicing fees | 0 | 0 | 0 | 0 | |
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | 0 | |
Net gain (loss) on investments | 0 | 0 | 0 | 0 | |
Net interest income (expense): | |||||
Interest income | 611 | 182 | 1,135 | 658 | |
Interest expense | 0 | 0 | 0 | 0 | |
Net interest income | 611 | 182 | 1,135 | 658 | |
Other income (loss) | 0 | 0 | 24 | 5 | |
Net investment income | 611 | 182 | 1,159 | 663 | |
Expenses: | |||||
Mortgage loan fulfillment and servicing fees payable to PFSI | 0 | 0 | 0 | 0 | |
Management fees | 6,482 | 6,038 | 17,906 | 16,684 | |
Other | 5,582 | 4,658 | 16,172 | 16,656 | |
Total expenses | 12,064 | 10,696 | 34,078 | 33,340 | |
Pre-tax income (loss) | (11,453) | (10,514) | (32,919) | (32,677) | |
Total assets at end of quarter | $ 120,068 | $ 106,127 | $ 120,068 | $ 106,127 |
Supplemental Cash Flow Inform_3
Supplemental Cash Flow Information - Summary of Supplemental Cash Flow Information (Detail) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 2017 | |
Additional Cash Flow Elements And Supplemental Cash Flow Information [Abstract] | ||
Income tax payments, net of refunds | $ 900 | $ (294) |
Interest payments | 124,332 | 115,108 |
Cumulative effect on accumulated deficit of conversion to fair value accounting | 14,361 | 0 |
Non-cash investing activities: | ||
Transfer of mortgage loans and advances to real estate acquired in settlement of loans | 26,229 | 76,981 |
Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment | 4,123 | 14,300 |
Transfer of real estate acquired in settlement of mortgage loans from real estate held for investment | 1,112 | 0 |
Receipt of mortgage servicing rights as proceeds from sales of mortgage loans | 228,337 | 207,361 |
Receipt of excess servicing spread pursuant to recapture agreement with PennyMac Financial Services, Inc. | 1,983 | 4,160 |
Capitalization of servicing advances pursuant to mortgage loan modifications | 4,734 | 17,759 |
Non-cash financing activities: | ||
Recognition of financing premium arising from repurchase agreement derivatives | 11,411 | 0 |
Dividends declared, not paid | $ 28,817 | $ 31,655 |
Regulatory Capital and Liquid_3
Regulatory Capital and Liquidity Requirements - Additional Information (Detail) | 9 Months Ended |
Sep. 30, 2018USD ($) | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Minimum net worth amount | $ 2,500,000 |
Basis point | 0.25% |
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 Liquid_4
Regulatory Capital and Liquidity Requirements - Summary of Capital and Liquidity Amounts and Requirements by Agencies (Detail) - Fannie Mae and Freddie Mac [Member] - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Capital Requirements By Agencies [Line Items] | ||
Net Worth, Actual | $ 555,214 | $ 487,535 |
Net Worth, Required | $ 213,379 | $ 182,818 |
Tangible Net Worth / Total Assets Ratio, Actual | 11.00% | 12.00% |
Tangible Net Worth / Total Assets Ratio, Required | 6.00% | 6.00% |
Liquidity, Actual | $ 100,478 | $ 73,252 |
Liquidity, Required | $ 28,983 | $ 25,245 |
Subsequent Events - Additional
Subsequent Events - Additional Information (Detail) $ in Millions | 1 Months Ended | 9 Months Ended |
Oct. 31, 2018USD ($)Agreement | Sep. 30, 2018USD ($) | |
Subsequent Event [Line Items] | ||
Maturity date description | The master repurchase agreement is subject to a rolling six-month term through August 18, 2019, unless terminated earlier at the option of the lender. There can be no assurance that the lender will not terminate this agreement before its stated maturity | |
Credit Risk Transfer Agreements [Member] | Assets Sold Under Agreements to Repurchase [Member] | ||
Subsequent Event [Line Items] | ||
Securities backed by deposits securing credit risk transfer agreements | $ 578.5 | |
Subsequent Event [Member] | Repurchase Agreement Derivatives [Member] | ||
Subsequent Event [Line Items] | ||
Maturity date description | All agreements to repurchase assets that matured between September 31, 2018 and the date of this Report were extended or renewed. | |
Subsequent Event [Member] | Distressed mortgage loans [Member] | ||
Subsequent Event [Line Items] | ||
Number agreements to sell | Agreement | 4 | |
Unpaid principal balance agreed to sell | $ 300 | |
Subsequent Event [Member] | Assets Sold Under Agreements to Repurchase [Member] | ||
Subsequent Event [Line Items] | ||
Deposits made during agreement’s aggregation period | 200.5 | |
Advance received under asset repurchase agreement | $ 571.5 |