Document and Entity Information
Document and Entity Information - USD ($) | 12 Months Ended | ||
Dec. 31, 2018 | Feb. 25, 2019 | Jun. 30, 2018 | |
Document And Entity Information [Abstract] | |||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Period End Date | Dec. 31, 2018 | ||
Document Fiscal Year Focus | 2,018 | ||
Document Fiscal Period Focus | FY | ||
Trading Symbol | PMT | ||
Entity Registrant Name | PennyMac Mortgage Investment Trust | ||
Entity Central Index Key | 1,464,423 | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Well-known Seasoned Issuer | Yes | ||
Entity Current Reporting Status | Yes | ||
Entity Voluntary Filers | No | ||
Entity Filer Category | Large Accelerated Filer | ||
Entity Small Business | false | ||
Entity Emerging Growth Company | false | ||
Entity Shell Company | false | ||
Entity Common Stock, Shares Outstanding | 67,954,635 | ||
Entity Public Float | $ 1,127,888,552 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
ASSETS | ||
Cash | $ 59,845 | $ 77,647 |
Short-term investments at fair value | 74,850 | 18,398 |
Mortgage-backed securities at fair value pledged to creditors | 2,610,422 | 989,461 |
Mortgage loans acquired for sale at fair value (includes $1,621,879 and $1,249,277 pledged to creditors, respectively) | 1,643,957 | 1,269,515 |
Mortgage loans at fair value (includes $399,266 and $1,081,893 pledged to creditors, respectively) | 408,305 | 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 | 216,110 | 236,534 |
Derivative assets (includes $87,976 and $26,058 pledged to creditors, respectively) | 167,165 | 113,881 |
Firm commitment to purchase credit risk transfer securities at fair value | 37,994 | 0 |
Real estate acquired in settlement of loans (includes $40,198 and $124,532 pledged to creditors, respectively) | 85,681 | 162,865 |
Real estate held for investment (includes $23,262 and $31,128 pledged to creditors, respectively) | 43,110 | 44,224 |
Deposits securing credit risk transfer agreements (includes $1,146,501 and $400,778 pledged to creditors, respectively) | 1,146,501 | 588,867 |
Mortgage servicing rights (includes $1,162,369 and $91,459 at fair value; $1,139,582 and $831,892 pledged to creditors) | 1,162,369 | 844,781 |
Servicing advances | 67,666 | 77,158 |
Other | 85,309 | 87,975 |
Total assets | 7,813,361 | 5,604,933 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 4,777,027 | 3,180,886 |
Mortgage loan participation purchase and sale agreements | 178,639 | 44,488 |
Exchangeable senior notes | 248,350 | 247,186 |
Notes payable | 445,573 | 0 |
Asset-backed financing of a variable interest entity at fair value | 276,499 | 307,419 |
Interest-only security payable at fair value | 36,011 | 7,070 |
Derivative liabilities | 5,914 | 1,306 |
Accounts payable and accrued liabilities | 70,687 | 64,751 |
Income taxes payable | 36,526 | 27,317 |
Liability for losses under representations and warranties | 7,514 | 8,678 |
Total liabilities | 6,247,229 | 4,060,348 |
Commitments and contingencies ─ Note 19 | 0 | 0 |
SHAREHOLDERS’ EQUITY | ||
Preferred shares of beneficial interest, $0.01 par value per share, authorized 100,000,000 shares, issued and outstanding 12,400,000 shares, 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 | 1,285,533 | 1,290,931 |
Accumulated deficit | (19,718) | (46,666) |
Total shareholders’ equity | 1,566,132 | 1,544,585 |
Total liabilities and shareholders’ equity | 7,813,361 | 5,604,933 |
Variable Interest Entities [Member] | ||
ASSETS | ||
Mortgage loans at fair value (includes $399,266 and $1,081,893 pledged to creditors, respectively) | 290,573 | 321,040 |
Derivative assets (includes $87,976 and $26,058 pledged to creditors, respectively) | 123,987 | 98,640 |
Deposits securing credit risk transfer agreements (includes $1,146,501 and $400,778 pledged to creditors, respectively) | 1,146,501 | 588,867 |
Other—interest receivable | 839 | 904 |
Total assets of Consolidated Variable Interest Entity | 1,561,900 | 1,009,451 |
LIABILITIES | ||
Asset-backed financing of a variable interest entity at fair value | 276,499 | 307,419 |
Interest-only security payable at fair value | 36,011 | 7,070 |
Accounts payable and accrued liabilities—interest payable | 839 | 904 |
SHAREHOLDERS’ EQUITY | ||
Total liabilities of Consolidated Variable Interest Entity | 313,349 | 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 | 216,110 | 236,534 |
Due from PennyMac Financial Services, Inc. | 4,077 | 4,154 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 131,025 | 144,128 |
Due to PennyMac Financial Services, Inc. | $ 33,464 | $ 27,119 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) | Dec. 31, 2018 | Dec. 31, 2017 |
Mortgage loans acquired for sale at fair value, pledged to creditors | $ 1,621,879,000 | $ 1,249,277,000 |
Mortgage loans at fair value, pledged to creditors | 399,266,000 | 1,081,893,000 |
Derivative assets, pledged to creditors | 87,976,000 | 26,058,000 |
Real estate pledged to creditors | 40,198,000 | 124,532,000 |
Deposits securing credit risk transfer agreements, pledged to creditors | 1,146,501,000 | 400,778,000 |
Mortgage servicing rights at fair value | 1,162,369,000 | 91,459,000 |
Mortgage servicing rights pledged to creditors | $ 1,139,582,000 | $ 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 | $ 40,198,000 | $ 124,532,000 |
Real Estate Held for Investment [Member] | ||
Real estate pledged to creditors | $ 23,262,000 | $ 31,128,000 |
Consolidated Statements of Inco
Consolidated Statements of Income - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Net investment income | |||
Net mortgage loan servicing fees | $ 120,587 | $ 69,240 | $ 54,789 |
Net gain on mortgage loans acquired for sale | 59,185 | 74,516 | 106,442 |
Mortgage loan origination fees | 43,321 | 40,184 | 41,993 |
Net gain (loss) on investments | 81,926 | 96,384 | 7,175 |
Interest income | 222,772 | 195,176 | 222,122 |
Interest expense: | |||
Interest expense | 175,171 | 151,371 | 149,768 |
Net interest income | 47,601 | 43,805 | 72,354 |
Results of real estate acquired in settlement of loans | (8,786) | (14,955) | (19,118) |
Other | 7,233 | 8,766 | 8,453 |
Net investment income | 351,067 | 317,940 | 272,088 |
Expenses | |||
Mortgage loan fulfillment fees | 81,350 | 80,359 | 86,465 |
Mortgage loan servicing fees | 42,045 | 43,064 | 50,615 |
Management fees | 24,465 | 22,584 | 20,657 |
Mortgage loan collection and liquidation | 7,852 | 6,063 | 13,436 |
Compensation | 6,781 | 6,322 | 7,000 |
Mortgage loan origination | 6,562 | 7,521 | 7,108 |
Professional services | 6,380 | 6,905 | 6,819 |
Real estate held for investment | 6,251 | 6,376 | 3,213 |
Other | 11,393 | 14,200 | 15,012 |
Total expenses | 193,079 | 193,394 | 210,325 |
Income before provision for (benefit from) income taxes | 157,988 | 124,546 | 61,763 |
Provision for (benefit from) income taxes | 5,190 | 6,797 | (14,047) |
Net income | 152,798 | 117,749 | 75,810 |
Dividends on preferred shares | 24,938 | 15,267 | 0 |
Net income attributable to common shareholders | $ 127,860 | $ 102,482 | $ 75,810 |
Earnings per common share | |||
Basic | $ 2.09 | $ 1.53 | $ 1.09 |
Diluted | $ 1.99 | $ 1.48 | $ 1.08 |
Weighted average common shares outstanding | |||
Basic | 60,898 | 66,144 | 68,642 |
Diluted | 69,365 | 74,611 | 77,109 |
Nonaffiliates [Member] | |||
Net investment income | |||
Net mortgage loan servicing fees | $ 118,395 | $ 67,812 | $ 53,216 |
Net gain on mortgage loans acquired for sale | 48,260 | 62,432 | 97,218 |
Net gain (loss) on investments | 70,842 | 110,914 | 24,569 |
Interest income | 207,634 | 178,225 | 199,521 |
Interest expense: | |||
Interest expense | 167,709 | 143,333 | 141,938 |
PennyMac Financial Services, Inc. [Member] | |||
Net investment income | |||
Net mortgage loan servicing fees | 2,192 | 1,428 | 1,573 |
Net gain on mortgage loans acquired for sale | 10,925 | 12,084 | 9,224 |
Net gain (loss) on investments | 11,084 | (14,530) | (17,394) |
Interest income | 15,138 | 16,951 | 22,601 |
Interest expense: | |||
Interest expense | $ 7,462 | $ 8,038 | $ 7,830 |
Consolidated Statements of Chan
Consolidated Statements of Changes in Shareholders' Equity - USD ($) shares in Thousands, $ in Thousands | Total | Preferred Shares [Member] | Common Shares [Member] | Additional Paid-in Capital [Member] | Retained Earnings (Accumulated Deficit) [Member] |
Balance, Amount at Dec. 31, 2015 | $ 1,496,113 | $ 738 | $ 1,469,722 | $ 25,653 | |
Balance, Shares at Dec. 31, 2015 | 73,767 | ||||
Net income | 75,810 | 0 | 75,810 | ||
Share-based compensation, Amount | 5,748 | $ 3 | 5,745 | 0 | |
Share-based compensation, Shares | 298 | ||||
Dividends | |||||
Common share dividends | (128,187) | 0 | (128,187) | ||
Repurchase of common shares, Amount | $ (98,370) | $ (74) | (98,296) | 0 | |
Repurchase of common shares, Shares | (7,368) | (7,368) | |||
Balance, Amount at Dec. 31, 2016 | $ 1,351,114 | $ 667 | 1,377,171 | (26,724) | |
Balance, Shares at Dec. 31, 2016 | 66,697 | ||||
Net income | 28,737 | ||||
Balance, Amount at Mar. 31, 2017 | 1,458,590 | ||||
Balance, Amount at Dec. 31, 2016 | 1,351,114 | $ 667 | 1,377,171 | (26,724) | |
Balance, Shares at Dec. 31, 2016 | 66,697 | ||||
Net income | 117,749 | 0 | 117,749 | ||
Share-based compensation, Amount | 4,904 | $ 2 | 4,902 | 0 | |
Share-based compensation, Shares | 284 | ||||
Dividends | |||||
Common share dividends | (123,625) | $ 0 | $ 0 | 0 | (123,625) |
Preferred shares dividends | (14,066) | 0 | 0 | 0 | (14,066) |
Issuance of preferred shares, Amount | 310,000 | $ 310,000 | 0 | 0 | |
Issuance of preferred shares, Shares | 12,400 | ||||
Issuance cost relating to preferred shares | (10,293) | $ (10,293) | 0 | 0 | |
Repurchase of common shares, Amount | $ (91,198) | $ (56) | (91,142) | 0 | |
Repurchase of common shares, Shares | (5,647) | (5,647) | |||
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 at Mar. 31, 2017 | 1,458,590 | ||||
Net income | 28,780 | ||||
Balance, Amount at Jun. 30, 2017 | 1,454,832 | ||||
Net income | 19,395 | ||||
Balance, Amount at Sep. 30, 2017 | 1,610,565 | ||||
Net income | 40,838 | ||||
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 | 28,186 | ||||
Balance, Amount at Mar. 31, 2018 | 1,542,258 | ||||
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 | 152,798 | 0 | 152,798 | ||
Share-based compensation, Amount | 5,318 | $ 3 | 5,315 | 0 | |
Share-based compensation, Shares | 288 | ||||
Dividends | |||||
Common share dividends | (115,267) | 0 | $ 0 | 0 | (115,267) |
Preferred shares dividends | (24,944) | (24,944) | |||
Repurchase of common shares, Amount | $ (10,719) | $ (6) | (10,713) | 0 | |
Repurchase of common shares, Shares | (671) | (671) | |||
Balance, Amount at Dec. 31, 2018 | $ 1,566,132 | $ 299,707 | $ 610 | 1,285,533 | (19,718) |
Balance, Shares at Dec. 31, 2018 | 12,400 | 60,951 | |||
Balance, Amount at Mar. 31, 2018 | 1,542,258 | ||||
Net income | 36,425 | ||||
Balance, Amount at Jun. 30, 2018 | 1,545,487 | ||||
Net income | 46,562 | ||||
Balance, Amount at Sep. 30, 2018 | 1,558,563 | ||||
Net income | 41,625 | ||||
Balance, Amount at Dec. 31, 2018 | $ 1,566,132 | $ 299,707 | $ 610 | $ 1,285,533 | $ (19,718) |
Balance, Shares at Dec. 31, 2018 | 12,400 | 60,951 |
Consolidated Statements of Ch_2
Consolidated Statements of Changes in Shareholders' Equity (Parenthetical) - $ / shares | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Retained Earnings (Accumulated Deficit) [Member] | |||
Common share dividends declared per share | $ 1.88 | $ 1.88 | $ 1.88 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018USD ($) | Dec. 31, 2017USD ($) | Dec. 31, 2016USD ($) | |
Cash flows from operating activities | |||
Net income | $ 152,798 | $ 117,749 | $ 75,810 |
Adjustments to reconcile net income to net cash (used in) provided by operating activities: | |||
Net change in fair value, amortization and impairment of mortgage servicing rights | 94,330 | 103,487 | 78,628 |
Net gain on mortgage loans acquired for sale at fair value | (59,185) | (74,516) | (106,442) |
Net gain on investments | (81,926) | (96,384) | (7,175) |
Accrual of interest on excess servicing spread purchased from PennyMac Financial Services, Inc. | (15,138) | (16,951) | (22,601) |
Capitalization of interest and fees on mortgage loans at fair value | (7,439) | (30,795) | (84,820) |
Amortization of debt issuance (premiums) and costs, net | (9,323) | 13,769 | 13,152 |
Accrual of unearned discounts and amortization of premiums on mortgage-backed securities, mortgage loans at fair value, and asset-backed financing of a VIE | 5,270 | 5,703 | 1,766 |
Results of real estate acquired in settlement of loans | 8,786 | 14,955 | 19,118 |
Share-based compensation expense | 5,318 | 4,904 | 5,748 |
Purchase of mortgage loans acquired for sale at fair value from nonaffiliates | (64,671,970) | (65,830,095) | (66,112,316) |
Purchase of mortgage loans acquired for sale at fair value from PennyMac Financial Services, Inc. | (3,343,028) | (904,097) | (21,541) |
Repurchase of mortgage loans subject to representation and warranties | (12,208) | (11,412) | (11,380) |
Sale to nonaffiliates and repayment of mortgage loans acquired for sale at fair value | 29,369,656 | 24,314,165 | 23,525,952 |
Sale of mortgage loans acquired for sale to PennyMac Financial Services, Inc. | 37,967,724 | 42,624,288 | 42,051,505 |
Settlement of repurchase agreement derivatives | 8,964 | 0 | 0 |
Decrease (increase) in servicing advances | 20,525 | (2,353) | 4,672 |
(Increase) decrease in due from PennyMac Financial Services, Inc. | (26) | 2,514 | 1,640 |
(Increase) decrease in other assets | (23,482) | 8,822 | (62,028) |
Increase (decrease) in accounts payable and accrued liabilities | 6,400 | (40,435) | 46,657 |
Increase (decrease) in due to PennyMac Financial Services, Inc. | 6,345 | 10,656 | (2,549) |
Increase (decrease) in income taxes payable | 3,857 | 9,151 | (15,339) |
Net cash (used in) provided by operating activities | (573,752) | 223,125 | (621,543) |
Cash flows from investing activities | |||
Net (increase) decrease in short-term investments | (56,452) | 103,690 | (80,223) |
Purchase of mortgage-backed securities at fair value | (1,810,877) | (251,872) | (765,467) |
Sale and repayment of mortgage-backed securities at fair value | 173,862 | 127,591 | 206,508 |
Sale to nonaffiliates and repayment of mortgage loans at fair value | 622,705 | 582,207 | 712,975 |
Sale of mortgage loans at fair value to PennyMac Financial Services, Inc. | 0 | 0 | 891 |
Repayment of excess servicing spread by PennyMac Financial Services, Inc. | 46,750 | 54,980 | 69,992 |
Sale of excess servicing spread to PennyMac Financial Services, Inc. | 0 | 0 | 59,045 |
Net settlement of derivative financial instruments | (4,863) | (716) | (7,216) |
Sale of real estate acquired in settlement of loans | 99,194 | 166,921 | 234,684 |
Contribution to deposits securing credit risk transfer agreements | (596,626) | (152,641) | (306,507) |
Distribution from credit risk transfer agreements | 125,920 | 65,564 | 24,746 |
Purchase of mortgage servicing rights | 0 | (79) | (2,739) |
Sale of mortgage servicing rights | 100 | 1,199 | 106 |
(Increase) decrease in margin deposits and restricted cash | (24,005) | (15,163) | 40,062 |
Purchase of Federal Home Loan Bank capital stock | 0 | 0 | (225) |
Redemption of Federal Home Loan Bank capital stock | 0 | 0 | 7,320 |
Net cash (used in) provided by investing activities | (1,424,292) | 681,681 | 193,952 |
Cash flows from financing activities | |||
Sale of assets under agreements to repurchase | 85,574,226 | 77,985,354 | 70,684,674 |
Repurchase of assets sold under agreements to repurchase | (83,978,547) | (78,587,535) | (70,030,317) |
Issuance of mortgage loan participation certificates | 7,559,680 | 6,960,713 | 6,579,706 |
Repayment of mortgage loan participation certificates | (7,425,503) | (6,942,079) | (6,553,789) |
Advance under notes payable | 450,000 | 396,240 | 129,812 |
Repayment of notes payable | 0 | (671,346) | (90,812) |
Issuance of asset-backed financing of a variable interest entity at fair value | 0 | 0 | 182,400 |
Repayment of asset-backed financing of a variable interest entity at fair value | (21,886) | (51,687) | (73,624) |
Sale of assets to PennyMac Financial Services, Inc. under agreements to repurchase | 2,293 | 0 | 0 |
Repurchase of assets sold to PennyMac Financial Services, Inc. under agreement to repurchase | (15,396) | (5,872) | 0 |
Federal Home Loan Bank advances | 0 | 0 | 28,000 |
Repayment of Federal Home Loan Bank advances | 0 | 0 | (211,000) |
Payment of debt issuance costs | (13,230) | (13,670) | (11,161) |
Issuance of preferred shares | 0 | 310,000 | 0 |
Payment of issuance costs related to preferred shares | 0 | (10,293) | 0 |
Payment of dividends to preferred shareholders | (24,944) | (14,066) | 0 |
Payment of dividends to common shareholders | (115,596) | (126,135) | (131,560) |
Repurchase of common shares | (10,719) | (91,198) | (98,370) |
Payment of contingent underwriting fees payable | (136) | (61) | 0 |
Net cash provided by (used in) financing activities | 1,980,242 | (861,635) | 403,959 |
Net (decrease) increase in cash and restricted cash | (17,802) | 43,171 | (23,632) |
Cash and restricted cash at beginning of year | 77,647 | 34,476 | 58,108 |
Cash and restricted cash at end of year | 59,845 | 77,647 | 34,476 |
Cash and restricted cash end of year are comprised of the following: | |||
Cash | 59,845 | 77,647 | 34,476 |
Restricted cash | $ 0 | $ 0 | $ 0 |
Organization
Organization | 12 Months Ended |
Dec. 31, 2018 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Organization | Note 1—Organization PennyMac Mortgage Investment Trust (“PMT” or 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”). Almost all 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 arrangements, including credit risk transfer agreements (“CRT Agreements”) and CRT securities, 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. To maintain its tax status as a REIT, the Company is required to distribute at least 90% of its taxable income in the form of qualifying distributions to shareholders. |
Concentration of Risks
Concentration of Risks | 12 Months Ended |
Dec. 31, 2018 | |
Risks And Uncertainties [Abstract] | |
Concentration of Risks | Note 2—Concentration of Risks As discussed in Note 1— Organization CRT Arrangements As detailed in Note 5 – Loan Sales and Variable Interest Entities • Retaining a portion of the credit risk underlying such mortgage loans as part of the retention of an interest-only (“IO”) ownership interest in such mortgage loans and an obligation to absorb credit losses arising from such mortgage loans (“Recourse Obligations”); or • Beginning in June 2018, by entering into a firm commitment to purchase CRT securities that absorb losses from defaults of such loans. The Company’s retention of credit risk through its investment in CRT arrangements 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. The CRT Agreements are structured such that mortgage loans that reach a specific number of days delinquent will trigger losses to the CRT Agreements in proportion to the size of the loan and a contractual schedule of loss severity. Therefore, 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 absorb 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). At the commencement of the aggregation period and before the settlement of the CRT securities, the Company makes a firm commitment to purchase the CRT securities. The Company has elected to account for these commitments at fair value. Accordingly, the Company recognizes the fair value of such commitment as it sells loans subject to the firm commitment, 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 CRT securities only requires the Company to absorb losses when 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 CRT securities, and CRT securities. Distressed Mortgage Loans Due to the nature of the Company’s investments in distressed mortgage loans, the Company is exposed, to a greater extent than traditional mortgage investors, to certain risks associated with loan performance and resolution, including the risk that borrowers may develop or 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 the Company’s 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 distressed mortgage assets. |
Significant Accounting Policies
Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2018 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies | Note 3—Significant Accounting Policies PMT’s significant accounting policies are summarized below. Basis of Presentation The Company’s consolidated financial statements have been prepared in compliance with accounting principles generally accepted in the United States (“GAAP”) as codified in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification Use of Estimates Preparation of financial statements in compliance with GAAP requires the Manager to make estimates and judgments that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements, and revenues and expenses during the reporting period. Actual results will likely differ from those estimates. Consolidation The consolidated financial statements include the accounts of PMT and all wholly-owned subsidiaries. PMT has no significant equity method or cost-basis investments. Intercompany accounts and transactions are eliminated upon consolidation. The Company also consolidates assets and liabilities included in a securitization transaction, and, previously, CRT Agreements as discussed below. Variable Interest Entities The Company enters into various types of on- and off-balance sheet transactions with special purpose entities (“SPEs”), which are trusts that are established for a limited purpose. Generally, SPEs are formed in connection with securitization transactions. In a securitization transaction, the Company transfers assets on its balance sheet to an SPE, which then issues various forms of beneficial interests in those assets to investors. In a securitization transaction, the Company typically receives a combination of cash and beneficial interests in the SPE in exchange for the assets transferred by the Company. SPEs are generally Variable Interest Entities (“VIEs”). A VIE is an entity having either a total equity investment at risk that is insufficient to finance its activities without additional subordinated financial support or whose equity investors at risk lack the ability to control the entity’s activities. Variable interests are investments or other interests that will absorb portions of a VIE’s expected losses or receive portions of the VIE’s expected residual returns. Expected residual returns represent the expected positive variability in the fair value of a VIE’s net assets. PMT consolidates the assets and liabilities of VIEs of which the Company is the primary beneficiary. The primary beneficiary is the party that has both the power to direct the activities that most significantly impact the VIE and holds a variable interest that could potentially be significant to the VIE. To determine whether a variable interest the Company holds could potentially be significant to the VIE, the Company considers both qualitative and quantitative factors regarding the nature, size and form of its involvement with the VIE. The Company assesses whether it is the primary beneficiary of a VIE on an ongoing basis. The Company evaluates the securitization trust into which assets are transferred to determine whether the entity is a VIE and whether the Company is the primary beneficiary and therefore is required to consolidate the securitization trust. Jumbo Mortgage Loan Securitization Transaction On September 30, 2013, the Company completed a securitization transaction in which PMT Loan Trust 2013-J1, a VIE, issued $537.0 million in unpaid principal balance (“UPB”) of certificates backed by fixed-rate prime jumbo mortgage loans at a 3.9% weighted cost. The asset-backed securities issued by the VIE are backed by the expected cash flows from the underlying fixed-rate prime jumbo mortgage loans. Cash inflows from these fixed-rate prime jumbo mortgage loans are distributed to investors and service providers in accordance with the contractual priority of payments and, as such, most of these inflows must be directed first to service and repay the senior certificates. After the senior certificates are settled, substantially all cash inflows will be directed to the subordinated certificates until fully repaid and, thereafter, to the residual interest in the trust that the Company owns. The Company retains beneficial interests in the securitization transaction, including subordinated certificates and residual interests issued by the VIE. The Company retains credit risk in the securitization because the Company’s beneficial interests include the most subordinated interests in the securitized assets, which are the first to absorb credit losses on those assets. The Manager expects that any credit losses in the pools of securitized assets will likely be limited to the Company’s subordinated and residual interests. The Company has no obligation to repurchase or replace securitized assets that subsequently become delinquent or are otherwise in default other than pursuant to breaches of representations and warranties. The VIE is consolidated by the Company as the Manager determined that PMT is the primary beneficiary of the VIE. The Manager concluded that the Company is the primary beneficiary of the VIE as it has the power, through its affiliate, PLS, in its role as servicer of the mortgage loans, to direct the activities of the trust that most significantly impact the trust’s economic performance and the retained subordinated and residual interest trust certificates expose the Company to losses and returns that could potentially be significant to the VIE. For financial reporting purposes, the mortgage loans owned by the consolidated VIE are included in Mortgage loans at fair value Asset-backed financing of a variable interest entity The Company recognizes the interest income earned on the mortgage loans owned by the VIE and the interest expense attributable to the asset-backed securities issued to nonaffiliates by the VIE on its consolidated income statements. Credit Risk Transfer The Company, through its wholly-owned subsidiary, PennyMac Corp. (“PMC”), entered into CRT Agreements with Fannie Mae, pursuant to which PMC, through subsidiary trust entities, sold pools of mortgage loans into Fannie Mae-guaranteed loan securitizations while retaining Recourse Obligations in addition to IO ownership interests in such mortgage loans. The mortgage loans subject to the CRT Agreements were transferred by PMC to subsidiary trust entities which sold the mortgage loans into Fannie Mae mortgage loan securitizations. Transfers of mortgage loans subject to CRT Agreements received sale accounting treatment. The Manager has concluded that the Company’s subsidiary trust entities are VIEs and the Company is the primary beneficiary of the VIEs as it is the holder of the primary beneficial interests which absorb the variability of the trusts’ results of operations. Consolidation of the VIEs results in the inclusion on the Company’s consolidated balance sheet of the fair value of the Recourse Obligations, and retained IO ownership interests in the form of derivative assets, and the deposits pledged to fulfill the Recourse Obligations and an interest only security payable at fair value. The deposits 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 the derivatives related to CRT Agreements are included in Net gain on investments Fair Value These 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 them at fair value. PMT groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the inputs used to determine fair value. These levels are: • Level 1—Quoted prices in active markets for identical assets or liabilities. • Level 2—Prices determined or determinable using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing an asset or liability and are developed based on market data obtained from sources independent of the Company. • Level 3—Prices determined using significant unobservable inputs. In situations where significant observable inputs are unavailable, unobservable inputs may be used. Unobservable inputs reflect the Company’s own judgments about the factors that market participants use in pricing an asset or liability, and are based on the best information available in the circumstances. As a result of the difficulty in observing certain significant valuation inputs affecting “Level 3” fair value assets and liabilities, the Manager is required to make judgments regarding these items’ fair values. Different persons in possession of the same facts may reasonably arrive at different conclusions as to the inputs to be applied in valuing these financial statement items and their fair values. 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. The Manager reclassifies its assets and liabilities between levels of the fair value hierarchy when the inputs required to establish fair value at a level of the fair value hierarchy are no longer readily available, requiring the use of lower-level inputs, or when the inputs required to establish fair value at a higher level of the hierarchy become available. Short-Term Investments Short-term investments are carried at fair value with changes in fair value recognized in current period income. Short-term investments represent deposit accounts. The Company categorizes its short-term investments as “Level 1” fair value assets. Mortgage-Backed Securities Purchases and sales of MBS are recorded as of the trade date. The Company’s investments in MBS are carried at fair value with changes in fair value recognized in current period income. Changes in fair value arising from amortization of purchase premiums and accrual of unearned discounts are recognized using the interest method and are included in Interest income. Net gain (loss) on investments. Interest Income Recognition Interest income on MBS is recognized over the life of the security using the interest method. The Manager estimates, at the time of purchase, the future expected cash flows and determines the effective interest rate based on the estimated cash flows and the security’s purchase price. The Manager updates its cash flow estimates monthly. Mortgage Loans Mortgage loans are carried at their fair values. Changes in the fair value of mortgage loans are recognized in current period income. Changes in fair value, other than changes in fair value attributable to accrual of unearned discounts and amortization of purchase premiums, are included in Net gain (loss) on investments Net gain on mortgage loans acquired for sale Interest income Sale Recognition The Company purchases from and sells mortgage loans into the secondary mortgage market without recourse for credit losses. However, the Company maintains continuing involvement with the mortgage loans in the form of servicing arrangements and the liability under the representations and warranties it makes to purchasers and insurers of the mortgage loans. The Company recognizes transfers of mortgage loans as sales based on whether the transfer is made to a VIE: • For mortgage loans that are not transferred to a VIE, the Company recognizes the transfer as a sale when it surrenders control over the mortgage loans. Control over transferred mortgage loans is deemed to be surrendered when (i) the mortgage loans have been isolated from the Company, (ii) the transferee has the right (free of conditions that constrain it from taking advantage of that right) to pledge or exchange the transferred mortgage loans, and (iii) the Company does not maintain effective control over the transferred mortgage loans through either (a) an agreement that entitles and obligates the Company to repurchase or redeem them before their maturity or (b) the ability to unilaterally cause the holder to return specific mortgage loans. • For mortgage loans that are transferred to a VIE, the Company recognizes the transfer as a sale when the Manager determines that the Company is not the primary beneficiary of the VIE, as the Company would not both have the power to direct the activities that will have the most significant economic impact on the VIE and/or would not hold a variable interest that could potentially be significant to the VIE. Interest Income Recognition The Company has the ability but not the intent to hold mortgage loans acquired for sale and mortgage loans at fair value other than mortgage loans held in a VIE for the foreseeable future. Therefore, interest income on mortgage loans acquired for sale and mortgage loans at fair value other than mortgage loans held in a VIE is recognized over the life of the loans using their contractual interest rates. The Company has both the ability and intent to hold mortgage loans held in a VIE for the foreseeable future. Therefore, interest income on mortgage loans held in a variable interest entity is recognized over the estimated remaining life of the mortgage loans using the interest method. Unearned discounts and purchase premiums are accrued and amortized to interest income using the effective interest rate inherent in the estimated cash flows from the mortgage loans. Income recognition is suspended and the accrued unpaid interest receivable is reversed against interest income when mortgage loans become 90 days delinquent, or when, in the Manager’s opinion, a full recovery of income and principal becomes doubtful. Income recognition is resumed when the loan becomes contractually current. Excess Servicing Spread The Company has acquired the right to receive the ESS related to certain of the MSRs owned by PFSI. ESS is carried at its fair value. Changes in fair value resulting from changes in market yield requirements are recognized in current period income in Net gain (loss) on investments Interest Income Recognition Interest income for ESS is accrued using the interest method, based upon the expected yield from the ESS through the expected life of the underlying mortgages. Changes to the expected interest yield result in a change in fair value which is recorded in Interest income Derivative Financial Instruments The Company holds and issues derivative financial instruments in connection with its operating and interest rate risk management 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 that were created when the Company retained Recourse Obligations relating to certain mortgage loans it sold into Fannie Mae guaranteed securitizations, IO ownership interests in such mortgage loans and interest-only securities payable relating to the issuance of such instruments to nonaffiliates; and • Derivatives that are created when the Company finances mortgage loans approved as satisfying certain consumer credit relief characteristics under a master repurchase agreement that entitles the Company to receive interest expense offsets when it finances mortgage loans under the master repurchase agreement. The master repurchase agreement is subject to a rolling six-month term through August 21, 2019, unless terminated earlier at the option of the lender. The Company expects that it will cease to accrue the incentives under the repurchase agreement beginning in the second quarter of 2019. 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 either the prospective purchase transaction is cancelled or the time the purchased mortgage loan is sold. The Company is exposed to loss if market mortgage interest rates increase, because such 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 and ESS if market mortgage interest rates decrease, because such interest rate decreases generally encourage mortgage refinancing activity, which reduces the expected life of the mortgage loans underlying the MSRs and ESS, causing the fair value of MSRs and ESS 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 mortgage 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, ESS and MBS financing. The Company accounts for its derivative financial instruments as free-standing derivatives. The Company does not designate its derivative financial instruments for hedge accounting. All derivative financial instruments are recognized on the balance sheet at fair value with changes in fair value being reported in current period income. The fair value of the Company’s derivative financial instruments is included in Derivative assets Derivative liabilities Net mortgage loan servicing fees from nonaffiliates Net gain on mortgage loans acquired for sale Net gain (loss) on investments, Interest expense, Cash flows from investing activities Cash flows from operating activities Sale to nonaffiliates and repayment of mortgage loans acquired for sale at fair value Cash flows from operating activities When the Company has master netting agreements with its derivatives counterparties, the Company nets its counterparty positions along with any cash collateral received from or delivered to the counterparty. Exchange-traded hedging derivatives are classified as “Level 1” fair value financial assets and liabilities. Hedging derivatives whose fair values are derived from observed MBS market interest rates and volatilities are classified as “Level 2” fair value assets and liabilities. IRLCs, CRT Agreements and derivatives embedded in a master repurchase agreement are classified as “Level 3” fair value assets and liabilities. Firm Commitment to Purchase Credit Risk Transfer Securities The Company carries its firm commitment to purchase CRT securities at fair value. The firm commitment to purchase CRT securities is recognized initially as a component of Net gain on mortgage loans acquired for sale Net gain (loss) on investments Real Estate Acquired in Settlement of Loans REO is measured at the lower of the acquisition cost of the property (as measured by purchase price in the case of purchased REO; or the fair value of the mortgage loan immediately before REO acquisition in the case of acquisition in settlement of a mortgage loan) or its fair value reduced by estimated costs to sell. Changes in fair value to levels that are less than or equal to acquisition cost and gains or losses on sale of REO are recognized in the consolidated statements of income under the caption Results of real estate acquired in settlement of loans Mortgage Servicing Rights MSRs arise from contractual agreements between the Company and investors (or their agents) in mortgage securities and mortgage loans. Under these contracts, the Company is obligated to provide mortgage loan servicing functions in exchange for fees and other remuneration. The servicing functions typically performed include, among other responsibilities, collecting and remitting mortgage loan payments; responding to borrower inquiries; accounting for principal and interest, holding custodial (impound) funds for payment of property taxes and insurance premiums; counseling delinquent mortgagors; and supervising the acquisition and disposition of REO. The Company has engaged PFSI to provide these services on its behalf. The Company recognizes MSRs initially at their fair values, either as proceeds from sales of mortgage loans where the Company assumes the obligation to service the mortgage loan in the sale transaction, or from the purchase of MSRs. The Company categorizes its MSRs as “Level 3” fair value assets. The fair value of MSRs is derived from the net positive cash flows associated with the servicing contracts. The Company receives a servicing fee of generally 0.25% annually on the remaining outstanding principal balances of conventional mortgage loans. The Company generally receives other remuneration including rights to various mortgagor-contracted fees such as late charges and collateral reconveyance charges and the Company is generally entitled to retain any interest earned on funds held pending remittance of mortgagor principal, interest, tax and insurance payments. Through December 31, 2017, the Company accounted for MSRs at either the asset’s fair value with changes in fair value recorded in current period earnings or using the amortization method with the MSRs carried at the lower of amortized cost or fair value based on the class of MSR. The Company identified two classes of MSRs: originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5%; and originated MSRs backed by mortgage loans with initial interest rates of more than 4.5%. Originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5% were accounted for using the amortization method. Originated MSRs backed by loans with initial interest rates of more than 4.5% were accounted for at fair value with changes in fair value recorded in current period income. MSRs Accounted for at Fair Value Effective January 1, 2018, the Company accounts for all current classes of MSRs at fair value. Changes in fair value of MSRs accounted for at fair value are recognized in current period income as a component of Net mortgage loan servicing fees-from nonaffiliates MSRs Accounted for Using the MSR Amortization Method The Company amortized MSRs that were accounted for using the MSR amortization method. MSR amortization was determined by applying the ratio of the net MSR cash flows projected for the current period to the projected total remaining net MSR cash flows. The estimated total net MSR cash flows were estimated at the beginning of each month using prepayment inputs applicable at that time. The Company assessed MSRs accounted for using the amortization method for impairment monthly. Impairment occurred when the current fair value of the MSR fell below the asset’s amortized cost. If MSRs were impaired, the impairment was recognized in current-period income and the carrying value (carrying value is amortized cost reduced by a valuation allowance) of the MSRs was adjusted through a valuation allowance. If the fair value of impaired MSRs subsequently increased, the Company recognized the increase in fair value in current-period earnings and adjusted the carrying value of the MSRs through a reduction in the valuation allowance to adjust the carrying value only to the extent of the valuation allowance. The Company stratified its MSRs by risk characteristic when evaluating for impairment. For purposes of performing its MSR impairment evaluation, the Company stratified its servicing portfolio on the basis of certain risk characteristics including mortgage loan type (fixed-rate or adjustable-rate) and note interest rate. Fixed-rate mortgage loans were stratified into note interest rate pools of 50 basis points for note interest rates between 3.0% and 4.5% and a single pool for note interest rates below 3%. Adjustable rate mortgage loans with initial interest rates of 4.5% or less were evaluated in a single pool. If the fair value of MSRs in any of the note interest rate pools was below the amortized cost of the MSRs for that pool, impairment was recognized to the extent of the difference between the fair value and the existing carrying value for that pool. 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 in the foreseeable future. When the Manager deemed recovery of the fair value to be unlikely in the foreseeable future, a write-down of the cost of the MSRs for that stratum to its estimated recoverable value was charged to the valuation allowance. Amortization and impairment of MSRs were included in current period income as a component of Net mortgage loan servicing fees-from nonaffiliates Servicing Advances Servicing advances represent advances made on behalf of borrowers and the mortgage loans’ investors to fund delinquent balances for property tax and insurance premiums and out of pocket costs (e.g., preservation and restoration of mortgaged property REO, legal fees, appraisals and insurance premiums). Servicing advances are made in accordance with the Company’s servicing agreements and, when made, are deemed recoverable. The Company periodically reviews servicing advances for collectability. Servicing advances are written off when they are deemed uncollectible. Borrowings Borrowings, other than Asset-backed financing of a VIE at fair value Interest-only security at fair value Interest expense Exchangeable Notes Notes payable Asset-backed financing of a VIE at Fair Value The certificates issued to nonaffiliates by the Company relating to the asset-backed financing are recorded as borrowings. Certificates issued to nonaffiliates have the right to receive principal and interest payments of the mortgage loans held by the consolidated VIE. Asset-backed financings of the VIE are carried at fair value. Changes in fair value are recognized in current period income as a component of Net gain (loss) on investments Liability for Losses Under Representations and Warranties The Company provides for its estimate of the losses that it expects to incur in the future as a result of its breach of the representations and warranties that it provides to the purchasers and insurers of the mortgage loans it has sold. The Company’s agreements with the Agencies and other investors include representations and warranties related to the mortgage loans the Company sells to the Agencies and other investors. The representations and warranties require adherence to Agency and other investor origination and underwriting guidelines, including but not limited to the validity of the lien securing the mortgage loan, property eligibility, property value, loan amount, borrower credit, income and asset requirements, and compliance with applicable federal, state and local law. In the event of a breach of its representations and warranties, the Company may be required to either repurchase the mortgage loans with the identified defects or indemnify the investor or insurer. In such cases, the Company bears any subsequent credit loss on the mortgage loans. The Company’s credit loss may be reduced by any recourse it has to correspondent sellers that, in turn, had sold such mortgage loans to the Company and breached similar or other representations and warranties. In such event, the Company has the right to seek a recovery of related repurchase losses from that correspondent seller. The Company records a provision for losses relating to representations and warranties as part of its mortgage loan sale transactions. The method used to estimate the liability for representations and warranties is a function of the representations and warranties given and considers a combination of factors, including, but not limited to, estimated future defaults and mortgage loan defect rates, the estimated severity of loss in the event of default and the probability of reimbursement by the correspondent mortgage loan seller. The Company establishes a liability at the time mortgage loans are sold and periodically updates its liability estimate. The level of the liability for representations and warranties is reviewed and approved by the Manager’s management credit committee. The level of the liability for representations and warranties is difficult to estimate and requires considerable judgment. The level of mortgage loan repurchase losses is dependent on economic factors, investor demand strategies, and other external conditions that may change over the lives of the underlying mortgage loans. The Company’s representations and warranties are generally not subject to stated limits of exposure. However, the Manager believes that the current unpaid principal balance of mortgage loans sold by the Company to date represents the maximum exposure to repurchases related to representations and warranties. Mortgage Loan Servicing Fees Mortgage loan servicing fees and other remuneration are received by the Company for servicing residential mortgage loans. Mortgage loan servicing includes loan administration, collection, and default management activities, including the collection and remittance of loan payments; response to customer inquiries; accounting for principal and interest; holding custodial (impounded) funds for the payment of property taxes and insurance premiums; counseling delinquent mortgagors; and supervising foreclosures and property dispositions. Mortgage loan servicing fee amounts are based upon fee schedules established by the applicable investor and upon the unpaid principal balance of the mortgage loans. The Company’s obligation under its mortgage loan servicing agreements is fulfilled as the Company services the mortgage loans. Mortgage loan servicing fees are recorded net of Agency guarantee fees paid by the Company. Mortgage loan servicing fees are recorded when the mortgage loan payments are collected from the borrowers. Share-Based Compensation The Company amortizes the fair value of previously granted share-based awards to compensation expense over the vesting period using the graded vesting method. Expense relating to share-based awards is included in Compensation The initial cost of restricted share units awarded is established at the Company’s closing share price adjusted for the portion of the awards expected to vest on the date of the award. The Company adjusts the cost of its share-based compensation awards depending on whether the awards are made to its trustees and certain named executive officers or other employees of our Manager or affiliates: • For awards to trustees and certain named executive officers of the Company, compensation cost relating to restricted share units is generally fixed at the fair value of the award on the grant date. • Compensation cost relating to performance share units is adjusted for changes in expected performance attainment in each subsequent reporting period until the units have vested or have been forfeited, the service being provided is subsequently completed, or, under certain circumstances, is likely to be completed, whichever occurs first. • Compensation cost for share-based compensation awarded to other executive officers of the Company or employees of the Manager or affiliates is adjusted to reflect changes in the fair value of awards, including changes in the Company’s share price for both restricted share units and performance share units and, in the case of performance share units, for changes in expected performance attainment in each subsequent reporting period until the award has vested or expired, the service being provided is subsequently completed, or, under certain circumstances, is likely to be completed, whichever occurs first. The Manager’s estimates of compensation costs reflect the expected portion of share-based compensation awards that are expected to vest. Income Taxes The Company has elected to be taxed as a REIT and the Manager believes the Company complies with the provisions of the Internal Revenue Code applicable to REITs. Accordingly, the Manager believes the Company will not be subject to federal income tax on that porti |
Transactions with Related Parti
Transactions with Related Parties | 12 Months Ended |
Dec. 31, 2018 | |
Related Party Transactions [Abstract] | |
Transactions with Related Parties | Note 4—Transactions with Related Parties Operating Activities Correspondent Production 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 purchase and sale agreement. Historically, the Company has used the mortgage loan purchase and sale agreement for the purpose of purchasing from PLS prime jumbo residential mortgage loans. Following is a summary of correspondent production activity between the Company and PLS: Year ended December 31, 2018 2017 2016 (in thousands) Mortgage loans fulfillment fees earned by PLS $ 81,350 $ 80,359 $ 86,465 UPB of mortgage loans fulfilled by PLS $ 26,194,303 $ 22,971,119 $ 23,188,386 Sourcing fees received from PLS included in Net gain on mortgage loans acquired for sale $ 10,925 $ 12,084 $ 11,976 UPB of mortgage loans sold to PLS $ 36,415,933 $ 40,561,241 $ 39,908,163 Early purchase program fees paid to PLS included in Mortgage loan servicing fees $ — $ 7 $ 30 Purchases of mortgage loans acquired for sale from PLS $ 3,343,028 $ 904,097 $ 21,541 Tax service fee paid to PLS included in Other expense $ 7,433 $ 7,078 $ 6,690 December 31, 2018 December 31, 2017 (in thousands) Mortgage loans included in Mortgage loans acquired for sale at fair value pending sale to PLS $ 86,308 $ 279,571 Mortgage Loan Servicing 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 $85 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 full modification or 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: Year ended December 31, 2018 2017 2016 (in thousands) Mortgage loans servicing fees: Mortgage loans acquired for sale at fair value: Base $ 347 $ 305 $ 330 Activity-based 690 649 733 1,037 954 1,063 Mortgage loans at fair value: Distressed mortgage loans: Base 2,771 6,650 11,078 Activity-based 4,784 8,960 18,521 7,555 15,610 29,599 Mortgage loans held in VIE—Base 40 129 83 MSRs: Base 32,814 25,862 19,378 Activity-based 599 509 492 33,413 26,371 19,870 $ 42,045 $ 43,064 $ 50,615 Average investment in: Mortgage loans acquired for sale at fair value $ 1,577,395 $ 1,366,017 $ 1,443,587 Mortgage loans at fair value: Distressed mortgage loans $ 473,458 $ 1,152,930 $ 1,731,638 Mortgage loans held in a VIE $ 301,398 $ 344,942 $ 422,122 Average MSR portfolio UPB $ 80,500,212 $ 63,836,843 $ 49,626,758 MSR recapture income recognized included in Net mortgage loan servicing fees from PennyMac Financial Services, Inc. $ 2,192 $ 1,428 $ 1,573 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: Year ended December 31, 2018 2017 2016 (in thousands) Base management $ 23,033 $ 22,280 $ 20,657 Performance incentive 1,432 304 — $ 24,465 $ 22,584 $ 20,657 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: Year ended December 31, 2018 2017 2016 (in thousands) Reimbursement of: Common overhead incurred by PCM and its affiliates $ 4,640 $ 5,306 $ 7,898 Compensation 480 — — Expenses incurred on the Company’s behalf, net 1,113 2,257 (163 ) $ 6,233 $ 7,563 $ 7,735 Payments and settlements during the year (1) $ 71,943 $ 64,945 $ 143,542 (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: Year ended December 31, 2018 2017 2016 (in thousands) Sale of mortgage loans at fair value to PFSI $ — $ — $ 891 ESS: Received pursuant to a recapture agreement $ 2,688 $ 5,244 $ 6,603 Repayments and sales $ 46,750 $ 54,980 $ 129,037 Interest income $ 15,138 $ 16,951 $ 22,601 Net (loss) gain included in Net gain (loss) on investments: Valuation changes $ 8,500 $ (19,350 ) $ (23,923 ) Recapture income 2,584 4,820 6,529 $ 11,084 $ (14,530 ) $ (17,394 ) At the end of the year: Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value $ 216,110 $ 236,534 Financing Activities PFSI held 75,000 of the Company’s common shares at both December 31, 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. Following is a summary of financing activities between the Company and PFSI: Year ended December 31, 2018 2017 2016 (in thousands) Sale of assets under agreements to repurchase $ 2,293 $ — $ — Repurchase of assets sold under agreements to repurchase $ 15,396 $ 5,872 $ — Interest expense $ 7,462 $ 8,038 $ 7,830 Conditional Reimbursement paid to: PCM $ 69 $ 30 $ — Underwriters $ 136 $ 61 $ — December 31, 2018 December 31, 2017 (in thousands) Assets sold to PFSI under agreement to repurchase $ 131,025 $ 144,128 Conditional Reimbursement payable to PCM included in Accounts payable and accrued liabilities $ 801 $ 870 Amounts Receivable from and Payable to PFSI Amounts receivable from and payable to PFSI are summarized below: December 31, 2018 December 31, 2017 (in thousands) Due from PFSI: MSR recapture receivable $ 179 $ 282 Other 3,898 3,872 $ 4,077 $ 4,154 Due to PFSI: Fulfillment fees $ 10,006 $ 346 Allocated expenses and expenses paid by PFSI on PMT’s behalf 9,066 11,542 Management fees 6,559 5,901 Mortgage loan servicing fees 4,841 6,583 Correspondent production fees 2,071 1,735 Conditional Reimbursement 801 870 Interest on Assets sold to PFSI under agreement to repurchase 120 142 $ 33,464 $ 27,119 |
Loan Sales and Variable Interes
Loan Sales and Variable Interest Entities | 12 Months Ended |
Dec. 31, 2018 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Loan Sales and Variable Interest Entities | Note 5—Loan Sales and Variable Interest Entities The Company is a variable interest holder in various special purpose entities that relate to its mortgage loan transfer and financing activities and credit risk transfer investments. 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 Sales of Mortgage Loans 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: Year ended December 31, 2018 2017 2016 (in thousands) Cash flows: Proceeds from sales $ 29,369,656 $ 24,314,165 $ 23,525,952 Mortgage loan servicing fees received (1) $ 204,663 $ 164,776 $ 125,961 (1) Net of Agency guarantee fees. The following table summarizes for the dates presented collection status information for mortgage loans that are accounted for as sales where the Company maintains continuing involvement: December 31, 2018 2017 (in thousands) UPB of mortgage loans outstanding $ 91,982,335 $ 71,639,351 UPB of delinquent mortgage loans: 30-89 days delinquent $ 614,668 $ 532,673 90 or more days delinquent: Not in foreclosure $ 142,871 $ 280,786 In foreclosure $ 40,445 $ 25,258 UPB of mortgage loans in bankruptcy $ 75,947 $ 52,202 Custodial funds managed by the Company (1) $ 970,328 $ 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 CRT securities that absorb credit losses on such mortgage loans. The Company, through PMC, entered into CRT Agreements with Fannie Mae, pursuant to which PMC, through subsidiary trust entities, sold pools of mortgage loans into Fannie Mae-guaranteed securitizations while retaining Recourse Obligations in addition to IO ownership interests in such mortgage loans. The transfers of mortgage loans subject to CRT Agreements were accounted for as sales. The Company placed Deposits securing CRT Agreements Deposits securing CRT Agreements The Company’s exposure to losses under its Recourse Obligation was limited initially to 3.5% of the UPB of the mortgage loans sold under the CRT Agreements. As the UPB of the underlying mortgage loans subject to each CRT Agreement is reduced through repayments, the percentage exposure of each CRT Agreement will increase to a maximum of 4.5% of outstanding UPB, although the total dollar amount of exposure to losses does not increase. 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: Year ended December 31, 2018 2017 2016 (in thousands) UPB of mortgage loans sold under CRT Agreements $ 5,546,977 $ 14,529,548 $ 11,190,933 Deposits securing CRT Agreements $ 596,626 $ 152,641 $ 306,507 (Decrease) increase in commitments to fund Deposits securing CRT Agreements resulting from sale of mortgage loans under CRT Agreements (482,471 ) 390,362 92,109 $ 114,155 $ 543,003 $ 398,616 Interest earned on Deposits securing Agreements $ 15,441 $ 4,291 $ 930 Gains recognized on CRT Agreements included in Net gain (loss) on investments Realized $ 86,928 $ 51,731 $ 21,298 Resulting from valuation changes 25,347 83,030 15,316 112,275 134,761 36,614 Change in fair value of Interest-only security payable at fair value (19,332 ) (11,033 ) (4,114 ) $ 92,943 $ 123,728 $ 32,500 Payments made to settle losses $ 2,133 $ 1,396 $ 90 December 31, 2018 December 31, 2017 (in thousands) UPB of mortgage loans subject to credit guarantee obligations $ 29,934,003 $ 26,845,392 Collection status (in UPB): Delinquency Current $ 29,633,133 $ 26,540,953 30—89 days delinquent $ 228,296 $ 179,144 90—180 days delinquent $ 39,826 $ 101,114 180 or more days delinquent $ 4,208 $ 5,146 Foreclosure $ 5,180 $ 5,463 Bankruptcy $ 23,360 $ 13,572 Carrying value of CRT Agreements: Derivative assets $ 123,987 $ 98,640 Deposits securing CRT agreements $ 1,146,501 $ 588,867 Interest-only security payable at fair value $ 36,011 $ 7,070 CRT Agreement assets pledged to secure Assets sold under agreements to repurchase: Deposits securing CRT Agreements $ 1,146,501 $ 400,778 Derivative assets $ 87,976 $ 26,058 Commitments to fund Deposits securing credit risk transfer agreements $ — $ 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 CRT 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: Year ended December 31, 2018 (in thousands) UPB of mortgage loans sold $ 16,392,300 Increase in expected face amount of firm commitment to purchase CRT securities backed by mortgage loans sold $ 605,052 Fair value of firm commitment recognized in Gain on sale of mortgage loans $ 30,595 Gains recognized on firm commitment included in Net gain (loss) on investments $ 7,399 December 31, 2018 (in thousands) Firm commitment to purchase CRT securities $ 605,052 Fair value of firm commitment $ 37,994 UPB of mortgage loans sold subject to firm commitment to purchase CRT securities related to such loans $ 16,392,300 Collection status (in UPB): Current $ 16,329,044 30—89 days delinquent $ 61,035 90—180 days delinquent $ 2,221 180 or more days delinquent $ — Foreclosure $ — Bankruptcy $ 1,258 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 December 31, 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 | 12 Months Ended |
Dec. 31, 2018 | |
Fair Value Disclosures [Abstract] | |
Fair Value | Note 6—Fair Value Fair Value Accounting Elections The Manager identified all of the Company’s non-cash financial assets, firm commitment to purchase CRT 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: December 31, 2018 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 74,850 $ — $ — $ 74,850 Mortgage-backed securities at fair value — 2,610,422 — 2,610,422 Mortgage loans acquired for sale at fair value — 1,626,483 17,474 1,643,957 Mortgage loans at fair value — 290,573 117,732 408,305 Excess servicing spread purchased from PFSI — — 216,110 216,110 Derivative assets: Interest rate lock commitments — — 12,162 12,162 CRT Agreements — — 123,987 123,987 Repurchase agreement derivatives — — 14,511 14,511 Forward purchase contracts — 14,845 — 14,845 Forward sale contracts — 13 — 13 MBS put options — 218 — 218 MBS call options — 945 — 945 Call options on interest rate futures 5,137 — — 5,137 Put options on interest rate futures 178 — — 178 Total derivative assets before netting 5,315 16,021 150,660 171,996 Netting — — — (4,831 ) Total derivative assets after netting 5,315 16,021 150,660 167,165 Firm commitment to purchase credit risk transfer securities at fair value — — 37,994 37,994 Mortgage servicing rights at fair value — — 1,162,369 1,162,369 $ 80,165 $ 4,543,499 $ 1,702,339 $ 6,321,172 Liabilities: Asset-backed financing of a VIE at fair value $ — $ 276,499 $ — $ 276,499 Interest-only security payable at fair value — — 36,011 36,011 Derivative liabilities: Interest rate lock commitments — — 174 174 Forward purchase contracts — 43 — 43 Forward sales contracts — 29,273 — 29,273 Total derivative liabilities before netting — 29,316 174 29,490 Netting — — — (23,576 ) Total derivative liabilities after netting — 29,316 174 5,914 $ — $ 305,815 $ 36,185 $ 318,424 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: Year ended December 31, 2018 Mortgage loans acquired for sale at fair value Mortgage loans at fair value Excess servicing spread Interest rate lock commitments (1) CRT Agreement derivatives Repurchase agreement derivatives Firm commitment to purchase CRT securities 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 12,208 — — 4,655 — 19,918 — — 36,781 Repayments and sales (12,934 ) (600,638 ) (46,750 ) — (86,928 ) (8,964 ) — (100 ) (756,314 ) Capitalization of interest — 7,439 15,138 — — — — — 22,577 Capitalization of advances — 5,481 — — — — — — 5,481 ESS received pursuant to a recapture agreement with PFSI — — 2,688 — — — — — 2,688 Amounts received as proceeds from sales of mortgage loans — — — — — — 30,595 356,755 387,350 Changes in fair value included in income arising from: Changes in instrument-specific credit risk — 2,907 — — — — — — 2,907 Other factors (16 ) (18,104 ) 8,500 (14,016 ) 112,275 (191 ) 7,399 (58,780 ) 37,067 (16 ) (15,197 ) 8,500 (14,016 ) 112,275 (191 ) 7,399 (58,780 ) 39,974 Transfers of mortgage loans to REO — (47,786 ) — — — — — — (47,786 ) Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" (2) 10,081 — — — — — — — 10,081 Transfers of interest rate lock commitments to mortgage loans acquired for sale — — — 16,717 — — — — 16,717 Balance, December 31, 2018 $ 17,474 $ 117,732 $ 216,110 $ 11,988 $ 123,987 $ 14,511 $ 37,994 $ 1,162,369 $ 1,702,165 Changes in fair value recognized during the year relating to assets still held at December 31, 2018 $ (158 ) $ (18,428 ) $ 8,500 $ 11,988 $ 25,347 $ 77 $ 37,994 $ (58,780 ) $ 6,540 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. (2) During the year ended December 31, 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”. Year ended December 31, 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 28,941 28,941 Balance, December 31, 2018 $ 36,011 Changes in fair value recognized during the year relating to liability outstanding at December 31, 2018 $ 28,941 Year ended December 31, 2017 Mortgage loans acquired for sale at fair value Mortgage loans at fair value Excess servicing spread Interest rate lock commitments (1) CRT Agreement derivatives Repurchase agreement derivatives Mortgage servicing rights Total (in thousands) Assets: Balance, December 31, 2016 $ 5,682 $ 1,354,572 $ 288,669 $ 3,777 $ 15,610 $ — $ 64,136 $ 1,732,446 Purchases and issuances 11,415 — — 36,005 — 3,864 79 51,363 Repayments and sales (12,513 ) (530,367 ) (54,980 ) — (51,731 ) — — (649,591 ) Capitalization of interest — 30,795 16,951 — — — — 47,746 Capitalization of advances — 18,923 — — — — — 18,923 ESS received pursuant to a recapture agreement with PFSI — — 5,244 — — — — 5,244 Amounts received as proceeds from sales of mortgage loans — — — — — — 41,379 41,379 Changes in fair value included in income arising from: Changes in instrument- specific credit risk — 24,685 — — — — — 24,685 Other factors 1,045 (25,369 ) (19,350 ) 45,304 134,761 (116 ) (14,135 ) 122,140 1,045 (684 ) (19,350 ) 45,304 134,761 (116 ) (14,135 ) 146,825 Transfers of mortgage loans to REO — (104,806 ) — — — — — (104,806 ) Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" (2) 2,506 — — — — — — 2,506 Transfers of interest rate lock commitments to mortgage loans acquired for sale — — — (80,454 ) — — — (80,454 ) Balance, December 31, 2017 $ 8,135 $ 768,433 $ 236,534 $ 4,632 $ 98,640 $ 3,748 $ 91,459 $ 1,211,581 Changes in fair value recognized during the year relating to assets still held at December 31, 2017 $ 98 $ (10,594 ) $ (19,350 ) $ 4,632 $ 83,030 $ (116 ) $ (14,135 ) $ 43,565 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. (2) During the year ended December 31, 2017, 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”. Year ended December 31, 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 2,956 2,956 Balance, December 31, 2017 7,070 Changes in fair value recognized during the year relating to liability outstanding at December 31, 2017 $ 2,956 Year ended December 31, 2016 Mortgage loans at fair value Excess servicing spread Interest rate lock commitments (1) CRT Agreement derivatives Mortgage servicing rights Total (in thousands) Assets: Balance, December 31, 2015 $ 2,100,394 $ 412,425 $ 4,646 $ 593 $ 66,584 $ 2,584,642 Purchases and issuances — — 71,892 — 2,739 74,631 Repayments and sales (626,095 ) (129,037 ) — (21,298 ) — (776,430 ) Capitalization of interest 84,820 22,601 — — — 107,421 ESS received pursuant to a recapture agreement with PFSI — 6,603 — — — 6,603 Amounts received as proceeds from sales of mortgage loans — — — — 7,337 7,337 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 26,910 — — — — 26,910 Other factors (30,414 ) (23,923 ) 15,944 36,315 (12,524 ) (14,602 ) (3,504 ) (23,923 ) 15,944 36,315 (12,524 ) 12,308 Transfers of mortgage loans to REO (201,043 ) — — — — (201,043 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (88,705 ) — — (88,705 ) Balance, December 31, 2016 $ 1,354,572 $ 288,669 $ 3,777 $ 15,610 $ 64,136 $ 1,726,764 Changes in fair value recognized during the year relating to assets still held at December 31, 2016 $ (15,877 ) $ (16,713 ) $ 3,777 $ 15,610 $ (12,524 ) $ (25,727 ) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Year ended December 31, 2016 Interest-only security payable (in thousands) Liabilities: Balance, December 31, 2015 $ — Changes in fair value included in income arising from: Changes in instrument- specific credit risk — Other factors 4,114 4,114 Balance, December 31, 2016 4,114 Changes in fair value recognized during the year relating to liability outstanding at December 31, 2016 $ 4,114 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 and identification of certain mortgage loans acquired for sale are not saleable into the prime mortgage market. Following are the fair values and related principal amounts due upon maturity of mortgage loans accounted for under the fair value option (including mortgage loans acquired for sale, mortgage loans held in a consolidated VIE, and distressed mortgage loans at fair value): December 31, 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: $ 1,643,465 $ 1,580,504 $ 62,961 $ 1,268,121 $ 1,221,125 $ 46,996 90 or more days delinquent: Not in foreclosure 492 492 — 950 1,120 (170 ) In foreclosure — — — 444 496 (52 ) 492 492 — 1,394 1,616 (222 ) $ 1,643,957 $ 1,580,996 $ 62,961 $ 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 $ 290,573 $ 294,617 $ (4,044 ) $ 321,040 $ 316,684 $ 4,356 90 or more days delinquent: Not in foreclosure — — — — — — In foreclosure — — — — — — — — — — — — 290,573 294,617 (4,044 ) 321,040 316,684 4,356 Distressed mortgage loans at fair value: Current through 89 days delinquent 28,806 43,043 (14,237 ) 414,785 519,009 (104,224 ) 90 or more days delinquent: Not in foreclosure 37,288 71,732 (34,444 ) 166,749 257,038 (90,289 ) In foreclosure 51,638 86,259 (34,621 ) 186,899 267,911 (81,012 ) 88,926 157,991 (69,065 ) 353,648 524,949 (171,301 ) 117,732 201,034 (83,302 ) 768,433 1,043,958 (275,525 ) $ 408,305 $ 495,651 $ (87,346 ) $ 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 assets and liabilities accounted for under the fair value option: Year ended December 31, 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 — — (11,262 ) (4,793 ) (16,055 ) Mortgage loans acquired for sale at fair value — (5,298 ) — — (5,298 ) Mortgage loans at fair value — — (23,696 ) 7,539 (16,157 ) ESS at fair value — — 8,500 15,138 23,638 Firm commitment to purchase credit risk transfer securities at fair value — 30,595 7,399 — 37,994 MSRs at fair value (58,780 ) — — — (58,780 ) $ (58,780 ) $ 25,297 $ (19,059 ) $ 17,884 $ (34,658 ) Liabilities: Interest-only security payable at fair value $ — $ — $ (28,941 ) $ — $ (28,941 ) Asset-backed financing of a VIE at fair value — — 9,610 (577 ) 9,033 $ — $ — $ (19,331 ) $ (577 ) $ (19,908 ) Year ended December 31, 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 — — 5,498 5,367 10,865 Mortgage loans acquired for sale at fair value — 97,940 — — 97,940 Mortgage loans at fair value — — 3,582 32,239 35,821 ESS at fair value — — (19,350 ) 16,951 (2,399 ) MSRs at fair value (14,135 ) — — — (14,135 ) $ (14,135 ) $ 97,940 $ (10,270 ) $ 54,557 $ 128,092 Liabilities: Interest-only security payable at fair value $ — $ — $ 2,956 $ — $ 2,956 Asset-backed financing of a VIE at fair value — — (3,426 ) (1,781 ) (5,207 ) $ — $ — $ (470 ) $ (1,781 ) $ (2,251 ) Year ended December 31, 2016 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 — — (13,168 ) (2,391 ) (15,559 ) Mortgage loans acquired for sale at fair value — 55,350 — — 55,350 Mortgage loans at fair value — — (5,252 ) 86,114 80,862 ESS at fair value — — (23,923 ) 22,601 (1,322 ) MSRs at fair value (12,524 ) — — — (12,524 ) $ (12,524 ) $ 55,350 $ (42,343 ) $ 106,324 $ 106,807 Liabilities: Asset-backed financing of a VIE at fair value $ — $ — $ 3,238 $ (669 ) $ 2,569 $ — $ — $ 3,238 $ (669 ) $ 2,569 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 years presented: December 31, 2018 Level 1 Level 2 Level 3 Total (in thousands) Real estate acquired in settlement of loans $ — $ — $ 24,515 $ 24,515 $ — $ — $ 24,515 $ 24,515 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 years presented on assets held at year end that were remeasured at fair value on a nonrecurring basis: Year ended December 31, 2018 2017 2016 (in thousands) Real estate asset acquired in settlement of loans $ (4,434 ) $ (11,882 ) $ (17,561 ) MSRs at lower of amortized cost or fair value — (5,876 ) (2,728 ) $ (4,434 ) $ (17,758 ) $ (20,289 ) 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 Exchangeable senior notes and Notes payable Exchangeable senior notes Exchangeable senior notes Notes payable Notes payable 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 senior management oversight. PFSI’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. 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. With respect to the non-IRLC “Level 3” valuations, the FAV group reports to PFSI’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 PFSI’s senior management valuation committee. PFSI’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 PFSI’s senior management 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. 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. For mortgage loans acquired for sale, 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. 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) December 31, 2018 December 31, 2017 Discount rate Range 2.8% – 19.6% 2.9% – 15.0% Weighted average 12.0% 6.9% Twelve-month projected housing price index change Range 3.1% – 3.7% 3.6% – 4.6% Weighted average 3.4% 4.4% Voluntary prepayment speed (2) Range 0.9% – 8.3% 3.2% – 11.0% Weighted average 3.2% 4.2% Total prepayment speed (3) Range 8.3% – 22.0% 10.8% – 23.8% Weighted average 18.3% 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) December 31, 2018 December 31, 2017 UPB of underlying mortgage loans (in thousands) $ 23,196,033 $ 27,217,199 Average servicing fee rate (in basis points) 34 34 Average ESS rate (in basis points) 19 19 Pricing spread (2) Range 2.8% - 3.2% 3.8% - 4.3% Weighted average 3.1% 4.1% Annual total prepayment speed (3) Range 8.2% - 29.5% 8.4% - 41.4% Weighted average 9.7% 10.8% Life (in years) Range 1.6 - 7.6 1.4 - 7.7 Weighted average 6.8 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. Derivative Financial Instruments Interest Rate Lock Commitments The Company categorizes IRLCs as “Level 3” fair value assets and liabilities. The Company estimates the fair value of IRLCs based on quoted Agency MBS prices, its estimate of the fair value of the MSRs it expects to receive in the sale of the mortgage loan and the probability that the mortgage loan will be purchased under the commitment (the “pull-through rate”). The significant unobservable inputs used in the fair value measurement of the Company’s IRLCs are the pull-through rate and the MSR component of the Company’s estimate of the fair value of the mortgage loans it has committed to purchase. Significant changes in the pull-through rate or the MSR component of the IRLCs, in isolation, may result in a significant change in the IRLCs’ fair value. The financial effects of changes in these inputs are generally inversely correlated as increasing interest rates have a positive effect on the fair value of the MSR component of IRLC fair value, but also increase the pull-through rate for the mortgage loan principal and interest payment cash flow component that has decreased in fair value. Changes in fair value of IRLCs are included in Net gain on mortgage loans acquired for sale Net mortgage loan servicing fees – from nonaffiliates Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs: Key inputs (1) December 31, 2018 December 31, 2017 Pull-through rate Range 45.4% - 100% 58.0% - 100% Weighted average 91.8% 90.3% MSR value expressed as Servicing fee multiple Range 2.4 - 5.6 2.1 - 5.8 Weighted average 4.3 4.9 Percentage of UPB Range 0.6% - 3.6% 0.0% - 2.4% Weighted average 2.2% 1.3% (1) Weighted average inputs are based on committed amounts. CRT Agreements The Company categorizes CRT Agreement derivatives as “Level 3” fair value assets. The fair value of CRT Agreements is established based on whether the aggregation period has been completed and the CRT Agreements have been securitized: • For securitized CRT Agreements, fair value is based on indications of fair value provided to the Company by nonaffiliated brokers for the certificates representing the beneficial interest in CRT Agreements which include the deposits securing the CRT Agreements, the Recourse Obligations and the IO ownership interest. Together, the Recourse Obligations and the IO ownership comprise the CRT Agreement derivative. Fair value of the CRT Agreement derivative is derived by deducting the balance of the Deposits securing CRT Agreements • For CRT Agreements that have not been securitized, fair value is estimated using a discounted cash flow analysis. The significant unobservable inputs into the valuation of CRT Agreement derivatives are the discount rate and voluntary involuntary prepayment speeds of the reference mortgage loans. Changes in fair value of CRT Agreements are included in Net gain (loss) on investments Following is a quantitative summary of key unobservable inputs used in the valuation of non-securitized CRT Agreements and the review and approval of broker-provided fair values for securitized CRT Agreements. At December 31, 2018, all CRT Agreements held by the Company were securitized: Key inputs (1) December 31, 2018 December 31, 2017 Discount rate Range 6.6% – 7.5% 5.1% – 6.2% Weighted average 7.3% 5.6% Voluntary prepayment speed (2) Range 9.0% – 10.6% 12.1% – 15.0% Weighted average 9.9% 13.0% Involuntary prepayment speed (3) Range 0.2% – 0.2% 0.3% – 0.3% Weighted average 0.2% 0.3% Remaining loss expectation (4) Range 0.1% – 0.2% 0.1% – 0.3% Weighted average 0.2% 0.2% (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. (4) Remaining loss expectation is measured as expected future contractual losses divided by UPB of reference mortgage loans. Repurchase Agreement Derivatives The Company has a master repurchase agreement that includes incentives for financing mortgage loans approved for satisfying certain consumer relief characteristics. These incentives are classified as embedded derivatives for accounting purposes and are accounted for separate from the repurchase agreements. The significant unobservable inputs into the valuation of these derivative assets are the discount rate and the expected approval rate of the mortgage loans financed under the master repurchase agreement. The resulting ratio included in the Company’s fair value estimate was 97% at both December 31, 2018 and December 31, 2017. Changes in fair value of repurchase agreement derivatives are included in Interest expense Hedging Derivatives Fair values of derivative financial instruments based on exchange traded market prices are categorized by the Company as “Level 1” fair value assets and liabilities; fair values of derivative financial instruments based on observable interest rates, volatilities and prices in the MBS market are categorized by the Company as “Level 2” fair value assets and liabilities. Changes in the fair value of hedging derivatives are included in Net gain on mortgage loans acquired for sale Net gain (loss) on investments Net mortgage loan servicing fees Firm commitment to purc |
Mortgage Backed Securities
Mortgage Backed Securities | 12 Months Ended |
Dec. 31, 2018 | |
Mortgage Backed Securities [Abstract] | |
Mortgage Backed Securities | Note 7—Mortgage Backed Securities Following is a summary of MBS: December 31, 2018 December 31, 2017 Principal balance Unamortized purchase premiums Accumulated valuation changes Fair value Principal balance Unamortized purchase premiums Accumulated valuation changes Fair value (in thousands) Agency: (1) Fannie Mae $ 2,050,769 $ 39,488 $ (14,920 ) $ 2,075,337 $ 774,473 $ 30,355 $ (7,975 ) $ 796,853 Freddie Mac 530,734 6,702 (2,351 ) 535,085 187,127 3,518 1,963 192,608 $ 2,581,503 $ 46,190 $ (17,271 ) $ 2,610,422 $ 961,600 $ 33,873 $ (6,012 ) $ 989,461 (1) All MBS are fixed-rate pass-through securities with maturities of more than ten years. 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 | 12 Months Ended |
Dec. 31, 2018 | |
Mortgage Loans On Real Estate [Abstract] | |
Mortgage Loans Acquired for Sale at Fair Value | Note 8—Mortgage Loans Acquired for Sale at Fair Value Mortgage loans acquired for sale at fair value is comprised of recently originated mortgage loans purchased by the Company for resale. Following is a summary of the distribution of the Company’s mortgage loans acquired for sale at fair value: Loan type December 31, 2018 December 31, 2017 (in thousands) Agency-eligible $ 1,495,954 $ 971,910 Held for sale to PLS — Government insured or guaranteed 86,308 279,571 Jumbo 44,221 — Commercial real estate 8,559 9,898 Repurchased pursuant to representations and warranties 8,915 8,136 $ 1,643,957 $ 1,269,515 Mortgage loans pledged to secure: Assets sold under agreements to repurchase $ 1,436,437 $ 1,201,992 Mortgage loan participation purchase and sale agreements 185,442 47,285 $ 1,621,879 $ 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 | 12 Months Ended |
Dec. 31, 2018 | |
Text Block [Abstract] | |
Mortgage Loans at Fair Value | Note 9—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: December 31, 2018 December 31, 2017 Loan type Fair value Unpaid principal balance Fair value Unpaid principal balance (in thousands) Distressed mortgage loans: Nonperforming $ 88,926 $ 157,991 $ 353,648 $ 524,949 Performing 28,806 43,043 414,785 519,009 117,732 201,034 768,433 1,043,958 Fixed interest rate jumbo mortgage loans held in a VIE 290,573 294,617 321,040 316,684 $ 408,305 $ 495,651 $ 1,089,473 $ 1,360,642 Mortgage loans at fair value pledged to secure: Assets sold under agreements to repurchase $ 108,693 $ 760,853 Asset-backed financing of a VIE at fair value 290,573 321,040 $ 399,266 $ 1,081,893 Following is a summary of certain concentrations by state of credit risk in the portfolio of distressed mortgage loans at fair value: Concentration by State December 31, 2018 December 31, 2017 (percentages are of fair value) States contributing 5% or more of mortgage loans New York Florida California New Jersey Hawaii Massachusetts New York California New Jersey Florida Massachusetts |
Derivative Activities
Derivative Activities | 12 Months Ended |
Dec. 31, 2018 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
Derivative Activities | Note 10—Derivative Activities Derivative Notional Amounts and Fair Value of Derivatives The Company had the following derivative assets and liabilities recorded within Derivative assets Derivative liabilities Other December 31, 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: CRT Agreements 29,934,003 $ 123,987 $ — 26,845,392 $ 98,640 $ — Interest rate lock commitments 1,688,516 12,162 174 1,250,803 4,859 227 Repurchase agreement derivatives 14,511 — 3,748 — Subject to master netting agreements ─ for hedging purposes: Forward purchase contracts 3,072,223 14,845 43 1,996,235 4,343 248 Forward sale contracts 4,595,241 13 29,273 2,565,271 387 2,830 MBS put options 2,550,000 218 — 2,375,000 3,170 — MBS call options 500,000 945 — — — — Call options on interest rate futures 512,500 5,137 — — — — Put options on interest rate futures 1,102,500 178 — 550,000 656 — Swap futures — — — 275,000 — — Bond futures 815,000 — — — — — Eurodollar future sale contracts — — — 937,000 — — Total derivative instruments before netting 171,996 29,490 115,803 3,305 Netting (4,831 ) (23,576 ) (1,922 ) (1,999 ) $ 167,165 $ 5,914 $ 113,881 $ 1,306 Margin deposits placed with derivatives counterparties included in Other $ 18,744 $ 76 Derivative assets pledged to secure Assets sold under agreements to repurchase $ 87,976 $ 26,058 The following tables summarize the notional amount activity for derivative contracts used for hedging purposes: Year ended December 31, 2018 Amount, Amount, beginning Dispositions/ end Instrument of year Additions expirations of year (in thousands) Forward purchase contracts 1,996,235 97,737,906 (96,661,918 ) 3,072,223 Forward sales contracts 2,565,271 129,544,573 (127,514,603 ) 4,595,241 MBS put options 2,375,000 9,575,000 (9,400,000 ) 2,550,000 MBS call options — 2,000,000 (1,500,000 ) 500,000 Call options on interest rate futures — 3,487,500 (2,975,000 ) 512,500 Put options on interest rate futures 550,000 13,302,500 (12,750,000 ) 1,102,500 Swap futures 275,000 — (275,000 ) — Bond futures — 5,274,400 (4,459,400 ) 815,000 Eurodollar future sale contracts 937,000 149,597 (1,086,597 ) — Year ended December 31, 2017 Amount, Amount, beginning Dispositions/ end Instrument of year Additions expirations of year (in thousands) Forward purchase contracts 4,840,707 71,768,061 (74,612,533 ) 1,996,235 Forward sales contracts 6,148,242 95,889,432 (99,472,403 ) 2,565,271 MBS put options 925,000 9,225,000 (7,775,000 ) 2,375,000 MBS call options 750,000 550,000 (1,300,000 ) — Call options on interest rate futures 200,000 825,000 (1,025,000 ) — Put options on interest rate futures 550,000 7,150,000 (7,150,000 ) 550,000 Swap futures 150,000 1,650,000 (1,525,000 ) 275,000 Eurodollar future sale contracts 1,351,000 404,000 (818,000 ) 937,000 Treasury future buy contracts — 110,700 (110,700 ) — Treasury future sale contracts — 110,700 (110,700 ) — Year ended December 31, 2016 Amount, Amount, beginning Dispositions/ end Instrument of year Additions expirations of year (in thousands) Forward purchase contracts 2,469,550 73,269,440 (70,898,283 ) 4,840,707 Forward sales contracts 2,450,642 99,737,855 (96,040,255 ) 6,148,242 MBS put options 375,000 12,400,000 (11,850,000 ) 925,000 MBS call options — 750,000 — 750,000 Call options on interest rate futures 50,000 4,425,000 (4,275,000 ) 200,000 Put options on interest rate futures 1,600,000 7,445,000 (8,495,000 ) 550,000 Swap futures — 175,000 (25,000 ) 150,000 Eurodollar future sale contracts 1,755,000 282,000 (686,000 ) 1,351,000 Treasury future buy contracts — 558,700 (558,700 ) — Treasury future sale contracts — 558,700 (558,700 ) — 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 December 31, 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. December 31, 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: CRT Agreement derivatives $ 123,987 $ — $ 123,987 $ 98,640 $ — $ 98,640 Interest rate lock commitments 12,162 — 12,162 4,859 — 4,859 Repurchase agreement derivatives 14,511 — 14,511 3,748 — 3,748 150,660 — 150,660 107,247 — 107,247 Subject to master netting arrangements: Forward purchase contracts 14,845 — 14,845 4,343 — 4,343 Forward sale contracts 13 — 13 387 — 387 MBS put options 218 — 218 3,170 — 3,170 MBS call options 945 — 945 — — — Call options on interest rate futures 5,137 — 5,137 — — — Put options on interest rate futures 178 — 178 656 — 656 Netting — (4,831 ) (4,831 ) — (1,922 ) (1,922 ) 21,336 (4,831 ) 16,505 8,556 (1,922 ) 6,634 $ 171,996 $ (4,831 ) $ 167,165 $ 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. December 31, 2018 December 31, 2017 Net amount Gross amounts Net amount Gross amounts of assets not offset in the of assets not offset in the presented consolidated presented consolidated in the balance sheet in the balance sheet consolidated Cash consolidated Cash balance Financial collateral Net balance Financial collateral Net sheet instruments received amount sheet instruments received amount (in thousands) CRT Agreement derivatives $ 123,987 $ — $ — $ 123,987 $ 98,640 $ — $ — $ 98,640 Interest rate lock commitments 12,162 — — 12,162 4,859 — — 4,859 Deutsche Bank Securities LLC 14,511 — — 14,511 3,748 — — 3,748 Federal National Mortgage Association 5,619 — — 5,619 1,606 — — 1,606 RJ O’Brien & Associates, LLC 5,315 — — 5,315 656 — — 656 Wells Fargo Securities, LLC 2,800 — — 2,800 146 — — 146 Citigroup Global Markets Inc. 971 — — 971 429 — — 429 Credit Suisse Securities (USA) LLC 579 — — 579 809 — — 809 Mitsubishi UFJ Sec 257 — — 257 193 — — 193 Morgan Stanley & Co. LLC 243 — — 243 457 — — 457 J.P. Morgan Securities LLC 107 — — 107 2,020 — — 2,020 Other 614 — — 614 318 — — 318 $ 167,165 $ — $ — $ 167,165 $ 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. December 31, 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 $ 174 $ — $ 174 $ 227 $ — $ 227 Subject to master netting arrangements: Forward purchase contracts 43 — 43 248 — 248 Forward sales contracts 29,273 — 29,273 2,830 — 2,830 Netting — (23,576 ) (23,576 ) — (1,999 ) (1,999 ) 29,316 (23,576 ) 5,740 3,078 (1,999 ) 1,079 29,490 (23,576 ) 5,914 3,305 (1,999 ) 1,306 Assets sold under agreements to repurchase: UPB 4,777,486 — 4,777,486 3,182,504 — 3,182,504 Unamortized debt issuance costs (459 ) — (459 ) (1,618 ) — (1,618 ) 4,777,027 — 4,777,027 3,180,886 — 3,180,886 $ 4,806,517 $ (23,576 ) $ 4,782,941 $ 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. December 31, 2018 December 31, 2017 Net amount Gross amounts Net amount Gross amounts of liabilities not offset in the of liabilities not offset in the presented consolidated presented consolidated in the balance sheet in the balance sheet consolidated Cash consolidated Cash balance Financial collateral Net balance Financial collateral Net sheet instruments pledged amount sheet instruments pledged amount (in thousands) Interest rate lock commitments $ 174 $ — $ — $ 174 $ 227 $ — $ — $ 227 J.P. Morgan Securities LLC 1,441,934 (1,441,934 ) — — 373,186 (373,186 ) — — Bank of America, N.A. 1,307,923 (1,307,584 ) — 339 839,057 (838,771 ) — 286 Credit Suisse Securities (USA) LLC 512,662 (512,662 ) — — 845,567 (845,567 ) — — Deutsche Bank Securities LLC 495,974 (495,974 ) — — 374,526 (374,526 ) — — Mizuho Securities 270,708 (270,708 ) — — 3 — — 3 Daiwa Capital Markets 254,332 (254,332 ) — — 153,833 (153,730 ) — 103 BNP Paribas 162,636 (162,357 ) — 279 45,411 (45,411 ) — — Morgan Stanley & Co. LLC 105,366 (105,366 ) — — 164,530 (164,530 ) — — Citigroup Global Markets Inc. 99,626 (98,644 ) — 982 235,541 (235,319 ) — 222 Wells Fargo Securities, LLC 70,130 (70,130 ) — — 50,360 (50,360 ) — — RBC Capital Markets, L.P. 57,795 (57,795 ) — — 92,014 (91,805 ) — 209 Barclays Capital Inc. 325 — — 325 9,374 (9,299 ) — 75 Other 3,815 — — 3,815 181 — — 181 $ 4,783,400 $ (4,777,486 ) $ — $ 5,914 $ 3,183,810 $ (3,182,504 ) $ — $ 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: Year ended December 31, Derivative activity Income statement line 2018 2017 2016 (in thousands) Interest rate lock commitments Net gain on mortgage loans acquired for sale $ 7,356 $ 81,309 $ 87,836 CRT agreements Net gain (loss) on investments $ 112,275 $ 134,761 $ 32,500 Repurchase agreement derivatives Interest expense $ 191 $ 116 $ — Hedged item: Interest rate lock commitments and mortgage loans acquired for sale Net gain on mortgage loans acquired for sale $ 25,334 $ (31,245 ) $ 50,274 Mortgage servicing rights Net mortgage loan servicing fees $ (35,550 ) $ (2,512 ) $ 2,271 Fixed-rate assets and LIBOR- indexed repurchase agreements Net gain (loss) on investments $ (4,152 ) $ (18,468 ) $ 7,251 |
Real Estate Acquired in Settlem
Real Estate Acquired in Settlement of Loans | 12 Months Ended |
Dec. 31, 2018 | |
Banking And Thrift [Abstract] | |
Real Estate Acquired in Settlement of Loans | Note 11—Real Estate Acquired in Settlement of Loans Following is a summary of financial information relating to REO: Year ended December 31, 2018 2017 2016 (in thousands) Balance at beginning of year $ 162,865 $ 274,069 $ 341,846 Transfers: From mortgage loans at fair value and advances 32,578 87,202 207,431 To real estate held for investment (5,183 ) (16,530 ) (21,406 ) From real estate held for investment 3,401 — — Results of REO: Valuation adjustments, net (17,323 ) (27,505 ) (36,193 ) Gain on sale, net 8,537 12,550 17,075 (8,786 ) (14,955 ) (19,118 ) Sales (99,194 ) (166,921 ) (234,684 ) Balance at end of year $ 85,681 $ 162,865 $ 274,069 At the end of year: REO pledged to secure assets sold under agreements to repurchase $ 1,939 $ 76,037 REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties 38,259 48,495 $ 40,198 $ 124,532 |
Mortgage Servicing Rights
Mortgage Servicing Rights | 12 Months Ended |
Dec. 31, 2018 | |
Text Block [Abstract] | |
Mortgage Servicing Rights | Note 12—Mortgage Servicing Rights Carried at Fair Value: Following is a summary of MSRs carried at fair value: Year ended December 31, 2018 2017 2016 (in thousands) Balance at beginning of year $ 91,459 $ 64,136 $ 66,584 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 864,494 64,136 66,584 Purchases — 79 2,739 Sales (100 ) — — MSRs resulting from mortgage loan sales 356,755 41,379 7,337 Changes in fair value: Due to changes in valuation inputs used in valuation model (1) 60,772 (9,762 ) (3,210 ) Other changes in fair value (2) (119,552 ) (4,373 ) (9,314 ) (58,780 ) (14,135 ) (12,524 ) Balance at end of year $ 1,162,369 $ 91,459 $ 64,136 At the end of year: Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and (3) $ 1,139,582 $ 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 interest 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: Year ended December 31, 2018 2017 2016 (in thousands) Amortized cost: Balance at beginning of year $ 772,870 $ 606,103 $ 404,101 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 — 606,103 404,101 MSRs resulting from mortgage loan sales — 248,930 267,755 Amortization — (81,624 ) (65,647 ) Sales — (539 ) (106 ) Balance at end of year — 772,870 606,103 Valuation allowance: Balance at beginning of year (19,548 ) (13,672 ) (10,944 ) Reduction pursuant to a change in accounting principle 19,548 — — Balance after reclassification — (13,672 ) (10,944 ) Additions to valuation allowance — (5,876 ) (2,728 ) Balance at end of year — (19,548 ) (13,672 ) MSRs, net $ — $ 753,322 $ 592,431 Fair value at beginning of year $ 772,940 $ 626,334 $ 424,154 Fair value at end of year $ 772,940 $ 626,334 At the end of year: 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 Year ended December 31, 2018 2017 2016 (in thousands) Contractually-specified servicing fees $ 204,663 $ 164,776 $ 125,961 Ancillary and other fees: Late charges 974 718 570 Other 7,088 5,805 5,302 $ 212,725 $ 171,299 $ 131,833 |
Assets Sold Under Agreements to
Assets Sold Under Agreements to Repurchase | 12 Months Ended |
Dec. 31, 2018 | |
Brokers And Dealers [Abstract] | |
Assets Sold Under Agreements to Repurchase | Note 13—Assets Sold Under Agreements to Repurchase Following is a summary of financial information relating to assets sold under agreements to repurchase: Year ended December 31, 2018 2017 2016 (dollars in thousands) Weighted average interest rate (1) 3.25 % 2.49 % 2.44 % Average balance $ 3,901,772 $ 3,332,084 $ 3,382,528 Total interest expense (2) $ 115,383 $ 93,580 $ 92,838 Maximum daily amount outstanding $ 6,665,118 $ 4,242,600 $ 5,573,021 (1) Excludes the effect of net amortization of debt issuance premiums of $11.7 million for the year ended December 31, 2018 and net debt issuance costs of $8.3 million for the year ended December 31, 2017 and $8.8 million for the year ended December 31, 2016. (2) The Company’s interest expense relating to assets sold under agreements to repurchase for the years ended December 31, 2018 and 2017 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 years ended December 31, 2018 and 2017, the Company recognized $19.7 million and $3.1 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 21, 2019, unless terminated earlier at the option of the lender. The Company expects that it will cease to accrue the incentives under the repurchase agreement in the second quarter of 2019. December 31, 2018 2017 (dollars in thousands) Carrying value: Unpaid principal balance $ 4,777,486 $ 3,182,504 Unamortized debt issuance premiums and (costs), net (459 ) (1,618 ) $ 4,777,027 $ 3,180,886 Weighted average interest rate 3.38 % 2.77 % Available borrowing capacity (1): Committed $ 783,415 $ 749,650 Uncommitted 2,325,246 2,030,607 $ 3,108,661 $ 2,780,257 Margin deposits placed with counterparties included in Other $ 43,676 $ 28,154 Assets securing agreements to repurchase: Mortgage-backed securities $ 2,610,422 $ 989,461 Mortgage loans acquired for sale at fair value $ 1,436,437 $ 1,201,992 Mortgage loans at fair value $ 108,693 $ 760,853 CRT Agreements: Deposits securing CRT agreements $ 1,146,501 $ 400,778 Derivative assets $ 87,976 $ 26,058 Real estate acquired in settlement of loans $ 40,198 $ 124,532 Real estate held for investment $ 23,262 $ 31,128 MSRs (2) $ 1,139,582 $ 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 advances under repurchase agreements by maturity date: Remaining maturity at December 31, 2018 Contractual balance (in thousands) Within 30 days $ 2,532,214 Over 30 to 90 days 882,985 Over 90 days to 180 days 430,114 Over 180 days to 1 year 927,173 Over one year to two years 5,000 $ 4,777,486 Weighted average maturity (in months) 2.2 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 December 31, 2018: Mortgage loans, REO and MSRs sold under agreements to repurchase Weighted average Counterparty Amount maturity Facility maturity (in thousands) Credit Suisse First Boston Mortgage Capital LLC $ 369,773 December 20, 2020 December 20, 2020 Credit Suisse First Boston Mortgage Capital LLC $ 49,454 March 23, 2019 April 26, 2019 JPMorgan Chase & Co. $ 36,481 February 16, 2019 October 11, 2019 Bank of America, N.A. $ 13,975 January 12, 2019 July 1, 2019 Deutsche Bank $ 29,797 March 22, 2019 June 30, 2019 BNP Paribas Corporate & Institutional Banking $ 6,991 March 18, 2019 August 2, 2019 Citibank, N.A. $ 50,845 March 22, 2019 June 7, 2019 Morgan Stanley $ 5,925 March 11, 2019 August 23, 2019 Royal Bank of Canada $ 3,423 February 28, 2019 February 28, 2019 Securities sold under agreements to repurchase Counterparty Amount at risk Weighted average maturity (in thousands) JPMorgan Chase & Co. $ 45,359 February 13, 2019 Bank of America, N.A. $ 59,343 January 22, 2019 Daiwa Capital Markets America Inc. $ 19,831 January 14, 2019 Mizuho Securities $ 12,312 January 14, 2019 Wells Fargo, N.A. $ 4,760 January 13, 2019 CRT Agreements sold under agreements to repurchase Counterparty Amount at risk Weighted average maturity (in thousands) Credit Suisse First Boston Mortgage Capital LLC $ 53,785 January 17, 2019 JPMorgan Chase & Co. $ 202,469 January 7, 2019 Bank of America, N.A. $ 25,582 January 21, 2019 BNP Paribas Corporate & Institutional Banking $ 16,575 January 22, 2019 |
Mortgage Loan Participation Pur
Mortgage Loan Participation Purchase and Sale Agreements | 12 Months Ended |
Dec. 31, 2018 | |
Text Block [Abstract] | |
Mortgage Loan Participation Purchase and Sale Agreements | Note 14—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 the 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: Year ended December 31, 2018 2017 2016 (dollars in thousands) Weighted average interest rate (1) 3.42 % 2.34 % 1.74 % Average balance $ 64,512 $ 61,807 $ 70,391 Total interest expense $ 2,422 $ 1,593 $ 1,376 Maximum daily amount outstanding $ 287,862 $ 136,854 $ 99,469 (1) Excludes the effect of amortization of debt issuance costs of $217,000 for the year ended December 31, 2018, $125,000 for the year ended December 31, 2017, and $130,000 for the year ended December 31, 2016. December 31, 2018 2017 (dollars in thousands) Carrying value: Amount outstanding $ 178,726 $ 44,550 Unamortized debt issuance costs (87 ) (62 ) $ 178,639 $ 44,488 Weighted average interest rate 3.77 % 2.82 % Mortgage loans acquired for sale pledged to secure mortgage loan participation purchase and sale agreements $ 185,442 $ 47,285 |
Exchangeable Senior Notes
Exchangeable Senior Notes | 12 Months Ended |
Dec. 31, 2018 | |
Text Block [Abstract] | |
Exchangeable Senior Notes | Note 15—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 December 31, 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: Year ended December 31, 2018 2017 2016 (in thousands) Average balance $ 250,000 $ 250,000 $ 250,000 Total interest expense $ 14,601 $ 14,535 $ 14,473 December 31, 2018 2017 (in thousands) Carrying value: UPB $ 250,000 $ 250,000 Unamortized debt issuance costs (1,650 ) (2,814 ) $ 248,350 $ 247,186 |
Notes Payable
Notes Payable | 12 Months Ended |
Dec. 31, 2018 | |
Text Block [Abstract] | |
Notes Payable | Note 16—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 25th day of such month or, if such 25th day is not a business day, the next business day. 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 repaid 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: Year ended December 31, 2018 2017 2016 (dollars in thousands) Weighted average interest rate (1) 4.68 % 5.71 % 4.73 % Average balance $ 300,035 $ 145,638 $ 202,293 Total interest expense $ 14,623 $ 12,634 $ 12,892 Maximum daily amount outstanding $ 450,000 $ 275,106 $ 275,106 (1) Excludes the effect of amortization of debt issuance costs of $681,000 for the year ended December 31, 2018, $4.2 million for the year ended December 31, 2017 and $3.2 million for the year ended December 31, 2016. December 31, 2018 2017 (dollars in thousands) Carrying value: Amount outstanding $ 450,000 $ — Unamortized debt issuance costs (4,427 ) — $ 445,573 $ — Weighted average interest rate 4.86 % — MSRs pledged to secure notes payable (1) $ 1,139,582 $ 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 | 12 Months Ended |
Dec. 31, 2018 | |
Text Block [Abstract] | |
Asset-Backed Financing of a Variable Interest Entity at Fair Value | Note 17—Asset-Backed Financing of a Variable Interest Entity at Fair Value Following is a summary of financial information relating to the asset-backed financing of a VIE: Year ended December 31, 2018 2017 2016 (dollars in thousands) Average balance $ 288,244 $ 331,409 $ 338,582 Total interest expense $ 10,821 $ 13,184 $ 12,091 Weighted average interest rate (1) 3.55 % 3.39 % 3.32 % (1) Excludes the effect of amortization of debt issuance costs of $577,000 for the year ended December 31, 2018, $1.8 million for the year ended December 31, 2017, and $669,000 for the year ended December 31, 2016. December 31, 2018 2017 (dollars in thousands) Fair value $ 276,499 $ 307,419 UPB $ 281,922 $ 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 | 12 Months Ended |
Dec. 31, 2018 | |
Text Block [Abstract] | |
Liability for Losses Under Representations and Warranties | Note 18—Liability for Losses Under Representations and Warranties Following is a summary of the Company’s liability for losses under representations and warranties: Year ended December 31, 2018 2017 2016 (in thousands) Balance, beginning of year $ 8,678 $ 15,350 $ 20,171 Provision for losses: Pursuant to mortgage loan sales 2,531 3,147 3,254 Reduction in liability due to change in estimate (3,707 ) (9,679 ) (7,564 ) Recoveries (losses incurred), net 12 (140 ) (511 ) Balance, end of year $ 7,514 $ 8,678 $ 15,350 UPB of mortgage loans subject to representations and warranties at end of year $ 90,427,100 $ 71,416,333 $ 56,114,162 |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2018 | |
Commitments And Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 19—Commitments and Contingencies Litigation From time to time, the Company may be involved in various proceedings, claims and legal actions arising in the ordinary course of business. As of December 31, 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: December 31, 2018 (in thousands) Commitments to purchase mortgage loans acquired for sale $ 1,688,516 Firm commitment to purchase credit risk transfer securities $ 605,052 |
Shareholders' Equity
Shareholders' Equity | 12 Months Ended |
Dec. 31, 2018 | |
Equity [Abstract] | |
Shareholders' Equity | Note 20—Shareholders’ Equity Preferred Shares of Beneficial Interest Preferred shares of beneficial interest are summarized below: Dividends per share, year ended Series Description (1) Number of shares Liquidation preference Issuance discount Carrying value December 31, 2018 December 31, 2017 Fixed-to-floating rate cumulative redeemable preferred (in thousands, except dividends per share) A 8.125% Issued March 2017 4,600 $ 115,000 $ 3,828 $ 111,172 $ 2.03 $ 1.59 B 8.00% Issued July 2017 7,800 195,000 6,465 188,535 $ 2.00 $ 0.89 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. 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 pays quarterly cumulative dividends on the 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. 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 or 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: Year ended December 31, Cumulative 2018 2017 2016 total (1) (in thousands) Common shares repurchased 671 5,647 7,368 14,731 Cost of common shares repurchased $ 10,719 $ 91,198 $ 98,370 $ 216,625 (1) Amounts represent the share repurchase program total from its inception in August 2015 through December 31, 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 4— Transactions with Related Parties The Reimbursement Agreement also provides for the payment to the IPO underwriters of the amount that the Company agreed to pay to them at the time of the IPO if the Company satisfied certain performance measures over a specified period of time. As 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 Company made payments under the Reimbursement Agreement totaling $137,000, $61,000, and $0 during the years ended December 31, 2018, 2017 and 2016, respectively. The Reimbursement Agreement as amended expires on February 1, 2023. |
Net Mortgage Loan Servicing Fee
Net Mortgage Loan Servicing Fees | 12 Months Ended |
Dec. 31, 2018 | |
Text Block [Abstract] | |
Net Mortgage Loan Servicing Fees | Note 21—Net Mortgage Loan Servicing Fees Net mortgage loan servicing fees are summarized below: Year ended December 31, 2018 2017 2016 (in thousands) From non-affiliates: Servicing fees (1) $ 204,663 $ 164,776 $ 125,961 Ancillary and other fees 8,062 6,523 5,872 Effect of MSRs: Carried at fair value - changes in fair value: Realization of cashflows (119,552 ) (9,762 ) (9,314 ) Other 60,772 (4,373 ) (3,210 ) (58,780 ) (14,135 ) (12,524 ) Carried at lower of amortized cost or fair value: Amortization — (81,624 ) (65,647 ) Increase in impairment valuation allowance — (5,876 ) (2,728 ) Gain on sale — 660 11 (Losses) gains on hedging derivatives, net (35,550 ) (2,512 ) 2,271 (94,330 ) (103,487 ) (78,617 ) 118,395 67,812 53,216 From PFSI—MSR recapture income 2,192 1,428 1,573 Net mortgage loan servicing fees $ 120,587 $ 69,240 $ 54,789 Average servicing portfolio $ 80,500,212 $ 63,836,843 $ 49,626,758 (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 | 12 Months Ended |
Dec. 31, 2018 | |
Text Block [Abstract] | |
Net Gain on Mortgage Loans Acquired for Sale | Note 22—Net Gain on Mortgage Loans Acquired for Sale Net gain on mortgage loans acquired for sale is summarized below: Year ended December 31, 2018 2017 2016 (in thousands) From non-affiliates: Cash loss: Mortgage loans $ (363,271 ) $ (209,898 ) $ (229,743 ) Hedging activities 9,172 (15,288 ) 30,927 (354,099 ) (225,186 ) (198,816 ) Non cash gain: Recognition of fair value of firm commitment to purchase credit risk transfer security 30,595 — — Receipt of MSRs in mortgage loan sale transactions 356,755 290,309 275,092 Provision for losses relating to representations and warranties provided in mortgage loan sales: Pursuant to mortgage loans sales (2,531 ) (3,147 ) (3,254 ) Reduction in liability due to change in estimate 3,707 9,679 7,564 1,176 6,532 4,310 Change in fair value of financial instruments held at year end: IRLCs 7,356 855 (869 ) Mortgage loans (9,685 ) 5,879 (1,846 ) Hedging derivatives 16,162 (15,957 ) 19,347 13,833 (9,223 ) 16,632 Total from non-affiliates-sourcing fees 48,260 62,432 97,218 From PFSI—cash gain 10,925 12,084 9,224 $ 59,185 $ 74,516 $ 106,442 |
Net Gain (Loss) on Investments
Net Gain (Loss) on Investments | 12 Months Ended |
Dec. 31, 2018 | |
Investments Debt And Equity Securities [Abstract] | |
Net Gain (Loss) on Investments | Note 23—Net Gain (Loss) on Investments Net gain (loss) on investments is summarized below: Year ended December 31, 2018 2017 2016 (in thousands) From non-affiliates: Mortgage-backed securities at fair value $ (11,262 ) $ 5,498 $ (13,168 ) Mortgage loans at fair value: Distressed (15,197 ) (684 ) (3,504 ) Held in a VIE (8,499 ) 4,266 (1,748 ) CRT Agreements 92,943 123,728 32,500 Firm commitment to purchase CRT securities 7,399 — — Asset-backed financing of a VIE at fair value 9,610 (3,426 ) 3,238 Hedging derivatives (4,152 ) (18,468 ) 7,251 70,842 110,914 24,569 From PFSI—ESS 11,084 (14,530 ) (17,394 ) $ 81,926 $ 96,384 $ 7,175 |
Net Interest Income
Net Interest Income | 12 Months Ended |
Dec. 31, 2018 | |
Banking And Thrift Interest [Abstract] | |
Net Interest Income | Note 24—Net Interest Income Net interest income is summarized below: Year ended December 31, 2018 2017 2016 (in thousands) Interest income: From nonaffiliates: Short-term investments $ 852 $ 576 $ 923 Mortgage-backed securities 55,487 29,438 14,663 Mortgage loans acquired for sale at fair value 75,610 53,164 54,750 Mortgage loans at fair value: Distressed 21,666 63,613 107,044 Held in a VIE 11,813 14,425 17,042 Deposits securing CRT Agreements 15,441 4,291 930 Placement fees relating to custodial funds 26,065 12,517 4,058 Other 700 201 111 207,634 178,225 199,521 From PFSI—ESS 15,138 16,951 22,601 222,772 195,176 222,122 Interest expense: To nonaffiliates: Assets sold under agreements to repurchase (1) 115,383 93,580 92,838 Mortgage loan participation purchase and sale agreements 2,422 1,593 1,376 Exchangeable Notes 14,601 14,535 14,473 Notes payable 14,623 12,634 12,892 Asset-backed financings of a VIE at fair value 10,821 13,184 12,091 FHLB advances — — 122 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 7,324 5,928 6,812 Interest on mortgage loan impound deposits 2,535 1,879 1,334 167,709 143,333 141,938 To PFSI—Assets sold under agreement to repurchase 7,462 8,038 7,830 175,171 151,371 149,768 Net interest income $ 47,601 $ 43,805 $ 72,354 (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 years ended December 31, 2018 and 2017, the Company included $19.7 million and $3.1 million, respectively, of such incentives as a reduction of Interest expense |
Share-Based Compensation Plans
Share-Based Compensation Plans | 12 Months Ended |
Dec. 31, 2018 | |
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract] | |
Share-Based Compensation Plans | Note 25—Share-Based Compensation Plans The Company has adopted an equity incentive plan which provides for the issuance of equity based awards, including share options, restricted shares, restricted share units, unrestricted common share awards, LTIP units (a special class of partnership interests in the Operating Partnership) and other awards based on PMT’s common shares that may be made by the Company to its officers and trustees, and the members, officers, trustees, directors and employees of PCM, PFSI, or their affiliates and to PCM, PFSI and other entities that provide services to PMT and the employees of such other entities. The equity incentive plan is administered by the Company’s compensation committee, pursuant to authority delegated by the board of trustees, which has the authority to make awards to the eligible participants referenced above, and to determine what form the awards will take, and the terms and conditions of the awards. The Company’s equity incentive plan allows for grants of share-based awards up to an aggregate of 8% of PMT’s issued and outstanding shares on a diluted basis at the time of the award. The shares underlying award grants will again be available for award under the equity incentive plan if: • any shares subject to an award granted under the equity incentive plan are forfeited, canceled, exchanged or surrendered; • an award terminates or expires without a distribution of shares to the participant; or • shares are surrendered or withheld by PMT as payment of either the exercise price of an award and/or withholding taxes for an award. Restricted share units have been awarded to trustees and officers of the Company and to other employees of PFSI and its subsidiaries at no cost to the grantees. Such awards generally vest over a one- to three-year period. The following table summarizes the Company’s share-based compensation activity: Year ended December 31, 2018 2017 2016 (in thousands) Grants: Restricted share units 129 136 218 Performance share units 116 126 112 Total share units granted 245 262 330 Grant date fair value: Restricted share units granted $ 2,281 $ 2,316 $ 2,690 Performance share units granted 1,542 1,675 1,351 Total fair value of share units granted $ 3,823 $ 3,991 $ 4,041 Vestings: Restricted share units 261 284 299 Performance share units 27 — — Total share units vested 288 284 299 Forfeitures: Restricted share units 2 13 — Performance share units — — — Total share units forfeited 2 13 — Compensation expense relating to share-based grants $ 5,318 $ 4,904 $ 5,748 December 31, 2018 Restricted share units Performance share units Shares expected to vest: Number of units (in thousands) 360 237 Grant date fair value per unit $ 17.69 $ 11.21 Average remaining vesting period (months) 8 9 |
Other Expenses
Other Expenses | 12 Months Ended |
Dec. 31, 2018 | |
Other Income And Expenses [Abstract] | |
Other Expenses | Note 26—Other Expenses Other expenses are summarized below: Year ended December 31, 2018 2017 2016 (in thousands) Common overhead allocation from PFSI $ 4,640 $ 5,306 $ 7,898 Safekeeping 1,805 2,918 2,675 Bank service charges 1,522 2,150 842 Technology 1,408 1,479 1,448 Insurance 1,193 1,150 1,326 Other 825 1,197 823 $ 11,393 $ 14,200 $ 15,012 |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2018 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Note 27—Income Taxes The Company has elected to be taxed as a REIT for U.S. federal income tax purposes under Sections 856 through 860 of the Internal Revenue Code. Therefore, PMT generally will not be subject to corporate federal or state income tax to the extent that qualifying distributions are made to shareholders and the Company meets the REIT requirements including the asset, income, distribution and share ownership tests. The Company believes that it has met the distribution requirements, as it has declared dividends sufficient to distribute substantially all of its taxable income. Taxable income will generally differ from net income. The primary differences between net income and the REIT taxable income (before deduction for qualifying distributions) are the taxable income of the TRS and the method of determining the income or loss related to valuation of the mortgage loans owned by the qualified REIT subsidiary. 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 Tax Cuts and Jobs Act (the “Tax Act”) (subject to certain limitations) provides a 20% deduction from taxable income for ordinary REIT dividends. The approximate tax characterization of the Company’s distributions is as follows: Year ended December 31, Ordinary income Long term capital gain Return of capital 2018 49 % 0 % 51 % 2017 71 % 29 % 0 % 2016 60 % 40 % 0 % The Company has elected to treat its subsidiary, PMC, as a TRS. Income from a TRS is only included as a component of REIT taxable income to the extent that the TRS makes dividend distributions of income to the Company. Before 2017, the TRS had made no such distributions to the Company. In 2017, the TRS made a $20 million distribution that resulted in dividend income to the Company. A TRS is subject to corporate federal and state income tax. Accordingly, a provision for income taxes for PMC is included in the consolidated statements of income. The following table details the Company’s provision for (benefit from) income taxes which relates primarily to the TRS for the years presented: Year ended December 31, 2018 2017 2016 (in thousands) Current expense: Federal $ 19 $ 251 $ 361 State 6 57 81 Total current expense 25 308 442 Deferred expense (benefit): Federal 7,587 3,824 (8,790 ) State (2,422 ) 2,665 (5,699 ) Total deferred expense (benefit) 5,165 6,489 (14,489 ) Total provision for (benefit from) income taxes $ 5,190 $ 6,797 $ (14,047 ) The following table is a reconciliation of the Company’s provision for (benefit from) income taxes at statutory rates to the provision for (benefit from) income taxes at the Company’s effective rate for the years presented: Year ended December 31, 2018 2017 2016 Amount Rate Amount Rate Amount Rate (dollars in thousands) Federal income tax expense at statutory tax rate $ 33,177 21.0 % $ 43,591 35.0 % $ 21,617 35.0 % Effect of non-taxable REIT income (26,647 ) (16.9 )% (25,754 ) (20.7 )% (32,501 ) (52.6 )% State income taxes, net of federal benefit (2,044 ) (1.3 )% 1,687 1.4 % (3,652 ) (5.9 )% Effect of federal statutory rate change — 0 % (12,992 ) (10.4 )% — 0 % Other 704 0.4 % 265 0.2 % 489 0.8 % Valuation allowance — 0 % — 0 % — 0 % Provision for (benefit from) income taxes $ 5,190 3.3 % $ 6,797 5.5 % $ (14,047 ) (22.7 )% The Company’s tax expense for the year ended December 31, 2017 was significantly impacted by the enactment of the Tax Act on December 22, 2017. The Tax Act reduces the U.S. federal corporate tax rate to 21% from the previous maximum rate of 35%, effective January 1, 2018. GAAP requires that the impact of tax legislation be recognized in the period in which the law was enacted. In 2017, the Company recorded a tax benefit of $13.0 million due to a re-measurement of deferred tax assets and liabilities of the TRS resulting from the decrease in the federal tax rate. The re-measurement of the deferred tax assets and liabilities is predominantly based on the reduction to the Federal rate as described above, which will result in lower tax expense when these deferred tax assets and liabilities are realized. The Company’s components of the provision for (benefit from) deferred income taxes are as follows: Year ended December 31, 2018 2017 2016 (in thousands) Real estate valuation loss $ 1,565 $ 3,476 $ 2,732 Mortgage servicing rights 4,797 15,516 10,597 Net operating loss carryforward (1,109 ) 4,333 (19,863 ) Liability for losses under representations and warranties 405 2,652 2,222 Excess interest expense disallowance 234 (7,304 ) (8,721 ) Effect of federal statutory rate change — (12,992 ) — Other (727 ) 808 (1,456 ) Valuation allowance — — — Total provision for (benefit from) deferred income taxes $ 5,165 $ 6,489 $ (14,489 ) The components of income taxes payable are as follows: December 31, 2018 December 31, 2017 (in thousands) Taxes currently (receivable) payable $ (1,160 ) $ 148 Deferred income taxes payable 37,686 27,169 Income taxes payable $ 36,526 $ 27,317 The tax effects of temporary differences that gave rise to deferred income tax assets and liabilities are presented below: December 31, 2018 December 31, 2017 (in thousands) Deferred income tax assets: Net operating loss carryforward $ 40,896 $ 39,788 Excess interest expense disallowance 19,901 20,135 REO valuation loss 2,578 4,143 Liability for losses under representations and warranties 2,011 2,416 Other 1,576 848 Gross deferred tax assets 66,962 67,330 Deferred income tax liabilities: Mortgage servicing rights 104,648 94,499 Other — — Gross deferred tax liabilities 104,648 94,499 Net deferred income tax liability $ 37,686 $ 27,169 The net deferred income tax liability is included in Income taxes payable The Company has net operating loss carryforwards of $136.8 million and $131.5 million at December 31, 2018 and December 31, 2017, respectively. Losses that occurred prior to 2018 expire between 2033 and 2036. Net operating losses arising in tax years beginning after December 31, 2017 can be carried forward indefinitely but are limited to 80% of taxable income. At December 31, 2018 and December 31, 2017, the Company had no unrecognized tax benefits and does not anticipate any increase in unrecognized tax benefits. Should the accrual of any interest or penalties relative to unrecognized tax benefits be necessary, it is the Company’s policy to record such accruals in the Company’s income tax accounts. No such accruals existed at December 31, 2018 and December 31, 2017. The Company files U.S. federal and state income tax returns for both the REIT and the TRS. These federal income tax returns for 2015 and forward are subject to examination. The Company’s state income tax returns are generally subject to examination for 2014 and forward. The TRS’s New York state income tax returns for tax years 2013 through 2015 were examined and accepted as filed with no changes. |
Earnings Per Share
Earnings Per Share | 12 Months Ended |
Dec. 31, 2018 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Note 28—Earnings Per Share The Company grants restricted share units which entitle the recipients to receive dividend equivalents during the vesting period on a basis equivalent to the dividends paid to holders of common shares. Unvested share-based compensation awards containing non-forfeitable rights to receive dividends or dividend equivalents (collectively, “dividends”) are classified as “participating securities” and are included in the basic earnings per share calculation using the two-class method. Under the two-class method, all earnings (distributed and undistributed) are allocated to common shares and participating securities, based on their respective rights to receive dividends. Basic earnings per share is determined by dividing net income 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: Year ended December 31, 2018 2017 2016 (in thousands except per share amounts) Net income $ 152,798 $ 117,749 $ 75,810 Dividends on preferred shares (24,938 ) (15,267 ) — Effect of participating securities—share-based compensation awards (750 ) (991 ) (1,333 ) Net income attributable to common shareholders $ 127,110 $ 101,491 $ 74,477 Net income attributable to common shareholders $ 127,110 $ 101,491 $ 74,477 Interest on Exchangeable Notes, net of income taxes 10,637 8,757 8,719 Diluted net income attributable to common shareholders $ 137,747 $ 110,248 $ 83,196 Weighted average basic shares outstanding 60,898 66,144 68,642 Dilutive securities: Shares issuable pursuant to exchange of the Exchangeable Notes 8,467 8,467 8,467 Diluted weighted average number of shares outstanding 69,365 74,611 77,109 Basic earnings per share $ 2.09 $ 1.53 $ 1.09 Diluted earnings per share $ 1.99 $ 1.48 $ 1.08 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: Year ended December 31, 2018 2017 2016 (in thousands) Shares issuable under share-based compensation plan 252 157 701 |
Segments
Segments | 12 Months Ended |
Dec. 31, 2018 | |
Segment Reporting [Abstract] | |
Segments | Note 29—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. • The credit sensitive strategies segment represents the Company’s investments in CRT Agreements, firm commitment to purchase CRT securities, distressed mortgage loans, REO, real estate held for investment and non-Agency subordinated bonds. • 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. Segment results for the year ended December 31, 2016 have been restated to conform prior year presentation to the new segment composition. Financial highlights by operating segment are summarized below: Credit Interest rate Correspondent sensitive sensitive Year ended December 31, 2018 production strategies strategies Corporate Total (in thousands) Net investment income: Net mortgage loan servicing fees $ — $ 29 $ 120,558 $ — $ 120,587 Net gain on mortgage loans acquired for sale 28,445 30,740 — — 59,185 Net gain (loss) on investments — 84,943 (3,017 ) — 81,926 Net interest income (expense): Interest income 75,068 37,786 108,366 1,552 222,772 Interest expense (41,354 ) (41,523 ) (92,294 ) — (175,171 ) 33,714 (3,737 ) 16,072 1,552 47,601 Other income (loss) 43,447 (1,704 ) — 25 41,768 105,606 110,271 133,613 1,577 351,067 Expenses: Mortgage loan fulfillment and servicing fees payable to PFSI 81,350 7,561 34,484 — 123,395 Management fees — — — 24,465 24,465 Other 7,784 15,459 697 21,279 45,219 89,134 23,020 35,181 45,744 193,079 Pre-tax income (loss) $ 16,472 $ 87,251 $ 98,432 $ (44,167 ) $ 157,988 Total assets at year end $ 1,698,656 $ 1,602,776 $ 4,373,488 $ 138,441 $ 7,813,361 Credit Interest rate Correspondent sensitive sensitive Year ended December 31, 2017 production strategies strategies Corporate Total (in thousands) Net investment income: Net mortgage loan servicing fees $ — $ 134 $ 69,106 $ — $ 69,240 Net gain on mortgage loans acquired for sale 74,308 208 — — 74,516 Net gain (loss) on investments — 123,774 (27,390 ) — 96,384 Net interest income: Interest income 52,522 69,008 72,870 776 195,176 Interest expense (35,128 ) (53,434 ) (62,809 ) — (151,371 ) 17,394 15,574 10,061 776 43,805 Other income (loss) 40,279 (6,290 ) — 6 33,995 131,981 133,400 51,777 782 317,940 Expenses: Mortgage loan fulfillment and servicing fees payable to PFSI 80,366 15,611 27,446 — 123,423 Management fees — — — 22,584 22,584 Other 8,677 15,575 1,648 21,487 47,387 89,043 31,186 29,094 44,071 193,394 Pre-tax income (loss) $ 42,938 $ 102,214 $ 22,683 $ (43,289 ) $ 124,546 Total assets at year end $ 1,302,245 $ 1,791,447 $ 2,414,423 $ 96,818 $ 5,604,933 Credit Interest rate Correspondent sensitive sensitive Year ended December 31, 2016 production strategies strategies Corporate Total (in thousands) Net investment income: Net mortgage loan servicing fees $ — $ 6 $ 54,783 — $ 54,789 Net gain (loss) on mortgage loans acquired for sale 107,126 (684 ) — — 106,442 Net gain (loss) on investments — 30,418 (23,243 ) — 7,175 Net interest income: Interest income 53,943 109,986 57,542 651 222,122 Interest expense (34,630 ) (62,707 ) (52,431 ) — (149,768 ) 19,313 47,279 5,111 651 72,354 Other income (loss) 42,091 (10,763 ) — — 31,328 168,530 66,256 36,651 651 272,088 Expenses: Mortgage loan fulfillment and servicing fees payable to PFSI 86,488 29,601 20,991 — 137,080 Management fees — — — 20,657 20,657 Other 8,200 19,367 1,619 23,402 52,588 94,688 48,968 22,610 44,059 210,325 Pre-tax income (loss) $ 73,842 $ 17,288 $ 14,041 $ (43,408 ) $ 61,763 Total assets at year end $ 1,734,290 $ 2,288,886 $ 2,177,024 $ 157,302 $ 6,357,502 |
Selected Quarterly Results
Selected Quarterly Results | 12 Months Ended |
Dec. 31, 2018 | |
Quarterly Financial Information Disclosure [Abstract] | |
Selected Quarterly Results | Note 30—Selected Quarterly Results (Unaudited) Following is a presentation of selected quarterly financial data: Quarter ended 2018 2017 Dec. 31 Sept. 30 June 30 Mar. 31 Dec. 31 Sept. 30 June 30 Mar. 31 (dollars in thousands, except per share data) Net investment income $ 83,902 $ 108,501 $ 82,991 $ 75,673 $ 93,703 $ 75,804 $ 83,959 $ 64,474 Net income $ 41,625 $ 46,562 $ 36,425 $ 28,186 $ 40,838 $ 19,395 $ 28,780 $ 28,737 Earnings per share: Basic $ 0.58 $ 0.66 $ 0.49 $ 0.36 $ 0.53 $ 0.20 $ 0.39 $ 0.42 Diluted $ 0.55 $ 0.62 $ 0.47 $ 0.35 $ 0.50 $ 0.20 $ 0.38 $ 0.40 Cash dividends declared per share $ 0.47 $ 0.47 $ 0.47 $ 0.47 $ 0.47 $ 0.47 $ 0.47 $ 0.47 At quarter end: Mortgage-backed securities $ 2,610,422 $ 2,126,507 $ 1,698,322 $ 1,436,456 $ 989,461 $ 1,036,669 $ 1,065,540 $ 1,089,610 Mortgage loans (1) 2,052,262 2,582,600 2,539,963 1,895,023 2,358,988 2,618,283 2,846,415 2,861,797 Excess servicing spread 216,110 223,275 229,470 236,002 236,534 248,763 261,796 277,484 Derivative assets 167,165 143,577 133,239 122,518 113,881 67,288 73,875 41,213 Real estate (2) 128,791 141,576 155,702 187,296 207,089 227,580 247,350 260,368 Deposits securing credit risk transfer agreements 1,146,501 662,624 651,204 622,330 588,867 545,694 503,108 463,836 Mortgage servicing rights 1,162,369 1,109,741 1,010,507 957,013 844,781 790,335 734,800 696,970 Other assets 329,741 277,678 258,442 333,848 265,332 250,431 277,360 311,668 Total assets $ 7,813,361 $ 7,267,578 $ 6,676,849 $ 5,790,486 $ 5,604,933 $ 5,785,043 $ 6,010,244 $ 6,002,946 Short-term debt $ 5,081,691 $ 4,452,670 $ 3,630,843 $ 3,366,181 $ 3,269,462 $ 3,475,552 $ 3,846,324 $ 3,634,396 Long-term debt 1,011,433 1,086,841 1,363,886 737,289 661,715 571,696 582,665 780,180 Other liabilities 154,105 169,504 136,633 144,758 129,171 127,230 126,423 129,780 Total liabilities 6,247,229 5,709,015 5,131,362 4,248,228 4,060,348 4,174,478 4,555,412 4,544,356 Shareholders’ equity 1,566,132 1,558,563 1,545,487 1,542,258 1,544,585 1,610,565 1,454,832 1,458,590 Total liabilities and shareholders’ equity $ 7,813,361 $ 7,267,578 $ 6,676,849 $ 5,790,486 $ 5,604,933 $ 5,785,043 $ 6,010,244 $ 6,002,946 (1) Includes mortgage loans acquired for sale at fair value and mortgage loans at fair value. (2) Includes REO and real estate held for investment. |
Supplemental Cash Flow Informat
Supplemental Cash Flow Information | 12 Months Ended |
Dec. 31, 2018 | |
Supplemental Cash Flow Elements [Abstract] | |
Supplemental Cash Flow Information | Note 31—Supplemental Cash Flow Information Year ended December 31, 2018 2017 2016 (in thousands) Payments: Income tax (refunds), net $ 1,333 $ (2,354 ) $ 1,294 Interest $ 170,435 $ 152,441 $ 157,686 Cumulative effect on accumulated deficit of conversion to fair value accounting for mortgage servicing rights $ (14,361 ) $ — $ — Non-cash investing activities: Transfer of mortgage loans and advances to real estate acquired in settlement of loans $ 32,578 $ 87,202 $ 207,431 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment $ 5,183 $ 16,530 $ 21,406 Transfer of real estate acquired in settlement of mortgage loans from real estate held for investment $ 3,401 $ — $ — Receipt of mortgage servicing rights as proceeds from sales of mortgage loans $ 356,755 $ 290,309 $ 275,092 Receipt of excess servicing spread pursuant to recapture agreement with PennyMac Financial Services, Inc. $ 2,688 $ 5,244 $ 6,603 Capitalization of servicing advances pursuant to mortgage loan modifications $ 5,481 $ 18,923 $ — Non-cash financing activities: Dividends declared, not paid $ 28,816 $ 29,145 $ 31,655 |
Regulatory Capital and Liquidit
Regulatory Capital and Liquidity Requirements | 12 Months Ended |
Dec. 31, 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 (dollars in thousands) December 31, 2018 $ 528,506 $ 238,915 11 % 6 % $ 58,144 $ 31,678 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. |
Parent Company Information
Parent Company Information | 12 Months Ended |
Dec. 31, 2018 | |
Condensed Financial Information Of Parent Company Only Disclosure [Abstract] | |
Parent Company Information | Note 33—Parent Company Information The Company’s debt financing agreements require PMT and certain of its subsidiaries to comply with financial covenants that include a minimum tangible net worth as summarized below: December 31, 2018 Company consolidated Debt covenant requirement Calculated balance (1) (in thousands) PennyMac Mortgage Investment Trust $ 860,000 $ 1,566,132 Operating Partnership $ 860,000 $ 1,598,784 PennyMac Holdings $ 250,000 $ 598,826 PennyMac Corp $ 150,000 $ 526,935 (1) Calculated in accordance with the lenders’ requirements. The Company’s subsidiaries are limited from transferring funds to the Parent by these minimum tangible net worth requirements. PENNYMAC MORTGAGE INVESTMENT TRUST CONDENSED BALANCE SHEETS Following are condensed parent-only financial statements for the Company: December 31, 2018 2017 (in thousands) Assets Short-term investment $ 714 $ 1,873 Investments in subsidiaries 1,599,298 1,651,419 Due from subsidiaries 86 2 Other assets 647 589 Total assets $ 1,600,745 $ 1,653,883 Liabilities Dividends payable $ 28,680 $ 28,949 Accounts payable and accrued liabilities 2,338 5,657 Capital notes due to subsidiaries — 69,200 Due to affiliates 888 1,073 Due to subsidiaries 27 3 Total liabilities 31,933 104,882 Shareholders' equity 1,568,812 1,549,001 Total liabilities and shareholders' equity $ 1,600,745 $ 1,653,883 PENNYMAC MORTGAGE INVESTMENT TRUST CONDENSED STATEMENTS OF INCOME Year ended December 31, 2018 2017 2016 (in thousands) Income Dividends from subsidiaries $ 221,469 $ 177,571 $ 230,091 Intercompany interest 8 7 6 Other 1,250 1,256 1,250 Total income 222,727 178,834 231,347 Expenses Intercompany interest 414 378 1,382 Other — — (114 ) Total expenses 414 378 1,268 Income before provision for income taxes and equity in undistributed earnings in subsidiaries 222,313 178,456 230,079 Provision for income taxes 24 308 442 Income before equity in undistributed earnings of subsidiaries 222,289 178,148 229,637 Equity in distributions in excess of earnings of subsidiaries (71,180 ) (60,655 ) (155,093 ) Net income $ 151,109 $ 117,493 $ 74,544 PENNYMAC MORTGAGE INVESTMENT TRUST CONDENSED STATEMENTS OF CASH FLOWS Year ended December 31, 2018 2017 2016 (in thousands) Cash flows from operating activities: Net income $ 151,109 $ 117,493 $ 74,544 Equity in distributions in excess of earnings of subsidiaries 71,180 60,655 155,093 Decrease in due from affiliates 490 620 693 (Increase) decrease in other assets (58 ) 21 196 (Decrease) increase in accounts payable and accrued liabilities (3,320 ) 2,892 93 Increase in due from affiliates (185 ) (58 ) (116 ) Increase (decrease) due to affiliates 84 35 (174 ) Net cash provided by operating activities 219,300 181,658 230,329 Cash flows from investing activities: Increase in investment in subsidiaries — (299,919 ) — Net decrease (increase) in short-term investments 1,159 (838 ) 1,571 Net cash provided by (used in) investing activities 1,159 (300,757 ) 1,571 Cash flows from financing activities: Net (decrease) increase in intercompany unsecured note payable (69,200 ) 50,791 (1,970 ) Issuance of preferred shares — 310,000 — Payment of issuance costs related to preferred shares — (10,293 ) — Payment of dividends to preferred shareholders (24,944 ) (14,066 ) — Payment of dividends to common shareholders (115,596 ) (126,135 ) (131,560 ) Repurchases of common shares (10,719 ) (91,198 ) (98,370 ) Net cash (used in) provided by financing activities (220,459 ) 119,099 (231,900 ) Net change in cash — — — Cash and restricted cash at beginning of year — — — Cash and restricted cash at end of year $ — $ — $ — Non-cash financing activity — dividends payable $ 28,816 $ 29,145 $ 31,655 |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2018 | |
Subsequent Events [Abstract] | |
Subsequent Events | Note 34—Subsequent Events Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period: • On February 11, 2019, the Company, the Operating Partnership, and the Manager entered into a Purchase Agreement (the “Purchase Agreement”) with Credit Suisse Securities (USA) LLC, Deutsche Bank Securities Inc., Merrill Lynch, Pierce, Fenner & Smith Incorporated, Morgan Stanley & Co. LLC and Goldman Sachs & Co. LLC (each, an “Underwriter” and collectively, the “Underwriters”), relating to the issuance and sale by the Company, and the purchase by the Underwriters, severally, of 7,000,000 common shares of beneficial interest, par value $0.01 per share at a purchase price of $20.41 per share (before expenses). |
Significant Accounting Polici_2
Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2018 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Segment Reporting | PennyMac Mortgage Investment Trust (“PMT” or 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”). Almost all 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 arrangements, including credit risk transfer agreements (“CRT Agreements”) and CRT securities, 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 | Basis of Presentation The Company’s consolidated financial statements have been prepared in compliance with accounting principles generally accepted in the United States (“GAAP”) as codified in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification |
Use of Estimates | Use of Estimates Preparation of financial statements in compliance with GAAP requires the Manager to make estimates and judgments that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements, and revenues and expenses during the reporting period. Actual results will likely differ from those estimates. |
Consolidation | Consolidation The consolidated financial statements include the accounts of PMT and all wholly-owned subsidiaries. PMT has no significant equity method or cost-basis investments. Intercompany accounts and transactions are eliminated upon consolidation. The Company also consolidates assets and liabilities included in a securitization transaction, and, previously, CRT Agreements as discussed below. Variable Interest Entities The Company enters into various types of on- and off-balance sheet transactions with special purpose entities (“SPEs”), which are trusts that are established for a limited purpose. Generally, SPEs are formed in connection with securitization transactions. In a securitization transaction, the Company transfers assets on its balance sheet to an SPE, which then issues various forms of beneficial interests in those assets to investors. In a securitization transaction, the Company typically receives a combination of cash and beneficial interests in the SPE in exchange for the assets transferred by the Company. SPEs are generally Variable Interest Entities (“VIEs”). A VIE is an entity having either a total equity investment at risk that is insufficient to finance its activities without additional subordinated financial support or whose equity investors at risk lack the ability to control the entity’s activities. Variable interests are investments or other interests that will absorb portions of a VIE’s expected losses or receive portions of the VIE’s expected residual returns. Expected residual returns represent the expected positive variability in the fair value of a VIE’s net assets. PMT consolidates the assets and liabilities of VIEs of which the Company is the primary beneficiary. The primary beneficiary is the party that has both the power to direct the activities that most significantly impact the VIE and holds a variable interest that could potentially be significant to the VIE. To determine whether a variable interest the Company holds could potentially be significant to the VIE, the Company considers both qualitative and quantitative factors regarding the nature, size and form of its involvement with the VIE. The Company assesses whether it is the primary beneficiary of a VIE on an ongoing basis. The Company evaluates the securitization trust into which assets are transferred to determine whether the entity is a VIE and whether the Company is the primary beneficiary and therefore is required to consolidate the securitization trust. Jumbo Mortgage Loan Securitization Transaction On September 30, 2013, the Company completed a securitization transaction in which PMT Loan Trust 2013-J1, a VIE, issued $537.0 million in unpaid principal balance (“UPB”) of certificates backed by fixed-rate prime jumbo mortgage loans at a 3.9% weighted cost. The asset-backed securities issued by the VIE are backed by the expected cash flows from the underlying fixed-rate prime jumbo mortgage loans. Cash inflows from these fixed-rate prime jumbo mortgage loans are distributed to investors and service providers in accordance with the contractual priority of payments and, as such, most of these inflows must be directed first to service and repay the senior certificates. After the senior certificates are settled, substantially all cash inflows will be directed to the subordinated certificates until fully repaid and, thereafter, to the residual interest in the trust that the Company owns. The Company retains beneficial interests in the securitization transaction, including subordinated certificates and residual interests issued by the VIE. The Company retains credit risk in the securitization because the Company’s beneficial interests include the most subordinated interests in the securitized assets, which are the first to absorb credit losses on those assets. The Manager expects that any credit losses in the pools of securitized assets will likely be limited to the Company’s subordinated and residual interests. The Company has no obligation to repurchase or replace securitized assets that subsequently become delinquent or are otherwise in default other than pursuant to breaches of representations and warranties. The VIE is consolidated by the Company as the Manager determined that PMT is the primary beneficiary of the VIE. The Manager concluded that the Company is the primary beneficiary of the VIE as it has the power, through its affiliate, PLS, in its role as servicer of the mortgage loans, to direct the activities of the trust that most significantly impact the trust’s economic performance and the retained subordinated and residual interest trust certificates expose the Company to losses and returns that could potentially be significant to the VIE. For financial reporting purposes, the mortgage loans owned by the consolidated VIE are included in Mortgage loans at fair value Asset-backed financing of a variable interest entity The Company recognizes the interest income earned on the mortgage loans owned by the VIE and the interest expense attributable to the asset-backed securities issued to nonaffiliates by the VIE on its consolidated income statements. Credit Risk Transfer The Company, through its wholly-owned subsidiary, PennyMac Corp. (“PMC”), entered into CRT Agreements with Fannie Mae, pursuant to which PMC, through subsidiary trust entities, sold pools of mortgage loans into Fannie Mae-guaranteed loan securitizations while retaining Recourse Obligations in addition to IO ownership interests in such mortgage loans. The mortgage loans subject to the CRT Agreements were transferred by PMC to subsidiary trust entities which sold the mortgage loans into Fannie Mae mortgage loan securitizations. Transfers of mortgage loans subject to CRT Agreements received sale accounting treatment. The Manager has concluded that the Company’s subsidiary trust entities are VIEs and the Company is the primary beneficiary of the VIEs as it is the holder of the primary beneficial interests which absorb the variability of the trusts’ results of operations. Consolidation of the VIEs results in the inclusion on the Company’s consolidated balance sheet of the fair value of the Recourse Obligations, and retained IO ownership interests in the form of derivative assets, and the deposits pledged to fulfill the Recourse Obligations and an interest only security payable at fair value. The deposits 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 the derivatives related to CRT Agreements are included in Net gain on investments |
Fair Value | Fair Value These 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 them at fair value. PMT groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the inputs used to determine fair value. These levels are: • Level 1—Quoted prices in active markets for identical assets or liabilities. • Level 2—Prices determined or determinable using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing an asset or liability and are developed based on market data obtained from sources independent of the Company. • Level 3—Prices determined using significant unobservable inputs. In situations where significant observable inputs are unavailable, unobservable inputs may be used. Unobservable inputs reflect the Company’s own judgments about the factors that market participants use in pricing an asset or liability, and are based on the best information available in the circumstances. As a result of the difficulty in observing certain significant valuation inputs affecting “Level 3” fair value assets and liabilities, the Manager is required to make judgments regarding these items’ fair values. Different persons in possession of the same facts may reasonably arrive at different conclusions as to the inputs to be applied in valuing these financial statement items and their fair values. 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. The Manager reclassifies its assets and liabilities between levels of the fair value hierarchy when the inputs required to establish fair value at a level of the fair value hierarchy are no longer readily available, requiring the use of lower-level inputs, or when the inputs required to establish fair value at a higher level of the hierarchy become available. |
Short-Term Investments | Short-Term Investments Short-term investments are carried at fair value with changes in fair value recognized in current period income. Short-term investments represent deposit accounts. The Company categorizes its short-term investments as “Level 1” fair value assets. |
Mortgage-Backed Securities | Mortgage-Backed Securities Purchases and sales of MBS are recorded as of the trade date. The Company’s investments in MBS are carried at fair value with changes in fair value recognized in current period income. Changes in fair value arising from amortization of purchase premiums and accrual of unearned discounts are recognized using the interest method and are included in Interest income. Net gain (loss) on investments. Interest Income Recognition Interest income on MBS is recognized over the life of the security using the interest method. The Manager estimates, at the time of purchase, the future expected cash flows and determines the effective interest rate based on the estimated cash flows and the security’s purchase price. The Manager updates its cash flow estimates monthly. |
Mortgage Loans | Mortgage Loans Mortgage loans are carried at their fair values. Changes in the fair value of mortgage loans are recognized in current period income. Changes in fair value, other than changes in fair value attributable to accrual of unearned discounts and amortization of purchase premiums, are included in Net gain (loss) on investments Net gain on mortgage loans acquired for sale Interest income Sale Recognition The Company purchases from and sells mortgage loans into the secondary mortgage market without recourse for credit losses. However, the Company maintains continuing involvement with the mortgage loans in the form of servicing arrangements and the liability under the representations and warranties it makes to purchasers and insurers of the mortgage loans. The Company recognizes transfers of mortgage loans as sales based on whether the transfer is made to a VIE: • For mortgage loans that are not transferred to a VIE, the Company recognizes the transfer as a sale when it surrenders control over the mortgage loans. Control over transferred mortgage loans is deemed to be surrendered when (i) the mortgage loans have been isolated from the Company, (ii) the transferee has the right (free of conditions that constrain it from taking advantage of that right) to pledge or exchange the transferred mortgage loans, and (iii) the Company does not maintain effective control over the transferred mortgage loans through either (a) an agreement that entitles and obligates the Company to repurchase or redeem them before their maturity or (b) the ability to unilaterally cause the holder to return specific mortgage loans. • For mortgage loans that are transferred to a VIE, the Company recognizes the transfer as a sale when the Manager determines that the Company is not the primary beneficiary of the VIE, as the Company would not both have the power to direct the activities that will have the most significant economic impact on the VIE and/or would not hold a variable interest that could potentially be significant to the VIE. Interest Income Recognition The Company has the ability but not the intent to hold mortgage loans acquired for sale and mortgage loans at fair value other than mortgage loans held in a VIE for the foreseeable future. Therefore, interest income on mortgage loans acquired for sale and mortgage loans at fair value other than mortgage loans held in a VIE is recognized over the life of the loans using their contractual interest rates. The Company has both the ability and intent to hold mortgage loans held in a VIE for the foreseeable future. Therefore, interest income on mortgage loans held in a variable interest entity is recognized over the estimated remaining life of the mortgage loans using the interest method. Unearned discounts and purchase premiums are accrued and amortized to interest income using the effective interest rate inherent in the estimated cash flows from the mortgage loans. Income recognition is suspended and the accrued unpaid interest receivable is reversed against interest income when mortgage loans become 90 days delinquent, or when, in the Manager’s opinion, a full recovery of income and principal becomes doubtful. Income recognition is resumed when the loan becomes contractually current. |
Excess Servicing Spread | Excess Servicing Spread The Company has acquired the right to receive the ESS related to certain of the MSRs owned by PFSI. ESS is carried at its fair value. Changes in fair value resulting from changes in market yield requirements are recognized in current period income in Net gain (loss) on investments Interest Income Recognition Interest income for ESS is accrued using the interest method, based upon the expected yield from the ESS through the expected life of the underlying mortgages. Changes to the expected interest yield result in a change in fair value which is recorded in Interest income |
Derivative Financial Instruments | Derivative Financial Instruments The Company holds and issues derivative financial instruments in connection with its operating and interest rate risk management 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 that were created when the Company retained Recourse Obligations relating to certain mortgage loans it sold into Fannie Mae guaranteed securitizations, IO ownership interests in such mortgage loans and interest-only securities payable relating to the issuance of such instruments to nonaffiliates; and • Derivatives that are created when the Company finances mortgage loans approved as satisfying certain consumer credit relief characteristics under a master repurchase agreement that entitles the Company to receive interest expense offsets when it finances mortgage loans under the master repurchase agreement. The master repurchase agreement is subject to a rolling six-month term through August 21, 2019, unless terminated earlier at the option of the lender. The Company expects that it will cease to accrue the incentives under the repurchase agreement beginning in the second quarter of 2019. 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 either the prospective purchase transaction is cancelled or the time the purchased mortgage loan is sold. The Company is exposed to loss if market mortgage interest rates increase, because such 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 and ESS if market mortgage interest rates decrease, because such interest rate decreases generally encourage mortgage refinancing activity, which reduces the expected life of the mortgage loans underlying the MSRs and ESS, causing the fair value of MSRs and ESS 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 mortgage 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, ESS and MBS financing. The Company accounts for its derivative financial instruments as free-standing derivatives. The Company does not designate its derivative financial instruments for hedge accounting. All derivative financial instruments are recognized on the balance sheet at fair value with changes in fair value being reported in current period income. The fair value of the Company’s derivative financial instruments is included in Derivative assets Derivative liabilities Net mortgage loan servicing fees from nonaffiliates Net gain on mortgage loans acquired for sale Net gain (loss) on investments, Interest expense, Cash flows from investing activities Cash flows from operating activities Sale to nonaffiliates and repayment of mortgage loans acquired for sale at fair value Cash flows from operating activities When the Company has master netting agreements with its derivatives counterparties, the Company nets its counterparty positions along with any cash collateral received from or delivered to the counterparty. Exchange-traded hedging derivatives are classified as “Level 1” fair value financial assets and liabilities. Hedging derivatives whose fair values are derived from observed MBS market interest rates and volatilities are classified as “Level 2” fair value assets and liabilities. IRLCs, CRT Agreements and derivatives embedded in a master repurchase agreement are classified as “Level 3” fair value assets and liabilities. |
Firm Commitment to Purchase Credit Risk Transfer Securities | Firm Commitment to Purchase Credit Risk Transfer Securities The Company carries its firm commitment to purchase CRT securities at fair value. The firm commitment to purchase CRT securities is recognized initially as a component of Net gain on mortgage loans acquired for sale Net gain (loss) on investments |
Real Estate Acquired in Settlement of Loans | Real Estate Acquired in Settlement of Loans REO is measured at the lower of the acquisition cost of the property (as measured by purchase price in the case of purchased REO; or the fair value of the mortgage loan immediately before REO acquisition in the case of acquisition in settlement of a mortgage loan) or its fair value reduced by estimated costs to sell. Changes in fair value to levels that are less than or equal to acquisition cost and gains or losses on sale of REO are recognized in the consolidated statements of income under the caption Results of real estate acquired in settlement of loans |
Mortgage Servicing Rights | Mortgage Servicing Rights MSRs arise from contractual agreements between the Company and investors (or their agents) in mortgage securities and mortgage loans. Under these contracts, the Company is obligated to provide mortgage loan servicing functions in exchange for fees and other remuneration. The servicing functions typically performed include, among other responsibilities, collecting and remitting mortgage loan payments; responding to borrower inquiries; accounting for principal and interest, holding custodial (impound) funds for payment of property taxes and insurance premiums; counseling delinquent mortgagors; and supervising the acquisition and disposition of REO. The Company has engaged PFSI to provide these services on its behalf. The Company recognizes MSRs initially at their fair values, either as proceeds from sales of mortgage loans where the Company assumes the obligation to service the mortgage loan in the sale transaction, or from the purchase of MSRs. The Company categorizes its MSRs as “Level 3” fair value assets. The fair value of MSRs is derived from the net positive cash flows associated with the servicing contracts. The Company receives a servicing fee of generally 0.25% annually on the remaining outstanding principal balances of conventional mortgage loans. The Company generally receives other remuneration including rights to various mortgagor-contracted fees such as late charges and collateral reconveyance charges and the Company is generally entitled to retain any interest earned on funds held pending remittance of mortgagor principal, interest, tax and insurance payments. Through December 31, 2017, the Company accounted for MSRs at either the asset’s fair value with changes in fair value recorded in current period earnings or using the amortization method with the MSRs carried at the lower of amortized cost or fair value based on the class of MSR. The Company identified two classes of MSRs: originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5%; and originated MSRs backed by mortgage loans with initial interest rates of more than 4.5%. Originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5% were accounted for using the amortization method. Originated MSRs backed by loans with initial interest rates of more than 4.5% were accounted for at fair value with changes in fair value recorded in current period income. MSRs Accounted for at Fair Value Effective January 1, 2018, the Company accounts for all current classes of MSRs at fair value. Changes in fair value of MSRs accounted for at fair value are recognized in current period income as a component of Net mortgage loan servicing fees-from nonaffiliates MSRs Accounted for Using the MSR Amortization Method The Company amortized MSRs that were accounted for using the MSR amortization method. MSR amortization was determined by applying the ratio of the net MSR cash flows projected for the current period to the projected total remaining net MSR cash flows. The estimated total net MSR cash flows were estimated at the beginning of each month using prepayment inputs applicable at that time. The Company assessed MSRs accounted for using the amortization method for impairment monthly. Impairment occurred when the current fair value of the MSR fell below the asset’s amortized cost. If MSRs were impaired, the impairment was recognized in current-period income and the carrying value (carrying value is amortized cost reduced by a valuation allowance) of the MSRs was adjusted through a valuation allowance. If the fair value of impaired MSRs subsequently increased, the Company recognized the increase in fair value in current-period earnings and adjusted the carrying value of the MSRs through a reduction in the valuation allowance to adjust the carrying value only to the extent of the valuation allowance. The Company stratified its MSRs by risk characteristic when evaluating for impairment. For purposes of performing its MSR impairment evaluation, the Company stratified its servicing portfolio on the basis of certain risk characteristics including mortgage loan type (fixed-rate or adjustable-rate) and note interest rate. Fixed-rate mortgage loans were stratified into note interest rate pools of 50 basis points for note interest rates between 3.0% and 4.5% and a single pool for note interest rates below 3%. Adjustable rate mortgage loans with initial interest rates of 4.5% or less were evaluated in a single pool. If the fair value of MSRs in any of the note interest rate pools was below the amortized cost of the MSRs for that pool, impairment was recognized to the extent of the difference between the fair value and the existing carrying value for that pool. 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 in the foreseeable future. When the Manager deemed recovery of the fair value to be unlikely in the foreseeable future, a write-down of the cost of the MSRs for that stratum to its estimated recoverable value was charged to the valuation allowance. Amortization and impairment of MSRs were included in current period income as a component of Net mortgage loan servicing fees-from nonaffiliates |
Servicing Advances | Servicing Advances Servicing advances represent advances made on behalf of borrowers and the mortgage loans’ investors to fund delinquent balances for property tax and insurance premiums and out of pocket costs (e.g., preservation and restoration of mortgaged property REO, legal fees, appraisals and insurance premiums). Servicing advances are made in accordance with the Company’s servicing agreements and, when made, are deemed recoverable. The Company periodically reviews servicing advances for collectability. Servicing advances are written off when they are deemed uncollectible. |
Borrowings | Borrowings Borrowings, other than Asset-backed financing of a VIE at fair value Interest-only security at fair value Interest expense Exchangeable Notes Notes payable |
Asset-Backed Secured Financing at Fair Value | Asset-backed financing of a VIE at Fair Value The certificates issued to nonaffiliates by the Company relating to the asset-backed financing are recorded as borrowings. Certificates issued to nonaffiliates have the right to receive principal and interest payments of the mortgage loans held by the consolidated VIE. Asset-backed financings of the VIE are carried at fair value. Changes in fair value are recognized in current period income as a component of Net gain (loss) on investments |
Liability for Losses Under Representation and Warranties | Liability for Losses Under Representations and Warranties The Company provides for its estimate of the losses that it expects to incur in the future as a result of its breach of the representations and warranties that it provides to the purchasers and insurers of the mortgage loans it has sold. The Company’s agreements with the Agencies and other investors include representations and warranties related to the mortgage loans the Company sells to the Agencies and other investors. The representations and warranties require adherence to Agency and other investor origination and underwriting guidelines, including but not limited to the validity of the lien securing the mortgage loan, property eligibility, property value, loan amount, borrower credit, income and asset requirements, and compliance with applicable federal, state and local law. In the event of a breach of its representations and warranties, the Company may be required to either repurchase the mortgage loans with the identified defects or indemnify the investor or insurer. In such cases, the Company bears any subsequent credit loss on the mortgage loans. The Company’s credit loss may be reduced by any recourse it has to correspondent sellers that, in turn, had sold such mortgage loans to the Company and breached similar or other representations and warranties. In such event, the Company has the right to seek a recovery of related repurchase losses from that correspondent seller. The Company records a provision for losses relating to representations and warranties as part of its mortgage loan sale transactions. The method used to estimate the liability for representations and warranties is a function of the representations and warranties given and considers a combination of factors, including, but not limited to, estimated future defaults and mortgage loan defect rates, the estimated severity of loss in the event of default and the probability of reimbursement by the correspondent mortgage loan seller. The Company establishes a liability at the time mortgage loans are sold and periodically updates its liability estimate. The level of the liability for representations and warranties is reviewed and approved by the Manager’s management credit committee. The level of the liability for representations and warranties is difficult to estimate and requires considerable judgment. The level of mortgage loan repurchase losses is dependent on economic factors, investor demand strategies, and other external conditions that may change over the lives of the underlying mortgage loans. The Company’s representations and warranties are generally not subject to stated limits of exposure. However, the Manager believes that the current unpaid principal balance of mortgage loans sold by the Company to date represents the maximum exposure to repurchases related to representations and warranties. |
Mortgage Loan Servicing Fees | Mortgage Loan Servicing Fees Mortgage loan servicing fees and other remuneration are received by the Company for servicing residential mortgage loans. Mortgage loan servicing includes loan administration, collection, and default management activities, including the collection and remittance of loan payments; response to customer inquiries; accounting for principal and interest; holding custodial (impounded) funds for the payment of property taxes and insurance premiums; counseling delinquent mortgagors; and supervising foreclosures and property dispositions. Mortgage loan servicing fee amounts are based upon fee schedules established by the applicable investor and upon the unpaid principal balance of the mortgage loans. The Company’s obligation under its mortgage loan servicing agreements is fulfilled as the Company services the mortgage loans. Mortgage loan servicing fees are recorded net of Agency guarantee fees paid by the Company. Mortgage loan servicing fees are recorded when the mortgage loan payments are collected from the borrowers. |
Share-Based Compensation | Share-Based Compensation The Company amortizes the fair value of previously granted share-based awards to compensation expense over the vesting period using the graded vesting method. Expense relating to share-based awards is included in Compensation The initial cost of restricted share units awarded is established at the Company’s closing share price adjusted for the portion of the awards expected to vest on the date of the award. The Company adjusts the cost of its share-based compensation awards depending on whether the awards are made to its trustees and certain named executive officers or other employees of our Manager or affiliates: • For awards to trustees and certain named executive officers of the Company, compensation cost relating to restricted share units is generally fixed at the fair value of the award on the grant date. • Compensation cost relating to performance share units is adjusted for changes in expected performance attainment in each subsequent reporting period until the units have vested or have been forfeited, the service being provided is subsequently completed, or, under certain circumstances, is likely to be completed, whichever occurs first. • Compensation cost for share-based compensation awarded to other executive officers of the Company or employees of the Manager or affiliates is adjusted to reflect changes in the fair value of awards, including changes in the Company’s share price for both restricted share units and performance share units and, in the case of performance share units, for changes in expected performance attainment in each subsequent reporting period until the award has vested or expired, the service being provided is subsequently completed, or, under certain circumstances, is likely to be completed, whichever occurs first. The Manager’s estimates of compensation costs reflect the expected portion of share-based compensation awards that are expected to vest. |
Income Taxes | Income Taxes The Company has elected to be taxed as a REIT and the Manager believes the Company complies with the provisions of the Internal Revenue Code applicable to REITs. Accordingly, the Manager believes the Company will not be subject to federal income tax on that portion of its REIT taxable income that is distributed to shareholders as long as certain asset, income and share ownership tests are met. If PMT fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to income taxes and may be precluded from qualifying as a REIT for the four tax years following the year of loss of the Company’s REIT qualification. The Company’s taxable REIT subsidiary (“TRS”) is subject to federal and state income taxes. Income taxes are provided for using the asset and liability method. Deferred tax assets and liabilities are recognized for the future tax consequences attributable to differences between the financial statement carrying amounts of existing assets and liabilities and their respective tax bases. Deferred tax assets and liabilities are measured using enacted rates expected to apply to taxable income in the years in which the Manager expects those temporary differences to be recovered or settled. The effect on deferred taxes of a change in tax rates is recognized in income in the period in which the change occurs. A valuation allowance is established if, in the Manager’s judgment, realization of deferred tax assets is not more likely than not. The Company recognizes a tax benefit relating to tax positions it takes only if it is more likely than not that the position will be sustained upon examination by the appropriate taxing authority. A tax position that meets this standard is recognized as the largest amount that exceeds 50 percent likelihood of being realized upon settlement. The Company will classify any penalties and interest as a component of income tax expense. |
Recently Issued Accounting Pronouncement | Recently Issued Accounting Pronouncement On June 20, 2018, the FASB issued Accounting Standards Update 2018-07, Compensation—Stock Compensation (Topic 718): Improvements to Nonemployee Share-Based Payment Accounting 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 | Fair Value Accounting Elections The Manager identified all of the Company’s non-cash financial assets, firm commitment to purchase CRT 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. |
Organization and Basis of Prese
Organization and Basis of Presentation (Policies) | 12 Months Ended |
Dec. 31, 2018 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
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. |
Transactions with Related Par_2
Transactions with Related Parties (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Related Party Transactions [Abstract] | |
Summary of Correspondent Production Activity | Following is a summary of correspondent production activity between the Company and PLS: Year ended December 31, 2018 2017 2016 (in thousands) Mortgage loans fulfillment fees earned by PLS $ 81,350 $ 80,359 $ 86,465 UPB of mortgage loans fulfilled by PLS $ 26,194,303 $ 22,971,119 $ 23,188,386 Sourcing fees received from PLS included in Net gain on mortgage loans acquired for sale $ 10,925 $ 12,084 $ 11,976 UPB of mortgage loans sold to PLS $ 36,415,933 $ 40,561,241 $ 39,908,163 Early purchase program fees paid to PLS included in Mortgage loan servicing fees $ — $ 7 $ 30 Purchases of mortgage loans acquired for sale from PLS $ 3,343,028 $ 904,097 $ 21,541 Tax service fee paid to PLS included in Other expense $ 7,433 $ 7,078 $ 6,690 December 31, 2018 December 31, 2017 (in thousands) Mortgage loans included in Mortgage loans acquired for sale at fair value pending sale to PLS $ 86,308 $ 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: Year ended December 31, 2018 2017 2016 (in thousands) Mortgage loans servicing fees: Mortgage loans acquired for sale at fair value: Base $ 347 $ 305 $ 330 Activity-based 690 649 733 1,037 954 1,063 Mortgage loans at fair value: Distressed mortgage loans: Base 2,771 6,650 11,078 Activity-based 4,784 8,960 18,521 7,555 15,610 29,599 Mortgage loans held in VIE—Base 40 129 83 MSRs: Base 32,814 25,862 19,378 Activity-based 599 509 492 33,413 26,371 19,870 $ 42,045 $ 43,064 $ 50,615 Average investment in: Mortgage loans acquired for sale at fair value $ 1,577,395 $ 1,366,017 $ 1,443,587 Mortgage loans at fair value: Distressed mortgage loans $ 473,458 $ 1,152,930 $ 1,731,638 Mortgage loans held in a VIE $ 301,398 $ 344,942 $ 422,122 Average MSR portfolio UPB $ 80,500,212 $ 63,836,843 $ 49,626,758 MSR recapture income recognized included in Net mortgage loan servicing fees from PennyMac Financial Services, Inc. $ 2,192 $ 1,428 $ 1,573 |
Summary of Base Management and Performance Incentive Fees Payable | Following is a summary of the base management and performance incentive fees payable to PCM recorded by the Company: Year ended December 31, 2018 2017 2016 (in thousands) Base management $ 23,033 $ 22,280 $ 20,657 Performance incentive 1,432 304 — $ 24,465 $ 22,584 $ 20,657 |
Summary of Expenses | Following is a summary of the Company’s reimbursements to PCM and its affiliates for expenses: Year ended December 31, 2018 2017 2016 (in thousands) Reimbursement of: Common overhead incurred by PCM and its affiliates $ 4,640 $ 5,306 $ 7,898 Compensation 480 — — Expenses incurred on the Company’s behalf, net 1,113 2,257 (163 ) $ 6,233 $ 7,563 $ 7,735 Payments and settlements during the year (1) $ 71,943 $ 64,945 $ 143,542 (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: Year ended December 31, 2018 2017 2016 (in thousands) Sale of mortgage loans at fair value to PFSI $ — $ — $ 891 ESS: Received pursuant to a recapture agreement $ 2,688 $ 5,244 $ 6,603 Repayments and sales $ 46,750 $ 54,980 $ 129,037 Interest income $ 15,138 $ 16,951 $ 22,601 Net (loss) gain included in Net gain (loss) on investments: Valuation changes $ 8,500 $ (19,350 ) $ (23,923 ) Recapture income 2,584 4,820 6,529 $ 11,084 $ (14,530 ) $ (17,394 ) At the end of the year: Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value $ 216,110 $ 236,534 |
Summary Of Financing Transactions | Following is a summary of financing activities between the Company and PFSI: Year ended December 31, 2018 2017 2016 (in thousands) Sale of assets under agreements to repurchase $ 2,293 $ — $ — Repurchase of assets sold under agreements to repurchase $ 15,396 $ 5,872 $ — Interest expense $ 7,462 $ 8,038 $ 7,830 Conditional Reimbursement paid to: PCM $ 69 $ 30 $ — Underwriters $ 136 $ 61 $ — December 31, 2018 December 31, 2017 (in thousands) Assets sold to PFSI under agreement to repurchase $ 131,025 $ 144,128 Conditional Reimbursement payable to PCM included in Accounts payable and accrued liabilities $ 801 $ 870 |
Summary of Amounts Receivable From and Payable to PFSI | Amounts receivable from and payable to PFSI are summarized below: December 31, 2018 December 31, 2017 (in thousands) Due from PFSI: MSR recapture receivable $ 179 $ 282 Other 3,898 3,872 $ 4,077 $ 4,154 Due to PFSI: Fulfillment fees $ 10,006 $ 346 Allocated expenses and expenses paid by PFSI on PMT’s behalf 9,066 11,542 Management fees 6,559 5,901 Mortgage loan servicing fees 4,841 6,583 Correspondent production fees 2,071 1,735 Conditional Reimbursement 801 870 Interest on Assets sold to PFSI under agreement to repurchase 120 142 $ 33,464 $ 27,119 |
Loan Sales and Variable Inter_2
Loan Sales and Variable Interest Entities (Tables) | 12 Months Ended |
Dec. 31, 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: Year ended December 31, 2018 2017 2016 (in thousands) Cash flows: Proceeds from sales $ 29,369,656 $ 24,314,165 $ 23,525,952 Mortgage loan servicing fees received (1) $ 204,663 $ 164,776 $ 125,961 (1) Net of Agency guarantee fees. |
Summary of Collection Status Information for Mortgage Loans Accounted for Sales | The following table summarizes for the dates presented collection status information for mortgage loans that are accounted for as sales where the Company maintains continuing involvement: December 31, 2018 2017 (in thousands) UPB of mortgage loans outstanding $ 91,982,335 $ 71,639,351 UPB of delinquent mortgage loans: 30-89 days delinquent $ 614,668 $ 532,673 90 or more days delinquent: Not in foreclosure $ 142,871 $ 280,786 In foreclosure $ 40,445 $ 25,258 UPB of mortgage loans in bankruptcy $ 75,947 $ 52,202 Custodial funds managed by the Company (1) $ 970,328 $ 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: Year ended December 31, 2018 2017 2016 (in thousands) UPB of mortgage loans sold under CRT Agreements $ 5,546,977 $ 14,529,548 $ 11,190,933 Deposits securing CRT Agreements $ 596,626 $ 152,641 $ 306,507 (Decrease) increase in commitments to fund Deposits securing CRT Agreements resulting from sale of mortgage loans under CRT Agreements (482,471 ) 390,362 92,109 $ 114,155 $ 543,003 $ 398,616 Interest earned on Deposits securing Agreements $ 15,441 $ 4,291 $ 930 Gains recognized on CRT Agreements included in Net gain (loss) on investments Realized $ 86,928 $ 51,731 $ 21,298 Resulting from valuation changes 25,347 83,030 15,316 112,275 134,761 36,614 Change in fair value of Interest-only security payable at fair value (19,332 ) (11,033 ) (4,114 ) $ 92,943 $ 123,728 $ 32,500 Payments made to settle losses $ 2,133 $ 1,396 $ 90 December 31, 2018 December 31, 2017 (in thousands) UPB of mortgage loans subject to credit guarantee obligations $ 29,934,003 $ 26,845,392 Collection status (in UPB): Delinquency Current $ 29,633,133 $ 26,540,953 30—89 days delinquent $ 228,296 $ 179,144 90—180 days delinquent $ 39,826 $ 101,114 180 or more days delinquent $ 4,208 $ 5,146 Foreclosure $ 5,180 $ 5,463 Bankruptcy $ 23,360 $ 13,572 Carrying value of CRT Agreements: Derivative assets $ 123,987 $ 98,640 Deposits securing CRT agreements $ 1,146,501 $ 588,867 Interest-only security payable at fair value $ 36,011 $ 7,070 CRT Agreement assets pledged to secure Assets sold under agreements to repurchase: Deposits securing CRT Agreements $ 1,146,501 $ 400,778 Derivative assets $ 87,976 $ 26,058 Commitments to fund Deposits securing credit risk transfer agreements $ — $ 482,471 |
Summary of Activity Under Purchase Commitments | Following is a summary of activity under these purchase commitments: Year ended December 31, 2018 (in thousands) UPB of mortgage loans sold $ 16,392,300 Increase in expected face amount of firm commitment to purchase CRT securities backed by mortgage loans sold $ 605,052 Fair value of firm commitment recognized in Gain on sale of mortgage loans $ 30,595 Gains recognized on firm commitment included in Net gain (loss) on investments $ 7,399 December 31, 2018 (in thousands) Firm commitment to purchase CRT securities $ 605,052 Fair value of firm commitment $ 37,994 UPB of mortgage loans sold subject to firm commitment to purchase CRT securities related to such loans $ 16,392,300 Collection status (in UPB): Current $ 16,329,044 30—89 days delinquent $ 61,035 90—180 days delinquent $ 2,221 180 or more days delinquent $ — Foreclosure $ — Bankruptcy $ 1,258 |
Fair Value (Tables)
Fair Value (Tables) | 12 Months Ended |
Dec. 31, 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: December 31, 2018 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 74,850 $ — $ — $ 74,850 Mortgage-backed securities at fair value — 2,610,422 — 2,610,422 Mortgage loans acquired for sale at fair value — 1,626,483 17,474 1,643,957 Mortgage loans at fair value — 290,573 117,732 408,305 Excess servicing spread purchased from PFSI — — 216,110 216,110 Derivative assets: Interest rate lock commitments — — 12,162 12,162 CRT Agreements — — 123,987 123,987 Repurchase agreement derivatives — — 14,511 14,511 Forward purchase contracts — 14,845 — 14,845 Forward sale contracts — 13 — 13 MBS put options — 218 — 218 MBS call options — 945 — 945 Call options on interest rate futures 5,137 — — 5,137 Put options on interest rate futures 178 — — 178 Total derivative assets before netting 5,315 16,021 150,660 171,996 Netting — — — (4,831 ) Total derivative assets after netting 5,315 16,021 150,660 167,165 Firm commitment to purchase credit risk transfer securities at fair value — — 37,994 37,994 Mortgage servicing rights at fair value — — 1,162,369 1,162,369 $ 80,165 $ 4,543,499 $ 1,702,339 $ 6,321,172 Liabilities: Asset-backed financing of a VIE at fair value $ — $ 276,499 $ — $ 276,499 Interest-only security payable at fair value — — 36,011 36,011 Derivative liabilities: Interest rate lock commitments — — 174 174 Forward purchase contracts — 43 — 43 Forward sales contracts — 29,273 — 29,273 Total derivative liabilities before netting — 29,316 174 29,490 Netting — — — (23,576 ) Total derivative liabilities after netting — 29,316 174 5,914 $ — $ 305,815 $ 36,185 $ 318,424 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: Year ended December 31, 2018 Mortgage loans acquired for sale at fair value Mortgage loans at fair value Excess servicing spread Interest rate lock commitments (1) CRT Agreement derivatives Repurchase agreement derivatives Firm commitment to purchase CRT securities 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 12,208 — — 4,655 — 19,918 — — 36,781 Repayments and sales (12,934 ) (600,638 ) (46,750 ) — (86,928 ) (8,964 ) — (100 ) (756,314 ) Capitalization of interest — 7,439 15,138 — — — — — 22,577 Capitalization of advances — 5,481 — — — — — — 5,481 ESS received pursuant to a recapture agreement with PFSI — — 2,688 — — — — — 2,688 Amounts received as proceeds from sales of mortgage loans — — — — — — 30,595 356,755 387,350 Changes in fair value included in income arising from: Changes in instrument-specific credit risk — 2,907 — — — — — — 2,907 Other factors (16 ) (18,104 ) 8,500 (14,016 ) 112,275 (191 ) 7,399 (58,780 ) 37,067 (16 ) (15,197 ) 8,500 (14,016 ) 112,275 (191 ) 7,399 (58,780 ) 39,974 Transfers of mortgage loans to REO — (47,786 ) — — — — — — (47,786 ) Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" (2) 10,081 — — — — — — — 10,081 Transfers of interest rate lock commitments to mortgage loans acquired for sale — — — 16,717 — — — — 16,717 Balance, December 31, 2018 $ 17,474 $ 117,732 $ 216,110 $ 11,988 $ 123,987 $ 14,511 $ 37,994 $ 1,162,369 $ 1,702,165 Changes in fair value recognized during the year relating to assets still held at December 31, 2018 $ (158 ) $ (18,428 ) $ 8,500 $ 11,988 $ 25,347 $ 77 $ 37,994 $ (58,780 ) $ 6,540 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. (2) During the year ended December 31, 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”. Year ended December 31, 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 28,941 28,941 Balance, December 31, 2018 $ 36,011 Changes in fair value recognized during the year relating to liability outstanding at December 31, 2018 $ 28,941 Year ended December 31, 2017 Mortgage loans acquired for sale at fair value Mortgage loans at fair value Excess servicing spread Interest rate lock commitments (1) CRT Agreement derivatives Repurchase agreement derivatives Mortgage servicing rights Total (in thousands) Assets: Balance, December 31, 2016 $ 5,682 $ 1,354,572 $ 288,669 $ 3,777 $ 15,610 $ — $ 64,136 $ 1,732,446 Purchases and issuances 11,415 — — 36,005 — 3,864 79 51,363 Repayments and sales (12,513 ) (530,367 ) (54,980 ) — (51,731 ) — — (649,591 ) Capitalization of interest — 30,795 16,951 — — — — 47,746 Capitalization of advances — 18,923 — — — — — 18,923 ESS received pursuant to a recapture agreement with PFSI — — 5,244 — — — — 5,244 Amounts received as proceeds from sales of mortgage loans — — — — — — 41,379 41,379 Changes in fair value included in income arising from: Changes in instrument- specific credit risk — 24,685 — — — — — 24,685 Other factors 1,045 (25,369 ) (19,350 ) 45,304 134,761 (116 ) (14,135 ) 122,140 1,045 (684 ) (19,350 ) 45,304 134,761 (116 ) (14,135 ) 146,825 Transfers of mortgage loans to REO — (104,806 ) — — — — — (104,806 ) Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" (2) 2,506 — — — — — — 2,506 Transfers of interest rate lock commitments to mortgage loans acquired for sale — — — (80,454 ) — — — (80,454 ) Balance, December 31, 2017 $ 8,135 $ 768,433 $ 236,534 $ 4,632 $ 98,640 $ 3,748 $ 91,459 $ 1,211,581 Changes in fair value recognized during the year relating to assets still held at December 31, 2017 $ 98 $ (10,594 ) $ (19,350 ) $ 4,632 $ 83,030 $ (116 ) $ (14,135 ) $ 43,565 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. (2) During the year ended December 31, 2017, 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”. Year ended December 31, 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 2,956 2,956 Balance, December 31, 2017 7,070 Changes in fair value recognized during the year relating to liability outstanding at December 31, 2017 $ 2,956 Year ended December 31, 2016 Mortgage loans at fair value Excess servicing spread Interest rate lock commitments (1) CRT Agreement derivatives Mortgage servicing rights Total (in thousands) Assets: Balance, December 31, 2015 $ 2,100,394 $ 412,425 $ 4,646 $ 593 $ 66,584 $ 2,584,642 Purchases and issuances — — 71,892 — 2,739 74,631 Repayments and sales (626,095 ) (129,037 ) — (21,298 ) — (776,430 ) Capitalization of interest 84,820 22,601 — — — 107,421 ESS received pursuant to a recapture agreement with PFSI — 6,603 — — — 6,603 Amounts received as proceeds from sales of mortgage loans — — — — 7,337 7,337 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 26,910 — — — — 26,910 Other factors (30,414 ) (23,923 ) 15,944 36,315 (12,524 ) (14,602 ) (3,504 ) (23,923 ) 15,944 36,315 (12,524 ) 12,308 Transfers of mortgage loans to REO (201,043 ) — — — — (201,043 ) Transfers of interest rate lock commitments to mortgage loans acquired for sale — — (88,705 ) — — (88,705 ) Balance, December 31, 2016 $ 1,354,572 $ 288,669 $ 3,777 $ 15,610 $ 64,136 $ 1,726,764 Changes in fair value recognized during the year relating to assets still held at December 31, 2016 $ (15,877 ) $ (16,713 ) $ 3,777 $ 15,610 $ (12,524 ) $ (25,727 ) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Year ended December 31, 2016 Interest-only security payable (in thousands) Liabilities: Balance, December 31, 2015 $ — Changes in fair value included in income arising from: Changes in instrument- specific credit risk — Other factors 4,114 4,114 Balance, December 31, 2016 4,114 Changes in fair value recognized during the year relating to liability outstanding at December 31, 2016 $ 4,114 |
Fair Values and Related Principal Amounts Due upon Maturity of Mortgage Loans Accounted for Under Fair Value Option | Following are the fair values and related principal amounts due upon maturity of mortgage loans accounted for under the fair value option (including mortgage loans acquired for sale, mortgage loans held in a consolidated VIE, and distressed mortgage loans at fair value): December 31, 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: $ 1,643,465 $ 1,580,504 $ 62,961 $ 1,268,121 $ 1,221,125 $ 46,996 90 or more days delinquent: Not in foreclosure 492 492 — 950 1,120 (170 ) In foreclosure — — — 444 496 (52 ) 492 492 — 1,394 1,616 (222 ) $ 1,643,957 $ 1,580,996 $ 62,961 $ 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 $ 290,573 $ 294,617 $ (4,044 ) $ 321,040 $ 316,684 $ 4,356 90 or more days delinquent: Not in foreclosure — — — — — — In foreclosure — — — — — — — — — — — — 290,573 294,617 (4,044 ) 321,040 316,684 4,356 Distressed mortgage loans at fair value: Current through 89 days delinquent 28,806 43,043 (14,237 ) 414,785 519,009 (104,224 ) 90 or more days delinquent: Not in foreclosure 37,288 71,732 (34,444 ) 166,749 257,038 (90,289 ) In foreclosure 51,638 86,259 (34,621 ) 186,899 267,911 (81,012 ) 88,926 157,991 (69,065 ) 353,648 524,949 (171,301 ) 117,732 201,034 (83,302 ) 768,433 1,043,958 (275,525 ) $ 408,305 $ 495,651 $ (87,346 ) $ 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 assets and liabilities accounted for under the fair value option: Year ended December 31, 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 — — (11,262 ) (4,793 ) (16,055 ) Mortgage loans acquired for sale at fair value — (5,298 ) — — (5,298 ) Mortgage loans at fair value — — (23,696 ) 7,539 (16,157 ) ESS at fair value — — 8,500 15,138 23,638 Firm commitment to purchase credit risk transfer securities at fair value — 30,595 7,399 — 37,994 MSRs at fair value (58,780 ) — — — (58,780 ) $ (58,780 ) $ 25,297 $ (19,059 ) $ 17,884 $ (34,658 ) Liabilities: Interest-only security payable at fair value $ — $ — $ (28,941 ) $ — $ (28,941 ) Asset-backed financing of a VIE at fair value — — 9,610 (577 ) 9,033 $ — $ — $ (19,331 ) $ (577 ) $ (19,908 ) Year ended December 31, 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 — — 5,498 5,367 10,865 Mortgage loans acquired for sale at fair value — 97,940 — — 97,940 Mortgage loans at fair value — — 3,582 32,239 35,821 ESS at fair value — — (19,350 ) 16,951 (2,399 ) MSRs at fair value (14,135 ) — — — (14,135 ) $ (14,135 ) $ 97,940 $ (10,270 ) $ 54,557 $ 128,092 Liabilities: Interest-only security payable at fair value $ — $ — $ 2,956 $ — $ 2,956 Asset-backed financing of a VIE at fair value — — (3,426 ) (1,781 ) (5,207 ) $ — $ — $ (470 ) $ (1,781 ) $ (2,251 ) Year ended December 31, 2016 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 — — (13,168 ) (2,391 ) (15,559 ) Mortgage loans acquired for sale at fair value — 55,350 — — 55,350 Mortgage loans at fair value — — (5,252 ) 86,114 80,862 ESS at fair value — — (23,923 ) 22,601 (1,322 ) MSRs at fair value (12,524 ) — — — (12,524 ) $ (12,524 ) $ 55,350 $ (42,343 ) $ 106,324 $ 106,807 Liabilities: Asset-backed financing of a VIE at fair value $ — $ — $ 3,238 $ (669 ) $ 2,569 $ — $ — $ 3,238 $ (669 ) $ 2,569 |
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 years presented: December 31, 2018 Level 1 Level 2 Level 3 Total (in thousands) Real estate acquired in settlement of loans $ — $ — $ 24,515 $ 24,515 $ — $ — $ 24,515 $ 24,515 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 years presented on assets held at year end that were remeasured at fair value on a nonrecurring basis: Year ended December 31, 2018 2017 2016 (in thousands) Real estate asset acquired in settlement of loans $ (4,434 ) $ (11,882 ) $ (17,561 ) MSRs at lower of amortized cost or fair value — (5,876 ) (2,728 ) $ (4,434 ) $ (17,758 ) $ (20,289 ) |
Quantitative Summary of Key Inputs Used in Valuation of Mortgage Loans at Fair Value (Excluding Loans Held in a VIE) | 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) December 31, 2018 December 31, 2017 Discount rate Range 2.8% – 19.6% 2.9% – 15.0% Weighted average 12.0% 6.9% Twelve-month projected housing price index change Range 3.1% – 3.7% 3.6% – 4.6% Weighted average 3.4% 4.4% Voluntary prepayment speed (2) Range 0.9% – 8.3% 3.2% – 11.0% Weighted average 3.2% 4.2% Total prepayment speed (3) Range 8.3% – 22.0% 10.8% – 23.8% Weighted average 18.3% 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. |
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) December 31, 2018 December 31, 2017 UPB of underlying mortgage loans (in thousands) $ 23,196,033 $ 27,217,199 Average servicing fee rate (in basis points) 34 34 Average ESS rate (in basis points) 19 19 Pricing spread (2) Range 2.8% - 3.2% 3.8% - 4.3% Weighted average 3.1% 4.1% Annual total prepayment speed (3) Range 8.2% - 29.5% 8.4% - 41.4% Weighted average 9.7% 10.8% Life (in years) Range 1.6 - 7.6 1.4 - 7.7 Weighted average 6.8 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. |
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) December 31, 2018 December 31, 2017 Pull-through rate Range 45.4% - 100% 58.0% - 100% Weighted average 91.8% 90.3% MSR value expressed as Servicing fee multiple Range 2.4 - 5.6 2.1 - 5.8 Weighted average 4.3 4.9 Percentage of UPB Range 0.6% - 3.6% 0.0% - 2.4% Weighted average 2.2% 1.3% (1) Weighted average inputs are based on committed amounts. |
Quantitative Summary of Key Unobservable Inputs Used in Valuation of Non-Securitized CRT Agreements and Used to Validate Broker-provided Fair Values for Securitized CRT Agreements | Following is a quantitative summary of key unobservable inputs used in the valuation of non-securitized CRT Agreements and the review and approval of broker-provided fair values for securitized CRT Agreements. At December 31, 2018, all CRT Agreements held by the Company were securitized: Key inputs (1) December 31, 2018 December 31, 2017 Discount rate Range 6.6% – 7.5% 5.1% – 6.2% Weighted average 7.3% 5.6% Voluntary prepayment speed (2) Range 9.0% – 10.6% 12.1% – 15.0% Weighted average 9.9% 13.0% Involuntary prepayment speed (3) Range 0.2% – 0.2% 0.3% – 0.3% Weighted average 0.2% 0.3% Remaining loss expectation (4) Range 0.1% – 0.2% 0.1% – 0.3% Weighted average 0.2% 0.2% (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. (4) Remaining loss expectation is measured as expected future contractual losses divided by UPB of reference mortgage loans. |
Summary of Key Unobservable Inputs Used in Valuation of Firm Commitment to Purchase CRT Securities | The Company categorizes its firm commitment to purchase CRT 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 CRT securities to be purchased less the contractual purchase price. 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 CRT securities is recognized initially as a component of Gain on sale of mortgage loans acquired for sale Net gain (loss) on investments Following is a quantitative summary of key unobservable inputs in the valuation of firm commitment to purchase CRT securities: Key inputs (1) December 31, 2018 Discount rate 7.9% Voluntary prepayment speed (2) 12.4% Involuntary prepayment speed (3) 0.1% Remaining loss expectation (4) 0.1% (1) Weighted average inputs are based on the UPB of underlying mortgage loans. (2) Voluntary prepayment speed is measured using Life Voluntary CPR. (3) Involuntary prepayment speed is measured using Life Involuntary CPR. (4) Remaining loss expectation is measured as expected future contractual losses divided by UPB of reference mortgage loans. |
Key Assumptions Used in Determining Fair Value of MSRs at Time of Initial Recognition | Following are the key inputs used in determining the fair value of MSRs at the time of initial recognition: Year ended December 31, 2018 2017 2016 Fair value Fair value Amortized cost Fair value Amortized cost (MSR recognized and UPB of underlying mortgage loan amounts in thousands) MSR recognized $ 356,755 $ 41,379 $ 248,930 $ 7,337 $ 267,755 Key inputs (1) UPB of underlying mortgage loans $ 28,923,523 $ 3,724,642 $ 19,982,686 $ 752,850 $ 22,068,577 Weighted average annual servicing fee rate (in basis points) 26 25 25 26 25 Pricing spread (2) Range 5.8% – 12.9% 7.6% – 7.6% 7.6% – 12.6% 7.2% – 7.6% 7.2% – 12.6% Weighted average 6.9% 7.6% 7.6% 7.3% 7.5% Annual total prepayment speed (3) Range 3.2% – 35.3% 7.9% – 29.5% 3.2% – 31.1% 7.2% – 38.0% 3.3% – 49.2% Weighted average 9.9% 10.7% 8.0% 14.5% 8.3% Life (in years) Range 2.3 – 11.9 2.8 – 8.5 2.6 – 11.9 2.0 – 9.4 1.4 – 12.3 Weighted average 7.6 7.3 8.3 5.9 8.0 Annual per-loan cost of servicing Range $77 – $79 $79 – $79 $79 – $79 $68 – $82 $68 – $79 Weighted average $79 $79 $79 $73 $77 (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. |
Quantitative Summary of Key Assumptions Used in Valuation of MSRs as of Dates Presented, and Effect on Estimated Fair Value from Adverse Changes in Those Inputs | Following is a quantitative summary of key inputs used in the valuation of MSRs as of the dates presented, and the effect on the fair value from adverse changes in those inputs: December 31, 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 $ 1,162,369 $ 91,459 $ 753,322 Key inputs (1): UPB of underlying mortgage loans $ 92,410,226 $ 8,273,696 $ 63,853,606 Weighted average annual servicing fee rate (in basis points) 25 25 25 Weighted average note interest rate 4.2% 4.7% 3.9% Pricing spread (2) Range 5.7% – 10.7% 7.6% – 12.6% 7.6% – 13.1% Weighted average 5.8% 7.6% 7.6% Effect on fair value of (3): 5% adverse change $(13,872) $(1,347) $(11,848) 10% adverse change $(27,428) $(2,655) $(23,352) 20% adverse change $(53,626) $(5,162) $(45,379) Prepayment speed (4) Range 8.1% – 27.1% 7.3% – 20.9% 7.1% – 27.1% Weighted average 9.8% 11.1% 8.4% Life (in years) Range 2.7 - 7.3 3.1 - 6.8 2.9 - 8.0 Weighted average 7.1 6.8 7.6 Effect on fair value of (3): 5% adverse change $(21,661) $(1,954) $(12,267) 10% adverse change $(42,458) $(3,827) $(24,120) 20% adverse change $(81,660) $(7,352) $(46,668) Annual per-loan cost of servicing Range $77 – $78 $77 – $79 $78 – $79 Weighted average $78 $79 $79 Effect on fair value of (3): 5% adverse change $(8,298) $(744) $(5,721) 10% adverse change $(16,597) $(1,488) $(11,441) 20% adverse change $(33,194) $(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 immediately before the adverse change took place. (4) Prepayment speed is measured using Life Total CPR. |
Mortgage Backed Securities (Tab
Mortgage Backed Securities (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Mortgage Backed Securities [Abstract] | |
Summary of Mortgage Backed Securities | Following is a summary of MBS: December 31, 2018 December 31, 2017 Principal balance Unamortized purchase premiums Accumulated valuation changes Fair value Principal balance Unamortized purchase premiums Accumulated valuation changes Fair value (in thousands) Agency: (1) Fannie Mae $ 2,050,769 $ 39,488 $ (14,920 ) $ 2,075,337 $ 774,473 $ 30,355 $ (7,975 ) $ 796,853 Freddie Mac 530,734 6,702 (2,351 ) 535,085 187,127 3,518 1,963 192,608 $ 2,581,503 $ 46,190 $ (17,271 ) $ 2,610,422 $ 961,600 $ 33,873 $ (6,012 ) $ 989,461 (1) All MBS are fixed-rate pass-through securities with maturities of more than ten years. |
Mortgage Loans Acquired for S_2
Mortgage Loans Acquired for Sale at Fair Value (Tables) | 12 Months Ended |
Dec. 31, 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 December 31, 2018 December 31, 2017 (in thousands) Agency-eligible $ 1,495,954 $ 971,910 Held for sale to PLS — Government insured or guaranteed 86,308 279,571 Jumbo 44,221 — Commercial real estate 8,559 9,898 Repurchased pursuant to representations and warranties 8,915 8,136 $ 1,643,957 $ 1,269,515 Mortgage loans pledged to secure: Assets sold under agreements to repurchase $ 1,436,437 $ 1,201,992 Mortgage loan participation purchase and sale agreements 185,442 47,285 $ 1,621,879 $ 1,249,277 |
Mortgage Loans at Fair Value (T
Mortgage Loans at Fair Value (Tables) | 12 Months Ended |
Dec. 31, 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: December 31, 2018 December 31, 2017 Loan type Fair value Unpaid principal balance Fair value Unpaid principal balance (in thousands) Distressed mortgage loans: Nonperforming $ 88,926 $ 157,991 $ 353,648 $ 524,949 Performing 28,806 43,043 414,785 519,009 117,732 201,034 768,433 1,043,958 Fixed interest rate jumbo mortgage loans held in a VIE 290,573 294,617 321,040 316,684 $ 408,305 $ 495,651 $ 1,089,473 $ 1,360,642 Mortgage loans at fair value pledged to secure: Assets sold under agreements to repurchase $ 108,693 $ 760,853 Asset-backed financing of a VIE at fair value 290,573 321,040 $ 399,266 $ 1,081,893 |
Summary of Certain Concentrations by State of Credit Risk in Portfolio of Distressed Mortgage Loans at Fair Value | Following is a summary of certain concentrations by state of credit risk in the portfolio of distressed mortgage loans at fair value: Concentration by State December 31, 2018 December 31, 2017 (percentages are of fair value) States contributing 5% or more of mortgage loans New York Florida California New Jersey Hawaii Massachusetts New York California New Jersey Florida Massachusetts |
Derivative Activities (Tables)
Derivative Activities (Tables) | 12 Months Ended |
Dec. 31, 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 December 31, 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: CRT Agreements 29,934,003 $ 123,987 $ — 26,845,392 $ 98,640 $ — Interest rate lock commitments 1,688,516 12,162 174 1,250,803 4,859 227 Repurchase agreement derivatives 14,511 — 3,748 — Subject to master netting agreements ─ for hedging purposes: Forward purchase contracts 3,072,223 14,845 43 1,996,235 4,343 248 Forward sale contracts 4,595,241 13 29,273 2,565,271 387 2,830 MBS put options 2,550,000 218 — 2,375,000 3,170 — MBS call options 500,000 945 — — — — Call options on interest rate futures 512,500 5,137 — — — — Put options on interest rate futures 1,102,500 178 — 550,000 656 — Swap futures — — — 275,000 — — Bond futures 815,000 — — — — — Eurodollar future sale contracts — — — 937,000 — — Total derivative instruments before netting 171,996 29,490 115,803 3,305 Netting (4,831 ) (23,576 ) (1,922 ) (1,999 ) $ 167,165 $ 5,914 $ 113,881 $ 1,306 Margin deposits placed with derivatives counterparties included in Other $ 18,744 $ 76 Derivative assets pledged to secure Assets sold under agreements to repurchase $ 87,976 $ 26,058 |
Summary of Net Derivative Assets | Following is a summary of net derivative assets. December 31, 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: CRT Agreement derivatives $ 123,987 $ — $ 123,987 $ 98,640 $ — $ 98,640 Interest rate lock commitments 12,162 — 12,162 4,859 — 4,859 Repurchase agreement derivatives 14,511 — 14,511 3,748 — 3,748 150,660 — 150,660 107,247 — 107,247 Subject to master netting arrangements: Forward purchase contracts 14,845 — 14,845 4,343 — 4,343 Forward sale contracts 13 — 13 387 — 387 MBS put options 218 — 218 3,170 — 3,170 MBS call options 945 — 945 — — — Call options on interest rate futures 5,137 — 5,137 — — — Put options on interest rate futures 178 — 178 656 — 656 Netting — (4,831 ) (4,831 ) — (1,922 ) (1,922 ) 21,336 (4,831 ) 16,505 8,556 (1,922 ) 6,634 $ 171,996 $ (4,831 ) $ 167,165 $ 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. December 31, 2018 December 31, 2017 Net amount Gross amounts Net amount Gross amounts of assets not offset in the of assets not offset in the presented consolidated presented consolidated in the balance sheet in the balance sheet consolidated Cash consolidated Cash balance Financial collateral Net balance Financial collateral Net sheet instruments received amount sheet instruments received amount (in thousands) CRT Agreement derivatives $ 123,987 $ — $ — $ 123,987 $ 98,640 $ — $ — $ 98,640 Interest rate lock commitments 12,162 — — 12,162 4,859 — — 4,859 Deutsche Bank Securities LLC 14,511 — — 14,511 3,748 — — 3,748 Federal National Mortgage Association 5,619 — — 5,619 1,606 — — 1,606 RJ O’Brien & Associates, LLC 5,315 — — 5,315 656 — — 656 Wells Fargo Securities, LLC 2,800 — — 2,800 146 — — 146 Citigroup Global Markets Inc. 971 — — 971 429 — — 429 Credit Suisse Securities (USA) LLC 579 — — 579 809 — — 809 Mitsubishi UFJ Sec 257 — — 257 193 — — 193 Morgan Stanley & Co. LLC 243 — — 243 457 — — 457 J.P. Morgan Securities LLC 107 — — 107 2,020 — — 2,020 Other 614 — — 614 318 — — 318 $ 167,165 $ — $ — $ 167,165 $ 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. December 31, 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 $ 174 $ — $ 174 $ 227 $ — $ 227 Subject to master netting arrangements: Forward purchase contracts 43 — 43 248 — 248 Forward sales contracts 29,273 — 29,273 2,830 — 2,830 Netting — (23,576 ) (23,576 ) — (1,999 ) (1,999 ) 29,316 (23,576 ) 5,740 3,078 (1,999 ) 1,079 29,490 (23,576 ) 5,914 3,305 (1,999 ) 1,306 Assets sold under agreements to repurchase: UPB 4,777,486 — 4,777,486 3,182,504 — 3,182,504 Unamortized debt issuance costs (459 ) — (459 ) (1,618 ) — (1,618 ) 4,777,027 — 4,777,027 3,180,886 — 3,180,886 $ 4,806,517 $ (23,576 ) $ 4,782,941 $ 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. December 31, 2018 December 31, 2017 Net amount Gross amounts Net amount Gross amounts of liabilities not offset in the of liabilities not offset in the presented consolidated presented consolidated in the balance sheet in the balance sheet consolidated Cash consolidated Cash balance Financial collateral Net balance Financial collateral Net sheet instruments pledged amount sheet instruments pledged amount (in thousands) Interest rate lock commitments $ 174 $ — $ — $ 174 $ 227 $ — $ — $ 227 J.P. Morgan Securities LLC 1,441,934 (1,441,934 ) — — 373,186 (373,186 ) — — Bank of America, N.A. 1,307,923 (1,307,584 ) — 339 839,057 (838,771 ) — 286 Credit Suisse Securities (USA) LLC 512,662 (512,662 ) — — 845,567 (845,567 ) — — Deutsche Bank Securities LLC 495,974 (495,974 ) — — 374,526 (374,526 ) — — Mizuho Securities 270,708 (270,708 ) — — 3 — — 3 Daiwa Capital Markets 254,332 (254,332 ) — — 153,833 (153,730 ) — 103 BNP Paribas 162,636 (162,357 ) — 279 45,411 (45,411 ) — — Morgan Stanley & Co. LLC 105,366 (105,366 ) — — 164,530 (164,530 ) — — Citigroup Global Markets Inc. 99,626 (98,644 ) — 982 235,541 (235,319 ) — 222 Wells Fargo Securities, LLC 70,130 (70,130 ) — — 50,360 (50,360 ) — — RBC Capital Markets, L.P. 57,795 (57,795 ) — — 92,014 (91,805 ) — 209 Barclays Capital Inc. 325 — — 325 9,374 (9,299 ) — 75 Other 3,815 — — 3,815 181 — — 181 $ 4,783,400 $ (4,777,486 ) $ — $ 5,914 $ 3,183,810 $ (3,182,504 ) $ — $ 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: Year ended December 31, Derivative activity Income statement line 2018 2017 2016 (in thousands) Interest rate lock commitments Net gain on mortgage loans acquired for sale $ 7,356 $ 81,309 $ 87,836 CRT agreements Net gain (loss) on investments $ 112,275 $ 134,761 $ 32,500 Repurchase agreement derivatives Interest expense $ 191 $ 116 $ — Hedged item: Interest rate lock commitments and mortgage loans acquired for sale Net gain on mortgage loans acquired for sale $ 25,334 $ (31,245 ) $ 50,274 Mortgage servicing rights Net mortgage loan servicing fees $ (35,550 ) $ (2,512 ) $ 2,271 Fixed-rate assets and LIBOR- indexed repurchase agreements Net gain (loss) on investments $ (4,152 ) $ (18,468 ) $ 7,251 |
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 for hedging purposes: Year ended December 31, 2018 Amount, Amount, beginning Dispositions/ end Instrument of year Additions expirations of year (in thousands) Forward purchase contracts 1,996,235 97,737,906 (96,661,918 ) 3,072,223 Forward sales contracts 2,565,271 129,544,573 (127,514,603 ) 4,595,241 MBS put options 2,375,000 9,575,000 (9,400,000 ) 2,550,000 MBS call options — 2,000,000 (1,500,000 ) 500,000 Call options on interest rate futures — 3,487,500 (2,975,000 ) 512,500 Put options on interest rate futures 550,000 13,302,500 (12,750,000 ) 1,102,500 Swap futures 275,000 — (275,000 ) — Bond futures — 5,274,400 (4,459,400 ) 815,000 Eurodollar future sale contracts 937,000 149,597 (1,086,597 ) — Year ended December 31, 2017 Amount, Amount, beginning Dispositions/ end Instrument of year Additions expirations of year (in thousands) Forward purchase contracts 4,840,707 71,768,061 (74,612,533 ) 1,996,235 Forward sales contracts 6,148,242 95,889,432 (99,472,403 ) 2,565,271 MBS put options 925,000 9,225,000 (7,775,000 ) 2,375,000 MBS call options 750,000 550,000 (1,300,000 ) — Call options on interest rate futures 200,000 825,000 (1,025,000 ) — Put options on interest rate futures 550,000 7,150,000 (7,150,000 ) 550,000 Swap futures 150,000 1,650,000 (1,525,000 ) 275,000 Eurodollar future sale contracts 1,351,000 404,000 (818,000 ) 937,000 Treasury future buy contracts — 110,700 (110,700 ) — Treasury future sale contracts — 110,700 (110,700 ) — Year ended December 31, 2016 Amount, Amount, beginning Dispositions/ end Instrument of year Additions expirations of year (in thousands) Forward purchase contracts 2,469,550 73,269,440 (70,898,283 ) 4,840,707 Forward sales contracts 2,450,642 99,737,855 (96,040,255 ) 6,148,242 MBS put options 375,000 12,400,000 (11,850,000 ) 925,000 MBS call options — 750,000 — 750,000 Call options on interest rate futures 50,000 4,425,000 (4,275,000 ) 200,000 Put options on interest rate futures 1,600,000 7,445,000 (8,495,000 ) 550,000 Swap futures — 175,000 (25,000 ) 150,000 Eurodollar future sale contracts 1,755,000 282,000 (686,000 ) 1,351,000 Treasury future buy contracts — 558,700 (558,700 ) — Treasury future sale contracts — 558,700 (558,700 ) — |
Real Estate Acquired in Settl_2
Real Estate Acquired in Settlement of Loans (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Banking And Thrift [Abstract] | |
Summary of Financial Information Relating to REO | Following is a summary of financial information relating to REO: Year ended December 31, 2018 2017 2016 (in thousands) Balance at beginning of year $ 162,865 $ 274,069 $ 341,846 Transfers: From mortgage loans at fair value and advances 32,578 87,202 207,431 To real estate held for investment (5,183 ) (16,530 ) (21,406 ) From real estate held for investment 3,401 — — Results of REO: Valuation adjustments, net (17,323 ) (27,505 ) (36,193 ) Gain on sale, net 8,537 12,550 17,075 (8,786 ) (14,955 ) (19,118 ) Sales (99,194 ) (166,921 ) (234,684 ) Balance at end of year $ 85,681 $ 162,865 $ 274,069 At the end of year: REO pledged to secure assets sold under agreements to repurchase $ 1,939 $ 76,037 REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties 38,259 48,495 $ 40,198 $ 124,532 |
Mortgage Servicing Rights (Tabl
Mortgage Servicing Rights (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Summary of MSRs Carried at Fair Value | Following is a summary of MSRs carried at fair value: Year ended December 31, 2018 2017 2016 (in thousands) Balance at beginning of year $ 91,459 $ 64,136 $ 66,584 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 864,494 64,136 66,584 Purchases — 79 2,739 Sales (100 ) — — MSRs resulting from mortgage loan sales 356,755 41,379 7,337 Changes in fair value: Due to changes in valuation inputs used in valuation model (1) 60,772 (9,762 ) (3,210 ) Other changes in fair value (2) (119,552 ) (4,373 ) (9,314 ) (58,780 ) (14,135 ) (12,524 ) Balance at end of year $ 1,162,369 $ 91,459 $ 64,136 At the end of year: Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and (3) $ 1,139,582 $ 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 interest 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: Year ended December 31, 2018 2017 2016 (in thousands) Amortized cost: Balance at beginning of year $ 772,870 $ 606,103 $ 404,101 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 — 606,103 404,101 MSRs resulting from mortgage loan sales — 248,930 267,755 Amortization — (81,624 ) (65,647 ) Sales — (539 ) (106 ) Balance at end of year — 772,870 606,103 Valuation allowance: Balance at beginning of year (19,548 ) (13,672 ) (10,944 ) Reduction pursuant to a change in accounting principle 19,548 — — Balance after reclassification — (13,672 ) (10,944 ) Additions to valuation allowance — (5,876 ) (2,728 ) Balance at end of year — (19,548 ) (13,672 ) MSRs, net $ — $ 753,322 $ 592,431 Fair value at beginning of year $ 772,940 $ 626,334 $ 424,154 Fair value at end of year $ 772,940 $ 626,334 At the end of year: 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 Year ended December 31, 2018 2017 2016 (in thousands) Contractually-specified servicing fees $ 204,663 $ 164,776 $ 125,961 Ancillary and other fees: Late charges 974 718 570 Other 7,088 5,805 5,302 $ 212,725 $ 171,299 $ 131,833 |
Assets Sold Under Agreements _2
Assets Sold Under Agreements to Repurchase (Tables) | 12 Months Ended |
Dec. 31, 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: Year ended December 31, 2018 2017 2016 (dollars in thousands) Weighted average interest rate (1) 3.25 % 2.49 % 2.44 % Average balance $ 3,901,772 $ 3,332,084 $ 3,382,528 Total interest expense (2) $ 115,383 $ 93,580 $ 92,838 Maximum daily amount outstanding $ 6,665,118 $ 4,242,600 $ 5,573,021 (1) Excludes the effect of net amortization of debt issuance premiums of $11.7 million for the year ended December 31, 2018 and net debt issuance costs of $8.3 million for the year ended December 31, 2017 and $8.8 million for the year ended December 31, 2016. (2) The Company’s interest expense relating to assets sold under agreements to repurchase for the years ended December 31, 2018 and 2017 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 years ended December 31, 2018 and 2017, the Company recognized $19.7 million and $3.1 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 21, 2019, unless terminated earlier at the option of the lender. The Company expects that it will cease to accrue the incentives under the repurchase agreement in the second quarter of 2019. December 31, 2018 2017 (dollars in thousands) Carrying value: Unpaid principal balance $ 4,777,486 $ 3,182,504 Unamortized debt issuance premiums and (costs), net (459 ) (1,618 ) $ 4,777,027 $ 3,180,886 Weighted average interest rate 3.38 % 2.77 % Available borrowing capacity (1): Committed $ 783,415 $ 749,650 Uncommitted 2,325,246 2,030,607 $ 3,108,661 $ 2,780,257 Margin deposits placed with counterparties included in Other $ 43,676 $ 28,154 Assets securing agreements to repurchase: Mortgage-backed securities $ 2,610,422 $ 989,461 Mortgage loans acquired for sale at fair value $ 1,436,437 $ 1,201,992 Mortgage loans at fair value $ 108,693 $ 760,853 CRT Agreements: Deposits securing CRT agreements $ 1,146,501 $ 400,778 Derivative assets $ 87,976 $ 26,058 Real estate acquired in settlement of loans $ 40,198 $ 124,532 Real estate held for investment $ 23,262 $ 31,128 MSRs (2) $ 1,139,582 $ 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 Advances Under Repurchase Agreements by Maturity Date | Following is a summary of maturities of outstanding advances under repurchase agreements by maturity date: Remaining maturity at December 31, 2018 Contractual balance (in thousands) Within 30 days $ 2,532,214 Over 30 to 90 days 882,985 Over 90 days to 180 days 430,114 Over 180 days to 1 year 927,173 Over one year to two years 5,000 $ 4,777,486 Weighted average maturity (in months) 2.2 |
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. $ 45,359 February 13, 2019 Bank of America, N.A. $ 59,343 January 22, 2019 Daiwa Capital Markets America Inc. $ 19,831 January 14, 2019 Mizuho Securities $ 12,312 January 14, 2019 Wells Fargo, N.A. $ 4,760 January 13, 2019 |
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 $ 53,785 January 17, 2019 JPMorgan Chase & Co. $ 202,469 January 7, 2019 Bank of America, N.A. $ 25,582 January 21, 2019 BNP Paribas Corporate & Institutional Banking $ 16,575 January 22, 2019 |
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 Weighted average Counterparty Amount maturity Facility maturity (in thousands) Credit Suisse First Boston Mortgage Capital LLC $ 369,773 December 20, 2020 December 20, 2020 Credit Suisse First Boston Mortgage Capital LLC $ 49,454 March 23, 2019 April 26, 2019 JPMorgan Chase & Co. $ 36,481 February 16, 2019 October 11, 2019 Bank of America, N.A. $ 13,975 January 12, 2019 July 1, 2019 Deutsche Bank $ 29,797 March 22, 2019 June 30, 2019 BNP Paribas Corporate & Institutional Banking $ 6,991 March 18, 2019 August 2, 2019 Citibank, N.A. $ 50,845 March 22, 2019 June 7, 2019 Morgan Stanley $ 5,925 March 11, 2019 August 23, 2019 Royal Bank of Canada $ 3,423 February 28, 2019 February 28, 2019 |
Mortgage Loan Participation P_2
Mortgage Loan Participation Purchase and Sale Agreements (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Text Block [Abstract] | |
Summary of Mortgage Loan Participation Purchase and Sale Agreements | Mortgage loan participation purchase and sale agreements are summarized below: Year ended December 31, 2018 2017 2016 (dollars in thousands) Weighted average interest rate (1) 3.42 % 2.34 % 1.74 % Average balance $ 64,512 $ 61,807 $ 70,391 Total interest expense $ 2,422 $ 1,593 $ 1,376 Maximum daily amount outstanding $ 287,862 $ 136,854 $ 99,469 (1) Excludes the effect of amortization of debt issuance costs of $217,000 for the year ended December 31, 2018, $125,000 for the year ended December 31, 2017, and $130,000 for the year ended December 31, 2016. December 31, 2018 2017 (dollars in thousands) Carrying value: Amount outstanding $ 178,726 $ 44,550 Unamortized debt issuance costs (87 ) (62 ) $ 178,639 $ 44,488 Weighted average interest rate 3.77 % 2.82 % Mortgage loans acquired for sale pledged to secure mortgage loan participation purchase and sale agreements $ 185,442 $ 47,285 |
Exchangeable Senior Notes (Tabl
Exchangeable Senior Notes (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Text Block [Abstract] | |
Summary of Financial Information Relating to Exchangeable Notes | Following is financial information relating to the Exchangeable Notes: Year ended December 31, 2018 2017 2016 (in thousands) Average balance $ 250,000 $ 250,000 $ 250,000 Total interest expense $ 14,601 $ 14,535 $ 14,473 December 31, 2018 2017 (in thousands) Carrying value: UPB $ 250,000 $ 250,000 Unamortized debt issuance costs (1,650 ) (2,814 ) $ 248,350 $ 247,186 |
Notes Payable (Tables)
Notes Payable (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Text Block [Abstract] | |
Summary of Financial Information Relating to Note Payable | Following is a summary of financial information relating to the notes payable: Year ended December 31, 2018 2017 2016 (dollars in thousands) Weighted average interest rate (1) 4.68 % 5.71 % 4.73 % Average balance $ 300,035 $ 145,638 $ 202,293 Total interest expense $ 14,623 $ 12,634 $ 12,892 Maximum daily amount outstanding $ 450,000 $ 275,106 $ 275,106 (1) Excludes the effect of amortization of debt issuance costs of $681,000 for the year ended December 31, 2018, $4.2 million for the year ended December 31, 2017 and $3.2 million for the year ended December 31, 2016. December 31, 2018 2017 (dollars in thousands) Carrying value: Amount outstanding $ 450,000 $ — Unamortized debt issuance costs (4,427 ) — $ 445,573 $ — Weighted average interest rate 4.86 % — MSRs pledged to secure notes payable (1) $ 1,139,582 $ 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) | 12 Months Ended |
Dec. 31, 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: Year ended December 31, 2018 2017 2016 (dollars in thousands) Average balance $ 288,244 $ 331,409 $ 338,582 Total interest expense $ 10,821 $ 13,184 $ 12,091 Weighted average interest rate (1) 3.55 % 3.39 % 3.32 % (1) Excludes the effect of amortization of debt issuance costs of $577,000 for the year ended December 31, 2018, $1.8 million for the year ended December 31, 2017, and $669,000 for the year ended December 31, 2016. December 31, 2018 2017 (dollars in thousands) Fair value $ 276,499 $ 307,419 UPB $ 281,922 $ 316,684 Weighted average interest rate 3.51 % 3.51 % |
Liability for Losses Under Re_2
Liability for Losses Under Representations and Warranties (Tables) | 12 Months Ended |
Dec. 31, 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: Year ended December 31, 2018 2017 2016 (in thousands) Balance, beginning of year $ 8,678 $ 15,350 $ 20,171 Provision for losses: Pursuant to mortgage loan sales 2,531 3,147 3,254 Reduction in liability due to change in estimate (3,707 ) (9,679 ) (7,564 ) Recoveries (losses incurred), net 12 (140 ) (511 ) Balance, end of year $ 7,514 $ 8,678 $ 15,350 UPB of mortgage loans subject to representations and warranties at end of year $ 90,427,100 $ 71,416,333 $ 56,114,162 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Commitments And Contingencies Disclosure [Abstract] | |
Company's Outstanding Contractual Commitments | The following table summarizes the Company’s outstanding contractual commitments: December 31, 2018 (in thousands) Commitments to purchase mortgage loans acquired for sale $ 1,688,516 Firm commitment to purchase credit risk transfer securities $ 605,052 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Equity [Abstract] | |
Schedule of Preferred Shares of Beneficial Interest | Preferred shares of beneficial interest are summarized below: Dividends per share, year ended Series Description (1) Number of shares Liquidation preference Issuance discount Carrying value December 31, 2018 December 31, 2017 Fixed-to-floating rate cumulative redeemable preferred (in thousands, except dividends per share) A 8.125% Issued March 2017 4,600 $ 115,000 $ 3,828 $ 111,172 $ 2.03 $ 1.59 B 8.00% Issued July 2017 7,800 195,000 6,465 188,535 $ 2.00 $ 0.89 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: Year ended December 31, Cumulative 2018 2017 2016 total (1) (in thousands) Common shares repurchased 671 5,647 7,368 14,731 Cost of common shares repurchased $ 10,719 $ 91,198 $ 98,370 $ 216,625 (1) Amounts represent the share repurchase program total from its inception in August 2015 through December 31, 2018. |
Net Mortgage Loan Servicing F_2
Net Mortgage Loan Servicing Fees (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Text Block [Abstract] | |
Summary of Net Mortgage Loan Servicing Fees | Net mortgage loan servicing fees are summarized below: Year ended December 31, 2018 2017 2016 (in thousands) From non-affiliates: Servicing fees (1) $ 204,663 $ 164,776 $ 125,961 Ancillary and other fees 8,062 6,523 5,872 Effect of MSRs: Carried at fair value - changes in fair value: Realization of cashflows (119,552 ) (9,762 ) (9,314 ) Other 60,772 (4,373 ) (3,210 ) (58,780 ) (14,135 ) (12,524 ) Carried at lower of amortized cost or fair value: Amortization — (81,624 ) (65,647 ) Increase in impairment valuation allowance — (5,876 ) (2,728 ) Gain on sale — 660 11 (Losses) gains on hedging derivatives, net (35,550 ) (2,512 ) 2,271 (94,330 ) (103,487 ) (78,617 ) 118,395 67,812 53,216 From PFSI—MSR recapture income 2,192 1,428 1,573 Net mortgage loan servicing fees $ 120,587 $ 69,240 $ 54,789 Average servicing portfolio $ 80,500,212 $ 63,836,843 $ 49,626,758 (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) | 12 Months Ended |
Dec. 31, 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: Year ended December 31, 2018 2017 2016 (in thousands) From non-affiliates: Cash loss: Mortgage loans $ (363,271 ) $ (209,898 ) $ (229,743 ) Hedging activities 9,172 (15,288 ) 30,927 (354,099 ) (225,186 ) (198,816 ) Non cash gain: Recognition of fair value of firm commitment to purchase credit risk transfer security 30,595 — — Receipt of MSRs in mortgage loan sale transactions 356,755 290,309 275,092 Provision for losses relating to representations and warranties provided in mortgage loan sales: Pursuant to mortgage loans sales (2,531 ) (3,147 ) (3,254 ) Reduction in liability due to change in estimate 3,707 9,679 7,564 1,176 6,532 4,310 Change in fair value of financial instruments held at year end: IRLCs 7,356 855 (869 ) Mortgage loans (9,685 ) 5,879 (1,846 ) Hedging derivatives 16,162 (15,957 ) 19,347 13,833 (9,223 ) 16,632 Total from non-affiliates-sourcing fees 48,260 62,432 97,218 From PFSI—cash gain 10,925 12,084 9,224 $ 59,185 $ 74,516 $ 106,442 |
Net Gain (Loss) on Investments
Net Gain (Loss) on Investments (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Investments Debt And Equity Securities [Abstract] | |
Summary of Net Gain (Loss) on Investments | Net gain (loss) on investments is summarized below: Year ended December 31, 2018 2017 2016 (in thousands) From non-affiliates: Mortgage-backed securities at fair value $ (11,262 ) $ 5,498 $ (13,168 ) Mortgage loans at fair value: Distressed (15,197 ) (684 ) (3,504 ) Held in a VIE (8,499 ) 4,266 (1,748 ) CRT Agreements 92,943 123,728 32,500 Firm commitment to purchase CRT securities 7,399 — — Asset-backed financing of a VIE at fair value 9,610 (3,426 ) 3,238 Hedging derivatives (4,152 ) (18,468 ) 7,251 70,842 110,914 24,569 From PFSI—ESS 11,084 (14,530 ) (17,394 ) $ 81,926 $ 96,384 $ 7,175 |
Net Interest Income (Tables)
Net Interest Income (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Banking And Thrift Interest [Abstract] | |
Summary of Net Interest Income | Net interest income is summarized below: Year ended December 31, 2018 2017 2016 (in thousands) Interest income: From nonaffiliates: Short-term investments $ 852 $ 576 $ 923 Mortgage-backed securities 55,487 29,438 14,663 Mortgage loans acquired for sale at fair value 75,610 53,164 54,750 Mortgage loans at fair value: Distressed 21,666 63,613 107,044 Held in a VIE 11,813 14,425 17,042 Deposits securing CRT Agreements 15,441 4,291 930 Placement fees relating to custodial funds 26,065 12,517 4,058 Other 700 201 111 207,634 178,225 199,521 From PFSI—ESS 15,138 16,951 22,601 222,772 195,176 222,122 Interest expense: To nonaffiliates: Assets sold under agreements to repurchase (1) 115,383 93,580 92,838 Mortgage loan participation purchase and sale agreements 2,422 1,593 1,376 Exchangeable Notes 14,601 14,535 14,473 Notes payable 14,623 12,634 12,892 Asset-backed financings of a VIE at fair value 10,821 13,184 12,091 FHLB advances — — 122 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 7,324 5,928 6,812 Interest on mortgage loan impound deposits 2,535 1,879 1,334 167,709 143,333 141,938 To PFSI—Assets sold under agreement to repurchase 7,462 8,038 7,830 175,171 151,371 149,768 Net interest income $ 47,601 $ 43,805 $ 72,354 (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 years ended December 31, 2018 and 2017, the Company included $19.7 million and $3.1 million, respectively, of such incentives as a reduction of Interest expense |
Share-Based Compensation Plans
Share-Based Compensation Plans (Tables) | 12 Months Ended |
Dec. 31, 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: Year ended December 31, 2018 2017 2016 (in thousands) Grants: Restricted share units 129 136 218 Performance share units 116 126 112 Total share units granted 245 262 330 Grant date fair value: Restricted share units granted $ 2,281 $ 2,316 $ 2,690 Performance share units granted 1,542 1,675 1,351 Total fair value of share units granted $ 3,823 $ 3,991 $ 4,041 Vestings: Restricted share units 261 284 299 Performance share units 27 — — Total share units vested 288 284 299 Forfeitures: Restricted share units 2 13 — Performance share units — — — Total share units forfeited 2 13 — Compensation expense relating to share-based grants $ 5,318 $ 4,904 $ 5,748 |
Summary of Restricted Share Units and Performance Share Units Expected to Vest | December 31, 2018 Restricted share units Performance share units Shares expected to vest: Number of units (in thousands) 360 237 Grant date fair value per unit $ 17.69 $ 11.21 Average remaining vesting period (months) 8 9 |
Other Expenses (Tables)
Other Expenses (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Other Income And Expenses [Abstract] | |
Summary of Other Expenses | Other expenses are summarized below: Year ended December 31, 2018 2017 2016 (in thousands) Common overhead allocation from PFSI $ 4,640 $ 5,306 $ 7,898 Safekeeping 1,805 2,918 2,675 Bank service charges 1,522 2,150 842 Technology 1,408 1,479 1,448 Insurance 1,193 1,150 1,326 Other 825 1,197 823 $ 11,393 $ 14,200 $ 15,012 |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Income Tax Disclosure [Abstract] | |
Schedule of Tax Characterization of Distributions | The approximate tax characterization of the Company’s distributions is as follows: Year ended December 31, Ordinary income Long term capital gain Return of capital 2018 49 % 0 % 51 % 2017 71 % 29 % 0 % 2016 60 % 40 % 0 % |
Summary of Company's Provision for (Benefit from) Income Taxes | The following table details the Company’s provision for (benefit from) income taxes which relates primarily to the TRS for the years presented: Year ended December 31, 2018 2017 2016 (in thousands) Current expense: Federal $ 19 $ 251 $ 361 State 6 57 81 Total current expense 25 308 442 Deferred expense (benefit): Federal 7,587 3,824 (8,790 ) State (2,422 ) 2,665 (5,699 ) Total deferred expense (benefit) 5,165 6,489 (14,489 ) Total provision for (benefit from) income taxes $ 5,190 $ 6,797 $ (14,047 ) |
Reconciliation of Company's Provision for (Benefit from) Income Taxes | The following table is a reconciliation of the Company’s provision for (benefit from) income taxes at statutory rates to the provision for (benefit from) income taxes at the Company’s effective rate for the years presented: Year ended December 31, 2018 2017 2016 Amount Rate Amount Rate Amount Rate (dollars in thousands) Federal income tax expense at statutory tax rate $ 33,177 21.0 % $ 43,591 35.0 % $ 21,617 35.0 % Effect of non-taxable REIT income (26,647 ) (16.9 )% (25,754 ) (20.7 )% (32,501 ) (52.6 )% State income taxes, net of federal benefit (2,044 ) (1.3 )% 1,687 1.4 % (3,652 ) (5.9 )% Effect of federal statutory rate change — 0 % (12,992 ) (10.4 )% — 0 % Other 704 0.4 % 265 0.2 % 489 0.8 % Valuation allowance — 0 % — 0 % — 0 % Provision for (benefit from) income taxes $ 5,190 3.3 % $ 6,797 5.5 % $ (14,047 ) (22.7 )% |
Components of Provision for (Benefit from) Deferred Income Taxes | The Company’s components of the provision for (benefit from) deferred income taxes are as follows: Year ended December 31, 2018 2017 2016 (in thousands) Real estate valuation loss $ 1,565 $ 3,476 $ 2,732 Mortgage servicing rights 4,797 15,516 10,597 Net operating loss carryforward (1,109 ) 4,333 (19,863 ) Liability for losses under representations and warranties 405 2,652 2,222 Excess interest expense disallowance 234 (7,304 ) (8,721 ) Effect of federal statutory rate change — (12,992 ) — Other (727 ) 808 (1,456 ) Valuation allowance — — — Total provision for (benefit from) deferred income taxes $ 5,165 $ 6,489 $ (14,489 ) |
Components of Income Taxes Payable | The components of income taxes payable are as follows: December 31, 2018 December 31, 2017 (in thousands) Taxes currently (receivable) payable $ (1,160 ) $ 148 Deferred income taxes payable 37,686 27,169 Income taxes payable $ 36,526 $ 27,317 |
Summary of Deferred Income Tax Assets and Liabilities | The tax effects of temporary differences that gave rise to deferred income tax assets and liabilities are presented below: December 31, 2018 December 31, 2017 (in thousands) Deferred income tax assets: Net operating loss carryforward $ 40,896 $ 39,788 Excess interest expense disallowance 19,901 20,135 REO valuation loss 2,578 4,143 Liability for losses under representations and warranties 2,011 2,416 Other 1,576 848 Gross deferred tax assets 66,962 67,330 Deferred income tax liabilities: Mortgage servicing rights 104,648 94,499 Other — — Gross deferred tax liabilities 104,648 94,499 Net deferred income tax liability $ 37,686 $ 27,169 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 12 Months Ended |
Dec. 31, 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: Year ended December 31, 2018 2017 2016 (in thousands except per share amounts) Net income $ 152,798 $ 117,749 $ 75,810 Dividends on preferred shares (24,938 ) (15,267 ) — Effect of participating securities—share-based compensation awards (750 ) (991 ) (1,333 ) Net income attributable to common shareholders $ 127,110 $ 101,491 $ 74,477 Net income attributable to common shareholders $ 127,110 $ 101,491 $ 74,477 Interest on Exchangeable Notes, net of income taxes 10,637 8,757 8,719 Diluted net income attributable to common shareholders $ 137,747 $ 110,248 $ 83,196 Weighted average basic shares outstanding 60,898 66,144 68,642 Dilutive securities: Shares issuable pursuant to exchange of the Exchangeable Notes 8,467 8,467 8,467 Diluted weighted average number of shares outstanding 69,365 74,611 77,109 Basic earnings per share $ 2.09 $ 1.53 $ 1.09 Diluted earnings per share $ 1.99 $ 1.48 $ 1.08 |
Summary of Potentially Dilutive Shares Excluded from Computation of Diluted Earnings Per Share | Year ended December 31, 2018 2017 2016 (in thousands) Shares issuable under share-based compensation plan 252 157 701 |
Segments (Tables)
Segments (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Segment Reporting [Abstract] | |
Financial Highlights by Operating Segment | Financial highlights by operating segment are summarized below: Credit Interest rate Correspondent sensitive sensitive Year ended December 31, 2018 production strategies strategies Corporate Total (in thousands) Net investment income: Net mortgage loan servicing fees $ — $ 29 $ 120,558 $ — $ 120,587 Net gain on mortgage loans acquired for sale 28,445 30,740 — — 59,185 Net gain (loss) on investments — 84,943 (3,017 ) — 81,926 Net interest income (expense): Interest income 75,068 37,786 108,366 1,552 222,772 Interest expense (41,354 ) (41,523 ) (92,294 ) — (175,171 ) 33,714 (3,737 ) 16,072 1,552 47,601 Other income (loss) 43,447 (1,704 ) — 25 41,768 105,606 110,271 133,613 1,577 351,067 Expenses: Mortgage loan fulfillment and servicing fees payable to PFSI 81,350 7,561 34,484 — 123,395 Management fees — — — 24,465 24,465 Other 7,784 15,459 697 21,279 45,219 89,134 23,020 35,181 45,744 193,079 Pre-tax income (loss) $ 16,472 $ 87,251 $ 98,432 $ (44,167 ) $ 157,988 Total assets at year end $ 1,698,656 $ 1,602,776 $ 4,373,488 $ 138,441 $ 7,813,361 Credit Interest rate Correspondent sensitive sensitive Year ended December 31, 2017 production strategies strategies Corporate Total (in thousands) Net investment income: Net mortgage loan servicing fees $ — $ 134 $ 69,106 $ — $ 69,240 Net gain on mortgage loans acquired for sale 74,308 208 — — 74,516 Net gain (loss) on investments — 123,774 (27,390 ) — 96,384 Net interest income: Interest income 52,522 69,008 72,870 776 195,176 Interest expense (35,128 ) (53,434 ) (62,809 ) — (151,371 ) 17,394 15,574 10,061 776 43,805 Other income (loss) 40,279 (6,290 ) — 6 33,995 131,981 133,400 51,777 782 317,940 Expenses: Mortgage loan fulfillment and servicing fees payable to PFSI 80,366 15,611 27,446 — 123,423 Management fees — — — 22,584 22,584 Other 8,677 15,575 1,648 21,487 47,387 89,043 31,186 29,094 44,071 193,394 Pre-tax income (loss) $ 42,938 $ 102,214 $ 22,683 $ (43,289 ) $ 124,546 Total assets at year end $ 1,302,245 $ 1,791,447 $ 2,414,423 $ 96,818 $ 5,604,933 Credit Interest rate Correspondent sensitive sensitive Year ended December 31, 2016 production strategies strategies Corporate Total (in thousands) Net investment income: Net mortgage loan servicing fees $ — $ 6 $ 54,783 — $ 54,789 Net gain (loss) on mortgage loans acquired for sale 107,126 (684 ) — — 106,442 Net gain (loss) on investments — 30,418 (23,243 ) — 7,175 Net interest income: Interest income 53,943 109,986 57,542 651 222,122 Interest expense (34,630 ) (62,707 ) (52,431 ) — (149,768 ) 19,313 47,279 5,111 651 72,354 Other income (loss) 42,091 (10,763 ) — — 31,328 168,530 66,256 36,651 651 272,088 Expenses: Mortgage loan fulfillment and servicing fees payable to PFSI 86,488 29,601 20,991 — 137,080 Management fees — — — 20,657 20,657 Other 8,200 19,367 1,619 23,402 52,588 94,688 48,968 22,610 44,059 210,325 Pre-tax income (loss) $ 73,842 $ 17,288 $ 14,041 $ (43,408 ) $ 61,763 Total assets at year end $ 1,734,290 $ 2,288,886 $ 2,177,024 $ 157,302 $ 6,357,502 |
Selected Quarterly Results (Tab
Selected Quarterly Results (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Quarterly Financial Information Disclosure [Abstract] | |
Selected Quarterly Financial Data | Following is a presentation of selected quarterly financial data: Quarter ended 2018 2017 Dec. 31 Sept. 30 June 30 Mar. 31 Dec. 31 Sept. 30 June 30 Mar. 31 (dollars in thousands, except per share data) Net investment income $ 83,902 $ 108,501 $ 82,991 $ 75,673 $ 93,703 $ 75,804 $ 83,959 $ 64,474 Net income $ 41,625 $ 46,562 $ 36,425 $ 28,186 $ 40,838 $ 19,395 $ 28,780 $ 28,737 Earnings per share: Basic $ 0.58 $ 0.66 $ 0.49 $ 0.36 $ 0.53 $ 0.20 $ 0.39 $ 0.42 Diluted $ 0.55 $ 0.62 $ 0.47 $ 0.35 $ 0.50 $ 0.20 $ 0.38 $ 0.40 Cash dividends declared per share $ 0.47 $ 0.47 $ 0.47 $ 0.47 $ 0.47 $ 0.47 $ 0.47 $ 0.47 At quarter end: Mortgage-backed securities $ 2,610,422 $ 2,126,507 $ 1,698,322 $ 1,436,456 $ 989,461 $ 1,036,669 $ 1,065,540 $ 1,089,610 Mortgage loans (1) 2,052,262 2,582,600 2,539,963 1,895,023 2,358,988 2,618,283 2,846,415 2,861,797 Excess servicing spread 216,110 223,275 229,470 236,002 236,534 248,763 261,796 277,484 Derivative assets 167,165 143,577 133,239 122,518 113,881 67,288 73,875 41,213 Real estate (2) 128,791 141,576 155,702 187,296 207,089 227,580 247,350 260,368 Deposits securing credit risk transfer agreements 1,146,501 662,624 651,204 622,330 588,867 545,694 503,108 463,836 Mortgage servicing rights 1,162,369 1,109,741 1,010,507 957,013 844,781 790,335 734,800 696,970 Other assets 329,741 277,678 258,442 333,848 265,332 250,431 277,360 311,668 Total assets $ 7,813,361 $ 7,267,578 $ 6,676,849 $ 5,790,486 $ 5,604,933 $ 5,785,043 $ 6,010,244 $ 6,002,946 Short-term debt $ 5,081,691 $ 4,452,670 $ 3,630,843 $ 3,366,181 $ 3,269,462 $ 3,475,552 $ 3,846,324 $ 3,634,396 Long-term debt 1,011,433 1,086,841 1,363,886 737,289 661,715 571,696 582,665 780,180 Other liabilities 154,105 169,504 136,633 144,758 129,171 127,230 126,423 129,780 Total liabilities 6,247,229 5,709,015 5,131,362 4,248,228 4,060,348 4,174,478 4,555,412 4,544,356 Shareholders’ equity 1,566,132 1,558,563 1,545,487 1,542,258 1,544,585 1,610,565 1,454,832 1,458,590 Total liabilities and shareholders’ equity $ 7,813,361 $ 7,267,578 $ 6,676,849 $ 5,790,486 $ 5,604,933 $ 5,785,043 $ 6,010,244 $ 6,002,946 (1) Includes mortgage loans acquired for sale at fair value and mortgage loans at fair value. (2) Includes REO and real estate held for investment. |
Supplemental Cash Flow Inform_2
Supplemental Cash Flow Information (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Supplemental Cash Flow Elements [Abstract] | |
Summary of Supplemental Cash Flow Information | Year ended December 31, 2018 2017 2016 (in thousands) Payments: Income tax (refunds), net $ 1,333 $ (2,354 ) $ 1,294 Interest $ 170,435 $ 152,441 $ 157,686 Cumulative effect on accumulated deficit of conversion to fair value accounting for mortgage servicing rights $ (14,361 ) $ — $ — Non-cash investing activities: Transfer of mortgage loans and advances to real estate acquired in settlement of loans $ 32,578 $ 87,202 $ 207,431 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment $ 5,183 $ 16,530 $ 21,406 Transfer of real estate acquired in settlement of mortgage loans from real estate held for investment $ 3,401 $ — $ — Receipt of mortgage servicing rights as proceeds from sales of mortgage loans $ 356,755 $ 290,309 $ 275,092 Receipt of excess servicing spread pursuant to recapture agreement with PennyMac Financial Services, Inc. $ 2,688 $ 5,244 $ 6,603 Capitalization of servicing advances pursuant to mortgage loan modifications $ 5,481 $ 18,923 $ — Non-cash financing activities: Dividends declared, not paid $ 28,816 $ 29,145 $ 31,655 |
Regulatory Capital and Liquid_2
Regulatory Capital and Liquidity Requirements (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Mortgage Banking [Abstract] | |
Summary of Capital and Liquidity Amounts and Requirements by Agencies | Net Worth (1) Tangible Net Worth / Total Assets Ratio (1) Liquidity (1) Fannie Mae and Freddie Mac Actual Required Actual Required Actual Required (dollars in thousands) December 31, 2018 $ 528,506 $ 238,915 11 % 6 % $ 58,144 $ 31,678 December 31, 2017 $ 487,535 $ 182,818 12 % 6 % $ 73,252 $ 25,245 (1) Calculated in accordance with the Agencies’ requirements. |
Parent Company Information (Tab
Parent Company Information (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Condensed Financial Information Of Parent Company Only Disclosure [Abstract] | |
Schedule of Financial Covenants that Include Minimum Tangible Net Worth | The Company’s debt financing agreements require PMT and certain of its subsidiaries to comply with financial covenants that include a minimum tangible net worth as summarized below: December 31, 2018 Company consolidated Debt covenant requirement Calculated balance (1) (in thousands) PennyMac Mortgage Investment Trust $ 860,000 $ 1,566,132 Operating Partnership $ 860,000 $ 1,598,784 PennyMac Holdings $ 250,000 $ 598,826 PennyMac Corp $ 150,000 $ 526,935 (1) Calculated in accordance with the lenders’ requirements. |
Schedule of Parent Company Information | PENNYMAC MORTGAGE INVESTMENT TRUST CONDENSED BALANCE SHEETS Following are condensed parent-only financial statements for the Company: December 31, 2018 2017 (in thousands) Assets Short-term investment $ 714 $ 1,873 Investments in subsidiaries 1,599,298 1,651,419 Due from subsidiaries 86 2 Other assets 647 589 Total assets $ 1,600,745 $ 1,653,883 Liabilities Dividends payable $ 28,680 $ 28,949 Accounts payable and accrued liabilities 2,338 5,657 Capital notes due to subsidiaries — 69,200 Due to affiliates 888 1,073 Due to subsidiaries 27 3 Total liabilities 31,933 104,882 Shareholders' equity 1,568,812 1,549,001 Total liabilities and shareholders' equity $ 1,600,745 $ 1,653,883 PENNYMAC MORTGAGE INVESTMENT TRUST CONDENSED STATEMENTS OF INCOME Year ended December 31, 2018 2017 2016 (in thousands) Income Dividends from subsidiaries $ 221,469 $ 177,571 $ 230,091 Intercompany interest 8 7 6 Other 1,250 1,256 1,250 Total income 222,727 178,834 231,347 Expenses Intercompany interest 414 378 1,382 Other — — (114 ) Total expenses 414 378 1,268 Income before provision for income taxes and equity in undistributed earnings in subsidiaries 222,313 178,456 230,079 Provision for income taxes 24 308 442 Income before equity in undistributed earnings of subsidiaries 222,289 178,148 229,637 Equity in distributions in excess of earnings of subsidiaries (71,180 ) (60,655 ) (155,093 ) Net income $ 151,109 $ 117,493 $ 74,544 PENNYMAC MORTGAGE INVESTMENT TRUST CONDENSED STATEMENTS OF CASH FLOWS Year ended December 31, 2018 2017 2016 (in thousands) Cash flows from operating activities: Net income $ 151,109 $ 117,493 $ 74,544 Equity in distributions in excess of earnings of subsidiaries 71,180 60,655 155,093 Decrease in due from affiliates 490 620 693 (Increase) decrease in other assets (58 ) 21 196 (Decrease) increase in accounts payable and accrued liabilities (3,320 ) 2,892 93 Increase in due from affiliates (185 ) (58 ) (116 ) Increase (decrease) due to affiliates 84 35 (174 ) Net cash provided by operating activities 219,300 181,658 230,329 Cash flows from investing activities: Increase in investment in subsidiaries — (299,919 ) — Net decrease (increase) in short-term investments 1,159 (838 ) 1,571 Net cash provided by (used in) investing activities 1,159 (300,757 ) 1,571 Cash flows from financing activities: Net (decrease) increase in intercompany unsecured note payable (69,200 ) 50,791 (1,970 ) Issuance of preferred shares — 310,000 — Payment of issuance costs related to preferred shares — (10,293 ) — Payment of dividends to preferred shareholders (24,944 ) (14,066 ) — Payment of dividends to common shareholders (115,596 ) (126,135 ) (131,560 ) Repurchases of common shares (10,719 ) (91,198 ) (98,370 ) Net cash (used in) provided by financing activities (220,459 ) 119,099 (231,900 ) Net change in cash — — — Cash and restricted cash at beginning of year — — — Cash and restricted cash at end of year $ — $ — $ — Non-cash financing activity — dividends payable $ 28,816 $ 29,145 $ 31,655 |
Organization - Additional Infor
Organization - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2018Segment | |
Accounting Policies [Abstract] | |
Number of business segments | 4 |
Percentage of taxable income for distributions | 90.00% |
Significant Accounting Polici_3
Significant Accounting Policies - Additional Information (Detail) - USD ($) | Sep. 30, 2013 | Dec. 31, 2018 |
Mortgage Loans on Real Estate [Line Items] | ||
Cost-basis investments | $ 0 | |
Equity method investments | $ 0 | |
Loans delinquent | 90 or more days | |
Servicing fee, percentage | 0.25% | |
Deciding percentage of class of MSRs | More than 4.5%. | |
Interest rate | 4.50% | |
MSRs note rate pool description | Note interest rate pools of 50 basis points for note interest rates between 3.0% and 4.5% and a single pool for note interest rates below 3%. Adjustable rate mortgage loans with initial interest rates of 4.5% or less were evaluated in a single pool. | |
Mortgage loans description | Note interest rate pools of 50 basis points | |
Basis point for mortgage loan | 0.50% | |
Income tax positions likely to be recognized | 50.00% | |
Minimum [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Fixed-rate mortgage loans | 3.00% | |
Maximum [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Fixed-rate mortgage loans | 4.50% | |
Mortgage servicing rights [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Deciding percentage of class of MSRs | The Company identified two classes of MSRs: originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5%; and originated MSRs backed by mortgage loans with initial interest rates of more than 4.5%. | |
Jumbo Mortgage Loan Financing [Member] | Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Certificates issued | $ 537,000,000 | |
Weighted cost | 3.90% |
Transactions with Related Par_3
Transactions with Related Parties - Correspondent Production - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2018USD ($) | |
Mortgage Loans On Real Estate [Line Items] | |
Servicing agreement expiration date | Sep. 12, 2020 |
Renewal period of servicing agreement | 18 months |
Minimum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Interest income and sourcing fee | 0.02% |
Maximum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Interest income and sourcing fee | 0.035% |
PennyMac Loan Services, LLC [Member] | Fannie Mae Or Freddie Mac Mortgage Loans | Maximum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Basis point for monthly fulfillment fee | 0.35% |
PennyMac Loan Services, LLC [Member] | 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 | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Related Party Transaction [Line Items] | |||
Mortgage loans fulfillment fees earned by PLS | $ 81,350 | $ 80,359 | $ 86,465 |
Purchases of mortgage loans acquired for sale from PLS | 3,343,028 | 904,097 | 21,541 |
Mortgage loans included in Mortgage loans acquired for sale at fair value pending sale to PLS | 1,643,957 | 1,269,515 | |
PennyMac Loan Services, LLC [Member] | |||
Related Party Transaction [Line Items] | |||
Mortgage loans fulfillment fees earned by PLS | 81,350 | 80,359 | 86,465 |
UPB of mortgage loans fulfilled by PLS | 26,194,303 | 22,971,119 | 23,188,386 |
Sourcing fees received from PLS included in Net gain on mortgage loans acquired for sale | 10,925 | 12,084 | 11,976 |
UPB of mortgage loans sold to PLS | 36,415,933 | 40,561,241 | 39,908,163 |
Early purchase program fees paid to PLS included in Mortgage loan servicing fees | 0 | 7 | 30 |
Purchases of mortgage loans acquired for sale from PLS | 3,343,028 | 904,097 | 21,541 |
Tax service fee paid to PLS included in Other expense | 7,433 | 7,078 | $ 6,690 |
Mortgage loans included in Mortgage loans acquired for sale at fair value pending sale to PLS | $ 86,308 | $ 279,571 |
Transactions with Related Par_5
Transactions with Related Parties - Mortgage Loan Servicing - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2018USD ($) | |
Mortgage Loans On Real Estate [Line Items] | |
Servicing agreement expiration date | Sep. 12, 2020 |
Renewal period of servicing agreement | 18 months |
PennyMac Loan Services, LLC [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
REO rental fee | $ 30 |
Lease renewal fee for REO | $ 100 |
Rental income percentage gross | 9.00% |
PennyMac Loan Services, LLC [Member] | Distressed mortgage loans [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees for REO per month | $ 75 |
Activity based fees | $ 500 |
Services agreement fees collection period | 18 months |
PennyMac Loan Services, LLC [Member] | Distressed mortgage loans [Member] | Minimum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees per month | $ 30 |
Activity based fees | 750 |
PennyMac Loan Services, LLC [Member] | Distressed mortgage loans [Member] | Maximum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees per month | 85 |
Activity based fees | 1,750 |
PennyMac Loan Services, LLC [Member] | Whole loans [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Supplemental fee received per month | 25 |
PennyMac Loan Services, LLC [Member] | Subserviced loan [Member] | Fixed-Rate Mortgage Loans [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees per month | 7.50 |
PennyMac Loan Services, LLC [Member] | Subserviced loan [Member] | Adjustable rate mortgage loans [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees per month | 8.50 |
PennyMac Loan Services, LLC [Member] | Non-Distressed Mortgage Loans [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees for REO per month | 75 |
PennyMac Loan Services, LLC [Member] | Non-Distressed Mortgage Loans [Member] | Minimum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Additional servicing fees per loan per month | 10 |
PennyMac Loan Services, LLC [Member] | Non-Distressed Mortgage Loans [Member] | Maximum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Additional servicing fees per loan per month | $ 55 |
PennyMac 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 | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Related Party Transaction [Line Items] | |||
Mortgage loan servicing fees | $ 42,045 | $ 43,064 | $ 50,615 |
Average MSR portfolio UPB | 80,500,212 | 63,836,843 | 49,626,758 |
PennyMac Loan Services, LLC [Member] | |||
Related Party Transaction [Line Items] | |||
Mortgage loan servicing fees | 40 | 129 | 83 |
Average MSR portfolio UPB | 80,500,212 | 63,836,843 | 49,626,758 |
MSR recapture income recognized included in Net mortgage loan servicing fees—from PennyMac Financial Services, Inc. | 2,192 | 1,428 | 1,573 |
PennyMac Loan Services, LLC [Member] | Mortgage loans acquired for sale at fair value [Member] | |||
Related Party Transaction [Line Items] | |||
Mortgage loan servicing fees | 1,037 | 954 | 1,063 |
Average MSR portfolio UPB | 1,577,395 | 1,366,017 | 1,443,587 |
PennyMac Loan Services, LLC [Member] | Distressed mortgage loans [Member] | |||
Related Party Transaction [Line Items] | |||
Mortgage loan servicing fees | 7,555 | 15,610 | 29,599 |
Average MSR portfolio UPB | 473,458 | 1,152,930 | 1,731,638 |
PennyMac Loan Services, LLC [Member] | Mortgage servicing rights [Member] | |||
Related Party Transaction [Line Items] | |||
Mortgage loan servicing fees | 33,413 | 26,371 | 19,870 |
PennyMac Loan Services, LLC [Member] | Mortgage loans held in VIE [Member] | |||
Related Party Transaction [Line Items] | |||
Average MSR portfolio UPB | 301,398 | 344,942 | 422,122 |
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 | 347 | 305 | 330 |
PennyMac Loan Services, LLC [Member] | Base [Member] | Distressed mortgage loans [Member] | |||
Related Party Transaction [Line Items] | |||
Mortgage loan servicing fees | 2,771 | 6,650 | 11,078 |
PennyMac Loan Services, LLC [Member] | Base [Member] | Mortgage servicing rights [Member] | |||
Related Party Transaction [Line Items] | |||
Mortgage loan servicing fees | 32,814 | 25,862 | 19,378 |
PennyMac Loan Services, LLC [Member] | Base [Member] | Mortgage loans held in VIE [Member] | |||
Related Party Transaction [Line Items] | |||
Mortgage loan servicing fees | 42,045 | 43,064 | 50,615 |
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 | 690 | 649 | 733 |
PennyMac Loan Services, LLC [Member] | Activity-based [Member] | Distressed mortgage loans [Member] | |||
Related Party Transaction [Line Items] | |||
Mortgage loan servicing fees | 4,784 | 8,960 | 18,521 |
PennyMac Loan Services, LLC [Member] | Activity-based [Member] | Mortgage servicing rights [Member] | |||
Related Party Transaction [Line Items] | |||
Mortgage loan servicing fees | $ 599 | $ 509 | $ 492 |
Transactions with Related Par_7
Transactions with Related Parties - Management Fees - Additional Information (Detail) - USD ($) | 12 Months Ended | |
Dec. 31, 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 | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Related Party Transaction [Line Items] | |||
Total management fee incurred during the period | $ 24,465 | $ 22,584 | $ 20,657 |
PNMAC Capital Management LLC [Member] | |||
Related Party Transaction [Line Items] | |||
Total management fee incurred during the period | 24,465 | 22,584 | 20,657 |
PNMAC Capital Management LLC [Member] | Base [Member] | |||
Related Party Transaction [Line Items] | |||
Total management fee incurred during the period | 23,033 | 22,280 | 20,657 |
PNMAC Capital Management LLC [Member] | Performance incentive [Member] | |||
Related Party Transaction [Line Items] | |||
Total management fee incurred during the period | $ 1,432 | $ 304 | $ 0 |
Transactions with Related Par_9
Transactions with Related Parties - Summary of Expenses (Detail) - PNMAC Capital Management LLC [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Related Party Transaction [Line Items] | |||
Common overhead incurred by PCM and its affiliates | $ 4,640 | $ 5,306 | $ 7,898 |
Compensation | 480 | 0 | 0 |
Expenses incurred on the Company’s behalf, net | 1,113 | 2,257 | (163) |
Total expenses incurred in transaction with affiliates | 6,233 | 7,563 | 7,735 |
Payments and settlements during the year | $ 71,943 | $ 64,945 | $ 143,542 |
Transactions with Related Pa_10
Transactions with Related Parties - Note Payable to PLS - Additional Information (Detail) - USD ($) | Dec. 19, 2016 | Aug. 04, 2009 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 |
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% | ||||
Payment of contingent underwriting fees | $ 136,000 | $ 61,000 | $ 0 | ||
VFN [Member] | |||||
Related Party Transaction [Line Items] | |||||
Maximum principal balance | $ 1,000,000,000 | ||||
PennyMac Financial Services, Inc. [Member] | |||||
Related Party Transaction [Line Items] | |||||
Number of common shares held by affiliate | 75,000 | 75,000 | |||
PNMAC Capital Management LLC [Member] | |||||
Related Party Transaction [Line Items] | |||||
PMT agreed to reimburse PCM for a payment | $ 120,000 | ||||
Maximum [Member] | |||||
Related Party Transaction [Line Items] | |||||
Aggregate ESS transferred | $ 200,000 | ||||
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 | 12 Months Ended | ||||||||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | |
Related Party Transaction [Line Items] | |||||||||
Sale of mortgage loans at fair value to PennyMac Financial Services, Inc. | $ 0 | $ 0 | $ 891 | ||||||
ESS: | |||||||||
Interest income | 222,772 | 195,176 | 222,122 | ||||||
Net (loss) gain included in Net gain (loss) on investments: | |||||||||
Net (loss) gain on investments | 81,926 | 96,384 | 7,175 | ||||||
Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value | 216,110 | 236,534 | $ 223,275 | $ 229,470 | $ 236,002 | $ 248,763 | $ 261,796 | $ 277,484 | |
PennyMac Financial Services, Inc. [Member] | |||||||||
Related Party Transaction [Line Items] | |||||||||
Sale of mortgage loans at fair value to PennyMac Financial Services, Inc. | 0 | 0 | 891 | ||||||
ESS: | |||||||||
Received pursuant to a recapture agreement | 2,688 | 5,244 | 6,603 | ||||||
Repayments and sales | 46,750 | 54,980 | 129,037 | ||||||
Interest income | 15,138 | 16,951 | 22,601 | ||||||
Net (loss) gain included in Net gain (loss) on investments: | |||||||||
Valuation changes | 8,500 | (19,350) | (23,923) | ||||||
Recapture income | 2,584 | 4,820 | 6,529 | ||||||
Net (loss) gain on investments | 11,084 | (14,530) | $ (17,394) | ||||||
Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value | $ 216,110 | $ 236,534 |
Transactions with Related Pa_12
Transactions with Related Parties - Summary of Financing Activities (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Related Party Transaction [Line Items] | |||
Sale of assets under agreements to repurchase | $ 85,574,226 | $ 77,985,354 | $ 70,684,674 |
Repurchase of assets sold under agreements to repurchase | 83,978,547 | 78,587,535 | 70,030,317 |
Interest expense | 175,171 | 151,371 | 149,768 |
PennyMac Financial Services, Inc. [Member] | |||
Related Party Transaction [Line Items] | |||
Sale of assets under agreements to repurchase | 2,293 | 0 | 0 |
Repurchase of assets sold under agreements to repurchase | 15,396 | 5,872 | 0 |
Interest expense | 7,462 | 8,038 | 7,830 |
Assets sold to PFSI under agreement to repurchase | 131,025 | 144,128 | |
Conditional Reimbursement payable to PCM included in Accounts payable and accrued liabilities | 801 | 870 | |
PCM [Member] | |||
Related Party Transaction [Line Items] | |||
Conditional Reimbursement paid | 69 | 30 | 0 |
PCM [Member] | Accounts Payable and Accrued Liabilities [Member] | |||
Related Party Transaction [Line Items] | |||
Conditional Reimbursement payable to PCM included in Accounts payable and accrued liabilities | 801 | 870 | |
Underwriter [Member] | |||
Related Party Transaction [Line Items] | |||
Conditional Reimbursement paid | $ 136 | $ 61 | $ 0 |
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 | Dec. 31, 2018 | Dec. 31, 2017 |
Due from PFSI: | ||
MSR recapture receivable | $ 179 | $ 282 |
Other | 3,898 | 3,872 |
Due from Affiliates | 4,077 | 4,154 |
Due to PFSI: | ||
Fulfillment fees | 10,006 | 346 |
Allocated expenses and expenses paid by PFSI on PMT’s behalf | 9,066 | 11,542 |
Management fees | 6,559 | 5,901 |
Mortgage loan servicing fees | 4,841 | 6,583 |
Correspondent production fees | 2,071 | 1,735 |
Conditional Reimbursement | 801 | 870 |
Interest on Assets sold to PFSI under agreement to repurchase | 120 | 142 |
Total expense due to affiliate | $ 33,464 | $ 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 | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Cash flows: | |||
Proceeds from sales | $ 29,369,656 | $ 24,314,165 | $ 23,525,952 |
Mortgage loan servicing fees received | $ 204,663 | $ 164,776 | $ 125,961 |
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 | Dec. 31, 2018 | Dec. 31, 2017 |
Mortgage Loans On Real Estate [Line Items] | ||
UPB of mortgage loans outstanding | $ 91,982,335 | $ 71,639,351 |
UPB of delinquent mortgage loans: | ||
30-89 days delinquent | 614,668 | 532,673 |
90 or more days delinquent: | ||
Not in foreclosure | 142,871 | 280,786 |
In foreclosure | 40,445 | 25,258 |
UPB of mortgage loans in bankruptcy | 75,947 | 52,202 |
Custodial funds managed by the Company | $ 970,328 | $ 879,321 |
Loan Sales and Variable Inter_5
Loan Sales and Variable Interest Entities - Additional Information (Detail) - USD ($) $ in Millions | Sep. 30, 2013 | Dec. 31, 2018 | Dec. 31, 2017 |
Jumbo Mortgage Loan Financing [Member] | Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Certificates issued | $ 537 | ||
Weighted yield | 3.90% | ||
Fair value of certificates retained | $ 14.1 | $ 9.7 | |
Credit Risk Transfer Agreements [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Initially limited percentage of unpaid principal balance of mortgage loans sold under recourse obligation losses | 3.50% | ||
Increase to maximum percentage of outstanding unpaid principal balance | 4.50% |
Loan Sales and Variable Inter_6
Loan Sales and Variable Interest Entities - Summary of Credit Risk Transfer Agreements (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||||||||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | |
Carrying value of CRT Agreements: | |||||||||
Deposits securing CRT agreements | $ 1,146,501 | $ 588,867 | $ 662,624 | $ 651,204 | $ 622,330 | $ 545,694 | $ 503,108 | $ 463,836 | |
Interest-only security payable at fair value | 36,011 | 7,070 | |||||||
CRT Agreement assets pledged to secure Assets sold under agreements to repurchase: | |||||||||
Deposits securing CRT Agreements | 1,146,501 | 400,778 | |||||||
Derivative assets | 87,976 | 26,058 | |||||||
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 | 5,546,977 | 14,529,548 | $ 11,190,933 | ||||||
Deposits securing CRT Agreements | 596,626 | 152,641 | 306,507 | ||||||
(Decrease) increase in commitments to fund Deposits securing CRT Agreements resulting from sale of mortgage loans under CRT Agreements | (482,471) | 390,362 | 92,109 | ||||||
Deposits of cash securing credit risk transfer agreements net of adjustment | 114,155 | 543,003 | 398,616 | ||||||
Interest earned on Deposits securing CRT Agreements | 15,441 | 4,291 | 930 | ||||||
Gains recognized on CRT Agreements included in Net gain (loss) on investments | |||||||||
Realized | 86,928 | 51,731 | 21,298 | ||||||
Resulting from valuation changes | 25,347 | 83,030 | 15,316 | ||||||
Gains (losses) recognized on gross derivative related to credit risk transactions | 112,275 | 134,761 | 36,614 | ||||||
Change in fair value of Interest-only security payable at fair value | (19,332) | (11,033) | (4,114) | ||||||
Gains (losses) recognized on net derivative related to credit risk transactions | 92,943 | 123,728 | 32,500 | ||||||
Payments made to settle losses | 2,133 | 1,396 | $ 90 | ||||||
UPB of mortgage loans subject to credit guarantee obligations | 29,934,003 | 26,845,392 | |||||||
Collection status (in UPB): | |||||||||
Current | 29,633,133 | 26,540,953 | |||||||
30—89 days delinquent | 228,296 | 179,144 | |||||||
90—180 days delinquent | 39,826 | 101,114 | |||||||
180 or more days delinquent | 4,208 | 5,146 | |||||||
Foreclosure | 5,180 | 5,463 | |||||||
Delinquency | |||||||||
Bankruptcy | 23,360 | 13,572 | |||||||
Carrying value of CRT Agreements: | |||||||||
Deposits securing CRT agreements | 1,146,501 | 588,867 | |||||||
Interest-only security payable at fair value | 36,011 | 7,070 | |||||||
CRT Agreement assets pledged to secure Assets sold under agreements to repurchase: | |||||||||
Deposits securing CRT Agreements | 1,146,501 | 400,778 | |||||||
Commitments to fund Deposits securing credit risk transfer agreements | 0 | 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 | 123,987 | 98,640 | |||||||
CRT Agreement assets pledged to secure Assets sold under agreements to repurchase: | |||||||||
Derivative assets | $ 87,976 | $ 26,058 |
Loan Sales and Variable Inter_7
Loan Sales and Variable Interest Entities - Summary of Activity Under Purchase Commitments (Detail) - Credit Risk Transfer Agreements [Member] - Purchase Commitment [Member] $ in Thousands | 12 Months Ended |
Dec. 31, 2018USD ($) | |
Transfer Of Financial Assets Accounted For As Sales [Line Items] | |
UPB of mortgage loans sold | $ 16,392,300 |
Increase in expected face amount of firm commitment to purchase CRT securities backed by mortgage loans sold | 605,052 |
Fair value of firm commitment recognized in Gain on sale of mortgage loans | 30,595 |
Gains recognized on firm commitment included in Net gain (loss) on investments | 7,399 |
Firm commitment to purchase CRT securities | 605,052 |
Fair value of firm commitment | 37,994 |
UPB of mortgage loans sold subject to firm commitment to purchase CRT securities related to such loans | 16,392,300 |
Collection status (in UPB): | |
Current | 16,329,044 |
30—89 days delinquent | 61,035 |
90—180 days delinquent | 2,221 |
180 or more days delinquent | 0 |
Foreclosure | 0 |
Bankruptcy | $ 1,258 |
Fair Value - Additional Informa
Fair Value - Additional Information (Detail) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2018 | Dec. 31, 2017 | |
Mortgage Servicing Rights [Line Items] | ||
Initial interest rates | More than 4.5%. | |
Interest rate | 4.50% | |
Mortgage loans description | Note interest rate pools of 50 basis points | |
Basis point for mortgage loan | 0.50% | |
Fair value of exchangeable senior notes | $ 247.2 | $ 244.9 |
Fair value of notes payable | $ 444.4 | |
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 | Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 |
Assets: | ||||||||||
Short-term investments | $ 74,850 | $ 18,398 | ||||||||
Mortgage-backed securities at fair value | 2,610,422 | $ 2,126,507 | $ 1,698,322 | $ 1,436,456 | 989,461 | $ 1,036,669 | $ 1,065,540 | $ 1,089,610 | ||
Mortgage loans acquired for sale at fair value | 1,643,957 | 1,269,515 | ||||||||
Excess servicing spread purchased from PFSI | 216,110 | 223,275 | 229,470 | 236,002 | 236,534 | 248,763 | 261,796 | 277,484 | ||
Derivative assets: | ||||||||||
Derivative assets | 171,996 | 115,803 | ||||||||
Derivative assets, Netting | (4,831) | (1,922) | ||||||||
Total derivative assets after netting | 167,165 | $ 143,577 | $ 133,239 | $ 122,518 | 113,881 | $ 67,288 | $ 73,875 | $ 41,213 | ||
Firm commitment to purchase credit risk transfer securities at fair value | 37,994 | 0 | ||||||||
Mortgage servicing rights at fair value | 1,162,369 | 91,459 | $ 64,136 | $ 66,584 | ||||||
Liabilities: | ||||||||||
Asset-backed financing of a VIE at fair value | 276,499 | 307,419 | ||||||||
Interest-only security payable at fair value | 36,011 | 7,070 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 29,490 | 3,305 | ||||||||
Derivative liabilities, Netting | (23,576) | (1,999) | ||||||||
Total derivative liabilities after netting | 5,914 | 1,306 | ||||||||
CRT Agreements [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 123,987 | 98,640 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Total derivative assets after netting | 123,987 | 98,640 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 0 | 0 | ||||||||
Interest Rate Lock Commitments [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 12,162 | 4,859 | ||||||||
Total derivative assets after netting | 12,162 | 4,859 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 174 | 227 | ||||||||
Forward Purchase Contracts [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 14,845 | 4,343 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Total derivative assets after netting | 14,845 | 4,343 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 43 | 248 | ||||||||
Derivative liabilities, Netting | 0 | 0 | ||||||||
Forward Sales Contracts [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 13 | 387 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Total derivative assets after netting | 13 | 387 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 29,273 | 2,830 | ||||||||
Derivative liabilities, Netting | 0 | 0 | ||||||||
MBS Put Options [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 218 | 3,170 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Total derivative assets after netting | 218 | 3,170 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 0 | 0 | ||||||||
MBS Call Options [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 945 | 0 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Total derivative assets after netting | 945 | 0 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 0 | 0 | ||||||||
Put Options on Interest Rate Futures [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 178 | 656 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Total derivative assets after netting | 178 | 656 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 0 | 0 | ||||||||
Call Options on Interest Rate Futures [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 5,137 | 0 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Total derivative assets after netting | 5,137 | 0 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 0 | 0 | ||||||||
Repurchase Agreement Derivatives [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 14,511 | 3,748 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Total derivative assets after netting | 14,511 | 3,748 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 0 | 0 | ||||||||
Recurring [Member] | ||||||||||
Assets: | ||||||||||
Short-term investments | 74,850 | 18,398 | ||||||||
Mortgage-backed securities at fair value | 2,610,422 | 989,461 | ||||||||
Mortgage loans acquired for sale at fair value | 1,643,957 | 1,269,515 | ||||||||
Mortgage loans at fair value | 408,305 | 1,089,473 | ||||||||
Excess servicing spread purchased from PFSI | 216,110 | 236,534 | ||||||||
Derivative assets: | ||||||||||
Derivative assets | 171,996 | 115,803 | ||||||||
Derivative assets, Netting | (4,831) | (1,922) | ||||||||
Total derivative assets after netting | 167,165 | 113,881 | ||||||||
Firm commitment to purchase credit risk transfer securities at fair value | 37,994 | |||||||||
Mortgage servicing rights at fair value | 1,162,369 | 91,459 | ||||||||
Total Assets | 6,321,172 | 3,808,721 | ||||||||
Liabilities: | ||||||||||
Asset-backed financing of a VIE at fair value | 276,499 | 307,419 | ||||||||
Interest-only security payable at fair value | 36,011 | 7,070 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 29,490 | 3,305 | ||||||||
Derivative liabilities, Netting | (23,576) | (1,999) | ||||||||
Total derivative liabilities after netting | 5,914 | 1,306 | ||||||||
Total liabilities | 318,424 | 315,795 | ||||||||
Recurring [Member] | CRT Agreements [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 123,987 | 98,640 | ||||||||
Recurring [Member] | Interest Rate Lock Commitments [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 12,162 | 4,859 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 174 | 227 | ||||||||
Recurring [Member] | Forward Purchase Contracts [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 14,845 | 4,343 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 43 | 248 | ||||||||
Recurring [Member] | Forward Sales Contracts [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 13 | 387 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 29,273 | 2,830 | ||||||||
Recurring [Member] | Level 1 [Member] | ||||||||||
Assets: | ||||||||||
Short-term investments | 74,850 | 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 | 5,315 | 656 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Total derivative assets after netting | 5,315 | 656 | ||||||||
Firm commitment to purchase credit risk transfer securities at fair value | 0 | |||||||||
Mortgage servicing rights at fair value | 0 | 0 | ||||||||
Total Assets | 80,165 | 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 | 2,610,422 | 989,461 | ||||||||
Mortgage loans acquired for sale at fair value | 1,626,483 | 1,261,380 | ||||||||
Mortgage loans at fair value | 290,573 | 321,040 | ||||||||
Excess servicing spread purchased from PFSI | 0 | 0 | ||||||||
Derivative assets: | ||||||||||
Derivative assets | 16,021 | 7,900 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Total derivative assets after netting | 16,021 | 7,900 | ||||||||
Firm commitment to purchase credit risk transfer securities at fair value | 0 | |||||||||
Mortgage servicing rights at fair value | 0 | 0 | ||||||||
Total Assets | 4,543,499 | 2,579,781 | ||||||||
Liabilities: | ||||||||||
Asset-backed financing of a VIE at fair value | 276,499 | 307,419 | ||||||||
Interest-only security payable at fair value | 0 | 0 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 29,316 | 3,078 | ||||||||
Derivative liabilities, Netting | 0 | 0 | ||||||||
Total derivative liabilities after netting | 29,316 | 3,078 | ||||||||
Total liabilities | 305,815 | 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 | 14,845 | 4,343 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 43 | 248 | ||||||||
Recurring [Member] | Level 2 [Member] | Forward Sales Contracts [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 13 | 387 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 29,273 | 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 | 17,474 | 8,135 | ||||||||
Mortgage loans at fair value | 117,732 | 768,433 | ||||||||
Excess servicing spread purchased from PFSI | 216,110 | 236,534 | ||||||||
Derivative assets: | ||||||||||
Derivative assets | 150,660 | 107,247 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Total derivative assets after netting | 150,660 | 107,247 | ||||||||
Firm commitment to purchase credit risk transfer securities at fair value | 37,994 | |||||||||
Mortgage servicing rights at fair value | 1,162,369 | 91,459 | ||||||||
Total Assets | 1,702,339 | 1,211,808 | ||||||||
Liabilities: | ||||||||||
Asset-backed financing of a VIE at fair value | 0 | 0 | ||||||||
Interest-only security payable at fair value | 36,011 | 7,070 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 174 | 227 | ||||||||
Derivative liabilities, Netting | 0 | 0 | ||||||||
Total derivative liabilities after netting | 174 | 227 | ||||||||
Total liabilities | 36,185 | 7,297 | ||||||||
Recurring [Member] | Level 3 [Member] | CRT Agreements [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 123,987 | 98,640 | ||||||||
Recurring [Member] | Level 3 [Member] | Interest Rate Lock Commitments [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 12,162 | 4,859 | ||||||||
Derivative liabilities: | ||||||||||
Derivative liabilities | 174 | 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 | 218 | 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 | 218 | 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 | 945 | |||||||||
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 | 945 | |||||||||
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 | 178 | 656 | ||||||||
Recurring [Member] | Put Options on Interest Rate Futures [Member] | Level 1 [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 178 | 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] | Call Options on Interest Rate Futures [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 5,137 | |||||||||
Recurring [Member] | Call Options on Interest Rate Futures [Member] | Level 1 [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 5,137 | |||||||||
Recurring [Member] | Call Options on Interest Rate Futures [Member] | Level 2 [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 0 | |||||||||
Recurring [Member] | Call Options on Interest Rate Futures [Member] | Level 3 [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 0 | |||||||||
Recurring [Member] | Repurchase Agreement Derivatives [Member] | ||||||||||
Derivative assets: | ||||||||||
Derivative assets | 14,511 | 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 | $ 14,511 | $ 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 | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Assets: | |||
Amounts received as proceeds from sales of mortgage loans | $ 356,755 | $ 41,379 | $ 7,337 |
Changes in fair value included in income arising from: | |||
Transfers of mortgage loans to REO | (32,578) | (87,202) | (207,431) |
Recurring [Member] | |||
Assets: | |||
Beginning balance | 1,984,616 | 1,732,446 | 2,584,642 |
Purchases and issuances | 36,781 | 51,363 | 74,631 |
Repayments and sales | (756,314) | (649,591) | (776,430) |
Capitalization of interest | 22,577 | 47,746 | 107,421 |
Capitalization of advances | 5,481 | 18,923 | |
ESS received pursuant to a recapture agreement with PFSI | 2,688 | 5,244 | 6,603 |
Amounts received as proceeds from sales of mortgage loans | 387,350 | 41,379 | 7,337 |
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk | 2,907 | 24,685 | 26,910 |
Other factors | 37,067 | 122,140 | (14,602) |
Total | 39,974 | 146,825 | 12,308 |
Transfers of mortgage loans to REO | (47,786) | (104,806) | (201,043) |
Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" | 10,081 | 2,506 | |
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 16,717 | (80,454) | (88,705) |
Ending balance | 1,702,165 | 1,984,616 | 1,732,446 |
Changes in fair value recognized during the year relating to assets | 6,540 | 43,565 | (25,727) |
Recurring [Member] | Accounting Standards Update 2014-11 Transfers and Servicing [Member] | |||
Assets: | |||
Beginning balance | 773,035 | ||
Changes in fair value included in income arising from: | |||
Ending balance | 773,035 | ||
Recurring [Member] | Previously Reported [Member] | |||
Assets: | |||
Beginning balance | 1,211,581 | 1,726,764 | |
Changes in fair value included in income arising from: | |||
Ending balance | 1,211,581 | 1,726,764 | |
Recurring [Member] | CRT Agreement Derivatives [Member] | |||
Assets: | |||
Beginning balance | 98,640 | 15,610 | 593 |
Purchases and issuances | 0 | 0 | 0 |
Repayments and sales | (86,928) | (51,731) | (21,298) |
Capitalization of interest | 0 | 0 | 0 |
Capitalization of advances | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 |
Amounts received as proceeds from sales of mortgage loans | 0 | 0 | 0 |
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | 112,275 | 134,761 | 36,315 |
Total | 112,275 | 134,761 | 36,315 |
Transfers of mortgage loans to REO | 0 | 0 | 0 |
Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" | 0 | 0 | |
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | 0 |
Ending balance | 123,987 | 98,640 | 15,610 |
Changes in fair value recognized during the year relating to assets | 25,347 | 83,030 | 15,610 |
Recurring [Member] | Mortgage loans acquired for sale at fair value [Member] | |||
Assets: | |||
Beginning balance | 8,135 | 5,682 | |
Purchases and issuances | 12,208 | 11,415 | |
Repayments and sales | (12,934) | (12,513) | |
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 | (16) | 1,045 | |
Total | (16) | 1,045 | |
Transfers of mortgage loans to REO | 0 | 0 | |
Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" | 10,081 | 2,506 | |
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | |
Ending balance | 17,474 | 8,135 | 5,682 |
Changes in fair value recognized during the year relating to assets | (158) | 98 | |
Recurring [Member] | Interest Rate Lock Commitments [Member] | |||
Assets: | |||
Beginning balance | 4,632 | 3,777 | 4,646 |
Purchases and issuances | 4,655 | 36,005 | 71,892 |
Repayments and sales | 0 | 0 | 0 |
Capitalization of interest | 0 | 0 | 0 |
Capitalization of advances | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 |
Amounts received as proceeds from sales of mortgage loans | 0 | 0 | 0 |
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | (14,016) | 45,304 | 15,944 |
Total | (14,016) | 45,304 | 15,944 |
Transfers of mortgage loans to REO | 0 | 0 | 0 |
Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" | 0 | 0 | |
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 16,717 | (80,454) | (88,705) |
Ending balance | 11,988 | 4,632 | 3,777 |
Changes in fair value recognized during the year relating to assets | 11,988 | 4,632 | 3,777 |
Recurring [Member] | Interest-only security payable [Member] | |||
Liabilities: | |||
Beginning balance | 7,070 | 4,114 | 0 |
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk\Other factors | 28,941 | 2,956 | 4,114 |
Ending balance | 36,011 | 7,070 | 4,114 |
Changes in fair value recognized during the year relating to liability | 28,941 | 2,956 | 4,114 |
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 |
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 | 28,941 | 2,956 | 4,114 |
Recurring [Member] | Mortgage loans at fair value [Member] | |||
Assets: | |||
Beginning balance | 768,433 | 1,354,572 | 2,100,394 |
Purchases and issuances | 0 | 0 | 0 |
Repayments and sales | (600,638) | (530,367) | (626,095) |
Capitalization of interest | 7,439 | 30,795 | 84,820 |
Capitalization of advances | 5,481 | 18,923 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 |
Amounts received as proceeds from sales of mortgage loans | 0 | 0 | 0 |
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk | 2,907 | 24,685 | 26,910 |
Other factors | (18,104) | (25,369) | (30,414) |
Total | (15,197) | (684) | (3,504) |
Transfers of mortgage loans to REO | (47,786) | (104,806) | (201,043) |
Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" | 0 | 0 | |
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | 0 |
Ending balance | 117,732 | 768,433 | 1,354,572 |
Changes in fair value recognized during the year relating to assets | (18,428) | (10,594) | (15,877) |
Recurring [Member] | Excess servicing spread [Member] | |||
Assets: | |||
Beginning balance | 236,534 | 288,669 | 412,425 |
Purchases and issuances | 0 | 0 | 0 |
Repayments and sales | (46,750) | (54,980) | (129,037) |
Capitalization of interest | 15,138 | 16,951 | 22,601 |
Capitalization of advances | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 2,688 | 5,244 | 6,603 |
Amounts received as proceeds from sales of mortgage loans | 0 | 0 | 0 |
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | 8,500 | (19,350) | (23,923) |
Total | 8,500 | (19,350) | (23,923) |
Transfers of mortgage loans to REO | 0 | 0 | 0 |
Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" | 0 | 0 | |
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | 0 |
Ending balance | 216,110 | 236,534 | 288,669 |
Changes in fair value recognized during the year relating to assets | 8,500 | (19,350) | (16,713) |
Recurring [Member] | Firm commitment to purchase CRT securities [Member] | |||
Assets: | |||
Beginning balance | 0 | ||
Purchases and issuances | 0 | ||
Repayments and sales | 0 | ||
Capitalization of interest | 0 | ||
Capitalization of advances | 0 | ||
ESS received pursuant to a recapture agreement with PFSI | 0 | ||
Amounts received as proceeds from sales of mortgage loans | 30,595 | ||
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk | 0 | ||
Other factors | 7,399 | ||
Total | 7,399 | ||
Transfers of mortgage loans to REO | 0 | ||
Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" | 0 | ||
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | ||
Ending balance | 37,994 | 0 | |
Changes in fair value recognized during the year relating to assets | 37,994 | ||
Recurring [Member] | Mortgage servicing rights [Member] | |||
Assets: | |||
Beginning balance | 864,494 | 64,136 | 66,584 |
Purchases and issuances | 0 | 79 | 2,739 |
Repayments and sales | (100) | 0 | 0 |
Capitalization of interest | 0 | 0 | 0 |
Capitalization of advances | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 |
Amounts received as proceeds from sales of mortgage loans | 356,755 | 41,379 | 7,337 |
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | (58,780) | (14,135) | (12,524) |
Total | (58,780) | (14,135) | (12,524) |
Transfers of mortgage loans to REO | 0 | 0 | 0 |
Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" | 0 | 0 | |
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | 0 |
Ending balance | 1,162,369 | 864,494 | 64,136 |
Changes in fair value recognized during the year relating to assets | (58,780) | (14,135) | (12,524) |
Recurring [Member] | Mortgage servicing rights [Member] | Accounting Standards Update 2014-11 Transfers and Servicing [Member] | |||
Assets: | |||
Beginning balance | 773,035 | ||
Changes in fair value included in income arising from: | |||
Ending balance | 773,035 | ||
Recurring [Member] | Mortgage servicing rights [Member] | Previously Reported [Member] | |||
Assets: | |||
Beginning balance | 91,459 | ||
Changes in fair value included in income arising from: | |||
Ending balance | 91,459 | ||
Recurring [Member] | Repurchase Agreement Derivatives [Member] | |||
Assets: | |||
Beginning balance | 3,748 | 0 | |
Purchases and issuances | 19,918 | 3,864 | |
Repayments and sales | (8,964) | 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 | 0 | 0 | |
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk | 0 | 0 | |
Other factors | (191) | (116) | |
Total | (191) | (116) | |
Transfers of mortgage loans to REO | 0 | 0 | |
Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" | 0 | 0 | |
Transfers of interest rate lock commitments to mortgage loans acquired for sale | 0 | 0 | |
Ending balance | 14,511 | 3,748 | $ 0 |
Changes in fair value recognized during the year relating to assets | $ 77 | $ (116) |
Fair Value - Fair Values and Re
Fair Value - Fair Values and Related Principal Amounts Due upon Maturity of Mortgage Loans Accounted for Under Fair Value Option (Detail) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Fair Value Option Loans Held As Assets [Abstract] | ||
Fair value option loans held as assets, Total | $ 408,305 | $ 1,089,473 |
Mortgage loans at fair value | 408,305 | 1,089,473 |
Mortgage Loans On Real Estate Other Required Disclosures [Abstract] | ||
Unpaid principal balance of loans outstanding at period-end | 495,651 | 1,360,642 |
Unpaid principal balance | 495,651 | 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 | (87,346) | (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 | 1,643,465 | 1,268,121 |
Not in foreclosure | 492 | 950 |
In foreclosure | 0 | 444 |
Fair value option loans held as assets, Total | 492 | 1,394 |
Mortgage loans at fair value | 1,643,957 | 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 | 1,580,504 | 1,221,125 |
Not in foreclosure | 492 | 1,120 |
In foreclosure | 0 | 496 |
Unpaid principal balance of loans outstanding at period-end | 1,580,996 | 1,222,741 |
Fair value option loans held as assets ninety days or less past due aggregate difference | 62,961 | 46,996 |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference | ||
Not in foreclosure | 0 | (170) |
In foreclosure | 0 | (52) |
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | 62,961 | 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 | 492 | 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 | 0 | (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 | 290,573 | 321,040 |
Not in foreclosure | 0 | 0 |
In foreclosure | 0 | 0 |
Mortgage loans at fair value | 290,573 | 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 | 294,617 | 316,684 |
Not in foreclosure | 0 | 0 |
In foreclosure | 0 | 0 |
Unpaid principal balance | 294,617 | 316,684 |
Fair value option loans held as assets ninety days or less past due aggregate difference | (4,044) | 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 | (4,044) | 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 | 28,806 | 414,785 |
Not in foreclosure | 37,288 | 166,749 |
In foreclosure | 51,638 | 186,899 |
Mortgage loans at fair value | 117,732 | 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 | 43,043 | 519,009 |
Not in foreclosure | 71,732 | 257,038 |
In foreclosure | 86,259 | 267,911 |
Unpaid principal balance | 201,034 | 1,043,958 |
Fair value option loans held as assets ninety days or less past due aggregate difference | (14,237) | (104,224) |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference | ||
Not in foreclosure | (34,444) | (90,289) |
In foreclosure | (34,621) | (81,012) |
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total | (83,302) | (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 | 88,926 | 353,648 |
Mortgage Loans On Real Estate Other Required Disclosures [Abstract] | ||
Unpaid principal balance | 157,991 | 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 | $ (69,065) | $ (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 | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Interest-only security payable [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income | $ (28,941) | $ 2,956 | |
Interest-only security payable [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 | |
Interest-only security payable [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 | |
Interest-only security payable [Member] | Net Gain (Loss) on Investments [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income | (28,941) | 2,956 | |
Interest-only security payable [Member] | Net Interest Income [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income | 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 | 9,033 | (5,207) | $ 2,569 |
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 |
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 |
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 | 9,610 | (3,426) | 3,238 |
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 | (577) | (1,781) | (669) |
Liabilities, Total [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income | (19,908) | (2,251) | 2,569 |
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 |
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 |
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 | (19,331) | (470) | 3,238 |
Liabilities, Total [Member] | Net Interest Income [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income | (577) | (1,781) | (669) |
Short-term Investments | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income | 0 | 0 | 0 |
Short-term Investments | 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 |
Short-term Investments | 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 |
Short-term Investments | 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 |
Short-term Investments | Net Interest Income [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income | 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 | (16,055) | 10,865 | (15,559) |
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 |
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 |
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 | (11,262) | 5,498 | (13,168) |
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 | (4,793) | 5,367 | (2,391) |
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 | (5,298) | 97,940 | 55,350 |
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 |
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 | (5,298) | 97,940 | 55,350 |
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 |
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 |
Firm commitment to purchase CRT securities [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income | 37,994 | ||
Firm commitment to purchase CRT securities [Member] | Net Mortgage Loan Servicing Fees [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income | 0 | ||
Firm commitment to purchase CRT securities [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 | 30,595 | ||
Firm commitment to purchase CRT securities [Member] | Net Gain (Loss) on Investments [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income | 7,399 | ||
Firm commitment to purchase CRT securities [Member] | Net Interest Income [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income | 0 | ||
Mortgage loans at fair value [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income | (16,157) | 35,821 | 80,862 |
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 |
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 |
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 | (23,696) | 3,582 | (5,252) |
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 | 7,539 | 32,239 | 86,114 |
Excess servicing spread [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income | 23,638 | (2,399) | (1,322) |
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 |
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 |
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 | 8,500 | (19,350) | (23,923) |
Excess servicing spread [Member] | Net Interest Income [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income | 15,138 | 16,951 | 22,601 |
MSRs at fair value [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income | (58,780) | (14,135) | (12,524) |
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 | (58,780) | (14,135) | (12,524) |
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 |
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 |
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 |
Assets, Total [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income | (34,658) | 128,092 | 106,807 |
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 | (58,780) | (14,135) | (12,524) |
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 | 25,297 | 97,940 | 55,350 |
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 | (19,059) | (10,270) | (42,343) |
Assets, Total [Member] | Net Interest Income [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income | $ 17,884 | $ 54,557 | $ 106,324 |
Fair Value - Summary of Carryin
Fair Value - Summary of Carrying Value of Financial Statement Items Re-measured at Fair Value on Nonrecurring Basis (Detail) - Nonrecurring [Member] - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2016 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate acquired in settlement of loans | $ 24,515 | $ 71,380 |
MSRs at lower of amortized cost or fair value | 312,995 | |
Total Assets | 24,515 | 384,375 |
Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate acquired in settlement of loans | 0 | 0 |
MSRs at lower of amortized cost or fair value | 0 | |
Total Assets | 0 | 0 |
Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate acquired in settlement of loans | 0 | 0 |
MSRs at lower of amortized cost or fair value | 0 | |
Total Assets | 0 | 0 |
Level 3 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate acquired in settlement of loans | 24,515 | 71,380 |
MSRs at lower of amortized cost or fair value | 312,995 | |
Total Assets | $ 24,515 | $ 384,375 |
Fair Value - Summary of Chang_3
Fair Value - Summary of Changes in Fair Value Recognized in Assets that Remeasured at Fair Value on a Nonrecurring Basis (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
MSRs at lower of amortized cost or fair value | $ 0 | $ 5,876 | $ 2,728 |
Nonrecurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Real estate asset acquired in settlement of loans | (4,434) | (11,882) | (17,561) |
MSRs at lower of amortized cost or fair value | 0 | (5,876) | (2,728) |
Total assets, gains (losses) recognized | $ (4,434) | $ (17,758) | $ (20,289) |
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] | Dec. 31, 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 | 0.196 | 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 | 0.120 | 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 | 0.031 | 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 | 0.037 | 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 | 0.034 | 0.044 |
Voluntary Prepayment Speed [Member] | Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.009 | 0.032 |
Voluntary Prepayment Speed [Member] | Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.083 | 0.110 |
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 | 0.032 | 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 | 0.083 | 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 | 0.220 | 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 | 0.183 | 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 | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
UPB of underlying mortgage loans (in thousands) | $ 28,923,523 | $ 3,724,642 | $ 752,850 |
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) | $ 23,196,033 | $ 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 | 3.10% | 4.10% | |
Annual total prepayment speed | 9.70% | 10.80% | |
Life (in years) | 6 years 9 months 18 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 | 2.80% | 3.80% | |
Annual total prepayment speed | 8.20% | 8.40% | |
Life (in years) | 1 year 7 months 6 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 | 3.20% | 4.30% | |
Annual total prepayment speed | 29.50% | 41.40% | |
Life (in years) | 7 years 7 months 6 days | 7 years 8 months 12 days |
Fair Value - Quantitative Sum_2
Fair Value - Quantitative Summary of Key Unobservable Inputs Used in Valuation of Interest Rate Lock Commitments (Detail) | Dec. 31, 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 | 45.40% | 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 | 91.80% | 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 | 2.40% | 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 | 5.60% | 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 | 4.30% | 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 | 0.60% | 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 | 3.60% | 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 | 2.20% | 1.30% |
Fair Value - Quantitative Sum_3
Fair Value - Quantitative Summary of Key Unobservable Inputs Used in Valuation of Non-Securitized CRT Agreements and Used to Validate Broker-provided Fair Values for Securitized CRT Agreements (Detail) - CRT Agreements [Member] | 12 Months Ended | |
Dec. 31, 2018 | Dec. 31, 2017 | |
Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Voluntary prepayment speed | 9.00% | 12.10% |
Involuntary prepayment speed | 0.20% | 0.30% |
Remaining loss expectation | 0.10% | 0.10% |
Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Voluntary prepayment speed | 10.60% | 15.00% |
Involuntary prepayment speed | 0.20% | 0.30% |
Remaining loss expectation | 0.20% | 0.30% |
Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Voluntary prepayment speed | 9.90% | 13.00% |
Involuntary prepayment speed | 0.20% | 0.30% |
Remaining loss expectation | 0.20% | 0.20% |
Discount Rate [Member] | Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Discount rate | 6.60% | 5.10% |
Discount Rate [Member] | Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Discount rate | 7.50% | 6.20% |
Discount Rate [Member] | Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Discount rate | 7.30% | 5.60% |
Fair Value - Summary of Key Uno
Fair Value - Summary of Key Unobservable Inputs Used in Valuation of Firm Commitment to Purchase CRT Securities (Detail) - Firm commitment to purchase CRT securities [Member] | Dec. 31, 2018 |
Discount Rate [Member] | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |
Key inputs used in valuation | 0.079 |
Voluntary Prepayment Speed [Member] | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |
Key inputs used in valuation | 0.124 |
Involuntary Prepayment Speed [Member] | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |
Key inputs used in valuation | 0.001 |
Remaining Loss Expectation [Member] | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |
Key inputs used in valuation | 0.001 |
Fair Value - Key Assumptions Us
Fair Value - Key Assumptions Used in Determining Fair Value of MSRs at Time of Initial Recognition (Detail) - USD ($) | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fair value, MSR recognized | $ 356,755,000 | $ 41,379,000 | $ 7,337,000 |
Fair value, UPB of underlying mortgage loans | $ 28,923,523,000 | $ 3,724,642,000 | $ 752,850,000 |
Fair value, Weighted-average annual servicing fee rate (in basis points) | 0.26% | 0.25% | 0.26% |
Amortized cost, MSR recognized | $ 0 | $ 248,930,000 | $ 267,755,000 |
Amortized cost, UPB of underlying mortgage loans | $ 19,982,686,000 | $ 22,068,577,000 | |
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 | 5.80% | 7.60% | 7.20% |
Fair value inputs, Annual prepayment speed during period | 3.20% | 7.90% | 7.20% |
Fair value inputs, Weighted average life during period | 2 years 3 months 18 days | 2 years 9 months 18 days | 2 years |
Fair value inputs, Annual per loan cost of servicing during period | $ 77,000 | $ 79,000 | $ 68,000 |
Amortized cost, Pricing spread during period | 7.60% | 7.20% | |
Amortized cost, Annual prepayment speed during period | 3.20% | 3.30% | |
Amortized cost, Life (in years) | 2 years 7 months 6 days | 1 year 4 months 24 days | |
Amortized cost, Annual per loan cost of servicing during period | $ 79,000 | $ 68,000 | |
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% | 7.60% |
Fair value inputs, Annual prepayment speed during period | 35.30% | 29.50% | 38.00% |
Fair value inputs, Weighted average life during period | 11 years 10 months 24 days | 8 years 6 months | 9 years 4 months 24 days |
Fair value inputs, Annual per loan cost of servicing during period | $ 79,000 | $ 79,000 | $ 82,000 |
Amortized cost, Pricing spread during period | 12.60% | 12.60% | |
Amortized cost, Annual prepayment speed during period | 31.10% | 49.20% | |
Amortized cost, Life (in years) | 11 years 10 months 24 days | 12 years 3 months 18 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 | 6.90% | 7.60% | 7.30% |
Fair value inputs, Annual prepayment speed during period | 9.90% | 10.70% | 14.50% |
Fair value inputs, Weighted average life during period | 7 years 7 months 6 days | 7 years 3 months 18 days | 5 years 10 months 24 days |
Fair value inputs, Annual per loan cost of servicing during period | $ 79,000 | $ 79,000 | $ 73,000 |
Amortized cost, Pricing spread during period | 7.60% | 7.50% | |
Amortized cost, Annual prepayment speed during period | 8.00% | 8.30% | |
Amortized cost, Life (in years) | 8 years 3 months 18 days | 8 years | |
Amortized cost, Annual per loan cost of servicing during period | $ 79,000 | $ 77,000 |
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 ($) | 12 Months Ended | |||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Balance at end of period | $ 1,162,369,000 | $ 91,459,000 | $ 64,136,000 | $ 66,584,000 |
UPB of underlying mortgage loans, Fair Value | $ 92,410,226,000 | $ 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 | 4.20% | 4.70% | ||
Carrying value, Amortized cost | $ 0 | $ 753,322,000 | $ 592,431,000 | |
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% | |||
Pricing Spread [Member] | Effect On Value Of Five Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | (13,872,000) | $ (1,347,000) | ||
Effect on value of percentage adverse change, Amortized cost | (11,848,000) | |||
Pricing Spread [Member] | Effect On Value Of Ten Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | (27,428,000) | (2,655,000) | ||
Effect on value of percentage adverse change, Amortized cost | (23,352,000) | |||
Pricing Spread [Member] | Effect On Value Of Twenty Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | (53,626,000) | (5,162,000) | ||
Effect on value of percentage adverse change, Amortized cost | (45,379,000) | |||
Prepayment Speed [Member] | Effect On Value Of Five Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | (21,661,000) | (1,954,000) | ||
Effect on value of percentage adverse change, Amortized cost | (12,267,000) | |||
Prepayment Speed [Member] | Effect On Value Of Ten Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | (42,458,000) | (3,827,000) | ||
Effect on value of percentage adverse change, Amortized cost | (24,120,000) | |||
Prepayment Speed [Member] | Effect On Value Of Twenty Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | (81,660,000) | (7,352,000) | ||
Effect on value of percentage adverse change, Amortized cost | (46,668,000) | |||
Cost of Servicing [Member] | Effect On Value Of Five Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | (8,298,000) | (744,000) | ||
Effect on value of percentage adverse change, Amortized cost | (5,721,000) | |||
Cost of Servicing [Member] | Effect On Value Of Ten Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | (16,597,000) | (1,488,000) | ||
Effect on value of percentage adverse change, Amortized cost | (11,441,000) | |||
Cost of Servicing [Member] | Effect On Value Of Twenty Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | $ (33,194,000) | (2,976,000) | ||
Effect on value of percentage adverse change, Amortized cost | $ (22,883,000) | |||
Minimum [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Estimated fair value inputs, Pricing spread | 5.70% | 7.60% | ||
Estimated fair value inputs, Prepayment speed | 8.10% | 7.30% | ||
Estimated fair value inputs, Annual per-loan cost of servicing | $ 77,000 | $ 77,000 | ||
Amortized cost, Pricing spread | 7.60% | |||
Amortized cost, Prepayment speed | 7.10% | |||
Amortized cost, 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, Life (in years) | 2 years 8 months 12 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 | 10.70% | 12.60% | ||
Estimated fair value inputs, Prepayment speed | 21.70% | 20.90% | ||
Estimated fair value inputs, Annual per-loan cost of servicing | $ 78,000 | $ 79,000 | ||
Amortized cost, Pricing spread | 13.10% | |||
Amortized cost, Prepayment speed | 27.10% | |||
Amortized cost, 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, Life (in years) | 7 years 3 months 18 days | 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 | 5.80% | 7.60% | ||
Estimated fair value inputs, Prepayment speed | 9.80% | 11.10% | ||
Estimated fair value inputs, Annual per-loan cost of servicing | $ 78,000 | $ 79,000 | ||
Amortized cost, Pricing spread | 7.60% | |||
Amortized cost, Prepayment speed | 8.40% | |||
Amortized cost, 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, Life (in years) | 7 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 | Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 |
Mortgage Backed Securities [Line Items] | ||||||||
Fair value | $ 2,610,422 | $ 2,126,507 | $ 1,698,322 | $ 1,436,456 | $ 989,461 | $ 1,036,669 | $ 1,065,540 | $ 1,089,610 |
Mortgage Backed Securities [Member] | ||||||||
Mortgage Backed Securities [Line Items] | ||||||||
Principal balance | 2,581,503 | 961,600 | ||||||
Unamortized purchase premiums | 46,190 | 33,873 | ||||||
Accumulated valuation changes | 17,271 | 6,012 | ||||||
Fair value | 2,610,422 | 989,461 | ||||||
Fannie Mae [Member] | Mortgage Backed Securities [Member] | ||||||||
Mortgage Backed Securities [Line Items] | ||||||||
Principal balance | 2,050,769 | 774,473 | ||||||
Unamortized purchase premiums | 39,488 | 30,355 | ||||||
Accumulated valuation changes | 14,920 | 7,975 | ||||||
Fair value | 2,075,337 | 796,853 | ||||||
Freddie Mac [Member] | Mortgage Backed Securities [Member] | ||||||||
Mortgage Backed Securities [Line Items] | ||||||||
Principal balance | 530,734 | 187,127 | ||||||
Unamortized purchase premiums | 6,702 | 3,518 | ||||||
Accumulated valuation changes | 2,351 | (1,963) | ||||||
Fair value | $ 535,085 | $ 192,608 |
Mortgage Backed Securities - _2
Mortgage Backed Securities - Summary of Mortgage Backed Securities (Parenthetical) (Detail) | 12 Months Ended | |
Dec. 31, 2018 | Dec. 31, 2017 | |
Minimum [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Mortgage backed securities, maturity period | 10 years | 10 years |
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 | Dec. 31, 2018 | Dec. 31, 2017 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | $ 1,643,957 | $ 1,269,515 |
Mortgage loans pledged to secure: Assets sold under agreements to repurchase | 1,621,879 | 1,249,277 |
Mortgage loans pledged to secure total | 1,621,879 | 1,249,277 |
PennyMac Loan Services, LLC [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 86,308 | 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 | 1,436,437 | 1,201,992 |
Mortgage loans pledged to secure mortgage loan participation purchase and sale agreements | 185,442 | 47,285 |
Agency-Eligible [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 1,495,954 | 971,910 |
Held for Sale to PLS - Government-Insured or Guaranteed [Member] | PennyMac Loan Services, LLC [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 86,308 | 279,571 |
Jumbo [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 44,221 | 0 |
Commercial Real Estate [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans acquired for sale at fair value | 8,559 | 9,898 |
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 | $ 8,915 | $ 8,136 |
Mortgage Loans Acquired for S_4
Mortgage Loans Acquired for Sale at Fair Value - Additional Information (Detail) - PennyMac Loan Services, LLC [Member] | 12 Months Ended |
Dec. 31, 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 | Dec. 31, 2018 | Dec. 31, 2017 |
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | $ 408,305 | $ 1,089,473 |
Unpaid principal balance | 495,651 | 1,360,642 |
Asset-backed financing of a VIE at fair value | 290,573 | 321,040 |
Mortgage loans at fair value pledged to secure | 399,266 | 1,081,893 |
Mortgage loans acquired for sale at fair value [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 1,643,957 | 1,269,515 |
Assets sold under agreements to repurchase | 108,693 | 760,853 |
Fixed interest rate jumbo mortgage loans held in a VIE [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 290,573 | 321,040 |
Unpaid principal balance | 294,617 | 316,684 |
Distressed mortgage loans [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 117,732 | 768,433 |
Unpaid principal balance | 201,034 | 1,043,958 |
Distressed mortgage loans [Member] | Nonperforming [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 88,926 | 353,648 |
Unpaid principal balance | 157,991 | 524,949 |
Distressed mortgage loans [Member] | Performing [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 28,806 | 414,785 |
Unpaid principal balance | $ 43,043 | $ 519,009 |
Mortgage Loans at Fair Value _2
Mortgage Loans at Fair Value - Summary of Certain Concentrations by State of Credit Risk in Portfolio of Distressed Mortgage Loans at Fair Value (Parenthetical) (Detail) | Dec. 31, 2018 | Dec. 31, 2017 |
Risks And Uncertainties [Abstract] | ||
Percentage of contribution by states in mortgage loans | 5.00% | 5.00% |
Derivative Activities - Derivat
Derivative Activities - Derivative Assets and Liabilities Recorded within Derivative Assets and Derivative Liabilities and Related Margin Deposits Recorded in Other Assets (Detail) - USD ($) | Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 |
Derivatives Fair Value [Line Items] | ||||||||||
Total derivative assets instruments before netting | $ 171,996,000 | $ 115,803,000 | ||||||||
Derivative assets, Netting | (4,831,000) | (1,922,000) | ||||||||
Total derivative assets after netting | 167,165,000 | $ 143,577,000 | $ 133,239,000 | $ 122,518,000 | 113,881,000 | $ 67,288,000 | $ 73,875,000 | $ 41,213,000 | ||
Margin deposits placed with derivatives counterparties included in Other assets, net | 18,744,000 | 76,000 | ||||||||
Derivative assets pledged to secure Assets sold under agreements to repurchase | 87,976,000 | 26,058,000 | ||||||||
Total derivative liabilities | 29,490,000 | 3,305,000 | ||||||||
Derivative liabilities, Netting | (23,576,000) | (1,999,000) | ||||||||
Total derivative liabilities after netting | 5,914,000 | 1,306,000 | ||||||||
Repurchase Agreement Derivatives [Member] | ||||||||||
Derivatives Fair Value [Line Items] | ||||||||||
Notional amount | 0 | 0 | ||||||||
Total derivative assets instruments before netting | 14,511,000 | 3,748,000 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Total derivative assets after netting | 14,511,000 | 3,748,000 | ||||||||
Total derivative liabilities | 0 | 0 | ||||||||
CRT Agreements [Member] | ||||||||||
Derivatives Fair Value [Line Items] | ||||||||||
Notional amount | 29,934,003,000 | 26,845,392,000 | ||||||||
Total derivative assets instruments before netting | 123,987,000 | 98,640,000 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Total derivative assets after netting | 123,987,000 | 98,640,000 | ||||||||
Total derivative liabilities | 0 | 0 | ||||||||
Interest Rate Lock Commitments [Member] | ||||||||||
Derivatives Fair Value [Line Items] | ||||||||||
Notional amount | 1,688,516,000 | 1,250,803,000 | ||||||||
Total derivative assets instruments before netting | 12,162,000 | 4,859,000 | ||||||||
Total derivative assets after netting | 12,162,000 | 4,859,000 | ||||||||
Total derivative liabilities | 174,000 | 227,000 | ||||||||
Forward Purchase Contracts [Member] | ||||||||||
Derivatives Fair Value [Line Items] | ||||||||||
Notional amount | 3,072,223,000 | 1,996,235,000 | $ 4,840,707,000 | $ 2,469,550,000 | ||||||
Total derivative assets instruments before netting | 14,845,000 | 4,343,000 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Total derivative assets after netting | 14,845,000 | 4,343,000 | ||||||||
Total derivative liabilities | 43,000 | 248,000 | ||||||||
Derivative liabilities, Netting | 0 | 0 | ||||||||
Forward Sale Contracts [Member] | ||||||||||
Derivatives Fair Value [Line Items] | ||||||||||
Notional amount | 4,595,241,000 | 2,565,271,000 | 6,148,242,000 | 2,450,642,000 | ||||||
Total derivative assets instruments before netting | 13,000 | 387,000 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Total derivative assets after netting | 13,000 | 387,000 | ||||||||
Total derivative liabilities | 29,273,000 | 2,830,000 | ||||||||
Derivative liabilities, Netting | 0 | 0 | ||||||||
MBS Put Options [Member] | ||||||||||
Derivatives Fair Value [Line Items] | ||||||||||
Notional amount | 2,550,000,000 | 2,375,000,000 | 925,000,000 | 375,000,000 | ||||||
Total derivative assets instruments before netting | 218,000 | 3,170,000 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Total derivative assets after netting | 218,000 | 3,170,000 | ||||||||
Total derivative liabilities | 0 | 0 | ||||||||
MBS Call Options [Member] | ||||||||||
Derivatives Fair Value [Line Items] | ||||||||||
Notional amount | 500,000,000 | 0 | 750,000,000 | 0 | ||||||
Total derivative assets instruments before netting | 945,000 | 0 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Total derivative assets after netting | 945,000 | 0 | ||||||||
Total derivative liabilities | 0 | 0 | ||||||||
Call Options on Interest Rate Futures [Member] | ||||||||||
Derivatives Fair Value [Line Items] | ||||||||||
Notional amount | 512,500,000 | 0 | 200,000,000 | 50,000,000 | ||||||
Total derivative assets instruments before netting | 5,137,000 | 0 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Total derivative assets after netting | 5,137,000 | 0 | ||||||||
Total derivative liabilities | 0 | 0 | ||||||||
Put Options on Interest Rate Futures [Member] | ||||||||||
Derivatives Fair Value [Line Items] | ||||||||||
Notional amount | 1,102,500,000 | 550,000,000 | 550,000,000 | 1,600,000,000 | ||||||
Total derivative assets instruments before netting | 178,000 | 656,000 | ||||||||
Derivative assets, Netting | 0 | 0 | ||||||||
Total derivative assets after netting | 178,000 | 656,000 | ||||||||
Total derivative liabilities | 0 | 0 | ||||||||
Swap Futures [Member] | ||||||||||
Derivatives Fair Value [Line Items] | ||||||||||
Notional amount | 0 | 275,000,000 | 150,000,000 | 0 | ||||||
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 | 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 | 0 | 937,000,000 | $ 1,351,000,000 | $ 1,755,000,000 | ||||||
Total derivative assets instruments before netting | 0 | 0 | ||||||||
Total derivative liabilities | $ 0 | $ 0 |
Derivative Activities - Summary
Derivative Activities - Summary of Activity in Notional Amount for Derivative Contracts (Detail) - USD ($) | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Forward Purchase Contracts [Member] | |||
Derivatives Fair Value [Line Items] | |||
Amount, beginning of year | $ 1,996,235,000 | $ 4,840,707,000 | $ 2,469,550,000 |
Additions | 97,737,906,000 | 71,768,061,000 | 73,269,440,000 |
Dispositions/expirations | (96,661,918,000) | (74,612,533,000) | (70,898,283,000) |
Amount, end of year | 3,072,223,000 | 1,996,235,000 | 4,840,707,000 |
Forward Sales Contracts [Member] | |||
Derivatives Fair Value [Line Items] | |||
Amount, beginning of year | 2,565,271,000 | 6,148,242,000 | 2,450,642,000 |
Additions | 129,544,573,000 | 95,889,432,000 | 99,737,855,000 |
Dispositions/expirations | (127,514,603,000) | (99,472,403,000) | (96,040,255,000) |
Amount, end of year | 4,595,241,000 | 2,565,271,000 | 6,148,242,000 |
MBS Put Options [Member] | |||
Derivatives Fair Value [Line Items] | |||
Amount, beginning of year | 2,375,000,000 | 925,000,000 | 375,000,000 |
Additions | 9,575,000,000 | 9,225,000,000 | 12,400,000,000 |
Dispositions/expirations | (9,400,000,000) | (7,775,000,000) | (11,850,000,000) |
Amount, end of year | 2,550,000,000 | 2,375,000,000 | 925,000,000 |
MBS Call Options [Member] | |||
Derivatives Fair Value [Line Items] | |||
Amount, beginning of year | 0 | 750,000,000 | 0 |
Additions | 2,000,000,000 | 550,000,000 | 750,000,000 |
Dispositions/expirations | (1,500,000,000) | (1,300,000,000) | 0 |
Amount, end of year | 500,000,000 | 0 | 750,000,000 |
Call Options on Interest Rate Futures [Member] | |||
Derivatives Fair Value [Line Items] | |||
Amount, beginning of year | 0 | 200,000,000 | 50,000,000 |
Additions | 3,487,500,000 | 825,000,000 | 4,425,000,000 |
Dispositions/expirations | (2,975,000,000) | (1,025,000,000) | (4,275,000,000) |
Amount, end of year | 512,500,000 | 0 | 200,000,000 |
Put Options on Interest Rate Futures [Member] | |||
Derivatives Fair Value [Line Items] | |||
Amount, beginning of year | 550,000,000 | 550,000,000 | 1,600,000,000 |
Additions | 13,302,500,000 | 7,150,000,000 | 7,445,000,000 |
Dispositions/expirations | (12,750,000,000) | (7,150,000,000) | (8,495,000,000) |
Amount, end of year | 1,102,500,000 | 550,000,000 | 550,000,000 |
Swap Futures [Member] | |||
Derivatives Fair Value [Line Items] | |||
Amount, beginning of year | 275,000,000 | 150,000,000 | 0 |
Additions | 0 | 1,650,000,000 | 175,000,000 |
Dispositions/expirations | (275,000,000) | (1,525,000,000) | (25,000,000) |
Amount, end of year | 0 | 275,000,000 | 150,000,000 |
Bond Futures [Member] | |||
Derivatives Fair Value [Line Items] | |||
Amount, beginning of year | 0 | ||
Additions | 5,274,400,000 | ||
Dispositions/expirations | (4,459,400,000) | ||
Amount, end of year | 815,000,000 | 0 | |
Eurodollar Future Sale Contracts [Member] | |||
Derivatives Fair Value [Line Items] | |||
Amount, beginning of year | 937,000,000 | 1,351,000,000 | 1,755,000,000 |
Additions | 149,597,000 | 404,000,000 | 282,000,000 |
Dispositions/expirations | (1,086,597,000) | (818,000,000) | (686,000,000) |
Amount, end of year | 0 | 937,000,000 | 1,351,000,000 |
Treasury Future Buy Contracts [Member] | |||
Derivatives Fair Value [Line Items] | |||
Amount, beginning of year | 0 | 0 | 0 |
Additions | 110,700,000 | 558,700,000 | |
Dispositions/expirations | (110,700,000) | (558,700,000) | |
Amount, end of year | 0 | 0 | |
Treasury Future Sale Contracts [Member] | |||
Derivatives Fair Value [Line Items] | |||
Amount, beginning of year | $ 0 | 0 | 0 |
Additions | 110,700,000 | 558,700,000 | |
Dispositions/expirations | (110,700,000) | (558,700,000) | |
Amount, end of year | $ 0 | $ 0 |
Derivative Activities - Summa_2
Derivative Activities - Summary of Net Derivative Assets (Detail) - USD ($) $ in Thousands | Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 |
Offsetting Assets [Line Items] | ||||||||
Gross amounts of recognized assets | $ 171,996 | $ 115,803 | ||||||
Gross amounts offset in the consolidated balance sheet | (4,831) | (1,922) | ||||||
Total derivative assets after netting | 167,165 | $ 143,577 | $ 133,239 | $ 122,518 | 113,881 | $ 67,288 | $ 73,875 | $ 41,213 |
Net amounts of assets presented in the consolidated balance sheet | (4,831) | (1,922) | ||||||
Repurchase Agreement Derivatives [Member] | ||||||||
Offsetting Assets [Line Items] | ||||||||
Gross amounts of recognized assets | 14,511 | 3,748 | ||||||
Gross amounts offset in the consolidated balance sheet | 0 | 0 | ||||||
Total derivative assets after netting | 14,511 | 3,748 | ||||||
CRT Agreement Derivatives [Member] | ||||||||
Offsetting Assets [Line Items] | ||||||||
Gross amounts of recognized assets | 123,987 | 98,640 | ||||||
Gross amounts offset in the consolidated balance sheet | 0 | 0 | ||||||
Total derivative assets after netting | 123,987 | 98,640 | ||||||
Interest Rate Lock Commitments [Member] | ||||||||
Offsetting Assets [Line Items] | ||||||||
Gross amounts of recognized assets | 12,162 | 4,859 | ||||||
Total derivative assets after netting | 12,162 | 4,859 | ||||||
Forward Purchase Contracts [Member] | ||||||||
Offsetting Assets [Line Items] | ||||||||
Gross amounts of recognized assets | 14,845 | 4,343 | ||||||
Gross amounts offset in the consolidated balance sheet | 0 | 0 | ||||||
Total derivative assets after netting | 14,845 | 4,343 | ||||||
Forward Sale Contracts [Member] | ||||||||
Offsetting Assets [Line Items] | ||||||||
Gross amounts of recognized assets | 13 | 387 | ||||||
Gross amounts offset in the consolidated balance sheet | 0 | 0 | ||||||
Total derivative assets after netting | 13 | 387 | ||||||
Derivatives Not Subject To Master Netting Adjustment [Member] | ||||||||
Offsetting Assets [Line Items] | ||||||||
Gross amounts of recognized assets | 150,660 | 107,247 | ||||||
Gross amounts offset in the consolidated balance sheet | 0 | 0 | ||||||
Total derivative assets after netting | 150,660 | 107,247 | ||||||
Derivatives Not Subject To Master Netting Adjustment [Member] | Interest Rate Lock Commitments [Member] | ||||||||
Offsetting Assets [Line Items] | ||||||||
Gross amounts of recognized assets | 12,162 | 4,859 | ||||||
Gross amounts offset in the consolidated balance sheet | 0 | 0 | ||||||
Total derivative assets after netting | 12,162 | 4,859 | ||||||
MBS Put Options [Member] | ||||||||
Offsetting Assets [Line Items] | ||||||||
Gross amounts of recognized assets | 218 | 3,170 | ||||||
Gross amounts offset in the consolidated balance sheet | 0 | 0 | ||||||
Total derivative assets after netting | 218 | 3,170 | ||||||
MBS Call Options [Member] | ||||||||
Offsetting Assets [Line Items] | ||||||||
Gross amounts of recognized assets | 945 | 0 | ||||||
Gross amounts offset in the consolidated balance sheet | 0 | 0 | ||||||
Total derivative assets after netting | 945 | 0 | ||||||
Put Options on Interest Rate Futures [Member] | ||||||||
Offsetting Assets [Line Items] | ||||||||
Gross amounts of recognized assets | 178 | 656 | ||||||
Gross amounts offset in the consolidated balance sheet | 0 | 0 | ||||||
Total derivative assets after netting | 178 | 656 | ||||||
Call Options on Interest Rate Futures [Member] | ||||||||
Offsetting Assets [Line Items] | ||||||||
Gross amounts of recognized assets | 5,137 | 0 | ||||||
Gross amounts offset in the consolidated balance sheet | 0 | 0 | ||||||
Total derivative assets after netting | 5,137 | 0 | ||||||
Netting [Member] | ||||||||
Offsetting Assets [Line Items] | ||||||||
Gross amounts of recognized assets | 0 | 0 | ||||||
Gross amounts offset in the consolidated balance sheet | (4,831) | (1,922) | ||||||
Derivatives Subject to Master Netting Arrangements [Member] | ||||||||
Offsetting Assets [Line Items] | ||||||||
Gross amounts of recognized assets | 21,336 | 8,556 | ||||||
Gross amounts offset in the consolidated balance sheet | (4,831) | (1,922) | ||||||
Total derivative assets after netting | $ 16,505 | $ 6,634 |
Derivative Activities - Summa_3
Derivative Activities - Summary of Derivative Assets, Financial Instruments and Collateral Held by Counterparty (Detail) - USD ($) $ in Thousands | Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 |
Offsetting Assets [Line Items] | ||||||||
Total derivative assets after netting | $ 167,165 | $ 143,577 | $ 133,239 | $ 122,518 | $ 113,881 | $ 67,288 | $ 73,875 | $ 41,213 |
Financial instruments | 0 | 0 | ||||||
Cash collateral received | 0 | 0 | ||||||
Net amount | 167,165 | 113,881 | ||||||
CRT Agreement Derivatives [Member] | ||||||||
Offsetting Assets [Line Items] | ||||||||
Total derivative assets after netting | 123,987 | 98,640 | ||||||
Financial instruments | 0 | 0 | ||||||
Cash collateral received | 0 | 0 | ||||||
Net amount | 123,987 | 98,640 | ||||||
Interest Rate Lock Commitments [Member] | ||||||||
Offsetting Assets [Line Items] | ||||||||
Total derivative assets after netting | 12,162 | 4,859 | ||||||
Financial instruments | 0 | 0 | ||||||
Cash collateral received | 0 | 0 | ||||||
Net amount | 12,162 | 4,859 | ||||||
Deutsche Bank Securities LLC [Member] | ||||||||
Offsetting Assets [Line Items] | ||||||||
Total derivative assets after netting | 14,511 | 3,748 | ||||||
Financial instruments | 0 | 0 | ||||||
Cash collateral received | 0 | 0 | ||||||
Net amount | 14,511 | 3,748 | ||||||
Federal National Mortgage Association [Member] | ||||||||
Offsetting Assets [Line Items] | ||||||||
Total derivative assets after netting | 5,619 | 1,606 | ||||||
Financial instruments | 0 | 0 | ||||||
Cash collateral received | 0 | 0 | ||||||
Net amount | 5,619 | 1,606 | ||||||
RJ O'Brien & Associates, LLC [Member] | ||||||||
Offsetting Assets [Line Items] | ||||||||
Total derivative assets after netting | 5,315 | 656 | ||||||
Financial instruments | 0 | 0 | ||||||
Cash collateral received | 0 | 0 | ||||||
Net amount | 5,315 | 656 | ||||||
Wells Fargo Securities, LLC [Member] | ||||||||
Offsetting Assets [Line Items] | ||||||||
Total derivative assets after netting | 2,800 | 146 | ||||||
Financial instruments | 0 | 0 | ||||||
Cash collateral received | 0 | 0 | ||||||
Net amount | 2,800 | 146 | ||||||
Citigroup Global Markets Inc. [Member] | ||||||||
Offsetting Assets [Line Items] | ||||||||
Total derivative assets after netting | 971 | 429 | ||||||
Financial instruments | 0 | 0 | ||||||
Cash collateral received | 0 | 0 | ||||||
Net amount | 971 | 429 | ||||||
Credit Suisse Securities (USA) LLC [Member] | ||||||||
Offsetting Assets [Line Items] | ||||||||
Total derivative assets after netting | 579 | 809 | ||||||
Financial instruments | 0 | 0 | ||||||
Cash collateral received | 0 | 0 | ||||||
Net amount | 579 | 809 | ||||||
Mitsubishi UFJ Sec [Member] | ||||||||
Offsetting Assets [Line Items] | ||||||||
Total derivative assets after netting | 257 | 193 | ||||||
Financial instruments | 0 | 0 | ||||||
Cash collateral received | 0 | 0 | ||||||
Net amount | 257 | 193 | ||||||
Morgan Stanley & Co. LLC [Member] | ||||||||
Offsetting Assets [Line Items] | ||||||||
Total derivative assets after netting | 243 | 457 | ||||||
Financial instruments | 0 | 0 | ||||||
Cash collateral received | 0 | 0 | ||||||
Net amount | 243 | 457 | ||||||
J.P. Morgan Securities LLC [Member] | ||||||||
Offsetting Assets [Line Items] | ||||||||
Total derivative assets after netting | 107 | 2,020 | ||||||
Financial instruments | 0 | 0 | ||||||
Cash collateral received | 0 | 0 | ||||||
Net amount | 107 | 2,020 | ||||||
Other [Member] | ||||||||
Offsetting Assets [Line Items] | ||||||||
Total derivative assets after netting | 614 | 318 | ||||||
Financial instruments | 0 | 0 | ||||||
Cash collateral received | 0 | 0 | ||||||
Net amount | $ 614 | $ 318 |
Derivative Activities - Schedul
Derivative Activities - Schedule of Offsetting of Derivative Liabilities and Financial Liabilities (Detail) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | $ 4,806,517 | $ 3,184,191 |
Gross amounts offset in the consolidated balance sheet | (23,576) | (1,999) |
Net amounts of liabilities presented in the consolidated balance sheet | 4,782,941 | 3,182,192 |
Unpaid Principal Balance [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 4,777,486 | 3,182,504 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 4,777,486 | 3,182,504 |
Forward Purchase Contracts [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 43 | 248 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 43 | 248 |
Forward Sales Contracts [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 29,273 | 2,830 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 29,273 | 2,830 |
Derivatives Not Subject To Master Netting Adjustment [Member] | Interest Rate Lock Commitments [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 174 | 227 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 174 | 227 |
Netting [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 0 | 0 |
Gross amounts offset in the consolidated balance sheet | (23,576) | (1,999) |
Net amounts of liabilities presented in the consolidated balance sheet | (23,576) | (1,999) |
Derivatives Subject to Master Netting Arrangements [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 29,316 | 3,078 |
Gross amounts offset in the consolidated balance sheet | (23,576) | (1,999) |
Net amounts of liabilities presented in the consolidated balance sheet | 5,740 | 1,079 |
Derivative Liabilities Before Netting [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 29,490 | 3,305 |
Gross amounts offset in the consolidated balance sheet | (23,576) | (1,999) |
Net amounts of liabilities presented in the consolidated balance sheet | 5,914 | 1,306 |
Unamortized Debt Issuance Costs [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | (459) | (1,618) |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | (459) | (1,618) |
Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 4,777,027 | 3,180,886 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | $ 4,777,027 | $ 3,180,886 |
Derivative Activities - Summa_4
Derivative Activities - Summary of Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty (Detail) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | $ 4,782,941 | $ 3,182,192 |
Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 4,777,027 | 3,180,886 |
Security Sold Under Agreements to Repurchase [Member] | Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 4,783,400 | 3,183,810 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (4,777,486) | (3,182,504) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 5,914 | 1,306 |
Security Sold Under Agreements to Repurchase [Member] | Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Interest Rate Lock Commitments [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 174 | 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 | 174 | 227 |
Security Sold Under Agreements to Repurchase [Member] | J.P. Morgan Securities LLC [Member] | Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 1,441,934 | 373,186 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (1,441,934) | (373,186) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Security Sold Under Agreements to Repurchase [Member] | Bank of America, N.A. [Member] | Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 1,307,923 | 839,057 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (1,307,584) | (838,771) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 339 | 286 |
Security Sold Under Agreements to Repurchase [Member] | Credit Suisse Securities (USA) LLC [Member] | Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 512,662 | 845,567 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (512,662) | (845,567) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Security Sold Under Agreements to Repurchase [Member] | Deutsche Bank Securities LLC [Member] | Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 495,974 | 374,526 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (495,974) | (374,526) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Security Sold Under Agreements to Repurchase [Member] | Mizuho Securities [Member] | Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 270,708 | 3 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (270,708) | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 3 |
Security Sold Under Agreements to Repurchase [Member] | Daiwa Capital Markets [Member] | Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 254,332 | 153,833 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (254,332) | (153,730) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 103 |
Security Sold Under Agreements to Repurchase [Member] | BNP Paribas [Member] | Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 162,636 | 45,411 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (162,357) | (45,411) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 279 | 0 |
Security Sold Under Agreements to Repurchase [Member] | Morgan Stanley & Co. LLC [Member] | Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 105,366 | 164,530 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (105,366) | (164,530) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Security Sold Under Agreements to Repurchase [Member] | Citigroup Global Markets Inc. [Member] | Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 99,626 | 235,541 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (98,644) | (235,319) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 982 | 222 |
Security Sold Under Agreements to Repurchase [Member] | Wells Fargo Securities, LLC [Member] | Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 70,130 | 50,360 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (70,130) | (50,360) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Security Sold Under Agreements to Repurchase [Member] | RBC Capital Markets, L.P. [Member] | Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 57,795 | 92,014 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (57,795) | (91,805) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 209 |
Security Sold Under Agreements to Repurchase [Member] | Barclays Capital Inc. [Member] | Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 325 | 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 | 325 | 75 |
Security Sold Under Agreements to Repurchase [Member] | Other [Member] | Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 3,815 | 181 |
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 | $ 3,815 | $ 181 |
Derivative Activities - Net Gai
Derivative Activities - Net Gains (Losses) Recognized on Derivative Financial Instruments (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
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 | $ 7,356 | $ 81,309 | $ 87,836 |
Interest expense [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net gains on derivative financial instruments used as economic hedges | 191 | 116 | 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 | (4,152) | (18,468) | 7,251 |
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 | 112,275 | 134,761 | 32,500 |
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 | 25,334 | (31,245) | 50,274 |
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 | $ (35,550) | $ (2,512) | $ 2,271 |
Real Estate Acquired in Settl_3
Real Estate Acquired in Settlement of Loans - Summary of Financial Information Relating to REO (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Real Estate [Abstract] | |||
Balance at beginning of year | $ 162,865 | $ 274,069 | $ 341,846 |
Transfer from mortgage loans at fair value and advances | 32,578 | 87,202 | 207,431 |
Transfer to real estate held for investment | (5,183) | (16,530) | (21,406) |
Transfer from real estate held for investment | 3,401 | 0 | 0 |
Results of REO: | |||
Valuation adjustments, net | (17,323) | (27,505) | (36,193) |
Gain on sale, net | 8,537 | 12,550 | 17,075 |
Total gain (loss), net | (8,786) | (14,955) | (19,118) |
Sales | (99,194) | (166,921) | (234,684) |
Balance at end of year | 85,681 | 162,865 | $ 274,069 |
REO pledged to secure assets sold under agreements to repurchase | 1,939 | 76,037 | |
REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties | 38,259 | 48,495 | |
Real estate pledged to creditors | $ 40,198 | $ 124,532 |
Mortgage Servicing Rights - Sum
Mortgage Servicing Rights - Summary of MSRs Carried at Fair Value (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | ||
Servicing Asset At Fair Value Changes In Fair Value [Abstract] | |||||
Balance at beginning of year | $ 91,459 | $ 64,136 | $ 66,584 | ||
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 | 0 | $ 0 | ||
Balance after reclassification | 864,494 | 64,136 | $ 66,584 | ||
Purchases | 0 | 79 | 2,739 | ||
Sales | (100) | 0 | 0 | ||
MSRs resulting from mortgage loan sales | 356,755 | 41,379 | 7,337 | ||
Due to changes in valuation inputs used in valuation model | [1] | 60,772 | (9,762) | (3,210) | |
Other changes in fair value | [2] | (119,552) | (4,373) | (9,314) | |
Change in fair value, Total | (58,780) | (14,135) | (12,524) | ||
Balance at end of year | 1,162,369 | 91,459 | $ 64,136 | ||
Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and Notes payable | [3] | $ 1,139,582 | $ 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 interest in Fannie Mae MSRs are pledged as collateral for both Assets sold under agreements to repurchase and Notes payable as discussed in Note 16 – 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 | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Servicing Asset at Amortized Cost, Balance [Roll Forward] | |||
Balance at beginning of year | $ 772,870 | $ 606,103 | $ 404,101 |
Transfer of mortgage servicing right to mortgage servicing rights carried at fair value pursuant to a change in accounting principle | (772,870) | 0 | 0 |
Balance after reclassification | 0 | 606,103 | 404,101 |
MSRs resulting from mortgage loan sales | 0 | 248,930 | 267,755 |
Amortization | 0 | (81,624) | (65,647) |
Sales | 0 | (539) | (106) |
Balance at end of year | 0 | 772,870 | 606,103 |
Balance at beginning of year | (19,548) | (13,672) | (10,944) |
Reduction pursuant to a change in accounting principle | 19,548 | 0 | 0 |
Balance after reclassification | 0 | (13,672) | (10,944) |
Additions to valuation allowance | 0 | (5,876) | (2,728) |
Balance at end of year | 0 | (19,548) | (13,672) |
MSRs, net | 0 | 753,322 | 592,431 |
Fair value at beginning of year | 772,940 | 626,334 | 424,154 |
Fair value at end of year | 0 | 772,940 | $ 626,334 |
Assets sold under agreements to repurchase | 0 | 584,762 | |
Notes payable | 0 | 156,846 | |
Total | $ 0 | $ 741,608 |
Mortgage Servicing Rights - S_3
Mortgage Servicing Rights - Summary of Net Mortgage Loan Servicing Fees Relating to MSRs (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Transfers And Servicing [Abstract] | |||
Contractually-specified servicing fees | $ 204,663 | $ 164,776 | $ 125,961 |
Late charges | 974 | 718 | 570 |
Other | 7,088 | 5,805 | 5,302 |
Net mortgage loan servicing fees | $ 212,725 | $ 171,299 | $ 131,833 |
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 ($) | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Assets Sold under Agreements to Repurchase [Line Items] | |||
Weighted average interest rate | 3.25% | 2.49% | 2.44% |
Average balance | $ 3,901,772,000 | $ 3,332,084,000 | $ 3,382,528,000 |
Total interest expense | 115,383,000 | 93,580,000 | 92,838,000 |
Maximum daily amount outstanding | 6,665,118,000 | 4,242,600,000 | $ 5,573,021,000 |
Unpaid principal balance | 4,777,486,000 | 3,182,504,000 | |
Assets sold under agreements to repurchase, At year end | $ 4,777,027,000 | $ 3,180,886,000 | |
Weighted average interest rate | 3.38% | 2.77% | |
Available borrowing capacity, Committed | $ 783,415,000 | $ 749,650,000 | |
Available borrowing capacity, Uncommitted | 2,325,246,000 | 2,030,607,000 | |
Available borrowing capacity | 3,108,661,000 | 2,780,257,000 | |
Margin deposits placed with counterparties included in Other assets | 43,676,000 | 28,154,000 | |
Real Estate Held for Investment [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | 23,262,000 | 31,128,000 | |
Assets Sold Under Agreements to Repurchase [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Unamortized debt issuance premiums and (costs), net | (459,000) | (1,618,000) | |
Mortgage-backed securities at fair value [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | 2,610,422,000 | 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 | 1,436,437,000 | 1,201,992,000 | |
Mortgage loans at fair value [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | 108,693,000 | 760,853,000 | |
Real estate acquired in settlement of loans [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | 40,198,000 | 124,532,000 | |
Mortgage service rights [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | 1,139,582,000 | 651,575,000 | |
Deposits securing CRT Agreements [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | 1,146,501,000 | 400,778,000 | |
Derivative assets related to CRT Agreements [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | $ 87,976,000 | $ 26,058,000 |
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 | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
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 21, 2019, unless terminated earlier at the option of the lender. The Company expects that it will cease to accrue the incentives under the repurchase agreement in the second quarter of 2019. | ||
Master Repurchase Agreement [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Incentives as a reduction to finance mortgage loans included in interest expense | $ 19.7 | $ 3.1 | |
Maturity date description | The master repurchase agreement is subject to a rolling six-month term through August 21, 2019, unless terminated earlier at the option of the lender. The Company expects that it will cease to accrue the incentives under the repurchase agreement in the second quarter of 2019. | ||
Assets Sold Under Agreements to Repurchase [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Amortization of debt issuance premiums | $ 11.7 | ||
Amortization of debt issuance costs | $ 8.3 | $ 8.8 |
Assets Sold Under Agreements _5
Assets Sold Under Agreements to Repurchase - Summary of Maturities of Outstanding Advances Under Repurchase Agreements by Maturity Date (Detail) $ in Thousands | 12 Months Ended |
Dec. 31, 2018USD ($) | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 4,777,486 |
Weighted average maturity (in months) | 2 months 6 days |
Within 30 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 2,532,214 |
Over 30 to 90 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 882,985 |
Over 90 days to 180 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 430,114 |
Over 180 days to 1 year [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 927,173 |
Over one year to two years [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 5,000 |
Assets Sold Under Agreements _6
Assets Sold Under Agreements to Repurchase - Summary of Assets Sold under Agreements to Repurchase by Counterparty (Detail) $ in Thousands | 12 Months Ended |
Dec. 31, 2018USD ($) | |
Credit Suisse First Boston Mortgage Capital LLC Maturity in 2020 [Member] | Mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 369,773 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Dec. 20, 2020 |
Facility maturity | Dec. 20, 2020 |
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 | $ 53,785 |
Weighted average maturity | Jan. 17, 2019 |
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 | $ 49,454 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Mar. 23, 2019 |
Facility maturity | Apr. 26, 2019 |
JPMorgan Chase & Co. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 45,359 |
Weighted average maturity | Feb. 13, 2019 |
JPMorgan Chase & Co. [Member] | CRT Agreements sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 202,469 |
Weighted average maturity | Jan. 7, 2019 |
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 | $ 36,481 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Feb. 16, 2019 |
Facility maturity | Oct. 11, 2019 |
Bank of America, N.A. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 59,343 |
Weighted average maturity | Jan. 22, 2019 |
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 | $ 25,582 |
Weighted average maturity | Jan. 21, 2019 |
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 | $ 13,975 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Jan. 12, 2019 |
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 | $ 29,797 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Mar. 22, 2019 |
Facility maturity | Jun. 30, 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 | $ 16,575 |
Weighted average maturity | Jan. 22, 2019 |
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 | $ 6,991 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Mar. 18, 2019 |
Facility maturity | Aug. 2, 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 | $ 50,845 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Mar. 22, 2019 |
Facility maturity | Jun. 7, 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 | $ 5,925 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Mar. 11, 2019 |
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 | $ 3,423 |
Mortgage acquired for sale Weighted-average repurchase agreement maturity | Feb. 28, 2019 |
Facility maturity | Feb. 28, 2019 |
Daiwa Capital Markets [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 19,831 |
Weighted average maturity | Jan. 14, 2019 |
Mizuho Securities [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 12,312 |
Weighted average maturity | Jan. 14, 2019 |
Wells Fargo, N.A. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 4,760 |
Weighted average maturity | Jan. 13, 2019 |
Mortgage Loan Participation P_3
Mortgage Loan Participation Purchase and Sale Agreements - Summary of Mortgage Loan Participation Purchase and Sale Agreements (Detail) - USD ($) | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
At period end: | |||
Mortgage loan participation purchase and sale agreements, At year end | $ 178,639,000 | $ 44,488,000 | |
Mortgage Loan Participation Purchase and Sale Agreement [Member] | |||
Mortgage Loan Participation Purchase And Sale Agreement [Line Items] | |||
Weighted-average interest rate | 3.42% | 2.34% | 1.74% |
Average balance | $ 64,512,000 | $ 61,807,000 | $ 70,391,000 |
Total interest expense | 2,422,000 | 1,593,000 | 1,376,000 |
Maximum daily amount outstanding | 287,862,000 | 136,854,000 | $ 99,469,000 |
At period end: | |||
Amount outstanding | 178,726,000 | 44,550,000 | |
Unamortized debt issuance costs | (87,000) | (62,000) | |
Mortgage loan participation purchase and sale agreements, At year end | $ 178,639,000 | $ 44,488,000 | |
Weighted average interest rate | 3.77% | 2.82% | |
Mortgage loans acquired for sale pledged to secure mortgage loan participation purchase and sale agreements | $ 185,442,000 | $ 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 ($) | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Mortgage Loan Participation Purchase And Sale Agreement [Line Items] | |||
Amortization of debt issuance (premiums) and costs, net | $ (9,323,000) | $ 13,769,000 | $ 13,152,000 |
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 | $ 217,000 | $ 125,000 | $ 130,000 |
Exchangeable Senior Notes - Add
Exchangeable Senior Notes - Additional Information (Detail) - Exchangeable Senior Notes due May 1, 2020 [Member] | Apr. 30, 2013USD ($) | Dec. 31, 2018USD ($)$ / 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 | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Carrying value: | |||
UPB | $ 250,000 | $ 250,000 | |
Exchangeable senior notes | 248,350 | 247,186 | |
Convertible Debt [Member] | |||
Debt Instrument [Line Items] | |||
Average balance | 250,000 | 250,000 | $ 250,000 |
Total interest expense | 14,601 | 14,535 | $ 14,473 |
Carrying value: | |||
Unamortized debt issuance costs | $ (1,650) | $ (2,814) |
Notes Payable - Additional Info
Notes Payable - Additional Information (Detail) - USD ($) | Apr. 25, 2018 | Dec. 31, 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] | ||||
Repayment 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 ($) | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Carrying value: | |||
Amount outstanding | $ 450,000,000 | $ 0 | |
Balance | 445,573,000 | 0 | |
MSRs pledged to secure notes payable | $ 1,139,582,000 | $ 180,317,000 | |
Notes payable [Member] | |||
Debt Instrument [Line Items] | |||
Weighted-average interest rate | 4.68% | 5.71% | 4.73% |
Average balance | $ 300,035,000 | $ 145,638,000 | $ 202,293,000 |
Total interest expense | 14,623,000 | 12,634,000 | 12,892,000 |
Maximum daily amount outstanding | 450,000,000 | 275,106,000 | $ 275,106,000 |
Carrying value: | |||
Unamortized debt issuance costs | $ (4,427,000) | $ 0 | |
Weighted average interest rate | 4.86% | 0.00% |
Notes Payable - Summary of Fi_2
Notes Payable - Summary of Financial Information Relating to Note Payable (Parenthetical) (Detail) - USD ($) | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Debt Instrument [Line Items] | |||
Amortization of debt issuance (premiums) and costs, net | $ (9,323,000) | $ 13,769,000 | $ 13,152,000 |
Notes payable [Member] | |||
Debt Instrument [Line Items] | |||
Amortization of debt issuance (premiums) and costs, net | $ 681,000 | $ 4,200,000 | $ 3,200,000 |
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 | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Variable Interest Entity [Line Items] | |||
Asset-backed financing of a variable interest entity at fair value | $ 276,499 | $ 307,419 | |
Variable Interest Entities [Member] | |||
Variable Interest Entity [Line Items] | |||
Asset-backed financing of a variable interest entity at fair value | 276,499 | 307,419 | |
Asset-Backed Financing of the VIE at Fair Value [Member] | Variable Interest Entities [Member] | |||
Variable Interest Entity [Line Items] | |||
Asset-backed financing of a variable interest entity at fair value | 276,499 | 307,419 | |
UPB | 281,922 | 316,684 | |
Asset-Backed Financing of the VIE at Fair Value [Member] | Variable Interest Entities [Member] | Asset Backed Secured Financing Liability Fair Value [Member] | |||
Variable Interest Entity [Line Items] | |||
Average balance | 288,244 | 331,409 | $ 338,582 |
Total interest expense | $ 10,821 | $ 13,184 | $ 12,091 |
Weighted average interest rate | 3.55% | 3.39% | 3.32% |
Weighted average interest rate | 3.51% | 3.51% |
Asset-Backed Financing of a V_4
Asset-Backed Financing of a Variable Interest Entity at Fair Value - Summary of Financial Information Relating to Asset-Backed Financing of a VIE (Parenthetical) (Detail) - USD ($) | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Variable Interest Entity [Line Items] | |||
Amortization of debt issuance (premiums) and costs, net | $ (9,323,000) | $ 13,769,000 | $ 13,152,000 |
Asset-Backed Financing of the VIE at Fair Value [Member] | Variable Interest Entities [Member] | Asset Backed Secured Financing Liability Fair Value [Member] | |||
Variable Interest Entity [Line Items] | |||
Amortization of debt issuance (premiums) and costs, net | $ 577,000 | $ 1,800,000 | $ 669,000 |
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 | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Mortgage Banking [Abstract] | |||
Balance, beginning of year | $ 8,678 | $ 15,350 | $ 20,171 |
Provision for losses: | |||
Pursuant to mortgage loan sales | 2,531 | 3,147 | 3,254 |
Reduction in liability due to change in estimate | (3,707) | (9,679) | (7,564) |
Recoveries (losses incurred), net | 12 | (140) | (511) |
Balance, end of year | 7,514 | 8,678 | 15,350 |
UPB of mortgage loans subject to representations and warranties at end of year | $ 90,427,100 | $ 71,416,333 | $ 56,114,162 |
Commitments and Contingencies -
Commitments and Contingencies - Company's Outstanding Contractual Commitments (Detail) $ in Thousands | Dec. 31, 2018USD ($) |
Commitments to purchase mortgage loans: | |
Commitments to purchase mortgage loans acquired for sale | $ 1,688,516 |
Firm commitment to purchase credit risk transfer securities | $ 605,052 |
Shareholders' Equity - Summary
Shareholders' Equity - Summary of Preferred Shares of Beneficial Interest (Detail) - USD ($) | 12 Months Ended | |
Dec. 31, 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 | |
Dividends per share | $ 2.03 | $ 1.59 |
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 | |
Dividends per share | $ 2 | $ 0.89 |
Shareholders' Equity - Summar_2
Shareholders' Equity - Summary of Preferred Shares of Beneficial Interest (Parenthetical) (Detail) - $ / shares | Jul. 05, 2017 | Jul. 31, 2017 | Mar. 31, 2017 | Dec. 31, 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 | Dec. 31, 2017 | Dec. 31, 2016 | Aug. 31, 2015 |
Schedule Of Capitalization Equity [Line Items] | |||||||
Preferred stock, par value | $ 0.01 | $ 0.01 | |||||
Reimbursement paid for every $100 of performance incentive fees earned | $ 10 | ||||||
Performance incentive fees earned | 100 | ||||||
Payments of contingent underwriting fees to underwriters | 137,000 | $ 61,000 | $ 0 | ||||
Initial Public Offering [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Reimbursement paid for every $100 of performance incentive fees earned | 20 | ||||||
Performance incentive fees earned | $ 100 | ||||||
Reimbursement agreement expiry date | Feb. 1, 2023 | ||||||
Management [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Reimbursement of contingent underwriting fee to manager | $ 68,000 | $ 30,000 | $ 0 | ||||
Maximum [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Common stock shares Repurchase authorized amount | $ 300,000,000 | ||||||
8.125% Series A Preferred Stock [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Issuance of preferred shares, Shares | 4,600,000 | ||||||
Cumulative dividend, beneficial interest rate | 8.125% | 8.125% | |||||
Preferred stock, par value | $ 0.01 | $ 0.01 | |||||
Statutory Dividend Payment Restrictions Disclosure | The Company pays quarterly cumulative dividends on the 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 | |||||
Preferred stock, liquidation preference | $ 25 | ||||||
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 |
Shareholders' Equity - Summar_3
Shareholders' Equity - Summary of Share Repurchase Activity (Detail) - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Equity [Abstract] | |||
Common shares repurchased | 671 | 5,647 | 7,368 |
Cumulative shares repurchased | 14,731 | ||
Cost of common shares repurchased | $ 10,719 | $ 91,198 | $ 98,370 |
Cumulative cost of shares repurchased | $ 216,625 |
Net Mortgage Loan Servicing F_3
Net Mortgage Loan Servicing Fees - Summary of Net Mortgage Loan Servicing Fees (Detail) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | ||
Components of Net Servicing Fee Income [Line Items] | ||||
Servicing fees | $ 212,725 | $ 171,299 | $ 131,833 | |
Effect of MSRs: | ||||
Realization of cashflows | [1] | (119,552) | (4,373) | (9,314) |
Other | [2] | 60,772 | (9,762) | (3,210) |
Change in fair value, Total | (58,780) | (14,135) | (12,524) | |
Amortization | 0 | (81,624) | (65,647) | |
Increase in impairment valuation allowance | 0 | (5,876) | (2,728) | |
Total Effect of MSRs | (94,330) | (103,487) | (78,628) | |
Net mortgage loan servicing fees | 120,587 | 69,240 | 54,789 | |
Average servicing portfolio | 80,500,212 | 63,836,843 | 49,626,758 | |
PennyMac Financial Services, Inc. [Member] | ||||
Effect of MSRs: | ||||
Net mortgage loan servicing fees | 2,192 | 1,428 | 1,573 | |
From PFSI—MSR recapture income | 2,192 | 1,428 | 1,573 | |
Nonaffiliates [Member] | ||||
Components of Net Servicing Fee Income [Line Items] | ||||
Servicing fees | 204,663 | 164,776 | 125,961 | |
Ancillary and other fees | 8,062 | 6,523 | 5,872 | |
Effect of MSRs: | ||||
Realization of cashflows | (119,552) | (9,762) | (9,314) | |
Other | 60,772 | (4,373) | (3,210) | |
Change in fair value, Total | (58,780) | (14,135) | (12,524) | |
Amortization | (81,624) | (65,647) | ||
Increase in impairment valuation allowance | (5,876) | (2,728) | ||
Gain on sale | 660 | 11 | ||
Total Effect of MSRs | (94,330) | (103,487) | (78,617) | |
Net mortgage loan servicing fees | 118,395 | 67,812 | 53,216 | |
Nonaffiliates [Member] | Mortgage service rights [Member] | ||||
Effect of MSRs: | ||||
(Losses) gains on hedging derivatives, net | $ (35,550) | $ (2,512) | $ 2,271 | |
[1] | Represents changes due to realization of expected cash flows. | |||
[2] | Principally reflects changes in pricing spread (discount rate) and prepayment speed inputs, primarily due to changes in market interest rates. |
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 | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Non cash gain: | |||
Receipt of MSRs in mortgage loan sale transactions | $ 356,755 | $ 290,309 | $ 275,092 |
Provision for losses relating to representations and warranties provided in mortgage loan sales: | |||
Pursuant to mortgage loans sales | (2,531) | (3,147) | (3,254) |
Change in fair value of financial instruments held at year end: | |||
Net gain on mortgage loans acquired for sale | 59,185 | 74,516 | 106,442 |
PennyMac Financial Services, Inc. [Member] | |||
Change in fair value of financial instruments held at year end: | |||
Net gain on mortgage loans acquired for sale | 10,925 | 12,084 | 9,224 |
Nonaffiliates [Member] | |||
Cash loss: | |||
Mortgage loans | (363,271) | (209,898) | (229,743) |
Hedging activities | 9,172 | (15,288) | 30,927 |
Cash gain, net of effects of cash hedging, on sale of mortgage loans acquired for sale | (354,099) | (225,186) | (198,816) |
Non cash gain: | |||
Recognition of fair value of firm commitment to purchase credit risk transfer security | 30,595 | 0 | 0 |
Receipt of MSRs in mortgage loan sale transactions | 356,755 | 290,309 | 275,092 |
Provision for losses relating to representations and warranties provided in mortgage loan sales: | |||
Pursuant to mortgage loans sales | (2,531) | (3,147) | (3,254) |
Reduction in liability due to change in estimate | 3,707 | 9,679 | 7,564 |
Provision for losses relating to representations and warranties | 1,176 | 6,532 | 4,310 |
Change in fair value of financial instruments held at year end: | |||
IRLCs | 7,356 | 855 | (869) |
Mortgage loans | (9,685) | 5,879 | (1,846) |
Hedging derivatives | 16,162 | (15,957) | 19,347 |
Total non cash portion of gain on mortgage loans acquired for sale | 13,833 | (9,223) | 16,632 |
Net gain on mortgage loans acquired for sale | 48,260 | 62,432 | 97,218 |
Nonaffiliates [Member] | Sourcing Fees [Member] | |||
Change in fair value of financial instruments held at year end: | |||
Net gain on mortgage loans acquired for sale | $ 48,260 | $ 62,432 | $ 97,218 |
Net Gain (Loss) on Investment_2
Net Gain (Loss) on Investments - Summary of Net Gain (Loss) on Investments (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
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 | $ 81,926 | $ 96,384 | $ 7,175 |
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 | (11,262) | 5,498 | (13,168) |
CRT Agreements | 92,943 | 123,728 | 32,500 |
Firm commitment to purchase CRT securities | 7,399 | 0 | 0 |
Asset-backed financing of a VIE at fair value | 9,610 | (3,426) | 3,238 |
Hedging derivatives | (4,152) | (18,468) | 7,251 |
Net gain (loss) on investments | 70,842 | 110,914 | 24,569 |
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 | 11,084 | (14,530) | (17,394) |
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 | (8,499) | 4,266 | (1,748) |
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 | $ (15,197) | $ (684) | $ (3,504) |
Net Interest Income - Summary o
Net Interest Income - Summary of Net Interest Income (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Interest income: | |||
Total Interest Income | $ 222,772 | $ 195,176 | $ 222,122 |
Interest expense: | |||
Assets sold under agreements to repurchase | 115,383 | 93,580 | 92,838 |
Interest expense, total | 175,171 | 151,371 | 149,768 |
Net interest income | 47,601 | 43,805 | 72,354 |
Exchangeable Notes [Member] | |||
Interest expense: | |||
Total interest expense | 14,601 | 14,535 | 14,473 |
PennyMac Financial Services, Inc. [Member] | |||
Interest income: | |||
Total Interest Income | 15,138 | 16,951 | 22,601 |
Interest expense: | |||
Assets sold under agreements to repurchase | 7,462 | 8,038 | 7,830 |
Nonaffiliates [Member] | |||
Interest income: | |||
Short-term investments | 852 | 576 | 923 |
Mortgage-backed securities | 55,487 | 29,438 | 14,663 |
Mortgage loans acquired for sale at fair value | 75,610 | 53,164 | 54,750 |
Distressed | 21,666 | 63,613 | 107,044 |
Deposits securing CRT Agreements | 15,441 | 4,291 | 930 |
Placement fees relating to custodial funds | 26,065 | 12,517 | 4,058 |
Other | 700 | 201 | 111 |
Total Interest Income | 207,634 | 178,225 | 199,521 |
Interest expense: | |||
Assets sold under agreements to repurchase | 115,383 | 93,580 | 92,838 |
Mortgage loan participation purchase and sale agreements | 2,422 | 1,593 | 1,376 |
Notes payable | 14,623 | 12,634 | 12,892 |
Asset-backed financings of a VIE at fair value | 10,821 | 13,184 | 12,091 |
FHLB advances | 0 | 0 | 122 |
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations | 7,324 | 5,928 | 6,812 |
Interest on mortgage loan impound deposits | 2,535 | 1,879 | 1,334 |
Interest expense, total | 167,709 | 143,333 | 141,938 |
Nonaffiliates [Member] | Exchangeable Notes [Member] | |||
Interest expense: | |||
Total interest expense | 14,601 | 14,535 | 14,473 |
Nonaffiliates [Member] | Variable Interest Entities [Member] | |||
Interest income: | |||
Mortgage loans at fair value | $ 11,813 | $ 14,425 | $ 17,042 |
Net Interest Income - Summary_2
Net Interest Income - Summary of Net Interest Income (Parenthetical) (Detail) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2018 | Dec. 31, 2017 | |
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 21, 2019, unless terminated earlier at the option of the lender. The Company expects that it will cease to accrue the incentives under the repurchase agreement in the second quarter of 2019. | |
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 | $ 19.7 | $ 3.1 |
Maturity date description | The master repurchase agreement is subject to a rolling six-month term through August 21, 2019, unless terminated earlier at the option of the lender. The Company expects that it will cease to accrue the incentives under the repurchase agreement in the second quarter of 2019. |
Share-Based Compensation Plan_2
Share-Based Compensation Plans - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2018 | |
Maximum [Member] | |
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |
Percentage of Company's issued and outstanding shares | 8.00% |
Maximum [Member] | Restricted Share Units [Member] | |
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |
Vesting period | 3 years |
Minimum [Member] | Restricted Share Units [Member] | |
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |
Vesting period | 1 year |
Share-Based Compensation Plan_3
Share-Based Compensation Plans - Summary of Share-Based Compensation Activity (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |||
Total share units granted | 245 | 262 | 330 |
Total fair value of share units granted | $ 3,823 | $ 3,991 | $ 4,041 |
Total share units vested | 288 | 284 | 299 |
Total share units forfeited | 2 | 13 | 0 |
Compensation expense relating to share-based grants | $ 5,318 | $ 4,904 | $ 5,748 |
Restricted Shares Units [Member] | |||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |||
Total share units granted | 129 | 136 | 218 |
Total fair value of share units granted | $ 2,281 | $ 2,316 | $ 2,690 |
Total share units vested | 261 | 284 | 299 |
Total share units forfeited | 2 | 13 | 0 |
Performance Shares Units [Member] | |||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |||
Total share units granted | 116 | 126 | 112 |
Total fair value of share units granted | $ 1,542 | $ 1,675 | $ 1,351 |
Total share units vested | 27 | 0 | 0 |
Total share units forfeited | 0 | 0 | 0 |
Share-Based Compensation Plan_4
Share-Based Compensation Plans - Summary of Restricted Share Units and Performance Share Units Expected to Vest (Detail) shares in Thousands | 12 Months Ended |
Dec. 31, 2018$ / sharesshares | |
Restricted Share Units [Member] | |
Shares expected to vest: | |
Number of units (in thousands) | shares | 360 |
Grant date fair value per unit | $ / shares | $ 17.69 |
Average remaining vesting period (months) | 8 months |
Performance Share Units [Member] | |
Shares expected to vest: | |
Number of units (in thousands) | shares | 237 |
Grant date fair value per unit | $ / shares | $ 11.21 |
Average remaining vesting period (months) | 9 months |
Other Expenses - Summary of Oth
Other Expenses - Summary of Other Expenses (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Other Non operating Income Expense [Line Items] | |||
Total other expenses | $ 11,393 | $ 14,200 | $ 15,012 |
Common Overhead Allocation from PFSI [Member] | |||
Other Non operating Income Expense [Line Items] | |||
Total other expenses | 4,640 | 5,306 | 7,898 |
Safekeeping [Member] | |||
Other Non operating Income Expense [Line Items] | |||
Total other expenses | 1,805 | 2,918 | 2,675 |
Bank Service Charges [Member] | |||
Other Non operating Income Expense [Line Items] | |||
Total other expenses | 1,522 | 2,150 | 842 |
Technology [Member] | |||
Other Non operating Income Expense [Line Items] | |||
Total other expenses | 1,408 | 1,479 | 1,448 |
Insurance [Member] | |||
Other Non operating Income Expense [Line Items] | |||
Total other expenses | 1,193 | 1,150 | 1,326 |
Other [Member] | |||
Other Non operating Income Expense [Line Items] | |||
Total other expenses | $ 825 | $ 1,197 | $ 823 |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Detail) - USD ($) | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Income Tax [Line Items] | |||
Percentage of deduction from taxable income | 20.00% | ||
Federal corporate tax rate | 21.00% | 35.00% | 35.00% |
Tax cuts and jobs act of 2017, change in tax rate, income tax expense (benefit) | $ 0 | $ 12,992,000 | $ 0 |
Net operating loss carryforwards | $ 136,800,000 | $ 131,500,000 | |
Net operating loss carryforwards, expiration year | 2,033 | 2,036 | |
Net operating loss carryforwards, maximum percentage of taxable income | 80.00% | ||
Unrecognized tax benefits | $ 0 | $ 0 | |
TRS [Member] | |||
Income Tax [Line Items] | |||
Distribution | $ 20,000,000 | $ 0 |
Income Taxes - Schedule of Tax
Income Taxes - Schedule of Tax Characterization of Distributions (Detail) | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Income Tax Disclosure [Abstract] | |||
Ordinary income | 49.00% | 71.00% | 60.00% |
Long term capital gain | 0.00% | 29.00% | 40.00% |
Return of capital | 51.00% | 0.00% | 0.00% |
Income Taxes - Summary of Compa
Income Taxes - Summary of Company's Provision for (Benefit from) Income Taxes (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Current expense: | |||
Federal | $ 19 | $ 251 | $ 361 |
State | 6 | 57 | 81 |
Total current expense | 25 | 308 | 442 |
Deferred expense (benefit): | |||
Federal | 7,587 | 3,824 | (8,790) |
State | (2,422) | 2,665 | (5,699) |
Total deferred expense (benefit) | 5,165 | 6,489 | (14,489) |
Total provision for (benefit from) income taxes | $ 5,190 | $ 6,797 | $ (14,047) |
Income Taxes - Reconciliation o
Income Taxes - Reconciliation of Company's Provision for (Benefit from) Income Taxes (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Income Tax Disclosure [Abstract] | |||
Federal income tax expense at statutory tax rate, Amount | $ 33,177 | $ 43,591 | $ 21,617 |
Effect of non-taxable REIT income, Amount | (26,647) | (25,754) | (32,501) |
State income taxes, net of federal benefit, Amount | (2,044) | 1,687 | (3,652) |
Effect of federal statutory rate change, Amount | 0 | (12,992) | 0 |
Other, Amount | 704 | 265 | 489 |
Valuation allowance, Amount | 0 | 0 | 0 |
Total provision for (benefit from) income taxes | $ 5,190 | $ 6,797 | $ (14,047) |
Federal income tax expense at statutory tax rate, Rate | 21.00% | 35.00% | 35.00% |
Effect of non-taxable REIT income, Rate | (16.90%) | (20.70%) | (52.60%) |
State income taxes, net of federal benefit, Rate | (1.30%) | 1.40% | (5.90%) |
Effect of federal statutory rate change, Rate | 0.00% | (10.40%) | 0.00% |
Other, Rate | 0.40% | 0.20% | 0.80% |
Valuation allowance, Rate | 0.00% | 0.00% | 0.00% |
Provision for (benefit from) income taxes | 3.30% | 5.50% | (22.70%) |
Income Taxes - Components of Pr
Income Taxes - Components of Provision for (Benefit from) Deferred Income Taxes (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Income Tax Disclosure [Abstract] | |||
Real estate valuation loss | $ 1,565 | $ 3,476 | $ 2,732 |
Mortgage servicing rights | 4,797 | 15,516 | 10,597 |
Net operating loss carryforward | (1,109) | 4,333 | (19,863) |
Liability for losses under representations and warranties | 405 | 2,652 | 2,222 |
Excess interest expense disallowance | 234 | (7,304) | (8,721) |
Effect of federal statutory rate change, Amount | 0 | (12,992) | 0 |
Other | (727) | 808 | (1,456) |
Valuation allowance | 0 | 0 | 0 |
Total provision for (benefit from) deferred income taxes | $ 5,165 | $ 6,489 | $ (14,489) |
Income Taxes - Components of In
Income Taxes - Components of Income Taxes Payable (Detail) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Income Tax Disclosure [Abstract] | ||
Taxes currently (receivable) payable | $ (1,160) | $ 148 |
Deferred income taxes payable | 37,686 | 27,169 |
Income taxes payable | $ 36,526 | $ 27,317 |
Income Taxes - Summary of Defer
Income Taxes - Summary of Deferred Income Tax Assets and Liabilities (Detail) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Deferred income tax assets: | ||
Net operating loss carryforward | $ 40,896 | $ 39,788 |
Excess interest expense disallowance | 19,901 | 20,135 |
REO valuation loss | 2,578 | 4,143 |
Liability for losses under representations and warranties | 2,011 | 2,416 |
Other | 1,576 | 848 |
Gross deferred tax assets | 66,962 | 67,330 |
Deferred income tax liabilities: | ||
Mortgage servicing rights | 104,648 | 94,499 |
Other | 0 | 0 |
Gross deferred tax liabilities | 104,648 | 94,499 |
Net deferred income tax liability | $ 37,686 | $ 27,169 |
Earnings Per Share - Summary of
Earnings Per Share - Summary of Basic and Diluted Earnings per Share (Detail) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Earnings Per Share [Abstract] | |||||||||||
Net income | $ 41,625 | $ 46,562 | $ 36,425 | $ 28,186 | $ 40,838 | $ 19,395 | $ 28,780 | $ 28,737 | $ 152,798 | $ 117,749 | $ 75,810 |
Dividends on preferred shares | (24,938) | (15,267) | 0 | ||||||||
Effect of participating securities—share-based compensation awards | (750) | (991) | (1,333) | ||||||||
Net income attributable to common shareholders | 127,110 | 101,491 | 74,477 | ||||||||
Net income attributable to common shareholders | 127,110 | 101,491 | 74,477 | ||||||||
Interest on Exchangeable Notes, net of income taxes | 10,637 | 8,757 | 8,719 | ||||||||
Diluted net income attributable to common shareholders | $ 137,747 | $ 110,248 | $ 83,196 | ||||||||
Weighted average basic shares outstanding | 60,898 | 66,144 | 68,642 | ||||||||
Dilutive securities: | |||||||||||
Shares issuable pursuant to exchange of the Exchangeable Notes | 8,467 | 8,467 | 8,467 | ||||||||
Diluted weighted average number of shares outstanding | 69,365 | 74,611 | 77,109 | ||||||||
Basic earnings per share | $ 0.58 | $ 0.66 | $ 0.49 | $ 0.36 | $ 0.53 | $ 0.20 | $ 0.39 | $ 0.42 | $ 2.09 | $ 1.53 | $ 1.09 |
Diluted earnings per share | $ 0.55 | $ 0.62 | $ 0.47 | $ 0.35 | $ 0.50 | $ 0.20 | $ 0.38 | $ 0.40 | $ 1.99 | $ 1.48 | $ 1.08 |
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 | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
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 | 252 | 157 | 701 |
Segments - Additional Informati
Segments - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 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 | 12 Months Ended | |||||||||
Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Net investment income: | |||||||||||
Net mortgage loan servicing fees | $ 120,587 | $ 69,240 | $ 54,789 | ||||||||
Net gain on mortgage loans acquired for sale | 59,185 | 74,516 | 106,442 | ||||||||
Net gain (loss) on investments | 81,926 | 96,384 | 7,175 | ||||||||
Net interest income (expense): | |||||||||||
Interest income | 222,772 | 195,176 | 222,122 | ||||||||
Interest expense | (175,171) | (151,371) | (149,768) | ||||||||
Net interest income | 47,601 | 43,805 | 72,354 | ||||||||
Other income (loss) | 41,768 | 33,995 | 31,328 | ||||||||
Net investment income | $ 83,902 | $ 108,501 | $ 82,991 | $ 75,673 | $ 93,703 | $ 75,804 | $ 83,959 | $ 64,474 | 351,067 | 317,940 | 272,088 |
Expenses: | |||||||||||
Mortgage loan fulfillment and servicing fees payable to PFSI | 123,395 | 123,423 | 137,080 | ||||||||
Management fees | 24,465 | 22,584 | 20,657 | ||||||||
Other | 45,219 | 47,387 | 52,588 | ||||||||
Total expenses | 193,079 | 193,394 | 210,325 | ||||||||
Pre-tax income (loss) | 157,988 | 124,546 | 61,763 | ||||||||
Total assets at year end | 7,813,361 | $ 7,267,578 | $ 6,676,849 | $ 5,790,486 | 5,604,933 | $ 5,785,043 | $ 6,010,244 | $ 6,002,946 | 7,813,361 | 5,604,933 | 6,357,502 |
Correspondent production [Member] | |||||||||||
Net investment income: | |||||||||||
Net mortgage loan servicing fees | 0 | 0 | 0 | ||||||||
Net gain on mortgage loans acquired for sale | 28,445 | 74,308 | 107,126 | ||||||||
Net gain (loss) on investments | 0 | 0 | 0 | ||||||||
Net interest income (expense): | |||||||||||
Interest income | 75,068 | 52,522 | 53,943 | ||||||||
Interest expense | (41,354) | (35,128) | (34,630) | ||||||||
Net interest income | 33,714 | 17,394 | 19,313 | ||||||||
Other income (loss) | 43,447 | 40,279 | 42,091 | ||||||||
Net investment income | 105,606 | 131,981 | 168,530 | ||||||||
Expenses: | |||||||||||
Mortgage loan fulfillment and servicing fees payable to PFSI | 81,350 | 80,366 | 86,488 | ||||||||
Management fees | 0 | 0 | 0 | ||||||||
Other | 7,784 | 8,677 | 8,200 | ||||||||
Total expenses | 89,134 | 89,043 | 94,688 | ||||||||
Pre-tax income (loss) | 16,472 | 42,938 | 73,842 | ||||||||
Total assets at year end | 1,698,656 | 1,302,245 | 1,698,656 | 1,302,245 | 1,734,290 | ||||||
Credit Sensitive Strategies [Member] | |||||||||||
Net investment income: | |||||||||||
Net mortgage loan servicing fees | 29 | 134 | 6 | ||||||||
Net gain on mortgage loans acquired for sale | 30,740 | 208 | (684) | ||||||||
Net gain (loss) on investments | 84,943 | 123,774 | 30,418 | ||||||||
Net interest income (expense): | |||||||||||
Interest income | 37,786 | 69,008 | 109,986 | ||||||||
Interest expense | (41,523) | (53,434) | (62,707) | ||||||||
Net interest income | (3,737) | 15,574 | 47,279 | ||||||||
Other income (loss) | (1,704) | (6,290) | (10,763) | ||||||||
Net investment income | 110,271 | 133,400 | 66,256 | ||||||||
Expenses: | |||||||||||
Mortgage loan fulfillment and servicing fees payable to PFSI | 7,561 | 15,611 | 29,601 | ||||||||
Management fees | 0 | 0 | 0 | ||||||||
Other | 15,459 | 15,575 | 19,367 | ||||||||
Total expenses | 23,020 | 31,186 | 48,968 | ||||||||
Pre-tax income (loss) | 87,251 | 102,214 | 17,288 | ||||||||
Total assets at year end | 1,602,776 | 1,791,447 | 1,602,776 | 1,791,447 | 2,288,886 | ||||||
Interest Rate Sensitive Strategies [Member] | |||||||||||
Net investment income: | |||||||||||
Net mortgage loan servicing fees | 120,558 | 69,106 | 54,783 | ||||||||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | ||||||||
Net gain (loss) on investments | (3,017) | (27,390) | (23,243) | ||||||||
Net interest income (expense): | |||||||||||
Interest income | 108,366 | 72,870 | 57,542 | ||||||||
Interest expense | (92,294) | (62,809) | (52,431) | ||||||||
Net interest income | 16,072 | 10,061 | 5,111 | ||||||||
Other income (loss) | 0 | 0 | 0 | ||||||||
Net investment income | 133,613 | 51,777 | 36,651 | ||||||||
Expenses: | |||||||||||
Mortgage loan fulfillment and servicing fees payable to PFSI | 34,484 | 27,446 | 20,991 | ||||||||
Management fees | 0 | 0 | 0 | ||||||||
Other | 697 | 1,648 | 1,619 | ||||||||
Total expenses | 35,181 | 29,094 | 22,610 | ||||||||
Pre-tax income (loss) | 98,432 | 22,683 | 14,041 | ||||||||
Total assets at year end | 4,373,488 | 2,414,423 | 4,373,488 | 2,414,423 | 2,177,024 | ||||||
Corporate [Member] | |||||||||||
Net investment income: | |||||||||||
Net mortgage loan servicing fees | 0 | 0 | 0 | ||||||||
Net gain on mortgage loans acquired for sale | 0 | 0 | 0 | ||||||||
Net gain (loss) on investments | 0 | 0 | 0 | ||||||||
Net interest income (expense): | |||||||||||
Interest income | 1,552 | 776 | 651 | ||||||||
Interest expense | 0 | 0 | 0 | ||||||||
Net interest income | 1,552 | 776 | 651 | ||||||||
Other income (loss) | 25 | 6 | 0 | ||||||||
Net investment income | 1,577 | 782 | 651 | ||||||||
Expenses: | |||||||||||
Mortgage loan fulfillment and servicing fees payable to PFSI | 0 | 0 | 0 | ||||||||
Management fees | 24,465 | 22,584 | 20,657 | ||||||||
Other | 21,279 | 21,487 | 23,402 | ||||||||
Total expenses | 45,744 | 44,071 | 44,059 | ||||||||
Pre-tax income (loss) | (44,167) | (43,289) | (43,408) | ||||||||
Total assets at year end | $ 138,441 | $ 96,818 | $ 138,441 | $ 96,818 | $ 157,302 |
Selected Quarterly Results - Se
Selected Quarterly Results - Selected Quarterly Financial Data (Detail) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | ||||||||||
Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Quarterly Financial Information Disclosure [Abstract] | ||||||||||||
Net investment income | $ 83,902 | $ 108,501 | $ 82,991 | $ 75,673 | $ 93,703 | $ 75,804 | $ 83,959 | $ 64,474 | $ 351,067 | $ 317,940 | $ 272,088 | |
Net income | $ 41,625 | $ 46,562 | $ 36,425 | $ 28,186 | $ 40,838 | $ 19,395 | $ 28,780 | $ 28,737 | $ 152,798 | $ 117,749 | $ 75,810 | |
Earnings per share: | ||||||||||||
Basic | $ 0.58 | $ 0.66 | $ 0.49 | $ 0.36 | $ 0.53 | $ 0.20 | $ 0.39 | $ 0.42 | $ 2.09 | $ 1.53 | $ 1.09 | |
Diluted | 0.55 | 0.62 | 0.47 | 0.35 | 0.50 | 0.20 | 0.38 | 0.40 | $ 1.99 | $ 1.48 | $ 1.08 | |
Cash dividends declared per share | $ 0.47 | $ 0.47 | $ 0.47 | $ 0.47 | $ 0.47 | $ 0.47 | $ 0.47 | $ 0.47 | ||||
Mortgage-backed securities at fair value | $ 2,610,422 | $ 2,126,507 | $ 1,698,322 | $ 1,436,456 | $ 989,461 | $ 1,036,669 | $ 1,065,540 | $ 1,089,610 | $ 2,610,422 | $ 989,461 | ||
Mortgage loans | 2,052,262 | 2,582,600 | 2,539,963 | 1,895,023 | 2,358,988 | 2,618,283 | 2,846,415 | 2,861,797 | 2,052,262 | 2,358,988 | ||
Excess servicing spread | 216,110 | 223,275 | 229,470 | 236,002 | 236,534 | 248,763 | 261,796 | 277,484 | 216,110 | 236,534 | ||
Derivative assets | 167,165 | 143,577 | 133,239 | 122,518 | 113,881 | 67,288 | 73,875 | 41,213 | 167,165 | 113,881 | ||
Real estate | 128,791 | 141,576 | 155,702 | 187,296 | 207,089 | 227,580 | 247,350 | 260,368 | 128,791 | 207,089 | ||
Deposits securing CRT agreements | 1,146,501 | 662,624 | 651,204 | 622,330 | 588,867 | 545,694 | 503,108 | 463,836 | 1,146,501 | 588,867 | ||
Mortgage servicing rights | 1,162,369 | 1,109,741 | 1,010,507 | 957,013 | 844,781 | 790,335 | 734,800 | 696,970 | 1,162,369 | 844,781 | ||
Other assets | 329,741 | 277,678 | 258,442 | 333,848 | 265,332 | 250,431 | 277,360 | 311,668 | 329,741 | 265,332 | ||
Total assets | 7,813,361 | 7,267,578 | 6,676,849 | 5,790,486 | 5,604,933 | 5,785,043 | 6,010,244 | 6,002,946 | 7,813,361 | 5,604,933 | $ 6,357,502 | |
Short-term debt | 5,081,691 | 4,452,670 | 3,630,843 | 3,366,181 | 3,269,462 | 3,475,552 | 3,846,324 | 3,634,396 | 5,081,691 | 3,269,462 | ||
Long-term debt | 1,011,433 | 1,086,841 | 1,363,886 | 737,289 | 661,715 | 571,696 | 582,665 | 780,180 | 1,011,433 | 661,715 | ||
Other liabilities | 154,105 | 169,504 | 136,633 | 144,758 | 129,171 | 127,230 | 126,423 | 129,780 | 154,105 | 129,171 | ||
Total liabilities | 6,247,229 | 5,709,015 | 5,131,362 | 4,248,228 | 4,060,348 | 4,174,478 | 4,555,412 | 4,544,356 | 6,247,229 | 4,060,348 | ||
Shareholders' equity | 1,566,132 | 1,558,563 | 1,545,487 | 1,542,258 | 1,544,585 | 1,610,565 | 1,454,832 | 1,458,590 | 1,566,132 | 1,544,585 | $ 1,351,114 | $ 1,496,113 |
Total liabilities and shareholders' equity | $ 7,813,361 | $ 7,267,578 | $ 6,676,849 | $ 5,790,486 | $ 5,604,933 | $ 5,785,043 | $ 6,010,244 | $ 6,002,946 | $ 7,813,361 | $ 5,604,933 |
Supplemental Cash Flow Inform_3
Supplemental Cash Flow Information - Summary of Supplemental Cash Flow Information (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Payments: | |||
Income tax (refunds), net | $ 1,333 | $ (2,354) | $ 1,294 |
Interest | 170,435 | 152,441 | 157,686 |
Cumulative effect on accumulated deficit of conversion to fair value accounting for mortgage servicing rights | (14,361) | 0 | 0 |
Non-cash investing activities: | |||
Transfer of mortgage loans and advances to real estate acquired in settlement of loans | 32,578 | 87,202 | 207,431 |
Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment | 5,183 | 16,530 | 21,406 |
Transfer of real estate acquired in settlement of mortgage loans from real estate held for investment | 3,401 | 0 | 0 |
Receipt of mortgage servicing rights as proceeds from sales of mortgage loans | 356,755 | 290,309 | 275,092 |
Receipt of excess servicing spread pursuant to recapture agreement with PennyMac Financial Services, Inc. | 2,688 | 5,244 | 6,603 |
Capitalization of servicing advances pursuant to mortgage loan modifications | 5,481 | 18,923 | 0 |
Non-cash financing activities: | |||
Dividends declared, not paid | $ 28,816 | $ 29,145 | $ 31,655 |
Regulatory Capital and Liquid_3
Regulatory Capital and Liquidity Requirements - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 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 | Dec. 31, 2018 | Dec. 31, 2017 |
Capital Requirements By Agencies [Line Items] | ||
Net Worth, Actual | $ 528,506 | $ 487,535 |
Net Worth, Required | $ 238,915 | $ 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 | $ 58,144 | $ 73,252 |
Liquidity, Required | $ 31,678 | $ 25,245 |
Parent Company Information - Su
Parent Company Information - Summary of Financial Covenants that Include a Minimum Tangible Net Worth (Detail) | Dec. 31, 2018USD ($) | |
Debt covenant requirement | $ 2,500,000 | |
PennyMac Mortgage Investment Trust [Member] | ||
Debt covenant requirement | 860,000,000 | |
Calculated balance | 1,566,132,000 | [1] |
Operating Partnership [Member] | ||
Debt covenant requirement | 860,000,000 | |
Calculated balance | 1,598,784,000 | [1] |
PennyMac Holdings, LLC [Member] | ||
Debt covenant requirement | 250,000,000 | |
Calculated balance | 598,826,000 | [1] |
PennyMac Corp. [Member] | ||
Debt covenant requirement | 150,000,000 | |
Calculated balance | $ 526,935,000 | [1] |
[1] | Calculated in accordance with the lenders’ requirements |
Parent Company Information - Co
Parent Company Information - Condensed Balance Sheets (Detail) - USD ($) $ in Thousands | Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 |
ASSETS | ||||||||||
Short-term investment | $ 74,850 | $ 18,398 | ||||||||
Other assets | 85,309 | 87,975 | ||||||||
Total assets | 7,813,361 | $ 7,267,578 | $ 6,676,849 | $ 5,790,486 | 5,604,933 | $ 5,785,043 | $ 6,010,244 | $ 6,002,946 | $ 6,357,502 | |
Liabilities | ||||||||||
Accounts payable and accrued liabilities | 70,687 | 64,751 | ||||||||
Total liabilities | 6,247,229 | 5,709,015 | 5,131,362 | 4,248,228 | 4,060,348 | 4,174,478 | 4,555,412 | 4,544,356 | ||
Shareholders' equity | 1,566,132 | 1,558,563 | 1,545,487 | 1,542,258 | 1,544,585 | 1,610,565 | 1,454,832 | 1,458,590 | $ 1,351,114 | $ 1,496,113 |
Total liabilities and shareholders’ equity | 7,813,361 | $ 7,267,578 | $ 6,676,849 | $ 5,790,486 | 5,604,933 | $ 5,785,043 | $ 6,010,244 | $ 6,002,946 | ||
PennyMac Mortgage Investment Trust [Member] | ||||||||||
ASSETS | ||||||||||
Short-term investment | 714 | 1,873 | ||||||||
Investments in subsidiaries | 1,599,298 | 1,651,419 | ||||||||
Due from subsidiaries | 86 | 2 | ||||||||
Other assets | 647 | 589 | ||||||||
Total assets | 1,600,745 | 1,653,883 | ||||||||
Liabilities | ||||||||||
Dividends payable | 28,680 | 28,949 | ||||||||
Accounts payable and accrued liabilities | 2,338 | 5,657 | ||||||||
Capital notes due to subsidiaries | 0 | 69,200 | ||||||||
Due to affiliates | 888 | 1,073 | ||||||||
Due to subsidiaries | 27 | 3 | ||||||||
Total liabilities | 31,933 | 104,882 | ||||||||
Shareholders' equity | 1,568,812 | 1,549,001 | ||||||||
Total liabilities and shareholders’ equity | $ 1,600,745 | $ 1,653,883 |
Parent Company Information - _2
Parent Company Information - Condensed Statements of Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Net investment income: | |||||||||||
Other | $ 7,233 | $ 8,766 | $ 8,453 | ||||||||
Net investment income | $ 83,902 | $ 108,501 | $ 82,991 | $ 75,673 | $ 93,703 | $ 75,804 | $ 83,959 | $ 64,474 | 351,067 | 317,940 | 272,088 |
Expenses | |||||||||||
Intercompany interest | 175,171 | 151,371 | 149,768 | ||||||||
Total expenses | 193,079 | 193,394 | 210,325 | ||||||||
Income before provision for income taxes and equity in undistributed earnings in subsidiaries | 157,988 | 124,546 | 61,763 | ||||||||
Provision for income taxes | 5,190 | 6,797 | (14,047) | ||||||||
Net income | $ 41,625 | $ 46,562 | $ 36,425 | $ 28,186 | $ 40,838 | $ 19,395 | $ 28,780 | $ 28,737 | 152,798 | 117,749 | 75,810 |
PennyMac Mortgage Investment Trust [Member] | |||||||||||
Net investment income: | |||||||||||
Dividends from subsidiaries | 221,469 | 177,571 | 230,091 | ||||||||
Intercompany interest | 8 | 7 | 6 | ||||||||
Other | 1,250 | 1,256 | 1,250 | ||||||||
Net investment income | 222,727 | 178,834 | 231,347 | ||||||||
Expenses | |||||||||||
Intercompany interest | 414 | 378 | 1,382 | ||||||||
Other | 0 | 0 | (114) | ||||||||
Total expenses | 414 | 378 | 1,268 | ||||||||
Income before provision for income taxes and equity in undistributed earnings in subsidiaries | 222,313 | 178,456 | 230,079 | ||||||||
Provision for income taxes | 24 | 308 | 442 | ||||||||
Income before equity in undistributed earnings of subsidiaries | 222,289 | 178,148 | 229,637 | ||||||||
Equity in distributions in excess of earnings of subsidiaries | (71,180) | (60,655) | (155,093) | ||||||||
Net income | $ 151,109 | $ 117,493 | $ 74,544 |
Parent Company Information - _3
Parent Company Information - Condensed Statements of Cash Flows (Detail) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Cash flows from operating activities: | |||||||||||
Net income | $ 41,625 | $ 46,562 | $ 36,425 | $ 28,186 | $ 40,838 | $ 19,395 | $ 28,780 | $ 28,737 | $ 152,798 | $ 117,749 | $ 75,810 |
(Increase) decrease in other assets | (23,482) | 8,822 | (62,028) | ||||||||
(Decrease) increase in accounts payable and accrued liabilities | 6,400 | (40,435) | 46,657 | ||||||||
Increase in due from affiliates | (26) | 2,514 | 1,640 | ||||||||
Increase (decrease) due to affiliates | 6,345 | 10,656 | (2,549) | ||||||||
Net cash (used in) provided by operating activities | (573,752) | 223,125 | (621,543) | ||||||||
Cash flows from investing activities: | |||||||||||
Net decrease (increase) in short-term investments | (56,452) | 103,690 | (80,223) | ||||||||
Net cash (used in) provided by investing activities | (1,424,292) | 681,681 | 193,952 | ||||||||
Cash flows from financing activities: | |||||||||||
Issuance of preferred shares | 0 | 310,000 | 0 | ||||||||
Payment of issuance costs related to preferred shares | 0 | (10,293) | 0 | ||||||||
Payment of dividends to preferred shareholders | (24,944) | (14,066) | 0 | ||||||||
Payment of dividends to common shareholders | (115,596) | (126,135) | (131,560) | ||||||||
Repurchase of common shares | (10,719) | (91,198) | (98,370) | ||||||||
Net cash provided by (used in) financing activities | 1,980,242 | (861,635) | 403,959 | ||||||||
Net (decrease) increase in cash and restricted cash | (17,802) | 43,171 | (23,632) | ||||||||
Cash and restricted cash at beginning of year | 77,647 | 34,476 | 77,647 | 34,476 | 58,108 | ||||||
Cash and restricted cash at end of year | 59,845 | 77,647 | 59,845 | 77,647 | 34,476 | ||||||
Non-cash financing activity — dividends payable | 28,816 | 29,145 | 28,816 | 29,145 | 31,655 | ||||||
PennyMac Mortgage Investment Trust [Member] | |||||||||||
Cash flows from operating activities: | |||||||||||
Net income | 151,109 | 117,493 | 74,544 | ||||||||
Equity in distributions in excess of earnings of subsidiaries | 71,180 | 60,655 | 155,093 | ||||||||
Decrease in due from affiliates | 490 | 620 | 693 | ||||||||
(Increase) decrease in other assets | (58) | 21 | 196 | ||||||||
(Decrease) increase in accounts payable and accrued liabilities | (3,320) | 2,892 | 93 | ||||||||
Increase in due from affiliates | (185) | (58) | (116) | ||||||||
Increase (decrease) due to affiliates | 84 | 35 | (174) | ||||||||
Net cash (used in) provided by operating activities | 219,300 | 181,658 | 230,329 | ||||||||
Cash flows from investing activities: | |||||||||||
Increase in investment in subsidiaries | 0 | (299,919) | 0 | ||||||||
Net decrease (increase) in short-term investments | 1,159 | (838) | 1,571 | ||||||||
Net cash (used in) provided by investing activities | 1,159 | (300,757) | 1,571 | ||||||||
Cash flows from financing activities: | |||||||||||
Net (decrease) increase in intercompany unsecured note payable | (69,200) | 50,791 | (1,970) | ||||||||
Issuance of preferred shares | 0 | 310,000 | 0 | ||||||||
Payment of issuance costs related to preferred shares | 0 | (10,293) | 0 | ||||||||
Payment of dividends to preferred shareholders | (24,944) | (14,066) | 0 | ||||||||
Payment of dividends to common shareholders | (115,596) | (126,135) | (131,560) | ||||||||
Repurchase of common shares | (10,719) | (91,198) | (98,370) | ||||||||
Net cash provided by (used in) financing activities | (220,459) | 119,099 | (231,900) | ||||||||
Net (decrease) increase in cash and restricted cash | 0 | 0 | 0 | ||||||||
Cash and restricted cash at beginning of year | $ 0 | $ 0 | 0 | 0 | 0 | ||||||
Cash and restricted cash at end of year | 0 | 0 | 0 | 0 | 0 | ||||||
Non-cash financing activity — dividends payable | $ 28,816 | $ 29,145 | $ 28,816 | $ 29,145 | $ 31,655 |
Subsequent Events - Additional
Subsequent Events - Additional Information (Detail) - $ / shares | Feb. 11, 2019 | Dec. 31, 2018 | Dec. 31, 2017 |
Subsequent Event [Line Items] | |||
Common stock shares, issued | 60,951,444 | 61,334,087 | |
Common shares, par value | $ 0.01 | $ 0.01 | |
Subsequent Event [Member] | Purchase Agreement [member] | |||
Subsequent Event [Line Items] | |||
Common stock shares, issued | 7,000,000 | ||
Common shares, par value | $ 0.01 | ||
Purhcase price | $ 20.41 |