Document and Entity Information
Document and Entity Information - USD ($) | 12 Months Ended | ||
Dec. 31, 2020 | Feb. 24, 2021 | Jun. 30, 2020 | |
Document And Entity Information [Line Items] | |||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Period End Date | Dec. 31, 2020 | ||
Document Fiscal Year Focus | 2020 | ||
Document Fiscal Period Focus | FY | ||
Entity Registrant Name | PennyMac Mortgage Investment Trust | ||
Entity Central Index Key | 0001464423 | ||
Entity Current Reporting Status | Yes | ||
Entity Voluntary Filers | No | ||
Entity Interactive Data Current | Yes | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Filer Category | Large Accelerated Filer | ||
Entity Well-known Seasoned Issuer | Yes | ||
Entity Public Float | $ 1,708,609,552 | ||
Entity Common Stock, Shares Outstanding | 97,902,783 | ||
Entity Shell Company | false | ||
Entity Small Business | false | ||
Entity Emerging Growth Company | false | ||
ICFR Auditor Attestation Flag | true | ||
Entity File Number | 001-34416 | ||
Entity Incorporation, State or Country Code | MD | ||
Entity Tax Identification Number | 27-0186273 | ||
Entity Address, Address Line One | 3043 Townsgate Road | ||
Entity Address, City or Town | Westlake Village | ||
Entity Address, State or Province | CA | ||
Entity Address, Postal Zip Code | 91361 | ||
City Area Code | 818 | ||
Local Phone Number | 224-7442 | ||
Document Annual Report | true | ||
Document Transition Report | false | ||
Documents Incorporated by Reference | Documents Incorporated By Reference Document Parts Into Which Incorporated Definitive Proxy Statement for 2020 Annual Meeting of Shareholders Part III | ||
Common Stock [Member] | |||
Document And Entity Information [Line Items] | |||
Title of 12(b) Security | Common Shares of Beneficial Interest, $0.01 Par Value | ||
Trading Symbol | PMT | ||
Security Exchange Name | NYSE | ||
8.125% Series A Preferred Stock [Member] | |||
Document And Entity Information [Line Items] | |||
Title of 12(b) Security | 8.125% Series A Fixed-to-Floating Rate Cumulative Redeemable PreferredShares of Beneficial Interest, $0.01 Par Value | ||
Trading Symbol | PMT/PA | ||
Security Exchange Name | NYSE | ||
8.00% Series B Preferred Stock [Member] | |||
Document And Entity Information [Line Items] | |||
Title of 12(b) Security | 8.00% Series B Fixed-to-Floating Rate Cumulative Redeemable PreferredShares of Beneficial Interest, $0.01 Par Value | ||
Trading Symbol | PMT/PB | ||
Security Exchange Name | NYSE |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
ASSETS | ||
Cash | $ 57,704 | $ 104,056 |
Short-term investments at fair value | 127,295 | 90,836 |
Mortgage-backed securities at fair value pledged to creditors | 2,213,922 | 2,839,633 |
Loans acquired for sale at fair value ($3,501,847 and $4,070,134 pledged to creditors, respectively) | 3,551,890 | 4,148,425 |
Loans at fair value ($147,410 and $268,757 pledged to creditors, respectively) | 151,734 | 270,793 |
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 | 131,750 | 178,586 |
Derivative and credit risk transfer strip assets ($58,699 and $142,183 pledged to creditors, respectively) | 164,318 | 202,318 |
Firm commitment to purchase credit risk transfer securities at fair value | 0 | 109,513 |
Deposits securing credit risk transfer arrangements pledged to creditors | 2,799,263 | 1,969,784 |
Mortgage servicing rights at fair value ($1,742,905 and $1,510,651 pledged to creditors, respectively) | 1,755,236 | 1,535,705 |
Servicing advances | 121,820 | 48,971 |
Real estate acquired in settlement of loans ($15,365 and $40,938 pledged to creditors, respectively) | 28,709 | 65,583 |
Other | 380,218 | 204,388 |
Total assets | 11,492,011 | 11,771,351 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 6,309,418 | 6,648,890 |
Mortgage loan participation purchase and sale agreements | 16,851 | 0 |
Notes payable secured by credit risk transfer and mortgage servicing assets | 1,924,999 | 1,696,295 |
Exchangeable senior notes | 196,796 | 443,506 |
Asset-backed financing of a variable interest entity at fair value | 134,726 | 243,360 |
Interest-only security payable at fair value | 10,757 | 25,709 |
Derivative and credit risk transfer strip liabilities at fair value | 263,473 | 6,423 |
Accounts payable and accrued liabilities | 124,809 | 91,149 |
Income taxes payable | 23,563 | 1,819 |
Liability for losses under representations and warranties | 21,893 | 7,614 |
Total liabilities | 9,195,152 | 9,320,436 |
Commitments and contingencies ─ Note 19 | 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, 97,862,625 and 100,182,227 common shares, respectively | 979 | 1,002 |
Additional paid-in capital | 2,096,907 | 2,127,889 |
(Accumulated deficit) retained earnings | (100,734) | 22,317 |
Total shareholders’ equity | 2,296,859 | 2,450,915 |
Total liabilities and shareholders’ equity | 11,492,011 | 11,771,351 |
Variable Interest Entities [Member] | ||
ASSETS | ||
Loans at fair value ($147,410 and $268,757 pledged to creditors, respectively) | 143,707 | 256,367 |
Derivative and credit risk transfer strip assets ($58,699 and $142,183 pledged to creditors, respectively) | 58,699 | 170,793 |
Deposits securing credit risk transfer arrangements pledged to creditors | 2,799,263 | 1,969,784 |
Other—interest receivable | 392 | 712 |
Total assets | 3,002,061 | 2,397,656 |
LIABILITIES | ||
Asset-backed financing of a variable interest entity at fair value | 134,726 | 243,360 |
Derivative and credit risk transfer liabilities at fair value | 229,696 | 0 |
Interest-only security payable at fair value | 10,757 | 25,709 |
Accounts payable and accrued liabilities—interest payable | 392 | 712 |
Total liabilities | 375,571 | 269,781 |
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 | 131,750 | 178,586 |
Due from PennyMac Financial Services, Inc. | 8,152 | 2,760 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 80,862 | 107,512 |
Due to PennyMac Financial Services, Inc. | $ 87,005 | $ 48,159 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Loans acquired for sale at fair value, pledged to creditors | $ 3,501,847 | $ 4,070,134 |
Loans at fair value, pledged to creditors | 147,410 | 268,757 |
Derivative assets, pledged to creditors | 58,699 | 142,183 |
Mortgage servicing rights pledged to creditors | $ 1,742,905 | $ 1,510,651 |
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 | $ 310,000 |
Common shares, authorized | 500,000,000 | 500,000,000 |
Common shares, par value | $ 0.01 | $ 0.01 |
Common shares, issued | 97,862,625 | 100,182,227 |
Common shares, outstanding | 97,862,625 | 100,182,227 |
Real Estate Acquired in Satisfaction of Debt [Member] | ||
Real estate pledged to creditors | $ 15,365 | $ 40,938 |
Consolidated Statements of Inco
Consolidated Statements of Income - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Net investment income | |||
Net gain (loss) on loans acquired for sale | $ 379,922 | $ 170,164 | $ 59,185 |
Loan origination fees | 147,272 | 87,997 | 43,321 |
Net gain (loss) on investments | (170,885) | 263,318 | 81,926 |
Contractually specified | 406,060 | 295,390 | 204,663 |
Net mortgage loan servicing fees | 462,517 | 319,489 | 212,725 |
Change in fair value of mortgage servicing rights | (938,937) | (464,353) | (58,780) |
Hedging results | 601,743 | 80,622 | (35,550) |
Net servicing fees from non-affiliates | 153,696 | (58,918) | 120,587 |
Interest income | 222,135 | 317,885 | 222,772 |
Interest expense | 270,770 | 297,446 | 175,171 |
Net interest (expense) income | (48,635) | 20,439 | 47,601 |
Results of real estate acquired in settlement of loans | 5,465 | 771 | (8,786) |
Other | 2,516 | 5,044 | 7,233 |
Net investment income | 469,351 | 488,815 | 351,067 |
Expenses | |||
Management fees | 34,538 | 36,492 | 24,465 |
Loan origination | 26,437 | 15,105 | 6,562 |
Loan collection and liquidation | 10,363 | 4,600 | 7,852 |
Safekeeping | 7,090 | 5,097 | 1,805 |
Professional services | 6,405 | 5,556 | 6,380 |
Compensation | 3,890 | 6,897 | 6,781 |
Other | 11,517 | 15,020 | 15,839 |
Total expenses | 389,621 | 298,174 | 193,079 |
Income before provision for (benefit from) income taxes | 79,730 | 190,641 | 157,988 |
Provision for (benefit from) income taxes | 27,357 | (35,716) | 5,190 |
Net income | 52,373 | 226,357 | 152,798 |
Dividends on preferred shares | 24,938 | 24,938 | 24,938 |
Net income attributable to common shareholders | $ 27,435 | $ 201,419 | $ 127,860 |
Earnings per common share | |||
Basic | $ 0.27 | $ 2.54 | $ 2.09 |
Diluted | $ 0.27 | $ 2.42 | $ 1.99 |
Weighted average common shares outstanding | |||
Basic | 99,373 | 78,990 | 60,898 |
Diluted | 99,373 | 87,711 | 69,365 |
Nonaffiliates [Member] | |||
Net investment income | |||
Net gain (loss) on loans acquired for sale | $ 368,885 | $ 155,783 | $ 48,260 |
Net gain (loss) on investments | (148,156) | 270,848 | 70,842 |
Other | 56,457 | 24,099 | 8,062 |
Net servicing fees from non-affiliates | 125,323 | (64,242) | 118,395 |
Interest income | 213,717 | 307,594 | 207,634 |
Interest expense | 267,445 | 291,144 | 167,709 |
PennyMac Financial Services, Inc. [Member] | |||
Net investment income | |||
Net gain (loss) on loans acquired for sale | 11,037 | 14,381 | 10,925 |
Net gain (loss) on investments | (22,729) | (7,530) | 11,084 |
From PennyMac Financial Services, Inc. | 28,373 | 5,324 | 2,192 |
Interest income | 8,418 | 10,291 | 15,138 |
Interest expense | 3,325 | 6,302 | 7,462 |
Expenses | |||
Loan fulfillment fees | 222,200 | 160,610 | 81,350 |
Loan servicing fees | 67,181 | 48,797 | 42,045 |
Management fees | $ 34,538 | $ 36,492 | $ 24,465 |
Consolidated Statements of Chan
Consolidated Statements of Changes in Shareholders' Equity - USD ($) shares in Thousands, $ in Thousands | Total | Cumulative Effect, Period of Adoption, Adjustment | Preferred Shares [Member] | Preferred Shares [Member]Cumulative Effect, Period of Adoption, Adjustment | Common Shares [Member] | Common Shares [Member]Cumulative Effect, Period of Adoption, Adjustment | Additional Paid-in Capital [Member] | Additional Paid-in Capital [Member]Cumulative Effect, Period of Adoption, Adjustment | (Accumulated Deficit) Retained Earnings [Member] | (Accumulated Deficit) Retained Earnings [Member]Cumulative Effect, Period of Adoption, Adjustment |
Balance, Amount at Dec. 31, 2017 | $ 1,544,585 | $ 14,361 | $ 299,707 | $ 0 | $ 613 | $ 0 | $ 1,290,931 | $ 0 | $ (46,666) | $ 14,361 |
Balance, Shares at Dec. 31, 2017 | 12,400 | 61,334 | ||||||||
Balance, Amount at Dec. 31, 2017 | 1,558,946 | $ 299,707 | $ 613 | 1,290,931 | (32,305) | |||||
Net income | 152,798 | 0 | 0 | 0 | 152,798 | |||||
Share-based compensation, Amount | 5,318 | 0 | $ 3 | 5,315 | 0 | |||||
Share-based compensation, Shares | 288 | |||||||||
Dividends: | ||||||||||
Preferred shares dividends | (24,944) | 0 | $ 0 | 0 | (24,944) | |||||
Common share dividends | (115,267) | 0 | 0 | 0 | (115,267) | |||||
Repurchase of common shares, Amount | $ (10,719) | 0 | $ (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 | ||||||||
Net income | 226,357 | $ 0 | $ 0 | 0 | 226,357 | |||||
Share-based compensation, Amount | 2,930 | 0 | $ 2 | 2,928 | 0 | |||||
Share-based compensation, Shares | 241 | |||||||||
Issuance of exchangeable notes with cash conversion option, Amount | 10,361 | 0 | $ 0 | 10,361 | 0 | |||||
Issuance of exchangeable notes with cash conversion option, Shares | 0 | |||||||||
Issuance of shares, Amount | 839,682 | 0 | $ 390 | 839,292 | 0 | |||||
Issuance of common shares, Shares | 38,990 | |||||||||
Issuance costs relating to shares | (10,225) | 0 | $ 0 | (10,225) | 0 | |||||
Dividends: | ||||||||||
Preferred shares dividends | (24,944) | 0 | 0 | 0 | (24,944) | |||||
Common share dividends | (159,378) | 0 | 0 | 0 | (159,378) | |||||
Repurchase of common shares, Amount | $ 0 | |||||||||
Repurchase of common shares, Shares | 0 | |||||||||
Balance, Amount at Dec. 31, 2019 | $ 2,450,915 | $ 299,707 | $ 1,002 | 2,127,889 | 22,317 | |||||
Balance, Shares at Dec. 31, 2019 | 12,400 | 100,182 | ||||||||
Net income | 52,373 | $ 0 | $ 0 | 0 | 52,373 | |||||
Share-based compensation, Amount | 665 | 0 | $ 2 | 663 | 0 | |||||
Share-based compensation, Shares | 207 | |||||||||
Issuance of shares, Amount | 5,654 | 0 | $ 2 | 5,652 | 0 | |||||
Issuance of common shares, Shares | 241 | |||||||||
Issuance costs relating to shares | (57) | 0 | $ 0 | (57) | 0 | |||||
Dividends: | ||||||||||
Preferred shares dividends | (24,945) | 0 | 0 | 0 | (24,945) | |||||
Common share dividends | (150,479) | 0 | 0 | 0 | (150,479) | |||||
Repurchase of common shares, Amount | $ (37,267) | 0 | $ (27) | (37,240) | 0 | |||||
Repurchase of common shares, Shares | (2,767) | (2,767) | ||||||||
Balance, Amount at Dec. 31, 2020 | $ 2,296,859 | $ 299,707 | $ 979 | $ 2,096,907 | $ (100,734) | |||||
Balance, Shares at Dec. 31, 2020 | 12,400 | 97,863 |
Consolidated Statements of Ch_2
Consolidated Statements of Changes in Shareholders' Equity (Parenthetical) - $ / shares | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
(Accumulated Deficit) Retained Earnings [Member] | |||
Common share dividends declared per share | $ 1.52 | $ 1.88 | $ 1.88 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Cash flows from operating activities | |||
Net income | $ 52,373 | $ 226,357 | $ 152,798 |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||
Net gain on loans acquired for sale at fair value | (379,922) | (170,164) | (59,185) |
Net loss (gain) on investments | 170,885 | (263,318) | (81,926) |
Change in fair value of mortgage servicing rights | 938,937 | 464,353 | 58,780 |
Mortgage servicing rights hedging results | (601,743) | (80,622) | 35,550 |
Capitalization of interest and fees on loans at fair value | 0 | (2,318) | (7,439) |
Accrual of unearned discounts and amortization of purchase premiums on mortgage-backed securities, loans at fair value, and asset-backed financing of a VIE | 24,712 | 13,574 | 5,270 |
Amortization of debt issuance costs and (premiums), net | 18,987 | 34 | (9,323) |
Results of real estate acquired in settlement of loans | (5,465) | (771) | 8,786 |
Gain on early extinguishment of debt | (1,738) | 0 | 0 |
Reversal of contingent underwriting fees | 0 | (1,134) | 0 |
Share-based compensation expense | 2,294 | 5,530 | 5,318 |
Purchase of loans acquired for sale at fair value from nonaffiliates | (167,768,999) | (108,251,144) | (64,671,970) |
Sale to nonaffiliates and repayment of loans acquired for sale at fair value | 106,306,805 | 61,128,081 | 29,369,656 |
Repurchase of loans subject to representation and warranties | (72,493) | (22,478) | (12,208) |
Settlement of repurchase agreement derivatives | 5,328 | 19,317 | 8,964 |
(Increase) decrease in servicing advances | (73,129) | 18,772 | 20,525 |
Decrease (increase) in other assets | 604,211 | 102,215 | (23,482) |
Increase in accounts payable and accrued liabilities | 34,836 | 3,613 | 6,400 |
Increase (decrease) in income taxes payable | 21,744 | (34,707) | 3,857 |
Net cash provided by (used in) operating activities | 671,656 | (2,985,074) | (573,752) |
Cash flows from investing activities | |||
Net increase in short-term investments | (36,459) | (15,986) | (56,452) |
Purchase of mortgage-backed securities at fair value | (2,332,096) | (1,250,289) | (1,810,877) |
Sale and repayment of mortgage-backed securities at fair value | 3,022,336 | 1,085,508 | 173,862 |
Repurchase of loans at fair value | (1,058) | (1,077) | 0 |
Sale and repayment of loans at fair value | 114,553 | 131,652 | 622,705 |
Net settlement of derivative financial instruments | (8,029) | (929) | (4,863) |
Settlement of firm commitment to purchase credit risk transfer securities | 128,786 | 31,925 | 0 |
Deposit of cash securing credit risk transfer arrangements | (1,700,000) | (933,370) | (596,626) |
Distribution from credit risk transfer agreements | 871,485 | 221,905 | 125,920 |
Sale of mortgage servicing rights | 7 | 17 | 100 |
Sale of real estate acquired in settlement of loans | 43,505 | 74,973 | 99,194 |
Increase in margin deposits | (150,774) | (89,322) | (24,005) |
Net cash used in investing activities | (15,367) | (704,677) | (1,424,292) |
Cash flows from financing activities | |||
Sale of assets under agreements to repurchase | 190,821,908 | 137,742,171 | 85,574,226 |
Repurchase of assets sold under agreements to repurchase | (191,152,716) | (135,870,355) | (83,978,547) |
Issuance of mortgage loan participation purchase and sale agreements | 5,159,029 | 4,825,348 | 7,559,680 |
Repayment of mortgage loan participation purchase and sale agreements | (5,142,178) | (5,004,074) | (7,425,503) |
Issuance of notes payable secured by credit risk transfer and mortgage servicing assets | 850,000 | 1,308,730 | 450,000 |
Repayment of notes payable secured by credit risk transfer and mortgage servicing assets | (622,549) | (56,468) | 0 |
Issuance of exchangeable senior notes | 0 | 210,000 | 0 |
Repayment of exchangeable senior notes | (248,262) | 0 | 0 |
Repayment of asset-backed financing of a variable interest entity at fair value | (107,333) | (42,753) | (21,886) |
Payment of debt issuance costs | (23,990) | (15,642) | (13,230) |
Payment of contingent underwriting fees | (76) | (394) | (136) |
Payment of dividends to preferred shareholders | (24,945) | (24,944) | (24,944) |
Payment of dividends to common shareholders | (151,580) | (141,001) | (115,596) |
Issuance of common shares | 5,654 | 839,682 | 0 |
Payment of issuance costs related to common shares | (57) | (10,225) | 0 |
Payment of vested share-based compensation withholdings | (1,629) | (2,600) | 0 |
Repurchase of common shares | (37,267) | 0 | (10,719) |
Net cash (used in) provided by financing activities | (702,641) | 3,733,962 | 1,980,242 |
Net (decrease) increase in cash | (46,352) | 44,211 | (17,802) |
Cash at beginning of year | 104,056 | 59,845 | 77,647 |
Cash at end of year | 57,704 | 104,056 | 59,845 |
PennyMac Loan Services, LLC [Member] | |||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||
Accrual of interest on excess servicing spread purchased from PennyMac Financial Services, Inc. | (8,418) | (10,291) | (15,138) |
Purchase of loans acquired for sale at fair value from PennyMac Financial Services, Inc. | (2,248,896) | (6,255,915) | (3,343,028) |
Sale of loans acquired for sale to PennyMac Financial Services, Inc. | 63,618,185 | 50,110,085 | 37,967,724 |
(Increase) decrease in due from PennyMac Financial Services, Inc. | (5,244) | 1,286 | (26) |
Increase in due to PennyMac Financial Services, Inc. | 38,406 | 14,571 | 6,345 |
Cash flows from investing activities | |||
Repayment of excess servicing spread by PennyMac Financial Services, Inc. | 32,377 | 40,316 | 46,750 |
Cash flows from financing activities | |||
Sale of assets sold to PennyMac Financial Services, Inc. under agreement to repurchase | 0 | 26,503 | 2,293 |
Repurchase of assets sold to PennyMac Financial Services, Inc. under agreement to repurchase | $ (26,650) | $ (50,016) | $ (15,396) |
Organization
Organization | 12 Months Ended |
Dec. 31, 2020 | |
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: credit sensitive strategies, interest rate sensitive strategies, correspondent production, and corporate: • The credit sensitive strategies segment represents the Company’s investments in credit risk transfer (“CRT”) arrangements, including CRT agreements (“CRT Agreements”) and CRT securities (together, “CRT arrangements”), distressed loans, real estate, and non-Agency subordinated bonds. • The interest rate sensitive strategies segment represents the Company’s investments in mortgage servicing rights (“MSRs”), excess servicing spread (“ESS”) purchased from PennyMac Financial Services, Inc. (“PFSI”), Agency and senior non-Agency mortgage-backed securities (“MBS”) and the related interest rate hedging activities. • The correspondent production segment represents the Company’s operations aimed at serving as an intermediary between lenders and the capital markets by purchasing, pooling and reselling newly originated prime credit quality loans either directly or in the form of MBS, using the services of PNMAC Capital Management, LLC (“PCM” or the “Manager”) and PennyMac Loan Services, LLC (“PLS”), both indirect controlled subsidiaries of PFSI. The Company primarily sells the loans it acquires through its correspondent production activities to government-sponsored entities such as the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or to PLS for sale into securitizations guaranteed by 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 corporate segment includes management fees, corporate expense amounts and certain interest income. 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, 2020 | |
Risks And Uncertainties [Abstract] | |
Concentration of Risks | Note 2—Concentration of Risks As discussed in Note 1— Organization Credit Risk Note 6— Variable Interest Entities • through May 2018, entering into CRT Agreements, whereby it retained a portion of the credit risk underlying such loans as part of the retention of an interest-only (“IO”) ownership interest in such loans and an obligation to absorb scheduled credit losses arising from such loans reaching a specific number of days delinquent (“Recourse Obligations”); or • from June 2018 through 2020, entering into firm commitments to purchase and purchasing CRT securities and, upon purchase of such securities, holding CRT strips representing an IO ownership interest that absorbs realized credit losses arising from 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 of loss associated with owning the underlying loans, which is greater than the risk of loss associated with selling such loans to Fannie Mae without the retention of such credit risk. CRT Agreements are structured such that loans that reach a specific number of days delinquent (including loans in forbearance which also includes those subject to the forbearance provided in the Coron avirus Aid, Relief, and Economic Security Act (“CAR ES Act”) ) trigger losses chargeable to the CRT Agreements based on 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 loans because the structure of the CRT Agreements provides that the Company may be required to absorb losses in the event of delinquency or foreclosure even when there is ultimately no loss realized with respect to such loans (e.g., as a result of a borrower’s re-performance) . The structure of the Company’s investment in CRT strips requires PMT to absorb losses only when the reference loans realize actual losses. Fair Value Risk The Company is exposed to fair value risk in addition to the risks specific to credit 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 its investments in MSRs and CRT arrangements: • MSRs are generally subject to loss in fair value when prepayment speeds increase as a result of decreasing mortgage interest rates, when estimates of cost to service the underlying loans increase or when the returns demanded by market participants increase. • The fair value of CRT arrangements is sensitive to market perceptions of future credit performance of the underlying loans as well as the actual credit performance of such loans and to the returns required by market participants to hold such investments. |
Significant Accounting Policies
Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2020 | |
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 Company 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 the assets and liabilities included in certain Variable Interest Entities (“VIEs”) 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 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. Credit Risk Transfer Arrangements The Company holds CRT arrangements with Fannie Mae, pursuant to which PennyMac Corp. (“PMC”), through subsidiary trust entities, sells pools of loans into Fannie Mae-guaranteed loan securitizations while retaining Recourse Obligations for credit losses in addition to IO ownership interests in such loans. The loans subject to the CRT arrangements were transferred by PMC to subsidiary trust entities which sold the loans into Fannie Mae loan securitizations. Transfers of loans subject to CRT arrangements received sale accounting treatment. The Company has concluded that its subsidiary trust entities holding its CRT arrangements 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 and interest-only strip assets, 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 are the sole source of settlement of losses under the CRT arrangements. Gains and losses on the derivative and interest-only strip assets related to CRT arrangements are included in Net (loss) gain on investments Jumbo 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 loans at a 3.9% weighted cost. The securities issued by the VIE are backed by the expected cash flows from its underlying fixed-rate prime jumbo loans. Cash inflows from these fixed-rate prime jumbo 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 repaid, 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 beneficial interests 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 PMT as the Company determined that it is the primary beneficiary of the VIE. The Company concluded that it is the primary beneficiary of the VIE as it has the power, through its affiliate, PLS, in its role as servicer of the 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 PMT to losses and returns that could potentially be significant to the VIE. For financial reporting purposes, the loans owned by the consolidated VIE are included in Loans at fair value and the securities issued to third parties by the consolidated VIE are included in Asset-backed financing of a variable interest entity at fair value on the Company’s consolidated balance sheets. Both the Loans at fair value and the Asset-backed financing of a variable interest entity at fair value included in the consolidated VIE are also included in a separate statement following the Company’s consolidated balance sheets. The Company recognizes the interest income earned on the loans owned by the VIE and the interest expense attributable to the asset-backed securities issued to nonaffiliates by the VIE on its consolidated statements of income. Fair Value The Company’s consolidated financial statements include assets and liabilities that are measured at or based on their fair values. Measurement at or based on 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 Company has elected to carry the item at its fair value as discussed in the following paragraphs. The Company groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the inputs used to determine fair value. These levels are: • Level 1—Quoted prices in active markets for identical assets or liabilities. • Level 2—Prices determined or determinable using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing 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 Company is required to make judgments regarding these items’ fair values. Different persons in possession of the same facts may reasonably arrive at different conclusions as to the inputs to be applied in valuing these assets and liabilities and 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 Company 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. Fair Value Accounting Elections The Company identified all of PMT’s non-cash financial assets, its Firm commitment to purchase CRT securities The Company has also identified its Asset-backed financing of a VIE at fair value Interest-only security payable at fair value 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 (loss) gain on investments. Interest Income Recognition Interest income on MBS is recognized over the life of the security using the interest method. The Company 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 Company updates its cash flow estimates monthly. Loans Loans are carried at their fair values. Changes in the fair value of 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 (loss) gain on investments Loans at fair value Net gain on loans acquired for sale Loans acquired for sale at fair value Interest income Loans acquired for sale at fair value Loans at fair value held in VIE Sale Recognition The Company purchases from and sells loans into the secondary mortgage market without recourse for credit losses. However, the Company maintains continuing involvement with the loans in the form of servicing arrangements and the liability under the representations and warranties it makes to purchasers and insurers of the loans. The Company recognizes transfers of loans as sales based on whether the transfer is made to a VIE: • For loans that are not transferred to a VIE, the Company recognizes the transfer as a sale when it surrenders control over the loans. Control over transferred loans is deemed to be surrendered when (i) the 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 loans, and (iii) the Company does not maintain effective control over the transferred 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 loans. • For loans that are transferred to a VIE, the Company recognizes the transfer as a sale when it determines that the Company is not the primary beneficiary of the VIE. Interest Income Recognition The Company has the ability but not the intent to hold loans acquired for sale and loans at fair value other than loans held in a VIE for the foreseeable future. Therefore, interest income on loans acquired for sale and loans at fair value other than 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 loans held in a VIE for the foreseeable future. Therefore, interest income on loans held in a variable interest entity is recognized over the estimated remaining life of the 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 loans. Income recognition is suspended and the accrued unpaid interest receivable is reversed against interest income when loans become 90 days delinquent. 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. The Company categorizes ESS as a “Level 3” fair value asset. 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. Derivative and Credit Risk Transfer Strip Assets The Company holds and issues derivative financial instruments in connection with its operating, investing and financing 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: • Interest rate lock commitments (“IRLCs”) that are created when the Company commits to purchase loans acquired for sale; • CRT Agreements whereby the Company retained a Recourse Obligation relating to certain loans it sold into Fannie Mae guaranteed securitizations as part of the retention of an IO ownership interest in such loans; and • Derivatives that were embedded in a master repurchase agreement that provided for the Company to receive interest expense offsets if it financed loans approved as satisfying certain consumer credit relief characteristics under that master repurchase agreement. The Company engages in interest rate risk management activities in an effort to reduce the variability of earnings caused by the effects of changes in interest rates on the fair value of certain of its assets and liabilities. The Company bears price risk related to its mortgage production, servicing and MBS financing activities due to changes in market interest rates as discussed below: • The Company is exposed to loss if market mortgage interest rates increase, because market interest rate increases generally cause the fair value of MBS, IRLCs and loans acquired for sale to decrease. • The Company is exposed to losses if market mortgage interest rates decrease, because market interest rate decreases generally cause the fair value of MSRs and ESS to decrease. To manage the price risk resulting from these interest rate risks, the Company uses derivative financial instruments with the intention of moderating the risk that changes in market interest rates will result in unfavorable changes in the fair value of the Company’s inventory of loans acquired for sale, loans held in a VIE, IRLCs, MSRs and MBS financing. Cash flows from derivative financial instruments relating to hedging of IRLCs and loans acquired for sale are included in Cash flows from operating activities Sale and repayment of loans acquired for sale at fair value to nonaffiliates. Cash flows from investing activities Cash flows from operating activities The Company records all derivative and CRT strip assets at fair value and records changes in fair value in current period income. The Company does not designate and qualify any of its derivative financial instruments for hedge accounting. Firm Commitment to Purchase Credit Risk Transfer Securities The Company carried its firm commitment to purchase CRT securities at fair value. The firm commitment to purchase CRT securities was recognized initially as a component of Net gain on loans acquired for sale Net (loss) gain 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 the fair value of the loan immediately before REO acquisition in settlement of a 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 loans. Under these agreements, the Company is obligated to provide loan servicing functions in exchange for fees and other remuneration. The servicing functions typically performed include, among other responsibilities, collecting and remitting 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 borrowers; 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 loans where the Company assumes the obligation to service the loan in the sale transaction, or from the purchase of MSRs. The Company categorizes its MSR as a “Level 3” fair value asset. 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 loans with initial interest rates of less than or equal to 4.5%; and originated MSRs backed by loans with initial interest rates of more than 4.5%. Originated MSRs backed by 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. 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 loan servicing fees-from nonaffiliates- Changes fair value of mortgage servicing rights Servicing Advances Servicing advances represent advances made on behalf of borrowers and the loans’ investors to fund property tax and insurance premiums for impounded loans with inadequate impound balances and for non-impounded loans with delinquent property tax insurance premiums and out of pocket collection costs for delinquent loans (e.g., preservation and restoration of mortgaged property, 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 payable at fair value Interest expense Notes payable secured by credit risk transfer and mortgage servicing assets Exchangeable senior notes 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 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 (loss) gain on investments Liability for Losses Under Representations and Warranties The Company provides for its estimate of the losses that it expects to incur in the future as a result of its breach of the representations and warranties that it provides to the purchasers and insurers of the loans it has sold. The Company’s sales agreements include representations and warranties related to the 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 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 loans with the identified defects or indemnify the investor or insurer against credit losses arising from such loans. In either case, the Company bears any subsequent credit loss on the loans. The Company’s credit loss may be reduced by any recourse it has to correspondent sellers that, in turn, had sold such 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 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 loan defect rates, the estimated severity of loss in the event of default and the probability of reimbursement by the correspondent loan seller. The Company establishes a liability at the time loans are sold and periodically updates its liability estimate. The level of the liability for representations and warranties is reviewed and approved by the Company’s management credit committee. The level of the liability for representations and warranties is difficult to estimate and requires considerable judgment. The level of loan repurchase losses is dependent on economic factors, investor demand strategies, and other external conditions that may change over the lives of the underlying loans. The Company’s representations and warranties are generally not subject to stated limits of exposure. However, the Company believes that the current unpaid principal balance of loans sold by PMT to date represents the maximum exposure to repurchases related to representations and warranties. Loan Servicing Fees Loan servicing fees and other remuneration are received by the Company for servicing residential loans. Loan servicing activities are described under Mortgage servicing rights Loan servicing fee amounts are based upon fee schedules established by the applicable investor and upon the unpaid principal balance of the loans. Loan servicing fees are recorded net of Agency guarantee fees paid by the Company and are recognized in the period which they are earned. Share-Based Compensation The Company amortizes the fair value of previously granted share-based awards to Compensation Compensation The initial cost of share-based awards 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 awards for changes in estimates of the portion of the awards it expects to be forfeited by grantees and 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. Income Taxes The Company has elected to be taxed as a REIT and the Company believes PMT complies with the provisions of the Internal Revenue Code applicable to REITs. Accordingly, the Company believes PMT 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. PMC, 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 Company 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 Company’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 Pronouncements Adopted during 2020 In June 2016, the FASB issued Accounting Standard Update No. 2016-13, Financial Instruments-Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments Pending Accounting Change In August 2020, the FASB issued Accounting Standards Update 2020-06, Debt – Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging – Contracts in Entity’s Own Equity (Subtopic 815-40) Debt – Debt with Conversion and Other Options • the embedded conversion features in debt instruments no longer are separated from the host contract for convertible instruments with conversion features that are not required to be accounted for as derivatives or that do not result in substantial premiums accounted for as paid-in capital. Consequently, a convertible debt instrument will generally be accounted for as a single liability measured at its amortized cost; • Diluted earnings per share guidance is changed to require that: • an entity is required to include shares issuable pursuant to conversion of convertible debt instruments in the determination of diluted earnings per share; current guidance allows an entity to exclude such shares from the diluted earnings per share calculation if the company has a history and policy of cash settlement; • an average market price should be used to calculate the diluted EPS denominator in cases in which the exercise prices may change on the basis of an entity’s share price or changes in the entity’s share price may affect the number of shares that may be used to settle a financial instrument; and • an entity should use the weighted-average share count from each quarter when calculating the year-to-date weighted-average share count. ASU 2020-06 is effective for the Company beginning in the quarter ending March 31, 2022, with early adoption allowed beginning in the quarter ending March 31, 2021 using either the modified retrospective or full retrospective method. As detailed in Note 1 6 – Exchangeable Senior Notes , the Company has issued $ million in unpaid principal balance of exchangeable senior notes that are convertible to 40.101 common shares of beneficial interest (“common shares”) per $ 1,000 principal amount (the “2024 Notes”). The 2024 Notes are subject to the guidance included in ASU 2020-06. Adoption of ASU 2020-06 will have the following effects on PMT : • The conversion feature included in the 2024 Notes can be settled either in cash or common shares at the option of the Company. As a result of this feature and PMT’s intent to cash settle the 2024 Notes, the Company presently excludes the effect of conversion of the 2024 Notes from diluted earnings per share as allowed under current accounting standards. Adoption of ASU 2020-06 will require the Company to include common shares issuable pursuant to conversion of the 2024 Notes in its determination of diluted earnings per share. • The Company recognized the fair value of the conversion feature as a component of Additional paid-in capital as of the date of issuance of the 2024 Notes as required by current guidance. The issuance discount charged to the 2024 Notes resulting from the allocation of the issuance discount to Additional paid-in capital is presently accrued to interest expense using the interest method. Upon adoption of ASU 2020-06, the value originally attributed to Additional paid-in capital as of the date of issuance of the 2024 Notes will be added to the carrying value of the 2024 Notes and the accumulated accrual of the conversion value to interest expense through the date of adoption of ASU 2020-06 will be credited to retained earnings net of income taxes as the cumulative effect of the adoption of ASU 2020-06. |
Transactions with Related Parti
Transactions with Related Parties | 12 Months Ended |
Dec. 31, 2020 | |
Related Party Transactions [Abstract] | |
Transactions with Related Parties | Note 4—Transactions with Related Parties Operating Activities Correspondent Production Activities The Company is provided fulfillment and other services by PLS under an amended and restated mortgage banking services agreement. Through June 30, 2020, pursuant to the terms of the agreement, the monthly fulfillment fee was an amount equal to (a) no greater than the product of (i) 0.35% and (ii) the aggregate initial unpaid principal balance (the “Initial UPB”) of all loans purchased in such month, plus (b) in the case of all loans other than 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 loans sold and securitized in such month; provided however, that no fulfillment fee shall be due or payable to PLS with respect to any loans underwritten in accordance with 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, which, through June 30, 2020, ranged from two to three and one-half Effective July 1, 2020, the fulfillment fees and sourcing fees were revised as follows: • Fulfillment fees shall not exceed the following: (i) the number of loan commitments multiplied by a pull-through factor of either .99 or .80 depending on whether the loan commitments are subject to a “mandatory trade confirmation” or a “best efforts lock confirmation”, respectively, and then multiplied by $585 for each pull-through adjusted loan commitment up to and including 16,500 per quarter and $355 for each pull-through adjusted loan commitment in excess of 16,500 per quarter, plus (ii) $315 multiplied by the number of purchased loans up to and including 16,500 per quarter and $195 multiplied by the number of purchased loans in excess of 16,500 per quarter, plus (iii) $750 multiplied by the number of all purchased loans that are sold or securitized to parties other than Fannie Mae and Freddie Mac; provided, however, that no fulfillment fee shall be due or payable to PLS with respect to any Ginnie Mae loans. • Sourcing fees charged to PLS range from one to two basis points, generally based on the average number of calendar days the loans are held by PMT before 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 year 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, unless terminated earlier in accordance with its terms, on June 30, 2025, subject to automatic renewal for additional 18-month periods, unless terminated in accordance with its terms. The Company may purchase newly originated conforming balance non-government insured or guaranteed loans from PLS under a mortgage loan purchase and sale agreement. Following is a summary of correspondent production activity between the Company and PLS: Year ended December 31, 2020 2019 2018 (in thousands) Loan fulfillment fees earned by PLS $ 222,200 $ 160,610 $ 81,350 Sourcing fees received from PLS included in Net gain on loans acquired for sale $ 11,037 $ 14,381 $ 10,925 UPB of loans sold to PLS $ 60,540,530 $ 47,937,306 $ 36,415,933 Purchases of loans acquired for sale from PLS $ 2,248,896 $ 6,255,915 $ 3,343,028 Tax service fees paid to PLS $ 23,408 $ 14,697 $ 7,433 December 31, 2020 December 31, 2019 (in thousands) Loans included in Loans acquired for sale at fair value pending sale to PLS $ 460,414 $ 490,383 Loan Servicing The Company, through its Operating Partnership, has a loan servicing agreement with PLS (the “Servicing Agreement”) pursuant to which PLS provides subservicing for the Company's portfolio of residential loans and its portfolio of MSRs. The Servicing Agreement provides for servicing fees earned by PLS that are established at a fixed per loan monthly amount based on the delinquency, bankruptcy and/or foreclosure status of the serviced loan or 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 loans it services for the Company, as well as certain fees for COVID-19-related forbearance and modification activities provided for under the CARES Act. Prime Servicing The base servicing fees for non-distressed loans subserviced by PLS on the Company’s behalf are based on whether the loan is a fixed-rate or adjustable-rate loan. The base servicing fees are $7.50 per month for fixed-rate loans and $8.50 per month for adjustable-rate loans. To the extent that these non-distressed loans become delinquent, PLS is entitled to an additional servicing fee per loan ranging from $10 to $55 per month and based on the delinquency, bankruptcy and foreclosure status of the 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. Special Servicing (Distressed Loans) The base servicing fee rates for distressed 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. 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 a small number of employees and limited infrastructure. For these services, PLS receives a supplemental fee of $25 per month for each distressed 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 is also entitled to certain activity-based fees for distressed 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 loan in any 18-month period. 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 described below, when PLS effects a refinancing of a loan on behalf of the Company and not through a third-party lender and the resulting 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. The Servicing Agreement expires on June 30, 2025, subject to automatic renewal for additional 18-month periods, unless terminated earlier in accordance with its terms. MSR Recapture Agreement The Company has an MSR recapture agreement with PFSI. Pursuant to the terms of the MSR recapture agreement, if PFSI refinances mortgage loans for which the Company previously held the MSRs, through June 30, 2020, PFSI was generally required to transfer and convey to the Company cash in an amount equal to 30% of the fair market value of the MSRs related to all such loans so originated. Effective July 1, 2020, the 2020 MSR recapture agreement changed the recapture fee payable by PLS to a tiered amount equal to: • 40% of the fair market value of the MSRs relating to the recaptured loans subject to the first 15% of the “recapture rate”; • 35% of the fair market value of the MSRs relating to the recaptured loans subject to the recapture rate in excess of 15% and up to 30%; and • 30% of the fair market value of the MSRs relating to the recaptured loans subject to the recapture rate in excess of 30%. The “recapture rate” means, during each month, the ratio of (i) the aggregate unpaid principal balance of all recaptured loans, to (ii) the aggregate unpaid principal balance of all mortgage loans for which the Company held the MSRs and that were refinanced or otherwise paid off in such month. PFSI has further agreed to allocate sufficient resources to target a recapture rate of 15%. The MSR recapture agreement expires, unless terminated earlier in accordance with its terms, on June 30, 2025, subject to automatic renewal for additional 18-month periods, unless terminated in accordance with its terms. Following is a summary of loan servicing fees earned by PLS: Year ended December 31, 2020 2019 2018 (in thousands) Loan servicing fees: Loans acquired for sale at fair value $ 2,067 $ 1,772 $ 1,037 Loans at fair value 807 2,207 7,555 MSRs 64,307 44,818 33,453 $ 67,181 $ 48,797 $ 42,045 Average investment in: Loans acquired for sale at fair value $ 3,469,392 $ 2,754,955 $ 1,577,395 Loans at fair value: Distressed $ 9,032 $ 75,251 $ 473,458 Held in a VIE $ 214,596 $ 281,449 $ 301,398 Average MSR portfolio UPB $ 147,832,880 $ 110,075,179 $ 80,500,212 Management Fees The Company has a management agreement with PCM pursuant to which 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. “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. 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. Following is a summary of management fee expenses: Year ended December 31, 2020 2019 2018 (in thousands) Base management $ 34,538 $ 29,303 $ 23,033 Performance incentive — 7,189 1,432 $ 34,538 $ 36,492 $ 24,465 Average shareholders' equity amounts used to calculate base management fee expense $ 2,330,154 $ 1,958,970 $ 1,535,590 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. PCM was reimbursed $120,000 per fiscal quarter through June 30, 2020. Effective July 1, 2020, PMT’s reimbursement of PCM’s and its affiliates’ compensation expenses was increased from $120,000 to $165,000 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, 2020 2019 2018 (in thousands) Reimbursement of: Common overhead incurred by PCM and its affiliates $ 5,172 $ 5,340 $ 4,640 Compensation 570 480 480 Expenses incurred on the Company’s behalf, net 22,583 4,362 1,113 $ 28,325 $ 10,182 $ 6,233 Payments and settlements during the year (1) $ 378,162 $ 177,116 $ 71,943 (1) Payments and settlements include payments and netting settlements made pursuant to master netting agreements between the Company and PFSI for the operating, investing and financing activities itemized in this Note. Investing Activities Spread Acquisition and MSR Servicing Agreements The Company, through a wholly-owned subsidiary, PennyMac Holdings, LLC (“PMH”), has an amended and restated 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, 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 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 its participation in the GNMA MSR Facility (as defined below). To the extent PLS refinances any of the 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 loans. However, under the Spread Acquisition Agreement, in any month where the transferred ESS relating to newly originated Ginnie Mae loans is not equal to at least 90% of the product of the excess servicing fee rate and the unpaid principal balance of the refinanced 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 loans is not equal to at least 90% of the product of the excess servicing fee rate and the unpaid principal balance of the modified 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, 2020 2019 2018 (in thousands) ESS: Received pursuant to a recapture agreement $ 2,093 $ 1,757 $ 2,688 Repayments $ 32,377 $ 40,316 $ 46,750 Interest income $ 8,418 $ 10,291 $ 15,138 Net loss included in Net (loss) gain on investments: Valuation changes $ (24,970 ) $ (9,256 ) $ 8,500 Recapture income 2,241 1,726 2,584 $ (22,729 ) $ (7,530 ) $ 11,084 December 31, 2020 December 31, 2019 (in thousands) Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value $ 131,750 $ 178,586 Financing Activities PFSI held 75,000 of the Company’s common shares at both December 31, 2020 and December 31, 2019. 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”). On February 1, 2019, the term of the reimbursement agreement was extended and now expires on February 1, 2023. Following is a summary of financing activities between the Company and PFSI: Year ended December 31, 2020 2019 2018 (in thousands) Net repayments of assets sold under agreements to repurchase $ 26,650 $ 23,513 $ 13,103 Interest expense $ 3,325 $ 6,302 $ 7,462 Payment of conditional reimbursement to PCM $ 211 $ 580 $ 69 December 31, 2020 December 31, 2019 (in thousands) Assets sold to PFSI under agreement to repurchase $ 80,862 $ 107,512 Conditional Reimbursement payable to PCM included in Due to PennyMac Financial Services, Inc. $ 10 $ 221 Amounts Receivable from and Payable to PFSI Amounts receivable from and payable to PFSI are summarized below: December 31, 2020 December 31, 2019 (in thousands) Due from PFSI: MSR recapture $ 296 $ 149 Other 7,856 2,611 $ 8,152 $ 2,760 Due to PFSI: Allocated expenses and expenses paid by PFSI on PMT’s behalf $ 38,132 $ 3,724 Fulfillment fees 20,873 18,285 Correspondent production fees 13,065 10,606 Management fees 8,686 10,579 Loan servicing fees 6,213 4,659 Interest on Assets sold to PFSI under agreement to repurchase 26 85 Conditional Reimbursement 10 221 $ 87,005 $ 48,159 The Company has also transferred cash to fund loan servicing advances and REO property acquisition and preservation costs advanced on its behalf by PLS. Such amounts are included on various balance sheet items as summarized below: Balance sheet line including advance amount December 31, 2020 December 31, 2019 (in thousands) Loan servicing advances $ 121,820 $ 48,971 Real estate acquired in settlement of loans 10,334 21,549 $ 132,154 $ 70,520 |
Loan Sales
Loan Sales | 12 Months Ended |
Dec. 31, 2020 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Loan Sales | Note 5—Loan Sales The following table summarizes cash flows between the Company and transferees in transfers of loans that are accounted for as sales where the Company maintains continuing involvement with the loans: Year ended December 31, 2020 2019 2018 (in thousands) Cash flows: Proceeds from sales $ 106,306,805 $ 61,128,081 $ 29,369,656 Loan servicing fees received net of guarantee fees $ 406,060 $ 295,390 $ 204,663 The following table summarizes for the dates presented collection status information for loans that are accounted for as sales where the Company maintains continuing involvement: December 31, 2020 December 31, 2019 (in thousands) UPB of loans outstanding $ 170,502,361 $ 130,663,117 Collection Status (UPB) Delinquency (1): 30-89 days delinquent $ 1,235,981 $ 1,014,094 90 or more days delinquent: Not in foreclosure $ 4,428,915 $ 258,036 In foreclosure $ 27,494 $ 53,697 Bankruptcy $ 148,866 $ 130,936 Custodial funds managed by the Company (2) $ 6,086,724 $ 2,529,984 (1) At December 31, 2020, delinquent loans include loans subject to forbearance agreements entered into under the CARES Act with UPBs totaling $530.4 million in the 30-89 days delinquent category and $3.1 billion in the 90 or more days delinquent-not in foreclosure category. (2) Custodial funds include borrower and investor custodial cash accounts relating to 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 loans’ borrowers and investors, which are included in Interest income in the Company’s consolidated statements of income. |
Variable Interest Entities
Variable Interest Entities | 12 Months Ended |
Dec. 31, 2020 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Variable Interest Entities | Note 6—Variable Interest Entities The Company is a variable interest holder in various VIEs that relate to its investing and financing activities. Credit Risk Transfer Arrangements The Company has entered into certain loan sales arrangements pursuant to which it accepts credit risk relating to the loans sold in exchange for a portion of the interest earned on such loans. These arrangements absorb credit losses on such loans and include CRT Agreements, CRT strips and sales of loans that include firm commitments to purchase CRT securities. The Company, through its subsidiary, PMC, entered into CRT Agreements with Fannie Mae, pursuant to which PMC, through subsidiary trust entities, sold pools of loans into Fannie Mae-guaranteed securitizations while retaining Recourse Obligations as part of the retention of IO ownership interests in such loans. The transfers of loans subject to CRT arrangements were accounted for as sales. The Company placed Deposits securing CRT arrangements Deposits securing CRT arrangements The Company’s exposure to losses under its Recourse Obligations was initially established at rates ranging from 3.5% to 4.0% of the UPB of the loans sold under the CRT arrangements. As the UPB of the underlying loans subject to each CRT arrangements is reduced through repayments, the percentage exposure of each CRT arrangement will increase to maximums ranging from 4.5% to 5.0% of outstanding UPB, although the total dollar amount of exposure to losses does not increase. The final sales of loans subject to the CRT Agreements were made during May 2018. Effective in June 2018, the Company began entering into different types of CRT arrangements. Under the new arrangements, the Company sold loans subject to agreements that require d the Company to purchase securities that absorb incurred credit losses on such loans. The Company recognize d these purchase commitments initially as a component of Net gain on loans acquired for sale ; subsequent changes in fair value were recognized in Net (loss) gain on investments . The final sales of loans subject to this CRT arrangement were made during September 2020. The Company purchased securities subject to the firm commitments. Similar to the CRT Agreements, the Company accounts for the deposits collateralizing these securities as Deposits securing CRT arrangements CRT strips Derivative and credit risk transfer strip assets Derivative and credit risk transfer strip liabilities. Deposits securing CRT arrangements Net (loss) gain on investments Following is a summary of the CRT arrangements: Year ended December 31, 2020 2019 2018 (in thousands) UPB of loans sold $ 18,277,263 $ 47,748,300 $ 21,939,277 Investments: Deposits securing CRT arrangements $ 1,700,000 $ 933,370 $ 596,626 Change in expected face amount of firm commitment to purchase CRT securities (1,502,203 ) 897,151 122,581 $ 197,797 $ 1,830,521 $ 719,207 Investment (loss) income: Net (loss) gain on loans acquired for sale — Fair value of firm commitment to purchase CRT securities recognized upon sale of loans $ (38,161 ) $ 99,305 $ 30,595 Net (loss) gain on investments: Derivative and CRT strips: CRT derivatives Realized (53,965 ) 79,619 86,928 Valuation changes (82,633 ) (9,571 ) 25,347 (136,598 ) 70,048 112,275 CRT strips Realized 54,929 32,200 — Valuation changes (79,221 ) (1,874 ) — (24,292 ) 30,326 — Interest-only security payable at fair value 14,952 10,302 (19,332 ) (145,938 ) 110,676 92,943 Firm commitments to purchase CRT securities (121,067 ) 60,943 7,399 (267,005 ) 171,619 100,342 Interest income — Deposits securing CRT arrangements 7,012 34,229 15,441 $ (298,154 ) $ 305,153 $ 146,378 Payments made to settle losses on CRT arrangements $ 115,475 $ 5,165 $ 2,133 December 31, 2020 December 31, 2019 (in thousands) Carrying value of CRT arrangements: Derivative and credit risk transfer strip assets (liabilities), net CRT derivatives $ 31,795 $ 115,863 CRT strips (202,792 ) 54,930 $ (170,997 ) $ 170,793 Firm commitment to purchase credit risk transfer securities at fair value $ — $ 109,513 Deposits securing CRT arrangements $ 2,799,263 $ 1,969,784 Interest-only security payable at fair value $ 10,757 $ 25,709 CRT arrangement assets pledged to secure borrowings: Derivative and credit risk transfer strip assets $ 58,699 $ 142,183 Deposits securing CRT arrangements (1) $ 2,799,263 $ 1,969,784 Face amount of firm commitment to purchase CRT securities $ 1,502,203 UPB of loans — funded CRT arrangements $ 58,697,942 $ 41,944,117 Collection status (UPB): Delinquency (2) Current $ 54,990,381 $ 41,355,622 30-89 days delinquent $ 710,872 $ 463,331 90-180 days delinquent $ 693,315 $ 106,234 180 or more days delinquent $ 2,297,365 $ 8,802 Foreclosure $ 6,009 $ 10,128 Bankruptcy $ 75,700 $ 55,452 UPB of loans — firm commitment to purchase CRT securities $ 38,738,396 Collection status (UPB): Delinquency Current $ 38,581,080 30-89 days delinquent $ 146,256 90-180 days delinquent $ 9,109 180 or more days delinquent $ — Foreclosure $ 1,951 Bankruptcy $ 2,980 (1) Deposits securing credit risk transfer strip liabilities also secure $229.7 million in CRT strip and CRT derivative liabilities at December 31, 2020 . (2) At December 31, 2020, delinquent loans include loans subject to forbearance agreements entered into under the CARES Act with UPBs totaling $383.0 million in the 30-89 days delinquent category; $548.0 million in the 90-180 days delinquent category; and $1.9 billion in the 180 or more days delinquent category. Jumbo Loan Financing On September 30, 2013, the Company completed a securitization transaction in which PMT Loan Trust 2013-J1 issued $537.0 million in UPB of certificates backed by fixed-rate prime jumbo loans, at a 3.9% weighted yield. The Company includes the balance of the loans held in the trust in Loans at fair value Asset backed financing of a variable interest entity at fair value . Interest Income – from nonaffiliates Interest Expense – to nonaffiliates Following is a summary of the Company’s jumbo loan financing: Year ended December 31, 2020 2019 2018 (in thousands) Interest income $ 10,609 $ 11,734 $ 11,813 Interest expense $ 10,971 $ 11,324 $ 10,821 December 31, 2020 December 31, 2019 (in thousands) Loans at fair value $ 143,707 $ 256,367 Asset-backed financing at fair value $ 134,726 $ 243,360 Certificates retained at fair value $ 8,981 $ 13,007 |
Fair Value
Fair Value | 12 Months Ended |
Dec. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Fair Value | Note 7—Fair Value Fair Value Accounting Elections We 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 Company 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 Company determined that this change makes the accounting treatment for MSRs consistent with lender valuation under financing arrangements and simplifies hedging activities. We also identified the Company’s asset-backed financing of a VIE and interest only security payable 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 Company 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, 2020 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 127,295 $ — $ — $ 127,295 Mortgage-backed securities at fair value — 2,213,922 — 2,213,922 Loans acquired for sale at fair value — 3,518,015 33,875 3,551,890 Loans at fair value — 143,707 8,027 151,734 Excess servicing spread purchased from PFSI — — 131,750 131,750 Derivative and credit risk transfer strip assets: Call options on interest rate futures 3,070 — — 3,070 Put options on interest rate futures 4,742 — — 4,742 Forward purchase contracts — 72,526 — 72,526 Forward sale contracts — 92 — 92 MBS put options — 3,220 — 3,220 Swaption — 8,505 — 8,505 CRT derivatives — — 58,699 58,699 Interest rate lock commitments — — 72,794 72,794 Total derivative assets before netting 7,812 84,343 131,493 223,648 Netting — — — (59,330 ) Total derivative and credit risk transfer strip assets after netting 7,812 84,343 131,493 164,318 Mortgage servicing rights at fair value — — 1,755,236 1,755,236 $ 135,107 $ 5,959,987 $ 2,060,381 $ 8,096,145 Liabilities: Asset-backed financing of a VIE at fair value $ — $ 134,726 $ — $ 134,726 Interest-only security payable at fair value — — 10,757 10,757 Derivative and credit risk transfer strip liabilities: Forward purchase contracts — 17 — 17 Forward sales contracts — 122,884 — 122,884 CRT derivatives — — 26,904 26,904 Interest rate lock commitments — — 408 408 Total derivative liabilities before netting — 122,901 27,312 150,213 Netting — — — (89,532 ) Total derivative liabilities after netting — 122,901 27,312 60,681 Credit risk transfer strips — — 202,792 202,792 Total derivative and credit risk transfer strips liabilities — 122,901 230,104 263,473 $ — $ 257,627 $ 240,861 $ 408,956 December 31, 2019 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 90,836 $ — $ — $ 90,836 Mortgage-backed securities at fair value — 2,839,633 — 2,839,633 Loans acquired for sale at fair value — 4,129,858 18,567 4,148,425 Loans at fair value — 256,367 14,426 270,793 Excess servicing spread purchased from PFSI — — 178,586 178,586 Derivative and credit risk transfer strip assets: Call options on interest rate futures 3,809 — — 3,809 Put options on interest rate futures 2,859 — — 2,859 Forward purchase contracts — 7,525 — 7,525 Forward sale contracts — 637 — 637 MBS put options — 1,625 — 1,625 Swaption — 4,347 — 4,347 CRT derivatives — — 115,863 115,863 Interest rate lock commitments — — 11,726 11,726 Repurchase agreement derivatives — — 5,275 5,275 Total derivative assets before netting 6,668 14,134 132,864 153,666 Netting — — — (6,278 ) Total derivative assets after netting 6,668 14,134 132,864 147,388 Credit risk transfer strips — — 54,930 54,930 Total derivative and credit risk transfer strips assets 6,668 14,134 187,794 202,318 Firm commitment to purchase credit risk transfer securities at fair value — — 109,513 109,513 Mortgage servicing rights at fair value — — 1,535,705 1,535,705 $ 97,504 $ 7,239,992 $ 2,044,591 $ 9,375,809 Liabilities: Asset-backed financing of a VIE at fair value $ — $ 243,360 $ — $ 243,360 Interest-only security payable at fair value — — 25,709 25,709 Derivative liabilities: Forward purchase contracts — 3,600 — 3,600 Forward sales contracts — 15,644 — 15,644 Interest rate lock commitments — — 572 572 Total derivative liabilities before netting — 19,244 572 19,816 Netting — — — (13,393 ) Total derivative liabilities after netting — 19,244 572 6,423 $ — $ 262,604 $ 26,281 $ 275,492 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, 2020 Assets (1) Loans acquired for sale Loans at fair value Excess servicing spread CRT derivatives Interest rate lock commitments Repurchase agreement derivatives CRT strips Firm commitment to purchase CRT securities Mortgage servicing rights Total (in thousands) Balance, December 31, 2019 $ 18,567 $ 14,426 $ 178,586 $ 115,863 $ 11,154 $ 5,275 $ 54,930 $ 109,513 $ 1,535,705 $ 2,044,019 Purchases and issuances 74,339 1,058 — — 369,802 — — — — 445,199 Repayments and sales (58,290 ) (5,734 ) (32,377 ) 52,530 — (5,328 ) (54,929 ) (128,786 ) (7 ) (232,921 ) Capitalization of interest and fees — — 8,418 — — — — — — 8,418 ESS received pursuant to a recapture agreement with PFSI — — 2,093 — — — — — — 2,093 Amounts (incurred) received pursuant to sales of loans — — — — — — — (38,161 ) 1,158,475 1,120,314 Changes in fair value included in results of operations arising from: Changes in instrument- specific credit risk — — — — — — — — — — Other factors (741 ) (837 ) (24,970 ) (136,598 ) 536,943 53 (24,292 ) (121,067 ) (938,937 ) (710,446 ) (741 ) (837 ) (24,970 ) (136,598 ) 536,943 53 (24,292 ) (121,067 ) (938,937 ) (710,446 ) Transfers: Loans to REO — (886 ) — — — — — — — (886 ) Firm commitment to purchase CRT securities to CRT strips — — — — — — (178,501 ) 178,501 — — Interest rate lock commitments to loans acquired for sale (2) — — — — (845,513 ) — — — — (845,513 ) Balance, December 31, 2020 $ 33,875 $ 8,027 $ 131,750 $ 31,795 $ 72,386 $ — $ (202,792 ) $ — $ 1,755,236 $ 1,830,277 Changes in fair value recognized during the year relating to assets still held at December 31, 2020 $ (899 ) $ (1,033 ) $ (24,970 ) $ (82,633 ) $ 72,386 $ — $ (79,221 ) $ — $ (938,937 ) $ (1,055,307 ) (1) For the purpose of this table, CRT derivatives, IRLC and CRT strip asset and liability positions are shown net. (2) The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale at fair value upon purchase of the respective loans. Liabilities Year ended December 31, 2020 (in thousands) Interest-only security payable: Balance, December 31, 2019 $ 25,709 Changes in fair value included in results of operations arising from: Changes in instrument-specific credit risk — Other factors (14,952 ) (14,952 ) Balance, December 31, 2020 $ 10,757 Changes in fair value recognized during the year relating to liability outstanding at December 31, 2020 $ (14,952 ) Year ended December 31, 2019 Assets (1) Loans acquired for sale Loans at fair value Excess servicing spread CRT derivatives Interest rate lock commitments Repurchase agreement derivatives CRT strips Firm commitment to purchase CRT securities Mortgage servicing rights Total (in thousands) Balance, December 31, 2018 $ 17,474 $ 117,732 $ 216,110 $ 123,987 $ 11,988 $ 14,511 $ — $ 37,994 $ 1,162,369 $ 1,702,165 Purchases and issuances 26,823 1,077 — — 65,051 10,057 — — — 103,008 Repayments and sales (27,609 ) (88,460 ) (40,316 ) (78,172 ) — (19,317 ) (32,200 ) (31,925 ) (17 ) (318,016 ) Capitalization of interest — 2,318 10,291 — — — — — — 12,609 Capitalization of advances — 1,340 — — — — — — — 1,340 ESS received pursuant to a recapture agreement with PFSI — — 1,757 — — — — — — 1,757 Amounts received pursuant to sales of loans — — — — — — — 99,305 837,706 937,011 Changes in fair value included in results of operations arising from: Changes in instrument- specific credit risk — 3,737 — — — — — — — 3,737 Other factors 1,070 (10,906 ) (9,256 ) 70,048 80,133 24 30,326 60,943 (464,353 ) (241,971 ) 1,070 (7,169 ) (9,256 ) 70,048 80,133 24 30,326 60,943 (464,353 ) (238,234 ) Transfers: Loans to REO — (12,412 ) — — — — — — — (12,412 ) Loans acquired for sale at fair value from "Level 2" to "Level 3" (2) 809 — — — — — — — — 809 Firm commitment to purchase CRT securities to CRT strips — — — — — — 56,804 (56,804 ) — — Interest rate lock commitments to loans acquired for sale (3) — — — — (146,018 ) — — — — (146,018 ) Balance, December 31, 2019 $ 18,567 $ 14,426 $ 178,586 $ 115,863 $ 11,154 $ 5,275 $ 54,930 $ 109,513 $ 1,535,705 $ 2,044,019 Changes in fair value recognized during the year relating to assets still held at December 31, 2019 $ 121 $ (8,255 ) $ (9,256 ) $ (9,571 ) $ 11,154 $ 107 $ (1,874 ) $ 29,808 $ (464,353 ) $ (452,119 ) (1) For the purpose of this table, IRLC asset and liability positions are shown net. (2) The Company identified certain “Level 2” fair value loans acquired for sale that were not saleable into the prime mortgage market and therefore transferred them to “Level 3”. (3) The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale at fair value upon purchase of the respective loans. Liabilities Year ended December 31, 2019 (in thousands) Interest-only security payable: Balance, December 31, 2018 $ 36,011 Changes in fair value included in income arising from: Changes in instrument- specific credit risk — Other factors (10,302 ) (10,302 ) Balance, December 31, 2019 $ 25,709 Changes in fair value recognized during the year relating to liability outstanding at December 31, 2019 $ (10,302 ) Year ended December 31, 2018 Assets (1) Loans acquired for sale Loans at fair value Excess servicing spread CRT derivatives Interest rate lock commitments Repurchase agreement derivatives Firm commitments to purchase CRT securities Mortgage servicing rights Total (in thousands) Balance, December 31, 2017 $ 8,135 $ 768,433 $ 236,534 $ 98,640 $ 4,632 $ 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 98,640 4,632 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 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 ) 8,500 112,275 (14,016 ) (191 ) 7,399 (58,780 ) 37,067 (16 ) (15,197 ) 8,500 112,275 (14,016 ) (191 ) 7,399 (58,780 ) 39,974 Transfers: 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 Interest rate lock commitments to loans acquired for sale (3) — — — — 16,717 — — — 16,717 Balance, December 31, 2018 $ 17,474 $ 117,732 $ 216,110 $ 123,987 $ 11,988 $ 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 $ 25,347 $ 11,988 $ 77 $ 37,994 $ (58,780 ) $ 6,540 (1) For the purpose of this table, IRLC asset and liability positions are shown net. (2) The Company identified certain “Level 2” fair value loans acquired for sale that were not saleable into the prime mortgage market and therefore transferred them to “Level 3”. (3) The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale at fair value upon purchase of the respective loans. Liabilities Year ended December 31, 2018 (in thousands) Interest-only security payable: 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 Financial Statement Items Measured at Fair Value under the Fair Value Option Following are the fair values and related principal amounts due upon maturity of loans accounted for under the fair value option (including loans acquired for sale, loans held in a consolidated VIE, and distressed loans): December 31, 2020 December 31, 2019 Fair value Principal amount due upon maturity Difference Fair value Principal amount due upon maturity Difference (in thousands) Loans acquired for sale at fair value: Current through 89 days delinquent $ 3,545,100 $ 3,377,970 $ 167,130 $ 4,147,374 $ 4,010,444 $ 136,930 90 or more days delinquent: Not in foreclosure 6,591 8,006 (1,415 ) 572 615 (43 ) In foreclosure 199 235 (36 ) 479 566 (87 ) 6,790 8,241 (1,451 ) 1,051 1,181 (130 ) $ 3,551,890 $ 3,386,211 $ 165,679 $ 4,148,425 $ 4,011,625 $ 136,800 Loans at fair value: Loans held in a consolidated VIE: Current through 89 days delinquent $ 140,052 $ 128,787 $ 11,265 $ 255,706 $ 251,425 $ 4,281 90 or more days delinquent: Not in foreclosure 3,655 4,240 (585 ) 661 809 (148 ) In foreclosure — — — — — — 3,655 4,240 (585 ) 661 809 (148 ) 143,707 133,027 10,680 256,367 252,234 4,133 Distressed loans: Current through 89 days delinquent 2,071 4,099 (2,028 ) 3,179 6,202 (3,023 ) 90 or more days delinquent: Not in foreclosure 3,714 12,357 (8,643 ) 4,897 13,154 (8,257 ) In foreclosure 2,242 4,641 (2,399 ) 6,350 15,698 (9,348 ) 5,956 16,998 (11,042 ) 11,247 28,852 (17,605 ) 8,027 21,097 (13,070 ) 14,426 35,054 (20,628 ) $ 151,734 $ 154,124 $ (2,390 ) $ 270,793 $ 287,288 $ (16,495 ) Following are the changes in fair value included in current period income by consolidated statement of income line item for financial statement items accounted for under the fair value option: Year ended December 31, 2020 Net gain on loans acquired for sale Net (loss) gain on investments Net loan servicing fees Net interest (expense) income Total (in thousands) Assets: Mortgage-backed securities at fair value $ — $ 87,852 $ — $ (23,323 ) $ 64,529 Credit risk transfer strips — (24,292 ) — — (24,292 ) Loans acquired for sale at fair value 817,158 — — — 817,158 Loans at fair value — (7,454 ) — 2,776 (4,678 ) ESS at fair value — (24,970 ) — 8,418 (16,552 ) Firm commitment to purchase CRT securities at fair value (38,161 ) (121,067 ) — — (159,228 ) MSRs at fair value — — (938,937 ) — (938,937 ) $ 778,997 $ (89,931 ) $ (938,937 ) $ (12,129 ) $ (262,000 ) Liabilities: Interest-only security payable at fair value $ — $ 14,952 $ — $ — $ 14,952 Asset-backed financing of a VIE at fair value — 5,519 — (4,218 ) 1,301 $ — $ 20,471 $ — $ (4,218 ) $ 16,253 Year ended December 31, 2019 Net gain on loans acquired for sale Net (loss) gain on investments Net loan servicing fees Net interest (expense) income Total (in thousands) Assets: Mortgage-backed securities at fair value $ — $ 77,283 $ — $ (12,853 ) $ 64,430 Loans acquired for sale at fair value 163,244 — — — 163,244 Loans at fair value — 714 — 3,420 4,134 ESS at fair value — (9,256 ) — 10,291 1,035 Credit risk transfer strips — 30,326 — — 30,326 Firm commitment to purchase CRT securities at fair value 99,305 60,943 — — 160,248 MSRs at fair value — — (464,353 ) — (464,353 ) $ 262,549 $ 160,010 $ (464,353 ) $ 858 $ (40,936 ) Liabilities: Interest-only security payable $ — $ 10,302 $ — $ — $ 10,302 Asset-backed financing of a VIE at fair value — (7,553 ) — (2,061 ) (9,614 ) $ — $ 2,749 $ — $ (2,061 ) $ 688 Year ended December 31, 2018 Net gain on loans acquired for sale Net (loss) gain on investments Net loan servicing fees Net interest (expense) income Total (in thousands) Assets: Mortgage-backed securities at fair value $ — $ (11,262 ) $ — $ (4,793 ) $ (16,055 ) Loans acquired for sale at fair value (5,298 ) — — — (5,298 ) Loans at fair value — (23,696 ) — 7,539 (16,157 ) ESS at fair value — 8,500 — 15,138 23,638 Firm commitment to purchase CRT securities at fair value 30,595 7,399 — — 37,994 MSRs at fair value — — (58,780 ) — (58,780 ) $ 25,297 $ (19,059 ) $ (58,780 ) $ 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 ) Financial Statement Item Measured at Fair Value on a Nonrecurring Basis Following is a summary of the carrying value of assets that were re-measured during the year based on fair value on a nonrecurring basis: Real estate acquired in settlement of loans Level 1 Level 2 Level 3 Total (in thousands) December 31, 2020 $ — $ — $ 12,656 $ 12,656 December 31, 2019 $ — $ — $ 24,115 $ 24,115 The following table summarizes the fair value changes recognized during the year on assets held at year end that were remeasured at fair value on a nonrecurring basis: Year ended December 31, 2020 2019 2018 (in thousands) Real estate asset acquired in settlement of loans $ (1,638 ) $ (2,155 ) $ (4,434 ) The Company remeasures its REO based on fair value when it evaluates the REO for impairment. The Company evaluates its REO for impairment with reference to the respective properties’ fair values less cost to sell. REO may be revalued after acquisition 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 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 Notes payable secured by credit risk transfer and mortgage servicing assets, Exchangeable senior notes, Assets sold to PennyMac Financial Services, Inc. under agreements to repurchase The Company has concluded that the fair values of these borrowings other than Notes payable secured by credit risk transfer and mortgage servicing assets Exchangeable senior notes Following are the fair values of the Notes payable secured by credit risk transfer and mortgage servicing assets Exchangeable senior notes December 31, 2020 December 31, 2019 Instrument Carrying value Fair value Carrying value Fair value (in thousands) Notes payable secured by credit risk transfer and mortgage servicing assets $ 1,924,999 $ 1,871,276 $ 1,696,295 $ 1,705,544 Exchangeable senior notes $ 196,796 $ 207,428 $ 443,506 $ 462,117 The fair value of the Notes payable secured by credit risk transfer and mortgage servicing assets Exchangeable senior notes Valuation Governance Most of the Company’s assets, its Asset-backed financing of a VIE at fair value, Interest-only security payable at fair value Derivative and credit risk transfer strip liabilities Due to the difficulty in estimating the fair values of “Level 3” fair value assets and liabilities, the Company has assigned responsibility for estimating the 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 PFSI’s Capital Markets Risk Management staff and is reviewed by the PFSI’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 other than IRLCs, 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 chief financial, investment, and risk officers as well as other senior members of the Company’s finance, capital markets and risk management staffs. 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 (loss) gain on investments Loans Fair value of loans is estimated based on whether the loans are saleable into active markets: • Loans that are saleable into active markets, comprised of most of the Company’s loans acquired for sale at fair value and all of the loans at fair value held in a VIE, are categorized as “Level 2” fair value assets: • For loans acquired for sale, the fair values are established using the loans’ contracted selling price or quoted market price or market price equivalent. • For the loans at fair value held in a VIE, the quoted indications of fair value of all of the individual securities issued by the securitization trust are used to derive a fair value for the 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 Company believes are similar to the models and inputs used by other market participants. • Loans that are not saleable into active markets, comprised of previously sold loans that the Company repurchased pursuant to the representation and warranties it provided to the purchaser and distressed loans, are categorized as “Level 3” fair value assets: • For loans held for sale categorized as “Level 3” fair value assets and, before September 30, 2019, distressed loans, fair values were 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. • Beginning September 30, 2019, the Company changed its discounted cash flow approach and the inputs to the model for distressed loans. Distressed loan fair values are now estimated based on the expected resolution to be realized from the individual asset’s disposition strategies. When a cash flow projection is used to estimate the fair value of the resolution, those cash flows are discounted at annual rates up to 20%. The Company changed its approach to valuation of distressed loans during the quarter ended September 30, 2019 because it substantially liquidated its investment in distressed loans during that quarter and concluded that the small number of remaining assets are most accurately valued on an individual expected resolution basis. 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 directly related. Changes in the fair value of ESS are included in Net (loss) gain on investments Following are the key inputs used in determining the fair value of ESS: December 31, 2020 December 31, 2019 Fair value (in thousands) $ 131,750 $ 178,586 UPB of underlying loans (in thousands) $ 15,833,050 $ 19,904,571 Average servicing fee rate (in basis points) 34 34 Average ESS rate (in basis points) 19 19 Key inputs (1) Pricing spread (2) Range 4.9% – 5.3% 3.0% – 3.3% Weighted average 5.1% 3.1% Annual total prepayment speed (3) Range 9.6% – 18.3% 8.7% – 16.2% Weighted average 11.7% 11.0% Equivalent life (in years) Range 2.3 - 6.6 2.7 - 7.2 Weighted average 5.8 6.1 (1) Weighted-average inputs are based on UPB of the underlying loans. (2) Pricing spread represents a margin that is applied to a reference forward rate to develop periodic discount rates. The Company applies pricing spreads to the forward rates implied by the United States Dollar London Interbank Offered Rate (“LIBOR”)/ swap curve for purposes of discounting cash flows relating to ESS. (3) Prepayment speed is measured using Life Total Conditional Prepayment Rate (“CPR”). Equivalent life is provided for informational purposes. Derivative and Credit Risk Transfer Strip Assets and Liabilities CRT Derivatives The Company categorizes CRT derivatives as “Level 3” fair value assets and liabilities. The fair value of CRT derivatives is based on indications of fair value provided to the Company by nonaffiliated brokers for the certificates representing the beneficial interests in the trust holding the Deposits securing credit risk transfer arrangements pledged to creditors Deposits securing credit risk transfer arrangements pledged to creditors The Company assesses the fair values it receives from nonaffiliated brokers using the discounted cash flow approach. The significant unobservable inputs used by the Company in its review and approval of the valuation of CRT derivatives are the discount rate, voluntary and involuntary prepayment speeds and the remaining loss expectations of the reference loans. Changes in fair value of CRT derivatives are included in Net (loss) gain on investments Following is a quantitative summary of key unobservable inputs used in the Company’s review and approval of broker-provided fair values for CRT Agreements: December 31, 2020 December 31, 2019 (dollars in thousands) Fair value CRT derivatives: Assets $ 58,699 $ 115,863 Liabilities $ 26,904 $ — UPB of loans in reference pools $ 13,854,426 $ 24,824,616 Key inputs (1) Discount rate Range 6.7% – 9.0% 4.7% – 5.3% Weighted average 7.3% 5.2% Voluntary prepayment speed (2) Range 20.8% – 23.5% 16.4% – 18.5% Weighted average 21.9% 17.9% Involuntary prepayment speed (3) Range (0.8)% – 1.1% 0.2% – 0.3% Weighted average (0.2)% 0.3% Remaining loss expectation (4) Range (0.6)% – 0.6% 0.1% – 0.1% Weighted average (0.3)% 0.1% (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. The negative involuntary prepayment speed at December 31, 2020, reflects the expectation for reinstatement to the reference pool of a significant portion of the loans that had triggered losses due to delinquency while under CARES act forbearance upon their projected reperformance, as contractually provided for in certain CRT Agreements. (4) Remaining loss expectation is measured as expected future contractual losses divided by the UPB of the reference loans. The negative remaining loss expectation at December 31, 2020 reflects the expectation of contractual reversals of previously incurred contractual losses due to the projected reperformance of a significant portion of the related loans in the future. 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, the probability that the loan will be purchased under the commitment (the “pull-through rate”) and the Company’s estimate of the fair value of the MSRs it expects to receive upon sale of the loan. 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 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 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 loans acquired for sale Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs: December 31, 2020 December 31, 2019 Fair value (in thousands) (1) $ 72,386 $ 11,154 Key inputs (2) Pull-through rate Range 44.6% – 100% 64.6% – 100% Weighted average 86.3% 93.3% MSR fair value expressed as Servicing fee multiple Range 2.0 – 5.3 2.1 – 5.8 Weighted average 4.4 4.7 Percentage of UPB Range 0.5% – 1.9% 0.7% – 2.2% Weighted average 1.2% 1.4% (1) For purposes of this table, IRLC asset and liability positions are shown net. (2) Weighted-average inputs are based on the committed amounts. Repurchase Agreement Derivatives The Company had a master repurchase agreement that included incentives for financing loans approved for satisfying certain consumer relief characteristics. These incentives are classified as embedded derivatives for reporting purposes and are reported separately from the repurchase agreements. The Company classifies repurchase agreement derivatives as “Level 3” fair value assets. The significant unobservable inputs into the valuation of repurchase agreement derivative assets are the discount rate and the expected approval rate of the loans financed under the master repurchase agreement. The resulting ratio included in the Company’s fair value estimate was 99% at December 31, 2019. Changes in fair value of repurchase agreement derivatives are included in Interest expense Hedging Derivatives Fair values of derivative financial instruments actively traded on exchanges 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 or other markets 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 loans acquired for sale, Net (loss) gain on investments Net loan servicing fees – from nonaffiliates – Hedging results, Credit Risk Transfer Strips The Company categorizes CRT strips as “Level 3” fair value assets or liabilities. The fair value of CRT strips is based on indications of fair value provided to the Company by nonaffiliated brokers for the certificates representing the beneficial interest in the trust holding the CRT strips and Deposits securing CRT arrangements Deposits securing CRT arrangeme |
Mortgage Backed Securities
Mortgage Backed Securities | 12 Months Ended |
Dec. 31, 2020 | |
Mortgage Backed Securities [Abstract] | |
Mortgage Backed Securities | Note 8—Mortgage Backed Securities Following is a summary of activity in the Company’s investment in MBS: Year ended December 31, 2020 2019 2018 (in thousands) Balance at beginning of year $ 2,839,633 $ 2,610,422 $ 989,461 Purchases 2,332,096 1,250,289 1,810,877 Sales (1,979,789 ) (704,178 ) — Repayments (1,042,547 ) (381,330 ) (173,862 ) Changes in fair value included in income arising from: Amortization of net purchase premiums (23,323 ) (12,853 ) (4,792 ) Valuation adjustments 87,852 77,283 (11,262 ) 64,529 64,430 (16,054 ) Balance at end of year $ 2,213,922 $ 2,839,633 $ 2,610,422 Following is a summary of the Company’s investment in MBS: December 31, 2020 December 31, 2019 Agency: (1) Principal balance Unamortized net purchase premiums Accumulated valuation changes Fair value Principal balance Unamortized net purchase premiums Accumulated valuation changes Fair value (in thousands) Freddie Mac $ 1,253,755 $ 32,414 $ 24,867 $ 1,311,036 $ 809,595 $ 11,083 $ 9,862 $ 830,540 Fannie Mae 863,758 23,692 15,436 902,886 1,946,203 29,657 33,233 2,009,093 $ 2,117,513 $ 56,106 $ 40,303 $ 2,213,922 $ 2,755,798 $ 40,740 $ 43,095 $ 2,839,633 (1) All MBS are fixed-rate pass-through securities with maturities of more than ten years and pledged to secure Assets sold under agreements to repurchase |
Loans Acquired for Sale at Fair
Loans Acquired for Sale at Fair Value | 12 Months Ended |
Dec. 31, 2020 | |
Mortgage Loans On Real Estate [Abstract] | |
Loans Acquired for Sale at Fair Value | Note 9—Loans Acquired for Sale at Fair Value Loans acquired for sale at fair value is comprised of recently originated loans purchased by the Company for resale. The Company is not approved by Ginnie Mae as an issuer of Ginnie Mae-guaranteed securities which are backed by government-insured or guaranteed loans. The Company sells government-insured or guaranteed loans that it purchases from correspondent sellers to PLS, which is a Ginnie Mae-approved issuer, and earns a sourcing fee as described in Note 4 – . Following is a summary of the distribution of the Company’s loans acquired for sale at fair value: Loan type December 31, 2020 December 31, 2019 (in thousands) Agency-eligible $ 3,057,601 $ 3,626,038 Held for sale to PLS — Government insured or guaranteed 460,414 490,383 Jumbo — 13,437 Home equity lines of credit 5,566 4,632 Commercial real estate 1,010 1,015 Repurchased pursuant to representations and warranties 27,299 12,920 $ 3,551,890 $ 4,148,425 Loans pledged to secure: Assets sold under agreements to repurchase $ 3,484,202 $ 4,070,134 Mortgage loan participation purchase and sale agreements 17,645 — $ 3,501,847 $ 4,070,134 |
Loans at Fair Value
Loans at Fair Value | 12 Months Ended |
Dec. 31, 2020 | |
Mortgage Loans At Fair Value [Abstract] | |
Loans at Fair Value | Note 10—Loans at Fair Value Loans at fair value are comprised primarily of fixed interest rate jumbo loans held in a VIE securing an asset-backed financing and distressed loans that were not acquired for sale but may be sold at a later date pursuant to the Company’s determination that such a sale represents the most advantageous disposition strategy for the identified loan. Following is a summary of the distribution of the Company’s loans at fair value: Loan type December 31, 2020 December 31, 2019 (in thousands) Fixed interest rate jumbo loans held in a VIE $ 143,707 $ 256,367 Distressed loans 8,027 14,426 $ 151,734 $ 270,793 Loans at fair value pledged to secure: Asset-backed financing of a VIE at fair value $ 143,707 $ 256,367 Assets sold under agreements to repurchase 3,703 12,390 $ 147,410 $ 268,757 |
Derivative and Credit Risk Tran
Derivative and Credit Risk Transfer Strip Assets and Liabilities | 12 Months Ended |
Dec. 31, 2020 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
Derivative and Credit Risk Transfer Strip Assets and Liabilities | Note 11— Derivative and Credit Risk Transfer Strip Assets and Liabilities Derivative and credit risk transfer assets are summarized below: December 31, 2020 December 31, 2019 (in thousands) Derivative assets $ 164,318 $ 147,388 Credit risk transfer strip assets — 54,930 $ 164,318 $ 202,318 Derivative liabilities $ 60,681 $ 6,423 Credit risk transfer strip liabilities 202,792 — $ 263,473 $ 6,423 The Company records all derivative and CRT strip assets and liabilities at fair value and records changes in fair value in current period income. Derivative Notional Amounts and Fair Value of Derivatives The Company had the following derivative assets and liabilities recorded within Derivative assets Derivative liabilities Other December 31, 2020 December 31, 2019 Fair value Fair value Notional Derivative Derivative Notional Derivative Derivative Instrument amount (1) assets liabilities amount (1) assets liabilities (in thousands) Subject to master netting agreements ─ economic hedging purposes (2): Call options on interest rate futures 1,450,000 $ 3,070 $ — 2,662,500 $ 3,809 $ — Put options on interest rate futures 2,800,000 4,742 — 950,000 2,859 — Forward purchase contracts 17,563,549 72,526 17 5,883,198 7,525 3,600 Forward sale contracts 26,615,716 92 122,884 9,297,179 637 15,644 MBS put options 3,625,000 3,220 — 4,000,000 1,625 — Swaptions 3,655,000 8,505 — 2,075,000 4,347 — Swap futures 1,950,000 — — 2,700,000 — — Bond futures 66,500 — — 114,500 — — Not subject to master netting arrangements: CRT derivatives 13,854,426 58,699 26,904 24,824,616 115,863 — Interest rate lock commitments 10,588,208 72,794 408 3,199,680 11,726 572 Repurchase agreement derivatives — — 5,275 — Total derivative instruments before netting 223,648 150,213 153,666 19,816 Netting (59,330 ) (89,532 ) (6,278 ) (13,393 ) $ 164,318 $ 60,681 $ 147,388 $ 6,423 Margin deposits placed with derivatives counterparties, net $ 30,197 $ 7,114 Derivative assets pledged to secure: Assets sold under agreements to repurchase $ — $ 27,073 Notes payable 58,699 115,110 $ 58,699 $ 142,183 (1) Notional amounts provide an indication of the volume of the Company’s derivative activity. (2) All hedging derivatives are interest rate derivatives and are used as economic hedges. 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 CRT derivatives, IRLCs and repurchase agreement derivatives. As of December 31, 2020 and December 31, 2019, the Company was not a party to any 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, 2020 December 31, 2019 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 Subject to master netting arrangements: Call options on interest rate futures $ 3,070 $ — $ 3,070 $ 3,809 $ — $ 3,809 Put options on interest rate futures 4,742 — 4,742 2,859 — 2,859 Forward purchase contracts 72,526 — 72,526 7,525 — 7,525 Forward sale contracts 92 — 92 637 — 637 MBS put options 3,220 — 3,220 1,625 — 1,625 Swaptions 8,505 — 8,505 4,347 — 4,347 Netting — (59,330 ) (59,330 ) — (6,278 ) (6,278 ) 92,155 (59,330 ) 32,825 20,802 (6,278 ) 14,524 Not subject to master netting arrangements: CRT derivatives 58,699 — 58,699 115,863 — 115,863 Interest rate lock commitments 72,794 — 72,794 11,726 — 11,726 Repurchase agreement derivatives — — — 5,275 — 5,275 131,493 — 131,493 132,864 — 132,864 $ 223,648 $ (59,330 ) $ 164,318 $ 153,666 $ (6,278 ) $ 147,388 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, 2020 December 31, 2019 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) Interest rate lock commitments $ 72,794 $ — $ — $ 72,794 $ 11,726 $ — $ — $ 11,726 CRT derivatives 58,699 — — 58,699 115,863 — — 115,863 Bank of America, N.A. 15,406 — — 15,406 2,489 — — 2,489 RJ O’Brien & Associates, LLC 7,813 — — 7,813 6,668 — — 6,668 PNC Capital Markets LLC 3,138 — — 3,138 — — — — Citigroup Global Markets Inc. 2,416 — — 2,416 — — — — Deutsche Bank Securities LLC 1,602 — — 1,602 5,398 — — 5,398 Mitsubishi UFJ Sec 1,070 — — 1,070 45 — — 45 J.P. Morgan Securities LLC — — — — 1,551 — — 1,551 Other 1,380 — — 1,380 3,648 — — 3,648 $ 164,318 $ — $ — $ 164,318 $ 147,388 $ — $ — $ 147,388 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, 2020 December 31, 2019 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: Subject to master netting arrangements: Forward purchase contracts $ 17 $ — $ 17 $ 3,600 $ — $ 3,600 Forward sales contracts 122,884 — 122,884 15,644 — 15,644 Netting — (89,532 ) (89,532 ) — (13,393 ) (13,393 ) 122,901 (89,532 ) 33,369 19,244 (13,393 ) 5,851 Not subject to master netting arrangements CRT derivatives 26,904 — 26,904 — — — Interest rate lock commitments 408 — 408 572 — 572 150,213 (89,532 ) 60,681 19,816 (13,393 ) 6,423 Assets sold under agreements to repurchase: UPB 6,317,928 — 6,317,928 6,649,179 — 6,649,179 Unamortized debt issuance costs (8,510 ) — (8,510 ) (289 ) — (289 ) 6,309,418 — 6,309,418 6,648,890 — 6,648,890 $ 6,459,631 $ (89,532 ) $ 6,370,099 $ 6,668,706 $ (13,393 ) $ 6,655,313 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 qualify 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, 2020 December 31, 2019 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) CRT derivatives $ 26,904 $ — $ — $ 26,904 $ — $ — $ — $ — Interest rate lock commitments 408 — — 408 572 — — 572 Credit Suisse Securities (USA) LLC 1,059,547 (1,054,636 ) — 4,911 720,411 (719,902 ) — 509 Barclays Capital Inc. 922,959 (922,035 ) — 924 52 — — 52 Citigroup Global Markets Inc. 830,161 (830,161 ) — — 412,999 (411,933 ) — 1,066 RBC Capital Markets, L.P. 765,892 (765,892 ) — — 290,388 (290,388 ) — — Daiwa Capital Markets 728,207 (727,562 ) — 645 906,439 (906,439 ) — — Bank of America, N.A. 414,044 (414,044 ) — — 1,339,291 (1,339,291 ) — — Morgan Stanley & Co. LLC 367,493 (366,415 ) — 1,078 656,728 (656,728 ) — — J.P. Morgan Securities LLC 359,573 (357,211 ) — 2,362 1,736,829 (1,736,829 ) — — Mizuho Securities 279,321 (277,521 ) — 1,800 392,038 (391,627 ) — 411 BNP Paribas 164,414 (163,548 ) — 866 116,155 (115,733 ) — 422 Amherst Pierpont Securities LLC 153,224 (153,224 ) — — 80,309 (80,309 ) — — Goldman Sachs & Co. LLC 149,272 (144,883 ) — 4,389 — — — — Wells Fargo Securities, LLC 148,854 (140,796 ) — 8,058 — — — — Federal Home Loan Mortgage Corporation 5,883 — — 5,883 — — — — Federal National Mortgage Association — — — — 1,996 — — 1,996 Other 2,453 — — 2,453 1,395 — — 1,395 $ 6,378,609 $ (6,317,928 ) $ — $ 60,681 $ 6,655,602 $ (6,649,179 ) $ — $ 6,423 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 Consolidated statement of income line 2020 2019 2018 (in thousands) Interest rate lock commitments Net gain on loans acquired for sale (1) $ 61,232 $ (834 ) $ 7,356 CRT derivatives Net (loss) gain on investments $ (136,598 ) $ 70,048 $ 112,275 Repurchase agreement derivatives Interest expense $ 53 $ 24 $ 191 Hedged item: Interest rate lock commitments and loans acquired for sale Net gain on loans acquired for sale $ (459,309 ) $ (91,084 ) $ 25,334 Mortgage servicing rights Net loan servicing fees $ 601,743 $ 80,622 $ (35,550 ) Fixed-rate and prepayment sensitive assets and LIBOR- indexed repurchase agreements Net (loss) gain on investments $ 32,932 $ 28,785 $ (4,152 ) (1) Represents net increase in fair value of IRLCs from the beginning to the end of the reporting period. Amounts recognized at the date of commitment and fair value changes recognized during the period until purchase of the underlying loan are shown in the rollforward of IRLCs for the period in Note 7 – Fair Value - Financial Statement Items Measured at Fair Value on a Recurring Basis . Credit Risk Transfer Strips Following is a summary of the Company’s investment in CRT strips: Credit risk transfer strips contractually restricted from sale (1) December 31, 2020 December 31, 2019 (in thousands) Assets Through June 13, 2020 $ — $ 17,629 To maturity — 37,301 $ — $ 54,930 Liabilities Through December 4, 2021 $ 168,539 $ — To maturity 34,253 — $ 202,792 $ — (1) The terms of the agreement underlying the CRT securities restricts sales of the securities, other than sales under agreements to repurchase, without the approval of Fannie Mae, for specified periods from the date of issuance. |
Mortgage Servicing Rights
Mortgage Servicing Rights | 12 Months Ended |
Dec. 31, 2020 | |
Text Block [Abstract] | |
Mortgage Servicing Rights | Note 12—Mortgage Servicing Rights Following is a summary of MSRs: Year ended December 31, 2020 2019 2018 (in thousands) Balance at beginning of year $ 1,535,705 $ 1,162,369 $ 91,459 Transfer of mortgage servicing rights from mortgage servicing rights carried at lower of amortized cost or fair value pursuant to a change in accounting principle — — 773,035 Balance after reclassification 1,535,705 1,162,369 864,494 Sales (7 ) (17 ) (100 ) MSRs resulting from loan sales 1,158,475 837,706 356,755 Changes in fair value: Due to changes in valuation inputs used in valuation model (1) (706,107 ) (262,031 ) 60,772 Other changes in fair value (2) (232,830 ) (202,322 ) (119,552 ) (938,937 ) (464,353 ) (58,780 ) Balance at end of year $ 1,755,236 $ 1,535,705 $ 1,162,369 December 31, 2020 December 31, 2019 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and risk transfer and mortgage servicing assets $ 1,742,905 $ 1,510,651 (1) Primarily reflects changes in pricing spread (discount rate), prepayment speed, and servicing cost inputs. (2) Represents changes due to realization of expected cash flows. Servicing fees relating to MSRs are recorded in Net loan servicing fees - from nonaffiliates Year ended December 31, 2020 2019 2018 (in thousands) Contractually-specified servicing fees $ 406,060 $ 295,390 $ 204,663 Ancillary and other fees: Late charges 1,498 1,658 974 Other 54,959 22,441 7,088 $ 462,517 $ 319,489 $ 212,725 |
Assets Sold Under Agreements to
Assets Sold Under Agreements to Repurchase | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020 2019 2018 (dollars in thousands) Weighted average interest rate (1) 1.62 % 3.25 % 3.25 % Average balance $ 5,508,147 $ 5,600,469 $ 3,901,772 Total interest expense (2) $ 102,131 $ 178,211 $ 115,383 Maximum daily amount outstanding $ 10,433,609 $ 8,577,065 $ 6,665,118 (1) Excludes the effect of amortization of net debt issuance costs of $12.9 million for the year ended December 31, 2020 and net issuance premiums of $4.0 million and $11.7 million for the years ended December 31, 2019 and 2018, respectively. (2) The Company’s interest expense relating to assets sold under agreements to repurchase for the years ended December 31, 2019 and 2018 includes recognition of incentives it received for financing certain of its loans acquired for sale satisfying certain consumer debt relief characteristics under a master repurchase agreement. During the years ended December 31, 2019 and 2018, the Company recognized $10.8 million and $19.7 million, respectively, in such incentives as a reduction of interest expense. The master repurchase agreement expired on August 21, 2019. December 31, 2020 December 31, 2019 (dollars in thousands) Carrying value: Unpaid principal balance $ 6,317,928 $ 6,649,179 Unamortized debt issuance costs, net (8,510 ) (289 ) $ 6,309,418 $ 6,648,890 Weighted average interest rate 1.36 % 2.85 % Available borrowing capacity (1): Committed $ 483,767 $ — Uncommitted 4,151,905 2,278,264 $ 4,635,672 $ 2,278,264 Margin deposits placed with counterparties included in Other $ 141,808 $ 91,871 Assets securing agreements to repurchase: Mortgage-backed securities $ 2,213,922 $ 2,839,633 Loans acquired for sale at fair value $ 3,484,202 $ 4,070,134 Loans at fair value $ 3,703 $ 12,390 CRT strips $ — $ 27,073 MSRs (2) $ 1,166,090 $ 1,354,907 Real estate acquired in settlement of loans $ 15,365 $ 40,938 Deposits securing CRT arrangements $ 2,799,263 $ 445,194 (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) Beneficial interests in Fannie Mae MSRs are pledged as collateral under both Assets sold under agreements to repurchase. Following is a summary of maturities of outstanding advances under repurchase agreements by maturity date: Remaining maturity at December 31, 2020 Unpaid principal balance (in thousands) Within 30 days $ 2,335,100 Over 30 to 90 days 2,425,275 Over 90 days to 180 days 1,376,521 Over 180 days to one year 181,032 $ 6,317,928 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, 2020: Loans, REO and MSRs Counterparty Amount Weighted average maturity Facility maturity (in thousands) Citibank, N.A. $ 31,938 February 1, 2021 August 3, 2021 Credit Suisse First Boston Mortgage Capital LLC $ 88,921 March 22, 2021 April 23, 2021 Morgan Stanley & Co. LLC $ 15,395 March 21, 2021 November 2, 2022 RBC Capital Markets, L.P. $ 55,831 April 22, 2021 November 10, 2021 Barclays Capital Inc. $ 28,319 March 26, 2021 November 3, 2022 Bank of America, N.A. $ 21,807 February 1, 2021 March 11, 2021 JPMorgan Chase & Co. $ 6,077 January 29, 2021 April 7, 2021 BNP Paribas $ 11,197 March 23, 2021 July 30, 2021 Wells Fargo Securities, LLC $ 9,996 March 21, 2021 October 6, 2022 Securities Counterparty Amount at risk Weighted average maturity (in thousands) Citibank, N.A. $ 112,628 June 4, 2021 Morgan Stanley & Co. LLC $ 60,325 June 4, 2021 Goldman Sachs & Co. LLC $ 59,654 June 4, 2021 Barclays Capital Inc. $ 5,598 January 9, 2021 Bank of America, N.A. $ 3,939 January 22, 2021 Daiwa Capital Markets America Inc. $ 22,714 January 15, 2021 JPMorgan Chase & Co. $ 13,672 January 4, 2021 Mizuho Securities $ 13,041 January 11, 2021 Amherst Pierpont Securities LLC $ 7,161 January 15, 2021 |
Mortgage Loan Participation Pur
Mortgage Loan Participation Purchase and Sale Agreements | 12 Months Ended |
Dec. 31, 2020 | |
Text Block [Abstract] | |
Mortgage Loan Participation Purchase and Sale Agreements | Note 14—Mortgage Loan Participation Purchase and Sale Agreements Certain borrowing facilities secured by 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 loans that have been pooled with Fannie Mae or Freddie Mac, are sold to a lender pending the securitization of such loans and the sale of the resulting security. The commitment between the Company and a nonaffiliate to sell such security is also assigned to the lender at the time a participation certificate is sold. The purchase price paid by the lender for each participation certificate is based on the trade price of the security, plus an amount of interest expected to accrue on the security to its anticipated delivery date, minus a present value adjustment, any related hedging costs and a holdback amount. The holdback amount is based on a percentage of the purchase price and is not required to be paid to the Company until the settlement of the security and its delivery to the lender. Mortgage loan participation purchase and sale agreements are summarized below: Year ended December 31, 2020 2019 2018 (dollars in thousands) Weighted average interest rate (1) 1.63 % 3.53 % 3.42 % Average balance $ 44,432 $ 40,036 $ 64,512 Total interest expense $ 902 $ 1,570 $ 2,422 Maximum daily amount outstanding $ 96,570 $ 207,065 $ 287,862 (1) Excludes the effect of amortization of debt issuance costs of $176,000, $158,000 and $217,000 for the years ended December 31, 2020, 2019 and 2018, respectively. December 31, 2020 (dollars in thousands) Carrying value: Amount outstanding $ 16,851 Unamortized debt issuance costs — $ 16,851 Weighted average interest rate 1.39 % Loans acquired for sale pledged to secure mortgage loan participation purchase and sale agreements $ 17,645 |
Notes Payable Secured By Credit
Notes Payable Secured By Credit Risk Transfer and Mortgage Servicing Assets | 12 Months Ended |
Dec. 31, 2020 | |
Debt Disclosure [Abstract] | |
Notes Payable Secured By Credit Risk Transfer and Mortgage Servicing Assets | Note 15— Notes Payable Secured By Credit Risk Transfer and Mortgage Servicing Assets The Company, through its indirect subsidiary, PMT CREDIT RISK TRANSFER TRUST (the “Issuer Trust”), issued Term Notes to qualified institutional buyers under Rule 144A of the Securities Act of 1933, as amended (the “Securities Act”). All of the Term Notes rank pari passu with each other and with the Series 2017-VF1 Note dated December 20, 2017 (the "FMSR VFN") issued by another one of the Company’s indirect subsidiaries. PMC finances mortgage servicing rights through the issuance of the FMSR VFN sold to institutional buyers under an agreement to repurchase. On August 4, 2020, PMC increased the committed borrowing capacity to $700 million and extended the VFN termination date to August 3, 2021. Following is a summary of the secured Term Notes issued: Maturity date (2) Term Notes Issuance date Issued Unpaid principal balance Annual interest rate spread (1) Stated Optional extension (in thousands) 2020 2R December 22, 2020 $ 500,000 $ 500,000 3.81 % December 28, 2022 — 2020 1R February 14, 2020 $ 350,000 $ 190,905 2.35 % March 1, 2023 February 27, 2025 2019 3R October 16, 2019 $ 375,000 185,551 2.70 % October 27, 2022 October 29, 2024 2019 2R June 11, 2019 $ 638,000 436,473 2.75 % May 29, 2023 May 29, 2025 2019 1R March 29, 2019 $ 295,700 167,090 2.00 % March 29, 2022 March 27, 2024 $ 1,480,019 (1) Spread over one-month LIBOR. (2) The indentures relating to these issuances provide the Company with the option of extending the maturity dates of the Term Notes under the conditions specified in respective agreements. On April 25, 2018, the Company, through its indirect subsidiary, PMT ISSUER TRUST-FMSR, 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. The 2018-FT1 Notes bear interest at a rate equal to one-month LIBOR plus 2.35% per annum. 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 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, 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 loans pooled into Freddie Mac securities (collectively, the “Freddie MSRs”), in an aggregate loan amount not to exceed $175 million. The Freddie MSR note has been extended through April 23, 2021. Following is a summary of financial information relating to the notes payable: Year ended December 31, 2020 2019 2018 (dollars in thousands) Weighted average interest rate (1) 3.19 % 4.70 % 4.68 % Average balance $ 1,771,370 $ 1,101,501 $ 300,035 Total interest expense $ 59,261 $ 53,968 $ 14,623 Maximum daily amount outstanding $ 2,032,665 $ 1,742,227 $ 450,000 (1) Excludes the effect of amortization of debt issuance costs of $2.7 million, $2.2 million and $681,000 for the years ended December 31, 2020, 2019 and 2018, respectively. December 31, 2020 December 31, 2019 (dollars in thousands) Carrying value: Amount outstanding $ 1,930,018 $ 1,702,262 Unamortized debt issuance costs (5,019 ) (5,967 ) $ 1,924,999 $ 1,696,295 Weighted average interest rate 2.99 % 4.30 % Assets securing notes payable: MSRs (1) $ 1,742,905 $ 1,510,651 CRT Agreements: Deposits securing CRT arrangements $ 2,799,263 $ 1,524,590 Derivative assets $ 58,699 $ 115,110 (1) Beneficial interests in Freddie Mac and Fannie Mae MSRs are pledged as collateral for Notes payable secured by credit risk transfer and mortgage servicing assets. |
Exchangeable Notes
Exchangeable Notes | 12 Months Ended |
Dec. 31, 2020 | |
Text Block [Abstract] | |
Exchangeable Notes | Note 16—Exchangeable Notes On November 4, 2019, PMC issued $210 million in principal amount of 5.50% exchangeable senior notes due 2024 (the “2024 Notes”) in a private offering. The 2024 Notes will mature on November 1, 2024 unless repurchased or exchanged in accordance with their terms before such date. The 2024 Notes are fully and unconditionally guaranteed by the Company and are exchangeable for PMT common shares, cash, or a combination thereof, at PMC’s election, at any time until the close of business on the second scheduled trading day immediately preceding the maturity date, subject to the satisfaction of certain conditions if the exchange occurs before August 1, 2024. The exchange rate initially equals 40.1010 common shares per $1,000 principal amount of the 2024 Notes and is subject to adjustment upon the occurrence of certain events, but will not be adjusted for any accrued and unpaid interest. On April 30, 2013, PMC issued in a private offering $250 million in principal amount of 5.375% exchangeable notes due May 1, 2020 (the “2020 Notes”, together with the 2024 Exchangeable Notes, the “Exchangeable Notes”). The 2020 Notes bore interest at a rate of 5.375% per year, payable semiannually. PMC repurchased and repaid the 2020 Notes during the quarter ended June 30, 2020 and recorded a gain on early extinguishment of debt relating to the repurchased notes totaling $1.7 million in O ther Following is financial information relating to the Exchangeable Notes: Year ended December 31, 2020 2019 2018 (in thousands) Average balance $ 269,247 $ 279,207 $ 250,000 Total interest expense $ 18,847 $ 17,037 $ 14,601 December 31, 2020 December 31, 2019 (in thousands) Carrying value: UPB $ 210,000 $ 460,000 Unamortized debt issuance costs and conversion option (13,204 ) (16,494 ) $ 196,796 $ 443,506 |
Asset-Backed Financing of a Var
Asset-Backed Financing of a Variable Interest Entity at Fair Value | 12 Months Ended |
Dec. 31, 2020 | |
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 at fair value described in Note 6 — Variable Interest Entities-Jumbo Loan Financing Year ended December 31, 2020 2019 2018 (dollars in thousands) Average balance $ 203,795 $ 267,539 $ 288,244 Total interest expense $ 10,971 $ 11,324 $ 10,821 Weighted average interest rate 3.30 % 3.46 % 3.55 % (1) Excludes the effect of debt issuance costs of $4.2 million, $2.1 million and $577,000, for the year ended December 31, 2020, 2019 and 2018, respectively. December 31, 2020 December 31, 2019 (dollars in thousands) Fair value $ 134,726 $ 243,360 UPB $ 131,835 $ 239,169 Weighted average interest rate 3.56 % 3.51 % The asset-backed financing of a VIE is a non-recourse liability and is 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, 2020 | |
Liability For Representations And Warranties [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, 2020 2019 2018 (in thousands) Balance, beginning of year $ 7,614 $ 7,514 $ 8,678 Provision for losses: Pursuant to loan sales 19,316 3,778 2,531 Reduction in liability due to change in estimate (4,457 ) (3,550 ) (3,707 ) Losses incurred, net (580 ) (128 ) 12 Balance, end of year $ 21,893 $ 7,614 $ 7,514 UPB of loans subject to representations and warranties at end of year $ 163,592,788 $ 122,163,186 $ 90,427,100 |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2020 | |
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. The amount, if any, of ultimate liability with respect to such matters cannot be determined, but despite the inherent uncertainties of litigation, management believes that the ultimate disposition of any such proceedings and exposure will not have, individually or taken together, a material adverse effect on the financial condition, results of operations, or cash flows of the Company. Commitments The following table summarizes the Company’s outstanding contractual commitments: December 31, 2020 (in thousands) Commitments to purchase loans acquired for sale $ 10,588,208 |
Shareholders' Equity
Shareholders' Equity | 12 Months Ended |
Dec. 31, 2020 | |
Equity [Abstract] | |
Shareholders' Equity | Note 20—Shareholders’ Equity Preferred Shares of Beneficial Interest Preferred shares of beneficial interest are summarized below: Preferred Dividends per share, year ended December 31, Shared Series Description (1) Number of shares Liquidation preference Issuance discount Carrying value 2020 2019 2018 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 $ 2.03 $ 2.03 B 8.00% Issued July 2017 7,800 195,000 6,465 188,535 $ 2.00 $ 2.00 $ 2.00 12,400 $ 310,000 $ 10,293 $ 299,707 (1) Par value is $0.01 per share. The Company’s Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Shares of Beneficial Interest (the “Series A Preferred Shares”) pay cumulative dividends at a fixed rate of 8.125% per annum based on the $25.00 per share liquidation preference to, but not including, March 15, 2024. From, and including, March 15, 2024 and thereafter, the Company will pay cumulative dividends on the Series A Preferred Shares at a floating rate equal to three-month LIBOR as calculated on each applicable dividend determination date plus a spread of 5.831% per annum based on the $25.00 per share liquidation preference. The Company’s Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Shares of Beneficial Interest (the “Series B Preferred Shares”) (together with the Series A Preferred Shares, the “Preferred Shares”) pay cumulative dividends at a fixed rate of 8.00% per annum based on the $25.00 per share liquidation preference to, but not including, June 15, 2024. 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 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 Shares of Beneficial Interest Underwritten Equity Offerings During 2019, the Company completed the following underwritten offerings of common shares: Year ended December 31, 2019 (in thousands) Number of common shares issued 33,527 Gross proceeds $ 719,777 Net proceeds $ 710,752 “At-The-Market” (ATM) Equity Offering Program During March 2019, the Company entered into separate equity distribution agreements to sell from time to time, through an ATM equity offering program under which the counterparties will act as sales agent and/or principal, the Company’s common shares having an aggregate offering price of up to $ 200 million . Following is a summary of the activities under the ATM equity offering program: Year ended December 31, 2020 2019 (in thousands) Number of common shares issued 241 5,463 Gross proceeds $ 5,654 $ 119,905 Net proceeds $ 5,597 $ 118,705 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 of beneficial interest. The following table summarizes the Company’s share repurchase activity: Year ended December 31, Cumulative 2020 2019 2018 total (1) (in thousands) Common shares repurchased 2,767 — 671 17,498 Cost of common shares repurchased $ 37,267 $ — $ 10,719 $ 253,892 (1) Amounts represent the share repurchase program total from its inception in August 2015 through December 31, 2020. Conditional Reimbursement of IPO Underwriting Costs As more fully described in Note 4— Transactions with Affiliates 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. 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 Reimbursement Agreement was amended and now expires on February 1, 2023. The Company made payments totaling $76,000, $580,000 and $137,000 during the years ended December 31, 2020, 2019 and 2018, respectively. During the year ended December 31, 2019, certain of the IPO underwriters waived their rights to approximately $1.1 million of conditional underwriting fees, which the Company recorded in Other |
Net Gain on Loans Acquired for
Net Gain on Loans Acquired for Sale | 12 Months Ended |
Dec. 31, 2020 | |
Text Block [Abstract] | |
Net Gain on Loans Acquired for Sale | Note 21—Net Gain on Loans Acquired for Sale Net gain on loans acquired for sale is summarized below: Year ended December 31, 2020 2019 2018 (in thousands) From nonaffiliates: Cash loss: Loans $ (326,214 ) $ (687,317 ) $ (363,271 ) Hedging activities (504,506 ) (88,633 ) 9,172 (830,720 ) (775,950 ) (354,099 ) Non-cash gain: Recognition of fair value of firm commitment to purchase CRT securities (38,161 ) 99,305 30,595 Receipt of MSRs in mortgage loan sale transactions 1,158,475 837,706 356,755 Provision for losses relating to representations and warranties provided in mortgage loan sales: Pursuant to loans sales (19,316 ) (3,778 ) (2,531 ) Reduction of liability due to change in estimate 4,457 3,550 3,707 (14,859 ) (228 ) 1,176 Change in fair value of loans and derivatives held at end of year: IRLCs 61,232 (834 ) 7,356 Loans (12,279 ) (1,765 ) (9,685 ) Hedging derivatives 45,197 (2,451 ) 16,162 94,150 (5,050 ) 13,833 1,199,605 931,733 402,359 Total from nonaffiliates 368,885 155,783 48,260 From PFSI—cash gain 11,037 14,381 10,925 $ 379,922 $ 170,164 $ 59,185 |
Net (Loss) Gain on Investments
Net (Loss) Gain on Investments | 12 Months Ended |
Dec. 31, 2020 | |
Investments Debt And Equity Securities [Abstract] | |
Net (Loss) Gain on Investments | Note 22—Net (Loss) Gain on Investments Net (loss) gain on investments is summarized below: Year ended December 31, 2020 2019 2018 (in thousands) From nonaffiliates: Mortgage-backed securities $ 87,852 $ 77,283 $ (11,262 ) Loans at fair value: Held in a VIE (6,617 ) 7,883 (8,499 ) Distressed (837 ) (7,169 ) (15,197 ) CRT arrangements (145,938 ) 110,676 92,943 Firm commitment to purchase CRT securities (121,067 ) 60,943 7,399 Asset-backed financing of a VIE at fair value 5,519 (7,553 ) 9,610 Hedging derivatives 32,932 28,785 (4,152 ) (148,156 ) 270,848 70,842 From PFSI—ESS (22,729 ) (7,530 ) 11,084 $ (170,885 ) $ 263,318 $ 81,926 |
Net Interest (Expense) Income
Net Interest (Expense) Income | 12 Months Ended |
Dec. 31, 2020 | |
Banking And Thrift Interest [Abstract] | |
Net Interest (Expense) Income | Note 23—Net Interest (Expense) Income Net interest income is summarized below: Year ended December 31, 2020 2019 2018 (in thousands) Interest income: From nonaffiliates: Cash and short-term investments $ 3,804 $ 4,559 $ 852 Mortgage-backed securities 59,461 78,450 55,487 Loans acquired for sale at fair value 103,221 121,387 75,610 Loans at fair value: Held in a VIE 10,609 11,734 11,813 Distressed 493 3,848 21,666 Deposits securing CRT arrangements 7,012 34,229 15,441 Placement fees relating to custodial funds 28,804 52,587 26,065 Other 313 800 700 213,717 307,594 207,634 From PFSI—ESS 8,418 10,291 15,138 222,135 317,885 222,772 Interest expense: To nonaffiliates: Assets sold under agreements to repurchase (1) 102,131 178,211 115,383 Mortgage loan participation purchase and sale agreements 902 1,570 2,422 Notes payable secured by credit risk transfer and mortgage servicing assets 59,261 53,968 14,623 Exchangeable Notes 18,847 17,037 14,601 Asset-backed financings of a VIE at fair value 10,971 11,324 10,821 Interest shortfall on repayments of loans serviced for Agency securitizations 71,516 25,776 7,324 Interest on loan impound deposits 3,817 3,258 2,535 267,445 291,144 167,709 To PFSI—Assets sold under agreement to repurchase 3,325 6,302 7,462 270,770 297,446 175,171 Net interest (expense) income $ (48,635 ) $ 20,439 $ 47,601 (1) In 2017, the Company entered into a master repurchase agreement that provides the Company with incentives to finance loans approved for satisfying certain consumer relief characteristics as provided in the agreement. During the years ended December 31, 2019 and 2018, the Company included $10.8 million and $19.7 million, respectively, of such incentives as a reduction of Interest expense . The master repurchase agreement expired on August 21, 2019. |
Share-Based Compensation Plans
Share-Based Compensation Plans | 12 Months Ended |
Dec. 31, 2020 | |
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract] | |
Share-Based Compensation Plans | Note 24—Share-Based Compensation Plans The Company has adopted an equity incentive plan which provides for the issuance of equity based 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 The following table summarizes the Company’s share-based compensation activity: Year ended December 31, 2020 2019 2018 (in thousands) Grants: Restricted share units 92 96 129 Performance share units 112 116 116 Total share units granted 204 212 245 Grant date fair value: Restricted share units $ 1,978 $ 1,978 $ 2,281 Performance share units 2,425 2,380 1,542 Total grant date value of share units $ 4,403 $ 4,358 $ 3,823 Vestings: Restricted share units 129 227 261 Performance share units (1) 143 118 27 Total share units vested 272 345 288 Forfeitures: Restricted share units 4 — 2 Performance share units — 1 — Total share units forfeited 4 1 2 Compensation expense relating to share-based grants $ 2,294 $ 5,530 $ 5,318 (1) The actual number of performance-based RSUs vested during the year ended December 31, 2020 was 196,000 common shares, which is approximately 137% of the 143,000 originally granted performance-based RSUs, due to the Company exceeding the established performance targets. December 31, 2020 Restricted share units Performance share units Shares expected to vest: Number of units (in thousands) 188 204 Grant date average fair value per unit $ 20.49 $ 19.74 |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2020 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Note 25—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 REMIC and excess servicing interests 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 2020 75 % 25 % 0 % 2019 66 % 0 % 34 % 2018 49 % 0 % 51 % 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. The TRS made a $20 million distribution in 2017 that resulted in dividend income to the Company but has made no other distributions in the preceding or subsequent years. 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 (benefit from) provision for income taxes which relates primarily to the TRS for the years presented: Year ended December 31, 2020 2019 2018 (in thousands) Current expense (benefit): Federal $ — $ (120 ) $ 19 State 12 12 6 Total current (benefit) expense 12 (108 ) 25 Deferred expense (benefit): Federal 20,440 (39,592 ) 7,587 State 6,905 3,984 (2,422 ) Total deferred expense (benefit) 27,345 (35,608 ) 5,165 Total provision for (benefit from) income taxes $ 27,357 $ (35,716 ) $ 5,190 The following table is a reconciliation of the Company’s (benefit from) provision for income taxes at statutory rates to the (benefit from) provision for income taxes at the Company’s effective rate for the years presented: Year ended December 31, 2020 2019 2018 Amount Rate Amount Rate Amount Rate (dollars in thousands) Federal income tax expense at statutory tax rate $ 16,743 21.0 % $ 40,035 21.0 % $ 33,177 21.0 % Effect of non-taxable REIT income 15,076 18.9 % (79,467 ) (41.7 )% (26,647 ) (16.9 )% State income taxes, net of federal benefit 5,370 6.7 % (7,417 ) (3.9 )% (2,044 ) (1.3 )% Convertible debt permanent adjustment 3,446 4.3 % — (— )% — (— )% Valuation allowance (13,502 ) (16.9 )% 13,612 7 % — 0 % Other 224 0.3 % (2,479 ) (1.2 )% 704 0.4 % Provision for (benefit from) income taxes $ 27,357 34.3 % $ (35,716 ) (18.8 )% $ 5,190 3.2 % The Company’s components of the (benefit from) provision for deferred income taxes are as follows: Year ended December 31, 2020 2019 2018 (in thousands) Real estate valuation loss $ 437 $ 1,140 $ 1,565 Mortgage servicing rights 27,179 (212 ) 4,797 Net operating loss carryforward 31,622 (56,339 ) (1,109 ) Liability for losses under representations and warranties (3,486 ) 111 405 Excess interest expense disallowance (15,749 ) 4,667 234 Other 844 1,413 (727 ) Valuation allowance (13,502 ) 13,612 — Total provision for (benefit from) deferred income taxes $ 27,345 $ (35,608 ) $ 5,165 The components of income taxes payable are as follows: December 31, 2020 December 31, 2019 (in thousands) Taxes currently receivable $ (5,859 ) $ (259 ) Deferred income taxes payable 29,422 2,078 Income taxes payable $ 23,563 $ 1,819 The tax effects of temporary differences that gave rise to deferred income tax assets and liabilities are presented below: December 31, 2020 December 31, 2019 (in thousands) Deferred income tax assets: Net operating loss carryforward $ 65,615 $ 97,236 Excess interest expense disallowance 30,983 15,234 REO valuation loss 1,001 1,438 Liability for losses under representations and warranties 5,386 1,900 Valuation allowance (110 ) (13,612 ) Other (682 ) 162 Gross deferred tax assets 102,193 102,358 Deferred income tax liabilities: Mortgage servicing rights 131,615 104,436 Other — — Gross deferred tax liabilities 131,615 104,436 Net deferred income tax liability $ 29,422 $ 2,078 The net deferred income tax liability is included in Income taxes payable The Company has net operating loss carryforwards of $237.5 million and $365.4 million at December 31, 2020 and December 31, 2019, 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 their use is limited to 80% of taxable income for tax years beginning after December 31, 2020. We evaluated the net deferred tax asset of our TRS and established a deferred tax valuation allowance in the amount of $110,000. In our evaluation, we consider, among other things, taxable loss carryback availability, expectations of sufficient future taxable income, trends in earnings, existence of taxable income in recent years, the future reversal of temporary differences, and available tax planning strategies that could be implemented, if required. We establish valuation allowances based on the consideration of all available evidence using a more-likely-than-not standard. At December 31, 2020 and December 31, 2019, 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, 2020 and December 31, 2019. The Company files U.S. federal and state income tax returns for both the REIT and the TRS. These federal income tax returns for 2017 and forward are subject to examination. The Company’s state income tax returns are generally subject to examination for 2016 and forward. The examination of the TRS’s Georgia state income tax returns for tax years 2016 through 2018 was completed in April 2020 and the returns were accepted as filed . |
Earnings Per Share
Earnings Per Share | 12 Months Ended |
Dec. 31, 2020 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Note 26—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 (net income reduced by preferred dividends and 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 2020 Notes, by the weighted average common shares outstanding, assuming all dilutive securities were issued. During 2019, the Company issued the 2024 Notes. The 2024 Notes include a cash conversion option. The Company intends to cash settle the 2024 Notes. Therefore, the effect of conversion of the 2024 Notes is excluded from diluted earnings per share. The following table summarizes the basic and diluted earnings per share calculations: Year ended December 31, 2020 2019 2018 (in thousands except per share amounts) Net income $ 52,373 $ 226,357 $ 152,798 Dividends on preferred shares (24,938 ) (24,938 ) (24,938 ) Effect of participating securities—share-based compensation awards (287 ) (566 ) (750 ) Net income attributable to common shareholders 27,148 200,853 127,110 Interest on 2020 Notes, net of income taxes — 11,827 10,637 Diluted net income attributable to common shareholders $ 27,148 $ 212,680 $ 137,747 Weighted average basic shares outstanding 99,373 78,990 60,898 Dilutive securities: Shares issuable under share-based compensation plan — 254 — Shares issuable pursuant to exchange of the 2020 Notes — 8,467 8,467 Diluted weighted average number of shares outstanding 99,373 87,711 69,365 Basic earnings per share $ 0.27 $ 2.54 $ 2.09 Diluted earnings per share $ 0.27 $ 2.42 $ 1.99 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, 2020 2019 2018 (in thousands) Shares issuable under share-based compensation plan 172 152 252 Shares issuable pursuant to exchange of the 2020 Notes 2,529 — — |
Segments
Segments | 12 Months Ended |
Dec. 31, 2020 | |
Segment Reporting [Abstract] | |
Segments | Note 27—Segments The Company operates in four segments: credit sensitive strategies, interest rate sensitive strategies, correspondent production, and corporate: • The credit sensitive strategies segment represents the Company’s investments in CRT arrangements, firm commitments to purchase CRT securities, distressed loans, real estate 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 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 loans either directly or in the form of MBS, using the services of the Manager and PLS. • The corporate segment includes management fees, corporate expense amounts and certain interest income. Financial highlights by operating segment are summarized below: Credit Interest rate sensitive sensitive Correspondent Year ended December 31, 2020 strategies strategies production Corporate Total (in thousands) Net investment income: Net (loss) gain on loans acquired for sale (1) $ (43,813 ) $ — $ 423,735 $ — $ 379,922 Net (loss) gain on investments (237,049 ) 66,164 — — (170,885 ) Net loan servicing fees — 153,696 — — 153,696 Net interest (expense) income : Interest income 8,902 108,036 102,779 2,418 222,135 Interest expense 39,237 153,338 76,892 1,303 270,770 (30,335 ) (45,302 ) 25,887 1,115 (48,635 ) Other 5,857 — 147,600 1,796 155,253 (305,340 ) 174,558 597,222 2,911 469,351 Expenses: Loan fulfillment and servicing fees payable to PFSI 807 66,374 222,200 — 289,381 Management fees — — — 34,538 34,538 Other 10,996 2,487 30,383 21,836 65,702 11,803 68,861 252,583 56,374 389,621 Pretax (loss) income $ (317,143 ) $ 105,697 $ 344,639 $ (53,463 ) $ 79,730 Total assets at year end $ 2,920,558 $ 4,593,127 $ 3,781,010 $ 197,316 $ 11,492,011 Credit Interest rate sensitive sensitive Correspondent Year ended December 31, 2019 strategies strategies production Corporate Total (in thousands) Net investment income: Net gain on loans acquired for sale (1) $ 51,014 $ — $ 119,150 $ — $ 170,164 Net gain on investments 164,413 98,905 — — 263,318 Net loan servicing fees — (58,918 ) — — (58,918 ) Net interest (expense) income: Interest income 39,343 155,176 120,974 2,392 317,885 Interest expense 67,412 144,513 85,521 — 297,446 (28,069 ) 10,663 35,453 2,392 20,439 Other 4,507 — 88,159 1,146 93,812 191,865 50,650 242,762 3,538 488,815 Expenses: Loan fulfillment and servicing fees payable to PFSI 2,213 46,584 160,610 — 209,407 Management fees — — — 36,492 36,492 Other 7,476 2,918 17,559 24,322 52,275 9,689 49,502 178,169 60,814 298,174 Pretax income (loss) $ 182,176 $ 1,148 $ 64,593 $ (57,276 ) $ 190,641 Total assets at year end $ 2,364,749 $ 4,993,840 $ 4,216,806 $ 195,956 $ 11,771,351 (1) During the quarter ended March 31, 2019, the chief operating decision maker began attributing a portion of the initial fair value the Company recognizes relating to its firm commitment to purchase CRT securities upon the sale of loans to the correspondent production segment in recognition of pricing changes in the correspondent production segment. Accordingly, the Company allocated $5.7 million and $49.0 million of the initial firm commitment recognized in Net gain on loans acquired for sale in the correspondent production segment for the year ended December 31, 2020 and December 31, 2019, respectively. Credit Interest rate sensitive sensitive Correspondent Year ended December 31, 2018 strategies strategies production Corporate Total (in thousands) Net investment income: Net gain on loans acquired for sale $ 30,740 $ — $ 28,445 $ — $ 59,185 Net gain (loss) on investments 84,943 (3,017 ) — — 81,926 Net loan servicing fees 29 120,558 — — 120,587 Net interest (expense) income: Interest income 37,786 108,366 75,068 1,552 222,772 Interest expense 41,523 92,294 41,354 — 175,171 (3,737 ) 16,072 33,714 1,552 47,601 Other (1,704 ) — 43,447 25 41,768 110,271 133,613 105,606 1,577 351,067 Expenses: Loan fulfillment and servicing fees payable to PFSI 7,561 34,484 81,350 — 123,395 Management fees — — — 24,465 24,465 Other 15,459 697 7,784 21,279 45,219 23,020 35,181 89,134 45,744 193,079 Pretax income (loss) $ 87,251 $ 98,432 $ 16,472 $ (44,167 ) $ 157,988 Total assets at year end $ 1,602,776 $ 4,373,488 $ 1,698,656 $ 138,441 $ 7,813,361 |
Supplemental Cash Flow Informat
Supplemental Cash Flow Information | 12 Months Ended |
Dec. 31, 2020 | |
Supplemental Cash Flow Elements [Abstract] | |
Supplemental Cash Flow Information | Note 28—Supplemental Cash Flow Information Year ended December 31, 2020 2019 2018 (in thousands) Payments: Income taxes, net $ 5,613 $ (1,009 ) $ 1,333 Interest $ 290,225 $ 298,591 $ 170,435 Cumulative effect of accumulated deficit of conversion to fair value accounting for mortgage servicing rights $ — $ — $ (14,361 ) Non-cash investing activities: Transfer of loans and advances to real estate acquired in settlement of loans $ 1,166 $ 23,672 $ 32,578 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment $ — $ — $ 5,183 Transfer from real estate held for investment to real estate acquired in settlement of loans $ — $ 30,432 $ 3,401 Receipt of mortgage servicing rights as proceeds from sales of loans at fair value $ 1,158,475 $ 837,706 $ 356,755 Receipt of excess servicing spread pursuant to recapture agreement with PennyMac Financial Services, Inc. $ 2,093 $ 1,757 $ 2,688 Capitalization of servicing advances pursuant to mortgage loan modifications $ — $ 1,340 $ 5,481 Transfer of firm commitment to purchase CRT securities to investment securities $ 178,501 $ 56,804 $ — Non-cash financing activities: Dividends declared, not paid $ 46,093 $ 47,193 $ 28,816 |
Regulatory Capital and Liquidit
Regulatory Capital and Liquidity Requirements | 12 Months Ended |
Dec. 31, 2020 | |
Mortgage Banking [Abstract] | |
Regulatory Capital and Liquidity Requirements | Note 29—Regulatory Capital and Liquidity Requirements The Company is subject to financial eligibility requirements established by the Federal Housing Finance Agency (“FHFA”) for sellers/servicers eligible to sell or service mortgage loans with Fannie Mae and Freddie Mac. The eligibility requirements include: • A tangible net worth of $2.5 million plus 25 basis points of the UPB of the Company’s total 1-4 unit servicing portfolio, excluding mortgage loans subserviced for others; • A tangible net worth/total assets ratio greater than or equal to 6%; and • A liquidity requirement: • Before June 30, 2020, equal to 3.5 basis points of the aggregate UPB serviced for the Agencies plus 200 basis points of total nonperforming Agency servicing UPB (including nonperforming Agency loans that are in payment forbearance) in excess of 600 basis points • Effective June 30, 2020, equal to 3.5 basis points of the aggregate UPB serviced for the Agencies plus 200 basis points of total nonperforming Agency servicing UPB less 70% of such nonperforming Agency servicing UPB in excess of 600 basis points where the underlying loans are in forbearance but were current at the time they entered forbearance. On January 31, 2020, FHFA proposed changes to the eligibility requirements, which would increase the tangible net worth requirement to $2.5 million plus 35 basis points of the UPB of loans serviced for Ginnie Mae and 25 basis points of the UPB of all other 1-4 unit loans serviced, and increase the liquidity requirement to 4 basis points of the aggregate UPB serviced for Fannie Mae and Freddie Mac and 10 basis points of the UPB serviced for Ginnie Mae plus 300 basis points of total nonperforming Agency servicing UPB (including nonperforming Agency loans that are in payment forbearance) in excess of 400 basis points. On June 15, 2020, FHFA announced that it will be re-proposing changes to these requirements. The 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, 2020 $ 1,101,318 $ 438,530 16 % 6 % $ 101,116 $ 59,158 December 31, 2019 $ 627,144 $ 341,009 8 % 6 % $ 128,806 $ 44,970 (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, 2020 | |
Condensed Financial Information Of Parent Company Only Disclosure [Abstract] | |
Parent Company Information | Note 30—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, 2020 Company consolidated Debt covenant requirement Calculated balance (1) (in thousands) PennyMac Mortgage Investment Trust $ 1,250,000 $ 2,296,859 Operating Partnership $ 1,250,000 $ 2,313,725 PennyMac Holdings $ 250,000 $ 710,723 PennyMac Corp $ 300,000 $ 1,082,973 (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, 2020 2019 (in thousands) Assets Short-term investment $ 6,482 $ 2,819 Investments in subsidiaries 2,368,592 2,501,015 Due from subsidiaries 463 469 Other assets 571 595 Total assets $ 2,376,108 $ 2,504,898 Liabilities Dividends payable $ 46,093 $ 47,193 Capital notes due to subsidiaries 44,380 — Accounts payable and accrued liabilities 298 1,564 Due to affiliates 373 399 Due to subsidiaries 27 1 Total liabilities 91,171 49,157 Shareholders' equity 2,284,937 2,455,741 Total liabilities and shareholders' equity $ 2,376,108 $ 2,504,898 PENNYMAC MORTGAGE INVESTMENT TRUST CONDENSED STATEMENTS OF INCOME Year ended December 31, 2020 2019 2018 (in thousands) Income Dividends from subsidiaries $ 176,216 $ 165,451 $ 221,469 Intercompany interest 140 34 8 Other 475 2,389 1,250 Total income 176,831 167,874 222,727 Expenses Intercompany interest 1,509 27 414 Other 62 3 — Total expenses 1,571 30 414 Income before provision for (benefit from) income taxes and (distribution in excess of earnings) equity in undistributed earnings in subsidiaries 175,260 167,844 222,313 Provision for (benefit from) income taxes 13 (109 ) 24 Income before equity in undistributed earnings of subsidiaries 175,247 167,953 222,289 (Distributions of earnings in excess of current year earnings of subsidiaries) increase in undistributed earnings of subsidiaries (139,620 ) 60,937 (71,180 ) Net income $ 35,627 $ 228,890 $ 151,109 PENNYMAC MORTGAGE INVESTMENT TRUST CONDENSED STATEMENTS OF CASH FLOWS Year ended December 31, 2020 2019 2018 (in thousands) Cash flows from operating activities: Net income $ 35,627 $ 228,890 $ 151,109 (Distributions of earnings in excess of current year earnings of subsidiaries) increase in undistributed earnings of subsidiaries 139,620 (60,937 ) 71,180 Decrease in due from affiliates 697 261 490 Decrease (increase) in other assets 24 52 (58 ) Decrease in accounts payable and accrued liabilities (1,266 ) (697 ) (3,320 ) Increase in due from affiliates (26 ) (489 ) (185 ) Increase in due to affiliates 27 33 84 Net cash provided by operating activities 174,703 167,113 219,300 Cash flows from investing activities: Increase in investment in subsidiaries (5,596 ) (825,920 ) — Net (increase) decrease in short-term investments (3,663 ) (2,105 ) 1,159 Net cash (used in) provided by investing activities (9,259 ) (828,025 ) 1,159 Cash flows from financing activities: Net increase (decrease) in intercompany unsecured note payable 44,380 — (69,200 ) Proceeds from issuance of common shares 5,654 839,682 — Payment of issuance costs related to common shares (57 ) (10,225 ) — Payment of withholding taxes related to share-based compensation (1,629 ) (2,600 ) — Payment of dividends to preferred shareholders (24,945 ) (24,944 ) (24,944 ) Payment of dividends to common shareholders (151,580 ) (141,001 ) (115,596 ) Repurchases of common shares (37,267 ) — (10,719 ) Net cash (used in) provided by financing activities (165,444 ) 660,912 (220,459 ) Net change in cash — — — Cash at beginning of year — — — Cash at end of year $ — $ — $ — Non-cash investing activities: Investment in subsidiary pursuant to share based compensation plan $ 2,289 $ 5,529 $ 5,314 Non-cash financing activities: Investment in subsidiary pursuant to share based compensation plan $ 2,289 $ 5,529 $ 5,314 Dividends payable $ 46,093 $ 47,193 $ 28,816 |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2020 | |
Subsequent Events [Abstract] | |
Subsequent Events | Note 31—Subsequent Events Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period: • All agreements to repurchase assets that matured before the date of this Report were extended or renewed. |
Significant Accounting Polici_2
Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2020 | |
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: credit sensitive strategies, interest rate sensitive strategies, correspondent production, and corporate: • The credit sensitive strategies segment represents the Company’s investments in credit risk transfer (“CRT”) arrangements, including CRT agreements (“CRT Agreements”) and CRT securities (together, “CRT arrangements”), distressed loans, real estate, and non-Agency subordinated bonds. • The interest rate sensitive strategies segment represents the Company’s investments in mortgage servicing rights (“MSRs”), excess servicing spread (“ESS”) purchased from PennyMac Financial Services, Inc. (“PFSI”), Agency and senior non-Agency mortgage-backed securities (“MBS”) and the related interest rate hedging activities. • The correspondent production segment represents the Company’s operations aimed at serving as an intermediary between lenders and the capital markets by purchasing, pooling and reselling newly originated prime credit quality loans either directly or in the form of MBS, using the services of PNMAC Capital Management, LLC (“PCM” or the “Manager”) and PennyMac Loan Services, LLC (“PLS”), both indirect controlled subsidiaries of PFSI. The Company primarily sells the loans it acquires through its correspondent production activities to government-sponsored entities such as the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or to PLS for sale into securitizations guaranteed by 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 corporate segment includes management fees, corporate expense amounts and certain interest income. |
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 Company 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 the assets and liabilities included in certain Variable Interest Entities (“VIEs”) 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 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. Credit Risk Transfer Arrangements The Company holds CRT arrangements with Fannie Mae, pursuant to which PennyMac Corp. (“PMC”), through subsidiary trust entities, sells pools of loans into Fannie Mae-guaranteed loan securitizations while retaining Recourse Obligations for credit losses in addition to IO ownership interests in such loans. The loans subject to the CRT arrangements were transferred by PMC to subsidiary trust entities which sold the loans into Fannie Mae loan securitizations. Transfers of loans subject to CRT arrangements received sale accounting treatment. The Company has concluded that its subsidiary trust entities holding its CRT arrangements 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 and interest-only strip assets, 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 are the sole source of settlement of losses under the CRT arrangements. Gains and losses on the derivative and interest-only strip assets related to CRT arrangements are included in Net (loss) gain on investments Jumbo 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 loans at a 3.9% weighted cost. The securities issued by the VIE are backed by the expected cash flows from its underlying fixed-rate prime jumbo loans. Cash inflows from these fixed-rate prime jumbo 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 repaid, 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 beneficial interests 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 PMT as the Company determined that it is the primary beneficiary of the VIE. The Company concluded that it is the primary beneficiary of the VIE as it has the power, through its affiliate, PLS, in its role as servicer of the 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 PMT to losses and returns that could potentially be significant to the VIE. For financial reporting purposes, the loans owned by the consolidated VIE are included in Loans at fair value and the securities issued to third parties by the consolidated VIE are included in Asset-backed financing of a variable interest entity at fair value on the Company’s consolidated balance sheets. Both the Loans at fair value and the Asset-backed financing of a variable interest entity at fair value included in the consolidated VIE are also included in a separate statement following the Company’s consolidated balance sheets. The Company recognizes the interest income earned on the loans owned by the VIE and the interest expense attributable to the asset-backed securities issued to nonaffiliates by the VIE on its consolidated statements of income. |
Fair Value | Fair Value The Company’s consolidated financial statements include assets and liabilities that are measured at or based on their fair values. Measurement at or based on 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 Company has elected to carry the item at its fair value as discussed in the following paragraphs. The Company groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the inputs used to determine fair value. These levels are: • Level 1—Quoted prices in active markets for identical assets or liabilities. • Level 2—Prices determined or determinable using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing 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 Company is required to make judgments regarding these items’ fair values. Different persons in possession of the same facts may reasonably arrive at different conclusions as to the inputs to be applied in valuing these assets and liabilities and 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 Company 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. Fair Value Accounting Elections The Company identified all of PMT’s non-cash financial assets, its Firm commitment to purchase CRT securities The Company has also identified its Asset-backed financing of a VIE at fair value Interest-only security payable at fair value |
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 (loss) gain on investments. Interest Income Recognition Interest income on MBS is recognized over the life of the security using the interest method. The Company 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 Company updates its cash flow estimates monthly. |
Loans | Loans Loans are carried at their fair values. Changes in the fair value of 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 (loss) gain on investments Loans at fair value Net gain on loans acquired for sale Loans acquired for sale at fair value Interest income Loans acquired for sale at fair value Loans at fair value held in VIE Sale Recognition The Company purchases from and sells loans into the secondary mortgage market without recourse for credit losses. However, the Company maintains continuing involvement with the loans in the form of servicing arrangements and the liability under the representations and warranties it makes to purchasers and insurers of the loans. The Company recognizes transfers of loans as sales based on whether the transfer is made to a VIE: • For loans that are not transferred to a VIE, the Company recognizes the transfer as a sale when it surrenders control over the loans. Control over transferred loans is deemed to be surrendered when (i) the 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 loans, and (iii) the Company does not maintain effective control over the transferred 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 loans. • For loans that are transferred to a VIE, the Company recognizes the transfer as a sale when it determines that the Company is not the primary beneficiary of the VIE. Interest Income Recognition The Company has the ability but not the intent to hold loans acquired for sale and loans at fair value other than loans held in a VIE for the foreseeable future. Therefore, interest income on loans acquired for sale and loans at fair value other than 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 loans held in a VIE for the foreseeable future. Therefore, interest income on loans held in a variable interest entity is recognized over the estimated remaining life of the 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 loans. Income recognition is suspended and the accrued unpaid interest receivable is reversed against interest income when loans become 90 days delinquent. 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. The Company categorizes ESS as a “Level 3” fair value asset. 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. |
Derivative and Credit Risk Transfer Strip Assets | Derivative and Credit Risk Transfer Strip Assets The Company holds and issues derivative financial instruments in connection with its operating, investing and financing 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: • Interest rate lock commitments (“IRLCs”) that are created when the Company commits to purchase loans acquired for sale; • CRT Agreements whereby the Company retained a Recourse Obligation relating to certain loans it sold into Fannie Mae guaranteed securitizations as part of the retention of an IO ownership interest in such loans; and • Derivatives that were embedded in a master repurchase agreement that provided for the Company to receive interest expense offsets if it financed loans approved as satisfying certain consumer credit relief characteristics under that master repurchase agreement. The Company engages in interest rate risk management activities in an effort to reduce the variability of earnings caused by the effects of changes in interest rates on the fair value of certain of its assets and liabilities. The Company bears price risk related to its mortgage production, servicing and MBS financing activities due to changes in market interest rates as discussed below: • The Company is exposed to loss if market mortgage interest rates increase, because market interest rate increases generally cause the fair value of MBS, IRLCs and loans acquired for sale to decrease. • The Company is exposed to losses if market mortgage interest rates decrease, because market interest rate decreases generally cause the fair value of MSRs and ESS to decrease. To manage the price risk resulting from these interest rate risks, the Company uses derivative financial instruments with the intention of moderating the risk that changes in market interest rates will result in unfavorable changes in the fair value of the Company’s inventory of loans acquired for sale, loans held in a VIE, IRLCs, MSRs and MBS financing. Cash flows from derivative financial instruments relating to hedging of IRLCs and loans acquired for sale are included in Cash flows from operating activities Sale and repayment of loans acquired for sale at fair value to nonaffiliates. Cash flows from investing activities Cash flows from operating activities The Company records all derivative and CRT strip assets at fair value and records changes in fair value in current period income. The Company does not designate and qualify any of its derivative financial instruments for hedge accounting. |
Firm Commitment to Purchase Credit Risk Transfer Securities | Firm Commitment to Purchase Credit Risk Transfer Securities The Company carried its firm commitment to purchase CRT securities at fair value. The firm commitment to purchase CRT securities was recognized initially as a component of Net gain on loans acquired for sale Net (loss) gain on investments |
Real Estate Acquired in Settlement of Loans | 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 the fair value of the loan immediately before REO acquisition in settlement of a 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 loans. Under these agreements, the Company is obligated to provide loan servicing functions in exchange for fees and other remuneration. The servicing functions typically performed include, among other responsibilities, collecting and remitting 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 borrowers; 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 loans where the Company assumes the obligation to service the loan in the sale transaction, or from the purchase of MSRs. The Company categorizes its MSR as a “Level 3” fair value asset. 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 loans with initial interest rates of less than or equal to 4.5%; and originated MSRs backed by loans with initial interest rates of more than 4.5%. Originated MSRs backed by 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. 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 loan servicing fees-from nonaffiliates- Changes fair value of mortgage servicing rights |
Servicing Advances | Servicing Advances Servicing advances represent advances made on behalf of borrowers and the loans’ investors to fund property tax and insurance premiums for impounded loans with inadequate impound balances and for non-impounded loans with delinquent property tax insurance premiums and out of pocket collection costs for delinquent loans (e.g., preservation and restoration of mortgaged property, 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 payable at fair value Interest expense Notes payable secured by credit risk transfer and mortgage servicing assets Exchangeable senior notes 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 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 (loss) gain on investments |
Liability for Losses Under Representation and Warranties | Liability for Losses Under Representations and Warranties The Company provides for its estimate of the losses that it expects to incur in the future as a result of its breach of the representations and warranties that it provides to the purchasers and insurers of the loans it has sold. The Company’s sales agreements include representations and warranties related to the 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 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 loans with the identified defects or indemnify the investor or insurer against credit losses arising from such loans. In either case, the Company bears any subsequent credit loss on the loans. The Company’s credit loss may be reduced by any recourse it has to correspondent sellers that, in turn, had sold such 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 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 loan defect rates, the estimated severity of loss in the event of default and the probability of reimbursement by the correspondent loan seller. The Company establishes a liability at the time loans are sold and periodically updates its liability estimate. The level of the liability for representations and warranties is reviewed and approved by the Company’s management credit committee. The level of the liability for representations and warranties is difficult to estimate and requires considerable judgment. The level of loan repurchase losses is dependent on economic factors, investor demand strategies, and other external conditions that may change over the lives of the underlying loans. The Company’s representations and warranties are generally not subject to stated limits of exposure. However, the Company believes that the current unpaid principal balance of loans sold by PMT to date represents the maximum exposure to repurchases related to representations and warranties. |
Loan Servicing Fees | Loan Servicing Fees Loan servicing fees and other remuneration are received by the Company for servicing residential loans. Loan servicing activities are described under Mortgage servicing rights Loan servicing fee amounts are based upon fee schedules established by the applicable investor and upon the unpaid principal balance of the loans. Loan servicing fees are recorded net of Agency guarantee fees paid by the Company and are recognized in the period which they are earned. |
Share-Based Compensation | Share-Based Compensation The Company amortizes the fair value of previously granted share-based awards to Compensation Compensation The initial cost of share-based awards 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 awards for changes in estimates of the portion of the awards it expects to be forfeited by grantees and 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. |
Income Taxes | Income Taxes The Company has elected to be taxed as a REIT and the Company believes PMT complies with the provisions of the Internal Revenue Code applicable to REITs. Accordingly, the Company believes PMT 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. PMC, 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 Company 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 Company’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 Pronouncements | Recently Issued Accounting Pronouncements Adopted during 2020 In June 2016, the FASB issued Accounting Standard Update No. 2016-13, Financial Instruments-Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments Pending Accounting Change In August 2020, the FASB issued Accounting Standards Update 2020-06, Debt – Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging – Contracts in Entity’s Own Equity (Subtopic 815-40) Debt – Debt with Conversion and Other Options • the embedded conversion features in debt instruments no longer are separated from the host contract for convertible instruments with conversion features that are not required to be accounted for as derivatives or that do not result in substantial premiums accounted for as paid-in capital. Consequently, a convertible debt instrument will generally be accounted for as a single liability measured at its amortized cost; • Diluted earnings per share guidance is changed to require that: • an entity is required to include shares issuable pursuant to conversion of convertible debt instruments in the determination of diluted earnings per share; current guidance allows an entity to exclude such shares from the diluted earnings per share calculation if the company has a history and policy of cash settlement; • an average market price should be used to calculate the diluted EPS denominator in cases in which the exercise prices may change on the basis of an entity’s share price or changes in the entity’s share price may affect the number of shares that may be used to settle a financial instrument; and • an entity should use the weighted-average share count from each quarter when calculating the year-to-date weighted-average share count. ASU 2020-06 is effective for the Company beginning in the quarter ending March 31, 2022, with early adoption allowed beginning in the quarter ending March 31, 2021 using either the modified retrospective or full retrospective method. As detailed in Note 1 6 – Exchangeable Senior Notes , the Company has issued $ million in unpaid principal balance of exchangeable senior notes that are convertible to 40.101 common shares of beneficial interest (“common shares”) per $ 1,000 principal amount (the “2024 Notes”). The 2024 Notes are subject to the guidance included in ASU 2020-06. Adoption of ASU 2020-06 will have the following effects on PMT : • The conversion feature included in the 2024 Notes can be settled either in cash or common shares at the option of the Company. As a result of this feature and PMT’s intent to cash settle the 2024 Notes, the Company presently excludes the effect of conversion of the 2024 Notes from diluted earnings per share as allowed under current accounting standards. Adoption of ASU 2020-06 will require the Company to include common shares issuable pursuant to conversion of the 2024 Notes in its determination of diluted earnings per share. • The Company recognized the fair value of the conversion feature as a component of Additional paid-in capital as of the date of issuance of the 2024 Notes as required by current guidance. The issuance discount charged to the 2024 Notes resulting from the allocation of the issuance discount to Additional paid-in capital is presently accrued to interest expense using the interest method. Upon adoption of ASU 2020-06, the value originally attributed to Additional paid-in capital as of the date of issuance of the 2024 Notes will be added to the carrying value of the 2024 Notes and the accumulated accrual of the conversion value to interest expense through the date of adoption of ASU 2020-06 will be credited to retained earnings net of income taxes as the cumulative effect of the adoption of ASU 2020-06. |
Organization and Basis of Prese
Organization and Basis of Presentation and Recently Issued Accounting Pronouncements (Policies) | 12 Months Ended |
Dec. 31, 2020 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Fair Value Measurement | Fair Value Accounting Elections We 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 Company 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 Company determined that this change makes the accounting treatment for MSRs consistent with lender valuation under financing arrangements and simplifies hedging activities. We also identified the Company’s asset-backed financing of a VIE and interest only security payable 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 Company 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 Pre_2
Organization and Basis of Presentation (Policies) | 12 Months Ended |
Dec. 31, 2020 | |
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 (net income reduced by preferred dividends and 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 2020 Notes, by the weighted average common shares outstanding, assuming all dilutive securities were issued. During 2019, the Company issued the 2024 Notes. The 2024 Notes include a cash conversion option. The Company intends to cash settle the 2024 Notes. Therefore, the effect of conversion of the 2024 Notes is excluded from diluted earnings per share. |
Transactions with Related Par_2
Transactions with Related Parties (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020 2019 2018 (in thousands) Loan fulfillment fees earned by PLS $ 222,200 $ 160,610 $ 81,350 Sourcing fees received from PLS included in Net gain on loans acquired for sale $ 11,037 $ 14,381 $ 10,925 UPB of loans sold to PLS $ 60,540,530 $ 47,937,306 $ 36,415,933 Purchases of loans acquired for sale from PLS $ 2,248,896 $ 6,255,915 $ 3,343,028 Tax service fees paid to PLS $ 23,408 $ 14,697 $ 7,433 December 31, 2020 December 31, 2019 (in thousands) Loans included in Loans acquired for sale at fair value pending sale to PLS $ 460,414 $ 490,383 |
Summary of Loan Servicing Fees Earned and Mortgage Servicing Rights Recaptured Income Earned | Following is a summary of loan servicing fees earned by PLS: Year ended December 31, 2020 2019 2018 (in thousands) Loan servicing fees: Loans acquired for sale at fair value $ 2,067 $ 1,772 $ 1,037 Loans at fair value 807 2,207 7,555 MSRs 64,307 44,818 33,453 $ 67,181 $ 48,797 $ 42,045 Average investment in: Loans acquired for sale at fair value $ 3,469,392 $ 2,754,955 $ 1,577,395 Loans at fair value: Distressed $ 9,032 $ 75,251 $ 473,458 Held in a VIE $ 214,596 $ 281,449 $ 301,398 Average MSR portfolio UPB $ 147,832,880 $ 110,075,179 $ 80,500,212 |
Summary of Management Fee Expense | Following is a summary of management fee expenses: Year ended December 31, 2020 2019 2018 (in thousands) Base management $ 34,538 $ 29,303 $ 23,033 Performance incentive — 7,189 1,432 $ 34,538 $ 36,492 $ 24,465 Average shareholders' equity amounts used to calculate base management fee expense $ 2,330,154 $ 1,958,970 $ 1,535,590 |
Summary of Expenses | Following is a summary of the Company’s reimbursements to PCM and its affiliates for expenses: Year ended December 31, 2020 2019 2018 (in thousands) Reimbursement of: Common overhead incurred by PCM and its affiliates $ 5,172 $ 5,340 $ 4,640 Compensation 570 480 480 Expenses incurred on the Company’s behalf, net 22,583 4,362 1,113 $ 28,325 $ 10,182 $ 6,233 Payments and settlements during the year (1) $ 378,162 $ 177,116 $ 71,943 (1) Payments and settlements include payments and netting settlements made pursuant to master netting agreements between the Company and PFSI for the operating, investing 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, 2020 2019 2018 (in thousands) ESS: Received pursuant to a recapture agreement $ 2,093 $ 1,757 $ 2,688 Repayments $ 32,377 $ 40,316 $ 46,750 Interest income $ 8,418 $ 10,291 $ 15,138 Net loss included in Net (loss) gain on investments: Valuation changes $ (24,970 ) $ (9,256 ) $ 8,500 Recapture income 2,241 1,726 2,584 $ (22,729 ) $ (7,530 ) $ 11,084 December 31, 2020 December 31, 2019 (in thousands) Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value $ 131,750 $ 178,586 |
Summary of Financing Transactions | Following is a summary of financing activities between the Company and PFSI: Year ended December 31, 2020 2019 2018 (in thousands) Net repayments of assets sold under agreements to repurchase $ 26,650 $ 23,513 $ 13,103 Interest expense $ 3,325 $ 6,302 $ 7,462 Payment of conditional reimbursement to PCM $ 211 $ 580 $ 69 December 31, 2020 December 31, 2019 (in thousands) Assets sold to PFSI under agreement to repurchase $ 80,862 $ 107,512 Conditional Reimbursement payable to PCM included in Due to PennyMac Financial Services, Inc. $ 10 $ 221 |
Summary of Amounts Receivable From and Payable to PFSI | Amounts receivable from and payable to PFSI are summarized below: December 31, 2020 December 31, 2019 (in thousands) Due from PFSI: MSR recapture $ 296 $ 149 Other 7,856 2,611 $ 8,152 $ 2,760 Due to PFSI: Allocated expenses and expenses paid by PFSI on PMT’s behalf $ 38,132 $ 3,724 Fulfillment fees 20,873 18,285 Correspondent production fees 13,065 10,606 Management fees 8,686 10,579 Loan servicing fees 6,213 4,659 Interest on Assets sold to PFSI under agreement to repurchase 26 85 Conditional Reimbursement 10 221 $ 87,005 $ 48,159 |
Summary of Transfer Cash to Fund Loan Servicing Advances | The Company has also transferred cash to fund loan servicing advances and REO property acquisition and preservation costs advanced on its behalf by PLS. Such amounts are included on various balance sheet items as summarized below: Balance sheet line including advance amount December 31, 2020 December 31, 2019 (in thousands) Loan servicing advances $ 121,820 $ 48,971 Real estate acquired in settlement of loans 10,334 21,549 $ 132,154 $ 70,520 |
Loan Sales (Tables)
Loan Sales (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Loan Sales [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 loans that are accounted for as sales where the Company maintains continuing involvement with the loans: Year ended December 31, 2020 2019 2018 (in thousands) Cash flows: Proceeds from sales $ 106,306,805 $ 61,128,081 $ 29,369,656 Loan servicing fees received net of guarantee fees $ 406,060 $ 295,390 $ 204,663 |
Summary of Collection Status Information for Loans Accounted for Sales | The following table summarizes for the dates presented collection status information for loans that are accounted for as sales where the Company maintains continuing involvement: December 31, 2020 December 31, 2019 (in thousands) UPB of loans outstanding $ 170,502,361 $ 130,663,117 Collection Status (UPB) Delinquency (1): 30-89 days delinquent $ 1,235,981 $ 1,014,094 90 or more days delinquent: Not in foreclosure $ 4,428,915 $ 258,036 In foreclosure $ 27,494 $ 53,697 Bankruptcy $ 148,866 $ 130,936 Custodial funds managed by the Company (2) $ 6,086,724 $ 2,529,984 (1) At December 31, 2020, delinquent loans include loans subject to forbearance agreements entered into under the CARES Act with UPBs totaling $530.4 million in the 30-89 days delinquent category and $3.1 billion in the 90 or more days delinquent-not in foreclosure category. (2) Custodial funds include borrower and investor custodial cash accounts relating to 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 loans’ borrowers and investors, which are included in Interest income in the Company’s consolidated statements of income. |
Variable Interest Entities (Tab
Variable Interest Entities (Tables) - Variable Interest Entities [Member] | 12 Months Ended |
Dec. 31, 2020 | |
Jumbo Mortgage Loan Financing [Member] | |
Summary of Jumbo Mortgage Loan Financing | Following is a summary of the Company’s jumbo loan financing: Year ended December 31, 2020 2019 2018 (in thousands) Interest income $ 10,609 $ 11,734 $ 11,813 Interest expense $ 10,971 $ 11,324 $ 10,821 December 31, 2020 December 31, 2019 (in thousands) Loans at fair value $ 143,707 $ 256,367 Asset-backed financing at fair value $ 134,726 $ 243,360 Certificates retained at fair value $ 8,981 $ 13,007 |
Credit Risk Transfer Agreements [Member] | |
Summary of Credit Risk Transfer Agreements | Following is a summary of the CRT arrangements: Year ended December 31, 2020 2019 2018 (in thousands) UPB of loans sold $ 18,277,263 $ 47,748,300 $ 21,939,277 Investments: Deposits securing CRT arrangements $ 1,700,000 $ 933,370 $ 596,626 Change in expected face amount of firm commitment to purchase CRT securities (1,502,203 ) 897,151 122,581 $ 197,797 $ 1,830,521 $ 719,207 Investment (loss) income: Net (loss) gain on loans acquired for sale — Fair value of firm commitment to purchase CRT securities recognized upon sale of loans $ (38,161 ) $ 99,305 $ 30,595 Net (loss) gain on investments: Derivative and CRT strips: CRT derivatives Realized (53,965 ) 79,619 86,928 Valuation changes (82,633 ) (9,571 ) 25,347 (136,598 ) 70,048 112,275 CRT strips Realized 54,929 32,200 — Valuation changes (79,221 ) (1,874 ) — (24,292 ) 30,326 — Interest-only security payable at fair value 14,952 10,302 (19,332 ) (145,938 ) 110,676 92,943 Firm commitments to purchase CRT securities (121,067 ) 60,943 7,399 (267,005 ) 171,619 100,342 Interest income — Deposits securing CRT arrangements 7,012 34,229 15,441 $ (298,154 ) $ 305,153 $ 146,378 Payments made to settle losses on CRT arrangements $ 115,475 $ 5,165 $ 2,133 December 31, 2020 December 31, 2019 (in thousands) Carrying value of CRT arrangements: Derivative and credit risk transfer strip assets (liabilities), net CRT derivatives $ 31,795 $ 115,863 CRT strips (202,792 ) 54,930 $ (170,997 ) $ 170,793 Firm commitment to purchase credit risk transfer securities at fair value $ — $ 109,513 Deposits securing CRT arrangements $ 2,799,263 $ 1,969,784 Interest-only security payable at fair value $ 10,757 $ 25,709 CRT arrangement assets pledged to secure borrowings: Derivative and credit risk transfer strip assets $ 58,699 $ 142,183 Deposits securing CRT arrangements (1) $ 2,799,263 $ 1,969,784 Face amount of firm commitment to purchase CRT securities $ 1,502,203 UPB of loans — funded CRT arrangements $ 58,697,942 $ 41,944,117 Collection status (UPB): Delinquency (2) Current $ 54,990,381 $ 41,355,622 30-89 days delinquent $ 710,872 $ 463,331 90-180 days delinquent $ 693,315 $ 106,234 180 or more days delinquent $ 2,297,365 $ 8,802 Foreclosure $ 6,009 $ 10,128 Bankruptcy $ 75,700 $ 55,452 UPB of loans — firm commitment to purchase CRT securities $ 38,738,396 Collection status (UPB): Delinquency Current $ 38,581,080 30-89 days delinquent $ 146,256 90-180 days delinquent $ 9,109 180 or more days delinquent $ — Foreclosure $ 1,951 Bankruptcy $ 2,980 (1) Deposits securing credit risk transfer strip liabilities also secure $229.7 million in CRT strip and CRT derivative liabilities at December 31, 2020 . (2) At December 31, 2020, delinquent loans include loans subject to forbearance agreements entered into under the CARES Act with UPBs totaling $383.0 million in the 30-89 days delinquent category; $548.0 million in the 90-180 days delinquent category; and $1.9 billion in the 180 or more days delinquent category. |
Fair Value (Tables)
Fair Value (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 127,295 $ — $ — $ 127,295 Mortgage-backed securities at fair value — 2,213,922 — 2,213,922 Loans acquired for sale at fair value — 3,518,015 33,875 3,551,890 Loans at fair value — 143,707 8,027 151,734 Excess servicing spread purchased from PFSI — — 131,750 131,750 Derivative and credit risk transfer strip assets: Call options on interest rate futures 3,070 — — 3,070 Put options on interest rate futures 4,742 — — 4,742 Forward purchase contracts — 72,526 — 72,526 Forward sale contracts — 92 — 92 MBS put options — 3,220 — 3,220 Swaption — 8,505 — 8,505 CRT derivatives — — 58,699 58,699 Interest rate lock commitments — — 72,794 72,794 Total derivative assets before netting 7,812 84,343 131,493 223,648 Netting — — — (59,330 ) Total derivative and credit risk transfer strip assets after netting 7,812 84,343 131,493 164,318 Mortgage servicing rights at fair value — — 1,755,236 1,755,236 $ 135,107 $ 5,959,987 $ 2,060,381 $ 8,096,145 Liabilities: Asset-backed financing of a VIE at fair value $ — $ 134,726 $ — $ 134,726 Interest-only security payable at fair value — — 10,757 10,757 Derivative and credit risk transfer strip liabilities: Forward purchase contracts — 17 — 17 Forward sales contracts — 122,884 — 122,884 CRT derivatives — — 26,904 26,904 Interest rate lock commitments — — 408 408 Total derivative liabilities before netting — 122,901 27,312 150,213 Netting — — — (89,532 ) Total derivative liabilities after netting — 122,901 27,312 60,681 Credit risk transfer strips — — 202,792 202,792 Total derivative and credit risk transfer strips liabilities — 122,901 230,104 263,473 $ — $ 257,627 $ 240,861 $ 408,956 December 31, 2019 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 90,836 $ — $ — $ 90,836 Mortgage-backed securities at fair value — 2,839,633 — 2,839,633 Loans acquired for sale at fair value — 4,129,858 18,567 4,148,425 Loans at fair value — 256,367 14,426 270,793 Excess servicing spread purchased from PFSI — — 178,586 178,586 Derivative and credit risk transfer strip assets: Call options on interest rate futures 3,809 — — 3,809 Put options on interest rate futures 2,859 — — 2,859 Forward purchase contracts — 7,525 — 7,525 Forward sale contracts — 637 — 637 MBS put options — 1,625 — 1,625 Swaption — 4,347 — 4,347 CRT derivatives — — 115,863 115,863 Interest rate lock commitments — — 11,726 11,726 Repurchase agreement derivatives — — 5,275 5,275 Total derivative assets before netting 6,668 14,134 132,864 153,666 Netting — — — (6,278 ) Total derivative assets after netting 6,668 14,134 132,864 147,388 Credit risk transfer strips — — 54,930 54,930 Total derivative and credit risk transfer strips assets 6,668 14,134 187,794 202,318 Firm commitment to purchase credit risk transfer securities at fair value — — 109,513 109,513 Mortgage servicing rights at fair value — — 1,535,705 1,535,705 $ 97,504 $ 7,239,992 $ 2,044,591 $ 9,375,809 Liabilities: Asset-backed financing of a VIE at fair value $ — $ 243,360 $ — $ 243,360 Interest-only security payable at fair value — — 25,709 25,709 Derivative liabilities: Forward purchase contracts — 3,600 — 3,600 Forward sales contracts — 15,644 — 15,644 Interest rate lock commitments — — 572 572 Total derivative liabilities before netting — 19,244 572 19,816 Netting — — — (13,393 ) Total derivative liabilities after netting — 19,244 572 6,423 $ — $ 262,604 $ 26,281 $ 275,492 |
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, 2020 Assets (1) Loans acquired for sale Loans at fair value Excess servicing spread CRT derivatives Interest rate lock commitments Repurchase agreement derivatives CRT strips Firm commitment to purchase CRT securities Mortgage servicing rights Total (in thousands) Balance, December 31, 2019 $ 18,567 $ 14,426 $ 178,586 $ 115,863 $ 11,154 $ 5,275 $ 54,930 $ 109,513 $ 1,535,705 $ 2,044,019 Purchases and issuances 74,339 1,058 — — 369,802 — — — — 445,199 Repayments and sales (58,290 ) (5,734 ) (32,377 ) 52,530 — (5,328 ) (54,929 ) (128,786 ) (7 ) (232,921 ) Capitalization of interest and fees — — 8,418 — — — — — — 8,418 ESS received pursuant to a recapture agreement with PFSI — — 2,093 — — — — — — 2,093 Amounts (incurred) received pursuant to sales of loans — — — — — — — (38,161 ) 1,158,475 1,120,314 Changes in fair value included in results of operations arising from: Changes in instrument- specific credit risk — — — — — — — — — — Other factors (741 ) (837 ) (24,970 ) (136,598 ) 536,943 53 (24,292 ) (121,067 ) (938,937 ) (710,446 ) (741 ) (837 ) (24,970 ) (136,598 ) 536,943 53 (24,292 ) (121,067 ) (938,937 ) (710,446 ) Transfers: Loans to REO — (886 ) — — — — — — — (886 ) Firm commitment to purchase CRT securities to CRT strips — — — — — — (178,501 ) 178,501 — — Interest rate lock commitments to loans acquired for sale (2) — — — — (845,513 ) — — — — (845,513 ) Balance, December 31, 2020 $ 33,875 $ 8,027 $ 131,750 $ 31,795 $ 72,386 $ — $ (202,792 ) $ — $ 1,755,236 $ 1,830,277 Changes in fair value recognized during the year relating to assets still held at December 31, 2020 $ (899 ) $ (1,033 ) $ (24,970 ) $ (82,633 ) $ 72,386 $ — $ (79,221 ) $ — $ (938,937 ) $ (1,055,307 ) (1) For the purpose of this table, CRT derivatives, IRLC and CRT strip asset and liability positions are shown net. (2) The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale at fair value upon purchase of the respective loans. Liabilities Year ended December 31, 2020 (in thousands) Interest-only security payable: Balance, December 31, 2019 $ 25,709 Changes in fair value included in results of operations arising from: Changes in instrument-specific credit risk — Other factors (14,952 ) (14,952 ) Balance, December 31, 2020 $ 10,757 Changes in fair value recognized during the year relating to liability outstanding at December 31, 2020 $ (14,952 ) Year ended December 31, 2019 Assets (1) Loans acquired for sale Loans at fair value Excess servicing spread CRT derivatives Interest rate lock commitments Repurchase agreement derivatives CRT strips Firm commitment to purchase CRT securities Mortgage servicing rights Total (in thousands) Balance, December 31, 2018 $ 17,474 $ 117,732 $ 216,110 $ 123,987 $ 11,988 $ 14,511 $ — $ 37,994 $ 1,162,369 $ 1,702,165 Purchases and issuances 26,823 1,077 — — 65,051 10,057 — — — 103,008 Repayments and sales (27,609 ) (88,460 ) (40,316 ) (78,172 ) — (19,317 ) (32,200 ) (31,925 ) (17 ) (318,016 ) Capitalization of interest — 2,318 10,291 — — — — — — 12,609 Capitalization of advances — 1,340 — — — — — — — 1,340 ESS received pursuant to a recapture agreement with PFSI — — 1,757 — — — — — — 1,757 Amounts received pursuant to sales of loans — — — — — — — 99,305 837,706 937,011 Changes in fair value included in results of operations arising from: Changes in instrument- specific credit risk — 3,737 — — — — — — — 3,737 Other factors 1,070 (10,906 ) (9,256 ) 70,048 80,133 24 30,326 60,943 (464,353 ) (241,971 ) 1,070 (7,169 ) (9,256 ) 70,048 80,133 24 30,326 60,943 (464,353 ) (238,234 ) Transfers: Loans to REO — (12,412 ) — — — — — — — (12,412 ) Loans acquired for sale at fair value from "Level 2" to "Level 3" (2) 809 — — — — — — — — 809 Firm commitment to purchase CRT securities to CRT strips — — — — — — 56,804 (56,804 ) — — Interest rate lock commitments to loans acquired for sale (3) — — — — (146,018 ) — — — — (146,018 ) Balance, December 31, 2019 $ 18,567 $ 14,426 $ 178,586 $ 115,863 $ 11,154 $ 5,275 $ 54,930 $ 109,513 $ 1,535,705 $ 2,044,019 Changes in fair value recognized during the year relating to assets still held at December 31, 2019 $ 121 $ (8,255 ) $ (9,256 ) $ (9,571 ) $ 11,154 $ 107 $ (1,874 ) $ 29,808 $ (464,353 ) $ (452,119 ) (1) For the purpose of this table, IRLC asset and liability positions are shown net. (2) The Company identified certain “Level 2” fair value loans acquired for sale that were not saleable into the prime mortgage market and therefore transferred them to “Level 3”. (3) The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale at fair value upon purchase of the respective loans. Liabilities Year ended December 31, 2019 (in thousands) Interest-only security payable: Balance, December 31, 2018 $ 36,011 Changes in fair value included in income arising from: Changes in instrument- specific credit risk — Other factors (10,302 ) (10,302 ) Balance, December 31, 2019 $ 25,709 Changes in fair value recognized during the year relating to liability outstanding at December 31, 2019 $ (10,302 ) Year ended December 31, 2018 Assets (1) Loans acquired for sale Loans at fair value Excess servicing spread CRT derivatives Interest rate lock commitments Repurchase agreement derivatives Firm commitments to purchase CRT securities Mortgage servicing rights Total (in thousands) Balance, December 31, 2017 $ 8,135 $ 768,433 $ 236,534 $ 98,640 $ 4,632 $ 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 98,640 4,632 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 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 ) 8,500 112,275 (14,016 ) (191 ) 7,399 (58,780 ) 37,067 (16 ) (15,197 ) 8,500 112,275 (14,016 ) (191 ) 7,399 (58,780 ) 39,974 Transfers: 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 Interest rate lock commitments to loans acquired for sale (3) — — — — 16,717 — — — 16,717 Balance, December 31, 2018 $ 17,474 $ 117,732 $ 216,110 $ 123,987 $ 11,988 $ 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 $ 25,347 $ 11,988 $ 77 $ 37,994 $ (58,780 ) $ 6,540 (1) For the purpose of this table, IRLC asset and liability positions are shown net. (2) The Company identified certain “Level 2” fair value loans acquired for sale that were not saleable into the prime mortgage market and therefore transferred them to “Level 3”. (3) The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale at fair value upon purchase of the respective loans. Liabilities Year ended December 31, 2018 (in thousands) Interest-only security payable: 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 |
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 loans accounted for under the fair value option (including loans acquired for sale, loans held in a consolidated VIE, and distressed loans): December 31, 2020 December 31, 2019 Fair value Principal amount due upon maturity Difference Fair value Principal amount due upon maturity Difference (in thousands) Loans acquired for sale at fair value: Current through 89 days delinquent $ 3,545,100 $ 3,377,970 $ 167,130 $ 4,147,374 $ 4,010,444 $ 136,930 90 or more days delinquent: Not in foreclosure 6,591 8,006 (1,415 ) 572 615 (43 ) In foreclosure 199 235 (36 ) 479 566 (87 ) 6,790 8,241 (1,451 ) 1,051 1,181 (130 ) $ 3,551,890 $ 3,386,211 $ 165,679 $ 4,148,425 $ 4,011,625 $ 136,800 Loans at fair value: Loans held in a consolidated VIE: Current through 89 days delinquent $ 140,052 $ 128,787 $ 11,265 $ 255,706 $ 251,425 $ 4,281 90 or more days delinquent: Not in foreclosure 3,655 4,240 (585 ) 661 809 (148 ) In foreclosure — — — — — — 3,655 4,240 (585 ) 661 809 (148 ) 143,707 133,027 10,680 256,367 252,234 4,133 Distressed loans: Current through 89 days delinquent 2,071 4,099 (2,028 ) 3,179 6,202 (3,023 ) 90 or more days delinquent: Not in foreclosure 3,714 12,357 (8,643 ) 4,897 13,154 (8,257 ) In foreclosure 2,242 4,641 (2,399 ) 6,350 15,698 (9,348 ) 5,956 16,998 (11,042 ) 11,247 28,852 (17,605 ) 8,027 21,097 (13,070 ) 14,426 35,054 (20,628 ) $ 151,734 $ 154,124 $ (2,390 ) $ 270,793 $ 287,288 $ (16,495 ) |
Summary of Changes in Fair Value Included in Current Period Income | Following are the changes in fair value included in current period income by consolidated statement of income line item for financial statement items accounted for under the fair value option: Year ended December 31, 2020 Net gain on loans acquired for sale Net (loss) gain on investments Net loan servicing fees Net interest (expense) income Total (in thousands) Assets: Mortgage-backed securities at fair value $ — $ 87,852 $ — $ (23,323 ) $ 64,529 Credit risk transfer strips — (24,292 ) — — (24,292 ) Loans acquired for sale at fair value 817,158 — — — 817,158 Loans at fair value — (7,454 ) — 2,776 (4,678 ) ESS at fair value — (24,970 ) — 8,418 (16,552 ) Firm commitment to purchase CRT securities at fair value (38,161 ) (121,067 ) — — (159,228 ) MSRs at fair value — — (938,937 ) — (938,937 ) $ 778,997 $ (89,931 ) $ (938,937 ) $ (12,129 ) $ (262,000 ) Liabilities: Interest-only security payable at fair value $ — $ 14,952 $ — $ — $ 14,952 Asset-backed financing of a VIE at fair value — 5,519 — (4,218 ) 1,301 $ — $ 20,471 $ — $ (4,218 ) $ 16,253 Year ended December 31, 2019 Net gain on loans acquired for sale Net (loss) gain on investments Net loan servicing fees Net interest (expense) income Total (in thousands) Assets: Mortgage-backed securities at fair value $ — $ 77,283 $ — $ (12,853 ) $ 64,430 Loans acquired for sale at fair value 163,244 — — — 163,244 Loans at fair value — 714 — 3,420 4,134 ESS at fair value — (9,256 ) — 10,291 1,035 Credit risk transfer strips — 30,326 — — 30,326 Firm commitment to purchase CRT securities at fair value 99,305 60,943 — — 160,248 MSRs at fair value — — (464,353 ) — (464,353 ) $ 262,549 $ 160,010 $ (464,353 ) $ 858 $ (40,936 ) Liabilities: Interest-only security payable $ — $ 10,302 $ — $ — $ 10,302 Asset-backed financing of a VIE at fair value — (7,553 ) — (2,061 ) (9,614 ) $ — $ 2,749 $ — $ (2,061 ) $ 688 Year ended December 31, 2018 Net gain on loans acquired for sale Net (loss) gain on investments Net loan servicing fees Net interest (expense) income Total (in thousands) Assets: Mortgage-backed securities at fair value $ — $ (11,262 ) $ — $ (4,793 ) $ (16,055 ) Loans acquired for sale at fair value (5,298 ) — — — (5,298 ) Loans at fair value — (23,696 ) — 7,539 (16,157 ) ESS at fair value — 8,500 — 15,138 23,638 Firm commitment to purchase CRT securities at fair value 30,595 7,399 — — 37,994 MSRs at fair value — — (58,780 ) — (58,780 ) $ 25,297 $ (19,059 ) $ (58,780 ) $ 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 ) |
Summary of Carrying Value of Financial Statement Items Re-measured Based on Fair Value on Nonrecurring Basis | Following is a summary of the carrying value of assets that were re-measured during the year based on fair value on a nonrecurring basis: Real estate acquired in settlement of loans Level 1 Level 2 Level 3 Total (in thousands) December 31, 2020 $ — $ — $ 12,656 $ 12,656 December 31, 2019 $ — $ — $ 24,115 $ 24,115 |
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 year on assets held at year end that were remeasured at fair value on a nonrecurring basis: Year ended December 31, 2020 2019 2018 (in thousands) Real estate asset acquired in settlement of loans $ (1,638 ) $ (2,155 ) $ (4,434 ) |
Fair Values of Notes Payable Secured by Credit Risk Transfer and Mortgage Servicing Rights and Exchangeable Senior Notes | Following are the fair values of the Notes payable secured by credit risk transfer and mortgage servicing assets Exchangeable senior notes December 31, 2020 December 31, 2019 Instrument Carrying value Fair value Carrying value Fair value (in thousands) Notes payable secured by credit risk transfer and mortgage servicing assets $ 1,924,999 $ 1,871,276 $ 1,696,295 $ 1,705,544 Exchangeable senior notes $ 196,796 $ 207,428 $ 443,506 $ 462,117 |
Summary of Key Inputs Used in Determining Fair Value of ESS | Following are the key inputs used in determining the fair value of ESS: December 31, 2020 December 31, 2019 Fair value (in thousands) $ 131,750 $ 178,586 UPB of underlying loans (in thousands) $ 15,833,050 $ 19,904,571 Average servicing fee rate (in basis points) 34 34 Average ESS rate (in basis points) 19 19 Key inputs (1) Pricing spread (2) Range 4.9% – 5.3% 3.0% – 3.3% Weighted average 5.1% 3.1% Annual total prepayment speed (3) Range 9.6% – 18.3% 8.7% – 16.2% Weighted average 11.7% 11.0% Equivalent life (in years) Range 2.3 - 6.6 2.7 - 7.2 Weighted average 5.8 6.1 (1) Weighted-average inputs are based on UPB of the underlying loans. (2) Pricing spread represents a margin that is applied to a reference forward rate to develop periodic discount rates. The Company applies pricing spreads to the forward rates implied by the United States Dollar London Interbank Offered Rate (“LIBOR”)/ swap curve for purposes of discounting cash flows relating to ESS. (3) Prepayment speed is measured using Life Total Conditional Prepayment Rate (“CPR”). Equivalent life is provided for informational purposes. |
Quantitative Summary of Key Unobservable Inputs Used in Valuation of CRT Agreements | Following is a quantitative summary of key unobservable inputs used in the Company’s review and approval of broker-provided fair values for CRT Agreements: December 31, 2020 December 31, 2019 (dollars in thousands) Fair value CRT derivatives: Assets $ 58,699 $ 115,863 Liabilities $ 26,904 $ — UPB of loans in reference pools $ 13,854,426 $ 24,824,616 Key inputs (1) Discount rate Range 6.7% – 9.0% 4.7% – 5.3% Weighted average 7.3% 5.2% Voluntary prepayment speed (2) Range 20.8% – 23.5% 16.4% – 18.5% Weighted average 21.9% 17.9% Involuntary prepayment speed (3) Range (0.8)% – 1.1% 0.2% – 0.3% Weighted average (0.2)% 0.3% Remaining loss expectation (4) Range (0.6)% – 0.6% 0.1% – 0.1% Weighted average (0.3)% 0.1% (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. The negative involuntary prepayment speed at December 31, 2020, reflects the expectation for reinstatement to the reference pool of a significant portion of the loans that had triggered losses due to delinquency while under CARES act forbearance upon their projected reperformance, as contractually provided for in certain CRT Agreements. (4) Remaining loss expectation is measured as expected future contractual losses divided by the UPB of the reference loans. The negative remaining loss expectation at December 31, 2020 reflects the expectation of contractual reversals of previously incurred contractual losses due to the projected reperformance of a significant portion of the related loans in the future. |
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: December 31, 2020 December 31, 2019 Fair value (in thousands) (1) $ 72,386 $ 11,154 Key inputs (2) Pull-through rate Range 44.6% – 100% 64.6% – 100% Weighted average 86.3% 93.3% MSR fair value expressed as Servicing fee multiple Range 2.0 – 5.3 2.1 – 5.8 Weighted average 4.4 4.7 Percentage of UPB Range 0.5% – 1.9% 0.7% – 2.2% Weighted average 1.2% 1.4% (1) For purposes of this table, IRLC asset and liability positions are shown net. (2) Weighted-average inputs are based on the committed amounts. |
Summary of Key Unobservable Inputs Used in Valuation of Credit Risk Transfer Strips | Following is a quantitative summary of key unobservable inputs used in the Company’s review and approval of the adjusted broker-provided fair values used to derive the value of the CRT strips: December 31, 2020 December 31, 2019 (dollars in thousands) Carrying value CRT strips: Assets $ — $ 54,930 Liabilities $ 202,792 $ — UPB of loans in the reference pools $ 44,843,516 $ 17,119,501 Key inputs (1) Discount rate Range 6.0% – 8.4% Weighted average 8.0% 6.3% Voluntary prepayment speed (2) Range 25.0% – 30.2% Weighted average 26.2% 23.4% Involuntary prepayment speed (3) Range 0.8% – 1.7% Weighted average 1.0% 0.2% Remaining loss expectation (4) Range 0.3% – 0.6% Weighted average 0.4% 0.1% (1) Weighted average inputs are based on the UPB of the reference loans in the reference pools. (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 losses divided by the UPB of the loans in the reference pools. |
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 or liability. 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 and remaining loss expectations of the loans in the reference pools. The firm commitment to purchase CRT securities is recognized initially as a component of Net gain on loans acquired for sale; Net (loss) gain on investments Following is a quantitative summary of key unobservable inputs in the valuation of firm commitment to purchase CRT securities: December 31, 2019 (dollars in thousands) Fair value: $ 109,513 UPB of loans in the reference pools $ 38,738,396 Key inputs (1) Discount rate 6.5 % Voluntary prepayment speed (2) 14.3 % Involuntary prepayment speed (3) 0.1 % Remaining loss expectation (4) 0.1 % (1) Weighted average inputs are based on the UPB of the loans in the reference pools. (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 losses divided by the UPB of the related loans in the reference pools. |
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, 2020 2019 2018 (MSR recognized and UPB of underlying loans amounts in thousands) MSR recognized $ 1,158,475 $ 837,706 $ 356,755 UPB of underlying loans $ 103,136,121 $ 59,951,884 $ 28,923,523 Weighted average annual servicing fee rate (in basis points) 28 31 26 Key inputs (1) Pricing spread (2) Range 6.7% – 11.3% 5.6% – 9.9% 5.8% – 12.9% Weighted average 7.8% 6.1% 6.9% Prepayment speed (3) Range 7.0% – 20.9% 8.5% – 26.1% 3.2% – 35.3% Weighted average 10.0% 11.7% 9.9% Equivalent average life (in years) Range 3.5 – 9.2 3.1 – 7.7 2.3 – 11.9 Weighted average 7.4 6.8 7.6 Annual per-loan cost of servicing Range $78 – $81 $78 – $78 $77 – $79 Weighted average $80 $78 $79 (1) Weighted average inputs are based on UPB of the underlying loans. (2) The Company applies pricing spreads to the forward rates implied by the United States Dollar LIBOR/swap curve for purposes of discounting cash flows relating to MSRs. (3) Prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided for informational purposes. |
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, 2020 December 31, 2019 (Fair value, UPB of underlying loans and effect on fair value amounts in thousands) Fair value $ 1,755,236 $ 1,535,705 UPB of underlying loans $ 170,728,322 $ 131,024,381 Weighted average annual servicing fee rate (in basis points) 28 28 Weighted average note interest rate 3.6% 4.2% Key inputs (1): Pricing spread (2) Range 8.0% – 11.1% 6.8% – 9.9% Weighted average 8.0% 6.8% Effect on fair value of: 5% adverse change $(31,400) $(20,666) 10% adverse change $(61,718) $(40,783) 20% adverse change $(119,305) $(79,453) Prepayment speed (3) Range 12.4% – 28.8% 10.2% – 22.0% Weighted average 12.8% 12.1% Equivalent average life (in years) Range 2.9 – 6.8 2.4 – 6.5 Weighted average 6.5 6.3 Effect on fair value of: 5% adverse change $(48,136) $(35,768) 10% adverse change $(94,244) $(69,973) 20% adverse change $(180,820) $(134,068) Annual per-loan cost of servicing Range $78 – $121 $77 – $78 Weighted average $81 $78 Effect on fair value of: 5% adverse change $(11,846) $(9,964) 10% adverse change $(23,692) $(19,928) 20% adverse change $(47,385) $(39,856) (1) Weighted-average inputs are based on the UPB of the underlying loans. (2) The Company applies pricing spreads to the forward rates implied by the United States Dollar LIBOR/swap curve for purposes of discounting cash flows relating to MSRs. (3) Prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided for informational purposes. |
Mortgage Backed Securities (Tab
Mortgage Backed Securities (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Mortgage Backed Securities [Abstract] | |
Schedule of Investment in Mortgage Backed Securities Activity | Following is a summary of activity in the Company’s investment in MBS: Year ended December 31, 2020 2019 2018 (in thousands) Balance at beginning of year $ 2,839,633 $ 2,610,422 $ 989,461 Purchases 2,332,096 1,250,289 1,810,877 Sales (1,979,789 ) (704,178 ) — Repayments (1,042,547 ) (381,330 ) (173,862 ) Changes in fair value included in income arising from: Amortization of net purchase premiums (23,323 ) (12,853 ) (4,792 ) Valuation adjustments 87,852 77,283 (11,262 ) 64,529 64,430 (16,054 ) Balance at end of year $ 2,213,922 $ 2,839,633 $ 2,610,422 |
Schedule of Investment in Mortgage Backed Securities | Following is a summary of the Company’s investment in MBS: December 31, 2020 December 31, 2019 Agency: (1) Principal balance Unamortized net purchase premiums Accumulated valuation changes Fair value Principal balance Unamortized net purchase premiums Accumulated valuation changes Fair value (in thousands) Freddie Mac $ 1,253,755 $ 32,414 $ 24,867 $ 1,311,036 $ 809,595 $ 11,083 $ 9,862 $ 830,540 Fannie Mae 863,758 23,692 15,436 902,886 1,946,203 29,657 33,233 2,009,093 $ 2,117,513 $ 56,106 $ 40,303 $ 2,213,922 $ 2,755,798 $ 40,740 $ 43,095 $ 2,839,633 (1) All MBS are fixed-rate pass-through securities with maturities of more than ten years and pledged to secure Assets sold under agreements to repurchase |
Loans Acquired for Sale at Fa_2
Loans Acquired for Sale at Fair Value (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Mortgage Loans On Real Estate [Abstract] | |
Summary of Distribution of Company's Loans Acquired for Sale at Fair Value | Following is a summary of the distribution of the Company’s loans acquired for sale at fair value: Loan type December 31, 2020 December 31, 2019 (in thousands) Agency-eligible $ 3,057,601 $ 3,626,038 Held for sale to PLS — Government insured or guaranteed 460,414 490,383 Jumbo — 13,437 Home equity lines of credit 5,566 4,632 Commercial real estate 1,010 1,015 Repurchased pursuant to representations and warranties 27,299 12,920 $ 3,551,890 $ 4,148,425 Loans pledged to secure: Assets sold under agreements to repurchase $ 3,484,202 $ 4,070,134 Mortgage loan participation purchase and sale agreements 17,645 — $ 3,501,847 $ 4,070,134 |
Loans at Fair Value (Tables)
Loans at Fair Value (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Mortgage Loans At Fair Value [Abstract] | |
Summary of Distribution of Company's Loans at Fair Value | Following is a summary of the distribution of the Company’s loans at fair value: Loan type December 31, 2020 December 31, 2019 (in thousands) Fixed interest rate jumbo loans held in a VIE $ 143,707 $ 256,367 Distressed loans 8,027 14,426 $ 151,734 $ 270,793 Loans at fair value pledged to secure: Asset-backed financing of a VIE at fair value $ 143,707 $ 256,367 Assets sold under agreements to repurchase 3,703 12,390 $ 147,410 $ 268,757 |
Derivative and Credit Risk Tr_2
Derivative and Credit Risk Transfer Strip Assets and Liabilities (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
Summary of Derivative and Credit Risk Transfer Assets and Liabilities | Derivative and credit risk transfer assets are summarized below: December 31, 2020 December 31, 2019 (in thousands) Derivative assets $ 164,318 $ 147,388 Credit risk transfer strip assets — 54,930 $ 164,318 $ 202,318 Derivative liabilities $ 60,681 $ 6,423 Credit risk transfer strip liabilities 202,792 — $ 263,473 $ 6,423 |
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, 2020 December 31, 2019 Fair value Fair value Notional Derivative Derivative Notional Derivative Derivative Instrument amount (1) assets liabilities amount (1) assets liabilities (in thousands) Subject to master netting agreements ─ economic hedging purposes (2): Call options on interest rate futures 1,450,000 $ 3,070 $ — 2,662,500 $ 3,809 $ — Put options on interest rate futures 2,800,000 4,742 — 950,000 2,859 — Forward purchase contracts 17,563,549 72,526 17 5,883,198 7,525 3,600 Forward sale contracts 26,615,716 92 122,884 9,297,179 637 15,644 MBS put options 3,625,000 3,220 — 4,000,000 1,625 — Swaptions 3,655,000 8,505 — 2,075,000 4,347 — Swap futures 1,950,000 — — 2,700,000 — — Bond futures 66,500 — — 114,500 — — Not subject to master netting arrangements: CRT derivatives 13,854,426 58,699 26,904 24,824,616 115,863 — Interest rate lock commitments 10,588,208 72,794 408 3,199,680 11,726 572 Repurchase agreement derivatives — — 5,275 — Total derivative instruments before netting 223,648 150,213 153,666 19,816 Netting (59,330 ) (89,532 ) (6,278 ) (13,393 ) $ 164,318 $ 60,681 $ 147,388 $ 6,423 Margin deposits placed with derivatives counterparties, net $ 30,197 $ 7,114 Derivative assets pledged to secure: Assets sold under agreements to repurchase $ — $ 27,073 Notes payable 58,699 115,110 $ 58,699 $ 142,183 (1) Notional amounts provide an indication of the volume of the Company’s derivative activity. (2) All hedging derivatives are interest rate derivatives and are used as economic hedges. |
Summary of Net Derivative Assets | Following is a summary of net derivative assets. December 31, 2020 December 31, 2019 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 Subject to master netting arrangements: Call options on interest rate futures $ 3,070 $ — $ 3,070 $ 3,809 $ — $ 3,809 Put options on interest rate futures 4,742 — 4,742 2,859 — 2,859 Forward purchase contracts 72,526 — 72,526 7,525 — 7,525 Forward sale contracts 92 — 92 637 — 637 MBS put options 3,220 — 3,220 1,625 — 1,625 Swaptions 8,505 — 8,505 4,347 — 4,347 Netting — (59,330 ) (59,330 ) — (6,278 ) (6,278 ) 92,155 (59,330 ) 32,825 20,802 (6,278 ) 14,524 Not subject to master netting arrangements: CRT derivatives 58,699 — 58,699 115,863 — 115,863 Interest rate lock commitments 72,794 — 72,794 11,726 — 11,726 Repurchase agreement derivatives — — — 5,275 — 5,275 131,493 — 131,493 132,864 — 132,864 $ 223,648 $ (59,330 ) $ 164,318 $ 153,666 $ (6,278 ) $ 147,388 |
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, 2020 December 31, 2019 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) Interest rate lock commitments $ 72,794 $ — $ — $ 72,794 $ 11,726 $ — $ — $ 11,726 CRT derivatives 58,699 — — 58,699 115,863 — — 115,863 Bank of America, N.A. 15,406 — — 15,406 2,489 — — 2,489 RJ O’Brien & Associates, LLC 7,813 — — 7,813 6,668 — — 6,668 PNC Capital Markets LLC 3,138 — — 3,138 — — — — Citigroup Global Markets Inc. 2,416 — — 2,416 — — — — Deutsche Bank Securities LLC 1,602 — — 1,602 5,398 — — 5,398 Mitsubishi UFJ Sec 1,070 — — 1,070 45 — — 45 J.P. Morgan Securities LLC — — — — 1,551 — — 1,551 Other 1,380 — — 1,380 3,648 — — 3,648 $ 164,318 $ — $ — $ 164,318 $ 147,388 $ — $ — $ 147,388 |
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, 2020 December 31, 2019 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: Subject to master netting arrangements: Forward purchase contracts $ 17 $ — $ 17 $ 3,600 $ — $ 3,600 Forward sales contracts 122,884 — 122,884 15,644 — 15,644 Netting — (89,532 ) (89,532 ) — (13,393 ) (13,393 ) 122,901 (89,532 ) 33,369 19,244 (13,393 ) 5,851 Not subject to master netting arrangements CRT derivatives 26,904 — 26,904 — — — Interest rate lock commitments 408 — 408 572 — 572 150,213 (89,532 ) 60,681 19,816 (13,393 ) 6,423 Assets sold under agreements to repurchase: UPB 6,317,928 — 6,317,928 6,649,179 — 6,649,179 Unamortized debt issuance costs (8,510 ) — (8,510 ) (289 ) — (289 ) 6,309,418 — 6,309,418 6,648,890 — 6,648,890 $ 6,459,631 $ (89,532 ) $ 6,370,099 $ 6,668,706 $ (13,393 ) $ 6,655,313 |
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 qualify 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, 2020 December 31, 2019 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) CRT derivatives $ 26,904 $ — $ — $ 26,904 $ — $ — $ — $ — Interest rate lock commitments 408 — — 408 572 — — 572 Credit Suisse Securities (USA) LLC 1,059,547 (1,054,636 ) — 4,911 720,411 (719,902 ) — 509 Barclays Capital Inc. 922,959 (922,035 ) — 924 52 — — 52 Citigroup Global Markets Inc. 830,161 (830,161 ) — — 412,999 (411,933 ) — 1,066 RBC Capital Markets, L.P. 765,892 (765,892 ) — — 290,388 (290,388 ) — — Daiwa Capital Markets 728,207 (727,562 ) — 645 906,439 (906,439 ) — — Bank of America, N.A. 414,044 (414,044 ) — — 1,339,291 (1,339,291 ) — — Morgan Stanley & Co. LLC 367,493 (366,415 ) — 1,078 656,728 (656,728 ) — — J.P. Morgan Securities LLC 359,573 (357,211 ) — 2,362 1,736,829 (1,736,829 ) — — Mizuho Securities 279,321 (277,521 ) — 1,800 392,038 (391,627 ) — 411 BNP Paribas 164,414 (163,548 ) — 866 116,155 (115,733 ) — 422 Amherst Pierpont Securities LLC 153,224 (153,224 ) — — 80,309 (80,309 ) — — Goldman Sachs & Co. LLC 149,272 (144,883 ) — 4,389 — — — — Wells Fargo Securities, LLC 148,854 (140,796 ) — 8,058 — — — — Federal Home Loan Mortgage Corporation 5,883 — — 5,883 — — — — Federal National Mortgage Association — — — — 1,996 — — 1,996 Other 2,453 — — 2,453 1,395 — — 1,395 $ 6,378,609 $ (6,317,928 ) $ — $ 60,681 $ 6,655,602 $ (6,649,179 ) $ — $ 6,423 |
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 Consolidated statement of income line 2020 2019 2018 (in thousands) Interest rate lock commitments Net gain on loans acquired for sale (1) $ 61,232 $ (834 ) $ 7,356 CRT derivatives Net (loss) gain on investments $ (136,598 ) $ 70,048 $ 112,275 Repurchase agreement derivatives Interest expense $ 53 $ 24 $ 191 Hedged item: Interest rate lock commitments and loans acquired for sale Net gain on loans acquired for sale $ (459,309 ) $ (91,084 ) $ 25,334 Mortgage servicing rights Net loan servicing fees $ 601,743 $ 80,622 $ (35,550 ) Fixed-rate and prepayment sensitive assets and LIBOR- indexed repurchase agreements Net (loss) gain on investments $ 32,932 $ 28,785 $ (4,152 ) (1) Represents net increase in fair value of IRLCs from the beginning to the end of the reporting period. Amounts recognized at the date of commitment and fair value changes recognized during the period until purchase of the underlying loan are shown in the rollforward of IRLCs for the period in Note 7 – Fair Value - Financial Statement Items Measured at Fair Value on a Recurring Basis . |
Summary of Investment In CRT Strips | Following is a summary of the Company’s investment in CRT strips: Credit risk transfer strips contractually restricted from sale (1) December 31, 2020 December 31, 2019 (in thousands) Assets Through June 13, 2020 $ — $ 17,629 To maturity — 37,301 $ — $ 54,930 Liabilities Through December 4, 2021 $ 168,539 $ — To maturity 34,253 — $ 202,792 $ — (1) The terms of the agreement underlying the CRT securities restricts sales of the securities, other than sales under agreements to repurchase, without the approval of Fannie Mae, for specified periods from the date of issuance. |
Mortgage Servicing Rights (Tabl
Mortgage Servicing Rights (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Text Block [Abstract] | |
Summary of MSRs Carried at Fair Value | Following is a summary of MSRs: Year ended December 31, 2020 2019 2018 (in thousands) Balance at beginning of year $ 1,535,705 $ 1,162,369 $ 91,459 Transfer of mortgage servicing rights from mortgage servicing rights carried at lower of amortized cost or fair value pursuant to a change in accounting principle — — 773,035 Balance after reclassification 1,535,705 1,162,369 864,494 Sales (7 ) (17 ) (100 ) MSRs resulting from loan sales 1,158,475 837,706 356,755 Changes in fair value: Due to changes in valuation inputs used in valuation model (1) (706,107 ) (262,031 ) 60,772 Other changes in fair value (2) (232,830 ) (202,322 ) (119,552 ) (938,937 ) (464,353 ) (58,780 ) Balance at end of year $ 1,755,236 $ 1,535,705 $ 1,162,369 December 31, 2020 December 31, 2019 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and risk transfer and mortgage servicing assets $ 1,742,905 $ 1,510,651 (1) Primarily reflects changes in pricing spread (discount rate), prepayment speed, and servicing cost inputs. (2) Represents changes due to realization of expected cash flows. |
Summary of Net Loan Servicing Fees Relating to MSRs | Servicing fees relating to MSRs are recorded in Net loan servicing fees - from nonaffiliates Year ended December 31, 2020 2019 2018 (in thousands) Contractually-specified servicing fees $ 406,060 $ 295,390 $ 204,663 Ancillary and other fees: Late charges 1,498 1,658 974 Other 54,959 22,441 7,088 $ 462,517 $ 319,489 $ 212,725 |
Assets Sold Under Agreements _2
Assets Sold Under Agreements to Repurchase (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020 2019 2018 (dollars in thousands) Weighted average interest rate (1) 1.62 % 3.25 % 3.25 % Average balance $ 5,508,147 $ 5,600,469 $ 3,901,772 Total interest expense (2) $ 102,131 $ 178,211 $ 115,383 Maximum daily amount outstanding $ 10,433,609 $ 8,577,065 $ 6,665,118 (1) Excludes the effect of amortization of net debt issuance costs of $12.9 million for the year ended December 31, 2020 and net issuance premiums of $4.0 million and $11.7 million for the years ended December 31, 2019 and 2018, respectively. (2) The Company’s interest expense relating to assets sold under agreements to repurchase for the years ended December 31, 2019 and 2018 includes recognition of incentives it received for financing certain of its loans acquired for sale satisfying certain consumer debt relief characteristics under a master repurchase agreement. During the years ended December 31, 2019 and 2018, the Company recognized $10.8 million and $19.7 million, respectively, in such incentives as a reduction of interest expense. The master repurchase agreement expired on August 21, 2019. December 31, 2020 December 31, 2019 (dollars in thousands) Carrying value: Unpaid principal balance $ 6,317,928 $ 6,649,179 Unamortized debt issuance costs, net (8,510 ) (289 ) $ 6,309,418 $ 6,648,890 Weighted average interest rate 1.36 % 2.85 % Available borrowing capacity (1): Committed $ 483,767 $ — Uncommitted 4,151,905 2,278,264 $ 4,635,672 $ 2,278,264 Margin deposits placed with counterparties included in Other $ 141,808 $ 91,871 Assets securing agreements to repurchase: Mortgage-backed securities $ 2,213,922 $ 2,839,633 Loans acquired for sale at fair value $ 3,484,202 $ 4,070,134 Loans at fair value $ 3,703 $ 12,390 CRT strips $ — $ 27,073 MSRs (2) $ 1,166,090 $ 1,354,907 Real estate acquired in settlement of loans $ 15,365 $ 40,938 Deposits securing CRT arrangements $ 2,799,263 $ 445,194 (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) Beneficial interests in Fannie Mae MSRs are pledged as collateral under both Assets sold under agreements to repurchase. |
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, 2020 Unpaid principal balance (in thousands) Within 30 days $ 2,335,100 Over 30 to 90 days 2,425,275 Over 90 days to 180 days 1,376,521 Over 180 days to one year 181,032 $ 6,317,928 Weighted average maturity (in months) 2.2 |
Summary of Assets Sold under Agreements to Repurchase by Counterparty | Securities Counterparty Amount at risk Weighted average maturity (in thousands) Citibank, N.A. $ 112,628 June 4, 2021 Morgan Stanley & Co. LLC $ 60,325 June 4, 2021 Goldman Sachs & Co. LLC $ 59,654 June 4, 2021 Barclays Capital Inc. $ 5,598 January 9, 2021 Bank of America, N.A. $ 3,939 January 22, 2021 Daiwa Capital Markets America Inc. $ 22,714 January 15, 2021 JPMorgan Chase & Co. $ 13,672 January 4, 2021 Mizuho Securities $ 13,041 January 11, 2021 Amherst Pierpont Securities LLC $ 7,161 January 15, 2021 |
Loans RE and MSRs Sold Under Agreements to Repurchase [Member] | |
Summary of Assets Sold under Agreements to Repurchase by Counterparty | Loans, REO and MSRs Counterparty Amount Weighted average maturity Facility maturity (in thousands) Citibank, N.A. $ 31,938 February 1, 2021 August 3, 2021 Credit Suisse First Boston Mortgage Capital LLC $ 88,921 March 22, 2021 April 23, 2021 Morgan Stanley & Co. LLC $ 15,395 March 21, 2021 November 2, 2022 RBC Capital Markets, L.P. $ 55,831 April 22, 2021 November 10, 2021 Barclays Capital Inc. $ 28,319 March 26, 2021 November 3, 2022 Bank of America, N.A. $ 21,807 February 1, 2021 March 11, 2021 JPMorgan Chase & Co. $ 6,077 January 29, 2021 April 7, 2021 BNP Paribas $ 11,197 March 23, 2021 July 30, 2021 Wells Fargo Securities, LLC $ 9,996 March 21, 2021 October 6, 2022 |
Mortgage Loan Participation P_2
Mortgage Loan Participation Purchase and Sale Agreements (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020 2019 2018 (dollars in thousands) Weighted average interest rate (1) 1.63 % 3.53 % 3.42 % Average balance $ 44,432 $ 40,036 $ 64,512 Total interest expense $ 902 $ 1,570 $ 2,422 Maximum daily amount outstanding $ 96,570 $ 207,065 $ 287,862 (1) Excludes the effect of amortization of debt issuance costs of $176,000, $158,000 and $217,000 for the years ended December 31, 2020, 2019 and 2018, respectively. December 31, 2020 (dollars in thousands) Carrying value: Amount outstanding $ 16,851 Unamortized debt issuance costs — $ 16,851 Weighted average interest rate 1.39 % Loans acquired for sale pledged to secure mortgage loan participation purchase and sale agreements $ 17,645 |
Notes Payable Secured By Cred_2
Notes Payable Secured By Credit Risk Transfer and Mortgage Servicing Assets (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Debt Disclosure [Abstract] | |
Summary of Term Note Issued to Qualified Institutional Buyers | Following is a summary of the secured Term Notes issued: Maturity date (2) Term Notes Issuance date Issued Unpaid principal balance Annual interest rate spread (1) Stated Optional extension (in thousands) 2020 2R December 22, 2020 $ 500,000 $ 500,000 3.81 % December 28, 2022 — 2020 1R February 14, 2020 $ 350,000 $ 190,905 2.35 % March 1, 2023 February 27, 2025 2019 3R October 16, 2019 $ 375,000 185,551 2.70 % October 27, 2022 October 29, 2024 2019 2R June 11, 2019 $ 638,000 436,473 2.75 % May 29, 2023 May 29, 2025 2019 1R March 29, 2019 $ 295,700 167,090 2.00 % March 29, 2022 March 27, 2024 $ 1,480,019 (1) Spread over one-month LIBOR. (2) The indentures relating to these issuances provide the Company with the option of extending the maturity dates of the Term Notes under the conditions specified in respective agreements. |
Summary of Financial Information Relating to Note Payable | Following is a summary of financial information relating to the notes payable: Year ended December 31, 2020 2019 2018 (dollars in thousands) Weighted average interest rate (1) 3.19 % 4.70 % 4.68 % Average balance $ 1,771,370 $ 1,101,501 $ 300,035 Total interest expense $ 59,261 $ 53,968 $ 14,623 Maximum daily amount outstanding $ 2,032,665 $ 1,742,227 $ 450,000 (1) Excludes the effect of amortization of debt issuance costs of $2.7 million, $2.2 million and $681,000 for the years ended December 31, 2020, 2019 and 2018, respectively. December 31, 2020 December 31, 2019 (dollars in thousands) Carrying value: Amount outstanding $ 1,930,018 $ 1,702,262 Unamortized debt issuance costs (5,019 ) (5,967 ) $ 1,924,999 $ 1,696,295 Weighted average interest rate 2.99 % 4.30 % Assets securing notes payable: MSRs (1) $ 1,742,905 $ 1,510,651 CRT Agreements: Deposits securing CRT arrangements $ 2,799,263 $ 1,524,590 Derivative assets $ 58,699 $ 115,110 (1) Beneficial interests in Freddie Mac and Fannie Mae MSRs are pledged as collateral for Notes payable secured by credit risk transfer and mortgage servicing assets. |
Exchangeable Notes (Tables)
Exchangeable Notes (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Text Block [Abstract] | |
Summary of Financial Information Relating to Exchangeable Notes | Following is financial information relating to the Exchangeable Notes: Year ended December 31, 2020 2019 2018 (in thousands) Average balance $ 269,247 $ 279,207 $ 250,000 Total interest expense $ 18,847 $ 17,037 $ 14,601 December 31, 2020 December 31, 2019 (in thousands) Carrying value: UPB $ 210,000 $ 460,000 Unamortized debt issuance costs and conversion option (13,204 ) (16,494 ) $ 196,796 $ 443,506 |
Asset-Backed Financing of a V_2
Asset-Backed Financing of a Variable Interest Entity at Fair Value (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Text Block [Abstract] | |
Summary of Financial Information Relating to Asset-Backed Financing of a VIE at Fair Value | Following is a summary of financial information relating to the asset-backed financing of a VIE at fair value described in Note 6 — Variable Interest Entities-Jumbo Loan Financing Year ended December 31, 2020 2019 2018 (dollars in thousands) Average balance $ 203,795 $ 267,539 $ 288,244 Total interest expense $ 10,971 $ 11,324 $ 10,821 Weighted average interest rate 3.30 % 3.46 % 3.55 % (1) Excludes the effect of debt issuance costs of $4.2 million, $2.1 million and $577,000, for the year ended December 31, 2020, 2019 and 2018, respectively. December 31, 2020 December 31, 2019 (dollars in thousands) Fair value $ 134,726 $ 243,360 UPB $ 131,835 $ 239,169 Weighted average interest rate 3.56 % 3.51 % |
Liability for Losses Under Re_2
Liability for Losses Under Representations and Warranties (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Liability For Representations And Warranties [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, 2020 2019 2018 (in thousands) Balance, beginning of year $ 7,614 $ 7,514 $ 8,678 Provision for losses: Pursuant to loan sales 19,316 3,778 2,531 Reduction in liability due to change in estimate (4,457 ) (3,550 ) (3,707 ) Losses incurred, net (580 ) (128 ) 12 Balance, end of year $ 21,893 $ 7,614 $ 7,514 UPB of loans subject to representations and warranties at end of year $ 163,592,788 $ 122,163,186 $ 90,427,100 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Commitments And Contingencies Disclosure [Abstract] | |
Company's Outstanding Contractual Commitments | The following table summarizes the Company’s outstanding contractual commitments: December 31, 2020 (in thousands) Commitments to purchase loans acquired for sale $ 10,588,208 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Equity [Abstract] | |
Schedule of Preferred Shares of Beneficial Interest | Preferred shares of beneficial interest are summarized below: Preferred Dividends per share, year ended December 31, Shared Series Description (1) Number of shares Liquidation preference Issuance discount Carrying value 2020 2019 2018 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 $ 2.03 $ 2.03 B 8.00% Issued July 2017 7,800 195,000 6,465 188,535 $ 2.00 $ 2.00 $ 2.00 12,400 $ 310,000 $ 10,293 $ 299,707 (1) Par value is $0.01 per share. |
Summary of Underwritten Offerings of Common Shares | During 2019, the Company completed the following underwritten offerings of common shares: Year ended December 31, 2019 (in thousands) Number of common shares issued 33,527 Gross proceeds $ 719,777 Net proceeds $ 710,752 |
Summary of Activities under ATM Equity Offering Program | Following is a summary of the activities under the ATM equity offering program: Year ended December 31, 2020 2019 (in thousands) Number of common shares issued 241 5,463 Gross proceeds $ 5,654 $ 119,905 Net proceeds $ 5,597 $ 118,705 |
Summary of Share Repurchase Activity | The following table summarizes the Company’s share repurchase activity: Year ended December 31, Cumulative 2020 2019 2018 total (1) (in thousands) Common shares repurchased 2,767 — 671 17,498 Cost of common shares repurchased $ 37,267 $ — $ 10,719 $ 253,892 (1) Amounts represent the share repurchase program total from its inception in August 2015 through December 31, 2020. |
Net Gain on Loans Acquired fo_2
Net Gain on Loans Acquired for Sale (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Text Block [Abstract] | |
Schedule of Net Gain on Loans Acquired for Sale | Net gain on loans acquired for sale is summarized below: Year ended December 31, 2020 2019 2018 (in thousands) From nonaffiliates: Cash loss: Loans $ (326,214 ) $ (687,317 ) $ (363,271 ) Hedging activities (504,506 ) (88,633 ) 9,172 (830,720 ) (775,950 ) (354,099 ) Non-cash gain: Recognition of fair value of firm commitment to purchase CRT securities (38,161 ) 99,305 30,595 Receipt of MSRs in mortgage loan sale transactions 1,158,475 837,706 356,755 Provision for losses relating to representations and warranties provided in mortgage loan sales: Pursuant to loans sales (19,316 ) (3,778 ) (2,531 ) Reduction of liability due to change in estimate 4,457 3,550 3,707 (14,859 ) (228 ) 1,176 Change in fair value of loans and derivatives held at end of year: IRLCs 61,232 (834 ) 7,356 Loans (12,279 ) (1,765 ) (9,685 ) Hedging derivatives 45,197 (2,451 ) 16,162 94,150 (5,050 ) 13,833 1,199,605 931,733 402,359 Total from nonaffiliates 368,885 155,783 48,260 From PFSI—cash gain 11,037 14,381 10,925 $ 379,922 $ 170,164 $ 59,185 |
Net (Loss) Gain on Investments
Net (Loss) Gain on Investments (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Investments Debt And Equity Securities [Abstract] | |
Summary of Net (Loss) Gain on Investments | Net (loss) gain on investments is summarized below: Year ended December 31, 2020 2019 2018 (in thousands) From nonaffiliates: Mortgage-backed securities $ 87,852 $ 77,283 $ (11,262 ) Loans at fair value: Held in a VIE (6,617 ) 7,883 (8,499 ) Distressed (837 ) (7,169 ) (15,197 ) CRT arrangements (145,938 ) 110,676 92,943 Firm commitment to purchase CRT securities (121,067 ) 60,943 7,399 Asset-backed financing of a VIE at fair value 5,519 (7,553 ) 9,610 Hedging derivatives 32,932 28,785 (4,152 ) (148,156 ) 270,848 70,842 From PFSI—ESS (22,729 ) (7,530 ) 11,084 $ (170,885 ) $ 263,318 $ 81,926 |
Net Interest Income (Tables)
Net Interest Income (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Banking And Thrift Interest [Abstract] | |
Summary of Net Interest Income | Net interest income is summarized below: Year ended December 31, 2020 2019 2018 (in thousands) Interest income: From nonaffiliates: Cash and short-term investments $ 3,804 $ 4,559 $ 852 Mortgage-backed securities 59,461 78,450 55,487 Loans acquired for sale at fair value 103,221 121,387 75,610 Loans at fair value: Held in a VIE 10,609 11,734 11,813 Distressed 493 3,848 21,666 Deposits securing CRT arrangements 7,012 34,229 15,441 Placement fees relating to custodial funds 28,804 52,587 26,065 Other 313 800 700 213,717 307,594 207,634 From PFSI—ESS 8,418 10,291 15,138 222,135 317,885 222,772 Interest expense: To nonaffiliates: Assets sold under agreements to repurchase (1) 102,131 178,211 115,383 Mortgage loan participation purchase and sale agreements 902 1,570 2,422 Notes payable secured by credit risk transfer and mortgage servicing assets 59,261 53,968 14,623 Exchangeable Notes 18,847 17,037 14,601 Asset-backed financings of a VIE at fair value 10,971 11,324 10,821 Interest shortfall on repayments of loans serviced for Agency securitizations 71,516 25,776 7,324 Interest on loan impound deposits 3,817 3,258 2,535 267,445 291,144 167,709 To PFSI—Assets sold under agreement to repurchase 3,325 6,302 7,462 270,770 297,446 175,171 Net interest (expense) income $ (48,635 ) $ 20,439 $ 47,601 (1) In 2017, the Company entered into a master repurchase agreement that provides the Company with incentives to finance loans approved for satisfying certain consumer relief characteristics as provided in the agreement. During the years ended December 31, 2019 and 2018, the Company included $10.8 million and $19.7 million, respectively, of such incentives as a reduction of Interest expense . The master repurchase agreement expired on August 21, 2019. |
Share-Based Compensation Plans
Share-Based Compensation Plans (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020 2019 2018 (in thousands) Grants: Restricted share units 92 96 129 Performance share units 112 116 116 Total share units granted 204 212 245 Grant date fair value: Restricted share units $ 1,978 $ 1,978 $ 2,281 Performance share units 2,425 2,380 1,542 Total grant date value of share units $ 4,403 $ 4,358 $ 3,823 Vestings: Restricted share units 129 227 261 Performance share units (1) 143 118 27 Total share units vested 272 345 288 Forfeitures: Restricted share units 4 — 2 Performance share units — 1 — Total share units forfeited 4 1 2 Compensation expense relating to share-based grants $ 2,294 $ 5,530 $ 5,318 (1) The actual number of performance-based RSUs vested during the year ended December 31, 2020 was 196,000 common shares, which is approximately 137% of the 143,000 originally granted performance-based RSUs, due to the Company exceeding the established performance targets. |
Summary of Restricted Share Units and Performance Share Units Expected to Vest | December 31, 2020 Restricted share units Performance share units Shares expected to vest: Number of units (in thousands) 188 204 Grant date average fair value per unit $ 20.49 $ 19.74 |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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 2020 75 % 25 % 0 % 2019 66 % 0 % 34 % 2018 49 % 0 % 51 % |
Summary of Company's (Benefit from) Provision for Income Taxes | The following table details the Company’s (benefit from) provision for income taxes which relates primarily to the TRS for the years presented: Year ended December 31, 2020 2019 2018 (in thousands) Current expense (benefit): Federal $ — $ (120 ) $ 19 State 12 12 6 Total current (benefit) expense 12 (108 ) 25 Deferred expense (benefit): Federal 20,440 (39,592 ) 7,587 State 6,905 3,984 (2,422 ) Total deferred expense (benefit) 27,345 (35,608 ) 5,165 Total provision for (benefit from) income taxes $ 27,357 $ (35,716 ) $ 5,190 |
Reconciliation of Company's (Benefit from) Provision for Income Taxes | The following table is a reconciliation of the Company’s (benefit from) provision for income taxes at statutory rates to the (benefit from) provision for income taxes at the Company’s effective rate for the years presented: Year ended December 31, 2020 2019 2018 Amount Rate Amount Rate Amount Rate (dollars in thousands) Federal income tax expense at statutory tax rate $ 16,743 21.0 % $ 40,035 21.0 % $ 33,177 21.0 % Effect of non-taxable REIT income 15,076 18.9 % (79,467 ) (41.7 )% (26,647 ) (16.9 )% State income taxes, net of federal benefit 5,370 6.7 % (7,417 ) (3.9 )% (2,044 ) (1.3 )% Convertible debt permanent adjustment 3,446 4.3 % — (— )% — (— )% Valuation allowance (13,502 ) (16.9 )% 13,612 7 % — 0 % Other 224 0.3 % (2,479 ) (1.2 )% 704 0.4 % Provision for (benefit from) income taxes $ 27,357 34.3 % $ (35,716 ) (18.8 )% $ 5,190 3.2 % |
Components of (Benefit from) Provision for Deferred Income Taxes | The Company’s components of the (benefit from) provision for deferred income taxes are as follows: Year ended December 31, 2020 2019 2018 (in thousands) Real estate valuation loss $ 437 $ 1,140 $ 1,565 Mortgage servicing rights 27,179 (212 ) 4,797 Net operating loss carryforward 31,622 (56,339 ) (1,109 ) Liability for losses under representations and warranties (3,486 ) 111 405 Excess interest expense disallowance (15,749 ) 4,667 234 Other 844 1,413 (727 ) Valuation allowance (13,502 ) 13,612 — Total provision for (benefit from) deferred income taxes $ 27,345 $ (35,608 ) $ 5,165 |
Components of Income Taxes Payable | The components of income taxes payable are as follows: December 31, 2020 December 31, 2019 (in thousands) Taxes currently receivable $ (5,859 ) $ (259 ) Deferred income taxes payable 29,422 2,078 Income taxes payable $ 23,563 $ 1,819 |
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, 2020 December 31, 2019 (in thousands) Deferred income tax assets: Net operating loss carryforward $ 65,615 $ 97,236 Excess interest expense disallowance 30,983 15,234 REO valuation loss 1,001 1,438 Liability for losses under representations and warranties 5,386 1,900 Valuation allowance (110 ) (13,612 ) Other (682 ) 162 Gross deferred tax assets 102,193 102,358 Deferred income tax liabilities: Mortgage servicing rights 131,615 104,436 Other — — Gross deferred tax liabilities 131,615 104,436 Net deferred income tax liability $ 29,422 $ 2,078 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020 2019 2018 (in thousands except per share amounts) Net income $ 52,373 $ 226,357 $ 152,798 Dividends on preferred shares (24,938 ) (24,938 ) (24,938 ) Effect of participating securities—share-based compensation awards (287 ) (566 ) (750 ) Net income attributable to common shareholders 27,148 200,853 127,110 Interest on 2020 Notes, net of income taxes — 11,827 10,637 Diluted net income attributable to common shareholders $ 27,148 $ 212,680 $ 137,747 Weighted average basic shares outstanding 99,373 78,990 60,898 Dilutive securities: Shares issuable under share-based compensation plan — 254 — Shares issuable pursuant to exchange of the 2020 Notes — 8,467 8,467 Diluted weighted average number of shares outstanding 99,373 87,711 69,365 Basic earnings per share $ 0.27 $ 2.54 $ 2.09 Diluted earnings per share $ 0.27 $ 2.42 $ 1.99 |
Summary of Potentially Dilutive Shares Excluded from Computation of Diluted Earnings Per Share | 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, 2020 2019 2018 (in thousands) Shares issuable under share-based compensation plan 172 152 252 Shares issuable pursuant to exchange of the 2020 Notes 2,529 — — |
Segments (Tables)
Segments (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Segment Reporting [Abstract] | |
Financial Highlights by Operating Segment | Financial highlights by operating segment are summarized below: Credit Interest rate sensitive sensitive Correspondent Year ended December 31, 2020 strategies strategies production Corporate Total (in thousands) Net investment income: Net (loss) gain on loans acquired for sale (1) $ (43,813 ) $ — $ 423,735 $ — $ 379,922 Net (loss) gain on investments (237,049 ) 66,164 — — (170,885 ) Net loan servicing fees — 153,696 — — 153,696 Net interest (expense) income : Interest income 8,902 108,036 102,779 2,418 222,135 Interest expense 39,237 153,338 76,892 1,303 270,770 (30,335 ) (45,302 ) 25,887 1,115 (48,635 ) Other 5,857 — 147,600 1,796 155,253 (305,340 ) 174,558 597,222 2,911 469,351 Expenses: Loan fulfillment and servicing fees payable to PFSI 807 66,374 222,200 — 289,381 Management fees — — — 34,538 34,538 Other 10,996 2,487 30,383 21,836 65,702 11,803 68,861 252,583 56,374 389,621 Pretax (loss) income $ (317,143 ) $ 105,697 $ 344,639 $ (53,463 ) $ 79,730 Total assets at year end $ 2,920,558 $ 4,593,127 $ 3,781,010 $ 197,316 $ 11,492,011 Credit Interest rate sensitive sensitive Correspondent Year ended December 31, 2019 strategies strategies production Corporate Total (in thousands) Net investment income: Net gain on loans acquired for sale (1) $ 51,014 $ — $ 119,150 $ — $ 170,164 Net gain on investments 164,413 98,905 — — 263,318 Net loan servicing fees — (58,918 ) — — (58,918 ) Net interest (expense) income: Interest income 39,343 155,176 120,974 2,392 317,885 Interest expense 67,412 144,513 85,521 — 297,446 (28,069 ) 10,663 35,453 2,392 20,439 Other 4,507 — 88,159 1,146 93,812 191,865 50,650 242,762 3,538 488,815 Expenses: Loan fulfillment and servicing fees payable to PFSI 2,213 46,584 160,610 — 209,407 Management fees — — — 36,492 36,492 Other 7,476 2,918 17,559 24,322 52,275 9,689 49,502 178,169 60,814 298,174 Pretax income (loss) $ 182,176 $ 1,148 $ 64,593 $ (57,276 ) $ 190,641 Total assets at year end $ 2,364,749 $ 4,993,840 $ 4,216,806 $ 195,956 $ 11,771,351 (1) During the quarter ended March 31, 2019, the chief operating decision maker began attributing a portion of the initial fair value the Company recognizes relating to its firm commitment to purchase CRT securities upon the sale of loans to the correspondent production segment in recognition of pricing changes in the correspondent production segment. Accordingly, the Company allocated $5.7 million and $49.0 million of the initial firm commitment recognized in Net gain on loans acquired for sale in the correspondent production segment for the year ended December 31, 2020 and December 31, 2019, respectively. Credit Interest rate sensitive sensitive Correspondent Year ended December 31, 2018 strategies strategies production Corporate Total (in thousands) Net investment income: Net gain on loans acquired for sale $ 30,740 $ — $ 28,445 $ — $ 59,185 Net gain (loss) on investments 84,943 (3,017 ) — — 81,926 Net loan servicing fees 29 120,558 — — 120,587 Net interest (expense) income: Interest income 37,786 108,366 75,068 1,552 222,772 Interest expense 41,523 92,294 41,354 — 175,171 (3,737 ) 16,072 33,714 1,552 47,601 Other (1,704 ) — 43,447 25 41,768 110,271 133,613 105,606 1,577 351,067 Expenses: Loan fulfillment and servicing fees payable to PFSI 7,561 34,484 81,350 — 123,395 Management fees — — — 24,465 24,465 Other 15,459 697 7,784 21,279 45,219 23,020 35,181 89,134 45,744 193,079 Pretax income (loss) $ 87,251 $ 98,432 $ 16,472 $ (44,167 ) $ 157,988 Total assets at year end $ 1,602,776 $ 4,373,488 $ 1,698,656 $ 138,441 $ 7,813,361 |
Supplemental Cash Flow Inform_2
Supplemental Cash Flow Information (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Supplemental Cash Flow Elements [Abstract] | |
Summary of Supplemental Cash Flow Information | Year ended December 31, 2020 2019 2018 (in thousands) Payments: Income taxes, net $ 5,613 $ (1,009 ) $ 1,333 Interest $ 290,225 $ 298,591 $ 170,435 Cumulative effect of accumulated deficit of conversion to fair value accounting for mortgage servicing rights $ — $ — $ (14,361 ) Non-cash investing activities: Transfer of loans and advances to real estate acquired in settlement of loans $ 1,166 $ 23,672 $ 32,578 Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment $ — $ — $ 5,183 Transfer from real estate held for investment to real estate acquired in settlement of loans $ — $ 30,432 $ 3,401 Receipt of mortgage servicing rights as proceeds from sales of loans at fair value $ 1,158,475 $ 837,706 $ 356,755 Receipt of excess servicing spread pursuant to recapture agreement with PennyMac Financial Services, Inc. $ 2,093 $ 1,757 $ 2,688 Capitalization of servicing advances pursuant to mortgage loan modifications $ — $ 1,340 $ 5,481 Transfer of firm commitment to purchase CRT securities to investment securities $ 178,501 $ 56,804 $ — Non-cash financing activities: Dividends declared, not paid $ 46,093 $ 47,193 $ 28,816 |
Regulatory Capital and Liquid_2
Regulatory Capital and Liquidity Requirements (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Mortgage Banking [Abstract] | |
Summary of Capital and Liquidity Amounts and Requirements by Agencies | The 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, 2020 $ 1,101,318 $ 438,530 16 % 6 % $ 101,116 $ 59,158 December 31, 2019 $ 627,144 $ 341,009 8 % 6 % $ 128,806 $ 44,970 (1) Calculated in accordance with the Agencies’ requirements. |
Parent Company Information (Tab
Parent Company Information (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020 Company consolidated Debt covenant requirement Calculated balance (1) (in thousands) PennyMac Mortgage Investment Trust $ 1,250,000 $ 2,296,859 Operating Partnership $ 1,250,000 $ 2,313,725 PennyMac Holdings $ 250,000 $ 710,723 PennyMac Corp $ 300,000 $ 1,082,973 (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, 2020 2019 (in thousands) Assets Short-term investment $ 6,482 $ 2,819 Investments in subsidiaries 2,368,592 2,501,015 Due from subsidiaries 463 469 Other assets 571 595 Total assets $ 2,376,108 $ 2,504,898 Liabilities Dividends payable $ 46,093 $ 47,193 Capital notes due to subsidiaries 44,380 — Accounts payable and accrued liabilities 298 1,564 Due to affiliates 373 399 Due to subsidiaries 27 1 Total liabilities 91,171 49,157 Shareholders' equity 2,284,937 2,455,741 Total liabilities and shareholders' equity $ 2,376,108 $ 2,504,898 PENNYMAC MORTGAGE INVESTMENT TRUST CONDENSED STATEMENTS OF INCOME Year ended December 31, 2020 2019 2018 (in thousands) Income Dividends from subsidiaries $ 176,216 $ 165,451 $ 221,469 Intercompany interest 140 34 8 Other 475 2,389 1,250 Total income 176,831 167,874 222,727 Expenses Intercompany interest 1,509 27 414 Other 62 3 — Total expenses 1,571 30 414 Income before provision for (benefit from) income taxes and (distribution in excess of earnings) equity in undistributed earnings in subsidiaries 175,260 167,844 222,313 Provision for (benefit from) income taxes 13 (109 ) 24 Income before equity in undistributed earnings of subsidiaries 175,247 167,953 222,289 (Distributions of earnings in excess of current year earnings of subsidiaries) increase in undistributed earnings of subsidiaries (139,620 ) 60,937 (71,180 ) Net income $ 35,627 $ 228,890 $ 151,109 PENNYMAC MORTGAGE INVESTMENT TRUST CONDENSED STATEMENTS OF CASH FLOWS Year ended December 31, 2020 2019 2018 (in thousands) Cash flows from operating activities: Net income $ 35,627 $ 228,890 $ 151,109 (Distributions of earnings in excess of current year earnings of subsidiaries) increase in undistributed earnings of subsidiaries 139,620 (60,937 ) 71,180 Decrease in due from affiliates 697 261 490 Decrease (increase) in other assets 24 52 (58 ) Decrease in accounts payable and accrued liabilities (1,266 ) (697 ) (3,320 ) Increase in due from affiliates (26 ) (489 ) (185 ) Increase in due to affiliates 27 33 84 Net cash provided by operating activities 174,703 167,113 219,300 Cash flows from investing activities: Increase in investment in subsidiaries (5,596 ) (825,920 ) — Net (increase) decrease in short-term investments (3,663 ) (2,105 ) 1,159 Net cash (used in) provided by investing activities (9,259 ) (828,025 ) 1,159 Cash flows from financing activities: Net increase (decrease) in intercompany unsecured note payable 44,380 — (69,200 ) Proceeds from issuance of common shares 5,654 839,682 — Payment of issuance costs related to common shares (57 ) (10,225 ) — Payment of withholding taxes related to share-based compensation (1,629 ) (2,600 ) — Payment of dividends to preferred shareholders (24,945 ) (24,944 ) (24,944 ) Payment of dividends to common shareholders (151,580 ) (141,001 ) (115,596 ) Repurchases of common shares (37,267 ) — (10,719 ) Net cash (used in) provided by financing activities (165,444 ) 660,912 (220,459 ) Net change in cash — — — Cash at beginning of year — — — Cash at end of year $ — $ — $ — Non-cash investing activities: Investment in subsidiary pursuant to share based compensation plan $ 2,289 $ 5,529 $ 5,314 Non-cash financing activities: Investment in subsidiary pursuant to share based compensation plan $ 2,289 $ 5,529 $ 5,314 Dividends payable $ 46,093 $ 47,193 $ 28,816 |
Organization - Additional Infor
Organization - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2020Segment | |
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) | Nov. 04, 2019USD ($) | Sep. 30, 2013USD ($) | Dec. 31, 2020USD ($) | Apr. 30, 2013USD ($) |
Mortgage Loans on Real Estate [Line Items] | ||||
Cost-basis investments | $ 0 | |||
Equity method investments | $ 0 | |||
Loan delinquent period | 90 days | |||
Deciding percentage of class of MSRs | more than 4.5%. | |||
Interest rate | 4.50% | |||
Income tax positions likely to be recognized | 50.00% | |||
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 loans with initial interest rates of less than or equal to 4.5%; and originated MSRs backed by loans with initial interest rates of more than 4.5%. | |||
Jumbo Mortgage Loan Financing [Member] | Variable Interest Entities [Member] | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Certificates issued | $ 537,000,000 | |||
Weighted cost | 3.90% | |||
Exchangeable Senior Notes due May 1, 2020 [Member] | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Issuance of debt through private offering | $ 210,000,000 | $ 250,000,000 | ||
Exchangeable Senior Notes due November 1, 2024 [Member] | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Issuance of debt through private offering | $ 210,000,000 | |||
Principal amount of the exchangeable notes | $ 1,000 | |||
Exchangeable Senior Notes due November 1, 2024 [Member] | Initial Exchangeable Rate [Member] | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Number of shares exchanged per exchangeable notes | 40.1010 |
Transactions with Related Par_3
Transactions with Related Parties - Correspondent Production Activities - Additional Information (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | 12 Months Ended |
Jun. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2020 | |
Maximum [Member] | |||
Mortgage Loans On Real Estate Schedule [Table] | |||
Interest income and sourcing fee | 0.035% | ||
Minimum [Member] | |||
Mortgage Loans On Real Estate Schedule [Table] | |||
Interest income and sourcing fee | 0.02% | ||
PennyMac Loan Services, LLC [Member] | |||
Mortgage Loans On Real Estate Schedule [Table] | |||
Servicing agreement expiration date | Jun. 30, 2025 | ||
Service agreement maturity renewal term | 18 months | ||
PennyMac Loan Services, LLC [Member] | Fannie Mae Or Freddie Mac Mortgage Loans [Member] | Maximum [Member] | |||
Mortgage Loans On Real Estate Schedule [Table] | |||
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 Schedule [Table] | |||
Basis point for monthly fulfillment fee | 0.50% | ||
2020 MBS Agreement [Member] | |||
Mortgage Loans On Real Estate Schedule [Table] | |||
Services agreement effective date | Jul. 1, 2020 | ||
Servicing agreement expiration date | Jun. 30, 2025 | ||
Service agreement maturity renewal term | 18 months | ||
2020 MBS Agreement [Member] | Maximum [Member] | |||
Mortgage Loans On Real Estate Schedule [Table] | |||
Interest income and sourcing fee | 0.02% | ||
Mortgage loans commintments multiplier | $ 585 | ||
Mortgage adjusted loan commitments | 16,500 | ||
Number of mortgage loans purchased multiplier | 315 | ||
Number of mortgage loans purchased | $ 16,500 | ||
2020 MBS Agreement [Member] | Minimum [Member] | |||
Mortgage Loans On Real Estate Schedule [Table] | |||
Interest income and sourcing fee | 0.01% | ||
Mortgage loans commintments multiplier | $ 355 | ||
Mortgage adjusted loan commitments | 16,500 | ||
Number of mortgage loans purchased multiplier | 195 | ||
Number of mortgage loans purchased | 16,500 | ||
2020 MBS Agreement [Member] | Fannie Mae Or Freddie Mac Mortgage Loans [Member] | |||
Mortgage Loans On Real Estate Schedule [Table] | |||
Number of mortgage loans purchased multiplier | 750 | ||
2020 MBS Agreement [Member] | Ginnie Mae Mortgage Loans [Member] | |||
Mortgage Loans On Real Estate Schedule [Table] | |||
Mortgage loan servicing fees sayable | $ 0 | $ 0 | |
Mortgage banking services [Member] | |||
Mortgage Loans On Real Estate Schedule [Table] | |||
Mortgage loan fees per annum | $ 1,500,000 | ||
Mortgage loan fees per loan | $ 35,000 |
Transactions with Related Par_4
Transactions with Related Parties - Summary of Correspondent Production Activity (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Related Party Transaction [Line Items] | |||
Loans included in Loans acquired for sale at fair value pending sale to PLS | $ 3,551,890 | $ 4,148,425 | |
PennyMac Loan Services, LLC [Member] | |||
Related Party Transaction [Line Items] | |||
Loan fulfillment fees earned by PLS | 222,200 | 160,610 | $ 81,350 |
Sourcing fees received from PLS included in Net gain on loans acquired for sale | 11,037 | 14,381 | 10,925 |
UPB of loans sold to PLS | 60,540,530 | 47,937,306 | 36,415,933 |
Purchases of loans acquired for sale from PLS | 2,248,896 | 6,255,915 | 3,343,028 |
Tax service fees paid to PLS | 23,408 | 14,697 | $ 7,433 |
Loans included in Loans acquired for sale at fair value pending sale to PLS | $ 460,414 | $ 490,383 |
Transactions with Related Par_5
Transactions with Related Parties - Prime Servicing - Additional Information (Detail) - PennyMac Loan Services, LLC [Member] | 12 Months Ended |
Dec. 31, 2020USD ($) | |
Subserviced loan [Member] | Fixed-Rate Mortgage Loans [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees per month | $ 7.50 |
Subserviced loan [Member] | Adjustable rate mortgage loans [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees per month | 8.50 |
Non-Distressed Mortgage Loans [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees for REO per month | 75 |
Non-Distressed Mortgage Loans [Member] | Minimum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Additional servicing fees per loan per month | 10 |
Non-Distressed Mortgage Loans [Member] | Maximum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Additional servicing fees per loan per month | $ 55 |
Transactions with Related Par_6
Transactions with Related Parties - Special Servicing - Additional Information (Detail) - PennyMac Loan Services, LLC [Member] | 12 Months Ended |
Dec. 31, 2020USD ($) | |
Mortgage Loans On Real Estate [Line Items] | |
REO rental fee | $ 30 |
Lease renewal fee for REO | $ 100 |
Rental income percentage gross | 9.00% |
Servicing agreement expiration date | Jun. 30, 2025 |
Service agreement maturity renewal term | 18 months |
Distressed loans [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees for REO per month | $ 75 |
Supplemental fee received per month | 25 |
Activity based fees | $ 500 |
Services agreement fees collection period | 18 months |
Distressed loans [Member] | Minimum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees per month | $ 30 |
Activity based fees | 750 |
Distressed loans [Member] | Maximum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees per month | 85 |
Activity based fees | $ 1,750 |
Transactions with Related Par_7
Transactions with Related Parties - MSR Recapture Agreement - Additional Information (Detail) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2020 | Dec. 31, 2020 | |
MSR Recapture Agreement [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% | |
2020 MSR Recapture Agreement [Member] | ||
Mortgage Loans On Real Estate [Line Items] | ||
Services agreement effective date | Jul. 1, 2020 | |
Servicing agreement expiration date | Jun. 30, 2025 | |
Service agreement maturity renewal term | 18 months | |
Mortgage loans on real estate, renewed and Extended, description | Effective July 1, 2020, the 2020 MSR recapture agreement changed the recapture fee payable by PLS to a tiered amount equal to: • 40% of the fair market value of the MSRs relating to the recaptured loans subject to the first 15% of the “recapture rate”; • 35% of the fair market value of the MSRs relating to the recaptured loans subject to the recapture rate in excess of 15% and up to 30%; and • 30% of the fair market value of the MSRs relating to the recaptured loans subject to the recapture rate in excess of 30%. | |
Recapture rate | 15.00% |
Transactions with Related Par_8
Transactions with Related Parties - Summary of Loan Servicing Fees Earned and Mortgage Servicing Rights Recaptured Income Earned (Detail) - PennyMac Loan Services, LLC [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Related Party Transaction [Line Items] | |||
Loan servicing fees | $ 67,181 | $ 48,797 | $ 42,045 |
Average MSR portfolio UPB | 147,832,880 | 110,075,179 | 80,500,212 |
Loans acquired for sale at fair value [Member] | |||
Related Party Transaction [Line Items] | |||
Loan servicing fees | 2,067 | 1,772 | 1,037 |
Average MSR portfolio UPB | 3,469,392 | 2,754,955 | 1,577,395 |
Loans at fair value [Member] | |||
Related Party Transaction [Line Items] | |||
Loan servicing fees | 807 | 2,207 | 7,555 |
Distressed [Member] | |||
Related Party Transaction [Line Items] | |||
Average MSR portfolio UPB | 9,032 | 75,251 | 473,458 |
Held in a VIE [Member] | |||
Related Party Transaction [Line Items] | |||
Average MSR portfolio UPB | 214,596 | 281,449 | 301,398 |
Mortgage servicing rights [Member] | |||
Related Party Transaction [Line Items] | |||
Loan servicing fees | $ 64,307 | $ 44,818 | $ 33,453 |
Transactions with Related Par_9
Transactions with Related Parties - Management Fees - Additional Information (Detail) - USD ($) | 12 Months Ended | |||
Dec. 31, 2020 | Jul. 01, 2020 | Dec. 31, 2019 | Aug. 04, 2009 | |
Mortgage Loans On Real Estate [Line Items] | ||||
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. | |||
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% | |||
PMT agreed to reimburse PCM for a payment | $ 120,000 | $ 165,000 | ||
Services agreement effective date | Jul. 1, 2020 | |||
Compensation Expenses Description | Effective July 1, 2020, PMT’s reimbursement of PCM’s and its affiliates’ compensation expenses was increased from $120,000 to $165,000 per fiscal quarter, such amount to be reviewed annually and to not preclude reimbursement for any other services performed by PCM or its affiliates | |||
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 Pa_10
Transactions with Related Parties - Summary of Management Fee Expense (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Related Party Transaction [Line Items] | |||
Total management fee incurred during the period | $ 34,538 | $ 36,492 | $ 24,465 |
PNMAC Capital Management LLC [Member] | |||
Related Party Transaction [Line Items] | |||
Total management fee incurred during the period | 34,538 | 36,492 | 24,465 |
Average shareholders' equity amounts used to calculate base management fee expense | 2,330,154 | 1,958,970 | 1,535,590 |
PNMAC Capital Management LLC [Member] | Base [Member] | |||
Related Party Transaction [Line Items] | |||
Total management fee incurred during the period | 34,538 | 29,303 | 23,033 |
PNMAC Capital Management LLC [Member] | Performance incentive [Member] | |||
Related Party Transaction [Line Items] | |||
Total management fee incurred during the period | $ 0 | $ 7,189 | $ 1,432 |
Transactions with Related Pa_11
Transactions with Related Parties - Summary of Expenses (Detail) - PNMAC Capital Management LLC [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Related Party Transaction [Line Items] | |||
Common overhead incurred by PCM and its affiliates | $ 5,172 | $ 5,340 | $ 4,640 |
Compensation | 570 | 480 | 480 |
Expenses incurred on the Company’s behalf, net | 22,583 | 4,362 | 1,113 |
Total expenses incurred in transaction with affiliates | 28,325 | 10,182 | 6,233 |
Payments and settlements during the year | $ 378,162 | $ 177,116 | $ 71,943 |
Transactions with Related Pa_12
Transactions with Related Parties - Note Payable to PLS - Additional Information (Detail) - USD ($) | Feb. 01, 2019 | Dec. 19, 2016 | Dec. 31, 2020 | Jul. 01, 2020 | Dec. 31, 2019 | Aug. 04, 2009 |
Related Party Transaction [Line Items] | ||||||
Recapture percentage loan fee rate and unpaid principal balance refinance loans | 90.00% | |||||
Recapture percentage loan fee rate and unpaid principal balance modified loans | 90.00% | |||||
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 | $ 165,000 | ||||
Servicing agreement expiration date | Feb. 1, 2023 | |||||
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 |
Transactions with Related Pa_13
Transactions with Related Parties - Summary of Investing Activity (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
ESS: | |||
Interest income | $ 222,135 | $ 317,885 | $ 222,772 |
Net loss included in Net (loss) gain on investments: | |||
Net (loss) gain on investments | (170,885) | 263,318 | 81,926 |
Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value | 131,750 | 178,586 | |
PennyMac Financial Services, Inc. [Member] | |||
ESS: | |||
Received pursuant to a recapture agreement | 2,093 | 1,757 | 2,688 |
Repayments | 32,377 | 40,316 | 46,750 |
Interest income | 8,418 | 10,291 | 15,138 |
Net loss included in Net (loss) gain on investments: | |||
Valuation changes | (24,970) | (9,256) | 8,500 |
Recapture income | 2,241 | 1,726 | 2,584 |
Net (loss) gain on investments | (22,729) | (7,530) | $ 11,084 |
Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value | $ 131,750 | $ 178,586 |
Transactions with Related Pa_14
Transactions with Related Parties - Summary of Financing Activities (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Related Party Transaction [Line Items] | |||
Interest expense | $ 270,770 | $ 297,446 | $ 175,171 |
PennyMac Financial Services, Inc. [Member] | |||
Related Party Transaction [Line Items] | |||
Net repayments of assets sold under agreements to repurchase | 26,650 | 23,513 | 13,103 |
Interest expense | 3,325 | 6,302 | 7,462 |
Assets sold to PFSI under agreement to repurchase | 80,862 | 107,512 | |
Conditional Reimbursement payable to PCM included in Due to PennyMac Financial Services, Inc. | 10 | 221 | |
PNMAC Capital Management LLC [Member] | |||
Related Party Transaction [Line Items] | |||
Payment of conditional reimbursement to PCM | $ 211 | $ 580 | $ 69 |
Transactions with Related Pa_15
Transactions with Related Parties - Summary of Amounts Receivable From and Payable to PFSI (Detail) - PennyMac Financial Services, Inc. [Member] - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Due from PFSI: | ||
MSR recapture | $ 296 | $ 149 |
Other | 7,856 | 2,611 |
Due from Affiliates | 8,152 | 2,760 |
Due to PFSI: | ||
Allocated expenses and expenses paid by PFSI on PMT’s behalf | 38,132 | 3,724 |
Fulfillment fees | 20,873 | 18,285 |
Correspondent production fees | 13,065 | 10,606 |
Management fees | 8,686 | 10,579 |
Loan servicing fees | 6,213 | 4,659 |
Interest on Assets sold to PFSI under agreement to repurchase | 26 | 85 |
Conditional Reimbursement | 10 | 221 |
Total expense due to affiliate | $ 87,005 | $ 48,159 |
Transactions with Related Pa_16
Transactions with Related Parties - Summary of Transfer Cash to Fund Loan Servicing Advances (Detail) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Related Party Transaction [Line Items] | ||
Loan servicing advances | $ 121,820 | $ 48,971 |
Real estate acquired in settlement of loans | 28,709 | 65,583 |
PennyMac Loan Services, LLC [Member] | ||
Related Party Transaction [Line Items] | ||
Loan servicing advances | 121,820 | 48,971 |
Real estate acquired in settlement of loans | 10,334 | 21,549 |
Servicing advances and real estate acquired | $ 132,154 | $ 70,520 |
Loan Sales - Summary of Cash Fl
Loan Sales - Summary of Cash Flows between Company and Transferees in Transfers Accounted for Sales (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Cash flows: | |||
Loan servicing fees received net of guarantee fees | $ 406,060 | $ 295,390 | $ 204,663 |
Variable Interest Entity, Not Primary Beneficiary [Member] | |||
Cash flows: | |||
Proceeds from sales | 106,306,805 | 61,128,081 | 29,369,656 |
Loan servicing fees received net of guarantee fees | $ 406,060 | $ 295,390 | $ 204,663 |
Loan Sales - Summary of Collect
Loan Sales - Summary of Collection Status Information for Loans Accounted for Sales (Detail) - Variable Interest Entity, Not Primary Beneficiary [Member] - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Mortgage Loans On Real Estate [Line Items] | |||
UPB of loans outstanding | $ 170,502,361 | $ 130,663,117 | |
Collection Status (UPB) | |||
30-89 days delinquent | [1] | 1,235,981 | 1,014,094 |
90 or more days delinquent: | |||
Not in foreclosure | [1] | 4,428,915 | 258,036 |
In foreclosure | [1] | 27,494 | 53,697 |
Bankruptcy | [1] | 148,866 | 130,936 |
Custodial funds managed by the Company | [2] | $ 6,086,724 | $ 2,529,984 |
[1] | At December 31, 2020, delinquent loans include loans subject to forbearance agreements entered into under the CARES Act with UPBs totaling $530.4 million in the 30-89 days delinquent category and $3.1 billion in the 90 or more days delinquent-not in foreclosure category. | ||
[2] | Custodial funds include borrower and investor custodial cash accounts relating to 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 loans’ borrowers and investors, which are included in |
Loan Sales - Summary of Colle_2
Loan Sales - Summary of Collection Status Information for Loans Accounted for Sales (Parenthetical) (Detail) - CARES Act [Member] $ in Millions | Dec. 31, 2020USD ($) |
Mortgage Loans on Real Estate [Line Items] | |
30-89 days delinquent | $ 530.4 |
Not in foreclosure | $ 3,100 |
Variable Interest Entities - Ad
Variable Interest Entities - Additional Information (Detail) - USD ($) $ in Millions | Sep. 30, 2013 | Dec. 31, 2020 |
Variable Interest Entity, Primary Beneficiary [Member] | Jumbo Mortgage Loan Financing [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Certificates issued | $ 537 | |
Weighted yield | 3.90% | |
Credit Risk Transfer Agreements [Member] | Minimum [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Initially established percentage of unpaid principal balance of loans sold under recourse obligation losses | 3.50% | |
Increase to maximum percentage of outstanding unpaid principal balance | 4.50% | |
Credit Risk Transfer Agreements [Member] | Maximum [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Initially established percentage of unpaid principal balance of loans sold under recourse obligation losses | 4.00% | |
Increase to maximum percentage of outstanding unpaid principal balance | 5.00% |
Variable Interest Entities - Su
Variable Interest Entities - Summary of Credit Risk Transfer Agreements (Detail) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | ||
CRT strips | ||||
Net investment income | $ 469,351 | $ 488,815 | $ 351,067 | |
Carrying value of CRT arrangements: | ||||
Derivative and credit risk transfer strip assets | 164,318 | 202,318 | ||
Interest-only security payable at fair value | 10,757 | 25,709 | ||
Variable Interest Entity, Primary Beneficiary [Member] | ||||
Carrying value of CRT arrangements: | ||||
Derivative and credit risk transfer strip assets | 58,699 | 170,793 | ||
Interest-only security payable at fair value | 10,757 | 25,709 | ||
Variable Interest Entity, Primary Beneficiary [Member] | Credit Risk Transfer Agreements [Member] | ||||
Transfer Of Financial Assets Accounted For As Sales [Line Items] | ||||
UPB of loans sold | 18,277,263 | 47,748,300 | 21,939,277 | |
Investments: | ||||
Deposits securing CRT arrangements | 1,700,000 | 933,370 | 596,626 | |
Change in expected face amount of firm commitment to purchase CRT securities | (1,502,203) | 897,151 | 122,581 | |
Deposits of cash securing credit risk transfer agreements net of adjustment | 197,797 | 1,830,521 | 719,207 | |
Net investment income | ||||
Net (loss) gain on loans acquired for sale — Fair value of firm commitment to purchase CRT securities recognized upon sale of loans | (38,161) | 99,305 | 30,595 | |
CRT derivatives | ||||
Realized | (53,965) | 79,619 | 86,928 | |
Valuation changes | (82,633) | (9,571) | 25,347 | |
Gains (losses) recognized on gross derivative related to credit risk transactions | (136,598) | 70,048 | 112,275 | |
CRT strips | ||||
Realized | 54,929 | 32,200 | ||
Valuation changes | (79,221) | (1,874) | ||
Credit risk transfer strips | (24,292) | 30,326 | ||
Interest-only security payable at fair value | 14,952 | 10,302 | (19,332) | |
Gains (losses) recognized on gross derivative related to credit risk transactions | (145,938) | 110,676 | 92,943 | |
Firm commitments to purchase CRT securities | (121,067) | 60,943 | 7,399 | |
Gains (losses) recognized on CRT agreements upon firm commitments to purchase CRT securities | (267,005) | 171,619 | 100,342 | |
Interest income — Deposits securing CRT arrangements | 7,012 | 34,229 | 15,441 | |
Net investment income | (298,154) | 305,153 | 146,378 | |
Payments made to settle losses on CRT arrangements | 115,475 | 5,165 | $ 2,133 | |
Carrying value of CRT arrangements: | ||||
CRT derivatives | 31,795 | 115,863 | ||
CRT strips | (202,792) | 54,930 | ||
Derivative and credit risk transfer strip assets | (170,997) | 170,793 | ||
Firm commitment to purchase credit risk transfer securities at fair value | 0 | 109,513 | ||
Deposits securing CRT arrangements | 2,799,263 | 1,969,784 | ||
Interest-only security payable at fair value | 10,757 | 25,709 | ||
Derivative and credit risk transfer strip assets | 58,699 | 142,183 | ||
Derivative and credit risk transfer strip assets pledged to secure | [1] | 2,799,263 | 1,969,784 | |
Face amount of firm commitment to purchase CRT securities | 1,502,203 | |||
UPB of loans — funded CRT arrangements | 58,697,942 | 41,944,117 | ||
Collection status (UPB): | ||||
Current | 54,990,381 | 41,355,622 | ||
30-89 days delinquent | 710,872 | 463,331 | ||
90-180 days delinquent | 693,315 | 106,234 | ||
180 or more days delinquent | 2,297,365 | 8,802 | ||
Foreclosure | 6,009 | 10,128 | ||
Bankruptcy | $ 75,700 | 55,452 | ||
UPB of loans — firm commitment to purchase CRT securities | 38,738,396 | |||
Variable Interest Entity, Primary Beneficiary [Member] | Credit Risk Transfer Agreements [Member] | Purchase Commitment [Member] | ||||
Collection status (UPB): | ||||
Current | 38,581,080 | |||
30-89 days delinquent | 146,256 | |||
90-180 days delinquent | 9,109 | |||
Foreclosure | 1,951 | |||
Bankruptcy | 2,980 | |||
180 or more days delinquent | $ 0 | |||
[1] | Deposits securing credit risk transfer strip liabilities also secure $229.7 million in CRT strip and CRT derivative liabilities at December 31, 2020 . |
Variable Interest Entities - _2
Variable Interest Entities - Summary of Credit Risk Transfer Agreements (Parenthetical) (Detail) $ in Millions | Dec. 31, 2020USD ($) |
Transfer Of Financial Assets Accounted For As Sales [Line Items] | |
Deposits securing CRT strips and derivatives liabilities | $ 229.7 |
Credit Risk Transfer Agreements [Member] | CARES Act [Member] | |
Transfer Of Financial Assets Accounted For As Sales [Line Items] | |
30-89 days delinquent | 383 |
90-180 days delinquent | 548 |
180 or more days delinquent | $ 1.9 |
Variable Interest Entities - _3
Variable Interest Entities - Summary of Jumbo Mortgage Loan Financing (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Mortgage Loans on Real Estate [Line Items] | |||
Interest income | $ 222,135 | $ 317,885 | $ 222,772 |
Interest expense | 270,770 | 297,446 | 175,171 |
Loans at fair value | 151,734 | 270,793 | |
Asset-backed financing of a variable interest entity at fair value | 134,726 | 243,360 | |
Variable Interest Entity, Primary Beneficiary [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loans at fair value | 143,707 | 256,367 | |
Asset-backed financing of a variable interest entity at fair value | 134,726 | 243,360 | |
Jumbo Mortgage Loan Financing [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest income | 10,609 | 11,734 | 11,813 |
Interest expense | 10,971 | 11,324 | $ 10,821 |
Loans at fair value | 143,707 | 256,367 | |
Asset-backed financing of a variable interest entity at fair value | 134,726 | 243,360 | |
Certificates retained at fair value | $ 8,981 | $ 13,007 |
Fair Value - Additional Informa
Fair Value - Additional Information (Detail) | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Level 3 [Member] | Repurchase Agreement Derivatives [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Ratios included in estimated fair value | 99.00% | |
Maximum [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Interest rate | 4.50% | |
Maximum [Member] | Level 3 [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Estimated loans at fair value of cash flows valuation, discounted annual rate | 20.00% |
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, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Assets: | |||||
Short-term investments | $ 127,295 | $ 90,836 | |||
Mortgage-backed securities at fair value pledged to creditors | 2,213,922 | 2,839,633 | |||
Loans acquired for sale at fair value | 3,551,890 | 4,148,425 | |||
Excess servicing spread purchased from PFSI | 131,750 | 178,586 | |||
Derivative and CRT strips: | |||||
Derivative assets | 223,648 | 153,666 | |||
Derivative assets, Netting | (59,330) | (6,278) | |||
Total derivative and credit risk transfer strip assets after netting | 164,318 | 147,388 | |||
Firm commitment to purchase credit risk transfer securities at fair value | 0 | 109,513 | |||
Mortgage servicing rights at fair value ($1,742,905 and $1,510,651 pledged to creditors, respectively) | 1,755,236 | 1,535,705 | $ 1,162,369 | $ 91,459 | |
Liabilities: | |||||
Asset-backed financing of a variable interest entity at fair value | 134,726 | 243,360 | |||
Interest-only security payable at fair value | 10,757 | 25,709 | |||
Asset-backed financing of a VIE at fair value | 134,726 | 243,360 | |||
Derivative liabilities: | |||||
Derivative liabilities | 150,213 | 19,816 | |||
Derivative liabilities, Netting | (89,532) | (13,393) | |||
Total derivative liabilities after netting | 60,681 | 6,423 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 150,213 | 19,816 | |||
Derivative liabilities, Netting | (89,532) | (13,393) | |||
Total derivative liabilities after netting | 60,681 | 6,423 | |||
Total derivative and credit risk transfer strips liabilities | 263,473 | 6,423 | |||
Derivative assets | 223,648 | 153,666 | |||
Derivative assets, Netting | (59,330) | (6,278) | |||
Total derivative and credit risk transfer strip assets after netting | 164,318 | 147,388 | |||
Repurchase Agreement Derivatives [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 0 | 5,275 | |||
Derivative assets, Netting | 0 | 0 | |||
Total derivative and credit risk transfer strip assets after netting | 0 | 5,275 | |||
Derivative liabilities: | |||||
Derivative liabilities | 0 | 0 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 0 | 0 | |||
Derivative assets | 0 | 5,275 | |||
Derivative assets, Netting | 0 | 0 | |||
Total derivative and credit risk transfer strip assets after netting | 0 | 5,275 | |||
CRT Derivatives [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 58,699 | 115,863 | |||
Derivative assets, Netting | 0 | 0 | |||
Total derivative and credit risk transfer strip assets after netting | 58,699 | 115,863 | |||
Derivative liabilities: | |||||
Derivative liabilities | 26,904 | 0 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 26,904 | 0 | |||
Derivative assets | 58,699 | 115,863 | |||
Derivative assets, Netting | 0 | 0 | |||
Total derivative and credit risk transfer strip assets after netting | 58,699 | 115,863 | |||
Swaption [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | [1] | 8,505 | 4,347 | ||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative assets | [1] | 8,505 | 4,347 | ||
Interest Rate Lock Commitments [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 72,794 | 11,726 | |||
Total derivative and credit risk transfer strip assets after netting | 72,794 | 11,726 | |||
Derivative liabilities: | |||||
Derivative liabilities | 408 | 572 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 408 | 572 | |||
Derivative assets | 72,794 | 11,726 | |||
Total derivative and credit risk transfer strip assets after netting | 72,794 | 11,726 | |||
Forward Purchase Contracts [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | [1] | 72,526 | 7,525 | ||
Derivative assets, Netting | 0 | 0 | |||
Total derivative and credit risk transfer strip assets after netting | 72,526 | 7,525 | |||
Derivative liabilities: | |||||
Derivative liabilities | [1] | 17 | 3,600 | ||
Derivative liabilities, Netting | 0 | 0 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | [1] | 17 | 3,600 | ||
Derivative liabilities, Netting | 0 | 0 | |||
Derivative assets | [1] | 72,526 | 7,525 | ||
Derivative assets, Netting | 0 | 0 | |||
Total derivative and credit risk transfer strip assets after netting | 72,526 | 7,525 | |||
Forward Sale Contracts [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | [1] | 92 | 637 | ||
Derivative assets, Netting | 0 | 0 | |||
Total derivative and credit risk transfer strip assets after netting | 92 | 637 | |||
Derivative liabilities: | |||||
Derivative liabilities | [1] | 122,884 | 15,644 | ||
Derivative liabilities, Netting | 0 | 0 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | [1] | 122,884 | 15,644 | ||
Derivative liabilities, Netting | 0 | 0 | |||
Derivative assets | [1] | 92 | 637 | ||
Derivative assets, Netting | 0 | 0 | |||
Total derivative and credit risk transfer strip assets after netting | 92 | 637 | |||
MBS Put Options [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | [1] | 3,220 | 1,625 | ||
Derivative assets, Netting | 0 | 0 | |||
Total derivative and credit risk transfer strip assets after netting | 3,220 | 1,625 | |||
Derivative liabilities: | |||||
Derivative liabilities | [1] | 0 | 0 | ||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | [1] | 0 | 0 | ||
Derivative assets | [1] | 3,220 | 1,625 | ||
Derivative assets, Netting | 0 | 0 | |||
Total derivative and credit risk transfer strip assets after netting | 3,220 | 1,625 | |||
Put Options on Interest Rate Futures [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | [1] | 4,742 | 2,859 | ||
Derivative assets, Netting | 0 | 0 | |||
Total derivative and credit risk transfer strip assets after netting | 4,742 | 2,859 | |||
Derivative liabilities: | |||||
Derivative liabilities | [1] | 0 | 0 | ||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | [1] | 0 | 0 | ||
Derivative assets | [1] | 4,742 | 2,859 | ||
Derivative assets, Netting | 0 | 0 | |||
Total derivative and credit risk transfer strip assets after netting | 4,742 | 2,859 | |||
Call Options on Interest Rate Futures [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | [1] | 3,070 | 3,809 | ||
Derivative assets, Netting | 0 | 0 | |||
Total derivative and credit risk transfer strip assets after netting | 3,070 | 3,809 | |||
Derivative liabilities: | |||||
Derivative liabilities | [1] | 0 | 0 | ||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | [1] | 0 | 0 | ||
Derivative assets | [1] | 3,070 | 3,809 | ||
Derivative assets, Netting | 0 | 0 | |||
Total derivative and credit risk transfer strip assets after netting | 3,070 | 3,809 | |||
Recurring [Member] | |||||
Assets: | |||||
Short-term investments | 127,295 | 90,836 | |||
Mortgage-backed securities at fair value pledged to creditors | 2,213,922 | 2,839,633 | |||
Loans acquired for sale at fair value | 3,551,890 | 4,148,425 | |||
Loans at fair value | 151,734 | 270,793 | |||
Excess servicing spread purchased from PFSI | 131,750 | 178,586 | |||
Derivative and CRT strips: | |||||
Derivative assets | 223,648 | 153,666 | |||
Derivative assets, Netting | (59,330) | (6,278) | |||
Total derivative and credit risk transfer strip assets after netting | 164,318 | 147,388 | |||
Firm commitment to purchase credit risk transfer securities at fair value | 109,513 | ||||
Mortgage servicing rights at fair value ($1,742,905 and $1,510,651 pledged to creditors, respectively) | 1,755,236 | 1,535,705 | |||
Total Assets | 8,096,145 | 9,375,809 | |||
Liabilities: | |||||
Asset-backed financing of a variable interest entity at fair value | 134,726 | 243,360 | |||
Interest-only security payable at fair value | 10,757 | 25,709 | |||
Asset-backed financing of a VIE at fair value | 134,726 | 243,360 | |||
Derivative liabilities: | |||||
Derivative liabilities | 150,213 | 19,816 | |||
Derivative liabilities, Netting | (89,532) | (13,393) | |||
Total derivative liabilities after netting | 60,681 | 6,423 | |||
Total liabilities | 408,956 | 275,492 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 150,213 | 19,816 | |||
Derivative liabilities, Netting | (89,532) | (13,393) | |||
Total derivative liabilities after netting | 60,681 | 6,423 | |||
Total derivative and credit risk transfer strips liabilities | 263,473 | ||||
Total liabilities | 408,956 | 275,492 | |||
Derivative assets | 223,648 | 153,666 | |||
Derivative assets, Netting | (59,330) | (6,278) | |||
Total derivative and credit risk transfer strip assets after netting | 164,318 | 147,388 | |||
Total derivative and credit risk transferstrips assets | 202,318 | ||||
Recurring [Member] | Repurchase Agreement Derivatives [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 5,275 | ||||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative assets | 5,275 | ||||
Recurring [Member] | Credit Risk Transfer Strips [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 54,930 | ||||
Derivative liabilities: | |||||
Derivative liabilities | 202,792 | ||||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 202,792 | ||||
Derivative assets | 54,930 | ||||
Recurring [Member] | CRT Derivatives [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 58,699 | 115,863 | |||
Derivative liabilities: | |||||
Derivative liabilities | 26,904 | ||||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 26,904 | ||||
Derivative assets | 58,699 | 115,863 | |||
Recurring [Member] | Swaption [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 8,505 | 4,347 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative assets | 8,505 | 4,347 | |||
Recurring [Member] | Level 1 [Member] | |||||
Assets: | |||||
Short-term investments | 127,295 | 90,836 | |||
Mortgage-backed securities at fair value pledged to creditors | 0 | 0 | |||
Loans acquired for sale at fair value | 0 | 0 | |||
Loans at fair value | 0 | 0 | |||
Excess servicing spread purchased from PFSI | 0 | 0 | |||
Derivative and CRT strips: | |||||
Derivative assets | 7,812 | 6,668 | |||
Derivative assets, Netting | 0 | 0 | |||
Total derivative and credit risk transfer strip assets after netting | 7,812 | 6,668 | |||
Firm commitment to purchase credit risk transfer securities at fair value | 0 | ||||
Mortgage servicing rights at fair value ($1,742,905 and $1,510,651 pledged to creditors, respectively) | 0 | 0 | |||
Total Assets | 135,107 | 97,504 | |||
Liabilities: | |||||
Asset-backed financing of a variable interest entity at fair value | 0 | 0 | |||
Interest-only security payable at fair value | 0 | 0 | |||
Asset-backed financing of a VIE 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 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 0 | 0 | |||
Derivative liabilities, Netting | 0 | 0 | |||
Total derivative liabilities after netting | 0 | 0 | |||
Total derivative and credit risk transfer strips liabilities | 0 | ||||
Total liabilities | 0 | 0 | |||
Derivative assets | 7,812 | 6,668 | |||
Derivative assets, Netting | 0 | 0 | |||
Total derivative and credit risk transfer strip assets after netting | 7,812 | 6,668 | |||
Total derivative and credit risk transferstrips assets | 6,668 | ||||
Recurring [Member] | Level 1 [Member] | Repurchase Agreement Derivatives [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 0 | ||||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative assets | 0 | ||||
Recurring [Member] | Level 1 [Member] | Credit Risk Transfer Strips [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 0 | ||||
Derivative liabilities: | |||||
Derivative liabilities | 0 | ||||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 0 | ||||
Derivative assets | 0 | ||||
Recurring [Member] | Level 1 [Member] | CRT Derivatives [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 0 | 0 | |||
Derivative liabilities: | |||||
Derivative liabilities | 0 | ||||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 0 | ||||
Derivative assets | 0 | 0 | |||
Recurring [Member] | Level 1 [Member] | Swaption [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 0 | 0 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative assets | 0 | 0 | |||
Recurring [Member] | Level 2 [Member] | |||||
Assets: | |||||
Short-term investments | 0 | 0 | |||
Mortgage-backed securities at fair value pledged to creditors | 2,213,922 | 2,839,633 | |||
Loans acquired for sale at fair value | 3,518,015 | 4,129,858 | |||
Loans at fair value | 143,707 | 256,367 | |||
Excess servicing spread purchased from PFSI | 0 | 0 | |||
Derivative and CRT strips: | |||||
Derivative assets | 84,343 | 14,134 | |||
Derivative assets, Netting | 0 | 0 | |||
Total derivative and credit risk transfer strip assets after netting | 84,343 | 14,134 | |||
Firm commitment to purchase credit risk transfer securities at fair value | 0 | ||||
Mortgage servicing rights at fair value ($1,742,905 and $1,510,651 pledged to creditors, respectively) | 0 | 0 | |||
Total Assets | 5,959,987 | 7,239,992 | |||
Liabilities: | |||||
Asset-backed financing of a variable interest entity at fair value | 134,726 | 243,360 | |||
Interest-only security payable at fair value | 0 | 0 | |||
Asset-backed financing of a VIE at fair value | 134,726 | 243,360 | |||
Derivative liabilities: | |||||
Derivative liabilities | 122,901 | 19,244 | |||
Derivative liabilities, Netting | 0 | 0 | |||
Total derivative liabilities after netting | 122,901 | 19,244 | |||
Total liabilities | 257,627 | 262,604 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 122,901 | 19,244 | |||
Derivative liabilities, Netting | 0 | 0 | |||
Total derivative liabilities after netting | 122,901 | 19,244 | |||
Total derivative and credit risk transfer strips liabilities | 122,901 | ||||
Total liabilities | 257,627 | 262,604 | |||
Derivative assets | 84,343 | 14,134 | |||
Derivative assets, Netting | 0 | 0 | |||
Total derivative and credit risk transfer strip assets after netting | 84,343 | 14,134 | |||
Total derivative and credit risk transferstrips assets | 14,134 | ||||
Recurring [Member] | Level 2 [Member] | Repurchase Agreement Derivatives [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 0 | ||||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative assets | 0 | ||||
Recurring [Member] | Level 2 [Member] | Credit Risk Transfer Strips [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 0 | ||||
Derivative liabilities: | |||||
Derivative liabilities | 0 | ||||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 0 | ||||
Derivative assets | 0 | ||||
Recurring [Member] | Level 2 [Member] | CRT Derivatives [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 0 | 0 | |||
Derivative liabilities: | |||||
Derivative liabilities | 0 | ||||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 0 | ||||
Derivative assets | 0 | 0 | |||
Recurring [Member] | Level 2 [Member] | Swaption [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 8,505 | 4,347 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative assets | 8,505 | 4,347 | |||
Recurring [Member] | Level 3 [Member] | |||||
Assets: | |||||
Short-term investments | 0 | 0 | |||
Mortgage-backed securities at fair value pledged to creditors | 0 | 0 | |||
Loans acquired for sale at fair value | 33,875 | 18,567 | |||
Loans at fair value | 8,027 | 14,426 | |||
Excess servicing spread purchased from PFSI | 131,750 | 178,586 | |||
Derivative and CRT strips: | |||||
Derivative assets | 131,493 | 132,864 | |||
Derivative assets, Netting | 0 | 0 | |||
Total derivative and credit risk transfer strip assets after netting | 131,493 | 132,864 | |||
Firm commitment to purchase credit risk transfer securities at fair value | 109,513 | ||||
Mortgage servicing rights at fair value ($1,742,905 and $1,510,651 pledged to creditors, respectively) | 1,755,236 | 1,535,705 | |||
Total Assets | 2,060,381 | 2,044,591 | |||
Liabilities: | |||||
Asset-backed financing of a variable interest entity at fair value | 0 | 0 | |||
Interest-only security payable at fair value | 10,757 | 25,709 | |||
Asset-backed financing of a VIE at fair value | 0 | 0 | |||
Derivative liabilities: | |||||
Derivative liabilities | 27,312 | 572 | |||
Derivative liabilities, Netting | 0 | 0 | |||
Total derivative liabilities after netting | 27,312 | 572 | |||
Total liabilities | 240,861 | 26,281 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 27,312 | 572 | |||
Derivative liabilities, Netting | 0 | 0 | |||
Total derivative liabilities after netting | 27,312 | 572 | |||
Total derivative and credit risk transfer strips liabilities | 230,104 | ||||
Total liabilities | 240,861 | 26,281 | |||
Derivative assets | 131,493 | 132,864 | |||
Derivative assets, Netting | 0 | 0 | |||
Total derivative and credit risk transfer strip assets after netting | 131,493 | 132,864 | |||
Total derivative and credit risk transferstrips assets | 187,794 | ||||
Recurring [Member] | Level 3 [Member] | Repurchase Agreement Derivatives [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 5,275 | ||||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative assets | 5,275 | ||||
Recurring [Member] | Level 3 [Member] | Credit Risk Transfer Strips [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 54,930 | ||||
Derivative liabilities: | |||||
Derivative liabilities | 202,792 | ||||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 202,792 | ||||
Derivative assets | 54,930 | ||||
Recurring [Member] | Level 3 [Member] | CRT Derivatives [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 58,699 | 115,863 | |||
Derivative liabilities: | |||||
Derivative liabilities | 26,904 | ||||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 26,904 | ||||
Derivative assets | 58,699 | 115,863 | |||
Recurring [Member] | Level 3 [Member] | Swaption [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 0 | 0 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative assets | 0 | 0 | |||
Recurring [Member] | Interest Rate Lock Commitments [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 72,794 | 11,726 | |||
Derivative liabilities: | |||||
Derivative liabilities | 408 | 572 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 408 | 572 | |||
Derivative assets | 72,794 | 11,726 | |||
Recurring [Member] | Interest Rate Lock Commitments [Member] | Level 1 [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 0 | 0 | |||
Derivative liabilities: | |||||
Derivative liabilities | 0 | 0 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 0 | 0 | |||
Derivative assets | 0 | 0 | |||
Recurring [Member] | Interest Rate Lock Commitments [Member] | Level 2 [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 0 | 0 | |||
Derivative liabilities: | |||||
Derivative liabilities | 0 | 0 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 0 | 0 | |||
Derivative assets | 0 | 0 | |||
Recurring [Member] | Interest Rate Lock Commitments [Member] | Level 3 [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 72,794 | 11,726 | |||
Derivative liabilities: | |||||
Derivative liabilities | 408 | 572 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 408 | 572 | |||
Derivative assets | 72,794 | 11,726 | |||
Recurring [Member] | Forward Purchase Contracts [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 72,526 | 7,525 | |||
Derivative liabilities: | |||||
Derivative liabilities | 17 | 3,600 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 17 | 3,600 | |||
Derivative assets | 72,526 | 7,525 | |||
Recurring [Member] | Forward Purchase Contracts [Member] | Level 1 [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 0 | 0 | |||
Derivative liabilities: | |||||
Derivative liabilities | 0 | 0 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 0 | 0 | |||
Derivative assets | 0 | 0 | |||
Recurring [Member] | Forward Purchase Contracts [Member] | Level 2 [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 72,526 | 7,525 | |||
Derivative liabilities: | |||||
Derivative liabilities | 17 | 3,600 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 17 | 3,600 | |||
Derivative assets | 72,526 | 7,525 | |||
Recurring [Member] | Forward Purchase Contracts [Member] | Level 3 [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 0 | 0 | |||
Derivative liabilities: | |||||
Derivative liabilities | 0 | 0 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 0 | 0 | |||
Derivative assets | 0 | 0 | |||
Recurring [Member] | Forward Sale Contracts [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 92 | 637 | |||
Derivative liabilities: | |||||
Derivative liabilities | 122,884 | 15,644 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 122,884 | 15,644 | |||
Derivative assets | 92 | 637 | |||
Recurring [Member] | Forward Sale Contracts [Member] | Level 1 [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 0 | 0 | |||
Derivative liabilities: | |||||
Derivative liabilities | 0 | 0 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 0 | 0 | |||
Derivative assets | 0 | 0 | |||
Recurring [Member] | Forward Sale Contracts [Member] | Level 2 [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 92 | 637 | |||
Derivative liabilities: | |||||
Derivative liabilities | 122,884 | 15,644 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 122,884 | 15,644 | |||
Derivative assets | 92 | 637 | |||
Recurring [Member] | Forward Sale Contracts [Member] | Level 3 [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 0 | 0 | |||
Derivative liabilities: | |||||
Derivative liabilities | 0 | 0 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative liabilities | 0 | 0 | |||
Derivative assets | 0 | 0 | |||
Recurring [Member] | MBS Put Options [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 3,220 | 1,625 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative assets | 3,220 | 1,625 | |||
Recurring [Member] | MBS Put Options [Member] | Level 1 [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 0 | 0 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative assets | 0 | 0 | |||
Recurring [Member] | MBS Put Options [Member] | Level 2 [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 3,220 | 1,625 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative assets | 3,220 | 1,625 | |||
Recurring [Member] | MBS Put Options [Member] | Level 3 [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 0 | 0 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative assets | 0 | 0 | |||
Recurring [Member] | Put Options on Interest Rate Futures [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 4,742 | 2,859 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative assets | 4,742 | 2,859 | |||
Recurring [Member] | Put Options on Interest Rate Futures [Member] | Level 1 [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 4,742 | 2,859 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative assets | 4,742 | 2,859 | |||
Recurring [Member] | Put Options on Interest Rate Futures [Member] | Level 2 [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 0 | 0 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative assets | 0 | 0 | |||
Recurring [Member] | Put Options on Interest Rate Futures [Member] | Level 3 [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 0 | 0 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative assets | 0 | 0 | |||
Recurring [Member] | Call Options on Interest Rate Futures [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 3,070 | 3,809 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative assets | 3,070 | 3,809 | |||
Recurring [Member] | Call Options on Interest Rate Futures [Member] | Level 1 [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 3,070 | 3,809 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative assets | 3,070 | 3,809 | |||
Recurring [Member] | Call Options on Interest Rate Futures [Member] | Level 2 [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 0 | 0 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative assets | 0 | 0 | |||
Recurring [Member] | Call Options on Interest Rate Futures [Member] | Level 3 [Member] | |||||
Derivative and CRT strips: | |||||
Derivative assets | 0 | 0 | |||
Derivative and credit risk transfer strip liabilities: | |||||
Derivative assets | $ 0 | $ 0 | |||
[1] | All hedging derivatives are interest rate derivatives and are used as economic hedges. |
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, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Assets: | |||
Amounts (incurred) received pursuant to sales of loans | $ 1,158,475 | $ 837,706 | $ 356,755 |
Transfers: | |||
Loans to REO | (1,166) | (23,672) | (32,578) |
Liabilities: | |||
Amounts (incurred) received pursuant to sales of loans | 1,158,475 | 837,706 | 356,755 |
Interest Rate Lock Commitments [Member] | |||
Assets: | |||
Beginning balance | 11,154 | ||
Transfers: | |||
Ending balance | 72,386 | 11,154 | |
Liabilities: | |||
Beginning balance | 11,154 | ||
Recurring [Member] | |||
Assets: | |||
Beginning balance | 2,044,019 | 1,984,616 | |
Purchases and issuances | 445,199 | 103,008 | 36,781 |
Repayments and sales | (232,921) | (318,016) | (756,314) |
Capitalization of interest and fees | 8,418 | 12,609 | 22,577 |
ESS received pursuant to a recapture agreement with PFSI | 2,093 | 1,757 | 2,688 |
Amounts (incurred) received pursuant to sales of loans | 1,120,314 | 937,011 | 387,350 |
Changes in instrument-specific credit risk | 0 | 3,737 | 2,907 |
Other factors | (710,446) | (241,971) | 37,067 |
Total | (710,446) | (238,234) | 39,974 |
Capitalization of advances | 1,340 | 5,481 | |
Changes in instrument-specific credit risk | 0 | 3,737 | 2,907 |
Other factors | (710,446) | (241,971) | 37,067 |
Total | (710,446) | (238,234) | 39,974 |
Transfers: | |||
Loans to REO | (886) | (12,412) | (47,786) |
Firm commitment to purchase CRT securities to CRT strips | 0 | ||
Interest rate lock commitments to loans acquired for sale | (845,513) | (146,018) | 16,717 |
Ending balance | 1,830,277 | 2,044,019 | |
Changes in fair value recognized during the year relating to assets | (1,055,307) | (452,119) | 6,540 |
Loans acquired for sale at fair value from "Level 2" to "Level 3" | 809 | 10,081 | |
Firm commitment to purchase CRT securities to CRT strips | 0 | ||
Liabilities: | |||
Beginning balance | 2,044,019 | 1,984,616 | |
Purchases and issuances | 445,199 | 103,008 | 36,781 |
Repayments and sales | (232,921) | (318,016) | (756,314) |
Capitalization of interest and fees | 8,418 | 12,609 | 22,577 |
Capitalization of advances | 1,340 | 5,481 | |
ESS received pursuant to a recapture agreement with PFSI | 2,093 | 1,757 | 2,688 |
Amounts (incurred) received pursuant to sales of loans | 1,120,314 | 937,011 | 387,350 |
Recurring [Member] | Change in Accounting Principle on Adoption of Fair Value Accounting for Mortgage Servicing Rights [Member] | |||
Assets: | |||
Beginning balance | 773,035 | ||
Liabilities: | |||
Beginning balance | 773,035 | ||
Recurring [Member] | Previously Reported [Member] | |||
Assets: | |||
Beginning balance | 1,702,165 | 1,211,581 | |
Transfers: | |||
Ending balance | 1,702,165 | ||
Liabilities: | |||
Beginning balance | 1,702,165 | 1,211,581 | |
Recurring [Member] | Credit Risk Transfer Strips [Member] | |||
Assets: | |||
Beginning balance | 54,930 | 0 | |
Purchases and issuances | 0 | 0 | |
Repayments and sales | (54,929) | (32,200) | |
Capitalization of interest and fees | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | |
Amounts (incurred) received pursuant to sales of loans | 0 | 0 | |
Changes in instrument-specific credit risk | 0 | 0 | |
Other factors | (24,292) | 30,326 | |
Total | (24,292) | 30,326 | |
Capitalization of advances | 0 | ||
Changes in instrument-specific credit risk | 0 | 0 | |
Other factors | (24,292) | 30,326 | |
Total | (24,292) | 30,326 | |
Transfers: | |||
Loans to REO | 0 | 0 | |
Firm commitment to purchase CRT securities to CRT strips | (178,501) | ||
Interest rate lock commitments to loans acquired for sale | 0 | 0 | |
Ending balance | (202,792) | 54,930 | 0 |
Changes in fair value recognized during the year relating to assets | (79,221) | (1,874) | |
Loans acquired for sale at fair value from "Level 2" to "Level 3" | 0 | ||
Firm commitment to purchase CRT securities to CRT strips | 56,804 | ||
Liabilities: | |||
Beginning balance | 54,930 | 0 | |
Purchases and issuances | 0 | 0 | |
Repayments and sales | (54,929) | (32,200) | |
Capitalization of interest and fees | 0 | 0 | |
Capitalization of advances | 0 | ||
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | |
Amounts (incurred) received pursuant to sales of loans | 0 | 0 | |
Recurring [Member] | CRT Derivatives [Member] | |||
Assets: | |||
Beginning balance | 115,863 | 123,987 | 98,640 |
Purchases and issuances | 0 | 0 | 0 |
Repayments and sales | 52,530 | (78,172) | (86,928) |
Capitalization of interest and fees | 0 | 0 | 0 |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 |
Amounts (incurred) received pursuant to sales of loans | 0 | 0 | 0 |
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | (136,598) | 70,048 | 112,275 |
Total | (136,598) | 70,048 | 112,275 |
Capitalization of advances | 0 | 0 | |
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | (136,598) | 70,048 | 112,275 |
Total | (136,598) | 70,048 | 112,275 |
Transfers: | |||
Loans to REO | 0 | 0 | 0 |
Firm commitment to purchase CRT securities to CRT strips | 0 | ||
Interest rate lock commitments to loans acquired for sale | 0 | 0 | 0 |
Ending balance | 31,795 | 115,863 | 123,987 |
Changes in fair value recognized during the year relating to assets | (82,633) | (9,571) | 25,347 |
Loans acquired for sale at fair value from "Level 2" to "Level 3" | 0 | 0 | |
Firm commitment to purchase CRT securities to CRT strips | 0 | ||
Liabilities: | |||
Beginning balance | 115,863 | 123,987 | 98,640 |
Purchases and issuances | 0 | 0 | 0 |
Repayments and sales | 52,530 | (78,172) | (86,928) |
Capitalization of interest and fees | 0 | 0 | 0 |
Capitalization of advances | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 |
Amounts (incurred) received pursuant to sales of loans | 0 | 0 | 0 |
Recurring [Member] | Loans acquired for sale [Member] | |||
Assets: | |||
Beginning balance | 18,567 | 17,474 | 8,135 |
Purchases and issuances | 74,339 | 26,823 | 12,208 |
Repayments and sales | (58,290) | (27,609) | (12,934) |
Capitalization of interest and fees | 0 | 0 | 0 |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 |
Amounts (incurred) received pursuant to sales of loans | 0 | 0 | 0 |
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | (741) | 1,070 | (16) |
Total | (741) | 1,070 | (16) |
Capitalization of advances | 0 | 0 | |
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | (741) | 1,070 | (16) |
Total | (741) | 1,070 | (16) |
Transfers: | |||
Loans to REO | 0 | 0 | 0 |
Firm commitment to purchase CRT securities to CRT strips | 0 | ||
Interest rate lock commitments to loans acquired for sale | 0 | 0 | 0 |
Ending balance | 33,875 | 18,567 | 17,474 |
Changes in fair value recognized during the year relating to assets | (899) | 121 | (158) |
Loans acquired for sale at fair value from "Level 2" to "Level 3" | 809 | 10,081 | |
Firm commitment to purchase CRT securities to CRT strips | 0 | ||
Liabilities: | |||
Beginning balance | 18,567 | 17,474 | 8,135 |
Purchases and issuances | 74,339 | 26,823 | 12,208 |
Repayments and sales | (58,290) | (27,609) | (12,934) |
Capitalization of interest and fees | 0 | 0 | 0 |
Capitalization of advances | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 |
Amounts (incurred) received pursuant to sales of loans | 0 | 0 | 0 |
Recurring [Member] | Interest Rate Lock Commitments [Member] | |||
Assets: | |||
Beginning balance | 11,154 | 11,988 | 4,632 |
Purchases and issuances | 369,802 | 65,051 | 4,655 |
Repayments and sales | 0 | 0 | 0 |
Capitalization of interest and fees | 0 | 0 | 0 |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 |
Amounts (incurred) received pursuant to sales of loans | 0 | 0 | 0 |
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | 536,943 | 80,133 | (14,016) |
Total | 536,943 | 80,133 | (14,016) |
Capitalization of advances | 0 | 0 | |
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | 536,943 | 80,133 | (14,016) |
Total | 536,943 | 80,133 | (14,016) |
Transfers: | |||
Loans to REO | 0 | 0 | 0 |
Firm commitment to purchase CRT securities to CRT strips | 0 | ||
Interest rate lock commitments to loans acquired for sale | (845,513) | (146,018) | 16,717 |
Ending balance | 72,386 | 11,154 | 11,988 |
Changes in fair value recognized during the year relating to assets | 72,386 | 11,154 | 11,988 |
Loans acquired for sale at fair value from "Level 2" to "Level 3" | 0 | 0 | |
Firm commitment to purchase CRT securities to CRT strips | 0 | ||
Liabilities: | |||
Beginning balance | 11,154 | 11,988 | 4,632 |
Purchases and issuances | 369,802 | 65,051 | 4,655 |
Repayments and sales | 0 | 0 | 0 |
Capitalization of interest and fees | 0 | 0 | 0 |
Capitalization of advances | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 |
Amounts (incurred) received pursuant to sales of loans | 0 | 0 | 0 |
Recurring [Member] | Interest-only security payable [Member] | |||
Assets: | |||
Changes in instrument-specific credit risk\Other factors | (14,952) | (10,302) | 28,941 |
Ending balance | 10,757 | 25,709 | 36,011 |
Changes in fair value recognized during the quarter relating to liability | (14,952) | (10,302) | 28,941 |
Liabilities: | |||
Beginning balance | 25,709 | 36,011 | 7,070 |
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk\Other factors | (14,952) | (10,302) | 28,941 |
Ending balance | 10,757 | 25,709 | 36,011 |
Changes in fair value recognized during the quarter relating to liability | (14,952) | (10,302) | 28,941 |
Recurring [Member] | Interest-only security payable [Member] | Credit Risk [Member] | |||
Assets: | |||
Changes in instrument-specific credit risk\Other factors | 0 | 0 | 0 |
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] | |||
Assets: | |||
Changes in instrument-specific credit risk\Other factors | (14,952) | (10,302) | 28,941 |
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk\Other factors | (14,952) | (10,302) | 28,941 |
Recurring [Member] | Excess servicing spread [Member] | |||
Assets: | |||
Beginning balance | 14,426 | 117,732 | 768,433 |
Purchases and issuances | 1,058 | 1,077 | 0 |
Repayments and sales | (5,734) | (88,460) | (600,638) |
Capitalization of interest and fees | 0 | 2,318 | 7,439 |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 |
Amounts (incurred) received pursuant to sales of loans | 0 | 0 | 0 |
Changes in instrument-specific credit risk | 0 | 3,737 | 2,907 |
Other factors | (837) | (10,906) | (18,104) |
Total | (837) | (7,169) | (15,197) |
Capitalization of advances | 1,340 | 5,481 | |
Changes in instrument-specific credit risk | 0 | 3,737 | 2,907 |
Other factors | (837) | (10,906) | (18,104) |
Total | (837) | (7,169) | (15,197) |
Transfers: | |||
Loans to REO | (886) | (12,412) | (47,786) |
Firm commitment to purchase CRT securities to CRT strips | 0 | ||
Interest rate lock commitments to loans acquired for sale | 0 | 0 | 0 |
Ending balance | 8,027 | 14,426 | 117,732 |
Changes in fair value recognized during the year relating to assets | (1,033) | (8,255) | (18,428) |
Loans acquired for sale at fair value from "Level 2" to "Level 3" | 0 | 0 | |
Firm commitment to purchase CRT securities to CRT strips | 0 | ||
Liabilities: | |||
Beginning balance | 14,426 | 117,732 | 768,433 |
Purchases and issuances | 1,058 | 1,077 | 0 |
Repayments and sales | (5,734) | (88,460) | (600,638) |
Capitalization of interest and fees | 0 | 2,318 | 7,439 |
Capitalization of advances | 1,340 | 5,481 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 |
Amounts (incurred) received pursuant to sales of loans | 0 | 0 | 0 |
Recurring [Member] | Excess servicing spread [Member] | |||
Assets: | |||
Beginning balance | 178,586 | 216,110 | 236,534 |
Purchases and issuances | 0 | 0 | 0 |
Repayments and sales | (32,377) | (40,316) | (46,750) |
Capitalization of interest and fees | 8,418 | 10,291 | 15,138 |
ESS received pursuant to a recapture agreement with PFSI | 2,093 | 1,757 | 2,688 |
Amounts (incurred) received pursuant to sales of loans | 0 | 0 | 0 |
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | (24,970) | (9,256) | 8,500 |
Total | (24,970) | (9,256) | 8,500 |
Capitalization of advances | 0 | 0 | |
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | (24,970) | (9,256) | 8,500 |
Total | (24,970) | (9,256) | 8,500 |
Transfers: | |||
Loans to REO | 0 | 0 | 0 |
Firm commitment to purchase CRT securities to CRT strips | 0 | ||
Interest rate lock commitments to loans acquired for sale | 0 | 0 | 0 |
Ending balance | 131,750 | 178,586 | 216,110 |
Changes in fair value recognized during the year relating to assets | (24,970) | (9,256) | 8,500 |
Loans acquired for sale at fair value from "Level 2" to "Level 3" | 0 | 0 | |
Firm commitment to purchase CRT securities to CRT strips | 0 | ||
Liabilities: | |||
Beginning balance | 178,586 | 216,110 | 236,534 |
Purchases and issuances | 0 | 0 | 0 |
Repayments and sales | (32,377) | (40,316) | (46,750) |
Capitalization of interest and fees | 8,418 | 10,291 | 15,138 |
Capitalization of advances | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 2,093 | 1,757 | 2,688 |
Amounts (incurred) received pursuant to sales of loans | 0 | 0 | 0 |
Recurring [Member] | Firm commitment to purchase CRT securities [Member] | |||
Assets: | |||
Beginning balance | 109,513 | 37,994 | 0 |
Purchases and issuances | 0 | 0 | 0 |
Repayments and sales | (128,786) | (31,925) | 0 |
Capitalization of interest and fees | 0 | 0 | 0 |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 |
Amounts (incurred) received pursuant to sales of loans | (38,161) | 99,305 | 30,595 |
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | (121,067) | 60,943 | 7,399 |
Total | (121,067) | 60,943 | 7,399 |
Capitalization of advances | 0 | 0 | |
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | (121,067) | 60,943 | 7,399 |
Total | (121,067) | 60,943 | 7,399 |
Transfers: | |||
Loans to REO | 0 | 0 | 0 |
Firm commitment to purchase CRT securities to CRT strips | 178,501 | ||
Interest rate lock commitments to loans acquired for sale | 0 | 0 | 0 |
Ending balance | 0 | 109,513 | 37,994 |
Changes in fair value recognized during the year relating to assets | 0 | 29,808 | 37,994 |
Loans acquired for sale at fair value from "Level 2" to "Level 3" | 0 | 0 | |
Firm commitment to purchase CRT securities to CRT strips | (56,804) | ||
Liabilities: | |||
Beginning balance | 109,513 | 37,994 | 0 |
Purchases and issuances | 0 | 0 | 0 |
Repayments and sales | (128,786) | (31,925) | 0 |
Capitalization of interest and fees | 0 | 0 | 0 |
Capitalization of advances | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 |
Amounts (incurred) received pursuant to sales of loans | (38,161) | 99,305 | 30,595 |
Recurring [Member] | Mortgage servicing rights [Member] | |||
Assets: | |||
Beginning balance | 1,535,705 | 864,494 | |
Purchases and issuances | 0 | 0 | 0 |
Repayments and sales | (7) | (17) | (100) |
Capitalization of interest and fees | 0 | 0 | 0 |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 |
Amounts (incurred) received pursuant to sales of loans | 1,158,475 | 837,706 | 356,755 |
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | (938,937) | (464,353) | (58,780) |
Total | (938,937) | (464,353) | (58,780) |
Capitalization of advances | 0 | 0 | |
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | (938,937) | (464,353) | (58,780) |
Total | (938,937) | (464,353) | (58,780) |
Transfers: | |||
Loans to REO | 0 | 0 | 0 |
Firm commitment to purchase CRT securities to CRT strips | 0 | ||
Interest rate lock commitments to loans acquired for sale | 0 | 0 | 0 |
Ending balance | 1,755,236 | 1,535,705 | |
Changes in fair value recognized during the year relating to assets | (938,937) | (464,353) | (58,780) |
Loans acquired for sale at fair value from "Level 2" to "Level 3" | 0 | 0 | |
Firm commitment to purchase CRT securities to CRT strips | 0 | ||
Liabilities: | |||
Beginning balance | 1,535,705 | 864,494 | |
Purchases and issuances | 0 | 0 | 0 |
Repayments and sales | (7) | (17) | (100) |
Capitalization of interest and fees | 0 | 0 | 0 |
Capitalization of advances | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 |
Amounts (incurred) received pursuant to sales of loans | 1,158,475 | 837,706 | 356,755 |
Recurring [Member] | Mortgage servicing rights [Member] | Change in Accounting Principle on Adoption of Fair Value Accounting for Mortgage Servicing Rights [Member] | |||
Assets: | |||
Beginning balance | 773,035 | ||
Liabilities: | |||
Beginning balance | 773,035 | ||
Recurring [Member] | Mortgage servicing rights [Member] | Previously Reported [Member] | |||
Assets: | |||
Beginning balance | 1,162,369 | 91,459 | |
Transfers: | |||
Ending balance | 1,162,369 | ||
Liabilities: | |||
Beginning balance | 1,162,369 | 91,459 | |
Recurring [Member] | Repurchase Agreement Derivatives [Member] | |||
Assets: | |||
Beginning balance | 5,275 | 14,511 | 3,748 |
Purchases and issuances | 0 | 10,057 | 19,918 |
Repayments and sales | (5,328) | (19,317) | (8,964) |
Capitalization of interest and fees | 0 | 0 | 0 |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 |
Amounts (incurred) received pursuant to sales of loans | 0 | 0 | 0 |
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | 53 | 24 | (191) |
Total | 53 | 24 | (191) |
Capitalization of advances | 0 | 0 | |
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | 53 | 24 | (191) |
Total | 53 | 24 | (191) |
Transfers: | |||
Loans to REO | 0 | 0 | 0 |
Firm commitment to purchase CRT securities to CRT strips | 0 | ||
Interest rate lock commitments to loans acquired for sale | 0 | 0 | 0 |
Ending balance | 0 | 5,275 | 14,511 |
Changes in fair value recognized during the year relating to assets | 0 | 107 | 77 |
Loans acquired for sale at fair value from "Level 2" to "Level 3" | 0 | 0 | |
Firm commitment to purchase CRT securities to CRT strips | 0 | ||
Liabilities: | |||
Beginning balance | 5,275 | 14,511 | 3,748 |
Purchases and issuances | 0 | 10,057 | 19,918 |
Repayments and sales | (5,328) | (19,317) | (8,964) |
Capitalization of interest and fees | 0 | 0 | 0 |
Capitalization of advances | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 |
Amounts (incurred) received pursuant to sales of loans | $ 0 | $ 0 | $ 0 |
Fair Value - Fair Values and Re
Fair Value - Fair Values and Related Principal Amounts Due upon Maturity of Loans Accounted for Under Fair Value Option (Detail) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Loans, fair value [Abstract] | ||
Fair value | $ 151,734 | $ 270,793 |
Fair value, Total | 151,734 | 270,793 |
Loans, principal amount due upon maturity [Abstract] | ||
Principal amount due upon maturity | 154,124 | 287,288 |
Loans, difference, [Abstract] | ||
Difference | (2,390) | (16,495) |
Loans acquired for sale at fair value [Member] | ||
Loans, fair value [Abstract] | ||
Current through 89 days delinquent | 3,545,100 | 4,147,374 |
90 or more days delinquent, not in foreclosure | 6,591 | 572 |
90 or more days delinquent, in foreclosure | 199 | 479 |
Fair value | 6,790 | 1,051 |
Fair value, Total | 3,551,890 | 4,148,425 |
Loans, principal amount due upon maturity [Abstract] | ||
Current through 89 days delinquent | 3,377,970 | 4,010,444 |
90 or more days delinquent, not in foreclosure | 8,006 | 615 |
90 or more days delinquent, in foreclosure | 235 | 566 |
Principal amount due upon maturity | 3,386,211 | 4,011,625 |
Loans, difference, [Abstract] | ||
Current through 89 days delinquent | 167,130 | 136,930 |
90 or more days delinquent, not in foreclosure | (1,415) | (43) |
90 or more days delinquent, in foreclosure | (36) | (87) |
Difference | 165,679 | 136,800 |
Loans acquired for sale at fair value [Member] | Nonperforming mortgage loans [Member] | ||
Loans, principal amount due upon maturity [Abstract] | ||
Principal amount due upon maturity | 8,241 | 1,181 |
Loans, difference, [Abstract] | ||
Difference | (1,451) | (130) |
Loans at Fair Value Held in Consolidated VIE [Member] | ||
Loans, fair value [Abstract] | ||
Current through 89 days delinquent | 140,052 | 255,706 |
90 or more days delinquent, not in foreclosure | 3,655 | 661 |
90 or more days delinquent, in foreclosure | 0 | 0 |
Fair value | 143,707 | 256,367 |
Loans, principal amount due upon maturity [Abstract] | ||
Current through 89 days delinquent | 128,787 | 251,425 |
90 or more days delinquent, not in foreclosure | 4,240 | 809 |
90 or more days delinquent, in foreclosure | 0 | 0 |
Principal amount due upon maturity | 133,027 | 252,234 |
Loans, difference, [Abstract] | ||
Current through 89 days delinquent | 11,265 | 4,281 |
90 or more days delinquent, not in foreclosure | (585) | (148) |
90 or more days delinquent, in foreclosure | 0 | 0 |
Difference | 10,680 | 4,133 |
Loans at Fair Value Held in Consolidated VIE [Member] | Nonperforming mortgage loans [Member] | ||
Loans, fair value [Abstract] | ||
Fair value | 3,655 | 661 |
Loans, principal amount due upon maturity [Abstract] | ||
Principal amount due upon maturity | 4,240 | 809 |
Loans, difference, [Abstract] | ||
Difference | (585) | (148) |
Loans and Mortgage Loans under Forward Purchase Agreements at Fair Value [Member] | ||
Loans, fair value [Abstract] | ||
Current through 89 days delinquent | 2,071 | 3,179 |
90 or more days delinquent, not in foreclosure | 3,714 | 4,897 |
90 or more days delinquent, in foreclosure | 2,242 | 6,350 |
Fair value | 8,027 | 14,426 |
Loans, principal amount due upon maturity [Abstract] | ||
Current through 89 days delinquent | 4,099 | 6,202 |
90 or more days delinquent, not in foreclosure | 12,357 | 13,154 |
90 or more days delinquent, in foreclosure | 4,641 | 15,698 |
Principal amount due upon maturity | 21,097 | 35,054 |
Loans, difference, [Abstract] | ||
Current through 89 days delinquent | (2,028) | (3,023) |
90 or more days delinquent, not in foreclosure | (8,643) | (8,257) |
90 or more days delinquent, in foreclosure | (2,399) | (9,348) |
Difference | (13,070) | (20,628) |
Loans and Mortgage Loans under Forward Purchase Agreements at Fair Value [Member] | Nonperforming mortgage loans [Member] | ||
Loans, fair value [Abstract] | ||
Fair value | 5,956 | 11,247 |
Loans, principal amount due upon maturity [Abstract] | ||
Principal amount due upon maturity | 16,998 | 28,852 |
Loans, difference, [Abstract] | ||
Difference | $ (11,042) | $ (17,605) |
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, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | $ 0 | $ 160,248 | $ 37,994 |
Credit Risk Transfer Strips [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (24,292) | 30,326 | |
Net Gain on Loans Acquired for Sale [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 99,305 | 30,595 |
Net Gain on Loans Acquired for Sale [Member] | Credit Risk Transfer Strips [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | |
Net (Loss) Gain on Investments [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 60,943 | 7,399 |
Net (Loss) Gain on Investments [Member] | Credit Risk Transfer Strips [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (24,292) | 30,326 | |
Net Loan Servicing Fees [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Net Loan Servicing Fees [Member] | Credit Risk Transfer Strips [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | |
Net Interest (Expense) Income [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Net Interest (Expense) Income [Member] | Credit Risk Transfer Strips [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | |
Interest-only security payable [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 14,952 | 10,302 | (28,941) |
Interest-only security payable [Member] | Net Gain on Loans Acquired for Sale [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Interest-only security payable [Member] | Net (Loss) Gain on Investments [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 14,952 | 10,302 | (28,941) |
Interest-only security payable [Member] | Net Loan Servicing Fees [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Interest-only security payable [Member] | Net Interest (Expense) Income [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Asset-Backed Financing of the VIE at Fair Value [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 1,301 | (9,614) | 9,033 |
Asset-Backed Financing of the VIE at Fair Value [Member] | Net Gain on Loans Acquired for Sale [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Asset-Backed Financing of the VIE at Fair Value [Member] | Net (Loss) Gain on Investments [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 5,519 | (7,553) | 9,610 |
Asset-Backed Financing of the VIE at Fair Value [Member] | Net Loan Servicing Fees [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Asset-Backed Financing of the VIE at Fair Value [Member] | Net Interest (Expense) Income [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (4,218) | (2,061) | (577) |
Liabilities, Total [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 16,253 | 688 | (19,908) |
Liabilities, Total [Member] | Net Gain on Loans Acquired for Sale [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Liabilities, Total [Member] | Net (Loss) Gain on Investments [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 20,471 | 2,749 | (19,331) |
Liabilities, Total [Member] | Net Loan Servicing Fees [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Liabilities, Total [Member] | Net Interest (Expense) Income [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (4,218) | (2,061) | (577) |
Loans acquired for sale at fair value [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 817,158 | 163,244 | (5,298) |
Loans acquired for sale at fair value [Member] | Net Gain on Loans Acquired for Sale [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 817,158 | 163,244 | (5,298) |
Loans acquired for sale at fair value [Member] | Net (Loss) Gain on Investments [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Loans acquired for sale at fair value [Member] | Net Loan Servicing Fees [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Loans acquired for sale at fair value [Member] | Net Interest (Expense) Income [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Loans at fair value [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (4,678) | 4,134 | (16,157) |
Loans at fair value [Member] | Net Gain on Loans Acquired for Sale [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Loans at fair value [Member] | Net (Loss) Gain on Investments [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (7,454) | 714 | (23,696) |
Loans at fair value [Member] | Net Loan Servicing Fees [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Loans at fair value [Member] | Net Interest (Expense) Income [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 2,776 | 3,420 | 7,539 |
Mortgage-backed securities at fair value [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 64,529 | 64,430 | (16,055) |
Mortgage-backed securities at fair value [Member] | Net Gain on Loans Acquired for Sale [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Mortgage-backed securities at fair value [Member] | Net (Loss) Gain on Investments [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 87,852 | 77,283 | (11,262) |
Mortgage-backed securities at fair value [Member] | Net Loan Servicing Fees [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Mortgage-backed securities at fair value [Member] | Net Interest (Expense) Income [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (23,323) | (12,853) | (4,793) |
Firm commitment to purchase CRT securities [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (159,228) | ||
Firm commitment to purchase CRT securities [Member] | Net Gain on Loans Acquired for Sale [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (38,161) | ||
Firm commitment to purchase CRT securities [Member] | Net (Loss) Gain on Investments [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (121,067) | ||
Firm commitment to purchase CRT securities [Member] | Net Loan Servicing Fees [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | ||
Firm commitment to purchase CRT securities [Member] | Net Interest (Expense) Income [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | ||
Mortgage loans under forward purchase agreements at fair value [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | ||
Mortgage loans under forward purchase agreements at fair value [Member] | Net Gain on Loans Acquired for Sale [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | ||
Mortgage loans under forward purchase agreements at fair value [Member] | Net (Loss) Gain on Investments [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | ||
Mortgage loans under forward purchase agreements at fair value [Member] | Net Loan Servicing Fees [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | ||
Mortgage loans under forward purchase agreements at fair value [Member] | Net Interest (Expense) Income [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | ||
Excess servicing spread [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (16,552) | 1,035 | 23,638 |
Excess servicing spread [Member] | Net Gain on Loans Acquired for Sale [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Excess servicing spread [Member] | Net (Loss) Gain on Investments [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (24,970) | (9,256) | 8,500 |
Excess servicing spread [Member] | Net Loan Servicing Fees [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Excess servicing spread [Member] | Net Interest (Expense) Income [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 8,418 | 10,291 | 15,138 |
MSRs at fair value [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (938,937) | (464,353) | (58,780) |
MSRs at fair value [Member] | Net Gain on Loans Acquired for Sale [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
MSRs at fair value [Member] | Net (Loss) Gain on Investments [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
MSRs at fair value [Member] | Net Loan Servicing Fees [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (938,937) | (464,353) | (58,780) |
MSRs at fair value [Member] | Net Interest (Expense) Income [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Assets, Total [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (262,000) | (40,936) | (34,658) |
Assets, Total [Member] | Net Gain on Loans Acquired for Sale [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 778,997 | 262,549 | 25,297 |
Assets, Total [Member] | Net (Loss) Gain on Investments [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (89,931) | 160,010 | (19,059) |
Assets, Total [Member] | Net Loan Servicing Fees [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (938,937) | (464,353) | (58,780) |
Assets, Total [Member] | Net Interest (Expense) Income [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | $ (12,129) | $ 858 | $ 17,884 |
Fair Value - Summary of Carryin
Fair Value - Summary of Carrying Value of Assets Re-measured Based on Fair Value on Nonrecurring Basis (Detail) - Nonrecurring [Member] - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Real estate acquired in settlement of loans | $ 12,656 | $ 24,115 |
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 |
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 |
Level 3 [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Real estate acquired in settlement of loans | $ 12,656 | $ 24,115 |
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, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Nonrecurring [Member] | |||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | |||
Real estate asset acquired in settlement of loans | $ (1,638) | $ (2,155) | $ (4,434) |
Fair Value - Fair Values of Not
Fair Value - Fair Values of Notes Payable Secured by Credit Risk Transfer and Mortgage Servicing Rights and Exchangeable Senior Notes (Detail) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Notes Payable Secured by Credit Risk Transfer and Mortgage Servicing Assets [Member] | Carrying Value [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Notes payable | $ 1,924,999 | $ 1,696,295 |
Notes Payable Secured by Credit Risk Transfer and Mortgage Servicing Assets [Member] | Fair Value [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Notes payable | 1,871,276 | 1,705,544 |
Exchangeable Notes [Member] | Carrying Value [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Notes payable | 196,796 | 443,506 |
Exchangeable Notes [Member] | Fair Value [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Notes payable | $ 207,428 | $ 462,117 |
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, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | |||
Excess servicing spread purchased from PFSI | $ 131,750 | $ 178,586 | |
UPB of underlying loans (in thousands) | 103,136,121 | 59,951,884 | $ 28,923,523 |
Excess servicing spread [Member] | |||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | |||
Excess servicing spread purchased from PFSI | 131,750 | 178,586 | |
Excess servicing spread [Member] | Weighted Average [Member] | |||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | |||
UPB of underlying loans (in thousands) | $ 15,833,050 | $ 19,904,571 | |
Average servicing fee rate (in basis points) | 0.34% | 0.34% | |
Average ESS rate (in basis points) | 0.19% | 0.19% | |
Pricing spread | 5.10% | 3.10% | |
Annual total prepayment speed | 11.70% | 11.00% | |
Equivalent life (in years) | 0 years | 6 years 1 month 6 days | |
Excess servicing spread [Member] | Minimum [Member] | |||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | |||
Pricing spread | 0.00% | 3.00% | |
Annual total prepayment speed | 0.00% | 8.70% | |
Equivalent life (in years) | 0 years | 2 years 8 months 12 days | |
Excess servicing spread [Member] | Maximum [Member] | |||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | |||
Pricing spread | 0.00% | 3.30% | |
Annual total prepayment speed | 0.00% | 16.20% | |
Equivalent life (in years) | 0 years | 7 years 2 months 12 days |
Fair Value - Quantitative Summa
Fair Value - Quantitative Summary of Key Unobservable Inputs Used in Review and Approval of Broker-provided Fair Values for CRT Agreements (Detail) - CRT Agreements [Member] - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Fair value of CRT derivatives | ||
Fair value of CRT derivatives assets | $ 58,699 | $ 115,863 |
Fair value of CRT derivatives liabilities | 26,904 | 0 |
UPB of loans in reference pools | $ 13,854,426 | $ 24,824,616 |
Discount Rate [Member] | Minimum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 0.00% | 4.70% |
Discount Rate [Member] | Maximum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 0.00% | 5.30% |
Discount Rate [Member] | Weighted Average [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 7.30% | 5.20% |
Voluntary Prepayment Speed [Member] | Minimum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 0.00% | 16.40% |
Voluntary Prepayment Speed [Member] | Maximum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 0.00% | 18.50% |
Voluntary Prepayment Speed [Member] | Weighted Average [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 21.90% | 17.90% |
Involuntary Prepayment Speed [Member] | Minimum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 0.00% | 0.20% |
Involuntary Prepayment Speed [Member] | Maximum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 0.00% | 0.30% |
Involuntary Prepayment Speed [Member] | Weighted Average [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | (0.20%) | 0.30% |
Remaining Loss Expectation [Member] | Minimum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 0.00% | 0.10% |
Remaining Loss Expectation [Member] | Maximum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 0.00% | 0.10% |
Remaining Loss Expectation [Member] | Weighted Average [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | (0.30%) | 0.10% |
Fair Value - Quantitative Sum_2
Fair Value - Quantitative Summary of Key Unobservable Inputs Used in Valuation of Interest Rate Lock Commitments (Detail) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
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 | 0.00% | 64.60% |
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 | 0.00% | 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 | 86.30% | 93.30% |
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 | 0.00% | 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 | 0.00% | 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 | 4.40% | 4.70% |
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 | 0.00% | 0.70% |
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 | 0.00% | 2.20% |
Percentage of UPB [Member] | Weighted Average [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 1.20% | 1.40% |
Interest Rate Lock Commitments [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fair value | $ 72,386 | $ 11,154 |
Fair Value - Summary of Key Uno
Fair Value - Summary of Key Unobservable Inputs Used in Valuation Credit Risk Transfer Strips (Detail) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
CRT strips: | ||
Assets | $ 0 | $ 54,930 |
Liabilities | 202,792 | 0 |
CRT Strips [Member] | ||
CRT strips: | ||
Assets | 0 | 54,930 |
Liabilities | 202,792 | 0 |
UPB of loans in the reference pools | $ 44,843,516 | $ 17,119,501 |
CRT Strips [Member] | Maximum [Member] | Discount Rate [Member] | ||
CRT strips: | ||
Key inputs used in valuation | 8.40% | |
CRT Strips [Member] | Maximum [Member] | Voluntary Prepayment Speed [Member] | ||
CRT strips: | ||
Key inputs used in valuation | 30.20% | |
CRT Strips [Member] | Maximum [Member] | Involuntary Prepayment Speed [Member] | ||
CRT strips: | ||
Key inputs used in valuation | 1.70% | |
CRT Strips [Member] | Maximum [Member] | Remaining Loss Expectation [Member] | ||
CRT strips: | ||
Key inputs used in valuation | 0.60% | |
CRT Strips [Member] | Minimum [Member] | Discount Rate [Member] | ||
CRT strips: | ||
Key inputs used in valuation | 6.00% | |
CRT Strips [Member] | Minimum [Member] | Voluntary Prepayment Speed [Member] | ||
CRT strips: | ||
Key inputs used in valuation | 25.00% | |
CRT Strips [Member] | Minimum [Member] | Involuntary Prepayment Speed [Member] | ||
CRT strips: | ||
Key inputs used in valuation | 0.80% | |
CRT Strips [Member] | Minimum [Member] | Remaining Loss Expectation [Member] | ||
CRT strips: | ||
Key inputs used in valuation | 0.30% | |
CRT Strips [Member] | Weighted Average [Member] | Discount Rate [Member] | ||
CRT strips: | ||
Key inputs used in valuation | 8.00% | 6.30% |
CRT Strips [Member] | Weighted Average [Member] | Voluntary Prepayment Speed [Member] | ||
CRT strips: | ||
Key inputs used in valuation | 26.20% | 23.40% |
CRT Strips [Member] | Weighted Average [Member] | Involuntary Prepayment Speed [Member] | ||
CRT strips: | ||
Key inputs used in valuation | 1.00% | 0.20% |
CRT Strips [Member] | Weighted Average [Member] | Remaining Loss Expectation [Member] | ||
CRT strips: | ||
Key inputs used in valuation | 0.40% | 0.10% |
Fair Value - Summary of Key U_2
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] $ in Thousands | Dec. 31, 2019USD ($) |
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | |
UPB of loans in the reference pools | $ 38,738,396 |
Discount Rate [Member] | |
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | |
Key inputs used in valuation | 6.50% |
Voluntary Prepayment Speed [Member] | |
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | |
Key inputs used in valuation | 14.30% |
Involuntary Prepayment Speed [Member] | |
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | |
Key inputs used in valuation | 0.10% |
Remaining Loss Expectation [Member] | |
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | |
Key inputs used in valuation | 0.10% |
Fair Value - Key Assumptions Us
Fair Value - Key Assumptions Used in Determining Fair Value of MSRs at Time of Initial Recognition (Detail) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020USD ($)$ / Loan | Dec. 31, 2019USD ($)$ / Loan | Dec. 31, 2018USD ($)$ / Loan | |
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | |||
Fair Value, MSR recognized | $ | $ 1,158,475 | $ 837,706 | $ 356,755 |
Fair Value, UPB of underlying loans | $ | $ 103,136,121 | $ 59,951,884 | $ 28,923,523 |
Fair Value, Weighted-average annual servicing fee rate (in basis points) | 0.28% | 0.31% | 0.26% |
Minimum [Member] | |||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | |||
Fair Value inputs, Pricing spread during period | 0.00% | 5.60% | 5.80% |
Fair Value inputs, Prepayment speed during period | 0.00% | 8.50% | 3.20% |
Fair Value inputs, Weighted average equivalent average life during period | 0 years | 3 years 1 month 6 days | 2 years 3 months 18 days |
Fair Value inputs, Annual per loan cost of servicing during period | 0 | 78 | 77 |
Maximum [Member] | |||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | |||
Fair Value inputs, Pricing spread during period | 0.00% | 9.90% | 12.90% |
Fair Value inputs, Prepayment speed during period | 0.00% | 26.10% | 35.30% |
Fair Value inputs, Weighted average equivalent average life during period | 0 years | 7 years 8 months 12 days | 11 years 10 months 24 days |
Fair Value inputs, Annual per loan cost of servicing during period | 0 | 78 | 79 |
Weighted Average [Member] | |||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | |||
Fair Value inputs, Pricing spread during period | 7.80% | 6.10% | 6.90% |
Fair Value inputs, Prepayment speed during period | 10.00% | 11.70% | 9.90% |
Fair Value inputs, Weighted average equivalent average life during period | 0 years | 6 years 9 months 18 days | 7 years 7 months 6 days |
Fair Value inputs, Annual per loan cost of servicing during period | 80 | 78 | 79 |
Fair Value - Quantitative Sum_3
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) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2020USD ($)$ / Loan | Dec. 31, 2019USD ($)$ / Loan | Dec. 31, 2018USD ($) | Dec. 31, 2017USD ($) | |
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||||
Balance at end of period | $ 1,755,236 | $ 1,535,705 | $ 1,162,369 | $ 91,459 |
UPB of underlying loans, Fair Value | $ 170,728,322 | $ 131,024,381 | ||
Weighted-average annual servicing fee rate (in basis points), Fair value input | 0.28% | 0.28% | ||
Weighted-average note interest rate, Fair value | 3.60% | 4.20% | ||
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 | $ (31,400) | $ (20,666) | ||
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 | (61,718) | (40,783) | ||
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 | (119,305) | (79,453) | ||
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 | (48,136) | (35,768) | ||
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 | (94,244) | (69,973) | ||
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 | (180,820) | (134,068) | ||
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 | (11,846) | (9,964) | ||
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 | (23,692) | (19,928) | ||
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 | $ (47,385) | $ (39,856) | ||
Minimum [Member] | ||||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||||
Estimated fair value inputs, Pricing spread | 0.00% | 6.80% | ||
Estimated fair value inputs, Prepayment speed | 0.00% | 10.20% | ||
Estimated fair value inputs, Annual per-loan cost of servicing | $ / Loan | 77 | 77 | ||
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) | 0 years | 2 years 4 months 24 days | ||
Maximum [Member] | ||||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||||
Estimated fair value inputs, Pricing spread | 0.00% | 9.90% | ||
Estimated fair value inputs, Prepayment speed | 0.00% | 22.00% | ||
Estimated fair value inputs, Annual per-loan cost of servicing | $ / Loan | 79 | 78 | ||
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) | 0 years | 6 years 6 months | ||
Weighted Average [Member] | ||||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||||
Estimated fair value inputs, Pricing spread | 8.00% | 6.80% | ||
Estimated fair value inputs, Prepayment speed | 12.80% | 12.10% | ||
Estimated fair value inputs, Annual per-loan cost of servicing | $ / Loan | 81 | 78 | ||
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) | 0 years | 6 years 3 months 18 days |
Mortgage Backed Securities - Su
Mortgage Backed Securities - Summary of Investment in Mortgage Backed Securities Activity (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Mortgage Backed Securities [Line Items] | |||
Balance at beginning of year | $ 2,839,633 | ||
Changes in fair value included in income arising from: | |||
Balance at end of year | 2,213,922 | $ 2,839,633 | |
Mortgage Backed Securities [Member] | |||
Mortgage Backed Securities [Line Items] | |||
Balance at beginning of year | 2,839,633 | 2,610,422 | $ 989,461 |
Purchases | 2,332,096 | 1,250,289 | 1,810,877 |
Sales | (1,979,789) | (704,178) | 0 |
Repayments | (1,042,547) | (381,330) | (173,862) |
Changes in fair value included in income arising from: | |||
Amortization of net purchase premiums | (23,323) | (12,853) | (4,792) |
Valuation adjustments | 87,852 | 77,283 | (11,262) |
Total changes in fair value included in income | 64,529 | 64,430 | (16,054) |
Balance at end of year | $ 2,213,922 | $ 2,839,633 | $ 2,610,422 |
Mortgage Backed Securities - _2
Mortgage Backed Securities - Summary of Investment in Mortgage Backed Securities (Detail) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Mortgage Backed Securities [Line Items] | ||
Fair value | $ 2,213,922 | $ 2,839,633 |
Mortgage Backed Securities [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Principal balance | 2,117,513 | 2,755,798 |
Unamortized net purchase premiums | 56,106 | 40,740 |
Accumulated valuation changes | 40,303 | 43,095 |
Fair value | 2,213,922 | 2,839,633 |
Fannie Mae [Member] | Mortgage Backed Securities [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Principal balance | 863,758 | 1,946,203 |
Unamortized net purchase premiums | 23,692 | 29,657 |
Accumulated valuation changes | 15,436 | 33,233 |
Fair value | 902,886 | 2,009,093 |
Freddie Mac [Member] | Mortgage Backed Securities [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Principal balance | 1,253,755 | 809,595 |
Unamortized net purchase premiums | 32,414 | 11,083 |
Accumulated valuation changes | 24,867 | 9,862 |
Fair value | $ 1,311,036 | $ 830,540 |
Mortgage Backed Securities - _3
Mortgage Backed Securities - Summary of Investment in Mortgage Backed Securities (Parenthetical) (Detail) | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Minimum [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Mortgage backed securities, maturity period | 10 years | 10 years |
Loans Acquired for Sale at Fa_3
Loans Acquired for Sale at Fair Value - Summary of Distribution of Company's Loans Acquired for Sale at Fair Value (Detail) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Loans acquired for sale at fair value | $ 3,551,890 | $ 4,148,425 |
Loans pledged to secure total | 3,501,847 | 4,070,134 |
Loans acquired for sale at fair value [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Loans pledged to secure Assets sold under agreements to repurchase | 3,484,202 | 4,070,134 |
PennyMac Loan Services, LLC [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Loans acquired for sale at fair value | 460,414 | 490,383 |
Mortgage Loans Acquired for Sale [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Loans pledged to secure mortgage loan participation purchase and sale agreements | 17,645 | 0 |
Agency-Eligible [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Loans acquired for sale at fair value | 3,057,601 | 3,626,038 |
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] | ||
Loans acquired for sale at fair value | 460,414 | 490,383 |
Jumbo [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Loans acquired for sale at fair value | 0 | 13,437 |
Home Equity Lines of Credit [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Loans acquired for sale at fair value | 5,566 | 4,632 |
Commercial Real Estate [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Loans acquired for sale at fair value | 1,010 | 1,015 |
Repurchased Pursuant to Representations and Warranties [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Loans acquired for sale at fair value | $ 27,299 | $ 12,920 |
Loans at Fair Value - Summary o
Loans at Fair Value - Summary of Distribution of Company's Loans at Fair Value (Detail) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Financing Receivable, Recorded Investment [Line Items] | ||
Asset-backed financing of a VIE at fair value | $ 143,707 | $ 256,367 |
Loans at fair value pledged to secure | 147,410 | 268,757 |
Fair value | 151,734 | 270,793 |
Distressed [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 8,027 | 14,426 |
Fixed interest rate jumbo loans held in a VIE [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 143,707 | 256,367 |
Loans acquired for sale at fair value [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Assets sold under agreements to repurchase | 3,703 | 12,390 |
Fair value | $ 3,551,890 | $ 4,148,425 |
Derivative and Credit Risk Tr_3
Derivative and Credit Risk Transfer Strip Assets and Liabilities - Summary of Derivative and Credit Risk Transfer Assets and Liabilities (Detail) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | ||
Derivative assets | $ 164,318 | $ 147,388 |
Credit risk transfer strip assets | 0 | 54,930 |
Derivative and credit risk transfer strip assets | 164,318 | 202,318 |
Derivative liabilities | 60,681 | 6,423 |
Liabilities | 202,792 | 0 |
Total derivative and credit risk transfer liabilities | $ 263,473 | $ 6,423 |
Derivative and Credit Risk Tr_4
Derivative and Credit Risk Transfer Strip Assets and Liabilities - Derivative Assets and Derivative Liabilities and Related Margin Deposits Recorded in Other Assets (Detail) - USD ($) | Dec. 31, 2020 | Dec. 31, 2019 | |
Derivatives Fair Value [Line Items] | |||
Notional amount | [1] | $ 0 | $ 0 |
Total derivative assets instruments before netting | 223,648,000 | 153,666,000 | |
Derivative assets, Netting | (59,330,000) | (6,278,000) | |
Total derivative and credit risk transfer strip assets after netting | 164,318,000 | 147,388,000 | |
Margin deposits placed with derivatives counterparties, net | 30,197,000 | 7,114,000 | |
Derivative assets pledged to secure: | |||
Notes payable | 1,924,999,000 | 1,696,295,000 | |
Derivative and credit risk transfer strip assets | 164,318,000 | 202,318,000 | |
Total derivative liabilities | 150,213,000 | 19,816,000 | |
Derivative liabilities, Netting | (89,532,000) | (13,393,000) | |
Total derivative liabilities after netting | 60,681,000 | 6,423,000 | |
Derivative assets related to CRT Derivatives [Member] | |||
Derivative assets pledged to secure: | |||
Assets sold under agreements to repurchase | 0 | 27,073,000 | |
Notes payable | 58,699,000 | 115,110,000 | |
Derivative and credit risk transfer strip assets | 58,699,000 | 142,183,000 | |
Repurchase Agreement Derivatives [Member] | |||
Derivatives Fair Value [Line Items] | |||
Total derivative assets instruments before netting | 0 | 5,275,000 | |
Derivative assets, Netting | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 0 | 5,275,000 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 0 | 0 | |
CRT Derivatives [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1] | 13,854,426,000 | 24,824,616,000 |
Total derivative assets instruments before netting | 58,699,000 | 115,863,000 | |
Derivative assets, Netting | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 58,699,000 | 115,863,000 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 26,904,000 | 0 | |
Swaption [Member] | |||
Derivatives Fair Value [Line Items] | |||
Total derivative assets instruments before netting | [2] | 8,505,000 | 4,347,000 |
Forward Purchase Contracts [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 17,563,549,000 | 5,883,198,000 |
Total derivative assets instruments before netting | [2] | 72,526,000 | 7,525,000 |
Derivative assets, Netting | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 72,526,000 | 7,525,000 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | [2] | 17,000 | 3,600,000 |
Derivative liabilities, Netting | 0 | 0 | |
Swaption [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 3,655,000,000 | 2,075,000,000 |
Total derivative assets instruments before netting | 8,505,000 | 4,347,000 | |
Derivative assets, Netting | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 8,505,000 | 4,347,000 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | [2] | 0 | 0 |
Interest Rate Lock Commitments [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1] | 10,588,208,000 | 3,199,680,000 |
Total derivative assets instruments before netting | 72,794,000 | 11,726,000 | |
Total derivative and credit risk transfer strip assets after netting | 72,794,000 | 11,726,000 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 408,000 | 572,000 | |
Forward Sale Contracts [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 26,615,716,000 | 9,297,179,000 |
Total derivative assets instruments before netting | [2] | 92,000 | 637,000 |
Derivative assets, Netting | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 92,000 | 637,000 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | [2] | 122,884,000 | 15,644,000 |
Derivative liabilities, Netting | 0 | 0 | |
Call Options on Interest Rate Futures [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 1,450,000,000 | 2,662,500,000 |
Total derivative assets instruments before netting | [2] | 3,070,000 | 3,809,000 |
Derivative assets, Netting | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 3,070,000 | 3,809,000 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | [2] | 0 | 0 |
Put Options on Interest Rate Futures [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 2,800,000,000 | 950,000,000 |
Total derivative assets instruments before netting | [2] | 4,742,000 | 2,859,000 |
Derivative assets, Netting | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 4,742,000 | 2,859,000 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | [2] | 0 | 0 |
MBS Put Options [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 3,625,000,000 | 4,000,000,000 |
Total derivative assets instruments before netting | [2] | 3,220,000 | 1,625,000 |
Derivative assets, Netting | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 3,220,000 | 1,625,000 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | [2] | 0 | 0 |
Swap Futures [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 1,950,000,000 | 2,700,000,000 |
Total derivative assets instruments before netting | [2] | 0 | 0 |
Derivative assets pledged to secure: | |||
Total derivative liabilities | [2] | 0 | 0 |
Bond Futures [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 66,500,000 | 114,500,000 |
Total derivative assets instruments before netting | [2] | 0 | 0 |
Derivative assets pledged to secure: | |||
Total derivative liabilities | [2] | $ 0 | $ 0 |
[1] | Notional amounts provide an indication of the volume of the Company’s derivative activity. | ||
[2] | All hedging derivatives are interest rate derivatives and are used as economic hedges. |
Derivative and Credit Risk Tr_5
Derivative and Credit Risk Transfer Strip Assets and Liabilities - Summary of Net Derivative Assets (Detail) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | $ 223,648 | $ 153,666 | |
Gross amounts offset in the consolidated balance sheet | (59,330) | (6,278) | |
Total derivative and credit risk transfer strip assets after netting | 164,318 | 147,388 | |
Repurchase Agreement Derivatives [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | 0 | 5,275 | |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 0 | 5,275 | |
CRT Derivatives [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | 58,699 | 115,863 | |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 58,699 | 115,863 | |
Forward Purchase Contracts [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | [1] | 72,526 | 7,525 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 72,526 | 7,525 | |
Forward Sale Contracts [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | [1] | 92 | 637 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 92 | 637 | |
Swaption [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | 8,505 | 4,347 | |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 8,505 | 4,347 | |
Interest Rate Lock Commitments [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | 72,794 | 11,726 | |
Total derivative and credit risk transfer strip assets after netting | 72,794 | 11,726 | |
Derivatives Subject to Master Netting Arrangements [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | 92,155 | 20,802 | |
Gross amounts offset in the consolidated balance sheet | (59,330) | (6,278) | |
Total derivative and credit risk transfer strip assets after netting | 32,825 | 14,524 | |
Derivatives Not Subject To Master Netting Adjustment [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | 131,493 | 132,864 | |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 131,493 | 132,864 | |
Derivatives Not Subject To Master Netting Adjustment [Member] | Interest Rate Lock Commitments [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | 72,794 | 11,726 | |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 72,794 | 11,726 | |
Call Options on Interest Rate Futures [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | [1] | 3,070 | 3,809 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 3,070 | 3,809 | |
Put Options on Interest Rate Futures [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | [1] | 4,742 | 2,859 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 4,742 | 2,859 | |
MBS Put Options [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | [1] | 3,220 | 1,625 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 3,220 | 1,625 | |
Netting [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | 0 | 0 | |
Gross amounts offset in the consolidated balance sheet | (59,330) | (6,278) | |
Total derivative and credit risk transfer strip assets after netting | $ (59,330) | $ (6,278) | |
[1] | All hedging derivatives are interest rate derivatives and are used as economic hedges. |
Derivative and Credit Risk Tr_6
Derivative and Credit Risk Transfer Strip Assets and Liabilities - Summary of Derivative Assets, Financial Instruments and Collateral Held by Counterparty (Detail) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Offsetting Assets [Line Items] | ||
Total derivative and credit risk transfer strip assets after netting | $ 164,318 | $ 147,388 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 164,318 | 147,388 |
CRT Derivatives [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative and credit risk transfer strip assets after netting | 58,699 | 115,863 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 58,699 | 115,863 |
Interest Rate Lock Commitments [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative and credit risk transfer strip assets after netting | 72,794 | 11,726 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 72,794 | 11,726 |
RJ O'Brien & Associates, LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative and credit risk transfer strip assets after netting | 7,813 | 6,668 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 7,813 | 6,668 |
PNC Capital Markets LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative and credit risk transfer strip assets after netting | 3,138 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 3,138 | 0 |
Citigroup Global Markets Inc. [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative and credit risk transfer strip assets after netting | 2,416 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 2,416 | 0 |
Deutsche Bank Securities LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative and credit risk transfer strip assets after netting | 1,602 | 5,398 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 1,602 | 5,398 |
Mitsubishi U F J Securities [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative and credit risk transfer strip assets after netting | 1,070 | 45 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 1,070 | 45 |
Bank of America, N.A. [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative and credit risk transfer strip assets after netting | 15,406 | 2,489 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 15,406 | 2,489 |
J.P. Morgan Securities LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative and credit risk transfer strip assets after netting | 0 | 1,551 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 0 | 1,551 |
Other [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative and credit risk transfer strip assets after netting | 1,380 | 3,648 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | $ 1,380 | $ 3,648 |
Derivative and Credit Risk Tr_7
Derivative and Credit Risk Transfer Strip Assets and Liabilities - Schedule of Offsetting of Derivative Liabilities and Financial Liabilities (Detail) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | $ 6,459,631 | $ 6,668,706 |
Gross amounts offset in the consolidated balance sheet | (89,532) | (13,393) |
Net amounts of liabilities presented in the consolidated balance sheet | 6,370,099 | 6,655,313 |
Unpaid Principal Balance [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 6,317,928 | 6,649,179 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 6,317,928 | 6,649,179 |
Forward Purchase Contracts [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 17 | 3,600 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 17 | 3,600 |
Forward Sale Contracts [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 122,884 | 15,644 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 122,884 | 15,644 |
Netting [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 0 | 0 |
Gross amounts offset in the consolidated balance sheet | (89,532) | (13,393) |
Net amounts of liabilities presented in the consolidated balance sheet | (89,532) | (13,393) |
Derivatives Not Subject To Master Netting Adjustment [Member] | Interest Rate Lock Commitments [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 408 | 572 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 408 | 572 |
Derivatives Not Subject To Master Netting Adjustment [Member] | CRT Derivatives [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 26,904 | 0 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 26,904 | 0 |
Derivatives Subject to Master Netting Arrangements [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 122,901 | 19,244 |
Gross amounts offset in the consolidated balance sheet | (89,532) | (13,393) |
Net amounts of liabilities presented in the consolidated balance sheet | 33,369 | 5,851 |
Derivative Liabilities Before Netting [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 150,213 | 19,816 |
Gross amounts offset in the consolidated balance sheet | (89,532) | (13,393) |
Net amounts of liabilities presented in the consolidated balance sheet | 60,681 | 6,423 |
Unamortized Debt Issuance Costs [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | (8,510) | (289) |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | (8,510) | (289) |
Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 6,309,418 | 6,648,890 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | $ 6,309,418 | $ 6,648,890 |
Derivative and Credit Risk Tr_8
Derivative and Credit Risk Transfer Strip Assets and Liabilities - Summary of Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty (Detail) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | $ 6,370,099 | $ 6,655,313 |
Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 6,309,418 | 6,648,890 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 6,378,609 | 6,655,602 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (6,317,928) | (6,649,179) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 60,681 | 6,423 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | CRT Derivatives [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 26,904 | 0 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 26,904 | 0 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Interest Rate Lock Commitments [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 408 | 572 |
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 | 408 | 572 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Credit Suisse Securities (USA) LLC [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 1,059,547 | 720,411 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (1,054,636) | (719,902) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 4,911 | 509 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Bank of America, N.A. [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 414,044 | 1,339,291 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (414,044) | (1,339,291) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | J.P. Morgan Securities LLC [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 359,573 | 1,736,829 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (357,211) | (1,736,829) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 2,362 | 0 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Daiwa Capital Markets [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 728,207 | 906,439 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (727,562) | (906,439) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 645 | 0 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Morgan Stanley & Co. LLC [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 367,493 | 656,728 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (366,415) | (656,728) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 1,078 | 0 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Citigroup Global Markets Inc. [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 830,161 | 412,999 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (830,161) | (411,933) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 1,066 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Mizuho Securities [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 279,321 | 392,038 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (277,521) | (391,627) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 1,800 | 411 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | RBC Capital Markets, L.P. [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 765,892 | 290,388 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (765,892) | (290,388) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | BNP Paribas [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 164,414 | 116,155 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (163,548) | (115,733) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 866 | 422 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Amherst Pierpont Securities LLC [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 153,224 | 80,309 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (153,224) | (80,309) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Barclays Capital Inc. [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 922,959 | 52 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (922,035) | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 924 | 52 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Goldman Sachs & Co. LLC [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 149,272 | 0 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (144,883) | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 4,389 | 0 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Fannie Mae [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 5,883 | 0 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 5,883 | 0 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Fannie Mae [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 0 | 1,996 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 1,996 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Wells Fargo Securities, LLC [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 148,854 | 0 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (140,796) | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 8,058 | 0 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Other [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 2,453 | 1,395 |
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 | $ 2,453 | $ 1,395 |
Derivative and Credit Risk Tr_9
Derivative and Credit Risk Transfer Strip Assets and Liabilities - Net Gains (Losses) Recognized on Derivative Financial Instruments (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Gain Loss on 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 | $ 61,232 | $ (834) | $ 7,356 |
Interest expense [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net gains on derivative financial instruments used as economic hedges | 53 | 24 | 191 |
Fixed-rate and prepayments sensitive assets and LIBOR- indexed repurchase agreements [Member] | Net (loss) gain on investments [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net gains on derivative financial instruments used as economic hedges | 32,932 | 28,785 | (4,152) |
CRT Derivatives [Member] | Net (loss) gain on investments [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net gains on derivative financial instruments used as economic hedges | (136,598) | 70,048 | 112,275 |
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 | 601,743 | 80,622 | (35,550) |
Interest rate lock commitments and loans acquired for sale at fair value [Member] | Gain Loss on loans acquired for sale [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net gains on derivative financial instruments used as economic hedges | $ (459,309) | $ (91,084) | $ 25,334 |
Derivative and Credit Risk T_10
Derivative and Credit Risk Transfer Strip Assets and Liabilities - Summary of Investment In CRT Strips (Detail) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Credit risk transfer strips contractually restricted from sale | ||
CRT strips, Assets | $ 0 | $ 54,930 |
CRT strips, Liabilities | 202,792 | 0 |
Credit Risk Transfer Strips [Member] | ||
Credit risk transfer strips contractually restricted from sale | ||
CRT strips, Assets | 0 | 54,930 |
CRT strips, Liabilities | 202,792 | 0 |
Credit Risk Transfer Strips [Member] | Through June 13, 2020 [Member] | ||
Credit risk transfer strips contractually restricted from sale | ||
CRT strips, Assets | 0 | 17,629 |
Credit Risk Transfer Strips [Member] | To Maturity [Member] | ||
Credit risk transfer strips contractually restricted from sale | ||
CRT strips, Assets | 0 | 37,301 |
CRT strips, Liabilities | 34,253 | 0 |
Credit Risk Transfer Strips [Member] | Through December 4, 2020 [Member] | ||
Credit risk transfer strips contractually restricted from sale | ||
CRT strips, Liabilities | $ 168,539 | $ 0 |
Mortgage Servicing Rights - Sum
Mortgage Servicing Rights - Summary of MSRs Carried at Fair Value (Detail) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | ||
Risks Inherent In Servicing Assets And Servicing Liabilities [Line Items] | ||||
Balance at beginning of year | $ 1,535,705 | $ 1,162,369 | $ 91,459 | |
Transfer of mortgage servicing rights from mortgage servicing rights carried at lower of amortized cost or fair value pursuant to a change in accounting principle | 0 | 0 | 773,035 | |
Balance after reclassification | 1,535,705 | 1,162,369 | 864,494 | |
Sales | (7) | (17) | (100) | |
MSRs resulting from loan sales | 1,158,475 | 837,706 | 356,755 | |
Due to changes in valuation inputs used in valuation model | [1] | (706,107) | (262,031) | 60,772 |
Other changes in fair value | [2] | (232,830) | (202,322) | (119,552) |
Change in fair value, Total | (938,937) | (464,353) | (58,780) | |
Balance at end of year | 1,755,236 | 1,535,705 | $ 1,162,369 | |
Pledged Assets [Member] | ||||
Risks Inherent In Servicing Assets And Servicing Liabilities [Line Items] | ||||
Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and Notes payable secured by credit risk transfer and mortgage servicing assets | $ 1,742,905 | $ 1,510,651 | ||
[1] | Primarily reflects changes in pricing spread (discount rate), prepayment speed, and servicing cost inputs. | |||
[2] | Represents changes due to realization of expected cash flows. |
Mortgage Servicing Rights - S_2
Mortgage Servicing Rights - Summary of Net Loan Servicing Fees Relating to MSRs (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Transfers And Servicing [Abstract] | |||
Contractually-specified servicing fees | $ 406,060 | $ 295,390 | $ 204,663 |
Late charges | 1,498 | 1,658 | 974 |
Other | 54,959 | 22,441 | 7,088 |
Net mortgage loan servicing fees | $ 462,517 | $ 319,489 | $ 212,725 |
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, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Assets Sold under Agreements to Repurchase [Line Items] | |||
Weighted average interest rate | 1.62% | 3.25% | 3.25% |
Average balance | $ 5,508,147,000 | $ 5,600,469,000 | $ 3,901,772,000 |
Total interest expense | 102,131,000 | 178,211,000 | 115,383,000 |
Maximum daily amount outstanding | 10,433,609,000 | 8,577,065,000 | $ 6,665,118,000 |
Unpaid principal balance | 6,317,928,000 | 6,649,179,000 | |
Assets sold under agreements to repurchase, At year end | $ 6,309,418,000 | $ 6,648,890,000 | |
Weighted average interest rate | 1.36% | 2.85% | |
Available borrowing capacity, Committed | $ 483,767,000 | $ 0 | |
Available borrowing capacity, Uncommitted | 4,151,905,000 | 2,278,264,000 | |
Available borrowing capacity | 4,635,672,000 | 2,278,264,000 | |
Margin deposits placed with counterparties included in Other assets | 141,808,000 | 91,871,000 | |
Assets Sold Under Agreements to Repurchase [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Unamortized debt issuance costs, net | (8,510,000) | (289,000) | |
Mortgage Backed Securities [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | 2,213,922,000 | 2,839,633,000 | |
Loans Acquired For Sale At Fair Value [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | 3,484,202,000 | 4,070,134,000 | |
Loans at Fair Value [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | 3,703,000 | 12,390,000 | |
Real estate acquired in settlement of loans [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | 15,365,000 | 40,938,000 | |
Mortgage service rights [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | 1,166,090,000 | 1,354,907,000 | |
Deposits securing CRT Agreements [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | 2,799,263,000 | 445,194,000 | |
Credit Risk Transfer Strips [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | $ 0 | $ 27,073,000 |
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 Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Assets Sold under Agreements to Repurchase [Line Items] | |||
Amortization of debt issuance costs | $ 18,987 | $ 34 | $ (9,323) |
Master Repurchase Agreement [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Incentives as a reductions to finance mortgage loans included in interest expense | 10,800 | 19,700 | |
Repurchase expiration date | Aug. 21, 2019 | ||
Assets Sold Under Agreements to Repurchase [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Amortization of debt issuance premiums | $ 4,000 | $ 11,700 | |
Amortization of debt issuance costs | $ 12,900 |
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, 2020USD ($) | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 6,317,928 |
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 | $ 2,335,100 |
Over 30 to 90 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 2,425,275 |
Over 90 days to 180 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 1,376,521 |
Over 180 days to one year [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 181,032 |
Assets Sold Under Agreements _6
Assets Sold Under Agreements to Repurchase - Summary of Assets Sold under Agreements to Repurchase by Counterparty (Detail) $ in Thousands | Dec. 31, 2020USD ($) |
Credit Suisse First Boston Mortgage Capital LLC Maturity in 2020 [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 88,921 |
Citibank, N.A. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | 112,628 |
Citibank, N.A. [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | 31,938 |
Morgan Stanley & Co. LLC [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | 60,325 |
Morgan Stanley & Co. LLC [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | 15,395 |
Bank of America, N.A. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | 3,939 |
Bank of America, N.A. [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | 21,807 |
RBC Capital Markets L.P. [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | 55,831 |
Barclays Capital Inc. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | 5,598 |
Barclays Capital Inc. [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | 28,319 |
JPMorgan Chase & Co. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | 13,672 |
JPMorgan Chase & Co. [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | 6,077 |
BNP Paribas [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | 11,197 |
Wells Fargo Securities, LLC [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | 9,996 |
Daiwa Capital Markets [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | 22,714 |
Goldman Sachs & Co. LLC [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | 59,654 |
Mizuho Securities [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | 13,041 |
Amherst Pierpont Securities LLC [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 7,161 |
Mortgage Loan Participation P_3
Mortgage Loan Participation Purchase and Sale Agreements - Summary of Mortgage Loan Participation Purchase and Sale Agreements (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
At period end: | |||
Mortgage loan participation purchase and sale agreements, At year end | $ 16,851 | $ 0 | |
Mortgage Loan Participation Purchase and Sale Agreement [Member] | |||
Mortgage Loan Participation Purchase And Sale Agreement [Line Items] | |||
Weighted average interest rate | 1.63% | 3.53% | 3.42% |
Average balance | $ 44,432 | $ 40,036 | $ 64,512 |
Total interest expense | 902 | 1,570 | 2,422 |
Maximum daily amount outstanding | 96,570 | $ 207,065 | $ 287,862 |
At period end: | |||
Amount outstanding | 16,851 | ||
Unamortized debt issuance costs | 0 | ||
Mortgage loan participation purchase and sale agreements, At year end | 16,851 | ||
Weighted average interest rate | 1.39% | ||
Loans acquired for sale pledged to secure mortgage loan participation purchase and sale agreements | $ 17,645 |
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, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Mortgage Loan Participation Purchase And Sale Agreement [Line Items] | |||
Amortization of debt issuance costs | $ 18,987,000 | $ 34,000 | $ (9,323,000) |
Mortgage Loan Participation Purchase and Sale Agreement [Member] | |||
Mortgage Loan Participation Purchase And Sale Agreement [Line Items] | |||
Amortization of debt issuance costs | $ 176,000 | $ 158,000 | $ 217,000 |
Notes Payable Secured By Cred_3
Notes Payable Secured By Credit Risk Transfer and Mortgage Servicing Assets - Additional Information (Detail) - USD ($) | Aug. 04, 2020 | Apr. 25, 2018 | Feb. 01, 2018 | Dec. 31, 2020 |
Short-term Debt [Line Items] | ||||
Extended termination date of debt instrument | Apr. 23, 2021 | |||
Secured Term Notes [Member] | ||||
Short-term Debt [Line Items] | ||||
Aggregate loan amount | $ 450,000,000 | |||
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 and prepayments sensitive 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] | Maximum [Member] | ||||
Short-term Debt [Line Items] | ||||
Aggregate loan amount | $ 175,000,000 | |||
PennyMac Loan Services, LLC [Member] | ||||
Short-term Debt [Line Items] | ||||
Line of credit, maximum borrowing capacity | $ 700,000,000 | |||
Extended termination date of debt instrument | Aug. 3, 2021 |
Notes Payable Secured By Cred_4
Notes Payable Secured By Credit Risk Transfer and Mortgage Servicing Assets - Summary of Term Note Issued to Qualified Institutional Buyers (Detail) - Secured Debt $ in Thousands | 12 Months Ended |
Dec. 31, 2020USD ($) | |
Debt Instrument [Line Items] | |
Unpaid principal balance | $ 1,480,019 |
December 22, 2020 [Member] | |
Debt Instrument [Line Items] | |
Notes Issued | 500,000 |
Unpaid principal balance | $ 500,000 |
Interest rate spread (Annual) | 3.81% |
Maturity date, Stated | Dec. 28, 2022 |
February 14, 2020 [Member] | |
Debt Instrument [Line Items] | |
Notes Issued | $ 350,000 |
Unpaid principal balance | $ 190,905 |
Interest rate spread (Annual) | 2.35% |
Maturity date, Stated | Mar. 1, 2023 |
Maturity date, Optional extension | Feb. 27, 2025 |
October 16, 2019 [Member] | |
Debt Instrument [Line Items] | |
Notes Issued | $ 375,000 |
Unpaid principal balance | $ 185,551 |
Interest rate spread (Annual) | 2.70% |
Maturity date, Stated | Oct. 27, 2022 |
Maturity date, Optional extension | Oct. 29, 2024 |
June 11, 2019 [Member] | |
Debt Instrument [Line Items] | |
Notes Issued | $ 638,000 |
Unpaid principal balance | $ 436,473 |
Interest rate spread (Annual) | 2.75% |
Maturity date, Stated | May 29, 2023 |
Maturity date, Optional extension | May 29, 2025 |
March 29, 2019 [Member] | |
Debt Instrument [Line Items] | |
Notes Issued | $ 295,700 |
Unpaid principal balance | $ 167,090 |
Interest rate spread (Annual) | 2.00% |
Maturity date, Stated | Mar. 29, 2022 |
Maturity date, Optional extension | Mar. 27, 2024 |
Notes Payable Secured By Cred_5
Notes Payable Secured By Credit Risk Transfer and Mortgage Servicing Assets - Summary of Financial Information Relating to Note Payable (Detail) - USD ($) | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Carrying value: | |||
Amount outstanding | $ 1,930,018,000 | $ 1,702,262,000 | |
Balance | 1,924,999,000 | 1,696,295,000 | |
Assets securing notes payable: | |||
MSRs | 1,742,905,000 | 1,510,651,000 | |
Deposits securing CRT arrangements | 2,799,263,000 | 1,524,590,000 | |
Derivative assets | $ 58,699,000 | $ 142,183,000 | |
Notes Payable [Member] | |||
Debt Instrument [Line Items] | |||
Weighted-average interest rate | 3.19% | 4.70% | 4.68% |
Average balance | $ 1,771,370,000 | $ 1,101,501,000 | $ 300,035,000 |
Total interest expense | 59,261,000 | 53,968,000 | 14,623,000 |
Maximum daily amount outstanding | 2,032,665,000 | 1,742,227,000 | $ 450,000,000 |
Carrying value: | |||
Unamortized debt issuance costs | $ (5,019,000) | $ (5,967,000) | |
Weighted average interest rate | 2.99% | 4.30% | |
Assets securing notes payable: | |||
Derivative assets | $ 58,699,000 | $ 115,110,000 |
Notes Payable Secured By Cred_6
Notes Payable Secured By Credit Risk Transfer and Mortgage Servicing Assets - Summary of Financial Information Relating to Note Payable (Parenthetical) (Detail) - USD ($) | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Debt Instrument [Line Items] | |||
Amortization of debt issuance costs | $ 18,987,000 | $ 34,000 | $ (9,323,000) |
Notes Payable [Member] | |||
Debt Instrument [Line Items] | |||
Amortization of debt issuance costs | $ 2,700,000 | $ 2,200,000 | $ 681,000 |
Exchangeable Notes - Additional
Exchangeable Notes - Additional Information (Detail) | Nov. 04, 2019USD ($) | Dec. 31, 2020USD ($) | Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) | Apr. 30, 2013USD ($) |
Debt Instrument [Line Items] | |||||
Gain on extinguishment of debt | $ 1,738,000 | $ 0 | $ 0 | ||
Exchangeable Senior Notes due November 1, 2024 [Member] | |||||
Debt Instrument [Line Items] | |||||
Issuance of debt through private offering | $ 210,000,000 | ||||
Percentage of interest on debt | 5.50% | ||||
Principal amount of the exchangeable notes | $ 1,000 | ||||
Maturity date of debt instrument | Nov. 1, 2024 | ||||
Exchangeable Senior Notes due November 1, 2024 [Member] | Initial Exchangeable Rate [Member] | |||||
Debt Instrument [Line Items] | |||||
Number of shares exchanged per exchangeable notes | 40.1010 | ||||
Exchangeable Senior Notes due May 1, 2020 [Member] | |||||
Debt Instrument [Line Items] | |||||
Issuance of debt through private offering | $ 210,000,000 | $ 250,000,000 | |||
Percentage of interest on debt | 5.375% | ||||
Maturity date of debt instrument | May 1, 2020 | ||||
Gain on extinguishment of debt | $ 1,700,000 |
Exchangeable Notes - Summary of
Exchangeable Notes - Summary of Financial Information Relating to Exchangeable Senior Notes (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Carrying value: | |||
UPB | $ 210,000 | $ 460,000 | |
Exchangeable senior notes | 196,796 | 443,506 | |
Convertible Debt [Member] | |||
Carrying value: | |||
Unamortized debt issuance costs and conversion option | (13,204) | (16,494) | |
Convertible Debt [Member] | Nonaffiliates [Member] | |||
Debt Instrument [Line Items] | |||
Average balance | 269,247 | 279,207 | $ 250,000 |
Total interest expense | $ 18,847 | $ 17,037 | $ 14,601 |
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 at Fair Value (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Variable Interest Entity [Line Items] | |||
Asset-backed financing of a variable interest entity at fair value | $ 134,726 | $ 243,360 | |
Variable Interest Entities [Member] | |||
Variable Interest Entity [Line Items] | |||
Asset-backed financing of a variable interest entity at fair value | 134,726 | 243,360 | |
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 | 134,726 | 243,360 | |
UPB | 131,835 | 239,169 | |
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 | 203,795 | 267,539 | $ 288,244 |
Total interest expense | $ 10,971 | $ 11,324 | $ 10,821 |
Weighted average interest rate | 3.30% | 3.46% | 3.55% |
Weighted average interest rate | 3.56% | 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 at Fair Value (Parenthetical) (Detail) - USD ($) | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
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] | |||
Debt issuance costs | $ 4,200,000 | $ 2,100,000 | $ 577,000 |
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, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Mortgage Banking [Abstract] | |||
Balance, beginning of year | $ 7,614 | $ 7,514 | $ 8,678 |
Provision for losses: | |||
Pursuant to loan sales | 19,316 | 3,778 | 2,531 |
Reduction in liability due to change in estimate | (4,457) | (3,550) | (3,707) |
Losses incurred, net | (580) | (128) | 12 |
Balance, end of year | 21,893 | 7,614 | 7,514 |
UPB of loans subject to representations and warranties at end of year | $ 163,592,788 | $ 122,163,186 | $ 90,427,100 |
Commitments and Contingencies -
Commitments and Contingencies - Company's Outstanding Contractual Commitments (Detail) $ in Thousands | Dec. 31, 2020USD ($) |
Commitments to purchase mortgage loans: | |
Commitments to purchase loans acquired for sale | $ 10,588,208 |
Shareholders' Equity - Summary
Shareholders' Equity - Summary of Preferred Shares of Beneficial Interest (Detail) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Class Of Stock [Line Items] | |||
Number of shares | 12,400,000 | 12,400,000 | |
Liquidation preference | $ 310,000 | $ 310,000 | |
Issuance discount | 10,293 | ||
Carrying value | $ 299,707 | $ 299,707 | |
8.125% Series A Preferred Stock [Member] | |||
Class Of Stock [Line Items] | |||
Number of shares | 4,600,000 | ||
Liquidation preference | $ 115,000 | ||
Issuance discount | 3,828 | ||
Carrying value | $ 111,172 | ||
Dividends per share | $ 2.03 | $ 2.03 | $ 2.03 |
8.00% Series B Preferred Stock [Member] | |||
Class Of Stock [Line Items] | |||
Number of shares | 7,800,000 | ||
Liquidation preference | $ 195,000 | ||
Issuance discount | 6,465 | ||
Carrying value | $ 188,535 | ||
Dividends per share | $ 2 | $ 2 | $ 2 |
Shareholders' Equity - Summar_2
Shareholders' Equity - Summary of Preferred Shares of Beneficial Interest (Parenthetical) (Detail) - $ / shares | 1 Months Ended | 3 Months Ended | 12 Months Ended | |
Jul. 31, 2017 | Mar. 31, 2017 | Dec. 31, 2020 | Dec. 31, 2019 | |
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 | |||
8.00% Series B Preferred Stock [Member] | ||||
Class Of Stock [Line Items] | ||||
Cumulative dividend, beneficial interest rate | 5.99% | 8.00% | ||
Sale of Stock, Transaction Date | Jul. 31, 2017 | |||
Preferred stock, par value | $ 0.01 |
Shareholders' Equity - Addition
Shareholders' Equity - Additional Information (Detail) - USD ($) | 1 Months Ended | 3 Months Ended | 12 Months Ended | ||||
Jul. 31, 2017 | Mar. 31, 2017 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Mar. 31, 2019 | Aug. 31, 2015 | |
Schedule Of Capitalization Equity [Line Items] | |||||||
Reimbursement paid for every $100 of performance incentive fees earned | $ 10,000,000 | ||||||
Performance incentive fees earned | 100,000,000 | ||||||
Payments of contingent underwriting fees to underwriters | 76,000 | $ 580,000 | $ 137,000 | ||||
IPO [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 | ||||||
Underwriting fees waived | 1,100,000 | ||||||
Management [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Payments of contingent underwriting fees to underwriters | $ 211,000 | $ 393,000 | $ 68,000 | ||||
Maximum [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Common stock shares Repurchase authorized amount | $ 300,000,000 | ||||||
Equity Distribution Agreement [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Maximum aggregate offering price | $ 200,000,000 | ||||||
8.125% Series A Preferred Stock [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Cumulative dividend, beneficial interest rate | 8.125% | 8.125% | |||||
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] | |||||||
Cumulative dividend, beneficial interest rate | 5.99% | 8.00% | |||||
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 Underwritten Offerings of Common Shares (Detail) - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Class Of Stock [Line Items] | |||
Net proceeds | $ 5,654 | $ 839,682 | $ 0 |
Purchase Agreement [Member] | |||
Class Of Stock [Line Items] | |||
Number of common shares issued | 33,527 | ||
Gross proceeds | $ 719,777 | ||
Net proceeds | $ 710,752 |
Shareholders' Equity - Summar_4
Shareholders' Equity - Summary of Activities under ATM Equity Offering Program (Detail) - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Class Of Stock [Line Items] | |||
Net proceeds | $ 5,654 | $ 839,682 | $ 0 |
Common Shares [Member] | |||
Class Of Stock [Line Items] | |||
Number of common shares issued | 241 | 38,990 | |
Equity Distribution Agreement [Member] | |||
Class Of Stock [Line Items] | |||
Gross proceeds | $ 5,654 | $ 119,905 | |
Net proceeds | $ 5,597 | $ 118,705 | |
Equity Distribution Agreement [Member] | Common Shares [Member] | |||
Class Of Stock [Line Items] | |||
Number of common shares issued | 241 | 5,463 |
Shareholders' Equity - Summar_5
Shareholders' Equity - Summary of Share Repurchase Activity (Detail) - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Equity [Abstract] | |||
Common shares repurchased | 2,767 | 0 | 671 |
Cumulative shares repurchased | 17,498 | ||
Cost of common shares repurchased | $ 37,267 | $ 0 | $ 10,719 |
Cumulative cost of shares repurchased | $ 253,892 |
Net Gain on Loans Acquired fo_3
Net Gain on Loans Acquired for Sale - Summary of Net Gain on Mortgage Loans Acquired for Sale (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Provision for losses relating to representations and warranties provided in mortgage loan sales: | |||
Pursuant to loans sales | $ (19,316) | $ (3,778) | $ (2,531) |
Change in fair value of loans and derivatives held at end of year: | |||
Net cash of gain on mortgage loans acquired for sale | 1,199,605 | 931,733 | 402,359 |
Net gain (loss) on loans acquired for sale | 379,922 | 170,164 | 59,185 |
PennyMac Financial Services, Inc. [Member] | |||
Change in fair value of loans and derivatives held at end of year: | |||
Net gain (loss) on loans acquired for sale | 11,037 | 14,381 | 10,925 |
Nonaffiliates [Member] | |||
Cash loss: | |||
Loans | (326,214) | (687,317) | (363,271) |
Hedging activities | (504,506) | (88,633) | 9,172 |
Cash gain, net of effects of cash hedging, on sale of mortgage loans acquired for sale | (830,720) | (775,950) | (354,099) |
Non-cash gain: | |||
Recognition of fair value of firm commitment to purchase CRT securities | (38,161) | 99,305 | 30,595 |
Receipt of MSRs in mortgage loan sale transactions | 1,158,475 | 837,706 | 356,755 |
Provision for losses relating to representations and warranties provided in mortgage loan sales: | |||
Pursuant to loans sales | (19,316) | (3,778) | (2,531) |
Reduction of liability due to change in estimate | 4,457 | 3,550 | 3,707 |
Provision for losses relating to representations and warranties | (14,859) | (228) | 1,176 |
Change in fair value of loans and derivatives held at end of year: | |||
IRLCs | 61,232 | (834) | 7,356 |
Loans | (12,279) | (1,765) | (9,685) |
Hedging derivatives | 45,197 | (2,451) | 16,162 |
Total non cash portion of gain on mortgage loans acquired for sale | 94,150 | (5,050) | 13,833 |
Net gain (loss) on loans acquired for sale | $ 368,885 | $ 155,783 | $ 48,260 |
Net (Loss) Gain on Investment_2
Net (Loss) Gain on Investments - Summary of Net (Loss) Gain on Investments (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Schedule Of Gain Loss On Investments Including Marketable Securities And Investments Held At Cost Income Statement Reported Amounts Summary [Line Items] | |||
Loans at fair value | $ 1,199,605 | $ 931,733 | $ 402,359 |
Net (loss) gain on investments | (170,885) | 263,318 | 81,926 |
Nonaffiliates [Member] | |||
Schedule Of Gain Loss On Investments Including Marketable Securities And Investments Held At Cost Income Statement Reported Amounts Summary [Line Items] | |||
Investment securities at fair value, Mortgage-backed securities | 87,852 | 77,283 | (11,262) |
CRT arrangements | (145,938) | 110,676 | 92,943 |
Firm commitment to purchase CRT securities | (121,067) | 60,943 | 7,399 |
Asset-backed financing of a VIE at fair value | 5,519 | (7,553) | 9,610 |
Hedging derivatives | 32,932 | 28,785 | (4,152) |
Net (loss) gain on investments | (148,156) | 270,848 | 70,842 |
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 (loss) gain on investments | (22,729) | (7,530) | 11,084 |
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] | |||
Loans at fair value | (6,617) | 7,883 | (8,499) |
Distressed [Member] | Nonaffiliates [Member] | |||
Schedule Of Gain Loss On Investments Including Marketable Securities And Investments Held At Cost Income Statement Reported Amounts Summary [Line Items] | |||
Loans at fair value | $ (837) | $ (7,169) | $ (15,197) |
Net Interest Income - Summary o
Net Interest Income - Summary of Net Interest Income (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Interest income: | |||
Interest income | $ 222,135 | $ 317,885 | $ 222,772 |
Interest expense: | |||
Assets sold under agreements to repurchase | 102,131 | 178,211 | 115,383 |
Interest expense, total | 270,770 | 297,446 | 175,171 |
Net interest (expense) income | (48,635) | 20,439 | 47,601 |
PennyMac Financial Services, Inc. [Member] | |||
Interest income: | |||
Interest income | 8,418 | 10,291 | 15,138 |
Interest expense: | |||
Assets sold under agreements to repurchase | 3,325 | 6,302 | 7,462 |
Nonaffiliates [Member] | |||
Interest income: | |||
Cash and short-term investments | 3,804 | 4,559 | 852 |
Mortgage-backed securities | 59,461 | 78,450 | 55,487 |
Loans acquired for sale at fair value | 103,221 | 121,387 | 75,610 |
Distressed | 493 | 3,848 | 21,666 |
Deposits securing CRT arrangements | 7,012 | 34,229 | 15,441 |
Placement fees relating to custodial funds | 28,804 | 52,587 | 26,065 |
Other | 313 | 800 | 700 |
Interest income | 213,717 | 307,594 | 207,634 |
Interest expense: | |||
Assets sold under agreements to repurchase | 102,131 | 178,211 | 115,383 |
Mortgage loan participation purchase and sale agreements | 902 | 1,570 | 2,422 |
Notes payable secured by credit risk transfer and mortgage servicing assets | 59,261 | 53,968 | 14,623 |
Asset-backed financings of a VIE at fair value | 10,971 | 11,324 | 10,821 |
Interest shortfall on repayments of loans serviced for Agency securitizations | 71,516 | 25,776 | 7,324 |
Interest on loan impound deposits | 3,817 | 3,258 | 2,535 |
Interest expense, total | 267,445 | 291,144 | 167,709 |
Nonaffiliates [Member] | Exchangeable Notes [Member] | |||
Interest expense: | |||
Total interest expense | 18,847 | 17,037 | 14,601 |
Nonaffiliates [Member] | Variable Interest Entities [Member] | |||
Interest income: | |||
Loans at fair value | $ 10,609 | $ 11,734 | $ 11,813 |
Net Interest Income - Summary_2
Net Interest Income - Summary of Net Interest Income (Parenthetical) (Detail) - Master Repurchase Agreement [Member] - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Schedule Of Investment Income Reported Amounts By Category [Line Items] | |||
Incentives as a reductions to finance loans included in interest expense | $ 10.8 | $ 19.7 | |
Repurchase agreement expiration date | Aug. 21, 2019 | ||
Maturity date description | The master repurchase agreement expired on August 21, 2019. |
Share-Based Compensation Plan_2
Share-Based Compensation Plans - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |||
Total share units granted | 204,000 | 212,000 | 245,000 |
Total grant date value of share units | $ 4,403 | $ 4,358 | $ 3,823 |
Total share units vested | 272,000 | 345,000 | 288,000 |
Total share units forfeited | 4,000 | 1,000 | 2,000 |
Compensation expense relating to share-based grants | $ 2,294 | $ 5,530 | $ 5,318 |
Restricted Shares Units [Member] | |||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |||
Total share units granted | 92,000 | 96,000 | 129,000 |
Total grant date value of share units | $ 1,978 | $ 1,978 | $ 2,281 |
Total share units vested | 129,000 | 227,000 | 261,000 |
Total share units forfeited | 4,000 | 0 | 2,000 |
Performance Shares Units [Member] | |||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |||
Total share units granted | 112,000 | 116,000 | 116,000 |
Total grant date value of share units | $ 2,425 | $ 2,380 | $ 1,542 |
Total share units vested | 143,000 | 118,000 | 27,000 |
Total share units forfeited | 0 | 1,000 | 0 |
Share-Based Compensation Plan_4
Share-Based Compensation Plans - Summary of Share-Based Compensation Activity (Parenthetical) (Detail) - shares | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |||
Total share units vested | 272,000 | 345,000 | 288,000 |
Performance Shares Units [Member] | |||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |||
Share vested due to exceeding performance goal | 196,000 | ||
Vesting percentage | 137.00% | ||
Total share units vested | 143,000 | 118,000 | 27,000 |
Share-Based Compensation Plan_5
Share-Based Compensation Plans - Summary of Restricted Share Units and Performance Share Units Expected to Vest (Detail) shares in Thousands | Dec. 31, 2020$ / sharesshares |
Restricted Share Units [Member] | |
Shares expected to vest: | |
Number of units (in thousands) | shares | 188 |
Grant date average fair value per unit | $ / shares | $ 20.49 |
Performance Share Units [Member] | |
Shares expected to vest: | |
Number of units (in thousands) | shares | 204 |
Grant date average fair value per unit | $ / shares | $ 19.74 |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Detail) - USD ($) | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2017 | Dec. 31, 2016 | |
Income Tax [Line Items] | ||||
Percentage of deduction from taxable income | 20.00% | |||
Net operating loss carryforwards | $ 237,500,000 | $ 365,400,000 | ||
Net operating loss carryforwards, expiration year | 2033 | 2036 | ||
Net operating loss carryforwards, maximum percentage of taxable income | 80.00% | |||
Deferred tax valuation allowance | $ 110,000 | $ 13,612,000 | ||
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, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Income Tax Disclosure [Abstract] | |||
Ordinary income | 75.00% | 66.00% | 49.00% |
Long term capital gain | 25.00% | 0.00% | 0.00% |
Return of capital | 0.00% | 34.00% | 51.00% |
Income Taxes - Summary of Compa
Income Taxes - Summary of Company's (Benefit from) Provision for Income Taxes (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Current expense (benefit): | |||
Federal | $ 0 | $ (120) | $ 19 |
State | 12 | 12 | 6 |
Total current (benefit) expense | 12 | (108) | 25 |
Deferred expense (benefit): | |||
Federal | 20,440 | (39,592) | 7,587 |
State | 6,905 | 3,984 | (2,422) |
Total deferred expense (benefit) | 27,345 | (35,608) | 5,165 |
Total provision for (benefit from) income taxes | $ 27,357 | $ (35,716) | $ 5,190 |
Income Taxes - Reconciliation o
Income Taxes - Reconciliation of Company's (Benefit from) Provision for Income Taxes (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Income Tax Disclosure [Abstract] | |||
Federal income tax expense at statutory tax rate, Amount | $ 16,743 | $ 40,035 | $ 33,177 |
Effect of non-taxable REIT income, Amount | 15,076 | (79,467) | (26,647) |
State income taxes, net of federal benefit, Amount | 5,370 | (7,417) | (2,044) |
Convertible debt permanent adjustment | 3,446 | 0 | 0 |
Valuation allowance, Amount | (13,502) | 13,612 | 0 |
Other, Amount | 224 | (2,479) | 704 |
Total provision for (benefit from) income taxes | $ 27,357 | $ (35,716) | $ 5,190 |
Federal income tax expense at statutory tax rate, Rate | 21.00% | 21.00% | 21.00% |
Effect of non-taxable REIT income, Rate | 18.90% | (41.70%) | (16.90%) |
State income taxes, net of federal benefit, Rate | 6.70% | (3.90%) | (1.30%) |
Convertible debt permanent adjustment | 4.30% | 0.00% | 0.00% |
Valuation allowance, Rate | (16.90%) | 7.00% | 0.00% |
Other, Rate | 0.30% | (1.20%) | 0.40% |
Provision for (benefit from) income taxes | 34.30% | (18.80%) | 3.20% |
Income Taxes - Components of (B
Income Taxes - Components of (Benefit from) Provision for Deferred Income Taxes (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Income Tax Disclosure [Abstract] | |||
Real estate valuation loss | $ 437 | $ 1,140 | $ 1,565 |
Mortgage servicing rights | 27,179 | (212) | 4,797 |
Net operating loss carryforward | 31,622 | (56,339) | (1,109) |
Liability for losses under representations and warranties | (3,486) | 111 | 405 |
Excess interest expense disallowance | (15,749) | 4,667 | 234 |
Other | 844 | 1,413 | (727) |
Valuation allowance, Amount | (13,502) | 13,612 | 0 |
Total provision for (benefit from) deferred income taxes | $ 27,345 | $ (35,608) | $ 5,165 |
Income Taxes - Components of In
Income Taxes - Components of Income Taxes Payable (Detail) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Income Tax Disclosure [Abstract] | ||
Taxes currently receivable | $ (5,859) | $ (259) |
Deferred income taxes payable | 29,422 | 2,078 |
Income taxes payable | $ 23,563 | $ 1,819 |
Income Taxes - Summary of Defer
Income Taxes - Summary of Deferred Income Tax Assets and Liabilities (Detail) - USD ($) | Dec. 31, 2020 | Dec. 31, 2019 |
Deferred income tax assets: | ||
Net operating loss carryforward | $ 65,615,000 | $ 97,236,000 |
Excess interest expense disallowance | 30,983,000 | 15,234,000 |
REO valuation loss | 1,001,000 | 1,438,000 |
Liability for losses under representations and warranties | 5,386,000 | 1,900,000 |
Valuation allowance | (110,000) | (13,612,000) |
Other | (682,000) | 162,000 |
Gross deferred tax assets | 102,193,000 | 102,358,000 |
Deferred income tax liabilities: | ||
Mortgage servicing rights | 131,615,000 | 104,436,000 |
Other | 0 | 0 |
Gross deferred tax liabilities | 131,615,000 | 104,436,000 |
Net deferred income tax liability | $ 29,422,000 | $ 2,078,000 |
Earnings Per Share - Summary of
Earnings Per Share - Summary of Basic and Diluted Earnings per Share (Detail) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Earnings Per Share [Abstract] | |||
Net income | $ 52,373 | $ 226,357 | $ 152,798 |
Dividends on preferred shares | (24,938) | (24,938) | (24,938) |
Effect of participating securities—share-based compensation awards | (287) | (566) | (750) |
Net income attributable to common shareholders | 27,148 | 200,853 | 127,110 |
Interest on 2020 Notes, net of income taxes | 0 | 11,827 | 10,637 |
Diluted net income attributable to common shareholders | $ 27,148 | $ 212,680 | $ 137,747 |
Weighted average basic shares outstanding | 99,373 | 78,990 | 60,898 |
Dilutive securities: | |||
Shares issuable under share-based compensation plan | 0 | 254 | 0 |
Shares issuable pursuant to exchange of the 2020 Notes | 0 | 8,467 | 8,467 |
Diluted weighted average number of shares outstanding | 99,373 | 87,711 | 69,365 |
Basic | $ 0.27 | $ 2.54 | $ 2.09 |
Diluted | $ 0.27 | $ 2.42 | $ 1.99 |
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, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
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 | 172 | 152 | 252 |
Shares Issuable Pursuant to Exchange of 2020 Notes [Member] | |||
Antidilutive Securities Excluded From Computation Of Earnings Per Share [Line Items] | |||
Potentially dilutive stock excluded from the diluted earnings per share | 2,529 | 0 | 0 |
Segments - Additional Informati
Segments - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2020Segment | |
Segment Reporting [Abstract] | |
Number of business segments | 4 |
Segments - Financial Highlights
Segments - Financial Highlights by Operating Segment (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Net investment income: | |||
Net (loss) gain on investments | $ (170,885) | $ 263,318 | $ 81,926 |
Net loan servicing fees | 153,696 | (58,918) | 120,587 |
Net gain on loans acquired for sale | 379,922 | 170,164 | 59,185 |
Net gain (loss) on loans acquired for sale | 379,922 | 170,164 | 59,185 |
Net interest (expense) income : | |||
Interest income | 222,135 | 317,885 | 222,772 |
Interest expense | 270,770 | 297,446 | 175,171 |
Net interest (expense) income | (48,635) | 20,439 | 47,601 |
Other | 155,253 | 93,812 | 41,768 |
Net investment income | 469,351 | 488,815 | 351,067 |
Expenses: | |||
Loan fulfillment and servicing fees payable to PFSI | 289,381 | 209,407 | 123,395 |
Management fees | 34,538 | 36,492 | 24,465 |
Other | 65,702 | 52,275 | 45,219 |
Total expenses | 389,621 | 298,174 | 193,079 |
Pretax income (loss) | 79,730 | 190,641 | 157,988 |
Total assets at year end | 11,492,011 | 11,771,351 | 7,813,361 |
Interest income | 222,135 | 317,885 | 222,772 |
Interest expense | 270,770 | 297,446 | 175,171 |
Net interest (expense) income | (48,635) | 20,439 | 47,601 |
Net gain (loss) on investments | (170,885) | 263,318 | 81,926 |
Credit Sensitive Strategies [Member] | |||
Net investment income: | |||
Net (loss) gain on investments | (237,049) | 164,413 | 84,943 |
Net loan servicing fees | 0 | 0 | 29 |
Net gain on loans acquired for sale | (43,813) | 51,014 | 30,740 |
Net gain (loss) on loans acquired for sale | (43,813) | 51,014 | 30,740 |
Net interest (expense) income : | |||
Interest income | 8,902 | 39,343 | 37,786 |
Interest expense | 39,237 | 67,412 | 41,523 |
Net interest (expense) income | (30,335) | (28,069) | (3,737) |
Other | 5,857 | 4,507 | (1,704) |
Net investment income | (305,340) | 191,865 | 110,271 |
Expenses: | |||
Loan fulfillment and servicing fees payable to PFSI | 807 | 2,213 | 7,561 |
Management fees | 0 | 0 | |
Other | 10,996 | 7,476 | 15,459 |
Total expenses | 11,803 | 9,689 | 23,020 |
Pretax income (loss) | (317,143) | 182,176 | 87,251 |
Total assets at year end | 2,920,558 | 2,364,749 | 1,602,776 |
Interest income | 8,902 | 39,343 | 37,786 |
Interest expense | 39,237 | 67,412 | 41,523 |
Net interest (expense) income | (30,335) | (28,069) | (3,737) |
Net gain (loss) on investments | (237,049) | 164,413 | 84,943 |
Interest Rate Sensitive Strategies [Member] | |||
Net investment income: | |||
Net (loss) gain on investments | 66,164 | 98,905 | (3,017) |
Net loan servicing fees | 153,696 | (58,918) | 120,558 |
Net interest (expense) income : | |||
Interest income | 108,036 | 155,176 | 108,366 |
Interest expense | 153,338 | 144,513 | 92,294 |
Net interest (expense) income | (45,302) | 10,663 | 16,072 |
Other | 0 | 0 | |
Net investment income | 174,558 | 50,650 | 133,613 |
Expenses: | |||
Loan fulfillment and servicing fees payable to PFSI | 66,374 | 46,584 | 34,484 |
Management fees | 0 | 0 | |
Other | 2,487 | 2,918 | 697 |
Total expenses | 68,861 | 49,502 | 35,181 |
Pretax income (loss) | 105,697 | 1,148 | 98,432 |
Total assets at year end | 4,593,127 | 4,993,840 | 4,373,488 |
Interest income | 108,036 | 155,176 | 108,366 |
Interest expense | 153,338 | 144,513 | 92,294 |
Net interest (expense) income | (45,302) | 10,663 | 16,072 |
Net gain (loss) on investments | 66,164 | 98,905 | (3,017) |
Correspondent production [Member] | |||
Net investment income: | |||
Net loan servicing fees | 0 | 0 | |
Net gain on loans acquired for sale | 423,735 | 119,150 | 28,445 |
Net gain (loss) on loans acquired for sale | 423,735 | 119,150 | 28,445 |
Net interest (expense) income : | |||
Interest income | 102,779 | 120,974 | 75,068 |
Interest expense | 76,892 | 85,521 | 41,354 |
Net interest (expense) income | 25,887 | 35,453 | 33,714 |
Other | 147,600 | 88,159 | 43,447 |
Net investment income | 597,222 | 242,762 | 105,606 |
Expenses: | |||
Loan fulfillment and servicing fees payable to PFSI | 222,200 | 160,610 | 81,350 |
Management fees | 0 | 0 | |
Other | 30,383 | 17,559 | 7,784 |
Total expenses | 252,583 | 178,169 | 89,134 |
Pretax income (loss) | 344,639 | 64,593 | 16,472 |
Total assets at year end | 3,781,010 | 4,216,806 | 1,698,656 |
Interest income | 102,779 | 120,974 | 75,068 |
Interest expense | 76,892 | 85,521 | 41,354 |
Net interest (expense) income | 25,887 | 35,453 | 33,714 |
Corporate [Member] | |||
Net investment income: | |||
Net loan servicing fees | 0 | 0 | |
Net interest (expense) income : | |||
Interest income | 2,418 | 2,392 | 1,552 |
Interest expense | 1,303 | 0 | |
Net interest (expense) income | 1,115 | 2,392 | 1,552 |
Other | 1,796 | 1,146 | 25 |
Net investment income | 2,911 | 3,538 | 1,577 |
Expenses: | |||
Loan fulfillment and servicing fees payable to PFSI | 0 | 0 | |
Management fees | 34,538 | 36,492 | 24,465 |
Other | 21,836 | 24,322 | 21,279 |
Total expenses | 56,374 | 60,814 | 45,744 |
Pretax income (loss) | (53,463) | (57,276) | (44,167) |
Total assets at year end | 197,316 | 195,956 | 138,441 |
Interest income | 2,418 | 2,392 | 1,552 |
Interest expense | 1,303 | 0 | |
Net interest (expense) income | $ 1,115 | $ 2,392 | $ 1,552 |
Segments - Financial Highligh_2
Segments - Financial Highlights by Operating Segment (Parenthetical) (Detail) $ in Millions | 12 Months Ended |
Dec. 31, 2019USD ($) | |
Correspondent production [Member] | |
Segment Reporting Information [Line Items] | |
Initial firm commitment recognized gain allocated to net gain on loans acquired for sale | $ 49 |
Supplemental Cash Flow Inform_3
Supplemental Cash Flow Information - Summary of Supplemental Cash Flow Information (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Payments: | |||
Income taxes, net | $ 5,613 | $ (1,009) | $ 1,333 |
Interest | 290,225 | 298,591 | 170,435 |
Cumulative effect of accumulated deficit of conversion to fair value accounting for mortgage servicing rights | 0 | 0 | (14,361) |
Non-cash investing activities: | |||
Transfer of loans and advances to real estate acquired in settlement of loans | 1,166 | 23,672 | 32,578 |
Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment | 0 | 0 | 5,183 |
Transfer from real estate held for investment to real estate acquired in settlement of loans | 0 | 30,432 | 3,401 |
Receipt of mortgage servicing rights as proceeds from sales of loans at fair value | 1,158,475 | 837,706 | 356,755 |
Receipt of excess servicing spread pursuant to recapture agreement with PennyMac Financial Services, Inc. | 2,093 | 1,757 | 2,688 |
Capitalization of servicing advances pursuant to mortgage loan modifications | 0 | 1,340 | 5,481 |
Transfer of firm commitment to purchase CRT securities to investment securities | 178,501 | 56,804 | 0 |
Non-cash financing activities: | |||
Dividends declared, not paid | $ 46,093 | $ 47,193 | $ 28,816 |
Regulatory Capital and Liquid_3
Regulatory Capital and Liquidity Requirements - Additional Information (Detail) - USD ($) | Dec. 31, 2020 | Jul. 01, 2020 | Jun. 30, 2020 | Jan. 31, 2020 |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | ||||
Basis point | 0.25% | |||
Nonperforming mortgage loans [Member] | ||||
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | ||||
Basis point | 3.00% | |||
Minimum [Member] | ||||
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | ||||
Basis point | 6.00% | |||
Minimum [Member] | Nonperforming mortgage loans [Member] | ||||
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | ||||
Basis point | 4.00% | |||
Fannie Mae Or Freddie Mac Mortgage Loans [Member] | ||||
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | ||||
Minimum net worth amount | $ 2,500,000 | |||
Basis point | 0.25% | 2.00% | ||
Fannie Mae Or Freddie Mac Mortgage Loans [Member] | Unpaid Principal Balance [Member] | ||||
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | ||||
Liquidity requirement basis point | 0.035% | 0.035% | 0.04% | |
Fannie Mae Or Freddie Mac Mortgage Loans [Member] | Nonperforming mortgage loans [Member] | ||||
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | ||||
Basis point | 0.70% | 2.00% | ||
Fannie Mae Or Freddie Mac Mortgage Loans [Member] | Minimum [Member] | Nonperforming mortgage loans [Member] | ||||
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | ||||
Basis point | 6.00% | 6.00% | ||
Ginnie Mae Mortgage Loans [Member] | Unpaid Principal Balance [Member] | ||||
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | ||||
Minimum net worth amount | $ 2,500,000 | |||
Basis point | 0.35% | |||
Liquidity requirement basis point | 0.10% |
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] $ in Thousands | Dec. 31, 2020USD ($) | Dec. 31, 2019USD ($) |
Capital Requirements By Agencies [Line Items] | ||
Net Worth, Actual | $ 1,101,318 | $ 627,144 |
Net Worth, Required | $ 438,530 | $ 341,009 |
Tangible Net Worth / Total Assets Ratio, Actual | 16 | 8 |
Tangible Net Worth / Total Assets Ratio, Required | 6 | 6 |
Liquidity, Actual | $ 101,116 | $ 128,806 |
Liquidity, Required | $ 59,158 | $ 44,970 |
Parent Company Information - Su
Parent Company Information - Summary of Financial Covenants that Include a Minimum Tangible Net Worth (Detail) $ in Thousands | Dec. 31, 2020USD ($) | |
Operating Partnership [Member] | ||
Debt covenant requirement | $ 1,250,000 | |
Calculated balance | 2,313,725 | [1] |
PennyMac Holdings [Member] | ||
Debt covenant requirement | 250,000 | |
Calculated balance | 710,723 | [1] |
PennyMac Corp [Member] | ||
Debt covenant requirement | 300,000 | |
Calculated balance | 1,082,973 | [1] |
PennyMac Mortgage Investment Trust [Member] | ||
Debt covenant requirement | 1,250,000 | |
Calculated balance | $ 2,296,859 | [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, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 |
ASSETS | ||||
Short-term investments at fair value | $ 127,295 | $ 90,836 | ||
Other | 380,218 | 204,388 | ||
Total assets | 11,492,011 | 11,771,351 | $ 7,813,361 | |
LIABILITIES | ||||
Accounts payable and accrued liabilities | 124,809 | 91,149 | ||
Total liabilities | 9,195,152 | 9,320,436 | ||
Shareholders' equity | 2,296,859 | 2,450,915 | $ 1,566,132 | $ 1,544,585 |
Total liabilities and shareholders’ equity | 11,492,011 | 11,771,351 | ||
PennyMac Mortgage Investment Trust [Member] | ||||
ASSETS | ||||
Short-term investments at fair value | 6,482 | 2,819 | ||
Investments in subsidiaries | 2,368,592 | 2,501,015 | ||
Due from subsidiaries | 463 | 469 | ||
Other | 571 | 595 | ||
Total assets | 2,376,108 | 2,504,898 | ||
LIABILITIES | ||||
Dividends payable | 46,093 | 47,193 | ||
Capital notes due to subsidiaries | (44,380) | 0 | ||
Accounts payable and accrued liabilities | 298 | 1,564 | ||
Due to PennyMac Financial Services, Inc. | 373 | 399 | ||
Due to subsidiaries | 27 | 1 | ||
Total liabilities | 91,171 | 49,157 | ||
Shareholders' equity | 2,284,937 | 2,455,741 | ||
Total liabilities and shareholders’ equity | $ 2,376,108 | $ 2,504,898 |
Parent Company Information - _2
Parent Company Information - Condensed Statements of Income (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Net investment income | |||
Other | $ 2,516 | $ 5,044 | $ 7,233 |
Expenses | |||
Interest expense | 270,770 | 297,446 | 175,171 |
Other | 11,517 | 15,020 | 15,839 |
Total expenses | 389,621 | 298,174 | 193,079 |
Income before provision for (benefit from) income taxes and (distribution in excess of earnings) equity in undistributed earnings in subsidiaries | 79,730 | 190,641 | 157,988 |
Provision for (benefit from) income taxes | 27,357 | (35,716) | 5,190 |
Net income | 52,373 | 226,357 | 152,798 |
PennyMac Mortgage Investment Trust [Member] | |||
Net investment income | |||
Dividends from subsidiaries | 176,216 | 165,451 | 221,469 |
Intercompany interest | 140 | 34 | 8 |
Other | 475 | 2,389 | 1,250 |
Total income | 176,831 | 167,874 | 222,727 |
Expenses | |||
Interest expense | 1,509 | 27 | 414 |
Other | 62 | 3 | 0 |
Total expenses | 1,571 | 30 | 414 |
Income before provision for (benefit from) income taxes and (distribution in excess of earnings) equity in undistributed earnings in subsidiaries | 175,260 | 167,844 | 222,313 |
Provision for (benefit from) income taxes | 13 | (109) | 24 |
Income before equity in undistributed earnings of subsidiaries | 175,247 | 167,953 | 222,289 |
(Distributions of earnings in excess of current year earnings of subsidiaries) increase in undistributed earnings of subsidiaries | (139,620) | 60,937 | (71,180) |
Net income | $ 35,627 | $ 228,890 | $ 151,109 |
Parent Company Information - _3
Parent Company Information - Condensed Statements of Cash Flows (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Cash flows from operating activities | |||
Net income | $ 52,373 | $ 226,357 | $ 152,798 |
Decrease (increase) in other assets | 604,211 | 102,215 | (23,482) |
Increase in accounts payable and accrued liabilities | 34,836 | 3,613 | 6,400 |
Net cash provided by (used in) operating activities | 671,656 | (2,985,074) | (573,752) |
Cash flows from investing activities | |||
Net cash used in investing activities | (15,367) | (704,677) | (1,424,292) |
Cash flows from financing activities | |||
Issuance of common shares | 5,654 | 839,682 | 0 |
Payment of issuance costs related to common shares | (57) | (10,225) | 0 |
Payment of vested share-based compensation withholdings | (1,629) | (2,600) | 0 |
Payment of dividends to preferred shareholders | (24,945) | (24,944) | (24,944) |
Payment of dividends to common shareholders | (151,580) | (141,001) | (115,596) |
Repurchase of common shares | (37,267) | 0 | (10,719) |
Net cash (used in) provided by financing activities | (702,641) | 3,733,962 | 1,980,242 |
Net (decrease) increase in cash | (46,352) | 44,211 | (17,802) |
Cash at beginning of year | 104,056 | 59,845 | 77,647 |
Cash at end of year | 57,704 | 104,056 | 59,845 |
Non-cash financing activities: | |||
Dividends declared, not paid | 46,093 | 47,193 | 28,816 |
PennyMac Mortgage Investment Trust [Member] | |||
Cash flows from operating activities | |||
Net income | 35,627 | 228,890 | 151,109 |
(Distributions of earnings in excess of current year earnings of subsidiaries) increase in undistributed earnings of subsidiaries | 139,620 | (60,937) | 71,180 |
Decrease in due from affiliates | 697 | 261 | 490 |
Decrease (increase) in other assets | 24 | 52 | (58) |
Increase in accounts payable and accrued liabilities | (1,266) | (697) | (3,320) |
(Increase) decrease in due from PennyMac Financial Services, Inc. | (26) | (489) | (185) |
Increase in due to PennyMac Financial Services, Inc. | 27 | 33 | 84 |
Net cash provided by (used in) operating activities | 174,703 | 167,113 | 219,300 |
Cash flows from investing activities | |||
Increase in investment in subsidiaries | (5,596) | (825,920) | 0 |
Net (increase) decrease in short-term investments | (3,663) | (2,105) | 1,159 |
Net cash used in investing activities | (9,259) | (828,025) | 1,159 |
Cash flows from financing activities | |||
Net increase (decrease) in intercompany unsecured note payable | 44,380 | 0 | (69,200) |
Issuance of common shares | 5,654 | 839,682 | 0 |
Payment of issuance costs related to common shares | (57) | (10,225) | 0 |
Payment of vested share-based compensation withholdings | (1,629) | (2,600) | 0 |
Payment of dividends to preferred shareholders | (24,945) | (24,944) | (24,944) |
Payment of dividends to common shareholders | (151,580) | (141,001) | (115,596) |
Repurchase of common shares | (37,267) | 0 | (10,719) |
Net cash (used in) provided by financing activities | (165,444) | 660,912 | (220,459) |
Net (decrease) increase in cash | 0 | 0 | 0 |
Cash at beginning of year | 0 | 0 | 0 |
Cash at end of year | 0 | 0 | 0 |
Non-cash investing activities: | |||
Investment in subsidiary pursuant to share based compensation plan | 2,289 | 5,529 | 5,314 |
Non-cash financing activities: | |||
Investment in subsidiary pursuant to share based compensation plan | 2,289 | 5,529 | 5,314 |
Dividends declared, not paid | $ 46,093 | $ 47,193 | $ 28,816 |