Document and Entity Information
Document and Entity Information - shares | 6 Months Ended | |
Jun. 30, 2021 | Aug. 05, 2021 | |
Document And Entity Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Jun. 30, 2021 | |
Document Fiscal Year Focus | 2021 | |
Document Fiscal Period Focus | Q2 | |
Entity Registrant Name | PennyMac Mortgage Investment Trust | |
Entity Central Index Key | 0001464423 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Large Accelerated Filer | |
Entity Current Reporting Status | Yes | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 97,872,349 | |
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 | |
Entity Interactive Data Current | Yes | |
Document Quarterly Report | true | |
Document Transition Report | false | |
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 | |
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 Cumulative Redeemable PreferredShares of Beneficial Interest, $0.01 Par Value | |
Trading Symbol | PMT/PA | |
Security Exchange Name | NYSE | |
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 Cumulative Redeemable PreferredShares of Beneficial Interest, $0.01 Par Value | |
Trading Symbol | PMT/PB | |
Security Exchange Name | NYSE | |
Security Exchange Name | NYSE |
Consolidated Balance Sheets (Un
Consolidated Balance Sheets (Unaudited) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
ASSETS | ||
Cash | $ 68,616 | $ 57,704 |
Short-term investments at fair value | 44,890 | 127,295 |
Mortgage-backed securities at fair value pledged to creditors | 2,309,864 | 2,213,922 |
Loans acquired for sale at fair value ($5,418,106 and $3,501,847 pledged to creditors, respectively) | 5,535,300 | 3,551,890 |
Loans at fair value ($344,468 and $147,410 pledged to creditors, respectively) | 350,401 | 151,734 |
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 | 0 | 131,750 |
Derivative and credit risk transfer strip assets ($44,951 and $58,699 pledged to creditors, respectively) | 88,278 | 164,318 |
Deposits securing credit risk transfer arrangements pledged to creditors | 2,256,047 | 2,799,263 |
Mortgage servicing rights at fair value ($2,522,717 and $1,742,905 pledged to creditors, respectively) | 2,551,373 | 1,755,236 |
Servicing advances ($71,306 pledged to creditors at June 30, 2021) | 111,858 | 121,820 |
Real estate acquired in settlement of loans ($9,003 and $15,365 pledged to creditors, respectively) | 14,715 | 28,709 |
Other | 247,554 | 380,218 |
Total assets | 13,598,112 | 11,492,011 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 7,193,671 | 6,309,418 |
Mortgage loan participation purchase and sale agreements | 28,037 | 16,851 |
Notes payable secured by credit risk transfer and mortgage servicing assets | 2,829,177 | 1,924,999 |
Exchangeable senior notes | 496,825 | 196,796 |
Asset-backed financing of variable interest entities at fair value | 321,875 | 134,726 |
Interest-only security payable at fair value | 13,185 | 10,757 |
Derivative and credit risk transfer strip liabilities at fair value | 86,681 | 263,473 |
Accounts payable and accrued liabilities | 170,458 | 124,809 |
Income taxes payable | 16,616 | 23,563 |
Liability for losses under representations and warranties | 36,314 | 21,893 |
Total liabilities | 11,254,722 | 9,195,152 |
Commitments and contingencies ─ Note 16 | ||
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, 97,911,249 and 97,862,625 common shares, respectively | 979 | 979 |
Additional paid-in capital | 2,138,422 | 2,096,907 |
Accumulated deficit | (95,718) | (100,734) |
Total shareholders’ equity | 2,343,390 | 2,296,859 |
Total liabilities and shareholders’ equity | 13,598,112 | 11,492,011 |
Variable Interest Entities [Member] | ||
ASSETS | ||
Loans at fair value ($344,468 and $147,410 pledged to creditors, respectively) | 343,186 | 143,707 |
Derivative and credit risk transfer strip assets ($44,951 and $58,699 pledged to creditors, respectively) | 44,951 | 58,699 |
Deposits securing credit risk transfer arrangements pledged to creditors | 2,256,047 | 2,799,263 |
Other—interest receivable | 240 | 392 |
Total assets | 2,644,424 | 3,002,061 |
LIABILITIES | ||
Asset-backed financing of variable interest entities at fair value | 321,875 | 134,726 |
Derivative and credit risk transfer liabilities at fair value | 77,559 | 229,696 |
Interest-only security payable at fair value | 13,185 | 10,757 |
Accounts payable and accrued liabilities—interest payable | 240 | 392 |
Total liabilities | 412,859 | 375,571 |
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 | 0 | 131,750 |
Due from PennyMac Financial Services, Inc. | 19,216 | 8,152 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 0 | 80,862 |
Due to PennyMac Financial Services, Inc. | $ 61,883 | $ 87,005 |
Consolidated Balance Sheets (_2
Consolidated Balance Sheets (Unaudited) (Parenthetical) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Loans acquired for sale at fair value, pledged to creditors | $ 5,418,106 | $ 3,501,847 |
Loans at fair value, pledged to creditors | 344,468 | 147,410 |
Derivative assets, pledged to creditors | 44,951 | 58,699 |
Mortgage servicing rights pledged to creditors | 2,522,717 | $ 1,742,905 |
Servicing Advances pledged to creditors | $ 71,306 | |
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 | 97,911,249 | 97,911,249 |
Common shares, outstanding | 97,862,625 | 97,862,625 |
Real Estate Acquired in Satisfaction of Debt [Member] | ||
Real estate pledged to creditors | $ 9,003 | $ 15,365 |
Consolidated Statements of Oper
Consolidated Statements of Operations (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Net investment income | ||||
Net gain on loans acquired for sale | $ 27,726 | $ 162,214 | $ 80,738 | $ 210,989 |
Loan origination fees | 45,714 | 25,208 | 98,616 | 49,136 |
Net gain (loss) on investments | 128,405 | 488,934 | 211,596 | (326,197) |
Contractually specified | 124,019 | 101,823 | 240,306 | 196,292 |
Net mortgage loan servicing fees | 148,921 | 113,710 | 281,453 | 215,370 |
Change in fair value of mortgage servicing rights | (299,498) | (170,848) | (21,216) | (798,049) |
Mortgage servicing rights hedging results | 94,116 | (50,650) | (280,287) | 716,536 |
Net servicing fees from non-affiliates | (44,912) | (102,660) | 5,133 | 141,912 |
Net servicing fees from non-affiliates | (44,912) | (102,660) | 5,133 | 141,912 |
Interest income | 43,686 | 40,812 | 81,275 | 112,935 |
Interest expense | 79,202 | 61,048 | 155,510 | 142,116 |
Net interest expense | (35,516) | (20,236) | (74,235) | (29,181) |
Results of real estate acquired in settlement of loans | (25) | 2,856 | 812 | 2,888 |
Other | 174 | 2,005 | 303 | 2,257 |
Net investment income | 121,566 | 558,321 | 322,963 | 51,804 |
Expenses | ||||
Management fees | 11,913 | 8,288 | 20,362 | 17,343 |
Loan origination | 7,986 | 4,468 | 17,294 | 8,717 |
Loan collection and liquidation | 3,975 | 864 | 7,832 | 1,614 |
Safekeeping | 2,592 | 1,905 | 4,533 | 3,563 |
Professional services | 1,897 | 1,492 | 4,121 | 2,988 |
Compensation | 1,328 | 1,200 | 3,513 | 1,719 |
Other | 4,043 | 3,693 | 6,520 | 7,413 |
Total expenses | 107,769 | 90,258 | 218,138 | 168,166 |
Income (loss) before provision for income taxes | 13,797 | 468,063 | 104,825 | (116,362) |
(Benefit from) provision for income taxes | (24,295) | 3,443 | (4,870) | 13,691 |
Net income (loss) | 38,092 | 464,620 | 109,695 | (130,053) |
Dividends on preferred shares | 6,235 | 6,235 | 12,469 | 12,469 |
Net income (loss) attributable to common shareholders | $ 31,857 | $ 458,385 | $ 97,226 | $ (142,522) |
Earnings (loss) per common share | ||||
Basic | $ 0.32 | $ 4.59 | $ 0.99 | $ (1.43) |
Diluted | $ 0.32 | $ 4.51 | $ 0.99 | $ (1.43) |
Weighted average common shares outstanding | ||||
Basic | 97,927 | 99,689 | 97,910 | 99,967 |
Diluted | 98,034 | 101,592 | 98,123 | 99,967 |
Dividends declared per common share | $ 0.47 | $ 0.40 | $ 0.94 | $ 0.65 |
Nonaffiliates [Member] | ||||
Net investment income | ||||
Net gain on loans acquired for sale | $ 26,096 | $ 158,890 | $ 77,370 | $ 203,504 |
Net gain (loss) on investments | 128,405 | 489,035 | 209,945 | (311,955) |
Other | 24,902 | 11,887 | 41,147 | 19,078 |
Net servicing fees from non-affiliates | (56,461) | (107,788) | (20,050) | 133,857 |
Net servicing fees from non-affiliates | (56,461) | (107,788) | (20,050) | 133,857 |
Interest income | 43,686 | 38,440 | 79,995 | 108,589 |
Interest expense | 79,202 | 60,256 | 155,123 | 140,106 |
PennyMac Financial Services, Inc. [Member] | ||||
Net investment income | ||||
Net gain on loans acquired for sale | 1,630 | 3,324 | 3,368 | 7,485 |
Net gain (loss) on investments | 0 | (101) | 1,651 | (14,242) |
From PennyMac Financial Services, Inc. | 11,549 | 5,128 | 25,183 | 8,055 |
Interest income | 0 | 2,372 | 1,280 | 4,346 |
Interest expense | 0 | 792 | 387 | 2,010 |
Expenses | ||||
Loan fulfillment fees | 54,020 | 52,815 | 114,855 | 94,755 |
Loan servicing fees | 20,015 | 15,533 | 39,108 | 30,054 |
Management fees | $ 11,913 | $ 8,288 | $ 20,362 | $ 17,343 |
Consolidated Statements of Chan
Consolidated Statements of Changes in Shareholders' Equity (Unaudited) - USD ($) shares in Thousands, $ in Thousands | Total | Preferred Shares [Member] | Common Shares [Member] | Additional Paid-in Capital [Member] | Retained Earnings (Accumulated Deficit) [Member] |
Balance, Amount at Dec. 31, 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 (loss) | (130,053) | $ 0 | $ 0 | 0 | (130,053) |
Share-based compensation, Amount | (575) | $ 0 | $ 2 | (577) | 0 |
Share-based compensation, Shares | 0 | 201 | |||
Issuance of common shares, Amount | 5,654 | $ 0 | $ 2 | 5,652 | 0 |
Issuance of common shares, Shares | 0 | 241 | |||
Issuance costs relating to common shares | (57) | $ 0 | $ 0 | (57) | 0 |
Dividends: | |||||
Preferred shares dividends | (12,472) | 0 | 0 | 0 | (12,472) |
Common share dividends | (64,792) | 0 | 0 | 0 | (64,792) |
Repurchase of common shares, Amount | $ (13,343) | $ 0 | $ (13) | (13,330) | 0 |
Repurchase of common shares, Shares | (1,349) | 0 | (1,349) | ||
Balance, Amount at Jun. 30, 2020 | $ 2,235,277 | $ 299,707 | $ 993 | 2,119,577 | (185,000) |
Balance, Shares at Jun. 30, 2020 | 12,400 | 99,275 | |||
Balance, Amount at Mar. 31, 2020 | 1,823,368 | $ 299,707 | $ 998 | 2,126,264 | (603,601) |
Balance, Shares at Mar. 31, 2020 | 12,400 | 99,841 | |||
Net income (loss) | 464,620 | $ 0 | $ 0 | 0 | 464,620 |
Share-based compensation, Amount | 869 | $ 0 | $ 0 | 869 | 0 |
Share-based compensation, Shares | 0 | 0 | |||
Dividends: | |||||
Preferred shares dividends | (6,236) | $ 0 | $ 0 | 0 | (6,236) |
Common share dividends | (39,783) | 0 | 0 | 0 | (39,783) |
Repurchase of common shares, Amount | $ (7,561) | $ 0 | $ (5) | (7,556) | 0 |
Repurchase of common shares, Shares | (566) | 0 | (566) | ||
Balance, Amount at Jun. 30, 2020 | $ 2,235,277 | $ 299,707 | $ 993 | 2,119,577 | (185,000) |
Balance, Shares at Jun. 30, 2020 | 12,400 | 99,275 | |||
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 | |||
Net income (loss) | 109,695 | $ 0 | $ 0 | 0 | 109,695 |
Share-based compensation, Amount | 2,050 | $ 0 | $ 0 | 2,050 | 0 |
Share-based compensation, Shares | 0 | 75 | |||
Recognition of cash conversion option included in issuance of Exchangeable Notes, Amount | 39,986 | $ 0 | $ 0 | 39,986 | 0 |
Recognition of cash conversion option included in issuance of Exchangeable Notes, Shares | 0 | 0 | |||
Dividends: | |||||
Preferred shares dividends | (12,472) | $ 0 | $ 0 | 0 | (12,472) |
Common share dividends | (92,207) | 0 | 0 | 0 | (92,207) |
Repurchase of common shares, Amount | $ (521) | $ 0 | $ 0 | (521) | 0 |
Repurchase of common shares, Shares | (27) | 0 | (27) | ||
Balance, Amount at Jun. 30, 2021 | $ 2,343,390 | $ 299,707 | $ 979 | 2,138,422 | (95,718) |
Balance, Shares at Jun. 30, 2021 | 12,400 | 97,911 | |||
Balance, Amount at Mar. 31, 2021 | 2,357,143 | $ 299,707 | $ 979 | 2,137,933 | (81,476) |
Balance, Shares at Mar. 31, 2021 | 12,400 | 97,938 | |||
Net income (loss) | 38,092 | $ 0 | $ 0 | 0 | 38,092 |
Share-based compensation, Amount | 1,010 | $ 0 | $ 0 | 1,010 | 0 |
Share-based compensation, Shares | 0 | 0 | |||
Dividends: | |||||
Preferred shares dividends | (6,236) | $ 0 | $ 0 | 0 | (6,236) |
Common share dividends | (46,098) | 0 | 0 | 0 | (46,098) |
Repurchase of common shares, Amount | $ (521) | $ 0 | $ 0 | (521) | 0 |
Repurchase of common shares, Shares | (27) | 0 | (27) | ||
Balance, Amount at Jun. 30, 2021 | $ 2,343,390 | $ 299,707 | $ 979 | $ 2,138,422 | $ (95,718) |
Balance, Shares at Jun. 30, 2021 | 12,400 | 97,911 |
Consolidated Statements of Ch_2
Consolidated Statements of Changes in Shareholders' Equity (Unaudited) (Parenthetical) - $ / shares | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Dividends declared per common share | $ 0.47 | $ 0.40 | $ 0.94 | $ 0.65 |
Retained Earnings (Accumulated Deficit) [Member] | ||||
Dividends declared per common share | $ 0 | $ 0.40 | $ 0.94 | $ 0.65 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2021 | Jun. 30, 2020 | |
Cash flows from operating activities | ||
Net income (loss) | $ 109,695 | $ (130,053) |
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | ||
Net gains on loans acquired for sale at fair value | (80,738) | (210,989) |
Net (gains) losses on investments | (211,596) | 326,197 |
Change in fair value of mortgage servicing rights | 21,216 | 798,049 |
Mortgage servicing rights hedging results | 280,287 | (716,536) |
Capitalization of interest and fees on loans at fair value | (198) | 0 |
Accrual of unearned discounts and amortization of purchase premiums on mortgage-backed securities, loans at fair value, and asset-backed financing of VIEs | 3,533 | 26,117 |
Amortization of debt issuance costs | 15,318 | 7,025 |
Results of real estate acquired in settlement of loans | (812) | (2,888) |
Gain on early extinguishment of debt | 0 | (1,738) |
Share-based compensation expense | 2,748 | 1,054 |
Purchase of loans acquired for sale at fair value from nonaffiliates | (101,637,247) | (61,986,401) |
Sale to nonaffiliates and repayment of loans acquired for sale at fair value | 63,500,106 | 39,890,722 |
Repurchase of loans subject to representation and warranties | (30,277) | (30,069) |
Decrease in servicing advances | 9,883 | 10,437 |
(Increase) decrease in other assets | (316,713) | 793,650 |
Increase (decrease) in accounts payable and accrued liabilities | 36,032 | (34,933) |
(Decrease) increase in income taxes payable | (6,947) | 13,632 |
Net cash (used in) provided by operating activities | (2,868,422) | 2,607,935 |
Cash flows from investing activities | ||
Net decrease (increase) in short-term investments | 82,405 | (182,756) |
Purchase of mortgage-backed securities at fair value | (1,682,849) | (1,615,486) |
Sale and repayment of mortgage-backed securities at fair value | 1,540,636 | 1,951,303 |
Sale and repayment of loans at fair value | 53,430 | 37,807 |
Repurchase of loans at fair value | 0 | (1,058) |
Net settlement of derivative financial instruments | (2,722) | (72,208) |
Distribution from credit risk transfer agreements | 659,315 | 362,192 |
Sale of real estate acquired in settlement of loans | 14,806 | 26,078 |
Decrease (increase) in margin deposits | (191,039) | 32,455 |
Net cash provided by investing activities | 990,684 | 490,847 |
Cash flows from financing activities | ||
Sale of assets under agreements to repurchase | 107,453,375 | 79,886,513 |
Repurchase of assets sold under agreements to repurchase | (106,573,769) | (82,547,315) |
Issuance of mortgage loan participation purchase and sale agreements | 2,201,634 | 2,623,439 |
Repayment of mortgage loan participation purchase and sale agreements | (2,190,448) | (2,530,322) |
Issuance of notes payable secured by credit risk transfer and mortgage servicing assets | 659,156 | 350,000 |
Repayment of notes payable secured by credit risk transfer and mortgage servicing assets | (474,834) | (235,977) |
Issuance of Exchangeable Notes | 345,000 | 0 |
Repayment of Exchangeable Notes | 0 | (248,262) |
Repayment of secured notes payable secured by mortgage servicing assets | (437,970) | 0 |
Repayment of asset-backed financing of VIEs at fair value | (51,207) | (32,519) |
Advances under notes payable secured by mortgage servicing assets | 1,162,971 | 0 |
Payment of debt issuance costs | (18,503) | (10,858) |
Payment of contingent underwriting fees | 0 | (76) |
Payment of dividends to preferred shareholders | (12,472) | (12,472) |
Payment of dividends to common shareholders | (92,202) | (72,196) |
Issuance of common shares | 0 | 5,654 |
Payment of issuance costs related to common shares | 0 | (57) |
Payment of vested share-based compensation withholdings | (698) | (1,629) |
Repurchase of common shares | (521) | (13,343) |
Net cash provided by (used in) financing activities | 1,888,650 | (2,856,831) |
Net increase in cash | 10,912 | 241,951 |
Cash at beginning of period | 57,704 | 104,056 |
Cash at end of period | 68,616 | 346,007 |
PennyMac Loan Services, LLC [Member] | ||
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | ||
Accrual of interest on excess servicing spread purchased from PennyMac Financial Services, Inc. | (1,280) | (4,346) |
Purchase of loans acquired for sale at fair value from PennyMac Financial Services, Inc. | 0 | (2,248,869) |
Sale of loans acquired for sale to PennyMac Financial Services, Inc. | 35,474,697 | 26,112,489 |
Increase in due from PennyMac Financial Services, Inc. | (11,007) | (645) |
Decrease in due to PennyMac Financial Services, Inc. | (25,122) | (3,970) |
Cash flows from investing activities | ||
Repayment of excess servicing spread receivable from PennyMac Financial Services, Inc. | 134,624 | 17,430 |
Cash flows from financing activities | ||
Repurchase of assets sold to PennyMac Financial Services, Inc. under agreement to repurchase | $ (80,862) | $ (17,411) |
Organization
Organization | 6 Months Ended |
Jun. 30, 2021 | |
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. |
Basis of Presentation and Accou
Basis of Presentation and Accounting Change | 6 Months Ended |
Jun. 30, 2021 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Basis of Presentation and Accounting Change | Note 2—Basis of Presentation and Accounting Change 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 These unaudited consolidated financial statements reflect all normal recurring adjustments necessary to present fairly the financial position, results of operations, and cash flows for the interim periods presented, but are not necessarily indicative of the results of operations that may be anticipated for the full year. Intercompany accounts and transactions have been eliminated. Preparation of financial statements in compliance with GAAP requires the 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. The Company held no restricted cash during the periods presented. Therefore, the consolidated statements of cash flows do not include references to restricted cash. 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 using either the modified retrospective or full retrospective method. The Company intends to adopt ASU 2020-06 beginning in the quarter ending March 31, 2022 using the modified retrospective method. As detailed in Note 14 — Long-Term Debt • The exchange feature included in the Exchangeable Notes can be settled either in cash or common shares at the option of PennyMac Corp. (“PMC”). As a result of this feature and PMC’s intent to cash settle the Exchangeable Notes, the Company presently excludes the effect of exchange of the Exchangeable 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 exchange of the Exchangeable Notes in its determination of diluted earnings per share. • The Company recognized the fair value of the exchange feature as a component of Additional paid-in capital as of the date of issuance of the Exchangeable Notes as required by current guidance. The issuance discount charged to the Exchangeable 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 Exchangeable Notes will be added to the carrying value of the Exchangeable Notes and the accumulated accrual of the exchange 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. |
Concentration of Risks
Concentration of Risks | 6 Months Ended |
Jun. 30, 2021 | |
Risks And Uncertainties [Abstract] | |
Concentration of Risks | Note 3—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 retains 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 Coronavirus Aid, Relief, and Economic Security Act (“CARES 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). In contrast, 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, CRT arrangements, and MBS: • 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. • The fair value of MBS is sensitive to changes in market interest rates. |
Transactions with Related parti
Transactions with Related parties | 6 Months Ended |
Jun. 30, 2021 | |
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 of the UPB, 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: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Loan fulfillment fees earned by PLS $ 54,020 $ 52,815 $ 114,855 $ 94,755 Sourcing fees received from PLS included in Net gains on loans acquired for sale $ 1,630 $ 3,324 $ 3,368 $ 7,485 UPB of loans sold to PLS $ 16,297,216 $ 11,080,565 $ 33,856,791 $ 24,950,845 Purchases of loans acquired for sale from PLS $ — $ 2,742 $ — $ 2,248,869 Tax service fees paid to PLS $ 7,128 $ 4,288 $ 15,320 $ 8,268 June 30, 2021 December 31, 2020 (in thousands) Loans included in Loans acquired for sale at fair value pending sale to PLS $ 202,280 $ 460,414 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 MSRs, loans held for sale and loans held in VIEs (prime servicing) and its portfolio of residential loans purchased with credit deterioration (distressed loans). The Servicing Agreement provides for servicing fees earned by PLS that are established at a fixed per loan monthly amount based on whether the loans are acquired as prime servicing or distressed loans. 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 pandemic-related forbearance and modification activities provided for under the CARES Act. 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. Prime Servicing The base servicing fees for non-distressed loans subserviced by PLS on the Company’s behalf 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 real estate acquired in settlement of loans (“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. Effective July 1, 2020, PLS also receives certain fees for COVID-19 pandemic-related forbearance and modification activities it provides as required by the CARES Act. Special Servicing (Distressed Loans) The base servicing fee rates for distressed loans range from $30 per month for current loans up to $95 per month for loans in foreclosure proceedings. The base servicing fee rate for REO is $75 per month. PLS also receives a supplemental servicing fee of $25 per month for each distressed loan. PLS receives activity-based fees for modifications, foreclosures and liquidations that it facilitates with respect to distressed loans, as well as other market-based refinancing and loan disposition fees. PLS may also receive REO rental fees, property lease renewal fees, property management fees, tenant paid application fees, late rent fees, and third-party vendor fees. 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: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Loan servicing fees: Loans acquired for sale at fair value $ 630 $ 607 $ 1,173 $ 1,143 Loans at fair value 80 188 217 488 MSRs 19,305 14,738 37,718 28,423 $ 20,015 $ 15,533 $ 39,108 $ 30,054 Average investment in: Loans acquired for sale at fair value $ 4,153,241 $ 2,047,202 $ 3,887,734 $ 2,631,047 Loans at fair value: Distressed $ 7,208 $ 8,919 $ 7,504 $ 10,084 Held in VIEs $ 103,615 $ 231,973 $ 116,298 $ 242,866 Average MSR portfolio UPB $ 191,539,208 $ 143,856,366 $ 184,477,096 $ 140,056,208 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 calculated in accordance with GAAP, and adjusted to exclude one-time events pursuant to changes in GAAP and certain other non-cash charges after discussion between the Manager 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 “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 “net income” is lower than the target yield, the high watermark is increased by the difference. If “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 “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: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Base management $ 8,648 $ 8,288 $ 17,097 $ 17,343 Performance incentive 3,265 — 3,265 — $ 11,913 $ 8,288 $ 20,362 $ 17,343 Average shareholders' equity amounts used to calculate base management fee expense $ 2,340,948 $ 2,242,460 $ 2,325,605 $ 2,354,600 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: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Reimbursement of: Common overhead incurred by PCM and its affiliates $ 1,268 $ 1,585 $ 1,839 $ 3,125 Compensation 165 120 330 240 Expenses incurred on the Company’s behalf, net 7,804 1,438 9,140 2,709 $ 9,237 $ 3,143 $ 11,309 $ 6,074 Payments and settlements during the period (1) $ 74,441 $ 136,352 $ 187,182 $ 170,035 (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 (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. The remaining balance of the ESS was repaid during the quarter ended March 31, 2021. Following is a summary of investing activities between the Company and PFSI: Quarter ended Six months ended June 30, June 30, 2020 2021 2020 (in thousands) (in thousands) ESS: Received pursuant to a recapture agreement $ 483 $ 557 $ 862 Repayments $ 8,122 $ 134,624 $ 17,430 Interest income $ 2,372 $ 1,280 $ 4,346 Net gain (loss) included in Net gains (losses) on investments: Valuation changes $ (636 ) $ 1,037 $ (15,158 ) Recapture income 535 614 916 $ (101 ) $ 1,651 $ (14,242 ) June 30, 2021 December 31, 2020 (in thousands) Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value $ — $ 131,750 Financing Activities PFSI held 75,000 of the Company’s common shares at both June 30, 2021 and December 31, 2020. 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 the first quarter of 2021, PLS repurchased the ESS from PMH at fair market value, effectively terminating the borrowing arrangements allowing PMH to finance its participation certificates representing beneficial ownership in ESS. Following is a summary of financing activities between the Company and PFSI: Quarter ended Six months ended June 30, June 30, 2020 2021 2020 (in thousands) Net repayments of assets sold under agreements to repurchase $ 9,665 $ 80,862 $ 17,411 Interest expense $ 792 $ 387 $ 2,010 June 30, 2021 December 31, 2020 (in thousands) Assets sold to PFSI under agreement to repurchase $ — $ 80,862 Amounts Receivable from and Payable to PFSI Amounts receivable from and payable to PFSI are summarized below: June 30, 2021 December 31, 2020 (in thousands) Due from PFSI: MSR recapture $ — $ 296 Other 19,216 7,856 $ 19,216 $ 8,152 Due to PFSI: Allocated expenses and expenses and costs paid by PFSI on PMT’s behalf $ 17,002 $ 38,142 Fulfillment fees 16,467 20,873 Management fees 11,913 8,686 Correspondent production fees 9,764 13,065 Loan servicing fees 6,737 6,213 Interest on Assets sold to PFSI under agreement to repurchase — 26 $ 61,883 $ 87,005 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 in various balance sheet items as summarized below: Balance sheet line including advance amount June 30, 2021 December 31, 2020 (in thousands) Loan servicing advances $ 111,858 $ 121,820 Real estate acquired in settlement of loans 5,586 10,334 $ 117,444 $ 132,154 |
Loan Sales
Loan Sales | 6 Months Ended |
Jun. 30, 2021 | |
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: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Cash flows: Proceeds from sales $ 30,181,949 $ 20,172,571 $ 63,500,106 $ 39,890,722 Loan servicing fees received net of guarantee fees $ 124,019 $ 101,823 $ 240,306 $ 196,292 The following table summarizes, for the dates presented, collection status information for loans whose transfers are accounted for as sales where the Company maintains continuing involvement: June 30, 2021 December 31, 2020 (in thousands) UPB of loans outstanding $ 198,133,144 $ 170,502,361 Collection Status (UPB) (1) Delinquency: 30-89 days delinquent $ 893,841 $ 1,235,981 90 or more days delinquent: Not in foreclosure $ 2,957,384 $ 4,428,915 In foreclosure $ 21,390 $ 27,494 Bankruptcy $ 146,209 $ 148,866 Custodial funds managed by the Company (2) $ 4,937,986 $ 6,086,724 Delinquent loans in COVID-19 pandemic-related forbearance: 30-89 days $ 271,175 $ 530,353 90 days or more $ 2,433,277 $ 3,123,288 (1) Includes delinquent loans in COVID-19 pandemic-related forbearance plans that were requested by borrowers seeking payment relief in accordance with the CARES Act. (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 operations. |
Variable Interest Entities
Variable Interest Entities | 6 Months Ended |
Jun. 30, 2021 | |
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 Variable Interest Entities (“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 Company placed Deposits securing CRT arrangements Deposits securing CRT arrangements CRT Derivatives Derivative and credit risk transfer strip assets Derivative and credit risk transfer strip liabilities. 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 a different type of CRT arrangement. Under the new arrangement, the Company sold loans subject to agreements that required the Company to purchase securities that absorb incurred credit losses on such loans. The Company recognized these purchase commitments initially as a component of Net gains on loans acquired for sale Net gains (losses) on investments The Company purchased the 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 and Derivative and credit risk transfer strip liabilities. Like CRT Agreements, the Deposits securing CRT arrangements relating to these arrangements represent the Company’s maximum contractual exposure to losses. Gains and losses on the derivatives and strips (including the IO ownership interest sold to nonaffiliates ) included in the CRT arrangements are included in Net gain s (loss es ) on investments in the consolidated statements of operations. Following is a summary of the CRT arrangements: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) UPB of loans sold $ 1,795,130 $ 16,478,185 Investments — Change in expected face amount of firm commitment to purchase CRT securities $ (262,176 ) $ 292,514 Investment income (loss): Net gains on loans acquired for sale — Fair value of firm commitment to purchase CRT securities recognized upon sale of loans $ (7,579 ) $ (34,228 ) Net gains (losses) on investments: Derivative and CRT strips: CRT derivatives Realized $ 28,631 13,550 $ 52,127 30,751 Valuation changes (9,431 ) 122,535 3,443 (178,408 ) 19,200 136,085 55,570 (147,657 ) CRT strips Realized 31,368 13,355 63,972 28,105 Valuation changes 41,724 113,570 134,946 (116,305 ) 73,092 126,925 198,918 (88,200 ) Interest-only security payable at fair value 5,737 (847 ) (2,428 ) 10,728 98,029 262,163 252,060 (225,129 ) Firm commitments to purchase CRT securities — 226,035 — (266,478 ) 98,029 488,198 252,060 (491,607 ) Interest income — Deposits securing CRT arrangements 156 507 325 6,606 $ 98,185 $ 481,126 $ 252,385 $ (519,229 ) Net (recoveries received) payments made to settle (recoveries) losses on CRT arrangements $ (20,212 ) $ 2,662 $ (33,555 ) $ 4,179 June 30, 2021 December 31, 2020 (in thousands) Carrying value of CRT arrangements: Derivative and credit risk transfer strip assets (liabilities), net CRT derivatives $ 35,238 $ 31,795 CRT strips (67,846 ) (202,792 ) $ (32,608 ) $ (170,997 ) Deposits securing CRT arrangements $ 2,256,047 $ 2,799,263 Interest-only security payable at fair value $ 13,185 $ 10,757 CRT arrangement assets pledged to secure borrowings: Derivative and credit risk transfer assets $ 44,951 $ 58,699 Deposits securing CRT arrangements (1) $ 2,256,047 $ 2,799,263 UPB of loans — funded CRT arrangements $ 41,234,108 $ 58,697,942 Collection status (UPB): Delinquency (2) Current $ 39,006,255 $ 54,990,381 30-89 days delinquent $ 374,674 $ 710,872 90-180 days delinquent $ 279,480 $ 693,315 180 or more days delinquent $ 1,569,913 $ 2,297,365 Foreclosure $ 3,786 $ 6,009 Bankruptcy $ 73,495 $ 75,700 Delinquent loans in COVID-19 pandemic-related forbearance: 30-89 days delinquent $ 135,537 $ 383,028 90-180 days delinquent $ 215,248 $ 546,344 180 or more days delinquent $ 1,314,802 $ 1,944,663 (1) Deposits securing credit risk transfer strip liabilities also secure $77.6 million and $229.7 million in CRT strip and CRT derivative liabilities at June 30, 2021 and December 31, 2020, respectively . (2) Includes delinquent loans in COVID-19 pandemic-related forbearance plans that were requested by borrowers seeking payment relief in accordance with the CARES Act. Investments in Loan Securitizations Investment in Securities Backed by Loans Secured by Non-Owner Occupied Properties On June 30, 2021, the Company purchased subordinate mortgage pass-through securities backed by conventional non-owner occupied loans in a transaction sponsored by Citigroup Global Markets Realty Corp,. CMLTI 2021-INV1. CMLTI 2021-INV had an initial UPB totaling approximately $247.7 million. Cash inflows from these 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. The rights of holders of the subordinate certificates to receive distributions of principal and/or interest, as applicable, is subordinate to the rights of holders of the senior certificates. After the senior certificates are repaid, substantially all cash inflows will be directed to the subordinate certificates the Company owns until fully repaid. The Company’s purchase of subordinate certificates expose PMT to the credit risk in the underlying loans because the Company’s beneficial interests are among the first beneficial interests to absorb credit losses on those assets. 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, as servicer of the loans, to direct the activities of the trust that most significantly impact the trust’s economic performance and, as a holder of subordinate securities, that it is exposed to losses 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 financi ng of a variable interest entities at fair value on the Company’s consolidated balance sheets. Both the Loans at fair value and the Asset-ba cked financing of variable interest entit ies at fair value included in the consolidated VIE are also included in a separate statement following the Company’s consolidated balance sheets. The Company previously recognized MSRs relating to loans owned by the consolidated VIE. Upon consolidation of the VIE, the Company transferred the MSRs relat ing to the loans in the VIE to L oans at fair value . 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 operations. Following is a summary of the Company’s investment in non-owner occupied loans: June 30, 2021 (in thousands) Loans at fair value $ 253,277 Asset-backed financing at fair value $ 240,383 Certificates retained at fair value $ 12,894 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 variable interest entities at fair value . Interest Income – from nonaffiliates Interest Expense – to nonaffiliates Following is a summary of the Company’s jumbo loan financing: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Interest income $ 1,368 $ 2,712 $ 3,267 $ 5,353 Interest expense $ 1,996 $ 2,470 $ 2,164 $ 6,997 June 30, 2021 December 31, 2020 (in thousands) Loans at fair value $ 89,909 $ 143,707 Asset-backed financing at fair value $ 81,492 $ 134,726 Certificates retained at fair value $ 8,417 $ 8,981 |
Fair Value
Fair Value | 6 Months Ended |
Jun. 30, 2021 | |
Fair Value Disclosures [Abstract] | |
Fair Value | Note 7— 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 variable interest entities at fair value Interest-only security payable at fair value 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: June 30, 2021 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 44,890 $ — $ — $ 44,890 Mortgage-backed securities at fair value — 2,309,864 — 2,309,864 Loans acquired for sale at fair value — 5,504,871 30,429 5,535,300 Loans at fair value — 343,186 7,215 350,401 Derivative and credit risk transfer strip assets: Call options on interest rate futures purchase contracts 3,500 — — 3,500 Put options on interest rate futures purchase contracts 1,401 — — 1,401 Forward purchase contracts — 23,676 — 23,676 Forward sale contracts — 5,891 — 5,891 MBS call options — 2,401 — 2,401 MBS put options — 3,602 — 3,602 Swaption purchase contracts — 4,362 — 4,362 CRT derivatives — — 44,951 44,951 Interest rate lock commitments — — 31,276 31,276 Total derivative assets before netting 4,901 39,932 76,227 121,060 Netting — — — (32,782 ) Total derivative and credit risk transfer strip assets after netting 4,901 39,932 76,227 88,278 Mortgage servicing rights at fair value — — 2,551,373 2,551,373 $ 49,791 $ 8,197,853 $ 2,665,244 $ 10,880,106 Liabilities: Asset-backed financing of VIEs at fair value $ — $ 321,875 $ — $ 321,875 Interest-only security payable at fair value — — 13,185 13,185 Derivative and credit risk transfer strip liabilities: Forward purchase contracts — 1,260 — 1,260 Forward sales contracts — 44,129 — 44,129 CRT derivatives — — 9,713 9,713 Interest rate lock commitments — — 1,528 1,528 Total derivative liabilities before netting — 45,389 11,241 56,630 Netting — — — (37,795 ) Total derivative liabilities after netting — 45,389 11,241 18,835 Credit risk transfer strips — — 67,846 67,846 Total derivative and credit risk transfer strips liabilities — 45,389 79,087 86,681 $ — $ 367,264 $ 92,272 $ 421,741 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 purchase contracts — 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 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 VIEs at fair value $ — $ 134,726 $ — $ 134,726 Interest-only security payable at fair value — — 10,757 10,757 Derivative 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 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 periods presented: Quarter ended June 30, 2021 Assets (1) Loans acquired for sale Loans at fair value CRT derivatives Interest rate lock commitments CRT strips Mortgage servicing rights Total (in thousands) Balance, March 31, 2021 $ 34,234 $ 7,802 $ 44,676 $ (64,858 ) $ (109,570 ) $ 2,441,214 $ 2,353,498 Purchases and issuances 14,173 — — 57,601 — — 71,774 Repayments and sales (17,789 ) (730 ) (28,638 ) — (31,368 ) — (78,525 ) Amounts received pursuant to sales of loans — — — — — 412,938 412,938 Changes in fair value included in results of operations arising from: Changes in instrument- specific credit risk — — — — — — — Other factors (189 ) 130 19,200 105,573 73,092 (299,498 ) (101,692 ) (189 ) 130 19,200 105,573 73,092 (299,498 ) (101,692 ) Transfers: Reclassification of MSRs to loans at fair value resulting from consolidation of a VIE — — — — — (3,281 ) (3,281 ) Loans from REO — 13 — — — — 13 Interest rate lock commitments to loans acquired for sale (2) — — — (68,568 ) — — (68,568 ) Balance, June 30, 2021 $ 30,429 $ 7,215 $ 35,238 $ 29,748 $ (67,846 ) $ 2,551,373 $ 2,586,157 Changes in fair value recognized during the quarter relating to assets still held at June 30, 2021 $ (168 ) $ 74 $ (9,431 ) $ 29,748 $ 41,724 $ (299,498 ) $ (237,551 ) (1) For the purpose of this table, CRT derivatives, interest rate lock commitments (“IRLCs”), and CRT strips 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 Quarter ended June 30, 2021 (in thousands) Interest-only security payable: Balance, March 31, 2021 $ 18,922 Changes in fair value included in income arising from: Changes in instrument-specific credit risk — Other factors (5,737 ) (5,737 ) Balance, June 30, 2021 $ 13,185 Changes in fair value recognized during the quarter relating to liability outstanding at June 30, 2021 $ (5,737 ) Quarter ended June 30, 2020 Assets (1) Loans acquired for sale Loans at fair value Excess servicing spread CRT derivatives Interest rate lock commitments CRT strips Repurchase agreement derivatives Firm commitments to purchase CRT securities Mortgage servicing rights Total (in thousands) Balance, March 31, 2020 $ 22,541 $ 9,122 $ 157,109 $ (185,933 ) $ 79,384 $ (174,945 ) $ 5,275 $ (409,649 ) $ 1,157,326 $ 660,230 Purchases and issuances 20,996 — — — 172,047 — — — — 193,043 Repayments and sales (13,475 ) (590 ) (8,122 ) (14,078 ) — (13,355 ) — — — (49,620 ) Capitalization of interest — — 2,372 — — — — — — 2,372 ESS received pursuant to a recapture agreement with PFSI — — 483 — — — — — — 483 Amounts (incurred) received pursuant to sales of loans — — — — — — — (7,579 ) 203,127 195,548 Changes in fair value included in results of operations arising from: Changes in instrument- specific credit risk — — — — — — — — — — Other factors (749 ) (121 ) (636 ) 136,085 96,053 126,925 — 226,035 (170,848 ) 412,744 (749 ) (121 ) (636 ) 136,085 96,053 126,925 — 226,035 (170,848 ) 412,744 Transfers: Interest rate lock commitments to loans acquired for sale (2) — — — — (263,528 ) — — — — (263,528 ) Balance, June 30, 2020 $ 29,313 $ 8,411 $ 151,206 $ (63,926 ) $ 83,956 $ (61,375 ) $ 5,275 $ (191,193 ) $ 1,189,605 $ 1,151,272 Changes in fair value recognized during the quarter relating to assets still held at June 30, 2020 $ (704 ) $ (322 ) $ (636 ) $ 122,535 $ 83,956 $ 113,570 $ — $ 226,035 $ (170,848 ) $ 373,586 (1) For the purpose of this table, CRT derivatives, IRLCs, CRT strips, and Firm commitment to purchase CRT securities 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 Quarter ended June 30, 2020 (in thousands) Interest-only security payable: Balance, March 31, 2020 $ 14,134 Changes in fair value included in income arising from: Changes in instrument- specific credit risk — Other factors 847 847 Balance, June 30, 2020 $ 14,981 Changes in fair value recognized during the quarter relating to liability outstanding at June 30, 2020 $ 847 Six months ended June 30, 2021 Assets (1) Loans acquired for sale Loans at fair value Excess servicing spread CRT derivatives Interest rate lock commitments CRT strips Mortgage servicing rights Total (in thousands) Balance, December 31, 2020 $ 33,875 $ 8,027 $ 131,750 $ 31,795 $ 72,386 $ (202,792 ) $ 1,755,236 $ 1,830,277 Purchases and issuances 30,071 — — — 47,897 — — 77,968 Repayments and sales (33,859 ) (1,314 ) (134,624 ) (52,127 ) — (63,972 ) — (285,896 ) Capitalization of interest and fees — 198 1,280 — — — — 1,478 ESS received pursuant to a recapture agreement with PFSI — — 557 — — — — 557 Amounts received pursuant to sales of loans — — — — — — 820,634 820,634 Changes in fair value included in results of operations arising from: Changes in instrument- specific credit risk — — — — — — — — Other factors 342 225 1,037 55,570 (169,942 ) 198,918 (21,216 ) 64,934 342 225 1,037 55,570 (169,942 ) 198,918 (21,216 ) 64,934 Transfers: Reclassification of MSRs to loans at fair value resulting from consolidation of a VIE — — — — — — (3,281 ) (3,281 ) Loans from REO — 79 — — — — — 79 Interest rate lock commitments to loans acquired for sale (2) — — — — 79,407 — — 79,407 Balance, June 30, 2021 $ 30,429 $ 7,215 $ — $ 35,238 $ 29,748 $ (67,846 ) $ 2,551,373 $ 2,586,157 Changes in fair value recognized during the period relating to assets still held at June 30, 2021 $ 157 $ 75 $ — $ 3,443 $ 29,748 $ 134,946 $ (21,216 ) $ 147,153 (1) For the purpose of this table, CRT derivatives, IRLCs, and CRT strips 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 Six months ended June 30, 2021 (in thousands) Interest-only security payable: Balance, December 31, 2020 $ 10,757 Changes in fair value included in results of operations arising from: Changes in instrument-specific credit risk — Other factors 2,428 2,428 Balance, June 30, 2021 $ 13,185 Changes in fair value recognized during the period relating to liability outstanding at June 30, 2021 $ 2,428 Six months ended June 30, 2020 Assets (1) Loans acquired for sale Loans at fair value Excess servicing spread CRT derivatives Interest rate lock commitments CRT strips Repurchase agreement derivatives 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 $ 54,930 $ 5,275 $ 109,513 $ 1,535,705 $ 2,044,019 Purchases and issuances 32,287 1,058 — — 261,966 — — — — 295,311 Repayments and sales (21,032 ) (4,925 ) (17,430 ) (32,132 ) — (28,105 ) — — — (103,624 ) Capitalization of interest — — 4,346 — — — — — — 4,346 ESS received pursuant to a recapture agreement with PFSI — — 862 — — — — — — 862 Amounts (incurred) received pursuant to sales of loans — — — — — — — (34,228 ) 451,949 417,721 Changes in fair value included in results of operations arising from: Changes in instrument- specific credit risk — — — — — — — — — — Other factors (509 ) (1,263 ) (15,158 ) (147,657 ) 199,698 (88,200 ) — (266,478 ) (798,049 ) (1,117,616 ) (509 ) (1,263 ) (15,158 ) (147,657 ) 199,698 (88,200 ) — (266,478 ) (798,049 ) (1,117,616 ) Transfers: Loans to REO — (885 ) — — — — — — — (885 ) Interest rate lock commitments to loans acquired for sale (2) — — — — (388,862 ) — — — — (388,862 ) Balance, June 30, 2020 $ 29,313 $ 8,411 $ 151,206 $ (63,926 ) $ 83,956 $ (61,375 ) $ 5,275 $ (191,193 ) $ 1,189,605 $ 1,151,272 Changes in fair value recognized during the period relating to assets still held at June 30, 2020 $ (656 ) $ (1,157 ) $ (15,158 ) $ (178,408 ) $ 83,956 $ (116,305 ) $ — $ (266,478 ) $ (798,049 ) $ (1,292,255 ) (1) For the purpose of this table, CRT derivatives, IRLCs, CRT strips, and Firm commitment to purchase CRT securities 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 Six months ended June 30, 2020 (in thousands) Interest-only security payable: Balance, December 31, 2019 $ 25,709 Changes in fair value included in income arising from: Changes in instrument- specific credit risk — Other factors (10,728 ) (10,728 ) Balance, June 30, 2020 $ 14,981 Changes in fair value recognized during the period relating to liability outstanding at June 30, 2020 $ (10,728 ) 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 (comprised of loans acquired for sale, loans held in a consolidated VIE, and distressed loans): June 30, 2021 December 31, 2020 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 $ 5,530,359 $ 5,327,754 $ 202,605 $ 3,545,100 $ 3,377,970 $ 167,130 90 or more days delinquent: Not in foreclosure 4,746 5,039 (293 ) 6,591 8,006 (1,415 ) In foreclosure 195 235 (40 ) 199 235 (36 ) 4,941 5,274 (333 ) 6,790 8,241 (1,451 ) $ 5,535,300 $ 5,333,028 $ 202,272 $ 3,551,890 $ 3,386,211 $ 165,679 Loans at fair value: Loans held in consolidated VIEs: Current through 89 days delinquent $ 340,833 $ 330,541 $ 10,292 $ 140,052 $ 128,787 $ 11,265 90 or more days delinquent: Not in foreclosure 2,353 2,884 (531 ) 3,655 4,240 (585 ) In foreclosure — — — — — — 2,353 2,884 (531 ) 3,655 4,240 (585 ) 343,186 333,425 9,761 143,707 133,027 10,680 Distressed loans: Current through 89 days delinquent 2,038 3,936 (1,898 ) 2,071 4,099 (2,028 ) 90 or more days delinquent: Not in foreclosure 2,873 9,826 (6,953 ) 3,714 12,357 (8,643 ) In foreclosure 2,304 6,334 (4,030 ) 2,242 4,641 (2,399 ) 5,177 16,160 (10,983 ) 5,956 16,998 (11,042 ) 7,215 20,096 (12,881 ) 8,027 21,097 (13,070 ) $ 350,401 $ 353,521 $ (3,120 ) $ 151,734 $ 154,124 $ (2,390 ) Following are the changes in fair value included in current period results of operations by consolidated statement of operations line item for financial statement items accounted for under the fair value option: Quarter ended June 30, 2021 Net gains on loans acquired for sale Net gains (losses) on investments Net loan servicing fees Net interest expense Total (in thousands) Assets: Mortgage-backed securities at fair value $ — $ 29,252 $ — $ (1,883 ) $ 27,369 Credit risk transfer strips — 73,092 — — 73,092 Loans acquired for sale at fair value 99,339 — — — 99,339 Loans at fair value — (533 ) — 504 (29 ) MSRs at fair value — — (299,498 ) — (299,498 ) $ 99,339 $ 101,811 $ (299,498 ) $ (1,379 ) $ (99,727 ) Liabilities: Interest-only security payable at fair value $ — $ 5,737 $ — $ — $ 5,737 Asset-backed financing of VIEs at fair value — 1,582 — (1,245 ) 337 $ — $ 7,319 $ — $ (1,245 ) $ 6,074 Quarter ended June 30, 2020 Net gains on loans acquired for sale Net gains (losses) on investments Net loan servicing fees Net interest expense Total (in thousands) Assets: Mortgage-backed securities at fair value $ — $ 17,064 $ — $ (11,859 ) $ 5,205 Loans acquired for sale at fair value 257,469 — — — 257,469 Loans at fair value — 674 — 546 1,220 ESS at fair value — (636 ) — 2,372 1,736 Credit risk transfer strips — 126,925 — — 126,925 Firm commitment to purchase CRT securities at fair value (7,579 ) 226,035 — — 218,456 MSRs at fair value — — (170,848 ) — (170,848 ) $ 249,890 $ 370,062 $ (170,848 ) $ (8,941 ) $ 440,163 Liabilities: Interest-only security payable $ — $ (847 ) $ — $ — $ (847 ) Asset-backed financing of VIEs at fair value — (162 ) — 604 442 $ — $ (1,009 ) $ — $ 604 $ (405 ) Six months ended June 30, 2021 Net gains on loans acquired for sale Net gains (losses) on investments Net loan servicing fees Net interest expense Total (in thousands) Assets: Mortgage-backed securities at fair value $ — $ (41,865 ) $ — $ (4,406 ) $ (46,271 ) Credit risk transfer strips — 198,918 — — 198,918 Loans acquired for sale at fair value (7,325 ) — — — (7,325 ) Loans at fair value — (2,784 ) — 1,329 (1,455 ) ESS at fair value — 1,037 — 1,280 2,317 MSRs at fair value — — (21,216 ) — (21,216 ) $ (7,325 ) $ 155,306 $ (21,216 ) $ (1,797 ) $ 124,968 Liabilities: Interest-only security payable at fair value $ — $ (2,428 ) $ — $ — $ (2,428 ) Asset-backed financing of VIEs at fair value — 2,483 — (456 ) 2,027 $ — $ 55 $ — $ (456 ) $ (401 ) Six months ended June 30, 2020 Net gains on loans acquired for sale Net gains (losses) on investments Net loan servicing fees Net interest expense Total (in thousands) Assets: Mortgage-backed securities at fair value $ — $ 133,031 $ — $ (23,861 ) $ 109,170 Loans acquired for sale at fair value 405,027 — — — 405,027 Loans at fair value — (3,337 ) — 839 (2,498 ) ESS at fair value — (15,158 ) — 4,346 (10,812 ) Credit risk transfer strips — (88,200 ) — — (88,200 ) Firm commitment to purchase CRT securities at fair value (34,228 ) (266,478 ) — — (300,706 ) MSRs at fair value — — (798,049 ) — (798,049 ) $ 370,799 $ (240,142 ) $ (798,049 ) $ (18,676 ) $ (686,068 ) Liabilities: Interest-only security payable at fair value $ — $ 10,728 $ — $ — $ 10,728 Asset-backed financing of VIEs at fair value — 1,766 — (3,095 ) (1,329 ) $ — $ 12,494 $ — $ (3,095 ) $ 9,399 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 period based on fair value on a nonrecurring basis: Real estate acquired in settlement of loans Level 1 Level 2 Level 3 Total (in thousands) June 30, 2021 $ — $ — $ 4,747 $ 4,747 December 31, 2020 $ — $ — $ 12,656 $ 12,656 The following table summarizes the fair value changes recognized during the periods on assets held at period end that were remeasured at fair value on a nonrecurring basis: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Real estate asset acquired in settlement of loans $ (564 ) $ (47 ) $ (768 ) $ (1,195 ) 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 carrying and fair values of the Notes payable secured by credit risk transfer and mortgage servicing assets Exchangeable senior notes June 30, 2021 December 31, 2020 Instrument Carrying value Fair value Carrying value Fair value (in thousands) Notes payable secured by credit risk transfer and mortgage servicing assets $ 2,829,177 $ 2,838,844 $ 1,924,999 $ 1,871,276 Exchangeable senior notes $ 496,825 $ 575,263 $ 196,796 $ 207,428 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 VIEs 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 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 operating, 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 gains (losses) 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 VIEs, 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 VIEs, the quoted indications of fair value of all of the individual securities issued by the securitization trusts are used to derive fair values 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. The Company adjusts the fair values received from brokers to include the fair value of MSRs attributable to loans secured by the Company included in the VIEs. • 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 acquired for sale categorized as “Level 3” fair value assets, fair values are estimated using a discounted cash flow approach. Inputs to the discounted cash flow model include current interest rates, loan amount, payment status, property type, discount rates and forecasts of future interest rates, home prices, prepayment speeds, default speeds, loss severities or contracted selling price when applicable. • Distressed loan fair values are estimated based on the expected resolution to be realized from the individual asset’s disposition strategy. 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%. 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 discount rate (pricing spread) and prepayment rate (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 gain s (loss es ) on investments in the consolidated statements of operations . The remaining balance of the ESS was repaid during the quarter ended March 31, 2021. Following are the key inputs used in determining the fair value of ESS: December 31, 2020 Fair value (in thousands) $ 131,750 UPB of underlying loans (in thousands) $ 15,833,050 Average servicing fee rate (in basis points) 34 Average ESS rate (in basis points) 19 Key inputs (1) Pricing spread (2) Range 4.9% – 5.3% Weighted average 5.1% Annual total prepayment speed (3) Range 9.6% – 18.3% Weighted average 11.7% Equivalent life (in years) Range 2.3 - 6.6 Weighted average 5.8 (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 gains (losses) 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 derivatives: June 30, 2021 December 31, 2020 (dollars in thousands) Fair value CRT derivatives: Assets $ 44,951 $ 58,699 Liabilities $ 9,713 $ 26,904 UPB of loans in reference pools $ 9,769,411 $ 13,854,426 Key inputs (1) Discount rate Range 5.5% – 6.2% 6.7% – 9.0% Weighted average 6.1% 7.3% Voluntary prepayment speed (2) Range 13.8% – 14.4% 20.8% – 23.5% Weighted average 13.9% 21.9% Involuntary prepayment speed (3) Range (0.5)% – 1.2% (0.8)% – 1.1% Weighted average (0.1)% (0.2)% Remaining loss expectation (4) Range (0.5)% – 0.6% (0.6)% – 0.6% Weighted average (0.1)% (0.3)% (1) Weighted average inputs are based on fair value amounts of the CRT Agreements except for remaining loss expectation which is 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. The negative involuntary prepayment speed reflects the expectation for reinstatement to the reference pool of a portion of the loans that previously triggered losses due to delinquency while under CARES Act forbearance upon their projected re-performance, 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 reflects the expectation of contractual reversals of previously incurred contractual losses due to the expected re-performance of a portion of the loans that experienced delinquency while under CARES Act forbearance. 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 estimated MSR attributed to the mortgage loans it has committed to purchase. Significant changes in the pull-through rate or the MSR component of the IRLCs, in isolation, may result in a significant change in the IRLCs’ fair value. The financial effects of changes in these inputs are generally inversely correlated as increasing interest rates have a positive effect on the fair value of the MSR component of IRLC fair value, but also increase the pull-through rate for the loan principal and interest payment cash flow component t |
Mortgage-Backed Securities
Mortgage-Backed Securities | 6 Months Ended |
Jun. 30, 2021 | |
Mortgage Backed Securities [Abstract] | |
Mortgage-Backed Securities | Note 8— Following is a summary of activity in the Company’s investment in MBS: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Balance at beginning of period $ 1,916,485 $ 3,947,420 $ 2,213,922 $ 2,839,633 Purchases 423,660 — 1,682,849 1,615,486 Sales — (1,112,761 ) (1,300,653 ) (1,601,490 ) Repayments (57,650 ) (226,878 ) (239,983 ) (349,813 ) Changes in fair value included in income arising from: Amortization of net purchase premiums (1,883 ) (11,859 ) (4,406 ) (23,861 ) Valuation adjustments 29,252 17,064 (41,865 ) 133,031 27,369 5,205 (46,271 ) 109,170 Balance at end of period $ 2,309,864 $ 2,612,986 $ 2,309,864 $ 2,612,986 Following is a summary of the Company’s investment in MBS: June 30, 2021 December 31, 2020 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 $ 722,730 $ 23,132 $ (11,862 ) $ 734,000 $ 1,253,755 $ 32,414 $ 24,867 $ 1,311,036 Fannie Mae 1,547,656 49,267 (21,059 ) 1,575,864 863,758 23,692 15,436 902,886 $ 2,270,386 $ 72,399 $ (32,921 ) $ 2,309,864 $ 2,117,513 $ 56,106 $ 40,303 $ 2,213,922 (1) All MBS are fixed-rate pass-through securities with maturities of more than ten years and are pledged to secure Assets sold under agreements to repurchase at June 30, 2021 and December 31, 2020. |
Loans Acquired for Sale at Fair
Loans Acquired for Sale at Fair Value | 6 Months Ended |
Jun. 30, 2021 | |
Mortgage Loans On Real Estate [Abstract] | |
Loans Acquired for Sale at Fair Value | Note 9—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 June 30, 2021 December 31, 2020 (in thousands) Agency-eligible (1) $ 5,302,591 $ 3,057,601 Held for sale to PLS — Government insured or guaranteed (2) 202,280 460,414 Home equity lines of credit 4,555 5,566 Commercial real estate 988 1,010 Repurchased pursuant to representations and warranties 24,886 27,299 $ 5,535,300 $ 3,551,890 Loans pledged to secure: Assets sold under agreements to repurchase $ 5,389,265 $ 3,484,202 Mortgage loan participation purchase and sale agreements 28,841 17,645 $ 5,418,106 $ 3,501,847 (1) Agency eligibility refers to loans’ eligibility for sale to Agencies. The Company sells or finances a portion of its Agency-eligible loan production to other investors. (2) 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— Transactions with Related Parties. |
Loans at Fair Value
Loans at Fair Value | 6 Months Ended |
Jun. 30, 2021 | |
Mortgage Loans At Fair Value [Abstract] | |
Loans at Fair Value | Note 10—Loans at Fair Value Loans at fair value are comprised primarily of loans held in VIEs securing asset-backed financings as discussed in Note 6— Variable Interest Entities – Investments in Loan Securitizations Following is a summary of the distribution of the Company’s loans at fair value: Loan type June 30, 2021 December 31, 2020 (in thousands) Loans in VIEs: Fixed interest rate jumbo loans $ 89,909 $ 143,707 Loans secured by non-owner occupied properties 253,277 — 343,186 143,707 Distressed loans 7,215 8,027 $ 350,401 $ 151,734 Loans at fair value pledged to secure: Asset-backed financings of VIEs at fair value $ 343,186 $ 143,707 Assets sold under agreements to repurchase 1,282 3,703 $ 344,468 $ 147,410 |
Derivative and Credit Risk Tran
Derivative and Credit Risk Transfer Strip Assets and Liabilities | 6 Months Ended |
Jun. 30, 2021 | |
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 and liabilities are summarized below: June 30, 2021 December 31, 2020 (in thousands) Derivative assets $ 88,278 $ 164,318 Credit risk transfer strip assets — — $ 88,278 $ 164,318 Derivative liabilities $ 18,835 $ 60,681 Credit risk transfer strip liabilities 67,846 202,792 $ 86,681 $ 263,473 The Company records all derivative and CRT strip assets and liabilities at fair value and records changes in fair value in current period results of operations. Derivative Activities 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: • 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 losses 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 VIEs, IRLCs, MSRs and MBS financing. The Company records all derivative and CRT strip assets at fair value and records changes in fair value in current period results of operations. The Company does not designate and qualify any of its derivative financial instruments for hedge accounting. Derivative Notional Amounts and Fair Value of Derivatives The Company had the following derivative assets and liabilities recorded within Derivative assets Derivative liabilities Other June 30, 2021 December 31, 2020 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 purchase contracts 1,050,000 $ 3,500 $ — 1,450,000 $ 3,070 $ — Put options on interest rate futures purchase contracts 1,570,000 1,401 — 2,800,000 4,742 — Forward purchase contracts 9,016,801 23,676 1,260 17,563,549 72,526 17 Forward sale contracts 17,781,827 5,891 44,129 26,615,716 92 122,884 MBS call options 1,750,000 2,401 — — — — MBS put options 2,950,000 3,602 — 3,625,000 3,220 — Swaption purchase contracts 3,097,500 4,362 — 3,655,000 8,505 — Swap futures 2,795,000 — — 1,950,000 — — Bond futures 286,500 — — 66,500 — — Not subject to master netting arrangements: CRT derivatives 9,769,411 44,951 9,713 13,854,426 58,699 26,904 Interest rate lock commitments 6,455,877 31,276 1,528 10,588,208 72,794 408 Total derivative instruments before netting 121,060 56,630 223,648 150,213 Netting (32,782 ) (37,795 ) (59,330 ) (89,532 ) $ 88,278 $ 18,835 $ 164,318 $ 60,681 Margin deposits placed with derivative counterparties, net $ 5,013 $ 30,197 Derivative assets pledged to secure: Notes payable secured by credit risk transfer and mortgage servicing assets $ 44,951 $ 58,699 (1) Notional amounts provide an indication of the volume of the Company’s derivative activity. (2) All hedging derivatives are interest rate derivatives that 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 June 30, 2021 and December 31, 2020 , 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: June 30, 2021 December 31, 2020 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 purchase contracts $ 3,500 $ — $ 3,500 $ 3,070 $ — $ 3,070 Put options on interest rate futures purchase contracts 1,401 — 1,401 4,742 — 4,742 Forward purchase contracts 23,676 — 23,676 72,526 — 72,526 Forward sale contracts 5,891 — 5,891 92 — 92 MBS call options 2,401 — 2,401 — — — MBS put options 3,602 — 3,602 3,220 — 3,220 Swaption purchase contracts 4,362 — 4,362 8,505 — 8,505 Netting — (32,782 ) (32,782 ) — (59,330 ) (59,330 ) 44,833 (32,782 ) 12,051 92,155 (59,330 ) 32,825 Not subject to master netting arrangements: CRT derivatives 44,951 — 44,951 58,699 — 58,699 Interest rate lock commitments 31,276 — 31,276 72,794 — 72,794 76,227 — 76,227 131,493 — 131,493 $ 121,060 $ (32,782 ) $ 88,278 $ 223,648 $ (59,330 ) $ 164,318 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. June 30, 2021 December 31, 2020 Net amount Gross amounts Net amount Gross amounts of assets not offset in the of assets not offset in the presented consolidated presented consolidated in the balance sheet in the balance sheet consolidated Cash consolidated Cash balance Financial collateral Net balance Financial collateral Net sheet instruments received amount sheet instruments received amount (in thousands) CRT derivatives $ 44,951 $ — $ — $ 44,951 $ 58,699 $ — $ — $ 58,699 Interest rate lock commitments 31,276 — — 31,276 72,794 — — 72,794 J.P. Morgan Securities LLC 725 — — 725 — — — — RJ O’Brien & Associates, LLC 4,902 — — 4,902 7,813 — — 7,813 Bank of America, N.A. 4,062 — — 4,062 15,406 — — 15,406 PNC Capital Markets LLC — — — — 3,138 — — 3,138 Citigroup Global Markets Inc. — — — — 2,416 — — 2,416 Deutsche Bank Securities LLC — — — — 1,602 — — 1,602 Mitsubishi UFJ Sec — — — — 1,070 — — 1,070 Other 2,362 — — 2,362 1,380 — — 1,380 $ 88,278 $ — $ — $ 88,278 $ 164,318 $ — $ — $ 164,318 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. June 30, 2021 December 31, 2020 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 $ 1,260 $ — $ 1,260 $ 17 $ — $ 17 Forward sales contracts 44,129 — 44,129 122,884 — 122,884 Netting — (37,795 ) (37,795 ) — (89,532 ) (89,532 ) 45,389 (37,795 ) 7,594 122,901 (89,532 ) 33,369 Not subject to master netting arrangements CRT derivatives 9,713 — 9,713 26,904 — 26,904 Interest rate lock commitments 1,528 — 1,528 408 — 408 56,630 (37,795 ) 18,835 150,213 (89,532 ) 60,681 Assets sold under agreements to repurchase: UPB 7,197,536 — 7,197,536 6,317,928 — 6,317,928 Unamortized debt issuance costs (3,865 ) — (3,865 ) (8,510 ) — (8,510 ) 7,193,671 — 7,193,671 6,309,418 — 6,309,418 $ 7,250,301 $ (37,795 ) $ 7,212,506 $ 6,459,631 $ (89,532 ) $ 6,370,099 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. June 30, 2021 December 31, 2020 Net amount Gross amounts Net amount Gross amounts of liabilities not offset in the of liabilities not offset in the presented consolidated presented consolidated in the balance sheet in the balance sheet consolidated Cash consolidated Cash balance Financial collateral Net balance Financial collateral Net sheet instruments pledged amount sheet instruments pledged amount (in thousands) Interest rate lock commitments $ 1,528 $ — $ — $ 1,528 $ 408 $ — $ — $ 408 CRT derivatives 9,713 — — 9,713 26,904 — — 26,904 Bank of America, N.A. 1,366,829 (1,366,829 ) — — 414,044 (414,044 ) — — Barclays Capital Inc. 1,081,361 (1,081,246 ) — 115 922,959 (922,035 ) — 924 RBC Capital Markets, L.P. 921,198 (921,198 ) — — 765,892 (765,892 ) — — Credit Suisse Securities (USA) LLC 809,674 (805,872 ) — 3,802 1,059,547 (1,054,636 ) — 4,911 J.P. Morgan Securities LLC 806,998 (806,998 ) — — 359,573 (357,211 ) — 2,362 Daiwa Capital Markets 518,677 (518,677 ) — — 728,207 (727,562 ) — 645 BNP Paribas 367,916 (367,560 ) — 356 164,414 (163,548 ) — 866 Wells Fargo Securities, LLC 349,857 (349,857 ) — — 148,854 (140,796 ) — 8,058 Citigroup Global Markets Inc. 336,774 (335,834 ) — 940 830,161 (830,161 ) — — Goldman Sachs & Co. LLC 259,748 (259,372 ) — 376 149,272 (144,883 ) — 4,389 Morgan Stanley & Co. LLC 250,005 (248,936 ) — 1,069 367,493 (366,415 ) — 1,078 Amherst Pierpont Securities LLC 135,419 (135,157 ) — 262 153,224 (153,224 ) — — Mizuho Securities — — — — 279,321 (277,521 ) — 1,800 Federal Home Loan Mortgage Corporation — — — — 5,883 — — 5,883 Other 674 — — 674 2,453 — — 2,453 $ 7,216,371 $ (7,197,536 ) $ — $ 18,835 $ 6,378,609 $ (6,317,928 ) $ — $ 60,681 Following are the net gains (losses) recognized by the Company on derivative financial instruments and the consolidated statements of operations line items where such gains and losses are included: Quarter ended June 30, Six months ended June 30, Derivative activity Consolidated statement of operations line 2021 2020 2021 2020 (in thousands) Interest rate lock commitments Net gains on loans acquired for sale (1) $ 94,605 $ 4,572 $ (42,638 ) $ 72,803 CRT derivatives Net gains (losses) on investments $ 19,200 $ 136,085 $ 55,570 $ (147,657 ) Hedged item: Interest rate lock commitments and loans acquired for sale Net gains on loans acquired for sale $ (166,100 ) $ (91,897 ) $ 131,376 $ (232,265 ) Mortgage servicing rights Net loan servicing fees $ 94,116 $ (50,650 ) $ (280,287 ) $ 716,536 Fixed-rate and prepayment sensitive assets and LIBOR-indexed repurchase agreements Net gains (losses) on investments $ 75 $ (16,739 ) $ 51 $ 48,192 (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 holdings of CRT strips Credit risk transfer strips contractually restricted from sale (1) June 30, 2021 December 31, 2020 (in thousands) Currently unrestricted $ 447 $ — Through December 4, 2021 9,908 (168,539 ) To maturity (78,201 ) (34,253 ) $ (67,846 ) $ (202,792 ) (1) The terms of the agreement underlying the CRT securities restricts sales of the securities, other than under agreements to repurchase, without the approval of Fannie Mae, for specified periods from the date of issuance. |
Mortgage Servicing Rights
Mortgage Servicing Rights | 6 Months Ended |
Jun. 30, 2021 | |
Text Block [Abstract] | |
Mortgage Servicing Rights | Note 12—Mortgage Servicing Rights Following is a summary of MSRs: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Balance at beginning of period $ 2,441,214 $ 1,157,326 $ 1,755,236 $ 1,535,705 MSRs resulting from loan sales 412,938 203,127 820,634 451,949 Changes in fair value: Due to changes in valuation inputs used in valuation model (1) (229,885 ) (111,649 ) 107,782 (674,896 ) Other changes in fair value (2) (69,613 ) (59,199 ) (128,998 ) (123,153 ) (299,498 ) (170,848 ) (21,216 ) (798,049 ) Reclassification to loans at fair value resulting from consolidation of a VIE (3) (3,281 ) — (3,281 ) — Balance at end of period $ 2,551,373 $ 1,189,605 $ 2,551,373 $ 1,189,605 June 30, 2021 December 31, 2020 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and payable secured by credit risk transfer and mortgage servicing assets $ 2,522,717 $ 1,742,905 (1) Primarily reflects changes in pricing spread, prepayment speed, and servicing cost inputs. (2) Represents changes due to realization of expected cash flows. (3) As discussed in Note 6—Variable Interest Entities – Investment in Securities Backed by Loans Secured by Non-Owner Occupied Properties, Loans at fair value Servicing fees relating to MSRs are recorded in Net loan servicing fees – from nonaffiliates Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Contractually-specified servicing fees $ 124,019 $ 101,823 $ 240,306 $ 196,292 Ancillary and other fees: Late charges 351 399 763 899 Other 24,551 11,488 40,384 18,179 $ 148,921 $ 113,710 $ 281,453 $ 215,370 |
Short-Term Borrowings
Short-Term Borrowings | 6 Months Ended |
Jun. 30, 2021 | |
Short Term Borrowings [Abstract] | |
Short-Term Borrowings | Note 13— The borrowing facilities described throughout these Notes 13 and 14 contain various covenants, including financial covenants governing the Company’s net worth, debt-to-equity ratio, profitability and liquidity. Management believes that the Company was in compliance with these covenants as of June 30, 2021. Assets Sold Under Agreements to Repurchase Following is a summary of financial information relating to assets sold under agreements to repurchase: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (dollars in thousands) Weighted average interest rate (1) 1.34 % 1.24 % 1.47 % 1.85 % Average balance $ 5,733,765 $ 4,755,992 $ 5,862,480 $ 5,529,446 Total interest expense $ 23,282 $ 17,071 $ 51,941 $ 54,822 Maximum daily amount outstanding $ 7,198,610 $ 6,627,618 $ 8,440,669 $ 8,664,587 (1) Excludes the effect of amortization of debt issuance costs of $4.1 million and $9.2 million for the quarter and six months ended June 30, 2021, respectively, and $2.4 million and $3.9 million for the quarter and six months ended June 30, 2020, respectively. June 30, 2021 December 31, 2020 (dollars in thousands) Carrying value: Unpaid principal balance $ 7,197,536 $ 6,317,928 Unamortized debt issuance costs (3,865 ) (8,510 ) $ 7,193,671 $ 6,309,418 Weighted average interest rate 1.36 % 1.36 % Available borrowing capacity (1): Committed $ 51,064 $ 483,767 Uncommitted 3,742,908 4,151,905 $ 3,793,972 $ 4,635,672 Margin deposits placed with counterparties included in Other $ 8,910 $ 141,808 Assets securing agreements to repurchase: Mortgage-backed securities $ 2,309,864 $ 2,213,922 Loans acquired for sale at fair value $ 5,389,265 $ 3,484,202 Loans at fair value $ 1,282 $ 3,703 MSRs (2) $ 1,531,396 $ 1,166,090 Servicing advances $ 71,306 $ — Real estate acquired in settlement of loans $ 9,003 $ 15,365 Deposits securing CRT arrangements $ — $ 2,799,263 (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 and Notes payable secured by credit risk transfer and mortgage servicing assets . Following is a summary of maturities of outstanding advances under repurchase agreements by maturity date: Remaining maturity at June 30, 2021 Unpaid principal balance (in thousands) Within 30 days $ 3,463,395 Over 30 to 90 days 2,812,944 Over 90 days to 180 days 921,197 $ 7,197,536 Weighted average maturity (in months) 1.7 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 June 30, 2021: Loans, REO and MSRs Counterparty Amount Weighted average maturity Facility maturity (in thousands) Credit Suisse First Boston Mortgage Capital LLC $ 148,606 September 16, 2021 March 31, 2023 Bank of America, N.A. $ 70,990 July 28, 2021 June 7, 2023 Barclays Capital Inc. $ 65,069 September 20, 2021 November 3, 2022 RBC Capital Markets, L.P. $ 56,318 October 13, 2021 May 10, 2022 JPMorgan Chase & Co. $ 10,918 August 17, 2021 June 6, 2023 BNP Paribas $ 20,752 July 30, 2021 July 30, 2021 Wells Fargo Securities, LLC $ 20,531 September 23, 2021 October 6, 2022 Citibank, N.A. $ 18,336 August 3, 2021 August 3, 2021 Goldman Sachs & Co. LLC $ 15,630 September 12, 2021 December 23, 2022 Morgan Stanley & Co. LLC $ 14,337 September 18, 2021 November 2, 2022 Securities Counterparty Amount at risk Weighted average maturity (in thousands) Bank of America, N.A. $ 16,818 July 16, 2021 Barclays Capital Inc. $ 15,961 July 18, 2021 JPMorgan Chase & Co. $ 23,366 July 6, 2021 Daiwa Capital Markets America Inc. $ 20,344 July 19, 2021 Amherst Pierpont Securities LLC $ 5,940 July 19, 2021 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: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (dollars in thousands) Weighted average interest rate (1) 1.36 % 1.57 % 1.38 % 2.17 % Average balance $ 32,152 $ 39,048 $ 35,638 $ 40,174 Total interest expense $ 141 $ 210 $ 305 $ 548 Maximum daily amount outstanding $ 89,072 $ 96,570 $ 89,072 $ 96,570 (1) Excludes the effect of amortization of debt issuance costs of $31,000 and $62,000 for the quarter and six months ended June 30, 2021, respectively, and $57,000 and $113,000 for the quarter and six months ended June 30, 2020, respectively. June 30, 2021 December 31, 2020 (dollars in thousands) Carrying value: Amount outstanding $ 28,037 $ 16,851 Unamortized debt issuance costs — — $ 28,037 $ 16,851 Weighted average interest rate 1.48 % 1.39 % Loans acquired for sale pledged to secure mortgage loan participation purchase and sale agreements $ 28,841 $ 17,645 |
Long-Term Debt
Long-Term Debt | 6 Months Ended |
Jun. 30, 2021 | |
Debt Disclosure [Abstract] | |
Long-Term Debt | Note 14— Long-Term Debt Notes Payable Secured By Credit Risk Transfer and Mortgage Servicing Assets The Company, through its indirect subsidiary, PMT CREDIT RISK TRANSFER 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 of the Company’s indirect subsidiaries. Following is a summary of the secured CRT Term Notes issued: Maturity date (2) Term notes Issuance date Issuance amount Unpaid principal balance Annual interest rate spread (1) Stated Optional extension (in thousands) 2021 1R March 04, 2021 $ 659,156 $ 549,254 2.90 % February 28, 2024 February 27, 2026 2020 2R December 22, 2020 $ 500,000 415,089 3.81 % December 28, 2022 — 2020 1R February 14, 2020 $ 350,000 124,365 2.35 % March 1, 2023 February 27, 2025 2019 3R October 16, 2019 $ 375,000 120,654 2.70 % October 27, 2022 October 29, 2024 2019 2R June 11, 2019 $ 638,000 333,452 2.75 % May 29, 2023 May 29, 2025 2019 1R March 29, 2019 $ 295,700 121,526 2.00 % March 29, 2022 March 27, 2024 $ 1,664,340 (1) Spread over 1-month LIBOR. (2) The indentures relating to these issuances provide the Company with the option of extending the maturity dates of certain of the Term Notes under the conditions specified in the respective agreements. PMC finances mortgage servicing rights through the issuance of FMSR VFN to institutional buyers under an agreement to repurchase. The FMSR VFN has a committed borrowing capacity of $700 million and matures on August 10, 2021. On March 30, 2021, the Company, through its indirect subsidiary, PMT ISSUER TRUST—FMSR, issued an aggregate principal amount of $350 million in secured term notes (the “2021-FT1 Notes”) to qualified institutional buyers under Rule 144A of the Securities Act. The 2021-FT1 Notes are secured by certain participation certificates relating to Fannie Mae MSRs and excess servicing spread relating to such MSRs that are financed pursuant to a structured finance transaction. The 2021-FT1 Notes bear interest at a rate equal to one-month LIBOR plus 3.00% per annum and will mature on March 25, 2026 or, if extended pursuant to the terms of the 2021-FT1 Notes indenture supplement on March 27, 2028. The 2021-FT1 Notes rank pari passu with the Series 2018-FT1 Notes described below and the FMSR VFN. During March 2021, the Company, through PMC and PMH, terminated a loan and security agreement entered into on February 1, 2018, 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, and entered into a similar borrowing arrangement with Citibank, N.A. The aggregate loan amount available under the loan and security agreement with Citibank, N.A. increased to $700 million from $175 million, bears interest at a rate indexed to LIBOR plus a margin, with index replacement provisions related to the transition from LIBOR, and will mature on January 3, 2022. Advances under the loan and security agreement are secured by MSRs relating to loans serviced for Freddie Mac guaranteed securities. 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 will mature on April 25, 2023 or, if extended pursuant to the terms of the 2018-FT1 Notes 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. Following is a summary of financial information relating to notes payable secured by credit risk transfer and mortgage servicing assets: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (dollars in thousands) Weighted average interest rate (1) 3.13 % 3.07 % 3.13 % 3.58 % Average balance $ 2,917,356 $ 1,934,476 $ 2,590,852 $ 1,897,344 Total interest expense $ 24,174 $ 15,449 $ 42,773 $ 35,067 Maximum daily amount outstanding $ 3,180,129 $ 1,973,252 $ 3,235,942 $ 2,032,665 (1) Excludes the effect of amortization of debt issuance costs of $1.4 million and $2.5 million for the quarter and six months ended June 30, 2021, respectively, and $620,000 and $1.2 million for the quarter and six months ended June 30, 2020, respectively. June 30, 2021 December 31, 2020 (dollars in thousands) Carrying value: Amount outstanding $ 2,839,341 $ 1,930,018 Unamortized debt issuance costs (10,164 ) (5,019 ) $ 2,829,177 $ 1,924,999 Weighted average interest rate 2.86 % 2.99 % Assets securing notes payable: MSRs (1) $ 2,522,717 $ 1,742,905 CRT Agreements: Deposits securing CRT arrangements $ 2,256,047 $ 2,799,263 Derivative assets $ 44,951 $ 58,699 (1) Beneficial interests in Freddie Mac and Fannie Mae MSRs are pledged as collateral for both Assets sold under agreements to repurchase Notes payable secured by credit risk transfer and mortgage servicing assets Exchangeable Notes On March 5 and March 9, 2021, PMC issued $345 million aggregate principal amount of exchangeable senior notes (the “2026 Exchangeable Notes”) in a private offering. The 2026 Exchangeable Notes will mature on March 15, 2026 unless repurchased or exchanged in accordance with their terms before such date. The 2026 Exchangeable Notes bear interest at a rate of 5.50% per year, payable semiannually. The 2026 Exchangeable 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 December 15, 2025. The exchange rate equals 46.1063 common shares per $1,000 principal amount of the 2026 Exchangeable Notes and is subject to adjustment upon the occurrence of certain events, but will not be adjusted for any accrued and unpaid interest. On November 7 and November 19, 2019, PMC issued $210 million in principal amount of 5.50% exchangeable senior notes due 2024 (the “2024 Exchangeable Notes”) in a private offering. The 2024 Exchangeable Notes will mature on November 1, 2024 unless repurchased or exchanged in accordance with their terms before such date. The 2024 Exchangeable 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 equals 40.101 common shares per $1,000 principal amount of the 2024 Exchangeable Notes and is subject to adjustment upon the occurrence of certain events, but will not be adjusted for any accrued and unpaid interest. Following is financial information relating to the Exchangeable Notes: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Average balance $ 495,032 $ 242,469 $ 390,053 $ 343,316 Total interest expense $ 10,310 $ 4,343 $ 15,852 $ 11,609 June 30, 2021 December 31, 2020 (in thousands) Carrying value: UPB $ 555,000 $ 210,000 Unamortized debt issuance costs and conversion option (58,175 ) (13,204 ) $ 496,825 $ 196,796 Asset-Backed Financing of Variable Interest Entities at Fair Value Following is a summary of financial information relating to the asset-backed financings of VIEs at fair value described in Note 6 - Variable Interest Entities - Investments in Loan Securitizations Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (dollars in thousands) Average balance $ 95,069 $ 222,578 $ 107,672 $ 231,672 Total interest expense $ 1,996 $ 2,470 $ 2,164 $ 6,997 Weighted average interest rate 3.17 % 3.36 % 3.20 % 3.38 % June 30, 2021 December 31, 2020 (dollars in thousands) Fair value $ 321,875 $ 134,726 UPB $ 314,783 $ 131,835 Weighted average interest rate 3.57 % 3.56 % The asset-backed financings of the VIEs are non-recourse liabilities and secured solely by the assets of the consolidated VIEs and not by any other assets of the Company. The assets of the VIEs are the only source of funds for repayment of the respective certificates. Maturity of Long-Term Debt Annual maturities of long-term debt obligations (based on final maturity dates) are as follows: Twelve months ended June 30, Total 2022 2023 2024 2025 2026 Thereafter (in thousands) Notes payable secured by credit risk transfer and mortgage servicing assets (1) $ 2,464,340 $ 121,526 $ 1,443,560 $ 549,254 $ — $ 350,000 $ — Exchangeable senior notes 555,000 — — — 210,000 345,000 — Asset-backed financing of variable interest entities at fair value (2) 314,783 — — — — — 314,783 Interest-only security payable at fair value (2) 13,185 — — — — — 13,185 Total $ 3,347,308 $ 121,526 $ 1,443,560 $ 549,254 $ 210,000 $ 695,000 $ 327,968 (1) Based on stated maturity. As discussed above, certain of the notes payable secured by credit risk and mortgage servicing assets allow the Company to exercise optional extensions. (2) Contractual maturities do not reflect expected repayments as borrowers of the underlying loans generally have the right to repay their loans at any time. |
Liability for Losses Under Repr
Liability for Losses Under Representations and Warranties | 6 Months Ended |
Jun. 30, 2021 | |
Liability For Representations And Warranties [Abstract] | |
Liability for Losses Under Representations and Warranties | Note 15—Liability for Losses Under Representations and Warranties Following is a summary of the Company’s liability for losses under representations and warranties: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Balance, beginning of period $ 28,967 $ 7,300 $ 21,893 $ 7,614 Provision for losses: Pursuant to loan sales 8,472 3,215 16,985 4,245 Reduction in liability due to change in estimate (1,095 ) (211 ) (2,519 ) (1,555 ) Losses incurred, net (30 ) (79 ) (45 ) (79 ) Balance, end of period $ 36,314 $ 10,225 $ 36,314 $ 10,225 UPB of loans subject to representations and warranties at end of period $ 193,579,850 $ 135,538,011 |
Commitments and Contingencies
Commitments and Contingencies | 6 Months Ended |
Jun. 30, 2021 | |
Commitments And Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 16—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: June 30, 2021 (in thousands) Commitments to purchase loans acquired for sale $ 6,455,877 |
Shareholders' Equity
Shareholders' Equity | 6 Months Ended |
Jun. 30, 2021 | |
Equity [Abstract] | |
Shareholders' Equity | Note 17—Shareholders’ Equity Preferred Shares of Beneficial Interest Preferred shares of beneficial interest are summarized below: Dividends per share, period ended June 30, Preferred Quarter Six months Share series Description (1) Number of shares Liquidation preference Issuance discount Carrying value 2021 2020 2021 2020 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 $ 0.51 $ 0.51 $ 1.02 $ 1.02 B 8.00% Issued July 2017 7,800 195,000 6,465 188,535 $ 0.50 $ 0.50 $ 1.00 $ 1.00 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 “At-The-Market” (ATM) Equity Offering Program The Company entered into separate equity distribution agreements to sell from time to time, through ATM equity offering programs under which the counterparties will act as sales agent and or principal, the Company’s common shares. O having an aggregate offering price of up to $200 million Six months ended June 30, 2020 (in thousands) Number of common shares issued 241 Gross proceeds $ 5,654 Net proceeds $ 5,597 A t June 30, 2021 , the Company had approximately $200 million of common shares of beneficial interest available for issuance under its ATM equity-offering program. Common Share Repurchase Program On June 11, 2021, the Company’s board of trustees approved an increase to the Company’s common shares of beneficial interest repurchase authorization from $300 million to $400 million. Under the program, as amended, the Company may repurchase up to $400 million of its outstanding common shares of beneficial interest. The following table summarizes the Company’s share repurchase activity: Quarter ended June 30, Six months ended June 30, Cumulative 2021 2020 2021 2020 total (1) (in thousands) Common shares repurchased 27 566 27 1,349 17,525 Cost of common shares repurchased $ 521 $ 7,561 $ 521 $ 13,343 $ 254,413 (1) Amounts represent the share repurchase program total from its inception in August 2015 through June 30, 2021. |
Net Gains on Loans Acquired for
Net Gains on Loans Acquired for Sale | 6 Months Ended |
Jun. 30, 2021 | |
Text Block [Abstract] | |
Net Gains on Loans Acquired for Sale | Note 18— Net Gains on Loans Acquired for Sale Net gains on loans acquired for sale are summarized below: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) From nonaffiliates: Cash loss: Loans $ (222,271 ) $ 21,842 $ (815,060 ) $ (47,112 ) Hedging activities (292,226 ) (234,191 ) 171,050 (257,569 ) (514,497 ) (212,349 ) (644,010 ) (304,681 ) Non-cash gain: Recognition of fair value of firm commitment to purchase CRT securities — (7,579 ) — (34,228 ) Receipt of MSRs in mortgage loan sale transactions 412,938 203,127 820,634 451,949 Provision for losses relating to representations and warranties provided in mortgage loan sales: Pursuant to loans sales (8,472 ) (3,215 ) (16,985 ) (4,245 ) Reduction of liability due to change in estimate 1,095 211 2,519 1,555 (7,377 ) (3,004 ) (14,466 ) (2,690 ) Change in fair value of loans and derivatives IRLCs 94,605 4,572 (42,638 ) 72,803 Loans (85,699 ) 31,829 (2,476 ) (4,953 ) Hedging derivatives 126,126 142,294 (39,674 ) 25,304 135,032 178,695 (84,788 ) 93,154 540,593 371,239 721,380 508,185 Total from nonaffiliates 26,096 158,890 77,370 203,504 From PFSI ‒ cash gain 1,630 3,324 3,368 7,485 $ 27,726 $ 162,214 $ 80,738 $ 210,989 |
Net Gains (Losses) on Investmen
Net Gains (Losses) on Investments | 6 Months Ended |
Jun. 30, 2021 | |
Investments Debt And Equity Securities [Abstract] | |
Net Gains (Losses) on Investments | Note 19— Net gains (losses) on investments are summarized below: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) From nonaffiliates: Mortgage-backed securities $ 29,252 $ 17,064 $ (41,865 ) $ 133,031 Loans at fair value: Held in VIEs (664 ) 795 (3,009 ) (2,074 ) Distressed 131 (121 ) 225 (1,263 ) CRT arrangements 98,029 262,163 252,060 (225,129 ) Firm commitment to purchase CRT securities — 226,035 — (266,478 ) Asset-backed financing of VIEs at fair value 1,582 (162 ) 2,483 1,766 Hedging derivatives 75 (16,739 ) 51 48,192 128,405 489,035 209,945 (311,955 ) From PFSI ‒ ESS — (101 ) 1,651 (14,242 ) $ 128,405 $ 488,934 $ 211,596 $ (326,197 ) |
Net Interest Expense
Net Interest Expense | 6 Months Ended |
Jun. 30, 2021 | |
Banking And Thrift Interest [Abstract] | |
Net Interest Expense | Note 20—Net Interest Expense Net interest expense is summarized below: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Interest income: From nonaffiliates: Cash and short-term investments $ 215 $ 892 $ 441 $ 2,519 Mortgage-backed securities 7,806 9,883 16,092 25,451 Loans acquired for sale at fair value 32,613 16,081 55,520 47,604 Loans at fair value: Held in VIEs 1,368 2,712 3,267 5,353 Distressed 40 233 293 292 Deposits securing CRT arrangements 156 507 325 6,606 Placement fees relating to custodial funds 1,472 8,116 4,004 20,514 Other 16 16 53 250 43,686 38,440 79,995 108,589 From PFSI ‒ ESS — 2,372 1,280 4,346 43,686 40,812 81,275 112,935 Interest expense: To nonaffiliates: Assets sold under agreements to repurchase 23,282 17,071 51,941 54,822 Mortgage loan participation purchase and sale agreements 141 210 305 548 Notes payable secured by credit risk transfer and mortgage servicing assets 24,174 15,449 42,773 35,067 Exchangeable Notes 10,310 4,343 15,852 11,609 Asset-backed financings of VIEs at fair value 1,996 2,470 2,164 6,997 Interest shortfall on repayments of loans serviced for Agency securitizations 18,536 19,804 40,576 29,243 Interest on loan impound deposits 763 909 1,512 1,820 79,202 60,256 155,123 140,106 To PFSI ‒ Assets sold under agreement to repurchase — 792 387 2,010 79,202 61,048 155,510 142,116 Net interest expense $ (35,516 ) $ (20,236 ) $ (74,235 ) $ (29,181 ) |
Share-Based Compensation
Share-Based Compensation | 6 Months Ended |
Jun. 30, 2021 | |
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract] | |
Share-Based Compensation | Note 21—Share-Based Compensation 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 PMT’s 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 the grant of restricted and performance-based share unit awards. 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: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Grants: Restricted share units 4 — 105 92 Performance share units 42 — 126 112 46 — 231 204 Grant date fair value: Restricted share units $ 75 $ — $ 1,992 $ 1,978 Performance share units 797 — 2,399 2,428 $ 872 $ — $ 4,391 $ 4,406 Vestings: Restricted share units — — 100 123 Performance share units (1) — — 37 143 — — 137 266 Compensation expense relating to share-based grants $ 1,010 $ 869 $ 2,748 $ 1,054 (1) The actual number of performance-based RSUs that vested during the six months ended June 30, 2021 was 37,000 common shares, which is 100% of the originally granted performance-based RSUs. June 30, 2021 Restricted share units Performance share units Shares expected to vest: Number of units (in thousands) 193 202 Grant date average fair value per unit $ 20.05 $ 19.88 |
Income Taxes
Income Taxes | 6 Months Ended |
Jun. 30, 2021 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Note 22—Income Taxes The Company’s effective tax rate was (176.1)% and (4.6)% with consolidated pretax income of $13.8 million and $104.8 million for the quarter and six months ended June 30, 2021, respectively. The Company’s taxable REIT subsidiary (“TRS”) recognized a tax benefit of $24.3 million on a pretax loss of $149.6 million for the quarter ended June 30, 2021 and tax benefit of $4.9 million on a pretax loss of $61.5 million for the six months ended June 30, 2021. The TRS losses were primarily due to fair value declines in MSR values. For the same periods in 2020, the TRS recognized a tax expense of $3.4 million on a pretax income of $89.9 million and a tax expense of $13.5 million on a pretax income of $68.1 million, respectively. The Company’s reported consolidated pretax income was $468.1 million for the quarter ended June 30, 2020 and a pretax loss for the six months ended June 30, 2020 of $116.4 million. The primary difference between the Company’s effective tax rate and the statutory tax rate is generally attributable to nontaxable REIT income resulting from the dividends paid deduction. The Company assesses the available positive and negative evidence to estimate whether sufficient future taxable income will be generated to permit use of the existing deferred tax assets. On the basis of this evaluation, as of June 30, 2021, the valuation allowance was increased to $5.7 million from the $110,000 valuation allowance recorded at December 31, 2020 as the result of a GAAP loss at the TRS for the six months ended June 30, 2021. The amount of deferred tax assets considered realizable could be adjusted in future periods based on future income. The CARES Act, passed in March 2020, introduced a number of tax law changes which are generally taxpayer favorable and, in December 2020, the Taxpayer Certainty and Disaster Tax Relief Act was signed into law . No material changes in our effective income tax rates resulted from either Act . The CARES Act does provide for carry back of losses from 2018, 2019 and 2020. However, the TRS does not have taxable income from prior years to which the losses could be carried back . In general, cash dividends declared by the Company will be considered ordinary income to the shareholders for income tax purposes. Some portion of the dividends may be characterized as capital gain distributions or a return of capital. For tax years beginning after December 31, 2017, the 2017 Tax Cuts and Jobs Act (subject to certain limitations) provides a 20% deduction from taxable income for ordinary REIT dividends. |
Earnings Per Share
Earnings Per Share | 6 Months Ended |
Jun. 30, 2021 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Note 23—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 5.375% exchangeable notes due May 1, 2020 (the “2020 Notes”), by the weighted average common shares outstanding, assuming all dilutive securities were issued. As discussed in Note 14 — Long-Term Debt- Exchangeable Notes, As discussed in Note 2 - Basis of Presentation and Accounting Change - Pending Accounting Change The following table summarizes the basic and diluted earnings per share calculations: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands except per share amounts) Net income (loss) $ 38,092 $ 464,620 $ 109,695 $ (130,053 ) Dividends on preferred shares (6,235 ) (6,235 ) (12,469 ) (12,469 ) Effect of participating securities—share-based compensation awards (80 ) (903 ) (169 ) (123 ) Net income (loss) attributable to common shareholders 31,777 457,482 97,057 (142,645 ) Interest on the 2020 Notes, net of income taxes — 715 — — Income attributable to participating securities — 14 — — Diluted net income (loss) attributable to common shareholders $ 31,777 $ 458,211 $ 97,057 $ (142,645 ) Weighted average basic shares outstanding 97,927 99,689 97,910 99,967 Shares issuable pursuant to exchange of the Exchangeable Notes — 1,705 — — Shares issuable under share-based compensation plan 107 198 213 — Diluted weighted average number of shares outstanding 98,034 101,592 98,123 99,967 Basic earnings (loss) per share $ 0.32 $ 4.59 $ 0.99 $ (1.43 ) Diluted earnings (loss) per share $ 0.32 $ 4.51 $ 0.99 $ (1.43 ) Calculation of diluted earnings per share requires certain potentially dilutive shares to be excluded when the inclusion of such shares would be anti-dilutive. The following table summarizes the potentially dilutive shares excluded from the diluted earnings per share calculation as inclusion of such shares would have been antidilutive: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Shares issuable under share-based compensation plan 107 142 — 236 Shares issuable pursuant to exchange of the Exchangeable Notes 24,328 — — 5,086 |
Segments
Segments | 6 Months Ended |
Jun. 30, 2021 | |
Segment Reporting [Abstract] | |
Segments | Note 24—Segments The Company operates in four segments as described in Note 1 — Organization Financial highlights by operating segment are summarized below: Credit Interest rate sensitive sensitive Correspondent Quarter ended June 30, 2021 strategies strategies production Corporate Total (in thousands) Net investment income: Net gains on loans acquired for sale $ 1 $ — $ 27,725 $ — $ 27,726 Net gains on investments 98,413 29,992 — — 128,405 Net loan servicing fees — (44,912 ) — — (44,912 ) Net interest (expense) income: Interest income 401 10,056 32,519 710 43,686 Interest expense 16,177 39,141 23,884 — 79,202 (15,776 ) (29,085 ) 8,635 710 (35,516 ) Other 20 — 45,843 — 45,863 82,658 (44,005 ) 82,203 710 121,566 Expenses: Loan fulfillment and servicing fees payable to PFSI 80 19,936 54,019 — 74,035 Management fees — — — 11,913 11,913 Other 4,061 1,507 9,150 7,103 21,821 4,141 21,443 63,169 19,016 107,769 Pretax income (loss) $ 78,517 $ (65,448 ) $ 19,034 $ (18,306 ) $ 13,797 Total assets at end of quarter $ 2,361,218 $ 5,374,157 $ 5,738,154 $ 124,583 $ 13,598,112 Credit Interest rate sensitive sensitive Correspondent Quarter ended June 30, 2020 strategies strategies production Corporate Total (in thousands) Net investment income: Net (losses) gains on loans acquired for sale $ (7,573 ) $ — $ 169,787 $ — $ 162,214 Net gains on investments 472,269 16,665 — — 488,934 Net loan servicing fees — (102,660 ) — — (102,660 ) Net interest (expense) income: Interest income 1,133 23,585 15,957 137 40,812 Interest expense 8,796 38,093 13,502 657 61,048 (7,663 ) (14,508 ) 2,455 (520 ) (20,236 ) Other 3,014 — 25,318 1,737 30,069 460,047 (100,503 ) 197,560 1,217 558,321 Expenses: Loan fulfillment and servicing fees payable to PFSI 240 15,294 52,814 — 68,348 Management fees — — — 8,288 8,288 Other 1,014 1,691 5,168 5,749 13,622 1,254 16,985 57,982 14,037 90,258 Pretax income (loss) $ 458,793 $ (117,488 ) $ 139,578 $ (12,820 ) $ 468,063 Total assets at end of quarter $ 1,743,620 $ 4,307,113 $ 2,412,751 $ 620,235 $ 9,083,719 Credit Interest rate sensitive sensitive Correspondent Six months ended June 30, 2021 strategies strategies production Corporate Total (in thousands) Net investment income: Net gain on loans acquired for sale $ — $ — $ 80,738 $ — $ 80,738 Net gain (loss) on investments 252,684 (41,088 ) — — 211,596 Net loan servicing fees — 5,133 — — 5,133 Net interest (expense) income: Interest income 1,052 23,576 55,314 1,333 81,275 Interest expense 33,439 76,452 45,619 — 155,510 (32,387 ) (52,876 ) 9,695 1,333 (74,235 ) Other 908 — 98,823 — 99,731 221,205 (88,831 ) 189,256 1,333 322,963 Expenses: Loan fulfillment and servicing fees payable to PFSI 218 38,890 114,855 — 153,963 Management fees — — — 20,362 20,362 Other 8,210 2,321 19,796 13,486 43,813 8,428 41,211 134,651 33,848 218,138 Pretax (loss) income $ 212,777 $ (130,042 ) $ 54,605 $ (32,515 ) $ 104,825 Total assets at end of period $ 2,361,218 $ 5,374,157 $ 5,738,154 $ 124,583 $ 13,598,112 Credit Interest rate sensitive sensitive Correspondent Six months ended June 30, 2020 strategies strategies production Corporate Total (in thousands) Net investment income: Net (losses) gains on loans acquired for sale $ (39,880 ) $ — $ 250,869 $ — $ 210,989 Net (losses) gains on investments (446,841 ) 120,644 — — (326,197 ) Net loan servicing fees — 141,912 — — 141,912 Net interest (expense) income: Interest income 7,689 56,827 47,364 1,055 112,935 Interest expense 23,362 79,701 37,811 1,242 142,116 (15,673 ) (22,874 ) 9,553 (187 ) (29,181 ) Other 3,180 — 49,305 1,796 54,281 (499,214 ) 239,682 309,727 1,609 51,804 Expenses: Loan fulfillment and servicing fees payable to PFSI 541 29,514 94,754 — 124,809 Management fees — — — 17,343 17,343 Other 1,926 2,873 10,088 11,127 26,014 2,467 32,387 104,842 28,470 168,166 Pretax (loss) income $ (501,681 ) $ 207,295 $ 204,885 $ (26,861 ) $ (116,362 ) Total assets at end of period $ 1,743,620 $ 4,307,113 $ 2,412,751 $ 620,235 $ 9,083,719 |
Supplemental Cash Flow Informat
Supplemental Cash Flow Information | 6 Months Ended |
Jun. 30, 2021 | |
Supplemental Cash Flow Elements [Abstract] | |
Supplemental Cash Flow Information | Note 25—Supplemental Cash Flow Information Six months ended June 30, 2021 2020 (in thousands) Payments: Income taxes, net $ 2,076 $ 60 Interest $ 159,731 $ 168,941 Non-cash investing activities: Transfer of loans and advances to real estate acquired in settlement of loans $ — $ 1,166 Receipt of mortgage servicing rights as proceeds from sales of loans at fair value $ 820,634 $ 451,949 Receipt of excess servicing spread pursuant to recapture agreement with PennyMac Financial Services, Inc. $ 557 $ 862 Recognition of mortgage loans at fair value held by a VIE $ 249,995 $ — Reclassification of MSRs to loans at fair value resulting from consolidation of a VIE $ 3,281 $ — Non-cash financing activities: Dividends declared, not paid $ 46,098 $ 39,789 Recognition of asset-backed secured financing $ 240,383 $ — |
Regulatory Capital and Liquidit
Regulatory Capital and Liquidity Requirements | 6 Months Ended |
Jun. 30, 2021 | |
Mortgage Banking [Abstract] | |
Regulatory Capital and Liquidity Requirements | Note 26—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 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. The Agencies’ capital and liquidity amounts and requirements, 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) June 30, 2021 $ 1,051,787 $ 512,922 11 % 6 % $ 86,514 $ 68,559 December 31, 2020 $ 1,101,318 $ 438,530 16 % 6 % $ 101,116 $ 59,158 (1) Calculated in accordance with the Agencies’ requirements. Noncompliance with the Agencies’ capital and liquidity requirements can result in the Agencies taking various remedial actions up to and including removing the Company’s ability to sell loans to and service loans on behalf of the Agencies. |
Subsequent Events
Subsequent Events | 6 Months Ended |
Jun. 30, 2021 | |
Subsequent Events [Abstract] | |
Subsequent Events | Note 27—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. |
Organization and Basis of Prese
Organization and Basis of Presentation and Recently Issued Accounting Pronouncements (Policies) | 6 Months Ended |
Jun. 30, 2021 | |
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 These unaudited consolidated financial statements reflect all normal recurring adjustments necessary to present fairly the financial position, results of operations, and cash flows for the interim periods presented, but are not necessarily indicative of the results of operations that may be anticipated for the full year. Intercompany accounts and transactions have been eliminated. Preparation of financial statements in compliance with GAAP requires the 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. The Company held no restricted cash during the periods presented. Therefore, the consolidated statements of cash flows do not include references to restricted cash. |
Accounting Change | 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 using either the modified retrospective or full retrospective method. The Company intends to adopt ASU 2020-06 beginning in the quarter ending March 31, 2022 using the modified retrospective method. As detailed in Note 14 — Long-Term Debt • The exchange feature included in the Exchangeable Notes can be settled either in cash or common shares at the option of PennyMac Corp. (“PMC”). As a result of this feature and PMC’s intent to cash settle the Exchangeable Notes, the Company presently excludes the effect of exchange of the Exchangeable 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 exchange of the Exchangeable Notes in its determination of diluted earnings per share. • The Company recognized the fair value of the exchange feature as a component of Additional paid-in capital as of the date of issuance of the Exchangeable Notes as required by current guidance. The issuance discount charged to the Exchangeable 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 Exchangeable Notes will be added to the carrying value of the Exchangeable Notes and the accumulated accrual of the exchange 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. |
Fair Value Measurement | 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 variable interest entities at fair value Interest-only security payable at fair value |
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 5.375% exchangeable notes due May 1, 2020 (the “2020 Notes”), by the weighted average common shares outstanding, assuming all dilutive securities were issued. As discussed in Note 14 — Long-Term Debt- Exchangeable Notes, As discussed in Note 2 - Basis of Presentation and Accounting Change - Pending Accounting Change |
Transactions with Related par_2
Transactions with Related parties (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Related Party Transactions [Abstract] | |
Summary of Correspondent Production Activity | Following is a summary of correspondent production activity between the Company and PLS: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Loan fulfillment fees earned by PLS $ 54,020 $ 52,815 $ 114,855 $ 94,755 Sourcing fees received from PLS included in Net gains on loans acquired for sale $ 1,630 $ 3,324 $ 3,368 $ 7,485 UPB of loans sold to PLS $ 16,297,216 $ 11,080,565 $ 33,856,791 $ 24,950,845 Purchases of loans acquired for sale from PLS $ — $ 2,742 $ — $ 2,248,869 Tax service fees paid to PLS $ 7,128 $ 4,288 $ 15,320 $ 8,268 June 30, 2021 December 31, 2020 (in thousands) Loans included in Loans acquired for sale at fair value pending sale to PLS $ 202,280 $ 460,414 |
Summary of Loan Servicing Fees Earned and Mortgage Servicing Rights Recaptured Income Earned | Following is a summary of loan servicing fees earned by PLS: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Loan servicing fees: Loans acquired for sale at fair value $ 630 $ 607 $ 1,173 $ 1,143 Loans at fair value 80 188 217 488 MSRs 19,305 14,738 37,718 28,423 $ 20,015 $ 15,533 $ 39,108 $ 30,054 Average investment in: Loans acquired for sale at fair value $ 4,153,241 $ 2,047,202 $ 3,887,734 $ 2,631,047 Loans at fair value: Distressed $ 7,208 $ 8,919 $ 7,504 $ 10,084 Held in VIEs $ 103,615 $ 231,973 $ 116,298 $ 242,866 Average MSR portfolio UPB $ 191,539,208 $ 143,856,366 $ 184,477,096 $ 140,056,208 |
Summary of Management Fee Expense | Following is a summary of management fee expenses: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Base management $ 8,648 $ 8,288 $ 17,097 $ 17,343 Performance incentive 3,265 — 3,265 — $ 11,913 $ 8,288 $ 20,362 $ 17,343 Average shareholders' equity amounts used to calculate base management fee expense $ 2,340,948 $ 2,242,460 $ 2,325,605 $ 2,354,600 |
Summary of Expenses | Following is a summary of the Company’s reimbursements to PCM and its affiliates for expenses: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Reimbursement of: Common overhead incurred by PCM and its affiliates $ 1,268 $ 1,585 $ 1,839 $ 3,125 Compensation 165 120 330 240 Expenses incurred on the Company’s behalf, net 7,804 1,438 9,140 2,709 $ 9,237 $ 3,143 $ 11,309 $ 6,074 Payments and settlements during the period (1) $ 74,441 $ 136,352 $ 187,182 $ 170,035 (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: Quarter ended Six months ended June 30, June 30, 2020 2021 2020 (in thousands) (in thousands) ESS: Received pursuant to a recapture agreement $ 483 $ 557 $ 862 Repayments $ 8,122 $ 134,624 $ 17,430 Interest income $ 2,372 $ 1,280 $ 4,346 Net gain (loss) included in Net gains (losses) on investments: Valuation changes $ (636 ) $ 1,037 $ (15,158 ) Recapture income 535 614 916 $ (101 ) $ 1,651 $ (14,242 ) June 30, 2021 December 31, 2020 (in thousands) Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value $ — $ 131,750 |
Summary of Financing Transactions | Following is a summary of financing activities between the Company and PFSI: Quarter ended Six months ended June 30, June 30, 2020 2021 2020 (in thousands) Net repayments of assets sold under agreements to repurchase $ 9,665 $ 80,862 $ 17,411 Interest expense $ 792 $ 387 $ 2,010 June 30, 2021 December 31, 2020 (in thousands) Assets sold to PFSI under agreement to repurchase $ — $ 80,862 |
Summary of Amounts Receivable From and Payable to PFSI | Amounts receivable from and payable to PFSI are summarized below: June 30, 2021 December 31, 2020 (in thousands) Due from PFSI: MSR recapture $ — $ 296 Other 19,216 7,856 $ 19,216 $ 8,152 Due to PFSI: Allocated expenses and expenses and costs paid by PFSI on PMT’s behalf $ 17,002 $ 38,142 Fulfillment fees 16,467 20,873 Management fees 11,913 8,686 Correspondent production fees 9,764 13,065 Loan servicing fees 6,737 6,213 Interest on Assets sold to PFSI under agreement to repurchase — 26 $ 61,883 $ 87,005 |
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 in various balance sheet items as summarized below: Balance sheet line including advance amount June 30, 2021 December 31, 2020 (in thousands) Loan servicing advances $ 111,858 $ 121,820 Real estate acquired in settlement of loans 5,586 10,334 $ 117,444 $ 132,154 |
Loan Sales (Tables)
Loan Sales (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
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: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Cash flows: Proceeds from sales $ 30,181,949 $ 20,172,571 $ 63,500,106 $ 39,890,722 Loan servicing fees received net of guarantee fees $ 124,019 $ 101,823 $ 240,306 $ 196,292 |
Summary of Collection Status Information for Loans Accounted for Sales | The following table summarizes, for the dates presented, collection status information for loans whose transfers are accounted for as sales where the Company maintains continuing involvement: June 30, 2021 December 31, 2020 (in thousands) UPB of loans outstanding $ 198,133,144 $ 170,502,361 Collection Status (UPB) (1) Delinquency: 30-89 days delinquent $ 893,841 $ 1,235,981 90 or more days delinquent: Not in foreclosure $ 2,957,384 $ 4,428,915 In foreclosure $ 21,390 $ 27,494 Bankruptcy $ 146,209 $ 148,866 Custodial funds managed by the Company (2) $ 4,937,986 $ 6,086,724 Delinquent loans in COVID-19 pandemic-related forbearance: 30-89 days $ 271,175 $ 530,353 90 days or more $ 2,433,277 $ 3,123,288 (1) Includes delinquent loans in COVID-19 pandemic-related forbearance plans that were requested by borrowers seeking payment relief in accordance with the CARES Act. (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 operations. |
Variable Interest Entities (Tab
Variable Interest Entities (Tables) - Variable Interest Entities [Member] | 6 Months Ended |
Jun. 30, 2021 | |
Non Owner Occupied Loans [Member] | |
Summary of Investment in Non-Owner Occupied Loans | Following is a summary of the Company’s investment in non-owner occupied loans: June 30, 2021 (in thousands) Loans at fair value $ 253,277 Asset-backed financing at fair value $ 240,383 Certificates retained at fair value $ 12,894 |
Jumbo Mortgage Loan Financing [Member] | |
Summary of Jumbo Mortgage Loan Financing | Following is a summary of the Company’s jumbo loan financing: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Interest income $ 1,368 $ 2,712 $ 3,267 $ 5,353 Interest expense $ 1,996 $ 2,470 $ 2,164 $ 6,997 June 30, 2021 December 31, 2020 (in thousands) Loans at fair value $ 89,909 $ 143,707 Asset-backed financing at fair value $ 81,492 $ 134,726 Certificates retained at fair value $ 8,417 $ 8,981 |
Credit Risk Transfer Agreements [Member] | |
Summary of Credit Risk Transfer Agreements | Following is a summary of the CRT arrangements: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) UPB of loans sold $ 1,795,130 $ 16,478,185 Investments — Change in expected face amount of firm commitment to purchase CRT securities $ (262,176 ) $ 292,514 Investment income (loss): Net gains on loans acquired for sale — Fair value of firm commitment to purchase CRT securities recognized upon sale of loans $ (7,579 ) $ (34,228 ) Net gains (losses) on investments: Derivative and CRT strips: CRT derivatives Realized $ 28,631 13,550 $ 52,127 30,751 Valuation changes (9,431 ) 122,535 3,443 (178,408 ) 19,200 136,085 55,570 (147,657 ) CRT strips Realized 31,368 13,355 63,972 28,105 Valuation changes 41,724 113,570 134,946 (116,305 ) 73,092 126,925 198,918 (88,200 ) Interest-only security payable at fair value 5,737 (847 ) (2,428 ) 10,728 98,029 262,163 252,060 (225,129 ) Firm commitments to purchase CRT securities — 226,035 — (266,478 ) 98,029 488,198 252,060 (491,607 ) Interest income — Deposits securing CRT arrangements 156 507 325 6,606 $ 98,185 $ 481,126 $ 252,385 $ (519,229 ) Net (recoveries received) payments made to settle (recoveries) losses on CRT arrangements $ (20,212 ) $ 2,662 $ (33,555 ) $ 4,179 June 30, 2021 December 31, 2020 (in thousands) Carrying value of CRT arrangements: Derivative and credit risk transfer strip assets (liabilities), net CRT derivatives $ 35,238 $ 31,795 CRT strips (67,846 ) (202,792 ) $ (32,608 ) $ (170,997 ) Deposits securing CRT arrangements $ 2,256,047 $ 2,799,263 Interest-only security payable at fair value $ 13,185 $ 10,757 CRT arrangement assets pledged to secure borrowings: Derivative and credit risk transfer assets $ 44,951 $ 58,699 Deposits securing CRT arrangements (1) $ 2,256,047 $ 2,799,263 UPB of loans — funded CRT arrangements $ 41,234,108 $ 58,697,942 Collection status (UPB): Delinquency (2) Current $ 39,006,255 $ 54,990,381 30-89 days delinquent $ 374,674 $ 710,872 90-180 days delinquent $ 279,480 $ 693,315 180 or more days delinquent $ 1,569,913 $ 2,297,365 Foreclosure $ 3,786 $ 6,009 Bankruptcy $ 73,495 $ 75,700 Delinquent loans in COVID-19 pandemic-related forbearance: 30-89 days delinquent $ 135,537 $ 383,028 90-180 days delinquent $ 215,248 $ 546,344 180 or more days delinquent $ 1,314,802 $ 1,944,663 (1) Deposits securing credit risk transfer strip liabilities also secure $77.6 million and $229.7 million in CRT strip and CRT derivative liabilities at June 30, 2021 and December 31, 2020, respectively . (2) Includes delinquent loans in COVID-19 pandemic-related forbearance plans that were requested by borrowers seeking payment relief in accordance with the CARES Act. |
Fair Value (Tables)
Fair Value (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
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: June 30, 2021 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 44,890 $ — $ — $ 44,890 Mortgage-backed securities at fair value — 2,309,864 — 2,309,864 Loans acquired for sale at fair value — 5,504,871 30,429 5,535,300 Loans at fair value — 343,186 7,215 350,401 Derivative and credit risk transfer strip assets: Call options on interest rate futures purchase contracts 3,500 — — 3,500 Put options on interest rate futures purchase contracts 1,401 — — 1,401 Forward purchase contracts — 23,676 — 23,676 Forward sale contracts — 5,891 — 5,891 MBS call options — 2,401 — 2,401 MBS put options — 3,602 — 3,602 Swaption purchase contracts — 4,362 — 4,362 CRT derivatives — — 44,951 44,951 Interest rate lock commitments — — 31,276 31,276 Total derivative assets before netting 4,901 39,932 76,227 121,060 Netting — — — (32,782 ) Total derivative and credit risk transfer strip assets after netting 4,901 39,932 76,227 88,278 Mortgage servicing rights at fair value — — 2,551,373 2,551,373 $ 49,791 $ 8,197,853 $ 2,665,244 $ 10,880,106 Liabilities: Asset-backed financing of VIEs at fair value $ — $ 321,875 $ — $ 321,875 Interest-only security payable at fair value — — 13,185 13,185 Derivative and credit risk transfer strip liabilities: Forward purchase contracts — 1,260 — 1,260 Forward sales contracts — 44,129 — 44,129 CRT derivatives — — 9,713 9,713 Interest rate lock commitments — — 1,528 1,528 Total derivative liabilities before netting — 45,389 11,241 56,630 Netting — — — (37,795 ) Total derivative liabilities after netting — 45,389 11,241 18,835 Credit risk transfer strips — — 67,846 67,846 Total derivative and credit risk transfer strips liabilities — 45,389 79,087 86,681 $ — $ 367,264 $ 92,272 $ 421,741 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 purchase contracts — 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 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 VIEs at fair value $ — $ 134,726 $ — $ 134,726 Interest-only security payable at fair value — — 10,757 10,757 Derivative 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 |
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 periods presented: Quarter ended June 30, 2021 Assets (1) Loans acquired for sale Loans at fair value CRT derivatives Interest rate lock commitments CRT strips Mortgage servicing rights Total (in thousands) Balance, March 31, 2021 $ 34,234 $ 7,802 $ 44,676 $ (64,858 ) $ (109,570 ) $ 2,441,214 $ 2,353,498 Purchases and issuances 14,173 — — 57,601 — — 71,774 Repayments and sales (17,789 ) (730 ) (28,638 ) — (31,368 ) — (78,525 ) Amounts received pursuant to sales of loans — — — — — 412,938 412,938 Changes in fair value included in results of operations arising from: Changes in instrument- specific credit risk — — — — — — — Other factors (189 ) 130 19,200 105,573 73,092 (299,498 ) (101,692 ) (189 ) 130 19,200 105,573 73,092 (299,498 ) (101,692 ) Transfers: Reclassification of MSRs to loans at fair value resulting from consolidation of a VIE — — — — — (3,281 ) (3,281 ) Loans from REO — 13 — — — — 13 Interest rate lock commitments to loans acquired for sale (2) — — — (68,568 ) — — (68,568 ) Balance, June 30, 2021 $ 30,429 $ 7,215 $ 35,238 $ 29,748 $ (67,846 ) $ 2,551,373 $ 2,586,157 Changes in fair value recognized during the quarter relating to assets still held at June 30, 2021 $ (168 ) $ 74 $ (9,431 ) $ 29,748 $ 41,724 $ (299,498 ) $ (237,551 ) (1) For the purpose of this table, CRT derivatives, interest rate lock commitments (“IRLCs”), and CRT strips 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 Quarter ended June 30, 2021 (in thousands) Interest-only security payable: Balance, March 31, 2021 $ 18,922 Changes in fair value included in income arising from: Changes in instrument-specific credit risk — Other factors (5,737 ) (5,737 ) Balance, June 30, 2021 $ 13,185 Changes in fair value recognized during the quarter relating to liability outstanding at June 30, 2021 $ (5,737 ) Quarter ended June 30, 2020 Assets (1) Loans acquired for sale Loans at fair value Excess servicing spread CRT derivatives Interest rate lock commitments CRT strips Repurchase agreement derivatives Firm commitments to purchase CRT securities Mortgage servicing rights Total (in thousands) Balance, March 31, 2020 $ 22,541 $ 9,122 $ 157,109 $ (185,933 ) $ 79,384 $ (174,945 ) $ 5,275 $ (409,649 ) $ 1,157,326 $ 660,230 Purchases and issuances 20,996 — — — 172,047 — — — — 193,043 Repayments and sales (13,475 ) (590 ) (8,122 ) (14,078 ) — (13,355 ) — — — (49,620 ) Capitalization of interest — — 2,372 — — — — — — 2,372 ESS received pursuant to a recapture agreement with PFSI — — 483 — — — — — — 483 Amounts (incurred) received pursuant to sales of loans — — — — — — — (7,579 ) 203,127 195,548 Changes in fair value included in results of operations arising from: Changes in instrument- specific credit risk — — — — — — — — — — Other factors (749 ) (121 ) (636 ) 136,085 96,053 126,925 — 226,035 (170,848 ) 412,744 (749 ) (121 ) (636 ) 136,085 96,053 126,925 — 226,035 (170,848 ) 412,744 Transfers: Interest rate lock commitments to loans acquired for sale (2) — — — — (263,528 ) — — — — (263,528 ) Balance, June 30, 2020 $ 29,313 $ 8,411 $ 151,206 $ (63,926 ) $ 83,956 $ (61,375 ) $ 5,275 $ (191,193 ) $ 1,189,605 $ 1,151,272 Changes in fair value recognized during the quarter relating to assets still held at June 30, 2020 $ (704 ) $ (322 ) $ (636 ) $ 122,535 $ 83,956 $ 113,570 $ — $ 226,035 $ (170,848 ) $ 373,586 (1) For the purpose of this table, CRT derivatives, IRLCs, CRT strips, and Firm commitment to purchase CRT securities 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 Quarter ended June 30, 2020 (in thousands) Interest-only security payable: Balance, March 31, 2020 $ 14,134 Changes in fair value included in income arising from: Changes in instrument- specific credit risk — Other factors 847 847 Balance, June 30, 2020 $ 14,981 Changes in fair value recognized during the quarter relating to liability outstanding at June 30, 2020 $ 847 Six months ended June 30, 2021 Assets (1) Loans acquired for sale Loans at fair value Excess servicing spread CRT derivatives Interest rate lock commitments CRT strips Mortgage servicing rights Total (in thousands) Balance, December 31, 2020 $ 33,875 $ 8,027 $ 131,750 $ 31,795 $ 72,386 $ (202,792 ) $ 1,755,236 $ 1,830,277 Purchases and issuances 30,071 — — — 47,897 — — 77,968 Repayments and sales (33,859 ) (1,314 ) (134,624 ) (52,127 ) — (63,972 ) — (285,896 ) Capitalization of interest and fees — 198 1,280 — — — — 1,478 ESS received pursuant to a recapture agreement with PFSI — — 557 — — — — 557 Amounts received pursuant to sales of loans — — — — — — 820,634 820,634 Changes in fair value included in results of operations arising from: Changes in instrument- specific credit risk — — — — — — — — Other factors 342 225 1,037 55,570 (169,942 ) 198,918 (21,216 ) 64,934 342 225 1,037 55,570 (169,942 ) 198,918 (21,216 ) 64,934 Transfers: Reclassification of MSRs to loans at fair value resulting from consolidation of a VIE — — — — — — (3,281 ) (3,281 ) Loans from REO — 79 — — — — — 79 Interest rate lock commitments to loans acquired for sale (2) — — — — 79,407 — — 79,407 Balance, June 30, 2021 $ 30,429 $ 7,215 $ — $ 35,238 $ 29,748 $ (67,846 ) $ 2,551,373 $ 2,586,157 Changes in fair value recognized during the period relating to assets still held at June 30, 2021 $ 157 $ 75 $ — $ 3,443 $ 29,748 $ 134,946 $ (21,216 ) $ 147,153 (1) For the purpose of this table, CRT derivatives, IRLCs, and CRT strips 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 Six months ended June 30, 2021 (in thousands) Interest-only security payable: Balance, December 31, 2020 $ 10,757 Changes in fair value included in results of operations arising from: Changes in instrument-specific credit risk — Other factors 2,428 2,428 Balance, June 30, 2021 $ 13,185 Changes in fair value recognized during the period relating to liability outstanding at June 30, 2021 $ 2,428 Six months ended June 30, 2020 Assets (1) Loans acquired for sale Loans at fair value Excess servicing spread CRT derivatives Interest rate lock commitments CRT strips Repurchase agreement derivatives 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 $ 54,930 $ 5,275 $ 109,513 $ 1,535,705 $ 2,044,019 Purchases and issuances 32,287 1,058 — — 261,966 — — — — 295,311 Repayments and sales (21,032 ) (4,925 ) (17,430 ) (32,132 ) — (28,105 ) — — — (103,624 ) Capitalization of interest — — 4,346 — — — — — — 4,346 ESS received pursuant to a recapture agreement with PFSI — — 862 — — — — — — 862 Amounts (incurred) received pursuant to sales of loans — — — — — — — (34,228 ) 451,949 417,721 Changes in fair value included in results of operations arising from: Changes in instrument- specific credit risk — — — — — — — — — — Other factors (509 ) (1,263 ) (15,158 ) (147,657 ) 199,698 (88,200 ) — (266,478 ) (798,049 ) (1,117,616 ) (509 ) (1,263 ) (15,158 ) (147,657 ) 199,698 (88,200 ) — (266,478 ) (798,049 ) (1,117,616 ) Transfers: Loans to REO — (885 ) — — — — — — — (885 ) Interest rate lock commitments to loans acquired for sale (2) — — — — (388,862 ) — — — — (388,862 ) Balance, June 30, 2020 $ 29,313 $ 8,411 $ 151,206 $ (63,926 ) $ 83,956 $ (61,375 ) $ 5,275 $ (191,193 ) $ 1,189,605 $ 1,151,272 Changes in fair value recognized during the period relating to assets still held at June 30, 2020 $ (656 ) $ (1,157 ) $ (15,158 ) $ (178,408 ) $ 83,956 $ (116,305 ) $ — $ (266,478 ) $ (798,049 ) $ (1,292,255 ) (1) For the purpose of this table, CRT derivatives, IRLCs, CRT strips, and Firm commitment to purchase CRT securities 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 Six months ended June 30, 2020 (in thousands) Interest-only security payable: Balance, December 31, 2019 $ 25,709 Changes in fair value included in income arising from: Changes in instrument- specific credit risk — Other factors (10,728 ) (10,728 ) Balance, June 30, 2020 $ 14,981 Changes in fair value recognized during the period relating to liability outstanding at June 30, 2020 $ (10,728 ) |
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 (comprised of loans acquired for sale, loans held in a consolidated VIE, and distressed loans): June 30, 2021 December 31, 2020 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 $ 5,530,359 $ 5,327,754 $ 202,605 $ 3,545,100 $ 3,377,970 $ 167,130 90 or more days delinquent: Not in foreclosure 4,746 5,039 (293 ) 6,591 8,006 (1,415 ) In foreclosure 195 235 (40 ) 199 235 (36 ) 4,941 5,274 (333 ) 6,790 8,241 (1,451 ) $ 5,535,300 $ 5,333,028 $ 202,272 $ 3,551,890 $ 3,386,211 $ 165,679 Loans at fair value: Loans held in consolidated VIEs: Current through 89 days delinquent $ 340,833 $ 330,541 $ 10,292 $ 140,052 $ 128,787 $ 11,265 90 or more days delinquent: Not in foreclosure 2,353 2,884 (531 ) 3,655 4,240 (585 ) In foreclosure — — — — — — 2,353 2,884 (531 ) 3,655 4,240 (585 ) 343,186 333,425 9,761 143,707 133,027 10,680 Distressed loans: Current through 89 days delinquent 2,038 3,936 (1,898 ) 2,071 4,099 (2,028 ) 90 or more days delinquent: Not in foreclosure 2,873 9,826 (6,953 ) 3,714 12,357 (8,643 ) In foreclosure 2,304 6,334 (4,030 ) 2,242 4,641 (2,399 ) 5,177 16,160 (10,983 ) 5,956 16,998 (11,042 ) 7,215 20,096 (12,881 ) 8,027 21,097 (13,070 ) $ 350,401 $ 353,521 $ (3,120 ) $ 151,734 $ 154,124 $ (2,390 ) |
Summary of Changes in Fair Value Included in Current Period Income | Following are the changes in fair value included in current period results of operations by consolidated statement of operations line item for financial statement items accounted for under the fair value option: Quarter ended June 30, 2021 Net gains on loans acquired for sale Net gains (losses) on investments Net loan servicing fees Net interest expense Total (in thousands) Assets: Mortgage-backed securities at fair value $ — $ 29,252 $ — $ (1,883 ) $ 27,369 Credit risk transfer strips — 73,092 — — 73,092 Loans acquired for sale at fair value 99,339 — — — 99,339 Loans at fair value — (533 ) — 504 (29 ) MSRs at fair value — — (299,498 ) — (299,498 ) $ 99,339 $ 101,811 $ (299,498 ) $ (1,379 ) $ (99,727 ) Liabilities: Interest-only security payable at fair value $ — $ 5,737 $ — $ — $ 5,737 Asset-backed financing of VIEs at fair value — 1,582 — (1,245 ) 337 $ — $ 7,319 $ — $ (1,245 ) $ 6,074 Quarter ended June 30, 2020 Net gains on loans acquired for sale Net gains (losses) on investments Net loan servicing fees Net interest expense Total (in thousands) Assets: Mortgage-backed securities at fair value $ — $ 17,064 $ — $ (11,859 ) $ 5,205 Loans acquired for sale at fair value 257,469 — — — 257,469 Loans at fair value — 674 — 546 1,220 ESS at fair value — (636 ) — 2,372 1,736 Credit risk transfer strips — 126,925 — — 126,925 Firm commitment to purchase CRT securities at fair value (7,579 ) 226,035 — — 218,456 MSRs at fair value — — (170,848 ) — (170,848 ) $ 249,890 $ 370,062 $ (170,848 ) $ (8,941 ) $ 440,163 Liabilities: Interest-only security payable $ — $ (847 ) $ — $ — $ (847 ) Asset-backed financing of VIEs at fair value — (162 ) — 604 442 $ — $ (1,009 ) $ — $ 604 $ (405 ) Six months ended June 30, 2021 Net gains on loans acquired for sale Net gains (losses) on investments Net loan servicing fees Net interest expense Total (in thousands) Assets: Mortgage-backed securities at fair value $ — $ (41,865 ) $ — $ (4,406 ) $ (46,271 ) Credit risk transfer strips — 198,918 — — 198,918 Loans acquired for sale at fair value (7,325 ) — — — (7,325 ) Loans at fair value — (2,784 ) — 1,329 (1,455 ) ESS at fair value — 1,037 — 1,280 2,317 MSRs at fair value — — (21,216 ) — (21,216 ) $ (7,325 ) $ 155,306 $ (21,216 ) $ (1,797 ) $ 124,968 Liabilities: Interest-only security payable at fair value $ — $ (2,428 ) $ — $ — $ (2,428 ) Asset-backed financing of VIEs at fair value — 2,483 — (456 ) 2,027 $ — $ 55 $ — $ (456 ) $ (401 ) Six months ended June 30, 2020 Net gains on loans acquired for sale Net gains (losses) on investments Net loan servicing fees Net interest expense Total (in thousands) Assets: Mortgage-backed securities at fair value $ — $ 133,031 $ — $ (23,861 ) $ 109,170 Loans acquired for sale at fair value 405,027 — — — 405,027 Loans at fair value — (3,337 ) — 839 (2,498 ) ESS at fair value — (15,158 ) — 4,346 (10,812 ) Credit risk transfer strips — (88,200 ) — — (88,200 ) Firm commitment to purchase CRT securities at fair value (34,228 ) (266,478 ) — — (300,706 ) MSRs at fair value — — (798,049 ) — (798,049 ) $ 370,799 $ (240,142 ) $ (798,049 ) $ (18,676 ) $ (686,068 ) Liabilities: Interest-only security payable at fair value $ — $ 10,728 $ — $ — $ 10,728 Asset-backed financing of VIEs at fair value — 1,766 — (3,095 ) (1,329 ) $ — $ 12,494 $ — $ (3,095 ) $ 9,399 |
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 period based on fair value on a nonrecurring basis: Real estate acquired in settlement of loans Level 1 Level 2 Level 3 Total (in thousands) June 30, 2021 $ — $ — $ 4,747 $ 4,747 December 31, 2020 $ — $ — $ 12,656 $ 12,656 |
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 periods on assets held at period end that were remeasured at fair value on a nonrecurring basis: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Real estate asset acquired in settlement of loans $ (564 ) $ (47 ) $ (768 ) $ (1,195 ) |
Carrying and Fair Values of Notes Payable Secured by Credit Risk Transfer and Mortgage Servicing Rights and Exchangeable Senior Notes | Following are the carrying and fair values of the Notes payable secured by credit risk transfer and mortgage servicing assets Exchangeable senior notes June 30, 2021 December 31, 2020 Instrument Carrying value Fair value Carrying value Fair value (in thousands) Notes payable secured by credit risk transfer and mortgage servicing assets $ 2,829,177 $ 2,838,844 $ 1,924,999 $ 1,871,276 Exchangeable senior notes $ 496,825 $ 575,263 $ 196,796 $ 207,428 |
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 Fair value (in thousands) $ 131,750 UPB of underlying loans (in thousands) $ 15,833,050 Average servicing fee rate (in basis points) 34 Average ESS rate (in basis points) 19 Key inputs (1) Pricing spread (2) Range 4.9% – 5.3% Weighted average 5.1% Annual total prepayment speed (3) Range 9.6% – 18.3% Weighted average 11.7% Equivalent life (in years) Range 2.3 - 6.6 Weighted average 5.8 (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 derivatives: June 30, 2021 December 31, 2020 (dollars in thousands) Fair value CRT derivatives: Assets $ 44,951 $ 58,699 Liabilities $ 9,713 $ 26,904 UPB of loans in reference pools $ 9,769,411 $ 13,854,426 Key inputs (1) Discount rate Range 5.5% – 6.2% 6.7% – 9.0% Weighted average 6.1% 7.3% Voluntary prepayment speed (2) Range 13.8% – 14.4% 20.8% – 23.5% Weighted average 13.9% 21.9% Involuntary prepayment speed (3) Range (0.5)% – 1.2% (0.8)% – 1.1% Weighted average (0.1)% (0.2)% Remaining loss expectation (4) Range (0.5)% – 0.6% (0.6)% – 0.6% Weighted average (0.1)% (0.3)% (1) Weighted average inputs are based on fair value amounts of the CRT Agreements except for remaining loss expectation which is 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. The negative involuntary prepayment speed reflects the expectation for reinstatement to the reference pool of a portion of the loans that previously triggered losses due to delinquency while under CARES Act forbearance upon their projected re-performance, 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 reflects the expectation of contractual reversals of previously incurred contractual losses due to the expected re-performance of a portion of the loans that experienced delinquency while under CARES Act forbearance. |
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: June 30, 2021 December 31, 2020 Fair value (in thousands) (1) $ 29,748 $ 72,386 Key inputs (2) Pull-through rate Range 40.0% – 100% 44.6% – 100% Weighted average 94.7% 86.3% MSR fair value expressed as Servicing fee multiple Range 1.2 – 6.6 2.0 – 5.3 Weighted average 4.9 4.4 Percentage of UPB Range 0.3% – 2.5% 0.5% – 1.9% Weighted average 1.4% 1.2% (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: June 30, 2021 December 31, 2020 (dollars in thousands) Carrying value CRT strip liabilities $ 67,846 $ 202,792 UPB of loans in the reference pools $ 31,464,697 $ 44,843,516 Key inputs (1) Discount rate Range 4.8% – 7.2% 6.0% – 8.4% Weighted average 6.8% 8.0% Voluntary prepayment speed (2) Range 19.0% – 19.1% 25.0% – 30.2% Weighted average 19.1% 26.2% Involuntary prepayment speed (3) Range 0.5% – 1.3% 0.8% – 1.7% Weighted average 0.6% 1.0% Remaining loss expectation (4) Range 0.3% – 0.8% 0.3% – 0.6% Weighted average 0.4% 0.4% (1) Weighted average inputs are based on fair value amounts of the CRT arrangements except for remaining loss expectation which is 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 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: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (MSR recognized and UPB of underlying loans amounts in thousands) MSR recognized $ 412,938 $ 203,127 $ 820,634 $ 451,949 UPB of underlying loans $ 29,585,783 $ 19,458,673 $ 62,034,674 $ 38,799,943 Weighted average annual servicing fee rate (in basis points) 27 28 27 29 Key inputs (1) Pricing spread (2) Range 6.0% – 8.0% 8.1% – 11.3% 6.0% – 8.0% 6.7% – 11.3% Weighted average 6.8% 8.2% 7.4% 7.5% Prepayment speed (3) Range 6.2% – 8.9% 9.0% – 19.4% 6.0% – 9.3% 9.0% – 20.9% Weighted average 8.0% 9.9% 7.8% 11.1% Equivalent average life (in years) Range 3.9 - 8.7 3.7 - 8.0 3.9 – 8.9 3.6 – 8.0 Weighted average 8.1 7.4 8.3 6.9 Annual per-loan cost of servicing Range $80 – $81 $79 – $79 $80 – $81 $78 – $79 Weighted average $80 $79 $80 $78 (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: June 30, 2021 December 31, 2020 (Fair value, UPB of underlying loans and effect on fair value amounts in thousands) Fair value $ 2,551,373 $ 1,755,236 UPB of underlying loans $ 198,300,614 $ 170,728,322 Weighted average annual servicing fee rate (in basis points) 27 28 Weighted average note interest rate 3.3% 3.6% Key inputs (1) Pricing spread (2) Range 6.3% – 9.4% 8.0% – 11.1% Weighted average 6.3% 8.0% Effect on fair value of: 5% adverse change $(36,431) $(31,400) 10% adverse change $(71,892) $(61,718) 20% adverse change $(140,042) $(119,305) Prepayment speed (3) Range 9.2% – 23.6% 12.4% – 28.8% Weighted average 9.7% 12.8% Equivalent average life (in years) Range 3.1 – 7.6 2.9 – 6.8 Weighted average 7.3 6.5 Effect on fair value of: 5% adverse change $(54,633) $(48,136) 10% adverse change $(107,223) $(94,244) 20% adverse change $(206,714) $(180,820) Annual per-loan cost of servicing Range $80 – $95 $78 – $121 Weighted average $80 $81 Effect on fair value of: 5% adverse change $(16,532) $(11,846) 10% adverse change $(33,064) $(23,692) 20% adverse change $(66,129) $(47,385) (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) | 6 Months Ended |
Jun. 30, 2021 | |
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: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Balance at beginning of period $ 1,916,485 $ 3,947,420 $ 2,213,922 $ 2,839,633 Purchases 423,660 — 1,682,849 1,615,486 Sales — (1,112,761 ) (1,300,653 ) (1,601,490 ) Repayments (57,650 ) (226,878 ) (239,983 ) (349,813 ) Changes in fair value included in income arising from: Amortization of net purchase premiums (1,883 ) (11,859 ) (4,406 ) (23,861 ) Valuation adjustments 29,252 17,064 (41,865 ) 133,031 27,369 5,205 (46,271 ) 109,170 Balance at end of period $ 2,309,864 $ 2,612,986 $ 2,309,864 $ 2,612,986 |
Schedule of Investment in Mortgage Backed Securities | Following is a summary of the Company’s investment in MBS: June 30, 2021 December 31, 2020 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 $ 722,730 $ 23,132 $ (11,862 ) $ 734,000 $ 1,253,755 $ 32,414 $ 24,867 $ 1,311,036 Fannie Mae 1,547,656 49,267 (21,059 ) 1,575,864 863,758 23,692 15,436 902,886 $ 2,270,386 $ 72,399 $ (32,921 ) $ 2,309,864 $ 2,117,513 $ 56,106 $ 40,303 $ 2,213,922 (1) All MBS are fixed-rate pass-through securities with maturities of more than ten years and are pledged to secure Assets sold under agreements to repurchase at June 30, 2021 and December 31, 2020. |
Loans Acquired for Sale at Fa_2
Loans Acquired for Sale at Fair Value (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
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 June 30, 2021 December 31, 2020 (in thousands) Agency-eligible (1) $ 5,302,591 $ 3,057,601 Held for sale to PLS — Government insured or guaranteed (2) 202,280 460,414 Home equity lines of credit 4,555 5,566 Commercial real estate 988 1,010 Repurchased pursuant to representations and warranties 24,886 27,299 $ 5,535,300 $ 3,551,890 Loans pledged to secure: Assets sold under agreements to repurchase $ 5,389,265 $ 3,484,202 Mortgage loan participation purchase and sale agreements 28,841 17,645 $ 5,418,106 $ 3,501,847 (1) Agency eligibility refers to loans’ eligibility for sale to Agencies. The Company sells or finances a portion of its Agency-eligible loan production to other investors. (2) 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— Transactions with Related Parties. |
Loans at Fair Value (Tables)
Loans at Fair Value (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
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 June 30, 2021 December 31, 2020 (in thousands) Loans in VIEs: Fixed interest rate jumbo loans $ 89,909 $ 143,707 Loans secured by non-owner occupied properties 253,277 — 343,186 143,707 Distressed loans 7,215 8,027 $ 350,401 $ 151,734 Loans at fair value pledged to secure: Asset-backed financings of VIEs at fair value $ 343,186 $ 143,707 Assets sold under agreements to repurchase 1,282 3,703 $ 344,468 $ 147,410 |
Derivative and Credit Risk Tr_2
Derivative and Credit Risk Transfer Strip Assets and Liabilities (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
Summary of Derivative and Credit Risk Transfer Assets and Liabilities | Derivative and credit risk transfer assets and liabilities are summarized below: June 30, 2021 December 31, 2020 (in thousands) Derivative assets $ 88,278 $ 164,318 Credit risk transfer strip assets — — $ 88,278 $ 164,318 Derivative liabilities $ 18,835 $ 60,681 Credit risk transfer strip liabilities 67,846 202,792 $ 86,681 $ 263,473 |
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 June 30, 2021 December 31, 2020 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 purchase contracts 1,050,000 $ 3,500 $ — 1,450,000 $ 3,070 $ — Put options on interest rate futures purchase contracts 1,570,000 1,401 — 2,800,000 4,742 — Forward purchase contracts 9,016,801 23,676 1,260 17,563,549 72,526 17 Forward sale contracts 17,781,827 5,891 44,129 26,615,716 92 122,884 MBS call options 1,750,000 2,401 — — — — MBS put options 2,950,000 3,602 — 3,625,000 3,220 — Swaption purchase contracts 3,097,500 4,362 — 3,655,000 8,505 — Swap futures 2,795,000 — — 1,950,000 — — Bond futures 286,500 — — 66,500 — — Not subject to master netting arrangements: CRT derivatives 9,769,411 44,951 9,713 13,854,426 58,699 26,904 Interest rate lock commitments 6,455,877 31,276 1,528 10,588,208 72,794 408 Total derivative instruments before netting 121,060 56,630 223,648 150,213 Netting (32,782 ) (37,795 ) (59,330 ) (89,532 ) $ 88,278 $ 18,835 $ 164,318 $ 60,681 Margin deposits placed with derivative counterparties, net $ 5,013 $ 30,197 Derivative assets pledged to secure: Notes payable secured by credit risk transfer and mortgage servicing assets $ 44,951 $ 58,699 (1) Notional amounts provide an indication of the volume of the Company’s derivative activity. (2) All hedging derivatives are interest rate derivatives that are used as economic hedges. |
Summary of Net Derivative Assets | Following is a summary of net derivative assets: June 30, 2021 December 31, 2020 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 purchase contracts $ 3,500 $ — $ 3,500 $ 3,070 $ — $ 3,070 Put options on interest rate futures purchase contracts 1,401 — 1,401 4,742 — 4,742 Forward purchase contracts 23,676 — 23,676 72,526 — 72,526 Forward sale contracts 5,891 — 5,891 92 — 92 MBS call options 2,401 — 2,401 — — — MBS put options 3,602 — 3,602 3,220 — 3,220 Swaption purchase contracts 4,362 — 4,362 8,505 — 8,505 Netting — (32,782 ) (32,782 ) — (59,330 ) (59,330 ) 44,833 (32,782 ) 12,051 92,155 (59,330 ) 32,825 Not subject to master netting arrangements: CRT derivatives 44,951 — 44,951 58,699 — 58,699 Interest rate lock commitments 31,276 — 31,276 72,794 — 72,794 76,227 — 76,227 131,493 — 131,493 $ 121,060 $ (32,782 ) $ 88,278 $ 223,648 $ (59,330 ) $ 164,318 |
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. June 30, 2021 December 31, 2020 Net amount Gross amounts Net amount Gross amounts of assets not offset in the of assets not offset in the presented consolidated presented consolidated in the balance sheet in the balance sheet consolidated Cash consolidated Cash balance Financial collateral Net balance Financial collateral Net sheet instruments received amount sheet instruments received amount (in thousands) CRT derivatives $ 44,951 $ — $ — $ 44,951 $ 58,699 $ — $ — $ 58,699 Interest rate lock commitments 31,276 — — 31,276 72,794 — — 72,794 J.P. Morgan Securities LLC 725 — — 725 — — — — RJ O’Brien & Associates, LLC 4,902 — — 4,902 7,813 — — 7,813 Bank of America, N.A. 4,062 — — 4,062 15,406 — — 15,406 PNC Capital Markets LLC — — — — 3,138 — — 3,138 Citigroup Global Markets Inc. — — — — 2,416 — — 2,416 Deutsche Bank Securities LLC — — — — 1,602 — — 1,602 Mitsubishi UFJ Sec — — — — 1,070 — — 1,070 Other 2,362 — — 2,362 1,380 — — 1,380 $ 88,278 $ — $ — $ 88,278 $ 164,318 $ — $ — $ 164,318 |
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. June 30, 2021 December 31, 2020 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 $ 1,260 $ — $ 1,260 $ 17 $ — $ 17 Forward sales contracts 44,129 — 44,129 122,884 — 122,884 Netting — (37,795 ) (37,795 ) — (89,532 ) (89,532 ) 45,389 (37,795 ) 7,594 122,901 (89,532 ) 33,369 Not subject to master netting arrangements CRT derivatives 9,713 — 9,713 26,904 — 26,904 Interest rate lock commitments 1,528 — 1,528 408 — 408 56,630 (37,795 ) 18,835 150,213 (89,532 ) 60,681 Assets sold under agreements to repurchase: UPB 7,197,536 — 7,197,536 6,317,928 — 6,317,928 Unamortized debt issuance costs (3,865 ) — (3,865 ) (8,510 ) — (8,510 ) 7,193,671 — 7,193,671 6,309,418 — 6,309,418 $ 7,250,301 $ (37,795 ) $ 7,212,506 $ 6,459,631 $ (89,532 ) $ 6,370,099 |
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. June 30, 2021 December 31, 2020 Net amount Gross amounts Net amount Gross amounts of liabilities not offset in the of liabilities not offset in the presented consolidated presented consolidated in the balance sheet in the balance sheet consolidated Cash consolidated Cash balance Financial collateral Net balance Financial collateral Net sheet instruments pledged amount sheet instruments pledged amount (in thousands) Interest rate lock commitments $ 1,528 $ — $ — $ 1,528 $ 408 $ — $ — $ 408 CRT derivatives 9,713 — — 9,713 26,904 — — 26,904 Bank of America, N.A. 1,366,829 (1,366,829 ) — — 414,044 (414,044 ) — — Barclays Capital Inc. 1,081,361 (1,081,246 ) — 115 922,959 (922,035 ) — 924 RBC Capital Markets, L.P. 921,198 (921,198 ) — — 765,892 (765,892 ) — — Credit Suisse Securities (USA) LLC 809,674 (805,872 ) — 3,802 1,059,547 (1,054,636 ) — 4,911 J.P. Morgan Securities LLC 806,998 (806,998 ) — — 359,573 (357,211 ) — 2,362 Daiwa Capital Markets 518,677 (518,677 ) — — 728,207 (727,562 ) — 645 BNP Paribas 367,916 (367,560 ) — 356 164,414 (163,548 ) — 866 Wells Fargo Securities, LLC 349,857 (349,857 ) — — 148,854 (140,796 ) — 8,058 Citigroup Global Markets Inc. 336,774 (335,834 ) — 940 830,161 (830,161 ) — — Goldman Sachs & Co. LLC 259,748 (259,372 ) — 376 149,272 (144,883 ) — 4,389 Morgan Stanley & Co. LLC 250,005 (248,936 ) — 1,069 367,493 (366,415 ) — 1,078 Amherst Pierpont Securities LLC 135,419 (135,157 ) — 262 153,224 (153,224 ) — — Mizuho Securities — — — — 279,321 (277,521 ) — 1,800 Federal Home Loan Mortgage Corporation — — — — 5,883 — — 5,883 Other 674 — — 674 2,453 — — 2,453 $ 7,216,371 $ (7,197,536 ) $ — $ 18,835 $ 6,378,609 $ (6,317,928 ) $ — $ 60,681 |
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 operations line items where such gains and losses are included: Quarter ended June 30, Six months ended June 30, Derivative activity Consolidated statement of operations line 2021 2020 2021 2020 (in thousands) Interest rate lock commitments Net gains on loans acquired for sale (1) $ 94,605 $ 4,572 $ (42,638 ) $ 72,803 CRT derivatives Net gains (losses) on investments $ 19,200 $ 136,085 $ 55,570 $ (147,657 ) Hedged item: Interest rate lock commitments and loans acquired for sale Net gains on loans acquired for sale $ (166,100 ) $ (91,897 ) $ 131,376 $ (232,265 ) Mortgage servicing rights Net loan servicing fees $ 94,116 $ (50,650 ) $ (280,287 ) $ 716,536 Fixed-rate and prepayment sensitive assets and LIBOR-indexed repurchase agreements Net gains (losses) on investments $ 75 $ (16,739 ) $ 51 $ 48,192 (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 Holdings of CRT Strips | Following is a summary of the Company’s holdings of CRT strips Credit risk transfer strips contractually restricted from sale (1) June 30, 2021 December 31, 2020 (in thousands) Currently unrestricted $ 447 $ — Through December 4, 2021 9,908 (168,539 ) To maturity (78,201 ) (34,253 ) $ (67,846 ) $ (202,792 ) (1) The terms of the agreement underlying the CRT securities restricts sales of the securities, other than 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) | 6 Months Ended |
Jun. 30, 2021 | |
Text Block [Abstract] | |
Summary of MSRs Carried at Fair Value | Following is a summary of MSRs: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Balance at beginning of period $ 2,441,214 $ 1,157,326 $ 1,755,236 $ 1,535,705 MSRs resulting from loan sales 412,938 203,127 820,634 451,949 Changes in fair value: Due to changes in valuation inputs used in valuation model (1) (229,885 ) (111,649 ) 107,782 (674,896 ) Other changes in fair value (2) (69,613 ) (59,199 ) (128,998 ) (123,153 ) (299,498 ) (170,848 ) (21,216 ) (798,049 ) Reclassification to loans at fair value resulting from consolidation of a VIE (3) (3,281 ) — (3,281 ) — Balance at end of period $ 2,551,373 $ 1,189,605 $ 2,551,373 $ 1,189,605 June 30, 2021 December 31, 2020 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and payable secured by credit risk transfer and mortgage servicing assets $ 2,522,717 $ 1,742,905 (1) Primarily reflects changes in pricing spread, prepayment speed, and servicing cost inputs. (2) Represents changes due to realization of expected cash flows. (3) As discussed in Note 6—Variable Interest Entities – Investment in Securities Backed by Loans Secured by Non-Owner Occupied Properties, Loans at fair value |
Summary of Net Loan Servicing Fees Relating to MSRs | Servicing fees relating to MSRs are recorded in Net loan servicing fees – from nonaffiliates Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Contractually-specified servicing fees $ 124,019 $ 101,823 $ 240,306 $ 196,292 Ancillary and other fees: Late charges 351 399 763 899 Other 24,551 11,488 40,384 18,179 $ 148,921 $ 113,710 $ 281,453 $ 215,370 |
Short-Term Borrowings (Tables)
Short-Term Borrowings (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase | Following is a summary of financial information relating to assets sold under agreements to repurchase: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (dollars in thousands) Weighted average interest rate (1) 1.34 % 1.24 % 1.47 % 1.85 % Average balance $ 5,733,765 $ 4,755,992 $ 5,862,480 $ 5,529,446 Total interest expense $ 23,282 $ 17,071 $ 51,941 $ 54,822 Maximum daily amount outstanding $ 7,198,610 $ 6,627,618 $ 8,440,669 $ 8,664,587 (1) Excludes the effect of amortization of debt issuance costs of $4.1 million and $9.2 million for the quarter and six months ended June 30, 2021, respectively, and $2.4 million and $3.9 million for the quarter and six months ended June 30, 2020, respectively. June 30, 2021 December 31, 2020 (dollars in thousands) Carrying value: Unpaid principal balance $ 7,197,536 $ 6,317,928 Unamortized debt issuance costs (3,865 ) (8,510 ) $ 7,193,671 $ 6,309,418 Weighted average interest rate 1.36 % 1.36 % Available borrowing capacity (1): Committed $ 51,064 $ 483,767 Uncommitted 3,742,908 4,151,905 $ 3,793,972 $ 4,635,672 Margin deposits placed with counterparties included in Other $ 8,910 $ 141,808 Assets securing agreements to repurchase: Mortgage-backed securities $ 2,309,864 $ 2,213,922 Loans acquired for sale at fair value $ 5,389,265 $ 3,484,202 Loans at fair value $ 1,282 $ 3,703 MSRs (2) $ 1,531,396 $ 1,166,090 Servicing advances $ 71,306 $ — Real estate acquired in settlement of loans $ 9,003 $ 15,365 Deposits securing CRT arrangements $ — $ 2,799,263 (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 and Notes payable secured by credit risk transfer and mortgage servicing assets . |
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 June 30, 2021 Unpaid principal balance (in thousands) Within 30 days $ 3,463,395 Over 30 to 90 days 2,812,944 Over 90 days to 180 days 921,197 $ 7,197,536 Weighted average maturity (in months) 1.7 |
Summary of Assets Sold under Agreements to Repurchase by Counterparty | Securities Counterparty Amount at risk Weighted average maturity (in thousands) Bank of America, N.A. $ 16,818 July 16, 2021 Barclays Capital Inc. $ 15,961 July 18, 2021 JPMorgan Chase & Co. $ 23,366 July 6, 2021 Daiwa Capital Markets America Inc. $ 20,344 July 19, 2021 Amherst Pierpont Securities LLC $ 5,940 July 19, 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) Credit Suisse First Boston Mortgage Capital LLC $ 148,606 September 16, 2021 March 31, 2023 Bank of America, N.A. $ 70,990 July 28, 2021 June 7, 2023 Barclays Capital Inc. $ 65,069 September 20, 2021 November 3, 2022 RBC Capital Markets, L.P. $ 56,318 October 13, 2021 May 10, 2022 JPMorgan Chase & Co. $ 10,918 August 17, 2021 June 6, 2023 BNP Paribas $ 20,752 July 30, 2021 July 30, 2021 Wells Fargo Securities, LLC $ 20,531 September 23, 2021 October 6, 2022 Citibank, N.A. $ 18,336 August 3, 2021 August 3, 2021 Goldman Sachs & Co. LLC $ 15,630 September 12, 2021 December 23, 2022 Morgan Stanley & Co. LLC $ 14,337 September 18, 2021 November 2, 2022 |
Mortgage Loan Participation Pur
Mortgage Loan Participation Purchase and Sale Agreements (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Text Block [Abstract] | |
Summary of Mortgage Loan Participation Purchase and Sale Agreements | Mortgage loan participation purchase and sale agreements are summarized below: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (dollars in thousands) Weighted average interest rate (1) 1.36 % 1.57 % 1.38 % 2.17 % Average balance $ 32,152 $ 39,048 $ 35,638 $ 40,174 Total interest expense $ 141 $ 210 $ 305 $ 548 Maximum daily amount outstanding $ 89,072 $ 96,570 $ 89,072 $ 96,570 (1) Excludes the effect of amortization of debt issuance costs of $31,000 and $62,000 for the quarter and six months ended June 30, 2021, respectively, and $57,000 and $113,000 for the quarter and six months ended June 30, 2020, respectively. June 30, 2021 December 31, 2020 (dollars in thousands) Carrying value: Amount outstanding $ 28,037 $ 16,851 Unamortized debt issuance costs — — $ 28,037 $ 16,851 Weighted average interest rate 1.48 % 1.39 % Loans acquired for sale pledged to secure mortgage loan participation purchase and sale agreements $ 28,841 $ 17,645 |
Long-Term Debt (Tables)
Long-Term Debt (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Debt Disclosure [Abstract] | |
Summary of Term Note Issued to Qualified Institutional Buyers | Following is a summary of the secured CRT Term Notes issued: Maturity date (2) Term notes Issuance date Issuance amount Unpaid principal balance Annual interest rate spread (1) Stated Optional extension (in thousands) 2021 1R March 04, 2021 $ 659,156 $ 549,254 2.90 % February 28, 2024 February 27, 2026 2020 2R December 22, 2020 $ 500,000 415,089 3.81 % December 28, 2022 — 2020 1R February 14, 2020 $ 350,000 124,365 2.35 % March 1, 2023 February 27, 2025 2019 3R October 16, 2019 $ 375,000 120,654 2.70 % October 27, 2022 October 29, 2024 2019 2R June 11, 2019 $ 638,000 333,452 2.75 % May 29, 2023 May 29, 2025 2019 1R March 29, 2019 $ 295,700 121,526 2.00 % March 29, 2022 March 27, 2024 $ 1,664,340 (1) Spread over 1-month LIBOR. (2) The indentures relating to these issuances provide the Company with the option of extending the maturity dates of certain of the Term Notes under the conditions specified in the respective agreements. |
Summary of Financial Information Relating to Note Payable Secured by Credit Risk Transfer and Mortgage Servicing Assets | Following is a summary of financial information relating to notes payable secured by credit risk transfer and mortgage servicing assets: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (dollars in thousands) Weighted average interest rate (1) 3.13 % 3.07 % 3.13 % 3.58 % Average balance $ 2,917,356 $ 1,934,476 $ 2,590,852 $ 1,897,344 Total interest expense $ 24,174 $ 15,449 $ 42,773 $ 35,067 Maximum daily amount outstanding $ 3,180,129 $ 1,973,252 $ 3,235,942 $ 2,032,665 (1) Excludes the effect of amortization of debt issuance costs of $1.4 million and $2.5 million for the quarter and six months ended June 30, 2021, respectively, and $620,000 and $1.2 million for the quarter and six months ended June 30, 2020, respectively. June 30, 2021 December 31, 2020 (dollars in thousands) Carrying value: Amount outstanding $ 2,839,341 $ 1,930,018 Unamortized debt issuance costs (10,164 ) (5,019 ) $ 2,829,177 $ 1,924,999 Weighted average interest rate 2.86 % 2.99 % Assets securing notes payable: MSRs (1) $ 2,522,717 $ 1,742,905 CRT Agreements: Deposits securing CRT arrangements $ 2,256,047 $ 2,799,263 Derivative assets $ 44,951 $ 58,699 (1) Beneficial interests in Freddie Mac and Fannie Mae MSRs are pledged as collateral for both Assets sold under agreements to repurchase Notes payable secured by credit risk transfer and mortgage servicing assets |
Summary of Financial Information Relating to Exchangeable Notes | Following is financial information relating to the Exchangeable Notes: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Average balance $ 495,032 $ 242,469 $ 390,053 $ 343,316 Total interest expense $ 10,310 $ 4,343 $ 15,852 $ 11,609 June 30, 2021 December 31, 2020 (in thousands) Carrying value: UPB $ 555,000 $ 210,000 Unamortized debt issuance costs and conversion option (58,175 ) (13,204 ) $ 496,825 $ 196,796 |
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 financings of VIEs at fair value described in Note 6 - Variable Interest Entities - Investments in Loan Securitizations Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (dollars in thousands) Average balance $ 95,069 $ 222,578 $ 107,672 $ 231,672 Total interest expense $ 1,996 $ 2,470 $ 2,164 $ 6,997 Weighted average interest rate 3.17 % 3.36 % 3.20 % 3.38 % June 30, 2021 December 31, 2020 (dollars in thousands) Fair value $ 321,875 $ 134,726 UPB $ 314,783 $ 131,835 Weighted average interest rate 3.57 % 3.56 % |
Schedule of Annual Maturities on Long Term Debt Obligations | Maturity of Long-Term Debt Annual maturities of long-term debt obligations (based on final maturity dates) are as follows: Twelve months ended June 30, Total 2022 2023 2024 2025 2026 Thereafter (in thousands) Notes payable secured by credit risk transfer and mortgage servicing assets (1) $ 2,464,340 $ 121,526 $ 1,443,560 $ 549,254 $ — $ 350,000 $ — Exchangeable senior notes 555,000 — — — 210,000 345,000 — Asset-backed financing of variable interest entities at fair value (2) 314,783 — — — — — 314,783 Interest-only security payable at fair value (2) 13,185 — — — — — 13,185 Total $ 3,347,308 $ 121,526 $ 1,443,560 $ 549,254 $ 210,000 $ 695,000 $ 327,968 |
Liability for Losses Under Re_2
Liability for Losses Under Representations and Warranties (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
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: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Balance, beginning of period $ 28,967 $ 7,300 $ 21,893 $ 7,614 Provision for losses: Pursuant to loan sales 8,472 3,215 16,985 4,245 Reduction in liability due to change in estimate (1,095 ) (211 ) (2,519 ) (1,555 ) Losses incurred, net (30 ) (79 ) (45 ) (79 ) Balance, end of period $ 36,314 $ 10,225 $ 36,314 $ 10,225 UPB of loans subject to representations and warranties at end of period $ 193,579,850 $ 135,538,011 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Commitments And Contingencies Disclosure [Abstract] | |
Company's Outstanding Contractual Commitments | The following table summarizes the Company’s outstanding contractual commitments: June 30, 2021 (in thousands) Commitments to purchase loans acquired for sale $ 6,455,877 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Equity [Abstract] | |
Schedule of Preferred Shares of Beneficial Interest | Preferred shares of beneficial interest are summarized below: Dividends per share, period ended June 30, Preferred Quarter Six months Share series Description (1) Number of shares Liquidation preference Issuance discount Carrying value 2021 2020 2021 2020 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 $ 0.51 $ 0.51 $ 1.02 $ 1.02 B 8.00% Issued July 2017 7,800 195,000 6,465 188,535 $ 0.50 $ 0.50 $ 1.00 $ 1.00 12,400 $ 310,000 $ 10,293 $ 299,707 (1) Par value is $0.01 per share. |
Summary of Activities under ATM Equity Offering Program | Following is a summary of the activities under the ATM equity-offering program: Six months ended June 30, 2020 (in thousands) Number of common shares issued 241 Gross proceeds $ 5,654 Net proceeds $ 5,597 |
Summary of Share Repurchase Activity | The following table summarizes the Company’s share repurchase activity: Quarter ended June 30, Six months ended June 30, Cumulative 2021 2020 2021 2020 total (1) (in thousands) Common shares repurchased 27 566 27 1,349 17,525 Cost of common shares repurchased $ 521 $ 7,561 $ 521 $ 13,343 $ 254,413 (1) Amounts represent the share repurchase program total from its inception in August 2015 through June 30, 2021. |
Net Gains on Loans Acquired f_2
Net Gains on Loans Acquired for Sale (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Text Block [Abstract] | |
Schedule of Net Gains on Loans Acquired for Sale | Net gains on loans acquired for sale are summarized below: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) From nonaffiliates: Cash loss: Loans $ (222,271 ) $ 21,842 $ (815,060 ) $ (47,112 ) Hedging activities (292,226 ) (234,191 ) 171,050 (257,569 ) (514,497 ) (212,349 ) (644,010 ) (304,681 ) Non-cash gain: Recognition of fair value of firm commitment to purchase CRT securities — (7,579 ) — (34,228 ) Receipt of MSRs in mortgage loan sale transactions 412,938 203,127 820,634 451,949 Provision for losses relating to representations and warranties provided in mortgage loan sales: Pursuant to loans sales (8,472 ) (3,215 ) (16,985 ) (4,245 ) Reduction of liability due to change in estimate 1,095 211 2,519 1,555 (7,377 ) (3,004 ) (14,466 ) (2,690 ) Change in fair value of loans and derivatives IRLCs 94,605 4,572 (42,638 ) 72,803 Loans (85,699 ) 31,829 (2,476 ) (4,953 ) Hedging derivatives 126,126 142,294 (39,674 ) 25,304 135,032 178,695 (84,788 ) 93,154 540,593 371,239 721,380 508,185 Total from nonaffiliates 26,096 158,890 77,370 203,504 From PFSI ‒ cash gain 1,630 3,324 3,368 7,485 $ 27,726 $ 162,214 $ 80,738 $ 210,989 |
Net Gains (Losses) on Investm_2
Net Gains (Losses) on Investments (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Investments Debt And Equity Securities [Abstract] | |
Summary of Net Gains (Losses) on Investments | Net gains (losses) on investments are summarized below: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) From nonaffiliates: Mortgage-backed securities $ 29,252 $ 17,064 $ (41,865 ) $ 133,031 Loans at fair value: Held in VIEs (664 ) 795 (3,009 ) (2,074 ) Distressed 131 (121 ) 225 (1,263 ) CRT arrangements 98,029 262,163 252,060 (225,129 ) Firm commitment to purchase CRT securities — 226,035 — (266,478 ) Asset-backed financing of VIEs at fair value 1,582 (162 ) 2,483 1,766 Hedging derivatives 75 (16,739 ) 51 48,192 128,405 489,035 209,945 (311,955 ) From PFSI ‒ ESS — (101 ) 1,651 (14,242 ) $ 128,405 $ 488,934 $ 211,596 $ (326,197 ) |
Net Interest Expense (Tables)
Net Interest Expense (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Banking And Thrift Interest [Abstract] | |
Summary of Net Interest Expense | Net interest expense is summarized below: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Interest income: From nonaffiliates: Cash and short-term investments $ 215 $ 892 $ 441 $ 2,519 Mortgage-backed securities 7,806 9,883 16,092 25,451 Loans acquired for sale at fair value 32,613 16,081 55,520 47,604 Loans at fair value: Held in VIEs 1,368 2,712 3,267 5,353 Distressed 40 233 293 292 Deposits securing CRT arrangements 156 507 325 6,606 Placement fees relating to custodial funds 1,472 8,116 4,004 20,514 Other 16 16 53 250 43,686 38,440 79,995 108,589 From PFSI ‒ ESS — 2,372 1,280 4,346 43,686 40,812 81,275 112,935 Interest expense: To nonaffiliates: Assets sold under agreements to repurchase 23,282 17,071 51,941 54,822 Mortgage loan participation purchase and sale agreements 141 210 305 548 Notes payable secured by credit risk transfer and mortgage servicing assets 24,174 15,449 42,773 35,067 Exchangeable Notes 10,310 4,343 15,852 11,609 Asset-backed financings of VIEs at fair value 1,996 2,470 2,164 6,997 Interest shortfall on repayments of loans serviced for Agency securitizations 18,536 19,804 40,576 29,243 Interest on loan impound deposits 763 909 1,512 1,820 79,202 60,256 155,123 140,106 To PFSI ‒ Assets sold under agreement to repurchase — 792 387 2,010 79,202 61,048 155,510 142,116 Net interest expense $ (35,516 ) $ (20,236 ) $ (74,235 ) $ (29,181 ) |
Share-Based Compensation (Table
Share-Based Compensation (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract] | |
Summary of Share-Based Compensation Activity | The following table summarizes the Company’s share-based compensation activity: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Grants: Restricted share units 4 — 105 92 Performance share units 42 — 126 112 46 — 231 204 Grant date fair value: Restricted share units $ 75 $ — $ 1,992 $ 1,978 Performance share units 797 — 2,399 2,428 $ 872 $ — $ 4,391 $ 4,406 Vestings: Restricted share units — — 100 123 Performance share units (1) — — 37 143 — — 137 266 Compensation expense relating to share-based grants $ 1,010 $ 869 $ 2,748 $ 1,054 (1) The actual number of performance-based RSUs that vested during the six months ended June 30, 2021 was 37,000 common shares, which is 100% of the originally granted performance-based RSUs. |
Summary of Restricted Share Units and Performance Share Units Expected to Vest | June 30, 2021 Restricted share units Performance share units Shares expected to vest: Number of units (in thousands) 193 202 Grant date average fair value per unit $ 20.05 $ 19.88 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Earnings Per Share [Abstract] | |
Summary of Basic and Diluted Earnings per Share | The following table summarizes the basic and diluted earnings per share calculations: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands except per share amounts) Net income (loss) $ 38,092 $ 464,620 $ 109,695 $ (130,053 ) Dividends on preferred shares (6,235 ) (6,235 ) (12,469 ) (12,469 ) Effect of participating securities—share-based compensation awards (80 ) (903 ) (169 ) (123 ) Net income (loss) attributable to common shareholders 31,777 457,482 97,057 (142,645 ) Interest on the 2020 Notes, net of income taxes — 715 — — Income attributable to participating securities — 14 — — Diluted net income (loss) attributable to common shareholders $ 31,777 $ 458,211 $ 97,057 $ (142,645 ) Weighted average basic shares outstanding 97,927 99,689 97,910 99,967 Shares issuable pursuant to exchange of the Exchangeable Notes — 1,705 — — Shares issuable under share-based compensation plan 107 198 213 — Diluted weighted average number of shares outstanding 98,034 101,592 98,123 99,967 Basic earnings (loss) per share $ 0.32 $ 4.59 $ 0.99 $ (1.43 ) Diluted earnings (loss) per share $ 0.32 $ 4.51 $ 0.99 $ (1.43 ) |
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: Quarter ended June 30, Six months ended June 30, 2021 2020 2021 2020 (in thousands) Shares issuable under share-based compensation plan 107 142 — 236 Shares issuable pursuant to exchange of the Exchangeable Notes 24,328 — — 5,086 |
Segments (Tables)
Segments (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Segment Reporting [Abstract] | |
Financial Highlights by Operating Segment | Financial highlights by operating segment are summarized below: Credit Interest rate sensitive sensitive Correspondent Quarter ended June 30, 2021 strategies strategies production Corporate Total (in thousands) Net investment income: Net gains on loans acquired for sale $ 1 $ — $ 27,725 $ — $ 27,726 Net gains on investments 98,413 29,992 — — 128,405 Net loan servicing fees — (44,912 ) — — (44,912 ) Net interest (expense) income: Interest income 401 10,056 32,519 710 43,686 Interest expense 16,177 39,141 23,884 — 79,202 (15,776 ) (29,085 ) 8,635 710 (35,516 ) Other 20 — 45,843 — 45,863 82,658 (44,005 ) 82,203 710 121,566 Expenses: Loan fulfillment and servicing fees payable to PFSI 80 19,936 54,019 — 74,035 Management fees — — — 11,913 11,913 Other 4,061 1,507 9,150 7,103 21,821 4,141 21,443 63,169 19,016 107,769 Pretax income (loss) $ 78,517 $ (65,448 ) $ 19,034 $ (18,306 ) $ 13,797 Total assets at end of quarter $ 2,361,218 $ 5,374,157 $ 5,738,154 $ 124,583 $ 13,598,112 Credit Interest rate sensitive sensitive Correspondent Quarter ended June 30, 2020 strategies strategies production Corporate Total (in thousands) Net investment income: Net (losses) gains on loans acquired for sale $ (7,573 ) $ — $ 169,787 $ — $ 162,214 Net gains on investments 472,269 16,665 — — 488,934 Net loan servicing fees — (102,660 ) — — (102,660 ) Net interest (expense) income: Interest income 1,133 23,585 15,957 137 40,812 Interest expense 8,796 38,093 13,502 657 61,048 (7,663 ) (14,508 ) 2,455 (520 ) (20,236 ) Other 3,014 — 25,318 1,737 30,069 460,047 (100,503 ) 197,560 1,217 558,321 Expenses: Loan fulfillment and servicing fees payable to PFSI 240 15,294 52,814 — 68,348 Management fees — — — 8,288 8,288 Other 1,014 1,691 5,168 5,749 13,622 1,254 16,985 57,982 14,037 90,258 Pretax income (loss) $ 458,793 $ (117,488 ) $ 139,578 $ (12,820 ) $ 468,063 Total assets at end of quarter $ 1,743,620 $ 4,307,113 $ 2,412,751 $ 620,235 $ 9,083,719 Credit Interest rate sensitive sensitive Correspondent Six months ended June 30, 2021 strategies strategies production Corporate Total (in thousands) Net investment income: Net gain on loans acquired for sale $ — $ — $ 80,738 $ — $ 80,738 Net gain (loss) on investments 252,684 (41,088 ) — — 211,596 Net loan servicing fees — 5,133 — — 5,133 Net interest (expense) income: Interest income 1,052 23,576 55,314 1,333 81,275 Interest expense 33,439 76,452 45,619 — 155,510 (32,387 ) (52,876 ) 9,695 1,333 (74,235 ) Other 908 — 98,823 — 99,731 221,205 (88,831 ) 189,256 1,333 322,963 Expenses: Loan fulfillment and servicing fees payable to PFSI 218 38,890 114,855 — 153,963 Management fees — — — 20,362 20,362 Other 8,210 2,321 19,796 13,486 43,813 8,428 41,211 134,651 33,848 218,138 Pretax (loss) income $ 212,777 $ (130,042 ) $ 54,605 $ (32,515 ) $ 104,825 Total assets at end of period $ 2,361,218 $ 5,374,157 $ 5,738,154 $ 124,583 $ 13,598,112 Credit Interest rate sensitive sensitive Correspondent Six months ended June 30, 2020 strategies strategies production Corporate Total (in thousands) Net investment income: Net (losses) gains on loans acquired for sale $ (39,880 ) $ — $ 250,869 $ — $ 210,989 Net (losses) gains on investments (446,841 ) 120,644 — — (326,197 ) Net loan servicing fees — 141,912 — — 141,912 Net interest (expense) income: Interest income 7,689 56,827 47,364 1,055 112,935 Interest expense 23,362 79,701 37,811 1,242 142,116 (15,673 ) (22,874 ) 9,553 (187 ) (29,181 ) Other 3,180 — 49,305 1,796 54,281 (499,214 ) 239,682 309,727 1,609 51,804 Expenses: Loan fulfillment and servicing fees payable to PFSI 541 29,514 94,754 — 124,809 Management fees — — — 17,343 17,343 Other 1,926 2,873 10,088 11,127 26,014 2,467 32,387 104,842 28,470 168,166 Pretax (loss) income $ (501,681 ) $ 207,295 $ 204,885 $ (26,861 ) $ (116,362 ) Total assets at end of period $ 1,743,620 $ 4,307,113 $ 2,412,751 $ 620,235 $ 9,083,719 |
Supplemental Cash Flow Inform_2
Supplemental Cash Flow Information (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Supplemental Cash Flow Elements [Abstract] | |
Summary of Supplemental Cash Flow Information | Six months ended June 30, 2021 2020 (in thousands) Payments: Income taxes, net $ 2,076 $ 60 Interest $ 159,731 $ 168,941 Non-cash investing activities: Transfer of loans and advances to real estate acquired in settlement of loans $ — $ 1,166 Receipt of mortgage servicing rights as proceeds from sales of loans at fair value $ 820,634 $ 451,949 Receipt of excess servicing spread pursuant to recapture agreement with PennyMac Financial Services, Inc. $ 557 $ 862 Recognition of mortgage loans at fair value held by a VIE $ 249,995 $ — Reclassification of MSRs to loans at fair value resulting from consolidation of a VIE $ 3,281 $ — Non-cash financing activities: Dividends declared, not paid $ 46,098 $ 39,789 Recognition of asset-backed secured financing $ 240,383 $ — |
Regulatory Capital and Liquid_2
Regulatory Capital and Liquidity Requirements (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Mortgage Banking [Abstract] | |
Summary of Capital and Liquidity Amounts and Requirements by Agencies | The Agencies’ capital and liquidity amounts and requirements, 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) June 30, 2021 $ 1,051,787 $ 512,922 11 % 6 % $ 86,514 $ 68,559 December 31, 2020 $ 1,101,318 $ 438,530 16 % 6 % $ 101,116 $ 59,158 (1) Calculated in accordance with the Agencies’ requirements. |
Organization - Additional Infor
Organization - Additional Information (Detail) | 6 Months Ended |
Jun. 30, 2021Segment | |
Accounting Policies [Abstract] | |
Number of business segments | 4 |
Percentage of taxable income for distributions | 90.00% |
Basis of Presentation and Acc_2
Basis of Presentation and Accounting Change - Additional Information (Detail) - USD ($) | Jun. 30, 2021 | Jun. 30, 2020 | Nov. 04, 2019 |
New Accounting Pronouncements Or Change In Accounting Principle [Line Items] | |||
Restricted cash | $ 0 | $ 0 | |
Exchangeable Senior Notes due November 1, 2024 [Member] | |||
New Accounting Pronouncements Or Change In Accounting Principle [Line Items] | |||
Issuance of debt through private offering | $ 555,000,000 | $ 210,000,000 |
Transactions with Related par_3
Transactions with Related parties - Correspondent Production Activities - Additional Information (Detail) | 6 Months Ended |
Jun. 30, 2021USD ($) | |
Maximum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Interest income and sourcing fee | 0.035% |
Minimum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Interest income and sourcing fee | 0.02% |
PennyMac Loan Services, LLC [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
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 [Line Items] | |
Basis point for monthly fulfillment fee | 0.35% |
PennyMac Loan Services, LLC [Member] | Mortgage Loans Sold And Securitized | Maximum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Basis point for monthly fulfillment fee | 0.50% |
2020 MBS 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 |
2020 MBS Agreement [Member] | Maximum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Interest income and sourcing fee | 0.02% |
Mortgage loans commitments 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 [Line Items] | |
Interest income and sourcing fee | 0.01% |
Mortgage loans commitments 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 [Line Items] | |
Number of mortgage loans purchased multiplier | 750 |
2020 MBS Agreement [Member] | Ginnie Mae Mortgage Loans [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Mortgage loan servicing fees payable | 0 |
Mortgage banking services [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
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 | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | |
Related Party Transaction [Line Items] | |||||
Loans included in Loans acquired for sale at fair value pending sale to PLS | $ 5,535,300 | $ 5,535,300 | $ 3,551,890 | ||
PennyMac Loan Services, LLC [Member] | |||||
Related Party Transaction [Line Items] | |||||
Loan fulfillment fees earned by PLS | 54,020 | $ 52,815 | 114,855 | $ 94,755 | |
Sourcing fees received from PLS included in Net gains on loans acquired for sale | 1,630 | 3,324 | 3,368 | 7,485 | |
UPB of loans sold to PLS | 16,297,216 | 11,080,565 | 33,856,791 | 24,950,845 | |
Purchases of loans acquired for sale from PLS | 0 | 2,742 | 0 | 2,248,869 | |
Tax service fees paid to PLS | 7,128 | $ 4,288 | 15,320 | $ 8,268 | |
Loans included in Loans acquired for sale at fair value pending sale to PLS | $ 202,280 | $ 202,280 | $ 460,414 |
Transactions with Related par_5
Transactions with Related parties - Loan Servicing - Additional Information (Detail) - PennyMac Loan Services, LLC [Member] | 6 Months Ended |
Jun. 30, 2021 | |
Mortgage Loans On Real Estate [Line Items] | |
Servicing agreement expiration date | Jun. 30, 2025 |
Service agreement maturity renewal term | 18 months |
Transactions with Related par_6
Transactions with Related parties - Prime Servicing - Additional Information (Detail) - PennyMac Loan Services, LLC [Member] | 6 Months Ended |
Jun. 30, 2021USD ($) | |
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_7
Transactions with Related parties - Special Servicing - Additional Information (Detail) - PennyMac Loan Services, LLC [Member] - Distressed loans [Member] | 6 Months Ended |
Jun. 30, 2021USD ($) | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees per month | $ 25 |
Base servicing fees for REO per month | 75 |
Minimum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees per month | 30 |
Maximum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees per month | $ 95 |
Transactions with Related par_8
Transactions with Related parties- MSR Recapture Agreement - Additional Information (Detail) | 6 Months Ended |
Jun. 30, 2021 | |
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_9
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 | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Related Party Transaction [Line Items] | ||||
Loan servicing fees | $ 20,015 | $ 15,533 | $ 39,108 | $ 30,054 |
Loans acquired for sale at fair value [Member] | ||||
Related Party Transaction [Line Items] | ||||
Loan servicing fees | 630 | 607 | 1,173 | 1,143 |
Average investment in loans acquired for sale at fair value | 4,153,241 | 2,047,202 | 3,887,734 | 2,631,047 |
Loans at fair value [Member] | ||||
Related Party Transaction [Line Items] | ||||
Loan servicing fees | 80 | 188 | 217 | 488 |
Average MSR portfolio UPB | 103,615 | 231,973 | 116,298 | 242,866 |
Mortgage servicing rights [Member] | ||||
Related Party Transaction [Line Items] | ||||
Loan servicing fees | 19,305 | 14,738 | 37,718 | 28,423 |
Average MSR portfolio UPB | 191,539,208 | 143,856,366 | 184,477,096 | 140,056,208 |
Distressed [Member] | ||||
Related Party Transaction [Line Items] | ||||
Average investment in distressed loans at fair value | $ 7,208 | $ 8,919 | $ 7,504 | $ 10,084 |
Transactions with Related pa_10
Transactions with Related parties - Management Fees - Additional Information (Detail) - USD ($) | 6 Months Ended | |
Jun. 30, 2021 | Jul. 01, 2020 | |
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% | |
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_11
Transactions with Related parties - Summary of Management Fee Expense (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Related Party Transaction [Line Items] | ||||
Total management fee incurred during the period | $ 11,913 | $ 8,288 | $ 20,362 | $ 17,343 |
PNMAC Capital Management LLC [Member] | ||||
Related Party Transaction [Line Items] | ||||
Total management fee incurred during the period | 11,913 | 8,288 | 20,362 | 17,343 |
Average shareholders' equity amounts used to calculate base management fee expense | 2,340,948 | 2,242,460 | 2,325,605 | 2,354,600 |
PNMAC Capital Management LLC [Member] | Base [Member] | ||||
Related Party Transaction [Line Items] | ||||
Total management fee incurred during the period | 8,648 | 8,288 | 17,097 | 17,343 |
PNMAC Capital Management LLC [Member] | Performance incentive [Member] | ||||
Related Party Transaction [Line Items] | ||||
Total management fee incurred during the period | $ 3,265 | $ 0 | $ 3,265 | $ 0 |
Transactions with Related pa_12
Transactions with Related parties - Summary of Expenses (Detail) - PNMAC Capital Management LLC [Member] - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Related Party Transaction [Line Items] | ||||
Common overhead incurred by PCM and its affiliates | $ 1,268 | $ 1,585 | $ 1,839 | $ 3,125 |
Compensation | 165 | 120 | 330 | 240 |
Expenses incurred on the Company’s behalf, net | 7,804 | 1,438 | 9,140 | 2,709 |
Total expenses incurred in transaction with affiliates | 9,237 | 3,143 | 11,309 | 6,074 |
Payments and settlements during the period (1) | $ 74,441 | $ 136,352 | $ 187,182 | $ 170,035 |
Transactions with Related pa_13
Transactions with Related parties - Note Payable to PLS - Additional Information (Detail) - USD ($) | Dec. 19, 2016 | Jun. 30, 2021 | Dec. 31, 2020 |
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% | ||
PennyMac Financial Services, Inc. [Member] | |||
Related Party Transaction [Line Items] | |||
Number of common shares held by affiliate | 75,000 | 75,000 | |
Maximum [Member] | |||
Related Party Transaction [Line Items] | |||
Aggregate ESS transferred | $ 200,000 |
Transactions with Related pa_14
Transactions with Related parties - Summary of Investing Activity (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | |
ESS: | |||||
Interest income | $ 43,686 | $ 40,812 | $ 81,275 | $ 112,935 | |
Net gain (loss) included in Net gains (losses) on investments: | |||||
Net (loss) gain on investments | 128,405 | 488,934 | 211,596 | (326,197) | |
Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value | 0 | 0 | $ 131,750 | ||
PennyMac Financial Services, Inc. [Member] | |||||
ESS: | |||||
Received pursuant to a recapture agreement | 483 | 557 | 862 | ||
Repayments | 8,122 | 134,624 | 17,430 | ||
Interest income | 0 | 2,372 | 1,280 | 4,346 | |
Net gain (loss) included in Net gains (losses) on investments: | |||||
Valuation changes | (636) | 1,037 | (15,158) | ||
Recapture income | 535 | 614 | 916 | ||
Net (loss) gain on investments | 0 | $ (101) | 1,651 | $ (14,242) | |
Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value | $ 0 | $ 0 | $ 131,750 |
Transactions with Related pa_15
Transactions with Related parties - Summary of Financing Activities (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | |
Related Party Transaction [Line Items] | |||||
Interest expense | $ 79,202 | $ 61,048 | $ 155,510 | $ 142,116 | |
PennyMac Financial Services, Inc. [Member] | |||||
Related Party Transaction [Line Items] | |||||
Net repayments of assets sold under agreements to repurchase | 9,665 | 80,862 | 17,411 | ||
Interest expense | 0 | $ 792 | 387 | $ 2,010 | |
Assets sold to PFSI under agreement to repurchase | $ 0 | $ 0 | $ 80,862 |
Transactions with Related pa_16
Transactions with Related parties - Summary of Amounts Receivable From and Payable to PFSI (Detail) - PennyMac Financial Services, Inc. [Member] - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Due from PFSI: | ||
MSR recapture | $ 0 | $ 296 |
Other | 19,216 | 7,856 |
Due from Affiliates | 19,216 | 8,152 |
Due to PFSI: | ||
Allocated expenses and expenses and costs paid by PFSI on PMT’s behalf | 17,002 | 38,142 |
Fulfillment fees | 16,467 | 20,873 |
Management fees | 11,913 | 8,686 |
Correspondent production fees | 9,764 | 13,065 |
Loan servicing fees | 6,737 | 6,213 |
Interest on Assets sold to PFSI under agreement to repurchase | 0 | 26 |
Total expense due to affiliate | $ 61,883 | $ 87,005 |
Transactions with Related pa_17
Transactions with Related parties - Summary of Transfer Cash to Fund Loan Servicing Advances (Detail) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Related Party Transaction [Line Items] | ||
Loan servicing advances | $ 111,858 | $ 121,820 |
Real estate acquired in settlement of loans | 14,715 | 28,709 |
PennyMac Loan Services, LLC [Member] | ||
Related Party Transaction [Line Items] | ||
Loan servicing advances | 111,858 | 121,820 |
Real estate acquired in settlement of loans | 5,586 | 10,334 |
Servicing advances and real estate acquired | $ 117,444 | $ 132,154 |
Loan Sales - Summary of Cash Fl
Loan Sales - Summary of Cash Flows between Company and Transferees in Transfers Accounted for Sales (Detail) - Variable Interest Entity, Not Primary Beneficiary [Member] - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Cash flows: | ||||
Proceeds from sales | $ 30,181,949 | $ 20,172,571 | $ 63,500,106 | $ 39,890,722 |
Loan servicing fees received net of guarantee fees | $ 124,019 | $ 101,823 | $ 240,306 | $ 196,292 |
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 | Jun. 30, 2021 | Dec. 31, 2020 | |
Mortgage Loans On Real Estate [Line Items] | |||
UPB of loans outstanding | $ 198,133,144 | $ 170,502,361 | |
Collection Status (UPB) | |||
30-89 days delinquent | [1] | 893,841 | 1,235,981 |
90 or more days delinquent: | |||
Not in foreclosure | 2,957,384 | 4,428,915 | |
In foreclosure | 21,390 | 27,494 | |
Bankruptcy | 146,209 | 148,866 | |
Custodial funds managed by the Company | [2] | 4,937,986 | 6,086,724 |
COVID-19 [Member] | |||
90 or more days delinquent: | |||
30-89 days | 271,175 | 530,353 | |
90 days or more | $ 2,433,277 | $ 3,123,288 | |
[1] | Includes delinquent loans in COVID-19 pandemic-related forbearance plans that were requested by borrowers seeking payment relief in accordance with the CARES Act. | ||
[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 operations. |
Variable Interest Entities - Ad
Variable Interest Entities - Additional Information (Detail) - USD ($) $ in Thousands | Sep. 30, 2013 | Jun. 30, 2021 | Jun. 30, 2020 |
Mortgage Loans On Real Estate Schedule [Table] | |||
Purchase of mortgage-backed securities at fair value | $ 1,682,849 | $ 1,615,486 | |
Variable Interest Entity, Primary Beneficiary [Member] | Jumbo Mortgage Loan Financing [Member] | |||
Mortgage Loans On Real Estate Schedule [Table] | |||
Certificates issued | $ 537,000 | ||
Weighted yield | 3.90% | ||
Variable Interest Entity, Primary Beneficiary [Member] | Subordinate Mortgage Pass Through Securities [Member] | |||
Mortgage Loans On Real Estate Schedule [Table] | |||
Purchase of mortgage-backed securities at fair value | $ 247,700 | ||
Credit Risk Transfer Agreements [Member] | Minimum [Member] | |||
Mortgage Loans On Real Estate Schedule [Table] | |||
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 Schedule [Table] | |||
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 | 3 Months Ended | 6 Months Ended | ||||||||||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2027 | Jun. 30, 2026 | Jun. 30, 2025 | Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2022 | Dec. 31, 2020 | ||
CRT strips | ||||||||||||
Net investment income | $ 121,566 | $ 558,321 | $ 322,963 | $ 51,804 | ||||||||
Carrying value of CRT arrangements: | ||||||||||||
Derivative and credit risk transfer strip assets | 88,278 | 88,278 | $ 164,318 | |||||||||
Interest-only security payable at fair value | 13,185 | 13,185 | $ 13,185 | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 | 10,757 | |||
Variable Interest Entity, Primary Beneficiary [Member] | ||||||||||||
Carrying value of CRT arrangements: | ||||||||||||
Derivative and credit risk transfer strip assets | 44,951 | 44,951 | 58,699 | |||||||||
Interest-only security payable at fair value | 13,185 | 13,185 | 10,757 | |||||||||
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 | 1,795,130 | 16,478,185 | ||||||||||
Investments — Change in expected face amount of firm commitment to purchase CRT securities | (262,176) | 292,514 | ||||||||||
Net investment income | ||||||||||||
Net gains on loans acquired for sale — Fair value of firm commitment to purchase CRT securities recognized upon sale of loans | (7,579) | (34,228) | ||||||||||
CRT derivatives | ||||||||||||
Realized | 28,631 | 13,550 | 52,127 | 30,751 | ||||||||
Valuation changes | (9,431) | 122,535 | 3,443 | (178,408) | ||||||||
Gains (losses) recognized on gross derivative related to credit risk transactions | 19,200 | 136,085 | 55,570 | (147,657) | ||||||||
CRT strips | ||||||||||||
Realized | 31,368 | 13,355 | 63,972 | 28,105 | ||||||||
Valuation changes | 41,724 | 113,570 | 134,946 | (116,305) | ||||||||
Credit risk transfer strips | 73,092 | 126,925 | 198,918 | (88,200) | ||||||||
Interest-only security payable at fair value | 5,737 | (847) | (2,428) | 10,728 | ||||||||
Gains (losses) recognized on gross derivative related to credit risk transactions | 98,029 | 262,163 | 252,060 | (225,129) | ||||||||
Firm commitments to purchase CRT securities | 226,035 | (266,478) | ||||||||||
Gains (losses) recognized on CRT agreements upon firm commitments to purchase CRT securities | 98,029 | 488,198 | 252,060 | (491,607) | ||||||||
Interest income — Deposits securing CRT arrangements | 156 | 507 | 325 | 6,606 | ||||||||
Net investment income | 98,185 | 481,126 | 252,385 | (519,229) | ||||||||
Net (recoveries received) payments made to settle (recoveries) losses on CRT arrangements | (20,212) | $ 2,662 | (33,555) | $ 4,179 | ||||||||
Carrying value of CRT arrangements: | ||||||||||||
CRT derivatives | 35,238 | 35,238 | 31,795 | |||||||||
CRT strips | (67,846) | (67,846) | (202,792) | |||||||||
Derivative and credit risk transfer strip assets | (32,608) | (32,608) | (170,997) | |||||||||
Deposits securing CRT arrangements | 2,256,047 | 2,256,047 | 2,799,263 | |||||||||
Interest-only security payable at fair value | 13,185 | 13,185 | 10,757 | |||||||||
Derivative and credit risk transfer assets | 44,951 | 44,951 | 58,699 | |||||||||
Derivative and credit risk transfer strip assets pledged to secure | [1] | 2,256,047 | 2,256,047 | 2,799,263 | ||||||||
UPB of loans — funded CRT arrangements | 41,234,108 | 41,234,108 | 58,697,942 | |||||||||
Variable Interest Entity, Primary Beneficiary [Member] | Credit Risk Transfer Agreements [Member] | Purchase Commitment [Member] | ||||||||||||
Collection status (UPB): | ||||||||||||
Current | 39,006,255 | 39,006,255 | 54,990,381 | |||||||||
30-89 days delinquent | 374,674 | 374,674 | 710,872 | |||||||||
90-180 days delinquent | 279,480 | 279,480 | 693,315 | |||||||||
180 or more days delinquent | 1,569,913 | 1,569,913 | 2,297,365 | |||||||||
Foreclosure | 3,786 | 3,786 | 6,009 | |||||||||
Bankruptcy | 73,495 | 73,495 | 75,700 | |||||||||
Variable Interest Entity, Primary Beneficiary [Member] | Credit Risk Transfer Agreements [Member] | Purchase Commitment [Member] | COVID-19 [Member] | ||||||||||||
Collection status (UPB): | ||||||||||||
30-89 days | 135,537 | 135,537 | 383,028 | |||||||||
90-180 days delinquent | 215,248 | 215,248 | 546,344 | |||||||||
180 or more days delinquent | $ 1,314,802 | $ 1,314,802 | $ 1,944,663 | |||||||||
[1] | Deposits securing credit risk transfer strip liabilities also secure $77.6 million and $229.7 million in CRT strip and CRT derivative liabilities at June 30, 2021 and December 31, 2020, respectively |
Variable Interest Entities - _2
Variable Interest Entities - Summary of Credit Risk Transfer Agreements (Parenthetical) (Detail) - USD ($) $ in Millions | Jun. 30, 2021 | Dec. 31, 2020 |
Transfer Of Financial Assets Accounted For As Sales [Line Items] | ||
Deposits securing CRT strips and derivatives liabilities | $ 77.6 | $ 229.7 |
Variable Interest Entities - _3
Variable Interest Entities - Summary of Investment In Non Owner Occupied Loans (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Mortgage Loans On Real Estate [Line Items] | ||
Loans at fair value ($344,468 and $147,410 pledged to creditors, respectively) | $ 350,401 | $ 151,734 |
Asset-backed financing of variable interest entities at fair value | 321,875 | 134,726 |
Variable Interest Entities [Member] | ||
Mortgage Loans On Real Estate [Line Items] | ||
Loans at fair value ($344,468 and $147,410 pledged to creditors, respectively) | 343,186 | 143,707 |
Asset-backed financing of variable interest entities at fair value | 321,875 | $ 134,726 |
Variable Interest Entities [Member] | Non Owner Occupied Loans [Member] | ||
Mortgage Loans On Real Estate [Line Items] | ||
Loans at fair value ($344,468 and $147,410 pledged to creditors, respectively) | 253,277 | |
Asset-backed financing of variable interest entities at fair value | 240,383 | |
Certificates retained at fair value | $ 12,894 |
Variable Interest Entities - _4
Variable Interest Entities - Summary of Jumbo Mortgage Loan Financing (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | |
Mortgage Loans on Real Estate [Line Items] | |||||
Interest income | $ 43,686 | $ 40,812 | $ 81,275 | $ 112,935 | |
Interest expense | 79,202 | 61,048 | 155,510 | 142,116 | |
Loans at fair value | 350,401 | 350,401 | $ 151,734 | ||
Asset-backed financing of variable interest entities at fair value | 321,875 | 321,875 | 134,726 | ||
Variable Interest Entity, Primary Beneficiary [Member] | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Loans at fair value | 343,186 | 343,186 | 143,707 | ||
Asset-backed financing of variable interest entities at fair value | 321,875 | 321,875 | 134,726 | ||
Jumbo Mortgage Loan Financing [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Interest income | 1,368 | 2,712 | 3,267 | 5,353 | |
Interest expense | 1,996 | $ 2,470 | 2,164 | $ 6,997 | |
Loans at fair value | 89,909 | 89,909 | 143,707 | ||
Asset-backed financing of variable interest entities at fair value | 81,492 | 81,492 | 134,726 | ||
Certificates retained at fair value | $ 8,417 | $ 8,417 | $ 8,981 |
Fair Value - Summary of Financi
Fair Value - Summary of Financial Statement Items Measured at Fair Value on Recurring Basis (Detail) - USD ($) $ in Thousands | Jun. 30, 2027 | Jun. 30, 2026 | Jun. 30, 2025 | Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2022 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | |
Assets: | |||||||||||||
Short-term investments | $ 44,890 | $ 127,295 | |||||||||||
Mortgage-backed securities at fair value pledged to creditors | 2,309,864 | 2,213,922 | |||||||||||
Loans acquired for sale at fair value | 5,535,300 | 3,551,890 | |||||||||||
Excess servicing spread purchased from PFSI | 0 | 131,750 | |||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 121,060 | 223,648 | |||||||||||
Derivative assets, Netting | (32,782) | (59,330) | |||||||||||
Total derivative and credit risk transfer strip assets after netting | 88,278 | 164,318 | |||||||||||
Mortgage servicing rights at fair value ($2,522,717 and $1,742,905 pledged to creditors, respectively) | 2,551,373 | $ 2,441,214 | 1,755,236 | $ 1,189,605 | $ 1,157,326 | $ 1,535,705 | |||||||
Derivative assets | 121,060 | 223,648 | |||||||||||
Liabilities: | |||||||||||||
Asset-backed financing of variable interest entities at fair value | 321,875 | 134,726 | |||||||||||
Interest-only security payable at fair value | $ 13,185 | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 | 13,185 | 10,757 | |||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 56,630 | 150,213 | |||||||||||
Derivative liabilities, Netting | (37,795) | (89,532) | |||||||||||
Total derivative liabilities after netting | 18,835 | 60,681 | |||||||||||
Total derivative and credit risk transfer strips liabilities | 86,681 | 263,473 | |||||||||||
Derivative assets | 121,060 | 223,648 | |||||||||||
Swaption Purchase Contracts | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | [1] | 4,362 | 8,505 | ||||||||||
Derivative assets | [1] | 4,362 | 8,505 | ||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | [1] | 4,362 | 8,505 | ||||||||||
CRT Derivatives [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 44,951 | 58,699 | |||||||||||
Derivative assets, Netting | 0 | 0 | |||||||||||
Total derivative and credit risk transfer strip assets after netting | 44,951 | 58,699 | |||||||||||
Derivative assets | 44,951 | 58,699 | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 9,713 | 26,904 | |||||||||||
Derivative assets | 44,951 | 58,699 | |||||||||||
Interest Rate Lock Commitments [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 31,276 | 72,794 | |||||||||||
Total derivative and credit risk transfer strip assets after netting | 31,276 | 72,794 | |||||||||||
Derivative assets | 31,276 | 72,794 | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 1,528 | 408 | |||||||||||
Derivative assets | 31,276 | 72,794 | |||||||||||
Forward Purchase Contracts [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | [1] | 23,676 | 72,526 | ||||||||||
Derivative assets, Netting | 0 | 0 | |||||||||||
Total derivative and credit risk transfer strip assets after netting | 23,676 | 72,526 | |||||||||||
Derivative assets | [1] | 23,676 | 72,526 | ||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 1,260 | 17 | |||||||||||
Derivative liabilities, Netting | 0 | 0 | |||||||||||
Derivative assets | [1] | 23,676 | 72,526 | ||||||||||
Forward Sales Contracts [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | [1] | 5,891 | 92 | ||||||||||
Derivative assets, Netting | 0 | 0 | |||||||||||
Total derivative and credit risk transfer strip assets after netting | 5,891 | 92 | |||||||||||
Derivative assets | [1] | 5,891 | 92 | ||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 44,129 | 122,884 | |||||||||||
Derivative liabilities, Netting | 0 | 0 | |||||||||||
Derivative assets | [1] | 5,891 | 92 | ||||||||||
Call Options on Interest Rate Futures Purchase Contracts [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | [1] | 3,500 | 3,070 | ||||||||||
Derivative assets, Netting | 0 | 0 | |||||||||||
Total derivative and credit risk transfer strip assets after netting | 3,500 | 3,070 | |||||||||||
Derivative assets | [1] | 3,500 | 3,070 | ||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 0 | 0 | |||||||||||
Derivative assets | [1] | 3,500 | 3,070 | ||||||||||
Put Options On Interest Rate Futures Purchase Contracts | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | [1] | 1,401 | 4,742 | ||||||||||
Derivative assets, Netting | 0 | 0 | |||||||||||
Total derivative and credit risk transfer strip assets after netting | 1,401 | 4,742 | |||||||||||
Derivative assets | [1] | 1,401 | 4,742 | ||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 0 | 0 | |||||||||||
Derivative assets | [1] | 1,401 | 4,742 | ||||||||||
MBS Put Options [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | [1] | 3,602 | 3,220 | ||||||||||
Derivative assets, Netting | 0 | 0 | |||||||||||
Total derivative and credit risk transfer strip assets after netting | 3,602 | 3,220 | |||||||||||
Derivative assets | [1] | 3,602 | 3,220 | ||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 0 | 0 | |||||||||||
Derivative assets | [1] | 3,602 | 3,220 | ||||||||||
Recurring [Member] | |||||||||||||
Assets: | |||||||||||||
Short-term investments | 44,890 | 127,295 | |||||||||||
Mortgage-backed securities at fair value pledged to creditors | 2,309,864 | 2,213,922 | |||||||||||
Loans acquired for sale at fair value | 5,535,300 | 3,551,890 | |||||||||||
Loans at fair value | 350,401 | 151,734 | |||||||||||
Excess servicing spread purchased from PFSI | 131,750 | ||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 121,060 | 223,648 | |||||||||||
Derivative assets, Netting | (32,782) | (59,330) | |||||||||||
Total derivative and credit risk transfer strip assets after netting | 88,278 | 164,318 | |||||||||||
Mortgage servicing rights at fair value ($2,522,717 and $1,742,905 pledged to creditors, respectively) | 2,551,373 | 1,755,236 | |||||||||||
Total Assets | 10,880,106 | 8,096,145 | |||||||||||
Derivative assets | 121,060 | 223,648 | |||||||||||
Liabilities: | |||||||||||||
Asset-backed financing of variable interest entities at fair value | 321,875 | 134,726 | |||||||||||
Interest-only security payable at fair value | 13,185 | 10,757 | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 56,630 | 150,213 | |||||||||||
Derivative liabilities, Netting | (37,795) | (89,532) | |||||||||||
Total derivative liabilities after netting | 18,835 | 60,681 | |||||||||||
Total derivative and credit risk transfer strips liabilities | 86,681 | 263,473 | |||||||||||
Derivative assets | 121,060 | 223,648 | |||||||||||
Total liabilities | 421,741 | 408,956 | |||||||||||
Recurring [Member] | Credit Risk Transfer Strips [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 202,792 | ||||||||||||
Derivative assets | 202,792 | ||||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 67,846 | 26,904 | |||||||||||
Derivative assets | 202,792 | ||||||||||||
Recurring [Member] | Swaption Purchase Contracts | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 4,362 | 8,505 | |||||||||||
Derivative assets | 4,362 | 8,505 | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | 4,362 | 8,505 | |||||||||||
Recurring [Member] | CRT Derivatives [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 44,951 | 58,699 | |||||||||||
Derivative assets | 44,951 | 58,699 | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 9,713 | ||||||||||||
Derivative assets | 44,951 | 58,699 | |||||||||||
Recurring [Member] | Level 1 [Member] | |||||||||||||
Assets: | |||||||||||||
Short-term investments | 44,890 | 127,295 | |||||||||||
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 | ||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 4,901 | 7,812 | |||||||||||
Derivative assets, Netting | 0 | 0 | |||||||||||
Total derivative and credit risk transfer strip assets after netting | 4,901 | 7,812 | |||||||||||
Mortgage servicing rights at fair value ($2,522,717 and $1,742,905 pledged to creditors, respectively) | 0 | 0 | |||||||||||
Total Assets | 49,791 | 135,107 | |||||||||||
Derivative assets | 4,901 | 7,812 | |||||||||||
Liabilities: | |||||||||||||
Asset-backed financing of variable interest entities at fair value | 0 | 0 | |||||||||||
Interest-only security payable at fair value | 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 | 0 | |||||||||||
Derivative assets | 4,901 | 7,812 | |||||||||||
Total liabilities | 0 | 0 | |||||||||||
Recurring [Member] | Level 1 [Member] | Credit Risk Transfer Strips [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 0 | ||||||||||||
Derivative assets | 0 | ||||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 0 | 0 | |||||||||||
Derivative assets | 0 | ||||||||||||
Recurring [Member] | Level 1 [Member] | Swaption Purchase Contracts | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 0 | 0 | |||||||||||
Derivative assets | 0 | 0 | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | 0 | 0 | |||||||||||
Recurring [Member] | Level 1 [Member] | CRT Derivatives [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 0 | 0 | |||||||||||
Derivative assets | 0 | 0 | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 0 | ||||||||||||
Derivative assets | 0 | 0 | |||||||||||
Recurring [Member] | Level 2 [Member] | |||||||||||||
Assets: | |||||||||||||
Short-term investments | 0 | 0 | |||||||||||
Mortgage-backed securities at fair value pledged to creditors | 2,309,864 | 2,213,922 | |||||||||||
Loans acquired for sale at fair value | 5,504,871 | 3,518,015 | |||||||||||
Loans at fair value | 343,186 | 143,707 | |||||||||||
Excess servicing spread purchased from PFSI | 0 | ||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 39,932 | 84,343 | |||||||||||
Derivative assets, Netting | 0 | 0 | |||||||||||
Total derivative and credit risk transfer strip assets after netting | 39,932 | 84,343 | |||||||||||
Mortgage servicing rights at fair value ($2,522,717 and $1,742,905 pledged to creditors, respectively) | 0 | 0 | |||||||||||
Total Assets | 8,197,853 | 5,959,987 | |||||||||||
Derivative assets | 39,932 | 84,343 | |||||||||||
Liabilities: | |||||||||||||
Asset-backed financing of variable interest entities at fair value | 321,875 | 134,726 | |||||||||||
Interest-only security payable at fair value | 0 | 0 | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 45,389 | 122,901 | |||||||||||
Derivative liabilities, Netting | 0 | 0 | |||||||||||
Total derivative liabilities after netting | 45,389 | 122,901 | |||||||||||
Total derivative and credit risk transfer strips liabilities | 45,389 | 122,901 | |||||||||||
Derivative assets | 39,932 | 84,343 | |||||||||||
Total liabilities | 367,264 | 257,627 | |||||||||||
Recurring [Member] | Level 2 [Member] | Credit Risk Transfer Strips [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 0 | ||||||||||||
Derivative assets | 0 | ||||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 0 | 0 | |||||||||||
Derivative assets | 0 | ||||||||||||
Recurring [Member] | Level 2 [Member] | Swaption Purchase Contracts | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 4,362 | 8,505 | |||||||||||
Derivative assets | 4,362 | 8,505 | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | 4,362 | 8,505 | |||||||||||
Recurring [Member] | Level 2 [Member] | CRT Derivatives [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 0 | 0 | |||||||||||
Derivative assets | 0 | 0 | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 0 | ||||||||||||
Derivative assets | 0 | 0 | |||||||||||
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 | 30,429 | 33,875 | |||||||||||
Loans at fair value | 7,215 | 8,027 | |||||||||||
Excess servicing spread purchased from PFSI | 131,750 | ||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 76,227 | 131,493 | |||||||||||
Derivative assets, Netting | 0 | 0 | |||||||||||
Total derivative and credit risk transfer strip assets after netting | 76,227 | 131,493 | |||||||||||
Mortgage servicing rights at fair value ($2,522,717 and $1,742,905 pledged to creditors, respectively) | 2,551,373 | 1,755,236 | |||||||||||
Total Assets | 2,665,244 | 2,060,381 | |||||||||||
Derivative assets | 76,227 | 131,493 | |||||||||||
Liabilities: | |||||||||||||
Asset-backed financing of variable interest entities at fair value | 0 | 0 | |||||||||||
Interest-only security payable at fair value | 13,185 | 10,757 | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 11,241 | 27,312 | |||||||||||
Derivative liabilities, Netting | 0 | 0 | |||||||||||
Total derivative liabilities after netting | 11,241 | 27,312 | |||||||||||
Total derivative and credit risk transfer strips liabilities | 79,087 | 230,104 | |||||||||||
Derivative assets | 76,227 | 131,493 | |||||||||||
Total liabilities | 92,272 | 240,861 | |||||||||||
Recurring [Member] | Level 3 [Member] | Credit Risk Transfer Strips [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 202,792 | ||||||||||||
Derivative assets | 202,792 | ||||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 67,846 | 26,904 | |||||||||||
Derivative assets | 202,792 | ||||||||||||
Recurring [Member] | Level 3 [Member] | Swaption Purchase Contracts | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 0 | 0 | |||||||||||
Derivative assets | 0 | 0 | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | 0 | 0 | |||||||||||
Recurring [Member] | Level 3 [Member] | CRT Derivatives [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 44,951 | 58,699 | |||||||||||
Derivative assets | 44,951 | 58,699 | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 9,713 | ||||||||||||
Derivative assets | 44,951 | 58,699 | |||||||||||
Recurring [Member] | Interest Rate Lock Commitments [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 31,276 | 72,794 | |||||||||||
Derivative assets | 31,276 | 72,794 | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 1,528 | 408 | |||||||||||
Derivative assets | 31,276 | 72,794 | |||||||||||
Recurring [Member] | Interest Rate Lock Commitments [Member] | Level 1 [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 0 | 0 | |||||||||||
Derivative assets | 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 credit risk transfer strip assets: | |||||||||||||
Derivative assets | 0 | 0 | |||||||||||
Derivative assets | 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 credit risk transfer strip assets: | |||||||||||||
Derivative assets | 31,276 | 72,794 | |||||||||||
Derivative assets | 31,276 | 72,794 | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 1,528 | 408 | |||||||||||
Derivative assets | 31,276 | 72,794 | |||||||||||
Recurring [Member] | Forward Purchase Contracts [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 23,676 | 72,526 | |||||||||||
Derivative assets | 23,676 | 72,526 | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 1,260 | 17 | |||||||||||
Derivative assets | 23,676 | 72,526 | |||||||||||
Recurring [Member] | Forward Purchase Contracts [Member] | Level 1 [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 0 | 0 | |||||||||||
Derivative assets | 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 credit risk transfer strip assets: | |||||||||||||
Derivative assets | 23,676 | 72,526 | |||||||||||
Derivative assets | 23,676 | 72,526 | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 1,260 | 17 | |||||||||||
Derivative assets | 23,676 | 72,526 | |||||||||||
Recurring [Member] | Forward Purchase Contracts [Member] | Level 3 [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 0 | 0 | |||||||||||
Derivative assets | 0 | 0 | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 0 | 0 | |||||||||||
Derivative assets | 0 | 0 | |||||||||||
Recurring [Member] | Forward Sales Contracts [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 5,891 | 92 | |||||||||||
Derivative assets | 5,891 | 92 | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 44,129 | 122,884 | |||||||||||
Derivative assets | 5,891 | 92 | |||||||||||
Recurring [Member] | Forward Sales Contracts [Member] | Level 1 [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 0 | 0 | |||||||||||
Derivative assets | 0 | 0 | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 0 | 0 | |||||||||||
Derivative assets | 0 | 0 | |||||||||||
Recurring [Member] | Forward Sales Contracts [Member] | Level 2 [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 5,891 | 92 | |||||||||||
Derivative assets | 5,891 | 92 | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 44,129 | 122,884 | |||||||||||
Derivative assets | 5,891 | 92 | |||||||||||
Recurring [Member] | Forward Sales Contracts [Member] | Level 3 [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 0 | 0 | |||||||||||
Derivative assets | 0 | 0 | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative liabilities | 0 | 0 | |||||||||||
Derivative assets | 0 | 0 | |||||||||||
Recurring [Member] | Call Options on Interest Rate Futures Purchase Contracts [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 3,500 | ||||||||||||
Derivative assets | 3,500 | ||||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | 3,500 | ||||||||||||
Recurring [Member] | Call Options on Interest Rate Futures Purchase Contracts [Member] | Level 1 [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 3,500 | ||||||||||||
Derivative assets | 3,500 | ||||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | 3,500 | ||||||||||||
Recurring [Member] | Call Options on Interest Rate Futures Purchase Contracts [Member] | Level 2 [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 0 | ||||||||||||
Derivative assets | 0 | ||||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | 0 | ||||||||||||
Recurring [Member] | Call Options on Interest Rate Futures Purchase Contracts [Member] | Level 3 [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 0 | ||||||||||||
Derivative assets | 0 | ||||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | 0 | ||||||||||||
Recurring [Member] | Put Options On Interest Rate Futures Purchase Contracts | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 1,401 | ||||||||||||
Derivative assets | 1,401 | ||||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | 1,401 | ||||||||||||
Recurring [Member] | Put Options On Interest Rate Futures Purchase Contracts | Level 1 [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 1,401 | ||||||||||||
Derivative assets | 1,401 | ||||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | 1,401 | ||||||||||||
Recurring [Member] | Put Options On Interest Rate Futures Purchase Contracts | Level 2 [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 0 | ||||||||||||
Derivative assets | 0 | ||||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | 0 | ||||||||||||
Recurring [Member] | Put Options On Interest Rate Futures Purchase Contracts | Level 3 [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 0 | ||||||||||||
Derivative assets | 0 | ||||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | 0 | ||||||||||||
Recurring [Member] | MBS Put Options [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 3,602 | 3,220 | |||||||||||
Derivative assets | 3,602 | 3,220 | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | 3,602 | 3,220 | |||||||||||
Recurring [Member] | MBS Put Options [Member] | Level 1 [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 0 | 0 | |||||||||||
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 credit risk transfer strip assets: | |||||||||||||
Derivative assets | 3,602 | 3,220 | |||||||||||
Derivative assets | 3,602 | 3,220 | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | 3,602 | 3,220 | |||||||||||
Recurring [Member] | MBS Put Options [Member] | Level 3 [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 0 | 0 | |||||||||||
Derivative assets | 0 | 0 | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | 0 | 0 | |||||||||||
Recurring [Member] | MBS call options [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 2,401 | ||||||||||||
Derivative assets | 2,401 | ||||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | 2,401 | ||||||||||||
Recurring [Member] | MBS call options [Member] | Level 1 [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 0 | ||||||||||||
Derivative assets | 0 | ||||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | 0 | ||||||||||||
Recurring [Member] | MBS call options [Member] | Level 2 [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 2,401 | ||||||||||||
Derivative assets | 2,401 | ||||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | 2,401 | ||||||||||||
Recurring [Member] | MBS call options [Member] | Level 3 [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 0 | ||||||||||||
Derivative assets | 0 | ||||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | $ 0 | ||||||||||||
Recurring [Member] | Put Options on Interest Rate Futures [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 4,742 | ||||||||||||
Derivative assets | 4,742 | ||||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | 4,742 | ||||||||||||
Recurring [Member] | Put Options on Interest Rate Futures [Member] | Level 1 [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 4,742 | ||||||||||||
Derivative assets | 4,742 | ||||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | 4,742 | ||||||||||||
Recurring [Member] | Put Options on Interest Rate Futures [Member] | Level 2 [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 0 | ||||||||||||
Derivative assets | 0 | ||||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | 0 | ||||||||||||
Recurring [Member] | Put Options on Interest Rate Futures [Member] | Level 3 [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 0 | ||||||||||||
Derivative assets | 0 | ||||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | 0 | ||||||||||||
Recurring [Member] | Call Options on Interest Rate Futures [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 3,070 | ||||||||||||
Derivative assets | 3,070 | ||||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | 3,070 | ||||||||||||
Recurring [Member] | Call Options on Interest Rate Futures [Member] | Level 1 [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 3,070 | ||||||||||||
Derivative assets | 3,070 | ||||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | 3,070 | ||||||||||||
Recurring [Member] | Call Options on Interest Rate Futures [Member] | Level 2 [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 0 | ||||||||||||
Derivative assets | 0 | ||||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | 0 | ||||||||||||
Recurring [Member] | Call Options on Interest Rate Futures [Member] | Level 3 [Member] | |||||||||||||
Derivative and credit risk transfer strip assets: | |||||||||||||
Derivative assets | 0 | ||||||||||||
Derivative assets | 0 | ||||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||||
Derivative assets | $ 0 | ||||||||||||
[1] | All hedging derivatives are interest rate derivatives that 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 | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Assets: | ||||
Amounts received pursuant to sales of loans | $ 412,938 | $ 203,127 | $ 820,634 | $ 451,949 |
Transfers: | ||||
Loans to REO | 0 | (1,166) | ||
Reclassification of MSRs to loans at fair value resulting from consolidation of a VIE | 3,281 | 0 | ||
Liabilities: | ||||
Amounts received pursuant to sales of loans | 412,938 | 203,127 | 820,634 | 451,949 |
Interest Rate Lock Commitments [Member] | ||||
Assets: | ||||
Beginning balance | 72,386 | |||
Transfers: | ||||
Ending balance | 29,748 | 29,748 | ||
Liabilities: | ||||
Beginning balance | 72,386 | |||
Recurring [Member] | ||||
Assets: | ||||
Beginning balance | 2,353,498 | 660,230 | 2,044,019 | |
Purchases and issuances | 71,774 | 193,043 | 77,968 | 295,311 |
Repayments and sales | (78,525) | 49,620 | (285,896) | 103,624 |
Amounts received pursuant to sales of loans | 412,938 | 195,548 | 820,634 | 417,721 |
Capitalization of interest | 2,372 | 1,478 | 4,346 | |
ESS received pursuant to a recapture agreement with PFSI | 483 | 557 | 862 | |
Repayments and sales | 78,525 | (49,620) | 285,896 | (103,624) |
Changes in instrument- specific credit risk | 0 | 0 | 0 | 0 |
Other factors | (101,692) | 412,744 | 64,934 | (1,117,616) |
Total | (101,692) | 412,744 | 64,934 | (1,117,616) |
Transfers: | ||||
Loans from REO | 13 | 79 | ||
Interest rate lock commitments to loans acquired for sale (2) | (68,568) | (263,528) | 79,407 | (388,862) |
Ending balance | 2,586,157 | 1,151,272 | 2,586,157 | 1,151,272 |
Changes in fair value recognized during the quarter relating to assets still held at June 30, 2021 | (237,551) | 373,586 | 147,153 | (1,292,255) |
Loans to REO | (885) | |||
Reclassification of MSRs to loans at fair value resulting from consolidation of a VIE | (3,281) | (3,281) | ||
Liabilities: | ||||
Beginning balance | 2,353,498 | 660,230 | 2,044,019 | |
Purchases and issuances | 71,774 | 193,043 | 77,968 | 295,311 |
Repayments and sales | 78,525 | (49,620) | 285,896 | (103,624) |
Capitalization of interest | 2,372 | 1,478 | 4,346 | |
ESS received pursuant to a recapture agreement with PFSI | 483 | 557 | 862 | |
Amounts received pursuant to sales of loans | 412,938 | 195,548 | 820,634 | 417,721 |
Changes in fair value recognized during the quarter relating to assets still held at June 30, 2021 | (237,551) | 373,586 | 147,153 | (1,292,255) |
Recurring [Member] | Previously Reported | ||||
Assets: | ||||
Beginning balance | 1,830,277 | |||
Liabilities: | ||||
Beginning balance | 1,830,277 | |||
Recurring [Member] | Repurchase Agreements | ||||
Assets: | ||||
Beginning balance | 5,275 | 5,275 | ||
Purchases and issuances | 0 | 0 | ||
Repayments and sales | 0 | 0 | ||
Amounts received pursuant to sales of loans | 0 | 0 | ||
Capitalization of interest | 0 | 0 | ||
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | ||
Repayments and sales | 0 | 0 | ||
Changes in instrument- specific credit risk | 0 | 0 | ||
Other factors | 0 | 0 | ||
Total | 0 | 0 | ||
Transfers: | ||||
Interest rate lock commitments to loans acquired for sale (2) | 0 | 0 | ||
Ending balance | 5,275 | 5,275 | ||
Changes in fair value recognized during the quarter relating to assets still held at June 30, 2021 | 0 | 0 | ||
Loans to REO | 0 | |||
Liabilities: | ||||
Beginning balance | 5,275 | 5,275 | ||
Purchases and issuances | 0 | 0 | ||
Repayments and sales | 0 | 0 | ||
Capitalization of interest | 0 | 0 | ||
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | ||
Amounts received pursuant to sales of loans | 0 | 0 | ||
Changes in fair value recognized during the quarter relating to assets still held at June 30, 2021 | 0 | 0 | ||
Recurring [Member] | Credit Risk Transfer Derivatives [Member] | ||||
Assets: | ||||
Beginning balance | 44,676 | (185,933) | 31,795 | 115,863 |
Purchases and issuances | 0 | 0 | 0 | 0 |
Repayments and sales | (28,638) | 14,078 | (52,127) | 32,132 |
Amounts received pursuant to sales of loans | 0 | 0 | 0 | 0 |
Capitalization of interest | 0 | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | |
Repayments and sales | 28,638 | (14,078) | 52,127 | (32,132) |
Changes in instrument- specific credit risk | 0 | 0 | 0 | 0 |
Other factors | 19,200 | 136,085 | 55,570 | (147,657) |
Total | 19,200 | 136,085 | 55,570 | (147,657) |
Transfers: | ||||
Loans from REO | 0 | 0 | ||
Interest rate lock commitments to loans acquired for sale (2) | 0 | 0 | 0 | 0 |
Ending balance | 35,238 | (63,926) | 35,238 | (63,926) |
Changes in fair value recognized during the quarter relating to assets still held at June 30, 2021 | (9,431) | 122,535 | 3,443 | (178,408) |
Loans to REO | 0 | |||
Reclassification of MSRs to loans at fair value resulting from consolidation of a VIE | 0 | 0 | ||
Liabilities: | ||||
Beginning balance | 44,676 | (185,933) | 31,795 | 115,863 |
Purchases and issuances | 0 | 0 | 0 | 0 |
Repayments and sales | 28,638 | (14,078) | 52,127 | (32,132) |
Capitalization of interest | 0 | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | |
Amounts received pursuant to sales of loans | 0 | 0 | 0 | 0 |
Changes in fair value recognized during the quarter relating to assets still held at June 30, 2021 | (9,431) | 122,535 | 3,443 | (178,408) |
Recurring [Member] | Credit Risk Transfer Strips [Member] | ||||
Assets: | ||||
Beginning balance | (109,570) | (174,945) | (202,792) | 54,930 |
Purchases and issuances | 0 | 0 | 0 | 0 |
Repayments and sales | (31,368) | 13,355 | (63,972) | 28,105 |
Amounts received pursuant to sales of loans | 0 | 0 | 0 | 0 |
Capitalization of interest | 0 | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | |
Repayments and sales | 31,368 | (13,355) | 63,972 | (28,105) |
Changes in instrument- specific credit risk | 0 | 0 | 0 | 0 |
Other factors | 73,092 | 126,925 | 198,918 | (88,200) |
Total | 73,092 | 126,925 | 198,918 | (88,200) |
Transfers: | ||||
Loans from REO | 0 | 0 | ||
Interest rate lock commitments to loans acquired for sale (2) | 0 | 0 | 0 | 0 |
Ending balance | (67,846) | (61,375) | (67,846) | (61,375) |
Changes in fair value recognized during the quarter relating to assets still held at June 30, 2021 | 41,724 | 113,570 | 134,946 | (116,305) |
Loans to REO | 0 | |||
Reclassification of MSRs to loans at fair value resulting from consolidation of a VIE | 0 | 0 | ||
Liabilities: | ||||
Beginning balance | (109,570) | (174,945) | (202,792) | 54,930 |
Purchases and issuances | 0 | 0 | 0 | 0 |
Repayments and sales | 31,368 | (13,355) | 63,972 | (28,105) |
Capitalization of interest | 0 | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | |
Amounts received pursuant to sales of loans | 0 | 0 | 0 | 0 |
Changes in fair value recognized during the quarter relating to assets still held at June 30, 2021 | 41,724 | 113,570 | 134,946 | (116,305) |
Recurring [Member] | Loans At Fair Value [Member] | ||||
Assets: | ||||
Beginning balance | 7,802 | 9,122 | 8,027 | 14,426 |
Purchases and issuances | 0 | 0 | 0 | 1,058 |
Repayments and sales | (730) | 590 | (1,314) | 4,925 |
Amounts received pursuant to sales of loans | 0 | 0 | 0 | 0 |
Capitalization of interest | 0 | 198 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | |
Repayments and sales | 730 | (590) | 1,314 | (4,925) |
Changes in instrument- specific credit risk | 0 | 0 | 0 | 0 |
Other factors | 130 | (121) | 225 | (1,263) |
Total | 130 | (121) | 225 | (1,263) |
Transfers: | ||||
Loans from REO | 13 | 79 | ||
Interest rate lock commitments to loans acquired for sale (2) | 0 | 0 | 0 | 0 |
Ending balance | 7,215 | 8,411 | 7,215 | 8,411 |
Changes in fair value recognized during the quarter relating to assets still held at June 30, 2021 | 74 | (322) | 75 | (1,157) |
Loans to REO | (885) | |||
Reclassification of MSRs to loans at fair value resulting from consolidation of a VIE | 0 | 0 | ||
Liabilities: | ||||
Beginning balance | 7,802 | 9,122 | 8,027 | 14,426 |
Purchases and issuances | 0 | 0 | 0 | 1,058 |
Repayments and sales | 730 | (590) | 1,314 | (4,925) |
Capitalization of interest | 0 | 198 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | |
Amounts received pursuant to sales of loans | 0 | 0 | 0 | 0 |
Changes in fair value recognized during the quarter relating to assets still held at June 30, 2021 | 74 | (322) | 75 | (1,157) |
Recurring [Member] | Mortgage servicing rights [Member] | ||||
Assets: | ||||
Beginning balance | 2,441,214 | 1,157,326 | 1,535,705 | |
Purchases and issuances | 0 | 0 | 0 | 0 |
Repayments and sales | 0 | 0 | 0 | 0 |
Amounts received pursuant to sales of loans | 412,938 | 203,127 | 820,634 | 451,949 |
Capitalization of interest | 0 | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | |
Repayments and sales | 0 | 0 | 0 | 0 |
Changes in instrument- specific credit risk | 0 | 0 | 0 | 0 |
Other factors | (299,498) | (170,848) | (21,216) | (798,049) |
Total | (299,498) | (170,848) | (21,216) | (798,049) |
Transfers: | ||||
Loans from REO | 0 | 0 | ||
Interest rate lock commitments to loans acquired for sale (2) | 0 | 0 | 0 | 0 |
Ending balance | 2,551,373 | 1,189,605 | 2,551,373 | 1,189,605 |
Changes in fair value recognized during the quarter relating to assets still held at June 30, 2021 | (299,498) | (170,848) | (21,216) | (798,049) |
Loans to REO | 0 | |||
Reclassification of MSRs to loans at fair value resulting from consolidation of a VIE | (3,281) | (3,281) | ||
Liabilities: | ||||
Beginning balance | 2,441,214 | 1,157,326 | 1,535,705 | |
Purchases and issuances | 0 | 0 | 0 | 0 |
Repayments and sales | 0 | 0 | 0 | 0 |
Capitalization of interest | 0 | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | |
Amounts received pursuant to sales of loans | 412,938 | 203,127 | 820,634 | 451,949 |
Changes in fair value recognized during the quarter relating to assets still held at June 30, 2021 | (299,498) | (170,848) | (21,216) | (798,049) |
Recurring [Member] | Mortgage servicing rights [Member] | Previously Reported | ||||
Assets: | ||||
Beginning balance | 1,755,236 | |||
Liabilities: | ||||
Beginning balance | 1,755,236 | |||
Recurring [Member] | Excess Spread Investment [Member] | ||||
Assets: | ||||
Beginning balance | 157,109 | 131,750 | 178,586 | |
Purchases and issuances | 0 | 0 | 0 | |
Repayments and sales | 8,122 | (134,624) | 17,430 | |
Amounts received pursuant to sales of loans | 0 | 0 | 0 | |
Capitalization of interest | 2,372 | 1,280 | 4,346 | |
ESS received pursuant to a recapture agreement with PFSI | 483 | 557 | 862 | |
Repayments and sales | (8,122) | 134,624 | (17,430) | |
Changes in instrument- specific credit risk | 0 | 0 | 0 | |
Other factors | (636) | 1,037 | (15,158) | |
Total | (636) | 1,037 | (15,158) | |
Transfers: | ||||
Loans from REO | 0 | |||
Interest rate lock commitments to loans acquired for sale (2) | 0 | 0 | 0 | |
Ending balance | 0 | 151,206 | 0 | 151,206 |
Changes in fair value recognized during the quarter relating to assets still held at June 30, 2021 | (636) | 0 | (15,158) | |
Loans to REO | 0 | |||
Reclassification of MSRs to loans at fair value resulting from consolidation of a VIE | 0 | |||
Liabilities: | ||||
Beginning balance | 157,109 | 131,750 | 178,586 | |
Purchases and issuances | 0 | 0 | 0 | |
Repayments and sales | (8,122) | 134,624 | (17,430) | |
Capitalization of interest | 2,372 | 1,280 | 4,346 | |
ESS received pursuant to a recapture agreement with PFSI | 483 | 557 | 862 | |
Amounts received pursuant to sales of loans | 0 | 0 | 0 | |
Changes in fair value recognized during the quarter relating to assets still held at June 30, 2021 | (636) | 0 | (15,158) | |
Recurring [Member] | Firm Commitment To Purchase Credit Risk Transfer Securities | ||||
Assets: | ||||
Beginning balance | (409,649) | 109,513 | ||
Purchases and issuances | 0 | 0 | ||
Repayments and sales | 0 | 0 | ||
Amounts received pursuant to sales of loans | (7,579) | (34,228) | ||
Capitalization of interest | 0 | 0 | ||
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | ||
Repayments and sales | 0 | 0 | ||
Changes in instrument- specific credit risk | 0 | 0 | ||
Other factors | 226,035 | (266,478) | ||
Total | 226,035 | (266,478) | ||
Transfers: | ||||
Interest rate lock commitments to loans acquired for sale (2) | 0 | 0 | ||
Ending balance | (191,193) | (191,193) | ||
Changes in fair value recognized during the quarter relating to assets still held at June 30, 2021 | 226,035 | (266,478) | ||
Loans to REO | 0 | |||
Liabilities: | ||||
Beginning balance | (409,649) | 109,513 | ||
Purchases and issuances | 0 | 0 | ||
Repayments and sales | 0 | 0 | ||
Capitalization of interest | 0 | 0 | ||
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | ||
Amounts received pursuant to sales of loans | (7,579) | (34,228) | ||
Changes in fair value recognized during the quarter relating to assets still held at June 30, 2021 | 226,035 | (266,478) | ||
Recurring [Member] | Loans acquired for sale [Member] | ||||
Assets: | ||||
Beginning balance | 34,234 | 22,541 | 33,875 | 18,567 |
Purchases and issuances | 14,173 | 20,996 | 30,071 | 32,287 |
Repayments and sales | (17,789) | 13,475 | (33,859) | 21,032 |
Amounts received pursuant to sales of loans | 0 | 0 | 0 | 0 |
Capitalization of interest | 0 | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | |
Repayments and sales | 17,789 | (13,475) | 33,859 | (21,032) |
Changes in instrument- specific credit risk | 0 | 0 | 0 | 0 |
Other factors | (189) | (749) | 342 | (509) |
Total | (189) | (749) | 342 | (509) |
Transfers: | ||||
Loans from REO | 0 | 0 | ||
Interest rate lock commitments to loans acquired for sale (2) | 0 | 0 | 0 | 0 |
Ending balance | 30,429 | 29,313 | 30,429 | 29,313 |
Changes in fair value recognized during the quarter relating to assets still held at June 30, 2021 | (168) | (704) | 157 | (656) |
Loans to REO | 0 | |||
Reclassification of MSRs to loans at fair value resulting from consolidation of a VIE | 0 | 0 | ||
Liabilities: | ||||
Beginning balance | 34,234 | 22,541 | 33,875 | 18,567 |
Purchases and issuances | 14,173 | 20,996 | 30,071 | 32,287 |
Repayments and sales | 17,789 | (13,475) | 33,859 | (21,032) |
Capitalization of interest | 0 | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | |
Amounts received pursuant to sales of loans | 0 | 0 | 0 | 0 |
Changes in fair value recognized during the quarter relating to assets still held at June 30, 2021 | (168) | (704) | 157 | (656) |
Recurring [Member] | Interest Rate Lock Commitments [Member] | ||||
Assets: | ||||
Beginning balance | (64,858) | 79,384 | 72,386 | 11,154 |
Purchases and issuances | 57,601 | 172,047 | 47,897 | 261,966 |
Repayments and sales | 0 | 0 | 0 | 0 |
Amounts received pursuant to sales of loans | 0 | 0 | 0 | 0 |
Capitalization of interest | 0 | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | |
Repayments and sales | 0 | 0 | 0 | 0 |
Changes in instrument- specific credit risk | 0 | 0 | 0 | 0 |
Other factors | 105,573 | 96,053 | (169,942) | 199,698 |
Total | 105,573 | 96,053 | (169,942) | 199,698 |
Transfers: | ||||
Loans from REO | 0 | 0 | ||
Interest rate lock commitments to loans acquired for sale (2) | (68,568) | (263,528) | 79,407 | (388,862) |
Ending balance | 29,748 | 83,956 | 29,748 | 83,956 |
Changes in fair value recognized during the quarter relating to assets still held at June 30, 2021 | 29,748 | 83,956 | 29,748 | 83,956 |
Loans to REO | 0 | |||
Reclassification of MSRs to loans at fair value resulting from consolidation of a VIE | 0 | 0 | ||
Liabilities: | ||||
Beginning balance | (64,858) | 79,384 | 72,386 | 11,154 |
Purchases and issuances | 57,601 | 172,047 | 47,897 | 261,966 |
Repayments and sales | 0 | 0 | 0 | 0 |
Capitalization of interest | 0 | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | 0 | |
Amounts received pursuant to sales of loans | 0 | 0 | 0 | 0 |
Changes in fair value recognized during the quarter relating to assets still held at June 30, 2021 | 29,748 | 83,956 | 29,748 | 83,956 |
Recurring [Member] | Interest-only security payable [Member] | ||||
Assets: | ||||
Changes in instrument-specific credit risk\Other factors | (5,737) | 847 | 2,428 | (10,728) |
Beginning balance | 13,185 | 14,981 | 13,185 | 14,981 |
Changes in fair value recognized during the quarter relating to liability outstanding at June 30, 2021 | (5,737) | 847 | 2,428 | (10,728) |
Ending balance | 13,185 | 14,981 | 13,185 | 14,981 |
Liabilities: | ||||
Beginning balance | 13,185 | 14,981 | 13,185 | 14,981 |
Beginning balance | 18,922 | 14,134 | 10,757 | 25,709 |
Beginning balance | 13,185 | 14,981 | 13,185 | 14,981 |
Changes in instrument-specific credit risk\Other factors | (5,737) | 847 | 2,428 | (10,728) |
Changes in fair value recognized during the quarter relating to liability outstanding at June 30, 2021 | (5,737) | 847 | 2,428 | (10,728) |
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk\Other factors | (5,737) | 847 | 2,428 | (10,728) |
Ending balance | 13,185 | 14,981 | 13,185 | 14,981 |
Changes in fair value recognized during the quarter relating to liability outstanding at June 30, 2021 | (5,737) | 847 | 2,428 | (10,728) |
Recurring [Member] | Interest-only security payable [Member] | Credit Risk [Member] | ||||
Assets: | ||||
Changes in instrument-specific credit risk\Other factors | 0 | 0 | 0 | 0 |
Liabilities: | ||||
Changes in instrument-specific credit risk\Other factors | 0 | 0 | 0 | 0 |
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk\Other factors | 0 | 0 | 0 | 0 |
Recurring [Member] | Interest-only security payable [Member] | Other Factors [Member] | ||||
Assets: | ||||
Changes in instrument-specific credit risk\Other factors | (5,737) | 847 | 2,428 | (10,728) |
Liabilities: | ||||
Changes in instrument-specific credit risk\Other factors | (5,737) | 847 | 2,428 | (10,728) |
Changes in fair value included in income arising from: | ||||
Changes in instrument-specific credit risk\Other factors | $ (5,737) | $ 847 | $ 2,428 | $ (10,728) |
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 | Jun. 30, 2021 | Dec. 31, 2020 |
Loans, fair value [Abstract] | ||
Fair value | $ 350,401 | $ 151,734 |
Fair value, Total | 350,401 | 151,734 |
Loans, principal amount due upon maturity [Abstract] | ||
Principal amount due upon maturity | 353,521 | 154,124 |
Loans, difference, [Abstract] | ||
Difference | (3,120) | (2,390) |
Loans acquired for sale at fair value [Member] | ||
Loans, fair value [Abstract] | ||
Current through 89 days delinquent | 5,530,359 | 3,545,100 |
90 or more days delinquent, not in foreclosure | 4,746 | 6,591 |
90 or more days delinquent, in foreclosure | 195 | 199 |
Fair value | 4,941 | 6,790 |
Fair value, Total | 5,535,300 | 3,551,890 |
Loans, principal amount due upon maturity [Abstract] | ||
Current through 89 days delinquent | 5,327,754 | 3,377,970 |
90 or more days delinquent, not in foreclosure | 5,039 | 8,006 |
90 or more days delinquent, in foreclosure | 235 | 235 |
Principal amount due upon maturity | 5,333,028 | 3,386,211 |
Loans, difference, [Abstract] | ||
Current through 89 days delinquent | 202,605 | 167,130 |
90 or more days delinquent, not in foreclosure | (293) | (1,415) |
90 or more days delinquent, in foreclosure | (40) | (36) |
Difference | 202,272 | 165,679 |
Loans acquired for sale at fair value [Member] | Nonperforming mortgage loans [Member] | ||
Loans, principal amount due upon maturity [Abstract] | ||
Principal amount due upon maturity | 5,274 | 8,241 |
Loans, difference, [Abstract] | ||
Difference | (333) | (1,451) |
Loans at Fair Value Held in Consolidated VIE [Member] | ||
Loans, fair value [Abstract] | ||
Current through 89 days delinquent | 340,833 | 140,052 |
90 or more days delinquent, not in foreclosure | 2,353 | 3,655 |
90 or more days delinquent, in foreclosure | 0 | 0 |
Fair value | 343,186 | 143,707 |
Loans, principal amount due upon maturity [Abstract] | ||
Current through 89 days delinquent | 330,541 | 128,787 |
90 or more days delinquent, not in foreclosure | 2,884 | 4,240 |
90 or more days delinquent, in foreclosure | 0 | 0 |
Principal amount due upon maturity | 333,425 | 133,027 |
Loans, difference, [Abstract] | ||
Current through 89 days delinquent | 10,292 | 11,265 |
90 or more days delinquent, not in foreclosure | (531) | (585) |
90 or more days delinquent, in foreclosure | 0 | 0 |
Difference | 9,761 | 10,680 |
Loans at Fair Value Held in Consolidated VIE [Member] | Nonperforming mortgage loans [Member] | ||
Loans, fair value [Abstract] | ||
Fair value | 2,353 | 3,655 |
Loans, principal amount due upon maturity [Abstract] | ||
Principal amount due upon maturity | 2,884 | 4,240 |
Loans, difference, [Abstract] | ||
Difference | (531) | (585) |
Distressed Loans at Fair Value [Member] | ||
Loans, fair value [Abstract] | ||
Current through 89 days delinquent | 2,038 | 2,071 |
90 or more days delinquent, not in foreclosure | 2,873 | 3,714 |
90 or more days delinquent, in foreclosure | 2,304 | 2,242 |
Fair value | 7,215 | 8,027 |
Loans, principal amount due upon maturity [Abstract] | ||
Current through 89 days delinquent | 3,936 | 4,099 |
90 or more days delinquent, not in foreclosure | 9,826 | 12,357 |
90 or more days delinquent, in foreclosure | 6,334 | 4,641 |
Principal amount due upon maturity | 20,096 | 21,097 |
Loans, difference, [Abstract] | ||
Current through 89 days delinquent | (1,898) | (2,028) |
90 or more days delinquent, not in foreclosure | (6,953) | (8,643) |
90 or more days delinquent, in foreclosure | (4,030) | (2,399) |
Difference | (12,881) | (13,070) |
Distressed Loans at Fair Value [Member] | Nonperforming mortgage loans [Member] | ||
Loans, fair value [Abstract] | ||
Fair value | 5,177 | 5,956 |
Loans, principal amount due upon maturity [Abstract] | ||
Principal amount due upon maturity | 16,160 | 16,998 |
Loans, difference, [Abstract] | ||
Difference | $ (10,983) | $ (11,042) |
Fair Value - Summary of Chang_2
Fair Value - Summary of Changes in Fair Value Included in Current Period Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | $ 0 | $ 0 | ||
Net Gains on Loans Acquired for Sale | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | ||
Net Gain (Loss) on Investments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | ||
Fees And Commissions Mortgage Banking And Servicing | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | ||
Interest Income | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | ||
Interest-only security payable [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 5,737 | (847) | $ (2,428) | $ 10,728 |
Interest-only security payable [Member] | Net Gains on Loans Acquired for Sale | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | 0 | 0 |
Interest-only security payable [Member] | Net Gain (Loss) on Investments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 5,737 | (847) | (2,428) | 10,728 |
Interest-only security payable [Member] | Fees And Commissions Mortgage Banking And Servicing | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | 0 | 0 |
Interest-only security payable [Member] | Interest Income | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | 0 | 0 |
Asset-Backed Financing of VIEs at Fair Value [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 337 | 442 | 2,027 | (1,329) |
Asset-Backed Financing of VIEs at Fair Value [Member] | Net Gains on Loans Acquired for Sale | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | 0 | 0 |
Asset-Backed Financing of VIEs at Fair Value [Member] | Net Gain (Loss) on Investments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 1,582 | (162) | 2,483 | 1,766 |
Asset-Backed Financing of VIEs at Fair Value [Member] | Fees And Commissions Mortgage Banking And Servicing | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | 0 | 0 |
Asset-Backed Financing of VIEs at Fair Value [Member] | Interest Income | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | (1,245) | 604 | (456) | (3,095) |
Liabilities, Total [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 6,074 | (405) | (401) | 9,399 |
Liabilities, Total [Member] | Net Gains on Loans Acquired for Sale | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | 0 | 0 |
Liabilities, Total [Member] | Net Gain (Loss) on Investments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 7,319 | (1,009) | 55 | 12,494 |
Liabilities, Total [Member] | Fees And Commissions Mortgage Banking And Servicing | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | 0 | 0 |
Liabilities, Total [Member] | Interest Income | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | (1,245) | 604 | (456) | (3,095) |
Credit Risk Transfer Strips [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 73,092 | 126,925 | 198,918 | (88,200) |
Credit Risk Transfer Strips [Member] | Net Gains on Loans Acquired for Sale | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | 0 | 0 |
Credit Risk Transfer Strips [Member] | Net Gain (Loss) on Investments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 73,092 | 126,925 | 198,918 | (88,200) |
Credit Risk Transfer Strips [Member] | Fees And Commissions Mortgage Banking And Servicing | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | 0 | 0 |
Credit Risk Transfer Strips [Member] | Interest Income | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | 0 | 0 |
Mortgage-backed securities at fair value [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 27,369 | 5,205 | (46,271) | 109,170 |
Mortgage-backed securities at fair value [Member] | Net Gains on Loans Acquired for Sale | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | 0 | 0 |
Mortgage-backed securities at fair value [Member] | Net Gain (Loss) on Investments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 29,252 | 17,064 | (41,865) | 133,031 |
Mortgage-backed securities at fair value [Member] | Fees And Commissions Mortgage Banking And Servicing | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | 0 | 0 |
Mortgage-backed securities at fair value [Member] | Interest Income | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | (1,883) | (11,859) | (4,406) | (23,861) |
Loans acquired for sale at fair value [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 99,339 | 257,469 | (7,325) | 405,027 |
Loans acquired for sale at fair value [Member] | Net Gains on Loans Acquired for Sale | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 99,339 | 257,469 | (7,325) | 405,027 |
Loans acquired for sale at fair value [Member] | Net Gain (Loss) on Investments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | 0 | 0 |
Loans acquired for sale at fair value [Member] | Fees And Commissions Mortgage Banking And Servicing | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | 0 | 0 |
Loans acquired for sale at fair value [Member] | Interest Income | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | 0 | 0 |
Loans at fair value [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | (29) | 1,220 | (1,455) | (2,498) |
Loans at fair value [Member] | Net Gains on Loans Acquired for Sale | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | 0 | 0 |
Loans at fair value [Member] | Net Gain (Loss) on Investments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | (533) | 674 | (2,784) | (3,337) |
Loans at fair value [Member] | Fees And Commissions Mortgage Banking And Servicing | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | 0 | 0 |
Loans at fair value [Member] | Interest Income | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 504 | 546 | 1,329 | 839 |
MSRs at fair value [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | (299,498) | (170,848) | (21,216) | (798,049) |
MSRs at fair value [Member] | Net Gains on Loans Acquired for Sale | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | 0 | 0 |
MSRs at fair value [Member] | Net Gain (Loss) on Investments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | 0 | 0 |
MSRs at fair value [Member] | Fees And Commissions Mortgage Banking And Servicing | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | (299,498) | (170,848) | (21,216) | (798,049) |
MSRs at fair value [Member] | Interest Income | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | 0 | 0 |
Assets, Total [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | (99,727) | 440,163 | 124,968 | (686,068) |
Assets, Total [Member] | Net Gains on Loans Acquired for Sale | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 99,339 | 249,890 | (7,325) | 370,799 |
Assets, Total [Member] | Net Gain (Loss) on Investments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 101,811 | 370,062 | 155,306 | (240,142) |
Assets, Total [Member] | Fees And Commissions Mortgage Banking And Servicing | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | (299,498) | (170,848) | (21,216) | (798,049) |
Assets, Total [Member] | Interest Income | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | $ (1,379) | (8,941) | (1,797) | (18,676) |
Excess Spread Investment [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 1,736 | 2,317 | (10,812) | |
Excess Spread Investment [Member] | Net Gains on Loans Acquired for Sale | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | 0 | |
Excess Spread Investment [Member] | Net Gain (Loss) on Investments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | (636) | 1,037 | (15,158) | |
Excess Spread Investment [Member] | Fees And Commissions Mortgage Banking And Servicing | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | 0 | |
Excess Spread Investment [Member] | Interest Income | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 2,372 | $ 1,280 | 4,346 | |
Firm Commitment To Purchase Credit Risk Transfer Securities | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 218,456 | (300,706) | ||
Firm Commitment To Purchase Credit Risk Transfer Securities | Net Gains on Loans Acquired for Sale | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | (7,579) | (34,228) | ||
Firm Commitment To Purchase Credit Risk Transfer Securities | Net Gain (Loss) on Investments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 226,035 | (266,478) | ||
Firm Commitment To Purchase Credit Risk Transfer Securities | Fees And Commissions Mortgage Banking And Servicing | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | 0 | 0 | ||
Firm Commitment To Purchase Credit Risk Transfer Securities | Interest Income | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Quarter ended June 30, 2021 | $ 0 | $ 0 |
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 | Jun. 30, 2021 | Dec. 31, 2020 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate acquired in settlement of loans | $ 4,747 | $ 12,656 |
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 | $ 4,747 | $ 12,656 |
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 | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Nonrecurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Real estate asset acquired in settlement of loans | $ (564) | $ (47) | $ (768) | $ (1,195) |
Fair Value - Carrying and Fair
Fair Value - Carrying and Fair Values of Notes Payable Secured by Credit Risk Transfer and Mortgage Servicing Rights and Exchangeable Senior Notes (Detail) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
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 | $ 2,829,177 | $ 1,924,999 |
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 | 2,838,844 | 1,871,276 |
Exchangeable Notes [Member] | Carrying Value [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Notes payable | 496,825 | 196,796 |
Exchangeable Notes [Member] | Fair Value [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Notes payable | $ 575,263 | $ 207,428 |
Fair Value - Additional Informa
Fair Value - Additional Information (Detail) | 6 Months Ended |
Jun. 30, 2021 | |
Level 3 [Member] | Maximum [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 Key Inp
Fair Value - Summary of Key Inputs Used in Determining Fair Value of ESS (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Excess servicing spread purchased from PFSI | $ 0 | $ 0 | $ 131,750 | ||
UPB of underlying loans (in thousands) | $ 29,585,783 | $ 19,458,673 | $ 62,034,674 | $ 38,799,943 | |
Excess Spread Investment [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Excess servicing spread purchased from PFSI | 131,750 | ||||
Excess Spread Investment [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 | ||||
Average servicing fee rate (in basis points) | 0.34% | ||||
Average ESS rate (in basis points) | 0.19% | ||||
Pricing spread | 5.10% | ||||
Annual total prepayment speed | 11.70% | ||||
Life (in years) | 5 years 9 months 18 days | ||||
Excess Spread Investment [Member] | Minimum [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Pricing spread | 4.90% | ||||
Annual total prepayment speed | 9.60% | ||||
Life (in years) | 2 years 3 months 18 days | ||||
Excess Spread Investment [Member] | Maximum [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Pricing spread | 5.30% | ||||
Annual total prepayment speed | 18.30% | ||||
Life (in years) | 6 years 7 months 6 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 Derivatives (Detail) - Credit Risk Transfer Derivatives [Member] - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
Fair value of CRT derivatives | ||
Fair value of CRT derivatives assets | $ 44,951 | $ 58,699 |
Fair value of CRT derivatives liabilities | 9,713 | 26,904 |
UPB of loans in reference pools | $ 9,769,411 | $ 13,854,426 |
Discount Rate [Member] | Minimum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 5.50% | 6.70% |
Key inputs used in fair value for CRT agreements | (0.50%) | (0.80%) |
Discount Rate [Member] | Weighted Average [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 6.10% | 7.30% |
Key inputs used in fair value for CRT agreements | (0.10%) | (0.20%) |
Discount Rate [Member] | Maximum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 6.20% | 9.00% |
Key inputs used in fair value for CRT agreements | 1.20% | 1.10% |
Voluntary Prepayment Speed [Member] | Minimum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 13.80% | 20.80% |
Voluntary Prepayment Speed [Member] | Weighted Average [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 13.90% | 21.90% |
Voluntary Prepayment Speed [Member] | Maximum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 14.40% | 23.50% |
Remaining Loss Expectation [Member] | Minimum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | (0.50%) | (0.60%) |
Remaining Loss Expectation [Member] | Weighted Average [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | (0.10%) | (0.30%) |
Remaining Loss Expectation [Member] | Maximum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 0.60% | 0.60% |
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 | Jun. 30, 2021 | Dec. 31, 2020 |
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 | 40.00% | 44.60% |
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 | 94.70% | 86.30% |
Pull-Through Rate [Member] | Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 100.00% | 100.00% |
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 | 1.20% | 2.00% |
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 | 4.90% | 4.40% |
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 | 6.60% | 5.30% |
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 | 0.30% | 0.50% |
Percentage of UPB [Member] | Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 1.40% | 1.20% |
Percentage of UPB [Member] | Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 2.50% | 1.90% |
Interest Rate Lock Commitments [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value | $ 29,748 | $ 72,386 |
Fair Value - Summary of Key Uno
Fair Value - Summary of Key Unobservable Inputs Used in Valuation Credit Risk Transfer Strips (Detail) - Credit Risk Transfer Strips [Member] - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of CRT derivatives liabilities | $ 67,846 | $ 202,792 |
UPB of loans in the reference pools | $ 31,464,697 | $ 44,843,516 |
Minimum [Member] | Discount Rate [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 4.80% | 6.00% |
Minimum [Member] | Voluntary Prepayment Speed [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 19.00% | 25.00% |
Minimum [Member] | Involuntary Prepayment Speed [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.50% | 0.80% |
Minimum [Member] | Remaining Loss Expectation [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.30% | 0.30% |
Maximum [Member] | Discount Rate [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 7.20% | 8.40% |
Maximum [Member] | Voluntary Prepayment Speed [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 19.10% | 30.20% |
Maximum [Member] | Involuntary Prepayment Speed [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 1.30% | 1.70% |
Maximum [Member] | Remaining Loss Expectation [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.80% | 0.60% |
Weighted Average [Member] | Discount Rate [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 6.80% | 8.00% |
Weighted Average [Member] | Voluntary Prepayment Speed [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 19.10% | 26.20% |
Weighted Average [Member] | Involuntary Prepayment Speed [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.60% | 1.00% |
Weighted Average [Member] | Remaining Loss Expectation [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.40% | 0.40% |
Fair Value - Key Assumptions Us
Fair Value - Key Assumptions Used in Determining Fair Value of MSRs at Time of Initial Recognition (Detail) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021USD ($)$ / Loan | Jun. 30, 2020USD ($)$ / Loan | Jun. 30, 2021USD ($)$ / Loan | Jun. 30, 2020USD ($)$ / Loan | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair value, MSR recognized | $ | $ 412,938 | $ 203,127 | $ 820,634 | $ 451,949 |
Fair value, UPB of underlying loans | $ | $ 29,585,783 | $ 19,458,673 | $ 62,034,674 | $ 38,799,943 |
Fair value, Weighted-average annual servicing fee rate (in basis points) | 0.27% | 0.28% | 0.27% | 0.29% |
Minimum [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value inputs, Pricing spread during period | 6.00% | 8.10% | 6.00% | 6.70% |
Fair Value inputs, Prepayment speed during period | 6.20% | 9.00% | 6.00% | 9.90% |
Fair Value inputs, Weighted average life during period | 3 years 10 months 24 days | 3 years 8 months 12 days | 3 years 10 months 24 days | 3 years 7 months 6 days |
Fair Value inputs, Annual per loan cost of servicing during period | 80 | 79 | 80 | 78 |
Maximum [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value inputs, Pricing spread during period | 8.00% | 11.30% | 8.00% | 11.30% |
Fair Value inputs, Prepayment speed during period | 8.90% | 19.40% | 9.30% | 20.90% |
Fair Value inputs, Weighted average life during period | 8 years 8 months 12 days | 8 years | 8 years 10 months 24 days | 8 years |
Fair Value inputs, Annual per loan cost of servicing during period | 81 | 79 | 81 | 78 |
Weighted Average [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value inputs, Pricing spread during period | 6.80% | 8.20% | 7.40% | 7.50% |
Fair Value inputs, Prepayment speed during period | 8.00% | 9.90% | 7.80% | 11.10% |
Fair Value inputs, Weighted average life during period | 8 years 1 month 6 days | 7 years 4 months 24 days | 8 years 3 months 18 days | 6 years 10 months 24 days |
Fair Value inputs, Annual per loan cost of servicing during period | 80 | 79 | 80 | 78 |
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 | 6 Months Ended | 12 Months Ended | ||||
Jun. 30, 2021USD ($)$ / Loan | Dec. 31, 2020USD ($)$ / Loan | Mar. 31, 2021USD ($) | Jun. 30, 2020USD ($) | Mar. 31, 2020USD ($) | Dec. 31, 2019USD ($) | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Balance at end of period | $ 2,551,373 | $ 1,755,236 | $ 2,441,214 | $ 1,189,605 | $ 1,157,326 | $ 1,535,705 |
UPB of underlying loans, Fair Value | $ 198,300,614 | $ 170,728,322 | ||||
Weighted-average annual servicing fee rate (in basis points), Fair value input | 0.27% | 0.28% | ||||
Weighted-average note interest rate, Fair value | 3.30% | 3.60% | ||||
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 | $ (36,431) | $ (31,400) | ||||
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 | (71,892) | (61,718) | ||||
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 | (140,042) | (119,305) | ||||
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 | (54,633) | (48,136) | ||||
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 | (107,223) | (94,244) | ||||
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 | (206,714) | (180,820) | ||||
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 | (16,532) | (11,846) | ||||
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 | (33,064) | (23,692) | ||||
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 | $ (66,129) | $ (47,385) | ||||
Minimum [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Estimated fair value inputs, Pricing spread | 6.30% | 8.00% | ||||
Estimated fair value inputs, Prepayment speed | 9.20% | 12.40% | ||||
Estimated fair value inputs, Annual per-loan cost of servicing | $ / Loan | 80 | 78 | ||||
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) | 3 years 1 month 6 days | 2 years 10 months 24 days | ||||
Maximum [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Estimated fair value inputs, Pricing spread | 9.40% | 11.10% | ||||
Estimated fair value inputs, Prepayment speed | 23.60% | 28.80% | ||||
Estimated fair value inputs, Annual per-loan cost of servicing | $ / Loan | 95 | 121 | ||||
Maximum [Member] | Mortgage service rights [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Estimated fair value inputs, Life (in years) | 7 years 7 months 6 days | 6 years 9 months 18 days | ||||
Weighted Average [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Estimated fair value inputs, Pricing spread | 6.30% | 8.00% | ||||
Estimated fair value inputs, Prepayment speed | 9.70% | 12.80% | ||||
Estimated fair value inputs, Annual per-loan cost of servicing | $ / Loan | 80 | 81 | ||||
Weighted Average [Member] | Mortgage service rights [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Estimated fair value inputs, Life (in years) | 7 years 3 months 18 days | 6 years 6 months |
Mortgage-Backed Securities - Su
Mortgage-Backed Securities - Summary of Investment in Mortgage Backed Securities Activity (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Mortgage Backed Securities [Line Items] | ||||
Balance at beginning of period | $ 2,213,922 | |||
Changes in fair value included in income arising from: | ||||
Balance at end of period | $ 2,309,864 | 2,309,864 | ||
Mortgage Backed Securities [Member] | ||||
Mortgage Backed Securities [Line Items] | ||||
Balance at beginning of period | 1,916,485 | $ 3,947,420 | 2,213,922 | $ 2,839,633 |
Purchases | 423,660 | 0 | 1,682,849 | 1,615,486 |
Sales | 0 | (1,112,761) | (1,300,653) | (1,601,490) |
Repayments | (57,650) | (226,878) | (239,983) | (349,813) |
Changes in fair value included in income arising from: | ||||
Amortization of net purchase premiums | (1,883) | (11,859) | (4,406) | (23,861) |
Valuation adjustments | 29,252 | 17,064 | (41,865) | 133,031 |
Total changes in fair value included in income | 27,369 | 5,205 | (46,271) | 109,170 |
Balance at end of period | $ 2,309,864 | $ 2,612,986 | $ 2,309,864 | $ 2,612,986 |
Mortgage-Backed Securities - _2
Mortgage-Backed Securities - Summary of Investment in Mortgage Backed Securities (Detail) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Mortgage Backed Securities [Line Items] | ||
Fair value | $ 2,309,864 | $ 2,213,922 |
Mortgage Backed Securities [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Principal balance | 2,270,386 | 2,117,513 |
Unamortized net purchase premiums | 72,399 | 56,106 |
Accumulated valuation changes | (32,921) | 40,303 |
Fair value | 2,309,864 | 2,213,922 |
Freddie Mac [Member] | Mortgage Backed Securities [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Principal balance | 722,730 | 1,253,755 |
Unamortized net purchase premiums | 23,132 | 32,414 |
Accumulated valuation changes | (11,862) | 24,867 |
Fair value | 734,000 | 1,311,036 |
Fannie Mae [Member] | Mortgage Backed Securities [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Principal balance | 1,547,656 | 863,758 |
Unamortized net purchase premiums | 49,267 | 23,692 |
Accumulated valuation changes | (21,059) | 15,436 |
Fair value | $ 1,575,864 | $ 902,886 |
Mortgage-Backed Securities - _3
Mortgage-Backed Securities - Summary of Investment in Mortgage Backed Securities (Parenthetical) (Detail) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
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 | Jun. 30, 2021 | Dec. 31, 2020 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Loans acquired for sale at fair value | $ 5,535,300 | $ 3,551,890 |
Loans pledged to secure total | 5,418,106 | 3,501,847 |
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 | 5,389,265 | 3,484,202 |
PennyMac Loan Services, LLC [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Loans acquired for sale at fair value | 202,280 | 460,414 |
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 | 28,841 | 17,645 |
Agency-Eligible [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Loans acquired for sale at fair value | 5,302,591 | 3,057,601 |
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 | 202,280 | 460,414 |
Home Equity Lines of Credit [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Loans acquired for sale at fair value | 4,555 | 5,566 |
Commercial Real Estate [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Loans acquired for sale at fair value | 988 | 1,010 |
Repurchased Pursuant to Representations and Warranties [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Loans acquired for sale at fair value | $ 24,886 | $ 27,299 |
Loans at Fair Value - Summary o
Loans at Fair Value - Summary of Distribution of Company's Loans at Fair Value (Detail) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Financing Receivable, Recorded Investment [Line Items] | ||
Asset-backed financings of VIEs at fair value | $ 343,186 | $ 143,707 |
Loans at fair value pledged to secure | 344,468 | 147,410 |
Fair value | 350,401 | 151,734 |
Loans in VIEs [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 343,186 | 143,707 |
Distressed [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 7,215 | 8,027 |
Fixed interest rate jumbo loans held in a VIE [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 89,909 | 143,707 |
Loans Secured by Non-Owner Occupied Properties [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 253,277 | 0 |
Loans acquired for sale at fair value [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Assets sold under agreements to repurchase | 1,282 | 3,703 |
Fair value | $ 5,535,300 | $ 3,551,890 |
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 | Jun. 30, 2021 | Dec. 31, 2020 |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | ||
Derivative assets | $ 88,278 | $ 164,318 |
Credit risk transfer strip assets | 0 | 0 |
Derivative and credit risk transfer strip assets | 88,278 | 164,318 |
Derivative liabilities | 18,835 | 60,681 |
Credit risk transfer strip liabilities | 67,846 | 202,792 |
Derivative and credit risk transfer strip liabilities | $ 86,681 | $ 263,473 |
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 ($) | Jun. 30, 2021 | Dec. 31, 2020 | |
Derivatives Fair Value [Line Items] | |||
Notional amount | [1] | $ 0 | $ 0 |
Total derivative assets instruments before netting | 121,060,000 | 223,648,000 | |
Derivative assets | 121,060,000 | 223,648,000 | |
Derivative assets, Netting | (32,782,000) | (59,330,000) | |
Total derivative and credit risk transfer strip assets after netting | 88,278,000 | 164,318,000 | |
Margin deposits placed with derivative counterparties, net | 5,013,000 | 30,197,000 | |
Derivative assets pledged to secure: | |||
Notes payable secured by credit risk transfer and mortgage servicing assets | 2,829,177,000 | 1,924,999,000 | |
Total derivative liabilities | 56,630,000 | 150,213,000 | |
Derivative liabilities, Netting | (37,795,000) | (89,532,000) | |
Total derivative liabilities after netting | 18,835,000 | 60,681,000 | |
Derivative assets related to CRT Derivatives [Member] | |||
Derivative assets pledged to secure: | |||
Notes payable secured by credit risk transfer and mortgage servicing assets | 44,951,000 | 58,699,000 | |
CRT Derivatives [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1] | 9,769,411,000 | 13,854,426,000 |
Total derivative assets instruments before netting | 44,951,000 | 58,699,000 | |
Derivative assets | 44,951,000 | 58,699,000 | |
Derivative assets, Netting | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 44,951,000 | 58,699,000 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 9,713,000 | 26,904,000 | |
Swaption Purchase Contracts | |||
Derivatives Fair Value [Line Items] | |||
Total derivative assets instruments before netting | [2] | 4,362,000 | 8,505,000 |
Derivative assets | [2] | 4,362,000 | 8,505,000 |
Forward Purchase Contracts [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 9,016,801,000 | 17,563,549,000 |
Total derivative assets instruments before netting | [2] | 23,676,000 | 72,526,000 |
Derivative assets | [2] | 23,676,000 | 72,526,000 |
Derivative assets, Netting | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 23,676,000 | 72,526,000 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 1,260,000 | 17,000 | |
Derivative liabilities, Netting | 0 | 0 | |
Forward Sale Contracts [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 17,781,827,000 | 26,615,716,000 |
Total derivative assets instruments before netting | [2] | 5,891,000 | 92,000 |
Derivative assets | [2] | 5,891,000 | 92,000 |
Derivative assets, Netting | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 5,891,000 | 92,000 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 44,129,000 | 122,884,000 | |
Derivative liabilities, Netting | 0 | 0 | |
Swaption Purchase Contracts | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 3,097,500,000 | 3,655,000,000 |
Total derivative assets instruments before netting | 4,362,000 | 8,505,000 | |
Derivative assets | 4,362,000 | 8,505,000 | |
Derivative assets, Netting | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 4,362,000 | 8,505,000 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 0 | 0 | |
Interest Rate Lock Commitments [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1] | 6,455,877,000 | 10,588,208,000 |
Total derivative assets instruments before netting | 31,276,000 | 72,794,000 | |
Derivative assets | 31,276,000 | 72,794,000 | |
Total derivative and credit risk transfer strip assets after netting | 31,276,000 | 72,794,000 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 1,528,000 | 408,000 | |
Call Options on Interest Rate Futures Purchase Contracts [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 1,050,000,000 | 1,450,000,000 |
Total derivative assets instruments before netting | [2] | 3,500,000 | 3,070,000 |
Derivative assets | [2] | 3,500,000 | 3,070,000 |
Derivative assets, Netting | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 3,500,000 | 3,070,000 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 0 | 0 | |
Put Options On Interest Rate Futures Purchase Contracts | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 1,570,000,000 | 2,800,000,000 |
Total derivative assets instruments before netting | [2] | 1,401,000 | 4,742,000 |
Derivative assets | [2] | 1,401,000 | 4,742,000 |
Derivative assets, Netting | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 1,401,000 | 4,742,000 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 0 | 0 | |
MBS Call Options [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1] | 1,750,000,000 | 0 |
Total derivative assets instruments before netting | 2,401,000 | 0 | |
Derivative assets | 2,401,000 | 0 | |
Derivative assets, Netting | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 2,401,000 | 0 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 0 | 0 | |
MBS Put Options [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 2,950,000,000 | 3,625,000,000 |
Total derivative assets instruments before netting | [2] | 3,602,000 | 3,220,000 |
Derivative assets | [2] | 3,602,000 | 3,220,000 |
Derivative assets, Netting | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 3,602,000 | 3,220,000 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 0 | 0 | |
Swap Futures [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 2,795,000,000 | 1,950,000,000 |
Total derivative assets instruments before netting | [2] | 0 | 0 |
Derivative assets | [2] | 0 | 0 |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 0 | 0 | |
Bond Futures [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 286,500,000 | 66,500,000 |
Total derivative assets instruments before netting | [2] | 0 | 0 |
Derivative assets | [2] | 0 | 0 |
Derivative assets pledged to secure: | |||
Total derivative liabilities | $ 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 that 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 | Jun. 30, 2021 | Dec. 31, 2020 | |
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | $ 121,060 | $ 223,648 | |
Gross amounts offset in the consolidated balance sheet | (32,782) | (59,330) | |
Total derivative and credit risk transfer strip assets after netting | 88,278 | 164,318 | |
CRT Derivatives [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | 44,951 | 58,699 | |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 44,951 | 58,699 | |
Forward Purchase Contracts [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | [1] | 23,676 | 72,526 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 23,676 | 72,526 | |
Forward Sale Contracts [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | [1] | 5,891 | 92 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 5,891 | 92 | |
Swaption Purchase Contracts | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | 4,362 | 8,505 | |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 4,362 | 8,505 | |
Interest Rate Lock Commitments [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | 31,276 | 72,794 | |
Total derivative and credit risk transfer strip assets after netting | 31,276 | 72,794 | |
Call Options on Interest Rate Futures Purchase Contracts [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | [1] | 3,500 | 3,070 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 3,500 | 3,070 | |
Put Options On Interest Rate Futures Purchase Contracts | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | [1] | 1,401 | 4,742 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 1,401 | 4,742 | |
MBS Call Options [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | 2,401 | 0 | |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 2,401 | 0 | |
MBS Put Options [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | [1] | 3,602 | 3,220 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 3,602 | 3,220 | |
Netting [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | 0 | 0 | |
Gross amounts offset in the consolidated balance sheet | (32,782) | (59,330) | |
Total derivative and credit risk transfer strip assets after netting | (32,782) | (59,330) | |
Derivatives Subject to Master Netting Arrangements [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | 44,833 | 92,155 | |
Gross amounts offset in the consolidated balance sheet | (32,782) | (59,330) | |
Total derivative and credit risk transfer strip assets after netting | 12,051 | 32,825 | |
Derivatives Not Subject To Master Netting Adjustment [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | 76,227 | 131,493 | |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | 76,227 | 131,493 | |
Derivatives Not Subject To Master Netting Adjustment [Member] | Interest Rate Lock Commitments [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | 31,276 | 72,794 | |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative and credit risk transfer strip assets after netting | $ 31,276 | $ 72,794 | |
[1] | All hedging derivatives are interest rate derivatives that 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 | Jun. 30, 2021 | Dec. 31, 2020 |
Offsetting Assets [Line Items] | ||
Total derivative and credit risk transfer strip assets after netting | $ 88,278 | $ 164,318 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 88,278 | 164,318 |
CRT Derivatives [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative and credit risk transfer strip assets after netting | 44,951 | 58,699 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 44,951 | 58,699 |
Interest Rate Lock Commitments [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative and credit risk transfer strip assets after netting | 31,276 | 72,794 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 31,276 | 72,794 |
J.P. Morgan Securities LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative and credit risk transfer strip assets after netting | 725 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 725 | 0 |
RJ O'Brien & Associates, LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative and credit risk transfer strip assets after netting | 4,902 | 7,813 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 4,902 | 7,813 |
Bank of America, N.A. [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative and credit risk transfer strip assets after netting | 4,062 | 15,406 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 4,062 | 15,406 |
Citigroup Global Markets Inc. [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative and credit risk transfer strip assets after netting | 0 | 2,416 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 0 | 2,416 |
PNC Capital Markets LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative and credit risk transfer strip assets after netting | 0 | 3,138 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 0 | 3,138 |
Deutsche Bank Securities LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative and credit risk transfer strip assets after netting | 0 | 1,602 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 0 | 1,602 |
Mitsubishi U F J Securities [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative and credit risk transfer strip assets after netting | 0 | 1,070 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 0 | 1,070 |
Other [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative and credit risk transfer strip assets after netting | 2,362 | 1,380 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | $ 2,362 | $ 1,380 |
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 | Jun. 30, 2021 | Dec. 31, 2020 |
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | $ 7,250,301 | $ 6,459,631 |
Gross amounts offset in the consolidated balance sheet | (37,795) | (89,532) |
Net amounts of liabilities presented in the consolidated balance sheet | 7,212,506 | 6,370,099 |
Unpaid Principal Balance [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 7,197,536 | 6,317,928 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 7,197,536 | 6,317,928 |
Forward Purchase Contracts [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 1,260 | 17 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 1,260 | 17 |
Forward Sale Contracts [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 44,129 | 122,884 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 44,129 | 122,884 |
Netting [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 0 | 0 |
Gross amounts offset in the consolidated balance sheet | (37,795) | (89,532) |
Net amounts of liabilities presented in the consolidated balance sheet | (37,795) | (89,532) |
Derivatives Subject to Master Netting Arrangements [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 45,389 | 122,901 |
Gross amounts offset in the consolidated balance sheet | (37,795) | (89,532) |
Net amounts of liabilities presented in the consolidated balance sheet | 7,594 | 33,369 |
Derivatives Not Subject To Master Netting Adjustment [Member] | Interest Rate Lock Commitments [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 1,528 | 408 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 1,528 | 408 |
Derivatives Not Subject To Master Netting Adjustment [Member] | CRT Derivatives [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 9,713 | 26,904 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 9,713 | 26,904 |
Derivative Liabilities Before Netting [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 56,630 | 150,213 |
Gross amounts offset in the consolidated balance sheet | (37,795) | (89,532) |
Net amounts of liabilities presented in the consolidated balance sheet | 18,835 | 60,681 |
Unamortized Debt Issuance Costs [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | (3,865) | (8,510) |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | (3,865) | (8,510) |
Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 7,193,671 | 6,309,418 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | $ 7,193,671 | $ 6,309,418 |
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 | Jun. 30, 2021 | Dec. 31, 2020 |
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | $ 7,212,506 | $ 6,370,099 |
Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 7,193,671 | 6,309,418 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 7,216,371 | 6,378,609 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (7,197,536) | (6,317,928) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 18,835 | 60,681 |
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 | 9,713 | 26,904 |
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 | 9,713 | 26,904 |
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 | 1,528 | 408 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 1,528 | 408 |
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 | 809,674 | 1,059,547 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (805,872) | (1,054,636) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 3,802 | 4,911 |
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 | 1,366,829 | 414,044 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (1,366,829) | (414,044) |
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] | 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 | 921,198 | 765,892 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (921,198) | (765,892) |
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 | 806,998 | 359,573 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (806,998) | (357,211) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 2,362 |
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 | 518,677 | 728,207 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (518,677) | (727,562) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 645 |
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 | 1,081,361 | 922,959 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (1,081,246) | (922,035) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 115 | 924 |
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 | 250,005 | 367,493 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (248,936) | (366,415) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 1,069 | 1,078 |
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 | 336,774 | 830,161 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (335,834) | (830,161) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 940 | 0 |
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 | 259,748 | 149,272 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (259,372) | (144,883) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 376 | 4,389 |
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 | 367,916 | 164,414 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (367,560) | (163,548) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 356 | 866 |
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 | 349,857 | 148,854 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (349,857) | (140,796) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 8,058 |
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 | 135,419 | 153,224 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (135,157) | (153,224) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 262 | 0 |
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 | 0 | 279,321 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 0 | (277,521) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 1,800 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Freddie Mac [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 0 | 5,883 |
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 | 5,883 |
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 | 674 | 2,453 |
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 | $ 674 | $ 2,453 |
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 | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
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 | $ 94,605 | $ 4,572 | $ (42,638) | $ 72,803 |
Fixed-rate and prepayment sensitive assets and LIBOR- indexed repurchase agreements [Member] | Net gain (loss) on investments [Member] | ||||
Derivative Instruments Gain Loss [Line Items] | ||||
Net gains on derivative financial instruments used as economic hedges | 75 | (16,739) | 51 | 48,192 |
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 | (166,100) | (91,897) | 131,376 | (232,265) |
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 | 94,116 | (50,650) | (280,287) | 716,536 |
CRT Derivatives [Member] | Net gain (loss) on investments [Member] | ||||
Derivative Instruments Gain Loss [Line Items] | ||||
Net gains on derivative financial instruments used as economic hedges | $ 19,200 | $ 136,085 | $ 55,570 | $ (147,657) |
Derivative and Credit Risk T_10
Derivative and Credit Risk Transfer Strip Assets and Liabilities - Summary of Holdings of CRT Strips (Detail) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Credit risk transfer strips contractually restricted from sale | ||
CRT strips, Liabilities | $ 67,846 | $ 202,792 |
CRT strips, Liabilities | 67,846 | 202,792 |
Credit Risk Transfer Strips [Member] | ||
Credit risk transfer strips contractually restricted from sale | ||
CRT strips, Liabilities | (67,846) | (202,792) |
CRT strips, Liabilities | (67,846) | (202,792) |
Credit Risk Transfer Strips [Member] | Currently Unrestricted [Member] | ||
Credit risk transfer strips contractually restricted from sale | ||
CRT strips, Liabilities | 447 | 0 |
CRT strips, Liabilities | 447 | 0 |
Credit Risk Transfer Strips [Member] | Through December 4, 2020 [Member] | ||
Credit risk transfer strips contractually restricted from sale | ||
CRT strips, Liabilities | 9,908 | (168,539) |
CRT strips, Liabilities | 9,908 | (168,539) |
Credit Risk Transfer Strips [Member] | To Maturity [Member] | ||
Credit risk transfer strips contractually restricted from sale | ||
CRT strips, Liabilities | (78,201) | (34,253) |
CRT strips, Liabilities | $ (78,201) | $ (34,253) |
Mortgage Servicing Rights - Sum
Mortgage Servicing Rights - Summary of MSRs Carried at Fair Value (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | ||
Risks Inherent In Servicing Assets And Servicing Liabilities [Line Items] | ||||||
Balance at beginning of period | $ 2,441,214 | $ 1,157,326 | $ 1,755,236 | $ 1,535,705 | ||
MSRs resulting from loan sales | 412,938 | 203,127 | 820,634 | 451,949 | ||
Due to changes in valuation inputs used in valuation model | [1] | (229,885) | (111,649) | 107,782 | (674,896) | |
Other changes in fair value | [2] | (69,613) | (59,199) | (128,998) | (123,153) | |
Change in fair value, Total | (299,498) | (170,848) | (21,216) | (798,049) | ||
Reclassification to loans at fair value resulting from consolidation of a VIE | [3] | (3,281) | 0 | (3,281) | 0 | |
Balance at end of period | 2,551,373 | $ 1,189,605 | 2,551,373 | $ 1,189,605 | ||
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 | $ 2,522,717 | $ 2,522,717 | $ 1,742,905 | |||
[1] | Primarily reflects changes in pricing spread, prepayment speed, and servicing cost inputs. | |||||
[2] | Represents changes due to realization of expected cash flows. | |||||
[3] | As discussed in Note 6—Variable Interest Entities – Investment in Securities Backed by Loans Secured by Non-Owner Occupied Properties, Loans at fair value |
Mortgage Servicing Rights - S_2
Mortgage Servicing Rights - Summary of Net Loan Servicing Fees Relating to MSRs (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Transfers And Servicing [Abstract] | ||||
Contractually-specified servicing fees | $ 124,019 | $ 101,823 | $ 240,306 | $ 196,292 |
Late charges | 351 | 399 | 763 | 899 |
Other | 24,551 | 11,488 | 40,384 | 18,179 |
Net mortgage loan servicing fees | $ 148,921 | $ 113,710 | $ 281,453 | $ 215,370 |
Assets Sold Under Agreements to
Assets Sold Under Agreements to Repurchase - Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | |
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Weighted average interest rate | 1.34% | 1.24% | 1.47% | 1.85% | |
Average balance | $ 5,733,765,000 | $ 4,755,992,000 | $ 5,862,480,000 | $ 5,529,446,000 | |
Total interest expense | 23,282,000 | 17,071,000 | 51,941,000 | 54,822,000 | |
Maximum daily amount outstanding | 7,198,610,000 | $ 6,627,618,000 | 8,440,669,000 | $ 8,664,587,000 | |
Unpaid principal balance | 7,197,536,000 | 7,197,536,000 | $ 6,317,928,000 | ||
Assets sold under agreements to repurchase, At year end | 7,193,671,000 | $ 7,193,671,000 | $ 6,309,418,000 | ||
Weighted average interest rate | 1.36% | 1.36% | |||
Available borrowing capacity, Committed | $ 51,064,000 | $ 483,767,000 | |||
Available borrowing capacity, Uncommitted | 3,742,908,000 | 4,151,905,000 | |||
Available borrowing capacity | 3,793,972,000 | 4,635,672,000 | |||
Margin deposits placed with counterparties included in Other assets | 8,910,000 | 8,910,000 | 141,808,000 | ||
Assets Sold Under Agreements to Repurchase [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Unamortized debt issuance costs | (3,865,000) | (3,865,000) | (8,510,000) | ||
Mortgage Backed Securities [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Assets securing agreements to repurchase | 2,309,864,000 | 2,309,864,000 | 2,213,922,000 | ||
Loans Acquired For Sale At Fair Value [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Assets securing agreements to repurchase | 5,389,265,000 | 5,389,265,000 | 3,484,202,000 | ||
Loans at Fair Value [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Assets securing agreements to repurchase | 1,282,000 | 1,282,000 | 3,703,000 | ||
Servicing advances [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Assets securing agreements to repurchase | 71,306,000 | 71,306,000 | 0 | ||
Real estate acquired in settlement of loans [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Assets securing agreements to repurchase | 9,003,000 | 9,003,000 | 15,365,000 | ||
Mortgage service rights [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Assets securing agreements to repurchase | 1,531,396,000 | 1,531,396,000 | 1,166,090,000 | ||
Deposits securing CRT Agreements [Member] | |||||
Assets Sold under Agreements to Repurchase [Line Items] | |||||
Assets securing agreements to repurchase | $ 0 | $ 0 | $ 2,799,263,000 |
Assets Sold Under Agreements _2
Assets Sold Under Agreements to Repurchase - Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase (Parenthetical) (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Assets Sold under Agreements to Repurchase [Line Items] | ||||
Amortization of debt issuance costs | $ 15,318 | $ 7,025 | ||
Assets Sold Under Agreements to Repurchase [Member] | ||||
Assets Sold under Agreements to Repurchase [Line Items] | ||||
Amortization of debt issuance costs | $ 4,100 | $ 2,400 | $ 9,200 | $ 3,900 |
Assets Sold Under Agreements _3
Assets Sold Under Agreements to Repurchase - Summary of Maturities of Outstanding Advances Under Repurchase Agreements by Maturity Date (Detail) $ in Thousands | 6 Months Ended |
Jun. 30, 2021USD ($) | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 7,197,536 |
Weighted average maturity (in months) | 1 month 21 days |
Within 30 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 3,463,395 |
Over 30 to 90 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 2,812,944 |
Over 90 days to 180 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 921,197 |
Assets Sold Under Agreements _4
Assets Sold Under Agreements to Repurchase - Summary of Assets Sold under Agreements to Repurchase by Counterparty (Detail) $ in Thousands | 6 Months Ended |
Jun. 30, 2021USD ($) | |
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 | $ 148,606 |
Weighted average maturity | Sep. 16, 2021 |
Facility maturity | Mar. 31, 2023 |
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 | $ 18,336 |
Weighted average maturity | Aug. 3, 2021 |
Facility maturity | Aug. 3, 2021 |
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 | $ 56,318 |
Weighted average maturity | Oct. 13, 2021 |
Facility maturity | May 10, 2022 |
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 | $ 14,337 |
Weighted average maturity | Sep. 18, 2021 |
Facility maturity | Nov. 2, 2022 |
Bank of America, N.A. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 16,818 |
Weighted average maturity | Jul. 16, 2021 |
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 | $ 70,990 |
Weighted average maturity | Jul. 28, 2021 |
Facility maturity | Jun. 7, 2023 |
Barclays Capital Inc. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 15,961 |
Weighted average maturity | Jul. 18, 2021 |
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 | $ 65,069 |
Weighted average maturity | Sep. 20, 2021 |
Facility maturity | Nov. 3, 2022 |
JPMorgan Chase & Co. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 23,366 |
Weighted average maturity | Jul. 6, 2021 |
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 | $ 10,918 |
Weighted average maturity | Aug. 17, 2021 |
Facility maturity | Jun. 6, 2023 |
Goldman Sachs & 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 | $ 15,630 |
Weighted average maturity | Sep. 12, 2021 |
Facility maturity | Dec. 23, 2022 |
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 | $ 20,752 |
Weighted average maturity | Jul. 30, 2021 |
Facility maturity | Jul. 30, 2021 |
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 | $ 20,531 |
Weighted average maturity | Sep. 23, 2021 |
Facility maturity | Oct. 6, 2022 |
Daiwa Capital Markets America Inc. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 20,344 |
Weighted average maturity | Jul. 19, 2021 |
Amherst Pierpont Securities LLC [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 5,940 |
Weighted average maturity | Jul. 19, 2021 |
Mortgage Loan Participation P_2
Mortgage Loan Participation Purchase and Sale Agreements - Summary of Mortgage Loan Participation Purchase and Sale Agreements (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | |
At period end: | |||||
Mortgage loan participation purchase and sale agreements, At year end | $ 28,037 | $ 28,037 | $ 16,851 | ||
Mortgage Loan Participation Purchase and Sale Agreement [Member] | |||||
Mortgage Loan Participation Purchase And Sale Agreement [Line Items] | |||||
Weighted average interest rate | 1.36% | 1.57% | 1.38% | 2.17% | |
Average balance | $ 32,152 | $ 39,048 | $ 35,638 | $ 40,174 | |
Total interest expense | 141 | 210 | 305 | 548 | |
Maximum daily amount outstanding | 89,072 | $ 96,570 | 89,072 | $ 96,570 | |
At period end: | |||||
Amount outstanding | 28,037 | 28,037 | 16,851 | ||
Unamortized debt issuance costs | 0 | 0 | 0 | ||
Mortgage loan participation purchase and sale agreements, At year end | 28,037 | $ 28,037 | $ 16,851 | ||
Weighted average interest rate | 1.48% | 1.39% | |||
Loans acquired for sale pledged to secure mortgage loan participation purchase and sale agreements | $ 28,841 | $ 28,841 | $ 17,645 |
Mortgage Loan Participation P_3
Mortgage Loan Participation Purchase and Sale Agreements - Summary of Mortgage Loan Participation Purchase and Sale Agreements (Parenthetical) (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Mortgage Loan Participation Purchase And Sale Agreement [Line Items] | ||||
Amortization of debt issuance costs | $ 15,318,000 | $ 7,025,000 | ||
Mortgage Loan Participation Purchase and Sale Agreement [Member] | ||||
Mortgage Loan Participation Purchase And Sale Agreement [Line Items] | ||||
Amortization of debt issuance costs | $ 31,000 | $ 57,000 | $ 62,000 | $ 113,000 |
Long-Term Debt - Summary of Ter
Long-Term Debt - Summary of Term Note Issued to Qualified Institutional Buyers (Detail) $ in Thousands | 6 Months Ended |
Jun. 30, 2021USD ($) | |
Short-term Debt [Line Items] | |
Unpaid principal balance | $ 1,664,340 |
March 4, 2021 [Member] | Secured Debt | |
Short-term Debt [Line Items] | |
Notes Issued | 659,156 |
Unpaid principal balance | $ 549,254 |
Interest rate spread (Annual) | 2.90% |
Maturity date, Stated | Feb. 28, 2024 |
Maturity date, Optional extension | Feb. 27, 2026 |
December 22, 2020 [Member] | Secured Debt | |
Short-term Debt [Line Items] | |
Notes Issued | $ 500,000 |
Unpaid principal balance | $ 415,089 |
Interest rate spread (Annual) | 3.81% |
Maturity date, Stated | Dec. 28, 2022 |
Febuary 14 2019 [Member] | Secured Debt | |
Short-term Debt [Line Items] | |
Notes Issued | $ 350,000 |
Unpaid principal balance | $ 124,365 |
Interest rate spread (Annual) | 2.35% |
Maturity date, Stated | Mar. 1, 2023 |
Maturity date, Optional extension | Feb. 27, 2025 |
October 16, 2019 [Member] | Secured Debt | |
Short-term Debt [Line Items] | |
Notes Issued | $ 375,000 |
Unpaid principal balance | $ 120,654 |
Interest rate spread (Annual) | 2.70% |
Maturity date, Stated | Oct. 27, 2022 |
Maturity date, Optional extension | Oct. 29, 2024 |
June 11, 2019 [Member] | Secured Debt | |
Short-term Debt [Line Items] | |
Notes Issued | $ 638,000 |
Unpaid principal balance | $ 333,452 |
Interest rate spread (Annual) | 2.75% |
Maturity date, Stated | May 29, 2023 |
Maturity date, Optional extension | May 29, 2025 |
March 29, 2019 [Member] | |
Short-term Debt [Line Items] | |
Notes Issued | $ 295,700 |
Unpaid principal balance | $ 121,526 |
Interest rate spread (Annual) | 2.00% |
Maturity date, Stated | Mar. 29, 2022 |
Maturity date, Optional extension | Mar. 27, 2024 |
Long-Term Debt - Additional Inf
Long-Term Debt - Additional Information (Detail) | Mar. 30, 2021USD ($) | Mar. 09, 2021USD ($) | Nov. 04, 2019USD ($) | Apr. 25, 2018USD ($) | Jun. 30, 2021USD ($) | Mar. 31, 2021USD ($) |
Secured Term Notes [Member] | ||||||
Short-term Debt [Line Items] | ||||||
Notes Issued | $ 350,000 | $ 450,000,000 | ||||
Aggregate loan amount | $ 350,000 | $ 450,000,000 | ||||
Maturity date of debt instrument | Apr. 25, 2023 | |||||
Debt instrument extended maturity date subject to term note indenture | Apr. 25, 2025 | |||||
Loan And Security Agreement With Citibank [Member] | Maximum [Member] | ||||||
Short-term Debt [Line Items] | ||||||
Notes Issued | $ 700,000 | |||||
Aggregate loan amount | 700,000 | |||||
Loan And Security Agreement With Citibank [Member] | Minimum [Member] | ||||||
Short-term Debt [Line Items] | ||||||
Notes Issued | 175,000 | |||||
Aggregate loan amount | $ 175,000 | |||||
Exchangeable Senior Notes due March 15, 2026 [Member] | ||||||
Short-term Debt [Line Items] | ||||||
Maturity date of debt instrument | Mar. 15, 2026 | |||||
Issuance of debt through private offering | $ 345,000,000 | |||||
Percentage of interest on debt | 5.50% | |||||
Principal amount of the exchangeable notes | $ 1,000 | |||||
Exchangeable Senior Notes due November 1, 2024 [Member] | ||||||
Short-term Debt [Line Items] | ||||||
Maturity date of debt instrument | Nov. 1, 2024 | |||||
Issuance of debt through private offering | $ 210,000,000 | $ 555,000,000 | ||||
Percentage of interest on debt | 5.50% | |||||
Principal amount of the exchangeable notes | $ 1,000 | |||||
Fixed-rate and prepayments sensitive assets and LIBOR- indexed repurchase agreements [Member] | Secured Term Notes [Member] | ||||||
Short-term Debt [Line Items] | ||||||
Debt Instrument, Description of Variable Rate Basis | 0 | one-month | ||||
Debt instrument interest rate spread | 3.00% | 2.35% | ||||
Initial Exchangeable Rate [Member] | Exchangeable Senior Notes due March 15, 2026 [Member] | ||||||
Short-term Debt [Line Items] | ||||||
Number of shares exchanged per exchangeable notes | 46.1063 | |||||
Initial Exchangeable Rate [Member] | Exchangeable Senior Notes due November 1, 2024 [Member] | ||||||
Short-term Debt [Line Items] | ||||||
Number of shares exchanged per exchangeable notes | 40.101 | |||||
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. 10, 2021 |
Long-Term Debt - Summary of Fin
Long-Term Debt - Summary of Financial Information Relating to Note Payable Secured by Credit Risk Transfer and Mortgage Servicing Assets (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | |
Carrying value: | |||||
Amount outstanding | $ 2,839,341 | $ 2,839,341 | $ 1,930,018 | ||
Balance | 2,829,177 | 2,829,177 | 1,924,999 | ||
Assets securing notes payable: | |||||
MSRs | 2,522,717 | 2,522,717 | 1,742,905 | ||
Deposits securing CRT arrangements | 2,256,047 | 2,799,263 | |||
Derivative assets | $ 44,951 | $ 44,951 | 58,699 | ||
Notes Payable [Member] | |||||
Short-term Debt [Line Items] | |||||
Weighted-average interest rate | 3.13% | 3.07% | 3.13% | 3.58% | |
Average balance | $ 2,917,356 | $ 1,934,476 | $ 2,590,852 | $ 1,897,344 | |
Total interest expense | 24,174 | 15,449 | 42,773 | 35,067 | |
Maximum daily amount outstanding | 3,180,129 | $ 1,973,252 | 3,235,942 | $ 2,032,665 | |
Carrying value: | |||||
Unamortized debt issuance costs | $ (10,164) | $ (10,164) | $ (5,019) | ||
Weighted average interest rate | 2.86% | 2.86% | 2.99% | ||
Assets securing notes payable: | |||||
Derivative assets | $ 44,951 | $ 44,951 | $ 58,699 |
Long-Term Debt - Summary of F_2
Long-Term Debt - Summary of Financial Information Relating to Note Payable Secured by Credit Risk Transfer and Mortgage Servicing Assets (Parenthetical) (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Short-term Debt [Line Items] | ||||
Amortization of debt issuance costs | $ 15,318,000 | $ 7,025,000 | ||
Notes Payable [Member] | ||||
Short-term Debt [Line Items] | ||||
Amortization of debt issuance costs | $ 1.4 | $ 620,000 | $ 2.5 | $ 1,200,000 |
Long-Term Debt - Summary of F_3
Long-Term Debt - Summary of Financial Information Relating to Exchangeable Senior Notes (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||||||||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2027 | Jun. 30, 2026 | Jun. 30, 2025 | Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2022 | Dec. 31, 2020 | |
Carrying value: | |||||||||||
UPB | $ 555,000 | $ 555,000 | $ 0 | $ 345,000 | $ 210,000 | $ 0 | $ 0 | $ 0 | $ 210,000 | ||
Exchangeable senior notes | 496,825 | 496,825 | 196,796 | ||||||||
Convertible Debt [Member] | |||||||||||
Carrying value: | |||||||||||
Unamortized debt issuance costs and conversion option | (58,175) | (58,175) | $ (13,204) | ||||||||
Convertible Debt [Member] | Nonaffiliates [Member] | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Average balance | 495,032 | $ 242,469 | 390,053 | $ 343,316 | |||||||
Total interest expense | $ 10,310 | $ 4,343 | $ 15,852 | $ 11,609 |
Long-Term Debt - Summary of F_4
Long-Term Debt - Summary of Financial Information Relating to Asset-Backed Financing of a VIE at Fair Value (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||||||||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2027 | Jun. 30, 2026 | Jun. 30, 2025 | Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2022 | Dec. 31, 2020 | |
Short-term Debt [Line Items] | |||||||||||
Asset-backed financing of variable interest entities at fair value | $ 321,875 | $ 321,875 | $ 134,726 | ||||||||
UPB | 314,783 | 314,783 | $ 314,783 | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 | |||
Variable Interest Entities [Member] | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Asset-backed financing of variable interest entities at fair value | 321,875 | 321,875 | 134,726 | ||||||||
Asset-Backed Financing of the VIE at Fair Value [Member] | Variable Interest Entities [Member] | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Asset-backed financing of variable interest entities at fair value | 321,875 | 321,875 | 134,726 | ||||||||
UPB | 314,783 | 314,783 | $ 131,835 | ||||||||
Asset-Backed Financing of the VIE at Fair Value [Member] | Variable Interest Entities [Member] | Asset Backed Secured Financing Liability Fair Value [Member] | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Average balance | 95,069 | $ 222,578 | 107,672 | $ 231,672 | |||||||
Total interest expense | $ 1,996 | $ 2,470 | $ 2,164 | $ 6,997 | |||||||
Weighted average interest rate | 3.17% | 3.36% | 3.20% | 3.38% | |||||||
Weighted average interest rate | 3.57% | 3.57% | 3.56% |
Long-Term Debt - Schedule of An
Long-Term Debt - Schedule of Annual Maturities on Long Term Debt Obligations (Detail) - USD ($) $ in Thousands | Jun. 30, 2027 | Jun. 30, 2026 | Jun. 30, 2025 | Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2020 |
Debt Disclosure [Abstract] | ||||||||
Notes payable secured by credit risk transfer and mortgage servicing assets | $ 0 | $ 350,000 | $ 0 | $ 549,254 | $ 1,443,560 | $ 121,526 | $ 2,464,340 | |
Exchangeable senior notes | 0 | 345,000 | 210,000 | 0 | 0 | 0 | 555,000 | $ 210,000 |
Asset-backed financing of variable interest entities at fair value | 314,783 | 0 | 0 | 0 | 0 | 0 | 314,783 | |
Interest-only security payable at fair value | 13,185 | 0 | 0 | 0 | 0 | 0 | 13,185 | $ 10,757 |
Total | $ 327,968 | $ 695,000 | $ 210,000 | $ 549,254 | $ 1,443,560 | $ 121,526 | $ 3,347,308 |
Liability for Losses under Re_3
Liability for Losses under Representations and Warranties - Summary of Company's Liability for Losses under Representations and Warranties (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Mortgage Banking [Abstract] | ||||
Balance, beginning of period | $ 28,967 | $ 7,300 | $ 21,893 | $ 7,614 |
Provision for losses: | ||||
Pursuant to loan sales | 8,472 | 3,215 | 16,985 | 4,245 |
Reduction in liability due to change in estimate | (1,095) | (211) | (2,519) | (1,555) |
Losses incurred, net | (30) | (79) | (45) | (79) |
Balance, end of period | 36,314 | 10,225 | 36,314 | 10,225 |
UPB of loans subject to representations and warranties at end of period | $ 193,579,850 | $ 135,538,011 | $ 193,579,850 | $ 135,538,011 |
Commitments and Contingencies -
Commitments and Contingencies - Company's Outstanding Contractual Commitments (Detail) $ in Thousands | Jun. 30, 2021USD ($) |
Commitments to purchase mortgage loans: | |
Commitments to purchase loans acquired for sale | $ 6,455,877 |
Shareholders' Equity - Summary
Shareholders' Equity - Summary of Preferred Shares of Beneficial Interest (Detail) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | |
Class Of Stock [Line Items] | |||||
Number of shares | 12,400,000 | 12,400,000 | 12,400,000 | ||
Liquidation preference | $ 310,000 | $ 310,000 | $ 310,000 | ||
Issuance discount | 10,293 | 10,293 | |||
Carrying value | $ 299,707 | $ 299,707 | $ 299,707 | ||
8.125% Series A Preferred Stock [Member] | |||||
Class Of Stock [Line Items] | |||||
Number of shares | 4,600,000 | 4,600,000 | |||
Liquidation preference | $ 115,000 | $ 115,000 | |||
Issuance discount | 3,828 | 3,828 | |||
Carrying value | $ 111,172 | $ 111,172 | |||
Dividends per share | $ 0.51 | $ 0.51 | $ 1.02 | $ 1.02 | |
8.00% Series B Preferred Stock [Member] | |||||
Class Of Stock [Line Items] | |||||
Number of shares | 7,800,000 | 7,800,000 | |||
Liquidation preference | $ 195,000 | $ 195,000 | |||
Issuance discount | 6,465 | 6,465 | |||
Carrying value | $ 188,535 | $ 188,535 | |||
Dividends per share | $ 0.50 | $ 0.50 | $ 1 | $ 1 |
Shareholders' Equity - Summar_2
Shareholders' Equity - Summary of Preferred Shares of Beneficial Interest (Parenthetical) (Detail) - $ / shares | 1 Months Ended | 3 Months Ended | 6 Months Ended | |
Jul. 31, 2017 | Mar. 31, 2017 | Jun. 30, 2021 | Dec. 31, 2020 | |
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 | 6 Months Ended | |||
Jul. 31, 2017 | Mar. 31, 2017 | Jun. 30, 2021 | Jun. 11, 2021 | Mar. 31, 2019 | Aug. 31, 2015 | |
Schedule Of Capitalization Equity [Line Items] | ||||||
Common stock shares Repurchase authorized amount | $ 400,000,000 | $ 300,000,000 | ||||
Maximum [Member] | ||||||
Schedule Of Capitalization Equity [Line Items] | ||||||
Common stock shares Repurchase authorized amount | $ 400,000,000 | |||||
Equity Distribution Agreement [Member] | ||||||
Schedule Of Capitalization Equity [Line Items] | ||||||
Maximum aggregate offering price | $ 200,000,000 | |||||
Common stock shares available for issuance value | $ 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 Activities under ATM Equity Offering Program (Detail) - USD ($) shares in Thousands, $ in Thousands | 6 Months Ended | |
Jun. 30, 2021 | Jun. 30, 2020 | |
Class Of Stock [Line Items] | ||
Net proceeds | $ 0 | $ 5,654 |
Common Shares [Member] | ||
Class Of Stock [Line Items] | ||
Number of common shares issued | 241 | |
Equity Distribution Agreement [Member] | ||
Class Of Stock [Line Items] | ||
Gross proceeds | 5,654 | |
Net proceeds | $ 5,597 | |
Equity Distribution Agreement [Member] | Common Shares [Member] | ||
Class Of Stock [Line Items] | ||
Number of common shares issued | 241 |
Shareholders' Equity - Summar_4
Shareholders' Equity - Summary of Share Repurchase Activity (Detail) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Equity [Abstract] | ||||
Common shares repurchased | 27 | 566 | 27 | 1,349 |
Cumulative shares repurchased | 17,525 | 17,525 | ||
Cost of common shares repurchased | $ 521 | $ 7,561 | $ 521 | $ 13,343 |
Cumulative cost of shares repurchased | $ 254,413 | $ 254,413 |
Net Gains on Loans Acquired f_3
Net Gains on Loans Acquired for Sale - Summary of Net Gains on Mortgage Loans Acquired for Sale (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Provision for losses relating to representations and warranties provided in mortgage loan sales: | ||||
Pursuant to loans sales | $ (8,472) | $ (3,215) | $ (16,985) | $ (4,245) |
Change in fair value of loans and derivatives | ||||
Net cash of gain on mortgage loans acquired for sale | 540,593 | 371,239 | 721,380 | 508,185 |
Net gain on loans acquired for sale | 27,726 | 162,214 | 80,738 | 210,989 |
PennyMac Financial Services, Inc. [Member] | ||||
Change in fair value of loans and derivatives | ||||
Net gain on loans acquired for sale | 1,630 | 3,324 | 3,368 | 7,485 |
Nonaffiliates [Member] | ||||
Cash loss: | ||||
Loans | (222,271) | 21,842 | (815,060) | (47,112) |
Hedging activities | (292,226) | (234,191) | 171,050 | (257,569) |
Cash gain, net of effects of cash hedging, on sale of mortgage loans acquired for sale | (514,497) | (212,349) | (644,010) | (304,681) |
Non-cash gain: | ||||
Recognition of fair value of firm commitment to purchase CRT securities | 0 | (7,579) | 0 | (34,228) |
Receipt of MSRs in mortgage loan sale transactions | 412,938 | 203,127 | 820,634 | 451,949 |
Provision for losses relating to representations and warranties provided in mortgage loan sales: | ||||
Pursuant to loans sales | (8,472) | (3,215) | (16,985) | (4,245) |
Reduction of liability due to change in estimate | 1,095 | 211 | 2,519 | 1,555 |
Provision for losses relating to representations and warranties | (7,377) | (3,004) | (14,466) | (2,690) |
Change in fair value of loans and derivatives | ||||
IRLCs | 94,605 | 4,572 | (42,638) | 72,803 |
Loans | (85,699) | 31,829 | (2,476) | (4,953) |
Hedging derivatives | 126,126 | 142,294 | (39,674) | 25,304 |
Total non cash portion of gain on mortgage loans acquired for sale | 135,032 | 178,695 | (84,788) | 93,154 |
Net gain on loans acquired for sale | $ 26,096 | $ 158,890 | $ 77,370 | $ 203,504 |
Net Gains (Losses) on Investm_3
Net Gains (Losses) on Investments - Summary of Net Gains (Losses) on Investments (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
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 | $ 540,593 | $ 371,239 | $ 721,380 | $ 508,185 |
Net gains (losses) on investments | 128,405 | 488,934 | 211,596 | (326,197) |
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 | 29,252 | 17,064 | (41,865) | 133,031 |
CRT arrangements | 98,029 | 262,163 | 252,060 | (225,129) |
Firm commitment to purchase CRT securities | 0 | 226,035 | 0 | (266,478) |
Asset-backed financing of VIEs at fair value | 1,582 | (162) | 2,483 | 1,766 |
Hedging derivatives | 75 | (16,739) | 51 | 48,192 |
Net gains (losses) on investments | 128,405 | 489,035 | 209,945 | (311,955) |
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 gains (losses) on investments | 0 | (101) | 1,651 | (14,242) |
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 | (664) | 795 | (3,009) | (2,074) |
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 | $ 131 | $ (121) | $ 225 | $ (1,263) |
Net Interest Income (Expense) -
Net Interest Income (Expense) - Summary of Net Interest Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Interest income: | ||||
Interest income | $ 43,686 | $ 40,812 | $ 81,275 | $ 112,935 |
Interest expense: | ||||
Assets sold under agreements to repurchase | 23,282 | 17,071 | 51,941 | 54,822 |
Interest expense, total | 79,202 | 61,048 | 155,510 | 142,116 |
Net interest expense | (35,516) | (20,236) | (74,235) | (29,181) |
PennyMac Financial Services, Inc. [Member] | ||||
Interest income: | ||||
Interest income | 0 | 2,372 | 1,280 | 4,346 |
Interest expense: | ||||
Assets sold under agreements to repurchase | 0 | 792 | 387 | 2,010 |
Nonaffiliates [Member] | ||||
Interest income: | ||||
Cash and short-term investments | 215 | 892 | 441 | 2,519 |
Mortgage-backed securities | 7,806 | 9,883 | 16,092 | 25,451 |
Loans acquired for sale at fair value | 32,613 | 16,081 | 55,520 | 47,604 |
Distressed | 40 | 233 | 293 | 292 |
Deposits securing CRT arrangements | 156 | 507 | 325 | 6,606 |
Placement fees relating to custodial funds | 1,472 | 8,116 | 4,004 | 20,514 |
Other | 16 | 16 | 53 | 250 |
Interest income | 43,686 | 38,440 | 79,995 | 108,589 |
Interest expense: | ||||
Assets sold under agreements to repurchase | 23,282 | 17,071 | 51,941 | 54,822 |
Mortgage loan participation purchase and sale agreements | 141 | 210 | 305 | 548 |
Notes payable secured by credit risk transfer and mortgage servicing assets | 24,174 | 15,449 | 42,773 | 35,067 |
Asset-backed financings of VIEs at fair value | 1,996 | 2,470 | 2,164 | 6,997 |
Interest shortfall on repayments of loans serviced for Agency securitizations | 18,536 | 19,804 | 40,576 | 29,243 |
Interest on loan impound deposits | 763 | 909 | 1,512 | 1,820 |
Interest expense, total | 79,202 | 60,256 | 155,123 | 140,106 |
Nonaffiliates [Member] | Exchangeable Notes [Member] | ||||
Interest expense: | ||||
Total interest expense | 10,310 | 4,343 | 15,852 | 11,609 |
Nonaffiliates [Member] | Variable Interest Entities [Member] | ||||
Interest income: | ||||
Loans at fair value | $ 1,368 | $ 2,712 | $ 3,267 | $ 5,353 |
Share-Based Compensation - Addi
Share-Based Compensation - Additional Information (Detail) - Restricted Share Units [Member] | 6 Months Ended |
Jun. 30, 2021 | |
Minimum [Member] | |
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |
Vesting period | 1 year |
Maximum [Member] | |
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |
Vesting period | 3 years |
Share-Based Compensation - Summ
Share-Based Compensation - Summary of Share-Based Compensation Activity (Detail) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | ||||
Total share units granted | 46 | 0 | 231 | 204 |
Total grant date value of share units | $ 872 | $ 0 | $ 4,391 | $ 4,406 |
Total share units vested | 0 | 0 | 137 | 266 |
Compensation expense relating to share-based grants | $ 1,010 | $ 869 | $ 2,748 | $ 1,054 |
Restricted Shares Units [Member] | ||||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | ||||
Total share units granted | 4 | 0 | 105 | 92 |
Total grant date value of share units | $ 75 | $ 0 | $ 1,992 | $ 1,978 |
Total share units vested | 0 | 0 | 100 | 123 |
Performance Shares Units [Member] | ||||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | ||||
Total share units granted | 42 | 0 | 126 | 112 |
Total grant date value of share units | $ 797 | $ 0 | $ 2,399 | $ 2,428 |
Total share units vested | 0 | 0 | 37 | 143 |
Share-Based Compensation - Su_2
Share-Based Compensation - Summary of Share-Based Compensation Activity (Parenthetical) (Detail) - Performance Shares Units [Member] | 6 Months Ended |
Jun. 30, 2021shares | |
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |
Share vested due to exceeding performance goal | 37,000 |
Vesting percentage | 100.00% |
Share-Based Compensation - Su_3
Share-Based Compensation - Summary of Restricted Share Units and Performance Share Units Expected to Vest (Detail) shares in Thousands | Jun. 30, 2021$ / sharesshares |
Restricted Share Units [Member] | |
Shares expected to vest: | |
Number of units (in thousands) | shares | 193 |
Grant date average fair value per unit | $ / shares | $ 20.05 |
Performance Share Units [Member] | |
Shares expected to vest: | |
Number of units (in thousands) | shares | 202 |
Grant date average fair value per unit | $ / shares | $ 19.88 |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | |
Income Tax [Line Items] | |||||
Effective income tax rates | (176.10%) | (4.60%) | |||
Income (loss) before benefit from income taxes | $ 13,797,000 | $ 468,063,000 | $ 104,825,000 | $ (116,362,000) | |
Expense (benefit) from income taxes | (24,295,000) | 3,443,000 | $ (4,870,000) | 13,691,000 | |
Percentage of deduction from taxable income | 20.00% | ||||
Taxable REIT Subsidiary [Member] | |||||
Income Tax [Line Items] | |||||
Income (loss) before benefit from income taxes | (149,600,000) | 89,900,000 | $ (61,500,000) | 68,100,000 | |
Expense (benefit) from income taxes | 24,300,000 | $ 3,400,000 | 4,900,000 | $ 13,500,000 | |
Deferred tax assets, valuation allowance | $ 5,700,000 | $ 5,700,000 | $ 110,000 |
Earnings Per Share - Additional
Earnings Per Share - Additional Information (Detail) | May 01, 2020 |
Exchangeable Senior Notes Due Two Thousand And Twenty | |
Debt Instrument [Line Items] | |
Percentage of interest on debt | 5.375% |
Earnings Per Share - Summary of
Earnings Per Share - Summary of Basic and Diluted Earnings per Share (Detail) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Earnings Per Share [Abstract] | ||||
Net income (loss) | $ 38,092 | $ 464,620 | $ 109,695 | $ (130,053) |
Dividends on preferred shares | (6,235) | (6,235) | (12,469) | (12,469) |
Effect of participating securities—share-based compensation awards | (80) | (903) | (169) | (123) |
Net income (loss) attributable to common shareholders | 31,777 | 457,482 | 97,057 | (142,645) |
Interest on the 2020 Notes, net of income taxes | 0 | 715 | 0 | 0 |
Income attributable to participating securities | 0 | 14 | 0 | 0 |
Diluted net income (loss) attributable to common shareholders | $ 31,777 | $ 458,211 | $ 97,057 | $ (142,645) |
Weighted average basic shares outstanding | 97,927 | 99,689 | 97,910 | 99,967 |
Shares issuable pursuant to exchange of the Exchangeable Notes | 0 | 1,705 | 0 | 0 |
Shares issuable under share-based compensation plan | 107 | 198 | 213 | 0 |
Diluted weighted average number of shares outstanding | 98,034 | 101,592 | 98,123 | 99,967 |
Basic earnings (loss) per share | $ 0.32 | $ 4.59 | $ 0.99 | $ (1.43) |
Diluted earnings (loss) per share | $ 0.32 | $ 4.51 | $ 0.99 | $ (1.43) |
Earnings Per Share - Summary _2
Earnings Per Share - Summary of Potentially Dilutive Shares Excluded from Computation of Diluted Earnings Per Share (Detail) - shares shares in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
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 | 107 | 142 | 0 | 236 |
Shares Issuable Pursuant to Exchange of Exchangeable Notes [Member] | ||||
Antidilutive Securities Excluded From Computation Of Earnings Per Share [Line Items] | ||||
Potentially dilutive stock excluded from the diluted earnings per share | 24,328 | 0 | 0 | 5,086 |
Segments - Additional Informati
Segments - Additional Information (Detail) | 6 Months Ended |
Jun. 30, 2021Segment | |
Segment Reporting [Abstract] | |
Number of business segments | 4 |
Segments - Financial Highlights
Segments - Financial Highlights by Operating Segment (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | |
Net investment income: | |||||
Net (losses) gains on loans acquired for sale | $ 27,726 | $ 162,214 | $ 80,738 | $ 210,989 | |
Net gain (loss) on investments | 128,405 | 488,934 | 211,596 | (326,197) | |
Net loan servicing fees | (44,912) | (102,660) | 5,133 | 141,912 | |
Net interest (expense) income: | |||||
Interest income | 43,686 | 40,812 | 81,275 | 112,935 | |
Interest expense | 79,202 | 61,048 | 155,510 | 142,116 | |
Net interest expense | (35,516) | (20,236) | (74,235) | (29,181) | |
Other | 45,863 | 30,069 | 99,731 | 54,281 | |
Net investment income | 121,566 | 558,321 | 322,963 | 51,804 | |
Expenses: | |||||
Loan fulfillment and servicing fees payable to PFSI | 74,035 | 68,348 | 153,963 | 124,809 | |
Management fees | 11,913 | 8,288 | 20,362 | 17,343 | |
Other | 21,821 | 13,622 | 43,813 | 26,014 | |
Total expenses | 107,769 | 90,258 | 218,138 | 168,166 | |
Pretax income (loss) | 13,797 | 468,063 | 104,825 | (116,362) | |
Total assets at end of quarter | 13,598,112 | 9,083,719 | 13,598,112 | 9,083,719 | $ 11,492,011 |
Credit Sensitive Strategies [Member] | |||||
Net investment income: | |||||
Net (losses) gains on loans acquired for sale | 1 | (7,573) | 0 | (39,880) | |
Net gain (loss) on investments | 98,413 | 472,269 | 252,684 | (446,841) | |
Net loan servicing fees | 0 | 0 | 0 | 0 | |
Net interest (expense) income: | |||||
Interest income | 401 | 1,133 | 1,052 | 7,689 | |
Interest expense | 16,177 | 8,796 | 33,439 | 23,362 | |
Net interest expense | (15,776) | (7,663) | (32,387) | (15,673) | |
Other | 20 | 3,014 | 908 | 3,180 | |
Net investment income | 82,658 | 460,047 | 221,205 | (499,214) | |
Expenses: | |||||
Loan fulfillment and servicing fees payable to PFSI | 80 | 240 | 218 | 541 | |
Management fees | 0 | 0 | 0 | 0 | |
Other | 4,061 | 1,014 | 8,210 | 1,926 | |
Total expenses | 4,141 | 1,254 | 8,428 | 2,467 | |
Pretax income (loss) | 78,517 | 458,793 | 212,777 | (501,681) | |
Total assets at end of quarter | 2,361,218 | 1,743,620 | 2,361,218 | 1,743,620 | |
Interest Rate Sensitive Strategies [Member] | |||||
Net investment income: | |||||
Net (losses) gains on loans acquired for sale | 0 | 0 | 0 | 0 | |
Net gain (loss) on investments | 29,992 | 16,665 | (41,088) | 120,644 | |
Net loan servicing fees | (44,912) | (102,660) | 5,133 | 141,912 | |
Net interest (expense) income: | |||||
Interest income | 10,056 | 23,585 | 23,576 | 56,827 | |
Interest expense | 39,141 | 38,093 | 76,452 | 79,701 | |
Net interest expense | (29,085) | (14,508) | (52,876) | (22,874) | |
Other | 0 | 0 | 0 | 0 | |
Net investment income | (44,005) | (100,503) | (88,831) | 239,682 | |
Expenses: | |||||
Loan fulfillment and servicing fees payable to PFSI | 19,936 | 15,294 | 38,890 | 29,514 | |
Management fees | 0 | 0 | 0 | 0 | |
Other | 1,507 | 1,691 | 2,321 | 2,873 | |
Total expenses | 21,443 | 16,985 | 41,211 | 32,387 | |
Pretax income (loss) | (65,448) | (117,488) | (130,042) | 207,295 | |
Total assets at end of quarter | 5,374,157 | 4,307,113 | 5,374,157 | 4,307,113 | |
Correspondent production [Member] | |||||
Net investment income: | |||||
Net (losses) gains on loans acquired for sale | 27,725 | 169,787 | 80,738 | 250,869 | |
Net gain (loss) on investments | 0 | 0 | 0 | 0 | |
Net loan servicing fees | 0 | 0 | 0 | 0 | |
Net interest (expense) income: | |||||
Interest income | 32,519 | 15,957 | 55,314 | 47,364 | |
Interest expense | 23,884 | 13,502 | 45,619 | 37,811 | |
Net interest expense | 8,635 | 2,455 | 9,695 | 9,553 | |
Other | 45,843 | 25,318 | 98,823 | 49,305 | |
Net investment income | 82,203 | 197,560 | 189,256 | 309,727 | |
Expenses: | |||||
Loan fulfillment and servicing fees payable to PFSI | 54,019 | 52,814 | 114,855 | 94,754 | |
Management fees | 0 | 0 | 0 | 0 | |
Other | 9,150 | 5,168 | 19,796 | 10,088 | |
Total expenses | 63,169 | 57,982 | 134,651 | 104,842 | |
Pretax income (loss) | 19,034 | 139,578 | 54,605 | 204,885 | |
Total assets at end of quarter | 5,738,154 | 2,412,751 | 5,738,154 | 2,412,751 | |
Corporate [Member] | |||||
Net investment income: | |||||
Net (losses) gains on loans acquired for sale | 0 | 0 | 0 | 0 | |
Net gain (loss) on investments | 0 | 0 | 0 | 0 | |
Net loan servicing fees | 0 | 0 | 0 | 0 | |
Net interest (expense) income: | |||||
Interest income | 710 | 137 | 1,333 | 1,055 | |
Interest expense | 0 | 657 | 0 | 1,242 | |
Net interest expense | 710 | (520) | 1,333 | (187) | |
Other | 0 | 1,737 | 0 | 1,796 | |
Net investment income | 710 | 1,217 | 1,333 | 1,609 | |
Expenses: | |||||
Loan fulfillment and servicing fees payable to PFSI | 0 | 0 | 0 | 0 | |
Management fees | 11,913 | 8,288 | 20,362 | 17,343 | |
Other | 7,103 | 5,749 | 13,486 | 11,127 | |
Total expenses | 19,016 | 14,037 | 33,848 | 28,470 | |
Pretax income (loss) | (18,306) | (12,820) | (32,515) | (26,861) | |
Total assets at end of quarter | $ 124,583 | $ 620,235 | $ 124,583 | $ 620,235 |
Supplemental Cash Flow Inform_3
Supplemental Cash Flow Information - Summary of Supplemental Cash Flow Information (Detail) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2021 | Jun. 30, 2020 | |
Payments: | ||
Income taxes, net | $ 2,076 | $ 60 |
Interest | 159,731 | 168,941 |
Non-cash investing activities: | ||
Transfer of loans and advances to real estate acquired in settlement of loans | 0 | 1,166 |
Receipt of mortgage servicing rights as proceeds from sales of loans at fair value | 820,634 | 451,949 |
Receipt of excess servicing spread pursuant to recapture agreement with PennyMac Financial Services, Inc. | 557 | 862 |
Recognition of mortgage loans at fair value held by a VIE | 249,995 | 0 |
Reclassification of MSRs to loans at fair value resulting from consolidation of a VIE | 3,281 | 0 |
Non-cash financing activities: | ||
Dividends declared, not paid | 46,098 | 39,789 |
Recognition of asset-backed secured financing | $ 240,383 | $ 0 |
Regulatory Capital and Liquid_3
Regulatory Capital and Liquidity Requirements - Additional Information (Detail) - USD ($) | Jun. 30, 2021 | Jun. 30, 2020 |
Minimum [Member] | ||
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | ||
Basis point | 6.00% | |
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% |
Unpaid Principal Balance [Member] | Fannie Mae Or Freddie Mac Mortgage Loans [Member] | ||
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | ||
Liquidity requirement basis point | 0.035% | |
Nonperforming mortgage loans [Member] | Fannie Mae Or Freddie Mac Mortgage Loans [Member] | ||
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | ||
Basis point | 70.00% | |
Nonperforming mortgage loans [Member] | Fannie Mae Or Freddie Mac Mortgage Loans [Member] | Minimum [Member] | ||
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | ||
Basis point | 6.00% |
Regulatory Capital and Liquid_4
Regulatory Capital and Liquidity Requirements - Summary of Capital and Liquidity Amounts and Requirements by Agencies (Detail) - Fannie Mae and Freddie Mac [Member] $ in Thousands | Jun. 30, 2021USD ($) | Dec. 31, 2020USD ($) |
Capital Requirements By Agencies [Line Items] | ||
Net worth, Actual | $ 1,051,787 | $ 1,101,318 |
Net worth, Required | $ 512,922 | $ 438,530 |
Tangible net worth / total assets ratio, Actual | 0.11 | 0.16 |
Tangible net worth / total assets ratio, Required | 0.06 | 0.06 |
Liquidity, Actual | $ 86,514 | $ 101,116 |
Liquidity, Required | $ 68,559 | $ 59,158 |