Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2022 | May 05, 2022 | |
Document And Entity Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Mar. 31, 2022 | |
Document Fiscal Year Focus | 2022 | |
Document Fiscal Period Focus | Q1 | |
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 | 91,953,676 | |
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 | |
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 | |
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 | |
6.75% Series C Preferred Stock [Member] | ||
Document And Entity Information [Line Items] | ||
Title of 12(b) Security | 6.75% Series C Cumulative Redeemable PreferredShares of Beneficial Interest, $0.01 Par Value | |
Trading Symbol | PMT/PC | |
Security Exchange Name | NYSE |
Consolidated Balance Sheets (Un
Consolidated Balance Sheets (Unaudited) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
ASSETS | ||
Cash | $ 187,880 | $ 58,983 |
Short-term investments at fair value | 236,468 | 167,999 |
Mortgage-backed securities at fair value pledged to creditors | 3,070,330 | 2,666,768 |
Loans acquired for sale at fair value ($1,675,107 and $4,059,479 pledged to creditors, respectively) | 1,708,745 | 4,171,025 |
Loans at fair value ($1,822,947 and $1,564,924 pledged to creditors, respectively) | 1,826,482 | 1,568,726 |
Derivative assets ($970 and $19,627 pledged to creditors, respectively) | 77,823 | 34,238 |
Derivative assets at fair value | 221,526 | 45,346 |
Deposits securing credit risk transfer arrangements pledged to creditors | 1,536,862 | 1,704,911 |
Mortgage servicing rights at fair value ($3,352,952 and $2,863,544 pledged to creditors, respectively) | 3,391,172 | 2,892,855 |
Servicing advances ($64,852 and $93,455 pledged to creditors, respectively) | 134,002 | 204,951 |
Other ($6,204 and $7,293 pledged to creditors, respectively) | 197,189 | 286,299 |
Total assets | 12,387,515 | 13,772,708 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 5,092,700 | 6,671,890 |
Mortgage loan participation purchase and sale agreements | 65,699 | 49,988 |
Notes payable secured by credit risk transfer and mortgage servicing assets | 2,372,279 | 2,471,961 |
Exchangeable senior notes | 544,100 | 502,459 |
Asset-backed financings at fair value | 1,712,650 | 1,469,999 |
Interest-only security payable at fair value | 16,373 | 10,593 |
Derivative and credit risk transfer strip liabilities at fair value | 129,350 | 42,206 |
Accounts payable and accrued liabilities | 117,682 | 96,156 |
Income taxes payable | 46,797 | 9,598 |
Liability for losses under representations and warranties | 40,225 | 40,249 |
Total liabilities | 10,165,577 | 11,405,190 |
Commitments and contingencies ─ Note 17 | ||
SHAREHOLDERS’ EQUITY | ||
Preferred shares of beneficial interest, $0.01 par value per share, authorized 100,000,000 shares, issued and outstanding 22,400,000, liquidation preference $560,000,000 | 541,482 | 541,482 |
Common shares of beneficial interest—authorized, 500,000,000 common shares of $0.01 par value; issued and outstanding, 93,007,076 and 94,897,255 common shares, respectively | 930 | 949 |
Additional paid-in capital | 2,000,107 | 2,081,757 |
Accumulated deficit | (320,581) | (256,670) |
Total shareholders’ equity | 2,221,938 | 2,367,518 |
Total liabilities and shareholders’ equity | 12,387,515 | 13,772,708 |
Variable Interest Entities [Member] | ||
ASSETS | ||
Loans at fair value ($1,822,947 and $1,564,924 pledged to creditors, respectively) | 1,822,533 | 1,564,565 |
Derivative assets at fair value | 970 | 19,627 |
Deposits securing credit risk transfer arrangements pledged to creditors | 1,536,862 | 1,704,911 |
Other interest receivable | 4,621 | 3,701 |
Total assets | 3,364,986 | 3,292,804 |
LIABILITIES | ||
Asset-backed financings at fair value | 1,712,650 | 1,469,999 |
Derivative and credit risk transfer strip liabilities at fair value | 77,614 | 27,500 |
Interest-only security payable at fair value | 16,373 | 10,593 |
Accounts payable and accrued liabilities interest payable | 4,621 | 3,701 |
Total liabilities | 1,811,258 | 1,511,793 |
PennyMac Financial Services, Inc. [Member] | ||
ASSETS | ||
Due from PennyMac Financial Services, Inc. | 20,562 | 15,953 |
LIABILITIES | ||
Due to PennyMac Financial Services, Inc. | $ 27,722 | $ 40,091 |
Consolidated Balance Sheets (_2
Consolidated Balance Sheets (Unaudited) (Parenthetical) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Loans acquired for sale at fair value, pledged to creditors | $ 1,675,107 | $ 4,059,479 |
Loans at fair value, pledged to creditors | 1,822,947 | 1,564,924 |
Derivative assets, pledged to creditors | 970 | 19,627 |
Mortgage servicing rights pledged to creditors | 3,352,952 | 2,863,544 |
Servicing Advances pledged to creditors | $ 64,852 | $ 93,455 |
Preferred stock, par value | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized | 100,000,000 | 100,000,000 |
Preferred stock, shares issued | 22,400,000 | 22,400,000 |
Preferred stock, shares outstanding | 22,400,000 | 22,400,000 |
Preferred stock, liquidation preference, value | $ 560,000 | |
Common shares, authorized | 500,000,000 | 500,000,000 |
Common shares, par value | $ 0.01 | $ 0.01 |
Common shares, issued | 93,007,076 | 94,897,255 |
Common shares, outstanding | 93,007,076 | 94,897,255 |
Real Estate Acquired in Satisfaction of Debt [Member] | ||
Other, pledged to creditors | $ 6,204 | $ 7,293 |
Consolidated Statements of Oper
Consolidated Statements of Operations (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Net investment income | ||
Contractually specified | $ 146,885 | $ 116,287 |
Other | 9,114 | 16,245 |
Net mortgage loan servicing fees | 155,999 | 132,532 |
Change in fair value of mortgage servicing rights | 303,721 | 278,282 |
Mortgage servicing rights hedging results | (163,802) | (374,403) |
Net servicing fees from non-affiliates | 304,178 | 50,045 |
Net (losses) gains on investments and financings: | (229,095) | 83,191 |
Net gains on loans acquired for sale: | 3,953 | 53,012 |
Loan origination fees | 14,774 | 52,902 |
Interest income | 51,063 | 37,589 |
Interest expense | 63,514 | 76,308 |
Net interest expense | (12,451) | (38,719) |
Results of real estate acquired in settlement of loans | 230 | 837 |
Other | 250 | 129 |
Net investment income | 81,839 | 201,397 |
Expenses | ||
Management fees | 8,117 | 8,449 |
Professional services | 4,025 | 2,224 |
Loan collection and liquidation | 3,177 | 3,857 |
Loan origination | 2,842 | 9,308 |
Safekeeping | 2,395 | 1,941 |
Compensation | 1,437 | 2,185 |
Other | 3,946 | 2,477 |
Total expenses | 63,781 | 110,369 |
Income before provision for income taxes | 18,058 | 91,028 |
Provision for income taxes | 37,187 | 19,425 |
Net (loss) income | (19,129) | 71,603 |
Dividends on preferred shares | 10,455 | 6,234 |
Net (loss) income attributable to common shareholders | $ (29,584) | $ 65,369 |
(Loss) earnings per common share | ||
Basic | $ (0.32) | $ 0.67 |
Diluted | $ (0.32) | $ 0.67 |
Weighted average common shares outstanding | ||
Basic | 94,146 | 97,892 |
Diluted | 94,146 | 98,103 |
Dividends declared per common share | $ 0.47 | $ 0.47 |
Nonaffiliates [Member] | ||
Net investment income | ||
Other | $ 9,114 | $ 16,245 |
Net servicing fees from non-affiliates | 295,918 | 36,411 |
Net (losses) gains on investments and financings: | (229,095) | 81,540 |
Net gains on loans acquired for sale: | 2,657 | 51,274 |
Interest income | 51,063 | 36,309 |
Interest expense | 63,514 | 75,921 |
PennyMac Financial Services, Inc. [Member] | ||
Net investment income | ||
From PennyMac Financial Services, Inc. | 8,260 | 13,634 |
Net (losses) gains on investments and financings: | 0 | 1,651 |
Net gains on loans acquired for sale: | 1,296 | 1,738 |
Interest income | 0 | 1,280 |
Interest expense | 0 | 387 |
Expenses | ||
Loan servicing fees | 21,088 | 19,093 |
Loan fulfillment fees | 16,754 | 60,835 |
Management fees | $ 8,117 | $ 8,449 |
Consolidated Statements of Chan
Consolidated Statements of Changes in Shareholders' Equity (Unaudited) - USD ($) shares in Thousands, $ in Thousands | Total | Cumulative Effect, Period of Adoption, Adjustment [Member] | Cumulative Effect, Period of Adoption, Adjusted Balance [Member] | Preferred Stock | Preferred StockCumulative Effect, Period of Adoption, Adjustment [Member] | Preferred StockCumulative Effect, Period of Adoption, Adjusted Balance [Member] | Common Shares [Member] | Common Shares [Member]Cumulative Effect, Period of Adoption, Adjustment [Member] | Common Shares [Member]Cumulative Effect, Period of Adoption, Adjusted Balance [Member] | Additional Paid-in Capital [Member] | Additional Paid-in Capital [Member]Cumulative Effect, Period of Adoption, Adjustment [Member] | Additional Paid-in Capital [Member]Cumulative Effect, Period of Adoption, Adjusted Balance [Member] | Accumulated Deficit [Member] | Accumulated Deficit [Member]Cumulative Effect, Period of Adoption, Adjustment [Member] | Accumulated Deficit [Member]Cumulative Effect, Period of Adoption, Adjusted Balance [Member] |
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) | 71,603 | $ 0 | $ 0 | 0 | 71,603 | ||||||||||
Share-based compensation, Amount | 1,040 | $ 0 | $ 0 | 1,040 | 0 | ||||||||||
Share-based compensation, Shares | 0 | 75 | |||||||||||||
Recognition of cash conversion option included in issuance of exchangeable senior notes, Amount | 39,986 | $ 0 | $ 0 | 39,986 | 0 | ||||||||||
Dividends: | |||||||||||||||
Preferred shares dividends | (6,236) | 0 | 0 | 0 | (6,236) | ||||||||||
Common share dividends | (46,109) | 0 | 0 | 0 | (46,109) | ||||||||||
Repurchase of common shares, Amount | $ 0 | ||||||||||||||
Repurchase of common shares, Shares | 0 | ||||||||||||||
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 | |||||||||||||
Balance, Amount at Dec. 31, 2021 | 2,367,518 | $ (40,953) | $ 2,326,565 | $ 541,482 | $ 0 | $ 541,482 | $ 949 | $ 0 | $ 949 | 2,081,757 | $ (50,347) | $ 2,031,410 | (256,670) | $ 9,394 | $ (247,276) |
Balance, Shares at Dec. 31, 2021 | 22,400 | 22,400 | 94,897 | 94,897 | |||||||||||
Net income (loss) | (19,129) | $ 0 | $ 0 | 0 | (19,129) | ||||||||||
Share-based compensation, Amount | 507 | $ 0 | $ 1 | 506 | 0 | ||||||||||
Share-based compensation, Shares | 0 | 84 | |||||||||||||
Dividends: | |||||||||||||||
Preferred shares dividends | (10,454) | $ 0 | $ 0 | 0 | (10,454) | ||||||||||
Common share dividends | (43,722) | 0 | 0 | 0 | (43,722) | ||||||||||
Repurchase of common shares, Amount | $ (31,829) | $ 0 | $ (20) | (31,809) | 0 | ||||||||||
Repurchase of common shares, Shares | (1,974) | 0 | (1,974) | ||||||||||||
Balance, Amount at Mar. 31, 2022 | $ 2,221,938 | $ 541,482 | $ 930 | $ 2,000,107 | $ (320,581) | ||||||||||
Balance, Shares at Mar. 31, 2022 | 22,400 | 93,007 | |||||||||||||
Dividends: | |||||||||||||||
Accounting Standards Update [Extensible Enumeration] | Accounting Standards Update 2020-06 [Member] |
Consolidated Statements of Ch_2
Consolidated Statements of Changes in Shareholders' Equity (Unaudited) (Parenthetical) - $ / shares | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Dividends declared per common share | $ 0.47 | $ 0.47 |
Accumulated Deficit [Member] | ||
Dividends declared per common share | $ 0.47 | $ 0.47 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Cash flows from operating activities | ||
Net (loss) income | $ (19,129) | $ 71,603 |
Adjustments to reconcile net (loss) income to net cash provided by (used in) operating activities: | ||
Change in fair value of mortgage servicing rights | (303,721) | (278,282) |
Mortgage servicing rights hedging results | 163,802 | 374,403 |
Net losses (gains) on investments and financings | 229,095 | (83,191) |
Net gains on loans acquired for sale at fair value | (3,953) | (53,012) |
Capitalization of interest and fees on loans at fair value | 0 | (198) |
Accrual of unearned discounts and amortization of purchase premiums on mortgage-backed securities, loans at fair value, and asset-backed financings | 1,526 | 909 |
Amortization of debt issuance costs | 4,140 | 7,384 |
Results of real estate acquired in settlement of loans | (230) | (837) |
Share-based compensation expense | 1,029 | 1,738 |
Purchase of loans acquired for sale at fair value from nonaffiliates | (23,072,430) | (53,234,735) |
Sale to nonaffiliates and repayment of loans acquired for sale at fair value | 11,985,961 | 33,318,157 |
Repurchase of loans subject to representation and warranties | (24,234) | (16,094) |
Decrease (increase) in servicing advances | 70,949 | (28,686) |
Increase in other assets | (230,332) | (366,695) |
Increase (decrease) in accounts payable and accrued liabilities | 22,601 | (1,988) |
Decrease in due to PennyMac Financial Services, Inc. | (12,369) | (18,683) |
Increase in income taxes payable | 37,199 | 18,930 |
Net cash provided by (used in) operating activities | 1,747,025 | (1,869,255) |
Cash flows from investing activities | ||
Net (increase) decrease in short-term investments | (68,469) | 18,920 |
Purchase of mortgage-backed securities at fair value | (661,774) | (1,259,189) |
Sale and repayment of mortgage-backed securities at fair value | 70,276 | 1,482,986 |
Sale and repayment of loans at fair value | 51,081 | 32,926 |
Repayment of excess servicing spread receivable from PennyMac Financial Services, Inc. | 0 | 134,624 |
Net settlement of derivative financial instruments | 2,688 | 4,820 |
Distribution from credit risk transfer arrangements | 207,014 | 190,943 |
Sale of real estate acquired in settlement of loans | 2,893 | 12,111 |
Decrease in margin deposits | 199,719 | 312,741 |
Net cash (used in) provided by investing activities | (196,572) | 930,882 |
Cash flows from financing activities | ||
Sale of assets under agreements to repurchase | 30,883,776 | 56,191,062 |
Repurchase of assets sold under agreements to repurchase | (32,463,483) | (56,410,371) |
Issuance of mortgage loan participation purchase and sale agreements | 999,031 | 1,305,282 |
Repayment of mortgage loan participation purchase and sale agreements | (983,296) | (1,253,957) |
Issuance of notes payable secured by credit risk transfer and mortgage servicing assets | 125,001 | 1,547,127 |
Repayment of notes payable secured by credit risk transfer and mortgage servicing assets | (225,927) | (568,357) |
Issuance of exchangeable senior notes | 0 | 345,000 |
Issuance of asset-backed financings at fair value | 382,423 | 0 |
Repayment of asset-backed financings at fair value | (49,764) | (31,798) |
Payment of debt issuance costs | (1,715) | (16,588) |
Payment of dividends to preferred shareholders | (10,454) | (6,236) |
Payment of dividends to common shareholders | (44,797) | (46,093) |
Payment of vested share-based compensation tax withholdings | (522) | (698) |
Repurchase of common shares | (31,829) | 0 |
Net cash (used in) provided by financing activities | (1,421,556) | 973,511 |
Net increase in cash | 128,897 | 35,138 |
Cash at beginning of quarter | 58,983 | 57,704 |
Cash at end of quarter | 187,880 | 92,842 |
Payments (refunds), net: | ||
Income taxes | (11) | 494 |
Interest | 62,903 | 91,611 |
Non-cash investing activities: | ||
Transfer of loans and advances to real estate acquired in settlement of loans | 0 | 280 |
Receipt of mortgage servicing rights as proceeds from sales of loans acquired for sale at fair value | 194,596 | 407,696 |
Receipt of excess servicing spread pursuant to recapture agreement with PennyMac Financial Services, Inc. | 0 | 557 |
Recognition of loans at fair value resulting from initial consolidation of variable interest entity | 405,908 | 0 |
Retention of subordinate mortgage-backed securities in loan securitization | 23,485 | 0 |
Non-cash financing activities: | ||
Recognition of asset-backed financings resulting from initial consolidation of variable interest entity | 382,423 | 0 |
Dividends declared, not paid | 43,689 | 46,109 |
PennyMac Loan Services, LLC [Member] | ||
Adjustments to reconcile net (loss) income to net cash provided by (used in) operating activities: | ||
Accrual of interest on excess servicing spread purchased from PennyMac Financial Services, Inc. | 0 | (1,280) |
Purchase of loans acquired for sale at fair value from PennyMac Financial Services, Inc. | (259,038) | 0 |
Sale of loans acquired for sale to PennyMac Financial Services, Inc. | 13,160,768 | 18,420,614 |
(Increase) decrease in due from PennyMac Financial Services, Inc. | (4,609) | 688 |
Cash flows from financing activities | ||
Repurchase of assets sold to PennyMac Financial Services, Inc. under agreement to repurchase | $ 0 | $ (80,862) |
Organization
Organization | 3 Months Ended |
Mar. 31, 2022 | |
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”), subordinate mortgage-backed securities (“MBS”), distressed loans and real estate. • 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”), a publicly-traded mortgage banking and investment management company, Agency and senior non-Agency MBS and the related interest rate hedging activities. • The correspondent production segment represents the Company’s operations aimed at serving as an intermediary between 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 | 3 Months Ended |
Mar. 31, 2022 | |
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. Accounting Change Effective January 1, 2022, the Company adopted FASB 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 As a result of the adoption of ASU 2020-06, the Company reclassified approximately $50.3 million of issuance discount originally recognized in the issuance of Exchangeable senior notes Additional paid-in capital Exchangeable senior notes Accumulated deficit Interest expense |
Concentration of Risks
Concentration of Risks | 3 Months Ended |
Mar. 31, 2022 | |
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; 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 loans in the reference pools backing the CRT securities. The obligation to absorb the losses for both CRT Agreements and CRT securities represent the Company’s recourse obligations included in the arrangements (“Recourse Obligations”). The Company also invests in subordinate MBS which are among the first beneficial interests in the related securitizations to absorb credit losses on the underlying loans. The Company’s retention of credit risk through its investment in CRT arrangements and subordinate MBS 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 in the case of CRT arrangements and investing in senior mortgage pass through securities in the case of subordinate MBS. 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 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: • The fair value of MSRs is sensitive to changes in prepayment speeds, estimates of cost to service the underlying loans or the returns demanded by market participants; • The fair values of CRT arrangements and subordinate MBS are 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; and • The fair value of Agency and senior non-Agency pass through MBS is sensitive to changes in market interest rates. |
Transactions with Related Parti
Transactions with Related Parties | 3 Months Ended |
Mar. 31, 2022 | |
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. The Company does not hold the Ginnie Mae approval required to issue securities guaranteed by Ginnie Mae and service the underlying loans. 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. Fulfillment and sourcing fees are summarized below: • Fulfillment fees shall not exceed the following: (i) the number of loan commitments issued by the Company 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 range from one to two basis points of the unpaid principal balance (“UPB”), generally based on the average number of calendar days the loans are held by PMT before purchase by PLS. 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 March 31, 2022 2021 (in thousands) Loan fulfillment fees earned by PLS $ 16,754 $ 60,835 UPB of loans fulfilled by PLS $ 9,769,262 $ 33,761,841 Sourcing fees received from PLS included in Net gains on loans acquired for sale $ 1,296 $ 1,738 UPB of loans sold to PLS $ 12,747,779 $ 17,559,575 Purchases of loans acquired for sale from PLS $ 259,038 $ — Tax service fees paid to PLS $ 2,342 $ 8,192 March 31, 2022 December 31, 2021 (in thousands) Loans included in Loans acquired for sale at fair value pending sale to PLS $ 288,974 $ 314,995 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 the delinquency, bankruptcy and/or foreclosure status of the serviced loan or real estate acquired in settlement of loans (“REO”). 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 prime 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 prime loans become delinquent, PLS is entitled to an additional servicing fee per loan ranging from $10 to $55 per month and based on the delinquency, bankruptcy and foreclosure status of the loan or $75 per month if the underlying mortgaged property becomes REO. PLS is also entitled to customary ancillary income and certain market-based fees and charges, including boarding and deboarding fees, liquidation and disposition fees, assumption, modification and origination fees and 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 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, PFSI is generally required to transfer and convey to the Company cash in an 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 at least 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 March 31, 2022 2021 (in thousands) Loan servicing fees: Loans acquired for sale at fair value $ 264 $ 543 Loans at fair value 210 137 MSRs 20,614 18,413 $ 21,088 $ 19,093 Average investment in: Loans acquired for sale at fair value $ 2,129,668 $ 3,618,980 Loans at fair value $ 1,559,939 $ 136,927 Average MSR portfolio UPB $ 217,692,169 $ 177,161,626 Management Fees The Company has a management agreement with PCM pursuant to which the Company pays PCM management fees as follows: • A base management fee that is calculated quarterly and is equal to the sum of (i) 1.5% per year of average shareholders’ equity up to $2 billion, (ii) 1.375% per year of average shareholders’ equity in excess of $2 billion and up to $5 billion, and (iii) 1.25% per year of average shareholders’ equity in excess of $5 billion. • A performance incentive fee that is calculated quarterly at a defined annualized percentage of the amount by which “net income,” on a rolling four-quarter basis and before deducting the incentive fee, exceeds certain levels of return on “equity.” The performance incentive fee is equal to the sum of: (a) 10% of the amount by which “net income” for the quarter exceeds (i) an 8% return on “equity” plus the “high watermark”, up to (ii) a 12% return on “equity”; plus (b) 15% of the amount by which “net income” for the quarter exceeds (i) a 12% return on “equity” plus the “high watermark”, up to (ii) a 16% return on “equity”; plus (c) 20% of the amount by which “net income” for the quarter exceeds a 16% return on “equity” plus the “high watermark”. For the purpose of determining the amount of the performance incentive fee: “Net income” is defined as net income or loss attributable to common shares of beneficial interest (“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 March 31, 2022 2021 (in thousands) Base management $ 8,117 $ 8,449 Performance incentive — — $ 8,117 $ 8,449 Average shareholders' equity amounts used to calculate base management fee expense $ 2,212,304 $ 2,310,261 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 is reimbursed $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 owned and managed by PCM as calcula ted at each fiscal quarter end. Following is a summary of the Company’s reimbursements to PCM and its affiliates for expenses: Quarter ended March 31, 2022 2021 (in thousands) Reimbursement of: Expenses incurred on the Company’s behalf, net $ 5,357 $ 1,336 Common overhead incurred by PCM and its affiliates 1,864 571 Compensation 165 165 $ 7,386 $ 2,072 Payments and settlements during the quarter (1) $ 39,764 $ 112,741 (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 UPB 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 UPB 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 UPB 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 March 31, 2021 (in thousands) ESS: Received pursuant to a recapture agreement $ 557 Repayments 134,624 Interest income 1,280 Net gain included in Net (losses) gains on investments and financings: Valuation changes 1,037 Recapture income 614 $ 1,651 Financing Activities PFSI held 75,000 of the Company’s common shares at both March 31, 2022 and December 31, 2021. Repurchase Agreement with PLS The Company, through PMH, has 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 March 31, 2021 (in thousands) Net repayments of assets sold under agreements to repurchase $ 80,862 Interest expense $ 387 Amounts Receivable from and Payable to PFSI Amounts receivable from and payable to PFSI are summarized below: March 31, 2022 December 31, 2021 (in thousands) Due from PFSI: Affiliates loan settlements $ 16,263 $ — Other receivables 4,299 15,953 $ 20,562 $ 15,953 Due to PFSI: Management fees $ 8,117 $ 8,918 Loan servicing fees 7,136 6,848 Correspondent production fees 6,633 8,894 Allocated expenses and expenses and costs paid by PFSI on PMT’s behalf 3,364 15,431 Fulfillment fees 2,472 — $ 27,722 $ 40,091 The Company has also transferred cash to fund loan servicing advances and REO property acquisition and preservation costs to be advanced on its behalf by PLS. Such amounts are included in various balance sheet items as summarized below: Balance sheet line including advance amount March 31, 2022 December 31, 2021 (in thousands) Loan servicing advances $ 134,002 $ 204,951 Real estate acquired in settlement of loans 4,904 7,115 $ 138,906 $ 212,066 |
Loan Sales
Loan Sales | 3 Months Ended |
Mar. 31, 2022 | |
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 March 31, 2022 2021 (in thousands) Cash flows: Proceeds from sales $ 11,985,961 $ 33,318,157 Loan servicing fees received net of guarantee fees $ 146,885 $ 116,287 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: March 31, 2022 December 31, 2021 (in thousands) UPB of loans outstanding $ 218,888,841 $ 215,927,495 Collection status (UPB) (1) Delinquency: 30-89 days delinquent $ 1,196,634 $ 1,148,542 90 or more days delinquent: Not in foreclosure $ 1,092,377 $ 1,726,488 In foreclosure $ 64,636 $ 36,658 Bankruptcy $ 126,619 $ 130,582 Delinquent loans in COVID-19 pandemic-related forbearance: 30-89 days $ 216,706 $ 169,654 90 days or more $ 481,090 $ 614,882 Custodial funds managed by the Company (2) $ 3,293,190 $ 3,823,527 (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 | 3 Months Ended |
Mar. 31, 2022 | |
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 scheduled or incurred credit losses on such loans and include CRT Agreements and CRT strips. The Company, through its subsidiary, PennyMac Corp. (“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 credit risk transfer arrangements pledged to creditors CRT Derivatives Derivative 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 loans underlying each CRT arrangement 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 PMT to purchase securities that absorb incurred credit losses on such loans. The final sales of loans subject to this type of CRT arrangement were made during September 2020. The Company purchased the securities subject to the agreements. Similar to the CRT Agreements, the Company accounts for the deposits collateralizing these securities as Deposits securing credit risk transfer arrangements pledged to creditors CRT strips, Derivative and credit risk transfer strip liabilities. The Deposits securing credit risk transfer arrangements pledged to creditors Net (losses) gains on investments and financings Following is a summary of the CRT arrangements: Quarter ended March 31, 2022 2021 (in thousands) Investment income: Net (losses) gains on investments and financings: Derivative and CRT strips: CRT derivatives: Realized $ 21,201 $ 23,496 Valuation changes (27,049 ) 12,874 (5,848 ) 36,370 CRT strips: Realized 17,763 32,604 Valuation changes (41,758 ) 93,222 (23,995 ) 125,826 Interest-only security payable at fair value (5,780 ) (8,165 ) (35,623 ) 154,031 Interest income — Deposits securing CRT arrangements 222 168 $ (35,401 ) $ 154,199 Net recoveries received to settle reversal of previously recognized losses on CRT arrangements $ 15,973 $ 13,343 March 31, 2022 December 31, 2021 (in thousands) Carrying value of CRT arrangements: Derivative and credit risk transfer strip assets (liabilities), net CRT derivatives $ (8,049 ) $ 18,964 CRT strips (68,595 ) (26,837 ) $ (76,644 ) $ (7,873 ) Deposits securing CRT arrangements $ 1,536,862 $ 1,704,911 Interest-only security payable at fair value $ 16,373 $ 10,593 CRT arrangement assets pledged to secure borrowings: Derivative assets $ 970 $ 19,627 Deposits securing CRT arrangements (1) $ 1,536,862 $ 1,704,911 UPB of loans underlying CRT arrangements $ 28,160,867 $ 30,808,907 Collection status (UPB): Delinquency (2) Current $ 27,394,812 $ 29,581,803 30-89 days delinquent $ 312,851 $ 349,291 90-180 days delinquent $ 108,762 $ 120,775 180 or more days delinquent $ 328,506 $ 748,576 Foreclosure $ 15,936 $ 8,462 Bankruptcy $ 59,008 $ 64,694 Delinquent loans in COVID-19 pandemic-related forbearance plans: 30-89 days delinquent $ 59,269 $ 44,015 90-180 days delinquent $ 47,796 $ 57,815 180 or more days delinquent $ 86,112 $ 174,041 (1) Deposits securing credit risk transfer strip arrangements pledged to creditors also secure $77.6 million and $27.5 million in CRT strip and CRT derivative liabilities at March 31, 2022 and December 31, 2021, 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. Subordinate Mortgage-Backed Securities The Company retains or purchases subordinate MBS in transactions sponsored by PMC or a nonaffiliate. 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, are 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, including those held by the Company, until they are fully repaid. The Company’s retention or purchase of subordinate MBS exposes 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 Company’s exposure to losses from its investments in subordinate MBS is limited to its recorded investment in such securities. Whether the Company concludes that it is the primary beneficiary of the VIEs issuing these subordinate MBS and therefore consolidates these entities is based on its exposure to losses that could be significant to the VIEs and its power to direct activities that most significantly impact the VIEs’ economic performance: • Certain of the Company’s investments in subordinate MBS either do not expose the Company to losses that could be significant to the issuing VIE or the Company has concluded that it does not have the power to direct the activities that most significantly impact the VIE’s economic performance. These investments are classified as credit linked securities in its investment in MBS as shown in Note 8 – Mortgage-Backed Securities . • For other investments in subordinate MBS, comprised of transactions backed by loans purchased by the Company that were subsequently included in securitizations sponsored by the Company or a nonaffiliate and serviced by PLS, the Company concluded that it is the primary beneficiary of the VIEs as it has the power, through PLS, in its role as the servicer or sub-servicer of the loans, to direct the activities of the VIEs that most significantly impact the VIEs’ economic performance and, as a holder of subordinate securities, is exposed to losses that could potentially be significant to the VIEs. Therefore, PMT consolidates those VIEs. The Company recognizes the interest income earned on the loans owned by the consolidated VIEs and the interest expense attributable to the asset-backed securities issued to nonaffiliates by the consolidated VIEs on its consolidated statements of operations. The Company’s investment in subordinate MBS included in its consolidated VIEs are summarized below: Quarter ended March 31, 2022 2021 (in thousands) Interest income $ 12,849 $ 1,899 Interest expense $ 11,027 $ 168 March 31, 2022 December 31, 2021 (in thousands) Loans at fair value $ 1,822,533 $ 1,564,565 Asset-backed financings at fair value $ 1,712,650 $ 1,469,999 Certificates retained at fair value pledged to secure Assets sold under agreements to repurchase $ 99,363 $ 85,266 |
Fair Value
Fair Value | 3 Months Ended |
Mar. 31, 2022 | |
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 and MSRs to be accounted for at fair value. The Company has elected to account for these assets at fair value so such changes in fair value will be reflected in income as they occur and more timely reflect the results of the Company’s performance. The Company has also identified its Asset-backed financings 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: March 31, 2022 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 236,468 $ — $ — $ 236,468 Mortgage-backed securities at fair value — 3,070,330 — 3,070,330 Loans acquired for sale at fair value — 1,684,420 24,325 1,708,745 Loans at fair value — 1,822,533 3,949 1,826,482 Derivative assets: Call options on interest rate futures purchase contracts 1,230 — — 1,230 Put options on interest rate futures purchase contracts 65,358 — — 65,358 Forward purchase contracts — 7,597 — 7,597 Forward sale contracts — 132,751 — 132,751 MBS put options — 11,971 — 11,971 CRT derivatives — — 970 970 Interest rate lock commitments — — 1,649 1,649 Total derivative assets before netting 66,588 152,319 2,619 221,526 Netting — — — (143,703 ) Total derivative assets after netting 66,588 152,319 2,619 77,823 Mortgage servicing rights at fair value — — 3,391,172 3,391,172 $ 303,056 $ 6,729,602 $ 3,422,065 $ 10,311,020 Liabilities: Asset-backed financings at fair value $ — $ 1,712,650 $ — $ 1,712,650 Interest-only security payable at fair value — — 16,373 16,373 Derivative and credit risk transfer strip liabilities: Put options on interest rate futures sale contracts — 3,750 — 3,750 Forward purchase contracts — 54,641 — 54,641 Forward sales contracts — 12,886 — 12,886 CRT derivatives — — 9,019 9,019 Interest rate lock commitments — — 25,114 25,114 Total derivative liabilities before netting — 71,277 34,133 105,410 Netting — — — (44,655 ) Total derivative liabilities after netting — 71,277 34,133 60,755 Credit risk transfer strips — — 68,595 68,595 Total derivative and credit risk transfer strip liabilities — 71,277 102,728 129,350 $ — $ 1,783,927 $ 119,101 $ 1,858,373 December 31, 2021 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 167,999 $ — $ — $ 167,999 Mortgage-backed securities at fair value — 2,666,768 — 2,666,768 Loans acquired for sale at fair value — 4,140,896 30,129 4,171,025 Loans at fair value — 1,564,565 4,161 1,568,726 Derivative assets: Call options on interest rate futures purchase contracts 2,828 — — 2,828 Put options on interest rate futures purchase contracts 3,180 — — 3,180 Forward purchase contracts — 5,806 — 5,806 Forward sale contracts — 6,307 — 6,307 MBS put options — 3,662 — 3,662 Swaption purchase contracts — 39 — 39 CRT derivatives — — 19,627 19,627 Interest rate lock commitments — — 3,897 3,897 Total derivative assets before netting 6,008 15,814 23,524 45,346 Netting — — — (11,108 ) Total derivative assets after netting 6,008 15,814 23,524 34,238 Mortgage servicing rights at fair value — — 2,892,855 2,892,855 $ 174,007 $ 8,388,043 $ 2,950,669 $ 11,501,611 Liabilities: Asset-backed financings at fair value $ — $ 1,469,999 $ — $ 1,469,999 Interest-only security payable at fair value — — 10,593 10,593 Derivative liabilities and credit risk transfer strips: Forward purchase contracts — 3,620 — 3,620 Forward sales contracts — 13,782 — 13,782 CRT derivatives — — 663 663 Interest rate lock commitments — — 1,446 1,446 Total derivative liabilities before netting — 17,402 2,109 19,511 Netting — — — (4,142 ) Total derivative liabilities after netting — 17,402 2,109 15,369 Credit risk transfer strips — — 26,837 26,837 Total derivative and credit risk transfer strip liabilities — 17,402 28,946 42,206 $ — $ 1,487,401 $ 39,539 $ 1,522,798 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 March 31, 2022 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, December 31, 2021 $ 30,129 $ 4,161 $ 18,964 $ 2,451 $ (26,837 ) $ 2,892,855 $ 2,921,723 Purchases and issuances 24,105 — — (28,144 ) — — (4,039 ) Repayments and sales (29,498 ) (654 ) (21,165 ) — (17,763 ) — (69,080 ) Amounts received pursuant to sales of loans — — — — — 194,596 194,596 Changes in fair value included in results of operations arising from: Changes in instrument - specific credit risk — — — — — — — Other factors (411 ) 442 (5,848 ) (118,799 ) (23,995 ) 303,721 155,110 (411 ) 442 (5,848 ) (118,799 ) (23,995 ) 303,721 155,110 Transfers: Interest rate lock commitments to loans acquired for sale (2) — — — 121,027 — — 121,027 Balance, March 31, 2022 $ 24,325 $ 3,949 $ (8,049 ) $ (23,465 ) $ (68,595 ) $ 3,391,172 $ 3,319,337 Changes in fair value recognized during the quarter relating to assets still held at March 31, 2022 $ (229 ) $ 66 $ (27,049 ) $ (23,465 ) $ (41,758 ) $ 303,721 $ 211,286 (1) For the purpose of this table, CRT derivative, IRLC, and CRT strip asset and liability positions are shown net. (2) The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale at fair value upon purchase of the respective loans. Liabilities Quarter ended March 31, 2022 (in thousands) Interest-only security payable: Balance, December 31, 2021 $ 10,593 Changes in fair value included in results of operations arising from: Changes in instrument - specific credit risk — Other factors 5,780 5,780 Balance, March 31, 2022 $ 16,373 Changes in fair value recognized during the quarter relating to liability outstanding at March 31, 2022 $ 5,780 Quarter ended March 31, 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 15,898 — — — (9,704 ) — — 6,194 Repayments and sales (16,070 ) (584 ) (134,624 ) (23,489 ) — (32,604 ) — (207,371 ) Capitalization of interest — 198 1,280 — — — — 1,478 ESS received pursuant to a recapture agreement with PFSI — — 557 — — — — 557 Amounts received pursuant to sales of loans — — — — — — 407,696 407,696 Changes in fair value included in results of operations arising from: Changes in instrument - specific credit risk — — — — — — — — Other factors 531 95 1,037 36,370 (275,515 ) 125,826 278,282 166,626 531 95 1,037 36,370 (275,515 ) 125,826 278,282 166,626 Transfers: Loans to REO — 66 — — — — — 66 Interest rate lock commitments to loans acquired for sale (2) — — — — 147,975 — — 147,975 Balance, March 31, 2021 $ 34,234 $ 7,802 $ — $ 44,676 $ (64,858 ) $ (109,570 ) $ 2,441,214 $ 2,353,498 Changes in fair value recognized during the quarter relating to assets still held at March 31, 2021 $ 337 $ 81 $ — $ 12,874 $ (64,858 ) $ 93,222 $ 278,282 $ 319,938 (1) For the purpose of this table, CRT derivative, IRLC, and CRT strip asset and liability positions are shown net. (2) The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale at fair value upon purchase of the respective loans. Liabilities Quarter ended March 31, 2021 (in thousands) Interest-only security payable: Balance, December 31, 2020 $ 10,757 Changes in fair value included in income arising from: Changes in instrument - specific credit risk — Other factors 8,165 8,165 Balance, March 31, 2021 $ 18,922 Changes in fair value recognized during the quarter relating to liability outstanding at March 31, 2021 $ 8,165 Financial Statement Items Measured at Fair Value under the Fair Value Option Following are the fair values and related principal amounts due upon maturity of loans accounted for under the fair value option (including loans acquired for sale, loans held in consolidated VIEs, and distressed loans): March 31, 2022 December 31, 2021 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 $ 1,704,140 $ 1,704,707 $ (567 ) $ 4,166,177 $ 4,048,967 $ 117,210 90 or more days delinquent: Not in foreclosure 4,605 5,183 (578 ) 4,848 5,801 (953 ) In foreclosure — — — — — — 4,605 5,183 (578 ) 4,848 5,801 (953 ) $ 1,708,745 $ 1,709,890 $ (1,145 ) $ 4,171,025 $ 4,054,768 $ 116,257 Loans at fair value: Loans held in consolidated VIEs: Current through 89 days delinquent $ 1,819,997 $ 1,886,199 $ (66,202 ) $ 1,561,794 $ 1,514,575 $ 47,219 90 or more days delinquent: Not in foreclosure 1,920 2,527 (607 ) 2,141 2,722 (581 ) In foreclosure 616 809 (193 ) 630 809 (179 ) 2,536 3,336 (800 ) 2,771 3,531 (760 ) 1,822,533 1,889,535 (67,002 ) 1,564,565 1,518,106 46,459 Distressed loans: Current through 89 days delinquent 781 1,338 (557 ) 782 1,455 (673 ) 90 or more days delinquent: Not in foreclosure 1,207 2,713 (1,506 ) 1,181 3,824 (2,643 ) In foreclosure 1,961 5,729 (3,768 ) 2,198 5,490 (3,292 ) 3,168 8,442 (5,274 ) 3,379 9,314 (5,935 ) 3,949 9,780 (5,831 ) 4,161 10,769 (6,608 ) $ 1,826,482 $ 1,899,315 $ (72,833 ) $ 1,568,726 $ 1,528,875 $ 39,851 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 March 31, 2022 Net (losses) gains on investments and financings Net gains on loans acquired for sale Net loan servicing fees Net interest expense Total (in thousands) Assets: Mortgage-backed securities at fair value $ (186,525 ) $ — $ — $ (1,411 ) $ (187,936 ) Loans acquired for sale at fair value — (227,266 ) — — (227,266 ) Loans at fair value (96,121 ) — — (949 ) (97,070 ) Credit risk transfer strips (23,995 ) — — — (23,995 ) MSRs at fair value — — 303,721 — 303,721 $ (306,641 ) $ (227,266 ) $ 303,721 $ (2,360 ) $ (232,546 ) Liabilities: Interest-only security payable at fair value $ (5,780 ) $ — $ — $ — $ (5,780 ) Asset-backed financings at fair value 89,174 — — (834 ) 88,340 $ 83,394 $ — $ — $ (834 ) $ 82,560 Quarter ended March 31, 2021 Net (losses) gains on investments and financings Net gains on loans acquired for sale Net loan servicing fees Net interest expense Total (in thousands) Assets: Mortgage-backed securities at fair value $ (71,117 ) $ — $ — $ (2,523 ) $ (73,640 ) Loans acquired for sale at fair value — (106,664 ) — — (106,664 ) Loans at fair value (2,250 ) — — 825 (1,425 ) ESS at fair value 1,037 — — 1,280 2,317 Credit risk transfer strips 125,826 — — — 125,826 MSRs at fair value — — 278,282 — 278,282 $ 53,496 $ (106,664 ) $ 278,282 $ (418 ) $ 224,696 Liabilities: Interest-only security payable at fair value $ (8,165 ) $ — $ — $ — $ (8,165 ) Asset-backed financings at fair value 900 — — 789 1,689 $ (7,265 ) $ — $ — $ 789 $ (6,476 ) Financial Statement Item Measured at Fair Value on a Nonrecurring Basis Following is a summary of the carrying value of assets that were remeasured 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) March 31, 2022 $ — $ — $ 1,983 $ 1,983 December 31, 2021 $ — $ — $ 5,147 $ 5,147 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 March 31, 2022 2021 (in thousands) Real estate asset acquired in settlement of loans $ (148 ) $ (649 ) 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 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 March 31, 2022 December 31, 2021 Instrument Carrying value Fair value Carrying value Fair value (in thousands) Notes payable secured by credit risk transfer and mortgage servicing assets $ 2,372,279 $ 2,354,174 $ 2,471,961 $ 2,480,842 Exchangeable senior notes $ 544,100 $ 531,434 $ 502,459 $ 536,460 The Company estimates 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 financings at fair value, Interest-only security payable at fair value Derivative and credit risk transfer strip liabilities at fair value 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. • PFSI’s Capital Markets Risk Management staff develops the fair value of the Company’s IRLCs which 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 financial, investment and credit 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 (losses) gains on investments and financings 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 the loans held 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: • Fair value for loans acquired for sale categorized as “Level 3” assets is 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. • Fair value for distressed loans is 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%. 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 trusts 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 (losses) gains on investments and financings 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: March 31, 2022 December 31, 2021 (dollars in thousands) Fair value CRT derivatives Assets $ 970 $ 19,627 Liabilities $ 9,019 $ 663 UPB of loans in reference pools $ 6,791,035 $ 7,426,288 Key inputs (1) Discount rate Range 5.7% – 8.6% 3.3% – 5.9% Weighted average 8.2% 5.7% Voluntary prepayment speed (2) Range 7.0% – 7.7% 12.6% – 13.1% Weighted average 7.4% 12.7% Involuntary prepayment speed (3) Range 0.2% – 0.9% (0.1)% – 0.8% Weighted average 0.3% 0.1% Remaining loss (recovery) expectation (4) Range 0.3% – 0.6% (0.1)% – 0.6% Weighted average 0.3% 0.1% (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 Conditional Prepayment Rate (“CPR”). (3) Involuntary prepayment speed is measured using Life Involuntary CPR. Negative involuntary prepayment speeds reflect the expectation for reinstatement to the reference pool of a portion of the loans that previously triggered contractual losses due to delinquency while under CARES Act forbearance upon their expected re-performance, as contractually provided for in certain CRT Agreements. (4) Remaining loss (recovery) expectation is measured as expected future contractual losses divided by the UPB of the reference loans. Negative remaining loss expectations reflect 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 IRLCs’ fair value, but also increase the pull-through rate for the loan principal and interest payment cash flow component that has decreased in fair value. Changes in fair value of IRLCs are included in Net gains on loans acquired for sale Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs: March 31, 2022 December 31, 2021 Fair value (in thousands) (1) $ (23,465 ) $ 2,451 Committed amount (in thousands) $ 1,871,490 $ 2,092,129 Key inputs (2) Pull-through rate Range 54.8% – 100% 64.3% – 100% Weighted average 91.4% 91.4% MSR fair value expressed as: Servicing fee multiple Range 0.4 – 6.6 0.5 – 6.3 Weighted average 4.6 4.5 Percentage of UPB Range 0.3% – 2.9% 0.3% – 2.7% Weighted average 1.6% 1.5% (1) For purposes of this table, IRLC asset and liability positions are shown net. (2) Weighted-average inputs are based on the committed amounts. Hedging Derivatives Fair value of derivative financial instruments actively traded on exchanges are categorized by the Company as “Level 1” fair value assets and liabilities. Fair values of derivative financial instruments based on observable interest rates, volatilities and prices in the MBS or other markets are categorized by the Company as “Level 2” fair value assets and liabilities. Changes in the fair value of hedging derivatives are included in Net (losses) gains on investments and financings, Net gains on loans acquired for sale Net loan servicing fees – from nonaffiliates – Mortgage servicing rights hedging results Credit Risk Transfer Strips The Company categorizes CRT strips as “Level 3” fair value assets or liabilities. The fair value of CRT strips is based on indications of fair value provided to the Company by nonaffiliated brokers for the certificates representing the beneficial interests in the trust holding the Deposits securing credit risk transfer arrangements pledged to creditors, Fair value of the CRT strips is derived by deducting the balance of the Deposits securing credit risk transfer arrangements pledged to creditors The Company assesses the indications of fair value 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 the CRT strips are the discount rate, voluntary and involuntary prepayment speeds and the remaining loss expectations of the reference loans. Changes in fair value of CRT strips are included in Net (losses) gains on investments and financings 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 strip liabilities: March 31, 2022 December 31, 2021 (dollars in thousands) Fair value $ 68,595 $ 26,837 UPB of loans in the reference pools $ 21,369,832 $ 23,382,619 Key inputs (1) Discount rate Range 4.8% – 8.6% 3.8% – 6.4% Weighted average 8.1% 6.0% Voluntary prepayment speed (2) Range 7.8% – 10.7% 14.9% – 17.6% Weighted average 8.2% 17.2% Involuntary prepayment speed (3) Range 0.4% – 1.3% 0.5% – 1.4% Weighted average 0.5% 0.6% Remaining loss expectation (4) Range 0.4% – 1.4% 0.3% – 1.1% Weighted average 0.6% 0.5% (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. Mortgage Servicing Rights The Company uses a discounted cash flow approach to estimate the fair value of MSRs. The fair value of MSRs is derived from the net positive cash flows associated with the servicing agreements. The Company receives a servicing fee based on the remaining UPB of the loans subject to the servicing agreements. The Company generally has the right to receive other remuneration including various mortgagor-contracted fees such as late charges and collateral reconveyance charges, and the Company is generally entitled to retain any placement fees earned on funds held pending remittance of mortgagor principal, interest, tax and insurance payments. The key inputs used in the estimation of the fair value of MSRs include the applicable pricing spread, the prepayment speeds of the underlying loans and the annual per-loan cost to service the loans, all of which are unobservable. Significant changes to any of those inputs in isolation could result in a significant change in the MSR fair value measurement. Changes in these key inputs are not directly related. Changes in the fair value of MSRs are included in Net loan servicing fees – From nonaffiliates – Change in fair value of mortgage servicing rights MSRs are generally subject to loss in fair value when returns required by market participants (pricing spreads) increase, when mortgage interest rates decrease, or when annual per-loan cost of servicing increases. Reductions in the fair value of MSRs affect income primarily through recognition of the change in fair value. Following are the key inputs used in determining the fair value of MSRs at the time of initial recognition: Quarter ended March 31, 2022 2021 (MSR recognized and UPB of underlying loans amounts in thousands) MSR recognized $ 194,596 $ 407,696 UPB of underlying loans $ 11,929,172 $ 32,448,891 Weighted average annual servicing fee rate (in basis points) 31 26 Key inputs (1) Pricing spread (2) Range 5.8% – 7.8% 8.0% – 8.0% Weighted average 6.6% 8.0% Prepayment speed (3) Range 6.0% – 9.0% 6.0% – 9.3% Weighted average 8.4% 7.5% Equivalent average life (in years) Range 4.0 – 8.4 3.9 – 8.9 Weighted average 8.0 8.5 Annual per-loan cost of servicing Range $80 – $80 $81 – $81 Weighted average $80 $81 (1) Weighted average inputs are based on UPB of the underlying loans. (2) Through December 31, 2021, the Company applied pricing spreads to the forward rates implied by the United States Dollar London Inter-Bank Offered Rate (“LIBOR”) swap curve for purposes of discounting cash flows relating to MSRs. Effective January 1, 2022, the Company adopted the United States Treasury (“Treasury”) securities yield curve for purpose of discounting cash flows relating to MSRs. The change in reference rate did not have a significant effect on the Company’s estimates of fair value. (3) Prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information. 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: March 31, 2022 December 31, 2021 (Fair value, UPB of underlying loans and effect on fair value amounts in thousands) Fair value $ 3,391,172 $ 2,892,855 UPB of underlying loans $ 219,017,091 $ 216,065,626 Weighted average annual servicing fee rate (in basis points) 28 28 Weighted average note interest rate 3.3% 3.0% Key inputs (1) Pricing spread (2) Range 4.9% – 9.0% 6.0% – 8.0% Weighted average 5.9% 7.2% Effect on fair value of: 5% adverse change $(45,375) $(39,826) 10% adverse change $(89,600) $(78,613) 20% adverse change $(174,758) $(153,220) Prepayment speed (3) Range 6.9% – 21.5% 5.5% – 12.5% Weighted average 7.8% 8.2% Equivalent average life (in years) Range 3.4 – 8.5 3.5 – 9.1 Weighted average 8.1 8.1 Effect on fair value of: 5% adverse change $(54,398) $(59,726) 10% adverse change $(106,919) $(117,162) 20% adverse change $(206,727) $(225,672) Annual per-loan cost of servicing Range $78 – $80 $80 – $81 Weighted average $80 $80 Effect on fair value of: 5% adverse change $(19,465) $(17,585) 10% adverse change $(38,930) $(35,169) 20% adverse change $(77,859) $(70,338) (1) Weighted-average inputs are based on the UPB of the underlying loans. (2) Through December 31, 2021, the Company applied pricing spreads to the forward rates implied by the United States Dollar LIBOR swap curve for purposes of discounting cash flows relating to MSRs. Effective January 1, 2022, the Company adopted the Treasury securities yield curve for purpose of d |
Mortgage-Backed Securities
Mortgage-Backed Securities | 3 Months Ended |
Mar. 31, 2022 | |
Mortgage Backed Securities [Abstract] | |
Mortgage-Backed Securities | Note 8— Following is a summary of activity in the Company’s investment in MBS: Quarter ended March 31, 2022 2021 (in thousands) Balance at beginning of quarter $ 2,666,768 $ 2,213,922 Purchases 661,774 1,259,189 Sales — (1,300,653 ) Repayments (70,276 ) (182,333 ) Changes in fair value included in income arising from: Amortization of net purchase premiums (1,411 ) (2,523 ) Valuation adjustments (186,525 ) (71,117 ) (187,936 ) (73,640 ) Balance at end of quarter $ 3,070,330 $ 1,916,485 Following is a summary of the Company’s investment in MBS: March 31, 2022 Principal balance Unamortized net purchase premiums (discounts) Accumulated valuation changes Fair value (1) (in thousands) Agency fixed-rate pass-through securities $ 3,119,140 $ 88,744 $ (250,828 ) $ 2,957,056 Subordinate credit-linked securities 85,900 (75 ) 907 86,732 Senior non-Agency securities 29,491 (937 ) (2,012 ) 26,542 $ 3,234,531 $ 87,732 $ (251,933 ) $ 3,070,330 December 31, 2021 Principal balance Unamortized net purchase premiums Accumulated valuation changes Fair value (1) (in thousands) Agency fixed-rate pass-through securities $ 2,649,238 $ 82,938 $ (65,408 ) $ 2,666,768 (1) All MBS have maturities of more than ten years and are pledged to secure Assets sold under agreements to repurchase at March 31, 2022 and December 31, 2021. |
Loans Acquired for Sale at Fair
Loans Acquired for Sale at Fair Value | 3 Months Ended |
Mar. 31, 2022 | |
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 March 31, 2022 December 31, 2021 (in thousands) Agency-eligible (1) $ 1,394,676 $ 3,825,901 Held for sale to PLS — Government insured or guaranteed (2) 288,974 314,995 Home equity lines of credit 2,971 3,265 Commercial real estate 948 964 Jumbo 770 — Repurchased pursuant to representations and warranties 20,406 25,900 $ 1,708,745 $ 4,171,025 Loans pledged to secure: Assets sold under agreements to repurchase $ 1,608,823 $ 4,007,377 Mortgage loan participation purchase and sale agreements 66,284 52,102 $ 1,675,107 $ 4,059,479 (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 or with 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 – Correspondent Production Activities. |
Loans at Fair Value
Loans at Fair Value | 3 Months Ended |
Mar. 31, 2022 | |
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 – Subordinate Mortgage-Backed Securities Following is a summary of the distribution of the Company’s loans at fair value: Loan type March 31, 2022 December 31, 2021 (in thousands) Loans in VIEs: Agency-conforming loans secured by investment properties $ 1,761,201 $ 1,495,914 Fixed interest rate jumbo loans 61,332 68,651 1,822,533 1,564,565 Distressed loans 3,949 4,161 $ 1,826,482 $ 1,568,726 Loans at fair value pledged to secure: Asset-backed financings at fair value (1) $ 1,822,533 $ 1,564,565 Assets sold under agreements to repurchase 414 359 $ 1,822,947 $ 1,564,924 (1) As discussed in Note 6 ‒ Variable Interest Entities ‒ Subordinate Mortgage-Backed Securities , the Company holds a portion of the securities issued by the VIEs. At March 31, 2022 and December 31, 2021, $99.4 million and $85.3 million, respectively, of such retained certificates were pledged to secure Assets sold under agreements to repurchase . |
Derivative and Credit Risk Tran
Derivative and Credit Risk Transfer Strip Assets and Liabilities | 3 Months Ended |
Mar. 31, 2022 | |
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: March 31, 2022 December 31, 2021 (in thousands) Derivative assets $ 77,823 $ 34,238 $ 77,823 $ 34,238 Derivative liabilities $ 60,755 $ 15,369 Credit risk transfer strip liabilities 68,595 26,837 $ 129,350 $ 42,206 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; and • 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 IO ownership interests in such loans. 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 assets 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 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, IRLCs, MSRs and MBS. The Company records all derivative and CRT strip assets and liabilities at fair value and records changes in fair value in current period income. The Company does not designate and qualify any of its derivative financial instruments for hedge accounting. Cash flows from derivative financial instruments relating to hedging of IRLCs and loans acquired for sale are included in Cash flows from operating activities Sale to nonaffiliates and repayment of loans acquired for sale at fair value. Cash flows from investing activities Derivative Notional Amounts and Fair Value of Derivatives The Company had the following derivative assets and liabilities recorded within Derivative assets Derivative and credit risk transfer liabilities Other March 31, 2022 December 31, 2021 Fair value Fair value Notional Derivative Derivative Notional Derivative Derivative Instrument amount (1) assets liabilities amount (1) assets liabilities (in thousands) Hedging derivatives subject to master netting arrangements (2): Call options on interest rate futures purchase contracts 1,275,000 $ 1,230 $ — 1,450,000 $ 2,828 $ — Put options on interest rate futures purchase contracts 4,545,000 65,358 — 1,775,000 3,180 — Put options on interest rate futures sale contracts 125,000 — 3,750 — — — Forward purchase contracts 7,819,164 7,597 54,641 6,945,340 5,806 3,620 Forward sale contracts 12,069,211 132,751 12,886 10,466,182 6,307 13,782 MBS put options 1,200,000 11,971 — 3,400,000 3,662 — MBS call options 1,000,000 — — — — — Swaption purchase contracts — — — 2,200,000 39 — Swap futures — — — 1,425,100 — — Bond futures 1,806,800 — — 181,800 — — Other derivatives not subject to master netting arrangements: CRT derivatives 6,791,035 970 9,019 7,426,288 19,627 663 Interest rate lock commitments 1,871,490 1,649 25,114 2,092,129 3,897 1,446 Total derivatives before netting 221,526 105,410 45,346 19,511 Netting (143,703 ) (44,655 ) (11,108 ) (4,142 ) $ 77,823 $ 60,755 $ 34,238 $ 15,369 Margin deposits received from derivative counterparties, net $ 99,049 $ 6,965 Derivative assets pledged to secure: Notes payable secured by credit risk transfer and mortgage servicing assets $ 970 $ 19,627 (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 and IRLCs. As of March 31, 2022 and December 31, 2021, 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: March 31, 2022 December 31, 2021 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 $ 1,230 $ — $ 1,230 $ 2,828 $ — $ 2,828 Put options on interest rate futures purchase contracts 65,358 — 65,358 3,180 — 3,180 Forward purchase contracts 7,597 — 7,597 5,806 — 5,806 Forward sale contracts 132,751 — 132,751 6,307 — 6,307 MBS put options 11,971 — 11,971 3,662 — 3,662 Swaption purchase contracts — — — 39 — 39 Netting — (143,703 ) (143,703 ) — (11,108 ) (11,108 ) 218,907 (143,703 ) 75,204 21,822 (11,108 ) 10,714 Not subject to master netting arrangements: CRT derivatives 970 — 970 19,627 — 19,627 Interest rate lock commitments 1,649 — 1,649 3,897 — 3,897 2,619 — 2,619 23,524 — 23,524 $ 221,526 $ (143,703 ) $ 77,823 $ 45,346 $ (11,108 ) $ 34,238 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. March 31, 2022 December 31, 2021 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 $ 970 $ — $ — $ 970 $ 19,627 $ — $ — $ 19,627 Interest rate lock commitments 1,649 — — 1,649 3,897 — — 3,897 RJ O’Brien & Associates, LLC 62,838 — — 62,838 6,008 — — 6,008 Bank of America, N.A. 7,033 — — 7,033 1,958 — — 1,958 Wells Fargo Securities, LLC 1,496 — — 1,496 — — — — Jefferies & Company, Inc. 1,180 — — 1,180 119 — — 119 Federal National Mortgage Association 1,013 — — 1,013 — — — — J.P. Morgan Securities LLC — — — — 2,085 — — 2,085 Other 1,644 — — 1,644 544 — — 544 $ 77,823 $ — $ — $ 77,823 $ 34,238 $ — $ — $ 34,238 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 meet the accounting guidance to qualify for setoff accounting. March 31, 2022 December 31, 2021 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: Put options on interest rate futures sale contracts $ 3,750 $ — $ 3,750 $ — $ — $ — Forward purchase contracts 54,641 — 54,641 3,620 — 3,620 Forward sales contracts 12,886 — 12,886 13,782 — 13,782 Netting — (44,655 ) (44,655 ) — (4,142 ) (4,142 ) 71,277 (44,655 ) 26,622 17,402 (4,142 ) 13,260 Not subject to master netting arrangements: CRT derivatives 9,019 — 9,019 663 — 663 Interest rate lock commitments 25,114 — 25,114 1,446 — 1,446 105,410 (44,655 ) 60,755 19,511 (4,142 ) 15,369 Assets sold under agreements to repurchase: UPB 5,094,835 — 5,094,835 6,674,541 — 6,674,541 Unamortized debt issuance costs (2,135 ) — (2,135 ) (2,651 ) — (2,651 ) 5,092,700 — 5,092,700 6,671,890 — 6,671,890 $ 5,198,110 $ (44,655 ) $ 5,153,455 $ 6,691,401 $ (4,142 ) $ 6,687,259 Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty The following table summarizes by significant counterparty the amount of derivative liabilities and assets sold under agreements to repurchase after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance to 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. March 31, 2022 December 31, 2021 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 $ 25,114 $ — $ — $ 25,114 $ 1,446 $ — $ — $ 1,446 CRT derivatives 9,019 — — 9,019 663 — — 663 Bank of America, N.A. 1,166,110 (1,166,110 ) — — 1,088,417 (1,088,417 ) — — J.P. Morgan Securities LLC 1,001,910 (999,248 ) — 2,662 726,762 (726,762 ) — — Barclays Capital Inc. 722,786 (722,495 ) — 291 1,086,104 (1,085,723 ) — 381 Credit Suisse Securities (USA) LLC 718,759 (708,581 ) — 10,178 832,610 (830,954 ) — 1,656 Daiwa Capital Markets 503,227 (503,048 ) — 179 495,973 (495,973 ) — — RBC Capital Markets, L.P. 346,316 (346,316 ) — — 1,293,754 (1,293,754 ) — — Goldman Sachs & Co. LLC 208,497 (207,389 ) — 1,108 217,459 (212,580 ) — 4,879 Citigroup Global Markets Inc. 136,345 (131,170 ) — 5,175 131,312 (129,016 ) — 2,296 Amherst Pierpont Securities LLC 111,425 (111,425 ) — — 125,090 (125,090 ) — — Wells Fargo Securities, LLC 84,998 (84,998 ) — — 106,088 (104,674 ) — 1,414 BNP Paribas 81,750 (81,008 ) — 742 171,185 (171,185 ) — — Morgan Stanley & Co. LLC 37,148 (33,047 ) — 4,101 412,321 (410,413 ) — 1,908 Other 2,186 — — 2,186 726 — — 726 $ 5,155,590 $ (5,094,835 ) $ — $ 60,755 $ 6,689,910 $ (6,674,541 ) $ — $ 15,369 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 March 31, Derivative activity Consolidated statement of operations line 2022 2021 (in thousands) Interest rate lock commitments Net gains on loans acquired for sale (1) $ (25,916 ) $ (137,243 ) CRT derivatives Net (losses) gains on investments and financings $ (5,848 ) $ 36,370 Hedged item: Interest rate lock commitments and loans acquired for sale Net gains on loans acquired for sale $ 251,899 $ 297,476 Mortgage servicing rights Net loan servicing fees $ (163,802 ) $ (374,403 ) Fixed-rate and prepayment sensitive assets and LIBOR-indexed repurchase agreements Net (losses) gains on investments and financings $ — $ (24 ) (1) Represents net change 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 or cancellation of the commitment 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) March 31, 2022 December 31, 2021 (in thousands) Currently unrestricted $ (68,595 ) $ 5,978 To maturity — (32,815 ) $ (68,595 ) $ (26,837 ) (1) Through December 31, 2021, the terms of the agreement underlying the CRT securities restricted sales of the securities, other than under agreements to repurchase, without the approval of Fannie Mae, for specified periods from the date of issuance. The restriction on sales was removed during the quarter ended March 31, 2022. |
Mortgage Servicing Rights
Mortgage Servicing Rights | 3 Months Ended |
Mar. 31, 2022 | |
Text Block [Abstract] | |
Mortgage Servicing Rights | Note 12—Mortgage Servicing Rights Following is a summary of MSRs: Quarter ended March 31, 2022 2021 (in thousands) Balance at beginning of quarter $ 2,892,855 $ 1,755,236 MSRs resulting from loan sales 194,596 407,696 Changes in fair value: Due to changes in inputs used in valuation model (1) 392,640 337,667 Other changes in fair value (2) (88,919 ) (59,385 ) 303,721 278,282 Balance at end of quarter $ 3,391,172 $ 2,441,214 March 31, 2022 December 31, 2021 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and and mortgage servicing assets $ 3,352,952 $ 2,863,544 (1) Primarily reflects changes in pricing spread, prepayment speed, servicing cost, and UPB for underlying loan inputs. (2) Represents changes due to realization of expected cash flows. Servicing fees relating to MSRs are recorded in Net loan servicing fees – from nonaffiliates Quarter ended March 31, 2022 2021 (in thousands) Contractually-specified servicing fees $ 146,885 $ 116,287 Ancillary and other fees: Late charges 612 412 Other 8,502 15,833 9,114 16,245 $ 155,999 $ 132,532 Average MSR servicing portfolio $ 217,692,169 $ 177,161,626 |
Other Assets
Other Assets | 3 Months Ended |
Mar. 31, 2022 | |
Other Assets [Abstract] | |
Other Assets | Note 13— Other assets are summarized below: March 31, 2022 December 31, 2021 (in thousands) Margin deposits $ 90,974 $ 193,418 Correspondent lending receivables 54,141 27,539 Interest receivable 13,428 15,168 Real estate acquired in settlement of loans 11,719 14,382 Servicing fees receivable 10,473 16,756 Other receivables 4,215 15,299 Other 12,239 3,737 $ 197,189 $ 286,299 Real estate acquired in settlement of loans pledge to secure Assets sold under agreements to repurchase $ 6,204 $ 7,293 |
Short-Term Borrowings
Short-Term Borrowings | 3 Months Ended |
Mar. 31, 2022 | |
Short Term Borrowings [Abstract] | |
Short-Term Borrowings | Note 14— The borrowing facilities described throughout these Notes 14 and 15 contain various covenants, including financial covenants governing the Company’s net worth, debt-to-equity ratio and liquidity. Management believes that the Company was in compliance with these covenants as of March 31, 2022. Assets Sold Under Agreements to Repurchase Following is a summary of financial information relating to assets sold under agreements to repurchase: Quarter ended March 31, 2022 2021 (dollars in thousands) Weighted average interest rate (1) 1.06 % 1.60 % Average balance $ 4,999,896 $ 5,971,290 Total interest expense $ 15,571 $ 28,659 Maximum daily amount outstanding $ 7,405,436 $ 7,208,807 (1) Excludes the effect of amortization of debt issuance costs of $2.5 million and $5.2 million for the quarters ended March 31, 2022 and 2021, respectively. March 31, 2022 December 31, 2021 (dollars in thousands) Carrying value: Unpaid principal balance Funded under committed facilities $ 4,775,890 $ 5,799,975 Funded under uncommitted facilities 318,945 874,566 5,094,835 6,674,541 Unamortized debt issuance costs (2,135 ) (2,651 ) $ 5,092,700 $ 6,671,890 Weighted average interest rate 1.23 % 1.08 % Available borrowing capacity (1): Committed $ 1,211,221 $ 289,436 Uncommitted 6,031,056 4,875,433 $ 7,242,277 $ 5,164,869 Margin deposits placed with counterparties included in Other $ 44,153 $ 67,997 Assets securing agreements to repurchase: Mortgage-backed securities $ 3,070,330 $ 2,666,768 Loans acquired for sale at fair value $ 1,608,823 $ 4,007,377 Loans at fair value: Certificates retained in asset-backed financings $ 99,363 $ 85,266 Distressed $ 414 $ 359 Deposits securing CRT arrangements $ 102,027 $ — MSRs (2) $ 1,836,018 $ 1,598,090 Servicing advances $ 64,852 $ 93,455 Real estate acquired in settlement of loans $ 6,204 $ 7,293 (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 March 31, 2022 Unpaid principal balance (in thousands) Within 30 days $ 3,204,520 Over 30 to 90 days 1,118,999 Over 90 days to 180 days 346,316 Over 180 days to 1 year 425,000 $ 5,094,835 Weighted average maturity (in months) 2.2 The Company is subject to margin calls during the period the repurchase agreements are outstanding and therefore may be required to repay a portion of the borrowings before the respective repurchase agreements mature if the fair value (as determined by the applicable lender) of the assets securing those repurchase agreements decreases. The amount at risk (the fair value of the assets pledged plus the related margin deposit, less the amount advanced by the counterparty and interest payable) and maturity information relating to the Company’s assets sold under agreements to repurchase is summarized by pledged asset and counterparty below as of March 31, 2022 : Loans, REO and MSRs Weighted-average maturity Counterparty Amount Advances Facility (in thousands) Bank of America, N.A. $ 10,622 April 18, 2022 June 7, 2023 Barclays Capital Inc. $ 25,760 June 21, 2022 November 3, 2022 JPMorgan Chase & Co. $ 2,478 May 24, 2022 June 6, 2023 Citibank, N.A. $ 8,196 June 7, 2022 August 10, 2023 Credit Suisse First Boston Mortgage Capital LLC $ 21,555 June 21, 2022 March 31, 2023 RBC Capital Markets, L.P. $ 15,239 July 19, 2022 February 10, 2023 Goldman Sachs & Co. LLC $ 8,130 June 22, 2022 December 23, 2022 Morgan Stanley & Co. LLC $ 3,733 June 4, 2022 January 3, 2024 BNP Paribas Corporate & Institutional Banking $ 2,439 June 19, 2022 July 31, 2023 Wells Fargo Securities, LLC $ 1,704 June 15, 2022 November 17, 2023 Securities Counterparty Amount at risk Weighted average maturity (in thousands) Bank of America, N.A. $ 43,672 April 15, 2022 Barclays Capital Inc. $ 14,045 April 12, 2022 JPMorgan Chase & Co. $ 29,054 April 16, 2022 Citibank, N.A. $ 16,691 April 28, 2022 Daiwa Capital Markets America Inc. $ 15,670 April 22, 2022 Amherst Pierpont Securities LLC $ 4,953 April 18, 2022 CRT arrangements Counterparty Amount at risk Weighted average maturity (in thousands) Bank of America, N.A. $ 34,627 April 29, 2022 Mortgage Loan Participation Purchase and Sale Agreement One of the borrowing facilities secured by loans acquired for sale is in the form of mortgage loan participation purchase and sale agreement. 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 the 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 agreement is summarized below: Quarter ended March 31, 2022 2021 (dollars in thousands) Weighted average interest rate (1) 1.64 % 1.38 % Average balance $ 35,809 $ 39,162 Total interest expense $ 176 $ 164 Maximum daily amount outstanding $ 88,633 $ 82,571 (1) Excludes the effect of amortization of debt issuance costs of $31,000 for the quarters ended March 31, 2022 and 2021. March 31, 2022 December 31, 2021 (dollars in thousands) Carrying value: Amount outstanding $ 65,725 $ 49,988 Unamortized debt issuance costs (26 ) — $ 65,699 $ 49,988 Weighted average interest rate 1.83 % 1.48 % Loans acquired for sale pledged to secure Mortgage loan participation purchase and sale agreements $ 66,284 $ 52,102 |
Long-Term Debt
Long-Term Debt | 3 Months Ended |
Mar. 31, 2022 | |
Debt Disclosure [Abstract] | |
Long-Term Debt | Note 15— 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 CRT term notes rank pari passu with each other. Following is a summary of the secured CRT term notes issued: Unpaid Annual Maturity date Term notes Issuance date Issuance amount principal balance interest rate spread (1) Stated Optional extension (2) (in thousands) 2021 1R March 04, 2021 $ 659,156 $ 350,557 2.90 % February 28, 2024 February 27, 2026 2020 2R December 22, 2020 $ 500,000 264,301 3.81 % December 28, 2022 — 2020 1R February 14, 2020 $ 350,000 75,356 2.35 % March 1, 2023 February 27, 2025 2019 3R October 16, 2019 $ 375,000 71,556 2.70 % October 27, 2022 October 29, 2024 2019 2R June 11, 2019 $ 638,000 216,940 2.75 % May 29, 2023 May 29, 2025 $ 978,710 (1) Spread over one-month LIBOR. (2) The indentures relating to these issuances provide the Company with the option of extending the maturity dates of certain of the term notes under the conditions specified in the respective agreements. PMC finances mortgage servicing rights through the issuance of a Series 2017-VF1 Note dated December 20, 2017 (the "FMSR VFN") issued by another one of the Company’s indirect subsidiaries and sold to institutional buyers under an agreement to repurchase. The FMSR VFN has a committed borrowing capacity of $700 million and matures on March 31, 2023. 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 year 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 could finance certain mortgage servicing rights (inclusive of any related excess servicing spread arising therefrom and 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 $1 billion from $700 million, bears interest at a rate equal to SOFR plus 3.36% per year, and will mature on June 30, 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 year. 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 March 31, 2022 2021 (dollars in thousands) Weighted average interest rate (1) 3.14 % 3.14 % Average balance $ 2,438,773 $ 2,260,721 Total interest expense $ 20,366 $ 18,599 Maximum daily amount outstanding $ 2,601,767 $ 3,180,115 (1) Excludes the effect of amortization of debt issuance costs of $1.5 million and $1.1 million for the quarters ended March 31, 2022 and 2021, respectively. March 31, 2022 December 31, 2021 (dollars in thousands) Carrying value: Amount outstanding CRT term notes $ 978,710 $ 1,204,636 2021-FT1 Notes 350,000 350,000 Freddie Mac loan and security agreement 600,000 475,000 2018-FT1 Notes 450,000 450,000 2,378,710 2,479,636 Unamortized debt issuance costs (6,431 ) (7,675 ) $ 2,372,279 $ 2,471,961 Weighted average interest rate 3.29 % 3.02 % Assets securing notes payable: MSRs (1) $ 3,352,952 $ 2,863,544 CRT Agreements: Deposits securing CRT arrangements $ 1,434,835 $ 1,704,911 Derivative assets $ 970 $ 19,627 (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 Senior Notes On March 5 and March 9, 2021, PMC issued $345 million aggregate principal amount of exchangeable senior notes due 2026 (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. On November 4 and November 19, 2019, PMC issued $210 million aggregate principal amount of exchangeable senior notes due 2024 (the “2024 Exchangeable Notes” and, together with the 2026 Exchangeable Notes, the “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 2026 Exchangeable Notes and the 2024 Exchangeable Notes each bear interest at 5.50% per year, payable semiannually, 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 applicable maturity date, subject to the satisfaction of certain conditions if the exchange occurs before December 15, 2025 (in the case of the 2026 Exchangeable Notes) and August 1, 2024 (in the case of the 2024 Exchangeable Notes). The exchange rates are equal to 46.1063 Following is financial information relating to the Exchangeable Notes: Quarter ended March 31, 2022 2021 (in thousands) Average balance $ 529,542 $ 298,554 Weighted average interest rate (1) 5.84 % 7.01 % Interest expense: Coupon $ 7,631 $ 4,230 Amortization of: Conversion options (2) — 927 Issuance costs 689 385 $ 8,320 $ 5,542 March 31, 2022 December 31, 2021 (in thousands) Carrying value: UPB $ 555,000 $ 555,000 Conversion option allocated to Additional paid-in capital — (40,952 ) Unamortized debt issuance costs (10,900 ) (11,589 ) (10,900 ) (52,541 ) $ 544,100 $ 502,459 (1) Excludes the effect of amortization of debt issuance and conversion option costs. (2) As discussed in Note 2 ‒ Basis of Presentation and Accounting Change ‒ Accounting Change , the Company adopted ASU 2020‑06 effective January 1, 2022. As a result of the adoption of ASU 2020-06, the Company reclassified approximately $50.3 million of issuance discount originally recognized in the issuance of Exchangeable senior notes from Additional paid-in capital to the carrying value of the Exchangeable senior notes and $9.4 million of previously recognized amortization of the issuance discount, as an adjustment to the Accumulated deficit effective January 1, 2022. 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 ‒ Subordinate Mortgage-Backed Securities Quarter ended March 31, 2022 2021 (dollars in thousands) Average balance $ 1,460,610 $ 120,415 Total interest expense $ 11,027 $ 168 Weighted average interest rate (1) 3.29 % 3.22 % (1) Excludes the effect of net debt issuance cost of $834,000 and $789,000 for the quarters ended March 31, 2022 and 2021, respectively. March 31, 2022 December 31, 2021 (dollars in thousands) Fair value $ 1,712,650 $ 1,469,999 UPB $ 1,787,300 $ 1,442,379 Weighted average interest rate 3.18 % 3.18 % The asset-backed financings are non-recourse liabilities and are secured solely by the assets of 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 certificates. Maturities of Long-Term Debt Contractual maturities of long-term debt obligations (based on final maturity dates) are as follows: Twelve months ended March 31, Total 2023 2024 2025 2026 2027 Thereafter (in thousands) Notes payable secured by credit risk transfer and mortgage servicing assets (1) $ 2,378,710 $ 1,011,213 $ 1,017,497 $ — $ 350,000 $ — $ — Exchangeable senior notes 555,000 — — 210,000 345,000 — — Asset-backed financings at fair value (2) 1,787,300 — — — — — 1,787,300 Interest-only security payable at fair value (2) 16,373 — — — — — 16,373 Total $ 4,737,383 $ 1,011,213 $ 1,017,497 $ 210,000 $ 695,000 $ — $ 1,803,673 (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 | 3 Months Ended |
Mar. 31, 2022 | |
Liability For Representations And Warranties [Abstract] | |
Liability for Losses Under Representations and Warranties | Note 16—Liability for Losses Under Representations and Warranties Following is a summary of the Company’s liability for losses under representations and warranties: Quarter ended March 31, 2022 2021 (in thousands) Balance, beginning of quarter $ 40,249 $ 21,893 Provision for losses: Pursuant to loan sales 1,317 8,513 Reduction in liability due to change in estimate (1,165 ) (1,424 ) Losses incurred, net (176 ) (15 ) Balance, end of quarter $ 40,225 $ 28,967 UPB of loans subject to representations and warranties at end of quarter $ 217,466,262 $ 177,595,762 |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2022 | |
Commitments And Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 17—Commitments and Contingencies Commitments The following table summarizes the Company’s outstanding contractual commitments: March 31, 2022 (in thousands) Commitments to purchase loans acquired for sale $ 1,871,490 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. Cessation of the LIBOR Index The Company is involved in both lending and financing transactions that use the LIBOR index to establish the applicable interest or dividend rates. It has been announced that this index will no longer be published. The Company services LIBOR-based adjustable rate mortgages for which the underlying mortgage notes incorporate fallback provisions. The Company also has certain debt agreements and preferred shares of beneficial interest that have not yet transitioned from LIBOR to a replacement index but contain replacement provisions related to the transition from LIBOR. |
Shareholders' Equity
Shareholders' Equity | 3 Months Ended |
Mar. 31, 2022 | |
Equity [Abstract] | |
Shareholders' Equity | Note 18—Shareholders’ Equity Preferred Shares of Beneficial Interest Preferred shares of beneficial interest are summarized below: Preferred Dividends per share, quarter ended March 31, Share series Description (1) Number of shares Liquidation preference Issuance discount Carrying value 2022 2021 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 B 8.00% Issued July 2017 7,800 195,000 6,465 188,535 $ 0.50 $ 0.50 Fixed-rate cumulative redeemable preferred C 6.75% Issued August 2021 10,000 250,000 8,225 241,775 $ 0.42 $ — 22,400 $ 560,000 $ 18,518 $ 541,482 (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 year 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 year 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”) pay cumulative dividends at a fixed rate of 8.00% per year 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 year based on the $25.00 per share liquidation preference. The Company’s Series C Fixed Rate Cumulative Redeemable Preferred Shares of Beneficial Interest (the “Series C Preferred Shares” together with the Series A Preferred Shares and Series B Preferred Shares, the “Preferred Shares”) pay cumulative dividends at a fixed rate of 6.75% per year based on the $25.00 per share liquidation preference. The Series A Preferred Shares, the Series B Preferred Shares and Series C Preferred Shares will not be redeemable before March 15, 2024, June 15, 2024 and August 24, 2026, 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 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 periodically enters into ATM equity offering programs allowing it to offer and sell securities on an as-and-when-needed basis through designated broker-dealers. On June 15, 2021, the Company entered into a new ATM equity offering program allowing it to offer up to $200 million of its common shares, all of which were available for issuance as of March 31, 2022. Common Share Repurchase Program On June 11, 2021, the Company’s board of trustees approved an increase to the Company’s common share 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. The following table summarizes the Company’s common share repurchase activity: Quarter ended March 31, Cumulative 2022 2021 total (1) (in thousands) Common shares repurchased 1,974 — 22,571 Cost of common shares repurchased $ 31,829 $ — $ 342,576 (1) Amounts represent the share repurchase program total from its inception in August 2015 through March 31, 2022. |
Net (Losses) Gains on Investmen
Net (Losses) Gains on Investments and Financings | 3 Months Ended |
Mar. 31, 2022 | |
Investments Debt And Equity Securities [Abstract] | |
Net (Losses) Gains on Investments and Financings | Note 19— Net (losses) gains on investments and financings are summarized below: Quarter ended March 31, 2022 2021 (in thousands) From nonaffiliates: Mortgage-backed securities $ (186,525 ) $ (71,117 ) Loans at fair value: Held in VIEs (96,564 ) (2,345 ) Distressed 443 95 CRT arrangements (35,623 ) 154,031 Asset-backed financings at fair value 89,174 900 Hedging derivatives — (24 ) (229,095 ) 81,540 From PFSI ‒ ESS — 1,651 $ (229,095 ) $ 83,191 |
Net Gains on Loans Acquired for
Net Gains on Loans Acquired for Sale | 3 Months Ended |
Mar. 31, 2022 | |
Text Block [Abstract] | |
Net Gains on Loans Acquired for Sale | Note 20— Net Gains on Loans Acquired for Sale Net gains on loans acquired for sale are summarized below: Quarter ended March 31, 2022 2021 (in thousands) From nonaffiliates: Cash loss: Sales of loans $ (439,788 ) $ (592,789 ) Hedging activities 338,102 463,276 (101,686 ) (129,513 ) Non‒cash gain: Receipt of MSRs in mortgage loan sale transactions 194,596 407,696 Provision for losses relating to representations and warranties provided in loan sales: Pursuant to loans sales (1,317 ) (8,513 ) Reduction of liability due to change in estimate 1,165 1,424 (152 ) (7,089 ) Change in fair value of loans and derivatives IRLCs (25,916 ) (137,243 ) Loans 22,018 83,223 Hedging derivatives (86,203 ) (165,800 ) (90,101 ) (219,820 ) 104,343 180,787 Total from nonaffiliates 2,657 51,274 From PFSI ‒ cash gain 1,296 1,738 $ 3,953 $ 53,012 |
Net Interest Expense
Net Interest Expense | 3 Months Ended |
Mar. 31, 2022 | |
Banking And Thrift Interest [Abstract] | |
Net Interest Expense | Note 21—Net Interest Expense Net interest expense is summarized below: Quarter ended March 31, 2022 2021 (in thousands) Interest income: From nonaffiliates: Cash and short-term investments $ 403 $ 225 Mortgage-backed securities 14,400 8,286 Loans acquired for sale at fair value 19,248 22,908 Loans at fair value: Held in VIEs 12,849 1,899 Distressed 174 253 Deposits securing CRT arrangements 222 168 Placement fees relating to custodial funds 3,709 2,532 Other 58 38 51,063 36,309 From PFSI ‒ ESS — 1,280 51,063 37,589 Interest expense: To nonaffiliates: Assets sold under agreements to repurchase 15,571 28,659 Mortgage loan participation purchase and sale agreements 176 164 Notes payable secured by credit risk transfer and mortgage servicing assets 20,366 18,599 Exchangeable senior notes 8,320 5,542 Asset-backed financings at fair value 11,027 168 Interest shortfall on repayments of loans serviced for Agency securitizations 7,042 22,040 Interest on loan impound deposits 1,012 749 63,514 75,921 To PFSI ‒ Assets sold under agreement to repurchase — 387 63,514 76,308 Net interest expense $ (12,451 ) $ (38,719 ) |
Share-Based Compensation
Share-Based Compensation | 3 Months Ended |
Mar. 31, 2022 | |
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract] | |
Share-Based Compensation | Note 22—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 March 31, 2022 2021 (in thousands) Grants: Restricted share units 128 101 Performance share units 99 84 227 185 Grant date fair value: Restricted share units $ 2,006 $ 1,917 Performance share units 1,551 1,602 $ 3,557 $ 3,519 Vestings: Restricted share units 78 100 Performance share units (1) 41 37 119 137 Forfeitures: Restricted share units — — Performance share units 9 — 9 — Compensation expense relating to share-based grants $ 1,029 $ 1,738 (1) The actual number of performance-based RSUs that vested during the quarter ended March 31, 2022 was 39,000 common shares, which is 96% of the originally granted performance-based RSUs. March 31, 2022 Restricted share units Performance share units Shares expected to vest: Number of units (in thousands) 221 171 Grant date average fair value per unit $ 17.33 $ 17.31 |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2022 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Note 23—Income Taxes The Company’s effective tax rate was 205.9% with consolidated pretax income of $18.1 million for the quarter ended March 31, 2022. The Company’s taxable REIT subsidiary (“TRS”) recognized a tax expense of $37.9 million on pretax income of $272.8 million for the quarter ended March 31, 2022. The TRS income was primarily due to increases in MSR fair values. For the same period in 2021, the TRS recognized a tax expense of $19.4 million on pretax income of $88.1 million. The Company’s reported consolidated pretax income was $91.0 million for the quarter ended March 31, 2021. 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 March 31, 2022, the valuation allowance was decreased to $6.8 million from the $34.1 million valuation allowance recorded at December 31, 2021 as the result of GAAP income at the TRS for the quarter ended March 31, 2022. 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. While the CARES Act provides for carry back of losses from 201 8, 2019 and 202 0 , 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 Common Share
Earnings Per Common Share | 3 Months Ended |
Mar. 31, 2022 | |
Earnings Per Share [Abstract] | |
Earnings Per Common Share | Note 24—Earnings Per Common 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. As discussed in Note 2 ‒ Basis of Presentation and Accounting Change ‒ Accounting Change, The following table summarizes the basic and diluted earnings per share calculations: Quarter ended March 31, 2022 2021 (in thousands except per share amounts) Net (loss) income $ (19,129 ) $ 71,603 Dividends on preferred shares (10,455 ) (6,234 ) Effect of participating securities ‒ (104 ) (120 ) Net (loss) income attributable to common shareholders $ (29,688 ) $ 65,249 Weighted average basic shares outstanding 94,146 97,892 Dilutive securities‒shares issuable under share-based compensation plan — 211 Diluted weighted average shares outstanding 94,146 98,103 Basic (loss) earnings per share $ (0.32 ) $ 0.67 Diluted (loss) earnings per share $ (0.32 ) $ 0.67 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 March 31, 2022 2021 (in thousands) Shares issuable under share-based compensation plan 133 11 Shares issuable pursuant to exchange of the exchangeable senior notes 24,328 — |
Segments
Segments | 3 Months Ended |
Mar. 31, 2022 | |
Segment Reporting [Abstract] | |
Segments | Note 25—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 March 31, 2022 strategies strategies production Corporate Total (in thousands) Net investment income: Net loan servicing fees $ — $ 304,178 $ — $ — $ 304,178 Net (losses) gains on investments and financings (44,905 ) (184,190 ) — — (229,095 ) Net gains on loans acquired for sale (4 ) — 3,957 — 3,953 Net interest expense: Interest income 2,058 29,110 19,181 714 51,063 Interest expense 10,128 41,685 11,560 141 63,514 (8,070 ) (12,575 ) 7,621 573 (12,451 ) Other 288 — 14,966 — 15,254 (52,691 ) 107,413 26,544 573 81,839 Expenses: Loan servicing fees and fulfillment payable to PFSI 59 21,029 16,754 — 37,842 Management fees — — — 8,117 8,117 Other 3,211 2,175 5,212 7,224 17,822 3,270 23,204 21,966 15,341 63,781 Pretax (loss) income $ (55,961 ) $ 84,209 $ 4,578 $ (14,768 ) $ 18,058 Total assets at end of quarter $ 1,747,763 $ 8,387,313 $ 1,812,210 $ 440,229 $ 12,387,515 Credit Interest rate sensitive sensitive Correspondent Quarter ended March 31, 2021 strategies strategies production Corporate Total (in thousands) Net investment income: Net loan servicing fees $ — $ 50,045 $ — $ — $ 50,045 Net (losses) gains on investments and financings 154,271 (71,080 ) — — 83,191 Net gains on loans acquired for sale (1 ) — 53,013 — 53,012 Net interest expense: Interest income 650 13,516 22,797 626 37,589 Interest expense 17,261 37,316 21,731 — 76,308 (16,611 ) (23,800 ) 1,066 626 (38,719 ) Other 888 — 52,980 — 53,868 138,547 (44,835 ) 107,059 626 201,397 Expenses: Loan servicing fees and fulfillment payable to PFSI 137 18,955 60,836 — 79,928 Management fees — — — 8,449 8,449 Other 4,150 812 10,646 6,384 21,992 4,287 19,767 71,482 14,833 110,369 Pretax income (loss) $ 134,260 $ (64,602 ) $ 35,577 $ (14,207 ) $ 91,028 Total assets at end of quarter $ 2,772,111 $ 4,739,849 $ 4,796,564 $ 213,730 $ 12,522,254 |
Regulatory Capital and Liquidit
Regulatory Capital and Liquidity Requirements | 3 Months Ended |
Mar. 31, 2022 | |
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 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 COVID-19 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) March 31, 2022 $ 1,173,125 $ 559,717 19 % 6 % $ 97,626 $ 75,714 December 31, 2021 $ 938,218 $ 557,229 12 % 6 % $ 108,536 $ 74,771 (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 | 3 Months Ended |
Mar. 31, 2022 | |
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) | 3 Months Ended |
Mar. 31, 2022 | |
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”), subordinate mortgage-backed securities (“MBS”), distressed loans and real estate. • 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”), a publicly-traded mortgage banking and investment management company, Agency and senior non-Agency MBS and the related interest rate hedging activities. • The correspondent production segment represents the Company’s operations aimed at serving as an intermediary between 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 | Accounting Change Effective January 1, 2022, the Company adopted FASB 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 As a result of the adoption of ASU 2020-06, the Company reclassified approximately $50.3 million of issuance discount originally recognized in the issuance of Exchangeable senior notes Additional paid-in capital Exchangeable senior notes Accumulated deficit Interest expense |
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. Fair Value Accounting Elections The Company identified all of PMT’s non-cash financial assets and MSRs to be accounted for at fair value. The Company has elected to account for these assets at fair value so such changes in fair value will be reflected in income as they occur and more timely reflect the results of the Company’s performance. The Company has also identified its Asset-backed financings at fair value Interest-only security payable at fair value |
Earnings Per Common 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. As discussed in Note 2 ‒ Basis of Presentation and Accounting Change ‒ Accounting Change, |
Transactions with Related Par_2
Transactions with Related Parties (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Related Party Transactions [Abstract] | |
Summary of Correspondent Production Activity | Following is a summary of correspondent production activity between the Company and PLS: Quarter ended March 31, 2022 2021 (in thousands) Loan fulfillment fees earned by PLS $ 16,754 $ 60,835 UPB of loans fulfilled by PLS $ 9,769,262 $ 33,761,841 Sourcing fees received from PLS included in Net gains on loans acquired for sale $ 1,296 $ 1,738 UPB of loans sold to PLS $ 12,747,779 $ 17,559,575 Purchases of loans acquired for sale from PLS $ 259,038 $ — Tax service fees paid to PLS $ 2,342 $ 8,192 March 31, 2022 December 31, 2021 (in thousands) Loans included in Loans acquired for sale at fair value pending sale to PLS $ 288,974 $ 314,995 |
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 March 31, 2022 2021 (in thousands) Loan servicing fees: Loans acquired for sale at fair value $ 264 $ 543 Loans at fair value 210 137 MSRs 20,614 18,413 $ 21,088 $ 19,093 Average investment in: Loans acquired for sale at fair value $ 2,129,668 $ 3,618,980 Loans at fair value $ 1,559,939 $ 136,927 Average MSR portfolio UPB $ 217,692,169 $ 177,161,626 |
Summary of Management Fee Expense | Following is a summary of management fee expenses: Quarter ended March 31, 2022 2021 (in thousands) Base management $ 8,117 $ 8,449 Performance incentive — — $ 8,117 $ 8,449 Average shareholders' equity amounts used to calculate base management fee expense $ 2,212,304 $ 2,310,261 |
Summary of Expenses | Following is a summary of the Company’s reimbursements to PCM and its affiliates for expenses: Quarter ended March 31, 2022 2021 (in thousands) Reimbursement of: Expenses incurred on the Company’s behalf, net $ 5,357 $ 1,336 Common overhead incurred by PCM and its affiliates 1,864 571 Compensation 165 165 $ 7,386 $ 2,072 Payments and settlements during the quarter (1) $ 39,764 $ 112,741 (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 March 31, 2021 (in thousands) ESS: Received pursuant to a recapture agreement $ 557 Repayments 134,624 Interest income 1,280 Net gain included in Net (losses) gains on investments and financings: Valuation changes 1,037 Recapture income 614 $ 1,651 |
Summary of Financing Activities | Following is a summary of financing activities between the Company and PFSI: Quarter ended March 31, 2021 (in thousands) Net repayments of assets sold under agreements to repurchase $ 80,862 Interest expense $ 387 |
Summary of Amounts Receivable From and Payable to PFSI | Amounts receivable from and payable to PFSI are summarized below: March 31, 2022 December 31, 2021 (in thousands) Due from PFSI: Affiliates loan settlements $ 16,263 $ — Other receivables 4,299 15,953 $ 20,562 $ 15,953 Due to PFSI: Management fees $ 8,117 $ 8,918 Loan servicing fees 7,136 6,848 Correspondent production fees 6,633 8,894 Allocated expenses and expenses and costs paid by PFSI on PMT’s behalf 3,364 15,431 Fulfillment fees 2,472 — $ 27,722 $ 40,091 |
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 to be advanced on its behalf by PLS. Such amounts are included in various balance sheet items as summarized below: Balance sheet line including advance amount March 31, 2022 December 31, 2021 (in thousands) Loan servicing advances $ 134,002 $ 204,951 Real estate acquired in settlement of loans 4,904 7,115 $ 138,906 $ 212,066 |
Loan Sales (Tables)
Loan Sales (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
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 March 31, 2022 2021 (in thousands) Cash flows: Proceeds from sales $ 11,985,961 $ 33,318,157 Loan servicing fees received net of guarantee fees $ 146,885 $ 116,287 |
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: March 31, 2022 December 31, 2021 (in thousands) UPB of loans outstanding $ 218,888,841 $ 215,927,495 Collection status (UPB) (1) Delinquency: 30-89 days delinquent $ 1,196,634 $ 1,148,542 90 or more days delinquent: Not in foreclosure $ 1,092,377 $ 1,726,488 In foreclosure $ 64,636 $ 36,658 Bankruptcy $ 126,619 $ 130,582 Delinquent loans in COVID-19 pandemic-related forbearance: 30-89 days $ 216,706 $ 169,654 90 days or more $ 481,090 $ 614,882 Custodial funds managed by the Company (2) $ 3,293,190 $ 3,823,527 (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] | 3 Months Ended |
Mar. 31, 2022 | |
Summary of Investment in Subordinate Mortgage Backed Securities | The Company’s investment in subordinate MBS included in its consolidated VIEs are summarized below: Quarter ended March 31, 2022 2021 (in thousands) Interest income $ 12,849 $ 1,899 Interest expense $ 11,027 $ 168 March 31, 2022 December 31, 2021 (in thousands) Loans at fair value $ 1,822,533 $ 1,564,565 Asset-backed financings at fair value $ 1,712,650 $ 1,469,999 Certificates retained at fair value pledged to secure Assets sold under agreements to repurchase $ 99,363 $ 85,266 |
Credit Risk Transfer Agreements [Member] | |
Summary of Credit Risk Transfer Agreements | Following is a summary of the CRT arrangements: Quarter ended March 31, 2022 2021 (in thousands) Investment income: Net (losses) gains on investments and financings: Derivative and CRT strips: CRT derivatives: Realized $ 21,201 $ 23,496 Valuation changes (27,049 ) 12,874 (5,848 ) 36,370 CRT strips: Realized 17,763 32,604 Valuation changes (41,758 ) 93,222 (23,995 ) 125,826 Interest-only security payable at fair value (5,780 ) (8,165 ) (35,623 ) 154,031 Interest income — Deposits securing CRT arrangements 222 168 $ (35,401 ) $ 154,199 Net recoveries received to settle reversal of previously recognized losses on CRT arrangements $ 15,973 $ 13,343 March 31, 2022 December 31, 2021 (in thousands) Carrying value of CRT arrangements: Derivative and credit risk transfer strip assets (liabilities), net CRT derivatives $ (8,049 ) $ 18,964 CRT strips (68,595 ) (26,837 ) $ (76,644 ) $ (7,873 ) Deposits securing CRT arrangements $ 1,536,862 $ 1,704,911 Interest-only security payable at fair value $ 16,373 $ 10,593 CRT arrangement assets pledged to secure borrowings: Derivative assets $ 970 $ 19,627 Deposits securing CRT arrangements (1) $ 1,536,862 $ 1,704,911 UPB of loans underlying CRT arrangements $ 28,160,867 $ 30,808,907 Collection status (UPB): Delinquency (2) Current $ 27,394,812 $ 29,581,803 30-89 days delinquent $ 312,851 $ 349,291 90-180 days delinquent $ 108,762 $ 120,775 180 or more days delinquent $ 328,506 $ 748,576 Foreclosure $ 15,936 $ 8,462 Bankruptcy $ 59,008 $ 64,694 Delinquent loans in COVID-19 pandemic-related forbearance plans: 30-89 days delinquent $ 59,269 $ 44,015 90-180 days delinquent $ 47,796 $ 57,815 180 or more days delinquent $ 86,112 $ 174,041 (1) Deposits securing credit risk transfer strip arrangements pledged to creditors also secure $77.6 million and $27.5 million in CRT strip and CRT derivative liabilities at March 31, 2022 and December 31, 2021, 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) | 3 Months Ended |
Mar. 31, 2022 | |
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: March 31, 2022 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 236,468 $ — $ — $ 236,468 Mortgage-backed securities at fair value — 3,070,330 — 3,070,330 Loans acquired for sale at fair value — 1,684,420 24,325 1,708,745 Loans at fair value — 1,822,533 3,949 1,826,482 Derivative assets: Call options on interest rate futures purchase contracts 1,230 — — 1,230 Put options on interest rate futures purchase contracts 65,358 — — 65,358 Forward purchase contracts — 7,597 — 7,597 Forward sale contracts — 132,751 — 132,751 MBS put options — 11,971 — 11,971 CRT derivatives — — 970 970 Interest rate lock commitments — — 1,649 1,649 Total derivative assets before netting 66,588 152,319 2,619 221,526 Netting — — — (143,703 ) Total derivative assets after netting 66,588 152,319 2,619 77,823 Mortgage servicing rights at fair value — — 3,391,172 3,391,172 $ 303,056 $ 6,729,602 $ 3,422,065 $ 10,311,020 Liabilities: Asset-backed financings at fair value $ — $ 1,712,650 $ — $ 1,712,650 Interest-only security payable at fair value — — 16,373 16,373 Derivative and credit risk transfer strip liabilities: Put options on interest rate futures sale contracts — 3,750 — 3,750 Forward purchase contracts — 54,641 — 54,641 Forward sales contracts — 12,886 — 12,886 CRT derivatives — — 9,019 9,019 Interest rate lock commitments — — 25,114 25,114 Total derivative liabilities before netting — 71,277 34,133 105,410 Netting — — — (44,655 ) Total derivative liabilities after netting — 71,277 34,133 60,755 Credit risk transfer strips — — 68,595 68,595 Total derivative and credit risk transfer strip liabilities — 71,277 102,728 129,350 $ — $ 1,783,927 $ 119,101 $ 1,858,373 December 31, 2021 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 167,999 $ — $ — $ 167,999 Mortgage-backed securities at fair value — 2,666,768 — 2,666,768 Loans acquired for sale at fair value — 4,140,896 30,129 4,171,025 Loans at fair value — 1,564,565 4,161 1,568,726 Derivative assets: Call options on interest rate futures purchase contracts 2,828 — — 2,828 Put options on interest rate futures purchase contracts 3,180 — — 3,180 Forward purchase contracts — 5,806 — 5,806 Forward sale contracts — 6,307 — 6,307 MBS put options — 3,662 — 3,662 Swaption purchase contracts — 39 — 39 CRT derivatives — — 19,627 19,627 Interest rate lock commitments — — 3,897 3,897 Total derivative assets before netting 6,008 15,814 23,524 45,346 Netting — — — (11,108 ) Total derivative assets after netting 6,008 15,814 23,524 34,238 Mortgage servicing rights at fair value — — 2,892,855 2,892,855 $ 174,007 $ 8,388,043 $ 2,950,669 $ 11,501,611 Liabilities: Asset-backed financings at fair value $ — $ 1,469,999 $ — $ 1,469,999 Interest-only security payable at fair value — — 10,593 10,593 Derivative liabilities and credit risk transfer strips: Forward purchase contracts — 3,620 — 3,620 Forward sales contracts — 13,782 — 13,782 CRT derivatives — — 663 663 Interest rate lock commitments — — 1,446 1,446 Total derivative liabilities before netting — 17,402 2,109 19,511 Netting — — — (4,142 ) Total derivative liabilities after netting — 17,402 2,109 15,369 Credit risk transfer strips — — 26,837 26,837 Total derivative and credit risk transfer strip liabilities — 17,402 28,946 42,206 $ — $ 1,487,401 $ 39,539 $ 1,522,798 |
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 March 31, 2022 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, December 31, 2021 $ 30,129 $ 4,161 $ 18,964 $ 2,451 $ (26,837 ) $ 2,892,855 $ 2,921,723 Purchases and issuances 24,105 — — (28,144 ) — — (4,039 ) Repayments and sales (29,498 ) (654 ) (21,165 ) — (17,763 ) — (69,080 ) Amounts received pursuant to sales of loans — — — — — 194,596 194,596 Changes in fair value included in results of operations arising from: Changes in instrument - specific credit risk — — — — — — — Other factors (411 ) 442 (5,848 ) (118,799 ) (23,995 ) 303,721 155,110 (411 ) 442 (5,848 ) (118,799 ) (23,995 ) 303,721 155,110 Transfers: Interest rate lock commitments to loans acquired for sale (2) — — — 121,027 — — 121,027 Balance, March 31, 2022 $ 24,325 $ 3,949 $ (8,049 ) $ (23,465 ) $ (68,595 ) $ 3,391,172 $ 3,319,337 Changes in fair value recognized during the quarter relating to assets still held at March 31, 2022 $ (229 ) $ 66 $ (27,049 ) $ (23,465 ) $ (41,758 ) $ 303,721 $ 211,286 (1) For the purpose of this table, CRT derivative, IRLC, and CRT strip asset and liability positions are shown net. (2) The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale at fair value upon purchase of the respective loans. Liabilities Quarter ended March 31, 2022 (in thousands) Interest-only security payable: Balance, December 31, 2021 $ 10,593 Changes in fair value included in results of operations arising from: Changes in instrument - specific credit risk — Other factors 5,780 5,780 Balance, March 31, 2022 $ 16,373 Changes in fair value recognized during the quarter relating to liability outstanding at March 31, 2022 $ 5,780 Quarter ended March 31, 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 15,898 — — — (9,704 ) — — 6,194 Repayments and sales (16,070 ) (584 ) (134,624 ) (23,489 ) — (32,604 ) — (207,371 ) Capitalization of interest — 198 1,280 — — — — 1,478 ESS received pursuant to a recapture agreement with PFSI — — 557 — — — — 557 Amounts received pursuant to sales of loans — — — — — — 407,696 407,696 Changes in fair value included in results of operations arising from: Changes in instrument - specific credit risk — — — — — — — — Other factors 531 95 1,037 36,370 (275,515 ) 125,826 278,282 166,626 531 95 1,037 36,370 (275,515 ) 125,826 278,282 166,626 Transfers: Loans to REO — 66 — — — — — 66 Interest rate lock commitments to loans acquired for sale (2) — — — — 147,975 — — 147,975 Balance, March 31, 2021 $ 34,234 $ 7,802 $ — $ 44,676 $ (64,858 ) $ (109,570 ) $ 2,441,214 $ 2,353,498 Changes in fair value recognized during the quarter relating to assets still held at March 31, 2021 $ 337 $ 81 $ — $ 12,874 $ (64,858 ) $ 93,222 $ 278,282 $ 319,938 (1) For the purpose of this table, CRT derivative, IRLC, and CRT strip asset and liability positions are shown net. (2) The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale at fair value upon purchase of the respective loans. Liabilities Quarter ended March 31, 2021 (in thousands) Interest-only security payable: Balance, December 31, 2020 $ 10,757 Changes in fair value included in income arising from: Changes in instrument - specific credit risk — Other factors 8,165 8,165 Balance, March 31, 2021 $ 18,922 Changes in fair value recognized during the quarter relating to liability outstanding at March 31, 2021 $ 8,165 |
Fair Values and Related Principal Amounts Due upon Maturity of Mortgage Loans Accounted for Under Fair Value Option | Following are the fair values and related principal amounts due upon maturity of loans accounted for under the fair value option (including loans acquired for sale, loans held in consolidated VIEs, and distressed loans): March 31, 2022 December 31, 2021 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 $ 1,704,140 $ 1,704,707 $ (567 ) $ 4,166,177 $ 4,048,967 $ 117,210 90 or more days delinquent: Not in foreclosure 4,605 5,183 (578 ) 4,848 5,801 (953 ) In foreclosure — — — — — — 4,605 5,183 (578 ) 4,848 5,801 (953 ) $ 1,708,745 $ 1,709,890 $ (1,145 ) $ 4,171,025 $ 4,054,768 $ 116,257 Loans at fair value: Loans held in consolidated VIEs: Current through 89 days delinquent $ 1,819,997 $ 1,886,199 $ (66,202 ) $ 1,561,794 $ 1,514,575 $ 47,219 90 or more days delinquent: Not in foreclosure 1,920 2,527 (607 ) 2,141 2,722 (581 ) In foreclosure 616 809 (193 ) 630 809 (179 ) 2,536 3,336 (800 ) 2,771 3,531 (760 ) 1,822,533 1,889,535 (67,002 ) 1,564,565 1,518,106 46,459 Distressed loans: Current through 89 days delinquent 781 1,338 (557 ) 782 1,455 (673 ) 90 or more days delinquent: Not in foreclosure 1,207 2,713 (1,506 ) 1,181 3,824 (2,643 ) In foreclosure 1,961 5,729 (3,768 ) 2,198 5,490 (3,292 ) 3,168 8,442 (5,274 ) 3,379 9,314 (5,935 ) 3,949 9,780 (5,831 ) 4,161 10,769 (6,608 ) $ 1,826,482 $ 1,899,315 $ (72,833 ) $ 1,568,726 $ 1,528,875 $ 39,851 |
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 March 31, 2022 Net (losses) gains on investments and financings Net gains on loans acquired for sale Net loan servicing fees Net interest expense Total (in thousands) Assets: Mortgage-backed securities at fair value $ (186,525 ) $ — $ — $ (1,411 ) $ (187,936 ) Loans acquired for sale at fair value — (227,266 ) — — (227,266 ) Loans at fair value (96,121 ) — — (949 ) (97,070 ) Credit risk transfer strips (23,995 ) — — — (23,995 ) MSRs at fair value — — 303,721 — 303,721 $ (306,641 ) $ (227,266 ) $ 303,721 $ (2,360 ) $ (232,546 ) Liabilities: Interest-only security payable at fair value $ (5,780 ) $ — $ — $ — $ (5,780 ) Asset-backed financings at fair value 89,174 — — (834 ) 88,340 $ 83,394 $ — $ — $ (834 ) $ 82,560 Quarter ended March 31, 2021 Net (losses) gains on investments and financings Net gains on loans acquired for sale Net loan servicing fees Net interest expense Total (in thousands) Assets: Mortgage-backed securities at fair value $ (71,117 ) $ — $ — $ (2,523 ) $ (73,640 ) Loans acquired for sale at fair value — (106,664 ) — — (106,664 ) Loans at fair value (2,250 ) — — 825 (1,425 ) ESS at fair value 1,037 — — 1,280 2,317 Credit risk transfer strips 125,826 — — — 125,826 MSRs at fair value — — 278,282 — 278,282 $ 53,496 $ (106,664 ) $ 278,282 $ (418 ) $ 224,696 Liabilities: Interest-only security payable at fair value $ (8,165 ) $ — $ — $ — $ (8,165 ) Asset-backed financings at fair value 900 — — 789 1,689 $ (7,265 ) $ — $ — $ 789 $ (6,476 ) |
Summary of Carrying Value of Financial Statement Items Remeasured Based on Fair Value on Nonrecurring Basis | Following is a summary of the carrying value of assets that were remeasured 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) March 31, 2022 $ — $ — $ 1,983 $ 1,983 December 31, 2021 $ — $ — $ 5,147 $ 5,147 |
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 March 31, 2022 2021 (in thousands) Real estate asset acquired in settlement of loans $ (148 ) $ (649 ) |
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 March 31, 2022 December 31, 2021 Instrument Carrying value Fair value Carrying value Fair value (in thousands) Notes payable secured by credit risk transfer and mortgage servicing assets $ 2,372,279 $ 2,354,174 $ 2,471,961 $ 2,480,842 Exchangeable senior notes $ 544,100 $ 531,434 $ 502,459 $ 536,460 |
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: March 31, 2022 December 31, 2021 (dollars in thousands) Fair value CRT derivatives Assets $ 970 $ 19,627 Liabilities $ 9,019 $ 663 UPB of loans in reference pools $ 6,791,035 $ 7,426,288 Key inputs (1) Discount rate Range 5.7% – 8.6% 3.3% – 5.9% Weighted average 8.2% 5.7% Voluntary prepayment speed (2) Range 7.0% – 7.7% 12.6% – 13.1% Weighted average 7.4% 12.7% Involuntary prepayment speed (3) Range 0.2% – 0.9% (0.1)% – 0.8% Weighted average 0.3% 0.1% Remaining loss (recovery) expectation (4) Range 0.3% – 0.6% (0.1)% – 0.6% Weighted average 0.3% 0.1% (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 Conditional Prepayment Rate (“CPR”). (3) Involuntary prepayment speed is measured using Life Involuntary CPR. Negative involuntary prepayment speeds reflect the expectation for reinstatement to the reference pool of a portion of the loans that previously triggered contractual losses due to delinquency while under CARES Act forbearance upon their expected re-performance, as contractually provided for in certain CRT Agreements. (4) Remaining loss (recovery) expectation is measured as expected future contractual losses divided by the UPB of the reference loans. Negative remaining loss expectations reflect 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: March 31, 2022 December 31, 2021 Fair value (in thousands) (1) $ (23,465 ) $ 2,451 Committed amount (in thousands) $ 1,871,490 $ 2,092,129 Key inputs (2) Pull-through rate Range 54.8% – 100% 64.3% – 100% Weighted average 91.4% 91.4% MSR fair value expressed as: Servicing fee multiple Range 0.4 – 6.6 0.5 – 6.3 Weighted average 4.6 4.5 Percentage of UPB Range 0.3% – 2.9% 0.3% – 2.7% Weighted average 1.6% 1.5% (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 Strip | 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 strip liabilities: March 31, 2022 December 31, 2021 (dollars in thousands) Fair value $ 68,595 $ 26,837 UPB of loans in the reference pools $ 21,369,832 $ 23,382,619 Key inputs (1) Discount rate Range 4.8% – 8.6% 3.8% – 6.4% Weighted average 8.1% 6.0% Voluntary prepayment speed (2) Range 7.8% – 10.7% 14.9% – 17.6% Weighted average 8.2% 17.2% Involuntary prepayment speed (3) Range 0.4% – 1.3% 0.5% – 1.4% Weighted average 0.5% 0.6% Remaining loss expectation (4) Range 0.4% – 1.4% 0.3% – 1.1% Weighted average 0.6% 0.5% (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 March 31, 2022 2021 (MSR recognized and UPB of underlying loans amounts in thousands) MSR recognized $ 194,596 $ 407,696 UPB of underlying loans $ 11,929,172 $ 32,448,891 Weighted average annual servicing fee rate (in basis points) 31 26 Key inputs (1) Pricing spread (2) Range 5.8% – 7.8% 8.0% – 8.0% Weighted average 6.6% 8.0% Prepayment speed (3) Range 6.0% – 9.0% 6.0% – 9.3% Weighted average 8.4% 7.5% Equivalent average life (in years) Range 4.0 – 8.4 3.9 – 8.9 Weighted average 8.0 8.5 Annual per-loan cost of servicing Range $80 – $80 $81 – $81 Weighted average $80 $81 (1) Weighted average inputs are based on UPB of the underlying loans. (2) Through December 31, 2021, the Company applied pricing spreads to the forward rates implied by the United States Dollar London Inter-Bank Offered Rate (“LIBOR”) swap curve for purposes of discounting cash flows relating to MSRs. Effective January 1, 2022, the Company adopted the United States Treasury (“Treasury”) securities yield curve for purpose of discounting cash flows relating to MSRs. The change in reference rate did not have a significant effect on the Company’s estimates of fair value. (3) Prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information. |
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: March 31, 2022 December 31, 2021 (Fair value, UPB of underlying loans and effect on fair value amounts in thousands) Fair value $ 3,391,172 $ 2,892,855 UPB of underlying loans $ 219,017,091 $ 216,065,626 Weighted average annual servicing fee rate (in basis points) 28 28 Weighted average note interest rate 3.3% 3.0% Key inputs (1) Pricing spread (2) Range 4.9% – 9.0% 6.0% – 8.0% Weighted average 5.9% 7.2% Effect on fair value of: 5% adverse change $(45,375) $(39,826) 10% adverse change $(89,600) $(78,613) 20% adverse change $(174,758) $(153,220) Prepayment speed (3) Range 6.9% – 21.5% 5.5% – 12.5% Weighted average 7.8% 8.2% Equivalent average life (in years) Range 3.4 – 8.5 3.5 – 9.1 Weighted average 8.1 8.1 Effect on fair value of: 5% adverse change $(54,398) $(59,726) 10% adverse change $(106,919) $(117,162) 20% adverse change $(206,727) $(225,672) Annual per-loan cost of servicing Range $78 – $80 $80 – $81 Weighted average $80 $80 Effect on fair value of: 5% adverse change $(19,465) $(17,585) 10% adverse change $(38,930) $(35,169) 20% adverse change $(77,859) $(70,338) (1) Weighted-average inputs are based on the UPB of the underlying loans. (2) Through December 31, 2021, the Company applied pricing spreads to the forward rates implied by the United States Dollar LIBOR swap curve for purposes of discounting cash flows relating to MSRs. Effective January 1, 2022, the Company adopted the Treasury securities yield curve for purpose of discounting cash flows relating to MSRs. The change in reference rate did not have a significant effect on the Company’s estimates of fair value. (3) Prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information. |
Mortgage-Backed Securities (Tab
Mortgage-Backed Securities (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
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 March 31, 2022 2021 (in thousands) Balance at beginning of quarter $ 2,666,768 $ 2,213,922 Purchases 661,774 1,259,189 Sales — (1,300,653 ) Repayments (70,276 ) (182,333 ) Changes in fair value included in income arising from: Amortization of net purchase premiums (1,411 ) (2,523 ) Valuation adjustments (186,525 ) (71,117 ) (187,936 ) (73,640 ) Balance at end of quarter $ 3,070,330 $ 1,916,485 |
Schedule of Investment in Mortgage Backed Securities | Following is a summary of the Company’s investment in MBS: March 31, 2022 Principal balance Unamortized net purchase premiums (discounts) Accumulated valuation changes Fair value (1) (in thousands) Agency fixed-rate pass-through securities $ 3,119,140 $ 88,744 $ (250,828 ) $ 2,957,056 Subordinate credit-linked securities 85,900 (75 ) 907 86,732 Senior non-Agency securities 29,491 (937 ) (2,012 ) 26,542 $ 3,234,531 $ 87,732 $ (251,933 ) $ 3,070,330 December 31, 2021 Principal balance Unamortized net purchase premiums Accumulated valuation changes Fair value (1) (in thousands) Agency fixed-rate pass-through securities $ 2,649,238 $ 82,938 $ (65,408 ) $ 2,666,768 (1) All MBS have maturities of more than ten years and are pledged to secure Assets sold under agreements to repurchase at March 31, 2022 and December 31, 2021. |
Loans Acquired for Sale at Fa_2
Loans Acquired for Sale at Fair Value (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
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 March 31, 2022 December 31, 2021 (in thousands) Agency-eligible (1) $ 1,394,676 $ 3,825,901 Held for sale to PLS — Government insured or guaranteed (2) 288,974 314,995 Home equity lines of credit 2,971 3,265 Commercial real estate 948 964 Jumbo 770 — Repurchased pursuant to representations and warranties 20,406 25,900 $ 1,708,745 $ 4,171,025 Loans pledged to secure: Assets sold under agreements to repurchase $ 1,608,823 $ 4,007,377 Mortgage loan participation purchase and sale agreements 66,284 52,102 $ 1,675,107 $ 4,059,479 (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 or with 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 – Correspondent Production Activities. |
Loans at Fair Value (Tables)
Loans at Fair Value (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
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 March 31, 2022 December 31, 2021 (in thousands) Loans in VIEs: Agency-conforming loans secured by investment properties $ 1,761,201 $ 1,495,914 Fixed interest rate jumbo loans 61,332 68,651 1,822,533 1,564,565 Distressed loans 3,949 4,161 $ 1,826,482 $ 1,568,726 Loans at fair value pledged to secure: Asset-backed financings at fair value (1) $ 1,822,533 $ 1,564,565 Assets sold under agreements to repurchase 414 359 $ 1,822,947 $ 1,564,924 (1) As discussed in Note 6 ‒ Variable Interest Entities ‒ Subordinate Mortgage-Backed Securities , the Company holds a portion of the securities issued by the VIEs. At March 31, 2022 and December 31, 2021, $99.4 million and $85.3 million, respectively, of such retained certificates were pledged to secure Assets sold under agreements to repurchase . |
Derivative and Credit Risk Tr_2
Derivative and Credit Risk Transfer Strip Assets and Liabilities (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
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: March 31, 2022 December 31, 2021 (in thousands) Derivative assets $ 77,823 $ 34,238 $ 77,823 $ 34,238 Derivative liabilities $ 60,755 $ 15,369 Credit risk transfer strip liabilities 68,595 26,837 $ 129,350 $ 42,206 |
Derivative Assets and Derivative and Credit Risk Transfer Liabilities and Related Margin Deposits Recorded in Other Assets | The Company had the following derivative assets and liabilities recorded within Derivative assets Derivative and credit risk transfer liabilities Other March 31, 2022 December 31, 2021 Fair value Fair value Notional Derivative Derivative Notional Derivative Derivative Instrument amount (1) assets liabilities amount (1) assets liabilities (in thousands) Hedging derivatives subject to master netting arrangements (2): Call options on interest rate futures purchase contracts 1,275,000 $ 1,230 $ — 1,450,000 $ 2,828 $ — Put options on interest rate futures purchase contracts 4,545,000 65,358 — 1,775,000 3,180 — Put options on interest rate futures sale contracts 125,000 — 3,750 — — — Forward purchase contracts 7,819,164 7,597 54,641 6,945,340 5,806 3,620 Forward sale contracts 12,069,211 132,751 12,886 10,466,182 6,307 13,782 MBS put options 1,200,000 11,971 — 3,400,000 3,662 — MBS call options 1,000,000 — — — — — Swaption purchase contracts — — — 2,200,000 39 — Swap futures — — — 1,425,100 — — Bond futures 1,806,800 — — 181,800 — — Other derivatives not subject to master netting arrangements: CRT derivatives 6,791,035 970 9,019 7,426,288 19,627 663 Interest rate lock commitments 1,871,490 1,649 25,114 2,092,129 3,897 1,446 Total derivatives before netting 221,526 105,410 45,346 19,511 Netting (143,703 ) (44,655 ) (11,108 ) (4,142 ) $ 77,823 $ 60,755 $ 34,238 $ 15,369 Margin deposits received from derivative counterparties, net $ 99,049 $ 6,965 Derivative assets pledged to secure: Notes payable secured by credit risk transfer and mortgage servicing assets $ 970 $ 19,627 (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: March 31, 2022 December 31, 2021 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 $ 1,230 $ — $ 1,230 $ 2,828 $ — $ 2,828 Put options on interest rate futures purchase contracts 65,358 — 65,358 3,180 — 3,180 Forward purchase contracts 7,597 — 7,597 5,806 — 5,806 Forward sale contracts 132,751 — 132,751 6,307 — 6,307 MBS put options 11,971 — 11,971 3,662 — 3,662 Swaption purchase contracts — — — 39 — 39 Netting — (143,703 ) (143,703 ) — (11,108 ) (11,108 ) 218,907 (143,703 ) 75,204 21,822 (11,108 ) 10,714 Not subject to master netting arrangements: CRT derivatives 970 — 970 19,627 — 19,627 Interest rate lock commitments 1,649 — 1,649 3,897 — 3,897 2,619 — 2,619 23,524 — 23,524 $ 221,526 $ (143,703 ) $ 77,823 $ 45,346 $ (11,108 ) $ 34,238 |
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. March 31, 2022 December 31, 2021 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 $ 970 $ — $ — $ 970 $ 19,627 $ — $ — $ 19,627 Interest rate lock commitments 1,649 — — 1,649 3,897 — — 3,897 RJ O’Brien & Associates, LLC 62,838 — — 62,838 6,008 — — 6,008 Bank of America, N.A. 7,033 — — 7,033 1,958 — — 1,958 Wells Fargo Securities, LLC 1,496 — — 1,496 — — — — Jefferies & Company, Inc. 1,180 — — 1,180 119 — — 119 Federal National Mortgage Association 1,013 — — 1,013 — — — — J.P. Morgan Securities LLC — — — — 2,085 — — 2,085 Other 1,644 — — 1,644 544 — — 544 $ 77,823 $ — $ — $ 77,823 $ 34,238 $ — $ — $ 34,238 |
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 meet the accounting guidance to qualify for setoff accounting. March 31, 2022 December 31, 2021 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: Put options on interest rate futures sale contracts $ 3,750 $ — $ 3,750 $ — $ — $ — Forward purchase contracts 54,641 — 54,641 3,620 — 3,620 Forward sales contracts 12,886 — 12,886 13,782 — 13,782 Netting — (44,655 ) (44,655 ) — (4,142 ) (4,142 ) 71,277 (44,655 ) 26,622 17,402 (4,142 ) 13,260 Not subject to master netting arrangements: CRT derivatives 9,019 — 9,019 663 — 663 Interest rate lock commitments 25,114 — 25,114 1,446 — 1,446 105,410 (44,655 ) 60,755 19,511 (4,142 ) 15,369 Assets sold under agreements to repurchase: UPB 5,094,835 — 5,094,835 6,674,541 — 6,674,541 Unamortized debt issuance costs (2,135 ) — (2,135 ) (2,651 ) — (2,651 ) 5,092,700 — 5,092,700 6,671,890 — 6,671,890 $ 5,198,110 $ (44,655 ) $ 5,153,455 $ 6,691,401 $ (4,142 ) $ 6,687,259 |
Summary of Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty | The following table summarizes by significant counterparty the amount of derivative liabilities and assets sold under agreements to repurchase after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance to 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. March 31, 2022 December 31, 2021 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 $ 25,114 $ — $ — $ 25,114 $ 1,446 $ — $ — $ 1,446 CRT derivatives 9,019 — — 9,019 663 — — 663 Bank of America, N.A. 1,166,110 (1,166,110 ) — — 1,088,417 (1,088,417 ) — — J.P. Morgan Securities LLC 1,001,910 (999,248 ) — 2,662 726,762 (726,762 ) — — Barclays Capital Inc. 722,786 (722,495 ) — 291 1,086,104 (1,085,723 ) — 381 Credit Suisse Securities (USA) LLC 718,759 (708,581 ) — 10,178 832,610 (830,954 ) — 1,656 Daiwa Capital Markets 503,227 (503,048 ) — 179 495,973 (495,973 ) — — RBC Capital Markets, L.P. 346,316 (346,316 ) — — 1,293,754 (1,293,754 ) — — Goldman Sachs & Co. LLC 208,497 (207,389 ) — 1,108 217,459 (212,580 ) — 4,879 Citigroup Global Markets Inc. 136,345 (131,170 ) — 5,175 131,312 (129,016 ) — 2,296 Amherst Pierpont Securities LLC 111,425 (111,425 ) — — 125,090 (125,090 ) — — Wells Fargo Securities, LLC 84,998 (84,998 ) — — 106,088 (104,674 ) — 1,414 BNP Paribas 81,750 (81,008 ) — 742 171,185 (171,185 ) — — Morgan Stanley & Co. LLC 37,148 (33,047 ) — 4,101 412,321 (410,413 ) — 1,908 Other 2,186 — — 2,186 726 — — 726 $ 5,155,590 $ (5,094,835 ) $ — $ 60,755 $ 6,689,910 $ (6,674,541 ) $ — $ 15,369 |
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 March 31, Derivative activity Consolidated statement of operations line 2022 2021 (in thousands) Interest rate lock commitments Net gains on loans acquired for sale (1) $ (25,916 ) $ (137,243 ) CRT derivatives Net (losses) gains on investments and financings $ (5,848 ) $ 36,370 Hedged item: Interest rate lock commitments and loans acquired for sale Net gains on loans acquired for sale $ 251,899 $ 297,476 Mortgage servicing rights Net loan servicing fees $ (163,802 ) $ (374,403 ) Fixed-rate and prepayment sensitive assets and LIBOR-indexed repurchase agreements Net (losses) gains on investments and financings $ — $ (24 ) (1) Represents net change 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 or cancellation of the commitment 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) March 31, 2022 December 31, 2021 (in thousands) Currently unrestricted $ (68,595 ) $ 5,978 To maturity — (32,815 ) $ (68,595 ) $ (26,837 ) (1) Through December 31, 2021, the terms of the agreement underlying the CRT securities restricted sales of the securities, other than under agreements to repurchase, without the approval of Fannie Mae, for specified periods from the date of issuance. The restriction on sales was removed during the quarter ended March 31, 2022. |
Mortgage Servicing Rights (Tabl
Mortgage Servicing Rights (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Text Block [Abstract] | |
Summary of MSRs Carried at Fair Value | Following is a summary of MSRs: Quarter ended March 31, 2022 2021 (in thousands) Balance at beginning of quarter $ 2,892,855 $ 1,755,236 MSRs resulting from loan sales 194,596 407,696 Changes in fair value: Due to changes in inputs used in valuation model (1) 392,640 337,667 Other changes in fair value (2) (88,919 ) (59,385 ) 303,721 278,282 Balance at end of quarter $ 3,391,172 $ 2,441,214 March 31, 2022 December 31, 2021 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and and mortgage servicing assets $ 3,352,952 $ 2,863,544 (1) Primarily reflects changes in pricing spread, prepayment speed, servicing cost, and UPB for underlying loan inputs. (2) Represents changes due to realization of expected cash flows. |
Summary of Net Loan Servicing Fees Relating to MSRs | Servicing fees relating to MSRs are recorded in Net loan servicing fees – from nonaffiliates Quarter ended March 31, 2022 2021 (in thousands) Contractually-specified servicing fees $ 146,885 $ 116,287 Ancillary and other fees: Late charges 612 412 Other 8,502 15,833 9,114 16,245 $ 155,999 $ 132,532 Average MSR servicing portfolio $ 217,692,169 $ 177,161,626 |
Other Assets (Tables)
Other Assets (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Other Assets [Abstract] | |
Summary of Other Assets | Other assets are summarized below: March 31, 2022 December 31, 2021 (in thousands) Margin deposits $ 90,974 $ 193,418 Correspondent lending receivables 54,141 27,539 Interest receivable 13,428 15,168 Real estate acquired in settlement of loans 11,719 14,382 Servicing fees receivable 10,473 16,756 Other receivables 4,215 15,299 Other 12,239 3,737 $ 197,189 $ 286,299 Real estate acquired in settlement of loans pledge to secure Assets sold under agreements to repurchase $ 6,204 $ 7,293 |
Short-Term Borrowings (Tables)
Short-Term Borrowings (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
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 March 31, 2022 2021 (dollars in thousands) Weighted average interest rate (1) 1.06 % 1.60 % Average balance $ 4,999,896 $ 5,971,290 Total interest expense $ 15,571 $ 28,659 Maximum daily amount outstanding $ 7,405,436 $ 7,208,807 (1) Excludes the effect of amortization of debt issuance costs of $2.5 million and $5.2 million for the quarters ended March 31, 2022 and 2021, respectively. March 31, 2022 December 31, 2021 (dollars in thousands) Carrying value: Unpaid principal balance Funded under committed facilities $ 4,775,890 $ 5,799,975 Funded under uncommitted facilities 318,945 874,566 5,094,835 6,674,541 Unamortized debt issuance costs (2,135 ) (2,651 ) $ 5,092,700 $ 6,671,890 Weighted average interest rate 1.23 % 1.08 % Available borrowing capacity (1): Committed $ 1,211,221 $ 289,436 Uncommitted 6,031,056 4,875,433 $ 7,242,277 $ 5,164,869 Margin deposits placed with counterparties included in Other $ 44,153 $ 67,997 Assets securing agreements to repurchase: Mortgage-backed securities $ 3,070,330 $ 2,666,768 Loans acquired for sale at fair value $ 1,608,823 $ 4,007,377 Loans at fair value: Certificates retained in asset-backed financings $ 99,363 $ 85,266 Distressed $ 414 $ 359 Deposits securing CRT arrangements $ 102,027 $ — MSRs (2) $ 1,836,018 $ 1,598,090 Servicing advances $ 64,852 $ 93,455 Real estate acquired in settlement of loans $ 6,204 $ 7,293 (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 March 31, 2022 Unpaid principal balance (in thousands) Within 30 days $ 3,204,520 Over 30 to 90 days 1,118,999 Over 90 days to 180 days 346,316 Over 180 days to 1 year 425,000 $ 5,094,835 Weighted average maturity (in months) 2.2 |
Summary of Assets Sold under Agreements to Repurchase by Counterparty | Securities Counterparty Amount at risk Weighted average maturity (in thousands) Bank of America, N.A. $ 43,672 April 15, 2022 Barclays Capital Inc. $ 14,045 April 12, 2022 JPMorgan Chase & Co. $ 29,054 April 16, 2022 Citibank, N.A. $ 16,691 April 28, 2022 Daiwa Capital Markets America Inc. $ 15,670 April 22, 2022 Amherst Pierpont Securities LLC $ 4,953 April 18, 2022 CRT arrangements Counterparty Amount at risk Weighted average maturity (in thousands) Bank of America, N.A. $ 34,627 April 29, 2022 |
Summary of Mortgage Loan Participation Purchase and Sale Agreement | Mortgage loan participation purchase and sale agreement is summarized below: Quarter ended March 31, 2022 2021 (dollars in thousands) Weighted average interest rate (1) 1.64 % 1.38 % Average balance $ 35,809 $ 39,162 Total interest expense $ 176 $ 164 Maximum daily amount outstanding $ 88,633 $ 82,571 (1) Excludes the effect of amortization of debt issuance costs of $31,000 for the quarters ended March 31, 2022 and 2021. March 31, 2022 December 31, 2021 (dollars in thousands) Carrying value: Amount outstanding $ 65,725 $ 49,988 Unamortized debt issuance costs (26 ) — $ 65,699 $ 49,988 Weighted average interest rate 1.83 % 1.48 % Loans acquired for sale pledged to secure Mortgage loan participation purchase and sale agreements $ 66,284 $ 52,102 |
Loans RE and MSRs Sold Under Agreements to Repurchase [Member] | |
Summary of Assets Sold under Agreements to Repurchase by Counterparty | Loans, REO and MSRs Weighted-average maturity Counterparty Amount Advances Facility (in thousands) Bank of America, N.A. $ 10,622 April 18, 2022 June 7, 2023 Barclays Capital Inc. $ 25,760 June 21, 2022 November 3, 2022 JPMorgan Chase & Co. $ 2,478 May 24, 2022 June 6, 2023 Citibank, N.A. $ 8,196 June 7, 2022 August 10, 2023 Credit Suisse First Boston Mortgage Capital LLC $ 21,555 June 21, 2022 March 31, 2023 RBC Capital Markets, L.P. $ 15,239 July 19, 2022 February 10, 2023 Goldman Sachs & Co. LLC $ 8,130 June 22, 2022 December 23, 2022 Morgan Stanley & Co. LLC $ 3,733 June 4, 2022 January 3, 2024 BNP Paribas Corporate & Institutional Banking $ 2,439 June 19, 2022 July 31, 2023 Wells Fargo Securities, LLC $ 1,704 June 15, 2022 November 17, 2023 |
Long-Term Debt (Tables)
Long-Term Debt (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Debt Disclosure [Abstract] | |
Summary of Term Note Issued to Qualified Institutional Buyers | Following is a summary of the secured CRT term notes issued: Unpaid Annual Maturity date Term notes Issuance date Issuance amount principal balance interest rate spread (1) Stated Optional extension (2) (in thousands) 2021 1R March 04, 2021 $ 659,156 $ 350,557 2.90 % February 28, 2024 February 27, 2026 2020 2R December 22, 2020 $ 500,000 264,301 3.81 % December 28, 2022 — 2020 1R February 14, 2020 $ 350,000 75,356 2.35 % March 1, 2023 February 27, 2025 2019 3R October 16, 2019 $ 375,000 71,556 2.70 % October 27, 2022 October 29, 2024 2019 2R June 11, 2019 $ 638,000 216,940 2.75 % May 29, 2023 May 29, 2025 $ 978,710 (1) Spread over one-month LIBOR. (2) The indentures relating to these issuances provide the Company with the option of extending the maturity dates of 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 March 31, 2022 2021 (dollars in thousands) Weighted average interest rate (1) 3.14 % 3.14 % Average balance $ 2,438,773 $ 2,260,721 Total interest expense $ 20,366 $ 18,599 Maximum daily amount outstanding $ 2,601,767 $ 3,180,115 (1) Excludes the effect of amortization of debt issuance costs of $1.5 million and $1.1 million for the quarters ended March 31, 2022 and 2021, respectively. March 31, 2022 December 31, 2021 (dollars in thousands) Carrying value: Amount outstanding CRT term notes $ 978,710 $ 1,204,636 2021-FT1 Notes 350,000 350,000 Freddie Mac loan and security agreement 600,000 475,000 2018-FT1 Notes 450,000 450,000 2,378,710 2,479,636 Unamortized debt issuance costs (6,431 ) (7,675 ) $ 2,372,279 $ 2,471,961 Weighted average interest rate 3.29 % 3.02 % Assets securing notes payable: MSRs (1) $ 3,352,952 $ 2,863,544 CRT Agreements: Deposits securing CRT arrangements $ 1,434,835 $ 1,704,911 Derivative assets $ 970 $ 19,627 (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 March 31, 2022 2021 (in thousands) Average balance $ 529,542 $ 298,554 Weighted average interest rate (1) 5.84 % 7.01 % Interest expense: Coupon $ 7,631 $ 4,230 Amortization of: Conversion options (2) — 927 Issuance costs 689 385 $ 8,320 $ 5,542 March 31, 2022 December 31, 2021 (in thousands) Carrying value: UPB $ 555,000 $ 555,000 Conversion option allocated to Additional paid-in capital — (40,952 ) Unamortized debt issuance costs (10,900 ) (11,589 ) (10,900 ) (52,541 ) $ 544,100 $ 502,459 (1) Excludes the effect of amortization of debt issuance and conversion option costs. (2) As discussed in Note 2 ‒ Basis of Presentation and Accounting Change ‒ Accounting Change , the Company adopted ASU 2020‑06 effective January 1, 2022. As a result of the adoption of ASU 2020-06, the Company reclassified approximately $50.3 million of issuance discount originally recognized in the issuance of Exchangeable senior notes from Additional paid-in capital to the carrying value of the Exchangeable senior notes and $9.4 million of previously recognized amortization of the issuance discount, as an adjustment to the Accumulated deficit effective January 1, 2022. |
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 ‒ Subordinate Mortgage-Backed Securities Quarter ended March 31, 2022 2021 (dollars in thousands) Average balance $ 1,460,610 $ 120,415 Total interest expense $ 11,027 $ 168 Weighted average interest rate (1) 3.29 % 3.22 % (1) Excludes the effect of net debt issuance cost of $834,000 and $789,000 for the quarters ended March 31, 2022 and 2021, respectively. March 31, 2022 December 31, 2021 (dollars in thousands) Fair value $ 1,712,650 $ 1,469,999 UPB $ 1,787,300 $ 1,442,379 Weighted average interest rate 3.18 % 3.18 % |
Schedule of Contractual Maturities on Long Term Debt Obligations | Maturities of Long-Term Debt Contractual maturities of long-term debt obligations (based on final maturity dates) are as follows: Twelve months ended March 31, Total 2023 2024 2025 2026 2027 Thereafter (in thousands) Notes payable secured by credit risk transfer and mortgage servicing assets (1) $ 2,378,710 $ 1,011,213 $ 1,017,497 $ — $ 350,000 $ — $ — Exchangeable senior notes 555,000 — — 210,000 345,000 — — Asset-backed financings at fair value (2) 1,787,300 — — — — — 1,787,300 Interest-only security payable at fair value (2) 16,373 — — — — — 16,373 Total $ 4,737,383 $ 1,011,213 $ 1,017,497 $ 210,000 $ 695,000 $ — $ 1,803,673 (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 Re_2
Liability for Losses Under Representations and Warranties (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
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 March 31, 2022 2021 (in thousands) Balance, beginning of quarter $ 40,249 $ 21,893 Provision for losses: Pursuant to loan sales 1,317 8,513 Reduction in liability due to change in estimate (1,165 ) (1,424 ) Losses incurred, net (176 ) (15 ) Balance, end of quarter $ 40,225 $ 28,967 UPB of loans subject to representations and warranties at end of quarter $ 217,466,262 $ 177,595,762 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Commitments And Contingencies Disclosure [Abstract] | |
Company's Outstanding Contractual Commitments | Commitments The following table summarizes the Company’s outstanding contractual commitments: March 31, 2022 (in thousands) Commitments to purchase loans acquired for sale $ 1,871,490 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. |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Equity [Abstract] | |
Schedule of Preferred Shares of Beneficial Interest | Preferred shares of beneficial interest are summarized below: Preferred Dividends per share, quarter ended March 31, Share series Description (1) Number of shares Liquidation preference Issuance discount Carrying value 2022 2021 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 B 8.00% Issued July 2017 7,800 195,000 6,465 188,535 $ 0.50 $ 0.50 Fixed-rate cumulative redeemable preferred C 6.75% Issued August 2021 10,000 250,000 8,225 241,775 $ 0.42 $ — 22,400 $ 560,000 $ 18,518 $ 541,482 (1) Par value is $0.01 per share. |
Summary of Common Share Repurchase Activity | The following table summarizes the Company’s common share repurchase activity: Quarter ended March 31, Cumulative 2022 2021 total (1) (in thousands) Common shares repurchased 1,974 — 22,571 Cost of common shares repurchased $ 31,829 $ — $ 342,576 (1) Amounts represent the share repurchase program total from its inception in August 2015 through March 31, 2022. |
Net (Losses) Gains on Investm_2
Net (Losses) Gains on Investments and Financings (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Investments Debt And Equity Securities [Abstract] | |
Summary of Net (Losses) Gains on Investments and Financings | Net (losses) gains on investments and financings are summarized below: Quarter ended March 31, 2022 2021 (in thousands) From nonaffiliates: Mortgage-backed securities $ (186,525 ) $ (71,117 ) Loans at fair value: Held in VIEs (96,564 ) (2,345 ) Distressed 443 95 CRT arrangements (35,623 ) 154,031 Asset-backed financings at fair value 89,174 900 Hedging derivatives — (24 ) (229,095 ) 81,540 From PFSI ‒ ESS — 1,651 $ (229,095 ) $ 83,191 |
Net Gains on Loans Acquired f_2
Net Gains on Loans Acquired for Sale (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Text Block [Abstract] | |
Schedule of Net Gains on Loans Acquired for Sale | Net gains on loans acquired for sale are summarized below: Quarter ended March 31, 2022 2021 (in thousands) From nonaffiliates: Cash loss: Sales of loans $ (439,788 ) $ (592,789 ) Hedging activities 338,102 463,276 (101,686 ) (129,513 ) Non‒cash gain: Receipt of MSRs in mortgage loan sale transactions 194,596 407,696 Provision for losses relating to representations and warranties provided in loan sales: Pursuant to loans sales (1,317 ) (8,513 ) Reduction of liability due to change in estimate 1,165 1,424 (152 ) (7,089 ) Change in fair value of loans and derivatives IRLCs (25,916 ) (137,243 ) Loans 22,018 83,223 Hedging derivatives (86,203 ) (165,800 ) (90,101 ) (219,820 ) 104,343 180,787 Total from nonaffiliates 2,657 51,274 From PFSI ‒ cash gain 1,296 1,738 $ 3,953 $ 53,012 |
Net Interest Expense (Tables)
Net Interest Expense (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Banking And Thrift Interest [Abstract] | |
Summary of Net Interest Expense | Net interest expense is summarized below: Quarter ended March 31, 2022 2021 (in thousands) Interest income: From nonaffiliates: Cash and short-term investments $ 403 $ 225 Mortgage-backed securities 14,400 8,286 Loans acquired for sale at fair value 19,248 22,908 Loans at fair value: Held in VIEs 12,849 1,899 Distressed 174 253 Deposits securing CRT arrangements 222 168 Placement fees relating to custodial funds 3,709 2,532 Other 58 38 51,063 36,309 From PFSI ‒ ESS — 1,280 51,063 37,589 Interest expense: To nonaffiliates: Assets sold under agreements to repurchase 15,571 28,659 Mortgage loan participation purchase and sale agreements 176 164 Notes payable secured by credit risk transfer and mortgage servicing assets 20,366 18,599 Exchangeable senior notes 8,320 5,542 Asset-backed financings at fair value 11,027 168 Interest shortfall on repayments of loans serviced for Agency securitizations 7,042 22,040 Interest on loan impound deposits 1,012 749 63,514 75,921 To PFSI ‒ Assets sold under agreement to repurchase — 387 63,514 76,308 Net interest expense $ (12,451 ) $ (38,719 ) |
Share-Based Compensation (Table
Share-Based Compensation (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
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 March 31, 2022 2021 (in thousands) Grants: Restricted share units 128 101 Performance share units 99 84 227 185 Grant date fair value: Restricted share units $ 2,006 $ 1,917 Performance share units 1,551 1,602 $ 3,557 $ 3,519 Vestings: Restricted share units 78 100 Performance share units (1) 41 37 119 137 Forfeitures: Restricted share units — — Performance share units 9 — 9 — Compensation expense relating to share-based grants $ 1,029 $ 1,738 (1) The actual number of performance-based RSUs that vested during the quarter ended March 31, 2022 was 39,000 common shares, which is 96% of the originally granted performance-based RSUs. |
Summary of Restricted Share Units and Performance Share Units Expected to Vest | March 31, 2022 Restricted share units Performance share units Shares expected to vest: Number of units (in thousands) 221 171 Grant date average fair value per unit $ 17.33 $ 17.31 |
Earnings Per Common Share (Tabl
Earnings Per Common Share (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
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 March 31, 2022 2021 (in thousands except per share amounts) Net (loss) income $ (19,129 ) $ 71,603 Dividends on preferred shares (10,455 ) (6,234 ) Effect of participating securities ‒ (104 ) (120 ) Net (loss) income attributable to common shareholders $ (29,688 ) $ 65,249 Weighted average basic shares outstanding 94,146 97,892 Dilutive securities‒shares issuable under share-based compensation plan — 211 Diluted weighted average shares outstanding 94,146 98,103 Basic (loss) earnings per share $ (0.32 ) $ 0.67 Diluted (loss) earnings per share $ (0.32 ) $ 0.67 |
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 March 31, 2022 2021 (in thousands) Shares issuable under share-based compensation plan 133 11 Shares issuable pursuant to exchange of the exchangeable senior notes 24,328 — |
Segments (Tables)
Segments (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Segment Reporting [Abstract] | |
Financial Highlights by Operating Segment | Financial highlights by operating segment are summarized below: Credit Interest rate sensitive sensitive Correspondent Quarter ended March 31, 2022 strategies strategies production Corporate Total (in thousands) Net investment income: Net loan servicing fees $ — $ 304,178 $ — $ — $ 304,178 Net (losses) gains on investments and financings (44,905 ) (184,190 ) — — (229,095 ) Net gains on loans acquired for sale (4 ) — 3,957 — 3,953 Net interest expense: Interest income 2,058 29,110 19,181 714 51,063 Interest expense 10,128 41,685 11,560 141 63,514 (8,070 ) (12,575 ) 7,621 573 (12,451 ) Other 288 — 14,966 — 15,254 (52,691 ) 107,413 26,544 573 81,839 Expenses: Loan servicing fees and fulfillment payable to PFSI 59 21,029 16,754 — 37,842 Management fees — — — 8,117 8,117 Other 3,211 2,175 5,212 7,224 17,822 3,270 23,204 21,966 15,341 63,781 Pretax (loss) income $ (55,961 ) $ 84,209 $ 4,578 $ (14,768 ) $ 18,058 Total assets at end of quarter $ 1,747,763 $ 8,387,313 $ 1,812,210 $ 440,229 $ 12,387,515 Credit Interest rate sensitive sensitive Correspondent Quarter ended March 31, 2021 strategies strategies production Corporate Total (in thousands) Net investment income: Net loan servicing fees $ — $ 50,045 $ — $ — $ 50,045 Net (losses) gains on investments and financings 154,271 (71,080 ) — — 83,191 Net gains on loans acquired for sale (1 ) — 53,013 — 53,012 Net interest expense: Interest income 650 13,516 22,797 626 37,589 Interest expense 17,261 37,316 21,731 — 76,308 (16,611 ) (23,800 ) 1,066 626 (38,719 ) Other 888 — 52,980 — 53,868 138,547 (44,835 ) 107,059 626 201,397 Expenses: Loan servicing fees and fulfillment payable to PFSI 137 18,955 60,836 — 79,928 Management fees — — — 8,449 8,449 Other 4,150 812 10,646 6,384 21,992 4,287 19,767 71,482 14,833 110,369 Pretax income (loss) $ 134,260 $ (64,602 ) $ 35,577 $ (14,207 ) $ 91,028 Total assets at end of quarter $ 2,772,111 $ 4,739,849 $ 4,796,564 $ 213,730 $ 12,522,254 |
Regulatory Capital and Liquid_2
Regulatory Capital and Liquidity Requirements (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
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) March 31, 2022 $ 1,173,125 $ 559,717 19 % 6 % $ 97,626 $ 75,714 December 31, 2021 $ 938,218 $ 557,229 12 % 6 % $ 108,536 $ 74,771 (1) Calculated in accordance with the Agencies’ requirements. |
Organization - Additional Infor
Organization - Additional Information (Detail) | 3 Months Ended |
Mar. 31, 2022Segment | |
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 ($) | 3 Months Ended | |||
Mar. 31, 2022 | Jan. 01, 2022 | Dec. 31, 2021 | Mar. 31, 2021 | |
New Accounting Pronouncements Or Change In Accounting Principle [Line Items] | ||||
Restricted cash | $ 0 | $ 0 | ||
Accumulated deficit | (320,581,000) | $ (256,670,000) | ||
Accounting Standards Update 2020-06 [Member] | ||||
New Accounting Pronouncements Or Change In Accounting Principle [Line Items] | ||||
Reclassification from additional paid-in capital to carrying value of exchangeable notes | $ 50,300,000 | |||
Decrease in interest expense | $ 1,700,000 | |||
Accounting Standards Update 2020-06 [Member] | Cumulative Effect, Period of Adoption, Adjusted Balance [Member] | ||||
New Accounting Pronouncements Or Change In Accounting Principle [Line Items] | ||||
Accumulated deficit | $ 9,400,000 |
Transactions with Related Par_3
Transactions with Related Parties - Correspondent Production Activities - Additional Information (Detail) - 2020 MBS Agreement [Member] | 3 Months Ended |
Mar. 31, 2022USD ($) | |
Mortgage Loans On Real Estate [Line Items] | |
Servicing agreement expiration date | Jun. 30, 2025 |
Service agreement maturity renewal term | 18 months |
Fannie Mae Or Freddie Mac Mortgage Loans [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Number of mortgage loans purchased multiplier | $ 750 |
Ginnie Mae Mortgage Loans [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Mortgage loan servicing fees payable | 0 |
Maximum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
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 |
Interest income and sourcing fee | 0.02% |
Minimum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
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 |
Interest income and sourcing fee | 0.01% |
Transactions with Related Par_4
Transactions with Related Parties - Summary of Correspondent Production Activity (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | |
Related Party Transaction [Line Items] | |||
Loans included in Loans acquired for sale at fair value pending sale to PLS | $ 1,708,745 | $ 4,171,025 | |
PennyMac Loan Services, LLC [Member] | |||
Related Party Transaction [Line Items] | |||
Loan fulfillment fees earned by PLS | 16,754 | $ 60,835 | |
UPB of loans fulfilled by PLS | 9,769,262 | 33,761,841 | |
Sourcing fees received from PLS included in Net gains on loans acquired for sale | 1,296 | 1,738 | |
UPB of loans sold to PLS | 12,747,779 | 17,559,575 | |
Purchases of loans acquired for sale from PLS | 259,038 | 0 | |
Tax service fees paid to PLS | 2,342 | $ 8,192 | |
Loans included in Loans acquired for sale at fair value pending sale to PLS | $ 288,974 | $ 314,995 |
Transactions with Related Par_5
Transactions with Related Parties - Loan Servicing - Additional Information (Detail) - PennyMac Loan Services, LLC [Member] | 3 Months Ended |
Mar. 31, 2022 | |
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] | 3 Months Ended |
Mar. 31, 2022USD ($) | |
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 |
Prime Mortgage Loans [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees for REO per month | 75 |
Prime Mortgage Loans [Member] | Minimum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Additional servicing fees per loan per month | 10 |
Prime 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] | 3 Months Ended |
Mar. 31, 2022USD ($) | |
Mortgage Loans On Real Estate [Line Items] | |
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) - 2020 MSR Recapture Agreement [Member] | 3 Months Ended |
Mar. 31, 2022 | |
Mortgage Loans On Real Estate [Line Items] | |
Servicing agreement expiration date | Jun. 30, 2025 |
Service agreement maturity renewal term | 18 months |
Mortgage loans on real estate, renewed and Extended, description | • 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 | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Related Party Transaction [Line Items] | ||
Loan servicing fees | $ 21,088 | $ 19,093 |
Average MSR portfolio UPB | 217,692,169 | 177,161,626 |
Loans acquired for sale at fair value [Member] | ||
Related Party Transaction [Line Items] | ||
Loan servicing fees | 264 | 543 |
Average investment in loans acquired for sale at fair value | 2,129,668 | 3,618,980 |
Loans at fair value [Member] | ||
Related Party Transaction [Line Items] | ||
Loan servicing fees | 210 | 137 |
Loans at fair value | 1,559,939 | 136,927 |
Mortgage servicing rights [Member] | ||
Related Party Transaction [Line Items] | ||
Loan servicing fees | $ 20,614 | $ 18,413 |
Transactions with Related Pa_10
Transactions with Related Parties - Management Fees - Additional Information (Detail) | 3 Months Ended |
Mar. 31, 2022USD ($) | |
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 | $ 165,000 |
PNMAC Capital Management LLC [Member] | 1.5% per annum of stockholders equity [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base management fee annual rate | 1.50% |
PNMAC Capital Management LLC [Member] | 1.375% per annum of stockholders equity [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base management fee annual rate | 1.375% |
PNMAC Capital Management LLC [Member] | 1.25% per annum of stockholders equity [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base management fee annual rate | 1.25% |
PNMAC Capital Management LLC [Member] | Net income exceeds 10% [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Percentage of net income for calculation of performance incentive fees | 10.00% |
Percentage of return on equity | 12.00% |
PNMAC Capital Management LLC [Member] | Net income exceeds 15% [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Percentage of net income for calculation of performance incentive fees | 15.00% |
Percentage of return on equity | 16.00% |
PNMAC Capital Management LLC [Member] | Net income exceeds 20% [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Percentage of net income for calculation of performance incentive fees | 20.00% |
PNMAC Capital Management LLC [Member] | Maximum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Percentage of performance incentive fee paid in Company's common shares | 50.00% |
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 | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Related Party Transaction [Line Items] | ||
Total management fee incurred during the period | $ 8,117 | $ 8,449 |
PNMAC Capital Management LLC [Member] | ||
Related Party Transaction [Line Items] | ||
Total management fee incurred during the period | 8,117 | 8,449 |
Average shareholders' equity amounts used to calculate base management fee expense | 2,212,304 | 2,310,261 |
PNMAC Capital Management LLC [Member] | Base [Member] | ||
Related Party Transaction [Line Items] | ||
Total management fee incurred during the period | 8,117 | 8,449 |
PNMAC Capital Management LLC [Member] | Performance incentive [Member] | ||
Related Party Transaction [Line Items] | ||
Total management fee incurred during the period | $ 0 | $ 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 | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Related Party Transaction [Line Items] | ||
Expenses incurred on the Company’s behalf, net | $ 5,357 | $ 1,336 |
Common overhead incurred by PCM and its affiliates | 1,864 | 571 |
Compensation | 165 | 165 |
Total expenses incurred in transaction with affiliates | 7,386 | 2,072 |
Payments and settlements during the quarter | $ 39,764 | $ 112,741 |
Transactions with Related Pa_13
Transactions with Related Parties - Note Payable to PLS - Additional Information (Detail) - USD ($) | Dec. 19, 2016 | Mar. 31, 2022 | Dec. 31, 2021 |
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 | |
Mar. 31, 2022 | Mar. 31, 2021 | |
ESS: | ||
Repayments | $ 0 | $ 134,624 |
Interest income | 51,063 | 37,589 |
PennyMac Financial Services, Inc. [Member] | ||
ESS: | ||
Received pursuant to a recapture agreement | 557 | |
Repayments | 134,624 | |
Interest income | $ 0 | 1,280 |
Net gain included in Net (losses) gains on investments and financings: | ||
Valuation changes | 1,037 | |
Recapture income | 614 | |
Net (loss) gain on investments | $ 1,651 |
Transactions with Related Pa_15
Transactions with Related Parties - Summary of Financing Activities (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Related Party Transaction [Line Items] | ||
Interest expense | $ 63,514 | $ 76,308 |
PennyMac Financial Services, Inc. [Member] | ||
Related Party Transaction [Line Items] | ||
Net repayments of assets sold under agreements to repurchase | 80,862 | |
Interest expense | $ 0 | $ 387 |
Transactions with Related Pa_16
Transactions with Related Parties - Summary of Amounts Receivable From and Payable to PFSI (Detail) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Due from PFSI: | ||
Other receivables | $ 4,215 | $ 15,299 |
Due to PFSI: | ||
Allocated expenses and expenses and costs paid by PFSI on PMT’s behalf | 3,364 | 15,431 |
PennyMac Financial Services, Inc. [Member] | ||
Due from PFSI: | ||
Affiliates loan settlements | 16,263 | 0 |
Other receivables | 4,299 | 15,953 |
Due from PennyMac Financial Services, Inc. | 20,562 | 15,953 |
Due to PFSI: | ||
Management fees | 8,117 | 8,918 |
Loan servicing fees | 7,136 | 6,848 |
Correspondent production fees | 6,633 | 8,894 |
Fulfillment fees | 2,472 | 0 |
Total expense due to affiliate | $ 27,722 | $ 40,091 |
Transactions with Related Pa_17
Transactions with Related Parties - Summary of Transfer Cash to Fund Loan Servicing Advances (Detail) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Related Party Transaction [Line Items] | ||
Loan servicing advances | $ 134,002 | $ 204,951 |
Real estate acquired in settlement of loans | 11,719 | 14,382 |
PennyMac Loan Services, LLC [Member] | ||
Related Party Transaction [Line Items] | ||
Loan servicing advances | 134,002 | 204,951 |
Real estate acquired in settlement of loans | 4,904 | 7,115 |
Servicing advances and real estate acquired | $ 138,906 | $ 212,066 |
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 | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Cash flows: | ||
Proceeds from sales | $ 11,985,961 | $ 33,318,157 |
Loan servicing fees received net of guarantee fees | $ 146,885 | $ 116,287 |
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 | Mar. 31, 2022 | Dec. 31, 2021 | |
Mortgage Loans On Real Estate [Line Items] | |||
UPB of loans outstanding | $ 218,888,841 | $ 215,927,495 | |
Collection Status (UPB) | |||
30-89 days delinquent | [1] | 1,196,634 | 1,148,542 |
90 or more days delinquent: | |||
Not in foreclosure | 1,092,377 | 1,726,488 | |
In foreclosure | 64,636 | 36,658 | |
Bankruptcy | 126,619 | 130,582 | |
Custodial funds managed by the Company | [2] | 3,293,190 | 3,823,527 |
COVID-19 [Member] | |||
90 or more days delinquent: | |||
30-89 days | 216,706 | 169,654 | |
90 days or more | $ 481,090 | $ 614,882 | |
[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) - Credit Risk Transfer Agreements [Member] | 3 Months Ended |
Mar. 31, 2022 | |
Minimum [Member] | |
Mortgage Loans on Real Estate [Line Items] | |
Initially established percentage of unpaid principal balance of loans sold under recourse obligation losses | 3.50% |
Increase to maximum percentage of outstanding unpaid principal balance | 4.50% |
Maximum [Member] | |
Mortgage Loans on Real Estate [Line Items] | |
Initially established percentage of unpaid principal balance of loans sold under recourse obligation losses | 4.00% |
Increase to maximum percentage of outstanding unpaid principal balance | 5.00% |
Variable Interest Entities - Su
Variable Interest Entities - Summary of Credit Risk Transfer Agreements (Detail) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Mar. 31, 2022 | Mar. 31, 2021 | Mar. 03, 2021 | Mar. 31, 2028 | Mar. 31, 2027 | Mar. 31, 2026 | Mar. 31, 2025 | Mar. 31, 2024 | Mar. 31, 2023 | Dec. 31, 2021 | ||
CRT strips: | |||||||||||
Net investment income | $ 81,839 | $ 201,397 | |||||||||
Carrying value of CRT arrangements: | |||||||||||
Derivative and credit risk transfer strip assets | 77,823 | $ 34,238 | |||||||||
Interest-only security payable at fair value | 16,373 | $ 16,373 | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 | 10,593 | |||
Variable Interest Entities [Member] | |||||||||||
Carrying value of CRT arrangements: | |||||||||||
Interest-only security payable at fair value | 16,373 | 10,593 | |||||||||
Variable Interest Entities [Member] | Credit Risk Transfer Agreements [Member] | |||||||||||
CRT derivatives: | |||||||||||
Realized | 21,201 | $ 23,496 | |||||||||
Valuation changes | (27,049) | 12,874 | |||||||||
Gains (losses) recognized on gross derivative related to credit risk transactions | (5,848) | 36,370 | |||||||||
CRT strips: | |||||||||||
Realized | 17,763 | 32,604 | |||||||||
Valuation changes | (41,758) | 93,222 | |||||||||
Credit risk transfer strips | (23,995) | 125,826 | |||||||||
Interest-only security payable at fair value | (5,780) | (8,165) | |||||||||
Gains (losses) recognized on gross derivative related to credit risk transactions | (35,623) | 154,031 | |||||||||
Interest income — Deposits securing CRT arrangements | 222 | 168 | |||||||||
Net investment income | (35,401) | 154,199 | |||||||||
Net recoveries received to settle reversal of previously recognized losses on CRT arrangements | 15,973 | $ 13,343 | |||||||||
Carrying value of CRT arrangements: | |||||||||||
CRT derivatives | (8,049) | 18,964 | |||||||||
CRT strips | (68,595) | (26,837) | |||||||||
Derivative and credit risk transfer strip assets | (76,644) | (7,873) | |||||||||
Deposits securing CRT arrangements | 1,536,862 | 1,704,911 | |||||||||
Interest-only security payable at fair value | 16,373 | 10,593 | |||||||||
Derivative assets | 970 | 19,627 | |||||||||
Derivative and credit risk transfer strip assets pledged to secure | [1] | 1,536,862 | 1,704,911 | ||||||||
UPB of loans underlying CRT arrangements | 28,160,867 | 30,808,907 | |||||||||
Variable Interest Entities [Member] | Credit Risk Transfer Agreements [Member] | Purchase Commitment [Member] | |||||||||||
Collection status (UPB): | |||||||||||
Current | 27,394,812 | 29,581,803 | |||||||||
30-89 days delinquent | 312,851 | 349,291 | |||||||||
90-180 days delinquent | 108,762 | 120,775 | |||||||||
180 or more days delinquent | 328,506 | 748,576 | |||||||||
Foreclosure | 15,936 | 8,462 | |||||||||
Bankruptcy | 59,008 | 64,694 | |||||||||
Variable Interest Entities [Member] | Credit Risk Transfer Agreements [Member] | Purchase Commitment [Member] | COVID-19 [Member] | |||||||||||
Collection status (UPB): | |||||||||||
30-89 days | 59,269 | 44,015 | |||||||||
90-180 days delinquent | 47,796 | 57,815 | |||||||||
180 or more days delinquent | $ 86,112 | $ 174,041 | |||||||||
[1] | Deposits securing credit risk transfer strip arrangements pledged to creditors also secure $77.6 million and $27.5 million in CRT strip and CRT derivative liabilities at March 31, 2022 and December 31, 2021, respectively |
Variable Interest Entities - _2
Variable Interest Entities - Summary of Credit Risk Transfer Agreements (Parenthetical) (Detail) - USD ($) $ in Millions | Mar. 31, 2022 | Dec. 31, 2021 |
Transfer Of Financial Assets Accounted For As Sales [Line Items] | ||
Deposits securing CRT strips and derivatives liabilities | $ 77.6 | $ 27.5 |
Variable Interest Entities - _3
Variable Interest Entities - Summary of Investment in Subordinate Mortgage Backed Securities (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | |
Interest income | $ 51,063 | $ 37,589 | |
Interest expense | 63,514 | 76,308 | |
Loans at fair value ($1,822,947 and $1,564,924 pledged to creditors, respectively) | 1,826,482 | $ 1,568,726 | |
Asset-backed financings at fair value | 1,712,650 | 1,469,999 | |
Variable Interest Entities [Member] | |||
Loans at fair value ($1,822,947 and $1,564,924 pledged to creditors, respectively) | 1,822,533 | 1,564,565 | |
Asset-backed financings at fair value | 1,712,650 | 1,469,999 | |
Variable Interest Entities [Member] | Investment Properties [Member] | |||
Interest income | 12,849 | 1,899 | |
Interest expense | 11,027 | $ 168 | |
Loans at fair value ($1,822,947 and $1,564,924 pledged to creditors, respectively) | 1,822,533 | 1,564,565 | |
Asset-backed financings at fair value | 1,712,650 | 1,469,999 | |
Certificates retained at fair value pledged to secure Assets sold under agreements to repurchase | $ 99,363 | $ 85,266 |
Fair Value - Summary of Financi
Fair Value - Summary of Financial Statement Items Measured at Fair Value on Recurring Basis (Detail) - USD ($) $ in Thousands | Mar. 31, 2028 | Mar. 31, 2027 | Mar. 31, 2026 | Mar. 31, 2025 | Mar. 31, 2024 | Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | |
Assets: | |||||||||||
Short-term investments | $ 236,468 | $ 167,999 | |||||||||
Mortgage-backed securities at fair value pledged to creditors | 3,070,330 | 2,666,768 | |||||||||
Loans acquired for sale at fair value | 1,708,745 | 4,171,025 | |||||||||
Derivative assets | 221,526 | 45,346 | |||||||||
Derivative assets, Netting | (143,703) | (11,108) | |||||||||
Total derivative assets after netting | 77,823 | 34,238 | |||||||||
Mortgage servicing rights at fair value | 3,391,172 | 2,892,855 | $ 2,441,214 | $ 1,755,236 | |||||||
Liabilities: | |||||||||||
Asset-backed financings at fair value | 1,712,650 | 1,469,999 | |||||||||
Interest-only security payable at fair value | $ 16,373 | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 | 16,373 | 10,593 | |||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 105,410 | 19,511 | |||||||||
Derivative liabilities, Netting | (44,655) | (4,142) | |||||||||
Total derivative liabilities after netting | 60,755 | 15,369 | |||||||||
Total derivative and credit risk transfer strip liabilities | 129,350 | 42,206 | |||||||||
CRT Derivatives [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 970 | 19,627 | |||||||||
Derivative assets, Netting | 0 | 0 | |||||||||
Total derivative assets after netting | 970 | 19,627 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 9,019 | 663 | |||||||||
Swaption Purchase Contracts | |||||||||||
Assets: | |||||||||||
Derivative assets | [1] | 0 | 39 | ||||||||
Interest Rate Lock Commitments [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 1,649 | 3,897 | |||||||||
Total derivative assets after netting | 1,649 | 3,897 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 25,114 | 1,446 | |||||||||
Forward Purchase Contracts [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | [1] | 7,597 | 5,806 | ||||||||
Derivative assets, Netting | 0 | 0 | |||||||||
Total derivative assets after netting | 7,597 | 5,806 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 54,641 | 3,620 | |||||||||
Derivative liabilities, Netting | 0 | 0 | |||||||||
Forward Sales Contracts [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | [1] | 132,751 | 6,307 | ||||||||
Derivative assets, Netting | 0 | 0 | |||||||||
Total derivative assets after netting | 132,751 | 6,307 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 12,886 | 13,782 | |||||||||
Derivative liabilities, Netting | 0 | 0 | |||||||||
Call Options on Interest Rate Futures Purchase Contracts [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | [1] | 1,230 | 2,828 | ||||||||
Derivative assets, Netting | 0 | 0 | |||||||||
Total derivative assets after netting | 1,230 | 2,828 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
Put Options On Interest Rate Futures Purchase Contracts | |||||||||||
Assets: | |||||||||||
Derivative assets | [1] | 65,358 | 3,180 | ||||||||
Derivative assets, Netting | 0 | 0 | |||||||||
Total derivative assets after netting | 65,358 | 3,180 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
MBS Put Options [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | [1] | 11,971 | 3,662 | ||||||||
Derivative assets, Netting | 0 | 0 | |||||||||
Total derivative assets after netting | 11,971 | 3,662 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
Put Options On Interest Rate Futures Sale Contracts [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | [1] | 0 | 0 | ||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 3,750 | 0 | |||||||||
Recurring [Member] | |||||||||||
Assets: | |||||||||||
Short-term investments | 236,468 | 167,999 | |||||||||
Mortgage-backed securities at fair value pledged to creditors | 3,070,330 | 2,666,768 | |||||||||
Loans acquired for sale at fair value | 1,708,745 | 4,171,025 | |||||||||
Loans at fair value | 1,826,482 | 1,568,726 | |||||||||
Total Assets | 10,311,020 | 11,501,611 | |||||||||
Derivative assets | 221,526 | 45,346 | |||||||||
Derivative assets, Netting | (143,703) | (11,108) | |||||||||
Total derivative assets after netting | 77,823 | 34,238 | |||||||||
Mortgage servicing rights at fair value | 3,391,172 | 2,892,855 | |||||||||
Liabilities: | |||||||||||
Asset-backed financings at fair value | 1,712,650 | 1,469,999 | |||||||||
Interest-only security payable at fair value | 16,373 | 10,593 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 105,410 | 19,511 | |||||||||
Derivative liabilities, Netting | (44,655) | (4,142) | |||||||||
Total derivative liabilities after netting | 60,755 | 15,369 | |||||||||
Total derivative and credit risk transfer strip liabilities | 129,350 | 42,206 | |||||||||
Total liabilities | 1,858,373 | 1,522,798 | |||||||||
Recurring [Member] | Credit Risk Transfer Strips [Member] | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 68,595 | 26,837 | |||||||||
Recurring [Member] | CRT Derivatives [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 970 | 19,627 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 9,019 | 663 | |||||||||
Recurring [Member] | Swaption Purchase Contracts | |||||||||||
Assets: | |||||||||||
Derivative assets | 39 | ||||||||||
Recurring [Member] | Level 1 [Member] | |||||||||||
Assets: | |||||||||||
Short-term investments | 236,468 | 167,999 | |||||||||
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 | |||||||||
Total Assets | 303,056 | 174,007 | |||||||||
Derivative assets | 66,588 | 6,008 | |||||||||
Derivative assets, Netting | 0 | 0 | |||||||||
Total derivative assets after netting | 66,588 | 6,008 | |||||||||
Mortgage servicing rights at fair value | 0 | 0 | |||||||||
Liabilities: | |||||||||||
Asset-backed financings 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 strip liabilities | 0 | 0 | |||||||||
Total liabilities | 0 | 0 | |||||||||
Recurring [Member] | Level 1 [Member] | Credit Risk Transfer Strips [Member] | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
Recurring [Member] | Level 1 [Member] | CRT Derivatives [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | 0 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
Recurring [Member] | Level 1 [Member] | Swaption Purchase Contracts | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | ||||||||||
Recurring [Member] | Level 2 [Member] | |||||||||||
Assets: | |||||||||||
Short-term investments | 0 | 0 | |||||||||
Mortgage-backed securities at fair value pledged to creditors | 3,070,330 | 2,666,768 | |||||||||
Loans acquired for sale at fair value | 1,684,420 | 4,140,896 | |||||||||
Loans at fair value | 1,822,533 | 1,564,565 | |||||||||
Total Assets | 6,729,602 | 8,388,043 | |||||||||
Derivative assets | 152,319 | 15,814 | |||||||||
Derivative assets, Netting | 0 | 0 | |||||||||
Total derivative assets after netting | 152,319 | 15,814 | |||||||||
Mortgage servicing rights at fair value | 0 | 0 | |||||||||
Liabilities: | |||||||||||
Asset-backed financings at fair value | 1,712,650 | 1,469,999 | |||||||||
Interest-only security payable at fair value | 0 | 0 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 71,277 | 17,402 | |||||||||
Derivative liabilities, Netting | 0 | 0 | |||||||||
Total derivative liabilities after netting | 71,277 | 17,402 | |||||||||
Total derivative and credit risk transfer strip liabilities | 71,277 | 17,402 | |||||||||
Total liabilities | 1,783,927 | 1,487,401 | |||||||||
Recurring [Member] | Level 2 [Member] | Credit Risk Transfer Strips [Member] | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
Recurring [Member] | Level 2 [Member] | CRT Derivatives [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | 0 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
Recurring [Member] | Level 2 [Member] | Swaption Purchase Contracts | |||||||||||
Assets: | |||||||||||
Derivative assets | 39 | ||||||||||
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 | 24,325 | 30,129 | |||||||||
Loans at fair value | 3,949 | 4,161 | |||||||||
Total Assets | 3,422,065 | 2,950,669 | |||||||||
Derivative assets | 2,619 | 23,524 | |||||||||
Derivative assets, Netting | 0 | 0 | |||||||||
Total derivative assets after netting | 2,619 | 23,524 | |||||||||
Mortgage servicing rights at fair value | 3,391,172 | 2,892,855 | |||||||||
Liabilities: | |||||||||||
Asset-backed financings at fair value | 0 | 0 | |||||||||
Interest-only security payable at fair value | 16,373 | 10,593 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 34,133 | 2,109 | |||||||||
Derivative liabilities, Netting | 0 | 0 | |||||||||
Total derivative liabilities after netting | 34,133 | 2,109 | |||||||||
Total derivative and credit risk transfer strip liabilities | 102,728 | 28,946 | |||||||||
Total liabilities | 119,101 | 39,539 | |||||||||
Recurring [Member] | Level 3 [Member] | Credit Risk Transfer Strips [Member] | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 68,595 | 26,837 | |||||||||
Recurring [Member] | Level 3 [Member] | CRT Derivatives [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 970 | 19,627 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 9,019 | 663 | |||||||||
Recurring [Member] | Level 3 [Member] | Swaption Purchase Contracts | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | ||||||||||
Recurring [Member] | Interest Rate Lock Commitments [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 1,649 | 3,897 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 25,114 | 1,446 | |||||||||
Recurring [Member] | Interest Rate Lock Commitments [Member] | Level 1 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | 0 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
Recurring [Member] | Interest Rate Lock Commitments [Member] | Level 2 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | 0 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
Recurring [Member] | Interest Rate Lock Commitments [Member] | Level 3 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 1,649 | 3,897 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 25,114 | 1,446 | |||||||||
Recurring [Member] | Forward Purchase Contracts [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 7,597 | 5,806 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 54,641 | 3,620 | |||||||||
Recurring [Member] | Forward Purchase Contracts [Member] | Level 1 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | 0 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
Recurring [Member] | Forward Purchase Contracts [Member] | Level 2 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 7,597 | 5,806 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 54,641 | 3,620 | |||||||||
Recurring [Member] | Forward Purchase Contracts [Member] | Level 3 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | 0 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
Recurring [Member] | Forward Sales Contracts [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 132,751 | 6,307 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 12,886 | 13,782 | |||||||||
Recurring [Member] | Forward Sales Contracts [Member] | Level 1 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | 0 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
Recurring [Member] | Forward Sales Contracts [Member] | Level 2 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 132,751 | 6,307 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 12,886 | 13,782 | |||||||||
Recurring [Member] | Forward Sales Contracts [Member] | Level 3 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | 0 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
Recurring [Member] | Call Options on Interest Rate Futures Purchase Contracts [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 1,230 | 2,828 | |||||||||
Recurring [Member] | Call Options on Interest Rate Futures Purchase Contracts [Member] | Level 1 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 1,230 | 2,828 | |||||||||
Recurring [Member] | Call Options on Interest Rate Futures Purchase Contracts [Member] | Level 2 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | 0 | |||||||||
Recurring [Member] | Call Options on Interest Rate Futures Purchase Contracts [Member] | Level 3 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | 0 | |||||||||
Recurring [Member] | Put Options On Interest Rate Futures Purchase Contracts | |||||||||||
Assets: | |||||||||||
Derivative assets | 65,358 | 3,180 | |||||||||
Recurring [Member] | Put Options On Interest Rate Futures Purchase Contracts | Level 1 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 65,358 | 3,180 | |||||||||
Recurring [Member] | Put Options On Interest Rate Futures Purchase Contracts | Level 2 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | 0 | |||||||||
Recurring [Member] | Put Options On Interest Rate Futures Purchase Contracts | Level 3 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | 0 | |||||||||
Recurring [Member] | MBS Put Options [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 11,971 | 3,662 | |||||||||
Recurring [Member] | MBS Put Options [Member] | Level 1 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | 0 | |||||||||
Recurring [Member] | MBS Put Options [Member] | Level 2 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 11,971 | 3,662 | |||||||||
Recurring [Member] | MBS Put Options [Member] | Level 3 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | $ 0 | |||||||||
Recurring [Member] | Put Options On Interest Rate Futures Sale Contracts [Member] | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 3,750 | ||||||||||
Recurring [Member] | Put Options On Interest Rate Futures Sale Contracts [Member] | Level 1 [Member] | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | ||||||||||
Recurring [Member] | Put Options On Interest Rate Futures Sale Contracts [Member] | Level 2 [Member] | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 3,750 | ||||||||||
Recurring [Member] | Put Options On Interest Rate Futures Sale Contracts [Member] | Level 3 [Member] | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | $ 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 | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Assets: | ||
Amounts received pursuant to sales of loans | $ 194,596 | $ 407,696 |
Transfers: | ||
Transfer of loans and advances to real estate acquired in settlement of loans | 0 | 280 |
Interest Rate Lock Commitments [Member] | ||
Assets: | ||
Beginning balance | 2,451 | |
Transfers: | ||
Ending balance | (23,465) | |
Recurring [Member] | ||
Assets: | ||
Purchases and issuances | (4,039) | 6,194 |
Repayments and sales | (69,080) | 207,371 |
Amounts received pursuant to sales of loans | 194,596 | 407,696 |
Received pursuant to a recapture agreement | 557 | |
Repayments and sales | 69,080 | (207,371) |
Capitalization of interest and fees | 1,478 | |
ESS received pursuant to a recapture agreement with PFSI | 557 | |
Changes in fair value included in results of operations arising from: | ||
Changes in instrument-specific credit risk | 0 | 0 |
Other factors | 155,110 | 166,626 |
Total | 155,110 | 166,626 |
Transfers: | ||
Interest rate lock commitments to loans acquired for sale | 121,027 | 147,975 |
Ending balance | 3,319,337 | 2,353,498 |
Changes in fair value recognized during the quarter relating to assets | 211,286 | 319,938 |
Transfer of loans and advances to real estate acquired in settlement of loans | 66 | |
Recurring [Member] | Previously Reported | ||
Assets: | ||
Beginning balance | 2,921,723 | 1,830,277 |
Recurring [Member] | Credit Risk Transfer Derivatives | ||
Assets: | ||
Beginning balance | 18,964 | 31,795 |
Purchases and issuances | 0 | 0 |
Repayments and sales | (21,165) | 23,489 |
Amounts received pursuant to sales of loans | 0 | 0 |
Received pursuant to a recapture agreement | 0 | |
Repayments and sales | 21,165 | (23,489) |
Capitalization of interest and fees | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | |
Changes in fair value included in results of operations arising from: | ||
Changes in instrument-specific credit risk | 0 | 0 |
Other factors | (5,848) | 36,370 |
Total | (5,848) | 36,370 |
Transfers: | ||
Interest rate lock commitments to loans acquired for sale | 0 | 0 |
Ending balance | (8,049) | 44,676 |
Changes in fair value recognized during the quarter relating to assets | (27,049) | 12,874 |
Transfer of loans and advances to real estate acquired in settlement of loans | 0 | |
Recurring [Member] | Credit Risk Transfer Strips [Member] | ||
Assets: | ||
Beginning balance | (26,837) | (202,792) |
Purchases and issuances | 0 | 0 |
Repayments and sales | (17,763) | 32,604 |
Amounts received pursuant to sales of loans | 0 | 0 |
Received pursuant to a recapture agreement | 0 | |
Repayments and sales | 17,763 | (32,604) |
Capitalization of interest and fees | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | |
Changes in fair value included in results of operations arising from: | ||
Changes in instrument-specific credit risk | 0 | 0 |
Other factors | (23,995) | 125,826 |
Total | (23,995) | 125,826 |
Transfers: | ||
Interest rate lock commitments to loans acquired for sale | 0 | 0 |
Ending balance | (68,595) | (109,570) |
Changes in fair value recognized during the quarter relating to assets | (41,758) | 93,222 |
Transfer of loans and advances to real estate acquired in settlement of loans | 0 | |
Recurring [Member] | Excess servicing spread [Member] | ||
Assets: | ||
Beginning balance | 0 | 131,750 |
Purchases and issuances | 0 | 0 |
Repayments and sales | 0 | 134,624 |
Amounts received pursuant to sales of loans | 0 | 0 |
Received pursuant to a recapture agreement | 557 | |
Repayments and sales | 0 | (134,624) |
Capitalization of interest and fees | 1,280 | |
ESS received pursuant to a recapture agreement with PFSI | 557 | |
Changes in fair value included in results of operations arising from: | ||
Changes in instrument-specific credit risk | 0 | 0 |
Other factors | 0 | 1,037 |
Total | 0 | 1,037 |
Transfers: | ||
Interest rate lock commitments to loans acquired for sale | 0 | 0 |
Ending balance | 0 | 0 |
Changes in fair value recognized during the quarter relating to assets | 0 | 0 |
Transfer of loans and advances to real estate acquired in settlement of loans | 0 | |
Recurring [Member] | Loans At Fair Value | ||
Assets: | ||
Beginning balance | 4,161 | 8,027 |
Purchases and issuances | 0 | 0 |
Repayments and sales | (654) | 584 |
Amounts received pursuant to sales of loans | 0 | 0 |
Received pursuant to a recapture agreement | 0 | |
Repayments and sales | 654 | (584) |
Capitalization of interest and fees | 198 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | |
Changes in fair value included in results of operations arising from: | ||
Changes in instrument-specific credit risk | 0 | 0 |
Other factors | 442 | 95 |
Total | 442 | 95 |
Transfers: | ||
Interest rate lock commitments to loans acquired for sale | 0 | 0 |
Ending balance | 3,949 | 7,802 |
Changes in fair value recognized during the quarter relating to assets | 66 | 81 |
Transfer of loans and advances to real estate acquired in settlement of loans | 66 | |
Recurring [Member] | Mortgage servicing rights [Member] | ||
Assets: | ||
Purchases and issuances | 0 | 0 |
Repayments and sales | 0 | 0 |
Amounts received pursuant to sales of loans | 194,596 | 407,696 |
Received pursuant to a recapture agreement | 0 | |
Repayments and sales | 0 | 0 |
Capitalization of interest and fees | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | |
Changes in fair value included in results of operations arising from: | ||
Changes in instrument-specific credit risk | 0 | 0 |
Other factors | 303,721 | 278,282 |
Total | 303,721 | 278,282 |
Transfers: | ||
Interest rate lock commitments to loans acquired for sale | 0 | 0 |
Ending balance | 3,391,172 | 2,441,214 |
Changes in fair value recognized during the quarter relating to assets | 303,721 | 278,282 |
Transfer of loans and advances to real estate acquired in settlement of loans | 0 | |
Recurring [Member] | Mortgage servicing rights [Member] | Previously Reported | ||
Assets: | ||
Beginning balance | 2,892,855 | 1,755,236 |
Recurring [Member] | Loans Acquired For Sale | ||
Assets: | ||
Beginning balance | 30,129 | 33,875 |
Purchases and issuances | 24,105 | 15,898 |
Repayments and sales | (29,498) | 16,070 |
Amounts received pursuant to sales of loans | 0 | 0 |
Received pursuant to a recapture agreement | 0 | |
Repayments and sales | 29,498 | (16,070) |
Capitalization of interest and fees | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | |
Changes in fair value included in results of operations arising from: | ||
Changes in instrument-specific credit risk | 0 | 0 |
Other factors | (411) | 531 |
Total | (411) | 531 |
Transfers: | ||
Interest rate lock commitments to loans acquired for sale | 0 | 0 |
Ending balance | 24,325 | 34,234 |
Changes in fair value recognized during the quarter relating to assets | (229) | 337 |
Transfer of loans and advances to real estate acquired in settlement of loans | 0 | |
Recurring [Member] | Interest Rate Lock Commitments [Member] | ||
Assets: | ||
Beginning balance | 2,451 | 72,386 |
Purchases and issuances | (28,144) | (9,704) |
Repayments and sales | 0 | 0 |
Amounts received pursuant to sales of loans | 0 | 0 |
Received pursuant to a recapture agreement | 0 | |
Repayments and sales | 0 | 0 |
Capitalization of interest and fees | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | |
Changes in fair value included in results of operations arising from: | ||
Changes in instrument-specific credit risk | 0 | 0 |
Other factors | (118,799) | (275,515) |
Total | (118,799) | (275,515) |
Transfers: | ||
Interest rate lock commitments to loans acquired for sale | 121,027 | 147,975 |
Ending balance | (23,465) | (64,858) |
Changes in fair value recognized during the quarter relating to assets | (23,465) | (64,858) |
Transfer of loans and advances to real estate acquired in settlement of loans | 0 | |
Recurring [Member] | Interest-only security payable [Member] | ||
Changes in fair value included in results of operations arising from: | ||
Changes in instrument-specific credit risk\Other factors | 5,780 | 8,165 |
Ending balance | 16,373 | 18,922 |
Changes in fair value recognized during the quarter relating to liability outstanding at March 31, 2022 | 5,780 | 8,165 |
Liabilities: | ||
Beginning balance | 10,593 | 10,757 |
Recurring [Member] | Interest-only security payable [Member] | Credit Risk [Member] | ||
Changes in fair value included in results of operations arising from: | ||
Changes in instrument-specific credit risk\Other factors | 0 | 0 |
Recurring [Member] | Interest-only security payable [Member] | Other Factors [Member] | ||
Changes in fair value included in results of operations arising from: | ||
Changes in instrument-specific credit risk\Other factors | $ 5,780 | $ 8,165 |
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 | Mar. 31, 2022 | Dec. 31, 2021 |
Loans, fair value [Abstract] | ||
Fair value | $ 1,826,482 | $ 1,568,726 |
Fair value, Total | 1,826,482 | 1,568,726 |
Loans, principal amount due upon maturity [Abstract] | ||
Principal amount due upon maturity | 1,899,315 | 1,528,875 |
Loans, difference, [Abstract] | ||
Difference | (72,833) | 39,851 |
Loans acquired for sale at fair value [Member] | ||
Loans, fair value [Abstract] | ||
Current through 89 days delinquent | 1,704,140 | 4,166,177 |
90 or more days delinquent, not in foreclosure | 4,605 | 4,848 |
90 or more days delinquent, in foreclosure | 0 | 0 |
Fair value | 4,605 | 4,848 |
Fair value, Total | 1,708,745 | 4,171,025 |
Loans, principal amount due upon maturity [Abstract] | ||
Current through 89 days delinquent | 1,704,707 | 4,048,967 |
90 or more days delinquent, not in foreclosure | 5,183 | 5,801 |
90 or more days delinquent, in foreclosure | 0 | 0 |
Principal amount due upon maturity | 1,709,890 | 4,054,768 |
Loans, difference, [Abstract] | ||
Current through 89 days delinquent | (567) | 117,210 |
90 or more days delinquent, not in foreclosure | (578) | (953) |
90 or more days delinquent, in foreclosure | 0 | 0 |
Difference | (1,145) | 116,257 |
Loans acquired for sale at fair value [Member] | Nonperforming mortgage loans [Member] | ||
Loans, principal amount due upon maturity [Abstract] | ||
Principal amount due upon maturity | 5,183 | 5,801 |
Loans, difference, [Abstract] | ||
Difference | (578) | (953) |
Loans at Fair Value Held in Consolidated VIE [Member] | ||
Loans, fair value [Abstract] | ||
Current through 89 days delinquent | 1,819,997 | 1,561,794 |
90 or more days delinquent, not in foreclosure | 1,920 | 2,141 |
90 or more days delinquent, in foreclosure | 616 | 630 |
Fair value | 1,822,533 | 1,564,565 |
Loans, principal amount due upon maturity [Abstract] | ||
Current through 89 days delinquent | 1,886,199 | 1,514,575 |
90 or more days delinquent, not in foreclosure | 2,527 | 2,722 |
90 or more days delinquent, in foreclosure | 809 | 809 |
Principal amount due upon maturity | 1,889,535 | 1,518,106 |
Loans, difference, [Abstract] | ||
Current through 89 days delinquent | (66,202) | 47,219 |
90 or more days delinquent, not in foreclosure | (607) | (581) |
90 or more days delinquent, in foreclosure | (193) | (179) |
Difference | (67,002) | 46,459 |
Loans at Fair Value Held in Consolidated VIE [Member] | Nonperforming mortgage loans [Member] | ||
Loans, fair value [Abstract] | ||
Fair value | 2,536 | 2,771 |
Loans, principal amount due upon maturity [Abstract] | ||
Principal amount due upon maturity | 3,336 | 3,531 |
Loans, difference, [Abstract] | ||
Difference | (800) | (760) |
Distressed Loans at Fair Value [Member] | ||
Loans, fair value [Abstract] | ||
Current through 89 days delinquent | 781 | 782 |
90 or more days delinquent, not in foreclosure | 1,207 | 1,181 |
90 or more days delinquent, in foreclosure | 1,961 | 2,198 |
Fair value | 3,949 | 4,161 |
Loans, principal amount due upon maturity [Abstract] | ||
Current through 89 days delinquent | 1,338 | 1,455 |
90 or more days delinquent, not in foreclosure | 2,713 | 3,824 |
90 or more days delinquent, in foreclosure | 5,729 | 5,490 |
Principal amount due upon maturity | 9,780 | 10,769 |
Loans, difference, [Abstract] | ||
Current through 89 days delinquent | (557) | (673) |
90 or more days delinquent, not in foreclosure | (1,506) | (2,643) |
90 or more days delinquent, in foreclosure | (3,768) | (3,292) |
Difference | (5,831) | (6,608) |
Distressed Loans at Fair Value [Member] | Nonperforming mortgage loans [Member] | ||
Loans, fair value [Abstract] | ||
Fair value | 3,168 | 3,379 |
Loans, principal amount due upon maturity [Abstract] | ||
Principal amount due upon maturity | 8,442 | 9,314 |
Loans, difference, [Abstract] | ||
Difference | $ (5,274) | $ (5,935) |
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 | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | $ 0 | |
Net (Losses) Gains on Investments and Financings [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | |
Net Gains on Loans Acquired for Sale [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | |
Net Loan Servicing Fees [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | |
Net Interest (Expense) Income [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | |
Credit Risk Transfer Strips [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | $ (23,995) | 125,826 |
Credit Risk Transfer Strips [Member] | Net (Losses) Gains on Investments and Financings [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (23,995) | 125,826 |
Credit Risk Transfer Strips [Member] | Net Gains on Loans Acquired for Sale [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Credit Risk Transfer Strips [Member] | Net Loan Servicing Fees [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Credit Risk Transfer Strips [Member] | Net Interest Expense [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | |
Credit Risk Transfer Strips [Member] | Net Interest (Expense) Income [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | |
Interest-only security payable [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (5,780) | (8,165) |
Interest-only security payable [Member] | Net (Losses) Gains on Investments and Financings [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (5,780) | (8,165) |
Interest-only security payable [Member] | Net Gains on Loans Acquired for Sale [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Interest-only security payable [Member] | Net Loan Servicing Fees [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Interest-only security payable [Member] | Net Interest Expense [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | |
Interest-only security payable [Member] | Net Interest (Expense) Income [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | |
Asset-backed Securities | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 88,340 | 1,689 |
Asset-backed Securities | Net (Losses) Gains on Investments and Financings [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 89,174 | 900 |
Asset-backed Securities | Net Gains on Loans Acquired for Sale [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Asset-backed Securities | Net Loan Servicing Fees [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Asset-backed Securities | Net Interest Expense [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (834) | |
Asset-backed Securities | Net Interest (Expense) Income [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 789 | |
Liabilities, Total [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 82,560 | (6,476) |
Liabilities, Total [Member] | Net (Losses) Gains on Investments and Financings [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 83,394 | (7,265) |
Liabilities, Total [Member] | Net Gains on Loans Acquired for Sale [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Liabilities, Total [Member] | Net Loan Servicing Fees [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Liabilities, Total [Member] | Net Interest Expense [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (834) | |
Liabilities, Total [Member] | Net Interest (Expense) Income [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 789 | |
Mortgage-backed securities at fair value [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (187,936) | (73,640) |
Mortgage-backed securities at fair value [Member] | Net (Losses) Gains on Investments and Financings [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (186,525) | (71,117) |
Mortgage-backed securities at fair value [Member] | Net Gains on Loans Acquired for Sale [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Mortgage-backed securities at fair value [Member] | Net Loan Servicing Fees [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Mortgage-backed securities at fair value [Member] | Net Interest Expense [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (1,411) | |
Mortgage-backed securities at fair value [Member] | Net Interest (Expense) Income [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (2,523) | |
Loans acquired for sale at fair value [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (227,266) | (106,664) |
Loans acquired for sale at fair value [Member] | Net (Losses) Gains on Investments and Financings [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Loans acquired for sale at fair value [Member] | Net Gains on Loans Acquired for Sale [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (227,266) | (106,664) |
Loans acquired for sale at fair value [Member] | Net Loan Servicing Fees [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Loans acquired for sale at fair value [Member] | Net Interest Expense [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | |
Loans acquired for sale at fair value [Member] | Net Interest (Expense) Income [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | |
Loans at fair value [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (97,070) | (1,425) |
Loans at fair value [Member] | Net (Losses) Gains on Investments and Financings [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (96,121) | (2,250) |
Loans at fair value [Member] | Net Gains on Loans Acquired for Sale [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Loans at fair value [Member] | Net Loan Servicing Fees [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
Loans at fair value [Member] | Net Interest Expense [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (949) | |
Loans at fair value [Member] | Net Interest (Expense) Income [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 825 | |
MSRs at fair value [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 303,721 | 278,282 |
MSRs at fair value [Member] | Net (Losses) Gains on Investments and Financings [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
MSRs at fair value [Member] | Net Gains on Loans Acquired for Sale [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | 0 |
MSRs at fair value [Member] | Net Loan Servicing Fees [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 303,721 | 278,282 |
MSRs at fair value [Member] | Net Interest Expense [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | |
MSRs at fair value [Member] | Net Interest (Expense) Income [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | |
Assets, Total [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (232,546) | 224,696 |
Assets, Total [Member] | Net (Losses) Gains on Investments and Financings [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (306,641) | 53,496 |
Assets, Total [Member] | Net Gains on Loans Acquired for Sale [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (227,266) | (106,664) |
Assets, Total [Member] | Net Loan Servicing Fees [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 303,721 | 278,282 |
Assets, Total [Member] | Net Interest Expense [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | $ (2,360) | |
Assets, Total [Member] | Net Interest (Expense) Income [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | (418) | |
Excess servicing spread [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 2,317 | |
Excess servicing spread [Member] | Net (Losses) Gains on Investments and Financings [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 1,037 | |
Excess servicing spread [Member] | Net Gains on Loans Acquired for Sale [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | |
Excess servicing spread [Member] | Net Loan Servicing Fees [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | 0 | |
Excess servicing spread [Member] | Net Interest (Expense) Income [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Changes in fair value included in current period income (expense) | $ 1,280 |
Fair Value - Summary of Carryin
Fair Value - Summary of Carrying Value of Assets Remeasured Based on Fair Value on Nonrecurring Basis (Detail) - Nonrecurring [Member] - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate acquired in settlement of loans | $ 1,983 | $ 5,147 |
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 | $ 1,983 | $ 5,147 |
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 | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Nonrecurring [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate asset acquired in settlement of loans | $ (148) | $ (649) |
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 | Mar. 31, 2022 | Dec. 31, 2021 |
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 | $ 2,372,279 | $ 2,471,961 |
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 | 2,354,174 | 2,480,842 |
Exchangeable Senior Notes [Member] | Carrying Value [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Notes payable | 544,100 | 502,459 |
Exchangeable Senior Notes [Member] | Fair Value [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Notes payable | $ 531,434 | $ 536,460 |
Fair Value - Additional Informa
Fair Value - Additional Information (Detail) | 3 Months Ended |
Mar. 31, 2022 | |
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 - 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 - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2022 | Dec. 31, 2021 | |
Fair value of CRT derivatives | ||
Fair value of CRT derivatives assets | $ 970 | $ 19,627 |
Fair value of CRT derivatives liabilities | 9,019 | 663 |
UPB of loans in reference pools | $ 6,791,035 | $ 7,426,288 |
Discount Rate [Member] | Minimum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 5.70% | 3.30% |
Key inputs used in fair value for CRT agreements | 0.20% | (0.10%) |
Discount Rate [Member] | Weighted Average [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 8.20% | 5.70% |
Key inputs used in fair value for CRT agreements | 0.30% | 0.10% |
Discount Rate [Member] | Maximum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 8.60% | 5.90% |
Key inputs used in fair value for CRT agreements | 0.90% | 0.80% |
Voluntary Prepayment Speed [Member] | Minimum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 7.00% | 12.60% |
Voluntary Prepayment Speed [Member] | Weighted Average [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 7.40% | 12.70% |
Voluntary Prepayment Speed [Member] | Maximum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 7.70% | 13.10% |
Remaining Loss Expectation [Member] | Minimum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 0.30% | (0.10%) |
Remaining Loss Expectation [Member] | Weighted Average [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 0.30% | 0.10% |
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 | Mar. 31, 2022 | Dec. 31, 2021 |
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 | 54.80% | 64.30% |
Pull-Through Rate [Member] | Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 91.40% | 91.40% |
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 | 0.40% | 0.50% |
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 | 4.60% | 4.50% |
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% | 6.30% |
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% | 0.30% |
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 | 1.60% | 1.50% |
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 | 2.90% | 2.70% |
Interest Rate Lock Commitments [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value | $ (23,465) | $ 2,451 |
Committed amount | $ 1,871,490 | $ 2,092,129 |
Fair Value - Summary of Key Uno
Fair Value - Summary of Key Unobservable Inputs Used in Valuation Credit Risk Transfer Strip (Detail) - Credit Risk Transfer Strips [Member] - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of CRT derivatives liabilities | $ 68,595 | $ 26,837 |
UPB of loans in the reference pools | $ 21,369,832 | $ 23,382,619 |
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% | 3.80% |
Minimum [Member] | Voluntary Prepayment Speed [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 7.80% | 14.90% |
Minimum [Member] | Involuntary Prepayment Speed [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.40% | 0.50% |
Minimum [Member] | Remaining Loss Expectation [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.40% | 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 | 8.60% | 6.40% |
Maximum [Member] | Voluntary Prepayment Speed [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 10.70% | 17.60% |
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% | 1.40% |
Maximum [Member] | Remaining Loss Expectation [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 1.40% | 1.10% |
Weighted Average [Member] | Discount Rate [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 8.10% | 6.00% |
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 | 8.20% | 17.20% |
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 | 0.50% | 0.60% |
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 | 0.60% | 0.50% |
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 | |
Mar. 31, 2022USD ($)$ / Loan | Mar. 31, 2021USD ($)$ / Loan | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value, MSR recognized | $ | $ 194,596 | $ 407,696 |
Fair value, UPB of underlying loans | $ | $ 11,929,172 | $ 32,448,891 |
Fair value, Weighted-average annual servicing fee rate (in basis points) | 0.31% | 0.26% |
Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair Value inputs, Pricing spread during period | 5.80% | 8.00% |
Fair Value inputs, Prepayment speed during period | 6.00% | 6.00% |
Fair Value inputs, Weighted average life during period | 4 years | 3 years 10 months 24 days |
Fair Value inputs, Annual per loan cost of servicing during period | 80 | 81 |
Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair Value inputs, Pricing spread during period | 7.80% | 8.00% |
Fair Value inputs, Prepayment speed during period | 9.00% | 9.30% |
Fair Value inputs, Weighted average life during period | 8 years 4 months 24 days | 8 years 10 months 24 days |
Fair Value inputs, Annual per loan cost of servicing during period | 80 | 81 |
Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair Value inputs, Pricing spread during period | 6.60% | 8.00% |
Fair Value inputs, Prepayment speed during period | 8.40% | 7.50% |
Fair Value inputs, Weighted average life during period | 8 years | 8 years 6 months |
Fair Value inputs, Annual per loan cost of servicing during period | 80 | 81 |
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 | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2022USD ($)$ / Loan | Dec. 31, 2021USD ($)$ / Loan | Mar. 31, 2021USD ($) | Dec. 31, 2020USD ($) | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Mortgage servicing rights at fair value | $ 3,391,172 | $ 2,892,855 | $ 2,441,214 | $ 1,755,236 |
UPB of underlying loans, Fair Value | $ 219,017,091 | $ 216,065,626 | ||
Weighted-average annual servicing fee rate (in basis points), Fair value input | 0.28% | 0.28% | ||
Weighted-average note interest rate, Fair value | 3.30% | 3.00% | ||
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 | $ (45,375) | $ (39,826) | ||
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 | (89,600) | (78,613) | ||
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 | (174,758) | (153,220) | ||
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 | (54,398) | (59,726) | ||
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 | (106,919) | (117,162) | ||
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 | (206,727) | (225,672) | ||
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 | (19,465) | (17,585) | ||
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 | (38,930) | (35,169) | ||
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 | $ (77,859) | $ (70,338) | ||
Minimum [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Estimated fair value inputs, Pricing spread | 4.90% | 6.00% | ||
Estimated fair value inputs, Prepayment speed | 6.90% | 5.50% | ||
Estimated fair value inputs, Annual per-loan cost of servicing | $ / Loan | 78 | 80 | ||
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 4 months 24 days | 3 years 6 months | ||
Maximum [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Estimated fair value inputs, Pricing spread | 9.00% | 8.00% | ||
Estimated fair value inputs, Prepayment speed | 21.50% | 12.50% | ||
Estimated fair value inputs, Annual per-loan cost of servicing | $ / Loan | 80 | 81 | ||
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) | 8 years 6 months | 9 years 1 month 6 days | ||
Weighted Average [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Estimated fair value inputs, Pricing spread | 5.90% | 7.20% | ||
Estimated fair value inputs, Prepayment speed | 7.80% | 8.20% | ||
Estimated fair value inputs, Annual per-loan cost of servicing | $ / Loan | 80 | 80 | ||
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) | 8 years 1 month 6 days | 8 years 1 month 6 days |
Mortgage-Backed Securities - Su
Mortgage-Backed Securities - Summary of Investment in Mortgage Backed Securities Activity (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Mortgage Backed Securities [Line Items] | ||
Balance at beginning of quarter | $ 2,666,768 | |
Changes in fair value included in income arising from: | ||
Balance at end of quarter | 3,070,330 | |
Mortgage Backed Securities [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Balance at beginning of quarter | 2,666,768 | $ 2,213,922 |
Purchases | 661,774 | 1,259,189 |
Sales | 0 | (1,300,653) |
Repayments | (70,276) | (182,333) |
Changes in fair value included in income arising from: | ||
Amortization of net purchase premiums | (1,411) | (2,523) |
Valuation adjustments | (186,525) | (71,117) |
Total changes in fair value included in income | (187,936) | (73,640) |
Balance at end of quarter | $ 3,070,330 | $ 1,916,485 |
Mortgage-Backed Securities - _2
Mortgage-Backed Securities - Summary of Investment in Mortgage Backed Securities (Detail) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Mortgage Backed Securities [Line Items] | ||
Fair value | $ 3,070,330 | $ 2,666,768 |
Mortgage Backed Securities [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Principal balance | 3,234,531 | |
Unamortized net purchase premiums (discounts) | 87,732 | |
Accumulated valuation changes | (251,933) | |
Fair value | 3,070,330 | |
Agency Fixed Rate Pass Through Securities [Member] | Mortgage Backed Securities [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Principal balance | 3,119,140 | 2,649,238 |
Unamortized net purchase premiums (discounts) | 88,744 | 82,938 |
Accumulated valuation changes | (250,828) | (65,408) |
Fair value | 2,957,056 | $ 2,666,768 |
Subordinate Credit-Linked Securities | Mortgage Backed Securities [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Principal balance | 85,900 | |
Unamortized net purchase premiums (discounts) | (75) | |
Accumulated valuation changes | 907 | |
Fair value | 86,732 | |
Senior Non-Agency Securities [Member] | Mortgage Backed Securities [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Principal balance | 29,491 | |
Unamortized net purchase premiums (discounts) | (937) | |
Accumulated valuation changes | (2,012) | |
Fair value | $ 26,542 |
Mortgage-Backed Securities - _3
Mortgage-Backed Securities - Summary of Investment in Mortgage Backed Securities (Parenthetical) (Detail) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2022 | Dec. 31, 2021 | |
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 | Mar. 31, 2022 | Dec. 31, 2021 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Loans acquired for sale at fair value | $ 1,708,745 | $ 4,171,025 | |
Loans pledged to secure total | 1,675,107 | 4,059,479 | |
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 | 1,608,823 | 4,007,377 | |
PennyMac Loan Services, LLC [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Loans acquired for sale at fair value | 288,974 | 314,995 | |
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 | 66,284 | 52,102 | |
Agency-Eligible [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Loans acquired for sale at fair value | [1] | 1,394,676 | 3,825,901 |
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 | [2] | 288,974 | 314,995 |
Home Equity Lines of Credit [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Loans acquired for sale at fair value | 2,971 | 3,265 | |
Commercial Real Estate [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Loans acquired for sale at fair value | 948 | 964 | |
Jumbo [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Loans acquired for sale at fair value | 770 | 0 | |
Repurchased Pursuant to Representations and Warranties [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Loans acquired for sale at fair value | $ 20,406 | $ 25,900 | |
[1] | Agency eligibility refers to loans’ eligibility for sale to Agencies. The Company sells or finances a portion of its Agency-eligible loan production | ||
[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 – |
Loans at Fair Value - Summary o
Loans at Fair Value - Summary of Distribution of Company's Loans at Fair Value (Detail) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Financing Receivable Recorded Investment [Line Items] | ||
Fair value | $ 1,826,482 | $ 1,568,726 |
Asset-backed financings at fair value (1) | 1,822,533 | 1,564,565 |
Loans at fair value pledged to secure | 1,822,947 | 1,564,924 |
Loans in VIEs [Member] | ||
Financing Receivable Recorded Investment [Line Items] | ||
Fair value | 1,822,533 | 1,564,565 |
Distressed [Member] | ||
Financing Receivable Recorded Investment [Line Items] | ||
Fair value | 3,949 | 4,161 |
Agency-conforming loans secured by investment properties [Member] | ||
Financing Receivable Recorded Investment [Line Items] | ||
Fair value | 1,761,201 | 1,495,914 |
Fixed interest rate jumbo loans held in a VIE [Member] | ||
Financing Receivable Recorded Investment [Line Items] | ||
Fair value | 61,332 | 68,651 |
Loans acquired for sale at fair value [Member] | ||
Financing Receivable Recorded Investment [Line Items] | ||
Fair value | 1,708,745 | 4,171,025 |
Assets sold under agreements to repurchase | $ 414 | $ 359 |
Loans at Fair Value - Summary_2
Loans at Fair Value - Summary of Distribution of Company's Loans at Fair Value (Parenthetical) (Detail) - USD ($) $ in Millions | Mar. 31, 2022 | Dec. 31, 2021 |
Mortgage Loans At Fair Value [Abstract] | ||
Certificates retained at fair value pledged to secure Assets sold under agreements to repurchase | $ 99.4 | $ 85.3 |
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 | Mar. 31, 2022 | Dec. 31, 2021 |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | ||
Derivative assets | $ 77,823 | $ 34,238 |
Derivative and credit risk transfer strip assets | 77,823 | 34,238 |
Derivative liabilities | 60,755 | 15,369 |
Credit risk transfer strip liabilities | 68,595 | 26,837 |
Total derivative and credit risk transfer strip liabilities | $ 129,350 | $ 42,206 |
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 ($) | Mar. 31, 2022 | Dec. 31, 2021 | |
Derivatives Fair Value [Line Items] | |||
Notional amount | [1] | $ 0 | $ 0 |
Total derivatives assets before netting | 221,526,000 | 45,346,000 | |
Derivative assets, Netting | (143,703,000) | (11,108,000) | |
Total derivative assets after netting | 77,823,000 | 34,238,000 | |
Margin deposits received from derivative counterparties, net | 99,049,000 | 6,965,000 | |
Derivative assets pledged to secure: | |||
Notes payable secured by credit risk transfer and mortgage servicing assets | 2,372,279,000 | 2,471,961,000 | |
Total derivative liabilities | 105,410,000 | 19,511,000 | |
Derivative liabilities, Netting | (44,655,000) | (4,142,000) | |
Total derivative liabilities after netting | 60,755,000 | 15,369,000 | |
Derivative assets related to CRT Derivatives [Member] | |||
Derivative assets pledged to secure: | |||
Notes payable secured by credit risk transfer and mortgage servicing assets | 970,000 | 19,627,000 | |
CRT Derivatives [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1] | 6,791,035,000 | 7,426,288,000 |
Total derivatives assets before netting | 970,000 | 19,627,000 | |
Derivative assets, Netting | 0 | 0 | |
Total derivative assets after netting | 970,000 | 19,627,000 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 9,019,000 | 663,000 | |
Swaption Purchase Contracts | |||
Derivatives Fair Value [Line Items] | |||
Total derivatives assets before netting | [2] | 0 | 39,000 |
Forward Purchase Contracts [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 7,819,164,000 | 6,945,340,000 |
Total derivatives assets before netting | [2] | 7,597,000 | 5,806,000 |
Derivative assets, Netting | 0 | 0 | |
Total derivative assets after netting | 7,597,000 | 5,806,000 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 54,641,000 | 3,620,000 | |
Derivative liabilities, Netting | 0 | 0 | |
Forward Sale Contracts [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 12,069,211,000 | 10,466,182,000 |
Total derivatives assets before netting | [2] | 132,751,000 | 6,307,000 |
Derivative assets, Netting | 0 | 0 | |
Total derivative assets after netting | 132,751,000 | 6,307,000 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 12,886,000 | 13,782,000 | |
Derivative liabilities, Netting | 0 | 0 | |
Swaption Purchase Contracts | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 0 | 2,200,000,000 |
Total derivatives assets before netting | 0 | 39,000 | |
Derivative assets, Netting | 0 | 0 | |
Total derivative assets after netting | 0 | 39,000 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 0 | 0 | |
Interest Rate Lock Commitments [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1] | 1,871,490,000 | 2,092,129,000 |
Total derivatives assets before netting | 1,649,000 | 3,897,000 | |
Total derivative assets after netting | 1,649,000 | 3,897,000 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 25,114,000 | 1,446,000 | |
Call Options on Interest Rate Futures Purchase Contracts [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 1,275,000,000 | 1,450,000,000 |
Total derivatives assets before netting | [2] | 1,230,000 | 2,828,000 |
Derivative assets, Netting | 0 | 0 | |
Total derivative assets after netting | 1,230,000 | 2,828,000 | |
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] | 4,545,000,000 | 1,775,000,000 |
Total derivatives assets before netting | [2] | 65,358,000 | 3,180,000 |
Derivative assets, Netting | 0 | 0 | |
Total derivative assets after netting | 65,358,000 | 3,180,000 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 0 | 0 | |
Put Options On Interest Rate Futures Sale Contracts [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1] | 125,000,000 | 0 |
Total derivatives assets before netting | [2] | 0 | 0 |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 3,750,000 | 0 | |
MBS Put Options [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 1,200,000,000 | 3,400,000,000 |
Total derivatives assets before netting | [2] | 11,971,000 | 3,662,000 |
Derivative assets, Netting | 0 | 0 | |
Total derivative assets after netting | 11,971,000 | 3,662,000 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 0 | 0 | |
MBS Call Options [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 1,000,000,000 | 0 |
Total derivatives assets before netting | [2] | 0 | 0 |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 0 | 0 | |
Swap Futures [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 0 | 1,425,100,000 |
Total derivatives assets before netting | [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] | 1,806,800,000 | 181,800,000 |
Total derivatives assets before netting | [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 | Mar. 31, 2022 | Dec. 31, 2021 | |
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | $ 221,526 | $ 45,346 | |
Gross amounts offset in the consolidated balance sheet | (143,703) | (11,108) | |
Total derivative assets after netting | 77,823 | 34,238 | |
CRT Derivatives [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | 970 | 19,627 | |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative assets after netting | 970 | 19,627 | |
Forward Purchase Contracts [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | [1] | 7,597 | 5,806 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative assets after netting | 7,597 | 5,806 | |
Forward Sale Contracts [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | [1] | 132,751 | 6,307 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative assets after netting | 132,751 | 6,307 | |
Swaption Purchase Contracts | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | 0 | 39 | |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative assets after netting | 0 | 39 | |
Interest Rate Lock Commitments [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | 1,649 | 3,897 | |
Total derivative assets after netting | 1,649 | 3,897 | |
Call Options on Interest Rate Futures Purchase Contracts [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | [1] | 1,230 | 2,828 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative assets after netting | 1,230 | 2,828 | |
Put Options On Interest Rate Futures Purchase Contracts | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | [1] | 65,358 | 3,180 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative assets after netting | 65,358 | 3,180 | |
MBS Put Options [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | [1] | 11,971 | 3,662 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative assets after netting | 11,971 | 3,662 | |
Netting [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | 0 | 0 | |
Gross amounts offset in the consolidated balance sheet | (143,703) | (11,108) | |
Total derivative assets after netting | (143,703) | (11,108) | |
Derivatives Subject to Master Netting Arrangements [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | 218,907 | 21,822 | |
Gross amounts offset in the consolidated balance sheet | (143,703) | (11,108) | |
Total derivative assets after netting | 75,204 | 10,714 | |
Derivatives Not Subject To Master Netting Adjustment [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | 2,619 | 23,524 | |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative assets after netting | 2,619 | 23,524 | |
Derivatives Not Subject To Master Netting Adjustment [Member] | Interest Rate Lock Commitments [Member] | |||
Offsetting Assets [Line Items] | |||
Gross amounts of recognized assets | 1,649 | 3,897 | |
Gross amounts offset in the consolidated balance sheet | 0 | 0 | |
Total derivative assets after netting | $ 1,649 | $ 3,897 | |
[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 | Mar. 31, 2022 | Dec. 31, 2021 |
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | $ 77,823 | $ 34,238 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 77,823 | 34,238 |
CRT Derivatives [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 970 | 19,627 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 970 | 19,627 |
Interest Rate Lock Commitments [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 1,649 | 3,897 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 1,649 | 3,897 |
RJ O'Brien & Associates, LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 62,838 | 6,008 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 62,838 | 6,008 |
Wells Fargo Securities L L C | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 1,496 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 1,496 | 0 |
Jefferies & Company, Inc. | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 1,180 | 119 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 1,180 | 119 |
J.P. Morgan Securities LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 0 | 2,085 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 0 | 2,085 |
Bank of America, N.A. [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 7,033 | 1,958 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 7,033 | 1,958 |
Federal National Mortgage Association | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 1,013 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 1,013 | 0 |
Other [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 1,644 | 544 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | $ 1,644 | $ 544 |
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 | Mar. 31, 2022 | Dec. 31, 2021 |
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | $ 5,198,110 | $ 6,691,401 |
Gross amounts offset in the consolidated balance sheet | (44,655) | (4,142) |
Net amounts of liabilities presented in the consolidated balance sheet | 5,153,455 | 6,687,259 |
Unpaid Principal Balance [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 5,094,835 | 6,674,541 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 5,094,835 | 6,674,541 |
Put Options On Interest Rate Futures Sale Contracts [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 3,750 | 0 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 3,750 | 0 |
Forward Purchase Contracts [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 54,641 | 3,620 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 54,641 | 3,620 |
Forward Sale Contracts [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 12,886 | 13,782 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 12,886 | 13,782 |
Netting [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 0 | 0 |
Gross amounts offset in the consolidated balance sheet | (44,655) | (4,142) |
Net amounts of liabilities presented in the consolidated balance sheet | (44,655) | (4,142) |
Derivatives Subject to Master Netting Arrangements [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 71,277 | 17,402 |
Gross amounts offset in the consolidated balance sheet | (44,655) | (4,142) |
Net amounts of liabilities presented in the consolidated balance sheet | 26,622 | 13,260 |
Derivatives Not Subject To Master Netting Adjustment [Member] | Interest Rate Lock Commitments [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 25,114 | 1,446 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 25,114 | 1,446 |
Derivatives Not Subject To Master Netting Adjustment [Member] | CRT Derivatives [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 9,019 | 663 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 9,019 | 663 |
Derivative Liabilities Before Netting [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 105,410 | 19,511 |
Gross amounts offset in the consolidated balance sheet | (44,655) | (4,142) |
Net amounts of liabilities presented in the consolidated balance sheet | 60,755 | 15,369 |
Unamortized Debt Issuance Costs [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | (2,135) | (2,651) |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | (2,135) | (2,651) |
Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 5,092,700 | 6,671,890 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | $ 5,092,700 | $ 6,671,890 |
Derivative and Credit Risk Tr_8
Derivative and Credit Risk Transfer Strip Assets and Liabilities - Summary of Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty (Detail) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | $ 5,153,455 | $ 6,687,259 |
Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 5,092,700 | 6,671,890 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 5,155,590 | 6,689,910 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (5,094,835) | (6,674,541) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 60,755 | 15,369 |
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 | 9,019 | 663 |
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 | 9,019 | 663 |
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 | 25,114 | 1,446 |
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 | 25,114 | 1,446 |
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 | 346,316 | 1,293,754 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (346,316) | (1,293,754) |
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] | 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 | 1,166,110 | 1,088,417 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (1,166,110) | (1,088,417) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Barclays Capital Inc. [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 722,786 | 1,086,104 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (722,495) | (1,085,723) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 291 | 381 |
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 | 718,759 | 832,610 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (708,581) | (830,954) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 10,178 | 1,656 |
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 | 1,001,910 | 726,762 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (999,248) | (726,762) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 2,662 | 0 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Daiwa Capital Markets [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 503,227 | 495,973 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (503,048) | (495,973) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 179 | 0 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Morgan Stanley & Co. LLC [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 37,148 | 412,321 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (33,047) | (410,413) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 4,101 | 1,908 |
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 | 208,497 | 217,459 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (207,389) | (212,580) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 1,108 | 4,879 |
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 | 81,750 | 171,185 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (81,008) | (171,185) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 742 | 0 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Citigroup Global Markets Inc. [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 136,345 | 131,312 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (131,170) | (129,016) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 5,175 | 2,296 |
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 | 111,425 | 125,090 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (111,425) | (125,090) |
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] | Wells Fargo Securities L L C | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 84,998 | 106,088 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (84,998) | (104,674) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 1,414 |
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Other [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 2,186 | 726 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | $ 2,186 | $ 726 |
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 | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Net gains 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 | $ (25,916) | $ (137,243) |
Fixed-rate and prepayment sensitive assets and LIBOR- indexed repurchase agreements [Member] | Net (Losses) Gains on Investments and Financings [Member] | ||
Derivative Instruments Gain Loss [Line Items] | ||
Net gains on derivative financial instruments used as economic hedges | 0 | (24) |
Interest rate lock commitments and loans acquired for sale [Member] | Net gains on loans acquired for sale [Member] | ||
Derivative Instruments Gain Loss [Line Items] | ||
Net gains on derivative financial instruments used as economic hedges | 251,899 | 297,476 |
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 | (163,802) | (374,403) |
CRT Derivatives [Member] | Net (Losses) Gains on Investments and Financings [Member] | ||
Derivative Instruments Gain Loss [Line Items] | ||
Net gains on derivative financial instruments used as economic hedges | $ (5,848) | $ 36,370 |
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 | Mar. 31, 2022 | Dec. 31, 2021 |
Credit risk transfer strips contractually restricted from sale | ||
CRT strips, Liabilities | $ 68,595 | $ 26,837 |
Credit Risk Transfer Strips [Member] | ||
Credit risk transfer strips contractually restricted from sale | ||
CRT strips, Liabilities | (68,595) | (26,837) |
Credit Risk Transfer Strips [Member] | Currently Unrestricted [Member] | ||
Credit risk transfer strips contractually restricted from sale | ||
CRT strips, Liabilities | (68,595) | 5,978 |
Credit Risk Transfer Strips [Member] | To Maturity [Member] | ||
Credit risk transfer strips contractually restricted from sale | ||
CRT strips, Liabilities | $ 0 | $ (32,815) |
Mortgage Servicing Rights - Sum
Mortgage Servicing Rights - Summary of MSRs Carried at Fair Value (Detail) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | ||
Summary Of Mortgage Servicing Rights [Line Items] | ||||
Balance at beginning of quarter | $ 2,892,855 | $ 1,755,236 | ||
MSRs resulting from loan sales | 194,596 | 407,696 | ||
Due to changes in inputs used in valuation model | [1] | 392,640 | 337,667 | |
Other changes in fair value | [2] | (88,919) | (59,385) | |
Change in fair value, Total | 303,721 | 278,282 | ||
Balance at end of quarter | 3,391,172 | $ 2,441,214 | ||
Pledged Assets [Member] | ||||
Summary Of Mortgage Servicing Rights [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 | $ 3,352,952 | $ 2,863,544 | ||
[1] | Primarily reflects changes in pricing spread, prepayment speed, servicing cost, and UPB for underlying loan inputs | |||
[2] | Represents changes due to realization of expected cash flows |
Mortgage Servicing Rights - S_2
Mortgage Servicing Rights - Summary of Net Loan Servicing Fees Relating to MSRs (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Transfers And Servicing [Abstract] | ||
Contractually-specified servicing fees | $ 146,885 | $ 116,287 |
Late charges | 612 | 412 |
Other | 8,502 | 15,833 |
Mortgage loan other servicing fees | 9,114 | 16,245 |
Net mortgage loan servicing fees | 155,999 | 132,532 |
Average MSR servicing portfolio | $ 217,692,169 | $ 177,161,626 |
Other Assets - Summary of Other
Other Assets - Summary of Other Assets (Detail) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Other Assets [Line Items] | ||
Margin deposits | $ 90,974 | $ 193,418 |
Correspondent lending receivables | 54,141 | 27,539 |
Interest receivable | 13,428 | 15,168 |
Real estate acquired in settlement of loans | 11,719 | 14,382 |
Servicing fees receivable | 10,473 | 16,756 |
Other receivables | 4,215 | 15,299 |
Other | 12,239 | 3,737 |
Other Assets | 197,189 | 286,299 |
Real Estate Acquired in Settlement of Loans Pledge to Secure [Member] | ||
Other Assets [Line Items] | ||
Assets sold under agreements to repurchase | $ 6,204 | $ 7,293 |
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 | 12 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | |
Assets Sold under Agreements to Repurchase [Line Items] | |||
Weighted average interest rate | 1.06% | 1.60% | |
Average balance | $ 4,999,896,000 | $ 5,971,290,000 | |
Total interest expense | 15,571,000 | 28,659,000 | |
Maximum daily amount outstanding | 7,405,436,000 | $ 7,208,807,000 | |
Funded under committed facilities | 5,094,835,000 | $ 6,674,541,000 | |
Assets sold under agreements to repurchase, At year end | $ 5,092,700,000 | $ 6,671,890,000 | |
Weighted average interest rate | 1.23% | 1.08% | |
Available borrowing capacity, Committed | $ 1,211,221,000 | $ 289,436,000 | |
Available borrowing capacity, Uncommitted | 6,031,056,000 | 4,875,433,000 | |
Available borrowing capacity | 7,242,277,000 | 5,164,869,000 | |
Margin deposits placed with counterparties included in Other assets | 44,153,000 | 67,997,000 | |
Funded Under Committed Facilities [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Funded under committed facilities | 4,775,890,000 | 5,799,975,000 | |
Assets Sold Under Agreements to Repurchase [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Unamortized debt issuance costs | (2,135,000) | (2,651,000) | |
Funded Under Uncommitted Facilities [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Funded under committed facilities | 318,945,000 | 874,566,000 | |
Mortgage Backed Securities [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | 3,070,330,000 | 2,666,768,000 | |
Loans Acquired For Sale At Fair Value [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | 1,608,823,000 | 4,007,377,000 | |
Loans At Fair Value | Certificates Retained In Asset Backed Financings | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | 99,363,000 | 85,266,000 | |
Loans At Fair Value | Distressed loans [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | 414,000 | 359,000 | |
Servicing advances [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | 64,852,000 | 93,455,000 | |
Real estate acquired in settlement of loans [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | 6,204,000 | 7,293,000 | |
Mortgage service rights [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | 1,836,018,000 | 1,598,090,000 | |
Deposits securing CRT Agreements [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | $ 102,027,000 | $ 0 |
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 | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Amortization of debt issuance costs | $ 4,140 | $ 7,384 |
Assets Sold Under Agreements to Repurchase [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Amortization of debt issuance costs | $ 2,500 | $ 5,200 |
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 | 3 Months Ended |
Mar. 31, 2022USD ($) | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 5,094,835 |
Weighted average maturity (in months) | 2 months 6 days |
Within 30 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 3,204,520 |
Over 30 to 90 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 1,118,999 |
Over 90 days to 180 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 346,316 |
Over 180 Days to 1 Year [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 425,000 |
Assets Sold Under Agreements _4
Assets Sold Under Agreements to Repurchase - Summary of Assets Sold under Agreements to Repurchase by Counterparty (Detail) $ in Thousands | Mar. 31, 2022USD ($) |
Barclays Capital Inc. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 14,045 |
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 | 25,760 |
JPMorgan Chase & Co. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | 29,054 |
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 | 2,478 |
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 | 21,555 |
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 | 15,239 |
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 | 8,130 |
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 | 3,733 |
BNP Paribas Corporate & Institutional Banking [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 | 2,439 |
Wells Fargo Securities L L C | 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 | 1,704 |
Daiwa Capital Markets America Inc. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | 15,670 |
Citibank, N.A. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | 16,691 |
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 | 8,196 |
Amherst Pierpont Securities LLC [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | 4,953 |
Bank of America, N.A. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | 43,672 |
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 | 10,622 |
Bank of America, N.A. [Member] | Credit Risk Transfer Agreements [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 34,627 |
Mortgage Loan Participation Pur
Mortgage Loan Participation Purchase and Sale Agreement - Summary of Mortgage Loan Participation Purchase and Sale Agreement (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | |
At period end: | |||
Mortgage loan participation purchase and sale agreements, At year end | $ 65,699 | $ 49,988 | |
Mortgage Loan Participation Purchase and Sale Agreement [Member] | |||
Mortgage Loan Participation Purchase And Sale Agreement [Line Items] | |||
Weighted average interest rate | 1.64% | 1.38% | |
Average balance | $ 35,809 | $ 39,162 | |
Total interest expense | 176 | 164 | |
Maximum daily amount outstanding | 88,633 | 82,571 | |
At period end: | |||
Amount outstanding | 65,725 | 49,988 | |
Unamortized debt issuance costs | (26) | 0 | |
Mortgage loan participation purchase and sale agreements, At year end | $ 65,699 | $ 49,988 | |
Weighted average interest rate | 1.83% | 1.48% | |
Loans acquired for sale pledged to secure Mortgage loan participation purchase and sale agreements | $ 66,284 | $ 52,102 |
Mortgage Loan Participation P_2
Mortgage Loan Participation Purchase and Sale Agreement - Summary of Mortgage Loan Participation Purchase and Sale Agreement (Parenthetical) (Detail) - USD ($) | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Mortgage Loan Participation Purchase And Sale Agreement [Line Items] | ||
Amortization of debt issuance costs | $ 4,140,000 | $ 7,384,000 |
Mortgage Loan Participation Purchase and Sale Agreement [Member] | ||
Mortgage Loan Participation Purchase And Sale Agreement [Line Items] | ||
Amortization of debt issuance costs | $ 31,000 | $ 31,000 |
Long-Term Debt - Summary of Ter
Long-Term Debt - Summary of Term Note Issued to Qualified Institutional Buyers (Detail) - Secured Debt $ in Thousands | 3 Months Ended |
Mar. 31, 2022USD ($) | |
Debt Instrument [Line Items] | |
Unpaid principal balance | $ 978,710 |
March 4, 2021 [Member] | |
Debt Instrument [Line Items] | |
Notes Issued | 659,156 |
Unpaid principal balance | $ 350,557 |
Interest rate spread (Annual) | 2.90% |
Maturity date, Stated | Feb. 28, 2024 |
Maturity date, Optional extension | Feb. 27, 2026 |
December 22, 2020 [Member] | |
Debt Instrument [Line Items] | |
Notes Issued | $ 500,000 |
Unpaid principal balance | $ 264,301 |
Interest rate spread (Annual) | 3.81% |
Maturity date, Stated | Dec. 28, 2022 |
February 14, 2020 [Member] | |
Debt Instrument [Line Items] | |
Notes Issued | $ 350,000 |
Unpaid principal balance | $ 75,356 |
Interest rate spread (Annual) | 2.35% |
Maturity date, Stated | Mar. 1, 2023 |
Maturity date, Optional extension | Feb. 27, 2025 |
October 16, 2019 [Member] | |
Debt Instrument [Line Items] | |
Notes Issued | $ 375,000 |
Unpaid principal balance | $ 71,556 |
Interest rate spread (Annual) | 2.70% |
Maturity date, Stated | Oct. 27, 2022 |
Maturity date, Optional extension | Oct. 29, 2024 |
June 11, 2019 [Member] | |
Debt Instrument [Line Items] | |
Notes Issued | $ 638,000 |
Unpaid principal balance | $ 216,940 |
Interest rate spread (Annual) | 2.75% |
Maturity date, Stated | May 29, 2023 |
Maturity date, Optional extension | May 29, 2025 |
Long-Term Debt - Additional Inf
Long-Term Debt - Additional Information (Detail) | Mar. 31, 2021USD ($) | Mar. 30, 2021USD ($) | Mar. 09, 2021USD ($) | Nov. 19, 2019USD ($) | Apr. 25, 2018USD ($) | Mar. 31, 2022USD ($) |
Secured Term Notes [Member] | ||||||
Debt Instrument [Line Items] | ||||||
Aggregate loan amount | $ 350,000,000 | $ 450,000,000 | ||||
Notes Issued | $ 350,000,000 | $ 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] | ||||||
Debt Instrument [Line Items] | ||||||
Aggregate loan amount | $ 1,000,000,000 | |||||
Notes Issued | 1,000,000,000 | |||||
Loan And Security Agreement With Citibank [Member] | Minimum [Member] | ||||||
Debt Instrument [Line Items] | ||||||
Aggregate loan amount | 700,000,000 | |||||
Notes Issued | $ 700,000,000 | |||||
Exchangeable Senior Notes due March 15, 2026 [Member] | ||||||
Debt Instrument [Line Items] | ||||||
Maturity date of debt instrument | Mar. 15, 2026 | |||||
Issuance of debt through private offering | $ 345,000,000 | |||||
Exchangeable Senior Notes Per Note Principal Amount | $ 1,000 | |||||
Percentage of interest on debt | 5.50% | |||||
2024 Exchangeable Notes and 2026 Exchangeable Notes [Member] | ||||||
Debt Instrument [Line Items] | ||||||
Issuance of debt through private offering | $ 210,000,000 | |||||
Exchangeable Senior Notes due November 1, 2024 [Member] | ||||||
Debt Instrument [Line Items] | ||||||
Maturity date of debt instrument | Nov. 1, 2024 | |||||
Exchangeable Senior Notes Per Note Principal Amount | $ 1,000 | |||||
Percentage of interest on debt | 5.50% | |||||
Fixed-rate and prepayment sensitive assets and LIBOR- indexed repurchase agreements [Member] | Secured Term Notes [Member] | ||||||
Debt Instrument [Line Items] | ||||||
Debt Instrument, Description of Variable Rate Basis | one-month | one-month | ||||
Debt instrument interest rate spread | 3.00% | 2.35% | ||||
SOFR [Member] | Loan And Security Agreement With Citibank [Member] | ||||||
Debt Instrument [Line Items] | ||||||
Debt instrument interest rate spread | 3.36% | |||||
Initial Exchangeable Rate [Member] | Exchangeable Senior Notes due March 15, 2026 [Member] | Maximum [Member] | ||||||
Debt Instrument [Line Items] | ||||||
Number of shares exchanged per exchangeable notes | 40.101 | |||||
Initial Exchangeable Rate [Member] | Exchangeable Senior Notes due March 15, 2026 [Member] | Minimum [Member] | ||||||
Debt Instrument [Line Items] | ||||||
Number of shares exchanged per exchangeable notes | 46.1063 | |||||
Initial Exchangeable Rate [Member] | Exchangeable Senior Notes due November 1, 2024 [Member] | Maximum [Member] | ||||||
Debt Instrument [Line Items] | ||||||
Number of shares exchanged per exchangeable notes | 40.101 | |||||
Initial Exchangeable Rate [Member] | Exchangeable Senior Notes due November 1, 2024 [Member] | Minimum [Member] | ||||||
Debt Instrument [Line Items] | ||||||
Number of shares exchanged per exchangeable notes | 46.1063 | |||||
PennyMac Loan Services, LLC [Member] | ||||||
Debt Instrument [Line Items] | ||||||
Line of credit, maximum borrowing capacity | $ 700,000,000 | |||||
Extended termination date of debt instrument | Mar. 31, 2023 |
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 ($) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | |
Carrying value: | |||
Amount outstanding | $ 2,378,710,000 | $ 2,479,636,000 | |
Balance | 2,372,279,000 | 2,471,961,000 | |
Carrying value of notes | 2,378,710,000 | 2,479,636,000 | |
Assets securing notes payable: | |||
MSRs | 3,352,952,000 | 2,863,544,000 | |
Deposits securing CRT arrangements | 1,434,835,000 | 1,704,911,000 | |
Derivative assets | $ 970,000 | 19,627,000 | |
Notes Payable [Member] | |||
Short Term Debt [Line Items] | |||
Weighted-average interest rate | 3.14% | 3.14% | |
Average balance | $ 2,438,773,000 | $ 2,260,721,000 | |
Total interest expense | 20,366,000 | 18,599,000 | |
Maximum daily amount outstanding | 2,601,767,000 | $ 3,180,115,000 | |
Carrying value: | |||
Unamortized debt issuance costs | $ (6,431,000) | $ (7,675,000) | |
Weighted average interest rate | 3.29% | 3.02% | |
Assets securing notes payable: | |||
Derivative assets | $ 970,000 | $ 19,627,000 | |
CRT Term Notes [Member] | |||
Carrying value: | |||
Amount outstanding | 978,710,000 | 1,204,636,000 | |
Carrying value of notes | 978,710,000 | 1,204,636,000 | |
2021-FT1 Notes [Member] | |||
Carrying value: | |||
Amount outstanding | 350,000,000 | 350,000,000 | |
Carrying value of notes | 350,000,000 | 350,000,000 | |
Freddie Mac Loan and Security Agreement [Member] | |||
Carrying value: | |||
Amount outstanding | 600,000,000 | 475,000,000 | |
Carrying value of notes | 600,000,000 | 475,000,000 | |
2018-FT1 Notes [Member] | |||
Carrying value: | |||
Amount outstanding | 450,000,000 | 450,000,000 | |
Carrying value of notes | $ 450,000,000 | $ 450,000,000 |
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 ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Short Term Debt [Line Items] | ||
Amortization of debt issuance costs | $ 4,140 | $ 7,384 |
Notes Payable [Member] | ||
Short Term Debt [Line Items] | ||
Amortization of debt issuance costs | $ 1,500 | $ 1,100 |
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 | ||||||||
Mar. 31, 2022 | Mar. 31, 2021 | Mar. 31, 2028 | Mar. 31, 2027 | Mar. 31, 2026 | Mar. 31, 2025 | Mar. 31, 2024 | Mar. 31, 2023 | Dec. 31, 2021 | |
Amortization of: | |||||||||
Interest expense | $ 63,514 | $ 76,308 | |||||||
Carrying value: | |||||||||
UPB | 555,000 | $ 0 | $ 0 | $ 345,000 | $ 210,000 | $ 0 | $ 0 | $ 555,000 | |
Conversion option allocated to additional paid-in-capital and Unamortized debt issuance costs | (10,900) | (52,541) | |||||||
Exchangeable senior notes | 544,100 | 502,459 | |||||||
Nonaffiliates [Member] | |||||||||
Amortization of: | |||||||||
Interest expense | 63,514 | 75,921 | |||||||
Convertible Debt [Member] | |||||||||
Carrying value: | |||||||||
Conversion option allocated to Additional paid-in capital | 0 | (40,952) | |||||||
Unamortized debt issuance costs | (10,900) | $ (11,589) | |||||||
Convertible Debt [Member] | Nonaffiliates [Member] | |||||||||
Short Term Debt [Line Items] | |||||||||
Average balance | $ 529,542 | $ 298,554 | |||||||
Weighted average interest rate | 5.84% | 7.01% | |||||||
Interest expense: | |||||||||
Coupon | $ 7,631 | $ 4,230 | |||||||
Amortization of: | |||||||||
Conversion options | 0 | 927 | |||||||
Interest expense | 689 | 385 | |||||||
Total interest expense | $ 8,320 | $ 5,542 |
Long-Term Debt - Summary of F_4
Long-Term Debt - Summary of Financial Information Relating to Exchangeable Senior Notes (Parenthetical) (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Short Term Debt [Line Items] | ||
Amortization of debt issuance costs | $ 4,140 | $ 7,384 |
Additional paid in capital | 50,300 | |
Exchangeable Notes [Member] | ||
Short Term Debt [Line Items] | ||
Amortization of debt issuance costs | $ 9,400 |
Long-Term Debt - Summary of F_5
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 | ||||||||
Mar. 31, 2022 | Mar. 31, 2021 | Mar. 31, 2028 | Mar. 31, 2027 | Mar. 31, 2026 | Mar. 31, 2025 | Mar. 31, 2024 | Mar. 31, 2023 | Dec. 31, 2021 | |
Short Term Debt [Line Items] | |||||||||
Asset-backed financings at fair value | $ 1,712,650 | $ 1,469,999 | |||||||
UPB | 1,787,300 | $ 1,787,300 | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 | ||
Variable Interest Entities [Member] | |||||||||
Short Term Debt [Line Items] | |||||||||
Asset-backed financings at fair value | 1,712,650 | 1,469,999 | |||||||
Asset-backed Securities | Variable Interest Entities [Member] | |||||||||
Short Term Debt [Line Items] | |||||||||
Asset-backed financings at fair value | 1,712,650 | 1,469,999 | |||||||
UPB | 1,787,300 | $ 1,442,379 | |||||||
Asset-backed Securities | Variable Interest Entities [Member] | Asset Backed Secured Financing Liability Fair Value | |||||||||
Short Term Debt [Line Items] | |||||||||
Average balance | 1,460,610 | $ 120,415 | |||||||
Total interest expense | $ 11,027 | $ 168 | |||||||
Weighted average interest rate | 3.29% | 3.22% | |||||||
Weighted average interest rate | 3.18% | 3.18% |
Long-Term Debt - Summary of F_6
Long-Term Debt - Summary of Financial Information Relating to Asset-Backed Financing of a VIE at Fair Value (Parenthetical) (Detail) - USD ($) | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Debt Instrument [Line Items] | ||
Net debt issuance costs | $ 4,140,000 | $ 7,384,000 |
Variable Interest Entities [Member] | Asset-backed Securities | Asset Backed Secured Financing Liability Fair Value | ||
Debt Instrument [Line Items] | ||
Net debt issuance costs | $ 834,000 | $ 789,000 |
Long-Term Debt - Schedule of Co
Long-Term Debt - Schedule of Contractual Maturities on Long Term Debt Obligations (Detail) - USD ($) $ in Thousands | Mar. 31, 2028 | Mar. 31, 2027 | Mar. 31, 2026 | Mar. 31, 2025 | Mar. 31, 2024 | Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2021 |
Debt Disclosure [Abstract] | ||||||||
Notes payable secured by credit risk transfer and mortgage servicing assets | $ 0 | $ 0 | $ 350,000 | $ 0 | $ 1,017,497 | $ 1,011,213 | $ 2,378,710 | |
Exchangeable senior notes | 0 | 0 | 345,000 | 210,000 | 0 | 0 | 555,000 | $ 555,000 |
Asset-backed financings at fair value | 1,787,300 | 0 | 0 | 0 | 0 | 0 | 1,787,300 | |
Interest-only security payable at fair value | 16,373 | 0 | 0 | 0 | 0 | 0 | 16,373 | $ 10,593 |
Total | $ 1,803,673 | $ 0 | $ 695,000 | $ 210,000 | $ 1,017,497 | $ 1,011,213 | $ 4,737,383 |
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 | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Mortgage Banking [Abstract] | ||
Balance, beginning of quarter | $ 40,249 | $ 21,893 |
Provision for losses: | ||
Pursuant to loan sales | 1,317 | 8,513 |
Reduction in liability due to change in estimate | (1,165) | (1,424) |
Losses incurred, net | (176) | (15) |
Balance, end of quarter | 40,225 | 28,967 |
UPB of loans subject to representations and warranties at end of quarter | $ 217,466,262 | $ 177,595,762 |
Commitments and Contingencies -
Commitments and Contingencies - Company's Outstanding Contractual Commitments (Detail) $ in Thousands | Mar. 31, 2022USD ($) |
Commitments to purchase mortgage loans: | |
Commitments to purchase loans acquired for sale | $ 1,871,490 |
Shareholders' Equity - Summary
Shareholders' Equity - Summary of Preferred Shares of Beneficial Interest (Detail) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | ||
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | |
Class Of Stock [Line Items] | |||
Number of shares | 22,400,000 | 22,400,000 | |
Liquidation preference | $ 560,000 | ||
Issuance discount | 18,518 | ||
Carrying value | $ 541,482 | $ 541,482 | |
8.125% Series A Preferred Stock [Member] | |||
Class Of Stock [Line Items] | |||
Number of shares | 4,600,000 | ||
Liquidation preference | $ 115,000 | ||
Issuance discount | 3,828 | ||
Carrying value | $ 111,172 | ||
Dividends per share | $ 0.51 | $ 0.51 | |
8.00% Series B Preferred Stock [Member] | |||
Class Of Stock [Line Items] | |||
Number of shares | 7,800,000 | ||
Liquidation preference | $ 195,000 | ||
Issuance discount | 6,465 | ||
Carrying value | $ 188,535 | ||
Dividends per share | $ 0.50 | 0.50 | |
6.75% Series C Preferred Stock [Member] | |||
Class Of Stock [Line Items] | |||
Number of shares | 10,000,000 | ||
Liquidation preference | $ 250,000 | ||
Issuance discount | 8,225 | ||
Carrying value | $ 241,775 | ||
Dividends per share | $ 0.42 | $ 0 |
Shareholders' Equity - Summar_2
Shareholders' Equity - Summary of Preferred Shares of Beneficial Interest (Parenthetical) (Detail) - $ / shares | 1 Months Ended | 3 Months Ended | |||
Aug. 31, 2021 | Jul. 31, 2017 | Mar. 31, 2022 | Mar. 31, 2017 | Dec. 31, 2021 | |
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 | ||||
6.75% Series C Preferred Stock [Member] | |||||
Class Of Stock [Line Items] | |||||
Cumulative dividend, beneficial interest rate | 6.75% | 6.75% | |||
Sale of Stock, Transaction Date | Aug. 31, 2021 |
Shareholders' Equity - Addition
Shareholders' Equity - Additional Information (Detail) - USD ($) | 1 Months Ended | 3 Months Ended | |||||
Aug. 31, 2021 | Jul. 31, 2017 | Mar. 31, 2022 | Mar. 31, 2017 | 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 | ||||||
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 | ||||||
8.00% Series B Preferred Stock [Member] | Date Of Original Issuance To March 14, 2024 [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Cumulative dividend, beneficial interest rate | 8.00% | ||||||
8.00% Series B 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 | ||||||
6.75% Series C Preferred Stock [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Cumulative dividend, beneficial interest rate | 6.75% | 6.75% | |||||
6.75% Series C 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, 8.00% Series B, 6.75% Series C Preferred Stock [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Preferred stock redemption price per share | $ 25 |
Shareholders' Equity - Summar_3
Shareholders' Equity - Summary of Common Share Repurchase Activity (Detail) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Equity [Abstract] | ||
Common shares repurchased | 1,974 | 0 |
Cumulative shares repurchased | 22,571 | |
Cost of common shares repurchased | $ 31,829 | $ 0 |
Cumulative cost of shares repurchased | $ 342,576 |
Net (Losses) Gains on Investm_3
Net (Losses) Gains on Investments and Financings - Summary of Net (Losses) Gains on Investments and Financings (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
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 | $ 104,343 | $ 180,787 |
Asset-backed financings at fair value | 89,174 | 900 |
Net (losses) gains on investments and financings: | (229,095) | 83,191 |
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 | (186,525) | (71,117) |
CRT arrangements | (35,623) | 154,031 |
Hedging derivatives | 0 | (24) |
Net (losses) gains on investments and financings: | (229,095) | 81,540 |
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 (losses) gains on investments and financings: | 0 | 1,651 |
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 | (96,564) | (2,345) |
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 | $ 443 | $ 95 |
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 | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Cash loss: | ||
Sales of loans | $ (439,788) | $ (592,789) |
Provision for losses relating to representations and warranties provided in loan sales: | ||
Pursuant to loans sales | (1,317) | (8,513) |
Change in fair value of loans and derivatives | ||
Net cash of gain on mortgage loans acquired for sale | 104,343 | 180,787 |
Net gains on loans acquired for sale | 3,953 | 53,012 |
PennyMac Financial Services, Inc. [Member] | ||
Change in fair value of loans and derivatives | ||
Net gains on loans acquired for sale | 1,296 | 1,738 |
Nonaffiliates [Member] | ||
Cash loss: | ||
Hedging activities | 338,102 | 463,276 |
Cash gain, net of effects of cash hedging, on sale of mortgage loans acquired for sale | (101,686) | (129,513) |
Non‒cash gain: | ||
Receipt of MSRs in mortgage loan sale transactions | 194,596 | 407,696 |
Provision for losses relating to representations and warranties provided in loan sales: | ||
Pursuant to loans sales | (1,317) | (8,513) |
Reduction of liability due to change in estimate | 1,165 | 1,424 |
Provision for losses relating to representations and warranties | (152) | (7,089) |
Change in fair value of loans and derivatives | ||
IRLCs | (25,916) | (137,243) |
Loans | 22,018 | 83,223 |
Hedging derivatives | (86,203) | (165,800) |
Total non cash portion of gain on mortgage loans acquired for sale | (90,101) | (219,820) |
Net gains on loans acquired for sale | $ 2,657 | $ 51,274 |
Net Interest Expense - Summary
Net Interest Expense - Summary of Net Interest Expense (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Interest income: | ||
Interest income | $ 51,063 | $ 37,589 |
Interest expense: | ||
Assets sold under agreements to repurchase | 15,571 | 28,659 |
Asset-backed financings at fair value | 11,027 | 168 |
Interest expense, total | 63,514 | 76,308 |
Net interest expense | (12,451) | (38,719) |
PennyMac Financial Services, Inc. [Member] | ||
Interest income: | ||
Interest income | 0 | 1,280 |
Interest expense: | ||
Assets sold under agreements to repurchase | 0 | 387 |
Nonaffiliates [Member] | ||
Interest income: | ||
Cash and short-term investments | 403 | 225 |
Mortgage-backed securities | 14,400 | 8,286 |
Loans acquired for sale at fair value | 19,248 | 22,908 |
Distressed | 174 | 253 |
Deposits securing CRT arrangements | 222 | 168 |
Placement fees relating to custodial funds | 3,709 | 2,532 |
Other | 58 | 38 |
Interest income | 51,063 | 36,309 |
Interest expense: | ||
Assets sold under agreements to repurchase | 15,571 | 28,659 |
Mortgage loan participation purchase and sale agreements | 176 | 164 |
Notes payable secured by credit risk transfer and mortgage servicing assets | 20,366 | 18,599 |
Interest shortfall on repayments of loans serviced for Agency securitizations | 7,042 | 22,040 |
Interest on loan impound deposits | 1,012 | 749 |
Interest expense, total | 63,514 | 75,921 |
Nonaffiliates [Member] | Exchangeable Senior Notes [Member] | ||
Interest expense: | ||
Total interest expense | 8,320 | 5,542 |
Interest expense, total | 689 | 385 |
Nonaffiliates [Member] | Variable Interest Entities [Member] | ||
Interest income: | ||
Loans at fair value | $ 12,849 | $ 1,899 |
Share-Based Compensation - Addi
Share-Based Compensation - Additional Information (Detail) - Restricted Share Units [Member] | 3 Months Ended |
Mar. 31, 2022 | |
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 | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | ||
Total share units granted | 227 | 185 |
Total grant date value of share units | $ 3,557 | $ 3,519 |
Total share units vested | 119 | 137 |
Total share units forfeiture | 9 | 0 |
Compensation expense relating to share-based grants | $ 1,029 | $ 1,738 |
Restricted Shares Units [Member] | ||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | ||
Total share units granted | 128 | 101 |
Total grant date value of share units | $ 2,006 | $ 1,917 |
Total share units vested | 78 | 100 |
Total share units forfeiture | 0 | 0 |
Performance Shares Units [Member] | ||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | ||
Total share units granted | 99 | 84 |
Total grant date value of share units | $ 1,551 | $ 1,602 |
Total share units vested | 41 | 37 |
Total share units forfeiture | 9 | 0 |
Share-Based Compensation - Su_2
Share-Based Compensation - Summary of Share-Based Compensation Activity (Parenthetical) (Detail) - Performance Shares Units [Member] | 3 Months Ended |
Mar. 31, 2022shares | |
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |
Share vested due to exceeding performance goal | 39,000 |
Vesting percentage | 96.00% |
Share-Based Compensation - Su_3
Share-Based Compensation - Summary of Restricted Share Units and Performance Share Units Expected to Vest (Detail) shares in Thousands | Mar. 31, 2022$ / sharesshares |
Restricted Share Units [Member] | |
Shares expected to vest: | |
Number of units (in thousands) | shares | 221 |
Grant date average fair value per unit | $ / shares | $ 17.33 |
Performance Share Units [Member] | |
Shares expected to vest: | |
Number of units (in thousands) | shares | 171 |
Grant date average fair value per unit | $ / shares | $ 17.31 |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | |
Income Tax [Line Items] | |||
Effective income tax rates | 205.90% | ||
Income (loss) before benefit from income taxes | $ 18,058 | $ 91,028 | |
Expense (benefit) from income taxes | $ 37,187 | 19,425 | |
Percentage of deduction from taxable income | 20.00% | ||
Taxable REIT Subsidiary [Member] | |||
Income Tax [Line Items] | |||
Income (loss) before benefit from income taxes | $ (272,800) | 88,100 | |
Expense (benefit) from income taxes | (37,900) | $ 19,400 | |
Deferred tax assets, valuation allowance | $ 6,800 | $ 34,100 |
Earnings Per Common Share - Sum
Earnings Per Common Share - Summary of Basic and Diluted Earnings per Share (Detail) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Earnings Per Share [Abstract] | ||
Net (loss) income | $ (19,129) | $ 71,603 |
Dividends on preferred shares | (10,455) | (6,234) |
Effect of participating securities‒share-based compensation awards | (104) | (120) |
Net (loss) income attributable to common shareholders | $ (29,688) | $ 65,249 |
Weighted average basic shares outstanding | 94,146 | 97,892 |
Dilutive securities‒shares issuable under share-based compensation plan | 0 | 211 |
Diluted | 94,146 | 98,103 |
Basic | $ (0.32) | $ 0.67 |
Diluted | $ (0.32) | $ 0.67 |
Earnings Per Common Share - S_2
Earnings Per Common Share - Summary of Potentially Dilutive Shares Excluded from Computation of Diluted Earnings Per Share (Detail) - shares shares in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
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 | 133 | 11 |
Shares Issuable Pursuant to Exchange of Exchangeable Senior 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 |
Segments - Additional Informati
Segments - Additional Information (Detail) | 3 Months Ended |
Mar. 31, 2022Segment | |
Segment Reporting [Abstract] | |
Number of business segments | 4 |
Segments - Financial Highlights
Segments - Financial Highlights by Operating Segment (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | |
Net investment income: | |||
Net loan servicing fees | $ 304,178 | $ 50,045 | |
Net (losses) gains on investments and financings | (229,095) | 83,191 | |
Net gains on loans acquired for sale | 3,953 | 53,012 | |
Net interest expense: | |||
Interest income | 51,063 | 37,589 | |
Interest expense | 63,514 | 76,308 | |
Net interest expense | (12,451) | (38,719) | |
Other | 15,254 | 53,868 | |
Net investment income | 81,839 | 201,397 | |
Expenses: | |||
Loan servicing fees and fulfillment payable to PFSI | 37,842 | 79,928 | |
Management fees | 8,117 | 8,449 | |
Other | 17,822 | 21,992 | |
Total expenses | 63,781 | 110,369 | |
Income (loss) before benefit from income taxes | 18,058 | 91,028 | |
Total assets at end of quarter | 12,387,515 | 12,522,254 | $ 13,772,708 |
Credit Sensitive Strategies [Member] | |||
Net investment income: | |||
Net loan servicing fees | 0 | 0 | |
Net (losses) gains on investments and financings | (44,905) | 154,271 | |
Net gains on loans acquired for sale | (4) | (1) | |
Net interest expense: | |||
Interest income | 2,058 | 650 | |
Interest expense | 10,128 | 17,261 | |
Net interest expense | (8,070) | (16,611) | |
Other | 288 | 888 | |
Net investment income | (52,691) | 138,547 | |
Expenses: | |||
Loan servicing fees and fulfillment payable to PFSI | 59 | 137 | |
Management fees | 0 | 0 | |
Other | 3,211 | 4,150 | |
Total expenses | 3,270 | 4,287 | |
Income (loss) before benefit from income taxes | (55,961) | 134,260 | |
Total assets at end of quarter | 1,747,763 | 2,772,111 | |
Interest Rate Sensitive Strategies [Member] | |||
Net investment income: | |||
Net loan servicing fees | 304,178 | 50,045 | |
Net (losses) gains on investments and financings | (184,190) | (71,080) | |
Net gains on loans acquired for sale | 0 | 0 | |
Net interest expense: | |||
Interest income | 29,110 | 13,516 | |
Interest expense | 41,685 | 37,316 | |
Net interest expense | (12,575) | (23,800) | |
Other | 0 | 0 | |
Net investment income | 107,413 | (44,835) | |
Expenses: | |||
Loan servicing fees and fulfillment payable to PFSI | 21,029 | 18,955 | |
Management fees | 0 | 0 | |
Other | 2,175 | 812 | |
Total expenses | 23,204 | 19,767 | |
Income (loss) before benefit from income taxes | 84,209 | (64,602) | |
Total assets at end of quarter | 8,387,313 | 4,739,849 | |
Correspondent production [Member] | |||
Net investment income: | |||
Net loan servicing fees | 0 | 0 | |
Net (losses) gains on investments and financings | 0 | 0 | |
Net gains on loans acquired for sale | 3,957 | 53,013 | |
Net interest expense: | |||
Interest income | 19,181 | 22,797 | |
Interest expense | 11,560 | 21,731 | |
Net interest expense | 7,621 | 1,066 | |
Other | 14,966 | 52,980 | |
Net investment income | 26,544 | 107,059 | |
Expenses: | |||
Loan servicing fees and fulfillment payable to PFSI | 16,754 | 60,836 | |
Management fees | 0 | 0 | |
Other | 5,212 | 10,646 | |
Total expenses | 21,966 | 71,482 | |
Income (loss) before benefit from income taxes | 4,578 | 35,577 | |
Total assets at end of quarter | 1,812,210 | 4,796,564 | |
Corporate [Member] | |||
Net investment income: | |||
Net loan servicing fees | 0 | 0 | |
Net (losses) gains on investments and financings | 0 | 0 | |
Net gains on loans acquired for sale | 0 | 0 | |
Net interest expense: | |||
Interest income | 714 | 626 | |
Interest expense | 141 | 0 | |
Net interest expense | 573 | 626 | |
Other | 0 | 0 | |
Net investment income | 573 | 626 | |
Expenses: | |||
Loan servicing fees and fulfillment payable to PFSI | 0 | 0 | |
Management fees | 8,117 | 8,449 | |
Other | 7,224 | 6,384 | |
Total expenses | 15,341 | 14,833 | |
Income (loss) before benefit from income taxes | (14,768) | (14,207) | |
Total assets at end of quarter | $ 440,229 | $ 213,730 |
Regulatory Capital and Liquid_3
Regulatory Capital and Liquidity Requirements - Additional Information (Detail) - USD ($) | Mar. 31, 2022 | Sep. 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 | Mar. 31, 2022USD ($) | Dec. 31, 2021USD ($) | |
Capital Requirements By Agencies [Line Items] | |||
Net worth, Actual | $ 1,173,125 | $ 938,218 | |
Net worth, Required | $ 559,717 | $ 557,229 | |
Tangible net worth / total assets ratio, Actual | 0.19 | 0.12 | |
Tangible net worth / total assets ratio, Required | 0.06 | 0.06 | |
Liquidity, Actual | [1] | $ 97,626 | $ 108,536 |
Liquidity, Required | [1] | $ 75,714 | $ 74,771 |
[1] | Calculated in accordance with the Agencies’ requirements. |