Document_and_Entity_Informatio
Document and Entity Information | 3 Months Ended | ||
Mar. 31, 2014 | 13-May-14 | 13-May-14 | |
Class A Common Stock | Class B Common Stock | ||
Entity Registrant Name | 'PENNYMAC FINANCIAL SERVICES, INC. | ' | ' |
Entity Central Index Key | '0001568669 | ' | ' |
Document Type | '10-Q | ' | ' |
Document Period End Date | 31-Mar-14 | ' | ' |
Amendment Flag | 'false | ' | ' |
Current Fiscal Year End Date | '--12-31 | ' | ' |
Entity Current Reporting Status | 'Yes | ' | ' |
Entity Filer Category | 'Non-accelerated Filer | ' | ' |
Entity Common Stock, Shares Outstanding | ' | 21,196,486 | 61 |
Document Fiscal Year Focus | '2014 | ' | ' |
Document Fiscal Period Focus | 'Q1 | ' | ' |
CONSOLIDATED_BALANCE_SHEETS
CONSOLIDATED BALANCE SHEETS (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
ASSETS | ' | ' |
Cash | $37,376 | $30,639 |
Short-term investments at fair value | 40,957 | 142,582 |
Mortgage loans held for sale at fair value (includes $694,028 and $512,350 pledged to secure mortgage loans sold under agreements to repurchase) | 717,476 | 531,004 |
Servicing advances (includes $5,564 pledged to secure note payable at December 31,2013) | 171,395 | 154,328 |
Derivative assets | 21,677 | 21,540 |
Carried Interest due from affiliates | 63,299 | 61,142 |
Mortgage servicing rights (includes $246,984 and $224,913 mortgage servicing rights at fair value; $272,115 and $258,241 pledged to secure note payable; and $151,019 and $138,723 pledged to secure excess servicing spread financing) | 529,128 | 483,664 |
Furniture, fixtures, equipment and building improvements, net | 11,227 | 9,837 |
Capitalized software, net | 718 | 764 |
Deferred tax asset | 58,206 | 63,117 |
Loans eligible for repurchase | 62,508 | 46,663 |
Other | 20,911 | 15,922 |
Total assets | 1,760,545 | 1,584,475 |
LIABILITIES | ' | ' |
Mortgage loans sold under agreements to repurchase | 567,737 | 471,592 |
Note payable | 48,819 | 52,154 |
Derivative liabilities | 2,155 | 2,462 |
Accounts payable and accrued expenses | 49,772 | 46,387 |
Liability for loans eligible for repurchase | 62,508 | 46,663 |
Liability for losses under representations and warranties | 8,974 | 8,123 |
Total liabilities | 1,085,467 | 955,271 |
Commitments and contingencies | ' | ' |
STOCKHOLDERS' EQUITY | ' | ' |
Additional paid-in capital | 154,112 | 153,000 |
Retained earnings | 22,372 | 14,400 |
Total stockholders' equity attributable to PennyMac Financial Services, Inc. common stockholders | 176,486 | 167,402 |
Noncontrolling interest in Private National Mortgage Acceptance Company, LLC | 498,592 | 461,802 |
Total stockholders' equity | 675,078 | 629,204 |
Total liabilities and stockholders' equity | 1,760,545 | 1,584,475 |
PennyMac | ' | ' |
LIABILITIES | ' | ' |
Payable under tax receivable agreement | 71,671 | 71,056 |
Class A Common Stock | ' | ' |
STOCKHOLDERS' EQUITY | ' | ' |
Common stock | 2 | 2 |
Class B Common Stock | ' | ' |
STOCKHOLDERS' EQUITY | ' | ' |
Common stock | ' | ' |
Investment Funds | ' | ' |
ASSETS | ' | ' |
Carried Interest due from affiliates | 63,299 | 61,142 |
Receivable from affiliates | 3,062 | 2,915 |
LIABILITIES | ' | ' |
Payable to affiliates | 37,106 | 36,937 |
PennyMac Mortgage Investment Trust | ' | ' |
ASSETS | ' | ' |
Investment in affiliates, at fair value | 1,793 | 1,722 |
Receivable from affiliates | 20,812 | 18,636 |
LIABILITIES | ' | ' |
Excess servicing spread financing at fair value payable to affiliate | 151,019 | 138,723 |
Payable to affiliates | $85,706 | $81,174 |
CONSOLIDATED_BALANCE_SHEETS_Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, except Share data, unless otherwise specified | ||
Mortgage loans held for sale pledged to secure mortgage loans sold under agreements to repurchase at fair value | $694,028 | $512,350 |
Servicing advances pledged to secure note payable | ' | 5,564 |
Mortgage servicing rights pledged to secure note payable at fair value | 246,984 | 224,913 |
Mortgage servicing rights pledged to secure note payable at lower of amortized cost or fair value | 272,115 | 258,241 |
Mortgage servicing rights pledged to secure excess servicing spread financing | $151,019 | $138,723 |
Class A Common Stock | ' | ' |
Common stock, shares authorized | 200,000,000 | 200,000,000 |
Common stock, par value (in dollars per share) | $0.00 | $0.00 |
Common stock, shares issued | 20,879,486 | 20,812,777 |
Common stock, shares outstanding | 20,879,486 | 20,812,777 |
Class B Common Stock | ' | ' |
Common stock, shares authorized | 1,000 | 1,000 |
Common stock, par value (in dollars per share) | $0.00 | $0.00 |
Common stock, shares issued | 61 | 61 |
Common stock, shares outstanding | 61 | 61 |
CONSOLIDATED_STATEMENTS_OF_INC
CONSOLIDATED STATEMENTS OF INCOME (USD $) | 3 Months Ended | |
In Thousands, except Per Share data, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Revenue | ' | ' |
Net gains on mortgage loans held for sale at fair value | $34,538 | $39,957 |
Loan origination fees | 6,880 | 5,668 |
Fulfillment fees from affiliate | 8,902 | 28,244 |
Loan servicing fees | ' | ' |
From non-affiliates | 36,100 | 9,057 |
Other | 5,151 | 2,261 |
Net servicing fees | 57,319 | 21,052 |
Amortization, impairment and change in estimated fair value of mortgage servicing rights | -13,555 | -5,010 |
Net loan servicing fees | 43,764 | 16,042 |
Management fees: | ' | ' |
Management fees | 10,109 | 8,406 |
Carried Interest from Investment Funds | 2,157 | 4,737 |
Net interest expense: | ' | ' |
Interest income | 4,110 | 1,742 |
Interest expense | 6,386 | 3,330 |
Net interest expense: | -2,276 | -1,588 |
Change in fair value of investment in and dividends received from affiliate | 1,418 | 902 |
Other | 1,303 | 814 |
Total net revenue | 105,492 | 102,368 |
Expenses | ' | ' |
Compensation | 42,886 | 35,681 |
Loan origination | 1,417 | 2,507 |
Servicing | 3,090 | 1,531 |
Technology | 2,823 | 1,586 |
Professional services | 2,199 | 2,288 |
Other | 4,016 | 3,482 |
Total expenses | 56,431 | 47,075 |
Income before provision for income taxes | 49,061 | 55,293 |
Provision for income taxes | 5,523 | ' |
Net income | 43,538 | 55,293 |
Less: Net income attributable to noncontrolling interest | 35,566 | ' |
Net income attributable to PennyMac Financial Services, Inc. common stockholders | 7,972 | ' |
Earnings per common share | ' | ' |
Basic (in dollars per share) | $0.38 | ' |
Diluted (in dollars per share) | $0.38 | ' |
Weighted-average common shares outstanding | ' | ' |
Basic (in shares) | 20,866 | ' |
Diluted (in shares) | 75,952 | ' |
PennyMac Mortgage Investment Trust | ' | ' |
Revenue | ' | ' |
Fulfillment fees from affiliate | 8,902 | 28,244 |
Loan servicing fees | ' | ' |
From affiliates | 14,591 | 7,726 |
Management fees: | ' | ' |
Management fees | 8,074 | 6,492 |
Net interest expense: | ' | ' |
Change in fair value of investment in and dividends received from affiliate | 115 | 88 |
Investment Funds | ' | ' |
Loan servicing fees | ' | ' |
From affiliates | 1,477 | 2,008 |
Management fees: | ' | ' |
Management fees | 2,035 | 1,914 |
Carried Interest from Investment Funds | $2,157 | $4,737 |
CONSOLIDATED_STATEMENTS_OF_CHA
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (USD $) | Total | Class A Common Stock | Additional paid-in capital | Retained earnings | Noncontrolling interest in Private National Mortgage Acceptance Company, LLC | Members' equity |
In Thousands, except Share data, unless otherwise specified | ||||||
Balance at Dec. 31, 2012 | $261,750 | ' | ' | ' | ' | $261,750 |
Capital: | ' | ' | ' | ' | ' | ' |
Distributions | -9,476 | ' | ' | ' | ' | -9,476 |
Unit-based compensation expense | 176 | ' | ' | ' | ' | 176 |
Net income | 55,293 | ' | ' | ' | ' | 55,293 |
Balance at Mar. 31, 2013 | 307,743 | ' | ' | ' | ' | 307,743 |
Balance at Dec. 31, 2013 | 629,204 | 2 | 153,000 | 14,400 | 461,802 | ' |
Balance (in shares) at Dec. 31, 2013 | ' | 20,813,000 | ' | ' | ' | ' |
Capital: | ' | ' | ' | ' | ' | ' |
Distributions | -6 | ' | ' | ' | -6 | ' |
Net income | 43,538 | ' | ' | 7,972 | 35,566 | ' |
Stock-based compensation expense | 2,348 | ' | 555 | ' | 1,793 | ' |
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. | ' | ' | 563 | ' | -563 | ' |
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. (in shares) | ' | 66,000 | ' | ' | ' | ' |
Tax effect of exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. | -6 | ' | -6 | ' | ' | ' |
Balance at Mar. 31, 2014 | $675,078 | $2 | $154,112 | $22,372 | $498,592 | ' |
Balance (in shares) at Mar. 31, 2014 | ' | 20,879,000 | ' | ' | ' | ' |
CONSOLIDATED_STATEMENTS_OF_CAS
CONSOLIDATED STATEMENTS OF CASH FLOWS (USD $) | 3 Months Ended | |
Mar. 31, 2014 | Mar. 31, 2013 | |
Cash flow from operating activities | ' | ' |
Net income | $43,538,000 | $55,293,000 |
Adjustments to reconcile net income to net cash (used in) provided by operating activities: | ' | ' |
Net gains on mortgage loans held for sale at fair value | -34,538,000 | -39,957,000 |
Amortization, impairment and change in fair value of mortgage servicing rights | 13,555,000 | 5,010,000 |
Carried Interest from Investment Funds | -2,157,000 | -4,737,000 |
Accrual of interest on excess servicing spread financing | 2,862,000 | ' |
Amortization of debt issuance costs and commitment fees relating to financing facilities | 1,213,000 | 1,145,000 |
Stock and unit-based compensation expense | 2,473,000 | 176,000 |
Depreciation and amortization | 286,000 | 137,000 |
Purchase of mortgage loans from Ginnie Mae securities for modification and subsequent sale | -26,827,000 | ' |
Originations of mortgage loans held for sale, net | -317,915,000 | -268,125,000 |
Sale and principal payments of mortgage loans held for sale | 3,292,398,000 | 4,060,107,000 |
Repurchase of loans subject to representations and warranties | -1,970,000 | ' |
Increase in servicing advances | -17,067,000 | -3,435,000 |
Increase in other assets | -6,664,000 | -3,507,000 |
Decrease in deferred tax asset | 5,520,000 | ' |
Increase in accounts payable and accrued expenses | 3,263,000 | 6,685,000 |
Net cash (used in) provided by operating activities | -170,355,000 | 272,238,000 |
Cash flow from investing activities | ' | ' |
Decrease (increase) in short-term investments | 101,625,000 | -19,500,000 |
Purchase of mortgage servicing rights | -25,866,000 | ' |
Purchase of furniture, fixtures, equipment and building improvements | -2,084,000 | -1,531,000 |
Acquisition of capitalized software | -35,000 | -151,000 |
Increase in margin deposits and restricted cash | -2,462,000 | 5,293,000 |
Net cash provided by (used in) investing activities | 71,178,000 | -15,889,000 |
Cash flow from financing activities | ' | ' |
Sale of loans under agreements to repurchase | 3,161,215,000 | 3,485,093,000 |
Repurchase of loans sold under agreements to repurchase | -3,065,070,000 | -3,698,578,000 |
(Decrease) increase in note payable | -3,335,000 | 10,424,000 |
Proceeds from issuance of excess servicing spread financing | 20,526,000 | ' |
Repayment of excess servicing spread financing | -7,413,000 | ' |
Decrease in leases payable | -3,000 | ' |
Distributions to noncontrolling interest | -6,000 | ' |
Distributions to Private National Mortgage Acceptance Company, LLC partners | ' | -9,476,000 |
Net cash provided by (used in) financing activities | 105,914,000 | -212,537,000 |
Net increase in cash | 6,737,000 | 43,812,000 |
Cash at beginning of period | 30,639,000 | 12,323,000 |
Cash at end of period | 37,376,000 | 56,135,000 |
Investment Funds | ' | ' |
Adjustments to reconcile net income to net cash (used in) provided by operating activities: | ' | ' |
Accrual of servicing rebate to Investment Funds | 152,000 | 139,000 |
Carried Interest from Investment Funds | -2,157,000 | -4,737,000 |
(Increase) decrease in receivable from affiliates | -299,000 | 364,000 |
Increase in payable to affiliate | 169,000 | 971,000 |
PennyMac Mortgage Investment Trust | ' | ' |
Adjustments to reconcile net income to net cash (used in) provided by operating activities: | ' | ' |
Change in fair value of investment in common shares of PennyMac Mortgage Investment Trust | -71,000 | -45,000 |
Purchase of mortgage loans held for sale from PennyMac Mortgage Investment Trust | -3,130,530,000 | -3,548,397,000 |
Sale and principal payments of mortgage loans held for sale | ' | 990,000 |
(Increase) decrease in receivable from affiliates | -1,493,000 | 2,427,000 |
Increase in payable to affiliate | $3,747,000 | $6,997,000 |
Organization_and_Basis_of_Pres
Organization and Basis of Presentation | 3 Months Ended | ||||||||||
Mar. 31, 2014 | |||||||||||
Organization and Basis of Presentation | ' | ||||||||||
Organization and Basis of Presentation | ' | ||||||||||
Note 1—Organization and Basis of Presentation | |||||||||||
PennyMac Financial Services, Inc. (“PFSI” or the “Company”) was formed as a Delaware corporation on December 31, 2012. Pursuant to a reorganization, the Company became a holding corporation and its primary asset is an equity interest in Private National Mortgage Acceptance Company, LLC (“PennyMac”). The Company is the managing member of PennyMac and operates and controls all of the businesses and affairs of PennyMac subject to the consent rights of other members under certain circumstances and, through PennyMac and its subsidiaries, continues to conduct the business previously conducted by these subsidiaries. | |||||||||||
PennyMac is a Delaware limited liability company which, through its subsidiaries, engages in mortgage banking and investment management activities. PennyMac’s mortgage banking activities consist of residential mortgage lending (including correspondent lending and retail lending) and loan servicing. PennyMac’s investment management activities and a portion of its loan servicing activities are conducted on behalf of investment vehicles that invest in residential mortgage loans and related assets. PennyMac’s primary wholly owned subsidiaries are: | |||||||||||
· PNMAC Capital Management, LLC (“PCM”)—a Delaware limited liability company registered with the Securities and Exchange Commission (“SEC”) as an investment adviser under the Investment Advisers Act of 1940, as amended. PCM enters into investment management agreements with entities that invest in residential mortgage loans and related assets. | |||||||||||
Presently, PCM has management agreements with PennyMac Mortgage Investment Trust (“PMT”), a publicly held real estate investment trust, and three investment funds: PNMAC Mortgage Opportunity Fund, LLC and PNMAC Mortgage Opportunity Fund, L.P., (the “Master Fund”), both registered under the Investment Company Act of 1940, as amended; and PNMAC Mortgage Opportunity Fund Investors, LLC (collectively, “Investment Funds”). Together, the Investment Funds and PMT are referred to as the “Advised Entities.” | |||||||||||
· PennyMac Loan Services, LLC (“PLS”)—a Delaware limited liability company that services portfolios of residential mortgage loans on behalf of non-affiliates or the Advised Entities, originates new prime credit quality residential mortgage loans, and engages in other mortgage banking activities for its own account and the account of PMT. | |||||||||||
PLS is approved as a seller/servicer of mortgage loans by the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”) and as an issuer of securities guaranteed by the Government National Mortgage Association (“Ginnie Mae”). PLS is a licensed Federal Housing Administration Nonsupervised Title II Lender with the U.S. Department of Housing and Urban Development (“HUD”) and a lender/servicer with the Veterans Administration (“VA”) (each an “Agency” and collectively the “Agencies”). | |||||||||||
· PNMAC Opportunity Fund Associates, LLC (“PMOFA”)—a Delaware limited liability company and the general partner of the Master Fund. PMOFA is entitled to incentive fees representing allocations of profits (“Carried Interest”) from the Master Fund. | |||||||||||
Initial Public Offering and Recapitalization | |||||||||||
On May 14, 2013, PFSI completed an initial public offering (“IPO”) in which it sold approximately 12.8 million shares of its Class A common stock, at a public offering price of $18.00 per share. PFSI received net proceeds of $216.8 million, after deducting underwriting discounts and commissions, from sales of its shares in the IPO. PFSI used these net proceeds to purchase approximately 12.8 million Class A units of PennyMac. PFSI operates and controls all of the business and affairs and consolidates the financial results of PennyMac and its subsidiaries. | |||||||||||
The purchase of 12.8 million Class A units of PennyMac has been accounted for as a transfer of interests under common control. Accordingly, the accompanying consolidated financial statements reflect a reclassification of members’ equity to noncontrolling interests in the Company of $315.5 million. This amount represents the carrying value in the Company of the existing owners of PennyMac on the date of the IPO. | |||||||||||
Before the IPO, PennyMac completed a reorganization by amending its limited liability company agreement to convert all classes of ownership interests held by its existing owners to a single class of common units. The conversion of existing interests was based on the various interests’ liquidation priorities as specified in PennyMac’s prior limited liability company agreement. In connection with that reorganization, PFSI became the sole managing member of PennyMac. | |||||||||||
After the completion of the recapitalization and reorganization transactions, PennyMac became a consolidated subsidiary of the Company. Accordingly, PennyMac’s consolidated financial statements are the Company’s historical financial statements. The historical consolidated financial statements of PennyMac are reflected herein based on the historical ownership interests of the then-existing PennyMac unitholders. | |||||||||||
Tax Receivable Agreement | |||||||||||
As part of the IPO, PFSI entered into an Exchange Agreement with PennyMac’s existing unitholders whereby the existing unitholders may exchange their PennyMac units for PFSI stock. Before 2013, PennyMac made an election pursuant to Section 754 of the Internal Revenue Code which remains in effect. As a result of this election an exchange under the Exchange Agreement results in a special adjustment for PFSI that may increase PFSI’s tax basis of certain assets of PennyMac that otherwise would not have been available. These increases in tax basis may reduce the amount of income tax that PFSI would otherwise be required to pay in the future. These increases in tax basis may also decrease gains (or increase losses) on future dispositions of certain assets to the extent a portion of the increased tax basis is allocated to those assets. | |||||||||||
As part of the IPO, PFSI entered into a tax receivable agreement with PennyMac’s existing unitholders that will provide for the payment by PFSI to PennyMac exchanged unitholders an amount equal to 85% of the amount of the benefits, if any, that PFSI is deemed to realize as a result of (i) increases in tax basis resulting from the exchanges noted above and (ii) certain other tax benefits related to PFSI entering into the tax receivable agreement, including tax benefits attributable to payments under the tax receivable agreement. | |||||||||||
The term of the tax receivable agreement will continue until all such tax benefits have been utilized or expired, unless PFSI exercises its right to terminate the tax receivable agreement. In the event of termination of the tax receivable agreement, the Company would be required to make an immediate payment equal to the present value of the anticipated future net tax benefits, which upfront payment may be made years in advance of the actual realization of such future benefits. | |||||||||||
Basis of Presentation | |||||||||||
The accompanying consolidated financial statements have been prepared in compliance with accounting principles generally accepted in the United States (“U.S. GAAP”) as codified in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification for interim financial information and with the SEC’s instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Accordingly, these financial statements and notes do not include all of the information required by U.S. GAAP for complete financial statements. The interim consolidated information should be read together with the Company’s Annual Report on Form 10-K for the year ended December 31, 2013 (the “Annual Report”). Intercompany accounts and transactions have been eliminated. | |||||||||||
The accompanying unaudited consolidated financial statements reflect all normal recurring adjustments necessary to present fairly the financial position, results of operations, and cash flows for the interim periods, but are not necessarily indicative of the results of operations to be anticipated for the full year ending December 31, 2014. | |||||||||||
Reclassification of previously presented balances | |||||||||||
Certain prior period amounts have been reclassified to conform to the current presentation. Specifically: | |||||||||||
· Interest expense is included in Interest income as a new caption of Net interest expense to better reflect results of the Company’s portfolio of interest-earning assets. Previously, Interest expense was included within Total expenses. The reclassification results in the presentation of Net interest expense. | |||||||||||
Following is a summary of the reclassifications: | |||||||||||
Quarter ended March 31, 2013 | |||||||||||
As reported | As previously | Reclassification | |||||||||
reported | |||||||||||
(in thousands) | |||||||||||
Net interest expense (new caption): | |||||||||||
Interest income | $ | 1,742 | $ | 1,742 | $ | — | |||||
Interest expense | 3,330 | — | 3,330 | ||||||||
$ | (1,588 | ) | $ | 1,742 | $ | (3,330 | ) | ||||
Concentration_of_Risk
Concentration of Risk | 3 Months Ended |
Mar. 31, 2014 | |
Concentration of Risk | ' |
Concentration of Risk | ' |
Note 2—Concentration of Risk | |
A substantial portion of the Company’s activities relate to the Advised Entities. Fees charged to these entities (comprised of management fees, loan servicing fees net of loan servicing rebates, Carried Interest and fulfillment fees) totaled 35% and 50% of total net revenues for the quarters ended March 31, 2014 and 2013, respectively. | |
Transactions_with_Affiliates
Transactions with Affiliates | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
Transactions with Affiliates | ' | |||||||
Transactions with Affiliates | ' | |||||||
Note 3—Transactions with Affiliates | ||||||||
Transactions with PMT | ||||||||
Following is a summary of the management fees earned from PMT: | ||||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Management fees: | ||||||||
Base | $ | 5,521 | $ | 4,364 | ||||
Performance incentive | 2,553 | 2,128 | ||||||
$ | 8,074 | $ | 6,492 | |||||
In the event of termination by PMT, the Company 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 (or, if the period is than 24 months, annualized) performance incentive fee earned by the Company, in each case during the 24 month period before termination. | ||||||||
Following is a summary of mortgage loan servicing fees earned from PMT: | ||||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Loan servicing fees: | ||||||||
Mortgage loans acquired for sale at fair value: | ||||||||
Base and supplemental | $ | 17 | $ | 77 | ||||
Activity-based | 26 | 72 | ||||||
43 | 149 | |||||||
Distressed mortgage loans: | ||||||||
Base and supplemental | 4,966 | 3,875 | ||||||
Activity-based | 6,386 | 1,877 | ||||||
11,352 | 5,752 | |||||||
MSRs: | ||||||||
Base and supplemental | 3,148 | 1,763 | ||||||
Activity-based | 48 | 62 | ||||||
3,196 | 1,825 | |||||||
$ | 14,591 | $ | 7,726 | |||||
Following is a summary of correspondent lending activity between the Company and PMT: | ||||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Fulfillment fee revenue | $ | 8,902 | $ | 28,244 | ||||
UPB of loans fulfilled for PennyMac Mortgage Investment Trust | $ | 1,919,578 | $ | 4,786,826 | ||||
Sourcing fees paid | $ | 892 | $ | 1,010 | ||||
Fair value of loans purchased from PennyMac Mortgage Investment Trust | $ | 3,130,530 | $ | 3,548,397 | ||||
Following is a summary of investment activity between the Company and PMT: | ||||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Issuance of excess servicing spread | $ | 20,526 | $ | — | ||||
Interest expense from excess servicing spread | $ | 2,862 | $ | — | ||||
Excess servicing spread recapture recognized | $ | 1,890 | $ | — | ||||
MSR recapture recognized | $ | 8 | $ | 133 | ||||
Other Transactions | ||||||||
In connection with the IPO of PMT’s common shares on August 4, 2009, the Company entered into an agreement with PMT pursuant to which PMT agreed to reimburse the Company for the $2.9 million payment that it made to the underwriters in such offering (the “Conditional Reimbursement”) if PMT satisfied certain performance measures over a specified period of time. Effective February 1, 2013, the parties amended the terms of the reimbursement agreement to provide for the reimbursement to the Company of the Conditional Reimbursement if PMT is required to pay the Company performance incentive fees under the management agreement at a rate of $10 in reimbursement for every $100 of performance incentive fees earned. The reimbursement of the Conditional Reimbursement is subject to a maximum reimbursement in any particular 12 month period of $1.0 million and the maximum amount that may be reimbursed under the agreement is $2.9 million. The Company received payments from PMT totaling $36,000 during the quarter ended March 31, 2014. | ||||||||
In the event the termination fee is payable to the Company under the management agreement and the Company has not received the full amount of the reimbursements and payments under the reimbursement agreement, such amount will be paid in full. The term of the reimbursement agreement expires on February 1, 2019. | ||||||||
PMT reimburses the Company for other expenses, including common overhead expenses incurred on its behalf by the Company, in accordance with the terms of its management agreement. Such amounts are summarized below: | ||||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Reimbursement of common overhead incurred by PCM and its affiliates | $ | 2,578 | $ | 2,606 | ||||
Reimbursement of expenses incurred on PMT’s behalf | 445 | 1,358 | ||||||
$ | 3,023 | $ | 3,964 | |||||
Payments and settlements during the period (1) | $ | 18,386 | $ | 33,362 | ||||
(1) Payments and settlements include payments for management fees and correspondent lending activities itemized in the preceding tables and netting settlements made pursuant to master netting agreements between the Company and PMT. | ||||||||
Amounts due from PMT are summarized below: | ||||||||
March 31, | December 31, | |||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Servicing fees | $ | 8,222 | $ | 5,915 | ||||
Management fees | 8,074 | 8,924 | ||||||
Allocated expenses | 2,764 | 2,009 | ||||||
Underwriting fees | 1,752 | 1,788 | ||||||
$ | 20,812 | $ | 18,636 | |||||
The Company also holds an investment in PMT in the form of 75,000 common shares of beneficial interest as of March 31, 2014 and December 31, 2013. The shares had fair values of $1.8 million and $1.7 million as of March 31, 2014 and December 31, 2013, respectively. | ||||||||
Investment Funds | ||||||||
Amounts due from the Investment Funds are summarized below: | ||||||||
March 31, | December 31, | |||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Receivable from Investment Funds: | ||||||||
Management fees | $ | 2,035 | $ | 2,031 | ||||
Loan servicing fees | 837 | 727 | ||||||
Loan servicing rebate | 148 | 136 | ||||||
Expense reimbursements | 42 | 21 | ||||||
$ | 3,062 | $ | 2,915 | |||||
Carried Interest due from Investment Funds: | ||||||||
PNMAC Mortgage Opportunity Fund, LLC | $ | 38,838 | $ | 37,702 | ||||
PNMAC Mortgage Opportunity Fund Investors, LLC | 24,461 | 23,440 | ||||||
$ | 63,299 | $ | 61,142 | |||||
Amounts due to the Investment Funds totaling $37.1 million and $36.9 million represent amounts advanced by the Investment Funds to fund servicing advances made by the Company as of March 31, 2014 and December 31, 2013, respectively. | ||||||||
Exchanged Private National Mortgage Acceptance Company, LLC Unitholders | ||||||||
As discussed in Note 1, the Company entered into a tax receivable agreement with PennyMac’s existing unitholders on the date of the IPO that will provide for the payment by PFSI to PennyMac’s exchanged unitholders an amount equal to 85% of the amount of the benefits, if any, that PFSI is deemed to realize as a result of (i) increases in tax basis resulting from such unitholders’ exchanges and (ii) certain other tax benefits related to entering into the tax receivable agreement, including tax benefits attributable to payments under the tax receivable agreement. Based on the PennyMac unitholder exchanges to date, the Company has recorded a $71.7 million liability and it has not made a payment under the tax sharing agreement as of March 31, 2014. | ||||||||
Earnings_Per_Share_of_Common_S
Earnings Per Share of Common Stock | 3 Months Ended | ||||
Mar. 31, 2014 | |||||
Earnings Per Share of Common Stock | ' | ||||
Earnings Per Share of Common Stock | ' | ||||
Note 4—Earnings Per Share of Common Stock | |||||
Basic earnings per share of common stock is determined using net income attributable to the Company’s common stockholders divided by the weighted average number of shares of common stock outstanding during the period. Diluted earnings per share of common stock is determined by dividing net income attributable to the Company’s common stockholders by the weighted average of shares of common stock outstanding, assuming all potentially dilutive shares of common stock were issued. | |||||
The Company applies the treasury stock method to determine the dilutive weighted average shares of common stock represented by the unvested stock based awards and the exchangeable PennyMac Class A units. The diluted earnings per share calculation assumes the exchange of these PennyMac Class A units for shares of common stock. Accordingly, earnings attributable to the Company’s common stockholders is also adjusted to include the earnings allocated to the PennyMac Class A units after taking into account the income taxes applicable to the shares of common stock assumed to be exchanged. | |||||
The Company did not disclose March 31, 2013 earnings per share amounts as the Company was not publicly traded. | |||||
The following table summarizes the basic and diluted earnings per share calculations: | |||||
Quarter ended | |||||
March 31, 2014 | |||||
(in thousands, except per | |||||
share amounts) | |||||
Basic earnings per share of common stock: | |||||
Net income attributable to PennyMac Financial Services, Inc. common stockholders | $ | 7,972 | |||
Weighted-average common stock outstanding | 20,866 | ||||
Basic earnings per share of common stock: | $ | 0.38 | |||
Diluted earnings per share of common stock: | |||||
Net income | $ | 7,972 | |||
Effect of net income attributable to noncontrolling interest, net of tax | 21,010 | ||||
Diluted net income attributable to common stockholders | $ | 28,982 | |||
Weighted-average common stock outstanding | 20,866 | ||||
Dilutive shares: | |||||
PennyMac Class A units exchangeable to common stock | 55,051 | ||||
Shares issuable under stock-based compensation plans | 35 | ||||
Diluted weighted-average common stock outstanding | 75,952 | ||||
Diluted earnings per share of common stock | $ | 0.38 | |||
Loan_Sales_and_Servicing_Activ
Loan Sales and Servicing Activities | 3 Months Ended | ||||||||||
Mar. 31, 2014 | |||||||||||
Loan Sales and Servicing Activities | ' | ||||||||||
Loan Sales and Servicing Activities | ' | ||||||||||
Note 5—Loan Sales and Servicing Activities | |||||||||||
The Company purchases and sells mortgage loans in the secondary mortgage market without recourse for credit losses. However, the Company maintains continuing involvement with the loans in the form of servicing arrangements and the liability under representations and warranties it makes to purchasers and insurers of the loans. | |||||||||||
The following table summarizes cash flows between the Company and transferees upon sale of mortgage loans in transactions where the Company maintains continuing involvement with the mortgage loans (primarily the obligation to service the loans on behalf of the loans’ owners or owners’ agents): | |||||||||||
Quarter ended March 31, | |||||||||||
2014 | 2013 | ||||||||||
(in thousands) | |||||||||||
Cash flows: | |||||||||||
Sales proceeds | $ | 3,298,915 | $ | 4,045,610 | |||||||
Servicing fees received | $ | 22,184 | $ | 9,299 | |||||||
Net servicing advances | $ | (608 | ) | $ | (3,736 | ) | |||||
Period end information: | |||||||||||
Unpaid principal balance (“UPB”) of loans outstanding at end of period | $ | 26,289,208 | $ | 12,485,598 | |||||||
Delinquencies: | |||||||||||
30-89 days | $ | 362,131 | $ | 119,433 | |||||||
90 days or more or in foreclosure or bankruptcy | $ | 176,608 | $ | 36,566 | |||||||
The Company’s mortgage servicing portfolio is summarized as follows: | |||||||||||
March 31, 2014 | |||||||||||
Servicing | Contract servicing | Total | |||||||||
rights owned | and subservicing | loans serviced | |||||||||
(in thousands) | |||||||||||
Agencies | $ | 49,201,662 | $ | — | $ | 49,201,662 | |||||
Affiliated entities | — | 33,072,540 | 33,072,540 | ||||||||
Private investors | 907,981 | 936 | 908,917 | ||||||||
Mortgage loans held for sale | 660,470 | — | 660,470 | ||||||||
$ | 50,770,113 | $ | 33,073,476 | $ | 83,843,589 | ||||||
Amount subserviced for the Company | $ | 2,214,554 | $ | 415,435 | $ | 2,629,989 | |||||
Delinquent mortgage loans: | |||||||||||
30 days | $ | 872,052 | $ | 246,218 | $ | 1,118,270 | |||||
60 days | 407,057 | 114,867 | 521,924 | ||||||||
90 days or more | 1,085,662 | 1,337,631 | 2,423,293 | ||||||||
2,364,771 | 1,698,716 | 4,063,487 | |||||||||
Loans pending foreclosure | 187,876 | 1,861,167 | 2,049,043 | ||||||||
$ | 2,552,647 | $ | 3,559,883 | $ | 6,112,530 | ||||||
Custodial funds managed by the Company (1) | $ | 654,098 | $ | 281,921 | $ | 936,019 | |||||
December 31, 2013 | |||||||||||
Servicing | Contract servicing | Total | |||||||||
rights owned | and subservicing | loans serviced | |||||||||
(in thousands) | |||||||||||
Agencies | $ | 44,969,026 | $ | — | $ | 44,969,026 | |||||
Affiliated entities | — | 31,632,718 | 31,632,718 | ||||||||
Private investors | 969,794 | 89,361 | 1,059,155 | ||||||||
Mortgage loans held for sale | 506,540 | — | 506,540 | ||||||||
$ | 46,445,360 | $ | 31,722,079 | $ | 78,167,439 | ||||||
Amount subserviced for the Company | $ | 156,347 | $ | 582,610 | $ | 738,957 | |||||
Delinquent mortgage loans: | |||||||||||
30 days | $ | 1,304,054 | $ | 263,518 | $ | 1,567,572 | |||||
60 days | 346,912 | 112,275 | 459,187 | ||||||||
90 days or more | 605,555 | 1,416,498 | 2,022,053 | ||||||||
2,256,521 | 1,792,291 | 4,048,812 | |||||||||
Loans pending foreclosure | 168,776 | 1,792,128 | 1,960,904 | ||||||||
$ | 2,425,297 | $ | 3,584,419 | $ | 6,009,716 | ||||||
Custodial funds managed by the Company (1) | $ | 568,161 | $ | 246,587 | $ | 814,748 | |||||
(1) Borrower and investor custodial cash accounts relate to loans serviced under the servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns interest on custodial funds it manages on behalf of the loans’ investors, which is recorded as part of the interest income in the Company’s consolidated statements of income. | |||||||||||
Following is a summary of the geographical distribution of loans included in the Company’s servicing portfolio for the top five and all other states as measured by the total UPB: | |||||||||||
State | March 31, | December 31, | |||||||||
2014 | 2013 | ||||||||||
(in thousands) | |||||||||||
California | $ | 30,959,910 | $ | 30,320,616 | |||||||
Texas | 4,801,408 | 4,470,123 | |||||||||
Virginia | 4,300,935 | 3,769,683 | |||||||||
Florida | 3,810,018 | 3,416,274 | |||||||||
Washington | 3,096,898 | 2,760,900 | |||||||||
All other states | 36,874,420 | 33,429,843 | |||||||||
$ | 83,843,589 | $ | 78,167,439 | ||||||||
Certain of the loans serviced by the Company are subserviced on the Company’s behalf by other mortgage loan servicers. Loans are subserviced for the Company on a transitional basis for loans where the Company has obtained the rights to service the loans but servicing of the loans has not yet transferred to the Company’s servicing system. | |||||||||||
Netting_of_Financial_Instrumen
Netting of Financial Instruments | 3 Months Ended | ||||||||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||||||||
Netting of Financial Instruments | ' | ||||||||||||||||||||||||||||
Netting of Financial Instruments | ' | ||||||||||||||||||||||||||||
Note 6—Netting of Financial Instruments | |||||||||||||||||||||||||||||
The Company uses derivative financial instruments to manage exposure to interest rate risk for the interest rate lock commitments (“IRLCs”) it makes to purchase or originate mortgage loans at specified interest rates, its inventory of mortgage loans held for sale and mortgage servicing rights (“MSRs”). The Company has elected to net derivative asset and liability positions, and cash collateral obtained from (or posted to) its counterparties when subject to a master netting arrangement that is legally enforceable on all counterparties in the event of default. The derivatives that are not subject to a master netting arrangement are IRLCs. | |||||||||||||||||||||||||||||
Following are summaries of derivative assets and related set off amounts. | |||||||||||||||||||||||||||||
Offsetting of Derivative Assets | |||||||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||||||
Gross | Gross | Net | Gross | Gross | Net | ||||||||||||||||||||||||
amount of | amount | amount | amount of | amount | amount | ||||||||||||||||||||||||
recognized | offset | of assets in | recognized | offset | of assets | ||||||||||||||||||||||||
assets | in the | the | assets | in the | in the | ||||||||||||||||||||||||
balance | balance | balance | balance | ||||||||||||||||||||||||||
sheet | sheet | sheet | sheet | ||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Derivatives subject to master netting arrangements: | |||||||||||||||||||||||||||||
MBS put options | $ | 434 | $ | — | $ | 434 | $ | 665 | $ | — | $ | 665 | |||||||||||||||||
MBS call options | 328 | — | 328 | 91 | — | 91 | |||||||||||||||||||||||
Forward purchase contracts | 1,942 | — | 1,942 | 416 | — | 416 | |||||||||||||||||||||||
Forward sale contracts | 5,008 | — | 5,008 | 18,762 | — | 18,762 | |||||||||||||||||||||||
Put options on Eurodollar futures | 277 | — | 277 | — | — | — | |||||||||||||||||||||||
Call options on Eurodollar futures | 62 | — | 62 | — | — | — | |||||||||||||||||||||||
Netting | — | (2,707 | ) | (2,707 | ) | — | (7,358 | ) | (7,358 | ) | |||||||||||||||||||
8,051 | (2,707 | ) | 5,344 | 19,934 | (7,358 | ) | 12,576 | ||||||||||||||||||||||
Derivatives not subject to master netting arrangements - IRLCs | 16,333 | — | 16,333 | 8,964 | — | 8,964 | |||||||||||||||||||||||
$ | 24,384 | $ | (2,707 | ) | $ | 21,677 | $ | 28,898 | $ | (7,358 | ) | $ | 21,540 | ||||||||||||||||
Derivative Assets, Financial Assets, 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 netting. | |||||||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||||||
Gross amount not | Gross amount not offset in | ||||||||||||||||||||||||||||
offset in the | the | ||||||||||||||||||||||||||||
consolidated | consolidated | ||||||||||||||||||||||||||||
balance sheet | balance sheet | ||||||||||||||||||||||||||||
Net amount | Financial | Cash | Net | Net amount | Financial | Cash | Net | ||||||||||||||||||||||
of assets | instruments | collateral | amount | of assets | instruments | collateral | amount | ||||||||||||||||||||||
in the balance | received | in the balance | received | ||||||||||||||||||||||||||
sheet | sheet | ||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Interest rate lock commitments | $ | 16,333 | $ | — | $ | — | $ | 16,333 | $ | 8,964 | $ | — | $ | — | $ | 8,964 | |||||||||||||
Citibank, N.A. | 1,330 | — | — | 1,330 | — | — | — | — | |||||||||||||||||||||
Bank of America, N.A. | 880 | — | — | 880 | 1,680 | — | — | 1,680 | |||||||||||||||||||||
Goldman Sachs | 781 | — | — | 781 | 16 | — | — | 16 | |||||||||||||||||||||
Daiwa Capital Markets | 494 | — | — | 494 | 1,190 | — | — | 1,190 | |||||||||||||||||||||
Credit Suisse First Boston Mortgage Capital LLC | 321 | — | — | 321 | 2,149 | — | — | 2,149 | |||||||||||||||||||||
Morgan Stanley Bank, N.A. | 157 | — | — | 157 | 1,704 | — | — | 1,704 | |||||||||||||||||||||
Others | 1,381 | — | — | 1,381 | 5,837 | — | — | 5,837 | |||||||||||||||||||||
$ | 21,677 | $ | — | $ | — | $ | 21,677 | $ | 21,540 | $ | — | $ | — | $ | 21,540 | ||||||||||||||
Offsetting of Derivative Liabilities and Financial Liabilities | |||||||||||||||||||||||||||||
Following is a summary of net derivative liabilities and assets sold under agreements to repurchase and related set off amounts. As discussed above, all derivatives with the exception of IRLCs are subject to master netting arrangements. The assets sold under agreements to repurchase do not qualify for netting. | |||||||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||||||
Gross | Gross amount | Net | Gross | Gross amount | Net | ||||||||||||||||||||||||
amount of | offset | amount | amount of | offset | amount | ||||||||||||||||||||||||
recognized | in the | of liabilities | recognized | in the | of liabilities | ||||||||||||||||||||||||
liabilities | consolidated | in the | liabilities | consolidated | in the | ||||||||||||||||||||||||
balance | consolidated | balance | consolidated | ||||||||||||||||||||||||||
sheet | balance | sheet | balance | ||||||||||||||||||||||||||
sheet | sheet | ||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Derivatives subject to a master netting arrangement: | |||||||||||||||||||||||||||||
Forward purchase contracts | $ | 2,392 | $ | — | $ | 2,392 | $ | 6,542 | $ | — | $ | 6,542 | |||||||||||||||||
Forward sale contracts | 2,327 | — | 2,327 | 504 | — | 504 | |||||||||||||||||||||||
Netting | — | (4,600 | ) | (4,600 | ) | — | (6,787 | ) | (6,787 | ) | |||||||||||||||||||
4,719 | (4,600 | ) | 119 | 7,046 | (6,787 | ) | 259 | ||||||||||||||||||||||
Derivatives not subject to a master netting arrangement - IRLCs | 2,036 | — | 2,036 | 2,203 | — | 2,203 | |||||||||||||||||||||||
Total derivatives | 6,755 | (4,600 | ) | 2,155 | 9,249 | (6,787 | ) | 2,462 | |||||||||||||||||||||
Mortgage loans sold under agreements to repurchase | 567,737 | — | 567,737 | 471,592 | — | 471,592 | |||||||||||||||||||||||
$ | 574,492 | $ | (4,600 | ) | $ | 569,892 | $ | 480,841 | $ | (6,787 | ) | $ | 474,054 | ||||||||||||||||
Derivative Liabilities, Financial Liabilities, and Collateral Held 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 does not qualify under the accounting guidance for netting. All assets sold under agreements to repurchase are secured by sufficient collateral or exceed the liability amount recorded on the consolidated balance sheets. | |||||||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||||||
Gross amount | Gross amount | ||||||||||||||||||||||||||||
not offset in the | not offset in the | ||||||||||||||||||||||||||||
consolidated | consolidated | ||||||||||||||||||||||||||||
balance sheet | balance sheet | ||||||||||||||||||||||||||||
Net amount of | Net amount of | ||||||||||||||||||||||||||||
liabilities | Cash | liabilities | Cash | ||||||||||||||||||||||||||
in the consolidated | Financial | collateral | Net | in the consolidated | Financial | collateral | Net | ||||||||||||||||||||||
balance sheet | instruments | pledged | amount | balance sheet | instruments | pledged | amount | ||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Interest rate lock commitments | $ | 2,036 | $ | — | $ | — | $ | 2,036 | $ | 2,203 | $ | — | $ | — | $ | 2,203 | |||||||||||||
Credit Suisse First Boston Mortgage Capital LLC | 246,998 | (246,998 | ) | — | — | 198,888 | (198,888 | ) | — | — | |||||||||||||||||||
Bank of America, N.A. | 211,791 | (211,791 | ) | — | — | 234,511 | (234,511 | ) | — | — | |||||||||||||||||||
Morgan Stanley Bank, N.A. | 108,676 | (108,676 | ) | — | — | 38,193 | (38,193 | ) | — | — | |||||||||||||||||||
Citibank, N.A. | 272 | (272 | ) | — | — | — | — | — | — | ||||||||||||||||||||
Others | 119 | — | — | 119 | 259 | — | — | 259 | |||||||||||||||||||||
$ | 569,892 | $ | (567,737 | ) | $ | — | $ | 2,155 | $ | 474,054 | $ | (471,592 | ) | $ | — | $ | 2,462 | ||||||||||||
Fair_Value
Fair Value | 3 Months Ended | |||||||||||||||||||
Mar. 31, 2014 | ||||||||||||||||||||
Fair Value | ' | |||||||||||||||||||
Fair Value | ' | |||||||||||||||||||
Note 7—Fair Value | ||||||||||||||||||||
The Company’s consolidated financial statements include assets and liabilities that are measured based on their estimated fair values. The application of fair value estimates may be on a recurring or nonrecurring basis depending on the accounting principles applicable to the specific asset or liability and whether management has elected to carry the item at its estimated fair value as discussed in the following paragraphs. | ||||||||||||||||||||
Fair Value Accounting Elections | ||||||||||||||||||||
Management identified all of its non-cash financial assets and its originated MSRs relating to loans with initial interest rates of more than 4.5% and MSRs purchased subject to excess servicing spread (“ESS”) financing to be accounted for at estimated fair value so changes in fair value will be reflected in results of operations as they occur and more timely reflect the results of the Company’s performance. Management has also identified its ESS financing to be accounted for at fair value as a means of hedging the related MSR’s fair value risk. | ||||||||||||||||||||
For originated MSRs relating to mortgage loans with initial interest rates of less than or equal to 4.5%, management has concluded that such assets present different risks to the Company than originated MSRs relating to mortgage loans with initial interest rates of more than 4.5% and therefore require a different risk management approach. Management’s risk management efforts relating to these assets are aimed at mainly moderating the effects of non-interest rate risks on fair value, such as the effect of changes in home prices on the assets’ fair values. Management has identified these assets for accounting using the amortization method. | ||||||||||||||||||||
Management’s risk management efforts in connection with MSRs relating to mortgage loans with initial interest rates of more than 4.5% are aimed at mainly moderating the effects of changes in interest rates on the assets’ fair values. At times during the three months ended March 31, 2014 and 2013, derivatives were used to hedge the fair value changes of the MSRs. | ||||||||||||||||||||
Financial Statement Items Measured at Fair Value on a Recurring Basis | ||||||||||||||||||||
Following is a summary of financial statement items that are measured at estimated fair value on a recurring basis: | ||||||||||||||||||||
March 31, 2014 | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
(in thousands) | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Short-term investments | $ | 40,957 | $ | — | $ | — | $ | 40,957 | ||||||||||||
Mortgage loans held for sale at fair value | — | 713,491 | 3,985 | 717,476 | ||||||||||||||||
Derivative assets: | ||||||||||||||||||||
Interest rate lock commitments | — | — | 16,333 | 16,333 | ||||||||||||||||
Forward purchase contracts | — | 1,942 | — | 1,942 | ||||||||||||||||
Forward sales contracts | — | 5,008 | — | 5,008 | ||||||||||||||||
MBS put options | — | 434 | — | 434 | ||||||||||||||||
MBS call options | — | 328 | — | 328 | ||||||||||||||||
Put options on Eurodollar futures | — | 277 | — | 277 | ||||||||||||||||
Call options on Eurodollar futures | — | 62 | — | 62 | ||||||||||||||||
Total derivative assets before netting | — | 8,051 | 16,333 | 24,384 | ||||||||||||||||
Netting (1) | — | — | — | (2,707 | ) | |||||||||||||||
Total derivative assets | — | 8,051 | 16,333 | 21,677 | ||||||||||||||||
Investment in PennyMac Mortgage | 1,793 | — | — | 1,793 | ||||||||||||||||
Investment Trust | ||||||||||||||||||||
Mortgage servicing rights at fair value | — | — | 246,984 | 246,984 | ||||||||||||||||
$ | 42,750 | $ | 721,542 | $ | 267,302 | $ | 1,028,887 | |||||||||||||
Liabilities: | ||||||||||||||||||||
Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust | $ | — | $ | — | $ | 151,019 | $ | 151,019 | ||||||||||||
Derivative liabilities: | ||||||||||||||||||||
Interest rate lock commitments | — | — | 2,036 | 2,036 | ||||||||||||||||
Forward purchase contracts | — | 2,392 | — | 2,392 | ||||||||||||||||
Forward sales contracts | — | 2,327 | — | 2,327 | ||||||||||||||||
Total derivative liabilities before netting | — | 4,719 | 2,036 | 6,755 | ||||||||||||||||
Netting (1) | — | — | — | (4,600 | ) | |||||||||||||||
Total derivative liabilities | — | 4,719 | 2,036 | 2,155 | ||||||||||||||||
$ | — | $ | 4,719 | $ | 153,055 | $ | 153,174 | |||||||||||||
(1) Derivatives are reported net of cash collateral received and paid and, to the extent that the criteria of the accounting guidance covering the offsetting of amounts related to certain contracts are met, positions with the same counterparty are netted as part of a legally enforceable master netting agreement. | ||||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
(in thousands) | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Short-term investments | $ | 142,582 | $ | — | $ | — | $ | 142,582 | ||||||||||||
Mortgage loans held for sale at fair value | — | 527,071 | 3,933 | 531,004 | ||||||||||||||||
Derivative assets: | ||||||||||||||||||||
Interest rate lock commitments | — | — | 8,964 | 8,964 | ||||||||||||||||
Forward purchase contracts | — | 416 | — | 416 | ||||||||||||||||
Forward sales contracts | — | 18,762 | — | 18,762 | ||||||||||||||||
MBS put options | — | 665 | — | 665 | ||||||||||||||||
MBS call options | — | 91 | — | 91 | ||||||||||||||||
Total derivative assets before netting | — | 19,934 | 8,964 | 28,898 | ||||||||||||||||
Netting (1) | — | — | — | (7,358 | ) | |||||||||||||||
Total derivative assets | — | 19,934 | 8,964 | 21,540 | ||||||||||||||||
Investment in PennyMac Mortgage | 1,722 | — | — | 1,722 | ||||||||||||||||
Investment Trust | ||||||||||||||||||||
Mortgage servicing rights at fair value | — | — | 224,913 | 224,913 | ||||||||||||||||
$ | 144,304 | $ | 547,005 | $ | 237,810 | $ | 921,761 | |||||||||||||
Liabilities: | ||||||||||||||||||||
Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust | $ | — | $ | — | $ | 138,723 | $ | 138,723 | ||||||||||||
Derivative liabilities: | ||||||||||||||||||||
Interest rate lock commitments | — | — | 2,203 | 2,203 | ||||||||||||||||
Forward purchase contracts | — | 6,542 | — | 6,542 | ||||||||||||||||
Forward sales contracts | — | 504 | — | 504 | ||||||||||||||||
Total derivative liabilities before netting | — | 7,046 | 2,203 | 9,249 | ||||||||||||||||
Netting (1) | — | — | — | (6,787 | ) | |||||||||||||||
Total derivative liabilities | — | 7,046 | 2,203 | 2,462 | ||||||||||||||||
$ | — | $ | 7,046 | $ | 140,926 | $ | 141,185 | |||||||||||||
(1) Derivatives are reported net of cash collateral received and paid and, to the extent that the criteria of the accounting guidance covering the set off of amounts related to certain contracts are met, positions with the same counterparty are netted as part of a legally enforceable master netting agreement. | ||||||||||||||||||||
As shown above, certain of the Company’s mortgage loans held for sale, MSRs at fair value, IRLCs, and ESS financing at fair value are measured using Level 3 inputs. Following is a roll forward of these items for the quarters ended March 31, 2014 and 2013 where Level 3 significant inputs were used on a recurring basis: | ||||||||||||||||||||
Quarter ended March 31, 2014 | ||||||||||||||||||||
Mortgage | Net interest | Mortgage | Total | |||||||||||||||||
loans held | rate lock | servicing | ||||||||||||||||||
for sale | commitments (1) | rights | ||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Balance, December 31, 2013 | $ | 3,933 | $ | 6,761 | $ | 224,913 | $ | 235,607 | ||||||||||||
Repurchases of mortgage loans subject to representations and warranties | — | — | — | — | ||||||||||||||||
Repayments | (14 | ) | — | — | (14 | ) | ||||||||||||||
Interest rate lock commitments issued, net | — | 36,438 | — | 36,438 | ||||||||||||||||
Purchases | — | — | 25,866 | 25,866 | ||||||||||||||||
MSRs received as proceeds from mortgage loan sales | — | — | 6,933 | 6,933 | ||||||||||||||||
Sales | — | — | — | — | ||||||||||||||||
Changes in fair value included in income arising from: | ||||||||||||||||||||
Changes in instrument-specific credit risk | — | — | ||||||||||||||||||
Other factors | 66 | 5,353 | (10,728 | ) | (5,309 | ) | ||||||||||||||
66 | 5,353 | (10,728 | ) | (5,309 | ) | |||||||||||||||
Transfers of interest rate lock commitments to mortgage loans held for sale | — | (34,255 | ) | — | (34,255 | ) | ||||||||||||||
Balance, March 31, 2014 | $ | 3,985 | $ | 14,297 | $ | 246,984 | $ | 265,266 | ||||||||||||
Changes in fair value recognized during the period relating to assets still held at March 31, 2014 | $ | 66 | $ | 14,297 | $ | (10,728 | ) | |||||||||||||
(1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. | ||||||||||||||||||||
Excess servicing | ||||||||||||||||||||
spread financing | ||||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Liability: | ||||||||||||||||||||
Balance, December 31, 2013 | $ | 138,723 | ||||||||||||||||||
Proceeds from issuance of ESS | 20,526 | |||||||||||||||||||
ESS issued pursuant to a recapture agreement with PennyMac Mortgage Investment Trust | 1,113 | |||||||||||||||||||
Accrual of interest on excess servicing spread financing | 2,862 | |||||||||||||||||||
Repayments | (7,413 | ) | ||||||||||||||||||
Changes in fair value included in income | (4,792 | ) | ||||||||||||||||||
Balance, March 31, 2014 | $ | 151,019 | ||||||||||||||||||
Changes in fair value recognized during the period relating to liability still held at March 31, 2014 | $ | (4,792 | ) | |||||||||||||||||
Quarter ended March 31, 2013 | ||||||||||||||||||||
Mortgage | Net interest | Mortgage | Total | |||||||||||||||||
loans held | rate lock | servicing | ||||||||||||||||||
for sale | commitments (1) | rights | ||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Balance, December 31, 2012 | $ | — | $ | 23,951 | $ | 19,798 | $ | 43,749 | ||||||||||||
Repurchases of mortgage loans subject to representations and warranties | 4,612 | — | — | 4,612 | ||||||||||||||||
Repayments | (13 | ) | — | — | (13 | ) | ||||||||||||||
Interest rate lock commitments issued, net | — | 33,649 | — | 33,649 | ||||||||||||||||
MSRs received as proceeds from mortgage loan sales | — | — | 3 | 3 | ||||||||||||||||
Changes in fair value included in income arising from: | ||||||||||||||||||||
Changes in instrument-specific credit risk | — | — | ||||||||||||||||||
Other factors | (112 | ) | (107 | ) | (1,179 | ) | (1,398 | ) | ||||||||||||
(112 | ) | (107 | ) | (1,179 | ) | (1,398 | ) | |||||||||||||
Transfers of interest rate lock commitments to mortgage loans held for sale | — | (32,056 | ) | — | (32,056 | ) | ||||||||||||||
Balance, March 31, 2013 | $ | 4,487 | $ | 25,437 | $ | 18,622 | $ | 48,546 | ||||||||||||
Changes in fair value recognized during the period relating to assets still held at March 31, 2013 | $ | (112 | ) | $ | 25,437 | $ | (1,179 | ) | ||||||||||||
(1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. | ||||||||||||||||||||
The information used in the preceding roll forwards represents activity for any financial statement items identified as using Level 3 significant inputs at either the beginning or the end of the periods presented. The Company had no transfers in or out among the levels other than transfers of IRLCs to mortgage loans held for sale at fair value upon purchase or funding of the respective mortgage loans. | ||||||||||||||||||||
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value as a result of management’s election of the fair value option are summarized below: | ||||||||||||||||||||
Quarter ended March 31, | ||||||||||||||||||||
2014 | 2013 | |||||||||||||||||||
Net gains on mortgage | Net | Total | Net gains on mortgage | Net | Total | |||||||||||||||
loans held for sale at | servicing | loans held for sale at | servicing | |||||||||||||||||
fair value | fees | fair value | fees | |||||||||||||||||
(in thousands) | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Mortgage loans held for sale at fair value | $ | 49,902 | $ | — | $ | 49,902 | $ | 26,161 | $ | — | $ | 26,161 | ||||||||
Mortgage servicing rights at fair value | — | (10,728 | ) | (10,728 | ) | — | (1,179 | ) | (1,179 | ) | ||||||||||
$ | 49,902 | $ | (10,728 | ) | $ | 39,174 | $ | 26,161 | $ | (1,179 | ) | $ | 24,982 | |||||||
Liabilities: | ||||||||||||||||||||
Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust | $ | — | $ | 4,792 | $ | 4,792 | $ | — | $ | — | $ | — | ||||||||
$ | — | $ | 4,792 | $ | 4,792 | $ | — | $ | — | $ | — | |||||||||
Following are the fair value and related principal amounts due upon maturity of assets and liabilities accounted for under the fair value option: | ||||||||||||||||||||
March 31, 2014 | ||||||||||||||||||||
Fair | Principal amount | Difference | ||||||||||||||||||
value | due upon maturity | |||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Mortgage loans held for sale: | ||||||||||||||||||||
Current through 89 days delinquent | $ | 714,558 | $ | 675,815 | $ | 38,743 | ||||||||||||||
90 days or more delinquent: | ||||||||||||||||||||
Not in foreclosure | 2,108 | 2,116 | (8 | ) | ||||||||||||||||
In foreclosure | 810 | 904 | (94 | ) | ||||||||||||||||
$ | 717,476 | $ | 678,835 | $ | 38,641 | |||||||||||||||
December 31, 2013 | ||||||||||||||||||||
Fair | Principal amount | Difference | ||||||||||||||||||
value | due upon maturity | |||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Mortgage loans held for sale: | ||||||||||||||||||||
Current through 89 days delinquent | $ | 524,665 | $ | 504,705 | $ | 19,960 | ||||||||||||||
90 days or more delinquent: | ||||||||||||||||||||
Not in foreclosure | 5,567 | 5,479 | 88 | |||||||||||||||||
In foreclosure | 772 | 660 | 112 | |||||||||||||||||
$ | 531,004 | $ | 510,844 | $ | 20,160 | |||||||||||||||
Financial Statement Items Measured at Fair Value on a Nonrecurring Basis | ||||||||||||||||||||
Following is a summary of financial statement items that are measured at estimated fair value on a nonrecurring basis: | ||||||||||||||||||||
March 31, 2014 | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
(in thousands) | ||||||||||||||||||||
Mortgage servicing rights at lower of amortized cost or fair value | $ | — | $ | — | $ | 69,160 | $ | 69,160 | ||||||||||||
$ | — | $ | — | $ | 69,160 | $ | 69,160 | |||||||||||||
December 31, 2013 | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
(in thousands) | ||||||||||||||||||||
Mortgage servicing rights at lower of amortized cost or fair value | $ | — | $ | — | $ | 136,690 | $ | 136,690 | ||||||||||||
$ | — | $ | — | $ | 136,690 | $ | 136,690 | |||||||||||||
The following table summarizes the total gains (losses) on assets measured at estimated fair values on a nonrecurring basis: | ||||||||||||||||||||
Quarter ended March 31, | ||||||||||||||||||||
2014 | 2013 | |||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Mortgage servicing rights at lower of amortized cost or fair value | $ | (421 | ) | $ | 555 | |||||||||||||||
$ | (421 | ) | $ | 555 | ||||||||||||||||
Fair Value of Financial Instruments Carried at Amortized Cost | ||||||||||||||||||||
The Company’s Cash as well as its Mortgage loans sold under agreements to repurchase, Note payable, Carried Interest due from Investment Funds, and amounts receivable from and payable to the Advised Entities are carried at amortized cost. | ||||||||||||||||||||
Cash is measured using “Level 1” significant inputs. The Company’s borrowings carried at amortized cost do not have active markets or observable inputs and the fair value is measured using management’s best estimate of fair value, where the inputs into the determination of fair value require significant management judgment or estimation. The Company has classified these financial instruments as “Level 3” financial statement items as of March 31, 2014 and December 31, 2013 due to the lack of current market activity and the Company’s reliance on unobservable inputs to estimate the fair value. | ||||||||||||||||||||
Management has concluded that the carrying value of the Carried Interest due from Investment Funds approximates its fair value as the balance represents the amount distributable to the Company at the balance sheet date assuming liquidation of the Investment Funds. Management has concluded that the estimated fair value of the Note payable approximates the agreements’ carrying value due to the agreement’s short term and variable interest rate. The Company has classified these financial instruments as “Level 3” financial statement items due to the lack of current market activity and the Company’s reliance on unobservable inputs to estimate these instruments’ fair value. | ||||||||||||||||||||
The Company also carries the receivable from and payable to the Advised Entities at cost. Management has concluded that the estimated fair value of such balances approximates the carrying value due to the short terms of such balances. | ||||||||||||||||||||
Valuation Techniques and Assumptions | ||||||||||||||||||||
Most of the Company’s financial assets, including its ESS, are carried at fair value with changes in fair value recognized in current period income. Certain of the Company’s financial assets and all of its MSRs and ESS are “Level 3” financial statement items which require the use of significant unobservable inputs in the estimation of the items’ fair values. Unobservable inputs reflect the Company’s own assumptions about the factors that market participants use in pricing an asset or liability, and are based on the best information available under the circumstances. | ||||||||||||||||||||
The Company’s Financial Analysis and Valuation group (the “FAV group”), which is responsible for valuing and monitoring the Company’s investment portfolios and maintenance of its valuation policies and procedures, estimates the fair values of “Level 3” financial instruments and MSRs. | ||||||||||||||||||||
The FAV group reports to the Company’s senior management valuation committee, which oversees and approves the valuations. The FAV group monitors the models used for valuation of the Company’s “Level 3” financial statement items, including the models’ performance versus actual results and reports those results to the Company’s senior management valuation committee. The results developed in the FAV group’s monitoring activities may be used to calibrate subsequent projections used for valuation. | ||||||||||||||||||||
The FAV group is responsible for reporting to the Company’s senior management valuation committee on a monthly basis on the changes in the valuation of the portfolio, including major factors affecting the valuation and any changes in model methods and assumptions. 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. | ||||||||||||||||||||
Following is a description of the techniques and assumptions used in estimating the fair values of “Level 2” and “Level 3” fair value financial statement items: | ||||||||||||||||||||
Mortgage Loans Held for Sale | ||||||||||||||||||||
Most of the Company’s mortgage loans held for sale at fair value are salable into active markets and are therefore categorized as “Level 2” fair value financial statement items and their fair values are estimated using their quoted market or contracted price or market price equivalent. | ||||||||||||||||||||
Certain of the Company’s mortgage loans may become non salable into active markets due to identification of a defect by the Company or to the repurchase of a mortgage loan with an identified defect. Because such mortgage loans are generally not salable into active mortgage markets, they are classified as “Level 3” financial statement items. The significant unobservable inputs used in the fair value measurement of the Company’s “non-salable” mortgage loans held for sale at fair value are discount rates, home price projections, voluntary prepayment speeds and default speeds. Significant changes in any of those inputs in isolation could result in a significant change to the loans’ fair value measurement. Increases in home price projections are generally accompanied by an increase in voluntary prepayment speeds. | ||||||||||||||||||||
Following is a quantitative summary of key inputs used in the valuation of “Level 3” mortgage loans held for sale at fair value: | ||||||||||||||||||||
March 31, 2014 | December 31, 2013 | |||||||||||||||||||
Key inputs | Range | |||||||||||||||||||
(Weighted average) | ||||||||||||||||||||
Discount rate | 7.8% - 13.4% | 7.8% - 13.4% | ||||||||||||||||||
-9.20% | -8.90% | |||||||||||||||||||
Twelve-month projected housing price index change | 4.1% - 4.3% | 4.5% - 4.7% | ||||||||||||||||||
-4.20% | -4.60% | |||||||||||||||||||
Prepayment speed (1) | 2.3% - 5.8% | 1.6% - 5.1% | ||||||||||||||||||
-4.90% | -4.40% | |||||||||||||||||||
Total prepayment speed (2) | 4.6% - 5.8% | 2.9% - 5.2% | ||||||||||||||||||
-5.50% | -4.70% | |||||||||||||||||||
(1) Prepayment speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”). | ||||||||||||||||||||
(2) Total prepayment speed is measured using Life Total CPR. | ||||||||||||||||||||
Changes in fair value attributable to changes in instrument specific credit risk are measured by the change in the respective loan’s delinquency status at period end from the later of the beginning of the period or acquisition date. Changes in fair value of mortgage loans held for sale are included in Net gains on mortgage loans held for sale at fair value in the consolidated statements of income. | ||||||||||||||||||||
Derivative Financial Instruments | ||||||||||||||||||||
The Company categorizes IRLCs as a “Level 3” financial statement item. The Company estimates the fair value of an IRLC based on quoted Agency mortgage-backed securities (“MBS”) prices, its estimate of the fair value of the MSRs it expects to receive in the sale of the loans and the probability that the mortgage loan will fund or be purchased (the “pull-through rate”). | ||||||||||||||||||||
The significant unobservable inputs used in the fair value measurement of the Company’s IRLCs are the pull-through rate and the MSR component of the Company’s estimate of the value of the mortgage loans it has committed to purchase. Significant changes in the pull-through rate or the MSR component of the IRLCs, in isolation, could result in significant changes in fair value measurement. The financial effects of changes in these assumptions are generally inversely correlated as increasing interest rates have a positive effect on the fair value of the MSR component of IRLC value, but increase the pull through rate for loans that have decreased in fair value. | ||||||||||||||||||||
Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs: | ||||||||||||||||||||
March 31, 2014 | December 31, 2013 | |||||||||||||||||||
Key inputs | Range | |||||||||||||||||||
(Weighted average) | ||||||||||||||||||||
Pull-through rate | 60.8% - 98.0% | 62.1% - 98.1% | ||||||||||||||||||
-78.50% | -81.70% | |||||||||||||||||||
MSR value expressed as: | ||||||||||||||||||||
Servicing fee multiple | 1.9 - 5.1 | 2.0 - 5.0 | ||||||||||||||||||
-3.7 | -3.7 | |||||||||||||||||||
Percentage of UPB | 0.4% - 2.4% | 0.4% - 2.4% | ||||||||||||||||||
-1.00% | -0.90% | |||||||||||||||||||
The Company estimates the fair value of commitments to sell loans based on quoted MBS prices. The Company estimates the fair value of the MBS options and futures it purchases and sells based on observed interest rate volatilities in the MBS market. Changes in fair value of IRLCs and related hedging derivatives are included in Net gains on mortgage loans held for sale at fair value in the consolidated statements of income. | ||||||||||||||||||||
Mortgage Servicing Rights | ||||||||||||||||||||
MSRs are categorized as “Level 3” fair value financial statement items. The Company uses a discounted cash flow approach to estimate the fair value of MSRs. This approach consists of projecting net servicing cash flows discounted at a rate that management believes market participants would use in their determinations of fair value. The key inputs used in the estimation of the fair value of MSRs include prepayment rates of the underlying loans, the applicable discount rate or pricing spread, and the per-loan annual cost to service mortgage loans. | ||||||||||||||||||||
The results of the estimates of fair value of MSRs are reported to the Company’s senior management valuation committee as part of their review and approval of monthly valuation results. Changes in the fair value of MSRs are included in Net servicing fees—Amortization, impairment and change in estimated fair value of mortgage servicing rights in the consolidated statements of income. | ||||||||||||||||||||
Key assumptions used in determining the fair value of MSRs at the time of initial recognition are as follows: | ||||||||||||||||||||
Quarter ended March 31, | ||||||||||||||||||||
2014 | 2013 | |||||||||||||||||||
Range | ||||||||||||||||||||
(Weighted average) | ||||||||||||||||||||
Fair | Amortized | Fair | Amortized | |||||||||||||||||
value | cost | value | cost | |||||||||||||||||
(Amount recognized and UPB of underlying mortgage loans in thousands) | ||||||||||||||||||||
Amount recognized | $6,933 | $30,581 | $3 | $41,733 | ||||||||||||||||
UPB of underlying mortgage loans | $511,467 | $2,623,599 | $324 | $3,856,356 | ||||||||||||||||
Weighted-average servicing fee rate (in basis points) | 32 | 30 | 25 | 26 | ||||||||||||||||
Pricing spread (1) | 8.5% - 13.8% | 7.3% - 14.8% | 8.6% - 8.9% | 5.4% - 12.5% | ||||||||||||||||
-11.20% | -10.50% | -8.70% | -8.50% | |||||||||||||||||
Annual total prepayment speed (2) | 7.9% - 17.2% | 7.6% - 45.3% | 11.3% - 12.7% | 8.5% - 16.5% | ||||||||||||||||
-8.50% | -8.10% | -12.40% | -8.80% | |||||||||||||||||
Life (in years) | 2.7 – 7.5 | 1.5 – 7.5 | 6.5 – 6.7 | 2.9 – 6.9 | ||||||||||||||||
-7.2 | -7.1 | -6.5 | -6.7 | |||||||||||||||||
Per-loan annual cost of servicing | $68 – $100 | $68 – $100 | $68 – $68 | $68 – $120 | ||||||||||||||||
($97) | ($100) | ($68) | ($100) | |||||||||||||||||
(1) Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar London Interbank Offering Rate (“LIBOR”) curve for purposes of discounting cash flows relating to MSRs acquired as proceeds from the sale of mortgage loans. | ||||||||||||||||||||
(2) Prepayment speed is measured using Life Total CPR. | ||||||||||||||||||||
Following is a quantitative summary of key inputs used in the valuation of the Company’s MSRs at period end and the effect on the estimated fair value from adverse changes in those assumptions (weighted averages are based upon UPB): | ||||||||||||||||||||
Purchased MSRs Backed by Distressed Mortgage Loans | ||||||||||||||||||||
March 31, 2014 | December 31, 2013 | |||||||||||||||||||
Range | ||||||||||||||||||||
(Weighted average) | ||||||||||||||||||||
Fair | Amortized | Fair | Amortized | |||||||||||||||||
value | cost | value | cost | |||||||||||||||||
(Carrying value, UPB of underlying mortgage loans and effect on value amounts in thousands) | ||||||||||||||||||||
Carrying value | $10,896 | — | $10,129 | — | ||||||||||||||||
UPB of underlying mortgage loans | $907,981 | — | $969,794 | — | ||||||||||||||||
Weighted-average note interest rate | 5.79% | — | 5.80% | — | ||||||||||||||||
Weighted-average servicing fee rate (in basis points) | 50 | — | 50 | — | ||||||||||||||||
Discount rate | 12.1% – 12.1% | — | 15.3% – 15.3% | — | ||||||||||||||||
-12.10% | — | -15.30% | — | |||||||||||||||||
Effect on fair value of: | ||||||||||||||||||||
5% adverse change | ($229) | — | ($251) | — | ||||||||||||||||
10% adverse change | ($449) | — | ($490) | — | ||||||||||||||||
20% adverse change | ($864) | — | ($937) | — | ||||||||||||||||
Life (in years) | 5.1 - 5.1 | — | 5.0 - 5.0 | — | ||||||||||||||||
-5.1 | -5 | |||||||||||||||||||
Prepayment speed (1) | 11.3% – 11.3% | — | 11.4% – 11.4% | — | ||||||||||||||||
-11.30% | — | -11.40% | — | |||||||||||||||||
Effect on fair value of: | ||||||||||||||||||||
5% adverse change | ($258) | — | ($231) | — | ||||||||||||||||
10% adverse change | ($511) | — | ($456) | — | ||||||||||||||||
20% adverse change | ($1,000) | — | ($898) | — | ||||||||||||||||
Per-loan annual cost of servicing | $211 – $211 | — | $218 – $218 | — | ||||||||||||||||
($211) | — | ($218) | — | |||||||||||||||||
Effect on fair value of: | ||||||||||||||||||||
5% adverse change | ($211) | — | ($197) | — | ||||||||||||||||
10% adverse change | ($421) | — | ($393) | — | ||||||||||||||||
20% adverse change | ($842) | — | ($787) | — | ||||||||||||||||
(1) Prepayment speed is measured using Life Voluntary CPR. | ||||||||||||||||||||
All Other MSRs | ||||||||||||||||||||
March 31, 2014 | December 31, 2013 | |||||||||||||||||||
Range | ||||||||||||||||||||
(Weighted average) | ||||||||||||||||||||
Fair | Amortized | Fair | Amortized | |||||||||||||||||
value | cost | value | cost | |||||||||||||||||
(Carrying value, UPB of underlying mortgage loans and effect on value amounts in thousands) | ||||||||||||||||||||
Carrying value | $236,088 | $282,144 | $214,784 | $258,751 | ||||||||||||||||
UPB of underlying mortgage loans | $24,536,177 | $24,665,485 | $22,469,179 | $22,499,847 | ||||||||||||||||
Weighted-average note interest rate | 4.44% | 3.70% | 4.48% | 3.65% | ||||||||||||||||
Weighted-average servicing fee rate (in basis points) | 32 | 29 | 32 | 29 | ||||||||||||||||
Pricing spread (1) | 2.9% – 19.6% | 6.3% – 14.8% | 2.9% – 18.0% | 6.3% – 14.5% | ||||||||||||||||
-8.20% | -9.00% | -7.50% | -8.70% | |||||||||||||||||
Effect on fair value of: | ||||||||||||||||||||
5% adverse change | ($3,844) | ($6,448) | ($3,551) | ($5,312) | ||||||||||||||||
10% adverse change | ($7,562) | ($12,638) | ($6,900) | ($10,395) | ||||||||||||||||
20% adverse change | ($14,647) | ($24,298) | ($13,305) | ($20,039) | ||||||||||||||||
Average life (in years) | 0.1 – 14.3 | 1.6 – 7.3 | 0.1 – 14.4 | 1.5 – 7.3 | ||||||||||||||||
-5.8 | -6.9 | -6.2 | -7 | |||||||||||||||||
Prepayment speed (2) | 7.7% – 54.6% | 7.6% – 43.9% | 7.8% – 50.8% | 7.6% – 42.5% | ||||||||||||||||
-10.40% | -8.10% | -9.70% | -8.00% | |||||||||||||||||
Effect on fair value of: | ||||||||||||||||||||
5% adverse change | ($4,857) | ($4,944) | ($4,622) | ($4,615) | ||||||||||||||||
10% adverse change | ($9,538) | ($9,747) | ($9,073) | ($9,097) | ||||||||||||||||
20% adverse change | ($18,409) | ($18,952) | ($17,500) | ($17,684) | ||||||||||||||||
Per-loan annual cost of servicing | $68 – $115 | $68 – $100 | $68 – $115 | $68 – $100 | ||||||||||||||||
($88) | ($99) | ($87) | ($99) | |||||||||||||||||
Effect on fair value of: | ||||||||||||||||||||
5% adverse change | ($2,925) | ($2,855) | ($2,817) | ($2,609) | ||||||||||||||||
10% adverse change | ($5,850) | ($5,711) | ($5,633) | ($5,217) | ||||||||||||||||
20% adverse change | ($11,701) | ($11,422) | ($11,266) | ($10,434) | ||||||||||||||||
(1) Pricing spread represents a margin that is applied to a reference interest rate’s forward curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs acquired as proceeds from the sale of mortgage loans and purchased MSRs not backed by pools of distressed mortgage loans. | ||||||||||||||||||||
(2) Prepayment speed is measured using Life Total CPR. | ||||||||||||||||||||
The preceding sensitivity analyses are limited in that they were performed at a particular point in time; only contemplate the movements in the indicated variables; do not incorporate changes to other variables; are subject to the accuracy of various models and assumptions used; and do not incorporate other factors that would affect the Company’s overall financial performance in such scenarios, including operational adjustments made by management to account for changing circumstances. For these reasons, the preceding estimates should not be viewed as earnings forecasts. | ||||||||||||||||||||
Excess Servicing Spread Financing at Fair Value | ||||||||||||||||||||
The Company categorizes ESS financing as a “Level 3” financial statement item. The Company uses a discounted cash flow approach to estimate the fair value of ESS financing. The key inputs used in the estimation of ESS financing include pricing spread, average life, and prepayment speed. Significant changes to any of those inputs in isolation could result in a significant change in the ESS financing fair value measurement. Changes in these key assumptions are not necessarily directly related. | ||||||||||||||||||||
ESS is generally subject to loss in value when mortgage interest rates decrease. Decreasing mortgage interest rates normally encourage increased mortgage refinancing activity. Increased refinancing activity reduces the life of the loans underlying the ESS, thereby reducing ESS financing’s fair value. Reductions in the fair value of ESS financing affect income primarily through change in fair value. | ||||||||||||||||||||
Interest expense for ESS financing is accrued using the interest method based upon the expected income from the ESS through the expected life of the underlying mortgage loans. Changes to expected cash flows result in a change in fair value which is recorded in Amortization, impairment and change in estimated fair value of mortgage servicing rights. | ||||||||||||||||||||
Following are the key inputs used in determining the fair value of ESS financing: | ||||||||||||||||||||
March 31, | December 31, | |||||||||||||||||||
2014 | 2013 | |||||||||||||||||||
Key inputs | Range | |||||||||||||||||||
(Weighted average) | ||||||||||||||||||||
UPB of underlying loans (in thousands) | $22,246,336 | $20,512,659 | ||||||||||||||||||
Average servicing fee rate (in basis points) | 32 | 32 | ||||||||||||||||||
Average excess servicing spread (in basis points) | 16 | 16 | ||||||||||||||||||
Pricing spread (1) | 1.7% - 14.4% | 2.8% - 14.4% | ||||||||||||||||||
-4.80% | -5.40% | |||||||||||||||||||
Average life | 0.6 - 7.3 | 0.9 - 8.0 | ||||||||||||||||||
-5.7 | -6.1 | |||||||||||||||||||
Prepayment speed (2) | 7.7% - 63.8% | 7.7% - 48.6% | ||||||||||||||||||
-10.40% | -9.70% | |||||||||||||||||||
(1) Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the united states LIBOR curve for purposes of discounting cash flows relating to ESS. | ||||||||||||||||||||
(2) Prepayment speed is measured using Life Total CPR. | ||||||||||||||||||||
Mortgage_Loans_Held_for_Sale_a
Mortgage Loans Held for Sale at Fair Value | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
Mortgage Loans Held for Sale at Fair Value | ' | |||||||
Mortgage Loans Held for Sale at Fair Value | ' | |||||||
Note 8—Mortgage Loans Held for Sale at Fair Value | ||||||||
Mortgage loans held for sale at fair value include the following: | ||||||||
March 31, | December 31, | |||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Government-insured or guaranteed | $ | 692,265 | $ | 482,066 | ||||
Conventional conforming | 21,226 | 45,005 | ||||||
Repurchased mortgage loans | 3,985 | 3,933 | ||||||
$ | 717,476 | $ | 531,004 | |||||
Fair value of mortgage loans pledged to secure mortgage loans sold under agreements to repurchase | $ | 694,028 | $ | 512,350 | ||||
Derivative_Financial_Instrumen
Derivative Financial Instruments | 3 Months Ended | |||||||||||||||||
Mar. 31, 2014 | ||||||||||||||||||
Derivative Financial Instruments | ' | |||||||||||||||||
Derivative Financial Instruments | ' | |||||||||||||||||
Note 9—Derivative Financial Instruments | ||||||||||||||||||
The Company is exposed to price risk relative to its mortgage loans held for sale as well as to its IRLCs. The Company bears price risk from the time an IRLC is made to PMT or a loan applicant to the time the mortgage loan is sold. The Company is exposed to loss in value of its IRLCs and mortgage loans held for sale when mortgage rates increase. The Company is also exposed to loss in value of its MSRs when interest rates decrease. | ||||||||||||||||||
The Company engages in interest rate risk management activities in an effort to reduce the variability of earnings caused by changes in market interest rates. To manage this price risk resulting from interest rate risk, the Company uses derivative financial instruments acquired with the intention of reducing the risk that changes in market interest rates will result in unfavorable changes in the value of the Company’s IRLCs, inventory of mortgage loans held for sale and MSRs. | ||||||||||||||||||
The Company does not use derivative financial instruments for purposes other than in support of its risk management activities other than IRLCs, which are generated in the normal course of business when the Company commits to purchase or originate mortgage loans held for sale. The Company records all derivative financial instruments at fair value and records changes in fair value in current period income. | ||||||||||||||||||
The Company had the following derivative financial instruments recorded on its consolidated balance sheets: | ||||||||||||||||||
March 31, 2014 | December 31, 2013 | |||||||||||||||||
Fair value | Fair value | |||||||||||||||||
Instrument | Notional | Derivative | Derivative | Notional | Derivative | Derivative | ||||||||||||
amount | assets | liabilities | amount | assets | liabilities | |||||||||||||
(in thousands) | ||||||||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||||
Free-standing derivatives: | ||||||||||||||||||
Interest rate lock commitments | 1,202,126 | $ | 16,333 | $ | 2,036 | 971,783 | $ | 8,964 | $ | 2,203 | ||||||||
Forward purchase contracts | 1,506,667 | 1,942 | 2,392 | 1,418,527 | 416 | 6,542 | ||||||||||||
Forward sales contracts | 2,829,176 | 5,008 | 2,327 | 2,659,000 | 18,762 | 504 | ||||||||||||
MBS put options | 175,000 | 434 | — | 185,000 | 665 | — | ||||||||||||
MBS call options | 160,000 | 328 | — | 105,000 | 91 | — | ||||||||||||
Put options on Eurodollar futures | 325,000 | 277 | — | — | — | |||||||||||||
Call options on Eurodollar futures | 100,000 | 62 | — | — | — | |||||||||||||
Total derivatives before netting | 24,384 | 6,755 | 28,898 | 9,249 | ||||||||||||||
Netting | (2,707 | ) | (4,600 | ) | (7,358 | ) | (6,787 | ) | ||||||||||
$ | 21,677 | $ | 2,155 | $ | 21,540 | $ | 2,462 | |||||||||||
The following table summarizes the notional value activity for derivative contracts used to hedge the Company’s IRLCs, inventory of mortgage loans held for sale at fair value and MSRs: | ||||||||||||||||||
Period/Instrument | Balance | Additions | Dispositions/ | Balance | ||||||||||||||
beginning | expirations | end of period | ||||||||||||||||
of period | ||||||||||||||||||
(in thousands) | ||||||||||||||||||
Quarter ended March 31, 2014 | ||||||||||||||||||
Forward purchase contracts | 1,418,527 | 6,899,388 | (6,811,248 | ) | 1,506,667 | |||||||||||||
Forward sales contracts | 2,659,000 | 10,540,119 | (10,369,943 | ) | 2,829,176 | |||||||||||||
MBS put options | 185,000 | 385,000 | (395,000 | ) | 175,000 | |||||||||||||
MBS call options | 105,000 | 395,000 | (340,000 | ) | 160,000 | |||||||||||||
Put options on Eurodollar futures | — | 325,000 | — | 325,000 | ||||||||||||||
Call options on Eurodollar futures | — | 175,000 | (75,000 | ) | 100,000 | |||||||||||||
Treasury future purchase contracts | — | 21,600 | (21,600 | ) | — | |||||||||||||
Treasury future sale contracts | — | 30,700 | (30,700 | ) | — | |||||||||||||
Period/Instrument | Balance | Additions | Dispositions/ | Balance | ||||||||||||||
beginning | expirations | end | ||||||||||||||||
of period | of period | |||||||||||||||||
(in thousands) | ||||||||||||||||||
Quarter ended March 31, 2013 | ||||||||||||||||||
Forward purchase contracts | 1,021,981 | 10,195,550 | (9,868,231 | ) | 1,349,300 | |||||||||||||
Forward sales contracts | 2,621,948 | 14,677,256 | (14,276,494 | ) | 3,022,710 | |||||||||||||
MBS put options | 500,000 | 965,000 | (1,140,000 | ) | 325,000 | |||||||||||||
MBS call options | — | 850,000 | (550,000 | ) | 300,000 | |||||||||||||
The Company recorded net losses on derivative financial instruments totaling $20.1 million and net gains on derivative financial instruments totaling $12.3 million for the quarters ended March 31, 2014 and 2013, respectively. Derivative gains and losses are included in Net gains on mortgage loans held for sale at fair value in the Company’s consolidated statements of income. | ||||||||||||||||||
The Company recorded net losses on derivatives used to hedge fair value changes of MSRs totaling $431,000 and $1.3 million for the quarters ended March 31, 2014 and 2013, respectively. The derivative losses are included in Amortization, impairment and change in estimated fair value of mortgage servicing rights in the Company’s consolidated statements of income. | ||||||||||||||||||
Mortgage_Servicing_Rights
Mortgage Servicing Rights | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
Mortgage Servicing Rights | ' | |||||||
Mortgage Servicing Rights | ' | |||||||
Note 10—Mortgage Servicing Rights | ||||||||
Carried at Fair Value: | ||||||||
The activity in MSRs carried at fair value is as follows: | ||||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Balance at beginning of period | $ | 224,913 | $ | 19,798 | ||||
Additions: | ||||||||
Purchases | 25,866 | — | ||||||
MSRs resulting from loan sales | 6,933 | 3 | ||||||
32,799 | 3 | |||||||
Change in fair value: | ||||||||
Due to changes in valuation inputs or assumptions used in valuation model (1) | (2,956 | ) | (90 | ) | ||||
Other changes in fair value (2) | (7,772 | ) | (1,089 | ) | ||||
Total change in fair value | (10,728 | ) | (1,179 | ) | ||||
Balance at end of period | $ | 246,984 | $ | 18,622 | ||||
(1) Principally reflects changes in discount rates and prepayment speed assumptions, primarily due to changes in interest rates. | ||||||||
(2) Represents changes due to realization of cash flows. | ||||||||
Carried at Lower of Amortized Cost or Fair Value: | ||||||||
The activity in MSRs carried at the lower of amortized cost or fair value is summarized below: | ||||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Amortized cost: | ||||||||
Balance at beginning of period | $ | 263,373 | $ | 92,155 | ||||
Additions: | ||||||||
MSRs resulting from loan sales | 30,581 | 41,733 | ||||||
Amortization | (6,767 | ) | (3,095 | ) | ||||
Application of valuation allowance to write down MSRs with other-than-temporary impairment | — | — | ||||||
Balance at end of period | 287,187 | 130,793 | ||||||
Valuation allowance: | ||||||||
Balance at beginning of period | (4,622 | ) | (2,978 | ) | ||||
(Additions) reversals | (421 | ) | 555 | |||||
Application of valuation allowance to write down MSRs with other-than-temporary impairment | — | — | ||||||
Balance at end of period | (5,043 | ) | (2,423 | ) | ||||
MSRs, net | $ | 282,144 | $ | 128,370 | ||||
Estimated fair value of MSRs at end of period | $ | 291,535 | $ | 137,553 | ||||
The following table summarizes the Company’s estimate of future amortization of its existing MSRs. This projection was developed using the assumptions made by management in its March 31, 2014 valuation of MSRs. The assumptions underlying the following estimate will change as market conditions and portfolio composition and behavior change, causing both actual and projected amortization levels to change over time. | ||||||||
Estimated MSR | ||||||||
Twelve month period ending March 31, | amortization | |||||||
(in thousands) | ||||||||
2015 | $ | 26,075 | ||||||
2016 | 25,705 | |||||||
2017 | 25,342 | |||||||
2018 | 24,525 | |||||||
2019 | 23,027 | |||||||
Thereafter | 162,513 | |||||||
$ | 287,187 | |||||||
Servicing fees relating to MSRs are recorded in Net servicing fees—Loan servicing fees—From non-affiliates on the consolidated statements of income; late charges and other ancillary fees are recorded in Net servicing fees—Loan servicing fees—Ancillary and other fees on the consolidated statements of income and are summarized below: | ||||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Contractual servicing fees | $ | 36,100 | $ | 9,057 | ||||
Ancillary and other fees | ||||||||
Late charges | 887 | 413 | ||||||
Other | 176 | 102 | ||||||
$ | 37,163 | $ | 9,572 | |||||
Carried_Interest_Due_from_Inve
Carried Interest Due from Investment Funds | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
Carried Interest Due from Investment Funds | ' | |||||||
Carried Interest Due from Investment Funds | ' | |||||||
Note 11—Carried Interest Due from Investment Funds | ||||||||
The activity in the Company’s Carried Interest due from Investment Funds is summarized as follows: | ||||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Balance at beginning of period | $ | 61,142 | $ | 47,723 | ||||
Carried Interest recognized during the period | 2,157 | 4,737 | ||||||
Proceeds received during the period | — | — | ||||||
Balance at end of period | $ | 63,299 | $ | 52,460 | ||||
The amount of the Carried Interest received by the Company depends on the Investment Funds’ future performance. As a result, the amount of Carried Interest recorded by the Company at period end is subject to adjustment based on future results of the Investment Funds and may be reduced in future years. However, the Company is not required to pay guaranteed returns to the Investment Funds and the amount of Carried Interest will only be reduced to the extent of amounts previously recognized. | ||||||||
Management expects the Carried Interest to be collected by the Company when the Investment Funds liquidate. The commitment period for the Investment Funds ended on December 31, 2011. The Investment Fund limited liability company and limited partnership agreements specify that the funds will continue in existence through December 31, 2016, subject to three one-year extensions by PCM at its discretion. |
Investment_in_PennyMac_Mortgag
Investment in PennyMac Mortgage Investment Trust at Fair Value | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
Investment in PennyMac Mortgage Investment Trust at Fair Value | ' | |||||||
Investment in PennyMac Mortgage Investment Trust at Fair Value | ' | |||||||
Note 12—Investment in PennyMac Mortgage Investment Trust at Fair Value | ||||||||
Following is a summary of Change in fair value of investment in and dividends received from PennyMac Mortgage Investment Trust: | ||||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Dividends | $ | 44 | $ | 43 | ||||
Change in fair value | 71 | 45 | ||||||
$ | 115 | $ | 88 | |||||
Fair value of PennyMac Mortgage Investment Trust shares at period end | $ | 1,793 | $ | 1,942 | ||||
Borrowings
Borrowings | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Borrowings | ' | ||||||||
Borrowings | ' | ||||||||
Note 13—Borrowings | |||||||||
As of March 31, 2014, the Company maintained five borrowing facilities: four facilities that provide for sales of mortgage loans under agreements to repurchase; and one note payable secured by MSRs and servicing advances made relating to certain loans in the Company’s loan servicing portfolio. | |||||||||
Mortgage Loans Sold Under Agreement to Repurchase | |||||||||
The borrowing facilities secured by mortgage loans held for sale are in the form of loan sale and repurchase agreements. Eligible loans are sold at advance rates based on the loan type. Interest is charged at a rate based on the buyer’s overnight cost-of funds rate for one agreement and based on LIBOR for the other three agreements. Loans sold under these agreements may be re-pledged by the lenders. | |||||||||
Financial data pertaining to mortgage loans sold under agreements to repurchase are as follows: | |||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(dollar amounts in thousands) | |||||||||
Period end: | |||||||||
Balance | $ | 567,737 | $ | 180,049 | |||||
Unused amount (1) | $ | 432,263 | $ | 319,951 | |||||
Weighted-average interest rate | 1.76 | % | 2.21 | % | |||||
Fair value of loans securing agreements to repurchase | $ | 694,028 | $ | 197,693 | |||||
During the period: | |||||||||
Average balance of loans sold under agreements to repurchase | $ | 291,093 | $ | 275,061 | |||||
Weighted-average interest rate (2) | 1.78 | % | 2.26 | % | |||||
Total interest expense | $ | 2,329 | $ | 2,375 | |||||
Maximum daily amount outstanding | $ | 567,737 | $ | 479,860 | |||||
(1) The amount the Company is able to borrow under loan repurchase agreements is tied to the fair value of unencumbered mortgage loans eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the mortgage loans sold. | |||||||||
(2) Excludes the effect of amortization of commitment fees totaling $1.0 million and $819,000 for the quarters ended March 31, 2014 and 2013, respectively. | |||||||||
Following is a summary of maturities of outstanding advances under repurchase agreements by maturity date: | |||||||||
Remaining maturity at March 31, 2014 | Balance | ||||||||
(in thousands) | |||||||||
Within 30 days | $ | 5,501 | |||||||
Over 30 to 90 days | 561,357 | ||||||||
Over 90 days | 879 | ||||||||
$ | 567,737 | ||||||||
Weighted-average maturity (in months) | 2.5 | ||||||||
The amount at risk (the fair value of the assets pledged plus the related margin deposit, less the amount advanced by the counterparty and accrued interest) relating to the Company’s mortgage loans held for sale sold under agreements to repurchase is summarized by counterparty below as of March 31, 2014: | |||||||||
Counterparty | Amount at risk | Weighted-average | Facility maturity | ||||||
maturity of advances under | |||||||||
repurchase agreement | |||||||||
(in thousands) | |||||||||
Credit Suisse First Boston Mortgage Capital LLC | $ | 63,790 | June 20, 2014 | October 31, 2014 | |||||
Bank of America, N.A. | $ | 54,550 | June 19, 2014 | January 30, 2015 | |||||
Morgan Stanley | $ | 9,020 | May 18, 2014 | July 1, 2014 | |||||
Citibank, N.A. | $ | 24 | March 8, 2014 | July 24, 2014 | |||||
The Company is subject to margin calls during the period the agreements are outstanding and therefore may be required to repay a portion of the borrowings before the respective agreements mature if the value (as determined by the applicable lender) of the mortgage loans securing those agreements decreases. The Company had $1.5 million on deposit with its mortgage loan repurchase agreement counterparties at March 31, 2014 and December 31, 2013. Such amounts are included in Other assets on the consolidated balance sheets. | |||||||||
Note Payable | |||||||||
The note payable is summarized below: | |||||||||
March 31, | December 31, | ||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Period end: | |||||||||
Note payable secured by: | |||||||||
Servicing advances | $ | — | $ | 3,852 | |||||
MSRs | 48,819 | 48,302 | |||||||
$ | 48,819 | $ | 52,154 | ||||||
Assets pledged to secure note payable: | |||||||||
Servicing advances | $ | — | $ | 5,564 | |||||
MSRs | $ | 272,115 | $ | 258,241 | |||||
The note payable matures on October 31, 2014. Interest is charged at a rate based on the lender’s overnight cost-of-funds. The note payable is secured by servicing advances and MSRs relating to certain loans in the Company’s servicing portfolio, and provides for advance rates ranging from 50% to 85% of the amount of the servicing advances or the carrying value of the MSR pledged, up to a maximum of $17 million in the case of servicing advances and $100 million in the case of MSRs. | |||||||||
The borrowing facilities contain various covenants, including financial covenants governing the Company’s net worth, debt to equity ratio, profitability and liquidity. Management believes that the Company was in compliance with these requirements as of March 31, 2014. | |||||||||
Excess Servicing Spread Financing | |||||||||
In conjunction with the Company’s purchase from non-affiliates of certain MSRs on pools of Agency-backed residential mortgage loans, the Company has entered into sale and assignment agreements which are treated as financings and are carried at estimated fair value with changes in fair value recognized in current period income. Under these agreements, the Company sold to PMT the right to receive ESS cash flows relating to certain MSRs. The Company retained all ancillary income associated with servicing the loans and a fixed base servicing fee. The Company continues to be the servicer of the mortgage loans and provides all servicing functions, including responsibility to make servicing advances. | |||||||||
Following is a summary of ESS: | |||||||||
Quarter ended | |||||||||
March 31, 2014 | |||||||||
(in thousands) | |||||||||
Balance at beginning of period | $ | 138,723 | |||||||
Proceeds from issuance of ESS | 20,526 | ||||||||
ESS issued pursuant to a recapture agreement with PennyMac Mortgage Investment Trust | 1,113 | ||||||||
Accrual of interest expense | 2,862 | ||||||||
Repayments | (7,413 | ) | |||||||
Change in fair value | (4,792 | ) | |||||||
Balance at end of period | $ | 151,019 |
Liability_for_Losses_Under_Rep
Liability for Losses Under Representations and Warranties | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
Liability for Losses Under Representations and Warranties | ' | |||||||
Liability for Losses Under Representations and Warranties | ' | |||||||
Note 14—Liability for Losses Under Representations and Warranties | ||||||||
Following is a summary of activity in the Company’s liability for representations and warranties: | ||||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Balance at beginning of period | $ | 8,123 | $ | 3,504 | ||||
Provision for losses on loans sold | 851 | 1,244 | ||||||
Incurred losses | — | — | ||||||
Balance at end of period | $ | 8,974 | $ | 4,748 | ||||
UPB of mortgage loans subject to representations and warranties at period end | $ | 26,304,717 | $ | 14,586,623 | ||||
Following is a summary of the Company’s repurchase activity: | ||||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
During the period: | ||||||||
UPB of mortgage loans repurchased | $ | 1,890 | $ | — | ||||
UPB of repurchased mortgage loans put to correspondent lenders | $ | 798 | $ | — | ||||
Period end: | ||||||||
UPB of mortgage loans subject to pending claims for repurchase | $ | 2,960 | $ | 1,038 | ||||
Stockholders_Equity
Stockholders' Equity | 3 Months Ended |
Mar. 31, 2014 | |
Stockholders' Equity. | ' |
Stockholders' Equity | ' |
Note 15—Stockholders’ Equity | |
During the quarter ended March 31, 2014, PennyMac unitholders exchanged 66,709 Class A units for PFSI Class A common stock. The effect of the exchanges reduced the percentage of the Noncontrolling interest in Private National Mortgage Acceptance Company, LLC from 72.57% at December 31, 2013 to 72.49% at March 31, 2014. | |
Net_Gains_on_Mortgage_Loans_He
Net Gains on Mortgage Loans Held for Sale | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
Net Gains on Mortgage Loans Held for Sale | ' | |||||||
Net Gains on Mortgage Loans Held for Sale | ' | |||||||
Note 16—Net Gains on Mortgage Loans Held for Sale | ||||||||
Net gains on mortgage loans held for sale at fair value is summarized below: | ||||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Cash gain (loss): | ||||||||
Sales proceeds | $ | 4,481 | $ | (11,823 | ) | |||
Hedging activities | (10,256 | ) | 17,621 | |||||
(5,775 | ) | 5,798 | ||||||
Non-cash gain: | ||||||||
Receipt of MSRs in loan sale transactions | 37,514 | 41,736 | ||||||
MSR recapture payable to PennyMac Mortgage Investment Trust | (1,898 | ) | (133 | ) | ||||
Provision for losses relating to representations and warranties on loans sold | (851 | ) | (1,244 | ) | ||||
Change in fair value relating to loans and hedging derivatives held at period end: | ||||||||
IRLCs | 7,536 | 1,497 | ||||||
Mortgage loans | 7,828 | (2,392 | ) | |||||
Hedging derivatives | (9,816 | ) | (5,305 | ) | ||||
$ | 34,538 | $ | 39,957 | |||||
Net_Interest_Expense
Net Interest Expense | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
Net Interest Expense | ' | |||||||
Net Interest Expense | ' | |||||||
Note 17—Net Interest Expense | ||||||||
Net interest expense is summarized below: | ||||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Interest income: | ||||||||
Short-term investment | $ | 201 | $ | 40 | ||||
Mortgage loans held for sale at fair value | 3,909 | 1,702 | ||||||
4,110 | 1,742 | |||||||
Interest expense: | ||||||||
Mortgage loans sold under agreements to repurchase | 2,329 | 2,375 | ||||||
Note payable | 659 | 737 | ||||||
Excess servicing spread financing at fair value | 2,862 | — | ||||||
Other | 536 | 218 | ||||||
6,386 | 3,330 | |||||||
Net interest expense | $ | (2,276 | ) | $ | (1,588 | ) | ||
Stockbased_Compensation
Stock-based Compensation | 3 Months Ended | |||||
Mar. 31, 2014 | ||||||
Stock-based Compensation | ' | |||||
Stock-based Compensation | ' | |||||
Note 18—Stock-based Compensation | ||||||
The Company’s 2013 Equity Incentive Plan provides for grants of stock options, time based and performance based restricted stock units (“RSUs”), stock appreciation rights, performance units and stock grants. As of March 31, 2014, the Company has 16.7 million units available for future awards. The Company estimates the cost of the stock options, time based restricted stock units and performance based restricted stock units awarded with reference to the fair value of PFSI’s underlying common stock on the date of the award. Compensation costs are fixed, except for the performance based restricted stock units, at the grant’s estimated fair value on the grant date as all grantees are employees of PennyMac and directors of the Company. Expense relating to awards is included in Compensation in the consolidated statements of income. | ||||||
Following is a summary of the stock-based compensation expense by instrument awarded: | ||||||
Quarter ended | ||||||
March 31, 2014 | ||||||
(in thousands) | ||||||
Stock options | $ | 1,187 | ||||
Performance-based RSUs | 762 | |||||
Time-based RSUs | 436 | |||||
$ | 2,385 | |||||
The Company had no equity award vestings during the quarter. Following is a summary of equity award grants made during the quarter: | ||||||
Quarter ended | Terms | |||||
March 31, 2014 | ||||||
(in thousands) | ||||||
Stock options | 747 | Service conditions vesting 1/3 annually for three years; 10 year expiration; $17.26 exercise price | ||||
Performance-based RSUs | 609 | Term vesting on December 31, 2016 based on performance and market conditions | ||||
Time-based RSUs | 97 | Service conditions vesting 1/3 annually for three years | ||||
1,453 | ||||||
Income_Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2014 | |
Income Taxes | ' |
Income Taxes | ' |
Note 19—Income Taxes | |
For the quarter ended March 31, 2014, the Company’s effective tax rate was 11.3%. The difference between the Company’s effective tax rate and the statutory rate is primarily due to the allocation of earnings to the noncontrolling interest unitholders. As the noncontrolling interest unitholders convert their ownership units into the Company’s shares, it expects an increase in allocated earnings that will be subject to corporate federal and state statutory tax rates, which will in turn increase its effective income tax rate. | |
Supplemental_Cash_Flow_Informa
Supplemental Cash Flow Information | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
Supplemental Cash Flow Information | ' | |||||||
Supplemental Cash Flow Information | ' | |||||||
Note 20—Supplemental Cash Flow Information | ||||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Cash paid for interest | $ | 6,223 | $ | 3,693 | ||||
Cash paid for income taxes | $ | 3 | $ | — | ||||
Non-cash investing activity: | ||||||||
Receipt of MSRs created in loan sales activities | $ | 37,514 | $ | 41,736 | ||||
Non-cash financing activity: | ||||||||
Settlement of stock subscription through partnership distribution | $ | — | $ | 4,113 | ||||
Transfer of ESS pursuant to recapture agreement with PMT | $ | 1,113 | $ | — | ||||
Regulatory_Net_Worth_and_Agenc
Regulatory Net Worth and Agency Capital Requirements | 3 Months Ended | |||||||||||||
Mar. 31, 2014 | ||||||||||||||
Regulatory Net Worth and Agency Capital Requirements | ' | |||||||||||||
Regulatory Net Worth and Agency Capital Requirements | ' | |||||||||||||
Note 21—Regulatory Net Worth and Agency Capital Requirements | ||||||||||||||
The Company, through PLS, is required to maintain specified levels of equity to remain a seller/servicer in good standing with the Agencies. Such equity requirements generally are tied to the size of the Company’s loan servicing portfolio or loan origination volume. | ||||||||||||||
The Agencies’ capital requirements, the calculations of which are specified by each Agency, are summarized below: | ||||||||||||||
March 31, 2014 | December 31, 2013 | |||||||||||||
Requirement—company subject to requirement | Net worth (1) | Required | Net worth (1) | Required | ||||||||||
(in thousands) | ||||||||||||||
Fannie Mae—PLS | $ | 446,795 | $ | 84,829 | $ | 409,552 | $ | 83,148 | ||||||
Freddie Mac—PLS | $ | 447,059 | $ | 3,092 | $ | 409,860 | $ | 3,001 | ||||||
Ginnie Mae: | ||||||||||||||
Issuer—PLS | $ | 417,578 | $ | 100,358 | $ | 388,125 | $ | 102,619 | ||||||
Issuer’s parent—PennyMac | $ | 642,332 | $ | 110,394 | $ | 598,198 | $ | 112,881 | ||||||
HUD—PLS | $ | 417,578 | $ | 2,500 | $ | 388,125 | $ | 2,500 | ||||||
(1) Calculated in compliance with the respective Agency’s requirements. | ||||||||||||||
Noncompliance with the respective agencies’ capital requirements can result in the respective Agency taking various remedial actions up to and including removing PennyMac’s ability to sell loans to and service loans on behalf of the respective Agency. PennyMac and PLS had Agency capital in excess of the respective Agencies’ requirements at March 31, 2014. | ||||||||||||||
Commitments_and_Contingencies
Commitments and Contingencies | 3 Months Ended | ||||
Mar. 31, 2014 | |||||
Commitments and Contingencies. | ' | ||||
Commitments and Contingencies | ' | ||||
Note 22—Commitments and Contingencies | |||||
Litigation | |||||
The business of the Company involves the collection of numerous accounts, as well as the validation of liens and compliance with various state and federal lending and servicing laws. Accordingly, the Company may be involved in proceedings, claims, and legal actions arising in the ordinary course of business. As of March 31, 2014, the Company was not involved in any legal proceedings, claims, or actions in management’s view would be reasonably likely to have a material adverse effect on the Company. | |||||
Commitments to Fund and Sell Mortgage Loans | |||||
March 31, 2014 | |||||
(in thousands) | |||||
Commitments to purchase mortgage loans from PennyMac Mortgage Investment Trust | $ | 836,786 | |||
Commitments to fund mortgage loans | 365,340 | ||||
$ | 1,202,126 | ||||
Commitments to sell mortgage loans | $ | 2,829,176 | |||
Segments_and_Related_Informati
Segments and Related Information | 3 Months Ended | ||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||
Segments and Related Information | ' | ||||||||||||||||
Segments and Related Information | ' | ||||||||||||||||
Note 23—Segments and Related Information | |||||||||||||||||
Since the date of the Company’s IPO, the Company has continued its development of internal management reporting. Such development has resulted in changes in the information that is provided to the Company’s chief operating decision maker. Accordingly, during the quarter ended March 31, 2014, management re-evaluated this new information in relation to its definition of its operating segments. | |||||||||||||||||
As a result of the new reporting provided to the chief operating decision maker, management has concluded that its mortgage banking operations should be disclosed as two segments: loan production and loan servicing. Accordingly, the following segment disclosure includes three segments: loan production, loan servicing and investment management. Prior period segment disclosures have been restated to conform segment disclosures for the quarter ended March 31, 2013 to those for the quarter ended March 31, 2014. | |||||||||||||||||
Two of the segments are in the mortgage banking business: loan production and loan servicing. The loan production segment performs origination, acquisition and sale activities. The loan servicing segment performs servicing of newly originated mortgage loans and servicing of mortgage loans sourced and managed by the investment management segment, including executing the loan resolution strategy identified by the investment management segment relating to distressed mortgage loans. | |||||||||||||||||
The investment management segment represents the activities of the Company’s investment manager, which include sourcing, performing diligence, bidding and closing investment asset acquisitions, managing correspondent lending activities for PMT and managing the acquired assets for the Advised Entities. | |||||||||||||||||
Financial highlights by segment are as follows: | |||||||||||||||||
Quarter ended March 31, 2014 | |||||||||||||||||
Mortgage banking | Investment | ||||||||||||||||
Production | Servicing | Total | management | Total | |||||||||||||
(in thousands) | |||||||||||||||||
Revenue | |||||||||||||||||
Net gains on mortgage loans held for sale at fair value | $ | 34,538 | $ | — | $ | 34,538 | $ | — | $ | 34,538 | |||||||
Loan origination fees | 6,880 | — | 6,880 | — | 6,880 | ||||||||||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 8,902 | — | 8,902 | — | 8,902 | ||||||||||||
Net servicing fees | — | 43,764 | 43,764 | — | 43,764 | ||||||||||||
Management fees | — | — | — | 10,109 | 10,109 | ||||||||||||
Carried Interest from Investment Funds | — | — | — | 2,157 | 2,157 | ||||||||||||
Net interest income (expense): | |||||||||||||||||
Interest income | 4,106 | — | 4,106 | 4 | 4,110 | ||||||||||||
Interest expense | 2,329 | 4,057 | 6,386 | — | 6,386 | ||||||||||||
1,777 | (4,057 | ) | (2,280 | ) | 4 | (2,276 | ) | ||||||||||
Other | 643 | 519 | 1,162 | 256 | 1,418 | ||||||||||||
Total net revenue | 52,740 | 40,226 | 92,966 | 12,526 | 105,492 | ||||||||||||
Expenses | 26,786 | 23,113 | 49,899 | 6,532 | 56,431 | ||||||||||||
Income before provision for income taxes | $ | 25,954 | $ | 17,113 | $ | 43,067 | $ | 5,994 | $ | 49,061 | |||||||
Segment assets at period end (1) | $ | 790,733 | $ | 807,252 | 1,597,985 | $ | 103,698 | $ | 1,701,683 | ||||||||
(1) Amount excludes parent Company assets, primarily deferred tax assets. | |||||||||||||||||
Quarter ended March 31, 2013 | |||||||||||||||||
Mortgage banking | Investment | ||||||||||||||||
Production | Servicing | Total | management | Total | |||||||||||||
(in thousands) | |||||||||||||||||
Revenue | |||||||||||||||||
Net gains on mortgage loans held for sale at fair value | $ | 39,957 | $ | — | $ | 39,957 | $ | — | $ | 39,957 | |||||||
Loan origination fees | 5,668 | — | 5,668 | — | 5,668 | ||||||||||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 28,244 | — | 28,244 | — | 28,244 | ||||||||||||
Net servicing fees | — | 16,042 | 16,042 | — | 16,042 | ||||||||||||
Management fees | — | — | — | 8,406 | 8,406 | ||||||||||||
Carried Interest from Investment Funds | — | — | — | 4,737 | 4,737 | ||||||||||||
Net interest (expense) income: | |||||||||||||||||
Interest income | 1,737 | — | 1,737 | 5 | 1,742 | ||||||||||||
Interest expense | 3,330 | — | 3,330 | — | 3,330 | ||||||||||||
(1,593 | ) | — | (1,593 | ) | 5 | (1,588 | ) | ||||||||||
Other | 326 | 81 | 407 | 495 | 902 | ||||||||||||
Total net revenue | 72,602 | 16,123 | 88,725 | 13,643 | 102,368 | ||||||||||||
Expenses | 28,992 | 13,743 | 42,735 | 4,340 | 47,075 | ||||||||||||
Income before provision for income taxes | $ | 43,610 | $ | 2,380 | $ | 45,990 | $ | 9,303 | $ | 55,293 | |||||||
Segment assets at period end | $ | 280,594 | $ | 288,304 | $ | 568,898 | $ | 124,029 | $ | 692,927 | |||||||
Subsequent_Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2014 | |
Subsequent Events | ' |
Subsequent Events | ' |
Note 24—Subsequent Events | |
Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period: | |
· On April 29, 2014, the Company entered into a letter of intent with a third party to purchase a $3.5 billion unpaid principal balance portfolio of Ginnie Mae MSRs. PMT intends to purchase from the Company approximately $26.0 million of ESS from this MSR portfolio. The MSR acquisition by the Company and PMT’s purchase of ESS are subject to the negotiation and execution of definitive documentation, continuing due diligence and customary closing conditions and approvals. There can be no assurance that the committed amounts will ultimately be acquired or that the transactions will be completed at all. | |
· On April 30, 2014, the Company, through PLS, entered into an amendment to its amended and restated master repurchase agreement, dated as of May 3, 2013, by and among Credit Suisse First Boston Mortgage Capital LLC, on the one hand, and PLS and PennyMac, on the other hand (the “Repurchase Agreement”). Pursuant to the terms of the amendment, the maximum aggregate purchase price provided for in the Repurchase Agreement was increased from $300 million to $800 million for the purpose of financing government loans serviced by PLS that are either re-performing or severely delinquent and, in either case, purchased by PLS out of Ginnie Mae securities (the “GNMA Loans”). The re-performing GNMA Loans are held by PLS pending re-securitization while the severely delinquent GNMA Loans are held by PLS pending liquidation or an alternative resolution. Of the $800 million maximum aggregate purchase price, the maximum purchase price with respect to the GNMA Loans is $500 million. | |
· Subsequent to March 31, 2014, the Company agreed in principle to sell to a third-party private label MSRs backed by distressed mortgage loans with UPBs of approximately $0.9 billion. The transaction is subject to customary closing conditions and approvals. There can be no assurance that the committed amount will ultimately be sold or that the transaction will be completed at all. | |
· All agreements to repurchase assets that matured between March 31, 2014 and the date of this Report were extended or renewed. |
Organization_and_Basis_of_Pres1
Organization and Basis of Presentation (Tables) | 3 Months Ended | ||||||||||
Mar. 31, 2014 | |||||||||||
Organization and Basis of Presentation | ' | ||||||||||
Summary of the reclassifications | ' | ||||||||||
Quarter ended March 31, 2013 | |||||||||||
As reported | As previously | Reclassification | |||||||||
reported | |||||||||||
(in thousands) | |||||||||||
Net interest expense (new caption): | |||||||||||
Interest income | $ | 1,742 | $ | 1,742 | $ | — | |||||
Interest expense | 3,330 | — | 3,330 | ||||||||
$ | (1,588 | ) | $ | 1,742 | $ | (3,330 | ) | ||||
Transactions_with_Affiliates_T
Transactions with Affiliates (Tables) | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
Transactions with Affiliates | ' | |||||||
Summary of management fees earned | ' | |||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Management fees: | ||||||||
Base | $ | 5,521 | $ | 4,364 | ||||
Performance incentive | 2,553 | 2,128 | ||||||
$ | 8,074 | $ | 6,492 | |||||
Summary of mortgage loan servicing fees earned from PMT | ' | |||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Loan servicing fees: | ||||||||
Mortgage loans acquired for sale at fair value: | ||||||||
Base and supplemental | $ | 17 | $ | 77 | ||||
Activity-based | 26 | 72 | ||||||
43 | 149 | |||||||
Distressed mortgage loans: | ||||||||
Base and supplemental | 4,966 | 3,875 | ||||||
Activity-based | 6,386 | 1,877 | ||||||
11,352 | 5,752 | |||||||
MSRs: | ||||||||
Base and supplemental | 3,148 | 1,763 | ||||||
Activity-based | 48 | 62 | ||||||
3,196 | 1,825 | |||||||
$ | 14,591 | $ | 7,726 | |||||
Summary of lending activity between the Company and affiliate | ' | |||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Fulfillment fee revenue | $ | 8,902 | $ | 28,244 | ||||
UPB of loans fulfilled for PennyMac Mortgage Investment Trust | $ | 1,919,578 | $ | 4,786,826 | ||||
Sourcing fees paid | $ | 892 | $ | 1,010 | ||||
Fair value of loans purchased from PennyMac Mortgage Investment Trust | $ | 3,130,530 | $ | 3,548,397 | ||||
Summary of investment activity between the Company and affiliate | ' | |||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Issuance of excess servicing spread | $ | 20,526 | $ | — | ||||
Interest expense from excess servicing spread | $ | 2,862 | $ | — | ||||
Excess servicing spread recapture recognized | $ | 1,890 | $ | — | ||||
MSR recapture recognized | $ | 8 | $ | 133 | ||||
Summary of reimbursement of expenses | ' | |||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Reimbursement of common overhead incurred by PCM and its affiliates | $ | 2,578 | $ | 2,606 | ||||
Reimbursement of expenses incurred on PMT’s behalf | 445 | 1,358 | ||||||
$ | 3,023 | $ | 3,964 | |||||
Payments and settlements during the period (1) | $ | 18,386 | $ | 33,362 | ||||
(1) Payments and settlements include payments for management fees and correspondent lending activities itemized in the preceding tables and netting settlements made pursuant to master netting agreements between the Company and PMT. | ||||||||
PMT | ' | |||||||
Transactions with Affiliates | ' | |||||||
Summary of amounts due from affiliate | ' | |||||||
March 31, | December 31, | |||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Servicing fees | $ | 8,222 | $ | 5,915 | ||||
Management fees | 8,074 | 8,924 | ||||||
Allocated expenses | 2,764 | 2,009 | ||||||
Underwriting fees | 1,752 | 1,788 | ||||||
$ | 20,812 | $ | 18,636 | |||||
Investment Funds | ' | |||||||
Transactions with Affiliates | ' | |||||||
Summary of amounts due from affiliate | ' | |||||||
March 31, | December 31, | |||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Receivable from Investment Funds: | ||||||||
Management fees | $ | 2,035 | $ | 2,031 | ||||
Loan servicing fees | 837 | 727 | ||||||
Loan servicing rebate | 148 | 136 | ||||||
Expense reimbursements | 42 | 21 | ||||||
$ | 3,062 | $ | 2,915 | |||||
Carried Interest due from Investment Funds: | ||||||||
PNMAC Mortgage Opportunity Fund, LLC | $ | 38,838 | $ | 37,702 | ||||
PNMAC Mortgage Opportunity Fund Investors, LLC | 24,461 | 23,440 | ||||||
$ | 63,299 | $ | 61,142 | |||||
Earnings_Per_Share_of_Common_S1
Earnings Per Share of Common Stock (Tables) | 3 Months Ended | ||||
Mar. 31, 2014 | |||||
Earnings Per Share of Common Stock | ' | ||||
Summary of basic and diluted earnings per share calculations | ' | ||||
Quarter ended | |||||
March 31, 2014 | |||||
(in thousands, except per | |||||
share amounts) | |||||
Basic earnings per share of common stock: | |||||
Net income attributable to PennyMac Financial Services, Inc. common stockholders | $ | 7,972 | |||
Weighted-average common stock outstanding | 20,866 | ||||
Basic earnings per share of common stock: | $ | 0.38 | |||
Diluted earnings per share of common stock: | |||||
Net income | $ | 7,972 | |||
Effect of net income attributable to noncontrolling interest, net of tax | 21,010 | ||||
Diluted net income attributable to common stockholders | $ | 28,982 | |||
Weighted-average common stock outstanding | 20,866 | ||||
Dilutive shares: | |||||
PennyMac Class A units exchangeable to common stock | 55,051 | ||||
Shares issuable under stock-based compensation plans | 35 | ||||
Diluted weighted-average common stock outstanding | 75,952 | ||||
Diluted earnings per share of common stock | $ | 0.38 | |||
Loan_Sales_and_Servicing_Activ1
Loan Sales and Servicing Activities (Tables) | 3 Months Ended | ||||||||||
Mar. 31, 2014 | |||||||||||
Loan Sales and Servicing Activities | ' | ||||||||||
Summary of cash flows between the Company and transferees upon sale of mortgage loans in transactions | ' | ||||||||||
Quarter ended March 31, | |||||||||||
2014 | 2013 | ||||||||||
(in thousands) | |||||||||||
Cash flows: | |||||||||||
Sales proceeds | $ | 3,298,915 | $ | 4,045,610 | |||||||
Servicing fees received | $ | 22,184 | $ | 9,299 | |||||||
Net servicing advances | $ | (608 | ) | $ | (3,736 | ) | |||||
Period end information: | |||||||||||
Unpaid principal balance (“UPB”) of loans outstanding at end of period | $ | 26,289,208 | $ | 12,485,598 | |||||||
Delinquencies: | |||||||||||
30-89 days | $ | 362,131 | $ | 119,433 | |||||||
90 days or more or in foreclosure or bankruptcy | $ | 176,608 | $ | 36,566 | |||||||
Summary of mortgage servicing portfolio | ' | ||||||||||
March 31, 2014 | |||||||||||
Servicing | Contract servicing | Total | |||||||||
rights owned | and subservicing | loans serviced | |||||||||
(in thousands) | |||||||||||
Agencies | $ | 49,201,662 | $ | — | $ | 49,201,662 | |||||
Affiliated entities | — | 33,072,540 | 33,072,540 | ||||||||
Private investors | 907,981 | 936 | 908,917 | ||||||||
Mortgage loans held for sale | 660,470 | — | 660,470 | ||||||||
$ | 50,770,113 | $ | 33,073,476 | $ | 83,843,589 | ||||||
Amount subserviced for the Company | $ | 2,214,554 | $ | 415,435 | $ | 2,629,989 | |||||
Delinquent mortgage loans: | |||||||||||
30 days | $ | 872,052 | $ | 246,218 | $ | 1,118,270 | |||||
60 days | 407,057 | 114,867 | 521,924 | ||||||||
90 days or more | 1,085,662 | 1,337,631 | 2,423,293 | ||||||||
2,364,771 | 1,698,716 | 4,063,487 | |||||||||
Loans pending foreclosure | 187,876 | 1,861,167 | 2,049,043 | ||||||||
$ | 2,552,647 | $ | 3,559,883 | $ | 6,112,530 | ||||||
Custodial funds managed by the Company (1) | $ | 654,098 | $ | 281,921 | $ | 936,019 | |||||
December 31, 2013 | |||||||||||
Servicing | Contract servicing | Total | |||||||||
rights owned | and subservicing | loans serviced | |||||||||
(in thousands) | |||||||||||
Agencies | $ | 44,969,026 | $ | — | $ | 44,969,026 | |||||
Affiliated entities | — | 31,632,718 | 31,632,718 | ||||||||
Private investors | 969,794 | 89,361 | 1,059,155 | ||||||||
Mortgage loans held for sale | 506,540 | — | 506,540 | ||||||||
$ | 46,445,360 | $ | 31,722,079 | $ | 78,167,439 | ||||||
Amount subserviced for the Company | $ | 156,347 | $ | 582,610 | $ | 738,957 | |||||
Delinquent mortgage loans: | |||||||||||
30 days | $ | 1,304,054 | $ | 263,518 | $ | 1,567,572 | |||||
60 days | 346,912 | 112,275 | 459,187 | ||||||||
90 days or more | 605,555 | 1,416,498 | 2,022,053 | ||||||||
2,256,521 | 1,792,291 | 4,048,812 | |||||||||
Loans pending foreclosure | 168,776 | 1,792,128 | 1,960,904 | ||||||||
$ | 2,425,297 | $ | 3,584,419 | $ | 6,009,716 | ||||||
Custodial funds managed by the Company (1) | $ | 568,161 | $ | 246,587 | $ | 814,748 | |||||
(1) Borrower and investor custodial cash accounts relate to loans serviced under the servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns interest on custodial funds it manages on behalf of the loans’ investors, which is recorded as part of the interest income in the Company’s consolidated statements of income. | |||||||||||
Summary of the geographical distribution of loans for the top five and all other states as measured by the total unpaid principal balance | ' | ||||||||||
State | March 31, | December 31, | |||||||||
2014 | 2013 | ||||||||||
(in thousands) | |||||||||||
California | $ | 30,959,910 | $ | 30,320,616 | |||||||
Texas | 4,801,408 | 4,470,123 | |||||||||
Virginia | 4,300,935 | 3,769,683 | |||||||||
Florida | 3,810,018 | 3,416,274 | |||||||||
Washington | 3,096,898 | 2,760,900 | |||||||||
All other states | 36,874,420 | 33,429,843 | |||||||||
$ | 83,843,589 | $ | 78,167,439 | ||||||||
Netting_of_Financial_Instrumen1
Netting of Financial Instruments (Tables) | 3 Months Ended | ||||||||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||||||||
Netting of Financial Instruments | ' | ||||||||||||||||||||||||||||
Summaries of derivative assets and related set off amounts | ' | ||||||||||||||||||||||||||||
Offsetting of Derivative Assets | |||||||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||||||
Gross | Gross | Net | Gross | Gross | Net | ||||||||||||||||||||||||
amount of | amount | amount | amount of | amount | amount | ||||||||||||||||||||||||
recognized | offset | of assets in | recognized | offset | of assets | ||||||||||||||||||||||||
assets | in the | the | assets | in the | in the | ||||||||||||||||||||||||
balance | balance | balance | balance | ||||||||||||||||||||||||||
sheet | sheet | sheet | sheet | ||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Derivatives subject to master netting arrangements: | |||||||||||||||||||||||||||||
MBS put options | $ | 434 | $ | — | $ | 434 | $ | 665 | $ | — | $ | 665 | |||||||||||||||||
MBS call options | 328 | — | 328 | 91 | — | 91 | |||||||||||||||||||||||
Forward purchase contracts | 1,942 | — | 1,942 | 416 | — | 416 | |||||||||||||||||||||||
Forward sale contracts | 5,008 | — | 5,008 | 18,762 | — | 18,762 | |||||||||||||||||||||||
Put options on Eurodollar futures | 277 | — | 277 | — | — | — | |||||||||||||||||||||||
Call options on Eurodollar futures | 62 | — | 62 | — | — | — | |||||||||||||||||||||||
Netting | — | (2,707 | ) | (2,707 | ) | — | (7,358 | ) | (7,358 | ) | |||||||||||||||||||
8,051 | (2,707 | ) | 5,344 | 19,934 | (7,358 | ) | 12,576 | ||||||||||||||||||||||
Derivatives not subject to master netting arrangements - IRLCs | 16,333 | — | 16,333 | 8,964 | — | 8,964 | |||||||||||||||||||||||
$ | 24,384 | $ | (2,707 | ) | $ | 21,677 | $ | 28,898 | $ | (7,358 | ) | $ | 21,540 | ||||||||||||||||
Summary of the amount of derivative asset positions by significant counterparty after considering master netting arrangements and financial instruments or cash pledged | ' | ||||||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||||||
Gross amount not | Gross amount not offset in | ||||||||||||||||||||||||||||
offset in the | the | ||||||||||||||||||||||||||||
consolidated | consolidated | ||||||||||||||||||||||||||||
balance sheet | balance sheet | ||||||||||||||||||||||||||||
Net amount | Financial | Cash | Net | Net amount | Financial | Cash | Net | ||||||||||||||||||||||
of assets | instruments | collateral | amount | of assets | instruments | collateral | amount | ||||||||||||||||||||||
in the balance | received | in the balance | received | ||||||||||||||||||||||||||
sheet | sheet | ||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Interest rate lock commitments | $ | 16,333 | $ | — | $ | — | $ | 16,333 | $ | 8,964 | $ | — | $ | — | $ | 8,964 | |||||||||||||
Citibank, N.A. | 1,330 | — | — | 1,330 | — | — | — | — | |||||||||||||||||||||
Bank of America, N.A. | 880 | — | — | 880 | 1,680 | — | — | 1,680 | |||||||||||||||||||||
Goldman Sachs | 781 | — | — | 781 | 16 | — | — | 16 | |||||||||||||||||||||
Daiwa Capital Markets | 494 | — | — | 494 | 1,190 | — | — | 1,190 | |||||||||||||||||||||
Credit Suisse First Boston Mortgage Capital LLC | 321 | — | — | 321 | 2,149 | — | — | 2,149 | |||||||||||||||||||||
Morgan Stanley Bank, N.A. | 157 | — | — | 157 | 1,704 | — | — | 1,704 | |||||||||||||||||||||
Others | 1,381 | — | — | 1,381 | 5,837 | — | — | 5,837 | |||||||||||||||||||||
$ | 21,677 | $ | — | $ | — | $ | 21,677 | $ | 21,540 | $ | — | $ | — | $ | 21,540 | ||||||||||||||
Summary of net derivative liabilities and assets sold under agreements to repurchase and related set off amounts | ' | ||||||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||||||
Gross | Gross amount | Net | Gross | Gross amount | Net | ||||||||||||||||||||||||
amount of | offset | amount | amount of | offset | amount | ||||||||||||||||||||||||
recognized | in the | of liabilities | recognized | in the | of liabilities | ||||||||||||||||||||||||
liabilities | consolidated | in the | liabilities | consolidated | in the | ||||||||||||||||||||||||
balance | consolidated | balance | consolidated | ||||||||||||||||||||||||||
sheet | balance | sheet | balance | ||||||||||||||||||||||||||
sheet | sheet | ||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Derivatives subject to a master netting arrangement: | |||||||||||||||||||||||||||||
Forward purchase contracts | $ | 2,392 | $ | — | $ | 2,392 | $ | 6,542 | $ | — | $ | 6,542 | |||||||||||||||||
Forward sale contracts | 2,327 | — | 2,327 | 504 | — | 504 | |||||||||||||||||||||||
Netting | — | (4,600 | ) | (4,600 | ) | — | (6,787 | ) | (6,787 | ) | |||||||||||||||||||
4,719 | (4,600 | ) | 119 | 7,046 | (6,787 | ) | 259 | ||||||||||||||||||||||
Derivatives not subject to a master netting arrangement - IRLCs | 2,036 | — | 2,036 | 2,203 | — | 2,203 | |||||||||||||||||||||||
Total derivatives | 6,755 | (4,600 | ) | 2,155 | 9,249 | (6,787 | ) | 2,462 | |||||||||||||||||||||
Mortgage loans sold under agreements to repurchase | 567,737 | — | 567,737 | 471,592 | — | 471,592 | |||||||||||||||||||||||
$ | 574,492 | $ | (4,600 | ) | $ | 569,892 | $ | 480,841 | $ | (6,787 | ) | $ | 474,054 | ||||||||||||||||
Summary of amount of derivative liabilities and assets sold under agreements to repurchase by significant counterparty after considering master netting arrangements and financial instruments or cash pledged | ' | ||||||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||||||
Gross amount | Gross amount | ||||||||||||||||||||||||||||
not offset in the | not offset in the | ||||||||||||||||||||||||||||
consolidated | consolidated | ||||||||||||||||||||||||||||
balance sheet | balance sheet | ||||||||||||||||||||||||||||
Net amount of | Net amount of | ||||||||||||||||||||||||||||
liabilities | Cash | liabilities | Cash | ||||||||||||||||||||||||||
in the consolidated | Financial | collateral | Net | in the consolidated | Financial | collateral | Net | ||||||||||||||||||||||
balance sheet | instruments | pledged | amount | balance sheet | instruments | pledged | amount | ||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Interest rate lock commitments | $ | 2,036 | $ | — | $ | — | $ | 2,036 | $ | 2,203 | $ | — | $ | — | $ | 2,203 | |||||||||||||
Credit Suisse First Boston Mortgage Capital LLC | 246,998 | (246,998 | ) | — | — | 198,888 | (198,888 | ) | — | — | |||||||||||||||||||
Bank of America, N.A. | 211,791 | (211,791 | ) | — | — | 234,511 | (234,511 | ) | — | — | |||||||||||||||||||
Morgan Stanley Bank, N.A. | 108,676 | (108,676 | ) | — | — | 38,193 | (38,193 | ) | — | — | |||||||||||||||||||
Citibank, N.A. | 272 | (272 | ) | — | — | — | — | — | — | ||||||||||||||||||||
Others | 119 | — | — | 119 | 259 | — | — | 259 | |||||||||||||||||||||
$ | 569,892 | $ | (567,737 | ) | $ | — | $ | 2,155 | $ | 474,054 | $ | (471,592 | ) | $ | — | $ | 2,462 | ||||||||||||
Fair_Value_Tables
Fair Value (Tables) | 3 Months Ended | |||||||||||||||||||
Mar. 31, 2014 | ||||||||||||||||||||
Fair Value | ' | |||||||||||||||||||
Summary of financial statement items measured at estimated fair value on a recurring basis | ' | |||||||||||||||||||
March 31, 2014 | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
(in thousands) | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Short-term investments | $ | 40,957 | $ | — | $ | — | $ | 40,957 | ||||||||||||
Mortgage loans held for sale at fair value | — | 713,491 | 3,985 | 717,476 | ||||||||||||||||
Derivative assets: | ||||||||||||||||||||
Interest rate lock commitments | — | — | 16,333 | 16,333 | ||||||||||||||||
Forward purchase contracts | — | 1,942 | — | 1,942 | ||||||||||||||||
Forward sales contracts | — | 5,008 | — | 5,008 | ||||||||||||||||
MBS put options | — | 434 | — | 434 | ||||||||||||||||
MBS call options | — | 328 | — | 328 | ||||||||||||||||
Put options on Eurodollar futures | — | 277 | — | 277 | ||||||||||||||||
Call options on Eurodollar futures | — | 62 | — | 62 | ||||||||||||||||
Total derivative assets before netting | — | 8,051 | 16,333 | 24,384 | ||||||||||||||||
Netting (1) | — | — | — | (2,707 | ) | |||||||||||||||
Total derivative assets | — | 8,051 | 16,333 | 21,677 | ||||||||||||||||
Investment in PennyMac Mortgage | 1,793 | — | — | 1,793 | ||||||||||||||||
Investment Trust | ||||||||||||||||||||
Mortgage servicing rights at fair value | — | — | 246,984 | 246,984 | ||||||||||||||||
$ | 42,750 | $ | 721,542 | $ | 267,302 | $ | 1,028,887 | |||||||||||||
Liabilities: | ||||||||||||||||||||
Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust | $ | — | $ | — | $ | 151,019 | $ | 151,019 | ||||||||||||
Derivative liabilities: | ||||||||||||||||||||
Interest rate lock commitments | — | — | 2,036 | 2,036 | ||||||||||||||||
Forward purchase contracts | — | 2,392 | — | 2,392 | ||||||||||||||||
Forward sales contracts | — | 2,327 | — | 2,327 | ||||||||||||||||
Total derivative liabilities before netting | — | 4,719 | 2,036 | 6,755 | ||||||||||||||||
Netting (1) | — | — | — | (4,600 | ) | |||||||||||||||
Total derivative liabilities | — | 4,719 | 2,036 | 2,155 | ||||||||||||||||
$ | — | $ | 4,719 | $ | 153,055 | $ | 153,174 | |||||||||||||
(1) Derivatives are reported net of cash collateral received and paid and, to the extent that the criteria of the accounting guidance covering the offsetting of amounts related to certain contracts are met, positions with the same counterparty are netted as part of a legally enforceable master netting agreement. | ||||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
(in thousands) | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Short-term investments | $ | 142,582 | $ | — | $ | — | $ | 142,582 | ||||||||||||
Mortgage loans held for sale at fair value | — | 527,071 | 3,933 | 531,004 | ||||||||||||||||
Derivative assets: | ||||||||||||||||||||
Interest rate lock commitments | — | — | 8,964 | 8,964 | ||||||||||||||||
Forward purchase contracts | — | 416 | — | 416 | ||||||||||||||||
Forward sales contracts | — | 18,762 | — | 18,762 | ||||||||||||||||
MBS put options | — | 665 | — | 665 | ||||||||||||||||
MBS call options | — | 91 | — | 91 | ||||||||||||||||
Total derivative assets before netting | — | 19,934 | 8,964 | 28,898 | ||||||||||||||||
Netting (1) | — | — | — | (7,358 | ) | |||||||||||||||
Total derivative assets | — | 19,934 | 8,964 | 21,540 | ||||||||||||||||
Investment in PennyMac Mortgage | 1,722 | — | — | 1,722 | ||||||||||||||||
Investment Trust | ||||||||||||||||||||
Mortgage servicing rights at fair value | — | — | 224,913 | 224,913 | ||||||||||||||||
$ | 144,304 | $ | 547,005 | $ | 237,810 | $ | 921,761 | |||||||||||||
Liabilities: | ||||||||||||||||||||
Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust | $ | — | $ | — | $ | 138,723 | $ | 138,723 | ||||||||||||
Derivative liabilities: | ||||||||||||||||||||
Interest rate lock commitments | — | — | 2,203 | 2,203 | ||||||||||||||||
Forward purchase contracts | — | 6,542 | — | 6,542 | ||||||||||||||||
Forward sales contracts | — | 504 | — | 504 | ||||||||||||||||
Total derivative liabilities before netting | — | 7,046 | 2,203 | 9,249 | ||||||||||||||||
Netting (1) | — | — | — | (6,787 | ) | |||||||||||||||
Total derivative liabilities | — | 7,046 | 2,203 | 2,462 | ||||||||||||||||
$ | — | $ | 7,046 | $ | 140,926 | $ | 141,185 | |||||||||||||
(1) Derivatives are reported net of cash collateral received and paid and, to the extent that the criteria of the accounting guidance covering the set off of amounts related to certain contracts are met, positions with the same counterparty are netted as part of a legally enforceable master netting agreement. | ||||||||||||||||||||
Summary of roll forward of items measured using Level 3 inputs on a recurring basis | ' | |||||||||||||||||||
Quarter ended March 31, 2014 | ||||||||||||||||||||
Mortgage | Net interest | Mortgage | Total | |||||||||||||||||
loans held | rate lock | servicing | ||||||||||||||||||
for sale | commitments (1) | rights | ||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Balance, December 31, 2013 | $ | 3,933 | $ | 6,761 | $ | 224,913 | $ | 235,607 | ||||||||||||
Repurchases of mortgage loans subject to representations and warranties | — | — | — | — | ||||||||||||||||
Repayments | (14 | ) | — | — | (14 | ) | ||||||||||||||
Interest rate lock commitments issued, net | — | 36,438 | — | 36,438 | ||||||||||||||||
Purchases | — | — | 25,866 | 25,866 | ||||||||||||||||
MSRs received as proceeds from mortgage loan sales | — | — | 6,933 | 6,933 | ||||||||||||||||
Sales | — | — | — | — | ||||||||||||||||
Changes in fair value included in income arising from: | ||||||||||||||||||||
Changes in instrument-specific credit risk | — | — | ||||||||||||||||||
Other factors | 66 | 5,353 | (10,728 | ) | (5,309 | ) | ||||||||||||||
66 | 5,353 | (10,728 | ) | (5,309 | ) | |||||||||||||||
Transfers of interest rate lock commitments to mortgage loans held for sale | — | (34,255 | ) | — | (34,255 | ) | ||||||||||||||
Balance, March 31, 2014 | $ | 3,985 | $ | 14,297 | $ | 246,984 | $ | 265,266 | ||||||||||||
Changes in fair value recognized during the period relating to assets still held at March 31, 2014 | $ | 66 | $ | 14,297 | $ | (10,728 | ) | |||||||||||||
(1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. | ||||||||||||||||||||
Excess servicing | ||||||||||||||||||||
spread financing | ||||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Liability: | ||||||||||||||||||||
Balance, December 31, 2013 | $ | 138,723 | ||||||||||||||||||
Proceeds from issuance of ESS | 20,526 | |||||||||||||||||||
ESS issued pursuant to a recapture agreement with PennyMac Mortgage Investment Trust | 1,113 | |||||||||||||||||||
Accrual of interest on excess servicing spread financing | 2,862 | |||||||||||||||||||
Repayments | (7,413 | ) | ||||||||||||||||||
Changes in fair value included in income | (4,792 | ) | ||||||||||||||||||
Balance, March 31, 2014 | $ | 151,019 | ||||||||||||||||||
Changes in fair value recognized during the period relating to liability still held at March 31, 2014 | $ | (4,792 | ) | |||||||||||||||||
Quarter ended March 31, 2013 | ||||||||||||||||||||
Mortgage | Net interest | Mortgage | Total | |||||||||||||||||
loans held | rate lock | servicing | ||||||||||||||||||
for sale | commitments (1) | rights | ||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Balance, December 31, 2012 | $ | — | $ | 23,951 | $ | 19,798 | $ | 43,749 | ||||||||||||
Repurchases of mortgage loans subject to representations and warranties | 4,612 | — | — | 4,612 | ||||||||||||||||
Repayments | (13 | ) | — | — | (13 | ) | ||||||||||||||
Interest rate lock commitments issued, net | — | 33,649 | — | 33,649 | ||||||||||||||||
MSRs received as proceeds from mortgage loan sales | — | — | 3 | 3 | ||||||||||||||||
Changes in fair value included in income arising from: | ||||||||||||||||||||
Changes in instrument-specific credit risk | — | — | ||||||||||||||||||
Other factors | (112 | ) | (107 | ) | (1,179 | ) | (1,398 | ) | ||||||||||||
(112 | ) | (107 | ) | (1,179 | ) | (1,398 | ) | |||||||||||||
Transfers of interest rate lock commitments to mortgage loans held for sale | — | (32,056 | ) | — | (32,056 | ) | ||||||||||||||
Balance, March 31, 2013 | $ | 4,487 | $ | 25,437 | $ | 18,622 | $ | 48,546 | ||||||||||||
Changes in fair value recognized during the period relating to assets still held at March 31, 2013 | $ | (112 | ) | $ | 25,437 | $ | (1,179 | ) | ||||||||||||
(1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. | ||||||||||||||||||||
Summary of net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ' | |||||||||||||||||||
Quarter ended March 31, | ||||||||||||||||||||
2014 | 2013 | |||||||||||||||||||
Net gains on mortgage | Net | Total | Net gains on mortgage | Net | Total | |||||||||||||||
loans held for sale at | servicing | loans held for sale at | servicing | |||||||||||||||||
fair value | fees | fair value | fees | |||||||||||||||||
(in thousands) | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Mortgage loans held for sale at fair value | $ | 49,902 | $ | — | $ | 49,902 | $ | 26,161 | $ | — | $ | 26,161 | ||||||||
Mortgage servicing rights at fair value | — | (10,728 | ) | (10,728 | ) | — | (1,179 | ) | (1,179 | ) | ||||||||||
$ | 49,902 | $ | (10,728 | ) | $ | 39,174 | $ | 26,161 | $ | (1,179 | ) | $ | 24,982 | |||||||
Liabilities: | ||||||||||||||||||||
Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust | $ | — | $ | 4,792 | $ | 4,792 | $ | — | $ | — | $ | — | ||||||||
$ | — | $ | 4,792 | $ | 4,792 | $ | — | $ | — | $ | — | |||||||||
Schedule of fair value and related principal amounts due upon maturity of assets and liabilities accounted for under the fair value option | ' | |||||||||||||||||||
March 31, 2014 | ||||||||||||||||||||
Fair | Principal amount | Difference | ||||||||||||||||||
value | due upon maturity | |||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Mortgage loans held for sale: | ||||||||||||||||||||
Current through 89 days delinquent | $ | 714,558 | $ | 675,815 | $ | 38,743 | ||||||||||||||
90 days or more delinquent: | ||||||||||||||||||||
Not in foreclosure | 2,108 | 2,116 | (8 | ) | ||||||||||||||||
In foreclosure | 810 | 904 | (94 | ) | ||||||||||||||||
$ | 717,476 | $ | 678,835 | $ | 38,641 | |||||||||||||||
December 31, 2013 | ||||||||||||||||||||
Fair | Principal amount | Difference | ||||||||||||||||||
value | due upon maturity | |||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Mortgage loans held for sale: | ||||||||||||||||||||
Current through 89 days delinquent | $ | 524,665 | $ | 504,705 | $ | 19,960 | ||||||||||||||
90 days or more delinquent: | ||||||||||||||||||||
Not in foreclosure | 5,567 | 5,479 | 88 | |||||||||||||||||
In foreclosure | 772 | 660 | 112 | |||||||||||||||||
$ | 531,004 | $ | 510,844 | $ | 20,160 | |||||||||||||||
Summary of financial statement items measured at estimated fair value on a nonrecurring basis | ' | |||||||||||||||||||
March 31, 2014 | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
(in thousands) | ||||||||||||||||||||
Mortgage servicing rights at lower of amortized cost or fair value | $ | — | $ | — | $ | 69,160 | $ | 69,160 | ||||||||||||
$ | — | $ | — | $ | 69,160 | $ | 69,160 | |||||||||||||
December 31, 2013 | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
(in thousands) | ||||||||||||||||||||
Mortgage servicing rights at lower of amortized cost or fair value | $ | — | $ | — | $ | 136,690 | $ | 136,690 | ||||||||||||
$ | — | $ | — | $ | 136,690 | $ | 136,690 | |||||||||||||
Summary of total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | ' | |||||||||||||||||||
Quarter ended March 31, | ||||||||||||||||||||
2014 | 2013 | |||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Mortgage servicing rights at lower of amortized cost or fair value | $ | (421 | ) | $ | 555 | |||||||||||||||
$ | (421 | ) | $ | 555 | ||||||||||||||||
Schedule of key inputs used in determining the fair value of ESS financing | ' | |||||||||||||||||||
March 31, | December 31, | |||||||||||||||||||
2014 | 2013 | |||||||||||||||||||
Key inputs | Range | |||||||||||||||||||
(Weighted average) | ||||||||||||||||||||
UPB of underlying loans (in thousands) | $22,246,336 | $20,512,659 | ||||||||||||||||||
Average servicing fee rate (in basis points) | 32 | 32 | ||||||||||||||||||
Average excess servicing spread (in basis points) | 16 | 16 | ||||||||||||||||||
Pricing spread (1) | 1.7% - 14.4% | 2.8% - 14.4% | ||||||||||||||||||
-4.80% | -5.40% | |||||||||||||||||||
Average life | 0.6 - 7.3 | 0.9 - 8.0 | ||||||||||||||||||
-5.7 | -6.1 | |||||||||||||||||||
Prepayment speed (2) | 7.7% - 63.8% | 7.7% - 48.6% | ||||||||||||||||||
-10.40% | -9.70% | |||||||||||||||||||
(1) Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the united states LIBOR curve for purposes of discounting cash flows relating to ESS. | ||||||||||||||||||||
(2) Prepayment speed is measured using Life Total CPR. | ||||||||||||||||||||
IRLCs | ' | |||||||||||||||||||
Fair Value | ' | |||||||||||||||||||
Summary of roll forward of items measured using Level 3 inputs on a recurring basis | ' | |||||||||||||||||||
Excess servicing | ||||||||||||||||||||
spread financing | ||||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Liability: | ||||||||||||||||||||
Balance, December 31, 2013 | $ | 138,723 | ||||||||||||||||||
Proceeds from issuance of ESS | 20,526 | |||||||||||||||||||
ESS issued pursuant to a recapture agreement with PennyMac Mortgage Investment Trust | 1,113 | |||||||||||||||||||
Accrual of interest on excess servicing spread financing | 2,862 | |||||||||||||||||||
Repayments | (7,413 | ) | ||||||||||||||||||
Changes in fair value included in income arising from: | ||||||||||||||||||||
Other factors | (4,792 | ) | ||||||||||||||||||
(4,792 | ) | |||||||||||||||||||
Balance, March 31, 2014 | $ | 151,019 | ||||||||||||||||||
Changes in fair value recognized during the period relating to liability still held at March 31, 2014 | $ | (4,792 | ) | |||||||||||||||||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ' | |||||||||||||||||||
March 31, 2014 | December 31, 2013 | |||||||||||||||||||
Key inputs | Range | |||||||||||||||||||
(Weighted average) | ||||||||||||||||||||
Pull-through rate | 60.8% - 98.0% | 62.1% - 98.1% | ||||||||||||||||||
-78.50% | -81.70% | |||||||||||||||||||
MSR value expressed as: | ||||||||||||||||||||
Servicing fee multiple | 1.9 - 5.1 | 2.0 - 5.0 | ||||||||||||||||||
-3.7 | -3.7 | |||||||||||||||||||
Percentage of UPB | 0.4% - 2.4% | 0.4% - 2.4% | ||||||||||||||||||
-1.00% | -0.90% | |||||||||||||||||||
MSRs | ' | |||||||||||||||||||
Fair Value | ' | |||||||||||||||||||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ' | |||||||||||||||||||
Quarter ended March 31, | ||||||||||||||||||||
2014 | 2013 | |||||||||||||||||||
Range | ||||||||||||||||||||
(Weighted average) | ||||||||||||||||||||
Fair | Amortized | Fair | Amortized | |||||||||||||||||
value | cost | value | cost | |||||||||||||||||
(Amount recognized and UPB of underlying mortgage loans in thousands) | ||||||||||||||||||||
Amount recognized | $6,933 | $30,581 | $3 | $41,733 | ||||||||||||||||
UPB of underlying mortgage loans | $511,467 | $2,623,599 | $324 | $3,856,356 | ||||||||||||||||
Weighted-average servicing fee rate (in basis points) | 32 | 30 | 25 | 26 | ||||||||||||||||
Pricing spread (1) | 8.5% - 13.8% | 7.3% - 14.8% | 8.6% - 8.9% | 5.4% - 12.5% | ||||||||||||||||
-11.20% | -10.50% | -8.70% | -8.50% | |||||||||||||||||
Annual total prepayment speed (2) | 7.9% - 17.2% | 7.6% - 45.3% | 11.3% - 12.7% | 8.5% - 16.5% | ||||||||||||||||
-8.50% | -8.10% | -12.40% | -8.80% | |||||||||||||||||
Life (in years) | 2.7 – 7.5 | 1.5 – 7.5 | 6.5 – 6.7 | 2.9 – 6.9 | ||||||||||||||||
-7.2 | -7.1 | -6.5 | -6.7 | |||||||||||||||||
Per-loan annual cost of servicing | $68 – $100 | $68 – $100 | $68 – $68 | $68 – $120 | ||||||||||||||||
($97) | ($100) | ($68) | ($100) | |||||||||||||||||
(1) Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar London Interbank Offering Rate (“LIBOR”) curve for purposes of discounting cash flows relating to MSRs acquired as proceeds from the sale of mortgage loans. | ||||||||||||||||||||
(2) Prepayment speed is measured using Life Total CPR. | ||||||||||||||||||||
Purchased MSRs Backed by Distressed Mortgage Loans | ' | |||||||||||||||||||
Fair Value | ' | |||||||||||||||||||
Quantitative summary of key inputs used in the valuation of the MSRs at period end and the effect on estimated fair value from adverse changes in those assumptions | ' | |||||||||||||||||||
March 31, 2014 | December 31, 2013 | |||||||||||||||||||
Range | ||||||||||||||||||||
(Weighted average) | ||||||||||||||||||||
Fair | Amortized | Fair | Amortized | |||||||||||||||||
value | cost | value | cost | |||||||||||||||||
(Carrying value, UPB of underlying mortgage loans and effect on value amounts in thousands) | ||||||||||||||||||||
Carrying value | $10,896 | — | $10,129 | — | ||||||||||||||||
UPB of underlying mortgage loans | $907,981 | — | $969,794 | — | ||||||||||||||||
Weighted-average note interest rate | 5.79% | — | 5.80% | — | ||||||||||||||||
Weighted-average servicing fee rate (in basis points) | 50 | — | 50 | — | ||||||||||||||||
Discount rate | 12.1% – 12.1% | — | 15.3% – 15.3% | — | ||||||||||||||||
-12.10% | — | -15.30% | — | |||||||||||||||||
Effect on fair value of: | ||||||||||||||||||||
5% adverse change | ($229) | — | ($251) | — | ||||||||||||||||
10% adverse change | ($449) | — | ($490) | — | ||||||||||||||||
20% adverse change | ($864) | — | ($937) | — | ||||||||||||||||
Life (in years) | 5.1 - 5.1 | — | 5.0 - 5.0 | — | ||||||||||||||||
-5.1 | -5 | |||||||||||||||||||
Prepayment speed (1) | 11.3% – 11.3% | — | 11.4% – 11.4% | — | ||||||||||||||||
-11.30% | — | -11.40% | — | |||||||||||||||||
Effect on fair value of: | ||||||||||||||||||||
5% adverse change | ($258) | — | ($231) | — | ||||||||||||||||
10% adverse change | ($511) | — | ($456) | — | ||||||||||||||||
20% adverse change | ($1,000) | — | ($898) | — | ||||||||||||||||
Per-loan annual cost of servicing | $211 – $211 | — | $218 – $218 | — | ||||||||||||||||
($211) | — | ($218) | — | |||||||||||||||||
Effect on fair value of: | ||||||||||||||||||||
5% adverse change | ($211) | — | ($197) | — | ||||||||||||||||
10% adverse change | ($421) | — | ($393) | — | ||||||||||||||||
20% adverse change | ($842) | — | ($787) | — | ||||||||||||||||
(1) Prepayment speed is measured using Life Voluntary CPR. | ||||||||||||||||||||
All Other MSRs | ' | |||||||||||||||||||
Fair Value | ' | |||||||||||||||||||
Quantitative summary of key inputs used in the valuation of the MSRs at period end and the effect on estimated fair value from adverse changes in those assumptions | ' | |||||||||||||||||||
March 31, 2014 | December 31, 2013 | |||||||||||||||||||
Range | ||||||||||||||||||||
(Weighted average) | ||||||||||||||||||||
Fair | Amortized | Fair | Amortized | |||||||||||||||||
value | cost | value | cost | |||||||||||||||||
(Carrying value, UPB of underlying mortgage loans and effect on value amounts in thousands) | ||||||||||||||||||||
Carrying value | $236,088 | $282,144 | $214,784 | $258,751 | ||||||||||||||||
UPB of underlying mortgage loans | $24,536,177 | $24,665,485 | $22,469,179 | $22,499,847 | ||||||||||||||||
Weighted-average note interest rate | 4.44% | 3.70% | 4.48% | 3.65% | ||||||||||||||||
Weighted-average servicing fee rate (in basis points) | 32 | 29 | 32 | 29 | ||||||||||||||||
Pricing spread (1) | 2.9% – 19.6% | 6.3% – 14.8% | 2.9% – 18.0% | 6.3% – 14.5% | ||||||||||||||||
-8.20% | -9.00% | -7.50% | -8.70% | |||||||||||||||||
Effect on fair value of: | ||||||||||||||||||||
5% adverse change | ($3,844) | ($6,448) | ($3,551) | ($5,312) | ||||||||||||||||
10% adverse change | ($7,562) | ($12,638) | ($6,900) | ($10,395) | ||||||||||||||||
20% adverse change | ($14,647) | ($24,298) | ($13,305) | ($20,039) | ||||||||||||||||
Average life (in years) | 0.1 – 14.3 | 1.6 – 7.3 | 0.1 – 14.4 | 1.5 – 7.3 | ||||||||||||||||
-5.8 | -6.9 | -6.2 | -7 | |||||||||||||||||
Prepayment speed (2) | 7.7% – 54.6% | 7.6% – 43.9% | 7.8% – 50.8% | 7.6% – 42.5% | ||||||||||||||||
-10.40% | -8.10% | -9.70% | -8.00% | |||||||||||||||||
Effect on fair value of: | ||||||||||||||||||||
5% adverse change | ($4,857) | ($4,944) | ($4,622) | ($4,615) | ||||||||||||||||
10% adverse change | ($9,538) | ($9,747) | ($9,073) | ($9,097) | ||||||||||||||||
20% adverse change | ($18,409) | ($18,952) | ($17,500) | ($17,684) | ||||||||||||||||
Per-loan annual cost of servicing | $68 – $115 | $68 – $100 | $68 – $115 | $68 – $100 | ||||||||||||||||
($88) | ($99) | ($87) | ($99) | |||||||||||||||||
Effect on fair value of: | ||||||||||||||||||||
5% adverse change | ($2,925) | ($2,855) | ($2,817) | ($2,609) | ||||||||||||||||
10% adverse change | ($5,850) | ($5,711) | ($5,633) | ($5,217) | ||||||||||||||||
20% adverse change | ($11,701) | ($11,422) | ($11,266) | ($10,434) | ||||||||||||||||
(1) Pricing spread represents a margin that is applied to a reference interest rate’s forward curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs acquired as proceeds from the sale of mortgage loans and purchased MSRs not backed by pools of distressed mortgage loans. | ||||||||||||||||||||
(2) Prepayment speed is measured using Life Total CPR. | ||||||||||||||||||||
Mortgage loans held for sale at fair value | ' | |||||||||||||||||||
Fair Value | ' | |||||||||||||||||||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ' | |||||||||||||||||||
March 31, 2014 | December 31, 2013 | |||||||||||||||||||
Key inputs | Range | |||||||||||||||||||
(Weighted average) | ||||||||||||||||||||
Discount rate | 7.8% - 13.4% | 7.8% - 13.4% | ||||||||||||||||||
-9.20% | -8.90% | |||||||||||||||||||
Twelve-month projected housing price index change | 4.1% - 4.3% | 4.5% - 4.7% | ||||||||||||||||||
-4.20% | -4.60% | |||||||||||||||||||
Prepayment speed (1) | 2.3% - 5.8% | 1.6% - 5.1% | ||||||||||||||||||
-4.90% | -4.40% | |||||||||||||||||||
Total prepayment speed (2) | 4.6% - 5.8% | 2.9% - 5.2% | ||||||||||||||||||
-5.50% | -4.70% | |||||||||||||||||||
(1) Prepayment speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”). | ||||||||||||||||||||
(2) Total prepayment speed is measured using Life Total CPR. | ||||||||||||||||||||
Mortgage_Loans_Held_for_Sale_a1
Mortgage Loans Held for Sale at Fair Value (Tables) | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
Mortgage Loans Held for Sale at Fair Value | ' | |||||||
Summary of mortgage loans held for sale at fair value | ' | |||||||
March 31, | December 31, | |||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Government-insured or guaranteed | $ | 692,265 | $ | 482,066 | ||||
Conventional conforming | 21,226 | 45,005 | ||||||
Repurchased mortgage loans | 3,985 | 3,933 | ||||||
$ | 717,476 | $ | 531,004 | |||||
Fair value of mortgage loans pledged to secure mortgage loans sold under agreements to repurchase | $ | 694,028 | $ | 512,350 | ||||
Derivative_Financial_Instrumen1
Derivative Financial Instruments (Tables) | 3 Months Ended | |||||||||||||||||
Mar. 31, 2014 | ||||||||||||||||||
Derivative Financial Instruments | ' | |||||||||||||||||
Summary of derivative financial instruments | ' | |||||||||||||||||
March 31, 2014 | December 31, 2013 | |||||||||||||||||
Fair value | Fair value | |||||||||||||||||
Instrument | Notional | Derivative | Derivative | Notional | Derivative | Derivative | ||||||||||||
amount | assets | liabilities | amount | assets | liabilities | |||||||||||||
(in thousands) | ||||||||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||||
Free-standing derivatives: | ||||||||||||||||||
Interest rate lock commitments | 1,202,126 | $ | 16,333 | $ | 2,036 | 971,783 | $ | 8,964 | $ | 2,203 | ||||||||
Forward purchase contracts | 1,506,667 | 1,942 | 2,392 | 1,418,527 | 416 | 6,542 | ||||||||||||
Forward sales contracts | 2,829,176 | 5,008 | 2,327 | 2,659,000 | 18,762 | 504 | ||||||||||||
MBS put options | 175,000 | 434 | — | 185,000 | 665 | — | ||||||||||||
MBS call options | 160,000 | 328 | — | 105,000 | 91 | — | ||||||||||||
Put options on Eurodollar futures | 325,000 | 277 | — | — | — | |||||||||||||
Call options on Eurodollar futures | 100,000 | 62 | — | — | — | |||||||||||||
Total derivatives before netting | 24,384 | 6,755 | 28,898 | 9,249 | ||||||||||||||
Netting | (2,707 | ) | (4,600 | ) | (7,358 | ) | (6,787 | ) | ||||||||||
$ | 21,677 | $ | 2,155 | $ | 21,540 | $ | 2,462 | |||||||||||
Summary of the notional value activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans held for sale at fair value and MSRs | ' | |||||||||||||||||
Period/Instrument | Balance | Additions | Dispositions/ | Balance | ||||||||||||||
beginning | expirations | end of period | ||||||||||||||||
of period | ||||||||||||||||||
(in thousands) | ||||||||||||||||||
Quarter ended March 31, 2014 | ||||||||||||||||||
Forward purchase contracts | 1,418,527 | 6,899,388 | (6,811,248 | ) | 1,506,667 | |||||||||||||
Forward sales contracts | 2,659,000 | 10,540,119 | (10,369,943 | ) | 2,829,176 | |||||||||||||
MBS put options | 185,000 | 385,000 | (395,000 | ) | 175,000 | |||||||||||||
MBS call options | 105,000 | 395,000 | (340,000 | ) | 160,000 | |||||||||||||
Put options on Eurodollar futures | — | 325,000 | — | 325,000 | ||||||||||||||
Call options on Eurodollar futures | — | 175,000 | (75,000 | ) | 100,000 | |||||||||||||
Treasury future purchase contracts | — | 21,600 | (21,600 | ) | — | |||||||||||||
Treasury future sale contracts | — | 30,700 | (30,700 | ) | — | |||||||||||||
Period/Instrument | Balance | Additions | Dispositions/ | Balance | ||||||||||||||
beginning | expirations | end | ||||||||||||||||
of period | of period | |||||||||||||||||
(in thousands) | ||||||||||||||||||
Quarter ended March 31, 2013 | ||||||||||||||||||
Forward purchase contracts | 1,021,981 | 10,195,550 | (9,868,231 | ) | 1,349,300 | |||||||||||||
Forward sales contracts | 2,621,948 | 14,677,256 | (14,276,494 | ) | 3,022,710 | |||||||||||||
MBS put options | 500,000 | 965,000 | (1,140,000 | ) | 325,000 | |||||||||||||
MBS call options | — | 850,000 | (550,000 | ) | 300,000 | |||||||||||||
Mortgage_Servicing_Rights_Tabl
Mortgage Servicing Rights (Tables) | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
Mortgage Servicing Rights | ' | |||||||
Schedule of activity in MSRs carried at fair value | ' | |||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Balance at beginning of period | $ | 224,913 | $ | 19,798 | ||||
Additions: | ||||||||
Purchases | 25,866 | — | ||||||
MSRs resulting from loan sales | 6,933 | 3 | ||||||
32,799 | 3 | |||||||
Change in fair value: | ||||||||
Due to changes in valuation inputs or assumptions used in valuation model (1) | (2,956 | ) | (90 | ) | ||||
Other changes in fair value (2) | (7,772 | ) | (1,089 | ) | ||||
Total change in fair value | (10,728 | ) | (1,179 | ) | ||||
Balance at end of period | $ | 246,984 | $ | 18,622 | ||||
(1) Principally reflects changes in discount rates and prepayment speed assumptions, primarily due to changes in interest rates. | ||||||||
(2) Represents changes due to realization of cash flows. | ||||||||
Schedule of activity in MSRs carried at lower of amortized cost or fair value | ' | |||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Amortized cost: | ||||||||
Balance at beginning of period | $ | 263,373 | $ | 92,155 | ||||
Additions: | ||||||||
MSRs resulting from loan sales | 30,581 | 41,733 | ||||||
Amortization | (6,767 | ) | (3,095 | ) | ||||
Application of valuation allowance to write down MSRs with other-than-temporary impairment | — | — | ||||||
Balance at end of period | 287,187 | 130,793 | ||||||
Valuation allowance: | ||||||||
Balance at beginning of period | (4,622 | ) | (2,978 | ) | ||||
(Additions) reversals | (421 | ) | 555 | |||||
Application of valuation allowance to write down MSRs with other-than-temporary impairment | — | — | ||||||
Balance at end of period | (5,043 | ) | (2,423 | ) | ||||
MSRs, net | $ | 282,144 | $ | 128,370 | ||||
Estimated fair value of MSRs at end of period | $ | 291,535 | $ | 137,553 | ||||
Summary of estimate of future amortization of existing MSRs | ' | |||||||
Estimated MSR | ||||||||
Twelve month period ending March 31, | amortization | |||||||
(in thousands) | ||||||||
2015 | $ | 26,075 | ||||||
2016 | 25,705 | |||||||
2017 | 25,342 | |||||||
2018 | 24,525 | |||||||
2019 | 23,027 | |||||||
Thereafter | 162,513 | |||||||
$ | 287,187 | |||||||
Summary of servicing fees, late fees and ancillary and other fees relating to MSRs recorded on the consolidated statements of income | ' | |||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Contractual servicing fees | $ | 36,100 | $ | 9,057 | ||||
Ancillary and other fees | ||||||||
Late charges | 887 | 413 | ||||||
Other | 176 | 102 | ||||||
$ | 37,163 | $ | 9,572 | |||||
Carried_Interest_Due_from_Inve1
Carried Interest Due from Investment Funds (Tables) | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
Carried Interest Due from Investment Funds | ' | |||||||
Summary of activity in the Company's Carried interest due from Investment Funds | ' | |||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Balance at beginning of period | $ | 61,142 | $ | 47,723 | ||||
Carried Interest recognized during the period | 2,157 | 4,737 | ||||||
Proceeds received during the period | — | — | ||||||
Balance at end of period | $ | 63,299 | $ | 52,460 | ||||
Investment_in_PennyMac_Mortgag1
Investment in PennyMac Mortgage Investment Trust at Fair Value (Tables) | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
Investment in PennyMac Mortgage Investment Trust at Fair Value | ' | |||||||
Summary of change in fair value of investment in and dividends received from PennyMac Mortgage Investment Trust | ' | |||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Dividends | $ | 44 | $ | 43 | ||||
Change in fair value | 71 | 45 | ||||||
$ | 115 | $ | 88 | |||||
Fair value of PennyMac Mortgage Investment Trust shares at period end | $ | 1,793 | $ | 1,942 | ||||
Borrowings_Tables
Borrowings (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Borrowings | ' | ||||||||
Summary of financial data pertaining to mortgage loans sold under agreements to repurchase | ' | ||||||||
Quarter ended March 31, | |||||||||
2014 | 2013 | ||||||||
(dollar amounts in thousands) | |||||||||
Period end: | |||||||||
Balance | $ | 567,737 | $ | 180,049 | |||||
Unused amount (1) | $ | 432,263 | $ | 319,951 | |||||
Weighted-average interest rate | 1.76 | % | 2.21 | % | |||||
Fair value of loans securing agreements to repurchase | $ | 694,028 | $ | 197,693 | |||||
During the period: | |||||||||
Average balance of loans sold under agreements to repurchase | $ | 291,093 | $ | 275,061 | |||||
Weighted-average interest rate (2) | 1.78 | % | 2.26 | % | |||||
Total interest expense | $ | 2,329 | $ | 2,375 | |||||
Maximum daily amount outstanding | $ | 567,737 | $ | 479,860 | |||||
(1) The amount the Company is able to borrow under loan repurchase agreements is tied to the fair value of unencumbered mortgage loans eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the mortgage loans sold. | |||||||||
(2) Excludes the effect of amortization of commitment fees totaling $1.0 million and $819,000 for the quarters ended March 31, 2014 and 2013, respectively. | |||||||||
Summary of maturities of outstanding advances under repurchase agreements by maturity date | ' | ||||||||
Remaining maturity at March 31, 2014 | Balance | ||||||||
(in thousands) | |||||||||
Within 30 days | $ | 5,501 | |||||||
Over 30 to 90 days | 561,357 | ||||||||
Over 90 days | 879 | ||||||||
$ | 567,737 | ||||||||
Weighted-average maturity (in months) | 2.5 | ||||||||
Summary of amount at risk relating to the mortgage loans held for sale sold under agreements to repurchase by counterparty | ' | ||||||||
Counterparty | Amount at risk | Weighted-average | Facility maturity | ||||||
maturity of advances under | |||||||||
repurchase agreement | |||||||||
(in thousands) | |||||||||
Credit Suisse First Boston Mortgage Capital LLC | $ | 63,790 | June 20, 2014 | October 31, 2014 | |||||
Bank of America, N.A. | $ | 54,550 | June 19, 2014 | January 30, 2015 | |||||
Morgan Stanley | $ | 9,020 | May 18, 2014 | July 1, 2014 | |||||
Citibank, N.A. | $ | 24 | March 8, 2014 | July 24, 2014 | |||||
Summary of note payable | ' | ||||||||
March 31, | December 31, | ||||||||
2014 | 2013 | ||||||||
(in thousands) | |||||||||
Period end: | |||||||||
Note payable secured by: | |||||||||
Servicing advances | $ | — | $ | 3,852 | |||||
MSRs | 48,819 | 48,302 | |||||||
$ | 48,819 | $ | 52,154 | ||||||
Assets pledged to secure note payable: | |||||||||
Servicing advances | $ | — | $ | 5,564 | |||||
MSRs | $ | 272,115 | $ | 258,241 | |||||
Summary of roll forward of Excess Servicing Spread Financing | ' | ||||||||
Quarter ended | |||||||||
March 31, 2014 | |||||||||
(in thousands) | |||||||||
Balance at beginning of period | $ | 138,723 | |||||||
Proceeds from issuance of ESS | 20,526 | ||||||||
ESS issued pursuant to a recapture agreement with PennyMac Mortgage Investment Trust | 1,113 | ||||||||
Accrual of interest expense | 2,862 | ||||||||
Repayments | (7,413 | ) | |||||||
Change in fair value | (4,792 | ) | |||||||
Balance at end of period | $ | 151,019 | |||||||
Liability_for_Losses_Under_Rep1
Liability for Losses Under Representations and Warranties (Tables) | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
Liability for Losses Under Representations and Warranties | ' | |||||||
Summary of the entity's liability for representations and warranties | ' | |||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Balance at beginning of period | $ | 8,123 | $ | 3,504 | ||||
Provision for losses on loans sold | 851 | 1,244 | ||||||
Incurred losses | — | — | ||||||
Balance at end of period | $ | 8,974 | $ | 4,748 | ||||
UPB of mortgage loans subject to representations and warranties at period end | $ | 26,304,717 | $ | 14,586,623 | ||||
Summary of repurchase activity | ' | |||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
During the period: | ||||||||
UPB of mortgage loans repurchased | $ | 1,890 | $ | — | ||||
UPB of repurchased mortgage loans put to correspondent lenders | $ | 798 | $ | — | ||||
Period end: | ||||||||
UPB of mortgage loans subject to pending claims for repurchase | $ | 2,960 | $ | 1,038 | ||||
Net_Gains_on_Mortgage_Loans_He1
Net Gains on Mortgage Loans Held for Sale (Tables) | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
Net Gains on Mortgage Loans Held for Sale | ' | |||||||
Net Gains on Mortgage Loans Held for Sale | ' | |||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Cash gain (loss): | ||||||||
Sales proceeds | $ | 4,481 | $ | (11,823 | ) | |||
Hedging activities | (10,256 | ) | 17,621 | |||||
(5,775 | ) | 5,798 | ||||||
Non-cash gain: | ||||||||
Receipt of MSRs in loan sale transactions | 37,514 | 41,736 | ||||||
MSR recapture payable to PennyMac Mortgage Investment Trust | (1,898 | ) | (133 | ) | ||||
Provision for losses relating to representations and warranties on loans sold | (851 | ) | (1,244 | ) | ||||
Change in fair value relating to loans and hedging derivatives held at period end: | ||||||||
IRLCs | 7,536 | 1,497 | ||||||
Mortgage loans | 7,828 | (2,392 | ) | |||||
Hedging derivatives | (9,816 | ) | (5,305 | ) | ||||
$ | 34,538 | $ | 39,957 | |||||
Net_Interest_Expense_Tables
Net Interest Expense (Tables) | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
Net Interest Expense | ' | |||||||
Summary of net interest income (expense) | ' | |||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Interest income: | ||||||||
Short-term investment | $ | 201 | $ | 40 | ||||
Mortgage loans held for sale at fair value | 3,909 | 1,702 | ||||||
4,110 | 1,742 | |||||||
Interest expense: | ||||||||
Mortgage loans sold under agreements to repurchase | 2,329 | 2,375 | ||||||
Note payable | 659 | 737 | ||||||
Excess servicing spread financing at fair value | 2,862 | — | ||||||
Other | 536 | 218 | ||||||
6,386 | 3,330 | |||||||
Net interest expense | $ | (2,276 | ) | $ | (1,588 | ) | ||
Stockbased_Compensation_Tables
Stock-based Compensation (Tables) | 3 Months Ended | |||||
Mar. 31, 2014 | ||||||
Stock-based Compensation | ' | |||||
Summary of the stock-based compensation expense by instrument awarded | ' | |||||
Quarter ended | ||||||
March 31, 2014 | ||||||
(in thousands) | ||||||
Stock options | $ | 1,187 | ||||
Performance-based RSUs | 762 | |||||
Time-based RSUs | 436 | |||||
$ | 2,385 | |||||
Summary of equity award grant activity | ' | |||||
Quarter ended | Terms | |||||
March 31, 2014 | ||||||
(in thousands) | ||||||
Stock options | 747 | Service conditions vesting 1/3 annually for three years; 10 year expiration; $17.26 exercise price | ||||
Performance-based RSUs | 609 | Term vesting on December 31, 2016 based on performance and market conditions | ||||
Time-based RSUs | 97 | Service conditions vesting 1/3 annually for three years | ||||
1,453 | ||||||
Supplemental_Cash_Flow_Informa1
Supplemental Cash Flow Information (Tables) | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
Supplemental Cash Flow Information | ' | |||||||
Schedule of supplemental cash flow information | ' | |||||||
Quarter ended March 31, | ||||||||
2014 | 2013 | |||||||
(in thousands) | ||||||||
Cash paid for interest | $ | 6,223 | $ | 3,693 | ||||
Cash paid for income taxes | $ | 3 | $ | — | ||||
Non-cash investing activity: | ||||||||
Receipt of MSRs created in loan sales activities | $ | 37,514 | $ | 41,736 | ||||
Non-cash financing activity: | ||||||||
Settlement of stock subscription through partnership distribution | $ | — | $ | 4,113 | ||||
Transfer of ESS pursuant to recapture agreement with PMT | $ | 1,113 | $ | — | ||||
Regulatory_Net_Worth_and_Agenc1
Regulatory Net Worth and Agency Capital Requirements (Tables) | 3 Months Ended | |||||||||||||
Mar. 31, 2014 | ||||||||||||||
Regulatory Net Worth and Agency Capital Requirements | ' | |||||||||||||
Summary of agencies' capital requirements by each agency | ' | |||||||||||||
March 31, 2014 | December 31, 2013 | |||||||||||||
Requirement—company subject to requirement | Net worth (1) | Required | Net worth (1) | Required | ||||||||||
(in thousands) | ||||||||||||||
Fannie Mae—PLS | $ | 446,795 | $ | 84,829 | $ | 409,552 | $ | 83,148 | ||||||
Freddie Mac—PLS | $ | 447,059 | $ | 3,092 | $ | 409,860 | $ | 3,001 | ||||||
Ginnie Mae: | ||||||||||||||
Issuer—PLS | $ | 417,578 | $ | 100,358 | $ | 388,125 | $ | 102,619 | ||||||
Issuer’s parent—PennyMac | $ | 642,332 | $ | 110,394 | $ | 598,198 | $ | 112,881 | ||||||
HUD—PLS | $ | 417,578 | $ | 2,500 | $ | 388,125 | $ | 2,500 | ||||||
(1) Calculated in compliance with the respective Agency’s requirements. | ||||||||||||||
Commitments_and_Contingencies_
Commitments and Contingencies (Tables) | 3 Months Ended | ||||
Mar. 31, 2014 | |||||
Commitments and Contingencies. | ' | ||||
Schedule of commitments to fund and sell mortgage loans | ' | ||||
March 31, 2014 | |||||
(in thousands) | |||||
Commitments to purchase mortgage loans from PennyMac Mortgage Investment Trust | $ | 836,786 | |||
Commitments to fund mortgage loans | 365,340 | ||||
$ | 1,202,126 | ||||
Commitments to sell mortgage loans | $ | 2,829,176 | |||
Segments_and_Related_Informati1
Segments and Related Information (Tables) | 3 Months Ended | ||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||
Segments and Related Information | ' | ||||||||||||||||
Summary of financial highlights by segment | ' | ||||||||||||||||
Quarter ended March 31, 2014 | |||||||||||||||||
Mortgage banking | Investment | ||||||||||||||||
Production | Servicing | Total | management | Total | |||||||||||||
(in thousands) | |||||||||||||||||
Revenue | |||||||||||||||||
Net gains on mortgage loans held for sale at fair value | $ | 34,538 | $ | — | $ | 34,538 | $ | — | $ | 34,538 | |||||||
Loan origination fees | 6,880 | — | 6,880 | — | 6,880 | ||||||||||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 8,902 | — | 8,902 | — | 8,902 | ||||||||||||
Net servicing fees | — | 43,764 | 43,764 | — | 43,764 | ||||||||||||
Management fees | — | — | — | 10,109 | 10,109 | ||||||||||||
Carried Interest from Investment Funds | — | — | — | 2,157 | 2,157 | ||||||||||||
Net interest income (expense): | |||||||||||||||||
Interest income | 4,106 | — | 4,106 | 4 | 4,110 | ||||||||||||
Interest expense | 2,329 | 4,057 | 6,386 | — | 6,386 | ||||||||||||
1,777 | (4,057 | ) | (2,280 | ) | 4 | (2,276 | ) | ||||||||||
Other | 643 | 519 | 1,162 | 256 | 1,418 | ||||||||||||
Total net revenue | 52,740 | 40,226 | 92,966 | 12,526 | 105,492 | ||||||||||||
Expenses | 26,786 | 23,113 | 49,899 | 6,532 | 56,431 | ||||||||||||
Income before provision for income taxes | $ | 25,954 | $ | 17,113 | $ | 43,067 | $ | 5,994 | $ | 49,061 | |||||||
Segment assets at period end (1) | $ | 790,733 | $ | 807,252 | 1,597,985 | $ | 103,698 | $ | 1,701,683 | ||||||||
(1) Amount excludes parent Company assets, primarily deferred tax assets. | |||||||||||||||||
Quarter ended March 31, 2013 | |||||||||||||||||
Mortgage banking | Investment | ||||||||||||||||
Production | Servicing | Total | management | Total | |||||||||||||
(in thousands) | |||||||||||||||||
Revenue | |||||||||||||||||
Net gains on mortgage loans held for sale at fair value | $ | 39,957 | $ | — | $ | 39,957 | $ | — | $ | 39,957 | |||||||
Loan origination fees | 5,668 | — | 5,668 | — | 5,668 | ||||||||||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 28,244 | — | 28,244 | — | 28,244 | ||||||||||||
Net servicing fees | — | 16,042 | 16,042 | — | 16,042 | ||||||||||||
Management fees | — | — | — | 8,406 | 8,406 | ||||||||||||
Carried Interest from Investment Funds | — | — | — | 4,737 | 4,737 | ||||||||||||
Net interest (expense) income: | |||||||||||||||||
Interest income | 1,737 | — | 1,737 | 5 | 1,742 | ||||||||||||
Interest expense | 3,330 | — | 3,330 | — | 3,330 | ||||||||||||
(1,593 | ) | — | (1,593 | ) | 5 | (1,588 | ) | ||||||||||
Other | 326 | 81 | 407 | 495 | 902 | ||||||||||||
Total net revenue | 72,602 | 16,123 | 88,725 | 13,643 | 102,368 | ||||||||||||
Expenses | 28,992 | 13,743 | 42,735 | 4,340 | 47,075 | ||||||||||||
Income before provision for income taxes | $ | 43,610 | $ | 2,380 | $ | 45,990 | $ | 9,303 | $ | 55,293 | |||||||
Segment assets at period end | $ | 280,594 | $ | 288,304 | $ | 568,898 | $ | 124,029 | $ | 692,927 | |||||||
Organization_and_Basis_of_Pres2
Organization and Basis of Presentation (Details) (USD $) | 0 Months Ended | 3 Months Ended | 12 Months Ended | 0 Months Ended | 3 Months Ended | |
In Millions, except Per Share data, unless otherwise specified | 14-May-13 | Mar. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2013 | 14-May-13 | Mar. 31, 2014 |
Members' equity | Non-controlling Interest | Class A Common Stock | PCM | |||
item | ||||||
Organization and Basis of Presentation | ' | ' | ' | ' | ' | ' |
Number of investment funds with whom management has management agreement | ' | ' | ' | ' | ' | 3 |
Common stock sold in initial public offering (in shares) | ' | ' | ' | ' | 12.8 | ' |
Public offering price (in dollars per share) | ' | ' | ' | ' | $18 | ' |
Net proceeds from initial public offering, after deducting net underwriting discounts and commissions | ' | ' | ' | ' | $216.80 | ' |
Number of Class A common units purchased | ' | ' | ' | ' | 12.8 | ' |
Shares purchased accounted for as a transfer of interests under common control | ' | ' | ' | ' | 12.8 | ' |
Reclassification of members' equity to non-controlling interest | ' | ' | $315.50 | ($315.50) | ' | ' |
Tax benefits payable under tax receivable agreement (as a percent) | 85.00% | ' | ' | ' | ' | ' |
Amount of tax benefits under the tax sharing agreement (as a percent) | ' | 85.00% | ' | ' | ' | ' |
Organization_and_Basis_of_Pres3
Organization and Basis of Presentation (Details 2) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Net interest (expense) income: | ' | ' |
Interest income | $4,110 | $1,742 |
Interest expense | 6,386 | 3,330 |
Net interest expense | -2,276 | -1,588 |
As previously reported | ' | ' |
Net interest (expense) income: | ' | ' |
Interest income | ' | 1,742 |
Net interest expense | ' | 1,742 |
Reclassification | ' | ' |
Net interest (expense) income: | ' | ' |
Interest expense | ' | 3,330 |
Net interest expense | ' | ($3,330) |
Concentration_of_Risk_Details
Concentration of Risk (Details) (Total Revenues, Advised Entities) | 3 Months Ended | |
Mar. 31, 2014 | Mar. 31, 2013 | |
Total Revenues | Advised Entities | ' | ' |
Concentration of Risk | ' | ' |
Percentage of total net revenue | 35.00% | 50.00% |
Transactions_with_Affiliates_D
Transactions with Affiliates (Details) (USD $) | 3 Months Ended | 3 Months Ended | 3 Months Ended | 14 Months Ended | 3 Months Ended | |||||||||||||||||||||||||||
Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 | Mar. 31, 2014 | Mar. 31, 2013 | Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 | Mar. 31, 2014 | Mar. 31, 2013 | Mar. 31, 2014 | Mar. 31, 2013 | Mar. 31, 2014 | Mar. 31, 2013 | Mar. 31, 2014 | Mar. 31, 2013 | Mar. 31, 2014 | Mar. 31, 2013 | Mar. 31, 2014 | Mar. 31, 2014 | Aug. 04, 2009 | Mar. 31, 2014 | Mar. 31, 2014 | Mar. 31, 2013 | Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2012 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | |
PCM | PCM | PMT | PMT | PMT | PMT | PMT | PMT | PMT | PMT | PMT | PMT | PMT | PMT | PMT | PMT | PMT | PMT | PMT | PMT | PMT | Investment Funds | Investment Funds | Investment Funds | Investment Funds | PNMAC Mortgage Opportunity Fund, LLC | PNMAC Mortgage Opportunity Fund, LLC | PNMAC Mortgage Opportunity Fund Investors, LLC | PNMAC Mortgage Opportunity Fund Investors, LLC | ||||
item | Mortgage loans acquired for sale at fair value | Mortgage loans acquired for sale at fair value | Distressed mortgage loans | Distressed mortgage loans | MSRs | MSRs | Management Fees | Management Fees | Correspondent Lending | Correspondent Lending | Conditional Reimbursement | Conditional Reimbursement | Conditional Reimbursement | Conditional Reimbursement | Investment Activities | Investment Activities | ||||||||||||||||
Maximum | ||||||||||||||||||||||||||||||||
Management fees earned | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Base | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $5,521,000 | $4,364,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Performance incentive | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 2,553,000 | 2,128,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Management fees | 10,109,000 | 8,406,000 | ' | ' | ' | 8,074,000 | 6,492,000 | ' | ' | ' | ' | ' | ' | ' | 8,074,000 | 6,492,000 | ' | ' | ' | ' | ' | ' | ' | ' | 2,035,000 | 1,914,000 | ' | ' | ' | ' | ' | ' |
Multiplier for calculating the termination fee | ' | ' | ' | ' | ' | 3 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Period for calculating average annual fees | ' | ' | ' | ' | ' | '24 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Mortgage loan servicing fees earned | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Base and supplemental | ' | ' | ' | ' | ' | ' | ' | ' | 17,000 | 77,000 | 4,966,000 | 3,875,000 | 3,148,000 | 1,763,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Activity-based | ' | ' | ' | ' | ' | ' | ' | ' | 26,000 | 72,000 | 6,386,000 | 1,877,000 | 48,000 | 62,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Loan servicing fees | ' | ' | ' | ' | ' | 14,591,000 | 7,726,000 | ' | 43,000 | 149,000 | 11,352,000 | 5,752,000 | 3,196,000 | 1,825,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Lending activity between the entity and affiliate | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fulfillment fee revenue | 8,902,000 | 28,244,000 | ' | ' | ' | 8,902,000 | 28,244,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | 8,902,000 | 28,244,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
UPB of loans fulfilled for PennyMac Mortgage Investment Trust | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,919,578,000 | 4,786,826,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Sourcing fees paid | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 892,000 | 1,010,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fair value of loans purchased from PennyMac Mortgage Investment Trust | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 3,130,530,000 | 3,548,397,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Investment activity between the Company and affiliate | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Proceeds from issuance of excess servicing spread financing | 20,526,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 20,526,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest expense from excess servicing spread | 2,862,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 2,862,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Excess servicing spread recapture recognized | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,890,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
MSR recapture recognized | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 8,000 | 133,000 | ' | ' | ' | ' | ' | ' | ' | ' |
Conditional reimbursement | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 2,900,000 | 2,900,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Performance incentive fees reimbursement under the management agreement for every $100 of performance incentive fees earned | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 10 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Maximum performance incentive fees reimbursement within 12-month period | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Payments received | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 36,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Reimbursement of common overhead/expenses incurred on behalf of affiliates | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Reimbursement of common overhead/expenses incurred on behalf of affiliates | 3,023,000 | 3,964,000 | ' | 2,578,000 | 2,606,000 | 445,000 | 1,358,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Payments and settlements during the period | 18,386,000 | 33,362,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Amounts due from affiliate | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Servicing fees | ' | ' | ' | ' | ' | 8,222,000 | ' | 5,915,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Management fees | ' | ' | ' | ' | ' | 8,074,000 | ' | 8,924,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 2,035,000 | ' | 2,031,000 | ' | ' | ' | ' | ' |
Allocated expenses | ' | ' | ' | ' | ' | 2,764,000 | ' | 2,009,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Underwriting fees | ' | ' | ' | ' | ' | 1,752,000 | ' | 1,788,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Loan servicing fees | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 837,000 | ' | 727,000 | ' | ' | ' | ' | ' |
Loan servicing rebate | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 148,000 | ' | 136,000 | ' | ' | ' | ' | ' |
Expense reimbursements | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 42,000 | ' | 21,000 | ' | ' | ' | ' | ' |
Total due from affiliate | ' | ' | ' | ' | ' | 20,812,000 | ' | 18,636,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 3,062,000 | ' | 2,915,000 | ' | ' | ' | ' | ' |
Investment in affiliate, common shares of beneficial interest (in shares) | ' | ' | ' | ' | ' | 75,000 | ' | 75,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Investment in affiliates, at fair value | ' | ' | ' | ' | ' | 1,800,000 | ' | 1,700,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Carried Interest due from affiliates | 63,299,000 | ' | 61,142,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 63,299,000 | 52,460,000 | 61,142,000 | 47,723,000 | 38,838,000 | 37,702,000 | 24,461,000 | 23,440,000 |
Amounts due to affiliates | ' | ' | ' | ' | ' | 85,706,000 | ' | 81,174,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 37,106,000 | ' | 36,937,000 | ' | ' | ' | ' | ' |
Amount of tax benefits under the tax receivable agreement (as a percent) | 85.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Amount of tax liability under the tax sharing agreement | $71,700,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Earnings_Per_Share_of_Common_S2
Earnings Per Share of Common Stock (Details) (USD $) | 3 Months Ended |
In Thousands, except Per Share data, unless otherwise specified | Mar. 31, 2014 |
Basic earnings per share of common stock: | ' |
Net income attributable to PennyMac Financial Services, Inc common stockholders | $7,972 |
Weighted-average common stock outstanding | 20,866 |
Basic earnings per share of common stock (in dollars per share) | $0.38 |
Diluted earnings per share of common stock: | ' |
Net income | 7,972 |
Effect of net income attributable to noncontrolling interest, net of tax | 21,010 |
Diluted net income attributable to common stockholders | $28,982 |
Weighted-average common stock outstanding | 20,866 |
Dilutive shares: | ' |
PennyMac Class A units exchangeable to common stock | 55,051 |
Shares issuable under stock-based compensation plans (in shares) | 35 |
Diluted weighted-average common stock outstanding | 75,952 |
Diluted earnings per share of common stock (in dollars per share) | $0.38 |
Loan_Sales_and_Servicing_Activ2
Loan Sales and Servicing Activities (Details) (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 |
Cash flows : | ' | ' | ' |
Sales proceeds | $3,298,915 | $4,045,610 | ' |
Servicing fees received | 22,184 | 9,299 | ' |
Net servicing (advances) recoveries | -608 | -3,736 | ' |
Year-end information: | ' | ' | ' |
Unpaid principal balance (UPB) of loans outstanding at end of period | 26,289,208 | 12,485,598 | ' |
30-89 days | 362,131 | 119,433 | ' |
90 days or more or in foreclosure or bankruptcy | 176,608 | 36,566 | ' |
Mortgage servicing portfolio | ' | ' | ' |
Mortgage loans held for sale | 660,470 | ' | 506,540 |
Total loans serviced | 83,843,589 | ' | 78,167,439 |
Amount subserviced for the Company | 2,629,989 | ' | 738,957 |
Delinquent mortgage loans: | ' | ' | ' |
30 days | 1,118,272 | ' | 1,567,572 |
60 days | 521,924 | ' | 459,187 |
90 days or more | 2,423,312 | ' | 2,022,053 |
Total delinquent mortgage loans | 4,063,508 | ' | 4,048,812 |
Loans pending foreclosure | 2,049,043 | ' | 1,960,904 |
Total delinquent mortgage loans and loans pending foreclosure | 6,112,551 | ' | 6,009,716 |
Custodial funds managed by the Company | 936,019 | ' | 814,748 |
California | ' | ' | ' |
Mortgage servicing portfolio | ' | ' | ' |
Total loans serviced | 30,959,910 | ' | 30,320,616 |
Texas | ' | ' | ' |
Mortgage servicing portfolio | ' | ' | ' |
Total loans serviced | 4,801,408 | ' | 4,470,123 |
Virginia | ' | ' | ' |
Mortgage servicing portfolio | ' | ' | ' |
Total loans serviced | 4,300,935 | ' | 3,769,683 |
Florida | ' | ' | ' |
Mortgage servicing portfolio | ' | ' | ' |
Total loans serviced | 3,810,018 | ' | 3,416,274 |
Washington | ' | ' | ' |
Mortgage servicing portfolio | ' | ' | ' |
Total loans serviced | 3,096,898 | ' | 2,760,900 |
All other states | ' | ' | ' |
Mortgage servicing portfolio | ' | ' | ' |
Total loans serviced | 36,874,420 | ' | 33,429,843 |
Agencies | ' | ' | ' |
Mortgage servicing portfolio | ' | ' | ' |
Total loans serviced, excluding loans held for sale | 49,201,662 | ' | 44,969,026 |
Affiliated entities | ' | ' | ' |
Mortgage servicing portfolio | ' | ' | ' |
Total loans serviced, excluding loans held for sale | 33,072,540 | ' | 31,632,718 |
Private investors | ' | ' | ' |
Mortgage servicing portfolio | ' | ' | ' |
Total loans serviced, excluding loans held for sale | 908,917 | ' | 1,059,155 |
Servicing rights owned | ' | ' | ' |
Mortgage servicing portfolio | ' | ' | ' |
Mortgage loans held for sale | 660,470 | ' | 506,540 |
Total loans serviced | 50,770,113 | ' | 46,445,360 |
Amount subserviced for the Company | 2,214,554 | ' | 156,347 |
Delinquent mortgage loans: | ' | ' | ' |
30 days | 872,054 | ' | 1,304,054 |
60 days | 407,057 | ' | 346,912 |
90 days or more | 1,085,681 | ' | 605,555 |
Total delinquent mortgage loans | 2,364,792 | ' | 2,256,521 |
Loans pending foreclosure | 187,876 | ' | 168,776 |
Total delinquent mortgage loans and loans pending foreclosure | 2,552,668 | ' | 2,425,297 |
Custodial funds managed by the Company | 654,098 | ' | 568,161 |
Servicing rights owned | Agencies | ' | ' | ' |
Mortgage servicing portfolio | ' | ' | ' |
Total loans serviced, excluding loans held for sale | 49,201,662 | ' | 44,969,026 |
Servicing rights owned | Private investors | ' | ' | ' |
Mortgage servicing portfolio | ' | ' | ' |
Total loans serviced, excluding loans held for sale | 907,981 | ' | 969,794 |
Contract servicing and subservicing | ' | ' | ' |
Mortgage servicing portfolio | ' | ' | ' |
Total loans serviced | 33,073,476 | ' | 31,722,079 |
Amount subserviced for the Company | 415,435 | ' | 582,610 |
Delinquent mortgage loans: | ' | ' | ' |
30 days | 246,218 | ' | 263,518 |
60 days | 114,867 | ' | 112,275 |
90 days or more | 1,337,631 | ' | 1,416,498 |
Total delinquent mortgage loans | 1,698,716 | ' | 1,792,291 |
Loans pending foreclosure | 1,861,167 | ' | 1,792,128 |
Total delinquent mortgage loans and loans pending foreclosure | 3,559,883 | ' | 3,584,419 |
Custodial funds managed by the Company | 281,921 | ' | 246,587 |
Contract servicing and subservicing | Affiliated entities | ' | ' | ' |
Mortgage servicing portfolio | ' | ' | ' |
Total loans serviced, excluding loans held for sale | 33,072,540 | ' | 31,632,718 |
Contract servicing and subservicing | Private investors | ' | ' | ' |
Mortgage servicing portfolio | ' | ' | ' |
Total loans serviced, excluding loans held for sale | $936 | ' | $89,361 |
Netting_of_Financial_Instrumen2
Netting of Financial Instruments (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Derivatives subject to master netting arrangements: | ' | ' |
Gross amounts of recognized assets | $8,051 | $19,934 |
Gross amounts offset in the balance sheet | -2,707 | -7,358 |
Net amounts of assets presented in the balance sheet | 5,344 | 12,576 |
Total | ' | ' |
Gross amounts of recognized assets | 24,384 | 28,898 |
Net amounts of assets presented in the balance sheet | 21,677 | 21,540 |
Net amount | 21,677 | 21,540 |
Credit Suisse First Boston Mortgage Capital LLC | ' | ' |
Total | ' | ' |
Net amounts of assets presented in the balance sheet | 321 | 2,149 |
Net amount | 321 | 2,149 |
Bank of America, N.A. | ' | ' |
Total | ' | ' |
Net amounts of assets presented in the balance sheet | 880 | 1,680 |
Net amount | 880 | 1,680 |
Goldman Sachs | ' | ' |
Total | ' | ' |
Net amounts of assets presented in the balance sheet | 781 | 16 |
Net amount | 781 | 16 |
Morgan Stanley Bank, N.A. | ' | ' |
Total | ' | ' |
Net amounts of assets presented in the balance sheet | 157 | 1,704 |
Net amount | 157 | 1,704 |
Daiwa Capital Markets | ' | ' |
Total | ' | ' |
Net amounts of assets presented in the balance sheet | 494 | 1,190 |
Net amount | 494 | 1,190 |
Citibank, N.A. | ' | ' |
Total | ' | ' |
Net amounts of assets presented in the balance sheet | 1,330 | ' |
Net amount | 1,330 | ' |
Other | ' | ' |
Total | ' | ' |
Net amounts of assets presented in the balance sheet | 1,381 | 5,837 |
Net amount | 1,381 | 5,837 |
MBS put options | ' | ' |
Derivatives subject to master netting arrangements: | ' | ' |
Gross amounts of recognized assets | 434 | 665 |
MBS call options | ' | ' |
Derivatives subject to master netting arrangements: | ' | ' |
Gross amounts of recognized assets | 328 | 91 |
Forward contracts | Purchases | ' | ' |
Derivatives subject to master netting arrangements: | ' | ' |
Gross amounts of recognized assets | 1,942 | 416 |
Forward contracts | Sales | ' | ' |
Derivatives subject to master netting arrangements: | ' | ' |
Gross amounts of recognized assets | 5,008 | 18,762 |
IRLCs | ' | ' |
Derivatives not subject to master netting arrangements | ' | ' |
Gross amounts of recognized assets | 16,333 | 8,964 |
Total | ' | ' |
Net amounts of assets presented in the balance sheet | 16,333 | 8,964 |
Net amount | 16,333 | 8,964 |
Put options on Eurodollar futures | ' | ' |
Derivatives subject to master netting arrangements: | ' | ' |
Gross amounts of recognized assets | 277 | ' |
Call options on Eurodollar futures | ' | ' |
Derivatives subject to master netting arrangements: | ' | ' |
Gross amounts of recognized assets | $62 | ' |
Netting_of_Financial_Instrumen3
Netting of Financial Instruments (Details 2) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Derivatives: Subject to a master netting arrangement: | ' | ' |
Gross amounts of recognized liabilities | $4,719 | $7,046 |
Netting | -4,600 | -6,787 |
Net amounts of assets presented in the balance sheet | 119 | 259 |
Total derivatives | ' | ' |
Gross amounts of recognized liabilities | 6,755 | 9,249 |
Net amounts of liabilities presented in the consolidated balance sheet | 2,155 | 2,462 |
Total | ' | ' |
Gross amounts of recognized liabilities | 574,492 | 480,841 |
Gross amounts offset in the consolidated balance sheet | -4,600 | -6,787 |
Net amounts of liabilities presented in the consolidated balance sheet | 569,892 | 474,054 |
Gross amounts not offset in the balance sheet | ' | ' |
Financial instruments | -567,737 | -471,592 |
Net amount | 2,155 | 2,462 |
Credit Suisse First Boston Mortgage Capital LLC | ' | ' |
Total | ' | ' |
Net amounts of liabilities presented in the consolidated balance sheet | 246,998 | 198,888 |
Gross amounts not offset in the balance sheet | ' | ' |
Financial instruments | -246,998 | -198,888 |
Bank of America, N.A. | ' | ' |
Total | ' | ' |
Net amounts of liabilities presented in the consolidated balance sheet | 211,791 | 234,511 |
Gross amounts not offset in the balance sheet | ' | ' |
Financial instruments | -211,791 | -234,511 |
Morgan Stanley Bank, N.A. | ' | ' |
Total | ' | ' |
Net amounts of liabilities presented in the consolidated balance sheet | 108,676 | 38,193 |
Gross amounts not offset in the balance sheet | ' | ' |
Financial instruments | -108,676 | -38,193 |
Citibank, N.A. | ' | ' |
Total | ' | ' |
Net amounts of liabilities presented in the consolidated balance sheet | 272 | ' |
Gross amounts not offset in the balance sheet | ' | ' |
Financial instruments | -272 | ' |
Other | ' | ' |
Total | ' | ' |
Net amounts of liabilities presented in the consolidated balance sheet | 119 | 259 |
Gross amounts not offset in the balance sheet | ' | ' |
Net amount | 119 | 259 |
Mortgage loans | ' | ' |
Mortgage loans sold under agreements to repurchase | ' | ' |
Gross amounts of recognized liabilities | 567,737 | 471,592 |
Net amounts of liabilities presented in the consolidated balance sheet | 567,737 | 471,592 |
Forward contracts | Purchases | ' | ' |
Derivatives: Subject to a master netting arrangement: | ' | ' |
Gross amounts of recognized liabilities | 2,392 | 6,542 |
Forward contracts | Sales | ' | ' |
Derivatives: Subject to a master netting arrangement: | ' | ' |
Gross amounts of recognized liabilities | 2,327 | 504 |
IRLCs | ' | ' |
Derivatives not subject to a master netting arrangement | ' | ' |
Gross amounts of recognized liabilities | 2,036 | 2,203 |
Total | ' | ' |
Net amounts of liabilities presented in the consolidated balance sheet | 2,036 | 2,203 |
Gross amounts not offset in the balance sheet | ' | ' |
Net amount | $2,036 | $2,203 |
Fair_Value_Details
Fair Value (Details) (USD $) | 3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Mar. 31, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Mar. 31, 2014 |
PMT | PMT | PMT | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | Recurring basis | |||
Level 1 | Level 1 | Level 1 | Level 1 | Level 2 | Level 2 | Level 2 | Level 2 | Level 2 | Level 2 | Level 2 | Level 2 | Level 2 | Level 2 | Level 2 | Level 2 | Level 3 | Level 3 | Level 3 | Level 3 | Level 3 | Level 3 | Total | Total | Total | Total | Total | Total | Total | Total | Total | Total | Total | Total | Total | Total | Total | Total | ||||||
PMT | PMT | Forward contracts | Forward contracts | Forward contracts | Forward contracts | MBS put options | MBS put options | MBS call options | MBS call options | Put options on Eurodollar futures | Call options on Eurodollar futures | PMT | PMT | Interest rate lock commitments | Interest rate lock commitments | PMT | PMT | Interest rate lock commitments | Interest rate lock commitments | Forward contracts | Forward contracts | Forward contracts | Forward contracts | MBS put options | MBS put options | MBS call options | MBS call options | Put options on Eurodollar futures | Call options on Eurodollar futures | ||||||||||||||
Purchases | Purchases | Sales | Sales | Purchases | Purchases | Sales | Sales | ||||||||||||||||||||||||||||||||||||
Fair value | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest rate threshold used in determination of accounting for loans underlying mortgage servicing rights (as a percent) | 4.50% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Assets: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Short-term investments at fair value | $40,957 | $142,582 | ' | ' | ' | $40,957 | $142,582 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $40,957 | $142,582 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Mortgage loans held for sale at fair value | 717,476 | 531,004 | ' | ' | ' | ' | ' | ' | ' | 713,491 | 527,071 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 3,985 | 3,933 | ' | ' | ' | ' | 717,476 | 531,004 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Derivative assets: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Total derivative assets before netting | 24,384 | 28,898 | ' | ' | ' | ' | ' | ' | ' | 8,051 | 19,934 | 1,942 | 416 | 5,008 | 18,762 | 434 | 665 | 328 | 91 | 277 | 62 | 16,333 | 8,964 | ' | ' | 16,333 | 8,964 | 24,384 | 28,898 | ' | ' | 16,333 | 8,964 | 1,942 | 416 | 5,008 | 18,762 | 434 | 665 | 328 | 91 | 277 | 62 |
Netting | -2,707 | -7,358 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -2,707 | -7,358 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Total derivative assets | 21,677 | 21,540 | ' | ' | ' | ' | ' | ' | ' | 8,051 | 19,934 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 16,333 | 8,964 | ' | ' | ' | ' | 21,677 | 21,540 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Investment in PennyMac Mortgage Investment Trust | ' | ' | 1,793 | 1,722 | 1,942 | ' | ' | 1,793 | 1,722 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,793 | 1,722 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Mortgage servicing rights at fair value | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 246,984 | 224,913 | ' | ' | ' | ' | 246,984 | 224,913 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Total assets | ' | ' | ' | ' | ' | 42,750 | 144,304 | ' | ' | 721,542 | 547,005 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 267,302 | 237,810 | ' | ' | ' | ' | 1,028,887 | 921,761 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Derivative liabilities: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Excess servicing spread financing at fair value to affiliate | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 151,019 | 138,723 | ' | ' | ' | ' | 151,019 | 138,723 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Total derivative liabilities before netting | 6,755 | 9,249 | ' | ' | ' | ' | ' | ' | ' | 4,719 | 7,046 | 2,392 | 6,542 | 2,327 | 504 | ' | ' | ' | ' | ' | ' | 2,036 | 2,203 | ' | ' | 2,036 | 2,203 | 6,755 | 9,249 | ' | ' | 2,036 | 2,203 | 2,392 | 6,542 | 2,327 | 504 | ' | ' | ' | ' | ' | ' |
Netting | -4,600 | -6,787 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -4,600 | -6,787 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Total derivative liabilities | 2,155 | 2,462 | ' | ' | ' | ' | ' | ' | ' | 4,719 | 7,046 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 2,036 | 2,203 | ' | ' | ' | ' | 2,155 | 2,462 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Total liabilities | ' | ' | ' | ' | ' | ' | ' | ' | ' | $4,719 | $7,046 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $153,055 | $140,926 | ' | ' | ' | ' | $153,174 | $141,185 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fair_Value_Details_2
Fair Value (Details 2) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ' | ' |
Transfers in or out the levels | $0 | ' |
Recurring basis | ' | ' |
Roll forward of assets measured using Level 3 inputs on a recurring basis | ' | ' |
Balance at the beginning of the period | 235,607 | 43,749 |
Repurchases of mortgage loans subject to representations and warranties | ' | 4,612 |
Repayments | -14 | -13 |
Interest rate lock commitments issued, net | 36,438 | 33,649 |
Purchases | 25,866 | ' |
MSRs received as proceeds from mortgage loan sales | 6,933 | 3 |
Changes in fair value included in income arising from: | ' | ' |
Other factors | -5,309 | -1,398 |
Total changes in fair value included in income | -5,309 | -1,398 |
Transfers of interest rate lock commitments to mortgage loans held for sale | -34,255 | -32,056 |
Balance at the end of the period | 265,266 | 48,546 |
Recurring basis | Excess servicing spread financing | ' | ' |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ' | ' |
Balance at the beginning of the period | 138,723 | ' |
Proceeds from issuance of ESS | 20,526 | ' |
ESS issued pursuant to a recapture agreement with PennyMac Mortgage Investment Trust | 1,113 | ' |
Accrual of interest on excess servicing spread financing | 2,862 | ' |
Repayments | -7,413 | ' |
Changes in fair value included in income | -4,792 | ' |
Balance at the end of the period | 151,019 | ' |
Changes in fair value recognized during the period relating to liability still held at the end of the period | -4,792 | ' |
Recurring basis | Mortgage loans held for sale | ' | ' |
Roll forward of assets measured using Level 3 inputs on a recurring basis | ' | ' |
Balance at the beginning of the period | 3,933 | ' |
Repurchases of mortgage loans subject to representations and warranties | ' | 4,612 |
Repayments | -14 | -13 |
Changes in fair value included in income arising from: | ' | ' |
Other factors | 66 | -112 |
Total changes in fair value included in income | 66 | -112 |
Balance at the end of the period | 3,985 | 4,487 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | 66 | -112 |
Recurring basis | Net interest rate lock commitments | ' | ' |
Roll forward of assets measured using Level 3 inputs on a recurring basis | ' | ' |
Balance at the beginning of the period | 6,761 | 23,951 |
Interest rate lock commitments issued, net | 36,438 | 33,649 |
Changes in fair value included in income arising from: | ' | ' |
Other factors | 5,353 | -107 |
Total changes in fair value included in income | 5,353 | -107 |
Transfers of interest rate lock commitments to mortgage loans held for sale | -34,255 | -32,056 |
Balance at the end of the period | 14,297 | 25,437 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | 14,297 | 25,437 |
Recurring basis | Mortgage servicing rights | ' | ' |
Roll forward of assets measured using Level 3 inputs on a recurring basis | ' | ' |
Balance at the beginning of the period | 224,913 | 19,798 |
Purchases | 25,866 | ' |
MSRs received as proceeds from mortgage loan sales | 6,933 | 3 |
Changes in fair value included in income arising from: | ' | ' |
Other factors | -10,728 | -1,179 |
Total changes in fair value included in income | -10,728 | -1,179 |
Balance at the end of the period | 246,984 | 18,622 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | ($10,728) | ($1,179) |
Fair_Value_Details_3
Fair Value (Details 3) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ' | ' |
Total gains (losses) from changes in estimated fair values included in earnings | $39,174 | $24,982 |
PennyMac Mortgage Investment Trust | ' | ' |
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ' | ' |
Excess servicing spread financing at fair value to affiliate | 4,792 | ' |
Net gains on mortgage loans held for sale at fair value | ' | ' |
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ' | ' |
Total gains (losses) from changes in estimated fair values included in earnings | 49,902 | 26,161 |
Net servicing income | ' | ' |
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ' | ' |
Total gains (losses) from changes in estimated fair values included in earnings | -10,728 | -1,179 |
Net servicing income | PennyMac Mortgage Investment Trust | ' | ' |
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ' | ' |
Excess servicing spread financing at fair value to affiliate | 4,792 | ' |
Mortgage loans held for sale at fair value | ' | ' |
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ' | ' |
Total gains (losses) from changes in estimated fair values included in earnings | 49,902 | 26,161 |
Mortgage loans held for sale at fair value | Net gains on mortgage loans held for sale at fair value | ' | ' |
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ' | ' |
Total gains (losses) from changes in estimated fair values included in earnings | 49,902 | 26,161 |
Mortgage servicing rights at fair value | ' | ' |
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ' | ' |
Total gains (losses) from changes in estimated fair values included in earnings | -10,728 | -1,179 |
Mortgage servicing rights at fair value | Net servicing income | ' | ' |
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ' | ' |
Total gains (losses) from changes in estimated fair values included in earnings | ($10,728) | ($1,179) |
Fair_Value_Details_4
Fair Value (Details 4) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Fair value | ' | ' |
Total fair value | $717,476 | $531,004 |
Mortgage loans held for sale at fair value | ' | ' |
Fair value | ' | ' |
Current through 89 days delinquent | 714,558 | 524,665 |
Not in foreclosure | 2,108 | 5,567 |
In foreclosure | 810 | 772 |
Total fair value | 717,476 | 531,004 |
Principal amount due upon maturity | ' | ' |
Current through 89 days delinquent | 675,815 | 504,705 |
Not in foreclosure | 2,116 | 5,479 |
In foreclosure | 904 | 660 |
Total principal amount due upon maturity | 678,835 | 510,844 |
Difference | ' | ' |
Current through 89 days delinquent | 38,743 | 19,960 |
Not in foreclosure | -8 | 88 |
In foreclosure | -94 | 112 |
Total difference | $38,641 | $20,160 |
Fair_Value_Details_5
Fair Value (Details 5) (Nonrecurring basis, USD $) | 3 Months Ended | |||||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 |
Level 3 | Level 3 | Total | Total | |||
Financial statement items measured at fair value on a nonrecurring basis | ' | ' | ' | ' | ' | ' |
Mortgage servicing rights at lower of amortized cost or fair value | ' | ' | $69,160 | $136,690 | $69,160 | $136,690 |
Total assets | ' | ' | 69,160 | 136,690 | 69,160 | 136,690 |
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | ' | ' | ' | ' | ' | ' |
Mortgage servicing rights at lower of amortized cost or fair value | -421 | 555 | ' | ' | ' | ' |
Total gains on assets measured at estimated fair values on a nonrecurring basis | ($421) | $555 | ' | ' | ' | ' |
Fair_Value_Details_6
Fair Value (Details 6) (Level 3) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2014 | Dec. 31, 2013 | |
Mortgage loans held for sale at fair value | Minimum | ' | ' |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ' | ' |
Discount rate (as a percent) | 7.80% | 7.80% |
Twelve-month projected housing price index change (as a percent) | 4.10% | 4.50% |
Prepayment speed (as a percent) | 2.30% | 1.60% |
Total prepayment speed (as a percent) | 4.60% | 2.90% |
Mortgage loans held for sale at fair value | Maximum | ' | ' |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ' | ' |
Discount rate (as a percent) | 13.40% | 13.40% |
Twelve-month projected housing price index change (as a percent) | 4.30% | 4.70% |
Prepayment speed (as a percent) | 5.80% | 5.10% |
Total prepayment speed (as a percent) | 5.80% | 5.20% |
Mortgage loans held for sale at fair value | Weighted average | ' | ' |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ' | ' |
Discount rate (as a percent) | 9.20% | 8.90% |
Twelve-month projected housing price index change (as a percent) | 4.20% | 4.60% |
Prepayment speed (as a percent) | 4.90% | 4.40% |
Total prepayment speed (as a percent) | 5.50% | 4.70% |
IRLCs | Minimum | ' | ' |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ' | ' |
Pull-through rate (as a percent) | 60.80% | 62.10% |
MSR value expressed as: Servicing fee multiple | 1.9 | 2 |
MSR value expressed as: Percentage of UPB | 0.40% | 0.40% |
IRLCs | Maximum | ' | ' |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ' | ' |
Pull-through rate (as a percent) | 98.00% | 98.10% |
MSR value expressed as: Servicing fee multiple | 5.1 | 5 |
MSR value expressed as: Percentage of UPB | 2.40% | 2.40% |
IRLCs | Weighted average | ' | ' |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ' | ' |
Pull-through rate (as a percent) | 78.50% | 81.70% |
MSR value expressed as: Servicing fee multiple | 3.7 | 3.7 |
MSR value expressed as: Percentage of UPB | 1.00% | 0.90% |
Fair_Value_Details_7
Fair Value (Details 7) (MSRs, Initial recognition, Level 3, USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Fair value | ' | ' |
Key assumptions used in determining the fair value of MSRs at time of initial recognition | ' | ' |
Amount recognized | $6,933 | $3 |
UPB of underlying mortgage loans | 511,467 | 324 |
Weighted-average servicing fee rate (as a percent) | 0.32% | 0.25% |
Fair value | Minimum | ' | ' |
Key assumptions used in determining the fair value of MSRs at time of initial recognition | ' | ' |
Pricing spread (as a percent) | 8.50% | 8.60% |
Annual total prepayment speed (as a percent) | 7.90% | 11.30% |
Life | '2 years 8 months 12 days | '6 years 6 months |
Annual per-loan cost of servicing | 68 | 68 |
Fair value | Maximum | ' | ' |
Key assumptions used in determining the fair value of MSRs at time of initial recognition | ' | ' |
Pricing spread (as a percent) | 13.80% | 8.90% |
Annual total prepayment speed (as a percent) | 17.20% | 12.70% |
Life | '7 years 6 months | '6 years 8 months 12 days |
Annual per-loan cost of servicing | 100 | 68 |
Fair value | Weighted average | ' | ' |
Key assumptions used in determining the fair value of MSRs at time of initial recognition | ' | ' |
Pricing spread (as a percent) | 11.20% | 8.70% |
Annual total prepayment speed (as a percent) | 8.50% | 12.40% |
Life | '7 years 2 months 12 days | '6 years 6 months |
Annual per-loan cost of servicing | 97 | 68 |
Amortized cost | ' | ' |
Key assumptions used in determining the fair value of MSRs at time of initial recognition | ' | ' |
Amount recognized | 30,581 | 41,733 |
UPB of underlying mortgage loans | 2,623,599 | 3,856,356 |
Weighted-average servicing fee rate (as a percent) | 0.30% | 0.26% |
Amortized cost | Minimum | ' | ' |
Key assumptions used in determining the fair value of MSRs at time of initial recognition | ' | ' |
Pricing spread (as a percent) | 7.30% | 5.40% |
Annual total prepayment speed (as a percent) | 7.60% | 8.50% |
Life | '1 year 6 months | '2 years 10 months 24 days |
Annual per-loan cost of servicing | 68 | 68 |
Amortized cost | Maximum | ' | ' |
Key assumptions used in determining the fair value of MSRs at time of initial recognition | ' | ' |
Pricing spread (as a percent) | 14.80% | 12.50% |
Annual total prepayment speed (as a percent) | 45.30% | 16.50% |
Life | '7 years 6 months | '6 years 10 months 24 days |
Annual per-loan cost of servicing | 100 | 120 |
Amortized cost | Weighted average | ' | ' |
Key assumptions used in determining the fair value of MSRs at time of initial recognition | ' | ' |
Pricing spread (as a percent) | 10.50% | 8.50% |
Annual total prepayment speed (as a percent) | 8.10% | 8.80% |
Life | '7 years 1 month 6 days | '6 years 8 months 12 days |
Annual per-loan cost of servicing | $100 | $100 |
Fair_Value_Details_8
Fair Value (Details 8) (Level 3, USD $) | 3 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Dec. 31, 2013 |
ESS | ' | ' |
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | ' | ' |
UPB of underlying mortgage loans | $22,246,336 | $20,512,659 |
Average servicing fee rate (as a percent) | 0.32% | 0.32% |
Average excess servicing spread (as a percent) | 16.00% | 16.00% |
Minimum | ESS | ' | ' |
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | ' | ' |
Pricing spread (as a percent) | 1.70% | 2.80% |
Average life of ESS (in years) | '6 months | '10 months 24 days |
Prepayment speed of ESS (as a percent) | 7.70% | 7.70% |
Maximum | ESS | ' | ' |
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | ' | ' |
Pricing spread (as a percent) | 14.40% | 14.40% |
Average life of ESS (in years) | '7 years 3 months 18 days | '8 years |
Prepayment speed of ESS (as a percent) | 63.80% | 48.60% |
Weighted average | ESS | ' | ' |
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | ' | ' |
Pricing spread (as a percent) | 4.80% | 5.40% |
Average life of ESS (in years) | '5 years 8 months 12 days | '6 years 1 month 6 days |
Prepayment speed of ESS (as a percent) | 10.40% | 9.70% |
Purchased MSRs Backed by Distressed Mortgage Loans | Period end | Fair value | ' | ' |
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | ' | ' |
Carrying value | 10,896 | 10,129 |
UPB of underlying mortgage loans | 907,981 | 969,794 |
Weighted-average note interest rate (as a percent) | 5.79% | 5.80% |
Weighted-average servicing fee rate (as a percent) | 0.50% | 0.50% |
Effect on fair value of 5% adverse change | -229 | -251 |
Effect on fair value of 10% adverse change | -449 | -490 |
Effect on fair value of 20% adverse change | -864 | -937 |
Effect on fair value of 5% adverse change | -258 | -231 |
Effect on fair value of 10% adverse change | -511 | -456 |
Effect on fair value of 20% adverse change | -1,000 | -898 |
Effect on fair value of 5% adverse change | -211 | -197 |
Effect on fair value of 10% adverse change | -421 | -393 |
Effect on fair value of 20% adverse change | -842 | -787 |
Purchased MSRs Backed by Distressed Mortgage Loans | Period end | Fair value | Minimum | ' | ' |
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | ' | ' |
Discount rate (as a percent) | 12.10% | 15.30% |
Average life of MSRs (in years) | '5 years 1 month 6 days | '5 years |
Prepayment speed of MSRs (as a percent) | 11.30% | 11.40% |
Annual per-loan cost of servicing | 211 | 218 |
Purchased MSRs Backed by Distressed Mortgage Loans | Period end | Fair value | Maximum | ' | ' |
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | ' | ' |
Discount rate (as a percent) | 12.10% | 15.30% |
Average life of MSRs (in years) | '5 years 1 month 6 days | '5 years |
Prepayment speed of MSRs (as a percent) | 11.30% | 11.40% |
Annual per-loan cost of servicing | 211 | 218 |
Purchased MSRs Backed by Distressed Mortgage Loans | Period end | Fair value | Weighted average | ' | ' |
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | ' | ' |
Discount rate (as a percent) | 12.10% | 15.30% |
Average life of MSRs (in years) | '5 years 1 month 6 days | '5 years |
Prepayment speed of MSRs (as a percent) | 11.30% | 11.40% |
Annual per-loan cost of servicing | 211 | 218 |
All Other MSRs | Period end | Fair value | ' | ' |
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | ' | ' |
Carrying value | 236,088 | 214,784 |
UPB of underlying mortgage loans | 24,536,177 | 22,469,179 |
Weighted-average note interest rate (as a percent) | 4.44% | 4.48% |
Weighted-average servicing fee rate (as a percent) | 0.32% | 0.32% |
Effect on fair value of 5% adverse change | -3,844 | -3,551 |
Effect on fair value of 10% adverse change | -7,562 | -6,900 |
Effect on fair value of 20% adverse change | -14,647 | -13,305 |
Effect on fair value of 5% adverse change | -4,857 | -4,622 |
Effect on fair value of 10% adverse change | -9,538 | -9,073 |
Effect on fair value of 20% adverse change | -18,409 | -17,500 |
Effect on fair value of 5% adverse change | -2,925 | -2,817 |
Effect on fair value of 10% adverse change | -5,850 | -5,633 |
Effect on fair value of 20% adverse change | -11,701 | -11,266 |
All Other MSRs | Period end | Fair value | Minimum | ' | ' |
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | ' | ' |
Pricing spread (as a percent) | 2.90% | 2.90% |
Average life of MSRs (in years) | '1 month 6 days | '1 month 6 days |
Prepayment speed of MSRs (as a percent) | 7.70% | 7.80% |
Annual per-loan cost of servicing | 68 | 68 |
All Other MSRs | Period end | Fair value | Maximum | ' | ' |
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | ' | ' |
Pricing spread (as a percent) | 19.60% | 18.00% |
Average life of MSRs (in years) | '14 years 3 months 18 days | '14 years 4 months 24 days |
Prepayment speed of MSRs (as a percent) | 54.60% | 50.80% |
Annual per-loan cost of servicing | 115 | 115 |
All Other MSRs | Period end | Fair value | Weighted average | ' | ' |
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | ' | ' |
Pricing spread (as a percent) | 8.20% | 7.50% |
Average life of MSRs (in years) | '5 years 9 months 18 days | '6 years 2 months 12 days |
Prepayment speed of MSRs (as a percent) | 10.40% | 9.70% |
Annual per-loan cost of servicing | 88 | 87 |
All Other MSRs | Period end | Amortized cost | ' | ' |
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | ' | ' |
Carrying value | 282,144 | 258,751 |
UPB of underlying mortgage loans | 24,665,485 | 22,499,847 |
Weighted-average note interest rate (as a percent) | 3.70% | 3.65% |
Weighted-average servicing fee rate (as a percent) | 0.29% | 0.29% |
Effect on fair value of 5% adverse change | -6,448 | -5,312 |
Effect on fair value of 10% adverse change | -12,638 | -10,395 |
Effect on fair value of 20% adverse change | -24,298 | -20,039 |
Effect on fair value of 5% adverse change | -4,944 | -4,615 |
Effect on fair value of 10% adverse change | -9,747 | -9,097 |
Effect on fair value of 20% adverse change | -18,952 | -17,684 |
Effect on fair value of 5% adverse change | -2,855 | -2,609 |
Effect on fair value of 10% adverse change | -5,711 | -5,217 |
Effect on fair value of 20% adverse change | -11,422 | -10,434 |
All Other MSRs | Period end | Amortized cost | Minimum | ' | ' |
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | ' | ' |
Pricing spread (as a percent) | 6.30% | 6.30% |
Average life of MSRs (in years) | '1 year 7 months 6 days | '1 year 6 months |
Prepayment speed of MSRs (as a percent) | 7.60% | 7.60% |
Annual per-loan cost of servicing | 68 | 68 |
All Other MSRs | Period end | Amortized cost | Maximum | ' | ' |
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | ' | ' |
Pricing spread (as a percent) | 14.80% | 14.50% |
Average life of MSRs (in years) | '7 years 3 months 18 days | '7 years 3 months 18 days |
Prepayment speed of MSRs (as a percent) | 43.90% | 42.50% |
Annual per-loan cost of servicing | 100 | 100 |
All Other MSRs | Period end | Amortized cost | Weighted average | ' | ' |
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | ' | ' |
Pricing spread (as a percent) | 9.00% | 8.70% |
Average life of MSRs (in years) | '6 years 10 months 24 days | '7 years |
Prepayment speed of MSRs (as a percent) | 8.10% | 8.00% |
Annual per-loan cost of servicing | $99 | $99 |
Mortgage_Loans_Held_for_Sale_a2
Mortgage Loans Held for Sale at Fair Value (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Mortgage Loans Held for Sale at Fair Value | ' | ' |
Mortgage loans held for sale at fair value | $717,476 | $531,004 |
Fair value of mortgage loans pledged to secure mortgage loans sold under agreements to repurchase | 694,028 | 512,350 |
Government-insured or guaranteed | ' | ' |
Mortgage Loans Held for Sale at Fair Value | ' | ' |
Mortgage loans held for sale at fair value | 692,265 | 482,066 |
Conventional conforming | ' | ' |
Mortgage Loans Held for Sale at Fair Value | ' | ' |
Mortgage loans held for sale at fair value | 21,226 | 45,005 |
Repurchased mortgage loans | ' | ' |
Mortgage Loans Held for Sale at Fair Value | ' | ' |
Mortgage loans held for sale at fair value | $3,985 | $3,933 |
Derivative_Financial_Instrumen2
Derivative Financial Instruments (Details) (USD $) | 3 Months Ended | ||
Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 | |
Derivative assets, fair value | ' | ' | ' |
Total derivative assets before netting | $24,384,000 | ' | $28,898,000 |
Netting | -2,707,000 | ' | -7,358,000 |
Total derivative assets | 21,677,000 | ' | 21,540,000 |
Derivative liabilities, fair value | ' | ' | ' |
Total derivative liabilities before netting | 6,755,000 | ' | 9,249,000 |
Netting | -4,600,000 | ' | -6,787,000 |
Total derivative liabilities | 2,155,000 | ' | 2,462,000 |
Net gains on mortgage loans held for sale at fair value | ' | ' | ' |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ' | ' | ' |
Net gains (losses) on derivative financial instruments | -20,100,000 | 12,300,000 | ' |
Amortization, impairment and changes in estimated fair value of mortgage servicing rights | ' | ' | ' |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ' | ' | ' |
Net gains (losses) on derivative financial instruments | -431,000 | -1,300,000 | ' |
Not designated as hedging instrument | ' | ' | ' |
Derivative assets, fair value | ' | ' | ' |
Total derivative assets before netting | 24,384,000 | ' | 28,898,000 |
Netting | -2,707,000 | ' | -7,358,000 |
Total derivative assets | 21,677,000 | ' | 21,540,000 |
Derivative liabilities, fair value | ' | ' | ' |
Total derivative liabilities before netting | 6,755,000 | ' | 9,249,000 |
Netting | -4,600,000 | ' | -6,787,000 |
Total derivative liabilities | 2,155,000 | ' | 2,462,000 |
Not designated as hedging instrument | Interest rate lock commitments | ' | ' | ' |
Derivative Instruments | ' | ' | ' |
Notional amount | 1,202,126,000 | ' | 971,783,000 |
Derivative assets, fair value | ' | ' | ' |
Total derivative assets before netting | 16,333,000 | ' | 8,964,000 |
Derivative liabilities, fair value | ' | ' | ' |
Total derivative liabilities before netting | 2,036,000 | ' | 2,203,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ' | ' | ' |
Balance at beginning of period | ' | ' | 971,783,000 |
Balance end of period | 1,202,126,000 | ' | 971,783,000 |
Not designated as hedging instrument | Forward contracts | Purchases | ' | ' | ' |
Derivative Instruments | ' | ' | ' |
Notional amount | 1,506,667,000 | 1,349,300,000 | ' |
Derivative assets, fair value | ' | ' | ' |
Total derivative assets before netting | 1,942,000 | ' | 416,000 |
Derivative liabilities, fair value | ' | ' | ' |
Total derivative liabilities before netting | 2,392,000 | ' | 6,542,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ' | ' | ' |
Balance at beginning of period | 1,418,527,000 | 1,021,981,000 | ' |
Additions | 6,899,388,000 | 10,195,550,000 | ' |
Dispositions/expirations | -6,811,248,000 | -9,868,231,000 | ' |
Balance end of period | 1,506,667,000 | 1,349,300,000 | ' |
Not designated as hedging instrument | Forward contracts | Sales | ' | ' | ' |
Derivative Instruments | ' | ' | ' |
Notional amount | 2,829,176,000 | 3,022,710,000 | ' |
Derivative assets, fair value | ' | ' | ' |
Total derivative assets before netting | 5,008,000 | ' | 18,762,000 |
Derivative liabilities, fair value | ' | ' | ' |
Total derivative liabilities before netting | 2,327,000 | ' | 504,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ' | ' | ' |
Balance at beginning of period | 2,659,000,000 | 2,621,948,000 | ' |
Additions | 10,540,119,000 | 14,677,256,000 | ' |
Dispositions/expirations | -10,369,943,000 | -14,276,494,000 | ' |
Balance end of period | 2,829,176,000 | 3,022,710,000 | ' |
Not designated as hedging instrument | MBS put options | ' | ' | ' |
Derivative Instruments | ' | ' | ' |
Notional amount | 175,000,000 | 325,000,000 | ' |
Derivative assets, fair value | ' | ' | ' |
Total derivative assets before netting | 434,000 | ' | 665,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ' | ' | ' |
Balance at beginning of period | 185,000,000 | 500,000,000 | ' |
Additions | 385,000,000 | 965,000,000 | ' |
Dispositions/expirations | -395,000,000 | -1,140,000,000 | ' |
Balance end of period | 175,000,000 | 325,000,000 | ' |
Not designated as hedging instrument | MBS call options | ' | ' | ' |
Derivative Instruments | ' | ' | ' |
Notional amount | 160,000,000 | 300,000,000 | ' |
Derivative assets, fair value | ' | ' | ' |
Total derivative assets before netting | 328,000 | ' | 91,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ' | ' | ' |
Balance at beginning of period | 105,000,000 | ' | ' |
Additions | 395,000,000 | 850,000,000 | ' |
Dispositions/expirations | -340,000,000 | -550,000,000 | ' |
Balance end of period | 160,000,000 | 300,000,000 | ' |
Not designated as hedging instrument | Put options on Eurodollar futures | ' | ' | ' |
Derivative Instruments | ' | ' | ' |
Notional amount | 325,000,000 | ' | ' |
Derivative assets, fair value | ' | ' | ' |
Total derivative assets before netting | 277,000 | ' | ' |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ' | ' | ' |
Additions | 325,000,000 | ' | ' |
Balance end of period | 325,000,000 | ' | ' |
Not designated as hedging instrument | Call options on Eurodollar futures | ' | ' | ' |
Derivative Instruments | ' | ' | ' |
Notional amount | 100,000,000 | ' | ' |
Derivative assets, fair value | ' | ' | ' |
Total derivative assets before netting | 62,000 | ' | ' |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ' | ' | ' |
Additions | 175,000,000 | ' | ' |
Dispositions/expirations | -75,000,000 | ' | ' |
Balance end of period | 100,000,000 | ' | ' |
Not designated as hedging instrument | Treasury future | Purchases | ' | ' | ' |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ' | ' | ' |
Additions | 21,600,000 | ' | ' |
Dispositions/expirations | -21,600,000 | ' | ' |
Not designated as hedging instrument | Treasury future | Sales | ' | ' | ' |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ' | ' | ' |
Additions | 30,700,000 | ' | ' |
Dispositions/expirations | ($30,700,000) | ' | ' |
Mortgage_Servicing_Rights_Deta
Mortgage Servicing Rights (Details) (MSRs, USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
MSRs | ' | ' |
Activity in MSRs carried at fair value | ' | ' |
Balance at beginning of period | $224,913 | $19,798 |
Additions - Purchases | 25,866 | ' |
Additions - MSRs resulting from loan sales | 6,933 | 3 |
Additions | 32,799 | 3 |
Change in fair value: | ' | ' |
Due to changes in valuation inputs or assumptions used in valuation model | -2,956 | -90 |
Other changes in fair value | -7,772 | -1,089 |
Total change in fair value | -10,728 | -1,179 |
Balance at end of period | $246,984 | $18,622 |
Mortgage_Servicing_Rights_Deta1
Mortgage Servicing Rights (Details 2) (MSRs, USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
MSRs | ' | ' |
Amortized cost: | ' | ' |
Amortized cost at beginning of period | $263,373 | $92,155 |
MSRs resulting from loan sales | 30,581 | 41,733 |
Amortization | -6,767 | -3,095 |
Amortized cost at end of period | 287,187 | 130,793 |
Valuation allowance: | ' | ' |
Balance at beginning of period | -4,622 | -2,978 |
(Additions) reversals | -421 | 555 |
Balance at of period end | -5,043 | -2,423 |
Additional disclosures | ' | ' |
MSRs, net | 282,144 | 128,370 |
Estimated fair value of MSRs at of period end | 291,535 | 137,553 |
Estimated amortization | ' | ' |
2015 | 26,075 | ' |
2016 | 25,705 | ' |
2017 | 25,342 | ' |
2018 | 24,525 | ' |
2019 | 23,027 | ' |
Thereafter | 162,513 | ' |
Total | $287,187 | ' |
Mortgage_Servicing_Rights_Deta2
Mortgage Servicing Rights (Details 3) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Ancillary and other fees | ' | ' |
Other | $5,151 | $2,261 |
Net loan servicing fees | 43,764 | 16,042 |
MSRs | ' | ' |
Net servicing income | ' | ' |
Contractual servicing fees | 36,100 | 9,057 |
Ancillary and other fees | ' | ' |
Late charges | 887 | 413 |
Other | 176 | 102 |
Net loan servicing fees | $37,163 | $9,572 |
Carried_Interest_Due_from_Inve2
Carried Interest Due from Investment Funds (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Mar. 31, 2013 |
In Thousands, unless otherwise specified | Investment Funds | Investment Funds | ||
item | ||||
Activity in the carried interest | ' | ' | ' | ' |
Balance at beginning of period | $63,299 | $61,142 | $61,142 | $47,723 |
Carried Interest recognized during the period | ' | ' | 2,157 | 4,737 |
Balance at end of period | $63,299 | $61,142 | $63,299 | $52,460 |
Additional disclosures | ' | ' | ' | ' |
Number of times when agreement will be extended | ' | ' | 3 | ' |
Agreement extensions term | ' | ' | '1 year | ' |
Investment_in_PennyMac_Mortgag2
Investment in PennyMac Mortgage Investment Trust at Fair Value (Details) (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 |
Investment in PennyMac Mortgage Investment Trust at Fair Value | ' | ' | ' |
Change in fair value and dividends received | $1,418 | $902 | ' |
PMT | ' | ' | ' |
Investment in PennyMac Mortgage Investment Trust at Fair Value | ' | ' | ' |
Dividends | 44 | 43 | ' |
Change in fair value | 71 | 45 | ' |
Change in fair value and dividends received | 115 | 88 | ' |
Fair value of PennyMac Mortgage Investment Trust shares at period end | $1,793 | $1,942 | $1,722 |
Borrowings_Details
Borrowings (Details) (USD $) | 3 Months Ended | ||
Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 | |
item | |||
Mortgage loans sold under agreement to repurchase | ' | ' | ' |
Number of borrowing facilities | 5 | ' | ' |
Number of borrowing facilities that provide for sales of mortgage loans under agreements to repurchase | 4 | ' | ' |
Number of secured note payable borrowing facilities | 1 | ' | ' |
Period end: | ' | ' | ' |
Balance | $567,737,000 | ' | $471,592,000 |
Fair value of mortgage loans securing agreements to repurchase | 694,028,000 | ' | 512,350,000 |
During the period: | ' | ' | ' |
Amortization of commitment fees excluded from calculation of Weighted average interest rate | 1,213,000 | 1,145,000 | ' |
Loan Repo Facility | ' | ' | ' |
Period end: | ' | ' | ' |
Balance | 567,737,000 | 180,049,000 | ' |
Unused amount | 432,263,000 | 319,951,000 | ' |
Weighted average interest rate (as a percent) | 1.76% | 2.21% | ' |
Fair value of mortgage loans securing agreements to repurchase | 694,028,000 | 197,693,000 | ' |
During the period: | ' | ' | ' |
Average balance of mortgage loans sold under agreements to repurchase | 291,093,000 | 275,061,000 | ' |
Weighted-average interest rate (as a percent) | 1.78% | 2.26% | ' |
Total interest expense | 2,329,000 | 2,375,000 | ' |
Maximum daily amount outstanding | 567,737,000 | 479,860,000 | ' |
Amortization of commitment fees excluded from calculation of Weighted average interest rate | 1,000,000 | 819,000 | ' |
Weighted-average maturity | '2 months 15 days | ' | ' |
Deposit with loan repurchase agreement counterparties | 1,500,000 | ' | 1,500,000 |
Loan Repo Facility | Credit Suisse First Boston Mortgage Capital LLC | ' | ' | ' |
During the period: | ' | ' | ' |
Amount at risk | 63,790,000 | ' | ' |
Loan Repo Facility | Bank of America, N.A. | ' | ' | ' |
During the period: | ' | ' | ' |
Amount at risk | 54,550,000 | ' | ' |
Loan Repo Facility | Morgan Stanley | ' | ' | ' |
During the period: | ' | ' | ' |
Amount at risk | 9,020,000 | ' | ' |
Loan Repo Facility | Citibank | ' | ' | ' |
During the period: | ' | ' | ' |
Amount at risk | 24,000 | ' | ' |
Loan Repo Facility | Within 30 days | ' | ' | ' |
Period end: | ' | ' | ' |
Balance | 5,501,000 | ' | ' |
Loan Repo Facility | Over 30 to 90 days | ' | ' | ' |
Period end: | ' | ' | ' |
Balance | 561,357,000 | ' | ' |
Loan Repo Facility | Over 90 days | ' | ' | ' |
Period end: | ' | ' | ' |
Balance | $879,000 | ' | ' |
Loan Repo Facility | Overnight cost-of funds rate | ' | ' | ' |
Mortgage loans sold under agreement to repurchase | ' | ' | ' |
Number of borrowing facilities that provide for sales of mortgage loans under agreements to repurchase | 1 | ' | ' |
Loan Repo Facility | LIBOR | ' | ' | ' |
Mortgage loans sold under agreement to repurchase | ' | ' | ' |
Number of borrowing facilities that provide for sales of mortgage loans under agreements to repurchase | 3 | ' | ' |
Borrowings_Details_2
Borrowings (Details 2) (USD $) | 3 Months Ended | |
Mar. 31, 2014 | Dec. 31, 2013 | |
Period end: | ' | ' |
Note Payable | $48,819,000 | $52,154,000 |
Note Payable | ' | ' |
Period end: | ' | ' |
Note Payable | 48,819,000 | 52,154,000 |
Interest rate | 'lender's overnight cost of funds | ' |
Note Payable | Minimum | ' | ' |
Period end: | ' | ' |
Advance rate to secure note payable (as a percent) | 50.00% | ' |
Note Payable | Maximum | ' | ' |
Period end: | ' | ' |
Advance rate to secure note payable (as a percent) | 85.00% | ' |
Note Payable | Servicing advances | ' | ' |
Period end: | ' | ' |
Note Payable | ' | 3,852,000 |
Assets pledged to secure note payable | ' | 5,564,000 |
Advance amount to secure note payable | 17,000,000 | ' |
Note Payable | MSRs | ' | ' |
Period end: | ' | ' |
Note Payable | 48,819,000 | 48,302,000 |
Assets pledged to secure note payable | 272,115,000 | 258,241,000 |
Advance amount to secure note payable | $100,000,000 | ' |
Borrowings_Details_3
Borrowings (Details 3) (Excess servicing spread financing, Recurring basis, USD $) | 3 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2014 |
Excess servicing spread financing | Recurring basis | ' |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ' |
Balance at the beginning of the period | $138,723 |
Proceeds from issuance of ESS | 20,526 |
ESS issued pursuant to a recapture agreement with PennyMac Mortgage Investment Trust | 1,113 |
Accrual of interest expense | 2,862 |
Repayments | 7,413 |
Change in fair value | -4,792 |
Balance at the end of the period | $151,019 |
Liability_for_Losses_Under_Rep2
Liability for Losses Under Representations and Warranties (Details) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Liability for representations and warranties | ' | ' |
Balance at beginning of the period | $8,123 | $3,504 |
Provision for losses on loans sold | 851 | 1,244 |
Balance at end of period | 8,974 | 4,748 |
UPB of mortgage loans subject to representations and warranties | 26,304,717 | 14,586,623 |
During the period: | ' | ' |
UPB of mortgage loans repurchased | 1,890 | ' |
UPB of repurchased mortgage loans put to correspondent lenders | 798 | ' |
Period end: | ' | ' |
UPB of mortgage loans subject to pending claims for repurchase | $2,960 | $1,038 |
Stockholders_Equity_Details
Stockholders' Equity (Details) | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 |
Class A Common Stock | |||
Stockholders' Equity | ' | ' | ' |
Number of Class A units exchanged for PFSI Class A common stock (in shares) | ' | ' | 66,709 |
Noncontrolling interest in Private National Mortgage Acceptance Company, LLC (as a percent) | 72.49% | 72.57% | ' |
Net_Gains_on_Mortgage_Loans_He2
Net Gains on Mortgage Loans Held for Sale (Details) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Cash gain (loss): | ' | ' |
Sales proceeds | $4,481 | ($11,823) |
Hedging activities | -10,256 | 17,621 |
Cash gain (loss), net of effects of cash hedging, on sale of mortgage loans held for sale | -5,775 | 5,798 |
Non-cash gain: | ' | ' |
Receipt of MSRs in loan sale transactions | 37,514 | 41,736 |
MSR recapture payable to PennyMac Mortgage Investment Trust | -1,898 | -133 |
Provision for losses relating to representations and warranties on loans sold | -851 | -1,244 |
Change in fair value relating to loans and hedging derivatives held at period end: | ' | ' |
IRLCs | 7,536 | 1,497 |
Mortgage loans | 7,828 | -2,392 |
Hedging derivatives | -9,816 | -5,305 |
Net gains on mortgage loans held for sale at fair value | $34,538 | $39,957 |
Net_Interest_Expense_Details
Net Interest Expense (Details) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Interest income: | ' | ' |
Short-term investments | $201 | $40 |
Mortgage loans held for sale at fair value | 3,909 | 1,702 |
Interest income | 4,110 | 1,742 |
Interest expense: | ' | ' |
Mortgage loans sold under agreements to repurchase | 2,329 | 2,375 |
Note payable | 659 | 737 |
Excess servicing spread financing at fair value | 2,862 | ' |
Other | 536 | 218 |
Interest expense | 6,386 | 3,330 |
Net interest expense: | ($2,276) | ($1,588) |
Stockbased_Compensation_Detail
Stock-based Compensation (Details) (USD $) | 3 Months Ended |
In Thousands, except Share data, unless otherwise specified | Mar. 31, 2014 |
Stock-Based Compensation | ' |
Units available for future awards under 2013 Equity Incentive Plan (in units) | 16,700,000 |
Compensation expense recorded during the period (in dollars) | $2,385 |
Number of equity awards vested during the period | 0 |
Total equity awards granted (in shares) | 1,453,000 |
Stock Options | ' |
Stock-Based Compensation | ' |
Compensation expense recorded during the period (in dollars) | 1,187 |
Stock options granted (in shares) | 747,000 |
Percentage of the award vesting at each of the three anniversaries | 33.00% |
Vesting period | '3 years |
Expiration period | '10 years |
Stock option exercise price (in dollars per share) | $17.26 |
Performance-based RSUs | ' |
Stock-Based Compensation | ' |
Compensation expense recorded during the period (in dollars) | 762 |
RSUs granted (in units) | 609,000 |
Time-based RSUs | ' |
Stock-Based Compensation | ' |
Compensation expense recorded during the period (in dollars) | $436 |
RSUs granted (in units) | 97,000 |
Percentage of the award vesting at each of the three anniversaries | 33.00% |
Vesting period | '3 years |
Income_Taxes_Details
Income Taxes (Details) | 3 Months Ended |
Mar. 31, 2014 | |
Income Taxes | ' |
Effective tax rate (as a percent) | 11.30% |
Supplemental_Cash_Flow_Informa2
Supplemental Cash Flow Information (Details) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Supplemental Cash Flow Information | ' | ' |
Cash paid for interest | $6,223 | $3,693 |
Cash paid for income taxes | 3 | ' |
Non-cash investing activity: | ' | ' |
Receipt of MSRs created in loan sales activities | 37,514 | 41,736 |
Non-cash financing activity: | ' | ' |
Settlement of stock subscription through partnership distribution | ' | 4,113 |
Transfer of ESS pursuant to recapture agreement with PMT | ' | $1,113 |
Regulatory_Net_Worth_and_Agenc2
Regulatory Net Worth and Agency Capital Requirements (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Fannie Mae - PLS | ' | ' |
Regulatory Net Worth and Agency Capital Requirements | ' | ' |
Net worth | $446,795 | $409,552 |
Required | 84,829 | 83,148 |
Freddie Mac - PLS | ' | ' |
Regulatory Net Worth and Agency Capital Requirements | ' | ' |
Net worth | 447,059 | 409,860 |
Required | 3,092 | 3,001 |
Ginnie Mae - Issuer - PLS | ' | ' |
Regulatory Net Worth and Agency Capital Requirements | ' | ' |
Net worth | 417,578 | 388,125 |
Required | 100,358 | 102,619 |
Ginnie Mae - Issuer's parent - PennyMac | ' | ' |
Regulatory Net Worth and Agency Capital Requirements | ' | ' |
Net worth | 642,332 | 598,198 |
Required | 110,394 | 112,881 |
HUD - PLS | ' | ' |
Regulatory Net Worth and Agency Capital Requirements | ' | ' |
Net worth | 417,578 | 388,125 |
Required | $2,500 | $2,500 |
Commitments_and_Contingencies_1
Commitments and Contingencies (Details) (USD $) | Mar. 31, 2014 |
In Thousands, unless otherwise specified | |
Commitments and Contingencies. | ' |
Commitments to purchase mortgage loans from PennyMac Mortgage Investment Trust | $836,786 |
Commitments to fund mortgage loans | 365,340 |
Total commitments to purchase and fund mortgage loans | 1,202,126 |
Commitments to sell mortgage loans | $2,829,176 |
Segments_and_Related_Informati2
Segments and Related Information (Details) (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 |
item | |||
Segments and Related Information | ' | ' | ' |
Number of segments | 3 | ' | ' |
Revenues: | ' | ' | ' |
Net gains on mortgage loans held for sale at fair value | $34,538 | $39,957 | ' |
Loan origination fees | 6,880 | 5,668 | ' |
Fulfillment fees from affiliate | 8,902 | 28,244 | ' |
Net servicing fees | 43,764 | 16,042 | ' |
Management fees | 10,109 | 8,406 | ' |
Carried Interest from Investment Funds | 2,157 | 4,737 | ' |
Net interest (expense) income: | ' | ' | ' |
Interest income | 4,110 | 1,742 | ' |
Interest expense | 6,386 | 3,330 | ' |
Net interest expense: | -2,276 | -1,588 | ' |
Other | 1,418 | 902 | ' |
Total net revenue | 105,492 | 102,368 | ' |
Expenses | 56,431 | 47,075 | ' |
Income before provision for income taxes | 49,061 | 55,293 | ' |
Segment assets at period end | 1,760,545 | ' | 1,584,475 |
PennyMac Mortgage Investment Trust | ' | ' | ' |
Revenues: | ' | ' | ' |
Fulfillment fees from affiliate | 8,902 | 28,244 | ' |
Management fees | 8,074 | 6,492 | ' |
Net interest (expense) income: | ' | ' | ' |
Other | 115 | 88 | ' |
Investment Funds | ' | ' | ' |
Revenues: | ' | ' | ' |
Management fees | 2,035 | 1,914 | ' |
Carried Interest from Investment Funds | 2,157 | 4,737 | ' |
Mortgage banking | ' | ' | ' |
Segments and Related Information | ' | ' | ' |
Number of segments | 2 | ' | ' |
Operating segment | ' | ' | ' |
Net interest (expense) income: | ' | ' | ' |
Segment assets at period end | 1,701,683 | 692,927 | ' |
Operating segment | Investment management | ' | ' | ' |
Revenues: | ' | ' | ' |
Management fees | 10,109 | 8,406 | ' |
Net interest (expense) income: | ' | ' | ' |
Interest income | 4 | 5 | ' |
Net interest expense: | 4 | 5 | ' |
Other | 256 | 495 | ' |
Total net revenue | 12,526 | 13,643 | ' |
Expenses | 6,532 | 4,340 | ' |
Income before provision for income taxes | 5,994 | 9,303 | ' |
Segment assets at period end | 103,698 | 124,029 | ' |
Operating segment | Investment management | Investment Funds | ' | ' | ' |
Revenues: | ' | ' | ' |
Carried Interest from Investment Funds | 2,157 | 4,737 | ' |
Operating segment | Mortgage banking | ' | ' | ' |
Revenues: | ' | ' | ' |
Net gains on mortgage loans held for sale at fair value | 34,538 | 39,957 | ' |
Loan origination fees | 6,880 | 5,668 | ' |
Fulfillment fees from affiliate | 8,902 | 28,244 | ' |
Net servicing fees | 43,764 | 16,042 | ' |
Net interest (expense) income: | ' | ' | ' |
Interest income | 4,106 | 1,737 | ' |
Interest expense | 6,386 | 3,330 | ' |
Net interest expense: | -2,280 | -1,593 | ' |
Other | 1,162 | 407 | ' |
Total net revenue | 92,966 | 88,725 | ' |
Expenses | 49,899 | 42,735 | ' |
Income before provision for income taxes | 43,067 | 45,990 | ' |
Segment assets at period end | 1,597,985 | 568,898 | ' |
Operating segment | Mortgage banking Production | ' | ' | ' |
Revenues: | ' | ' | ' |
Net gains on mortgage loans held for sale at fair value | 34,538 | 39,957 | ' |
Loan origination fees | 6,880 | 5,668 | ' |
Net interest (expense) income: | ' | ' | ' |
Interest income | 4,106 | 1,737 | ' |
Interest expense | 2,329 | 3,330 | ' |
Net interest expense: | 1,777 | -1,593 | ' |
Other | 643 | 326 | ' |
Total net revenue | 52,740 | 72,602 | ' |
Expenses | 26,786 | 28,992 | ' |
Income before provision for income taxes | 25,954 | 43,610 | ' |
Segment assets at period end | 790,733 | 280,594 | ' |
Operating segment | Mortgage banking Production | PennyMac Mortgage Investment Trust | ' | ' | ' |
Revenues: | ' | ' | ' |
Fulfillment fees from affiliate | 8,902 | 28,244 | ' |
Operating segment | Mortgage banking Servicing | ' | ' | ' |
Revenues: | ' | ' | ' |
Net servicing fees | 43,764 | 16,042 | ' |
Net interest (expense) income: | ' | ' | ' |
Interest expense | 4,057 | ' | ' |
Net interest expense: | -4,057 | ' | ' |
Other | 519 | 81 | ' |
Total net revenue | 40,226 | 16,123 | ' |
Expenses | 23,113 | 13,743 | ' |
Income before provision for income taxes | 17,113 | 2,380 | ' |
Segment assets at period end | $807,252 | $288,304 | ' |
Subsequent_Events_Details
Subsequent Events (Details) (Subsequent Event, USD $) | Mar. 31, 2014 | Apr. 29, 2014 | Apr. 30, 2014 | Apr. 29, 2014 | Apr. 30, 2014 |
MSRs | PMT | PLS | Ginnie Mae | Ginnie Mae | |
CSFB | PLS | ||||
CSFB | |||||
Maximum | |||||
Subsequent Events | ' | ' | ' | ' | ' |
Contract to purchase mortgage servicing rights | ' | ' | ' | $3,500,000,000 | ' |
Investment in excess servicing spread associated with MSR portfolio | ' | 26,000,000 | ' | ' | ' |
Aggregate repurchase price of financing mortgage government loans before amendment of repurchase agreement | ' | ' | 300,000,000 | ' | ' |
Aggregate repurchase price of financing mortgage government loans | ' | ' | 800,000,000 | ' | 500,000,000 |
Aggregate sales price of private label MSRs backed by distressed mortgage loans with UPBs | $900,000,000 | ' | ' | ' | ' |