Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2015 | Nov. 04, 2015 | |
Entity Registrant Name | PENNYMAC FINANCIAL SERVICES, INC. | |
Entity Central Index Key | 1,568,669 | |
Document Type | 10-Q | |
Document Period End Date | Sep. 30, 2015 | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Entity Current Reporting Status | Yes | |
Entity Filer Category | Accelerated Filer | |
Document Fiscal Year Focus | 2,015 | |
Document Fiscal Period Focus | Q3 | |
Class A Common Stock | ||
Entity Common Stock, Shares Outstanding | 21,886,868 | |
Class B Common Stock | ||
Entity Common Stock, Shares Outstanding | 51 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
ASSETS | ||
Cash | $ 47,415 | $ 76,256 |
Short-term investments at fair value | 24,766 | 21,687 |
Mortgage loans held for sale at fair value (includes $1,420,782 and $976,772 pledged to secure mortgage loans sold under agreements to repurchase; and $255,134 and $148,133 pledged to secure mortgage loan participation and sale agreement) | 1,696,980 | 1,147,884 |
Derivative assets | 53,569 | 38,457 |
Servicing advances, net (includes $26,503 and $18,686 valuation allowance) | 252,172 | 228,630 |
Carried Interest due from Investment Funds | 70,196 | 67,298 |
Mortgage servicing rights (includes $669,667 and $325,383 at fair value; $619,840 and $392,254 pledged to secure note payable; and $418,573 and $191,166 subject to excess servicing spread financing) | 1,307,392 | 730,828 |
Furniture, fixtures, equipment and building improvements, net | 14,107 | 11,339 |
Capitalized software, net | 2,035 | 567 |
Deferred tax asset | 25,878 | 46,038 |
Loans eligible for repurchase | 97,455 | 72,539 |
Other | 53,435 | 37,419 |
Total assets | 3,815,322 | 2,506,686 |
LIABILITIES | ||
Mortgage loans sold under agreements to repurchase | 1,286,411 | 822,252 |
Mortgage loans participation and sale agreement | 247,410 | 143,568 |
Note payable | 406,990 | 146,855 |
Derivative liabilities | 4,632 | 6,513 |
Accounts payable and accrued expenses | 85,530 | 62,715 |
Mortgage servicing liabilities at fair value | 10,724 | 6,306 |
Liability for loans eligible for repurchase | 97,455 | 72,539 |
Liability for losses under representations and warranties | 18,478 | 13,259 |
Total liabilities | $ 2,826,015 | $ 1,699,420 |
Commitments and contingencies | ||
STOCKHOLDERS' EQUITY | ||
Additional paid-in capital | $ 169,297 | $ 162,720 |
Retained earnings | 85,699 | 51,242 |
Total stockholders' equity attributable to PennyMac Financial Services, Inc. common stockholders | 254,998 | 213,964 |
Noncontrolling interest in Private National Mortgage Acceptance Company, LLC | 734,309 | 593,302 |
Total stockholders' equity | 989,307 | 807,266 |
Total liabilities and stockholders' equity | 3,815,322 | 2,506,686 |
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 Investment Funds | $ 70,196 | $ 67,298 |
Receivable, from affiliates | 1,542 | 2,291 |
LIABILITIES | ||
Payable to affiliates | 30,211 | 35,908 |
PMT | ||
ASSETS | ||
Investment in PennyMac Mortgage Investment Trust at fair value | 1,160 | 1,582 |
Note receivable from PennyMac Mortgage Investment Trust—secured | 150,000 | |
Receivable, from affiliates | 17,220 | 23,871 |
LIABILITIES | ||
Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust | 418,573 | 191,166 |
Payable to affiliates | 147,326 | 123,315 |
Private National Mortgage Acceptance Company [Member] | ||
LIABILITIES | ||
Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | $ 72,275 | $ 75,024 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Mortgage loans held for sale, pledged to secure mortgage loans sold under agreements to repurchase at fair value | $ 1,420,782 | $ 976,772 |
Mortgage loans held for sale, pledged to secure mortgage loans participation and sale agreement at fair value | 255,134 | 148,133 |
Servicing advances, net, valuation allowance | 26,503 | 18,686 |
Mortgage servicing rights, at fair value | 669,667 | 325,383 |
Mortgage servicing rights, pledged to secure note payable | 619,840 | 392,254 |
Mortgage servicing rights, pledged to secure excess servicing spread financing | $ 418,573 | $ 191,166 |
Class A Common Stock | ||
Common stock, shares authorized | 200,000,000 | 200,000,000 |
Common stock, par value (in dollars per share) | $ 0.0001 | $ 0.0001 |
Common stock, shares issued | 21,842,868 | 21,577,686 |
Common stock, shares outstanding | 21,842,868 | 21,577,686 |
Class B Common Stock | ||
Common stock, shares authorized | 1,000 | 1,000 |
Common stock, par value (in dollars per share) | $ 0.0001 | $ 0.0001 |
Common stock, shares issued | 51 | 54 |
Common stock, shares outstanding | 0 | 54 |
CONSOLIDATED STATEMENTS OF INCO
CONSOLIDATED STATEMENTS OF INCOME - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Net gains (losses) on mortgage loans held for sale at fair value: | ||||
From non-affiliates | $ 85,744 | $ 50,276 | $ 247,822 | $ 128,942 |
Net gains (losses) on mortgage loans held for sale at fair value | 82,646 | 48,133 | 241,979 | 122,375 |
Loan origination fees | 29,448 | 11,823 | 70,551 | 29,048 |
Loan servicing fees | ||||
From non-affiliates and affiliates | 83,424 | 44,647 | 200,392 | 124,061 |
Ancillary and other fees | 10,096 | 6,620 | 33,131 | 16,609 |
Net servicing fees | 106,052 | 64,708 | 269,982 | 188,520 |
Amortization, impairment and change in fair value of mortgage servicing rights | (59,065) | (20,339) | (128,073) | (58,271) |
Change in fair value of excess servicing spread payable to PennyMac Mortgage Investment Trust | (48,794) | (10,800) | (117,399) | (33,879) |
Net loan servicing fees | 57,258 | 53,908 | 152,583 | 154,641 |
Management fees: | ||||
Management fees | 6,456 | 11,379 | 21,908 | 32,486 |
Carried Interest from Investment Funds | 2,898 | 5,893 | ||
Interest income: | ||||
From non-affiliates | 13,764 | 8,975 | 35,348 | 19,337 |
Interest income | 15,053 | 8,975 | 37,170 | 19,337 |
Interest expense: | ||||
To non-affiliates | 12,918 | 8,136 | 31,526 | 17,253 |
Interest expense | 20,944 | 11,713 | 49,122 | 26,831 |
Net interest expense: | (5,891) | (2,738) | (11,952) | (7,494) |
Change in fair value of investment in and dividends received from affiliate | 252 | 721 | 2,151 | 2,771 |
Other | 410 | 713 | 2,446 | 2,751 |
Total net revenue | 189,205 | 140,625 | 525,870 | 376,552 |
Expenses | ||||
Compensation | 74,129 | 48,375 | 202,695 | 138,232 |
Servicing | 16,770 | 13,914 | 55,108 | 28,698 |
Technology | 6,676 | 4,350 | 18,104 | 10,914 |
Professional services | 3,803 | 3,290 | 10,710 | 8,150 |
Loan origination | 4,314 | 2,537 | 12,813 | 5,952 |
Other | 9,590 | 5,467 | 24,480 | 14,806 |
Total expenses | 115,282 | 77,933 | 323,910 | 206,752 |
Income before provision for income taxes | 73,923 | 62,692 | 201,960 | 169,800 |
Provision for income taxes | 8,575 | 7,232 | 23,308 | 19,385 |
Net income | 65,348 | 55,460 | 178,652 | 150,415 |
Less: Net income attributable to noncontrolling interest | 52,668 | 44,971 | 144,195 | 122,336 |
Net income attributable to PennyMac Financial Services, Inc. common stockholders | $ 12,680 | $ 10,489 | $ 34,457 | $ 28,079 |
Earnings per common share | ||||
Basic (in dollars per share) | $ 0.58 | $ 0.49 | $ 1.59 | $ 1.33 |
Diluted (in dollars per share) | $ 0.58 | $ 0.49 | $ 1.58 | $ 1.32 |
Weighted-average common shares outstanding | ||||
Basic (in shares) | 21,810 | 21,432 | 21,702 | 21,149 |
Diluted (in shares) | 76,138 | 75,949 | 76,098 | 75,918 |
PMT | ||||
Net gains (losses) on mortgage loans held for sale at fair value: | ||||
Recapture payable to PennyMac Mortgage Investment Trust | $ (3,098) | $ (2,143) | $ (5,843) | $ (6,567) |
Fulfillment fees from PennyMac Mortgage Investment Trust | 17,553 | 15,497 | 45,752 | 36,832 |
Loan servicing fees | ||||
From non-affiliates and affiliates | 11,736 | 12,325 | 34,542 | 41,096 |
Management fees: | ||||
Management fees | 5,742 | 9,623 | 18,524 | 26,609 |
Interest income: | ||||
From PennyMac Mortgage Investment Trust | 1,289 | 1,822 | ||
Interest expense: | ||||
To PennyMac Mortgage Investment Trust | 8,026 | 3,577 | 17,596 | 9,578 |
Change in fair value of investment in and dividends received from affiliate | (158) | 8 | (295) | 20 |
Investment Funds | ||||
Loan servicing fees | ||||
From non-affiliates and affiliates | 796 | 1,116 | 1,917 | 6,754 |
Change in fair value of excess servicing spread payable to PennyMac Mortgage Investment Trust | 10,271 | 9,539 | 10,674 | 24,392 |
Management fees: | ||||
Management fees | 714 | 1,756 | 3,384 | 5,877 |
Carried Interest from Investment Funds | $ 1,483 | $ 1,902 | $ 2,898 | $ 5,893 |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) $ in Thousands | Class A Common Stock | Additional Paid-in Capital [Member] | Retained Earnings [Member] | Noncontrolling Interest [Member] | Total |
Balance at Dec. 31, 2013 | $ 2 | $ 153,000 | $ 14,400 | $ 461,802 | $ 629,204 |
Balance (in shares) at Dec. 31, 2013 | 20,813,000 | ||||
Changes in members' equity | |||||
Net income | 28,079 | 122,336 | 150,415 | ||
Stock and unit-based compensation | 2,086 | 5,393 | 7,479 | ||
Stock and unit-based compensation (in shares) | 32,000 | ||||
Distributions | (20,300) | (20,300) | |||
Issuance of common stock in settlement of director fees | 147 | 147 | |||
Issuance of common stock in settlement of directors' fees (in shares) | 9,000 | ||||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. | 6,572 | (6,572) | 6,572 | ||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. (in shares) | 671,736 | ||||
Tax effect of exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. | (496) | (496) | |||
Balance at Sep. 30, 2014 | $ 2 | 161,309 | 42,479 | 562,659 | 766,449 |
Balance (in shares) at Sep. 30, 2014 | 21,526,000 | ||||
Balance at Dec. 31, 2014 | $ 2 | 162,720 | 51,242 | 593,302 | 807,266 |
Balance (in shares) at Dec. 31, 2014 | 21,578,000 | ||||
Changes in members' equity | |||||
Net income | 34,457 | 144,195 | 178,652 | ||
Stock and unit-based compensation | 3,746 | 9,358 | 13,104 | ||
Stock and unit-based compensation (in shares) | 75,000 | ||||
Distributions | (9,627) | (9,627) | |||
Issuance of common stock in settlement of director fees | 223 | 223 | |||
Issuance of common stock in settlement of directors' fees (in shares) | 13,000 | ||||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. | 2,919 | (2,919) | 2,919 | ||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. (in shares) | 177,218 | ||||
Tax effect of exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. | (311) | (311) | |||
Balance at Sep. 30, 2015 | $ 2 | $ 169,297 | $ 85,699 | $ 734,309 | $ 989,307 |
Balance (in shares) at Sep. 30, 2015 | 21,843,000 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2015 | Sep. 30, 2014 | |
Cash flow from operating activities | ||
Net income | $ 178,652 | $ 150,415 |
Adjustments to reconcile net income to net cash used in operating activities: | ||
Net gains on mortgage loans held for sale at fair value | (241,979) | (122,375) |
Amortization, impairment and change in fair value of mortgage servicing rights and excess servicing spread | 117,399 | 33,879 |
Carried Interest from Investment Funds | (2,898) | (5,893) |
Accrual of interest on excess servicing spread financing | (17,596) | (9,578) |
Amortization of debt issuance costs and commitment fees relating to financing facilities | 5,688 | 4,217 |
Stock and unit-based compensation expense | 13,104 | 7,479 |
Provision for servicing advance losses | 23,538 | 8,519 |
Depreciation and amortization | 1,585 | 972 |
Originations of mortgage loans held for sale, net | (3,106,147) | (1,261,747) |
Purchase of mortgage loans from Ginnie Mae securities for modification and subsequent sale | (989,009) | (897,381) |
Capitalization of interest on mortgage loans held for sale at fair value | 11,703 | |
Sale and principal payments of mortgage loans held for sale | 28,346,871 | 13,362,317 |
Repurchase of mortgage loans subject to representations and warranties | (17,112) | (1,757) |
Increase in servicing advances | (47,080) | (54,850) |
Decrease in deferred tax asset | 21,399 | 14,670 |
Decrease in payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | (4,299) | |
Increase in other assets | (23,113) | (38,806) |
Increase in accounts payable and accrued expenses | (22,280) | (16,359) |
Net cash used in operating activities | (519,157) | (695,080) |
Cash flow from investing activities | ||
Decrease (increase) in short-term investments | (3,079) | 106,247 |
Advance on note receivable from PennyMac Mortgage Investment Trust—secured | (168,546) | |
Repayment of note receivable from PennyMac Mortgage Investment Trust—secured | 18,546 | |
Purchase of mortgage servicing rights | (379,264) | (113,348) |
Sale of mortgage servicing rights | 10,916 | |
Settlements of derivative financial instruments used for hedging | 3,678 | (3,048) |
Purchase of furniture, fixtures, equipment and building improvements | (5,716) | (4,006) |
Acquisition of capitalized software | (1,745) | (56) |
(Increase) decrease in margin deposits and restricted cash | 5,331 | (1,620) |
Net cash provided by (used in) investing activities | (538,151) | 1,181 |
Cash flow from financing activities | ||
Sale of loans under agreements to repurchase | 25,947,385 | 12,500,064 |
Repurchase of loans sold under agreements to repurchase | (25,482,890) | (12,041,909) |
Issuance of mortgage loan participation certificates | (13,265,896) | (180,062) |
Repayment of mortgage loan participation certificates | (13,162,123) | (37,679) |
Borrowings on note payable | 289,556 | 102,794 |
Repayments of note payable | (29,411) | |
Issuance of excess servicing spread | (271,452) | (82,646) |
Repayment of excess servicing spread financing to PennyMac Mortgage Investment Trust | (55,800) | (25,280) |
Distributions to Private National Mortgage Acceptance Company, LLC partners | (9,627) | (20,187) |
Repayment of leases payable | 6 | |
Payment of debt issuance costs | (5,965) | |
Net cash provided by financing activities | 1,028,467 | 740,511 |
Net increase in cash | (28,841) | 46,612 |
Cash at beginning of period | 76,256 | 30,639 |
Cash at end of period | 47,415 | 77,251 |
Investment Funds | ||
Adjustments to reconcile net income to net cash used in operating activities: | ||
Accrual of servicing rebate to Investment Funds | (1,193) | (681) |
Amortization, impairment and change in fair value of mortgage servicing rights and excess servicing spread | (10,674) | (24,392) |
Carried Interest from Investment Funds | (2,898) | (5,893) |
Decrease (increase) in receivable from affiliates | (444) | (468) |
Increase (decrease) in payable to affiliate | (5,697) | (1,063) |
PMT | ||
Adjustments to reconcile net income to net cash used in operating activities: | ||
Change in fair value of investment in common shares of PennyMac Mortgage Investment Trust | 422 | 115 |
Purchase of mortgage loans held for sale from PennyMac Mortgage Investment Trust | (24,877,077) | (11,947,251) |
Sale of mortgage loans held for sale to Penny Mac Mortgage Investment Trust | 13,708 | 4,955 |
Repurchase of mortgage loans by affiliate | 12,379 | |
Decrease (increase) in receivable from affiliates | 8,889 | (781) |
Increase (decrease) in payable to affiliate | $ 22,698 | $ 23,136 |
Organization and Basis of Prese
Organization and Basis of Presentation | 9 Months Ended |
Sep. 30, 2015 | |
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 consolidates the financial results of PennyMac and its 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 loan production (including correspondent production and consumer direct lending) and mortgage 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, PNMAC Mortgage Opportunity Fund, LLC and PNMAC Mortgage Opportunity Fund, L.P., both registered under the Investment Company Act of 1940, as amended, an affiliate of these funds, 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 and a lender/servicer with the Veterans Administration and U.S. Department of Agriculture. We refer to each of Fannie Mae, Freddie Mac and Ginnie Mae as an “Agency” and collectively the “Agencies . ” · PNMAC Opportunity Fund Associates, LLC (“PMOFA”) —a Delaware limited liability company and the general partner of PNMAC Mortgage Opportunity Fund, L.P. PMOFA is entitled to incentive fees representing allocations of profits (“Carried Interest”) from PNMAC Mortgage Opportunity Fund, L.P.. The accompanying consolidated financial statements have been prepared in compliance with accounting principles generally accepted in the United States (“GAAP”) as codified in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification 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 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, 2014. The accompanying unaudited consolidated financial statements reflect all normal recurring adjustments necessary to present fairly the financial position, income, 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, 2015. Intercompany accounts and transactions have been eliminated. Preparation of financial statements in compliance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements, and revenues and expenses during the reporting period. Actual results will likely differ from those estimates. Reclassification of previously presented balances In April of 2015, the FASB issued Accounting Standards Update (“ASU”) No. 2015-03, Interest Imputation of Interest (Subtopic 835-30): Simplifying the Presentation of Debt Issuance Costs (“ASU 2015-03”). The amendments in this ASU require that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability . ASU 2015-03 specifies that its adoption be made on a retrospective basis. Accordingly, the Company has reclassified its debt issuance costs from Other assets as previously presented to Mortgage loans sold under agreements to repurchase and Mortgage loan participation and sale agreement to conform its December 31, 2014 balance sheet to the current presentation . The adoption of ASU 2015-03 did not result in changes to the Company’s previously presented consolidated statements of income or consolidated statements of cash flows. Following is a summary of the balance sheet reclassifications: December 31, 2014 As reported As previously reported Reclassification (in thousands) Assets: Other $ $ $ Total assets $ $ $ Liabilities: Mortgage loans sold under agreements to repurchase $ $ $ Mortgage loan participation and sale agreement $ $ $ Total liabilities $ $ $ Total liabilities and stockholders' equity $ $ $ |
Concentration of Risk
Concentration of Risk | 9 Months Ended |
Sep. 30, 2015 | |
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 (generally comprised of fulfillment fees, loan servicing fees, management fees and Carried Interest) totaled 20% and 33% of total net revenue for the quarters ended September 30, 2015 and 2014, respectively, and 18% and 35% for the nine months ended September 30, 2015 and 2014, respectively. |
Transactions with Affiliates
Transactions with Affiliates | 9 Months Ended |
Sep. 30, 2015 | |
Transactions with Affiliates | |
Transactions with Affiliates | Note 3—Transactions with Affiliates Transactions with PMT Correspondent Production Activities Following is a summary of mortgage lending and sourcing activity between the Company and PMT: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Fulfillment fee revenue $ $ $ $ Unpaid principal balance of loans fulfilled for PennyMac Mortgage Investment Trust $ $ $ $ Sourcing fees paid $ $ $ $ Unpaid principal balance of loans purchased from PennyMac Mortgage Investment Trust $ $ $ $ Proceeds from sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust $ $ $ $ Tax service fee receivable from PennyMac Mortgage Investment Trust $ $ $ $ Mortgage servicing rights recapture recognized $ $ — $ $ Mortgage Loan Servicing Activities Following is a summary of mortgage loan servicing fees earned from PMT: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Loan servicing fees relating to PennyMac Mortgage Investment Trust: Mortgage loans acquired for sale at fair value: Base and supplemental $ $ $ $ Activity-based Mortgage loans at fair value: Base and supplemental Activity-based Mortgage loans held in a variable interest entity by PennyMac Mortgage Investment Trust: Base and supplemental Activity-based — — — — Mortgage servicing rights: Base and supplemental Activity-based $ $ $ $ Management Activitie s Following is a summary of the management fees earned from PMT: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Management fees: Base $ $ $ $ Performance incentive — $ $ $ $ Investing and Financing Activities Following is a summary of investing and financing activity between the Company and PMT: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Financing activities: Excess servicing spread financing: Issuance $ $ $ $ Repayment $ $ $ $ Change in fair value (gain) loss $ $ $ $ Interest expense $ $ $ $ Recapture recognized $ $ $ $ Investing activities: Note receivable from PennyMac Mortgage Investment Trust—secured: Advances $ $ — $ $ — Repayment $ — $ — $ $ — Interest income $ $ — $ $ — T he Company is a party to a Third Amended and Restated Loan and Security Agreement, dated as of March 27, 2015, pursuant to which it finance s certain of its mortgage servicing rights (“ MSRs ”) and servicing advance receivables with Credit Suisse First Boston Mortgage Capital LLC (“CSFB”) (the “Loan and Security Agreement”). On April 30, 2015, the Company amended and restated the Loan and Security Agreement to increase t he maximum loan amount thereunder to $407 million , a $150 million increase for the purpose of facilitating the financing of the related excess servicing spre ad (“ESS”) by PMT. In connection with the Loan and Security Agreement, the Company and PMT entered into an underlying loan and security agreement, dated as of April 30, 2015, pursuant to which PMT may borrow up to $150 million from the Company for the purpose of financing ESS. The principal amount of the borrowings under the Loan and Security Agreement i s based upon a percentage of the fair value of the ESS pledged by PMT, subject to the $150 million sublimit described above. Pursuant to the underlying loan and security agreement, PMT granted to the Company a security interest in all of its right, title and interest in, to and under the ESS pledged to secure loans. The portion of the loan amount outstanding under the Loan and Security Agreement and relating to advances outstanding with PMT under the underlying loan and security agreement is guaranteed in full by PMT. The Company and PMT have agreed that PMT i s required to repay the Company the principal amount of such borrowings plus accrued interest to the date of such repayment, and the Company is required to repay CSFB the corresponding amount under the Lo an and Security Agreement. Interest accrues under the underlying loan and security agreement at a rate based on CSFB’s cost of funds. PMT was also required to pay the Company a fee for the structuring of the Loan and Security Agreement in an amount equal to the portion of the corresponding fee paid by the Company to CSFB under the Loan and Security Agreement and allocable to the $150.0 million relating to the ESS financing. As of September 30, 2015, $ 150.0 million of principal was outstanding and included in Note receivable from PennyMac Mortgage Investment Trust secured on the accompanying consolidated balance sheet s . Other Transactions In connection with PMT’s initial public offering of common shares on August 4, 2009 (“IPO”), PMT conditionally agreed to reimburse the Company up to $2.9 million for underwriting fees paid to the IPO underwriters by the Company on PMT’s behalf . The Company received reimbursement payments from PMT totaling $7,000 and $237,000 for the quarter and nine months ended September 30, 2015, respectively, and $256,000 and $292,000 during the quarter and nine months ended September 30, 2014, respectively. 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 September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Reimbursement of: Common overhead incurred by the Company (1) $ $ $ $ Expenses incurred on PMT's behalf $ $ $ $ Payments and settlements during the period (2) $ $ $ $ (1) During the quarter and nine month periods ended September 30, 2015, in accordance with the terms of its management agreement with PMT, the Company provided PMT with discretionary waiver s of $900,000 and $1.6 million, respectively, of overhead expenses otherwise allocable to PMT. (2) Payments and settlements include payments for correspondent production activities, loan servicing activities , management activities , investment activities and financing 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: September 30, December 31, 2015 2014 (in thousands) Management fees $ $ Allocated expenses Fulfillment fees Servicing fees Conditional Reimbursement Unsettled excess servicing spread issuance — $ $ The Company holds an investment in PMT in the form of 75,000 common shares of beneficial interest as of September 30, 2015 and December 31, 2014. The common shares of beneficial interest had fair values of $1.2 million and $1.6 million as of September 30, 2015 and December 31, 2014, respectively. Of the $ 147.3 million payable to PMT as of September 30, 2015, $138.3 million represents deposits made by PMT to fund servicing advances made by the Company, $8.2 million represents other expenses and unsettled ESS financing activity, and $800,000 represents MSR recapture payable to PMT. Of the $123.3 million payable to PMT as of December 31, 2014, $116.7 million represents deposits made by PMT to fund servicing advances made by the Company, $6.2 million represents other expenses and unsettled ESS financing activity, and $460,000 represents MSR recapture payable to PMT. Transactions with I nvestment Funds Amounts due from the Investment Funds are summarized below: September 30, December 31, 2015 2014 (in thousands) Carried Interest due from Investment Funds: PNMAC Mortgage Opportunity Fund, LLC $ $ PNMAC Mortgage Opportunity Fund Investors, LLC $ $ Receivable from Investment Funds: Management fees $ $ Loan servicing fees Expense reimbursements Loan servicing rebate $ $ Amounts due to the Investment Funds totaling $ 30.2 million and $35.9 million represent amounts advanced by the Investment Funds to fund servicing advances made by the Company as of September 30, 2015 and December 31, 2014, respectively. Exchanged Private National Mortgage Acceptance Company, LLC Unitholders 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 of PennyMac’s assets 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 $72.3 million Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement as of September 30, 2015. The Company made payments under the tax receivable agreement totaling $0 and $4.3 million during the quarter and nine months ended September 30, 2015. |
Earnings Per Share of Common St
Earnings Per Share of Common Stock | 9 Months Ended |
Sep. 30, 2015 | |
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 diluted net income attributable to the Company’s common stockholders by the weighted average number 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 non- vested unit-based and stock-based compensation awards. 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 following table summarizes the basic and diluted earnings per share calculations: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands, except per share data) Basic earnings per share of common stock: Net income attributable to PennyMac Financial Services, Inc. common stockholders $ $ $ $ Weighted average shares of common stock outstanding Basic earnings per share of common stock $ $ $ $ Diluted earnings per share of common stock: Net income $ $ $ $ Effect of net income attributable to noncontrolling interest, net of income taxes Diluted net income attributable to common stockholders $ $ $ $ Weighted average shares of common stock outstanding Dilutive shares: PennyMac Class A units exchangeable to common stock Non-vested PennyMac Class A units issuable under unit-based stock compensation plan and exchangeable to common stock Shares issuable under stock-based compensation plans Diluted weighted average shares of common stock outstanding Diluted earnings per share of common stock $ $ $ $ |
Loan Sales and Servicing Activi
Loan Sales and Servicing Activities | 9 Months Ended |
Sep. 30, 2015 | |
Loan Sales and Servicing Activities | |
Loan Sales and Servicing Activities | Note 5—Loan Sales and Servicing Activities The Company originates or purchases and sells mortgage loans in the secondary mortgage market without recourse for credit losses. However, the Company maintains continuing involvement with the mortgage loans in the form of servicing arrangements and the liability under representations and warranties it makes to purchasers and insurers of the mortgage loans. The following table summarizes cash flows between the Company and transferees as a result of the sale of mortgage loans in transactions where the Company maintains continuing involvement with the mortgage loans in the form of loan servicing arrangements and a liability for representations and warranties it makes to purchasers and insurers of the mortgage loans, as well as unpaid principal ba lance information at period end. Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Cash flows: Sales proceeds $ $ $ $ Servicing fees received (1) $ $ $ $ Net servicing advances (recoveries) $ $ $ $ Period end information: Unpaid principal balance of mortgage loans outstanding at end of period $ $ Delinquencies: 30-89 days $ $ 90 days or more or in foreclosure or bankruptcy $ $ (1) Net of guarantee fees paid to the Agencies . The unpaid principal balance (“UPB”) of the Company’s mortgage servicing portfolio is summarized as follows: September 30, 2015 Contract Servicing servicing and Total rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities $ $ — $ Affiliated entities — Mortgage loans held for sale — $ $ $ Amount subserviced for the Company (1) $ $ — $ Delinquent mortgage loans: 30 days $ $ $ 60 days 90 days or more Not in foreclosure In foreclosure Foreclosed $ $ $ Custodial funds managed by the Company (2) $ $ $ (1) Certain of the mortgage loans serviced by the Company are subserviced on the Company’s behalf by other mortgage loan servicers. Mortgage 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 been transferred to the Company’s servicing system. (2) Borrower and investor custodial cash accounts relate to mortgage 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 mortgage loans’ investors, which is recorded as part of the interest income in the Company’s consolidated statements of income. December 31, 2014 Contract Servicing servicing and Total rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities $ $ — $ Affiliated entities — Mortgage loans held for sale — $ $ $ Amount subserviced for the Company (1) $ — $ $ Delinquent mortgage loans: 30 days $ $ $ 60 days 90 days or more Not in foreclosure In foreclosure Foreclosed $ $ Custodial funds managed by the Company (2) $ $ $ (1) Certain of the mortgage loans serviced by the Company are subserviced on the Company’s behalf by other mortgage loan servicers. Mortgage 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 been transferred to the Company’s servicing system. (2) Borrower and investor custodial cash accounts relate to mortgage 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 mortgage 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 mortgage loans included in the Company’s servicing portfolio for the top five and all other states as measured by UPB: September 30, December 31, State 2015 2014 (in thousands) California $ $ Texas Virginia Florida Maryland * Washington * All other states $ $ * State did not represent a top five state as of the respective date. |
Netting of Financial Instrument
Netting of Financial Instruments | 9 Months Ended |
Sep. 30, 2015 | |
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 MSRs. The Company has elected to present 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 netting amounts. Offsetting of Derivative Assets September 30, 2015 December 31, 2014 Gross Gross amount Net amount Gross Gross amount Net amount amount of offset in the of assets in the amount of offset in the of assets in the recognized consolidated consolidated recognized consolidated consolidated assets balance sheet balance sheet assets balance sheet balance sheet (in thousands) Derivatives subject to master netting arrangements: Forward purchase contracts $ $ — $ $ $ — $ Forward sale contracts — — MBS put options — — Put options on interest rate futures purchase contracts — — Call options on interest rate futures purchase contracts — — Netting — — Derivatives not subject to master netting arrangements - IRLCs — — $ $ $ $ $ $ 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. September 30, 2015 December 31, 2014 Gross amount not Gross amount not offset in the offset in the consolidated consolidated balance sheet balance sheet Net amount Net amount of assets in the Cash of assets in the Cash consolidated Financial collateral Net consolidated Financial collateral Net balance sheet instruments received amount balance sheet instruments received amount (in thousands) Interest rate lock commitments $ $ — $ — $ $ $ — $ — $ RJ O'Brien — — — — Jefferies & Co. — — — — Bank of America, N.A. — — — — — — Nomura — — — — Wells Fargo Bank, N.A. — — — — Goldman Sachs — — — — — — JP Morgan — — — — — — Others — — — — $ $ — $ — $ $ $ — $ — $ Offsetting of Derivative Liabilities and Financial Liabilities Following is a summary of net derivative liabilities and assets sold under agreements to repurchase and related netting amounts. As discussed above, all derivatives with the exception of IRLCs are subject to master netting arrangements. The mortgage loans sold under agreements to repurchase do not qualify for netting. September 30, 2015 December 31, 2014 Net Net amount amount Gross Gross amount of liabilities Gross Gross amount of liabilities amount of offset in the in the amount of offset in the in the recognized consolidated consolidated recognized consolidated consolidated liabilities balance sheet balance sheet liabilities balance sheet balance sheet (in thousands) Derivatives subject to a master netting arrangement: Forward purchase contracts $ $ — $ $ $ — $ Forward sale contracts — — Put options on interest rate futures sale contracts — — — — Netting — — Derivatives not subject to a master netting arrangement - IRLCs — — Total derivatives Mortgage loans sold under agreements to repurchase: Amount outstanding — — Unamortized debt issuance costs — — — — $ $ $ $ $ $ Derivative Liabilities, Financial Liabilities, and Collateral Held by Counterparty The following table summarizes by significant counterparty the amount of derivative liabilities and mortgage loans sold under agreements to repurchase after considering master netting arrangements and financial instr uments or cash pledged that do not qualify under the accounting guidance for netting. All assets sold under agreements to repurchase are secured by sufficient collateral or have fair value that exceeds the liability amount recorded on the consolidated balance sheets. September 30, 2015 December 31, 2014 Gross amount Gross amount not offset in the not offset in the consolidated consolidated balance sheet balance sheet Net amount Net amount Net amount Net amount of liabilities of liabilities of liabilities of liabilities in the Cash in the in the Cash in the consolidated Financial collateral consolidated consolidated Financial collateral consolidated balance sheet instruments pledged balance sheet balance sheet instruments pledged balance sheet (in thousands) Interest rate lock commitments $ $ — $ — $ $ $ — $ — $ Credit Suisse First Boston Mortgage Capital LLC — — Bank of America, N.A. — — — Morgan Stanley Bank, N.A. — — Citibank, N.A. — — Bank of Oklahoma — — — — Multi-Bank — — — — — — JP Morgan — — — — — — Bank of New York Mellon — — — — — — Others — — — — $ $ $ — $ $ $ $ — $ |
Fair Value
Fair Value | 9 Months Ended |
Sep. 30, 2015 | |
Fair Value | |
Fair Value | Note 7—Fair Value The Company’s consolidated financial statements include assets and liabilities that are measured based on their fair values. The application of fair value 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 fair value as discussed in the following paragraphs. Fair Value Accounting Elections Management identified all of its non-cash financial assets , its originated MSRs relating to loans with initial interest rates of more than 4.5% and purchased MSRs subject to ESS financing to be accounted for at fair value so changes in fair value will be reflected in income as they occur and more timely reflect the results of the Company’s performance. Management has also elected to account for its ESS financing at fair value as a me ans of hedging the related MSRs’ fair value risk. The Company’s subsequent accounting for MSRs is based on the class of MSRs. Originated MSRs relating to mortgage loans with initial interest rates of less than or equal to 4.5% are accounted for using the amortization me thod. Originated MSRs relating to mortgage loans with initial interest rates of more than 4.5% and purchased MSRs subject to ESS financing are accounted for at fair value with changes in fair value recorded in current period income. Financial Statement Items Measured at Fair Value on a Recurring Basis Following is a summary of financial statement items that are measured at fair value on a recurring basis: September 30, 2015 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ $ — $ — $ Mortgage loans held for sale at fair value — Derivative assets: Interest rate lock commitments — — Forward purchase contracts — — Forward sales contracts — — MBS put options — — Put options on interest rate futures purchase contracts — — Call options on interest rate futures purchase contracts — — Total derivative assets before netting Netting (1) — — — Total derivative assets Investment in PennyMac Mortgage Investment Trust — — Mortgage servicing rights at fair value — — $ $ $ $ Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ — $ $ Derivative liabilities: Interest rate lock commitments — — Forward purchase contracts — — Forward sales contracts — — Total derivative liabilities before netting — Netting (1) — — — Total derivative liabilities — Mortgage servicing liabilities — — $ — $ $ $ (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, 2014 Level 1 Level 2 Total Total (in thousands) Assets: Short-term investments $ $ — $ — $ Mortgage loans held for sale at fair value — Derivative assets: Interest rate lock commitments — — Forward purchase contracts — — Forward sales contracts — — MBS put options — — Put options on interest rate futures purchase contracts — — Call options on interest rate futures purchase contracts — — Total derivative assets before netting Netting (1) — — — Total derivative assets Investment in PennyMac Mortgage Investment Trust — — Mortgage servicing rights at fair value — — $ $ $ $ Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ — $ $ Derivative liabilities: Interest rate lock commitments — — Forward purchase contracts — — Forward sales contracts — — Put options on interest rate futures sale contracts — — Total derivative liabilities before netting Netting (1) — — — Total derivative liabilities Mortgage servicing liabilities — — $ $ $ $ (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. As shown above, all or a portion of the Company’s mortgage loans held for sale, IRLCs, MSRs at fair value, mortgage servicing liabilities and ESS financing are measured using Level 3 inputs. Following are roll forwards of these items for the quarters and nine months ended September 30, 2015 and 2014: Quarter ended September 30, 2015 Mortgage Net interest Mortgage loans held rate lock servicing for sale commitments (1) rights Total (in thousands) Assets: Balance, June 30, 2015 $ $ $ $ Purchases — Sales — — Repayments — — Interest rate lock commitments issued, net — — Mortgage servicing rights resulting from mortgage loan sales — — Changes in fair value included in income arising from: Changes in instrument-specific credit risk — — — — Other factors Transfers of mortgage loans held for sale from Level 3 to Level 2 (2) — — Transfers of interest rate lock commitments to mortgage loans held for sale — — Balance, September 30, 2015 $ $ $ $ Changes in fair value recognized during the period relating to assets still held at September 30, 2015 $ $ $ $ (1) For the purpose of this table, the IRLC asset and liability positions are shown net. (2) Mortgage loans held for sale are transferred from Level 3 to Level 2 as a result of the mortgage loan becoming saleable into active mortgage markets pursuant to a loan modification, borrower reperformance or resolution of deficiencies. Quarter ended September 30, 2015 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance, June 30, 2015 $ $ $ Issuance of excess servicing spread financing — Excess servicing spread financing issued pursuant to a recapture agreement with PennyMac Mortgage Investment Trust — Accrual of interest on excess servicing spread — Repayments — Mortgage servicing liabilities resulting from mortgage loan sales — Changes in fair value included in income Balance, September 30, 2015 $ $ $ Changes in fair value recognized during the period relating to liabilities still held at September 30, 2015 $ $ $ Quarter ended September 30, 2014 Mortgage Net interest Mortgage loans held rate lock servicing for sale commitments (1) rights Total (in thousands) Assets: Balance, June 30, 2014 $ $ $ $ Purchases — Repayments — — Interest rate lock commitments issued, net — — Mortgage servicing rights resulting from mortgage loan sales — — Sales — — Changes in fair value included in income arising from: Changes in instrument-specific credit risk — — — — Other factors Transfers of mortgage loans held for sale from Level 3 to Level 2 (2) — — Transfers of interest rate lock commitments to mortgage loans held for sale — — Balance, September 30, 2014 $ $ $ $ Changes in fair value recognized during the period relating to assets still held at September 30, 2014 $ $ $ $ (1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. (2) Mortgage loans held for sale are transferred from Level 3 to Level 2 as a result of the mortgage loan becoming saleable into active mortgage markets pursuant to a loan modification, borrower reperformance or resolution of deficiencies. Quarter ended September 30, 2014 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance, June 30, 2014 $ $ $ Issuance of excess servicing spread financing — Excess servicing spread financing issued pursuant to a recapture agreement with PennyMac Mortgage Investment — Accrual of interest on excess servicing spread — Repayments — Changes in fair value included in income Balance, September 30, 2014 $ $ $ Changes in fair value recognized during the period relating to liabilities still held at September 30, 2014 $ $ $ Nine months ended September 30, 2015 Mortgage Net interest Mortgage loans held rate lock servicing for sale commitments (1) rights Total (in thousands) Assets: Balance, December 31, 2014 $ $ $ $ Purchases — Sales — — Repayments — — Interest rate lock commitments issued, net — — Mortgage servicing rights resulting from mortgage loan sales — — Changes in fair value included in income arising from: Changes in instrument-specific credit risk — — Other factors Transfers of mortgage loans held for sale from Level 3 to Level 2 (2) — — Transfers of interest rate lock commitments to mortgage loans held for sale — — Balance, September 30, 2015 $ $ $ $ Changes in fair value recognized during the period relating to assets still held at September 30, 2015 $ $ $ $ (1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. (2) Mortgage loans held for sale are transferred from Level 3 to Level 2 as a result of the mortgage loan becoming saleable into active mortgage markets pursuant to a loan modification, borrower reperformance or resolution of deficiencies. Nine months ended September 30, 2015 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance, December 31, 2014 $ $ $ Issuance of excess servicing spread financing — Excess servicing spread financing issued pursuant to a recapture agreement with PennyMac Mortgage Investment Trust — Accrual of interest on excess servicing spread — Repayments — Mortgage servicing liabilities resulting from mortgage loan sales — Changes in fair value included in income Balance, September 30, 2015 $ $ $ Changes in fair value recognized during the year relating to liabilities still held at September 30, 2015 $ $ $ Nine months ended September 30, 2014 Mortgage Net interest Mortgage loans held rate lock servicing for sale commitments (1) rights Total (in thousands) Assets: Balance December 31, 2013 $ $ $ $ Purchases — Repayments — — Interest rate lock commitments issued, net — — Mortgage servicing rights resulting from mortgage loan sales — — Sales — Changes in fair value included in income arising from: Changes in instrument-specific credit risk — — — — Other factors Transfers of mortgage loans held for sale from Level 3 to Level 2 (2) — — Transfers of interest rate lock commitments to mortgage loans held for sale — — Balance, September 30, 2014 $ $ $ $ Changes in fair value recognized during the period relating to assets still held at September 30, 2014 $ $ $ $ (1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. (2) Mortgage loans held for sale are transferred from Level 3 to Level 2 as a result of the mortgage loan becoming saleable into active mortgage markets pursuant to a loan modification, borrower reperformance or resolution of deficiencies. Nine months ended September 30, 2014 Excess Mortgage servicing spread servicing financing liabilities Total (in thousands) Liabilities: Balance December 31, 2013 $ $ — $ Issuance of excess servicing spread financing — Excess servicing spread financing issued pursuant to a recapture agreement with PennyMac Mortgage Investment Trust — Accrual of interest on excess servicing spread financing — Repayments — Changes in fair value included in income Balance, September 30, 2014 $ $ $ Changes in fair value recognized during the period relating to liabilities still held at September 30, 2014 $ $ $ 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 transfers among the levels arising from transfers of IRLCs to mortgage loans held for sale at fair value upon purchase or funding of the respective mortgage loans and from the return to salability in the active secondary market of certain mortgage loans held for sale. Such loans became saleable into the active secondary market due to curing of the loans’ defects through borrower reperformance, modification of the loan or resolution of deficiencies contained in the borrowers’ credit file. Net changes in fair values included in income for financial statement items carried at fair value as a result of management’s election of the fair value option by income statement line item are summarized below: Quarter ended September 30, 2015 2014 Net gains on Net gains on mortgage mortgage loans held Net loan loans held Net loan for sale at servicing for sale at servicing fair value fees Total fair value fees Total (in thousands) Assets: Mortgage loans held for sale at fair value $ $ — $ $ $ — $ Mortgage servicing rights at fair value — — $ $ $ $ $ $ Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ $ $ — $ $ Mortgage servicing liabilities at fair value — — $ — $ $ $ — $ $ Nine months ended September 30, 2015 2014 Net gains on Net gains on mortgage mortgage loans held Net loans held Net for sale at servicing for sale at servicing fair value fees Total fair value fees Total (in thousands) Assets: Mortgage loans held for sale at fair value $ $ — $ $ $ — $ Mortgage servicing rights at fair value — — $ $ $ $ $ $ Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ $ $ — $ $ Mortgage servicing liabilities at fair value — — $ — $ $ $ — $ $ Following are the fair value and related principal amounts due upon maturity of loans, long-term receivables and long-term debt instruments with contractual principal amounts accounted for under the fair value option: September 30, 2015 Principal amount Fair due upon value maturity Difference (in thousands) Mortgage loans held for sale: Current through 89 days delinquent $ $ $ 90 days or more delinquent: Not in foreclosure In foreclosure $ $ $ December 31, 2014 Principal amount Fair due upon value maturity Difference (in thousands) Mortgage loans held for sale: Current through 89 days delinquent $ $ $ 90 days or more delinquent: Not in foreclosure In foreclosure $ $ $ Financial Statement Items Measured at Fair Value on a Nonrecurring Basis Following is a summary of financial statement items that were remeasured at fair value on a nonrecurring basis during the periods presented: September 30, 2015 Level 1 Level 2 Level 3 Total (in thousands) Mortgage servicing rights at lower of amortized cost or fair value $ — $ — $ $ $ — $ — $ $ December 31, 2014 Level 1 Level 2 Level 3 Total (in thousands) Mortgage servicing rights at lower of amortized cost or fair value $ — $ — $ $ $ — $ — $ $ The following table summarizes the total gains (losses) on assets measured at fair value on a nonrecurring basis: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Mortgage servicing rights at lower of amortized cost or fair value $ $ $ $ $ $ $ $ Fair Value of Financial Instruments Carried at Amortized Cost The Company’s Cash as well as its Carried Interest due from Investment Funds , Note receivable from PennyMac Mortgage Investment Trust secured , Mortgage loans sold under agreements to repurchase , Mortgage loan participation and sale agreement , Note payable , and amounts receivable from and payable to the Advised Entities are carried at amortized cost. Cash is measured using a “Level 1” input. 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. The Company’s Note receivable from PennyMac Mortgage Investment Trust secured , Mortgage loans sold under agreements to repurchase , Mortgage loan participation and sale agreement and Note payable are carried at amortized cost. These financial instruments do not have observable inputs and fair value is measured using management’s estimate of fair value, where the inputs into the determination of fair value require significant judgment or estimation. The Company has classified these financial instruments as “Level 3” financial statement items as of September 30, 2015 and December 31, 2014 due to the lack of observable inputs to estimate the fair value. Management has concluded that the fair value of these financial statement items approximates their carrying values due to their short terms and variable interest rates. The Company also carries the receivables from and payables to the Advised Entities at cost. Management has concluded that the fair value of such balances approximates their carrying values due to the short terms of such balances. Valuation Techniques and Assumptions Most of the Company’s financial assets , a portion of its MSRs and its ESS liability 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 unobservable inputs that are significant to 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. Due to the difficulty in estimating the fair values of “Level 3” financial statement items, management has assigned the responsibility for estimating the fair value of these items to specialized staff and subjects the valuation process to significant executive management oversight. The Company’s Financial Analysis and Valuation group (the “FAV group”) is responsible for estimating the fair values of “Level 3” financial statement items other than IRLCs and maintaining its valuation policies and procedures. With respect to the Level 3 valuations, 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 Company’s senior management valuation committee includes PFSI’s chief executive, financial, operating, credit and asset/liability management officers. 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 inputs. To assess the reasonableness of its valuations, the FAV group presents an analysis of the effect on the valuation of changes to the significant inputs to the models. With respect to IRLCs, the Company has assigned responsibility for developing fair values to its Capital Markets Risk Management staff. The fair values developed by the Capital Markets Risk Management staff are submitted to the Company’s senior management Secondary Marketing Working Group. The Company’s Secondary Marketing Working Group includes PFSI’s chief executive, operating, institutional mortgage banking, capital markets, asset/liability management, portfolio risk and capital markets operations officers. Following is a description of the techniques and inputs used in estimating the fair values of “Level 2” and “Level 3” fair value financial statement items: Mortgage Loans Held for Sale A substantial portion of the Company’s mortgage loans held for sale at fair value are saleable into active m arkets and are therefore categorized as “Level 2” fair value financial statement items and their fair values are determined using their quoted market or contracted price or market price equivalent. Certain of the Company’s mortgage loans may become non-saleable into active markets due to identification of a defect by the Company or to the repurchase of mortgage loans with identified defects. The Company may also purchase certain delinquent government guaranteed or insured mortgage loans from Ginnie Mae guaranteed pools in its servicing portfolio. The Company’s right to purchase such mortgage loans arises as the result of the borrower’s failure to make payments for at least three consecutive months preceding the month of repurchase by the Company and provides an alternative to the Company’s obligation to continue advancing principal and interest at the coupon rate of the related Ginnie Mae security. To the extent such mortgage loans (“early buyout loans”) have not become saleable into another Ginnie Mae guaranteed security by becoming current either through the borrower’s reperformance or through completion of a modification of the mortgage loan’s terms, the Company measures such mortgage loans along with other mortgage loans with identified defects using “Level 3” inputs. The significant unobservable inputs used in the fair value measurement of the Company’s “Level 3” mortgage loans held for sale at fair value are discount rates, home price projections, voluntary prepayment speeds and total prepayment /resale speeds. Significant changes in any of those inputs in isolation could result in a significant change to the mortgage loans’ fair value measurement. Increases in home price projections are generally accompanied by an increase in voluntary prepayment speeds. Following is a quantitative summary of key “Level 3” inputs used in the valuation of mortgage loans held for sale at fair value: Key inputs September 30, 2015 December 31, 2014 Discount rate Range 2.5% – 8.8% 2.3% – 9.6% Weighted average 2.8% 2.4% Twelve-month projected housing price index change Range 2.8% – 6.0% 4.2% – 5.4% Weighted average 4.3% 4.5% Prepayment/resale speed (1) Range 0.6% – 18.5% 1.3% – 15.5% Weighted average 17.2% 15.1% Total prepayment speed (2) Range 1.0% – 35.1% 2.1% – 38.1% Weighted average 32.1% 35.7% (1) Voluntary prepayment/resale 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 reference to 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 Company’s consolidated statements of income. Derivative Financial Instruments Interest Rate Lock Commitments 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 mortgage 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 fair value of the mortgage loans it has committed to purchase. Significant changes in the pull-through rate or the MSR component of the IRLCs, in isolation, could result in significant changes in fair value measurement. The financial effects of changes in these inputs are generally inversely correlated as increasing interest rates have a positive effect on the fair value of the MSR component of IRLC fair value, but increase the pull-through rate for IRLCs that have decreased in fair value as a whole . Changes in fair value of IRLCs are included in Net gains on mortgage loans held for sale in the Company’s consolidated statements of income. Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs: Key inputs September 30, 2015 December 31, 2014 Pull-through rate Range 50.3% – 100.0% 55.4% – 99.9% Weighted average 85.5% 85.5% Mortgage servicing rights value expressed as: Servicing fee multiple Range 0.8 – 5.8 2.0 – 5.0 Weighted average 3.9 3.7 Percentage of unpaid principal balance Range 0.2% – 3.7% 0.4% – 3.1% Weighted average 1.3% 1.2% Hedging Derivatives The remaining derivative financial instruments held or issued by the Company are categorized as “Level 1” or “Level 2” financial statement items. For “Level 1” fair value derivative financial instruments, the Company determines fair value with reference to the respective derivatives’ quoted prices. For “Level 2” fair value derivative financial instruments, the Company estimates the fair value of commitments to sell or purchase loans based on observable MBS prices. The Company estimates the fair value of MBS options based on observed interest rate volatilities in the MBS market. Changes in fair value of hedging derivatives are included in Net gains on mortgage loans held for sale at fair value in the Company’s 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 the respective mortgage loans. Changes in the fair value of MSRs are included in Net servicing fees — Amortization, impairment and change in fair value of mortgage servicing rights in the Company’s consolidated statements of income. Following are the key inputs used in determining the fair value of MSRs at the time of initial recognition, excluding MSR purchases: Quarter ended September 30, 2015 2014 Fair Amortized Fair Amortized value cost value cost (Amount recognized and unpaid principal balance of underlying mortgage loans in thousands) MSR and pool characteristics: Amount recognized $6,989 $154,707 $6,381 $54,819 Unpaid principal balance of underlying mortgage loans $550,073 $11,369,493 $515,866 $4,498,619 Weighted average servicing fee rate (in basis points) 32 34 34 31 Key inputs: Pricing spread (1) Range 7.0% – 14.4% 6.8% – 16.2% 8.0% – 15.4% 7.5% – 15.2% Weighted average 8.9% 9.1% 11.6% 10.9% Annual total prepayment speed (2) Range 7.7% – 52.3% 7.5% – 35.0% 7.6% – 42.3% 7.6% – 47.8% Weighted average 11.9% 9.2% 9.7% 8.3% Life (in years) Range 1.4 – 7.5 1.9 – 9.1 1.6 – 7.3 1.4 – 7.3 Weighted average 6.5 7.0 6.7 7.1 Per-loan annual cost of servicing Range $59 – $101 $59 – $95 $54 – $93 $54 – $93 Weighted average $75 $78 $83 $85 (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 Offered 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. Nine months ended September 30, 2015 2014 Fair Amortized Fair Amortized value cost value cost (Amount recognized and unpaid principal balance of underlying mortgage loans in thousands) MSR and pool characteristics: Amount recognized $13,107 $347,549 $20,647 $127,727 Unpaid principal balance of underlying mortgage loans $1,072,203 $25,268,602 $1,627,529 $10,672,629 Weighted average servicing fee rate (in basis points) 32 35 33 31 Key inputs: Pricing spread (1) Range 7.0% – 14.4% 6.8% – 16.2% 8.0% – 16.2% 6.8% – 15.2% Weighted average 9.4% 9.2% 11.4% 10.8% Annual total prepayment speed (2) Range 7.7% – 62.4% 7.5% – 39.4% 7.6% – 42.3% 7.6% – 47.8% Weighted average 11.6% 8.8% 9.0% 8.2% Life (in years) Range 1.1 – 7.5 1.8 – 9.1 1.6 – 7.5 1.4 – 7.5 Weighted average 6.5 7.0 7.0 7.1 Per-loan annual cost of servicing Range $59 – $101 $59 – $95 $53 – $100 $53 – $100 Weighted average $75 $76 $89 $90 (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 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 and assessment for impairment of the Company’s MSRs at period end and the effect on fair value from adverse changes in those inputs (weighted averages are based upon UPB): September 30, 2015 December 31, 2014 Fair Amortized Fair Amortized value cost value cost (Carrying value, unpaid principal balance of underlying mortgage loans and effect on fair value amounts in thousands) MSR and pool characteristics: Carrying value $669,667 $637,725 $325,383 $405,445 Unpaid principal balance of underlying mortgage loans $55,911,946 $51,064,561 $30,945,000 $33,745,613 Weighted average note interest rate 4.14% 3.83% 4.24% 3.82% Weighted average servicing fee rate (in basis points) 32 32 31 30 Key inputs: Pricing spread (1) (2) Range 7.2% – 12.8% 7.2% – 12.8% 2.9% – 21.3% 6.3% – 15.3% Weighted average 8.6% 8.9% 9.2% 9.7% Effect on fair value of: 5% adverse change ($11,102) ($11,337) ($5,550) ($8,710) 10% adverse change ($21,839) ($22,287) ($10,908) ($17,083) 20% adverse change ($42,283) ($43,099) ($21,084) ($32,890) Average life (in years) Range 0.1 – 8.8 1.9 – 8.9 0.4 – 8.2 1.6 – 7.3 Weighted average 6.6 6.9 5.8 6.8 Prepayment speed (1) (3) Range 5.6% – 44.5% 6.0% – 43.3% 7.6% – 60.5% 7.6% – 42.8% Weighted average 10.5% 10.7% 11.2% 8.5% Effect on fair value of: 5% adverse change ($14,081) ($13,780) ($7,052) ($7,359) 10% adverse change ($27,622) ($27,024) ($13,835) ($14,494) 20% adverse change ($53,202) ($52,016) ($26,654) ($28,132) Annual per-loan cost of servicing (1) Range $68 – $98 $68 – $95 $59 – $109 $59 – $81 Weighted average $86 $84 $76 $75 Effect on fair value of: 5% adverse change ($6,897) ($4,948) ($2,910) ($2,992) 10% adverse change ($13,794) ($9,896) ($5,819) ($5,983) 20% adverse change ($27,588) ($19,791) ($11,638) ($11,967) (1) The effect on value of an adverse change in one of the above-mentioned key inputs will result in recognized change in fair value for MSRs carried at fair value and may result in recognition of MSR impairment for MSRs carried at the lower of amortized cost or fair value. The extent of the recognized MSR impairment will depend on the relationship of fair value to the carrying value of such MSRs. (2) 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. (3) 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 inputs ; do not incorporate changes to other inputs ; are subject to the accuracy of various models and inputs 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 fair value include pricing spread and prepayment speed. Significant changes to either of those inputs in isolation could result in a significant change in the ESS fair value. Changes in these key inputs are not necessarily directly related. ESS financing is generally subject to fair value increases when mortgage interest rates increase. Increasing mortgage interest rates normally slow mortgage refinancing activity. Decreased refinancing activity increases the life of the loans underlying the ESS, thereby increasing ESS’ fair value, which is the liability owed to PMT. Increases in the fair value of ESS decrease income and are included in Amortization, impairment and change in fair value of mortgage servicing rights . Interest expense for ESS is accrued using |
Mortgage Loans Held for Sale at
Mortgage Loans Held for Sale at Fair Value | 9 Months Ended |
Sep. 30, 2015 | |
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: September 30, December 31, 2015 2014 (in thousands) Government-insured or guaranteed $ $ Conventional conforming Jumbo Delinquent mortgage loans purchased from Ginnie Mae pools serviced by the Company Mortgage loans repurchased pursuant to representations and warranties $ $ Fair value of mortgage loans pledged to secure: Mortgage loans sold under agreements to repurchase $ $ Mortgage loans pledged to secure mortgage loan participation and sale agreement $ $ |
Derivative Financial Instrument
Derivative Financial Instruments | 9 Months Ended |
Sep. 30, 2015 | |
Derivative Financial Instruments | |
Derivative Financial Instruments | Note 9—Derivative Financial Instruments The Company is exposed to fair value risk relative to its mortgage loans held for sale as well as to its IRLCs and MSRs. The Company bears fair value 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 fair value of its IRLCs and mortgage loans held for sale when market mortgage interest rates increase. The Company is exposed to loss in fair value of its MSRs when market mortgage 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 fair value 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 fair 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 process of purchasing or originating 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: September 30, 2015 December 31, 2014 Fair value Fair value Notional Derivative Derivative Notional Derivative Derivative Instrument amount assets liabilities amount assets liabilities (in thousands) Derivatives not designated as hedging instruments Free-standing derivatives: Interest rate lock commitments $ $ $ $ Forward purchase contracts Forward sales contracts MBS put options — — Put options on interest rate futures purchase contracts — — Call options on interest rate futures purchase contracts — — Put options on interest rate futures sale contracts — — — — Total derivatives before netting Netting $ $ $ $ Margin deposits placed with (collateral received from) derivative counterparties, net $ $ The following table summarizes the notional value activity for derivative contracts used in the Company’s hedging activities: Quarter ended September 30, 2015 Balance Balance beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts Forward sale contracts MBS put options MBS call options — — Put options on interest rate futures purchase contracts Call options on interest rate futures purchase contracts Quarter ended September 30, 2014 Balance Balance beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts Forward sale contracts MBS put options MBS call options Put options on interest rate futures purchase contracts Call options on interest rate futures purchase contracts Treasury futures purchase contracts — — Treasury futures sale contracts — — Call options on interest rate futures sales contracts — — Nine months ended September 30, 2015 Balance Balance beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts Forward sale contracts MBS put options MBS call options — — Put options on interest rate futures purchase contracts Call options on interest rate futures purchase contracts Put options on interest rate futures sale contracts — Call options on interest rate futures sale contracts — — Nine months ended September 30, 2014 Balance Balance beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts Forward sale contracts MBS put options MBS call options Put options on interest rate futures purchase contracts — Call options on interest rate futures purchase contracts — Treasury futures purchase contracts — — Treasury futures sale contracts — — Call options on interest rate futures sales contracts — — Following are the gains (losses) recognized by the Company on derivative financial instruments and the income statement line items where such gains and losses are included: Quarter ended September 30, Nine months ended September 30, Hedged item Income statement line 2015 2014 2015 2014 (in thousands) Interest rate lock commitments and mortgage loans held for sale Net gain on mortgage loans held for sale $ $ $ $ Mortgage servicing rights Net loan servicing fees $ $ $ $ |
Mortgage Servicing Rights
Mortgage Servicing Rights | 9 Months Ended |
Sep. 30, 2015 | |
Mortgage Servicing Rights | |
Mortgage Servicing Assets and Liabilities | Note 10—Mortgage Servicing Rights and Mortgage Servicing Liabilities Carried at Fair Value: The activity in MSRs carried at fair value is as follows: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Balance at beginning of period $ $ $ $ Additions: Purchases Mortgage servicing rights resulting from mortgage loan sales Sales — — — Change in fair value due to: Changes in valuation inputs or assumptions used in valuation model (1) Other changes in fair value (2) Total change in fair value Balance at end of period $ $ $ $ (1) Principally reflects changes in discount rates and prepayment speed inputs, primarily due to changes in market mortgage 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 September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Amortized cost: Balance at beginning of period $ $ $ $ Mortgage servicing rights resulting from mortgage loan sales Amortization Application of valuation allowance to write down mortgage servicing rights with other-than-temporary impairment — — — — Balance at end of period Valuation allowance: Balance at beginning of period Additions Application of valuation allowance to write down mortgage servicing rights with other-than-temporary impairment — — — — Balance at end of period Mortgage servicing rights, net $ $ $ $ Fair value of mortgage servicing rights at end of period $ $ $ $ Fair value of mortgage servicing rights at beginning of period $ $ $ $ The fair value of mortgage servicing rights pledged to se cure the note payable totaled $619.8 million and $392.3 million as of September 30, 2015 and December 31, 2014, respectively. The following table summarizes the Company’s estimate of future amortization of its existing MSRs. This estimate was developed with the inputs used in the September 30, 2015 valuation of MSRs. The inputs 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 September 30, amortization (in thousands) 2016 $ 2017 2018 2019 2020 Thereafter $ 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 relating to MSRs are recorded in Net servicing fees—Loan servicing fees—Ancillary and other fees on the Company’s consolidated statements of income. The fees are summarized below: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Contractual servicing fees $ $ $ $ Ancillary and other fees: Late charges Other $ $ $ $ Mortgage Servicing Liabilities Carried at Fair Value: The activity in mortgage servicing liabilities carried at fair value is summarized below: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Balance at beginning of period $ $ $ $ — Mortgage servicing liabilities resulting from mortgage loan sales — — Change in fair value Balance at end of period $ $ $ $ |
Carried Interest Due from Inves
Carried Interest Due from Investment Funds | 9 Months Ended |
Sep. 30, 2015 | |
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 September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Balance at beginning of period $ $ $ $ Carried Interest recognized during the period Proceeds received during the period — — — — Balance at end of period $ $ $ $ The amount of the Carried Interest that will be received by the Company depends on the Investment Funds’ future performance. As a result, the amount of Carried Interest recorded by the Company is based on the cash flows that would be produced assuming termination of the Investment Funds at period end and may be reduced in future periods based on the performance of the Investment Funds in those periods. However, the Company is not required to pay guaranteed returns to the Investment Funds and the amount of any reduction to Carried Interest will be limited to the 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 Mortgage
Investment in PennyMac Mortgage Investment Trust at Fair Value | 9 Months Ended |
Sep. 30, 2015 | |
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 September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Dividends received from PennyMac Mortgage Investment Trust $ $ $ $ Change in fair value of investment in PennyMac Mortgage Investment Trust $ $ $ $ Fair value of PennyMac Mortgage Investment Trust shares at period end $ $ |
Borrowings
Borrowings | 9 Months Ended |
Sep. 30, 2015 | |
Borrowings | |
Borrowings | Note 13—Borrowings As of September 30, 2015, the Company maintained six borrowing facilities: four repurchase facilities that provide funding for mortgage loans held for sale ; one mortgage loan participation and sale agreement ; and one note payable secured by MSRs and servicing advances made relating to certain loans in the Company’s mortgage loan servicing portfolio. The borrowing facilities contain various covenants, including financial covenants governing PLS’s net worth, debt to equity ratio, profitability and liquidity. Management believes that PLS was in compliance with these requirements as of September 30, 2015. Mortgage Loans Sold Under Agreement to Repurchase T he borrowing facilities secured by mortgage loans held for sale are in the form of mortgage loan sale and repurchase agreements. Eligible mortgage 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 on LIBOR for the other three agreements. Mortgage loans financed under these agreements may be re-pledged by the lenders. One facility also provides financing for government-insured loans purchased out of Ginnie Mae securities to effect either a loan modification or default resolution. Financial data pertaining to mortgage loans sold under agreements to repurchase are as follows: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Period end: Unpaid principal balance $ $ Unamortized issuance costs $ $ Unused amount (1) $ $ Weighted average interest rate % % Fair value of mortgage loans securing agreements to repurchase $ $ Margin deposits placed with counterparties (2) $ $ During the period: Average balance of mortgage loans sold under agreements to repurchase $ $ $ $ Weighted average interest rate (3) % % % % Total interest expense $ $ $ $ Maximum daily amount outstanding $ $ $ $ (1) The amount the Company is able to borrow under mortgage 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) Margin deposits are included in Other assets on the consolidated balance sheet. (3) Excludes the effect of amortization of commitment fees totaling $1.1 million and $3. 1 million for the quarter and nine months ended September 30, 2015, respectively, and $1.3 million and $3.5 million for the quarter and nine months ended September 30, 2014, respectively. Following is a summary of maturities of outstanding advances under repurchase agreements by maturity date: Remaining maturity at September 30, 2015 Balance (in thousands) Within 30 days $ Over 30 to 90 days Over 90 days Debt issuance costs Total loans sold under agreements to repurchase $ Weighted average maturity (in months) 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 September 30, 2015: Weighted average maturity of advances under repurchase Counterparty Amount at risk agreement Facility maturity (in thousands) Credit Suisse First Boston Mortgage Capital LLC $ December 10, 2015 October 30, 2015 Bank of America, N.A. $ December 20, 2015 January 29, 2016 Morgan Stanley Bank, N.A. $ November 19, 2015 July 26, 2016 Citibank, N.A. $ November 6, 2015 October 22, 2015 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 fair value (as determined by the applicable lender) of the mortgage loans securing those agreements decreases. Mortgage Loan Participation and Sale Agreement Under the mortgage loan participation and sale agreement , p articipation certificates, each of which represents an undivided beneficial ownership interest in mortgage loans that have been pooled with Fannie Mae, Freddie Mac or Ginnie Mae, are sold to the lender pending the securitization of the mortgage loans and sale of the resulting securities. A commitment to sell the securities resulting from the pending securitization between the Company and a non-affiliate is also assigned to the lender as part of the sale of the participation certificate. The purchase price paid by the lender for each participation certificate is based on the trade price of the security, plus an amount of interest expected to accrue on the security to its anticipated delivery date, minus a present value adjustment, any related hedging costs and a holdback amount that is based on a percentage of the purchase price and is not required to be paid to the Company until the settlement of the security and its delivery to the lender. The mortgage loan participation and sale agreement is summarized below: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Period end: Unpaid principal balance $ $ Unamortized issuance costs — $ $ Mortgage loans pledged to secure mortgage loan participation and sale agreement $ $ During the period: Average balance $ $ $ $ Weighted average interest rate (1) % % % % Total interest expense $ $ $ $ (1) Excludes the effect of amortization of commitment fees totaling $74,000 and $276,000 for the quarter and nine months ended September 30, 2015 , respectively, and $24,000 for the quarter and nine months ended September 30, 2014 . Note Payable The note payable is summarized below: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Period end: Note payable secured by: Mortgage servicing rights $ $ Servicing advances — — Unamortized issuance costs — $ $ Assets pledged to secure note payable: Mortgage servicing rights $ $ Servicing advances $ — $ — During the period: Average balance $ $ $ $ Weighted average interest rate % % % % Total interest expense $ $ $ $ The note payable wa s secured by servicing advances and MSRs relating to certain mortgage loans in the Company’s mortgage loan servicing portfolio, providing for advance rates of 50% of the carrying value of MSRs pledged and 85% of the amount of the servicing advances pledged . Interest wa s charged at a rate based on the lender’s overnight cost of funds. In connection with the note payable, the Company entered into an agreement with PMT pursuant to which PMT may borrow up to $150 million from the Company for the purpose of financing ESS. The Company then re-pledges the ESS to secure the note payable. At September 30, 2015, PMT had advances payable to the Company totaling $ 150.0 million under this arrangement. Excess Servicing Spread Financing In conjunction with the Company’s purchase from non-affiliates of certain MSRs relating to pools of Agency-backed residential mortgage loans, the Company has entered into sale and assignment agreements with PMT which are treated as financings and are carried at 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 a fixed base servicing fee and all ancillary income associated with servicing the mortgage loans. 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 September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Balance at beginning of period $ $ $ $ Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: For cash Pursuant to a recapture agreement with PennyMac Mortgage Investment Trust Accrual of interest Repayments Change in fair value Balance at end of period $ $ $ $ |
Liability for Losses Under Repr
Liability for Losses Under Representations and Warranties | 9 Months Ended |
Sep. 30, 2015 | |
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 September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Balance at beginning of period $ $ $ $ Provision for losses on loans sold Incurred losses — — Balance at end of period $ $ $ $ Unpaid principal balance of mortgage loans subject to representations and warranties at period end $ $ |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2015 | |
Income Taxes | |
Income Taxes | Note 15 —Income Taxes T he Compa ny’s effective tax rates for the quarter and nine months ended September 30, 2015 w ere 11.6% and 11.5% , respectively. T he Company’s effective tax rates f or the quarter and nine months ended September 30, 2014 were 11.5% and 11.4% , respectively. 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, the portion of the Company’s income that will be subject to corporate federal and state statutory tax rates will increase, which will in turn increase the Company’ s effective income tax rate. |
Noncontrolling Interest
Noncontrolling Interest | 9 Months Ended |
Sep. 30, 2015 | |
Noncontrolling Interest | |
Noncontrolling Interest | Note 16—Noncontrolling Interest During the quarter and nine months ended September 30, 2015, PennyMac unitholders exchanged 43,830 and 177,218 Class A units for the Company’s Class A common stock. The effect of the exchanges reduced the percentage of the Noncontrolling interest in Private National Mortgage Acceptance Company, LLC from 71.6% at December 31, 2014 to 71.3 % at September 30, 2015. During the quarter and nine months ended September 30, 2014, PennyMac unitholders exchanged 192,527 and 671,736 Class A units for the Company’s Class A common stock. The effect of the exchanges reduced the percentage of the Noncontrolling interest in Private National Mortgage Acceptance Company, LLC from 72.6% at December 31, 2013 to 71.7 % at September 30, 2014. Net income attributable to the Company’s common stockholders and the effects of changes in noncontrolling ownership interest in PennyMac is summarized below: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands, except share amounts) Net income attributable to PennyMac Financial Services, Inc. common stockholders $ $ $ $ Increase in the Company's additional paid-in capital for exchanges of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. (Class A shares issued, 43,830 and 177,218 during the quarter and nine months ended September 30, 2015, respectively, and 192,527 and 671,736 during the quarter and nine months ended September 30, 2014, respectively) $ $ $ $ |
Net Gains on Mortgage Loans Hel
Net Gains on Mortgage Loans Held for Sale | 9 Months Ended |
Sep. 30, 2015 | |
Net Gains on Mortgage Loans Held for Sale | |
Net Gains on Mortgage Loans Held for Sale | Note 17—Net Gains on Mortgage Loans Held for Sale Net gains on mortgage loans held for sale at fair value is summarized below: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Cash (loss) gain: Mortgage loans $ $ $ $ Hedging activities Non-cash gain: Mortgage servicing rights resulting from mortgage loan sales Mortgage servicing liabilities resulting from mortgage loan sales — — MSR and ESS recapture payable to PennyMac Mortgage Investment Trust Provision for losses relating to representations and warranties on loans sold Change in fair value relating to loans and hedging derivatives held at period end: Interest rate lock commitments Mortgage loans Hedging derivatives $ $ $ $ |
Net Interest Expense
Net Interest Expense | 9 Months Ended |
Sep. 30, 2015 | |
Net Interest Expense | |
Net Interest Expense | Note 18—Net Interest Expense Net interest expense is summarized below: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Interest income: From non-affiliates: Short-term investments $ $ $ $ Mortgage loans held for sale at fair value From PennyMac Mortgage Investment Trust—Note receivable — — Interest expense: To non-affiliates: Mortgage loans sold under agreements to repurchase Mortgage loan participation and sale agreement Note payable Interest shortfall on repayments of mortgage loans serviced for Agency securitizations Interest on mortgage loan impound deposits To PennyMac Mortgage Investment Trust—Excess servicing spread financing at fair value $ $ $ $ |
Stock-based Compensation
Stock-based Compensation | 9 Months Ended |
Sep. 30, 2015 | |
Stock-based Compensation | |
Stock-based Compensation | Note 19—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 September 30, 2015, the Company has 2.0 million units available for future awards. The Company estimates the cost of the stock options, time-based RSUs and performance-based RSUs awarded with reference to the fair value of the Company’s Class A common stock on the date of the grants. Compensation costs are fixed, except for the performance-based RSUs, at the grant’s estimated fair value on the grant date as all grantees are employees of PennyMac or directors of the Company. Expense relating to grants is included in Compensation in the Company’s consolidated statements of income. Following is a summary of the stock-based compensation expense by instrument awarded: Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Performance-based RSUs $ $ $ $ Stock options Time-based RSUs $ $ $ $ Following is a summary of equity awards: Quarter ended September 30, 2015 Performance- Time-based Stock options based RSUs RSUs (in thousands) June 30, 2015 Granted — — — Vested (1) — — Exercised — — Forfeited or canceled September 30, 2015 Quarter ended September 30, 2014 Performance- Time-based Stock options based RSUs RSUs (in thousands) June 30, 2014 Granted Vested (1) — — Exercised — — — Forfeited or canceled September 30, 2014 Nine months ended September 30, 2015 Performance- Time-based Stock options based RSUs RSUs (in thousands) December 31, 2014 Granted Vested (1) — Forfeited or canceled September 30, 2015 (1) Not applicable to a rollforward of stock options outstanding. Nine months ended September 30, 2014 Performance- Time-based Stock options based RSUs RSUs (in thousands) December 31, 2013 Granted Vested (1) — Forfeited or canceled September 30, 2014 Hfs10 (1) Not applicable to a rollforward of stock options outstanding. |
Supplemental Cash Flow Informat
Supplemental Cash Flow Information | 9 Months Ended |
Sep. 30, 2015 | |
Supplemental Cash Flow Information | |
Supplemental Cash Flow Information | Note 20—Supplemental Cash Flow Information Nine months ended September 30, 2015 2014 (in thousands) Cash paid for interest $ $ Cash paid for income taxes $ $ Non-cash investing activity: Mortgage servicing rights resulting from mortgage loan sales $ $ Mortgage servicing liabilities resulting from mortgage loan sales $ $ — Mortgage servicing rights recapture recognized $ $ — Non-cash financing activity: Transfer of excess servicing spread pursuant to recapture agreement with PennyMac Mortgage Investment Trust $ $ Issuance of common stock in settlement of director fees $ $ |
Regulatory Net Worth and Agency
Regulatory Net Worth and Agency Capital Requirements | 9 Months Ended |
Sep. 30, 2015 | |
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 and PennyMac, 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: Agency capital September 30, 2015 December 31, 2014 Agency–company subject to requirement Balance (1) Requirement Balance (1) Requirement (in thousands) Fannie Mae–PLS $ $ $ $ Freddie Mac–PLS $ $ $ $ Ginnie Mae–PLS $ $ $ $ Ginnie Mae–PennyMac $ $ $ $ HUD–PLS $ $ $ $ (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 September 30, 2015. |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2015 | |
Commitment 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 September 30, 2015, the Company was not involved in any legal proceedings, claims, or actions that in management’s view would be reasonably likely to have a material adverse effect on the Company. Commitments to Fund and Sell Mortgage Loans September 30, 2015 (in thousands) Commitments to purchase mortgage loans from PennyMac Mortgage Investment Trust $ Commitments to fund mortgage loans $ Commitments to sell mortgage loans $ |
Segments and Related Informatio
Segments and Related Information | 9 Months Ended |
Sep. 30, 2015 | |
Segments and Related Information | |
Segments and Related Information | Note 23—Segments and Related Information The Company operates in three segments: loan production, loan servicing and investment management. 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, execution and management of early buyout 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. During the quarter ended June 30, 2015, the Company updated its method for allocating incentive compensation for executive management and shared services to each segment. Incentive compensation for executive management and shared services is now allocated to each segment based on its contribution to earnings rather than on usage of such executive management and shared services. The financial highlights below reflect the change in expense allocation method for the periods ended September 30, 2015. The financial highlights for the periods ended September 30, 2014 have not been restated. Following is a summary of the effect of the change in allocation on the segments’ expenses for the periods ended September 30, 2014: Quarter ended Nine months ended September 30, 2014 (in thousands) Increase (decrease) in segment expenses: Mortgage banking Production $ $ Servicing Investment management $ — $ — Financial highlights by segment are as follows: Quarter ended September 30, 2015 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on mortgage loans held for sale at fair value $ $ $ $ — $ Loan origination fees — — Fulfillment fees from PennyMac Mortgage Investment Trust — — Net servicing fees — — Management fees — — — Carried Interest from Investment Funds — — — Net interest income (expense): Interest income — Interest expense — — Other Total net revenue Expenses Income (loss) before provision for income taxes and non-segment activities Non-segment activities Income (loss) before provision for income taxes $ $ $ $ $ Segment assets at period end (2) $ $ $ $ $ (1) All revenues are from external customers. (2) Excludes parent Company assets, which consist primarily of deferred tax asset of $25.9 million. Quarter ended September 30, 2014 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on mortgage loans held for sale at fair value $ $ $ $ — $ Loan origination fees — — Fulfillment fees from PennyMac Mortgage Investment Trust — — Net servicing fees — — Management fees — — — Carried Interest from Investment Funds — — — Net interest income (expense): Interest income — Interest expense — — Other Total net revenue Expenses Income before provision for income taxes $ $ $ $ $ Segment assets at period end (2) $ $ $ $ $ (1) All revenues are from external customers. (2) Excludes parent Company assets, which consist primarily of deferred tax assets of $52.8 million. Nine months ended September 30, 2015 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains (losses) on mortgage loans held for sale at fair value $ $ $ $ — $ Loan origination fees — — Fulfillment fees from PennyMac Mortgage Investment Trust — — Net servicing fees — — Management fees — — — Carried Interest from Investment Funds — — — Net interest income (expense): Interest income — Interest expense — — Other Total net revenue Expenses Income (loss) before provision for income taxes and non-segment activities Non-segment activities Income (loss) before provision for income taxes $ $ $ $ $ Segment assets at period end (2) $ $ $ $ $ (1) All revenues are from external customers. (2) Excludes parent Company assets, which consist primarily of deferred tax assets of $25.9 million . Nine months ended September 30, 2014 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on mortgage loans held for sale at fair value $ $ $ $ — $ Loan origination fees — — Fulfillment fees from PennyMac Mortgage Investment Trust — — Net servicing fees — — Management fees — — — Carried Interest from Investment Funds — — — Net interest income (expense): Interest income Interest expense — Other Total net revenue Expenses Income before provision for income taxes $ $ $ $ $ Segment assets at period end (2) $ $ $ $ $ (1) All revenues are from external customers. (2) Excludes parent Company assets, which consist primarily of deferred tax assets of $52.8 million. |
Recently Issued Accounting Pron
Recently Issued Accounting Pronouncements | 9 Months Ended |
Sep. 30, 2015 | |
Recently Issued Accounting Pronouncements. | |
Recently Issued Accounting Pronouncements | Note 24—Recently Issued Accounting Pronouncements In February 2015, the FASB issued ASU 2015-02, “ Consolidation (Topic 810): Amendments to the Consolidation Analysis” (“ASU 2015-02”). ASU 2015-02 affects reporting entities that are required to evaluate whether they should consolidate certain legal entities. ASU 2015-02 modifies the evaluation of whether limited partnerships and similar legal entities are VIEs or voting interest entities, eliminates the presumption that a general partner should consolidate a limited partnership and affects the consolidation analysis of reporting entities that are involved with variable interest entities (“VIEs”), particularly those that have fee arrangements and related party relationships. ASU 2015-02 is effective for fiscal years, and for interim periods within those fiscal years, beginning after December 15, 2015. Early adoption is permitted. A reporting entity may apply the amendments in ASU 2015-02 using: (a) a modified retrospective approach by recording a cumulative-effect adjustment to equity as of the beginning of the fiscal year of adoption; or (b) by applying the amendments retrospectively. The Company is currently assessing the potential effect that the adoption of ASU 2015-02 will have on its consolidated financial statements. In April 2015, the FASB issued ASU No. 2015-03. The amendments in this ASU require that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts. The recognition and measurement guidance for debt issuance costs are not affected by the amendments in this ASU. ASU 2015-03 should be applied on a retrospective basis and is effective for the Company for financial statements issued for fiscal years and interim periods within those fiscal years beginning after December 15, 2015. The Company adopted ASU 2015-03 during the quarter ended June 30, 2015. As a result of the adoption of ASU 2015-03, the Company, on its September 30, 2015 consolidated balance sheet, reclassified $716,000 in debt issuance costs from Other assets and allocated such costs in the amount of $705,000 to Mortgage loans sold under agreements to repurchase ; $1,000 to Mortgage loan participation and sale agreement ; and $10,000 to Note payable . There were no changes to the Company’s consolidated statements of income or consolidated statements of cash flows as a result of the Company’s adoption of ASU 2015-03. |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2015 | |
Subsequent Events | |
Subsequent Events | Note 25—Subsequent Events Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period: · On October 22, 2015, the Company, through PLS, entered into an amendment to its master repurchase agreement with Citibank, N.A. The primary purpose of the amendment was to increase the maximum aggregate purchase price to $200 million, $150 million of which is committed. The termination date was extended to October 20, 2016. PLS also agreed to maintain various financial and other covenants, which include maintaining (i) a minimum adjusted tangible net worth at all times greater than or equal to $170 million; (ii) a minimum in unrestricted cash and cash equivalents at all times greater than or equal to $20 million; (iii) a ratio of total liabilities to adjusted tangible net worth at all times less than 10:1; and (iv) profitability of at least $1.00 for each fiscal quarter. All other terms and conditions of the master repurchase agreement remain the same in all material aspects. · All agreements to repurchase assets that matured between September 30, 2015 and the date of this Report were extended or renewed. |
Organization and Basis of Pre32
Organization and Basis of Presentation (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Organization and Basis of Presentation | |
Summary of the reclassifications | December 31, 2014 As reported As previously reported Reclassification (in thousands) Assets: Other $ $ $ Total assets $ $ $ Liabilities: Mortgage loans sold under agreements to repurchase $ $ $ Mortgage loan participation and sale agreement $ $ $ Total liabilities $ $ $ Total liabilities and stockholders' equity $ $ $ |
Transactions with Affiliates (T
Transactions with Affiliates (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
PMT | |
Transactions with Affiliates | |
Summary of lending activity between the Company and affiliate | Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Fulfillment fee revenue $ $ $ $ Unpaid principal balance of loans fulfilled for PennyMac Mortgage Investment Trust $ $ $ $ Sourcing fees paid $ $ $ $ Unpaid principal balance of loans purchased from PennyMac Mortgage Investment Trust $ $ $ $ Proceeds from sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust $ $ $ $ Tax service fee receivable from PennyMac Mortgage Investment Trust $ $ $ $ Mortgage servicing rights recapture recognized $ $ — $ $ |
Summary of mortgage loan servicing fees earned from PMT | Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Loan servicing fees relating to PennyMac Mortgage Investment Trust: Mortgage loans acquired for sale at fair value: Base and supplemental $ $ $ $ Activity-based Mortgage loans at fair value: Base and supplemental Activity-based Mortgage loans held in a variable interest entity by PennyMac Mortgage Investment Trust: Base and supplemental Activity-based — — — — Mortgage servicing rights: Base and supplemental Activity-based $ $ $ $ |
Summary of management fees earned | Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Management fees: Base $ $ $ $ Performance incentive — $ $ $ $ |
Summary of financing activity between the Company and affiliate | Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Financing activities: Excess servicing spread financing: Issuance $ $ $ $ Repayment $ $ $ $ Change in fair value (gain) loss $ $ $ $ Interest expense $ $ $ $ Recapture recognized $ $ $ $ Investing activities: Note receivable from PennyMac Mortgage Investment Trust—secured: Advances $ $ — $ $ — Repayment $ — $ — $ $ — Interest income $ $ — $ $ — |
Summary of reimbursement of expenses | Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Reimbursement of: Common overhead incurred by the Company (1) $ $ $ $ Expenses incurred on PMT's behalf $ $ $ $ Payments and settlements during the period (2) $ $ $ $ (1) During the quarter and nine month periods ended September 30, 2015, in accordance with the terms of its management agreement with PMT, the Company provided PMT with discretionary waiver s of $900,000 and $1.6 million, respectively, of overhead expenses otherwise allocable to PMT. (2) Payments and settlements include payments for correspondent production activities, loan servicing activities , management activities , investment activities and financing activities itemized in the preceding tables and netting settlements made pursuant to master netting agreements between the Company and PMT. |
Summary of amounts due from affiliate | September 30, December 31, 2015 2014 (in thousands) Management fees $ $ Allocated expenses Fulfillment fees Servicing fees Conditional Reimbursement Unsettled excess servicing spread issuance — $ $ |
Investment Funds | |
Transactions with Affiliates | |
Summary of amounts due from affiliate | September 30, December 31, 2015 2014 (in thousands) Carried Interest due from Investment Funds: PNMAC Mortgage Opportunity Fund, LLC $ $ PNMAC Mortgage Opportunity Fund Investors, LLC $ $ Receivable from Investment Funds: Management fees $ $ Loan servicing fees Expense reimbursements Loan servicing rebate $ $ |
Earnings Per Share of Common 34
Earnings Per Share of Common Stock (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Earnings Per Share of Common Stock | |
Summary of basic and diluted earnings per share calculations | Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands, except per share data) Basic earnings per share of common stock: Net income attributable to PennyMac Financial Services, Inc. common stockholders $ $ $ $ Weighted average shares of common stock outstanding Basic earnings per share of common stock $ $ $ $ Diluted earnings per share of common stock: Net income $ $ $ $ Effect of net income attributable to noncontrolling interest, net of income taxes Diluted net income attributable to common stockholders $ $ $ $ Weighted average shares of common stock outstanding Dilutive shares: PennyMac Class A units exchangeable to common stock Non-vested PennyMac Class A units issuable under unit-based stock compensation plan and exchangeable to common stock Shares issuable under stock-based compensation plans Diluted weighted average shares of common stock outstanding Diluted earnings per share of common stock $ $ $ $ |
Loan Sales and Servicing Acti35
Loan Sales and Servicing Activities (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Loan Sales and Servicing Activities | |
Summary of cash flows between the Company and transferees upon sale of mortgage loans in transactions | Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Cash flows: Sales proceeds $ $ $ $ Servicing fees received (1) $ $ $ $ Net servicing advances (recoveries) $ $ $ $ Period end information: Unpaid principal balance of mortgage loans outstanding at end of period $ $ Delinquencies: 30-89 days $ $ 90 days or more or in foreclosure or bankruptcy $ $ (1) Net of guarantee fees paid to the Agencies . |
Summary of mortgage servicing portfolio | September 30, 2015 Contract Servicing servicing and Total rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities $ $ — $ Affiliated entities — Mortgage loans held for sale — $ $ $ Amount subserviced for the Company (1) $ $ — $ Delinquent mortgage loans: 30 days $ $ $ 60 days 90 days or more Not in foreclosure In foreclosure Foreclosed $ $ $ Custodial funds managed by the Company (2) $ $ $ (1) Certain of the mortgage loans serviced by the Company are subserviced on the Company’s behalf by other mortgage loan servicers. Mortgage 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 been transferred to the Company’s servicing system. (2) Borrower and investor custodial cash accounts relate to mortgage 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 mortgage loans’ investors, which is recorded as part of the interest income in the Company’s consolidated statements of income. December 31, 2014 Contract Servicing servicing and Total rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities $ $ — $ Affiliated entities — Mortgage loans held for sale — $ $ $ Amount subserviced for the Company (1) $ — $ $ Delinquent mortgage loans: 30 days $ $ $ 60 days 90 days or more Not in foreclosure In foreclosure Foreclosed $ $ Custodial funds managed by the Company (2) $ $ $ (1) Certain of the mortgage loans serviced by the Company are subserviced on the Company’s behalf by other mortgage loan servicers. Mortgage 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 been transferred to the Company’s servicing system. (2) Borrower and investor custodial cash accounts relate to mortgage 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 mortgage 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 (UPB) | September 30, December 31, State 2015 2014 (in thousands) California $ $ Texas Virginia Florida Maryland * Washington * All other states $ $ * State did not represent a top five state as of the respective date. |
Netting of Financial Instrume36
Netting of Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Netting of Financial Instruments | |
Summaries of derivative assets and related netting amounts | September 30, 2015 December 31, 2014 Gross Gross amount Net amount Gross Gross amount Net amount amount of offset in the of assets in the amount of offset in the of assets in the recognized consolidated consolidated recognized consolidated consolidated assets balance sheet balance sheet assets balance sheet balance sheet (in thousands) Derivatives subject to master netting arrangements: Forward purchase contracts $ $ — $ $ $ — $ Forward sale contracts — — MBS put options — — Put options on interest rate futures purchase contracts — — Call options on interest rate futures purchase contracts — — Netting — — Derivatives not subject to master netting arrangements - IRLCs — — $ $ $ $ $ $ |
Summary of the amount of derivative asset positions by significant counterparty after considering master netting arrangements and financial instruments or cash pledged | September 30, 2015 December 31, 2014 Gross amount not Gross amount not offset in the offset in the consolidated consolidated balance sheet balance sheet Net amount Net amount of assets in the Cash of assets in the Cash consolidated Financial collateral Net consolidated Financial collateral Net balance sheet instruments received amount balance sheet instruments received amount (in thousands) Interest rate lock commitments $ $ — $ — $ $ $ — $ — $ RJ O'Brien — — — — Jefferies & Co. — — — — Bank of America, N.A. — — — — — — Nomura — — — — Wells Fargo Bank, N.A. — — — — Goldman Sachs — — — — — — JP Morgan — — — — — — Others — — — — $ $ — $ — $ $ $ — $ — $ |
Summary of net derivative liabilities and assets sold under agreements to repurchase and related netting amounts | September 30, 2015 December 31, 2014 Net Net amount amount Gross Gross amount of liabilities Gross Gross amount of liabilities amount of offset in the in the amount of offset in the in the recognized consolidated consolidated recognized consolidated consolidated liabilities balance sheet balance sheet liabilities balance sheet balance sheet (in thousands) Derivatives subject to a master netting arrangement: Forward purchase contracts $ $ — $ $ $ — $ Forward sale contracts — — Put options on interest rate futures sale contracts — — — — Netting — — Derivatives not subject to a master netting arrangement - IRLCs — — Total derivatives Mortgage loans sold under agreements to repurchase: Amount outstanding — — Unamortized debt issuance costs — — — — $ $ $ $ $ $ |
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 | September 30, 2015 December 31, 2014 Gross amount Gross amount not offset in the not offset in the consolidated consolidated balance sheet balance sheet Net amount Net amount Net amount Net amount of liabilities of liabilities of liabilities of liabilities in the Cash in the in the Cash in the consolidated Financial collateral consolidated consolidated Financial collateral consolidated balance sheet instruments pledged balance sheet balance sheet instruments pledged balance sheet (in thousands) Interest rate lock commitments $ $ — $ — $ $ $ — $ — $ Credit Suisse First Boston Mortgage Capital LLC — — Bank of America, N.A. — — — Morgan Stanley Bank, N.A. — — Citibank, N.A. — — Bank of Oklahoma — — — — Multi-Bank — — — — — — JP Morgan — — — — — — Bank of New York Mellon — — — — — — Others — — — — $ $ $ — $ $ $ $ — $ |
Fair Value (Tables)
Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Fair Value | |
Summary of financial statement items measured at estimated fair value on a recurring basis | September 30, 2015 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ $ — $ — $ Mortgage loans held for sale at fair value — Derivative assets: Interest rate lock commitments — — Forward purchase contracts — — Forward sales contracts — — MBS put options — — Put options on interest rate futures purchase contracts — — Call options on interest rate futures purchase contracts — — Total derivative assets before netting Netting (1) — — — Total derivative assets Investment in PennyMac Mortgage Investment Trust — — Mortgage servicing rights at fair value — — $ $ $ $ Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ — $ $ Derivative liabilities: Interest rate lock commitments — — Forward purchase contracts — — Forward sales contracts — — Total derivative liabilities before netting — Netting (1) — — — Total derivative liabilities — Mortgage servicing liabilities — — $ — $ $ $ (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, 2014 Level 1 Level 2 Total Total (in thousands) Assets: Short-term investments $ $ — $ — $ Mortgage loans held for sale at fair value — Derivative assets: Interest rate lock commitments — — Forward purchase contracts — — Forward sales contracts — — MBS put options — — Put options on interest rate futures purchase contracts — — Call options on interest rate futures purchase contracts — — Total derivative assets before netting Netting (1) — — — Total derivative assets Investment in PennyMac Mortgage Investment Trust — — Mortgage servicing rights at fair value — — $ $ $ $ Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ — $ $ Derivative liabilities: Interest rate lock commitments — — Forward purchase contracts — — Forward sales contracts — — Put options on interest rate futures sale contracts — — Total derivative liabilities before netting Netting (1) — — — Total derivative liabilities Mortgage servicing liabilities — — $ $ $ $ (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. |
Summary of roll forward of items measured using Level 3 inputs on a recurring basis | Quarter ended September 30, 2015 Mortgage Net interest Mortgage loans held rate lock servicing for sale commitments (1) rights Total (in thousands) Assets: Balance, June 30, 2015 $ $ $ $ Purchases — Sales — — Repayments — — Interest rate lock commitments issued, net — — Mortgage servicing rights resulting from mortgage loan sales — — Changes in fair value included in income arising from: Changes in instrument-specific credit risk — — — — Other factors Transfers of mortgage loans held for sale from Level 3 to Level 2 (2) — — Transfers of interest rate lock commitments to mortgage loans held for sale — — Balance, September 30, 2015 $ $ $ $ Changes in fair value recognized during the period relating to assets still held at September 30, 2015 $ $ $ $ (1) For the purpose of this table, the IRLC asset and liability positions are shown net. (2) Mortgage loans held for sale are transferred from Level 3 to Level 2 as a result of the mortgage loan becoming saleable into active mortgage markets pursuant to a loan modification, borrower reperformance or resolution of deficiencies. Quarter ended September 30, 2015 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance, June 30, 2015 $ $ $ Issuance of excess servicing spread financing — Excess servicing spread financing issued pursuant to a recapture agreement with PennyMac Mortgage Investment Trust — Accrual of interest on excess servicing spread — Repayments — Mortgage servicing liabilities resulting from mortgage loan sales — Changes in fair value included in income Balance, September 30, 2015 $ $ $ Changes in fair value recognized during the period relating to liabilities still held at September 30, 2015 $ $ $ Quarter ended September 30, 2014 Mortgage Net interest Mortgage loans held rate lock servicing for sale commitments (1) rights Total (in thousands) Assets: Balance, June 30, 2014 $ $ $ $ Purchases — Repayments — — Interest rate lock commitments issued, net — — Mortgage servicing rights resulting from mortgage loan sales — — Sales — — Changes in fair value included in income arising from: Changes in instrument-specific credit risk — — — — Other factors Transfers of mortgage loans held for sale from Level 3 to Level 2 (2) — — Transfers of interest rate lock commitments to mortgage loans held for sale — — Balance, September 30, 2014 $ $ $ $ Changes in fair value recognized during the period relating to assets still held at September 30, 2014 $ $ $ $ (1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. (2) Mortgage loans held for sale are transferred from Level 3 to Level 2 as a result of the mortgage loan becoming saleable into active mortgage markets pursuant to a loan modification, borrower reperformance or resolution of deficiencies. Quarter ended September 30, 2014 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance, June 30, 2014 $ $ $ Issuance of excess servicing spread financing — Excess servicing spread financing issued pursuant to a recapture agreement with PennyMac Mortgage Investment — Accrual of interest on excess servicing spread — Repayments — Changes in fair value included in income Balance, September 30, 2014 $ $ $ Changes in fair value recognized during the period relating to liabilities still held at September 30, 2014 $ $ $ Nine months ended September 30, 2015 Mortgage Net interest Mortgage loans held rate lock servicing for sale commitments (1) rights Total (in thousands) Assets: Balance, December 31, 2014 $ $ $ $ Purchases — Sales — — Repayments — — Interest rate lock commitments issued, net — — Mortgage servicing rights resulting from mortgage loan sales — — Changes in fair value included in income arising from: Changes in instrument-specific credit risk — — Other factors Transfers of mortgage loans held for sale from Level 3 to Level 2 (2) — — Transfers of interest rate lock commitments to mortgage loans held for sale — — Balance, September 30, 2015 $ $ $ $ Changes in fair value recognized during the period relating to assets still held at September 30, 2015 $ $ $ $ (1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. (2) Mortgage loans held for sale are transferred from Level 3 to Level 2 as a result of the mortgage loan becoming saleable into active mortgage markets pursuant to a loan modification, borrower reperformance or resolution of deficiencies. Nine months ended September 30, 2015 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance, December 31, 2014 $ $ $ Issuance of excess servicing spread financing — Excess servicing spread financing issued pursuant to a recapture agreement with PennyMac Mortgage Investment Trust — Accrual of interest on excess servicing spread — Repayments — Mortgage servicing liabilities resulting from mortgage loan sales — Changes in fair value included in income Balance, September 30, 2015 $ $ $ Changes in fair value recognized during the year relating to liabilities still held at September 30, 2015 $ $ $ Nine months ended September 30, 2014 Mortgage Net interest Mortgage loans held rate lock servicing for sale commitments (1) rights Total (in thousands) Assets: Balance December 31, 2013 $ $ $ $ Purchases — Repayments — — Interest rate lock commitments issued, net — — Mortgage servicing rights resulting from mortgage loan sales — — Sales — Changes in fair value included in income arising from: Changes in instrument-specific credit risk — — — — Other factors Transfers of mortgage loans held for sale from Level 3 to Level 2 (2) — — Transfers of interest rate lock commitments to mortgage loans held for sale — — Balance, September 30, 2014 $ $ $ $ Changes in fair value recognized during the period relating to assets still held at September 30, 2014 $ $ $ $ (1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. (2) Mortgage loans held for sale are transferred from Level 3 to Level 2 as a result of the mortgage loan becoming saleable into active mortgage markets pursuant to a loan modification, borrower reperformance or resolution of deficiencies. Nine months ended September 30, 2014 Excess Mortgage servicing spread servicing financing liabilities Total (in thousands) Liabilities: Balance December 31, 2013 $ $ — $ Issuance of excess servicing spread financing — Excess servicing spread financing issued pursuant to a recapture agreement with PennyMac Mortgage Investment Trust — Accrual of interest on excess servicing spread financing — Repayments — Changes in fair value included in income Balance, September 30, 2014 $ $ $ Changes in fair value recognized during the period relating to liabilities still held at September 30, 2014 $ $ $ |
Summary of net gains (losses) from changes in fair values included in earnings for financial statement items carried at fair value | Quarter ended September 30, 2015 2014 Net gains on Net gains on mortgage mortgage loans held Net loan loans held Net loan for sale at servicing for sale at servicing fair value fees Total fair value fees Total (in thousands) Assets: Mortgage loans held for sale at fair value $ $ — $ $ $ — $ Mortgage servicing rights at fair value — — $ $ $ $ $ $ Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ $ $ — $ $ Mortgage servicing liabilities at fair value — — $ — $ $ $ — $ $ Nine months ended September 30, 2015 2014 Net gains on Net gains on mortgage mortgage loans held Net loans held Net for sale at servicing for sale at servicing fair value fees Total fair value fees Total (in thousands) Assets: Mortgage loans held for sale at fair value $ $ — $ $ $ — $ Mortgage servicing rights at fair value — — $ $ $ $ $ $ Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ $ $ — $ $ Mortgage servicing liabilities at fair value — — $ — $ $ $ — $ $ |
Schedule of fair value and related principal amounts due upon maturity of assets and liabilities accounted for under the fair value option | September 30, 2015 Principal amount Fair due upon value maturity Difference (in thousands) Mortgage loans held for sale: Current through 89 days delinquent $ $ $ 90 days or more delinquent: Not in foreclosure In foreclosure $ $ $ December 31, 2014 Principal amount Fair due upon value maturity Difference (in thousands) Mortgage loans held for sale: Current through 89 days delinquent $ $ $ 90 days or more delinquent: Not in foreclosure In foreclosure $ $ $ |
Summary of financial statement items measured at estimated fair value on a nonrecurring basis | September 30, 2015 Level 1 Level 2 Level 3 Total (in thousands) Mortgage servicing rights at lower of amortized cost or fair value $ — $ — $ $ $ — $ — $ $ December 31, 2014 Level 1 Level 2 Level 3 Total (in thousands) Mortgage servicing rights at lower of amortized cost or fair value $ — $ — $ $ $ — $ — $ $ |
Summary of total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Mortgage servicing rights at lower of amortized cost or 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 inputs | September 30, 2015 December 31, 2014 Fair Amortized Fair Amortized value cost value cost (Carrying value, unpaid principal balance of underlying mortgage loans and effect on fair value amounts in thousands) MSR and pool characteristics: Carrying value $669,667 $637,725 $325,383 $405,445 Unpaid principal balance of underlying mortgage loans $55,911,946 $51,064,561 $30,945,000 $33,745,613 Weighted average note interest rate 4.14% 3.83% 4.24% 3.82% Weighted average servicing fee rate (in basis points) 32 32 31 30 Key inputs: Pricing spread (1) (2) Range 7.2% – 12.8% 7.2% – 12.8% 2.9% – 21.3% 6.3% – 15.3% Weighted average 8.6% 8.9% 9.2% 9.7% Effect on fair value of: 5% adverse change ($11,102) ($11,337) ($5,550) ($8,710) 10% adverse change ($21,839) ($22,287) ($10,908) ($17,083) 20% adverse change ($42,283) ($43,099) ($21,084) ($32,890) Average life (in years) Range 0.1 – 8.8 1.9 – 8.9 0.4 – 8.2 1.6 – 7.3 Weighted average 6.6 6.9 5.8 6.8 Prepayment speed (1) (3) Range 5.6% – 44.5% 6.0% – 43.3% 7.6% – 60.5% 7.6% – 42.8% Weighted average 10.5% 10.7% 11.2% 8.5% Effect on fair value of: 5% adverse change ($14,081) ($13,780) ($7,052) ($7,359) 10% adverse change ($27,622) ($27,024) ($13,835) ($14,494) 20% adverse change ($53,202) ($52,016) ($26,654) ($28,132) Annual per-loan cost of servicing (1) Range $68 – $98 $68 – $95 $59 – $109 $59 – $81 Weighted average $86 $84 $76 $75 Effect on fair value of: 5% adverse change ($6,897) ($4,948) ($2,910) ($2,992) 10% adverse change ($13,794) ($9,896) ($5,819) ($5,983) 20% adverse change ($27,588) ($19,791) ($11,638) ($11,967) (1) The effect on value of an adverse change in one of the above-mentioned key inputs will result in recognized change in fair value for MSRs carried at fair value and may result in recognition of MSR impairment for MSRs carried at the lower of amortized cost or fair value. The extent of the recognized MSR impairment will depend on the relationship of fair value to the carrying value of such MSRs. (2) 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. (3) Prepayment speed is measured using Life Total CPR. |
Schedule of key inputs used in determining the fair value of ESS financing | September 30, December 31, 2015 2014 ESS and pool characteristics: Unpaid principal balance of underlying loans (in thousands) $54,189,421 $28,227,340 Average servicing fee rate (in basis points) 32 31 Average excess servicing spread (in basis points) 17 16 Key inputs: Pricing spread (1) Range 4.8% – 6.5% 1.7% – 12.0% Weighted average 5.7% 5.3% Average life (in years) Range 1.5 – 8.9 0.4 – 7.3 Weighted average 6.7 5.8 Annualized prepayment speed (2) Range 5.5% – 50.3% 7.6% – 74.6% Weighted average 10.4% 11.2% (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 LIBOR curve for purposes of discounting cash flows relating to ESS. (2) Prepayment speed is measured using Life Total CPR. |
Interest rate lock commitments | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | Key inputs September 30, 2015 December 31, 2014 Pull-through rate Range 50.3% – 100.0% 55.4% – 99.9% Weighted average 85.5% 85.5% Mortgage servicing rights value expressed as: Servicing fee multiple Range 0.8 – 5.8 2.0 – 5.0 Weighted average 3.9 3.7 Percentage of unpaid principal balance Range 0.2% – 3.7% 0.4% – 3.1% Weighted average 1.3% 1.2% |
Mortgage servicing rights | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items, excluding MSR purchases | Quarter ended September 30, 2015 2014 Fair Amortized Fair Amortized value cost value cost (Amount recognized and unpaid principal balance of underlying mortgage loans in thousands) MSR and pool characteristics: Amount recognized $6,989 $154,707 $6,381 $54,819 Unpaid principal balance of underlying mortgage loans $550,073 $11,369,493 $515,866 $4,498,619 Weighted average servicing fee rate (in basis points) 32 34 34 31 Key inputs: Pricing spread (1) Range 7.0% – 14.4% 6.8% – 16.2% 8.0% – 15.4% 7.5% – 15.2% Weighted average 8.9% 9.1% 11.6% 10.9% Annual total prepayment speed (2) Range 7.7% – 52.3% 7.5% – 35.0% 7.6% – 42.3% 7.6% – 47.8% Weighted average 11.9% 9.2% 9.7% 8.3% Life (in years) Range 1.4 – 7.5 1.9 – 9.1 1.6 – 7.3 1.4 – 7.3 Weighted average 6.5 7.0 6.7 7.1 Per-loan annual cost of servicing Range $59 – $101 $59 – $95 $54 – $93 $54 – $93 Weighted average $75 $78 $83 $85 (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 Offered 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. Nine months ended September 30, 2015 2014 Fair Amortized Fair Amortized value cost value cost (Amount recognized and unpaid principal balance of underlying mortgage loans in thousands) MSR and pool characteristics: Amount recognized $13,107 $347,549 $20,647 $127,727 Unpaid principal balance of underlying mortgage loans $1,072,203 $25,268,602 $1,627,529 $10,672,629 Weighted average servicing fee rate (in basis points) 32 35 33 31 Key inputs: Pricing spread (1) Range 7.0% – 14.4% 6.8% – 16.2% 8.0% – 16.2% 6.8% – 15.2% Weighted average 9.4% 9.2% 11.4% 10.8% Annual total prepayment speed (2) Range 7.7% – 62.4% 7.5% – 39.4% 7.6% – 42.3% 7.6% – 47.8% Weighted average 11.6% 8.8% 9.0% 8.2% Life (in years) Range 1.1 – 7.5 1.8 – 9.1 1.6 – 7.5 1.4 – 7.5 Weighted average 6.5 7.0 7.0 7.1 Per-loan annual cost of servicing Range $59 – $101 $59 – $95 $53 – $100 $53 – $100 Weighted average $75 $76 $89 $90 (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 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. |
Mortgage loans held for sale | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | Key inputs September 30, 2015 December 31, 2014 Discount rate Range 2.5% – 8.8% 2.3% – 9.6% Weighted average 2.8% 2.4% Twelve-month projected housing price index change Range 2.8% – 6.0% 4.2% – 5.4% Weighted average 4.3% 4.5% Prepayment/resale speed (1) Range 0.6% – 18.5% 1.3% – 15.5% Weighted average 17.2% 15.1% Total prepayment speed (2) Range 1.0% – 35.1% 2.1% – 38.1% Weighted average 32.1% 35.7% (1) Voluntary prepayment/resale 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 38
Mortgage Loans Held for Sale at Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Mortgage Loans Held for Sale at Fair Value | |
Summary of mortgage loans held for sale at fair value | September 30, December 31, 2015 2014 (in thousands) Government-insured or guaranteed $ $ Conventional conforming Jumbo Delinquent mortgage loans purchased from Ginnie Mae pools serviced by the Company Mortgage loans repurchased pursuant to representations and warranties $ $ Fair value of mortgage loans pledged to secure: Mortgage loans sold under agreements to repurchase $ $ Mortgage loans pledged to secure mortgage loan participation and sale agreement $ $ |
Derivative Financial Instrume39
Derivative Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Derivative Financial Instruments | |
Summary of derivative financial instruments | September 30, 2015 December 31, 2014 Fair value Fair value Notional Derivative Derivative Notional Derivative Derivative Instrument amount assets liabilities amount assets liabilities (in thousands) Derivatives not designated as hedging instruments Free-standing derivatives: Interest rate lock commitments $ $ $ $ Forward purchase contracts Forward sales contracts MBS put options — — Put options on interest rate futures purchase contracts — — Call options on interest rate futures purchase contracts — — Put options on interest rate futures sale contracts — — — — Total derivatives before netting Netting $ $ $ $ Margin deposits placed with (collateral received from) derivative counterparties, net $ $ |
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 | Quarter ended September 30, 2015 Balance Balance beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts Forward sale contracts MBS put options MBS call options — — Put options on interest rate futures purchase contracts Call options on interest rate futures purchase contracts Quarter ended September 30, 2014 Balance Balance beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts Forward sale contracts MBS put options MBS call options Put options on interest rate futures purchase contracts Call options on interest rate futures purchase contracts Treasury futures purchase contracts — — Treasury futures sale contracts — — Call options on interest rate futures sales contracts — — Nine months ended September 30, 2015 Balance Balance beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts Forward sale contracts MBS put options MBS call options — — Put options on interest rate futures purchase contracts Call options on interest rate futures purchase contracts Put options on interest rate futures sale contracts — Call options on interest rate futures sale contracts — — Nine months ended September 30, 2014 Balance Balance beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts Forward sale contracts MBS put options MBS call options Put options on interest rate futures purchase contracts — Call options on interest rate futures purchase contracts — Treasury futures purchase contracts — — Treasury futures sale contracts — — Call options on interest rate futures sales contracts — — Following are the gains (losses) |
Summary of gains (losses) recognized on derivative financial instruments and the respective income statement line items | Quarter ended September 30, Nine months ended September 30, Hedged item Income statement line 2015 2014 2015 2014 (in thousands) Interest rate lock commitments and mortgage loans held for sale Net gain on mortgage loans held for sale $ $ $ $ Mortgage servicing rights Net loan servicing fees $ $ $ $ |
Mortgage Servicing Rights (Tabl
Mortgage Servicing Rights (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Mortgage Servicing Rights | |
Schedule of activity in MSRs carried at fair value | Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Balance at beginning of period $ $ $ $ Additions: Purchases Mortgage servicing rights resulting from mortgage loan sales Sales — — — Change in fair value due to: Changes in valuation inputs or assumptions used in valuation model (1) Other changes in fair value (2) Total change in fair value Balance at end of period $ $ $ $ (1) Principally reflects changes in discount rates and prepayment speed inputs, primarily due to changes in market mortgage 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 September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Amortized cost: Balance at beginning of period $ $ $ $ Mortgage servicing rights resulting from mortgage loan sales Amortization Application of valuation allowance to write down mortgage servicing rights with other-than-temporary impairment — — — — Balance at end of period Valuation allowance: Balance at beginning of period Additions Application of valuation allowance to write down mortgage servicing rights with other-than-temporary impairment — — — — Balance at end of period Mortgage servicing rights, net $ $ $ $ Fair value of mortgage servicing rights at end of period $ $ $ $ Fair value of mortgage servicing rights at beginning of period $ $ $ $ |
Summary of estimate of future amortization of existing MSRs | Estimated MSR Twelve month period ending September 30, amortization (in thousands) 2016 $ 2017 2018 2019 2020 Thereafter $ |
Summary of servicing fees, late fees and ancillary and other fees relating to MSRs recorded on the consolidated statements of income | Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Contractual servicing fees $ $ $ $ Ancillary and other fees: Late charges Other $ $ $ $ |
Schedule of activity in mortgage servicing liability carried at fair value | Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Balance at beginning of period $ $ $ $ — Mortgage servicing liabilities resulting from mortgage loan sales — — Change in fair value Balance at end of period $ $ $ $ |
Carried Interest Due from Inv41
Carried Interest Due from Investment Funds (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Carried Interest Due from Investment Funds | |
Summary of activity in the Company's Carried interest due from Investment Funds | Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Balance at beginning of period $ $ $ $ Carried Interest recognized during the period Proceeds received during the period — — — — Balance at end of period $ $ $ $ |
Investment in PennyMac Mortga42
Investment in PennyMac Mortgage Investment Trust at Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
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 September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Dividends received from PennyMac Mortgage Investment Trust $ $ $ $ Change in fair value of investment in PennyMac Mortgage Investment Trust $ $ $ $ Fair value of PennyMac Mortgage Investment Trust shares at period end $ $ |
Borrowings (Tables)
Borrowings (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Borrowings | |
Summary of financial data pertaining to mortgage loans sold under agreements to repurchase | Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Period end: Unpaid principal balance $ $ Unamortized issuance costs $ $ Unused amount (1) $ $ Weighted average interest rate % % Fair value of mortgage loans securing agreements to repurchase $ $ Margin deposits placed with counterparties (2) $ $ During the period: Average balance of mortgage loans sold under agreements to repurchase $ $ $ $ Weighted average interest rate (3) % % % % Total interest expense $ $ $ $ Maximum daily amount outstanding $ $ $ $ (1) The amount the Company is able to borrow under mortgage 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) Margin deposits are included in Other assets on the consolidated balance sheet. (3) Excludes the effect of amortization of commitment fees totaling $1.1 million and $3. 1 million for the quarter and nine months ended September 30, 2015, respectively, and $1.3 million and $3.5 million for the quarter and nine months ended September 30, 2014, respectively. |
Summary of maturities of outstanding advances under repurchase agreements by maturity date | Remaining maturity at September 30, 2015 Balance (in thousands) Within 30 days $ Over 30 to 90 days Over 90 days Debt issuance costs Total loans sold under agreements to repurchase $ Weighted average maturity (in months) |
Summary of amount at risk relating to the mortgage loans held for sale sold under agreements to repurchase by counterparty | Weighted average maturity of advances under repurchase Counterparty Amount at risk agreement Facility maturity (in thousands) Credit Suisse First Boston Mortgage Capital LLC $ December 10, 2015 October 30, 2015 Bank of America, N.A. $ December 20, 2015 January 29, 2016 Morgan Stanley Bank, N.A. $ November 19, 2015 July 26, 2016 Citibank, N.A. $ November 6, 2015 October 22, 2015 |
Summary of mortgage loan participations | Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Period end: Unpaid principal balance $ $ Unamortized issuance costs — $ $ Mortgage loans pledged to secure mortgage loan participation and sale agreement $ $ During the period: Average balance $ $ $ $ Weighted average interest rate (1) % % % % Total interest expense $ $ $ $ Excludes the effect of amortization of commitment fees totaling $74,000 and $276,000 for the quarter and nine months ended September 30, 2015 , respectively, and $24,000 for the quarter and nine months ended September 30, 2014 . |
Summary of note payable | Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Period end: Note payable secured by: Mortgage servicing rights $ $ Servicing advances — — Unamortized issuance costs — $ $ Assets pledged to secure note payable: Mortgage servicing rights $ $ Servicing advances $ — $ — During the period: Average balance $ $ $ $ Weighted average interest rate % % % % Total interest expense $ $ $ $ |
Summary of roll forward of Excess Servicing Spread Financing | Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Balance at beginning of period $ $ $ $ Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: For cash Pursuant to a recapture agreement with PennyMac Mortgage Investment Trust Accrual of interest Repayments Change in fair value Balance at end of period $ $ $ $ |
Liability for Losses Under Re44
Liability for Losses Under Representations and Warranties (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Liability for Losses Under Representations and Warranties | |
Summary of repurchase activity | Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Balance at beginning of period $ $ $ $ Provision for losses on loans sold Incurred losses — — Balance at end of period $ $ $ $ Unpaid principal balance of mortgage loans subject to representations and warranties at period end $ $ |
Noncontrolling Interest (Tables
Noncontrolling Interest (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Noncontrolling Interest | |
Noncontrolling Interest | Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands, except share amounts) Net income attributable to PennyMac Financial Services, Inc. common stockholders $ $ $ $ Increase in the Company's additional paid-in capital for exchanges of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. (Class A shares issued, 43,830 and 177,218 during the quarter and nine months ended September 30, 2015, respectively, and 192,527 and 671,736 during the quarter and nine months ended September 30, 2014, respectively) $ $ $ $ |
Net Gains on Mortgage Loans H46
Net Gains on Mortgage Loans Held for Sale (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Net Gains on Mortgage Loans Held for Sale | |
Net Gains on Mortgage Loans Held for Sale | Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Cash (loss) gain: Mortgage loans $ $ $ $ Hedging activities Non-cash gain: Mortgage servicing rights resulting from mortgage loan sales Mortgage servicing liabilities resulting from mortgage loan sales — — MSR and ESS recapture payable to PennyMac Mortgage Investment Trust Provision for losses relating to representations and warranties on loans sold Change in fair value relating to loans and hedging derivatives held at period end: Interest rate lock commitments Mortgage loans Hedging derivatives $ $ $ $ |
Net Interest Expense (Tables)
Net Interest Expense (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Net Interest Expense | |
Summary of net interest income (expense) | Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Interest income: From non-affiliates: Short-term investments $ $ $ $ Mortgage loans held for sale at fair value From PennyMac Mortgage Investment Trust—Note receivable — — Interest expense: To non-affiliates: Mortgage loans sold under agreements to repurchase Mortgage loan participation and sale agreement Note payable Interest shortfall on repayments of mortgage loans serviced for Agency securitizations Interest on mortgage loan impound deposits To PennyMac Mortgage Investment Trust—Excess servicing spread financing at fair value $ $ $ $ |
Stock-based Compensation (Table
Stock-based Compensation (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Stock-based Compensation | |
Summary of the stock-based compensation expense by instrument awarded | Quarter ended September 30, Nine months ended September 30, 2015 2014 2015 2014 (in thousands) Performance-based RSUs $ $ $ $ Stock options Time-based RSUs $ $ $ $ |
Summary of equity awards | Quarter ended September 30, 2015 Performance- Time-based Stock options based RSUs RSUs (in thousands) June 30, 2015 Granted — — — Vested (1) — — Exercised — — Forfeited or canceled September 30, 2015 Quarter ended September 30, 2014 Performance- Time-based Stock options based RSUs RSUs (in thousands) June 30, 2014 Granted Vested (1) — — Exercised — — — Forfeited or canceled September 30, 2014 Nine months ended September 30, 2015 Performance- Time-based Stock options based RSUs RSUs (in thousands) December 31, 2014 Granted Vested (1) — Forfeited or canceled September 30, 2015 (1) Not applicable to a rollforward of stock options outstanding. Nine months ended September 30, 2014 Performance- Time-based Stock options based RSUs RSUs (in thousands) December 31, 2013 Granted Vested (1) — Forfeited or canceled September 30, 2014 Hfs10 (1) Not applicable to a rollforward of stock options outstanding. |
Supplemental Cash Flow Inform49
Supplemental Cash Flow Information (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Supplemental Cash Flow Information | |
Schedule of supplemental cash flow information | Nine months ended September 30, 2015 2014 (in thousands) Cash paid for interest $ $ Cash paid for income taxes $ $ Non-cash investing activity: Mortgage servicing rights resulting from mortgage loan sales $ $ Mortgage servicing liabilities resulting from mortgage loan sales $ $ — Mortgage servicing rights recapture recognized $ $ — Non-cash financing activity: Transfer of excess servicing spread pursuant to recapture agreement with PennyMac Mortgage Investment Trust $ $ Issuance of common stock in settlement of director fees $ $ |
Regulatory Net Worth and Agen50
Regulatory Net Worth and Agency Capital Requirements (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Regulatory Net Worth and Agency Capital Requirements | |
Summary of agencies' capital requirements by each agency | Agency capital September 30, 2015 December 31, 2014 Agency–company subject to requirement Balance (1) Requirement Balance (1) Requirement (in thousands) Fannie Mae–PLS $ $ $ $ Freddie Mac–PLS $ $ $ $ Ginnie Mae–PLS $ $ $ $ Ginnie Mae–PennyMac $ $ $ $ HUD–PLS $ $ $ $ (1) Calculated in compliance with the respective Agency’s requirements. |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Commitment and Contingencies. | |
Schedule of commitments to fund and sell mortgage loans | September 30, 2015 (in thousands) Commitments to purchase mortgage loans from PennyMac Mortgage Investment Trust $ Commitments to fund mortgage loans $ Commitments to sell mortgage loans $ |
Segments and Related Informat52
Segments and Related Information (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Segments and Related Information | |
Summary of financial highlights by segment | Quarter ended September 30, 2015 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on mortgage loans held for sale at fair value $ $ $ $ — $ Loan origination fees — — Fulfillment fees from PennyMac Mortgage Investment Trust — — Net servicing fees — — Management fees — — — Carried Interest from Investment Funds — — — Net interest income (expense): Interest income — Interest expense — — Other Total net revenue Expenses Income (loss) before provision for income taxes and non-segment activities Non-segment activities Income (loss) before provision for income taxes $ $ $ $ $ Segment assets at period end (2) $ $ $ $ $ (1) All revenues are from external customers. (2) Excludes parent Company assets, which consist primarily of deferred tax asset of $25.9 million. Quarter ended September 30, 2014 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on mortgage loans held for sale at fair value $ $ $ $ — $ Loan origination fees — — Fulfillment fees from PennyMac Mortgage Investment Trust — — Net servicing fees — — Management fees — — — Carried Interest from Investment Funds — — — Net interest income (expense): Interest income — Interest expense — — Other Total net revenue Expenses Income before provision for income taxes $ $ $ $ $ Segment assets at period end (2) $ $ $ $ $ (1) All revenues are from external customers. (2) Excludes parent Company assets, which consist primarily of deferred tax assets of $52.8 million. Nine months ended September 30, 2015 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains (losses) on mortgage loans held for sale at fair value $ $ $ $ — $ Loan origination fees — — Fulfillment fees from PennyMac Mortgage Investment Trust — — Net servicing fees — — Management fees — — — Carried Interest from Investment Funds — — — Net interest income (expense): Interest income — Interest expense — — Other Total net revenue Expenses Income (loss) before provision for income taxes and non-segment activities Non-segment activities Income (loss) before provision for income taxes $ $ $ $ $ Segment assets at period end (2) $ $ $ $ $ (1) All revenues are from external customers. (2) Excludes parent Company assets, which consist primarily of deferred tax assets of $25.9 million . Nine months ended September 30, 2014 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on mortgage loans held for sale at fair value $ $ $ $ — $ Loan origination fees — — Fulfillment fees from PennyMac Mortgage Investment Trust — — Net servicing fees — — Management fees — — — Carried Interest from Investment Funds — — — Net interest income (expense): Interest income Interest expense — Other Total net revenue Expenses Income before provision for income taxes $ $ $ $ $ Segment assets at period end (2) $ $ $ $ $ (1) All revenues are from external customers. (2) Excludes parent Company assets, which consist primarily of deferred tax assets of $52.8 million. |
Organization and Basis of Pre53
Organization and Basis of Presentation (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Assets: | ||
Other | $ 53,435 | $ 37,419 |
Total assets | 3,815,322 | 2,506,686 |
Liabilities: | ||
Mortgage loans sold under agreements to repurchase | 1,286,411 | 822,252 |
Mortgage loans participation and sale agreement | 247,410 | 143,568 |
Total liabilities | 2,826,015 | 1,699,420 |
Total liabilities and stockholders' equity | $ 3,815,322 | 2,506,686 |
As previously reported | ||
Assets: | ||
Other | 37,858 | |
Total assets | 2,507,125 | |
Liabilities: | ||
Mortgage loans sold under agreements to repurchase | 822,621 | |
Mortgage loans participation and sale agreement | 143,638 | |
Total liabilities | 1,699,859 | |
Total liabilities and stockholders' equity | 2,507,125 | |
Reclassification | ||
Assets: | ||
Other | (439) | |
Total assets | (439) | |
Liabilities: | ||
Mortgage loans sold under agreements to repurchase | (369) | |
Mortgage loans participation and sale agreement | (70) | |
Total liabilities | (439) | |
Total liabilities and stockholders' equity | $ (439) |
Concentration of Risk (Details)
Concentration of Risk (Details) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Sales Revenue, Services, Net [Member] | Customer Concentration Risk [Member] | ||||
Concentration of Risk | ||||
Percentage of total net revenue | 20.00% | 33.00% | 18.00% | 35.00% |
Transactions with Affiliates (C
Transactions with Affiliates (Correspondent Production) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Lending activity between the entity and affiliate | ||||
Proceeds from sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust | $ 82,646 | $ 48,133 | $ 241,979 | $ 122,375 |
MSR recapture recognized | 670 | |||
PMT | ||||
Lending activity between the entity and affiliate | ||||
Fulfillment fee revenue | 17,553 | 15,497 | 45,752 | 36,832 |
PMT | Mortgage Lending | ||||
Lending activity between the entity and affiliate | ||||
Fulfillment fee revenue | 17,553 | 15,497 | 45,752 | 36,832 |
Unpaid principal balance of loans fulfilled for PennyMac Mortgage Investment Trust | 4,073,201 | 3,677,613 | 10,542,411 | 8,588,955 |
Sourcing fees paid | 3,236 | 1,384 | 7,084 | 3,401 |
Unpaid principal balance of loans purchased from PennyMac Mortgage Investment Trust | 10,783,882 | 4,609,947 | 23,602,020 | 11,332,898 |
Proceeds from sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust | 1,047 | 2,970 | 11,875 | 4,955 |
Tax service fee receivable | 1,291 | $ 703 | 3,293 | 1,753 |
MSR recapture recognized | $ 670 | $ 670 | $ 9 |
Transactions with Affiliates (M
Transactions with Affiliates (Mortgage Loan Servicing) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Summary of mortgage loan servicing fees earned | ||||
Loan servicing fees | $ 11,736 | $ 12,325 | $ 34,542 | $ 41,096 |
PMT | Mortgage loans acquired for sale at fair value | ||||
Summary of mortgage loan servicing fees earned | ||||
Base and supplemental | 130 | 28 | 198 | 74 |
Activity-based | 153 | 35 | 243 | 112 |
Loan servicing fees | 283 | 63 | 441 | 186 |
PMT | Mortgage loans at fair value | ||||
Summary of mortgage loan servicing fees earned | ||||
Base and supplemental | 3,896 | 4,662 | 12,053 | 14,549 |
Activity-based | 2,961 | 4,076 | 8,948 | 16,208 |
Loan servicing fees | 6,857 | 8,738 | 21,001 | 30,757 |
PMT | Mortgage loans held in a variable interest entity | ||||
Summary of mortgage loan servicing fees earned | ||||
Base and supplemental | 34 | 17 | 92 | 71 |
Loan servicing fees | 34 | 17 | 92 | 71 |
PMT | Mortgage servicing rights | ||||
Summary of mortgage loan servicing fees earned | ||||
Base and supplemental | 4,473 | 3,459 | 12,783 | 9,930 |
Activity-based | 89 | 48 | 225 | 152 |
Loan servicing fees | $ 4,562 | $ 3,507 | $ 13,008 | $ 10,082 |
Transactions with Affiliates 57
Transactions with Affiliates (Management Fees) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Summary of management fees earned | ||||
Management fees | $ 6,456 | $ 11,379 | $ 21,908 | $ 32,486 |
PMT | ||||
Summary of management fees earned | ||||
Management fees | 5,742 | 9,623 | 18,524 | 26,609 |
PMT | Management Fees | ||||
Summary of management fees earned | ||||
Base | 5,742 | 6,033 | 17,181 | 17,392 |
Performance incentive | 3,590 | 1,343 | 9,217 | |
Management fees | $ 5,742 | $ 9,623 | $ 18,524 | $ 26,609 |
Transactions with Affiliates (I
Transactions with Affiliates (Investing and Financing Activities) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Financing activities: | ||||
Issuance of excess servicing spread | $ (271,452) | $ (82,646) | ||
Interest expense from excess servicing spread financing | (17,596) | (9,578) | ||
Investing activities: | ||||
Advance on note receivable from PennyMac Mortgage Investment Trust | 168,546 | |||
Repayment of note receivable from PennyMac Mortgage Investment Trust | 18,546 | |||
PMT | ||||
Investing activities: | ||||
Interest income on note receivable from PennyMac Mortgage Investment Trust | $ 1,289 | 1,822 | ||
PMT | Investing and Financing Activity | ||||
Financing activities: | ||||
Issuance of excess servicing spread | 84,165 | $ 9,253 | 271,452 | 82,646 |
Repayments of excess servicing spread | 24,717 | 8,786 | 55,800 | 25,280 |
Changes in fair value included in income | 10,271 | 9,539 | 10,674 | 24,392 |
Interest expense from excess servicing spread financing | 8,026 | 3,577 | 17,596 | 9,578 |
Excess servicing spread recapture recognized | 2,428 | $ 2,143 | 5,173 | $ 6,558 |
Investing activities: | ||||
Advance on note receivable from PennyMac Mortgage Investment Trust | 97,474 | 168,546 | ||
Repayment of note receivable from PennyMac Mortgage Investment Trust | 18,546 | |||
Interest income on note receivable from PennyMac Mortgage Investment Trust | $ 1,289 | $ 1,822 |
Transactions with Affiliates 59
Transactions with Affiliates (Investing and Financing Activities - additional information) (Details) - USD ($) $ in Thousands | Apr. 30, 2015 | Sep. 30, 2015 |
PMT | ||
Note Receivable | ||
Note receivable, related party | $ 150,000 | |
Loan and Security Agreement [Member] | PMT | ||
Note Receivable | ||
Increase in loan amount | $ 150,000 | |
Loan and Security Agreement [Member] | Credit Suisse First Boston Mortgage Capital LLC | ||
Note Receivable | ||
Maximum loan amount | 407,000 | |
Increase in loan amount | $ 150,000 |
Transactions with Affiliates (O
Transactions with Affiliates (Other transactions, Conditional Reimbursement) (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
PMT | Conditional Reimbursement | ||||
Conditional reimbursement | ||||
Payments received | $ 7,000 | $ 256,000 | $ 237,000 | $ 292,000 |
Transactions with Affiliates 61
Transactions with Affiliates (Other Transactions, Reimbursement of common overhead expenses) (Details) - PMT - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Reimbursement of common overhead and expenses incurred on behalf of affiliates | ||||
Reimbursement of common overhead and expenses incurred by the Company | $ 2,609,000 | $ 3,034,000 | $ 8,502,000 | $ 8,852,000 |
Payments and settlements during the period | 17,709,000 | 31,621,000 | 64,575,000 | 72,975,000 |
Common overhead incurred | ||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | ||||
Reimbursement of common overhead and expenses incurred by the Company | 2,694,000 | 2,912,000 | 8,125,000 | 8,181,000 |
Expenses incurred | ||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | ||||
Reimbursement of common overhead and expenses incurred by the Company | (85,000) | $ 122,000 | 377,000 | $ 671,000 |
Discretionary Waiver of Overhead Expenses [Member] | ||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | ||||
Discretionary waiver of overhead expenses | $ 900,000 | $ 1,600,000 |
Transactions with Affiliates (A
Transactions with Affiliates (Amounts due from affilate) (Details) - PMT - USD ($) | Sep. 30, 2015 | Dec. 31, 2014 |
Amounts due from affiliate | ||
Management fees | $ 5,742,000 | $ 8,426,000 |
Allocated expenses | 5,237,000 | 6,581,000 |
Fulfillment fees | 3,031,000 | 506,000 |
Servicing fees | 2,310,000 | 3,385,000 |
Underwriting fees | 900,000 | 1,137,000 |
Unsettled excess servicing spread issuance | 3,836,000 | |
Total due from affiliate | $ 17,220,000 | $ 23,871,000 |
Amounts due from affiliate, additional infomation | ||
Investment in affiliate, common shares of beneficial interest (in shares) | 75,000 | 75,000 |
Investment in affiliates, at fair value | $ 1,200,000 | $ 1,600,000 |
Amounts due to affiliates | 147,326,000 | 123,315,000 |
Servicing advances | 138,300,000 | 116,700,000 |
Other expenses | 8,200,000 | 6,200,000 |
MSR recapture payable to PMT | $ 800,000 | $ 460,000 |
Transactions with Affiliates 63
Transactions with Affiliates (Amounts due from Investment Funds) (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 |
Amounts due from affiliate | ||||||
Carried Interest due from Investment Funds | $ 70,196 | $ 67,298 | $ 67,035 | $ 61,142 | ||
Investment Funds | ||||||
Amounts due from affiliate | ||||||
Carried Interest due from Investment Funds | 70,196 | $ 68,713 | 67,298 | $ 67,035 | $ 65,133 | |
Management fees | 722 | 1,596 | ||||
Loan servicing rebate | 221 | 189 | ||||
Loan servicing fees | 315 | 476 | ||||
Expense reimbursements | 284 | 30 | ||||
Total due from affiliate | 1,542 | 2,291 | ||||
Due to Affiliate | 30,211 | 35,908 | ||||
PNMAC Mortgage Opportunity Fund, LLC | ||||||
Amounts due from affiliate | ||||||
Carried Interest due from Investment Funds | 42,283 | 40,771 | ||||
PNMAC Mortgage Opportunity Fund Investors, LLC | ||||||
Amounts due from affiliate | ||||||
Carried Interest due from Investment Funds | $ 27,913 | $ 26,527 |
Transactions with Affiliates (E
Transactions with Affiliates (Exchanged Private National Mortgage Acceptance Company, LLC Unitholders) (Details) $ in Millions | 3 Months Ended | 9 Months Ended |
Sep. 30, 2015USD ($) | Sep. 30, 2015USD ($) | |
Transactions with Affiliates | ||
Amount of tax benefits under the tax sharing agreement (as a percent) | 85.00% | |
Amount of tax liability under the tax sharing agreement | $ 72.3 | $ 72.3 |
Payment of tax liability under the tax receivable agreement to Private National Mortgage Acceptance Company, LLC unitholders | $ 0 | $ 4.3 |
Earnings Per Share of Common 65
Earnings Per Share of Common Stock (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Basic earnings per share of common stock: | ||||
Net income attributable to PennyMac Financial Services, Inc common stockholders | $ 12,680 | $ 10,489 | $ 34,457 | $ 28,079 |
Weighted-average common stock outstanding | 21,810 | 21,432 | 21,702 | 21,149 |
Basic earnings per share of common stock (in dollars per share) | $ 0.58 | $ 0.49 | $ 1.59 | $ 1.33 |
Diluted earnings per share of common stock: | ||||
Net income | $ 12,680 | $ 10,489 | $ 34,457 | $ 28,079 |
Effect of net income attributable to noncontrolling interest, net of tax | 31,418 | 26,620 | 86,012 | 72,374 |
Diluted net income attributable to common stockholders | $ 44,098 | $ 37,109 | $ 120,469 | $ 100,453 |
Weighted-average common stock outstanding | 21,810 | 21,432 | 21,702 | 21,149 |
Dilutive shares: | ||||
PennyMac Class A units exchangeable to common stock | 54,042 | 53,492 | 53,744 | 53,569 |
Non-vested PennyMac Class A units issuable under unit-based stock compensation plan and exchangeable to common stock | 163 | 975 | 528 | 1,155 |
Shares issuable under stock-based compensation plans (in shares) | 123 | 50 | 124 | 45 |
Diluted weighted-average common stock outstanding | 76,138 | 75,949 | 76,098 | 75,918 |
Diluted earnings per share of common stock (in dollars per share) | $ 0.58 | $ 0.49 | $ 1.58 | $ 1.32 |
Loan Sales and Servicing Acti66
Loan Sales and Servicing Activities (Summary of cash flows with transferees) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Cash flows: | ||||
Sales proceeds | $ 12,738,035 | $ 5,345,227 | $ 28,357,226,000 | $ 13,367,272,000 |
Servicing fees received | 33,745 | 30,609 | 103,057,000 | 78,075,000 |
Net servicing advances (recoveries) | (9,778) | 6,520 | (18,733,000) | 2,182,000 |
Period end information: | ||||
Unpaid principal balance of mortgage loans outstanding at end of period | 55,216,410 | 33,297,161 | 55,216,410 | 33,297,161 |
30-89 days | 1,303,412 | 662,863 | 1,303,412 | 662,863 |
90 days or more or in foreclosure or bankruptcy | $ 1,249,692 | $ 168,503 | $ 1,249,692 | $ 168,503 |
Loan Sales and Servicing Acti67
Loan Sales and Servicing Activities (Summary of mortgage servicing portfolio) (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Mortgage servicing portfolio | ||
Mortgage loans held for sale | $ 1,602,692 | $ 1,100,910 |
Total loans serviced | 154,830,412 | 105,980,049 |
Amount subserviced for the Company | 1,798 | 330,768 |
Delinquent mortgage loans: | ||
30 days | 2,899,533 | 1,675,006 |
60 days | 938,018 | 570,205 |
90 days or more - Not in foreclosure | 1,997,528 | 1,837,102 |
90 days or more - In foreclosure | 1,800,389 | 1,967,092 |
90 days or more - Foreclosed | 597,336 | 565,511 |
Total delinquent mortgage loans | 8,232,804 | 6,614,916 |
Custodial funds managed by the Company | 3,452,456 | 1,910,793 |
Non affiliated entities | ||
Mortgage servicing portfolio | ||
Total loans serviced, excluding loans held for sale | 107,933,619 | 65,169,194 |
Affiliated entities | ||
Mortgage servicing portfolio | ||
Total loans serviced, excluding loans held for sale | 45,294,101 | 39,709,945 |
Servicing rights owned | ||
Mortgage servicing portfolio | ||
Mortgage loans held for sale | 1,602,692 | 1,100,910 |
Total loans serviced | 109,536,311 | 66,270,104 |
Amount subserviced for the Company | 1,798 | |
Delinquent mortgage loans: | ||
30 days | 2,558,944 | 1,372,915 |
60 days | 800,846 | 434,428 |
90 days or more - Not in foreclosure | 1,124,614 | 779,129 |
90 days or more - In foreclosure | 508,771 | 422,330 |
90 days or more - Foreclosed | 19,755 | 32,444 |
Total delinquent mortgage loans | 5,012,930 | 3,041,246 |
Custodial funds managed by the Company | 2,895,891 | 1,522,295 |
Servicing rights owned | Non affiliated entities | ||
Mortgage servicing portfolio | ||
Total loans serviced, excluding loans held for sale | 107,933,619 | 65,169,194 |
Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Total loans serviced | 45,294,101 | 39,709,945 |
Amount subserviced for the Company | 330,768 | |
Delinquent mortgage loans: | ||
30 days | 340,589 | 302,091 |
60 days | 137,172 | 135,777 |
90 days or more - Not in foreclosure | 872,914 | 1,057,973 |
90 days or more - In foreclosure | 1,291,618 | 1,544,762 |
90 days or more - Foreclosed | 577,581 | 533,067 |
Total delinquent mortgage loans | 3,219,874 | 3,573,670 |
Custodial funds managed by the Company | 556,565 | 388,498 |
Contract servicing and subservicing | Affiliated entities | ||
Mortgage servicing portfolio | ||
Total loans serviced, excluding loans held for sale | $ 45,294,101 | $ 39,709,945 |
Loan Sales and Servicing Acti68
Loan Sales and Servicing Activities (Geographical distriubtion of loans) (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 154,830,412 | $ 105,980,049 |
California | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 38,425,517 | 33,751,630 |
Texas | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 11,542,716 | 6,954,778 |
Virginia | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 9,209,929 | 6,360,171 |
Florida | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 9,154,980 | 5,573,215 |
Washington | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 3,830,587 | |
Maryland | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 5,784,906 | |
All other states | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 80,712,364 | $ 49,509,668 |
Netting of Financial Instrume69
Netting of Financial Instruments (Offsetting of derivative assets) (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | $ 44,571 | $ 12,911 |
Gross amounts offset in the consolidated balance sheet | (35,465) | (7,807) |
Net amounts of assets presented in the consolidated balance sheet | 9,106 | 5,104 |
Total | ||
Gross amounts of recognized assets | 89,034 | 46,264 |
Net amounts of assets presented in the balance sheet | 53,569 | 38,457 |
MBS put options | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 604 | 476 |
Net amounts of assets presented in the consolidated balance sheet | 604 | 476 |
Forward contracts | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 37,265 | 9,060 |
Net amounts of assets presented in the consolidated balance sheet | 37,265 | 9,060 |
Forward contracts | Sales | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 862 | 320 |
Net amounts of assets presented in the consolidated balance sheet | 862 | 320 |
Interest rate lock commitments | ||
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized assets | 44,463 | 33,353 |
Total | ||
Net amounts of assets presented in the balance sheet | 44,463 | 33,353 |
Put options on interest rate futures | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 1,301 | 862 |
Net amounts of assets presented in the consolidated balance sheet | 1,301 | 862 |
Call options on interest rate futures | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 4,539 | 2,193 |
Net amounts of assets presented in the consolidated balance sheet | $ 4,539 | $ 2,193 |
Netting of Financial Instrume70
Netting of Financial Instruments (Derivative assets, financial assets, and collateral held by counterparty) (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Total | ||
Net amounts of assets presented in the balance sheet | $ 53,569 | $ 38,457 |
Net amount | 53,569 | 38,457 |
RJ O'Brien | ||
Total | ||
Net amounts of assets presented in the balance sheet | 4,637 | 2,005 |
Net amount | 4,637 | 2,005 |
Jefferies & Co. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 1,544 | 764 |
Net amount | 1,544 | 764 |
Bank of America, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 1,057 | |
Net amount | 1,057 | |
Nomura | ||
Total | ||
Net amounts of assets presented in the balance sheet | 606 | 322 |
Net amount | 606 | 322 |
Wells Fargo Bank, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 356 | 379 |
Net amount | 356 | 379 |
Goldman Sachs | ||
Total | ||
Net amounts of assets presented in the balance sheet | 600 | |
Net amount | 600 | |
JP Morgan | ||
Total | ||
Net amounts of assets presented in the balance sheet | 526 | |
Net amount | 526 | |
Other | ||
Total | ||
Net amounts of assets presented in the balance sheet | 906 | 508 |
Net amount | 906 | 508 |
Interest rate lock commitments | ||
Total | ||
Net amounts of assets presented in the balance sheet | 44,463 | 33,353 |
Net amount | $ 44,463 | $ 33,353 |
Netting of Financial Instrume71
Netting of Financial Instruments (Offsetting of derivative and financial liabilites) (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | |
Derivatives: Subject to a master netting arrangement: | |||
Gross amounts of recognized liabilities | $ 36,732 | $ 16,259 | |
Netting | (33,025) | (10,698) | |
Net amounts of liabilities presented in the balance sheet | 3,707 | 5,561 | |
Total | |||
Gross amounts of recognized liabilities | 37,657 | 17,211 | |
Net amounts of liabilities presented in the consolidated balance sheet | 4,632 | 6,513 | |
Mortgage loans sold under agreements to repurchase | |||
Net amounts of liabilities presented in the consolidated balance sheet | 1,287,116 | ||
Debt Issuance Costs | |||
Debt issuance costs, gross | (705) | (369) | |
Debt issuance costs | (705) | (369) | |
Gross amounts of recognized liabilities | 1,286,411 | 822,252 | |
Net amounts of liabilities presented in the consolidated balance sheet | 1,286,411 | 822,252 | |
Total | |||
Gross amounts of recognized liabilities | 1,324,068 | 839,463 | |
Gross amounts offset in the consolidated balance sheet | (33,025) | (10,698) | |
Net amounts of liabilities presented in the consolidated balance sheet | 1,291,043 | 828,765 | |
Net amount of liabilities in the consolidated balance sheet | 4,632 | 6,513 | |
Mortgage loans sold under agreements to repurchase | |||
Mortgage loans sold under agreements to repurchase | |||
Gross amounts of recognized liabilities | 1,287,116 | 822,621 | |
Net amounts of liabilities presented in the consolidated balance sheet | 1,287,116 | 822,621 | $ 929,747 |
Debt Issuance Costs | |||
Debt issuance costs | (705) | (287) | |
Net amounts of liabilities presented in the consolidated balance sheet | 1,286,411 | $ 929,460 | |
Forward contracts | Purchases | |||
Derivatives: Subject to a master netting arrangement: | |||
Gross amounts of recognized liabilities | 113 | 141 | |
Net amounts of liabilities presented in the balance sheet | 113 | 141 | |
Forward contracts | Sales | |||
Derivatives: Subject to a master netting arrangement: | |||
Gross amounts of recognized liabilities | 36,619 | 16,110 | |
Net amounts of liabilities presented in the balance sheet | 36,619 | 16,110 | |
Interest rate lock commitments | |||
Derivatives not subject to a master netting arrangement | |||
Gross amounts of recognized liabilities | 925 | 952 | |
Total | |||
Net amounts of liabilities presented in the consolidated balance sheet | 925 | 952 | |
Net amount of liabilities in the consolidated balance sheet | $ 925 | 952 | |
Put options on interest rate futures | Sales | |||
Derivatives: Subject to a master netting arrangement: | |||
Gross amounts of recognized liabilities | 8 | ||
Net amounts of liabilities presented in the balance sheet | $ 8 |
Netting of Financial Instrume72
Netting of Financial Instruments (Derivative liabilites, financial liabilities, and collateral held by counterparty) (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | $ 1,291,748 | $ 829,134 |
Financial instruments | (1,287,116) | (822,621) |
Net amount of liabilities in the consolidated balance sheet | 4,632 | 6,513 |
Credit Suisse First Boston Mortgage Capital LLC | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 496,904 | 464,737 |
Financial instruments | (496,855) | (463,541) |
Net amount of liabilities in the consolidated balance sheet | 49 | 1,196 |
Bank of America, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 494,691 | 236,909 |
Financial instruments | (494,691) | (236,771) |
Net amount of liabilities in the consolidated balance sheet | 138 | |
Morgan Stanley Bank | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 198,790 | 122,148 |
Financial instruments | (198,687) | (122,031) |
Net amount of liabilities in the consolidated balance sheet | 103 | 117 |
Citibank, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 97,190 | 699 |
Financial instruments | (96,883) | (278) |
Net amount of liabilities in the consolidated balance sheet | 307 | 421 |
Bank of Oklahoma | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 978 | 486 |
Net amount of liabilities in the consolidated balance sheet | 978 | 486 |
Multi-Bank | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 401 | |
Net amount of liabilities in the consolidated balance sheet | 401 | |
JP Morgan | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 352 | |
Net amount of liabilities in the consolidated balance sheet | 352 | |
Bank of NY Mellon | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,552 | |
Net amount of liabilities in the consolidated balance sheet | 1,552 | |
Other | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,517 | 1,651 |
Net amount of liabilities in the consolidated balance sheet | 1,517 | 1,651 |
Interest rate lock commitments | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 925 | 952 |
Net amount of liabilities in the consolidated balance sheet | $ 925 | $ 952 |
Fair Value - Financial Statemen
Fair Value - Financial Statement Items Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | |
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 | $ 24,766 | $ 21,687 | |
Mortgage loans held for sale at fair value | 1,696,980 | 1,147,884 | |
Derivative assets: | |||
Derivative asset, before netting | 89,034 | 46,264 | |
Netting | (35,465) | (7,807) | |
Total derivative assets | 53,569 | 38,457 | |
Mortgage servicing rights at fair value | 669,667 | 325,383 | |
Derivative liabilities: | |||
Derivative liability, before netting | 37,657 | 17,211 | |
Netting | (33,025) | (10,698) | |
Total derivative liabilities | 4,632 | 6,513 | |
Mortgage servicing liabilities | 10,724 | 6,306 | |
PMT | |||
Derivative assets: | |||
Investment in PennyMac Mortgage Investment Trust | 1,160 | 1,582 | $ 1,607 |
Recurring basis | |||
Assets: | |||
Short-term investments at fair value | 24,766 | 21,687 | |
Mortgage loans held for sale at fair value | 1,696,980 | 1,147,884 | |
Derivative assets: | |||
Derivative asset, before netting | 89,034 | 46,264 | |
Netting | (35,465) | (7,807) | |
Total derivative assets | 53,569 | 38,457 | |
Mortgage servicing rights at fair value | 669,667 | 325,383 | |
Total assets | 2,446,142 | 1,534,993 | |
Derivative liabilities: | |||
Derivative liability, before netting | 37,657 | 17,211 | |
Netting | (33,025) | (10,698) | |
Total derivative liabilities | 4,632 | 6,513 | |
Mortgage servicing liabilities | 10,724 | 6,306 | |
Total liabilities | 433,929 | 203,985 | |
Recurring basis | PMT | |||
Derivative assets: | |||
Investment in PennyMac Mortgage Investment Trust | 1,160 | 1,582 | |
Derivative liabilities: | |||
Excess servicing spread financing at fair value to affiliate | 418,573 | 191,166 | |
Recurring basis | Interest rate lock commitments | |||
Derivative assets: | |||
Derivative asset, before netting | 44,463 | 33,353 | |
Derivative liabilities: | |||
Derivative liability, before netting | 925 | 952 | |
Recurring basis | Forward contracts | Purchases | |||
Derivative assets: | |||
Derivative asset, before netting | 37,265 | 9,060 | |
Derivative liabilities: | |||
Derivative liability, before netting | 113 | 141 | |
Recurring basis | Forward contracts | Sales | |||
Derivative assets: | |||
Derivative asset, before netting | 862 | 320 | |
Derivative liabilities: | |||
Derivative liability, before netting | 36,619 | 16,110 | |
Recurring basis | MBS put options | |||
Derivative assets: | |||
Derivative asset, before netting | 604 | 476 | |
Recurring basis | Put options on interest rate futures | Purchases | |||
Derivative assets: | |||
Derivative asset, before netting | 1,301 | 862 | |
Recurring basis | Put options on interest rate futures | Sales | |||
Derivative liabilities: | |||
Derivative liability, before netting | 8 | ||
Recurring basis | Call options on interest rate futures | Purchases | |||
Derivative assets: | |||
Derivative asset, before netting | 4,539 | 2,193 | |
Recurring basis | Level 1 | |||
Assets: | |||
Short-term investments at fair value | 24,766 | 21,687 | |
Derivative assets: | |||
Derivative asset, before netting | 5,840 | 3,055 | |
Total derivative assets | 5,840 | 3,055 | |
Total assets | 31,766 | 26,324 | |
Derivative liabilities: | |||
Derivative liability, before netting | 8 | ||
Total derivative liabilities | 8 | ||
Total liabilities | 8 | ||
Recurring basis | Level 1 | PMT | |||
Derivative assets: | |||
Investment in PennyMac Mortgage Investment Trust | 1,160 | 1,582 | |
Recurring basis | Level 1 | Put options on interest rate futures | Purchases | |||
Derivative assets: | |||
Derivative asset, before netting | 1,301 | 862 | |
Recurring basis | Level 1 | Put options on interest rate futures | Sales | |||
Derivative liabilities: | |||
Derivative liability, before netting | 8 | ||
Recurring basis | Level 1 | Call options on interest rate futures | Purchases | |||
Derivative assets: | |||
Derivative asset, before netting | 4,539 | 2,193 | |
Recurring basis | Level 2 | |||
Assets: | |||
Mortgage loans held for sale at fair value | 1,633,358 | 937,976 | |
Derivative assets: | |||
Derivative asset, before netting | 38,731 | 9,856 | |
Total derivative assets | 38,731 | 9,856 | |
Total assets | 1,672,089 | 947,832 | |
Derivative liabilities: | |||
Derivative liability, before netting | 36,732 | 16,251 | |
Total derivative liabilities | 36,732 | 16,251 | |
Total liabilities | 36,732 | 16,251 | |
Recurring basis | Level 2 | Forward contracts | Purchases | |||
Derivative assets: | |||
Derivative asset, before netting | 37,265 | 9,060 | |
Derivative liabilities: | |||
Derivative liability, before netting | 113 | 141 | |
Recurring basis | Level 2 | Forward contracts | Sales | |||
Derivative assets: | |||
Derivative asset, before netting | 862 | 320 | |
Derivative liabilities: | |||
Derivative liability, before netting | 36,619 | 16,110 | |
Recurring basis | Level 2 | MBS put options | |||
Derivative assets: | |||
Derivative asset, before netting | 604 | 476 | |
Recurring basis | Level 3 | |||
Assets: | |||
Mortgage loans held for sale at fair value | 63,622 | 209,908 | |
Derivative assets: | |||
Derivative asset, before netting | 44,463 | 33,353 | |
Total derivative assets | 44,463 | 33,353 | |
Mortgage servicing rights at fair value | 669,667 | 325,383 | |
Total assets | 777,752 | 568,644 | |
Derivative liabilities: | |||
Derivative liability, before netting | 925 | 952 | |
Total derivative liabilities | 925 | 952 | |
Mortgage servicing liabilities | 10,724 | 6,306 | |
Total liabilities | 430,222 | 198,424 | |
Recurring basis | Level 3 | PMT | |||
Derivative liabilities: | |||
Excess servicing spread financing at fair value to affiliate | 418,573 | 191,166 | |
Recurring basis | Level 3 | Interest rate lock commitments | |||
Derivative assets: | |||
Derivative asset, before netting | 44,463 | 33,353 | |
Derivative liabilities: | |||
Derivative liability, before netting | $ 925 | $ 952 |
Fair Value - Level 3 Input Roll
Fair Value - Level 3 Input Roll Forward, Recurring Basis (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Mortgage servicing liabilities resulting from mortgage loan sales | $ 8,358 | $ 20,442 | ||
Recurring basis | ||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | 643,091 | $ 593,005 | 567,692 | $ 235,607 |
Purchases | 500,709 | 233,202 | 1,237,127 | 1,010,729 |
Sales | (286,481) | (74,817) | (798,335) | (446,353) |
Repayments | (14,465) | (10,659) | (34,467) | (16,778) |
Interest rate lock commitments issued, net | 73,133 | 30,727 | 217,278 | 113,559 |
Mortgage servicing rights resulting from mortgage loan sales | 6,989 | 6,381 | 13,107 | 20,647 |
Changes in fair value included in income arising from: | ||||
Changes in instrument specific credit risk | 4,054 | |||
Other factors | 31,763 | (7,449) | 315 | (7,159) |
Total changes in fair value included in income | 31,763 | (7,449) | 4,369 | (7,159) |
Transfers of mortgage loans held for sale from Level 3 to Level 2 | (61,921) | (102,419) | (175,436) | (162,959) |
Transfers of interest rate lock commitments to mortgage loans held for sale | (115,991) | (40,130) | (254,508) | (119,452) |
Balance at the end of the period | 776,827 | 627,841 | 776,827 | 627,841 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | 15,202 | 12,898 | (5,694) | (6,326) |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | 370,893 | 196,065 | 197,472 | 138,723 |
Proceeds received from excess servicing spread financing | 84,165 | 9,253 | 271,452 | 82,646 |
ESS issued pursuant to a recapture agreement with PennyMac Mortgage Investment Trust | 2,268 | 2,619 | 4,833 | 6,093 |
Accrual of interest on excess servicing spread | 8,026 | 3,577 | 17,596 | 9,578 |
Repayments | (24,717) | (8,786) | (55,800) | (25,280) |
Mortgage servicing liabilities resulting from mortgage loan sales | 8,358 | 20,442 | ||
Changes in fair value included in income | (19,696) | (11,269) | (26,698) | (20,301) |
Balance at the end of the period | 429,297 | 191,459 | 429,297 | 191,459 |
Changes in fair value recognized during the period relating to liability still held at the end of the period | (19,696) | (11,269) | (26,698) | (20,302) |
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 | 359,102 | 190,244 | 191,166 | 138,723 |
Proceeds received from excess servicing spread financing | 84,165 | 9,253 | 271,452 | 82,646 |
ESS issued pursuant to a recapture agreement with PennyMac Mortgage Investment Trust | 2,268 | 2,619 | 4,833 | 6,093 |
Accrual of interest on excess servicing spread | 8,026 | 3,577 | 17,596 | 9,578 |
Repayments | (24,717) | (8,786) | (55,800) | (25,280) |
Changes in fair value included in income | (10,271) | (9,539) | (10,674) | (24,392) |
Balance at the end of the period | 418,573 | 187,368 | 418,573 | 187,368 |
Changes in fair value recognized during the period relating to liability still held at the end of the period | (10,271) | (9,539) | (10,674) | (24,393) |
Recurring basis | Mortgage servicing liabilities | ||||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | 11,791 | 5,821 | 6,306 | |
Mortgage servicing liabilities resulting from mortgage loan sales | 8,358 | 20,442 | ||
Changes in fair value included in income | (9,425) | (1,730) | (16,024) | 4,091 |
Balance at the end of the period | 10,724 | 4,091 | 10,724 | 4,091 |
Changes in fair value recognized during the period relating to liability still held at the end of the period | (9,425) | (1,730) | (16,024) | 4,091 |
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 | 34,085 | 254,656 | 209,908 | 3,933 |
Purchases | 391,578 | 217,498 | 857,863 | 897,381 |
Sales | (286,481) | (74,817) | (798,335) | (435,437) |
Repayments | (14,465) | (10,659) | (34,467) | (16,778) |
Changes in fair value included in income arising from: | ||||
Changes in instrument specific credit risk | 4,054 | |||
Other factors | 826 | 1,797 | 35 | (84) |
Total changes in fair value included in income | 826 | 1,797 | 4,089 | (84) |
Transfers of mortgage loans held for sale from Level 3 to Level 2 | (61,921) | (102,419) | (175,436) | (162,959) |
Balance at the end of the period | 63,622 | 286,056 | 63,622 | 286,056 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | (614) | 1,797 | (1,145) | (84) |
Recurring basis | Interest rate lock commitments | ||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | 27,737 | 29,750 | 32,401 | 6,761 |
Interest rate lock commitments issued, net | 73,133 | 30,727 | 217,278 | 113,559 |
Changes in fair value included in income arising from: | ||||
Other factors | 58,659 | 2,289 | 48,367 | 21,768 |
Total changes in fair value included in income | 58,659 | 2,289 | 48,367 | 21,768 |
Transfers of interest rate lock commitments to mortgage loans held for sale | (115,991) | (40,130) | (254,508) | (119,452) |
Balance at the end of the period | 43,538 | 22,636 | 43,538 | 22,636 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | 43,538 | 22,636 | 43,538 | 22,636 |
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 | 581,269 | 308,599 | 325,383 | 224,913 |
Purchases | 109,131 | 15,704 | 379,264 | 113,348 |
Sales | (10,916) | |||
Mortgage servicing rights resulting from mortgage loan sales | 6,989 | 6,381 | 13,107 | 20,647 |
Changes in fair value included in income arising from: | ||||
Other factors | (27,722) | (11,535) | (48,087) | (28,843) |
Total changes in fair value included in income | (27,722) | (11,535) | (48,087) | (28,843) |
Balance at the end of the period | 669,667 | 319,149 | 669,667 | 319,149 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | $ (27,722) | $ (11,535) | $ (48,087) | $ (28,878) |
Fair Value - Changes in Fair Va
Fair Value - Changes in Fair Value, Fair Value Option, Recurring Basis (Details) - Recurring basis - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Liabilities. | ||||
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 | $ 19,696 | $ 11,269 | $ 26,698 | $ 20,301 |
Liabilities. | Net loan servicing fees | ||||
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 | 19,696 | 11,269 | 26,698 | 20,301 |
Excess servicing spread financing | ||||
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 | 10,271 | 9,539 | 10,674 | 24,392 |
Excess servicing spread financing | Net loan servicing fees | ||||
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 | 10,271 | 9,539 | 10,674 | 24,392 |
Mortgage servicing liabilities | ||||
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 | 9,425 | 1,730 | 16,024 | (4,091) |
Mortgage servicing liabilities | Net loan servicing fees | ||||
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 | 9,425 | 1,730 | 16,024 | (4,091) |
Assets | ||||
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 | 108,397 | 51,541 | 237,849 | 146,716 |
Assets | 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 | 136,119 | 63,076 | 285,936 | 180,971 |
Assets | Net loan servicing fees | ||||
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 | (27,722) | (11,535) | (48,087) | (34,255) |
Mortgage loans held for sale | ||||
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 | 136,119 | 63,076 | 285,936 | 180,971 |
Mortgage loans held for sale | 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 | 136,119 | 63,076 | 285,936 | 180,971 |
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 | (27,722) | (11,535) | (48,087) | (34,255) |
Mortgage servicing rights at fair value | Net loan servicing fees | ||||
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 | $ (27,722) | $ (11,535) | $ (48,087) | $ (34,255) |
Fair Value - Fair Value Option
Fair Value - Fair Value Option Maturities, Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Fair value | ||
Total fair value | $ 1,696,980 | $ 1,147,884 |
Recurring basis | ||
Fair value | ||
Total fair value | 1,696,980 | 1,147,884 |
Mortgage loans held for sale | Recurring basis | ||
Fair value | ||
Current through 89 days delinquent | 1,653,875 | 950,697 |
Not in foreclosure | 39,834 | 126,171 |
In foreclosure | 3,271 | 71,016 |
Total fair value | 1,696,980 | 1,147,884 |
Principal amount due upon maturity | ||
Current through 89 days delinquent | 1,555,975 | 894,924 |
Not in foreclosure | 40,882 | 128,533 |
In foreclosure | 3,517 | 72,039 |
Total principal amount due upon maturity | 1,600,374 | 1,095,496 |
Difference | ||
Current through 89 days delinquent | 97,900 | 55,773 |
Not in foreclosure | (1,048) | (2,362) |
In foreclosure | (246) | (1,023) |
Total difference | $ 96,606 | $ 52,388 |
Fair Value - Measurement Basis,
Fair Value - Measurement Basis, Nonrecurring (Details) - Nonrecurring basis - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 | |
Financial statement items measured at fair value on a nonrecurring basis | |||||
Mortgage servicing rights at lower of amortized cost or fair value | $ 482,565 | $ 482,565 | $ 139,505 | ||
Total assets | 482,565 | 482,565 | 139,505 | ||
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 | (33,301) | $ (925) | (51,427) | $ (5,132) | |
Total gains on assets measured at estimated fair values on a nonrecurring basis | (33,301) | $ (925) | (51,427) | $ (5,132) | |
Level 3 | |||||
Financial statement items measured at fair value on a nonrecurring basis | |||||
Mortgage servicing rights at lower of amortized cost or fair value | 482,565 | 482,565 | 139,505 | ||
Total assets | $ 482,565 | $ 482,565 | $ 139,505 |
Fair Value - Level 3 Unobservab
Fair Value - Level 3 Unobservable Inputs, Mortgage Loans and IRLC (Details) - Level 3 | 9 Months Ended | 12 Months Ended |
Sep. 30, 2015 | Dec. 31, 2014 | |
Mortgage loans held for sale | Minimum | ||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ||
Discount rate (as a percent) | 2.50% | 2.30% |
Twelve-month projected housing price index change (as a percent) | 2.80% | 4.20% |
Prepayment / resale speed (1) | 0.60% | 1.30% |
Total prepayment speed (as a percent) | 1.00% | 2.10% |
Mortgage loans held for sale | Maximum | ||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ||
Discount rate (as a percent) | 8.80% | 9.60% |
Twelve-month projected housing price index change (as a percent) | 6.00% | 5.40% |
Prepayment / resale speed (1) | 18.50% | 15.50% |
Total prepayment speed (as a percent) | 35.10% | 38.10% |
Mortgage loans held for sale | Weighted average | ||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ||
Discount rate (as a percent) | 2.80% | 2.40% |
Twelve-month projected housing price index change (as a percent) | 4.30% | 4.50% |
Prepayment / resale speed (1) | 17.20% | 15.10% |
Total prepayment speed (as a percent) | 32.10% | 35.70% |
Interest rate lock commitments | Minimum | ||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ||
Pull-through rate (as a percent) | 50.30% | 55.40% |
Mortgage servicing rights value expressed as: Servicing fee multiple | 0.8 | 2 |
Mortgage servicing rights value expressed as: Percentage of unpaid principal balance | 0.20% | 0.40% |
Interest rate lock commitments | Maximum | ||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ||
Pull-through rate (as a percent) | 100.00% | 99.90% |
Mortgage servicing rights value expressed as: Servicing fee multiple | 5.8 | 5 |
Mortgage servicing rights value expressed as: Percentage of unpaid principal balance | 3.70% | 3.10% |
Interest rate lock commitments | Weighted average | ||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ||
Pull-through rate (as a percent) | 85.50% | 85.50% |
Mortgage servicing rights value expressed as: Servicing fee multiple | 3.9 | 3.7 |
Mortgage servicing rights value expressed as: Percentage of unpaid principal balance | 1.30% | 1.20% |
Fair Value - Level 3 Unobserv79
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Rights - Initial Recognition (Details) - Initial recognition - Level 3 - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Fair values | ||||
MSR and pool characteristics | ||||
Amount recognized | $ 6,989 | $ 6,381 | $ 13,107 | $ 20,647 |
Unpaid principal balance of underlying mortgage loans | $ 550,073 | $ 515,866 | $ 1,072,203 | $ 1,627,529 |
Weighted-average servicing fee rate (as a percent) | 0.32% | 0.34% | 0.32% | 0.33% |
Fair values | Minimum | ||||
Inputs: | ||||
Pricing spread (as a percent) | 7.00% | 8.00% | 7.00% | 8.00% |
Annual total prepayment speed (as a percent) | 7.70% | 7.60% | 7.70% | 7.60% |
Life (in years) | 1 year 4 months 24 days | 1 year 7 months 6 days | 1 year 1 month 6 days | 1 year 7 months 6 days |
Annual per-loan cost of servicing | $ 59 | $ 54 | $ 59 | $ 53 |
Fair values | Maximum | ||||
Inputs: | ||||
Pricing spread (as a percent) | 14.40% | 15.40% | 14.40% | 16.20% |
Annual total prepayment speed (as a percent) | 52.30% | 42.30% | 62.40% | 42.30% |
Life (in years) | 7 years 6 months | 7 years 3 months 18 days | 7 years 6 months | 7 years 6 months |
Annual per-loan cost of servicing | $ 101 | $ 93 | $ 101 | $ 100 |
Fair values | Weighted average | ||||
Inputs: | ||||
Pricing spread (as a percent) | 8.90% | 11.60% | 9.40% | 11.40% |
Annual total prepayment speed (as a percent) | 11.90% | 9.70% | 11.60% | 9.00% |
Life (in years) | 6 years 6 months | 6 years 8 months 12 days | 6 years 6 months | 7 years |
Annual per-loan cost of servicing | $ 75 | $ 83 | $ 75 | $ 89 |
Amortized cost | ||||
MSR and pool characteristics | ||||
Amount recognized | 154,707 | 54,819 | 347,549 | 127,727 |
Unpaid principal balance of underlying mortgage loans | $ 11,369,493 | $ 4,498,619 | $ 25,268,602 | $ 10,672,629 |
Weighted-average servicing fee rate (as a percent) | 0.34% | 0.31% | 0.35% | 0.31% |
Amortized cost | Minimum | ||||
Inputs: | ||||
Pricing spread (as a percent) | 6.80% | 7.50% | 6.80% | 6.80% |
Annual total prepayment speed (as a percent) | 7.50% | 7.60% | 7.50% | 7.60% |
Life (in years) | 1 year 10 months 24 days | 1 year 4 months 24 days | 1 year 9 months 18 days | 1 year 4 months 24 days |
Annual per-loan cost of servicing | $ 59 | $ 54 | $ 59 | $ 53 |
Amortized cost | Maximum | ||||
Inputs: | ||||
Pricing spread (as a percent) | 16.20% | 15.20% | 16.20% | 15.20% |
Annual total prepayment speed (as a percent) | 35.00% | 47.80% | 39.40% | 47.80% |
Life (in years) | 9 years 1 month 6 days | 7 years 3 months 18 days | 9 years 1 month 6 days | 7 years 6 months |
Annual per-loan cost of servicing | $ 95 | $ 93 | $ 95 | $ 100 |
Amortized cost | Weighted average | ||||
Inputs: | ||||
Pricing spread (as a percent) | 9.10% | 10.90% | 9.20% | 10.80% |
Annual total prepayment speed (as a percent) | 9.20% | 8.30% | 8.80% | 8.20% |
Life (in years) | 7 years | 7 years 1 month 6 days | 7 years | 7 years 1 month 6 days |
Annual per-loan cost of servicing | $ 78 | $ 85 | $ 76 | $ 90 |
Fair Value - Level 3 Unobserv80
Fair Value - Level 3 Unobservable Inputs, Mortgage Services Rights, Effect of Change In Inputs on Fair Value (Details) - Mortgage servicing rights - Period end - Level 3 - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2015 | Dec. 31, 2014 | |
Fair values | ||
MSR and pool characteristics | ||
Carrying value | $ 669,667 | $ 325,383 |
Unpaid principal balance of underlying mortgage loans | $ 55,911,946 | $ 30,945,000 |
Weighted-average note interest rate (as a percent) | 4.14% | 4.24% |
Weighted-average servicing fee rate (as a percent) | 0.32% | 0.31% |
Pricing spread | ||
Effect on fair value of 5% adverse change | $ (11,102) | $ (5,550) |
Effect on fair value of 10% adverse change | (21,839) | (10,908) |
Effect on fair value of 20% adverse change | (42,283) | (21,084) |
Prepayment speed | ||
Effect on fair value of 5% adverse change | (14,081) | (7,052) |
Effect on fair value of 10% adverse change | (27,622) | (13,835) |
Effect on fair value of 20% adverse change | (53,202) | (26,654) |
Annual per-loan cost of servicing | ||
Effect on fair value of 5% adverse change | (6,897) | (2,910) |
Effect on fair value of 10% adverse change | (13,794) | (5,819) |
Effect on fair value of 20% adverse change | $ (27,588) | $ (11,638) |
Fair values | Minimum | ||
Inputs | ||
Pricing spread (as a percent) | 7.20% | 2.90% |
Pricing spread | ||
Average life of MSRs (in years) | 1 month 6 days | 4 months 24 days |
Prepayment speed of MSRs (as a percent) | 5.60% | 7.60% |
Prepayment speed | ||
Annual per-loan cost of servicing | $ 68 | $ 59 |
Fair values | Maximum | ||
Inputs | ||
Pricing spread (as a percent) | 12.80% | 21.30% |
Pricing spread | ||
Average life of MSRs (in years) | 8 years 9 months 18 days | 8 years 2 months 12 days |
Prepayment speed of MSRs (as a percent) | 44.50% | 60.50% |
Prepayment speed | ||
Annual per-loan cost of servicing | $ 98 | $ 109 |
Fair values | Weighted average | ||
Inputs | ||
Pricing spread (as a percent) | 8.60% | 9.20% |
Pricing spread | ||
Average life of MSRs (in years) | 6 years 7 months 6 days | 5 years 9 months 18 days |
Prepayment speed of MSRs (as a percent) | 10.50% | 11.20% |
Prepayment speed | ||
Annual per-loan cost of servicing | $ 86 | $ 76 |
Amortized cost | ||
MSR and pool characteristics | ||
Carrying value | 647,942 | 405,445 |
Unpaid principal balance of underlying mortgage loans | $ 51,064,561 | $ 33,745,613 |
Weighted-average note interest rate (as a percent) | 3.83% | 3.82% |
Weighted-average servicing fee rate (as a percent) | 0.32% | 0.30% |
Pricing spread | ||
Effect on fair value of 5% adverse change | $ (11,337) | $ (8,710) |
Effect on fair value of 10% adverse change | (22,287) | (17,083) |
Effect on fair value of 20% adverse change | (43,099) | (32,890) |
Prepayment speed | ||
Effect on fair value of 5% adverse change | (13,780) | (7,359) |
Effect on fair value of 10% adverse change | (27,024) | (14,494) |
Effect on fair value of 20% adverse change | (52,016) | (28,132) |
Annual per-loan cost of servicing | ||
Effect on fair value of 5% adverse change | (4,948) | (2,992) |
Effect on fair value of 10% adverse change | (9,896) | (5,983) |
Effect on fair value of 20% adverse change | $ (19,791) | $ (11,967) |
Amortized cost | Minimum | ||
Inputs | ||
Pricing spread (as a percent) | 7.20% | 6.30% |
Pricing spread | ||
Average life of MSRs (in years) | 1 year 10 months 24 days | 1 year 7 months 6 days |
Prepayment speed of MSRs (as a percent) | 6.00% | 7.60% |
Prepayment speed | ||
Annual per-loan cost of servicing | $ 68 | $ 59 |
Amortized cost | Maximum | ||
Inputs | ||
Pricing spread (as a percent) | 12.80% | 15.30% |
Pricing spread | ||
Average life of MSRs (in years) | 8 years 10 months 24 days | 7 years 3 months 18 days |
Prepayment speed of MSRs (as a percent) | 43.30% | 42.80% |
Prepayment speed | ||
Annual per-loan cost of servicing | $ 95 | $ 81 |
Amortized cost | Weighted average | ||
Inputs | ||
Pricing spread (as a percent) | 8.90% | 9.70% |
Pricing spread | ||
Average life of MSRs (in years) | 6 years 10 months 24 days | 6 years 9 months 18 days |
Prepayment speed of MSRs (as a percent) | 10.70% | 8.50% |
Prepayment speed | ||
Annual per-loan cost of servicing | $ 84 | $ 75 |
Fair Value - Level 3 Unobserv81
Fair Value - Level 3 Unobservable Inputs, ESS (Details) - Level 3 - Excess servicing spread financing - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2015 | Dec. 31, 2014 | |
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | ||
Unpaid principal balance of underlying mortgage loans | $ 54,189,421 | $ 28,227,340 |
Average servicing fee rate (as a percent) | 0.32% | 0.31% |
Average excess servicing spread (as a percent) | 0.17% | 0.16% |
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) | 4.80% | 1.70% |
Average life of ESS (in years) | 1 year 6 months | 4 months 24 days |
Annualized prepayment speed of ESS (as a percent) | 5.50% | 7.60% |
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) | 6.50% | 12.00% |
Average life of ESS (in years) | 8 years 10 months 24 days | 7 years 3 months 18 days |
Annualized prepayment speed of ESS (as a percent) | 50.30% | 74.60% |
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) | 5.70% | 5.30% |
Average life of ESS (in years) | 6 years 8 months 12 days | 5 years 9 months 18 days |
Annualized prepayment speed of ESS (as a percent) | 10.40% | 11.20% |
Mortgage Loans Held for Sale 82
Mortgage Loans Held for Sale at Fair Value (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale at fair value | $ 1,696,980 | $ 1,147,884 |
Fair value of mortgage loans pledged to secure mortgage loans sold under agreements to repurchase | 1,420,782 | 976,772 |
Fair value of mortgage loans pledged to secure mortgage loan participation and sale agreement | 255,134 | 148,133 |
Government-insured or guaranteed | ||
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale at fair value | 1,575,536 | 866,148 |
Conventional mortgage loans | ||
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale at fair value | 57,385 | 66,229 |
Jumbo Loan | ||
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale at fair value | 437 | 5,599 |
Mortgage loans purchased from Ginnie Mae pools serviced by the entity | ||
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale at fair value | 57,678 | 206,331 |
Mortgage loans repurchased pursuant to representations and warranties | ||
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale at fair value | $ 5,944 | $ 3,577 |
Derivative Financial Instrume83
Derivative Financial Instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Dec. 31, 2014 | |
Derivative assets: | ||||||
Derivative asset, before netting | $ 89,034 | $ 46,264 | ||||
Netting | (35,465) | (7,807) | ||||
Total derivative assets | 53,569 | 38,457 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 37,657 | 17,211 | ||||
Netting | (33,025) | (10,698) | ||||
Total derivative liabilities | 4,632 | 6,513 | ||||
Net gains on mortgage loans held for sale at fair value | Interest rate lock commitments and mortgage loans held for sale | ||||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Gains (losses) recognized on derivative financial instruments | $ (63,954) | $ (5,215) | $ (44,713) | $ (64,037) | ||
Net loan servicing fees | Mortgage servicing rights | ||||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Gains (losses) recognized on derivative financial instruments | 30,455 | (897) | 19,259 | 8,289 | ||
Margin Deposits | ||||||
Derivative assets: | ||||||
Derivative asset, before netting | 2,440 | (2,891) | ||||
Not designated as hedging instrument | Interest rate lock commitments | ||||||
Derivative Instruments | ||||||
Notional amount | 2,781,551 | 1,765,597 | 2,781,551 | 1,765,597 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 44,463 | 33,353 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 925 | 952 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 1,765,597 | |||||
Balance end of period | 2,781,551 | 2,781,551 | ||||
Not designated as hedging instrument | Forward contracts | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 6,202,418 | 2,789,277 | 2,634,218 | 1,418,527 | 6,063,741 | 2,634,218 |
Derivative assets: | ||||||
Derivative asset, before netting | 37,265 | 9,060 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 113 | 141 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 6,202,418 | 2,789,277 | 2,634,218 | 1,418,527 | ||
Additions | 33,050,370 | 12,668,171 | 78,426,073 | 30,178,842 | ||
Dispositions/expirations | (33,189,047) | (12,652,851) | (74,996,550) | (28,792,772) | ||
Balance end of period | 6,063,741 | 2,804,597 | 6,063,741 | 2,804,597 | ||
Not designated as hedging instrument | Forward contracts | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 9,789,564 | 4,617,100 | 3,901,851 | 2,659,000 | 7,116,246 | 3,901,851 |
Derivative assets: | ||||||
Derivative asset, before netting | 862 | 320 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 36,619 | 16,110 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 9,789,564 | 4,617,100 | 3,901,851 | 2,659,000 | ||
Additions | 42,709,764 | 17,409,056 | 107,084,874 | 43,791,245 | ||
Dispositions/expirations | (45,383,082) | (17,726,827) | (103,870,479) | (42,150,916) | ||
Balance end of period | 7,116,246 | 4,299,329 | 7,116,246 | 4,299,329 | ||
Not designated as hedging instrument | MBS put options | ||||||
Derivative Instruments | ||||||
Notional amount | 327,500 | 225,000 | 340,000 | 185,000 | 910,000 | 340,000 |
Derivative assets: | ||||||
Derivative asset, before netting | 604 | 476 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 327,500 | 225,000 | 340,000 | 185,000 | ||
Additions | 1,260,000 | 505,000 | 2,502,500 | 1,145,000 | ||
Dispositions/expirations | (677,500) | (300,000) | (1,932,500) | (900,000) | ||
Balance end of period | 910,000 | 430,000 | 910,000 | 430,000 | ||
Not designated as hedging instrument | MBS call options | ||||||
Derivative Instruments | ||||||
Notional amount | 160,000 | 95,000 | 105,000 | |||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 160,000 | 95,000 | 105,000 | |||
Additions | 50,000 | 160,000 | 590,000 | |||
Dispositions/expirations | (160,000) | (95,000) | (160,000) | (645,000) | ||
Balance end of period | 50,000 | 50,000 | ||||
Not designated as hedging instrument | Put options on interest rate futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 2,019,500 | 377,500 | 755,000 | 795,000 | 3,375,000 | 755,000 |
Derivative assets: | ||||||
Derivative asset, before netting | 1,301 | 862 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 2,019,500 | 377,500 | 755,000 | |||
Additions | 3,365,000 | 1,320,000 | 7,190,000 | 2,022,500 | ||
Dispositions/expirations | (2,009,500) | (902,500) | (4,570,000) | (1,227,500) | ||
Balance end of period | 3,375,000 | 795,000 | 3,375,000 | 795,000 | ||
Not designated as hedging instrument | Put options on interest rate futures | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 50,000 | 50,000 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 8 | |||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 50,000 | |||||
Additions | 50,000 | |||||
Dispositions/expirations | (100,000) | |||||
Not designated as hedging instrument | Call options on interest rate futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 1,025,000 | 170,000 | 630,000 | 450,000 | 1,175,000 | 630,000 |
Derivative assets: | ||||||
Derivative asset, before netting | $ 4,539 | $ 2,193 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 1,025,000 | 170,000 | 630,000 | |||
Additions | 2,140,000 | 675,000 | 5,055,000 | 1,055,000 | ||
Dispositions/expirations | (1,990,000) | (395,000) | (4,510,000) | (605,000) | ||
Balance end of period | $ 1,175,000 | 450,000 | 1,175,000 | 450,000 | ||
Not designated as hedging instrument | Call options on interest rate futures | Sales | ||||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Additions | 35,000 | 35,100 | 35,000 | |||
Dispositions/expirations | (35,000) | $ (35,100) | (35,000) | |||
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 | 65,600 | 143,900 | ||||
Dispositions/expirations | (65,600) | (143,900) | ||||
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 | 78,200 | 165,600 | ||||
Dispositions/expirations | $ (78,200) | $ (165,600) |
Mortgage Servicing Rights (Acti
Mortgage Servicing Rights (Activity in MSRs at fair value) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Activity in MSRs carried at fair value | ||||
Balance at beginning of period | $ 325,383 | |||
Change in fair value: | ||||
Balance at end of period | $ 669,667 | 669,667 | ||
Mortgage servicing rights | ||||
Activity in MSRs carried at fair value | ||||
Balance at beginning of period | 581,269 | $ 308,599 | 325,383 | $ 224,913 |
Additions - Purchases | 109,131 | 15,704 | 379,264 | 113,348 |
Additions - Mortgage servicing rights resulting from mortgage loan sales | 6,989 | 6,381 | 13,107 | 20,647 |
Additions | 116,120 | 22,085 | 392,371 | 133,995 |
Sales | (10,916) | |||
Change in fair value: | ||||
Changes in valuation inputs or assumptions used in valuation model | (5,651) | (544) | 2,942 | (989) |
Other changes in fair value | (22,071) | (10,991) | (51,029) | (27,854) |
Total change in fair value | (27,722) | (11,535) | (48,087) | (28,843) |
Balance at end of period | 669,667 | 319,149 | 669,667 | 319,149 |
Fair value of mortgage servicing rights pledged to secure note payable | $ 619,800 | $ 392,300 | $ 619,800 | $ 392,300 |
Mortgage Servicing Rights (Ac85
Mortgage Servicing Rights (Activity in MSRs carried at lower of Amortize Cost or FV) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Jun. 30, 2015 | Dec. 31, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | |
Estimated amortization | ||||||||
2,016 | $ 91,913 | $ 91,913 | ||||||
2,017 | 78,700 | 78,700 | ||||||
2,018 | 68,601 | 68,601 | ||||||
2,019 | 60,997 | 60,997 | ||||||
2,020 | 54,429 | 54,429 | ||||||
Thereafter | 362,103 | 362,103 | ||||||
Total | 716,743 | 716,743 | ||||||
Mortgage servicing rights | ||||||||
Amortized cost: | ||||||||
Amortized cost at beginning of period | 581,558 | $ 321,911 | 415,245 | $ 263,373 | ||||
Mortgage servicing rights resulting from mortgage loan sales | 154,707 | 54,819 | 347,549 | 127,727 | ||||
Amortization | (19,522) | (8,712) | (46,051) | (23,082) | ||||
Amortized cost at end of period | 716,743 | 368,018 | 716,743 | 368,018 | ||||
Valuation allowance: | ||||||||
Balance at beginning of period | (27,317) | (8,829) | (9,800) | (4,622) | ||||
(Additions) reversals | (51,701) | (925) | (69,218) | (5,132) | ||||
Balance at of period end | (79,018) | (9,754) | (79,018) | (9,754) | ||||
Additional disclosures | ||||||||
Mortgage servicing rights, net | 637,725 | 358,264 | 637,725 | 358,264 | ||||
Fair value of mortgage servicing rights at end of period | 647,942 | 368,270 | 647,942 | 368,270 | $ 569,969 | $ 416,802 | $ 321,383 | $ 269,422 |
Fair value of mortgage servicing rights at beginning of period | $ 647,942 | $ 368,270 | $ 647,942 | $ 368,270 | $ 569,969 | $ 416,802 | $ 321,383 | $ 269,422 |
Mortgage Servicing Rights (Esti
Mortgage Servicing Rights (Estimate of future amortization) (Details) $ in Thousands | Sep. 30, 2015USD ($) |
Estimated amortization | |
2,016 | $ 91,913 |
2,017 | 78,700 |
2,018 | 68,601 |
2,019 | 60,997 |
2,020 | 54,429 |
Thereafter | 362,103 |
Total | $ 716,743 |
Mortgage Servicing Rights (Serv
Mortgage Servicing Rights (Servicing, late, ancillary and other fees relating to MSRs) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Net servicing income | ||||
Contractual servicing fees | $ 83,424 | $ 44,647 | $ 200,392 | $ 124,061 |
Ancillary and other fees | ||||
Other | 10,096 | 6,620 | 33,131 | 16,609 |
Net loan servicing fees | 57,258 | 53,908 | 152,583 | 154,641 |
Mortgage servicing rights | ||||
Net servicing income | ||||
Contractual servicing fees | 83,424 | 44,647 | 200,392 | 124,061 |
Ancillary and other fees | ||||
Late charges | 1,420 | 1,171 | 4,538 | 3,021 |
Other | 478 | 361 | 1,880 | 785 |
Net loan servicing fees | $ 85,322 | $ 46,179 | $ 206,810 | $ 127,867 |
Mortgage Servicing Rights (Mort
Mortgage Servicing Rights (Mortgage servicing liabilities carried at FV) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Change in fair value due to: | ||||
Accrual of mortgage servicing liabilities resulting from mortgage loan sales | $ 8,358 | $ 20,442 | ||
Mortgage servicing liabilities | ||||
Amortized cost: | ||||
Balance at beginning of period | 11,791 | $ 5,821 | 6,306 | |
Change in fair value due to: | ||||
Accrual of mortgage servicing liabilities resulting from mortgage loan sales | 8,358 | 20,442 | ||
Change in fair value | (9,425) | (1,730) | (16,024) | $ 4,091 |
Balance at end of period | $ 10,724 | $ 4,091 | $ 10,724 | $ 4,091 |
Carried Interest Due from Inv89
Carried Interest Due from Investment Funds (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015USD ($) | Sep. 30, 2014USD ($) | Sep. 30, 2015USD ($)item | Sep. 30, 2014USD ($) | |
Activity in the carried interest | ||||
Balance at beginning of period | $ 67,298 | $ 61,142 | ||
Carried Interest recognized during the period | 2,898 | 5,893 | ||
Balance at end of period | $ 70,196 | $ 67,035 | 70,196 | 67,035 |
Investment Funds | ||||
Activity in the carried interest | ||||
Balance at beginning of period | 68,713 | 65,133 | 67,298 | |
Carried Interest recognized during the period | 1,483 | 1,902 | 2,898 | 5,893 |
Balance at end of period | $ 70,196 | $ 67,035 | $ 70,196 | $ 67,035 |
Additional disclosures | ||||
Number of times when agreement will be extended | item | 3 | |||
Agreement extensions term | 1 year |
Investment in PennyMac Mortga90
Investment in PennyMac Mortgage Investment Trust at Fair Value (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 | |
Investment in PennyMac Mortgage Investment Trust at Fair Value | |||||
Change in fair value and dividends received | $ 252 | $ 721 | $ 2,151 | $ 2,771 | |
PMT | |||||
Investment in PennyMac Mortgage Investment Trust at Fair Value | |||||
Dividends received from PennyMac Mortgage Investment Trust | (11) | 46 | 127 | 135 | |
Change in fair value of investment in PennyMac Mortgage Investment Trust | (147) | (38) | (422) | (115) | |
Change in fair value and dividends received | (158) | 8 | (295) | 20 | |
Fair value of PennyMac Mortgage Investment Trust shares at period end | $ 1,160 | $ 1,607 | $ 1,160 | $ 1,607 | $ 1,582 |
Borrowings (Details)
Borrowings (Details) | 9 Months Ended |
Sep. 30, 2015item | |
Short-term Debt [Line Items] | |
Number of borrowing facilities | 6 |
Number of borrowing facilities that provide for sales of mortgage loans under agreements to repurchase | 4 |
Number of facilities that provide for sale of mortgage loan participants certificates | 1 |
Number of secured note payable borrowing facilities | 1 |
Mortgage loans sold under agreements to repurchase | Overnight cost-of funds rate | |
Short-term Debt [Line Items] | |
Number of borrowing facilities that provide for sales of mortgage loans under agreements to repurchase | 1 |
Mortgage loans sold under agreements to repurchase | LIBOR | |
Short-term Debt [Line Items] | |
Number of borrowing facilities that provide for sales of mortgage loans under agreements to repurchase | 3 |
Borrowings - Mortgage Loans Sol
Borrowings - Mortgage Loans Sold Under Agreement to Repurchase (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 | |
Period end: | |||||
Unpaid principal balance | $ 1,287,116 | $ 1,287,116 | |||
Unamortized issuance costs | (705) | (705) | $ (369) | ||
Total loans sold under agreements to repurchase | 1,286,411 | 1,286,411 | 822,252 | ||
Fair value of mortgage loans securing agreements to repurchase | 1,420,782 | 1,420,782 | 976,772 | ||
During the period: | |||||
Debt issuance costs | 705 | 705 | 369 | ||
Amortization of commitment fees excluded from calculation of Weighted average interest rate | 5,688 | $ 4,217 | |||
Mortgage loans sold under agreements to repurchase | |||||
Period end: | |||||
Unpaid principal balance | 1,287,116 | $ 929,747 | 1,287,116 | 929,747 | $ 822,621 |
Unamortized issuance costs | (705) | (287) | (705) | (287) | |
Total loans sold under agreements to repurchase | 1,286,411 | 929,460 | 1,286,411 | 929,460 | |
Unused amount | $ 112,884 | $ 570,253 | $ 112,884 | $ 570,253 | |
Weighted average interest rate (as a percent) | 1.84% | 1.73% | 1.84% | 1.73% | |
Fair value of mortgage loans securing agreements to repurchase | $ 1,420,782 | $ 1,087,425 | $ 1,420,782 | $ 1,087,425 | |
Margin deposits placed with counterparties | 3,000 | 1,500 | 3,000 | 1,500 | |
During the period: | |||||
Average balance of mortgage loans sold under agreements to repurchase | $ 975,724 | $ 691,730 | $ 805,517 | $ 505,072 | |
Weighted-average interest rate (as a percent) | 1.84% | 1.83% | 1.82% | 1.82% | |
Total interest expense | $ 5,661 | $ 4,495 | $ 14,159 | $ 10,506 | |
Debt issuance costs | 705 | 287 | 705 | 287 | |
Maximum daily amount outstanding | 1,496,306 | 1,010,146 | 1,496,306 | 1,010,146 | |
Amortization of commitment fees excluded from calculation of Weighted average interest rate | $ 1,100 | $ 1,300 | $ 3,100 | $ 3,500 |
Borrowings - Maturities of Outs
Borrowings - Maturities of Outstanding Advances Under Repurchase Agreements (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2015 | Dec. 31, 2014 | |
Mortgage loans sold under agreement to repurchase | ||
Mortgage loans sold under agreements to repurchase | $ 1,287,116 | |
Debt issuance costs | (705) | $ (369) |
Total loans sold under agreements to repurchase | $ 1,286,411 | $ 822,252 |
Weighted-average maturity (in months) | 1 month 27 days | |
Within 30 days | ||
Mortgage loans sold under agreement to repurchase | ||
Mortgage loans sold under agreements to repurchase | $ 19,689 | |
Over 30 to 90 days | ||
Mortgage loans sold under agreement to repurchase | ||
Mortgage loans sold under agreements to repurchase | 1,267,038 | |
Over 90 days | ||
Mortgage loans sold under agreement to repurchase | ||
Mortgage loans sold under agreements to repurchase | $ 389 |
Borrowings - Mortgage Loans S94
Borrowings - Mortgage Loans Sold Under Agreement to Repurchase by Counterparty (Details) - Mortgage loans sold under agreements to repurchase $ in Thousands | Sep. 30, 2015USD ($) |
Credit Suisse First Boston Mortgage Capital LLC | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 54,117 |
Bank of America, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 52,803 |
Morgan Stanley Bank | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 16,755 |
Citibank, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 10,504 |
Borrowings - Mortgage Loan Part
Borrowings - Mortgage Loan Particpation and Sale Agreement (Details) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015USD ($) | Sep. 30, 2014USD ($) | Sep. 30, 2015USD ($)item | Sep. 30, 2014USD ($) | Dec. 31, 2014USD ($) | |
Short-term Debt [Line Items] | |||||
Number of facilities that provide for sale of mortgage loan participants certificates | item | 1 | ||||
Period end: | |||||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 247,410,000 | $ 247,410,000 | $ 143,568,000 | ||
During the period: | |||||
Total interest expense | 814,000 | $ 39,000 | 2,053,000 | $ 39,000 | |
Amortization of debt issuance costs and commitment fees relating to financing facilities | 5,688,000 | 4,217,000 | |||
Mortgage Loan Participation and Sale Agreement member | |||||
Period end: | |||||
Unpaid principal balance of mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 247,411,000 | 142,383,000 | 247,411,000 | 142,383,000 | |
Unamortized issuance costs | (1,000) | (1,000) | |||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 247,410,000 | 142,383,000 | 247,410,000 | 142,383,000 | |
Mortgage loans pledged to secure mortgage loan participation and sale agreement | 255,134,000 | 146,798,000 | 255,134,000 | 146,798,000 | |
During the period: | |||||
Average balance | $ 200,510,000 | $ 4,149,000 | $ 163,365,000 | $ 1,398,000 | |
Weighted-average interest rate (as a percent) | 1.44% | 1.40% | 1.43% | 1.40% | |
Total interest expense | $ 814,000 | $ 39,000 | $ 2,053,000 | $ 39,000 | |
Amortization of debt issuance costs and commitment fees relating to financing facilities | $ 74,000 | $ 24,000 | $ 276,000 | $ 24,000 |
Borrowings - Note Payable (Deta
Borrowings - Note Payable (Details) - USD ($) $ in Thousands | Apr. 30, 2015 | Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 |
Period end: | ||||||
Note Payable | $ 406,990 | $ 406,990 | $ 146,855 | |||
During the period: | ||||||
Total interest expense | 814 | $ 39 | 2,053 | $ 39 | ||
Note Payable | ||||||
Period end: | ||||||
Note Payable | 406,990 | 154,948 | 406,990 | 154,948 | ||
Unamortized issuance costs | (10) | (10) | ||||
During the period: | ||||||
Average balance | $ 361,488 | $ 127,361 | $ 239,935 | $ 86,239 | ||
Weighted-average interest rate (as a percent) | 3.07% | 2.92% | 3.03% | 2.93% | ||
Total interest expense | $ 3,760 | $ 1,239 | $ 7,858 | $ 2,759 | ||
Note Payable | Minimum | ||||||
During the period: | ||||||
Advance rate to secure note payable (as a percent) | 50.00% | |||||
Note Payable | Maximum | ||||||
During the period: | ||||||
Advance rate to secure note payable (as a percent) | 85.00% | |||||
Note Payable | Mortgage servicing rights | ||||||
Period end: | ||||||
Note Payable | 407,000 | 154,948 | $ 407,000 | 154,948 | ||
Assets pledged to secure note payable | $ 619,840 | $ 350,758 | $ 619,840 | $ 350,758 | ||
Loan and Security Agreement [Member] | PMT | ||||||
Note payable | ||||||
Increase in loan amount | $ 150,000 | |||||
Loan and Security Agreement [Member] | Credit Suisse First Boston Mortgage Capital LLC | ||||||
Note payable | ||||||
Maximum loan amount | 407,000 | |||||
Increase in loan amount | $ 150,000 |
Borrowings - ESS (Details)
Borrowings - ESS (Details) - Recurring basis - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | $ 370,893 | $ 196,065 | $ 197,472 | $ 138,723 |
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: | ||||
Pursuant to a recapture agreement | 2,268 | 2,619 | 4,833 | 6,093 |
Accrual of interest expense | 8,026 | 3,577 | 17,596 | 9,578 |
Repayments | (24,717) | (8,786) | (55,800) | (25,280) |
Change in fair value | (19,696) | (11,269) | (26,698) | (20,301) |
Balance at the end of the period | 429,297 | 191,459 | 429,297 | 191,459 |
Excess servicing spread financing | ||||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | 359,102 | 190,244 | 191,166 | 138,723 |
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: | ||||
For cash | 84,165 | 9,253 | 271,452 | 82,646 |
Pursuant to a recapture agreement | 2,268 | 2,619 | 4,833 | 6,093 |
Accrual of interest expense | 8,026 | 3,577 | 17,596 | 9,578 |
Repayments | (24,717) | (8,786) | (55,800) | (25,280) |
Change in fair value | (10,271) | (9,539) | (10,674) | (24,392) |
Balance at the end of the period | $ 418,573 | $ 187,368 | $ 418,573 | $ 187,368 |
Liability for Losses Under Re98
Liability for Losses Under Representations and Warranties (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
During the period: | ||||
Balance at beginning of period | $ 16,257 | $ 10,178 | $ 13,259 | $ 8,123 |
Provision for losses on loans sold | 2,292 | 1,584 | 5,535 | 3,639 |
Incurred losses | (71) | (316) | ||
Balance at end of period | 18,478 | 11,762 | 18,478 | 11,762 |
Unpaid principal balance of mortgage loans subject to representations and warranties at period end | $ 54,259,297 | $ 33,660,189 | $ 54,259,297 | $ 33,660,189 |
Income Taxes (Details)
Income Taxes (Details) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Reconciliation of the entity's provision for income taxes at statutory rates to the provision for income taxes at the entity's effective tax rate | ||||
Effective tax rate (as a percent) | 11.60% | 11.50% | 11.50% | 11.40% |
Noncontrolling Interest (Detail
Noncontrolling Interest (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 | Dec. 31, 2013 | |
Noncontrolling Interest [Line Items] | ||||||
Noncontrolling interest in Private National Mortgage Acceptance Company, LLC (as a percent) | 71.30% | 71.70% | 71.30% | 71.70% | 71.60% | 72.60% |
Net income and the effects of changes in noncontrolling interest | ||||||
Net Income (Loss) Available to Common Stockholders, Basic | $ 12,680 | $ 10,489 | $ 34,457 | $ 28,079 | ||
Stock Issued During Period, Value, Conversion of Units | $ 487 | $ 1,974 | $ 2,919 | $ 6,572 | ||
Class A Common Stock | ||||||
Noncontrolling Interest [Line Items] | ||||||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. (in shares) | 43,830 | 192,527 | 177,218 | 671,736 | ||
Net income and the effects of changes in noncontrolling interest | ||||||
Stock Issued During Period, Shares, Conversion of Units | 43,830 | 192,527 | 177,218 | 671,736 |
Net Gains on Mortgage Loans 101
Net Gains on Mortgage Loans Held for Sale (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Cash (loss) gain: | ||||
Mortgage Loans | $ (33,957) | $ 3,965 | $ (70,171) | $ 21,499 |
Hedging activities | (51,469) | (12,437) | (51,803) | (48,242) |
Cash gain (loss), net of effects of cash hedging, on sale of mortgage loans held for sale | (85,426) | (8,472) | (121,974) | (26,743) |
Non-cash gain: | ||||
Mortgage servicing rights resulting from mortgage loan sales | 161,696 | 61,200 | 360,656 | 148,374 |
Accrual of mortgage servicing liabilities resulting from mortgage loan sales | (8,358) | (20,442) | ||
MSR and ESS recapture payable to PennyMac Mortgage Investment Trust | (3,098) | (2,143) | (5,843) | (6,567) |
Provision for losses relating to representations and warranties on loans sold | (2,292) | (1,584) | (5,535) | (3,639) |
Change in fair value relating to loans and hedging derivatives held at period end: | ||||
Interest rate lock commitments | 15,800 | (7,114) | 11,137 | 15,875 |
Mortgage loans | 16,809 | (976) | 16,890 | 10,870 |
Hedging derivatives | (12,485) | 7,222 | 7,090 | (15,795) |
Net gains on mortgage loans held for sale at fair value | $ 82,646 | $ 48,133 | $ 241,979 | $ 122,375 |
Net Interest Expense (Details)
Net Interest Expense (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Interest income: | ||||
Short-term investments | $ 1,246 | $ 511 | $ 2,691 | $ 1,037 |
Mortgage loans held for sale at fair value | 12,518 | 8,464 | 32,657 | 18,300 |
Interest income, excluding related parties | 13,764 | 8,975 | 35,348 | 19,337 |
Interest income | 15,053 | 8,975 | 37,170 | 19,337 |
Interest expense: | ||||
Mortgage loans sold under agreements to repurchase | 5,661 | 4,495 | 14,159 | 10,506 |
Mortgage loan participation and sale agreement | 814 | 39 | 2,053 | 39 |
Note payable | 3,760 | 1,239 | 7,858 | 2,759 |
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations | 1,803 | 747 | 5,003 | 1,340 |
Interest on mortgage loan impound deposits | 880 | 1,616 | 2,453 | 2,609 |
Interest expense, non-affiliates | 12,918 | 8,136 | 31,526 | 17,253 |
Interest expense | 20,944 | 11,713 | 49,122 | 26,831 |
Net interest expense: | (5,891) | (2,738) | (11,952) | (7,494) |
PMT | ||||
Interest income: | ||||
From PennyMac Mortgage Investment Trust Note receivable | 1,289 | 1,822 | ||
Interest expense: | ||||
To PennyMac Mortgage Investment Trust Excess servicing spread financing at fair value | $ 8,026 | $ 3,577 | $ 17,596 | $ 9,578 |
Stock-based Compensation (Detai
Stock-based Compensation (Details) - USD ($) $ in Thousands, shares in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Stock-Based Compensation | ||||
Units available for future awards under 2013 Equity Incentive Plan (in units) | 2 | 2 | ||
Stock-based compensation expense | $ 4,451 | $ 1,913 | $ 12,929 | $ 7,222 |
Stock Options | ||||
Stock-Based Compensation | ||||
Stock-based compensation expense | 1,396 | 1,353 | 4,392 | 3,915 |
Performance-based RSUs | ||||
Stock-Based Compensation | ||||
Stock-based compensation expense | 2,474 | 61 | 6,819 | 1,935 |
Time-based RSUs | ||||
Stock-Based Compensation | ||||
Stock-based compensation expense | $ 581 | $ 499 | $ 1,718 | $ 1,372 |
Stock-based Compensation (De104
Stock-based Compensation (Details 2) - shares shares in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Stock Options | ||||
Summary of equity awards, options | ||||
Balance at beginning of period (in units) | 1,869 | 1,162 | 1,167 | 422 |
Granted (in units) | 16 | 715 | 769 | |
Forfeited or canceled (in units) | (11) | (6) | (24) | (19) |
Balance at end of period (in units) | 1,858 | 1,172 | 1,858 | 1,172 |
Performance-based RSUs | ||||
Summary of equity award grants, RSUs | ||||
Balance at beginning of period (in units) | 2,381 | 1,100 | 1,257 | 496 |
Granted (in units) | 180 | 1,143 | 794 | |
Forfeited or canceled (in units) | (19) | (9) | (38) | (19) |
Balance at end of period (in units) | 2,362 | 1,271 | 2,362 | 1,271 |
Time-based RSUs | ||||
Summary of equity awards, options | ||||
Exercised (in units) | (4) | |||
Summary of equity award grants, RSUs | ||||
Balance at beginning of period (in units) | 276 | 202 | 202 | 100 |
Granted (in units) | 6 | 150 | 144 | |
Vested (in units) | (75) | (31) | ||
Forfeited or canceled (in units) | (4) | (3) | (9) | (8) |
Balance at end of period (in units) | 268 | 205 | 268 | 205 |
Supplemental Cash Flow Infor105
Supplemental Cash Flow Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Supplemental Cash Flow Information | ||||
Cash paid for interest | $ 47,867 | $ 25,724 | ||
Cash paid for income taxes | 1,909 | 4,715 | ||
Non-cash investing activity: | ||||
Mortgage servicing rights resulting from mortgage loan sales | $ 161,696 | $ 61,200 | 360,656 | 148,374 |
Mortgage servicing liabilities resulting from mortgage loan sales | $ 8,358 | 20,442 | ||
Non-cash financing activity: | ||||
Transfer of excess servicing spread pursuant to recapture agreement with PennyMac Mortgage Investment Trust | 4,833 | 6,093 | ||
Mortgage Servicing Rights MSRs Recapture Recognized | 670 | |||
Issuance of common stock in settlement of director fees | $ 223 | $ 147 |
Regulatory Net Worth and Age106
Regulatory Net Worth and Agency Capital Requirements (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Fannie Mae-PLS | ||
Regulatory Net Worth and Agency Capital Requirements | ||
Net worth | $ 763,080 | $ 583,686 |
Required | 389,576 | 35,507 |
Freddie Mac-PLS | ||
Regulatory Net Worth and Agency Capital Requirements | ||
Net worth | 761,516 | 583,819 |
Required | 4,615 | 3,721 |
Ginnie Mae - Issuer - PLS | ||
Regulatory Net Worth and Agency Capital Requirements | ||
Net worth | 555,380 | 536,009 |
Required | 207,974 | 111,457 |
Ginnie Mae - Issuer's parent - PennyMac | ||
Regulatory Net Worth and Agency Capital Requirements | ||
Net worth | 806,039 | 763,907 |
Required | 249,569 | 133,748 |
HUD - PLS | ||
Regulatory Net Worth and Agency Capital Requirements | ||
Net worth | 555,380 | 539,844 |
Required | $ 2,500 | $ 2,500 |
Commitments and Contingencie107
Commitments and Contingencies (Details) $ in Thousands | Sep. 30, 2015USD ($) |
Commitment and Contingencies. | |
Commitments to purchase mortgage loans from PennyMac Mortgage Investment Trust | $ 1,563,782 |
Commitments to fund mortgage loans | 1,217,769 |
Total commitments to purchase and fund mortgage loans | 2,781,551 |
Commitments to sell mortgage loans | $ 7,116,246 |
Segments and Related Informa108
Segments and Related Information - Effect of Change in Allocations (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Segments and Related Information | ||||
Operating Expenses | $ 115,282 | $ 77,933 | $ 323,910 | $ 206,752 |
Investment management | Change in Method for Allocating Incentive Compensation | Pro Forma | ||||
Segments and Related Information | ||||
Operating Expenses | (1,719) | (5,455) | ||
Mortgage banking | Change in Method for Allocating Incentive Compensation | Pro Forma | ||||
Segments and Related Information | ||||
Operating Expenses | 1,719 | 5,455 | ||
Mortgage banking Production | Change in Method for Allocating Incentive Compensation | Pro Forma | ||||
Segments and Related Information | ||||
Operating Expenses | 1,103 | 1,616 | ||
Mortgage banking Servicing | Change in Method for Allocating Incentive Compensation | Pro Forma | ||||
Segments and Related Information | ||||
Operating Expenses | $ 616 | $ 3,839 |
Segments and Related Informa109
Segments and Related Information - Financial Hilights by Segment (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015USD ($) | Sep. 30, 2014USD ($) | Sep. 30, 2015USD ($)item | Sep. 30, 2014USD ($) | Dec. 31, 2014USD ($) | |
Segments and Related Information | |||||
Number of segments | item | 3 | ||||
Revenues: | |||||
Net gains (losses) on mortgage loans held for sale at fair value | $ 82,646 | $ 48,133 | $ 241,979 | $ 122,375 | |
Loan origination fees | 29,448 | 11,823 | 70,551 | 29,048 | |
Net servicing fees | 57,258 | 53,908 | 152,583 | 154,641 | |
Management fees | 6,456 | 11,379 | 21,908 | 32,486 | |
Carried Interest from Investment Funds | 2,898 | 5,893 | |||
Net interest (expense) income: | |||||
Interest income | 15,053 | 8,975 | 37,170 | 19,337 | |
Interest expense, before non-segment activities | 21,004 | 11,713 | 49,182 | 26,831 | |
Net interest expense, before non-segment activities | (5,951) | (2,738) | (12,012) | (7,494) | |
Other | 252 | 721 | 2,151 | 2,771 | |
Total net revenues, before non-segment activities | 189,145 | 140,625 | 525,810 | 376,552 | |
Expenses | 115,282 | 77,933 | 323,910 | 206,752 | |
Income (loss) before provision for income taxes and non-segement activites | 73,863 | 201,900 | |||
Non-segement acitivites | 60 | 60 | |||
Income before provision for income taxes | 73,923 | 62,692 | 201,960 | 169,800 | |
Assets: | |||||
Segment assets at period end | 3,815,322 | 3,815,322 | $ 2,506,686 | ||
Deferred tax asset | 25,878 | 25,878 | $ 46,038 | ||
PMT | |||||
Revenues: | |||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 17,553 | 15,497 | 45,752 | 36,832 | |
Management fees | 5,742 | 9,623 | 18,524 | 26,609 | |
Net interest (expense) income: | |||||
Other | (158) | 8 | (295) | 20 | |
Investment Funds | |||||
Revenues: | |||||
Management fees | 714 | 1,756 | 3,384 | 5,877 | |
Carried Interest from Investment Funds | 1,483 | 1,902 | $ 2,898 | 5,893 | |
Mortgage banking | |||||
Segments and Related Information | |||||
Number of segments | item | 2 | ||||
Operating segment | |||||
Assets: | |||||
Segment assets at period end | 3,789,754 | 2,481,177 | $ 3,789,754 | 2,481,177 | |
Deferred tax asset | 25,900 | 52,800 | 25,900 | 52,800 | |
Operating segment | Investment management | |||||
Revenues: | |||||
Management fees | 6,456 | 11,379 | 21,908 | 32,486 | |
Net interest (expense) income: | |||||
Interest income | 5 | ||||
Net interest expense, before non-segment activities | 5 | ||||
Other | (141) | 13 | (109) | 253 | |
Total net revenues, before non-segment activities | 7,798 | 13,294 | 24,697 | 38,637 | |
Expenses | 5,618 | 7,112 | 17,631 | 21,134 | |
Income (loss) before provision for income taxes and non-segement activites | 2,180 | 7,066 | |||
Income before provision for income taxes | 2,180 | 6,182 | 7,066 | 17,503 | |
Assets: | |||||
Segment assets at period end | 87,365 | 110,791 | 87,365 | 110,791 | |
Operating segment | Investment management | Investment Funds | |||||
Revenues: | |||||
Carried Interest from Investment Funds | 1,483 | 1,902 | 2,898 | 5,893 | |
Operating segment | Mortgage banking | |||||
Revenues: | |||||
Net gains (losses) on mortgage loans held for sale at fair value | 82,646 | 48,133 | 241,979 | 122,375 | |
Loan origination fees | 29,448 | 11,823 | 70,551 | 29,048 | |
Net servicing fees | 57,258 | 53,908 | 152,583 | 154,641 | |
Net interest (expense) income: | |||||
Interest income | 15,053 | 8,975 | 37,170 | 19,332 | |
Interest expense, before non-segment activities | 21,004 | 11,713 | 49,182 | 26,831 | |
Net interest expense, before non-segment activities | (5,951) | (2,738) | (12,012) | (7,499) | |
Other | 393 | 708 | 2,260 | 2,518 | |
Total net revenues, before non-segment activities | 181,347 | 127,331 | 501,113 | 337,915 | |
Expenses | 109,664 | 70,821 | 306,279 | 185,618 | |
Income (loss) before provision for income taxes and non-segement activites | 71,683 | 194,834 | |||
Income before provision for income taxes | 71,683 | 56,510 | 194,834 | 152,297 | |
Assets: | |||||
Segment assets at period end | 3,702,389 | 2,370,386 | 3,702,389 | 2,370,386 | |
Operating segment | Mortgage banking | PMT | |||||
Revenues: | |||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 17,553 | 15,497 | 45,752 | 36,832 | |
Operating segment | Mortgage banking Production | |||||
Revenues: | |||||
Net gains (losses) on mortgage loans held for sale at fair value | 81,005 | 41,308 | 244,361 | 113,947 | |
Loan origination fees | 29,448 | 11,823 | 70,551 | 29,048 | |
Net interest (expense) income: | |||||
Interest income | 13,228 | 5,759 | 30,041 | 15,562 | |
Interest expense, before non-segment activities | 6,290 | 3,251 | 15,131 | 8,652 | |
Net interest expense, before non-segment activities | 6,938 | 2,508 | 14,910 | 6,910 | |
Other | 272 | 478 | 1,420 | 1,504 | |
Total net revenues, before non-segment activities | 135,216 | 71,614 | 376,994 | 188,241 | |
Expenses | 57,477 | 32,535 | 155,542 | 90,447 | |
Income (loss) before provision for income taxes and non-segement activites | 77,739 | 221,452 | |||
Income before provision for income taxes | 77,739 | 39,079 | 221,452 | 97,794 | |
Assets: | |||||
Segment assets at period end | 1,723,137 | 1,366,644 | 1,723,137 | 1,366,644 | |
Operating segment | Mortgage banking Production | PMT | |||||
Revenues: | |||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 17,553 | 15,497 | 45,752 | 36,832 | |
Operating segment | Mortgage banking Servicing | |||||
Revenues: | |||||
Net gains (losses) on mortgage loans held for sale at fair value | 1,641 | 6,825 | (2,382) | 8,428 | |
Net servicing fees | 57,258 | 53,908 | 152,583 | 154,641 | |
Net interest (expense) income: | |||||
Interest income | 1,825 | 3,216 | 7,129 | 3,770 | |
Interest expense, before non-segment activities | 14,714 | 8,462 | 34,051 | 18,179 | |
Net interest expense, before non-segment activities | (12,889) | (5,246) | (26,922) | (14,409) | |
Other | 121 | 230 | 840 | 1,014 | |
Total net revenues, before non-segment activities | 46,131 | 55,717 | 124,119 | 149,674 | |
Expenses | 52,187 | 38,286 | 150,737 | 95,171 | |
Income (loss) before provision for income taxes and non-segement activites | (6,056) | (26,618) | |||
Income before provision for income taxes | (6,056) | 17,431 | (26,618) | 54,503 | |
Assets: | |||||
Segment assets at period end | $ 1,979,252 | $ 1,003,742 | $ 1,979,252 | $ 1,003,742 |
Recently Issued Accounting P110
Recently Issued Accounting Pronouncements (Details) - USD ($) | Sep. 30, 2015 | Dec. 31, 2014 |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Amount reclassified from Other assets | $ 53,435,000 | $ 37,419,000 |
Recently Issued Accounting Pronouncements | Other Assets | Accounting Standards Update 2015-03: Simplifying the Presentation of Debt Issuance Costs | ||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Amount reclassified from Other assets | (716,000) | |
Recently Issued Accounting Pronouncements | Mortgage loans sold under agreements to repurchase | Accounting Standards Update 2015-03: Simplifying the Presentation of Debt Issuance Costs | ||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Amount reclassified from Other assets | 705,000 | |
Recently Issued Accounting Pronouncements | Mortgage Loan Participation and Sale Agreement member | Accounting Standards Update 2015-03: Simplifying the Presentation of Debt Issuance Costs | ||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Amount reclassified from Other assets | 1,000 | |
Recently Issued Accounting Pronouncements | Note Payable | Accounting Standards Update 2015-03: Simplifying the Presentation of Debt Issuance Costs | ||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Amount reclassified from Other assets | $ 10,000 |
Subsequent Events (Details)
Subsequent Events (Details) - Subsequent Event [Member] - PLS - Citibank, N.A. | Oct. 22, 2015USD ($) |
Securities Sold under Agreements to Repurchase [Abstract] | |
Maximum aggregate purchase price | $ 200,000,000 |
Aggregate purchase price, amount committed | 150,000,000 |
Minimum tangible net worth | 170,000,000 |
Minimum unrestricted cash and cash equivalents | $ 20,000,000 |
Maximum ratio of total liabilities to adjusted tangible net worth | 10 |
Minimum quarterly profitability | $ 1 |