Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2018 | Nov. 01, 2018 | |
Document and Entity Information | ||
Entity Registrant Name | PENNYMAC FINANCIAL SERVICES, INC. | |
Entity Central Index Key | 1,745,916 | |
Document Type | 10-Q | |
Document Period End Date | Sep. 30, 2018 | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Entity Current Reporting Status | Yes | |
Entity Filer Category | Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 77,490,572 | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Document Fiscal Year Focus | 2,018 | |
Document Fiscal Period Focus | Q3 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
ASSETS | ||
Cash (includes $81,640 and $20,765 pledged to creditors) | $ 102,627 | $ 37,725 |
Short-term investments at fair value | 145,476 | 170,080 |
Mortgage loans held for sale at fair value (includes $2,389,066 and $3,081,987 pledged to creditors) | 2,416,955 | 3,099,103 |
Derivative assets | 73,618 | 78,179 |
Servicing advances, net (includes valuation allowance of $65,393 and $59,958; $102,222 and $114,643 pledged to creditors) | 259,609 | 318,066 |
Mortgage servicing rights (includes $2,785,964 and $638,010 at fair value; $2,539,575 and $2,098,067 pledged to creditors) | 2,785,964 | 2,119,588 |
Real estate acquired in settlement of loans | 2,493 | 2,447 |
Furniture, fixtures, equipment and building improvements, net (includes $19,022 and $23,915 pledged to creditors) | 31,662 | 29,453 |
Capitalized software, net (includes $1,231 and $1,568 pledged to creditors) | 36,484 | 25,729 |
Mortgage loans eligible for repurchase | 889,335 | 1,208,195 |
Other | 86,194 | 107,076 |
Total assets | 6,992,530 | 7,368,093 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 1,739,638 | 2,381,538 |
Mortgage loans participation purchase and sale agreements | 524,667 | 527,395 |
Notes payable | 1,291,847 | 891,505 |
Obligations under capital lease | 9,630 | 20,971 |
Derivative liabilities | 12,693 | 5,796 |
Accounts payable and accrued expenses | 140,363 | 109,143 |
Mortgage servicing liabilities at fair value | 9,769 | 14,120 |
Income taxes payable | 74,158 | 52,160 |
Liability for mortgage loans eligible for repurchase | 889,335 | 1,208,195 |
Liability for losses under representations and warranties | 21,022 | 20,053 |
Total liabilities | 5,075,820 | 5,648,419 |
Commitments and contingencies - Note 14 | ||
STOCKHOLDERS' EQUITY | ||
Additional paid-in capital | 236,457 | 204,103 |
Retained earnings | 304,386 | 265,306 |
Total stockholders' equity attributable to PennyMac Financial Services, Inc. common stockholders | 540,846 | 469,411 |
Noncontrolling interest in Private National Mortgage Acceptance Company, LLC | 1,375,864 | 1,250,263 |
Total stockholders' equity | 1,916,710 | 1,719,674 |
Total liabilities and stockholders' equity | 6,992,530 | 7,368,093 |
Class A Common Stock | ||
STOCKHOLDERS' EQUITY | ||
Common stock | 3 | 2 |
Total stockholders' equity | 3 | |
Class B Common Stock | ||
STOCKHOLDERS' EQUITY | ||
Common stock | ||
PMT | ||
ASSETS | ||
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell pledged to creditors | 133,128 | 144,128 |
Investment in PennyMac Mortgage Investment Trust at fair value | 1,518 | 1,205 |
Receivable, from affiliates | 27,467 | 27,119 |
LIABILITIES | ||
Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value | 223,275 | 236,534 |
Payable to affiliates | 91,818 | 136,998 |
Private National Mortgage Acceptance Company, LLC | ||
LIABILITIES | ||
Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | $ 47,605 | $ 44,011 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Cash pledged to creditors | $ 81,640 | $ 20,765 |
Mortgage loans held for sale, pledged to creditors | 2,389,066 | 3,081,987 |
Servicing advances, net, valuation allowance | 65,393 | 59,958 |
Servicing advances pledged to creditors | 102,222 | 114,643 |
Mortgage servicing rights, at fair value | 2,785,964 | 638,010 |
Mortgage servicing rights pledged to creditors | 2,539,575 | 2,098,067 |
Furniture, fixtures, equipment and building improvements pledged to creditors | 19,022 | 23,915 |
Capitalized software pledged to creditors | $ 1,231 | $ 1,568 |
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 | 25,195,436 | 23,529,970 |
Common stock, shares outstanding | 25,195,436 | 23,529,970 |
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 | 45 | 46 |
Common stock, shares outstanding | 45 | 46 |
CONSOLIDATED STATEMENTS OF INCO
CONSOLIDATED STATEMENTS OF INCOME - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Mortgage loan servicing fees | ||||
From non-affiliates and affiliates | $ 147,182 | $ 126,416 | $ 421,536 | $ 345,231 |
Ancillary and other fees | 17,009 | 15,548 | 44,817 | 38,616 |
Net servicing fees | 174,262 | 153,782 | 496,877 | 417,289 |
Amortization, impairment and change in fair value of mortgage servicing rights and mortgage servicing liabilities | (63,450) | (80,529) | (147,670) | (232,889) |
Change in fair value of excess servicing spread payable to PennyMac Mortgage Investment Trust | (64,559) | (75,701) | (156,696) | (218,132) |
Net mortgage loan servicing fees | 109,703 | 78,081 | 340,181 | 199,157 |
Net gains on mortgage loans held for sale at fair value: | ||||
From non-affiliates | 38,349 | 98,235 | 143,396 | 285,599 |
Net gains on mortgage loans held for sale at fair value | 56,914 | 108,136 | 189,274 | 293,183 |
Mortgage loan origination fees from non-affiliates | 24,366 | 31,060 | 70,607 | 83,558 |
Mortgage loan origination fees | 26,485 | 33,168 | 75,476 | 88,935 |
Interest income: | ||||
From non-affiliates | 59,152 | 42,326 | 152,997 | 97,328 |
Interest income | 60,964 | 44,442 | 158,683 | 103,274 |
Interest expense: | ||||
To non-affiliates | 35,035 | 38,494 | 96,552 | 95,832 |
Interest expense | 38,775 | 42,492 | 108,136 | 108,843 |
Net interest income (expense): | 22,189 | 1,950 | 50,547 | (5,569) |
Management fees, net: | ||||
Management fees | 6,471 | 6,216 | 17,910 | 17,597 |
Result of real estate acquired in settlement of loans | 194 | 281 | 179 | 137 |
Other | 2,605 | 487 | 7,048 | 3,068 |
Total net revenue | 250,929 | 250,635 | 733,428 | 656,829 |
Expenses | ||||
Compensation | 103,364 | 93,417 | 303,917 | 261,624 |
Servicing | 40,797 | 24,968 | 95,586 | 76,513 |
Technology | 15,273 | 13,926 | 45,047 | 36,863 |
Occupancy and equipment | 7,117 | 5,933 | 20,001 | 16,940 |
Professional services | 7,117 | 4,636 | 18,442 | 12,977 |
Loan origination | 7,203 | 5,581 | 14,462 | 14,830 |
Marketing | 2,275 | 2,375 | 6,654 | 6,594 |
Other | 6,086 | 5,655 | 19,928 | 16,352 |
Total expenses | 189,232 | 156,491 | 524,037 | 442,693 |
Income before provision for income taxes | 61,697 | 94,144 | 209,391 | 214,136 |
Provision for income taxes | 5,545 | 11,652 | 17,908 | 26,512 |
Net income | 56,152 | 82,492 | 191,483 | 187,624 |
Less: Net income attributable to noncontrolling interest | 41,663 | 65,411 | 142,538 | 149,185 |
Net income attributable to PennyMac Financial Services, Inc. common stockholders | $ 14,489 | $ 17,081 | $ 48,945 | $ 38,439 |
Earnings per share | ||||
Basic (in dollars per share) | $ 0.58 | $ 0.73 | $ 1.99 | $ 1.66 |
Diluted (in dollars per share) | $ 0.57 | $ 0.71 | $ 1.94 | $ 1.62 |
Weighted-average shares outstanding | ||||
Basic (in shares) | 25,125 | 23,426 | 24,644 | 23,147 |
Diluted (in shares) | 78,913 | 78,416 | 78,954 | 78,231 |
Dividend declared per share of Class A common stock | $ 0.40 | $ 0.40 | ||
PMT | ||||
Mortgage loan servicing fees | ||||
From non-affiliates and affiliates | $ 10,071 | $ 11,402 | $ 30,521 | $ 31,987 |
Changes in fair value included in income | (1,109) | 4,828 | (9,026) | 14,757 |
Net gains on mortgage loans held for sale at fair value: | ||||
From PennyMac Mortgage Investment Trust | 18,565 | 9,901 | 45,878 | 7,584 |
Mortgage loan origination fees from PennyMac Mortgage Investment Trust | 2,119 | 2,108 | 4,869 | 5,377 |
Fulfillment fees from PennyMac Mortgage Investment Trust | 26,256 | 23,507 | 52,759 | 61,184 |
Interest income: | ||||
From PennyMac Mortgage Investment Trust | 1,812 | 2,116 | 5,686 | 5,946 |
Interest expense: | ||||
To PennyMac Mortgage Investment Trust | 3,740 | 3,998 | 11,584 | 13,011 |
Management fees, net: | ||||
Management fees | 6,482 | 6,038 | 17,906 | 16,684 |
Change in fair value of investment in and dividends received from affiliate | 129 | (33) | 419 | 182 |
Investment Funds | ||||
Mortgage loan servicing fees | ||||
From non-affiliates and affiliates | 416 | 3 | 1,455 | |
Management fees, net: | ||||
Management fees | (11) | 178 | 4 | 913 |
Carried Interest from Investment Funds | $ (17) | $ (1,158) | $ (365) | $ (1,045) |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) shares in Thousands, $ in Thousands | Additional paid-in capitalAs previously reported | Additional paid-in capital | Retained earningsAs previously reported | Retained earnings | Noncontrolling interestAs previously reported | Noncontrolling interest | As previously reportedClass A Common Stock | As previously reported | Class A Common Stock | Total |
Balance at Dec. 31, 2016 | $ 182,772 | $ 164,549 | $ 1,052,033 | $ 2 | $ 1,399,356 | |||||
Balance (in shares) at Dec. 31, 2016 | 22,427 | |||||||||
Changes in stockholders' equity | ||||||||||
Net income | 38,439 | 149,185 | 187,624 | |||||||
Stock and unit-based compensation | 4,861 | 10,200 | 15,061 | |||||||
Issuance of Class A common stock in settlement of director fees | 133 | 120 | 253 | |||||||
Repurchase of Class A common stock | (8,599) | $ (8,599) | (8,599) | |||||||
Shares of Class A common stock repurchased | (505) | |||||||||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A common stock of PennyMac Financial Services, Inc. | 20,583 | (20,583) | $ 20,583 | |||||||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A common stock of PennyMac Financial Services, Inc. (in shares) | 1,297 | 1,297 | ||||||||
Tax effect of exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A common stock of PennyMac Financial Services, Inc. | (3,404) | $ (3,404) | ||||||||
Balance at Sep. 30, 2017 | 196,346 | 202,988 | 1,190,955 | $ 2 | 1,590,291 | |||||
Balance (in shares) at Sep. 30, 2017 | 23,219 | |||||||||
Balance at Jun. 30, 2017 | 199,146 | 185,907 | 1,126,197 | $ 2 | 1,511,252 | |||||
Balance (in shares) at Jun. 30, 2017 | 23,473 | |||||||||
Changes in stockholders' equity | ||||||||||
Net income | 17,081 | 65,411 | 82,492 | |||||||
Stock and unit-based compensation | 1,411 | 2,944 | 4,355 | |||||||
Issuance of Class A common stock in settlement of director fees | 25 | 59 | 84 | |||||||
Repurchase of Class A common stock | (8,599) | $ (8,599) | (8,599) | |||||||
Shares of Class A common stock repurchased | (505) | |||||||||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A common stock of PennyMac Financial Services, Inc. | 3,656 | (3,656) | $ 3,656 | |||||||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A common stock of PennyMac Financial Services, Inc. (in shares) | 251 | 251 | ||||||||
Tax effect of exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A common stock of PennyMac Financial Services, Inc. | 707 | $ 707 | ||||||||
Balance at Sep. 30, 2017 | 196,346 | 202,988 | 1,190,955 | $ 2 | 1,590,291 | |||||
Balance (in shares) at Sep. 30, 2017 | 23,219 | |||||||||
Changes in stockholders' equity | ||||||||||
Cumulative effect of change in accounting principle for all existing classes of mortgage servicing rights at fair value | Accounting Standards Codification 250 Mortgage Servicing Rights Fair Value | 189 | 587 | 776 | |||||||
Balance after adjustment | 204,103 | 265,495 | 1,250,850 | $ 2 | 1,720,450 | |||||
Balance at Dec. 31, 2017 | $ 204,103 | $ 265,306 | $ 1,250,263 | $ 2 | $ 1,719,674 | 1,719,674 | ||||
Balance (in shares) at Dec. 31, 2017 | 23,530 | 23,530 | ||||||||
Changes in stockholders' equity | ||||||||||
Net income | 48,945 | 142,538 | 191,483 | |||||||
Class A common stock dividends | (10,054) | (10,054) | ||||||||
Stock and unit-based compensation | 7,400 | 18,084 | 25,484 | |||||||
Stock and unit-based compensation (in shares) | 285 | |||||||||
Issuance of Class A common stock in settlement of director fees | 79 | 166 | 245 | |||||||
Repurchase of Class A common stock | (1,554) | (3,272) | $ (4,826) | (4,826) | ||||||
Shares of Class A common stock repurchased | (236) | |||||||||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A common stock of PennyMac Financial Services, Inc. | 32,501 | (32,502) | $ 1 | $ 32,501 | ||||||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A common stock of PennyMac Financial Services, Inc. (in shares) | 1,616 | 1,616 | ||||||||
Tax effect of exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A common stock of PennyMac Financial Services, Inc. | (6,072) | $ (6,072) | ||||||||
Balance at Sep. 30, 2018 | 236,457 | 304,386 | 1,375,864 | $ 3 | 1,916,710 | |||||
Balance (in shares) at Sep. 30, 2018 | 25,195 | |||||||||
Balance at Jun. 30, 2018 | 229,941 | 299,951 | 1,332,049 | $ 3 | 1,861,944 | |||||
Balance (in shares) at Jun. 30, 2018 | 25,009 | |||||||||
Changes in stockholders' equity | ||||||||||
Net income | 14,489 | 41,663 | 56,152 | |||||||
Stock and unit-based compensation | 2,944 | 6,472 | $ 55 | 9,416 | ||||||
Class A common stock dividends | (10,054) | (10,054) | ||||||||
Issuance of Class A common stock in settlement of director fees | 28 | 57 | 85 | |||||||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A common stock of PennyMac Financial Services, Inc. | 4,377 | (4,377) | $ 4,377 | |||||||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A common stock of PennyMac Financial Services, Inc. (in shares) | 131 | 131 | ||||||||
Tax effect of exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A common stock of PennyMac Financial Services, Inc. | (833) | $ (833) | ||||||||
Balance at Sep. 30, 2018 | $ 236,457 | $ 304,386 | $ 1,375,864 | $ 3 | $ 1,916,710 | |||||
Balance (in shares) at Sep. 30, 2018 | 25,195 |
CONSOLIDATED STATEMENTS OF CH_2
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares | 3 Months Ended | 9 Months Ended |
Sep. 30, 2018 | Sep. 30, 2018 | |
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY | ||
Cash dividends declared (in dollars per share) | $ 0.40 | $ 0.40 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 2017 | |
Cash flow from operating activities | ||
Net income | $ 191,483 | $ 187,624 |
Adjustments to reconcile net income to net cash used in operating activities: | ||
Net gains on mortgage loans held for sale at fair value | (189,274) | (293,183) |
Amortization, impairment and change in fair value of mortgage servicing rights, mortgage servicing liabilities and excess servicing spread | 156,696 | 218,132 |
Capitalization of interest on mortgage loans held for sale at fair value | (67,025) | (32,883) |
Accrual of interest on excess servicing spread financing | 11,584 | 13,011 |
Amortization of premiums and debt issuance costs | (19,198) | 11,472 |
Results of real estate acquired in settlement of loans | (179) | (137) |
Stock based compensation expense | 20,766 | 14,634 |
Provision for servicing advance losses | 24,046 | 26,157 |
Loss from disposition of fixed assets and impairment of capitalized software | 389 | |
Depreciation and amortization | 9,046 | 6,229 |
Originations of mortgage loans held for sale | (4,049,591) | (3,906,688) |
Purchase of mortgage loans from Ginnie Mae securities and early buyout investors for modification and subsequent sale | (3,342,029) | (2,629,907) |
Sale and principal payments of mortgage loans held for sale to non-affiliates | 34,208,217 | 38,097,411 |
Repurchase of mortgage loans subject to representations and warranties | (24,891) | (16,867) |
Collection of repurchase agreement derivative | 19,460 | |
Decrease in servicing advances | 35,813 | 57,310 |
Sale of real estate acquired in settlement of loans | 3,004 | 2,758 |
Decrease in other assets | 8,874 | 25,853 |
Increase (decrease) in accounts payable and accrued expenses | 16,448 | (34,102) |
Payments to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | (6,221) | |
Net cash provided by (used in) operating activities | 732,584 | (646,266) |
Cash flow from investing activities | ||
Decrease (increase) in short-term investments | 24,604 | (50,253) |
Net settlement of derivative financial instruments used for hedging | (182,402) | (19,487) |
Purchase of mortgage servicing rights | (180,139) | (167,466) |
Purchase of furniture, fixtures, equipment and leasehold improvements | (8,919) | (5,276) |
Acquisition of capitalized software | (13,091) | (11,576) |
Increase in margin deposits | (836) | (33,171) |
Net cash used in investing activities | (349,783) | (285,301) |
Cash flow from financing activities | ||
Sale of assets under agreements to repurchase | 31,318,277 | 24,376,644 |
Repurchase of assets sold under agreements to repurchase | (31,960,304) | (24,016,601) |
Issuance of mortgage loan participation certificates | 19,398,281 | 13,780,569 |
Repayment of mortgage loan participation certificates | (19,401,301) | (13,919,864) |
Advances on notes payable | 1,300,000 | 935,000 |
Repayments of notes payable | (900,000) | (186,935) |
Advances of obligations under capital lease | 10,298 | |
Repayments of obligations under capital lease | (11,341) | (9,349) |
Repayment of excess servicing spread financing | (35,852) | (42,320) |
Payment of debt issuance costs | (15,320) | (19,187) |
Issuance of common stock pursuant to exercise of stock options | 4,718 | 427 |
Repurchase of common stock | (4,826) | (8,599) |
Payment of dividend to Class A common stockholders | (10,054) | |
Net cash (used in) provided by financing activities | (317,722) | 900,083 |
Net increase (decrease) in cash and restricted cash | 65,079 | (31,484) |
Cash and restricted cash at beginning of period | 38,173 | 99,642 |
Cash and restricted cash at end of period | 103,252 | 68,158 |
Cash | 102,627 | 67,708 |
Restricted cash included in Other assets | 625 | 450 |
Investment Funds | ||
Adjustments to reconcile net income to net cash used in operating activities: | ||
Accrual of servicing rebate payable to Investment Funds | 129 | |
Carried Interest from Investment Funds | 365 | 1,045 |
Collection of Carried Interest | 8,187 | 61,314 |
(Increase) decrease in receivable from affiliates | 417 | 436 |
Decrease in payable to affiliate | (2,427) | (18,203) |
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 | (313) | (76) |
Purchase of mortgage loans held for sale from PennyMac Mortgage Investment Trust | (28,584,762) | (32,724,487) |
Sale of mortgage loans held for sale to Penny Mac Mortgage Investment Trust | 2,336,162 | 373,108 |
(Increase) decrease in receivable from affiliates | (2,825) | 332 |
Decrease in payable to affiliate | (46,731) | (46,013) |
Increase in income taxes payable | 19,448 | 26,471 |
Cash flow from investing activities | ||
Net change in assets purchased from PMT under agreement to resell | $ 11,000 | $ 1,928 |
Organization
Organization | 9 Months Ended |
Sep. 30, 2018 | |
Organization | |
Organization | PENNYMAC FINANCIAL SERVICES, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) Note 1—Organization 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 and mortgage loan servicing. PennyMac’s investment management activities and a portion of its mortgage 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 a management agreement with PennyMac Mortgage Investment Trust (“PMT”), a publicly held real estate investment trust (“REIT”). Previously, PCM had management agreements with PNMAC Mortgage Opportunity Fund, LLC (the “Registered Fund”) and PNMAC Mortgage Opportunity Fund, L.P. (the “Master Fund”), both formerly registered under the Investment Company Act of 1940, as amended, an affiliate of these registered funds, and PNMAC Mortgage Opportunity Fund Investors, LLC (the “Private Fund”) (collectively, the “Investment Funds”). Together, the Investment Funds and PMT are referred to as the “Advised Entities.” The Registered Fund and the Master Fund obtained orders of de-registration on July 25, 2018, and the management agreements with all of the Investment Funds expired or were otherwise terminated. All of the Investment Funds other than the affiliate of the registered funds were dissolved on August 22, 2018. · PennyMac Loan Services, LLC (“PLS”) — a Delaware limited liability company that services portfolios of residential mortgage loans on behalf of non-affiliates and PMT, purchases, originates and sells new prime credit quality residential mortgage loans and engages in other mortgage banking activities for its own account and the account of PMT. PLS is approved as a seller/servicer of mortgage loans by the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”) and as an issuer of securities guaranteed by the Government National Mortgage Association (“Ginnie Mae”). PLS is a licensed Federal Housing Administration Nonsupervised Title II Lender with the U.S. Department of Housing and Urban Development (“HUD”) and a lender/servicer with the Veterans Administration (“VA”) and U.S. Department of Agriculture (“USDA”) (each an “Agency” and collectively the “Agencies”). · PNMAC Opportunity Fund Associates, LLC (“PMOFA”) —a Delaware limited liability company and the general partner of the Master Fund. PMOFA is entitled to incentive fees representing allocations of profits (“Carried Interest”) from the Master Fund. |
Basis of Presentation and Accou
Basis of Presentation and Accounting Developments | 9 Months Ended |
Sep. 30, 2018 | |
Basis of Presentation and Accounting Developments | |
Basis of Presentation and Accounting Developments | Note 2—Basis of Presentation and Accounting Developments Basis of Presentation 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 (“ASC”) 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. This interim consolidated information should be read together with the Company’s Annual Report on Form 10-K for the year ended December 31, 2017. 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 income to be anticipated for the full year ending December 31, 2018. Intercompany accounts and transactions have been eliminated. Preparation of financial statements in compliance with GAAP requires management to make judgments and estimates 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. Accounting Developments Accounting Changes During the nine months ended September 30, 2018, the Company adopted changes to the accounting principles used in the preparation of its financial statements summarized below. Mortgage Servicing Rights Effective January 1, 2018, the Company has elected to change the accounting for the classes of mortgage servicing rights (“MSRs”) it had accounted for using the amortization method through December 31, 2017, to the fair value method as allowed in the Transfers and Servicing topic of the FASB’s ASC. The Company determined that a single accounting treatment across all currently existing classes of MSRs is consistent with lender valuation under its financing arrangements and simplifies the Company’s hedging activities. As the result of this change, the Company recorded an adjustment to increase its investment in MSRs of $848,000, an increase in its liability for income taxes payable of $72,000 and an increase in stockholders’ equity of $776,000. Revenue Recognition In May 2014, the FASB issued Accounting Standards Update (“ASU”) 2014-09, Revenue from Contracts with Customers (Subtopic 606) (“ASU 2014-09”), which supersedes the guidance in the Revenue Recognition topic of the ASC. Effective January 1, 2018, the Company adopted ASU 2014-09 as amended using the modified retrospective method. The adoption of ASU 2014-09 did not require the Company to record a cumulative effect adjustment to its beginning retained earnings. The Company’s revenues from contracts with customers that are subject to ASU 2014-09 include fulfillment fees, management fees and certain reimbursed overhead costs. Other revenue and income streams are not subject to ASU 2014-09 as they are financial instruments or other contractual rights and obligations accounted for under the Receivables , Investments and Debt and Equity Securities , Transfers and Servicing , Financial Instruments and Derivatives and Hedging topics of the ASC. Fulfillment fees Fulfillment fees represent fees the Company collects for services it performs on behalf of PMT in connection with the acquisition, packaging and sale of mortgage loans. Fulfillment fee amounts are based upon a negotiated fee schedule and the unpaid principal balance of the mortgage loans purchased by PMT. The Company’s obligation under the agreement is fulfilled when PMT completes the sale or securitization of a mortgage loan it purchases. Fulfillment fees are generally collected within 30 days of purchase by PMT, although a portion of the fulfillment fees may not be collected until 30 days following sale or securitization to the extent such sale or securitization does not occur in the month of purchase. Fulfillment fee revenue is recognized in the month the fee is earned. Fulfillment fees receivable contract assets are disclosed in Note 4 — Transactions with Affiliates . Management fees Management fees represent compensation to the Company for its management services provided to the Advised Entities. Management fees are earned based on PMT’s shareholders’ equity amounts and the Investment Funds’ net assets and profitability in excess of specified thresholds, and are recognized as services are provided and are paid to the Company on a quarterly basis within 30 days of the end of the quarter. Management fees receivable contract assets are disclosed in Note 4 — Transactions with Affiliates . Carried Interest The Company’s Carried Interest arrangements with the Investment Funds represented capital allocations to the Company. As a result, the Company has concluded as part of its assessment of the effect of the adoption of Investments – Equity Method and Joint Ventures topic of the ASC. Therefore, effective January 1, 2018, the Company recharacterized its Carried Interest as financial instruments under the equity method of accounting. Carried Interest balances are included in Other assets and are disclosed in Note 9 — Carried Interest Due from Investment Funds . Expense reimbursements Under the Company’s management agreement with PMT, PMT is required to pay its pro rata portion of rent, telephone, utilities, office furniture, equipment, machinery and other office, internal and overhead expenses of the Company and its affiliates required for PMT’s and its subsidiaries’ operations. These expenses are allocated based on the ratio of PMT’s proportion of gross assets compared to all remaining gross assets managed by the Company as calculated at each fiscal quarter end. Before the adoption of ASU 2014-09, the Company accounted for such reimbursements as reductions to expenses. With the adoption of ASU 2014-09, the Company is required to include such expense reimbursements in its net revenues. As a result of the adoption of ASU 2014-09, beginning in 2018 certain overhead reimbursement amounts were reclassified from the following expense line items to Other revenue as summarized below: Quarter ended Nine months ended Income statement line September 30, 2018 September 30, 2018 (in thousands) Occupancy and equipment $ 718 $ 1,954 Technology 315 837 Compensation 120 360 Other 177 596 Total expense reimbursements included in Other revenue $ 1,330 $ 3,747 Cash Flows During the nine months ended September 30, 2018, the Company adopted ASU 2016-18, Statement of Cash Flows (Topic 230) – Restricted Cash (“ASU 2016-18”). ASU 2016-18 requires that a statement of cash flows explain the change during the reporting period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. Therefore, amounts generally described as restricted cash and restricted cash equivalents should be included with cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts shown on the consolidated statement of cash flows. Accordingly, the Company retrospectively changed the presentation of its consolidated statements of cash flows to conform to the requirements of ASU 2016-18. For the purpose of reporting the statement of cash flows, the Company has identified tenant security deposits relating to rental properties owned by PMT and managed by the Company as restricted cash. The tenant security deposits are included in Other assets on the Company’s consolidated balance sheets. As the result of adoption of ASU 2016-18, the Company’s consolidated statements of cash flows for the nine months ended September 30, 2017 changed as follows: As previously Effect of adoption reported of ASU 2016-18 As reported (in thousands) Cash flow from operating activities $ (646,441) $ $ (646,266) Cash and restricted cash at end of period $ 67,708 $ $ 68,158 Recently Issued Accounting Pronouncement In February 2016, the FASB issued ASU No. 2016-02, Leases (Topic 842) (“ASU 2016-02”). ASU 2016-02 changes the standards for the recognition, measurement, presentation and disclosure of leases for both parties to a contract (i.e., lessees and lessors). ASU 2016-02 requires lessees to apply a dual approach, classifying leases as either finance or operating leases based on the principle of whether the lease is effectively a financed purchase of the leased asset by the lessee. A lessee is also required to record a right-of-use asset and a lease liability for all leases with a term of greater than 12 months regardless of their classification. ASU 2016-02 is effective for the Company for reporting periods beginning after December 15, 2018. The Company is currently assessing the potential effect that the adoption of ASU 2016-02 will have on its consolidated financial statements. As shown in Note 14 – Commitments and Contingencies , the Company had approximately $89.2 million in future minimum lease payment commitments as of September 30, 2018. Were the Company to adopt ASU 2016-02 as of September 30, 2018, it would be required to recognize a right-of-use asset and a corresponding liability based on the present value of such obligation as of September 30, 2018. The Company does not expect to recognize a significant cumulative effect adjustment to its stockholders’ equity as a result of adopting |
Concentration of Risk
Concentration of Risk | 9 Months Ended |
Sep. 30, 2018 | |
Concentration of Risk | |
Concentration of Risk | Note 3—Concentration of Risk A substantial portion of the Company’s activities relate to the Advised Entities. Revenues generated from these entities (generally comprised of mortgage loan servicing fees, gains on mortgage loans held for sale, mortgage loan origination fees, fulfillment fees, change in fair value of excess servicing spread financing (“ESS”), net interest charged to these entities, management fees, Carried Interest, and change in fair value of investment and dividend received from PMT) totaled 25% and 22% of total net revenue for the quarters ended September 30, 2018 and 2017, respectively, and 19% and 20% for the nine months ended September 30, 2018 and 2017, respectively. |
Transactions with Affiliates
Transactions with Affiliates | 9 Months Ended |
Sep. 30, 2018 | |
Transactions with Affiliates | |
Transactions with Affiliates | Note 4—Transactions with Affiliates Transactions with PMT Operating Activities Mortgage Loan Production Activities and MSR Recapture The Company sells newly originated loans to PMT under a mortgage loan purchase agreement. Historically, the Company has used the mortgage loan purchase agreement for the purpose of selling to PMT prime jumbo residential mortgage loans. Beginning in the quarter ended September 30, 2017, the Company also sells non-government insured or guaranteed mortgage loans to PMT under the mortgage loan purchase agreement. Pursuant to the terms of an amended and restated MSR recapture agreement, effective September 12, 2016, if the Company refinances mortgage loans for which PMT previously held the MSRs, the Company is generally required to transfer and convey cash in an amount equal to 30% of the fair market value of the MSRs related to all the mortgage loans so originated. The MSR recapture agreement expires, unless terminated earlier in accordance with the agreement, on September 12, 2020, subject to automatic renewal for additional 18-month periods, unless terminated earlier in accordance with the terms of the agreement. The Company provides fulfillment and other services to PMT under an amended and restated mortgage banking services agreement for which it receives a fulfillment fee. Pursuant to the terms of the mortgage banking services agreement, the monthly fulfillment fee is an amount that shall equal (a) no greater than the product of (i) 0.35% and (ii) the aggregate initial unpaid principal balance (the “Initial UPB”) of all mortgage loans purchased in such month, plus (b) in the case of all mortgage loans other than mortgage loans sold to or securitized through Fannie Mae or Freddie Mac, no greater than the product of (i) 0.50% and (ii) the aggregate Initial UPB of all such mortgage loans sold and securitized in such month; provided, however, that no fulfillment fee shall be due or payable to the Company with respect to any mortgage loans underwritten to the Ginnie Mae Mortgage‑Backed Securities (“MBS”) Guide. PMT does not hold the Ginnie Mae approval required to issue Ginnie Mae MBS and act as a servicer. Accordingly, under the agreement, the Company currently purchases mortgage loans underwritten in accordance with the Ginnie Mae MBS Guide “as is” and without recourse of any kind from PMT at PMT’s cost less an administrative fee plus accrued interest and a sourcing fee ranging from two to three and one-half basis points, generally based on the average number of calendar days mortgage loans are held by PMT before being purchased by the Company. In consideration for the mortgage banking services provided by the Company with respect to PMT’s acquisition of mortgage loans under the Company’s early purchase program, the Company is entitled to fees accruing (i) at a rate equal to $1,500 per year per early purchase facility administered by the Company, and (ii) in the amount of $35 for each mortgage loan that PMT acquires thereunder. The mortgage banking services agreement expires, unless terminated earlier in accordance with the agreement, on September 12, 2020, subject to automatic renewal for additional 18-month periods. Following is a summary of mortgage loan production activities and MSR recapture between the Company and PMT: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Net gains on mortgage loans held for sale at fair value: Net gains on mortgage loans held for sale to PMT $ 19,722 $ 11,396 $ 49,396 $ 12,280 Mortgage servicing rights and excess servicing spread recapture incurred (1,157) (1,495) (3,518) (4,696) $ 18,565 $ 9,901 $ 45,878 $ 7,584 Sale of mortgage loans held for sale to PMT $ 908,525 $ 332,886 $ 2,336,162 $ 373,108 Fulfillment fee revenue $ 26,256 $ 23,507 $ 52,759 $ 61,184 Unpaid principal balance of mortgage loans fulfilled for PMT subject to fulfillment fees $ 7,517,883 $ 6,530,036 $ 17,139,884 $ 17,079,969 Sourcing fees paid to PMT $ 2,689 $ 3,275 $ 8,221 $ 9,340 Unpaid principal balance of mortgage loans purchased from PMT $ 8,916,654 $ 10,915,194 $ 27,404,022 $ 31,131,154 Tax service fees received from PMT included in Mortgage loan origination fees $ 2,119 $ 2,108 $ 4,869 $ 5,377 Early purchase program fees earned from PMT included in Mortgage loan servicing fees $ — $ 1 $ — $ 7 Mortgage Loan Servicing The Company has a mortgage loan servicing agreement with PMT (“Servicing Agreement”). The Servicing Agreement provides for servicing fees of per‑loan monthly amounts based on the delinquency, bankruptcy and/or foreclosure status of the serviced mortgage loan or the real estate acquired in settlement of loans (“REO”). The Company also remains entitled to customary ancillary income and market-based fees and charges relating to mortgage loans it services for PMT. These include boarding and deboarding fees, liquidation and disposition fees, assumption, modification and origination fees and a percentage of late charges. · The base servicing fee rates for distressed whole mortgage loans range from $30 per month for current loans up to $85 per month for loans where the borrower has declared bankruptcy. The base servicing fee rate for REO is $75 per month. · To the extent the Company facilitates rentals of PMT's REO under its REO rental program, the Company collects an REO rental fee of $30 per month per REO, an REO property lease renewal fee of $100 per lease renewal, and a property management fee in an amount equal to the Company’s cost if property management services and/or any related software costs are outsourced to a third-party property management firm or 9% of gross rental income if the Company provides property management services directly. The Company is also entitled to retain any tenant paid application fees and late rent fees and seek reimbursement for certain third-party vendor fees. · Except as otherwise provided in the MSR recapture agreement, when the Company effects a refinancing of a mortgage loan on behalf of PMT and not through a third-party lender and the resulting mortgage loan is readily saleable, or the Company originates a loan to facilitate the disposition of a REO, the Company is entitled to receive from PMT market-based fees and compensation consistent with pricing and terms the Company offers unaffiliated parties on a retail basis. · Because PMT has a small number of employees and limited infrastructure, the Company is required to provide a range of services and activities significantly greater in scope than the services provided in connection with a customary servicing arrangement. For these services, the Company receives a supplemental servicing fee of $25 per month for each distressed mortgage loan. The Company is entitled to reimbursement for all customary, good faith reasonable and necessary out-of-pocket expenses incurred by the Company in performance of its servicing obligations. · The Company is entitled to retain any incentive payments made to it and to which it is entitled under the U.S. Department of Treasury’s Home Affordable Modification Plan; provided, however, that with respect to any such incentive payments paid to the Company in connection with a mortgage loan modification for which PMT previously paid the Company a modification fee, the Company is required to reimburse PMT an amount equal to the incentive payments. · The Company is also entitled to certain activity-based fees for distressed whole mortgage loans that are charged based on the achievement of certain events. These fees range from $750 for a streamline modification to $1,750 for a liquidation and $500 for a deed-in-lieu of foreclosure. The Company is not entitled to earn more than one liquidation fee, reperformance fee or modification fee per mortgage loan in any 18-month period. · The base servicing fees for non-distressed mortgage loans are calculated through a monthly per-loan dollar amount, with the actual dollar amount for each loan based on whether the mortgage loan is a fixed-rate or adjustable-rate loan. The base servicing fee rates are $7.50 per month and $8.50 per month for fixed-rate loans and adjustable-rate loans, respectively. The Servicing Agreement expires on September 12, 2020, subject to automatic renewal for additional 18-month periods, unless terminated earlier in accordance with the terms of the agreement. Following is a summary of mortgage loan servicing and property management fees earned from PMT: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Mortgage loans acquired for sale at fair value: Base and supplemental $ 98 $ 88 $ 250 $ 235 Activity-based 218 188 489 507 316 276 739 742 Mortgage loans at fair value: Base and supplemental 614 1,571 2,328 5,284 Activity-based 657 2,702 3,200 6,859 1,271 4,273 5,528 12,143 Mortgage servicing rights: Base and supplemental 8,326 6,702 23,875 18,727 Activity-based 158 151 379 375 8,484 6,853 24,254 19,102 $ 10,071 $ 11,402 $ 30,521 $ 31,987 Property management fees received from PMT included in Other income $ 122 $ 95 $ 333 $ 261 Investment Management Activities The Company has a management agreement with PMT (“Management Agreement”). The Management Agreement provides that: · The base management fee is calculated quarterly and is equal to the sum of (i) 1.5% per year of PMT’s average shareholders’ equity up to $2 billion, (ii) 1.375% per year of PMT’s average shareholders’ equity in excess of $2 billion and up to $5 billion, and (iii) 1.25% per year of PMT’s average shareholders’ equity in excess of $5 billion. · The performance incentive fee is calculated quarterly at a defined annualized percentage of the amount by which PMT’s “net income,” on a rolling four‑quarter basis and before deducting the incentive fee, exceeds certain levels of return on “equity.” The performance incentive fee is equal to the sum of: (a) 10% of the amount by which PMT’s “net income” for the quarter exceeds (i) an 8% return on equity plus the “high watermark,” up to (ii) a 12% return on PMT’s equity; plus (b) 15% of the amount by which PMT’s “net income” for the quarter exceeds (i) a 12% return on PMT’s equity plus the “high watermark,” up to (ii) a 16% return on PMT’s equity; plus (c) 20% of the amount by which PMT’s “net income” for the quarter exceeds a 16% return on equity plus the “high watermark.” For the purpose of determining the amount of the performance incentive fee: “Net income” is defined as net income or loss attributable to PMT’s common shares of beneficial interest computed in accordance with GAAP adjusted for certain other non‑cash charges determined after discussions between the Company and PMT’s independent trustees and approval by a majority of PMT’s independent trustees. “Equity” is the weighted average of the issue price per common share of all of PMT’s public offerings, multiplied by the weighted average number of common shares outstanding (including restricted share units) in the rolling four‑quarter period. The “high watermark” is the quarterly adjustment that reflects the amount by which the “net income” (stated as a percentage of return on equity) in that quarter exceeds or falls short of the lesser of 8% and the average Fannie Mae 30‑year MBS yield (the “Target Yield”) for the four quarters then ended. If the “net income” is lower than the Target Yield, the high watermark is increased by the difference. If the “net income” is higher than the Target Yield, the high watermark is reduced by the difference. Each time a performance incentive fee is earned, the high watermark returns to zero. As a result, the threshold amounts required for the Company to earn a performance incentive fee are adjusted cumulatively based on the performance of PMT’s “net income” over (or under) the Target Yield, until the “net income” in excess of the Target Yield exceeds the then‑current cumulative high watermark amount, and a performance incentive fee is earned. The base management fee and the performance incentive fee are both receivable quarterly in arrears. The performance incentive fee may be paid in cash or a combination of cash and PMT’s common shares (subject to a limit of no more than 50% paid in common shares), at PMT’s option. The Management Agreement expires on September 12, 2020, subject to automatic renewal for additional Following is a summary of the base management and performance incentive fees earned from PMT: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Base management $ 5,799 $ 6,038 $ 17,223 $ 16,380 Performance incentive 683 — 683 304 $ 6,482 $ 6,038 $ 17,906 $ 16,684 Expense Reimbursement Under the Management Agreement, PMT reimburses the Company for its organizational and operating expenses, including third-party expenses, incurred on PMT’s behalf, it being understood that the Company and its affiliates shall allocate a portion of their personnel’s time to provide certain legal, tax and investor relations services for the direct benefit of PMT. With respect to the allocation of the Company’s and its affiliates’ personnel compensation, from and after September 12, 2016, the Company shall be reimbursed $120,000 per fiscal quarter, such amount to be reviewed annually and not preclude reimbursement for any other services performed by the Company or its affiliates. PMT is also required to pay its pro rata portion of rent, telephone, utilities, office furniture, equipment, machinery and other office, internal and overhead expenses of the Company and its affiliates required for PMT’s and its subsidiaries’ operations. These expenses will be allocated based on the ratio of PMT’s proportion of gross assets compared to all remaining gross assets managed by the Company as calculated at each fiscal quarter end. The Company received reimbursements from PMT for expenses as follows: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Reimbursement of: Common overhead incurred by the Company (1) $ 1,210 $ 1,193 $ 3,387 $ 4,220 Compensation (1) 120 — 360 — Expenses incurred on (the Company's) PMT's behalf, net 527 196 586 849 $ 1,857 $ 1,389 $ 4,333 $ 5,069 Payments and settlements during the quarter (2) $ 21,650 $ 22,786 $ 45,265 $ 63,249 (1) The Company adopted ASU 2014-09 using the modified retrospective method effective January 1, 2018. Adoption of ASU 2014-09 using the modified retrospective method required the Company to include those reimbursements from PMT in Other revenue starting January 1, 2018. (2) Payments and settlements include payments for management fees and correspondent production activities itemized in the preceding tables and netting settlements made pursuant to master netting agreements between the Company and PMT. Conditional Reimbursement of Underwriting Fees In connection with its initial public offering of common shares of beneficial interest 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. In the event a termination fee is payable to the Company under the Management Agreement, and the Company has not received the full amount of the reimbursements and payments under the reimbursement agreement, such amount will be paid in full. The term of the reimbursement agreement expires on February 1, 2019. The Company received no reimbursement of underwriting fees from PMT during the nine months ended September 30, 2018 and received $30,000 during the nine months ended September 30, 2017. Investing Activities Master Repurchase Agreement On December 19, 2016, the Company, through PLS, entered into a master repurchase agreement with one of PMT’s wholly-owned subsidiaries, PennyMac Holdings, LLC (“PMH”) (the “PMH Repurchase Agreement”), pursuant to which PMH may borrow from the Company for the purpose of financing PMH’s participation certificates representing beneficial ownership in ESS. PLS then re-pledges such participation certificates to PNMAC GMSR ISSUER TRUST (the “Issuer Trust”) under a master repurchase agreement by and among PLS, the Issuer Trust and PennyMac, as guarantor (the “PC Repurchase Agreement”). The Issuer Trust was formed for the purpose of allowing PLS to finance MSRs and ESS relating to such MSRs (the “GNMA MSR Facility”). In connection with the GNMA MSR Facility, PLS pledges and/or sells to the Issuer Trust participation certificates representing beneficial interests in MSRs and ESS pursuant to the terms of the PC Repurchase Agreement. In return, the Issuer Trust (a) has issued to PLS, pursuant to the terms of an indenture, the Series 2016-MSRVF1 Variable Funding Note, dated December 19, 2016, known as the “PNMAC GMSR ISSUER TRUST MSR Collateralized Notes, Series 2016-MSRVF1” (the “VFN”), and (b) has issued and may, from time to time pursuant to the terms of any supplemental indenture, issue to institutional investors additional term notes (“Term Notes”), in each case secured on a pari passu basis by the participation certificates relating to the MSRs and ESS. The maximum principal balance of the VFN is $1,000,000,000. The principal amount paid by PLS for the participation certificates under the PMH Repurchase Agreement is based upon a percentage of the market value of the underlying ESS. Upon PMH’s repurchase of the participation certificates, PMH is required to repay PLS the principal amount relating thereto plus accrued interest (at a rate reflective of the current market and consistent with the weighted average note rate of the VFN and any outstanding Term Notes) to the date of such repurchase. PLS is then required to repay the Issuer Trust the corresponding amount under the PC Repurchase Agreement. The Company holds an investment in PMT in the form of 75,000 common shares of beneficial interest. Following is a summary of investing activities between the Company and PMT: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Interest income relating to Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 1,812 $ 2,116 $ 5,686 $ 5,946 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Dividends received $ 35 $ 35 $ 106 $ 106 Change in fair value of investment 94 (68) 313 76 $ 129 $ (33) $ 419 $ 182 September 30, December 31, 2018 2017 (in thousands) Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 133,128 $ 144,128 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Fair value $ 1,518 $ 1,205 Number of shares 75 75 Financing Activities Spread Acquisition and MSR Servicing Agreements On December 19, 2016, the Company amended and restated a master spread acquisition and MSR servicing agreement with PMT (the “Spread Acquisition Agreement”), pursuant to which the Company may sell to PMT, from time to time, the right to receive participation certificates representing beneficial ownership in ESS arising from Ginnie Mae MSRs acquired by the Company, in which case the Company generally would be required to service or subservice the related mortgage loans for Ginnie Mae. The primary purpose of the amendment and restatement was to facilitate the continued financing of the ESS owned by PMT in connection with the parties’ participation in the GNMA MSR Facility. To the extent the Company refinances any of the mortgage loans relating to the ESS it has acquired, the Spread Acquisition Agreement also contains recapture provisions requiring that the Company transfer to PMT, at no cost, the ESS relating to a certain percentage of the unpaid principal balance of the newly originated mortgage loans. However, under the Spread Acquisition Agreement, in any month where the transferred ESS relating to newly originated Ginnie Mae mortgage loans is not equivalent to at least 90% of the product of the excess servicing fee rate and the unpaid principal balance of the refinanced mortgage loans, the Company is also required to transfer additional ESS or cash in the amount of such shortfall. Similarly, in any month where the transferred ESS relating to modified Ginnie Mae mortgage loans is not equivalent to at least 90% of the product of the excess servicing fee rate and the unpaid principal balance of the modified mortgage loans, the Spread Acquisition Agreement contains provisions that require the Company to transfer additional ESS or cash in the amount of such shortfall. To the extent the fair market value of the aggregate ESS to be transferred for the applicable month is less than $200,000, the Company may, at its option, wire cash to PMT in an amount equal to such fair market value in lieu of transferring such ESS. Following is a summary of financing activities between the Company and PMT: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Excess servicing spread financing: Issuance pursuant to recapture agreement $ 499 $ 1,207 $ 1,983 $ 4,160 Repayment $ 11,543 $ 13,410 $ 35,852 $ 42,320 Change in fair value $ 1,109 $ (4,828) $ 9,026 $ (14,757) Interest expense $ 3,740 $ 3,998 $ 11,584 $ 13,011 Recapture incurred pursuant to refinancings by the Company of mortgage loans subject to excess servicing spread financing included in Net gains on mortgage loans held for sale at fair value $ 597 $ 1,163 $ 1,951 $ 3,837 September 30, December 31, 2018 2017 (in thousands) Excess servicing spread financing at fair value $ 223,275 $ 236,534 Receivable from and Payable to PMT Amounts receivable from and payable to PMT are summarized below: September 30, December 31, 2018 2017 (in thousands) Receivable from PMT: Fulfillment fees $ 12,078 $ 346 Management fees 6,482 5,901 Servicing fees 3,765 6,583 Allocated expenses and expenses incurred on PMT's behalf 2,295 11,542 Correspondent production fees 1,864 1,735 Conditional Reimbursement 870 870 Interest on assets purchased under agreements to resell 113 142 $ 27,467 $ 27,119 Payable to PMT: Deposits made by PMT to fund servicing advances $ 89,467 $ 132,844 Mortgage servicing rights recapture payable 250 282 Other 2,101 3,872 $ 91,818 $ 136,998 Investment Funds Management Agreements The Company had investment management agreements with the Investment Funds pursuant to which it received management fees consisting of base management fees and Carried Interest. The management fees were based on the lesser of the funds’ net asset values or aggregate capital contributions. The base management fees accrued at annual rates ranging from 1.5% to 2.0% of the applicable amounts on which they were based. The Carried Interest that the Company recognized from the Investment Funds was determined by the Investment Funds’ performance and its contractual rights to share in the Investments Funds’ returns in excess of the preferred returns, if any, accruing to the funds’ investors. The Company recognized Carried Interest as a participation in the profits in the Investment Funds after the investors in the Investment Funds had achieved a preferred return as defined in the fund agreements. After the investors achieved the preferred returns specified in the respective fund agreements, a “catch up” return accrued to the Company until it received a specified percentage of the preferred return. Thereafter, the Company participated in returns in excess of the preferred return at the rates specified in the fund agreements. The Company received $8.2 million and $61.3 million in cash in settlement of its Carried Interest during the nine months ended September 30, 2018 and 2017, respectively. The Registered Fund and the Master Fund obtained orders of de-registration on July 25, 2018, and the management agreements with all of the Investment Funds expired or were otherwise terminated. The Registered Fund, the Master Fund and the Private Fund were dissolved on August 22, 2018. Mortgage Loan Servicing Agreements The Company had mortgage loan servicing agreements with the Investment Funds. The loan servicing provided by the Company under the loan servicing agreements with the Investment Funds included collecting principal, interest and escrow account payments, if any, with respect to mortgage loans, as well as managing loss mitigation, which included, among other things, collection activities, loan workouts, modifications, foreclosures and short sales. The Company also engaged in certain loan origination activities that included refinancing mortgage loans and arranging financings that facilitate sales of the Investment Funds’ REOs. The loan servicing agreements with the Investment Funds generally provided for fee revenue, which varied depending on the type and quality of the loans being serviced. The Company was also entitled to certain customary market-based fees and charges. All of the servicing agreements with the Investment Funds expired or were otherwise terminated before or during the quarter ended September 30, 2018. Amounts due from and payable to the Investment Funds included in Other assets and Accounts payable and accrued expenses , respectively, as of December 31, 2017 are summarized below: December 31, 2017 (in thousands) Carried Interest due from Investment Funds: PNMAC Mortgage Opportunity Fund, LLC $ 6,389 PNMAC Mortgage Opportunity Fund Investors, LLC 2,163 $ 8,552 Receivable from Investment Funds: Mortgage loan servicing fee rebate deposit $ 300 Management fees 88 Expense reimbursements 27 Mortgage loan servicing fees 2 $ 417 Payable to Investment Funds: Deposits received to fund servicing advances $ 2,329 Other 98 $ 2,427 Exchanged Private National Mortgage Acceptance Company, LLC Unitholders The Company entered into a tax receivable agreement with owners of PennyMac other than the Company on the date of the IPO that provides for the payment from time to time by the Company to PennyMac’s exchanged unitholders an amount equal to 85% of the amount of the net tax benefits, if any, that the Company 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 $47.6 million and $44.0 million Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement as of September 30, 2018 and December 31, 2017, respectively. The Company did not make any payments under the tax receivable agreement during the nine months ended September 30, 2018. The Company made payments of $6.2 million during the nine months ended September 30, 2017. After the Reorganization (as defined in Note 24‒Subsequent Events ) there will be no future exchanges, although the Company will still need to make payments for exchanges that occurred before the Reorganization. |
Loan Sales and Servicing Activi
Loan Sales and Servicing Activities | 9 Months Ended |
Sep. 30, 2018 | |
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 as servicer of the mortgage loans: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Cash flows: Sales proceeds $ 11,375,408 $ 13,600,232 $ 34,208,217 $ 38,097,411 Servicing fees received (1) $ 123,626 $ 97,312 $ 354,535 $ 272,303 Net servicing advances (recoveries) $ 4,147 $ (15,061) $ (20,572) $ (1,271) (1) Net of guarantee fees paid to the Agencies. The following table summarizes unpaid principal balance (the “UPB”) of the mortgage loans sold by the Company in which it maintains continuing involvement: September 30, December 31, 2018 2017 (in thousands) Unpaid principal balance of mortgage loans outstanding $ 139,305,079 $ 120,853,138 Delinquencies: 30-89 days $ 5,967,607 $ 5,097,688 90 days or more: Not in foreclosure $ 1,904,299 $ 2,303,114 In foreclosure $ 640,555 $ 606,744 Foreclosed $ 24,216 $ 30,310 Bankruptcy $ 889,814 $ 657,368 The following tables summarize the UPB of the Company’s mortgage loan servicing portfolio: September 30, 2018 Contract Total Servicing servicing and mortgage rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 139,305,079 $ — $ 139,305,079 Purchased 55,619,760 — 55,619,760 194,924,839 — 194,924,839 Advised Entities — 87,226,461 87,226,461 Mortgage loans held for sale 2,352,771 — 2,352,771 $ 197,277,610 $ 87,226,461 $ 284,504,071 Subserviced for the Company (1) $ 6,459,716 $ — $ 6,459,716 Delinquent mortgage loans: 30 days $ 6,457,528 $ 596,202 $ 7,053,730 60 days 1,810,285 119,314 1,929,599 90 days or more: Not in foreclosure 2,805,375 255,766 3,061,141 In foreclosure 928,268 149,313 1,077,581 Foreclosed 35,604 193,401 229,005 $ 12,037,060 $ 1,313,996 $ 13,351,056 Bankruptcy $ 1,277,484 $ 116,207 $ 1,393,691 Custodial funds managed by the Company (2) $ 3,764,023 $ 1,203,229 $ 4,967,252 (1) Certain of the mortgage loans serviced by the Company are subserviced on the Company’s behalf by other mortgage loan servicers on a transitional basis when the Company has purchased the rights to service the loans but servicing of the loans has not yet been transferred to the Company’s servicing system. (2) Custodial funds include borrower and investor custodial cash accounts relating to mortgage loans serviced under servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns placement fees on certain of the custodial funds it manages on behalf of the mortgage loans’ investors, which are included in Interest income in the Company’s consolidated statements of income. December 31, 2017 Contract Total Servicing servicing and mortgage rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 120,853,138 $ — $ 120,853,138 Purchased 47,016,708 — 47,016,708 167,869,846 — 167,869,846 Advised Entities — 74,980,268 74,980,268 Mortgage loans held for sale 2,998,377 — 2,998,377 $ 170,868,223 $ 74,980,268 $ 245,848,491 Delinquent mortgage loans: 30 days $ 5,326,710 $ 515,922 $ 5,842,632 60 days 1,935,216 215,957 2,151,173 90 days or more: Not in foreclosure 3,690,159 541,945 4,232,104 In foreclosure 916,614 293,835 1,210,449 Foreclosed 41,244 278,890 320,134 $ 11,909,943 $ 1,846,549 $ 13,756,492 Bankruptcy $ 1,046,969 $ 176,324 $ 1,223,293 Custodial funds managed by the Company (1) $ 3,267,279 $ 901,041 $ 4,168,320 (1) Custodial funds include borrower and investor custodial cash accounts relating to mortgage loans serviced under servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns placement fees on certain of the custodial funds it manages on behalf of the mortgage loans’ investors, which are included in 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 mortgage loan servicing portfolio for the top five and all other states as measured by UPB: September 30, December 31, State 2018 2017 (in thousands) California $ 50,009,289 $ 45,621,369 Texas 23,023,181 19,741,970 Florida 21,006,280 17,490,194 Virginia 18,308,994 16,210,673 Maryland 13,176,658 11,350,939 All other states 158,979,669 135,433,346 $ 284,504,071 $ 245,848,491 |
Fair Value
Fair Value | 9 Months Ended |
Sep. 30, 2018 | |
Fair Value | |
Fair Value | Note 6—Fair Value Most of the Company’s assets and certain of its liabilities 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. The Company groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the inputs used to determine fair value. These levels are: · Level 1—Quoted prices in active markets for identical assets or liabilities. · Level 2—Prices determined or determinable using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing an asset or liability and are developed based on market data obtained from sources independent of the Company. These may include quoted prices for similar assets and liabilities, interest rates, prepayment speeds, credit risk and other inputs. · Level 3—Prices determined using significant unobservable inputs. In situations where observable inputs are unavailable, unobservable inputs may be used. Unobservable inputs reflect the Company’s own judgments about the factors that market participants use in pricing an asset or liability, and are based on the best information available in the circumstances. As a result of the difficulty in observing certain significant valuation inputs affecting “Level 3” fair value assets and liabilities, the Company is required to make judgments regarding these items’ fair values. Different persons in possession of the same facts may reasonably arrive at different conclusions as to the inputs to be applied in valuing these assets and liabilities and their fair values. Such differences may result in significantly different fair value measurements. Likewise, due to the general illiquidity of some of these assets and liabilities, subsequent transactions may be at values significantly different from those reported. Fair Value Accounting Elections The Company identified all of its non-cash financial assets, other than Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell and Mortgage servicing liabilities (“MSLs”) 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. Beginning January 1, 2018, the Company accounts for all MSRs at fair value. Before January 1, 2018, originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5% were accounted for using the amortization method. The Company elected to account for all MSRs at fair value because management determined that this change makes the accounting treatment for MSRs consistent with lender valuation under financing arrangements and simplifies hedging activities. The Company has also identified its ESS to be accounted for at fair value as a means of hedging the related MSRs’ fair value risk. Assets and Liabilities Measured at Fair Value on a Recurring Basis Following is a summary of assets and liabilities that are measured at fair value on a recurring basis: September 30, 2018 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 145,476 $ — $ — $ 145,476 Mortgage loans held for sale at fair value — 2,051,652 365,303 2,416,955 Derivative assets: Interest rate lock commitments — — 41,075 41,075 Repurchase agreement derivatives — — 26,475 26,475 Forward purchase contracts — 821 — 821 Forward sales contracts — 16,892 — 16,892 MBS put options — 4,413 — 4,413 MBS call options — 12 — 12 Put options on interest rate futures purchase contracts 3,063 — — 3,063 Call options on interest rate futures purchase contracts 63 — — 63 Total derivative assets before netting 3,126 22,138 67,550 92,814 Netting — — — (19,196) Total derivative assets 3,126 22,138 67,550 73,618 Investment in PennyMac Mortgage Investment Trust 1,518 — — 1,518 Mortgage servicing rights at fair value — — 2,785,964 2,785,964 $ 150,120 $ 2,073,790 $ 3,218,817 $ 5,423,531 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value $ — $ — $ 223,275 $ 223,275 Derivative liabilities: Interest rate lock commitments — — 3,912 3,912 Forward purchase contracts — 29,569 — 29,569 Forward sales contracts — 2,780 — 2,780 Total derivative liabilities before netting — 32,349 3,912 36,261 Netting — — — (23,568) Total derivative liabilities — 32,349 3,912 12,693 Mortgage servicing liabilities at fair value — — 9,769 9,769 $ — $ 32,349 $ 236,956 $ 245,737 December 31, 2017 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 170,080 $ — $ — $ 170,080 Mortgage loans held for sale at fair value — 2,316,892 782,211 3,099,103 Derivative assets: Interest rate lock commitments — — 60,012 60,012 Repurchase agreement derivatives — — 10,656 10,656 Forward purchase contracts — 4,288 — 4,288 Forward sales contracts — 2,101 — 2,101 MBS put options — 3,481 — 3,481 Put options on interest rate futures purchase contracts 3,570 — — 3,570 Call options on interest rate futures purchase contracts 938 — — 938 Total derivative assets before netting 4,508 9,870 70,668 85,046 Netting — — — (6,867) Total derivative assets 4,508 9,870 70,668 78,179 Investment in PennyMac Mortgage Investment Trust 1,205 — — 1,205 Mortgage servicing rights at fair value — — 638,010 638,010 $ 175,793 $ 2,326,762 $ 1,490,889 $ 3,986,577 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value $ — $ — $ 236,534 $ 236,534 Derivative liabilities: Interest rate lock commitments — — 1,740 1,740 Forward purchase contracts — 1,272 — 1,272 Forward sales contracts — 7,031 — 7,031 Total derivative liabilities before netting — 8,303 1,740 10,043 Netting — — — (4,247) Total derivative liabilities — 8,303 1,740 5,796 Mortgage servicing liabilities at fair value — — 14,120 14,120 $ — $ 8,303 $ 252,394 $ 256,450 As shown above, all or a portion of the Company’s mortgage loans held for sale, Interest Rate Lock Commitments (“IRLCs”), repurchase agreement derivatives, MSRs at fair value, ESS at fair value and MSLs are measured using Level 3 fair value inputs. Following are roll forwards of these items for each of the quarters and nine months ended September 30, 2018 and 2017: Quarter ended September 30, 2018 Mortgage Net interest Repurchase Mortgage loans held rate lock agreement servicing for sale commitments (1) derivatives rights Total (in thousands) Assets: Balance, June 30, 2018 $ 334,166 $ 55,689 $ 25,781 $ 2,486,157 $ 2,901,793 Purchases and issuances, net 1,008,662 41,721 12,903 163,511 1,226,797 Sales and repayments (231,921) — (11,982) — (243,903) Mortgage servicing rights resulting from mortgage loan sales — — — 149,000 149,000 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 84 — — — 84 Other factors — 10,696 (227) (12,704) (2,235) 84 10,696 (227) (12,704) (2,151) Transfers from Level 3 to Level 2 (744,324) — — — (744,324) Transfers to real estate acquired in settlement of loans (1,364) — — — (1,364) Transfers of interest rate lock commitments to mortgage loans held for sale — (70,943) — — (70,943) Balance, September 30, 2018 $ 365,303 $ 37,163 $ 26,475 $ 2,785,964 $ 3,214,905 Changes in fair value recognized during the quarter relating to assets still held at September 30, 2018 $ (4,811) $ 37,163 $ — $ (12,704) $ 19,648 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended September 30, 2018 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance, June 30, 2018 $ 229,470 $ 10,253 $ 239,723 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 499 — 499 Accrual of interest 3,740 — 3,740 Repayments (11,543) — (11,543) Mortgage servicing liabilities resulting from mortgage loan sales — 1,741 1,741 Changes in fair value included in income 1,109 (2,225) (1,116) Balance, September 30, 2018 $ 223,275 $ 9,769 $ 233,044 Changes in fair value recognized during the quarter relating to liabilities still outstanding at September 30, 2018 $ 1,109 $ (2,225) $ (1,116) Quarter ended September 30, 2017 Mortgage Net interest Repurchase Mortgage loans held rate lock agreement servicing for sale commitments (1) derivatives rights Total (in thousands) Assets: Balance, June 30, 2017 $ 380,084 $ 46,158 $ — $ 678,441 $ 1,104,683 Purchases and issuances, net 499,546 83,798 469 41 583,854 Sales and repayments (306,458) — — — (306,458) Interest rate lock commitments issued, net — — — — — Mortgage servicing rights resulting from mortgage loan sales — — — 5,773 5,773 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (1,130) — — — (1,130) Other factors — 41,693 — (28,271) 13,422 (1,130) 41,693 — (28,271) 12,292 Transfers from Level 3 to Level 2 (195,802) — — — (195,802) Transfers of interest rate lock commitments to mortgage loans held for sale — (117,265) — — (117,265) Balance, September 30, 2017 $ 376,240 $ 54,384 $ 469 $ 655,984 $ 1,087,077 Changes in fair value recognized during the quarter relating to assets still held at September 30, 2017 $ (2,851) $ 54,384 $ — $ (28,271) $ 23,262 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended September 30, 2017 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance, June 30, 2017 $ 261,796 $ 18,295 $ 280,091 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 1,207 — 1,207 Accrual of interest 3,998 — 3,998 Repayments (13,410) — (13,410) Mortgage servicing liabilities resulting from mortgage loan sales — 4,071 4,071 Changes in fair value included in income (4,828) (6,290) (11,118) Balance, September 30, 2017 $ 248,763 $ 16,076 $ 264,839 Changes in fair value recognized during the quarter relating to liabilities still outstanding at September 30, 2017 $ (4,828) $ (6,290) $ (11,118) Nine months ended September 30, 2018 Mortgage Net interest Repurchase Mortgage loans held rate lock agreement servicing for sale commitments (1) derivatives rights Total (in thousands) Assets: Balance, December 31, 2017 $ 782,211 $ 58,272 $ 10,656 $ 638,010 $ 1,489,149 Reclassification of mortgage servicing rights previously accounted for under the amortization method pursuant to a change in accounting principle — — — 1,482,426 1,482,426 Balance, January 1, 2018 782,211 58,272 10,656 2,120,436 2,971,575 Purchases and issuances, net 2,480,523 157,649 36,624 193,640 2,868,436 Sales and repayments (1,122,448) — (19,460) — (1,141,908) Mortgage servicing rights resulting from mortgage loan sales — — — 448,604 448,604 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (4,944) — — — (4,944) Other factors — (28,627) (1,345) 23,284 (6,688) (4,944) (28,627) (1,345) 23,284 (11,632) Transfers from Level 3 to Level 2 (1,765,854) — — — (1,765,854) Transfers to real estate acquired in settlement of loans (4,185) — — — (4,185) Transfers of interest rate lock commitments to mortgage loans held for sale — (150,131) — — (150,131) Balance, September 30, 2018 $ 365,303 $ 37,163 $ 26,475 $ 2,785,964 $ 3,214,905 Changes in fair value recognized during the period relating to assets still held at September 30, 2018 $ (4,912) $ 37,163 $ — $ 23,284 $ 55,535 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Nine months ended September 30, 2018 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance, December 31, 2017 $ 236,534 $ 14,120 $ 250,654 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 1,983 — 1,983 Accrual of interest 11,584 — 11,584 Repayments (35,852) — (35,852) Mortgage servicing liabilities resulting from mortgage loan sales — 5,548 5,548 Changes in fair value included in income 9,026 (9,899) (873) Balance, September 30, 2018 $ 223,275 $ 9,769 $ 233,044 Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2018 $ 9,026 $ (9,899) $ (873) Nine months ended September 30, 2017 Mortgage Net interest Repurchase Mortgage loans held rate lock agreement servicing for sale commitments (1) derivatives rights Total (in thousands) Assets: Balance December 31, 2016 $ 47,271 $ 59,391 $ — $ 515,925 $ 622,587 Purchases 1,815,509 226,617 469 183,830 2,226,425 Sales and repayments (845,318) — — — (845,318) Interest rate lock commitments issued, net — — — — — Mortgage servicing rights resulting from mortgage loan sales — — — 19,702 19,702 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (6,104) — — — (6,104) Other factors — 99,425 — (63,473) 35,952 (6,104) 99,425 — (63,473) 29,848 Transfers from Level 3 to Level 2 (635,118) — — — (635,118) Transfers of interest rate lock commitments to mortgage loans held for sale — (331,049) — — (331,049) Balance, September 30, 2017 $ 376,240 $ 54,384 $ 469 $ 655,984 $ 1,087,077 Changes in fair value recognized during the year relating to assets still held at September 30, 2017 $ (3,733) $ 54,384 $ — $ (63,473) $ (12,822) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Nine months ended September 30, 2017 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance December 31, 2016 $ 288,669 $ 15,192 $ 303,861 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 4,160 — 4,160 Accrual of interest 13,011 — 13,011 Repayments (42,320) — (42,320) Mortgage servicing liabilities resulting from mortgage loan sales — 11,940 11,940 Mortgage servicing liabilities assumed — — — Changes in fair value included in income (14,757) (11,056) (25,813) Balance, September 30, 2017 $ 248,763 $ 16,076 $ 264,839 Changes in fair value recognized during the year relating to liabilities still outstanding at September 30, 2017 $ (14,757) $ (11,056) $ (25,813) The information used in the preceding roll forwards represents activity for assets and liabilities measured at fair value on a recurring basis and identified as using “Level 3” significant fair value inputs at either the beginning or the end of the periods presented. The Company had transfers among the fair value 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. Assets and Liabilities Measured at Fair Value under the Fair Value Option Net changes in fair values included in income for assets and liabilities 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, 2018 2017 Net Net gains on Net Net gains on mortgage mortgage mortgage mortgage loan loans held loan loans held servicing for sale at servicing for sale at fees fair value Total fees fair value Total (in thousands) Assets: Mortgage loans held for sale at fair value $ — $ 67,709 $ 67,709 $ — $ 130,869 $ 130,869 Mortgage servicing rights at fair value (12,704) — (12,704) (28,271) — (28,271) $ (12,704) $ 67,709 $ 55,005 $ (28,271) $ 130,869 $ 102,598 Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ (1,109) $ — $ (1,109) $ 4,828 $ — $ 4,828 Mortgage servicing liabilities at fair value 2,225 — 2,225 6,290 — 6,290 $ 1,116 $ — $ 1,116 $ 11,118 $ — $ 11,118 Nine months ended September 30, 2018 2017 Net Net gains on Net Net gains on mortgage mortgage mortgage mortgage loan loans held loan loans held servicing for sale at servicing for sale at fees fair value Total fees fair value Total (in thousands) Assets: Mortgage loans held for sale at fair value $ — $ 118,452 $ 118,452 $ — $ 336,836 $ 336,836 Mortgage servicing rights at fair value 23,284 — 23,284 (63,473) — (63,473) $ 23,284 $ 118,452 $ 141,736 $ (63,473) $ 336,836 $ 273,363 Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ (9,026) $ — $ (9,026) $ 14,757 $ — $ 14,757 Mortgage servicing liabilities at fair value 9,899 — 9,899 11,056 — 11,056 $ 873 $ — $ 873 $ 25,813 $ — $ 25,813 Following are the fair value and related principal amounts due upon maturity of assets accounted for under the fair value option: September 30, 2018 December 31, 2017 Principal Principal amount amount Fair due upon Fair due upon value maturity Difference value maturity Difference (in thousands) Mortgage loans held for sale: Current through 89 days delinquent $ 2,148,919 $ 2,078,047 $ 70,872 $ 2,430,517 $ 2,326,772 $ 103,745 90 days or more delinquent: Not in foreclosure 215,712 218,623 (2,911) 614,329 614,357 (28) In foreclosure 52,324 56,101 (3,777) 54,257 57,248 (2,991) $ 2,416,955 $ 2,352,771 $ 64,184 $ 3,099,103 $ 2,998,377 $ 100,726 Assets Measured at Fair Value on a Nonrecurring Basis Following is a summary of assets and liabilities that were measured at fair value on a nonrecurring basis during the periods presented: September 30, 2018 Level 1 Level 2 Level 3 Total (in thousands) Real estate acquired in settlement of loans $ — $ — $ 2,134 $ 2,134 December 31, 2017 Level 1 Level 2 Level 3 Total (in thousands) Mortgage servicing rights at lower of amortized cost or fair value $ — $ — $ 1,463,552 $ 1,463,552 Real estate acquired in settlement of loans — — 2,355 2,355 $ — $ — $ 1,465,907 $ 1,465,907 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, 2018 2017 2018 2017 (in thousands) Mortgage servicing rights at lower of amortized cost or fair value $ — $ (17,270) $ — $ (33,906) Real estate acquired in settlement of loans (41) 17 (72) 102 $ (41) $ (17,253) $ (72) $ (33,804) Fair Value of Financial Instruments Carried at Amortized Cost The Company’s Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell , Assets sold under agreements to repurchase , Mortgage loan participation purchase and sale agreements , Notes payable , and Obligations under capital lease are carried at amortized cost. These assets and liabilities’ fair values do not have observable inputs and the fair value is measured using management’s estimate of fair value. Accordingly, the Company has classified these financial instruments as “Level 3” fair value assets and liabilities. The Company has concluded that those assets and liabilities’ fair values approximate the carrying value due to their short terms and/or variable interest rates. Valuation Governance Most of the Company’s financial assets, and all of its MSRs, ESS, derivative liabilities and MSLs, 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, ESS and MSLs are “Level 3” fair value assets and liabilities 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 judgments 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” fair value assets and liabilities, management has assigned the responsibility for estimating the fair value of these items to specialized staff and subjects the valuation process to significant senior management oversight. The Company’s Financial Analysis and Valuation group (the “FAV group”) is the Company’s specialized staff responsible for estimating the fair values of “Level 3” fair value assets and liabilities other than IRLCs. With respect to the non-IRLC “Level 3” valuations, the FAV group reports to the Company’s senior management valuation committee, which oversees the valuations. The FAV group monitors the models used for valuation of the Company’s “Level 3” fair value assets and liabilities, 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 the Company’s executive chairman, chief executive, chief financial, chief risk and deputy chief financial officers. The FAV group is responsible for reporting to the Company’s senior management valuation committee on the changes in the valuation of the non-IRLC “Level 3” fair value assets and liabilities, including major factors affecting the valuation and any changes in model methods and inputs. To assess the reasonableness of its valuations, the FAV group presents an analysis of the effect on the valuation of changes to the significant inputs to the models. 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 reviewed by the Company’s Capital Markets Operations group. Valuation Techniques and Inputs Following is a description of the techniques and inputs used in estimating the fair values of “Level 2” and “Level 3” fair value assets and liabilities: Mortgage Loans Held for Sale Most of the Company’s mortgage loans held for sale at fair value are saleable into active markets and are therefore categorized as “Level 2” fair value assets and their fair values are determined using their quoted market or contracted selling price or market price equivalent. Certain of the Company’s mortgage loans held for sale are not saleable into active markets and are therefore categorized as “Level 3” fair value assets. Mortgage loans held for sale categorized as “Level 3” fair value assets include: · Certain delinquent government guaranteed or insured mortgage loans purchased by the Company from Ginnie Mae guaranteed pools in its mortgage loan servicing portfolio. The Company’s right to purchase delinquent government guaranteed or insured 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. Such repurchased mortgage loans may be resold to third-party investors and thereafter may be repurchased to the extent they become eligible for resale into a new Ginnie Mae guaranteed pool. Government guaranteed mortgage loans generally become eligible for resale when the repurchased mortgage loans become current either through the borrower’s reperformance or through completion of a modification of the mortgage loan’s terms. · Certain of the Company’s mortgage loans held for sale that become non-saleable into active markets due to identification of a defect by the Company or to the repurchase by the Company of a mortgage loan with an identified defect. The Company uses a discounted cash flow model to estimate the fair value of its “Level 3” fair value mortgage loans held for sale at fair value. The significant unobservable inputs used in the fair value measurement of the Company’s “Level 3” fair value mortgage loans held for sale at fair value are discount rates, home price projections, voluntary prepayment/resale speeds and total prepayment 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” fair value inputs used in the valuation of mortgage loans held for sale at fair value: Key inputs (1) September 30, 2018 December 31, 2017 Discount rate: Range 2.8% – 9.2% 2.9% – 10.0% Weighted average 2.9% 2.9% Twelve-month projected housing price index change: Range 3.5% – 6.1% 3.1% – 5.6% Weighted average 3.9% 3.6% Voluntary prepayment / resale speed (2): Range 0.1% – 71.0% 0.2% – 72.2% Weighted average 24.2% 44.6% Total prepayment speed (3): Range 0.1% – 72.1% 0.2% – 75.2% Weighted average 41.3% 55.8% (1) Weighted average inputs are based on fair value of mortgage loans. (2) Voluntary prepayment/resale speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”). (3) 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 mortgage loan’s delinquency status and performance history 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” fair value asset or liability. The Company estimates the fair value of an IRLC based on quoted Agency 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 the IRLCs’ 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 the mortgage loan principal and interest payment cash flow component, which has decreased in fair value. Changes in fair value of IRLCs are included in Net gains on mortgage loans acquired for sale at fair value and may be allocated to Net mortgage loan servicing fees – Amortization, impairment and change in fair value of mortgage servicing rights and mortgage servicing liabilities as an economic hedge of the fair value of MSRs in the consolidated statements of income when it is included as a component of the Company’s MSR hedging strategy. Following is a quantitative summary of key “Level 3” fair value inputs used in the valuation of IRLCs: Key inputs (1) September 30, 2018 December 31, 2017 Pull-through rate: Range 16.6% – 100% 25.0% – 100% Weighted average 85.7% 85.6% Mortgage servicing rights value expressed as: Servicing fee multiple: Range 1.6 – 5.9 1.4 – 5.8 Weighted average 4.0 4.0 Percentage of unpaid principal balance: Range 0.4% – 2.8% 0.3% – 3.0% Weighted average 1.4% 1.4% (1) Weighted average inputs are based on notional amount of IRLCs. Hedging Derivatives Fair value of exchange-traded hedging derivative financial instruments are categorized by the Company as “Level 1” fair value assets and liabilities. Fair value of hedging derivative financial instruments based on observable MBS prices or interest rate volatilities in the MBS market are categorized as “Level 2” fair value assets and liabilities. Changes in the fair value of hedging derivatives are included in Net gains on mortgage loans acquired for sale at fair value, or Net mortgage loan servicing fees – Amortization, impairment and change in fair value of mortgage servicing rights and mortgage servicing liabilities , as applicable, in the consolidated statements of income. Repurchase Agreement Derivatives The Company has a master repurchase agreement that includes incentives for financing mortgage loans approved for satisfying certain consumer relief characteristics. These incentives are classified for financial reporting purposes as embedded derivatives and are accounted for separate from the master repurchase agreement. The Company classifies these derivatives as “Level 3” fair value assets. The significant unobservable inputs into the valuation of these derivative assets are the discount rate and the Company’s expected approval rate of the mortgage loans financed under the master repurchase agreement. The resulting ratio included in the Company’s fair value estimate was 97% at September 30, 2018 and December 31, 2017. Changes in fair value of repurchase agreement derivatives are included in Interest expense in the consolidated statements of income. Mortgage Servicing Rights MSRs are categorized as “Level 3” fair value assets. The Company uses a discounted cash flow approach to estimate the fair value of MSRs. The key inputs used in the estimation of the fair value of MSRs include prepayment and default rates of the underlying mortgage loans, the applicable pricing spread and annual per-loan cost to service mortgage loans, all of which are unobservable. Significant changes to any of those inputs in isolation could result in a significant change in the MSR fair value measurement. Changes in these key inputs are not necessarily directly related. Recognized changes in the fair value of MSRs are included in Net mortgage loan servicing fees — Amortization, impairment and change in fair value of mortgage servicing rights and mortgage servicing liabilities in the consolidated statements of income. MSRs are generally subject to loss in fair value when mortgage interest rates decrease. Decreasing mortgage interest rates normally encourage increased mortgage refinancing activity. Increased refinancing activity reduces the expected life of the underlying mortgage loans, thereby reducing the cash flows expected to accrue to the MSRs. Reductions in the fair value of MSRs affect income primarily through change in fair value and change in impairment. Following are the key inputs used in determining the fair value of MSRs recognized in mortgage loan sales at the time of initial recognition. The following values exclude MSR purchases: Quarter ended September 30, 2018 2017 Fair Fair Amortized value value cost (Amount recognized and unpaid principal balance of underlying mortgage loans in thousands) MSR and pool characteristics: Amount recognized $ 149,000 $ 5,773 $ 153,061 Unpaid principal balance of underlying mortgage loans $ 10,790,398 $ 573,463 $ 12,184,003 Weighted average servicing fee rate (in basis points) 37 31 32 Key inputs (1): Pricing spread (2) Range 7.3% – 13.6% 7.6% – 11.2% 7.6% – 14.6% Weighted average 10.1% 10.7% 10.8% Annual total prepayment speed (3) Range 4.4% – 55.7% 3.9% – 46.8% 4.4% – 47.6% Weighted average 11.8% 13.3% 9.5% Life (in years) Range 0.5 – 11.3 1.4 – 11.4 1.5 – 11.4 Weighted average 6.9 6.3 7.9 Per-loan annual cost of servicing Range $78 – $98 $78 – $98 $79 – $98 Weighted average $92 $89 $89 (1) Weighted average inputs are based on UPB of the underlying mortgage loans. (2) 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. (3) Prepayment speed is measured using Life Total CPR. Nine months ended September 30, 2018 2017 Fair Fair Amortized value value cost (Amount recognized and unpaid principal balance of underlying mortgage loans in thousands) MSR and pool characteristics: Amount recognized $448,604 $19,702 $412,206 Unpaid principal balance of underlying mortgage loans $32,095,458 $1,873,404 $33,890,209 Weighted average servicing fee rate (in basis points) 36 31 30 Key inputs (1): Pricing spread (2) Range 7.3% – 14.1% 7.6% – 11.2% 7.6% – 15.2% Weighted average 10.2% 10.5% 10.7% Annual total prepayment speed (3) Range 3.9% – 61.8% 3.9% – 71.8% 3.4% – 47.6% Weighted average 10.6% 12.5% 9.1% Life (in years) Range 0.5 – 11.6 0.8 – 11.5 1.5 – 12.2 Weighted average 7.5 6 |
Mortgage Loans Held for Sale at
Mortgage Loans Held for Sale at Fair Value | 9 Months Ended |
Sep. 30, 2018 | |
Mortgage Loans Held for Sale at Fair Value | |
Mortgage Loans Held for Sale at Fair Value | Note 7—Mortgage Loans Held for Sale at Fair Value Mortgage loans held for sale at fair value include the following: September 30, December 31, 2018 2017 (in thousands) Government-insured or guaranteed $ 1,892,992 $ 2,085,764 Conventional conforming 158,660 231,128 Purchased from Ginnie Mae pools serviced by the Company 354,076 777,300 Repurchased pursuant to representations and warranties 11,227 4,911 $ 2,416,955 $ 3,099,103 Fair value of mortgage loans pledged to secure: Assets sold under agreements to repurchase $ 1,841,097 $ 2,530,299 Mortgage loan participation purchase and sale agreements 547,969 551,688 $ 2,389,066 $ 3,081,987 |
Derivative Activities
Derivative Activities | 9 Months Ended |
Sep. 30, 2018 | |
Derivative Activities | |
Derivative Activities | Note 8—Derivative Activities The Company holds and issues derivative financial instruments in connection with its operating activities. Derivative financial instruments are created as a result of certain of the Company’s operations and the Company also enters into derivative transactions as part of its interest rate risk management activities. Derivative financial instruments created as a result of the Company’s operations include: · IRLCs that are created when the Company commits to purchase or originate a mortgage loan acquired for sale. · Derivatives that are embedded in a master repurchase agreement that provides for the Company to receive incentives for financing mortgage loans that satisfy certain consumer relief characteristics under the master repurchase agreement. The Company also 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 the portion of its MSRs not financed with ESS. The Company records all derivative financial instruments at fair value and records changes in fair value in current period income. Derivative Notional Amounts and Fair Value of Derivatives The Company had the following derivative financial instruments recorded on its consolidated balance sheets: September 30, 2018 December 31, 2017 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: Not subject to master netting arrangements: Interest rate lock commitments 3,388,437 $ 41,075 $ 3,912 3,654,955 $ 60,012 $ 1,740 Repurchase agreement derivatives 26,475 — 10,656 — Used for hedging purposes: Forward purchase contracts 7,115,621 821 29,569 4,920,883 4,288 1,272 Forward sales contracts 6,711,197 16,892 2,780 5,204,796 2,101 7,031 MBS put options 4,150,000 4,413 — 4,925,000 3,481 — MBS call options 1,250,000 12 — — — — Put options on interest rate futures purchase contracts 2,225,000 3,063 — 2,125,000 3,570 — Call options on interest rate futures purchase contracts 400,000 63 — 100,000 938 — Put options on interest rate futures sales contracts 300,000 — — — — — Treasury futures purchase contracts 835,000 — — 100,000 — — Treasury futures sale contracts 1,450,000 — — — — — Interest rate swap futures purchase contracts — — — 1,400,000 — — Interest rate swap futures sales contracts 625,000 — — — — — Total derivatives before netting 92,814 36,261 85,046 10,043 Netting (19,196) (23,568) (6,867) (4,247) $ 73,618 $ 12,693 $ 78,179 $ 5,796 Deposits (received from) placed with derivative counterparties $ (4,372) $ 2,620 The following table summarizes the notional amount activity for derivative contracts used in the Company’s hedging activities: Quarter ended September 30, 2018 Amount Amount beginning of Dispositions/ end of Instrument quarter Additions expirations quarter (in thousands) Forward purchase contracts 6,617,888 47,038,415 (46,540,682) 7,115,621 Forward sale contracts 7,107,202 58,521,199 (58,917,204) 6,711,197 MBS put options 2,675,000 8,375,000 (6,900,000) 4,150,000 MBS call options — 1,250,000 — 1,250,000 Put options on interest rate futures purchase contracts 1,852,500 4,922,300 (4,549,800) 2,225,000 Call options on interest rate futures purchase contracts 800,000 950,000 (1,350,000) 400,000 Put options on interest rate futures sale contracts — 4,849,800 (4,549,800) 300,000 Call options on interest rate futures sale contracts — 1,350,000 (1,350,000) — Treasury futures purchase contracts 835,000 2,557,100 (2,557,100) 835,000 Treasury futures sale contracts 1,450,000 2,557,100 (2,557,100) 1,450,000 Interest rate swap futures purchase contracts 465,000 420,000 (885,000) — Interest rate swap futures sales contracts — 885,000 (260,000) 625,000 Quarter ended September 30, 2017 Amount Amount beginning of Dispositions/ end of Instrument quarter Additions expirations quarter (in thousands) Forward purchase contracts 7,819,706 47,723,376 (48,242,564) 7,300,518 Forward sale contracts 7,641,979 61,239,459 (61,296,545) 7,584,893 MBS put options 6,075,000 6,825,000 (7,250,000) 5,650,000 MBS call options — 7,900,000 (7,250,000) 650,000 Put options on interest rate futures purchase contracts 1,250,000 2,950,000 (3,175,000) 1,025,000 Call options on interest rate futures purchase contracts 200,000 125,000 (200,000) 125,000 Put options on interest rate futures sale contracts 200,000 2,975,000 (3,175,000) — Call options on interest rate futures sale contracts — 325,000 (200,000) 125,000 Treasury futures purchase contracts — 46,500 (46,500) — Treasury futures sale contracts — 46,500 (46,500) — Interest rate swap futures purchase contracts 325,000 1,075,000 — 1,400,000 Interest rate swap futures sale contracts — — — — Nine months ended September 30, 2018 Amount Amount beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts 4,920,883 140,158,865 (137,964,127) 7,115,621 Forward sale contracts 5,204,796 174,562,881 (173,056,480) 6,711,197 MBS put options 4,925,000 17,250,000 (18,025,000) 4,150,000 MBS call options — 12,375,000 (11,125,000) 1,250,000 Put options on interest rate futures purchase contracts 2,125,000 16,624,800 (16,524,800) 2,225,000 Call options on interest rate futures purchase contracts 100,000 2,400,000 (2,100,000) 400,000 Put options on interest rate futures sale contracts — 16,824,800 (16,524,800) 300,000 Call options on interest rate futures sale contracts — 2,100,000 (2,100,000) — Treasury futures purchase contracts 100,000 7,453,300 (6,718,300) 835,000 Treasury futures sale contracts — 8,829,600 (7,379,600) 1,450,000 Interest rate swap futures purchase contracts 1,400,000 885,000 (2,285,000) — Interest rate swap futures sales contracts — 2,285,000 (1,660,000) 625,000 Nine months ended September 30, 2017 Amount Amount beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts 12,746,191 136,663,951 (142,109,624) 7,300,518 Forward sale contracts 16,577,942 169,173,906 (178,166,955) 7,584,893 MBS put options 1,175,000 19,675,000 (15,200,000) 5,650,000 MBS call options 1,600,000 12,100,000 (13,050,000) 650,000 Put options on interest rate futures purchase contracts 1,125,000 7,410,000 (7,510,000) 1,025,000 Call options on interest rate futures purchase contracts 900,000 1,614,300 (2,389,300) 125,000 Put options on interest rate futures sale contracts — 7,510,000 (7,510,000) — Call options on interest rate futures sales contracts — 2,514,300 (2,389,300) 125,000 Treasury futures purchase contracts — 212,600 (212,600) — Treasury futures sale contracts — 212,600 (212,600) — Interest rate swap futures purchase contracts 200,000 1,600,000 (400,000) 1,400,000 Interest rate swap futures sales contracts — 400,000 (400,000) — Derivative Balances and Netting of Financial Instruments 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 and repurchase agreement derivatives. Offsetting of Derivative Assets Following are summaries of derivative assets and related netting amounts: September 30, 2018 December 31, 2017 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 not subject to master netting arrangements: Interest rate lock commitments $ 41,075 $ — $ 41,075 $ 60,012 $ — $ 60,012 Repurchase agreement derivatives 26,475 — 26,475 10,656 — 10,656 67,550 — 67,550 70,668 — 70,668 Derivatives subject to master netting arrangements: Forward purchase contracts 821 — 821 4,288 — 4,288 Forward sale contracts 16,892 — 16,892 2,101 — 2,101 MBS put options 4,413 — 4,413 3,481 — 3,481 MBS call options 12 — 12 — — — Put options on interest rate futures purchase contracts 3,063 — 3,063 3,570 — 3,570 Call options on interest rate futures purchase contracts 63 — 63 938 — 938 Netting — (19,196) (19,196) — (6,867) (6,867) 25,264 (19,196) 6,068 14,378 (6,867) 7,511 $ 92,814 $ (19,196) $ 73,618 $ 85,046 $ (6,867) $ 78,179 Derivative Assets, Financial Instruments, and Cash 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, 2018 December 31, 2017 Gross amount not Gross amount not offset in the offset in the consolidated consolidated Net amount balance sheet Net amount balance sheet 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 $ 41,075 $ — $ — $ 41,075 $ 60,012 $ — $ — $ 60,012 Deutsche Bank 26,475 — — 26,475 10,656 — — 10,656 RJ O'Brien 3,125 — — 3,125 4,508 — — 4,508 Citibank, N.A. 1,222 — — 1,222 — — — — Goldman Sachs 646 — — 646 540 — — 540 Morgan Stanley Bank, N.A. — — 587 — — — — Federal National Mortgage Association — — — — 1,092 — — 1,092 JPMorgan Chase Bank, N.A. — — — — 267 — — 267 Others 488 — — 488 1,104 — — 1,104 $ 73,618 $ — $ — $ 73,618 $ 78,179 $ — $ — $ 78,179 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. Assets sold under agreements to repurchase do not qualify for netting. September 30, 2018 December 31, 2017 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 not subject to master netting arrangements – Interest rate lock commitments $ 3,912 $ — $ 3,912 $ 1,740 $ — $ 1,740 Derivatives subject to a master netting arrangement: Forward purchase contracts 29,569 — 29,569 1,272 — 1,272 Forward sale contracts 2,780 — 2,780 7,031 — 7,031 Netting — (23,568) (23,568) — (4,247) (4,247) 32,349 (23,568) 8,781 8,303 (4,247) 4,056 Total derivatives 36,261 (23,568) 12,693 10,043 (4,247) 5,796 Mortgage loans sold under agreements to repurchase: Amount outstanding 1,738,839 — 1,738,839 2,380,866 — 2,380,866 Unamortized premiums and debt issuance costs, net 799 — 799 672 — 672 1,739,638 — 1,739,638 2,381,538 — 2,381,538 $ 1,775,899 $ (23,568) $ 1,752,331 $ 2,391,581 $ (4,247) $ 2,387,334 Derivative Liabilities, Financial Instruments, and Collateral Held by Counterparty The following table summarizes by significant counterparty the amount of derivative liabilities and assets sold under agreements to repurchase after considering master netting arrangements and financial instruments or cash pledged that 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, 2018 December 31, 2017 Gross amounts Gross amounts not offset in the not offset in the Net amount consolidated Net amount consolidated of liabilities balance sheet of liabilities balance sheet in the Cash in the Cash consolidated Financial collateral Net consolidated Financial collateral Net balance sheet instruments pledged amount balance sheet instruments pledged amount (in thousands) Interest rate lock commitments $ 3,912 $ — $ — $ 3,912 $ 1,740 $ — $ — $ 1,740 Credit Suisse First Boston Mortgage Capital LLC 628,815 (628,815) — — 1,010,562 (1,010,320) — 242 Deutsche Bank 598,392 (598,392) — — 593,864 (593,864) — — Bank of America, N.A. 253,272 (247,572) — 5,700 406,787 (406,355) — 432 BNP Paribas 81,163 (81,163) — — 87,753 (87,753) — — Morgan Stanley Bank, N.A. 71,210 (71,210) — — 139,491 (138,983) — 508 JPMorgan Chase Bank, N.A. 59,826 (58,780) — 1,046 90,442 (90,442) — — Royal Bank of Canada 33,465 (33,465) — — 24,835 (23,752) — 1,083 Citibank, N.A. 19,442 (19,442) — — 23,010 (23,010) — — Barclays Capital 388 — — 388 6,387 (6,387) — — Others 1,647 — — 1,647 1,791 — — 1,791 $ 1,751,532 $ (1,738,839) $ — $ 12,693 $ 2,386,662 $ (2,380,866) $ — $ 5,796 Following are the gains and (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, Derivative activity Income statement line 2018 2017 2018 2017 (in thousands) Interest rate lock commitments Net gains on mortgage loans held for sale $ (18,526) $ 8,226 $ (21,109) $ (5,008) Repurchase agreement derivative Interest expense $ (227) $ — $ (1,345) $ — Hedged item: Interest rate lock commitments and mortgage loans held for sale Net gains on mortgage loans held for sale $ 10,820 $ (26,981) $ 100,422 $ (27,191) Mortgage servicing rights Net mortgage loan servicing fees – Amortization, impairment and change in fair value of mortgage servicing rights and mortgage servicing liabilities $ (52,971) $ 7,174 $ (180,853) $ (17,018) |
Carried Interest Due from Inves
Carried Interest Due from Investment Funds | 9 Months Ended |
Sep. 30, 2018 | |
Carried Interest Due from Investment Funds | |
Carried Interest Due from Investment Funds | Note 9—Carried Interest Due from Investment Funds The activity in the Company’s Carried Interest due from Investment Funds, which is included in Other assets, is summarized as follows: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Balance at beginning of period $ 370 $ 71,019 $ 8,552 $ 70,906 Carried Interest recognized during the period (17) (1,158) (365) (1,045) Cash received during the period (353) (61,314) (8,187) (61,314) Balance at end of period $ — $ 8,547 $ — $ 8,547 |
Mortgage Servicing Rights and M
Mortgage Servicing Rights and Mortgage Servicing Liabilities | 9 Months Ended |
Sep. 30, 2018 | |
Mortgage Servicing Rights and Mortgage Servicing Liabilities | |
Mortgage Servicing Rights and Mortgage Servicing Liabilities | Note 10—Mortgage Servicing Rights and Mortgage Servicing Liabilities Mortgage Servicing Rights Carried at Fair Value The activity in MSRs carried at fair value is as follows: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Balance at beginning of period $ 2,486,157 $ 678,441 $ 638,010 $ 515,925 Reclassification of mortgage servicing rights previously accounted for under the amortization method pursuant to a change in accounting principle — — 1,482,426 — Balance after reclassification 2,486,157 678,441 2,120,436 515,925 Additions: Purchases 163,511 41 193,640 183,830 Mortgage servicing rights resulting from mortgage loan sales 149,000 5,773 448,604 19,702 312,511 5,814 642,244 203,532 Change in fair value due to: Changes in inputs used in valuation model (1) 64,293 (4,857) 239,538 (4,453) Other changes in fair value (2) (76,997) (23,414) (216,254) (59,020) Total change in fair value (12,704) (28,271) 23,284 (63,473) Balance at end of period $ 2,785,964 $ 655,984 $ 2,785,964 $ 655,984 September 30, December 31, 2018 2017 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and Notes payable $ 2,539,575 $ 630,711 (1) Principally reflects changes in discount rate and prepayment speed inputs, primarily due to changes in market interest rates, and changes in expected borrower performance and servicer losses given default. (2) Represents changes due to realization of cash flows. Mortgage Servicing Rights 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 Nine months ended September 30, September 30, 2017 2018 2017 Amortized cost: Balance at beginning of period $ 1,384,741 $ 1,583,378 $ 1,206,694 Transfer of mortgage servicing rights to mortgage servicing rights carried at fair value pursuant to a change in accounting principle — (1,583,378) — Balance after reclassification 1,384,741 — 1,206,694 Mortgage servicing rights resulting from mortgage loan sales 153,061 — 412,206 Amortization (48,448) — (129,546) Balance at end of period 1,489,354 — 1,489,354 Valuation allowance: Balance at beginning of period (111,583) (101,800) (94,947) Reduction resulting from transfer of mortgage servicing rights to mortgage servicing rights carried at fair value pursuant to a change in accounting principle — 101,800 — Balance after reclassification (111,583) — (94,947) Increase in valuation allowance (17,270) — (33,906) Balance at end of period (128,853) — (128,853) Mortgage servicing rights, net at end of period $ 1,360,501 $ — $ 1,360,501 Fair value of mortgage servicing rights at: Beginning of period $ 1,273,364 $ 1,112,302 End of period $ 1,360,578 December 31, 2017 (in thousands) Fair value of mortgage servicing rights pledged to secure assets sold under agreements to repurchase and note payable $ 1,467,356 Mortgage Servicing Liabilities Carried at Fair Value The activity in MSLs carried at fair value is summarized below: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Balance at beginning of period $ 10,253 $ 18,295 $ 14,120 $ 15,192 Mortgage servicing liabilities resulting from mortgage loan sales 1,741 4,071 5,548 11,940 Changes in fair value due to: Changes in valuation inputs used in valuation model (1) 3,410 (176) 8,590 7,819 Other changes in fair value (2) (5,635) (6,114) (18,489) (18,875) Total change in fair value (2,225) (6,290) (9,899) (11,056) Balance at end of period $ 9,769 $ 16,076 $ 9,769 $ 16,076 (1) Principally reflects changes in expected borrower performance and servicer losses given default. (2) Represents changes due to realization of cash flows. Servicing fees relating to MSRs and MSLs are recorded in Net mortgage loan servicing fees—Loan servicing fees—From non-affiliates on the consolidated statements of income; late charges and other ancillary fees relating to MSRs and MSLs are recorded in Net mortgage loan servicing fees—Loan servicing fees—Ancillary and other fees on the Company’s consolidated statements of income. Such amounts are summarized below: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Contractual servicing fees $ 147,182 $ 126,416 $ 421,536 $ 345,231 Ancillary and other fees: Late charges 5,087 6,326 19,595 18,915 Other 1,244 1,270 4,620 3,296 $ 153,513 $ 134,012 $ 445,751 $ 367,442 |
Borrowings
Borrowings | 9 Months Ended |
Sep. 30, 2018 | |
Borrowings | |
Borrowings | Note 11—Borrowings The borrowing facilities described throughout this Note 11 contain various covenants, including financial covenants governing the Company’s net worth, debt-to-equity ratio, profitability and liquidity. Management believes that the Company was in compliance with these covenants as of September 30, 2018. Assets Sold Under Agreement to Repurchase The Company has multiple borrowing facilities in the form of asset sales under agreements to repurchase. These borrowing facilities are secured by mortgage loans held for sale at fair value or participation certificates backed by MSRs. Eligible mortgage loans and participation certificates backed by MSRs are sold at advance rates based on the fair value (as determined by the lender) of the assets sold. Interest is charged at a rate based on the lender’s overnight cost of funds rate or on LIBOR depending on the terms of the respective agreements. Mortgage loans and MSRs financed under these agreements may be re-pledged by the lenders. Assets sold under agreements to repurchase are summarized below: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ 1,563,053 $ 1,960,332 $ 1,618,008 $ 1,854,786 Weighted average interest rate (1) 3.91 % 3.23 % 3.72 % 3.15 % Total interest expense (2) $ 4,676 $ 19,203 $ 15,943 $ 52,249 Maximum daily amount outstanding $ 2,201,880 $ 2,564,756 $ 2,380,121 $ 2,581,199 September 30, December 31, 2018 2017 (dollars in thousands) Carrying value: Unpaid principal balance $ 1,738,839 $ 2,380,866 Unamortized premiums and debt issuance costs, net 799 672 $ 1,739,638 $ 2,381,538 Weighted average interest rate 3.93 % 3.24 % Available borrowing capacity (3): Committed $ 449,370 $ 316,503 Uncommitted 2,796,791 2,257,631 $ 3,246,161 $ 2,574,134 Fair value of assets securing repurchase agreements: Mortgage loans held for sale $ 1,841,097 $ 2,530,299 Servicing advances (4) $ 102,222 $ 114,643 Mortgage servicing rights (4) $ 2,539,575 $ 2,098,067 Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 133,128 $ 144,128 Margin deposits placed with counterparties (5) $ 3,750 $ 3,750 (1) Excludes the effect of amortization of net premiums totaling $10.9 million and $29.7 million for the quarter and nine months ended September 30, 2018, respectively, and commitment fees and issuance costs totaling $3.0 million and $7.9 million for the quarter and nine months ended September 30, 2017, respectively. (2) In 2017, PFSI entered into a master repurchase agreement that provides the Company with incentives to finance mortgage loans approved for satisfying certain consumer relief characteristics as provided in the agreement. The Company included $12.8 million and $35.5 million of such incentives as a reduction in Interest expense during the quarter and nine months ended September 30, 2018, respectively. The master repurchase agreement is subject to a rolling six-month term through August 21, 2019, unless terminated earlier at the option of the lender. There can be no assurance that the lender will not terminate this agreement before its stated maturity. (3) The amount the Company is able to borrow under asset repurchase agreements is tied to the fair value of unencumbered assets eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the assets financed. (4) Beneficial interests in the Ginnie Mae MSRs and servicing advances are pledged to the Issuer Trust and together serve as the collateral backing the VFN, 2018-GT1 Notes and 2018-GT2 Notes. Financing of the VFN is included in Assets sold under agreements to repurchase and 2018-GT1 Notes and 2018-GT2 Notes are included in Notes payable on the Company's consolidated balance sheet. (5) Margin deposits are included in Other assets on the Company’s consolidated balance sheet. Following is a summary of maturities of outstanding advances under repurchase agreements by maturity date: Remaining maturity at September 30, 2018 Balance (dollars in thousands) Within 30 days $ 444,530 Over 30 to 90 days 1,239,074 Over 90 to 180 days 5,235 Over one to two years 50,000 Total assets sold under agreements to repurchase $ 1,738,839 Weighted average maturity (in months) 2.3 The amount at risk (the fair value of the assets pledged plus the related margin deposit, less the amount advanced by the counterparty and interest payable) relating to the Company’s assets under agreements to repurchase is summarized by counterparty below as of September 30, 2018: Weighted average maturity of advances under repurchase Counterparty Amount at risk agreement Facility maturity (in thousands) Credit Suisse First Boston Mortgage Capital LLC $ 1,290,904 April 26, 2020 April 26, 2020 Credit Suisse First Boston Mortgage Capital LLC $ 33,078 October 24, 2018 April 26, 2019 Deutsche Bank AG $ 84,185 December 19, 2018 August 21, 2019 Bank of America, N.A. $ 17,796 October 12, 2018 October 12, 2018 JP Morgan Chase Bank, N.A. $ 4,937 October 12, 2018 October 12, 2018 Morgan Stanley Bank, N.A. $ 4,656 December 19, 2018 August 23, 2019 BNP Paribas $ 4,384 November 16, 2018 November 16, 2018 Royal Bank of Canada $ 1,704 November 6, 2018 December 31, 2018 Citibank, N.A. $ 783 December 21, 2018 June 7, 2019 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 assets securing those agreements decreases. Mortgage Loan Participation Purchase and Sale Agreements Certain of the borrowing facilities secured by mortgage loans held for sale are in the form of mortgage loan participation purchase and sale agreements. Participation certificates, each of which represents an undivided beneficial ownership interest in 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 at the time a participation certificate is sold. The purchase price paid by the lender for each participation certificate is based on the trade price of the security, plus an amount of interest expected to accrue on the security to its anticipated delivery date, minus a present value adjustment, any related hedging costs and a holdback amount that is based on a percentage of the purchase price. The holdback amount 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 purchase and sale agreements are summarized below: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (dollars in thousands) Average balance $ 289,008 $ 213,486 $ 250,599 $ 200,119 Weighted average interest rate (1) 3.31 % 2.48 % 3.14 % 2.25 % Total interest expense $ 2,533 $ 1,484 $ 6,450 $ 3,780 Maximum daily amount outstanding $ 722,611 $ 532,266 $ 722,611 $ 532,266 (1) Excludes the effect of amortization of facility fees totaling $92,000 and $134,000 for the quarters ended September 30, 2018 and 2017, respectively, and $475,000 and $365,000 for the nine months ended September 30, 2018 and 2017, respectively. September 30, December 31, 2018 2017 (dollars in thousands) Carrying value: Unpaid principal balance $ 524,686 $ 527,706 Unamortized debt issuance costs (19) (311) $ 524,667 $ 527,395 Weighted average interest rate 3.51 % 2.81 % Fair value of mortgage loans pledged to secure mortgage loan participation purchase and sale agreements $ 547,969 $ 551,688 Notes Payable Term Notes On February 16, 2017, the Company, through the Issuer Trust, issued an aggregate principal amount of $400 million in Term Notes (the “2017-GT1 Notes”) to qualified institutional buyers under Rule 144A of the Securities Act of 1933, as amended (the “Securities Act”). The 2017-GT1 Notes bore interest at a rate equal to one-month LIBOR plus 4.75% per annum. The 2017-GT1 Notes were scheduled to mature on February 25, 2020 or, if extended pursuant to the terms of the related indenture supplement, February 25, 2021 (unless earlier redeemed in accordance with their terms). On August 10, 2017, the Company, through the Issuer Trust, issued an aggregate principal amount of $500 million in Term Notes (the “2017-GT2 Notes”) to qualified institutional buyers under Rule 144A of the Securities Act. The 2017-GT2 Notes bear interest at a rate equal to one-month LIBOR plus 4.0% per annum. The 2017-GT2 Notes will mature on August 25, 2022 or, if extended pursuant to the terms of the related indenture supplement, August 25, 2023 (unless earlier redeemed in accordance with their terms). On February 28, 2018, the Company, through the Issuer Trust, issued an aggregate principal amount of $650 million in Term Notes (the “2018-GT1 Notes”) to qualified institutional buyers under Rule 144A of the Securities Act. The 2018-GT1 Notes bear interest at a rate equal to one-month LIBOR plus 2.85% per annum. The 2018-GT1 Notes will mature on February 25, 2023 or, if extended pursuant to the terms of the related indenture supplement, February 25, 2025 (unless earlier redeemed in accordance with their terms). On February 28, 2018, in connection with its issuance of the 2018-GT1 Notes, the Company also redeemed all of the 2017-GT1 Notes previously issued by the Issuer Trust. The redemption amount for the 2017-GT1 Notes was $400 million plus all accrued and unpaid interest. As a result, the Company recognized debt issuance cost of $3.4 million for the nine months ended September 30, 2018. On August 10, 2018, the Company, through the Issuer Trust, issued an aggregate principal amount of $650 million in Term Notes (the “2018-GT2 Notes”) to qualified institutional buyers under Rule 144A of the Securities Act. The 2018-GT2 Notes bear interest at a rate equal to one-month LIBOR plus 2.65% per annum. The 2018-GT2 Notes will mature on August 25, 2023 or, if extended pursuant to the terms of the related indenture supplement, August 25, 2025 (unless earlier redeemed in accordance with their terms). On August 10, 2018, in connection with its issuance of the 2018-GT2 Notes, the Company also redeemed all of the 2017-GT2 Notes previously issued by the Issuer Trust. The redemption amount for the 2017-GT2 Notes was $500 million plus all accrued and unpaid interest. As a result, the Company recognized debt issuance cost of $4.6 million for the quarter and nine months ended September 30, 2018. All of the Term Notes rank pari passu with each other and with the VFN issued by the Issuer Trust to PLS and are secured by certain participation certificates relating to Ginnie Mae MSRs and ESS that are financed pursuant to the GNMA MSR Facility. Revolving Credit Agreement The Company entered into a revolving credit agreement pursuant to which the lenders agreed to make revolving loans in an amount not to exceed $150 million. The proceeds of the loans are to be used solely for working capital and general corporate purposes of the Company and its subsidiaries. Interest on the loans accrues at a per annum rate of interest equal to, at an election of the Company, either LIBOR plus the applicable margin or an alternate base rate (as defined in the credit agreement). During the existence of certain events of default, interest accrues at a higher rate. The maturity date is November 16, 2018. Notes payable are summarized below: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (dollars in thousands) Average balance $ 1,234,783 $ 689,417 $ 1,125,458 $ 483,370 Weighted average interest rate (1) 5.07 % 5.85 % 5.29 % 5.87 % Total interest expense $ 21,369 $ 11,747 $ 55,939 $ 24,746 Maximum daily amount outstanding $ 1,300,000 $ 890,879 $ 1,300,000 $ 891,011 (1) Excluding the effect of amortization of debt issuance costs totaling $5. 2 million and $1.2 million for the quarters ended September 30, 2018 and 2017, respectively, and $10. 3 million and $3.2 million for the nine months ended September 30, 2018 and 2017, respectively. Also excludes the effect of non-utilization fees of $179,000 and $562,000 for the quarter and nine months ended September 30, 2018, respectively. September 30, December 31, 2018 2017 (dollars in thousands) Carrying value: Unpaid principal balance $ 1,300,000 $ 900,006 Unamortized debt issuance costs (8,153) (8,501) $ 1,291,847 $ 891,505 Weighted average interest rate 4.82 % 5.66 % Unused amount $ 150,000 $ 280,000 Assets pledged to secure notes payable: Cash $ 81,640 $ 20,765 Other assets ‒ Carried Interest $ — $ 8,552 Servicing advances (1) $ 102,222 $ 114,643 Mortgage servicing rights (1) $ 2,539,575 $ 2,098,067 (1) Beneficial interests in the Ginnie Mae MSRs and servicing advances are pledged to the Issuer Trust and together serve as the collateral backing the VFN, 2018-GT1 Notes and 2018-GT2 Notes. Financing of the VFN is included in Assets sold under agreements to repurchase and 2018-GT1 Notes and 2018-GT2 Notes are included in Notes payable on the Company's consolidated balance sheet. Obligations under Capital Lease In December 2015, the Company entered into a capital lease transaction secured by certain fixed assets and capitalized software. The capital lease matures on March 23, 2020 and bears interest at a spread over one-month LIBOR. Obligations under capital lease are summarized below: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (dollars in thousands) Average balance $ 11,615 $ 25,507 $ 15,187 $ 25,573 Weighted average interest rate 4.09 % 3.25 % 3.87 % 3.01 % Total interest expense $ 122 $ 205 $ 444 $ 585 Maximum daily amount outstanding $ 13,032 $ 26,641 $ 20,971 $ 30,044 September 30, December 31, 2018 2017 (in thousands) Unpaid principal balance $ 9,630 $ 20,971 Weighted average interest rate 4.16 % 3.26 % Assets pledged to secure obligations under capital lease: Furniture, fixtures and equipment $ 19,022 $ 23,915 Capitalized software $ 1,231 $ 1,568 Excess Servicing Spread Financing Payable to PennyMac Mortgage Investment Trust In conjunction with the Company’s purchase from non-affiliates of certain MSRs on pools of Agency-backed residential mortgage loans, the Company has entered into sale and assignment agreements with PMT. 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 loans. The Company continues to be the servicer of the mortgage loans and retains all servicing obligations, including responsibility to make servicing advances. Following is a summary of ESS: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Balance at beginning of period $ 229,470 $ 261,796 $ 236,534 $ 288,669 Issuances of excess servicing spread to PennyMac Mortgage Investment Trust pursuant to recapture agreement 499 1,207 1,983 4,160 Accrual of interest 3,740 3,998 11,584 13,011 Repayment (11,543) (13,410) (35,852) (42,320) Change in fair value 1,109 (4,828) 9,026 (14,757) Balance at end of period $ 223,275 $ 248,763 $ 223,275 $ 248,763 |
Liability for Losses Under Repr
Liability for Losses Under Representations and Warranties | 9 Months Ended |
Sep. 30, 2018 | |
Liability for Losses Under Representations and Warranties | |
Liability for Losses Under Representations and Warranties | Note 12—Liability for Losses Under Representations and Warranties Following is a summary of the Company’s liability for losses under representations and warranties: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Balance at beginning of period $ 20,587 $ 19,568 $ 20,053 $ 19,067 Provision for losses on mortgage loans sold: Resulting from sales of mortgage loans 1,842 1,596 4,550 4,294 Reduction in liability due to change in estimate (1,155) (1,194) (3,627) (3,086) (Incurred losses) recoveries , net (252) (297) 46 (602) Balance at end of period $ 21,022 $ 19,673 $ 21,022 $ 19,673 Unpaid principal balance of mortgage loans subject to representations and warranties at end of period $ 139,315,779 $ 114,531,205 |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2018 | |
Income Taxes | |
Income Taxes | Note 13—Income Taxes The Company’s effective income tax rates were 9.0% and 12.4% for the quarter ended September 30, 2018 and 2017, respectively, and 8.6% and 12.4% for the nine months ended September 30, 2018 and 2017, respectively. The lower effective tax rate for 2018 reflects the effect of the change in the federal statutory tax rate from 35% to 21%, resulting from the December 22, 2017 enactment of the Tax Cuts and Jobs Act (the “Tax Act”). 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. Upon completion of the Reorganization of the Company on November 1, 2018, pursuant to which the noncontrolling interests were converted to common stock of New PFSI (as defined in Note 24‒Subsequent Events ), the new parent company, the Company no longer has noncontrolling interests to allocate income to and its effective income tax rate will be increased to a level that more closely approximates the combined federal and state statutory rates. |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2018 | |
Commitments and Contingencies. | |
Commitments and Contingencies | Note 14—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, 2018, 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. Regulatory Matters The Company and/or its subsidiaries are subject to various state and federal regulations related to its loan production and servicing operations, as well as regulations by various federal agencies, such as the BCFP, HUD, and the Federal Housing Administration. The Company and/or its subsidiaries are also subject to certain requirements by the Agencies to which it sells loans and for which it performs loan servicing activities. As the result, the Company may become involved in information-gathering requests, reviews, investigations and proceedings (both formal and informal) by the various federal, state and local regulatory bodies. Commitments to Purchase and Fund Mortgage Loans The Company’s commitments to purchase and fund mortgage loans totaled $3.4 billion as of September 30, 2018. Leases The Company leases office facilities. Rent expense was $3.7 million and $3.0 million for the quarters ended September 30, 2018 and 2017, respectively and $10.3 million and $8.8 million for the nine months ended September 30, 2018 and 2017, respectively. The following table provides a summary of future minimum lease payments required under lease agreements as of September 30, 2018: Twelve months ended September 30, Future minimum lease payments (in thousands) 2019 $ 15,243 2020 15,367 2021 12,967 2022 10,487 2023 9,572 Thereafter 25,538 $ 89,174 Commitment to Make Distributions to PennyMac Owners Under the terms of its Limited Liability Company Agreement, PennyMac is required to make cash distributions to the Company’s noncontrolling interest holders in amounts sufficient to allow such noncontrolling interest holders to pay federal and state taxes on their allocable share of PennyMac taxable income. Such distributions are calculated and, if required, made quarterly. |
Stockholders' Equity
Stockholders' Equity | 9 Months Ended |
Sep. 30, 2018 | |
Stockholders' Equity. | |
Stockholders' Equity | Note 15—Stockholders’ Equity In June 2017, the Company’s board of directors authorized a stock repurchase program (“Repurchase Program”) under which the Company may repurchase up to $50 million of its outstanding Class A common stock. The following table summarizes the Company’s stock repurchase activity: Quarter ended September 30, Nine months ended September 30, Cumulative 2018 2017 2018 2017 total (1) (in thousands) Shares of Class A common stock repurchased — 505 236 505 741 Cost of shares of Class A common stock repurchased $ — $ 8,599 $ 4,826 $ 8,599 $ 13,425 (1) Amounts represent the total shares of Class A common stock repurchased under the Repurchase Program through September 30, 2018. The shares of repurchased Class A common stock were canceled upon settlement of the repurchase transactions and returned to the authorized but unissued common stock pool. |
Noncontrolling Interest
Noncontrolling Interest | 9 Months Ended |
Sep. 30, 2018 | |
Noncontrolling Interest. | |
Noncontrolling Interest | Note 16—Noncontrolling Interest Net income attributable to the Company’s common stockholders and the effects of changes in noncontrolling ownership interest in PennyMac are summarized below: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Net income attributable to PennyMac Financial Services, Inc. common stockholders $ 14,489 $ 17,081 $ 48,945 $ 38,439 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 common stock of PennyMac Financial Services, Inc. $ 4,377 $ 3,656 $ 32,501 $ 20,583 Shares of Class A common stock of PennyMac Financial Services, Inc. issued pursuant to exchange of Class A units of Private National Mortgage Acceptance Company, LLC by noncontrolling interest unitholders and issued as equity compensation 131 251 1,616 1,297 September 30, December 31, 2018 2017 Percentage of noncontrolling interest in Private National Mortgage Acceptance Company, LLC 67.5 % 69.2 % |
Net Gains on Mortgage Loans Hel
Net Gains on Mortgage Loans Held for Sale | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 2017 2018 2017 (in thousands) From non-affiliates: Cash (loss) gain: Mortgage loans $ (107,414) $ (40,747) $ (399,457) $ (98,408) Hedging activities (2,507) (14,592) 89,322 (8,168) (109,921) (55,339) (310,135) (106,576) Non-cash gain: Mortgage servicing rights and mortgage servicing liabilities resulting from mortgage loan sales 147,259 154,763 443,056 419,968 Provision for losses relating to representations and warranties: Pursuant to mortgage loan sales (1,842) (1,596) (4,550) (4,294) Reduction in liability due to change in estimate 1,155 1,194 3,627 3,086 Change in fair value relating to mortgage loans and hedging derivatives held at quarter end: Interest rate lock commitments (18,526) 8,226 (21,109) (5,008) Mortgage loans 6,897 3,376 21,407 (2,554) Hedging derivatives 13,327 (12,389) 11,100 (19,023) 38,349 98,235 143,396 285,599 From PennyMac Mortgage Investment Trust 18,565 9,901 45,878 7,584 $ 56,914 $ 108,136 $ 189,274 $ 293,183 |
Net Interest Income (Expense)
Net Interest Income (Expense) | 9 Months Ended |
Sep. 30, 2018 | |
Net Interest Income (Expense) | |
Net Interest Income (Expense) | Note 18—Net Interest Income (Expense) Net interest income (expense) is summarized below: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Interest income: From non-affiliates: Short-term investments $ 814 $ 733 $ 2,001 $ 1,727 Mortgage loans held for sale at fair value 34,941 28,199 95,982 68,528 Placement fees relating to custodial funds 23,397 13,394 55,014 27,073 59,152 42,326 152,997 97,328 From PennyMac Mortgage Investment Trust—Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell 1,812 2,116 5,686 5,946 60,964 44,442 158,683 103,274 Interest expense: To non-affiliates: Assets sold under agreements to repurchase (1) 4,676 19,203 15,943 52,249 Mortgage loan participation purchase and sale agreements 2,533 1,484 6,450 3,780 Notes payable 21,369 11,747 55,939 24,746 Obligations under capital lease 122 205 444 585 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 4,883 4,602 14,259 11,529 Interest on mortgage loan impound deposits 1,452 1,253 3,517 2,943 35,035 38,494 96,552 95,832 To PennyMac Mortgage Investment Trust—Excess servicing spread financing at fair value 3,740 3,998 11,584 13,011 38,775 42,492 108,136 108,843 $ 22,189 $ 1,950 $ 50,547 $ (5,569) (1) In 2017, the Company entered into a master repurchase agreement that provides the Company with incentives to finance mortgage loans approved for satisfying certain consumer relief characteristics as provided in the agreement. The Company included $12.8 million and $35.5 million of such incentives as a reduction in Interest expense during the quarter and nine months ended September 30, 2018, respectively. The master repurchase agreement is subject to a rolling six-month term through August 21, 2019, unless terminated earlier at the option of the lender. There can be no assurance that the lender will not terminate this agreement before its stated maturity. |
Stock-based Compensation
Stock-based Compensation | 9 Months Ended |
Sep. 30, 2018 | |
Stock-based Compensation | |
Stock-based Compensation | Note 19—Stock-based Compensation As of September 30, 2018, the Company had one stock-based compensation plan. Following is a summary of the stock-based compensation activity: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Grants: Units: Performance-based RSUs — — 524 694 Stock options — — 674 861 Time-based RSUs 5 3 321 408 Grant date fair value: Performance-based RSUs $ — $ — $ 12,791 $ 12,512 Stock options — — 6,147 5,772 Time-based RSUs 100 58 7,803 7,359 Total $ 100 $ 58 $ 26,741 $ 25,643 Vestings and exercises: Performance-based RSUs vested — — 774 446 Stock options exercised 55 9 285 34 Time-based RSUs vested 1 4 245 165 Compensation expense $ 8,532 $ 4,243 $ 20,766 $ 14,633 The performance-based RSUs provide for the issuance of shares of the Company’s Class A common stock based on the attainment of earnings per share and/or return on equity target performance goals and are subject to adjustment based on individual performance of the grantees. The satisfaction of the performance goals and issuance of shares are approved by the compensation committee of the Company’s board of directors. |
Earnings Per Share of Common St
Earnings Per Share of Common Stock | 9 Months Ended |
Sep. 30, 2018 | |
Earnings Per Share of Common Stock | |
Earnings Per Share of Common Stock | Note 20—Earnings Per Share of Common Stock Basic earnings per share of common stock is determined using net income attributable to the Company’s common stockholders divided by the weighted average number of shares of common stock outstanding during the period. Diluted earnings per share of common stock is determined by dividing net income attributable to the Company’s common stockholders by the weighted average number of shares of common stock outstanding, assuming all dilutive shares of common stock were issued. Potentially dilutive shares of common stock include non-vested stock-based compensation awards and PennyMac Class A units. The Company applies the treasury stock method to determine the diluted weighted average shares of common stock outstanding represented by the non-vested stock-based compensation awards. The diluted earnings per share calculation includes an evaluation of whether the exchange of PennyMac Class A units for shares of common stock is dilutive. Accordingly, in this evaluation, 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 that would be applicable to such earnings. The following table summarizes the basic and diluted earnings per share calculations: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands, except per share amounts) Basic earnings per share of common stock: Net income attributable to common stockholders $ 14,489 $ 17,081 $ 48,945 $ 38,439 Weighted average shares of common stock outstanding 25,125 23,426 24,644 23,147 Basic earnings per share of common stock $ 0.58 $ 0.73 $ 1.99 $ 1.66 Diluted earnings per share of common stock: Net income attributable to common stockholders $ 14,489 $ 17,081 $ 48,945 $ 38,439 Net income attributable to dilutive stock-based compensation units 552 888 2,435 1,816 Effect of net income attributable to PennyMac Class A units exchangeable to Class A common stock, net of income taxes 29,580 37,996 101,921 86,473 Net income attributable to common stockholders for diluted earnings per share $ 44,621 $ 55,965 $ 153,301 $ 126,728 Weighted average shares of common stock outstanding applicable to basic earnings per share 25,125 23,426 24,644 23,147 Effect of dilutive shares: Common shares issuable under stock-based compensation plan 1,476 1,751 1,818 1,684 PennyMac Class A units exchangeable to Class A common stock 52,312 53,239 52,492 53,400 Weighted average shares of common stock applicable to diluted earnings per share 78,913 78,416 78,954 78,231 Diluted earnings per share of common stock $ 0.57 $ 0.71 $ 1.94 $ 1.62 Calculations of diluted earnings per share require certain potentially dilutive shares to be excluded when their inclusion in the diluted earnings per share calculation would be anti-dilutive. The following table summarizes the weighted-average number of anti-dilutive restricted stock units (“RSUs”) and stock options excluded from the calculation of diluted earnings per share: Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands except for weighted-average exercise price) Performance-based RSUs (1) 1,172 — 1,060 475 Time-based RSUs 86 1 68 1 Stock options (2) 1,208 2,622 705 2,434 Total anti-dilutive stock-based compensation units 2,466 2,623 1,833 2,910 Weighted average exercise price of anti-dilutive stock options (2) $ 17.79 $ 16.39 $ 17.79 $ 16.39 (1) Certain performance-based RSUs were outstanding but not included in the computation of earnings per share because the performance thresholds included in such RSUs have not been achieved. (2) Certain stock options were outstanding but not included in the computation of diluted earnings per share because the weighted-average exercise prices were above the average stock price for the period. |
Supplemental Cash Flow Informat
Supplemental Cash Flow Information | 9 Months Ended |
Sep. 30, 2018 | |
Supplemental Cash Flow Information | |
Supplemental Cash Flow Information | Note 21—Supplemental Cash Flow Information Nine months ended September 30, 2018 2017 (in thousands) Cash paid for interest $ 123,622 $ 115,710 (Refunds received) cash paid for income taxes, net $ (1,541) $ 41 Non-cash investing activity: Mortgage servicing rights resulting from mortgage loan sales $ 448,604 $ 431,908 Mortgage servicing liabilities resulting from mortgage loan sales $ 5,548 $ 11,940 Unsettled portion of MSR acquisitions $ 13,501 $ 16,364 Non-cash financing activity: Transfer of E xcess servicing spread payable to PennyMac Mortgage Investment Trust pursuant to a recapture agreement $ 1,983 $ 4,160 Issuance of Class A common stock in settlement of director fees $ 245 $ 253 |
Regulatory Capital and Liquidit
Regulatory Capital and Liquidity Requirements | 9 Months Ended |
Sep. 30, 2018 | |
Regulatory Capital and Liquidity Requirements | |
Regulatory Capital and Liquidity Requirements | Note 22—Regulatory Capital and Liquidity Requirements The Company, through PLS and PennyMac, is required to maintain specified levels of equity and liquid assets to remain a seller/servicer in good standing with the Agencies. Such equity and liquid asset requirements generally are tied to the size of the Company’s loan servicing portfolio or loan origination volume. The Company is subject to financial eligibility requirements for sellers/servicers eligible to sell or service mortgage loans with Fannie Mae and Freddie Mac. The eligibility requirements include tangible net worth of $2.5 million plus 25 basis points of the Company’s total 1-4 unit mortgage loan servicing portfolio, excluding mortgage loans subserviced for others and a liquidity requirement equal to 3.5 basis points of the aggregate UPB serviced for the Agencies plus 200 basis points of total nonperforming Agency servicing UPB in excess of 6.0%. The Company is also subject to financial eligibility requirements for Ginnie Mae single-family issuers. The eligibility requirements include net worth of $2.5 million plus 35 basis points of PLS' outstanding Ginnie Mae single-family obligations and a liquidity requirement equal to the greater of $1.0 million or 10 basis points of PLS' outstanding Ginnie Mae single-family securities. The Agencies’ capital and liquidity requirements, the calculations of which are specified by each Agency, are summarized below: September 30, 2018 December 31, 2017 Agency–company subject to requirement Actual (1) Requirement (1) Actual (1) Requirement (1) (dollars in thousands) Capital Fannie Mae & Freddie Mac – PLS $ 1,749,912 $ 495,694 $ 1,561,977 $ 429,671 Ginnie Mae – PLS $ 1,520,550 $ 698,354 $ 1,307,580 $ 674,133 Ginnie Mae – PennyMac $ 1,755,669 $ 768,190 $ 1,511,201 $ 741,574 HUD – PLS $ 1,520,550 $ 2,500 $ 1,307,580 $ 2,500 Liquidity Fannie Mae & Freddie Mac – PLS $ 243,827 $ 68,224 $ 196,415 $ 58,754 Ginnie Mae – PLS $ 243,827 $ 181,852 $ 196,415 $ 153,431 Tangible net worth / Total assets ratio Fannie Mae & Freddie Mac – PLS 22 % 6 % % % (1) Calculated in compliance with the respective Agency’s requirements. Noncompliance with an Agency’s requirements can result in such Agency taking various remedial actions up to and including terminating PennyMac’s ability to sell loans to and service loans on behalf of the respective Agency. |
Segments and Related Informatio
Segments and Related Information | 9 Months Ended |
Sep. 30, 2018 | |
Segments and Related Information | |
Segments and Related Information | Note 23—Segments and Related Information The Company operates in three segments: production, servicing and investment management. Two of the segments are in the mortgage banking business: production and servicing. The production segment performs mortgage loan origination, acquisition and sale activities. The servicing segment performs servicing of newly originated mortgage loans, execution and management of early buyout transactions and servicing of mortgage loans sourced and managed by the investment management segment for PMT, 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 production activities for PMT and managing the acquired assets for PMT. Financial performance and results by segment are as follows: Quarter ended September 30, 2018 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net mortgage loan servicing fees $ — $ 109,703 $ 109,703 $ — $ 109,703 Net gains on mortgage loans held for sale at fair value 34,947 21,967 56,914 — 56,914 Mortgage loan origination fees 26,485 — 26,485 — 26,485 Fulfillment fees from PennyMac Mortgage Investment Trust 26,256 — 26,256 — 26,256 Net interest income (expense): Interest income 17,013 43,935 60,948 16 60,964 Interest expense 1,274 37,491 38,765 10 38,775 15,739 6,444 22,183 6 22,189 Management fees — — — 6,471 6,471 Carried Interest from Investment Funds — — — (17) (17) Other 645 805 1,450 1,478 2,928 Total net revenue 104,072 138,919 242,991 7,938 250,929 Expenses 78,405 105,346 183,751 5,481 189,232 Income before provision for income taxes $ 25,667 $ 33,573 $ 59,240 $ 2,457 $ 61,697 Segment assets at quarter end (2) $ 2,168,126 $ 4,812,898 $ 6,981,024 $ 11,996 $ 6,993,020 (1) All revenues are from external customers. (2) Excludes parent Company assets, which consist primarily of working capital of $1.8 million and includes receivable from parent Company of $2.3 million. Quarter ended September 30, 2017 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net mortgage loan servicing fees $ — $ 78,081 $ 78,081 $ — $ 78,081 Net gains on mortgage loans held for sale at fair value 79,983 28,153 108,136 — 108,136 Mortgage loan origination fees 33,168 — 33,168 — 33,168 Fulfillment fees from PennyMac Mortgage Investment Trust 23,507 — 23,507 — 23,507 Net interest income (expense): Interest income 17,651 26,791 44,442 — 44,442 Interest expense 12,355 30,124 42,479 13 42,492 5,296 (3,333) 1,963 (13) 1,950 Management fees — — — 6,216 6,216 Carried Interest from Investment Funds — — — (1,158) (1,158) Other 235 525 760 (25) 735 Total net revenue 142,189 103,426 245,615 5,020 250,635 Expenses 73,231 78,955 152,186 4,305 156,491 Income before provision for income taxes $ 68,958 $ 24,471 $ 93,429 $ 715 $ 94,144 Segment assets at quarter end (2) $ 2,737,666 $ 3,628,689 $ 6,366,355 $ 20,369 $ 6,386,724 (1) All revenues are from external customers. (2) Excludes parent Company assets, which consist primarily of working capital of $1.6 million. Nine months ended September 30, 2018 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net mortgage loan servicing fees $ — $ 340,181 $ 340,181 $ — $ 340,181 Net gains on mortgage loans held for sale at fair value 105,111 84,163 189,274 — 189,274 Mortgage loan origination fees 75,476 — 75,476 — 75,476 Fulfillment fees from PennyMac Mortgage Investment Trust 52,759 — 52,759 — 52,759 Net interest income (expense): Interest income 48,135 110,532 158,667 16 158,683 Interest expense 4,401 103,694 108,095 41 108,136 43,734 6,838 50,572 (25) 50,547 Management fees — — — 17,910 17,910 Carried Interest from Investment Funds — — — (365) (365) Other 1,497 1,928 3,425 4,221 7,646 Total net revenue 278,577 433,110 711,687 21,741 733,428 Expenses 216,722 290,094 506,816 17,221 524,037 Income before provision for income taxes $ 61,855 $ 143,016 $ 204,871 $ 4,520 $ 209,391 Segment assets at period end (2) $ 2,168,126 $ 4,812,898 $ 6,981,024 $ 11,996 $ 6,993,020 (1) All revenues are from external customers. (2) Excludes parent Company assets, which consist primarily of working capital of $1.8 million and includes receivable from parent Company of $2.3 million. Nine months ended September 30, 2017 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net mortgage loan servicing fees $ — $ 199,157 $ 199,157 $ — $ 199,157 Net gains on mortgage loans held for sale at fair value 217,526 75,657 293,183 — 293,183 Mortgage loan origination fees 88,935 — 88,935 — 88,935 Fulfillment fees from PennyMac Mortgage Investment Trust 61,184 — 61,184 — 61,184 Net interest income (expense): Interest income 45,866 57,408 103,274 — 103,274 Interest expense 32,507 76,299 108,806 37 108,843 13,359 (18,891) (5,532) (37) (5,569) Management fees — — — 17,597 17,597 Carried Interest from Investment Funds — — — (1,045) (1,045) Other 1,711 1,442 3,153 234 3,387 Total net revenue 382,715 257,365 640,080 16,749 656,829 Expenses 199,547 230,691 430,238 12,455 442,693 Income before provision for income taxes $ 183,168 $ 26,674 $ 209,842 $ 4,294 $ 214,136 Segment assets at period end (2) $ 2,737,666 $ 3,628,689 $ 6,366,355 $ 20,369 $ 6,386,724 (1) All revenues are from external customers. (2) Excludes parent Company assets, which consist primarily of working capital of $1.6 million. |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2018 | |
Subsequent Events | |
Subsequent Events | Note 24—Subsequent Events Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period: · On November 1, 2018, the Company completed a reorganization (the “Reorganization) by which it changed its equity structure to a single class of common stock held by all stockholders, as opposed to the two classes of common stock, Class A and Class B, that were in place as of September 30, 2018. Pursuant to the Reorganization, New PennyMac Financial Services, Inc. (“New PFSI”) become a holding corporation, which subsequently changed its name to “PennyMac Financial Services, Inc.” while PFSI changed its name to “PNMAC Holdings, Inc.”. As a result of the Reorganization: o Each outstanding share of Class A common stock of PFSI was converted on a one-for-one basis into shares of New PFSI common stock. o Each outstanding share of Class B common stock of PFSI was cancelled for no consideration. o Each Class A unit of PennyMac held by a PennyMac Class A unit holder was contributed to PFSI and exchanged on a one-for-one basis for shares of New PFSI common stock. o New PFSI assumed PFSI’s existing equity incentive plan—including all performance share awards, restricted share awards, restricted stock units and other incentive awards covering shares of PFSI’s Class A common stock, whether vested or not vested, that were outstanding at the effective time of the Reorganization. New PFSI reserved the same number of shares of its common stock as was reserved by the Company before the effective time of the reorganization, and the terms and conditions that were in effect immediately before the reorganization under each outstanding incentive award assumed by New PFSI continue in full force and effect after the reorganization, except that the shares of Class A common stock reserved under PFSI’s plans and issuable under each such award will be replaced by shares of common stock of New PFSI. o PFSI’s existing directors and executive officers hold the same positions with New PFSI. o New PFSI replaced PFSI as the publicly-held entity and, through its subsidiaries, conducts all of the operations previously conducted by PFSI. o The Reorganization is intended to be treated as an integrated transaction that qualifies as a reorganization within the meaning of Section 368(a) of the Internal Revenue Code and/or a transfer described in Section 351(a) of the Internal Revenue Code. o After the completion of the Reorganization, PFSI became a consolidated subsidiary of New PFSI and is considered the predecessor of New PFSI for accounting purposes. Accordingly, PFSI’s consolidated financial statements will be New PFSI’s historical financial statements. · On November 1, 2018, New PFSI, through its subsidiary, PennyMac (the “Borrower”), entered into amendments (the "Amendments") to that certain (i) amended and restated credit agreement, dated as of November 18, 2016, by and among the Borrower, the lenders that are parties thereto and Credit Suisse AG, as administrative agent and collateral agent, and Credit Suisse Securities (USA) LLC, as sole bookrunner and sole lead arranger (the “Credit Agreement”); and (ii) amended and restated collateral and guaranty agreement, dated as of November 18, 2016, by and among the Borrower, as grantor, Credit Suisse AG, Cayman Islands Branch, as collateral agent, and PNMAC Holdings, Inc. (formerly known as PennyMac Financial Services, Inc., “Holdings”) and certain of its subsidiaries, PCM, PLS and PNMAC Opportunity Fund Associates, LLC ("Associates"), as guarantors and grantors (“the “Guaranty”). Pursuant to the Credit Agreement, the lenders have agreed to make revolving loans to the Borrower in an amount not to exceed $150 million. Interest on the loans shall accrue at a per annum rate of interest equal to, at the election of the Borrower, either an alternate base rate (as defined in the Credit Agreement) or LIBOR plus the applicable margin. During the existence of certain events of default, interest shall accrue at a higher default rate. The proceeds of the loans are to be used solely for working capital and general corporate purposes of the Borrower and its subsidiaries. The primary purposes of the Amendments are to (i) extend the maturity date of the Credit Agreement to October 31, 2019; (ii) name the Company as an additional guarantor under the Credit Agreement; and (iii) release Associates from its obligations as a guarantor under the Credit Agreement. Accordingly, the obligations of the Borrower under the Credit Agreement are now guaranteed by New PFSI, Holdings, PCM and PLS, and secured by a grant by each of the referenced grantors of its respective right, title and interest in and to limited and otherwise unencumbered (other than specified permitted encumbrances) specified contract rights, specified deposit accounts, all documents and instruments related to such specified contract rights and specified deposit accounts, and any and all proceeds and products thereof. All other terms and conditions of the Credit Agreement and Guaranty remain the same in all material respects. · On October 29, 2018, the Company, through two of its indirect controlled subsidiaries, PLS and PNMAC, entered into an Amended and Restated Master Repurchase Agreement, by and among Bank of America, N.A., as buyer (“BANA”), as administrative agent, swing line provider, sole lead arranger, sole bookrunner and a buyer, Capital One, National Association, as a buyer, The Bank of New York Mellon, as a buyer, (collectively, the “Syndicated Buyers”), PLS, as seller, and PNMAC, as guarantor (the “Syndicated Repurchase Agreement”). The Syndicated Repurchase Agreement amends and restates the terms of that certain master repurchase agreement, dated as of March 17, 2011, by and among BANA, PLS, and PNMAC. Pursuant to the terms of the Syndicated Repurchase Agreement, PLS may sell to, and later repurchase from, the Syndicated Buyers certain newly originated mortgage loans that are originated by PLS or purchased by it from correspondent sellers through a subsidiary of PMT and, in either case, held by PLS pending sale and/or securitization. The obligations of PLS under the Syndicated Repurchase Agreement are fully guaranteed by PNMAC and the mortgage loans are serviced by PLS. The scheduled termination date of the Syndicated Repurchase Agreement is October 28, 2019. Each Syndicated Buyer has severally committed to enter into transactions up to such Syndicated Buyer’s committed amount as set forth in the Syndicated Repurchase Agreement, with a maximum aggregate committed principal amount available to PLS for purchases of $500 million. · During October 2018, the Company acquired from two non-affiliate sellers bulk portfolios of Ginnie Mae MSRs with a total UPB of approximately $3.2 billion. · All other agreements to sell assets under agreements to repurchase that matured between September 30, 2018 and the date of this Report were extended or renewed. |
Basis of Presentation and Acc_2
Basis of Presentation and Accounting Developments (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
ASU 2014-09 | |
Recently Issued Accounting Pronouncements | |
Schedule of adoption of new Accounting Standard Update | Quarter ended Nine months ended Income statement line September 30, 2018 September 30, 2018 (in thousands) Occupancy and equipment $ 718 $ 1,954 Technology 315 837 Compensation 120 360 Other 177 596 Total expense reimbursements included in Other revenue $ 1,330 $ 3,747 |
ASU 2016-18 | |
Recently Issued Accounting Pronouncements | |
Schedule of adoption of new Accounting Standard Update | As previously Effect of adoption reported of ASU 2016-18 As reported (in thousands) Cash flow from operating activities $ (646,441) $ $ (646,266) Cash and restricted cash at end of period $ 67,708 $ $ 68,158 |
Transactions with Affiliates (T
Transactions with Affiliates (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
PMT | |
Transactions with Affiliates | |
Summary of lending activity between the Company and affiliate | Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Net gains on mortgage loans held for sale at fair value: Net gains on mortgage loans held for sale to PMT $ 19,722 $ 11,396 $ 49,396 $ 12,280 Mortgage servicing rights and excess servicing spread recapture incurred (1,157) (1,495) (3,518) (4,696) $ 18,565 $ 9,901 $ 45,878 $ 7,584 Sale of mortgage loans held for sale to PMT $ 908,525 $ 332,886 $ 2,336,162 $ 373,108 Fulfillment fee revenue $ 26,256 $ 23,507 $ 52,759 $ 61,184 Unpaid principal balance of mortgage loans fulfilled for PMT subject to fulfillment fees $ 7,517,883 $ 6,530,036 $ 17,139,884 $ 17,079,969 Sourcing fees paid to PMT $ 2,689 $ 3,275 $ 8,221 $ 9,340 Unpaid principal balance of mortgage loans purchased from PMT $ 8,916,654 $ 10,915,194 $ 27,404,022 $ 31,131,154 Tax service fees received from PMT included in Mortgage loan origination fees $ 2,119 $ 2,108 $ 4,869 $ 5,377 Early purchase program fees earned from PMT included in Mortgage loan servicing fees $ — $ 1 $ — $ 7 |
Summary of mortgage loan servicing fees earned from PMT | Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Mortgage loans acquired for sale at fair value: Base and supplemental $ 98 $ 88 $ 250 $ 235 Activity-based 218 188 489 507 316 276 739 742 Mortgage loans at fair value: Base and supplemental 614 1,571 2,328 5,284 Activity-based 657 2,702 3,200 6,859 1,271 4,273 5,528 12,143 Mortgage servicing rights: Base and supplemental 8,326 6,702 23,875 18,727 Activity-based 158 151 379 375 8,484 6,853 24,254 19,102 $ 10,071 $ 11,402 $ 30,521 $ 31,987 Property management fees received from PMT included in Other income $ 122 $ 95 $ 333 $ 261 |
Summary of management fees earned | Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Base management $ 5,799 $ 6,038 $ 17,223 $ 16,380 Performance incentive 683 — 683 304 $ 6,482 $ 6,038 $ 17,906 $ 16,684 |
Summary of reimbursement of expenses | Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Reimbursement of: Common overhead incurred by the Company (1) $ 1,210 $ 1,193 $ 3,387 $ 4,220 Compensation (1) 120 — 360 — Expenses incurred on (the Company's) PMT's behalf, net 527 196 586 849 $ 1,857 $ 1,389 $ 4,333 $ 5,069 Payments and settlements during the quarter (2) $ 21,650 $ 22,786 $ 45,265 $ 63,249 (1) The Company adopted ASU 2014-09 using the modified retrospective method effective January 1, 2018. Adoption of ASU 2014-09 using the modified retrospective method required the Company to include those reimbursements from PMT in Other revenue starting January 1, 2018. (2) Payments and settlements include payments for management fees and correspondent production activities itemized in the preceding tables and netting settlements made pursuant to master netting agreements between the Company and PMT. |
Summary of investing activity between the Company and affiliate | Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Interest income relating to Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 1,812 $ 2,116 $ 5,686 $ 5,946 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Dividends received $ 35 $ 35 $ 106 $ 106 Change in fair value of investment 94 (68) 313 76 $ 129 $ (33) $ 419 $ 182 September 30, December 31, 2018 2017 (in thousands) Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 133,128 $ 144,128 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Fair value $ 1,518 $ 1,205 Number of shares 75 75 |
Summary of financing activity between the Company and affiliate | Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Excess servicing spread financing: Issuance pursuant to recapture agreement $ 499 $ 1,207 $ 1,983 $ 4,160 Repayment $ 11,543 $ 13,410 $ 35,852 $ 42,320 Change in fair value $ 1,109 $ (4,828) $ 9,026 $ (14,757) Interest expense $ 3,740 $ 3,998 $ 11,584 $ 13,011 Recapture incurred pursuant to refinancings by the Company of mortgage loans subject to excess servicing spread financing included in Net gains on mortgage loans held for sale at fair value $ 597 $ 1,163 $ 1,951 $ 3,837 September 30, December 31, 2018 2017 (in thousands) Excess servicing spread financing at fair value $ 223,275 $ 236,534 |
Summary of amounts due from and payable to affiliate | September 30, December 31, 2018 2017 (in thousands) Receivable from PMT: Fulfillment fees $ 12,078 $ 346 Management fees 6,482 5,901 Servicing fees 3,765 6,583 Allocated expenses and expenses incurred on PMT's behalf 2,295 11,542 Correspondent production fees 1,864 1,735 Conditional Reimbursement 870 870 Interest on assets purchased under agreements to resell 113 142 $ 27,467 $ 27,119 Payable to PMT: Deposits made by PMT to fund servicing advances $ 89,467 $ 132,844 Mortgage servicing rights recapture payable 250 282 Other 2,101 3,872 $ 91,818 $ 136,998 |
Investment Funds | |
Transactions with Affiliates | |
Summary of amounts due from and payable to affiliate | December 31, 2017 (in thousands) Carried Interest due from Investment Funds: PNMAC Mortgage Opportunity Fund, LLC $ 6,389 PNMAC Mortgage Opportunity Fund Investors, LLC 2,163 $ 8,552 Receivable from Investment Funds: Mortgage loan servicing fee rebate deposit $ 300 Management fees 88 Expense reimbursements 27 Mortgage loan servicing fees 2 $ 417 Payable to Investment Funds: Deposits received to fund servicing advances $ 2,329 Other 98 $ 2,427 |
Loan Sales and Servicing Acti_2
Loan Sales and Servicing Activities (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 2017 2018 2017 (in thousands) Cash flows: Sales proceeds $ 11,375,408 $ 13,600,232 $ 34,208,217 $ 38,097,411 Servicing fees received (1) $ 123,626 $ 97,312 $ 354,535 $ 272,303 Net servicing advances (recoveries) $ 4,147 $ (15,061) $ (20,572) $ (1,271) (1) Net of guarantee fees paid to the Agencies. |
Summary of sale of loans between the Company and transferees upon sale of mortgage loans in transactions | September 30, December 31, 2018 2017 (in thousands) Unpaid principal balance of mortgage loans outstanding $ 139,305,079 $ 120,853,138 Delinquencies: 30-89 days $ 5,967,607 $ 5,097,688 90 days or more: Not in foreclosure $ 1,904,299 $ 2,303,114 In foreclosure $ 640,555 $ 606,744 Foreclosed $ 24,216 $ 30,310 Bankruptcy $ 889,814 $ 657,368 |
Summary of mortgage servicing portfolio | September 30, 2018 Contract Total Servicing servicing and mortgage rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 139,305,079 $ — $ 139,305,079 Purchased 55,619,760 — 55,619,760 194,924,839 — 194,924,839 Advised Entities — 87,226,461 87,226,461 Mortgage loans held for sale 2,352,771 — 2,352,771 $ 197,277,610 $ 87,226,461 $ 284,504,071 Subserviced for the Company (1) $ 6,459,716 $ — $ 6,459,716 Delinquent mortgage loans: 30 days $ 6,457,528 $ 596,202 $ 7,053,730 60 days 1,810,285 119,314 1,929,599 90 days or more: Not in foreclosure 2,805,375 255,766 3,061,141 In foreclosure 928,268 149,313 1,077,581 Foreclosed 35,604 193,401 229,005 $ 12,037,060 $ 1,313,996 $ 13,351,056 Bankruptcy $ 1,277,484 $ 116,207 $ 1,393,691 Custodial funds managed by the Company (2) $ 3,764,023 $ 1,203,229 $ 4,967,252 (1) Certain of the mortgage loans serviced by the Company are subserviced on the Company’s behalf by other mortgage loan servicers on a transitional basis when the Company has purchased the rights to service the loans but servicing of the loans has not yet been transferred to the Company’s servicing system. (2) Custodial funds include borrower and investor custodial cash accounts relating to mortgage loans serviced under servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns placement fees on certain of the custodial funds it manages on behalf of the mortgage loans’ investors, which are included in Interest income in the Company’s consolidated statements of income. December 31, 2017 Contract Total Servicing servicing and mortgage rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 120,853,138 $ — $ 120,853,138 Purchased 47,016,708 — 47,016,708 167,869,846 — 167,869,846 Advised Entities — 74,980,268 74,980,268 Mortgage loans held for sale 2,998,377 — 2,998,377 $ 170,868,223 $ 74,980,268 $ 245,848,491 Delinquent mortgage loans: 30 days $ 5,326,710 $ 515,922 $ 5,842,632 60 days 1,935,216 215,957 2,151,173 90 days or more: Not in foreclosure 3,690,159 541,945 4,232,104 In foreclosure 916,614 293,835 1,210,449 Foreclosed 41,244 278,890 320,134 $ 11,909,943 $ 1,846,549 $ 13,756,492 Bankruptcy $ 1,046,969 $ 176,324 $ 1,223,293 Custodial funds managed by the Company (1) $ 3,267,279 $ 901,041 $ 4,168,320 (1) Custodial funds include borrower and investor custodial cash accounts relating to mortgage loans serviced under servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns placement fees on certain of the custodial funds it manages on behalf of the mortgage loans’ investors, which are included in 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 2018 2017 (in thousands) California $ 50,009,289 $ 45,621,369 Texas 23,023,181 19,741,970 Florida 21,006,280 17,490,194 Virginia 18,308,994 16,210,673 Maryland 13,176,658 11,350,939 All other states 158,979,669 135,433,346 $ 284,504,071 $ 245,848,491 |
Fair Value (Tables)
Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Fair Value | |
Summary of financial statement items measured at estimated fair value on a recurring basis | September 30, 2018 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 145,476 $ — $ — $ 145,476 Mortgage loans held for sale at fair value — 2,051,652 365,303 2,416,955 Derivative assets: Interest rate lock commitments — — 41,075 41,075 Repurchase agreement derivatives — — 26,475 26,475 Forward purchase contracts — 821 — 821 Forward sales contracts — 16,892 — 16,892 MBS put options — 4,413 — 4,413 MBS call options — 12 — 12 Put options on interest rate futures purchase contracts 3,063 — — 3,063 Call options on interest rate futures purchase contracts 63 — — 63 Total derivative assets before netting 3,126 22,138 67,550 92,814 Netting — — — (19,196) Total derivative assets 3,126 22,138 67,550 73,618 Investment in PennyMac Mortgage Investment Trust 1,518 — — 1,518 Mortgage servicing rights at fair value — — 2,785,964 2,785,964 $ 150,120 $ 2,073,790 $ 3,218,817 $ 5,423,531 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value $ — $ — $ 223,275 $ 223,275 Derivative liabilities: Interest rate lock commitments — — 3,912 3,912 Forward purchase contracts — 29,569 — 29,569 Forward sales contracts — 2,780 — 2,780 Total derivative liabilities before netting — 32,349 3,912 36,261 Netting — — — (23,568) Total derivative liabilities — 32,349 3,912 12,693 Mortgage servicing liabilities at fair value — — 9,769 9,769 $ — $ 32,349 $ 236,956 $ 245,737 December 31, 2017 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 170,080 $ — $ — $ 170,080 Mortgage loans held for sale at fair value — 2,316,892 782,211 3,099,103 Derivative assets: Interest rate lock commitments — — 60,012 60,012 Repurchase agreement derivatives — — 10,656 10,656 Forward purchase contracts — 4,288 — 4,288 Forward sales contracts — 2,101 — 2,101 MBS put options — 3,481 — 3,481 Put options on interest rate futures purchase contracts 3,570 — — 3,570 Call options on interest rate futures purchase contracts 938 — — 938 Total derivative assets before netting 4,508 9,870 70,668 85,046 Netting — — — (6,867) Total derivative assets 4,508 9,870 70,668 78,179 Investment in PennyMac Mortgage Investment Trust 1,205 — — 1,205 Mortgage servicing rights at fair value — — 638,010 638,010 $ 175,793 $ 2,326,762 $ 1,490,889 $ 3,986,577 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value $ — $ — $ 236,534 $ 236,534 Derivative liabilities: Interest rate lock commitments — — 1,740 1,740 Forward purchase contracts — 1,272 — 1,272 Forward sales contracts — 7,031 — 7,031 Total derivative liabilities before netting — 8,303 1,740 10,043 Netting — — — (4,247) Total derivative liabilities — 8,303 1,740 5,796 Mortgage servicing liabilities at fair value — — 14,120 14,120 $ — $ 8,303 $ 252,394 $ 256,450 |
Summary of roll forward of items measured using Level 3 inputs on a recurring basis | Quarter ended September 30, 2018 Mortgage Net interest Repurchase Mortgage loans held rate lock agreement servicing for sale commitments (1) derivatives rights Total (in thousands) Assets: Balance, June 30, 2018 $ 334,166 $ 55,689 $ 25,781 $ 2,486,157 $ 2,901,793 Purchases and issuances, net 1,008,662 41,721 12,903 163,511 1,226,797 Sales and repayments (231,921) — (11,982) — (243,903) Mortgage servicing rights resulting from mortgage loan sales — — — 149,000 149,000 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 84 — — — 84 Other factors — 10,696 (227) (12,704) (2,235) 84 10,696 (227) (12,704) (2,151) Transfers from Level 3 to Level 2 (744,324) — — — (744,324) Transfers to real estate acquired in settlement of loans (1,364) — — — (1,364) Transfers of interest rate lock commitments to mortgage loans held for sale — (70,943) — — (70,943) Balance, September 30, 2018 $ 365,303 $ 37,163 $ 26,475 $ 2,785,964 $ 3,214,905 Changes in fair value recognized during the quarter relating to assets still held at September 30, 2018 $ (4,811) $ 37,163 $ — $ (12,704) $ 19,648 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended September 30, 2018 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance, June 30, 2018 $ 229,470 $ 10,253 $ 239,723 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 499 — 499 Accrual of interest 3,740 — 3,740 Repayments (11,543) — (11,543) Mortgage servicing liabilities resulting from mortgage loan sales — 1,741 1,741 Changes in fair value included in income 1,109 (2,225) (1,116) Balance, September 30, 2018 $ 223,275 $ 9,769 $ 233,044 Changes in fair value recognized during the quarter relating to liabilities still outstanding at September 30, 2018 $ 1,109 $ (2,225) $ (1,116) Quarter ended September 30, 2017 Mortgage Net interest Repurchase Mortgage loans held rate lock agreement servicing for sale commitments (1) derivatives rights Total (in thousands) Assets: Balance, June 30, 2017 $ 380,084 $ 46,158 $ — $ 678,441 $ 1,104,683 Purchases and issuances, net 499,546 83,798 469 41 583,854 Sales and repayments (306,458) — — — (306,458) Interest rate lock commitments issued, net — — — — — Mortgage servicing rights resulting from mortgage loan sales — — — 5,773 5,773 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (1,130) — — — (1,130) Other factors — 41,693 — (28,271) 13,422 (1,130) 41,693 — (28,271) 12,292 Transfers from Level 3 to Level 2 (195,802) — — — (195,802) Transfers of interest rate lock commitments to mortgage loans held for sale — (117,265) — — (117,265) Balance, September 30, 2017 $ 376,240 $ 54,384 $ 469 $ 655,984 $ 1,087,077 Changes in fair value recognized during the quarter relating to assets still held at September 30, 2017 $ (2,851) $ 54,384 $ — $ (28,271) $ 23,262 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended September 30, 2017 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance, June 30, 2017 $ 261,796 $ 18,295 $ 280,091 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 1,207 — 1,207 Accrual of interest 3,998 — 3,998 Repayments (13,410) — (13,410) Mortgage servicing liabilities resulting from mortgage loan sales — 4,071 4,071 Changes in fair value included in income (4,828) (6,290) (11,118) Balance, September 30, 2017 $ 248,763 $ 16,076 $ 264,839 Changes in fair value recognized during the quarter relating to liabilities still outstanding at September 30, 2017 $ (4,828) $ (6,290) $ (11,118) Nine months ended September 30, 2018 Mortgage Net interest Repurchase Mortgage loans held rate lock agreement servicing for sale commitments (1) derivatives rights Total (in thousands) Assets: Balance, December 31, 2017 $ 782,211 $ 58,272 $ 10,656 $ 638,010 $ 1,489,149 Reclassification of mortgage servicing rights previously accounted for under the amortization method pursuant to a change in accounting principle — — — 1,482,426 1,482,426 Balance, January 1, 2018 782,211 58,272 10,656 2,120,436 2,971,575 Purchases and issuances, net 2,480,523 157,649 36,624 193,640 2,868,436 Sales and repayments (1,122,448) — (19,460) — (1,141,908) Mortgage servicing rights resulting from mortgage loan sales — — — 448,604 448,604 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (4,944) — — — (4,944) Other factors — (28,627) (1,345) 23,284 (6,688) (4,944) (28,627) (1,345) 23,284 (11,632) Transfers from Level 3 to Level 2 (1,765,854) — — — (1,765,854) Transfers to real estate acquired in settlement of loans (4,185) — — — (4,185) Transfers of interest rate lock commitments to mortgage loans held for sale — (150,131) — — (150,131) Balance, September 30, 2018 $ 365,303 $ 37,163 $ 26,475 $ 2,785,964 $ 3,214,905 Changes in fair value recognized during the period relating to assets still held at September 30, 2018 $ (4,912) $ 37,163 $ — $ 23,284 $ 55,535 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Nine months ended September 30, 2018 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance, December 31, 2017 $ 236,534 $ 14,120 $ 250,654 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 1,983 — 1,983 Accrual of interest 11,584 — 11,584 Repayments (35,852) — (35,852) Mortgage servicing liabilities resulting from mortgage loan sales — 5,548 5,548 Changes in fair value included in income 9,026 (9,899) (873) Balance, September 30, 2018 $ 223,275 $ 9,769 $ 233,044 Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2018 $ 9,026 $ (9,899) $ (873) Nine months ended September 30, 2017 Mortgage Net interest Repurchase Mortgage loans held rate lock agreement servicing for sale commitments (1) derivatives rights Total (in thousands) Assets: Balance December 31, 2016 $ 47,271 $ 59,391 $ — $ 515,925 $ 622,587 Purchases 1,815,509 226,617 469 183,830 2,226,425 Sales and repayments (845,318) — — — (845,318) Interest rate lock commitments issued, net — — — — — Mortgage servicing rights resulting from mortgage loan sales — — — 19,702 19,702 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (6,104) — — — (6,104) Other factors — 99,425 — (63,473) 35,952 (6,104) 99,425 — (63,473) 29,848 Transfers from Level 3 to Level 2 (635,118) — — — (635,118) Transfers of interest rate lock commitments to mortgage loans held for sale — (331,049) — — (331,049) Balance, September 30, 2017 $ 376,240 $ 54,384 $ 469 $ 655,984 $ 1,087,077 Changes in fair value recognized during the year relating to assets still held at September 30, 2017 $ (3,733) $ 54,384 $ — $ (63,473) $ (12,822) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Nine months ended September 30, 2017 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance December 31, 2016 $ 288,669 $ 15,192 $ 303,861 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 4,160 — 4,160 Accrual of interest 13,011 — 13,011 Repayments (42,320) — (42,320) Mortgage servicing liabilities resulting from mortgage loan sales — 11,940 11,940 Mortgage servicing liabilities assumed — — — Changes in fair value included in income (14,757) (11,056) (25,813) Balance, September 30, 2017 $ 248,763 $ 16,076 $ 264,839 Changes in fair value recognized during the year relating to liabilities still outstanding at September 30, 2017 $ (14,757) $ (11,056) $ (25,813) |
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, 2018 2017 Net Net gains on Net Net gains on mortgage mortgage mortgage mortgage loan loans held loan loans held servicing for sale at servicing for sale at fees fair value Total fees fair value Total (in thousands) Assets: Mortgage loans held for sale at fair value $ — $ 67,709 $ 67,709 $ — $ 130,869 $ 130,869 Mortgage servicing rights at fair value (12,704) — (12,704) (28,271) — (28,271) $ (12,704) $ 67,709 $ 55,005 $ (28,271) $ 130,869 $ 102,598 Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ (1,109) $ — $ (1,109) $ 4,828 $ — $ 4,828 Mortgage servicing liabilities at fair value 2,225 — 2,225 6,290 — 6,290 $ 1,116 $ — $ 1,116 $ 11,118 $ — $ 11,118 Nine months ended September 30, 2018 2017 Net Net gains on Net Net gains on mortgage mortgage mortgage mortgage loan loans held loan loans held servicing for sale at servicing for sale at fees fair value Total fees fair value Total (in thousands) Assets: Mortgage loans held for sale at fair value $ — $ 118,452 $ 118,452 $ — $ 336,836 $ 336,836 Mortgage servicing rights at fair value 23,284 — 23,284 (63,473) — (63,473) $ 23,284 $ 118,452 $ 141,736 $ (63,473) $ 336,836 $ 273,363 Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ (9,026) $ — $ (9,026) $ 14,757 $ — $ 14,757 Mortgage servicing liabilities at fair value 9,899 — 9,899 11,056 — 11,056 $ 873 $ — $ 873 $ 25,813 $ — $ 25,813 |
Schedule of fair value and related principal amounts due upon maturity of assets and liabilities accounted for under the fair value option | September 30, 2018 December 31, 2017 Principal Principal amount amount Fair due upon Fair due upon value maturity Difference value maturity Difference (in thousands) Mortgage loans held for sale: Current through 89 days delinquent $ 2,148,919 $ 2,078,047 $ 70,872 $ 2,430,517 $ 2,326,772 $ 103,745 90 days or more delinquent: Not in foreclosure 215,712 218,623 (2,911) 614,329 614,357 (28) In foreclosure 52,324 56,101 (3,777) 54,257 57,248 (2,991) $ 2,416,955 $ 2,352,771 $ 64,184 $ 3,099,103 $ 2,998,377 $ 100,726 |
Summary of financial statement items measured at estimated fair value on a nonrecurring basis | September 30, 2018 Level 1 Level 2 Level 3 Total (in thousands) Real estate acquired in settlement of loans $ — $ — $ 2,134 $ 2,134 December 31, 2017 Level 1 Level 2 Level 3 Total (in thousands) Mortgage servicing rights at lower of amortized cost or fair value $ — $ — $ 1,463,552 $ 1,463,552 Real estate acquired in settlement of loans — — 2,355 2,355 $ — $ — $ 1,465,907 $ 1,465,907 |
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, 2018 2017 2018 2017 (in thousands) Mortgage servicing rights at lower of amortized cost or fair value $ — $ (17,270) $ — $ (33,906) Real estate acquired in settlement of loans (41) 17 (72) 102 $ (41) $ (17,253) $ (72) $ (33,804) |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items, excluding MSR purchases | Quarter ended September 30, 2018 2017 Fair Fair Amortized value value cost (Amount recognized and unpaid principal balance of underlying mortgage loans in thousands) MSR and pool characteristics: Amount recognized $ 149,000 $ 5,773 $ 153,061 Unpaid principal balance of underlying mortgage loans $ 10,790,398 $ 573,463 $ 12,184,003 Weighted average servicing fee rate (in basis points) 37 31 32 Key inputs (1): Pricing spread (2) Range 7.3% – 13.6% 7.6% – 11.2% 7.6% – 14.6% Weighted average 10.1% 10.7% 10.8% Annual total prepayment speed (3) Range 4.4% – 55.7% 3.9% – 46.8% 4.4% – 47.6% Weighted average 11.8% 13.3% 9.5% Life (in years) Range 0.5 – 11.3 1.4 – 11.4 1.5 – 11.4 Weighted average 6.9 6.3 7.9 Per-loan annual cost of servicing Range $78 – $98 $78 – $98 $79 – $98 Weighted average $92 $89 $89 (1) Weighted average inputs are based on UPB of the underlying mortgage loans. (2) 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. (3) Prepayment speed is measured using Life Total CPR. Nine months ended September 30, 2018 2017 Fair Fair Amortized value value cost (Amount recognized and unpaid principal balance of underlying mortgage loans in thousands) MSR and pool characteristics: Amount recognized $448,604 $19,702 $412,206 Unpaid principal balance of underlying mortgage loans $32,095,458 $1,873,404 $33,890,209 Weighted average servicing fee rate (in basis points) 36 31 30 Key inputs (1): Pricing spread (2) Range 7.3% – 14.1% 7.6% – 11.2% 7.6% – 15.2% Weighted average 10.2% 10.5% 10.7% Annual total prepayment speed (3) Range 3.9% – 61.8% 3.9% – 71.8% 3.4% – 47.6% Weighted average 10.6% 12.5% 9.1% Life (in years) Range 0.5 – 11.6 0.8 – 11.5 1.5 – 12.2 Weighted average 7.5 6.6 8.1 Per-loan annual cost of servicing Range $78 – $98 $78 – $101 $79 – $101 Weighted average $90 $89 $89 (1) Weighted average inputs are based on UPB of the underlying mortgage loans. (2) 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. (3) Prepayment speed is measured using Life Total CPR. |
Quantitative summary of key inputs used in the valuation of the MSRs at year end and the effect on estimated fair value from adverse changes in those inputs | September 30, 2018 December 31, 2017 Fair Fair Amortized value 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 $2,785,964 $638,010 $1,481,578 Unpaid principal balance of underlying mortgage loans $193,659,378 $51,883,539 $114,365,698 Weighted average note interest rate 3.9% 4.0% 3.8% Weighted average servicing fee rate (in basis points) 32 32 31 Key inputs (1): Pricing spread (2): Range 7.3% – 13.6% 7.6% – 14.1% 7.6% – 14.1% Weighted average 10.0% 9.8% 10.3% Effect on fair value of (3): 5% adverse change ($51,013) ($10,760) ($27,700) 10% adverse change ($100,182) ($21,155) ($54,376) 20% adverse change ($193,355) ($40,916) ($104,869) Prepayment speed (4): Range 6.9% – 41.6% 7.9% – 46.2% 7.4% – 44.1% Weighted average 8.2% 10.5% 9.7% Average life (in years): Range 1.3 – 8.5 1.2 – 7.8 2.0 – 8.3 Weighted average 8.1 6.6 7.5 Effect on fair value of (3): 5% adverse change ($36,453) ($10,809) ($23,544) 10% adverse change ($71,779) ($21,239) ($46,284) 20% adverse change ($139,263) ($41,038) ($89,514) Annual per-loan cost of servicing: Range $78 – $98 $78 – $97 $79 – $97 Weighted average $93 $89 $89 Effect on fair value of (3): 5% adverse change ($22,201) ($6,247) ($11,216) 10% adverse change ($44,402) ($12,494) ($22,431) 20% adverse change ($88,803) ($24,987) ($44,863) (1) Weighted average inputs are based on UPB of the underlying mortgage loans. (2) The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs. (3) For MSRs carried at fair value, an adverse change in one of the above-mentioned key inputs is expected to result in a reduction in fair value which would be recognized in income. For MSRs carried at lower of amortized cost or fair value, an adverse change in one of the above-mentioned key inputs may have resulted in recognition of MSR impairment. The extent of the recognized MSR impairment depended on the relationship of fair value to the carrying value of such MSRs. (4) Prepayment speed is measured using Life Total CPR. |
Mortgage servicing liabilities | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | September 30, December 31, 2018 2017 MSL and pool characteristics: Carrying value (in thousands) $ $ Unpaid principal balance of underlying mortgage loans (in thousands) $ $ Servicing fee rate (in basis points) Key inputs (1): Pricing spread (2) Prepayment speed (3) Average life (in years) Annual per-loan cost of servicing $ $ (1) Weighted average inputs are based on UPB of the underlying mortgage loans. (2) The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSLs. Prepayment speed is measured using Life Total CPR |
Excess servicing spread financing | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | September 30, December 31, 2018 2017 Carrying value (in thousands) $223,275 $236,534 ESS and pool characteristics: Unpaid principal balance of underlying mortgage loans (in thousands) $24,058,366 $27,217,199 Average servicing fee rate (in basis points) 34 34 Average excess servicing spread (in basis points) 19 19 Key inputs (1): Pricing spread (2): Range 3.4% – 3.9% 3.8% – 4.3% Weighted average 3.7% 4.1% Annualized prepayment speed (3): Range 7.6% – 38.4% 8.4% – 41.4% Weighted average 9.0% 10.8% Average life (in years): Range 1.4 – 8.0 1.4 – 7.7 Weighted average 7.1 6.5 (1) Weighted average inputs are based on UPB of the underlying mortgage loans. (2) The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to ESS. (3) 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 (1) September 30, 2018 December 31, 2017 Pull-through rate: Range 16.6% – 100% 25.0% – 100% Weighted average 85.7% 85.6% Mortgage servicing rights value expressed as: Servicing fee multiple: Range 1.6 – 5.9 1.4 – 5.8 Weighted average 4.0 4.0 Percentage of unpaid principal balance: Range 0.4% – 2.8% 0.3% – 3.0% Weighted average 1.4% 1.4% (1) Weighted average inputs are based on notional amount of IRLCs. |
Mortgage loans held for sale | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | Key inputs (1) September 30, 2018 December 31, 2017 Discount rate: Range 2.8% – 9.2% 2.9% – 10.0% Weighted average 2.9% 2.9% Twelve-month projected housing price index change: Range 3.5% – 6.1% 3.1% – 5.6% Weighted average 3.9% 3.6% Voluntary prepayment / resale speed (2): Range 0.1% – 71.0% 0.2% – 72.2% Weighted average 24.2% 44.6% Total prepayment speed (3): Range 0.1% – 72.1% 0.2% – 75.2% Weighted average 41.3% 55.8% (1) Weighted average inputs are based on fair value of mortgage loans. (2) Voluntary prepayment/resale speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”). (3) Total prepayment speed is measured using Life Total CPR. |
Mortgage Loans Held for Sale _2
Mortgage Loans Held for Sale at Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Mortgage Loans Held for Sale at Fair Value | |
Summary of mortgage loans held for sale at fair value | September 30, December 31, 2018 2017 (in thousands) Government-insured or guaranteed $ 1,892,992 $ 2,085,764 Conventional conforming 158,660 231,128 Purchased from Ginnie Mae pools serviced by the Company 354,076 777,300 Repurchased pursuant to representations and warranties 11,227 4,911 $ 2,416,955 $ 3,099,103 Fair value of mortgage loans pledged to secure: Assets sold under agreements to repurchase $ 1,841,097 $ 2,530,299 Mortgage loan participation purchase and sale agreements 547,969 551,688 $ 2,389,066 $ 3,081,987 |
Derivative Activities (Tables)
Derivative Activities (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Derivative Activities | |
Summary of derivative financial instruments | September 30, 2018 December 31, 2017 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: Not subject to master netting arrangements: Interest rate lock commitments 3,388,437 $ 41,075 $ 3,912 3,654,955 $ 60,012 $ 1,740 Repurchase agreement derivatives 26,475 — 10,656 — Used for hedging purposes: Forward purchase contracts 7,115,621 821 29,569 4,920,883 4,288 1,272 Forward sales contracts 6,711,197 16,892 2,780 5,204,796 2,101 7,031 MBS put options 4,150,000 4,413 — 4,925,000 3,481 — MBS call options 1,250,000 12 — — — — Put options on interest rate futures purchase contracts 2,225,000 3,063 — 2,125,000 3,570 — Call options on interest rate futures purchase contracts 400,000 63 — 100,000 938 — Put options on interest rate futures sales contracts 300,000 — — — — — Treasury futures purchase contracts 835,000 — — 100,000 — — Treasury futures sale contracts 1,450,000 — — — — — Interest rate swap futures purchase contracts — — — 1,400,000 — — Interest rate swap futures sales contracts 625,000 — — — — — Total derivatives before netting 92,814 36,261 85,046 10,043 Netting (19,196) (23,568) (6,867) (4,247) $ 73,618 $ 12,693 $ 78,179 $ 5,796 Deposits (received from) placed with derivative counterparties $ (4,372) $ 2,620 |
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, 2018 Amount Amount beginning of Dispositions/ end of Instrument quarter Additions expirations quarter (in thousands) Forward purchase contracts 6,617,888 47,038,415 (46,540,682) 7,115,621 Forward sale contracts 7,107,202 58,521,199 (58,917,204) 6,711,197 MBS put options 2,675,000 8,375,000 (6,900,000) 4,150,000 MBS call options — 1,250,000 — 1,250,000 Put options on interest rate futures purchase contracts 1,852,500 4,922,300 (4,549,800) 2,225,000 Call options on interest rate futures purchase contracts 800,000 950,000 (1,350,000) 400,000 Put options on interest rate futures sale contracts — 4,849,800 (4,549,800) 300,000 Call options on interest rate futures sale contracts — 1,350,000 (1,350,000) — Treasury futures purchase contracts 835,000 2,557,100 (2,557,100) 835,000 Treasury futures sale contracts 1,450,000 2,557,100 (2,557,100) 1,450,000 Interest rate swap futures purchase contracts 465,000 420,000 (885,000) — Interest rate swap futures sales contracts — 885,000 (260,000) 625,000 Quarter ended September 30, 2017 Amount Amount beginning of Dispositions/ end of Instrument quarter Additions expirations quarter (in thousands) Forward purchase contracts 7,819,706 47,723,376 (48,242,564) 7,300,518 Forward sale contracts 7,641,979 61,239,459 (61,296,545) 7,584,893 MBS put options 6,075,000 6,825,000 (7,250,000) 5,650,000 MBS call options — 7,900,000 (7,250,000) 650,000 Put options on interest rate futures purchase contracts 1,250,000 2,950,000 (3,175,000) 1,025,000 Call options on interest rate futures purchase contracts 200,000 125,000 (200,000) 125,000 Put options on interest rate futures sale contracts 200,000 2,975,000 (3,175,000) — Call options on interest rate futures sale contracts — 325,000 (200,000) 125,000 Treasury futures purchase contracts — 46,500 (46,500) — Treasury futures sale contracts — 46,500 (46,500) — Interest rate swap futures purchase contracts 325,000 1,075,000 — 1,400,000 Interest rate swap futures sale contracts — — — — Nine months ended September 30, 2018 Amount Amount beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts 4,920,883 140,158,865 (137,964,127) 7,115,621 Forward sale contracts 5,204,796 174,562,881 (173,056,480) 6,711,197 MBS put options 4,925,000 17,250,000 (18,025,000) 4,150,000 MBS call options — 12,375,000 (11,125,000) 1,250,000 Put options on interest rate futures purchase contracts 2,125,000 16,624,800 (16,524,800) 2,225,000 Call options on interest rate futures purchase contracts 100,000 2,400,000 (2,100,000) 400,000 Put options on interest rate futures sale contracts — 16,824,800 (16,524,800) 300,000 Call options on interest rate futures sale contracts — 2,100,000 (2,100,000) — Treasury futures purchase contracts 100,000 7,453,300 (6,718,300) 835,000 Treasury futures sale contracts — 8,829,600 (7,379,600) 1,450,000 Interest rate swap futures purchase contracts 1,400,000 885,000 (2,285,000) — Interest rate swap futures sales contracts — 2,285,000 (1,660,000) 625,000 Nine months ended September 30, 2017 Amount Amount beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts 12,746,191 136,663,951 (142,109,624) 7,300,518 Forward sale contracts 16,577,942 169,173,906 (178,166,955) 7,584,893 MBS put options 1,175,000 19,675,000 (15,200,000) 5,650,000 MBS call options 1,600,000 12,100,000 (13,050,000) 650,000 Put options on interest rate futures purchase contracts 1,125,000 7,410,000 (7,510,000) 1,025,000 Call options on interest rate futures purchase contracts 900,000 1,614,300 (2,389,300) 125,000 Put options on interest rate futures sale contracts — 7,510,000 (7,510,000) — Call options on interest rate futures sales contracts — 2,514,300 (2,389,300) 125,000 Treasury futures purchase contracts — 212,600 (212,600) — Treasury futures sale contracts — 212,600 (212,600) — Interest rate swap futures purchase contracts 200,000 1,600,000 (400,000) 1,400,000 Interest rate swap futures sales contracts — 400,000 (400,000) — |
Summaries of derivative assets and related netting amounts | September 30, 2018 December 31, 2017 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 not subject to master netting arrangements: Interest rate lock commitments $ 41,075 $ — $ 41,075 $ 60,012 $ — $ 60,012 Repurchase agreement derivatives 26,475 — 26,475 10,656 — 10,656 67,550 — 67,550 70,668 — 70,668 Derivatives subject to master netting arrangements: Forward purchase contracts 821 — 821 4,288 — 4,288 Forward sale contracts 16,892 — 16,892 2,101 — 2,101 MBS put options 4,413 — 4,413 3,481 — 3,481 MBS call options 12 — 12 — — — Put options on interest rate futures purchase contracts 3,063 — 3,063 3,570 — 3,570 Call options on interest rate futures purchase contracts 63 — 63 938 — 938 Netting — (19,196) (19,196) — (6,867) (6,867) 25,264 (19,196) 6,068 14,378 (6,867) 7,511 $ 92,814 $ (19,196) $ 73,618 $ 85,046 $ (6,867) $ 78,179 |
Summary of the amount of derivative asset positions by significant counterparty after considering master netting arrangements and financial instruments or cash pledged | September 30, 2018 December 31, 2017 Gross amount not Gross amount not offset in the offset in the consolidated consolidated Net amount balance sheet Net amount balance sheet 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 $ 41,075 $ — $ — $ 41,075 $ 60,012 $ — $ — $ 60,012 Deutsche Bank 26,475 — — 26,475 10,656 — — 10,656 RJ O'Brien 3,125 — — 3,125 4,508 — — 4,508 Citibank, N.A. 1,222 — — 1,222 — — — — Goldman Sachs 646 — — 646 540 — — 540 Morgan Stanley Bank, N.A. — — 587 — — — — Federal National Mortgage Association — — — — 1,092 — — 1,092 JPMorgan Chase Bank, N.A. — — — — 267 — — 267 Others 488 — — 488 1,104 — — 1,104 $ 73,618 $ — $ — $ 73,618 $ 78,179 $ — $ — $ 78,179 |
Summary of net derivative liabilities and assets sold under agreements to repurchase and related netting amounts | September 30, 2018 December 31, 2017 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 not subject to master netting arrangements – Interest rate lock commitments $ 3,912 $ — $ 3,912 $ 1,740 $ — $ 1,740 Derivatives subject to a master netting arrangement: Forward purchase contracts 29,569 — 29,569 1,272 — 1,272 Forward sale contracts 2,780 — 2,780 7,031 — 7,031 Netting — (23,568) (23,568) — (4,247) (4,247) 32,349 (23,568) 8,781 8,303 (4,247) 4,056 Total derivatives 36,261 (23,568) 12,693 10,043 (4,247) 5,796 Mortgage loans sold under agreements to repurchase: Amount outstanding 1,738,839 — 1,738,839 2,380,866 — 2,380,866 Unamortized premiums and debt issuance costs, net 799 — 799 672 — 672 1,739,638 — 1,739,638 2,381,538 — 2,381,538 $ 1,775,899 $ (23,568) $ 1,752,331 $ 2,391,581 $ (4,247) $ 2,387,334 |
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, 2018 December 31, 2017 Gross amounts Gross amounts not offset in the not offset in the Net amount consolidated Net amount consolidated of liabilities balance sheet of liabilities balance sheet in the Cash in the Cash consolidated Financial collateral Net consolidated Financial collateral Net balance sheet instruments pledged amount balance sheet instruments pledged amount (in thousands) Interest rate lock commitments $ 3,912 $ — $ — $ 3,912 $ 1,740 $ — $ — $ 1,740 Credit Suisse First Boston Mortgage Capital LLC 628,815 (628,815) — — 1,010,562 (1,010,320) — 242 Deutsche Bank 598,392 (598,392) — — 593,864 (593,864) — — Bank of America, N.A. 253,272 (247,572) — 5,700 406,787 (406,355) — 432 BNP Paribas 81,163 (81,163) — — 87,753 (87,753) — — Morgan Stanley Bank, N.A. 71,210 (71,210) — — 139,491 (138,983) — 508 JPMorgan Chase Bank, N.A. 59,826 (58,780) — 1,046 90,442 (90,442) — — Royal Bank of Canada 33,465 (33,465) — — 24,835 (23,752) — 1,083 Citibank, N.A. 19,442 (19,442) — — 23,010 (23,010) — — Barclays Capital 388 — — 388 6,387 (6,387) — — Others 1,647 — — 1,647 1,791 — — 1,791 $ 1,751,532 $ (1,738,839) $ — $ 12,693 $ 2,386,662 $ (2,380,866) $ — $ 5,796 |
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, Derivative activity Income statement line 2018 2017 2018 2017 (in thousands) Interest rate lock commitments Net gains on mortgage loans held for sale $ (18,526) $ 8,226 $ (21,109) $ (5,008) Repurchase agreement derivative Interest expense $ (227) $ — $ (1,345) $ — Hedged item: Interest rate lock commitments and mortgage loans held for sale Net gains on mortgage loans held for sale $ 10,820 $ (26,981) $ 100,422 $ (27,191) Mortgage servicing rights Net mortgage loan servicing fees – Amortization, impairment and change in fair value of mortgage servicing rights and mortgage servicing liabilities $ (52,971) $ 7,174 $ (180,853) $ (17,018) |
Carried Interest Due from Inv_2
Carried Interest Due from Investment Funds (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 2017 2018 2017 (in thousands) Balance at beginning of period $ 370 $ 71,019 $ 8,552 $ 70,906 Carried Interest recognized during the period (17) (1,158) (365) (1,045) Cash received during the period (353) (61,314) (8,187) (61,314) Balance at end of period $ — $ 8,547 $ — $ 8,547 |
Mortgage Servicing Rights and_2
Mortgage Servicing Rights and Mortgage Servicing Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Mortgage Servicing Rights and Mortgage Servicing Liabilities | |
Schedule of activity in MSRs carried at fair value | Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Balance at beginning of period $ 2,486,157 $ 678,441 $ 638,010 $ 515,925 Reclassification of mortgage servicing rights previously accounted for under the amortization method pursuant to a change in accounting principle — — 1,482,426 — Balance after reclassification 2,486,157 678,441 2,120,436 515,925 Additions: Purchases 163,511 41 193,640 183,830 Mortgage servicing rights resulting from mortgage loan sales 149,000 5,773 448,604 19,702 312,511 5,814 642,244 203,532 Change in fair value due to: Changes in inputs used in valuation model (1) 64,293 (4,857) 239,538 (4,453) Other changes in fair value (2) (76,997) (23,414) (216,254) (59,020) Total change in fair value (12,704) (28,271) 23,284 (63,473) Balance at end of period $ 2,785,964 $ 655,984 $ 2,785,964 $ 655,984 September 30, December 31, 2018 2017 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and Notes payable $ 2,539,575 $ 630,711 (1) Principally reflects changes in discount rate and prepayment speed inputs, primarily due to changes in market interest rates, and changes in expected borrower performance and servicer losses given default. (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 Nine months ended September 30, September 30, 2017 2018 2017 Amortized cost: Balance at beginning of period $ 1,384,741 $ 1,583,378 $ 1,206,694 Transfer of mortgage servicing rights to mortgage servicing rights carried at fair value pursuant to a change in accounting principle — (1,583,378) — Balance after reclassification 1,384,741 — 1,206,694 Mortgage servicing rights resulting from mortgage loan sales 153,061 — 412,206 Amortization (48,448) — (129,546) Balance at end of period 1,489,354 — 1,489,354 Valuation allowance: Balance at beginning of period (111,583) (101,800) (94,947) Reduction resulting from transfer of mortgage servicing rights to mortgage servicing rights carried at fair value pursuant to a change in accounting principle — 101,800 — Balance after reclassification (111,583) — (94,947) Increase in valuation allowance (17,270) — (33,906) Balance at end of period (128,853) — (128,853) Mortgage servicing rights, net at end of period $ 1,360,501 $ — $ 1,360,501 Fair value of mortgage servicing rights at: Beginning of period $ 1,273,364 $ 1,112,302 End of period $ 1,360,578 December 31, 2017 (in thousands) Fair value of mortgage servicing rights pledged to secure assets sold under agreements to repurchase and note payable $ 1,467,356 |
Schedule of activity in mortgage servicing liability carried at fair value | Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Balance at beginning of period $ 10,253 $ 18,295 $ 14,120 $ 15,192 Mortgage servicing liabilities resulting from mortgage loan sales 1,741 4,071 5,548 11,940 Changes in fair value due to: Changes in valuation inputs used in valuation model (1) 3,410 (176) 8,590 7,819 Other changes in fair value (2) (5,635) (6,114) (18,489) (18,875) Total change in fair value (2,225) (6,290) (9,899) (11,056) Balance at end of period $ 9,769 $ 16,076 $ 9,769 $ 16,076 (1) Principally reflects changes in expected borrower performance and servicer losses given default. (2) Represents changes due to realization of cash flows. |
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, 2018 2017 2018 2017 (in thousands) Contractual servicing fees $ 147,182 $ 126,416 $ 421,536 $ 345,231 Ancillary and other fees: Late charges 5,087 6,326 19,595 18,915 Other 1,244 1,270 4,620 3,296 $ 153,513 $ 134,012 $ 445,751 $ 367,442 |
Borrowings (Tables)
Borrowings (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Borrowings | |
Summary of financial data pertaining to assets sold under agreements to repurchase | Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ 1,563,053 $ 1,960,332 $ 1,618,008 $ 1,854,786 Weighted average interest rate (1) 3.91 % 3.23 % 3.72 % 3.15 % Total interest expense (2) $ 4,676 $ 19,203 $ 15,943 $ 52,249 Maximum daily amount outstanding $ 2,201,880 $ 2,564,756 $ 2,380,121 $ 2,581,199 September 30, December 31, 2018 2017 (dollars in thousands) Carrying value: Unpaid principal balance $ 1,738,839 $ 2,380,866 Unamortized premiums and debt issuance costs, net 799 672 $ 1,739,638 $ 2,381,538 Weighted average interest rate 3.93 % 3.24 % Available borrowing capacity (3): Committed $ 449,370 $ 316,503 Uncommitted 2,796,791 2,257,631 $ 3,246,161 $ 2,574,134 Fair value of assets securing repurchase agreements: Mortgage loans held for sale $ 1,841,097 $ 2,530,299 Servicing advances (4) $ 102,222 $ 114,643 Mortgage servicing rights (4) $ 2,539,575 $ 2,098,067 Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 133,128 $ 144,128 Margin deposits placed with counterparties (5) $ 3,750 $ 3,750 (1) Excludes the effect of amortization of net premiums totaling $10.9 million and $29.7 million for the quarter and nine months ended September 30, 2018, respectively, and commitment fees and issuance costs totaling $3.0 million and $7.9 million for the quarter and nine months ended September 30, 2017, respectively. (2) In 2017, PFSI entered into a master repurchase agreement that provides the Company with incentives to finance mortgage loans approved for satisfying certain consumer relief characteristics as provided in the agreement. The Company included $12.8 million and $35.5 million of such incentives as a reduction in Interest expense during the quarter and nine months ended September 30, 2018, respectively. The master repurchase agreement is subject to a rolling six-month term through August 21, 2019, unless terminated earlier at the option of the lender. There can be no assurance that the lender will not terminate this agreement before its stated maturity. (3) The amount the Company is able to borrow under asset repurchase agreements is tied to the fair value of unencumbered assets eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the assets financed. (4) Beneficial interests in the Ginnie Mae MSRs and servicing advances are pledged to the Issuer Trust and together serve as the collateral backing the VFN, 2018-GT1 Notes and 2018-GT2 Notes. Financing of the VFN is included in Assets sold under agreements to repurchase and 2018-GT1 Notes and 2018-GT2 Notes are included in Notes payable on the Company's consolidated balance sheet. (5) Margin deposits are included in Other assets on the Company’s consolidated balance sheet. |
Summary of maturities of outstanding advances under repurchase agreements by maturity date | Remaining maturity at September 30, 2018 Balance (dollars in thousands) Within 30 days $ 444,530 Over 30 to 90 days 1,239,074 Over 90 to 180 days 5,235 Over one to two years 50,000 Total assets sold under agreements to repurchase $ 1,738,839 Weighted average maturity (in months) 2.3 |
Summary of amount at risk relating to the assets 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 $ 1,290,904 April 26, 2020 April 26, 2020 Credit Suisse First Boston Mortgage Capital LLC $ 33,078 October 24, 2018 April 26, 2019 Deutsche Bank AG $ 84,185 December 19, 2018 August 21, 2019 Bank of America, N.A. $ 17,796 October 12, 2018 October 12, 2018 JP Morgan Chase Bank, N.A. $ 4,937 October 12, 2018 October 12, 2018 Morgan Stanley Bank, N.A. $ 4,656 December 19, 2018 August 23, 2019 BNP Paribas $ 4,384 November 16, 2018 November 16, 2018 Royal Bank of Canada $ 1,704 November 6, 2018 December 31, 2018 Citibank, N.A. $ 783 December 21, 2018 June 7, 2019 |
Summary of mortgage loan participations | Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (dollars in thousands) Average balance $ 289,008 $ 213,486 $ 250,599 $ 200,119 Weighted average interest rate (1) 3.31 % 2.48 % 3.14 % 2.25 % Total interest expense $ 2,533 $ 1,484 $ 6,450 $ 3,780 Maximum daily amount outstanding $ 722,611 $ 532,266 $ 722,611 $ 532,266 (1) Excludes the effect of amortization of facility fees totaling $92,000 and $134,000 for the quarters ended September 30, 2018 and 2017, respectively, and $475,000 and $365,000 for the nine months ended September 30, 2018 and 2017, respectively. September 30, December 31, 2018 2017 (dollars in thousands) Carrying value: Unpaid principal balance $ 524,686 $ 527,706 Unamortized debt issuance costs (19) (311) $ 524,667 $ 527,395 Weighted average interest rate 3.51 % 2.81 % Fair value of mortgage loans pledged to secure mortgage loan participation purchase and sale agreements $ 547,969 $ 551,688 |
Summary of note payable | Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (dollars in thousands) Average balance $ 1,234,783 $ 689,417 $ 1,125,458 $ 483,370 Weighted average interest rate (1) 5.07 % 5.85 % 5.29 % 5.87 % Total interest expense $ 21,369 $ 11,747 $ 55,939 $ 24,746 Maximum daily amount outstanding $ 1,300,000 $ 890,879 $ 1,300,000 $ 891,011 (1) Excluding the effect of amortization of debt issuance costs totaling $5. 2 million and $1.2 million for the quarters ended September 30, 2018 and 2017, respectively, and $10. 3 million and $3.2 million for the nine months ended September 30, 2018 and 2017, respectively. Also excludes the effect of non-utilization fees of $179,000 and $562,000 for the quarter and nine months ended September 30, 2018, respectively. September 30, December 31, 2018 2017 (dollars in thousands) Carrying value: Unpaid principal balance $ 1,300,000 $ 900,006 Unamortized debt issuance costs (8,153) (8,501) $ 1,291,847 $ 891,505 Weighted average interest rate 4.82 % 5.66 % Unused amount $ 150,000 $ 280,000 Assets pledged to secure notes payable: Cash $ 81,640 $ 20,765 Other assets ‒ Carried Interest $ — $ 8,552 Servicing advances (1) $ 102,222 $ 114,643 Mortgage servicing rights (1) $ 2,539,575 $ 2,098,067 (1) Beneficial interests in the Ginnie Mae MSRs and servicing advances are pledged to the Issuer Trust and together serve as the collateral backing the VFN, 2018-GT1 Notes and 2018-GT2 Notes. Financing of the VFN is included in Assets sold under agreements to repurchase and 2018-GT1 Notes and 2018-GT2 Notes are included in Notes payable on the Company's consolidated balance sheet. |
Summary of obligations under capital lease | Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (dollars in thousands) Average balance $ 11,615 $ 25,507 $ 15,187 $ 25,573 Weighted average interest rate 4.09 % 3.25 % 3.87 % 3.01 % Total interest expense $ 122 $ 205 $ 444 $ 585 Maximum daily amount outstanding $ 13,032 $ 26,641 $ 20,971 $ 30,044 September 30, December 31, 2018 2017 (in thousands) Unpaid principal balance $ 9,630 $ 20,971 Weighted average interest rate 4.16 % 3.26 % Assets pledged to secure obligations under capital lease: Furniture, fixtures and equipment $ 19,022 $ 23,915 Capitalized software $ 1,231 $ 1,568 |
Summary of roll forward of Excess Servicing Spread Financing | Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Balance at beginning of period $ 229,470 $ 261,796 $ 236,534 $ 288,669 Issuances of excess servicing spread to PennyMac Mortgage Investment Trust pursuant to recapture agreement 499 1,207 1,983 4,160 Accrual of interest 3,740 3,998 11,584 13,011 Repayment (11,543) (13,410) (35,852) (42,320) Change in fair value 1,109 (4,828) 9,026 (14,757) Balance at end of period $ 223,275 $ 248,763 $ 223,275 $ 248,763 |
Liability for Losses Under Re_2
Liability for Losses Under Representations and Warranties (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Liability for Losses Under Representations and Warranties | |
Summary of repurchase activity | Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Balance at beginning of period $ 20,587 $ 19,568 $ 20,053 $ 19,067 Provision for losses on mortgage loans sold: Resulting from sales of mortgage loans 1,842 1,596 4,550 4,294 Reduction in liability due to change in estimate (1,155) (1,194) (3,627) (3,086) (Incurred losses) recoveries , net (252) (297) 46 (602) Balance at end of period $ 21,022 $ 19,673 $ 21,022 $ 19,673 Unpaid principal balance of mortgage loans subject to representations and warranties at end of period $ 139,315,779 $ 114,531,205 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Commitments and Contingencies. | |
Summary of future minimum lease payments | Twelve months ended September 30, Future minimum lease payments (in thousands) 2019 $ 15,243 2020 15,367 2021 12,967 2022 10,487 2023 9,572 Thereafter 25,538 $ 89,174 |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Stockholders' Equity. | |
Summary of share repurchase activity | Quarter ended September 30, Nine months ended September 30, Cumulative 2018 2017 2018 2017 total (1) (in thousands) Shares of Class A common stock repurchased — 505 236 505 741 Cost of shares of Class A common stock repurchased $ — $ 8,599 $ 4,826 $ 8,599 $ 13,425 (1) Amounts represent the total shares of Class A common stock repurchased under the Repurchase Program through September 30, 2018. |
Noncontrolling Interest (Tables
Noncontrolling Interest (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Noncontrolling Interest. | |
Noncontrolling Interest | Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Net income attributable to PennyMac Financial Services, Inc. common stockholders $ 14,489 $ 17,081 $ 48,945 $ 38,439 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 common stock of PennyMac Financial Services, Inc. $ 4,377 $ 3,656 $ 32,501 $ 20,583 Shares of Class A common stock of PennyMac Financial Services, Inc. issued pursuant to exchange of Class A units of Private National Mortgage Acceptance Company, LLC by noncontrolling interest unitholders and issued as equity compensation 131 251 1,616 1,297 September 30, December 31, 2018 2017 Percentage of noncontrolling interest in Private National Mortgage Acceptance Company, LLC 67.5 % 69.2 % |
Net Gains on Mortgage Loans H_2
Net Gains on Mortgage Loans Held for Sale (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 2017 2018 2017 (in thousands) From non-affiliates: Cash (loss) gain: Mortgage loans $ (107,414) $ (40,747) $ (399,457) $ (98,408) Hedging activities (2,507) (14,592) 89,322 (8,168) (109,921) (55,339) (310,135) (106,576) Non-cash gain: Mortgage servicing rights and mortgage servicing liabilities resulting from mortgage loan sales 147,259 154,763 443,056 419,968 Provision for losses relating to representations and warranties: Pursuant to mortgage loan sales (1,842) (1,596) (4,550) (4,294) Reduction in liability due to change in estimate 1,155 1,194 3,627 3,086 Change in fair value relating to mortgage loans and hedging derivatives held at quarter end: Interest rate lock commitments (18,526) 8,226 (21,109) (5,008) Mortgage loans 6,897 3,376 21,407 (2,554) Hedging derivatives 13,327 (12,389) 11,100 (19,023) 38,349 98,235 143,396 285,599 From PennyMac Mortgage Investment Trust 18,565 9,901 45,878 7,584 $ 56,914 $ 108,136 $ 189,274 $ 293,183 |
Net Interest Income (Expense) (
Net Interest Income (Expense) (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Net Interest Income (Expense) | |
Summary of net interest income (expense) | Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Interest income: From non-affiliates: Short-term investments $ 814 $ 733 $ 2,001 $ 1,727 Mortgage loans held for sale at fair value 34,941 28,199 95,982 68,528 Placement fees relating to custodial funds 23,397 13,394 55,014 27,073 59,152 42,326 152,997 97,328 From PennyMac Mortgage Investment Trust—Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell 1,812 2,116 5,686 5,946 60,964 44,442 158,683 103,274 Interest expense: To non-affiliates: Assets sold under agreements to repurchase (1) 4,676 19,203 15,943 52,249 Mortgage loan participation purchase and sale agreements 2,533 1,484 6,450 3,780 Notes payable 21,369 11,747 55,939 24,746 Obligations under capital lease 122 205 444 585 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 4,883 4,602 14,259 11,529 Interest on mortgage loan impound deposits 1,452 1,253 3,517 2,943 35,035 38,494 96,552 95,832 To PennyMac Mortgage Investment Trust—Excess servicing spread financing at fair value 3,740 3,998 11,584 13,011 38,775 42,492 108,136 108,843 $ 22,189 $ 1,950 $ 50,547 $ (5,569) In 2017, the Company entered into a master repurchase agreement that provides the Company with incentives to finance mortgage loans approved for satisfying certain consumer relief characteristics as provided in the agreement. The Company included $12.8 million and $35.5 million of such incentives as a reduction in Interest expense during the quarter and nine months ended September 30, 2018, respectively. The master repurchase agreement is subject to a rolling six-month term through August 21, 2019, unless terminated earlier at the option of the lender. There can be no assurance that the lender will not terminate this agreement before its stated maturity. |
Stock-based Compensation (Table
Stock-based Compensation (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Stock-based Compensation | |
Summary of the stock-based compensation activity | Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands) Grants: Units: Performance-based RSUs — — 524 694 Stock options — — 674 861 Time-based RSUs 5 3 321 408 Grant date fair value: Performance-based RSUs $ — $ — $ 12,791 $ 12,512 Stock options — — 6,147 5,772 Time-based RSUs 100 58 7,803 7,359 Total $ 100 $ 58 $ 26,741 $ 25,643 Vestings and exercises: Performance-based RSUs vested — — 774 446 Stock options exercised 55 9 285 34 Time-based RSUs vested 1 4 245 165 Compensation expense $ 8,532 $ 4,243 $ 20,766 $ 14,633 |
Earnings Per Share of Common _2
Earnings Per Share of Common Stock (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Earnings Per Share of Common Stock | |
Summary of basic and diluted earnings per share calculations | Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands, except per share amounts) Basic earnings per share of common stock: Net income attributable to common stockholders $ 14,489 $ 17,081 $ 48,945 $ 38,439 Weighted average shares of common stock outstanding 25,125 23,426 24,644 23,147 Basic earnings per share of common stock $ 0.58 $ 0.73 $ 1.99 $ 1.66 Diluted earnings per share of common stock: Net income attributable to common stockholders $ 14,489 $ 17,081 $ 48,945 $ 38,439 Net income attributable to dilutive stock-based compensation units 552 888 2,435 1,816 Effect of net income attributable to PennyMac Class A units exchangeable to Class A common stock, net of income taxes 29,580 37,996 101,921 86,473 Net income attributable to common stockholders for diluted earnings per share $ 44,621 $ 55,965 $ 153,301 $ 126,728 Weighted average shares of common stock outstanding applicable to basic earnings per share 25,125 23,426 24,644 23,147 Effect of dilutive shares: Common shares issuable under stock-based compensation plan 1,476 1,751 1,818 1,684 PennyMac Class A units exchangeable to Class A common stock 52,312 53,239 52,492 53,400 Weighted average shares of common stock applicable to diluted earnings per share 78,913 78,416 78,954 78,231 Diluted earnings per share of common stock $ 0.57 $ 0.71 $ 1.94 $ 1.62 |
Schedule of anti-dilutive shares outstanding | Quarter ended September 30, Nine months ended September 30, 2018 2017 2018 2017 (in thousands except for weighted-average exercise price) Performance-based RSUs (1) 1,172 — 1,060 475 Time-based RSUs 86 1 68 1 Stock options (2) 1,208 2,622 705 2,434 Total anti-dilutive stock-based compensation units 2,466 2,623 1,833 2,910 Weighted average exercise price of anti-dilutive stock options (2) $ 17.79 $ 16.39 $ 17.79 $ 16.39 (1) Certain performance-based RSUs were outstanding but not included in the computation of earnings per share because the performance thresholds included in such RSUs have not been achieved. Certain stock options were outstanding but not included in the computation of diluted earnings per share because the weighted-average exercise prices were above the average stock price for the period. |
Supplemental Cash Flow Inform_2
Supplemental Cash Flow Information (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Supplemental Cash Flow Information | |
Schedule of supplemental cash flow information | Nine months ended September 30, 2018 2017 (in thousands) Cash paid for interest $ 123,622 $ 115,710 (Refunds received) cash paid for income taxes, net $ (1,541) $ 41 Non-cash investing activity: Mortgage servicing rights resulting from mortgage loan sales $ 448,604 $ 431,908 Mortgage servicing liabilities resulting from mortgage loan sales $ 5,548 $ 11,940 Unsettled portion of MSR acquisitions $ 13,501 $ 16,364 Non-cash financing activity: Transfer of E xcess servicing spread payable to PennyMac Mortgage Investment Trust pursuant to a recapture agreement $ 1,983 $ 4,160 Issuance of Class A common stock in settlement of director fees $ 245 $ 253 |
Regulatory Capital and Liquid_2
Regulatory Capital and Liquidity Requirements (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Regulatory Capital and Liquidity Requirements | |
Summary of agencies' capital and liquidity requirements by each agency | September 30, 2018 December 31, 2017 Agency–company subject to requirement Actual (1) Requirement (1) Actual (1) Requirement (1) (dollars in thousands) Capital Fannie Mae & Freddie Mac – PLS $ 1,749,912 $ 495,694 $ 1,561,977 $ 429,671 Ginnie Mae – PLS $ 1,520,550 $ 698,354 $ 1,307,580 $ 674,133 Ginnie Mae – PennyMac $ 1,755,669 $ 768,190 $ 1,511,201 $ 741,574 HUD – PLS $ 1,520,550 $ 2,500 $ 1,307,580 $ 2,500 Liquidity Fannie Mae & Freddie Mac – PLS $ 243,827 $ 68,224 $ 196,415 $ 58,754 Ginnie Mae – PLS $ 243,827 $ 181,852 $ 196,415 $ 153,431 Tangible net worth / Total assets ratio Fannie Mae & Freddie Mac – PLS 22 % 6 % % % (1) Calculated in compliance with the respective Agency’s requirements. |
Segments and Related Informat_2
Segments and Related Information (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Segments and Related Information | |
Summary of financial highlights by segment | Quarter ended September 30, 2018 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net mortgage loan servicing fees $ — $ 109,703 $ 109,703 $ — $ 109,703 Net gains on mortgage loans held for sale at fair value 34,947 21,967 56,914 — 56,914 Mortgage loan origination fees 26,485 — 26,485 — 26,485 Fulfillment fees from PennyMac Mortgage Investment Trust 26,256 — 26,256 — 26,256 Net interest income (expense): Interest income 17,013 43,935 60,948 16 60,964 Interest expense 1,274 37,491 38,765 10 38,775 15,739 6,444 22,183 6 22,189 Management fees — — — 6,471 6,471 Carried Interest from Investment Funds — — — (17) (17) Other 645 805 1,450 1,478 2,928 Total net revenue 104,072 138,919 242,991 7,938 250,929 Expenses 78,405 105,346 183,751 5,481 189,232 Income before provision for income taxes $ 25,667 $ 33,573 $ 59,240 $ 2,457 $ 61,697 Segment assets at quarter end (2) $ 2,168,126 $ 4,812,898 $ 6,981,024 $ 11,996 $ 6,993,020 (1) All revenues are from external customers. (2) Excludes parent Company assets, which consist primarily of working capital of $1.8 million and includes receivable from parent Company of $2.3 million. Quarter ended September 30, 2017 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net mortgage loan servicing fees $ — $ 78,081 $ 78,081 $ — $ 78,081 Net gains on mortgage loans held for sale at fair value 79,983 28,153 108,136 — 108,136 Mortgage loan origination fees 33,168 — 33,168 — 33,168 Fulfillment fees from PennyMac Mortgage Investment Trust 23,507 — 23,507 — 23,507 Net interest income (expense): Interest income 17,651 26,791 44,442 — 44,442 Interest expense 12,355 30,124 42,479 13 42,492 5,296 (3,333) 1,963 (13) 1,950 Management fees — — — 6,216 6,216 Carried Interest from Investment Funds — — — (1,158) (1,158) Other 235 525 760 (25) 735 Total net revenue 142,189 103,426 245,615 5,020 250,635 Expenses 73,231 78,955 152,186 4,305 156,491 Income before provision for income taxes $ 68,958 $ 24,471 $ 93,429 $ 715 $ 94,144 Segment assets at quarter end (2) $ 2,737,666 $ 3,628,689 $ 6,366,355 $ 20,369 $ 6,386,724 (1) All revenues are from external customers. (2) Excludes parent Company assets, which consist primarily of working capital of $1.6 million. Nine months ended September 30, 2018 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net mortgage loan servicing fees $ — $ 340,181 $ 340,181 $ — $ 340,181 Net gains on mortgage loans held for sale at fair value 105,111 84,163 189,274 — 189,274 Mortgage loan origination fees 75,476 — 75,476 — 75,476 Fulfillment fees from PennyMac Mortgage Investment Trust 52,759 — 52,759 — 52,759 Net interest income (expense): Interest income 48,135 110,532 158,667 16 158,683 Interest expense 4,401 103,694 108,095 41 108,136 43,734 6,838 50,572 (25) 50,547 Management fees — — — 17,910 17,910 Carried Interest from Investment Funds — — — (365) (365) Other 1,497 1,928 3,425 4,221 7,646 Total net revenue 278,577 433,110 711,687 21,741 733,428 Expenses 216,722 290,094 506,816 17,221 524,037 Income before provision for income taxes $ 61,855 $ 143,016 $ 204,871 $ 4,520 $ 209,391 Segment assets at period end (2) $ 2,168,126 $ 4,812,898 $ 6,981,024 $ 11,996 $ 6,993,020 (1) All revenues are from external customers. (2) Excludes parent Company assets, which consist primarily of working capital of $1.8 million and includes receivable from parent Company of $2.3 million. Nine months ended September 30, 2017 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net mortgage loan servicing fees $ — $ 199,157 $ 199,157 $ — $ 199,157 Net gains on mortgage loans held for sale at fair value 217,526 75,657 293,183 — 293,183 Mortgage loan origination fees 88,935 — 88,935 — 88,935 Fulfillment fees from PennyMac Mortgage Investment Trust 61,184 — 61,184 — 61,184 Net interest income (expense): Interest income 45,866 57,408 103,274 — 103,274 Interest expense 32,507 76,299 108,806 37 108,843 13,359 (18,891) (5,532) (37) (5,569) Management fees — — — 17,597 17,597 Carried Interest from Investment Funds — — — (1,045) (1,045) Other 1,711 1,442 3,153 234 3,387 Total net revenue 382,715 257,365 640,080 16,749 656,829 Expenses 199,547 230,691 430,238 12,455 442,693 Income before provision for income taxes $ 183,168 $ 26,674 $ 209,842 $ 4,294 $ 214,136 Segment assets at period end (2) $ 2,737,666 $ 3,628,689 $ 6,366,355 $ 20,369 $ 6,386,724 (1) All revenues are from external customers. Excludes parent Company assets, which consist primarily of working capital of $1.6 million. |
Basis of Presentation and Acc_3
Basis of Presentation and Accounting Developments - Mortgage Servicing Rights (Details) - USD ($) | 9 Months Ended | |||||||
Sep. 30, 2018 | Jun. 30, 2018 | Jan. 02, 2018 | Jan. 01, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 | |
Recently Issued Accounting Pronouncements | ||||||||
Mortgage servicing rights | $ 2,785,964,000 | $ 2,119,588,000 | ||||||
Income taxes payable | 74,158,000 | 52,160,000 | ||||||
Stockholders' equity | $ 1,916,710,000 | $ 1,861,944,000 | $ 1,719,674,000 | $ 1,590,291,000 | $ 1,511,252,000 | $ 1,399,356,000 | ||
Fulfillment Fees | ||||||||
Number of days from purchase fulfillment fees are collected | 30 days | |||||||
Management fees | ||||||||
The period from quarter end that management fees are collected | 30 days | |||||||
Adjustment | Accounting Standards Codification 250 Mortgage Servicing Rights Fair Value | ||||||||
Recently Issued Accounting Pronouncements | ||||||||
Mortgage servicing rights | $ 848,000 | |||||||
Income taxes payable | $ 72,000 | |||||||
Stockholders' equity | $ 776,000 |
Basis of Presentation and Acc_4
Basis of Presentation and Accounting Developments - Revenue Recognition (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Revenue Recognition | ||||
Occupancy and equipment | $ 7,117 | $ 5,933 | $ 20,001 | $ 16,940 |
Technology | 15,273 | 13,926 | 45,047 | 36,863 |
Compensation | 103,364 | 93,417 | 303,917 | 261,624 |
Other | 6,086 | 5,655 | 19,928 | 16,352 |
Other Revenue | 2,605 | $ 487 | 7,048 | $ 3,068 |
Difference between Revenue Guidance in Effect before and after Topic 606 | ASU 2014-09 | ||||
Revenue Recognition | ||||
Occupancy and equipment | 718 | 1,954 | ||
Technology | 315 | 837 | ||
Compensation | 120 | 360 | ||
Other | 177 | 596 | ||
Other Revenue | $ 1,330 | $ 3,747 |
Basis of Presentation and Acc_5
Basis of Presentation and Accounting Developments - Cash Flow (Details) - USD ($) $ in Thousands | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | Dec. 31, 2016 | |
Recently Issued Accounting Pronouncements | ||||
Cash flow from operations | $ 732,584 | $ (646,266) | ||
Cash and restricted cash at quarter end | $ 103,252 | 68,158 | $ 38,173 | $ 99,642 |
Adjustment | ASU 2016-18 | ||||
Recently Issued Accounting Pronouncements | ||||
Cash flow from operations | 175 | |||
Cash and restricted cash at quarter end | 450 | |||
As previously reported | ASU 2016-18 | ||||
Recently Issued Accounting Pronouncements | ||||
Cash flow from operations | (646,441) | |||
Cash and restricted cash at quarter end | $ 67,708 |
Concentration of Risk (Details)
Concentration of Risk (Details) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Sales Revenue, Services, Net [Member] | Customer Concentration Risk [Member] | ||||
Concentration of Risk | ||||
Percentage of total net revenue | 25.00% | 22.00% | 19.00% | 20.00% |
Transactions with Affiliates -
Transactions with Affiliates - Correspondent Production (Details) - USD ($) | Sep. 12, 2016 | Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 |
MBS Agreement | |||||
Transactions with Affiliates | |||||
Early purchase program facility fee per annum per early purchase facility | $ 1,500 | ||||
Early purchase facility fee per loan | $ 35 | ||||
The administrative fee plus accrued interest and sourcing fee percent | 0.35% | ||||
Related party transaction, automatic renewal period | 18 months | ||||
Fulfillment fee as a percent of UPB of all other mortgage loans, excluding Ginnie Mae mortgage loans | 0.50% | ||||
MSR Recapture Agreement | |||||
Transactions with Affiliates | |||||
Related party transaction, automatic renewal period | 18 months | ||||
Lending activity between the entity and affiliate | |||||
Minimum percent of total UPB of loans originated from refinancing of loans which a related party previously held the MSR required to be transferred | 30.00% | ||||
PMT | |||||
Lending activity between the entity and affiliate | |||||
Fulfillment fee revenue | $ 26,256,000 | $ 23,507,000 | $ 52,759,000 | $ 61,184,000 | |
Proceeds from sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust | 2,336,162,000 | 373,108,000 | |||
PMT | MBS Agreement | Minimum | |||||
Transactions with Affiliates | |||||
The administrative fee plus accrued interest and sourcing fee percent | 0.02% | ||||
PMT | MBS Agreement | Maximum | |||||
Transactions with Affiliates | |||||
The administrative fee plus accrued interest and sourcing fee percent | 0.035% | ||||
PMT | Mortgage Lending | |||||
Lending activity between the entity and affiliate | |||||
Net gain on mortgage loans held for sale to PMT | 19,722,000 | 11,396,000 | 49,396,000 | 12,280,000 | |
Mortgage servicing rights and excess servicing spread recapture incurred | (1,157,000) | (1,495,000) | (3,518,000) | (4,696,000) | |
Total of gain on sale of loans and MSR recapture | 18,565,000 | 9,901,000 | 45,878,000 | 7,584,000 | |
Sale of mortgage loans held for sale to PMT | 908,525,000 | 332,886,000 | 2,336,162,000 | 373,108,000 | |
Fulfillment fee revenue | 26,256,000 | 23,507,000 | 52,759,000 | 61,184,000 | |
Unpaid principal balance of loans fulfilled for PennyMac Mortgage Investment Trust | 7,517,883,000 | 6,530,036,000 | 17,139,884,000 | 17,079,969,000 | |
Sourcing fees paid | 2,689,000 | 3,275,000 | 8,221,000 | 9,340,000 | |
Unpaid principal balance of loans purchased from PennyMac Mortgage Investment Trust | 8,916,654,000 | 10,915,194,000 | 27,404,022,000 | 31,131,154,000 | |
Tax service fee | $ 2,119,000 | 2,108,000 | $ 4,869,000 | 5,377,000 | |
Early purchase program fees earned from PMT | $ 1,000 | $ 7,000 |
Transactions with Affiliates _2
Transactions with Affiliates - Mortgage Loan Servicing (Details) | Sep. 12, 2016USD ($)item | Sep. 30, 2018USD ($) | Sep. 30, 2017USD ($) | Sep. 30, 2018USD ($) | Sep. 30, 2017USD ($) |
Mortgage Loan Servicing Agreement | |||||
Transactions with Affiliates | |||||
Base servicing fees per month for REO | $ 75 | ||||
Rental fee per month per REO | 30 | ||||
Renewal fee, per lease renewal, on REO property | $ 100 | ||||
Property management fees on REOs, as a percent of gross rental income | 9.00% | ||||
Base servicing fees per month for fixed-rate non-distressed loans subserviced | $ 7.50 | ||||
Base servicing fees per month for adjustable rate non-distressed loans subserviced | 8.50 | ||||
Supplemental fee per month for each distressed whole loan | 25 | ||||
Activity-based fee, percent, due to a streamline modification | 750 | ||||
Activity-based fee, percent, due to a liquidation | 1,750 | ||||
Activity-based fee due to a deed-in-lieu of foreclosure | $ 500 | ||||
Maximum number of liquidation, reperformance, or modification fees that can be earned during earnable period | item | 1 | ||||
Liquidation, reperformance, or modification fees earnable period | 18 months | ||||
Related party transaction, automatic renewal period | 18 months | ||||
Minimum | Mortgage Loan Servicing Agreement | |||||
Transactions with Affiliates | |||||
Servicing fees amount per month for current loans | $ 30 | ||||
Maximum | Mortgage Loan Servicing Agreement | |||||
Transactions with Affiliates | |||||
Servicing fees amount per month for severely delinquent loans | $ 85 | ||||
PMT | |||||
Summary of mortgage loan servicing fees earned | |||||
Loan servicing fees | $ 10,071,000 | $ 11,402,000 | $ 30,521,000 | $ 31,987,000 | |
PMT | Mortgage loans acquired for sale at fair value | |||||
Summary of mortgage loan servicing fees earned | |||||
Base and supplemental | 98,000 | 88,000 | 250,000 | 235,000 | |
Activity-based | 218,000 | 188,000 | 489,000 | 507,000 | |
Loan servicing fees | 316,000 | 276,000 | 739,000 | 742,000 | |
PMT | Mortgage loans at fair value | |||||
Summary of mortgage loan servicing fees earned | |||||
Base and supplemental | 614,000 | 1,571,000 | 2,328,000 | 5,284,000 | |
Activity-based | 657,000 | 2,702,000 | 3,200,000 | 6,859,000 | |
Loan servicing fees | 1,271,000 | 4,273,000 | 5,528,000 | 12,143,000 | |
PMT | Mortgage servicing rights | |||||
Summary of mortgage loan servicing fees earned | |||||
Base and supplemental | 8,326,000 | 6,702,000 | 23,875,000 | 18,727,000 | |
Activity-based | 158,000 | 151,000 | 379,000 | 375,000 | |
Loan servicing fees | 8,484,000 | 6,853,000 | 24,254,000 | 19,102,000 | |
PMT | Other income | |||||
Summary of mortgage loan servicing fees earned | |||||
Property management fees | $ 122,000 | $ 95,000 | $ 333,000 | $ 261,000 |
Transactions with Affiliates _3
Transactions with Affiliates - Management Fees (Details) - USD ($) | Sep. 12, 2016 | Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 |
Management Fee Revenue Abstract | |||||
Management fees | $ 6,471,000 | $ 6,216,000 | $ 17,910,000 | $ 17,597,000 | |
PMT | |||||
Management Fee Revenue Abstract | |||||
Management fees | 6,482,000 | 6,038,000 | 17,906,000 | 16,684,000 | |
PMT | Management Agreement | |||||
Transactions with Affiliates | |||||
Percentage of change in net income due to quarterly adjustments | 8.00% | ||||
Related party transaction, automatic renewal period | 18 months | ||||
Management Fee Revenue Abstract | |||||
Base management fee | 5,799,000 | 6,038,000 | 17,223,000 | 16,380,000 | |
Performance incentive | 683,000 | 683,000 | 304,000 | ||
Management fees | $ 6,482,000 | $ 6,038,000 | $ 17,906,000 | $ 16,684,000 | |
PMT | Management Agreement | Maximum | |||||
Transactions with Affiliates | |||||
Percentage of performance incentive fee payable by issuance of common shares | 50.00% | ||||
PMT | Management Agreement | Minimum | |||||
Transactions with Affiliates | |||||
High watermark | $ 0 | ||||
PMT | Shareholders Equity Up To 2 Billion Dollars | Maximum | |||||
Transactions with Affiliates | |||||
Base management fee annual rate (as a percent) | 1.50% | ||||
Base management fee shareholders' equity limit | $ 2,000,000,000 | ||||
PMT | Shareholders Equity In Excess Of 2 Billion Dollars And Upto 5 Billion Dollars | |||||
Transactions with Affiliates | |||||
Base management fee annual rate (as a percent) | 1.375% | ||||
PMT | Shareholders Equity In Excess Of 2 Billion Dollars And Upto 5 Billion Dollars | Maximum | |||||
Transactions with Affiliates | |||||
Base management fee shareholders' equity limit | $ 5,000,000,000 | ||||
PMT | Shareholders Equity In Excess Of 2 Billion Dollars And Upto 5 Billion Dollars | Minimum | |||||
Transactions with Affiliates | |||||
Base management fee shareholders' equity limit | $ 2,000,000,000 | ||||
PMT | Shareholders Equity In Excess Of 5 Billion Dollars | |||||
Transactions with Affiliates | |||||
Base management fee annual rate (as a percent) | 1.25% | ||||
PMT | Shareholders Equity In Excess Of 5 Billion Dollars | Maximum | |||||
Transactions with Affiliates | |||||
Base management fee shareholders' equity limit | $ 5,000,000,000 | ||||
PMT | Return on Shareholders Equity 8 Percent | |||||
Transactions with Affiliates | |||||
Percentage of net income for calculation of performance incentive fees | 10.00% | ||||
PMT | Return on Shareholders Equity 8 Percent | Maximum | |||||
Transactions with Affiliates | |||||
Percentage of return on affiliate's equity | 12.00% | ||||
PMT | Return on Shareholders Equity 8 Percent | Minimum | |||||
Transactions with Affiliates | |||||
Percentage of return on affiliate's equity | 8.00% | ||||
PMT | Return on Shareholders Equity 12 Percent | |||||
Transactions with Affiliates | |||||
Percentage of net income for calculation of performance incentive fees | 15.00% | ||||
Percentage of return on affiliate's equity | 12.00% | ||||
PMT | Return on Shareholders Equity 12 Percent | Maximum | |||||
Transactions with Affiliates | |||||
Percentage of return on affiliate's equity | 16.00% | ||||
PMT | Return on Shareholders Equity in Excess of 16 Percent | |||||
Transactions with Affiliates | |||||
Percentage of net income for calculation of performance incentive fees | 20.00% | ||||
Percentage of return on affiliate's equity | 16.00% |
Transactions with Affiliates _4
Transactions with Affiliates - Other Transactions, Reimbursement of Common Overhead Expenses (Details) - PMT - USD ($) | Sep. 12, 2016 | Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 |
Transactions with Affiliates | |||||
Expense reimbursement amount, per quarter, relating to personnel | $ 120,000 | ||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | |||||
Reimbursement of common overhead and expenses incurred by the Company | $ 1,857,000 | $ 1,389,000 | $ 4,333,000 | $ 5,069,000 | |
Payments and settlements during the period | 21,650,000 | 22,786,000 | 45,265,000 | 63,249,000 | |
Common overhead incurred | |||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | |||||
Reimbursement of common overhead and expenses incurred by the Company | 1,210,000 | 1,193,000 | 3,387,000 | 4,220,000 | |
Compensation | |||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | |||||
Reimbursement of common overhead and expenses incurred by the Company | 120,000 | 360,000 | |||
Expenses incurred by related party (reporting entity), net | |||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | |||||
Reimbursement of common overhead and expenses incurred by the Company | $ 527,000 | $ 196,000 | $ 586,000 | $ 849,000 |
Transactions with Affiliates _5
Transactions with Affiliates - Other Transactions, Conditional Reimbursement (Details) - PMT - Conditional Reimbursement - USD ($) | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Aug. 04, 2009 | |
Conditional reimbursement | |||
Payments received | $ 0 | $ 30,000 | |
Maximum | |||
Conditional reimbursement | |||
Conditional reimbursement | $ 2,900,000 |
Transactions with Affiliates _6
Transactions with Affiliates - Investing Activities (Details) | Dec. 19, 2016USD ($)item | Sep. 30, 2018USD ($)shares | Sep. 30, 2017USD ($) | Sep. 30, 2018USD ($)shares | Sep. 30, 2017USD ($) | Dec. 31, 2017USD ($)shares |
PennyMac Holdings, L L C Repurchase Agreement | ||||||
Transactions with Affiliates | ||||||
Number of subsidiaries entered into master repurchase agreement | item | 1 | |||||
Maximum principal balance of VFN | $ 1,000,000,000 | |||||
PMT | ||||||
Transactions with Affiliates | ||||||
Common shares of beneficial interest owned | shares | 75,000 | 75,000 | ||||
Activity during the year: | ||||||
Interest income on receivable from PennyMac Mortgage Investment Trust | $ 1,812,000 | $ 2,116,000 | $ 5,686,000 | $ 5,946,000 | ||
Activity during the period: | ||||||
Dividends received from PennyMac Mortgage Investment Trust | 35,000 | 35,000 | 106,000 | 106,000 | ||
Change in fair value of investment in Common shares of PennyMac Mortgage Investment Trust | 94,000 | (68,000) | 313,000 | 76,000 | ||
Balance at end of period | 129,000 | (33,000) | 419,000 | 182,000 | ||
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell | 133,128,000 | 133,128,000 | $ 144,128,000 | |||
Fair value of PennyMac Mortgage Investment Trust shares | $ 1,518,000 | $ 1,518,000 | $ 1,205,000 | |||
Number of shares | shares | 75,000 | 75,000 | 75,000 | |||
PMT | PennyMac Holdings, L L C Repurchase Agreement | ||||||
Activity during the year: | ||||||
Interest income on receivable from PennyMac Mortgage Investment Trust | $ 1,812,000 | $ 2,116,000 | $ 5,686,000 | $ 5,946,000 |
Transactions with Affiliates _7
Transactions with Affiliates - Financing Activities (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | Feb. 01, 2013 | |
Financing activities: | ||||||
Issuance pursuant to recapture agreement | $ 1,983,000 | $ 4,160,000 | ||||
Interest expense from excess servicing spread financing | 11,584,000 | 13,011,000 | ||||
PMT | ||||||
Financing activities: | ||||||
Changes in fair value included in income | $ (1,109,000) | $ 4,828,000 | (9,026,000) | 14,757,000 | ||
Excess servicing spread financing at fair value payable to affiliate | 223,275,000 | 223,275,000 | $ 236,534,000 | |||
PMT | 2/1/13 Spread Acquisition Agreement | ||||||
Financing activities: | ||||||
Maximum ESS recapture obligation | $ 200,000 | |||||
Excess servicing spread financing | ||||||
Financing activities: | ||||||
Changes in fair value included in income | 1,109,000 | (4,828,000) | 9,026,000 | (14,757,000) | ||
Excess servicing spread financing | PMT | ||||||
Financing activities: | ||||||
Issuance pursuant to recapture agreement | 499,000 | 1,207,000 | 1,983,000 | 4,160,000 | ||
Repayments | 11,543,000 | 13,410,000 | 35,852,000 | 42,320,000 | ||
Changes in fair value included in income | 1,109,000 | (4,828,000) | 9,026,000 | (14,757,000) | ||
Interest expense from excess servicing spread financing | 3,740,000 | 3,998,000 | 11,584,000 | 13,011,000 | ||
Excess servicing spread recapture recognized | 597,000 | $ 1,163,000 | 1,951,000 | $ 3,837,000 | ||
Excess servicing spread financing at fair value payable to affiliate | $ 223,275,000 | $ 223,275,000 | $ 236,534,000 |
Transactions with Affiliates _8
Transactions with Affiliates - Amounts due from Affiliate (Details) - PMT - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Amounts due from affiliate | ||
Fulfillment fees | $ 12,078 | $ 346 |
Management fees | 6,482 | 5,901 |
Servicing fees | 3,765 | 6,583 |
Allocated expenses | 2,295 | 11,542 |
Correspondent production fees | 1,864 | 1,735 |
Conditional Reimbursement | 870 | 870 |
Interest on assets purchased under agreements to resell | 113 | 142 |
Total due from affiliate | 27,467 | 27,119 |
Payable to affiliate | ||
Deposits made by PMT | 89,467 | 132,844 |
MSR Recapture Payable to PMT | 250 | 282 |
Other expenses | 2,101 | 3,872 |
Payable to affiliates | $ 91,818 | $ 136,998 |
Transactions with Affiliates _9
Transactions with Affiliates - Amounts due from Investment Funds (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Jun. 30, 2018 | Dec. 31, 2017 | Jun. 30, 2017 | Dec. 31, 2016 | |
Investment Funds | ||||||||
Amounts due from affiliate | ||||||||
Cash received during the period | $ 353 | $ 61,314 | $ 8,187 | $ 61,314 | ||||
Carried Interest from Investment Funds | $ 8,547 | $ 8,547 | $ 370 | $ 8,552 | $ 71,019 | $ 70,906 | ||
Mortgage loan servicing rebate deposit | 300 | |||||||
Management fees | 88 | |||||||
Expense reimbursements | 27 | |||||||
Mortgage loan servicing fees | 2 | |||||||
Total due from affiliate | 417 | |||||||
Deposits received to fund servicing advances | 2,329 | |||||||
Other | 98 | |||||||
Payable to affiliates | 2,427 | |||||||
Investment Funds | Minimum | ||||||||
Amounts due from affiliate | ||||||||
Base management fees, annual accrual rate | 1.50% | |||||||
Investment Funds | Maximum | ||||||||
Amounts due from affiliate | ||||||||
Base management fees, annual accrual rate | 2.00% | |||||||
PNMAC Mortgage Opportunity Fund, LLC | ||||||||
Amounts due from affiliate | ||||||||
Carried Interest from Investment Funds | 6,389 | |||||||
PNMAC Mortgage Opportunity Fund Investors, LLC | ||||||||
Amounts due from affiliate | ||||||||
Carried Interest from Investment Funds | $ 2,163 |
Transactions with Affiliates_10
Transactions with Affiliates - Exchanged Private National Mortgage Acceptance Company, LLC Unitholders (Details) - USD ($) $ in Millions | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Transactions with Affiliates | |||
Amount of tax benefits under the tax sharing agreement (as a percent) | 85.00% | ||
Payable to exchanged PNMAC unitholders under tax receivable agreement | $ 47.6 | $ 44 | |
Private National Mortgage Acceptance Company, LLC | |||
Transactions with Affiliates | |||
Payment of tax liability under the tax receivable agreement to Private National Mortgage Acceptance Company, LLC unitholders | $ 0 | $ 6.2 |
Loan Sales and Servicing Acti_3
Loan Sales and Servicing Activities - Summary of Cash Flows with Transferees (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Cash flows: | |||||
Sales proceeds | $ 11,375,408 | $ 13,600,232 | $ 34,208,217 | $ 38,097,411 | |
Servicing fees received | 123,626 | 97,312 | 354,535 | 272,303 | |
Net servicing advances | 4,147 | $ (15,061) | (20,572) | $ (1,271) | |
Period end information: | |||||
Unpaid principal balance of mortgage loans outstanding | 139,305,079 | 139,305,079 | $ 120,853,138 | ||
30-89 days | 5,967,607 | 5,967,607 | 5,097,688 | ||
90 days or more - Not in foreclosure | 1,904,299 | 1,904,299 | 2,303,114 | ||
90 days or more - In foreclosure | 640,555 | 640,555 | 606,744 | ||
90 days or more - Foreclosed | 24,216 | 24,216 | 30,310 | ||
Bankruptcy | $ 889,814 | $ 889,814 | $ 657,368 |
Loan Sales and Servicing Acti_4
Loan Sales and Servicing Activities - Summary of Mortgage Servicing Portfolio (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Mortgage servicing portfolio | ||
Mortgage loans held for sale | $ 2,352,771 | $ 2,998,377 |
Total loans serviced | 284,504,071 | 245,848,491 |
Subserviced for the Company | 6,459,716 | |
Delinquent mortgage loans: | ||
30 days | 7,053,730 | 5,842,632 |
60 days | 1,929,599 | 2,151,173 |
90 days or more - Not in foreclosure | 3,061,141 | 4,232,104 |
90 days or more - In foreclosure | 1,077,581 | 1,210,449 |
90 days or more - Foreclosed | 229,005 | 320,134 |
Total delinquent mortgage loans | 13,351,056 | 13,756,492 |
Bankruptcy | 1,393,691 | 1,223,293 |
Custodial funds managed by the Company | 4,967,252 | 4,168,320 |
Servicing rights owned | ||
Mortgage servicing portfolio | ||
Mortgage loans held for sale | 2,352,771 | 2,998,377 |
Total loans serviced | 197,277,610 | 170,868,223 |
Subserviced for the Company | 6,459,716 | |
Delinquent mortgage loans: | ||
30 days | 6,457,528 | 5,326,710 |
60 days | 1,810,285 | 1,935,216 |
90 days or more - Not in foreclosure | 2,805,375 | 3,690,159 |
90 days or more - In foreclosure | 928,268 | 916,614 |
90 days or more - Foreclosed | 35,604 | 41,244 |
Total delinquent mortgage loans | 12,037,060 | 11,909,943 |
Bankruptcy | 1,277,484 | 1,046,969 |
Custodial funds managed by the Company | 3,764,023 | 3,267,279 |
Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Total loans serviced | 87,226,461 | 74,980,268 |
Delinquent mortgage loans: | ||
30 days | 596,202 | 515,922 |
60 days | 119,314 | 215,957 |
90 days or more - Not in foreclosure | 255,766 | 541,945 |
90 days or more - In foreclosure | 149,313 | 293,835 |
90 days or more - Foreclosed | 193,401 | 278,890 |
Total delinquent mortgage loans | 1,313,996 | 1,846,549 |
Bankruptcy | 116,207 | 176,324 |
Custodial funds managed by the Company | 1,203,229 | 901,041 |
Non affiliated entities | ||
Mortgage servicing portfolio | ||
Originated | 139,305,079 | 120,853,138 |
Purchased | 55,619,760 | 47,016,708 |
Total loans serviced, excluding loans held for sale | 194,924,839 | 167,869,846 |
Non affiliated entities | Servicing rights owned | ||
Mortgage servicing portfolio | ||
Originated | 139,305,079 | 120,853,138 |
Purchased | 55,619,760 | 47,016,708 |
Total loans serviced, excluding loans held for sale | 194,924,839 | 167,869,846 |
Affiliated entities | ||
Mortgage servicing portfolio | ||
Advised entities | 87,226,461 | 74,980,268 |
Affiliated entities | Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Advised entities | $ 87,226,461 | $ 74,980,268 |
Loan Sales and Servicing Acti_5
Loan Sales and Servicing Activities - Geographical Distribution of Loans (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 284,504,071 | $ 245,848,491 |
California | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 50,009,289 | 45,621,369 |
Texas | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 23,023,181 | 19,741,970 |
Florida | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 21,006,280 | 17,490,194 |
Virginia | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 18,308,994 | 16,210,673 |
Maryland | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 13,176,658 | 11,350,939 |
All other states | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 158,979,669 | $ 135,433,346 |
Fair Value - Financial Statemen
Fair Value - Financial Statement Items Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2017 | Sep. 30, 2018 | |
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 | $ 170,080 | $ 145,476 |
Mortgage loans held for sale at fair value | 3,099,103 | 2,416,955 |
Derivative assets: | ||
Derivative asset, before netting | 85,046 | 92,814 |
Netting | (6,867) | (19,196) |
Total derivative assets | 78,179 | 73,618 |
Mortgage servicing rights at fair value | 638,010 | 2,785,964 |
Derivative liabilities: | ||
Derivative liability, before netting | 10,043 | 36,261 |
Netting | (4,247) | (23,568) |
Net amounts of liabilities presented in the consolidated balance sheet | 5,796 | 12,693 |
Mortgage servicing liabilities | 14,120 | 9,769 |
PMT | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 1,205 | 1,518 |
Interest rate lock commitments | ||
Derivative assets: | ||
Total derivative assets | 60,012 | 41,075 |
Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 4,288 | 821 |
Derivative liabilities: | ||
Derivative liability, before netting | 1,272 | 29,569 |
Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 2,101 | 16,892 |
Derivative liabilities: | ||
Derivative liability, before netting | 7,031 | 2,780 |
MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 3,481 | 4,413 |
MBS call options | ||
Derivative assets: | ||
Derivative asset, before netting | 12 | |
Call options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 938 | 63 |
Put options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 3,570 | 3,063 |
Recurring basis | ||
Assets: | ||
Short-term investments at fair value | 170,080 | 145,476 |
Mortgage loans held for sale at fair value | 3,099,103 | 2,416,955 |
Derivative assets: | ||
Derivative asset, before netting | 85,046 | 92,814 |
Netting | (6,867) | (19,196) |
Total derivative assets | 78,179 | 73,618 |
Mortgage servicing rights at fair value | 638,010 | 2,785,964 |
Total assets | 3,986,577 | 5,423,531 |
Derivative liabilities: | ||
Derivative liability, before netting | 10,043 | 36,261 |
Netting | (4,247) | (23,568) |
Net amounts of liabilities presented in the consolidated balance sheet | 5,796 | 12,693 |
Mortgage servicing liabilities | 14,120 | 9,769 |
Total liabilities | 256,450 | 245,737 |
Recurring basis | PMT | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 1,205 | 1,518 |
Derivative liabilities: | ||
Excess servicing spread financing at fair value to affiliate | 236,534 | 223,275 |
Recurring basis | Interest rate lock commitments | ||
Derivative assets: | ||
Derivative asset, before netting | 60,012 | 41,075 |
Derivative liabilities: | ||
Derivative liability, before netting | 1,740 | 3,912 |
Recurring basis | Repurchase agreement derivatives | ||
Derivative assets: | ||
Derivative asset, before netting | 10,656 | 26,475 |
Recurring basis | Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 4,288 | 821 |
Derivative liabilities: | ||
Derivative liability, before netting | 1,272 | 29,569 |
Recurring basis | Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 2,101 | 16,892 |
Derivative liabilities: | ||
Derivative liability, before netting | 7,031 | 2,780 |
Recurring basis | MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 3,481 | 4,413 |
Recurring basis | MBS call options | ||
Derivative assets: | ||
Derivative asset, before netting | 12 | |
Recurring basis | Call options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 938 | 63 |
Recurring basis | Put options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 3,570 | 3,063 |
Recurring basis | Level 1 | ||
Assets: | ||
Short-term investments at fair value | 170,080 | 145,476 |
Derivative assets: | ||
Derivative asset, before netting | 4,508 | 3,126 |
Total derivative assets | 4,508 | 3,126 |
Total assets | 175,793 | 150,120 |
Recurring basis | Level 1 | PMT | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 1,205 | 1,518 |
Recurring basis | Level 1 | Call options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 938 | 63 |
Recurring basis | Level 1 | Put options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 3,570 | 3,063 |
Recurring basis | Level 2 | ||
Assets: | ||
Mortgage loans held for sale at fair value | 2,316,892 | 2,051,652 |
Derivative assets: | ||
Derivative asset, before netting | 9,870 | 22,138 |
Total derivative assets | 9,870 | 22,138 |
Total assets | 2,326,762 | 2,073,790 |
Derivative liabilities: | ||
Derivative liability, before netting | 8,303 | 32,349 |
Net amounts of liabilities presented in the consolidated balance sheet | 8,303 | 32,349 |
Total liabilities | 8,303 | 32,349 |
Recurring basis | Level 2 | Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 4,288 | 821 |
Derivative liabilities: | ||
Derivative liability, before netting | 1,272 | 29,569 |
Recurring basis | Level 2 | Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 2,101 | 16,892 |
Derivative liabilities: | ||
Derivative liability, before netting | 7,031 | 2,780 |
Recurring basis | Level 2 | MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 3,481 | 4,413 |
Recurring basis | Level 2 | MBS call options | ||
Derivative assets: | ||
Derivative asset, before netting | 12 | |
Recurring basis | Level 3 | ||
Assets: | ||
Mortgage loans held for sale at fair value | 782,211 | 365,303 |
Derivative assets: | ||
Derivative asset, before netting | 70,668 | 67,550 |
Total derivative assets | 70,668 | 67,550 |
Mortgage servicing rights at fair value | 638,010 | 2,785,964 |
Total assets | 1,490,889 | 3,218,817 |
Derivative liabilities: | ||
Derivative liability, before netting | 1,740 | 3,912 |
Net amounts of liabilities presented in the consolidated balance sheet | 1,740 | 3,912 |
Mortgage servicing liabilities | 14,120 | 9,769 |
Total liabilities | 252,394 | 236,956 |
Recurring basis | Level 3 | PMT | ||
Derivative liabilities: | ||
Excess servicing spread financing at fair value to affiliate | 236,534 | 223,275 |
Recurring basis | Level 3 | Interest rate lock commitments | ||
Derivative assets: | ||
Derivative asset, before netting | 60,012 | 41,075 |
Derivative liabilities: | ||
Derivative liability, before netting | 1,740 | 3,912 |
Recurring basis | Level 3 | Repurchase agreement derivatives | ||
Derivative assets: | ||
Derivative asset, before netting | $ 10,656 | $ 26,475 |
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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Jan. 02, 2018 | |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | |||||
Mortgage servicing liabilities resulting from mortgage loan sales | $ 5,548 | $ 11,940 | |||
Excess servicing spread financing | |||||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | |||||
Balance at the beginning of the quarter | $ 229,470 | $ 261,796 | 236,534 | 288,669 | |
Accrual of interest on excess servicing spread financing | 3,740 | 3,998 | 11,584 | 13,011 | |
Repayment | (11,543) | (13,410) | (35,852) | (42,320) | |
Changes in fair value included in income | 1,109 | (4,828) | 9,026 | (14,757) | |
Balance at the end of the quarter | 223,275 | 248,763 | 223,275 | 248,763 | |
Recurring basis | |||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | |||||
Balance at the beginning of the quarter | 2,901,793 | 1,104,683 | 1,489,149 | 622,587 | |
Reclassification of mortgage servicing rights previously accounted for under the amortization method | $ 1,482,426 | ||||
Balance after reclassification | 2,971,575 | ||||
Purchases | 1,226,797 | 2,868,436 | 2,226,425 | ||
Purchases and issuances, net | 583,854 | ||||
Sales and repayments | (243,903) | (306,458) | (1,141,908) | (845,318) | |
Mortgage servicing rights resulting from mortgage loan sales | 149,000 | 5,773 | 448,604 | 19,702 | |
Changes in fair value included in income arising from: | |||||
Changes in instrument specific credit risk | 84 | (1,130) | (4,944) | (6,104) | |
Other factors | (2,235) | 13,422 | (6,688) | 35,952 | |
Total changes in fair value included in income | (2,151) | 12,292 | (11,632) | 29,848 | |
Transfers from mortgage loans held for sale from Level 3 to Level 2 | (744,324) | (195,802) | (1,765,854) | (635,118) | |
Transfers to real estate acquired in settlement of loans | (1,364) | (4,185) | |||
Transfers from interest rate lock commitments to mortgage loans held for sale | (70,943) | (117,265) | (150,131) | (331,049) | |
Balance at the end of the quarter | 3,214,905 | 1,087,077 | 3,214,905 | 1,087,077 | |
Changes in fair value recognized during the period relating to assets still held at the end of the period | 19,648 | 23,262 | 55,535 | (12,822) | |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | |||||
Balance at the beginning of the quarter | 239,723 | 280,091 | 250,654 | 303,861 | |
Issuances | 1,983 | 4,160 | |||
Accrual of interest on excess servicing spread financing | 3,740 | 3,998 | 11,584 | 13,011 | |
Repayment | (13,410) | (35,852) | (42,320) | ||
Settlement | (11,543) | ||||
Mortgage servicing liabilities resulting from mortgage loan sales | 1,741 | 4,071 | 5,548 | 11,940 | |
Changes in fair value included in income | (1,116) | (11,118) | (873) | (25,813) | |
Balance at the end of the quarter | 233,044 | 264,839 | 233,044 | 264,839 | |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (1,116) | (11,118) | (873) | (25,813) | |
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 quarter | 229,470 | 261,796 | 236,534 | 288,669 | |
Issuances | 1,983 | 4,160 | |||
Accrual of interest on excess servicing spread financing | 3,740 | 3,998 | 11,584 | 13,011 | |
Repayment | (13,410) | (35,852) | (42,320) | ||
Settlement | (11,543) | ||||
Changes in fair value included in income | 1,109 | (4,828) | 9,026 | (14,757) | |
Balance at the end of the quarter | 223,275 | 248,763 | 223,275 | 248,763 | |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | 1,109 | (4,828) | 9,026 | (14,757) | |
Recurring basis | Excess Servicing Spread Financing Pursuant to Recapture Agreement | |||||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | |||||
Issuances | 499 | 1,207 | |||
Recurring basis | Mortgage servicing liabilities | |||||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | |||||
Balance at the beginning of the quarter | 10,253 | 18,295 | 14,120 | 15,192 | |
Mortgage servicing liabilities resulting from mortgage loan sales | 1,741 | 4,071 | 5,548 | 11,940 | |
Changes in fair value included in income | (2,225) | (6,290) | (9,899) | (11,056) | |
Balance at the end of the quarter | 9,769 | 16,076 | 9,769 | 16,076 | |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (2,225) | (6,290) | (9,899) | (11,056) | |
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 quarter | 334,166 | 380,084 | 782,211 | 47,271 | |
Balance after reclassification | 782,211 | ||||
Purchases | 1,008,662 | 2,480,523 | 1,815,509 | ||
Purchases and issuances, net | 499,546 | ||||
Sales and repayments | (231,921) | (306,458) | (1,122,448) | (845,318) | |
Changes in fair value included in income arising from: | |||||
Changes in instrument specific credit risk | 84 | (1,130) | (4,944) | (6,104) | |
Total changes in fair value included in income | 84 | (1,130) | (4,944) | (6,104) | |
Transfers from mortgage loans held for sale from Level 3 to Level 2 | (744,324) | (195,802) | (1,765,854) | (635,118) | |
Transfers to real estate acquired in settlement of loans | (1,364) | (4,185) | |||
Balance at the end of the quarter | 365,303 | 376,240 | 365,303 | 376,240 | |
Changes in fair value recognized during the period relating to assets still held at the end of the period | (4,811) | (2,851) | (4,912) | (3,733) | |
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 quarter | 55,689 | 46,158 | 58,272 | 59,391 | |
Balance after reclassification | 58,272 | ||||
Purchases | 41,721 | 157,649 | 226,617 | ||
Purchases and issuances, net | 83,798 | ||||
Changes in fair value included in income arising from: | |||||
Other factors | 10,696 | 41,693 | (28,627) | 99,425 | |
Total changes in fair value included in income | 10,696 | 41,693 | (28,627) | 99,425 | |
Transfers from interest rate lock commitments to mortgage loans held for sale | (70,943) | (117,265) | (150,131) | (331,049) | |
Balance at the end of the quarter | 37,163 | 54,384 | 37,163 | 54,384 | |
Changes in fair value recognized during the period relating to assets still held at the end of the period | 37,163 | 54,384 | 37,163 | 54,384 | |
Recurring basis | Repurchase agreement derivatives | |||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | |||||
Balance at the beginning of the quarter | 25,781 | 10,656 | |||
Balance after reclassification | 10,656 | ||||
Purchases | 12,903 | 36,624 | 469 | ||
Purchases and issuances, net | 469 | ||||
Sales and repayments | (11,982) | (19,460) | |||
Changes in fair value included in income arising from: | |||||
Other factors | (227) | (1,345) | |||
Total changes in fair value included in income | (227) | (1,345) | |||
Balance at the end of the quarter | 26,475 | 469 | 26,475 | 469 | |
Recurring basis | Mortgage servicing rights | |||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | |||||
Balance at the beginning of the quarter | 2,486,157 | 678,441 | 638,010 | 515,925 | |
Reclassification of mortgage servicing rights previously accounted for under the amortization method | 1,482,426 | ||||
Balance after reclassification | $ 2,120,436 | ||||
Purchases | 163,511 | 193,640 | 183,830 | ||
Purchases and issuances, net | 41 | ||||
Mortgage servicing rights resulting from mortgage loan sales | 149,000 | 5,773 | 448,604 | 19,702 | |
Changes in fair value included in income arising from: | |||||
Other factors | (12,704) | (28,271) | 23,284 | (63,473) | |
Total changes in fair value included in income | (12,704) | (28,271) | 23,284 | (63,473) | |
Balance at the end of the quarter | 2,785,964 | 655,984 | 2,785,964 | 655,984 | |
Changes in fair value recognized during the period relating to assets still held at the end of the period | $ (12,704) | $ (28,271) | $ 23,284 | $ (63,473) |
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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
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 | $ 1,116 | $ 11,118 | $ 873 | $ 25,813 |
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 | 1,116 | 11,118 | 873 | 25,813 |
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 | (1,109) | 4,828 | (9,026) | 14,757 |
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 | (1,109) | 4,828 | (9,026) | 14,757 |
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 | 2,225 | 6,290 | 9,899 | 11,056 |
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 | 2,225 | 6,290 | 9,899 | 11,056 |
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 | 55,005 | 102,598 | 141,736 | 273,363 |
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 | 67,709 | 130,869 | 118,452 | 336,836 |
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 | (12,704) | (28,271) | 23,284 | (63,473) |
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 | 67,709 | 130,869 | 118,452 | 336,836 |
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 | 67,709 | 130,869 | 118,452 | 336,836 |
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 | (12,704) | (28,271) | 23,284 | (63,473) |
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 | $ (12,704) | $ (28,271) | $ 23,284 | $ (63,473) |
Fair Value - Fair Value Option
Fair Value - Fair Value Option Maturities, Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Fair value | ||
Total fair value | $ 2,416,955 | $ 3,099,103 |
Recurring basis | ||
Fair value | ||
Total fair value | 2,416,955 | 3,099,103 |
Mortgage loans held for sale | Recurring basis | ||
Fair value | ||
Current through 89 days delinquent | 2,148,919 | 2,430,517 |
Not in foreclosure | 215,712 | 614,329 |
In foreclosure | 52,324 | 54,257 |
Total fair value | 2,416,955 | 3,099,103 |
Principal amount due upon maturity | ||
Current through 89 days delinquent | 2,078,047 | 2,326,772 |
Not in foreclosure | 218,623 | 614,357 |
In foreclosure | 56,101 | 57,248 |
Total principal amount due upon maturity | 2,352,771 | 2,998,377 |
Difference | ||
Current through 89 days delinquent | 70,872 | 103,745 |
Not in foreclosure | (2,911) | (28) |
In foreclosure | (3,777) | (2,991) |
Total difference | $ 64,184 | $ 100,726 |
Fair Value - Measurement Basis,
Fair Value - Measurement Basis, Nonrecurring (Details) - Nonrecurring basis - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Financial statement items measured at fair value on a nonrecurring basis | |||||
Mortgage servicing rights at lower of amortized cost or fair value | $ 1,463,552 | ||||
Real estate acquired in settlement of loans | $ 2,134 | $ 2,134 | 2,355 | ||
Total assets | 1,465,907 | ||||
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 | $ (17,270) | $ (33,906) | |||
Real estate acquired in settlement of loans | (41) | 17 | (72) | 102 | |
Total gains on assets measured at estimated fair values on a nonrecurring basis | (41) | $ (17,253) | (72) | $ (33,804) | |
Level 3 | |||||
Financial statement items measured at fair value on a nonrecurring basis | |||||
Mortgage servicing rights at lower of amortized cost or fair value | 1,463,552 | ||||
Real estate acquired in settlement of loans | $ 2,134 | $ 2,134 | 2,355 | ||
Total assets | $ 1,465,907 |
Fair Value - Level 3 Unobservab
Fair Value - Level 3 Unobservable Inputs, Mortgage Loans and IRLC (Details) - item | Sep. 30, 2018 | Dec. 31, 2017 |
Mortgage loans held for sale | Discount rate | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 2.8 | 2.9 |
Mortgage loans held for sale | Discount rate | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 9.2 | 10 |
Mortgage loans held for sale | Discount rate | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 2.9 | 2.9 |
Mortgage loans held for sale | Twelve-month projected housing price index Change | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 3.5 | 3.1 |
Mortgage loans held for sale | Twelve-month projected housing price index Change | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 6.1 | 5.6 |
Mortgage loans held for sale | Twelve-month projected housing price index Change | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 3.9 | 3.6 |
Mortgage loans held for sale | Prepayment/resale speed | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 0.1 | 0.2 |
Mortgage loans held for sale | Prepayment/resale speed | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 71 | 72.2 |
Mortgage loans held for sale | Prepayment/resale speed | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 24.2 | 44.6 |
Mortgage loans held for sale | Total prepayment speed | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 0.1 | 0.2 |
Mortgage loans held for sale | Total prepayment speed | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 72.1 | 75.2 |
Mortgage loans held for sale | Total prepayment speed | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 41.3 | 55.8 |
Interest rate lock commitments | Pull-through rate | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 16.6 | 25 |
Interest rate lock commitments | Pull-through rate | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 100 | 100 |
Interest rate lock commitments | Pull-through rate | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 85.7 | 85.6 |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 1.6 | 1.4 |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 5.9 | 5.8 |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 4 | 4 |
Interest rate lock commitments | Percentage of unpaid principal balance | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 0.4 | 0.3 |
Interest rate lock commitments | Percentage of unpaid principal balance | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 2.8 | 3 |
Interest rate lock commitments | Percentage of unpaid principal balance | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 1.4 | 1.4 |
Repurchase agreement derivatives | ||
Excess servicing spread financing | ||
Acceptance rate (as a percent) | 97.00% | 97.00% |
Fair Value - Level 3 Unobserv_2
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Rights - Initial Recognition (Details) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2018USD ($)item | Sep. 30, 2017USD ($)item | Sep. 30, 2018USD ($)item | Sep. 30, 2017USD ($)item | Dec. 31, 2017USD ($) | |
Mortgage servicing rights | |||||
MSR and pool characteristics | |||||
Amount recognized | $ | $ 149,000,000 | $ 5,773,000 | $ 448,604,000 | $ 19,702,000 | |
Fair Values | Mortgage servicing rights | Level 3 | |||||
MSR and pool characteristics | |||||
Weighted-average servicing fee rate (as a percent) | 0.32% | 0.32% | |||
Fair Values | Mortgage servicing rights | Level 3 | Minimum | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | $ 78 | $ 78 | |||
Fair Values | Mortgage servicing rights | Level 3 | Maximum | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | 98 | 97 | |||
Fair Values | Mortgage servicing rights | Level 3 | Weighted average | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | 93 | $ 89 | |||
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | |||||
MSR and pool characteristics | |||||
Amount recognized | $ | 149,000,000 | 5,773,000 | 448,604,000,000 | 19,702,000,000 | |
Unpaid principal balance of underlying mortgage loans | $ | $ 10,790,398,000 | $ 573,463,000 | $ 32,095,458,000,000 | $ 1,873,404,000,000 | |
Weighted-average servicing fee rate (as a percent) | 0.37% | 0.31% | 0.36% | 0.31% | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Minimum | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | $ 78 | $ 78 | $ 78 | $ 78 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Maximum | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | 98 | 98 | 98 | 101 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Weighted average | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | $ 92 | $ 89 | $ 90 | $ 89 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 7.3 | 7.6 | 7.3 | 7.6 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 13.6 | 11.2 | 14.1 | 11.2 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 10.1 | 10.7 | 10.2 | 10.5 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 4.4 | 3.9 | 3.9 | 3.9 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 55.7 | 46.8 | 61.8 | 71.8 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 11.8 | 13.3 | 10.6 | 12.5 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 0.5 | 1.4 | 0.5 | 0.8 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 11.3 | 11.4 | 11.6 | 11.5 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 6.9 | 6.3 | 7.5 | 6.6 | |
Amortized cost | Mortgage servicing rights | Level 3 | |||||
MSR and pool characteristics | |||||
Weighted-average servicing fee rate (as a percent) | 0.31% | ||||
Amortized cost | Mortgage servicing rights | Level 3 | Minimum | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | $ 79 | ||||
Amortized cost | Mortgage servicing rights | Level 3 | Maximum | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | 97 | ||||
Amortized cost | Mortgage servicing rights | Level 3 | Weighted average | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | $ 89 | ||||
Amortized cost | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | |||||
MSR and pool characteristics | |||||
Amount recognized | $ | $ 153,061,000 | $ 412,206,000,000 | |||
Unpaid principal balance of underlying mortgage loans | $ | $ 12,184,003,000 | $ 33,890,209,000,000 | |||
Weighted-average servicing fee rate (as a percent) | 0.32% | 0.30% | |||
Amortized cost | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Minimum | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | $ 79 | $ 79 | |||
Amortized cost | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Maximum | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | 98 | 101 | |||
Amortized cost | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Weighted average | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | $ 89 | $ 89 | |||
Amortized cost | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 7.6 | 7.6 | |||
Amortized cost | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 14.6 | 15.2 | |||
Amortized cost | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 10.8 | 10.7 | |||
Amortized cost | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 4.4 | 3.4 | |||
Amortized cost | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 47.6 | 47.6 | |||
Amortized cost | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 9.5 | 9.1 | |||
Amortized cost | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 1.5 | 1.5 | |||
Amortized cost | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 11.4 | 12.2 | |||
Amortized cost | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 7.9 | 8.1 |
Fair Value - Level 3 Unobserv_3
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Rights, Effect of Change In Inputs on Fair Value (Details) - Level 3 | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018USD ($)item | Dec. 31, 2017USD ($)item | |
Mortgage servicing liabilities | ||
MSR and pool characteristics | ||
Carrying value | $ 9,769,000 | $ 14,120,000 |
Unpaid principal balance of underlying mortgage loans | $ 1,265,461,000 | $ 1,620,609,000 |
Weighted-average servicing fee rate (as a percent) | 25.00% | 0.25% |
Prepayment speed | ||
Annual per-loan cost of servicing | $ 372 | $ 404 |
Mortgage servicing liabilities | Pricing spread | ||
Inputs | ||
Input | item | 7.8 | 7.7 |
Mortgage servicing liabilities | Annual total prepayment speed | ||
Inputs | ||
Input | item | 31.6 | 32.9 |
Mortgage servicing liabilities | Life | ||
Inputs | ||
Input | item | 3.9 | 3.5 |
Fair Values | Mortgage servicing rights | ||
MSR and pool characteristics | ||
Carrying value | $ 2,785,964,000 | $ 638,010,000 |
Unpaid principal balance of underlying mortgage loans | $ 193,659,378,000 | $ 51,883,539,000 |
Weighted-average note interest rate (as a percent) | 3.90% | 4.00% |
Weighted-average servicing fee rate (as a percent) | 0.32% | 0.32% |
Pricing spread | ||
Effect on fair value of 5% adverse change | $ (51,013,000) | $ (10,760,000) |
Effect on fair value of 10% adverse change | (100,182,000) | (21,155,000) |
Effect on fair value of 20% adverse change | (193,355,000) | (40,916,000) |
Prepayment speed | ||
Effect on fair value of 5% adverse change | (36,453,000) | (10,809,000) |
Effect on fair value of 10% adverse change | (71,779,000) | (21,239,000) |
Effect on fair value of 20% adverse change | (139,263,000) | (41,038,000) |
Annual per-loan cost of servicing | ||
Effect on fair value of 5% adverse change | (22,201,000) | (6,247,000) |
Effect on fair value of 10% adverse change | (44,402,000) | (12,494,000) |
Effect on fair value of 20% adverse change | (88,803,000) | (24,987,000) |
Fair Values | Mortgage servicing rights | Minimum | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 78 | 78 |
Fair Values | Mortgage servicing rights | Maximum | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 98 | 97 |
Fair Values | Mortgage servicing rights | Weighted average | ||
Prepayment speed | ||
Annual per-loan cost of servicing | $ 93 | $ 89 |
Fair Values | Mortgage servicing rights | Pricing spread | Minimum | ||
Inputs | ||
Input | item | 7.3 | 7.6 |
Fair Values | Mortgage servicing rights | Pricing spread | Maximum | ||
Inputs | ||
Input | item | 13.6 | 14.1 |
Fair Values | Mortgage servicing rights | Pricing spread | Weighted average | ||
Inputs | ||
Input | item | 10 | 9.8 |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Minimum | ||
Inputs | ||
Input | item | 6.9 | 7.9 |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Maximum | ||
Inputs | ||
Input | item | 41.6 | 46.2 |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Weighted average | ||
Inputs | ||
Input | item | 8.2 | 10.5 |
Fair Values | Mortgage servicing rights | Life | Minimum | ||
Inputs | ||
Input | item | 1.3 | 1.2 |
Fair Values | Mortgage servicing rights | Life | Maximum | ||
Inputs | ||
Input | item | 8.5 | 7.8 |
Fair Values | Mortgage servicing rights | Life | Weighted average | ||
Inputs | ||
Input | item | 8.1 | 6.6 |
Amortized cost | Mortgage servicing rights | ||
MSR and pool characteristics | ||
Carrying value | $ 1,481,578,000 | |
Unpaid principal balance of underlying mortgage loans | $ 114,365,698,000 | |
Weighted-average note interest rate (as a percent) | 3.80% | |
Weighted-average servicing fee rate (as a percent) | 0.31% | |
Pricing spread | ||
Effect on fair value of 5% adverse change | $ (27,700,000) | |
Effect on fair value of 10% adverse change | (54,376,000) | |
Effect on fair value of 20% adverse change | (104,869,000) | |
Prepayment speed | ||
Effect on fair value of 5% adverse change | (23,544,000) | |
Effect on fair value of 10% adverse change | (46,284,000) | |
Effect on fair value of 20% adverse change | (89,514,000) | |
Annual per-loan cost of servicing | ||
Effect on fair value of 5% adverse change | (11,216,000) | |
Effect on fair value of 10% adverse change | (22,431,000) | |
Effect on fair value of 20% adverse change | (44,863,000) | |
Amortized cost | Mortgage servicing rights | Minimum | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 79 | |
Amortized cost | Mortgage servicing rights | Maximum | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 97 | |
Amortized cost | Mortgage servicing rights | Weighted average | ||
Prepayment speed | ||
Annual per-loan cost of servicing | $ 89 | |
Amortized cost | Mortgage servicing rights | Pricing spread | Minimum | ||
Inputs | ||
Input | item | 7.6 | |
Amortized cost | Mortgage servicing rights | Pricing spread | Maximum | ||
Inputs | ||
Input | item | 14.1 | |
Amortized cost | Mortgage servicing rights | Pricing spread | Weighted average | ||
Inputs | ||
Input | item | 10.3 | |
Amortized cost | Mortgage servicing rights | Annual total prepayment speed | Minimum | ||
Inputs | ||
Input | item | 7.4 | |
Amortized cost | Mortgage servicing rights | Annual total prepayment speed | Maximum | ||
Inputs | ||
Input | item | 44.1 | |
Amortized cost | Mortgage servicing rights | Annual total prepayment speed | Weighted average | ||
Inputs | ||
Input | item | 9.7 | |
Amortized cost | Mortgage servicing rights | Life | Minimum | ||
Inputs | ||
Input | item | 2 | |
Amortized cost | Mortgage servicing rights | Life | Maximum | ||
Inputs | ||
Input | item | 8.3 | |
Amortized cost | Mortgage servicing rights | Life | Weighted average | ||
Inputs | ||
Input | item | 7.5 |
Fair Value - Level 3 Unobserv_4
Fair Value - Level 3 Unobservable Inputs, ESS (Details) - Excess servicing spread financing - Level 3 $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018USD ($)item | Dec. 31, 2017USD ($)item | |
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Carrying value | $ | $ 223,275 | $ 236,534 |
Unpaid principal balance of underlying mortgage loans | $ | $ 24,058,366 | $ 27,217,199 |
Average servicing fee rate (as a percent) | 0.34% | 0.34% |
Average excess servicing spread (as a percent) | 0.19% | 0.19% |
Pricing spread | Minimum | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Input | 3.4 | 3.8 |
Pricing spread | Maximum | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Input | 3.9 | 4.3 |
Pricing spread | Weighted average | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Input | 3.7 | 4.1 |
Annual total prepayment speed | Minimum | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Input | 7.6 | 8.4 |
Annual total prepayment speed | Maximum | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Input | 38.4 | 41.4 |
Annual total prepayment speed | Weighted average | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Input | 9 | 10.8 |
Life | Minimum | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Input | 1.4 | 1.4 |
Life | Maximum | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Input | 8 | 7.7 |
Life | Weighted average | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Input | 7.1 | 6.5 |
Fair Value - Level 3 Unobserv_5
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Liabilities (Details) - Mortgage servicing liabilities - Level 3 | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018USD ($)item | Dec. 31, 2017USD ($)item | |
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Carrying value | $ | $ 9,769,000 | $ 14,120,000 |
Unpaid principal balance of underlying mortgage loans | $ | $ 1,265,461,000 | $ 1,620,609,000 |
Weighted-average servicing fee rate (as a percent) | 25.00% | 0.25% |
Annual per-loan cost of servicing | $ | $ 372 | $ 404 |
Pricing spread | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Input | item | 7.8 | 7.7 |
Annual total prepayment speed | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Input | item | 31.6 | 32.9 |
Life | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Input | item | 3.9 | 3.5 |
Mortgage Loans Held for Sale _3
Mortgage Loans Held for Sale at Fair Value (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale at fair value | $ 2,416,955 | $ 3,099,103 |
Fair value of mortgage loans pledged to secure assets sold under agreements to repurchase | 1,841,097 | 2,530,299 |
Fair value of mortgage loans pledged to secure mortgage loan participation and sale agreement | 547,969 | 551,688 |
Pledged Assets Separately Reported, Loans Pledged as Collateral, at Fair Value, Total | 2,389,066 | 3,081,987 |
Government-insured or guaranteed | ||
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale at fair value | 1,892,992 | 2,085,764 |
Conventional mortgage loans | ||
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale at fair value | 158,660 | 231,128 |
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 | 354,076 | 777,300 |
Mortgage loans repurchased pursuant to representations and warranties | ||
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale at fair value | $ 11,227 | $ 4,911 |
Derivative Activities - Other I
Derivative Activities - Other Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Dec. 31, 2017 | |
Derivative assets: | ||||||
Derivative asset, before netting | $ 92,814 | $ 85,046 | ||||
Netting | (19,196) | (6,867) | ||||
Total derivative assets | 73,618 | 78,179 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 36,261 | 10,043 | ||||
Netting | (23,568) | (4,247) | ||||
Net amounts of liabilities presented in the consolidated balance sheet | 12,693 | 5,796 | ||||
Interest Expense. | Repurchase agreement derivative | ||||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Gains (losses) recognized on derivative financial instruments | $ (227) | $ (1,345) | ||||
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 | 10,820 | $ (26,981) | 100,422 | $ (27,191) | ||
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 | (52,971) | 7,174 | (180,853) | (17,018) | ||
Margin Deposits | ||||||
Derivative assets: | ||||||
Derivative asset, before netting | (4,372) | 2,620 | ||||
Interest rate lock commitments | ||||||
Derivative assets: | ||||||
Total derivative assets | 41,075 | 60,012 | ||||
Interest rate lock commitments | Net gains on mortgage loans held for sale at fair value | ||||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Gains (losses) recognized on derivative financial instruments | (18,526) | 8,226 | (21,109) | (5,008) | ||
Forward contracts | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 7,115,621 | 4,920,883 | 7,115,621 | 4,920,883 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 821 | 4,288 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 29,569 | 1,272 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of quarter | 4,920,883 | |||||
Balance end of quarter | 7,115,621 | 7,115,621 | ||||
Forward contracts | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 6,711,197 | 5,204,796 | 6,711,197 | 5,204,796 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 16,892 | 2,101 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 2,780 | 7,031 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of quarter | 5,204,796 | |||||
Balance end of quarter | 6,711,197 | 6,711,197 | ||||
MBS put options | ||||||
Derivative Instruments | ||||||
Notional amount | 4,150,000 | 4,925,000 | 4,150,000 | 4,925,000 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 4,413 | 3,481 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of quarter | 4,925,000 | |||||
Balance end of quarter | 4,150,000 | 4,150,000 | ||||
MBS call options | ||||||
Derivative Instruments | ||||||
Notional amount | 1,250,000 | 1,250,000 | 1,250,000 | |||
Derivative assets: | ||||||
Derivative asset, before netting | 12 | |||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance end of quarter | 1,250,000 | 1,250,000 | ||||
Put options on interest rate futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 2,225,000 | 2,125,000 | 2,225,000 | 2,125,000 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 3,063 | 3,570 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of quarter | 2,125,000 | |||||
Balance end of quarter | 2,225,000 | 2,225,000 | ||||
Put options on interest rate futures | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 300,000 | 300,000 | 300,000 | |||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance end of quarter | 300,000 | 300,000 | ||||
Call options on interest rate futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 400,000 | 100,000 | 400,000 | 100,000 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 63 | 938 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of quarter | 100,000 | |||||
Balance end of quarter | 400,000 | 400,000 | ||||
Treasury future | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 835,000 | 100,000 | 835,000 | 100,000 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of quarter | 100,000 | |||||
Balance end of quarter | 835,000 | 835,000 | ||||
Treasury future | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 1,450,000 | 1,450,000 | 1,450,000 | |||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance end of quarter | 1,450,000 | 1,450,000 | ||||
Interest rate swap futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 1,400,000 | 1,400,000 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of quarter | 1,400,000 | |||||
Interest rate swap futures | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 625,000 | 625,000 | 625,000 | |||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance end of quarter | 625,000 | 625,000 | ||||
Not designated as hedging instrument | Repurchase agreement derivatives | ||||||
Derivative assets: | ||||||
Derivative asset, before netting | 26,475 | 10,656 | ||||
Not designated as hedging instrument | Interest rate lock commitments | ||||||
Derivative Instruments | ||||||
Notional amount | 3,388,437 | 3,654,955 | 3,388,437 | 3,654,955 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 41,075 | 60,012 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 3,912 | 1,740 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of quarter | 3,654,955 | |||||
Balance end of quarter | 3,388,437 | 3,388,437 | ||||
Not designated as hedging instrument | Forward contracts | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 6,617,888 | 7,819,706 | 4,920,883 | 12,746,191 | 7,115,621 | 4,920,883 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of quarter | 6,617,888 | 7,819,706 | 4,920,883 | 12,746,191 | ||
Additions | 47,038,415 | 47,723,376 | 140,158,865 | 136,663,951 | ||
Dispositions/expirations | (46,540,682) | (48,242,564) | (137,964,127) | (142,109,624) | ||
Balance end of quarter | 7,115,621 | 7,300,518 | 7,115,621 | 7,300,518 | ||
Not designated as hedging instrument | Forward contracts | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 7,107,202 | 7,641,979 | 5,204,796 | 16,577,942 | 6,711,197 | 5,204,796 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of quarter | 7,107,202 | 7,641,979 | 5,204,796 | 16,577,942 | ||
Additions | 58,521,199 | 61,239,459 | 174,562,881 | 169,173,906 | ||
Dispositions/expirations | (58,917,204) | (61,296,545) | (173,056,480) | (178,166,955) | ||
Balance end of quarter | 6,711,197 | 7,584,893 | 6,711,197 | 7,584,893 | ||
Not designated as hedging instrument | MBS put options | ||||||
Derivative Instruments | ||||||
Notional amount | 2,675,000 | 6,075,000 | 4,925,000 | 1,175,000 | 4,150,000 | 4,925,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of quarter | 2,675,000 | 6,075,000 | 4,925,000 | 1,175,000 | ||
Additions | 8,375,000 | 6,825,000 | 17,250,000 | 19,675,000 | ||
Dispositions/expirations | (6,900,000) | (7,250,000) | (18,025,000) | (15,200,000) | ||
Balance end of quarter | 4,150,000 | 5,650,000 | 4,150,000 | 5,650,000 | ||
Not designated as hedging instrument | MBS call options | ||||||
Derivative Instruments | ||||||
Notional amount | 1,250,000 | 650,000 | 1,250,000 | 1,600,000 | 1,250,000 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of quarter | 1,600,000 | |||||
Additions | 1,250,000 | 7,900,000 | 12,375,000 | 12,100,000 | ||
Dispositions/expirations | (7,250,000) | (11,125,000) | (13,050,000) | |||
Balance end of quarter | 1,250,000 | 650,000 | 1,250,000 | 650,000 | ||
Not designated as hedging instrument | Put options on interest rate futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 1,852,500 | 1,250,000 | 2,125,000 | 1,125,000 | 2,225,000 | 2,125,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of quarter | 1,852,500 | 1,250,000 | 2,125,000 | 1,125,000 | ||
Additions | 4,922,300 | 2,950,000 | 16,624,800 | 7,410,000 | ||
Dispositions/expirations | (4,549,800) | (3,175,000) | (16,524,800) | (7,510,000) | ||
Balance end of quarter | 2,225,000 | 1,025,000 | 2,225,000 | 1,025,000 | ||
Not designated as hedging instrument | Put options on interest rate futures | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 300,000 | 200,000 | 300,000 | 300,000 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of quarter | 200,000 | |||||
Additions | 4,849,800 | 2,975,000 | 16,824,800 | 7,510,000 | ||
Dispositions/expirations | (4,549,800) | (3,175,000) | (16,524,800) | (7,510,000) | ||
Balance end of quarter | 300,000 | 300,000 | ||||
Not designated as hedging instrument | Call options on interest rate futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 800,000 | 200,000 | 100,000 | 900,000 | 400,000 | 100,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of quarter | 800,000 | 200,000 | 100,000 | 900,000 | ||
Additions | 950,000 | 125,000 | 2,400,000 | 1,614,300 | ||
Dispositions/expirations | (1,350,000) | (200,000) | (2,100,000) | (2,389,300) | ||
Balance end of quarter | 400,000 | 125,000 | 400,000 | 125,000 | ||
Not designated as hedging instrument | Call options on interest rate futures | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 125,000 | 125,000 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Additions | 1,350,000 | 325,000 | 2,100,000 | 2,514,300 | ||
Dispositions/expirations | (1,350,000) | (200,000) | (2,100,000) | (2,389,300) | ||
Balance end of quarter | 125,000 | 125,000 | ||||
Not designated as hedging instrument | Treasury future | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 835,000 | 100,000 | 835,000 | 100,000 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of quarter | 835,000 | 100,000 | ||||
Additions | 2,557,100 | 46,500 | 7,453,300 | 212,600 | ||
Dispositions/expirations | (2,557,100) | (46,500) | (6,718,300) | (212,600) | ||
Balance end of quarter | 835,000 | 835,000 | ||||
Not designated as hedging instrument | Treasury future | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 1,450,000 | 1,450,000 | 1,450,000 | |||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of quarter | 1,450,000 | |||||
Additions | 2,557,100 | 46,500 | 8,829,600 | 212,600 | ||
Dispositions/expirations | (2,557,100) | (46,500) | (7,379,600) | (212,600) | ||
Balance end of quarter | 1,450,000 | 1,450,000 | ||||
Not designated as hedging instrument | Interest rate swap futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 465,000 | 325,000 | 1,400,000 | 200,000 | $ 1,400,000 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of quarter | 465,000 | 325,000 | 1,400,000 | 200,000 | ||
Additions | 420,000 | 1,075,000 | 885,000 | 1,600,000 | ||
Dispositions/expirations | (885,000) | (2,285,000) | (400,000) | |||
Balance end of quarter | $ 1,400,000 | 1,400,000 | ||||
Not designated as hedging instrument | Interest rate swap futures | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 625,000 | 625,000 | $ 625,000 | |||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Additions | 885,000 | 2,285,000 | 400,000 | |||
Dispositions/expirations | (260,000) | (1,660,000) | $ (400,000) | |||
Balance end of quarter | $ 625,000 | $ 625,000 |
Derivative Activities - Offsett
Derivative Activities - Offsetting of Derivative Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized assets | $ 67,550 | $ 70,668 |
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 25,264 | 14,378 |
Gross amounts offset in the consolidated balance sheet | (19,196) | (6,867) |
Net amounts of assets presented in the consolidated balance sheet | 6,068 | 7,511 |
Total | ||
Gross amounts of recognized assets | 92,814 | 85,046 |
Net amounts of assets presented in the balance sheet | 73,618 | 78,179 |
Interest rate lock commitments | ||
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized assets | 41,075 | 60,012 |
Total | ||
Net amounts of assets presented in the balance sheet | 41,075 | 60,012 |
Repurchase agreement derivatives | ||
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized assets | 26,475 | 10,656 |
MBS put options | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 4,413 | 3,481 |
Net amounts of assets presented in the consolidated balance sheet | 4,413 | 3,481 |
Total | ||
Gross amounts of recognized assets | 4,413 | 3,481 |
MBS call options | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 12 | |
Net amounts of assets presented in the consolidated balance sheet | 12 | |
Total | ||
Gross amounts of recognized assets | 12 | |
Forward contracts | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 821 | 4,288 |
Net amounts of assets presented in the consolidated balance sheet | 821 | 4,288 |
Total | ||
Gross amounts of recognized assets | 821 | 4,288 |
Forward contracts | Sales | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 16,892 | 2,101 |
Net amounts of assets presented in the consolidated balance sheet | 16,892 | 2,101 |
Total | ||
Gross amounts of recognized assets | 16,892 | 2,101 |
Put options on interest rate futures | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 3,063 | 3,570 |
Net amounts of assets presented in the consolidated balance sheet | 3,063 | 3,570 |
Total | ||
Gross amounts of recognized assets | 3,063 | 3,570 |
Call options on interest rate futures | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 63 | 938 |
Net amounts of assets presented in the consolidated balance sheet | 63 | 938 |
Total | ||
Gross amounts of recognized assets | 63 | 938 |
Margin Deposits | ||
Total | ||
Gross amounts of recognized assets | $ (4,372) | $ 2,620 |
Derivative Activities - Offse_2
Derivative Activities - Offsetting of Derivative Assets - Derivative Assets, Financial Assets, and Collateral Held by Counterparty (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Total | ||
Net amounts of assets presented in the balance sheet | $ 73,618 | $ 78,179 |
Net amount | 73,618 | 78,179 |
Deutsche Bank AG | ||
Total | ||
Net amounts of assets presented in the balance sheet | 26,475 | 10,656 |
Net amount | 26,475 | 10,656 |
RJ O'Brien | ||
Total | ||
Net amounts of assets presented in the balance sheet | 3,125 | 4,508 |
Net amount | 3,125 | 4,508 |
Citibank, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 1,222 | |
Net amount | 1,222 | |
JP Morgan | ||
Total | ||
Net amounts of assets presented in the balance sheet | 267 | |
Net amount | 267 | |
Goldman Sachs | ||
Total | ||
Net amounts of assets presented in the balance sheet | 646 | 540 |
Net amount | 646 | 540 |
Morgan Stanley Bank | ||
Total | ||
Net amounts of assets presented in the balance sheet | 587 | |
Net amount | 587 | |
Federal National Mortgage Association | ||
Total | ||
Net amounts of assets presented in the balance sheet | 1,092 | |
Net amount | 1,092 | |
Other | ||
Total | ||
Net amounts of assets presented in the balance sheet | 488 | 1,104 |
Net amount | 488 | 1,104 |
Interest rate lock commitments | ||
Total | ||
Net amounts of assets presented in the balance sheet | 41,075 | 60,012 |
Net amount | $ 41,075 | $ 60,012 |
Derivative Activities - Offse_3
Derivative Activities - Offsetting of Derivative Assets - Offsetting of Derivative and Financial Liabilities (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | $ 32,349 | $ 8,303 |
Netting | (23,568) | (4,247) |
Net amounts of liabilities presented in the balance sheet | 8,781 | 4,056 |
Total | ||
Gross amounts of recognized liabilities | 36,261 | 10,043 |
Net amounts of liabilities presented in the consolidated balance sheet | 12,693 | 5,796 |
Mortgage loans sold under agreements to repurchase | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,738,839 | |
Debt Issuance Costs | ||
Debt issuance costs, gross | 799 | 672 |
Debt issuance costs | 799 | 672 |
Gross amounts of recognized liabilities | 1,739,638 | 2,381,538 |
Net amount of liabilities in the consolidated balance sheet | 1,739,638 | 2,381,538 |
Total | ||
Gross amounts of recognized liabilities | 1,775,899 | 2,391,581 |
Gross amounts offset in the consolidated balance sheet | (23,568) | (4,247) |
Net amounts of liabilities presented in the consolidated balance sheet | 1,751,532 | 2,386,662 |
Net amount of liabilities in the consolidated balance sheet | 12,693 | 5,796 |
Receivable from Counterparties | ||
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,752,331 | 2,387,334 |
Assets sold under agreements to repurchase | ||
Mortgage loans sold under agreements to repurchase | ||
Gross amounts of recognized liabilities | 1,738,839 | 2,380,866 |
Net amounts of liabilities presented in the consolidated balance sheet | 1,738,839 | 2,380,866 |
Net amounts of liabilities presented in the consolidated balance sheet | 1,738,839 | 2,380,866 |
Debt Issuance Costs | ||
Debt issuance costs | 799 | 672 |
Net amount of liabilities in the consolidated balance sheet | 1,739,638 | 2,381,538 |
Forward contracts | Purchases | ||
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | 29,569 | 1,272 |
Net amounts of liabilities presented in the balance sheet | 29,569 | 1,272 |
Total | ||
Gross amounts of recognized liabilities | 29,569 | 1,272 |
Forward contracts | Sales | ||
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | 2,780 | 7,031 |
Net amounts of liabilities presented in the balance sheet | 2,780 | 7,031 |
Total | ||
Gross amounts of recognized liabilities | 2,780 | 7,031 |
Interest rate lock commitments | ||
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized liabilities | 3,912 | 1,740 |
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 3,912 | 1,740 |
Net amount of liabilities in the consolidated balance sheet | $ 3,912 | $ 1,740 |
Derivative Activities - Offse_4
Derivative Activities - Offsetting of Derivative Assets - Derivative Liabilities, Financial Liabilities, and Collateral Held by Counterparty (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | $ 1,751,532 | $ 2,386,662 |
Financial instruments | (1,738,839) | (2,380,866) |
Net amount of liabilities in the consolidated balance sheet | 12,693 | 5,796 |
Credit Suisse First Boston Mortgage Capital LLC | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 628,815 | 1,010,562 |
Financial instruments | (628,815) | (1,010,320) |
Net amount of liabilities in the consolidated balance sheet | 242 | |
Bank of America, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 253,272 | 406,787 |
Financial instruments | (247,572) | (406,355) |
Net amount of liabilities in the consolidated balance sheet | 5,700 | 432 |
Deutsche Bank AG | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 598,392 | 593,864 |
Financial instruments | (598,392) | (593,864) |
Barclays | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 388 | 6,387 |
Financial instruments | (6,387) | |
Net amount of liabilities in the consolidated balance sheet | 388 | |
Royal Bank of Canada | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 33,465 | 24,835 |
Financial instruments | (33,465) | (23,752) |
Net amount of liabilities in the consolidated balance sheet | 1,083 | |
JP Morgan | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 59,826 | 90,442 |
Financial instruments | (58,780) | (90,442) |
Net amount of liabilities in the consolidated balance sheet | 1,046 | |
Morgan Stanley Bank | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 71,210 | 139,491 |
Financial instruments | (71,210) | (138,983) |
Net amount of liabilities in the consolidated balance sheet | 508 | |
Citibank, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 19,442 | 23,010 |
Financial instruments | (19,442) | (23,010) |
BNP Paribas | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 81,163 | 87,753 |
Financial instruments | (81,163) | (87,753) |
Other | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,647 | 1,791 |
Net amount of liabilities in the consolidated balance sheet | 1,647 | 1,791 |
Interest rate lock commitments | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 3,912 | 1,740 |
Net amount of liabilities in the consolidated balance sheet | $ 3,912 | $ 1,740 |
Carried Interest Due from Inv_3
Carried Interest Due from Investment Funds (Details) - Investment Funds - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Activity in the carried interest | ||||
Balance at beginning of quarter | $ 370 | $ 71,019 | $ 8,552 | $ 70,906 |
Carried Interest recognized during the quarter | (17) | (1,158) | (365) | (1,045) |
Cash received during the quarter | $ (353) | (61,314) | $ (8,187) | (61,314) |
Balance at end of quarter | $ 8,547 | $ 8,547 |
Mortgage Servicing Rights and_3
Mortgage Servicing Rights and Mortgage Servicing Liabilities - Activity in MSRs at Fair Value (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Jun. 30, 2018 | Dec. 31, 2017 | Jun. 30, 2017 | Dec. 31, 2016 | |
Activity in MSRs carried at fair value | ||||||||
Balance at beginning of quarter | $ 638,010 | |||||||
Change in fair value: | ||||||||
Balance at end of quarter | $ 2,785,964 | 2,785,964 | ||||||
Mortgage servicing rights | ||||||||
Activity in MSRs carried at fair value | ||||||||
Balance at beginning of quarter | 2,486,157 | $ 678,441 | 638,010 | $ 515,925 | ||||
Reclassification of mortgage servicing rights previously accounted for under the amortization method | $ 1,482,426 | |||||||
Balance after reclassification | $ 2,486,157 | 2,120,436 | $ 678,441 | $ 515,925 | ||||
Additions - Purchases | 163,511 | 41 | 193,640 | 183,830 | ||||
Additions - Mortgage servicing rights resulting from mortgage loan sales | 149,000 | 5,773 | 448,604 | 19,702 | ||||
Additions | 312,511 | 5,814 | 642,244 | 203,532 | ||||
Change in fair value: | ||||||||
Changes in valuation inputs used in valuation model | 64,293 | (4,857) | 239,538 | (4,453) | ||||
Other changes in fair value | (76,997) | (23,414) | (216,254) | (59,020) | ||||
Total change in fair value | (12,704) | (28,271) | 23,284 | (63,473) | ||||
Balance at end of quarter | 2,785,964 | $ 655,984 | 2,785,964 | $ 655,984 | ||||
Total | $ 2,539,575 | $ 2,539,575 | $ 630,711 |
Mortgage Servicing Rights and_4
Mortgage Servicing Rights and Mortgage Servicing Liabilities - Activity in MSRs Carried at Lower of Amortize Cost or FV (Details) - Mortgage servicing rights - USD ($) $ in Thousands | Jan. 01, 2018 | Sep. 30, 2017 | Sep. 30, 2017 | Dec. 31, 2017 | Jun. 30, 2017 | Dec. 31, 2016 |
Amortized cost: | ||||||
Amortized cost at beginning of quarter | $ 1,583,378 | $ 1,384,741 | $ 1,206,694 | |||
Transfer of mortgage servicing rights resulting from change in method of accounting | (1,583,378) | |||||
Balance after reclassification | $ 1,384,741 | $ 1,206,694 | ||||
Mortgage servicing rights resulting from mortgage loan sales | 153,061 | 412,206 | ||||
Amortization | (48,448) | (129,546) | ||||
Amortized cost at end of quarter | 1,489,354 | 1,489,354 | ||||
Valuation allowance: | ||||||
Balance at beginning of quarter | (101,800) | (111,583) | (94,947) | |||
Reduction resulting from change in method of accounting | $ 101,800 | |||||
Balance after reclassification | (111,583) | (94,947) | ||||
Application of valuation allowance to write down mortgage servicing rights with other-than-temporary impairment | (17,270) | (33,906) | ||||
Balance at end of quarter | (128,853) | (128,853) | ||||
Additional disclosures | ||||||
Mortgage servicing rights, net | 1,360,501 | 1,360,501 | ||||
Fair value of mortgage servicing rights at beginning of year | 1,360,578 | 1,360,578 | 1,273,364 | 1,112,302 | ||
Fair value of mortgage servicing rights at end of year | $ 1,360,578 | $ 1,360,578 | $ 1,273,364 | $ 1,112,302 | ||
Total | $ 1,467,356 |
Mortgage Servicing Rights and_5
Mortgage Servicing Rights and Mortgage Servicing Liabilities - Mortgage Servicing Liabilities Carried at FV (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Amortized cost: | ||||
Mortgage servicing liabilities resulting from mortgage loan sales | $ 5,548 | $ 11,940 | ||
Mortgage servicing liabilities | ||||
Amortized cost: | ||||
Balance at beginning of quarter | $ 10,253 | $ 18,295 | 14,120 | 15,192 |
Mortgage servicing liabilities resulting from mortgage loan sales | 1,741 | 4,071 | 5,548 | 11,940 |
Changes in valuation inputs used in valuation model | 3,410 | (176) | 8,590 | 7,819 |
Other changes in fair value | (5,635) | (6,114) | (18,489) | (18,875) |
Total change in fair value | (2,225) | (6,290) | (9,899) | (11,056) |
Balance at end of quarter | $ 9,769 | $ 16,076 | $ 9,769 | $ 16,076 |
Mortgage Servicing Rights and_6
Mortgage Servicing Rights and Mortgage Servicing Liabilities - Servicing, Late, Ancillary and Other Fees Relating to MSRs (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Contractually Specified Servicing Fees, Amount | $ 147,182 | $ 126,416 | $ 421,536 | $ 345,231 |
Ancillary and other fees | ||||
Ancillary Fee Income Generated by Servicing Financial Assets, Amount | 17,009 | 15,548 | 44,817 | 38,616 |
Bank Servicing Fees | 109,703 | 78,081 | 340,181 | 199,157 |
Mortgage servicing rights | ||||
Contractually Specified Servicing Fees, Amount | 147,182 | 126,416 | 421,536 | 345,231 |
Ancillary and other fees | ||||
Late Fee Income Generated by Servicing Financial Assets, Amount | 5,087 | 6,326 | 19,595 | 18,915 |
Ancillary Fee Income Generated by Servicing Financial Assets, Amount | 1,244 | 1,270 | 4,620 | 3,296 |
Bank Servicing Fees | $ 153,513 | $ 134,012 | $ 445,751 | $ 367,442 |
Borrowings - Assets Sold Under
Borrowings - Assets Sold Under Agreement to Repurchase (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
During the period: | |||||
Total interest expense | $ 4,676 | $ 19,203 | $ 15,943 | $ 52,249 | |
Carrying value: | |||||
Unpaid principal balance | 1,738,839 | 1,738,839 | |||
Unamortized debt issuance costs and premiums | 799 | 799 | $ 672 | ||
Total loans sold under agreements to repurchase | 1,739,638 | 1,739,638 | 2,381,538 | ||
Assets sold under agreements to repurchase | |||||
During the period: | |||||
Average balance of mortgage loans sold under agreements to repurchase | $ 1,563,053 | $ 1,960,332 | $ 1,618,008 | $ 1,854,786 | |
Weighted-average interest rate (as a percent) | 3.91% | 3.23% | 3.72% | 3.15% | |
Total interest expense | $ 4,676 | $ 19,203 | $ 15,943 | $ 52,249 | |
Maximum daily amount outstanding | 2,201,880 | 2,564,756 | 2,380,121 | 2,581,199 | |
Carrying value: | |||||
Unpaid principal balance | 1,738,839 | 1,738,839 | 2,380,866 | ||
Unamortized debt issuance costs and premiums | 799 | 799 | 672 | ||
Total loans sold under agreements to repurchase | $ 1,739,638 | $ 1,739,638 | $ 2,381,538 | ||
Weighted average interest rate (as a percent) | 3.93% | 3.93% | 3.24% | ||
Available borrowing capacity committed | $ 449,370 | $ 449,370 | $ 316,503 | ||
Available borrowing capacity uncommitted | 2,796,791 | 2,796,791 | 2,257,631 | ||
Available borrowing capacity | 3,246,161 | 3,246,161 | 2,574,134 | ||
Margin deposits placed with counterparties | 3,750 | 3,750 | 3,750 | ||
Amortization of premium | 10,900 | $ 3,000 | 29,700 | $ 7,900 | |
Amount of Master Repurchase Agreement incentives to refinance include in interest expense | 12,800 | $ 35,500 | |||
Initial term of Master Repurchase Agreement | 6 months | ||||
Assets sold under agreements to repurchase | Mortgage Loans held for sale | |||||
Carrying value: | |||||
Fair value of assets pledged to secure | 1,841,097 | $ 1,841,097 | 2,530,299 | ||
Assets sold under agreements to repurchase | Mortgage servicing rights | |||||
Carrying value: | |||||
Fair value of assets pledged to secure | 2,539,575 | 2,539,575 | 2,098,067 | ||
Assets sold under agreements to repurchase | Servicing advances | |||||
Carrying value: | |||||
Fair value of assets pledged to secure | 102,222 | 102,222 | 114,643 | ||
Assets sold under agreements to repurchase | Financing receivable | |||||
Carrying value: | |||||
Fair value of assets pledged to secure | $ 133,128 | $ 133,128 | $ 144,128 |
Borrowings - Maturities of Outs
Borrowings - Maturities of Outstanding Advances Under Repurchase Agreements (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2018USD ($) | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 1,738,839 |
Weighted-average maturity (in months) | 2 months 9 days |
Within 30 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 444,530 |
Over 30 to 90 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | 1,239,074 |
Over 90 to 180 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | 5,235 |
Over one to two years | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 50,000 |
Borrowings - Mortgage Loans Sol
Borrowings - Mortgage Loans Sold Under Agreement to Repurchase by Counterparty (Details) - Assets sold under agreements to repurchase $ in Thousands | Sep. 30, 2018USD ($) |
Credit Suisse First Boston Mortgage Capital LLC Tranche Two | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 1,290,904 |
Credit Suisse First Boston Mortgage Capital LLC Tranche One | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 33,078 |
Deutsche Bank AG | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 84,185 |
Bank of America, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 17,796 |
Morgan Stanley Bank | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 4,656 |
JP Morgan | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 4,937 |
BNP Paribas | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 4,384 |
Royal Bank of Canada | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 1,704 |
Citibank, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 783 |
Borrowings - Mortgage Loan Part
Borrowings - Mortgage Loan Participation and Sale Agreement (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
During the period: | |||||
Total interest expense | $ 2,533,000 | $ 1,484,000 | $ 6,450,000 | $ 3,780,000 | |
Carrying value: | |||||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 524,667,000 | 524,667,000 | $ 527,395,000 | ||
Mortgage Loan Participation and Sale Agreement member | |||||
During the period: | |||||
Average balance | $ 289,008,000 | $ 213,486,000 | $ 250,599,000 | $ 200,119,000 | |
Weighted-average interest rate (as a percent) | 3.31% | 2.48% | 3.14% | 2.25% | |
Total interest expense | $ 2,533,000 | $ 1,484,000 | $ 6,450,000 | $ 3,780,000 | |
Carrying value: | |||||
Unpaid principal balance of mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 524,686,000 | 524,686,000 | 527,706,000 | ||
Unamortized issuance costs | (19,000) | (19,000) | (311,000) | ||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 524,667,000 | $ 524,667,000 | $ 527,395,000 | ||
Weighted-average interest rate (as a percent) | 3.51% | 3.51% | 2.81% | ||
Fair value of mortgage loans pledged to secure | $ 547,969,000 | $ 547,969,000 | $ 551,688,000 | ||
Amortization of debt issuance costs | 92,000 | 134,000 | 475,000 | 365,000 | |
Maximum | Mortgage Loan Participation and Sale Agreement member | |||||
Carrying value: | |||||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 532,266,000 | 532,266,000 | |||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 722,611,000 | $ 532,266,000 | $ 722,611,000 | $ 532,266,000 |
Borrowings - Note Payable (Deta
Borrowings - Note Payable (Details) - USD ($) | Aug. 10, 2018 | Feb. 28, 2018 | Aug. 10, 2017 | Feb. 16, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 |
During the period: | |||||||||
Total interest expense | $ 21,369,000 | $ 11,747,000 | $ 55,939,000 | $ 24,746,000 | |||||
Carrying value: | |||||||||
Notes payable | 1,291,847,000 | 1,291,847,000 | $ 891,505,000 | ||||||
Notes payable | |||||||||
Repayments of notes payable | 900,000,000 | 186,935,000 | |||||||
Debt issuance costs | 3,400,000 | ||||||||
Note Payable | |||||||||
During the period: | |||||||||
Average balance | $ 1,234,783,000 | $ 689,417,000 | $ 1,125,458,000 | $ 483,370,000 | |||||
Weighted-average interest rate (as a percent) | 5.07% | 5.85% | 5.29% | 5.87% | |||||
Total interest expense | $ 21,369,000 | $ 11,747,000 | $ 55,939,000 | $ 24,746,000 | |||||
Maximum daily amount outstanding | 1,300,000,000 | 890,879,000 | 1,300,000,000 | 891,011,000 | |||||
Carrying value: | |||||||||
Unpaid principal balance | 1,300,000,000 | 1,300,000,000 | 900,006,000 | ||||||
Unamortized issuance costs | (8,153,000) | (8,153,000) | (8,501,000) | ||||||
Notes payable | $ 1,291,847,000 | $ 1,291,847,000 | $ 891,505,000 | ||||||
Weighted-average interest rate (as a percent) | 4.82% | 4.82% | 5.66% | ||||||
Unused amount | $ 150,000,000 | $ 150,000,000 | $ 280,000,000 | ||||||
Amortization of Financing Costs | 5,200,000 | $ 1,200,000 | 10,300,000 | $ 3,200,000 | |||||
Non-utilization fees | 179,000 | 562,000 | |||||||
Notes payable | |||||||||
Repayments of notes payable | $ 500,000,000 | $ 400,000,000 | |||||||
Debt issuance costs | 4,600,000 | 4,600,000 | |||||||
Note Payable | Revolving credit agreement | |||||||||
Short-term Debt [Line Items] | |||||||||
Maximum loan amount | 150,000,000 | 150,000,000 | |||||||
Note Payable | LIBOR | |||||||||
Notes payable | |||||||||
Maximum loan amount | $ 650,000,000 | $ 650,000,000 | $ 500,000,000 | $ 400,000,000 | |||||
Description of variable rate | one-month LIBOR | one-month LIBOR | one-month LIBOR | one-month LIBOR | |||||
Interest rate spread | 2.65% | 2.85% | 4.00% | 4.75% | |||||
Note Payable | Mortgage servicing rights | |||||||||
Carrying value: | |||||||||
Assets pledged to secure | 2,539,575,000 | 2,539,575,000 | 2,098,067,000 | ||||||
Note Payable | Cash. | |||||||||
Carrying value: | |||||||||
Assets pledged to secure | 81,640,000 | 81,640,000 | 20,765,000 | ||||||
Note Payable | Carried interest | |||||||||
Carrying value: | |||||||||
Assets pledged to secure | 8,552,000 | ||||||||
Note Payable | Servicing advances | |||||||||
Carrying value: | |||||||||
Assets pledged to secure | $ 102,222,000 | $ 102,222,000 | $ 114,643,000 |
Borrowings - Obligations Under
Borrowings - Obligations Under Capital Lease (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Obligations Under Capital Lease | |||||
Average balance | $ 11,615 | $ 25,507 | $ 15,187 | $ 25,573 | |
Weighted average interest rate | 4.09% | 3.25% | 3.87% | 3.01% | |
Total interest expense | $ 122 | $ 205 | $ 444 | $ 585 | |
Unpaid principal balance | $ 9,630 | $ 9,630 | $ 20,971 | ||
Weighted average interest rate | 4.16% | 4.16% | 3.26% | ||
Furniture, fixtures, equipment and building improvements pledged to creditors | $ 19,022 | $ 19,022 | $ 23,915 | ||
Capitalized software pledged to creditors | 1,231 | 1,231 | $ 1,568 | ||
Maximum | |||||
Obligations Under Capital Lease | |||||
Maximum daily amount outstanding | $ 13,032 | $ 26,641 | $ 20,971 | $ 30,044 |
Borrowings - ESS (Details)
Borrowings - ESS (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
PMT | ||||
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: | ||||
Change in fair value | $ (1,109) | $ 4,828 | $ (9,026) | $ 14,757 |
Excess servicing spread financing | ||||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the quarter | 229,470 | 261,796 | 236,534 | 288,669 |
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: | ||||
Accrual of interest | 3,740 | 3,998 | 11,584 | 13,011 |
Repayment | (11,543) | (13,410) | (35,852) | (42,320) |
Change in fair value | 1,109 | (4,828) | 9,026 | (14,757) |
Balance at the end of the quarter | 223,275 | 248,763 | 223,275 | 248,763 |
Excess servicing spread financing | PMT | ||||
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: | ||||
Issuances | 499 | 1,207 | 1,983 | 4,160 |
Change in fair value | $ 1,109 | $ (4,828) | $ 9,026 | $ (14,757) |
Liability for Losses Under Re_3
Liability for Losses Under Representations and Warranties (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
During the year: | ||||
Balance at beginning of quarter | $ 20,587 | $ 19,568 | $ 20,053 | $ 19,067 |
Provision for losses relating to representations and warranties on loans sold pursuant to mortgage loan sales | 1,842 | 1,596 | 4,550 | 4,294 |
Provision for losses relating to representations and warranties on loans sold reduction in liability due to change in estimate | (1,155) | (1,194) | (3,627) | (3,086) |
Incurred losses | (252) | (297) | 46 | (602) |
Balance at end of quarter | 21,022 | 19,673 | 21,022 | 19,673 |
Unpaid principal balance of mortgage loans subject to representations and warranties at period end | $ 139,315,779 | $ 114,531,205 | $ 139,315,779 | $ 114,531,205 |
Income Taxes (Details)
Income Taxes (Details) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
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) | 9.00% | 12.40% | 8.60% | 12.40% | |
Federal income tax statutory rate (as a percent) | 21.00% | 35.00% |
Commitments and Contingencies -
Commitments and Contingencies - Commitments to Fund and Sell Mortgage Loans (Details) $ in Billions | Sep. 30, 2018USD ($) |
Commitments and Contingencies. | |
Total commitments to purchase and fund mortgage loans | $ 3.4 |
Commitments and Contingencies_2
Commitments and Contingencies - Leases (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Commitments and Contingencies. | ||||
Rent expense | $ 3,700 | $ 3,000 | $ 10,300 | $ 8,800 |
Future minimum lease payments | ||||
2,019 | 15,243 | 15,243 | ||
2,020 | 15,367 | 15,367 | ||
2,021 | 12,967 | 12,967 | ||
2,022 | 10,487 | 10,487 | ||
2,023 | 9,572 | 9,572 | ||
Thereafter | 25,538 | 25,538 | ||
Total future minimum lease payments | $ 89,174 | $ 89,174 |
Stockholders' Equity (Details)
Stockholders' Equity (Details) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | 16 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Jun. 30, 2017 | |
Stockholders' Equity | |||||
Cost of shares of Class A common stock repurchased | $ 8,599 | $ 4,826 | $ 8,599 | ||
Class A Common Stock | |||||
Stockholders' Equity | |||||
Authorized stock repurchase amount | $ 50,000 | ||||
Shares of Class A common stock repurchased | 505 | 236 | 505 | 741 | |
Cost of shares of Class A common stock repurchased | $ 8,599 | $ 4,826 | $ 8,599 | $ 13,425 |
Noncontrolling Interest (Detail
Noncontrolling Interest (Details) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Net income and the effects of changes in noncontrolling interest | |||||
Net income attributable to PennyMac Financial Services, Inc. common stockholders | $ 14,489 | $ 17,081 | $ 48,945 | $ 38,439 | |
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 common stock of PennyMac Financial Services, Inc. | $ 4,377 | $ 3,656 | $ 32,501 | $ 20,583 | |
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A common stock of PennyMac Financial Services, Inc. (in shares) | 131 | 251 | 1,616 | 1,297 | |
Noncontrolling interest in Private National Mortgage Acceptance Company, LLC (as a percent) | 67.50% | 67.50% | 69.20% | ||
Class A Common Stock | |||||
Net income and the effects of changes in noncontrolling interest | |||||
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 common stock of PennyMac Financial Services, Inc. | $ 1 | ||||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A common stock of PennyMac Financial Services, Inc. (in shares) | 131 | 251 | 1,616 | 1,297 |
Net Gains on Mortgage Loans H_3
Net Gains on Mortgage Loans Held for Sale (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Cash (loss) gain: | ||||
Mortgage Loans | $ (107,414) | $ (40,747) | $ (399,457) | $ (98,408) |
Hedging activities | (2,507) | (14,592) | 89,322 | (8,168) |
Cash gain (loss), net of effects of cash hedging, on sale of mortgage loans held for sale | (109,921) | (55,339) | (310,135) | (106,576) |
Non-cash gain: | ||||
Mortgage servicing rights and mortgage servicing liabilities resulting from mortgage loan sales, net | 147,259 | 154,763 | 443,056 | 419,968 |
Provision for losses relating to representations and warranties on loans sold pursuant to mortgage loan sales | (1,842) | (1,596) | (4,550) | (4,294) |
Provision for losses relating to representations and warranties on loans sold reduction in liability due to change in estimate | 1,155 | 1,194 | 3,627 | 3,086 |
Change in fair value relating to mortgage loans and hedging derivatives held at quarter end: | ||||
Interest rate lock commitments | (18,526) | 8,226 | (21,109) | (5,008) |
Mortgage loans | 6,897 | 3,376 | 21,407 | (2,554) |
Hedging derivatives | 13,327 | (12,389) | 11,100 | (19,023) |
From non-affiliates | 38,349 | 98,235 | 143,396 | 285,599 |
Recapture payable to PennyMac Mortgage Investment Trust | 18,565 | 9,901 | 45,878 | 7,584 |
Net gains on mortgage loans held for sale at fair value | $ 56,914 | $ 108,136 | $ 189,274 | $ 293,183 |
Net Interest Income (Expense)_2
Net Interest Income (Expense) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Interest income: | |||||
Short-term investments | $ 814 | $ 733 | $ 2,001 | $ 1,727 | |
Mortgage loans held for sale at fair value | 34,941 | 28,199 | 95,982 | 68,528 | |
Placement fees relating to custodial funds | 23,397 | 13,394 | 55,014 | 27,073 | |
Interest income, excluding related parties | 59,152 | 42,326 | 152,997 | 97,328 | |
Interest income | 60,964 | 44,442 | 158,683 | 103,274 | |
Interest expense: | |||||
Assets sold under agreements to repurchase | 4,676 | 19,203 | 15,943 | 52,249 | |
Mortgage loan participation purchase and sale agreements | 2,533 | 1,484 | 6,450 | 3,780 | |
Notes payable | 21,369 | 11,747 | 55,939 | 24,746 | |
Obligations under capital lease | 122 | 205 | 444 | 585 | |
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations | 4,883 | 4,602 | 14,259 | 11,529 | |
Interest on mortgage loan impound deposits | 1,452 | 1,253 | 3,517 | 2,943 | |
Interest expense, non-affiliates | 35,035 | 38,494 | 96,552 | 95,832 | |
Interest expense | 38,775 | 42,492 | 108,136 | 108,843 | |
Net interest income (expense): | 22,189 | 1,950 | 50,547 | (5,569) | |
PMT | |||||
Interest income: | |||||
From PennyMac Mortgage Investment Trust | 1,812 | 2,116 | 5,686 | 5,946 | |
Interest expense: | |||||
To PennyMac Mortgage Investment Trust Excess servicing spread financing at fair value | 3,740 | 3,998 | 11,584 | 13,011 | |
Assets sold under agreements to repurchase | |||||
Interest expense: | |||||
Assets sold under agreements to repurchase | 4,676 | $ 19,203 | 15,943 | $ 52,249 | |
Incentives recorded | $ 12,800 | $ 35,500 | |||
Repurchase agreement initial term | 6 months |
Stock-based Compensation - Comp
Stock-based Compensation - Compensation Expense by Award (Details) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Stock-Based Compensation | ||||
Grant date fair value | $ 100 | $ 58 | $ 26,741 | $ 25,643 |
Stock-based compensation expense | $ 8,532 | $ 4,243 | $ 20,766 | $ 14,633 |
Stock Options | ||||
Stock-Based Compensation | ||||
Granted (in units) | 674 | 861 | ||
Grant date fair value | $ 6,147 | $ 5,772 | ||
Exercised (in units) | 55 | 9 | 285 | 34 |
Performance-based RSUs | ||||
Stock-Based Compensation | ||||
Granted (in units) | 524 | 694 | ||
Grant date fair value | $ 12,791 | $ 12,512 | ||
Vested (in units) | 774 | 446 | ||
Time-based RSUs | ||||
Stock-Based Compensation | ||||
Granted (in units) | 5 | 3 | 321 | 408 |
Grant date fair value | $ 100 | $ 58 | $ 7,803 | $ 7,359 |
Vested (in units) | 1 | 4 | 245 | 165 |
Earnings Per Share of Common _3
Earnings Per Share of Common Stock (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Basic earnings per share of common stock: | ||||
Net income attributable to common stockholders | $ 14,489 | $ 17,081 | $ 48,945 | $ 38,439 |
Weighted-average common stock outstanding | 25,125 | 23,426 | 24,644 | 23,147 |
Basic earnings per share of common stock (in dollars per share) | $ 0.58 | $ 0.73 | $ 1.99 | $ 1.66 |
Diluted earnings per share of common stock: | ||||
Net income attributable to common stockholders | $ 14,489 | $ 17,081 | $ 48,945 | $ 38,439 |
Net income attributable to dilutive stock-based compensation units | 552 | 888 | 2,435 | 1,816 |
Effect of net income attributable to noncontrolling interest, net of tax | 29,580 | 37,996 | 101,921 | 86,473 |
Net income attributable to common stockholders for diluted earnings per share | $ 44,621 | $ 55,965 | $ 153,301 | $ 126,728 |
Weighted-average common stock outstanding applicable to basic earnings per share | 25,125 | 23,426 | 24,644 | 23,147 |
Effect of dilutive shares: | ||||
Common shares issuable under stock-based compensation plan | $ 1,476 | $ 1,751 | $ 1,818 | $ 1,684 |
PennyMac Class A units exchangeable to common stock | 52,312 | 53,239 | 52,492 | 53,400 |
Weighted-average shares of common stock outstanding applicable to diluted earnings per share | 78,913 | 78,416 | 78,954 | 78,231 |
Diluted earnings per share of common stock (in dollars per share) | $ 0.57 | $ 0.71 | $ 1.94 | $ 1.62 |
Total anti-dilutive stock-based compensation units | 2,466 | 2,623 | 1,833 | 2,910 |
Performance-based RSUs | ||||
Effect of dilutive shares: | ||||
Total anti-dilutive stock-based compensation units | 1,172 | 1,060 | 475 | |
Stock Options | ||||
Effect of dilutive shares: | ||||
Total anti-dilutive stock-based compensation units | 1,208 | 2,622 | 705 | 2,434 |
Weighted-average exercise price of anti-dilutive stock options | $ 17.79 | $ 16.39 | $ 17.79 | $ 16.39 |
Time-based RSUs | ||||
Effect of dilutive shares: | ||||
Total anti-dilutive stock-based compensation units | 86 | 1 | 68 | 1 |
Supplemental Cash Flow Inform_3
Supplemental Cash Flow Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Cash paid for interest | $ 123,622 | $ 115,710 | ||
Cash paid for income taxes, net | (1,541) | 41 | ||
Non-cash investing activity: | ||||
Mortgage servicing rights resulting from mortgage loan sales | 448,604 | 431,908 | ||
Mortgage servicing liabilities resulting from mortgage loan sales | 5,548 | 11,940 | ||
Unsettled portion of MSR acquisitions | 13,501 | 16,364 | ||
Non-cash financing activity: | ||||
Transfer of excess servicing spread pursuant to recapture agreement with PennyMac Mortgage Investment Trust | 1,983 | 4,160 | ||
Issuance of Class A common stock in settlement of director fees | $ 85 | $ 84 | $ 245 | $ 253 |
Regulatory Capital and Liquid_3
Regulatory Capital and Liquidity Requirements (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2015 | Sep. 30, 2018 | |
Fannie Mae / Freddie Mac - PLS | |||
Regulatory Net Worth and Agency Capital Requirements | |||
Net worth | $ 1,561,977,000 | $ 1,749,912,000 | |
Capital Requirement | 429,671,000 | 495,694,000 | |
Liquidity | 196,415,000 | 243,827,000 | |
Liquidity requirement | $ 58,754,000 | $ 68,224,000 | |
Tangible net worth / Total assets ratio actual | 21.00% | 22.00% | |
Tangible net worth / Total assets ratio requirement | 6.00% | 6.00% | |
Ginnie Mae - PLS | |||
Regulatory Net Worth and Agency Capital Requirements | |||
Net worth | $ 1,307,580,000 | $ 1,520,550,000 | |
Capital Requirement | 674,133,000 | 698,354,000 | |
Liquidity | 196,415,000 | 243,827,000 | |
Liquidity requirement | 153,431,000 | 181,852,000 | |
Ginnie Mae - PennyMac | |||
Regulatory Net Worth and Agency Capital Requirements | |||
Net worth | 1,511,201,000 | 1,755,669,000 | |
Capital Requirement | 741,574,000 | 768,190,000 | |
Ginnie Mae - PennyMac | 1-4 unit servicing portfolio | |||
Regulatory Net Worth and Agency Capital Requirements | |||
Net worth | $ 2,500,000 | ||
FHFA net worth requirement spread | 0.35% | ||
FHFA liquidity spread of UPB serviced | 0.10% | ||
Liquidity requirement | $ 1,000,000 | ||
HUD - PLS | |||
Regulatory Net Worth and Agency Capital Requirements | |||
Net worth | 1,307,580,000 | 1,520,550,000 | |
Capital Requirement | $ 2,500,000 | $ 2,500,000 | |
Federal Housing Finance Agency | |||
Regulatory Net Worth and Agency Capital Requirements | |||
Net worth | $ 2,500,000 | ||
FHFA liquidity spread of UPB serviced | 0.035% | ||
FHFA additional liquidity spread of UPB in excess of 6% | $ 2 | ||
Federal Housing Finance Agency | 1-4 unit servicing portfolio | |||
Regulatory Net Worth and Agency Capital Requirements | |||
FHFA net worth requirement spread | 0.25% |
Segments and Related Informat_3
Segments and Related Information - Financial Highlights by Segment (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018USD ($) | Sep. 30, 2017USD ($) | Sep. 30, 2018USD ($)segment | Sep. 30, 2017USD ($) | Dec. 31, 2017USD ($) | |
Segments and Related Information | |||||
Number of segments | segment | 3 | ||||
Revenues: | |||||
Net mortgage loan servicing fees | $ 109,703 | $ 78,081 | $ 340,181 | $ 199,157 | |
Net gains on mortgage loans held for sale at fair value | 56,914 | 108,136 | 189,274 | 293,183 | |
Mortgage loan origination fees | 26,485 | 33,168 | 75,476 | 88,935 | |
Net interest income (expense): | |||||
Interest income | 60,964 | 44,442 | 158,683 | 103,274 | |
Interest expense, before non-segment activities | 38,775 | 42,492 | 108,136 | 108,843 | |
Net interest expense, before non-segment activities | 22,189 | 1,950 | 50,547 | (5,569) | |
Management fees | 6,471 | 6,216 | 17,910 | 17,597 | |
Other | 2,928 | 735 | 7,646 | 3,387 | |
Total net revenues, before non-segment activities | 250,929 | 250,635 | 733,428 | 656,829 | |
Expenses | 189,232 | 156,491 | 524,037 | 442,693 | |
Income before provision for income taxes | 61,697 | 94,144 | 209,391 | 214,136 | |
Assets: | |||||
Segment assets at quarter end | 6,992,530 | 6,992,530 | $ 7,368,093 | ||
PMT | |||||
Revenues: | |||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 26,256 | 23,507 | 52,759 | 61,184 | |
Net interest income (expense): | |||||
Management fees | 6,482 | 6,038 | 17,906 | 16,684 | |
Assets: | |||||
Receivable | 27,467 | 27,467 | 27,119 | ||
Investment Funds | |||||
Net interest income (expense): | |||||
Management fees | (11) | 178 | 4 | 913 | |
Carried Interest from Investment Funds | (17) | (1,158) | $ (365) | (1,045) | |
Assets: | |||||
Receivable | $ 417 | ||||
Mortgage banking | |||||
Segments and Related Information | |||||
Number of segments | segment | 2 | ||||
Operating segment | |||||
Assets: | |||||
Segment assets at quarter end | 6,993,020 | 6,386,724 | $ 6,993,020 | 6,386,724 | |
Working capital | 1,800 | 1,600 | 1,800 | 1,600 | |
Receivable | 2,300 | 2,300 | |||
Operating segment | Investment management | |||||
Net interest income (expense): | |||||
Interest income | 16 | 16 | |||
Interest expense, before non-segment activities | 10 | 13 | 41 | 37 | |
Net interest expense, before non-segment activities | 6 | (13) | (25) | (37) | |
Management fees | 6,471 | 6,216 | 17,910 | 17,597 | |
Other | 1,478 | (25) | 4,221 | 234 | |
Total net revenues, before non-segment activities | 7,938 | 5,020 | 21,741 | 16,749 | |
Expenses | 5,481 | 4,305 | 17,221 | 12,455 | |
Income before provision for income taxes | 2,457 | 715 | 4,520 | 4,294 | |
Assets: | |||||
Segment assets at quarter end | 11,996 | 20,369 | 11,996 | 20,369 | |
Operating segment | Investment management | Investment Funds | |||||
Net interest income (expense): | |||||
Carried Interest from Investment Funds | (17) | (1,158) | (365) | (1,045) | |
Operating segment | Mortgage banking | |||||
Revenues: | |||||
Net mortgage loan servicing fees | 109,703 | 78,081 | 340,181 | 199,157 | |
Net gains on mortgage loans held for sale at fair value | 56,914 | 108,136 | 189,274 | 293,183 | |
Mortgage loan origination fees | 26,485 | 33,168 | 75,476 | 88,935 | |
Net interest income (expense): | |||||
Interest income | 60,948 | 44,442 | 158,667 | 103,274 | |
Interest expense, before non-segment activities | 38,765 | 42,479 | 108,095 | 108,806 | |
Net interest expense, before non-segment activities | 22,183 | 1,963 | 50,572 | (5,532) | |
Other | 1,450 | 760 | 3,425 | 3,153 | |
Total net revenues, before non-segment activities | 242,991 | 245,615 | 711,687 | 640,080 | |
Expenses | 183,751 | 152,186 | 506,816 | 430,238 | |
Income before provision for income taxes | 59,240 | 93,429 | 204,871 | 209,842 | |
Assets: | |||||
Segment assets at quarter end | 6,981,024 | 6,366,355 | 6,981,024 | 6,366,355 | |
Operating segment | Mortgage banking | PMT | |||||
Revenues: | |||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 26,256 | 23,507 | 52,759 | 61,184 | |
Operating segment | Mortgage banking Production | |||||
Revenues: | |||||
Net gains on mortgage loans held for sale at fair value | 34,947 | 79,983 | 105,111 | 217,526 | |
Mortgage loan origination fees | 26,485 | 33,168 | 75,476 | 88,935 | |
Net interest income (expense): | |||||
Interest income | 17,013 | 17,651 | 48,135 | 45,866 | |
Interest expense, before non-segment activities | 1,274 | 12,355 | 4,401 | 32,507 | |
Net interest expense, before non-segment activities | 15,739 | 5,296 | 43,734 | 13,359 | |
Other | 645 | 235 | 1,497 | 1,711 | |
Total net revenues, before non-segment activities | 104,072 | 142,189 | 278,577 | 382,715 | |
Expenses | 78,405 | 73,231 | 216,722 | 199,547 | |
Income before provision for income taxes | 25,667 | 68,958 | 61,855 | 183,168 | |
Assets: | |||||
Segment assets at quarter end | 2,168,126 | 2,737,666 | 2,168,126 | 2,737,666 | |
Operating segment | Mortgage banking Production | PMT | |||||
Revenues: | |||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 26,256 | 23,507 | 52,759 | 61,184 | |
Operating segment | Mortgage banking Servicing | |||||
Revenues: | |||||
Net mortgage loan servicing fees | 109,703 | 78,081 | 340,181 | 199,157 | |
Net gains on mortgage loans held for sale at fair value | 21,967 | 28,153 | 84,163 | 75,657 | |
Net interest income (expense): | |||||
Interest income | 43,935 | 26,791 | 110,532 | 57,408 | |
Interest expense, before non-segment activities | 37,491 | 30,124 | 103,694 | 76,299 | |
Net interest expense, before non-segment activities | 6,444 | (3,333) | 6,838 | (18,891) | |
Other | 805 | 525 | 1,928 | 1,442 | |
Total net revenues, before non-segment activities | 138,919 | 103,426 | 433,110 | 257,365 | |
Expenses | 105,346 | 78,955 | 290,094 | 230,691 | |
Income before provision for income taxes | 33,573 | 24,471 | 143,016 | 26,674 | |
Assets: | |||||
Segment assets at quarter end | $ 4,812,898 | $ 3,628,689 | $ 4,812,898 | $ 3,628,689 |
Subsequent Events (Details)
Subsequent Events (Details) - Subsequent Event $ in Thousands | Nov. 01, 2018USD ($)item | Oct. 31, 2018USD ($)item | Oct. 29, 2018USD ($)item |
Subsequent Event | |||
Number of classes of common stock | item | 1 | 2 | |
Maximum loan amount | $ 150,000 | ||
Number of non-affiliate sellers of bulk portfolio | item | 2 | ||
Purchase of UPB of Ginnie Mae MSRs | $ 3,200,000 | ||
Syndicated Repurchase Agreement | |||
Subsequent Event | |||
Number of indirect controlled subsidiaries that entered into Amended and Restated Master Purchase Agreement. | item | 2 | ||
New PFSI | Class A Common Stock | |||
Subsequent Event | |||
Common stock conversion ratio (as a percent) | 100.00% | ||
New PFSI | Class B Common Stock | |||
Subsequent Event | |||
Consideration received from conversion of stock | $ 0 | ||
New PFSI | Class A Unit | |||
Subsequent Event | |||
Common stock conversion ratio (as a percent) | 100.00% | ||
PLS | Syndicated Repurchase Agreement | |||
Securities Sold under Agreements to Repurchase [Abstract] | |||
Maximum aggregate transaction amount | $ 500,000 |