Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2019 | Nov. 01, 2019 | |
Document and Entity Information | ||
Entity Registrant Name | PennyMac Financial Services, Inc. | |
Entity Central Index Key | 0001745916 | |
Document Type | 10-Q | |
Document Period End Date | Sep. 30, 2019 | |
Entity Interactive Data Current | Yes | |
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 | 78,448,596 | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Document Fiscal Year Focus | 2019 | |
Document Fiscal Period Focus | Q3 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
ASSETS | ||
Cash (includes $101,773 and $108,174 pledged to creditors) | $ 201,268 | $ 155,289 |
Short-term investments at fair value | 90,663 | 117,824 |
Loans held for sale at fair value (includes $4,481,210 and $2,478,858 pledged to creditors) | 4,522,971 | 2,521,647 |
Derivative assets | 232,948 | 96,347 |
Servicing advances, net (includes valuation allowance of $73,024 and $70,582; $181,747 and $162,895 pledged to creditors) | 271,501 | 313,197 |
Mortgage servicing rights at fair value (includes $2,550,602 and $2,807,333 pledged to creditors) | 2,556,253 | 2,820,612 |
Real estate acquired in settlement of loans | 20,328 | 2,250 |
Operating lease right-of-use assets | 53,384 | |
Furniture, fixtures, equipment and building improvements, net (includes $22,172 and $16,281 pledged to creditors) | 32,221 | 33,374 |
Capitalized software, net (includes $14,090 and $1,017 pledged to creditors) | 57,975 | 39,748 |
Loans eligible for repurchase | 892,631 | 1,102,840 |
Other | 221,967 | 109,559 |
Total assets | 9,303,199 | 7,478,573 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 3,538,889 | 1,933,859 |
Mortgage loans participation purchase and sale agreements | 514,625 | 532,251 |
Obligations under capital lease | 23,881 | 6,605 |
Notes payable | 1,293,625 | 1,292,291 |
Derivative liabilities | 14,035 | 3,064 |
Operating lease liabilities | 72,160 | |
Accounts payable and accrued expenses | 215,379 | 156,212 |
Mortgage servicing liabilities at fair value | 34,294 | 8,681 |
Income taxes payable | 480,559 | 400,546 |
Liability for loans eligible for repurchase | 892,631 | 1,102,840 |
Liability for losses under representations and warranties | 19,968 | 21,155 |
Total liabilities | 7,391,586 | 5,824,782 |
Commitments and contingencies - Note 14 | ||
STOCKHOLDERS' EQUITY | ||
Additional paid-in capital | 1,328,166 | 1,310,648 |
Retained earnings | 583,439 | 343,135 |
Total stockholders' equity | 1,911,613 | 1,653,791 |
Total liabilities and stockholders' equity | 9,303,199 | 7,478,573 |
Common Stock | ||
STOCKHOLDERS' EQUITY | ||
Common stock - authorized 200,000,000 shares of $0.0001 par value; issued and outstanding, 78,434,556 and 77,494,332 shares respectively | 8 | 8 |
PMT | ||
ASSETS | ||
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell pledged to creditors | 107,678 | 131,025 |
Investment in PennyMac Mortgage Investment Trust at fair value | 1,667 | 1,397 |
Receivable, from affiliates | 39,744 | 33,464 |
LIABILITIES | ||
Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value | 183,141 | 216,110 |
Payable to affiliates | 61,862 | 104,631 |
Private National Mortgage Acceptance Company, LLC | ||
LIABILITIES | ||
Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | $ 46,537 | $ 46,537 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Cash pledged to creditors | $ 101,773 | $ 108,174 |
Mortgage loans held for sale, pledged to creditors | 4,481,210 | 2,478,858 |
Servicing advances, net, valuation allowance | 73,024 | 70,582 |
Servicing advances pledged to creditors | 181,747 | 162,895 |
Mortgage servicing rights, at fair value | 2,550,602 | 2,807,333 |
Furniture, fixtures, equipment and building improvements pledged to creditors | 22,172 | 16,281 |
Capitalized software pledged to creditors | $ 14,090 | $ 1,017 |
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 | 78,434,556 | 77,494,332 |
Common stock, shares outstanding | 78,434,556 | 77,494,332 |
CONSOLIDATED STATEMENTS OF INCO
CONSOLIDATED STATEMENTS OF INCOME - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Net gains on loans held for sale at fair value: | ||||
From non-affiliates | $ 175,070 | $ 38,349 | $ 345,045 | $ 143,396 |
Net gains on loans held for sale at fair value | 235,732 | 56,914 | 468,041 | 189,274 |
Loan origination fees from non-affiliates | 45,212 | 24,366 | 100,721 | 70,607 |
Loan origination fees | 49,434 | 26,485 | 110,288 | 75,476 |
Loan servicing fees | ||||
From non-affiliates and affiliates | 185,967 | 147,182 | 533,510 | 421,536 |
Other | 26,018 | 17,009 | 74,043 | 44,817 |
Loan servicing fees | 224,949 | 174,262 | 642,655 | 496,877 |
Change in fair value of mortgage servicing rights and mortgage servicing liabilities | (162,584) | (63,450) | (448,240) | (147,670) |
Change in fair value of excess servicing spread payable to PennyMac Mortgage Investment Trust | (158,720) | (64,559) | (436,721) | (156,696) |
Net loan servicing fees | 66,229 | 109,703 | 205,934 | 340,181 |
Interest income: | ||||
From non-affiliates | 81,925 | 59,152 | 207,670 | 152,997 |
Interest income | 83,452 | 60,964 | 212,685 | 158,683 |
Interest expense: | ||||
To non-affiliates | 54,089 | 35,035 | 138,723 | 96,552 |
Interest expense | 56,380 | 38,775 | 146,847 | 108,136 |
Net interest income | 27,072 | 22,189 | 65,838 | 50,547 |
Management fees, net: | ||||
Management fees | 10,098 | 6,471 | 26,178 | 17,910 |
Result of real estate acquired in settlement of loans | 188 | 194 | 1,205 | 179 |
Other | 2,379 | 2,605 | 6,855 | 7,048 |
Total net revenue | 436,347 | 250,929 | 987,029 | 733,428 |
Expenses | ||||
Compensation | 141,132 | 103,364 | 362,449 | 303,917 |
Servicing | 47,909 | 40,797 | 107,210 | 95,586 |
Loan origination | 34,851 | 7,203 | 72,419 | 14,462 |
Technology | 20,385 | 15,273 | 52,431 | 45,047 |
Occupancy and equipment | 7,257 | 7,117 | 21,075 | 20,001 |
Professional services | 9,682 | 7,117 | 21,876 | 18,442 |
Other | 8,934 | 8,361 | 23,491 | 26,582 |
Total expenses | 270,150 | 189,232 | 660,951 | 524,037 |
Income before provision for income taxes | 166,197 | 61,697 | 326,078 | 209,391 |
Provision for income taxes | 44,724 | 5,545 | 85,774 | 17,908 |
Net income | 121,473 | 56,152 | 240,304 | 191,483 |
Less: Net income attributable to noncontrolling interest | 41,663 | 142,538 | ||
Net income attributable to PennyMac Financial Services, Inc. common stockholders | $ 121,473 | $ 14,489 | $ 240,304 | $ 48,945 |
Earnings per share | ||||
Basic (in dollars per share) | $ 1.55 | $ 0.58 | $ 3.08 | $ 1.99 |
Diluted (in dollars per share) | $ 1.51 | $ 0.57 | $ 3.01 | $ 1.94 |
Weighted-average shares outstanding | ||||
Basic (in shares) | 78,361 | 25,125 | 78,119 | 24,644 |
Diluted (in shares) | 80,382 | 78,913 | 79,821 | 78,954 |
Dividend declared per share of Class A common stock (in dollars per share) | $ 0.40 | $ 0.40 | ||
PMT | ||||
Net gains on loans held for sale at fair value: | ||||
From PennyMac Mortgage Investment Trust | $ 60,662 | $ 18,565 | $ 122,996 | $ 45,878 |
Loan origination fees from PennyMac Mortgage Investment Trust | 4,222 | 2,119 | 9,567 | 4,869 |
Fulfillment fees from PennyMac Mortgage Investment Trust | 45,149 | 26,256 | 102,313 | 52,759 |
Loan servicing fees | ||||
From non-affiliates and affiliates | 12,964 | 10,071 | 35,102 | 30,521 |
Changes in fair value included in income | 3,864 | (1,109) | 11,519 | (9,026) |
Interest income: | ||||
From PennyMac Mortgage Investment Trust | 1,527 | 1,812 | 5,015 | 5,686 |
Interest expense: | ||||
To PennyMac Mortgage Investment Trust | 2,291 | 3,740 | 8,124 | 11,584 |
Management fees, net: | ||||
Management fees | 10,098 | 6,482 | 26,178 | 17,906 |
Change in fair value of investment in and dividends received from affiliate | $ 66 | 129 | $ 377 | 419 |
Investment Funds | ||||
Loan servicing fees | ||||
From non-affiliates and affiliates | 3 | |||
Management fees, net: | ||||
Management fees | (11) | 4 | ||
Carried Interest from Investment Funds | $ (17) | $ (365) |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) shares in Thousands, $ in Thousands | Common Stock.Common Stock | Common Stock. | Additional paid-in capital | Retained earnings | Noncontrolling interest in Private National Mortgage Acceptance Company, LLC | Common Stock | Total |
Changes in stockholders' equity | |||||||
Cumulative effect of change in accounting principle - accounting for all existing classes of mortgage servicing rights at fair value | $ 189 | $ 587 | $ 776 | ||||
Balance after adjustment | $ 2 | $ 204,103 | 265,495 | 1,250,850 | 1,720,450 | ||
Balance after adjustment (in shares) | 23,530 | ||||||
Balance at Dec. 31, 2017 | $ 2 | 204,103 | 265,306 | 1,250,263 | 1,719,674 | ||
Balance (in shares) at Dec. 31, 2017 | 23,530 | ||||||
Changes in stockholders' equity | |||||||
Net income | 48,945 | 142,538 | 191,483 | ||||
Stock and unit-based compensation | 7,400 | 18,084 | 25,484 | ||||
Stock and unit-based compensation (in shares) | 285 | ||||||
Class A common stock dividends ($0.40 per share) | (10,054) | (10,054) | |||||
Issuance of common stock in settlement of director fees | 79 | 166 | 245 | ||||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A common stock of PennyMac Financial Services, Inc. | $ 1 | 32,501 | (32,502) | $ 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 | |||||
Repurchase of common stock | (1,554) | (3,272) | $ (4,826) | $ (4,826) | |||
Repurchase of common stock (in shares) | (236) | (236) | |||||
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 | $ 3 | 236,457 | 304,386 | 1,375,864 | 1,916,710 | ||
Balance (in shares) at Sep. 30, 2018 | 25,195 | ||||||
Balance at Jun. 30, 2018 | $ 3 | 229,941 | 299,951 | 1,332,049 | 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 | 9,416 | ||||
Stock and unit-based compensation (in shares) | 55 | ||||||
Class A common stock dividends ($0.40 per share) | (10,054) | (10,054) | |||||
Issuance of 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 | $ 3 | 236,457 | 304,386 | $ 1,375,864 | 1,916,710 | ||
Balance (in shares) at Sep. 30, 2018 | 25,195 | ||||||
Balance at Dec. 31, 2018 | $ 8 | 1,310,648 | 343,135 | 1,653,791 | |||
Balance (in shares) at Dec. 31, 2018 | 77,494 | ||||||
Changes in stockholders' equity | |||||||
Net income | 240,304 | 240,304 | |||||
Stock and unit-based compensation | 18,390 | 18,390 | |||||
Stock and unit-based compensation (in shares) | 984 | ||||||
Issuance of common stock in settlement of director fees | 184 | 184 | |||||
Issuance of common stock in settlement of director fees (in shares) | 8 | ||||||
Repurchase of common stock | (1,056) | $ (1,056) | (1,056) | ||||
Repurchase of common stock (in shares) | (51) | (51) | |||||
Balance at Sep. 30, 2019 | $ 8 | 1,328,166 | 583,439 | 1,911,613 | |||
Balance (in shares) at Sep. 30, 2019 | 78,435 | ||||||
Balance at Jun. 30, 2019 | $ 8 | 1,317,023 | 461,966 | 1,778,997 | |||
Balance (in shares) at Jun. 30, 2019 | 78,305 | ||||||
Changes in stockholders' equity | |||||||
Net income | 121,473 | 121,473 | |||||
Stock and unit-based compensation | 11,095 | 11,095 | |||||
Stock and unit-based compensation (in shares) | 128 | ||||||
Issuance of common stock in settlement of director fees | 48 | 48 | |||||
Issuance of common stock in settlement of director fees (in shares) | 2 | ||||||
Balance at Sep. 30, 2019 | $ 8 | $ 1,328,166 | $ 583,439 | $ 1,911,613 | |||
Balance (in shares) at Sep. 30, 2019 | 78,435 |
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 | ||
Class A Common Stock dividends (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, 2019 | Sep. 30, 2018 | |
Cash flow from operating activities | ||
Net income | $ 240,304 | $ 191,483 |
Adjustments to reconcile net income to net cash used in operating activities: | ||
Net gains on loans held for sale at fair value | (468,041) | (189,274) |
Change in fair value of mortgage servicing rights, mortgage servicing liabilities and excess servicing spread | 436,721 | 156,696 |
Capitalization of interest on loans held for sale at fair value | (56,800) | (67,025) |
Accrual of interest on excess servicing spread financing | 8,124 | 11,584 |
Amortization of net debt issuance (premiums) and costs | (6,601) | (19,198) |
Results of real estate acquired in settlement of loans | (1,205) | (179) |
Stock based compensation expense | 19,124 | 20,766 |
Provision for servicing advance losses | 19,973 | 24,046 |
Depreciation and amortization | 10,650 | 9,046 |
Amortization of right-to-use assets | 7,258 | |
Purchase of loans held for sale from nonaffiliates | (1,132,749) | (409,546) |
Origination of loans held for sale | (7,249,762) | (3,640,045) |
Purchase of loans from Ginnie Mae securities and early buyout investors for modification and subsequent sale | (4,172,281) | (3,342,029) |
Sale and principal payments of loans held for sale to non-affiliates | 39,084,441 | 34,208,217 |
Repurchase of loans subject to representations and warranties | (15,427) | (24,891) |
Settlement of repurchase agreement derivatives | 31,993 | 19,460 |
(Increase) decrease in servicing advances | (9,871) | 35,813 |
Sale of real estate acquired in settlement of loans | 17,141 | 3,004 |
(Increase) decrease in other assets | (22,415) | 9,291 |
Decrease in operating lease liabilities | (9,234) | |
Increase in accounts payable and accrued expenses | 78,800 | 14,021 |
Net cash (used in) provided by operating activities | (1,690,141) | 732,584 |
Cash flow from investing activities | ||
Decrease in short-term investments | 27,161 | 24,604 |
Net settlement of derivative financial instruments used for hedging | 542,139 | (182,402) |
Purchase of mortgage servicing rights | (227,445) | (180,139) |
Purchase of furniture, fixtures, equipment and leasehold improvements | (5,534) | (8,919) |
Acquisition of capitalized software | (22,190) | (13,091) |
Increase in margin deposits | (168,062) | (836) |
Net cash provided by (used in) investing activities | 169,416 | (349,783) |
Cash flow from financing activities | ||
Sale of assets under agreements to repurchase | 41,296,345 | 31,318,277 |
Repurchase of assets sold under agreements to repurchase | (39,692,086) | (31,960,304) |
Issuance of mortgage loan participation purchase and sale certificates | 17,498,589 | 19,398,281 |
Repayment of mortgage loan participation purchase and sale certificates | (17,516,431) | (19,401,301) |
Advances of obligations under capital lease | 25,123 | |
Repayments of obligations under capital lease | (7,847) | (11,341) |
Advances on notes payable | 1,300,000 | |
Repayments of notes payable | (900,000) | |
Repayment of excess servicing spread financing | (30,901) | (35,852) |
Payment of debt issuance costs | (4,489) | (15,320) |
Issuance of common stock pursuant to exercise of stock options | 3,900 | 4,718 |
Repurchase of common stock | (1,056) | (4,826) |
Payment of withholding taxes relating to stock-based compensation | (4,634) | |
Payment of dividend to Class A common stockholders | (10,054) | |
Net cash provided by (used in) financing activities | 1,566,513 | (317,722) |
Net increase in cash and restricted cash | 45,788 | 65,079 |
Cash and restricted cash at beginning of period | 155,924 | 38,173 |
Cash and restricted cash at end of period | 201,712 | 103,252 |
Cash | 201,268 | 102,627 |
Restricted cash included in Other assets | 444 | 625 |
Investment Funds | ||
Adjustments to reconcile net income to net cash used in operating activities: | ||
Carried Interest from Investment Funds | 365 | |
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 | (270) | (313) |
Purchase of loans held for sale from PennyMac Mortgage Investment Trust | (32,619,639) | (28,584,762) |
Sale of loans held for sale to Penny Mac Mortgage Investment Trust | 4,095,079 | 2,336,162 |
Increase in receivable from affiliates | (9,598) | (2,825) |
Decrease in payable to affiliate | (45,869) | (46,731) |
Increase in income taxes payable | 80,013 | 19,448 |
Cash flow from investing activities | ||
Net change in assets purchased from PMT under agreement to resell | $ 23,347 | $ 11,000 |
Organization
Organization | 9 Months Ended |
Sep. 30, 2019 | |
Organization | |
Organization | PENNYMAC FINANCIAL SERVICES, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) Note 1—Organization PennyMac Financial Services, Inc. (“PFSI” or the “Company”) is a holding corporation and its primary assets are direct and indirect equity interests in Private National Mortgage Acceptance Company, LLC (“PennyMac”). The Company is the managing member of PennyMac, and it operates and controls all of the businesses and affairs of PennyMac, 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 and home equity loan production and loan servicing. PennyMac’s investment management activities and a portion of its loan servicing activities are conducted on behalf of an investment vehicle that invests in residential mortgage and home equity 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. Previously, PCM had management agreements with PNMAC Mortgage Opportunity Fund, LLC and PNMAC Mortgage Opportunity Fund, L.P. an affiliate of these registered funds, and PNMAC Mortgage Opportunity Fund Investors, LLC (collectively, the “Investment Funds”). The Investment Funds were dissolved during 2018. · PennyMac Loan Services, LLC (“PLS”) — a Delaware limited liability company that services portfolios of residential mortgage and home equity loans on behalf of non-affiliates and PMT, purchases, originates and sells new prime credit quality residential mortgage and home equity 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 (“FHA”) 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”). On November 1, 2018, the Company completed a corporate reorganization (the “Reorganization”) by which it changed its equity structure to create a single class of common stock held by all stockholders at a new top-level publicly traded parent holding corporation, as opposed to the two classes of common stock, Class A and Class B, that were in place before the Reorganization. The predecessor holding company became a consolidated subsidiary of the Company and is considered the predecessor of the Company for accounting purposes. Accordingly, the predecessor holding company's historical consolidated financial statements remain the Company’s historical financial statements. The details of the Reorganization are more fully described in Note 1 – Organization to the Company’s Annual Report on Form 10-K for the year ended December 31, 2018. |
Basis of Presentation and Recen
Basis of Presentation and Recently Issued Accounting Pronouncements | 9 Months Ended |
Sep. 30, 2019 | |
Basis of Presentation and Recently Issued Accounting Pronouncements | |
Basis of Presentation and Recently Issued Accounting Pronouncements | Note 2—Basis of Presentation and Recently Issued Accounting Pronouncements 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, 2018. 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, 2019. 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 Change Effective January 1, 2019, the Company adopted FASB Accounting Standards Update 2016-02, Leases (Topic 842) , as amended (“ASU 2016-02”), using the modified retrospective approach. As the result of this adoption, the Company recorded a $58.6 million right-of-use asset, a corresponding lease liability and reclassified $20.7 million of deferred rent from accrued liabilities to the lease liability for a total lease liability of $79.3 million. The Company did not adjust amounts reported in the prior comparative period. The adoption of ASU 2016-02 did not have any effect on the Company’s consolidated statements of income, stockholder’s equity or cash flows. As part of its adoption of ASU 2016-02, the Company made the following accounting policy elections: · to retain its existing classification of existing leases; and · to exclude from its consolidated balance sheet leases with initial terms that are less than or equal to 12 months. The Company determines if an arrangement is a lease at inception. Operating leases are included in Operating lease right-of-use assets and Operating lease liabilities in its consolidated balance sheet. Operating lease right-of-use assets represent the Company’s right to use the underlying assets and operating lease liabilities represent its obligation to make the payments required by the leases. As most of the Company’s leases do not provide an implicit discount rate, PFSI uses its incremental borrowing rate based on information available at the lease commencement date to determine the present value of its lease payment obligations. The operating lease right-of-use assets also reflect any lease payments made and are reduced by lease incentives. Lease expense is recognized on the straight-line basis over the lease term. The Company has lease agreements that include both lease and non-lease components (such as common area maintenance), which are generally included in the lease and are accounted for together with the lease as a single lease component. Detailed lease disclosures are included in Note 10 ‒Leases . |
Concentration of Risk
Concentration of Risk | 9 Months Ended |
Sep. 30, 2019 | |
Concentration of Risk | |
Concentration of Risk | Note 3—Concentration of Risk A substantial portion of the Company’s activities relate to PMT. Revenues generated from PMT (generally comprised of gains on loans held for sale, loan servicing fees, loan origination fees, fulfillment fees, change in fair value of excess servicing spread financing (“ESS”), net interest, management fees, and change in fair value of investment in and dividends received from PMT) totaled 32% and 25% of total net revenue for the quarters ended September 30, 2019 and 2018, respectively, and 31% and 19% for the nine months ended September 30, 2019 and 2018, respectively. |
Transactions with Affiliates
Transactions with Affiliates | 9 Months Ended |
Sep. 30, 2019 | |
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. In the third quarter of 2017, the Company began selling conventional conforming balance mortgage loans to PMT under the agreement. Pursuant to the terms of an MSR recapture agreement by and between the Company and PMT, which was amended and restated 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 to PMT cash in an amount equal to 30% of the fair market value of the MSRs related to all such mortgage loans. The MSR recapture 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. Pursuant to a mortgage banking services agreement, which was amended and restated effective September 12, 2016, the Company provides PMT with certain mortgage banking services, including fulfillment and disposition-related services, 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. Following is a summary of loan production activities, including MSR recapture between the Company and PMT: Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (in thousands) Net gains on loans held for sale at fair value: Net gains on loans held for sale to PMT $ 62,558 $ 19,722 $ 127,423 $ 49,396 Mortgage servicing rights and excess servicing spread recapture incurred (1,896) (1,157) (4,427) (3,518) $ 60,662 $ 18,565 $ 122,996 $ 45,878 Sale of loans held for sale to PMT $ 1,876,358 $ 908,525 $ 4,095,079 $ 2,336,162 Tax service fees earned from PMT included in Loan origination fees $ 4,222 $ 2,119 $ 9,567 $ 4,869 Fulfillment fee revenue $ 45,149 $ 26,256 $ 102,313 $ 52,759 Unpaid principal balance of loans fulfilled for PMT subject to fulfillment fees $ 16,647,172 $ 7,517,883 $ 35,523,802 $ 17,139,884 Sourcing fees paid to PMT $ 4,206 $ 2,689 $ 9,355 $ 8,221 Unpaid principal balance of loans purchased from PMT $ 14,022,222 $ 8,916,654 $ 31,183,950 $ 27,404,022 Mortgage Loan Servicing The Company and PMT have entered into a loan servicing agreement (the “Servicing Agreement”), which was amended and restated effective September 12, 2016 and pursuant to which the Company provides servicing for PMT’s portfolio of residential mortgage loans and subservicing for its portfolio of MSRs. The Servicing Agreement provides for servicing fees of per‑loan monthly amounts based on the delinquency, bankruptcy and/or foreclosure status of the serviced 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 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 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 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 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 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 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 full modification or 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 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 loan is a fixed-rate or adjustable-rate loan. The base servicing fee rates are $7.50 per month for fixed-rate loans and $8.50 per month for adjustable-rate loans. 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 loan servicing and property management fees earned from PMT: Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (in thousands) Loans acquired for sale at fair value $ 507 $ 316 $ 1,131 $ 739 Loans at fair value 858 1,271 1,938 5,528 Mortgage servicing rights 11,599 8,484 32,033 24,254 $ 12,964 $ 10,071 $ 35,102 $ 30,521 Property management fees received from PMT included in Other income $ 70 $ 122 $ 295 $ 333 Investment Management Activities The Company has a management agreement with PMT (“Management Agreement”), which was amended and restated effective September 12, 2016. Pursuant to the Management Agreement, the Company oversees PMT’s business affairs in conformity with the investment policies that are approved and monitored by its board of trustees, for which it collects a base management fee and may collect a performance incentive fee. 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, 2019 2018 2019 2018 (in thousands) Base management $ 7,914 $ 5,799 $ 20,862 $ 17,223 Performance incentive 2,184 683 5,316 683 $ 10,098 $ 6,482 $ 26,178 $ 17,906 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, 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, 2019 2018 2019 2018 (in thousands) Reimbursement of: Common overhead incurred by the Company included in Other revenue $ 1,543 $ 1,210 $ 4,055 $ 3,387 Compensation included in Other revenue 120 120 360 360 Expenses incurred on PMT's behalf, net 1,942 527 3,001 586 $ 3,605 $ 1,857 $ 7,416 $ 4,333 Payments and settlements during the period (1) $ 68,191 $ 21,650 $ 111,411 $ 45,265 (1) 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. On February 1, 2019, the term of the reimbursement agreement was extended to February 1, 2023. The Company received $219,000 in reimbursement of underwriting fees from PMT during the nine months ended September 30, 2019. 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, 2019 2018 2019 2018 (in thousands) Interest income relating to Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 1,527 $ 1,812 $ 5,015 $ 5,686 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Dividends received $ 36 $ 35 $ 107 $ 106 Change in fair value of investment 30 94 270 313 $ 66 $ 129 $ 377 $ 419 September 30, December 31, 2019 2018 (in thousands) Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 107,678 $ 131,025 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Fair value $ 1,667 $ 1,397 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 issued, 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 equal 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 equal 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, settle its obligation to PMT in cash 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, 2019 2018 2019 2018 (in thousands) Excess servicing spread financing: Issuance pursuant to recapture agreement $ 377 $ 499 $ 1,327 $ 1,983 Repayment $ 9,819 $ 11,543 $ 30,901 $ 35,852 Gain (loss) recognized $ 3,864 $ (1,109) $ 11,519 $ (9,026) Interest expense $ 2,291 $ 3,740 $ 8,124 $ 11,584 Recapture incurred pursuant to refinancings by the Company of mortgage loans subject to excess servicing spread financing included in Net gains on loans held for sale at fair value $ 429 $ 597 $ 1,311 $ 1,951 September 30, December 31, 2019 2018 (in thousands) Excess servicing spread financing at fair value $ 183,141 $ 216,110 Receivable from and Payable to PMT Amounts receivable from and payable to PMT are summarized below: September 30, December 31, 2019 2018 (in thousands) Receivable from PMT: Fulfillment fees $ 14,409 $ 10,006 Management fees 10,230 6,559 Correspondent production fees 5,501 2,071 Servicing fees 4,768 4,841 Allocated expenses and expenses incurred on PMT's behalf 4,166 9,066 Conditional Reimbursement 582 801 Interest on assets purchased under agreements to resell 88 120 $ 39,744 $ 33,464 Payable to PMT: Deposits made by PMT to fund servicing advances $ 56,869 $ 100,554 Mortgage servicing rights recapture payable 162 179 Other 4,831 3,898 $ 61,862 $ 104,631 Exchanged Private National Mortgage Acceptance Company, LLC Unitholders On May 8, 2013, the Company entered into a tax receivable agreement with certain former owners of PennyMac that provides for the payment from time to time by the Company to PennyMac’s exchanged unitholders of 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 exchanges of ownership interests in PennyMac 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. Although the Reorganization eliminated the potential for unitholders to exchange any additional units subject to this tax receivable agreement, the Company continues to be subject to the agreement and will be required to make payments, to the extent any of the tax benefits specified above are deemed to be realized, under the tax receivable agreement to those certain prior owners of PennyMac who effected exchanges of ownership interests in PennyMac for the Company’s common stock prior to the closing of the Reorganization in November 2018. Based on the PennyMac unitholder exchanges to date, the Company has recorded a $46.5 million Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement as of September 30, 2019 and December 31, 2018. The Company did not make any payments under the tax receivable agreement during the nine months ended September 30, 2019 and 2018. |
Loan Sales and Servicing Activi
Loan Sales and Servicing Activities | 9 Months Ended |
Sep. 30, 2019 | |
Loan Sales and Servicing Activities | |
Loan Sales and Servicing Activities | Note 5—Loan Sales and Servicing Activities The Company originates or purchases and sells loans in the secondary mortgage market without recourse for credit losses. However, the Company maintains continuing involvement with the loans in the form of servicing arrangements and the liability under representations and warranties it makes to purchasers and insurers of the loans. The following table summarizes cash flows between the Company and transferees as a result of the sale of loans in transactions where the Company maintains continuing involvement with the loans as servicer: Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (in thousands) Cash flows: Sales proceeds $ 17,897,693 $ 11,375,408 $ 39,084,441 $ 34,208,217 Servicing fees received (1) $ 149,210 $ 123,626 $ 426,774 $ 354,535 Net servicing advances (recoveries) $ 8,605 $ 4,147 $ (23,583) $ (20,572) (1) Net of guarantee fees paid to the Agencies. The following table summarizes unpaid principal balance (the “UPB”) of the loans sold by the Company in which it maintains continuing involvement: September 30, December 31, 2019 2018 (in thousands) Unpaid principal balance of loans outstanding $ 159,638,921 $ 145,224,596 Delinquencies: 30-89 days $ 7,828,087 $ 6,222,864 90 days or more: Not in foreclosure $ 2,480,348 $ 2,208,083 In foreclosure $ 1,199,933 $ 720,894 Foreclosed $ 11,369 $ 24,243 Bankruptcy $ 1,339,983 $ 970,329 The following tables summarize the UPB of the Company’s loan servicing portfolio: September 30, 2019 Contract Servicing servicing and Total rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 159,638,921 $ — $ 159,638,921 Purchased 63,904,759 — 63,904,759 223,543,680 — 223,543,680 PennyMac Mortgage Investment Trust — 120,608,076 120,608,076 Loans held for sale 4,323,252 — 4,323,252 $ 227,866,932 $ 120,608,076 $ 348,475,008 Delinquent loans: 30 days $ 8,114,297 $ 879,366 $ 8,993,663 60 days 2,432,250 147,325 2,579,575 90 days or more: Not in foreclosure 3,043,663 181,330 3,224,993 In foreclosure 1,518,946 87,284 1,606,230 Foreclosed 13,372 110,821 124,193 $ 15,122,528 $ 1,406,126 $ 16,528,654 Bankruptcy $ 1,872,679 $ 124,619 $ 1,997,298 Custodial funds managed by the Company (1) $ 6,976,614 $ 3,018,131 $ 9,994,745 (1) Custodial funds include cash accounts holding funds on behalf of borrowers and investors relating to 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 loans’ borrowers and investors, which are included in Interest income in the Company’s consolidated statements of income. December 31, 2018 Contract Servicing servicing and Total rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 145,224,596 $ — $ 145,224,596 Purchased 56,990,486 — 56,990,486 202,215,082 — 202,215,082 PennyMac Mortgage Investment Trust — 94,658,154 94,658,154 Loans held for sale 2,420,636 — 2,420,636 $ 204,635,718 $ 94,658,154 $ 299,293,872 Subserviced for the Company (1) $ 414,219 $ — $ 414,219 Delinquent loans: 30 days $ 6,677,179 $ 525,989 $ 7,203,168 60 days 1,983,381 113,238 2,096,619 90 days or more: Not in foreclosure 3,102,492 217,115 3,319,607 In foreclosure 1,027,493 127,025 1,154,518 Foreclosed 33,493 176,377 209,870 $ 12,824,038 $ 1,159,744 $ 13,983,782 Bankruptcy $ 1,415,106 $ 107,083 $ 1,522,189 Custodial funds managed by the Company (2) $ 3,033,658 $ 970,328 $ 4,003,986 (1) Certain of the loans for which the Company has purchased the MSRs are subserviced on the Company’s behalf by other loan servicers on an interim basis when servicing of the loans has not yet been transferred to the Company’s loan servicing platform. (2) Custodial funds include cash accounts holding funds on behalf of borrowers and investors relating to 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 loans’ borrowers and investors, which are included in Interest income in the Company’s consolidated statements of income. Following is a summary of the geographical distribution of loans included in the Company’s loan servicing portfolio for the top five and all other states as measured by UPB: September 30, December 31, State 2019 2018 (in thousands) California $ 55,400,197 $ 51,377,441 Florida 27,435,384 22,650,926 Texas 26,509,926 23,648,042 Virginia 21,056,414 19,011,950 Maryland 15,968,754 13,774,011 All other states 202,104,333 168,831,502 $ 348,475,008 $ 299,293,872 |
Fair Value
Fair Value | 9 Months Ended |
Sep. 30, 2019 | |
Fair Value | |
Fair Value | Note 6—Fair Value Most of the Company’s assets and certain of its liabilities are measured at or based on their fair values. The Company groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the inputs used to determine fair value. These levels are: · Level 1—Quoted prices in active markets for identical assets or liabilities. · Level 2—Prices determined or determinable using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing an asset or liability and are developed based on market data obtained from sources independent of the Company. · Level 3— Prices determined using significant unobservable inputs. In situations where 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 MSRs, its mortgage servicing liabilities (“MSLs”) and all of its non-cash financial assets other than Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell , 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. The Company has also identified its ESS financing 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, 2019 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 90,663 $ — $ — $ 90,663 Loans held for sale at fair value — 4,437,954 85,017 4,522,971 Derivative assets: Interest rate lock commitments — — 147,400 147,400 Repurchase agreement derivatives — — 8,187 8,187 Forward purchase contracts — 17,943 — 17,943 Forward sales contracts — 6,141 — 6,141 MBS put options — 10,040 — 10,040 Put options on interest rate futures purchase contracts 6,266 — — 6,266 Call options on interest rate futures purchase contracts 2,414 — — 2,414 Total derivative assets before netting 8,680 34,124 155,587 198,391 Netting — — — 34,557 Total derivative assets 8,680 34,124 155,587 232,948 Mortgage servicing rights at fair value — — 2,556,253 2,556,253 Investment in PennyMac Mortgage Investment Trust 1,667 — — 1,667 $ 101,010 $ 4,472,078 $ 2,796,857 $ 7,404,502 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value $ — $ — $ 183,141 $ 183,141 Derivative liabilities: Interest rate lock commitments — — 2,276 2,276 Forward purchase contracts — 51,585 — 51,585 Forward sales contracts — 34,498 — 34,498 Total derivative liabilities before netting — 86,083 2,276 88,359 Netting — — — (74,324) Total derivative liabilities — 86,083 2,276 14,035 Mortgage servicing liabilities at fair value — — 34,294 34,294 $ — $ 86,083 $ 219,711 $ 231,470 December 31, 2018 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 117,824 $ — $ — $ 117,824 Loans held for sale at fair value — 2,261,639 260,008 2,521,647 Derivative assets: Interest rate lock commitments — — 50,507 50,507 Repurchase agreement derivatives — — 26,770 26,770 Forward purchase contracts — 35,916 — 35,916 Forward sales contracts — 437 — 437 MBS put options — 720 — 720 MBS call options — 2,135 — 2,135 Put options on interest rate futures purchase contracts 866 — — 866 Call options on interest rate futures purchase contracts 5,965 — — 5,965 Total derivative assets before netting 6,831 39,208 77,277 123,316 Netting — — — (26,969) Total derivative assets 6,831 39,208 77,277 96,347 Mortgage servicing rights at fair value — — 2,820,612 2,820,612 Investment in PennyMac Mortgage Investment Trust 1,397 — — 1,397 $ 126,052 $ 2,300,847 $ 3,157,897 $ 5,557,827 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value $ — $ — $ 216,110 $ 216,110 Derivative liabilities: Interest rate lock commitments — — 1,169 1,169 Forward purchase contracts — 215 — 215 Forward sales contracts — 26,762 — 26,762 Total derivative liabilities before netting — 26,977 1,169 28,146 Netting — — — (25,082) Total derivative liabilities — 26,977 1,169 3,064 Mortgage servicing liabilities at fair value — — 8,681 8,681 $ — $ 26,977 $ 225,960 $ 227,855 As shown above, all or a portion of the Company’s loans held for sale, Interest Rate Lock Commitments (“IRLCs”), repurchase agreement derivatives, MSRs, ESS and MSLs are measured using Level 3 fair value inputs. Following are roll forwards of these items for each of the quarter and nine month periods ended September 30, 2019 and 2018: Quarter ended September 30, 2019 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) Balance, June 30, 2019 $ 217,998 $ 111,776 $ 16,015 $ 2,720,335 $ 3,066,124 Purchases and issuances, net 1,861,769 199,274 1,502 46 2,062,591 Sales and repayments (1,582,564) — (9,422) — (1,591,986) Mortgage servicing rights resulting from loan sales — — — 246,757 246,757 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 4,252 — — — 4,252 Other factors — 92,138 92 (410,885) (318,655) 4,252 92,138 92 (410,885) (314,403) Transfers from Level 3 to Level 2 (416,062) — — — (416,062) Transfers to real estate acquired in settlement of loans (376) — — — (376) Transfers of interest rate lock commitments to loans held for sale — (258,064) — — (258,064) Balance, September 30, 2019 $ 85,017 $ 145,124 $ 8,187 $ 2,556,253 $ 2,794,581 Changes in fair value recognized during the quarter relating to assets still held at September 30, 2019 $ (2,328) $ 145,124 $ 41 $ (410,885) $ (268,048) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended September 30, 2019 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, June 30, 2019 $ 194,156 $ 12,948 $ 207,104 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 377 — 377 Accrual of interest 2,291 — 2,291 Repayments (9,819) — (9,819) Mortgage servicing liabilities resulting from loan sales — 19,501 19,501 Changes in fair value included in income (3,864) 1,845 (2,019) Balance, September 30, 2019 $ 183,141 $ 34,294 $ 217,435 Changes in fair value recognized during the quarter relating to liabilities still outstanding at September 30, 2019 $ (3,864) $ 1,845 $ (2,019) Quarter ended September 30, 2018 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) 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 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 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 Liabilities financing liabilities Total (in thousands) 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 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) Nine months ended September 30, 2019 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) Balance, December 31, 2018 $ 260,008 $ 49,338 $ 26,770 $ 2,820,612 $ 3,156,728 Purchases and issuances, net 3,537,177 376,137 15,019 227,445 4,155,778 Sales and repayments (2,414,899) — (31,994) — (2,446,893) Mortgage servicing rights resulting from loan sales — — — 545,839 545,839 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (2,025) — — — (2,025) Other factors — 248,889 (1,608) (1,037,643) (790,362) (2,025) 248,889 (1,608) (1,037,643) (792,387) Transfers from Level 3 to Level 2 (1,292,824) — — — (1,292,824) Transfers to real estate acquired in settlement of loans (2,420) — — — (2,420) Transfers of interest rate lock commitments to loans held for sale — (529,240) — — (529,240) Balance, September 30, 2019 $ 85,017 $ 145,124 $ 8,187 $ 2,556,253 $ 2,794,581 Changes in fair value recognized during the period relating to assets still held at September 30, 2019 $ (2,478) $ 145,124 $ 165 $ (1,037,643) $ (894,832) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Nine months ended September 30, 2019 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, December 31, 2018 $ 216,110 $ 8,681 $ 224,791 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 1,327 — 1,327 Accrual of interest 8,124 — 8,124 Repayments (30,901) — (30,901) Mortgage servicing liabilities resulting from loan sales — 27,133 27,133 Changes in fair value included in income (11,519) (1,520) (13,039) Balance, September 30, 2019 $ 183,141 $ 34,294 $ 217,435 Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2019 $ (11,519) $ (1,520) $ (13,039) Nine months ended September 30, 2018 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) 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 adoption of the fair value method of accounting — — — 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 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 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 Liabilities financing liabilities Total (in thousands) 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 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) The information used in the preceding roll forwards represents activity for any 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 loans held for sale at fair value upon purchase or funding of the respective loans and from the return to salability in the active secondary market of certain 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, 2019 2018 Net Net gains on Net Net gains on 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: Loans held for sale $ — $ 263,339 $ 263,339 $ — $ 67,709 $ 67,709 Mortgage servicing rights (410,885) — (410,885) (12,704) — (12,704) $ (410,885) $ 263,339 $ (147,546) $ (12,704) $ 67,709 $ 55,005 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust $ 3,864 $ — $ 3,864 $ (1,109) $ — $ (1,109) Mortgage servicing liabilities (1,845) — (1,845) 2,225 — 2,225 $ 2,019 $ — $ 2,019 $ 1,116 $ — $ 1,116 Nine months ended September 30, 2019 2018 Net Net gains on Net Net gains on 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: Loans held for sale $ — $ 538,086 $ 538,086 $ — $ 118,452 $ 118,452 Mortgage servicing rights (1,037,643) — (1,037,643) 23,284 — 23,284 $ (1,037,643) $ 538,086 $ (499,557) $ 23,284 $ 118,452 $ 141,736 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust $ 11,519 $ — $ 11,519 $ (9,026) $ — $ (9,026) Mortgage servicing liabilities 1,520 — 1,520 9,899 — 9,899 $ 13,039 $ — $ 13,039 $ 873 $ — $ 873 Following are the fair value and related principal amounts due upon maturity of loans held for sale accounted for under the fair value option: September 30, 2019 December 31, 2018 Principal Principal amount amount Fair due upon Fair due upon Loans held for sale value maturity Difference value maturity Difference (in thousands) Current through 89 days delinquent $ 4,478,965 $ 4,275,981 $ 202,984 $ 2,324,203 $ 2,220,371 $ 103,832 90 days or more delinquent: Not in foreclosure 20,972 22,145 (1,173) 143,631 144,011 (380) In foreclosure 23,034 25,126 (2,092) 53,813 56,254 (2,441) $ 4,522,971 $ 4,323,252 $ 199,719 $ 2,521,647 $ 2,420,636 $ 101,011 Assets Measured at Fair Value on a Nonrecurring Basis Following is a summary of assets that were measured at fair value on a nonrecurring basis: Real estate acquired in settlement of loans Level 1 Level 2 Level 3 Total (in thousands) September 30, 2019 $ — $ — $ 8,575 $ 8,575 December 31, 2018 $ — $ — $ 2,150 $ 2,150 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, 2019 2018 2019 2018 (in thousands) Real estate acquired in settlement of loans $ 139 $ (41) $ 162 $ (72) 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 are classified as “Level 3” fair value items due to the Company’s reliance on unobservable inputs to estimate their fair values. The Company has concluded that the fair values of these assets and liabilities other than the Term Notes included in Notes payable approximate their carrying values due to their short terms and/or variable interest rates. The fair value of the Term Notes at September 30, 2019 was based on non-affiliate broker indications of fair value. The fair value of Term Notes at December 31, 2018 was estimated using a discounted cash flow approach using indications of market pricing spreads provided by non-affiliate brokers to develop an appropriate discount rate. The fair value and carrying value of the Term Notes are summarized below: Term Notes September 30, 2019 December 31, 2018 (in thousands) Fair value $ 1,306,828 $ 1,285,894 Carrying value $ 1,293,625 $ 1,292,291 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 are measured using 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, the Company 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. The Company has assigned responsibility for developing the fair values of IRLCs 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: Loans Held for Sale Most of the Company’s loans held for sale at fair value are saleable into active markets and are therefore categorized as “Level 2” fair value assets. The fair values of “Level 2” fair value loans are determined using their contracted selling price or quoted market price or market price equivalent. Certain of the Company’s loans held for sale are not saleable into active markets and are therefore categorized as “Level 3” fair value assets. Loans held for sale categorized as “Level 3” fair value assets include: · Certain delinquent government guaranteed or insured loans purchased by the Company from Ginnie Mae guaranteed pools in its loan servicing portfolio. The Company’s right to purchase delinquent government guaranteed or insured 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 loans may be resold to investors and thereafter may be repurchased to the extent eligible for resale into a new Ginnie Mae guaranteed security. Such eligibility occurs when the repurchased loans become current either through the borrower’s reperformance or through completion of a modification of the loan’s terms. · Certain of the Company’s loans held for sale that are not saleable into active markets due to identification of a defect by the Company or to the repurchase by the Company of a loan with an identified defect. The Company uses a discounted cash flow model to estimate the fair value of its “Level 3” fair value loans held for sale. The significant unobservable inputs used in the fair value measurement of the Company’s “Level 3” fair value loans held for sale 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 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 loans held for sale: September 30, 2019 December 31, 2018 Carrying value (in thousands) $ 85,017 $ 260,008 Key inputs (1): Discount rate: Range 3.2% – 9.2% 2.8% – 9.2% Weighted average 3.4% 2.9% Twelve-month projected housing price index change: Range 2.6% – 3.2% 2.2% – 5.0% Weighted average 2.9% 3.5% Voluntary prepayment/resale speed (2): Range 0.3% – 19.2% 0.1% – 21.8% Weighted average 15.8% 20.1% Total prepayment speed (3): Range 0.6% – 34.8% 0.1% – 40.5% Weighted average 29.6% 37.7% (1) Weighted average inputs are based on the fair value of 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 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 loans held for sale are included in Net gains on 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 “Level 3” fair value assets or liabilities. The Company estimates the fair value of IRLCs based on quoted Agency MBS prices, its estimate of the fair value of the MSRs it expects to receive in the sale of the loans and the probability that the loan will be funded or 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 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 loan principal and interest payment cash flow component, which decreases in fair value. Changes in fair value of IRLCs are included in Net gains on loans held for sale at fair value and may be allocated to Net loan servicing fees – 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 IRLCs are included as a component of the Company’s MSR hedging strategy. Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs: September 30, 2019 December 31, 2018 Carrying value (in thousands) (1) $ 145,124 $ 49,338 Key inputs (2): Pull-through rate: Range 12.2% – 100% 16.6% – 100% Weighted average 85.6% 84.1% Mortgage servicing rights value expressed as: Servicing fee multiple: Range 1.4 – 5.7 1.5 – 5.5 Weighted average 4.0 3.8 Percentage of unpaid principal balance: Range 0.3% – 2.9% 0.4% – 3.2% Weighted average 1.6% 1.5% (1) For purpose of this table, IRLC asset and liability positions are shown net. (2) Weighted average inputs are based on the committed amounts. Hedging Derivatives Fair value of 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 loans acquired for sale at fair value, or Net mortgage loan servicing fees – Change in fair value of mortgage servicing rights and mortgage servicing liabilities , as applicable, in the consolidated statements of income. Repurchase Agreement Derivatives Through August 21, 2019, the Company had a master repurchase agreement that included 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 separated for reporting purposes from the master repurchase agreement. The Company classifies repurchase agreement derivatives as “Level 3” fair value assets. The significant unobservable inputs into the valuation of repurchase agreement 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 were 99.0% and 97.0% at September 30, 2019 and December 31, 2018, respectively. 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 the applicable pricing spread (discount rate), prepayment rates of the underlying loans, and annual per-loan cost to service the loans, all of which are unobservable. Significant changes to any of those inputs in isolation could result in a significant change in the MSR fair value measurement. Changes in these key inputs are not necessarily directly related. Changes in the fair value of MSRs are included in Net loan servicing fees — Change in fair value of mortgage servicing rights and mortgage servicing liabilities in the consolidated statements of income. Following are the key inputs used in determining the fair value of MSRs received by the Company when it retains the obligation to service the mortgage loans it sells: Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (Amount recognized and unpaid principal balance of underlying loans in thousands) MSR and pool characteristics: Amount recognized $ 246,757 $ 149,000 $ 545,839 $ 448,604 Unpaid principal balance of underlying loans $ 15,709,249 $ 10,790,398 $ 35,532,425 $ 32,095,458 Weighted average servicing fee rate (in basis points) 43 37 42 36 Key inputs (1): Pricing spread (2) Range 5.5% – 16.2% 7.3% – 13.6% 5.5% – 16.2% 7.3% – 14.1% Weighted average 8.3% 10.1% 8.6% 10.2% Annual total prepayment speed (3) Range 8.8% – 32.1% 4.4% – 55.7% 7.7% – 32.8% 3.9% – 61.8% Weighted average 15.7% 11.8% 15.0% 10.6% Life (in years) Range 2.7 – 7.5 0.5 – 11.3 2.6 – 7.8 0.5 – 11.6 Weighted average 5.5 6.9 5.8 7.5 Per-loan annual cost of servicing Range $78 – $100 $78 – $98 $78 – $100 $78 – $98 Weighted average $97 $92 $97 $90 (1) Weighted average inputs are based on the UPB of the underlying 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”)/swap curve for purposes of discounting cash flows relating to MSRs. (3) Prepayment speed is measured using Life Total CPR. Following is a quantitative summary of key inputs used in the valuation and assessment for the Company’s MSRs and the effect on the fair value from adverse changes in those inputs: September 30, 2019 December 31, 2018 (Carrying value, unpaid principal balance of underlying loans and effect on fair value amounts in thousands) MSR and pool characteristics: Carrying value $ 2,556,253 $ 2,820,612 Unpaid principal balance of underlying loans $ 221,215,993 $ 201,054,144 Weighted average note interest rate 4.0% 4.0% Weighted average servicing fee rate (in basis points) 34 33 Key inputs (1): Pricing spread (2): Range 5.9% – 15.8% 5.8% – 16.1% Weighted average 8.5% 8.7% Effect on fair value of: 5% adverse change ($35,830) ($45,268) 10% adverse change ($70,578) ($89,073) 20% adverse change ($137,016) ($172,556) Prepayment speed (3): Range 9.8% – 33.0% 8.4% – 32.6% Weighted average 15.6% 9.9% Average life (in years): Range 1.4 – 7.2 1.5 – 7.9 Weighted average 5.2 7.2 Effect on fair value of: 5% adverse change ($64,047) ($47,687) 10% adverse change ($124,892) ($93,626) 20% adverse change ($237,822) ($180,623) Annual per-loan cost of servicing: Range $77 – $100 $78 – $99 Weighted average $96 $93 Effect on fair value of: 5% adverse change ($21,731) ($22,944) 10% adverse change ($43,462) ($45,888) 20% adverse change ($86,925) ($91,775) (1) Weighted average inputs are based on the UPB of the underlying loans. (2) The Company applies a pricing spread to the United States Dollar LIBOR/swap curve for purposes of discounting cash flows relating to MSRs. (3) Prepayment speed is measured using Life Total CPR. The preceding sensitivity analyses are limited in that they were performed as of a particular date; only contemplate the movements in the indicated inputs; do not incorporate changes to other inputs; are subject to the accuracy of the models and inputs used; and do not incorporate other factors that would affect the Company’s overall financial performance in such events, including operational adjustments made by management to account for changing circumstances. For these reasons, the preceding estimates should not be viewed as earnings forecasts. Excess Servicing Spread Financing at Fair Value The Company categorizes ESS as a “Level 3” fair value liability. Because the ESS is a claim to a portion of the cash flows from MSRs, the fair value measurement of the ESS |
Loans Held for Sale at Fair Val
Loans Held for Sale at Fair Value | 9 Months Ended |
Sep. 30, 2019 | |
Loans Held for Sale at Fair Value | |
Loans Held for Sale at Fair Value | Note 7—Loans Held for Sale at Fair Value Loans held for sale at fair value include the following: September 30, December 31, Loan type 2019 2018 (in thousands) Government-insured or guaranteed $ 4,148,681 $ 2,116,126 Conventional conforming 289,273 144,872 Jumbo — 641 Home equity lines of credit 14 — Purchased from Ginnie Mae pools serviced by the Company 76,105 250,585 Repurchased pursuant to representations and warranties 8,898 9,423 $ 4,522,971 $ 2,521,647 Fair value of loans pledged to secure: Assets sold under agreements to repurchase $ 3,939,161 $ 1,923,857 Mortgage loan participation purchase and sale agreements 542,049 555,001 $ 4,481,210 $ 2,478,858 |
Derivative Financial Instrument
Derivative Financial Instruments | 9 Months Ended |
Sep. 30, 2019 | |
Derivative Financial Instruments | |
Derivative Financial Instruments | Note 8—Derivative Financial Instruments 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 when the Company 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 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 loans held for sale and the portion of its MSRs not financed with ESS. The Company does not designate and qualify any of its derivatives for hedge accounting. 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, 2019 December 31, 2018 Fair value Fair value Notional Derivative Derivative Notional Derivative Derivative Instrument amount assets liabilities amount assets liabilities (in thousands) Not subject to master netting arrangements: Interest rate lock commitments 8,311,786 $ 147,400 $ 2,276 2,805,400 $ 50,507 $ 1,169 Repurchase agreement derivatives 8,187 — 26,770 — Used for hedging purposes: Forward purchase contracts 15,829,825 17,943 51,585 6,657,026 35,916 215 Forward sales contracts 15,116,810 6,141 34,498 6,890,046 437 26,762 MBS put options 10,050,000 10,040 — 4,635,000 720 — MBS call options — — — 1,450,000 2,135 — Put options on interest rate futures purchase contracts 4,350,000 6,266 — 3,085,000 866 — Call options on interest rate futures purchase contracts 600,000 2,414 — 1,512,500 5,965 — Treasury futures purchase contracts 1,408,500 — — 835,000 — — Treasury futures sale contracts 1,132,500 — — 1,450,000 — — Interest rate swap futures purchase contracts 3,910,000 — — 625,000 — — Total derivatives before netting 198,391 88,359 123,316 28,146 Netting 34,557 (74,324) (26,969) (25,082) $ 232,948 $ 14,035 $ 96,347 $ 3,064 Collateral placed with (received from) derivative counterparties $ 108,881 $ (1,887) The following table summarizes notional amount activity for derivative contracts used in the Company’s hedging activities: Quarter ended September 30, 2019 Notional Notional amount amount beginning of Dispositions/ end of Instrument quarter Additions expirations quarter (in thousands) Forward purchase contracts 19,497,698 100,139,970 (103,807,843) 15,829,825 Forward sale contracts 14,276,156 122,174,329 (121,333,675) 15,116,810 MBS put options 12,775,000 29,575,000 (32,300,000) 10,050,000 MBS call options 2,250,000 — (2,250,000) — Put options on interest rate futures purchase contracts 2,835,000 9,850,000 (8,335,000) 4,350,000 Call options on interest rate futures purchase contracts 3,687,500 1,750,000 (4,837,500) 600,000 Put options on interest rate futures sale contracts — 8,335,000 (8,335,000) — Call options on interest rate futures sale contracts — 4,837,500 (4,837,500) — Treasury futures purchase contracts 486,100 5,132,000 (4,209,600) 1,408,500 Treasury futures sale contracts 1,550,000 3,792,100 (4,209,600) 1,132,500 Interest rate swap futures purchase contracts 2,900,000 1,800,000 (790,000) 3,910,000 Interest rate swap futures sales contracts — 790,000 (790,000) — Quarter ended September 30, 2018 Notional Notional 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 Nine months ended September 30, 2019 Notional Notional amount amount beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts 6,657,026 237,370,321 (228,197,522) 15,829,825 Forward sale contracts 6,890,046 275,749,351 (267,522,587) 15,116,810 MBS put options 4,635,000 77,185,000 (71,770,000) 10,050,000 MBS call options 1,450,000 6,750,000 (8,200,000) — Put options on interest rate futures purchase contracts 3,085,000 19,422,500 (18,157,500) 4,350,000 Call options on interest rate futures purchase contracts 1,512,500 13,127,800 (14,040,300) 600,000 Put options on interest rate futures sale contracts — 27,297,800 (27,297,800) — Call options on interest rate futures sale contracts — 4,837,500 (4,837,500) — Treasury futures purchase contracts 835,000 11,943,400 (11,369,900) 1,408,500 Treasury futures sale contracts 1,450,000 11,052,400 (11,369,900) 1,132,500 Interest rate swap futures purchase contracts 625,000 4,075,000 (790,000) 3,910,000 Interest rate swap futures sale contracts — 790,000 (790,000) — Nine months ended September 30, 2018 Notional Notional 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 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, 2019 December 31, 2018 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 $ 147,400 $ — $ 147,400 $ 50,507 $ — $ 50,507 Repurchase agreement derivatives 8,187 — 8,187 26,770 — 26,770 155,587 — 155,587 77,277 — 77,277 Derivatives subject to master netting arrangements: Forward purchase contracts 17,943 — 17,943 35,916 — 35,916 Forward sale contracts 6,141 — 6,141 437 — 437 MBS put options 10,040 — 10,040 720 — 720 MBS call options — — — 2,135 — 2,135 Put options on interest rate futures purchase contracts 6,266 — 6,266 866 — 866 Call options on interest rate futures purchase contracts 2,414 — 2,414 5,965 — 5,965 Netting — 34,557 34,557 — (26,969) (26,969) 42,804 34,557 77,361 46,039 (26,969) 19,070 $ 198,391 $ 34,557 $ 232,948 $ 123,316 $ (26,969) $ 96,347 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, 2019 December 31, 2018 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 $ 147,400 $ — $ — $ 147,400 $ 50,507 $ — $ — $ 50,507 JPMorgan Chase Bank, N.A. 32,450 — — 32,450 1,399 — — 1,399 Citibank, N.A. 15,951 — — 15,951 2,488 — — 2,488 Morgan Stanley Bank, N.A. 11,842 — — 11,842 — — — RJ O'Brien 8,680 — — 8,680 6,831 — — 6,831 Deutsche Bank 8,187 — — 8,187 26,770 — — 26,770 Wells Fargo Bank, N.A. 5,728 — — 5,728 3,707 — — 3,707 Goldman Sachs 2,252 — — 2,252 — — — — Bank of America, N.A. — — — — 2,781 — — 2,781 Others 458 — — 458 1,864 — — 1,864 $ 232,948 $ — $ — $ 232,948 $ 96,347 $ — $ — $ 96,347 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, 2019 December 31, 2018 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 $ 2,276 $ — $ 2,276 $ 1,169 $ — $ 1,169 Derivatives subject to a master netting arrangement: Forward purchase contracts 51,585 — 51,585 215 — 215 Forward sale contracts 34,498 — 34,498 26,762 — 26,762 Netting — (74,324) (74,324) — (25,082) (25,082) 86,083 (74,324) 11,759 26,977 (25,082) 1,895 Total derivatives 88,359 (74,324) 14,035 28,146 (25,082) 3,064 Assets sold under agreements to repurchase: Amount outstanding 3,539,459 — 3,539,459 1,935,200 — 1,935,200 Unamortized debt issuance premiums and costs, net (570) — (570) (1,341) — (1,341) 3,538,889 — 3,538,889 1,933,859 — 1,933,859 $ 3,627,248 $ (74,324) $ 3,552,924 $ 1,962,005 $ (25,082) $ 1,936,923 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, 2019 December 31, 2018 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 $ 2,276 $ — $ — $ 2,276 $ 1,169 $ — $ — $ 1,169 Credit Suisse First Boston Mortgage Capital LLC 1,000,098 (999,713) — 385 691,030 (690,766) — 264 Bank of America, N.A. 506,553 (497,335) — 9,218 170,820 (170,820) — — JPMorgan Chase Bank, N.A. 711,619 (711,619) — — 54,326 (54,326) — — Morgan Stanley Bank, N.A. 551,027 (551,027) — — 77,687 (77,687) — — Citibank, N.A. 461,496 (461,496) — — 14,960 (14,960) — — BNP Paribas 192,534 (192,534) — — 149,675 (149,482) — 193 Royal Bank of Canada 125,735 (125,735) — — 35,181 (35,181) — — Deutsche Bank — — — — 741,978 (741,978) — — Federal National Mortgage Association 685 — — 685 — — — — Others 1,471 — — 1,471 1,438 — — 1,438 $ 3,553,494 $ (3,539,459) $ — $ 14,035 $ 1,938,264 $ (1,935,200) $ — $ 3,064 Following are the gains (losses) recognized by the Company on derivative financial instruments and the income statement lines where such gains and losses are included: Quarter ended September 30, Nine months ended September 30, Derivative activity Income statement line 2019 2018 2019 2018 (in thousands) Interest rate lock commitments Net gains on loans held for sale at fair value $ 33,347 $ (18,526) $ 95,785 $ (21,109) Repurchase agreement derivatives Interest expense $ 92 $ (227) $ (1,608) $ (1,345) Hedged item: Interest rate lock commitments and loans held for sale Net gains on loans held for sale at fair value $ (55,540) $ 10,820 $ (157,362) $ 100,422 Mortgage servicing rights Net loan servicing fees –C hange in fair value of mortgage servicing rights and mortgage servicing liabilities $ 250,146 $ (52,971) $ 587,883 $ (180,853) |
Mortgage Servicing Rights and M
Mortgage Servicing Rights and Mortgage Servicing Liabilities | 9 Months Ended |
Sep. 30, 2019 | |
Mortgage Servicing Rights and Mortgage Servicing Liabilities | |
Mortgage Servicing Rights and Mortgage Servicing Liabilities | Note 9—Mortgage Servicing Rights and Mortgage Servicing Liabilities Mortgage Servicing Rights at Fair Value The activity in MSRs is as follows: Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (in thousands) Balance at beginning of period $ 2,720,335 $ 2,486,157 $ 2,820,612 $ 638,010 Reclassification of mortgage servicing rights previously accounted for under the amortization method pursuant to adoption of the fair value method of accounting — — — 1,482,426 Balance after reclassification 2,720,335 2,486,157 2,820,612 2,120,436 Additions: Resulting from loan sales 246,757 149,000 545,839 448,604 Purchases 46 163,511 227,445 193,640 246,803 312,511 773,284 642,244 Change in fair value due to: Changes in inputs used in valuation model (1) (286,880) 64,293 (704,967) 239,538 Other changes in fair value (2) (124,005) (76,997) (332,676) (216,254) Total change in fair value (410,885) (12,704) (1,037,643) 23,284 Balance at end of period $ 2,556,253 $ 2,785,964 $ 2,556,253 $ 2,785,964 September 30, December 31, 2019 2018 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and Notes payable $ 2,550,602 $ 2,807,333 (1) Principally reflects changes in discount rate and prepayment speed inputs, primarily due to changes in market interest rates. (2) Represents changes due to realization of cash flows. Mortgage Servicing Liabilities at Fair Value The activity in MSLs is summarized below: Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (in thousands) Balance at beginning of period $ 12,948 $ 10,253 $ 8,681 $ 14,120 Mortgage servicing liabilities resulting from loan sales 19,501 1,741 27,133 5,548 Changes in fair value due to: Changes in valuation inputs used in valuation model (1) 8,630 3,410 14,687 8,590 Other changes in fair value (2) (6,785) (5,635) (16,207) (18,489) Total change in fair value 1,845 (2,225) (1,520) (9,899) Balance at end of period $ 34,294 $ 9,769 $ 34,294 $ 9,769 (1) Principally reflects changes in expected borrower performance and servicer losses given default. (2) Represents changes due to realization of cash flows. Contractual servicing fees relating to MSRs and MSLs are recorded in Net loan servicing fees—Loan servicing fees—From non-affiliates on the consolidated statements of income; other fees relating to MSRs and MSLs are recorded in Net loan servicing fees—Loan servicing fees—Other on the Company’s consolidated statements of income. Such amounts are summarized below: Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (in thousands) Contractual servicing fees $ 185,967 $ 147,182 $ 533,510 $ 421,536 Other fees: Late charges 12,430 5,087 31,258 19,595 Other 4,846 1,244 9,119 4,620 $ 203,243 $ 153,513 $ 573,887 $ 445,751 |
Leases
Leases | 9 Months Ended |
Sep. 30, 2019 | |
Leases | |
Leases | Note 10—Leases The Company has operating lease agreements relating to its facilities. The Company’s operating lease agreements have remaining terms ranging from less than one year to ten years; some of these operating lease agreements include options to extend the term for up to five years. None of the Company’s operating lease agreements require the Company to make variable lease payments. The Company’s lease agreements are summarized below: Quarter ended Nine months ended September 30, 2019 September 30, 2019 (dollars in thousands) Lease expense: Operating leases $ 3,356 $ 9,817 Short-term leases 213 644 Sublease income (35) (94) Net lease expense included in Occupancy and equipment $ 3,534 $ 10,367 Other information: Cash payments for operating leases $ 4,063 $ 11,793 Operating lease right-of-use assets recognized Upon adoption of ASU 2016-02 $ — $ 58,713 New leases 1,929 1,929 $ 1,929 $ 60,642 Period end: Weighted averages: Remaining lease term (in years) 5.8 Discount rate The maturities of the Company’s operating lease liabilities are summarized below: Twelve months ended September 30, Operating leases (in thousands) 2020 $ 17,246 2021 14,754 2022 12,170 2023 11,580 2024 9,123 Thereafter 17,628 Total lease payments 82,501 Less imputed interest (10,341) Total $ 72,160 As of September 30, 2019, the Company had one operating lease that has not yet commenced with an undiscounted minimum payment commitment totaling $1.5 million. The lease is expected to commence in May 2020. |
Borrowings
Borrowings | 9 Months Ended |
Sep. 30, 2019 | |
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, 2019. Assets Sold Under Agreements to Repurchase The Company has multiple borrowing facilities in the form of asset sales under agreements to repurchase. These borrowing facilities are secured by loans held for sale at fair value or participation certificates backed by MSRs. Eligible 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. 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, 2019 2018 2019 2018 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ 2,098,208 $ 1,563,053 $ 1,861,086 $ 1,618,008 Weighted average interest rate (1) 3.66 % 3.91 % 4.08 % 3.72 % Total interest expense (2) $ 19,429 $ 4,676 $ 47,709 $ 15,943 Maximum daily amount outstanding $ 3,539,459 $ 2,201,880 $ 3,539,459 $ 2,380,121 September 30, December 31, 2019 2018 (dollars in thousands) Carrying value: Unpaid principal balance $ 3,539,459 $ 1,935,200 Unamortized debt issuance premiums and costs, net (570) (1,341) $ 3,538,889 $ 1,933,859 Weighted average interest rate 3.53 % 4.22 % Available borrowing capacity (3): Committed $ 2,665 $ 695,767 Uncommitted 1,292,876 2,354,033 $ 1,295,541 $ 3,049,800 Fair value of assets securing repurchase agreements: Loans held for sale $ 3,939,161 $ 1,923,857 Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 107,678 $ 131,025 Servicing advances (4) $ 181,747 $ 162,895 Mortgage servicing rights (4) $ 2,532,369 $ 2,807,333 Margin deposits placed with counterparties (5) $ 5,000 $ 3,750 (1) Excludes the effect of amortization of net issuance costs and premiums totaling $0.2 million and $9.2 million for the quarter and nine months ended September 30, 2019, respectively, and net premiums totaling $10.9 million and $29.7 million for the quarter and nine months ended September 30, 2018, 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 $1.6 million and $12.8 million of such incentives as reductions in Interest expense during the quarters ended September 30, 2019 and 2018, respectively, and $14.7 million and $35.5 million during the nine months ended September 30, 2019 and 2018, respectively. The master repurchase agreement expired on August 21, 2019. (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 described in Notes Payable . The VFN financing 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, 2019 Balance (dollars in thousands) Within 30 days $ 276,113 Over 30 to 90 days 3,041,052 Over 90 to 180 days 122,294 Over 180 days to one year 100,000 Total assets sold under agreements to repurchase $ 3,539,459 Weighted average maturity (in months) 2.5 The amount at risk (the fair value of the assets pledged plus the related margin deposit, less the amount advanced by the counterparty and interest payable) relating to the Company’s assets sold under agreements to repurchase is summarized by counterparty below as of September 30, 2019: Weighted average maturity of advances under repurchase Counterparty Amount at risk agreement Facility maturity (in thousands) Credit Suisse First Boston Mortgage Capital LLC $ 1,313,083 April 26, 2020 April 26, 2020 Credit Suisse First Boston Mortgage Capital LLC $ 231,656 December 2, 2019 April 24, 2020 Bank of America, N.A. $ 82,942 October 28, 2019 October 28, 2019 JP Morgan Chase Bank, N.A. $ 79,142 October 9, 2019 October 11, 2019 Citibank, N.A. $ 41,279 December 17, 2019 August 4, 2020 Morgan Stanley Bank, N.A. $ 40,511 December 16, 2019 August 21, 2020 BNP Paribas $ 12,363 December 17, 2019 July 31, 2020 Royal Bank of Canada $ 9,804 December 31, 2019 December 31, 2019 The Company is subject to margin calls during the period the repurchase agreements are outstanding and therefore may be required to repay a portion of the borrowings before the respective 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 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 a 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, 2019 2018 2019 2018 (dollars in thousands) Average balance $ 258,169 $ 289,008 $ 249,023 $ 250,599 Weighted average interest rate (1) 3.36 % 3.31 % 3.55 % 3.14 % Total interest expense $ 2,304 $ 2,533 $ 7,034 $ 6,450 Maximum daily amount outstanding $ 524,095 $ 722,611 $ 548,038 $ 722,611 (1) Excludes the effect of amortization of facility fees totaling $135,000 and $92,000 for the quarters ended September 30, 2019 and 2018, respectively, and $405,000 and $475,000 for the nine months ended September 30, 2019 and 2018, respectively. September 30, December 31, 2019 2018 (dollars in thousands) Carrying value: Unpaid principal balance $ 514,625 $ 532,466 Unamortized debt issuance costs — (215) $ 514,625 $ 532,251 Weighted average interest rate 3.27 % 3.77 % Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements $ 542,049 $ 555,001 Notes Payable Term Notes 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). Concurrent with issuance of the 2018-GT1 Notes, the Company also redeemed certain notes previously issued by the Issuer Trust. 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). Concurrent with the issuance of the 2018-GT2 Notes, the Company also redeemed certain notes previously issued by the Issuer Trust. 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. Corporate Revolving Line of Credit On November 1, 2018, the Company, 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 (“CS Cayman”), as collateral agent, and PNMAC Holdings, Inc. (formerly known as PennyMac Financial Services, Inc.) 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 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 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 were 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 PFSI, PNMAC Holdings, Inc., 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. MSR Note Payable On February 1, 2018, the Company issued a note payable in favor of CS Cayman that is secured by Fannie Mae and Freddie Mac MSRs. Interest is charged at a rate based on LIBOR plus the applicable contract margin. The facility expires on February 1, 2020. The maximum amount that the Company may borrow under the note payable is $400 million, less any amount outstanding under the agreement to repurchase pursuant to which the Company finances the VFN. The Company did not borrow under this note payable during the quarter and nine months ended September 30, 2019 or 2018. Notes payable are summarized below: Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (dollars in thousands) Average balance $ 1,300,000 $ 1,234,783 $ 1,300,000 $ 1,125,458 Weighted average interest rate (1) 5.11 % 5.07 % 5.21 % 5.29 % Total interest expense $ 17,525 $ 21,369 $ 53,559 $ 55,939 Maximum daily amount outstanding $ 1,300,000 $ 1,300,000 $ 1,300,000 $ 1,300,000 (1) Excludes the effect of amortization of debt issuance costs and non-utilization fees totaling $0.9 million and $2.0 million for the quarters ended September 30, 2019 and 2018, respectively, and $2.7 million and $2.8 million for the nine months ended September 30, 2019 and 2018, respectively, as well as unamortized debt issuance costs of $3.4 million and $8.0 million, recognized in Interest expense due to repayments of certain previously issued notes during the quarter and nine months ended September 30, 2018, respectively. September 30, December 31, 2019 2018 (dollars in thousands) Carrying value: Unpaid principal balance $ 1,300,000 $ 1,300,000 Unamortized debt issuance costs (6,375) (7,709) $ 1,293,625 $ 1,292,291 Weighted average interest rate 4.90 % 5.07 % Unused amount $ 150,000 $ 150,000 Assets pledged to secure notes payable: Cash $ 101,773 $ 108,174 Servicing advances (1) $ 181,747 $ 162,895 Mortgage servicing rights (1) $ 2,489,481 $ 2,807,333 (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. The VFN financing 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 The Company has a capital lease transaction secured by certain fixed assets and capitalized software. The capital lease matures on June 13, 2022 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, 2019 2018 2019 2018 (dollars in thousands) Average balance $ 25,812 $ 11,615 $ 13,380 $ 15,187 Weighted average interest rate 4.47 % 4.09 % 4.48 % 3.87 % Total interest expense $ 274 $ 122 $ 476 $ 444 Maximum daily amount outstanding $ 28,295 $ 13,032 $ 28,295 $ 20,971 September 30, December 31, 2019 2018 (dollars in thousands) Unpaid principal balance $ 23,881 $ 6,605 Weighted average interest rate 4.45 % 4.46 % Assets pledged to secure obligations under capital lease: Furniture, fixtures and equipment $ 22,172 $ 16,281 Capitalized software $ 14,090 $ 1,017 Excess Servicing Spread Financing at Fair Value In conjunction with its 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, 2019 2018 2019 2018 (in thousands) Balance at beginning of period $ 194,156 $ 229,470 $ 216,110 $ 236,534 Issuances of excess servicing spread to PennyMac Mortgage Investment Trust pursuant to recapture agreement 377 499 1,327 1,983 Accrual of interest 2,291 3,740 8,124 11,584 Repayment (9,819) (11,543) (30,901) (35,852) Change in fair value (3,864) 1,109 (11,519) 9,026 Balance at end of period $ 183,141 $ 223,275 $ 183,141 $ 223,275 |
Liability for Losses Under Repr
Liability for Losses Under Representations and Warranties | 9 Months Ended |
Sep. 30, 2019 | |
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, 2019 2018 2019 2018 (in thousands) Balance at beginning of period $ 18,709 $ 20,587 $ 21,155 $ 20,053 Provision for losses on loans sold: Resulting from sales of loans 2,508 1,842 5,222 4,550 Reduction in liability due to change in estimate (1,175) (1,155) (6,305) (3,627) (Recoveries) incurred losses, net (74) (252) (104) 46 Balance at end of period $ 19,968 $ 21,022 $ 19,968 $ 21,022 Unpaid principal balance of loans subject to representations and warranties at end of period $ 166,541,153 $ 139,315,779 |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2019 | |
Income Taxes | |
Income Taxes | Note 13—Income Taxes The Company’s effective income tax rates were 26.9% and 9.0% for the quarters ended September 30, 2019 and 2018, respectively, and 26.3% and 8.6% for the nine months ended September 30, 2019 and 2018, respectively. Beginning November 1, 2018, the Company’s income subject to income tax includes the portion of its income formerly attributed to the noncontrolling interest, which was not subject to income tax at the parent Company level before the Reorganization. As a result, the Company reported a higher effective tax rate for the quarter and nine months ended September 30, 2019 than for the quarter and nine months ended September 30, 2018. |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2019 | |
Commitments and Contingencies. | |
Commitments and Contingencies | Note 14—Commitments and Contingencies Litigation From time to time, the Company may be a party to legal proceedings, lawsuits and other claims arising in the ordinary course of its business. The amount, if any, of ultimate liability with respect to such matters cannot be determined, but despite the inherent uncertainties of litigation, management believes that the ultimate disposition of any such proceedings and exposure will not have, individually or taken together, a material adverse effect on the financial condition, results of operations, or cash flows of the Company. Regulatory Matters The Company and/or its subsidiaries are subject to various state and federal regulations related to its loan production and servicing operations by the various states it operates in as well as federal agencies such as the Consumer Financial Protection Bureau, HUD, and the FHA and is subject to the requirements of the Agencies to which it sells loans and for which it performs loan servicing activities. As a result, the Company may become involved in information-gathering requests, reviews, investigations and proceedings (both formal and informal) by such various federal, state and local regulatory bodies. Commitments to Purchase and Fund Mortgage Loans The Company’s commitments to purchase and fund loans totaled $8.3 billion as of September 30, 2019. |
Stockholders' Equity
Stockholders' Equity | 9 Months Ended |
Sep. 30, 2019 | |
Stockholders' Equity. | |
Stockholders' Equity | Note 15—Stockholders’ Equity In June 2017, the Company’s board of directors authorized a stock repurchase program under which the Company may repurchase up to $50 million of its outstanding common stock. Following is a summary of activity under the stock repurchase program: Quarter ended September 30, Nine months ended September 30, Cumulative 2019 2018 2019 2018 total (1) (in thousands) Shares of common stock repurchased — — 51 236 816 Cost of shares of common stock repurchased $ — $ — $ 1,056 $ 4,826 $ 14,948 (1) Amounts represent the total shares of common stock repurchased under the stock repurchase program through September 30, 2019. |
Noncontrolling Interest
Noncontrolling Interest | 9 Months Ended |
Sep. 30, 2019 | |
Noncontrolling Interest. | |
Noncontrolling Interest | Note 16—Noncontrolling Interest As a result of the Reorganization, noncontrolling interest unitholders contributed their Class A units of PNMAC in exchange for shares of the Company’s common stock without any cash consideration on a one-for-one basis. Consequently, the noncontrolling interest was reclassified to the Company’s paid-in capital accounts, net of deferred income taxes attributable to the noncontrolling interests. 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 Nine months ended September 30, 2018 September 30, 2018 (in thousands) Net income attributable to PennyMac Financial Services, Inc. common stockholders $ 14,489 $ 48,945 Increase in the Company's paid-in capital accounts 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 $ 32,501 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 1,616 |
Net Gains on Loans Held for Sal
Net Gains on Loans Held for Sale | 9 Months Ended |
Sep. 30, 2019 | |
Net Gains on Loans Held for Sale | |
Net Gains on Loans Held for Sale | Note 17—Net Gains on Loans Held for Sale Net gains on loans held for sale at fair value is summarized below: Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (in thousands) From non-affiliates: Cash loss: Loans $ (22,838) $ (107,414) $ (77,659) $ (399,457) Hedging activities (148,128) (2,507) (230,200) 89,322 (170,966) (109,921) (307,859) (310,135) Non-cash gain: Mortgage servicing rights and mortgage servicing liabilities resulting from loan sales 227,256 147,259 518,706 443,056 Provision for losses relating to representations and warranties: Pursuant to loan sales (2,508) (1,842) (5,222) (4,550) Reduction in liability due to change in estimate 1,175 1,155 6,305 3,627 Change in fair value of loans and derivatives held at period end: Interest rate lock commitments 33,347 (18,526) 95,785 (21,109) Loans (5,822) 6,897 (35,508) 21,407 Hedging derivatives 92,588 13,327 72,838 11,100 175,070 38,349 345,045 143,396 From PennyMac Mortgage Investment Trust 60,662 18,565 122,996 45,878 $ 235,732 $ 56,914 $ 468,041 $ 189,274 |
Net Interest Income
Net Interest Income | 9 Months Ended |
Sep. 30, 2019 | |
Net Interest Income | |
Net Interest Income | Note 18—Net Interest Income Net interest income is summarized below: Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (in thousands) Interest income: From non-affiliates: Cash and short-term investments $ 2,894 $ 814 $ 7,533 $ 2,001 Loans held for sale at fair value 35,800 34,941 101,509 95,982 Placement fees relating to custodial funds 43,231 23,397 98,628 55,014 81,925 59,152 207,670 152,997 From PennyMac Mortgage Investment Trust—Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell 1,527 1,812 5,015 5,686 83,452 60,964 212,685 158,683 Interest expense: To non-affiliates: Assets sold under agreements to repurchase (1) 19,429 4,676 47,709 15,943 Mortgage loan participation purchase and sale agreements 2,304 2,533 7,034 6,450 Notes payable 17,525 21,369 53,559 55,939 Obligations under capital lease 274 122 476 444 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 12,453 4,883 24,978 14,259 Interest on mortgage loan impound deposits 2,104 1,452 4,967 3,517 54,089 35,035 138,723 96,552 To PennyMac Mortgage Investment Trust—Excess servicing spread financing at fair value 2,291 3,740 8,124 11,584 56,380 38,775 146,847 108,136 $ 27,072 $ 22,189 $ 65,838 $ 50,547 (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 $1.6 million and $12.8 million of such incentives as reductions of Interest expense during the quarter ended September 30, 2019 and 2018, respectively, and $14.7 million and $35.5 million during the nine months ended September 30, 2019 and 2018, respectively. The master repurchase agreement expired on August 21, 2019. |
Stock-based Compensation
Stock-based Compensation | 9 Months Ended |
Sep. 30, 2019 | |
Stock-based Compensation | |
Stock-based Compensation | Note 19—Stock-based Compensation As of September 30, 2019, 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, 2019 2018 2019 2018 (in thousands) Grants: Units: Performance-based RSUs — — 665 524 Stock options — — 344 674 Time-based RSUs 4 5 334 321 Grant date fair value: Performance-based RSUs $ — $ — $ 15,253 $ 12,791 Stock options — — 2,965 6,147 Time-based RSUs 102 100 7,647 7,803 Total $ 102 $ 100 $ 25,865 $ 26,741 Vestings and exercises: Performance-based RSUs vested — — 648 774 Stock options exercised 127 55 245 285 Time-based RSUs vested 3 1 294 245 Compensation expense $ 8,941 $ 8,532 $ 19,124 $ 20,766 |
Earnings Per Share of Common St
Earnings Per Share of Common Stock | 9 Months Ended |
Sep. 30, 2019 | |
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, before the Reorganization, PennyMac Class A units. The Company applies the treasury stock method to determine the diluted weighted average shares of common stock outstanding based on the outstanding stock-based compensation awards. As a result of the Reorganization, all PNMAC Class A units converted into shares of the Company’s common stock on a one-for-one basis. The following table summarizes the basic and diluted earnings per share calculations: Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (in thousands, except per share amounts) Basic earnings per share of common stock: Net income attributable to common stockholders $ 121,473 $ 14,489 $ 240,304 $ 48,945 Weighted average shares of common stock outstanding 78,361 25,125 78,119 24,644 Basic earnings per share of common stock $ 1.55 $ 0.58 $ 3.08 $ 1.99 Diluted earnings per share of common stock: Net income attributable to common stockholders $ 121,473 $ 14,489 $ 240,304 $ 48,945 Net income attributable to dilutive stock-based compensation units — 552 — 2,435 Net income attributable to PennyMac Class A units exchangeable to Class A common stock, net of income taxes — 29,580 — 101,921 Net income attributable to common stockholders for diluted earnings per share $ 121,473 $ 44,621 $ 240,304 $ 153,301 Weighted average shares of common stock outstanding applicable to basic earnings per share 78,361 25,125 78,119 24,644 Effect of dilutive shares: Common shares issuable under stock-based compensation plan 2,021 1,476 1,702 1,818 PennyMac Class A units exchangeable to Class A common stock — 52,312 — 52,492 Weighted average shares of common stock applicable to diluted earnings per share 80,382 78,913 79,821 78,954 Diluted earnings per share of common stock $ 1.51 $ 0.57 $ 3.01 $ 1.94 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 anti-dilutive weighted-average number of outstanding performance-based restricted share units (“RSUs”), time-based RSUs, and stock options excluded from the calculation of diluted earnings per share: Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (in thousands except for weighted-average exercise price) Performance-based RSUs (1) 1,157 1,172 985 1,060 Time-based RSUs — 86 — 68 Stock options (2) 566 1,208 888 705 Total anti-dilutive shares and units 1,723 2,466 1,873 1,833 Weighted average exercise price of anti-dilutive stock options (2) $ 23.50 $ 17.79 $ 23.98 $ 17.79 (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 prices for the period. |
Supplemental Cash Flow Informat
Supplemental Cash Flow Information | 9 Months Ended |
Sep. 30, 2019 | |
Supplemental Cash Flow Information | |
Supplemental Cash Flow Information | Note 21—Supplemental Cash Flow Information Nine months ended September 30, 2019 2018 (in thousands) Cash paid for interest $ 125,987 $ 123,622 Cash paid (refunds received) for income taxes , net $ 5,761 $ (1,541) Non-cash investing activity: Mortgage servicing rights resulting from loan sales $ 545,839 $ 448,604 Mortgage servicing liabilities resulting from loan sales $ 27,133 $ 5,548 Unsettled portion of MSR acquisitions $ — $ 13,501 Operating right-of-use assets recognized $ 60,642 $ — Non-cash financing activity: Issuance of Excess servicing spread payable to PennyMac Mortgage Investment Trust pursuant to a recapture agreement $ 1,327 $ 1,983 Issuance of common stock and Class A common stock in settlement of director fees $ 184 $ 245 |
Regulatory Capital and Liquidit
Regulatory Capital and Liquidity Requirements | 9 Months Ended |
Sep. 30, 2019 | |
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 capital and liquidity to remain a seller/servicer in good standing with the Agencies. Such capital 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 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 600 basis points. 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, 2019 December 31, 2018 Agency–company subject to requirement Actual (1) Requirement (1) Actual (1) Requirement (1) (dollars in thousands) Capital Fannie Mae & Freddie Mac – PLS $ 2,062,630 $ 572,167 $ 1,788,430 $ 514,089 Ginnie Mae – PLS $ 1,718,072 $ 852,256 $ 1,535,826 $ 733,342 Ginnie Mae – PennyMac $ 2,006,339 $ 937,482 $ 1,786,430 $ 806,676 HUD – PLS $ 1,718,072 $ 2,500 $ 1,535,826 $ 2,500 Liquidity Fannie Mae & Freddie Mac – PLS $ 282,056 $ 78,240 $ 271,802 $ 70,775 Ginnie Mae – PLS $ 282,056 $ 211,021 $ 271,802 $ 189,592 Tangible net worth / Total assets ratio Fannie Mae & Freddie Mac – PLS 19 % 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
Segments | 9 Months Ended |
Sep. 30, 2019 | |
Segments | |
Segments | Note 23—Segments 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 loan origination, acquisition and sale activities. The servicing segment performs servicing of loans, execution and management of early buyout loan transactions and servicing of 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 and managing the acquired assets and correspondent production activities for PMT. Financial performance and results by segment are as follows: Quarter ended September 30, 2019 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 216,132 $ 19,600 $ 235,732 $ — $ 235,732 Loan origination fees 49,434 — 49,434 — 49,434 Fulfillment fees from PennyMac Mortgage Investment Trust 45,149 — 45,149 — 45,149 Net loan servicing fees — 66,229 66,229 — 66,229 Net interest income (expense): Interest income 22,445 61,007 83,452 — 83,452 Interest expense 18,423 37,936 56,359 21 56,380 4,022 23,071 27,093 (21) 27,072 Management fees — — — 10,098 10,098 Other 324 567 891 1,742 2,633 Total net revenue 315,061 109,467 424,528 11,819 436,347 Expenses 135,777 127,581 263,358 6,792 270,150 Income before provision for income taxes $ 179,284 $ (18,114) $ 161,170 $ 5,027 $ 166,197 Segment assets at quarter end $ 4,850,741 $ 4,433,177 $ 9,283,918 $ 19,281 $ 9,303,199 (1) All revenues are from external customers. Quarter ended September 30, 2018 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 34,947 $ 21,967 $ 56,914 $ — $ 56,914 Loan origination fees 26,485 — 26,485 — 26,485 Fulfillment fees from PennyMac Mortgage Investment Trust 26,256 — 26,256 — 26,256 Net loan servicing fees — 109,703 109,703 — 109,703 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 of $1.8 million of cash and includes receivable from parent Company of $2.3 million. Nine months ended September 30, 2019 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 407,713 $ 60,328 $ 468,041 $ — $ 468,041 Loan origination fees 110,288 — 110,288 — 110,288 Fulfillment fees from PennyMac Mortgage Investment Trust 102,313 — 102,313 — 102,313 Net loan servicing fees — 205,934 205,934 — 205,934 Net interest income (expense): Interest income 55,714 156,971 212,685 — 212,685 Interest expense 36,236 110,572 146,808 39 146,847 19,478 46,399 65,877 (39) 65,838 Management fees — — — 26,178 26,178 Other 929 2,664 3,593 4,844 8,437 Total net revenue 640,721 315,325 956,046 30,983 987,029 Expenses 316,187 324,949 641,136 19,815 660,951 Income before provision for income taxes $ 324,534 $ (9,624) $ 314,910 $ 11,168 $ 326,078 Segment assets at period end $ 4,850,741 $ 4,433,177 $ 9,283,918 $ 19,281 $ 9,303,199 (1) All revenues are from external customers. Nine months ended September 30, 2018 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 105,111 $ 84,163 $ 189,274 $ — $ 189,274 Loan origination fees 75,476 — 75,476 — 75,476 Fulfillment fees from PennyMac Mortgage Investment Trust 52,759 — 52,759 — 52,759 Net loan servicing fees — 340,181 340,181 — 340,181 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 of $1.8 million of cash and includes receivable from parent Company of $2.3 million. |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2019 | |
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 October 31, 2019, the Company announced that it has initiated a quarterly dividend for common shareholders and that the board of directors declared a cash dividend of $0.12 per common share. The dividend will be paid on November 29, 2019 to common shareholders of record as of November 15, 2019. |
Transactions with Affiliates (T
Transactions with Affiliates (Tables) - PMT | 9 Months Ended |
Sep. 30, 2019 | |
Transactions with Affiliates | |
Summary of lending activity between the Company and affiliate | Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (in thousands) Net gains on loans held for sale at fair value: Net gains on loans held for sale to PMT $ 62,558 $ 19,722 $ 127,423 $ 49,396 Mortgage servicing rights and excess servicing spread recapture incurred (1,896) (1,157) (4,427) (3,518) $ 60,662 $ 18,565 $ 122,996 $ 45,878 Sale of loans held for sale to PMT $ 1,876,358 $ 908,525 $ 4,095,079 $ 2,336,162 Tax service fees earned from PMT included in Loan origination fees $ 4,222 $ 2,119 $ 9,567 $ 4,869 Fulfillment fee revenue $ 45,149 $ 26,256 $ 102,313 $ 52,759 Unpaid principal balance of loans fulfilled for PMT subject to fulfillment fees $ 16,647,172 $ 7,517,883 $ 35,523,802 $ 17,139,884 Sourcing fees paid to PMT $ 4,206 $ 2,689 $ 9,355 $ 8,221 Unpaid principal balance of loans purchased from PMT $ 14,022,222 $ 8,916,654 $ 31,183,950 $ 27,404,022 |
Summary of loan servicing fees earned from PMT | Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (in thousands) Loans acquired for sale at fair value $ 507 $ 316 $ 1,131 $ 739 Loans at fair value 858 1,271 1,938 5,528 Mortgage servicing rights 11,599 8,484 32,033 24,254 $ 12,964 $ 10,071 $ 35,102 $ 30,521 Property management fees received from PMT included in Other income $ 70 $ 122 $ 295 $ 333 |
Summary of management fees earned | Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (in thousands) Base management $ 7,914 $ 5,799 $ 20,862 $ 17,223 Performance incentive 2,184 683 5,316 683 $ 10,098 $ 6,482 $ 26,178 $ 17,906 |
Summary of reimbursement of expenses | Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (in thousands) Reimbursement of: Common overhead incurred by the Company included in Other revenue $ 1,543 $ 1,210 $ 4,055 $ 3,387 Compensation included in Other revenue 120 120 360 360 Expenses incurred on PMT's behalf, net 1,942 527 3,001 586 $ 3,605 $ 1,857 $ 7,416 $ 4,333 Payments and settlements during the period (1) $ 68,191 $ 21,650 $ 111,411 $ 45,265 (1) 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, 2019 2018 2019 2018 (in thousands) Interest income relating to Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 1,527 $ 1,812 $ 5,015 $ 5,686 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Dividends received $ 36 $ 35 $ 107 $ 106 Change in fair value of investment 30 94 270 313 $ 66 $ 129 $ 377 $ 419 September 30, December 31, 2019 2018 (in thousands) Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 107,678 $ 131,025 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Fair value $ 1,667 $ 1,397 Number of shares 75 75 |
Summary of financing activity between the Company and affiliate | Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (in thousands) Excess servicing spread financing: Issuance pursuant to recapture agreement $ 377 $ 499 $ 1,327 $ 1,983 Repayment $ 9,819 $ 11,543 $ 30,901 $ 35,852 Gain (loss) recognized $ 3,864 $ (1,109) $ 11,519 $ (9,026) Interest expense $ 2,291 $ 3,740 $ 8,124 $ 11,584 Recapture incurred pursuant to refinancings by the Company of mortgage loans subject to excess servicing spread financing included in Net gains on loans held for sale at fair value $ 429 $ 597 $ 1,311 $ 1,951 September 30, December 31, 2019 2018 (in thousands) Excess servicing spread financing at fair value $ 183,141 $ 216,110 |
Summary of amounts due from and payable to affiliate | September 30, December 31, 2019 2018 (in thousands) Receivable from PMT: Fulfillment fees $ 14,409 $ 10,006 Management fees 10,230 6,559 Correspondent production fees 5,501 2,071 Servicing fees 4,768 4,841 Allocated expenses and expenses incurred on PMT's behalf 4,166 9,066 Conditional Reimbursement 582 801 Interest on assets purchased under agreements to resell 88 120 $ 39,744 $ 33,464 Payable to PMT: Deposits made by PMT to fund servicing advances $ 56,869 $ 100,554 Mortgage servicing rights recapture payable 162 179 Other 4,831 3,898 $ 61,862 $ 104,631 |
Loan Sales and Servicing Acti_2
Loan Sales and Servicing Activities (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Loan Sales and Servicing Activities | |
Summary of cash flows between the Company and transferees upon sale of loans in transactions | Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (in thousands) Cash flows: Sales proceeds $ 17,897,693 $ 11,375,408 $ 39,084,441 $ 34,208,217 Servicing fees received (1) $ 149,210 $ 123,626 $ 426,774 $ 354,535 Net servicing advances (recoveries) $ 8,605 $ 4,147 $ (23,583) $ (20,572) (1) Net of guarantee fees paid to the Agencies. |
Summary of sale of loans between the Company and transferees upon sale of loans in transactions | September 30, December 31, 2019 2018 (in thousands) Unpaid principal balance of loans outstanding $ 159,638,921 $ 145,224,596 Delinquencies: 30-89 days $ 7,828,087 $ 6,222,864 90 days or more: Not in foreclosure $ 2,480,348 $ 2,208,083 In foreclosure $ 1,199,933 $ 720,894 Foreclosed $ 11,369 $ 24,243 Bankruptcy $ 1,339,983 $ 970,329 |
Summary of servicing portfolio | September 30, 2019 Contract Servicing servicing and Total rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 159,638,921 $ — $ 159,638,921 Purchased 63,904,759 — 63,904,759 223,543,680 — 223,543,680 PennyMac Mortgage Investment Trust — 120,608,076 120,608,076 Loans held for sale 4,323,252 — 4,323,252 $ 227,866,932 $ 120,608,076 $ 348,475,008 Delinquent loans: 30 days $ 8,114,297 $ 879,366 $ 8,993,663 60 days 2,432,250 147,325 2,579,575 90 days or more: Not in foreclosure 3,043,663 181,330 3,224,993 In foreclosure 1,518,946 87,284 1,606,230 Foreclosed 13,372 110,821 124,193 $ 15,122,528 $ 1,406,126 $ 16,528,654 Bankruptcy $ 1,872,679 $ 124,619 $ 1,997,298 Custodial funds managed by the Company (1) $ 6,976,614 $ 3,018,131 $ 9,994,745 (1) Custodial funds include cash accounts holding funds on behalf of borrowers and investors relating to 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 loans’ borrowers and investors, which are included in Interest income in the Company’s consolidated statements of income. December 31, 2018 Contract Servicing servicing and Total rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 145,224,596 $ — $ 145,224,596 Purchased 56,990,486 — 56,990,486 202,215,082 — 202,215,082 PennyMac Mortgage Investment Trust — 94,658,154 94,658,154 Loans held for sale 2,420,636 — 2,420,636 $ 204,635,718 $ 94,658,154 $ 299,293,872 Subserviced for the Company (1) $ 414,219 $ — $ 414,219 Delinquent loans: 30 days $ 6,677,179 $ 525,989 $ 7,203,168 60 days 1,983,381 113,238 2,096,619 90 days or more: Not in foreclosure 3,102,492 217,115 3,319,607 In foreclosure 1,027,493 127,025 1,154,518 Foreclosed 33,493 176,377 209,870 $ 12,824,038 $ 1,159,744 $ 13,983,782 Bankruptcy $ 1,415,106 $ 107,083 $ 1,522,189 Custodial funds managed by the Company (2) $ 3,033,658 $ 970,328 $ 4,003,986 (1) Certain of the loans for which the Company has purchased the MSRs are subserviced on the Company’s behalf by other loan servicers on an interim basis when servicing of the loans has not yet been transferred to the Company’s loan servicing platform. (2) Custodial funds include cash accounts holding funds on behalf of borrowers and investors relating to 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 loans’ borrowers and 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 2019 2018 (in thousands) California $ 55,400,197 $ 51,377,441 Florida 27,435,384 22,650,926 Texas 26,509,926 23,648,042 Virginia 21,056,414 19,011,950 Maryland 15,968,754 13,774,011 All other states 202,104,333 168,831,502 $ 348,475,008 $ 299,293,872 |
Fair Value (Tables)
Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Fair Value | |
Summary of financial statement items measured at estimated fair value on a recurring basis | September 30, 2019 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 90,663 $ — $ — $ 90,663 Loans held for sale at fair value — 4,437,954 85,017 4,522,971 Derivative assets: Interest rate lock commitments — — 147,400 147,400 Repurchase agreement derivatives — — 8,187 8,187 Forward purchase contracts — 17,943 — 17,943 Forward sales contracts — 6,141 — 6,141 MBS put options — 10,040 — 10,040 Put options on interest rate futures purchase contracts 6,266 — — 6,266 Call options on interest rate futures purchase contracts 2,414 — — 2,414 Total derivative assets before netting 8,680 34,124 155,587 198,391 Netting — — — 34,557 Total derivative assets 8,680 34,124 155,587 232,948 Mortgage servicing rights at fair value — — 2,556,253 2,556,253 Investment in PennyMac Mortgage Investment Trust 1,667 — — 1,667 $ 101,010 $ 4,472,078 $ 2,796,857 $ 7,404,502 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value $ — $ — $ 183,141 $ 183,141 Derivative liabilities: Interest rate lock commitments — — 2,276 2,276 Forward purchase contracts — 51,585 — 51,585 Forward sales contracts — 34,498 — 34,498 Total derivative liabilities before netting — 86,083 2,276 88,359 Netting — — — (74,324) Total derivative liabilities — 86,083 2,276 14,035 Mortgage servicing liabilities at fair value — — 34,294 34,294 $ — $ 86,083 $ 219,711 $ 231,470 December 31, 2018 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 117,824 $ — $ — $ 117,824 Loans held for sale at fair value — 2,261,639 260,008 2,521,647 Derivative assets: Interest rate lock commitments — — 50,507 50,507 Repurchase agreement derivatives — — 26,770 26,770 Forward purchase contracts — 35,916 — 35,916 Forward sales contracts — 437 — 437 MBS put options — 720 — 720 MBS call options — 2,135 — 2,135 Put options on interest rate futures purchase contracts 866 — — 866 Call options on interest rate futures purchase contracts 5,965 — — 5,965 Total derivative assets before netting 6,831 39,208 77,277 123,316 Netting — — — (26,969) Total derivative assets 6,831 39,208 77,277 96,347 Mortgage servicing rights at fair value — — 2,820,612 2,820,612 Investment in PennyMac Mortgage Investment Trust 1,397 — — 1,397 $ 126,052 $ 2,300,847 $ 3,157,897 $ 5,557,827 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value $ — $ — $ 216,110 $ 216,110 Derivative liabilities: Interest rate lock commitments — — 1,169 1,169 Forward purchase contracts — 215 — 215 Forward sales contracts — 26,762 — 26,762 Total derivative liabilities before netting — 26,977 1,169 28,146 Netting — — — (25,082) Total derivative liabilities — 26,977 1,169 3,064 Mortgage servicing liabilities at fair value — — 8,681 8,681 $ — $ 26,977 $ 225,960 $ 227,855 |
Summary of roll forward of items measured using Level 3 inputs on a recurring basis | Quarter ended September 30, 2019 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) Balance, June 30, 2019 $ 217,998 $ 111,776 $ 16,015 $ 2,720,335 $ 3,066,124 Purchases and issuances, net 1,861,769 199,274 1,502 46 2,062,591 Sales and repayments (1,582,564) — (9,422) — (1,591,986) Mortgage servicing rights resulting from loan sales — — — 246,757 246,757 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 4,252 — — — 4,252 Other factors — 92,138 92 (410,885) (318,655) 4,252 92,138 92 (410,885) (314,403) Transfers from Level 3 to Level 2 (416,062) — — — (416,062) Transfers to real estate acquired in settlement of loans (376) — — — (376) Transfers of interest rate lock commitments to loans held for sale — (258,064) — — (258,064) Balance, September 30, 2019 $ 85,017 $ 145,124 $ 8,187 $ 2,556,253 $ 2,794,581 Changes in fair value recognized during the quarter relating to assets still held at September 30, 2019 $ (2,328) $ 145,124 $ 41 $ (410,885) $ (268,048) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended September 30, 2019 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, June 30, 2019 $ 194,156 $ 12,948 $ 207,104 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 377 — 377 Accrual of interest 2,291 — 2,291 Repayments (9,819) — (9,819) Mortgage servicing liabilities resulting from loan sales — 19,501 19,501 Changes in fair value included in income (3,864) 1,845 (2,019) Balance, September 30, 2019 $ 183,141 $ 34,294 $ 217,435 Changes in fair value recognized during the quarter relating to liabilities still outstanding at September 30, 2019 $ (3,864) $ 1,845 $ (2,019) Quarter ended September 30, 2018 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) 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 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 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 Liabilities financing liabilities Total (in thousands) 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 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) Nine months ended September 30, 2019 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) Balance, December 31, 2018 $ 260,008 $ 49,338 $ 26,770 $ 2,820,612 $ 3,156,728 Purchases and issuances, net 3,537,177 376,137 15,019 227,445 4,155,778 Sales and repayments (2,414,899) — (31,994) — (2,446,893) Mortgage servicing rights resulting from loan sales — — — 545,839 545,839 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (2,025) — — — (2,025) Other factors — 248,889 (1,608) (1,037,643) (790,362) (2,025) 248,889 (1,608) (1,037,643) (792,387) Transfers from Level 3 to Level 2 (1,292,824) — — — (1,292,824) Transfers to real estate acquired in settlement of loans (2,420) — — — (2,420) Transfers of interest rate lock commitments to loans held for sale — (529,240) — — (529,240) Balance, September 30, 2019 $ 85,017 $ 145,124 $ 8,187 $ 2,556,253 $ 2,794,581 Changes in fair value recognized during the period relating to assets still held at September 30, 2019 $ (2,478) $ 145,124 $ 165 $ (1,037,643) $ (894,832) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Nine months ended September 30, 2019 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, December 31, 2018 $ 216,110 $ 8,681 $ 224,791 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 1,327 — 1,327 Accrual of interest 8,124 — 8,124 Repayments (30,901) — (30,901) Mortgage servicing liabilities resulting from loan sales — 27,133 27,133 Changes in fair value included in income (11,519) (1,520) (13,039) Balance, September 30, 2019 $ 183,141 $ 34,294 $ 217,435 Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2019 $ (11,519) $ (1,520) $ (13,039) Nine months ended September 30, 2018 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) 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 adoption of the fair value method of accounting — — — 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 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 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 Liabilities financing liabilities Total (in thousands) 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 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) |
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, 2019 2018 Net Net gains on Net Net gains on 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: Loans held for sale $ — $ 263,339 $ 263,339 $ — $ 67,709 $ 67,709 Mortgage servicing rights (410,885) — (410,885) (12,704) — (12,704) $ (410,885) $ 263,339 $ (147,546) $ (12,704) $ 67,709 $ 55,005 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust $ 3,864 $ — $ 3,864 $ (1,109) $ — $ (1,109) Mortgage servicing liabilities (1,845) — (1,845) 2,225 — 2,225 $ 2,019 $ — $ 2,019 $ 1,116 $ — $ 1,116 Nine months ended September 30, 2019 2018 Net Net gains on Net Net gains on 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: Loans held for sale $ — $ 538,086 $ 538,086 $ — $ 118,452 $ 118,452 Mortgage servicing rights (1,037,643) — (1,037,643) 23,284 — 23,284 $ (1,037,643) $ 538,086 $ (499,557) $ 23,284 $ 118,452 $ 141,736 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust $ 11,519 $ — $ 11,519 $ (9,026) $ — $ (9,026) Mortgage servicing liabilities 1,520 — 1,520 9,899 — 9,899 $ 13,039 $ — $ 13,039 $ 873 $ — $ 873 |
Schedule of fair value and related principal amounts due upon maturity of assets and liabilities accounted for under the fair value option | September 30, 2019 December 31, 2018 Principal Principal amount amount Fair due upon Fair due upon Loans held for sale value maturity Difference value maturity Difference (in thousands) Current through 89 days delinquent $ 4,478,965 $ 4,275,981 $ 202,984 $ 2,324,203 $ 2,220,371 $ 103,832 90 days or more delinquent: Not in foreclosure 20,972 22,145 (1,173) 143,631 144,011 (380) In foreclosure 23,034 25,126 (2,092) 53,813 56,254 (2,441) $ 4,522,971 $ 4,323,252 $ 199,719 $ 2,521,647 $ 2,420,636 $ 101,011 |
Summary of financial statement items measured at estimated fair value on a nonrecurring basis | Real estate acquired in settlement of loans Level 1 Level 2 Level 3 Total (in thousands) September 30, 2019 $ — $ — $ 8,575 $ 8,575 December 31, 2018 $ — $ — $ 2,150 $ 2,150 |
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, 2019 2018 2019 2018 (in thousands) Real estate acquired in settlement of loans $ 139 $ (41) $ 162 $ (72) |
Summary of carrying value and fair value of debt | Term Notes September 30, 2019 December 31, 2018 (in thousands) Fair value $ 1,306,828 $ 1,285,894 Carrying value $ 1,293,625 $ 1,292,291 |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items, excluding MSR purchases | Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (Amount recognized and unpaid principal balance of underlying loans in thousands) MSR and pool characteristics: Amount recognized $ 246,757 $ 149,000 $ 545,839 $ 448,604 Unpaid principal balance of underlying loans $ 15,709,249 $ 10,790,398 $ 35,532,425 $ 32,095,458 Weighted average servicing fee rate (in basis points) 43 37 42 36 Key inputs (1): Pricing spread (2) Range 5.5% – 16.2% 7.3% – 13.6% 5.5% – 16.2% 7.3% – 14.1% Weighted average 8.3% 10.1% 8.6% 10.2% Annual total prepayment speed (3) Range 8.8% – 32.1% 4.4% – 55.7% 7.7% – 32.8% 3.9% – 61.8% Weighted average 15.7% 11.8% 15.0% 10.6% Life (in years) Range 2.7 – 7.5 0.5 – 11.3 2.6 – 7.8 0.5 – 11.6 Weighted average 5.5 6.9 5.8 7.5 Per-loan annual cost of servicing Range $78 – $100 $78 – $98 $78 – $100 $78 – $98 Weighted average $97 $92 $97 $90 (1) Weighted average inputs are based on the UPB of the underlying 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”)/swap 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 | Following is a quantitative summary of key inputs used in the valuation and assessment for the Company’s MSRs and the effect on the fair value from adverse changes in those inputs: September 30, 2019 December 31, 2018 (Carrying value, unpaid principal balance of underlying loans and effect on fair value amounts in thousands) MSR and pool characteristics: Carrying value $ 2,556,253 $ 2,820,612 Unpaid principal balance of underlying loans $ 221,215,993 $ 201,054,144 Weighted average note interest rate 4.0% 4.0% Weighted average servicing fee rate (in basis points) 34 33 Key inputs (1): Pricing spread (2): Range 5.9% – 15.8% 5.8% – 16.1% Weighted average 8.5% 8.7% Effect on fair value of: 5% adverse change ($35,830) ($45,268) 10% adverse change ($70,578) ($89,073) 20% adverse change ($137,016) ($172,556) Prepayment speed (3): Range 9.8% – 33.0% 8.4% – 32.6% Weighted average 15.6% 9.9% Average life (in years): Range 1.4 – 7.2 1.5 – 7.9 Weighted average 5.2 7.2 Effect on fair value of: 5% adverse change ($64,047) ($47,687) 10% adverse change ($124,892) ($93,626) 20% adverse change ($237,822) ($180,623) Annual per-loan cost of servicing: Range $77 – $100 $78 – $99 Weighted average $96 $93 Effect on fair value of: 5% adverse change ($21,731) ($22,944) 10% adverse change ($43,462) ($45,888) 20% adverse change ($86,925) ($91,775) (1) Weighted average inputs are based on the UPB of the underlying loans. (2) The Company applies a pricing spread to the United States Dollar LIBOR/swap curve for purposes of discounting cash flows relating to MSRs. (3) Prepayment speed is measured using Life Total CPR. |
Mortgage servicing liabilities | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | September 30, December 31, 2019 2018 MSL and pool characteristics: Carrying value (in thousands) $ $ Unpaid principal balance of underlying loans (in thousands) $ $ Servicing fee rate (in basis points) Key inputs: Pricing spread (1) Prepayment speed (2) Average life (in years) Annual per-loan cost of servicing $ $ (1) The Company applies a pricing spread to the United States Dollar LIBOR/swap 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, 2019 2018 Carrying value (in thousands) $ 183,141 $ 216,110 ESS and pool characteristics: Unpaid principal balance of underlying loans (in thousands) $ 20,794,571 $ 23,196,033 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 3.0% – 3.3% 2.8% – 3.2% Weighted average 3.2% 3.1% Annualized prepayment speed (3): Range 8.9% – 15.0% 8.2% – 29.5% Weighted average 11.7% 9.7% Average life (in years): Range 2.8 – 7.1 1.6 – 7.6 Weighted average 5.9 6.8 (1) Weighted average inputs are based on the UPB of the underlying loans. (2) The Company applies a pricing spread to the United States Dollar LIBOR/swap 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 | September 30, 2019 December 31, 2018 Carrying value (in thousands) (1) $ 145,124 $ 49,338 Key inputs (2): Pull-through rate: Range 12.2% – 100% 16.6% – 100% Weighted average 85.6% 84.1% Mortgage servicing rights value expressed as: Servicing fee multiple: Range 1.4 – 5.7 1.5 – 5.5 Weighted average 4.0 3.8 Percentage of unpaid principal balance: Range 0.3% – 2.9% 0.4% – 3.2% Weighted average 1.6% 1.5% (1) For purpose of this table, IRLC asset and liability positions are shown net. (2) Weighted average inputs are based on the committed amounts. |
Loans held for sale | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | September 30, 2019 December 31, 2018 Carrying value (in thousands) $ 85,017 $ 260,008 Key inputs (1): Discount rate: Range 3.2% – 9.2% 2.8% – 9.2% Weighted average 3.4% 2.9% Twelve-month projected housing price index change: Range 2.6% – 3.2% 2.2% – 5.0% Weighted average 2.9% 3.5% Voluntary prepayment/resale speed (2): Range 0.3% – 19.2% 0.1% – 21.8% Weighted average 15.8% 20.1% Total prepayment speed (3): Range 0.6% – 34.8% 0.1% – 40.5% Weighted average 29.6% 37.7% (1) Weighted average inputs are based on the fair value of 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. |
Loans Held for Sale at Fair V_2
Loans Held for Sale at Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Loans Held for Sale at Fair Value | |
Summary of loans held for sale at fair value | September 30, December 31, Loan type 2019 2018 (in thousands) Government-insured or guaranteed $ 4,148,681 $ 2,116,126 Conventional conforming 289,273 144,872 Jumbo — 641 Home equity lines of credit 14 — Purchased from Ginnie Mae pools serviced by the Company 76,105 250,585 Repurchased pursuant to representations and warranties 8,898 9,423 $ 4,522,971 $ 2,521,647 Fair value of loans pledged to secure: Assets sold under agreements to repurchase $ 3,939,161 $ 1,923,857 Mortgage loan participation purchase and sale agreements 542,049 555,001 $ 4,481,210 $ 2,478,858 |
Derivative Financial Instrume_2
Derivative Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Derivative Financial Instruments | |
Summary of derivative financial instruments | September 30, 2019 December 31, 2018 Fair value Fair value Notional Derivative Derivative Notional Derivative Derivative Instrument amount assets liabilities amount assets liabilities (in thousands) Not subject to master netting arrangements: Interest rate lock commitments 8,311,786 $ 147,400 $ 2,276 2,805,400 $ 50,507 $ 1,169 Repurchase agreement derivatives 8,187 — 26,770 — Used for hedging purposes: Forward purchase contracts 15,829,825 17,943 51,585 6,657,026 35,916 215 Forward sales contracts 15,116,810 6,141 34,498 6,890,046 437 26,762 MBS put options 10,050,000 10,040 — 4,635,000 720 — MBS call options — — — 1,450,000 2,135 — Put options on interest rate futures purchase contracts 4,350,000 6,266 — 3,085,000 866 — Call options on interest rate futures purchase contracts 600,000 2,414 — 1,512,500 5,965 — Treasury futures purchase contracts 1,408,500 — — 835,000 — — Treasury futures sale contracts 1,132,500 — — 1,450,000 — — Interest rate swap futures purchase contracts 3,910,000 — — 625,000 — — Total derivatives before netting 198,391 88,359 123,316 28,146 Netting 34,557 (74,324) (26,969) (25,082) $ 232,948 $ 14,035 $ 96,347 $ 3,064 Collateral placed with (received from) derivative counterparties $ 108,881 $ (1,887) |
Summary of the notional value activity for derivative contracts used to hedge the IRLCs and inventory of loans held for sale at fair value and MSRs | Quarter ended September 30, 2019 Notional Notional amount amount beginning of Dispositions/ end of Instrument quarter Additions expirations quarter (in thousands) Forward purchase contracts 19,497,698 100,139,970 (103,807,843) 15,829,825 Forward sale contracts 14,276,156 122,174,329 (121,333,675) 15,116,810 MBS put options 12,775,000 29,575,000 (32,300,000) 10,050,000 MBS call options 2,250,000 — (2,250,000) — Put options on interest rate futures purchase contracts 2,835,000 9,850,000 (8,335,000) 4,350,000 Call options on interest rate futures purchase contracts 3,687,500 1,750,000 (4,837,500) 600,000 Put options on interest rate futures sale contracts — 8,335,000 (8,335,000) — Call options on interest rate futures sale contracts — 4,837,500 (4,837,500) — Treasury futures purchase contracts 486,100 5,132,000 (4,209,600) 1,408,500 Treasury futures sale contracts 1,550,000 3,792,100 (4,209,600) 1,132,500 Interest rate swap futures purchase contracts 2,900,000 1,800,000 (790,000) 3,910,000 Interest rate swap futures sales contracts — 790,000 (790,000) — Quarter ended September 30, 2018 Notional Notional 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 Nine months ended September 30, 2019 Notional Notional amount amount beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts 6,657,026 237,370,321 (228,197,522) 15,829,825 Forward sale contracts 6,890,046 275,749,351 (267,522,587) 15,116,810 MBS put options 4,635,000 77,185,000 (71,770,000) 10,050,000 MBS call options 1,450,000 6,750,000 (8,200,000) — Put options on interest rate futures purchase contracts 3,085,000 19,422,500 (18,157,500) 4,350,000 Call options on interest rate futures purchase contracts 1,512,500 13,127,800 (14,040,300) 600,000 Put options on interest rate futures sale contracts — 27,297,800 (27,297,800) — Call options on interest rate futures sale contracts — 4,837,500 (4,837,500) — Treasury futures purchase contracts 835,000 11,943,400 (11,369,900) 1,408,500 Treasury futures sale contracts 1,450,000 11,052,400 (11,369,900) 1,132,500 Interest rate swap futures purchase contracts 625,000 4,075,000 (790,000) 3,910,000 Interest rate swap futures sale contracts — 790,000 (790,000) — Nine months ended September 30, 2018 Notional Notional 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 |
Summaries of derivative assets and related netting amounts | September 30, 2019 December 31, 2018 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 $ 147,400 $ — $ 147,400 $ 50,507 $ — $ 50,507 Repurchase agreement derivatives 8,187 — 8,187 26,770 — 26,770 155,587 — 155,587 77,277 — 77,277 Derivatives subject to master netting arrangements: Forward purchase contracts 17,943 — 17,943 35,916 — 35,916 Forward sale contracts 6,141 — 6,141 437 — 437 MBS put options 10,040 — 10,040 720 — 720 MBS call options — — — 2,135 — 2,135 Put options on interest rate futures purchase contracts 6,266 — 6,266 866 — 866 Call options on interest rate futures purchase contracts 2,414 — 2,414 5,965 — 5,965 Netting — 34,557 34,557 — (26,969) (26,969) 42,804 34,557 77,361 46,039 (26,969) 19,070 $ 198,391 $ 34,557 $ 232,948 $ 123,316 $ (26,969) $ 96,347 |
Summary of the amount of derivative asset positions by significant counterparty after considering master netting arrangements and financial instruments or cash pledged | September 30, 2019 December 31, 2018 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 $ 147,400 $ — $ — $ 147,400 $ 50,507 $ — $ — $ 50,507 JPMorgan Chase Bank, N.A. 32,450 — — 32,450 1,399 — — 1,399 Citibank, N.A. 15,951 — — 15,951 2,488 — — 2,488 Morgan Stanley Bank, N.A. 11,842 — — 11,842 — — — RJ O'Brien 8,680 — — 8,680 6,831 — — 6,831 Deutsche Bank 8,187 — — 8,187 26,770 — — 26,770 Wells Fargo Bank, N.A. 5,728 — — 5,728 3,707 — — 3,707 Goldman Sachs 2,252 — — 2,252 — — — — Bank of America, N.A. — — — — 2,781 — — 2,781 Others 458 — — 458 1,864 — — 1,864 $ 232,948 $ — $ — $ 232,948 $ 96,347 $ — $ — $ 96,347 |
Summary of net derivative liabilities and assets sold under agreements to repurchase and related netting amounts | September 30, 2019 December 31, 2018 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 $ 2,276 $ — $ 2,276 $ 1,169 $ — $ 1,169 Derivatives subject to a master netting arrangement: Forward purchase contracts 51,585 — 51,585 215 — 215 Forward sale contracts 34,498 — 34,498 26,762 — 26,762 Netting — (74,324) (74,324) — (25,082) (25,082) 86,083 (74,324) 11,759 26,977 (25,082) 1,895 Total derivatives 88,359 (74,324) 14,035 28,146 (25,082) 3,064 Assets sold under agreements to repurchase: Amount outstanding 3,539,459 — 3,539,459 1,935,200 — 1,935,200 Unamortized debt issuance premiums and costs, net (570) — (570) (1,341) — (1,341) 3,538,889 — 3,538,889 1,933,859 — 1,933,859 $ 3,627,248 $ (74,324) $ 3,552,924 $ 1,962,005 $ (25,082) $ 1,936,923 |
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, 2019 December 31, 2018 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 $ 2,276 $ — $ — $ 2,276 $ 1,169 $ — $ — $ 1,169 Credit Suisse First Boston Mortgage Capital LLC 1,000,098 (999,713) — 385 691,030 (690,766) — 264 Bank of America, N.A. 506,553 (497,335) — 9,218 170,820 (170,820) — — JPMorgan Chase Bank, N.A. 711,619 (711,619) — — 54,326 (54,326) — — Morgan Stanley Bank, N.A. 551,027 (551,027) — — 77,687 (77,687) — — Citibank, N.A. 461,496 (461,496) — — 14,960 (14,960) — — BNP Paribas 192,534 (192,534) — — 149,675 (149,482) — 193 Royal Bank of Canada 125,735 (125,735) — — 35,181 (35,181) — — Deutsche Bank — — — — 741,978 (741,978) — — Federal National Mortgage Association 685 — — 685 — — — — Others 1,471 — — 1,471 1,438 — — 1,438 $ 3,553,494 $ (3,539,459) $ — $ 14,035 $ 1,938,264 $ (1,935,200) $ — $ 3,064 |
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 2019 2018 2019 2018 (in thousands) Interest rate lock commitments Net gains on loans held for sale at fair value $ 33,347 $ (18,526) $ 95,785 $ (21,109) Repurchase agreement derivatives Interest expense $ 92 $ (227) $ (1,608) $ (1,345) Hedged item: Interest rate lock commitments and loans held for sale Net gains on loans held for sale at fair value $ (55,540) $ 10,820 $ (157,362) $ 100,422 Mortgage servicing rights Net loan servicing fees –C hange in fair value of mortgage servicing rights and mortgage servicing liabilities $ 250,146 $ (52,971) $ 587,883 $ (180,853) |
Mortgage Servicing Rights and_2
Mortgage Servicing Rights and Mortgage Servicing Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
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, 2019 2018 2019 2018 (in thousands) Balance at beginning of period $ 2,720,335 $ 2,486,157 $ 2,820,612 $ 638,010 Reclassification of mortgage servicing rights previously accounted for under the amortization method pursuant to adoption of the fair value method of accounting — — — 1,482,426 Balance after reclassification 2,720,335 2,486,157 2,820,612 2,120,436 Additions: Resulting from loan sales 246,757 149,000 545,839 448,604 Purchases 46 163,511 227,445 193,640 246,803 312,511 773,284 642,244 Change in fair value due to: Changes in inputs used in valuation model (1) (286,880) 64,293 (704,967) 239,538 Other changes in fair value (2) (124,005) (76,997) (332,676) (216,254) Total change in fair value (410,885) (12,704) (1,037,643) 23,284 Balance at end of period $ 2,556,253 $ 2,785,964 $ 2,556,253 $ 2,785,964 September 30, December 31, 2019 2018 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and Notes payable $ 2,550,602 $ 2,807,333 (1) Principally reflects changes in discount rate and prepayment speed inputs, primarily due to changes in market interest rates. (2) Represents changes due to realization of cash flows. |
Schedule of activity in mortgage servicing liability carried at fair value | Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (in thousands) Balance at beginning of period $ 12,948 $ 10,253 $ 8,681 $ 14,120 Mortgage servicing liabilities resulting from loan sales 19,501 1,741 27,133 5,548 Changes in fair value due to: Changes in valuation inputs used in valuation model (1) 8,630 3,410 14,687 8,590 Other changes in fair value (2) (6,785) (5,635) (16,207) (18,489) Total change in fair value 1,845 (2,225) (1,520) (9,899) Balance at end of period $ 34,294 $ 9,769 $ 34,294 $ 9,769 (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, 2019 2018 2019 2018 (in thousands) Contractual servicing fees $ 185,967 $ 147,182 $ 533,510 $ 421,536 Other fees: Late charges 12,430 5,087 31,258 19,595 Other 4,846 1,244 9,119 4,620 $ 203,243 $ 153,513 $ 573,887 $ 445,751 |
Leases (Tables)
Leases (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Leases | |
Summary of Company's leases | Quarter ended Nine months ended September 30, 2019 September 30, 2019 (dollars in thousands) Lease expense: Operating leases $ 3,356 $ 9,817 Short-term leases 213 644 Sublease income (35) (94) Net lease expense included in Occupancy and equipment $ 3,534 $ 10,367 Other information: Cash payments for operating leases $ 4,063 $ 11,793 Operating lease right-of-use assets recognized Upon adoption of ASU 2016-02 $ — $ 58,713 New leases 1,929 1,929 $ 1,929 $ 60,642 Period end: Weighted averages: Remaining lease term (in years) 5.8 Discount rate |
Schedule of maturities of operating lease liabilities | Twelve months ended September 30, Operating leases (in thousands) 2020 $ 17,246 2021 14,754 2022 12,170 2023 11,580 2024 9,123 Thereafter 17,628 Total lease payments 82,501 Less imputed interest (10,341) Total $ 72,160 |
Borrowings (Tables)
Borrowings (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Borrowings | |
Summary of financial data pertaining to assets sold under agreements to repurchase | Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ 2,098,208 $ 1,563,053 $ 1,861,086 $ 1,618,008 Weighted average interest rate (1) 3.66 % 3.91 % 4.08 % 3.72 % Total interest expense (2) $ 19,429 $ 4,676 $ 47,709 $ 15,943 Maximum daily amount outstanding $ 3,539,459 $ 2,201,880 $ 3,539,459 $ 2,380,121 September 30, December 31, 2019 2018 (dollars in thousands) Carrying value: Unpaid principal balance $ 3,539,459 $ 1,935,200 Unamortized debt issuance premiums and costs, net (570) (1,341) $ 3,538,889 $ 1,933,859 Weighted average interest rate 3.53 % 4.22 % Available borrowing capacity (3): Committed $ 2,665 $ 695,767 Uncommitted 1,292,876 2,354,033 $ 1,295,541 $ 3,049,800 Fair value of assets securing repurchase agreements: Loans held for sale $ 3,939,161 $ 1,923,857 Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 107,678 $ 131,025 Servicing advances (4) $ 181,747 $ 162,895 Mortgage servicing rights (4) $ 2,532,369 $ 2,807,333 Margin deposits placed with counterparties (5) $ 5,000 $ 3,750 (1) Excludes the effect of amortization of net issuance costs and premiums totaling $0.2 million and $9.2 million for the quarter and nine months ended September 30, 2019, respectively, and net premiums totaling $10.9 million and $29.7 million for the quarter and nine months ended September 30, 2018, 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 $1.6 million and $12.8 million of such incentives as reductions in Interest expense during the quarters ended September 30, 2019 and 2018, respectively, and $14.7 million and $35.5 million during the nine months ended September 30, 2019 and 2018, respectively. The master repurchase agreement expired on August 21, 2019. (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 described in Notes Payable . The VFN financing 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, 2019 Balance (dollars in thousands) Within 30 days $ 276,113 Over 30 to 90 days 3,041,052 Over 90 to 180 days 122,294 Over 180 days to one year 100,000 Total assets sold under agreements to repurchase $ 3,539,459 Weighted average maturity (in months) 2.5 |
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 $ 1,313,083 April 26, 2020 April 26, 2020 Credit Suisse First Boston Mortgage Capital LLC $ 231,656 December 2, 2019 April 24, 2020 Bank of America, N.A. $ 82,942 October 28, 2019 October 28, 2019 JP Morgan Chase Bank, N.A. $ 79,142 October 9, 2019 October 11, 2019 Citibank, N.A. $ 41,279 December 17, 2019 August 4, 2020 Morgan Stanley Bank, N.A. $ 40,511 December 16, 2019 August 21, 2020 BNP Paribas $ 12,363 December 17, 2019 July 31, 2020 Royal Bank of Canada $ 9,804 December 31, 2019 December 31, 2019 |
Summary of mortgage loan participations | Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (dollars in thousands) Average balance $ 258,169 $ 289,008 $ 249,023 $ 250,599 Weighted average interest rate (1) 3.36 % 3.31 % 3.55 % 3.14 % Total interest expense $ 2,304 $ 2,533 $ 7,034 $ 6,450 Maximum daily amount outstanding $ 524,095 $ 722,611 $ 548,038 $ 722,611 (1) Excludes the effect of amortization of facility fees totaling $135,000 and $92,000 for the quarters ended September 30, 2019 and 2018, respectively, and $405,000 and $475,000 for the nine months ended September 30, 2019 and 2018, respectively. September 30, December 31, 2019 2018 (dollars in thousands) Carrying value: Unpaid principal balance $ 514,625 $ 532,466 Unamortized debt issuance costs — (215) $ 514,625 $ 532,251 Weighted average interest rate 3.27 % 3.77 % Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements $ 542,049 $ 555,001 |
Summary of note payable | Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (dollars in thousands) Average balance $ 1,300,000 $ 1,234,783 $ 1,300,000 $ 1,125,458 Weighted average interest rate (1) 5.11 % 5.07 % 5.21 % 5.29 % Total interest expense $ 17,525 $ 21,369 $ 53,559 $ 55,939 Maximum daily amount outstanding $ 1,300,000 $ 1,300,000 $ 1,300,000 $ 1,300,000 (1) Excludes the effect of amortization of debt issuance costs and non-utilization fees totaling $0.9 million and $2.0 million for the quarters ended September 30, 2019 and 2018, respectively, and $2.7 million and $2.8 million for the nine months ended September 30, 2019 and 2018, respectively, as well as unamortized debt issuance costs of $3.4 million and $8.0 million, recognized in Interest expense due to repayments of certain previously issued notes during the quarter and nine months ended September 30, 2018, respectively. September 30, December 31, 2019 2018 (dollars in thousands) Carrying value: Unpaid principal balance $ 1,300,000 $ 1,300,000 Unamortized debt issuance costs (6,375) (7,709) $ 1,293,625 $ 1,292,291 Weighted average interest rate 4.90 % 5.07 % Unused amount $ 150,000 $ 150,000 Assets pledged to secure notes payable: Cash $ 101,773 $ 108,174 Servicing advances (1) $ 181,747 $ 162,895 Mortgage servicing rights (1) $ 2,489,481 $ 2,807,333 (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. The VFN financing 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, 2019 2018 2019 2018 (dollars in thousands) Average balance $ 25,812 $ 11,615 $ 13,380 $ 15,187 Weighted average interest rate 4.47 % 4.09 % 4.48 % 3.87 % Total interest expense $ 274 $ 122 $ 476 $ 444 Maximum daily amount outstanding $ 28,295 $ 13,032 $ 28,295 $ 20,971 September 30, December 31, 2019 2018 (dollars in thousands) Unpaid principal balance $ 23,881 $ 6,605 Weighted average interest rate 4.45 % 4.46 % Assets pledged to secure obligations under capital lease: Furniture, fixtures and equipment $ 22,172 $ 16,281 Capitalized software $ 14,090 $ 1,017 |
Summary of roll forward of Excess Servicing Spread Financing | Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (in thousands) Balance at beginning of period $ 194,156 $ 229,470 $ 216,110 $ 236,534 Issuances of excess servicing spread to PennyMac Mortgage Investment Trust pursuant to recapture agreement 377 499 1,327 1,983 Accrual of interest 2,291 3,740 8,124 11,584 Repayment (9,819) (11,543) (30,901) (35,852) Change in fair value (3,864) 1,109 (11,519) 9,026 Balance at end of period $ 183,141 $ 223,275 $ 183,141 $ 223,275 |
Liability for Losses Under Re_2
Liability for Losses Under Representations and Warranties (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Liability for Losses Under Representations and Warranties | |
Summary of repurchase activity | Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (in thousands) Balance at beginning of period $ 18,709 $ 20,587 $ 21,155 $ 20,053 Provision for losses on loans sold: Resulting from sales of loans 2,508 1,842 5,222 4,550 Reduction in liability due to change in estimate (1,175) (1,155) (6,305) (3,627) (Recoveries) incurred losses, net (74) (252) (104) 46 Balance at end of period $ 19,968 $ 21,022 $ 19,968 $ 21,022 Unpaid principal balance of loans subject to representations and warranties at end of period $ 166,541,153 $ 139,315,779 |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Stockholders' Equity. | |
Summary of share repurchase activity | Quarter ended September 30, Nine months ended September 30, Cumulative 2019 2018 2019 2018 total (1) (in thousands) Shares of common stock repurchased — — 51 236 816 Cost of shares of common stock repurchased $ — $ — $ 1,056 $ 4,826 $ 14,948 Amounts represent the total shares of common stock repurchased under the stock repurchase program through September 30, 2019. |
Noncontrolling Interest (Tables
Noncontrolling Interest (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Noncontrolling Interest. | |
Noncontrolling Interest | Quarter ended Nine months ended September 30, 2018 September 30, 2018 (in thousands) Net income attributable to PennyMac Financial Services, Inc. common stockholders $ 14,489 $ 48,945 Increase in the Company's paid-in capital accounts 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 $ 32,501 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 1,616 |
Net Gains on Loans Held for S_2
Net Gains on Loans Held for Sale (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Net Gains on Loans Held for Sale | |
Net Gains on Loans Held for Sale | Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (in thousands) From non-affiliates: Cash loss: Loans $ (22,838) $ (107,414) $ (77,659) $ (399,457) Hedging activities (148,128) (2,507) (230,200) 89,322 (170,966) (109,921) (307,859) (310,135) Non-cash gain: Mortgage servicing rights and mortgage servicing liabilities resulting from loan sales 227,256 147,259 518,706 443,056 Provision for losses relating to representations and warranties: Pursuant to loan sales (2,508) (1,842) (5,222) (4,550) Reduction in liability due to change in estimate 1,175 1,155 6,305 3,627 Change in fair value of loans and derivatives held at period end: Interest rate lock commitments 33,347 (18,526) 95,785 (21,109) Loans (5,822) 6,897 (35,508) 21,407 Hedging derivatives 92,588 13,327 72,838 11,100 175,070 38,349 345,045 143,396 From PennyMac Mortgage Investment Trust 60,662 18,565 122,996 45,878 $ 235,732 $ 56,914 $ 468,041 $ 189,274 |
Net Interest Income (Tables)
Net Interest Income (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Net Interest Income | |
Summary of net interest income | Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (in thousands) Interest income: From non-affiliates: Cash and short-term investments $ 2,894 $ 814 $ 7,533 $ 2,001 Loans held for sale at fair value 35,800 34,941 101,509 95,982 Placement fees relating to custodial funds 43,231 23,397 98,628 55,014 81,925 59,152 207,670 152,997 From PennyMac Mortgage Investment Trust—Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell 1,527 1,812 5,015 5,686 83,452 60,964 212,685 158,683 Interest expense: To non-affiliates: Assets sold under agreements to repurchase (1) 19,429 4,676 47,709 15,943 Mortgage loan participation purchase and sale agreements 2,304 2,533 7,034 6,450 Notes payable 17,525 21,369 53,559 55,939 Obligations under capital lease 274 122 476 444 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 12,453 4,883 24,978 14,259 Interest on mortgage loan impound deposits 2,104 1,452 4,967 3,517 54,089 35,035 138,723 96,552 To PennyMac Mortgage Investment Trust—Excess servicing spread financing at fair value 2,291 3,740 8,124 11,584 56,380 38,775 146,847 108,136 $ 27,072 $ 22,189 $ 65,838 $ 50,547 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 $1.6 million and $12.8 million of such incentives as reductions of Interest expense during the quarter ended September 30, 2019 and 2018, respectively, and $14.7 million and $35.5 million during the nine months ended September 30, 2019 and 2018, respectively. The master repurchase agreement expired on August 21, 2019. |
Stock-based Compensation (Table
Stock-based Compensation (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Stock-based Compensation | |
Summary of the stock-based compensation activity | Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (in thousands) Grants: Units: Performance-based RSUs — — 665 524 Stock options — — 344 674 Time-based RSUs 4 5 334 321 Grant date fair value: Performance-based RSUs $ — $ — $ 15,253 $ 12,791 Stock options — — 2,965 6,147 Time-based RSUs 102 100 7,647 7,803 Total $ 102 $ 100 $ 25,865 $ 26,741 Vestings and exercises: Performance-based RSUs vested — — 648 774 Stock options exercised 127 55 245 285 Time-based RSUs vested 3 1 294 245 Compensation expense $ 8,941 $ 8,532 $ 19,124 $ 20,766 |
Earnings Per Share of Common _2
Earnings Per Share of Common Stock (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Earnings Per Share of Common Stock | |
Summary of basic and diluted earnings per share calculations | Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (in thousands, except per share amounts) Basic earnings per share of common stock: Net income attributable to common stockholders $ 121,473 $ 14,489 $ 240,304 $ 48,945 Weighted average shares of common stock outstanding 78,361 25,125 78,119 24,644 Basic earnings per share of common stock $ 1.55 $ 0.58 $ 3.08 $ 1.99 Diluted earnings per share of common stock: Net income attributable to common stockholders $ 121,473 $ 14,489 $ 240,304 $ 48,945 Net income attributable to dilutive stock-based compensation units — 552 — 2,435 Net income attributable to PennyMac Class A units exchangeable to Class A common stock, net of income taxes — 29,580 — 101,921 Net income attributable to common stockholders for diluted earnings per share $ 121,473 $ 44,621 $ 240,304 $ 153,301 Weighted average shares of common stock outstanding applicable to basic earnings per share 78,361 25,125 78,119 24,644 Effect of dilutive shares: Common shares issuable under stock-based compensation plan 2,021 1,476 1,702 1,818 PennyMac Class A units exchangeable to Class A common stock — 52,312 — 52,492 Weighted average shares of common stock applicable to diluted earnings per share 80,382 78,913 79,821 78,954 Diluted earnings per share of common stock $ 1.51 $ 0.57 $ 3.01 $ 1.94 |
Schedule of anti-dilutive shares outstanding | Quarter ended September 30, Nine months ended September 30, 2019 2018 2019 2018 (in thousands except for weighted-average exercise price) Performance-based RSUs (1) 1,157 1,172 985 1,060 Time-based RSUs — 86 — 68 Stock options (2) 566 1,208 888 705 Total anti-dilutive shares and units 1,723 2,466 1,873 1,833 Weighted average exercise price of anti-dilutive stock options (2) $ 23.50 $ 17.79 $ 23.98 $ 17.79 (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 prices for the period. |
Supplemental Cash Flow Inform_2
Supplemental Cash Flow Information (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Supplemental Cash Flow Information | |
Schedule of supplemental cash flow information | Nine months ended September 30, 2019 2018 (in thousands) Cash paid for interest $ 125,987 $ 123,622 Cash paid (refunds received) for income taxes , net $ 5,761 $ (1,541) Non-cash investing activity: Mortgage servicing rights resulting from loan sales $ 545,839 $ 448,604 Mortgage servicing liabilities resulting from loan sales $ 27,133 $ 5,548 Unsettled portion of MSR acquisitions $ — $ 13,501 Operating right-of-use assets recognized $ 60,642 $ — Non-cash financing activity: Issuance of Excess servicing spread payable to PennyMac Mortgage Investment Trust pursuant to a recapture agreement $ 1,327 $ 1,983 Issuance of common stock and Class A common stock in settlement of director fees $ 184 $ 245 |
Regulatory Capital and Liquid_2
Regulatory Capital and Liquidity Requirements (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Regulatory Capital and Liquidity Requirements | |
Summary of agencies' capital and liquidity requirements by each agency | September 30, 2019 December 31, 2018 Agency–company subject to requirement Actual (1) Requirement (1) Actual (1) Requirement (1) (dollars in thousands) Capital Fannie Mae & Freddie Mac – PLS $ 2,062,630 $ 572,167 $ 1,788,430 $ 514,089 Ginnie Mae – PLS $ 1,718,072 $ 852,256 $ 1,535,826 $ 733,342 Ginnie Mae – PennyMac $ 2,006,339 $ 937,482 $ 1,786,430 $ 806,676 HUD – PLS $ 1,718,072 $ 2,500 $ 1,535,826 $ 2,500 Liquidity Fannie Mae & Freddie Mac – PLS $ 282,056 $ 78,240 $ 271,802 $ 70,775 Ginnie Mae – PLS $ 282,056 $ 211,021 $ 271,802 $ 189,592 Tangible net worth / Total assets ratio Fannie Mae & Freddie Mac – PLS 19 % 6 % % % (1) Calculated in compliance with the respective Agency’s requirements. |
Segments (Tables)
Segments (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Segments | |
Schedule of change in expense allocation, by segment | Quarter ended September 30, 2019 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 216,132 $ 19,600 $ 235,732 $ — $ 235,732 Loan origination fees 49,434 — 49,434 — 49,434 Fulfillment fees from PennyMac Mortgage Investment Trust 45,149 — 45,149 — 45,149 Net loan servicing fees — 66,229 66,229 — 66,229 Net interest income (expense): Interest income 22,445 61,007 83,452 — 83,452 Interest expense 18,423 37,936 56,359 21 56,380 4,022 23,071 27,093 (21) 27,072 Management fees — — — 10,098 10,098 Other 324 567 891 1,742 2,633 Total net revenue 315,061 109,467 424,528 11,819 436,347 Expenses 135,777 127,581 263,358 6,792 270,150 Income before provision for income taxes $ 179,284 $ (18,114) $ 161,170 $ 5,027 $ 166,197 Segment assets at quarter end $ 4,850,741 $ 4,433,177 $ 9,283,918 $ 19,281 $ 9,303,199 (1) All revenues are from external customers. Quarter ended September 30, 2018 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 34,947 $ 21,967 $ 56,914 $ — $ 56,914 Loan origination fees 26,485 — 26,485 — 26,485 Fulfillment fees from PennyMac Mortgage Investment Trust 26,256 — 26,256 — 26,256 Net loan servicing fees — 109,703 109,703 — 109,703 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 of $1.8 million of cash and includes receivable from parent Company of $2.3 million. Nine months ended September 30, 2019 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 407,713 $ 60,328 $ 468,041 $ — $ 468,041 Loan origination fees 110,288 — 110,288 — 110,288 Fulfillment fees from PennyMac Mortgage Investment Trust 102,313 — 102,313 — 102,313 Net loan servicing fees — 205,934 205,934 — 205,934 Net interest income (expense): Interest income 55,714 156,971 212,685 — 212,685 Interest expense 36,236 110,572 146,808 39 146,847 19,478 46,399 65,877 (39) 65,838 Management fees — — — 26,178 26,178 Other 929 2,664 3,593 4,844 8,437 Total net revenue 640,721 315,325 956,046 30,983 987,029 Expenses 316,187 324,949 641,136 19,815 660,951 Income before provision for income taxes $ 324,534 $ (9,624) $ 314,910 $ 11,168 $ 326,078 Segment assets at period end $ 4,850,741 $ 4,433,177 $ 9,283,918 $ 19,281 $ 9,303,199 (1) All revenues are from external customers. Nine months ended September 30, 2018 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 105,111 $ 84,163 $ 189,274 $ — $ 189,274 Loan origination fees 75,476 — 75,476 — 75,476 Fulfillment fees from PennyMac Mortgage Investment Trust 52,759 — 52,759 — 52,759 Net loan servicing fees — 340,181 340,181 — 340,181 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 of $1.8 million of cash and includes receivable from parent Company of $2.3 million. |
Organization (Details)
Organization (Details) - item | Nov. 01, 2018 | Oct. 31, 2018 |
Organization | ||
Number of classes of common stock | 1 | 2 |
Basis of Presentation and Rec_2
Basis of Presentation and Recently Issued Accounting Pronouncements (Details) - USD ($) $ in Thousands | Jan. 01, 2019 | Sep. 30, 2019 | Sep. 30, 2019 | Dec. 31, 2018 |
Recently Issued Accounting Pronouncements | ||||
Lease liability | $ 72,160 | $ 72,160 | ||
Right-of-use assets obtained in exchange for lease obligations | 1,929 | 60,642 | ||
Deferred rent | $ 215,379 | $ 215,379 | $ 156,212 | |
Accounting Standards Update 2016-02: Leases | Restatement | ||||
Recently Issued Accounting Pronouncements | ||||
Lease liability | $ 79,300 | |||
Right-of-use assets obtained in exchange for lease obligations | 58,600 | |||
Deferred rent | $ (20,700) |
Concentration of Risk (Details)
Concentration of Risk (Details) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Sales Revenue | Customer Concentration Risk | ||||
Concentration of Risk | ||||
Percentage of total net revenue | 32.00% | 25.00% | 31.00% | 19.00% |
Transactions with Affiliates -
Transactions with Affiliates - Correspondent Production (Details) - USD ($) $ in Thousands | Sep. 12, 2016 | Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 |
MBS Agreement | |||||
Transactions with Affiliates | |||||
The administrative fee plus accrued interest and sourcing fee percent | 0.35% | ||||
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 | |||||
Total of gain on sale of loans and MSR recapture | $ 60,662 | $ 18,565 | $ 122,996 | $ 45,878 | |
Sale of loans held for sale to PMT | 4,095,079 | 2,336,162 | |||
Fulfillment fee revenue | 45,149 | 26,256 | 102,313 | 52,759 | |
Proceeds from sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust | 4,095,079 | 2,336,162 | |||
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 | Loan Lending | |||||
Lending activity between the entity and affiliate | |||||
Net gain on loans held for sale to PMT | 62,558 | 19,722 | 127,423 | 49,396 | |
Mortgage servicing rights and excess servicing spread recapture incurred | (1,896) | (1,157) | (4,427) | (3,518) | |
Total of gain on sale of loans and MSR recapture | 60,662 | 18,565 | 122,996 | 45,878 | |
Sale of loans held for sale to PMT | 1,876,358 | 908,525 | 4,095,079 | 2,336,162 | |
Tax service fee | 4,222 | 2,119 | 9,567 | 4,869 | |
Fulfillment fee revenue | 45,149 | 26,256 | 102,313 | 52,759 | |
Unpaid principal balance of loans fulfilled for PMT | 16,647,172 | 7,517,883 | 35,523,802 | 17,139,884 | |
Sourcing fees paid | 4,206 | 2,689 | 9,355 | 8,221 | |
Unpaid principal balance of loans purchased from PMT | 14,022,222 | 8,916,654 | 31,183,950 | 27,404,022 | |
Proceeds from sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust | $ 1,876,358 | $ 908,525 | $ 4,095,079 | $ 2,336,162 |
Transactions with Affiliates _2
Transactions with Affiliates - Mortgage Loan Servicing (Details) | Sep. 12, 2016USD ($)item | Sep. 30, 2019USD ($) | Sep. 30, 2018USD ($) | Sep. 30, 2019USD ($) | Sep. 30, 2018USD ($) |
Summary of mortgage loan servicing fees earned | |||||
Loan servicing fees | $ 185,967,000 | $ 147,182,000 | $ 533,510,000 | $ 421,536,000 | |
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 | Loan Servicing Agreement | |||||
Transactions with Affiliates | |||||
Servicing fees amount per month for current loans | $ 30 | ||||
Maximum | 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 | 12,964,000 | 10,071,000 | 35,102,000 | 30,521,000 | |
PMT | Loans acquired for sale at fair value | |||||
Summary of mortgage loan servicing fees earned | |||||
Loan servicing fees | 507,000 | 316,000 | 1,131,000 | 739,000 | |
PMT | Loans at fair value | |||||
Summary of mortgage loan servicing fees earned | |||||
Loan servicing fees | 858,000 | 1,271,000 | 1,938,000 | 5,528,000 | |
PMT | Mortgage servicing rights | |||||
Summary of mortgage loan servicing fees earned | |||||
Loan servicing fees | 11,599,000 | 8,484,000 | 32,033,000 | 24,254,000 | |
PMT | Other income. | |||||
Summary of mortgage loan servicing fees earned | |||||
Property management fees | $ 70,000 | $ 122,000 | $ 295,000 | $ 333,000 |
Transactions with Affiliates _3
Transactions with Affiliates - Management Fees (Details) - USD ($) | Sep. 12, 2016 | Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 |
Management Fee Revenue Abstract | |||||
Management fees | $ 10,098,000 | $ 6,471,000 | $ 26,178,000 | $ 17,910,000 | |
PMT | |||||
Management Fee Revenue Abstract | |||||
Management fees | 10,098,000 | 6,482,000 | 26,178,000 | 17,906,000 | |
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 | 7,914,000 | 5,799,000 | 20,862,000 | 17,223,000 | |
Performance incentive | 2,184,000 | 683,000 | 5,316,000 | 683,000 | |
Management fees | $ 10,098,000 | $ 6,482,000 | $ 26,178,000 | $ 17,906,000 | |
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, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 |
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 | $ 3,605,000 | $ 1,857,000 | $ 7,416,000 | $ 4,333,000 | |
Payments and settlements during the period | 68,191,000 | 21,650,000 | 111,411,000 | 45,265,000 | |
Common overhead incurred | |||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | |||||
Reimbursement of common overhead and expenses incurred by the Company | 1,543,000 | 1,210,000 | 4,055,000 | 3,387,000 | |
Compensation | |||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | |||||
Reimbursement of common overhead and expenses incurred by the Company | 120,000 | 120,000 | 360,000 | 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 | $ 1,942,000 | $ 527,000 | $ 3,001,000 | $ 586,000 |
Transactions with Affiliates _5
Transactions with Affiliates - Other Transactions, Conditional Reimbursement (Details) - PMT - Conditional Reimbursement - USD ($) | 9 Months Ended | |
Sep. 30, 2019 | Aug. 04, 2009 | |
Conditional reimbursement | ||
Payments received | $ 219,000 | |
Maximum | ||
Conditional reimbursement | ||
Conditional reimbursement | $ 2,900,000 |
Transactions with Affiliates _6
Transactions with Affiliates - Investing Activities (Details) | Dec. 19, 2016USD ($)item | Sep. 30, 2019USD ($)shares | Sep. 30, 2018USD ($) | Sep. 30, 2019USD ($)shares | Sep. 30, 2018USD ($) | Dec. 31, 2018USD ($)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 | ||||
Repurchase agreement with PennyMac Mortgage Investment Trust: | ||||||
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell pledged to creditors | $ 107,678,000 | $ 107,678,000 | $ 131,025,000 | |||
Activity during the year: | ||||||
Interest income on receivable from PennyMac Mortgage Investment Trust | 1,527,000 | $ 1,812,000 | 5,015,000 | $ 5,686,000 | ||
Activity during the period: | ||||||
Dividends received from PennyMac Mortgage Investment Trust | 36,000 | 35,000 | 107,000 | 106,000 | ||
Change in fair value of investment in Common shares of PennyMac Mortgage Investment Trust | 30,000 | 94,000 | 270,000 | 313,000 | ||
Balance at end of period | 66,000 | 129,000 | 377,000 | 419,000 | ||
Loans and Leases Receivable, Related Parties | 107,678,000 | 107,678,000 | 131,025,000 | |||
Fair value of PennyMac Mortgage Investment Trust shares | $ 1,667,000 | $ 1,667,000 | $ 1,397,000 | |||
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 | $ 1,527,000 | $ 1,812,000 | $ 5,015,000 | $ 5,686,000 |
Transactions with Affiliates _7
Transactions with Affiliates - Financing Activities (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Dec. 31, 2018 | Feb. 01, 2013 | |
Financing activities: | ||||||
Issuance pursuant to recapture agreement | $ 1,327,000 | $ 1,983,000 | ||||
Repayments | 30,901,000 | 35,852,000 | ||||
PMT | ||||||
Financing activities: | ||||||
Gain (loss) recognized | $ 3,864,000 | $ (1,109,000) | 11,519,000 | (9,026,000) | ||
Interest expense | 2,291,000 | 3,740,000 | 8,124,000 | 11,584,000 | ||
Excess servicing spread financing at fair value payable to affiliate | 183,141,000 | 183,141,000 | $ 216,110,000 | |||
PMT | 2/1/13 Spread Acquisition Agreement | ||||||
Financing activities: | ||||||
Maximum ESS recapture obligation | $ 200,000 | |||||
Excess servicing spread financing | ||||||
Financing activities: | ||||||
Gain (loss) recognized | (3,864,000) | 1,109,000 | (11,519,000) | 9,026,000 | ||
Excess servicing spread financing | PMT | ||||||
Financing activities: | ||||||
Issuance pursuant to recapture agreement | 377,000 | 499,000 | 1,327,000 | 1,983,000 | ||
Repayments | 9,819,000 | 11,543,000 | 30,901,000 | 35,852,000 | ||
Gain (loss) recognized | 3,864,000 | (1,109,000) | 11,519,000 | (9,026,000) | ||
Interest expense | 2,291,000 | 3,740,000 | 8,124,000 | 11,584,000 | ||
Excess servicing spread recapture recognized | 429,000 | $ 597,000 | 1,311,000 | $ 1,951,000 | ||
Excess servicing spread financing at fair value payable to affiliate | $ 183,141,000 | $ 183,141,000 | $ 216,110,000 |
Transactions with Affiliates _8
Transactions with Affiliates - Amounts due from Affiliate (Details) - PMT - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Amounts due from affiliate | ||
Fulfillment fees | $ 14,409 | $ 10,006 |
Management fees | 10,230 | 6,559 |
Correspondent production fees | 5,501 | 2,071 |
Servicing fees | 4,768 | 4,841 |
Allocated expenses | 4,166 | 9,066 |
Conditional Reimbursement | 582 | 801 |
Interest on assets purchased under agreements to resell | 88 | 120 |
Total due from affiliate | 39,744 | 33,464 |
Payable to affiliate | ||
Deposits made by PMT | 56,869 | 100,554 |
MSR Recapture Payable to PMT | 162 | 179 |
Other expenses | 4,831 | 3,898 |
Payable to affiliates | $ 61,862 | $ 104,631 |
Transactions with Affiliates _9
Transactions with Affiliates - Exchanged Private National Mortgage Acceptance Company, LLC Unitholders (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2019 | Dec. 31, 2018 | |
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 | $ 46.5 | $ 46.5 |
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 | $ 0 |
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, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Dec. 31, 2018 | |
Cash flows: | |||||
Sales proceeds | $ 17,897,693 | $ 11,375,408 | $ 39,084,441 | $ 34,208,217 | |
Servicing fees received | 149,210 | 123,626 | 426,774 | 354,535 | |
Net servicing advances (recoveries) | 8,605 | $ 4,147 | (23,583) | $ (20,572) | |
Period end information: | |||||
Unpaid principal balance of loans outstanding | 159,638,921 | 159,638,921 | $ 145,224,596 | ||
30-89 days | 7,828,087 | 7,828,087 | 6,222,864 | ||
90 days or more - Not in foreclosure | 2,480,348 | 2,480,348 | 2,208,083 | ||
90 days or more - In foreclosure | 1,199,933 | 1,199,933 | 720,894 | ||
90 days or more - Foreclosed | 11,369 | 11,369 | 24,243 | ||
Bankruptcy | $ 1,339,983 | $ 1,339,983 | $ 970,329 |
Loan Sales and Servicing Acti_4
Loan Sales and Servicing Activities - Summary of Mortgage Servicing Portfolio (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Mortgage servicing portfolio | ||
Loans held for sale | $ 4,323,252 | $ 2,420,636 |
Total loans serviced | 348,475,008 | 299,293,872 |
Subserviced for the Company | 414,219 | |
Delinquent loans: | ||
30 days | 8,993,663 | 7,203,168 |
60 days | 2,579,575 | 2,096,619 |
90 days or more - Not in foreclosure | 3,224,993 | 3,319,607 |
90 days or more - In foreclosure | 1,606,230 | 1,154,518 |
90 days or more - Foreclosed | 124,193 | 209,870 |
Total delinquent mortgage loans | 16,528,654 | 13,983,782 |
Bankruptcy | 1,997,298 | 1,522,189 |
Custodial funds managed by the Company | 9,994,745 | 4,003,986 |
Servicing rights owned | ||
Mortgage servicing portfolio | ||
Loans held for sale | 4,323,252 | 2,420,636 |
Total loans serviced | 227,866,932 | 204,635,718 |
Subserviced for the Company | 414,219 | |
Delinquent loans: | ||
30 days | 8,114,297 | 6,677,179 |
60 days | 2,432,250 | 1,983,381 |
90 days or more - Not in foreclosure | 3,043,663 | 3,102,492 |
90 days or more - In foreclosure | 1,518,946 | 1,027,493 |
90 days or more - Foreclosed | 13,372 | 33,493 |
Total delinquent mortgage loans | 15,122,528 | 12,824,038 |
Bankruptcy | 1,872,679 | 1,415,106 |
Custodial funds managed by the Company | 6,976,614 | 3,033,658 |
Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Total loans serviced | 120,608,076 | 94,658,154 |
Delinquent loans: | ||
30 days | 879,366 | 525,989 |
60 days | 147,325 | 113,238 |
90 days or more - Not in foreclosure | 181,330 | 217,115 |
90 days or more - In foreclosure | 87,284 | 127,025 |
90 days or more - Foreclosed | 110,821 | 176,377 |
Total delinquent mortgage loans | 1,406,126 | 1,159,744 |
Bankruptcy | 124,619 | 107,083 |
Custodial funds managed by the Company | 3,018,131 | 970,328 |
Non affiliated entities | ||
Mortgage servicing portfolio | ||
Originated | 159,638,921 | 145,224,596 |
Purchased | 63,904,759 | 56,990,486 |
Total loans serviced, excluding loans held for sale | 223,543,680 | 202,215,082 |
Non affiliated entities | Servicing rights owned | ||
Mortgage servicing portfolio | ||
Originated | 159,638,921 | 145,224,596 |
Purchased | 63,904,759 | 56,990,486 |
Total loans serviced, excluding loans held for sale | 223,543,680 | 202,215,082 |
Affiliated entities | ||
Mortgage servicing portfolio | ||
Advised entities | 120,608,076 | 94,658,154 |
Affiliated entities | Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Advised entities | $ 120,608,076 | $ 94,658,154 |
Loan Sales and Servicing Acti_5
Loan Sales and Servicing Activities - Geographical Distribution of Loans (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 348,475,008 | $ 299,293,872 |
California | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 55,400,197 | 51,377,441 |
Florida | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 27,435,384 | 22,650,926 |
Texas | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 26,509,926 | 23,648,042 |
Virginia | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 21,056,414 | 19,011,950 |
Maryland | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 15,968,754 | 13,774,011 |
All other states | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 202,104,333 | $ 168,831,502 |
Fair Value - Financial Statemen
Fair Value - Financial Statement Items Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Assets: | ||
Short-term investments at fair value | $ 90,663 | $ 117,824 |
Loans held for sale | 4,522,971 | 2,521,647 |
Derivative assets: | ||
Derivative asset, before netting | 198,391 | 123,316 |
Netting | 34,557 | (26,969) |
Total derivative assets | 232,948 | 96,347 |
Mortgage servicing rights at fair value | 2,550,602 | 2,807,333 |
Derivative liabilities: | ||
Derivative liability, before netting | 88,359 | 28,146 |
Netting | (74,324) | (25,082) |
Net amounts of liabilities presented in the consolidated balance sheet | 14,035 | 3,064 |
Mortgage servicing liabilities | 34,294 | 8,681 |
PMT | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 1,667 | 1,397 |
Interest rate lock commitments | ||
Derivative assets: | ||
Total derivative assets | 147,400 | 50,507 |
Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 17,943 | 35,916 |
Derivative liabilities: | ||
Derivative liability, before netting | 51,585 | 215 |
Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 6,141 | 437 |
Derivative liabilities: | ||
Derivative liability, before netting | 34,498 | 26,762 |
MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 10,040 | 720 |
MBS call options | ||
Derivative assets: | ||
Derivative asset, before netting | 2,135 | |
Call options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 2,414 | 5,965 |
Put options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 6,266 | 866 |
Level 3 | Interest rate lock commitments | ||
Assets: | ||
Loans held for sale | 145,124 | 49,338 |
Recurring basis | ||
Assets: | ||
Short-term investments at fair value | 90,663 | 117,824 |
Loans held for sale | 4,522,971 | 2,521,647 |
Derivative assets: | ||
Derivative asset, before netting | 198,391 | 123,316 |
Netting | 34,557 | (26,969) |
Total derivative assets | 232,948 | 96,347 |
Mortgage servicing rights at fair value | 2,556,253 | 2,820,612 |
Total assets | 7,404,502 | 5,557,827 |
Derivative liabilities: | ||
Derivative liability, before netting | 88,359 | 28,146 |
Netting | (74,324) | (25,082) |
Net amounts of liabilities presented in the consolidated balance sheet | 14,035 | 3,064 |
Mortgage servicing liabilities | 34,294 | 8,681 |
Total liabilities | 231,470 | 227,855 |
Recurring basis | PMT | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 1,667 | 1,397 |
Derivative liabilities: | ||
Excess servicing spread financing at fair value to affiliate | 183,141 | 216,110 |
Recurring basis | Interest rate lock commitments | ||
Derivative assets: | ||
Derivative asset, before netting | 147,400 | 50,507 |
Derivative liabilities: | ||
Derivative liability, before netting | 2,276 | 1,169 |
Recurring basis | Repurchase agreement derivatives | ||
Derivative assets: | ||
Derivative asset, before netting | 8,187 | 26,770 |
Recurring basis | Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 17,943 | 35,916 |
Derivative liabilities: | ||
Derivative liability, before netting | 51,585 | 215 |
Recurring basis | Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 6,141 | 437 |
Derivative liabilities: | ||
Derivative liability, before netting | 34,498 | 26,762 |
Recurring basis | MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 10,040 | 720 |
Recurring basis | MBS call options | ||
Derivative assets: | ||
Derivative asset, before netting | 2,135 | |
Recurring basis | Call options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 2,414 | 5,965 |
Recurring basis | Put options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 6,266 | 866 |
Recurring basis | Level 1 | ||
Assets: | ||
Short-term investments at fair value | 90,663 | 117,824 |
Derivative assets: | ||
Derivative asset, before netting | 8,680 | 6,831 |
Total derivative assets | 8,680 | 6,831 |
Total assets | 101,010 | 126,052 |
Recurring basis | Level 1 | PMT | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 1,667 | 1,397 |
Recurring basis | Level 1 | Call options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 2,414 | 5,965 |
Recurring basis | Level 1 | Put options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 6,266 | 866 |
Recurring basis | Level 2 | ||
Assets: | ||
Loans held for sale | 4,437,954 | 2,261,639 |
Derivative assets: | ||
Derivative asset, before netting | 34,124 | 39,208 |
Total derivative assets | 34,124 | 39,208 |
Total assets | 4,472,078 | 2,300,847 |
Derivative liabilities: | ||
Derivative liability, before netting | 86,083 | 26,977 |
Net amounts of liabilities presented in the consolidated balance sheet | 86,083 | 26,977 |
Total liabilities | 86,083 | 26,977 |
Recurring basis | Level 2 | Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 17,943 | 35,916 |
Derivative liabilities: | ||
Derivative liability, before netting | 51,585 | 215 |
Recurring basis | Level 2 | Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 6,141 | 437 |
Derivative liabilities: | ||
Derivative liability, before netting | 34,498 | 26,762 |
Recurring basis | Level 2 | MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 10,040 | 720 |
Recurring basis | Level 2 | MBS call options | ||
Derivative assets: | ||
Derivative asset, before netting | 2,135 | |
Recurring basis | Level 3 | ||
Assets: | ||
Loans held for sale | 85,017 | 260,008 |
Derivative assets: | ||
Derivative asset, before netting | 155,587 | 77,277 |
Total derivative assets | 155,587 | 77,277 |
Mortgage servicing rights at fair value | 2,556,253 | 2,820,612 |
Total assets | 2,796,857 | 3,157,897 |
Derivative liabilities: | ||
Derivative liability, before netting | 2,276 | 1,169 |
Net amounts of liabilities presented in the consolidated balance sheet | 2,276 | 1,169 |
Mortgage servicing liabilities | 34,294 | 8,681 |
Total liabilities | 219,711 | 225,960 |
Recurring basis | Level 3 | PMT | ||
Derivative liabilities: | ||
Excess servicing spread financing at fair value to affiliate | 183,141 | 216,110 |
Recurring basis | Level 3 | Interest rate lock commitments | ||
Derivative assets: | ||
Derivative asset, before netting | 147,400 | 50,507 |
Derivative liabilities: | ||
Derivative liability, before netting | 2,276 | 1,169 |
Recurring basis | Level 3 | Repurchase agreement derivatives | ||
Derivative assets: | ||
Derivative asset, before netting | $ 8,187 | $ 26,770 |
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, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Jan. 01, 2018 | |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | |||||
Mortgage servicing liabilities resulting from loan sales | $ 27,133 | $ 5,548 | |||
Excess servicing spread financing | |||||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | |||||
Balance at the beginning of the period | $ 194,156 | $ 229,470 | 216,110 | 236,534 | |
Accrual of interest on excess servicing spread financing | 2,291 | 3,740 | 8,124 | 11,584 | |
Repayment | (9,819) | (11,543) | (30,901) | (35,852) | |
Changes in fair value included in income | (3,864) | 1,109 | (11,519) | 9,026 | |
Balance at the end of the period | 183,141 | 223,275 | 183,141 | 223,275 | |
Recurring basis | |||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | |||||
Balance at the beginning of the period | 3,066,124 | 2,901,793 | 3,156,728 | 1,489,149 | |
Reclassification of mortgage servicing rights previously accounted for under the amortization method | $ 1,482,426 | ||||
Balance after reclassification | 2,971,575 | ||||
Purchases | 2,868,436 | ||||
Purchases and issuances, net | 2,062,591 | 1,226,797 | 4,155,778 | ||
Sales and repayments | (1,591,986) | (243,903) | (2,446,893) | (1,141,908) | |
Mortgage servicing rights resulting from loan sales | 246,757 | 149,000 | 545,839 | 448,604 | |
Changes in fair value included in income arising from: | |||||
Changes in instrument specific credit risk | 4,252 | 84 | (2,025) | (4,944) | |
Other factors | (318,655) | (2,235) | (790,362) | (6,688) | |
Total changes in fair value included in income | (314,403) | (2,151) | (792,387) | (11,632) | |
Transfers from mortgage loans held for sale from Level 3 to Level 2 | (416,062) | (744,324) | (1,292,824) | (1,765,854) | |
Transfers to real estate acquired in settlement of loans | (376) | (1,364) | (2,420) | (4,185) | |
Transfers from interest rate lock commitments to loans held for sale | (258,064) | (70,943) | (529,240) | (150,131) | |
Balance at the end of the period | 2,794,581 | 3,214,905 | 2,794,581 | 3,214,905 | |
Changes in fair value recognized during the period relating to assets still held at the end of the period | (268,048) | 19,648 | (894,832) | 55,535 | |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | |||||
Balance at the beginning of the period | 207,104 | 239,723 | 224,791 | 250,654 | |
Issuances | 377 | 499 | 1,327 | 1,983 | |
Accrual of interest on excess servicing spread financing | 2,291 | 3,740 | 8,124 | 11,584 | |
Repayment | (9,819) | (11,543) | (30,901) | (35,852) | |
Mortgage servicing liabilities resulting from loan sales | 19,501 | 1,741 | 27,133 | 5,548 | |
Changes in fair value included in income | (2,019) | (1,116) | (13,039) | (873) | |
Balance at the end of the period | 217,435 | 233,044 | 217,435 | 233,044 | |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (2,019) | (1,116) | (13,039) | (873) | |
Recurring basis | Excess servicing spread financing | |||||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | |||||
Balance at the beginning of the period | 194,156 | 229,470 | 216,110 | 236,534 | |
Issuances | 377 | 499 | 1,327 | 1,983 | |
Accrual of interest on excess servicing spread financing | 2,291 | 3,740 | 8,124 | 11,584 | |
Repayment | (9,819) | (11,543) | (30,901) | (35,852) | |
Changes in fair value included in income | (3,864) | 1,109 | (11,519) | 9,026 | |
Balance at the end of the period | 183,141 | 223,275 | 183,141 | 223,275 | |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (3,864) | 1,109 | (11,519) | 9,026 | |
Recurring basis | Mortgage servicing liabilities | |||||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | |||||
Balance at the beginning of the period | 12,948 | 10,253 | 8,681 | 14,120 | |
Mortgage servicing liabilities resulting from loan sales | 19,501 | 1,741 | 27,133 | 5,548 | |
Changes in fair value included in income | 1,845 | (2,225) | (1,520) | (9,899) | |
Balance at the end of the period | 34,294 | 9,769 | 34,294 | 9,769 | |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | 1,845 | (2,225) | (1,520) | (9,899) | |
Recurring basis | Loans held for sale | |||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | |||||
Balance at the beginning of the period | 217,998 | 334,166 | 260,008 | 782,211 | |
Balance after reclassification | 782,211 | ||||
Purchases | 2,480,523 | ||||
Purchases and issuances, net | 1,861,769 | 1,008,662 | 3,537,177 | ||
Sales and repayments | (1,582,564) | (231,921) | (2,414,899) | (1,122,448) | |
Changes in fair value included in income arising from: | |||||
Changes in instrument specific credit risk | 4,252 | 84 | (2,025) | (4,944) | |
Total changes in fair value included in income | 4,252 | 84 | (2,025) | (4,944) | |
Transfers from mortgage loans held for sale from Level 3 to Level 2 | (416,062) | (744,324) | (1,292,824) | (1,765,854) | |
Transfers to real estate acquired in settlement of loans | (376) | (1,364) | (2,420) | (4,185) | |
Balance at the end of the period | 85,017 | 365,303 | 85,017 | 365,303 | |
Changes in fair value recognized during the period relating to assets still held at the end of the period | (2,328) | (4,811) | (2,478) | (4,912) | |
Recurring basis | Interest rate lock commitments | |||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | |||||
Balance at the beginning of the period | 111,776 | 55,689 | 49,338 | 58,272 | |
Balance after reclassification | 58,272 | ||||
Purchases | 157,649 | ||||
Purchases and issuances, net | 199,274 | 41,721 | 376,137 | ||
Changes in fair value included in income arising from: | |||||
Other factors | 92,138 | 10,696 | 248,889 | (28,627) | |
Total changes in fair value included in income | 92,138 | 10,696 | 248,889 | (28,627) | |
Transfers from interest rate lock commitments to loans held for sale | (258,064) | (70,943) | (529,240) | (150,131) | |
Balance at the end of the period | 145,124 | 37,163 | 145,124 | 37,163 | |
Changes in fair value recognized during the period relating to assets still held at the end of the period | 145,124 | 37,163 | 145,124 | 37,163 | |
Recurring basis | Repurchase agreement derivatives | |||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | |||||
Balance at the beginning of the period | 16,015 | 25,781 | 26,770 | 10,656 | |
Balance after reclassification | 10,656 | ||||
Purchases | 36,624 | ||||
Purchases and issuances, net | 1,502 | 12,903 | 15,019 | ||
Sales and repayments | (9,422) | (11,982) | (31,994) | (19,460) | |
Changes in fair value included in income arising from: | |||||
Other factors | 92 | (227) | (1,608) | (1,345) | |
Total changes in fair value included in income | 92 | (227) | (1,608) | (1,345) | |
Balance at the end of the period | 8,187 | 26,475 | 8,187 | 26,475 | |
Changes in fair value recognized during the period relating to assets still held at the end of the period | 41 | 165 | |||
Recurring basis | Mortgage servicing rights | |||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | |||||
Balance at the beginning of the period | 2,720,335 | 2,486,157 | 2,820,612 | 638,010 | |
Reclassification of mortgage servicing rights previously accounted for under the amortization method | 1,482,426 | ||||
Balance after reclassification | $ 2,120,436 | ||||
Purchases | 193,640 | ||||
Purchases and issuances, net | 46 | 163,511 | 227,445 | ||
Mortgage servicing rights resulting from loan sales | 246,757 | 149,000 | 545,839 | 448,604 | |
Changes in fair value included in income arising from: | |||||
Other factors | (410,885) | (12,704) | (1,037,643) | 23,284 | |
Total changes in fair value included in income | (410,885) | (12,704) | (1,037,643) | 23,284 | |
Balance at the end of the period | 2,556,253 | 2,785,964 | 2,556,253 | 2,785,964 | |
Changes in fair value recognized during the period relating to assets still held at the end of the period | $ (410,885) | $ (12,704) | $ (1,037,643) | $ 23,284 |
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, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
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 | $ 2,019 | $ 1,116 | $ 13,039 | $ 873 |
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 | 2,019 | 1,116 | 13,039 | 873 |
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 | 3,864 | (1,109) | 11,519 | (9,026) |
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 | 3,864 | (1,109) | 11,519 | (9,026) |
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 | (1,845) | 2,225 | 1,520 | 9,899 |
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 | (1,845) | 2,225 | 1,520 | 9,899 |
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 | (147,546) | 55,005 | (499,557) | 141,736 |
Assets | Net gains on 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 | 263,339 | 67,709 | 538,086 | 118,452 |
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 | (410,885) | (12,704) | (1,037,643) | 23,284 |
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 | 263,339 | 67,709 | 538,086 | 118,452 |
Loans held for sale | Net gains on 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 | 263,339 | 67,709 | 538,086 | 118,452 |
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 | (410,885) | (12,704) | (1,037,643) | 23,284 |
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 | $ (410,885) | $ (12,704) | $ (1,037,643) | $ 23,284 |
Fair Value - Fair Value Option
Fair Value - Fair Value Option Maturities, Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Fair value | ||
Total fair value | $ 4,522,971 | $ 2,521,647 |
Recurring basis | ||
Fair value | ||
Total fair value | 4,522,971 | 2,521,647 |
Loans held for sale | Recurring basis | ||
Fair value | ||
Current through 89 days delinquent | 4,478,965 | 2,324,203 |
Not in foreclosure | 20,972 | 143,631 |
In foreclosure | 23,034 | 53,813 |
Total fair value | 4,522,971 | 2,521,647 |
Principal amount due upon maturity | ||
Current through 89 days delinquent | 4,275,981 | 2,220,371 |
Not in foreclosure | 22,145 | 144,011 |
In foreclosure | 25,126 | 56,254 |
Total principal amount due upon maturity | 4,323,252 | 2,420,636 |
Difference | ||
Current through 89 days delinquent | 202,984 | 103,832 |
Not in foreclosure | (1,173) | (380) |
In foreclosure | (2,092) | (2,441) |
Total difference | $ 199,719 | $ 101,011 |
Fair Value - Measurement Basis,
Fair Value - Measurement Basis, Nonrecurring (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Dec. 31, 2018 | |
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Notes Payable | $ 1,293,625 | $ 1,293,625 | $ 1,292,291 | ||
Nonrecurring basis | |||||
Financial statement items measured at fair value on a nonrecurring basis | |||||
Real estate acquired in settlement of loans | 8,575 | 8,575 | 2,150 | ||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Real estate acquired in settlement of loans | 139 | $ (41) | 162 | $ (72) | |
Nonrecurring basis | Level 3 | |||||
Financial statement items measured at fair value on a nonrecurring basis | |||||
Real estate acquired in settlement of loans | 8,575 | 8,575 | 2,150 | ||
Fair Values | |||||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Notes Payable | $ 1,306,828 | $ 1,306,828 | $ 1,285,894 |
Fair Value - Level 3 Unobservab
Fair Value - Level 3 Unobservable Inputs, Mortgage Loans and IRLC (Details) $ in Thousands | Sep. 30, 2019USD ($)item | Dec. 31, 2018USD ($)item |
Excess servicing spread financing | ||
Loans held for sale | $ | $ 4,522,971 | $ 2,521,647 |
Loans held for sale | Level 3 | ||
Excess servicing spread financing | ||
Loans held for sale | $ | $ 85,017 | $ 260,008 |
Loans held for sale | Discount rate | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 3.2 | 2.8 |
Loans held for sale | Discount rate | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 9.2 | 9.2 |
Loans held for sale | Discount rate | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 3.4 | 2.9 |
Loans held for sale | Twelve-month projected housing price index Change | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 2.6 | 2.2 |
Loans held for sale | Twelve-month projected housing price index Change | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 3.2 | 5 |
Loans held for sale | Twelve-month projected housing price index Change | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 2.9 | 3.5 |
Loans held for sale | Prepayment/resale speed | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 0.3 | 0.1 |
Loans held for sale | Prepayment/resale speed | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 19.2 | 21.8 |
Loans held for sale | Prepayment/resale speed | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 15.8 | 20.1 |
Loans held for sale | Total prepayment speed | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 0.6 | 0.1 |
Loans held for sale | Total prepayment speed | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 34.8 | 40.5 |
Loans held for sale | Total prepayment speed | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 29.6 | 37.7 |
Interest rate lock commitments | Level 3 | ||
Excess servicing spread financing | ||
Loans held for sale | $ | $ 145,124 | $ 49,338 |
Interest rate lock commitments | Pull-through rate | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 12.2 | 16.6 |
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 | 85.6 | 84.1 |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 1.4 | 1.5 |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 5.7 | 5.5 |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 4 | 3.8 |
Interest rate lock commitments | Percentage of unpaid principal balance | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 0.3 | 0.4 |
Interest rate lock commitments | Percentage of unpaid principal balance | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 2.9 | 3.2 |
Interest rate lock commitments | Percentage of unpaid principal balance | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 1.6 | 1.5 |
Repurchase agreement derivatives | ||
Excess servicing spread financing | ||
Acceptance rate (as a percent) | 99.00% | 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, 2019USD ($)item | Sep. 30, 2018USD ($)item | Sep. 30, 2019USD ($)item | Sep. 30, 2018USD ($)item | Dec. 31, 2018USD ($)item | |
Mortgage servicing rights | |||||
Inputs | |||||
Amount recognized | $ | $ 246,757,000 | $ 149,000,000 | $ 545,839,000 | $ 448,604,000 | |
Fair Values | Mortgage servicing rights | Level 3 | Minimum | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | 77 | $ 78 | |||
Fair Values | Mortgage servicing rights | Level 3 | Maximum | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | 100 | 99 | |||
Fair Values | Mortgage servicing rights | Level 3 | Weighted average | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | $ 96 | $ 93 | |||
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 5.9 | 5.9 | 5.8 | ||
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 15.8 | 15.8 | 16.1 | ||
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 8.5 | 8.5 | 8.7 | ||
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 9.8 | 9.8 | 8.4 | ||
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 33 | 33 | 32.6 | ||
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 15.6 | 15.6 | 9.9 | ||
Fair Values | Mortgage servicing rights | Life | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 1.4 | 1.4 | 1.5 | ||
Fair Values | Mortgage servicing rights | Life | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 7.2 | 7.2 | 7.9 | ||
Fair Values | Mortgage servicing rights | Life | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 5.2 | 5.2 | 7.2 | ||
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | |||||
Inputs | |||||
Amount recognized | $ | $ 246,757,000 | 149,000,000 | |||
Unpaid principal balance of underlying loans | $ | $ 15,709,249,000 | $ 10,790,398,000 | |||
Weighted-average servicing fee rate (as a percent) | 0.43% | 0.37% | |||
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Minimum | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | $ 78 | $ 78 | |||
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Maximum | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | 100 | 98 | |||
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Weighted average | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | $ 97 | $ 92 | |||
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 5.5 | 7.3 | 5.5 | 7.3 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 16.2 | 13.6 | 16.2 | 13.6 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 8.3 | 10.1 | 8.3 | 10.1 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 8.8 | 4.4 | 8.8 | 4.4 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 32.1 | 55.7 | 32.1 | 55.7 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 15.7 | 11.8 | 15.7 | 11.8 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 2.7 | 0.5 | 2.7 | 0.5 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 7.5 | 11.3 | 7.5 | 11.3 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 5.5 | 6.9 | 5.5 | 6.9 | |
Fair Values | Mortgage servicing rights | Level 3 | |||||
Inputs | |||||
Amount recognized | $ | $ 545,839,000,000 | $ 448,604,000,000 | |||
Unpaid principal balance of underlying loans | $ | $ 35,532,425,000 | $ 32,095,458,000 | |||
Weighted-average servicing fee rate (as a percent) | 4200.00% | 3600.00% | |||
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 | $ | 100 | 98 | |||
Fair Values | Mortgage servicing rights | Level 3 | Weighted average | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | $ 97 | $ 90 | |||
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 5.5 | 7.3 | 5.5 | 7.3 | |
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 16.2 | 14.1 | 16.2 | 14.1 | |
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 8.6 | 10.2 | 8.6 | 10.2 | |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 7.7 | 3.9 | 7.7 | 3.9 | |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 32.8 | 61.8 | 32.8 | 61.8 | |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 15 | 10.6 | 15 | 10.6 | |
Fair Values | Mortgage servicing rights | Life | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 2.6 | 0.5 | 2.6 | 0.5 | |
Fair Values | Mortgage servicing rights | Life | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 7.8 | 11.6 | 7.8 | 11.6 | |
Fair Values | Mortgage servicing rights | Life | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 5.8 | 7.5 | 5.8 | 7.5 |
Fair Value - Level 3 Unobserv_3
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Rights, Effect of Change In Inputs on Fair Value (Details) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2019USD ($)item | Dec. 31, 2018USD ($)item | |
MSR and pool characteristics | ||
Carrying value | $ 2,556,253,000 | $ 2,820,612,000 |
Mortgage servicing liabilities | Level 3 | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 338 | 373 |
Fair Values | Mortgage servicing rights | Level 3 | ||
MSR and pool characteristics | ||
Carrying value | 2,556,253,000 | 2,820,612,000 |
Unpaid principal balance of underlying loans | $ 221,215,993,000 | $ 201,054,144,000 |
Weighted-average note interest rate (as a percent) | 4 | 4 |
Weighted-average servicing fee rate (as a percent) | 0.34% | 0.33% |
Pricing spread | ||
Effect on fair value of 5% adverse change | $ (35,830,000) | $ (45,268,000) |
Effect on fair value of 10% adverse change | (70,578,000) | (89,073,000) |
Effect on fair value of 20% adverse change | (137,016,000) | (172,556,000) |
Prepayment speed | ||
Effect on fair value of 5% adverse change | (64,047,000) | (47,687,000) |
Effect on fair value of 10% adverse change | (124,892,000) | (93,626,000) |
Effect on fair value of 20% adverse change | (237,822,000) | (180,623,000) |
Annual per-loan cost of servicing | ||
Effect on fair value of 5% adverse change | (21,731,000) | (22,944,000) |
Effect on fair value of 10% adverse change | (43,462,000) | (45,888,000) |
Effect on fair value of 20% adverse change | (86,925,000) | (91,775,000) |
Fair Values | Mortgage servicing rights | Level 3 | Minimum | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 77 | 78 |
Fair Values | Mortgage servicing rights | Level 3 | Maximum | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 100 | 99 |
Fair Values | Mortgage servicing rights | Level 3 | Weighted average | ||
Prepayment speed | ||
Annual per-loan cost of servicing | $ 96 | $ 93 |
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Minimum | ||
Inputs | ||
Input | item | 5.9 | 5.8 |
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Maximum | ||
Inputs | ||
Input | item | 15.8 | 16.1 |
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Weighted average | ||
Inputs | ||
Input | item | 8.5 | 8.7 |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Minimum | ||
Inputs | ||
Input | item | 9.8 | 8.4 |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Maximum | ||
Inputs | ||
Input | item | 33 | 32.6 |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Weighted average | ||
Inputs | ||
Input | item | 15.6 | 9.9 |
Fair Values | Mortgage servicing rights | Life | Level 3 | Minimum | ||
Inputs | ||
Input | item | 1.4 | 1.5 |
Fair Values | Mortgage servicing rights | Life | Level 3 | Maximum | ||
Inputs | ||
Input | item | 7.2 | 7.9 |
Fair Values | Mortgage servicing rights | Life | Level 3 | Weighted average | ||
Inputs | ||
Input | item | 5.2 | 7.2 |
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, 2019USD ($)item | Dec. 31, 2018USD ($)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 | $ | $ 183,141 | $ 216,110 |
Unpaid principal balance of underlying mortgage loans | $ | $ 20,794,571 | $ 23,196,033 |
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 | 2.8 |
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 | 3.3 | 3.2 |
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 | 3.2 | 3.1 |
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 | 8.9 | 8.2 |
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 | 15 | 29.5 |
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 | 11.7 | 9.7 |
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 | 2.8 | 1.6 |
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 | 7.1 | 7.6 |
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 | 5.9 | 6.8 |
Fair Value - Level 3 Unobserv_5
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Liabilities (Details) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2019USD ($)item | Dec. 31, 2018USD ($)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 | $ 34,294,000 | $ 8,681,000 |
Mortgage servicing liabilities | Level 3 | ||
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 | 34,294,000 | 8,681,000 |
Unpaid principal balance of underlying loans | $ 2,327,687,000 | $ 1,160,938,000 |
Servicing fee rate (as a percent) | 0.0025 | 0.0025 |
Annual per-loan cost of servicing | $ 338 | $ 373 |
Mortgage servicing liabilities | Pricing spread | Level 3 | ||
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 | 8 | 7.3 |
Mortgage servicing liabilities | Annual total prepayment speed | Level 3 | ||
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 | 32.2 |
Mortgage servicing liabilities | Life | Level 3 | ||
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 | 3.3 | 3.8 |
Loans Held for Sale at Fair V_3
Loans Held for Sale at Fair Value (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | $ 4,522,971 | $ 2,521,647 |
Fair value of loans pledged to secure assets sold under agreements to repurchase | 3,939,161 | 1,923,857 |
Fair value of loans pledged to secure mortgage loan participation and sale agreement | 542,049 | 555,001 |
Pledged Assets Separately Reported, Loans Pledged as Collateral, at Fair Value, Total | 4,481,210 | 2,478,858 |
Government-insured or guaranteed | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 4,148,681 | 2,116,126 |
Conventional mortgage loans | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 289,273 | 144,872 |
Jumbo Loan | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 641 | |
Home equity lines of credit | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 14 | |
Mortgage loans purchased from Ginnie Mae pools serviced by the entity | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 76,105 | 250,585 |
Mortgage loans repurchased pursuant to representations and warranties | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | $ 8,898 | $ 9,423 |
Derivative Financial Instrume_3
Derivative Financial Instruments - Other Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Dec. 31, 2018 | |
Derivative assets: | ||||||
Derivative asset, before netting | $ 198,391 | $ 123,316 | ||||
Netting | 34,557 | (26,969) | ||||
Total derivative assets | 232,948 | 96,347 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 88,359 | 28,146 | ||||
Netting | (74,324) | (25,082) | ||||
Net amounts of liabilities presented in the consolidated balance sheet | 14,035 | 3,064 | ||||
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 | $ 92 | $ (227) | $ (1,608) | $ (1,345) | ||
Net gains on loans held for sale at fair value | Interest rate lock commitments and 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 | (55,540) | 10,820 | (157,362) | 100,422 | ||
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 | 250,146 | (52,971) | 587,883 | (180,853) | ||
Margin Deposits | ||||||
Derivative assets: | ||||||
Collateral placed with (received from) derivative counterparties | 108,881 | (1,887) | ||||
Interest rate lock commitments | ||||||
Derivative assets: | ||||||
Total derivative assets | 147,400 | 50,507 | ||||
Interest rate lock commitments | Net gains on 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 | 33,347 | (18,526) | 95,785 | (21,109) | ||
Forward contracts | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 15,829,825 | 6,657,026 | 15,829,825 | 6,657,026 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 17,943 | 35,916 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 51,585 | 215 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 6,657,026 | |||||
Balance at end of period | 15,829,825 | 15,829,825 | ||||
Forward contracts | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 15,116,810 | 6,890,046 | 15,116,810 | 6,890,046 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 6,141 | 437 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 34,498 | 26,762 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 6,890,046 | |||||
Balance at end of period | 15,116,810 | 15,116,810 | ||||
MBS put options | ||||||
Derivative Instruments | ||||||
Notional amount | 10,050,000 | 4,635,000 | 10,050,000 | 4,635,000 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 10,040 | 720 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 4,635,000 | |||||
Balance at end of period | 10,050,000 | 10,050,000 | ||||
MBS call options | ||||||
Derivative Instruments | ||||||
Notional amount | 1,450,000 | 1,450,000 | ||||
Derivative assets: | ||||||
Derivative asset, before netting | 2,135 | |||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 1,450,000 | |||||
Put options on interest rate futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 4,350,000 | 3,085,000 | 4,350,000 | 3,085,000 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 6,266 | 866 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 3,085,000 | |||||
Balance at end of period | 4,350,000 | 4,350,000 | ||||
Call options on interest rate futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 600,000 | 1,512,500 | 600,000 | 1,512,500 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 2,414 | 5,965 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 1,512,500 | |||||
Balance at end of period | 600,000 | 600,000 | ||||
Treasury future | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 1,408,500 | 835,000 | 1,408,500 | 835,000 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 835,000 | |||||
Balance at end of period | 1,408,500 | 1,408,500 | ||||
Treasury future | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 1,132,500 | 1,450,000 | 1,132,500 | 1,450,000 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 1,450,000 | |||||
Balance at end of period | 1,132,500 | 1,132,500 | ||||
Interest rate swap futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 3,910,000 | 625,000 | 3,910,000 | 625,000 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 625,000 | |||||
Balance at end of period | 3,910,000 | 3,910,000 | ||||
Not designated as hedging instrument | Repurchase agreement derivatives | ||||||
Derivative assets: | ||||||
Derivative asset, before netting | 8,187 | 26,770 | ||||
Not designated as hedging instrument | Interest rate lock commitments | ||||||
Derivative Instruments | ||||||
Notional amount | 8,311,786 | 2,805,400 | 8,311,786 | 2,805,400 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 147,400 | 50,507 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 2,276 | 1,169 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 2,805,400 | |||||
Balance at end of period | 8,311,786 | 8,311,786 | ||||
Not designated as hedging instrument | Forward contracts | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 19,497,698 | 6,617,888 | 6,657,026 | 4,920,883 | 15,829,825 | 6,657,026 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 19,497,698 | 6,617,888 | 6,657,026 | 4,920,883 | ||
Additions | 100,139,970 | 47,038,415 | 237,370,321 | 140,158,865 | ||
Dispositions/expirations | (103,807,843) | (46,540,682) | (228,197,522) | (137,964,127) | ||
Balance at end of period | 15,829,825 | 7,115,621 | 15,829,825 | 7,115,621 | ||
Not designated as hedging instrument | Forward contracts | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 14,276,156 | 7,107,202 | 6,890,046 | 5,204,796 | 15,116,810 | 6,890,046 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 14,276,156 | 7,107,202 | 6,890,046 | 5,204,796 | ||
Additions | 122,174,329 | 58,521,199 | 275,749,351 | 174,562,881 | ||
Dispositions/expirations | (121,333,675) | (58,917,204) | (267,522,587) | (173,056,480) | ||
Balance at end of period | 15,116,810 | 6,711,197 | 15,116,810 | 6,711,197 | ||
Not designated as hedging instrument | MBS put options | ||||||
Derivative Instruments | ||||||
Notional amount | 12,775,000 | 2,675,000 | 4,635,000 | 4,925,000 | 10,050,000 | 4,635,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 12,775,000 | 2,675,000 | 4,635,000 | 4,925,000 | ||
Additions | 29,575,000 | 8,375,000 | 77,185,000 | 17,250,000 | ||
Dispositions/expirations | (32,300,000) | (6,900,000) | (71,770,000) | (18,025,000) | ||
Balance at end of period | 10,050,000 | 4,150,000 | 10,050,000 | 4,150,000 | ||
Not designated as hedging instrument | MBS call options | ||||||
Derivative Instruments | ||||||
Notional amount | 2,250,000 | 1,250,000 | 1,450,000 | 1,250,000 | 1,450,000 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 2,250,000 | 1,450,000 | ||||
Additions | 1,250,000 | 6,750,000 | 12,375,000 | |||
Dispositions/expirations | (2,250,000) | (8,200,000) | (11,125,000) | |||
Balance at end of period | 1,250,000 | 1,250,000 | ||||
Not designated as hedging instrument | Put options on interest rate futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 2,835,000 | 1,852,500 | 3,085,000 | 2,125,000 | 4,350,000 | 3,085,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 2,835,000 | 1,852,500 | 3,085,000 | 2,125,000 | ||
Additions | 9,850,000 | 4,922,300 | 19,422,500 | 16,624,800 | ||
Dispositions/expirations | (8,335,000) | (4,549,800) | (18,157,500) | (16,524,800) | ||
Balance at end of period | 4,350,000 | 2,225,000 | 4,350,000 | 2,225,000 | ||
Not designated as hedging instrument | Put options on interest rate futures | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 300,000 | 300,000 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Additions | 8,335,000 | 4,849,800 | 27,297,800 | 16,824,800 | ||
Dispositions/expirations | (8,335,000) | (4,549,800) | (27,297,800) | (16,524,800) | ||
Balance at end of period | 300,000 | 300,000 | ||||
Not designated as hedging instrument | Call options on interest rate futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 3,687,500 | 800,000 | 1,512,500 | 100,000 | 600,000 | 1,512,500 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 3,687,500 | 800,000 | 1,512,500 | 100,000 | ||
Additions | 1,750,000 | 950,000 | 13,127,800 | 2,400,000 | ||
Dispositions/expirations | (4,837,500) | (1,350,000) | (14,040,300) | (2,100,000) | ||
Balance at end of period | 600,000 | 400,000 | 600,000 | 400,000 | ||
Not designated as hedging instrument | Call options on interest rate futures | Sales | ||||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Additions | 4,837,500 | 1,350,000 | 4,837,500 | 2,100,000 | ||
Dispositions/expirations | (4,837,500) | (1,350,000) | (4,837,500) | (2,100,000) | ||
Not designated as hedging instrument | Treasury future | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 486,100 | 835,000 | 835,000 | 100,000 | 1,408,500 | 835,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 486,100 | 835,000 | 835,000 | 100,000 | ||
Additions | 5,132,000 | 2,557,100 | 11,943,400 | 7,453,300 | ||
Dispositions/expirations | (4,209,600) | (2,557,100) | (11,369,900) | (6,718,300) | ||
Balance at end of period | 1,408,500 | 835,000 | 1,408,500 | 835,000 | ||
Not designated as hedging instrument | Treasury future | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 1,550,000 | 1,450,000 | 1,450,000 | 1,450,000 | 1,132,500 | 1,450,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 1,550,000 | 1,450,000 | 1,450,000 | |||
Additions | 3,792,100 | 2,557,100 | 11,052,400 | 8,829,600 | ||
Dispositions/expirations | (4,209,600) | (2,557,100) | (11,369,900) | (7,379,600) | ||
Balance at end of period | 1,132,500 | 1,450,000 | 1,132,500 | 1,450,000 | ||
Not designated as hedging instrument | Interest rate swap futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 2,900,000 | 465,000 | 625,000 | 1,400,000 | $ 3,910,000 | $ 625,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 2,900,000 | 465,000 | 625,000 | 1,400,000 | ||
Additions | 1,800,000 | 420,000 | 4,075,000 | 885,000 | ||
Dispositions/expirations | (790,000) | (885,000) | (790,000) | (2,285,000) | ||
Balance at end of period | 3,910,000 | 3,910,000 | ||||
Not designated as hedging instrument | Interest rate swap futures | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 625,000 | 625,000 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Additions | 790,000 | 885,000 | 790,000 | 2,285,000 | ||
Dispositions/expirations | $ (790,000) | (260,000) | $ (790,000) | (1,660,000) | ||
Balance at end of period | $ 625,000 | $ 625,000 |
Derivative Financial Instrume_4
Derivative Financial Instruments - Offsetting of Derivative Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized assets | $ 155,587 | $ 77,277 |
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 42,804 | 46,039 |
Gross amounts offset in the consolidated balance sheet | 34,557 | (26,969) |
Net amounts of assets presented in the consolidated balance sheet | 77,361 | 19,070 |
Total | ||
Gross amounts of recognized assets | 198,391 | 123,316 |
Net amounts of assets presented in the balance sheet | 232,948 | 96,347 |
Interest rate lock commitments | ||
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized assets | 147,400 | 50,507 |
Total | ||
Net amounts of assets presented in the balance sheet | 147,400 | 50,507 |
Repurchase agreement derivatives | ||
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized assets | 8,187 | 26,770 |
MBS put options | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 10,040 | 720 |
Net amounts of assets presented in the consolidated balance sheet | 10,040 | 720 |
Total | ||
Gross amounts of recognized assets | 10,040 | 720 |
MBS call options | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 2,135 | |
Net amounts of assets presented in the consolidated balance sheet | 2,135 | |
Total | ||
Gross amounts of recognized assets | 2,135 | |
Forward contracts | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 17,943 | 35,916 |
Net amounts of assets presented in the consolidated balance sheet | 17,943 | 35,916 |
Total | ||
Gross amounts of recognized assets | 17,943 | 35,916 |
Forward contracts | Sales | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 6,141 | 437 |
Net amounts of assets presented in the consolidated balance sheet | 6,141 | 437 |
Total | ||
Gross amounts of recognized assets | 6,141 | 437 |
Put options on interest rate futures | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 6,266 | 866 |
Net amounts of assets presented in the consolidated balance sheet | 6,266 | 866 |
Total | ||
Gross amounts of recognized assets | 6,266 | 866 |
Call options on interest rate futures | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 2,414 | 5,965 |
Net amounts of assets presented in the consolidated balance sheet | 2,414 | 5,965 |
Total | ||
Gross amounts of recognized assets | $ 2,414 | $ 5,965 |
Derivative Financial Instrume_5
Derivative Financial Instruments - Offsetting of Derivative Assets - Derivative Assets, Financial Assets, and Collateral Held by Counterparty (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Total | ||
Net amounts of assets presented in the balance sheet | $ 232,948 | $ 96,347 |
Net amount | 232,948 | 96,347 |
Deutsche Bank AG | ||
Total | ||
Net amounts of assets presented in the balance sheet | 8,187 | 26,770 |
Net amount | 8,187 | 26,770 |
RJ O'Brien | ||
Total | ||
Net amounts of assets presented in the balance sheet | 8,680 | 6,831 |
Net amount | 8,680 | 6,831 |
Wells Fargo Bank, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 5,728 | 3,707 |
Net amount | 5,728 | 3,707 |
Bank of America, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 2,781 | |
Net amount | 2,781 | |
Citibank, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 15,951 | 2,488 |
Net amount | 15,951 | 2,488 |
JP Morgan | ||
Total | ||
Net amounts of assets presented in the balance sheet | 32,450 | 1,399 |
Net amount | 32,450 | 1,399 |
Goldman Sachs | ||
Total | ||
Net amounts of assets presented in the balance sheet | 2,252 | |
Net amount | 2,252 | |
Morgan Stanley Bank | ||
Total | ||
Net amounts of assets presented in the balance sheet | 11,842 | |
Net amount | 11,842 | |
Other | ||
Total | ||
Net amounts of assets presented in the balance sheet | 458 | 1,864 |
Net amount | 458 | 1,864 |
Interest rate lock commitments | ||
Total | ||
Net amounts of assets presented in the balance sheet | 147,400 | 50,507 |
Net amount | $ 147,400 | $ 50,507 |
Derivative Financial Instrume_6
Derivative Financial Instruments - Offsetting of Derivative Assets - Offsetting of Derivative and Financial Liabilities (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2019 | Dec. 31, 2018 | |
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | $ 86,083 | $ 26,977 |
Netting | (74,324) | (25,082) |
Net amounts of liabilities presented in the balance sheet | 11,759 | 1,895 |
Total | ||
Gross amounts of recognized liabilities | 88,359 | 28,146 |
Net amounts of liabilities presented in the consolidated balance sheet | 14,035 | 3,064 |
Mortgage loans sold under agreements to repurchase | ||
Net amounts of liabilities presented in the consolidated balance sheet | 3,539,459 | |
Debt Issuance Costs | ||
Debt issuance costs, gross | (570) | (1,341) |
Debt issuance costs | (570) | (1,341) |
Gross amounts of recognized liabilities | 3,538,889 | 1,933,859 |
Net amount of liabilities in the consolidated balance sheet | 3,538,889 | 1,933,859 |
Total | ||
Gross amounts of recognized liabilities | 3,627,248 | 1,962,005 |
Gross amounts offset in the consolidated balance sheet | (74,324) | (25,082) |
Net amounts of liabilities presented in the consolidated balance sheet | 3,553,494 | 1,938,264 |
Net amount of liabilities in the consolidated balance sheet | 14,035 | 3,064 |
Receivable from Counterparties | ||
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 3,552,924 | 1,936,923 |
Assets sold under agreements to repurchase | ||
Mortgage loans sold under agreements to repurchase | ||
Gross amounts of recognized liabilities | 3,539,459 | 1,935,200 |
Net amounts of liabilities presented in the consolidated balance sheet | 3,539,459 | 1,935,200 |
Net amounts of liabilities presented in the consolidated balance sheet | 3,539,459 | 1,935,200 |
Debt Issuance Costs | ||
Debt issuance costs, gross | (570) | (1,341) |
Net amount of liabilities in the consolidated balance sheet | 3,538,889 | 1,933,859 |
Forward contracts | Purchases | ||
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | 51,585 | 215 |
Net amounts of liabilities presented in the balance sheet | 51,585 | 215 |
Total | ||
Gross amounts of recognized liabilities | 51,585 | 215 |
Forward contracts | Sales | ||
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | 34,498 | 26,762 |
Net amounts of liabilities presented in the balance sheet | 34,498 | 26,762 |
Total | ||
Gross amounts of recognized liabilities | 34,498 | 26,762 |
Interest rate lock commitments | ||
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized liabilities | 2,276 | 1,169 |
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 2,276 | 1,169 |
Net amount of liabilities in the consolidated balance sheet | $ 2,276 | $ 1,169 |
Derivative Financial Instrume_7
Derivative Financial Instruments - Offsetting of Derivative Assets - Derivative Liabilities, Financial Liabilities, and Collateral Held by Counterparty (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | $ 3,553,494 | $ 1,938,264 |
Financial instruments | (3,539,459) | (1,935,200) |
Net amount of liabilities in the consolidated balance sheet | 14,035 | 3,064 |
Credit Suisse First Boston Mortgage Capital LLC | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,000,098 | 691,030 |
Financial instruments | (999,713) | (690,766) |
Net amount of liabilities in the consolidated balance sheet | 385 | 264 |
Bank of America, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 506,553 | 170,820 |
Financial instruments | (497,335) | (170,820) |
Net amount of liabilities in the consolidated balance sheet | 9,218 | |
Deutsche Bank AG | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 741,978 | |
Financial instruments | (741,978) | |
Royal Bank of Canada | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 125,735 | 35,181 |
Financial instruments | (125,735) | (35,181) |
JP Morgan | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 711,619 | 54,326 |
Financial instruments | (711,619) | (54,326) |
Morgan Stanley Bank | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 551,027 | 77,687 |
Financial instruments | (551,027) | (77,687) |
Citibank, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 461,496 | 14,960 |
Financial instruments | (461,496) | (14,960) |
Federal National Mortgage Association | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 685 | |
Net amount of liabilities in the consolidated balance sheet | 685 | |
BNP Paribas | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 192,534 | 149,675 |
Financial instruments | (192,534) | (149,482) |
Net amount of liabilities in the consolidated balance sheet | 193 | |
Other | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,471 | 1,438 |
Net amount of liabilities in the consolidated balance sheet | 1,471 | 1,438 |
Interest rate lock commitments | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 2,276 | 1,169 |
Net amount of liabilities in the consolidated balance sheet | $ 2,276 | $ 1,169 |
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, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Jun. 30, 2019 | Dec. 31, 2018 | Jun. 30, 2018 | Dec. 31, 2017 | |
Activity in MSRs carried at fair value | ||||||||
Balance at beginning of period | $ 2,807,333 | |||||||
Change in fair value: | ||||||||
Balance at end of period | $ 2,550,602 | 2,550,602 | ||||||
Mortgage servicing rights | ||||||||
Activity in MSRs carried at fair value | ||||||||
Balance at beginning of period | 2,720,335 | $ 2,486,157 | 2,820,612 | $ 638,010 | ||||
Reclassification of mortgage servicing rights previously accounted for under the amortization method | $ 1,482,426 | |||||||
Balance after reclassification | $ 2,720,335 | $ 2,820,612 | $ 2,486,157 | $ 2,120,436 | ||||
Additions - Mortgage servicing rights resulting from loan sales | 246,757 | 149,000 | 545,839 | 448,604 | ||||
Additions - Purchases | 46 | 163,511 | 227,445 | 193,640 | ||||
Additions | 246,803 | 312,511 | 773,284 | 642,244 | ||||
Change in fair value: | ||||||||
Changes in inputs used in valuation model | (286,880) | 64,293 | (704,967) | 239,538 | ||||
Other changes in fair value | (124,005) | (76,997) | (332,676) | (216,254) | ||||
Total change in fair value | (410,885) | (12,704) | (1,037,643) | 23,284 | ||||
Balance at end of period | 2,556,253 | 2,785,964 | 2,556,253 | 2,785,964 | ||||
Total | $ 2,550,602 | $ 2,807,333 | $ 2,550,602 | $ 2,807,333 |
Mortgage Servicing Rights and_4
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, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Amortized cost: | ||||
Mortgage servicing liabilities resulting from loan sales | $ 27,133 | $ 5,548 | ||
Mortgage servicing liabilities | ||||
Amortized cost: | ||||
Balance at beginning of period | $ 12,948 | $ 10,253 | 8,681 | 14,120 |
Mortgage servicing liabilities resulting from loan sales | 19,501 | 1,741 | 27,133 | 5,548 |
Changes in valuation inputs used in valuation model | 8,630 | 3,410 | 14,687 | 8,590 |
Other changes in fair value | (6,785) | (5,635) | (16,207) | (18,489) |
Total change in fair value | 1,845 | (2,225) | (1,520) | (9,899) |
Balance at end of period | $ 34,294 | $ 9,769 | $ 34,294 | $ 9,769 |
Mortgage Servicing Rights and_5
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, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Contractual servicing fees | $ 185,967 | $ 147,182 | $ 533,510 | $ 421,536 |
Ancillary and other fees | ||||
Other | 26,018 | 17,009 | 74,043 | 44,817 |
Mortgage servicing rights | ||||
Contractual servicing fees | 185,967 | 147,182 | 533,510 | 421,536 |
Ancillary and other fees | ||||
Late charges | 12,430 | 5,087 | 31,258 | 19,595 |
Other | 4,846 | 1,244 | 9,119 | 4,620 |
Bank Servicing Fees | $ 203,243 | $ 153,513 | $ 573,887 | $ 445,751 |
Leases (Details)
Leases (Details) $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2019USD ($)item | Sep. 30, 2019USD ($)item | |
Leases | ||
Operating lease option to extend | true | |
Lease expenses: | ||
Operating leases | $ 3,356 | $ 9,817 |
Short-term leases | 213 | 644 |
Sublease income | (35) | (94) |
Total lease cost | 3,534 | 10,367 |
Cash payments for operating leases | 4,063 | 11,793 |
Upon adoption of ASU 2016-02 | 58,713 | |
New leases | 1,929 | 1,929 |
Right-of-use assets obtained in exchange for lease obligations | $ 1,929 | $ 60,642 |
Remaining lease term (in year) | 5 years 9 months 18 days | 5 years 9 months 18 days |
Discount rate (as a percent) | 4.60% | 4.60% |
Operating lease liabilities | ||
2020 | $ 17,246 | $ 17,246 |
2021 | 14,754 | 14,754 |
2022 | 12,170 | 12,170 |
2023 | 11,580 | 11,580 |
2024 | 9,123 | 9,123 |
Thereafter | 17,628 | 17,628 |
Total lease payments | 82,501 | 82,501 |
Less imputed interest | (10,341) | (10,341) |
Total | $ 72,160 | $ 72,160 |
Number of operating leases not yet commenced. | item | 1 | 1 |
Lease expense from leases not yet commenced | $ 1,500 | |
Minimum | ||
Leases | ||
Remaining operating lease term | 1 year | |
Maximum | ||
Leases | ||
Remaining operating lease term | 10 years | |
Operating lease renewal term | 5 years | 5 years |
Borrowings - Assets Sold Under
Borrowings - Assets Sold Under Agreement to Repurchase (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Dec. 31, 2018 | |
During the period: | |||||
Total interest expense | $ 19,429 | $ 4,676 | $ 47,709 | $ 15,943 | |
Carrying value: | |||||
Unpaid principal balance | 3,539,459 | 3,539,459 | |||
Unamortized debt issuance costs and premiums | (570) | (570) | $ (1,341) | ||
Total loans sold under agreements to repurchase | 3,538,889 | 3,538,889 | 1,933,859 | ||
Servicing advances | 181,747 | 181,747 | 162,895 | ||
Assets sold under agreements to repurchase | |||||
During the period: | |||||
Average balance of mortgage loans sold under agreements to repurchase | $ 2,098,208 | $ 1,563,053 | $ 1,861,086 | $ 1,618,008 | |
Weighted-average interest rate (as a percent) | 3.66% | 3.91% | 4.08% | 3.72% | |
Total interest expense | $ 19,429 | $ 4,676 | $ 47,709 | $ 15,943 | |
Maximum daily amount outstanding | 3,539,459 | 2,201,880 | 3,539,459 | 2,380,121 | |
Carrying value: | |||||
Unpaid principal balance | 3,539,459 | 3,539,459 | 1,935,200 | ||
Unamortized debt issuance costs and premiums | (570) | (570) | (1,341) | ||
Total loans sold under agreements to repurchase | $ 3,538,889 | $ 3,538,889 | $ 1,933,859 | ||
Weighted average interest rate (as a percent) | 3.53% | 3.53% | 4.22% | ||
Available borrowing capacity committed | $ 2,665 | $ 2,665 | $ 695,767 | ||
Available borrowing capacity uncommitted | 1,292,876 | 1,292,876 | 2,354,033 | ||
Available borrowing capacity | 1,295,541 | 1,295,541 | 3,049,800 | ||
Margin deposits placed with counterparties | 5,000 | 5,000 | 3,750 | ||
Amortization of premium | 200 | 10,900 | 9,200 | 29,700 | |
Amount of Master Repurchase Agreement incentives to refinance include in interest expense | 1,600 | $ 12,800 | 14,700 | $ 35,500 | |
Assets sold under agreements to repurchase | Loans held for sale | |||||
Carrying value: | |||||
Fair value of assets pledged to secure | 3,939,161 | 3,939,161 | 1,923,857 | ||
Assets sold under agreements to repurchase | Mortgage servicing rights | |||||
Carrying value: | |||||
Fair value of assets pledged to secure | 2,532,369 | 2,532,369 | 2,807,333 | ||
Assets sold under agreements to repurchase | Servicing advances | |||||
Carrying value: | |||||
Fair value of assets pledged to secure | 181,747 | 181,747 | 162,895 | ||
Assets sold under agreements to repurchase | Financing receivable | |||||
Carrying value: | |||||
Fair value of assets pledged to secure | $ 107,678 | $ 107,678 | $ 131,025 |
Borrowings - Maturities of Outs
Borrowings - Maturities of Outstanding Advances Under Repurchase Agreements (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2019USD ($) | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 3,539,459 |
Weighted-average maturity (in months) | 2 months 15 days |
Within 30 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 276,113 |
Over 30 to 90 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | 3,041,052 |
Over 90 to 180 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | 122,294 |
Over 180 days to one year | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 100,000 |
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, 2019USD ($) |
Credit Suisse First Boston Mortgage Capital LLC Tranche Two | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 1,313,083 |
Credit Suisse First Boston Mortgage Capital LLC Tranche One | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 231,656 |
Bank of America, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 82,942 |
Morgan Stanley Bank | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 40,511 |
JP Morgan | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 79,142 |
BNP Paribas | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 12,363 |
Royal Bank of Canada | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 9,804 |
Citibank, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 41,279 |
Borrowings - Mortgage Loan Part
Borrowings - Mortgage Loan Participation and Sale Agreement (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Dec. 31, 2018 | |
During the period: | |||||
Total interest expense | $ 2,304,000 | $ 2,533,000 | $ 7,034,000 | $ 6,450,000 | |
Carrying value: | |||||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 514,625,000 | 514,625,000 | $ 532,251,000 | ||
Fair value of loans pledged to secure | 542,049,000 | 542,049,000 | 555,001,000 | ||
Mortgage Loan Participation and Sale Agreement member | |||||
During the period: | |||||
Average balance | $ 258,169,000 | $ 289,008,000 | $ 249,023,000 | $ 250,599,000 | |
Short-term Debt, Weighted Average Interest Rate, over Time | 3.36% | 3.31% | 3.55% | 3.14% | |
Total interest expense | $ 2,304,000 | $ 2,533,000 | $ 7,034,000 | $ 6,450,000 | |
Carrying value: | |||||
Unpaid principal balance of mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 514,625,000 | 514,625,000 | 532,466,000 | ||
Unamortized issuance costs | (215,000) | ||||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 514,625 | $ 514,625 | $ 532,251 | ||
Weighted average interest rate (as a percent) | 3.27% | 3.27% | 3.77% | ||
Fair value of loans pledged to secure | $ 542,049,000 | $ 542,049,000 | $ 555,001,000 | ||
Amortization of debt issuance costs | 135,000 | 92,000 | 405,000 | 475,000 | |
Maximum | Mortgage Loan Participation and Sale Agreement member | |||||
Carrying value: | |||||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 524,095,000 | $ 722,611,000 | $ 548,038,000 | $ 722,611,000 |
Borrowings - Note Payable (Deta
Borrowings - Note Payable (Details) - USD ($) | Aug. 10, 2018 | Feb. 28, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Dec. 31, 2018 | Nov. 01, 2018 | Feb. 01, 2018 |
During the period: | |||||||||
Total interest expense | $ 17,525,000 | $ 21,369,000 | $ 53,559,000 | $ 55,939,000 | |||||
Carrying value: | |||||||||
Notes payable | 1,293,625,000 | 1,293,625,000 | $ 1,292,291,000 | ||||||
Notes payable | |||||||||
Repayments of notes payable | 900,000,000 | ||||||||
Note Payable | |||||||||
During the period: | |||||||||
Average balance | $ 1,300,000,000 | $ 1,234,783,000 | $ 1,300,000,000 | $ 1,125,458,000 | |||||
Weighted-average interest rate (as a percent) | 5.11% | 5.07% | 5.21% | 5.29% | |||||
Total interest expense | $ 17,525,000 | $ 21,369,000 | $ 53,559,000 | $ 55,939,000 | |||||
Maximum daily amount outstanding | 1,300,000,000 | 1,300,000,000 | 1,300,000,000 | 1,300,000,000 | |||||
Carrying value: | |||||||||
Unpaid principal balance | 1,300,000,000 | 1,300,000,000 | 1,300,000,000 | ||||||
Unamortized issuance costs | (6,375,000) | (6,375,000) | (7,709,000) | ||||||
Notes payable | $ 1,293,625,000 | $ 1,293,625,000 | $ 1,292,291,000 | ||||||
Weighted-average interest rate (as a percent) | 4.90% | 4.90% | 5.07% | ||||||
Unused amount | $ 150,000,000 | $ 150,000,000 | $ 150,000,000 | ||||||
Amortization of Financing Costs | 900,000 | 2,000,000 | 2,700,000 | 2,800,000 | |||||
Notes payable | |||||||||
Debt issuance costs | 3,400,000 | 8,000,000 | |||||||
Note Payable | Revolving credit agreement | |||||||||
Short-term debt | |||||||||
Maximum loan amount | $ 150,000,000 | ||||||||
Note Payable | LIBOR | |||||||||
Notes payable | |||||||||
Maximum loan amount | $ 650,000,000 | $ 650,000,000 | |||||||
Description of variable rate | one-month LIBOR | one-month LIBOR | |||||||
Interest rate spread | 2.65% | 2.85% | |||||||
Note Payable | Credit Suisse AG | |||||||||
Short-term debt | |||||||||
Maximum loan amount | $ 400,000,000 | ||||||||
Note Payable | Mortgage servicing rights | |||||||||
Carrying value: | |||||||||
Assets pledged to secure | 2,489,481,000 | 2,489,481,000 | 2,807,333,000 | ||||||
Note Payable | Cash. | |||||||||
Carrying value: | |||||||||
Assets pledged to secure | 101,773,000 | 101,773,000 | 108,174,000 | ||||||
Note Payable | Servicing advances | |||||||||
Carrying value: | |||||||||
Assets pledged to secure | 181,747,000 | 181,747,000 | 162,895,000 | ||||||
Mortgage Loan Participation and Sale Agreement member | |||||||||
During the period: | |||||||||
Average balance | 258,169,000 | 289,008,000 | 249,023,000 | 250,599,000 | |||||
Carrying value: | |||||||||
Unamortized issuance costs | $ (215,000) | ||||||||
Amortization of Financing Costs | $ 135,000 | $ 92,000 | $ 405,000 | $ 475,000 |
Borrowings - Obligations Under
Borrowings - Obligations Under Capital Lease (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Dec. 31, 2018 | |
Leases | |||||
Average balance | $ 25,812 | $ 11,615 | $ 13,380 | $ 15,187 | |
Weighted average interest rate | 4.47% | 4.09% | 4.48% | 3.87% | |
Total interest expense | $ 274 | $ 122 | $ 476 | $ 444 | |
Unpaid principal balance | $ 23,881 | $ 23,881 | $ 6,605 | ||
Weighted average interest rate | 4.45% | 4.45% | 4.46% | ||
Furniture, fixtures, equipment and building improvements pledged to creditors | $ 22,172 | $ 22,172 | $ 16,281 | ||
Capitalized software pledged to creditors | 14,090 | 14,090 | $ 1,017 | ||
Maximum | |||||
Leases | |||||
Maximum daily amount outstanding | $ 28,295 | $ 13,032 | $ 28,295 | $ 20,971 |
Borrowings - ESS (Details)
Borrowings - ESS (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
PMT | ||||
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: | ||||
Change in fair value | $ 3,864 | $ (1,109) | $ 11,519 | $ (9,026) |
Excess servicing spread financing | ||||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | 194,156 | 229,470 | 216,110 | 236,534 |
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: | ||||
Accrual of interest | 2,291 | 3,740 | 8,124 | 11,584 |
Repayment | (9,819) | (11,543) | (30,901) | (35,852) |
Change in fair value | (3,864) | 1,109 | (11,519) | 9,026 |
Balance at the end of the period | 183,141 | 223,275 | 183,141 | 223,275 |
Excess servicing spread financing | PMT | ||||
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: | ||||
Issuances | 377 | 499 | 1,327 | 1,983 |
Change in fair value | $ 3,864 | $ (1,109) | $ 11,519 | $ (9,026) |
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, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
During the year: | ||||
Balance at beginning of period | $ 18,709 | $ 20,587 | $ 21,155 | $ 20,053 |
Provision for losses on loans sold resulting from sales of loans | 2,508 | 1,842 | 5,222 | 4,550 |
Provision for losses on loans sold reduction in liability due to change in estimate | (1,175) | (1,155) | (6,305) | (3,627) |
(Recoveries) incurred losses, net | (74) | (252) | (104) | 46 |
Balance at end of period | 19,968 | 21,022 | 19,968 | 21,022 |
Unpaid principal balance of loans subject to representations and warranties at end of quarter | $ 166,541,153 | $ 139,315,779 | $ 166,541,153 | $ 139,315,779 |
Income Taxes - General (Details
Income Taxes - General (Details) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
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) | 26.90% | 9.00% | 26.30% | 8.60% |
Commitments and Contingencies (
Commitments and Contingencies (Details) $ in Billions | Sep. 30, 2019USD ($) |
Commitments and Contingencies. | |
Total commitments to purchase and fund mortgage loans | $ 8.3 |
Stockholders' Equity (Details)
Stockholders' Equity (Details) - USD ($) shares in Thousands, $ in Thousands | 9 Months Ended | 28 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Jun. 30, 2017 | |
Stockholders' Equity | ||||
Cost of shares of common stock repurchased | $ 1,056 | $ 4,826 | ||
Common Stock | ||||
Stockholders' Equity | ||||
Authorized stock repurchase amount | $ 50,000 | |||
Shares of common stock repurchased | 51 | 236 | 816 | |
Cost of shares of common stock repurchased | $ 1,056 | $ 4,826 | $ 14,948 |
Noncontrolling Interest (Detail
Noncontrolling Interest (Details) - USD ($) shares in Thousands, $ in Thousands | Nov. 01, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 |
Net income and the effects of changes in noncontrolling interest | |||||
Net income attributable to PennyMac Financial Services, Inc. common stockholders | $ 121,473 | $ 14,489 | $ 240,304 | $ 48,945 | |
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 | $ 32,501 | |||
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 (in shares) | 131 | 1,616 | |||
New PFSI | Class A Unit | |||||
Noncontrolling Interest [Line Items] | |||||
Common stock conversion ratio (as a percent) | 100.00% | ||||
Noncontrolling interest in Private National Mortgage Acceptance Company, LLC | |||||
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. | $ (4,377) | $ (32,502) |
Net Gains on Loans Held for S_3
Net Gains on Loans Held for Sale (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Cash loss: | ||||
Loans | $ (22,838) | $ (107,414) | $ (77,659) | $ (399,457) |
Hedging activities | (148,128) | (2,507) | (230,200) | 89,322 |
Cash gain (loss), net of effects of cash hedging, on sale of loans held for sale | (170,966) | (109,921) | (307,859) | (310,135) |
Non-cash gain: | ||||
Mortgage servicing rights and mortgage servicing liabilities resulting from loan sales | 227,256 | 147,259 | 518,706 | 443,056 |
Provision for losses relating to representations and warranties on loans sold pursuant to loan sales | (2,508) | (1,842) | (5,222) | (4,550) |
Provision for losses relating to representations and warranties on loans sold reduction in liability due to change in estimate | 1,175 | 1,155 | 6,305 | 3,627 |
Change in fair value relating to loans and derivatives held at year end: | ||||
Interest rate lock commitments | 33,347 | (18,526) | 95,785 | (21,109) |
Loans | (5,822) | 6,897 | (35,508) | 21,407 |
Hedging derivatives | 92,588 | 13,327 | 72,838 | 11,100 |
From non-affiliates | 175,070 | 38,349 | 345,045 | 143,396 |
Recapture payable to PennyMac Mortgage Investment Trust | 60,662 | 18,565 | 122,996 | 45,878 |
Net gains on loans held for sale at fair value | $ 235,732 | $ 56,914 | $ 468,041 | $ 189,274 |
Net Interest Income (Details)
Net Interest Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Interest income: | ||||
Cash and short-term investments | $ 2,894 | $ 814 | $ 7,533 | $ 2,001 |
Loans held for sale at fair value | 35,800 | 34,941 | 101,509 | 95,982 |
Placement fees relating to custodial funds | 43,231 | 23,397 | 98,628 | 55,014 |
Interest income, excluding related parties | 81,925 | 59,152 | 207,670 | 152,997 |
Interest income | 83,452 | 60,964 | 212,685 | 158,683 |
Interest expense: | ||||
Assets sold under agreements to repurchase | 19,429 | 4,676 | 47,709 | 15,943 |
Mortgage loan participation purchase and sale agreements | 2,304 | 2,533 | 7,034 | 6,450 |
Notes payable | 17,525 | 21,369 | 53,559 | 55,939 |
Obligations under capital lease | 274 | 122 | 476 | 444 |
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations | 12,453 | 4,883 | 24,978 | 14,259 |
Interest on mortgage loan impound deposits | 2,104 | 1,452 | 4,967 | 3,517 |
Interest expense, non-affiliates | 54,089 | 35,035 | 138,723 | 96,552 |
Interest expense | 56,380 | 38,775 | 146,847 | 108,136 |
Net interest income | 27,072 | 22,189 | 65,838 | 50,547 |
PMT | ||||
Interest income: | ||||
From PennyMac Mortgage Investment Trust | 1,527 | 1,812 | 5,015 | 5,686 |
Interest expense: | ||||
To PennyMac Mortgage Investment Trust Excess servicing spread financing at fair value | 2,291 | 3,740 | 8,124 | 11,584 |
Assets sold under agreements to repurchase | ||||
Interest expense: | ||||
Assets sold under agreements to repurchase | 19,429 | 4,676 | 47,709 | 15,943 |
Incentives recorded | $ 1,600 | $ 12,800 | $ 14,700 | $ 35,500 |
Stock-based Compensation (Detai
Stock-based Compensation (Details) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Stock-Based Compensation | ||||
Grant date fair value | $ 102 | $ 100 | $ 25,865 | $ 26,741 |
Stock-based compensation expense | $ 8,941 | $ 8,532 | $ 19,124 | $ 20,766 |
Stock Options | ||||
Stock-Based Compensation | ||||
Granted (in units) | 344 | 674 | ||
Grant date fair value | $ 2,965 | $ 6,147 | ||
Exercised (in units) | 127 | 55 | 245 | 285 |
Performance-based RSUs | ||||
Stock-Based Compensation | ||||
Granted (in units) | 665 | 524 | ||
Grant date fair value | $ 15,253 | $ 12,791 | ||
Vested (in units) | 648 | 774 | ||
Time-based RSUs | ||||
Stock-Based Compensation | ||||
Granted (in units) | 4 | 5 | 334 | 321 |
Grant date fair value | $ 102 | $ 100 | $ 7,647 | $ 7,803 |
Vested (in units) | 3 | 1 | 294 | 245 |
Earnings Per Share of Common _3
Earnings Per Share of Common Stock (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | Nov. 01, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 |
Basic earnings per share of common stock: | |||||
Net income attributable to common stockholders | $ 121,473 | $ 14,489 | $ 240,304 | $ 48,945 | |
Weighted-average common stock outstanding | 78,361 | 25,125 | 78,119 | 24,644 | |
Basic earnings per share of common stock (in dollars per share) | $ 1.55 | $ 0.58 | $ 3.08 | $ 1.99 | |
Diluted earnings per share of common stock: | |||||
Net income attributable to common stockholders | $ 121,473 | $ 14,489 | $ 240,304 | $ 48,945 | |
Net income attributable to dilutive stock-based compensation units | 552 | 2,435 | |||
Effect of net income attributable to noncontrolling interest, net of tax | 29,580 | 101,921 | |||
Net income attributable to common stockholders for diluted earnings per share | $ 121,473 | $ 44,621 | $ 240,304 | $ 153,301 | |
Weighted-average common stock outstanding applicable to basic earnings per share | 78,361 | 25,125 | 78,119 | 24,644 | |
Effect of dilutive shares: | |||||
Common shares issuable under stock-based compensation plan | $ 2,021 | $ 1,476 | $ 1,702 | $ 1,818 | |
PennyMac Class A units exchangeable to common stock | 52,312 | 52,492 | |||
Weighted-average shares of common stock outstanding applicable to diluted earnings per share | 80,382 | 78,913 | 79,821 | 78,954 | |
Diluted earnings per share of common stock (in dollars per share) | $ 1.51 | $ 0.57 | $ 3.01 | $ 1.94 | |
Total anti-dilutive shares and units | 1,723 | 2,466 | 1,873 | 1,833 | |
Performance-based RSUs | |||||
Effect of dilutive shares: | |||||
Total anti-dilutive shares and units | 1,157 | 1,172 | 985 | 1,060 | |
Stock Options | |||||
Effect of dilutive shares: | |||||
Total anti-dilutive shares and units | 566 | 1,208 | 888 | 705 | |
Weighted-average exercise price of anti-dilutive stock options | $ 23.50 | $ 17.79 | $ 23.98 | $ 17.79 | |
Time-based RSUs | |||||
Effect of dilutive shares: | |||||
Total anti-dilutive shares and units | 86 | 68 | |||
Class A Unit | New PFSI | |||||
Common stock conversion ratio (as a percent) | 100.00% |
Supplemental Cash Flow Inform_3
Supplemental Cash Flow Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Cash paid for interest | $ 125,987 | $ 123,622 | ||
Cash paid for income taxes (refunds received), net | 5,761 | (1,541) | ||
Non-cash investing activity: | ||||
Mortgage servicing rights resulting from loan sales | 545,839 | 448,604 | ||
Mortgage servicing liabilities resulting from loan sales | 27,133 | 5,548 | ||
Unsettled portion of MSR acquisitions | 13,501 | |||
Operating right-of-use assets recognized | $ 1,929 | 60,642 | ||
Non-cash financing activity: | ||||
Issuance of Excess servicing spread payable to PennyMac Mortgage Investment Trust pursuant to a recapture agreement | 1,327 | 1,983 | ||
Issuance of Class A common stock and common stock in settlement of director fees | $ 48 | $ 85 | $ 184 | $ 245 |
Regulatory Capital and Liquid_3
Regulatory Capital and Liquidity Requirements (Details) - USD ($) | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2019 | Dec. 31, 2015 | Dec. 31, 2018 | |
Fannie Mae / Freddie Mac - PLS | |||
Regulatory Net Worth and Agency Capital Requirements | |||
Net worth | $ 2,062,630,000 | $ 1,788,430,000 | |
Capital Requirement | 572,167,000 | 514,089,000 | |
Liquidity | 282,056,000 | 271,802,000 | |
Liquidity requirement | $ 78,240,000 | $ 70,775,000 | |
Tangible net worth / Total assets ratio actual | 19.00% | 21.00% | |
Tangible net worth / Total assets ratio requirement | 6.00% | 6.00% | |
Ginnie Mae - PLS | |||
Regulatory Net Worth and Agency Capital Requirements | |||
Net worth | $ 1,718,072,000 | $ 1,535,826,000 | |
Capital Requirement | 852,256,000 | 733,342,000 | |
Liquidity | 282,056,000 | 271,802,000 | |
Liquidity requirement | 211,021,000 | 189,592,000 | |
Ginnie Mae - PennyMac | |||
Regulatory Net Worth and Agency Capital Requirements | |||
Net worth | 2,006,339,000 | 1,786,430,000 | |
Capital Requirement | 937,482,000 | 806,676,000 | |
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 | 1,718,072,000 | 1,535,826,000 | |
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 (Details)
Segments (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2019USD ($) | Sep. 30, 2018USD ($) | Sep. 30, 2019USD ($)segment | Sep. 30, 2018USD ($) | Dec. 31, 2018USD ($) | |
Segments and Related Information | |||||
Number of segments | segment | 3 | ||||
Revenues: | |||||
Net gains on loans held for sale at fair value | $ 235,732 | $ 56,914 | $ 468,041 | $ 189,274 | |
Loan origination fees | 49,434 | 26,485 | 110,288 | 75,476 | |
Net loan servicing fees | 66,229 | 109,703 | 205,934 | 340,181 | |
Net interest income (expense): | |||||
Interest income | 83,452 | 60,964 | 212,685 | 158,683 | |
Interest expense, before non-segment activities | 56,380 | 38,775 | 146,847 | 108,136 | |
Net interest expense, before non-segment activities | 27,072 | 22,189 | 65,838 | 50,547 | |
Management fees | 10,098 | 6,471 | 26,178 | 17,910 | |
Other | 2,633 | 2,928 | 8,437 | 7,646 | |
Total net revenues, before non-segment activities | 436,347 | 250,929 | 987,029 | 733,428 | |
Expenses | 270,150 | 189,232 | 660,951 | 524,037 | |
Income before provision for income taxes | 166,197 | 61,697 | 326,078 | 209,391 | |
Assets: | |||||
Segment assets at year end | 9,303,199 | 6,993,020 | 9,303,199 | 6,993,020 | $ 7,478,573 |
PMT | |||||
Revenues: | |||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 45,149 | 26,256 | 102,313 | 52,759 | |
Net interest income (expense): | |||||
Management fees | 10,098 | 6,482 | 26,178 | 17,906 | |
Assets: | |||||
Receivable | 39,744 | $ 39,744 | $ 33,464 | ||
Investment Funds | |||||
Net interest income (expense): | |||||
Management fees | (11) | 4 | |||
Carried Interest from Investment Funds | (17) | (365) | |||
Mortgage banking | |||||
Segments and Related Information | |||||
Number of segments | segment | 2 | ||||
Operating segment | |||||
Assets: | |||||
Segment assets at year end | 9,303,199 | 6,993,020 | $ 9,303,199 | 6,993,020 | |
Working capital | 1,800 | 1,800 | |||
Receivable | 2,300 | 2,300 | |||
Operating segment | Investment management | |||||
Net interest income (expense): | |||||
Interest income | 16 | 16 | |||
Interest expense, before non-segment activities | 21 | 10 | 39 | 41 | |
Net interest expense, before non-segment activities | (21) | 6 | (39) | (25) | |
Management fees | 10,098 | 6,471 | 26,178 | 17,910 | |
Other | 1,742 | 1,478 | 4,844 | 4,221 | |
Total net revenues, before non-segment activities | 11,819 | 7,938 | 30,983 | 21,741 | |
Expenses | 6,792 | 5,481 | 19,815 | 17,221 | |
Income before provision for income taxes | 5,027 | 2,457 | 11,168 | 4,520 | |
Assets: | |||||
Segment assets at year end | 19,281 | 11,996 | 19,281 | 11,996 | |
Operating segment | Investment management | Investment Funds | |||||
Net interest income (expense): | |||||
Carried Interest from Investment Funds | (17) | (365) | |||
Operating segment | Mortgage banking | |||||
Revenues: | |||||
Net gains on loans held for sale at fair value | 235,732 | 56,914 | 468,041 | 189,274 | |
Loan origination fees | 49,434 | 26,485 | 110,288 | 75,476 | |
Net loan servicing fees | 66,229 | 109,703 | 205,934 | 340,181 | |
Net interest income (expense): | |||||
Interest income | 83,452 | 60,948 | 212,685 | 158,667 | |
Interest expense, before non-segment activities | 56,359 | 38,765 | 146,808 | 108,095 | |
Net interest expense, before non-segment activities | 27,093 | 22,183 | 65,877 | 50,572 | |
Other | 891 | 1,450 | 3,593 | 3,425 | |
Total net revenues, before non-segment activities | 424,528 | 242,991 | 956,046 | 711,687 | |
Expenses | 263,358 | 183,751 | 641,136 | 506,816 | |
Income before provision for income taxes | 161,170 | 59,240 | 314,910 | 204,871 | |
Assets: | |||||
Segment assets at year end | 9,283,918 | 6,981,024 | 9,283,918 | 6,981,024 | |
Operating segment | Mortgage banking | PMT | |||||
Revenues: | |||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 45,149 | 26,256 | 102,313 | 52,759 | |
Operating segment | Mortgage banking Production | |||||
Revenues: | |||||
Net gains on loans held for sale at fair value | 216,132 | 34,947 | 407,713 | 105,111 | |
Loan origination fees | 49,434 | 26,485 | 110,288 | 75,476 | |
Net interest income (expense): | |||||
Interest income | 22,445 | 17,013 | 55,714 | 48,135 | |
Interest expense, before non-segment activities | 18,423 | 1,274 | 36,236 | 4,401 | |
Net interest expense, before non-segment activities | 4,022 | 15,739 | 19,478 | 43,734 | |
Other | 324 | 645 | 929 | 1,497 | |
Total net revenues, before non-segment activities | 315,061 | 104,072 | 640,721 | 278,577 | |
Expenses | 135,777 | 78,405 | 316,187 | 216,722 | |
Income before provision for income taxes | 179,284 | 25,667 | 324,534 | 61,855 | |
Assets: | |||||
Segment assets at year end | 4,850,741 | 2,168,126 | 4,850,741 | 2,168,126 | |
Operating segment | Mortgage banking Production | PMT | |||||
Revenues: | |||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 45,149 | 26,256 | 102,313 | 52,759 | |
Operating segment | Mortgage banking Servicing | |||||
Revenues: | |||||
Net gains on loans held for sale at fair value | 19,600 | 21,967 | 60,328 | 84,163 | |
Net loan servicing fees | 66,229 | 109,703 | 205,934 | 340,181 | |
Net interest income (expense): | |||||
Interest income | 61,007 | 43,935 | 156,971 | 110,532 | |
Interest expense, before non-segment activities | 37,936 | 37,491 | 110,572 | 103,694 | |
Net interest expense, before non-segment activities | 23,071 | 6,444 | 46,399 | 6,838 | |
Other | 567 | 805 | 2,664 | 1,928 | |
Total net revenues, before non-segment activities | 109,467 | 138,919 | 315,325 | 433,110 | |
Expenses | 127,581 | 105,346 | 324,949 | 290,094 | |
Income before provision for income taxes | (18,114) | 33,573 | (9,624) | 143,016 | |
Assets: | |||||
Segment assets at year end | $ 4,433,177 | $ 4,812,898 | $ 4,433,177 | $ 4,812,898 |
Subsequent Events (Details)
Subsequent Events (Details) | Oct. 31, 2019$ / shares |
Subsequent Event | |
Subsequent Event | |
Dividends declared (in dollars per share) | $ 0.12 |