Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2020 | May 06, 2020 | |
Document and Entity Information | ||
Entity Registrant Name | PennyMac Financial Services, Inc. | |
Entity Central Index Key | 0001745916 | |
Document Type | 10-Q | |
Document Period End Date | Mar. 31, 2020 | |
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 | 79,232,448 | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Document Fiscal Year Focus | 2020 | |
Document Fiscal Period Focus | Q1 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
ASSETS | ||
Cash (includes $773,361 and $52,599 pledged to creditors) | $ 878,826 | $ 188,291 |
Short-term investments at fair value | 1,884 | 74,611 |
Loans held for sale at fair value (includes $5,493,332 and $4,846,138 pledged to creditors) | 5,541,987 | 4,912,953 |
Derivative assets | 433,211 | 159,686 |
Servicing advances, net (includes valuation allowance of $80,784 and $82,157; $182,531 and $207,460 pledged to creditors) | 299,550 | 331,169 |
Mortgage servicing rights at fair value (includes $2,163,928 and $2,920,603 pledged to creditors) | 2,193,697 | 2,926,790 |
Real estate acquired in settlement of loans | 20,197 | 20,326 |
Operating lease right-of-use assets | 71,639 | 73,090 |
Furniture, fixtures, equipment and building improvements, net (includes $7,392 and $20,406 pledged to creditors) | 29,177 | 30,480 |
Capitalized software, net (includes $10,606 and $12,192 pledged to creditors) | 74,183 | 63,130 |
Loans eligible for repurchase | 980,618 | 1,046,527 |
Other | 209,378 | 219,621 |
Total assets | 10,891,133 | 10,204,017 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 4,444,545 | 4,141,053 |
Mortgage loans participation purchase and sale agreements | 528,750 | 497,948 |
Obligations under capital lease | 18,145 | 20,810 |
Notes payable secured by mortgage servicing assets | 1,294,514 | 1,294,070 |
Derivative liabilities | 43,152 | 22,330 |
Operating lease liabilities | 89,829 | 91,320 |
Accounts payable and accrued expenses | 198,897 | 175,273 |
Mortgage servicing liabilities at fair value | 29,761 | 29,140 |
Income taxes payable | 613,043 | 504,569 |
Liability for loans eligible for repurchase | 980,618 | 1,046,527 |
Liability for losses under representations and warranties | 23,202 | 21,446 |
Total liabilities | 8,527,004 | 8,142,510 |
Commitments and contingencies - Note 14 | ||
STOCKHOLDERS' EQUITY | ||
Additional paid-in capital | 1,341,219 | 1,335,107 |
Retained earnings | 1,022,902 | 726,392 |
Total stockholders' equity | 2,364,129 | 2,061,507 |
Total liabilities and stockholders' equity | 10,891,133 | 10,204,017 |
Common Stock | ||
STOCKHOLDERS' EQUITY | ||
Common stock - authorized 200,000,000 shares of $0.0001 par value; issued and outstanding, 79,190,245 and 78,515,047 shares respectively | 8 | 8 |
PMT | ||
ASSETS | ||
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell pledged to creditors | 99,766 | 107,512 |
Investment in PennyMac Mortgage Investment Trust at fair value | 797 | 1,672 |
Receivable, from PennyMac Investment Trust | 56,223 | 48,159 |
LIABILITIES | ||
Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value | 157,109 | 178,586 |
Payable to PennyMac Mortgage Investment Trust | 59,281 | 73,280 |
Private National Mortgage Acceptance Company, LLC | ||
LIABILITIES | ||
Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | $ 46,158 | $ 46,158 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Cash pledged to creditors | $ 773,361 | $ 52,599 |
Mortgage loans held for sale, pledged to creditors | 5,493,332 | 4,846,138 |
Servicing advances, net, valuation allowance | 80,784 | 82,157 |
Servicing advances pledged to creditors | 182,531 | 207,460 |
Mortgage servicing rights, at fair value | 2,163,928 | 2,920,603 |
Furniture, fixtures, equipment and building improvements pledged to creditors | 7,392 | 20,406 |
Capitalized software pledged to creditors | $ 10,606 | $ 12,192 |
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 | 79,190,245 | 78,515,047 |
Common stock, shares outstanding | 79,190,245 | 78,515,047 |
CONSOLIDATED STATEMENTS OF INCO
CONSOLIDATED STATEMENTS OF INCOME - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Net gains on loans held for sale at fair value: | ||
From non-affiliates | $ 266,366 | $ 58,753 |
Net gains on loans held for sale at fair value | 344,282 | 84,776 |
Loan origination fees from non-affiliates | 53,591 | 21,687 |
Loan origination fees | 57,571 | 23,930 |
Loan servicing fees | ||
From non-affiliates and affiliates | 198,653 | 166,790 |
Other | 28,755 | 22,017 |
Loan servicing fees | 241,929 | 199,377 |
Amortization, impairment and change in fair value of mortgage servicing rights and mortgage servicing liabilities | 1,357 | (122,857) |
Change in fair value of excess servicing spread payable to PennyMac Mortgage Investment Trust | 15,879 | (118,806) |
Net loan servicing fees | 257,808 | 80,571 |
Interest income: | ||
From non-affiliates | 71,346 | 56,537 |
Interest income | 72,564 | 58,333 |
Interest expense: | ||
To non-affiliates | 59,538 | 34,477 |
Interest expense | 61,512 | 37,543 |
Net interest income | 11,052 | 20,790 |
Management fees, net: | ||
Management fees | 9,055 | 7,248 |
Result of real estate acquired in settlement of loans | (707) | 274 |
Other | 1,681 | 2,350 |
Total net revenue | 721,825 | 247,705 |
Expenses | ||
Compensation | 168,436 | 106,600 |
Loan origination | 46,004 | 14,497 |
Servicing | 42,166 | 30,293 |
Technology | 19,107 | 15,966 |
Professional services | 13,404 | 5,881 |
Occupancy and equipment | 8,038 | 6,776 |
Other | 9,940 | 7,401 |
Total expenses | 307,095 | 187,414 |
Income before provision for income taxes | 414,730 | 60,291 |
Provision for income taxes | 108,487 | 14,156 |
Net income attributable to PennyMac Financial Services, Inc. common stockholders | $ 306,243 | $ 46,135 |
Earnings per share | ||
Basic (in dollars per share) | $ 3.89 | $ 0.59 |
Diluted (in dollars per share) | $ 3.73 | $ 0.58 |
Weighted-average shares outstanding | ||
Basic (in shares) | 78,689 | 77,653 |
Diluted (in shares) | 82,008 | 79,286 |
Dividend declared per share (in dollars per share) | $ 0.12 | |
PMT | ||
Net gains on loans held for sale at fair value: | ||
From PennyMac Mortgage Investment Trust | $ 77,916 | $ 26,023 |
Loan origination fees from PennyMac Mortgage Investment Trust | 3,980 | 2,243 |
Fulfillment fees from PennyMac Mortgage Investment Trust | 41,940 | 27,574 |
Loan servicing fees | ||
From non-affiliates and affiliates | 14,521 | 10,570 |
Changes in fair value included in income | 14,522 | 4,051 |
Interest income: | ||
From PennyMac Mortgage Investment Trust | 1,218 | 1,796 |
Interest expense: | ||
To PennyMac Mortgage Investment Trust | 1,974 | 3,066 |
Management fees, net: | ||
Management fees | 9,055 | 7,248 |
Change in fair value of investment in and dividends received from affiliate | $ (857) | $ 192 |
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 |
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 | 46,135 | 46,135 | $ 46,135 | ||||
Stock based compensation | 1,180 | 1,180 | |||||
Stock based compensation (in shares) | 820 | ||||||
Issuance of common stock in settlement of director fees | 86 | 86 | 86 | ||||
Issuance of common stock in settlement of director fees (in shares) | 4 | ||||||
Balance at Mar. 31, 2019 | $ 8 | 1,311,914 | 389,270 | $ 1,701,192 | |||
Balance (in shares) at Mar. 31, 2019 | 78,318 | ||||||
Balance at Dec. 31, 2019 | $ 8 | 1,335,107 | 726,392 | 2,061,507 | |||
Balance (in shares) at Dec. 31, 2019 | 78,515 | ||||||
Changes in stockholders' equity | |||||||
Net income | 306,243 | 306,243 | |||||
Stock based compensation | 10,185 | 10,185 | |||||
Stock based compensation (in shares) | 912 | ||||||
Common stock dividends | (9,733) | (9,733) | |||||
Issuance of common stock in settlement of director fees | 48 | 48 | |||||
Issuance of common stock in settlement of director fees (in shares) | 1 | ||||||
Repurchase of common stock | (4,121) | $ (4,121) | (4,121) | ||||
Repurchase of common stock (in shares) | (238) | (238) | |||||
Balance at Mar. 31, 2020 | $ 8 | $ 1,341,219 | $ 1,022,902 | $ 2,364,129 | |||
Balance (in shares) at Mar. 31, 2020 | 79,190 |
CONSOLIDATED STATEMENTS OF CH_2
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (Parenthetical) | 3 Months Ended |
Mar. 31, 2020$ / shares | |
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY | |
Common Stock dividends (in dollars per share) | $ 0.12 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Cash flow from operating activities | ||
Net income | $ 306,243 | $ 46,135 |
Adjustments to reconcile net income to net cash used in operating activities: | ||
Net gains on loans held for sale at fair value | (344,282) | (84,776) |
Change in fair value of mortgage servicing rights, mortgage servicing liabilities and excess servicing spread | (15,879) | 118,806 |
Capitalization of interest on loans held for sale at fair value | (18,131) | (16,487) |
Amortization of net debt issuance cost and (premiums) | 2,209 | (6,570) |
Results of real estate acquired in settlement of loans | 707 | (274) |
Stock based compensation expense | 12,368 | 4,531 |
Provision for servicing advance losses | 3,806 | 4,820 |
Depreciation and amortization | 5,352 | 3,159 |
Amortization of right-to-use assets | 2,985 | 2,359 |
Origination of loans held for sale | (4,954,316) | (1,542,056) |
Purchase of loans held for sale from non-affiliates | (620,859) | (177,678) |
Purchase of loans from Ginnie Mae securities and early buyout investors for modification and subsequent sale | (2,299,262) | (941,154) |
Sale to non-affiliates and principal payments of loans held for sale | 19,337,017 | 8,536,430 |
Repurchase of loans subject to representations and warranties | (16,282) | (4,064) |
Settlement of repurchase agreement derivatives | 11,436 | |
Increase in servicing advances | 18,467 | 24,087 |
Sale of real estate acquired in settlement of loans | 9,459 | 2,075 |
Decrease (increase) in other assets | 628 | (38,676) |
Decrease in operating lease liabilities | (3,469) | (2,977) |
Increase in accounts payable and accrued expenses | 21,866 | 10,483 |
Net cash (used in) operating activities | (730,284) | (134,247) |
Cash flow from investing activities | ||
Decrease (increase) in short-term investments | 72,727 | (31,548) |
Net settlement of derivative financial instruments used for hedging of mortgage servicing rights | 942,005 | 125,695 |
Purchase of mortgage servicing rights | (24,104) | (211,481) |
Purchase of furniture, fixtures, equipment and leasehold improvements | (994) | (2,126) |
Acquisition of capitalized software | (14,108) | (6,750) |
Decrease in margin deposits | 132,953 | 28,343 |
Net cash provided by (used in) investing activities | 1,116,225 | (92,771) |
Cash flow from financing activities | ||
Sale of assets under agreements to repurchase | 20,510,531 | 8,382,013 |
Repurchase of assets sold under agreements to repurchase | (20,205,416) | (8,164,625) |
Issuance of mortgage loan participation purchase and sale certificates | 5,273,329 | 5,555,946 |
Repayment of mortgage loan participation purchase and sale certificates | (5,242,527) | (5,540,374) |
Repayments of obligations under capital lease | (2,665) | (1,514) |
Repayment of excess servicing spread financing | (9,308) | (10,552) |
Payment of debt issuance costs | (3,388) | (1,536) |
Issuance of common stock pursuant to exercise of stock options | 3,082 | 1,283 |
Repurchase of common stock | (4,121) | |
Payment of withholding taxes relating to stock-based compensation | (5,265) | (4,634) |
Payment of dividend to holders of common stock | (9,733) | |
Net cash provided by (used in) financing activities | 304,519 | 216,007 |
Net increase (decrease) in cash and restricted cash | 690,460 | (11,011) |
Cash and restricted cash at beginning of quarter | 188,578 | 155,924 |
Cash and restricted cash at end of quarter | 879,038 | 144,913 |
Cash | 878,826 | 144,266 |
Restricted cash included in Other assets | 212 | 647 |
PMT | ||
Adjustments to reconcile net income to net cash used in operating activities: | ||
Accrual of interest on excess servicing spread financing payable to PennyMac Mortgage Investment Trust | 1,974 | 3,066 |
Change in fair value of investment in common shares of PennyMac Mortgage Investment Trust | 875 | (156) |
Purchase of loans held for sale from PennyMac Mortgage Investment Trust | (14,509,209) | (6,959,389) |
Sale of loans held for sale to Penny Mac Mortgage Investment Trust | 2,246,127 | 884,510 |
(Increase) decrease in receivable from affiliates | (10,133) | 2,775 |
Decrease in payable to affiliate | (17,019) | (28,752) |
Increase in income taxes payable | 108,474 | 14,090 |
Cash flow from investing activities | ||
Net change in assets purchased from PMT under agreement to resell | $ 7,746 | $ 5,096 |
Organization
Organization | 3 Months Ended |
Mar. 31, 2020 | |
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 PennyMac Mortgage Investment Trust (“PMT”), a real estate mortgage investment trust that invests primarily mortgage-related assets. PennyMac’s primary wholly owned subsidiaries are: · 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”). · 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 has an investment management agreement with PMT, which invests in mortgage-related assets and residential mortgage loans. |
Basis of Presentation and Recen
Basis of Presentation and Recently Adopted Accounting Pronouncements | 3 Months Ended |
Mar. 31, 2020 | |
Basis of Presentation and Recently Adopted Accounting Pronouncements | |
Basis of Presentation and Recently Adopted Accounting Pronouncements | Note 2—Basis of Presentation and Recently Adopted Accounting Pronouncement 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 Securities and Exchange Commission’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, 2019. 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, 2020, the Company adopted FASB Accounting Standards Update 2016-13, Financial Instruments-Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments , as amended (“ASU 2016-13”), using the modified retrospective approach. The adoption of ASU 2016-13 did not have any effect on the Company’s consolidated statements of income, stockholder’s equity or cash flows. |
Concentration of Risk
Concentration of Risk | 3 Months Ended |
Mar. 31, 2020 | |
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 origination and fulfillment fees, loan servicing fees, change in fair value of excess servicing spread financing (“ESS”), management fees, net interest, and change in fair value of investment in and dividends received from PMT) totaled 22% and 31% of total net revenue for the quarters ended March 31, 2020 and 2019, respectively. |
Transactions with Affiliates
Transactions with Affiliates | 3 Months Ended |
Mar. 31, 2020 | |
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. The Company has typically utilized the mortgage loan purchase agreement for the purpose of selling to PMT conforming balance non-government insured or guaranteed loans, as well as prime jumbo residential mortgage loans. 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. The Company purchases these mortgage loans “as is” and without recourse of any kind from PMT; however, where the Company has a claim for repurchase, indemnity or otherwise as against a correspondent seller, the Company is entitled, at its sole expense, to pursue any such claim through or in the name of PMT. Following is a summary of loan production activities, including MSR recapture between the Company and PMT: Quarter ended March 31, 2020 2019 (in thousands) Net gains on loans held for sale at fair value: Net gains on loans held for sale to PMT $ 81,224 $ 27,146 Mortgage servicing rights and excess servicing spread recapture incurred (3,308) (1,123) $ 77,916 $ 26,023 Sale of loans held for sale to PMT $ 2,246,127 $ 884,510 Tax service fees earned from PMT included in Loan origination fees $ 3,980 $ 2,243 Fulfillment fee revenue $ 41,940 $ 27,574 Unpaid principal balance of loans fulfilled for PMT subject to fulfillment fees $ 16,152,543 $ 8,135,552 Sourcing fees paid to PMT $ 4,161 $ 1,994 Unpaid principal balance of loans purchased from PMT $ 13,870,280 $ 6,647,338 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. Prime Servicing · 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. · To the extent that these non-distressed loans become delinquent, the Company is entitled to an additional servicing fee per loan ranging from $10 to $55 per month and based on the delinquency, bankruptcy and foreclosure status of the loan or $75 per month if the underlying mortgaged property becomes REO. The Company is also entitled to customary ancillary income and certain market-based fees and charges, including boarding and deboarding fees, liquidation and disposition fees, assumption, modification and origination fees. Special Servicing · 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. · 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 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. · 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. · 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 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 March 31, 2020 2019 (in thousands) Loan type serviced: Loans acquired for sale at fair value $ 536 $ 239 Loans at fair value 300 463 Mortgage servicing rights 13,685 9,868 $ 14,521 $ 10,570 Property management fees received from PMT included in Other income $ — $ 123 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 March 31, 2020 2019 (in thousands) Base management $ 9,055 $ 6,109 Performance incentive — 1,139 $ 9,055 $ 7,248 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 March 31, 2020 2019 (in thousands) Reimbursement of: Common overhead incurred by the Company $ 1,540 $ 1,236 Compensation 120 120 Expenses incurred on PMT's behalf, net 1,271 570 $ 2,931 $ 1,926 Payments and settlements during the quarter (1) $ 33,683 $ 15,189 (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 $211,000 and $75,000 in reimbursement of underwriting fees from PMT during the quarters ended March 31, 2020 and 2019, respectively. 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 March 31, 2020 2019 (in thousands) Interest income relating to Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 1,218 $ 1,796 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Dividends received $ 18 $ 36 Change in fair value of investment (875) 156 $ (857) $ 192 March 31, December 31, 2020 2019 (in thousands) Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 99,766 $ 107,512 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Fair value $ 797 $ 1,672 Number of shares 75 75 Financing Activities Spread Acquisition and MSR Servicing Agreements The Company has a master spread acquisition and MSR servicing agreement with PMT (the “Spread Acquisition Agreement”) which was amended and restated effective December 19, 2016, 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 March 31, 2020 2019 (in thousands) Excess servicing spread financing: Issuance pursuant to recapture agreement $ 379 $ 508 Repayment $ 9,308 $ 10,552 Gain recognized $ 14,522 $ 4,051 Interest expense $ 1,974 $ 3,066 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 $ 381 $ 489 March 31, December 31, 2020 2019 (in thousands) Excess servicing spread financing at fair value $ 157,109 $ 178,586 Receivable from and Payable to PMT Amounts receivable from and payable to PMT are summarized below: March 31, December 31, 2020 2019 (in thousands) Receivable from PMT: Fulfillment fees $ 17,366 $ 18,285 Allocated expenses and expenses incurred on PMT's behalf 16,314 3,724 Management fees 9,055 10,579 Correspondent production fees 8,475 10,606 Servicing fees 4,929 4,659 Interest on assets purchased under agreements to resell 74 85 Conditional reimbursement 10 221 $ 56,223 $ 48,159 Payable to PMT: Amounts advanced by PMT to fund its servicing advances $ 55,769 $ 70,520 Mortgage servicing rights recapture payable 151 149 Other 3,361 2,611 $ 59,281 $ 73,280 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 a reorganization in November 2018 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. Based on the PennyMac unitholder exchanges to date, the Company has recorded a $46.2 million Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement as of March 31, 2020 and December 31, 2019. The Company did not make any payments under the tax receivable agreement during the quarters ended March 31, 2020 and 2019. |
Loan Sales and Servicing Activi
Loan Sales and Servicing Activities | 3 Months Ended |
Mar. 31, 2020 | |
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 March 31, 2020 2019 (in thousands) Cash flows: Sales proceeds $ 19,337,017 $ 8,536,430 Servicing fees received (1) $ 166,556 $ 137,148 Net servicing advance recoveries $ 15,209 $ 24,176 (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 in the form of owned servicing obligations: March 31, December 31, 2020 2019 (in thousands) Unpaid principal balance of loans outstanding $ 175,709,882 $ 168,842,011 Delinquencies: 30-89 days $ 8,314,858 $ 7,947,560 90 days or more: Not in foreclosure $ 2,837,903 $ 3,237,563 In foreclosure $ 832,922 $ 888,136 Foreclosed $ 18,541 $ 15,387 Bankruptcy $ 1,364,331 $ 1,343,816 The following tables summarize the UPB of the Company’s loan servicing portfolio: March 31, 2020 Contract Servicing servicing and Total rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 175,709,882 $ — $ 175,709,882 Purchased 58,410,013 — 58,410,013 234,119,895 — 234,119,895 PennyMac Mortgage Investment Trust — 144,830,043 144,830,043 Loans held for sale 5,276,688 — 5,276,688 $ 239,396,583 $ 144,830,043 $ 384,226,626 Subserviced for the Company (1) $ 2,343,828 $ — $ 2,343,828 Delinquent loans: 30 days $ 8,707,825 $ 1,031,940 $ 9,739,765 60 days 2,131,137 157,325 2,288,462 90 days or more: Not in foreclosure 3,977,080 302,515 4,279,595 In foreclosure 1,088,058 58,922 1,146,980 Foreclosed 23,023 68,125 91,148 $ 15,927,123 $ 1,618,827 $ 17,545,950 Bankruptcy $ 1,943,407 $ 146,205 $ 2,089,612 Custodial funds managed by the Company (2) $ 7,576,973 $ 3,935,103 $ 11,512,076 (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. December 31, 2019 Contract Servicing servicing and Total rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 168,842,011 $ — $ 168,842,011 Purchased 59,703,547 — 59,703,547 228,545,558 — 228,545,558 PennyMac Mortgage Investment Trust — 135,414,668 135,414,668 Loans held for sale 4,724,006 — 4,724,006 $ 233,269,564 $ 135,414,668 $ 368,684,232 Delinquent loans: 30 days $ 7,987,132 $ 857,660 $ 8,844,792 60 days 2,490,797 172,263 2,663,060 90 days or more: Not in foreclosure 4,070,482 274,592 4,345,074 In foreclosure 1,113,806 68,331 1,182,137 Foreclosed 18,315 89,421 107,736 $ 15,680,532 $ 1,462,267 $ 17,142,799 Bankruptcy $ 1,898,367 $ 136,818 $ 2,035,185 Custodial funds managed by the Company (1) $ 6,412,291 $ 2,529,984 $ 8,942,275 (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. 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: March 31, December 31, State 2020 2019 (in thousands) California $ 58,058,528 $ 57,311,867 Florida 31,714,639 28,940,696 Texas 29,709,362 27,909,821 Virginia 22,531,313 22,115,619 Maryland 17,282,260 16,829,320 All other states 224,930,524 215,576,909 $ 384,226,626 $ 368,684,232 |
Fair Value
Fair Value | 3 Months Ended |
Mar. 31, 2020 | |
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 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: March 31, 2020 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 1,884 $ — $ — $ 1,884 Loans held for sale at fair value — 4,735,400 806,587 5,541,987 Derivative assets: Interest rate lock commitments — — 317,621 317,621 Repurchase agreement derivatives — — 8,187 8,187 Forward purchase contracts — 421,860 — 421,860 Forward sales contracts — 23,346 — 23,346 MBS put options — 4,062 — 4,062 Swaptions — 36,696 — 36,696 Put options on interest rate futures purchase contracts 13,676 — — 13,676 Call options on interest rate futures purchase contracts 24,434 — — 24,434 Total derivative assets before netting 38,110 485,964 325,808 849,882 Netting — — — (416,671) Total derivative assets 38,110 485,964 325,808 433,211 Mortgage servicing rights at fair value — — 2,193,697 2,193,697 Investment in PennyMac Mortgage Investment Trust 797 — — 797 $ 40,791 $ 5,221,364 $ 3,326,092 $ 8,171,576 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value $ — $ — $ 157,109 $ 157,109 Derivative liabilities: Interest rate lock commitments — — 2,427 2,427 Forward purchase contracts — 12,553 — 12,553 Forward sales contracts — 334,111 — 334,111 Total derivative liabilities before netting — 346,664 2,427 349,091 Netting — — — (305,939) Total derivative liabilities — 346,664 2,427 43,152 Mortgage servicing liabilities at fair value — — 29,761 29,761 $ — $ 346,664 $ 189,297 $ 230,022 December 31, 2019 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 74,611 $ — $ — $ 74,611 Loans held for sale at fair value — 4,529,075 383,878 4,912,953 Derivative assets: Interest rate lock commitments — — 138,511 138,511 Repurchase agreement derivatives — — 8,187 8,187 Forward purchase contracts — 12,364 — 12,364 Forward sales contracts — 17,097 — 17,097 MBS put options — 3,415 — 3,415 Swaptions — 2,409 — 2,409 Put options on interest rate futures purchase contracts 3,945 — — 3,945 Call options on interest rate futures purchase contracts 1,469 — — 1,469 Total derivative assets before netting 5,414 35,285 146,698 187,397 Netting — — — (27,711) Total derivative assets 5,414 35,285 146,698 159,686 Mortgage servicing rights at fair value — — 2,926,790 2,926,790 Investment in PennyMac Mortgage Investment Trust 1,672 — — 1,672 $ 81,697 $ 4,564,360 $ 3,457,366 $ 8,075,712 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value $ — $ — $ 178,586 $ 178,586 Derivative liabilities: Interest rate lock commitments — — 1,861 1,861 Forward purchase contracts — 19,040 — 19,040 Forward sales contracts — 18,045 — 18,045 Total derivative liabilities before netting — 37,085 1,861 38,946 Netting — — — (16,616) Total derivative liabilities — 37,085 1,861 22,330 Mortgage servicing liabilities at fair value — — 29,140 29,140 $ — $ 37,085 $ 209,587 $ 230,056 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 the quarters ended March 31, 2020 and 2019: Quarter ended March 31, 2020 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) Balance, December 31, 2019 $ 383,878 $ 136,650 $ 8,187 $ 2,926,790 $ 3,455,505 Purchases and issuances, net 1,641,231 341,980 — 25,760 2,008,971 Capitalization of interest and advances 18,027 — — — 18,027 Sales and repayments (738,928) — — — (738,928) Mortgage servicing rights resulting from loan sales — — — 282,315 282,315 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (7,523) — — — (7,523) Other factors — 199,918 — (1,041,168) (841,250) (7,523) 199,918 — (1,041,168) (848,773) Transfers from Level 3 to Level 2 (489,407) — — — (489,407) Transfers to real estate acquired in settlement of loans (691) — — — (691) Transfers of interest rate lock commitments to loans held for sale — (363,354) — — (363,354) Balance, March 31, 2020 $ 806,587 $ 315,194 $ 8,187 $ 2,193,697 $ 3,323,665 Changes in fair value recognized during the quarter relating to assets still held at March 31, 2020 $ (11,856) $ 315,194 $ — $ (1,041,168) $ (737,830) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended March 31, 2020 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, December 31, 2019 $ 178,586 $ 29,140 $ 207,726 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 379 — 379 Accrual of interest 1,974 — 1,974 Repayments (9,308) — (9,308) Mortgage servicing liabilities resulting from loan sales — 6,576 6,576 Changes in fair value included in income (14,522) (5,955) (20,477) Balance, March 31, 2020 $ 157,109 $ 29,761 $ 186,870 Changes in fair value recognized during the quarter relating to liabilities still outstanding at March 31, 2020 $ (14,522) $ (5,955) $ (20,477) Quarter ended March 31, 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 784,262 56,983 9,855 227,772 1,078,872 Sales and repayments (176,302) — (11,436) — (187,738) Mortgage servicing rights resulting from loan sales — — — 115,751 115,751 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (6,091) — — — (6,091) Other factors — 59,978 (557) (259,045) (199,624) (6,091) 59,978 (557) (259,045) (205,715) Transfers from Level 3 to Level 2 (405,163) — — — (405,163) Transfers to real estate acquired in settlement of loans (1,181) — — — (1,181) Transfers of interest rate lock commitments to loans held for sale — (100,234) — — (100,234) Balance, March 31, 2019 $ 455,533 $ 66,065 $ 24,632 $ 2,905,090 $ 3,451,320 Changes in fair value recognized during the quarter relating to assets still held at March 31, 2019 $ (3,540) $ 66,065 $ — $ (259,045) $ (196,520) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended March 31, 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 508 — 508 Accrual of interest 3,066 — 3,066 Repayments (10,552) — (10,552) Mortgage servicing liabilities resulting from loan sales — 794 794 Changes in fair value included in income (4,051) (1,631) (5,682) Balance, March 31, 2019 $ 205,081 $ 7,844 $ 212,925 Changes in fair value recognized during the quarter relating to liabilities still outstanding at March 31, 2019 $ (4,051) $ (1,631) $ (5,682) 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 March 31, 2020 2019 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 $ — $ 398,718 $ 398,718 $ — $ 101,995 $ 101,995 Mortgage servicing rights (1,041,168) — (1,041,168) (259,045) — (259,045) $ (1,041,168) $ 398,718 $ (642,450) $ (259,045) $ 101,995 $ (157,050) Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust $ 14,522 $ — $ 14,522 $ 4,051 $ — $ 4,051 Mortgage servicing liabilities 5,955 — 5,955 1,631 — 1,631 $ 20,477 $ — $ 20,477 $ 5,682 $ — $ 5,682 Following are the fair value and related principal amounts due upon maturity of loans held for sale accounted for under the fair value option: March 31, 2020 December 31, 2019 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 $ 4,907,823 $ 4,624,282 $ 283,541 $ 4,628,333 $ 4,431,854 $ 196,479 90 days or more delinquent: Not in foreclosure 547,287 560,331 (13,044) 236,650 241,958 (5,308) In foreclosure 86,877 92,075 (5,198) 47,970 50,194 (2,224) $ 5,541,987 $ 5,276,688 $ 265,299 $ 4,912,953 $ 4,724,006 $ 188,947 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) March 31, 2020 $ — $ — $ 11,104 $ 11,104 December 31, 2019 $ — $ — $ 9,850 $ 9,850 The following table summarizes the (losses) gains on assets measured at fair value on a nonrecurring basis: Quarter ended March 31, 2020 2019 (in thousands) Real estate acquired in settlement of loans $ (3,980) $ 21 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 secured by mortgage servicing assets 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 secured by mortgage servicing assets approximate their carrying values due to their short terms and/or variable interest rates. The Company estimates the fair value of the Term Notes based on non-affiliate broker indications of fair value. The fair value and carrying value of the Term Notes are summarized below: Term Notes March 31, 2020 December 31, 2019 (in thousands) Fair value $ 978,250 $ 1,303,047 Carrying value $ 1,294,514 $ 1,294,070 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, derivative liabilities and MSLs are “Level 3” fair value assets and liabilities which require use of unobservable inputs that are significant to the estimation of the items’ fair values. Unobservable inputs reflect the Company’s own judgments about the factors that market participants use in pricing an asset or liability, and are based on the best information available under the circumstances. Due to the difficulty in estimating the fair values of “Level 3” fair value assets and liabilities, 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 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: · 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 loan being at least three months delinquent on the date 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. · 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. · Home equity lines of credit held for sale to PMT. At present, an active market with observable inputs that are significant to the estimation of fair value of home equity lines of credit does not exist. 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 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: March 31, 2020 December 31, 2019 Fair value (in thousands) $ 806,587 $ 383,878 Key inputs (1): Discount rate: Range 2.9% – 9.2% 3.0% – 9.2% Weighted average 2.9% 3.0% Twelve-month projected housing price index change: Range 1.4% – 2.1% 2.6% – 3.2% Weighted average 1.6% 2.8% Voluntary prepayment/resale speed (2): Range 0.4% – 21.2% 0.4% – 21.4% Weighted average 18.8% 18.2% Total prepayment speed (3): Range 0.6% – 38.2% 0.5% – 39.2% Weighted average 37.0% 36.2% (1) Weighted average inputs are based on the fair value of the “Level 3” 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, which includes both voluntary and involuntary prepayments/resale and defaults. Changes in fair value of loans held for sale attributable to changes in the loan’s instrument-specific credit risk are measured with reference to the change in the respective loan’s delinquency status and performance history at period end from the later of the prior 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 mortgage loans it has committed to purchase. Significant changes in the pull-through rate or the MSR component of the IRLCs, in isolation, could result in significant changes in the IRLCs’ fair value measurement. The financial effects of changes in these inputs are generally inversely correlated as increasing interest rates have a positive effect on the fair value of the MSR component of IRLC fair value, but increase the pull-through rate for the loan principal and interest payment cash flow component, which has decreased in fair value. Changes in fair value of IRLCs are included in Net gains on loans held for sale at fair value in the consolidated statements of income. Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs: March 31, 2020 December 31, 2019 Fair value (in thousands) (1) $ 315,194 $ 136,650 Key inputs (2): Pull-through rate: Range 11.8% – 100% 12.2% – 100% Weighted average 78.9% 86.5% Mortgage servicing rights value expressed as: Servicing fee multiple: Range 0.9 – 5.4 1.4 – 5.7 Weighted average 3.5 4.2 Percentage of unpaid principal balance: Range 0.2% – 2.8% 0.3% – 2.8% Weighted average 1.2% 1.6% (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 values of derivative financial instruments actively traded on exchanges are categorized by the Company as “Level 1” fair value assets and liabilities; fair values of derivative financial instruments based on observable interest rates, volatilities and prices in the MBS or other markets are categorized by the Company as “Level 2” fair value assets and liabilities. Changes in the fair value of hedging derivatives are included in Net gains on loans held 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 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 loans financed under the master repurchase agreement. The resulting ratio included in the Company’s fair value estimate was 99.0% at March 31, 2020 and December 31, 2019. 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 underlying 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 March 31, 2020 2019 (Amount recognized and unpaid principal balance of underlying loans in thousands) MSR and pool characteristics: Amount recognized $ 282,315 $ 115,751 Unpaid principal balance of underlying loans $ 18,330,384 $ 8,145,850 Weighted average servicing fee rate (in basis points) 40 39 Key inputs (1): Pricing spread (2) Range 6.8% – 15.6% 5.8% – 15.6% Weighted average 8.2% 8.9% Annual total prepayment speed (3) Range 9.1% – 49.8% 5.8% – 73.0% Weighted average 14.5% 15.3% Equivalent average life (in years) Range 1.5 – 7.8 0.8 – 10.2 Weighted average 5.9 5.8 Per-loan annual cost of servicing Range $77 – $100 $78 – $100 Weighted average $97 $95 (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) Annual total prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is included for informational purposes. Following is a quantitative summary of key inputs used in the valuation of the Company’s MSRs and the effect on the fair value from adverse changes in those inputs: March 31, 2020 December 31, 2019 (Fair value, unpaid principal balance of underlying loans and effect on fair value amounts in thousands) Fair value $ 2,193,697 $ 2,926,790 Pool characteristics: Unpaid principal balance of underlying loans $ 231,484,161 $ 225,787,103 Weighted average note interest rate 3.9% 3.9% Weighted average servicing fee rate (in basis points) 35 35 Key inputs (1): Pricing spread (2): Range 8.3% – 18.1% 6.8% – 15.8% Weighted average 10.7% 8.5% Effect on fair value of: 5% adverse change ($38,151) ($44,561) 10% adverse change ($74,912) ($87,734) 20% adverse change ($144,545) ($170,155) Annual total prepayment speed (3): Range 9.7% – 27.9% 9.3% – 40.9% Weighted average 16.5% 12.7% Equivalent average life (in years) Range 1.3 – 7.2 1.4 – 7.4 Weighted average 5.0 6.1 Effect on fair value of: 5% adverse change ($61,123) ($63,569) 10% adverse change ($119,166) ($124,411) 20% adverse change ($226,812) ($238,549) Annual per-loan cost of servicing: Range $78 – $112 $77 – $100 Weighted average $108 $97 Effect on fair value of: 5% adverse change ($24,995) ($24,516) 10% adverse change ($49,991) ($49,032) 20% adverse change ($99,981) ($98,065) (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) Annual total prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is included for informational purposes. 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 ESS is categorized 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 is similar to that of MSRs. The Company uses the same discounted cash flow approach to measuring the ESS as it uses to measure MSRs except that certain inputs relating to the cost to service the mortgage loans underlying the MSRs and certain ancillary income are not included as these cash flows do not accrue to the holder of the ESS. The key inputs used in the estimation of ESS fair value include pricing spread (discount rate) and prepayment speed. Significant changes to either of those inputs in isolation could result in a significant change in the fair value of ESS. Changes in these key inputs are not necessarily directly related. ESS is generally subject to fair value increases when mortgage interest rates increase. Increasing mortgage interest rates normally discourage mortgage refinancing activity. Decreased refinancing activity increases the life of the mortgage loans underlying the ESS, thereby increasing its fair value. Changes in the fair value of ESS are included in Net loan servicing fees—Change in fair value of excess servicing spread payable to PennyMac Mortgage Investment Trust. Following are the key inputs used in determining the fair value of ESS financing: March 31, December 31, 2020 2019 Fair value (in thousands) $ 157,109 $ 178,586 Pool characteristics: Unpaid principal balance of underlying loans (in thousands) $ 19,153,856 $ 19,904,571 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 5.4% – 5.8% 3.0% – 3.3% Weighted average 5.6% 3.1% Annual total prepayment speed (3): Range 8.7% – 14.9% 8.7% – 16.2% Weighted average 11.9% 11.0% Equivalent average life (in years) Range 2.7 – 7.1 2.7 – 7.2 Weighted average 5.8 6.1 (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) Annual total prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is included for informational purposes. Mortgage Servicing Liabilities MSLs are categorized as “Level 3” fair value liabilities. The Company uses a discounted cash flow approach to estimate the fair value of MSLs. This approach consists of projecting net servicing cash flows discounted at a rate that the Company believes market participants would use in their determinations of fair value. The key inputs used in the estimation of the fair value of MSLs include the applicable pricing spread (discount rate), prepayment rates, and the annual per-loan cost to service the underlying loans. Changes in the fair value of MSLs are included in Net 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 MSLs: March 31, December 31, 2020 2019 Fair value (in thousands) $ $ Pool characteristics: Unpaid principal balance of underlying loans (in thousands) $ $ Servicing fee rate (in basis points) Key inputs: Pricing spread (1) Annual total prepayment speed (2) Equivalent 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. (2) Annual total prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is included for informational purposes. |
Loans Held for Sale at Fair Val
Loans Held for Sale at Fair Value | 3 Months Ended |
Mar. 31, 2020 | |
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: March 31, December 31, Loan type 2020 2019 (in thousands) Government-insured or guaranteed $ 3,998,657 $ 4,222,010 Conventional conforming 735,615 307,065 Jumbo 1,128 — Purchased from Ginnie Mae pools serviced by the Company 788,283 374,121 Repurchased pursuant to representations and warranties 17,961 9,244 Home equity lines of credit 343 513 $ 5,541,987 $ 4,912,953 Fair value of loans pledged to secure: Assets sold under agreements to repurchase $ 4,937,094 $ 4,322,789 Mortgage loan participation purchase and sale agreements 556,238 523,349 $ 5,493,332 $ 4,846,138 |
Derivative Financial Instrument
Derivative Financial Instruments | 3 Months Ended |
Mar. 31, 2020 | |
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 loan for sale. · Derivatives that were embedded in a master repurchase agreement that provided for the Company to receive incentives for financing mortgage loans that satisfied certain consumer relief characteristics under the master repurchase agreement. The Company also engages in interest rate risk management activities in an effort to moderate the effect of changes in market interest rates on the fair value of the Company’s assets. 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: March 31, 2020 December 31, 2019 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 9,377,614 $ 317,621 $ 2,427 7,122,316 $ 138,511 $ 1,861 Repurchase agreement derivatives 8,187 — 8,187 — Used for hedging purposes: Forward purchase contracts 20,480,331 421,860 12,553 13,618,361 12,364 19,040 Forward sales contracts 20,196,818 23,346 334,111 16,220,526 17,097 18,045 MBS put options 10,700,000 4,062 — 6,100,000 3,415 — Swaption futures purchase contracts 6,800,000 36,696 — 1,750,000 2,409 — Put options on interest rate futures purchase contracts 4,925,000 13,676 — 2,250,000 3,945 — Call options on interest rate futures purchase contracts 1,925,000 24,434 — 750,000 1,469 — Treasury futures purchase contracts 650,000 — — 1,276,000 — — Treasury futures sale contracts 810,000 — — 1,010,000 — — Interest rate swap futures purchase contracts 2,560,000 — — 3,210,000 — — Total derivatives before netting 849,882 349,091 187,397 38,946 Netting (416,671) (305,939) (27,711) (16,616) $ 433,211 $ 43,152 $ 159,686 $ 22,330 Collateral placed with (received from) derivative counterparties, net $ (110,732) $ (11,095) The following table summarizes notional amount activity for derivative contracts used in the Company’s hedging activities: Notional amounts, quarter ended March 31, 2020 Beginning of Dispositions/ End of Instrument quarter Additions expirations quarter (in thousands) Forward purchase contracts 13,618,361 112,859,449 (105,997,479) 20,480,331 Forward sale contracts 16,220,526 130,436,231 (126,459,939) 20,196,818 MBS put options 6,100,000 22,000,000 (17,400,000) 10,700,000 Swaption futures purchase contracts 1,750,000 7,900,000 (2,850,000) 6,800,000 Swaption futures sale contracts — 2,850,000 (2,850,000) — Put options on interest rate futures purchase contracts 2,250,000 7,600,000 (4,925,000) 4,925,000 Call options on interest rate futures purchase contracts 750,000 3,540,000 (2,365,000) 1,925,000 Put options on interest rate futures sale contracts — 4,925,000 (4,925,000) — Call options on interest rate futures sale contracts — 2,365,000 (2,365,000) — Treasury futures purchase contracts 1,276,000 2,035,000 (2,661,000) 650,000 Treasury futures sale contracts 1,010,000 2,461,000 (2,661,000) 810,000 Interest rate swap futures purchase contracts 3,210,000 1,225,000 (1,875,000) 2,560,000 Interest rate swap futures sales contracts — 1,875,000 (1,875,000) — Notional amounts, quarter ended March 31, 2019 Beginning of Dispositions/ End of Instrument quarter Additions expirations quarter (in thousands) Forward purchase contracts 6,657,026 52,621,845 (49,965,482) 9,313,389 Forward sale contracts 6,890,046 59,673,487 (58,980,528) 7,583,005 MBS put options 4,635,000 19,160,000 (14,370,000) 9,425,000 MBS call options 1,450,000 4,500,000 (2,600,000) 3,350,000 Put options on interest rate futures purchase contracts 3,085,000 6,675,000 (6,410,000) 3,350,000 Call options on interest rate futures purchase contracts 1,512,500 4,462,800 (3,725,300) 2,250,000 Put options on interest rate futures sale contracts — 10,135,300 (10,135,300) — Treasury futures purchase contracts 835,000 4,111,200 (3,136,200) 1,810,000 Treasury futures sale contracts 1,450,000 2,761,200 (3,136,200) 1,075,000 Interest rate swap futures purchase contracts 625,000 400,000 — 1,025,000 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: March 31, 2020 December 31, 2019 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 $ 317,621 $ — $ 317,621 $ 138,511 $ — $ 138,511 Repurchase agreement derivatives 8,187 — 8,187 8,187 — 8,187 325,808 — 325,808 146,698 — 146,698 Derivatives subject to master netting arrangements: Forward purchase contracts 421,860 — 421,860 12,364 — 12,364 Forward sale contracts 23,346 — 23,346 17,097 — 17,097 MBS put options 4,062 — 4,062 3,415 — 3,415 Swaptions 36,696 — 36,696 2,409 — 2,409 Put options on interest rate futures purchase contracts 13,676 — 13,676 3,945 — 3,945 Call options on interest rate futures purchase contracts 24,434 — 24,434 1,469 — 1,469 Netting — (416,671) (416,671) — (27,711) (27,711) 524,074 (416,671) 107,403 40,699 (27,711) 12,988 $ 849,882 $ (416,671) $ 433,211 $ 187,397 $ (27,711) $ 159,686 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. March 31, 2020 December 31, 2019 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 $ 317,621 $ — $ — $ 317,621 $ 138,511 $ — $ — $ 138,511 RJ O'Brien 38,109 — — 38,109 5,414 — — 5,414 JPMorgan Chase Bank, N.A. 27,313 — — 27,313 2,196 — — 2,196 Goldman Sachs 14,537 — — 14,537 2,548 — — 2,548 Citibank, N.A. 9,995 — — 9,995 — — — — Deutsche Bank 7,894 — — 7,894 9,138 — — 9,138 Wells Fargo Bank, N.A. 5,848 — — 5,848 — — — — Daiwa Capital Markets 3,084 — — 3,084 — — — — Mizuho Securities 2,989 — — 2,989 1,597 — — 1,597 Federal National Mortgage Association 1,980 — — 1,980 — — — — Others 3,841 — — 3,841 282 — — 282 $ 433,211 $ — $ — $ 433,211 $ 159,686 $ — $ — $ 159,686 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. March 31, 2020 December 31, 2019 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 $ 2,427 $ — $ 2,427 $ 1,861 $ — $ 1,861 Derivatives subject to a master netting arrangement: Forward purchase contracts 12,553 — 12,553 19,040 — 19,040 Forward sale contracts 334,111 — 334,111 18,045 — 18,045 Netting — (305,939) (305,939) — (16,616) (16,616) 346,664 (305,939) 40,725 37,085 (16,616) 20,469 Total derivatives 349,091 (305,939) 43,152 38,946 (16,616) 22,330 Assets sold under agreements to repurchase: Amount outstanding 4,446,795 — 4,446,795 4,141,680 — 4,141,680 Unamortized debt issuance cost, net (2,250) — (2,250) (627) — (627) 4,444,545 — 4,444,545 4,141,053 — 4,141,053 $ 4,793,636 $ (305,939) $ 4,487,697 $ 4,179,999 $ (16,616) $ 4,163,383 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. March 31, 2020 December 31, 2019 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 $ 2,427 $ — $ — $ 2,427 $ 1,861 $ — $ — $ 1,861 Credit Suisse First Boston Mortgage Capital LLC 1,552,669 (1,533,516) — 19,153 1,235,430 (1,235,430) — — JPMorgan Chase Bank, N.A. 870,965 (870,965) — — 936,172 (936,172) — — Citibank, N.A. 657,315 (657,315) — — 655,831 (653,170) — 2,661 Bank of America, N.A. 654,788 (643,834) — 10,954 379,400 (374,190) — 5,210 Morgan Stanley Bank, N.A. 296,497 (293,813) — 2,684 582,941 (582,941) — — Royal Bank of Canada 250,919 (250,919) — — 175,897 (175,897) — — BNP Paribas 196,791 (196,433) — 358 183,880 (183,880) — — Federal National Mortgage Association 5,674 — — 5,674 — — — — Mitsubishi UFJ Securities 1,396 — — 1,396 — — — — Wells Fargo Bank, N.A. — — — — 11,212 — — 11,212 Others 506 — — 506 1,386 — — 1,386 $ 4,489,947 $ (4,446,795) $ — $ 43,152 $ 4,164,010 $ (4,141,680) $ — $ 22,330 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 March 31, Derivative activity Income statement line 2020 2019 (in thousands) Interest rate lock commitments Net gains on loans held for sale at fair value $ 178,543 $ 16,727 Repurchase agreement derivatives Interest expense $ — $ (557) Hedged item: Interest rate lock commitments and loans held for sale Net gains on loans held for sale at fair value $ (225,557) $ (34,668) Mortgage servicing rights Net loan servicing fees –C hange in fair value of mortgage servicing rights and mortgage servicing liabilities $ 1,036,570 $ 134,557 |
Mortgage Servicing Rights and M
Mortgage Servicing Rights and Mortgage Servicing Liabilities | 3 Months Ended |
Mar. 31, 2020 | |
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 March 31, 2020 2019 (in thousands) Balance at beginning of quarter $ 2,926,790 $ 2,820,612 Additions: Resulting from loan sales 282,315 115,751 Purchases 25,760 227,772 308,075 343,523 Change in fair value due to: Changes in valuation inputs used in valuation model (1) (915,862) (161,638) Other changes in fair value (2) (125,306) (97,407) Total change in fair value (1,041,168) (259,045) Balance at end of quarter $ 2,193,697 $ 2,905,090 March 31, December 31, 2020 2019 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and Notes payable secured by mortgage servicing assets $ 2,163,928 $ 2,920,603 (1) Principally reflects changes in discount rate and prepayment speed inputs, primarily due to changes in market interest rates, and servicing costs. (2) Represents changes due to realization of cash flows. Mortgage Servicing Liabilities at Fair Value The activity in MSLs is summarized below: Quarter ended March 31, 2020 2019 (in thousands) Balance at beginning of quarter $ 29,140 $ 8,681 Mortgage servicing liabilities resulting from loan sales 6,576 794 Changes in fair value due to: Changes in valuation inputs used in valuation model (1) 4,432 3,301 Other changes in fair value (2) (10,387) (4,932) Total change in fair value (5,955) (1,631) Balance at end of quarter $ 29,761 $ 7,844 (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 March 31, 2020 2019 (in thousands) Contractual servicing fees $ 198,653 $ 166,790 Other fees: Late charges 12,613 9,812 Other 4,850 1,661 $ 216,116 $ 178,263 |
Leases
Leases | 3 Months Ended |
Mar. 31, 2020 | |
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 March 31, 2020 2019 (dollars in thousands) Lease expense: Operating leases $ 3,932 $ 3,229 Short-term leases 256 217 Sublease income — (32) Net lease expense included in Occupancy and equipment $ 4,188 $ 3,414 Other information: Cash payments for operating leases $ 4,440 $ 3,846 Operating lease right-of-use assets recognized: Upon adoption Accounting Standards Update 2016-02, Leases (Topic 842) $ — $ 58,598 New leases 1,534 — $ 1,534 $ 58,598 Period end weighted averages: Remaining lease term (in years) 6.9 6.3 Discount rate The maturities of the Company’s operating lease liabilities are summarized below: Twelve months ended March 31, Operating leases (in thousands) 2021 $ 17,111 2022 15,795 2023 14,509 2024 13,755 2025 11,643 Thereafter 32,758 Total lease payments 105,571 Less imputed interest (15,742) Total $ 89,829 As of March 31, 2020, 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 | 3 Months Ended |
Mar. 31, 2020 | |
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 March 31, 2020. 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 March 31, 2020 2019 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ 3,139,328 $ 1,437,957 Weighted average interest rate (1) 3.07 % 4.47 % Total interest expense (2) $ 25,684 $ 8,635 Maximum daily amount outstanding $ 4,446,795 $ 2,152,588 March 31, December 31, 2020 2019 (dollars in thousands) Carrying value: Unpaid principal balance $ 4,446,795 $ 4,141,680 Unamortized debt issuance costs (2,250) (627) $ 4,444,545 $ 4,141,053 Weighted average interest rate 2.54 % 3.29 % Available borrowing capacity (3): Committed $ — $ 125,810 Uncommitted 1,403,205 782,510 $ 1,403,205 $ 908,320 Fair value of assets securing repurchase agreements: Loans held for sale $ 4,937,094 $ 4,322,789 Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 99,766 $ 107,512 Servicing advances (4) $ 182,531 $ 207,460 Mortgage servicing rights (4) $ 2,151,501 $ 2,902,721 Margin deposits placed with counterparties (5) $ 5,000 $ 5,000 (1) Excludes the effect of amortization of net issuance costs of $1.6 million and premiums of $7.4 million for the quarters ended March 31, 2020 and 2019, 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 $9.3 million of such incentives as reductions in Interest expense during the quarter ended March 31, 2019. 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 secured by mortgage servicing assets . 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 secured by mortgage servicing assets on the Company's consolidated balance sheets. (5) Margin deposits are included in Other assets on the Company’s consolidated balance sheets. Following is a summary of maturities of outstanding advances under repurchase agreements by maturity date: Remaining maturity at March 31, 2020 Unpaid principal balance (dollars in thousands) Within 30 days $ 1,585,379 Over 30 to 90 days 2,614,849 Over 90 to 180 days 246,567 Total assets sold under agreements to repurchase $ 4,446,795 Weighted average maturity (in months) 1.2 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 March 31, 2020: Weighted average maturity of advances under repurchase Counterparty Amount at risk agreement Facility maturity (in thousands) Credit Suisse First Boston Mortgage Capital LLC (1) $ 983,098 April 26, 2020 April 26, 2020 Credit Suisse First Boston Mortgage Capital LLC $ 245,618 April 24, 2020 April 24, 2020 JP Morgan Chase Bank, N.A. $ 97,688 June 1, 2020 October 9, 2020 Citibank, N.A. $ 67,788 April 10, 2020 August 4, 2020 Bank of America, N.A. $ 61,809 May 4, 2020 March 11, 2021 Morgan Stanley Bank, N.A. $ 26,408 June 12, 2020 August 21, 2020 Royal Bank of Canada $ 24,012 April 30, 2020 April 30, 2020 BNP Paribas $ 15,575 June 16, 2020 July 31, 2020 (1) The calculation of the amount at risk includes the VFN and the Term Notes because 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 secured by mortgage servicing assets below. 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 secured by mortgage servicing assets on the Company's consolidated balance sheets. 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 March 31, 2020 2019 (dollars in thousands) Average balance $ 247,811 $ 236,667 Weighted average interest rate (1) 2.64 % 3.68 % Total interest expense $ 1,810 $ 2,311 Maximum daily amount outstanding $ 530,220 $ 548,038 (1) Excludes the effect of amortization of facility fees totaling $173,000 and $135,000 for the quarters ended March 31, 2020 and 2019, respectively. March 31, December 31, 2020 2019 (dollars in thousands) Carrying value: Unpaid principal balance $ 528,750 $ 497,948 Unamortized debt issuance costs — — $ 528,750 $ 497,948 Weighted average interest rate 2.18 % 3.05 % Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements $ 556,238 $ 523,349 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 March 31, 2020 2019 (dollars in thousands) Average balance $ 19,406 $ 5,848 Weighted average interest rate 3.36 % 4.50 % Total interest expense $ 167 $ 66 Maximum daily amount outstanding $ 20,810 $ 6,605 March 31, December 31, 2020 2019 (dollars in thousands) Unpaid principal balance $ 18,145 $ 20,810 Weighted average interest rate 3.18 % 3.74 % Assets pledged to secure obligations under capital lease: Furniture, fixtures and equipment $ 7,392 $ 20,406 Capitalized software $ 10,606 $ 12,192 Notes Payable Secured by Mortgage Servicing Assets Term Notes On February 28, 2018, the Company, through PNMAC GMSR ISSUER TRUST (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 of 1933, as amended (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. MSR Note Payable On February 1, 2018, the Company issued a note payable that is secured by Freddie Mac MSRs. Interest is charged at a rate based on LIBOR plus the applicable contract margin. The facility expires on April 24, 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 quarters ended March 31, 2020 or 2019. Notes payable are summarized below: Quarter ended March 31, 2020 2019 (dollars in thousands) Average balance $ 1,300,000 $ 1,300,000 Weighted average interest rate (1) 4.43 % 5.25 % Total interest expense $ 14,846 $ 17,510 Maximum daily amount outstanding $ 1,300,000 $ 1,300,000 (1) Excludes the effect of amortization of debt issuance costs totaling $445,000 and $734,000 for the quarters ended March 31, 2020 and 2019, respectively. March 31, December 31, 2020 2019 (dollars in thousands) Carrying value: Unpaid principal balance $ 1,300,000 $ 1,300,000 Unamortized debt issuance costs (5,486) (5,930) $ 1,294,514 $ 1,294,070 Weighted average interest rate 4.38 % 4.46 % Assets pledged to secure notes payable: Servicing advances (1) $ 182,531 $ 207,460 Mortgage servicing rights (1) $ 2,117,619 $ 2,861,442 (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 secured by mortgage servicing assets on the Company's consolidated balance sheet. 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. The Company did not borrow under this facility during the quarter ended March 31, 2020 or the year ended December 31, 2019. Corporate revolving line of credit is summarized below: Quarter ended March 31, 2020 2019 (dollars in thousands) Interest expense (1) $ 503 $ 485 March 31, December 31, 2020 2019 (dollars in thousands) Carrying value $ — $ — Unused amount $ 150,000 $ 150,000 Cash pledged to secure corporate revolving line of credit $ 773,361 $ 52,599 (1) Interest expenses represent debt issuance costs and non-utilization fees. Excess Servicing Spread Financing at Fair Value In conjunction with the Company’s purchase from non-affiliates of certain MSRs on pools of Agency-backed residential mortgage loans, the Company has entered into sale and assignment agreements with PMT. Under these agreements, the Company sold to PMT the right to receive ESS cash flows relating to certain MSRs. The Company retained a fixed base servicing fee and all ancillary income associated with servicing the loans. The Company continues to be the servicer of the mortgage loans and retains all servicing obligations, including responsibility to make servicing advances. Following is a summary of ESS: Quarter ended March 31, 2020 2019 (in thousands) Balance at beginning of quarter $ 178,586 $ 216,110 Issuances of excess servicing spread to PennyMac Mortgage Investment Trust pursuant to recapture agreement 379 508 Accrual of interest 1,974 3,066 Repayment (9,308) (10,552) Change in fair value (14,522) (4,051) Balance at end of quarter $ 157,109 $ 205,081 |
Liability for Losses Under Repr
Liability for Losses Under Representations and Warranties | 3 Months Ended |
Mar. 31, 2020 | |
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 March 31, 2020 2019 (in thousands) Balance at beginning of quarter $ 21,446 $ 21,155 Provision for losses on loans sold: Resulting from sales of loans 3,712 1,067 Reduction in liability due to change in estimate (1,676) (4,210) Losses incurred, net (280) (30) Balance at end of quarter $ 23,202 $ 17,982 Unpaid principal balance of loans subject to representations and warranties at end of quarter $ 186,517,598 $ 133,698,782 |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2020 | |
Income Taxes | |
Income Taxes | Note 13—Income Taxes The Company’s effective income tax rates were 26.2% and 23.5% for the quarters ended March 31, 2020 and 2019, respectively. The increase in effective tax rate in the quarter ended March 31, 2020 compared to the same period in 2019 was due to reduced impact of the permanent and favorable tax adjustment for equity compensation in the quarter ended March 31, 2020 compared to the same period in 2019. The equity compensation deduction for tax purposes was lower by $0.4 million while the pretax income increased by $354.4 million, thereby reducing the effect of the tax adjustment on the effective tax rate. The Coronavirus Aid, Relief, and Economic Security Act (“CARES Act”), passed in March, 2020, introduced a number of tax law changes which are generally taxpayer favorable. Based on a preliminary analysis, the Company does not anticipate the recording of any material permanent differences resulting from the CARES Act. |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2020 | |
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. On December 20, 2018, a purported shareholder of the Company filed a complaint in a putative class and derivative action in the Court of Chancery of the State of Delaware (the “Delaware Court”), captioned Robert Garfield v. BlackRock Mortgage Ventures, LLC et al ., Case No. 2018-0917-KSJM (the “Garfield Action”). The Garfield Action alleges, among other things, that certain current directors and officers of the Company breached their fiduciary duties to the Company and its shareholders by, among other things, agreeing to and entering into a corporate reorganization (the “Reorganization”), which the Company formed as a Delaware corporation on July 2, 2018, and became the top-level parent holding company for the consolidated PennyMac business on November 1, 2018, without ensuring that the Reorganization was entirely fair to the Company or public shareholders. The Reorganization was approved by 99.8% of voting shareholders on October 24, 2018. On December 19, 2019, the Delaware Court denied a motion to dismiss filed by the Company and certain of its directors and officers. While no assurance can be provided as to the ultimate outcome of this claim or the account of any losses to the Company, the Company believes the Garfield Action is without merit and plans to vigorously defend the matter, which remains pending. On November 5, 2019, Black Knight Servicing Technologies, LLC, a wholly-owned indirect subsidiary of Black Knight, Inc. (“BKI”), filed a Complaint and Demand for Jury Trial in the Circuit Court for the Fourth Judicial Circuit in and for Duval County, Florida (the “Florida State Court”), captioned Black Knight Servicing Technologies, LLC v. PennyMac Loan Services, LLC, Case No. 2019-CA-007908 (the “BKI Complaint”). Allegations contained within the BKI Complaint include breach of contract and misappropriation of MSP ® System trade secrets in order to develop an imitation mortgage-processing system intended to replace the MSP ® System. The BKI Complaint seeks damages for breach of contract and misappropriation of trade secrets, injunctive relief under the Florida Uniform Trade Secrets Act and declaratory judgment of ownership of all intellectual property and software developed by or on behalf of PLS as a result of its wrongful use of and access to the MSP ® System and related trade secret and confidential information. On April 6, 2020, the Florida State Court entered an order granting a motion to compel arbitration filed by the Company. On April 21, 2020, BKI filed a motion for reconsideration of the order compelling arbitration. On May 6, 2020, the Florida State Court entered an order denying BKI's motion for reconsideration. Also on May 6, 2020, BKI filed a notice of appeal with respect to both orders. While no assurance can be provided as to the ultimate outcome of BKI Complaint or the account of any losses to the Company, the Company believes the BKI Complaint is without merit and plans to vigorously defend the matter , which remains pending. 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 $9.4 billion as of March 31, 2020. |
Stockholders' Equity
Stockholders' Equity | 3 Months Ended |
Mar. 31, 2020 | |
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 March 31, Cumulative 2020 2019 total (1) (in thousands) Shares of common stock repurchased 238 — 1,054 Cost of shares of common stock repurchased $ 4,121 $ — $ 19,069 (1) Amounts represent the total shares of common stock repurchased under the stock repurchase program through March 31, 2020. |
Net Gains on Loans Held for Sal
Net Gains on Loans Held for Sale | 3 Months Ended |
Mar. 31, 2020 | |
Net Gains on Loans Held for Sale | |
Net Gains on Loans Held for Sale | Note 16—Net Gains on Loans Held for Sale Net gains on loans held for sale at fair value is summarized below: Quarter ended March 31, 2020 2019 (in thousands) From non-affiliates: Cash loss: Loans $ 111,757 $ (41,242) Hedging activities (122,666) (8,927) (10,909) (50,169) Non-cash gain: Mortgage servicing rights and mortgage servicing liabilities resulting from loan sales 275,739 114,957 Provision for losses relating to representations and warranties: Pursuant to loan sales (3,712) (1,067) Reduction in liability due to change in estimate 1,676 4,210 Change in fair value of loans and derivatives held at quarter end: Interest rate lock commitments 178,543 16,727 Loans (72,080) (164) Hedging derivatives (102,891) (25,741) 266,366 58,753 From PennyMac Mortgage Investment Trust 77,916 26,023 $ 344,282 $ 84,776 |
Net Interest Income
Net Interest Income | 3 Months Ended |
Mar. 31, 2020 | |
Net Interest Income | |
Net Interest Income | Note 17—Net Interest Income Net interest income is summarized below: Quarter ended March 31, 2020 2019 (in thousands) Interest income: From non-affiliates: Cash and short-term investments $ 1,711 $ 1,933 Loans held for sale at fair value 46,426 31,343 Placement fees relating to custodial funds 23,209 23,261 71,346 56,537 From PennyMac Mortgage Investment Trust—Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell 1,218 1,796 72,564 58,333 Interest expense: To non-affiliates: Assets sold under agreements to repurchase (1) 25,684 8,635 Mortgage loan participation purchase and sale agreements 1,810 2,311 Obligations under capital lease 167 66 Notes payable 15,349 17,995 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 14,871 4,311 Interest on mortgage loan impound deposits 1,657 1,159 59,538 34,477 To PennyMac Mortgage Investment Trust—Excess servicing spread financing at fair value 1,974 3,066 61,512 37,543 $ 11,052 $ 20,790 (1) In 2017, the Company entered into a master repurchase agreement that provided the Company with incentives to finance mortgage loans approved for satisfying certain consumer relief characteristics as provided in the agreement. The Company included $9.3 million of such incentives as reductions of Interest expense during the quarter ended March 31, 2019. The master repurchase agreement expired on August 21, 2019. |
Stock-based Compensation
Stock-based Compensation | 3 Months Ended |
Mar. 31, 2020 | |
Stock-based Compensation | |
Stock-based Compensation | Note 18—Stock-based Compensation As of March 31, 2020, the Company had one stock-based compensation plan. Following is a summary of the stock-based compensation activity: Quarter ended March 31, 2020 2019 (in thousands) Grants: Units: Performance-based RSUs 422 665 Stock options 273 344 Time-based RSUs 304 330 Grant date fair value: Performance-based RSUs $ 14,768 $ 15,253 Stock options 2,770 2,965 Time-based RSUs 10,662 7,545 Total $ 28,200 $ 25,763 Vestings and exercises: Performance-based RSUs vested 603 648 Stock options exercised 180 89 Time-based RSUs vested 348 291 Compensation expense $ 12,368 $ 4,531 |
Earnings Per Share of Common St
Earnings Per Share of Common Stock | 3 Months Ended |
Mar. 31, 2020 | |
Earnings Per Share of Common Stock | |
Earnings Per Share of Common Stock | Note 19—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. 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. The following table summarizes the basic and diluted earnings per share calculations: Quarter ended March 31, 2020 2019 (in thousands, except per share amounts) Net income $ 306,243 $ 46,135 Weighted average basic shares of common stock outstanding 78,689 77,653 Effect of dilutive shares: Common shares issuable under stock-based compensation plan 3,319 1,633 Weighted average shares of common stock applicable to diluted earnings per share 82,008 79,286 Basic earnings per share of common stock $ 3.89 $ 0.59 Diluted earnings per share of common stock $ 3.73 $ 0.58 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 March 31, 2020 2019 (in thousands except for weighted-average exercise price) Performance-based RSUs (1) 162 1,279 Time-based RSUs 117 61 Stock options (2) 105 706 Total anti-dilutive shares and units 384 2,046 Weighted average exercise price of anti-dilutive stock options (2) $ 35.03 $ 24.26 (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 | 3 Months Ended |
Mar. 31, 2020 | |
Supplemental Cash Flow Information | |
Supplemental Cash Flow Information | Note 20—Supplemental Cash Flow Information Quarter ended March 31, 2020 2019 (in thousands) Cash paid for interest $ 64,527 $ 33,952 Cash paid for income taxes, net $ 13 $ 66 Non-cash investing activity: Mortgage servicing rights resulting from loan sales $ 282,315 $ 115,751 Mortgage servicing liabilities resulting from loan sales $ 6,576 $ 794 Unsettled portion of MSR acquisitions $ 1,656 $ 16,291 Operating right-of-use assets recognized $ 1,534 $ 58,598 Non-cash financing activity: Issuance of Excess servicing spread payable to PennyMac Mortgage Investment Trust pursuant to a recapture agreement $ 379 $ 508 Issuance of common stock in settlement of director fees $ 48 $ 86 |
Regulatory Capital and Liquidit
Regulatory Capital and Liquidity Requirements | 3 Months Ended |
Mar. 31, 2020 | |
Regulatory Capital and Liquidity Requirements | |
Regulatory Capital and Liquidity Requirements | Note 21—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 established by the Federal Housing Finance Agency (“FHFA”) 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 UPB 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 (including nonperforming Agency loans that are in payment forbearance) in excess of 600 basis points. On January 31, 2020, FHFA proposed changes to the eligibility requirements, which would increase the tangible net worth requirement to $2.5 million plus 35 basis points of the UPB of loans serviced for Ginnie Mae and 25 basis points of the UPB of all other 1-4 unit loans serviced, and increase the liquidity requirement to 4 basis points of the aggregate UPB serviced for Fannie Mae and Freddie Mac and 10 basis points of the UPB serviced for Ginnie Mae plus 300 basis points of total nonperforming Agency servicing UPB (including nonperforming Agency loans that are in payment forbearance) in excess of 400 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: March 31, 2020 December 31, 2019 Agency–company subject to requirement Actual (1) Requirement (1) Actual (1) Requirement (1) (dollars in thousands) Capital Fannie Mae & Freddie Mac – PLS $ 2,648,008 $ 600,991 $ 2,247,751 $ 585,674 Ginnie Mae – PLS $ 2,324,574 $ 931,240 $ 1,907,398 $ 910,456 HUD – PLS $ 2,324,574 $ 2,500 $ 1,907,398 $ 2,500 Liquidity Fannie Mae & Freddie Mac – PLS $ 875,336 $ 81,942 $ 257,794 $ 79,991 Ginnie Mae – PLS $ 875,336 $ 222,121 $ 257,794 $ 216,119 Adjusted net worth / Total assets ratio Ginnie Mae – PLS 22 % 6 % 19 % 6 % Tangible net worth / Total assets ratio Fannie Mae & Freddie Mac – PLS 25 % 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 | 3 Months Ended |
Mar. 31, 2020 | |
Segments | |
Segments | Note 22—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 March 31, 2020 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 316,635 $ 27,647 $ 344,282 $ — $ 344,282 Loan origination fees 57,571 — 57,571 — 57,571 Fulfillment fees from PennyMac Mortgage Investment Trust 41,940 — 41,940 — 41,940 Net loan servicing fees — 257,808 257,808 — 257,808 Net interest income: Interest income 26,585 45,979 72,564 — 72,564 Interest expense 20,157 41,346 61,503 9 61,512 6,428 4,633 11,061 (9) 11,052 Management fees — — — 9,055 9,055 Other (10) (680) (690) 807 117 Total net revenue 422,564 289,408 711,972 9,853 721,825 Expenses 182,433 118,566 300,999 6,096 307,095 Income before provision for income taxes $ 240,131 $ 170,842 $ 410,973 $ 3,757 $ 414,730 Segment assets at quarter end $ 5,686,878 $ 5,186,188 $ 10,873,066 $ 18,067 $ 10,891,133 (1) All revenues are from external customers. Quarter ended March 31, 2019 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 66,721 $ 18,055 $ 84,776 $ — $ 84,776 Loan origination fees 23,930 — 23,930 — 23,930 Fulfillment fees from PennyMac Mortgage Investment Trust 27,574 — 27,574 — 27,574 Net loan servicing fees — 80,571 80,571 — 80,571 Net interest income (expense): Interest income 14,369 43,964 58,333 — 58,333 Interest expense 3,915 33,621 37,536 7 37,543 10,454 10,343 20,797 (7) 20,790 Management fees — — — 7,248 7,248 Other 488 765 1,253 1,563 2,816 Total net revenue 129,167 109,734 238,901 8,804 247,705 Expenses 82,161 98,571 180,732 6,682 187,414 Income before provision for income taxes $ 47,006 $ 11,163 $ 58,169 $ 2,122 $ 60,291 Segment assets at quarter end $ 2,501,468 $ 5,299,813 $ 7,801,281 $ 17,719 $ 7,819,000 (1) All revenues are from external customers. |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2020 | |
Subsequent Events | |
Subsequent Events | Note 23—Subsequent Events Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period: On April 1, 2020, the Company issued a series of variable funding notes, the Series 2020-SPIADVF1 Notes (“GMSR Servicing Advance Notes”), to be sold under agreement to repurchase pursuant to a Master Repurchase Agreement, dated as of April 1, 2020, with Credit Suisse First Boston Mortgage Capital LLC (“CSFB”), acting as administrative agent on behalf of Credit Suisse AG, Cayman Islands Branch (“CSCIB”), as buyer (the “GMSR Servicing Advances Repurchase Agreement”). The GMSR Servicing Advance Notes leverage an existing MSR financing facility to support a separately defined servicing advance facility within the existing structure and provide the Company enhanced ability to finance its servicing advance obligations to Ginnie Mae and its security holders as necessary and afford borrowers critical relief as required under the recently enacted CARES Act. Specifically, the GMSR Servicing Advances Repurchase Agreement provides the Company with financing secured by its servicing advances to pay, in accordance with the Ginnie Mae requirements, in the event borrowers are delinquent: (i) regularly scheduled monthly principal and bond interest to mortgage-backed securities holders; (ii) taxes, homeowner’s insurance, and other escrowed items; and (iii) other expenses related to servicing delinquent loans as specified by (A) state and federal laws and (B) government agencies, including the FHA, the VA, and the USDA. On April 24, 2020, PLS amended and renewed its credit facilities with Credit Suisse First Boston Mortgage Capital LLC to (i) increase the borrowing capacity under the GMSR Servicing Advances Repurchase Agreement from $400 million to $600 million, all of which is committed and may be used to finance the servicing advances related to delinquent FHA, VA, and USDA loans, including delinquencies caused by forbearance in accordance with the CARES Act, and (ii) increase the maximum combined purchase price available to PLS under the Credit Suisse Credit Facilities from $2.0 billion to $2.25 billion, $1.5 billion of which is now available to finance Ginnie Mae EBO Loans. The maximum combined purchase price of the GMSR Servicing Spread Agreement, the Fannie Mae Servicing Spread Agreement and the Freddie Mac Servicing Spread Agreement may not exceed $400 million. After renewal, the maturity dates for the Credit Suisse Credit Facilities are April 23, 2021 or later, other than the Freddie Mac Servicing Spread Agreement, which matures on October 21, 2020. · On May 7, the Company announced that the board of directors declared a cash dividend of $0.12 per common share. The dividend will be paid on May 28, 2020 to common shareholders of record as of May 18, 2020. |
Transactions with Affiliates (T
Transactions with Affiliates (Tables) - PMT | 3 Months Ended |
Mar. 31, 2020 | |
Transactions with Affiliates | |
Summary of lending activity between the Company and affiliate | Quarter ended March 31, 2020 2019 (in thousands) Net gains on loans held for sale at fair value: Net gains on loans held for sale to PMT $ 81,224 $ 27,146 Mortgage servicing rights and excess servicing spread recapture incurred (3,308) (1,123) $ 77,916 $ 26,023 Sale of loans held for sale to PMT $ 2,246,127 $ 884,510 Tax service fees earned from PMT included in Loan origination fees $ 3,980 $ 2,243 Fulfillment fee revenue $ 41,940 $ 27,574 Unpaid principal balance of loans fulfilled for PMT subject to fulfillment fees $ 16,152,543 $ 8,135,552 Sourcing fees paid to PMT $ 4,161 $ 1,994 Unpaid principal balance of loans purchased from PMT $ 13,870,280 $ 6,647,338 |
Summary of loan servicing fees earned from PMT | Quarter ended March 31, 2020 2019 (in thousands) Loan type serviced: Loans acquired for sale at fair value $ 536 $ 239 Loans at fair value 300 463 Mortgage servicing rights 13,685 9,868 $ 14,521 $ 10,570 Property management fees received from PMT included in Other income $ — $ 123 |
Summary of management fees earned | Quarter ended March 31, 2020 2019 (in thousands) Base management $ 9,055 $ 6,109 Performance incentive — 1,139 $ 9,055 $ 7,248 |
Summary of reimbursement of expenses | Quarter ended March 31, 2020 2019 (in thousands) Reimbursement of: Common overhead incurred by the Company $ 1,540 $ 1,236 Compensation 120 120 Expenses incurred on PMT's behalf, net 1,271 570 $ 2,931 $ 1,926 Payments and settlements during the quarter (1) $ 33,683 $ 15,189 (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 March 31, 2020 2019 (in thousands) Interest income relating to Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 1,218 $ 1,796 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Dividends received $ 18 $ 36 Change in fair value of investment (875) 156 $ (857) $ 192 March 31, December 31, 2020 2019 (in thousands) Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 99,766 $ 107,512 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Fair value $ 797 $ 1,672 Number of shares 75 75 |
Summary of financing activity between the Company and affiliate | Quarter ended March 31, 2020 2019 (in thousands) Excess servicing spread financing: Issuance pursuant to recapture agreement $ 379 $ 508 Repayment $ 9,308 $ 10,552 Gain recognized $ 14,522 $ 4,051 Interest expense $ 1,974 $ 3,066 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 $ 381 $ 489 March 31, December 31, 2020 2019 (in thousands) Excess servicing spread financing at fair value $ 157,109 $ 178,586 |
Summary of amounts due from and payable to affiliate | March 31, December 31, 2020 2019 (in thousands) Receivable from PMT: Fulfillment fees $ 17,366 $ 18,285 Allocated expenses and expenses incurred on PMT's behalf 16,314 3,724 Management fees 9,055 10,579 Correspondent production fees 8,475 10,606 Servicing fees 4,929 4,659 Interest on assets purchased under agreements to resell 74 85 Conditional reimbursement 10 221 $ 56,223 $ 48,159 Payable to PMT: Amounts advanced by PMT to fund its servicing advances $ 55,769 $ 70,520 Mortgage servicing rights recapture payable 151 149 Other 3,361 2,611 $ 59,281 $ 73,280 |
Loan Sales and Servicing Acti_2
Loan Sales and Servicing Activities (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Loan Sales and Servicing Activities | |
Summary of cash flows between the Company and transferees upon sale of loans in transactions | Quarter ended March 31, 2020 2019 (in thousands) Cash flows: Sales proceeds $ 19,337,017 $ 8,536,430 Servicing fees received (1) $ 166,556 $ 137,148 Net servicing advance recoveries $ 15,209 $ 24,176 (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 | March 31, December 31, 2020 2019 (in thousands) Unpaid principal balance of loans outstanding $ 175,709,882 $ 168,842,011 Delinquencies: 30-89 days $ 8,314,858 $ 7,947,560 90 days or more: Not in foreclosure $ 2,837,903 $ 3,237,563 In foreclosure $ 832,922 $ 888,136 Foreclosed $ 18,541 $ 15,387 Bankruptcy $ 1,364,331 $ 1,343,816 |
Summary of servicing portfolio | March 31, 2020 Contract Servicing servicing and Total rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 175,709,882 $ — $ 175,709,882 Purchased 58,410,013 — 58,410,013 234,119,895 — 234,119,895 PennyMac Mortgage Investment Trust — 144,830,043 144,830,043 Loans held for sale 5,276,688 — 5,276,688 $ 239,396,583 $ 144,830,043 $ 384,226,626 Subserviced for the Company (1) $ 2,343,828 $ — $ 2,343,828 Delinquent loans: 30 days $ 8,707,825 $ 1,031,940 $ 9,739,765 60 days 2,131,137 157,325 2,288,462 90 days or more: Not in foreclosure 3,977,080 302,515 4,279,595 In foreclosure 1,088,058 58,922 1,146,980 Foreclosed 23,023 68,125 91,148 $ 15,927,123 $ 1,618,827 $ 17,545,950 Bankruptcy $ 1,943,407 $ 146,205 $ 2,089,612 Custodial funds managed by the Company (2) $ 7,576,973 $ 3,935,103 $ 11,512,076 (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. December 31, 2019 Contract Servicing servicing and Total rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 168,842,011 $ — $ 168,842,011 Purchased 59,703,547 — 59,703,547 228,545,558 — 228,545,558 PennyMac Mortgage Investment Trust — 135,414,668 135,414,668 Loans held for sale 4,724,006 — 4,724,006 $ 233,269,564 $ 135,414,668 $ 368,684,232 Delinquent loans: 30 days $ 7,987,132 $ 857,660 $ 8,844,792 60 days 2,490,797 172,263 2,663,060 90 days or more: Not in foreclosure 4,070,482 274,592 4,345,074 In foreclosure 1,113,806 68,331 1,182,137 Foreclosed 18,315 89,421 107,736 $ 15,680,532 $ 1,462,267 $ 17,142,799 Bankruptcy $ 1,898,367 $ 136,818 $ 2,035,185 Custodial funds managed by the Company (1) $ 6,412,291 $ 2,529,984 $ 8,942,275 (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. |
Summary of the geographical distribution of loans for the top five and all other states as measured by the total unpaid principal balance (UPB) | March 31, December 31, State 2020 2019 (in thousands) California $ 58,058,528 $ 57,311,867 Florida 31,714,639 28,940,696 Texas 29,709,362 27,909,821 Virginia 22,531,313 22,115,619 Maryland 17,282,260 16,829,320 All other states 224,930,524 215,576,909 $ 384,226,626 $ 368,684,232 |
Fair Value (Tables)
Fair Value (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Fair Value | |
Summary of financial statement items measured at estimated fair value on a recurring basis | March 31, 2020 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 1,884 $ — $ — $ 1,884 Loans held for sale at fair value — 4,735,400 806,587 5,541,987 Derivative assets: Interest rate lock commitments — — 317,621 317,621 Repurchase agreement derivatives — — 8,187 8,187 Forward purchase contracts — 421,860 — 421,860 Forward sales contracts — 23,346 — 23,346 MBS put options — 4,062 — 4,062 Swaptions — 36,696 — 36,696 Put options on interest rate futures purchase contracts 13,676 — — 13,676 Call options on interest rate futures purchase contracts 24,434 — — 24,434 Total derivative assets before netting 38,110 485,964 325,808 849,882 Netting — — — (416,671) Total derivative assets 38,110 485,964 325,808 433,211 Mortgage servicing rights at fair value — — 2,193,697 2,193,697 Investment in PennyMac Mortgage Investment Trust 797 — — 797 $ 40,791 $ 5,221,364 $ 3,326,092 $ 8,171,576 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value $ — $ — $ 157,109 $ 157,109 Derivative liabilities: Interest rate lock commitments — — 2,427 2,427 Forward purchase contracts — 12,553 — 12,553 Forward sales contracts — 334,111 — 334,111 Total derivative liabilities before netting — 346,664 2,427 349,091 Netting — — — (305,939) Total derivative liabilities — 346,664 2,427 43,152 Mortgage servicing liabilities at fair value — — 29,761 29,761 $ — $ 346,664 $ 189,297 $ 230,022 December 31, 2019 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 74,611 $ — $ — $ 74,611 Loans held for sale at fair value — 4,529,075 383,878 4,912,953 Derivative assets: Interest rate lock commitments — — 138,511 138,511 Repurchase agreement derivatives — — 8,187 8,187 Forward purchase contracts — 12,364 — 12,364 Forward sales contracts — 17,097 — 17,097 MBS put options — 3,415 — 3,415 Swaptions — 2,409 — 2,409 Put options on interest rate futures purchase contracts 3,945 — — 3,945 Call options on interest rate futures purchase contracts 1,469 — — 1,469 Total derivative assets before netting 5,414 35,285 146,698 187,397 Netting — — — (27,711) Total derivative assets 5,414 35,285 146,698 159,686 Mortgage servicing rights at fair value — — 2,926,790 2,926,790 Investment in PennyMac Mortgage Investment Trust 1,672 — — 1,672 $ 81,697 $ 4,564,360 $ 3,457,366 $ 8,075,712 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value $ — $ — $ 178,586 $ 178,586 Derivative liabilities: Interest rate lock commitments — — 1,861 1,861 Forward purchase contracts — 19,040 — 19,040 Forward sales contracts — 18,045 — 18,045 Total derivative liabilities before netting — 37,085 1,861 38,946 Netting — — — (16,616) Total derivative liabilities — 37,085 1,861 22,330 Mortgage servicing liabilities at fair value — — 29,140 29,140 $ — $ 37,085 $ 209,587 $ 230,056 |
Summary of roll forward of items measured using Level 3 inputs on a recurring basis | Quarter ended March 31, 2020 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) Balance, December 31, 2019 $ 383,878 $ 136,650 $ 8,187 $ 2,926,790 $ 3,455,505 Purchases and issuances, net 1,641,231 341,980 — 25,760 2,008,971 Capitalization of interest and advances 18,027 — — — 18,027 Sales and repayments (738,928) — — — (738,928) Mortgage servicing rights resulting from loan sales — — — 282,315 282,315 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (7,523) — — — (7,523) Other factors — 199,918 — (1,041,168) (841,250) (7,523) 199,918 — (1,041,168) (848,773) Transfers from Level 3 to Level 2 (489,407) — — — (489,407) Transfers to real estate acquired in settlement of loans (691) — — — (691) Transfers of interest rate lock commitments to loans held for sale — (363,354) — — (363,354) Balance, March 31, 2020 $ 806,587 $ 315,194 $ 8,187 $ 2,193,697 $ 3,323,665 Changes in fair value recognized during the quarter relating to assets still held at March 31, 2020 $ (11,856) $ 315,194 $ — $ (1,041,168) $ (737,830) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended March 31, 2020 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, December 31, 2019 $ 178,586 $ 29,140 $ 207,726 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 379 — 379 Accrual of interest 1,974 — 1,974 Repayments (9,308) — (9,308) Mortgage servicing liabilities resulting from loan sales — 6,576 6,576 Changes in fair value included in income (14,522) (5,955) (20,477) Balance, March 31, 2020 $ 157,109 $ 29,761 $ 186,870 Changes in fair value recognized during the quarter relating to liabilities still outstanding at March 31, 2020 $ (14,522) $ (5,955) $ (20,477) Quarter ended March 31, 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 784,262 56,983 9,855 227,772 1,078,872 Sales and repayments (176,302) — (11,436) — (187,738) Mortgage servicing rights resulting from loan sales — — — 115,751 115,751 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (6,091) — — — (6,091) Other factors — 59,978 (557) (259,045) (199,624) (6,091) 59,978 (557) (259,045) (205,715) Transfers from Level 3 to Level 2 (405,163) — — — (405,163) Transfers to real estate acquired in settlement of loans (1,181) — — — (1,181) Transfers of interest rate lock commitments to loans held for sale — (100,234) — — (100,234) Balance, March 31, 2019 $ 455,533 $ 66,065 $ 24,632 $ 2,905,090 $ 3,451,320 Changes in fair value recognized during the quarter relating to assets still held at March 31, 2019 $ (3,540) $ 66,065 $ — $ (259,045) $ (196,520) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended March 31, 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 508 — 508 Accrual of interest 3,066 — 3,066 Repayments (10,552) — (10,552) Mortgage servicing liabilities resulting from loan sales — 794 794 Changes in fair value included in income (4,051) (1,631) (5,682) Balance, March 31, 2019 $ 205,081 $ 7,844 $ 212,925 Changes in fair value recognized during the quarter relating to liabilities still outstanding at March 31, 2019 $ (4,051) $ (1,631) $ (5,682) |
Summary of net gains (losses) from changes in fair values included in earnings for financial statement items carried at fair value | Quarter ended March 31, 2020 2019 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 $ — $ 398,718 $ 398,718 $ — $ 101,995 $ 101,995 Mortgage servicing rights (1,041,168) — (1,041,168) (259,045) — (259,045) $ (1,041,168) $ 398,718 $ (642,450) $ (259,045) $ 101,995 $ (157,050) Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust $ 14,522 $ — $ 14,522 $ 4,051 $ — $ 4,051 Mortgage servicing liabilities 5,955 — 5,955 1,631 — 1,631 $ 20,477 $ — $ 20,477 $ 5,682 $ — $ 5,682 |
Schedule of fair value and related principal amounts due upon maturity of assets and liabilities accounted for under the fair value option | March 31, 2020 December 31, 2019 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 $ 4,907,823 $ 4,624,282 $ 283,541 $ 4,628,333 $ 4,431,854 $ 196,479 90 days or more delinquent: Not in foreclosure 547,287 560,331 (13,044) 236,650 241,958 (5,308) In foreclosure 86,877 92,075 (5,198) 47,970 50,194 (2,224) $ 5,541,987 $ 5,276,688 $ 265,299 $ 4,912,953 $ 4,724,006 $ 188,947 |
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) March 31, 2020 $ — $ — $ 11,104 $ 11,104 December 31, 2019 $ — $ — $ 9,850 $ 9,850 |
Summary of total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | Quarter ended March 31, 2020 2019 (in thousands) Real estate acquired in settlement of loans $ (3,980) $ 21 |
Summary of carrying value and fair value of debt | Term Notes March 31, 2020 December 31, 2019 (in thousands) Fair value $ 978,250 $ 1,303,047 Carrying value $ 1,294,514 $ 1,294,070 |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items, excluding MSR purchases | Quarter ended March 31, 2020 2019 (Amount recognized and unpaid principal balance of underlying loans in thousands) MSR and pool characteristics: Amount recognized $ 282,315 $ 115,751 Unpaid principal balance of underlying loans $ 18,330,384 $ 8,145,850 Weighted average servicing fee rate (in basis points) 40 39 Key inputs (1): Pricing spread (2) Range 6.8% – 15.6% 5.8% – 15.6% Weighted average 8.2% 8.9% Annual total prepayment speed (3) Range 9.1% – 49.8% 5.8% – 73.0% Weighted average 14.5% 15.3% Equivalent average life (in years) Range 1.5 – 7.8 0.8 – 10.2 Weighted average 5.9 5.8 Per-loan annual cost of servicing Range $77 – $100 $78 – $100 Weighted average $97 $95 (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) Annual total prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is included for informational purposes. |
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 of the Company’s MSRs and the effect on the fair value from adverse changes in those inputs: March 31, 2020 December 31, 2019 (Fair value, unpaid principal balance of underlying loans and effect on fair value amounts in thousands) Fair value $ 2,193,697 $ 2,926,790 Pool characteristics: Unpaid principal balance of underlying loans $ 231,484,161 $ 225,787,103 Weighted average note interest rate 3.9% 3.9% Weighted average servicing fee rate (in basis points) 35 35 Key inputs (1): Pricing spread (2): Range 8.3% – 18.1% 6.8% – 15.8% Weighted average 10.7% 8.5% Effect on fair value of: 5% adverse change ($38,151) ($44,561) 10% adverse change ($74,912) ($87,734) 20% adverse change ($144,545) ($170,155) Annual total prepayment speed (3): Range 9.7% – 27.9% 9.3% – 40.9% Weighted average 16.5% 12.7% Equivalent average life (in years) Range 1.3 – 7.2 1.4 – 7.4 Weighted average 5.0 6.1 Effect on fair value of: 5% adverse change ($61,123) ($63,569) 10% adverse change ($119,166) ($124,411) 20% adverse change ($226,812) ($238,549) Annual per-loan cost of servicing: Range $78 – $112 $77 – $100 Weighted average $108 $97 Effect on fair value of: 5% adverse change ($24,995) ($24,516) 10% adverse change ($49,991) ($49,032) 20% adverse change ($99,981) ($98,065) (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) Annual total prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is included for informational purposes. |
Mortgage servicing liabilities | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | March 31, December 31, 2020 2019 Fair value (in thousands) $ $ Pool characteristics: Unpaid principal balance of underlying loans (in thousands) $ $ Servicing fee rate (in basis points) Key inputs: Pricing spread (1) Annual total prepayment speed (2) Equivalent 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. Annual total 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 | March 31, December 31, 2020 2019 Fair value (in thousands) $ 157,109 $ 178,586 Pool characteristics: Unpaid principal balance of underlying loans (in thousands) $ 19,153,856 $ 19,904,571 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 5.4% – 5.8% 3.0% – 3.3% Weighted average 5.6% 3.1% Annual total prepayment speed (3): Range 8.7% – 14.9% 8.7% – 16.2% Weighted average 11.9% 11.0% Equivalent average life (in years) Range 2.7 – 7.1 2.7 – 7.2 Weighted average 5.8 6.1 (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) Annual total prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is included for informational purposes. |
Interest rate lock commitments | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | March 31, 2020 December 31, 2019 Fair value (in thousands) (1) $ 315,194 $ 136,650 Key inputs (2): Pull-through rate: Range 11.8% – 100% 12.2% – 100% Weighted average 78.9% 86.5% Mortgage servicing rights value expressed as: Servicing fee multiple: Range 0.9 – 5.4 1.4 – 5.7 Weighted average 3.5 4.2 Percentage of unpaid principal balance: Range 0.2% – 2.8% 0.3% – 2.8% Weighted average 1.2% 1.6% (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 | March 31, 2020 December 31, 2019 Fair value (in thousands) $ 806,587 $ 383,878 Key inputs (1): Discount rate: Range 2.9% – 9.2% 3.0% – 9.2% Weighted average 2.9% 3.0% Twelve-month projected housing price index change: Range 1.4% – 2.1% 2.6% – 3.2% Weighted average 1.6% 2.8% Voluntary prepayment/resale speed (2): Range 0.4% – 21.2% 0.4% – 21.4% Weighted average 18.8% 18.2% Total prepayment speed (3): Range 0.6% – 38.2% 0.5% – 39.2% Weighted average 37.0% 36.2% (1) Weighted average inputs are based on the fair value of the “Level 3” 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, which includes both voluntary and involuntary prepayments/resale and defaults. |
Loans Held for Sale at Fair V_2
Loans Held for Sale at Fair Value (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Loans Held for Sale at Fair Value | |
Summary of loans held for sale at fair value | March 31, December 31, Loan type 2020 2019 (in thousands) Government-insured or guaranteed $ 3,998,657 $ 4,222,010 Conventional conforming 735,615 307,065 Jumbo 1,128 — Purchased from Ginnie Mae pools serviced by the Company 788,283 374,121 Repurchased pursuant to representations and warranties 17,961 9,244 Home equity lines of credit 343 513 $ 5,541,987 $ 4,912,953 Fair value of loans pledged to secure: Assets sold under agreements to repurchase $ 4,937,094 $ 4,322,789 Mortgage loan participation purchase and sale agreements 556,238 523,349 $ 5,493,332 $ 4,846,138 |
Derivative Financial Instrume_2
Derivative Financial Instruments (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Derivative Financial Instruments | |
Summary of derivative financial instruments | March 31, 2020 December 31, 2019 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 9,377,614 $ 317,621 $ 2,427 7,122,316 $ 138,511 $ 1,861 Repurchase agreement derivatives 8,187 — 8,187 — Used for hedging purposes: Forward purchase contracts 20,480,331 421,860 12,553 13,618,361 12,364 19,040 Forward sales contracts 20,196,818 23,346 334,111 16,220,526 17,097 18,045 MBS put options 10,700,000 4,062 — 6,100,000 3,415 — Swaption futures purchase contracts 6,800,000 36,696 — 1,750,000 2,409 — Put options on interest rate futures purchase contracts 4,925,000 13,676 — 2,250,000 3,945 — Call options on interest rate futures purchase contracts 1,925,000 24,434 — 750,000 1,469 — Treasury futures purchase contracts 650,000 — — 1,276,000 — — Treasury futures sale contracts 810,000 — — 1,010,000 — — Interest rate swap futures purchase contracts 2,560,000 — — 3,210,000 — — Total derivatives before netting 849,882 349,091 187,397 38,946 Netting (416,671) (305,939) (27,711) (16,616) $ 433,211 $ 43,152 $ 159,686 $ 22,330 Collateral placed with (received from) derivative counterparties, net $ (110,732) $ (11,095) |
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 | Notional amounts, quarter ended March 31, 2020 Beginning of Dispositions/ End of Instrument quarter Additions expirations quarter (in thousands) Forward purchase contracts 13,618,361 112,859,449 (105,997,479) 20,480,331 Forward sale contracts 16,220,526 130,436,231 (126,459,939) 20,196,818 MBS put options 6,100,000 22,000,000 (17,400,000) 10,700,000 Swaption futures purchase contracts 1,750,000 7,900,000 (2,850,000) 6,800,000 Swaption futures sale contracts — 2,850,000 (2,850,000) — Put options on interest rate futures purchase contracts 2,250,000 7,600,000 (4,925,000) 4,925,000 Call options on interest rate futures purchase contracts 750,000 3,540,000 (2,365,000) 1,925,000 Put options on interest rate futures sale contracts — 4,925,000 (4,925,000) — Call options on interest rate futures sale contracts — 2,365,000 (2,365,000) — Treasury futures purchase contracts 1,276,000 2,035,000 (2,661,000) 650,000 Treasury futures sale contracts 1,010,000 2,461,000 (2,661,000) 810,000 Interest rate swap futures purchase contracts 3,210,000 1,225,000 (1,875,000) 2,560,000 Interest rate swap futures sales contracts — 1,875,000 (1,875,000) — Notional amounts, quarter ended March 31, 2019 Beginning of Dispositions/ End of Instrument quarter Additions expirations quarter (in thousands) Forward purchase contracts 6,657,026 52,621,845 (49,965,482) 9,313,389 Forward sale contracts 6,890,046 59,673,487 (58,980,528) 7,583,005 MBS put options 4,635,000 19,160,000 (14,370,000) 9,425,000 MBS call options 1,450,000 4,500,000 (2,600,000) 3,350,000 Put options on interest rate futures purchase contracts 3,085,000 6,675,000 (6,410,000) 3,350,000 Call options on interest rate futures purchase contracts 1,512,500 4,462,800 (3,725,300) 2,250,000 Put options on interest rate futures sale contracts — 10,135,300 (10,135,300) — Treasury futures purchase contracts 835,000 4,111,200 (3,136,200) 1,810,000 Treasury futures sale contracts 1,450,000 2,761,200 (3,136,200) 1,075,000 Interest rate swap futures purchase contracts 625,000 400,000 — 1,025,000 |
Summaries of derivative assets and related netting amounts | March 31, 2020 December 31, 2019 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 $ 317,621 $ — $ 317,621 $ 138,511 $ — $ 138,511 Repurchase agreement derivatives 8,187 — 8,187 8,187 — 8,187 325,808 — 325,808 146,698 — 146,698 Derivatives subject to master netting arrangements: Forward purchase contracts 421,860 — 421,860 12,364 — 12,364 Forward sale contracts 23,346 — 23,346 17,097 — 17,097 MBS put options 4,062 — 4,062 3,415 — 3,415 Swaptions 36,696 — 36,696 2,409 — 2,409 Put options on interest rate futures purchase contracts 13,676 — 13,676 3,945 — 3,945 Call options on interest rate futures purchase contracts 24,434 — 24,434 1,469 — 1,469 Netting — (416,671) (416,671) — (27,711) (27,711) 524,074 (416,671) 107,403 40,699 (27,711) 12,988 $ 849,882 $ (416,671) $ 433,211 $ 187,397 $ (27,711) $ 159,686 |
Summary of the amount of derivative asset positions by significant counterparty after considering master netting arrangements and financial instruments or cash pledged | March 31, 2020 December 31, 2019 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 $ 317,621 $ — $ — $ 317,621 $ 138,511 $ — $ — $ 138,511 RJ O'Brien 38,109 — — 38,109 5,414 — — 5,414 JPMorgan Chase Bank, N.A. 27,313 — — 27,313 2,196 — — 2,196 Goldman Sachs 14,537 — — 14,537 2,548 — — 2,548 Citibank, N.A. 9,995 — — 9,995 — — — — Deutsche Bank 7,894 — — 7,894 9,138 — — 9,138 Wells Fargo Bank, N.A. 5,848 — — 5,848 — — — — Daiwa Capital Markets 3,084 — — 3,084 — — — — Mizuho Securities 2,989 — — 2,989 1,597 — — 1,597 Federal National Mortgage Association 1,980 — — 1,980 — — — — Others 3,841 — — 3,841 282 — — 282 $ 433,211 $ — $ — $ 433,211 $ 159,686 $ — $ — $ 159,686 |
Summary of net derivative liabilities and assets sold under agreements to repurchase and related netting amounts | March 31, 2020 December 31, 2019 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 $ 2,427 $ — $ 2,427 $ 1,861 $ — $ 1,861 Derivatives subject to a master netting arrangement: Forward purchase contracts 12,553 — 12,553 19,040 — 19,040 Forward sale contracts 334,111 — 334,111 18,045 — 18,045 Netting — (305,939) (305,939) — (16,616) (16,616) 346,664 (305,939) 40,725 37,085 (16,616) 20,469 Total derivatives 349,091 (305,939) 43,152 38,946 (16,616) 22,330 Assets sold under agreements to repurchase: Amount outstanding 4,446,795 — 4,446,795 4,141,680 — 4,141,680 Unamortized debt issuance cost, net (2,250) — (2,250) (627) — (627) 4,444,545 — 4,444,545 4,141,053 — 4,141,053 $ 4,793,636 $ (305,939) $ 4,487,697 $ 4,179,999 $ (16,616) $ 4,163,383 |
Summary of amount of derivative liabilities and assets sold under agreements to repurchase by significant counterparty after considering master netting arrangements and financial instruments or cash pledged | March 31, 2020 December 31, 2019 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 $ 2,427 $ — $ — $ 2,427 $ 1,861 $ — $ — $ 1,861 Credit Suisse First Boston Mortgage Capital LLC 1,552,669 (1,533,516) — 19,153 1,235,430 (1,235,430) — — JPMorgan Chase Bank, N.A. 870,965 (870,965) — — 936,172 (936,172) — — Citibank, N.A. 657,315 (657,315) — — 655,831 (653,170) — 2,661 Bank of America, N.A. 654,788 (643,834) — 10,954 379,400 (374,190) — 5,210 Morgan Stanley Bank, N.A. 296,497 (293,813) — 2,684 582,941 (582,941) — — Royal Bank of Canada 250,919 (250,919) — — 175,897 (175,897) — — BNP Paribas 196,791 (196,433) — 358 183,880 (183,880) — — Federal National Mortgage Association 5,674 — — 5,674 — — — — Mitsubishi UFJ Securities 1,396 — — 1,396 — — — — Wells Fargo Bank, N.A. — — — — 11,212 — — 11,212 Others 506 — — 506 1,386 — — 1,386 $ 4,489,947 $ (4,446,795) $ — $ 43,152 $ 4,164,010 $ (4,141,680) $ — $ 22,330 |
Summary of gains (losses) recognized on derivative financial instruments and the respective income statement line items | Quarter ended March 31, Derivative activity Income statement line 2020 2019 (in thousands) Interest rate lock commitments Net gains on loans held for sale at fair value $ 178,543 $ 16,727 Repurchase agreement derivatives Interest expense $ — $ (557) Hedged item: Interest rate lock commitments and loans held for sale Net gains on loans held for sale at fair value $ (225,557) $ (34,668) Mortgage servicing rights Net loan servicing fees –C hange in fair value of mortgage servicing rights and mortgage servicing liabilities $ 1,036,570 $ 134,557 |
Mortgage Servicing Rights and_2
Mortgage Servicing Rights and Mortgage Servicing Liabilities (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Mortgage Servicing Rights and Mortgage Servicing Liabilities | |
Schedule of activity in MSRs carried at fair value | Quarter ended March 31, 2020 2019 (in thousands) Balance at beginning of quarter $ 2,926,790 $ 2,820,612 Additions: Resulting from loan sales 282,315 115,751 Purchases 25,760 227,772 308,075 343,523 Change in fair value due to: Changes in valuation inputs used in valuation model (1) (915,862) (161,638) Other changes in fair value (2) (125,306) (97,407) Total change in fair value (1,041,168) (259,045) Balance at end of quarter $ 2,193,697 $ 2,905,090 March 31, December 31, 2020 2019 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and Notes payable secured by mortgage servicing assets $ 2,163,928 $ 2,920,603 (1) Principally reflects changes in discount rate and prepayment speed inputs, primarily due to changes in market interest rates, and servicing costs. (2) Represents changes due to realization of cash flows. |
Schedule of activity in mortgage servicing liability carried at fair value | Quarter ended March 31, 2020 2019 (in thousands) Balance at beginning of quarter $ 29,140 $ 8,681 Mortgage servicing liabilities resulting from loan sales 6,576 794 Changes in fair value due to: Changes in valuation inputs used in valuation model (1) 4,432 3,301 Other changes in fair value (2) (10,387) (4,932) Total change in fair value (5,955) (1,631) Balance at end of quarter $ 29,761 $ 7,844 (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 March 31, 2020 2019 (in thousands) Contractual servicing fees $ 198,653 $ 166,790 Other fees: Late charges 12,613 9,812 Other 4,850 1,661 $ 216,116 $ 178,263 |
Leases (Tables)
Leases (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Leases | |
Summary of Company's leases | Quarter ended March 31, 2020 2019 (dollars in thousands) Lease expense: Operating leases $ 3,932 $ 3,229 Short-term leases 256 217 Sublease income — (32) Net lease expense included in Occupancy and equipment $ 4,188 $ 3,414 Other information: Cash payments for operating leases $ 4,440 $ 3,846 Operating lease right-of-use assets recognized: Upon adoption Accounting Standards Update 2016-02, Leases (Topic 842) $ — $ 58,598 New leases 1,534 — $ 1,534 $ 58,598 Period end weighted averages: Remaining lease term (in years) 6.9 6.3 Discount rate |
Schedule of maturities of operating lease liabilities | Twelve months ended March 31, Operating leases (in thousands) 2021 $ 17,111 2022 15,795 2023 14,509 2024 13,755 2025 11,643 Thereafter 32,758 Total lease payments 105,571 Less imputed interest (15,742) Total $ 89,829 |
Borrowings (Tables)
Borrowings (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Borrowings | |
Summary of financial data pertaining to assets sold under agreements to repurchase | Quarter ended March 31, 2020 2019 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ 3,139,328 $ 1,437,957 Weighted average interest rate (1) 3.07 % 4.47 % Total interest expense (2) $ 25,684 $ 8,635 Maximum daily amount outstanding $ 4,446,795 $ 2,152,588 March 31, December 31, 2020 2019 (dollars in thousands) Carrying value: Unpaid principal balance $ 4,446,795 $ 4,141,680 Unamortized debt issuance costs (2,250) (627) $ 4,444,545 $ 4,141,053 Weighted average interest rate 2.54 % 3.29 % Available borrowing capacity (3): Committed $ — $ 125,810 Uncommitted 1,403,205 782,510 $ 1,403,205 $ 908,320 Fair value of assets securing repurchase agreements: Loans held for sale $ 4,937,094 $ 4,322,789 Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 99,766 $ 107,512 Servicing advances (4) $ 182,531 $ 207,460 Mortgage servicing rights (4) $ 2,151,501 $ 2,902,721 Margin deposits placed with counterparties (5) $ 5,000 $ 5,000 (1) Excludes the effect of amortization of net issuance costs of $1.6 million and premiums of $7.4 million for the quarters ended March 31, 2020 and 2019, 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 $9.3 million of such incentives as reductions in Interest expense during the quarter ended March 31, 2019. 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 secured by mortgage servicing assets . 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 secured by mortgage servicing assets on the Company's consolidated balance sheets. (5) Margin deposits are included in Other assets on the Company’s consolidated balance sheets. |
Summary of maturities of outstanding advances under repurchase agreements by maturity date | Remaining maturity at March 31, 2020 Unpaid principal balance (dollars in thousands) Within 30 days $ 1,585,379 Over 30 to 90 days 2,614,849 Over 90 to 180 days 246,567 Total assets sold under agreements to repurchase $ 4,446,795 Weighted average maturity (in months) 1.2 |
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) $ 983,098 April 26, 2020 April 26, 2020 Credit Suisse First Boston Mortgage Capital LLC $ 245,618 April 24, 2020 April 24, 2020 JP Morgan Chase Bank, N.A. $ 97,688 June 1, 2020 October 9, 2020 Citibank, N.A. $ 67,788 April 10, 2020 August 4, 2020 Bank of America, N.A. $ 61,809 May 4, 2020 March 11, 2021 Morgan Stanley Bank, N.A. $ 26,408 June 12, 2020 August 21, 2020 Royal Bank of Canada $ 24,012 April 30, 2020 April 30, 2020 BNP Paribas $ 15,575 June 16, 2020 July 31, 2020 |
Summary of mortgage loan participations | Quarter ended March 31, 2020 2019 (dollars in thousands) Average balance $ 247,811 $ 236,667 Weighted average interest rate (1) 2.64 % 3.68 % Total interest expense $ 1,810 $ 2,311 Maximum daily amount outstanding $ 530,220 $ 548,038 (1) Excludes the effect of amortization of facility fees totaling $173,000 and $135,000 for the quarters ended March 31, 2020 and 2019, respectively. March 31, December 31, 2020 2019 (dollars in thousands) Carrying value: Unpaid principal balance $ 528,750 $ 497,948 Unamortized debt issuance costs — — $ 528,750 $ 497,948 Weighted average interest rate 2.18 % 3.05 % Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements $ 556,238 $ 523,349 |
Summary of obligations under capital lease | Quarter ended March 31, 2020 2019 (dollars in thousands) Average balance $ 19,406 $ 5,848 Weighted average interest rate 3.36 % 4.50 % Total interest expense $ 167 $ 66 Maximum daily amount outstanding $ 20,810 $ 6,605 March 31, December 31, 2020 2019 (dollars in thousands) Unpaid principal balance $ 18,145 $ 20,810 Weighted average interest rate 3.18 % 3.74 % Assets pledged to secure obligations under capital lease: Furniture, fixtures and equipment $ 7,392 $ 20,406 Capitalized software $ 10,606 $ 12,192 |
Summary of note payable | Quarter ended March 31, 2020 2019 (dollars in thousands) Average balance $ 1,300,000 $ 1,300,000 Weighted average interest rate (1) 4.43 % 5.25 % Total interest expense $ 14,846 $ 17,510 Maximum daily amount outstanding $ 1,300,000 $ 1,300,000 (1) Excludes the effect of amortization of debt issuance costs totaling $445,000 and $734,000 for the quarters ended March 31, 2020 and 2019, respectively. March 31, December 31, 2020 2019 (dollars in thousands) Carrying value: Unpaid principal balance $ 1,300,000 $ 1,300,000 Unamortized debt issuance costs (5,486) (5,930) $ 1,294,514 $ 1,294,070 Weighted average interest rate 4.38 % 4.46 % Assets pledged to secure notes payable: Servicing advances (1) $ 182,531 $ 207,460 Mortgage servicing rights (1) $ 2,117,619 $ 2,861,442 (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 secured by mortgage servicing assets on the Company's consolidated balance sheet. |
Summary of Corporate revolving line of credit | Quarter ended March 31, 2020 2019 (dollars in thousands) Interest expense (1) $ 503 $ 485 March 31, December 31, 2020 2019 (dollars in thousands) Carrying value $ — $ — Unused amount $ 150,000 $ 150,000 Cash pledged to secure corporate revolving line of credit $ 773,361 $ 52,599 (1) Interest expenses represent debt issuance costs and non-utilization fees. |
Summary of roll forward of Excess Servicing Spread Financing | Quarter ended March 31, 2020 2019 (in thousands) Balance at beginning of quarter $ 178,586 $ 216,110 Issuances of excess servicing spread to PennyMac Mortgage Investment Trust pursuant to recapture agreement 379 508 Accrual of interest 1,974 3,066 Repayment (9,308) (10,552) Change in fair value (14,522) (4,051) Balance at end of quarter $ 157,109 $ 205,081 |
Liability for Losses Under Re_2
Liability for Losses Under Representations and Warranties (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Liability for Losses Under Representations and Warranties | |
Summary of repurchase activity | Quarter ended March 31, 2020 2019 (in thousands) Balance at beginning of quarter $ 21,446 $ 21,155 Provision for losses on loans sold: Resulting from sales of loans 3,712 1,067 Reduction in liability due to change in estimate (1,676) (4,210) Losses incurred, net (280) (30) Balance at end of quarter $ 23,202 $ 17,982 Unpaid principal balance of loans subject to representations and warranties at end of quarter $ 186,517,598 $ 133,698,782 |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Stockholders' Equity. | |
Summary of share repurchase activity | Quarter ended March 31, Cumulative 2020 2019 total (1) (in thousands) Shares of common stock repurchased 238 — 1,054 Cost of shares of common stock repurchased $ 4,121 $ — $ 19,069 Amounts represent the total shares of common stock repurchased under the stock repurchase program through March 31, 2020 |
Net Gains on Loans Held for S_2
Net Gains on Loans Held for Sale (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Net Gains on Loans Held for Sale | |
Net Gains on Loans Held for Sale | Quarter ended March 31, 2020 2019 (in thousands) From non-affiliates: Cash loss: Loans $ 111,757 $ (41,242) Hedging activities (122,666) (8,927) (10,909) (50,169) Non-cash gain: Mortgage servicing rights and mortgage servicing liabilities resulting from loan sales 275,739 114,957 Provision for losses relating to representations and warranties: Pursuant to loan sales (3,712) (1,067) Reduction in liability due to change in estimate 1,676 4,210 Change in fair value of loans and derivatives held at quarter end: Interest rate lock commitments 178,543 16,727 Loans (72,080) (164) Hedging derivatives (102,891) (25,741) 266,366 58,753 From PennyMac Mortgage Investment Trust 77,916 26,023 $ 344,282 $ 84,776 |
Net Interest Income (Tables)
Net Interest Income (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Net Interest Income | |
Summary of net interest income | Quarter ended March 31, 2020 2019 (in thousands) Interest income: From non-affiliates: Cash and short-term investments $ 1,711 $ 1,933 Loans held for sale at fair value 46,426 31,343 Placement fees relating to custodial funds 23,209 23,261 71,346 56,537 From PennyMac Mortgage Investment Trust—Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell 1,218 1,796 72,564 58,333 Interest expense: To non-affiliates: Assets sold under agreements to repurchase (1) 25,684 8,635 Mortgage loan participation purchase and sale agreements 1,810 2,311 Obligations under capital lease 167 66 Notes payable 15,349 17,995 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 14,871 4,311 Interest on mortgage loan impound deposits 1,657 1,159 59,538 34,477 To PennyMac Mortgage Investment Trust—Excess servicing spread financing at fair value 1,974 3,066 61,512 37,543 $ 11,052 $ 20,790 In 2017, the Company entered into a master repurchase agreement that provided the Company with incentives to finance mortgage loans approved for satisfying certain consumer relief characteristics as provided in the agreement. The Company included $9.3 million of such incentives as reductions of Interest expense during the quarter ended March 31, 2019. The master repurchase agreement expired on August 21, 2019. |
Stock-based Compensation (Table
Stock-based Compensation (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Stock-based Compensation | |
Summary of the stock-based compensation activity | Quarter ended March 31, 2020 2019 (in thousands) Grants: Units: Performance-based RSUs 422 665 Stock options 273 344 Time-based RSUs 304 330 Grant date fair value: Performance-based RSUs $ 14,768 $ 15,253 Stock options 2,770 2,965 Time-based RSUs 10,662 7,545 Total $ 28,200 $ 25,763 Vestings and exercises: Performance-based RSUs vested 603 648 Stock options exercised 180 89 Time-based RSUs vested 348 291 Compensation expense $ 12,368 $ 4,531 |
Earnings Per Share of Common _2
Earnings Per Share of Common Stock (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Earnings Per Share of Common Stock | |
Summary of basic and diluted earnings per share calculations | Quarter ended March 31, 2020 2019 (in thousands, except per share amounts) Net income $ 306,243 $ 46,135 Weighted average basic shares of common stock outstanding 78,689 77,653 Effect of dilutive shares: Common shares issuable under stock-based compensation plan 3,319 1,633 Weighted average shares of common stock applicable to diluted earnings per share 82,008 79,286 Basic earnings per share of common stock $ 3.89 $ 0.59 Diluted earnings per share of common stock $ 3.73 $ 0.58 |
Schedule of anti-dilutive shares outstanding | Quarter ended March 31, 2020 2019 (in thousands except for weighted-average exercise price) Performance-based RSUs (1) 162 1,279 Time-based RSUs 117 61 Stock options (2) 105 706 Total anti-dilutive shares and units 384 2,046 Weighted average exercise price of anti-dilutive stock options (2) $ 35.03 $ 24.26 (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) | 3 Months Ended |
Mar. 31, 2020 | |
Supplemental Cash Flow Information | |
Schedule of supplemental cash flow information | Quarter ended March 31, 2020 2019 (in thousands) Cash paid for interest $ 64,527 $ 33,952 Cash paid for income taxes, net $ 13 $ 66 Non-cash investing activity: Mortgage servicing rights resulting from loan sales $ 282,315 $ 115,751 Mortgage servicing liabilities resulting from loan sales $ 6,576 $ 794 Unsettled portion of MSR acquisitions $ 1,656 $ 16,291 Operating right-of-use assets recognized $ 1,534 $ 58,598 Non-cash financing activity: Issuance of Excess servicing spread payable to PennyMac Mortgage Investment Trust pursuant to a recapture agreement $ 379 $ 508 Issuance of common stock in settlement of director fees $ 48 $ 86 |
Regulatory Capital and Liquid_2
Regulatory Capital and Liquidity Requirements (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Regulatory Capital and Liquidity Requirements | |
Summary of agencies' capital and liquidity requirements by each agency | March 31, 2020 December 31, 2019 Agency–company subject to requirement Actual (1) Requirement (1) Actual (1) Requirement (1) (dollars in thousands) Capital Fannie Mae & Freddie Mac – PLS $ 2,648,008 $ 600,991 $ 2,247,751 $ 585,674 Ginnie Mae – PLS $ 2,324,574 $ 931,240 $ 1,907,398 $ 910,456 HUD – PLS $ 2,324,574 $ 2,500 $ 1,907,398 $ 2,500 Liquidity Fannie Mae & Freddie Mac – PLS $ 875,336 $ 81,942 $ 257,794 $ 79,991 Ginnie Mae – PLS $ 875,336 $ 222,121 $ 257,794 $ 216,119 Adjusted net worth / Total assets ratio Ginnie Mae – PLS 22 % 6 % 19 % 6 % Tangible net worth / Total assets ratio Fannie Mae & Freddie Mac – PLS 25 % 6 % % % (1) Calculated in compliance with the respective Agency’s requirements. |
Segments (Tables)
Segments (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Segments | |
Schedule of change in expense allocation, by segment | Quarter ended March 31, 2020 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 316,635 $ 27,647 $ 344,282 $ — $ 344,282 Loan origination fees 57,571 — 57,571 — 57,571 Fulfillment fees from PennyMac Mortgage Investment Trust 41,940 — 41,940 — 41,940 Net loan servicing fees — 257,808 257,808 — 257,808 Net interest income: Interest income 26,585 45,979 72,564 — 72,564 Interest expense 20,157 41,346 61,503 9 61,512 6,428 4,633 11,061 (9) 11,052 Management fees — — — 9,055 9,055 Other (10) (680) (690) 807 117 Total net revenue 422,564 289,408 711,972 9,853 721,825 Expenses 182,433 118,566 300,999 6,096 307,095 Income before provision for income taxes $ 240,131 $ 170,842 $ 410,973 $ 3,757 $ 414,730 Segment assets at quarter end $ 5,686,878 $ 5,186,188 $ 10,873,066 $ 18,067 $ 10,891,133 (1) All revenues are from external customers. Quarter ended March 31, 2019 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 66,721 $ 18,055 $ 84,776 $ — $ 84,776 Loan origination fees 23,930 — 23,930 — 23,930 Fulfillment fees from PennyMac Mortgage Investment Trust 27,574 — 27,574 — 27,574 Net loan servicing fees — 80,571 80,571 — 80,571 Net interest income (expense): Interest income 14,369 43,964 58,333 — 58,333 Interest expense 3,915 33,621 37,536 7 37,543 10,454 10,343 20,797 (7) 20,790 Management fees — — — 7,248 7,248 Other 488 765 1,253 1,563 2,816 Total net revenue 129,167 109,734 238,901 8,804 247,705 Expenses 82,161 98,571 180,732 6,682 187,414 Income before provision for income taxes $ 47,006 $ 11,163 $ 58,169 $ 2,122 $ 60,291 Segment assets at quarter end $ 2,501,468 $ 5,299,813 $ 7,801,281 $ 17,719 $ 7,819,000 (1) All revenues are from external customers. |
Concentration of Risk (Details)
Concentration of Risk (Details) | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Sales Revenue | Customer Concentration Risk | ||
Concentration of Risk | ||
Percentage of total net revenue | 22.00% | 31.00% |
Transactions with Affiliates -
Transactions with Affiliates - Correspondent Production (Details) - USD ($) $ in Thousands | Sep. 12, 2016 | Mar. 31, 2020 | Mar. 31, 2019 |
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 | $ 77,916 | $ 26,023 | |
Sale of loans held for sale to PMT | 2,246,127 | 884,510 | |
Fulfillment fee revenue | 41,940 | 27,574 | |
Proceeds from sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust | 2,246,127 | 884,510 | |
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 | 81,224 | 27,146 | |
Mortgage servicing rights and excess servicing spread recapture incurred | (3,308) | (1,123) | |
Total of gain on sale of loans and MSR recapture | 77,916 | 26,023 | |
Sale of loans held for sale to PMT | 2,246,127 | 884,510 | |
Tax service fee | 3,980 | 2,243 | |
Fulfillment fee revenue | 41,940 | 27,574 | |
Unpaid principal balance of loans fulfilled for PMT | 16,152,543 | 8,135,552 | |
Sourcing fees paid | 4,161 | 1,994 | |
Unpaid principal balance of loans purchased from PMT | 13,870,280 | 6,647,338 | |
Proceeds from sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust | $ 2,246,127 | $ 884,510 |
Transactions with Affiliates _2
Transactions with Affiliates - Mortgage Loan Servicing (Details) | Sep. 12, 2016USD ($)item | Mar. 31, 2020USD ($) | Mar. 31, 2019USD ($) |
Summary of mortgage loan servicing fees earned | |||
Loan servicing fees | $ 198,653,000 | $ 166,790,000 | |
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 | ||
Additional servicing fee amount per month for delinquent loans | 10 | ||
Maximum | Loan Servicing Agreement | |||
Transactions with Affiliates | |||
Servicing fees amount per month for severely delinquent loans | 85 | ||
Additional servicing fee amount per month for delinquent loans | $ 55 | ||
PMT | |||
Summary of mortgage loan servicing fees earned | |||
Loan servicing fees | 14,521,000 | 10,570,000 | |
PMT | Loans acquired for sale at fair value | |||
Summary of mortgage loan servicing fees earned | |||
Loan servicing fees | 536,000 | 239,000 | |
PMT | Loans at fair value | |||
Summary of mortgage loan servicing fees earned | |||
Loan servicing fees | 300,000 | 463,000 | |
PMT | Mortgage servicing rights | |||
Summary of mortgage loan servicing fees earned | |||
Loan servicing fees | $ 13,685,000 | 9,868,000 | |
PMT | Other income. | |||
Summary of mortgage loan servicing fees earned | |||
Property management fees | $ 123,000 |
Transactions with Affiliates _3
Transactions with Affiliates - Management Fees (Details) - USD ($) | Sep. 12, 2016 | Mar. 31, 2020 | Mar. 31, 2019 |
Management Fee Revenue Abstract | |||
Management fees | $ 9,055,000 | $ 7,248,000 | |
PMT | |||
Management Fee Revenue Abstract | |||
Management fees | 9,055,000 | 7,248,000 | |
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 | 9,055,000 | 6,109,000 | |
Performance incentive | 1,139,000 | ||
Management fees | $ 9,055,000 | $ 7,248,000 | |
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 | Mar. 31, 2020 | Mar. 31, 2019 |
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 | $ 2,931,000 | $ 1,926,000 | |
Payments and settlements during the period | 33,683,000 | 15,189,000 | |
Common overhead incurred | |||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | |||
Reimbursement of common overhead and expenses incurred by the Company | 1,540,000 | 1,236,000 | |
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 | |
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 | $ 1,271,000 | $ 570,000 |
Transactions with Affiliates _5
Transactions with Affiliates - Other Transactions, Conditional Reimbursement (Details) - PMT - Conditional Reimbursement - USD ($) | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Aug. 04, 2009 | |
Conditional reimbursement | |||
Payments received | $ 211,000 | $ 75,000 | |
Maximum | |||
Conditional reimbursement | |||
Conditional reimbursement | $ 2,900,000 |
Transactions with Affiliates _6
Transactions with Affiliates - Investing Activities (Details) | Dec. 19, 2016USD ($)item | Mar. 31, 2020USD ($)shares | Mar. 31, 2019USD ($) | Dec. 31, 2019USD ($)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 | |||
Repurchase agreement with PennyMac Mortgage Investment Trust: | ||||
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell pledged to creditors | $ 99,766,000 | $ 107,512,000 | ||
Activity during the period: | ||||
Interest income on receivable from PennyMac Mortgage Investment Trust | 1,218,000 | $ 1,796,000 | ||
Activity during the period: | ||||
Dividends received from PennyMac Mortgage Investment Trust | 18,000 | 36,000 | ||
Change in fair value of investment in Common shares of PennyMac Mortgage Investment Trust | (875,000) | 156,000 | ||
Balance at end of period | (857,000) | 192,000 | ||
Loans and Leases Receivable, Related Parties | 99,766,000 | 107,512,000 | ||
Fair value of PennyMac Mortgage Investment Trust shares | $ 797,000 | $ 1,672,000 | ||
Number of shares | shares | 75,000 | 75,000 | ||
PMT | PennyMac Holdings, L L C Repurchase Agreement | ||||
Activity during the period: | ||||
Interest income on receivable from PennyMac Mortgage Investment Trust | $ 1,218,000 | $ 1,796,000 |
Transactions with Affiliates _7
Transactions with Affiliates - Financing Activities (Details) - USD ($) | 3 Months Ended | |||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | Feb. 01, 2013 | |
Financing activities: | ||||
Issuance pursuant to recapture agreement | $ 379,000 | $ 508,000 | ||
Repayments | 9,308,000 | 10,552,000 | ||
PMT | ||||
Financing activities: | ||||
Gain (loss) recognized | 14,522,000 | 4,051,000 | ||
Interest expense | 1,974,000 | 3,066,000 | ||
Excess servicing spread financing at fair value payable to affiliate | 157,109,000 | $ 178,586,000 | ||
PMT | 2/1/13 Spread Acquisition Agreement | ||||
Financing activities: | ||||
Maximum ESS recapture obligation | $ 200,000 | |||
Excess servicing spread financing | ||||
Financing activities: | ||||
Gain (loss) recognized | (14,522,000) | (4,051,000) | ||
Excess servicing spread financing | PMT | ||||
Financing activities: | ||||
Issuance pursuant to recapture agreement | 379,000 | 508,000 | ||
Repayments | 9,308,000 | 10,552,000 | ||
Gain (loss) recognized | 14,522,000 | 4,051,000 | ||
Interest expense | 1,974,000 | 3,066,000 | ||
Excess servicing spread recapture recognized | 381,000 | $ 489,000 | ||
Excess servicing spread financing at fair value payable to affiliate | $ 157,109,000 | $ 178,586,000 |
Transactions with Affiliates _8
Transactions with Affiliates - Amounts due from Affiliate (Details) - PMT - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Amounts due from affiliate | ||
Fulfillment fees | $ 17,366 | $ 18,285 |
Allocated expenses | 16,314 | 3,724 |
Management fees | 9,055 | 10,579 |
Correspondent production fees | 8,475 | 10,606 |
Servicing fees | 4,929 | 4,659 |
Interest on assets purchased under agreements to resell | 74 | 85 |
Conditional Reimbursement | 10 | 221 |
Total due from affiliate | 56,223 | 48,159 |
Payable to affiliate | ||
Amounts advanced by PMT | 55,769 | 70,520 |
MSR Recapture Payable to PMT | 151 | 149 |
Other expenses | 3,361 | 2,611 |
Payable to affiliates | $ 59,281 | $ 73,280 |
Transactions with Affiliates _9
Transactions with Affiliates - Exchanged Private National Mortgage Acceptance Company, LLC Unitholders (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
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 | $ 46.2 | $ 46.2 | |
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 | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
Cash flows: | |||
Sales proceeds | $ 19,337,017 | $ 8,536,430 | |
Servicing fees received | 166,556 | 137,148 | |
Net servicing advances | 15,209 | $ 24,176 | |
Period end information: | |||
Unpaid principal balance of loans outstanding | 175,709,882 | $ 168,842,011 | |
30-89 days | 8,314,858 | 7,947,560 | |
90 days or more - Not in foreclosure | 2,837,903 | 3,237,563 | |
90 days or more - In foreclosure | 832,922 | 888,136 | |
90 days or more - Foreclosed | 18,541 | 15,387 | |
Bankruptcy | $ 1,364,331 | $ 1,343,816 |
Loan Sales and Servicing Acti_4
Loan Sales and Servicing Activities - Summary of Mortgage Servicing Portfolio (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Mortgage servicing portfolio | ||
Loans held for sale | $ 5,276,688 | $ 4,724,006 |
Total loans serviced | 384,226,626 | 368,684,232 |
Subserviced for the Company | 2,343,828 | |
Delinquent loans: | ||
30 days | 9,739,765 | 8,844,792 |
60 days | 2,288,462 | 2,663,060 |
90 days or more - Not in foreclosure | 4,279,595 | 4,345,074 |
90 days or more - In foreclosure | 1,146,980 | 1,182,137 |
90 days or more - Foreclosed | 91,148 | 107,736 |
Total delinquent mortgage loans | 17,545,950 | 17,142,799 |
Bankruptcy | 2,089,612 | 2,035,185 |
Custodial funds managed by the Company | 11,512,076 | 8,942,275 |
Servicing rights owned | ||
Mortgage servicing portfolio | ||
Loans held for sale | 5,276,688 | 4,724,006 |
Total loans serviced | 239,396,583 | 233,269,564 |
Subserviced for the Company | 2,343,828 | |
Delinquent loans: | ||
30 days | 8,707,825 | 7,987,132 |
60 days | 2,131,137 | 2,490,797 |
90 days or more - Not in foreclosure | 3,977,080 | 4,070,482 |
90 days or more - In foreclosure | 1,088,058 | 1,113,806 |
90 days or more - Foreclosed | 23,023 | 18,315 |
Total delinquent mortgage loans | 15,927,123 | 15,680,532 |
Bankruptcy | 1,943,407 | 1,898,367 |
Custodial funds managed by the Company | 7,576,973 | 6,412,291 |
Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Total loans serviced | 144,830,043 | 135,414,668 |
Delinquent loans: | ||
30 days | 1,031,940 | 857,660 |
60 days | 157,325 | 172,263 |
90 days or more - Not in foreclosure | 302,515 | 274,592 |
90 days or more - In foreclosure | 58,922 | 68,331 |
90 days or more - Foreclosed | 68,125 | 89,421 |
Total delinquent mortgage loans | 1,618,827 | 1,462,267 |
Bankruptcy | 146,205 | 136,818 |
Custodial funds managed by the Company | 3,935,103 | 2,529,984 |
Non affiliated entities | ||
Mortgage servicing portfolio | ||
Originated | 175,709,882 | 168,842,011 |
Purchased | 58,410,013 | 59,703,547 |
Total loans serviced, excluding loans held for sale | 234,119,895 | 228,545,558 |
Non affiliated entities | Servicing rights owned | ||
Mortgage servicing portfolio | ||
Originated | 175,709,882 | 168,842,011 |
Purchased | 58,410,013 | 59,703,547 |
Total loans serviced, excluding loans held for sale | 234,119,895 | 228,545,558 |
Affiliated entities | ||
Mortgage servicing portfolio | ||
Advised entities | 144,830,043 | 135,414,668 |
Affiliated entities | Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Advised entities | $ 144,830,043 | $ 135,414,668 |
Loan Sales and Servicing Acti_5
Loan Sales and Servicing Activities - Geographical Distribution of Loans (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 384,226,626 | $ 368,684,232 |
California | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 58,058,528 | 57,311,867 |
Florida | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 31,714,639 | 28,940,696 |
Texas | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 29,709,362 | 27,909,821 |
Virginia | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 22,531,313 | 22,115,619 |
Maryland | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 17,282,260 | 16,829,320 |
All other states | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 224,930,524 | $ 215,576,909 |
Fair Value - Financial Statemen
Fair Value - Financial Statement Items Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Assets: | ||
Short-term investments at fair value | $ 1,884 | $ 74,611 |
Loans held for sale | 5,541,987 | 4,912,953 |
Derivative assets: | ||
Derivative asset, before netting | 849,882 | 187,397 |
Netting | (416,671) | (27,711) |
Total derivative assets | 433,211 | 159,686 |
Mortgage servicing rights at fair value | 2,163,928 | 2,920,603 |
Derivative liabilities: | ||
Derivative liability, before netting | 349,091 | 38,946 |
Netting | (305,939) | (16,616) |
Net amounts of liabilities presented in the consolidated balance sheet | 43,152 | 22,330 |
Mortgage servicing liabilities | 29,761 | 29,140 |
PMT | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 797 | 1,672 |
Interest rate lock commitments | ||
Derivative assets: | ||
Total derivative assets | 317,621 | 138,511 |
Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 421,860 | 12,364 |
Derivative liabilities: | ||
Derivative liability, before netting | 12,553 | 19,040 |
Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 23,346 | 17,097 |
Derivative liabilities: | ||
Derivative liability, before netting | 334,111 | 18,045 |
MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 4,062 | 3,415 |
Call options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 24,434 | 1,469 |
Put options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 13,676 | 3,945 |
Level 3 | Interest rate lock commitments | ||
Assets: | ||
Loans held for sale | 315,194 | 136,650 |
Recurring basis | ||
Assets: | ||
Short-term investments at fair value | 1,884 | 74,611 |
Loans held for sale | 5,541,987 | 4,912,953 |
Derivative assets: | ||
Derivative asset, before netting | 849,882 | 187,397 |
Netting | (416,671) | (27,711) |
Total derivative assets | 433,211 | 159,686 |
Mortgage servicing rights at fair value | 2,193,697 | 2,926,790 |
Total assets | 8,171,576 | 8,075,712 |
Derivative liabilities: | ||
Derivative liability, before netting | 349,091 | 38,946 |
Netting | (305,939) | (16,616) |
Net amounts of liabilities presented in the consolidated balance sheet | 43,152 | 22,330 |
Mortgage servicing liabilities | 29,761 | 29,140 |
Total liabilities | 230,022 | 230,056 |
Recurring basis | PMT | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 797 | 1,672 |
Derivative liabilities: | ||
Excess servicing spread financing at fair value to affiliate | 157,109 | 178,586 |
Recurring basis | Interest rate lock commitments | ||
Derivative assets: | ||
Derivative asset, before netting | 317,621 | 138,511 |
Derivative liabilities: | ||
Derivative liability, before netting | 2,427 | 1,861 |
Recurring basis | Repurchase agreement derivatives | ||
Derivative assets: | ||
Derivative asset, before netting | 8,187 | 8,187 |
Recurring basis | Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 421,860 | 12,364 |
Derivative liabilities: | ||
Derivative liability, before netting | 12,553 | 19,040 |
Recurring basis | Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 23,346 | 17,097 |
Derivative liabilities: | ||
Derivative liability, before netting | 334,111 | 18,045 |
Recurring basis | MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 4,062 | 3,415 |
Recurring basis | Swaptions | ||
Derivative assets: | ||
Derivative asset, before netting | 36,696 | 2,409 |
Recurring basis | Call options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 24,434 | 1,469 |
Recurring basis | Put options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 13,676 | 3,945 |
Recurring basis | Level 1 | ||
Assets: | ||
Short-term investments at fair value | 1,884 | 74,611 |
Derivative assets: | ||
Derivative asset, before netting | 38,110 | 5,414 |
Total derivative assets | 38,110 | 5,414 |
Total assets | 40,791 | 81,697 |
Recurring basis | Level 1 | PMT | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 797 | 1,672 |
Recurring basis | Level 1 | Call options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 24,434 | 1,469 |
Recurring basis | Level 1 | Put options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 13,676 | 3,945 |
Recurring basis | Level 2 | ||
Assets: | ||
Loans held for sale | 4,735,400 | 4,529,075 |
Derivative assets: | ||
Derivative asset, before netting | 485,964 | 35,285 |
Total derivative assets | 485,964 | 35,285 |
Total assets | 5,221,364 | 4,564,360 |
Derivative liabilities: | ||
Derivative liability, before netting | 346,664 | 37,085 |
Net amounts of liabilities presented in the consolidated balance sheet | 346,664 | 37,085 |
Total liabilities | 346,664 | 37,085 |
Recurring basis | Level 2 | Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 421,860 | 12,364 |
Derivative liabilities: | ||
Derivative liability, before netting | 12,553 | 19,040 |
Recurring basis | Level 2 | Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 23,346 | 17,097 |
Derivative liabilities: | ||
Derivative liability, before netting | 334,111 | 18,045 |
Recurring basis | Level 2 | MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 4,062 | 3,415 |
Recurring basis | Level 2 | Swaptions | ||
Derivative assets: | ||
Derivative asset, before netting | 36,696 | 2,409 |
Recurring basis | Level 3 | ||
Assets: | ||
Loans held for sale | 806,587 | 383,878 |
Derivative assets: | ||
Derivative asset, before netting | 325,808 | 146,698 |
Total derivative assets | 325,808 | 146,698 |
Mortgage servicing rights at fair value | 2,193,697 | 2,926,790 |
Total assets | 3,326,092 | 3,457,366 |
Derivative liabilities: | ||
Derivative liability, before netting | 2,427 | 1,861 |
Net amounts of liabilities presented in the consolidated balance sheet | 2,427 | 1,861 |
Mortgage servicing liabilities | 29,761 | 29,140 |
Total liabilities | 189,297 | 209,587 |
Recurring basis | Level 3 | PMT | ||
Derivative liabilities: | ||
Excess servicing spread financing at fair value to affiliate | 157,109 | 178,586 |
Recurring basis | Level 3 | Interest rate lock commitments | ||
Derivative assets: | ||
Derivative asset, before netting | 317,621 | 138,511 |
Derivative liabilities: | ||
Derivative liability, before netting | 2,427 | 1,861 |
Recurring basis | Level 3 | Repurchase agreement derivatives | ||
Derivative assets: | ||
Derivative asset, before netting | $ 8,187 | $ 8,187 |
Fair Value - Level 3 Input Roll
Fair Value - Level 3 Input Roll Forward, Recurring Basis (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||
Mortgage servicing liabilities resulting from loan sales | $ 6,576 | $ 794 |
Excess servicing spread financing | ||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||
Balance at the beginning of the period | 178,586 | 216,110 |
Accrual of interest on excess servicing spread financing | 1,974 | 3,066 |
Repayment | (9,308) | (10,552) |
Changes in fair value included in income | (14,522) | (4,051) |
Balance at the end of the period | 157,109 | 205,081 |
Recurring basis | ||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||
Balance at the beginning of the period | 3,455,505 | 3,156,728 |
Purchases and issuances, net | 2,008,971 | 1,078,872 |
Capitalization of interest and advances | 18,027 | |
Sales and repayments | (738,928) | (187,738) |
Mortgage servicing rights resulting from loan sales | 282,315 | 115,751 |
Changes in fair value included in income arising from: | ||
Changes in instrument specific credit risk | (7,523) | (6,091) |
Other factors | (841,250) | (199,624) |
Total changes in fair value included in income | (848,773) | (205,715) |
Transfers from mortgage loans held for sale from Level 3 to Level 2 | (489,407) | (405,163) |
Transfers to real estate acquired in settlement of loans | (691) | (1,181) |
Transfers from interest rate lock commitments to loans held for sale | (363,354) | (100,234) |
Balance at the end of the period | 3,323,665 | 3,451,320 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | (737,830) | (196,520) |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||
Balance at the beginning of the period | 207,726 | 224,791 |
Issuances | 379 | 508 |
Accrual of interest on excess servicing spread financing | 1,974 | 3,066 |
Repayment | (9,308) | (10,552) |
Mortgage servicing liabilities resulting from loan sales | 6,576 | 794 |
Changes in fair value included in income | (20,477) | (5,682) |
Balance at the end of the period | 186,870 | 212,925 |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (20,477) | (5,682) |
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 | 178,586 | 216,110 |
Issuances | 379 | 508 |
Accrual of interest on excess servicing spread financing | 1,974 | 3,066 |
Repayment | (9,308) | (10,552) |
Changes in fair value included in income | (14,522) | (4,051) |
Balance at the end of the period | 157,109 | 205,081 |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (14,522) | (4,051) |
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 | 29,140 | 8,681 |
Mortgage servicing liabilities resulting from loan sales | 6,576 | 794 |
Changes in fair value included in income | (5,955) | (1,631) |
Balance at the end of the period | 29,761 | 7,844 |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (5,955) | (1,631) |
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 | 383,878 | 260,008 |
Purchases and issuances, net | 1,641,231 | 784,262 |
Capitalization of interest and advances | 18,027 | |
Sales and repayments | (738,928) | (176,302) |
Changes in fair value included in income arising from: | ||
Changes in instrument specific credit risk | (7,523) | (6,091) |
Total changes in fair value included in income | (7,523) | (6,091) |
Transfers from mortgage loans held for sale from Level 3 to Level 2 | (489,407) | (405,163) |
Transfers to real estate acquired in settlement of loans | (691) | (1,181) |
Balance at the end of the period | 806,587 | 455,533 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | (11,856) | (3,540) |
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 | 136,650 | 49,338 |
Purchases and issuances, net | 341,980 | 56,983 |
Changes in fair value included in income arising from: | ||
Other factors | 199,918 | 59,978 |
Total changes in fair value included in income | 199,918 | 59,978 |
Transfers from interest rate lock commitments to loans held for sale | (363,354) | (100,234) |
Balance at the end of the period | 315,194 | 66,065 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | 315,194 | 66,065 |
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 | 8,187 | 26,770 |
Purchases and issuances, net | 9,855 | |
Sales and repayments | (11,436) | |
Changes in fair value included in income arising from: | ||
Other factors | (557) | |
Total changes in fair value included in income | (557) | |
Balance at the end of the period | 8,187 | 24,632 |
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 | 2,926,790 | 2,820,612 |
Purchases and issuances, net | 25,760 | 227,772 |
Mortgage servicing rights resulting from loan sales | 282,315 | 115,751 |
Changes in fair value included in income arising from: | ||
Other factors | (1,041,168) | (259,045) |
Total changes in fair value included in income | (1,041,168) | (259,045) |
Balance at the end of the period | 2,193,697 | 2,905,090 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | $ (1,041,168) | $ (259,045) |
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 | |
Mar. 31, 2020 | Mar. 31, 2019 | |
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 | $ 20,477 | $ 5,682 |
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 | 20,477 | 5,682 |
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 | 14,522 | 4,051 |
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 | 14,522 | 4,051 |
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 | 5,955 | 1,631 |
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 | 5,955 | 1,631 |
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 | (642,450) | (157,050) |
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 | 398,718 | 101,995 |
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 | (1,041,168) | (259,045) |
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 | 398,718 | 101,995 |
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 | 398,718 | 101,995 |
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 | (1,041,168) | (259,045) |
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 | $ (1,041,168) | $ (259,045) |
Fair Value - Fair Value Option
Fair Value - Fair Value Option Maturities, Recurring Basis (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Fair value | ||
Total fair value | $ 5,541,987 | $ 4,912,953 |
Recurring basis | ||
Fair value | ||
Total fair value | 5,541,987 | 4,912,953 |
Loans held for sale | Recurring basis | ||
Fair value | ||
Current through 89 days delinquent | 4,907,823 | 4,628,333 |
Not in foreclosure | 547,287 | 236,650 |
In foreclosure | 86,877 | 47,970 |
Total fair value | 5,541,987 | 4,912,953 |
Principal amount due upon maturity | ||
Current through 89 days delinquent | 4,624,282 | 4,431,854 |
Not in foreclosure | 560,331 | 241,958 |
In foreclosure | 92,075 | 50,194 |
Total principal amount due upon maturity | 5,276,688 | 4,724,006 |
Difference | ||
Current through 89 days delinquent | 283,541 | 196,479 |
Not in foreclosure | (13,044) | (5,308) |
In foreclosure | (5,198) | (2,224) |
Total difference | $ 265,299 | $ 188,947 |
Fair Value - Measurement Basis,
Fair Value - Measurement Basis, Nonrecurring (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||
Notes Payable | $ 1,294,514 | $ 1,294,070 | |
Nonrecurring basis | |||
Financial statement items measured at fair value on a nonrecurring basis | |||
Real estate acquired in settlement of loans | 11,104 | 9,850 | |
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||
Real estate acquired in settlement of loans | (3,980) | $ 21 | |
Nonrecurring basis | Level 3 | |||
Financial statement items measured at fair value on a nonrecurring basis | |||
Real estate acquired in settlement of loans | 11,104 | 9,850 | |
Fair Values | |||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||
Notes Payable | $ 978,250 | $ 1,303,047 |
Fair Value - Level 3 Unobservab
Fair Value - Level 3 Unobservable Inputs, Mortgage Loans and IRLC (Details) $ in Thousands | Mar. 31, 2020USD ($)item | Dec. 31, 2019USD ($)item |
Excess servicing spread financing | ||
Loans held for sale | $ | $ 5,541,987 | $ 4,912,953 |
Loans held for sale | Level 3 | ||
Excess servicing spread financing | ||
Loans held for sale | $ | $ 806,587 | $ 383,878 |
Loans held for sale | Discount rate | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 2.9 | 3 |
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 | 2.9 | 3 |
Loans held for sale | Twelve-month projected housing price index Change | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 1.4 | 2.6 |
Loans held for sale | Twelve-month projected housing price index Change | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 2.1 | 3.2 |
Loans held for sale | Twelve-month projected housing price index Change | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 1.6 | 2.8 |
Loans held for sale | Prepayment/resale speed | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 0.4 | 0.4 |
Loans held for sale | Prepayment/resale speed | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 21.2 | 21.4 |
Loans held for sale | Prepayment/resale speed | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 18.8 | 18.2 |
Loans held for sale | Total prepayment speed | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 0.6 | 0.5 |
Loans held for sale | Total prepayment speed | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 38.2 | 39.2 |
Loans held for sale | Total prepayment speed | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 37 | 36.2 |
Interest rate lock commitments | Level 3 | ||
Excess servicing spread financing | ||
Loans held for sale | $ | $ 315,194 | $ 136,650 |
Interest rate lock commitments | Pull-through rate | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 11.8 | 12.2 |
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 | 78.9 | 86.5 |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 0.9 | 1.4 |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 5.4 | 5.7 |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 3.5 | 4.2 |
Interest rate lock commitments | Percentage of unpaid principal balance | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 0.2 | 0.3 |
Interest rate lock commitments | Percentage of unpaid principal balance | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 2.8 | 2.8 |
Interest rate lock commitments | Percentage of unpaid principal balance | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 1.2 | 1.6 |
Repurchase agreement derivatives | ||
Excess servicing spread financing | ||
Acceptance rate (as a percent) | 99.00% | 99.00% |
Fair Value - Level 3 Unobserv_2
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Rights - Initial Recognition (Details) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2020USD ($)item | Mar. 31, 2019USD ($)item | Dec. 31, 2019USD ($)item | |
Mortgage servicing rights | |||
Inputs | |||
Amount recognized | $ | $ 282,315,000 | $ 115,751,000 | |
Fair Values | Mortgage servicing rights | Level 3 | Minimum | |||
Inputs: | |||
Annual per-loan cost of servicing | $ | 78 | $ 77 | |
Fair Values | Mortgage servicing rights | Level 3 | Maximum | |||
Inputs: | |||
Annual per-loan cost of servicing | $ | 112 | 100 | |
Fair Values | Mortgage servicing rights | Level 3 | Weighted average | |||
Inputs: | |||
Annual per-loan cost of servicing | $ | $ 108 | $ 97 | |
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Minimum | |||
Inputs: | |||
Input | 8.3 | 6.8 | |
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Maximum | |||
Inputs: | |||
Input | 18.1 | 15.8 | |
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Weighted average | |||
Inputs: | |||
Input | 10.7 | 8.5 | |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Minimum | |||
Inputs: | |||
Input | 9.7 | 9.3 | |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Maximum | |||
Inputs: | |||
Input | 27.9 | 40.9 | |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Weighted average | |||
Inputs: | |||
Input | 16.5 | 12.7 | |
Fair Values | Mortgage servicing rights | Life | Level 3 | Minimum | |||
Inputs: | |||
Input | 1.3 | 1.4 | |
Fair Values | Mortgage servicing rights | Life | Level 3 | Maximum | |||
Inputs: | |||
Input | 7.2 | 7.4 | |
Fair Values | Mortgage servicing rights | Life | Level 3 | Weighted average | |||
Inputs: | |||
Input | 5 | 6.1 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | |||
Inputs | |||
Amount recognized | $ | $ 282,315,000 | 115,751,000 | |
Unpaid principal balance of underlying loans | $ | $ 18,330,384,000 | $ 8,145,850,000 | |
Weighted-average servicing fee rate (as a percent) | 0.40% | 0.39% | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Minimum | |||
Inputs: | |||
Annual per-loan cost of servicing | $ | $ 77 | $ 78 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Maximum | |||
Inputs: | |||
Annual per-loan cost of servicing | $ | 100 | 100 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Weighted average | |||
Inputs: | |||
Annual per-loan cost of servicing | $ | $ 97 | $ 95 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Minimum | |||
Inputs: | |||
Input | 6.8 | 5.8 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Maximum | |||
Inputs: | |||
Input | 15.6 | 15.6 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Weighted average | |||
Inputs: | |||
Input | 8.2 | 8.9 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Minimum | |||
Inputs: | |||
Input | 9.1 | 5.8 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Maximum | |||
Inputs: | |||
Input | 49.8 | 73 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Weighted average | |||
Inputs: | |||
Input | 14.5 | 15.3 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Minimum | |||
Inputs: | |||
Input | 1.5 | 0.8 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Maximum | |||
Inputs: | |||
Input | 7.8 | 10.2 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Weighted average | |||
Inputs: | |||
Input | 5.9 | 5.8 |
Fair Value - Level 3 Unobserv_3
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Rights, Effect of Change In Inputs on Fair Value (Details) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020USD ($)item | Dec. 31, 2019USD ($)item | |
MSR and pool characteristics | ||
Carrying value | $ 2,193,697,000 | $ 2,926,790,000 |
Mortgage servicing liabilities | Level 3 | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 304 | 300 |
Fair Values | Mortgage servicing rights | Level 3 | ||
MSR and pool characteristics | ||
Carrying value | 2,193,697,000 | 2,926,790,000 |
Unpaid principal balance of underlying loans | $ 231,484,161,000 | $ 225,787,103,000 |
Weighted-average note interest rate (as a percent) | 3.90 | 3.90 |
Weighted-average servicing fee rate (as a percent) | 0.35% | 0.35% |
Pricing spread | ||
Effect on fair value of 5% adverse change | $ (38,151,000) | $ (44,561,000) |
Effect on fair value of 10% adverse change | (74,912,000) | (87,734,000) |
Effect on fair value of 20% adverse change | (144,545,000) | (170,155,000) |
Prepayment speed | ||
Effect on fair value of 5% adverse change | (61,123,000) | (63,569,000) |
Effect on fair value of 10% adverse change | (119,166,000) | (124,411,000) |
Effect on fair value of 20% adverse change | (226,812,000) | (238,549,000) |
Annual per-loan cost of servicing | ||
Effect on fair value of 5% adverse change | (24,995,000) | (24,516,000) |
Effect on fair value of 10% adverse change | (49,991,000) | (49,032,000) |
Effect on fair value of 20% adverse change | (99,981,000) | (98,065,000) |
Fair Values | Mortgage servicing rights | Level 3 | Minimum | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 78 | 77 |
Fair Values | Mortgage servicing rights | Level 3 | Maximum | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 112 | 100 |
Fair Values | Mortgage servicing rights | Level 3 | Weighted average | ||
Prepayment speed | ||
Annual per-loan cost of servicing | $ 108 | $ 97 |
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Minimum | ||
Inputs | ||
Input | item | 8.3 | 6.8 |
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Maximum | ||
Inputs | ||
Input | item | 18.1 | 15.8 |
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Weighted average | ||
Inputs | ||
Input | item | 10.7 | 8.5 |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Minimum | ||
Inputs | ||
Input | item | 9.7 | 9.3 |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Maximum | ||
Inputs | ||
Input | item | 27.9 | 40.9 |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Weighted average | ||
Inputs | ||
Input | item | 16.5 | 12.7 |
Fair Values | Mortgage servicing rights | Life | Level 3 | Minimum | ||
Inputs | ||
Input | item | 1.3 | 1.4 |
Fair Values | Mortgage servicing rights | Life | Level 3 | Maximum | ||
Inputs | ||
Input | item | 7.2 | 7.4 |
Fair Values | Mortgage servicing rights | Life | Level 3 | Weighted average | ||
Inputs | ||
Input | item | 5 | 6.1 |
Fair Value - Level 3 Unobserv_4
Fair Value - Level 3 Unobservable Inputs, ESS (Details) - Excess servicing spread financing - Level 3 $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020USD ($)item | Dec. 31, 2019USD ($)item | |
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption | ||
Carrying value | $ | $ 157,109 | $ 178,586 |
Unpaid principal balance of underlying mortgage loans | $ | $ 19,153,856 | $ 19,904,571 |
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 | ||
Input | 5.4 | 3 |
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 | ||
Input | 5.8 | 3.3 |
Pricing spread | Weighted average | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption | ||
Input | 5.6 | 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 | ||
Input | 8.7 | 8.7 |
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 | ||
Input | 14.9 | 16.2 |
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 | ||
Input | 11.9 | 11 |
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 | ||
Input | 2.7 | 2.7 |
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 | ||
Input | 7.1 | 7.2 |
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 | ||
Input | 5.8 | 6.1 |
Fair Value - Level 3 Unobserv_5
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Liabilities (Details) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020USD ($)item | Dec. 31, 2019USD ($)item | |
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption | ||
Carrying value | $ 29,761,000 | $ 29,140,000 |
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 | ||
Carrying value | 29,761,000 | 29,140,000 |
Unpaid principal balance of underlying loans | $ 2,635,734,000 | $ 2,758,454,000 |
Servicing fee rate (as a percent) | 0.0025 | 0.0025 |
Annual per-loan cost of servicing | $ 304 | $ 300 |
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 | ||
Input | item | 8.2 | 8.2 |
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 | ||
Input | item | 31.6 | 29.2 |
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 | ||
Input | item | 3.3 | 3.9 |
Loans Held for Sale at Fair V_3
Loans Held for Sale at Fair Value (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | $ 5,541,987 | $ 4,912,953 |
Fair value of loans pledged to secure assets sold under agreements to repurchase | 4,937,094 | 4,322,789 |
Fair value of loans pledged to secure mortgage loan participation purchase and sale agreement | 556,238 | 523,349 |
Pledged Assets Separately Reported, Loans Pledged as Collateral, at Fair Value, Total | 5,493,332 | 4,846,138 |
Government-insured or guaranteed | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 3,998,657 | 4,222,010 |
Conventional mortgage loans | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 735,615 | 307,065 |
Jumbo | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 1,128 | |
Purchased from Ginnie Mae pools serviced by the Company | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 788,283 | 374,121 |
Repurchased pursuant to representations and warranties | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 17,961 | 9,244 |
Home equity lines of credit | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | $ 343 | $ 513 |
Derivative Financial Instrume_3
Derivative Financial Instruments - Other Information (Details) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2020 | Mar. 31, 2019 | Mar. 31, 2020 | Dec. 31, 2019 | |
Derivative assets: | ||||
Margin deposits placed with counterparties | $ (5,000) | $ (5,000) | ||
Derivative asset, before netting | 849,882 | 187,397 | ||
Netting | (416,671) | (27,711) | ||
Total derivative assets | 433,211 | 159,686 | ||
Derivative liabilities: | ||||
Derivative liability, before netting | 349,091 | 38,946 | ||
Netting | (305,939) | (16,616) | ||
Net amounts of liabilities presented in the consolidated balance sheet | 43,152 | 22,330 | ||
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 | $ (557) | |||
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 | $ (225,557) | (34,668) | ||
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 | 1,036,570 | 134,557 | ||
Margin Deposits | ||||
Derivative assets: | ||||
Collateral placed with (received from) derivative counterparties | (110,732) | (11,095) | ||
Interest rate lock commitments | ||||
Derivative assets: | ||||
Total derivative assets | 317,621 | 138,511 | ||
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 | 178,543 | 16,727 | ||
Forward contracts | Purchases | ||||
Derivative Instruments | ||||
Notional amount | 20,480,331 | 20,480,331 | 13,618,361 | |
Derivative assets: | ||||
Derivative asset, before netting | 421,860 | 12,364 | ||
Derivative liabilities: | ||||
Derivative liability, before netting | 12,553 | 19,040 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of period | 13,618,361 | |||
Balance at end of period | 20,480,331 | |||
Forward contracts | Sales | ||||
Derivative Instruments | ||||
Notional amount | 20,196,818 | 20,196,818 | 16,220,526 | |
Derivative assets: | ||||
Derivative asset, before netting | 23,346 | 17,097 | ||
Derivative liabilities: | ||||
Derivative liability, before netting | 334,111 | 18,045 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of period | 16,220,526 | |||
Balance at end of period | 20,196,818 | |||
MBS put options | ||||
Derivative Instruments | ||||
Notional amount | 10,700,000 | 10,700,000 | 6,100,000 | |
Derivative assets: | ||||
Derivative asset, before netting | 4,062 | 3,415 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of period | 6,100,000 | |||
Balance at end of period | 10,700,000 | |||
Swaptions | Purchases | ||||
Derivative Instruments | ||||
Notional amount | 6,800,000 | 6,800,000 | 1,750,000 | |
Derivative assets: | ||||
Derivative asset, before netting | 36,696 | 2,409 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of period | 1,750,000 | |||
Balance at end of period | 6,800,000 | |||
Put options on interest rate futures | Purchases | ||||
Derivative Instruments | ||||
Notional amount | 4,925,000 | 4,925,000 | 2,250,000 | |
Derivative assets: | ||||
Derivative asset, before netting | 13,676 | 3,945 | ||
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 | |||
Balance at end of period | 4,925,000 | |||
Call options on interest rate futures | Purchases | ||||
Derivative Instruments | ||||
Notional amount | 1,925,000 | 1,925,000 | 750,000 | |
Derivative assets: | ||||
Derivative asset, before netting | 24,434 | 1,469 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of period | 750,000 | |||
Balance at end of period | 1,925,000 | |||
Treasury future | Purchases | ||||
Derivative Instruments | ||||
Notional amount | 650,000 | 650,000 | 1,276,000 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of period | 1,276,000 | |||
Balance at end of period | 650,000 | |||
Treasury future | Sales | ||||
Derivative Instruments | ||||
Notional amount | 810,000 | 810,000 | 1,010,000 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of period | 1,010,000 | |||
Balance at end of period | 810,000 | |||
Interest rate swap futures | Purchases | ||||
Derivative Instruments | ||||
Notional amount | 2,560,000 | 2,560,000 | 3,210,000 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of period | 3,210,000 | |||
Balance at end of period | 2,560,000 | |||
Not designated as hedging instrument | Repurchase agreement derivatives | ||||
Derivative assets: | ||||
Derivative asset, before netting | 8,187 | 8,187 | ||
Not designated as hedging instrument | Interest rate lock commitments | ||||
Derivative Instruments | ||||
Notional amount | 9,377,614 | 9,377,614 | 7,122,316 | |
Derivative assets: | ||||
Derivative asset, before netting | 317,621 | 138,511 | ||
Derivative liabilities: | ||||
Derivative liability, before netting | 2,427 | 1,861 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of period | 7,122,316 | |||
Balance at end of period | 9,377,614 | |||
Not designated as hedging instrument | Forward contracts | Purchases | ||||
Derivative Instruments | ||||
Notional amount | 20,480,331 | 9,313,389 | 20,480,331 | 13,618,361 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of period | 13,618,361 | 6,657,026 | ||
Additions | 112,859,449 | 52,621,845 | ||
Dispositions/expirations | (105,997,479) | (49,965,482) | ||
Balance at end of period | 20,480,331 | 9,313,389 | ||
Not designated as hedging instrument | Forward contracts | Sales | ||||
Derivative Instruments | ||||
Notional amount | 20,196,818 | 7,583,005 | 20,196,818 | 16,220,526 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of period | 16,220,526 | 6,890,046 | ||
Additions | 130,436,231 | 59,673,487 | ||
Dispositions/expirations | (126,459,939) | (58,980,528) | ||
Balance at end of period | 20,196,818 | 7,583,005 | ||
Not designated as hedging instrument | MBS put options | ||||
Derivative Instruments | ||||
Notional amount | 10,700,000 | 9,425,000 | 10,700,000 | 6,100,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of period | 6,100,000 | 4,635,000 | ||
Additions | 22,000,000 | 19,160,000 | ||
Dispositions/expirations | (17,400,000) | (14,370,000) | ||
Balance at end of period | 10,700,000 | 9,425,000 | ||
Not designated as hedging instrument | MBS call options | ||||
Derivative Instruments | ||||
Notional amount | 3,350,000 | |||
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 | |||
Additions | 4,500,000 | |||
Dispositions/expirations | (2,600,000) | |||
Balance at end of period | 3,350,000 | |||
Not designated as hedging instrument | Swaptions | Purchases | ||||
Derivative Instruments | ||||
Notional amount | 6,800,000 | 6,800,000 | 1,750,000 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of period | 1,750,000 | |||
Additions | 7,900,000 | |||
Dispositions/expirations | (2,850,000) | |||
Balance at end of period | 6,800,000 | |||
Not designated as hedging instrument | Swaptions | Sales | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Additions | 2,850,000 | |||
Dispositions/expirations | (2,850,000) | |||
Not designated as hedging instrument | Put options on interest rate futures | Purchases | ||||
Derivative Instruments | ||||
Notional amount | 4,925,000 | 3,350,000 | 4,925,000 | 2,250,000 |
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 | 3,085,000 | ||
Additions | 7,600,000 | 6,675,000 | ||
Dispositions/expirations | (4,925,000) | (6,410,000) | ||
Balance at end of period | 4,925,000 | 3,350,000 | ||
Not designated as hedging instrument | Put options on interest rate futures | Sales | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Additions | 4,925,000 | 10,135,300 | ||
Dispositions/expirations | (4,925,000) | (10,135,300) | ||
Not designated as hedging instrument | Call options on interest rate futures | Purchases | ||||
Derivative Instruments | ||||
Notional amount | 1,925,000 | 2,250,000 | 1,925,000 | 750,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of period | 750,000 | 1,512,500 | ||
Additions | 3,540,000 | 4,462,800 | ||
Dispositions/expirations | (2,365,000) | (3,725,300) | ||
Balance at end of period | 1,925,000 | 2,250,000 | ||
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 | 2,365,000 | |||
Dispositions/expirations | (2,365,000) | |||
Not designated as hedging instrument | Treasury future | Purchases | ||||
Derivative Instruments | ||||
Notional amount | 650,000 | 1,810,000 | 650,000 | 1,276,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of period | 1,276,000 | 835,000 | ||
Additions | 2,035,000 | 4,111,200 | ||
Dispositions/expirations | (2,661,000) | (3,136,200) | ||
Balance at end of period | 650,000 | 1,810,000 | ||
Not designated as hedging instrument | Treasury future | Sales | ||||
Derivative Instruments | ||||
Notional amount | 810,000 | 1,075,000 | 810,000 | 1,010,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of period | 1,010,000 | 1,450,000 | ||
Additions | 2,461,000 | 2,761,200 | ||
Dispositions/expirations | (2,661,000) | (3,136,200) | ||
Balance at end of period | 810,000 | 1,075,000 | ||
Not designated as hedging instrument | Interest rate swap futures | Purchases | ||||
Derivative Instruments | ||||
Notional amount | 2,560,000 | 1,025,000 | $ 2,560,000 | $ 3,210,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of period | 3,210,000 | 625,000 | ||
Additions | 1,225,000 | 400,000 | ||
Dispositions/expirations | (1,875,000) | |||
Balance at end of period | 2,560,000 | $ 1,025,000 | ||
Not designated as hedging instrument | Interest rate swap futures | Sales | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Additions | 1,875,000 | |||
Dispositions/expirations | $ (1,875,000) |
Derivative Financial Instrume_4
Derivative Financial Instruments - Offsetting of Derivative Assets (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized assets | $ 325,808 | $ 146,698 |
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 524,074 | 40,699 |
Gross amounts offset in the consolidated balance sheet | (416,671) | (27,711) |
Net amounts of assets presented in the consolidated balance sheet | 107,403 | 12,988 |
Total | ||
Gross amounts of recognized assets | 849,882 | 187,397 |
Net amounts of assets presented in the balance sheet | 433,211 | 159,686 |
Interest rate lock commitments | ||
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized assets | 317,621 | 138,511 |
Total | ||
Net amounts of assets presented in the balance sheet | 317,621 | 138,511 |
Repurchase agreement derivatives | ||
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized assets | 8,187 | 8,187 |
MBS put options | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 4,062 | 3,415 |
Net amounts of assets presented in the consolidated balance sheet | 4,062 | 3,415 |
Total | ||
Gross amounts of recognized assets | 4,062 | 3,415 |
Swaptions | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 36,696 | 2,409 |
Net amounts of assets presented in the consolidated balance sheet | 36,696 | 2,409 |
Swaptions | Purchases | ||
Total | ||
Gross amounts of recognized assets | 36,696 | 2,409 |
Forward contracts | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 421,860 | 12,364 |
Net amounts of assets presented in the consolidated balance sheet | 421,860 | 12,364 |
Total | ||
Gross amounts of recognized assets | 421,860 | 12,364 |
Forward contracts | Sales | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 23,346 | 17,097 |
Net amounts of assets presented in the consolidated balance sheet | 23,346 | 17,097 |
Total | ||
Gross amounts of recognized assets | 23,346 | 17,097 |
Put options on interest rate futures | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 13,676 | 3,945 |
Net amounts of assets presented in the consolidated balance sheet | 13,676 | 3,945 |
Total | ||
Gross amounts of recognized assets | 13,676 | 3,945 |
Call options on interest rate futures | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 24,434 | 1,469 |
Net amounts of assets presented in the consolidated balance sheet | 24,434 | 1,469 |
Total | ||
Gross amounts of recognized assets | $ 24,434 | $ 1,469 |
Derivative Financial Instrume_5
Derivative Financial Instruments - Offsetting of Derivative Assets - Derivative Assets, Financial Assets, and Collateral Held by Counterparty (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Total | ||
Net amounts of assets presented in the balance sheet | $ 433,211 | $ 159,686 |
Net amount | 433,211 | 159,686 |
JP Morgan | ||
Total | ||
Net amounts of assets presented in the balance sheet | 27,313 | 2,196 |
Net amount | 27,313 | 2,196 |
Citibank, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 9,995 | |
Net amount | 9,995 | |
RJ O'Brien | ||
Total | ||
Net amounts of assets presented in the balance sheet | 38,109 | 5,414 |
Net amount | 38,109 | 5,414 |
Deutsche Bank AG | ||
Total | ||
Net amounts of assets presented in the balance sheet | 7,894 | 9,138 |
Net amount | 7,894 | 9,138 |
Wells Fargo Bank, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 5,848 | |
Net amount | 5,848 | |
Daiwa Capital | ||
Total | ||
Net amounts of assets presented in the balance sheet | 3,084 | |
Net amount | 3,084 | |
Mizuho Securities | ||
Total | ||
Net amounts of assets presented in the balance sheet | 2,989 | 1,597 |
Net amount | 2,989 | 1,597 |
Federal National Mortgage Association | ||
Total | ||
Net amounts of assets presented in the balance sheet | 1,980 | |
Net amount | 1,980 | |
Goldman Sachs | ||
Total | ||
Net amounts of assets presented in the balance sheet | 14,537 | 2,548 |
Net amount | 14,537 | 2,548 |
Other | ||
Total | ||
Net amounts of assets presented in the balance sheet | 3,841 | 282 |
Net amount | 3,841 | 282 |
Interest rate lock commitments | ||
Total | ||
Net amounts of assets presented in the balance sheet | 317,621 | 138,511 |
Net amount | $ 317,621 | $ 138,511 |
Derivative Financial Instrume_6
Derivative Financial Instruments - Offsetting of Derivative Assets - Offsetting of Derivative and Financial Liabilities (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020 | Dec. 31, 2019 | |
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | $ 346,664 | $ 37,085 |
Netting | (305,939) | (16,616) |
Net amounts of liabilities presented in the balance sheet | 40,725 | 20,469 |
Total | ||
Gross amounts of recognized liabilities | 349,091 | 38,946 |
Net amounts of liabilities presented in the consolidated balance sheet | 43,152 | 22,330 |
Mortgage loans sold under agreements to repurchase | ||
Net amounts of liabilities presented in the consolidated balance sheet | 4,446,795 | 4,141,680 |
Debt Issuance Costs | ||
Debt issuance costs, gross | (2,250) | (627) |
Debt issuance costs | (2,250) | (627) |
Debt issuance costs | (2,250) | (627) |
Gross amounts of recognized liabilities | 4,444,545 | 4,141,053 |
Net amount of liabilities in the consolidated balance sheet | 4,444,545 | 4,141,053 |
Total | ||
Gross amounts of recognized liabilities | 4,793,636 | 4,179,999 |
Gross amounts offset in the consolidated balance sheet | (305,939) | (16,616) |
Net amounts of liabilities presented in the consolidated balance sheet | 4,489,947 | 4,164,010 |
Net amount of liabilities in the consolidated balance sheet | 43,152 | 22,330 |
Receivable from Counterparties | ||
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 4,487,697 | 4,163,383 |
Assets sold under agreements to repurchase | ||
Mortgage loans sold under agreements to repurchase | ||
Gross amounts of recognized liabilities | 4,446,795 | 4,141,680 |
Net amounts of liabilities presented in the consolidated balance sheet | 4,446,795 | 4,141,680 |
Forward contracts | Purchases | ||
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | 12,553 | 19,040 |
Net amounts of liabilities presented in the balance sheet | 12,553 | 19,040 |
Total | ||
Gross amounts of recognized liabilities | 12,553 | 19,040 |
Forward contracts | Sales | ||
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | 334,111 | 18,045 |
Net amounts of liabilities presented in the balance sheet | 334,111 | 18,045 |
Total | ||
Gross amounts of recognized liabilities | 334,111 | 18,045 |
Interest rate lock commitments | ||
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized liabilities | 2,427 | 1,861 |
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 2,427 | 1,861 |
Net amount of liabilities in the consolidated balance sheet | $ 2,427 | $ 1,861 |
Derivative Financial Instrume_7
Derivative Financial Instruments - Offsetting of Derivative Assets - Derivative Liabilities, Financial Liabilities, and Collateral Held by Counterparty (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | $ 4,489,947 | $ 4,164,010 |
Financial instruments | (4,446,795) | (4,141,680) |
Net amount of liabilities in the consolidated balance sheet | 43,152 | 22,330 |
Credit Suisse First Boston Mortgage Capital LLC | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,552,669 | 1,235,430 |
Financial instruments | (1,533,516) | (1,235,430) |
Net amount of liabilities in the consolidated balance sheet | 19,153 | |
Bank of America, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 654,788 | 379,400 |
Financial instruments | (643,834) | (374,190) |
Net amount of liabilities in the consolidated balance sheet | 10,954 | 5,210 |
JP Morgan | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 870,965 | 936,172 |
Financial instruments | (870,965) | (936,172) |
Morgan Stanley Bank | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 296,497 | 582,941 |
Financial instruments | (293,813) | (582,941) |
Net amount of liabilities in the consolidated balance sheet | 2,684 | |
BNP Paribas | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 196,791 | 183,880 |
Financial instruments | (196,433) | (183,880) |
Net amount of liabilities in the consolidated balance sheet | 358 | |
Royal Bank of Canada | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 250,919 | 175,897 |
Financial instruments | (250,919) | (175,897) |
Citibank, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 657,315 | 655,831 |
Financial instruments | (657,315) | (653,170) |
Net amount of liabilities in the consolidated balance sheet | 2,661 | |
Wells Fargo Bank, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 11,212 | |
Net amount of liabilities in the consolidated balance sheet | 11,212 | |
Mizuho Securities | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,396 | |
Net amount of liabilities in the consolidated balance sheet | 1,396 | |
Federal National Mortgage Association | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 5,674 | |
Net amount of liabilities in the consolidated balance sheet | 5,674 | |
Other | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 506 | 1,386 |
Net amount of liabilities in the consolidated balance sheet | 506 | 1,386 |
Interest rate lock commitments | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 2,427 | 1,861 |
Net amount of liabilities in the consolidated balance sheet | $ 2,427 | $ 1,861 |
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 | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
Activity in MSRs carried at fair value | |||
Balance at beginning of period | $ 2,920,603 | ||
Change in fair value due to: | |||
Balance at end of period | 2,163,928 | ||
Mortgage servicing rights | |||
Activity in MSRs carried at fair value | |||
Balance at beginning of period | 2,926,790 | $ 2,820,612 | |
Additions - Resulting from loan sales | 282,315 | 115,751 | |
Additions - Purchases | 25,760 | 227,772 | |
Additions | 308,075 | 343,523 | |
Change in fair value due to: | |||
Changes in inputs used in valuation model | (915,862) | (161,638) | |
Other changes in fair value | (125,306) | (97,407) | |
Total change in fair value | (1,041,168) | (259,045) | |
Balance at end of period | 2,193,697 | $ 2,905,090 | |
Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and Notes payable | $ 2,163,928 | $ 2,920,603 |
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 | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Amortized cost: | ||
Mortgage servicing liabilities resulting from loan sales | $ 6,576 | $ 794 |
Mortgage servicing liabilities | ||
Amortized cost: | ||
Balance at beginning of period | 29,140 | 8,681 |
Mortgage servicing liabilities resulting from loan sales | 6,576 | 794 |
Changes in valuation inputs used in valuation model | 4,432 | 3,301 |
Other changes in fair value | (10,387) | (4,932) |
Total change in fair value | (5,955) | (1,631) |
Balance at end of period | $ 29,761 | $ 7,844 |
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 | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Contractual servicing fees | $ 198,653 | $ 166,790 |
Ancillary and other fees | ||
Other | 28,755 | 22,017 |
Mortgage servicing rights | ||
Contractual servicing fees | 198,653 | 166,790 |
Ancillary and other fees | ||
Late charges | 12,613 | 9,812 |
Other | 4,850 | 1,661 |
Bank Servicing Fees | $ 216,116 | $ 178,263 |
Leases (Details)
Leases (Details) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2020USD ($)item | Mar. 31, 2019USD ($) | Dec. 31, 2019USD ($) | |
Leases | |||
Operating lease option to extend | true | ||
Lease expenses: | |||
Operating leases | $ 3,932 | $ 3,229 | |
Short-term leases | 256 | 217 | |
Sublease income | (32) | ||
Total lease cost | 4,188 | 3,414 | |
Cash payments for operating leases | 4,440 | 3,846 | |
Upon adoption of ASU 2016-02 | 58,598 | ||
New leases | 1,534 | ||
Right-of-use assets obtained in exchange for lease obligations | $ 1,534 | $ 58,598 | |
Remaining lease term (in year) | 6 years 10 months 24 days | 6 years 3 months 18 days | |
Discount rate (as a percent) | 4.30% | 4.60% | |
Operating lease liabilities | |||
2021 | $ 17,111 | ||
2022 | 15,795 | ||
2023 | 14,509 | ||
2024 | 13,755 | ||
2025 | 11,643 | ||
Thereafter | 32,758 | ||
Total lease payments | 105,571 | ||
Less imputed interest | (15,742) | ||
Total | $ 89,829 | $ 91,320 | |
Number of operating leases not yet commenced. | item | 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 |
Borrowings - Assets Sold Under
Borrowings - Assets Sold Under Agreement to Repurchase (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
During the period: | |||
Total interest expense | $ 25,684 | $ 8,635 | |
Carrying value: | |||
Unpaid principal balance | 4,446,795 | $ 4,141,680 | |
Unamortized debt issuance costs and premiums | (2,250) | (627) | |
Unamortized debt issuance costs | (2,250) | (627) | |
Total loans sold under agreements to repurchase | $ 4,444,545 | $ 4,141,053 | |
Weighted average interest rate (as a percent) | 2.54% | 3.29% | |
Available borrowing capacity committed | $ 125,810 | ||
Available borrowing capacity uncommitted | $ 1,403,205 | 782,510 | |
Available borrowing capacity | 1,403,205 | 908,320 | |
Servicing advances | 182,531 | 207,460 | |
Margin deposits placed with counterparties | 5,000 | 5,000 | |
Loans held for sale | |||
Carrying value: | |||
Fair value of assets pledged to secure | 4,937,094 | 4,322,789 | |
Mortgage servicing rights | |||
Carrying value: | |||
Fair value of assets pledged to secure | 2,151,501 | 2,902,721 | |
Servicing advances | |||
Carrying value: | |||
Fair value of assets pledged to secure | 182,531 | 207,460 | |
Financing receivable | |||
Carrying value: | |||
Fair value of assets pledged to secure | 99,766 | $ 107,512 | |
Assets sold under agreements to repurchase | |||
During the period: | |||
Average balance of assets sold under agreements to repurchase | $ 3,139,328 | $ 1,437,957 | |
Weighted-average interest rate (as a percent) | 3.07% | 4.47% | |
Total interest expense | $ 25,684 | $ 8,635 | |
Maximum daily amount outstanding | 4,446,795 | 2,152,588 | |
Carrying value: | |||
Amortization of premium | $ 1,600 | 7,400 | |
Amount of Master Repurchase Agreement incentives to refinance include in interest expense | $ 9,300 |
Borrowings - Maturities of Outs
Borrowings - Maturities of Outstanding Advances Under Repurchase Agreements (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Dec. 31, 2019 | |
Mortgage loans sold under agreement to repurchase | ||
Unpaid principal balance | $ 4,446,795 | $ 4,141,680 |
Weighted-average maturity (in months) | 1 month 6 days | |
Within 30 days | ||
Mortgage loans sold under agreement to repurchase | ||
Unpaid principal balance | $ 1,585,379 | |
Over 30 to 90 days | ||
Mortgage loans sold under agreement to repurchase | ||
Unpaid principal balance | 2,614,849 | |
Over 90 to 180 days | ||
Mortgage loans sold under agreement to repurchase | ||
Unpaid principal balance | $ 246,567 |
Borrowings - Mortgage Loans Sol
Borrowings - Mortgage Loans Sold Under Agreement to Repurchase by Counterparty (Details) - Assets sold under agreements to repurchase $ in Thousands | Mar. 31, 2020USD ($) |
Credit Suisse First Boston Mortgage Capital LLC Tranche Two | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 983,098 |
Credit Suisse First Boston Mortgage Capital LLC Tranche One | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 245,618 |
Bank of America, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 61,809 |
JP Morgan | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 97,688 |
Citibank, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 67,788 |
Morgan Stanley Bank | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 26,408 |
BNP Paribas | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 15,575 |
Royal Bank of Canada | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 24,012 |
Borrowings - Mortgage Loan Part
Borrowings - Mortgage Loan Participation and Sale Agreement (Details) - USD ($) | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
During the period: | |||
Total interest expense | $ 1,810,000 | $ 2,311,000 | |
Carrying value: | |||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 528,750,000 | $ 497,948,000 | |
Weighted average interest rate (as a percent) | 2.54% | 3.29% | |
Fair value of loans pledged to secure | $ 556,238,000 | $ 523,349,000 | |
Mortgage Loan Participation and Sale Agreement member | |||
During the period: | |||
Average balance | $ 247,811,000 | $ 236,667,000 | |
Weighted-average interest rate (as a percent) | 2.64% | 3.68% | |
Total interest expense | $ 1,810,000 | $ 2,311,000 | |
Carrying value: | |||
Unpaid principal balance of mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 528,750,000 | 497,948,000 | |
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 528,750,000 | $ 497,948,000 | |
Weighted average interest rate (as a percent) | 2.18% | 3.05% | |
Fair value of loans pledged to secure | $ 556,238,000 | $ 523,349,000 | |
Amortization of debt issuance costs | 173,000 | 135,000 | |
Maximum | Mortgage Loan Participation and Sale Agreement member | |||
Carrying value: | |||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 530,220,000 | $ 548,038,000 |
Borrowings - Obligations Under
Borrowings - Obligations Under Capital Lease (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
Leases | |||
Average balance | $ 19,406 | $ 5,848 | |
Weighted average interest rate | 3.36% | 4.50% | |
Total interest expense | $ 167 | $ 66 | |
Unpaid principal balance | $ 18,145 | $ 20,810 | |
Weighted average interest rate | 3.18% | 3.74% | |
Furniture, fixtures, equipment and building improvements pledged to creditors | $ 7,392 | $ 20,406 | |
Capitalized software pledged to creditors | 10,606 | $ 12,192 | |
Maximum | |||
Leases | |||
Maximum daily amount outstanding | $ 20,810 | $ 6,605 |
Borrowings - Note Payable (Deta
Borrowings - Note Payable (Details) - USD ($) | Aug. 10, 2018 | Feb. 28, 2018 | Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | Nov. 01, 2018 | Feb. 01, 2018 |
During the period: | |||||||
Total interest expense | $ 15,349,000 | $ 17,995,000 | |||||
Carrying value: | |||||||
Notes payable | 1,294,514,000 | $ 1,294,070,000 | |||||
Unused amount | 1,403,205,000 | 908,320,000 | |||||
Note Payable | |||||||
During the period: | |||||||
Average balance | $ 1,300,000,000 | $ 1,300,000,000 | |||||
Weighted-average interest rate (as a percent) | 4.43% | 5.25% | |||||
Total interest expense | $ 14,846,000 | $ 17,510,000 | |||||
Maximum daily amount outstanding | 1,300,000,000 | 1,300,000,000 | |||||
Carrying value: | |||||||
Unpaid principal balance | 1,300,000,000 | 1,300,000,000 | |||||
Unamortized debt issuance costs | (5,486,000) | (5,930,000) | |||||
Notes payable | $ 1,294,514,000 | $ 1,294,070,000 | |||||
Weighted-average interest rate (as a percent) | 4.38% | 4.46% | |||||
Amortization of Financing Costs | $ 445,000 | $ 734,000 | |||||
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 | 2,117,619,000 | $ 2,861,442,000 | |||||
Note Payable | Servicing advances | |||||||
Carrying value: | |||||||
Assets pledged to secure | $ 182,531,000 | $ 207,460,000 |
Borrowings - Corporate Revolvin
Borrowings - Corporate Revolving Line of Credit (Details) - Revolving credit agreement - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
Short-term debt | |||
Interest expense | $ 503 | $ 485 | |
Unused amount | 150,000 | $ 150,000 | |
Cash pledged to secure corporate revolver | $ 773,361 | $ 52,599 |
Borrowings - ESS (Details)
Borrowings - ESS (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
PMT | ||
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: | ||
Change in fair value | $ 14,522 | $ 4,051 |
Excess servicing spread financing | ||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||
Balance at the beginning of the period | 178,586 | 216,110 |
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: | ||
Accrual of interest | 1,974 | 3,066 |
Repayment | (9,308) | (10,552) |
Change in fair value | (14,522) | (4,051) |
Balance at the end of the period | 157,109 | 205,081 |
Excess servicing spread financing | PMT | ||
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: | ||
Issuances | 379 | 508 |
Change in fair value | $ 14,522 | $ 4,051 |
Liability for Losses Under Re_3
Liability for Losses Under Representations and Warranties (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
During the year: | ||
Balance at beginning of period | $ 21,446 | $ 21,155 |
Provision for losses on loans sold resulting from sales of loans | 3,712 | 1,067 |
Provision for losses on loans sold reduction in liability due to change in estimate | (1,676) | (4,210) |
Losses incurred, net | (280) | (30) |
Balance at end of period | 23,202 | 17,982 |
Unpaid principal balance of loans subject to representations and warranties at end of year | $ 186,517,598 | $ 133,698,782 |
Income Taxes - General (Details
Income Taxes - General (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
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) | 26.20% | 23.50% |
Decrease in tax adjustment for equity compensation | $ 0.4 | |
increase in pretax income loss | $ 354.4 |
Commitments and Contingencies -
Commitments and Contingencies - Other (Details) - USD ($) $ in Billions | Oct. 24, 2018 | Mar. 31, 2020 |
Contingencies | ||
Total commitments to purchase and fund mortgage loans | $ 9.4 | |
Garfield Action | Settled Litigation | ||
Contingencies | ||
Percent of shareholder approval for reorganization of the company (as a percent) | 99.80% |
Stockholders' Equity (Details)
Stockholders' Equity (Details) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 34 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2020 | Jun. 30, 2017 | |
Stockholders' Equity | |||
Cost of shares of common stock repurchased | $ 4,121 | ||
Common Stock | |||
Stockholders' Equity | |||
Authorized stock repurchase amount | $ 50,000 | ||
Shares of common stock repurchased | 238 | 1,054 | |
Cost of shares of common stock repurchased | $ 4,121 | $ 19,069 |
Net Gains on Loans Held for S_3
Net Gains on Loans Held for Sale (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Cash loss: | ||
Loans | $ 111,757 | $ (41,242) |
Hedging activities | (122,666) | (8,927) |
Cash gain (loss), net of effects of cash hedging, on sale of loans held for sale | (10,909) | (50,169) |
Non-cash gain: | ||
Mortgage servicing rights and mortgage servicing liabilities resulting from loan sales | 275,739 | 114,957 |
Provision for losses relating to representations and warranties on loans sold pursuant to loan sales | (3,712) | (1,067) |
Provision for losses relating to representations and warranties on loans sold reduction in liability due to change in estimate | 1,676 | 4,210 |
Change in fair value of loans and derivatives held at year end: | ||
Interest rate lock commitments | 178,543 | 16,727 |
Loans | (72,080) | (164) |
Hedging derivatives | (102,891) | (25,741) |
From non-affiliates | 266,366 | 58,753 |
Recapture payable to PennyMac Mortgage Investment Trust | 77,916 | 26,023 |
Net gains on loans held for sale at fair value | $ 344,282 | $ 84,776 |
Net Interest Income (Details)
Net Interest Income (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Interest income: | ||
Cash and short-term investments | $ 1,711 | $ 1,933 |
Loans held for sale at fair value | 46,426 | 31,343 |
Placement fees relating to custodial funds | 23,209 | 23,261 |
Interest income, excluding related parties | 71,346 | 56,537 |
Interest income | 72,564 | 58,333 |
Interest expense: | ||
Assets sold under agreements to repurchase | 25,684 | 8,635 |
Mortgage loan participation purchase and sale agreements | 1,810 | 2,311 |
Obligations under capital lease | 167 | 66 |
Notes payable | 15,349 | 17,995 |
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations | 14,871 | 4,311 |
Interest on mortgage loan impound deposits | 1,657 | 1,159 |
Interest expense, non-affiliates | 59,538 | 34,477 |
Interest expense | 61,512 | 37,543 |
Net interest income | 11,052 | 20,790 |
PMT | ||
Interest income: | ||
From PennyMac Mortgage Investment Trust | 1,218 | 1,796 |
Interest expense: | ||
To PennyMac Mortgage Investment Trust Excess servicing spread financing at fair value | 1,974 | 3,066 |
Assets sold under agreements to repurchase | ||
Interest expense: | ||
Assets sold under agreements to repurchase | $ 25,684 | 8,635 |
Incentives recorded | $ 9,300 |
Stock-based Compensation - Othe
Stock-based Compensation - Other (Details) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Stock-Based Compensation | ||
Grant date fair value | $ 28,200 | $ 25,763 |
Stock-based compensation expense | $ 12,368 | $ 4,531 |
Stock Options | ||
Stock-Based Compensation | ||
Granted (in units) | 273 | 344 |
Grant date fair value | $ 2,770 | $ 2,965 |
Exercised (in units) | 180 | 89 |
Performance-based RSUs | ||
Stock-Based Compensation | ||
Granted (in units) | 422 | 665 |
Grant date fair value | $ 14,768 | $ 15,253 |
Vested (in units) | 603 | 648 |
Time-based RSUs | ||
Stock-Based Compensation | ||
Granted (in units) | 304 | 330 |
Grant date fair value | $ 10,662 | $ 7,545 |
Vested (in units) | 348 | 291 |
Earnings Per Share of Common _3
Earnings Per Share of Common Stock (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Basic earnings per share of common stock: | ||
Net income attributable to common stockholders | $ 306,243 | $ 46,135 |
Weighted-average common stock outstanding (in shares) | 78,689 | 77,653 |
Basic earnings per share of common stock (in dollars per share) | $ 3.89 | $ 0.59 |
Diluted earnings per share of common stock: | ||
Net income attributable to common stockholders | $ 306,243 | $ 46,135 |
Weighted-average common stock outstanding applicable to basic earnings per share (in shares) | 78,689 | 77,653 |
Effect of dilutive shares: | ||
Common shares issuable under stock-based compensation plans (in shares) | 3,319 | 1,633 |
Weighted-average shares of common stock applicable to diluted earnings per share (in shares) | 82,008 | 79,286 |
Diluted earnings per share of common stock (in dollars per share) | $ 3.73 | $ 0.58 |
Total anti-dilutive shares and units (in shares) | 384 | 2,046 |
Performance-based RSUs | ||
Effect of dilutive shares: | ||
Total anti-dilutive shares and units (in shares) | 162 | 1,279 |
Time-based RSUs | ||
Effect of dilutive shares: | ||
Total anti-dilutive shares and units (in shares) | 117 | 61 |
Stock Options | ||
Effect of dilutive shares: | ||
Total anti-dilutive shares and units (in shares) | 105 | 706 |
Weighted-average exercise price of anti-dilutive stock options (in dollars per share) | $ 35.03 | $ 24.26 |
Supplemental Cash Flow Inform_3
Supplemental Cash Flow Information (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Cash paid for interest | $ 64,527 | $ 33,952 |
Cash paid (refunds received) for income taxes, net | 13 | 66 |
Non-cash investing activity: | ||
Mortgage servicing rights resulting from loan sales | 282,315 | 115,751 |
Mortgage servicing liabilities resulting from loan sales | 6,576 | 794 |
Unsettled portion of MSR acquisitions | 1,656 | 16,291 |
Operating right-of-use assets recognized | 1,534 | 58,598 |
Non-cash financing activity: | ||
Issuance of Excess servicing spread payable to PennyMac Mortgage Investment Trust pursuant to a recapture agreement | 379 | 508 |
Issuance of common stock in settlement of director fees | $ 48 | $ 86 |
Regulatory Capital and Liquid_3
Regulatory Capital and Liquidity Requirements (Details) - USD ($) $ in Thousands | Jan. 31, 2020 | Mar. 31, 2020 | Dec. 31, 2015 | Dec. 31, 2019 |
Fannie Mae / Freddie Mac - PLS | ||||
Regulatory Net Worth and Agency Capital Requirements | ||||
Net worth | $ 2,648,008 | $ 2,247,751 | ||
FHFA liquidity spread of UPB serviced | 0.04% | |||
Capital Requirement | 600,991 | 585,674 | ||
Liquidity | 875,336 | 257,794 | ||
Liquidity requirement | $ 81,942 | $ 79,991 | ||
Tangible net worth / Total assets ratio actual | 25.00% | 22.00% | ||
Tangible net worth / Total assets ratio requirement | 6.00% | 6.00% | ||
Ginnie Mae - PLS | ||||
Regulatory Net Worth and Agency Capital Requirements | ||||
Net worth | $ 2,324,574 | $ 1,907,398 | ||
FHFA net worth requirement spread | 0.35% | |||
FHFA liquidity spread of UPB serviced | 0.10% | |||
Capital Requirement | 931,240 | 910,456 | ||
Liquidity | 875,336 | 257,794 | ||
Liquidity requirement | $ 222,121 | $ 216,119 | ||
Adjusted net worth / Total assets ratio actual | 22.00% | 19.00% | ||
Adjusted net worth / Total assets ratio requirement | 6.00% | 6.00% | ||
Ginnie Mae - PennyMac | 1-4 unit servicing portfolio | ||||
Regulatory Net Worth and Agency Capital Requirements | ||||
Net worth | $ 2,500 | |||
FHFA net worth requirement spread | 0.35% | |||
FHFA liquidity spread of UPB serviced | 0.10% | |||
Liquidity requirement | $ 1,000 | |||
HUD - PLS | ||||
Regulatory Net Worth and Agency Capital Requirements | ||||
Net worth | 2,324,574 | $ 1,907,398 | ||
Capital Requirement | $ 2,500 | $ 2,500 | ||
Federal Housing Finance Agency | ||||
Regulatory Net Worth and Agency Capital Requirements | ||||
Net worth | $ 2,500 | $ 2,500 | ||
FHFA liquidity spread of UPB serviced | 0.035% | |||
FHFA additional liquidity spread of UPB in excess of set percent | 3.00% | 2.00% | ||
Federal Housing Finance Agency | 1-4 unit servicing portfolio | ||||
Regulatory Net Worth and Agency Capital Requirements | ||||
FHFA net worth requirement spread | 0.25% | 0.25% |
Segments (Details)
Segments (Details) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2020USD ($)segment | Mar. 31, 2019USD ($) | Dec. 31, 2019USD ($) | |
Segments and Related Information | |||
Number of segments | segment | 3 | ||
Revenues: | |||
Net gains on loans held for sale at fair value | $ 344,282 | $ 84,776 | |
Loan origination fees | 57,571 | 23,930 | |
Net loan servicing fees | 257,808 | 80,571 | |
Net interest income (expense): | |||
Interest income | 72,564 | 58,333 | |
Interest expense, before non-segment activities | 61,512 | 37,543 | |
Net interest expense, before non-segment activities | 11,052 | 20,790 | |
Management fees | 9,055 | 7,248 | |
Other | 117 | 2,816 | |
Total net revenues, before non-segment activities | 721,825 | 247,705 | |
Expenses | 307,095 | 187,414 | |
Income before provision for income taxes | 414,730 | 60,291 | |
Assets: | |||
Segment assets at period end | 10,891,133 | $ 10,204,017 | |
PMT | |||
Revenues: | |||
Fulfillment fees from PennyMac Mortgage Investment Trust | 41,940 | 27,574 | |
Net interest income (expense): | |||
Management fees | $ 9,055 | 7,248 | |
Mortgage banking | |||
Segments and Related Information | |||
Number of segments | segment | 2 | ||
Operating segment | |||
Assets: | |||
Segment assets at period end | $ 10,891,133 | 7,819,000 | |
Operating segment | Investment management | |||
Net interest income (expense): | |||
Interest expense, before non-segment activities | 9 | 7 | |
Net interest expense, before non-segment activities | (9) | (7) | |
Management fees | 9,055 | 7,248 | |
Other | 807 | 1,563 | |
Total net revenues, before non-segment activities | 9,853 | 8,804 | |
Expenses | 6,096 | 6,682 | |
Income before provision for income taxes | 3,757 | 2,122 | |
Assets: | |||
Segment assets at period end | 18,067 | 17,719 | |
Operating segment | Mortgage banking | |||
Revenues: | |||
Net gains on loans held for sale at fair value | 344,282 | 84,776 | |
Loan origination fees | 57,571 | 23,930 | |
Net loan servicing fees | 257,808 | 80,571 | |
Net interest income (expense): | |||
Interest income | 72,564 | 58,333 | |
Interest expense, before non-segment activities | 61,503 | 37,536 | |
Net interest expense, before non-segment activities | 11,061 | 20,797 | |
Other | (690) | 1,253 | |
Total net revenues, before non-segment activities | 711,972 | 238,901 | |
Expenses | 300,999 | 180,732 | |
Income before provision for income taxes | 410,973 | 58,169 | |
Assets: | |||
Segment assets at period end | 10,873,066 | 7,801,281 | |
Operating segment | Mortgage banking | PMT | |||
Revenues: | |||
Fulfillment fees from PennyMac Mortgage Investment Trust | 41,940 | 27,574 | |
Operating segment | Mortgage banking Production | |||
Revenues: | |||
Net gains on loans held for sale at fair value | 316,635 | 66,721 | |
Loan origination fees | 57,571 | 23,930 | |
Net interest income (expense): | |||
Interest income | 26,585 | 14,369 | |
Interest expense, before non-segment activities | 20,157 | 3,915 | |
Net interest expense, before non-segment activities | 6,428 | 10,454 | |
Other | (10) | 488 | |
Total net revenues, before non-segment activities | 422,564 | 129,167 | |
Expenses | 182,433 | 82,161 | |
Income before provision for income taxes | 240,131 | 47,006 | |
Assets: | |||
Segment assets at period end | 5,686,878 | 2,501,468 | |
Operating segment | Mortgage banking Production | PMT | |||
Revenues: | |||
Fulfillment fees from PennyMac Mortgage Investment Trust | 41,940 | 27,574 | |
Operating segment | Mortgage banking Servicing | |||
Revenues: | |||
Net gains on loans held for sale at fair value | 27,647 | 18,055 | |
Net loan servicing fees | 257,808 | 80,571 | |
Net interest income (expense): | |||
Interest income | 45,979 | 43,964 | |
Interest expense, before non-segment activities | 41,346 | 33,621 | |
Net interest expense, before non-segment activities | 4,633 | 10,343 | |
Other | (680) | 765 | |
Total net revenues, before non-segment activities | 289,408 | 109,734 | |
Expenses | 118,566 | 98,571 | |
Income before provision for income taxes | 170,842 | 11,163 | |
Assets: | |||
Segment assets at period end | $ 5,186,188 | $ 5,299,813 |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) $ / shares in Units, $ in Millions | May 07, 2020 | Apr. 24, 2020 | Mar. 31, 2020 |
PLS | Credit Suisse First Boston Mortgage Capital LLC | |||
Securities Sold under Agreements to Repurchase [Abstract] | |||
Maximum aggregate purchase price | $ 2,000 | ||
PLS | Credit Suisse First Boston Mortgage Capital LLC | Note Payable | |||
Subsequent Event | |||
Maximum loan amount | $ 400 | ||
Subsequent Event | |||
Subsequent Event | |||
Dividends declared (in dollars per share) | $ 0.12 | ||
Subsequent Event | Credit Suisse First Boston Mortgage Capital LLC | Fannie Mae / Freddie Mac - PLS | |||
Securities Sold under Agreements to Repurchase [Abstract] | |||
Maximum aggregate purchase price | $ 400 | ||
Subsequent Event | PLS | Credit Suisse First Boston Mortgage Capital LLC | |||
Securities Sold under Agreements to Repurchase [Abstract] | |||
Maximum aggregate purchase price | 2,250 | ||
Subsequent Event | PLS | Credit Suisse First Boston Mortgage Capital LLC | Note Payable | |||
Subsequent Event | |||
Maximum loan amount | 600 | ||
Subsequent Event | PLS | Ginnie Mae - PLS | Credit Suisse First Boston Mortgage Capital LLC | |||
Securities Sold under Agreements to Repurchase [Abstract] | |||
Maximum aggregate purchase price | $ 1,500 |