Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2020 | Nov. 04, 2020 | |
Document and Entity Information | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Sep. 30, 2020 | |
Document Transition Report | false | |
Entity File Number | 001-38727 | |
Entity Registrant Name | PennyMac Financial Services, Inc. | |
Entity Central Index Key | 0001745916 | |
Entity Incorporation, State or Country Code | DE | |
Entity Tax Identification Number | 83-1098934 | |
Entity Address, Address Line One | 3043 Townsgate Road | |
Entity Address, City or Town | Westlake Village | |
Entity Address, State or Province | CA | |
Entity Address, Postal Zip Code | 91361 | |
City Area Code | 818 | |
Local Phone Number | 224-7442 | |
Title of 12(b) Security | Common Stock, $0.0001 par value | |
Trading Symbol | PFSI | |
Security Exchange Name | NYSE | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Accelerated Filer | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 72,444,213 | |
Document Fiscal Year Focus | 2020 | |
Document Fiscal Period Focus | Q3 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
ASSETS | ||
Cash (includes $52,599 pledged to creditors at December 31, 2019) | $ 529,166 | $ 188,291 |
Short-term investments at fair value | 102,136 | 74,611 |
Loans held for sale at fair value (includes $9,011,545 and $4,846,138 pledged to creditors) | 9,126,172 | 4,912,953 |
Derivative assets | 578,254 | 159,686 |
Servicing advances, net (includes valuation allowance of $141,964 and $82,157; $232,519 and $207,460 pledged to creditors) | 393,654 | 331,169 |
Mortgage servicing rights at fair value (includes $2,330,600 and $2,920,603 pledged to creditors) | 2,333,821 | 2,926,790 |
Operating lease right-of-use assets | 72,133 | 73,090 |
Loans eligible for repurchase | 17,183,873 | 1,046,527 |
Other (includes $207,547 and $32,598 pledged to creditors) | 651,229 | 333,557 |
Total assets | 31,180,865 | 10,204,017 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 7,259,188 | 4,141,053 |
Mortgage loans participation purchase and sale agreements | 535,063 | 497,948 |
Obligations under capital lease | 13,957 | 20,810 |
Notes payable secured by mortgage servicing assets | 1,295,143 | 1,294,070 |
Unsecured senior notes | 492,358 | |
Derivative liabilities | 24,537 | 22,330 |
Mortgage servicing liabilities at fair value | 31,698 | 29,140 |
Operating lease liabilities | 92,005 | 91,320 |
Accounts payable and accrued expenses | 278,403 | 175,273 |
Income taxes payable | 673,149 | 504,569 |
Liability for loans eligible for repurchase | 17,183,873 | 1,046,527 |
Liability for losses under representations and warranties | 28,504 | 21,446 |
Total liabilities | 28,163,788 | 8,142,510 |
Commitments and contingencies - Note 15 | ||
STOCKHOLDERS' EQUITY | ||
Additional paid-in capital | 1,116,428 | 1,335,107 |
Retained earnings | 1,900,642 | 726,392 |
Total stockholders' equity | 3,017,077 | 2,061,507 |
Total liabilities and stockholders' equity | 31,180,865 | 10,204,017 |
Common Stock | ||
STOCKHOLDERS' EQUITY | ||
Common stock - authorized 200,000,000 shares of $0.0001 par value; issued and outstanding, 72,400,490 and 78,515,047 shares respectively | 7 | 8 |
PMT | ||
ASSETS | ||
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell pledged to creditors | 86,958 | 107,512 |
Investment in PennyMac Mortgage Investment Trust at fair value | 991 | 1,672 |
Receivable, from PennyMac Investment Trust | 122,478 | 48,159 |
LIABILITIES | ||
Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value | 142,990 | 178,586 |
Payable to PennyMac Mortgage Investment Trust | 77,136 | 73,280 |
Private National Mortgage Acceptance Company, LLC | ||
LIABILITIES | ||
Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | $ 35,784 | $ 46,158 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Cash pledged to creditors | $ 52,599 | |
Mortgage loans held for sale, pledged to creditors | $ 9,011,545 | 4,846,138 |
Servicing advances, net, valuation allowance | 141,964 | 82,157 |
Servicing advances pledged to creditors | 232,519 | 207,460 |
Mortgage servicing rights pledged to creditors | 2,330,600 | 2,920,603 |
Other assets pledged to creditors | $ 207,547 | $ 32,598 |
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 | 72,400,490 | 78,515,047 |
Common stock, shares outstanding | 72,400,490 | 78,515,047 |
CONSOLIDATED STATEMENTS OF INCO
CONSOLIDATED STATEMENTS OF INCOME - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Net gains on loans held for sale at fair value: | ||||
From non-affiliates | $ 865,044 | $ 175,070 | $ 1,819,175 | $ 345,045 |
Net gains on loans held for sale at fair value | 855,269 | 235,732 | 1,881,724 | 468,041 |
Loan origination fees from non-affiliates | 69,496 | 45,212 | 177,747 | 100,721 |
Loan origination fees | 75,572 | 49,434 | 192,091 | 110,288 |
Fulfillment fees from PennyMac Mortgage Investment Trust | 149,594 | 102,313 | ||
Loan servicing fees | ||||
From non-affiliates | 203,696 | 185,967 | 601,527 | 533,510 |
Other | 27,920 | 26,018 | 85,218 | 74,043 |
Loan servicing fees | 250,368 | 224,949 | 735,551 | 642,655 |
Change in fair value of mortgage servicing rights and mortgage servicing liabilities | 127,217 | 412,730 | 1,368,219 | 1,036,123 |
Hedging results | 6,521 | 250,146 | 1,027,327 | 587,883 |
Change in fair value of excess servicing spread payable to PennyMac Mortgage Investment Trust | (117,561) | (158,720) | (322,599) | (436,721) |
Net loan servicing fees | 132,807 | 66,229 | 412,952 | 205,934 |
Interest income: | ||||
From non-affiliates | 52,276 | 81,925 | 170,148 | 207,670 |
Interest income | 52,952 | 83,452 | 172,834 | 212,685 |
Interest expense: | ||||
To non-affiliates | 61,109 | 54,089 | 171,482 | 138,723 |
Interest expense | 63,179 | 56,380 | 177,898 | 146,847 |
Net interest (expense) income | (10,227) | 27,072 | (5,064) | 65,838 |
Management fees, net: | ||||
Management fees | 8,508 | 10,098 | 25,851 | 26,178 |
Result of real estate acquired in settlement of loans | 1,214 | 188 | 803 | 1,205 |
Other | 2,298 | 2,379 | 6,102 | 6,855 |
Total net revenue | 1,119,992 | 436,347 | 2,663,451 | 987,029 |
Expenses | ||||
Compensation | 202,440 | 141,132 | 550,762 | 362,449 |
Servicing | 71,110 | 47,909 | 169,779 | 107,210 |
Loan origination | 53,752 | 34,851 | 150,677 | 72,419 |
Technology | 28,964 | 20,385 | 69,976 | 52,431 |
Professional services | 18,307 | 9,682 | 44,211 | 21,876 |
Occupancy and equipment | 8,491 | 7,257 | 24,822 | 21,075 |
Other | 8,637 | 8,934 | 29,841 | 23,491 |
Total expenses | 391,701 | 270,150 | 1,040,068 | 660,951 |
Income before provision for income taxes | 728,291 | 166,197 | 1,623,383 | 326,078 |
Provision for income taxes | 193,131 | 44,724 | 429,303 | 85,774 |
Net income attributable to PennyMac Financial Services, Inc. common stockholders | $ 535,160 | $ 121,473 | $ 1,194,080 | $ 240,304 |
Earnings per share | ||||
Basic (in dollars per share) | $ 7.39 | $ 1.55 | $ 15.65 | $ 3.08 |
Diluted (in dollars per share) | $ 7.03 | $ 1.51 | $ 15 | $ 3.01 |
Weighted-average shares outstanding | ||||
Basic (in shares) | 72,439 | 78,361 | 76,292 | 78,119 |
Diluted (in shares) | 76,138 | 80,382 | 79,618 | 79,821 |
Dividend declared per share (in dollars per share) | $ 0.15 | $ 0.39 | ||
PMT | ||||
Net gains on loans held for sale at fair value: | ||||
From PennyMac Mortgage Investment Trust | $ (9,775) | $ 60,662 | $ 62,549 | $ 122,996 |
Loan origination fees from PennyMac Mortgage Investment Trust | 6,076 | 4,222 | 14,344 | 9,567 |
Fulfillment fees from PennyMac Mortgage Investment Trust | 54,839 | 45,149 | 149,594 | 102,313 |
Loan servicing fees | ||||
Loan servicing fees from affiliates | 18,752 | 12,964 | 48,806 | 35,102 |
Changes in fair value included in income | 3,135 | 3,864 | 18,293 | 11,519 |
Interest income: | ||||
From PennyMac Mortgage Investment Trust | 676 | 1,527 | 2,686 | 5,015 |
Interest expense: | ||||
To PennyMac Mortgage Investment Trust | 2,070 | 2,291 | 6,416 | 8,124 |
Management fees, net: | ||||
Management fees | 8,508 | 10,098 | 25,851 | 26,178 |
Change in fair value of investment in and dividends received from affiliate | $ (288) | $ 66 | $ (602) | $ 377 |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) shares in Thousands, $ in Thousands | Common Stock. | Additional paid-in capital | Retained earnings | 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 | 240,304 | 240,304 | |||
Stock based compensation | 18,390 | 18,390 | |||
Stock based compensation (in shares) | 984 | ||||
Issuance of common stock in settlement of director fees | 184 | 184 | |||
Issuance of common stock in settlement of director fees (in shares) | 8 | ||||
Repurchase of common stock | (1,056) | $ (1,056) | (1,056) | ||
Repurchase of common stock (in shares) | (51) | (51) | |||
Balance at Sep. 30, 2019 | $ 8 | 1,328,166 | 583,439 | 1,911,613 | |
Balance (in shares) at Sep. 30, 2019 | 78,435 | ||||
Balance at Jun. 30, 2019 | $ 8 | 1,317,023 | 461,966 | 1,778,997 | |
Balance (in shares) at Jun. 30, 2019 | 78,305 | ||||
Changes in stockholders' equity | |||||
Net income | 121,473 | 121,473 | |||
Stock based compensation | 11,095 | 11,095 | |||
Stock based compensation (in shares) | 128 | ||||
Issuance of common stock in settlement of director fees | 48 | 48 | |||
Issuance of common stock in settlement of director fees (in shares) | 2 | ||||
Balance at Sep. 30, 2019 | $ 8 | 1,328,166 | 583,439 | 1,911,613 | |
Balance (in shares) at Sep. 30, 2019 | 78,435 | ||||
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 | 1,194,080 | 1,194,080 | |||
Stock based compensation | 29,386 | 29,386 | |||
Stock based compensation (in shares) | 1,212 | ||||
Common stock dividends | (19,830) | (19,830) | |||
Issuance of common stock in settlement of director fees | 144 | 144 | |||
Issuance of common stock in settlement of director fees (in shares) | 4 | ||||
Repurchase of common stock | $ (1) | (248,209) | $ (248,210) | (248,210) | |
Repurchase of common stock (in shares) | (7,331) | (7,331) | |||
Balance at Sep. 30, 2020 | $ 7 | 1,116,428 | 1,900,642 | 3,017,077 | |
Balance (in shares) at Sep. 30, 2020 | 72,400 | ||||
Balance at Jun. 30, 2020 | $ 7 | 1,113,412 | 1,365,774 | 2,479,193 | |
Balance (in shares) at Jun. 30, 2020 | 72,358 | ||||
Changes in stockholders' equity | |||||
Net income | 535,160 | 535,160 | |||
Stock based compensation | 9,895 | 9,895 | |||
Stock based compensation (in shares) | 159 | ||||
Common stock dividends | (292) | (292) | |||
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 | (6,927) | $ (6,927) | (6,927) | ||
Repurchase of common stock (in shares) | (118) | (118) | |||
Balance at Sep. 30, 2020 | $ 7 | $ 1,116,428 | $ 1,900,642 | $ 3,017,077 | |
Balance (in shares) at Sep. 30, 2020 | 72,400 |
CONSOLIDATED STATEMENTS OF CH_2
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares | 3 Months Ended | 9 Months Ended |
Sep. 30, 2020 | Sep. 30, 2020 | |
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY | ||
Common Stock dividends (in dollars per share) | $ 0.15 | $ 0.39 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2020 | Sep. 30, 2019 | |
Cash flow from operating activities | ||
Net income | $ 1,194,080 | $ 240,304 |
Adjustments to reconcile net income to net cash used in operating activities: | ||
Net gains on loans held for sale at fair value | (1,881,724) | (468,041) |
Change in fair value of mortgage servicing rights, mortgage servicing liabilities and excess servicing spread | 1,349,926 | 1,024,604 |
Mortgage servicing rights hedging gains | (1,027,327) | (587,883) |
Capitalization of interest on loans held for sale at fair value | (55,920) | (56,800) |
Amortization of net debt issuance cost and (premiums) | 12,163 | (6,601) |
Results of real estate acquired in settlement of loans | (803) | (1,205) |
Stock based compensation expense | 26,220 | 19,124 |
Provision for servicing advance losses | 79,402 | 19,973 |
Depreciation and amortization | 17,126 | 10,650 |
Amortization of right-to-use assets | 9,176 | 7,258 |
Origination of loans held for sale | (20,580,388) | (7,249,762) |
Purchase of loans held for sale from non-affiliates | (2,515,624) | (1,132,749) |
Purchase of loans from Ginnie Mae securities and early buyout investors for modification and subsequent sale | (5,980,081) | (4,172,281) |
Sale to non-affiliates and principal payments of loans held for sale | 67,209,239 | 39,084,441 |
Repurchase of loans subject to representations and warranties | (43,664) | (15,427) |
Settlement of repurchase agreement derivatives | 8,270 | 31,993 |
Increase in servicing advances | (156,964) | (9,871) |
Sale of real estate acquired in settlement of loans | 27,842 | 17,141 |
Increase in other assets | (305,100) | (22,415) |
Decrease in operating lease liabilities | (10,378) | (9,234) |
Increase in accounts payable and accrued expenses | 102,789 | 78,800 |
Payments to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | (10,374) | |
Net cash used in operating activities | (3,923,531) | (1,690,141) |
Cash flow from investing activities | ||
(Increase) decrease in short-term investments | (27,525) | 27,161 |
Net settlement of derivative financial instruments used for hedging of mortgage servicing rights | 1,000,865 | 542,139 |
Purchase of mortgage servicing rights | (25,473) | (227,445) |
Purchase of furniture, fixtures, equipment and leasehold improvements | (5,584) | (5,534) |
Acquisition of capitalized software | (38,443) | (22,190) |
Decrease (increase) in margin deposits | 205 | (168,062) |
Net cash provided by investing activities | 924,599 | 169,416 |
Cash flow from financing activities | ||
Sale of assets under agreements to repurchase | 68,122,809 | 41,296,345 |
Repurchase of assets sold under agreements to repurchase | (64,997,443) | (39,692,086) |
Issuance of mortgage loan participation purchase and sale certificates | 17,814,845 | 17,498,589 |
Repayment of mortgage loan participation purchase and sale certificates | (17,777,414) | (17,516,431) |
Advances of obligations under capital lease | 25,123 | |
Repayments of obligations under capital lease | (6,853) | (7,847) |
Issuance of unsecured senior notes | 500,000 | |
Repayment of excess servicing spread financing | (25,112) | (30,901) |
Payment of debt issuance costs | (26,362) | (4,489) |
Issuance of common stock pursuant to exercise of stock options | 8,431 | 3,900 |
Payment of withholding taxes relating to stock-based compensation | (5,265) | (4,634) |
Payment of dividend to holders of common stock | (19,830) | |
Repurchase of common stock | (248,210) | (1,056) |
Net cash provided by financing activities | 3,339,596 | 1,566,513 |
Net increase in cash and restricted cash | 340,664 | 45,788 |
Cash and restricted cash at beginning of period | 188,578 | 155,924 |
Cash and restricted cash at end of period | 529,242 | 201,712 |
Cash | 529,166 | 201,268 |
Restricted cash included in Other assets | 76 | 444 |
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 | 6,416 | 8,124 |
Change in fair value of investment in common shares of PennyMac Mortgage Investment Trust | 681 | (270) |
Purchase of loans held for sale from PennyMac Mortgage Investment Trust | (43,721,458) | (32,619,639) |
Sale of loans held for sale to Penny Mac Mortgage Investment Trust | 2,248,896 | 4,095,079 |
Increase in receivable from affiliates | (80,531) | (9,598) |
Decrease in payable to affiliate | (14,001) | (45,869) |
Increase in income taxes payable | 168,580 | 80,013 |
Cash flow from investing activities | ||
Net change in assets purchased from PMT under agreement to resell | $ 20,554 | $ 23,347 |
Organization
Organization | 9 Months Ended |
Sep. 30, 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 loan production and 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 in 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 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 as an investment adviser under the Investment Advisers Act of 1940, as amended. PCM has an investment management agreement with PMT. |
Basis of Presentation and Recen
Basis of Presentation and Recently Adopted Accounting Pronouncements | 9 Months Ended |
Sep. 30, 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 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 presented, but are not necessarily indicative of income to be anticipated for the full year ending December 31, 2020. 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. Certain asset amounts separately presented in prior periods have been reclassified to Other Other Assets 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 |
Concentration of Risk
Concentration of Risk | 9 Months Ended |
Sep. 30, 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”), net interest, management fees, and change in fair value of investment in and dividends received from PMT) totaled 7% and 32% of total net revenue for the quarters ended September 30, 2020 and 2019, respectively, and 12% and 31% for the nine months ended September 30, 2020 and 2019, respectively. |
Related Party Transactions
Related Party Transactions | 9 Months Ended |
Sep. 30, 2020 | |
Related Party Transactions | |
Related Party Transactions | Note 4—Related Party Transactions 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. Through June 30, 2020, pursuant to the terms of an MSR recapture agreement by and between the Company and PMT, if the Company refinanced mortgage loans for which PMT previously held the MSRs, the Company was 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. On June 30, 2020, the MSR recapture agreement was amended and restated for a term of five years (the “2020 MSR Recapture Agreement”). Effective July 1, 2020, the 2020 MSR Recapture agreement changes the recapture fee payable by the Company to a tiered amount equal to: ● 40% of the fair market value of the MSRs relating to the recaptured loans subject to the first 15% of the “recapture rate”; ● 35% of the fair market value of the MSRs relating to the recaptured loans subject to the recapture rate in excess of 15% and up to 30% ; and ● 30% of the fair market value of the MSRs relating to the recaptured loans subject to the recapture rate in excess of 30% . The “recapture rate” means, during each month, the ratio of (i) the aggregate unpaid principal balance of all recaptured loans, to (ii) the aggregate unpaid principal balance of all mortgage loans for which the Company held the MSRs and that were refinanced or otherwise paid off in such month. The Company has further agreed to allocate sufficient resources to target a recapture rate of 15% . The Company provides PMT with certain mortgage banking services, including fulfillment and disposition-related services, for which it receives a monthly fulfillment fee. Through June 30, 2020, pursuant to the terms of a mortgage banking services agreement, the monthly fulfillment fee was an amount equal to: 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 was 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 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, through June 30, 2020, 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. While the Company purchases these mortgage loans “as is” and without recourse of any kind from PMT, where the Company has a claim for repurchase, indemnity or otherwise against a correspondent seller, it is entitled, at its sole expense, to pursue any such claim through or in the name of PMT. Effective July 1, 2020, the fulfillment fees and sourcing fees were revised as follows: ● Fulfillment fees shall not exceed the following: (i) the number of loan commitments multiplied by a pull-through factor of either .99 or .80 depending on whether the loan commitments are subject to a “mandatory trade confirmation” or a “best efforts lock confirmation”, respectively, and then multiplied by $585 for each pull-through adjusted loan commitment up to and including 16,500 per quarter and $355 for each pull-through adjusted loan commitment in excess of 16,500 per quarter, plus (ii) $315 multiplied by the number of purchased loans up to the and including 16,500 per quarter and $195 multiplied by the number of purchased loans in excess of 16,500 per quarter, plus (iii) $750 multiplied by the number of all purchased loans that are sold or securitized to parties other than Fannie Mae and Freddie Mac; provided however, that no fulfillment fee shall be due or payable to PLS with respect to any Ginnie Mae loans. ● Sourcing fees charged to PLS range from one to two basis points, generally based on the average number of calendar days the loans are held by PMT before purchase by PLS. Following is a summary of loan production activities, including MSR recapture between the Company and PMT: Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Net gains on loans held for sale at fair value: Net gains on loans held for sale to PMT $ 1 $ 62,558 $ 81,295 $ 127,423 Mortgage servicing rights and excess servicing spread recapture incurred (9,776) (1,896) (18,746) (4,427) $ (9,775) $ 60,662 $ 62,549 $ 122,996 Sale of loans held for sale to PMT $ 27 $ 1,876,358 $ 2,248,896 $ 4,095,079 Tax service fees earned from PMT included in Loan origination fees $ 6,076 $ 4,222 $ 14,344 $ 9,567 Fulfillment fee revenue $ 54,839 $ 45,149 $ 149,594 $ 102,313 Sourcing fees paid to PMT $ 1,658 $ 4,206 $ 9,143 $ 9,355 Unpaid principal balance of loans purchased from PMT $ 16,690,482 $ 14,022,222 $ 41,641,327 $ 31,183,950 Loan Servicing The Company and PMT have entered into a loan servicing agreement (the “Servicing Agreement”), 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 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 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. ● Effective July 1, 2020, the Company also receives certain fees for COVID-19-related forbearance and modification activities provided for under the Coronavirus Aid, Relief, and Economic Security Act (“CARES Act”). Special Servicing (Distressed loans) ● The base servicing fee rates for distressed 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 the performance of its servicing obligations. ● The Company is also entitled to certain activity-based fees for distressed 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 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. Following is a summary of loan servicing and property management fees earned from PMT: Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Loan type serviced: Loans acquired for sale at fair value $ 452 $ 507 $ 1,595 $ 1,131 Loans at fair value 187 858 675 1,938 Mortgage servicing rights 18,113 11,599 46,536 32,033 $ 18,752 $ 12,964 $ 48,806 $ 35,102 Property management fees received from PMT included in Other $ — $ 70 $ — $ 295 On June 30, 2020, the Servicing Agreement was amended and restated for a term of five years (the “2020 Servicing Agreement”). The terms of the 2020 Servicing Agreement are substantially similar to those in the prior servicing agreement except that they now include the fees described above relating to COVID-19 related forbearance and modification activities provided for under the CARES Act. Investment Management Activities The Company has a management agreement with PMT (“Management Agreement”), pursuant to which 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 PFSI 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. In the event of termination of the Management Agreement between PMT and the Company, the Company may be entitled to a termination fee in certain circumstances. The termination fee is equal to three times the sum of (a) the average annual base management fee, and (b) the average annual performance incentive fee earned by the Company, in each case during the 24-month period immediately preceding the date of termination. Following is a summary of the base management and performance incentive fees earned from PMT: Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Base management $ 8,508 $ 7,914 $ 25,851 $ 20,862 Performance incentive — 2,184 — 5,316 $ 8,508 $ 10,098 $ 25,851 $ 26,178 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 was reimbursed $120,000 per fiscal quarter through June 30, 2020. 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 are allocated based on the ratio of PMT’s proportion of gross assets compared to all remaining gross assets managed by the Company as calculated at each fiscal quarter end. On June 30, 2020, the Management Agreement was amended and restated for a term of five years (the “2020 Management Agreement”). The Company received reimbursements from PMT for expenses as follows: Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Reimbursement of: Common overhead incurred by the Company $ 1,389 $ 1,543 $ 4,514 $ 4,055 Compensation 165 120 405 360 Expenses incurred on PMT's behalf, net 2,852 1,942 5,561 3,001 $ 4,406 $ 3,605 $ 10,480 $ 7,416 Payments and settlements during the quarter (1) $ 58,479 $ 68,191 $ 228,514 $ 111,411 (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 $219,000 in reimbursement of underwriting fees from PMT during the nine months ended September 30, 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, 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. Common Shares of Beneficial Interest of PennyMac Mortgage Investment Trust The Company holds an investment in PMT in the form of 75,000 common shares of beneficial interest. Following is a summary of investing activities between the Company and PMT: Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Interest income relating to Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 676 $ 1,527 $ 2,686 $ 5,015 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Dividends received $ 31 $ 36 $ 79 $ 107 Change in fair value of investment (319) 30 (681) 270 $ (288) $ 66 $ (602) $ 377 September 30, December 31, 2020 2019 (in thousands) Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 86,958 $ 107,512 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Fair value $ 991 $ 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 September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Excess servicing spread financing: Balance at beginning of period $ 151,206 $ 194,156 $ 178,586 $ 216,110 Issuance pursuant to recapture agreement 531 377 1,393 1,327 Accrual of interest 2,070 2,291 6,416 8,124 Repayment (7,682) (9,819) (25,112) (30,901) Change in fair value (3,135) (3,864) (18,293) (11,519) Balance at end of period $ 142,990 $ 183,141 $ 142,990 $ 183,141 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 $ 525 $ 429 $ 1,441 $ 1,311 Receivable from and Payable to PMT Amounts receivable from and payable to PMT are summarized below: September 30, December 31, 2020 2019 (in thousands) Receivable from PMT: Margin settlements relating to loan sales $ 48,243 $ — Allocated expenses and expenses incurred on PMT's behalf 30,207 3,724 Fulfillment fees 18,060 18,285 Correspondent production fees 11,285 10,606 Management fees 8,509 10,579 Servicing fees 6,121 4,659 Interest on assets purchased under agreements to resell 43 85 Conditional reimbursement 10 221 $ 122,478 $ 48,159 Payable to PMT: Amounts advanced by PMT to fund its servicing advances $ 58,264 $ 70,520 Mortgage servicing rights recapture payable 197 149 Other 18,675 2,611 $ 77,136 $ 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. The Company has recorded $35.8 million and $46.2 million Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement |
Loan Sales and Servicing Activi
Loan Sales and Servicing Activities | 9 Months Ended |
Sep. 30, 2020 | |
Loan Sales and Servicing Activities | |
Loan Sales and Servicing Activities | Note 5—Loan Sales and Servicing Activities The Company, through PLS, originates or purchases and sells loans in the secondary mortgage market without recourse for credit losses. However, the Company maintains continuing involvement with the loans in the form of servicing arrangements and the liability under representations and warranties it makes to purchasers and insurers of the loans. The following table summarizes cash flows between the Company and transferees as a result of the sale of loans in transactions where the Company maintains continuing involvement with the loans as servicer: Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Cash flows: Sales proceeds $ 26,683,234 $ 17,897,693 $ 67,209,239 $ 39,084,441 Servicing fees received (1) $ 166,316 $ 149,210 $ 491,743 $ 426,774 Net servicing advances (recoveries) $ 71,890 $ 8,605 $ 68,992 $ (23,583) (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: September 30, December 31, 2020 2019 (in thousands) Unpaid principal balance of loans outstanding $ 188,854,796 $ 168,842,011 Delinquencies: 30-89 days $ 7,237,198 $ 7,947,560 90 days or more: Not in foreclosure $ 19,423,346 $ 3,237,563 In foreclosure $ 621,649 $ 888,136 Foreclosed $ 13,730 $ 15,387 Bankruptcy $ 1,288,443 $ 1,343,816 The following tables summarize the UPB of the Company’s loan servicing portfolio: September 30, 2020 Contract Servicing servicing and Total rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 188,854,796 $ — $ 188,854,796 Purchased 47,795,763 — 47,795,763 236,650,559 — 236,650,559 PennyMac Mortgage Investment Trust 156,496,568 156,496,568 Loans held for sale 8,749,673 — 8,749,673 $ 245,400,232 $ 156,496,568 $ 401,896,800 Delinquent loans (1): 30 days $ 5,924,488 $ 1,435,686 $ 7,360,174 60 days 3,178,614 621,723 3,800,337 90 days or more: Not in foreclosure 24,324,945 5,622,954 29,947,899 In foreclosure 831,239 37,293 868,532 Foreclosed 16,409 45,925 62,334 $ 34,275,695 $ 7,763,581 $ 42,039,276 Bankruptcy $ 1,815,833 $ 158,182 $ 1,974,015 Delinquent loans in COVID-19 related forbearance: 30 days $ 2,344,986 $ 474,168 $ 2,819,154 60 days 2,289,880 476,220 2,766,100 90 days or more not in foreclosure 17,827,122 4,716,956 22,544,078 $ 22,461,988 $ 5,667,344 $ 28,129,332 Custodial funds managed by the Company $ 10,364,855 $ 6,347,559 $ 16,712,414 (1) Includes delinquent loans in COVID-19 related forbearance plans that were requested by borrowers seeking payment relief in accordance with the CARES Act. (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: September 30, December 31, State 2020 2019 (in thousands) California $ 58,062,643 $ 57,311,867 Florida 33,545,822 28,940,696 Texas 31,893,436 27,909,821 Virginia 24,378,162 22,115,619 Maryland 18,700,592 16,829,320 All other states 235,316,145 215,576,909 $ 401,896,800 $ 368,684,232 |
Fair Value
Fair Value | 9 Months Ended |
Sep. 30, 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 significant 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 Assets and Liabilities Measured at Fair Value on a Recurring Basis Following is a summary of assets and liabilities that are measured at fair value on a recurring basis: September 30, 2020 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 102,136 $ — $ — $ 102,136 Loans held for sale at fair value — 6,351,175 2,774,997 9,126,172 Derivative assets: Interest rate lock commitments — — 544,151 544,151 Forward purchase contracts — 72,640 — 72,640 Forward sales contracts — 21,652 — 21,652 MBS put options — 27,336 — 27,336 MBS call options — 4,255 — 4,255 Swaptions — 5,568 — 5,568 Put options on interest rate futures purchase contracts 5,910 — — 5,910 Call options on interest rate futures purchase contracts 1,570 — — 1,570 Total derivative assets before netting 7,480 131,451 544,151 683,082 Netting — — — (104,828) Total derivative assets 7,480 131,451 544,151 578,254 Mortgage servicing rights at fair value — — 2,333,821 2,333,821 Investment in PennyMac Mortgage Investment Trust 991 — — 991 $ 110,607 $ 6,482,626 $ 5,652,969 $ 12,141,374 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value $ — $ — $ 142,990 $ 142,990 Derivative liabilities: Interest rate lock commitments — — 2,706 2,706 Forward purchase contracts — 15,903 — 15,903 Forward sales contracts — 98,765 — 98,765 Total derivative liabilities before netting — 114,668 2,706 117,374 Netting — — — (92,837) Total derivative liabilities — 114,668 2,706 24,537 Mortgage servicing liabilities at fair value — — 31,698 31,698 $ — $ 114,668 $ 177,394 $ 199,225 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 assets and liabilities measured at fair value using “Level 3” inputs at either the beginning or the end of the period presented for the quarter and nine month periods ended September 30, 2020 and 2019: Quarter ended September 30, 2020 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) Balance, June 30, 2020 $ 661,719 $ 368,064 $ 8,187 $ 2,213,539 $ 3,251,509 Purchases (purchase adjustment) and issuances, net 2,734,321 593,065 — (287) 3,327,099 Capitalization of interest and advances 22,262 — — — 22,262 Sales and repayments (88,955) — (8,270) — (97,225) Mortgage servicing rights resulting from loan sales — — — 245,946 245,946 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 42,029 — — — 42,029 Other factors — 311,790 83 (125,377) 186,496 42,029 311,790 83 (125,377) 228,525 Transfers from Level 3 to Level 2 (597,134) — — — (597,134) Reinstatement from real estate acquired in settlement of loans 755 — — — 755 Transfers of interest rate lock commitments to loans held for sale — (731,474) — — (731,474) Balance, September 30, 2020 $ 2,774,997 $ 541,445 $ — $ 2,333,821 $ 5,650,263 Changes in fair value recognized during the quarter relating to assets still held at September 30, 2020 $ 38,217 $ 541,445 $ — $ (125,377) $ 454,285 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended September 30, 2020 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, June 30, 2020 $ 151,206 $ 29,858 $ 181,064 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 531 — 531 Accrual of interest 2,070 — 2,070 Repayments (7,682) — (7,682) Changes in fair value included in income (3,135) 1,840 (1,295) Balance, September 30, 2020 $ 142,990 $ 31,698 $ 174,688 Changes in fair value recognized during the quarter relating to liabilities still outstanding at September 30, 2020 $ (3,135) $ 1,840 $ (1,295) Quarter ended September 30, 2019 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) Balance, June 30, 2019 $ 217,998 $ 111,776 $ 16,015 $ 2,720,335 $ 3,066,124 Purchases and issuances, net 1,861,769 199,274 1,502 46 2,062,591 Sales and repayments (1,582,564) — (9,422) — (1,591,986) Mortgage servicing rights resulting from loan sales — — — 246,757 246,757 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 4,252 — — — 4,252 Other factors — 92,138 92 (410,885) (318,655) 4,252 92,138 92 (410,885) (314,403) Transfers from Level 3 to Level 2 (416,062) — — — (416,062) Transfers to real estate acquired in settlement of loans (376) — — — (376) Transfers of interest rate lock commitments to loans held for sale — (258,064) — — (258,064) Balance, September 30, 2019 $ 85,017 $ 145,124 $ 8,187 $ 2,556,253 $ 2,794,581 Changes in fair value recognized during the quarter relating to assets still held at September 30, 2019 $ (2,328) $ 145,124 $ 41 $ (410,885) $ (268,048) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended September 30, 2019 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, June 30, 2019 $ 194,156 $ 12,948 $ 207,104 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 377 — 377 Accrual of interest 2,291 — 2,291 Repayments (9,819) — (9,819) Mortgage servicing liabilities resulting from loan sales — 19,501 19,501 Changes in fair value included in income (3,864) 1,845 (2,019) Balance, September 30, 2019 $ 183,141 $ 34,294 $ 217,435 Changes in fair value recognized during the quarter relating to liabilities still outstanding at September 30, 2019 $ (3,864) $ 1,845 $ (2,019) Nine months ended September 30, 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 4,664,408 1,431,194 — 25,473 6,121,075 Capitalization of interest and advances 55,283 — — — 55,283 Sales and repayments (888,247) — (8,270) — (896,517) Mortgage servicing rights resulting from loan sales — — — 753,795 753,795 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 35,638 — — — 35,638 Other factors — 808,906 83 (1,372,237) (563,248) 35,638 808,906 83 (1,372,237) (527,610) Transfers from Level 3 to Level 2 (1,476,027) — — — (1,476,027) Transfers to real estate acquired in settlement of loans (691) — — — (691) Reinstatement from real estate acquired in settlement of loans 755 — — — 755 Transfers of interest rate lock commitments to loans held for sale — (1,835,305) — — (1,835,305) Balance, September 30, 2020 $ 2,774,997 $ 541,445 $ — $ 2,333,821 $ 5,650,263 Changes in fair value recognized during the period relating to assets still held at September 30, 2020 $ 31,389 $ 541,445 $ — $ (1,372,237) $ (799,403) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Nine months ended September 30, 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 1,393 — 1,393 Accrual of interest 6,416 — 6,416 Repayments (25,112) — (25,112) Mortgage servicing liabilities resulting from loan sales — 6,576 6,576 Changes in fair value included in income (18,293) (4,018) (22,311) Balance, September 30, 2020 $ 142,990 $ 31,698 $ 174,688 Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2020 $ (18,293) $ (4,018) $ (22,311) Nine months ended September 30, 2019 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) Balance, December 31, 2018 $ 260,008 $ 49,338 $ 26,770 $ 2,820,612 $ 3,156,728 Purchases and issuances, net 3,537,177 376,137 15,019 227,445 4,155,778 Sales and repayments (2,414,899) — (31,994) — (2,446,893) Mortgage servicing rights resulting from loan sales — — — 545,839 545,839 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (2,025) — — — (2,025) Other factors — 248,889 (1,608) (1,037,643) (790,362) (2,025) 248,889 (1,608) (1,037,643) (792,387) Transfers from Level 3 to Level 2 (1,292,824) — — — (1,292,824) Transfers to real estate acquired in settlement of loans (2,420) — — — (2,420) Transfers of interest rate lock commitments to loans held for sale — (529,240) — — (529,240) Balance, September 30, 2019 $ 85,017 $ 145,124 $ 8,187 $ 2,556,253 $ 2,794,581 Changes in fair value recognized during the period relating to assets still held at September 30, 2019 $ (2,478) $ 145,124 $ 165 $ (1,037,643) $ (894,832) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Nine months ended September 30, 2019 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, December 31, 2018 $ 216,110 $ 8,681 $ 224,791 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 1,327 — 1,327 Accrual of interest 8,124 — 8,124 Repayments (30,901) — (30,901) Mortgage servicing liabilities resulting from loan sales — 27,133 27,133 Changes in fair value included in income (11,519) (1,520) (13,039) Balance, September 30, 2019 $ 183,141 $ 34,294 $ 217,435 Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2019 $ (11,519) $ (1,520) $ (13,039) The Company had transfers among the fair value levels arising from transfers of IRLCs to loans held for sale at fair value upon purchase or funding of the respective loans and from the return to salability in the active secondary market of certain loans held for sale. Assets and Liabilities Measured at Fair Value under the Fair Value Option Net changes in fair values included in income for assets and liabilities carried at fair value as a result of management’s election of the fair value option by income statement line item are summarized below: Quarter ended September 30, 2020 2019 Net gains on Net Net gains on Net loans held loan loans held loan for sale at servicing for sale at servicing fair value fees Total fair value fees Total Assets: Loans held for sale $ 773,313 $ — $ 773,313 $ 263,339 $ — $ 263,339 Mortgage servicing rights — (125,377) (125,377) — (410,885) (410,885) $ 773,313 $ (125,377) $ 647,936 $ 263,339 $ (410,885) $ (147,546) Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust $ — $ 3,135 $ 3,135 $ — $ 3,864 $ 3,864 Mortgage servicing liabilities — (1,840) (1,840) — (1,845) (1,845) $ — $ 1,295 $ 1,295 $ — $ 2,019 $ 2,019 Nine months ended September 30, 2020 2019 Net gains on Net Net gains on Net loans held loan loans held loan for sale at servicing for sale at servicing fair value fees Total fair value fees Total Assets: Loans held for sale $ 1,911,828 $ — $ 1,911,828 $ 538,086 $ — $ 538,086 Mortgage servicing rights — (1,372,237) (1,372,237) — (1,037,643) (1,037,643) $ 1,911,828 $ (1,372,237) $ 539,591 $ 538,086 $ (1,037,643) $ (499,557) Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust $ — $ 18,293 $ 18,293 $ — $ 11,519 $ 11,519 Mortgage servicing liabilities — 4,018 4,018 — 1,520 1,520 $ — $ 22,311 $ 22,311 $ — $ 13,039 $ 13,039 Following are the fair value and related principal amounts due upon maturity of loans held for sale accounted for under the fair value option: September 30, 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 $ 8,670,895 $ 8,279,163 $ 391,732 $ 4,628,333 $ 4,431,854 $ 196,479 90 days or more delinquent: Not in foreclosure 392,866 404,183 (11,317) 236,650 241,958 (5,308) In foreclosure 62,411 66,327 (3,916) 47,970 50,194 (2,224) $ 9,126,172 $ 8,749,673 $ 376,499 $ 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) September 30, 2020 $ — $ — $ 7,346 $ 7,346 December 31, 2019 $ — $ — $ 9,850 $ 9,850 The following table summarizes the (losses) gains recognized on assets when they were remeasured at fair value on a nonrecurring basis: Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Real estate acquired in settlement of loans $ (825) $ 139 $ (2,059) $ 162 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 Obligations under capital lease, Notes payable secured by mortgage servicing assets Unsecured senior notes 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 2018-GTI Notes and 2018-GT2 Notes (the “2018 Term Notes”) included in Notes payable secured by mortgage servicing assets The Company estimates the fair value of the 2018 Term Notes and the Unsecured Notes based on non-affiliate broker indications of fair value. The fair value and carrying value of these notes are summarized below: September 30, 2020 December 31, 2019 Fair value Carrying value Fair value Carrying value (in thousands) 2018 Term Notes $ 1,259,619 $ 1,295,143 $ 1,303,047 $ 1,294,070 Unsecured Notes $ 510,000 $ 492,358 $ — $ — 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 derivative liabilities and all of its MSRs, ESS, 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. As of September 30, 2020, the Company’s senior management valuation committee includes the Company’s chief financial, investment and risk officers as well as other senior members of the Company’s finance, capital markets and risk management staffs. 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: ● 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 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 or after six months of timely payments following the completion of certain types of payment deferral programs. ● Loans 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: September 30, 2020 December 31, 2019 Fair value (in thousands) $ 2,774,997 $ 383,878 Key inputs (1): Discount rate: Range 3.2% – 9.2% 3.0% – 9.2% Weighted average 3.2% 3.0% Twelve-month projected housing price index change: Range 2.1% – 2.6% 2.6% – 3.2% Weighted average 2.2% 2.8% Voluntary prepayment/resale speed (2): Range 0.5% – 24.9% 0.4% – 21.4% Weighted average 19.6% 18.2% Total prepayment speed (3): Range 0.6% – 38.7% 0.5% – 39.2% Weighted average 29.9% 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 beginning of the period or acquisition date. Changes in fair value of loans held for sale are included in Net gains on loans held for sale at fair value 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 Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs: September 30, 2020 December 31, 2019 Fair value (in thousands) $ 541,445 $ 136,650 Key inputs Pull-through rate: Range 11.8% – 100% 12.2% – 100% Weighted average 80.6% 86.5% Mortgage servicing rights value expressed as: Servicing fee multiple: Range 1.0 – 5.1 1.4 – 5.7 Weighted average 3.5 4.2 Percentage of loan commitment amount Range 0.2% – 2.5% 0.3% – 2.8% Weighted average 1.1% 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, Net loan servicing fees – Hedging results . Repurchase Agreement Derivatives Through August 21, 2019, the Company had a master repurchase agreement that included incentives for financing loans approved for satisfying designated 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. Repurchase agreement derivatives are categorized as “Level 3” fair value assets. The significant unobservable inputs used in 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 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 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 Following are the key inputs used in determi |
Loans Held for Sale at Fair Val
Loans Held for Sale at Fair Value | 9 Months Ended |
Sep. 30, 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: September 30, December 31, Loan type 2020 2019 (in thousands) Government-insured or guaranteed $ 5,219,448 $ 4,222,010 Conventional conforming 1,131,727 307,065 Purchased from Ginnie Mae pools serviced by the Company 2,759,032 374,121 Repurchased pursuant to representations and warranties 15,965 9,244 Home equity lines of credit — 513 $ 9,126,172 $ 4,912,953 Fair value of loans pledged to secure: Assets sold under agreements to repurchase $ 8,453,522 $ 4,322,789 Mortgage loan participation purchase and sale agreements 558,023 523,349 $ 9,011,545 $ 4,846,138 |
Derivative Financial Instrument
Derivative Financial Instruments | 9 Months Ended |
Sep. 30, 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 certain of the its 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: September 30, 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 18,873,579 $ 544,151 $ 2,706 7,122,316 $ 138,511 $ 1,861 Repurchase agreement derivatives — — 8,187 — Used for hedging purposes (1): Forward purchase contracts 31,443,783 72,640 15,903 13,618,361 12,364 19,040 Forward sales contracts 42,438,243 21,652 98,765 16,220,526 17,097 18,045 MBS put options 12,950,000 27,336 — 6,100,000 3,415 — MBS call options 1,850,000 4,255 — — — — Swaption purchase contracts 3,125,000 5,568 — 1,750,000 2,409 — Put options on interest rate futures purchase contracts 2,275,000 5,910 — 2,250,000 3,945 — Call options on interest rate futures purchase contracts 950,000 1,570 — 750,000 1,469 — Treasury futures purchase contracts 1,000,000 — — 1,276,000 — — Treasury futures sale contracts 450,000 — — 1,010,000 — — Interest rate swap futures purchase contracts 3,585,000 — — 3,210,000 — — Total derivatives before netting 683,082 117,374 187,397 38,946 Netting (104,828) (92,837) (27,711) (16,616) $ 578,254 $ 24,537 $ 159,686 $ 22,330 Collateral received from derivative counterparties, net $ (11,991) $ (11,095) (1) All the hedging derivatives are interest rate derivatives and are used as economic hedges. The following table summarizes notional amount activity for derivative contracts used in the Company’s hedging activities: Notional amounts, quarter ended September 30, 2020 Beginning of Dispositions/ End of Instrument quarter Additions expirations quarter (in thousands) Forward purchase contracts 20,709,914 143,902,517 (133,168,648) 31,443,783 Forward sale contracts 25,302,147 175,642,745 (158,506,649) 42,438,243 MBS put options 11,200,000 29,850,000 (28,100,000) 12,950,000 MBS call options — 1,850,000 — 1,850,000 Swaption purchase contracts 3,375,000 3,625,000 (3,875,000) 3,125,000 Swaption sale contracts — 3,875,000 (3,875,000) — Put options on interest rate futures purchase contracts 350,000 3,325,000 (1,400,000) 2,275,000 Call options on interest rate futures purchase contracts 1,800,000 1,200,000 (2,050,000) 950,000 Put options on interest rate futures sale contracts — 1,400,000 (1,400,000) — Call options on interest rate futures sale contracts — 2,050,000 (2,050,000) — Treasury futures purchase contracts 925,000 1,561,500 (1,486,500) 1,000,000 Treasury futures sale contracts 450,000 1,486,500 (1,486,500) 450,000 Interest rate swap futures purchase contracts 3,460,000 1,200,000 (1,075,000) 3,585,000 Interest rate swap futures sales contracts — 1,075,000 (1,075,000) — Notional amounts, quarter ended September 30, 2019 Beginning of Dispositions/ End of Instrument quarter Additions expirations quarter (in thousands) Forward purchase contracts 19,497,698 100,139,970 (103,807,843) 15,829,825 Forward sale contracts 14,276,156 122,174,329 (121,333,675) 15,116,810 MBS put options 12,775,000 29,575,000 (32,300,000) 10,050,000 MBS call options 2,250,000 — (2,250,000) — Put options on interest rate futures purchase contracts 2,835,000 9,850,000 (8,335,000) 4,350,000 Call options on interest rate futures purchase contracts 3,687,500 1,750,000 (4,837,500) 600,000 Put options on interest rate futures sale contracts — 8,335,000 (8,335,000) — Call options on interest rate futures sale contracts — 4,837,500 (4,837,500) — Treasury futures purchase contracts 486,100 5,132,000 (4,209,600) 1,408,500 Treasury futures sale contracts 1,550,000 3,792,100 (4,209,600) 1,132,500 Interest rate swap futures purchase contracts 2,900,000 1,800,000 (790,000) 3,910,000 Interest rate swap futures sale contracts — 790,000 (790,000) — Notional amounts, nine months ended September 30, 2020 Beginning of Dispositions/ End of Instrument period Additions expirations period (in thousands) Forward purchase contracts 13,618,361 370,704,328 (352,878,906) 31,443,783 Forward sale contracts 16,220,526 444,965,072 (418,747,355) 42,438,243 MBS put options 6,100,000 79,600,000 (72,750,000) 12,950,000 MBS call options — 1,850,000 — 1,850,000 Swaption purchase contracts 1,750,000 14,700,000 (13,325,000) 3,125,000 Swaption sale contracts — 13,325,000 (13,325,000) — Put options on interest rate futures purchase contracts 2,250,000 12,025,000 (12,000,000) 2,275,000 Call options on interest rate futures purchase contracts 750,000 9,740,000 (9,540,000) 950,000 Put options on interest rate futures sale contracts — 12,000,000 (12,000,000) — Call options on interest rate futures sale contracts — 9,540,000 (9,540,000) — Treasury futures purchase contracts 1,276,000 5,516,700 (5,792,700) 1,000,000 Treasury futures sale contracts 1,010,000 5,232,700 (5,792,700) 450,000 Interest rate swap futures purchase contracts 3,210,000 4,150,000 (3,775,000) 3,585,000 Interest rate swap futures sales contracts — 3,775,000 (3,775,000) — Notional amounts, nine months ended September 30, 2019 Beginning of Dispositions/ End of Instrument period Additions expirations period (in thousands) Forward purchase contracts 6,657,026 237,370,321 (228,197,522) 15,829,825 Forward sale contracts 6,890,046 275,749,351 (267,522,587) 15,116,810 MBS put options 4,635,000 77,185,000 (71,770,000) 10,050,000 MBS call options 1,450,000 6,750,000 (8,200,000) — Put options on interest rate futures purchase contracts 3,085,000 19,422,500 (18,157,500) 4,350,000 Call options on interest rate futures purchase contracts 1,512,500 13,127,800 (14,040,300) 600,000 Put options on interest rate futures sale contracts — 27,297,800 (27,297,800) — Call options on interest rate futures sale contracts — 4,837,500 (4,837,500) — Treasury futures purchase contracts 835,000 11,943,400 (11,369,900) 1,408,500 Treasury futures sale contracts 1,450,000 11,052,400 (11,369,900) 1,132,500 Interest rate swap futures purchase contracts 625,000 4,075,000 (790,000) 3,910,000 Interest rate swap futures sale contracts — 790,000 (790,000) — Derivative Balances and Netting of Financial Instruments The Company has elected to present net derivative asset and liability positions, and cash collateral obtained from (or posted to) its counterparties when subject to a master netting arrangement that is legally enforceable on all counterparties in the event of default. The derivatives that are not subject to a master netting arrangement are IRLCs and repurchase agreement derivatives. Offsetting of Derivative Assets Following are summaries of derivative assets and related netting amounts: September 30, 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 $ 544,151 $ — $ 544,151 $ 138,511 $ — $ 138,511 Repurchase agreement derivatives — — — 8,187 — 8,187 544,151 — 544,151 146,698 — 146,698 Derivatives subject to master netting arrangements: Forward purchase contracts 72,640 — 72,640 12,364 — 12,364 Forward sale contracts 21,652 — 21,652 17,097 — 17,097 MBS put options 27,336 — 27,336 3,415 — 3,415 MBS call options 4,255 — 4,255 — — — Swaption purchase contracts 5,568 — 5,568 2,409 — 2,409 Put options on interest rate futures purchase contracts 5,910 — 5,910 3,945 — 3,945 Call options on interest rate futures purchase contracts 1,570 — 1,570 1,469 — 1,469 Netting — (104,828) (104,828) — (27,711) (27,711) 138,931 (104,828) 34,103 40,699 (27,711) 12,988 $ 683,082 $ (104,828) $ 578,254 $ 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. September 30, 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 $ 544,151 $ — $ — $ 544,151 $ 138,511 $ — $ — $ 138,511 JPMorgan Chase Bank, N.A. 18,772 — — 18,772 2,196 — — 2,196 RJ O'Brien 7,480 — — 7,480 5,414 — — 5,414 Wells Fargo Bank, N.A. 5,256 — — 5,256 — — — — Goldman Sachs 1,148 — — 1,148 2,548 — — 2,548 Deutsche Bank — — — — 9,138 — — 9,138 Mizuho Securities — — — — 1,597 — — 1,597 Others 1,447 — — 1,447 282 — — 282 $ 578,254 $ — $ — $ 578,254 $ 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. September 30, 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 – $ 2,706 $ — $ 2,706 $ 1,861 $ — $ 1,861 Derivatives subject to a master netting arrangement: Forward purchase contracts 15,903 — 15,903 19,040 — 19,040 Forward sale contracts 98,765 — 98,765 18,045 — 18,045 Netting — (92,837) (92,837) — (16,616) (16,616) 114,668 (92,837) 21,831 37,085 (16,616) 20,469 Total derivatives 117,374 (92,837) 24,537 38,946 (16,616) 22,330 Assets sold under agreements to repurchase: Amount outstanding 7,267,046 — 7,267,046 4,141,680 — 4,141,680 Unamortized debt issuance cost, net (7,858) — (7,858) (627) — (627) 7,259,188 — 7,259,188 4,141,053 — 4,141,053 $ 7,376,562 $ (92,837) $ 7,283,725 $ 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. September 30, 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 $ 2,706 $ — $ — $ 2,706 $ 1,861 $ — $ — $ 1,861 Credit Suisse First Boston Mortgage Capital LLC 3,613,132 (3,607,746) — 5,386 1,235,430 (1,235,430) — — Morgan Stanley Bank, N.A. 784,434 (784,434) — — 582,941 (582,941) — — Bank of America, N.A. 767,391 (767,391) — — 379,400 (374,190) — 5,210 JPMorgan Chase Bank, N.A. 741,341 (741,341) — — 936,172 (936,172) — — Citibank, N.A. 637,347 (632,928) — 4,419 655,831 (653,170) — 2,661 BNP Paribas 370,013 (370,013) — — 183,880 (183,880) — — Royal Bank of Canada 363,193 (363,193) — — 175,897 (175,897) — — Federal Home Loan Mortgage Corporation 5,755 — — 5,755 — — — — Mizuho Securities 2,366 — — 2,366 — — — — Barclays Capital 1,648 — — 1,648 — — — — Wells Fargo Bank, N.A. — — — — 11,212 — — 11,212 Others 2,257 — — 2,257 1,386 — — 1,386 $ 7,291,583 $ (7,267,046) $ — $ 24,537 $ 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 September 30, Nine months ended September 30, Derivative activity Income statement line 2020 2019 2020 2019 (in thousands) Interest rate lock commitments Net gains on loans held for sale at fair value (1) $ 173,381 $ 33,347 $ 404,795 $ 95,785 Repurchase agreement derivatives Interest expense $ 83 $ 92 $ 83 $ (1,608) Hedged item (2): Interest rate lock commitments and loans held for sale Net gains on loans held for sale at fair value $ (77,320) $ (55,540) $ (403,992) $ (157,362) Mortgage servicing rights Net loan servicing fees –C $ 6,521 $ 250,146 $ 1,027,327 $ 587,883 (1) Represents net increase in fair value of IRLCs from the beginning to the end of the reporting period. Amounts recognized at the date of commitment and fair value changes recognized during the period until purchase of the underlying loans are shown in the rollforward of IRLCs for the period in Note 6 – Fair Value – Assets and Liabilities Measured at Fair Value on a Recurring Basis. (2) All the hedging derivatives are interest rate derivatives and are used as economic hedges. |
Mortgage Servicing Rights and M
Mortgage Servicing Rights and Mortgage Servicing Liabilities | 9 Months Ended |
Sep. 30, 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 September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Balance at beginning of period $ 2,213,539 $ 2,720,335 $ 2,926,790 $ 2,820,612 Additions: Resulting from loan sales 245,946 246,757 753,795 545,839 Purchases (purchase adjustments), net (287) 46 25,473 227,445 245,659 246,803 779,268 773,284 Change in fair value due to: Changes in valuation inputs used in valuation model (1) (26,208) (286,880) (1,040,751) (704,967) Other changes in fair value (2) (99,169) (124,005) (331,486) (332,676) Total change in fair value (125,377) (410,885) (1,372,237) (1,037,643) Balance at end of period $ 2,333,821 $ 2,556,253 $ 2,333,821 $ 2,556,253 September 30, December 31, 2020 2019 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 2,330,600 $ 2,920,603 (1) Principally reflects changes in discount rate, prepayment speed and servicing cost inputs. (2) Represents changes due to realization of cash flows. Mortgage Servicing Liabilities at Fair Value The activity in MSLs is summarized below: Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Balance at beginning of period $ 29,858 $ 12,948 $ 29,140 $ 8,681 Mortgage servicing liabilities resulting from loan sales — 19,501 6,576 27,133 Changes in fair value due to: Changes in valuation inputs used in valuation model (1) 10,822 8,630 24,927 14,687 Other changes in fair value (2) (8,982) (6,785) (28,945) (16,207) Total change in fair value 1,840 1,845 (4,018) (1,520) Balance at end of period $ 31,698 $ 34,294 $ 31,698 $ 34,294 (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 Net loan servicing fees—Loan servicing fees—Other Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Contractual servicing fees $ 203,696 $ 185,967 $ 601,527 $ 533,510 Other fees: Late charges 7,615 12,430 28,718 31,258 Other 6,960 4,846 17,781 9,119 $ 218,271 $ 203,243 $ 648,026 $ 573,887 |
Leases
Leases | 9 Months Ended |
Sep. 30, 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 September 30, Nine months ended September 30, 2020 2019 2020 2019 (dollars in thousands) Lease expense: Operating leases $ 4,144 $ 3,356 $ 12,110 $ 9,817 Short-term leases 457 213 937 644 Sublease income — (35) — (94) Net lease expense included in Occupancy and equipment $ 4,601 $ 3,534 $ 13,047 $ 10,367 Other information: Cash payments for operating leases $ 4,418 $ 4,063 $ 13,212 $ 11,793 Operating lease right-of-use assets Upon adoption Accounting Standards Update 2016-02, Leases (Topic 842) $ — $ — $ — $ 58,713 New leases 1,721 1,929 8,219 1,929 $ 1,721 $ 1,929 $ 8,219 $ 60,642 Period end weighted averages: Remaining lease term (in years) 6.4 5.8 Discount rate 4.2% 4.6% Lease payments of the Company’s operating lease liabilities are summarized below: Twelve months ended September 30, Operating leases (in thousands) 2021 $ 18,586 2022 16,405 2023 16,792 2024 14,474 2025 13,296 Thereafter 27,224 Total lease payments 106,777 Less imputed interest (14,772) Total $ 92,005 |
Other Assets
Other Assets | 9 Months Ended |
Sep. 30, 2020 | |
Other Asset | |
Other Assets | Note 11—Other Assets Other September 30, December 31, 2020 2019 (in thousands) Deposits securing Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 192,597 $ — Margin deposits 90,156 84,118 Capitalized software, net 91,237 63,130 Furniture, fixture, equipment and building improvements, net 29,274 30,480 Real estate acquired in settlement of loans 14,395 20,326 Other 233,570 135,503 $ 651,229 $ 333,557 Deposits pledged to secure Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 192,597 $ — Assets pledged to secure Obligation under capital lease Capitalized software, net 8,862 12,192 Furniture, fixture, equipment and building improvements, net 6,088 20,406 $ 207,547 $ 32,598 |
Borrowings
Borrowings | 9 Months Ended |
Sep. 30, 2020 | |
Borrowings | |
Borrowings | Note 12—Borrowings The borrowing facilities described throughout this Note 12 contain various covenants, including financial covenants governing the Company’s net worth, debt-to-equity ratio, profitability and liquidity. Management believes that the Company was in compliance with these covenants as of September 30, 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 LIBOR. Loans and MSRs financed under these agreements may be re-pledged by the lenders. 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 the GNMA MSR 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. 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 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. The borrowing capacity under the GMSR Servicing Advances Repurchase Agreement, shared with VFN financing capacity, is $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. Assets sold under agreements to repurchase are summarized below: Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ 3,363,140 $ 2,098,208 $ 2,669,336 $ 1,861,086 Weighted average interest rate (1) 2.68 % 3.66 % 3.06 % 4.08 % Total interest expense (2) $ 27,322 $ 19,429 $ 70,493 $ 47,709 Maximum daily amount outstanding $ 7,267,046 $ 3,539,459 $ 7,267,046 $ 3,539,459 September 30, December 31, 2020 2019 (dollars in thousands) Carrying value: Unpaid principal balance $ 7,267,046 $ 4,141,680 Unamortized debt issuance costs (7,858) (627) $ 7,259,188 $ 4,141,053 Weighted average interest rate 1.85 % 3.29 % Available borrowing capacity (3): Committed $ 17,072 $ 125,810 Uncommitted 2,940,882 782,510 $ 2,957,954 $ 908,320 Fair value of assets securing repurchase agreements: Loans held for sale $ 8,453,522 $ 4,322,789 Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 86,958 $ 107,512 Servicing advances (4) $ 232,519 $ 207,460 Mortgage servicing rights (4) $ 2,283,876 $ 2,902,721 Deposits (4) $ 192,597 $ — Margin deposits placed with counterparties (5) $ 4,375 $ 5,000 (1) Excludes the effect of amortization of net issuance costs of $4.8 million and $9.2 million for the quarter and nine months ended September 30, 2020, respectively, and net issuance costs and premiums of $0.2 million and $9.2 million for the quarter and nine months ended September 30, 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 $1.6 million and $14.7 million of such incentives as reductions in Interest expense during the quarter and nine months ended September 30, 2019, respectively. The master repurchase agreement expired on August 21, 2019. (3) The amount the Company is able to borrow under asset repurchase agreements is tied to the fair value of unencumbered assets eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the assets financed. (4) Beneficial interests in the Ginnie Mae MSRs, servicing advances and deposits are pledged to the Issuer Trust and together serve as the collateral backing the VFN, GMSR Servicing Advance Notes, the 2018 Term Notes described in Notes payable secured by mortgage servicing assets . The VFN financing and the GMSR Servicing Advance Notes are included in Assets sold under agreements to repurchase and the 2018 Term 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 September 30, 2020 Unpaid principal balance (dollars in thousands) Within 30 days $ 1,490,837 Over 30 to 90 days 5,365,208 Over 90 to 180 days 361,001 Over 180 days to one year 50,000 Total assets sold under agreements to repurchase $ 7,267,046 Weighted average maturity (in months) 2.0 The amount at risk (the fair value of the assets pledged plus the related margin deposit, less the amount advanced by the counterparty and interest payable) relating to the Company’s assets sold under agreements to repurchase is summarized by counterparty below as of September 30, 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) $ 1,092,694 April 23, 2021 April 23, 2021 Credit Suisse First Boston Mortgage Capital LLC $ 460,264 October 19, 2020 April 23, 2021 Bank of America, N.A. $ 410,222 November 2, 2020 March 11, 2021 JP Morgan Chase Bank, N.A. $ 192,579 December 2, 2020 January 7, 2021 Morgan Stanley Bank, N.A. $ 62,630 November 3, 2020 November 3, 2020 Citibank, N.A. $ 48,231 December 15, 2020 August 3, 2021 Royal Bank of Canada $ 33,343 October 30, 2020 October 30, 2020 BNP Paribas $ 27,646 December 16, 2020 July 30, 2021 (1) The calculation of the amount at risk includes the VFN and the 2018 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 Term Notes described in Notes payable secured by mortgage servicing assets below. The VFN financing is included in Assets sold under agreements to repurchase and the 2018 Term 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 September 30, Nine months ended September 30, 2020 2019 2020 2019 (dollars in thousands) Average balance $ 235,713 $ 258,169 $ 227,460 $ 249,023 Weighted average interest rate (1) 1.40 % 3.36 % 1.98 % 3.55 % Total interest expense $ 999 $ 2,304 $ 3,870 $ 7,034 Maximum daily amount outstanding $ 538,074 $ 524,095 $ 540,977 $ 548,038 (1) Excludes the effect of amortization of debt issuance costs totaling $172,000 and $135,000 for the quarters ended September 30, 2020 and 2019, respectively, and $490,000 and $405,000 for the nine months ended September 30, 2020 and 2019, respectively. September 30, December 31, 2020 2019 (dollars in thousands) Carrying value: Unpaid principal balance $ 535,378 $ 497,948 Unamortized debt issuance costs (315) — $ 535,063 $ 497,948 Weighted average interest rate 1.40 % 3.05 % Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements $ 558,023 $ 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 September 30, Nine months ended September 30, 2020 2019 2020 2019 (dollars in thousands) Average balance $ 15,179 $ 25,812 $ 17,253 $ 13,380 Weighted average interest rate 2.16 % 4.47 % 2.69 % 4.48 % Total interest expense $ 83 $ 274 $ 354 $ 476 Maximum daily amount outstanding $ 16,749 $ 28,295 $ 20,810 $ 28,295 September 30, December 31, 2020 2019 (dollars in thousands) Unpaid principal balance $ 13,957 $ 20,810 Weighted average interest rate 2.15 % 3.74 % Assets pledged to secure obligations under capital lease: Furniture, fixtures and equipment $ 6,088 $ 20,406 Capitalized software $ 8,862 $ 12,192 Notes Payable Secured by Mortgage Servicing Assets 2018 Term Notes The Company, through the Issuer Trust, issued the 2018 Term Notes to qualified institutional buyers under Rule 144A of the Securities Act of 1933, as amended (the “Securities Act”). The 2018 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. Following is a summary of the issued and outstanding 2018 Term Notes: Issuance Date Principal Stated interest rate (1) Maturity date (2) (in thousands) (Annually) February 28, 2018 (the "2018-GT1 Notes") $ 650,000 2.85% 2/25/2023 August 10, 2018 (the "2018-GT2 Notes") 650,000 2.65% 8/25/2023 $ 1,300,000 (1) Spread over one-month LIBOR. (2) The 2018 Term Notes indentures provide the Company with the option to extend the maturity of the 2018 Term Notes by two years after the stated maturity . 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 October 21, 2020. The maximum amount that the Company may borrow under the note payable is $600 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 periods presented. Notes payable are summarized below: Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (dollars in thousands) Average balance $ 1,300,000 $ 1,300,000 $ 1,300,000 $ 1,300,000 Weighted average interest rate (1) 2.99 % 5.11 % 3.57 % 5.21 % Total interest expense $ 10,177 $ 17,044 $ 36,131 $ 52,118 Maximum daily amount outstanding $ 1,300,000 $ 1,300,000 $ 1,300,000 $ 1,300,000 (1) Excludes the effect of amortization of debt issuance costs totaling $459,000 and $445,000 for the quarters ended September 30, 2020 and 2019, respectively, and $1.4 million and $1.3 million for the nine month periods ended September 30, 2020 and 2019, respectively. September 30, December 31, 2020 2019 (dollars in thousands) Carrying value: Unpaid principal balance $ 1,300,000 $ 1,300,000 Unamortized debt issuance costs (4,857) (5,930) $ 1,295,143 $ 1,294,070 Weighted average interest rate 2.93 % 4.46 % Assets pledged to secure notes payable (1): Servicing advances $ 232,519 $ 207,460 Mortgage servicing rights $ 2,213,344 $ 2,861,442 Deposits $ 192,597 $ — (1) Beneficial interests in the Ginnie Mae MSRs, servicing advances and deposits are pledged to the Issuer Trust and together serve as the collateral backing the VFN, GMSR Servicing Advance Notes and the 2018 Term Notes. The VFN financing and the GMSR Servicing Advance Notes are included in Assets sold under agreements to repurchase and the 2018 Term Notes are included in Notes payable secured by mortgage servicing assets on the Company's consolidated balance sheet. Unsecured Senior Notes On September 29, 2020, the Company issued $500 million aggregate principal amount of 5.375% senior notes (the “Unsecured Notes”). Interest on the Unsecured Notes accrues beginning on September 29, 2020 at a rate of 5.375% per year. Interest on the Unsecured Notes is payable semi-annually on April 15 and October 15 of each year, beginning on April 15, 2021. The Unsecured Notes mature on October 15, 2025. Before October 15, 2022, the Company may, at its option and on any one or more occasions redeem: ● some or all of the Unsecured Notes at a price equal to 100% of the principal amount of the Unsecured Notes redeemed, plus accrued and unpaid interest to, but excluding, the redemption date, plus a make-whole premium; and ● up to 40% of the aggregate principal amount of the Unsecured Notes with an amount equal to or less than the net proceeds from certain equity offerings at a redemption price of 105.375% plus accrued and unpaid interest to, but excluding, the redemption date. On or after October 15, 2022, the Company may, at its option and on any one or more occasions, redeem some or all of the Unsecured Notes at the applicable redemption prices set forth in the indenture under which the Unsecured Notes were issued, plus accrued and unpaid interest to, but excluding, the redemption date. If a “change of control” (as defined in the indenture under which the Unsecured Notes were issued) occurs, the holders of the Unsecured Notes may require the Company to purchase for cash all or a portion of their Unsecured Notes at a purchase price equal to 101% of the principal amount of the Unsecured Notes, plus accrued and unpaid interest to, but excluding, the repurchase date. The Unsecured Notes are senior unsecured obligations of the Company and will rank senior in right of payment to any future subordinated indebtedness of the Company, equally in right of payment with all existing and future senior indebtedness of the Company and effectively subordinated to any future secured indebtedness of the Company to the extent of the value of collateral securing such indebtedness. The Unsecured Notes are fully and unconditionally guaranteed, jointly and severally, on a senior unsecured basis by each of PFSI’s existing and future wholly-owned domestic subsidiaries (other than certain excluded subsidiaries). The guarantees are senior unsecured obligations of the guarantors and will rank senior in right of payment to any future subordinated indebtedness of the guarantors, equally in right of payment with all existing and future senior indebtedness of the guarantors and effectively subordinated to any future secured indebtedness of the guarantors to the extent of the value of collateral securing such indebtedness. The Unsecured Notes and the guarantees are structurally subordinated to the indebtedness and liabilities of the Company’s subsidiaries that do not guarantee the Unsecured Notes. Corporate Revolving Line of Credit The Company, through its subsidiary PennyMac, entered into an amended and restated credit agreement on November 18, 2016, as amended (the “Credit Agreement”) under which PennyMac established a revolving line of credit in an amount not to exceed $150 million. Certain cash accounts with balances totaling $52.6 million at December 31, 2019, were pledged to secure this revolving line of credit. PennyMac did not borrow under the revolving line of credit during the periods presented and terminated the Credit Agreement on September 29, 2020 concurrent with the issuance the Unsecured Notes. Debt issuance costs and non-utilization fees totaled $561,000 and $481,000 for the quarters ended September 30, 2020 and 2019, respectively, and $1.5 million and $1.4 million for the nine months ended September 30, 2020 and 2019, respectively. |
Liability for Losses Under Repr
Liability for Losses Under Representations and Warranties | 9 Months Ended |
Sep. 30, 2020 | |
Liability for Losses Under Representations and Warranties | |
Liability for Losses Under Representations and Warranties | Note 13—Liability for Losses Under Representations and Warranties Following is a summary of the Company’s liability for losses under representations and warranties: Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Balance at beginning of period $ 25,909 $ 18,709 $ 21,446 $ 21,155 Provision for losses on loans sold: Resulting from sales of loans 5,219 2,508 13,120 5,222 Reduction in liability due to change in estimate (2,473) (1,175) (5,419) (6,305) Losses incurred, net (151) (74) (643) (104) Balance at end of period $ 28,504 $ 19,968 $ 28,504 $ 19,968 Unpaid principal balance of loans subject to representations and warranties at end of period $ 199,194,983 $ 166,541,153 |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2020 | |
Income Taxes | |
Income Taxes | Note 14—Income Taxes The Company’s effective income tax rates were 26.5% and 26.9% for the quarters ended September 30, 2020 and 2019, respectively and 26.4% and 26.3% for the nine months ended September 30, 2020 and 2019, respectively. The CARES Act, passed in March 2020, introduced a number of tax law changes which are generally taxpayer favorable. The Company does not anticipate any material changes in its effective income tax rates resulting from the CARES Act. |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2020 | |
Commitments and Contingencies. | |
Commitments and Contingencies | Note 15—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”), without ensuring that the Reorganization was entirely fair to the Company or public shareholders. In connection with the Reorganization, the Company was 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, The Reorganization was approved by 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 March 30, 2020, the Florida State Court granted a motion to compel arbitration filed by the Company. While no assurance can be provided to the ultimate outcome of this claim 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 $18.9 billion as of September 30, 2020. |
Stockholders' Equity
Stockholders' Equity | 9 Months Ended |
Sep. 30, 2020 | |
Stockholders' Equity. | |
Stockholders' Equity | Note 16—Stockholders’ Equity In June 2020, the Company’s board of directors approved an increase to the Company’s common stock repurchase program from $50 million to $500 million. The Company entered into a privately negotiated transaction with The BlackRock Foundation under the revised stock repurchase program to repurchase 6,975,323 shares of the Company’s common stock at a price of $34 per share. Following is a summary of activity under the stock repurchase program: Quarter ended September 30, Nine months ended September 30, Cumulative 2020 2019 2020 2019 total (1) (in thousands) Shares of common stock repurchased 118 — 7,331 51 8,147 Cost of shares of common stock repurchased $ 6,927 $ — $ 248,210 $ 1,056 $ 263,158 (1) Amounts represent the total shares of common stock repurchased under the stock repurchase program through September 30, 2020 . |
Net Gains on Loans Held for Sal
Net Gains on Loans Held for Sale | 9 Months Ended |
Sep. 30, 2020 | |
Net Gains on Loans Held for Sale | |
Net Gains on Loans Held for Sale | Note 17—Net Gains on Loans Held for Sale Net gains on loans held for sale at fair value is summarized below: Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) From non-affiliates: Cash gain (loss): Loans $ 605,559 $ (22,838) $ 1,219,732 $ (77,659) Hedging activities (72,268) (148,128) (421,947) (230,200) 533,291 (170,966) 797,785 (307,859) Non-cash gain: Mortgage servicing rights and mortgage servicing liabilities resulting from loan sales 245,946 227,256 747,219 518,706 Provision for losses relating to representations and warranties: Pursuant to loan sales (5,219) (2,508) (13,120) (5,222) Reduction in liability due to change in estimate 2,473 1,175 5,419 6,305 Change in fair value of loans and derivatives held at period end: Interest rate lock commitments 173,381 33,347 404,795 95,785 Loans (79,776) (5,822) (140,878) (35,508) Hedging derivatives (5,052) 92,588 17,955 72,838 865,044 175,070 1,819,175 345,045 From PennyMac Mortgage Investment Trust (1) (9,775) 60,662 62,549 122,996 $ 855,269 $ 235,732 $ 1,881,724 $ 468,041 |
Net Interest Income
Net Interest Income | 9 Months Ended |
Sep. 30, 2020 | |
Net Interest Income | |
Net Interest Income | Note 18—Net Interest Income Net interest income is summarized below: Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Interest income: From non-affiliates: Cash and short-term investments $ 1,259 $ 2,894 $ 4,863 $ 7,533 Loans held for sale at fair value 41,854 35,800 120,866 101,509 Placement fees relating to custodial funds 9,163 43,231 44,419 98,628 52,276 81,925 170,148 207,670 From PennyMac Mortgage Investment Trust—Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell 676 1,527 2,686 5,015 52,952 83,452 172,834 212,685 Interest expense: To non-affiliates: Assets sold under agreements to repurchase 27,322 19,429 70,493 47,709 Mortgage loan participation purchase and sale agreements 999 2,304 3,870 7,034 Obligations under capital lease 83 274 354 476 Notes payable 10,738 17,525 37,668 53,559 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 20,711 12,453 54,536 24,978 Interest on mortgage loan impound deposits 1,256 2,104 4,561 4,967 61,109 54,089 171,482 138,723 To PennyMac Mortgage Investment Trust—Excess servicing spread financing at fair value 2,070 2,291 6,416 8,124 63,179 56,380 177,898 146,847 $ (10,227) $ 27,072 $ (5,064) $ 65,838 (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 $1.6 million and $14.7 million of such incentives as reductions of Interest expense during the quarter and nine months ended September 30, 2019, respectively. The master repurchase agreement expired on August 21, 2019. |
Stock-based Compensation
Stock-based Compensation | 9 Months Ended |
Sep. 30, 2020 | |
Stock-based Compensation | |
Stock-based Compensation | Note 19—Stock-based Compensation As of September 30, 2020, the Company had one stock-based compensation plan. Following is a summary of the stock-based compensation activity: Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Grants: Units: Performance-based RSUs — — 422 665 Stock options — — 273 344 Time-based RSUs — 4 310 334 Grant date fair value: Performance-based RSUs $ — $ — $ 14,788 $ 15,253 Stock options — — 2,770 2,965 Time-based RSUs — 102 10,823 7,647 Total $ — $ 102 $ 28,381 $ 25,865 Vestings and exercises: Performance-based RSUs vested — — 603 648 Stock options exercised 152 127 476 245 Time-based RSUs vested 7 3 355 294 Compensation expense $ 7,095 $ 8,941 $ 26,220 $ 19,124 |
Earnings Per Share of Common St
Earnings Per Share of Common Stock | 9 Months Ended |
Sep. 30, 2020 | |
Earnings Per Share of Common Stock | |
Earnings Per Share of Common Stock | Note 20—Earnings Per Share of Common Stock Basic earnings per share of common stock is determined by dividing net income 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 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 number of 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 September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands, except per share amounts) Net income $ 535,160 $ 121,473 $ 1,194,080 $ 240,304 Weighted average basic shares of common stock outstanding 72,439 78,361 76,292 78,119 Effect of dilutive shares: Common shares issuable under stock-based compensation plan 3,699 2,021 3,326 1,702 Weighted average shares of common stock applicable to diluted earnings per share 76,138 80,382 79,618 79,821 Basic earnings per share of common stock $ 7.39 $ 1.55 $ 15.65 $ 3.08 Diluted earnings per share of common stock $ 7.03 $ 1.51 $ 15.00 $ 3.01 Calculations of diluted earnings per share require certain potentially dilutive shares to be excluded when their inclusion in the diluted earnings per share calculation would be anti-dilutive. The following table summarizes the weighted-average number of anti-dilutive outstanding performance-based restricted share units (“RSUs”) and stock options excluded from the calculation of diluted earnings per share: Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands except for weighted-average exercise price) Performance-based RSUs (1) — 1,157 335 985 Stock options (2) — 566 217 888 Total anti-dilutive shares and units — 1,723 552 1,873 Weighted average exercise price of anti-dilutive stock options (2) $ — $ 23.50 $ 35.03 $ 23.98 (1) Certain performance-based RSUs were outstanding but not included in the computation of earnings per share because the performance thresholds included in such RSUs have not been achieved. (2) Certain stock options were outstanding but not included in the computation of diluted earnings per share because the weighted-average exercise prices were above the average stock prices for the period. |
Supplemental Cash Flow Informat
Supplemental Cash Flow Information | 9 Months Ended |
Sep. 30, 2020 | |
Supplemental Cash Flow Information | |
Supplemental Cash Flow Information | Note 21—Supplemental Cash Flow Information Nine months ended September 30, 2020 2019 (in thousands) Cash paid for interest $ 184,087 $ 125,987 Cash paid for income taxes, net $ 260,723 $ 5,761 Non-cash investing activity: Mortgage servicing rights resulting from loan sales $ 753,795 $ 545,839 Mortgage servicing liabilities resulting from loan sales $ 6,576 $ 27,133 Operating right-of-use assets $ 8,219 $ 60,642 Non-cash financing activity: Issuance of Excess servicing spread payable to PennyMac Mortgage Investment Trust $ 1,393 $ 1,327 Issuance of common stock in settlement of directors' fees $ 144 $ 184 |
Regulatory Capital and Liquidit
Regulatory Capital and Liquidity Requirements | 9 Months Ended |
Sep. 30, 2020 | |
Regulatory Capital and Liquidity Requirements | |
Regulatory Capital and Liquidity Requirements | Note 22—Regulatory Capital and Liquidity Requirements The Company, through PLS and PennyMac, is required to maintain specified levels of capital and liquidity to remain a seller/servicer in good standing with the Agencies. Such capital and liquid asset requirements generally are tied to the size of the Company’s loan servicing portfolio, loan origination volume and delinquency rates. 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; ● before June 30, 2020, 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; and ● effective June 30, 2020, 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 less 70% of such nonperforming Agency servicing UPB in excess of 600 basis points where the underlying loans are in COVID-19 forbearance but were current at the time they entered forbearance. 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. On June 15, 2020, FHFA announced that it will be re-proposing changes to these requirements. The Company is also subject to financial eligibility requirements for Ginnie Mae single-family issuers. The eligibility requirements include net worth of $2.5 million plus 35 basis points of PLS' outstanding Ginnie Mae single-family obligations and a liquidity requirement equal to the greater of $1.0 million or 10 basis points of PLS' outstanding Ginnie Mae single-family securities. The Agencies’ capital and liquidity requirements, the calculations of which are specified by each Agency, are summarized below: September 30, 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 – $ 3,841,356 $ 616,001 $ 2,247,751 $ 585,674 Ginnie Mae – $ 3,139,830 $ 980,469 $ 1,907,398 $ 910,456 HUD – $ 3,139,830 $ 2,500 $ 1,907,398 $ 2,500 Liquidity Fannie Mae & Freddie Mac – $ 607,064 $ 82,828 $ 257,794 $ 79,991 Ginnie Mae – $ 607,064 $ 217,648 $ 257,794 $ 216,119 Adjusted net worth / Total assets ratio Ginnie Mae – 10 % 6 % 19 % 6 % Tangible net worth / Total assets ratio Fannie Mae & Freddie Mac – 12 % 6 % 22 % 6 % (1) Calculated in compliance with the respective Agency’s requirements. Noncompliance with an Agency’s requirements can result in such Agency taking various remedial actions up to and including terminating PennyMac’s ability to sell loans to and service loans on behalf of the respective Agency. |
Segments
Segments | 9 Months Ended |
Sep. 30, 2020 | |
Segments | |
Segments | Note 23—Segments The Company operates in three segments: production, servicing and investment management. Two of the segments are in the mortgage banking business: production and servicing. The production segment performs loan origination, acquisition and sale activities. The servicing segment performs servicing of loans, execution and management of early buyout loan transactions and servicing of loans sourced and managed by the investment management segment for PMT, including executing the loan resolution strategy identified by the investment management segment relating to distressed mortgage loans. The investment management segment represents the activities of the Company’s investment manager, which include sourcing, performing diligence, bidding and closing investment asset acquisitions and managing the acquired assets and correspondent production activities for PMT. Financial performance and results by segment are as follows: Quarter ended September 30, 2020 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 700,830 $ 154,439 $ 855,269 $ — $ 855,269 Loan origination fees 75,572 — 75,572 — 75,572 Fulfillment fees from PennyMac Mortgage Investment Trust 54,839 — 54,839 — 54,839 Net loan servicing fees — 132,807 132,807 — 132,807 Net interest income (expense): Interest income 26,050 26,902 52,952 — 52,952 Interest expense 18,325 44,850 63,175 4 63,179 7,725 (17,948) (10,223) (4) (10,227) Management fees — — — 8,508 8,508 Other 132 1,802 1,934 1,290 3,224 Total net revenue 839,098 271,100 1,110,198 9,794 1,119,992 Expenses 225,817 159,407 385,224 6,477 391,701 Income before provision for income taxes $ 613,281 $ 111,693 $ 724,974 $ 3,317 $ 728,291 Segment assets at quarter end $ 7,319,838 $ 23,843,110 $ 31,162,948 $ 17,917 $ 31,180,865 (1) All revenues are from external customers. Quarter ended September 30, 2019 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 216,132 $ 19,600 $ 235,732 $ — $ 235,732 Loan origination fees 49,434 — 49,434 — 49,434 Fulfillment fees from PennyMac Mortgage Investment Trust 45,149 — 45,149 — 45,149 Net loan servicing fees — 66,229 66,229 — 66,229 Net interest income (expense): Interest income 22,445 61,007 83,452 — 83,452 Interest expense 18,423 37,936 56,359 21 56,380 4,022 23,071 27,093 (21) 27,072 Management fees — — — 10,098 10,098 Other 324 567 891 1,742 2,633 Total net revenue 315,061 109,467 424,528 11,819 436,347 Expenses 135,777 127,581 263,358 6,792 270,150 Income before provision for income taxes $ 179,284 $ (18,114) $ 161,170 $ 5,027 $ 166,197 Segment assets at quarter end $ 4,850,741 $ 4,433,177 $ 9,283,918 $ 19,281 $ 9,303,199 (1) All revenues are from external customers. Nine months ended September 30, 2020 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 1,637,193 $ 244,531 $ 1,881,724 $ — $ 1,881,724 Loan origination fees 192,091 — 192,091 — 192,091 Fulfillment fees from PennyMac Mortgage Investment Trust 149,594 — 149,594 — 149,594 Net loan servicing fees — 412,952 412,952 — 412,952 Net interest income (expense): Interest income 71,840 100,994 172,834 — 172,834 Interest expense 51,124 126,756 177,880 18 177,898 20,716 (25,762) (5,046) (18) (5,064) Management fees — — — 25,851 25,851 Other 483 1,473 1,956 4,347 6,303 Total net revenue 2,000,077 633,194 2,633,271 30,180 2,663,451 Expenses 608,602 413,071 1,021,673 18,395 1,040,068 Income before provision for income taxes $ 1,391,475 $ 220,123 $ 1,611,598 $ 11,785 $ 1,623,383 Segment assets at period end $ 7,319,838 $ 23,843,110 $ 31,162,948 $ 17,917 $ 31,180,865 (1) All revenues are from external customers. Nine months ended September 30, 2019 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 407,713 $ 60,328 $ 468,041 $ — $ 468,041 Loan origination fees 110,288 — 110,288 — 110,288 Fulfillment fees from PennyMac Mortgage Investment Trust 102,313 — 102,313 — 102,313 Net loan servicing fees — 205,934 205,934 — 205,934 Net interest income (expense): Interest income 55,714 156,971 212,685 — 212,685 Interest expense 36,236 110,572 146,808 39 146,847 19,478 46,399 65,877 (39) 65,838 Management fees — — — 26,178 26,178 Other 929 2,664 3,593 4,844 8,437 Total net revenue 640,721 315,325 956,046 30,983 987,029 Expenses 316,187 324,949 641,136 19,815 660,951 Income before provision for income taxes $ 324,534 $ (9,624) $ 314,910 $ 11,168 $ 326,078 Segment assets at period end $ 4,850,741 $ 4,433,177 $ 9,283,918 $ 19,281 $ 9,303,199 (1) All revenues are from external customers. |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2020 | |
Subsequent Events | |
Subsequent Events | Note 24—Subsequent Events Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period: ● On October 19, 2020, The Company issued an additional $150 million in principal amount of unsecured senior notes under a supplemental indenture governing the Unsecured Notes described in Note 12 – Borrowings . The additional unsecured senior notes have the same terms, other than the issuance date and issuance price, as the Unsecured Notes. ● On November 5, 2020, the Company announced that its board of directors declared a cash dividend of $0.15 per common share. The dividend will be paid on November 25, 2020 to common shareholders of record as of November 16, 2020. ● All agreements to repurchase assets that matured before the date of this Report were extended or renewed. |
Related Party Transactions (Tab
Related Party Transactions (Tables) - PMT | 9 Months Ended |
Sep. 30, 2020 | |
Transactions with Affiliates | |
Summary of lending activity between the Company and affiliate | Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Net gains on loans held for sale at fair value: Net gains on loans held for sale to PMT $ 1 $ 62,558 $ 81,295 $ 127,423 Mortgage servicing rights and excess servicing spread recapture incurred (9,776) (1,896) (18,746) (4,427) $ (9,775) $ 60,662 $ 62,549 $ 122,996 Sale of loans held for sale to PMT $ 27 $ 1,876,358 $ 2,248,896 $ 4,095,079 Tax service fees earned from PMT included in Loan origination fees $ 6,076 $ 4,222 $ 14,344 $ 9,567 Fulfillment fee revenue $ 54,839 $ 45,149 $ 149,594 $ 102,313 Sourcing fees paid to PMT $ 1,658 $ 4,206 $ 9,143 $ 9,355 Unpaid principal balance of loans purchased from PMT $ 16,690,482 $ 14,022,222 $ 41,641,327 $ 31,183,950 |
Summary of loan servicing fees earned from PMT | Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Loan type serviced: Loans acquired for sale at fair value $ 452 $ 507 $ 1,595 $ 1,131 Loans at fair value 187 858 675 1,938 Mortgage servicing rights 18,113 11,599 46,536 32,033 $ 18,752 $ 12,964 $ 48,806 $ 35,102 Property management fees received from PMT included in Other $ — $ 70 $ — $ 295 |
Summary of management fees earned | Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Base management $ 8,508 $ 7,914 $ 25,851 $ 20,862 Performance incentive — 2,184 — 5,316 $ 8,508 $ 10,098 $ 25,851 $ 26,178 |
Summary of reimbursement of expenses | Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Reimbursement of: Common overhead incurred by the Company $ 1,389 $ 1,543 $ 4,514 $ 4,055 Compensation 165 120 405 360 Expenses incurred on PMT's behalf, net 2,852 1,942 5,561 3,001 $ 4,406 $ 3,605 $ 10,480 $ 7,416 Payments and settlements during the quarter (1) $ 58,479 $ 68,191 $ 228,514 $ 111,411 (1) Payments and settlements include payments for management fees and correspondent production activities itemized in the preceding tables and netting settlements made pursuant to master netting agreements between the Company and PMT. |
Summary of investing activity between the Company and affiliate | Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Interest income relating to Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 676 $ 1,527 $ 2,686 $ 5,015 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Dividends received $ 31 $ 36 $ 79 $ 107 Change in fair value of investment (319) 30 (681) 270 $ (288) $ 66 $ (602) $ 377 September 30, December 31, 2020 2019 (in thousands) Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 86,958 $ 107,512 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Fair value $ 991 $ 1,672 Number of shares 75 75 |
Summary of financing activity between the Company and affiliate | Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Excess servicing spread financing: Balance at beginning of period $ 151,206 $ 194,156 $ 178,586 $ 216,110 Issuance pursuant to recapture agreement 531 377 1,393 1,327 Accrual of interest 2,070 2,291 6,416 8,124 Repayment (7,682) (9,819) (25,112) (30,901) Change in fair value (3,135) (3,864) (18,293) (11,519) Balance at end of period $ 142,990 $ 183,141 $ 142,990 $ 183,141 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 $ 525 $ 429 $ 1,441 $ 1,311 |
Summary of amounts due from and payable to affiliate | September 30, December 31, 2020 2019 (in thousands) Receivable from PMT: Margin settlements relating to loan sales $ 48,243 $ — Allocated expenses and expenses incurred on PMT's behalf 30,207 3,724 Fulfillment fees 18,060 18,285 Correspondent production fees 11,285 10,606 Management fees 8,509 10,579 Servicing fees 6,121 4,659 Interest on assets purchased under agreements to resell 43 85 Conditional reimbursement 10 221 $ 122,478 $ 48,159 Payable to PMT: Amounts advanced by PMT to fund its servicing advances $ 58,264 $ 70,520 Mortgage servicing rights recapture payable 197 149 Other 18,675 2,611 $ 77,136 $ 73,280 |
Loan Sales and Servicing Acti_2
Loan Sales and Servicing Activities (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Loan Sales and Servicing Activities | |
Summary of cash flows between the Company and transferees upon sale of loans in transactions | Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Cash flows: Sales proceeds $ 26,683,234 $ 17,897,693 $ 67,209,239 $ 39,084,441 Servicing fees received (1) $ 166,316 $ 149,210 $ 491,743 $ 426,774 Net servicing advances (recoveries) $ 71,890 $ 8,605 $ 68,992 $ (23,583) (1) Net of guarantee fees paid to the Agencies. |
Summary of sale of loans between the Company and transferees upon sale of loans in transactions | September 30, December 31, 2020 2019 (in thousands) Unpaid principal balance of loans outstanding $ 188,854,796 $ 168,842,011 Delinquencies: 30-89 days $ 7,237,198 $ 7,947,560 90 days or more: Not in foreclosure $ 19,423,346 $ 3,237,563 In foreclosure $ 621,649 $ 888,136 Foreclosed $ 13,730 $ 15,387 Bankruptcy $ 1,288,443 $ 1,343,816 |
Summary of servicing portfolio | September 30, 2020 Contract Servicing servicing and Total rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 188,854,796 $ — $ 188,854,796 Purchased 47,795,763 — 47,795,763 236,650,559 — 236,650,559 PennyMac Mortgage Investment Trust 156,496,568 156,496,568 Loans held for sale 8,749,673 — 8,749,673 $ 245,400,232 $ 156,496,568 $ 401,896,800 Delinquent loans (1): 30 days $ 5,924,488 $ 1,435,686 $ 7,360,174 60 days 3,178,614 621,723 3,800,337 90 days or more: Not in foreclosure 24,324,945 5,622,954 29,947,899 In foreclosure 831,239 37,293 868,532 Foreclosed 16,409 45,925 62,334 $ 34,275,695 $ 7,763,581 $ 42,039,276 Bankruptcy $ 1,815,833 $ 158,182 $ 1,974,015 Delinquent loans in COVID-19 related forbearance: 30 days $ 2,344,986 $ 474,168 $ 2,819,154 60 days 2,289,880 476,220 2,766,100 90 days or more not in foreclosure 17,827,122 4,716,956 22,544,078 $ 22,461,988 $ 5,667,344 $ 28,129,332 Custodial funds managed by the Company $ 10,364,855 $ 6,347,559 $ 16,712,414 (1) Includes delinquent loans in COVID-19 related forbearance plans that were requested by borrowers seeking payment relief in accordance with the CARES Act. (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) | September 30, December 31, State 2020 2019 (in thousands) California $ 58,062,643 $ 57,311,867 Florida 33,545,822 28,940,696 Texas 31,893,436 27,909,821 Virginia 24,378,162 22,115,619 Maryland 18,700,592 16,829,320 All other states 235,316,145 215,576,909 $ 401,896,800 $ 368,684,232 |
Fair Value (Tables)
Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Fair Value | |
Summary of financial statement items measured at estimated fair value on a recurring basis | September 30, 2020 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 102,136 $ — $ — $ 102,136 Loans held for sale at fair value — 6,351,175 2,774,997 9,126,172 Derivative assets: Interest rate lock commitments — — 544,151 544,151 Forward purchase contracts — 72,640 — 72,640 Forward sales contracts — 21,652 — 21,652 MBS put options — 27,336 — 27,336 MBS call options — 4,255 — 4,255 Swaptions — 5,568 — 5,568 Put options on interest rate futures purchase contracts 5,910 — — 5,910 Call options on interest rate futures purchase contracts 1,570 — — 1,570 Total derivative assets before netting 7,480 131,451 544,151 683,082 Netting — — — (104,828) Total derivative assets 7,480 131,451 544,151 578,254 Mortgage servicing rights at fair value — — 2,333,821 2,333,821 Investment in PennyMac Mortgage Investment Trust 991 — — 991 $ 110,607 $ 6,482,626 $ 5,652,969 $ 12,141,374 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value $ — $ — $ 142,990 $ 142,990 Derivative liabilities: Interest rate lock commitments — — 2,706 2,706 Forward purchase contracts — 15,903 — 15,903 Forward sales contracts — 98,765 — 98,765 Total derivative liabilities before netting — 114,668 2,706 117,374 Netting — — — (92,837) Total derivative liabilities — 114,668 2,706 24,537 Mortgage servicing liabilities at fair value — — 31,698 31,698 $ — $ 114,668 $ 177,394 $ 199,225 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 September 30, 2020 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) Balance, June 30, 2020 $ 661,719 $ 368,064 $ 8,187 $ 2,213,539 $ 3,251,509 Purchases (purchase adjustment) and issuances, net 2,734,321 593,065 — (287) 3,327,099 Capitalization of interest and advances 22,262 — — — 22,262 Sales and repayments (88,955) — (8,270) — (97,225) Mortgage servicing rights resulting from loan sales — — — 245,946 245,946 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 42,029 — — — 42,029 Other factors — 311,790 83 (125,377) 186,496 42,029 311,790 83 (125,377) 228,525 Transfers from Level 3 to Level 2 (597,134) — — — (597,134) Reinstatement from real estate acquired in settlement of loans 755 — — — 755 Transfers of interest rate lock commitments to loans held for sale — (731,474) — — (731,474) Balance, September 30, 2020 $ 2,774,997 $ 541,445 $ — $ 2,333,821 $ 5,650,263 Changes in fair value recognized during the quarter relating to assets still held at September 30, 2020 $ 38,217 $ 541,445 $ — $ (125,377) $ 454,285 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended September 30, 2020 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, June 30, 2020 $ 151,206 $ 29,858 $ 181,064 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 531 — 531 Accrual of interest 2,070 — 2,070 Repayments (7,682) — (7,682) Changes in fair value included in income (3,135) 1,840 (1,295) Balance, September 30, 2020 $ 142,990 $ 31,698 $ 174,688 Changes in fair value recognized during the quarter relating to liabilities still outstanding at September 30, 2020 $ (3,135) $ 1,840 $ (1,295) Quarter ended September 30, 2019 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) Balance, June 30, 2019 $ 217,998 $ 111,776 $ 16,015 $ 2,720,335 $ 3,066,124 Purchases and issuances, net 1,861,769 199,274 1,502 46 2,062,591 Sales and repayments (1,582,564) — (9,422) — (1,591,986) Mortgage servicing rights resulting from loan sales — — — 246,757 246,757 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 4,252 — — — 4,252 Other factors — 92,138 92 (410,885) (318,655) 4,252 92,138 92 (410,885) (314,403) Transfers from Level 3 to Level 2 (416,062) — — — (416,062) Transfers to real estate acquired in settlement of loans (376) — — — (376) Transfers of interest rate lock commitments to loans held for sale — (258,064) — — (258,064) Balance, September 30, 2019 $ 85,017 $ 145,124 $ 8,187 $ 2,556,253 $ 2,794,581 Changes in fair value recognized during the quarter relating to assets still held at September 30, 2019 $ (2,328) $ 145,124 $ 41 $ (410,885) $ (268,048) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended September 30, 2019 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, June 30, 2019 $ 194,156 $ 12,948 $ 207,104 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 377 — 377 Accrual of interest 2,291 — 2,291 Repayments (9,819) — (9,819) Mortgage servicing liabilities resulting from loan sales — 19,501 19,501 Changes in fair value included in income (3,864) 1,845 (2,019) Balance, September 30, 2019 $ 183,141 $ 34,294 $ 217,435 Changes in fair value recognized during the quarter relating to liabilities still outstanding at September 30, 2019 $ (3,864) $ 1,845 $ (2,019) Nine months ended September 30, 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 4,664,408 1,431,194 — 25,473 6,121,075 Capitalization of interest and advances 55,283 — — — 55,283 Sales and repayments (888,247) — (8,270) — (896,517) Mortgage servicing rights resulting from loan sales — — — 753,795 753,795 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 35,638 — — — 35,638 Other factors — 808,906 83 (1,372,237) (563,248) 35,638 808,906 83 (1,372,237) (527,610) Transfers from Level 3 to Level 2 (1,476,027) — — — (1,476,027) Transfers to real estate acquired in settlement of loans (691) — — — (691) Reinstatement from real estate acquired in settlement of loans 755 — — — 755 Transfers of interest rate lock commitments to loans held for sale — (1,835,305) — — (1,835,305) Balance, September 30, 2020 $ 2,774,997 $ 541,445 $ — $ 2,333,821 $ 5,650,263 Changes in fair value recognized during the period relating to assets still held at September 30, 2020 $ 31,389 $ 541,445 $ — $ (1,372,237) $ (799,403) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Nine months ended September 30, 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 1,393 — 1,393 Accrual of interest 6,416 — 6,416 Repayments (25,112) — (25,112) Mortgage servicing liabilities resulting from loan sales — 6,576 6,576 Changes in fair value included in income (18,293) (4,018) (22,311) Balance, September 30, 2020 $ 142,990 $ 31,698 $ 174,688 Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2020 $ (18,293) $ (4,018) $ (22,311) Nine months ended September 30, 2019 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) Balance, December 31, 2018 $ 260,008 $ 49,338 $ 26,770 $ 2,820,612 $ 3,156,728 Purchases and issuances, net 3,537,177 376,137 15,019 227,445 4,155,778 Sales and repayments (2,414,899) — (31,994) — (2,446,893) Mortgage servicing rights resulting from loan sales — — — 545,839 545,839 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (2,025) — — — (2,025) Other factors — 248,889 (1,608) (1,037,643) (790,362) (2,025) 248,889 (1,608) (1,037,643) (792,387) Transfers from Level 3 to Level 2 (1,292,824) — — — (1,292,824) Transfers to real estate acquired in settlement of loans (2,420) — — — (2,420) Transfers of interest rate lock commitments to loans held for sale — (529,240) — — (529,240) Balance, September 30, 2019 $ 85,017 $ 145,124 $ 8,187 $ 2,556,253 $ 2,794,581 Changes in fair value recognized during the period relating to assets still held at September 30, 2019 $ (2,478) $ 145,124 $ 165 $ (1,037,643) $ (894,832) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Nine months ended September 30, 2019 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, December 31, 2018 $ 216,110 $ 8,681 $ 224,791 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 1,327 — 1,327 Accrual of interest 8,124 — 8,124 Repayments (30,901) — (30,901) Mortgage servicing liabilities resulting from loan sales — 27,133 27,133 Changes in fair value included in income (11,519) (1,520) (13,039) Balance, September 30, 2019 $ 183,141 $ 34,294 $ 217,435 Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2019 $ (11,519) $ (1,520) $ (13,039) |
Summary of net gains (losses) from changes in fair values included in earnings for financial statement items carried at fair value | Quarter ended September 30, 2020 2019 Net gains on Net Net gains on Net loans held loan loans held loan for sale at servicing for sale at servicing fair value fees Total fair value fees Total Assets: Loans held for sale $ 773,313 $ — $ 773,313 $ 263,339 $ — $ 263,339 Mortgage servicing rights — (125,377) (125,377) — (410,885) (410,885) $ 773,313 $ (125,377) $ 647,936 $ 263,339 $ (410,885) $ (147,546) Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust $ — $ 3,135 $ 3,135 $ — $ 3,864 $ 3,864 Mortgage servicing liabilities — (1,840) (1,840) — (1,845) (1,845) $ — $ 1,295 $ 1,295 $ — $ 2,019 $ 2,019 Nine months ended September 30, 2020 2019 Net gains on Net Net gains on Net loans held loan loans held loan for sale at servicing for sale at servicing fair value fees Total fair value fees Total Assets: Loans held for sale $ 1,911,828 $ — $ 1,911,828 $ 538,086 $ — $ 538,086 Mortgage servicing rights — (1,372,237) (1,372,237) — (1,037,643) (1,037,643) $ 1,911,828 $ (1,372,237) $ 539,591 $ 538,086 $ (1,037,643) $ (499,557) Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust $ — $ 18,293 $ 18,293 $ — $ 11,519 $ 11,519 Mortgage servicing liabilities — 4,018 4,018 — 1,520 1,520 $ — $ 22,311 $ 22,311 $ — $ 13,039 $ 13,039 |
Schedule of fair value and related principal amounts due upon maturity of assets and liabilities accounted for under the fair value option | September 30, 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 $ 8,670,895 $ 8,279,163 $ 391,732 $ 4,628,333 $ 4,431,854 $ 196,479 90 days or more delinquent: Not in foreclosure 392,866 404,183 (11,317) 236,650 241,958 (5,308) In foreclosure 62,411 66,327 (3,916) 47,970 50,194 (2,224) $ 9,126,172 $ 8,749,673 $ 376,499 $ 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) September 30, 2020 $ — $ — $ 7,346 $ 7,346 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 September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Real estate acquired in settlement of loans $ (825) $ 139 $ (2,059) $ 162 |
Summary of carrying value and fair value of debt | September 30, 2020 December 31, 2019 Fair value Carrying value Fair value Carrying value (in thousands) 2018 Term Notes $ 1,259,619 $ 1,295,143 $ 1,303,047 $ 1,294,070 Unsecured Notes $ 510,000 $ 492,358 $ — $ — |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items, excluding MSR purchases | Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (Amount recognized and unpaid principal balance of underlying loans in thousands) MSR and pool characteristics: Amount recognized $ 245,946 $ 246,757 $ 753,795 $ 545,839 Unpaid principal balance of underlying loans $ 25,369,941 $ 15,709,249 $ 63,766,627 $ 35,532,425 Weighted average servicing fee rate (in basis points) 32 43 36 42 Key inputs (1): Pricing spread (2) Range 8.0% – 17.6% 5.5% – 16.2% 6.8% – 18.1% 5.5% – 16.2% Weighted average 9.6% 8.3% 9.3% 8.6% Annual total prepayment speed (3) Range 7.2% – 41.0% 8.8% – 32.1% 7.2% – 49.8% 7.7% – 32.8% Weighted average 10.4% 15.7% 12.4% 15.0% Equivalent average life (in years) Range 2.3 – 9.1 2.7 – 7.5 1.5 – 9.1 2.6 – 7.8 Weighted average 7.3 5.5 6.6 5.8 Per-loan annual cost of servicing Range $80 – $110 $78 – $100 $77 – $110 $78 – $100 Weighted average $102 $97 $100 $97 (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: September 30, 2020 December 31, 2019 (Fair value, unpaid principal balance of underlying loans and effect on fair value amounts in thousands) Fair value $ 2,333,821 $ 2,926,790 Pool characteristics: Unpaid principal balance of underlying loans $ 234,850,997 $ 225,787,103 Weighted average note interest rate 3.8% 3.9% Weighted average servicing fee rate (in basis points) 35 35 Key inputs (1): Pricing spread (2): Range 8.0% – 17.6% 6.8% – 15.8% Weighted average 10.1% 8.5% Effect on fair value of: 5% adverse change ($42,266) ($44,561) 10% adverse change ($82,935) ($87,734) 20% adverse change ($159,813) ($170,155) Annual total prepayment speed (3): Range 10.4% – 32.3% 9.3% – 40.9% Weighted average 15.3% 12.7% Equivalent average life (in years) Range 1.7 – 6.8 1.4 – 7.4 Weighted average 5.4 6.1 Effect on fair value of: 5% adverse change ($67,933) ($63,569) 10% adverse change ($132,698) ($124,411) 20% adverse change ($253,474) ($238,549) Annual per-loan cost of servicing: Range $78 – $110 $77 – $100 Weighted average $104 $97 Effect on fair value of: 5% adverse change ($25,138) ($24,516) 10% adverse change ($50,275) ($49,032) 20% adverse change ($100,551) ($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 | September 30, December 31, 2020 2019 Fair value (in thousands) $ 31,698 $ 29,140 Pool characteristics: Unpaid principal balance of underlying loans (in thousands) $ 1,799,562 $ 2,758,454 Servicing fee rate (in basis points) 25 25 Key inputs: Pricing spread (1) 7.1% 8.2% Annual total prepayment speed (2) 35.1% 29.2% Equivalent average life (in years) 2.9 3.9 Annual per-loan cost of servicing $ 343 $ 300 (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. |
Excess servicing spread financing | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | September 30, December 31, 2020 2019 Fair value (in thousands) $ 142,990 $ 178,586 Pool characteristics: Unpaid principal balance of underlying loans (in thousands) $ 17,070,283 $ 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 4.9% – 5.3% 3.0% – 3.3% Weighted average 5.1% 3.1% Annual total prepayment speed (3): Range 9.6% – 17.6% 8.7% – 16.2% Weighted average 11.8% 11.0% Equivalent average life (in years) Range 2.4 – 6.7 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 | September 30, 2020 December 31, 2019 Fair value (in thousands) $ 541,445 $ 136,650 Key inputs Pull-through rate: Range 11.8% – 100% 12.2% – 100% Weighted average 80.6% 86.5% Mortgage servicing rights value expressed as: Servicing fee multiple: Range 1.0 – 5.1 1.4 – 5.7 Weighted average 3.5 4.2 Percentage of loan commitment amount Range 0.2% – 2.5% 0.3% – 2.8% Weighted average 1.1% 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 | September 30, 2020 December 31, 2019 Fair value (in thousands) $ 2,774,997 $ 383,878 Key inputs (1): Discount rate: Range 3.2% – 9.2% 3.0% – 9.2% Weighted average 3.2% 3.0% Twelve-month projected housing price index change: Range 2.1% – 2.6% 2.6% – 3.2% Weighted average 2.2% 2.8% Voluntary prepayment/resale speed (2): Range 0.5% – 24.9% 0.4% – 21.4% Weighted average 19.6% 18.2% Total prepayment speed (3): Range 0.6% – 38.7% 0.5% – 39.2% Weighted average 29.9% 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) | 9 Months Ended |
Sep. 30, 2020 | |
Loans Held for Sale at Fair Value | |
Summary of loans held for sale at fair value | September 30, December 31, Loan type 2020 2019 (in thousands) Government-insured or guaranteed $ 5,219,448 $ 4,222,010 Conventional conforming 1,131,727 307,065 Purchased from Ginnie Mae pools serviced by the Company 2,759,032 374,121 Repurchased pursuant to representations and warranties 15,965 9,244 Home equity lines of credit — 513 $ 9,126,172 $ 4,912,953 Fair value of loans pledged to secure: Assets sold under agreements to repurchase $ 8,453,522 $ 4,322,789 Mortgage loan participation purchase and sale agreements 558,023 523,349 $ 9,011,545 $ 4,846,138 |
Derivative Financial Instrume_2
Derivative Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Derivative Financial Instruments | |
Summary of derivative financial instruments | September 30, 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 18,873,579 $ 544,151 $ 2,706 7,122,316 $ 138,511 $ 1,861 Repurchase agreement derivatives — — 8,187 — Used for hedging purposes (1): Forward purchase contracts 31,443,783 72,640 15,903 13,618,361 12,364 19,040 Forward sales contracts 42,438,243 21,652 98,765 16,220,526 17,097 18,045 MBS put options 12,950,000 27,336 — 6,100,000 3,415 — MBS call options 1,850,000 4,255 — — — — Swaption purchase contracts 3,125,000 5,568 — 1,750,000 2,409 — Put options on interest rate futures purchase contracts 2,275,000 5,910 — 2,250,000 3,945 — Call options on interest rate futures purchase contracts 950,000 1,570 — 750,000 1,469 — Treasury futures purchase contracts 1,000,000 — — 1,276,000 — — Treasury futures sale contracts 450,000 — — 1,010,000 — — Interest rate swap futures purchase contracts 3,585,000 — — 3,210,000 — — Total derivatives before netting 683,082 117,374 187,397 38,946 Netting (104,828) (92,837) (27,711) (16,616) $ 578,254 $ 24,537 $ 159,686 $ 22,330 Collateral received from derivative counterparties, net $ (11,991) $ (11,095) (1) All the hedging derivatives are interest rate derivatives and are used as economic hedges. |
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 September 30, 2020 Beginning of Dispositions/ End of Instrument quarter Additions expirations quarter (in thousands) Forward purchase contracts 20,709,914 143,902,517 (133,168,648) 31,443,783 Forward sale contracts 25,302,147 175,642,745 (158,506,649) 42,438,243 MBS put options 11,200,000 29,850,000 (28,100,000) 12,950,000 MBS call options — 1,850,000 — 1,850,000 Swaption purchase contracts 3,375,000 3,625,000 (3,875,000) 3,125,000 Swaption sale contracts — 3,875,000 (3,875,000) — Put options on interest rate futures purchase contracts 350,000 3,325,000 (1,400,000) 2,275,000 Call options on interest rate futures purchase contracts 1,800,000 1,200,000 (2,050,000) 950,000 Put options on interest rate futures sale contracts — 1,400,000 (1,400,000) — Call options on interest rate futures sale contracts — 2,050,000 (2,050,000) — Treasury futures purchase contracts 925,000 1,561,500 (1,486,500) 1,000,000 Treasury futures sale contracts 450,000 1,486,500 (1,486,500) 450,000 Interest rate swap futures purchase contracts 3,460,000 1,200,000 (1,075,000) 3,585,000 Interest rate swap futures sales contracts — 1,075,000 (1,075,000) — Notional amounts, quarter ended September 30, 2019 Beginning of Dispositions/ End of Instrument quarter Additions expirations quarter (in thousands) Forward purchase contracts 19,497,698 100,139,970 (103,807,843) 15,829,825 Forward sale contracts 14,276,156 122,174,329 (121,333,675) 15,116,810 MBS put options 12,775,000 29,575,000 (32,300,000) 10,050,000 MBS call options 2,250,000 — (2,250,000) — Put options on interest rate futures purchase contracts 2,835,000 9,850,000 (8,335,000) 4,350,000 Call options on interest rate futures purchase contracts 3,687,500 1,750,000 (4,837,500) 600,000 Put options on interest rate futures sale contracts — 8,335,000 (8,335,000) — Call options on interest rate futures sale contracts — 4,837,500 (4,837,500) — Treasury futures purchase contracts 486,100 5,132,000 (4,209,600) 1,408,500 Treasury futures sale contracts 1,550,000 3,792,100 (4,209,600) 1,132,500 Interest rate swap futures purchase contracts 2,900,000 1,800,000 (790,000) 3,910,000 Interest rate swap futures sale contracts — 790,000 (790,000) — Notional amounts, nine months ended September 30, 2020 Beginning of Dispositions/ End of Instrument period Additions expirations period (in thousands) Forward purchase contracts 13,618,361 370,704,328 (352,878,906) 31,443,783 Forward sale contracts 16,220,526 444,965,072 (418,747,355) 42,438,243 MBS put options 6,100,000 79,600,000 (72,750,000) 12,950,000 MBS call options — 1,850,000 — 1,850,000 Swaption purchase contracts 1,750,000 14,700,000 (13,325,000) 3,125,000 Swaption sale contracts — 13,325,000 (13,325,000) — Put options on interest rate futures purchase contracts 2,250,000 12,025,000 (12,000,000) 2,275,000 Call options on interest rate futures purchase contracts 750,000 9,740,000 (9,540,000) 950,000 Put options on interest rate futures sale contracts — 12,000,000 (12,000,000) — Call options on interest rate futures sale contracts — 9,540,000 (9,540,000) — Treasury futures purchase contracts 1,276,000 5,516,700 (5,792,700) 1,000,000 Treasury futures sale contracts 1,010,000 5,232,700 (5,792,700) 450,000 Interest rate swap futures purchase contracts 3,210,000 4,150,000 (3,775,000) 3,585,000 Interest rate swap futures sales contracts — 3,775,000 (3,775,000) — Notional amounts, nine months ended September 30, 2019 Beginning of Dispositions/ End of Instrument period Additions expirations period (in thousands) Forward purchase contracts 6,657,026 237,370,321 (228,197,522) 15,829,825 Forward sale contracts 6,890,046 275,749,351 (267,522,587) 15,116,810 MBS put options 4,635,000 77,185,000 (71,770,000) 10,050,000 MBS call options 1,450,000 6,750,000 (8,200,000) — Put options on interest rate futures purchase contracts 3,085,000 19,422,500 (18,157,500) 4,350,000 Call options on interest rate futures purchase contracts 1,512,500 13,127,800 (14,040,300) 600,000 Put options on interest rate futures sale contracts — 27,297,800 (27,297,800) — Call options on interest rate futures sale contracts — 4,837,500 (4,837,500) — Treasury futures purchase contracts 835,000 11,943,400 (11,369,900) 1,408,500 Treasury futures sale contracts 1,450,000 11,052,400 (11,369,900) 1,132,500 Interest rate swap futures purchase contracts 625,000 4,075,000 (790,000) 3,910,000 Interest rate swap futures sale contracts — 790,000 (790,000) — |
Summaries of derivative assets and related netting amounts | September 30, 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 $ 544,151 $ — $ 544,151 $ 138,511 $ — $ 138,511 Repurchase agreement derivatives — — — 8,187 — 8,187 544,151 — 544,151 146,698 — 146,698 Derivatives subject to master netting arrangements: Forward purchase contracts 72,640 — 72,640 12,364 — 12,364 Forward sale contracts 21,652 — 21,652 17,097 — 17,097 MBS put options 27,336 — 27,336 3,415 — 3,415 MBS call options 4,255 — 4,255 — — — Swaption purchase contracts 5,568 — 5,568 2,409 — 2,409 Put options on interest rate futures purchase contracts 5,910 — 5,910 3,945 — 3,945 Call options on interest rate futures purchase contracts 1,570 — 1,570 1,469 — 1,469 Netting — (104,828) (104,828) — (27,711) (27,711) 138,931 (104,828) 34,103 40,699 (27,711) 12,988 $ 683,082 $ (104,828) $ 578,254 $ 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 | September 30, 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 $ 544,151 $ — $ — $ 544,151 $ 138,511 $ — $ — $ 138,511 JPMorgan Chase Bank, N.A. 18,772 — — 18,772 2,196 — — 2,196 RJ O'Brien 7,480 — — 7,480 5,414 — — 5,414 Wells Fargo Bank, N.A. 5,256 — — 5,256 — — — — Goldman Sachs 1,148 — — 1,148 2,548 — — 2,548 Deutsche Bank — — — — 9,138 — — 9,138 Mizuho Securities — — — — 1,597 — — 1,597 Others 1,447 — — 1,447 282 — — 282 $ 578,254 $ — $ — $ 578,254 $ 159,686 $ — $ — $ 159,686 |
Summary of net derivative liabilities and assets sold under agreements to repurchase and related netting amounts | September 30, 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 – $ 2,706 $ — $ 2,706 $ 1,861 $ — $ 1,861 Derivatives subject to a master netting arrangement: Forward purchase contracts 15,903 — 15,903 19,040 — 19,040 Forward sale contracts 98,765 — 98,765 18,045 — 18,045 Netting — (92,837) (92,837) — (16,616) (16,616) 114,668 (92,837) 21,831 37,085 (16,616) 20,469 Total derivatives 117,374 (92,837) 24,537 38,946 (16,616) 22,330 Assets sold under agreements to repurchase: Amount outstanding 7,267,046 — 7,267,046 4,141,680 — 4,141,680 Unamortized debt issuance cost, net (7,858) — (7,858) (627) — (627) 7,259,188 — 7,259,188 4,141,053 — 4,141,053 $ 7,376,562 $ (92,837) $ 7,283,725 $ 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 | September 30, 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 $ 2,706 $ — $ — $ 2,706 $ 1,861 $ — $ — $ 1,861 Credit Suisse First Boston Mortgage Capital LLC 3,613,132 (3,607,746) — 5,386 1,235,430 (1,235,430) — — Morgan Stanley Bank, N.A. 784,434 (784,434) — — 582,941 (582,941) — — Bank of America, N.A. 767,391 (767,391) — — 379,400 (374,190) — 5,210 JPMorgan Chase Bank, N.A. 741,341 (741,341) — — 936,172 (936,172) — — Citibank, N.A. 637,347 (632,928) — 4,419 655,831 (653,170) — 2,661 BNP Paribas 370,013 (370,013) — — 183,880 (183,880) — — Royal Bank of Canada 363,193 (363,193) — — 175,897 (175,897) — — Federal Home Loan Mortgage Corporation 5,755 — — 5,755 — — — — Mizuho Securities 2,366 — — 2,366 — — — — Barclays Capital 1,648 — — 1,648 — — — — Wells Fargo Bank, N.A. — — — — 11,212 — — 11,212 Others 2,257 — — 2,257 1,386 — — 1,386 $ 7,291,583 $ (7,267,046) $ — $ 24,537 $ 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 September 30, Nine months ended September 30, Derivative activity Income statement line 2020 2019 2020 2019 (in thousands) Interest rate lock commitments Net gains on loans held for sale at fair value (1) $ 173,381 $ 33,347 $ 404,795 $ 95,785 Repurchase agreement derivatives Interest expense $ 83 $ 92 $ 83 $ (1,608) Hedged item (2): Interest rate lock commitments and loans held for sale Net gains on loans held for sale at fair value $ (77,320) $ (55,540) $ (403,992) $ (157,362) Mortgage servicing rights Net loan servicing fees –C $ 6,521 $ 250,146 $ 1,027,327 $ 587,883 (1) Represents net increase in fair value of IRLCs from the beginning to the end of the reporting period. Amounts recognized at the date of commitment and fair value changes recognized during the period until purchase of the underlying loans are shown in the rollforward of IRLCs for the period in Note 6 – Fair Value – Assets and Liabilities Measured at Fair Value on a Recurring Basis. (2) All the hedging derivatives are interest rate derivatives and are used as economic hedges. |
Mortgage Servicing Rights and_2
Mortgage Servicing Rights and Mortgage Servicing Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Mortgage Servicing Rights and Mortgage Servicing Liabilities | |
Schedule of activity in MSRs carried at fair value | Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Balance at beginning of period $ 2,213,539 $ 2,720,335 $ 2,926,790 $ 2,820,612 Additions: Resulting from loan sales 245,946 246,757 753,795 545,839 Purchases (purchase adjustments), net (287) 46 25,473 227,445 245,659 246,803 779,268 773,284 Change in fair value due to: Changes in valuation inputs used in valuation model (1) (26,208) (286,880) (1,040,751) (704,967) Other changes in fair value (2) (99,169) (124,005) (331,486) (332,676) Total change in fair value (125,377) (410,885) (1,372,237) (1,037,643) Balance at end of period $ 2,333,821 $ 2,556,253 $ 2,333,821 $ 2,556,253 September 30, December 31, 2020 2019 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 2,330,600 $ 2,920,603 (1) Principally reflects changes in discount rate, prepayment speed and servicing cost inputs. (2) Represents changes due to realization of cash flows. |
Schedule of activity in mortgage servicing liability carried at fair value | Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Balance at beginning of period $ 29,858 $ 12,948 $ 29,140 $ 8,681 Mortgage servicing liabilities resulting from loan sales — 19,501 6,576 27,133 Changes in fair value due to: Changes in valuation inputs used in valuation model (1) 10,822 8,630 24,927 14,687 Other changes in fair value (2) (8,982) (6,785) (28,945) (16,207) Total change in fair value 1,840 1,845 (4,018) (1,520) Balance at end of period $ 31,698 $ 34,294 $ 31,698 $ 34,294 (1) Principally reflects changes in expected borrower performance and servicer losses given default. (2) Represents changes due to realization of cash flows. |
Summary of servicing fees, late fees and ancillary and other fees relating to MSRs recorded on the consolidated statements of income | Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Contractual servicing fees $ 203,696 $ 185,967 $ 601,527 $ 533,510 Other fees: Late charges 7,615 12,430 28,718 31,258 Other 6,960 4,846 17,781 9,119 $ 218,271 $ 203,243 $ 648,026 $ 573,887 |
Leases (Tables)
Leases (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Leases | |
Summary of Company's leases | Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (dollars in thousands) Lease expense: Operating leases $ 4,144 $ 3,356 $ 12,110 $ 9,817 Short-term leases 457 213 937 644 Sublease income — (35) — (94) Net lease expense included in Occupancy and equipment $ 4,601 $ 3,534 $ 13,047 $ 10,367 Other information: Cash payments for operating leases $ 4,418 $ 4,063 $ 13,212 $ 11,793 Operating lease right-of-use assets Upon adoption Accounting Standards Update 2016-02, Leases (Topic 842) $ — $ — $ — $ 58,713 New leases 1,721 1,929 8,219 1,929 $ 1,721 $ 1,929 $ 8,219 $ 60,642 Period end weighted averages: Remaining lease term (in years) 6.4 5.8 Discount rate 4.2% 4.6% |
Schedule of maturities of operating lease liabilities | Twelve months ended September 30, Operating leases (in thousands) 2021 $ 18,586 2022 16,405 2023 16,792 2024 14,474 2025 13,296 Thereafter 27,224 Total lease payments 106,777 Less imputed interest (14,772) Total $ 92,005 |
Other Assets (Tables)
Other Assets (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Other Asset | |
Summary of other assets | September 30, December 31, 2020 2019 (in thousands) Deposits securing Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 192,597 $ — Margin deposits 90,156 84,118 Capitalized software, net 91,237 63,130 Furniture, fixture, equipment and building improvements, net 29,274 30,480 Real estate acquired in settlement of loans 14,395 20,326 Other 233,570 135,503 $ 651,229 $ 333,557 Deposits pledged to secure Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 192,597 $ — Assets pledged to secure Obligation under capital lease Capitalized software, net 8,862 12,192 Furniture, fixture, equipment and building improvements, net 6,088 20,406 $ 207,547 $ 32,598 |
Borrowings (Tables)
Borrowings (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Borrowings | |
Summary of financial data pertaining to assets sold under agreements to repurchase | Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ 3,363,140 $ 2,098,208 $ 2,669,336 $ 1,861,086 Weighted average interest rate (1) 2.68 % 3.66 % 3.06 % 4.08 % Total interest expense (2) $ 27,322 $ 19,429 $ 70,493 $ 47,709 Maximum daily amount outstanding $ 7,267,046 $ 3,539,459 $ 7,267,046 $ 3,539,459 September 30, December 31, 2020 2019 (dollars in thousands) Carrying value: Unpaid principal balance $ 7,267,046 $ 4,141,680 Unamortized debt issuance costs (7,858) (627) $ 7,259,188 $ 4,141,053 Weighted average interest rate 1.85 % 3.29 % Available borrowing capacity (3): Committed $ 17,072 $ 125,810 Uncommitted 2,940,882 782,510 $ 2,957,954 $ 908,320 Fair value of assets securing repurchase agreements: Loans held for sale $ 8,453,522 $ 4,322,789 Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 86,958 $ 107,512 Servicing advances (4) $ 232,519 $ 207,460 Mortgage servicing rights (4) $ 2,283,876 $ 2,902,721 Deposits (4) $ 192,597 $ — Margin deposits placed with counterparties (5) $ 4,375 $ 5,000 (1) Excludes the effect of amortization of net issuance costs of $4.8 million and $9.2 million for the quarter and nine months ended September 30, 2020, respectively, and net issuance costs and premiums of $0.2 million and $9.2 million for the quarter and nine months ended September 30, 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 $1.6 million and $14.7 million of such incentives as reductions in Interest expense during the quarter and nine months ended September 30, 2019, respectively. The master repurchase agreement expired on August 21, 2019. (3) The amount the Company is able to borrow under asset repurchase agreements is tied to the fair value of unencumbered assets eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the assets financed. (4) Beneficial interests in the Ginnie Mae MSRs, servicing advances and deposits are pledged to the Issuer Trust and together serve as the collateral backing the VFN, GMSR Servicing Advance Notes, the 2018 Term Notes described in Notes payable secured by mortgage servicing assets . The VFN financing and the GMSR Servicing Advance Notes are included in Assets sold under agreements to repurchase and the 2018 Term 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 September 30, 2020 Unpaid principal balance (dollars in thousands) Within 30 days $ 1,490,837 Over 30 to 90 days 5,365,208 Over 90 to 180 days 361,001 Over 180 days to one year 50,000 Total assets sold under agreements to repurchase $ 7,267,046 Weighted average maturity (in months) 2.0 |
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) $ 1,092,694 April 23, 2021 April 23, 2021 Credit Suisse First Boston Mortgage Capital LLC $ 460,264 October 19, 2020 April 23, 2021 Bank of America, N.A. $ 410,222 November 2, 2020 March 11, 2021 JP Morgan Chase Bank, N.A. $ 192,579 December 2, 2020 January 7, 2021 Morgan Stanley Bank, N.A. $ 62,630 November 3, 2020 November 3, 2020 Citibank, N.A. $ 48,231 December 15, 2020 August 3, 2021 Royal Bank of Canada $ 33,343 October 30, 2020 October 30, 2020 BNP Paribas $ 27,646 December 16, 2020 July 30, 2021 (1) The calculation of the amount at risk includes the VFN and the 2018 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 Term Notes described in Notes payable secured by mortgage servicing assets below. The VFN financing is included in Assets sold under agreements to repurchase and the 2018 Term Notes are included in Notes payable secured by mortgage servicing assets on the Company's consolidated balance sheets. |
Summary of mortgage loan participations | Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (dollars in thousands) Average balance $ 235,713 $ 258,169 $ 227,460 $ 249,023 Weighted average interest rate (1) 1.40 % 3.36 % 1.98 % 3.55 % Total interest expense $ 999 $ 2,304 $ 3,870 $ 7,034 Maximum daily amount outstanding $ 538,074 $ 524,095 $ 540,977 $ 548,038 (1) Excludes the effect of amortization of debt issuance costs totaling $172,000 and $135,000 for the quarters ended September 30, 2020 and 2019, respectively, and $490,000 and $405,000 for the nine months ended September 30, 2020 and 2019, respectively. September 30, December 31, 2020 2019 (dollars in thousands) Carrying value: Unpaid principal balance $ 535,378 $ 497,948 Unamortized debt issuance costs (315) — $ 535,063 $ 497,948 Weighted average interest rate 1.40 % 3.05 % Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements $ 558,023 $ 523,349 |
Summary of obligations under capital lease | Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (dollars in thousands) Average balance $ 15,179 $ 25,812 $ 17,253 $ 13,380 Weighted average interest rate 2.16 % 4.47 % 2.69 % 4.48 % Total interest expense $ 83 $ 274 $ 354 $ 476 Maximum daily amount outstanding $ 16,749 $ 28,295 $ 20,810 $ 28,295 September 30, December 31, 2020 2019 (dollars in thousands) Unpaid principal balance $ 13,957 $ 20,810 Weighted average interest rate 2.15 % 3.74 % Assets pledged to secure obligations under capital lease: Furniture, fixtures and equipment $ 6,088 $ 20,406 Capitalized software $ 8,862 $ 12,192 |
Summary of term notes issued | Issuance Date Principal Stated interest rate (1) Maturity date (2) (in thousands) (Annually) February 28, 2018 (the "2018-GT1 Notes") $ 650,000 2.85% 2/25/2023 August 10, 2018 (the "2018-GT2 Notes") 650,000 2.65% 8/25/2023 $ 1,300,000 (1) Spread over one-month LIBOR. (2) The 2018 Term Notes indentures provide the Company with the option to extend the maturity of the 2018 Term Notes by two years after the stated maturity . |
Summary of note payable | Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (dollars in thousands) Average balance $ 1,300,000 $ 1,300,000 $ 1,300,000 $ 1,300,000 Weighted average interest rate (1) 2.99 % 5.11 % 3.57 % 5.21 % Total interest expense $ 10,177 $ 17,044 $ 36,131 $ 52,118 Maximum daily amount outstanding $ 1,300,000 $ 1,300,000 $ 1,300,000 $ 1,300,000 (1) Excludes the effect of amortization of debt issuance costs totaling $459,000 and $445,000 for the quarters ended September 30, 2020 and 2019, respectively, and $1.4 million and $1.3 million for the nine month periods ended September 30, 2020 and 2019, respectively. September 30, December 31, 2020 2019 (dollars in thousands) Carrying value: Unpaid principal balance $ 1,300,000 $ 1,300,000 Unamortized debt issuance costs (4,857) (5,930) $ 1,295,143 $ 1,294,070 Weighted average interest rate 2.93 % 4.46 % Assets pledged to secure notes payable (1): Servicing advances $ 232,519 $ 207,460 Mortgage servicing rights $ 2,213,344 $ 2,861,442 Deposits $ 192,597 $ — (1) Beneficial interests in the Ginnie Mae MSRs, servicing advances and deposits are pledged to the Issuer Trust and together serve as the collateral backing the VFN, GMSR Servicing Advance Notes and the 2018 Term Notes. The VFN financing and the GMSR Servicing Advance Notes are included in Assets sold under agreements to repurchase and the 2018 Term Notes are included in Notes payable secured by mortgage servicing assets on the Company's consolidated balance sheet. |
Liability for Losses Under Re_2
Liability for Losses Under Representations and Warranties (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Liability for Losses Under Representations and Warranties | |
Summary of repurchase activity | Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Balance at beginning of period $ 25,909 $ 18,709 $ 21,446 $ 21,155 Provision for losses on loans sold: Resulting from sales of loans 5,219 2,508 13,120 5,222 Reduction in liability due to change in estimate (2,473) (1,175) (5,419) (6,305) Losses incurred, net (151) (74) (643) (104) Balance at end of period $ 28,504 $ 19,968 $ 28,504 $ 19,968 Unpaid principal balance of loans subject to representations and warranties at end of period $ 199,194,983 $ 166,541,153 |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Stockholders' Equity. | |
Summary of share repurchase activity | Quarter ended September 30, Nine months ended September 30, Cumulative 2020 2019 2020 2019 total (1) (in thousands) Shares of common stock repurchased 118 — 7,331 51 8,147 Cost of shares of common stock repurchased $ 6,927 $ — $ 248,210 $ 1,056 $ 263,158 (1) Amounts represent the total shares of common stock repurchased under the stock repurchase program through September 30, 2020 . |
Net Gains on Loans Held for S_2
Net Gains on Loans Held for Sale (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Net Gains on Loans Held for Sale | |
Net Gains on Loans Held for Sale | Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) From non-affiliates: Cash gain (loss): Loans $ 605,559 $ (22,838) $ 1,219,732 $ (77,659) Hedging activities (72,268) (148,128) (421,947) (230,200) 533,291 (170,966) 797,785 (307,859) Non-cash gain: Mortgage servicing rights and mortgage servicing liabilities resulting from loan sales 245,946 227,256 747,219 518,706 Provision for losses relating to representations and warranties: Pursuant to loan sales (5,219) (2,508) (13,120) (5,222) Reduction in liability due to change in estimate 2,473 1,175 5,419 6,305 Change in fair value of loans and derivatives held at period end: Interest rate lock commitments 173,381 33,347 404,795 95,785 Loans (79,776) (5,822) (140,878) (35,508) Hedging derivatives (5,052) 92,588 17,955 72,838 865,044 175,070 1,819,175 345,045 From PennyMac Mortgage Investment Trust (1) (9,775) 60,662 62,549 122,996 $ 855,269 $ 235,732 $ 1,881,724 $ 468,041 |
Net Interest Income (Tables)
Net Interest Income (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Net Interest Income | |
Summary of net interest income | Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Interest income: From non-affiliates: Cash and short-term investments $ 1,259 $ 2,894 $ 4,863 $ 7,533 Loans held for sale at fair value 41,854 35,800 120,866 101,509 Placement fees relating to custodial funds 9,163 43,231 44,419 98,628 52,276 81,925 170,148 207,670 From PennyMac Mortgage Investment Trust—Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell 676 1,527 2,686 5,015 52,952 83,452 172,834 212,685 Interest expense: To non-affiliates: Assets sold under agreements to repurchase 27,322 19,429 70,493 47,709 Mortgage loan participation purchase and sale agreements 999 2,304 3,870 7,034 Obligations under capital lease 83 274 354 476 Notes payable 10,738 17,525 37,668 53,559 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 20,711 12,453 54,536 24,978 Interest on mortgage loan impound deposits 1,256 2,104 4,561 4,967 61,109 54,089 171,482 138,723 To PennyMac Mortgage Investment Trust—Excess servicing spread financing at fair value 2,070 2,291 6,416 8,124 63,179 56,380 177,898 146,847 $ (10,227) $ 27,072 $ (5,064) $ 65,838 (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 $1.6 million and $14.7 million of such incentives as reductions of Interest expense during the quarter and nine months ended September 30, 2019, respectively. The master repurchase agreement expired on August 21, 2019. |
Stock-based Compensation (Table
Stock-based Compensation (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Stock-based Compensation | |
Summary of the stock-based compensation activity | Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands) Grants: Units: Performance-based RSUs — — 422 665 Stock options — — 273 344 Time-based RSUs — 4 310 334 Grant date fair value: Performance-based RSUs $ — $ — $ 14,788 $ 15,253 Stock options — — 2,770 2,965 Time-based RSUs — 102 10,823 7,647 Total $ — $ 102 $ 28,381 $ 25,865 Vestings and exercises: Performance-based RSUs vested — — 603 648 Stock options exercised 152 127 476 245 Time-based RSUs vested 7 3 355 294 Compensation expense $ 7,095 $ 8,941 $ 26,220 $ 19,124 |
Earnings Per Share of Common _2
Earnings Per Share of Common Stock (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Earnings Per Share of Common Stock | |
Summary of basic and diluted earnings per share calculations | Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands, except per share amounts) Net income $ 535,160 $ 121,473 $ 1,194,080 $ 240,304 Weighted average basic shares of common stock outstanding 72,439 78,361 76,292 78,119 Effect of dilutive shares: Common shares issuable under stock-based compensation plan 3,699 2,021 3,326 1,702 Weighted average shares of common stock applicable to diluted earnings per share 76,138 80,382 79,618 79,821 Basic earnings per share of common stock $ 7.39 $ 1.55 $ 15.65 $ 3.08 Diluted earnings per share of common stock $ 7.03 $ 1.51 $ 15.00 $ 3.01 |
Schedule of anti-dilutive shares outstanding | Quarter ended September 30, Nine months ended September 30, 2020 2019 2020 2019 (in thousands except for weighted-average exercise price) Performance-based RSUs (1) — 1,157 335 985 Stock options (2) — 566 217 888 Total anti-dilutive shares and units — 1,723 552 1,873 Weighted average exercise price of anti-dilutive stock options (2) $ — $ 23.50 $ 35.03 $ 23.98 (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 Inform_2
Supplemental Cash Flow Information (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Supplemental Cash Flow Information | |
Schedule of supplemental cash flow information | Nine months ended September 30, 2020 2019 (in thousands) Cash paid for interest $ 184,087 $ 125,987 Cash paid for income taxes, net $ 260,723 $ 5,761 Non-cash investing activity: Mortgage servicing rights resulting from loan sales $ 753,795 $ 545,839 Mortgage servicing liabilities resulting from loan sales $ 6,576 $ 27,133 Operating right-of-use assets $ 8,219 $ 60,642 Non-cash financing activity: Issuance of Excess servicing spread payable to PennyMac Mortgage Investment Trust $ 1,393 $ 1,327 Issuance of common stock in settlement of directors' fees $ 144 $ 184 |
Regulatory Capital and Liquid_2
Regulatory Capital and Liquidity Requirements (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Regulatory Capital and Liquidity Requirements | |
Summary of agencies' capital and liquidity requirements by each agency | September 30, 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 – $ 3,841,356 $ 616,001 $ 2,247,751 $ 585,674 Ginnie Mae – $ 3,139,830 $ 980,469 $ 1,907,398 $ 910,456 HUD – $ 3,139,830 $ 2,500 $ 1,907,398 $ 2,500 Liquidity Fannie Mae & Freddie Mac – $ 607,064 $ 82,828 $ 257,794 $ 79,991 Ginnie Mae – $ 607,064 $ 217,648 $ 257,794 $ 216,119 Adjusted net worth / Total assets ratio Ginnie Mae – 10 % 6 % 19 % 6 % Tangible net worth / Total assets ratio Fannie Mae & Freddie Mac – 12 % 6 % 22 % 6 % (1) Calculated in compliance with the respective Agency’s requirements. |
Segments (Tables)
Segments (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Segments | |
Schedule of change in expense allocation, by segment | Quarter ended September 30, 2020 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 700,830 $ 154,439 $ 855,269 $ — $ 855,269 Loan origination fees 75,572 — 75,572 — 75,572 Fulfillment fees from PennyMac Mortgage Investment Trust 54,839 — 54,839 — 54,839 Net loan servicing fees — 132,807 132,807 — 132,807 Net interest income (expense): Interest income 26,050 26,902 52,952 — 52,952 Interest expense 18,325 44,850 63,175 4 63,179 7,725 (17,948) (10,223) (4) (10,227) Management fees — — — 8,508 8,508 Other 132 1,802 1,934 1,290 3,224 Total net revenue 839,098 271,100 1,110,198 9,794 1,119,992 Expenses 225,817 159,407 385,224 6,477 391,701 Income before provision for income taxes $ 613,281 $ 111,693 $ 724,974 $ 3,317 $ 728,291 Segment assets at quarter end $ 7,319,838 $ 23,843,110 $ 31,162,948 $ 17,917 $ 31,180,865 (1) All revenues are from external customers. Quarter ended September 30, 2019 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 216,132 $ 19,600 $ 235,732 $ — $ 235,732 Loan origination fees 49,434 — 49,434 — 49,434 Fulfillment fees from PennyMac Mortgage Investment Trust 45,149 — 45,149 — 45,149 Net loan servicing fees — 66,229 66,229 — 66,229 Net interest income (expense): Interest income 22,445 61,007 83,452 — 83,452 Interest expense 18,423 37,936 56,359 21 56,380 4,022 23,071 27,093 (21) 27,072 Management fees — — — 10,098 10,098 Other 324 567 891 1,742 2,633 Total net revenue 315,061 109,467 424,528 11,819 436,347 Expenses 135,777 127,581 263,358 6,792 270,150 Income before provision for income taxes $ 179,284 $ (18,114) $ 161,170 $ 5,027 $ 166,197 Segment assets at quarter end $ 4,850,741 $ 4,433,177 $ 9,283,918 $ 19,281 $ 9,303,199 (1) All revenues are from external customers. Nine months ended September 30, 2020 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 1,637,193 $ 244,531 $ 1,881,724 $ — $ 1,881,724 Loan origination fees 192,091 — 192,091 — 192,091 Fulfillment fees from PennyMac Mortgage Investment Trust 149,594 — 149,594 — 149,594 Net loan servicing fees — 412,952 412,952 — 412,952 Net interest income (expense): Interest income 71,840 100,994 172,834 — 172,834 Interest expense 51,124 126,756 177,880 18 177,898 20,716 (25,762) (5,046) (18) (5,064) Management fees — — — 25,851 25,851 Other 483 1,473 1,956 4,347 6,303 Total net revenue 2,000,077 633,194 2,633,271 30,180 2,663,451 Expenses 608,602 413,071 1,021,673 18,395 1,040,068 Income before provision for income taxes $ 1,391,475 $ 220,123 $ 1,611,598 $ 11,785 $ 1,623,383 Segment assets at period end $ 7,319,838 $ 23,843,110 $ 31,162,948 $ 17,917 $ 31,180,865 (1) All revenues are from external customers. Nine months ended September 30, 2019 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 407,713 $ 60,328 $ 468,041 $ — $ 468,041 Loan origination fees 110,288 — 110,288 — 110,288 Fulfillment fees from PennyMac Mortgage Investment Trust 102,313 — 102,313 — 102,313 Net loan servicing fees — 205,934 205,934 — 205,934 Net interest income (expense): Interest income 55,714 156,971 212,685 — 212,685 Interest expense 36,236 110,572 146,808 39 146,847 19,478 46,399 65,877 (39) 65,838 Management fees — — — 26,178 26,178 Other 929 2,664 3,593 4,844 8,437 Total net revenue 640,721 315,325 956,046 30,983 987,029 Expenses 316,187 324,949 641,136 19,815 660,951 Income before provision for income taxes $ 324,534 $ (9,624) $ 314,910 $ 11,168 $ 326,078 Segment assets at period end $ 4,850,741 $ 4,433,177 $ 9,283,918 $ 19,281 $ 9,303,199 (1) All revenues are from external customers. |
Concentration of Risk (Details)
Concentration of Risk (Details) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Sales Revenue | Customer Concentration Risk | ||||
Concentration of Risk | ||||
Percentage of total net revenue | 7.00% | 32.00% | 12.00% | 31.00% |
Related Party Transactions - Co
Related Party Transactions - Correspondent Production (Details) - USD ($) | Jul. 01, 2020 | Jun. 30, 2020 | Sep. 12, 2016 | Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 |
Lending activity between the entity and affiliate | |||||||
Fulfillment fee revenue | $ 149,594,000 | $ 102,313,000 | |||||
Ginnie Mae Mortgage Backed Securities Guide Loan | |||||||
Transactions with Affiliates | |||||||
Threshold limit of loan commitment | $ 16,500 | ||||||
Maximum Multiplier factor for each pull through adjusted loan commitment | 585 | ||||||
Multiplying factor for each pull through adjusted loan commitment in excess of threshold limit per quarter | 355 | ||||||
Multiplying factor for number of purchased loans | 315 | ||||||
Multiplying factor for number of purchased loans in excess of threshold limit per quarter | $ 195 | ||||||
Ginnie Mae Mortgage Backed Securities Guide Loan | Minimum | |||||||
Transactions with Affiliates | |||||||
Pull through factor as a percentage | 80.00% | ||||||
Ginnie Mae Mortgage Backed Securities Guide Loan | Maximum | |||||||
Transactions with Affiliates | |||||||
Pull through factor as a percentage | 99.00% | ||||||
Other mortgage loans | |||||||
Transactions with Affiliates | |||||||
Multiplying factor for number of purchased loans | $ 750 | ||||||
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 | |||||||
Target recapture rate | 15.00% | ||||||
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% | ||||||
Related party transaction, renewal period | 5 years | ||||||
MSR Recapture Agreement | First 15% | |||||||
Transactions with Affiliates | |||||||
Percentage of fair market value. | 40.00% | ||||||
Percentage of recapture rate. | 15.00% | ||||||
MSR Recapture Agreement | In excess of 15% and upto 30% | |||||||
Transactions with Affiliates | |||||||
Percentage of fair market value. | 35.00% | ||||||
MSR Recapture Agreement | In excess of 30% | |||||||
Transactions with Affiliates | |||||||
Percentage of fair market value. | 30.00% | ||||||
Percentage of recapture rate. | 30.00% | ||||||
MSR Recapture Agreement | Minimum | In excess of 15% and upto 30% | |||||||
Transactions with Affiliates | |||||||
Percentage of recapture rate. | 15.00% | ||||||
MSR Recapture Agreement | Maximum | In excess of 15% and upto 30% | |||||||
Transactions with Affiliates | |||||||
Percentage of recapture rate. | 30.00% | ||||||
PMT | |||||||
Lending activity between the entity and affiliate | |||||||
Total of gain on sale of loans and MSR recapture | $ (9,775,000) | $ 60,662,000 | 62,549,000 | 122,996,000 | |||
Sale of loans held for sale to PMT | 2,248,896,000 | 4,095,079,000 | |||||
Fulfillment fee revenue | 54,839,000 | 45,149,000 | 149,594,000 | 102,313,000 | |||
Proceeds from sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust | 2,248,896,000 | 4,095,079,000 | |||||
PMT | MBS Agreement | Minimum | |||||||
Transactions with Affiliates | |||||||
The administrative fee plus accrued interest and sourcing fee percent | 0.02% | ||||||
PMT | MBS Agreement | Maximum | |||||||
Transactions with Affiliates | |||||||
The administrative fee plus accrued interest and sourcing fee percent | 0.035% | ||||||
PMT | Loan Lending | |||||||
Lending activity between the entity and affiliate | |||||||
Net gain on loans held for sale to PMT | 1,000 | 62,558,000 | 81,295,000 | 127,423,000 | |||
Mortgage servicing rights and excess servicing spread recapture incurred | (9,776,000) | (1,896,000) | (18,746,000) | (4,427,000) | |||
Total of gain on sale of loans and MSR recapture | (9,775,000) | 60,662,000 | 62,549,000 | 122,996,000 | |||
Sale of loans held for sale to PMT | 27,000 | 1,876,358,000 | 2,248,896,000 | 4,095,079,000 | |||
Tax service fee | 6,076,000 | 4,222,000 | 14,344,000 | 9,567,000 | |||
Fulfillment fee revenue | 54,839,000 | 45,149,000 | 149,594,000 | 102,313,000 | |||
Sourcing fees paid | 1,658,000 | 4,206,000 | 9,143,000 | 9,355,000 | |||
Unpaid principal balance of loans purchased from PMT | 16,690,482,000 | 14,022,222,000 | 41,641,327,000 | 31,183,950,000 | |||
Proceeds from sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust | $ 27,000 | $ 1,876,358,000 | $ 2,248,896,000 | $ 4,095,079,000 | |||
PLS | Minimum | |||||||
Transactions with Affiliates | |||||||
Sourcing fees (as a percent) | 0.01% | ||||||
PLS | Maximum | |||||||
Transactions with Affiliates | |||||||
Sourcing fees (as a percent) | 0.02% | ||||||
PLS | Ginnie Mae Mortgage Backed Securities Guide Loan | |||||||
Transactions with Affiliates | |||||||
Fulfilment fee payable | $ 0 |
Related Party Transactions - Mo
Related Party Transactions - Mortgage Loan Servicing (Details) | Jun. 30, 2020 | Sep. 12, 2016USD ($)item | Sep. 30, 2020USD ($) | Sep. 30, 2019USD ($) | Sep. 30, 2020USD ($) | Sep. 30, 2019USD ($) |
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 | |||||
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 | $ 18,752,000 | $ 12,964,000 | $ 48,806,000 | $ 35,102,000 | ||
PMT | Loan Servicing Agreement | ||||||
Summary of mortgage loan servicing fees earned | ||||||
Related party transaction, renewal period | 5 years | |||||
PMT | Loans acquired for sale at fair value | ||||||
Summary of mortgage loan servicing fees earned | ||||||
Loan servicing fees | 452,000 | 507,000 | 1,595,000 | 1,131,000 | ||
PMT | Loans at fair value | ||||||
Summary of mortgage loan servicing fees earned | ||||||
Loan servicing fees | 187,000 | 858,000 | 675,000 | 1,938,000 | ||
PMT | Mortgage servicing rights | ||||||
Summary of mortgage loan servicing fees earned | ||||||
Loan servicing fees | $ 18,113,000 | 11,599,000 | $ 46,536,000 | 32,033,000 | ||
PMT | Other income. | ||||||
Summary of mortgage loan servicing fees earned | ||||||
Property management fees | $ 70,000 | $ 295,000 |
Related Party Transactions - Ma
Related Party Transactions - Management Fees (Details) - USD ($) | Sep. 12, 2016 | Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 |
Management Fee Revenue Abstract | |||||
Management fees | $ 8,508,000 | $ 10,098,000 | $ 25,851,000 | $ 26,178,000 | |
PMT | |||||
Management Fee Revenue Abstract | |||||
Management fees | 8,508,000 | 10,098,000 | 25,851,000 | 26,178,000 | |
PMT | Management Agreement | |||||
Transactions with Affiliates | |||||
Percentage of change in net income due to quarterly adjustments | 8.00% | ||||
Management Fee Revenue Abstract | |||||
Base management fee | 8,508,000 | 7,914,000 | 25,851,000 | 20,862,000 | |
Performance incentive | 2,184,000 | 5,316,000 | |||
Management fees | $ 8,508,000 | $ 10,098,000 | $ 25,851,000 | $ 26,178,000 | |
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% |
Related Party Transactions - Ot
Related Party Transactions - Other Transactions, Reimbursement of Common Overhead Expenses (Details) - USD ($) | Jul. 01, 2020 | Sep. 12, 2016 | Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 |
PMT | ||||||
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 | $ 4,406,000 | $ 3,605,000 | $ 10,480,000 | $ 7,416,000 | ||
Payments and settlements during the period | 58,479,000 | 68,191,000 | 228,514,000 | 111,411,000 | ||
PMT | Common overhead incurred | ||||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | ||||||
Reimbursement of common overhead and expenses incurred by the Company | 1,389,000 | 1,543,000 | 4,514,000 | 4,055,000 | ||
PMT | Compensation | ||||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | ||||||
Reimbursement of common overhead and expenses incurred by the Company | 165,000 | 120,000 | 405,000 | 360,000 | ||
PMT | 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 | $ 2,852,000 | $ 1,942,000 | $ 5,561,000 | $ 3,001,000 | ||
PCM | ||||||
Transactions with Affiliates | ||||||
Expense reimbursement amount, per quarter, relating to personnel | $ 165,000 | $ 120,000 | ||||
Related party transaction, renewal period | 5 years |
Related Party Transactions - _2
Related Party Transactions - Other Transactions, Conditional Reimbursement (Details) - PMT - Conditional Reimbursement - USD ($) | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Aug. 04, 2009 | |
Conditional reimbursement | |||
Payments received | $ 211,000 | $ 219,000 | |
Maximum | |||
Conditional reimbursement | |||
Conditional reimbursement | $ 2,900,000 |
Related Party Transactions - In
Related Party Transactions - Investing Activities (Details) | Dec. 19, 2016USD ($)item | Sep. 30, 2020USD ($)shares | Sep. 30, 2019USD ($) | Sep. 30, 2020USD ($)shares | Sep. 30, 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 | 75,000 | ||||
Repurchase agreement with PennyMac Mortgage Investment Trust: | ||||||
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell pledged to creditors | $ 86,958,000 | $ 86,958,000 | $ 107,512,000 | |||
Activity during the period: | ||||||
Interest income on receivable from PennyMac Mortgage Investment Trust | 676,000 | $ 1,527,000 | 2,686,000 | $ 5,015,000 | ||
Activity during the period: | ||||||
Dividends received from PennyMac Mortgage Investment Trust | 31,000 | 36,000 | 79,000 | 107,000 | ||
Change in fair value of investment in Common shares of PennyMac Mortgage Investment Trust | (319,000) | 30,000 | (681,000) | 270,000 | ||
Balance at end of period | (288,000) | 66,000 | (602,000) | 377,000 | ||
Loans and Leases Receivable, Related Parties | 86,958,000 | 86,958,000 | 107,512,000 | |||
Fair value of PennyMac Mortgage Investment Trust shares | $ 991,000 | $ 991,000 | $ 1,672,000 | |||
Number of shares | shares | 75,000 | 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 | $ 676,000 | $ 1,527,000 | $ 2,686,000 | $ 5,015,000 |
Related Party Transactions - Fi
Related Party Transactions - Financing Activities (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | Feb. 01, 2013 | |
Financing activities: | ||||||
Issuance pursuant to recapture agreement | $ 1,393,000 | $ 1,327,000 | ||||
Repayments | 25,112,000 | 30,901,000 | ||||
PMT | ||||||
Financing activities: | ||||||
Interest expense | $ 2,070,000 | $ 2,291,000 | 6,416,000 | 8,124,000 | ||
Change in fair value | 3,135,000 | 3,864,000 | 18,293,000 | 11,519,000 | ||
Excess servicing spread financing at fair value payable to affiliate | 142,990,000 | 142,990,000 | $ 178,586,000 | |||
PMT | 2/1/13 Spread Acquisition Agreement | ||||||
Financing activities: | ||||||
Maximum ESS recapture obligation | $ 200,000 | |||||
Excess servicing spread financing | PMT | ||||||
Financing activities: | ||||||
Balance at the beginning of the period | 151,206,000 | 194,156,000 | 178,586,000 | 216,110,000 | ||
Issuance pursuant to recapture agreement | 531,000 | 377,000 | 1,393,000 | 1,327,000 | ||
Interest expense | 2,070,000 | 2,291,000 | 6,416,000 | 8,124,000 | ||
Repayments | (7,682,000) | (9,819,000) | (25,112,000) | (30,901,000) | ||
Change in fair value | (3,135,000) | (3,864,000) | (18,293,000) | (11,519,000) | ||
Balance at the end of the period | 142,990,000 | 183,141,000 | 142,990,000 | 183,141,000 | ||
Excess servicing spread recapture recognized | $ 525,000 | $ 429,000 | $ 1,441,000 | $ 1,311,000 |
Related Party Transactions - Am
Related Party Transactions - Amounts due from Affiliate (Details) - PMT - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Amounts due from affiliate | ||
Margin settlement relating to loan sales | $ 48,243 | |
Allocated expenses | 30,207 | $ 3,724 |
Fulfillment fees | 18,060 | 18,285 |
Correspondent production fees | 8,509 | 10,579 |
Management fees | 11,285 | 10,606 |
Servicing fees | 6,121 | 4,659 |
Interest on assets purchased under agreements to resell | 43 | 85 |
Conditional Reimbursement | 10 | 221 |
Total due from affiliate | 122,478 | 48,159 |
Payable to affiliate | ||
Amounts advanced by PMT | 58,264 | 70,520 |
MSR Recapture Payable to PMT | 197 | 149 |
Other expenses | 18,675 | 2,611 |
Payable to affiliates | $ 77,136 | $ 73,280 |
Related Party Transactions - Ex
Related Party Transactions - Exchanged Private National Mortgage Acceptance Company, LLC Unitholders (Details) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | |
Transactions with Affiliates | |||
Amount of tax benefits under the tax sharing agreement (as a percent) | 85.00% | ||
Payments to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | $ (10,374) | ||
Payable to exchanged PNMAC unitholders under tax receivable agreement | 35,800 | $ 46,200 | |
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 | $ 10,400 | $ 0 |
Loan Sales and Servicing Acti_3
Loan Sales and Servicing Activities - Summary of Cash Flows with Transferees (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | |
Cash flows: | |||||
Sales proceeds | $ 26,683,234 | $ 17,897,693 | $ 67,209,239 | $ 39,084,441 | |
Servicing fees received | 166,316 | 149,210 | 491,743 | 426,774 | |
Net servicing advances | 71,890 | $ 8,605 | 68,992 | $ (23,583) | |
Period end information: | |||||
Unpaid principal balance of loans outstanding | 188,854,796 | 188,854,796 | $ 168,842,011 | ||
30-89 days | 7,237,198 | 7,237,198 | 7,947,560 | ||
90 days or more - Not in foreclosure | 19,423,346 | 19,423,346 | 3,237,563 | ||
90 days or more - In foreclosure | 621,649 | 621,649 | 888,136 | ||
90 days or more - Foreclosed | 13,730 | 13,730 | 15,387 | ||
Bankruptcy | $ 1,288,443 | $ 1,288,443 | $ 1,343,816 |
Loan Sales and Servicing Acti_4
Loan Sales and Servicing Activities - Summary of Mortgage Servicing Portfolio (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Mortgage servicing portfolio | ||
Loans held for sale | $ 8,749,673 | $ 4,724,006 |
Total loans serviced | 401,896,800 | 368,684,232 |
Delinquent loans: | ||
30 days | 7,360,174 | 8,844,792 |
60 days | 3,800,337 | 2,663,060 |
90 days or more - Not in foreclosure | 29,947,899 | 4,345,074 |
90 days or more - In foreclosure | 868,532 | 1,182,137 |
90 days or more - Foreclosed | 62,334 | 107,736 |
Total delinquent mortgage loans | 42,039,276 | 17,142,799 |
Bankruptcy | 1,974,015 | 2,035,185 |
Delinquent loans in COVID-19 related forbearance | ||
30 days | 2,819,154 | |
60 days | 2,766,100 | |
90 days or more not in foreclosure | 22,544,078 | |
Total delinquent loans in COVID-19 related forbearance | 28,129,332 | |
Custodial funds managed by the Company | 16,712,414 | 8,942,275 |
Servicing rights owned | ||
Mortgage servicing portfolio | ||
Loans held for sale | 8,749,673 | 4,724,006 |
Total loans serviced | 245,400,232 | 233,269,564 |
Delinquent loans: | ||
30 days | 5,924,488 | 7,987,132 |
60 days | 3,178,614 | 2,490,797 |
90 days or more - Not in foreclosure | 24,324,945 | 4,070,482 |
90 days or more - In foreclosure | 831,239 | 1,113,806 |
90 days or more - Foreclosed | 16,409 | 18,315 |
Total delinquent mortgage loans | 34,275,695 | 15,680,532 |
Bankruptcy | 1,815,833 | 1,898,367 |
Delinquent loans in COVID-19 related forbearance | ||
30 days | 2,344,986 | |
60 days | 2,289,880 | |
90 days or more not in foreclosure | 17,827,122 | |
Total delinquent loans in COVID-19 related forbearance | 22,461,988 | |
Custodial funds managed by the Company | 10,364,855 | 6,412,291 |
Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Total loans serviced | 156,496,568 | 135,414,668 |
Delinquent loans: | ||
30 days | 1,435,686 | 857,660 |
60 days | 621,723 | 172,263 |
90 days or more - Not in foreclosure | 5,622,954 | 274,592 |
90 days or more - In foreclosure | 37,293 | 68,331 |
90 days or more - Foreclosed | 45,925 | 89,421 |
Total delinquent mortgage loans | 7,763,581 | 1,462,267 |
Bankruptcy | 158,182 | 136,818 |
Delinquent loans in COVID-19 related forbearance | ||
30 days | 474,168 | |
60 days | 476,220 | |
90 days or more not in foreclosure | 4,716,956 | |
Total delinquent loans in COVID-19 related forbearance | 5,667,344 | |
Custodial funds managed by the Company | 6,347,559 | 2,529,984 |
Non affiliated entities | ||
Mortgage servicing portfolio | ||
Originated | 188,854,796 | 168,842,011 |
Purchased | 47,795,763 | 59,703,547 |
Total loans serviced, excluding loans held for sale | 236,650,559 | 228,545,558 |
Non affiliated entities | Servicing rights owned | ||
Mortgage servicing portfolio | ||
Originated | 188,854,796 | 168,842,011 |
Purchased | 47,795,763 | 59,703,547 |
Total loans serviced, excluding loans held for sale | 236,650,559 | 228,545,558 |
Affiliated entities | ||
Mortgage servicing portfolio | ||
Advised entities | 156,496,568 | 135,414,668 |
Affiliated entities | Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Advised entities | $ 156,496,568 | $ 135,414,668 |
Loan Sales and Servicing Acti_5
Loan Sales and Servicing Activities - Geographical Distribution of Loans (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 401,896,800 | $ 368,684,232 |
California | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 58,062,643 | 57,311,867 |
Florida | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 33,545,822 | 28,940,696 |
Texas | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 31,893,436 | 27,909,821 |
Virginia | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 24,378,162 | 22,115,619 |
Maryland | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 18,700,592 | 16,829,320 |
All other states | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 235,316,145 | $ 215,576,909 |
Fair Value - Financial Statemen
Fair Value - Financial Statement Items Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Assets: | ||
Short-term investments at fair value | $ 102,136 | $ 74,611 |
Loans held for sale | 9,126,172 | 4,912,953 |
Derivative assets: | ||
Derivative asset, before netting | 683,082 | 187,397 |
Netting | (104,828) | (27,711) |
Total derivative assets | 578,254 | 159,686 |
Derivative liabilities: | ||
Derivative liability, before netting | 117,374 | 38,946 |
Netting | (92,837) | (16,616) |
Net amounts of liabilities presented in the consolidated balance sheet | 24,537 | 22,330 |
Mortgage servicing liabilities | 31,698 | 29,140 |
PMT | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 991 | 1,672 |
Interest rate lock commitments | ||
Derivative assets: | ||
Total derivative assets | 544,151 | 138,511 |
Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 72,640 | 12,364 |
Derivative liabilities: | ||
Derivative liability, before netting | 15,903 | 19,040 |
Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 21,652 | 17,097 |
Derivative liabilities: | ||
Derivative liability, before netting | 98,765 | 18,045 |
MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 27,336 | 3,415 |
MBS call options | ||
Derivative assets: | ||
Derivative asset, before netting | 4,255 | |
Call options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 1,570 | 1,469 |
Put options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 5,910 | 3,945 |
Level 3 | ||
Assets: | ||
Loans held for sale | 2,774,997 | 383,878 |
Level 3 | Interest rate lock commitments | ||
Assets: | ||
Loans held for sale | 541,445 | 136,650 |
Recurring basis | ||
Assets: | ||
Short-term investments at fair value | 102,136 | 74,611 |
Loans held for sale | 9,126,172 | 4,912,953 |
Derivative assets: | ||
Derivative asset, before netting | 683,082 | 187,397 |
Netting | (104,828) | (27,711) |
Total derivative assets | 578,254 | 159,686 |
Mortgage servicing rights at fair value | 2,333,821 | 2,926,790 |
Total assets | 12,141,374 | 8,075,712 |
Derivative liabilities: | ||
Derivative liability, before netting | 117,374 | 38,946 |
Netting | (92,837) | (16,616) |
Net amounts of liabilities presented in the consolidated balance sheet | 24,537 | 22,330 |
Mortgage servicing liabilities | 31,698 | 29,140 |
Total liabilities | 199,225 | 230,056 |
Recurring basis | PMT | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 991 | 1,672 |
Derivative liabilities: | ||
Excess servicing spread financing at fair value to affiliate | 142,990 | 178,586 |
Recurring basis | Interest rate lock commitments | ||
Derivative assets: | ||
Derivative asset, before netting | 544,151 | 138,511 |
Derivative liabilities: | ||
Derivative liability, before netting | 2,706 | 1,861 |
Recurring basis | Repurchase agreement derivatives | ||
Derivative assets: | ||
Derivative asset, before netting | 8,187 | |
Recurring basis | Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 72,640 | 12,364 |
Derivative liabilities: | ||
Derivative liability, before netting | 15,903 | 19,040 |
Recurring basis | Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 21,652 | 17,097 |
Derivative liabilities: | ||
Derivative liability, before netting | 98,765 | 18,045 |
Recurring basis | MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 27,336 | 3,415 |
Recurring basis | MBS call options | ||
Derivative assets: | ||
Derivative asset, before netting | 4,255 | |
Recurring basis | Swaptions | ||
Derivative assets: | ||
Derivative asset, before netting | 5,568 | 2,409 |
Recurring basis | Call options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 1,570 | 1,469 |
Recurring basis | Put options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 5,910 | 3,945 |
Recurring basis | Level 1 | ||
Assets: | ||
Short-term investments at fair value | 102,136 | 74,611 |
Derivative assets: | ||
Derivative asset, before netting | 7,480 | 5,414 |
Total derivative assets | 7,480 | 5,414 |
Total assets | 110,607 | 81,697 |
Recurring basis | Level 1 | PMT | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 991 | 1,672 |
Recurring basis | Level 1 | Call options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 1,570 | 1,469 |
Recurring basis | Level 1 | Put options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 5,910 | 3,945 |
Recurring basis | Level 2 | ||
Assets: | ||
Loans held for sale | 6,351,175 | 4,529,075 |
Derivative assets: | ||
Derivative asset, before netting | 131,451 | 35,285 |
Total derivative assets | 131,451 | 35,285 |
Total assets | 6,482,626 | 4,564,360 |
Derivative liabilities: | ||
Derivative liability, before netting | 114,668 | 37,085 |
Net amounts of liabilities presented in the consolidated balance sheet | 114,668 | 37,085 |
Total liabilities | 114,668 | 37,085 |
Recurring basis | Level 2 | Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 72,640 | 12,364 |
Derivative liabilities: | ||
Derivative liability, before netting | 15,903 | 19,040 |
Recurring basis | Level 2 | Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 21,652 | 17,097 |
Derivative liabilities: | ||
Derivative liability, before netting | 98,765 | 18,045 |
Recurring basis | Level 2 | MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 27,336 | 3,415 |
Recurring basis | Level 2 | MBS call options | ||
Derivative assets: | ||
Derivative asset, before netting | 4,255 | |
Recurring basis | Level 2 | Swaptions | ||
Derivative assets: | ||
Derivative asset, before netting | 5,568 | 2,409 |
Recurring basis | Level 3 | ||
Assets: | ||
Loans held for sale | 2,774,997 | 383,878 |
Derivative assets: | ||
Derivative asset, before netting | 544,151 | 146,698 |
Total derivative assets | 544,151 | 146,698 |
Mortgage servicing rights at fair value | 2,333,821 | 2,926,790 |
Total assets | 5,652,969 | 3,457,366 |
Derivative liabilities: | ||
Derivative liability, before netting | 2,706 | 1,861 |
Net amounts of liabilities presented in the consolidated balance sheet | 2,706 | 1,861 |
Mortgage servicing liabilities | 31,698 | 29,140 |
Total liabilities | 177,394 | 209,587 |
Recurring basis | Level 3 | PMT | ||
Derivative liabilities: | ||
Excess servicing spread financing at fair value to affiliate | 142,990 | 178,586 |
Recurring basis | Level 3 | Interest rate lock commitments | ||
Derivative assets: | ||
Derivative asset, before netting | 544,151 | 138,511 |
Derivative liabilities: | ||
Derivative liability, before netting | $ 2,706 | 1,861 |
Recurring basis | Level 3 | Repurchase agreement derivatives | ||
Derivative assets: | ||
Derivative asset, before netting | $ 8,187 |
Fair Value - Level 3 Input Roll
Fair Value - Level 3 Input Roll Forward, Recurring Basis (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Mortgage servicing liabilities resulting from loan sales | $ 6,576 | $ 27,133 | ||
Recurring basis | ||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | $ 3,251,509 | $ 3,066,124 | 3,455,505 | 3,156,728 |
Purchases and issuances, net | 3,327,099 | 2,062,591 | 6,121,075 | 4,155,778 |
Capitalization of interest and advances | 22,262 | 55,283 | ||
Sales and repayments | (97,225) | (1,591,986) | (896,517) | (2,446,893) |
Mortgage servicing rights resulting from loan sales | 245,946 | 246,757 | 753,795 | 545,839 |
Changes in fair value included in income arising from: | ||||
Changes in instrument specific credit risk | 42,029 | 4,252 | 35,638 | (2,025) |
Other factors | 186,496 | (318,655) | (563,248) | (790,362) |
Total changes in fair value included in income | 228,525 | (314,403) | (527,610) | (792,387) |
Transfers from mortgage loans held for sale from Level 3 to Level 2 | (597,134) | (416,062) | (1,476,027) | (1,292,824) |
Transfers to real estate acquired in settlement of loans | (376) | (691) | (2,420) | |
Reinstatement from real estate acquired in settlement of loans | 755 | 755 | ||
Transfers from interest rate lock commitments to loans held for sale | (731,474) | (258,064) | (1,835,305) | (529,240) |
Balance at the end of the period | 5,650,263 | 2,794,581 | 5,650,263 | 2,794,581 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | 454,285 | (268,048) | (799,403) | (894,832) |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | 181,064 | 207,104 | 207,726 | 224,791 |
Issuances | 531 | 377 | 1,393 | 1,327 |
Accrual of interest on excess servicing spread financing | 2,070 | 2,291 | 6,416 | 8,124 |
Repayment | (7,682) | (9,819) | (25,112) | (30,901) |
Mortgage servicing liabilities resulting from loan sales | 19,501 | 6,576 | 27,133 | |
Changes in fair value included in income | (1,295) | (2,019) | (22,311) | (13,039) |
Balance at the end of the period | 174,688 | 217,435 | 174,688 | 217,435 |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (1,295) | (2,019) | (22,311) | (13,039) |
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 | 151,206 | 194,156 | 178,586 | 216,110 |
Issuances | 531 | 377 | 1,393 | 1,327 |
Accrual of interest on excess servicing spread financing | 2,070 | 2,291 | 6,416 | 8,124 |
Repayment | (7,682) | (9,819) | (25,112) | (30,901) |
Changes in fair value included in income | (3,135) | (3,864) | (18,293) | (11,519) |
Balance at the end of the period | 142,990 | 183,141 | 142,990 | 183,141 |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (3,135) | (3,864) | (18,293) | (11,519) |
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 | 29,858 | 12,948 | 29,140 | 8,681 |
Mortgage servicing liabilities resulting from loan sales | 19,501 | 6,576 | 27,133 | |
Changes in fair value included in income | 1,840 | 1,845 | (4,018) | (1,520) |
Balance at the end of the period | 31,698 | 34,294 | 31,698 | 34,294 |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | 1,840 | 1,845 | (4,018) | (1,520) |
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 | 661,719 | 217,998 | 383,878 | 260,008 |
Purchases and issuances, net | 2,734,321 | 1,861,769 | 4,664,408 | 3,537,177 |
Capitalization of interest and advances | 22,262 | 55,283 | ||
Sales and repayments | (88,955) | (1,582,564) | (888,247) | (2,414,899) |
Changes in fair value included in income arising from: | ||||
Changes in instrument specific credit risk | 42,029 | 4,252 | 35,638 | (2,025) |
Total changes in fair value included in income | 42,029 | 4,252 | 35,638 | (2,025) |
Transfers from mortgage loans held for sale from Level 3 to Level 2 | (597,134) | (416,062) | (1,476,027) | (1,292,824) |
Transfers to real estate acquired in settlement of loans | (376) | (691) | (2,420) | |
Reinstatement from real estate acquired in settlement of loans | 755 | 755 | ||
Balance at the end of the period | 2,774,997 | 85,017 | 2,774,997 | 85,017 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | 38,217 | (2,328) | 31,389 | (2,478) |
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 | 368,064 | 111,776 | 136,650 | 49,338 |
Purchases and issuances, net | 593,065 | 199,274 | 1,431,194 | 376,137 |
Changes in fair value included in income arising from: | ||||
Other factors | 311,790 | 92,138 | 808,906 | 248,889 |
Total changes in fair value included in income | 311,790 | 92,138 | 808,906 | 248,889 |
Transfers from interest rate lock commitments to loans held for sale | (731,474) | (258,064) | (1,835,305) | (529,240) |
Balance at the end of the period | 541,445 | 145,124 | 541,445 | 145,124 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | 541,445 | 145,124 | 541,445 | 145,124 |
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 | 16,015 | 8,187 | 26,770 |
Purchases and issuances, net | 1,502 | 15,019 | ||
Sales and repayments | (8,270) | (9,422) | (8,270) | (31,994) |
Changes in fair value included in income arising from: | ||||
Other factors | 83 | 92 | 83 | (1,608) |
Total changes in fair value included in income | 83 | 92 | 83 | (1,608) |
Balance at the end of the period | 8,187 | 8,187 | ||
Changes in fair value recognized during the period relating to assets still held at the end of the period | 41 | 165 | ||
Recurring basis | Mortgage servicing rights | ||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | 2,213,539 | 2,720,335 | 2,926,790 | 2,820,612 |
Purchases and issuances, net | (287) | 46 | 25,473 | 227,445 |
Mortgage servicing rights resulting from loan sales | 245,946 | 246,757 | 753,795 | 545,839 |
Changes in fair value included in income arising from: | ||||
Other factors | (125,377) | (410,885) | (1,372,237) | (1,037,643) |
Total changes in fair value included in income | (125,377) | (410,885) | (1,372,237) | (1,037,643) |
Balance at the end of the period | 2,333,821 | 2,556,253 | 2,333,821 | 2,556,253 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | $ (125,377) | $ (410,885) | $ (1,372,237) | $ (1,037,643) |
Fair Value - Changes in Fair Va
Fair Value - Changes in Fair Value, Fair Value Option, Recurring Basis (Details) - Recurring basis - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 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 | $ 1,295 | $ 2,019 | $ 22,311 | $ 13,039 |
Liabilities. | Net loan servicing fees | ||||
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ||||
Total gains (losses) from changes in estimated fair values included in earnings | 1,295 | 2,019 | 22,311 | 13,039 |
Excess servicing spread financing | ||||
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ||||
Total gains (losses) from changes in estimated fair values included in earnings | 3,135 | 3,864 | 18,293 | 11,519 |
Excess servicing spread financing | Net loan servicing fees | ||||
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ||||
Total gains (losses) from changes in estimated fair values included in earnings | 3,135 | 3,864 | 18,293 | 11,519 |
Mortgage servicing liabilities | ||||
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ||||
Total gains (losses) from changes in estimated fair values included in earnings | (1,840) | (1,845) | 4,018 | 1,520 |
Mortgage servicing liabilities | Net loan servicing fees | ||||
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ||||
Total gains (losses) from changes in estimated fair values included in earnings | (1,840) | (1,845) | 4,018 | 1,520 |
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 | 647,936 | (147,546) | 539,591 | (499,557) |
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 | 773,313 | 263,339 | 1,911,828 | 538,086 |
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 | (125,377) | (410,885) | (1,372,237) | (1,037,643) |
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 | 773,313 | 263,339 | 1,911,828 | 538,086 |
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 | 773,313 | 263,339 | 1,911,828 | 538,086 |
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 | (125,377) | (410,885) | (1,372,237) | (1,037,643) |
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 | $ (125,377) | $ (410,885) | $ (1,372,237) | $ (1,037,643) |
Fair Value - Fair Value Option
Fair Value - Fair Value Option Maturities, Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Fair value | ||
Total fair value | $ 9,126,172 | $ 4,912,953 |
Recurring basis | ||
Fair value | ||
Total fair value | 9,126,172 | 4,912,953 |
Loans held for sale | Recurring basis | ||
Fair value | ||
Current through 89 days delinquent | 8,670,895 | 4,628,333 |
Not in foreclosure | 392,866 | 236,650 |
In foreclosure | 62,411 | 47,970 |
Total fair value | 9,126,172 | 4,912,953 |
Principal amount due upon maturity | ||
Current through 89 days delinquent | 8,279,163 | 4,431,854 |
Not in foreclosure | 404,183 | 241,958 |
In foreclosure | 66,327 | 50,194 |
Total principal amount due upon maturity | 8,749,673 | 4,724,006 |
Difference | ||
Current through 89 days delinquent | 391,732 | 196,479 |
Not in foreclosure | (11,317) | (5,308) |
In foreclosure | (3,916) | (2,224) |
Total difference | $ 376,499 | $ 188,947 |
Fair Value - Measurement Basis,
Fair Value - Measurement Basis, Nonrecurring (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | |
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Notes Payable | $ 1,295,143 | $ 1,295,143 | $ 1,294,070 | ||
Term Notes | |||||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Notes Payable | 1,295,143 | 1,295,143 | 1,294,070 | ||
Unsecured senior note | |||||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Notes Payable | 492,358 | 492,358 | |||
Nonrecurring basis | |||||
Financial statement items measured at fair value on a nonrecurring basis | |||||
Real estate acquired in settlement of loans | 7,346 | 7,346 | 9,850 | ||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Real estate acquired in settlement of loans | (825) | $ 139 | (2,059) | $ 162 | |
Nonrecurring basis | Level 3 | |||||
Financial statement items measured at fair value on a nonrecurring basis | |||||
Real estate acquired in settlement of loans | 7,346 | 7,346 | 9,850 | ||
Fair Values | Term Notes | |||||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Notes Payable | 1,259,619 | 1,259,619 | $ 1,303,047 | ||
Fair Values | Unsecured senior note | |||||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Notes Payable | $ 510,000 | $ 510,000 |
Fair Value - Level 3 Unobservab
Fair Value - Level 3 Unobservable Inputs, Mortgage Loans and IRLC (Details) $ in Thousands | Sep. 30, 2020USD ($)item | Dec. 31, 2019USD ($)item |
Excess servicing spread financing | ||
Loans held for sale | $ | $ 9,126,172 | $ 4,912,953 |
Level 3 | ||
Excess servicing spread financing | ||
Loans held for sale | $ | $ 2,774,997 | $ 383,878 |
Loans held for sale | Discount rate | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 3.2 | 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 | 3.2 | 3 |
Loans held for sale | Twelve-month projected housing price index Change | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 2.1 | 2.6 |
Loans held for sale | Twelve-month projected housing price index Change | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 2.6 | 3.2 |
Loans held for sale | Twelve-month projected housing price index Change | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 2.2 | 2.8 |
Loans held for sale | Prepayment/resale speed | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 0.5 | 0.4 |
Loans held for sale | Prepayment/resale speed | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 24.9 | 21.4 |
Loans held for sale | Prepayment/resale speed | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 19.6 | 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 | 38.7 | 39.2 |
Loans held for sale | Total prepayment speed | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 29.9 | 36.2 |
Interest rate lock commitments | Level 3 | ||
Excess servicing spread financing | ||
Loans held for sale | $ | $ 541,445 | $ 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 | 80.6 | 86.5 |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 1 | 1.4 |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 5.1 | 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 | 2.5 | 2.8 |
Interest rate lock commitments | Percentage of unpaid principal balance | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 1.1 | 1.6 |
Repurchase agreement derivatives | ||
Excess servicing spread financing | ||
Acceptance rate (as a percent) | 99.00% |
Fair Value - Level 3 Unobserv_2
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Rights - Initial Recognition (Details) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2020USD ($)item | Sep. 30, 2019USD ($)item | Sep. 30, 2020USD ($)item | Sep. 30, 2019USD ($)item | Dec. 31, 2019USD ($)item | |
Mortgage servicing rights | |||||
Inputs | |||||
Amount recognized | $ | $ 245,946,000 | $ 246,757,000 | $ 753,795,000 | $ 545,839,000 | |
Fair Values | Pricing spread | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 5.5 | ||||
Fair Values | Annual total prepayment speed | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 7.7 | ||||
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 | $ | 110 | 100 | |||
Fair Values | Mortgage servicing rights | Level 3 | Weighted average | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | $ 104 | $ 97 | |||
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 8 | 8 | 6.8 | ||
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 15.8 | ||||
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 10.1 | 10.1 | 8.5 | ||
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 10.4 | 10.4 | 9.3 | ||
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 32.3 | 32.3 | 40.9 | ||
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 15 | ||||
Input | 15.3 | 15.3 | 12.7 | ||
Fair Values | Mortgage servicing rights | Life | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 1.7 | 1.7 | 1.4 | ||
Fair Values | Mortgage servicing rights | Life | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 6.8 | 6.8 | 7.4 | ||
Fair Values | Mortgage servicing rights | Life | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 5.4 | 5.4 | 6.1 | ||
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | |||||
Inputs | |||||
Amount recognized | $ | $ 245,946,000 | 246,757,000 | $ 753,795,000 | $ 545,839,000 | |
Unpaid principal balance of underlying loans | $ | $ 25,369,941,000 | $ 15,709,249,000 | $ 63,766,627,000 | $ 35,532,425,000 | |
Weighted-average servicing fee rate (as a percent) | 0.32% | 0.43% | 0.36% | 0.42% | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Minimum | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | $ 80 | $ 78 | $ 77 | $ 78 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Maximum | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | 110 | 100 | 110 | 100 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Weighted average | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | $ 102 | $ 97 | $ 100 | $ 97 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 8 | 5.5 | 6.8 | ||
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 17.6 | 16.2 | 18.1 | 16.2 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 9.6 | 8.3 | 9.3 | 8.6 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 7.2 | 8.8 | 7.2 | ||
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 41 | 32.1 | 49.8 | 32.8 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 10.4 | 15.7 | 12.4 | ||
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 2.3 | 2.7 | 1.5 | 2.6 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 9.1 | 7.5 | 9.1 | 7.8 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 7.3 | 5.5 | 6.6 | 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) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020USD ($)item | Dec. 31, 2019USD ($)item | |
MSR and pool characteristics | ||
Carrying value | $ 2,333,821,000 | $ 2,926,790,000 |
Mortgage servicing liabilities | Level 3 | ||
Prepayment speed | ||
Annual per-loan cost of servicing | $ 343 | 300 |
Fair Values | Mortgage servicing liabilities | Pricing spread | Level 3 | Maximum | ||
Inputs | ||
Input | item | 17.6 | |
Fair Values | Mortgage servicing rights | Level 3 | ||
MSR and pool characteristics | ||
Carrying value | $ 2,333,821,000 | 2,926,790,000 |
Unpaid principal balance of underlying loans | $ 234,850,997,000 | $ 225,787,103,000 |
Weighted-average note interest rate (as a percent) | 3.80% | 3.90% |
Weighted-average servicing fee rate (as a percent) | 0.35% | 0.35% |
Pricing spread | ||
Effect on fair value of 5% adverse change | $ (42,266,000) | $ (44,561,000) |
Effect on fair value of 10% adverse change | (82,935,000) | (87,734,000) |
Effect on fair value of 20% adverse change | (159,813,000) | (170,155,000) |
Prepayment speed | ||
Effect on fair value of 5% adverse change | (67,933,000) | (63,569,000) |
Effect on fair value of 10% adverse change | (132,698,000) | (124,411,000) |
Effect on fair value of 20% adverse change | (253,474,000) | (238,549,000) |
Annual per-loan cost of servicing | ||
Effect on fair value of 5% adverse change | (25,138,000) | (24,516,000) |
Effect on fair value of 10% adverse change | (50,275,000) | (49,032,000) |
Effect on fair value of 20% adverse change | (100,551,000) | (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 | 110 | 100 |
Fair Values | Mortgage servicing rights | Level 3 | Weighted average | ||
Prepayment speed | ||
Annual per-loan cost of servicing | $ 104 | $ 97 |
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Minimum | ||
Inputs | ||
Input | item | 8 | 6.8 |
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Maximum | ||
Inputs | ||
Input | item | 15.8 | |
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Weighted average | ||
Inputs | ||
Input | item | 10.1 | 8.5 |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Minimum | ||
Inputs | ||
Input | item | 10.4 | 9.3 |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Maximum | ||
Inputs | ||
Input | item | 32.3 | 40.9 |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Weighted average | ||
Inputs | ||
Input | item | 15.3 | 12.7 |
Fair Values | Mortgage servicing rights | Life | Level 3 | Minimum | ||
Inputs | ||
Input | item | 1.7 | 1.4 |
Fair Values | Mortgage servicing rights | Life | Level 3 | Maximum | ||
Inputs | ||
Input | item | 6.8 | 7.4 |
Fair Values | Mortgage servicing rights | Life | Level 3 | Weighted average | ||
Inputs | ||
Input | item | 5.4 | 6.1 |
Fair Value - Level 3 Unobserv_4
Fair Value - Level 3 Unobservable Inputs, ESS (Details) - Excess servicing spread financing - Level 3 $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 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 | $ | $ 142,990 | $ 178,586 |
Unpaid principal balance of underlying mortgage loans | $ | $ 17,070,283 | $ 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 | 4.9 | 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 | 5.3 | 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 | 5.1 | 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 | 9.6 | 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 | 17.6 | 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 | 11.8 | 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 | 2.4 | 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 | 6.7 | 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) | 9 Months Ended | 12 Months Ended |
Sep. 30, 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 | $ 31,698,000 | $ 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 | 31,698,000 | 29,140,000 |
Unpaid principal balance of underlying loans | $ 1,799,562,000 | $ 2,758,454,000 |
Servicing fee rate (as a percent) | 0.25% | 0.25% |
Annual per-loan cost of servicing | $ 343 | $ 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 | 7.1 | 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 | 35.1 | 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 | 2.9 | 3.9 |
Loans Held for Sale at Fair V_3
Loans Held for Sale at Fair Value (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | $ 9,126,172 | $ 4,912,953 |
Fair value of loans pledged to secure assets sold under agreements to repurchase | 8,453,522 | 4,322,789 |
Fair value of loans pledged to secure mortgage loan participation purchase and sale agreement | 558,023 | 523,349 |
Pledged Assets Separately Reported, Loans Pledged as Collateral, at Fair Value, Total | 9,011,545 | 4,846,138 |
Government-insured or guaranteed | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 5,219,448 | 4,222,010 |
Conventional mortgage loans | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 1,131,727 | 307,065 |
Purchased from Ginnie Mae pools serviced by the Company | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 2,759,032 | 374,121 |
Repurchased pursuant to representations and warranties | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | $ 15,965 | 9,244 |
Home equity lines of credit | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | $ 513 |
Derivative Financial Instrume_3
Derivative Financial Instruments - Other Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Dec. 31, 2019 | |
Derivative assets: | ||||||
Margin deposits placed with counterparties | $ (4,375) | $ (5,000) | ||||
Derivative asset, before netting | 683,082 | 187,397 | ||||
Netting | (104,828) | (27,711) | ||||
Total derivative assets | 578,254 | 159,686 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 117,374 | 38,946 | ||||
Netting | (92,837) | (16,616) | ||||
Net amounts of liabilities presented in the consolidated balance sheet | 24,537 | 22,330 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Gains (losses) recognized on derivative financial instruments | $ 6,521 | $ 250,146 | $ 1,027,327 | $ 587,883 | ||
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 | 83 | 92 | 83 | (1,608) | ||
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 | (77,320) | (55,540) | (403,992) | (157,362) | ||
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 | 6,521 | 250,146 | 1,027,327 | 587,883 | ||
Margin Deposits | ||||||
Derivative assets: | ||||||
Collateral placed with (received from) derivative counterparties | (11,991) | (11,095) | ||||
Interest rate lock commitments | ||||||
Derivative assets: | ||||||
Total derivative assets | 544,151 | 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 | 173,381 | 33,347 | 404,795 | 95,785 | ||
Forward contracts | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 31,443,783 | 13,618,361 | 31,443,783 | 13,618,361 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 72,640 | 12,364 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 15,903 | 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 | 31,443,783 | 31,443,783 | ||||
Forward contracts | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 42,438,243 | 16,220,526 | 42,438,243 | 16,220,526 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 21,652 | 17,097 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 98,765 | 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 | 42,438,243 | 42,438,243 | ||||
MBS put options | ||||||
Derivative Instruments | ||||||
Notional amount | 12,950,000 | 6,100,000 | 12,950,000 | 6,100,000 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 27,336 | 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 | 12,950,000 | 12,950,000 | ||||
MBS call options | ||||||
Derivative Instruments | ||||||
Notional amount | 1,850,000 | 1,850,000 | 1,850,000 | |||
Derivative assets: | ||||||
Derivative asset, before netting | 4,255 | |||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at end of period | 1,850,000 | 1,850,000 | ||||
Swaptions | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 3,125,000 | 1,750,000 | 3,125,000 | 1,750,000 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 5,568 | 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 | 3,125,000 | 3,125,000 | ||||
Put options on interest rate futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 2,275,000 | 2,250,000 | 2,275,000 | 2,250,000 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 5,910 | 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 | 2,275,000 | 2,275,000 | ||||
Call options on interest rate futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 950,000 | 750,000 | 950,000 | 750,000 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 1,570 | 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 | 950,000 | 950,000 | ||||
Treasury future | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 1,000,000 | 1,276,000 | 1,000,000 | 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 | 1,000,000 | 1,000,000 | ||||
Treasury future | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 450,000 | 1,010,000 | 450,000 | 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 | 450,000 | 450,000 | ||||
Interest rate swap futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 3,585,000 | 3,210,000 | 3,585,000 | 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 | 3,585,000 | 3,585,000 | ||||
Not designated as hedging instrument | Repurchase agreement derivatives | ||||||
Derivative assets: | ||||||
Derivative asset, before netting | 8,187 | |||||
Not designated as hedging instrument | Interest rate lock commitments | ||||||
Derivative Instruments | ||||||
Notional amount | 18,873,579 | 7,122,316 | 18,873,579 | 7,122,316 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 544,151 | 138,511 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 2,706 | 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 | 18,873,579 | 18,873,579 | ||||
Not designated as hedging instrument | Forward contracts | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 31,443,783 | 15,829,825 | 31,443,783 | 6,657,026 | 31,443,783 | 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 | 20,709,914 | 19,497,698 | 13,618,361 | 6,657,026 | ||
Additions | 143,902,517 | 100,139,970 | 370,704,328 | 237,370,321 | ||
Dispositions/expirations | (133,168,648) | (103,807,843) | (352,878,906) | (228,197,522) | ||
Balance at end of period | 31,443,783 | 15,829,825 | 31,443,783 | 15,829,825 | ||
Not designated as hedging instrument | Forward contracts | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 42,438,243 | 15,116,810 | 16,220,526 | 6,890,046 | 42,438,243 | 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 | 25,302,147 | 14,276,156 | 16,220,526 | 6,890,046 | ||
Additions | 175,642,745 | 122,174,329 | 444,965,072 | 275,749,351 | ||
Dispositions/expirations | (158,506,649) | (121,333,675) | (418,747,355) | (267,522,587) | ||
Balance at end of period | 42,438,243 | 15,116,810 | 42,438,243 | 15,116,810 | ||
Not designated as hedging instrument | MBS put options | ||||||
Derivative Instruments | ||||||
Notional amount | 12,950,000 | 10,050,000 | 6,100,000 | 4,635,000 | 12,950,000 | 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 | 11,200,000 | 12,775,000 | 6,100,000 | 4,635,000 | ||
Additions | 29,850,000 | 29,575,000 | 79,600,000 | 77,185,000 | ||
Dispositions/expirations | (28,100,000) | (32,300,000) | (72,750,000) | (71,770,000) | ||
Balance at end of period | 12,950,000 | 10,050,000 | 12,950,000 | 10,050,000 | ||
Not designated as hedging instrument | MBS call options | ||||||
Derivative Instruments | ||||||
Notional amount | 1,850,000 | 2,250,000 | 1,850,000 | 1,450,000 | 1,850,000 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 2,250,000 | 1,450,000 | ||||
Additions | 1,850,000 | 1,850,000 | 6,750,000 | |||
Dispositions/expirations | (2,250,000) | (8,200,000) | ||||
Balance at end of period | 1,850,000 | 1,850,000 | ||||
Not designated as hedging instrument | Swaptions | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 3,125,000 | 3,125,000 | 3,125,000 | 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 | 3,375,000 | 1,750,000 | ||||
Additions | 3,625,000 | 14,700,000 | ||||
Dispositions/expirations | (3,875,000) | (13,325,000) | ||||
Balance at end of period | 3,125,000 | 3,125,000 | ||||
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 | 3,875,000 | 13,325,000 | ||||
Dispositions/expirations | (3,875,000) | (13,325,000) | ||||
Not designated as hedging instrument | Put options on interest rate futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 2,275,000 | 4,350,000 | 2,250,000 | 3,085,000 | 2,275,000 | 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 | 350,000 | 2,835,000 | 2,250,000 | 3,085,000 | ||
Additions | 3,325,000 | 9,850,000 | 12,025,000 | 19,422,500 | ||
Dispositions/expirations | (1,400,000) | (8,335,000) | (12,000,000) | (18,157,500) | ||
Balance at end of period | 2,275,000 | 4,350,000 | 2,275,000 | 4,350,000 | ||
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 | 1,400,000 | 8,335,000 | 12,000,000 | 27,297,800 | ||
Dispositions/expirations | (1,400,000) | (8,335,000) | (12,000,000) | (27,297,800) | ||
Not designated as hedging instrument | Call options on interest rate futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 950,000 | 600,000 | 750,000 | 1,512,500 | 950,000 | 750,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 1,800,000 | 3,687,500 | 750,000 | 1,512,500 | ||
Additions | 1,200,000 | 1,750,000 | 9,740,000 | 13,127,800 | ||
Dispositions/expirations | (2,050,000) | (4,837,500) | (9,540,000) | (14,040,300) | ||
Balance at end of period | 950,000 | 600,000 | 950,000 | 600,000 | ||
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 | 2,050,000 | 4,837,500 | 9,540,000 | 4,837,500 | ||
Dispositions/expirations | (2,050,000) | (4,837,500) | (9,540,000) | (4,837,500) | ||
Not designated as hedging instrument | Treasury future | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 1,000,000 | 1,408,500 | 1,000,000 | 835,000 | 1,000,000 | 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 | 925,000 | 486,100 | 1,276,000 | 835,000 | ||
Additions | 1,561,500 | 5,132,000 | 5,516,700 | 11,943,400 | ||
Dispositions/expirations | (1,486,500) | (4,209,600) | (5,792,700) | (11,369,900) | ||
Balance at end of period | 1,000,000 | 1,408,500 | 1,000,000 | 1,408,500 | ||
Not designated as hedging instrument | Treasury future | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 450,000 | 1,132,500 | 1,010,000 | 1,450,000 | 450,000 | 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 | 450,000 | 1,550,000 | 1,010,000 | 1,450,000 | ||
Additions | 1,486,500 | 3,792,100 | 5,232,700 | 11,052,400 | ||
Dispositions/expirations | (1,486,500) | (4,209,600) | (5,792,700) | (11,369,900) | ||
Balance at end of period | 450,000 | 1,132,500 | 450,000 | 1,132,500 | ||
Not designated as hedging instrument | Interest rate swap futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 3,585,000 | 3,910,000 | 3,210,000 | 625,000 | $ 3,585,000 | $ 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 | 3,460,000 | 2,900,000 | 3,210,000 | 625,000 | ||
Additions | 1,200,000 | 1,800,000 | 4,150,000 | 4,075,000 | ||
Dispositions/expirations | (1,075,000) | (790,000) | (3,775,000) | (790,000) | ||
Balance at end of period | 3,585,000 | 3,910,000 | 3,585,000 | 3,910,000 | ||
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 | 1,075,000 | 790,000 | 3,775,000 | 790,000 | ||
Dispositions/expirations | $ (1,075,000) | $ (790,000) | $ (3,775,000) | $ (790,000) |
Derivative Financial Instrume_4
Derivative Financial Instruments - Offsetting of Derivative Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized assets | $ 544,151 | $ 146,698 |
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 138,931 | 40,699 |
Gross amounts offset in the consolidated balance sheet | (104,828) | (27,711) |
Net amounts of assets presented in the consolidated balance sheet | 34,103 | 12,988 |
Total | ||
Gross amounts of recognized assets | 683,082 | 187,397 |
Net amounts of assets presented in the balance sheet | 578,254 | 159,686 |
Interest rate lock commitments | ||
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized assets | 544,151 | 138,511 |
Total | ||
Net amounts of assets presented in the balance sheet | 544,151 | 138,511 |
Repurchase agreement derivatives | ||
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized assets | 8,187 | |
MBS put options | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 27,336 | 3,415 |
Net amounts of assets presented in the consolidated balance sheet | 27,336 | 3,415 |
Total | ||
Gross amounts of recognized assets | 27,336 | 3,415 |
MBS call options | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 4,255 | |
Net amounts of assets presented in the consolidated balance sheet | 4,255 | |
Total | ||
Gross amounts of recognized assets | 4,255 | |
Swaptions | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 5,568 | 2,409 |
Net amounts of assets presented in the consolidated balance sheet | 5,568 | 2,409 |
Swaptions | Purchases | ||
Total | ||
Gross amounts of recognized assets | 5,568 | 2,409 |
Forward contracts | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 72,640 | 12,364 |
Net amounts of assets presented in the consolidated balance sheet | 72,640 | 12,364 |
Total | ||
Gross amounts of recognized assets | 72,640 | 12,364 |
Forward contracts | Sales | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 21,652 | 17,097 |
Net amounts of assets presented in the consolidated balance sheet | 21,652 | 17,097 |
Total | ||
Gross amounts of recognized assets | 21,652 | 17,097 |
Put options on interest rate futures | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 5,910 | 3,945 |
Net amounts of assets presented in the consolidated balance sheet | 5,910 | 3,945 |
Total | ||
Gross amounts of recognized assets | 5,910 | 3,945 |
Call options on interest rate futures | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 1,570 | 1,469 |
Net amounts of assets presented in the consolidated balance sheet | 1,570 | 1,469 |
Total | ||
Gross amounts of recognized assets | $ 1,570 | $ 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 | Sep. 30, 2020 | Dec. 31, 2019 |
Total | ||
Net amounts of assets presented in the balance sheet | $ 578,254 | $ 159,686 |
Net amount | 578,254 | 159,686 |
JP Morgan | ||
Total | ||
Net amounts of assets presented in the balance sheet | 18,772 | 2,196 |
Net amount | 18,772 | 2,196 |
RJ O'Brien | ||
Total | ||
Net amounts of assets presented in the balance sheet | 7,480 | 5,414 |
Net amount | 7,480 | 5,414 |
Deutsche Bank AG | ||
Total | ||
Net amounts of assets presented in the balance sheet | 9,138 | |
Net amount | 9,138 | |
Wells Fargo Bank, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 5,256 | |
Net amount | 5,256 | |
Mizuho Securities | ||
Total | ||
Net amounts of assets presented in the balance sheet | 1,597 | |
Net amount | 1,597 | |
Goldman Sachs | ||
Total | ||
Net amounts of assets presented in the balance sheet | 1,148 | 2,548 |
Net amount | 1,148 | 2,548 |
Other | ||
Total | ||
Net amounts of assets presented in the balance sheet | 1,447 | 282 |
Net amount | 1,447 | 282 |
Interest rate lock commitments | ||
Total | ||
Net amounts of assets presented in the balance sheet | 544,151 | 138,511 |
Net amount | $ 544,151 | $ 138,511 |
Derivative Financial Instrume_6
Derivative Financial Instruments - Offsetting of Derivative Assets - Offsetting of Derivative and Financial Liabilities (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020 | Dec. 31, 2019 | |
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | $ 114,668 | $ 37,085 |
Netting | (92,837) | (16,616) |
Net amounts of liabilities presented in the balance sheet | 21,831 | 20,469 |
Total | ||
Gross amounts of recognized liabilities | 117,374 | 38,946 |
Net amounts of liabilities presented in the consolidated balance sheet | 24,537 | 22,330 |
Mortgage loans sold under agreements to repurchase | ||
Net amounts of liabilities presented in the consolidated balance sheet | 7,267,046 | 4,141,680 |
Debt Issuance Costs | ||
Debt issuance costs, gross | (7,858) | (627) |
Debt issuance costs | (7,858) | (627) |
Debt issuance costs | (7,858) | (627) |
Gross amounts of recognized liabilities | 7,259,188 | 4,141,053 |
Net amount of liabilities in the consolidated balance sheet | 7,259,188 | 4,141,053 |
Total | ||
Gross amounts of recognized liabilities | 7,376,562 | 4,179,999 |
Gross amounts offset in the consolidated balance sheet | (92,837) | (16,616) |
Net amounts of liabilities presented in the consolidated balance sheet | 7,291,583 | 4,164,010 |
Net amount of liabilities in the consolidated balance sheet | 24,537 | 22,330 |
Receivable from Counterparties | ||
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 7,283,725 | 4,163,383 |
Assets sold under agreements to repurchase | ||
Mortgage loans sold under agreements to repurchase | ||
Gross amounts of recognized liabilities | 7,267,046 | 4,141,680 |
Net amounts of liabilities presented in the consolidated balance sheet | 7,267,046 | 4,141,680 |
Forward contracts | Purchases | ||
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | 15,903 | 19,040 |
Net amounts of liabilities presented in the balance sheet | 15,903 | 19,040 |
Total | ||
Gross amounts of recognized liabilities | 15,903 | 19,040 |
Forward contracts | Sales | ||
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | 98,765 | 18,045 |
Net amounts of liabilities presented in the balance sheet | 98,765 | 18,045 |
Total | ||
Gross amounts of recognized liabilities | 98,765 | 18,045 |
Interest rate lock commitments | ||
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized liabilities | 2,706 | 1,861 |
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 2,706 | 1,861 |
Net amount of liabilities in the consolidated balance sheet | $ 2,706 | $ 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 | Sep. 30, 2020 | Dec. 31, 2019 |
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | $ 7,291,583 | $ 4,164,010 |
Financial instruments | (7,267,046) | (4,141,680) |
Net amount of liabilities in the consolidated balance sheet | 24,537 | 22,330 |
Credit Suisse First Boston Mortgage Capital LLC | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 3,613,132 | 1,235,430 |
Financial instruments | (3,607,746) | (1,235,430) |
Net amount of liabilities in the consolidated balance sheet | 5,386 | |
Barclays | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,648 | |
Net amount of liabilities in the consolidated balance sheet | 1,648 | |
Bank of America, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 767,391 | 379,400 |
Financial instruments | (767,391) | (374,190) |
Net amount of liabilities in the consolidated balance sheet | 5,210 | |
JP Morgan | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 741,341 | 936,172 |
Financial instruments | (741,341) | (936,172) |
Morgan Stanley Bank | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 784,434 | 582,941 |
Financial instruments | (784,434) | (582,941) |
BNP Paribas | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 370,013 | 183,880 |
Financial instruments | (370,013) | (183,880) |
Royal Bank of Canada | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 363,193 | 175,897 |
Financial instruments | (363,193) | (175,897) |
Citibank, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 637,347 | 655,831 |
Financial instruments | (632,928) | (653,170) |
Net amount of liabilities in the consolidated balance sheet | 4,419 | 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 | 2,366 | |
Net amount of liabilities in the consolidated balance sheet | 2,366 | |
Federal National Mortgage Association | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 5,755 | |
Net amount of liabilities in the consolidated balance sheet | 5,755 | |
Other | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 2,257 | 1,386 |
Net amount of liabilities in the consolidated balance sheet | 2,257 | 1,386 |
Interest rate lock commitments | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 2,706 | 1,861 |
Net amount of liabilities in the consolidated balance sheet | $ 2,706 | $ 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 | 9 Months Ended | |||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | |
Change in fair value due to: | |||||
Total change in fair value | $ 127,217 | $ 412,730 | $ 1,368,219 | $ 1,036,123 | |
Mortgage servicing rights | |||||
Activity in MSRs carried at fair value | |||||
Balance at beginning of period | 2,213,539 | 2,720,335 | 2,926,790 | 2,820,612 | |
Additions - Resulting from loan sales | 245,946 | 246,757 | 753,795 | 545,839 | |
Additions - Purchases (purchase adjustments) | (287) | 46 | 25,473 | 227,445 | |
Additions | 245,659 | 246,803 | 779,268 | 773,284 | |
Change in fair value due to: | |||||
Changes in valuation inputs used in valuation model | (26,208) | (286,880) | (1,040,751) | (704,967) | |
Other changes in fair value | (99,169) | (124,005) | (331,486) | (332,676) | |
Total change in fair value | (125,377) | (410,885) | (1,372,237) | (1,037,643) | |
Balance at end of period | 2,333,821 | $ 2,556,253 | 2,333,821 | $ 2,556,253 | |
Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and Notes payable secured by mortgage servicing assets | $ 2,330,600 | $ 2,330,600 | $ 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 | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Amortized cost: | ||||
Mortgage servicing liabilities resulting from loan sales | $ 6,576 | $ 27,133 | ||
Mortgage servicing liabilities | ||||
Amortized cost: | ||||
Balance at beginning of period | $ 29,858 | $ 12,948 | 29,140 | 8,681 |
Mortgage servicing liabilities resulting from loan sales | 19,501 | 6,576 | 27,133 | |
Changes in valuation inputs used in valuation model | 10,822 | 8,630 | 24,927 | 14,687 |
Other changes in fair value | (8,982) | (6,785) | (28,945) | (16,207) |
Total change in fair value | 1,840 | 1,845 | (4,018) | (1,520) |
Balance at end of period | $ 31,698 | $ 34,294 | $ 31,698 | $ 34,294 |
Mortgage Servicing Rights and_5
Mortgage Servicing Rights and Mortgage Servicing Liabilities - Servicing, Late, Ancillary and Other Fees Relating to MSRs (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Contractual servicing fees | $ 203,696 | $ 185,967 | $ 601,527 | $ 533,510 |
Other fees: | ||||
Other | 27,920 | 26,018 | 85,218 | 74,043 |
Mortgage servicing rights | ||||
Contractual servicing fees | 203,696 | 185,967 | 601,527 | 533,510 |
Other fees: | ||||
Late charges | 7,615 | 12,430 | 28,718 | 31,258 |
Other | 6,960 | 4,846 | 17,781 | 9,119 |
Bank Servicing Fees | $ 218,271 | $ 203,243 | $ 648,026 | $ 573,887 |
Leases (Details)
Leases (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | |
Leases | |||||
Operating lease option to extend | true | ||||
Lease expenses: | |||||
Operating leases | $ 4,144 | $ 3,356 | $ 12,110 | $ 9,817 | |
Short-term leases | 457 | 213 | 937 | 644 | |
Sublease income | (35) | (94) | |||
Total lease cost | 4,601 | 3,534 | 13,047 | 10,367 | |
Cash payments for operating leases | 4,418 | 4,063 | 13,212 | 11,793 | |
Upon adoption of ASU 2016-02 | 58,713 | ||||
New leases | 1,721 | 1,929 | 8,219 | 1,929 | |
Right-of-use assets obtained in exchange for lease obligations | $ 1,721 | $ 1,929 | $ 8,219 | $ 60,642 | |
Remaining lease term (in year) | 6 years 4 months 24 days | 5 years 9 months 18 days | 6 years 4 months 24 days | 5 years 9 months 18 days | |
Discount rate (as a percent) | 4.20% | 4.60% | 4.20% | 4.60% | |
Operating lease liabilities | |||||
2021 | $ 18,586 | $ 18,586 | |||
2022 | 16,405 | 16,405 | |||
2023 | 16,792 | 16,792 | |||
2024 | 14,474 | 14,474 | |||
2025 | 13,296 | 13,296 | |||
Thereafter | 27,224 | 27,224 | |||
Total lease payments | 106,777 | 106,777 | |||
Less imputed interest | (14,772) | (14,772) | |||
Total | $ 92,005 | $ 92,005 | $ 91,320 | ||
Minimum | |||||
Leases | |||||
Remaining operating lease term | 1 year | ||||
Maximum | |||||
Leases | |||||
Remaining operating lease term | 10 years | ||||
Operating lease renewal term | 5 years | 5 years |
Other Assets (Details)
Other Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Carrying value: | ||
Deposits | $ 192,597 | |
Capitalized software, net | 91,237 | $ 63,130 |
Margin deposits | 90,156 | 84,118 |
Furniture, fixtures, equipment and building improvements, net | 29,274 | 30,480 |
Real estate acquired in settlement of loans | 14,395 | 20,326 |
Other | 233,570 | 135,503 |
Other assets | 651,229 | 333,557 |
Fair value of assets securing revolving line of credit: | ||
Deposits | 192,597 | |
Capitalized software, net | 8,862 | 12,192 |
Furniture, fixture, equipment and building improvements, net | 6,088 | 20,406 |
Assets securing revolving line of credit | $ 207,547 | $ 32,598 |
Borrowings - Assets Sold Under
Borrowings - Assets Sold Under Agreement to Repurchase (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Apr. 01, 2020 | Dec. 31, 2019 | |
During the period: | ||||||
Total interest expense | $ 27,322,000 | $ 19,429,000 | $ 70,493,000 | $ 47,709,000 | ||
Carrying value: | ||||||
Unpaid principal balance | 7,267,046,000 | 7,267,046,000 | $ 4,141,680,000 | |||
Unamortized debt issuance costs and premiums | (7,858,000) | (7,858,000) | (627,000) | |||
Unamortized debt issuance costs | (7,858,000) | (7,858,000) | (627,000) | |||
Total loans sold under agreements to repurchase | $ 7,259,188,000 | $ 7,259,188,000 | $ 4,141,053,000 | |||
Weighted average interest rate (as a percent) | 1.85% | 1.85% | 3.29% | |||
Available borrowing capacity committed | $ 17,072,000 | $ 17,072,000 | $ 125,810,000 | |||
Available borrowing capacity uncommitted | 2,940,882,000 | 2,940,882,000 | 782,510,000 | |||
Available borrowing capacity | 2,957,954,000 | 2,957,954,000 | 908,320,000 | |||
Servicing advances | 232,519,000 | 232,519,000 | 207,460,000 | |||
Margin deposits placed with counterparties | 4,375,000 | 4,375,000 | 5,000,000 | |||
Loans held for sale | ||||||
Carrying value: | ||||||
Fair value of assets pledged to secure | 8,453,522,000 | 8,453,522,000 | 4,322,789,000 | |||
Mortgage servicing rights | ||||||
Carrying value: | ||||||
Fair value of assets pledged to secure | 2,283,876,000 | 2,283,876,000 | 2,902,721,000 | |||
Servicing advances | ||||||
Carrying value: | ||||||
Fair value of assets pledged to secure | 232,519,000 | 232,519,000 | 207,460,000 | |||
Financing receivable | ||||||
Carrying value: | ||||||
Fair value of assets pledged to secure | 86,958,000 | 86,958,000 | $ 107,512,000 | |||
Deposits | ||||||
Carrying value: | ||||||
Fair value of assets pledged to secure | 192,597,000 | 192,597,000 | ||||
Note Payable | ||||||
During the period: | ||||||
Average balance of assets sold under agreements to repurchase | 1,300,000,000 | 1,300,000,000 | 1,300,000,000 | 1,300,000,000 | ||
Carrying value: | ||||||
Amortization of debt issuance costs | 459,000 | 445,000 | 1,400,000 | 1,300,000 | ||
Assets sold under agreements to repurchase | ||||||
During the period: | ||||||
Average balance of assets sold under agreements to repurchase | $ 3,363,140,000 | $ 2,098,208,000 | $ 2,669,336,000 | $ 1,861,086,000 | ||
Weighted-average interest rate (as a percent) | 2.68% | 3.66% | 3.06% | 4.08% | ||
Total interest expense | $ 27,322,000 | $ 19,429,000 | $ 70,493,000 | $ 47,709,000 | ||
Maximum daily amount outstanding | 7,267,046,000 | 3,539,459,000 | 7,267,046,000 | 3,539,459,000 | ||
Carrying value: | ||||||
Amortization of debt issuance costs | $ 4,800,000 | $ 9,200,000 | ||||
Amortization of premium | 200,000 | 9,200,000 | ||||
Amount of Master Repurchase Agreement incentives to refinance include in interest expense | $ 1,600,000 | $ 14,700,000 | ||||
PLS | Credit Suisse First Boston Mortgage Capital LLC | Note Payable | ||||||
Mortgage loans sold under agreement to repurchase | ||||||
Maximum loan amount | $ 600,000,000 |
Borrowings - Maturities of Outs
Borrowings - Maturities of Outstanding Advances Under Repurchase Agreements (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2020 | Dec. 31, 2019 | |
Mortgage loans sold under agreement to repurchase | ||
Unpaid principal balance | $ 7,267,046 | $ 4,141,680 |
Weighted-average maturity (in months) | 2 months | |
Within 30 days | ||
Mortgage loans sold under agreement to repurchase | ||
Unpaid principal balance | $ 1,490,837 | |
Over 30 to 90 days | ||
Mortgage loans sold under agreement to repurchase | ||
Unpaid principal balance | 5,365,208 | |
Over 90 to 180 days | ||
Mortgage loans sold under agreement to repurchase | ||
Unpaid principal balance | 361,001 | |
Over 180 days to one year | ||
Mortgage loans sold under agreement to repurchase | ||
Unpaid principal balance | $ 50,000 |
Borrowings - Mortgage Loans Sol
Borrowings - Mortgage Loans Sold Under Agreement to Repurchase by Counterparty (Details) - Assets sold under agreements to repurchase $ in Thousands | Sep. 30, 2020USD ($) |
Credit Suisse First Boston Mortgage Capital LLC Tranche Two | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 1,092,694 |
Credit Suisse First Boston Mortgage Capital LLC Tranche One | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 460,264 |
Bank of America, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 410,222 |
JP Morgan | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 192,579 |
Citibank, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 48,231 |
Morgan Stanley Bank | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 62,630 |
BNP Paribas | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 27,646 |
Royal Bank of Canada | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 33,343 |
Borrowings - Mortgage Loan Part
Borrowings - Mortgage Loan Participation and Sale Agreement (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | |
During the period: | |||||
Total interest expense | $ 999,000 | $ 2,304,000 | $ 3,870,000 | $ 7,034,000 | |
Carrying value: | |||||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 535,063,000 | $ 535,063,000 | $ 497,948,000 | ||
Weighted average interest rate (as a percent) | 1.85% | 1.85% | 3.29% | ||
Fair value of loans pledged to secure | $ 558,023,000 | $ 558,023,000 | $ 523,349,000 | ||
Mortgage Loan Participation and Sale Agreement member | |||||
During the period: | |||||
Average balance | $ 235,713,000 | $ 258,169,000 | $ 227,460,000 | $ 249,023,000 | |
Weighted-average interest rate (as a percent) | 1.40% | 3.36% | 1.98% | 3.55% | |
Total interest expense | $ 999,000 | $ 2,304,000 | $ 3,870,000 | $ 7,034,000 | |
Carrying value: | |||||
Unpaid principal balance of mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 535,378,000 | 535,378,000 | 497,948,000 | ||
Unamortized debt issuance costs | (315,000) | (315,000) | |||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 535,063,000 | $ 535,063,000 | $ 497,948,000 | ||
Weighted average interest rate (as a percent) | 1.40% | 1.40% | 3.05% | ||
Fair value of loans pledged to secure | $ 558,023,000 | $ 558,023,000 | $ 523,349,000 | ||
Amortization of debt issuance costs | 172,000 | 135,000 | 490,000 | 405,000 | |
Maximum | Mortgage Loan Participation and Sale Agreement member | |||||
Carrying value: | |||||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 538,074,000 | $ 524,095,000 | $ 540,977,000 | $ 548,038,000 |
Borrowings - Obligations Under
Borrowings - Obligations Under Capital Lease (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | |
Leases | |||||
Average balance | $ 15,179 | $ 25,812 | $ 17,253 | $ 13,380 | |
Weighted average interest rate | 2.16% | 4.47% | 2.69% | 4.48% | |
Total interest expense | $ 83 | $ 274 | $ 354 | $ 476 | |
Unpaid principal balance | $ 13,957 | $ 13,957 | $ 20,810 | ||
Weighted average interest rate | 2.15% | 2.15% | 3.74% | ||
Furniture, fixtures, equipment and building improvements pledged to creditors | $ 6,088 | $ 6,088 | $ 20,406 | ||
Capitalized software pledged to creditors | 8,862 | 8,862 | $ 12,192 | ||
Maximum | |||||
Leases | |||||
Maximum daily amount outstanding | $ 16,749 | $ 28,295 | $ 20,810 | $ 28,295 |
Borrowings - Note Payable (Deta
Borrowings - Note Payable (Details) - USD ($) | Sep. 29, 2020 | Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | Nov. 01, 2018 | Feb. 01, 2018 |
During the period: | ||||||||
Total interest expense | $ 10,738,000 | $ 17,525,000 | $ 37,668,000 | $ 53,559,000 | ||||
Carrying value: | ||||||||
Notes payable | 1,295,143,000 | 1,295,143,000 | $ 1,294,070,000 | |||||
Unused amount | 2,957,954,000 | 2,957,954,000 | 908,320,000 | |||||
Notes payable | ||||||||
Maximum loan amount | 1,300,000,000 | 1,300,000,000 | ||||||
Cash pledged to creditors | 52,599,000 | |||||||
Note Payable | ||||||||
During the period: | ||||||||
Average balance | $ 1,300,000,000 | $ 1,300,000,000 | $ 1,300,000,000 | $ 1,300,000,000 | ||||
Weighted-average interest rate (as a percent) | 2.99% | 5.11% | 3.57% | 5.21% | ||||
Total interest expense | $ 10,177,000 | $ 17,044,000 | $ 36,131,000 | $ 52,118,000 | ||||
Maximum daily amount outstanding | 1,300,000,000 | 1,300,000,000 | 1,300,000,000 | 1,300,000,000 | ||||
Carrying value: | ||||||||
Unpaid principal balance | 1,300,000,000 | 1,300,000,000 | 1,300,000,000 | |||||
Unamortized debt issuance costs | (4,857,000) | (4,857,000) | (5,930,000) | |||||
Notes payable | $ 1,295,143,000 | $ 1,295,143,000 | $ 1,294,070,000 | |||||
Weighted-average interest rate (as a percent) | 2.93% | 2.93% | 4.46% | |||||
Amortization of Financing Costs | $ 459,000 | 445,000 | $ 1,400,000 | 1,300,000 | ||||
Note Payable | Revolving credit agreement | ||||||||
Short-term debt | ||||||||
Maximum loan amount | $ 150,000,000 | |||||||
Carrying value: | ||||||||
Amortization of Financing Costs | 561,000 | $ 481,000 | 1,500,000 | $ 1,400,000 | ||||
Notes payable | ||||||||
Cash pledged to creditors | $ 52,600,000 | |||||||
Increase in loan amount | 0 | 0 | ||||||
Note Payable | Credit Suisse AG | ||||||||
Short-term debt | ||||||||
Maximum loan amount | $ 600,000,000 | |||||||
Note Payable | Mortgage servicing rights | ||||||||
Carrying value: | ||||||||
Assets pledged to secure | 2,213,344,000 | 2,213,344,000 | 2,861,442,000 | |||||
Notes payable | ||||||||
Increase in loan amount | 0 | 0 | ||||||
Note Payable | Servicing advances | ||||||||
Carrying value: | ||||||||
Assets pledged to secure | 232,519,000 | 232,519,000 | $ 207,460,000 | |||||
Note Payable | Deposits | ||||||||
Carrying value: | ||||||||
Assets pledged to secure | 192,597,000 | $ 192,597,000 | ||||||
Notes Payable Term Loan 2018-GT1 | ||||||||
Notes payable | ||||||||
Debt instrument option to extend period | 2 years | |||||||
Notes Payable Term Loan 2018-GT1 | LIBOR | ||||||||
Notes payable | ||||||||
Maximum loan amount | 650,000,000 | $ 650,000,000 | ||||||
Interest rate spread | 2.85% | |||||||
Notes Payable Term Loan 2018-GT2 | ||||||||
Notes payable | ||||||||
Debt instrument option to extend period | 2 years | |||||||
Notes Payable Term Loan 2018-GT2 | LIBOR | ||||||||
Notes payable | ||||||||
Maximum loan amount | $ 650,000,000 | $ 650,000,000 | ||||||
Interest rate spread | 2.65% | |||||||
Unsecured Senior Note | ||||||||
Notes payable | ||||||||
Maximum loan amount | $ 500,000,000 | |||||||
Stated interest rate (as a percent) | 5.375% | |||||||
Unsecured Senior Note | Before October 15, 2022 | ||||||||
Notes payable | ||||||||
Redemption rate (as a percent) | 100.00% | |||||||
Unsecured Senior Note | Before October 15, 2022 with up to 40% principal redeemed | ||||||||
Notes payable | ||||||||
Redemption rate (as a percent) | 105.375% | |||||||
Unsecured Senior Note | Change of Control | ||||||||
Notes payable | ||||||||
Redemption rate (as a percent) | 101.00% | |||||||
Unsecured Senior Note | Maximum | Before October 15, 2022 with up to 40% principal redeemed | ||||||||
Notes payable | ||||||||
Aggregate principal amount of notes that can be redeemed | $ 40 |
Liability for Losses Under Re_3
Liability for Losses Under Representations and Warranties (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
During the year: | ||||
Balance at beginning of period | $ 25,909 | $ 18,709 | $ 21,446 | $ 21,155 |
Provision for losses on loans sold resulting from sales of loans | 5,219 | 2,508 | 13,120 | 5,222 |
Provision for losses on loans sold reduction in liability due to change in estimate | (2,473) | (1,175) | (5,419) | (6,305) |
Losses incurred, net | (151) | (74) | (643) | (104) |
Balance at end of period | 28,504 | 19,968 | 28,504 | 19,968 |
Unpaid principal balance of loans subject to representations and warranties at end of year | $ 199,194,983 | $ 166,541,153 | $ 199,194,983 | $ 166,541,153 |
Income Taxes - General (Details
Income Taxes - General (Details) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 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) | 26.50% | 26.90% | 26.40% | 26.30% |
Commitments and Contingencies -
Commitments and Contingencies - Other (Details) - USD ($) $ in Thousands | Oct. 24, 2018 | Sep. 30, 2020 |
Contingencies | ||
Total commitments to purchase and fund mortgage loans | $ 18,900,000 | |
Garfield Action | Settled Litigation | ||
Contingencies | ||
Percent of shareholder approval for reorganization of the company (as a percent) | 99.80% | |
Litigation settlement amount | $ 6,850 |
Stockholders' Equity (Details)
Stockholders' Equity (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | 40 Months Ended | |||
Sep. 30, 2020 | Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Jun. 30, 2020 | Jun. 30, 2017 | |
Stockholders' Equity | ||||||
Cost of shares of common stock repurchased | $ 6,927 | $ 248,210 | $ 1,056 | |||
Common Stock | ||||||
Stockholders' Equity | ||||||
Authorized stock repurchase shares | 6,975,323 | |||||
Share Price | $ 34 | |||||
Authorized stock repurchase amount | $ 500,000 | $ 50,000 | ||||
Shares of common stock repurchased | 118,000 | 7,331,000 | 51,000 | 8,147,000 | ||
Cost of shares of common stock repurchased | $ 6,927 | $ 248,210 | $ 1,056 | $ 263,158 |
Net Gains on Loans Held for S_3
Net Gains on Loans Held for Sale (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Cash loss: | ||||
Loans | $ 605,559 | $ (22,838) | $ 1,219,732 | $ (77,659) |
Hedging activities | (72,268) | (148,128) | (421,947) | (230,200) |
Cash gain (loss), net of effects of cash hedging, on sale of loans held for sale | 533,291 | (170,966) | 797,785 | (307,859) |
Non-cash gain: | ||||
Mortgage servicing rights and mortgage servicing liabilities resulting from loan sales | 245,946 | 227,256 | 747,219 | 518,706 |
Provision for losses relating to representations and warranties on loans sold pursuant to loan sales | (5,219) | (2,508) | (13,120) | (5,222) |
Provision for losses relating to representations and warranties on loans sold reduction in liability due to change in estimate | 2,473 | 1,175 | 5,419 | 6,305 |
Change in fair value of loans and derivatives held at period end: | ||||
Interest rate lock commitments | 173,381 | 33,347 | 404,795 | 95,785 |
Loans | (79,776) | (5,822) | (140,878) | (35,508) |
Hedging derivatives | (5,052) | 92,588 | 17,955 | 72,838 |
From non-affiliates | 865,044 | 175,070 | 1,819,175 | 345,045 |
Recapture payable to PennyMac Mortgage Investment Trust | (9,775) | 60,662 | 62,549 | 122,996 |
Net gains on loans held for sale at fair value | $ 855,269 | $ 235,732 | $ 1,881,724 | $ 468,041 |
Net Interest Income (Details)
Net Interest Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Interest income: | ||||
Cash and short-term investments | $ 1,259 | $ 2,894 | $ 4,863 | $ 7,533 |
Loans held for sale at fair value | 41,854 | 35,800 | 120,866 | 101,509 |
Placement fees relating to custodial funds | 9,163 | 43,231 | 44,419 | 98,628 |
Interest income, excluding related parties | 52,276 | 81,925 | 170,148 | 207,670 |
Interest income | 52,952 | 83,452 | 172,834 | 212,685 |
Interest expense: | ||||
Assets sold under agreements to repurchase | 27,322 | 19,429 | 70,493 | 47,709 |
Mortgage loan participation purchase and sale agreements | 999 | 2,304 | 3,870 | 7,034 |
Obligations under capital lease | 83 | 274 | 354 | 476 |
Notes payable | 10,738 | 17,525 | 37,668 | 53,559 |
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations | 20,711 | 12,453 | 54,536 | 24,978 |
Interest on mortgage loan impound deposits | 1,256 | 2,104 | 4,561 | 4,967 |
Interest expense, non-affiliates | 61,109 | 54,089 | 171,482 | 138,723 |
Interest expense | 63,179 | 56,380 | 177,898 | 146,847 |
Net interest (expense) income | (10,227) | 27,072 | (5,064) | 65,838 |
PMT | ||||
Interest income: | ||||
From PennyMac Mortgage Investment Trust | 676 | 1,527 | 2,686 | 5,015 |
Interest expense: | ||||
To PennyMac Mortgage Investment Trust Excess servicing spread financing at fair value | 2,070 | 2,291 | 6,416 | 8,124 |
Assets sold under agreements to repurchase | ||||
Interest expense: | ||||
Assets sold under agreements to repurchase | $ 27,322 | 19,429 | $ 70,493 | 47,709 |
Incentives recorded | $ 1,600 | $ 14,700 |
Stock-based Compensation - Othe
Stock-based Compensation - Other (Details) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020USD ($)itemshares | Sep. 30, 2019USD ($)shares | Sep. 30, 2020USD ($)itemshares | Sep. 30, 2019USD ($)shares | |
Stock-Based Compensation | ||||
Number of stock based compensation plans | item | 1 | 1 | ||
Grant date fair value | $ | $ 102 | $ 28,381 | $ 25,865 | |
Stock-based compensation expense | $ | $ 7,095 | $ 8,941 | $ 26,220 | $ 19,124 |
Stock Options | ||||
Stock-Based Compensation | ||||
Granted (in units) | 273 | 344 | ||
Grant date fair value | $ | $ 2,770 | $ 2,965 | ||
Exercised (in units) | 152 | 127 | 476 | 245 |
Performance-based RSUs | ||||
Stock-Based Compensation | ||||
Granted (in units) | 422 | 665 | ||
Grant date fair value | $ | $ 14,788 | $ 15,253 | ||
Vested (in units) | 603 | 648 | ||
Time-based RSUs | ||||
Stock-Based Compensation | ||||
Granted (in units) | 4 | 310 | 334 | |
Grant date fair value | $ | $ 102 | $ 10,823 | $ 7,647 | |
Vested (in units) | 7 | 3 | 355 | 294 |
Earnings Per Share of Common _3
Earnings Per Share of Common Stock (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Basic earnings per share of common stock: | ||||
Net income attributable to common stockholders | $ 535,160 | $ 121,473 | $ 1,194,080 | $ 240,304 |
Weighted-average common stock outstanding (in shares) | 72,439 | 78,361 | 76,292 | 78,119 |
Basic earnings per share of common stock (in dollars per share) | $ 7.39 | $ 1.55 | $ 15.65 | $ 3.08 |
Diluted earnings per share of common stock: | ||||
Net income attributable to common stockholders | $ 535,160 | $ 121,473 | $ 1,194,080 | $ 240,304 |
Weighted-average common stock outstanding applicable to basic earnings per share (in shares) | 72,439 | 78,361 | 76,292 | 78,119 |
Effect of dilutive shares: | ||||
Common shares issuable under stock-based compensation plans (in shares) | 3,699 | 2,021 | 3,326 | 1,702 |
Weighted-average shares of common stock applicable to diluted earnings per share (in shares) | 76,138 | 80,382 | 79,618 | 79,821 |
Diluted earnings per share of common stock (in dollars per share) | $ 7.03 | $ 1.51 | $ 15 | $ 3.01 |
Total anti-dilutive shares and units (in shares) | 1,723 | 552 | 1,873 | |
Performance-based RSUs | ||||
Effect of dilutive shares: | ||||
Total anti-dilutive shares and units (in shares) | 1,157 | 335 | 985 | |
Stock Options | ||||
Effect of dilutive shares: | ||||
Total anti-dilutive shares and units (in shares) | 566 | 217 | 888 | |
Weighted-average exercise price of anti-dilutive stock options (in dollars per share) | $ 23.50 | $ 35.03 | $ 23.98 |
Supplemental Cash Flow Inform_3
Supplemental Cash Flow Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Cash paid for interest | $ 184,087 | $ 125,987 | ||
Cash paid (refunds received) for income taxes, net | 260,723 | 5,761 | ||
Non-cash investing activity: | ||||
Mortgage servicing rights resulting from loan sales | 753,795 | 545,839 | ||
Mortgage servicing liabilities resulting from loan sales | 6,576 | 27,133 | ||
Operating right-of-use assets recognized | $ 1,721 | $ 1,929 | 8,219 | 60,642 |
Non-cash financing activity: | ||||
Issuance of Excess servicing spread payable to PennyMac Mortgage Investment Trust pursuant to a recapture agreement | 1,393 | 1,327 | ||
Issuance of common stock in settlement of director fees | $ 48 | $ 48 | $ 144 | $ 184 |
Regulatory Capital and Liquid_3
Regulatory Capital and Liquidity Requirements (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Jan. 31, 2020 | Sep. 30, 2020 | Dec. 31, 2015 | Dec. 31, 2019 |
Fannie Mae / Freddie Mac - PLS | |||||
Regulatory Net Worth and Agency Capital Requirements | |||||
Net worth | $ 3,841,356 | $ 2,247,751 | |||
Capital Requirement | 616,001 | 585,674 | |||
Liquidity | 607,064 | 257,794 | |||
Liquidity requirement | $ 82,828 | $ 79,991 | |||
Tangible net worth / Total assets ratio actual | 12.00% | 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 | $ 3,139,830 | $ 1,907,398 | |||
FHFA net worth requirement spread | 0.35% | ||||
FHFA liquidity spread of UPB serviced | 0.10% | ||||
Capital Requirement | 980,469 | 910,456 | |||
Liquidity | 607,064 | 257,794 | |||
Liquidity requirement | $ 217,648 | $ 216,119 | |||
Adjusted net worth / Total assets ratio actual | 10.00% | 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 | 3,139,830 | $ 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% | 0.035% | |||
FHFA additional liquidity spread of UPB in excess of set percent | 2.00% | 3.00% | 2.00% | ||
FHFA additional liquidity spread of UPB excluded | 70.00% | ||||
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 | 9 Months Ended | |||
Sep. 30, 2020USD ($) | Sep. 30, 2019USD ($) | Sep. 30, 2020USD ($)segment | Sep. 30, 2019USD ($) | Dec. 31, 2019USD ($) | |
Segments and Related Information | |||||
Number of segments | segment | 3 | ||||
Revenues: | |||||
Net gains on loans held for sale at fair value | $ 855,269 | $ 235,732 | $ 1,881,724 | $ 468,041 | |
Loan origination fees | 75,572 | 49,434 | 192,091 | 110,288 | |
Fulfillment fees from PennyMac Mortgage Investment Trust | 149,594 | 102,313 | |||
Net loan servicing fees | 132,807 | 66,229 | 412,952 | 205,934 | |
Net interest income (expense): | |||||
Interest income | 52,952 | 83,452 | 172,834 | 212,685 | |
Interest expense, before non-segment activities | 63,179 | 56,380 | 177,898 | 146,847 | |
Net interest expense, before non-segment activities | (10,227) | 27,072 | (5,064) | 65,838 | |
Management fees | 8,508 | 10,098 | 25,851 | 26,178 | |
Other | 3,224 | 2,633 | 6,303 | 8,437 | |
Total net revenues, before non-segment activities | 1,119,992 | 436,347 | 2,663,451 | 987,029 | |
Expenses | 391,701 | 270,150 | 1,040,068 | 660,951 | |
Income before provision for income taxes | 728,291 | 166,197 | 1,623,383 | 326,078 | |
Assets: | |||||
Segment assets at period end | 31,180,865 | 31,180,865 | $ 10,204,017 | ||
PMT | |||||
Revenues: | |||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 54,839 | 45,149 | 149,594 | 102,313 | |
Net interest income (expense): | |||||
Management fees | 8,508 | 10,098 | $ 25,851 | 26,178 | |
Mortgage banking | |||||
Segments and Related Information | |||||
Number of segments | segment | 2 | ||||
Operating segment | |||||
Assets: | |||||
Segment assets at period end | 31,180,865 | 9,303,199 | $ 31,180,865 | 9,303,199 | |
Operating segment | Investment management | |||||
Net interest income (expense): | |||||
Interest expense, before non-segment activities | 4 | 21 | 18 | 39 | |
Net interest expense, before non-segment activities | (4) | (21) | (18) | (39) | |
Management fees | 8,508 | 10,098 | 25,851 | 26,178 | |
Other | 1,290 | 1,742 | 4,347 | 4,844 | |
Total net revenues, before non-segment activities | 9,794 | 11,819 | 30,180 | 30,983 | |
Expenses | 6,477 | 6,792 | 18,395 | 19,815 | |
Income before provision for income taxes | 3,317 | 5,027 | 11,785 | 11,168 | |
Assets: | |||||
Segment assets at period end | 17,917 | 19,281 | 17,917 | 19,281 | |
Operating segment | Mortgage banking | |||||
Revenues: | |||||
Net gains on loans held for sale at fair value | 855,269 | 235,732 | 1,881,724 | 468,041 | |
Loan origination fees | 75,572 | 49,434 | 192,091 | 110,288 | |
Fulfillment fees from PennyMac Mortgage Investment Trust | 149,594 | 102,313 | |||
Net loan servicing fees | 132,807 | 66,229 | 412,952 | 205,934 | |
Net interest income (expense): | |||||
Interest income | 52,952 | 83,452 | 172,834 | 212,685 | |
Interest expense, before non-segment activities | 63,175 | 56,359 | 177,880 | 146,808 | |
Net interest expense, before non-segment activities | (10,223) | 27,093 | (5,046) | 65,877 | |
Other | 1,934 | 891 | 1,956 | 3,593 | |
Total net revenues, before non-segment activities | 1,110,198 | 424,528 | 2,633,271 | 956,046 | |
Expenses | 385,224 | 263,358 | 1,021,673 | 641,136 | |
Income before provision for income taxes | 724,974 | 161,170 | 1,611,598 | 314,910 | |
Assets: | |||||
Segment assets at period end | 31,162,948 | 9,283,918 | 31,162,948 | 9,283,918 | |
Operating segment | Mortgage banking | PMT | |||||
Revenues: | |||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 54,839 | 45,149 | |||
Operating segment | Mortgage banking Production | |||||
Revenues: | |||||
Net gains on loans held for sale at fair value | 700,830 | 216,132 | 1,637,193 | 407,713 | |
Loan origination fees | 75,572 | 49,434 | 192,091 | 110,288 | |
Fulfillment fees from PennyMac Mortgage Investment Trust | 149,594 | 102,313 | |||
Net interest income (expense): | |||||
Interest income | 26,050 | 22,445 | 71,840 | 55,714 | |
Interest expense, before non-segment activities | 18,325 | 18,423 | 51,124 | 36,236 | |
Net interest expense, before non-segment activities | 7,725 | 4,022 | 20,716 | 19,478 | |
Other | 132 | 324 | 483 | 929 | |
Total net revenues, before non-segment activities | 839,098 | 315,061 | 2,000,077 | 640,721 | |
Expenses | 225,817 | 135,777 | 608,602 | 316,187 | |
Income before provision for income taxes | 613,281 | 179,284 | 1,391,475 | 324,534 | |
Assets: | |||||
Segment assets at period end | 7,319,838 | 4,850,741 | 7,319,838 | 4,850,741 | |
Operating segment | Mortgage banking Production | PMT | |||||
Revenues: | |||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 54,839 | 45,149 | |||
Operating segment | Mortgage banking Servicing | |||||
Revenues: | |||||
Net gains on loans held for sale at fair value | 154,439 | 19,600 | 244,531 | 60,328 | |
Net loan servicing fees | 132,807 | 66,229 | 412,952 | 205,934 | |
Net interest income (expense): | |||||
Interest income | 26,902 | 61,007 | 100,994 | 156,971 | |
Interest expense, before non-segment activities | 44,850 | 37,936 | 126,756 | 110,572 | |
Net interest expense, before non-segment activities | (17,948) | 23,071 | (25,762) | 46,399 | |
Other | 1,802 | 567 | 1,473 | 2,664 | |
Total net revenues, before non-segment activities | 271,100 | 109,467 | 633,194 | 315,325 | |
Expenses | 159,407 | 127,581 | 413,071 | 324,949 | |
Income before provision for income taxes | 111,693 | (18,114) | 220,123 | (9,624) | |
Assets: | |||||
Segment assets at period end | $ 23,843,110 | $ 4,433,177 | $ 23,843,110 | $ 4,433,177 |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) $ / shares in Units, $ in Thousands | Oct. 19, 2020 | Sep. 30, 2020 | Nov. 05, 2020 |
Subsequent Event | |||
Issuance of unsecured senior notes | $ 500,000 | ||
Subsequent Event | |||
Subsequent Event | |||
Dividends declared (in dollars per share) | $ 0.15 | ||
Issuance of unsecured senior notes | $ 150,000 |