Document and Entity Information
Document and Entity Information - USD ($) | 12 Months Ended | ||
Dec. 31, 2022 | Feb. 22, 2023 | Jun. 30, 2022 | |
Document And Entity Information [Line Items] | |||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Period End Date | Dec. 31, 2022 | ||
Document Fiscal Year Focus | 2022 | ||
Document Fiscal Period Focus | FY | ||
Entity Registrant Name | PennyMac Mortgage Investment Trust | ||
Entity Central Index Key | 0001464423 | ||
Entity Current Reporting Status | Yes | ||
Entity Voluntary Filers | No | ||
Entity Interactive Data Current | Yes | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Filer Category | Large Accelerated Filer | ||
Entity Well-known Seasoned Issuer | Yes | ||
Entity Public Float | $ 1,249,688,052 | ||
Entity Common Stock, Shares Outstanding | 88,892,107 | ||
Entity Shell Company | false | ||
Entity Small Business | false | ||
Entity Emerging Growth Company | false | ||
ICFR Auditor Attestation Flag | true | ||
Entity File Number | 001-34416 | ||
Entity Incorporation, State or Country Code | MD | ||
Entity Tax Identification Number | 27-0186273 | ||
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 | ||
Document Annual Report | true | ||
Document Transition Report | false | ||
Auditor Name | Deloitte & Touche LLP | ||
Auditor Firm ID | 34 | ||
Auditor Location | Los Angeles, California | ||
Documents Incorporated by Reference | Documents Incorporated By Reference Document Parts Into Which Incorporated Definitive Proxy Statement for 2023 Annual Meeting of Shareholders Part III | ||
8.125% Series A Preferred Stock [Member] | |||
Document And Entity Information [Line Items] | |||
Title of 12(b) Security | 8.125% Series A Cumulative Redeemable Preferred Shares of Beneficial Interest, $0.01 Par Value | ||
Trading Symbol | PMT/PA | ||
Security Exchange Name | NYSE | ||
8.00% Series B Preferred Stock [Member] | |||
Document And Entity Information [Line Items] | |||
Title of 12(b) Security | 8.00% Series B Cumulative Redeemable Preferred Shares of Beneficial Interest, $0.01 Par Value | ||
Trading Symbol | PMT/PB | ||
Security Exchange Name | NYSE | ||
6.75% Series C Preferred Stock [Member] | |||
Document And Entity Information [Line Items] | |||
Title of 12(b) Security | 6.75% Series C Cumulative Redeemable Preferred Shares of Beneficial Interest, $0.01 Par Value | ||
Trading Symbol | PMT/PC | ||
Security Exchange Name | NYSE | ||
Common Stock [Member] | |||
Document And Entity Information [Line Items] | |||
Title of 12(b) Security | Common Shares of Beneficial Interest, $0.01 Par Value | ||
Trading Symbol | PMT | ||
Security Exchange Name | NYSE |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
ASSETS | ||
Cash | $ 111,866 | $ 58,983 |
Short-term investments at fair value | 252,271 | 167,999 |
Mortgage-backed securities at fair value pledged to creditors | 4,462,601 | 2,666,768 |
Loans acquired for sale at fair value ($1,801,368 and $4,059,479 pledged to creditors, respectively) | 1,821,933 | 4,171,025 |
Loans at fair value ($1,510,148 and $1,564,924 pledged to creditors, respectively) | 1,513,399 | 1,568,726 |
Derivative assets ($1,262 and $19,627 pledged to creditors, respectively) | 84,940 | 34,238 |
Derivative assets at fair value | 62,811 | 45,346 |
Deposits securing credit risk transfer arrangements pledged to creditors | 1,325,294 | 1,704,911 |
Mortgage servicing rights at fair value ($3,962,820 and $2,863,544 pledged to creditors, respectively) | 4,012,737 | 2,892,855 |
Servicing advances ($100,888 and $93,455 pledged to creditors, respectively) | 197,972 | 204,951 |
Other ($3,297 and $7,293 pledged to creditors, respectively) | 134,991 | 286,299 |
Total assets | 13,921,564 | 13,772,708 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 6,616,528 | 6,671,890 |
Mortgage loan participation purchase and sale agreements | 0 | 49,988 |
Notes payable secured by credit risk transfer and mortgage servicing assets | 2,804,028 | 2,471,961 |
Exchangeable senior notes | 546,254 | 502,459 |
Asset-backed financing of variable interest entities at fair value | 1,414,955 | 1,469,999 |
Interest-only security payable at fair value | 21,925 | 10,593 |
Derivative and credit risk transfer strip liabilities at fair value | 167,226 | 42,206 |
Accounts payable and accrued liabilities | 160,212 | 96,156 |
Income taxes payable | 151,778 | 9,598 |
Liability for losses under representations and warranties | 39,471 | 40,249 |
Total liabilities | 11,958,749 | 11,405,190 |
Commitments and contingencies ─ Note 17 | ||
SHAREHOLDERS’ EQUITY | ||
Preferred shares of beneficial interest, $0.01 par value per share, authorized 100,000,000 shares, issued and outstanding 22,400,000, liquidation preference $560,000,000 | 541,482 | 541,482 |
Common shares of beneficial interest—authorized, 500,000,000 common shares of $0.01 par value; issued and outstanding, 88,888,889 and 94,897,255 common shares, respectively | 889 | 949 |
Additional paid-in capital | 1,947,266 | 2,081,757 |
Accumulated deficit | (526,822) | (256,670) |
Total shareholders’ equity | 1,962,815 | 2,367,518 |
Total liabilities and shareholders’ equity | 13,921,564 | 13,772,708 |
Variable Interest Entities [Member] | ||
ASSETS | ||
Loans at fair value ($1,510,148 and $1,564,924 pledged to creditors, respectively) | 1,509,942 | 1,564,565 |
Derivative assets at fair value | 1,262 | 19,627 |
Deposits securing credit risk transfer arrangements pledged to creditors | 1,325,294 | 1,704,911 |
Other interest receivable | 4,343 | 3,701 |
Total assets | 2,840,841 | 3,292,804 |
LIABILITIES | ||
Asset-backed financing of variable interest entities at fair value | 1,414,955 | 1,469,999 |
Interest-only security payable at fair value | 21,925 | 10,593 |
Derivative and credit risk transfer strip liabilities at fair value | 160,553 | 27,500 |
Accounts payable and accrued liabilities interest payable | 4,343 | 3,701 |
Total liabilities | 1,601,776 | 1,511,793 |
PennyMac Financial Services, Inc. [Member] | ||
ASSETS | ||
Due from PennyMac Financial Services, Inc. | 3,560 | 15,953 |
LIABILITIES | ||
Due to PennyMac Financial Services, Inc. | $ 36,372 | $ 40,091 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Loans acquired for sale at fair value, pledged to creditors | $ 1,801,368 | $ 4,059,479 |
Loans at fair value, pledged to creditors | 1,510,148 | 1,564,924 |
Derivative assets, pledged to creditors | 1,262 | 19,627 |
Mortgage servicing rights pledged to creditors | 3,962,820 | 2,863,544 |
Servicing Advances pledged to creditors | $ 100,888 | $ 93,455 |
Preferred stock, par value | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized | 100,000,000 | 100,000,000 |
Preferred stock, shares issued | 22,400,000 | 22,400,000 |
Preferred stock, shares outstanding | 22,400,000 | 22,400,000 |
Preferred stock, liquidation preference, value | $ 560,000 | $ 560,000 |
Common shares, authorized | 500,000,000 | 500,000,000 |
Common shares, par value | $ 0.01 | $ 0.01 |
Common shares, issued | 88,888,889 | 94,897,255 |
Common shares, outstanding | 88,888,889 | 94,897,255 |
Real Estate Acquired in Satisfaction of Debt [Member] | ||
Other, pledged to creditors | $ 3,297 | $ 7,293 |
Consolidated Statements of Oper
Consolidated Statements of Operations - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Net investment income | |||
Contractually specified | $ 625,210 | $ 526,245 | $ 406,060 |
Other | 26,041 | 69,101 | 56,457 |
Net mortgage loan servicing fees | 651,251 | 595,346 | 462,517 |
Change in fair value of mortgage servicing rights | 449,435 | (337,186) | (938,937) |
Mortgage servicing rights hedging results | (204,879) | (345,041) | 601,743 |
Net servicing fees from non-affiliates | 909,551 | (36,022) | 153,696 |
Net gains (losses) on investments and financings | (658,787) | 304,079 | (170,885) |
Net gains on loans acquired for sale: | 25,692 | 87,273 | 379,922 |
Loan origination fees | 52,085 | 170,672 | 147,272 |
Interest income | 383,794 | 195,239 | 222,135 |
Interest expense | 410,420 | 304,737 | 270,770 |
Net interest expense | (26,626) | (109,498) | (48,635) |
Results of real estate acquired in settlement of loans | 496 | 3,075 | 5,465 |
Other | 1,360 | 718 | 2,516 |
Net investment income | 303,771 | 420,297 | 469,351 |
Expenses | |||
Management fees | 31,065 | 37,801 | 34,538 |
Loan origination | 12,036 | 28,792 | 26,437 |
Professional services | 9,569 | 11,148 | 6,405 |
Safekeeping | 8,201 | 9,087 | 7,090 |
Compensation | 5,941 | 4,000 | 3,890 |
Loan collection and liquidation | 5,396 | 11,279 | 10,363 |
Other | 18,570 | 13,944 | 11,517 |
Total expenses | 240,684 | 375,636 | 389,621 |
Income before provision for (benefit from) income taxes | 63,087 | 44,661 | 79,730 |
Provision for (benefit from) income taxes | 136,374 | (12,193) | 27,357 |
Net (loss) income | (73,287) | 56,854 | 52,373 |
Dividends on preferred shares | 41,819 | 30,891 | 24,938 |
Net (loss) income attributable to common shareholders | $ (115,106) | $ 25,963 | $ 27,435 |
(Loss) earnings per common share | |||
Basic | $ (1.26) | $ 0.26 | $ 0.27 |
Diluted | $ (1.26) | $ 0.26 | $ 0.27 |
Weighted average common shares outstanding | |||
Basic | 91,434 | 97,402 | 99,373 |
Diluted | 91,434 | 97,402 | 99,373 |
Nonaffiliates [Member] | |||
Net investment income | |||
Other | $ 26,041 | $ 69,101 | $ 56,457 |
Net servicing fees from non-affiliates | 895,807 | (86,881) | 125,323 |
Net gains (losses) on investments and financings | (658,787) | 302,428 | (148,156) |
Net gains on loans acquired for sale: | 20,724 | 80,801 | 368,885 |
Interest income | 383,794 | 193,959 | 213,717 |
Interest expense | 410,420 | 304,350 | 267,445 |
PennyMac Financial Services, Inc. [Member] | |||
Net investment income | |||
From PennyMac Financial Services, Inc. | 13,744 | 50,859 | 28,373 |
Net gains (losses) on investments and financings | 0 | 1,651 | (22,729) |
Net gains on loans acquired for sale: | 4,968 | 6,472 | 11,037 |
Interest income | 0 | 1,280 | 8,418 |
Interest expense | 0 | 387 | 3,325 |
Expenses | |||
Loan servicing fees | 81,915 | 80,658 | 67,181 |
Loan fulfillment fees | 67,991 | 178,927 | 222,200 |
Management fees | $ 31,065 | $ 37,801 | $ 34,538 |
Consolidated Statements of Chan
Consolidated Statements of Changes in Shareholders' Equity - USD ($) shares in Thousands, $ in Thousands | Total | Cumulative Effect, Period of Adoption, Adjustment [Member] | Cumulative Effect, Period of Adoption, Adjusted Balance [Member] | Preferred Shares [Member] | Preferred Shares [Member] Cumulative Effect, Period of Adoption, Adjustment [Member] | Preferred Shares [Member] Cumulative Effect, Period of Adoption, Adjusted Balance [Member] | Common Shares [Member] | Common Shares [Member] Cumulative Effect, Period of Adoption, Adjustment [Member] | Common Shares [Member] Cumulative Effect, Period of Adoption, Adjusted Balance [Member] | Additional Paid-in Capital [Member] | Additional Paid-in Capital [Member] Cumulative Effect, Period of Adoption, Adjustment [Member] | Additional Paid-in Capital [Member] Cumulative Effect, Period of Adoption, Adjusted Balance [Member] | Retained Earnings (Accumulated Deficit) [Member] | Retained Earnings (Accumulated Deficit) [Member] Cumulative Effect, Period of Adoption, Adjustment [Member] | Retained Earnings (Accumulated Deficit) [Member] Cumulative Effect, Period of Adoption, Adjusted Balance [Member] |
Balance, Amount at Dec. 31, 2019 | $ 2,450,915 | $ 299,707 | $ 1,002 | $ 2,127,889 | $ 22,317 | ||||||||||
Balance, Shares at Dec. 31, 2019 | 12,400 | 100,182 | |||||||||||||
Net income (loss) | 52,373 | $ 0 | $ 0 | 0 | 52,373 | ||||||||||
Share-based compensation, Amount | 665 | 0 | $ 2 | 663 | 0 | ||||||||||
Share-based compensation, Shares | 207 | ||||||||||||||
Issuance of shares | 5,654 | 0 | $ 2 | 5,652 | 0 | ||||||||||
Issuance of shares, Shares | 241 | ||||||||||||||
Issuance cost relating to shares | (57) | 0 | $ 0 | (57) | 0 | ||||||||||
Dividends: | |||||||||||||||
Preferred shares dividends | (24,945) | 0 | 0 | 0 | (24,945) | ||||||||||
Common share dividends | (150,479) | 0 | 0 | 0 | (150,479) | ||||||||||
Repurchase of common shares, Amount | $ (37,267) | $ 0 | $ (27) | (37,240) | 0 | ||||||||||
Repurchase of common shares, Shares | (2,767) | 0 | (2,767) | ||||||||||||
Balance, Amount at Dec. 31, 2020 | $ 2,296,859 | $ 299,707 | $ 979 | 2,096,907 | (100,734) | ||||||||||
Balance, Shares at Dec. 31, 2020 | 12,400 | 97,863 | |||||||||||||
Net income (loss) | 56,854 | $ 0 | $ 0 | 0 | 56,854 | ||||||||||
Share-based compensation, Amount | 1,689 | 0 | $ 1 | 1,688 | 0 | ||||||||||
Share-based compensation, Shares | 133 | ||||||||||||||
Issuance of shares | 250,000 | $ 250,000 | $ 0 | 0 | 0 | ||||||||||
Issuance of shares, Shares | 10,000 | 0 | |||||||||||||
Issuance cost relating to shares | (8,225) | $ (8,225) | $ 0 | 0 | 0 | ||||||||||
Dividends: | |||||||||||||||
Preferred shares dividends | (30,146) | 0 | 0 | 0 | (30,146) | ||||||||||
Common share dividends | (182,644) | 0 | 0 | 0 | (182,644) | ||||||||||
Repurchase of common shares, Amount | $ (56,855) | 0 | $ (31) | (56,824) | 0 | ||||||||||
Repurchase of common shares, Shares | (3,099) | (3,099) | |||||||||||||
Balance, Amount at Dec. 31, 2021 | $ 2,367,518 | $ (40,953) | $ 2,326,565 | $ 541,482 | $ 0 | $ 541,482 | $ 949 | $ 0 | $ 949 | 2,081,757 | $ (50,347) | $ 2,031,410 | (256,670) | $ 9,394 | $ (247,276) |
Balance, Shares at Dec. 31, 2021 | 22,400 | 0 | 22,400 | 94,897 | 0 | 94,897 | |||||||||
Dividends: | |||||||||||||||
Issuance of exchangeable notes with cash conversion option, Amount | 39,986 | $ 0 | $ 0 | 39,986 | 0 | ||||||||||
Issuance of exchangeable notes with cash conversion option, Shares | 0 | ||||||||||||||
Net income (loss) | (73,287) | 0 | $ 0 | 0 | (73,287) | ||||||||||
Share-based compensation, Amount | 3,788 | 0 | $ 1 | 3,787 | 0 | ||||||||||
Share-based compensation, Shares | 86 | ||||||||||||||
Preferred shares dividends | (41,819) | 0 | $ 0 | 0 | (41,819) | ||||||||||
Common share dividends | (164,440) | 0 | 0 | 0 | (164,440) | ||||||||||
Repurchase of common shares, Amount | $ (87,992) | 0 | $ (61) | (87,931) | 0 | ||||||||||
Repurchase of common shares, Shares | (6,094) | (6,094) | |||||||||||||
Balance, Amount at Dec. 31, 2022 | $ 1,962,815 | $ 541,482 | $ 889 | $ 1,947,266 | $ (526,822) | ||||||||||
Balance, Shares at Dec. 31, 2022 | 22,400 | 88,889 |
Consolidated Statements of Ch_2
Consolidated Statements of Changes in Shareholders' Equity (Parenthetical) - $ / shares | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Retained Earnings (Accumulated Deficit) [Member] | |||
Common share dividends declared per share | $ 1.81 | $ 1.88 | $ 1.52 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Cash flows from operating activities | |||
Net (loss) income | $ (73,287) | $ 56,854 | $ 52,373 |
Adjustments to reconcile net (loss) income to net cash provided by (used in) operating activities: | |||
Change in fair value of mortgage servicing rights | (449,435) | 337,186 | 938,937 |
Mortgage servicing rights hedging results | 204,879 | 345,041 | (601,743) |
Net losses (gains) on investments and financings | 658,787 | (304,079) | 170,885 |
Net gains on loans acquired for sale | (25,692) | (87,273) | (379,922) |
Capitalization of interest and fees on loans at fair value | 0 | (251) | 0 |
Accrual of unearned discounts and amortization of purchase premiums on mortgage-backed securities, loans at fair value, and asset-backed financings | (9,815) | 9,803 | 24,712 |
Amortization of debt issuance costs | 16,563 | 27,156 | 18,987 |
Results of real estate acquired in settlement of loans | (496) | (3,075) | (5,465) |
Share-based compensation expense | 4,310 | 2,419 | 2,294 |
Gain on early extinguishment of debt | 0 | 0 | (1,738) |
Purchase of loans acquired for sale from nonaffiliates | (87,844,404) | (181,370,296) | (167,768,999) |
Sale to nonaffiliates and repayment of loans acquired for sale | 39,077,156 | 110,919,477 | 106,306,805 |
Repurchase of loans subject to representation and warranties | (92,294) | (105,627) | (72,493) |
Decrease (increase) in servicing advances | 6,979 | (83,219) | (73,129) |
(Increase) decrease in other assets | (189,551) | (318,237) | 604,211 |
Increase (decrease) in accounts payable and accrued liabilities | 73,162 | (27,320) | 34,836 |
(Decrease) increase in due to PennyMac Financial Services, Inc. | (3,719) | (46,914) | 38,406 |
Settlement of repurchase agreement derivatives | 0 | 0 | 5,328 |
Increase (decrease) in income taxes payable | 142,180 | (13,965) | 21,744 |
Net cash provided by (used in) operating activities | 1,784,471 | (2,819,714) | 671,656 |
Cash flows from investing activities | |||
Net increase in short-term investments | (84,272) | (40,704) | (36,459) |
Purchase of mortgage-backed securities | (3,718,093) | (2,232,923) | (2,332,096) |
Sale and repayment of mortgage-backed securities | 1,358,199 | 1,696,400 | 3,022,336 |
Purchase of subordinate mortgage pass-through security associated with consolidated variable interest entity | 0 | (28,815) | 0 |
Repayment and sale of loans at fair value | 159,647 | 122,260 | 114,553 |
Repurchase of loans at fair value | 0 | 0 | (1,058) |
Settlement and repayment of excess servicing spread receivable from PennyMac Financial Services, Inc. | 0 | 134,624 | 32,377 |
Net settlement of derivative financial instruments | 25,489 | 3,863 | (8,029) |
Settlement of firm commitment to purchase credit risk transfer securities | 0 | 0 | 128,786 |
Deposit of cash securing credit risk transfer arrangements | 0 | 0 | (1,700,000) |
Distribution from credit risk transfer arrangements | 478,388 | 1,300,061 | 871,485 |
Transfer of mortgage servicing rights relating to delinquent loans to Agency | (104) | 0 | 0 |
Sale of mortgage servicing rights | 0 | 0 | 7 |
Sale of real estate acquired in settlement of loans | 7,999 | 17,096 | 43,505 |
(Increase) decrease in margin deposits | (94,727) | 121,151 | (150,774) |
Net cash (used in) provided by investing activities | (1,867,474) | 1,093,013 | (15,367) |
Cash flows from financing activities | |||
Sale of assets under agreements to repurchase | 121,017,757 | 193,729,139 | 190,821,908 |
Repurchase of assets sold under agreements to repurchase | (121,073,659) | (193,372,527) | (191,152,716) |
Issuance of mortgage loan participation purchase and sale agreements | 3,742,870 | 4,172,863 | 5,159,029 |
Repayment of mortgage loan participation purchase and sale agreements | (3,792,858) | (4,139,725) | (5,142,178) |
Issuance of notes payable secured by credit risk transfer and mortgage servicing assets | 944,999 | 2,022,127 | 850,000 |
Repayment of notes payable secured by credit risk transfer and mortgage servicing assets | (611,943) | (1,472,508) | (622,549) |
Issuance of exchangeable senior notes | 0 | 345,000 | 0 |
Repayment of exchangeable senior notes | 0 | 0 | (248,262) |
Issuance of asset-backed financings | 382,423 | 690,550 | 0 |
Repayment of asset-backed financings | (155,654) | (115,137) | (107,333) |
Payment of debt issuance costs | (14,170) | (21,007) | (23,990) |
Payment of dividends to preferred shareholders | (41,819) | (30,146) | (24,945) |
Payment of dividends to common shareholders | (173,546) | (183,973) | (151,580) |
Issuance of preferred shares | 0 | 250,000 | 0 |
Payment of issuance costs | 0 | 0 | (57) |
Payment of vested share-based compensation tax withholdings | (522) | (730) | (1,629) |
Issuance of common shares | 0 | 0 | 5,654 |
Payment of contingent underwriting fees payable related to common shares | 0 | (4) | (76) |
Repurchase of common shares | (87,992) | (56,855) | (37,267) |
Net cash provided by (used in) financing activities | 135,886 | 1,727,980 | (702,641) |
Net increase (decrease) in cash | 52,883 | 1,279 | (46,352) |
Cash at beginning of year | 58,983 | 57,704 | 104,056 |
Cash at end of year | 111,866 | 58,983 | 57,704 |
(Refunds) payments, net: | |||
Income taxes | (5,806) | 1,771 | 5,613 |
Interest | 368,671 | 298,862 | 290,225 |
Non-cash investing activities: | |||
Retention of subordinate mortgage-backed securities in loan securitizations | 23,485 | 42,256 | 0 |
Recognition of loans at fair value resulting from initial consolidation of variable interest entities | 405,908 | 1,542,333 | 0 |
Recombination of MSRs to loans at fair value resulting from initial consolidation of variable interest entity | 0 | 9,824 | 0 |
Transfer of loans and advances to real estate acquired in settlement of loans | 0 | 0 | 1,166 |
Receipt of excess servicing spread pursuant to recapture agreement with PennyMac Financial Services, Inc. | 0 | 557 | 2,093 |
Transfer of firm commitment to purchase CRT securities to investment securities | 0 | 0 | 178,501 |
Receipt of mortgage servicing rights as proceeds from sales of loans | 670,343 | 1,484,629 | 1,158,475 |
Non-cash financing activities: | |||
Recognition of asset-backed financings resulting from initial consolidation of VIEs | 382,423 | 1,471,262 | 0 |
Dividends declared, not paid | 35,658 | 44,764 | 46,093 |
Preferred Shares [Member] | |||
Cash flows from financing activities | |||
Payment of issuance costs | 0 | (8,225) | 0 |
PennyMac Loan Services, LLC [Member] | |||
Adjustments to reconcile net (loss) income to net cash provided by (used in) operating activities: | |||
Accrual of interest on excess servicing spread purchased from PennyMac Financial Services, Inc. | 0 | (1,280) | (8,418) |
Purchase of loans acquired for sale from PennyMac Financial Services, Inc. | (298,862) | 0 | (2,248,896) |
Sale of loans acquired for sale to PennyMac Financial Services, Inc. | 50,575,617 | 67,851,630 | 63,618,185 |
Decrease (increase) in due from PennyMac Financial Services, Inc. | 12,393 | (7,744) | (5,244) |
Cash flows from financing activities | |||
Repurchase of assets sold to PennyMac Financial Services, Inc. under agreement to repurchase | $ 0 | $ (80,862) | $ (26,650) |
Organization
Organization | 12 Months Ended |
Dec. 31, 2022 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Organization | Note 1—Organization PennyMac Mortgage Investment Trust (“PMT” or the “Company”) is a specialty finance company, which, through its subsidiaries (all of which are wholly-owned), invests primarily in residential mortgage-related assets. The Company operates in four segments: credit sensitive strategies, interest rate sensitive strategies, correspondent production, and corporate: • The credit sensitive strategies segment represents the Company’s investments in credit risk transfer (“CRT”) arrangements, including CRT agreements (“CRT Agreements”) and other CRT securities (together, “CRT arrangements”), subordinate mortgage-backed securities (“MBS”), distressed loans and real estate. • The interest rate sensitive strategies segment represents the Company’s investments in mortgage servicing rights (“MSRs”), excess servicing spread (“ESS”) purchased from PennyMac Financial Services, Inc. (“PFSI”), a publicly-traded mortgage banking and investment management company, Agency and senior non-Agency MBS and the related interest rate hedging activities. • The correspondent production segment represents the Company’s operations aimed at serving as an intermediary between lenders and the capital markets by purchasing, pooling and reselling newly originated prime credit quality loans either directly or in the form of MBS, using the services of PNMAC Capital Management, LLC (“PCM”) and PennyMac Loan Services, LLC (“PLS”), both subsidiaries of PFSI. The Company primarily sells the loans it acquires through its correspondent production activities to government-sponsored entities (“GSEs”) such as the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or to PLS for sale into securitizations guaranteed by the Government National Mortgage Association (“Ginnie Mae”). Fannie Mae, Freddie Mac and Ginnie Mae are each referred to as an “Agency” and, collectively, as the “Agencies.” • The corporate segment includes management fees, corporate expense amounts and certain interest income. The Company conducts substantially all of its operations and makes substantially all of its investments through its subsidiary, PennyMac Operating Partnership, L.P. (the “Operating Partnership”), and the Operating Partnership’s subsidiaries. A wholly-owned subsidiary of the Company is the sole general partner, and the Company is the sole limited partner, of the Operating Partnership. The Company believes that it qualifies, and has elected to be taxed, as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended. To maintain its tax status as a REIT, the Company is required to distribute at least 90% of its taxable income in the form of qualifying distributions to shareholders. |
Concentration of Risks
Concentration of Risks | 12 Months Ended |
Dec. 31, 2022 | |
Risks And Uncertainties [Abstract] | |
Concentration of Risks | Note 2—Concentration of Risks As discussed in Note 1 – Organization Credit Risk Note 6 – Variable Interest Entities • through May 2018, entering into CRT Agreements, whereby it retained a portion of the credit risk underlying such loans as part of the retention of an interest-only (“IO”) ownership interest in such loans and an obligation to absorb scheduled credit losses arising from such loans reaching a specific number of days delinquent; or • from June 2018 through 2020, entering into firm commitments to purchase and purchasing CRT securities and, upon purchase of such securities, holding CRT strips representing an IO ownership interest that absorbs realized credit losses arising from such loans. The obligation to absorb the losses for both CRT Agreements and CRT securities represents the Company’s recourse obligations relating to the CRT arrangements (“Recourse Obligations”). The Company also invests in subordinate MBS which are among the first beneficial interests in those securitizations to absorb credit losses on the underlying loans. The Company’s retention of credit risk through its investment in CRT arrangements and subordinate MBS subjects it to risks associated with delinquency and foreclosure similar to the risks of loss associated with owning the underlying loans, which is greater than the risk of loss associated with selling such loans to the GSEs or other entities without the retention of such credit risk. CRT Agreements are structured such that loans that reach a specific number of days delinquent (including loans in forbearance which also includes those subject to the forbearance provided in the Coronavirus Aid, Relief, and Economic Security Act (“CARES Act”)) trigger losses chargeable to the CRT Agreements based on the size of the loan and a contractual schedule of loss severity. Therefore, the risks associated with delinquency and foreclosure may in some instances be greater than the risks associated with owning the related loans because the structure of the CRT Agreements provides that the Company may be required to absorb losses in the event of delinquency or foreclosure even when there is ultimately no loss realized with respect to such loans (e.g., as a result of a borrower’s re-performance). In contrast, the structure of the Company’s investment in other CRT securities requires PMT to absorb losses only when the reference loans realize actual losses. Fair Value Risk The Company is exposed to fair value risk in addition to the risks specific to credit and, as a result of prevailing market conditions or the economy generally, may be required to recognize losses associated with adverse changes to the fair value of its investments in MSRs, CRT arrangements, and MBS: • MSRs are generally subject to loss in fair value when prepayment speeds increase as a result of decreasing mortgage interest rates, when estimates of cost to service the underlying loans increase or when the returns demanded by market participants increase; • The fair value of CRT arrangements and subordinate MBS is sensitive to market perceptions of future credit performance of the underlying loans as well as the actual credit performance of such loans and to the returns required by market participants to hold such investments; and • The fair value of Agency and senior non-Agency MBS is sensitive to changes in market interest rates. |
Significant Accounting Policies
Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2022 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies | Note 3—Significant Accounting Policies PMT’s significant accounting policies are summarized below. Basis of Presentation The Company’s 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 Use of Estimates Preparation of financial statements in compliance with GAAP requires the Company to make estimates and judgments 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. Consolidation The consolidated financial statements include the accounts of PMT and all wholly-owned subsidiaries. PMT has no significant equity method or cost-basis investments. Intercompany accounts and transactions are eliminated upon consolidation. The Company also consolidates the assets and liabilities included in certain Variable Interest Entities (“VIEs”) discussed below. Variable Interest Entities The Company enters into various types of on- and off-balance sheet transactions with special purpose entities (“SPEs”), which are trusts that are established for a limited purpose. Generally, SPEs are formed in connection with securitization transactions. In a securitization transaction, the Company transfers assets on its balance sheet to an SPE, which then issues various forms of beneficial interests in those assets to investors. In a securitization transaction, the Company typically receives a combination of cash and beneficial interests in the SPE in exchange for the assets transferred by the Company. SPEs are generally VIEs. A VIE is an entity having either a total equity investment at risk that is insufficient to finance its activities without additional subordinate financial support or whose equity investors at risk lack the ability to control the entity’s activities. Variable interests are investments or other interests that will absorb portions of a VIE’s expected losses or receive portions of the VIE’s expected residual returns. Expected residual returns represent the expected positive variability in the fair value of a VIE’s net assets. PMT consolidates the assets and liabilities of VIEs of which the Company is the primary beneficiary. The primary beneficiary is the party that has both the power to direct the activities that most significantly impact the economic performance of the VIE and holds a variable interest that could potentially be significant to the VIE. To determine whether a variable interest the Company holds could potentially be significant to the VIE, the Company considers both qualitative and quantitative factors regarding the nature, size and form of its involvement with the VIE. The Company evaluates whether it is the primary beneficiary of a VIE on an ongoing basis. The Company also evaluates the securitization trust holding the assets to determine whether the entity is a VIE and whether the Company is the primary beneficiary and therefore is required to consolidate the securitization trust. Credit Risk Transfer Arrangements The Company holds CRT arrangements with Fannie Mae, pursuant to which PennyMac Corp. (“PMC”), through subsidiary trust entities, sold pools of loans into Fannie Mae-guaranteed loan securitizations while retaining Recourse Obligations for credit losses and IO ownership interests in such loans. Loans subject to the CRT arrangements were transferred by PMC to subsidiary trust entities which sold the loans into Fannie Mae loan securitizations. Transfers of loans subject to CRT arrangements received sale accounting treatment. The Company has concluded that its subsidiary trust entities holding its CRT arrangements are VIEs and the Company is the primary beneficiary of the VIEs as it is the holder of the primary beneficial interests which absorb the variability of the trusts’ results of operations. Consolidation of the VIEs results in the inclusion on the Company’s consolidated balance sheet of the fair value of the Recourse Obligations, and retained IO ownership interests in the form of derivative and interest-only strip assets and liabilities, the deposits pledged to fulfill the Recourse Obligations and an interest only security payable at fair value. The deposits represent the Company’s maximum contractual exposure to claims under its Recourse Obligations and are the sole source of settlement of losses under the CRT arrangements. Gains and losses on the derivative and interest-only strip assets and liabilities related to CRT arrangements are included in Net (losses) gains on investments and financings Subordinate Mortgage-Backed Securities The Company retains or purchases subordinate MBS backed by loans secured by investment properties in transactions sponsored by PMC or a nonaffiliate. Subordinate MBS provide the Company with a higher yield than senior securities. However, the Company retains credit risk in the subordinate MBS since they are the first securities to absorb credit losses relating to the underlying loans. Cash inflows from the loans underlying subordinate MBS are distributed to investors and service providers in accordance with the contractual priority of payments and, as such, most of these inflows must be directed first to service and repay the senior certificates. The rights of holders of the subordinate certificates to receive distributions of principal and/or interest, as applicable, are subordinate to the rights of holders of the senior certificates. After the senior certificates are repaid, substantially all cash inflows will be directed to the subordinate certificates, including those held by the Company, until they are fully repaid. The Company has concluded that the trusts holding the assets underlying certain of these transactions are VIEs. The Company has concluded that it is the primary beneficiary of the VIEs as it has the power, through PLS, in its role as the servicer or sub-servicer of the loans, to direct the activities of the trusts that most significantly impact the trusts’ economic performance and, as a holder of subordinate securities, that PMT is exposed to losses that could potentially be significant to the VIEs. Therefore, PMT consolidates the VIEs where it holds subordinate interests and services the majority of the loans held in the VIEs. Jumbo Loan Securitization Transaction On September 30, 2013, the Company completed a securitization transaction in which a VIE issued $537.0 million in unpaid principal balance (“UPB”) of certificates backed by fixed-rate prime jumbo loans at a 3.9% weighted cost. The securities issued by the VIE are backed by the expected cash flows from its underlying fixed-rate prime jumbo loans. Cash inflows from these fixed-rate prime jumbo loans are distributed to investors and service providers in accordance with the contractual priority of payments and, as such, most of these inflows must be directed first to service and repay the senior certificates. After the senior certificates are repaid, substantially all cash inflows will be directed to the subordinate certificates until fully repaid and, thereafter, to the residual interest in the trust that the Company owns. The Company holds beneficial interests in the securitization transaction, including subordinate certificates and residual interests issued by the VIE. The Company retains credit risk in the securitization because the Company’s beneficial interests include the most subordinate interests in the securitized assets, which are the first beneficial interests to absorb credit losses on those assets. The Company expects that any credit losses in the pools of securitized assets will likely be limited to the Company’s subordinate and residual interests. The Company has no obligation to repurchase or replace securitized assets that subsequently become delinquent or are otherwise in default other than pursuant to breaches of representations and warranties. The VIE is consolidated by PMT as the Company determined that it is the primary beneficiary of the VIE. The Company concluded that it is the primary beneficiary of the VIE as it has the power, through its affiliate, PLS, in its role as servicer of the loans, to direct the activities of the trust that most significantly impact the trust’s economic performance and the subordinate and residual interest trust certificates expose PMT to losses and returns that could potentially be significant to the VIE. For financial reporting purposes, the loans owned by the consolidated VIEs are included in Loans at fair value Asset-backed financings at fair value Loans at fair value Asset-backed financings at fair value Loans at fair value The Company recognizes the interest income earned on the loans owned by the VIEs and the interest expense attributable to the asset-backed securities issued to nonaffiliates by the VIEs on its consolidated statements of operations. Fair Value The Company’s consolidated financial statements include assets and liabilities that are measured at or based on their fair values. Measurement at or based on fair value may be on a recurring or nonrecurring basis depending on the accounting principles applicable to the specific asset or liability and whether the Company has elected to carry the item at its fair value as discussed in the following paragraphs. The Company groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the inputs used to determine fair value. These levels are: • Level 1—Quoted prices in active markets for identical assets or liabilities. • Level 2—Prices determined or determinable using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing an asset or liability and are developed based on market data obtained from sources independent of the Company. • Level 3—Prices determined using significant unobservable inputs. In situations where significant 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. The Company reclassifies its assets and liabilities between levels of the fair value hierarchy when the inputs required to establish fair value at a level of the fair value hierarchy are no longer readily available, requiring the use of lower-level inputs, or when the inputs required to establish fair value at a higher level of the hierarchy become available. Fair Value Accounting Elections The Company identified all of PMT’s non-cash financial assets, its Firm commitment to purchase CRT securities The Company has also identified its Asset-backed financings at fair value Interest-only security payable at fair value Short-Term Investments Short-term investments are carried at fair value with changes in fair value recognized in current period results of operations. Short-term investments represent deposit accounts. The Company categorizes its short-term investments as “Level 1” fair value assets. Mortgage-Backed Securities The Company’s investments in MBS are carried at fair value with changes in fair value recognized in current period results of operations. Changes in fair value arising from amortization of purchase premiums and accrual of unearned discounts are recognized using the interest method and are included in Interest income. Net (losses) gains on investments and financings. Interest Income Recognition Interest income on MBS is recognized over the life of the security using the interest method. The Company estimates, at the time of purchase, the future expected cash flows and determines the effective interest rate based on the estimated cash flows and the security’s purchase price. The Company updates its cash flow estimates monthly. Loans Loans are carried at their fair values with changes in fair value recognized in current period results of operations. Changes in fair value, other than changes in fair value attributable to accrual of unearned discounts and amortization of purchase premiums, are included in Net (losses) gains on investments and financings Loans at fair value Net gains on loans acquired for sale Loans acquired for sale at fair value Interest income Loans acquired for sale at fair value Loans at fair value held in VIEs Sale Recognition The Company purchases from and sells loans into 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 the representations and warranties it makes to purchasers and insurers of the loans. The Company recognizes transfers of loans as sales based on whether the transfer is made to a VIE: • For loans that are transferred to a VIE, the Company recognizes the transfer as a sale when it determines that the Company is not the primary beneficiary of the VIE. • For loans that are not transferred to a VIE, the Company recognizes the transfer as a sale when it surrenders control over the loans. Control over transferred loans is deemed to be surrendered when (i) the loans have been isolated from the Company, (ii) the transferee has the right (free of conditions that constrain it from taking advantage of that right) to pledge or exchange the transferred loans, and (iii) the Company does not maintain effective control over the transferred loans through either (a) an agreement that entitles and obligates the Company to repurchase or redeem the loans before their maturity or (b) the ability to unilaterally cause the holder to return specific loans. Interest Income Recognition The Company has the ability but not the intent to hold loans acquired for sale and loans at fair value other than loans held in VIEs for the foreseeable future. Therefore, interest income on loans acquired for sale and loans at fair value other than loans held in VIEs is recognized over the life of the loans using their contractual interest rates. The Company has both the ability and intent to hold loans held in VIEs for the foreseeable future. Therefore, interest income on loans held in VIEs is recognized over the estimated remaining life of the loans using the interest method. Unearned discounts and purchase premiums are accrued and amortized to interest income using the effective interest rate inherent in the estimated cash flows from the loans. Income recognition is suspended and the accrued unpaid interest receivable is reversed against interest income when a loan becomes 90 days delinquent. Income recognition is resumed when the loan becomes contractually current. Excess Servicing Spread The Company has acquired the right to receive the ESS related to certain of the MSRs owned by PFSI. ESS is carried at its fair value. The Company categorizes ESS as a “Level 3” fair value asset. Interest Income Recognition Interest income for ESS is accrued using the interest method, based upon the expected yield from the ESS through the expected life of the underlying mortgages. Derivative and Credit Risk Transfer Strip Assets and Liabilities The Company holds and issues derivative financial instruments in connection with its operating, investing and financing activities. Derivative financial instruments are created as a result of certain of the Company’s operations and the Company also enters into derivative transactions as part of its interest rate risk management activities. Derivative financial instruments created as a result of the Company’s operations include: • Interest rate lock commitments (“IRLCs”) that are created when the Company commits to purchase loans acquired for sale; and • CRT Agreements whereby the Company retained a Recourse Obligation relating to certain loans it sold into Fannie Mae guaranteed securitizations as part of the retention of an IO ownership interest in such loans. The Company engages in interest rate risk management activities in an effort to reduce the variability of earnings caused by the effects of changes in interest rates on the fair value of certain of its assets and liabilities. The Company bears price risk related to its mortgage production, servicing and MBS financing activities due to changes in market interest rates as discussed below: • The Company is exposed to loss if market mortgage interest rates increase because market interest rate increases generally cause the fair value of MBS, IRLCs and loans acquired for sale to decrease. • The Company is exposed to losses if market mortgage interest rates decrease because market interest rate decreases generally cause the fair value of MSRs and ESS to decrease. To manage the price risk resulting from these interest rate risks, the Company uses derivative financial instruments with the intention of moderating the risk that changes in market interest rates will result in unfavorable changes in the fair value of the Company’s inventory of loans acquired for sale, IRLCs, MSRs and MBS financing. The Company records all derivative and CRT strip assets and liabilities at fair value and records changes in fair value in current period results of operations. The Company does not designate and qualify any of its derivative financial instruments for hedge accounting. Cash flows from derivative financial instruments relating to hedging of IRLCs and loans acquired for sale are included in Cash flows from operating activities Sale and repayment of loans acquired for sale at fair value to nonaffiliates. Cash flows from investing activities Firm Commitment to Purchase Credit Risk Transfer Securities The Company carried its firm commitment to purchase CRT securities at fair value. The firm commitment to purchase CRT securities was recognized initially as a component of Net gains on loans acquired for sale Net (losses) gains on investments and financings Real Estate Acquired in Settlement of Loans Real estate acquired in settlement of loans (“REO”) is measured at the lower of the acquisition cost of the property (as measured by the fair value of the loan immediately before acquisition of the property in settlement of a loan) or its fair value reduced by estimated costs to sell. Changes in fair value to levels that are less than or equal to acquisition cost and gains or losses on sale of REO are recognized in the consolidated statements of operations under the caption Results of real estate acquired in settlement of loans Mortgage Servicing Rights MSRs arise from contractual agreements between the Company and investors (or their agents) in mortgage securities and loans. Under these agreements, the Company is obligated to provide loan servicing functions in exchange for fees and other remuneration. The servicing functions typically performed include, among other responsibilities, collecting and remitting loan payments; responding to borrower inquiries; accounting for principal and interest, holding custodial (impound) funds for payment of property taxes and insurance premiums; counseling delinquent mortgagors, administering loss mitigation activities, including modification and forbearance programs; and supervising foreclosures and property dispositions. The Company has engaged PFSI to provide these services on its behalf. The Company recognizes MSRs initially at their fair values, either as proceeds from sales of loans where the Company assumes the obligation to service the loan in the sale transaction, or from the purchase of MSRs. The Company categorizes its MSR as a “Level 3” fair value asset. Servicing Advances Servicing advances represent advances made on behalf of borrowers and the loans’ investors to fund property tax and insurance premiums for impounded loans with inadequate impound balances and for non-impounded loans with delinquent property taxes or insurance premiums and out of pocket collection costs for delinquent loans (e.g., preservation and restoration of mortgaged property, legal fees, appraisals and insurance premiums). Servicing advances are made in accordance with the Company’s servicing agreements and, when made, are deemed recoverable. The Company periodically reviews servicing advances for collectability. Servicing advances are written off when they are deemed uncollectible. Borrowings Borrowings, other than Asset-backed financings at fair value Interest-only security payable at fair value Interest expense Asset-backed financings at Fair Value and The certificates issued to nonaffiliates by the Company relating to the asset-backed financings and interest only security payable Interest-only security payable at fair value Net (losses) gains on investments and financings Interest-only security payable at fair value Liability for Losses Under Representations and Warranties The Company provides for its estimate of the losses that it expects to incur in the future as a result of its breach of the representations and warranties that it provides to the purchasers and insurers of the loans it has sold. The Company’s sales agreements include representations and warranties related to the loans the Company sells to the Agencies and other investors. The representations and warranties require adherence to Agency and other investor origination and underwriting guidelines, including but not limited to the validity of the lien securing the loan, property eligibility, property value, loan amount, borrower credit, income and asset requirements, and compliance with applicable federal, state and local law. In the event of a breach of its representations and warranties, the Company may be required to either repurchase the loans with the identified defects or indemnify the investor or insurer against credit losses arising from such loans. In either case, the Company bears any subsequent credit loss on the loans. The Company’s credit loss may be reduced by any recourse it has to correspondent sellers that, in turn, had sold such loans to the Company and breached similar or other representations and warranties. In such event, the Company has the right to seek a recovery of related repurchase losses from that correspondent seller. The Company records a provision for losses relating to representations and warranties as part of its loan sale transactions. The method used to estimate the liability for representations and warranties is a function of the representations and warranties given and considers a combination of factors, including, but not limited to, estimated future defaults and loan defect rates, the estimated severity of loss in the event of default and the probability of reimbursement by the correspondent loan seller. The Company establishes a liability at the time loans are sold and periodically updates its liability estimate. The level of the liability for representations and warranties is reviewed and approved by the Company’s management credit committee. The level of the liability for representations and warranties is difficult to estimate and requires considerable judgment. The level of loan repurchase losses is dependent on economic factors, investor demand strategies, and other external conditions that may change over the lives of the underlying loans. The Company’s representations and warranties are generally not subject to stated limits of exposure. However, the Company believes that the current UPB of loans sold by PMT to date represents the maximum exposure to repurchases related to representations and warranties. Loan Servicing Fees Loan servicing fees and other remuneration are received by the Company for servicing residential loans. Loan servicing activities are described under Mortgage servicing rights Loan servicing fee amounts are based upon fee rates established at the time a loan sale or securitization is entered into and upon the unpaid principal balance of the loans. Loan servicing fees are recognized in the period in which they are earned. Share-Based Compensation The Company amortizes the fair value of previously granted share-based awards to Compensation adjusted for the portion of the awards expected to vest on the date of the award. The Company adjusts the cost of its share-based awards for changes in estimates of the portion of the awards it expects to be forfeited by grantees and for changes in expected performance attainment in each subsequent reporting period until the units have vested or have been forfeited, the service being provided is subsequently completed, or, under certain circumstances, is likely to be completed, whichever occurs first. Income Taxes The Company has elected to be taxed as a REIT and the Company believes PMT complies with the provisions of the Internal Revenue Code applicable to REITs. Accordingly, the Company believes PMT will not be subject to federal income tax on that portion of its REIT taxable income that is distributed to shareholders as long as certain asset, income and share ownership tests are met. If PMT fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to income taxes and may be precluded from qualifying as a REIT for the four tax years following the year of loss of the Company’s REIT qualification. PMC, the Company’s taxable REIT subsidiary (“TRS”), is subject to federal and state income taxes. Income taxes are provided for using the asset and liability method. Deferred tax assets and liabilities are recognized for the future tax consequences attributable to differences between the financial statement carrying amounts of existing assets and liabilities and their respective tax bases. Deferred tax assets and liabilities are measured using enacted rates expected to apply to taxable income in the years in which the Company expects those temporary differences to be recovered or settled. The effect on deferred taxes of a change in tax rates is recognized in income in the period in which the change occurs. A valuation allowance is established if, in the Company’s judgment, realization of deferred tax assets is not more likely than not. The Company recognizes a tax benefit relating to tax positions it takes only if it is more likely than not that the position will be sustained upon examination by the appropriate taxing authority. A tax position that meets this standard is recognized as the largest amount that exceeds 50 percent likelihood of being realized upon settlement. The Company will classify any penalties and interest as a component of income tax expense. Accounting Standard Adopted in 2022 Effective January 1, 2022, the Company adopted FASB Accounting Standards Update 2020-06, Debt – Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging – Contracts in Entity’s Own Equity (Subtopic 815-40) Debt – Debt with Conversion and Other Options As a result of the adoption of ASU 2020-06, the Company reclassified approximately $50.3 million of issuance discount originally recognized in the issuance of Exchangeable senior notes Additional paid-in capital Exchangeable senior notes Accumulated deficit Interest expense |
Transactions with Related Parti
Transactions with Related Parties | 12 Months Ended |
Dec. 31, 2022 | |
Related Party Transactions [Abstract] | |
Transactions with Related Parties | Note 4—Transactions with Related Parties Operating Activities Correspondent Production Activities The Company is provided fulfillment and other services by PLS under an amended and restated mortgage banking services agreement. Through June 30, 2020, pursuant to the terms of the 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 loans purchased in such month, plus (b) in the case of all loans other than 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 loans sold and securitized in such month; provided however, that no fulfillment fee shall be due or payable to PLS with respect to any loans underwritten in accordance with the Ginnie Mae MBS Guide. The Company does not hold the Ginnie Mae approval required to issue securities guaranteed by Ginnie Mae MBS and act as a servicer. Accordingly, under the agreement, PLS currently purchases loans saleable in accordance with the Ginnie Mae MBS Guide “as is” and without recourse of any kind from the Company at cost less any administrative fees paid by the correspondent to the Company plus accrued interest and a sourcing fee, which, through June 30, 2020, ranged from two to three and one-half Effective July 1, 2020 , the fulfillment fees and sourcing fees were revised as follows . Fulfillment and sourcing fees are summarized below: • Fulfillment fees shall not exceed the following: (iv) the number of loan commitments issued by the Company 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 (v) $315 multiplied by the number of purchased loans up to and including 16,500 per quarter and $195 multiplied by the number of purchased loans in excess of 16,500 per quarter, plus (vi) $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, and as of October 1, 2022, designated Fannie Mae or Freddie Mac loans acquired by PLS. • Sourcing fees range from one to two basis points of the UPB, generally based on the average number of calendar days the loans are held by PMT before purchase by PLS. The mortgage banking services agreement expires, unless terminated earlier in accordance with its terms, on June 30, 2025, subject to automatic renewal for additional 18-month periods, unless terminated in accordance with its terms. The Company may purchase newly originated conforming balance non-government insured or guaranteed loans from PLS under a mortgage loan purchase and sale agreement. Following is a summary of correspondent production activity between the Company and PLS: Year ended December 31, 2022 2021 2020 (in thousands) Loan fulfillment fees earned by PLS $ 67,991 $ 178,927 $ 222,200 UPB of loans fulfilled by PLS $ 37,090,031 $ 110,003,574 $ 100,389,252 Sourcing fees received from PLS included in Net gains on loans acquired for sale $ 4,968 $ 6,472 $ 11,037 UPB of loans sold to PLS $ 49,680,267 $ 64,774,728 $ 60,540,530 Purchases of loans acquired for sale from PLS $ 298,862 $ — $ 2,248,896 Tax service fees paid to PLS $ 8,418 $ 26,126 $ 23,408 December 31, 2022 December 31, 2021 (in thousands) Loans included in Loans acquired for sale at fair value pending sale to PLS $ 159,671 $ 314,995 Loan Servicing The Company, through its Operating Partnership, has a loan servicing agreement with PLS (the “Servicing Agreement”) pursuant to which PLS provides subservicing for the Company's portfolio of MSRs, loans held for sale, loans held in VIEs (prime servicing) and its portfolio of residential loans purchased with credit deterioration (special servicing). The Servicing Agreement provides for servicing fees earned by PLS that are established at a fixed per loan monthly amount based on the delinquency, bankruptcy and/or foreclosure status of the serviced loan or REO. The Servicing Agreement expires on June 30, 2025, subject to automatic renewal for additional 18-month periods, unless terminated earlier in accordance with its terms. Prime Servicing The base servicing fees for prime loans subserviced by PLS on the Company’s behalf are $7.50 per month for fixed-rate loans and $8.50 per month for adjustable-rate loans. To the extent that these prime loans become delinquent, PLS 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. PLS 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, PLS also receives certain fees for COVID-19 pandemic-related forbearance and modification activities it provides as required by the CARES Act. Special Servicing The base servicing fee rates for loans purchased with credit deterioration (distressed loans) range from $30 per month for current loans up to $95 per month for loans in foreclosure proceedings. The base servicing fee rate for REO is $75 per month. PLS also receives a supplemental servicing fee of $25 per month for each distressed loan. PLS receives activity-based fees for modifications, foreclosures and liquidations that it facilitates with respect to distressed loans, as well as other market-based refinancing and loan disposition fees. PLS may also receive REO rental fees, property lease renewal fees, property management fees, tenant paid application fees, late rent fees, and third-party vendor fees. MSR Recapture Agreement The Company has an MSR recapture agreement with PFSI. Pursuant to the terms of the MSR recapture agreement, if PFSI refinances mortgage loans for which the Company previously held the MSRs, through June 30, 2020, PFSI was generally required to transfer and convey to the Company cash in an amount equal to 30% of the fair market value of the MSRs related to all such loans so originated. Effective July 1, 2020, the 2020 MSR recapture agreement changed the recapture fee payable by PLS 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. PFSI has further agreed to allocate sufficient resources to target a recapture rate of at least 15%. The MSR recapture agreement expires, unless terminated earlier in accordance with its terms, on June 30, 2025, subject to automatic renewal for additional 18-month periods, unless terminated in accordance with its terms. Following is a summary of loan servicing fees earned by PLS: Year ended December 31, 2022 2021 2020 (in thousands) Loan servicing fees: Loans acquired for sale at fair value $ 1,018 $ 2,363 $ 2,067 Loans at fair value 529 505 807 MSRs 80,368 77,790 64,307 $ 81,915 $ 80,658 $ 67,181 Average investment in: Loans acquired for sale at fair value $ 1,938,470 $ 4,135,140 $ 3,469,392 Loans at fair value $ 1,615,982 $ 481,433 $ 223,628 Average MSR portfolio UPB $ 222,847,593 $ 196,996,623 $ 147,832,880 Management Fees The Company has a management agreement with PCM pursuant to which PMT pays PCM management fees as follows: • A base management fee that is calculated quarterly and is equal to the sum of (i) 1.5% per year of average shareholders’ equity up to $2 billion, (ii) 1.375% per year of average shareholders’ equity in excess of $2 billion and up to $5 billion, and (iii) 1.25% per year of average shareholders’ equity in excess of $5 billion. • A performance incentive fee that is calculated quarterly at a defined annualized percentage of the amount by which “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 “net income” for the quarter exceeds (i) an 8% return on “equity” plus the “high watermark”, up to (ii) a 12% return on “equity”; plus (b) 15% of the amount by which “net income” for the quarter exceeds (i) a 12% return on “equity” plus the high watermark, up to (ii) a 16% return on “equity”; plus (c) 20% of the amount by which “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 its common shares of beneficial interest (“Common Shares”) calculated in accordance with GAAP, and adjusted to exclude one-time events pursuant to changes in GAAP and certain other non-cash charges after discussion between PCM and the Company’s independent trustees and after approval by a majority of the Company’s independent trustees. “Equity” is the weighted average of the issue price per Common Share of all of the Company’s public offerings, multiplied by the weighted average number of Common Shares outstanding (including restricted share units) in the rolling four-quarter period. “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. The “high watermark” starts at zero and is adjusted quarterly. If “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 PCM 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. The base management fee and the performance incentive fee are both payable quarterly in arrears. The performance incentive fee may be paid in cash or a combination of cash and the Company’s Common Shares (subject to a limit of no more than 50% paid in Common Shares), at the Company’s option. In the event of termination of the management agreement between the Company and PCM, PCM 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 PCM, in each case during the 24-month period before termination. Following is a summary of management fee expenses: Year ended December 31, 2022 2021 2020 (in thousands) Base management $ 31,065 $ 34,794 $ 34,538 Performance incentive — 3,007 — $ 31,065 $ 37,801 $ 34,538 Average shareholders' equity amounts used to calculate base management fee expense $ 2,079,851 $ 2,348,395 $ 2,330,154 Expense Reimbursement and Amounts Payable to and Receivable from PCM Under the management agreement, PCM is entitled to reimbursement of its organizational and operating expenses, including third-party expenses, incurred on the Company’s behalf, it being understood that PCM 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 the Company. PCM was reimbursed $120,000 per fiscal quarter through June 30, 2020. Effective July 1, 2020, PMT’s reimbursement of PCM’s and its affiliates’ compensation expenses was increased from $120,000 to $165,000 per fiscal quarter, such amount to be reviewed annually and to not preclude reimbursement for any other services performed by PCM or its affiliates. The Company is required to pay PCM and its affiliates a portion of rent, telephone, utilities, office furniture, equipment, machinery and other office, internal and overhead expenses of PCM and its affiliates required for the Company’s and its subsidiaries’ operations. These expenses are allocated based on the ratio of the Company’s and its subsidiaries’ proportion of gross assets compared to all remaining gross assets managed or owned by PCM and/or its affiliates as calculated at each fiscal quarter end. Following is a summary of the Company’s reimbursements to PCM and its affiliates for expenses: Year ended December 31, 2022 2021 2020 (in thousands) Reimbursement of: Expenses incurred on the Company’s behalf, net $ 23,829 $ 18,812 $ 22,583 Common overhead incurred by PCM and its affiliates 8,588 4,906 5,172 Compensation 660 660 570 $ 33,077 $ 24,378 $ 28,325 Payments and settlements during the year (1) $ 144,012 $ 284,381 $ 378,162 (1) Payments and settlements include payments and netting settlements made pursuant to master netting agreements between the Company and PFSI for the operating, investing and financing activities itemized in this Note. Investing Activities Spread Acquisition and MSR Servicing Agreements The Company, through a wholly-owned subsidiary, PennyMac Holdings, LLC (“PMH”), has an amended and restated master spread acquisition and MSR servicing agreement with PLS (the “Spread Acquisition Agreement”), pursuant to which the Company may purchase from PLS, from time to time, participation certificates representing beneficial ownership in ESS arising from Ginnie Mae MSRs acquired by PLS, in which case PLS generally would be required to service or subservice the related loans for Ginnie Mae. The primary purpose of the amendment and restatement was to facilitate the continued financing of the ESS owned by the Company in connection with its participation in the GNMA MSR Facility (as defined below). To the extent PLS refinances any of the loans relating to the ESS the Company has acquired, the Spread Acquisition Agreement also contains recapture provisions requiring that PLS transfer to the Company, at no cost, the ESS relating to a certain percentage of the UPB of the newly originated loans. However, under the Spread Acquisition Agreement, in any month where the transferred ESS relating to newly originated Ginnie Mae loans is not equal to at least 90% of the product of the excess servicing fee rate and the UPB of the refinanced loans, PLS is also required to transfer additional ESS or cash in the amount of such shortfall. Similarly, in any month where the transferred ESS relating to modified Ginnie Mae mortgage loans is not equivalent to at least 90% of the product of the excess servicing fee rate and the unpaid principal balance of the modified mortgage loans, the Spread Acquisition Agreement contains provisions that require the Company to transfer additional ESS or cash in the amount of such shortfall. To the extent the fair market value of the aggregate ESS to be transferred for the applicable month is less than $200,000, PLS may, at its option, settle its recapture liability to the Company in cash in an amount equal to such fair market value in lieu of transferring such ESS. The remaining balance of the ESS was repaid during the quarter ended March 31, 2021. Following is a summary of investing activities between the Company and PFSI: Year ended December 31, 2021 2020 (in thousands) ESS: Received pursuant to a recapture agreement $ 557 $ 2,093 Repayments $ 134,624 $ 32,377 Interest income $ 1,280 $ 8,418 Net gain (loss) included in Net (losses) gains on investments and financings: Valuation changes $ 1,037 $ (24,970 ) Recapture income 614 2,241 $ 1,651 $ (22,729 ) Financing Activities PFSI held 75,000 of the Company’s Common Shares at both December 31, 2022 and December 31, 2021. Repurchase Agreement with PLS The Company, through PMH, has a master repurchase agreement with PLS (the “PMH Repurchase Agreement”), pursuant to which PMH may borrow from PLS for the purpose of financing PMH’s participation certificates representing beneficial ownership in ESS acquired from PLS under the Spread Acquisition Agreement. 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 Private National Mortgage Acceptance Company, LLC, 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 the first quarter of 2021, PLS repurchased the ESS from PMH at fair market value, effectively terminating the borrowing arrangements allowing PMH to finance its participation certificates representing beneficial ownership in ESS. Following is a summary of financing activities between the Company and PFSI: Year ended December 31, 2021 2020 (in thousands) Net repayments of assets sold under agreements to repurchase $ 80,862 $ 26,650 Interest expense $ 387 $ 3,325 Amounts Receivable from and Payable to PFSI Amounts receivable from and payable to PFSI are summarized below: December 31, 2022 December 31, 2021 (in thousands) Due from PFSI-Miscellaneous receivables $ 3,560 $ 15,953 Due to PFSI: Allocated expenses and expenses and costs paid by PFSI on PMT’s behalf $ 11,447 $ 15,431 Management fees 7,307 8,918 Correspondent production fees 6,835 8,894 Loan servicing fees 6,740 6,848 Fulfillment fees 4,043 — $ 36,372 $ 40,091 The Company has also transferred cash to PLS to fund loan servicing advances and REO property acquisition and preservation costs on its behalf. Such amounts are included in various balance sheet items as summarized below: Balance sheet line including advance amount December 31, 2022 December 31, 2021 (in thousands) Loan servicing advances $ 197,972 $ 204,951 Real estate acquired in settlement of loans 3,479 7,115 $ 201,451 $ 212,066 |
Loan Sales
Loan Sales | 12 Months Ended |
Dec. 31, 2022 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Loan Sales | Note 5—Loan Sales The following table summarizes cash flows between the Company and transferees in transfers of loans that are accounted for as sales where the Company maintains continuing involvement with the loans: Year ended December 31, 2022 2021 2020 (in thousands) Cash flows: Proceeds from sales $ 39,077,156 $ 110,919,477 $ 106,306,805 Loan servicing fees received $ 625,210 $ 526,245 $ 406,060 The following table summarizes for the dates presented collection status information for loans that are accounted for as sales where the Company maintains continuing involvement: December 31, 2022 December 31, 2021 (in thousands) UPB of loans outstanding $ 229,858,573 $ 215,927,495 Collection status (UPB) (1) Delinquency: 30-89 days delinquent $ 1,903,007 $ 1,148,542 90 or more days delinquent: Not in foreclosure $ 880,841 $ 1,726,488 In foreclosure $ 70,921 $ 36,658 Bankruptcy $ 123,239 $ 130,582 Delinquent loans in COVID-19 pandemic-related forbearance: 30-89 days $ 176,346 $ 169,654 90 days or more $ 464,694 $ 614,882 Custodial funds managed by the Company (2) $ 1,783,157 $ 3,823,527 (1) Includes delinquent loans in COVID-19 pandemic-related forbearance plans that were requested by borrowers seeking payment relief in accordance with the CARES Act. (2) Custodial funds include borrower and investor custodial cash accounts relating to loans serviced under mortgage servicing agreements and are not included 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 operations. |
Variable Interest Entities
Variable Interest Entities | 12 Months Ended |
Dec. 31, 2022 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Variable Interest Entities | Note 6—Variable Interest Entities The Company is a variable interest holder in various VIEs that relate to its investing and financing activities. Credit Risk Transfer Arrangements The Company has previously entered into certain loan sales arrangements pursuant to which it accepts credit risk relating to the loans sold in exchange for a portion of the interest earned on such loans. These arrangements absorb scheduled or realized credit losses on such loans and include CRT Agreements, CRT strips and sales of loans that include firm commitments to purchase CRT securities. The Company, through its subsidiary, PMC, entered into CRT Agreements with Fannie Mae, pursuant to which PMC, through subsidiary trust entities, sold pools of loans into Fannie Mae-guaranteed securitizations while retaining Recourse Obligations as part of the retention of IO ownership interests in such loans. CRT Agreements are structured such that loans that reach a specific number of days delinquent (including loans in forbearance, which also includes those subject to the forbearance provided in the CARES Act) trigger losses chargeable to the CRT Agreements based on the size of the loan and a contractual schedule of loss severity . The Company placed Deposits securing CRT arrangements into the subsidiary trust entities to secure its Recourse Obligations. The Deposits securing CRT arrangements represent the Company’s maximum contractual exposure to claims under its Recourse Obligations and are the sole source of settlement of losses under the CRT Agreements. The Company recognizes its IO ownership interests and Recourse Obligations on the consolidated balance sheets as CRT Derivatives in Derivative assets and Derivative and credit risk transfer strip liabilities. Effective in June 2018, the Company began entering into a different type of CRT arrangement. Under the new arrangement, the Company sold loans subject to agreements that required PMT to purchase securities that absorb incurred credit losses on such loans. Unlike the CRT Agreements, these CRT securities require the Company to absorb losses only when the reference loans realize credit losses. The Company recognized these firm purchase commitments initially as a component of Net gains on loans acquired for sale Net (losses) gains on investments and financings The Company purchased the securities subject to the firm commitments. Similar to the CRT Agreements, the Company accounts for the deposits collateralizing these securities as Deposits securing CRT arrangements CRT strips Derivative and credit risk transfer strip liabilities. Deposits securing CRT arrangements Net (losses) gains on investments and financings The Company’s exposure to losses under its Recourse Obligations was initially established at rates ranging from 3.5% to 4.0% of the UPB of the loans sold under the CRT arrangements. As the UPB of the underlying loans subject to each CRT arrangement is reduced through repayments, the percentage exposure of each CRT arrangement will increase to maximums ranging from 4.5% to 5.0% of outstanding UPB, although the total dollar amount of exposure to losses does not increase. Following is a summary of the CRT arrangements: Year ended December 31, 2022 2021 2020 (in thousands) UPB of loans sold $ 18,277,263 Investments: Deposits securing CRT arrangements $ 1,700,000 Change in expected face amount of firm commitment to purchase CRT securities (1,502,203 ) $ 197,797 Net investment income: Net (losses) gains on investments and financings: CRT Derivatives and strips: CRT derivatives Realized $ 38,382 $ 93,837 $ (53,965 ) Valuation changes (42,220 ) (12,829 ) (82,633 ) (3,838 ) 81,008 (136,598 ) CRT strips Realized 60,389 111,872 54,929 Valuation changes (110,356 ) 175,955 (79,221 ) (49,967 ) 287,827 (24,292 ) Interest-only security payable at fair value (11,332 ) 164 14,952 (65,137 ) 368,999 (145,938 ) Firm commitments to purchase CRT securities — — (121,067 ) (65,137 ) 368,999 (267,005 ) Net gains on loans acquired for sale — Fair value of firm commitment to purchase CRT securities recognized upon sale of loans — — (38,161 ) Interest income — Deposits securing CRT arrangements 21,324 559 7,012 $ (43,813 ) $ 369,558 $ (298,154 ) Net (recoveries received) payments made to settle (recoveries) losses on CRT arrangements $ (19,016 ) $ (62,387 ) $ 115,475 December 31, 2022 December 31, 2021 (in thousands) Carrying value of CRT arrangements: Derivative and credit risk transfer strip assets (liabilities), net CRT derivatives $ (22,098 ) $ 18,964 CRT strips (137,193 ) (26,837 ) $ (159,291 ) $ (7,873 ) Deposits securing CRT arrangements $ 1,325,294 $ 1,704,911 Interest-only security payable at fair value $ 21,925 $ 10,593 CRT arrangement assets pledged to secure borrowings: Derivative assets $ 1,262 $ 19,627 Deposits securing CRT arrangements (1) $ 1,325,294 $ 1,704,911 UPB of loans underlying CRT arrangements $ 25,315,524 $ 30,808,907 Collection status (UPB): Delinquency (2) Current $ 24,673,719 $ 29,581,803 30-89 days delinquent $ 409,049 $ 349,291 90-180 days delinquent $ 112,286 $ 120,775 180 or more days delinquent $ 93,717 $ 748,576 Foreclosure $ 26,753 $ 8,462 Bankruptcy $ 54,395 $ 64,694 Delinquent loans in COVID-19 pandemic-related forbearance plans: 30-89 days delinquent $ 35,388 $ 44,015 90-180 days delinquent $ 39,033 $ 57,815 180 or more days delinquent $ 35,588 $ 174,041 (1) Deposits securing credit risk transfer strip liabilities also secure $160.6 million and $27.5 million in CRT strip and CRT derivative liabilities at December 31, 2022 and 2021, respectively . (2) Includes delinquent loans in COVID-19 pandemic-related forbearance plans that were requested by borrowers seeking payment relief in accordance with the CARES Act. Subordinate Mortgage-Backed Securities The Company retains or purchases subordinate MBS in transactions sponsored by PMC or a nonaffiliate. Cash inflows from the loans underlying these securities are distributed to investors and service providers in accordance with the contractual priority of payments and, as such, most of these inflows must be directed first to service and repay the senior securities. The rights of holders of the subordinate securities to receive distributions of principal and/or interest, as applicable, are subordinate to the rights of holders of the senior securities. After the senior securities are repaid, substantially all cash inflows will be directed to the subordinate securities, including those held by the Company, until they are fully repaid. The Company’s retention or purchase of subordinate MBS exposes PMT to the credit risk in the underlying loans because the Company’s beneficial interests are among the first beneficial interests to absorb credit losses on those assets. The Company’s exposure to losses from its investments in subordinate MBS is limited to its recorded investment in such securities. Whether the Company concludes that it is the primary beneficiary of the VIEs issuing these subordinate MBS and therefore consolidates these entities is based on its exposure to losses that could be significant to the VIEs and its power to direct activities that most significantly impact the VIEs’ economic performance: • Certain of the Company’s investments in subordinate MBS either do not expose the Company to losses or residual returns that could be significant to the issuing VIE or the Company has concluded that it does not have the power to direct the activities that most significantly impact the VIE’s economic performance. These investments are classified as subordinate credit-linked securities in its investment in MBS as shown in Note 8 – Mortgage-Backed Securities . • For other investments in subordinate MBS, comprised of transactions backed by loans purchased by the Company that were subsequently included in securitizations sponsored by the Company or a nonaffiliate and serviced by PLS, the Company concluded that it is the primary beneficiary of the VIEs as it has the power, through PLS, in its role as the servicer or sub-servicer of the loans, to direct the activities of the VIEs that most significantly impact the VIEs’ economic performance and, as a holder of subordinate securities, is exposed to losses or residual returns that could potentially be significant to the VIEs. Therefore, PMT consolidates the VIEs that issue those subordinate MBS. The Company recognizes the interest income earned on the loans owned by the VIEs and the interest expense attributable to the asset-backed securities issued to nonaffiliates by the VIEs on its consolidated statements of operations. Following is a summary of the Company’s investment in subordinate mortgage-backed securities Year ended December 31, 2022 2021 2020 (in thousands) Fair value changes: Loans at fair value $ (301,164 ) $ (12,536 ) $ (6,617 ) Asset-backed financings at fair value $ 283,586 $ 19,708 $ 5,519 Interest income $ 59,263 $ 17,014 $ 10,609 Interest expense $ 53,570 $ 15,076 $ 10,971 December 31, 2022 December 31, 2021 (in thousands) Loans at fair value $ 1,509,942 $ 1,564,565 Asset-backed financings at fair value $ 1,414,955 $ 1,469,999 Subordinate MBS retained at fair value pledged to secure Assets sold under agreements to repurchase $ 84,044 $ 85,266 |
Fair Value
Fair Value | 12 Months Ended |
Dec. 31, 2022 | |
Fair Value Disclosures [Abstract] | |
Fair Value | Note 7—Fair Value Fair Value Accounting Elections The Company identified all of PMT’s non-cash financial assets, firm commitment to purchase CRT securities and MSRs to be accounted for at fair value. The Company has elected to account for these assets at fair value so such changes in fair value will be reflected in income as they occur and more timely reflect the results of the Company’s performance. The Company also identified PMT’s asset-backed financings of VIEs and interest only security payable to be accounted for at fair value to reflect the generally offsetting changes in fair value of these borrowings to changes in fair value of the assets at fair value collateralizing these financings. For other borrowings, the Company has determined that historical cost accounting is more appropriate because under this method debt issuance costs are amortized over the term of the debt facility, thereby matching the debt issuance cost to the periods benefiting from the availability of the debt. Financial Statement Items Measured at Fair Value on a Recurring Basis Following is a summary of financial statement items that are measured at fair value on a recurring basis: December 31, 2022 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 252,271 $ — $ — $ 252,271 Mortgage-backed securities at fair value — 4,462,601 — 4,462,601 Loans acquired for sale at fair value — 1,811,225 10,708 1,821,933 Loans at fair value — 1,509,942 3,457 1,513,399 Derivative assets: Call options on interest rate futures purchase contracts 2,906 — — 2,906 Put options on interest rate futures purchase contracts 8,130 — — 8,130 Forward purchase contracts — 418 — 418 Forward sale contracts — 43,435 — 43,435 MBS put options — 2,783 — 2,783 CRT derivatives — — 1,262 1,262 Interest rate lock commitments — — 3,877 3,877 Total derivative assets before netting 11,036 46,636 5,139 62,811 Netting — — — 22,129 Total derivative assets after netting 11,036 46,636 5,139 84,940 Mortgage servicing rights at fair value — — 4,012,737 4,012,737 $ 263,307 $ 7,830,404 $ 4,032,041 $ 12,147,881 Liabilities: Asset-backed financings at fair value $ — $ 1,414,955 $ — $ 1,414,955 Interest-only security payable at fair value — — 21,925 21,925 Derivative and credit risk transfer strip liabilities: Forward purchase contracts — 15,196 — 15,196 Forward sales contracts — 17,279 — 17,279 CRT derivatives — — 23,360 23,360 Interest rate lock commitments — — 4,355 4,355 Total derivative liabilities before netting — 32,475 27,715 60,190 Netting — — — (30,157 ) Total derivative liabilities after netting — 32,475 27,715 30,033 Credit risk transfer strips — — 137,193 137,193 Total derivative and credit risk transfer strip liabilities — 32,475 164,908 167,226 $ — $ 1,447,430 $ 186,833 $ 1,604,106 December 31, 2021 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 167,999 $ — $ — $ 167,999 Mortgage-backed securities at fair value — 2,666,768 — 2,666,768 Loans acquired for sale at fair value — 4,140,896 30,129 4,171,025 Loans at fair value — 1,564,565 4,161 1,568,726 Derivative assets: Call options on interest rate futures purchase contracts 2,828 — — 2,828 Put options on interest rate futures purchase contracts 3,180 — — 3,180 Forward purchase contracts — 5,806 — 5,806 Forward sale contracts — 6,307 — 6,307 MBS put options — 3,662 — 3,662 Swaption purchase contracts — 39 — 39 CRT derivatives — — 19,627 19,627 Interest rate lock commitments — — 3,897 3,897 Total derivative assets before netting 6,008 15,814 23,524 45,346 Netting — — — (11,108 ) Total derivative assets after netting 6,008 15,814 23,524 34,238 Mortgage servicing rights at fair value — — 2,892,855 2,892,855 $ 174,007 $ 8,388,043 $ 2,950,669 $ 11,501,611 Liabilities: Asset-backed financings at fair value $ — $ 1,469,999 $ — $ 1,469,999 Interest-only security payable at fair value — — 10,593 10,593 Derivative liabilities and credit risk transfer strips: Forward purchase contracts — 3,620 — 3,620 Forward sales contracts — 13,782 — 13,782 CRT derivatives — — 663 663 Interest rate lock commitments — — 1,446 1,446 Total derivative liabilities before netting — 17,402 2,109 19,511 Netting — — — (4,142 ) Total derivative liabilities after netting — 17,402 2,109 15,369 Credit risk transfer strips — — 26,837 26,837 Total derivative and credit risk transfer strip liabilities — 17,402 28,946 42,206 $ — $ 1,487,401 $ 39,539 $ 1,522,798 The following is a summary of changes in items measured at fair value on a recurring basis using “Level 3” inputs that are significant to the estimation of the fair values of the assets and liabilities at either the beginning or end of the years presented: Year ended December 31, 2022 Assets (1) Loans acquired for sale Loans at fair value CRT derivatives Interest rate lock commitments CRT strips Mortgage servicing rights Total (in thousands) Balance, December 31, 2021 $ 30,129 $ 4,161 $ 18,964 $ 2,451 $ (26,837 ) $ 2,892,855 $ 2,921,723 Purchases and issuances 13,619 — — (87,393 ) — — (73,774 ) Repayments and sales (29,674 ) (1,390 ) (37,224 ) — (60,389 ) — (128,677 ) Amounts received pursuant to sales of loans — — — — — 670,343 670,343 Changes in fair value included in income arising from: Changes in instrument - specific credit risk — — — — — — — Other factors (3,366 ) 686 (3,838 ) (234,146 ) (49,967 ) 449,435 158,804 (3,366 ) 686 (3,838 ) (234,146 ) (49,967 ) 449,435 158,804 Transfers of: Interest rate lock commitments to loans acquired for sale (2) — — — 318,610 — — 318,610 Mortgage servicing rights relating to delinquent loans to Agency — — — — — 104 104 Balance, December 31, 2022 $ 10,708 $ 3,457 $ (22,098 ) $ (478 ) $ (137,193 ) $ 4,012,737 $ 3,867,133 Changes in fair value recognized during the year relating to assets still held at December 31, 2022 $ (1,098 ) $ 196 $ (42,220 ) $ (478 ) $ (110,356 ) $ 449,435 $ 295,479 (1) For the purpose of this table, CRT derivative, interest rate lock commitment (“IRLC”), and CRT strip asset and liability positions are shown net. (2) The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale at fair value upon purchase of the respective loans. Liabilities Year ended December 31, 2022 (in thousands) Interest-only security payable: Balance, December 31, 2021 $ 10,593 Changes in fair value included in results of operations arising from: Changes in instrument - specific credit risk — Other factors 11,332 11,332 Balance, December 31, 2022 $ 21,925 Changes in fair value recognized during the year relating to liability outstanding at December 31, 2022 $ 11,332 Year ended December 31, 2021 Assets (1) Loans acquired for sale Loans at fair value Excess servicing spread CRT derivatives Interest rate lock commitments CRT strips Mortgage servicing rights Total (in thousands) Balance, December 31, 2020 $ 33,875 $ 8,027 $ 131,750 $ 31,795 $ 72,386 $ (202,792 ) $ 1,755,236 $ 1,830,277 Purchases and issuances 86,285 — — — 76,934 — — 163,219 Repayments and sales (90,603 ) (5,121 ) (134,624 ) (93,839 ) — (111,872 ) — (436,059 ) Capitalization of interest — 251 1,280 — — — — 1,531 ESS received pursuant to a recapture agreement with PFSI — — 557 — — — — 557 Amounts received pursuant to sales of loans — — — — — — 1,484,629 1,484,629 Changes in fair value included in results of operations arising from: Changes in instrument - specific credit risk — — — — — — — — Other factors 572 610 1,037 81,008 (156,840 ) 287,827 (337,186 ) (122,972 ) 572 610 1,037 81,008 (156,840 ) 287,827 (337,186 ) (122,972 ) Transfers of: Loans from REO — 394 — — — — — 394 Interest rate lock commitments to loans acquired for sale (2) — — — — 9,971 — — 9,971 Recombination of MSRs with loans at fair value resulting from consolidation of a VIE — — — — — — (9,824 ) (9,824 ) Balance, December 31, 2021 $ 30,129 $ 4,161 $ — $ 18,964 $ 2,451 $ (26,837 ) $ 2,892,855 $ 2,921,723 Changes in fair value recognized during the year relating to assets still held at December 31, 2021 $ (157 ) $ (371 ) $ — $ (12,829 ) $ 2,451 $ 175,955 $ (337,186 ) $ (172,137 ) (1) For the purpose of this table, CRT derivative, IRLC, and CRT strip asset and liability positions are shown net. (2) The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale at fair value upon purchase of the respective loans. Liabilities Year ended December 31, 2021 (in thousands) Interest-only security payable: Balance, December 31, 2020 $ 10,757 Changes in fair value included in income arising from: Changes in instrument - specific credit risk — Other factors (164 ) (164 ) Balance, December 31, 2021 $ 10,593 Changes in fair value recognized during the year relating to liability outstanding at December 31, 2021 $ (164 ) Year ended December 31, 2020 Assets (1) Loans acquired for sale Loans at fair value Excess servicing spread CRT derivatives Interest rate lock commitments CRT strips Repurchase agreement derivatives Firm commitments to purchase CRT securities Mortgage servicing rights Total (in thousands) Balance, December 31, 2019 $ 18,567 $ 14,426 $ 178,586 $ 115,863 $ 11,154 $ 54,930 $ 5,275 $ 109,513 $ 1,535,705 $ 2,044,019 Purchases and issuances 74,339 1,058 — — 369,802 — — — — 445,199 Repayments and sales (58,290 ) (5,734 ) (32,377 ) 52,530 — (54,929 ) (5,328 ) (128,786 ) (7 ) (232,921 ) Capitalization of interest — — 8,418 — — — — — — 8,418 ESS received pursuant to a recapture agreement with PFSI — — 2,093 — — — — — — 2,093 Amounts (incurred) received pursuant to sales of loans — — — — — — — (38,161 ) 1,158,475 1,120,314 Changes in fair value included in results of operations arising from: Changes in instrument - specific credit risk — — — — — — — — — — Other factors (741 ) (837 ) (24,970 ) (136,598 ) 536,943 (24,292 ) 53 (121,067 ) (938,937 ) (710,446 ) (741 ) (837 ) (24,970 ) (136,598 ) 536,943 (24,292 ) 53 (121,067 ) (938,937 ) (710,446 ) Transfers of: Loans to REO — (886 ) — — — — — — — (886 ) Firm commitment to purchase CRT securities to CRT strips — — — — — (178,501 ) — 178,501 — — Interest rate lock commitments to loans acquired for sale (2) — — — — (845,513 ) — — — — (845,513 ) Balance, December 31, 2020 $ 33,875 $ 8,027 $ 131,750 $ 31,795 $ 72,386 $ (202,792 ) $ — $ — $ 1,755,236 $ 1,830,277 Changes in fair value recognized during the year relating to assets still held at December 31, 2020 $ (899 ) $ (1,033 ) $ (24,970 ) $ (82,633 ) $ 72,386 $ (79,221 ) $ — $ — $ (938,937 ) $ (1,055,307 ) (1) For the purpose of this table, CRT derivative, IRLC, and CRT strip asset and liability positions are shown net. (2) The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale at fair value upon purchase of the respective loans. Liabilities Year ended December 31, 2020 (in thousands) Interest-only security payable: Balance, December 31, 2019 $ 25,709 Changes in fair value included in income arising from: Changes in instrument - specific credit risk — Other factors (14,952 ) (14,952 ) Balance, December 31, 2020 $ 10,757 Changes in fair value recognized during the year relating to liability outstanding at December 31, 2020 $ (14,952 ) Financial Statement Items Measured at Fair Value under the Fair Value Option Following are the fair values and related principal amounts due upon maturity of loans accounted for under the fair value option (including loans acquired for sale, loans held in consolidated VIEs, and distressed loans): December 31, 2022 December 31, 2021 Fair value Principal amount due upon maturity Difference Fair value Principal amount due upon maturity Difference (in thousands) Loans acquired for sale at fair value: Current through 89 days delinquent $ 1,819,551 $ 1,795,445 $ 24,106 $ 4,166,177 $ 4,048,967 $ 117,210 90 or more days delinquent: Not in foreclosure 1,666 1,927 (261 ) 4,848 5,801 (953 ) In foreclosure 716 809 (93 ) — — — 2,382 2,736 (354 ) 4,848 5,801 (953 ) $ 1,821,933 $ 1,798,181 $ 23,752 $ 4,171,025 $ 4,054,768 $ 116,257 Loans at fair value: Held in consolidated VIEs: Current through 89 days delinquent $ 1,508,540 $ 1,788,911 $ (280,371 ) $ 1,561,794 $ 1,514,575 $ 47,219 90 or more days delinquent: Not in foreclosure 1,231 1,642 (411 ) 2,141 2,722 (581 ) In foreclosure 171 226 (55 ) 630 809 (179 ) 1,402 1,868 (466 ) 2,771 3,531 (760 ) 1,509,942 1,790,779 (280,837 ) 1,564,565 1,518,106 46,459 Distressed: Current through 89 days delinquent 498 682 (184 ) 782 1,455 (673 ) 90 or more days delinquent: Not in foreclosure 1,230 2,964 (1,734 ) 1,181 3,824 (2,643 ) In foreclosure 1,729 2,728 (999 ) 2,198 5,490 (3,292 ) 2,959 5,692 (2,733 ) 3,379 9,314 (5,935 ) 3,457 6,374 (2,917 ) 4,161 10,769 (6,608 ) $ 1,513,399 $ 1,797,153 $ (283,754 ) $ 1,568,726 $ 1,528,875 $ 39,851 Following are the changes in fair value included in current period results of operations by consolidated statements of operations line item for financial statement items accounted for under the fair value option: Year ended December 31, 2022 Net loan servicing fees Net (losses) gains on investments and financings Net gains on loans acquired for sale Net interest expense Total (in thousands) Assets: Mortgage-backed securities at fair value $ — $ (576,758 ) $ — $ 12,697 $ (564,061 ) Loans acquired for sale at fair value — — (539,102 ) — (539,102 ) Loans at fair value — (300,478 ) — (1,109 ) (301,587 ) Credit risk transfer strips — (49,967 ) — — (49,967 ) MSRs at fair value 449,435 — — — 449,435 $ 449,435 $ (927,203 ) $ (539,102 ) $ 11,588 $ (1,005,282 ) Liabilities: Interest-only security payable at fair value $ — $ (11,332 ) $ — $ — $ (11,332 ) Asset-backed financings at fair value — 283,586 — 1,773 285,359 $ — $ 272,254 $ — $ 1,773 $ 274,027 Year ended December 31, 2021 Net loan servicing fees Net (losses) gains on investments and financings Net gains on loans acquired for sale Net interest expense Total (in thousands) Assets: Mortgage-backed securities at fair value $ — $ (74,354 ) $ — $ (9,323 ) $ (83,677 ) Loans acquired for sale at fair value — — 3,960 — 3,960 Loans at fair value — (11,925 ) — (1,624 ) (13,549 ) ESS at fair value — 1,037 — 1,280 2,317 Credit risk transfer strips — 287,827 — — 287,827 MSRs at fair value (337,186 ) — — — (337,186 ) $ (337,186 ) $ 202,585 $ 3,960 $ (9,667 ) $ (140,308 ) Liabilities: Interest-only security payable at fair value $ — $ 164 $ — $ — $ 164 Asset-backed financings at fair value — 19,708 — (1,144 ) 18,564 $ — $ 19,872 $ — $ (1,144 ) $ 18,728 Year ended December 31, 2020 Net loan servicing fees Net (losses) gains on investments and financings Net gains on loans acquired for sale Net interest expense Total (in thousands) Assets: Mortgage-backed securities at fair value $ — $ 87,852 $ — $ (23,323 ) $ 64,529 Loans acquired for sale at fair value — — 817,158 — 817,158 Loans at fair value — (7,454 ) — 2,776 (4,678 ) ESS at fair value — (24,970 ) — 8,418 (16,552 ) Credit risk transfer strips — (24,292 ) — — (24,292 ) Firm commitment to purchase CRT securities at fair value — (121,067 ) (38,161 ) — (159,228 ) MSRs at fair value (938,937 ) — — — (938,937 ) $ (938,937 ) $ (89,931 ) $ 778,997 $ (12,129 ) $ (262,000 ) Liabilities: Interest-only security payable $ — $ 14,952 $ — $ — $ 14,952 Asset-backed financings at fair value — 5,519 — (4,218 ) 1,301 $ — $ 20,471 $ — $ (4,218 ) $ 16,253 Financial Statement Item Measured at Fair Value on a Nonrecurring Basis Following is a summary of the carrying value of assets that were re-measured during the year based on fair value on a nonrecurring basis: Real estate acquired in settlement of loans Level 1 Level 2 Level 3 Total (in thousands) December 31, 2022 $ — $ — $ 1,292 $ 1,292 December 31, 2021 $ — $ — $ 5,147 $ 5,147 The following table summarizes the fair value changes recognized during the year on assets held at year end that were remeasured based on fair value on a nonrecurring basis: Year ended December 31, 2022 2021 2020 (in thousands) Real estate asset acquired in settlement of loans $ (505 ) $ 279 $ (1,638 ) The Company remeasures its REO based on fair value when it evaluates the REO for impairment. The Company evaluates its REO for impairment with reference to the respective properties’ fair values less costs to sell. REO may be revalued after acquisition due to the Company receiving greater access to the property, the property being held for an extended period or receiving indications that the property’s fair value may not be supported by developing market conditions. Any subsequent change in fair value to a level that is less than or equal to the property’s cost is recognized in Results of real estate acquired in settlement of loans in the Company’s consolidated statements of operations . Fair Value of Financial Instruments Carried at Amortized Cost Most of the Company’s borrowings are carried at amortized cost. The Company’s Assets sold under agreements to repurchase Mortgage loan participation purchase and sale agreements, Notes payable secured by credit risk transfer and mortgage servicing assets Exchangeable senior notes The Company has concluded that the fair values of these borrowings, other than the Exchangeable senior notes, Notes payable secured by credit risk transfer and mortgage servicing assets Note 15—Long-Term Debt Following are the carrying and fair values of the Notes payable secured by credit risk transfer and mortgage servicing assets Exchangeable senior notes December 31, 2022 December 31, 2021 Instrument Carrying value Fair value Carrying value Fair value (in thousands) Notes payable secured by credit risk transfer and mortgage servicing assets $ 2,804,028 $ 2,721,391 $ 2,471,961 $ 2,480,842 Exchangeable senior notes $ 546,254 $ 471,781 $ 502,459 $ 536,460 The Company estimates the fair value of the Notes payable secured by credit risk transfer and mortgage servicing assets Exchangeable senior notes Valuation Governance Most of the Company’s assets, its Asset-backed financings at fair value, Interest-only security payable at fair value Derivative and credit risk transfer strip liabilities at fair value Due to the difficulty in estimating the fair values of “Level 3” fair value assets and liabilities, the Company has assigned responsibility for estimating the fair value of these assets and liabilities to specialized staff and subjects the valuation process to significant senior management oversight: • PFSI’s Financial Analysis and Valuation group (the “FAV group”) is responsible for estimating the fair values of “Level 3” fair value assets and liabilities other than IRLCs and maintaining its valuation policies and procedures. • PFSI’s Capital Markets Risk Management staff is responsible for estimating the fair value of the Company’s IRLCs which is reviewed by PFSI’s Capital Markets Operations group. With respect to the non-IRLC “Level 3” valuations, the FAV group reports to PFSI’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 other than IRLCs, including the models’ performance versus actual results, and reports those results to PFSI’s senior management valuation committee. PFSI’s senior management valuation committee includes the Company’s chief financial, risk, credit, and deputy chief investment 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 PFSI’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 and for MSRs, comparisons of its estimates of fair value to those procured from nonaffiliates brokers and comparisons of key inputs used in the Company’s valuation model to published surveys. Valuation Techniques and Inputs The following is a description of the techniques and inputs used in estimating the fair values of “Level 2” and “Level 3” fair value assets and liabilities: Mortgage-Backed Securities The Company categorizes its current holdings of securities accounted for as MBS as “Level 2” fair value assets. Fair value of these MBS is established based on quoted market prices for the Company’s MBS holdings or similar securities. Changes in the fair value of MBS are included in Net (losses) gains on investments and financings Loans Fair value of loans is estimated based on whether the loans are saleable into active markets: • Loans that are saleable into active markets, comprised of most of the Company’s loans acquired for sale at fair value and all of the loans at fair value held in VIEs, are categorized as “Level 2” fair value assets: • For loans acquired for sale, the fair values are established using the loans’ contracted selling price or quoted market price or market price equivalent. • For the loans at fair value held in VIEs, the quoted indications of fair value of all of the individual securities issued by the securitization trusts are used to derive fair values for the loans. The Company obtains indications of fair value from nonaffiliated brokers based on comparable securities and validates the brokers’ indications of fair value using pricing models and inputs the Company believes are similar to the models and inputs used by other market participants. The Company adjusts the fair values received from brokers to include the fair value of MSRs attributable to the loans held by the Company included in the VIEs. • Loans that are not saleable into active markets, comprised of previously sold loans that the Company repurchased pursuant to the representation and warranties it provided to the purchaser and distressed loans, are categorized as “Level 3” fair value assets: • Fair value for loans acquired for sale categorized as “Level 3” assets is estimated using a discounted cash flow approach or their contracted selling price when applicable. Inputs to the discounted cash flow model include current interest rates, payment status, property type, discount rates and forecasts of future interest rates, home prices, prepayment speeds, default speeds and loss severities. • Distressed loans’ fair values are estimated based on the expected resolution to be realized from the individual asset’s disposition strategy. When a cash flow projection is used to estimate the fair value of the resolution, those cash flows are discounted at annual rates up to 20%. Derivative and Credit Risk Transfer Strip Assets and Liabilities CRT Derivatives The Company categorizes CRT derivatives as “Level 3” fair value assets and liabilities. The fair value of CRT derivatives is based on indications of fair value provided to the Company by nonaffiliated brokers for the certificates representing the beneficial interests in the trusts holding the Deposits securing credit risk transfer arrangements pledged to creditors Deposits securing credit risk transfer arrangements pledged to creditors The Company assesses the fair values it receives from nonaffiliated brokers using the discounted cash flow approach. The significant unobservable inputs used by the Company in its review and approval of the valuation of CRT derivatives are the discount rate, voluntary and involuntary prepayment speeds and the remaining loss (recovery) expectations of the reference loans. Changes in fair value of CRT derivatives are included in Net (losses) gains on investments and financings Following is a quantitative summary of key unobservable inputs used in the Company’s review and approval of broker-provided fair values for CRT derivatives: December 31, 2022 December 31, 2021 (dollars in thousands) Fair value CRT derivatives: Assets $ 1,262 $ 19,627 Liabilities $ 23,360 $ 663 UPB of loans in reference pools $ 5,972,060 $ 7,426,288 Key inputs (1) Discount rate Range 8.7% – 11.1% 3.3% – 5.9% Weighted average 10.8% 5.7% Voluntary prepayment speed (2) Range 7.5% – 8.3% 12.6% – 13.1% Weighted average 7.6% 12.7% Involuntary prepayment speed (3) Range 0.5% – 1.3% (0.1)% – 0.8% Weighted average 0.6% 0.1% Remaining loss (recovery) expectation (4) Range 0.4% – 0.7% (0.1)% – 0.6% Weighted average 0.6% 0.1% (1) Weighted average inputs are based on fair value amounts of the CRT Agreements, except for remaining loss (recovery) expectation which is based on the UPB of the loans in the reference pools. (2) Voluntary prepayment speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”). (3) Involuntary prepayment speed is measured using Life Involuntary CPR. Negative involuntary prepayment speed reflects the expectation for reinstatement to the reference pool of a portion of the loans that previously triggered contractual losses due to delinquency while under CARES Act forbearance upon their expected re-performance, as contractually provided for in certain CRT Agreements. (4) Remaining loss (recovery) expectation is measured as expected future contractual losses divided by the UPB of the reference loans. Negative remaining loss expectation reflects the expectation of contractual reversals of previously incurred contractual losses due to the expected re-performance of a portion of the loans that experienced delinquency while under CARES Act forbearance. Interest Rate Lock Commitments The Company categorizes IRLCs as “Level 3” fair value assets and liabilities. The Company estimates the fair value of IRLCs based on quoted Agency MBS prices, the probability that the loans will be purchased under the commitments (the “pull-through rate”) and the Company’s estimate of the fair value of the MSRs it expects to receive upon sale of the loans. The significant unobservable inputs used in the fair value measurement of the Company’s IRLCs are the pull-through rates and the estimated MSRs attributed to the mortgage loans subject to the commitments. Significant changes in the pull-through rate or the MSR component of the IRLCs, in isolation, may result in a significant change in the IRLCs’ fair value. 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 an IRLC’s fair value, but also increase the pull-through rate for the loan principal and interest payment cash flow component that has decreased in fair value. Changes in fair value of IRLCs are included in Net gains on loans acquired for sale Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs: December 31, 2022 December 31, 2021 Fair value (in thousands) (1) $ (478 ) $ 2,451 Committed amount (in thousands) $ 1,484,384 $ 2,092,129 Key inputs (2) Pull-through rate Range 54.8% – 100% 64.3% – 100% Weighted average 92.1% 91.4% MSR fair value expressed as Servicing fee multiple Range 1.9 – 7.1 0.5 – 6.3 Weighted average 4.7 4.5 Percentage of UPB Range 0.7% – 3.1% 0.3% – 2.7% Weighted average 1.9% 1.5% (1) For purposes of this table, IRLC asset and liability positions are shown net. (2) Weighted-average inputs are based on the committed amounts. Hedging Derivatives Fair value of 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 loan servicing fees – From nonaffiliates – Mortgage servicing rights hedging results, Net (losses) gains on investments and financings, Net gains on loans acquired for sale Credit Risk Transfer Strips The Company categorizes CRT strips as “Level 3” fair value assets or liabilities. The fair value of CRT strips is based on indications of fair value provided to the Company by nonaffiliated brokers for the securities representing the beneficial interests in the trusts holding the Deposits securing credit risk transfer arrangements pledged to creditors, Fair value of the CRT strips is derived by deducting the balance of the Deposits securing credit risk transfer arrangements pledged to creditors The Company assesses the indications of fair value it receives from nonaffiliated brokers using the discounted cash flow approach. The significant unobservable inputs used by the Company in its review and approval of the valuation of the CRT strips are the discount rate, voluntary and involuntary prepayment speeds and the remaining loss expectations of the reference loans. Changes in fair value of CRT strips are included in Net (losses) gains on investments and financings . Following is a quantitative summary of key unobservable inputs used in the Company’s review and approval of the adjusted broker-provided fair values used to derive the value of the CRT strip liabilities: December 31, 2022 December 31, 2021 (dollars in thousands) Fair value $ 137,193 $ 26,837 UPB of loans in the reference pools $ 19,343,464 $ 23,382,619 Key inputs (1) Discount rate Range 4.3% – 11.3% 3.8% – 6.4% Weighted average 10.5% 6.0% Voluntary prepayment speed (2) Range 7.7% – 7.9% 14.9% – 17.6% Weighted average 7.7% 17.2% Involuntary prepayment speed (3) Range 0.6% – 2.0% 0.5% – 1.4% Weighted average 0.8% 0.6% Remaining loss expectation (4) Range 0.7% – 2.0% 0.3% – 1.1% Weighted average 0.9% 0.5% (1) Weighted average inputs are based on fair value amounts of the CRT arrangements, except for remaining loss expectation which is based on the UPB of the loans in the reference pools. (2) Voluntary prepayment speed is measured using Life Voluntary CPR. (3) Involuntary prepayment speed is measured using Life Involuntary CPR. (4) Remaining loss expectation is measured as expected future losses divided by the UPB of the loans in the reference pools. Mortgage Servicing Rights The Company categorizes MSRs as “Level 3” fair value assets. The Company uses a discounted cash flow approach to estimate the fair value of MSRs. The fair value of MSRs is derived from the net positive cash flows associated with the servicing agreements. The Company receives a servicing fee based on the remaining UPB of the loans subject to the servicing agreements and generally has the right to receive other remuneration including various mortgagor-contracted fees such as late charges and collateral reconveyance charges, and is generally entitled to retain any placement fees earned on funds held pending remittance of mortgagor principal, interest, tax and insurance payments. The key inputs used in the estimation of the fair value of MSRs include the prepayment speeds of the underlying loans, the applicable pricing spreads, and the annual per-loan cost to service the loans, all of which are unobservable. Significant changes to any of those inputs in isolation could result in a significant change in the MSR fair value measurement. Changes in these key inputs are not directly related. Changes in the fair value of MSRs are included in Net loan servicing fees – From nonaffiliates – Change in fair value of mortgage servicing rights MSRs are generally subject to loss in fair value when mortgage interest rates decrease, when returns required by market participants (pricing spreads) increase, or when annual per-loan cost of servicing increases. Reductions in the fair value of MSRs affect income primarily through recognition of the change in fair value. Following are the key inputs used in determining the fair value of MSRs at the time of initial recognition: Year ended December 31, 2022 2021 2020 (MSR recognized and UPB of underlying loans amounts in thousands) MSR recognized $ 670,343 $ 1,484,629 $ 1,158,475 UPB of underlying loans $ 39,014,110 $ 108,424,795 $ 103,136,121 Weighted average annual servicing fee rate (in basis points) 34 28 28 Key inputs (1) Pricing spread (2) Range 5.5% – 8.9% 6.0% – 8.0% 6.7% – 11.3% Weighted average 6.3% 7.2% 7.8% Prepayment speed (3) Range 5.5% – 19.7% 5.5% – 12.5% 7.0% – 20.9% Weighted average 9.3% 8.2% 10.0% Equivalent average life (in years) Range 4.0 – 9.6 3.5 – 9.1 3.5 – 9.2 Weighted average 8.0 8.1 7.4 Annual per-loan cost of servicing Range $73 – $81 $80 – $81 $78 – $81 Weighted average $79 $80 $80 (1) Weighted average inputs are based on UPB of the underlying loans. (2) Through December 31, 2021, the Company applied pricing spreads to the forward rates implied by the United States Dollar London Inter-Bank Offered Rate (“L |
Mortgage Backed Securities
Mortgage Backed Securities | 12 Months Ended |
Dec. 31, 2022 | |
Mortgage Backed Securities [Abstract] | |
Mortgage Backed Securities | Note 8—Mortgage-Backed Securities Following is a summary of activity in the Company’s investment in MBS: Year ended December 31, 2022 2021 2020 (in thousands) Balance at beginning of year $ 2,666,768 $ 2,213,922 $ 2,839,633 Purchases 3,718,093 2,232,923 2,332,096 Sales (1,079,826 ) (1,300,653 ) (1,979,789 ) Repayments (278,373 ) (395,747 ) (1,042,547 ) Changes in fair value included in income arising from: Accrual (amortization) of net purchase (discounts) premiums 12,697 (9,323 ) (23,323 ) Valuation adjustments (576,758 ) (74,354 ) 87,852 (564,061 ) (83,677 ) 64,529 Balance at end of year $ 4,462,601 $ 2,666,768 $ 2,213,922 Following is a summary of the Company’s investment in MBS: December 31, 2022 Principal balance Unamortized net purchase premiums (discounts) Accumulated valuation changes Fair value (1) (in thousands) Agency fixed-rate pass-through securities $ 4,693,045 $ 30,423 $ (460,966 ) $ 4,262,502 Subordinate credit-linked securities 184,620 52 (6,774 ) 177,898 Senior non-Agency securities 28,103 (876 ) (5,026 ) 22,201 $ 4,905,768 $ 29,599 $ (472,766 ) $ 4,462,601 December 31, 2021 Principal balance Unamortized net purchase premiums Accumulated valuation changes Fair value (1) (in thousands) Agency fixed-rate pass-through securities $ 2,649,238 $ 82,938 $ (65,408 ) $ 2,666,768 (1) All MBS have maturities of more than ten years and are pledged to secure Assets sold under agreements to repurchase at December 31, 2022 and December 31, 2021. |
Loans Acquired for Sale at Fair
Loans Acquired for Sale at Fair Value | 12 Months Ended |
Dec. 31, 2022 | |
Mortgage Loans On Real Estate [Abstract] | |
Loans Acquired for Sale at Fair Value | Note 9—Loans Acquired for Sale at Fair Value Following is a summary of the distribution of the Company’s loans acquired for sale at fair value: Loan type December 31, 2022 December 31, 2021 (in thousands) Government-sponsored entity ("GSE") eligible (1) $ 1,651,554 $ 3,825,901 Held for sale to PLS — Government insured or guaranteed (2) 159,671 314,995 Home equity lines of credit 2,424 3,265 Commercial real estate — 964 Repurchased pursuant to representations and warranties 8,284 25,900 $ 1,821,933 $ 4,171,025 Loans pledged to secure: Assets sold under agreements to repurchase $ 1,801,368 $ 4,007,377 Mortgage loan participation purchase and sale agreements — 52,102 $ 1,801,368 $ 4,059,479 (1) GSE eligibility refers to the eligibility of loans for sale to Fannie Mae or Freddie Mac. The Company sells or finances a portion of its GSE eligible loan production to other investors, including PLS. (2) The Company is not approved by Ginnie Mae as an issuer of Ginnie Mae-guaranteed securities which are backed by government-insured or guaranteed loans. The Company sells government-insured or guaranteed loans that it purchases from correspondent sellers to PLS, which is a Ginnie Mae-approved issuer, and earns a sourcing fee as described in Note 4 – Transactions with Related Parties – Operating activities – Correspondent Production Activities. |
Loans at Fair Value
Loans at Fair Value | 12 Months Ended |
Dec. 31, 2022 | |
Mortgage Loans At Fair Value [Abstract] | |
Loans at Fair Value | Note 10—Loans at Fair Value Loans at fair value are comprised primarily of loans held in VIEs securing asset-backed financings as discussed in Note 6 – Variable Interest Entities – Subordinate Mortgage-Backed Securities Following is a summary of the distribution of the Company’s loans at fair value: Loan type December 31, 2022 December 31, 2021 (in thousands) Loans in VIEs: Agency-conforming loans secured by investment properties $ 1,459,160 $ 1,495,914 Fixed interest rate jumbo loans 50,782 68,651 1,509,942 1,564,565 Distressed loans 3,457 4,161 $ 1,513,399 $ 1,568,726 Loans at fair value pledged to secure: Asset-backed financings at fair value (1) $ 1,509,942 $ 1,564,565 Assets sold under agreements to repurchase 206 359 $ 1,510,148 $ 1,564,924 (1) As discussed in Note 6 ‒ Variable Interest Entities ‒ Subordinate Mortgage-Backed Securities Assets sold under agreements to repurchase |
Derivative and Credit Risk Tran
Derivative and Credit Risk Transfer Strip Assets and Liabilities | 12 Months Ended |
Dec. 31, 2022 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
Derivative and Credit Risk Transfer Strip Assets and Liabilities | Note 11— Derivative and Credit Risk Transfer Strip Assets and Liabilities Derivative and credit risk transfer assets and liabilities are summarized below: December 31, 2022 December 31, 2021 (in thousands) Derivative assets $ 84,940 $ 34,238 $ 84,940 $ 34,238 Derivative liabilities $ 30,033 $ 15,369 Credit risk transfer strip liabilities 137,193 26,837 $ 167,226 $ 42,206 The Company records all derivatives and CRT strip liabilities at fair value and records changes in fair value in current period results of operations. Derivative Activities Derivative Notional Amounts and Fair Value of Derivatives The Company had the following derivative assets and liabilities recorded within Derivative assets Derivative and credit risk transfer liabilities Other December 31, 2022 December 31, 2021 Fair value Fair value Notional Derivative Derivative Notional Derivative Derivative Instrument amount (1) assets liabilities amount (1) assets liabilities (in thousands) Hedging derivatives subject to master netting arrangements (2): Call options on interest rate futures purchase contracts 1,950,000 $ 2,906 $ — 1,450,000 $ 2,828 $ — Put options on interest rate futures purchase contracts 1,785,000 8,130 — 1,775,000 3,180 — Forward purchase contracts 3,929,833 418 15,196 6,945,340 5,806 3,620 Forward sale contracts 11,661,925 43,435 17,279 10,466,182 6,307 13,782 MBS put options 1,050,000 2,783 — 3,400,000 3,662 — Swaption purchase contracts — — — 2,200,000 39 — Swap futures — — — 1,425,100 — — Bond futures 867,900 — — 181,800 — — Other derivatives not subject to master netting arrangements: CRT derivatives 5,972,060 1,262 23,360 7,426,288 19,627 663 Interest rate lock commitments 1,484,384 3,877 4,355 2,092,129 3,897 1,446 Total derivative instruments before netting 62,811 60,190 45,346 19,511 Netting 22,129 (30,157 ) (11,108 ) (4,142 ) $ 84,940 $ 30,033 $ 34,238 $ 15,369 Margin deposits placed with (received from) derivative counterparties included in derivative balances above, net $ 52,286 $ (6,965 ) Derivative assets pledged to secure: Notes payable secured by credit risk transfer and mortgage servicing assets $ 1,262 $ 19,627 (1) Notional amounts provide an indication of the volume of the Company’s derivative activity. (2) All hedging derivatives are interest rate derivatives and are used as economic hedges. Netting of Financial Instruments The Company has elected to net derivative asset and liability positions, and cash collateral placed with or received from its derivatives counterparties when subject to a legally enforceable master netting arrangement. The derivative financial instruments that are not subject to master netting arrangements are CRT derivatives and IRLCs. As of December 31, 2022 and December 31, 2021, the Company was not a party to any reverse repurchase agreements or securities lending transactions that are required to be disclosed in the following tables. Derivative Assets, Financial Instruments and Collateral Held by Counterparty The following table summarizes by significant counterparty the amount of derivative asset positions after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance qualifying for setoff accounting. December 31, 2022 December 31, 2021 Net amount Gross amounts Net amount Gross amounts of assets not offset in the of assets not offset in the presented consolidated presented consolidated in the balance sheet in the balance sheet consolidated Cash consolidated Cash balance Financial collateral Net balance Financial collateral Net sheet instruments received amount sheet instruments received amount (in thousands) CRT derivatives $ 1,262 $ — $ — $ 1,262 $ 19,627 $ — $ — $ 19,627 Interest rate lock commitments 3,877 — — 3,877 3,897 — — 3,897 Morgan Stanley & Co. LLC 33,703 — — 33,703 — — — — Bank of America, N.A. 14,666 — — 14,666 1,958 — — 1,958 RJ O’Brien & Associates, LLC 11,036 — — 11,036 6,008 — — 6,008 Wells Fargo Securities, LLC 6,980 — — 6,980 — — — — Credit Suisse Securities (USA) LLC 5,827 — — 5,827 — — — — Goldman Sachs & Co. LLC 2,789 — — 2,789 — — — — Barclays Capital Inc. 2,013 — — 2,013 — — — — J.P. Morgan Securities LLC 110 — — 110 2,085 — — 2,085 Other 2,677 — — 2,677 663 — — 663 $ 84,940 $ — $ — $ 84,940 $ 34,238 $ — $ — $ 34,238 Derivative Liabilities, Financial Liabilities and Collateral Pledged 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 meet the accounting guidance to qualify for setoff accounting. All assets sold under agreements to repurchase represent sufficient collateral or exceed the liability amount recorded on the consolidated balance sheet. December 31, 2022 December 31, 2021 Net amount Gross amounts Net amount Gross amounts of liabilities not offset in the of liabilities not offset in the presented consolidated presented consolidated in the balance sheet in the balance sheet consolidated Financial Cash consolidated Financial Cash balance instruments collateral Net balance instruments collateral Net sheet (1) pledged amount sheet (1) pledged amount (in thousands) Interest rate lock commitments $ 4,355 $ — $ — $ 4,355 $ 1,446 $ — $ — $ 1,446 CRT derivatives 23,360 — — 23,360 663 — — 663 J.P. Morgan Securities LLC 1,605,813 (1,605,813 ) — — 726,762 (726,762 ) — — Bank of America, N.A. 1,239,293 (1,239,293 ) — — 1,088,417 (1,088,417 ) — — Barclays Capital Inc. 1,115,265 (1,115,265 ) — — 1,086,104 (1,085,723 ) — 381 Credit Suisse Securities (USA) LLC 675,639 (675,639 ) — — 832,610 (830,954 ) — 1,656 Daiwa Capital Markets 439,089 (439,089 ) — — 496,231 (495,973 ) — 258 Amherst Pierpont Securities LLC 283,928 (283,294 ) — 634 125,090 (125,090 ) — — RBC Capital Markets, L.P. 268,581 (268,581 ) — — 1,293,754 (1,293,754 ) — — Wells Fargo Securities, LLC 262,512 (262,512 ) — — 106,088 (104,674 ) — 1,414 Morgan Stanley & Co. LLC 218,730 (218,730 ) — — 412,321 (410,413 ) — 1,908 Citigroup Global Markets Inc. 197,229 (195,807 ) — 1,422 131,312 (129,016 ) — 2,296 Goldman Sachs & Co. LLC 156,952 (156,952 ) — — 217,459 (212,580 ) — 4,879 BNP Paribas 153,220 (153,220 ) — — 171,185 (171,185 ) — — Nomura Holdings America, Inc 4,444 (4,444 ) — — 14 — — 14 Other 262 — — 262 454 — — 454 $ 6,648,672 $ (6,618,639 ) $ — $ 30,033 $ 6,689,910 $ (6,674,541 ) $ — $ 15,369 (1) Amounts represent the UPB of Assets sold under agreements to repurchase . Following are the net gains (losses) recognized by the Company on derivative financial instruments and the consolidated statements of operations line items where such gains and losses are included: Year ended December 31, Derivative activity Consolidated statements of operations line 2022 2021 2020 (in thousands) Interest rate lock commitments Net gains on loans acquired for sale (1) $ (2,928 ) $ (69,935 ) $ 61,232 CRT derivatives Net (losses) gains on investments and financings $ (3,838 ) $ 81,008 $ (136,598 ) Repurchase agreement derivatives Interest expense $ — $ — $ 53 Hedged item: Interest rate lock commitments and loans acquired for sale Net gains on loans acquired for sale $ 553,965 $ 141,901 $ (459,309 ) Mortgage servicing rights Net loan servicing fees $ (204,879 ) $ (345,041 ) $ 601,743 Fixed-rate and prepayment sensitive assets and LIBOR-indexed repurchase agreements Net (losses) gains on investments and financings $ — $ — $ 32,932 (1) Represents net change in fair value of IRLCs from the beginning to the end of the year. Amounts recognized at the date of commitment and fair value changes recognized during the period until purchase of the underlying loan or cancellation of the commitment are shown in the rollforward of IRLCs for the period in Note 7 – Fair Value – Financial Statement Items Measured at Fair Value on a Recurring Basis . Credit Risk Transfer Strips Following is a summary of the Company’s holdings of CRT strips: Credit risk transfer strips contractually restricted from sale (1) December 31, 2022 December 31, 2021 (in thousands) Currently unrestricted $ (137,193 ) $ 5,978 To maturity — (32,815 ) $ (137,193 ) $ (26,837 ) (1) Through December 31, 2021, the terms of the agreement underlying the CRT securities restricted sales of the securities, other than under agreements to repurchase, without the approval of Fannie Mae, for specified periods from the date of issuance. The restriction on sales was removed during the quarter ended March 31, 2022. |
Mortgage Servicing Rights
Mortgage Servicing Rights | 12 Months Ended |
Dec. 31, 2022 | |
Text Block [Abstract] | |
Mortgage Servicing Rights | Note 12—Mortgage Servicing Rights Following is a summary of MSRs: Year ended December 31, 2022 2021 2020 (in thousands) Balance at beginning of year $ 2,892,855 $ 1,755,236 $ 1,535,705 MSRs resulting from loan sales 670,343 1,484,629 1,158,475 Transfer to Agency of mortgage servicing rights relating to delinquent loans 104 — — Sales — — (7 ) Changes in fair value: Due to changes in inputs used in valuation model (1) 819,727 (39,056 ) (706,107 ) Other changes in fair value (2) (370,292 ) (298,130 ) (232,830 ) 449,435 (337,186 ) (938,937 ) Recombination with loans at fair value resulting from initial consolidation of VIEs (3) — (9,824 ) — Balance at end of year $ 4,012,737 $ 2,892,855 $ 1,755,236 December 31, 2022 December 31, 2021 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and payable secured by credit risk transfer and mortgage servicing assets $ 3,962,820 $ 2,863,544 (1) Primarily reflects changes in prepayment speed, pricing spread, servicing cost, and UPB for the underlying loans. (2) Represents changes due to realization of expected cash flows. (3) As discussed in Note 6 ‒ Variable Interest Entities – Subordinate Mortgage-Backed Securities, Loans at fair value Servicing fees relating to MSRs are recorded in Net loan servicing fees – From nonaffiliates Year ended December 31, 2022 2021 2020 (in thousands) Contractually-specified servicing fees $ 625,210 $ 526,245 $ 406,060 Ancillary and other fees: Late charges 2,526 1,701 1,498 Other 23,515 67,400 54,959 26,041 69,101 56,457 $ 651,251 $ 595,346 $ 462,517 Average MSR servicing portfolio $ 222,847,593 $ 196,996,623 $ 147,832,880 MSR recapture fees $ 13,744 $ 50,859 $ 28,373 UPB of loans recaptured $ 2,533,115 $ 9,389,260 $ 6,012,911 |
Other Assets
Other Assets | 12 Months Ended |
Dec. 31, 2022 | |
Other Assets [Abstract] | |
Other Assets | Note 13— Other Assets Other assets are summarized below: December 31, 2022 December 31, 2021 (dollars in thousands) Derivative margin deposits $ 51,463 $ 193,418 Interest receivable 31,027 15,168 Servicing fees receivable 15,727 16,756 Correspondent lending receivables 8,967 27,539 Other receivables 7,657 15,299 Real estate acquired in settlement of loans 7,734 14,382 Other 12,416 3,737 $ 134,991 $ 286,299 Real estate acquired in settlement of loans pledge to secure Assets sold under agreements to repurchase $ 3,297 $ 7,293 |
Short-Term Debt
Short-Term Debt | 12 Months Ended |
Dec. 31, 2022 | |
Short Term Borrowings [Abstract] | |
Short-Term Debt | Note 14—Short-Term Debt The borrowing facilities described throughout these Notes 14 and 15 contain various covenants, including financial covenants governing the Company and its subsidiaries’ net worth, debt-to-equity ratio, and liquidity. Management believes that the Company was in compliance with these covenants as of December 31, 2022. Assets Sold Under Agreements to Repurchase Following is a summary of financial information relating to assets sold under agreements to repurchase: Year ended December 31, 2022 2021 2020 (dollars in thousands) Weighted average interest rate (1) 2.81 % 1.36 % 1.62 % Average balance $ 5,625,345 $ 6,161,755 $ 5,508,147 Total interest expense $ 165,436 $ 97,078 $ 102,131 Maximum daily amount outstanding $ 8,834,936 $ 8,882,538 $ 10,433,609 (1) Excludes the effect of amortization of debt issuance costs of $7.6 million, $13.2 million and $12.9 million for the years ended December 31, 2022, 2021 and 2020 respectively. December 31, 2022 December 31, 2021 (dollars in thousands) Carrying value: Unpaid principal balance Committed facilities $ 6,189,344 $ 5,799,975 Uncommitted facilities 429,295 874,566 6,618,639 6,674,541 Unamortized debt issuance costs (2,111 ) (2,651 ) $ 6,616,528 $ 6,671,890 Weighted average interest rate 5.03 % 1.08 % Available borrowing capacity (1): Committed $ 217,279 $ 289,436 Uncommitted 4,762,056 4,875,433 $ 4,979,335 $ 5,164,869 Margin deposits (received from) placed with counterparties included in ( Accounts payable and accrued liabilities Other $ (13,630 ) $ 67,997 Assets securing agreements to repurchase: Mortgage-backed securities $ 4,462,601 $ 2,666,768 Loans acquired for sale at fair value $ 1,801,368 $ 4,007,377 Loans at fair value: Securities retained in asset-backed financings $ 84,044 $ 85,266 Distressed $ 206 $ 359 CRT arrangements $ 455,552 $ — Mortgage servicing rights (2) $ 2,092,794 $ 1,598,090 Servicing advances $ 100,888 $ 93,455 Real estate acquired in settlement of loans $ 3,297 $ 7,293 (1) 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. (2) Beneficial interests in Fannie Mae MSRs are pledged for both Assets sold under agreements to repurchase and Notes payable secured by credit risk transfer and mortgage servicing assets. Following is a summary of maturities of outstanding advances under repurchase agreements by maturity date: Remaining maturity at December 31, 2022 Unpaid principal balance (in thousands) Within 30 days $ 4,342,147 Over 30 to 90 days 1,763,899 Over 90 days to 180 days 62,439 Over 180 days to 1 year 65,154 Over 1 year to 2 years 385,000 $ 6,618,639 Weighted average maturity (in months) 2.2 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 repurchase agreements mature if the fair value (as determined by the applicable lender) of the assets securing those repurchase agreements decreases. The amount s at risk (the fair value of the assets pledged plus the related margin deposit, less the amount advanced by the counterparty and interest payable) and maturity information relating to the Company’s assets sold under agreements to repurchase are summarized by pledged asset and counterparty below as of December 31, 2022 : Loans, REO and MSRs Weighted-average maturity Counterparty Amount Advances Facility (in thousands) Bank of America, N.A. $ 25,572 January 30, 2023 June 5, 2024 Goldman Sachs & Co. LLC $ 2,104 March 16, 2023 December 23, 2023 Citibank, N.A. $ 12,072 February 24, 2023 April 26, 2024 Barclays Capital Inc. $ 19,214 February 26, 2023 November 13, 2024 JPMorgan Chase & Co. $ 20,817 March 3, 2023 June 17, 2024 Wells Fargo Securities, LLC $ 15,321 March 16, 2023 November 17, 2023 Credit Suisse First Boston Mortgage Capital LLC $ 15,093 March 13, 2023 May 31, 2024 Morgan Stanley & Co. LLC $ 11,452 March 12, 2023 January 3, 2024 RBC Capital Markets, L.P. $ 8,996 March 27, 2023 November 10, 2023 BNP Paribas Corporate & Institutional Banking $ 6,480 March 12, 2023 November 30, 2024 Securities Counterparty Amount at risk Weighted average maturity (in thousands) Bank of America, N.A. $ 24,165 January 17, 2023 Citibank, N.A. $ 25,570 February 22, 2023 Barclays Capital Inc. $ 52,623 January 26, 2023 JPMorgan Chase & Co. $ 38,860 January 20, 2023 Wells Fargo Securities, LLC $ 3,206 January 6, 2023 Daiwa Capital Markets America Inc. $ 9,904 January 23, 2023 Amherst Pierpont Securities LLC $ 6,744 January 20, 2023 Nomura Holdings America, Inc $ 1,707 January 3, 2023 CRT Arrangements Counterparty Amount at risk Weighted average maturity (in thousands) Bank of America, N.A. $ 60,630 April 3, 2023 Goldman Sachs & Co. LLC $ 99,664 March 28, 2023 Citibank, N.A. $ 57,911 July 3, 2023 Mortgage Loan Participation Purchase and Sale Agreement One of the borrowing facilities secured by loans acquired for sale is in the form of a mortgage loan participation purchase and sale agreement. Participation certificates, each of which represents an undivided beneficial ownership interest in a pool of loans that have been pooled with Fannie Mae or Freddie Mac, are sold to the lender pending the securitization of such loans and the sale of the resulting security. The commitment between the Company and a nonaffiliate to sell such security 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. The holdback amount is based on a percentage of the purchase price and is not required to be paid to the Company until the settlement of the security and its delivery to the lender. The mortgage loan participation purchase and sale agreement is summarized below: Year ended December 31, 2022 2021 2020 (dollars in thousands) Average balance $ 30,024 $ 33,827 $ 44,432 Weighted average interest rate (1) 2.99 % 1.42 % 1.63 % Total interest expense $ 1,023 $ 606 $ 902 Maximum daily amount outstanding $ 91,857 $ 89,879 $ 96,570 (1) Excludes the effect of amortization of debt issuance costs of $125,000 for the years ended December 31, 2022 and 2021 and $176,000 for the year ended 2020. December 31, 2022 December 31, 2021 (dollars in thousands) Carrying value: Amount outstanding $ — $ 49,988 Unamortized debt issuance costs — — $ — $ 49,988 Weighted average interest rate — 1.48 % Loans acquired for sale pledged to secure mortgage loan participation purchase and sale agreements $ — $ 52,102 |
Long-Term Debt
Long-Term Debt | 12 Months Ended |
Dec. 31, 2022 | |
Debt Disclosure [Abstract] | |
Long-Term Debt | Note 15—Long-Term Debt Notes Payable Secured By Credit Risk Transfer and Mortgage Servicing Assets CRT Arrangement Financing The Company, through various wholly-owned subsidiaries, issued secured term notes (the “CRT Term Notes”) to qualified institutional buyers under Rule 144A of the Securities Act of 1933, as amended (the “Securities Act”). All of the CRT Term Notes rank pari passu with each other. Following is a summary of the CRT Term Notes outstanding: Unpaid Annual interest rate Maturity date Term notes Issuance date Issuance amount principal balance Index Spread Stated Optional extension (1) (in thousands) 2021 1R March 4, 2021 $ 659,156 $ 298,655 LIBOR 2.90 % February 28, 2024 February 27, 2026 2020 1R February 14, 2020 $ 350,000 58,295 LIBOR 2.35 % March 1, 2023 (2) February 27, 2025 2019 3R October 16, 2019 $ 375,000 54,811 LIBOR 2.70 % October 27, 2022 (3) October 29, 2024 2019 2R June 11, 2019 $ 638,000 180,933 LIBOR 2.75 % May 29, 2023 May 29, 2025 $ 592,694 (1) The indentures relating to these issuances provide the Company with the option of extending the maturity dates of certain of the CRT Term Notes under the conditions specified in the respective agreements. (2) During January 2023, the Company exercised its option to extend the maturity of this note (3) During October 2022, the Company exercised its option to extend the maturity of this note. Fannie Mae MSR Financing The Company, through a subsidiary, PMT ISSUER TRUST-FMSR, finances MSRs and ESS pledged or sold by PMC through a combination of repurchase agreements and term financing. The repurchase agreement financing for Fannie Mae MSRs is effected through the issuance of a Series 2017-VF1 Note dated December 20, 2017 (the "FMSR VFN") by PMT ISSUER TRUST-FMSR to PMC which is then sold to qualified institutional buyers under an agreement to repurchase. The amount outstanding under the FMSR VFN is included in Assets sold under agreements to repurchase The Company’s term financing for Fannie Mae MSRs through PMT ISSUER TRUST – FMSR is effected through the issuance of term notes (the “FT-1 Notes”) to qualified institutional buyers under Rule 144A of the Securities Act. The FT1 Notes and the FMSR VFN are secured by certain participation certificates relating to Fannie Mae MSRs and rank pari passu with each other. Following is a summary of the term financing of the Company’s Fannie Mae MSRs: Unpaid Annual interest rate Maturity date FT-1 Note Issuance date Issuance amount principal balance Index Spread Stated Optional extension (1) (in thousands) 2022 June 28, 2022 $ 305,000 $ 305,000 SOFR (2) 4.19% June 25, 2027 (3) 2021 March 30, 2021 $ 350,000 350,000 LIBOR 3.00% March 25, 2026 March 27, 2028 2018 April 25, 2018 $ 450,000 450,000 LIBOR 2.35% April 25, 2023 April 25, 2025 $ 1,105,000 (1) The indentures relating to these issuances provide the Company with the option of extending the maturity dates of the term notes under the conditions specified in the respective agreements. (2) Secured Overnight Financing Rate (“SOFR”). (3) Either June 26, 2028 or June 25, 2029. Freddie Mac MSR Financing The Company, through PMC and PMH, finances certain MSRs (inclusive of any related excess servicing spread arising therefrom) relating to loans pooled into Freddie Mac securities through various credit agreements. The total loan amount available under the agreements is $1.6 billion, bearing interest at an annual rate equal to SOFR plus a spread as defined in each agreement, with a weighted average maturity of June 2024 Following is a summary of financial information relating to notes payable secured by credit risk transfer and mortgage servicing assets: Year ended December 31, 2022 2021 2020 (dollars in thousands) Average balance $ 2,646,597 $ 2,635,601 $ 1,771,370 Weighted average interest rate (1) 4.92 % 3.08 % 3.19 % Total interest expense $ 137,021 $ 86,753 $ 59,261 Maximum daily amount outstanding $ 3,629,637 $ 3,336,480 $ 2,032,665 (1) Excludes the effect of amortization of debt issuance costs of $6.7 million, $5.5 million and $2.7 million for the years ended December 31, 2022, 2021 and 2020, respectively. December 31, 2022 December 31, 2021 (dollars in thousands) Carrying value: Unpaid principal balance: CRT Term Notes $ 592,694 $ 1,204,636 FT-1 Notes 1,105,000 800,000 Freddie Mac credit agreements 1,115,000 475,000 2,812,694 2,479,636 Unamortized debt issuance costs (8,666 ) (7,675 ) $ 2,804,028 $ 2,471,961 Weighted average interest rate 7.30 % 3.02 % Assets securing notes payable: Mortgage servicing rights (1) $ 3,962,820 $ 2,863,544 CRT Agreements: Deposits securing CRT arrangements $ 869,742 $ 1,704,911 Derivative assets $ 1,262 $ 19,627 (1) Beneficial interests in Freddie Mac MSRs are pledged as collateral for the Notes payable secured by credit risk transfer and mortgage servicing assets. Assets sold under agreements to repurchase Notes payable secured by credit risk transfer and mortgage servicing assets Exchangeable Senior Notes On March 5 and March 9, 2021, PMC issued $345 million aggregate principal amount of exchangeable senior notes (the “2026 Exchangeable Notes”) in a private offering. The 2026 Exchangeable Notes will mature on March 15, 2026 unless repurchased or exchanged in accordance with their terms before such date. The 2026 Exchangeable Notes bear interest at a rate of 5.50% per year, payable semiannually On November 4 and November 19, 2019, PMC issued $210 million in principal amount of exchangeable senior notes due 2024 (the “2024 Exchangeable Notes” and, together with the 2026 Exchangeable Notes, the “Exchangeable Notes”) in a private offering. The 2024 Exchangeable Notes will mature on November 1, 2024 unless repurchased or exchanged in accordance with their terms before such date. The 2024 Exchangeable Notes bear interest at 5.50% per year, payable semiannually. The 2026 Exchangeable Notes and the 2024 Exchangeable Notes are fully and unconditionally guaranteed by the Company and are exchangeable for Common Shares, cash, or a combination thereof, at PMC’s election, at any time until the close of business on the second scheduled trading day immediately preceding the maturity date, subject to the satisfaction of certain conditions if the exchange occurs before December 15, 2025 and August 1, 2024, respectively. The exchange rates are equal to 46.1063 Following is financial information relating to the Exchangeable Notes: Year ended December 31, 2022 2021 2020 (in thousands) Average balance $ 541,233 $ 445,064 $ 269,247 Weighted average interest rate (1) 5.64 % 7.74 % 6.43 % Interest expense: Coupon $ 30,525 $ 27,152 $ 15,556 Amortization of: Conversion option (2) — 7,306 1,801 Issuance cost 2,843 2,289 1,490 $ 33,368 $ 36,747 $ 18,847 December 31, 2022 December 31, 2021 (in thousands) Carrying value: UPB $ 555,000 $ 555,000 Conversion option allocated to Additional paid-in capital (2) — (40,952 ) Unamortized debt issuance costs (8,746 ) (11,589 ) (8,746 ) (52,541 ) $ 546,254 $ 502,459 (1) Excludes the effect of amortization of debt issuance and conversion option costs. (2) As discussed in Note 3 ‒ Significant Accounting Policies ‒ Accounting Standard Adopted in 2022 , the Company adopted ASU 2020‑06 effective January 1, 2022. As a result of the adoption of ASU 2020-06, the Company reclassified approximately $50.3 million of issuance discount attributable to the conversion options originally recognized in the issuance of Exchangeable senior notes from Additional paid-in capital to the carrying value of the Exchangeable senior notes and $9.4 million of previously recognized accrual of the issuance discount, as an adjustment to the Accumulated deficit effective January 1, 2022. Asset-Backed Financing of Variable Interest Entities at Fair Value Following is a summary of financial information relating to the asset-backed financings at fair value described in Note 6 ‒ Variable Interest Entities ‒ Subordinate Mortgage-Backed Securities: Year ended December 31, 2022 2021 2020 (dollars in thousands) Average balance $ 1,512,590 $ 447,247 $ 203,795 Total interest expense $ 53,570 $ 15,076 $ 10,971 Weighted average interest rate (1) 3.42 % 3.63 % 3.30 % (1) Excludes the effect of amortization (accrual) of debt issuance costs (premiums) of $1.8 million, $(1.1) million and $4.2 million for the years ended December 31, 2022, 2021 and 2020, respectively. December 31, 2022 December 31, 2021 (dollars in thousands) Fair value $ 1,414,955 $ 1,469,999 Unpaid principal balance $ 1,681,410 $ 1,442,379 Weighted average interest rate 3.22 % 3.18 % Maturities of Long-Term Debt Contractual maturities of long-term debt obligations (based on stated maturity dates) are as follows: Year ended December 31, Total 2023 2024 2025 2026 2027 Thereafter (in thousands) Notes payable secured by credit risk transfer and mortgage servicing assets (1) $ 2,812,694 $ 689,227 $ 1,468,467 $ — $ 350,000 $ 305,000 $ — Exchangeable senior notes 555,000 — 210,000 — 345,000 — — Asset-backed financings at fair value (2) 1,681,410 — — — — — 1,681,410 Interest-only security payable at fair value (2) 21,925 — — — — — 21,925 Total $ 5,071,029 $ 689,227 $ 1,678,467 $ — $ 695,000 $ 305,000 $ 1,703,335 (1) Based on stated maturity. As discussed above, certain of the Notes payable secured by credit risk transfer and mortgage servicing assets allow the Company to exercise optional extensions. (2) Contractual maturity does not reflect expected repayment as borrowers of the underlying loans generally have the right to repay their loans at any time. |
Liability for Losses Under Repr
Liability for Losses Under Representations and Warranties | 12 Months Ended |
Dec. 31, 2022 | |
Liability For Representations And Warranties [Abstract] | |
Liability for Losses Under Representations and Warranties | Note 16—Liability for Losses Under Representations and Warranties Following is a summary of the Company’s liability for losses under representations and warranties: Year ended December 31, 2022 2021 2020 (in thousands) Balance, beginning of year $ 40,249 $ 21,893 $ 7,614 Provision for losses: Pursuant to loan sales 4,442 25,029 19,316 Reduction in liability due to change in estimate (4,227 ) (5,812 ) (4,457 ) Losses incurred, net (993 ) (861 ) (580 ) Balance, end of year $ 39,471 $ 40,249 $ 21,893 UPB of loans subject to representations and warranties at end of year $ 228,339,312 $ 213,944,023 $ 163,592,788 |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2022 | |
Commitments And Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 17—Commitments and Contingencies Commitments The following table summarizes the Company’s outstanding contractual commitments: December 31, 2022 (in thousands) Commitments to purchase loans acquired for sale $ 1,484,384 Contingencies Litigation From time to time, the Company may be involved in various legal and regulatory proceedings, claims and legal actions arising in the ordinary course of 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. Cessation of the LIBOR Index The Company historically used a LIBOR index to establish the applicable interest rates in lending and financing transactions. One-week and two-month United States Dollar LIBOR rates were discontinued as of December 31, 2021 and non-U.S. dollar LIBOR settings have ceased to be representative. In addition, the principal United States Dollar LIBOR tenors (overnight and one, three, six and 12 months) will cease to be published by any administrator or will no longer be representative as of June 30, 2023. The Company services LIBOR-based adjustable rate mortgages and other financial arrangements that may incorporate fallback provisions or replacement provisions related to the LIBOR transition. The discontinuation of LIBOR could affect the Company’s interest expense and earnings, cost of capital, and the fair value of certain of its assets and the instruments used to hedge their value. Furthermore, the transition away from widely used benchmark rates like LIBOR could result in customers or other market participants challenging the determination of their interest or dividend payments, disputing the interpretations or implementation of contract or instrument “fallback” provisions and other transition related changes. |
Shareholders' Equity
Shareholders' Equity | 12 Months Ended |
Dec. 31, 2022 | |
Equity [Abstract] | |
Shareholders' Equity | Note 18—Shareholders’ Equity Preferred Shares of Beneficial Interest Preferred shares of beneficial interest are summarized below: Preferred Dividends per share, year ended December 31, Share series Description (1) Number of shares Liquidation preference Issuance discount Carrying value 2022 2021 2020 Fixed-to-floating rate cumulative redeemable (in thousands, except dividends per share) A 8.125% Issued March 2017 4,600 $ 115,000 $ 3,828 $ 111,172 $ 2.03 $ 2.03 $ 2.03 B 8.00% Issued July 2017 7,800 195,000 6,465 188,535 $ 2.00 $ 2.00 $ 2.00 Fixed-rate cumulative redeemable C 6.75% Issued August 2021 10,000 250,000 8,225 241,775 $ 1.68 $ 0.52 — 22,400 $ 560,000 $ 18,518 $ 541,482 (1) Par value is $0.01 per share. The Company’s Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Shares of Beneficial Interest (the “Series A Preferred Shares”) pay cumulative dividends at a fixed rate of 8.125% per year based on the $25.00 per share liquidation preference to, but not including, March 15, 2024. From, and including, March 15, 2024 and thereafter, the Company will pay cumulative dividends on the Series A Preferred Shares at a floating rate equal to three-month LIBOR as calculated on each applicable dividend determination date plus a spread of 5.831% per year based on the $25.00 per share liquidation preference. The Company’s Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Shares of Beneficial Interest (the “Series B Preferred Shares”) pay cumulative dividends at a fixed rate of 8.00% per year based on the $25.00 per share liquidation preference to, but not including, June 15, 2024. From, and including, June 15, 2024 and thereafter, the Company will pay cumulative dividends on the Series B Preferred Shares at a floating rate equal to three-month LIBOR as calculated on each applicable dividend determination date plus a spread of 5.99% per year based on the $25.00 per share liquidation preference. The Company’s Series C Fixed Rate Cumulative Redeemable Preferred Shares of Beneficial Interest (the “Series C Preferred Shares” together with the Series A Preferred Shares and Series B Preferred Shares, the “Preferred Shares”) pay cumulative dividends at a fixed rate of 6.75% per year based on the $25.00 per share liquidation preference to, but not including, August 24, 2026 . The Series A Preferred Shares, the Series B Preferred Shares and Series C Preferred Shares will not be redeemable before March 15, 2024, June 15, 2024 and August 24, 2026, respectively, except in connection with the Company’s qualification as a REIT for U.S. federal income tax purposes or upon the occurrence of a change of control. On or after the date the Preferred Shares become redeemable, or 120 days after the first date on which such change of control occurred, the Company may, at its option, redeem any or all of the Preferred Shares at $25.00 per share plus any accumulated and unpaid dividends to, but not including, the redemption date. The Preferred Shares have no stated maturity, are not subject to any sinking fund or mandatory redemption and will remain outstanding indefinitely unless redeemed or repurchased by the Company or converted into Common Shares in connection with a change of control by the holders of the Preferred Shares. Common Shares of Beneficial Interest “At-The-Market” (ATM) Equity Offering Program The Company periodically enters into ATM equity offering programs allowing it to offer and sell securities on an as-and-when-needed basis through designated broker-dealers. On June 15, 2021, the Company entered into a new ATM equity offering program allowing it to offer up to $200 million in Common Shares, all of which were available for issuance as December 31, 2022. Following is a summary of the activities under the ATM equity offering program: Year ended December 31, 2020 (in thousands) Number of Common Shares issued 241 Gross proceeds $ 5,654 Net proceeds $ 5,597 Common Share Repurchase Program The Company has a Common Share repurchase program. On October 24, 2022, the Company’s board of trustees approved an increase to the Company’s Common Share repurchase authorization from $400 million to $500 million. The following table summarizes the Company’s Common Share repurchase activity: Year ended December 31, Cumulative 2022 2021 2020 total (1) (in thousands) Common Shares repurchased 6,094 3,099 2,767 26,691 Cost of Common Shares repurchased (2) $ 87,992 $ 56,855 $ 37,267 $ 398,739 (1) Amounts represent the Common Share repurchase program total from its inception in August 2015 through December 31, 2022. (2) Cumulative total cost of Common Shares repurchased includes $533,824 of transaction fees. |
Net (Losses) Gains on Investmen
Net (Losses) Gains on Investments and Financings | 12 Months Ended |
Dec. 31, 2022 | |
Investments Debt And Equity Securities [Abstract] | |
Net (Losses) Gains on Investments and Financings | Note 19—Net (Losses) Gains on Investments and Financings Net (losses) gains on investments and financings are summarized below: Year ended December 31, 2022 2021 2020 (in thousands) From nonaffiliates: Mortgage-backed securities $ (576,758 ) $ (74,354 ) $ 87,852 Loans at fair value: Held in VIEs (301,164 ) (12,536 ) (6,617 ) Distressed 686 611 (837 ) CRT arrangements (65,137 ) 368,999 (145,938 ) Firm commitment to purchase CRT securities — — (121,067 ) Asset-backed financings at fair value 283,586 19,708 5,519 Hedging derivatives — — 32,932 (658,787 ) 302,428 (148,156 ) From PFSI ‒ Excess servicing spread — 1,651 (22,729 ) $ (658,787 ) $ 304,079 $ (170,885 ) |
Net Gains on Loans Acquired for
Net Gains on Loans Acquired for Sale | 12 Months Ended |
Dec. 31, 2022 | |
Text Block [Abstract] | |
Net Gains on Loans Acquired for Sale | Note 20—Net Gains on Loans Acquired for Sale Net gains on loans acquired for sale are summarized below: Year ended December 31, 2022 2021 2020 (in thousands) From nonaffiliates: Cash losses: Sales of loans $ (1,196,384 ) $ (1,487,649 ) $ (326,214 ) Hedging activities 596,295 188,733 (504,506 ) (600,089 ) (1,298,916 ) (830,720 ) Non-cash gains: Recognition of fair value of firm commitment to purchase CRT securities — — (38,161 ) Receipt of MSRs in mortgage loan sale transactions 670,343 1,484,629 1,158,475 Provision for losses relating to representations and warranties provided in loan sales: Pursuant to loans sales (4,442 ) (25,029 ) (19,316 ) Reduction of liability due to change in estimate 4,227 5,812 4,457 (215 ) (19,217 ) (14,859 ) Change in fair value of loans and derivatives Interest rate lock commitments (2,928 ) (69,935 ) 61,232 Loans (4,057 ) 31,072 (12,279 ) Hedging derivatives (42,330 ) (46,832 ) 45,197 (49,315 ) (85,695 ) 94,150 620,813 1,379,717 1,199,605 Total from nonaffiliates 20,724 80,801 368,885 From PFSI ‒ cash gains 4,968 6,472 11,037 $ 25,692 $ 87,273 $ 379,922 |
Net Interest Expense
Net Interest Expense | 12 Months Ended |
Dec. 31, 2022 | |
Banking And Thrift Interest [Abstract] | |
Net Interest Expense | Note 21—Net Interest Expense Net interest expense is summarized below: Year ended December 31, 2022 2021 2020 (in thousands) Interest income: From nonaffiliates: Cash and short-term investments $ 6,912 $ 938 $ 3,804 Mortgage-backed securities 133,640 36,180 59,461 Loans acquired for sale at fair value 103,300 125,438 103,221 Loans at fair value: Held in consolidated variable interest entities 59,263 17,014 10,609 Distressed 219 369 493 Deposits securing CRT arrangements 21,324 559 7,012 Placement fees relating to custodial funds 57,961 13,366 28,804 Other 1,175 95 313 383,794 193,959 213,717 From PFSI ‒ Excess servicing spread — 1,280 8,418 383,794 195,239 222,135 Interest expense: To nonaffiliates: Assets sold under agreements to repurchase 165,436 97,078 102,131 Mortgage loan participation purchase and sale agreements 1,023 606 902 Notes payable secured by credit risk transfer and mortgage servicing assets 137,021 86,753 59,261 Exchangeable senior notes 33,368 36,747 18,847 Asset-backed financings at fair value 53,570 15,076 10,971 Interest shortfall on repayments of loans serviced for Agency securitizations 15,806 64,519 71,516 Interest on loan impound deposits 4,196 3,571 3,817 410,420 304,350 267,445 To PFSI ‒ Assets sold under agreement to repurchase — 387 3,325 410,420 304,737 270,770 Net interest expense $ (26,626 ) $ (109,498 ) $ (48,635 ) |
Share-Based Compensation
Share-Based Compensation | 12 Months Ended |
Dec. 31, 2022 | |
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract] | |
Share-Based Compensation Plans | Note 22—Share-Based Compensation The Company has adopted an equity incentive plan (“2019 Plan”) which provides for the issuance of equity based awards based on PMT’s Common Shares that may be made by the Company to its officers and trustees, and the members, officers, trustees, directors and employees of PCM, PFSI, or their affiliates and to PCM, PFSI and other entities that provide services to PMT and the employees of such other entities. The 2019 Plan is administered by the Company’s compensation committee, pursuant to authority delegated by PMT’s board of trustees, which has the authority to make awards to the eligible participants referenced above, and to determine what form the awards will take, and the terms and conditions of the awards. The Company's 2019 Plan allows for the grant of restricted and performance-based share and unit awards. The shares underlying award grants will again be available for award under the 2019 Plan if: • any shares subject to an award granted under the 2019 Plan are forfeited, canceled, exchanged or surrendered; • an award terminates or expires without a distribution of shares to the participant; or • shares are surrendered or withheld by PMT as payment of either the exercise price of an award and/or withholding taxes for an award. Restricted share units have been awarded to trustees and officers of the Company and to other employees of PFSI and its subsidiaries at no cost to the grantees. Such awards generally vest over a one- to three-year The following table summarizes the Company’s share-based compensation activity: Year ended December 31, 2022 2021 2020 (in thousands) Grants: Restricted share units 134 105 92 Performance share units 151 126 112 285 231 204 Grant date fair value: Restricted share units $ 2,101 $ 1,992 $ 1,978 Performance share units 2,350 2,399 2,425 $ 4,451 $ 4,391 $ 4,403 Vestings: Restricted share units 79 123 129 Performance share units (1) 41 48 143 120 171 272 Forfeitures: Restricted share units — — 4 Performance share units 13 — — 13 — 4 Compensation expense relating to share-based grants $ 4,310 $ 2,419 $ 2,294 (1) The actual number of performance-based restricted share units (“RSUs”), that vested during the year ended December 31, 2022 was 39,001 Common Shares, which is approximately 32% of the originally granted performance-based RSUs with 80,870 performance-based RSUs that vested with zero attainment . December 31, 2022 Restricted share units Performance share units Shares expected to vest: Number of units (in thousands) 225 219 Grant date average fair value per unit $ 17.31 $ 16.91 Average remaining vesting period (in months) 27 27 |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2022 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Note 23—Income Taxes The Company has elected to be taxed as a REIT for U.S. federal income tax purposes under Sections 856 through 860 of the Internal Revenue Code. Therefore, PMT generally will not be subject to corporate federal or state income tax to the extent that qualifying distributions are made to shareholders and the Company meets the REIT requirements including the asset, income, distribution and share ownership tests. The Company believes that it has met the distribution requirements, as it has declared dividends sufficient to distribute substantially all of its taxable income. Taxable income will generally differ from net income. The primary differences between net income and the REIT taxable income (before deduction for qualifying distributions) are the taxable income of the TRS and the method of determining the income or loss related to valuation of the REMIC and excess servicing interests owned by the qualified REIT subsidiary. In general, cash dividends declared by the Company will be considered ordinary income to the shareholders for income tax purposes. Some portion of the dividends may be characterized as capital gain distributions or a return of capital. For tax years beginning after December 31, 2017, the Tax Cuts and Jobs Act (the “Tax Act”) (subject to certain limitations) provides a 20% deduction from taxable income for ordinary REIT dividends. The approximate tax characterization of the Company’s distributions is as follows : Year ended December 31, Ordinary income Long term capital gain Return of capital 2022 86 % 0 % 14 % 2021 100 % 0 % 0 % 2020 75 % 25 % 0 % The Company has elected to treat its subsidiary, PMC, as a TRS. Income from a TRS is only included as a component of REIT taxable income to the extent that the TRS makes dividend distributions of income to the Company. The TRS made a $30 million distribution in 2022 which did not result in dividend income to the Company but was instead treated as a return of capital as the TRS did not have cumulative or current year tax earnings and profits. A TRS is subject to corporate federal and state income tax. Accordingly, a provision for income taxes for PMC is included in the consolidated statements of operations. The following table details the Company’s provision for (benefit from) income taxes which relates primarily to the TRS for the years presented: Year ended December 31, 2022 2021 2020 (in thousands) Current expense (benefit): Federal $ (5 ) $ — $ — State — 11 12 Total current expense (benefit) (5 ) 11 12 Deferred expense (benefit) : Federal 113,894 (14,692 ) 20,440 State 22,485 2,488 6,905 Total deferred expense (benefit) 136,379 (12,204 ) 27,345 Total provision for (benefit from) income taxes $ 136,374 $ (12,193 ) $ 27,357 The following table is a reconciliation of the Company’s provision for (benefit from) income taxes at statutory rates to the (benefit from) provision for income taxes at the Company’s effective rate for the years presented: Year ended December 31, 2022 2021 2020 Amount Rate Amount Rate Amount Rate (dollars in thousands) Federal income tax expense at statutory tax rate $ 13,248 21.0 % $ 9,379 21.0 % $ 16,743 21.0 % Effect of non-taxable REIT loss (income) 136,465 216.3 % (46,193 ) (103.4 )% 15,076 18.9 % State income taxes, net of federal benefit 27,573 43.7 % (7,175 ) (16.1 )% 5,370 6.7 % Convertible debt permanent adjustment (6,786 ) (10.8 )% (2,215 ) (5.0 )% 3,446 4.3 % Valuation allowance (34,121 ) (54.0 )% 34,011 76.2 % (13,502 ) (16.9 )% Other (5 ) (— )% — (— )% 224 0.3 % Provision for (benefit from) income taxes $ 136,374 216.2 % $ (12,193 ) (27.3 )% $ 27,357 34.3 % The Company’s components of the provision for (benefit from) deferred income taxes are as follows: Year ended December 31, 2022 2021 2020 (in thousands) Real estate valuation loss $ 66 $ 758 $ 437 Mortgage servicing rights 157,559 52,818 27,179 Net operating loss carryforward 4,075 (60,314 ) 31,622 Liability for losses under representations and warranties 269 (4,435 ) (3,486 ) Excess interest expense disallowance 9,134 (35,769 ) (15,749 ) Other (603 ) 727 844 Valuation allowance (34,121 ) 34,011 (13,502 ) Total provision for (benefit from) deferred income taxes $ 136,379 $ (12,204 ) $ 27,345 The components of income taxes payable are as follows: December 31, 2022 December 31, 2021 (in thousands) Taxes currently receivable $ (1,820 ) $ (7,620 ) Deferred income taxes payable 153,598 17,218 Income taxes payable $ 151,778 $ 9,598 The tax effects of temporary differences that gave rise to deferred income tax assets and liabilities are presented below: December 31, 2022 December 31, 2021 (in thousands) Deferred income tax assets: Net operating loss carryforward $ 121,853 $ 125,929 Excess interest expense disallowance 57,618 66,752 Liability for losses under representations and warranties 9,552 9,821 REO valuation loss 178 244 Other 537 — Gross deferred tax assets 189,738 202,746 Valuation allowance — (34,121 ) Deferred tax assets after valuation allowance 189,738 168,625 Deferred income tax liabilities: Mortgage servicing rights 341,993 184,433 Other 1,343 1,410 Gross deferred tax liabilities 343,336 185,843 Net deferred income tax liability $ 153,598 $ 17,218 The net deferred income tax liability is included in Income taxes payable The Company has net operating loss carryforwards of $470.2 million and $466.5 million at December 31, 2022 and December 31, 2021, respectively. Losses that occurred prior to 2018 expire between 2033 and 2036. Net operating losses arising in tax years beginning after December 31, 2017 can be carried forward indefinitely but their use is limited to 80% of taxable income for tax years beginning after December 31, 2020. We evaluated the deferred tax assets of our TRS and determined that a deferred tax valuation allowance is no longer required due to sufficient TRS GAAP income. In our evaluation, we consider, among other things, taxable loss carryback availability, expectations of sufficient future taxable income, trends in earnings, existence of taxable income in recent years, the future reversal of temporary differences, and available tax planning strategies that could be implemented, if required. We establish valuation allowances based on the consideration of all available evidence using a more-likely-than-not standard. At December 31, 2022 and December 31, 2021, the Company had no unrecognized tax benefits and does not anticipate any unrecognized tax benefits. Should the accrual of any interest or penalties relative to unrecognized tax benefits be necessary, it is the Company’s policy to record such accruals in the Company’s income tax accounts. No such accruals existed at December 31, 2022 and December 31, 2021. The Company files U.S. federal and state income tax returns for both the REIT and the TRS. These federal income tax returns for 2019 and forward are subject to examination. The Company’s state income tax returns are generally subject to examination for 2018 and forward. |
Earnings Per Common Share
Earnings Per Common Share | 12 Months Ended |
Dec. 31, 2022 | |
Earnings Per Share [Abstract] | |
Earnings Per Common Share | Note 24—Earnings Per Common Share The Company grants restricted share units which entitle the recipients to receive dividend equivalents during the vesting period on a basis equivalent to the dividends paid to holders of Common Shares. Unvested share-based compensation awards containing non-forfeitable rights to receive dividends or dividend equivalents (collectively, “dividends”) are classified as “participating securities” and are included in the basic earnings per share calculation using the two-class method. Under the two-class method, all earnings (distributed and undistributed) are allocated to Common Shares and participating securities based on their respective rights to receive dividends. Basic earnings per share is determined by dividing net income available to common shareholders (net income reduced by preferred dividends and income attributable to the participating securities) by the weighted average Common Shares outstanding during the period. Diluted earnings per share is determined by dividing net income attributable to diluted shareholders, which, during the year ended December 31, 2020, added back to net income the interest expense, net of applicable income taxes, on the 5.375% exchangeable notes due May 1, 2020 by the weighted average Common Shares outstanding, assuming all dilutive securities were issued. The following table summarizes the basic and diluted earnings per share calculations: Year ended December 31, 2022 2021 2020 (in thousands except per share amounts) Net (loss) income $ (73,287 ) $ 56,854 $ 52,373 Dividends on preferred shares (41,819 ) (30,891 ) (24,938 ) Effect of participating securities—share-based compensation awards (408 ) (318 ) (287 ) Net (loss) income attributable to common shareholders $ (115,514 ) $ 25,645 $ 27,148 Weighted average basic shares outstanding 91,434 97,402 99,373 Dilutive securities‒shares issuable under share-based compensation plan — — — Diluted weighted average shares outstanding 91,434 97,402 99,373 Basic (loss) earnings per share $ (1.26 ) $ 0.26 $ 0.27 Basic (loss) earnings per share $ (1.26 ) $ 0.26 $ 0.27 Calculation of diluted earnings per share requires certain potentially dilutive shares to be excluded when the inclusion of such shares would be anti-dilutive. The following table summarizes the potentially dilutive shares excluded from the diluted earnings per share calculation as inclusion of such shares would have been anti-dilutive: Year ended December 31, 2022 2021 2020 (in thousands) Shares issuable under share-based compensation plan 136 162 172 Shares issuable pursuant to exchange of the Exchangeable Senior Notes 24,328 — 2,529 |
Segments
Segments | 12 Months Ended |
Dec. 31, 2022 | |
Segment Reporting [Abstract] | |
Segments | Note 25—Segments The Company operates in four segments as described in Note 1 ‒ Organization The Company’s reportable segments are identified based on PMT’s investment strategies. The Company’s chief operating decision maker is its chief executive officer. The following disclosures about the Company’s business segments are presented consistent with the way the Company’s chief operating decision maker organizes and evaluates financial information for making operating decisions and assessing performance. Financial highlights by operating segment are summarized below: Credit Interest rate sensitive sensitive Correspondent Year ended December 31, 2022 strategies strategies production Corporate Total (in thousands) Net investment income: Net loan servicing fees $ — $ 909,551 $ — $ — $ 909,551 Net (losses) gains on investments and financings (93,739 ) (565,048 ) — — (658,787 ) Net gains on loans acquired for sale 5 — 25,687 — 25,692 Net interest expense: Interest income 38,810 238,527 103,065 3,392 383,794 Interest expense 52,385 285,304 70,531 2,200 410,420 (13,575 ) (46,777 ) 32,534 1,192 (26,626 ) Other 537 — 52,857 547 53,941 (106,772 ) 297,726 111,078 1,739 303,771 Expenses: Loan fulfillment and servicing fees payable to PFSI 219 81,696 67,991 — 149,906 Management fees — — — 31,065 31,065 Other 5,575 8,228 15,530 30,380 59,713 5,794 89,924 83,521 61,445 240,684 Pretax (loss) income $ (112,566 ) $ 207,802 $ 27,557 $ (59,706 ) $ 63,087 Total assets at end of year $ 1,614,977 $ 9,991,621 $ 1,936,797 $ 378,169 $ 13,921,564 Credit Interest rate sensitive sensitive Correspondent Year ended December 31, 2021 strategies strategies production Corporate Total (in thousands) Net investment income: Net loan servicing fees $ — $ (36,022 ) $ — $ — $ (36,022 ) Net (losses) gains on investments and financings: 376,725 (72,646 ) — — 304,079 Net gains on loans acquired for sale (2 ) — 87,275 — 87,273 Net interest expense: Interest income 2,739 64,528 125,056 2,916 195,239 Interest expense 59,545 160,525 84,667 — 304,737 (56,806 ) (95,997 ) 40,389 2,916 (109,498 ) Other 3,204 — 171,261 — 174,465 323,121 (204,665 ) 298,925 2,916 420,297 Expenses: Loan fulfillment and servicing fees payable to PFSI 363 80,295 178,927 — 259,585 Management fees — — — 37,801 37,801 Other 16,115 5,105 33,062 23,968 78,250 16,478 85,400 211,989 61,769 375,636 Pretax (loss) income $ 306,643 $ (290,065 ) $ 86,936 $ (58,853 ) $ 44,661 Total assets at end of year $ 1,848,294 $ 7,363,878 $ 4,325,750 $ 234,786 $ 13,772,708 Credit Interest rate sensitive sensitive Correspondent Year ended December 31, 2020 strategies strategies production Corporate Total (in thousands) Net investment income: Net loan servicing fees $ — $ 153,696 $ — $ — $ 153,696 Net (losses) gains on investments and financings: (237,049 ) 66,164 — — (170,885 ) Net gains on loans acquired for sale (43,813 ) — 423,735 — 379,922 Net interest expense: Interest income 8,902 108,036 102,779 2,418 222,135 Interest expense 39,237 153,338 76,892 1,303 270,770 (30,335 ) (45,302 ) 25,887 1,115 (48,635 ) Other 5,857 — 147,600 1,796 155,253 (305,340 ) 174,558 597,222 2,911 469,351 Expenses: Loan fulfillment and servicing fees payable to PFSI 807 66,374 222,200 — 289,381 Management fees — — — 34,538 34,538 Other 10,996 2,487 30,383 21,836 65,702 11,803 68,861 252,583 56,374 389,621 Pretax (loss) income $ (317,143 ) $ 105,697 $ 344,639 $ (53,463 ) $ 79,730 Total assets at end of year $ 2,920,558 $ 4,593,127 $ 3,781,010 $ 197,316 $ 11,492,011 |
Regulatory Capital and Liquidit
Regulatory Capital and Liquidity Requirements | 12 Months Ended |
Dec. 31, 2022 | |
Mortgage Banking [Abstract] | |
Regulatory Capital and Liquidity Requirements | Note 26—Regulatory Capital and Liquidity Requirements The Company, through PMC, is subject to financial eligibility requirements established by the Federal Housing Finance Agency for sellers/servicers eligible to sell or service mortgage loans with Fannie Mae and Freddie Mac. The eligibility requirements include: • A 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; • A tangible net worth/total assets ratio greater than or equal to 6%; and • A liquidity requirement equal to 3.5 basis points of the aggregate UPB serviced for the Agencies plus 200 basis points of total nonperforming Agency servicing UPB 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. The Agencies’ capital and liquidity amounts and requirements are summarized below: Net worth (1) Tangible net worth / total assets ratio (1) Liquidity (1) Fannie Mae and Freddie Mac Actual Required Actual Required Actual Required (dollars in thousands) December 31, 2022 $ 1,138,331 $ 586,436 16 % 6 % $ 343,286 $ 79,372 December 31, 2021 $ 938,218 $ 557,229 12 % 6 % $ 108,536 $ 74,771 (1) Calculated in accordance with the Agencies’ requirements. In August 2022, the Agencies issued revised capital and liquidity requirements. The requirements will be effective at various dates beginning September 30, 2023, for issuers of securities guaranteed by seller/servicers of mortgage loans to Fannie Mae and Freddie Mac. The Company believes it was in compliance with the Agencies’ revised requirements as of December 31, 2022. Noncompliance with the Agencies’ capital and liquidity requirements can result in the Agencies taking various remedial actions up to and including removing the Company’s ability to sell loans to and service loans on behalf of the Agencies. |
Parent Company Information
Parent Company Information | 12 Months Ended |
Dec. 31, 2022 | |
Condensed Financial Information Of Parent Company Only Disclosure [Abstract] | |
Parent Company Information | Note 27—Parent Company Information The Company’s debt financing agreements require PMT and certain of its subsidiaries to comply with financial covenants that include a minimum tangible net worth as summarized below: December 31, 2022 Company consolidated Debt covenant requirement Calculated balance (1) (in thousands) PennyMac Mortgage Investment Trust $ 1,250,000 $ 1,962,815 PennyMac Operating Partnership, L.P. $ 700,000 $ 2,018,327 PennyMac Holdings, LLC $ 250,000 $ 836,113 PennyMac Corp. $ 300,000 $ 1,141,891 (1) Calculated in accordance with the lenders’ requirements. The Company’s subsidiaries are limited from transferring funds to the Parent by these minimum tangible net worth requirements. PENNYMAC MORTGAGE INVESTMENT TRUST CONDENSED BALANCE SHEETS Following are condensed parent-only financial statements for the Company: December 31, 2022 2021 (in thousands) Assets Short-term investment $ 507 $ 3,542 Investments in subsidiaries 2,220,692 2,518,953 Due from subsidiaries 150 89 Other assets 904 — Total assets $ 2,222,253 $ 2,522,584 Liabilities Dividends payable $ 35,658 $ 44,764 Capital notes due to subsidiaries 200,780 100,679 Accounts payable and accrued liabilities 342 1,233 Due to affiliates 280 421 Due to subsidiaries 1,586 244 Total liabilities 238,646 147,341 Shareholders' Equity 1,983,607 2,375,243 Total liabilities and shareholders' equity $ 2,222,253 $ 2,522,584 PENNYMAC MORTGAGE INVESTMENT TRUST CONDENSED STATEMENTS OF OPERATIONS Year ended December 31, 2022 2021 2020 (in thousands) Income Dividends from subsidiaries $ 214,885 $ 213,794 $ 176,216 Intercompany interest 8 42 140 Other — — 475 Total income 214,893 213,836 176,831 Expenses Intercompany interest 14,244 3,663 1,509 Other 71 85 62 Total expenses 14,315 3,748 1,571 Income before (benefit from) provision for income taxes and distribution in excess of earnings 200,578 210,088 175,260 (Benefit from) provision for income taxes (5 ) 11 13 Income before equity in undistributed earnings of subsidiaries 200,583 210,077 175,247 Distributions in excess of earnings of subsidiaries (251,409 ) (133,576 ) (139,620 ) Net (loss) income $ (50,826 ) $ 76,501 $ 35,627 PENNYMAC MORTGAGE INVESTMENT TRUST CONDENSED STATEMENTS OF CASH FLOWS Year ended December 31, 2022 2021 2020 (in thousands) Cash flows from operating activities: Net (loss) income $ (50,826 ) $ 76,501 $ 35,627 Adjustments to reconcile net (loss) income to net cash provided by operating activities: Distributions in excess of earnings of subsidiaries 251,409 133,576 139,620 Decrease in due from subsidiaries 753 967 697 (Increase) decrease in other assets (903 ) 571 24 (Decrease) increase in accounts payable and accrued liabilities (891 ) 854 (1,266 ) Decrease (increase) in due from affiliates (141 ) 48 (26 ) Increase in due to affiliates 1,342 297 27 Net cash provided by operating activities 200,743 212,814 174,703 Cash flows from investing activities: Increase in investment in subsidiaries — (242,125 ) (5,596 ) Net decrease (increase) in short-term investments 3,035 2,940 (3,663 ) Net cash provided by (used in) investing activities 3,035 (239,185 ) (9,259 ) Cash flows from financing activities: Net increase in intercompany unsecured note payable 100,101 56,300 44,380 Issuance of preferred shares — 250,000 — Payment of issuance costs related to preferred shares — (8,225 ) — Issuance of Common Shares — — 5,654 Payment of issuance costs related to Common Shares — — (57 ) Payment of withholding taxes related to share-based compensation (522 ) (730 ) (1,629 ) Payment of dividends to preferred shareholders (41,819 ) (30,146 ) (24,945 ) Payment of dividends to common shareholders (173,546 ) (183,973 ) (151,580 ) Repurchase of Common Shares (87,992 ) (56,855 ) (37,267 ) Net cash (used in) provided by financing activities (203,778 ) 26,371 (165,444 ) Net change in cash — — — Cash at beginning of year — — — Cash at end of year $ — $ — $ — Non-cash investing activities: Investment in subsidiary pursuant to share based compensation plan $ 4,309 $ 2,418 $ 2,289 Non-cash financing activities: Contribution of equity to subsidiary pursuant to share based compensation plan $ 4,309 $ 2,418 $ 2,289 Dividends payable $ 35,658 $ 44,764 $ 46,093 |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2022 | |
Subsequent Events [Abstract] | |
Subsequent Events | Note 28—Subsequent Events Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period: • All agreements to repurchase assets that matured before the date of this Report were extended or renewed. |
Significant Accounting Polici_2
Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2022 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Segment Reporting | PennyMac Mortgage Investment Trust (“PMT” or the “Company”) is a specialty finance company, which, through its subsidiaries (all of which are wholly-owned), invests primarily in residential mortgage-related assets. The Company operates in four segments: credit sensitive strategies, interest rate sensitive strategies, correspondent production, and corporate: • The credit sensitive strategies segment represents the Company’s investments in credit risk transfer (“CRT”) arrangements, including CRT agreements (“CRT Agreements”) and other CRT securities (together, “CRT arrangements”), subordinate mortgage-backed securities (“MBS”), distressed loans and real estate. • The interest rate sensitive strategies segment represents the Company’s investments in mortgage servicing rights (“MSRs”), excess servicing spread (“ESS”) purchased from PennyMac Financial Services, Inc. (“PFSI”), a publicly-traded mortgage banking and investment management company, Agency and senior non-Agency MBS and the related interest rate hedging activities. • The correspondent production segment represents the Company’s operations aimed at serving as an intermediary between lenders and the capital markets by purchasing, pooling and reselling newly originated prime credit quality loans either directly or in the form of MBS, using the services of PNMAC Capital Management, LLC (“PCM”) and PennyMac Loan Services, LLC (“PLS”), both subsidiaries of PFSI. The Company primarily sells the loans it acquires through its correspondent production activities to government-sponsored entities (“GSEs”) such as the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or to PLS for sale into securitizations guaranteed by the Government National Mortgage Association (“Ginnie Mae”). Fannie Mae, Freddie Mac and Ginnie Mae are each referred to as an “Agency” and, collectively, as the “Agencies.” • The corporate segment includes management fees, corporate expense amounts and certain interest income. |
Basis of Presentation | Basis of Presentation The Company’s 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 |
Use of Estimates | Use of Estimates Preparation of financial statements in compliance with GAAP requires the Company to make estimates and judgments 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. |
Consolidation | Consolidation The consolidated financial statements include the accounts of PMT and all wholly-owned subsidiaries. PMT has no significant equity method or cost-basis investments. Intercompany accounts and transactions are eliminated upon consolidation. The Company also consolidates the assets and liabilities included in certain Variable Interest Entities (“VIEs”) discussed below. Variable Interest Entities The Company enters into various types of on- and off-balance sheet transactions with special purpose entities (“SPEs”), which are trusts that are established for a limited purpose. Generally, SPEs are formed in connection with securitization transactions. In a securitization transaction, the Company transfers assets on its balance sheet to an SPE, which then issues various forms of beneficial interests in those assets to investors. In a securitization transaction, the Company typically receives a combination of cash and beneficial interests in the SPE in exchange for the assets transferred by the Company. SPEs are generally VIEs. A VIE is an entity having either a total equity investment at risk that is insufficient to finance its activities without additional subordinate financial support or whose equity investors at risk lack the ability to control the entity’s activities. Variable interests are investments or other interests that will absorb portions of a VIE’s expected losses or receive portions of the VIE’s expected residual returns. Expected residual returns represent the expected positive variability in the fair value of a VIE’s net assets. PMT consolidates the assets and liabilities of VIEs of which the Company is the primary beneficiary. The primary beneficiary is the party that has both the power to direct the activities that most significantly impact the economic performance of the VIE and holds a variable interest that could potentially be significant to the VIE. To determine whether a variable interest the Company holds could potentially be significant to the VIE, the Company considers both qualitative and quantitative factors regarding the nature, size and form of its involvement with the VIE. The Company evaluates whether it is the primary beneficiary of a VIE on an ongoing basis. The Company also evaluates the securitization trust holding the assets to determine whether the entity is a VIE and whether the Company is the primary beneficiary and therefore is required to consolidate the securitization trust. Credit Risk Transfer Arrangements The Company holds CRT arrangements with Fannie Mae, pursuant to which PennyMac Corp. (“PMC”), through subsidiary trust entities, sold pools of loans into Fannie Mae-guaranteed loan securitizations while retaining Recourse Obligations for credit losses and IO ownership interests in such loans. Loans subject to the CRT arrangements were transferred by PMC to subsidiary trust entities which sold the loans into Fannie Mae loan securitizations. Transfers of loans subject to CRT arrangements received sale accounting treatment. The Company has concluded that its subsidiary trust entities holding its CRT arrangements are VIEs and the Company is the primary beneficiary of the VIEs as it is the holder of the primary beneficial interests which absorb the variability of the trusts’ results of operations. Consolidation of the VIEs results in the inclusion on the Company’s consolidated balance sheet of the fair value of the Recourse Obligations, and retained IO ownership interests in the form of derivative and interest-only strip assets and liabilities, the deposits pledged to fulfill the Recourse Obligations and an interest only security payable at fair value. The deposits represent the Company’s maximum contractual exposure to claims under its Recourse Obligations and are the sole source of settlement of losses under the CRT arrangements. Gains and losses on the derivative and interest-only strip assets and liabilities related to CRT arrangements are included in Net (losses) gains on investments and financings Subordinate Mortgage-Backed Securities The Company retains or purchases subordinate MBS backed by loans secured by investment properties in transactions sponsored by PMC or a nonaffiliate. Subordinate MBS provide the Company with a higher yield than senior securities. However, the Company retains credit risk in the subordinate MBS since they are the first securities to absorb credit losses relating to the underlying loans. Cash inflows from the loans underlying subordinate MBS are distributed to investors and service providers in accordance with the contractual priority of payments and, as such, most of these inflows must be directed first to service and repay the senior certificates. The rights of holders of the subordinate certificates to receive distributions of principal and/or interest, as applicable, are subordinate to the rights of holders of the senior certificates. After the senior certificates are repaid, substantially all cash inflows will be directed to the subordinate certificates, including those held by the Company, until they are fully repaid. The Company has concluded that the trusts holding the assets underlying certain of these transactions are VIEs. The Company has concluded that it is the primary beneficiary of the VIEs as it has the power, through PLS, in its role as the servicer or sub-servicer of the loans, to direct the activities of the trusts that most significantly impact the trusts’ economic performance and, as a holder of subordinate securities, that PMT is exposed to losses that could potentially be significant to the VIEs. Therefore, PMT consolidates the VIEs where it holds subordinate interests and services the majority of the loans held in the VIEs. Jumbo Loan Securitization Transaction On September 30, 2013, the Company completed a securitization transaction in which a VIE issued $537.0 million in unpaid principal balance (“UPB”) of certificates backed by fixed-rate prime jumbo loans at a 3.9% weighted cost. The securities issued by the VIE are backed by the expected cash flows from its underlying fixed-rate prime jumbo loans. Cash inflows from these fixed-rate prime jumbo loans are distributed to investors and service providers in accordance with the contractual priority of payments and, as such, most of these inflows must be directed first to service and repay the senior certificates. After the senior certificates are repaid, substantially all cash inflows will be directed to the subordinate certificates until fully repaid and, thereafter, to the residual interest in the trust that the Company owns. The Company holds beneficial interests in the securitization transaction, including subordinate certificates and residual interests issued by the VIE. The Company retains credit risk in the securitization because the Company’s beneficial interests include the most subordinate interests in the securitized assets, which are the first beneficial interests to absorb credit losses on those assets. The Company expects that any credit losses in the pools of securitized assets will likely be limited to the Company’s subordinate and residual interests. The Company has no obligation to repurchase or replace securitized assets that subsequently become delinquent or are otherwise in default other than pursuant to breaches of representations and warranties. The VIE is consolidated by PMT as the Company determined that it is the primary beneficiary of the VIE. The Company concluded that it is the primary beneficiary of the VIE as it has the power, through its affiliate, PLS, in its role as servicer of the loans, to direct the activities of the trust that most significantly impact the trust’s economic performance and the subordinate and residual interest trust certificates expose PMT to losses and returns that could potentially be significant to the VIE. For financial reporting purposes, the loans owned by the consolidated VIEs are included in Loans at fair value Asset-backed financings at fair value Loans at fair value Asset-backed financings at fair value Loans at fair value The Company recognizes the interest income earned on the loans owned by the VIEs and the interest expense attributable to the asset-backed securities issued to nonaffiliates by the VIEs on its consolidated statements of operations. |
Fair Value | Fair Value The Company’s consolidated financial statements include assets and liabilities that are measured at or based on their fair values. Measurement at or based on fair value may be on a recurring or nonrecurring basis depending on the accounting principles applicable to the specific asset or liability and whether the Company has elected to carry the item at its fair value as discussed in the following paragraphs. The Company groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the inputs used to determine fair value. These levels are: • Level 1—Quoted prices in active markets for identical assets or liabilities. • Level 2—Prices determined or determinable using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing an asset or liability and are developed based on market data obtained from sources independent of the Company. • Level 3—Prices determined using significant unobservable inputs. In situations where significant 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. The Company reclassifies its assets and liabilities between levels of the fair value hierarchy when the inputs required to establish fair value at a level of the fair value hierarchy are no longer readily available, requiring the use of lower-level inputs, or when the inputs required to establish fair value at a higher level of the hierarchy become available. Fair Value Accounting Elections The Company identified all of PMT’s non-cash financial assets, its Firm commitment to purchase CRT securities Asset-backed financings at fair value Interest-only security payable at fair value |
Short-Term Investments | Short-Term Investments Short-term investments are carried at fair value with changes in fair value recognized in current period results of operations. Short-term investments represent deposit accounts. The Company categorizes its short-term investments as “Level 1” fair value assets. |
Mortgage-Backed Securities | Mortgage-Backed Securities The Company’s investments in MBS are carried at fair value with changes in fair value recognized in current period results of operations. Changes in fair value arising from amortization of purchase premiums and accrual of unearned discounts are recognized using the interest method and are included in Interest income. Net (losses) gains on investments and financings. Interest Income Recognition Interest income on MBS is recognized over the life of the security using the interest method. The Company estimates, at the time of purchase, the future expected cash flows and determines the effective interest rate based on the estimated cash flows and the security’s purchase price. The Company updates its cash flow estimates monthly. |
Loans | Loans Loans are carried at their fair values with changes in fair value recognized in current period results of operations. Changes in fair value, other than changes in fair value attributable to accrual of unearned discounts and amortization of purchase premiums, are included in Net (losses) gains on investments and financings Loans at fair value Net gains on loans acquired for sale Loans acquired for sale at fair value Interest income Loans acquired for sale at fair value Loans at fair value held in VIEs Sale Recognition The Company purchases from and sells loans into 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 the representations and warranties it makes to purchasers and insurers of the loans. The Company recognizes transfers of loans as sales based on whether the transfer is made to a VIE: • For loans that are transferred to a VIE, the Company recognizes the transfer as a sale when it determines that the Company is not the primary beneficiary of the VIE. • For loans that are not transferred to a VIE, the Company recognizes the transfer as a sale when it surrenders control over the loans. Control over transferred loans is deemed to be surrendered when (i) the loans have been isolated from the Company, (ii) the transferee has the right (free of conditions that constrain it from taking advantage of that right) to pledge or exchange the transferred loans, and (iii) the Company does not maintain effective control over the transferred loans through either (a) an agreement that entitles and obligates the Company to repurchase or redeem the loans before their maturity or (b) the ability to unilaterally cause the holder to return specific loans. Interest Income Recognition The Company has the ability but not the intent to hold loans acquired for sale and loans at fair value other than loans held in VIEs for the foreseeable future. Therefore, interest income on loans acquired for sale and loans at fair value other than loans held in VIEs is recognized over the life of the loans using their contractual interest rates. The Company has both the ability and intent to hold loans held in VIEs for the foreseeable future. Therefore, interest income on loans held in VIEs is recognized over the estimated remaining life of the loans using the interest method. Unearned discounts and purchase premiums are accrued and amortized to interest income using the effective interest rate inherent in the estimated cash flows from the loans. Income recognition is suspended and the accrued unpaid interest receivable is reversed against interest income when a loan becomes 90 days delinquent. Income recognition is resumed when the loan becomes contractually current. |
Excess Servicing Spread | Excess Servicing Spread The Company has acquired the right to receive the ESS related to certain of the MSRs owned by PFSI. ESS is carried at its fair value. The Company categorizes ESS as a “Level 3” fair value asset. Interest Income Recognition Interest income for ESS is accrued using the interest method, based upon the expected yield from the ESS through the expected life of the underlying mortgages. |
Derivative and Credit Risk Transfer Strip Assets and Liabilities | Derivative and Credit Risk Transfer Strip Assets and Liabilities The Company holds and issues derivative financial instruments in connection with its operating, investing and financing activities. Derivative financial instruments are created as a result of certain of the Company’s operations and the Company also enters into derivative transactions as part of its interest rate risk management activities. Derivative financial instruments created as a result of the Company’s operations include: • Interest rate lock commitments (“IRLCs”) that are created when the Company commits to purchase loans acquired for sale; and • CRT Agreements whereby the Company retained a Recourse Obligation relating to certain loans it sold into Fannie Mae guaranteed securitizations as part of the retention of an IO ownership interest in such loans. The Company engages in interest rate risk management activities in an effort to reduce the variability of earnings caused by the effects of changes in interest rates on the fair value of certain of its assets and liabilities. The Company bears price risk related to its mortgage production, servicing and MBS financing activities due to changes in market interest rates as discussed below: • The Company is exposed to loss if market mortgage interest rates increase because market interest rate increases generally cause the fair value of MBS, IRLCs and loans acquired for sale to decrease. • The Company is exposed to losses if market mortgage interest rates decrease because market interest rate decreases generally cause the fair value of MSRs and ESS to decrease. To manage the price risk resulting from these interest rate risks, the Company uses derivative financial instruments with the intention of moderating the risk that changes in market interest rates will result in unfavorable changes in the fair value of the Company’s inventory of loans acquired for sale, IRLCs, MSRs and MBS financing. The Company records all derivative and CRT strip assets and liabilities at fair value and records changes in fair value in current period results of operations. The Company does not designate and qualify any of its derivative financial instruments for hedge accounting. Cash flows from derivative financial instruments relating to hedging of IRLCs and loans acquired for sale are included in Cash flows from operating activities Sale and repayment of loans acquired for sale at fair value to nonaffiliates. Cash flows from investing activities |
Firm Commitment to Purchase Credit Risk Transfer Securities | Firm Commitment to Purchase Credit Risk Transfer Securities The Company carried its firm commitment to purchase CRT securities at fair value. The firm commitment to purchase CRT securities was recognized initially as a component of Net gains on loans acquired for sale Net (losses) gains on investments and financings |
Real Estate Acquired in Settlement of Loans | Real Estate Acquired in Settlement of Loans Real estate acquired in settlement of loans (“REO”) is measured at the lower of the acquisition cost of the property (as measured by the fair value of the loan immediately before acquisition of the property in settlement of a loan) or its fair value reduced by estimated costs to sell. Changes in fair value to levels that are less than or equal to acquisition cost and gains or losses on sale of REO are recognized in the consolidated statements of operations under the caption Results of real estate acquired in settlement of loans |
Mortgage Servicing Rights | Mortgage Servicing Rights MSRs arise from contractual agreements between the Company and investors (or their agents) in mortgage securities and loans. Under these agreements, the Company is obligated to provide loan servicing functions in exchange for fees and other remuneration. The servicing functions typically performed include, among other responsibilities, collecting and remitting loan payments; responding to borrower inquiries; accounting for principal and interest, holding custodial (impound) funds for payment of property taxes and insurance premiums; counseling delinquent mortgagors, administering loss mitigation activities, including modification and forbearance programs; and supervising foreclosures and property dispositions. The Company has engaged PFSI to provide these services on its behalf. The Company recognizes MSRs initially at their fair values, either as proceeds from sales of loans where the Company assumes the obligation to service the loan in the sale transaction, or from the purchase of MSRs. The Company categorizes its MSR as a “Level 3” fair value asset. |
Servicing Advances | Servicing Advances Servicing advances represent advances made on behalf of borrowers and the loans’ investors to fund property tax and insurance premiums for impounded loans with inadequate impound balances and for non-impounded loans with delinquent property taxes or insurance premiums and out of pocket collection costs for delinquent loans (e.g., preservation and restoration of mortgaged property, legal fees, appraisals and insurance premiums). Servicing advances are made in accordance with the Company’s servicing agreements and, when made, are deemed recoverable. The Company periodically reviews servicing advances for collectability. Servicing advances are written off when they are deemed uncollectible. |
Borrowings | Borrowings Borrowings, other than Asset-backed financings at fair value Interest-only security payable at fair value Interest expense Asset-backed financings at Fair Value and The certificates issued to nonaffiliates by the Company relating to the asset-backed financings and interest only security payable Interest-only security payable at fair value Net (losses) gains on investments and financings Interest-only security payable at fair value |
Liability for Losses Under Representation and Warranties | Liability for Losses Under Representations and Warranties The Company provides for its estimate of the losses that it expects to incur in the future as a result of its breach of the representations and warranties that it provides to the purchasers and insurers of the loans it has sold. The Company’s sales agreements include representations and warranties related to the loans the Company sells to the Agencies and other investors. The representations and warranties require adherence to Agency and other investor origination and underwriting guidelines, including but not limited to the validity of the lien securing the loan, property eligibility, property value, loan amount, borrower credit, income and asset requirements, and compliance with applicable federal, state and local law. In the event of a breach of its representations and warranties, the Company may be required to either repurchase the loans with the identified defects or indemnify the investor or insurer against credit losses arising from such loans. In either case, the Company bears any subsequent credit loss on the loans. The Company’s credit loss may be reduced by any recourse it has to correspondent sellers that, in turn, had sold such loans to the Company and breached similar or other representations and warranties. In such event, the Company has the right to seek a recovery of related repurchase losses from that correspondent seller. The Company records a provision for losses relating to representations and warranties as part of its loan sale transactions. The method used to estimate the liability for representations and warranties is a function of the representations and warranties given and considers a combination of factors, including, but not limited to, estimated future defaults and loan defect rates, the estimated severity of loss in the event of default and the probability of reimbursement by the correspondent loan seller. The Company establishes a liability at the time loans are sold and periodically updates its liability estimate. The level of the liability for representations and warranties is reviewed and approved by the Company’s management credit committee. The level of the liability for representations and warranties is difficult to estimate and requires considerable judgment. The level of loan repurchase losses is dependent on economic factors, investor demand strategies, and other external conditions that may change over the lives of the underlying loans. The Company’s representations and warranties are generally not subject to stated limits of exposure. However, the Company believes that the current UPB of loans sold by PMT to date represents the maximum exposure to repurchases related to representations and warranties. |
Loan Servicing Fees | Loan Servicing Fees Loan servicing fees and other remuneration are received by the Company for servicing residential loans. Loan servicing activities are described under Mortgage servicing rights Loan servicing fee amounts are based upon fee rates established at the time a loan sale or securitization is entered into and upon the unpaid principal balance of the loans. Loan servicing fees are recognized in the period in which they are earned. |
Share-Based Compensation | Share-Based Compensation The Company amortizes the fair value of previously granted share-based awards to Compensation adjusted for the portion of the awards expected to vest on the date of the award. The Company adjusts the cost of its share-based awards for changes in estimates of the portion of the awards it expects to be forfeited by grantees and for changes in expected performance attainment in each subsequent reporting period until the units have vested or have been forfeited, the service being provided is subsequently completed, or, under certain circumstances, is likely to be completed, whichever occurs first. |
Income Taxes | Income Taxes The Company has elected to be taxed as a REIT and the Company believes PMT complies with the provisions of the Internal Revenue Code applicable to REITs. Accordingly, the Company believes PMT will not be subject to federal income tax on that portion of its REIT taxable income that is distributed to shareholders as long as certain asset, income and share ownership tests are met. If PMT fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to income taxes and may be precluded from qualifying as a REIT for the four tax years following the year of loss of the Company’s REIT qualification. PMC, the Company’s taxable REIT subsidiary (“TRS”), is subject to federal and state income taxes. Income taxes are provided for using the asset and liability method. Deferred tax assets and liabilities are recognized for the future tax consequences attributable to differences between the financial statement carrying amounts of existing assets and liabilities and their respective tax bases. Deferred tax assets and liabilities are measured using enacted rates expected to apply to taxable income in the years in which the Company expects those temporary differences to be recovered or settled. The effect on deferred taxes of a change in tax rates is recognized in income in the period in which the change occurs. A valuation allowance is established if, in the Company’s judgment, realization of deferred tax assets is not more likely than not. The Company recognizes a tax benefit relating to tax positions it takes only if it is more likely than not that the position will be sustained upon examination by the appropriate taxing authority. A tax position that meets this standard is recognized as the largest amount that exceeds 50 percent likelihood of being realized upon settlement. The Company will classify any penalties and interest as a component of income tax expense. |
Accounting Standard Adopted in 2022 | Accounting Standard Adopted in 2022 Effective January 1, 2022, the Company adopted FASB Accounting Standards Update 2020-06, Debt – Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging – Contracts in Entity’s Own Equity (Subtopic 815-40) Debt – Debt with Conversion and Other Options As a result of the adoption of ASU 2020-06, the Company reclassified approximately $50.3 million of issuance discount originally recognized in the issuance of Exchangeable senior notes Additional paid-in capital Exchangeable senior notes Accumulated deficit Interest expense |
Organization and Basis of Prese
Organization and Basis of Presentation and Recently Issued Accounting Pronouncements (Policies) | 12 Months Ended |
Dec. 31, 2022 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Fair Value Measurement | Fair Value Accounting Elections The Company identified all of PMT’s non-cash financial assets, firm commitment to purchase CRT securities and MSRs to be accounted for at fair value. The Company has elected to account for these assets at fair value so such changes in fair value will be reflected in income as they occur and more timely reflect the results of the Company’s performance. The Company also identified PMT’s asset-backed financings of VIEs and interest only security payable to be accounted for at fair value to reflect the generally offsetting changes in fair value of these borrowings to changes in fair value of the assets at fair value collateralizing these financings. For other borrowings, the Company has determined that historical cost accounting is more appropriate because under this method debt issuance costs are amortized over the term of the debt facility, thereby matching the debt issuance cost to the periods benefiting from the availability of the debt. |
Organization and Basis of Pre_2
Organization and Basis of Presentation (Policies) | 12 Months Ended |
Dec. 31, 2022 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Earnings Per Common Share | The Company grants restricted share units which entitle the recipients to receive dividend equivalents during the vesting period on a basis equivalent to the dividends paid to holders of Common Shares. Unvested share-based compensation awards containing non-forfeitable rights to receive dividends or dividend equivalents (collectively, “dividends”) are classified as “participating securities” and are included in the basic earnings per share calculation using the two-class method. Under the two-class method, all earnings (distributed and undistributed) are allocated to Common Shares and participating securities based on their respective rights to receive dividends. Basic earnings per share is determined by dividing net income available to common shareholders (net income reduced by preferred dividends and income attributable to the participating securities) by the weighted average Common Shares outstanding during the period. Diluted earnings per share is determined by dividing net income attributable to diluted shareholders, which, during the year ended December 31, 2020, added back to net income the interest expense, net of applicable income taxes, on the 5.375% exchangeable notes due May 1, 2020 by the weighted average Common Shares outstanding, assuming all dilutive securities were issued. |
Transactions with Related Par_2
Transactions with Related Parties (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Related Party Transactions [Abstract] | |
Summary of Correspondent Production Activity | Following is a summary of correspondent production activity between the Company and PLS: Year ended December 31, 2022 2021 2020 (in thousands) Loan fulfillment fees earned by PLS $ 67,991 $ 178,927 $ 222,200 UPB of loans fulfilled by PLS $ 37,090,031 $ 110,003,574 $ 100,389,252 Sourcing fees received from PLS included in Net gains on loans acquired for sale $ 4,968 $ 6,472 $ 11,037 UPB of loans sold to PLS $ 49,680,267 $ 64,774,728 $ 60,540,530 Purchases of loans acquired for sale from PLS $ 298,862 $ — $ 2,248,896 Tax service fees paid to PLS $ 8,418 $ 26,126 $ 23,408 December 31, 2022 December 31, 2021 (in thousands) Loans included in Loans acquired for sale at fair value pending sale to PLS $ 159,671 $ 314,995 |
Summary of Loan Servicing Fees Earned and Mortgage Servicing Rights Recaptured Income Earned | Following is a summary of loan servicing fees earned by PLS: Year ended December 31, 2022 2021 2020 (in thousands) Loan servicing fees: Loans acquired for sale at fair value $ 1,018 $ 2,363 $ 2,067 Loans at fair value 529 505 807 MSRs 80,368 77,790 64,307 $ 81,915 $ 80,658 $ 67,181 Average investment in: Loans acquired for sale at fair value $ 1,938,470 $ 4,135,140 $ 3,469,392 Loans at fair value $ 1,615,982 $ 481,433 $ 223,628 Average MSR portfolio UPB $ 222,847,593 $ 196,996,623 $ 147,832,880 |
Summary of Management Fee Expense | Following is a summary of management fee expenses: Year ended December 31, 2022 2021 2020 (in thousands) Base management $ 31,065 $ 34,794 $ 34,538 Performance incentive — 3,007 — $ 31,065 $ 37,801 $ 34,538 Average shareholders' equity amounts used to calculate base management fee expense $ 2,079,851 $ 2,348,395 $ 2,330,154 |
Summary of Expenses | Following is a summary of the Company’s reimbursements to PCM and its affiliates for expenses: Year ended December 31, 2022 2021 2020 (in thousands) Reimbursement of: Expenses incurred on the Company’s behalf, net $ 23,829 $ 18,812 $ 22,583 Common overhead incurred by PCM and its affiliates 8,588 4,906 5,172 Compensation 660 660 570 $ 33,077 $ 24,378 $ 28,325 Payments and settlements during the year (1) $ 144,012 $ 284,381 $ 378,162 (1) Payments and settlements include payments and netting settlements made pursuant to master netting agreements between the Company and PFSI for the operating, investing and financing activities itemized in this Note. |
Summary of Investing Activity | Following is a summary of investing activities between the Company and PFSI: Year ended December 31, 2021 2020 (in thousands) ESS: Received pursuant to a recapture agreement $ 557 $ 2,093 Repayments $ 134,624 $ 32,377 Interest income $ 1,280 $ 8,418 Net gain (loss) included in Net (losses) gains on investments and financings: Valuation changes $ 1,037 $ (24,970 ) Recapture income 614 2,241 $ 1,651 $ (22,729 ) |
Summary of Financing Transactions | Following is a summary of financing activities between the Company and PFSI: Year ended December 31, 2021 2020 (in thousands) Net repayments of assets sold under agreements to repurchase $ 80,862 $ 26,650 Interest expense $ 387 $ 3,325 |
Summary of Amounts Receivable From and Payable to PFSI | Amounts receivable from and payable to PFSI are summarized below: December 31, 2022 December 31, 2021 (in thousands) Due from PFSI-Miscellaneous receivables $ 3,560 $ 15,953 Due to PFSI: Allocated expenses and expenses and costs paid by PFSI on PMT’s behalf $ 11,447 $ 15,431 Management fees 7,307 8,918 Correspondent production fees 6,835 8,894 Loan servicing fees 6,740 6,848 Fulfillment fees 4,043 — $ 36,372 $ 40,091 |
Summary of Transfer Cash to Fund Loan Servicing Advances | The Company has also transferred cash to PLS to fund loan servicing advances and REO property acquisition and preservation costs on its behalf. Such amounts are included in various balance sheet items as summarized below: Balance sheet line including advance amount December 31, 2022 December 31, 2021 (in thousands) Loan servicing advances $ 197,972 $ 204,951 Real estate acquired in settlement of loans 3,479 7,115 $ 201,451 $ 212,066 |
Loan Sales (Tables)
Loan Sales (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Loan Sales [Abstract] | |
Summary of Cash Flows between Company and Transferees in Transfers Accounted for Sales | The following table summarizes cash flows between the Company and transferees in transfers of loans that are accounted for as sales where the Company maintains continuing involvement with the loans: Year ended December 31, 2022 2021 2020 (in thousands) Cash flows: Proceeds from sales $ 39,077,156 $ 110,919,477 $ 106,306,805 Loan servicing fees received $ 625,210 $ 526,245 $ 406,060 |
Summary of Collection Status Information for Loans Accounted for Sales | The following table summarizes for the dates presented collection status information for loans that are accounted for as sales where the Company maintains continuing involvement: December 31, 2022 December 31, 2021 (in thousands) UPB of loans outstanding $ 229,858,573 $ 215,927,495 Collection status (UPB) (1) Delinquency: 30-89 days delinquent $ 1,903,007 $ 1,148,542 90 or more days delinquent: Not in foreclosure $ 880,841 $ 1,726,488 In foreclosure $ 70,921 $ 36,658 Bankruptcy $ 123,239 $ 130,582 Delinquent loans in COVID-19 pandemic-related forbearance: 30-89 days $ 176,346 $ 169,654 90 days or more $ 464,694 $ 614,882 Custodial funds managed by the Company (2) $ 1,783,157 $ 3,823,527 (1) Includes delinquent loans in COVID-19 pandemic-related forbearance plans that were requested by borrowers seeking payment relief in accordance with the CARES Act. (2) Custodial funds include borrower and investor custodial cash accounts relating to loans serviced under mortgage servicing agreements and are not included 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 operations. |
Variable Interest Entities (Tab
Variable Interest Entities (Tables) - Variable Interest Entities [Member] | 12 Months Ended |
Dec. 31, 2022 | |
Summary of Investment in Subordinate Mortgage Backed Securities | Following is a summary of the Company’s investment in subordinate mortgage-backed securities Year ended December 31, 2022 2021 2020 (in thousands) Fair value changes: Loans at fair value $ (301,164 ) $ (12,536 ) $ (6,617 ) Asset-backed financings at fair value $ 283,586 $ 19,708 $ 5,519 Interest income $ 59,263 $ 17,014 $ 10,609 Interest expense $ 53,570 $ 15,076 $ 10,971 December 31, 2022 December 31, 2021 (in thousands) Loans at fair value $ 1,509,942 $ 1,564,565 Asset-backed financings at fair value $ 1,414,955 $ 1,469,999 Subordinate MBS retained at fair value pledged to secure Assets sold under agreements to repurchase $ 84,044 $ 85,266 |
Credit Risk Transfer Agreements [Member] | |
Summary of Credit Risk Transfer Agreements | Following is a summary of the CRT arrangements: Year ended December 31, 2022 2021 2020 (in thousands) UPB of loans sold $ 18,277,263 Investments: Deposits securing CRT arrangements $ 1,700,000 Change in expected face amount of firm commitment to purchase CRT securities (1,502,203 ) $ 197,797 Net investment income: Net (losses) gains on investments and financings: CRT Derivatives and strips: CRT derivatives Realized $ 38,382 $ 93,837 $ (53,965 ) Valuation changes (42,220 ) (12,829 ) (82,633 ) (3,838 ) 81,008 (136,598 ) CRT strips Realized 60,389 111,872 54,929 Valuation changes (110,356 ) 175,955 (79,221 ) (49,967 ) 287,827 (24,292 ) Interest-only security payable at fair value (11,332 ) 164 14,952 (65,137 ) 368,999 (145,938 ) Firm commitments to purchase CRT securities — — (121,067 ) (65,137 ) 368,999 (267,005 ) Net gains on loans acquired for sale — Fair value of firm commitment to purchase CRT securities recognized upon sale of loans — — (38,161 ) Interest income — Deposits securing CRT arrangements 21,324 559 7,012 $ (43,813 ) $ 369,558 $ (298,154 ) Net (recoveries received) payments made to settle (recoveries) losses on CRT arrangements $ (19,016 ) $ (62,387 ) $ 115,475 December 31, 2022 December 31, 2021 (in thousands) Carrying value of CRT arrangements: Derivative and credit risk transfer strip assets (liabilities), net CRT derivatives $ (22,098 ) $ 18,964 CRT strips (137,193 ) (26,837 ) $ (159,291 ) $ (7,873 ) Deposits securing CRT arrangements $ 1,325,294 $ 1,704,911 Interest-only security payable at fair value $ 21,925 $ 10,593 CRT arrangement assets pledged to secure borrowings: Derivative assets $ 1,262 $ 19,627 Deposits securing CRT arrangements (1) $ 1,325,294 $ 1,704,911 UPB of loans underlying CRT arrangements $ 25,315,524 $ 30,808,907 Collection status (UPB): Delinquency (2) Current $ 24,673,719 $ 29,581,803 30-89 days delinquent $ 409,049 $ 349,291 90-180 days delinquent $ 112,286 $ 120,775 180 or more days delinquent $ 93,717 $ 748,576 Foreclosure $ 26,753 $ 8,462 Bankruptcy $ 54,395 $ 64,694 Delinquent loans in COVID-19 pandemic-related forbearance plans: 30-89 days delinquent $ 35,388 $ 44,015 90-180 days delinquent $ 39,033 $ 57,815 180 or more days delinquent $ 35,588 $ 174,041 (1) Deposits securing credit risk transfer strip liabilities also secure $160.6 million and $27.5 million in CRT strip and CRT derivative liabilities at December 31, 2022 and 2021, respectively . (2) Includes delinquent loans in COVID-19 pandemic-related forbearance plans that were requested by borrowers seeking payment relief in accordance with the CARES Act. |
Fair Value (Tables)
Fair Value (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Fair Value Disclosures [Abstract] | |
Summary of Financial Statement Items Measured at Fair Value on Recurring Basis | Following is a summary of financial statement items that are measured at fair value on a recurring basis: December 31, 2022 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 252,271 $ — $ — $ 252,271 Mortgage-backed securities at fair value — 4,462,601 — 4,462,601 Loans acquired for sale at fair value — 1,811,225 10,708 1,821,933 Loans at fair value — 1,509,942 3,457 1,513,399 Derivative assets: Call options on interest rate futures purchase contracts 2,906 — — 2,906 Put options on interest rate futures purchase contracts 8,130 — — 8,130 Forward purchase contracts — 418 — 418 Forward sale contracts — 43,435 — 43,435 MBS put options — 2,783 — 2,783 CRT derivatives — — 1,262 1,262 Interest rate lock commitments — — 3,877 3,877 Total derivative assets before netting 11,036 46,636 5,139 62,811 Netting — — — 22,129 Total derivative assets after netting 11,036 46,636 5,139 84,940 Mortgage servicing rights at fair value — — 4,012,737 4,012,737 $ 263,307 $ 7,830,404 $ 4,032,041 $ 12,147,881 Liabilities: Asset-backed financings at fair value $ — $ 1,414,955 $ — $ 1,414,955 Interest-only security payable at fair value — — 21,925 21,925 Derivative and credit risk transfer strip liabilities: Forward purchase contracts — 15,196 — 15,196 Forward sales contracts — 17,279 — 17,279 CRT derivatives — — 23,360 23,360 Interest rate lock commitments — — 4,355 4,355 Total derivative liabilities before netting — 32,475 27,715 60,190 Netting — — — (30,157 ) Total derivative liabilities after netting — 32,475 27,715 30,033 Credit risk transfer strips — — 137,193 137,193 Total derivative and credit risk transfer strip liabilities — 32,475 164,908 167,226 $ — $ 1,447,430 $ 186,833 $ 1,604,106 December 31, 2021 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 167,999 $ — $ — $ 167,999 Mortgage-backed securities at fair value — 2,666,768 — 2,666,768 Loans acquired for sale at fair value — 4,140,896 30,129 4,171,025 Loans at fair value — 1,564,565 4,161 1,568,726 Derivative assets: Call options on interest rate futures purchase contracts 2,828 — — 2,828 Put options on interest rate futures purchase contracts 3,180 — — 3,180 Forward purchase contracts — 5,806 — 5,806 Forward sale contracts — 6,307 — 6,307 MBS put options — 3,662 — 3,662 Swaption purchase contracts — 39 — 39 CRT derivatives — — 19,627 19,627 Interest rate lock commitments — — 3,897 3,897 Total derivative assets before netting 6,008 15,814 23,524 45,346 Netting — — — (11,108 ) Total derivative assets after netting 6,008 15,814 23,524 34,238 Mortgage servicing rights at fair value — — 2,892,855 2,892,855 $ 174,007 $ 8,388,043 $ 2,950,669 $ 11,501,611 Liabilities: Asset-backed financings at fair value $ — $ 1,469,999 $ — $ 1,469,999 Interest-only security payable at fair value — — 10,593 10,593 Derivative liabilities and credit risk transfer strips: Forward purchase contracts — 3,620 — 3,620 Forward sales contracts — 13,782 — 13,782 CRT derivatives — — 663 663 Interest rate lock commitments — — 1,446 1,446 Total derivative liabilities before netting — 17,402 2,109 19,511 Netting — — — (4,142 ) Total derivative liabilities after netting — 17,402 2,109 15,369 Credit risk transfer strips — — 26,837 26,837 Total derivative and credit risk transfer strip liabilities — 17,402 28,946 42,206 $ — $ 1,487,401 $ 39,539 $ 1,522,798 |
Summary of Changes in Items Measured Using Level 3 Inputs on Recurring Basis | The following is a summary of changes in items measured at fair value on a recurring basis using “Level 3” inputs that are significant to the estimation of the fair values of the assets and liabilities at either the beginning or end of the years presented: Year ended December 31, 2022 Assets (1) Loans acquired for sale Loans at fair value CRT derivatives Interest rate lock commitments CRT strips Mortgage servicing rights Total (in thousands) Balance, December 31, 2021 $ 30,129 $ 4,161 $ 18,964 $ 2,451 $ (26,837 ) $ 2,892,855 $ 2,921,723 Purchases and issuances 13,619 — — (87,393 ) — — (73,774 ) Repayments and sales (29,674 ) (1,390 ) (37,224 ) — (60,389 ) — (128,677 ) Amounts received pursuant to sales of loans — — — — — 670,343 670,343 Changes in fair value included in income arising from: Changes in instrument - specific credit risk — — — — — — — Other factors (3,366 ) 686 (3,838 ) (234,146 ) (49,967 ) 449,435 158,804 (3,366 ) 686 (3,838 ) (234,146 ) (49,967 ) 449,435 158,804 Transfers of: Interest rate lock commitments to loans acquired for sale (2) — — — 318,610 — — 318,610 Mortgage servicing rights relating to delinquent loans to Agency — — — — — 104 104 Balance, December 31, 2022 $ 10,708 $ 3,457 $ (22,098 ) $ (478 ) $ (137,193 ) $ 4,012,737 $ 3,867,133 Changes in fair value recognized during the year relating to assets still held at December 31, 2022 $ (1,098 ) $ 196 $ (42,220 ) $ (478 ) $ (110,356 ) $ 449,435 $ 295,479 (1) For the purpose of this table, CRT derivative, interest rate lock commitment (“IRLC”), and CRT strip asset and liability positions are shown net. (2) The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale at fair value upon purchase of the respective loans. Liabilities Year ended December 31, 2022 (in thousands) Interest-only security payable: Balance, December 31, 2021 $ 10,593 Changes in fair value included in results of operations arising from: Changes in instrument - specific credit risk — Other factors 11,332 11,332 Balance, December 31, 2022 $ 21,925 Changes in fair value recognized during the year relating to liability outstanding at December 31, 2022 $ 11,332 Year ended December 31, 2021 Assets (1) Loans acquired for sale Loans at fair value Excess servicing spread CRT derivatives Interest rate lock commitments CRT strips Mortgage servicing rights Total (in thousands) Balance, December 31, 2020 $ 33,875 $ 8,027 $ 131,750 $ 31,795 $ 72,386 $ (202,792 ) $ 1,755,236 $ 1,830,277 Purchases and issuances 86,285 — — — 76,934 — — 163,219 Repayments and sales (90,603 ) (5,121 ) (134,624 ) (93,839 ) — (111,872 ) — (436,059 ) Capitalization of interest — 251 1,280 — — — — 1,531 ESS received pursuant to a recapture agreement with PFSI — — 557 — — — — 557 Amounts received pursuant to sales of loans — — — — — — 1,484,629 1,484,629 Changes in fair value included in results of operations arising from: Changes in instrument - specific credit risk — — — — — — — — Other factors 572 610 1,037 81,008 (156,840 ) 287,827 (337,186 ) (122,972 ) 572 610 1,037 81,008 (156,840 ) 287,827 (337,186 ) (122,972 ) Transfers of: Loans from REO — 394 — — — — — 394 Interest rate lock commitments to loans acquired for sale (2) — — — — 9,971 — — 9,971 Recombination of MSRs with loans at fair value resulting from consolidation of a VIE — — — — — — (9,824 ) (9,824 ) Balance, December 31, 2021 $ 30,129 $ 4,161 $ — $ 18,964 $ 2,451 $ (26,837 ) $ 2,892,855 $ 2,921,723 Changes in fair value recognized during the year relating to assets still held at December 31, 2021 $ (157 ) $ (371 ) $ — $ (12,829 ) $ 2,451 $ 175,955 $ (337,186 ) $ (172,137 ) (1) For the purpose of this table, CRT derivative, IRLC, and CRT strip asset and liability positions are shown net. (2) The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale at fair value upon purchase of the respective loans. Liabilities Year ended December 31, 2021 (in thousands) Interest-only security payable: Balance, December 31, 2020 $ 10,757 Changes in fair value included in income arising from: Changes in instrument - specific credit risk — Other factors (164 ) (164 ) Balance, December 31, 2021 $ 10,593 Changes in fair value recognized during the year relating to liability outstanding at December 31, 2021 $ (164 ) Year ended December 31, 2020 Assets (1) Loans acquired for sale Loans at fair value Excess servicing spread CRT derivatives Interest rate lock commitments CRT strips Repurchase agreement derivatives Firm commitments to purchase CRT securities Mortgage servicing rights Total (in thousands) Balance, December 31, 2019 $ 18,567 $ 14,426 $ 178,586 $ 115,863 $ 11,154 $ 54,930 $ 5,275 $ 109,513 $ 1,535,705 $ 2,044,019 Purchases and issuances 74,339 1,058 — — 369,802 — — — — 445,199 Repayments and sales (58,290 ) (5,734 ) (32,377 ) 52,530 — (54,929 ) (5,328 ) (128,786 ) (7 ) (232,921 ) Capitalization of interest — — 8,418 — — — — — — 8,418 ESS received pursuant to a recapture agreement with PFSI — — 2,093 — — — — — — 2,093 Amounts (incurred) received pursuant to sales of loans — — — — — — — (38,161 ) 1,158,475 1,120,314 Changes in fair value included in results of operations arising from: Changes in instrument - specific credit risk — — — — — — — — — — Other factors (741 ) (837 ) (24,970 ) (136,598 ) 536,943 (24,292 ) 53 (121,067 ) (938,937 ) (710,446 ) (741 ) (837 ) (24,970 ) (136,598 ) 536,943 (24,292 ) 53 (121,067 ) (938,937 ) (710,446 ) Transfers of: Loans to REO — (886 ) — — — — — — — (886 ) Firm commitment to purchase CRT securities to CRT strips — — — — — (178,501 ) — 178,501 — — Interest rate lock commitments to loans acquired for sale (2) — — — — (845,513 ) — — — — (845,513 ) Balance, December 31, 2020 $ 33,875 $ 8,027 $ 131,750 $ 31,795 $ 72,386 $ (202,792 ) $ — $ — $ 1,755,236 $ 1,830,277 Changes in fair value recognized during the year relating to assets still held at December 31, 2020 $ (899 ) $ (1,033 ) $ (24,970 ) $ (82,633 ) $ 72,386 $ (79,221 ) $ — $ — $ (938,937 ) $ (1,055,307 ) (1) For the purpose of this table, CRT derivative, IRLC, and CRT strip asset and liability positions are shown net. (2) The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale at fair value upon purchase of the respective loans. Liabilities Year ended December 31, 2020 (in thousands) Interest-only security payable: Balance, December 31, 2019 $ 25,709 Changes in fair value included in income arising from: Changes in instrument - specific credit risk — Other factors (14,952 ) (14,952 ) Balance, December 31, 2020 $ 10,757 Changes in fair value recognized during the year relating to liability outstanding at December 31, 2020 $ (14,952 ) |
Fair Values and Related Principal Amounts Due upon Maturity of Mortgage Loans Accounted for Under Fair Value Option | Following are the fair values and related principal amounts due upon maturity of loans accounted for under the fair value option (including loans acquired for sale, loans held in consolidated VIEs, and distressed loans): December 31, 2022 December 31, 2021 Fair value Principal amount due upon maturity Difference Fair value Principal amount due upon maturity Difference (in thousands) Loans acquired for sale at fair value: Current through 89 days delinquent $ 1,819,551 $ 1,795,445 $ 24,106 $ 4,166,177 $ 4,048,967 $ 117,210 90 or more days delinquent: Not in foreclosure 1,666 1,927 (261 ) 4,848 5,801 (953 ) In foreclosure 716 809 (93 ) — — — 2,382 2,736 (354 ) 4,848 5,801 (953 ) $ 1,821,933 $ 1,798,181 $ 23,752 $ 4,171,025 $ 4,054,768 $ 116,257 Loans at fair value: Held in consolidated VIEs: Current through 89 days delinquent $ 1,508,540 $ 1,788,911 $ (280,371 ) $ 1,561,794 $ 1,514,575 $ 47,219 90 or more days delinquent: Not in foreclosure 1,231 1,642 (411 ) 2,141 2,722 (581 ) In foreclosure 171 226 (55 ) 630 809 (179 ) 1,402 1,868 (466 ) 2,771 3,531 (760 ) 1,509,942 1,790,779 (280,837 ) 1,564,565 1,518,106 46,459 Distressed: Current through 89 days delinquent 498 682 (184 ) 782 1,455 (673 ) 90 or more days delinquent: Not in foreclosure 1,230 2,964 (1,734 ) 1,181 3,824 (2,643 ) In foreclosure 1,729 2,728 (999 ) 2,198 5,490 (3,292 ) 2,959 5,692 (2,733 ) 3,379 9,314 (5,935 ) 3,457 6,374 (2,917 ) 4,161 10,769 (6,608 ) $ 1,513,399 $ 1,797,153 $ (283,754 ) $ 1,568,726 $ 1,528,875 $ 39,851 |
Summary of Changes in Fair Value Included in Current Period Results of Operations | Following are the changes in fair value included in current period results of operations by consolidated statements of operations line item for financial statement items accounted for under the fair value option: Year ended December 31, 2022 Net loan servicing fees Net (losses) gains on investments and financings Net gains on loans acquired for sale Net interest expense Total (in thousands) Assets: Mortgage-backed securities at fair value $ — $ (576,758 ) $ — $ 12,697 $ (564,061 ) Loans acquired for sale at fair value — — (539,102 ) — (539,102 ) Loans at fair value — (300,478 ) — (1,109 ) (301,587 ) Credit risk transfer strips — (49,967 ) — — (49,967 ) MSRs at fair value 449,435 — — — 449,435 $ 449,435 $ (927,203 ) $ (539,102 ) $ 11,588 $ (1,005,282 ) Liabilities: Interest-only security payable at fair value $ — $ (11,332 ) $ — $ — $ (11,332 ) Asset-backed financings at fair value — 283,586 — 1,773 285,359 $ — $ 272,254 $ — $ 1,773 $ 274,027 Year ended December 31, 2021 Net loan servicing fees Net (losses) gains on investments and financings Net gains on loans acquired for sale Net interest expense Total (in thousands) Assets: Mortgage-backed securities at fair value $ — $ (74,354 ) $ — $ (9,323 ) $ (83,677 ) Loans acquired for sale at fair value — — 3,960 — 3,960 Loans at fair value — (11,925 ) — (1,624 ) (13,549 ) ESS at fair value — 1,037 — 1,280 2,317 Credit risk transfer strips — 287,827 — — 287,827 MSRs at fair value (337,186 ) — — — (337,186 ) $ (337,186 ) $ 202,585 $ 3,960 $ (9,667 ) $ (140,308 ) Liabilities: Interest-only security payable at fair value $ — $ 164 $ — $ — $ 164 Asset-backed financings at fair value — 19,708 — (1,144 ) 18,564 $ — $ 19,872 $ — $ (1,144 ) $ 18,728 Year ended December 31, 2020 Net loan servicing fees Net (losses) gains on investments and financings Net gains on loans acquired for sale Net interest expense Total (in thousands) Assets: Mortgage-backed securities at fair value $ — $ 87,852 $ — $ (23,323 ) $ 64,529 Loans acquired for sale at fair value — — 817,158 — 817,158 Loans at fair value — (7,454 ) — 2,776 (4,678 ) ESS at fair value — (24,970 ) — 8,418 (16,552 ) Credit risk transfer strips — (24,292 ) — — (24,292 ) Firm commitment to purchase CRT securities at fair value — (121,067 ) (38,161 ) — (159,228 ) MSRs at fair value (938,937 ) — — — (938,937 ) $ (938,937 ) $ (89,931 ) $ 778,997 $ (12,129 ) $ (262,000 ) Liabilities: Interest-only security payable $ — $ 14,952 $ — $ — $ 14,952 Asset-backed financings at fair value — 5,519 — (4,218 ) 1,301 $ — $ 20,471 $ — $ (4,218 ) $ 16,253 |
Summary of Carrying Value of Financial Statement Items Re-measured Based on Fair Value on Nonrecurring Basis | Following is a summary of the carrying value of assets that were re-measured during the year based on fair value on a nonrecurring basis: Real estate acquired in settlement of loans Level 1 Level 2 Level 3 Total (in thousands) December 31, 2022 $ — $ — $ 1,292 $ 1,292 December 31, 2021 $ — $ — $ 5,147 $ 5,147 |
Summary of Changes in Fair Value Recognized in Assets that Remeasured Based on Fair Value on a Nonrecurring Basis | The following table summarizes the fair value changes recognized during the year on assets held at year end that were remeasured based on fair value on a nonrecurring basis: Year ended December 31, 2022 2021 2020 (in thousands) Real estate asset acquired in settlement of loans $ (505 ) $ 279 $ (1,638 ) |
Carrying and Fair Values of Notes Payable Secured by Credit Risk Transfer and Mortgage Servicing Rights and Exchangeable Senior Notes | Following are the carrying and fair values of the Notes payable secured by credit risk transfer and mortgage servicing assets Exchangeable senior notes December 31, 2022 December 31, 2021 Instrument Carrying value Fair value Carrying value Fair value (in thousands) Notes payable secured by credit risk transfer and mortgage servicing assets $ 2,804,028 $ 2,721,391 $ 2,471,961 $ 2,480,842 Exchangeable senior notes $ 546,254 $ 471,781 $ 502,459 $ 536,460 |
Quantitative Summary of Key Unobservable Inputs Used in Valuation of CRT Derivatives | Following is a quantitative summary of key unobservable inputs used in the Company’s review and approval of broker-provided fair values for CRT derivatives: December 31, 2022 December 31, 2021 (dollars in thousands) Fair value CRT derivatives: Assets $ 1,262 $ 19,627 Liabilities $ 23,360 $ 663 UPB of loans in reference pools $ 5,972,060 $ 7,426,288 Key inputs (1) Discount rate Range 8.7% – 11.1% 3.3% – 5.9% Weighted average 10.8% 5.7% Voluntary prepayment speed (2) Range 7.5% – 8.3% 12.6% – 13.1% Weighted average 7.6% 12.7% Involuntary prepayment speed (3) Range 0.5% – 1.3% (0.1)% – 0.8% Weighted average 0.6% 0.1% Remaining loss (recovery) expectation (4) Range 0.4% – 0.7% (0.1)% – 0.6% Weighted average 0.6% 0.1% (1) Weighted average inputs are based on fair value amounts of the CRT Agreements, except for remaining loss (recovery) expectation which is based on the UPB of the loans in the reference pools. (2) Voluntary prepayment speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”). (3) Involuntary prepayment speed is measured using Life Involuntary CPR. Negative involuntary prepayment speed reflects the expectation for reinstatement to the reference pool of a portion of the loans that previously triggered contractual losses due to delinquency while under CARES Act forbearance upon their expected re-performance, as contractually provided for in certain CRT Agreements. (4) Remaining loss (recovery) expectation is measured as expected future contractual losses divided by the UPB of the reference loans. Negative remaining loss expectation reflects the expectation of contractual reversals of previously incurred contractual losses due to the expected re-performance of a portion of the loans that experienced delinquency while under CARES Act forbearance. |
Quantitative Summary of Key Unobservable Inputs Used in Valuation of Interest Rate Lock Commitments | Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs: December 31, 2022 December 31, 2021 Fair value (in thousands) (1) $ (478 ) $ 2,451 Committed amount (in thousands) $ 1,484,384 $ 2,092,129 Key inputs (2) Pull-through rate Range 54.8% – 100% 64.3% – 100% Weighted average 92.1% 91.4% MSR fair value expressed as Servicing fee multiple Range 1.9 – 7.1 0.5 – 6.3 Weighted average 4.7 4.5 Percentage of UPB Range 0.7% – 3.1% 0.3% – 2.7% Weighted average 1.9% 1.5% (1) For purposes of this table, IRLC asset and liability positions are shown net. (2) Weighted-average inputs are based on the committed amounts. |
Summary of Key Unobservable Inputs Used in Valuation of Credit Risk Transfer Strip Liabilities | Following is a quantitative summary of key unobservable inputs used in the Company’s review and approval of the adjusted broker-provided fair values used to derive the value of the CRT strip liabilities: December 31, 2022 December 31, 2021 (dollars in thousands) Fair value $ 137,193 $ 26,837 UPB of loans in the reference pools $ 19,343,464 $ 23,382,619 Key inputs (1) Discount rate Range 4.3% – 11.3% 3.8% – 6.4% Weighted average 10.5% 6.0% Voluntary prepayment speed (2) Range 7.7% – 7.9% 14.9% – 17.6% Weighted average 7.7% 17.2% Involuntary prepayment speed (3) Range 0.6% – 2.0% 0.5% – 1.4% Weighted average 0.8% 0.6% Remaining loss expectation (4) Range 0.7% – 2.0% 0.3% – 1.1% Weighted average 0.9% 0.5% (1) Weighted average inputs are based on fair value amounts of the CRT arrangements, except for remaining loss expectation which is based on the UPB of the loans in the reference pools. (2) Voluntary prepayment speed is measured using Life Voluntary CPR. (3) Involuntary prepayment speed is measured using Life Involuntary CPR. (4) Remaining loss expectation is measured as expected future losses divided by the UPB of the loans in the reference pools. |
Key Assumptions Used in Determining Fair Value of MSRs at Time of Initial Recognition | Following are the key inputs used in determining the fair value of MSRs at the time of initial recognition: Year ended December 31, 2022 2021 2020 (MSR recognized and UPB of underlying loans amounts in thousands) MSR recognized $ 670,343 $ 1,484,629 $ 1,158,475 UPB of underlying loans $ 39,014,110 $ 108,424,795 $ 103,136,121 Weighted average annual servicing fee rate (in basis points) 34 28 28 Key inputs (1) Pricing spread (2) Range 5.5% – 8.9% 6.0% – 8.0% 6.7% – 11.3% Weighted average 6.3% 7.2% 7.8% Prepayment speed (3) Range 5.5% – 19.7% 5.5% – 12.5% 7.0% – 20.9% Weighted average 9.3% 8.2% 10.0% Equivalent average life (in years) Range 4.0 – 9.6 3.5 – 9.1 3.5 – 9.2 Weighted average 8.0 8.1 7.4 Annual per-loan cost of servicing Range $73 – $81 $80 – $81 $78 – $81 Weighted average $79 $80 $80 (1) Weighted average inputs are based on UPB of the underlying loans. (2) Through December 31, 2021, the Company applied pricing spreads to the forward rates implied by the United States Dollar London Inter-Bank Offered Rate (“LIBOR”)/swap curve for purposes of discounting cash flows relating to MSRs. Effective January 1, 2022, the Company adopted the United States Treasury (“Treasury”) securities yield curve for purpose of discounting cash flows relating to MSRs. The change in reference rate did not have a significant effect on the Company’s estimates of fair value. (3) Prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information. |
Quantitative Summary of Key Assumptions Used in Valuation of MSRs as of Dates Presented, and Effect on Estimated Fair Value from Adverse Changes in Those Inputs | Following is a quantitative summary of key inputs used in the valuation of MSRs as of the dates presented, and the effect on the fair value from adverse changes in those inputs: December 31, 2022 December 31, 2021 (Fair value, UPB of underlying loans and effect on fair value amounts in thousands) Fair value $ 4,012,737 $ 2,892,855 UPB of underlying loans $ 229,971,035 $ 216,065,626 Weighted average annual servicing fee rate (in basis points) 29 28 Weighted average note interest rate 3.5% 3.0% Key inputs (1) Pricing spread (2) Range 4.9% – 8.8% 6.0% – 8.0% Weighted average 5.7% 7.2% Effect on fair value of (3): 5% adverse change $(52,004) $(39,826) 10% adverse change $(102,727) $(78,613) 20% adverse change $(200,497) $(153,220) Prepayment speed (4) Range 5.1% – 17.4% 5.5% – 12.5% Weighted average 6.3% 8.2% Equivalent average life (in years) Range 3.5 – 9.3 3.5 – 9.1 Weighted average 8.9 8.1 Effect on fair value of (3): 5% adverse change $(51,044) $(59,726) 10% adverse change $(100,544) $(117,162) 20% adverse change $(195,201) $(225,672) Annual per-loan cost of servicing Range $69 – $69 $80 – $81 Weighted average $69 $80 Effect on fair value of (3): 5% adverse change $(17,629) $(17,585) 10% adverse change $(35,258) $(35,169) 20% adverse change $(70,515) $(70,338) (1) Weighted-average inputs are based on the UPB of the underlying loans. (2) Through December 31, 2021, the Company applied pricing spreads to the forward rates implied by the United States Dollar LIBOR/swap curve for purposes of discounting cash flows relating to MSRs. Effective January 1, 2022, the Company adopted the Treasury securities yield curve for the purpose of discounting cash flows relating to MSRs. The change in reference rate did not have a significant effect on the Company’s estimates of fair value. (3) These sensitivity analyses are limited in that they were performed as of a particular date; only account for the estimated effect of the movements in the indicated inputs; do not incorporate changes in those inputs in relation to other inputs; are subject to the accuracy of the models and inputs used; and do not incorporate other factors that would affect the Company’s overall financial performance in such events, including operational adjustments to account for changing circumstances. For these reasons, these estimates should not be viewed as earnings forecasts. (4) Prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information. |
Mortgage Backed Securities (Tab
Mortgage Backed Securities (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Mortgage Backed Securities [Abstract] | |
Schedule of Investment in Mortgage Backed Securities Activity | Following is a summary of activity in the Company’s investment in MBS: Year ended December 31, 2022 2021 2020 (in thousands) Balance at beginning of year $ 2,666,768 $ 2,213,922 $ 2,839,633 Purchases 3,718,093 2,232,923 2,332,096 Sales (1,079,826 ) (1,300,653 ) (1,979,789 ) Repayments (278,373 ) (395,747 ) (1,042,547 ) Changes in fair value included in income arising from: Accrual (amortization) of net purchase (discounts) premiums 12,697 (9,323 ) (23,323 ) Valuation adjustments (576,758 ) (74,354 ) 87,852 (564,061 ) (83,677 ) 64,529 Balance at end of year $ 4,462,601 $ 2,666,768 $ 2,213,922 |
Schedule of Investment in Mortgage Backed Securities | Following is a summary of the Company’s investment in MBS: December 31, 2022 Principal balance Unamortized net purchase premiums (discounts) Accumulated valuation changes Fair value (1) (in thousands) Agency fixed-rate pass-through securities $ 4,693,045 $ 30,423 $ (460,966 ) $ 4,262,502 Subordinate credit-linked securities 184,620 52 (6,774 ) 177,898 Senior non-Agency securities 28,103 (876 ) (5,026 ) 22,201 $ 4,905,768 $ 29,599 $ (472,766 ) $ 4,462,601 December 31, 2021 Principal balance Unamortized net purchase premiums Accumulated valuation changes Fair value (1) (in thousands) Agency fixed-rate pass-through securities $ 2,649,238 $ 82,938 $ (65,408 ) $ 2,666,768 (1) All MBS have maturities of more than ten years and are pledged to secure Assets sold under agreements to repurchase at December 31, 2022 and December 31, 2021. |
Loans Acquired for Sale at Fa_2
Loans Acquired for Sale at Fair Value (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Mortgage Loans On Real Estate [Abstract] | |
Summary of Distribution of Company's Loans Acquired for Sale at Fair Value | Following is a summary of the distribution of the Company’s loans acquired for sale at fair value: Loan type December 31, 2022 December 31, 2021 (in thousands) Government-sponsored entity ("GSE") eligible (1) $ 1,651,554 $ 3,825,901 Held for sale to PLS — Government insured or guaranteed (2) 159,671 314,995 Home equity lines of credit 2,424 3,265 Commercial real estate — 964 Repurchased pursuant to representations and warranties 8,284 25,900 $ 1,821,933 $ 4,171,025 Loans pledged to secure: Assets sold under agreements to repurchase $ 1,801,368 $ 4,007,377 Mortgage loan participation purchase and sale agreements — 52,102 $ 1,801,368 $ 4,059,479 (1) GSE eligibility refers to the eligibility of loans for sale to Fannie Mae or Freddie Mac. The Company sells or finances a portion of its GSE eligible loan production to other investors, including PLS. (2) The Company is not approved by Ginnie Mae as an issuer of Ginnie Mae-guaranteed securities which are backed by government-insured or guaranteed loans. The Company sells government-insured or guaranteed loans that it purchases from correspondent sellers to PLS, which is a Ginnie Mae-approved issuer, and earns a sourcing fee as described in Note 4 – Transactions with Related Parties – Operating activities – Correspondent Production Activities. |
Loans at Fair Value (Tables)
Loans at Fair Value (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Mortgage Loans At Fair Value [Abstract] | |
Summary of Distribution of Company's Loans at Fair Value | Following is a summary of the distribution of the Company’s loans at fair value: Loan type December 31, 2022 December 31, 2021 (in thousands) Loans in VIEs: Agency-conforming loans secured by investment properties $ 1,459,160 $ 1,495,914 Fixed interest rate jumbo loans 50,782 68,651 1,509,942 1,564,565 Distressed loans 3,457 4,161 $ 1,513,399 $ 1,568,726 Loans at fair value pledged to secure: Asset-backed financings at fair value (1) $ 1,509,942 $ 1,564,565 Assets sold under agreements to repurchase 206 359 $ 1,510,148 $ 1,564,924 (1) As discussed in Note 6 ‒ Variable Interest Entities ‒ Subordinate Mortgage-Backed Securities Assets sold under agreements to repurchase |
Derivative and Credit Risk Tr_2
Derivative and Credit Risk Transfer Strip Assets and Liabilities (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
Summary of Derivative and Credit Risk Transfer Assets and Liabilities | Derivative and credit risk transfer assets and liabilities are summarized below: December 31, 2022 December 31, 2021 (in thousands) Derivative assets $ 84,940 $ 34,238 $ 84,940 $ 34,238 Derivative liabilities $ 30,033 $ 15,369 Credit risk transfer strip liabilities 137,193 26,837 $ 167,226 $ 42,206 |
Derivative Assets and Derivative and Credit Risk Transfer Liabilities and Related Margin Deposits Recorded in Other Assets | The Company had the following derivative assets and liabilities recorded within Derivative assets Derivative and credit risk transfer liabilities Other December 31, 2022 December 31, 2021 Fair value Fair value Notional Derivative Derivative Notional Derivative Derivative Instrument amount (1) assets liabilities amount (1) assets liabilities (in thousands) Hedging derivatives subject to master netting arrangements (2): Call options on interest rate futures purchase contracts 1,950,000 $ 2,906 $ — 1,450,000 $ 2,828 $ — Put options on interest rate futures purchase contracts 1,785,000 8,130 — 1,775,000 3,180 — Forward purchase contracts 3,929,833 418 15,196 6,945,340 5,806 3,620 Forward sale contracts 11,661,925 43,435 17,279 10,466,182 6,307 13,782 MBS put options 1,050,000 2,783 — 3,400,000 3,662 — Swaption purchase contracts — — — 2,200,000 39 — Swap futures — — — 1,425,100 — — Bond futures 867,900 — — 181,800 — — Other derivatives not subject to master netting arrangements: CRT derivatives 5,972,060 1,262 23,360 7,426,288 19,627 663 Interest rate lock commitments 1,484,384 3,877 4,355 2,092,129 3,897 1,446 Total derivative instruments before netting 62,811 60,190 45,346 19,511 Netting 22,129 (30,157 ) (11,108 ) (4,142 ) $ 84,940 $ 30,033 $ 34,238 $ 15,369 Margin deposits placed with (received from) derivative counterparties included in derivative balances above, net $ 52,286 $ (6,965 ) Derivative assets pledged to secure: Notes payable secured by credit risk transfer and mortgage servicing assets $ 1,262 $ 19,627 (1) Notional amounts provide an indication of the volume of the Company’s derivative activity. (2) All hedging derivatives are interest rate derivatives and are used as economic hedges. |
Summary of Derivative Assets, Financial Instruments and Collateral Held by Counterparty | The following table summarizes by significant counterparty the amount of derivative asset positions after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance qualifying for setoff accounting. December 31, 2022 December 31, 2021 Net amount Gross amounts Net amount Gross amounts of assets not offset in the of assets not offset in the presented consolidated presented consolidated in the balance sheet in the balance sheet consolidated Cash consolidated Cash balance Financial collateral Net balance Financial collateral Net sheet instruments received amount sheet instruments received amount (in thousands) CRT derivatives $ 1,262 $ — $ — $ 1,262 $ 19,627 $ — $ — $ 19,627 Interest rate lock commitments 3,877 — — 3,877 3,897 — — 3,897 Morgan Stanley & Co. LLC 33,703 — — 33,703 — — — — Bank of America, N.A. 14,666 — — 14,666 1,958 — — 1,958 RJ O’Brien & Associates, LLC 11,036 — — 11,036 6,008 — — 6,008 Wells Fargo Securities, LLC 6,980 — — 6,980 — — — — Credit Suisse Securities (USA) LLC 5,827 — — 5,827 — — — — Goldman Sachs & Co. LLC 2,789 — — 2,789 — — — — Barclays Capital Inc. 2,013 — — 2,013 — — — — J.P. Morgan Securities LLC 110 — — 110 2,085 — — 2,085 Other 2,677 — — 2,677 663 — — 663 $ 84,940 $ — $ — $ 84,940 $ 34,238 $ — $ — $ 34,238 |
Summary of Derivative Liabilities, Financial Liabilities and Collateral Pledged 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 meet the accounting guidance to qualify for setoff accounting. All assets sold under agreements to repurchase represent sufficient collateral or exceed the liability amount recorded on the consolidated balance sheet. December 31, 2022 December 31, 2021 Net amount Gross amounts Net amount Gross amounts of liabilities not offset in the of liabilities not offset in the presented consolidated presented consolidated in the balance sheet in the balance sheet consolidated Financial Cash consolidated Financial Cash balance instruments collateral Net balance instruments collateral Net sheet (1) pledged amount sheet (1) pledged amount (in thousands) Interest rate lock commitments $ 4,355 $ — $ — $ 4,355 $ 1,446 $ — $ — $ 1,446 CRT derivatives 23,360 — — 23,360 663 — — 663 J.P. Morgan Securities LLC 1,605,813 (1,605,813 ) — — 726,762 (726,762 ) — — Bank of America, N.A. 1,239,293 (1,239,293 ) — — 1,088,417 (1,088,417 ) — — Barclays Capital Inc. 1,115,265 (1,115,265 ) — — 1,086,104 (1,085,723 ) — 381 Credit Suisse Securities (USA) LLC 675,639 (675,639 ) — — 832,610 (830,954 ) — 1,656 Daiwa Capital Markets 439,089 (439,089 ) — — 496,231 (495,973 ) — 258 Amherst Pierpont Securities LLC 283,928 (283,294 ) — 634 125,090 (125,090 ) — — RBC Capital Markets, L.P. 268,581 (268,581 ) — — 1,293,754 (1,293,754 ) — — Wells Fargo Securities, LLC 262,512 (262,512 ) — — 106,088 (104,674 ) — 1,414 Morgan Stanley & Co. LLC 218,730 (218,730 ) — — 412,321 (410,413 ) — 1,908 Citigroup Global Markets Inc. 197,229 (195,807 ) — 1,422 131,312 (129,016 ) — 2,296 Goldman Sachs & Co. LLC 156,952 (156,952 ) — — 217,459 (212,580 ) — 4,879 BNP Paribas 153,220 (153,220 ) — — 171,185 (171,185 ) — — Nomura Holdings America, Inc 4,444 (4,444 ) — — 14 — — 14 Other 262 — — 262 454 — — 454 $ 6,648,672 $ (6,618,639 ) $ — $ 30,033 $ 6,689,910 $ (6,674,541 ) $ — $ 15,369 |
Net Gains (Losses) Recognized on Derivative Financial Instruments | Following are the net gains (losses) recognized by the Company on derivative financial instruments and the consolidated statements of operations line items where such gains and losses are included: Year ended December 31, Derivative activity Consolidated statements of operations line 2022 2021 2020 (in thousands) Interest rate lock commitments Net gains on loans acquired for sale (1) $ (2,928 ) $ (69,935 ) $ 61,232 CRT derivatives Net (losses) gains on investments and financings $ (3,838 ) $ 81,008 $ (136,598 ) Repurchase agreement derivatives Interest expense $ — $ — $ 53 Hedged item: Interest rate lock commitments and loans acquired for sale Net gains on loans acquired for sale $ 553,965 $ 141,901 $ (459,309 ) Mortgage servicing rights Net loan servicing fees $ (204,879 ) $ (345,041 ) $ 601,743 Fixed-rate and prepayment sensitive assets and LIBOR-indexed repurchase agreements Net (losses) gains on investments and financings $ — $ — $ 32,932 (1) Represents net change in fair value of IRLCs from the beginning to the end of the year. Amounts recognized at the date of commitment and fair value changes recognized during the period until purchase of the underlying loan or cancellation of the commitment are shown in the rollforward of IRLCs for the period in Note 7 – Fair Value – Financial Statement Items Measured at Fair Value on a Recurring Basis . |
Summary of Holdings of CRT Strips | Following is a summary of the Company’s holdings of CRT strips: Credit risk transfer strips contractually restricted from sale (1) December 31, 2022 December 31, 2021 (in thousands) Currently unrestricted $ (137,193 ) $ 5,978 To maturity — (32,815 ) $ (137,193 ) $ (26,837 ) (1) Through December 31, 2021, the terms of the agreement underlying the CRT securities restricted sales of the securities, other than under agreements to repurchase, without the approval of Fannie Mae, for specified periods from the date of issuance. The restriction on sales was removed during the quarter ended March 31, 2022. |
Mortgage Servicing Rights (Tabl
Mortgage Servicing Rights (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Text Block [Abstract] | |
Summary of MSRs Carried at Fair Value | Following is a summary of MSRs: Year ended December 31, 2022 2021 2020 (in thousands) Balance at beginning of year $ 2,892,855 $ 1,755,236 $ 1,535,705 MSRs resulting from loan sales 670,343 1,484,629 1,158,475 Transfer to Agency of mortgage servicing rights relating to delinquent loans 104 — — Sales — — (7 ) Changes in fair value: Due to changes in inputs used in valuation model (1) 819,727 (39,056 ) (706,107 ) Other changes in fair value (2) (370,292 ) (298,130 ) (232,830 ) 449,435 (337,186 ) (938,937 ) Recombination with loans at fair value resulting from initial consolidation of VIEs (3) — (9,824 ) — Balance at end of year $ 4,012,737 $ 2,892,855 $ 1,755,236 December 31, 2022 December 31, 2021 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and payable secured by credit risk transfer and mortgage servicing assets $ 3,962,820 $ 2,863,544 (1) Primarily reflects changes in prepayment speed, pricing spread, servicing cost, and UPB for the underlying loans. (2) Represents changes due to realization of expected cash flows. (3) As discussed in Note 6 ‒ Variable Interest Entities – Subordinate Mortgage-Backed Securities, Loans at fair value |
Summary of Net Loan Servicing Fees Relating to MSRs | Servicing fees relating to MSRs are recorded in Net loan servicing fees – From nonaffiliates Year ended December 31, 2022 2021 2020 (in thousands) Contractually-specified servicing fees $ 625,210 $ 526,245 $ 406,060 Ancillary and other fees: Late charges 2,526 1,701 1,498 Other 23,515 67,400 54,959 26,041 69,101 56,457 $ 651,251 $ 595,346 $ 462,517 Average MSR servicing portfolio $ 222,847,593 $ 196,996,623 $ 147,832,880 MSR recapture fees $ 13,744 $ 50,859 $ 28,373 UPB of loans recaptured $ 2,533,115 $ 9,389,260 $ 6,012,911 |
Other Assets (Tables)
Other Assets (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Other Assets [Abstract] | |
Summary of Other Assets | Other assets are summarized below: December 31, 2022 December 31, 2021 (dollars in thousands) Derivative margin deposits $ 51,463 $ 193,418 Interest receivable 31,027 15,168 Servicing fees receivable 15,727 16,756 Correspondent lending receivables 8,967 27,539 Other receivables 7,657 15,299 Real estate acquired in settlement of loans 7,734 14,382 Other 12,416 3,737 $ 134,991 $ 286,299 Real estate acquired in settlement of loans pledge to secure Assets sold under agreements to repurchase $ 3,297 $ 7,293 |
Short-Term Debt (Tables)
Short-Term Debt (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase | Following is a summary of financial information relating to assets sold under agreements to repurchase: Year ended December 31, 2022 2021 2020 (dollars in thousands) Weighted average interest rate (1) 2.81 % 1.36 % 1.62 % Average balance $ 5,625,345 $ 6,161,755 $ 5,508,147 Total interest expense $ 165,436 $ 97,078 $ 102,131 Maximum daily amount outstanding $ 8,834,936 $ 8,882,538 $ 10,433,609 (1) Excludes the effect of amortization of debt issuance costs of $7.6 million, $13.2 million and $12.9 million for the years ended December 31, 2022, 2021 and 2020 respectively. December 31, 2022 December 31, 2021 (dollars in thousands) Carrying value: Unpaid principal balance Committed facilities $ 6,189,344 $ 5,799,975 Uncommitted facilities 429,295 874,566 6,618,639 6,674,541 Unamortized debt issuance costs (2,111 ) (2,651 ) $ 6,616,528 $ 6,671,890 Weighted average interest rate 5.03 % 1.08 % Available borrowing capacity (1): Committed $ 217,279 $ 289,436 Uncommitted 4,762,056 4,875,433 $ 4,979,335 $ 5,164,869 Margin deposits (received from) placed with counterparties included in ( Accounts payable and accrued liabilities Other $ (13,630 ) $ 67,997 Assets securing agreements to repurchase: Mortgage-backed securities $ 4,462,601 $ 2,666,768 Loans acquired for sale at fair value $ 1,801,368 $ 4,007,377 Loans at fair value: Securities retained in asset-backed financings $ 84,044 $ 85,266 Distressed $ 206 $ 359 CRT arrangements $ 455,552 $ — Mortgage servicing rights (2) $ 2,092,794 $ 1,598,090 Servicing advances $ 100,888 $ 93,455 Real estate acquired in settlement of loans $ 3,297 $ 7,293 (1) 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. (2) Beneficial interests in Fannie Mae MSRs are pledged for both Assets sold under agreements to repurchase and Notes payable secured by credit risk transfer and mortgage servicing assets. |
Summary of Maturities of Outstanding Advances Under Repurchase Agreements by Maturity Date | Following is a summary of maturities of outstanding advances under repurchase agreements by maturity date: Remaining maturity at December 31, 2022 Unpaid principal balance (in thousands) Within 30 days $ 4,342,147 Over 30 to 90 days 1,763,899 Over 90 days to 180 days 62,439 Over 180 days to 1 year 65,154 Over 1 year to 2 years 385,000 $ 6,618,639 Weighted average maturity (in months) 2.2 |
Summary of Assets Sold under Agreements to Repurchase by Counterparty | Securities Counterparty Amount at risk Weighted average maturity (in thousands) Bank of America, N.A. $ 24,165 January 17, 2023 Citibank, N.A. $ 25,570 February 22, 2023 Barclays Capital Inc. $ 52,623 January 26, 2023 JPMorgan Chase & Co. $ 38,860 January 20, 2023 Wells Fargo Securities, LLC $ 3,206 January 6, 2023 Daiwa Capital Markets America Inc. $ 9,904 January 23, 2023 Amherst Pierpont Securities LLC $ 6,744 January 20, 2023 Nomura Holdings America, Inc $ 1,707 January 3, 2023 CRT Arrangements Counterparty Amount at risk Weighted average maturity (in thousands) Bank of America, N.A. $ 60,630 April 3, 2023 Goldman Sachs & Co. LLC $ 99,664 March 28, 2023 Citibank, N.A. $ 57,911 July 3, 2023 |
Summary of Mortgage Loan Participation Purchase and Sale Agreements | The mortgage loan participation purchase and sale agreement is summarized below: Year ended December 31, 2022 2021 2020 (dollars in thousands) Average balance $ 30,024 $ 33,827 $ 44,432 Weighted average interest rate (1) 2.99 % 1.42 % 1.63 % Total interest expense $ 1,023 $ 606 $ 902 Maximum daily amount outstanding $ 91,857 $ 89,879 $ 96,570 (1) Excludes the effect of amortization of debt issuance costs of $125,000 for the years ended December 31, 2022 and 2021 and $176,000 for the year ended 2020. December 31, 2022 December 31, 2021 (dollars in thousands) Carrying value: Amount outstanding $ — $ 49,988 Unamortized debt issuance costs — — $ — $ 49,988 Weighted average interest rate — 1.48 % Loans acquired for sale pledged to secure mortgage loan participation purchase and sale agreements $ — $ 52,102 |
Loans RE and MSRs Sold Under Agreements to Repurchase [Member] | |
Summary of Assets Sold under Agreements to Repurchase by Counterparty | Loans, REO and MSRs Weighted-average maturity Counterparty Amount Advances Facility (in thousands) Bank of America, N.A. $ 25,572 January 30, 2023 June 5, 2024 Goldman Sachs & Co. LLC $ 2,104 March 16, 2023 December 23, 2023 Citibank, N.A. $ 12,072 February 24, 2023 April 26, 2024 Barclays Capital Inc. $ 19,214 February 26, 2023 November 13, 2024 JPMorgan Chase & Co. $ 20,817 March 3, 2023 June 17, 2024 Wells Fargo Securities, LLC $ 15,321 March 16, 2023 November 17, 2023 Credit Suisse First Boston Mortgage Capital LLC $ 15,093 March 13, 2023 May 31, 2024 Morgan Stanley & Co. LLC $ 11,452 March 12, 2023 January 3, 2024 RBC Capital Markets, L.P. $ 8,996 March 27, 2023 November 10, 2023 BNP Paribas Corporate & Institutional Banking $ 6,480 March 12, 2023 November 30, 2024 |
Long-Term Debt (Tables)
Long-Term Debt (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Summary of Financial Information Relating to Note Payable Secured by Credit Risk Transfer and Mortgage Servicing Assets | Following is a summary of financial information relating to notes payable secured by credit risk transfer and mortgage servicing assets: Year ended December 31, 2022 2021 2020 (dollars in thousands) Average balance $ 2,646,597 $ 2,635,601 $ 1,771,370 Weighted average interest rate (1) 4.92 % 3.08 % 3.19 % Total interest expense $ 137,021 $ 86,753 $ 59,261 Maximum daily amount outstanding $ 3,629,637 $ 3,336,480 $ 2,032,665 (1) Excludes the effect of amortization of debt issuance costs of $6.7 million, $5.5 million and $2.7 million for the years ended December 31, 2022, 2021 and 2020, respectively. December 31, 2022 December 31, 2021 (dollars in thousands) Carrying value: Unpaid principal balance: CRT Term Notes $ 592,694 $ 1,204,636 FT-1 Notes 1,105,000 800,000 Freddie Mac credit agreements 1,115,000 475,000 2,812,694 2,479,636 Unamortized debt issuance costs (8,666 ) (7,675 ) $ 2,804,028 $ 2,471,961 Weighted average interest rate 7.30 % 3.02 % Assets securing notes payable: Mortgage servicing rights (1) $ 3,962,820 $ 2,863,544 CRT Agreements: Deposits securing CRT arrangements $ 869,742 $ 1,704,911 Derivative assets $ 1,262 $ 19,627 (1) Beneficial interests in Freddie Mac MSRs are pledged as collateral for the Notes payable secured by credit risk transfer and mortgage servicing assets. Assets sold under agreements to repurchase Notes payable secured by credit risk transfer and mortgage servicing assets |
Summary of Financial Information Relating to Exchangeable Notes | Following is financial information relating to the Exchangeable Notes: Year ended December 31, 2022 2021 2020 (in thousands) Average balance $ 541,233 $ 445,064 $ 269,247 Weighted average interest rate (1) 5.64 % 7.74 % 6.43 % Interest expense: Coupon $ 30,525 $ 27,152 $ 15,556 Amortization of: Conversion option (2) — 7,306 1,801 Issuance cost 2,843 2,289 1,490 $ 33,368 $ 36,747 $ 18,847 December 31, 2022 December 31, 2021 (in thousands) Carrying value: UPB $ 555,000 $ 555,000 Conversion option allocated to Additional paid-in capital (2) — (40,952 ) Unamortized debt issuance costs (8,746 ) (11,589 ) (8,746 ) (52,541 ) $ 546,254 $ 502,459 (1) Excludes the effect of amortization of debt issuance and conversion option costs. (2) As discussed in Note 3 ‒ Significant Accounting Policies ‒ Accounting Standard Adopted in 2022 , the Company adopted ASU 2020‑06 effective January 1, 2022. As a result of the adoption of ASU 2020-06, the Company reclassified approximately $50.3 million of issuance discount attributable to the conversion options originally recognized in the issuance of Exchangeable senior notes from Additional paid-in capital to the carrying value of the Exchangeable senior notes and $9.4 million of previously recognized accrual of the issuance discount, as an adjustment to the Accumulated deficit effective January 1, 2022. |
Summary of Financial Information Relating to Asset-Backed Financing of a VIE at Fair Value | Following is a summary of financial information relating to the asset-backed financings at fair value described in Note 6 ‒ Variable Interest Entities ‒ Subordinate Mortgage-Backed Securities: Year ended December 31, 2022 2021 2020 (dollars in thousands) Average balance $ 1,512,590 $ 447,247 $ 203,795 Total interest expense $ 53,570 $ 15,076 $ 10,971 Weighted average interest rate (1) 3.42 % 3.63 % 3.30 % (1) Excludes the effect of amortization (accrual) of debt issuance costs (premiums) of $1.8 million, $(1.1) million and $4.2 million for the years ended December 31, 2022, 2021 and 2020, respectively. December 31, 2022 December 31, 2021 (dollars in thousands) Fair value $ 1,414,955 $ 1,469,999 Unpaid principal balance $ 1,681,410 $ 1,442,379 Weighted average interest rate 3.22 % 3.18 % |
Schedule of Contractual Maturities on Long Term Debt Obligations | Maturities of Long-Term Debt Contractual maturities of long-term debt obligations (based on stated maturity dates) are as follows: Year ended December 31, Total 2023 2024 2025 2026 2027 Thereafter (in thousands) Notes payable secured by credit risk transfer and mortgage servicing assets (1) $ 2,812,694 $ 689,227 $ 1,468,467 $ — $ 350,000 $ 305,000 $ — Exchangeable senior notes 555,000 — 210,000 — 345,000 — — Asset-backed financings at fair value (2) 1,681,410 — — — — — 1,681,410 Interest-only security payable at fair value (2) 21,925 — — — — — 21,925 Total $ 5,071,029 $ 689,227 $ 1,678,467 $ — $ 695,000 $ 305,000 $ 1,703,335 (1) Based on stated maturity. As discussed above, certain of the Notes payable secured by credit risk transfer and mortgage servicing assets allow the Company to exercise optional extensions. (2) Contractual maturity does not reflect expected repayment as borrowers of the underlying loans generally have the right to repay their loans at any time. |
CRT Arrangement Financing | |
Summary of Term Note Outstanding to Qualified Institutional Buyers | Following is a summary of the CRT Term Notes outstanding: Unpaid Annual interest rate Maturity date Term notes Issuance date Issuance amount principal balance Index Spread Stated Optional extension (1) (in thousands) 2021 1R March 4, 2021 $ 659,156 $ 298,655 LIBOR 2.90 % February 28, 2024 February 27, 2026 2020 1R February 14, 2020 $ 350,000 58,295 LIBOR 2.35 % March 1, 2023 (2) February 27, 2025 2019 3R October 16, 2019 $ 375,000 54,811 LIBOR 2.70 % October 27, 2022 (3) October 29, 2024 2019 2R June 11, 2019 $ 638,000 180,933 LIBOR 2.75 % May 29, 2023 May 29, 2025 $ 592,694 (1) The indentures relating to these issuances provide the Company with the option of extending the maturity dates of certain of the CRT Term Notes under the conditions specified in the respective agreements. (2) During January 2023, the Company exercised its option to extend the maturity of this note (3) During October 2022, the Company exercised its option to extend the maturity of this note. |
Fannie Mae M S R Financing | |
Summary of Term Note Outstanding to Qualified Institutional Buyers | Following is a summary of the term financing of the Company’s Fannie Mae MSRs: Unpaid Annual interest rate Maturity date FT-1 Note Issuance date Issuance amount principal balance Index Spread Stated Optional extension (1) (in thousands) 2022 June 28, 2022 $ 305,000 $ 305,000 SOFR (2) 4.19% June 25, 2027 (3) 2021 March 30, 2021 $ 350,000 350,000 LIBOR 3.00% March 25, 2026 March 27, 2028 2018 April 25, 2018 $ 450,000 450,000 LIBOR 2.35% April 25, 2023 April 25, 2025 $ 1,105,000 (1) The indentures relating to these issuances provide the Company with the option of extending the maturity dates of the term notes under the conditions specified in the respective agreements. (2) Secured Overnight Financing Rate (“SOFR”). (3) Either June 26, 2028 or June 25, 2029. |
Liability for Losses Under Re_2
Liability for Losses Under Representations and Warranties (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Liability For Representations And Warranties [Abstract] | |
Summary of Company's Liability for Losses under Representations and Warranties | Following is a summary of the Company’s liability for losses under representations and warranties: Year ended December 31, 2022 2021 2020 (in thousands) Balance, beginning of year $ 40,249 $ 21,893 $ 7,614 Provision for losses: Pursuant to loan sales 4,442 25,029 19,316 Reduction in liability due to change in estimate (4,227 ) (5,812 ) (4,457 ) Losses incurred, net (993 ) (861 ) (580 ) Balance, end of year $ 39,471 $ 40,249 $ 21,893 UPB of loans subject to representations and warranties at end of year $ 228,339,312 $ 213,944,023 $ 163,592,788 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Commitments And Contingencies Disclosure [Abstract] | |
Company's Outstanding Contractual Commitments | The following table summarizes the Company’s outstanding contractual commitments: December 31, 2022 (in thousands) Commitments to purchase loans acquired for sale $ 1,484,384 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Equity [Abstract] | |
Schedule of Preferred Shares of Beneficial Interest | Preferred shares of beneficial interest are summarized below: Preferred Dividends per share, year ended December 31, Share series Description (1) Number of shares Liquidation preference Issuance discount Carrying value 2022 2021 2020 Fixed-to-floating rate cumulative redeemable (in thousands, except dividends per share) A 8.125% Issued March 2017 4,600 $ 115,000 $ 3,828 $ 111,172 $ 2.03 $ 2.03 $ 2.03 B 8.00% Issued July 2017 7,800 195,000 6,465 188,535 $ 2.00 $ 2.00 $ 2.00 Fixed-rate cumulative redeemable C 6.75% Issued August 2021 10,000 250,000 8,225 241,775 $ 1.68 $ 0.52 — 22,400 $ 560,000 $ 18,518 $ 541,482 (1) Par value is $0.01 per share. |
Summary of Activities under ATM Equity Offering Program | Following is a summary of the activities under the ATM equity offering program: Year ended December 31, 2020 (in thousands) Number of Common Shares issued 241 Gross proceeds $ 5,654 Net proceeds $ 5,597 |
Summary of Common Share Repurchase Activity | The following table summarizes the Company’s Common Share repurchase activity: Year ended December 31, Cumulative 2022 2021 2020 total (1) (in thousands) Common Shares repurchased 6,094 3,099 2,767 26,691 Cost of Common Shares repurchased (2) $ 87,992 $ 56,855 $ 37,267 $ 398,739 (1) Amounts represent the Common Share repurchase program total from its inception in August 2015 through December 31, 2022. (2) Cumulative total cost of Common Shares repurchased includes $533,824 of transaction fees. |
Net (Losses) Gains on Investm_2
Net (Losses) Gains on Investments and Financings (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Investments Debt And Equity Securities [Abstract] | |
Summary of Net (Losses) Gains on Investments and Financings | Net (losses) gains on investments and financings are summarized below: Year ended December 31, 2022 2021 2020 (in thousands) From nonaffiliates: Mortgage-backed securities $ (576,758 ) $ (74,354 ) $ 87,852 Loans at fair value: Held in VIEs (301,164 ) (12,536 ) (6,617 ) Distressed 686 611 (837 ) CRT arrangements (65,137 ) 368,999 (145,938 ) Firm commitment to purchase CRT securities — — (121,067 ) Asset-backed financings at fair value 283,586 19,708 5,519 Hedging derivatives — — 32,932 (658,787 ) 302,428 (148,156 ) From PFSI ‒ Excess servicing spread — 1,651 (22,729 ) $ (658,787 ) $ 304,079 $ (170,885 ) |
Net Gains on Loans Acquired f_2
Net Gains on Loans Acquired for Sale (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Text Block [Abstract] | |
Schedule of Net Gains on Loans Acquired for Sale | Net gains on loans acquired for sale are summarized below: Year ended December 31, 2022 2021 2020 (in thousands) From nonaffiliates: Cash losses: Sales of loans $ (1,196,384 ) $ (1,487,649 ) $ (326,214 ) Hedging activities 596,295 188,733 (504,506 ) (600,089 ) (1,298,916 ) (830,720 ) Non-cash gains: Recognition of fair value of firm commitment to purchase CRT securities — — (38,161 ) Receipt of MSRs in mortgage loan sale transactions 670,343 1,484,629 1,158,475 Provision for losses relating to representations and warranties provided in loan sales: Pursuant to loans sales (4,442 ) (25,029 ) (19,316 ) Reduction of liability due to change in estimate 4,227 5,812 4,457 (215 ) (19,217 ) (14,859 ) Change in fair value of loans and derivatives Interest rate lock commitments (2,928 ) (69,935 ) 61,232 Loans (4,057 ) 31,072 (12,279 ) Hedging derivatives (42,330 ) (46,832 ) 45,197 (49,315 ) (85,695 ) 94,150 620,813 1,379,717 1,199,605 Total from nonaffiliates 20,724 80,801 368,885 From PFSI ‒ cash gains 4,968 6,472 11,037 $ 25,692 $ 87,273 $ 379,922 |
Net Interest Expense (Tables)
Net Interest Expense (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Banking And Thrift Interest [Abstract] | |
Summary of Net Interest Expense | Net interest expense is summarized below: Year ended December 31, 2022 2021 2020 (in thousands) Interest income: From nonaffiliates: Cash and short-term investments $ 6,912 $ 938 $ 3,804 Mortgage-backed securities 133,640 36,180 59,461 Loans acquired for sale at fair value 103,300 125,438 103,221 Loans at fair value: Held in consolidated variable interest entities 59,263 17,014 10,609 Distressed 219 369 493 Deposits securing CRT arrangements 21,324 559 7,012 Placement fees relating to custodial funds 57,961 13,366 28,804 Other 1,175 95 313 383,794 193,959 213,717 From PFSI ‒ Excess servicing spread — 1,280 8,418 383,794 195,239 222,135 Interest expense: To nonaffiliates: Assets sold under agreements to repurchase 165,436 97,078 102,131 Mortgage loan participation purchase and sale agreements 1,023 606 902 Notes payable secured by credit risk transfer and mortgage servicing assets 137,021 86,753 59,261 Exchangeable senior notes 33,368 36,747 18,847 Asset-backed financings at fair value 53,570 15,076 10,971 Interest shortfall on repayments of loans serviced for Agency securitizations 15,806 64,519 71,516 Interest on loan impound deposits 4,196 3,571 3,817 410,420 304,350 267,445 To PFSI ‒ Assets sold under agreement to repurchase — 387 3,325 410,420 304,737 270,770 Net interest expense $ (26,626 ) $ (109,498 ) $ (48,635 ) |
Share-Based Compensation (Table
Share-Based Compensation (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract] | |
Summary of Share-Based Compensation Activity | The following table summarizes the Company’s share-based compensation activity: Year ended December 31, 2022 2021 2020 (in thousands) Grants: Restricted share units 134 105 92 Performance share units 151 126 112 285 231 204 Grant date fair value: Restricted share units $ 2,101 $ 1,992 $ 1,978 Performance share units 2,350 2,399 2,425 $ 4,451 $ 4,391 $ 4,403 Vestings: Restricted share units 79 123 129 Performance share units (1) 41 48 143 120 171 272 Forfeitures: Restricted share units — — 4 Performance share units 13 — — 13 — 4 Compensation expense relating to share-based grants $ 4,310 $ 2,419 $ 2,294 (1) The actual number of performance-based restricted share units (“RSUs”), that vested during the year ended December 31, 2022 was 39,001 Common Shares, which is approximately 32% of the originally granted performance-based RSUs with 80,870 performance-based RSUs that vested with zero attainment . |
Summary of Restricted Share Units and Performance Share Units Expected to Vest | December 31, 2022 Restricted share units Performance share units Shares expected to vest: Number of units (in thousands) 225 219 Grant date average fair value per unit $ 17.31 $ 16.91 Average remaining vesting period (in months) 27 27 |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Income Tax Disclosure [Abstract] | |
Schedule of Tax Characterization of Distributions | The approximate tax characterization of the Company’s distributions is as follows : Year ended December 31, Ordinary income Long term capital gain Return of capital 2022 86 % 0 % 14 % 2021 100 % 0 % 0 % 2020 75 % 25 % 0 % |
Summary of Company's Provision for (Benefit from) Income Taxes | The following table details the Company’s provision for (benefit from) income taxes which relates primarily to the TRS for the years presented: Year ended December 31, 2022 2021 2020 (in thousands) Current expense (benefit): Federal $ (5 ) $ — $ — State — 11 12 Total current expense (benefit) (5 ) 11 12 Deferred expense (benefit) : Federal 113,894 (14,692 ) 20,440 State 22,485 2,488 6,905 Total deferred expense (benefit) 136,379 (12,204 ) 27,345 Total provision for (benefit from) income taxes $ 136,374 $ (12,193 ) $ 27,357 |
Reconciliation of Company's Provision for (Benefit from) Income Taxes | The following table is a reconciliation of the Company’s provision for (benefit from) income taxes at statutory rates to the (benefit from) provision for income taxes at the Company’s effective rate for the years presented: Year ended December 31, 2022 2021 2020 Amount Rate Amount Rate Amount Rate (dollars in thousands) Federal income tax expense at statutory tax rate $ 13,248 21.0 % $ 9,379 21.0 % $ 16,743 21.0 % Effect of non-taxable REIT loss (income) 136,465 216.3 % (46,193 ) (103.4 )% 15,076 18.9 % State income taxes, net of federal benefit 27,573 43.7 % (7,175 ) (16.1 )% 5,370 6.7 % Convertible debt permanent adjustment (6,786 ) (10.8 )% (2,215 ) (5.0 )% 3,446 4.3 % Valuation allowance (34,121 ) (54.0 )% 34,011 76.2 % (13,502 ) (16.9 )% Other (5 ) (— )% — (— )% 224 0.3 % Provision for (benefit from) income taxes $ 136,374 216.2 % $ (12,193 ) (27.3 )% $ 27,357 34.3 % |
Components of Provision for (Benefit from) Deferred Income Taxes | The Company’s components of the provision for (benefit from) deferred income taxes are as follows: Year ended December 31, 2022 2021 2020 (in thousands) Real estate valuation loss $ 66 $ 758 $ 437 Mortgage servicing rights 157,559 52,818 27,179 Net operating loss carryforward 4,075 (60,314 ) 31,622 Liability for losses under representations and warranties 269 (4,435 ) (3,486 ) Excess interest expense disallowance 9,134 (35,769 ) (15,749 ) Other (603 ) 727 844 Valuation allowance (34,121 ) 34,011 (13,502 ) Total provision for (benefit from) deferred income taxes $ 136,379 $ (12,204 ) $ 27,345 |
Components of Income Taxes Payable | The components of income taxes payable are as follows: December 31, 2022 December 31, 2021 (in thousands) Taxes currently receivable $ (1,820 ) $ (7,620 ) Deferred income taxes payable 153,598 17,218 Income taxes payable $ 151,778 $ 9,598 |
Summary of Deferred Income Tax Assets and Liabilities | The tax effects of temporary differences that gave rise to deferred income tax assets and liabilities are presented below: December 31, 2022 December 31, 2021 (in thousands) Deferred income tax assets: Net operating loss carryforward $ 121,853 $ 125,929 Excess interest expense disallowance 57,618 66,752 Liability for losses under representations and warranties 9,552 9,821 REO valuation loss 178 244 Other 537 — Gross deferred tax assets 189,738 202,746 Valuation allowance — (34,121 ) Deferred tax assets after valuation allowance 189,738 168,625 Deferred income tax liabilities: Mortgage servicing rights 341,993 184,433 Other 1,343 1,410 Gross deferred tax liabilities 343,336 185,843 Net deferred income tax liability $ 153,598 $ 17,218 |
Earnings Per Common Share (Tabl
Earnings Per Common Share (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Earnings Per Share [Abstract] | |
Summary of Basic and Diluted Earnings per Share | The following table summarizes the basic and diluted earnings per share calculations: Year ended December 31, 2022 2021 2020 (in thousands except per share amounts) Net (loss) income $ (73,287 ) $ 56,854 $ 52,373 Dividends on preferred shares (41,819 ) (30,891 ) (24,938 ) Effect of participating securities—share-based compensation awards (408 ) (318 ) (287 ) Net (loss) income attributable to common shareholders $ (115,514 ) $ 25,645 $ 27,148 Weighted average basic shares outstanding 91,434 97,402 99,373 Dilutive securities‒shares issuable under share-based compensation plan — — — Diluted weighted average shares outstanding 91,434 97,402 99,373 Basic (loss) earnings per share $ (1.26 ) $ 0.26 $ 0.27 Basic (loss) earnings per share $ (1.26 ) $ 0.26 $ 0.27 |
Summary of Potentially Dilutive Shares Excluded from Computation of Diluted Earnings Per Share | The following table summarizes the potentially dilutive shares excluded from the diluted earnings per share calculation as inclusion of such shares would have been anti-dilutive: Year ended December 31, 2022 2021 2020 (in thousands) Shares issuable under share-based compensation plan 136 162 172 Shares issuable pursuant to exchange of the Exchangeable Senior Notes 24,328 — 2,529 |
Segments (Tables)
Segments (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Segment Reporting [Abstract] | |
Financial Highlights by Operating Segment | Financial highlights by operating segment are summarized below: Credit Interest rate sensitive sensitive Correspondent Year ended December 31, 2022 strategies strategies production Corporate Total (in thousands) Net investment income: Net loan servicing fees $ — $ 909,551 $ — $ — $ 909,551 Net (losses) gains on investments and financings (93,739 ) (565,048 ) — — (658,787 ) Net gains on loans acquired for sale 5 — 25,687 — 25,692 Net interest expense: Interest income 38,810 238,527 103,065 3,392 383,794 Interest expense 52,385 285,304 70,531 2,200 410,420 (13,575 ) (46,777 ) 32,534 1,192 (26,626 ) Other 537 — 52,857 547 53,941 (106,772 ) 297,726 111,078 1,739 303,771 Expenses: Loan fulfillment and servicing fees payable to PFSI 219 81,696 67,991 — 149,906 Management fees — — — 31,065 31,065 Other 5,575 8,228 15,530 30,380 59,713 5,794 89,924 83,521 61,445 240,684 Pretax (loss) income $ (112,566 ) $ 207,802 $ 27,557 $ (59,706 ) $ 63,087 Total assets at end of year $ 1,614,977 $ 9,991,621 $ 1,936,797 $ 378,169 $ 13,921,564 Credit Interest rate sensitive sensitive Correspondent Year ended December 31, 2021 strategies strategies production Corporate Total (in thousands) Net investment income: Net loan servicing fees $ — $ (36,022 ) $ — $ — $ (36,022 ) Net (losses) gains on investments and financings: 376,725 (72,646 ) — — 304,079 Net gains on loans acquired for sale (2 ) — 87,275 — 87,273 Net interest expense: Interest income 2,739 64,528 125,056 2,916 195,239 Interest expense 59,545 160,525 84,667 — 304,737 (56,806 ) (95,997 ) 40,389 2,916 (109,498 ) Other 3,204 — 171,261 — 174,465 323,121 (204,665 ) 298,925 2,916 420,297 Expenses: Loan fulfillment and servicing fees payable to PFSI 363 80,295 178,927 — 259,585 Management fees — — — 37,801 37,801 Other 16,115 5,105 33,062 23,968 78,250 16,478 85,400 211,989 61,769 375,636 Pretax (loss) income $ 306,643 $ (290,065 ) $ 86,936 $ (58,853 ) $ 44,661 Total assets at end of year $ 1,848,294 $ 7,363,878 $ 4,325,750 $ 234,786 $ 13,772,708 Credit Interest rate sensitive sensitive Correspondent Year ended December 31, 2020 strategies strategies production Corporate Total (in thousands) Net investment income: Net loan servicing fees $ — $ 153,696 $ — $ — $ 153,696 Net (losses) gains on investments and financings: (237,049 ) 66,164 — — (170,885 ) Net gains on loans acquired for sale (43,813 ) — 423,735 — 379,922 Net interest expense: Interest income 8,902 108,036 102,779 2,418 222,135 Interest expense 39,237 153,338 76,892 1,303 270,770 (30,335 ) (45,302 ) 25,887 1,115 (48,635 ) Other 5,857 — 147,600 1,796 155,253 (305,340 ) 174,558 597,222 2,911 469,351 Expenses: Loan fulfillment and servicing fees payable to PFSI 807 66,374 222,200 — 289,381 Management fees — — — 34,538 34,538 Other 10,996 2,487 30,383 21,836 65,702 11,803 68,861 252,583 56,374 389,621 Pretax (loss) income $ (317,143 ) $ 105,697 $ 344,639 $ (53,463 ) $ 79,730 Total assets at end of year $ 2,920,558 $ 4,593,127 $ 3,781,010 $ 197,316 $ 11,492,011 |
Regulatory Capital and Liquid_2
Regulatory Capital and Liquidity Requirements (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Mortgage Banking [Abstract] | |
Summary of Capital and Liquidity Amounts and Requirements by Agencies | The Agencies’ capital and liquidity amounts and requirements are summarized below: Net worth (1) Tangible net worth / total assets ratio (1) Liquidity (1) Fannie Mae and Freddie Mac Actual Required Actual Required Actual Required (dollars in thousands) December 31, 2022 $ 1,138,331 $ 586,436 16 % 6 % $ 343,286 $ 79,372 December 31, 2021 $ 938,218 $ 557,229 12 % 6 % $ 108,536 $ 74,771 (1) Calculated in accordance with the Agencies’ requirements. |
Parent Company Information (Tab
Parent Company Information (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Condensed Financial Information Of Parent Company Only Disclosure [Abstract] | |
Schedule of Financial Covenants that Include Minimum Tangible Net Worth | The Company’s debt financing agreements require PMT and certain of its subsidiaries to comply with financial covenants that include a minimum tangible net worth as summarized below: December 31, 2022 Company consolidated Debt covenant requirement Calculated balance (1) (in thousands) PennyMac Mortgage Investment Trust $ 1,250,000 $ 1,962,815 PennyMac Operating Partnership, L.P. $ 700,000 $ 2,018,327 PennyMac Holdings, LLC $ 250,000 $ 836,113 PennyMac Corp. $ 300,000 $ 1,141,891 (1) Calculated in accordance with the lenders’ requirements. |
Schedule of Parent Company Information | PENNYMAC MORTGAGE INVESTMENT TRUST CONDENSED BALANCE SHEETS Following are condensed parent-only financial statements for the Company: December 31, 2022 2021 (in thousands) Assets Short-term investment $ 507 $ 3,542 Investments in subsidiaries 2,220,692 2,518,953 Due from subsidiaries 150 89 Other assets 904 — Total assets $ 2,222,253 $ 2,522,584 Liabilities Dividends payable $ 35,658 $ 44,764 Capital notes due to subsidiaries 200,780 100,679 Accounts payable and accrued liabilities 342 1,233 Due to affiliates 280 421 Due to subsidiaries 1,586 244 Total liabilities 238,646 147,341 Shareholders' Equity 1,983,607 2,375,243 Total liabilities and shareholders' equity $ 2,222,253 $ 2,522,584 PENNYMAC MORTGAGE INVESTMENT TRUST CONDENSED STATEMENTS OF OPERATIONS Year ended December 31, 2022 2021 2020 (in thousands) Income Dividends from subsidiaries $ 214,885 $ 213,794 $ 176,216 Intercompany interest 8 42 140 Other — — 475 Total income 214,893 213,836 176,831 Expenses Intercompany interest 14,244 3,663 1,509 Other 71 85 62 Total expenses 14,315 3,748 1,571 Income before (benefit from) provision for income taxes and distribution in excess of earnings 200,578 210,088 175,260 (Benefit from) provision for income taxes (5 ) 11 13 Income before equity in undistributed earnings of subsidiaries 200,583 210,077 175,247 Distributions in excess of earnings of subsidiaries (251,409 ) (133,576 ) (139,620 ) Net (loss) income $ (50,826 ) $ 76,501 $ 35,627 PENNYMAC MORTGAGE INVESTMENT TRUST CONDENSED STATEMENTS OF CASH FLOWS Year ended December 31, 2022 2021 2020 (in thousands) Cash flows from operating activities: Net (loss) income $ (50,826 ) $ 76,501 $ 35,627 Adjustments to reconcile net (loss) income to net cash provided by operating activities: Distributions in excess of earnings of subsidiaries 251,409 133,576 139,620 Decrease in due from subsidiaries 753 967 697 (Increase) decrease in other assets (903 ) 571 24 (Decrease) increase in accounts payable and accrued liabilities (891 ) 854 (1,266 ) Decrease (increase) in due from affiliates (141 ) 48 (26 ) Increase in due to affiliates 1,342 297 27 Net cash provided by operating activities 200,743 212,814 174,703 Cash flows from investing activities: Increase in investment in subsidiaries — (242,125 ) (5,596 ) Net decrease (increase) in short-term investments 3,035 2,940 (3,663 ) Net cash provided by (used in) investing activities 3,035 (239,185 ) (9,259 ) Cash flows from financing activities: Net increase in intercompany unsecured note payable 100,101 56,300 44,380 Issuance of preferred shares — 250,000 — Payment of issuance costs related to preferred shares — (8,225 ) — Issuance of Common Shares — — 5,654 Payment of issuance costs related to Common Shares — — (57 ) Payment of withholding taxes related to share-based compensation (522 ) (730 ) (1,629 ) Payment of dividends to preferred shareholders (41,819 ) (30,146 ) (24,945 ) Payment of dividends to common shareholders (173,546 ) (183,973 ) (151,580 ) Repurchase of Common Shares (87,992 ) (56,855 ) (37,267 ) Net cash (used in) provided by financing activities (203,778 ) 26,371 (165,444 ) Net change in cash — — — Cash at beginning of year — — — Cash at end of year $ — $ — $ — Non-cash investing activities: Investment in subsidiary pursuant to share based compensation plan $ 4,309 $ 2,418 $ 2,289 Non-cash financing activities: Contribution of equity to subsidiary pursuant to share based compensation plan $ 4,309 $ 2,418 $ 2,289 Dividends payable $ 35,658 $ 44,764 $ 46,093 |
Organization - Additional Infor
Organization - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2022 Segment | |
Accounting Policies [Abstract] | |
Number of business segments | 4 |
Percentage of taxable income for distributions | 90% |
Significant Accounting Polici_3
Significant Accounting Policies - Additional Information (Detail) - USD ($) $ in Thousands | 12 Months Ended | |||
Jan. 01, 2022 | Sep. 30, 2013 | Dec. 31, 2022 | Dec. 31, 2021 | |
New Accounting Pronouncements Or Change In Accounting Principle [Line Items] | ||||
Loan delinquent period | 90 days | |||
Income tax positions likely to be recognized | 50% | |||
Accumulated deficit | $ (526,822) | $ (256,670) | ||
Accounting Standards Update 2020-06 [Member] | ||||
New Accounting Pronouncements Or Change In Accounting Principle [Line Items] | ||||
Reclassification from additional paid-in capital to carrying value of exchangeable notes | $ 50,300 | |||
Decrease in interest expense | 7,100 | |||
Cumulative Effect, Period of Adoption, Adjusted Balance [Member] | Accounting Standards Update 2020-06 [Member] | ||||
New Accounting Pronouncements Or Change In Accounting Principle [Line Items] | ||||
Accumulated deficit | $ 9,400 | |||
Jumbo Mortgage Loan Financing [Member] | Variable Interest Entities [Member] | ||||
New Accounting Pronouncements Or Change In Accounting Principle [Line Items] | ||||
Certificates issued | $ 537,000 | |||
Weighted cost | 3.90% |
Transactions with Related Par_3
Transactions with Related Parties - Correspondent Production Activities - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2022 USD ($) | |
Minimum [Member] | |
Mortgage Loans On Real Estate Schedule [Table] | |
Interest income and sourcing fee | 2% |
Maximum [Member] | |
Mortgage Loans On Real Estate Schedule [Table] | |
Interest income and sourcing fee | 3.50% |
PennyMac Loan Services, LLC [Member] | |
Mortgage Loans On Real Estate Schedule [Table] | |
Servicing agreement expiration date | Jun. 30, 2025 |
Service agreement maturity renewal term | 18 months |
PennyMac Loan Services, LLC [Member] | Fannie Mae Or Freddie Mac Mortgage Loans [Member] | |
Mortgage Loans On Real Estate Schedule [Table] | |
Basis point for monthly fulfillment fee | 0.35% |
PennyMac Loan Services, LLC [Member] | Mortgage Loans Sold And Securitized | |
Mortgage Loans On Real Estate Schedule [Table] | |
Basis point for monthly fulfillment fee | 0.50% |
Twenty Twenty M B S Agreement | |
Mortgage Loans On Real Estate Schedule [Table] | |
Services agreement effective date | Jul. 01, 2020 |
Servicing agreement expiration date | Jun. 30, 2025 |
Service agreement maturity renewal term | 18 months |
Twenty Twenty M B S Agreement | Fannie Mae Or Freddie Mac Mortgage Loans [Member] | |
Mortgage Loans On Real Estate Schedule [Table] | |
Number of mortgage loans purchased multiplier | $ 750 |
Twenty Twenty M B S Agreement | Ginnie Mae Mortgage Loans [Member] | |
Mortgage Loans On Real Estate Schedule [Table] | |
Mortgage loan servicing fees sayable | $ 0 |
Twenty Twenty M B S Agreement | Minimum [Member] | |
Mortgage Loans On Real Estate Schedule [Table] | |
Interest income and sourcing fee | 0.01% |
Mortgage loans commintments multiplier | $ 355 |
Mortgage adjusted loan commitments | 16,500 |
Number of mortgage loans purchased multiplier | 195 |
Number of mortgage loans purchased | $ 16,500 |
Twenty Twenty M B S Agreement | Maximum [Member] | |
Mortgage Loans On Real Estate Schedule [Table] | |
Interest income and sourcing fee | 0.02% |
Mortgage loans commintments multiplier | $ 585 |
Mortgage adjusted loan commitments | 16,500 |
Number of mortgage loans purchased multiplier | 315 |
Number of mortgage loans purchased | $ 16,500 |
Transactions with Related Par_4
Transactions with Related Parties - Summary of Correspondent Production Activity (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Related Party Transaction [Line Items] | |||
Loans included in Loans acquired for sale at fair value pending sale to PLS | $ 1,821,933 | $ 4,171,025 | |
PennyMac Loan Services, LLC [Member] | |||
Related Party Transaction [Line Items] | |||
Loan fulfillment fees earned by PLS | 67,991 | 178,927 | $ 222,200 |
UPB of loans fulfilled by PLS | 37,090,031 | 110,003,574 | 100,389,252 |
Sourcing fees received from PLS included in Net gains on loans acquired for sale | 4,968 | 6,472 | 11,037 |
UPB of loans sold to PLS | 49,680,267 | 64,774,728 | 60,540,530 |
Purchases of loans acquired for sale from PLS | 298,862 | 0 | 2,248,896 |
Tax service fees paid to PLS | 8,418 | 26,126 | $ 23,408 |
Loans included in Loans acquired for sale at fair value pending sale to PLS | $ 159,671 | $ 314,995 |
Transactions with Related par_5
Transactions with Related parties - Loan Servicing - Additional Information (Detail) - PennyMac Loan Services, LLC [Member] | 12 Months Ended |
Dec. 31, 2022 | |
Mortgage Loans On Real Estate [Line Items] | |
Servicing agreement expiration date | Jun. 30, 2025 |
Service agreement maturity renewal term | 18 months |
Transactions with Related Par_6
Transactions with Related Parties - Prime Servicing - Additional Information (Detail) - PennyMac Loan Services, LLC [Member] | 12 Months Ended |
Dec. 31, 2022 USD ($) | |
Subserviced loan [Member] | Fixed-Rate Mortgage Loans [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees per month | $ 7.50 |
Subserviced loan [Member] | Adjustable rate mortgage loans [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees per month | 8.50 |
Prime Mortgage Loans [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees for REO per month | 75 |
Prime Mortgage Loans [Member] | Minimum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Additional servicing fees per loan per month | 10 |
Prime Mortgage Loans [Member] | Maximum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Additional servicing fees per loan per month | $ 55 |
Transactions with Related Par_7
Transactions with Related Parties - Special Servicing - Additional Information (Detail) - PennyMac Loan Services, LLC [Member] - Distressed loans [Member] | 12 Months Ended |
Dec. 31, 2022 USD ($) | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees for REO per month | $ 75 |
Supplemental servicing fee | 25 |
Minimum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees per month | 30 |
Maximum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Base servicing fees per month | $ 95 |
Transactions with Related Par_8
Transactions with Related Parties - MSR Recapture Agreement - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2022 | |
MSR Recapture Agreement [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Percentage of cash in amount equal to fair market value of MSRs related to all loans | 30% |
2020 MSR Recapture Agreement [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Services agreement effective date | Jul. 01, 2020 |
Servicing agreement expiration date | Jun. 30, 2025 |
Service agreement maturity renewal term | 18 months |
Mortgage loans on real estate, renewed and Extended, description | Effective July 1, 2020, the 2020 MSR recapture agreement changed the recapture fee payable by PLS 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%. |
Recapture rate | 15% |
Transactions with Related Par_9
Transactions with Related Parties - Summary of Loan Servicing Fees Earned and Mortgage Servicing Rights Recaptured Income Earned (Detail) - PennyMac Loan Services, LLC [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Related Party Transaction [Line Items] | |||
Loan servicing fees | $ 81,915 | $ 80,658 | $ 67,181 |
Average MSR portfolio UPB | 222,847,593 | 196,996,623 | 147,832,880 |
Loans acquired for sale at fair value [Member] | |||
Related Party Transaction [Line Items] | |||
Loan servicing fees | 1,018 | 2,363 | 2,067 |
Average investment in loans acquired for sale at fair value | 1,938,470 | 4,135,140 | 3,469,392 |
Loans at fair value [Member] | |||
Related Party Transaction [Line Items] | |||
Loan servicing fees | 529 | 505 | 807 |
Loans at fair value | 1,615,982 | 481,433 | 223,628 |
Mortgage servicing rights [Member] | |||
Related Party Transaction [Line Items] | |||
Loan servicing fees | $ 80,368 | $ 77,790 | $ 64,307 |
Transactions with Related Pa_10
Transactions with Related Parties - Management Fees - Additional Information (Detail) - USD ($) | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2020 | Jul. 01, 2020 | |
Mortgage Loans On Real Estate [Line Items] | |||
Termination fees, description | 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 PCM, in each case during the 24-month period before termination. | ||
Fannie Mae [Member] | |||
Mortgage Loans On Real Estate [Line Items] | |||
MBS yield, average number of year | 30 years | ||
PNMAC Capital Management LLC [Member] | |||
Mortgage Loans On Real Estate [Line Items] | |||
Percentage of change in net income due to quarterly adjustments | 8% | ||
PMT agreed to reimburse PCM for a payment | $ 120,000 | $ 165,000 | |
Services agreement effective date | Jul. 01, 2020 | ||
Compensation Expenses Description | Effective July 1, 2020, PMT’s reimbursement of PCM’s and its affiliates’ compensation expenses was increased from $120,000 to $165,000 per fiscal quarter, such amount to be reviewed annually and to not preclude reimbursement for any other services performed by PCM or its affiliates | ||
PNMAC Capital Management LLC [Member] | 1.5% per annum of stockholders equity [Member] | |||
Mortgage Loans On Real Estate [Line Items] | |||
Base management fee annual rate | 1.50% | ||
PNMAC Capital Management LLC [Member] | 1.375% per annum of stockholders equity [Member] | |||
Mortgage Loans On Real Estate [Line Items] | |||
Base management fee annual rate | 1.375% | ||
PNMAC Capital Management LLC [Member] | 1.25% per annum of stockholders equity [Member] | |||
Mortgage Loans On Real Estate [Line Items] | |||
Base management fee annual rate | 1.25% | ||
PNMAC Capital Management LLC [Member] | Net income exceeds 10% [Member] | |||
Mortgage Loans On Real Estate [Line Items] | |||
Percentage of net income for calculation of performance incentive fees | 10% | ||
Percentage of return on equity | 12% | ||
PNMAC Capital Management LLC [Member] | Net income exceeds 15% [Member] | |||
Mortgage Loans On Real Estate [Line Items] | |||
Percentage of net income for calculation of performance incentive fees | 15% | ||
Percentage of return on equity | 16% | ||
PNMAC Capital Management LLC [Member] | Net income exceeds 20% [Member] | |||
Mortgage Loans On Real Estate [Line Items] | |||
Percentage of net income for calculation of performance incentive fees | 20% | ||
PNMAC Capital Management LLC [Member] | Maximum [Member] | |||
Mortgage Loans On Real Estate [Line Items] | |||
Percentage of performance incentive fee paid in Company's common shares | 50% | ||
PNMAC Capital Management LLC [Member] | Maximum [Member] | 1.5% per annum of stockholders equity [Member] | |||
Mortgage Loans On Real Estate [Line Items] | |||
Base management fee shareholders' equity limit | $ 2,000,000,000 | ||
PNMAC Capital Management LLC [Member] | Maximum [Member] | 1.375% per annum of stockholders equity [Member] | |||
Mortgage Loans On Real Estate [Line Items] | |||
Base management fee shareholders' equity limit | $ 5,000,000,000 | ||
PNMAC Capital Management LLC [Member] | Maximum [Member] | Net income exceeds 10% [Member] | |||
Mortgage Loans On Real Estate [Line Items] | |||
Percentage of return on equity | 8% | ||
PNMAC Capital Management LLC [Member] | Maximum [Member] | Net income exceeds 15% [Member] | |||
Mortgage Loans On Real Estate [Line Items] | |||
Percentage of return on equity | 12% | ||
PNMAC Capital Management LLC [Member] | Maximum [Member] | Net income exceeds 20% [Member] | |||
Mortgage Loans On Real Estate [Line Items] | |||
Percentage of return on equity | 16% | ||
PNMAC Capital Management LLC [Member] | Minimum [Member] | 1.375% per annum of stockholders equity [Member] | |||
Mortgage Loans On Real Estate [Line Items] | |||
Base management fee shareholders' equity limit | $ 2,000,000,000 | ||
PNMAC Capital Management LLC [Member] | Minimum [Member] | 1.25% per annum of stockholders equity [Member] | |||
Mortgage Loans On Real Estate [Line Items] | |||
Base management fee shareholders' equity limit | $ 5,000,000,000 | ||
PennyMac Financial Services, Inc. [Member] | |||
Mortgage Loans On Real Estate [Line Items] | |||
Performance incentive fee description | The performance incentive fee is equal to the sum of: (a) 10% of the amount by which “net income” for the quarter exceeds (i) an 8% return on “equity” plus the “high watermark”, up to (ii) a 12% return on “equity”; plus (b) 15% of the amount by which “net income” for the quarter exceeds (i) a 12% return on “equity” plus the high watermark, up to (ii) a 16% return on “equity”; plus (c) 20% of the amount by which “net income” for the quarter exceeds a 16% return on “equity” plus the “high watermark”. |
Transactions with Related Pa_11
Transactions with Related Parties - Summary of Management Fee Expense (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Related Party Transaction [Line Items] | |||
Total management fee incurred during the period | $ 31,065 | $ 37,801 | $ 34,538 |
PNMAC Capital Management LLC [Member] | |||
Related Party Transaction [Line Items] | |||
Total management fee incurred during the period | 31,065 | 37,801 | 34,538 |
Average shareholders' equity amounts used to calculate base management fee expense | 2,079,851 | 2,348,395 | 2,330,154 |
PNMAC Capital Management LLC [Member] | Base [Member] | |||
Related Party Transaction [Line Items] | |||
Total management fee incurred during the period | 31,065 | 34,794 | 34,538 |
PNMAC Capital Management LLC [Member] | Performance incentive [Member] | |||
Related Party Transaction [Line Items] | |||
Total management fee incurred during the period | $ 0 | $ 3,007 | $ 0 |
Transactions with Related Pa_12
Transactions with Related Parties - Summary of Expenses (Detail) - PNMAC Capital Management LLC [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Related Party Transaction [Line Items] | |||
Expenses incurred on the Company’s behalf, net | $ 23,829 | $ 18,812 | $ 22,583 |
Common overhead incurred by PCM and its affiliates | 8,588 | 4,906 | 5,172 |
Compensation | 660 | 660 | 570 |
Total expenses incurred in transaction with affiliates | 33,077 | 24,378 | 28,325 |
Payments and settlements during the year (1) | $ 144,012 | $ 284,381 | $ 378,162 |
Transactions with Related Pa_13
Transactions with Related Parties - Note Payable to PLS - Additional Information (Detail) - USD ($) | Dec. 19, 2016 | Dec. 31, 2022 | Dec. 31, 2021 |
Related Party Transaction [Line Items] | |||
Recapture percentage loan fee rate and unpaid principal balance refinance loans | 90% | ||
Recapture percentage loan fee rate and unpaid principal balance modified loans | 90% | ||
PennyMac Financial Services, Inc. [Member] | |||
Related Party Transaction [Line Items] | |||
Number of common shares held by affiliate | 75,000 | 75,000 | |
Maximum [Member] | |||
Related Party Transaction [Line Items] | |||
Aggregate ESS transferred | $ 200,000 |
Transactions with Related Pa_14
Transactions with Related Parties - Summary of Investing Activity (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
ESS: | |||
Interest income | $ 383,794 | $ 195,239 | $ 222,135 |
Net gain (loss) included in Net (losses) gains on investments and financings: | |||
Net (loss) gain on investments | (658,787) | 304,079 | (170,885) |
PennyMac Financial Services, Inc. [Member] | |||
ESS: | |||
Received pursuant to a recapture agreement | 557 | 2,093 | |
Repayments | 134,624 | 32,377 | |
Interest income | 0 | 1,280 | 8,418 |
Net gain (loss) included in Net (losses) gains on investments and financings: | |||
Valuation changes | 1,037 | (24,970) | |
Recapture income | 614 | 2,241 | |
Net (loss) gain on investments | $ 0 | $ 1,651 | $ (22,729) |
Transactions with Related Pa_15
Transactions with Related Parties - Summary of Financing Activities (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Related Party Transaction [Line Items] | |||
Interest expense | $ 410,420 | $ 304,737 | $ 270,770 |
PennyMac Financial Services, Inc. [Member] | |||
Related Party Transaction [Line Items] | |||
Net repayments of assets sold under agreements to repurchase | 80,862 | 26,650 | |
Interest expense | $ 0 | $ 387 | $ 3,325 |
Transactions with Related Pa_16
Transactions with Related Parties - Summary of Amounts Receivable From and Payable to PFSI (Detail) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Due to PFSI: | ||
Allocated expenses and expenses and costs paid by PFSI on PMT’s behalf | $ 11,447 | $ 15,431 |
PennyMac Financial Services, Inc. [Member] | ||
Related Party Transaction [Line Items] | ||
Due from PFSI-Miscellaneous receivables | 3,560 | 15,953 |
Due to PFSI: | ||
Management fees | 7,307 | 8,918 |
Correspondent production fees | 6,835 | 8,894 |
Loan servicing fees | 6,740 | 6,848 |
Fulfillment fees | 4,043 | 0 |
Total expense due to affiliate | $ 36,372 | $ 40,091 |
Transactions with Related Pa_17
Transactions with Related Parties - Summary of Transfer Cash to Fund Loan Servicing Advances (Detail) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Related Party Transaction [Line Items] | ||
Loan servicing advances | $ 197,972 | $ 204,951 |
Real estate acquired in settlement of loans | 7,734 | 14,382 |
PennyMac Loan Services, LLC [Member] | ||
Related Party Transaction [Line Items] | ||
Loan servicing advances | 197,972 | 204,951 |
Real estate acquired in settlement of loans | 3,479 | 7,115 |
Servicing advances and real estate acquired | $ 201,451 | $ 212,066 |
Loan Sales - Summary of Cash Fl
Loan Sales - Summary of Cash Flows between Company and Transferees in Transfers Accounted for Sales (Detail) - Variable Interest Entity, Not Primary Beneficiary [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Cash flows: | |||
Proceeds from sales | $ 39,077,156 | $ 110,919,477 | $ 106,306,805 |
Loan servicing fees received | $ 625,210 | $ 526,245 | $ 406,060 |
Loan Sales - Summary of Collect
Loan Sales - Summary of Collection Status Information for Loans Accounted for Sales (Detail) - Variable Interest Entity, Not Primary Beneficiary [Member] - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | |
Mortgage Loans On Real Estate [Line Items] | |||
UPB of loans outstanding | $ 229,858,573 | $ 215,927,495 | |
Collection status (UPB) | |||
30-89 days delinquent | [1] | 1,903,007 | 1,148,542 |
90 or more days delinquent: | |||
Not in foreclosure | [1] | 880,841 | 1,726,488 |
In foreclosure | [1] | 70,921 | 36,658 |
Bankruptcy | [1] | 123,239 | 130,582 |
Custodial funds managed by the Company | [2] | 1,783,157 | 3,823,527 |
COVID-19 [Member] | |||
90 or more days delinquent: | |||
30-89 days | [1] | 176,346 | 169,654 |
90 days or more | [1] | $ 464,694 | $ 614,882 |
[1] Includes delinquent loans in COVID-19 pandemic-related forbearance plans that were requested by borrowers seeking payment relief in accordance with the CARES Act. Custodial funds include borrower and investor custodial cash accounts relating to loans serviced under mortgage servicing agreements and are not included 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 operations. |
Variable Interest Entities - Ad
Variable Interest Entities - Additional Information (Detail) - Credit Risk Transfer Agreements [Member] | 12 Months Ended |
Dec. 31, 2022 | |
Minimum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Initially established percentage of unpaid principal balance of loans sold under recourse obligation losses | 3.50% |
Increase to maximum percentage of outstanding unpaid principal balance | 4.50% |
Maximum [Member] | |
Mortgage Loans On Real Estate [Line Items] | |
Initially established percentage of unpaid principal balance of loans sold under recourse obligation losses | 4% |
Increase to maximum percentage of outstanding unpaid principal balance | 5% |
Variable Interest Entities - Su
Variable Interest Entities - Summary of Credit Risk Transfer Agreements (Detail) - USD ($) $ in Thousands | 12 Months Ended | |||||||||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2028 | Dec. 31, 2027 | Dec. 31, 2026 | Dec. 31, 2025 | Dec. 31, 2024 | Dec. 31, 2023 | ||
CRT strips | ||||||||||
Net investment income | $ 303,771 | $ 420,297 | $ 469,351 | |||||||
Carrying value of CRT arrangements: | ||||||||||
Derivative and credit risk transfer strip assets | 84,940 | 34,238 | ||||||||
Interest-only security payable at fair value | 21,925 | 10,593 | $ 21,925 | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 | ||
Variable Interest Entities [Member] | ||||||||||
Carrying value of CRT arrangements: | ||||||||||
Interest-only security payable at fair value | 21,925 | 10,593 | ||||||||
Variable Interest Entities [Member] | Credit Risk Transfer Agreements [Member] | ||||||||||
Transfer Of Financial Assets Accounted For As Sales [Line Items] | ||||||||||
UPB of loans sold | 0 | 0 | 18,277,263 | |||||||
Investments: | ||||||||||
Deposits securing CRT arrangements | 0 | 0 | 1,700,000 | |||||||
Change in expected face amount of firm commitment to purchase CRT securities | 0 | 0 | (1,502,203) | |||||||
Deposits of cash securing credit risk transfer agreements net of adjustment | 0 | 0 | 197,797 | |||||||
CRT derivatives | ||||||||||
Realized | 38,382 | 93,837 | (53,965) | |||||||
Valuation changes | (42,220) | (12,829) | (82,633) | |||||||
Gains (losses) recognized on gross derivative related to credit risk transactions | (3,838) | 81,008 | (136,598) | |||||||
CRT strips | ||||||||||
Realized | 60,389 | 111,872 | 54,929 | |||||||
Valuation changes | (110,356) | 175,955 | (79,221) | |||||||
Credit risk transfer strips | (49,967) | 287,827 | (24,292) | |||||||
Interest-only security payable at fair value | (11,332) | 164 | 14,952 | |||||||
Gains (losses) recognized on gross derivative related to credit risk transactions | (65,137) | 368,999 | (145,938) | |||||||
Firm commitments to purchase CRT securities | 0 | 0 | (121,067) | |||||||
Gains (losses) recognized on CRT agreements upon firm commitments to purchase CRT securities | (65,137) | 368,999 | (267,005) | |||||||
Net gains on loans acquired for sale — Fair value of firm commitment to purchase CRT securities recognized upon sale of loans | 0 | 0 | (38,161) | |||||||
Interest income — Deposits securing CRT arrangements | 21,324 | 559 | 7,012 | |||||||
Net investment income | (43,813) | 369,558 | (298,154) | |||||||
Net (recoveries received) payments made to settle (recoveries) losses on CRT arrangements | (19,016) | (62,387) | $ 115,475 | |||||||
Carrying value of CRT arrangements: | ||||||||||
CRT derivatives | (22,098) | 18,964 | ||||||||
CRT strips | (137,193) | (26,837) | ||||||||
Derivative and credit risk transfer strip assets | (159,291) | (7,873) | ||||||||
Deposits securing CRT arrangements | 1,325,294 | 1,704,911 | ||||||||
Interest-only security payable at fair value | 21,925 | 10,593 | ||||||||
Derivative assets | $ 1,262 | $ 19,627 | ||||||||
Derivative Asset, Noncurrent, Statement of Financial Position [Extensible Enumeration] | Derivative assets ($1,262 and $19,627 pledged to creditors, respectively) | Derivative assets ($1,262 and $19,627 pledged to creditors, respectively) | ||||||||
Derivative and credit risk transfer strip assets pledged to secure | [1] | $ 1,325,294 | $ 1,704,911 | |||||||
UPB of loans underlying CRT arrangements | 25,315,524 | 30,808,907 | ||||||||
Collection status (UPB): | ||||||||||
Current | 24,673,719 | 29,581,803 | ||||||||
30-89 days delinquent | 409,049 | 349,291 | ||||||||
90-180 days delinquent | 112,286 | 120,775 | ||||||||
180 or more days delinquent | 93,717 | 748,576 | ||||||||
Foreclosure | 26,753 | 8,462 | ||||||||
Bankruptcy | 54,395 | 64,694 | ||||||||
Variable Interest Entities [Member] | Credit Risk Transfer Agreements [Member] | Purchase Commitment | COVID-19 [Member] | ||||||||||
Collection status (UPB): | ||||||||||
30-89 days | 35,388 | 44,015 | ||||||||
90-180 days delinquent | 39,033 | 57,815 | ||||||||
180 or more days delinquent | $ 35,588 | $ 174,041 | ||||||||
[1] Deposits securing credit risk transfer strip liabilities also secure $160.6 million and $27.5 million in CRT strip and CRT derivative liabilities at December 31, 2022 and 2021, respectively |
Variable Interest Entities - _2
Variable Interest Entities - Summary of Credit Risk Transfer Agreements (Parenthetical) (Detail) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Transfers And Servicing [Abstract] | ||
Deposits securing CRT strips and derivatives liabilities | $ 160.6 | $ 27.5 |
Variable Interest Entities - _3
Variable Interest Entities - Summary of Investment in Subordinate Mortgage Backed Securities (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Mortgage Loans On Real Estate [Line Items] | |||
Loans at fair value | $ 620,813 | $ 1,379,717 | $ 1,199,605 |
Asset-backed financings at fair value | 283,586 | 19,708 | 5,519 |
Interest income | 383,794 | 195,239 | 222,135 |
Interest expense | 410,420 | 304,737 | 270,770 |
Loans at fair value | 1,513,399 | 1,568,726 | |
Asset-backed financing of variable interest entities at fair value | 1,414,955 | 1,469,999 | |
Variable Interest Entities [Member] | |||
Mortgage Loans On Real Estate [Line Items] | |||
Loans at fair value | 1,509,942 | 1,564,565 | |
Asset-backed financing of variable interest entities at fair value | 1,414,955 | 1,469,999 | |
Subordinate Mortgage Backed Securities [Member] | Variable Interest Entities [Member] | |||
Mortgage Loans On Real Estate [Line Items] | |||
Loans at fair value | (301,164) | (12,536) | (6,617) |
Asset-backed financings at fair value | 283,586 | 19,708 | 5,519 |
Interest income | 59,263 | 17,014 | 10,609 |
Interest expense | 53,570 | 15,076 | $ 10,971 |
Loans at fair value | 1,509,942 | 1,564,565 | |
Asset-backed financing of variable interest entities at fair value | 1,414,955 | 1,469,999 | |
Subordinate MBS retained at fair value pledged to secure Assets sold under agreements to repurchase | $ 84,044 | $ 85,266 |
Fair Value - Summary of Financi
Fair Value - Summary of Financial Statement Items Measured at Fair Value on Recurring Basis (Detail) - USD ($) $ in Thousands | Dec. 31, 2028 | Dec. 31, 2027 | Dec. 31, 2026 | Dec. 31, 2025 | Dec. 31, 2024 | Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Assets: | |||||||||||
Short-term investments | $ 252,271 | $ 167,999 | |||||||||
Mortgage-backed securities at fair value pledged to creditors | 4,462,601 | 2,666,768 | |||||||||
Loans acquired for sale at fair value | 1,821,933 | 4,171,025 | |||||||||
Derivative assets | 62,811 | 45,346 | |||||||||
Derivative assets, Netting | 22,129 | (11,108) | |||||||||
Total derivative assets after netting | 84,940 | 34,238 | |||||||||
Mortgage servicing rights at fair value | 4,012,737 | 2,892,855 | $ 1,755,236 | $ 1,535,705 | |||||||
Liabilities: | |||||||||||
Asset-backed financings at fair value | 1,414,955 | 1,469,999 | |||||||||
Interest-only security payable at fair value | $ 21,925 | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 | 21,925 | 10,593 | |||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 60,190 | 19,511 | |||||||||
Derivative liabilities, Netting | (30,157) | (4,142) | |||||||||
Total derivative liabilities after netting | 30,033 | 15,369 | |||||||||
Total derivative and credit risk transfer strip liabilities | 167,226 | 42,206 | |||||||||
Derivative liabilities | 60,190 | 19,511 | |||||||||
Derivative liabilities, Netting | (30,157) | (4,142) | |||||||||
Total derivative liabilities after netting | 30,033 | 15,369 | |||||||||
CRT Derivatives [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 1,262 | 19,627 | |||||||||
Total derivative assets after netting | 1,262 | 19,627 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 23,360 | 663 | |||||||||
Derivative liabilities | 23,360 | 663 | |||||||||
Swaption Purchase Contracts | |||||||||||
Assets: | |||||||||||
Derivative assets | [1] | 0 | 39 | ||||||||
Interest Rate Lock Commitments [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 3,877 | 3,897 | |||||||||
Total derivative assets after netting | 3,877 | 3,897 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 4,355 | 1,446 | |||||||||
Derivative liabilities | 4,355 | 1,446 | |||||||||
Forward Purchase Contracts [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | [1] | 418 | 5,806 | ||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 15,196 | 3,620 | |||||||||
Derivative liabilities | 15,196 | 3,620 | |||||||||
Forward Sales Contracts [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | [1] | 43,435 | 6,307 | ||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 17,279 | 13,782 | |||||||||
Derivative liabilities | 17,279 | 13,782 | |||||||||
Call Options on Interest Rate Futures Purchase Contracts [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | [1] | 2,906 | 2,828 | ||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
Derivative liabilities | 0 | 0 | |||||||||
Put Options On Interest Rate Futures Purchase Contracts | |||||||||||
Assets: | |||||||||||
Derivative assets | [1] | 8,130 | 3,180 | ||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
Derivative liabilities | 0 | 0 | |||||||||
MBS Put Options [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | [1] | 2,783 | 3,662 | ||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
Derivative liabilities | 0 | 0 | |||||||||
Recurring [Member] | |||||||||||
Assets: | |||||||||||
Short-term investments | 252,271 | 167,999 | |||||||||
Mortgage-backed securities at fair value pledged to creditors | 4,462,601 | 2,666,768 | |||||||||
Loans acquired for sale at fair value | 1,821,933 | 4,171,025 | |||||||||
Loans at fair value | 1,513,399 | 1,568,726 | |||||||||
Total Assets | 12,147,881 | 11,501,611 | |||||||||
Derivative assets | 62,811 | 45,346 | |||||||||
Derivative assets, Netting | 22,129 | (11,108) | |||||||||
Total derivative assets after netting | 84,940 | 34,238 | |||||||||
Mortgage servicing rights at fair value | 4,012,737 | 2,892,855 | |||||||||
Liabilities: | |||||||||||
Asset-backed financings at fair value | 1,414,955 | 1,469,999 | |||||||||
Interest-only security payable at fair value | 21,925 | 10,593 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 60,190 | 19,511 | |||||||||
Derivative liabilities, Netting | (30,157) | (4,142) | |||||||||
Total derivative liabilities after netting | 30,033 | 15,369 | |||||||||
Total derivative and credit risk transfer strip liabilities | 167,226 | 42,206 | |||||||||
Total liabilities | 1,604,106 | 1,522,798 | |||||||||
Derivative liabilities | 60,190 | 19,511 | |||||||||
Derivative liabilities, Netting | (30,157) | (4,142) | |||||||||
Total derivative liabilities after netting | 30,033 | 15,369 | |||||||||
Recurring [Member] | Credit Risk Transfer Strips [Member] | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 137,193 | 26,837 | |||||||||
Derivative liabilities | 137,193 | 26,837 | |||||||||
Recurring [Member] | CRT Derivatives [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 1,262 | 19,627 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 23,360 | 663 | |||||||||
Derivative liabilities | 23,360 | 663 | |||||||||
Recurring [Member] | Swaption Purchase Contracts | |||||||||||
Assets: | |||||||||||
Derivative assets | 39 | ||||||||||
Recurring [Member] | Level 1 [Member] | |||||||||||
Assets: | |||||||||||
Short-term investments | 252,271 | 167,999 | |||||||||
Mortgage-backed securities at fair value pledged to creditors | 0 | 0 | |||||||||
Loans acquired for sale at fair value | 0 | 0 | |||||||||
Loans at fair value | 0 | 0 | |||||||||
Total Assets | 263,307 | 174,007 | |||||||||
Derivative assets | 11,036 | 6,008 | |||||||||
Derivative assets, Netting | 0 | 0 | |||||||||
Total derivative assets after netting | 11,036 | 6,008 | |||||||||
Mortgage servicing rights at fair value | 0 | 0 | |||||||||
Liabilities: | |||||||||||
Asset-backed financings at fair value | 0 | 0 | |||||||||
Interest-only security payable at fair value | 0 | 0 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
Derivative liabilities, Netting | 0 | 0 | |||||||||
Total derivative liabilities after netting | 0 | 0 | |||||||||
Total derivative and credit risk transfer strip liabilities | 0 | 0 | |||||||||
Total liabilities | 0 | 0 | |||||||||
Derivative liabilities | 0 | 0 | |||||||||
Derivative liabilities, Netting | 0 | 0 | |||||||||
Total derivative liabilities after netting | 0 | 0 | |||||||||
Recurring [Member] | Level 1 [Member] | Credit Risk Transfer Strips [Member] | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
Derivative liabilities | 0 | 0 | |||||||||
Recurring [Member] | Level 1 [Member] | CRT Derivatives [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | 0 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
Derivative liabilities | 0 | 0 | |||||||||
Recurring [Member] | Level 1 [Member] | Swaption Purchase Contracts | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | ||||||||||
Recurring [Member] | Level 2 [Member] | |||||||||||
Assets: | |||||||||||
Short-term investments | 0 | 0 | |||||||||
Mortgage-backed securities at fair value pledged to creditors | 4,462,601 | 2,666,768 | |||||||||
Loans acquired for sale at fair value | 1,811,225 | 4,140,896 | |||||||||
Loans at fair value | 1,509,942 | 1,564,565 | |||||||||
Total Assets | 7,830,404 | 8,388,043 | |||||||||
Derivative assets | 46,636 | 15,814 | |||||||||
Derivative assets, Netting | 0 | 0 | |||||||||
Total derivative assets after netting | 46,636 | 15,814 | |||||||||
Mortgage servicing rights at fair value | 0 | 0 | |||||||||
Liabilities: | |||||||||||
Asset-backed financings at fair value | 1,414,955 | 1,469,999 | |||||||||
Interest-only security payable at fair value | 0 | 0 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 32,475 | 17,402 | |||||||||
Derivative liabilities, Netting | 0 | 0 | |||||||||
Total derivative liabilities after netting | 32,475 | 17,402 | |||||||||
Total derivative and credit risk transfer strip liabilities | 32,475 | 17,402 | |||||||||
Total liabilities | 1,447,430 | 1,487,401 | |||||||||
Derivative liabilities | 32,475 | 17,402 | |||||||||
Derivative liabilities, Netting | 0 | 0 | |||||||||
Total derivative liabilities after netting | 32,475 | 17,402 | |||||||||
Recurring [Member] | Level 2 [Member] | Credit Risk Transfer Strips [Member] | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
Derivative liabilities | 0 | 0 | |||||||||
Recurring [Member] | Level 2 [Member] | CRT Derivatives [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | 0 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
Derivative liabilities | 0 | 0 | |||||||||
Recurring [Member] | Level 2 [Member] | Swaption Purchase Contracts | |||||||||||
Assets: | |||||||||||
Derivative assets | 39 | ||||||||||
Recurring [Member] | Level 3 [Member] | |||||||||||
Assets: | |||||||||||
Short-term investments | 0 | 0 | |||||||||
Mortgage-backed securities at fair value pledged to creditors | 0 | 0 | |||||||||
Loans acquired for sale at fair value | 10,708 | 30,129 | |||||||||
Loans at fair value | 3,457 | 4,161 | |||||||||
Total Assets | 4,032,041 | 2,950,669 | |||||||||
Derivative assets | 5,139 | 23,524 | |||||||||
Derivative assets, Netting | 0 | 0 | |||||||||
Total derivative assets after netting | 5,139 | 23,524 | |||||||||
Mortgage servicing rights at fair value | 4,012,737 | 2,892,855 | |||||||||
Liabilities: | |||||||||||
Asset-backed financings at fair value | 0 | 0 | |||||||||
Interest-only security payable at fair value | 21,925 | 10,593 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 27,715 | 2,109 | |||||||||
Derivative liabilities, Netting | 0 | 0 | |||||||||
Total derivative liabilities after netting | 27,715 | 2,109 | |||||||||
Total derivative and credit risk transfer strip liabilities | 164,908 | 28,946 | |||||||||
Total liabilities | 186,833 | 39,539 | |||||||||
Derivative liabilities | 27,715 | 2,109 | |||||||||
Derivative liabilities, Netting | 0 | 0 | |||||||||
Total derivative liabilities after netting | 27,715 | 2,109 | |||||||||
Recurring [Member] | Level 3 [Member] | Credit Risk Transfer Strips [Member] | |||||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 137,193 | 26,837 | |||||||||
Derivative liabilities | 137,193 | 26,837 | |||||||||
Recurring [Member] | Level 3 [Member] | CRT Derivatives [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 1,262 | 19,627 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 23,360 | 663 | |||||||||
Derivative liabilities | 23,360 | 663 | |||||||||
Recurring [Member] | Level 3 [Member] | Swaption Purchase Contracts | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | ||||||||||
Recurring [Member] | Interest Rate Lock Commitments [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 3,877 | 3,897 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 4,355 | 1,446 | |||||||||
Derivative liabilities | 4,355 | 1,446 | |||||||||
Recurring [Member] | Interest Rate Lock Commitments [Member] | Level 1 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | 0 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
Derivative liabilities | 0 | 0 | |||||||||
Recurring [Member] | Interest Rate Lock Commitments [Member] | Level 2 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | 0 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
Derivative liabilities | 0 | 0 | |||||||||
Recurring [Member] | Interest Rate Lock Commitments [Member] | Level 3 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 3,877 | 3,897 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 4,355 | 1,446 | |||||||||
Derivative liabilities | 4,355 | 1,446 | |||||||||
Recurring [Member] | Forward Purchase Contracts [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 418 | 5,806 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 15,196 | 3,620 | |||||||||
Derivative liabilities | 15,196 | 3,620 | |||||||||
Recurring [Member] | Forward Purchase Contracts [Member] | Level 1 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | 0 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
Derivative liabilities | 0 | 0 | |||||||||
Recurring [Member] | Forward Purchase Contracts [Member] | Level 2 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 418 | 5,806 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 15,196 | 3,620 | |||||||||
Derivative liabilities | 15,196 | 3,620 | |||||||||
Recurring [Member] | Forward Purchase Contracts [Member] | Level 3 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | 0 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
Derivative liabilities | 0 | 0 | |||||||||
Recurring [Member] | Forward Sales Contracts [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 43,435 | 6,307 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 17,279 | 13,782 | |||||||||
Derivative liabilities | 17,279 | 13,782 | |||||||||
Recurring [Member] | Forward Sales Contracts [Member] | Level 1 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | 0 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
Derivative liabilities | 0 | 0 | |||||||||
Recurring [Member] | Forward Sales Contracts [Member] | Level 2 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 43,435 | 6,307 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 17,279 | 13,782 | |||||||||
Derivative liabilities | 17,279 | 13,782 | |||||||||
Recurring [Member] | Forward Sales Contracts [Member] | Level 3 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | 0 | |||||||||
Derivative and credit risk transfer strip liabilities: | |||||||||||
Derivative liabilities | 0 | 0 | |||||||||
Derivative liabilities | 0 | 0 | |||||||||
Recurring [Member] | Call Options on Interest Rate Futures Purchase Contracts [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 2,906 | 2,828 | |||||||||
Recurring [Member] | Call Options on Interest Rate Futures Purchase Contracts [Member] | Level 1 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 2,906 | 2,828 | |||||||||
Recurring [Member] | Call Options on Interest Rate Futures Purchase Contracts [Member] | Level 2 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | 0 | |||||||||
Recurring [Member] | Call Options on Interest Rate Futures Purchase Contracts [Member] | Level 3 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | 0 | |||||||||
Recurring [Member] | Put Options On Interest Rate Futures Purchase Contracts | |||||||||||
Assets: | |||||||||||
Derivative assets | 8,130 | 3,180 | |||||||||
Recurring [Member] | Put Options On Interest Rate Futures Purchase Contracts | Level 1 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 8,130 | 3,180 | |||||||||
Recurring [Member] | Put Options On Interest Rate Futures Purchase Contracts | Level 2 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | 0 | |||||||||
Recurring [Member] | Put Options On Interest Rate Futures Purchase Contracts | Level 3 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | 0 | |||||||||
Recurring [Member] | MBS Put Options [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 2,783 | 3,662 | |||||||||
Recurring [Member] | MBS Put Options [Member] | Level 1 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 0 | 0 | |||||||||
Recurring [Member] | MBS Put Options [Member] | Level 2 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | 2,783 | 3,662 | |||||||||
Recurring [Member] | MBS Put Options [Member] | Level 3 [Member] | |||||||||||
Assets: | |||||||||||
Derivative assets | $ 0 | $ 0 | |||||||||
[1]All hedging derivatives are interest rate derivatives and are used as economic hedges. |
Fair Value - Summary of Changes
Fair Value - Summary of Changes in Items Measured Using Level 3 Inputs on Recurring Basis (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Assets: | |||
Amounts (incurred) received pursuant to sales of loans | $ 670,343 | $ 1,484,629 | $ 1,158,475 |
Transfers of: | |||
Mortgage servicing rights relating to delinquent loans to Agency | 104 | 0 | 0 |
Transfer of loans and advances to real estate acquired in settlement of loans | 0 | 0 | 1,166 |
Loans to REO | 0 | 0 | (1,166) |
Interest Rate Lock Commitments [Member] | |||
Assets: | |||
Beginning balance | 2,451 | ||
Transfers of: | |||
Ending balance | (478) | 2,451 | |
Recurring [Member] | |||
Assets: | |||
Beginning balance | 2,921,723 | ||
Purchases and issuances | (73,774) | 163,219 | 445,199 |
Repayments and sales | (128,677) | 436,059 | 232,921 |
Amounts (incurred) received pursuant to sales of loans | 670,343 | 1,484,629 | 1,120,314 |
Repayments and sales | 128,677 | (436,059) | (232,921) |
Capitalization of interest and fees | 1,531 | 8,418 | |
ESS received pursuant to a recapture agreement with PFSI | 557 | 2,093 | |
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | 158,804 | (122,972) | (710,446) |
Total | 158,804 | (122,972) | (710,446) |
Transfers of: | |||
Mortgage servicing rights relating to delinquent loans to Agency | 104 | ||
Transfer of loans and advances to real estate acquired in settlement of loans | 886 | ||
Firm commitment to purchase CRT securities to CRT strips | 0 | ||
Ending balance | 3,867,133 | 2,921,723 | |
Changes in fair value recognized during the year relating to assets | 295,479 | (172,137) | (1,055,307) |
Loans from REO | 394 | ||
Interest rate lock commitments to loans acquired for sale | 318,610 | 9,971 | (845,513) |
Recombination of MSRs with loans at fair value resulting from consolidation of a VIE | (9,824) | ||
Loans to REO | (886) | ||
Interest rate lock commitments to loans acquired for sale | 318,610 | 9,971 | (845,513) |
Recurring [Member] | Previously Reported [Member] | |||
Assets: | |||
Beginning balance | 1,830,277 | 2,044,019 | |
Transfers of: | |||
Ending balance | 1,830,277 | ||
Recurring [Member] | Repurchase Agreements | |||
Assets: | |||
Beginning balance | 0 | 5,275 | |
Purchases and issuances | 0 | ||
Repayments and sales | 5,328 | ||
Amounts (incurred) received pursuant to sales of loans | 0 | ||
Repayments and sales | (5,328) | ||
Capitalization of interest and fees | 0 | ||
ESS received pursuant to a recapture agreement with PFSI | 0 | ||
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk | 0 | ||
Other factors | 53 | ||
Total | 53 | ||
Transfers of: | |||
Transfer of loans and advances to real estate acquired in settlement of loans | 0 | ||
Firm commitment to purchase CRT securities to CRT strips | 0 | ||
Ending balance | 0 | ||
Changes in fair value recognized during the year relating to assets | 0 | ||
Interest rate lock commitments to loans acquired for sale | 0 | ||
Loans to REO | 0 | ||
Interest rate lock commitments to loans acquired for sale | 0 | ||
Recurring [Member] | CRT Derivatives [Member] | |||
Assets: | |||
Beginning balance | 18,964 | 31,795 | 115,863 |
Purchases and issuances | 0 | 0 | 0 |
Repayments and sales | (37,224) | 93,839 | (52,530) |
Amounts (incurred) received pursuant to sales of loans | 0 | 0 | 0 |
Repayments and sales | 37,224 | (93,839) | 52,530 |
Capitalization of interest and fees | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | |
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | (3,838) | 81,008 | (136,598) |
Total | (3,838) | 81,008 | (136,598) |
Transfers of: | |||
Mortgage servicing rights relating to delinquent loans to Agency | 0 | ||
Transfer of loans and advances to real estate acquired in settlement of loans | 0 | ||
Firm commitment to purchase CRT securities to CRT strips | 0 | ||
Ending balance | (22,098) | 18,964 | 31,795 |
Changes in fair value recognized during the year relating to assets | (42,220) | (12,829) | (82,633) |
Loans from REO | 0 | ||
Interest rate lock commitments to loans acquired for sale | 0 | 0 | 0 |
Recombination of MSRs with loans at fair value resulting from consolidation of a VIE | 0 | ||
Loans to REO | 0 | ||
Interest rate lock commitments to loans acquired for sale | 0 | 0 | 0 |
Recurring [Member] | Credit Risk Transfer Strips [Member] | |||
Assets: | |||
Beginning balance | (26,837) | (202,792) | 54,930 |
Purchases and issuances | 0 | 0 | 0 |
Repayments and sales | (60,389) | 111,872 | 54,929 |
Amounts (incurred) received pursuant to sales of loans | 0 | 0 | 0 |
Repayments and sales | 60,389 | (111,872) | (54,929) |
Capitalization of interest and fees | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | |
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | (49,967) | 287,827 | (24,292) |
Total | (49,967) | 287,827 | (24,292) |
Transfers of: | |||
Mortgage servicing rights relating to delinquent loans to Agency | 0 | ||
Transfer of loans and advances to real estate acquired in settlement of loans | 0 | ||
Firm commitment to purchase CRT securities to CRT strips | (178,501) | ||
Ending balance | (137,193) | (26,837) | (202,792) |
Changes in fair value recognized during the year relating to assets | (110,356) | 175,955 | (79,221) |
Loans from REO | 0 | ||
Interest rate lock commitments to loans acquired for sale | 0 | 0 | 0 |
Recombination of MSRs with loans at fair value resulting from consolidation of a VIE | 0 | ||
Loans to REO | 0 | ||
Interest rate lock commitments to loans acquired for sale | 0 | 0 | 0 |
Recurring [Member] | Loans At Fair Value [Member] | |||
Assets: | |||
Beginning balance | 4,161 | 8,027 | 14,426 |
Purchases and issuances | 0 | 0 | 1,058 |
Repayments and sales | (1,390) | 5,121 | 5,734 |
Amounts (incurred) received pursuant to sales of loans | 0 | 0 | 0 |
Repayments and sales | 1,390 | (5,121) | (5,734) |
Capitalization of interest and fees | 251 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | |
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | 686 | 610 | (837) |
Total | 686 | 610 | (837) |
Transfers of: | |||
Mortgage servicing rights relating to delinquent loans to Agency | 0 | ||
Transfer of loans and advances to real estate acquired in settlement of loans | 886 | ||
Firm commitment to purchase CRT securities to CRT strips | 0 | ||
Ending balance | 3,457 | 4,161 | 8,027 |
Changes in fair value recognized during the year relating to assets | 196 | (371) | (1,033) |
Loans from REO | 394 | ||
Interest rate lock commitments to loans acquired for sale | 0 | 0 | 0 |
Recombination of MSRs with loans at fair value resulting from consolidation of a VIE | 0 | ||
Loans to REO | (886) | ||
Interest rate lock commitments to loans acquired for sale | 0 | 0 | 0 |
Recurring [Member] | Mortgage servicing rights [Member] | |||
Assets: | |||
Beginning balance | 2,892,855 | ||
Purchases and issuances | 0 | 0 | 0 |
Repayments and sales | 0 | 0 | 7 |
Amounts (incurred) received pursuant to sales of loans | 670,343 | 1,484,629 | 1,158,475 |
Repayments and sales | 0 | 0 | (7) |
Capitalization of interest and fees | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | |
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | 449,435 | (337,186) | (938,937) |
Total | 449,435 | (337,186) | (938,937) |
Transfers of: | |||
Mortgage servicing rights relating to delinquent loans to Agency | 104 | ||
Transfer of loans and advances to real estate acquired in settlement of loans | 0 | ||
Firm commitment to purchase CRT securities to CRT strips | 0 | ||
Ending balance | 4,012,737 | 2,892,855 | |
Changes in fair value recognized during the year relating to assets | 449,435 | (337,186) | (938,937) |
Loans from REO | 0 | ||
Interest rate lock commitments to loans acquired for sale | 0 | 0 | 0 |
Recombination of MSRs with loans at fair value resulting from consolidation of a VIE | (9,824) | ||
Loans to REO | 0 | ||
Interest rate lock commitments to loans acquired for sale | 0 | 0 | 0 |
Recurring [Member] | Mortgage servicing rights [Member] | Previously Reported [Member] | |||
Assets: | |||
Beginning balance | 1,755,236 | 1,535,705 | |
Transfers of: | |||
Ending balance | 1,755,236 | ||
Recurring [Member] | Firm Commitment To Purchase Credit Risk Transfer Securities | |||
Assets: | |||
Beginning balance | 0 | 109,513 | |
Purchases and issuances | 0 | ||
Repayments and sales | 128,786 | ||
Amounts (incurred) received pursuant to sales of loans | (38,161) | ||
Repayments and sales | (128,786) | ||
Capitalization of interest and fees | 0 | ||
ESS received pursuant to a recapture agreement with PFSI | 0 | ||
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk | 0 | ||
Other factors | (121,067) | ||
Total | (121,067) | ||
Transfers of: | |||
Transfer of loans and advances to real estate acquired in settlement of loans | 0 | ||
Firm commitment to purchase CRT securities to CRT strips | 178,501 | ||
Ending balance | 0 | ||
Changes in fair value recognized during the year relating to assets | 0 | ||
Interest rate lock commitments to loans acquired for sale | 0 | ||
Loans to REO | 0 | ||
Interest rate lock commitments to loans acquired for sale | 0 | ||
Recurring [Member] | Excess servicing spread [Member] | |||
Assets: | |||
Beginning balance | 0 | 131,750 | 178,586 |
Purchases and issuances | 0 | 0 | |
Repayments and sales | 134,624 | 32,377 | |
Amounts (incurred) received pursuant to sales of loans | 0 | 0 | |
Repayments and sales | (134,624) | (32,377) | |
Capitalization of interest and fees | 1,280 | 8,418 | |
ESS received pursuant to a recapture agreement with PFSI | 557 | 2,093 | |
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk | 0 | 0 | |
Other factors | 1,037 | (24,970) | |
Total | 1,037 | (24,970) | |
Transfers of: | |||
Transfer of loans and advances to real estate acquired in settlement of loans | 0 | ||
Firm commitment to purchase CRT securities to CRT strips | 0 | ||
Ending balance | 0 | 131,750 | |
Changes in fair value recognized during the year relating to assets | 0 | (24,970) | |
Loans from REO | 0 | ||
Interest rate lock commitments to loans acquired for sale | 0 | $ 0 | |
Recombination of MSRs with loans at fair value resulting from consolidation of a VIE | $ 0 | ||
Fair Value, Asset, Recurring Basis, Still Held, Unrealized Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Net gains (losses) on investments and financings | Net gains (losses) on investments and financings | |
Loans to REO | $ 0 | ||
Interest rate lock commitments to loans acquired for sale | $ 0 | 0 | |
Recurring [Member] | Loans acquired for sale [Member] | |||
Assets: | |||
Beginning balance | 30,129 | 33,875 | 18,567 |
Purchases and issuances | 13,619 | 86,285 | 74,339 |
Repayments and sales | (29,674) | 90,603 | 58,290 |
Amounts (incurred) received pursuant to sales of loans | 0 | 0 | 0 |
Repayments and sales | 29,674 | (90,603) | (58,290) |
Capitalization of interest and fees | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | |
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | (3,366) | 572 | (741) |
Total | $ (3,366) | $ 572 | $ (741) |
Fair Value, Asset, Recurring Basis, Unobservable Input Reconciliation, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Net gains (losses) on investments and financings | Net gains (losses) on investments and financings | Net gains (losses) on investments and financings |
Transfers of: | |||
Mortgage servicing rights relating to delinquent loans to Agency | $ 0 | ||
Transfer of loans and advances to real estate acquired in settlement of loans | $ 0 | ||
Firm commitment to purchase CRT securities to CRT strips | 0 | ||
Ending balance | 10,708 | $ 30,129 | 33,875 |
Changes in fair value recognized during the year relating to assets | (1,098) | (157) | (899) |
Loans from REO | 0 | ||
Interest rate lock commitments to loans acquired for sale | 0 | 0 | 0 |
Recombination of MSRs with loans at fair value resulting from consolidation of a VIE | 0 | ||
Loans to REO | 0 | ||
Interest rate lock commitments to loans acquired for sale | 0 | 0 | 0 |
Recurring [Member] | Interest Rate Lock Commitments [Member] | |||
Assets: | |||
Beginning balance | 2,451 | 72,386 | 11,154 |
Purchases and issuances | (87,393) | 76,934 | 369,802 |
Repayments and sales | 0 | 0 | 0 |
Amounts (incurred) received pursuant to sales of loans | 0 | 0 | 0 |
Repayments and sales | 0 | 0 | 0 |
Capitalization of interest and fees | 0 | 0 | |
ESS received pursuant to a recapture agreement with PFSI | 0 | 0 | |
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk | 0 | 0 | 0 |
Other factors | (234,146) | (156,840) | 536,943 |
Total | $ (234,146) | $ (156,840) | $ 536,943 |
Fair Value, Asset, Recurring Basis, Unobservable Input Reconciliation, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Net gains (losses) on investments and financings | Net gains (losses) on investments and financings | Net gains (losses) on investments and financings |
Transfers of: | |||
Mortgage servicing rights relating to delinquent loans to Agency | $ 0 | ||
Transfer of loans and advances to real estate acquired in settlement of loans | $ 0 | ||
Firm commitment to purchase CRT securities to CRT strips | 0 | ||
Ending balance | (478) | $ 2,451 | 72,386 |
Changes in fair value recognized during the year relating to assets | (478) | 2,451 | 72,386 |
Loans from REO | 0 | ||
Interest rate lock commitments to loans acquired for sale | 318,610 | 9,971 | (845,513) |
Recombination of MSRs with loans at fair value resulting from consolidation of a VIE | 0 | ||
Loans to REO | 0 | ||
Interest rate lock commitments to loans acquired for sale | 318,610 | 9,971 | (845,513) |
Recurring [Member] | Interest-only security payable [Member] | |||
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk\Other factors | $ 11,332 | $ (164) | $ (14,952) |
Fair Value, Liability, Recurring Basis, Unobservable Input Reconciliation, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Net gains (losses) on investments and financings | Net gains (losses) on investments and financings | Net gains (losses) on investments and financings |
Ending balance | $ 21,925 | $ 10,593 | $ 10,757 |
Changes in fair value recognized during the quarter relating to liability | $ 11,332 | $ (164) | $ (14,952) |
Fair Value, Liability, Recurring Basis, Still Held, Unrealized Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Net gains (losses) on investments and financings | Net gains (losses) on investments and financings | Net gains (losses) on investments and financings |
Liabilities: | |||
Beginning balance | $ 10,593 | $ 10,757 | $ 25,709 |
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk\Other factors | $ 11,332 | $ (164) | $ (14,952) |
Fair Value, Liability, Recurring Basis, Unobservable Input Reconciliation, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Net gains (losses) on investments and financings | Net gains (losses) on investments and financings | Net gains (losses) on investments and financings |
Ending balance | $ 21,925 | $ 10,593 | $ 10,757 |
Changes in fair value recognized during the quarter relating to liability | $ 11,332 | $ (164) | $ (14,952) |
Fair Value, Liability, Recurring Basis, Still Held, Unrealized Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Net gains (losses) on investments and financings | Net gains (losses) on investments and financings | Net gains (losses) on investments and financings |
Recurring [Member] | Interest-only security payable [Member] | Credit Risk [Member] | |||
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk\Other factors | $ 0 | $ 0 | $ 0 |
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk\Other factors | 0 | 0 | 0 |
Recurring [Member] | Interest-only security payable [Member] | Other Factors [Member] | |||
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk\Other factors | 11,332 | (164) | (14,952) |
Changes in fair value included in income arising from: | |||
Changes in instrument-specific credit risk\Other factors | $ 11,332 | $ (164) | $ (14,952) |
Fair Value - Fair Values and Re
Fair Value - Fair Values and Related Principal Amounts Due upon Maturity of Loans Accounted for Under Fair Value Option (Detail) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Loans, fair value [Abstract] | ||
Fair value | $ 1,513,399 | $ 1,568,726 |
Fair value, Total | 1,513,399 | 1,568,726 |
Loans, principal amount due upon maturity [Abstract] | ||
Principal amount due upon maturity | 1,797,153 | 1,528,875 |
Loans, difference, [Abstract] | ||
Difference | (283,754) | 39,851 |
Loans acquired for sale at fair value [Member] | ||
Loans, fair value [Abstract] | ||
Current through 89 days delinquent | 1,819,551 | 4,166,177 |
90 or more days delinquent, not in foreclosure | 1,666 | 4,848 |
90 or more days delinquent, in foreclosure | 716 | 0 |
Fair value | 2,382 | 4,848 |
Fair value, Total | 1,821,933 | 4,171,025 |
Loans, principal amount due upon maturity [Abstract] | ||
Current through 89 days delinquent | 1,795,445 | 4,048,967 |
90 or more days delinquent, not in foreclosure | 1,927 | 5,801 |
90 or more days delinquent, in foreclosure | 809 | 0 |
Principal amount due upon maturity | 1,798,181 | 4,054,768 |
Loans, difference, [Abstract] | ||
Current through 89 days delinquent | 24,106 | 117,210 |
90 or more days delinquent, not in foreclosure | (261) | (953) |
90 or more days delinquent, in foreclosure | (93) | 0 |
Difference | 23,752 | 116,257 |
Loans acquired for sale at fair value [Member] | Nonperforming mortgage loans [Member] | ||
Loans, principal amount due upon maturity [Abstract] | ||
Principal amount due upon maturity | 2,736 | 5,801 |
Loans, difference, [Abstract] | ||
Difference | (354) | (953) |
Loans at Fair Value Held in Consolidated VIE [Member] | ||
Loans, fair value [Abstract] | ||
Current through 89 days delinquent | 1,508,540 | 1,561,794 |
90 or more days delinquent, not in foreclosure | 1,231 | 2,141 |
90 or more days delinquent, in foreclosure | 171 | 630 |
Fair value | 1,509,942 | 1,564,565 |
Loans, principal amount due upon maturity [Abstract] | ||
Current through 89 days delinquent | 1,788,911 | 1,514,575 |
90 or more days delinquent, not in foreclosure | 1,642 | 2,722 |
90 or more days delinquent, in foreclosure | 226 | 809 |
Principal amount due upon maturity | 1,790,779 | 1,518,106 |
Loans, difference, [Abstract] | ||
Current through 89 days delinquent | (280,371) | 47,219 |
90 or more days delinquent, not in foreclosure | (411) | (581) |
90 or more days delinquent, in foreclosure | (55) | (179) |
Difference | (280,837) | 46,459 |
Loans at Fair Value Held in Consolidated VIE [Member] | Nonperforming mortgage loans [Member] | ||
Loans, fair value [Abstract] | ||
Fair value | 1,402 | 2,771 |
Loans, principal amount due upon maturity [Abstract] | ||
Principal amount due upon maturity | 1,868 | 3,531 |
Loans, difference, [Abstract] | ||
Difference | (466) | (760) |
Distressed Loans at Fair Value [Member] | ||
Loans, fair value [Abstract] | ||
Current through 89 days delinquent | 498 | 782 |
90 or more days delinquent, not in foreclosure | 1,230 | 1,181 |
90 or more days delinquent, in foreclosure | 1,729 | 2,198 |
Fair value | 3,457 | 4,161 |
Loans, principal amount due upon maturity [Abstract] | ||
Current through 89 days delinquent | 682 | 1,455 |
90 or more days delinquent, not in foreclosure | 2,964 | 3,824 |
90 or more days delinquent, in foreclosure | 2,728 | 5,490 |
Principal amount due upon maturity | 6,374 | 10,769 |
Loans, difference, [Abstract] | ||
Current through 89 days delinquent | (184) | (673) |
90 or more days delinquent, not in foreclosure | (1,734) | (2,643) |
90 or more days delinquent, in foreclosure | (999) | (3,292) |
Difference | (2,917) | (6,608) |
Distressed Loans at Fair Value [Member] | Nonperforming mortgage loans [Member] | ||
Loans, fair value [Abstract] | ||
Fair value | 2,959 | 3,379 |
Loans, principal amount due upon maturity [Abstract] | ||
Principal amount due upon maturity | 5,692 | 9,314 |
Loans, difference, [Abstract] | ||
Difference | $ (2,733) | $ (5,935) |
Fair Value - Summary of Chang_2
Fair Value - Summary of Changes in Fair Value Included in Current Period Results of Operations (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | $ 0 | ||
Net Loan Servicing Fees [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | ||
Net Gains (Losses) on Investments and Financings [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | ||
Net Gains on Loans Acquired for Sale [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | ||
Net Interest Income (Expense) [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | ||
Credit Risk Transfer Strips [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (49,967) | $ 287,827 | $ (24,292) |
Credit Risk Transfer Strips [Member] | Net Loan Servicing Fees [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Credit Risk Transfer Strips [Member] | Net Gains (Losses) on Investments and Financings [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (49,967) | 287,827 | (24,292) |
Credit Risk Transfer Strips [Member] | Net Gains on Loans Acquired for Sale [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Credit Risk Transfer Strips [Member] | Net Interest Income (Expense) [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Interest-only security payable [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (11,332) | 164 | 14,952 |
Interest-only security payable [Member] | Net Loan Servicing Fees [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Interest-only security payable [Member] | Net Gains (Losses) on Investments and Financings [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (11,332) | 164 | 14,952 |
Interest-only security payable [Member] | Net Gains on Loans Acquired for Sale [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Interest-only security payable [Member] | Net Interest Income (Expense) [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Liabilities, Total [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 274,027 | 18,728 | 16,253 |
Liabilities, Total [Member] | Net Loan Servicing Fees [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Liabilities, Total [Member] | Net Gains (Losses) on Investments and Financings [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 272,254 | 19,872 | 20,471 |
Liabilities, Total [Member] | Net Gains on Loans Acquired for Sale [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Liabilities, Total [Member] | Net Interest Income (Expense) [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 1,773 | (1,144) | (4,218) |
Asset-Backed Financings at Fair Value [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 285,359 | 18,564 | 1,301 |
Asset-Backed Financings at Fair Value [Member] | Net Loan Servicing Fees [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Asset-Backed Financings at Fair Value [Member] | Net Gains (Losses) on Investments and Financings [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 283,586 | 19,708 | 5,519 |
Asset-Backed Financings at Fair Value [Member] | Net Gains on Loans Acquired for Sale [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Asset-Backed Financings at Fair Value [Member] | Net Interest Income (Expense) [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 1,773 | (1,144) | (4,218) |
Loans acquired for sale at fair value [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (539,102) | 3,960 | 817,158 |
Loans acquired for sale at fair value [Member] | Net Loan Servicing Fees [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Loans acquired for sale at fair value [Member] | Net Gains (Losses) on Investments and Financings [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Loans acquired for sale at fair value [Member] | Net Gains on Loans Acquired for Sale [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (539,102) | 3,960 | 817,158 |
Loans acquired for sale at fair value [Member] | Net Interest Income (Expense) [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Loans at fair value [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (301,587) | (13,549) | (4,678) |
Loans at fair value [Member] | Net Loan Servicing Fees [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Loans at fair value [Member] | Net Gains (Losses) on Investments and Financings [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (300,478) | (11,925) | (7,454) |
Loans at fair value [Member] | Net Gains on Loans Acquired for Sale [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Loans at fair value [Member] | Net Interest Income (Expense) [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (1,109) | (1,624) | 2,776 |
Mortgage-backed securities at fair value [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (564,061) | (83,677) | 64,529 |
Mortgage-backed securities at fair value [Member] | Net Loan Servicing Fees [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Mortgage-backed securities at fair value [Member] | Net Gains (Losses) on Investments and Financings [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (576,758) | (74,354) | 87,852 |
Mortgage-backed securities at fair value [Member] | Net Gains on Loans Acquired for Sale [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Mortgage-backed securities at fair value [Member] | Net Interest Income (Expense) [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 12,697 | (9,323) | (23,323) |
MSRs at fair value [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 449,435 | (337,186) | (938,937) |
MSRs at fair value [Member] | Net Loan Servicing Fees [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 449,435 | (337,186) | (938,937) |
MSRs at fair value [Member] | Net Gains (Losses) on Investments and Financings [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
MSRs at fair value [Member] | Net Gains on Loans Acquired for Sale [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
MSRs at fair value [Member] | Net Interest Income (Expense) [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | 0 |
Assets, Total [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (1,005,282) | (140,308) | (262,000) |
Assets, Total [Member] | Net Loan Servicing Fees [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 449,435 | (337,186) | (938,937) |
Assets, Total [Member] | Net Gains (Losses) on Investments and Financings [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (927,203) | 202,585 | (89,931) |
Assets, Total [Member] | Net Gains on Loans Acquired for Sale [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (539,102) | 3,960 | 778,997 |
Assets, Total [Member] | Net Interest Income (Expense) [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | $ 11,588 | (9,667) | (12,129) |
Excess servicing spread [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 2,317 | (16,552) | |
Excess servicing spread [Member] | Net Loan Servicing Fees [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | |
Excess servicing spread [Member] | Net Gains (Losses) on Investments and Financings [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 1,037 | (24,970) | |
Excess servicing spread [Member] | Net Gains on Loans Acquired for Sale [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | 0 | |
Excess servicing spread [Member] | Net Interest Income (Expense) [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | $ 1,280 | 8,418 | |
Firm Commitment To Purchase Credit Risk Transfer Securities | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (159,228) | ||
Firm Commitment To Purchase Credit Risk Transfer Securities | Net Loan Servicing Fees [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | 0 | ||
Firm Commitment To Purchase Credit Risk Transfer Securities | Net Gains (Losses) on Investments and Financings [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (121,067) | ||
Firm Commitment To Purchase Credit Risk Transfer Securities | Net Gains on Loans Acquired for Sale [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | (38,161) | ||
Firm Commitment To Purchase Credit Risk Transfer Securities | Net Interest Income (Expense) [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Changes in fair value included in current period income (expense) | $ 0 |
Fair Value - Summary of Carryin
Fair Value - Summary of Carrying Value of Assets Re-measured Based on Fair Value on Nonrecurring Basis (Detail) - Nonrecurring [Member] - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate acquired in settlement of loans | $ 1,292 | $ 5,147 |
Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate acquired in settlement of loans | 0 | 0 |
Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate acquired in settlement of loans | 0 | 0 |
Level 3 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate acquired in settlement of loans | $ 1,292 | $ 5,147 |
Fair Value - Summary of Chang_3
Fair Value - Summary of Changes in Fair Value Recognized in Assets that Remeasured Based on Fair Value on a Nonrecurring Basis (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Nonrecurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Real estate asset acquired in settlement of loans | $ (505) | $ 279 | $ (1,638) |
Fair Value - Carrying and Fair
Fair Value - Carrying and Fair Values of Notes Payable Secured by Credit Risk Transfer and Mortgage Servicing Rights and Exchangeable Senior Notes (Detail) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Notes Payable Secured by Credit Risk Transfer and Mortgage Servicing Assets [Member] | Carrying Value [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Notes payable | $ 2,804,028 | $ 2,471,961 |
Notes Payable Secured by Credit Risk Transfer and Mortgage Servicing Assets [Member] | Fair Value [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Notes payable | 2,721,391 | 2,480,842 |
Exchangeable Senior Notes [Member] | Carrying Value [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Notes payable | 546,254 | 502,459 |
Exchangeable Senior Notes [Member] | Fair Value [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Notes payable | $ 471,781 | $ 536,460 |
Fair Value - Additional Informa
Fair Value - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2022 | |
Level 3 [Member] | Maximum [Member] | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |
Estimated loans at fair value of cash flows valuation, discounted annual rate | 20% |
Fair Value - Quantitative Summa
Fair Value - Quantitative Summary of Key Unobservable Inputs Used in Review and Approval of Broker-provided Fair Values for CRT Derivatives (Detail) - CRT Derivatives [Member] - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Fair value of CRT derivatives | ||
Fair value of CRT derivatives assets | $ 1,262 | $ 19,627 |
Fair value of CRT derivatives liabilities | 23,360 | 663 |
UPB of loans in reference pools | $ 5,972,060 | $ 7,426,288 |
Discount Rate [Member] | Minimum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 8.70% | 3.30% |
Discount Rate [Member] | Maximum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 11.10% | 5.90% |
Discount Rate [Member] | Weighted Average [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 10.80% | 5.70% |
Voluntary Prepayment Speed [Member] | Minimum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 7.50% | 12.60% |
Voluntary Prepayment Speed [Member] | Maximum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 8.30% | 13.10% |
Voluntary Prepayment Speed [Member] | Weighted Average [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 7.60% | 12.70% |
Involuntary Prepayment Speed [Member] | Minimum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 0.50% | (0.10%) |
Involuntary Prepayment Speed [Member] | Maximum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 1.30% | 0.80% |
Involuntary Prepayment Speed [Member] | Weighted Average [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 0.60% | 0.10% |
Measurement Input, Loss Severity | Minimum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 0.40% | (0.10%) |
Measurement Input, Loss Severity | Maximum [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 0.70% | 0.60% |
Measurement Input, Loss Severity | Weighted Average [Member] | ||
Fair value of CRT derivatives | ||
Key inputs used in fair value for CRT agreements | 0.60% | 0.10% |
Fair Value - Quantitative Sum_2
Fair Value - Quantitative Summary of Key Unobservable Inputs Used in Valuation of Interest Rate Lock Commitments (Detail) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Pull-Through Rate [Member] | Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 54.80% | 64.30% |
Pull-Through Rate [Member] | Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 100% | 100% |
Pull-Through Rate [Member] | Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 92.10% | 91.40% |
Servicing Fee Multiple [Member] | Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 1.90% | 0.50% |
Servicing Fee Multiple [Member] | Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 7.10% | 6.30% |
Servicing Fee Multiple [Member] | Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 4.70% | 4.50% |
Percentage of UPB [Member] | Minimum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 0.70% | (0.30%) |
Percentage of UPB [Member] | Maximum [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 3.10% | 2.70% |
Percentage of UPB [Member] | Weighted Average [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation of IRLCs | 1.90% | 1.50% |
Interest Rate Lock Commitments [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value | $ (478) | $ 2,451 |
Committed amount | $ 1,484,384 | $ 2,092,129 |
Fair Value - Summary of Key Uno
Fair Value - Summary of Key Unobservable Inputs Used in Valuation Credit Risk Transfer Strip Liabilities (Detail) - Credit Risk Transfer Strips [Member] - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of CRT derivatives liabilities | $ 137,193 | $ 26,837 |
UPB of loans in the reference pools | $ 19,343,464 | $ 23,382,619 |
Maximum [Member] | Discount Rate [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 11.30% | 6.40% |
Maximum [Member] | Voluntary Prepayment Speed [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 7.90% | 17.60% |
Maximum [Member] | Involuntary Prepayment Speed [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 2% | 1.40% |
Maximum [Member] | Remaining Loss Expectation [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 2% | 1.10% |
Minimum [Member] | Discount Rate [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 4.30% | 3.80% |
Minimum [Member] | Voluntary Prepayment Speed [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 7.70% | 14.90% |
Minimum [Member] | Involuntary Prepayment Speed [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.60% | 0.50% |
Minimum [Member] | Remaining Loss Expectation [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.70% | 0.30% |
Weighted Average [Member] | Discount Rate [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 10.50% | 6% |
Weighted Average [Member] | Voluntary Prepayment Speed [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 7.70% | 17.20% |
Weighted Average [Member] | Involuntary Prepayment Speed [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.80% | 0.60% |
Weighted Average [Member] | Remaining Loss Expectation [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Key inputs used in valuation | 0.90% | 0.50% |
Fair Value - Key Assumptions Us
Fair Value - Key Assumptions Used in Determining Fair Value of MSRs at Time of Initial Recognition (Detail) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 USD ($) $ / Loan | Dec. 31, 2021 USD ($) $ / Loan | Dec. 31, 2020 USD ($) $ / Loan | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fair Value, MSR recognized | $ | $ 670,343 | $ 1,484,629 | $ 1,158,475 |
Fair Value, UPB of underlying loans | $ | $ 39,014,110 | $ 108,424,795 | $ 103,136,121 |
Fair Value, Weighted-average annual servicing fee rate (in basis points) | 0.34% | 0.28% | 0.28% |
Minimum [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fair Value inputs, Pricing spread during period | 5.50% | 6% | 6.70% |
Fair Value inputs, Prepayment speed during period | 5.50% | 5.50% | 7% |
Fair Value inputs, Weighted average equivalent average life during period | 4 years | 3 years 6 months | 3 years 6 months |
Fair Value inputs, Annual per loan cost of servicing during period | 73 | 80 | 78 |
Maximum [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fair Value inputs, Pricing spread during period | 8.90% | 8% | 11.30% |
Fair Value inputs, Prepayment speed during period | 19.70% | 12.50% | 20.90% |
Fair Value inputs, Weighted average equivalent average life during period | 9 years 7 months 6 days | 9 years 1 month 6 days | 9 years 2 months 12 days |
Fair Value inputs, Annual per loan cost of servicing during period | 81 | 81 | 81 |
Weighted Average [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fair Value inputs, Pricing spread during period | 6.30% | 7.20% | 7.80% |
Fair Value inputs, Prepayment speed during period | 9.30% | 8.20% | 10% |
Fair Value inputs, Weighted average equivalent average life during period | 8 years | 8 years 1 month 6 days | 7 years 4 months 24 days |
Fair Value inputs, Annual per loan cost of servicing during period | 79 | 80 | 80 |
Fair Value - Quantitative Sum_3
Fair Value - Quantitative Summary of Key Assumptions Used in Valuation of MSRs as of Dates Presented, and Effect on Estimated Fair Value from Adverse Changes in Those Inputs (Detail) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2022 USD ($) $ / Loan | Dec. 31, 2021 USD ($) $ / Loan | Dec. 31, 2020 USD ($) | Dec. 31, 2019 USD ($) | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Balance at end of period | $ 4,012,737 | $ 2,892,855 | $ 1,755,236 | $ 1,535,705 |
UPB of underlying loans, Fair Value | $ 229,971,035 | $ 216,065,626 | ||
Weighted-average annual servicing fee rate (in basis points), Fair value input | 0.29% | 0.28% | ||
Weighted-average note interest rate, Fair value | 3.50% | 3% | ||
Pricing Spread [Member] | Effect On Value Of Five Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | $ (52,004) | $ (39,826) | ||
Pricing Spread [Member] | Effect On Value Of Ten Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | (102,727) | (78,613) | ||
Pricing Spread [Member] | Effect On Value Of Twenty Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | (200,497) | (153,220) | ||
Prepayment Speed [Member] | Effect On Value Of Five Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | (51,044) | (59,726) | ||
Prepayment Speed [Member] | Effect On Value Of Ten Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | (100,544) | (117,162) | ||
Prepayment Speed [Member] | Effect On Value Of Twenty Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | (195,201) | (225,672) | ||
Cost of Servicing [Member] | Effect On Value Of Five Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | (17,629) | (17,585) | ||
Cost of Servicing [Member] | Effect On Value Of Ten Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | (35,258) | (35,169) | ||
Cost of Servicing [Member] | Effect On Value Of Twenty Percentage Adverse Change | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Effect on value of percentage adverse change, Fair value input | $ (70,515) | $ (70,338) | ||
Minimum [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Estimated fair value inputs, Pricing spread | 4.90% | 6% | ||
Estimated fair value inputs, Prepayment speed | 5.10% | 5.50% | ||
Estimated fair value inputs, Annual per-loan cost of servicing | $ / Loan | 69 | 80 | ||
Minimum [Member] | Mortgage service rights [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Estimated fair value inputs, Life (in years) | 3 years 6 months | 3 years 6 months | ||
Maximum [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Estimated fair value inputs, Pricing spread | 8.80% | 8% | ||
Estimated fair value inputs, Prepayment speed | 17.40% | 12.50% | ||
Estimated fair value inputs, Annual per-loan cost of servicing | $ / Loan | 69 | 81 | ||
Maximum [Member] | Mortgage service rights [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Estimated fair value inputs, Life (in years) | 9 years 3 months 18 days | 9 years 1 month 6 days | ||
Weighted Average [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Estimated fair value inputs, Pricing spread | 5.70% | 7.20% | ||
Estimated fair value inputs, Prepayment speed | 6.30% | 8.20% | ||
Estimated fair value inputs, Annual per-loan cost of servicing | $ / Loan | 69 | 80 | ||
Weighted Average [Member] | Mortgage service rights [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Estimated fair value inputs, Life (in years) | 8 years 10 months 24 days | 8 years 1 month 6 days |
Mortgage Backed Securities - Su
Mortgage Backed Securities - Summary of Investment in Mortgage Backed Securities Activity (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Mortgage Backed Securities [Line Items] | |||
Balance at beginning of year | $ 2,666,768 | ||
Changes in fair value included in income arising from: | |||
Balance at end of year | 4,462,601 | $ 2,666,768 | |
Mortgage Backed Securities [Member] | |||
Mortgage Backed Securities [Line Items] | |||
Balance at beginning of year | 2,666,768 | 2,213,922 | $ 2,839,633 |
Purchases | 3,718,093 | 2,232,923 | 2,332,096 |
Sales | (1,079,826) | (1,300,653) | (1,979,789) |
Repayments | (278,373) | (395,747) | (1,042,547) |
Changes in fair value included in income arising from: | |||
Accrual (amortization) of net purchase (discounts) premiums | 12,697 | (9,323) | (23,323) |
Valuation adjustments | (576,758) | (74,354) | 87,852 |
Total changes in fair value included in income | (564,061) | (83,677) | 64,529 |
Balance at end of year | $ 4,462,601 | $ 2,666,768 | $ 2,213,922 |
Mortgage Backed Securities - _2
Mortgage Backed Securities - Summary of Investment in Mortgage Backed Securities (Detail) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Mortgage Backed Securities [Line Items] | ||
Fair value (1) | $ 4,462,601 | $ 2,666,768 |
Mortgage Backed Securities [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Principal balance | 4,905,768 | |
Unamortized net purchase premiums (discounts) | 29,599 | |
Accumulated valuation changes | (472,766) | |
Fair value (1) | 4,462,601 | |
Agency Fixed Rate Pass Through Securities [Member] | Mortgage Backed Securities [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Principal balance | 4,693,045 | 2,649,238 |
Unamortized net purchase premiums (discounts) | 30,423 | 82,938 |
Accumulated valuation changes | (460,966) | (65,408) |
Fair value (1) | 4,262,502 | $ 2,666,768 |
Subordinate Credit-Linked Securities [Member] | Mortgage Backed Securities [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Principal balance | 184,620 | |
Unamortized net purchase premiums (discounts) | 52 | |
Accumulated valuation changes | (6,774) | |
Fair value (1) | 177,898 | |
Senior Non-Agency Securities [Member] | Mortgage Backed Securities [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Principal balance | 28,103 | |
Unamortized net purchase premiums (discounts) | (876) | |
Accumulated valuation changes | (5,026) | |
Fair value (1) | $ 22,201 |
Mortgage Backed Securities - _3
Mortgage Backed Securities - Summary of Investment in Mortgage Backed Securities (Parenthetical) (Detail) | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Minimum [Member] | ||
Mortgage Backed Securities [Line Items] | ||
Mortgage backed securities, maturity period | 10 years | 10 years |
Loans Acquired for Sale at Fa_3
Loans Acquired for Sale at Fair Value - Summary of Distribution of Company's Loans Acquired for Sale at Fair Value (Detail) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Loans acquired for sale at fair value | $ 1,821,933 | $ 4,171,025 | |
Loans pledged to secure total | 1,801,368 | 4,059,479 | |
Loans acquired for sale at fair value [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Loans pledged to secure Assets sold under agreements to repurchase | 1,801,368 | 4,007,377 | |
PennyMac Loan Services, LLC [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Loans acquired for sale at fair value | 159,671 | 314,995 | |
Mortgage Loans Acquired for Sale [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Loans pledged to secure mortgage loan participation purchase and sale agreements | 0 | 52,102 | |
Government-Sponsored Entity Eligible [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Loans acquired for sale at fair value | [1] | 1,651,554 | 3,825,901 |
Held for Sale to PLS - Government-Insured or Guaranteed [Member] | PennyMac Loan Services, LLC [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Loans acquired for sale at fair value | [2] | 159,671 | 314,995 |
Home Equity Lines of Credit [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Loans acquired for sale at fair value | 2,424 | 3,265 | |
Commercial Real Estate [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Loans acquired for sale at fair value | 0 | 964 | |
Repurchased Pursuant to Representations and Warranties [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Loans acquired for sale at fair value | $ 8,284 | $ 25,900 | |
[1]GSE eligibility refers to the eligibility of loans for sale to Fannie Mae or Freddie Mac. The Company sells or finances a portion of its GSE eligible loan production to other investors, including PLS.[2]The Company is not approved by Ginnie Mae as an issuer of Ginnie Mae-guaranteed securities which are backed by government-insured or guaranteed loans. The Company sells government-insured or guaranteed loans that it purchases from correspondent sellers to PLS, which is a Ginnie Mae-approved issuer, and earns a sourcing fee as described in Note 4 – |
Loans at Fair Value - Summary o
Loans at Fair Value - Summary of Distribution of Company's Loans at Fair Value (Detail) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Financing Receivable, Recorded Investment [Line Items] | ||
Asset-backed financings at fair value (1) | $ 1,509,942 | $ 1,564,565 |
Loans at fair value pledged to secure | 1,510,148 | 1,564,924 |
Fair value | 1,513,399 | 1,568,726 |
Loans in VIEs [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 1,509,942 | 1,564,565 |
Distressed [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 3,457 | 4,161 |
Agency Conforming Loans Secured By Investment Properties | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 1,459,160 | 1,495,914 |
Fixed interest rate jumbo loans held in a VIE [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Fair value | 50,782 | 68,651 |
Loans acquired for sale at fair value [Member] | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Assets sold under agreements to repurchase | 206 | 359 |
Fair value | $ 1,821,933 | $ 4,171,025 |
Loans at Fair Value - Summary_2
Loans at Fair Value - Summary of Distribution of Company's Loans at Fair Value (Parenthetical) (Detail) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Mortgage Loans At Fair Value [Abstract] | ||
Certificates retained at fair value pledged to secure Assets sold under agreements to repurchase | $ 84 | $ 85.3 |
Derivative and Credit Risk Tr_3
Derivative and Credit Risk Transfer Strip Assets and Liabilities - Summary of Derivative and Credit Risk Transfer Assets and Liabilities (Detail) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | ||
Derivative assets | $ 84,940 | $ 34,238 |
Derivative and credit risk transfer strip assets | 84,940 | 34,238 |
Derivative liabilities | 30,033 | 15,369 |
Credit risk transfer strip liabilities | 137,193 | 26,837 |
Total derivative and credit risk transfer strip liabilities | $ 167,226 | $ 42,206 |
Derivative and Credit Risk Tr_4
Derivative and Credit Risk Transfer Strip Assets and Liabilities - Derivative Assets and Derivative and Credit Risk Transfer Liabilities and Related Margin Deposits Recorded in Other Assets (Detail) - USD ($) | Dec. 31, 2022 | Dec. 31, 2021 | |
Derivatives Fair Value [Line Items] | |||
Notional amount | [1] | $ 0 | $ 0 |
Total derivatives assets before netting | 62,811,000 | 45,346,000 | |
Derivative assets, Netting | 22,129,000 | (11,108,000) | |
Total derivative assets after netting | 84,940,000 | 34,238,000 | |
Margin deposits placed with (received from) derivative counterparties included in derivative balances above, net | 52,286,000 | (6,965,000) | |
Derivative assets pledged to secure: | |||
Notes payable secured by credit risk transfer and mortgage servicing assets | 2,804,028,000 | 2,471,961,000 | |
Total derivative liabilities | 60,190,000 | 19,511,000 | |
Derivative liabilities, Netting | (30,157,000) | (4,142,000) | |
Total derivative liabilities after netting | 30,033,000 | 15,369,000 | |
Derivative assets related to CRT Derivatives [Member] | |||
Derivative assets pledged to secure: | |||
Notes payable secured by credit risk transfer and mortgage servicing assets | 1,262,000 | 19,627,000 | |
Repurchase Agreements | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1] | 0 | |
CRT Derivatives [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1] | 5,972,060,000 | 7,426,288,000 |
Total derivatives assets before netting | 1,262,000 | 19,627,000 | |
Total derivative assets after netting | 1,262,000 | 19,627,000 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 23,360,000 | 663,000 | |
Swaption Purchase Contracts | |||
Derivatives Fair Value [Line Items] | |||
Total derivatives assets before netting | [2] | 0 | 39,000 |
Forward Purchase Contracts [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 3,929,833,000 | 6,945,340,000 |
Total derivatives assets before netting | [2] | 418,000 | 5,806,000 |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 15,196,000 | 3,620,000 | |
Swaption Purchase Contracts | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 0 | 2,200,000,000 |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 0 | 0 | |
Interest Rate Lock Commitments [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1] | 1,484,384,000 | 2,092,129,000 |
Total derivatives assets before netting | 3,877,000 | 3,897,000 | |
Total derivative assets after netting | 3,877,000 | 3,897,000 | |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 4,355,000 | 1,446,000 | |
Forward Sales Contracts [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 11,661,925,000 | 10,466,182,000 |
Total derivatives assets before netting | [2] | 43,435,000 | 6,307,000 |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 17,279,000 | 13,782,000 | |
Call Options on Interest Rate Futures Purchase Contracts [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 1,950,000,000 | 1,450,000,000 |
Total derivatives assets before netting | [2] | 2,906,000 | 2,828,000 |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 0 | 0 | |
Put Options On Interest Rate Futures Purchase Contracts | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 1,785,000,000 | 1,775,000,000 |
Total derivatives assets before netting | [2] | 8,130,000 | 3,180,000 |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 0 | 0 | |
MBS Put Options [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 1,050,000,000 | 3,400,000,000 |
Total derivatives assets before netting | [2] | 2,783,000 | 3,662,000 |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 0 | 0 | |
Swap Futures [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 0 | 1,425,100,000 |
Total derivatives assets before netting | [2] | 0 | 0 |
Derivative assets pledged to secure: | |||
Total derivative liabilities | 0 | 0 | |
Bond Futures [Member] | |||
Derivatives Fair Value [Line Items] | |||
Notional amount | [1],[2] | 867,900,000 | 181,800,000 |
Total derivatives assets before netting | [2] | 0 | 0 |
Derivative assets pledged to secure: | |||
Total derivative liabilities | $ 0 | $ 0 | |
[1]Notional amounts provide an indication of the volume of the Company’s derivative activity.[2]All hedging derivatives are interest rate derivatives and are used as economic hedges. |
Derivative and Credit Risk Tr_5
Derivative and Credit Risk Transfer Strip Assets and Liabilities - Summary of Derivative Assets, Financial Instruments and Collateral Held by Counterparty (Detail) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | $ 84,940 | $ 34,238 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 84,940 | 34,238 |
CRT Derivatives [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 1,262 | 19,627 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 1,262 | 19,627 |
Interest Rate Lock Commitments [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 3,877 | 3,897 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 3,877 | 3,897 |
Morgan Stanley & Co. LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 33,703 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 33,703 | 0 |
Bank of America, N.A. [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 14,666 | 1,958 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 14,666 | 1,958 |
RJ O'Brien & Associates, LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 11,036 | 6,008 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 11,036 | 6,008 |
Wells Fargo Securities, LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 6,980 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 6,980 | 0 |
Credit Suisse Securities (USA) LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 5,827 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 5,827 | 0 |
Goldman Sachs & Co. LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 2,789 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 2,789 | 0 |
Barclays Capital Inc. [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 2,013 | 0 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 2,013 | 0 |
J.P. Morgan Securities LLC [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 110 | 2,085 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | 110 | 2,085 |
Other [Member] | ||
Offsetting Assets [Line Items] | ||
Total derivative assets after netting | 2,677 | 663 |
Financial instruments | 0 | 0 |
Cash collateral received | 0 | 0 |
Net amount | $ 2,677 | $ 663 |
Derivative and Credit Risk Tr_6
Derivative and Credit Risk Transfer Strip Assets and Liabilities - Summary of Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty (Detail) - Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | $ 6,648,672 | $ 6,689,910 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (6,618,639) | (6,674,541) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 30,033 | 15,369 |
CRT Derivatives [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 23,360 | 663 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 23,360 | 663 |
Interest Rate Lock Commitments [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 4,355 | 1,446 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 4,355 | 1,446 |
J.P. Morgan Securities LLC [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 1,605,813 | 726,762 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (1,605,813) | (726,762) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Bank of America, N.A. [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 1,239,293 | 1,088,417 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (1,239,293) | (1,088,417) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Barclays Capital Inc. [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 1,115,265 | 1,086,104 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (1,115,265) | (1,085,723) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 381 |
Credit Suisse Securities (USA) LLC [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 675,639 | 832,610 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (675,639) | (830,954) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 1,656 |
Daiwa Capital Markets [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 439,089 | 496,231 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (439,089) | (495,973) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 258 |
Amherst Pierpont Securities LLC [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 283,928 | 125,090 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (283,294) | (125,090) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 634 | 0 |
RBC Capital Markets, L.P. [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 268,581 | 1,293,754 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (268,581) | (1,293,754) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Wells Fargo Securities, LLC [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 262,512 | 106,088 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (262,512) | (104,674) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 1,414 |
Morgan Stanley & Co. LLC [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 218,730 | 412,321 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (218,730) | (410,413) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 1,908 |
Citigroup Global Markets Inc. [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 197,229 | 131,312 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (195,807) | (129,016) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 1,422 | 2,296 |
Goldman Sachs & Co. LLC [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 156,952 | 217,459 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (156,952) | (212,580) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 4,879 |
BNP Paribas [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 153,220 | 171,185 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (153,220) | (171,185) |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Nomura Holdings America, Inc [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 4,444 | 14 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | (4,444) | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | 0 | 14 |
Other [Member] | Security Sold Under Agreements to Repurchase [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amount of liabilities presented in the consolidated balance sheet | 262 | 454 |
Gross amounts not offset in the consolidated balance sheet, Financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged | 0 | 0 |
Net amount | $ 262 | $ 454 |
Derivative and Credit Risk Tr_7
Derivative and Credit Risk Transfer Strip Assets and Liabilities - Net Gains (Losses) Recognized on Derivative Financial Instruments (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net gains on derivative financial instruments used as economic hedges | $ 0 | $ 0 | $ 53 |
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Interest expense | Interest expense | Interest expense |
Interest Rate Lock Commitments [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net gains on derivative financial instruments used as economic hedges | $ (2,928) | $ (69,935) | $ 61,232 |
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Net gains on loans acquired for sale: | Net gains on loans acquired for sale: | Net gains on loans acquired for sale: |
Fixed-rate and prepayment sensitive assets and LIBOR- indexed repurchase agreements [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net gains on derivative financial instruments used as economic hedges | $ 0 | $ 0 | $ 32,932 |
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Net gains (losses) on investments and financings | Net gains (losses) on investments and financings | Net gains (losses) on investments and financings |
Interest Rate Lock Commitments And Loans Acquired For Sale | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net gains on derivative financial instruments used as economic hedges | $ 553,965 | $ 141,901 | $ (459,309) |
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Net gains on loans acquired for sale: | Net gains on loans acquired for sale: | Net gains on loans acquired for sale: |
Mortgage service rights [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net gains on derivative financial instruments used as economic hedges | $ (204,879) | $ (345,041) | $ 601,743 |
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Contractually Specified Servicing Fees Late Fees And Ancillary Fees Earned In Exchange For Servicing Financial Assets | Contractually Specified Servicing Fees Late Fees And Ancillary Fees Earned In Exchange For Servicing Financial Assets | Contractually Specified Servicing Fees Late Fees And Ancillary Fees Earned In Exchange For Servicing Financial Assets |
CRT Derivatives [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net gains on derivative financial instruments used as economic hedges | $ (3,838) | $ 81,008 | $ (136,598) |
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Net gains (losses) on investments and financings | Net gains (losses) on investments and financings | Net gains (losses) on investments and financings |
Derivative and Credit Risk Tr_8
Derivative and Credit Risk Transfer Strip Assets and Liabilities - Summary of Holdings of CRT Strips (Detail) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Credit risk transfer strips contractually restricted from sale | ||
CRT strips, Liabilities | $ 137,193 | $ 26,837 |
Credit Risk Transfer Strips [Member] | ||
Credit risk transfer strips contractually restricted from sale | ||
CRT strips, Liabilities | (137,193) | (26,837) |
Credit Risk Transfer Strips [Member] | Currently Unrestricted [Member] | ||
Credit risk transfer strips contractually restricted from sale | ||
CRT strips, Liabilities | (137,193) | 5,978 |
Credit Risk Transfer Strips [Member] | To Maturity [Member] | ||
Credit risk transfer strips contractually restricted from sale | ||
CRT strips, Liabilities | $ 0 | $ (32,815) |
Mortgage Servicing Rights - Sum
Mortgage Servicing Rights - Summary of MSRs Carried at Fair Value (Detail) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | ||
Summary Of Mortgage Servicing Rights [Line Items] | ||||
Balance at beginning of year | $ 2,892,855 | $ 1,755,236 | $ 1,535,705 | |
MSRs resulting from loan sales | 670,343 | 1,484,629 | 1,158,475 | |
Transfer to Agency of mortgage servicing rights relating to delinquent loans | 104 | 0 | 0 | |
Sales | 0 | 0 | (7) | |
Due to changes in inputs used in valuation model | [1] | 819,727 | (39,056) | (706,107) |
Other changes in fair value | [2] | (370,292) | (298,130) | (232,830) |
Change in fair value, Total | 449,435 | (337,186) | (938,937) | |
Recombination with loans at fair value resulting from initial consolidation of VIEs | 0 | (9,824) | 0 | |
Balance at end of year | 4,012,737 | 2,892,855 | $ 1,755,236 | |
Pledged Assets [Member] | ||||
Summary Of Mortgage Servicing Rights [Line Items] | ||||
Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and Notes payable secured by credit risk transfer and mortgage servicing assets | $ 3,962,820 | $ 2,863,544 | ||
[1]Primarily reflects changes in prepayment speed, pricing spread, servicing cost, and UPB for the underlying loans.[2]Represents changes due to realization of expected cash flows |
Mortgage Servicing Rights - S_2
Mortgage Servicing Rights - Summary of Net Loan Servicing Fees Relating to MSRs (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Transfers And Servicing [Abstract] | |||
Contractually-specified servicing fees | $ 625,210 | $ 526,245 | $ 406,060 |
Late charges | 2,526 | 1,701 | 1,498 |
Other | 23,515 | 67,400 | 54,959 |
Mortgage loan other servicing fees | 26,041 | 69,101 | 56,457 |
Net mortgage loan servicing fees | 651,251 | 595,346 | 462,517 |
Average MSR servicing portfolio | 222,847,593 | 196,996,623 | 147,832,880 |
MSR recapture fees | 13,744 | 50,859 | 28,373 |
UPB of loans recaptured | $ 2,533,115 | $ 9,389,260 | $ 6,012,911 |
Other Assets - Summary of Other
Other Assets - Summary of Other Assets (Detail) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Other Assets [Line Items] | ||
Derivative margin deposits | $ 51,463 | $ 193,418 |
Interest receivable | 31,027 | 15,168 |
Servicing fees receivable | 15,727 | 16,756 |
Correspondent lending receivables | 8,967 | 27,539 |
Other receivables | 7,657 | 15,299 |
Real estate acquired in settlement of loans | 7,734 | 14,382 |
Other | 12,416 | 3,737 |
Other Assets | 134,991 | 286,299 |
Real Estate Acquired in Settlement of Loans Pledge to Secure [Member] | ||
Other Assets [Line Items] | ||
Assets sold under agreements to repurchase | $ 3,297 | $ 7,293 |
Assets Sold Under Agreements to
Assets Sold Under Agreements to Repurchase - Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Assets Sold under Agreements to Repurchase [Line Items] | |||
Weighted average interest rate | 2.81% | 1.36% | 1.62% |
Average balance | $ 5,625,345 | $ 6,161,755 | $ 5,508,147 |
Total interest expense | 165,436 | 97,078 | 102,131 |
Maximum daily amount outstanding | 8,834,936 | 8,882,538 | $ 10,433,609 |
Assets Sold Under Agreements To Repurchase | 6,618,639 | 6,674,541 | |
Assets sold under agreements to repurchase, At year end | $ 6,616,528 | $ 6,671,890 | |
Weighted average interest rate | 5.03% | 1.08% | |
Available borrowing capacity, Committed | $ 217,279 | $ 289,436 | |
Available borrowing capacity, Uncommitted | 4,762,056 | 4,875,433 | |
Available borrowing capacity | 4,979,335 | 5,164,869 | |
Margin deposits (received from) placed with counterparties included in (Accounts payable and accrued liabilities) Other assets, net | (13,630) | 67,997 | |
Committed Facilities [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets Sold Under Agreements To Repurchase | 6,189,344 | 5,799,975 | |
Assets Sold Under Agreements to Repurchase [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Unamortized debt issuance costs | 2,111 | 2,651 | |
Uncommitted Facilities [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets Sold Under Agreements To Repurchase | 429,295 | 874,566 | |
Mortgage Backed Securities [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | 4,462,601 | 2,666,768 | |
Loans Acquired For Sale At Fair Value [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | 1,801,368 | 4,007,377 | |
Loans At Fair Value [Member] | Distressed loans [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | 206 | 359 | |
Loans At Fair Value [Member] | Securities Retained In Asset Backed Financings [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | 84,044 | 85,266 | |
Servicing advances [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | 100,888 | 93,455 | |
Real Estate Acquired in Settlement of Loans [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | 3,297 | 7,293 | |
Credit Risk Transfer Arrangements [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | 455,552 | 0 | |
Mortgage service rights [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Assets securing agreements to repurchase | $ 2,092,794 | $ 1,598,090 |
Assets Sold Under Agreements _2
Assets Sold Under Agreements to Repurchase - Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase (Parenthetical) (Detail) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Assets Sold Under Agreements to Repurchase [Member] | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Amortization of debt issuance costs | $ 7.6 | $ 13.2 | $ 12.9 |
Assets Sold Under Agreements _3
Assets Sold Under Agreements to Repurchase - Summary of Maturities of Outstanding Advances Under Repurchase Agreements by Maturity Date (Detail) $ in Thousands | 12 Months Ended |
Dec. 31, 2022 USD ($) | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 6,618,639 |
Weighted average maturity (in months) | 2 months 6 days |
Within 30 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 4,342,147 |
Over 30 to 90 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 1,763,899 |
Over 90 days to 180 days [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 62,439 |
Over 180 Days to 1 Year [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | 65,154 |
Over 1 Year to 2 Years [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Maturity of repurchase agreements | $ 385,000 |
Assets Sold Under Agreements _4
Assets Sold Under Agreements to Repurchase - Summary of Assets Sold under Agreements to Repurchase by Counterparty (Detail) $ in Thousands | 12 Months Ended |
Dec. 31, 2022 USD ($) | |
Bank of America, N.A. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 24,165 |
Weighted average maturity | Jan. 17, 2023 |
Bank of America, N.A. [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 25,572 |
Weighted-average maturity, Advances | Jan. 30, 2023 |
Weighted-average maturity, Facility | Jun. 05, 2024 |
Bank of America, N.A. [Member] | Credit Risk Transfer Agreements [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 60,630 |
Weighted average maturity | Apr. 03, 2023 |
Goldman Sachs & Co. LLC [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 2,104 |
Weighted-average maturity, Advances | Mar. 16, 2023 |
Weighted-average maturity, Facility | Dec. 23, 2023 |
Goldman Sachs & Co. LLC [Member] | Credit Risk Transfer Agreements [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 99,664 |
Weighted average maturity | Mar. 28, 2023 |
Citibank, N.A. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 25,570 |
Weighted average maturity | Feb. 22, 2023 |
Citibank, N.A. [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 12,072 |
Weighted-average maturity, Advances | Feb. 24, 2023 |
Weighted-average maturity, Facility | Apr. 26, 2024 |
Citibank, N.A. [Member] | Credit Risk Transfer Agreements [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 57,911 |
Weighted average maturity | Jul. 03, 2023 |
Barclays Capital Inc. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 52,623 |
Weighted average maturity | Jan. 26, 2023 |
Barclays Capital Inc. [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 19,214 |
Weighted-average maturity, Advances | Feb. 26, 2023 |
Weighted-average maturity, Facility | Nov. 13, 2024 |
JPMorgan Chase & Co. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 38,860 |
Weighted average maturity | Jan. 20, 2023 |
JPMorgan Chase & Co. [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 20,817 |
Weighted-average maturity, Advances | Mar. 03, 2023 |
Weighted-average maturity, Facility | Jun. 17, 2024 |
Wells Fargo Securities, LLC [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 3,206 |
Weighted average maturity | Jan. 06, 2023 |
Wells Fargo Securities, LLC [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 15,321 |
Weighted-average maturity, Advances | Mar. 16, 2023 |
Weighted-average maturity, Facility | Nov. 17, 2023 |
Credit Suisse First Boston Mortgage Capital LLC Maturity in 2020 [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 15,093 |
Weighted-average maturity, Advances | Mar. 13, 2023 |
Weighted-average maturity, Facility | May 31, 2024 |
Morgan Stanley & Co. LLC [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 11,452 |
Weighted-average maturity, Advances | Mar. 12, 2023 |
Weighted-average maturity, Facility | Jan. 03, 2024 |
RBC Capital Markets L.P. [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 8,996 |
Weighted-average maturity, Advances | Mar. 27, 2023 |
Weighted-average maturity, Facility | Nov. 10, 2023 |
BNP Paribas Corporate & Institutional Banking [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 6,480 |
Weighted-average maturity, Advances | Mar. 12, 2023 |
Weighted-average maturity, Facility | Nov. 30, 2024 |
Daiwa Capital Markets America Inc. [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 9,904 |
Weighted average maturity | Jan. 23, 2023 |
Amherst Pierpont Securities LLC [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 6,744 |
Weighted average maturity | Jan. 20, 2023 |
Nomura Holdings America, Inc [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Amount at risk | $ 1,707 |
Weighted average maturity | Jan. 03, 2023 |
Mortgage Loan Participation Pur
Mortgage Loan Participation Purchase and Sale Agreements - Summary of Mortgage Loan Participation Purchase and Sale Agreement (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Mortgage Loan Participation Purchase And Sale Agreement [Line Items] | |||
Mortgage loan participation purchase and sale agreements | $ 0 | $ 49,988 | |
Mortgage Loan Participation Purchase and Sale Agreement [Member] | |||
Mortgage Loan Participation Purchase And Sale Agreement [Line Items] | |||
Average balance | $ 30,024 | $ 33,827 | $ 44,432 |
Weighted average interest rate | 2.99% | 1.42% | 1.63% |
Total interest expense | $ 1,023 | $ 606 | $ 902 |
Maximum daily amount outstanding | 91,857 | 89,879 | $ 96,570 |
Amount outstanding | 0 | 49,988 | |
Unamortized debt issuance costs | 0 | 0 | |
Mortgage loan participation purchase and sale agreements | $ 0 | $ 49,988 | |
Weighted average interest rate | 0% | 1.48% | |
Loans acquired for sale pledged to secure mortgage loan participation purchase and sale agreements | $ 0 | $ 52,102 |
Mortgage Loan Participation P_2
Mortgage Loan Participation Purchase and Sale Agreements - Summary of Mortgage Loan Participation Purchase and Sale Agreements (Detail) (Parenthetical) - USD ($) | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Mortgage Loan Participation Purchase And Sale Agreement [Line Items] | |||
Amortization of debt issuance costs | $ 16,563,000 | $ 27,156,000 | $ 18,987,000 |
Mortgage Loan Participation Purchase and Sale Agreement [Member] | |||
Mortgage Loan Participation Purchase And Sale Agreement [Line Items] | |||
Amortization of debt issuance costs | $ 125,000 | $ 125,000 | $ 176,000 |
Long-Term Debt - Summary of Ter
Long-Term Debt - Summary of Term Note Issued to Qualified Institutional Buyers (Detail) $ in Thousands | 12 Months Ended |
Dec. 31, 2022 USD ($) | |
Secured Term Notes | Fannie Mae M S R Financing | |
Debt Instrument [Line Items] | |
Unpaid principal balance | $ 1,105,000 |
March 4, 2021 [Member] | Secured Debt | CRT Arrangement Financing | |
Debt Instrument [Line Items] | |
Notes Issued | 659,156 |
Unpaid principal balance | $ 298,655 |
Debt Instrument, Description of Variable Rate Basis | LIBOR |
Interest rate spread (Annual) | 2.90% |
Maturity date, Stated | Feb. 28, 2024 |
Maturity date, Optional extension | Feb. 27, 2026 |
December 22, 2020 [Member] | Secured Debt | CRT Arrangement Financing | |
Debt Instrument [Line Items] | |
Notes Issued | $ 350,000 |
Unpaid principal balance | $ 58,295 |
Debt Instrument, Description of Variable Rate Basis | LIBOR |
Interest rate spread (Annual) | 2.35% |
Maturity date, Stated | Mar. 01, 2023 |
February 14, 2020 [Member] | Secured Debt | CRT Arrangement Financing | |
Debt Instrument [Line Items] | |
Notes Issued | $ 375,000 |
Unpaid principal balance | $ 54,811 |
Debt Instrument, Description of Variable Rate Basis | LIBOR |
Interest rate spread (Annual) | 2.70% |
Maturity date, Stated | Oct. 27, 2022 |
Maturity date, Optional extension | Oct. 29, 2024 |
October 16, 2019 [Member] | Secured Debt | CRT Arrangement Financing | |
Debt Instrument [Line Items] | |
Notes Issued | $ 638,000 |
Unpaid principal balance | $ 180,933 |
Debt Instrument, Description of Variable Rate Basis | LIBOR |
Interest rate spread (Annual) | 2.75% |
Maturity date, Stated | May 29, 2023 |
Maturity date, Optional extension | May 29, 2025 |
June 11, 2019 [Member] | Secured Debt | CRT Arrangement Financing | |
Debt Instrument [Line Items] | |
Unpaid principal balance | $ 592,694 |
June 28, 2022 [Member] | Secured Term Notes | Fannie Mae M S R Financing | |
Debt Instrument [Line Items] | |
Notes Issued | 305,000 |
Unpaid principal balance | $ 305,000 |
Debt Instrument, Description of Variable Rate Basis | SOFR (2) |
Interest rate spread (Annual) | 4.19% |
Maturity date, Stated | Jun. 25, 2027 |
Maturity date, Optional extension | Either June 26, 2028 or June 25, 2029 |
March 30, 2021 [Member] | Secured Term Notes | Fannie Mae M S R Financing | |
Debt Instrument [Line Items] | |
Notes Issued | $ 350,000 |
Unpaid principal balance | $ 350,000 |
Debt Instrument, Description of Variable Rate Basis | LIBOR |
Interest rate spread (Annual) | 3% |
Maturity date, Stated | Mar. 25, 2026 |
Maturity date, Optional extension | Mar. 27, 2028 |
April 25, 2018 [Member] | Secured Term Notes | Fannie Mae M S R Financing | |
Debt Instrument [Line Items] | |
Notes Issued | $ 450,000 |
Unpaid principal balance | $ 450,000 |
Debt Instrument, Description of Variable Rate Basis | LIBOR |
Interest rate spread (Annual) | 2.35% |
Maturity date, Stated | Apr. 25, 2023 |
Maturity date, Optional extension | Apr. 25, 2025 |
Long-Term Debt - Additional Inf
Long-Term Debt - Additional Information (Detail) | 12 Months Ended | |||
Mar. 09, 2021 USD ($) | Nov. 19, 2019 USD ($) | Dec. 31, 2022 USD ($) | Apr. 30, 2013 USD ($) | |
Exchangeable Senior Notes due March 15, 2026 [Member] | ||||
Debt Instrument [Line Items] | ||||
Maturity date of debt instrument | Mar. 15, 2026 | |||
Issuance of debt through private offering | $ 345,000,000 | |||
Percentage of interest on debt | 5.50% | |||
Exchangeable Senior Notes Per Note Principal Amount | $ 1,000 | |||
Exchangeable Senior Notes due March 15, 2026 [Member] | Initial Exchangeable Rate [Member] | Minimum [Member] | ||||
Debt Instrument [Line Items] | ||||
Number of shares exchanged per exchangeable notes | 46.1063 | |||
Exchangeable Senior Notes due March 15, 2026 [Member] | Initial Exchangeable Rate [Member] | Maximum [Member] | ||||
Debt Instrument [Line Items] | ||||
Number of shares exchanged per exchangeable notes | 40.101 | |||
Exchangeable Senior Notes due November 1, 2024 [Member] | ||||
Debt Instrument [Line Items] | ||||
Maturity date of debt instrument | Nov. 01, 2024 | |||
Issuance of debt through private offering | $ 210,000,000 | |||
Percentage of interest on debt | 5.50% | |||
Freddie Mac MSR Financing | Credit Agreements [Member] | ||||
Debt Instrument [Line Items] | ||||
Debt Instrument Face Amount | $ 1,600,000,000 | |||
Maturity date of debt instrument | Jun. 30, 2024 | |||
PennyMac Loan Services, LLC [Member] | Fannie Mae M S R Financing | ||||
Debt Instrument [Line Items] | ||||
Line of credit, maximum borrowing capacity | $ 700,000,000 | |||
Extended termination date of debt instrument | May 31, 2024 |
Long-Term Debt - Summary of Fin
Long-Term Debt - Summary of Financial Information Relating to Note Payable Secured by Credit Risk Transfer and Mortgage Servicing Assets (Detail) - USD ($) | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Carrying value: | |||
Balance | $ 2,804,028,000 | $ 2,471,961,000 | |
Assets securing notes payable: | |||
Derivative assets | 1,262,000 | 19,627,000 | |
Freddie Mac MSR Financing | |||
Carrying value: | |||
Balance | 2,804,028,000 | 2,471,961,000 | |
Carrying value of notes | 2,812,694,000 | 2,479,636,000 | |
Assets securing notes payable: | |||
Mortgage servicing rights | 3,962,820,000 | 2,863,544,000 | |
Deposits securing CRT arrangements | 869,742,000 | 1,704,911,000 | |
Notes Payable [Member] | Freddie Mac MSR Financing | |||
Short Term Debt [Line Items] | |||
Average balance | $ 2,646,597,000 | $ 2,635,601,000 | $ 1,771,370,000 |
Weighted-average interest rate | 4.92% | 3.08% | 3.19% |
Total interest expense | $ 137,021,000 | $ 86,753,000 | $ 59,261,000 |
Maximum daily amount outstanding | 3,629,637,000 | 3,336,480,000 | $ 2,032,665,000 |
Carrying value: | |||
Unamortized debt issuance costs | $ (8,666,000) | $ (7,675,000) | |
Weighted average interest rate | 7.30% | 3.02% | |
Assets securing notes payable: | |||
Derivative assets | $ 1,262,000 | $ 19,627,000 | |
CRT Term Notes [Member] | Freddie Mac MSR Financing | |||
Carrying value: | |||
Carrying value of notes | 592,694,000 | 1,204,636,000 | |
FT1 Notes [Member] | Freddie Mac MSR Financing | |||
Carrying value: | |||
Carrying value of notes | 1,105,000,000 | 800,000,000 | |
Freddie Mac Credit Agreements [Member] | Freddie Mac MSR Financing | |||
Carrying value: | |||
Carrying value of notes | $ 1,115,000,000 | $ 475,000,000 |
Long-Term Debt - Summary of F_2
Long-Term Debt - Summary of Financial Information Relating to Note Payable Secured by Credit Risk Transfer and Mortgage Servicing Assets (Parenthetical) (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Short Term Debt [Line Items] | |||
Amortization of debt issuance costs | $ 16,563 | $ 27,156 | $ 18,987 |
Notes Payable [Member] | Freddie Mac MSR Financing | |||
Short Term Debt [Line Items] | |||
Amortization of debt issuance costs | $ 6,700 | $ 5,500 | $ 2,700 |
Long-Term Debt - Summary of F_3
Long-Term Debt - Summary of Financial Information Relating to Exchangeable Senior Notes (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||||||||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2028 | Dec. 31, 2027 | Dec. 31, 2026 | Dec. 31, 2025 | Dec. 31, 2024 | Dec. 31, 2023 | |
Interest expense: | |||||||||
Interest expense | $ 410,420 | $ 304,737 | $ 270,770 | ||||||
Carrying value: | |||||||||
UPB | 555,000 | 555,000 | $ 0 | $ 0 | $ 345,000 | $ 0 | $ 210,000 | $ 0 | |
Conversion option allocated to additional paid-in-capital and Unamortized debt issuance costs | 8,746 | 52,541 | |||||||
Exchangeable senior notes | 546,254 | 502,459 | |||||||
Nonaffiliates [Member] | |||||||||
Interest expense: | |||||||||
Interest expense | 410,420 | 304,350 | 267,445 | ||||||
Convertible Debt [Member] | |||||||||
Carrying value: | |||||||||
Conversion option allocated to Additional paid-in capital | 0 | (40,952) | |||||||
Unamortized debt issuance costs | (8,746) | (11,589) | |||||||
Convertible Debt [Member] | Nonaffiliates [Member] | |||||||||
Short Term Debt [Line Items] | |||||||||
Average balance | $ 541,233 | $ 445,064 | $ 269,247 | ||||||
Weighted average interest rate | 5.64% | 7.74% | 6.43% | ||||||
Interest expense: | |||||||||
Coupon | $ 30,525 | $ 27,152 | $ 15,556 | ||||||
Conversion option | 0 | 7,306 | 1,801 | ||||||
Interest expense | 2,843 | 2,289 | 1,490 | ||||||
Amortization of: | |||||||||
Total interest expense | $ 33,368 | $ 36,747 | $ 18,847 |
Long-Term Debt - Summary of F_4
Long-Term Debt - Summary of Financial Information Relating to Exchangeable Senior Notes (Parenthetical) (Detail) - USD ($) $ in Thousands | Dec. 31, 2022 | Jan. 01, 2022 | Dec. 31, 2021 |
Short Term Debt [Line Items] | |||
Accumulated deficit | $ (526,822) | $ (256,670) | |
Accounting Standards Update 2020-06 [Member] | Cumulative Effect, Period of Adoption, Adjusted Balance [Member] | |||
Short Term Debt [Line Items] | |||
Accumulated deficit | $ 9,400 | ||
Exchangeable Notes | |||
Short Term Debt [Line Items] | |||
Additional Paid in Capital | 50,300 | ||
Exchangeable Notes | Accounting Standards Update 2020-06 [Member] | Cumulative Effect, Period of Adoption, Adjusted Balance [Member] | |||
Short Term Debt [Line Items] | |||
Accumulated deficit | $ 9,400 |
Long-Term Debt - Summary of F_5
Long-Term Debt - Summary of Financial Information Relating to Asset-Backed Financing of a VIE at Fair Value (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||||||||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2028 | Dec. 31, 2027 | Dec. 31, 2026 | Dec. 31, 2025 | Dec. 31, 2024 | Dec. 31, 2023 | |
Short Term Debt [Line Items] | |||||||||
Asset-backed financing of variable interest entities at fair value | $ 1,414,955 | $ 1,469,999 | |||||||
Unpaid principal balance | 1,681,410 | $ 1,681,410 | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 | ||
Variable Interest Entities [Member] | |||||||||
Short Term Debt [Line Items] | |||||||||
Asset-backed financing of variable interest entities at fair value | 1,414,955 | 1,469,999 | |||||||
Asset-Backed Financings at Fair Value [Member] | Variable Interest Entities [Member] | |||||||||
Short Term Debt [Line Items] | |||||||||
Asset-backed financing of variable interest entities at fair value | 1,414,955 | 1,469,999 | |||||||
Unpaid principal balance | 1,681,410 | 1,442,379 | |||||||
Asset-Backed Financings at Fair Value [Member] | Variable Interest Entities [Member] | Asset Backed Secured Financing Liability Fair Value [Member] | |||||||||
Short Term Debt [Line Items] | |||||||||
Average balance | 1,512,590 | 447,247 | $ 203,795 | ||||||
Total interest expense | $ 53,570 | $ 15,076 | $ 10,971 | ||||||
Weighted average interest rate | 3.42% | 3.63% | 3.30% | ||||||
Weighted average interest rate | 3.22% | 3.18% |
Long-Term Debt - Summary of F_6
Long-Term Debt - Summary of Financial Information Relating to Asset-Backed Financing of a VIE at Fair Value (Parenthetical) (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Debt Instrument [Line Items] | |||
Net debt issuance (premium) costs | $ 16,563 | $ 27,156 | $ 18,987 |
Asset-Backed Financings at Fair Value [Member] | Variable Interest Entities [Member] | Asset Backed Secured Financing Liability Fair Value [Member] | |||
Debt Instrument [Line Items] | |||
Net debt issuance (premium) costs | $ 1,800 | $ (1,100) | $ 4,200 |
Long-Term Debt - Schedule of Co
Long-Term Debt - Schedule of Contractual Maturities on Long Term Debt Obligations (Detail) - USD ($) $ in Thousands | Dec. 31, 2028 | Dec. 31, 2027 | Dec. 31, 2026 | Dec. 31, 2025 | Dec. 31, 2024 | Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 |
Debt Disclosure [Abstract] | ||||||||
Notes payable secured by credit risk transfer and mortgage servicing assets | $ 0 | $ 305,000 | $ 350,000 | $ 0 | $ 1,468,467 | $ 689,227 | $ 2,812,694 | |
Exchangeable senior notes | 0 | 0 | 345,000 | 0 | 210,000 | 0 | 555,000 | $ 555,000 |
Unpaid principal balance | 1,681,410 | 0 | 0 | 0 | 0 | 0 | 1,681,410 | |
Interest-only security payable at fair value | 21,925 | 0 | 0 | 0 | 0 | 0 | 21,925 | $ 10,593 |
Total | $ 1,703,335 | $ 305,000 | $ 695,000 | $ 0 | $ 1,678,467 | $ 689,227 | $ 5,071,029 |
Liability for Losses under Re_3
Liability for Losses under Representations and Warranties - Summary of Company's Liability for Losses under Representations and Warranties (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Mortgage Banking [Abstract] | |||
Balance, beginning of year | $ 40,249 | $ 21,893 | $ 7,614 |
Provision for losses: | |||
Pursuant to loan sales | 4,442 | 25,029 | 19,316 |
Reduction in liability due to change in estimate | (4,227) | (5,812) | (4,457) |
Losses incurred, net | (993) | (861) | (580) |
Balance, end of year | 39,471 | 40,249 | 21,893 |
UPB of loans subject to representations and warranties at end of year | $ 228,339,312 | $ 213,944,023 | $ 163,592,788 |
Commitments and Contingencies -
Commitments and Contingencies - Company's Outstanding Contractual Commitments (Detail) $ in Thousands | Dec. 31, 2022 USD ($) |
Commitments to purchase mortgage loans: | |
Commitments to purchase loans acquired for sale | $ 1,484,384 |
Shareholders' Equity - Summary
Shareholders' Equity - Summary of Preferred Shares of Beneficial Interest (Detail) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2019 | |
Class Of Stock [Line Items] | |||
Number of shares | 22,400,000 | 22,400,000 | |
Liquidation preference | $ 560,000 | $ 560,000 | |
Issuance discount | 18,518 | ||
Carrying value | $ 541,482 | $ 541,482 | |
8.125% Series A Preferred Stock [Member] | |||
Class Of Stock [Line Items] | |||
Number of shares | 4,600,000 | ||
Liquidation preference | $ 115,000 | ||
Issuance discount | 3,828 | ||
Carrying value | $ 111,172 | ||
Dividends per share | $ 2.03 | $ 2.03 | $ 2.03 |
8.00% Series B Preferred Stock [Member] | |||
Class Of Stock [Line Items] | |||
Number of shares | 7,800,000 | ||
Liquidation preference | $ 195,000 | ||
Issuance discount | 6,465 | ||
Carrying value | $ 188,535 | ||
Dividends per share | $ 2 | 2 | 2 |
6.75% Series C Preferred Stock [Member] | |||
Class Of Stock [Line Items] | |||
Number of shares | 10,000,000 | ||
Liquidation preference | $ 250,000 | ||
Issuance discount | 8,225 | ||
Carrying value | $ 241,775 | ||
Dividends per share | $ 1.68 | $ 0.52 | $ 0 |
Shareholders' Equity - Summar_2
Shareholders' Equity - Summary of Preferred Shares of Beneficial Interest (Parenthetical) (Detail) - $ / shares | 1 Months Ended | 3 Months Ended | 12 Months Ended | ||
Aug. 31, 2021 | Jul. 31, 2017 | Mar. 31, 2017 | Dec. 31, 2022 | Dec. 31, 2021 | |
Class Of Stock [Line Items] | |||||
Preferred stock, par value | $ 0.01 | $ 0.01 | |||
8.125% Series A Preferred Stock [Member] | |||||
Class Of Stock [Line Items] | |||||
Cumulative dividend, beneficial interest rate | 8.125% | 8.125% | |||
Sale of Stock, Transaction Date | Mar. 31, 2017 | ||||
Preferred stock, par value | $ 0.01 | ||||
8.00% Series B Preferred Stock [Member] | |||||
Class Of Stock [Line Items] | |||||
Cumulative dividend, beneficial interest rate | 5.99% | 8% | |||
Sale of Stock, Transaction Date | Jul. 31, 2017 | ||||
Preferred stock, par value | $ 0.01 | ||||
6.75% Series C Preferred Stock [Member] | |||||
Class Of Stock [Line Items] | |||||
Cumulative dividend, beneficial interest rate | 6.75% | 6.75% | |||
Sale of Stock, Transaction Date | Aug. 31, 2021 | ||||
Preferred stock, par value | $ 0.01 |
Shareholders' Equity - Addition
Shareholders' Equity - Additional Information (Detail) - USD ($) | 1 Months Ended | 3 Months Ended | 12 Months Ended | ||||
Aug. 31, 2021 | Jul. 31, 2017 | Mar. 31, 2017 | Dec. 31, 2022 | Oct. 24, 2022 | Oct. 23, 2022 | Mar. 31, 2019 | |
Schedule Of Capitalization Equity [Line Items] | |||||||
Common stock shares Repurchase authorized amount | $ 500,000,000 | $ 400,000,000 | |||||
Equity Distribution Agreement [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Maximum aggregate offering price | $ 200,000,000 | ||||||
8.125% Series A Preferred Stock [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Cumulative dividend, beneficial interest rate | 8.125% | 8.125% | |||||
8.125% Series A Preferred Stock [Member] | Fixed Annuity | Date Of Original Issuance To March 14, 2024 [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Preferred stock, liquidation preference | $ 25 | ||||||
8.125% Series A Preferred Stock [Member] | Floating Rate [Member] | March 15, 2024 and Thereafter [member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Cumulative dividend, beneficial interest rate | 5.831% | ||||||
8.00% Series B Preferred Stock [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Cumulative dividend, beneficial interest rate | 5.99% | 8% | |||||
Preferred stock, liquidation preference | $ 25 | ||||||
8.00% Series B Preferred Stock [Member] | Date Of Original Issuance To March 14, 2024 [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Cumulative dividend, beneficial interest rate | 8% | ||||||
8.00% Series B Preferred Stock [Member] | Fixed Annuity | Date Of Original Issuance To March 14, 2024 [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Preferred stock, liquidation preference | $ 25 | ||||||
6.75% Series C Preferred Stock [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Cumulative dividend, beneficial interest rate | 6.75% | 6.75% | |||||
6.75% Series C Preferred Stock [Member] | Fixed Annuity | Date Of Original Issuance To March 14, 2024 [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Preferred stock, liquidation preference | $ 25 | ||||||
8.125% Series A And 8.00% Series B Preferred Stock [Member] | |||||||
Schedule Of Capitalization Equity [Line Items] | |||||||
Preferred stock redemption price per share | $ 25 |
Shareholders' Equity - Summar_3
Shareholders' Equity - Summary of Activities under ATM Equity Offering Program (Detail) - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Class Of Stock [Line Items] | |||
Net proceeds | $ 0 | $ 0 | $ 5,654 |
Common Shares [Member] | |||
Class Of Stock [Line Items] | |||
Number of Common Shares issued | 0 | 241 | |
Equity Distribution Agreement [Member] | |||
Class Of Stock [Line Items] | |||
Gross proceeds | $ 5,654 | ||
Net proceeds | $ 5,597 | ||
Equity Distribution Agreement [Member] | Common Shares [Member] | |||
Class Of Stock [Line Items] | |||
Number of Common Shares issued | 241 |
Shareholders' Equity - Summar_4
Shareholders' Equity - Summary of Common Share Repurchase Activity (Detail) - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Equity [Abstract] | |||
Common Shares repurchased | 6,094 | 3,099 | 2,767 |
Cumulative shares repurchased | 26,691 | ||
Cost of Common Shares repurchased | $ 87,992 | $ 56,855 | $ 37,267 |
Cumulative cost of shares repurchased | $ 398,739 |
Shareholders' Equity - Summar_5
Shareholders' Equity - Summary of Common Share Repurchase Activity (Parenthetical) (Detail) - USD ($) | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Schedule Of Capitalization Equity [Line Items] | |||
Transaction fees | $ 0 | $ 0 | $ 57,000 |
Common Stock [Member] | Commission Amount | |||
Schedule Of Capitalization Equity [Line Items] | |||
Transaction fees | $ 533,824 |
Net (Losses) Gains on Investm_3
Net (Losses) Gains on Investments and Financings - Summary of Net (Losses) Gains on Investments and Financings (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Schedule Of Gain Loss On Investments Including Marketable Securities And Investments Held At Cost Income Statement Reported Amounts Summary [Line Items] | |||
Loans at fair value | $ 620,813 | $ 1,379,717 | $ 1,199,605 |
Asset-backed financings at fair value | 283,586 | 19,708 | 5,519 |
Net (losses) gains on investments and financings | (658,787) | 304,079 | (170,885) |
Nonaffiliates [Member] | |||
Schedule Of Gain Loss On Investments Including Marketable Securities And Investments Held At Cost Income Statement Reported Amounts Summary [Line Items] | |||
Investment securities at fair value, Mortgage-backed securities | (576,758) | (74,354) | 87,852 |
CRT arrangements | (65,137) | 368,999 | (145,938) |
Firm commitment to purchase CRT securities | 0 | 0 | (121,067) |
Hedging derivatives | 0 | 0 | 32,932 |
Net (losses) gains on investments and financings | (658,787) | 302,428 | (148,156) |
PennyMac Financial Services, Inc. [Member] | |||
Schedule Of Gain Loss On Investments Including Marketable Securities And Investments Held At Cost Income Statement Reported Amounts Summary [Line Items] | |||
Net (losses) gains on investments and financings | 0 | 1,651 | (22,729) |
Variable Interest Entities [Member] | Nonaffiliates [Member] | |||
Schedule Of Gain Loss On Investments Including Marketable Securities And Investments Held At Cost Income Statement Reported Amounts Summary [Line Items] | |||
Loans at fair value | (301,164) | (12,536) | (6,617) |
Distressed [Member] | Nonaffiliates [Member] | |||
Schedule Of Gain Loss On Investments Including Marketable Securities And Investments Held At Cost Income Statement Reported Amounts Summary [Line Items] | |||
Loans at fair value | $ 686 | $ 611 | $ (837) |
Net Gains on Loans Acquired f_3
Net Gains on Loans Acquired for Sale - Summary of Net Gain on Mortgage Loans Acquired for Sale (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Cash losses: | |||
Sales of loans | $ (1,196,384) | $ (1,487,649) | $ (326,214) |
Non-cash gains: | |||
Receipt of mortgage servicing rights as proceeds from sales of loans | 670,343 | 1,484,629 | 1,158,475 |
Provision for losses relating to representations and warranties provided in loan sales: | |||
Pursuant to loans sales | (4,442) | (25,029) | (19,316) |
Change in fair value of loans and derivatives | |||
Net cash of gain on mortgage loans acquired for sale | 620,813 | 1,379,717 | 1,199,605 |
Net gains on loans acquired for sale: | 25,692 | 87,273 | 379,922 |
PennyMac Financial Services, Inc. [Member] | |||
Change in fair value of loans and derivatives | |||
Net gains on loans acquired for sale: | 4,968 | 6,472 | 11,037 |
Nonaffiliates [Member] | |||
Cash losses: | |||
Hedging activities | 596,295 | 188,733 | (504,506) |
Cash gain, net of effects of cash hedging, on sale of mortgage loans acquired for sale | (600,089) | (1,298,916) | (830,720) |
Non-cash gains: | |||
Recognition of fair value of firm commitment to purchase CRT securities | 0 | 0 | (38,161) |
Receipt of mortgage servicing rights as proceeds from sales of loans | 670,343 | 1,484,629 | 1,158,475 |
Provision for losses relating to representations and warranties provided in loan sales: | |||
Pursuant to loans sales | (4,442) | (25,029) | (19,316) |
Reduction of liability due to change in estimate | 4,227 | 5,812 | 4,457 |
Provision for losses relating to representations and warranties | (215) | (19,217) | (14,859) |
Change in fair value of loans and derivatives | |||
Interest rate lock commitments | (2,928) | (69,935) | 61,232 |
Loans | (4,057) | 31,072 | (12,279) |
Hedging derivatives | (42,330) | (46,832) | 45,197 |
Total non cash portion of gain on mortgage loans acquired for sale | (49,315) | (85,695) | 94,150 |
Net gains on loans acquired for sale: | $ 20,724 | $ 80,801 | $ 368,885 |
Net Interest Expense - Summary
Net Interest Expense - Summary of Net Interest Expense (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Interest income: | |||
Interest income | $ 383,794 | $ 195,239 | $ 222,135 |
Interest expense: | |||
Assets sold under agreements to repurchase | 165,436 | 97,078 | 102,131 |
Interest expense, total | 410,420 | 304,737 | 270,770 |
Net interest expense | (26,626) | (109,498) | (48,635) |
Pennymac Financial Services Inc | |||
Interest income: | |||
Interest income | 0 | 1,280 | 8,418 |
Interest expense: | |||
Assets sold under agreements to repurchase | 0 | 387 | 3,325 |
Nonaffiliates [Member] | |||
Interest income: | |||
Cash and short-term investments | 6,912 | 938 | 3,804 |
Mortgage-backed securities | 133,640 | 36,180 | 59,461 |
Loans acquired for sale at fair value | 103,300 | 125,438 | 103,221 |
Distressed | 219 | 369 | 493 |
Deposits securing CRT arrangements | 21,324 | 559 | 7,012 |
Placement fees relating to custodial funds | 57,961 | 13,366 | 28,804 |
Other | 1,175 | 95 | 313 |
Interest income | 383,794 | 193,959 | 213,717 |
Interest expense: | |||
Assets sold under agreements to repurchase | 165,436 | 97,078 | 102,131 |
Mortgage loan participation purchase and sale agreements | 1,023 | 606 | 902 |
Notes payable secured by credit risk transfer and mortgage servicing assets | 137,021 | 86,753 | 59,261 |
Asset-backed financings at fair value | 53,570 | 15,076 | 10,971 |
Interest shortfall on repayments of loans serviced for Agency securitizations | 15,806 | 64,519 | 71,516 |
Interest on loan impound deposits | 4,196 | 3,571 | 3,817 |
Interest expense, total | 410,420 | 304,350 | 267,445 |
Nonaffiliates [Member] | Convertible Debt [Member] | |||
Interest expense: | |||
Total interest expense | 33,368 | 36,747 | 18,847 |
Interest expense, total | 2,843 | 2,289 | 1,490 |
Nonaffiliates [Member] | Variable Interest Entities [Member] | |||
Interest income: | |||
Loans at fair value | $ 59,263 | $ 17,014 | $ 10,609 |
Share-Based Compensation - Addi
Share-Based Compensation - Additional Information (Detail) - Restricted Stock Units (RSUs) | 12 Months Ended |
Dec. 31, 2022 | |
Minimum [Member] | |
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |
Vesting period | 1 year |
Expected forfeiture rates based on grantees classifications | 0% |
Maximum [Member] | |
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |
Vesting period | 3 years |
Expected forfeiture rates based on grantees classifications | 0.60% |
Share-Based Compensation - Summ
Share-Based Compensation - Summary of Share-Based Compensation Activity (Detail) - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |||
Total share units granted | 285 | 231 | 204 |
Total grant date value of share units | $ 4,451 | $ 4,391 | $ 4,403 |
Total share units vested | 120 | 171 | 272 |
Total share units forfeiture | 13 | 0 | 4 |
Compensation expense relating to share-based grants | $ 4,310 | $ 2,419 | $ 2,294 |
Restricted Stock Units (RSUs) | |||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |||
Total share units granted | 134 | 105 | 92 |
Total grant date value of share units | $ 2,101 | $ 1,992 | $ 1,978 |
Total share units vested | 79 | 123 | 129 |
Total share units forfeiture | 0 | 0 | 4 |
Performance Shares Units [Member] | |||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |||
Total share units granted | 151 | 126 | 112 |
Total grant date value of share units | $ 2,350 | $ 2,399 | $ 2,425 |
Total share units vested | 41 | 48 | 143 |
Total share units forfeiture | 13 | 0 | 0 |
Share-Based Compensation - Su_2
Share-Based Compensation - Summary of Share-Based Compensation Activity (Parenthetical) (Detail) - Performance Shares Units [Member] | 12 Months Ended |
Dec. 31, 2022 shares | |
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |
Share vested due to exceeding performance goal | 39,001 |
Vesting percentage | 32% |
Share-Based Compensation - Su_3
Share-Based Compensation - Summary of Restricted Share Units and Performance Share Units Expected to Vest (Detail) shares in Thousands | 12 Months Ended |
Dec. 31, 2022 $ / shares shares | |
Restricted Share Units [Member] | |
Shares expected to vest: | |
Number of units (in thousands) | shares | 225 |
Grant date average fair value per unit | $ / shares | $ 17.31 |
Average remaining vesting period (in months) | 27 months |
Performance Share Units [Member] | |
Shares expected to vest: | |
Number of units (in thousands) | shares | 219 |
Grant date average fair value per unit | $ / shares | $ 16.91 |
Average remaining vesting period (in months) | 27 months |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Detail) - USD ($) | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2017 | |
Income Tax [Line Items] | |||
Percentage of deduction from taxable income | 20% | ||
Federal net operating loss carryforwards | $ 470,200,000 | $ 466,500,000 | |
Net operating loss carryforwards, maximum percentage of taxable income | 80% | ||
Net operating loss carryforwards, expiration year | 2033 | 2036 | |
Unrecognized tax benefits | $ 0 | $ 0 | |
TRS [Member] | |||
Income Tax [Line Items] | |||
Distribution | $ 30,000,000 |
Income Taxes - Schedule of Tax
Income Taxes - Schedule of Tax Characterization of Distributions (Detail) | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Income Tax Disclosure [Abstract] | |||
Ordinary income | 86% | 100% | 75% |
Long term capital gain | 0% | 0% | 25% |
Return of capital | 14% | 0% | 0% |
Income Taxes - Summary of Compa
Income Taxes - Summary of Company's Provision for (Benefit from) Income Taxes (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Current expense (benefit): | |||
Federal | $ (5) | $ 0 | $ 0 |
State | 0 | 11 | 12 |
Total current expense (benefit) | (5) | 11 | 12 |
Deferred expense (benefit) : | |||
Federal | 113,894 | (14,692) | 20,440 |
State | 22,485 | 2,488 | 6,905 |
Total deferred expense (benefit) | 136,379 | (12,204) | 27,345 |
Total provision for (benefit from) income taxes | $ 136,374 | $ (12,193) | $ 27,357 |
Income Taxes - Reconciliation o
Income Taxes - Reconciliation of Company's Provision for (Benefit from) Income Taxes (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Income Tax Disclosure [Abstract] | |||
Federal income tax expense at statutory tax rate, Amount | $ 13,248 | $ 9,379 | $ 16,743 |
Effect of non-taxable REIT loss (income), Amount | 136,465 | (46,193) | 15,076 |
State income taxes, net of federal benefit, Amount | 27,573 | (7,175) | 5,370 |
Convertible debt permanent adjustment | 6,786 | 2,215 | (3,446) |
Valuation allowance, Amount | (34,121) | 34,011 | (13,502) |
Other, Amount | (5) | 0 | 224 |
Provision for (benefit from) income taxes | $ 136,374 | $ (12,193) | $ 27,357 |
Federal income tax expense at statutory tax rate, Rate | 21% | 21% | 21% |
Effect of non-taxable REIT loss (income), Rate | 216.30% | (103.40%) | 18.90% |
State income taxes, net of federal benefit, Rate | 43.70% | (16.10%) | 6.70% |
Convertible debt permanent adjustment | (10.80%) | (5.00%) | 4.30% |
Valuation allowance, Rate | (54.00%) | 76.20% | (16.90%) |
Other, Rate | 0% | 0% | 0.30% |
Provision for (benefit from) income taxes | 216.20% | (27.30%) | 34.30% |
Income Taxes - Components of Pr
Income Taxes - Components of Provision for (Benefit from) Deferred Income Taxes (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Income Tax Disclosure [Abstract] | |||
Real estate valuation loss | $ 66 | $ 758 | $ 437 |
Mortgage servicing rights | 157,559 | 52,818 | 27,179 |
Net operating loss carryforward | 4,075 | (60,314) | 31,622 |
Liability for losses under representations and warranties | 269 | (4,435) | (3,486) |
Excess interest expense disallowance | 9,134 | (35,769) | (15,749) |
Other | (603) | 727 | 844 |
Valuation allowance, Amount | (34,121) | 34,011 | (13,502) |
Total deferred expense (benefit) | $ 136,379 | $ (12,204) | $ 27,345 |
Income Taxes - Components of In
Income Taxes - Components of Income Taxes Payable (Detail) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Income Tax Disclosure [Abstract] | ||
Taxes currently receivable | $ (1,820) | $ (7,620) |
Deferred income taxes payable | 153,598 | 17,218 |
Income taxes payable | $ 151,778 | $ 9,598 |
Income Taxes - Summary of Defer
Income Taxes - Summary of Deferred Income Tax Assets and Liabilities (Detail) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Deferred income tax assets: | ||
Net operating loss carryforward | $ 121,853 | $ 125,929 |
Excess interest expense disallowance | 57,618 | 66,752 |
Liability for losses under representations and warranties | 9,552 | 9,821 |
REO valuation loss | 178 | 244 |
Other | 537 | 0 |
Gross deferred tax assets | 189,738 | 202,746 |
Valuation allowance | 0 | (34,121) |
Deferred tax assets after valuation allowance | 189,738 | 168,625 |
Deferred income tax liabilities: | ||
Mortgage servicing rights | 341,993 | 184,433 |
Other | 1,343 | 1,410 |
Gross deferred tax liabilities | 343,336 | 185,843 |
Net deferred income tax liability | $ 153,598 | $ 17,218 |
Earnings Per Common Share - Add
Earnings Per Common Share - Additional Information (Detail) | May 01, 2020 |
Exchangeable Senior Notes Due Two Thousand And Twenty [Member] | |
Debt Instrument [Line Items] | |
Percentage of interest on debt | 5.375% |
Earnings Per Common Share - Sum
Earnings Per Common Share - Summary of Basic and Diluted Earnings per Share (Detail) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Earnings Per Share [Abstract] | |||
Net (loss) income | $ (73,287) | $ 56,854 | $ 52,373 |
Dividends on preferred shares | (41,819) | (30,891) | (24,938) |
Effect of participating securities—share-based compensation awards | (408) | (318) | (287) |
Net (loss) income attributable to common shareholders | $ (115,514) | $ 25,645 | $ 27,148 |
Weighted average basic shares outstanding | 91,434 | 97,402 | 99,373 |
Dilutive securities‒shares issuable under share-based compensation plan | 0 | 0 | 0 |
Diluted weighted average shares outstanding | 91,434 | 97,402 | 99,373 |
Basic | $ (1.26) | $ 0.26 | $ 0.27 |
Diluted | $ (1.26) | $ 0.26 | $ 0.27 |
Earnings Per Common Share - S_2
Earnings Per Common Share - Summary of Potentially Dilutive Shares Excluded from Computation of Diluted Earnings Per Share (Detail) - shares shares in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Share-based Compensation Plan [Member] | |||
Antidilutive Securities Excluded From Computation Of Earnings Per Share [Line Items] | |||
Potentially dilutive stock excluded from the diluted earnings per share | 136 | 162 | 172 |
Shares Issuable Pursuant to Exchange of Exchangeable Senior Notes [Member] | |||
Antidilutive Securities Excluded From Computation Of Earnings Per Share [Line Items] | |||
Potentially dilutive stock excluded from the diluted earnings per share | 24,328 | 0 | 2,529 |
Segments - Additional Informati
Segments - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2022 Segment | |
Segment Reporting [Abstract] | |
Number of business segments | 4 |
Segments - Financial Highlights
Segments - Financial Highlights by Operating Segment (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Net investment income: | |||
Net loan servicing fees | $ 909,551 | $ (36,022) | $ 153,696 |
Net (losses) gains on investments and financings | (658,787) | 304,079 | (170,885) |
Net gains on loans acquired for sale: | 25,692 | 87,273 | 379,922 |
Net interest expense: | |||
Interest income | 383,794 | 195,239 | 222,135 |
Interest expense | 410,420 | 304,737 | 270,770 |
Net interest expense | (26,626) | (109,498) | (48,635) |
Other | 53,941 | 174,465 | 155,253 |
Net investment income | 303,771 | 420,297 | 469,351 |
Expenses: | |||
Loan fulfillment and servicing fees payable to PFSI | 149,906 | 259,585 | 289,381 |
Management fees | 31,065 | 37,801 | 34,538 |
Other | 59,713 | 78,250 | 65,702 |
Total expenses | 240,684 | 375,636 | 389,621 |
Pretax (loss) income | 63,087 | 44,661 | 79,730 |
Total assets at end of year | 13,921,564 | 13,772,708 | 11,492,011 |
Interest income | 383,794 | 195,239 | 222,135 |
Interest expense | 410,420 | 304,737 | 270,770 |
Net interest expense | (26,626) | (109,498) | (48,635) |
Credit Sensitive Strategies [Member] | |||
Net investment income: | |||
Net loan servicing fees | 0 | 0 | 0 |
Net (losses) gains on investments and financings | (93,739) | 376,725 | (237,049) |
Net gains on loans acquired for sale: | 5 | (2) | (43,813) |
Net interest expense: | |||
Interest income | 38,810 | 2,739 | 8,902 |
Interest expense | 52,385 | 59,545 | 39,237 |
Net interest expense | (13,575) | (56,806) | (30,335) |
Other | 537 | 3,204 | 5,857 |
Net investment income | (106,772) | 323,121 | (305,340) |
Expenses: | |||
Loan fulfillment and servicing fees payable to PFSI | 219 | 363 | 807 |
Management fees | 0 | 0 | 0 |
Other | 5,575 | 16,115 | 10,996 |
Total expenses | 5,794 | 16,478 | 11,803 |
Pretax (loss) income | (112,566) | 306,643 | (317,143) |
Total assets at end of year | 1,614,977 | 1,848,294 | 2,920,558 |
Interest income | 38,810 | 2,739 | 8,902 |
Interest expense | 52,385 | 59,545 | 39,237 |
Net interest expense | (13,575) | (56,806) | (30,335) |
Interest Rate Sensitive Strategies [Member] | |||
Net investment income: | |||
Net loan servicing fees | 909,551 | (36,022) | 153,696 |
Net (losses) gains on investments and financings | (565,048) | (72,646) | 66,164 |
Net gains on loans acquired for sale: | 0 | 0 | 0 |
Net interest expense: | |||
Interest income | 238,527 | 64,528 | 108,036 |
Interest expense | 285,304 | 160,525 | 153,338 |
Net interest expense | (46,777) | (95,997) | (45,302) |
Other | 0 | 0 | |
Net investment income | 297,726 | (204,665) | 174,558 |
Expenses: | |||
Loan fulfillment and servicing fees payable to PFSI | 81,696 | 80,295 | 66,374 |
Management fees | 0 | 0 | 0 |
Other | 8,228 | 5,105 | 2,487 |
Total expenses | 89,924 | 85,400 | 68,861 |
Pretax (loss) income | 207,802 | (290,065) | 105,697 |
Total assets at end of year | 9,991,621 | 7,363,878 | 4,593,127 |
Interest income | 238,527 | 64,528 | 108,036 |
Interest expense | 285,304 | 160,525 | 153,338 |
Net interest expense | (46,777) | (95,997) | (45,302) |
Correspondent production [Member] | |||
Net investment income: | |||
Net loan servicing fees | 0 | 0 | 0 |
Net (losses) gains on investments and financings | 0 | ||
Net gains on loans acquired for sale: | 25,687 | 87,275 | 423,735 |
Net interest expense: | |||
Interest income | 103,065 | 125,056 | 102,779 |
Interest expense | 70,531 | 84,667 | 76,892 |
Net interest expense | 32,534 | 40,389 | 25,887 |
Other | 52,857 | 171,261 | 147,600 |
Net investment income | 111,078 | 298,925 | 597,222 |
Expenses: | |||
Loan fulfillment and servicing fees payable to PFSI | 67,991 | 178,927 | 222,200 |
Management fees | 0 | 0 | 0 |
Other | 15,530 | 33,062 | 30,383 |
Total expenses | 83,521 | 211,989 | 252,583 |
Pretax (loss) income | 27,557 | 86,936 | 344,639 |
Total assets at end of year | 1,936,797 | 4,325,750 | 3,781,010 |
Interest income | 103,065 | 125,056 | 102,779 |
Interest expense | 70,531 | 84,667 | 76,892 |
Net interest expense | 32,534 | 40,389 | 25,887 |
Corporate [Member] | |||
Net investment income: | |||
Net loan servicing fees | 0 | 0 | 0 |
Net (losses) gains on investments and financings | 0 | ||
Net gains on loans acquired for sale: | 0 | 0 | 0 |
Net interest expense: | |||
Interest income | 3,392 | 2,916 | 2,418 |
Interest expense | 2,200 | 0 | 1,303 |
Net interest expense | 1,192 | 2,916 | 1,115 |
Other | 547 | 1,796 | |
Net investment income | 1,739 | 2,916 | 2,911 |
Expenses: | |||
Loan fulfillment and servicing fees payable to PFSI | 0 | 0 | 0 |
Management fees | 31,065 | 37,801 | 34,538 |
Other | 30,380 | 23,968 | 21,836 |
Total expenses | 61,445 | 61,769 | 56,374 |
Pretax (loss) income | (59,706) | (58,853) | (53,463) |
Total assets at end of year | 378,169 | 234,786 | 197,316 |
Interest income | 3,392 | 2,916 | 2,418 |
Interest expense | 2,200 | 0 | 1,303 |
Net interest expense | $ 1,192 | $ 2,916 | $ 1,115 |
Regulatory Capital and Liquid_3
Regulatory Capital and Liquidity Requirements - Additional Information (Detail) | Dec. 31, 2022 USD ($) |
Minimum [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Basis point | 6% |
Fannie Mae Or Freddie Mac Mortgage Loans [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Minimum net worth amount | $ 2,500,000 |
Basis point | 0.25% |
Fannie Mae Or Freddie Mac Mortgage Loans [Member] | Unpaid Principal Balance [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Basis point | 2% |
Liquidity requirement basis point | 0.035% |
Fannie Mae Or Freddie Mac Mortgage Loans [Member] | Nonperforming mortgage loans [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Basis point | 0.70% |
Fannie Mae Or Freddie Mac Mortgage Loans [Member] | Minimum [Member] | Nonperforming mortgage loans [Member] | |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Basis point | 6% |
Regulatory Capital and Liquid_4
Regulatory Capital and Liquidity Requirements - Summary of Capital and Liquidity Amounts and Requirements by Agencies (Detail) - Fannie Mae and Freddie Mac [Member] $ in Thousands | Dec. 31, 2022 USD ($) | Dec. 31, 2021 USD ($) | |
Capital Requirements By Agencies [Line Items] | |||
Net worth, Actual | [1] | $ 1,138,331 | $ 938,218 |
Net worth, Required | [1] | $ 586,436 | $ 557,229 |
Tangible net worth / total assets ratio, Actual | [1] | 16 | 12 |
Tangible net worth / total assets ratio, Required | [1] | 6 | 6 |
Liquidity, Actual | [1] | $ 343,286 | $ 108,536 |
Liquidity, Required | [1] | $ 79,372 | $ 74,771 |
[1]Calculated in accordance with the Agencies’ requirements |
Parent Company Information - Su
Parent Company Information - Summary of Financial Covenants that Include a Minimum Tangible Net Worth (Detail) $ in Thousands | Dec. 31, 2022 USD ($) | |
PennyMac Operating Partnership, L.P. [Member] | ||
Debt covenant requirement | $ 700,000 | |
Calculated balance | 2,018,327 | [1] |
PennyMac Holdings, LLC [Member] | ||
Debt covenant requirement | 250,000 | |
Calculated balance | 836,113 | [1] |
PennyMac Corp. [Member] | ||
Debt covenant requirement | 300,000 | |
Calculated balance | 1,141,891 | [1] |
PennyMac Mortgage Investment Trust [Member] | ||
Debt covenant requirement | 1,250,000 | |
Calculated balance | $ 1,962,815 | [1] |
[1] Calculated in accordance with the lenders’ requirements. |
Parent Company Information - Co
Parent Company Information - Condensed Balance Sheets (Detail) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Assets | ||||
Short-term investments | $ 252,271 | $ 167,999 | ||
Other assets | 134,991 | 286,299 | ||
Total assets | 13,921,564 | 13,772,708 | $ 11,492,011 | |
Liabilities | ||||
Accounts payable and accrued liabilities | 160,212 | 96,156 | ||
Total liabilities | 11,958,749 | 11,405,190 | ||
Shareholders' Equity | 1,962,815 | 2,367,518 | $ 2,296,859 | $ 2,450,915 |
Total liabilities and shareholders’ equity | 13,921,564 | 13,772,708 | ||
PennyMac Mortgage Investment Trust [Member] | ||||
Assets | ||||
Short-term investments | 507 | 3,542 | ||
Investments in subsidiaries | 2,220,692 | 2,518,953 | ||
Due from subsidiaries | 150 | 89 | ||
Other assets | 904 | 0 | ||
Total assets | 2,222,253 | 2,522,584 | ||
Liabilities | ||||
Dividends payable | 35,658 | 44,764 | ||
Capital notes due to subsidiaries | (200,780) | (100,679) | ||
Accounts payable and accrued liabilities | 342 | 1,233 | ||
Due to PennyMac Financial Services, Inc. | 280 | 421 | ||
Due to subsidiaries | 1,586 | 244 | ||
Total liabilities | 238,646 | 147,341 | ||
Shareholders' Equity | 1,983,607 | 2,375,243 | ||
Total liabilities and shareholders’ equity | $ 2,222,253 | $ 2,522,584 |
Parent Company Information - _2
Parent Company Information - Condensed Statements of Operations (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Net investment income | |||
Other | $ 1,360 | $ 718 | $ 2,516 |
Expenses | |||
Interest expense | 410,420 | 304,737 | 270,770 |
Other | 18,570 | 13,944 | 11,517 |
Total expenses | 240,684 | 375,636 | 389,621 |
Income before (benefit from) provision for income taxes and distribution in excess of earnings | 63,087 | 44,661 | 79,730 |
(Benefit from) provision for income taxes | (136,374) | 12,193 | (27,357) |
Net income (loss) | (73,287) | 56,854 | 52,373 |
PennyMac Mortgage Investment Trust [Member] | |||
Net investment income | |||
Dividends from subsidiaries | 214,885 | 213,794 | 176,216 |
Intercompany interest | 8 | 42 | 140 |
Other | 0 | 0 | 475 |
Total income | 214,893 | 213,836 | 176,831 |
Expenses | |||
Interest expense | 14,244 | 3,663 | 1,509 |
Other | 71 | 85 | 62 |
Total expenses | 14,315 | 3,748 | 1,571 |
Income before (benefit from) provision for income taxes and distribution in excess of earnings | 200,578 | 210,088 | 175,260 |
(Benefit from) provision for income taxes | (5) | 11 | 13 |
Income before equity in undistributed earnings of subsidiaries | 200,583 | 210,077 | 175,247 |
Distributions in excess of earnings of subsidiaries | (251,409) | (133,576) | (139,620) |
Net income (loss) | $ (50,826) | $ 76,501 | $ 35,627 |
Parent Company Information - _3
Parent Company Information - Condensed Statements of Cash Flows (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Cash flows from operating activities | |||
Net income (loss) | $ (73,287) | $ 56,854 | $ 52,373 |
Adjustments to reconcile net (loss) income to net cash provided by operating activities: | |||
(Increase) decrease in other assets | (189,551) | (318,237) | 604,211 |
Increase (decrease) in accounts payable and accrued liabilities | 73,162 | (27,320) | 34,836 |
(Decrease) increase in due to PennyMac Financial Services, Inc. | (3,719) | (46,914) | 38,406 |
Net cash provided by (used in) operating activities | 1,784,471 | (2,819,714) | 671,656 |
Cash flows from investing activities | |||
Net increase in short-term investments | (84,272) | (40,704) | (36,459) |
Net cash (used in) provided by investing activities | (1,867,474) | 1,093,013 | (15,367) |
Cash flows from financing activities | |||
Issuance of preferred shares | 0 | 250,000 | 0 |
Payment of issuance costs | 0 | 0 | (57) |
Issuance of Common Shares | 0 | 0 | 5,654 |
Payment of vested share-based compensation tax withholdings | (522) | (730) | (1,629) |
Payment of dividends to preferred shareholders | (41,819) | (30,146) | (24,945) |
Payment of dividends to common shareholders | (173,546) | (183,973) | (151,580) |
Repurchase of common shares | (87,992) | (56,855) | (37,267) |
Net cash provided by (used in) financing activities | 135,886 | 1,727,980 | (702,641) |
Net increase (decrease) in cash | 52,883 | 1,279 | (46,352) |
Cash at beginning of year | 58,983 | 57,704 | 104,056 |
Cash at end of year | 111,866 | 58,983 | 57,704 |
Non-cash financing activities: | |||
Dividends declared, not paid | 35,658 | 44,764 | 46,093 |
Preferred Shares [Member] | |||
Cash flows from operating activities | |||
Net income (loss) | 0 | 0 | 0 |
Cash flows from financing activities | |||
Payment of issuance costs | 0 | (8,225) | 0 |
PennyMac Mortgage Investment Trust [Member] | |||
Cash flows from operating activities | |||
Net income (loss) | (50,826) | 76,501 | 35,627 |
Adjustments to reconcile net (loss) income to net cash provided by operating activities: | |||
Distributions in excess of earnings of subsidiaries | 251,409 | 133,576 | 139,620 |
Decrease in due from subsidiaries | 753 | 967 | 697 |
(Increase) decrease in other assets | (903) | 571 | 24 |
Increase (decrease) in accounts payable and accrued liabilities | (891) | 854 | (1,266) |
Decrease (increase) in due from PennyMac Financial Services, Inc. | (141) | 48 | (26) |
(Decrease) increase in due to PennyMac Financial Services, Inc. | 1,342 | 297 | 27 |
Net cash provided by (used in) operating activities | 200,743 | 212,814 | 174,703 |
Cash flows from investing activities | |||
Increase in investment in subsidiaries | 0 | (242,125) | (5,596) |
Net increase in short-term investments | 3,035 | 2,940 | (3,663) |
Net cash (used in) provided by investing activities | 3,035 | (239,185) | (9,259) |
Cash flows from financing activities | |||
Net increase in intercompany unsecured note payable | 100,101 | 56,300 | 44,380 |
Issuance of preferred shares | 0 | 250,000 | 0 |
Payment of issuance costs | 0 | 0 | (57) |
Issuance of Common Shares | 0 | 0 | 5,654 |
Payment of vested share-based compensation tax withholdings | (522) | (730) | (1,629) |
Payment of dividends to preferred shareholders | (41,819) | (30,146) | (24,945) |
Payment of dividends to common shareholders | (173,546) | (183,973) | (151,580) |
Repurchase of common shares | (87,992) | (56,855) | (37,267) |
Net cash provided by (used in) financing activities | (203,778) | 26,371 | (165,444) |
Net increase (decrease) in cash | 0 | 0 | 0 |
Cash at beginning of year | 0 | 0 | 0 |
Cash at end of year | 0 | 0 | 0 |
Non-cash investing activities: | |||
Investment in subsidiary pursuant to share based compensation plan | 4,309 | 2,418 | 2,289 |
Non-cash financing activities: | |||
Contribution of equity to subsidiary pursuant to share based compensation plan | 4,309 | 2,418 | 2,289 |
Dividends declared, not paid | 35,658 | 44,764 | 46,093 |
PennyMac Mortgage Investment Trust [Member] | Preferred Shares [Member] | |||
Cash flows from financing activities | |||
Payment of issuance costs | $ 0 | $ (8,225) | $ 0 |