Document_and_Entity_Informatio
Document and Entity Information | 3 Months Ended | |
Mar. 31, 2015 | 7-May-15 | |
Entity Registrant Name | PENNYMAC FINANCIAL SERVICES, INC. | |
Entity Central Index Key | 1568669 | |
Document Type | 10-Q | |
Document Period End Date | 31-Mar-15 | |
Amendment Flag | FALSE | |
Current Fiscal Year End Date | -28 | |
Entity Voluntary Filers | No | |
Entity Current Reporting Status | Yes | |
Entity Filer Category | Accelerated Filer | |
Document Fiscal Year Focus | 2015 | |
Document Fiscal Period Focus | Q1 | |
Class A Common Stock | ||
Entity Common Stock, Shares Outstanding | 21,657,405 | |
Class B Common Stock | ||
Entity Common Stock, Shares Outstanding | 53 |
CONSOLIDATED_BALANCE_SHEETS
CONSOLIDATED BALANCE SHEETS (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
ASSETS | ||
Cash | $82,032 | $76,256 |
Short-term investments at fair value | 30,275 | 21,687 |
Mortgage loans held for sale at fair value (includes $976,772 and $512,350 pledged to secure mortgage loans sold under agreements to repurchase; and $148,133 and $- pledged to secure mortgage loan participation and sale agreement) | 1,353,944 | 1,147,884 |
Derivative assets | 61,064 | 38,457 |
Servicing advances, net (includes valuation allowance of $18,686 at March 31, 2015; and $18,686 pledged to secure note payable at December 31, 2014) | 242,397 | 228,630 |
Mortgage servicing rights (includes $325,383 and $224,913 mortgage servicing rights at fair value; $392,254 and $258,241 pledged to secure note payable; and $191,166 and $138,723 subject to excess servicing spread financing) | 790,411 | 730,828 |
Furniture, fixtures, equipment and building improvements, net | 11,118 | 11,339 |
Capitalized software, net | 559 | 567 |
Deferred tax asset | 42,141 | 46,038 |
Loans eligible for repurchase | 112,201 | 72,539 |
Other | 40,524 | 37,858 |
Total assets | 2,858,001 | 2,507,125 |
LIABILITIES | ||
Mortgage loans sold under agreements to repurchase | 992,187 | 822,621 |
Mortgage loans participation and sale agreement | 190,762 | 143,638 |
Note payable | 134,665 | 146,855 |
Derivative liabilities | 10,903 | 6,513 |
Accounts payable and accrued expenses | 86,945 | 62,715 |
Mortgage servicing liabilities at fair value | 6,529 | 6,306 |
Liability for loans eligible for repurchase | 112,201 | 72,539 |
Liability for losses under representations and warranties | 14,689 | 13,259 |
Total liabilities | 2,005,165 | 1,699,859 |
Commitments and contingencies | ||
STOCKHOLDERS' EQUITY | ||
Additional paid-in capital | 164,656 | 162,720 |
Retained earnings | 60,270 | 51,242 |
Total stockholders' equity attributable to PennyMac Financial Services, Inc. common stockholders | 224,928 | 213,964 |
Noncontrolling interest in Private National Mortgage Acceptance Company, LLC | 627,908 | 593,302 |
Total stockholders' equity | 852,836 | 807,266 |
Total liabilities and stockholders' equity | 2,858,001 | 2,507,125 |
Private National Mortgage Acceptance Company [Member] | ||
LIABILITIES | ||
Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | 71,094 | 75,024 |
Class A Common Stock | ||
STOCKHOLDERS' EQUITY | ||
Common stock | 2 | 2 |
Class B Common Stock | ||
STOCKHOLDERS' EQUITY | ||
Common stock | ||
Investment Funds | ||
ASSETS | ||
Carried Interest due from Investment Funds | 68,531 | 67,298 |
Receivable from Investment Funds | 2,488 | 2,291 |
LIABILITIES | ||
Payable to affiliates | 32,011 | 35,908 |
PMT | ||
ASSETS | ||
Investment in PennyMac Mortgage Investment Trust at fair value | 1,597 | 1,582 |
Receivable from Investment Funds | 18,719 | 23,871 |
LIABILITIES | ||
Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust | 222,309 | 191,166 |
Payable to affiliates | $130,870 | $123,315 |
CONSOLIDATED_BALANCE_SHEETS_Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, except Share data, unless otherwise specified | ||
Mortgage loans held for sale, pledged to secure mortgage loans sold under agreements to repurchase at fair value | $1,132,568 | $976,772 |
Mortgage loans held for sale, pledged to secure mortgage loans participation and sale agreement at fair value | 196,716 | 148,133 |
Servicing advances, net, valuation allowance | 20,197 | 18,686 |
Mortgage servicing rights, at fair value | 361,413 | 325,383 |
Mortgage servicing rights, pledged to secure note payable at lower of amortized cost or fair value | 413,582 | 392,254 |
Mortgage servicing rights, pledged to secure excess servicing spread financing | $222,309 | $191,166 |
Class A Common Stock | ||
Common stock, shares authorized | 200,000,000 | 200,000,000 |
Common stock, par value (in dollars per share) | $0.00 | $0.00 |
Common stock, shares issued | 21,657,017 | 20,812,777 |
Common stock, shares outstanding | 21,657,017 | 21,577,686 |
Class B Common Stock | ||
Common stock, shares authorized | 1,000 | 1,000 |
Common stock, par value (in dollars per share) | $0.00 | $0.00 |
Common stock, shares issued | 54 | 54 |
Common stock, shares outstanding | 54 | 54 |
CONSOLIDATED_STATEMENTS_OF_INC
CONSOLIDATED STATEMENTS OF INCOME (USD $) | 3 Months Ended | |
In Thousands, except Share data, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Net gains (losses) on mortgage loans held for sale at fair value: | ||
From non-affiliates | $76,667 | $36,436 |
Net gains on mortgage loans held for sale at fair value | 75,378 | 34,538 |
Loan origination fees | 16,682 | 6,880 |
Loan servicing fees | ||
From non-affiliates and affiliates | 50,101 | 36,100 |
Ancillary and other fees | 11,185 | 5,151 |
Net servicing fees | 72,924 | 57,319 |
Amortization, impairment and change in fair value of mortgage servicing rights: | ||
Related to servicing for non-affiliates | -53,684 | -18,347 |
Amortization, impairment and change in fair value of mortgage servicing rights | -46,148 | -13,555 |
Net loan servicing fees | 26,776 | 43,764 |
Management fees: | ||
Management fees | 8,489 | 10,109 |
Net interest expense: | ||
Interest income | 8,933 | 4,110 |
Interest expense: | ||
Payable to non-affiliates | 8,077 | 3,524 |
Interest expense | 11,829 | 6,386 |
Net interest expense: | -2,896 | -2,276 |
Change in fair value of investment in and dividends received from affiliate | 1,786 | 1,418 |
Other | 1,679 | 1,303 |
Total net revenue | 140,314 | 105,492 |
Expenses | ||
Compensation | 58,144 | 42,886 |
Servicing | 9,735 | 3,090 |
Technology | 4,938 | 2,823 |
Professional services | 2,833 | 2,199 |
Loan origination | 4,351 | 1,417 |
Other | 7,075 | 4,016 |
Total expenses | 87,076 | 56,431 |
Income before provision for income taxes | 53,238 | 49,061 |
Provision for income taxes | 6,114 | 5,523 |
Net income | 47,124 | 43,538 |
Less: Net income attributable to noncontrolling interest | 38,096 | 35,566 |
Net income attributable to PennyMac Financial Services, Inc. common stockholders | 9,028 | 7,972 |
Earnings per common share | ||
Basic (in dollars per share) | $0.42 | $0.38 |
Diluted (in dollars per share) | $0.42 | $0.38 |
Weighted-average common shares outstanding | ||
Basic (in shares) | 21,593 | 20,866 |
Diluted (in shares) | 76,050 | 75,952 |
PMT | ||
Net gains (losses) on mortgage loans held for sale at fair value: | ||
Recapture payable to PennyMac Mortgage Investment Trust | -1,289 | -1,898 |
Fulfillment fees from PennyMac Mortgage Investment Trust | 12,866 | 8,902 |
Loan servicing fees | ||
From non-affiliates and affiliates | 10,670 | 14,591 |
Amortization, impairment and change in fair value of mortgage servicing rights: | ||
Amortization, impairment and change in fair value of mortgage servicing rights | 7,536 | 4,792 |
Management fees: | ||
Management fees | 7,003 | 8,074 |
Interest expense: | ||
Payable to non-affiliates | 3,752 | 2,862 |
Change in fair value of investment in and dividends received from affiliate | 107 | 115 |
Investment Funds | ||
Loan servicing fees | ||
From non-affiliates and affiliates | 968 | 1,477 |
Management fees: | ||
Management fees | 1,486 | 2,035 |
Carried Interest from Investment Funds | $1,233 | $2,157 |
CONSOLIDATED_STATEMENTS_OF_CHA
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (USD $) | Class A Common Stock | Additional Paid-in Capital [Member] | Retained Earnings [Member] | Noncontrolling Interest [Member] | Total |
In Thousands, except Share data, unless otherwise specified | |||||
Balance at Dec. 31, 2013 | $2 | $153,000 | $14,400 | $461,802 | $629,204 |
Balance (in shares) at Dec. 31, 2013 | 20,813,000 | ||||
Changes in members' equity | |||||
Net income | 7,972 | 35,566 | 43,538 | ||
Stock and unit-based compensation | 555 | 1,793 | 2,348 | ||
Distributions | -6 | -6 | |||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. | 66 | 563 | -563 | 563 | |
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. (in shares) | 66,709 | ||||
Tax effect of exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. | -6 | -6 | |||
Balance at Mar. 31, 2014 | 2 | 154,112 | 22,372 | 498,592 | 675,078 |
Balance (in shares) at Mar. 31, 2014 | 20,879,000 | ||||
Balance at Dec. 31, 2014 | 2 | 162,720 | 51,242 | 593,302 | 807,266 |
Balance (in shares) at Dec. 31, 2014 | 21,578,000 | ||||
Changes in members' equity | |||||
Net income | 9,028 | 38,096 | 47,124 | ||
Stock and unit-based compensation | 1,124 | 2,824 | 3,948 | ||
Stock and unit-based compensation (in shares) | 31,000 | ||||
Issuance of common stock in settlement of director fees | 74 | 74 | |||
Issuance of common stock in settlement of directors' fees (in shares) | 4,000 | ||||
Distributions | -5,522 | -5,522 | |||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. | 44 | 792 | -792 | 792 | |
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. (in shares) | 44,000 | ||||
Tax effect of exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. | -54 | -54 | |||
Balance at Mar. 31, 2015 | $2 | $164,656 | $60,270 | $627,908 | $852,836 |
Balance (in shares) at Mar. 31, 2015 | 21,657,000 |
CONSOLIDATED_STATEMENTS_OF_CAS
CONSOLIDATED STATEMENTS OF CASH FLOWS (USD $) | 3 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | |
Cash flow from operating activities | ||
Net income | $47,124,000 | $43,538,000 |
Adjustments to reconcile net income to net cash (used in) provided by operating activities: | ||
Net gains on mortgage loans held for sale at fair value | -75,378,000 | -34,538,000 |
Amortization, impairment and change in fair value of mortgage servicing rights | 46,148,000 | 13,555,000 |
Accrual of interest on excess servicing spread financing | -3,752,000 | -2,862,000 |
Amortization of debt issuance costs and commitment fees relating to financing facilities | 1,708,000 | 1,213,000 |
Stock and unit-based compensation expense | -3,948,000 | -2,473,000 |
Provision for servicing advance losses | 1,510,000 | |
Depreciation and amortization | 394,000 | 286,000 |
Originations of mortgage loans held for sale, net | -904,213,000 | -317,915,000 |
Purchase of mortgage loans from Ginnie Mae securities for modification and subsequent sale | -84,488,000 | -26,827,000 |
Capitalization of interest on mortgage loans held for sale at fair value | 1,154,000 | |
Sale and principal payments of mortgage loans held for sale | 5,763,272,000 | 3,292,398,000 |
Repurchase of loans subject to representations and warranties | -1,294,000 | -1,970,000 |
Increase in servicing advances | -15,277,000 | -17,067,000 |
Decrease in deferred tax asset | 4,212,000 | 5,520,000 |
Decrease in payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | -4,299,000 | |
Increase in other assets | -5,315,000 | -6,664,000 |
Increase in accounts payable and accrued expenses | -24,307,000 | -3,263,000 |
Net cash used in operating activities | -168,494,000 | -170,355,000 |
Cash flow from investing activities | ||
Decrease (increase) in short-term investments | -8,588,000 | 101,625,000 |
Purchase of mortgage servicing rights | -63,137,000 | -25,866,000 |
Settlements of derivative financial instruments used for hedging | -15,404,000 | |
Purchase of furniture, fixtures, equipment and building improvements | -660,000 | -2,084,000 |
Acquisition of capitalized software | -77,000 | -35,000 |
(Increase) decrease in margin deposits and restricted cash | -1,328,000 | -2,462,000 |
Net cash provided by (used in) investing activities | 58,386,000 | -71,178,000 |
Cash flow from financing activities | ||
Sale of loans under agreements to repurchase | 5,431,114,000 | 3,161,215,000 |
Repurchase of loans sold under agreements to repurchase | -5,261,548,000 | -3,065,070,000 |
Issuance of mortgage loan participation certificates | -3,387,582,000 | |
Repayment of mortgage loan participation certificates | -3,340,458,000 | |
Repayments of note payable | -12,190,000 | -3,335,000 |
Issuance of excess servicing spread financing to PennyMac Mortgage Investment Trust | -46,412,000 | -20,526,000 |
Repayment of excess servicing spread financing to PennyMac Mortgage Investment Trust | -12,731,000 | -7,413,000 |
Distributions to Private National Mortgage Acceptance Company, LLC partners | -5,522,000 | -6,000 |
Decrease in leases payable | 3,000 | 3,000 |
Net cash provided by financing activities | 232,656,000 | 105,914,000 |
Net increase in cash | 5,776,000 | 6,737,000 |
Cash at beginning of period | 76,256,000 | 30,639,000 |
Cash at end of period | 82,032,000 | 37,376,000 |
Investment Funds | ||
Adjustments to reconcile net income to net cash (used in) provided by operating activities: | ||
Accrual of servicing rebate to Investment Funds | -104,000 | -152,000 |
Carried Interest from Investment Funds | -1,233,000 | -2,157,000 |
(Increase) decrease in receivable from affiliates | -301,000 | -299,000 |
Increase (decrease) in payable to affiliate | -3,897,000 | 169,000 |
PMT | ||
Adjustments to reconcile net income to net cash (used in) provided by operating activities: | ||
Amortization, impairment and change in fair value of mortgage servicing rights | -7,536,000 | -4,792,000 |
Change in fair value of investment in common shares of PennyMac Mortgage Investment Trust | -15,000 | -71,000 |
Purchase of mortgage loans held for sale from PennyMac Mortgage Investment Trust | -4,989,838,000 | -3,130,530,000 |
Sale of mortgage loans held for sale to Penny Mac Mortgage Investment Trust | 8,405,000 | |
(Increase) decrease in receivable from affiliates | 5,878,000 | -1,493,000 |
Increase (decrease) in payable to affiliate | $7,446,000 | $3,747,000 |
Organization_and_Basis_of_Pres
Organization and Basis of Presentation | 3 Months Ended | |||
Mar. 31, 2015 | ||||
Organization and Basis of Presentation | ||||
Organization and Basis of Presentation | Note 1—Organization and Basis of Presentation | |||
PennyMac Financial Services, Inc. (“PFSI” or the “Company”) was formed as a Delaware corporation on December 31, 2012. Pursuant to a reorganization, the Company became a holding corporation and its primary asset is an equity interest in Private National Mortgage Acceptance Company, LLC (“PennyMac”). The Company is the managing member of PennyMac and operates and controls all of the businesses and affairs of PennyMac subject to the consent rights of other members under certain circumstances, and consolidates the financial results of PennyMac and its subsidiaries. | ||||
PennyMac is a Delaware limited liability company which, through its subsidiaries, engages in mortgage banking and investment management activities. PennyMac’s mortgage banking activities consist of residential mortgage loan production (including correspondent production and consumer direct lending) and mortgage loan servicing. PennyMac’s investment management activities and a portion of its loan servicing activities are conducted on behalf of investment vehicles that invest in residential mortgage loans and related assets. PennyMac’s primary wholly owned subsidiaries are: | ||||
· | PNMAC Capital Management, LLC (“PCM”)—a Delaware limited liability company registered with the Securities and Exchange Commission (“SEC”) as an investment adviser under the Investment Advisers Act of 1940, as amended. PCM enters into investment management agreements with entities that invest in residential mortgage loans and related assets. | |||
Presently, PCM has management agreements with PennyMac Mortgage Investment Trust (“PMT”), a publicly held real estate investment trust, PNMAC Mortgage Opportunity Fund, LLC and PNMAC Mortgage Opportunity Fund, L.P., (the “Master Fund”), both registered under the Investment Company Act of 1940, as amended, an affiliate of these funds, and PNMAC Mortgage Opportunity Fund Investors, LLC (collectively, “Investment Funds”). Together, the Investment Funds and PMT are referred to as the “Advised Entities.” | ||||
· | PennyMac Loan Services, LLC (“PLS”)—a Delaware limited liability company that services portfolios of residential mortgage loans on behalf of non-affiliates or the Advised Entities, originates new prime credit quality residential mortgage loans, and engages in other mortgage banking activities for its own account and the account of PMT. | |||
PLS is approved as a seller/servicer of mortgage loans by the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”) and as an issuer of securities guaranteed by the Government National Mortgage Association (“Ginnie Mae”). PLS is a licensed Federal Housing Administration (“FHA”) Nonsupervised Title II Lender with the U.S. Department of Housing and Urban Development (“HUD”) and a lender/servicer with the Veterans Administration (“VA”) and U.S. Department of Agriculture (“USDA”). We refer to each of Fannie Mae, Freddie Mac, Ginnie Mae, FHA, VA and USDA as an “Agency” and collectively the “Agencies”. | ||||
· | PNMAC Opportunity Fund Associates, LLC (“PMOFA”)—a Delaware limited liability company and the general partner of the Master Fund. PMOFA is entitled to incentive fees representing allocations of profits (“Carried Interest”) from the Master Fund. | |||
The accompanying consolidated financial statements have been prepared in compliance with generally accepted accounting principles (“GAAP”) in the United States as codified in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (“Codification”) for interim financial information and with the SEC’s instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Accordingly, these financial statements and notes do not include all of the information required by GAAP for complete financial statements. The interim consolidated information should be read together with the Company’s Annual Report on Form 10-K for the year ended December 31, 2014. | ||||
The accompanying unaudited consolidated financial statements reflect all normal recurring adjustments necessary to present fairly the financial position, income, and cash flows for the interim periods, but are not necessarily indicative of the results of operations to be anticipated for the full year ending December 31, 2015. Intercompany accounts and transactions have been eliminated. | ||||
Preparation of financial statements in compliance with GAAP requires management to make estimates and assumptions 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. | ||||
Concentration_of_Risk
Concentration of Risk | 3 Months Ended |
Mar. 31, 2015 | |
Concentration of Risk | |
Concentration of Risk | Note 2—Concentration of Risk |
A substantial portion of the Company’s activities relate to the Advised Entities. Fees charged to these entities (generally comprised of management fees, loan servicing fees, Carried Interest and fulfillment fees) totaled 26% and 35% of total net revenues for the quarters ended March 31, 2015 and 2014, respectively. | |
Transactions_with_Affiliates
Transactions with Affiliates | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Transactions with Affiliates | ||||||||
Transactions with Affiliates | Note 3—Transactions with Affiliates | |||||||
Transactions with PMT | ||||||||
Following is a summary of mortgage lending and sourcing activity between the Company and PMT: | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Fulfillment fee revenue | $ | 12,866 | $ | 8,902 | ||||
Unpaid principal balance of loans fulfilled for PennyMac Mortgage Investment Trust | $ | 2,890,132 | $ | 1,919,578 | ||||
Sourcing fees paid | $ | 1,421 | $ | 892 | ||||
Unpaid principal balance of loans purchased from PennyMac Mortgage Investment Trust | $ | 4,735,374 | $ | 2,974,077 | ||||
Sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust | $ | 8,405 | $ | — | ||||
Mortgage servicing rights recapture recognized | $ | — | $ | 8 | ||||
Following is a summary of mortgage loan servicing fees earned from PMT: | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Loan servicing fees relating to PennyMac Mortgage Investment Trust: | ||||||||
Mortgage loans acquired for sale at fair value: | ||||||||
Base and supplemental | $ | 26 | $ | 17 | ||||
Activity-based | 31 | 26 | ||||||
57 | 43 | |||||||
Mortgage loans at fair value: | ||||||||
Base and supplemental | 4,032 | 4,966 | ||||||
Activity-based | 2,894 | 6,386 | ||||||
6,926 | 11,352 | |||||||
Mortgage servicing rights: | ||||||||
Base and supplemental | 3,656 | 3,148 | ||||||
Activity-based | 31 | 48 | ||||||
3,687 | 3,196 | |||||||
$ | 10,670 | $ | 14,591 | |||||
Following is a summary of the management fees earned from PMT: | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Management fees: | ||||||||
Base | $ | 5,730 | $ | 5,521 | ||||
Performance incentive | 1,273 | 2,553 | ||||||
$ | 7,003 | $ | 8,074 | |||||
In the event of termination by PMT, the Company may be entitled to a termination fee in certain circumstances. The termination fee is equal to three times the sum of (a) the average annual base management fee, and (b) the average annual performance incentive fee earned by the Company, in each case during the 24-month period before termination. | ||||||||
Following is a summary of financing activity between the Company and PMT: | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Issuance of excess servicing spread | $ | 46,412 | $ | 20,526 | ||||
Repayment of excess servicing spread | $ | -12,731 | $ | -7,413 | ||||
Change in fair value of excess servicing spread | $ | -7,536 | $ | -4,792 | ||||
Interest expense from excess servicing spread | $ | 3,752 | $ | 2,862 | ||||
Excess servicing spread recapture recognized | $ | 1,289 | $ | 1,890 | ||||
Other Transactions | ||||||||
In connection with the initial public offering (“IPO”) of PMT’s common shares on August 4, 2009, the Company entered into an agreement with PMT pursuant to which PMT agreed to reimburse PennyMac for the $2.9 million payment that it made to the underwriters in such offering (the “Conditional Reimbursement”) if PMT satisfied certain performance measures over a specified period of time. Effective February 1, 2013, the parties amended the terms of the reimbursement agreement to provide for the reimbursement to the Company of the Conditional Reimbursement if PMT is required to pay the Company performance incentive fees under the management agreement at a rate of $10 in reimbursement for every $100 of performance incentive fees earned. The reimbursement of the Conditional Reimbursement is subject to a maximum reimbursement in any particular 12 month period of $1.0 million and the maximum amount that may be reimbursed under the agreement is $2.9 million. The Company received payments from PMT totaling $157,000 and $36,000 during the quarters ended March 31, 2015 and 2014, respectively. | ||||||||
In the event the termination fee is payable to the Company under the management agreement and the Company has not received the full amount of the reimbursements and payments under the reimbursement agreement, such amount will be paid in full. The term of the reimbursement agreement expires on February 1, 2019. | ||||||||
PMT reimburses the Company for other expenses, including common overhead expenses incurred on its behalf by the Company, in accordance with the terms of its management agreement. Such amounts are summarized below: | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Reimbursement of: | ||||||||
Common overhead incurred by the Company | $ | 2,729 | $ | 2,578 | ||||
Expenses incurred on PMT's behalf | 379 | 445 | ||||||
$ | 3,108 | $ | 3,023 | |||||
Payments and settlements during the period (1) | $ | 22,752 | $ | 18,386 | ||||
(1) Payments and settlements include payments for management fees and correspondent production activities | ||||||||
itemized in the preceding tables and netting settlements made pursuant to master netting agreements between | ||||||||
the Company and PMT. | ||||||||
Amounts due from PMT are summarized below: | ||||||||
March 31, | December 31, | |||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Management fees | $ | 7,003 | $ | 8,426 | ||||
Allocated expenses | 6,434 | 6,581 | ||||||
Servicing fees | 3,432 | 3,385 | ||||||
Underwriting fees | 980 | 1,137 | ||||||
Fulfillment fees | 870 | 506 | ||||||
Unsettled excess servicing spread issuance | — | 3,836 | ||||||
$ | 18,719 | $ | 23,871 | |||||
The Company holds an investment in PMT in the form of 75,000 common shares of beneficial interest as of March 31, 2015 and December 31, 2014. The common shares of beneficial interest had fair values of $1.6 million as of both March 31, 2015 and December 31, 2014. | ||||||||
Of the $130.9 million payable to PMT as of March 31, 2015, $125.1 million represents deposits made by PMT to fund servicing advances made by the Company, $5.3 million represents other expenses, including unsettled excess servicing spread (“ESS”) financing activity, and $503,000 represents MSR recapture payable to PMT. | ||||||||
Of the $123.3 million payable to PMT as of December 31, 2014, $116.7 million represents deposits made by PMT to fund servicing advances made by the Company, $6.2 million represents other expenses, including unsettled ESS financing activity, and $460,000 represents MSR recapture payable to PMT. | ||||||||
Investment Funds | ||||||||
Amounts due from the Investment Funds are summarized below: | ||||||||
March 31, | December 31, | |||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Carried Interest due from Investment Funds: | ||||||||
PNMAC Mortgage Opportunity Fund, LLC | $ | 41,643 | $ | 40,771 | ||||
PNMAC Mortgage Opportunity Fund Investors, LLC | 26,888 | 26,527 | ||||||
$ | 68,531 | $ | 67,298 | |||||
Receivable from Investment Funds: | ||||||||
Management fees | $ | 1,488 | $ | 1,596 | ||||
Loan servicing fees | 459 | 476 | ||||||
Expense reimbursements | 345 | 30 | ||||||
Loan servicing rebate | 196 | 189 | ||||||
$ | 2,488 | $ | 2,291 | |||||
Amounts due to the Investment Funds totaling $32.0 million and $35.9 million represent amounts advanced by the Investment Funds to fund servicing advances made by the Company as of March 31, 2015 and December 31, 2014, respectively. | ||||||||
Exchanged Private National Mortgage Acceptance Company, LLC Unitholders | ||||||||
The Company entered into a tax receivable agreement with PennyMac’s existing unitholders on the date of the IPO that will provide for the payment by PFSI to PennyMac’s exchanged unitholders an amount equal to 85% of the amount of the benefits, if any, that PFSI is deemed to realize as a result of (i) increases in tax basis resulting from such unitholders’ exchanges and (ii) certain other tax benefits related to entering into the tax receivable agreement, including tax benefits attributable to payments under the tax receivable agreement. Based on the PennyMac unitholder exchanges to date, the Company has recorded a $71.1 million Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement as of March 31, 2015. During the quarter ended March 31, 2015, the Company made payments under the agreement totaling $4.3 million. | ||||||||
Earnings_Per_Share_of_Common_S
Earnings Per Share of Common Stock | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Earnings Per Share of Common Stock | ||||||||
Earnings Per Share of Common Stock | Note 4—Earnings Per Share of Common Stock | |||||||
Basic earnings per share of common stock is determined using net income attributable to the Company’s common stockholders divided by the weighted average number of shares of common stock outstanding during the period. Diluted earnings per share of common stock is determined by dividing net income attributable to the Company’s common stockholders by the weighted average number of shares of common stock outstanding, assuming all potentially dilutive shares of common stock were issued. | ||||||||
The Company applies the treasury stock method to determine the dilutive weighted average shares of common stock represented by the unvested stock-based compensation awards and the exchangeable PennyMac Class A units. The diluted earnings per share calculation assumes the exchange of these PennyMac Class A units for shares of common stock. Accordingly, earnings attributable to the Company’s common stockholders is also adjusted to include the earnings allocated to the PennyMac Class A units after taking into account the income taxes applicable to the shares of common stock assumed to be exchanged. | ||||||||
The following table summarizes the basic and diluted earnings per share calculations: | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands, except per share data) | ||||||||
Basic earnings per share of common stock: | ||||||||
Net income attributable to PennyMac Financial Services, Inc. common stockholders | $ | 9,028 | $ | 7,972 | ||||
Weighted average shares of common stock outstanding | 21,593 | 20,866 | ||||||
Basic earnings per share of common stock | $ | 0.42 | $ | 0.38 | ||||
Diluted earnings per share of common stock: | ||||||||
Net income | $ | 9,028 | $ | 7,972 | ||||
Effect of net income attributable to noncontrolling interest, net of income taxes | 22,762 | 21,010 | ||||||
Diluted net income attributable to common stockholders | $ | 31,790 | $ | 28,982 | ||||
Weighted average shares of common stock outstanding | 21,593 | 20,866 | ||||||
Dilutive shares: | ||||||||
PennyMac Class A units exchangeable to common stock | 53,562 | 55,051 | ||||||
Non-vested PennyMac Class A units issuable under unit-based stock compensation plan and exchangeable to common stock | 779 | — | ||||||
Shares issuable under stock-based compensation plans | 116 | 35 | ||||||
Diluted weighted average shares of common stock outstanding | 76,050 | 75,952 | ||||||
Diluted earnings per share of common stock | $ | 0.42 | $ | 0.38 | ||||
Loan_Sales_and_Servicing_Activ
Loan Sales and Servicing Activities | 3 Months Ended | ||||||||||
Mar. 31, 2015 | |||||||||||
Loan Sales and Servicing Activities | |||||||||||
Loan Sales and Servicing Activities | Note 5—Loan Sales and Servicing Activities | ||||||||||
The Company originates or purchases and sells mortgage loans in the secondary mortgage market without recourse for credit losses. However, the Company maintains continuing involvement with the mortgage loans in the form of servicing arrangements and the liability under representations and warranties it makes to purchasers and insurers of the mortgage loans. | |||||||||||
The following table summarizes cash flows between the Company and transferees as a result of the sale of mortgage loans in transactions where the Company maintains continuing involvement with the mortgage loans as well as aggregate unpaid principal balance information at period end with respect to all such mortgage loans previously sold: | |||||||||||
Quarter ended March 31, | |||||||||||
2015 | 2014 | ||||||||||
(in thousands) | |||||||||||
Cash flows: | |||||||||||
Sales proceeds | $ | 5,765,845 | $ | 3,298,915 | |||||||
Servicing fees received | $ | 58,969 | $ | 22,184 | |||||||
Net servicing advances | $ | 1,902 | $ | -608 | |||||||
Period end information: | |||||||||||
Unpaid principal balance of mortgage loans outstanding at end of period | $ | 39,624,553 | $ | 26,289,208 | |||||||
Delinquencies: | |||||||||||
30-89 days | $ | 756,211 | $ | 362,131 | |||||||
90 days or more or in foreclosure or bankruptcy | $ | 871,250 | $ | 176,608 | |||||||
The Company’s mortgage servicing portfolio in unpaid principal balance (“UPB”) is summarized as follows: | |||||||||||
March 31, 2015 | |||||||||||
Contract | |||||||||||
Servicing | servicing and | Total | |||||||||
rights owned | subservicing | loans serviced | |||||||||
(in thousands) | |||||||||||
Investor: | |||||||||||
Non-affiliated entities | $ | 72,407,441 | $ | — | $ | 72,407,441 | |||||
Affiliated entities | — | 41,542,426 | 41,542,426 | ||||||||
Mortgage loans held for sale | 1,288,744 | — | 1,288,744 | ||||||||
$ | 73,696,185 | $ | 41,542,426 | $ | 115,238,611 | ||||||
Amount subserviced for the Company (1) | $ | 4,771,144 | $ | 29,786 | $ | 4,800,930 | |||||
Delinquent mortgage loans: | |||||||||||
30 days | $ | 1,272,111 | $ | 296,631 | $ | 1,568,742 | |||||
60 days | 391,777 | 134,358 | 526,135 | ||||||||
90 days or more | |||||||||||
Not in foreclosure | 806,491 | 970,183 | 1,776,674 | ||||||||
In foreclosure | 519,756 | 1,655,088 | 2,174,844 | ||||||||
Foreclosed | 30,294 | 547,863 | 578,157 | ||||||||
$ | 3,020,429 | $ | 3,604,123 | $ | 6,624,552 | ||||||
Custodial funds managed by the Company (2) | $ | 2,179,665 | $ | 587,846 | $ | 2,767,511 | |||||
-1 | Certain of the mortgage loans serviced by the Company are subserviced on the Company’s behalf by other mortgage loan servicers. Mortgage loans are subserviced for the Company on a transitional basis for loans where the Company has obtained the rights to service the loans but servicing of the loans has not yet transferred to the Company’s servicing system. | ||||||||||
-2 | Borrower and investor custodial cash accounts relate to mortgage loans serviced under the servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns interest on custodial funds it manages on behalf of the mortgage loans investors, which is recorded as part of the interest income in the Company’s consolidated statements of income. | ||||||||||
December 31, 2014 | |||||||||||
Contract | |||||||||||
Servicing | servicing and | Total | |||||||||
rights owned | subservicing | loans serviced | |||||||||
(in thousands) | |||||||||||
Investor: | |||||||||||
Non-affiliated entities | $ | 65,169,194 | $ | — | $ | 65,169,194 | |||||
Affiliated entities | — | 39,709,945 | 39,709,945 | ||||||||
Mortgage loans held for sale | 1,100,910 | — | 1,100,910 | ||||||||
$ | 66,270,104 | $ | 39,709,945 | $ | 105,980,049 | ||||||
Amount subserviced for the Company | $ | — | $ | 330,768 | $ | 330,768 | |||||
Delinquent mortgage loans: | |||||||||||
30 days | $ | 1,372,915 | $ | 302,091 | $ | 1,675,006 | |||||
60 days | 434,428 | 135,777 | 570,205 | ||||||||
90 days or more | |||||||||||
Not in foreclosure | 779,129 | 1,057,973 | 1,837,102 | ||||||||
In foreclosure | 422,330 | 1,544,762 | 1,967,092 | ||||||||
Foreclosed | 32,444 | 533,067 | 565,511 | ||||||||
$ | 3,041,246 | 3,573,670 | $ | 6,614,916 | |||||||
Custodial funds managed by the Company (1) | $ | 1,522,295 | $ | 388,498 | $ | 1,910,793 | |||||
-1 | Borrower and investor custodial cash accounts relate to mortgage loans serviced under the servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns interest on custodial funds it manages on behalf of the mortgage loans investors, which is recorded as part of the interest income in the Company’s consolidated statements of income. | ||||||||||
Following is a summary of the geographical distribution of loans included in the Company’s servicing portfolio for the top five and all other states as measured by UPB: | |||||||||||
March 31, | December 31, | ||||||||||
State | 2015 | 2014 | |||||||||
(in thousands) | |||||||||||
California | $ | 34,192,278 | $ | 33,751,630 | |||||||
Texas | 7,880,148 | 6,954,778 | |||||||||
Virginia | 6,795,903 | 6,360,171 | |||||||||
Florida | 6,315,648 | 5,573,215 | |||||||||
Washington | * | 3,830,587 | |||||||||
Maryland | 4,193,669 | * | |||||||||
All other states | 55,860,965 | 49,509,668 | |||||||||
$ | 115,238,611 | $ | 105,980,049 | ||||||||
* State did not represent a top five state as of the respective date. | |||||||||||
Netting_of_Financial_Instrumen
Netting of Financial Instruments | 3 Months Ended | |||||||||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||||||||
Netting of Financial Instruments | ||||||||||||||||||||||||||
Netting of Financial Instruments | Note 6—Netting of Financial Instruments | |||||||||||||||||||||||||
The Company uses derivative financial instruments to manage exposure to interest rate risk for the interest rate lock commitments (“IRLCs”) it makes to purchase or originate mortgage loans at specified interest rates, its inventory of mortgage loans held for sale and MSRs. The Company has elected to present net derivative asset and liability positions, and cash collateral obtained from (or posted to) its counterparties when subject to a master netting arrangement that is legally enforceable on all counterparties in the event of default. The derivatives that are not subject to a master netting arrangement are IRLCs. | ||||||||||||||||||||||||||
Following are summaries of derivative assets and related netting amounts. | ||||||||||||||||||||||||||
Offsetting of Derivative Assets | ||||||||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||||
Gross | Gross amount | Net amount | Gross | Gross amount | Net amount | |||||||||||||||||||||
amount of | offset | of assets | amount of | offset | of assets | |||||||||||||||||||||
recognized | in the | in the | recognized | in the | in the | |||||||||||||||||||||
assets | balance sheet | balance sheet | assets | balance sheet | balance sheet | |||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||
Derivatives subject to master netting arrangements: | ||||||||||||||||||||||||||
Forward purchase contracts | $ | 33,048 | $ | — | $ | 33,048 | $ | 9,060 | $ | — | $ | 9,060 | ||||||||||||||
Forward sale contracts | 909 | — | 909 | 320 | — | 320 | ||||||||||||||||||||
MBS put options | 449 | — | 449 | 476 | — | 476 | ||||||||||||||||||||
MBS call options | — | — | — | — | — | — | ||||||||||||||||||||
Put options on interest rate futures purchase contracts | 894 | — | 894 | 862 | — | 862 | ||||||||||||||||||||
Call options on interest rate futures purchase contracts | 4,011 | — | 4,011 | 2,193 | — | 2,193 | ||||||||||||||||||||
Netting | — | -33,595 | -33,595 | — | -7,807 | -7,807 | ||||||||||||||||||||
39,311 | -33,595 | 5,716 | 12,911 | -7,807 | 5,104 | |||||||||||||||||||||
Derivatives not subject to master netting arrangements - IRLCs | 55,348 | — | 55,348 | 33,353 | — | 33,353 | ||||||||||||||||||||
$ | 94,659 | $ | -33,595 | $ | 61,064 | $ | 46,264 | $ | -7,807 | $ | 38,457 | |||||||||||||||
Derivative Assets, Financial Assets, 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 netting. | ||||||||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||||
Gross amount not | Gross amount not | |||||||||||||||||||||||||
offset in the | offset in the | |||||||||||||||||||||||||
consolidated | consolidated | |||||||||||||||||||||||||
balance sheet | balance sheet | |||||||||||||||||||||||||
Net amount | Net amount | |||||||||||||||||||||||||
of assets | Cash | of assets | Cash | |||||||||||||||||||||||
in the | Financial | collateral | Net | in the | Financial | collateral | Net | |||||||||||||||||||
balance sheet | instruments | received | amount | balance sheet | instruments | received | amount | |||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||
Interest rate lock commitments | $ | 55,348 | $ | — | $ | — | $ | 55,348 | $ | 33,353 | $ | — | $ | — | $ | 33,353 | ||||||||||
RJ O'Brien | 4,023 | — | — | 4,023 | 2,005 | — | — | 2,005 | ||||||||||||||||||
Jefferies & Co. | 937 | — | — | 937 | 764 | — | — | 764 | ||||||||||||||||||
Cantor Fitzgerald, LP | 332 | — | — | 332 | — | — | — | — | ||||||||||||||||||
Bank of New York Mellon | 221 | — | — | 221 | — | — | — | — | ||||||||||||||||||
Goldman Sachs | — | — | — | — | 600 | — | — | 600 | ||||||||||||||||||
JP Morgan | — | — | — | — | 526 | — | — | 526 | ||||||||||||||||||
Wells Fargo | — | — | — | — | 379 | — | — | 379 | ||||||||||||||||||
Nomura | — | — | — | — | 322 | — | — | 322 | ||||||||||||||||||
Others | 203 | — | — | 203 | 508 | — | — | 508 | ||||||||||||||||||
$ | 61,064 | $ | — | $ | — | $ | 61,064 | $ | 38,457 | $ | — | $ | — | $ | 38,457 | |||||||||||
Offsetting of Derivative Liabilities and Financial Liabilities | ||||||||||||||||||||||||||
Following is a summary of net derivative liabilities and assets sold under agreements to repurchase and related netting amounts. As discussed above, all derivatives with the exception of IRLCs are subject to master netting arrangements. The mortgage loans sold under agreements to repurchase do not qualify for netting. | ||||||||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||||
Net | Net | |||||||||||||||||||||||||
amount | amount | |||||||||||||||||||||||||
Gross | Gross amount | of liabilities | Gross | Gross amount | of liabilities | |||||||||||||||||||||
amount of | offset in the | in the | amount of | offset in the | in the | |||||||||||||||||||||
recognized | consolidated | consolidated | recognized | consolidated | consolidated | |||||||||||||||||||||
liabilities | balance sheet | balance sheet | liabilities | balance sheet | balance sheet | |||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||
Derivatives subject to a master netting arrangement: | ||||||||||||||||||||||||||
Forward purchase contracts | $ | 909 | $ | — | $ | 909 | $ | 141 | $ | — | $ | 141 | ||||||||||||||
Forward sale contracts | 46,711 | — | 46,711 | 16,110 | — | 16,110 | ||||||||||||||||||||
Put options on interest rate futures sale contracts | 141 | — | 141 | 8 | — | 8 | ||||||||||||||||||||
Netting | — | -37,814 | -37,814 | — | -10,698 | -10,698 | ||||||||||||||||||||
47,761 | -37,814 | 9,947 | 16,259 | -10,698 | 5,561 | |||||||||||||||||||||
Derivatives not subject to a master netting arrangement - IRLCs | 956 | — | 956 | 952 | — | 952 | ||||||||||||||||||||
Total derivatives | 48,717 | -37,814 | 10,903 | 17,211 | -10,698 | 6,513 | ||||||||||||||||||||
Mortgage loans sold under agreements to repurchase | 992,187 | — | 992,187 | 822,621 | — | 822,621 | ||||||||||||||||||||
$ | 1,040,904 | $ | -37,814 | $ | 1,003,090 | $ | 839,832 | $ | -10,698 | $ | 829,134 | |||||||||||||||
Derivative Liabilities, Financial Liabilities, and Collateral Held by Counterparty | ||||||||||||||||||||||||||
The following table summarizes by significant counterparty the amount of derivative liabilities and mortgage loans sold under agreements to repurchase after considering master netting arrangements and financial instruments or cash pledged that does not qualify under the accounting guidance for netting. All assets sold under agreements to repurchase are secured by sufficient collateral or have fair value that exceeds the liability amount recorded on the consolidated balance sheets. | ||||||||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||||
Gross amount | Gross amount | |||||||||||||||||||||||||
not offset in the | not offset in the | |||||||||||||||||||||||||
consolidated | consolidated | |||||||||||||||||||||||||
balance sheet | balance sheet | |||||||||||||||||||||||||
Net amount | Net amount | |||||||||||||||||||||||||
of liabilities | of liabilities | |||||||||||||||||||||||||
in the | Cash | in the | Cash | |||||||||||||||||||||||
consolidated | Financial | collateral | Net | consolidated | Financial | collateral | Net | |||||||||||||||||||
balance sheet | instruments | pledged | amount | balance sheet | instruments | pledged | amount | |||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||
Interest rate lock commitments | $ | 956 | $ | — | $ | — | $ | 956 | $ | 952 | $ | — | $ | — | $ | 952 | ||||||||||
Credit Suisse First Boston Mortgage Capital LLC | 501,400 | -498,333 | — | 3,067 | 464,737 | -463,541 | — | 1,196 | ||||||||||||||||||
Bank of America, N.A. | 272,970 | -271,868 | — | 1,102 | 236,909 | -236,771 | — | 138 | ||||||||||||||||||
Morgan Stanley Bank, N.A. | 122,263 | -121,986 | — | 277 | 122,148 | -122,031 | — | 117 | ||||||||||||||||||
Citibank, N.A. | 101,126 | -100,000 | — | 1,126 | 699 | -278 | — | 421 | ||||||||||||||||||
Nomura | 1,110 | — | — | 1,110 | — | — | — | — | ||||||||||||||||||
JP Morgan | 704 | — | — | 704 | — | — | — | — | ||||||||||||||||||
Daiwa Capital Markets | 598 | — | — | 598 | 291 | — | — | 291 | ||||||||||||||||||
Bank of Oklahoma | 481 | — | — | 481 | 486 | — | — | 486 | ||||||||||||||||||
Bank of New York Mellon | — | — | — | — | 1,552 | — | — | 1,552 | ||||||||||||||||||
Others | 1,482 | — | — | 1,482 | 1,360 | — | — | 1,360 | ||||||||||||||||||
$ | 1,003,090 | $ | -992,187 | $ | — | $ | 10,903 | $ | 829,134 | $ | -822,621 | $ | — | $ | 6,513 | |||||||||||
Fair_Value
Fair Value | 3 Months Ended | |||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||
Fair Value | ||||||||||||||||||||
Fair Value | Note 7—Fair Value | |||||||||||||||||||
The Company’s consolidated financial statements include assets and liabilities that are measured based on their fair values. The application of fair value may be on a recurring or nonrecurring basis depending on the accounting principles applicable to the specific asset or liability and whether management has elected to carry the item at its fair value as discussed in the following paragraphs. | ||||||||||||||||||||
Fair Value Accounting Elections | ||||||||||||||||||||
Management identified all of its non-cash financial assets and its originated MSRs relating to loans with initial interest rates of more than 4.5% and MSRs purchased subject to ESS to be accounted for at fair value so changes in fair value will be reflected in income as they occur and more timely reflect the results of the Company’s performance. Management has also identified its ESS financing to be accounted for at fair value as a means of hedging the related MSR’s fair value risk. | ||||||||||||||||||||
For originated MSRs relating to mortgage loans with initial interest rates of less than or equal to 4.5%, management has concluded that such assets present different risks to the Company than originated MSRs relating to mortgage loans with initial interest rates of more than 4.5% and therefore require a different risk management approach. Management’s risk management efforts relating to these assets are aimed at mainly moderating the effects of non-interest rate risks on fair value, such as the effect of changes in home prices on the assets’ fair values. Management has identified these assets for accounting using the amortization method. | ||||||||||||||||||||
Management’s risk management efforts in connection with MSRs relating to mortgage loans with initial interest rates of more than 4.5% are aimed at mainly moderating the effects of changes in interest rates on the assets’ fair values. During the quarters ended March 31, 2015 and 2014, derivatives were used to hedge the fair value changes of the MSRs. | ||||||||||||||||||||
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: | ||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
(in thousands) | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Short-term investments | $ | 30,275 | $ | — | $ | — | $ | 30,275 | ||||||||||||
Mortgage loans held for sale at fair value | — | 1,270,260 | 83,684 | 1,353,944 | ||||||||||||||||
Derivative assets: | ||||||||||||||||||||
Interest rate lock commitments | — | — | 55,348 | 55,348 | ||||||||||||||||
Forward purchase contracts | — | 33,048 | — | 33,048 | ||||||||||||||||
Forward sales contracts | — | 909 | — | 909 | ||||||||||||||||
MBS put options | — | 449 | — | 449 | ||||||||||||||||
Put options on interest rate futures purchase contracts | 894 | — | — | 894 | ||||||||||||||||
Call options on interest rate futures purchase contracts | 4,011 | — | — | 4,011 | ||||||||||||||||
Total derivative assets before netting | 4,905 | 34,406 | 55,348 | 94,659 | ||||||||||||||||
Netting (1) | — | — | — | -33,595 | ||||||||||||||||
Total derivative assets | 4,905 | 34,406 | 55,348 | 61,064 | ||||||||||||||||
Investment in PennyMac Mortgage Investment Trust | 1,597 | — | — | 1,597 | ||||||||||||||||
Mortgage servicing rights at fair value | — | — | 361,413 | 361,413 | ||||||||||||||||
$ | 36,777 | $ | 1,304,666 | $ | 500,445 | $ | 1,808,293 | |||||||||||||
Liabilities: | ||||||||||||||||||||
Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust | $ | — | $ | — | $ | 222,309 | $ | 222,309 | ||||||||||||
Derivative liabilities: | ||||||||||||||||||||
Interest rate lock commitments | — | — | 956 | 956 | ||||||||||||||||
Forward purchase contracts | — | 909 | — | 909 | ||||||||||||||||
Forward sales contracts | — | 46,711 | — | 46,711 | ||||||||||||||||
Put options on interest rate futures sale contracts | 141 | — | — | 141 | ||||||||||||||||
Total derivative liabilities before netting | 141 | 47,620 | 956 | 48,717 | ||||||||||||||||
Netting (1) | — | — | — | -37,814 | ||||||||||||||||
Total derivative liabilities | 141 | 47,620 | 956 | 10,903 | ||||||||||||||||
Mortgage servicing liabilities | — | — | 6,529 | 6,529 | ||||||||||||||||
$ | 141 | $ | 47,620 | $ | 229,794 | $ | 239,741 | |||||||||||||
-1 | Derivatives are reported net of cash collateral received and paid and, to the extent that the criteria of the accounting guidance covering the offsetting of amounts related to certain contracts are met, positions with the same counterparty are netted as part of a legally enforceable master netting agreement. | |||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
(in thousands) | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Short-term investments | $ | 21,687 | $ | — | $ | — | $ | 21,687 | ||||||||||||
Mortgage loans held for sale at fair value | — | 937,976 | 209,908 | 1,147,884 | ||||||||||||||||
Derivative assets: | ||||||||||||||||||||
Interest rate lock commitments | — | — | 33,353 | 33,353 | ||||||||||||||||
Forward purchase contracts | — | 9,060 | — | 9,060 | ||||||||||||||||
Forward sales contracts | — | 320 | — | 320 | ||||||||||||||||
MBS put options | — | 476 | — | 476 | ||||||||||||||||
Put options on interest rate futures purchase contracts | 862 | — | — | 862 | ||||||||||||||||
Call options on interest rate futures purchase contracts | 2,193 | — | — | 2,193 | ||||||||||||||||
Total derivative assets before netting | 3,055 | 9,856 | 33,353 | 46,264 | ||||||||||||||||
Netting (1) | — | — | — | -7,807 | ||||||||||||||||
Total derivative assets | 3,055 | 9,856 | 33,353 | 38,457 | ||||||||||||||||
Investment in PennyMac Mortgage Investment Trust | 1,582 | 1,582 | ||||||||||||||||||
Mortgage servicing rights at fair value | — | — | 325,383 | 325,383 | ||||||||||||||||
$ | 26,324 | $ | 947,832 | $ | 568,644 | $ | 1,534,993 | |||||||||||||
Liabilities: | ||||||||||||||||||||
Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust | $ | — | $ | — | $ | 191,166 | $ | 191,166 | ||||||||||||
Derivative liabilities: | ||||||||||||||||||||
Interest rate lock commitments | — | — | 952 | 952 | ||||||||||||||||
Forward purchase contracts | — | 141 | — | 141 | ||||||||||||||||
Forward sales contracts | — | 16,110 | — | 16,110 | ||||||||||||||||
Put options on interest rate futures sale contracts | 8 | — | — | 8 | ||||||||||||||||
Total derivative liabilities before netting | 8 | 16,251 | 952 | 17,211 | ||||||||||||||||
Netting (1) | — | — | — | -10,698 | ||||||||||||||||
Total derivative liabilities | 8 | 16,251 | 952 | 6,513 | ||||||||||||||||
Mortgage servicing liabilities | — | — | 6,306 | 6,306 | ||||||||||||||||
$ | 8 | $ | 16,251 | $ | 198,424 | $ | 203,985 | |||||||||||||
-1 | Derivatives are reported net of cash collateral received and paid and, to the extent that the criteria of the accounting guidance covering the offsetting of amounts related to certain contracts are met, positions with the same counterparty are netted as part of a legally enforceable master netting agreement. | |||||||||||||||||||
As shown above, certain of the Company’s mortgage loans held for sale, IRLCs, MSRs at fair value, and ESS financing at fair value are measured using Level 3 inputs. Following are roll forwards of these items for the quarters ended March 31, 2015 and 2014: | ||||||||||||||||||||
Quarter ended March 31, 2015 | ||||||||||||||||||||
Mortgage | Net interest | Mortgage | ||||||||||||||||||
loans held | rate lock | servicing | ||||||||||||||||||
for sale | commitments (1) | rights | Total | |||||||||||||||||
(in thousands) | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Balance, December 31, 2014 | $ | 209,908 | $ | 32,401 | $ | 325,383 | $ | 567,692 | ||||||||||||
Purchases | 65,613 | — | 63,137 | 128,750 | ||||||||||||||||
Sales | -125,268 | — | — | -125,268 | ||||||||||||||||
Repayments | -8,392 | — | — | -8,392 | ||||||||||||||||
Interest rate lock commitments issued, net | — | 82,780 | — | 82,780 | ||||||||||||||||
Mortgage servicing rights resulting from mortgage loan sales | — | — | 2,675 | 2,675 | ||||||||||||||||
Changes in fair value included in income arising from: | — | — | — | |||||||||||||||||
Changes in instrument-specific credit risk | -33 | — | — | -33 | ||||||||||||||||
Other factors | 778 | -47 | -29,782 | -29,051 | ||||||||||||||||
745 | -47 | -29,782 | -29,084 | |||||||||||||||||
Transfers to Level 2 mortgage loans held for sale (2) | -58,922 | — | — | -58,922 | ||||||||||||||||
Transfers of interest rate lock commitments to mortgage loans held for sale | — | -60,742 | — | -60,742 | ||||||||||||||||
Balance, March 31, 2015 | $ | 83,684 | $ | 54,392 | $ | 361,413 | $ | 499,489 | ||||||||||||
Changes in fair value recognized during the period relating to assets still held at March 31, 2015 | $ | 640 | $ | -47 | $ | -29,782 | $ | -29,189 | ||||||||||||
-1 | For the purpose of this table, the interest rate lock asset and liability positions are shown net. | |||||||||||||||||||
-2 | Mortgage loans held for sale transferred from Level 3 to Level 2 as a result of the mortgage loan becoming saleable into active mortgage markets pursuant to a loan modification, borrower reperformance or resolution of deficiencies. | |||||||||||||||||||
Quarter ended March 31, 2015 | ||||||||||||||||||||
Excess | ||||||||||||||||||||
servicing | Mortgage | |||||||||||||||||||
spread | servicing | |||||||||||||||||||
financing | liabilities | Total | ||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Liabilities: | ||||||||||||||||||||
Balance, December 31, 2014 | $ | 191,166 | $ | 6,306 | $ | 197,472 | ||||||||||||||
Proceeds received from issuance of excess servicing spread | 46,412 | — | 46,412 | |||||||||||||||||
Mortgage servicing liabilities resulting from mortgage loan sales | — | 2,928 | 2,928 | |||||||||||||||||
Excess servicing spread issued pursuant to a recapture agreement with PennyMac Mortgage Investment Trust | 1,246 | — | 1,246 | |||||||||||||||||
Accrual of interest on excess servicing spread | 3,752 | — | 3,752 | |||||||||||||||||
Repayments | -12,731 | — | -12,731 | |||||||||||||||||
Changes in fair value included in income | -7,536 | -2,705 | -10,241 | |||||||||||||||||
Balance, March 31, 2015 | $ | 222,309 | $ | 6,529 | $ | 228,838 | ||||||||||||||
Changes in fair value recognized during the period relating to liabilities still held at March 31, 2015 | $ | -7,536 | $ | -2,705 | $ | -10,241 | ||||||||||||||
Quarter ended March 31, 2014 | ||||||||||||||||||||
Mortgage | Net interest | Mortgage | ||||||||||||||||||
loans held | rate lock | servicing | ||||||||||||||||||
for sale | commitments (1) | rights | Total | |||||||||||||||||
(in thousands) | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Balance, December 31, 2013 | $ | 3,933 | $ | 6,761 | $ | 224,913 | $ | 235,607 | ||||||||||||
Purchases | — | — | 25,866 | 25,866 | ||||||||||||||||
Repayments | -14 | — | — | -14 | ||||||||||||||||
Interest rate lock commitments issued, net | — | 36,438 | — | 36,438 | ||||||||||||||||
Mortgage servicing rights resulting from mortgage loan sales | — | — | 6,933 | 6,933 | ||||||||||||||||
Changes in fair value included in income arising from: | ||||||||||||||||||||
Changes in instrument-specific credit risk | — | — | — | |||||||||||||||||
Other factors | 66 | 5,353 | -10,728 | -5,309 | ||||||||||||||||
66 | 5,353 | -10,728 | -5,309 | |||||||||||||||||
Transfers of interest rate lock commitments to mortgage loans held for sale | — | -34,255 | — | -34,255 | ||||||||||||||||
Balance, March 31, 2014 | $ | 3,985 | $ | 14,297 | $ | 246,984 | $ | 265,266 | ||||||||||||
Changes in fair value recognized during the period relating to assets still held at March 31, 2014 | $ | 66 | $ | 14,297 | $ | -10,728 | $ | 3,635 | ||||||||||||
-1 | For the purpose of this table, the interest rate lock asset and liability positions are shown net. | |||||||||||||||||||
Excess | ||||||||||||||||||||
servicing | ||||||||||||||||||||
spread | ||||||||||||||||||||
financing | ||||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Liability: | ||||||||||||||||||||
Balance, December 31, 2013 | $ | 138,723 | ||||||||||||||||||
Proceeds received from issuance of excess servicing spread | 20,526 | |||||||||||||||||||
Excess servicing spread issued pursuant to a recapture agreement with PennyMac Mortgage Investment | 1,113 | |||||||||||||||||||
Accrual of interest on excess servicing spread | 2,862 | |||||||||||||||||||
Repayments | -7,413 | |||||||||||||||||||
Changes in fair value included in income | -4,792 | |||||||||||||||||||
Balance, March 31, 2014 | $ | 151,019 | ||||||||||||||||||
Changes in fair value recognized during the period relating to liability still held at March 31, 2014 | $ | -4,792 | ||||||||||||||||||
The information used in the preceding roll forwards represents activity for any financial statement items identified as using Level 3 significant inputs at either the beginning or the end of the periods presented. The Company had transfers in or out among the levels arising from transfers of IRLCs to mortgage loans held for sale at fair value upon purchase or funding of the respective mortgage loans and from the return to salability in the active secondary market of certain loans held for sale. Such loans became saleable into the active secondary market due to curing of the loans’ defects through borrower reperformance, modification of the loan or resolution of deficiencies contained in the borrowers’ credit file. | ||||||||||||||||||||
Net changes in fair values included in income for financial statement items carried at fair value as a result of management’s election of the fair value option by income statement line item are summarized below: | ||||||||||||||||||||
Quarter ended March 31, | ||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||
Net gains on | Net gains on | |||||||||||||||||||
mortgage | mortgage | |||||||||||||||||||
loans held | Net loan | loans held | Net loan | |||||||||||||||||
for sale at | servicing | for sale at | servicing | |||||||||||||||||
fair value | fees | Total | fair value | fees | Total | |||||||||||||||
(in thousands) | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Mortgage loans held for sale at fair value | $ | 84,531 | $ | — | $ | 84,531 | $ | 49,902 | $ | — | $ | 49,902 | ||||||||
Mortgage servicing rights at fair value | — | -29,782 | -29,782 | — | -10,728 | -10,728 | ||||||||||||||
$ | 84,531 | $ | -29,782 | $ | 54,749 | $ | 49,902 | $ | -10,728 | $ | 39,174 | |||||||||
Liabilities: | ||||||||||||||||||||
Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust | $ | — | $ | 7,536 | $ | 7,536 | $ | — | $ | 4,792 | $ | 4,792 | ||||||||
Mortgage servicing liabilities | — | 2,705 | 2,705 | — | — | — | ||||||||||||||
$ | — | $ | 10,241 | $ | 10,241 | $ | — | $ | 4,792 | $ | 4,792 | |||||||||
Following are the fair value and related principal amounts due upon maturity of assets accounted for under the fair value option: | ||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||
Principal | ||||||||||||||||||||
amount | ||||||||||||||||||||
Fair | due upon | |||||||||||||||||||
value | maturity | Difference | ||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Mortgage loans held for sale: | ||||||||||||||||||||
Current through 89 days delinquent | $ | 1,284,168 | $ | 1,209,848 | $ | 74,320 | ||||||||||||||
90 days or more delinquent: | ||||||||||||||||||||
Not in foreclosure | 43,214 | 45,670 | -2,456 | |||||||||||||||||
In foreclosure | 26,562 | 27,588 | -1,026 | |||||||||||||||||
$ | 1,353,944 | $ | 1,283,106 | $ | 70,838 | |||||||||||||||
December 31, 2014 | ||||||||||||||||||||
Principal | ||||||||||||||||||||
amount | ||||||||||||||||||||
Fair | due upon | |||||||||||||||||||
value | maturity | Difference | ||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Mortgage loans held for sale: | ||||||||||||||||||||
Current through 89 days delinquent | $ | 950,697 | $ | 894,924 | $ | 55,773 | ||||||||||||||
90 days or more delinquent: | ||||||||||||||||||||
Not in foreclosure | 126,171 | 128,533 | -2,362 | |||||||||||||||||
In foreclosure | 71,016 | 72,039 | -1,023 | |||||||||||||||||
$ | 1,147,884 | $ | 1,095,496 | $ | 52,388 | |||||||||||||||
Financial Statement Items Measured at Fair Value on a Nonrecurring Basis | ||||||||||||||||||||
Following is a summary of financial statement items that are measured at fair value on a nonrecurring basis: | ||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
(in thousands) | ||||||||||||||||||||
Mortgage servicing rights at lower of amortized cost or fair value | $ | — | $ | — | $ | 305,005 | $ | 305,005 | ||||||||||||
$ | — | $ | — | $ | 305,005 | $ | 305,005 | |||||||||||||
December 31, 2014 | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
(in thousands) | ||||||||||||||||||||
Mortgage servicing rights at lower of amortized cost or fair value | $ | — | $ | — | $ | 139,505 | $ | 139,505 | ||||||||||||
$ | — | $ | — | $ | 139,505 | $ | 139,505 | |||||||||||||
The following table summarizes the total losses on assets measured at fair value on a nonrecurring basis: | ||||||||||||||||||||
Quarter ended March 31, | ||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Mortgage servicing rights at lower of amortized cost or fair value | $ | -31,692 | $ | -421 | ||||||||||||||||
$ | -31,692 | $ | -421 | |||||||||||||||||
Fair Value of Financial Instruments Carried at Amortized Cost | ||||||||||||||||||||
The Company’s Cash as well as its Carried Interest due from Investment Funds, Mortgage loans sold under agreements to repurchase, Note payable, and amounts receivable from and payable to the Advised Entities are carried at amortized cost. | ||||||||||||||||||||
Cash is measured using a “Level 1” input. | ||||||||||||||||||||
Management has concluded that the carrying value of the Carried Interest due from Investment Funds approximates its fair value as the balance represents the amount distributable to the Company at the balance sheet date assuming liquidation of the Investment Funds. | ||||||||||||||||||||
The Company’s Mortgage loans sold under agreements to repurchase, Mortgage loan participation and sale agreement and Note payable are carried at amortized cost. These borrowings do not have observable inputs and the fair value is measured using management’s estimate of fair value, where the inputs into the determination of fair value require significant judgment or estimation. The Company has classified these financial instruments as “Level 3” financial statement items as of March 31, 2015 and December 31, 2014 due to the lack of observable inputs to estimate the fair value. Management has concluded that the fair value of these borrowings approximates their carrying values due to their short terms and variable interest rates. | ||||||||||||||||||||
The Company also carries the receivables from and payables to the Advised Entities at cost. Management has concluded that the fair value of such balances approximates their carrying values due to the short terms of such balances. | ||||||||||||||||||||
Valuation Techniques and Assumptions | ||||||||||||||||||||
Most of the Company’s financial assets and its ESS liability are carried at fair value with changes in fair value recognized in current period income. Certain of the Company’s financial assets and all of its MSRs and ESS are “Level 3” financial statement items which require the use of unobservable inputs that are significant to the estimation of the items’ fair values. Unobservable inputs reflect the Company’s own assumptions about the factors that market participants use in pricing an asset or liability, and are based on the best information available under the circumstances. | ||||||||||||||||||||
Due to the difficulty in estimating the fair values of “Level 3” financial statement items, management has assigned the estimating of fair value of these assets to specialized staff and subjects the valuation process to significant executive management oversight. The Company’s Financial Analysis and Valuation group (the “FAV group”) is responsible for estimating the fair values of “Level 3” financial statement items and maintaining its valuation policies and procedures. | ||||||||||||||||||||
With respect to the Level 3 valuations, the FAV group reports to the Company’s senior management valuation committee, which oversees and approves the valuations. The FAV group monitors the models used for valuation of the Company’s “Level 3” financial statement items, including the models’ performance versus actual results, and reports those results to the Company’s senior management valuation committee. The Company’s senior management valuation committee includes PFSI’s chief executive, financial, operating, credit and asset/liability management officers. | ||||||||||||||||||||
The FAV group is responsible for reporting to the Company’s senior management valuation committee on a monthly basis on the changes in the valuation of the portfolio, 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. | ||||||||||||||||||||
Following is a description of the techniques and inputs used in estimating the fair values of “Level 2” and “Level 3” fair value financial statement items: | ||||||||||||||||||||
Mortgage Loans Held for Sale | ||||||||||||||||||||
A substantial portion of the Company’s mortgage loans held for sale at fair value are saleable into active markets and are therefore categorized as “Level 2” fair value financial statement items and their fair values are determined using their quoted market or contracted price or market price equivalent. | ||||||||||||||||||||
Certain of the Company’s mortgage loans may become non-saleable into active markets due to identification of a defect by the Company or to the repurchase of mortgage loans with identified defects. The Company may also purchase certain delinquent government guaranteed or insured mortgage loans from Ginnie Mae guaranteed pools in its servicing portfolio. The Company’s right to purchase such mortgage loans arises as the result of the borrower’s failure to make payments for at least three consecutive months preceding the month of repurchase by the Company and provides an alternative to the Company’s obligation to continue advancing principal and interest at the coupon rate of the related Ginnie Mae security. To the extent such mortgage loans (“early buyout loans”) have not become saleable into another Ginnie Mae guaranteed security by becoming current either through the borrower’s reperformance or through completion of a modification of the mortgage loan’s terms, the Company measures such mortgage loans along with other mortgage loans with identified defects using “Level 3” inputs. | ||||||||||||||||||||
The significant unobservable inputs used in the fair value measurement of the Company’s “Level 3” mortgage loans held for sale at fair value are discount rates, home price projections, voluntary prepayment speeds and total prepayment speeds. Significant changes in any of those inputs in isolation could result in a significant change to the mortgage loans’ fair value measurement. Increases in home price projections are generally accompanied by an increase in voluntary prepayment speeds. | ||||||||||||||||||||
Following is a quantitative summary of key “Level 3” inputs used in the valuation of mortgage loans held for sale at fair value: | ||||||||||||||||||||
Key inputs | March 31, 2015 | December 31, 2014 | ||||||||||||||||||
Discount rate | ||||||||||||||||||||
Range | 2.4% - 9.7% | 2.3% - 9.6% | ||||||||||||||||||
Weighted average | 2.60% | 2.40% | ||||||||||||||||||
Twelve-month projected housing price index change | ||||||||||||||||||||
Range | 3.3% - 6.1% | 4.2% - 5.4% | ||||||||||||||||||
Weighted average | 3.70% | 4.50% | ||||||||||||||||||
Prepayment/resale speed (1) | ||||||||||||||||||||
Range | 0.8% - 17.1% | 1.3% - 15.5% | ||||||||||||||||||
Weighted average | 15.70% | 15.10% | ||||||||||||||||||
Total prepayment speed (2) | ||||||||||||||||||||
Range | 1.0% - 39.1% | 2.1% - 38.1% | ||||||||||||||||||
Weighted average | 34.70% | 35.70% | ||||||||||||||||||
(1)Voluntary prepayment/resale speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”). | ||||||||||||||||||||
(2)Total prepayment speed is measured using Life Total CPR. | ||||||||||||||||||||
Changes in fair value attributable to changes in instrument specific credit risk are measured by reference to the change in the respective loan’s delinquency status at period end from the later of the beginning of the period or acquisition date. Changes in fair value of mortgage loans held for sale are included in Net gains on mortgage loans held for sale at fair value in the consolidated statements of income. | ||||||||||||||||||||
Derivative Financial Instruments | ||||||||||||||||||||
The Company categorizes IRLCs as a “Level 3” financial statement item. The Company estimates the fair value of an IRLC based on quoted Agency mortgage-backed securities (“MBS”) prices, its estimate of the fair value of the MSRs it expects to receive in the sale of the mortgage loans and the probability that the mortgage loan will fund or be purchased (the “pull-through rate”). | ||||||||||||||||||||
The significant unobservable inputs used in the fair value measurement of the Company’s IRLCs are the pull-through rate and the MSR component of the Company’s estimate of the value of the mortgage loans it has committed to purchase. Significant changes in the pull-through rate or the MSR component of the IRLCs, in isolation, could result in significant changes in fair value measurement. The financial effects of changes in these assumptions are generally inversely correlated as increasing interest rates have a positive effect on the fair value of the MSR component of IRLC fair value, but increase the pull-through rate for loans that have decreased in fair value. | ||||||||||||||||||||
Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs: | ||||||||||||||||||||
Key inputs | March 31, 2015 | December 31, 2014 | ||||||||||||||||||
Pull-through rate | ||||||||||||||||||||
Range | 54.1% - 100.0% | 55.4% - 99.9% | ||||||||||||||||||
Weighted average | 87.50% | 85.50% | ||||||||||||||||||
Mortgage servicing rights value expressed as: | ||||||||||||||||||||
Servicing fee multiple | ||||||||||||||||||||
Range | 1.9 - 4.8 | 2.0 - 5.0 | ||||||||||||||||||
Weighted average | 3.2 | 3.7 | ||||||||||||||||||
Percentage of unpaid principal balance | ||||||||||||||||||||
Range | 0.4% - 3.0% | 0.4% - 3.1% | ||||||||||||||||||
Weighted average | 1.40% | 1.20% | ||||||||||||||||||
Hedging Derivatives | ||||||||||||||||||||
The remaining derivative financial instruments held or issued by the Company are categorized as “Level 1” or “Level 2” financial statement items. The Company estimates the fair value of commitments to sell or purchase loans based on observable MBS prices. The Company estimates the fair value of MBS options based on observed interest rate volatilities in the MBS market. Changes in fair value of IRLCs and related hedging derivatives are included in Net gains on mortgage loans held for sale at fair value in the consolidated statements of income. | ||||||||||||||||||||
Mortgage Servicing Rights | ||||||||||||||||||||
MSRs are categorized as “Level 3” fair value financial statement items. The Company uses a discounted cash flow approach to estimate the fair value of MSRs. This approach consists of projecting net servicing cash flows discounted at a rate that management believes market participants would use in their determinations of fair value. The key inputs used in the estimation of the fair value of MSRs include prepayment rates of the underlying loans, the applicable discount rate or pricing spread, and the per-loan annual cost to service the respective mortgage loans. Changes in the fair value of MSRs are included in Net servicing fees—Amortization, impairment and change in fair value of mortgage servicing rights in the consolidated statements of income. | ||||||||||||||||||||
Following are the key inputs used in determining the fair value of MSRs at the time of initial recognition, excluding MSR purchases: | ||||||||||||||||||||
Quarter ended March 31, | ||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||
Fair | Amortized | Fair | Amortized | |||||||||||||||||
value | cost | value | cost | |||||||||||||||||
(Amount recognized and unpaid principal balance of underlying mortgage loans in thousands) | ||||||||||||||||||||
MSR and pool characteristics: | ||||||||||||||||||||
Amount recognized | $2,675 | $67,281 | $6,933 | $30,581 | ||||||||||||||||
Unpaid principal balance of underlying mortgage loans | $241,518 | $5,137,085 | $511,467 | $2,623,599 | ||||||||||||||||
Weighted average servicing fee rate (in basis points) | 31 | 33 | 32 | 30 | ||||||||||||||||
Inputs: | ||||||||||||||||||||
Pricing spread (1) | ||||||||||||||||||||
Range | 7.3% - 14.4% | 6.8% - 15.9% | 8.5% - 13.8% | 7.3% - 14.8% | ||||||||||||||||
Weighted average | 10.70% | 9.80% | 11.20% | 10.50% | ||||||||||||||||
Annual total prepayment speed (2) | ||||||||||||||||||||
Range | 7.8% - 62.4% | 7.6% - 39.4% | 7.9% - 17.2% | 7.6% - 45.3% | ||||||||||||||||
Weighted average | 11.90% | 8.90% | 8.50% | 8.10% | ||||||||||||||||
Life (in years) | ||||||||||||||||||||
Range | 1.1 – 7.3 | 1.8 – 7.3 | 2.7 – 7.5 | 1.5 – 7.5 | ||||||||||||||||
Weighted average | 6.1 | 6.9 | 7.2 | 7.1 | ||||||||||||||||
Per-loan annual cost of servicing | ||||||||||||||||||||
Range | $59 – $82 | $59 – $82 | $68 – $100 | $68 – $100 | ||||||||||||||||
Weighted average | $74 | $75 | $97 | $100 | ||||||||||||||||
-1 | Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar London Interbank Offered Rate (“LIBOR”) curve for purposes of discounting cash flows relating to MSRs acquired as proceeds from the sale of mortgage loans. | |||||||||||||||||||
-2 | Prepayment speed is measured using Life Total CPR. | |||||||||||||||||||
Following is a quantitative summary of key inputs used in the valuation of the Company’s MSRs at period end and the effect on the estimated fair value from adverse changes in those inputs (weighted averages are based upon UPB): | ||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||
Fair | Amortized | Fair | Amortized | |||||||||||||||||
value | cost | value | cost | |||||||||||||||||
(Carrying value, unpaid principal balance of underlying | ||||||||||||||||||||
mortgage loans and effect on fair value amounts in thousands) | ||||||||||||||||||||
MSR and pool characteristics: | ||||||||||||||||||||
Carrying value | $361,413 | $428,998 | $325,383 | $405,445 | ||||||||||||||||
Unpaid principal balance of underlying mortgage loans | $35,738,618 | $36,247,371 | $30,945,000 | $33,745,613 | ||||||||||||||||
Weighted average note interest rate | 4.15% | 3.81% | 4.24% | 3.82% | ||||||||||||||||
Weighted average servicing fee rate (in basis points) | 30 | 30 | 31 | 30 | ||||||||||||||||
Inputs: | ||||||||||||||||||||
Pricing spread (1) (2) | ||||||||||||||||||||
Range | 3.4% – 21.3% | 6.3% – 16.4% | 2.9% – 21.3% | 6.3% – 15.3% | ||||||||||||||||
Weighted average | 9.20% | 9.30% | 9.20% | 9.70% | ||||||||||||||||
Effect on fair value of: | ||||||||||||||||||||
5% adverse change | ($6,167) | ($8,680) | ($5,550) | ($8,710) | ||||||||||||||||
10% adverse change | ($12,120) | ($17,037) | ($10,908) | ($17,083) | ||||||||||||||||
20% adverse change | ($23,429) | ($32,848) | ($21,084) | ($32,890) | ||||||||||||||||
Average life (in years) | ||||||||||||||||||||
Range | 0.4 – 8.2 | 1.3 – 7.3 | 0.4 – 8.2 | 1.6 – 7.3 | ||||||||||||||||
Weighted average | 5.7 | 6.7 | 5.8 | 6.8 | ||||||||||||||||
Prepayment speed (1) (3) | ||||||||||||||||||||
Range | 7.6% – 66.4% | 7.7% – 56.5% | 7.6% – 60.5% | 7.6% – 42.8% | ||||||||||||||||
Weighted average | 11.80% | 9.40% | 11.20% | 8.50% | ||||||||||||||||
Effect on fair value of: | ||||||||||||||||||||
5% adverse change | ($8,094) | ($8,635) | ($7,052) | ($7,359) | ||||||||||||||||
10% adverse change | ($15,866) | ($16,977) | ($13,835) | ($14,494) | ||||||||||||||||
20% adverse change | ($30,519) | ($32,837) | ($26,654) | ($28,132) | ||||||||||||||||
Annual per-loan cost of servicing (1) | ||||||||||||||||||||
Range | $60 – $99 | $59 – $82 | $59 – $109 | $59 – $81 | ||||||||||||||||
Weighted average | $76 | $76 | $76 | $75 | ||||||||||||||||
Effect on fair value of: | ||||||||||||||||||||
5% adverse change | ($3,344) | ($3,201) | ($2,910) | ($2,992) | ||||||||||||||||
10% adverse change | ($6,688) | ($6,402) | ($5,819) | ($5,983) | ||||||||||||||||
20% adverse change | ($13,377) | ($12,803) | ($11,638) | ($11,967) | ||||||||||||||||
-1 | The effect on value of an adverse change in one of the above-mentioned key inputs may result in recognition of MSR impairment. The extent of the recognized MSR impairment will depend on the relationship of fair value to the carrying value of such MSRs. | |||||||||||||||||||
-2 | Pricing spread represents a margin that is applied to a reference interest rate’s forward curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs acquired as proceeds from the sale of mortgage loans and purchased MSRs not backed by pools of distressed mortgage loans. | |||||||||||||||||||
-3 | Prepayment speed is measured using Life Total CPR. | |||||||||||||||||||
The preceding sensitivity analyses are limited in that they were performed at a particular point in time; only contemplate the movements in the indicated variables; do not incorporate changes to other variables; are subject to the accuracy of various models and assumptions used; and do not incorporate other factors that would affect the Company’s overall financial performance in such scenarios, including operational adjustments made by management to account for changing circumstances. For these reasons, the preceding estimates should not be viewed as earnings forecasts. | ||||||||||||||||||||
Excess Servicing Spread Financing at Fair Value | ||||||||||||||||||||
The Company categorizes ESS financing as a “Level 3” financial statement item. The Company uses a discounted cash flow approach to estimate the fair value of ESS financing. The key inputs used in the estimation of ESS fair value include pricing spread and prepayment speed. Significant changes to either of those inputs in isolation could result in a significant change in the ESS fair value. Changes in these key inputs are not necessarily directly related. | ||||||||||||||||||||
ESS is generally subject to fair value increases when mortgage interest rates increase. Increasing mortgage interest rates normally slow mortgage refinancing activity. Decreased refinancing activity increases the life of the loans underlying the ESS, thereby increasing ESS’ fair value, which is the liability owed to PMT. Increases in the fair value of ESS decrease income and are included in Amortization, impairment and change in fair value of mortgage servicing rights. | ||||||||||||||||||||
Interest expense for ESS is accrued using the interest method based upon the expected cash flows from the ESS through the expected life of the underlying mortgage loans. Other changes in fair value are recorded in Amortization, impairment and change in fair value of mortgage servicing rights. | ||||||||||||||||||||
Following are the key inputs used in estimating the fair value of ESS: | ||||||||||||||||||||
March 31, | December 31, | |||||||||||||||||||
Key inputs | 2015 | 2014 | ||||||||||||||||||
Unpaid principal balance of underlying loans (in thousands) | $33,621,619 | $28,227,340 | ||||||||||||||||||
Average servicing fee rate (in basis points) | 30 | 31 | ||||||||||||||||||
Average excess servicing spread (in basis points) | 16 | 16 | ||||||||||||||||||
Pricing spread (1) | ||||||||||||||||||||
Range | 1.7% - 12.4% | 1.7% - 12.0% | ||||||||||||||||||
Weighted average | 5.50% | 5.30% | ||||||||||||||||||
Average life (in years) | ||||||||||||||||||||
Range | 0.3 - 7.3 | 0.4 - 7.3 | ||||||||||||||||||
Weighted average | 5.7 | 5.8 | ||||||||||||||||||
Annualized prepayment speed (2) | ||||||||||||||||||||
Range | 7.6% - 77.3% | 7.6% - 74.6% | ||||||||||||||||||
Weighted average | 11.60% | 11.20% | ||||||||||||||||||
(1)Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States LIBOR curve for purposes of discounting cash flows relating to ESS. | ||||||||||||||||||||
(2)Prepayment speed is measured using Life Total CPR. | ||||||||||||||||||||
Mortgage_Loans_Held_for_Sale_a
Mortgage Loans Held for Sale at Fair Value | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Mortgage Loans Held for Sale at Fair Value | ||||||||
Mortgage Loans Held for Sale at Fair Value | Note 8—Mortgage Loans Held for Sale at Fair Value | |||||||
Mortgage loans held for sale at fair value include the following: | ||||||||
March 31, | December 31, | |||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Government-insured or guaranteed | $ | 1,183,544 | $ | 866,148 | ||||
Conventional conforming | 86,716 | 66,229 | ||||||
Jumbo | — | 5,599 | ||||||
Delinquent mortgage loans purchased from Ginnie Mae pools serviced by the Company | 75,569 | 206,331 | ||||||
Mortgage loans repurchased pursuant to representations and warranties | 8,115 | 3,577 | ||||||
$ | 1,353,944 | $ | 1,147,884 | |||||
Fair value of mortgage loans pledged to secure mortgage loans sold under agreements to repurchase | $ | 1,132,568 | $ | 976,772 | ||||
Fair value of mortgage loans pledged to secure mortgage loan participation and sale agreement | $ | 196,716 | $ | 148,133 | ||||
Derivative_Financial_Instrumen
Derivative Financial Instruments | 3 Months Ended | |||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||
Derivative Financial Instruments | ||||||||||||||||||
Derivative Financial Instruments | Note 9—Derivative Financial Instruments | |||||||||||||||||
The Company is exposed to fair value risk relative to its mortgage loans held for sale as well as to its IRLCs and MSRs. The Company bears fair value risk from the time an IRLC is made to PMT or a loan applicant to the time the mortgage loan is sold. The Company is exposed to loss in fair value of its IRLCs and mortgage loans held for sale when market mortgage interest rates increase. The Company is exposed to loss in fair value of its MSRs when market mortgage interest rates decrease. | ||||||||||||||||||
The Company engages in interest rate risk management activities in an effort to reduce the variability of earnings caused by changes in market interest rates. To manage this fair value risk resulting from interest rate risk, the Company uses derivative financial instruments acquired with the intention of reducing the risk that changes in market interest rates will result in unfavorable changes in the fair value of the Company’s IRLCs, inventory of mortgage loans held for sale and MSRs. | ||||||||||||||||||
The Company does not use derivative financial instruments for purposes other than in support of its risk management activities other than IRLCs, which are generated in the normal course of business when the Company commits to purchase or originate mortgage loans held for sale. The Company records all derivative financial instruments at fair value and records changes in fair value in current period income. | ||||||||||||||||||
The Company had the following derivative financial instruments recorded on its consolidated balance sheets: | ||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||
Fair value | Fair value | |||||||||||||||||
Notional | Derivative | Derivative | Notional | Derivative | Derivative | |||||||||||||
Instrument | amount | assets | liabilities | amount | assets | liabilities | ||||||||||||
(in thousands) | ||||||||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||||
Free-standing derivatives: | ||||||||||||||||||
Interest rate lock commitments | 3,123,645 | $ | 55,348 | $ | 956 | 1,765,597 | $ | 33,353 | $ | 952 | ||||||||
Forward purchase contracts | 5,124,867 | 33,048 | 909 | 2,634,218 | 9,060 | 141 | ||||||||||||
Forward sales contracts | 7,464,527 | 909 | 46,711 | 3,901,851 | 320 | 16,110 | ||||||||||||
MBS put options | 450,000 | 449 | — | 340,000 | 476 | — | ||||||||||||
Put options on interest rate futures purchase contracts | 1,470,500 | 894 | — | 755,000 | 862 | — | ||||||||||||
Call options on interest rate futures purchase contracts | 870,000 | 4,011 | — | 630,000 | 2,193 | — | ||||||||||||
Put options on interest rate futures sale contracts | 100,000 | — | 141 | 50,000 | — | 8 | ||||||||||||
Total derivatives before netting | 94,659 | 48,717 | 46,264 | 17,211 | ||||||||||||||
Netting | -33,595 | -37,814 | -7,807 | -10,698 | ||||||||||||||
$ | 61,064 | $ | 10,903 | $ | 38,457 | $ | 6,513 | |||||||||||
Margin deposits with (collateral received from) derivative counterparties, net | $ | -4,219 | $ | -2,891 | ||||||||||||||
The following table summarizes the notional value activity for derivative contracts used in the Company’s hedging activities: | ||||||||||||||||||
Quarter ended March 31, 2015 | ||||||||||||||||||
Balance | Balance | |||||||||||||||||
beginning of | Dispositions/ | end of | ||||||||||||||||
Instrument | period | Additions | expirations | period | ||||||||||||||
(in thousands) | ||||||||||||||||||
Forward purchase contracts | 2,634,218 | 19,635,850 | -17,145,201 | 5,124,867 | ||||||||||||||
Forward sale contracts | 3,901,851 | 26,740,272 | -23,177,596 | 7,464,527 | ||||||||||||||
MBS put options | 340,000 | 785,000 | -675,000 | 450,000 | ||||||||||||||
Put options on interest rate futures purchase contracts | 755,000 | 1,540,500 | -825,000 | 1,470,500 | ||||||||||||||
Call options on interest rate futures purchase contracts | 630,000 | 745,000 | -505,000 | 870,000 | ||||||||||||||
Put options on interest rate futures sale contracts | 50,000 | 50,000 | — | 100,000 | ||||||||||||||
Call options on interest rate futures sale contracts | — | 35,100 | -35,100 | — | ||||||||||||||
Quarter ended March 31, 2014 | ||||||||||||||||||
Balance | Balance | |||||||||||||||||
beginning of | Dispositions/ | end of | ||||||||||||||||
Period/Instrument | period | Additions | expirations | period | ||||||||||||||
(in thousands) | ||||||||||||||||||
Forward purchase contracts | 1,418,527 | 6,899,388 | -6,811,248 | 1,506,667 | ||||||||||||||
Forward sale contracts | 2,659,000 | 10,540,119 | -10,369,943 | 2,829,176 | ||||||||||||||
MBS put options | 185,000 | 385,000 | -395,000 | 175,000 | ||||||||||||||
MBS call options | 105,000 | 395,000 | -340,000 | 160,000 | ||||||||||||||
Put options on interest rate futures sales contracts | — | 325,000 | — | 325,000 | ||||||||||||||
Call options on interest rate futures sales contracts | — | 175,000 | -75,000 | 100,000 | ||||||||||||||
Treasury futures purchase contracts | — | 21,600 | -21,600 | — | ||||||||||||||
Treasury futures sale contracts | — | 30,700 | -30,700 | — | ||||||||||||||
The Company recorded net losses on derivative financial instruments used to hedge IRLCs and mortgage loans held for sale at fair value totaling $25.8 million and $20.1 million for the quarters ended March 31, 2015 and 2014, respectively. Derivative gains and losses used to hedge IRLCs and mortgage loans held for sale at fair value are included in Net gains on mortgage loans held for sale at fair value in the Company’s consolidated statements of income. | ||||||||||||||||||
The Company recorded net gains on derivatives used to hedge fair value changes of MSRs totaling $17.1 million for the quarter ended March 31, 2015 and net losses on derivatives used to hedge fair value changes of MSRs totaling $431,000 for the quarter ended March 31, 2014. Gains and losses on derivative financial instruments used to hedge fair value changes of MSRs are included in Amortization, impairment and change in fair value of mortgage servicing rights in the Company’s consolidated statements of income. | ||||||||||||||||||
Mortgage_Servicing_Rights
Mortgage Servicing Rights | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Mortgage Servicing Rights | ||||||||
Mortgage Servicing Assets and Liabilities | Note 10—Mortgage Servicing Rights | |||||||
Carried at Fair Value: | ||||||||
The activity in MSRs carried at fair value is as follows: | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Balance at beginning of period | $ | 325,383 | $ | 224,913 | ||||
Additions: | ||||||||
Purchases | 63,137 | 25,866 | ||||||
Mortgage servicing rights resulting from mortgage loan sales | 2,675 | 6,933 | ||||||
65,812 | 32,799 | |||||||
Change in fair value due to: | ||||||||
Changes in valuation inputs or assumptions used in valuation model (1) | -17,715 | -2,956 | ||||||
Other changes in fair value (2) | -12,067 | -7,772 | ||||||
Total change in fair value | -29,782 | -10,728 | ||||||
Balance at end of period | $ | 361,413 | $ | 246,984 | ||||
Fair value of mortgage servicing rights pledged to secure note payable | $ | 413,582 | $ | 272,115 | ||||
-1 | Principally reflects changes in discount rates and prepayment speed inputs, primarily due to changes in market mortgage interest rates. | |||||||
-2 | Represents changes due to realization of cash flows. | |||||||
Carried at Lower of Amortized Cost or Fair Value: | ||||||||
The activity in MSRs carried at the lower of amortized cost or fair value is summarized below: | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Amortized cost: | ||||||||
Balance at beginning of period | $ | 415,245 | $ | 263,373 | ||||
Mortgage servicing rights resulting from mortgage loan sales | 67,281 | 30,581 | ||||||
Amortization | -12,036 | -6,767 | ||||||
Application of valuation allowance to write down mortgage servicing rights with other-than-temporary impairment | — | — | ||||||
Balance at end of period | 470,490 | 287,187 | ||||||
Valuation allowance: | ||||||||
Balance at beginning of period | -9,800 | -4,622 | ||||||
Additions | -31,692 | -421 | ||||||
Application of valuation allowance to write down mortgage servicing rights with other-than-temporary impairment | — | — | ||||||
Balance at end of period | -41,492 | -5,043 | ||||||
Mortgage servicing rights, net | $ | 428,998 | $ | 282,144 | ||||
Fair value of mortgage servicing rights at end of period | $ | 437,824 | $ | 291,535 | ||||
Fair value of mortgage servicing rights at beginning of period | $ | 416,802 | $ | 269,422 | ||||
The following table summarizes the Company’s estimate of future amortization of its existing MSRs. This projection was developed using the inputs used in the March 31, 2015 valuation of MSRs. The inputs underlying the following estimate will change as market conditions and portfolio composition and behavior change, causing both actual and projected amortization levels to change over time. | ||||||||
Estimated MSR | ||||||||
Twelve month period ending March 31, | amortization | |||||||
(in thousands) | ||||||||
2016 | $ | 49,285 | ||||||
2017 | 47,769 | |||||||
2018 | 44,250 | |||||||
2019 | 40,463 | |||||||
2020 | 36,640 | |||||||
Thereafter | 252,083 | |||||||
$ | 470,490 | |||||||
Servicing fees relating to MSRs are recorded in Net servicing fees—Loan servicing fees—From non-affiliates on the consolidated statements of income; late charges and other ancillary fees relating to MSRs are recorded in Net servicing fees—Loan servicing fees—Ancillary and other fees on the consolidated statements of income. The fees are summarized below: | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Contractual servicing fees | $ | 50,101 | $ | 36,100 | ||||
Ancillary and other fees: | ||||||||
Late charges | 1,651 | 887 | ||||||
Other | 711 | 176 | ||||||
$ | 52,463 | $ | 37,163 | |||||
Mortgage Servicing Liabilities Carried at Fair Value: | ||||||||
The activity in mortgage servicing liabilities carried at fair value is summarized below: | ||||||||
Quarter ended | ||||||||
March 31, 2015 | ||||||||
(in thousands) | ||||||||
Amortized cost: | ||||||||
Balance at beginning of period | $ | 6,306 | ||||||
Mortgage servicing liabilities resulting from mortgage loan sales | 2,928 | |||||||
Change in fair value | -2,705 | |||||||
Balance at end of period | $ | 6,529 | ||||||
Carried_Interest_Due_from_Inve
Carried Interest Due from Investment Funds | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Carried Interest Due from Investment Funds | ||||||||
Carried Interest Due from Investment Funds | ||||||||
Note 11—Carried Interest Due from Investment Funds | ||||||||
The activity in the Company’s Carried Interest due from Investment Funds is summarized as follows: | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Balance at beginning of period | $ | 67,298 | $ | 61,142 | ||||
Carried Interest recognized during the period | 1,233 | 2,157 | ||||||
Proceeds received during the period | — | — | ||||||
Balance at end of period | $ | 68,531 | $ | 63,299 | ||||
The amount of the Carried Interest that will be received by the Company depends on the Investment Funds’ future performance. As a result, the amount of Carried Interest recorded by the Company is based on the cash flows that would be produced assuming termination of the Investment Funds at period end and may be reduced in future periods based on the performance of the Investment Funds in those periods. However, the Company is not required to pay guaranteed returns to the Investment Funds and the amount of any reduction to Carried Interest will be limited to the amounts previously recognized. | ||||||||
Management expects the Carried Interest to be collected by the Company when the Investment Funds liquidate. The commitment period for the Investment Funds ended on December 31, 2011. The Investment Fund limited liability company and limited partnership agreements specify that the funds will continue in existence through December 31, 2016, subject to three one-year extensions by PCM at its discretion. | ||||||||
Investment_in_PennyMac_Mortgag
Investment in PennyMac Mortgage Investment Trust at Fair Value | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Investment in PennyMac Mortgage Investment Trust at Fair Value | ||||||||
Investment in PennyMac Mortgage Investment Trust at Fair Value | Note 12—Investment in PennyMac Mortgage Investment Trust at Fair Value | |||||||
Following is a summary of Change in fair value of investment in and dividends received from PennyMac Mortgage Investment Trust: | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Dividends | $ | 92 | $ | 44 | ||||
Change in fair value | 15 | 71 | ||||||
$ | 107 | $ | 115 | |||||
Fair value of PennyMac Mortgage Investment Trust shares at period end | $ | 1,597 | $ | 1,793 | ||||
Borrowings
Borrowings | 3 Months Ended | ||||||||
Mar. 31, 2015 | |||||||||
Borrowings | |||||||||
Borrowings | Note 13—Borrowings | ||||||||
As of March 31, 2015, the Company maintained six borrowing facilities: four facilities that provide funding for sales of mortgage loans under agreements to repurchase; one facility that provides for sale of mortgage loan participation certificates; and one note payable secured by MSRs and servicing advances made relating to certain loans in the Company’s mortgage loan servicing portfolio. | |||||||||
The borrowing facilities contain various covenants, including financial covenants governing PLS’s net worth, debt to equity ratio, profitability and liquidity. Management believes that PLS was in compliance with these requirements as of March 31, 2015. | |||||||||
Mortgage Loans Sold Under Agreement to Repurchase | |||||||||
Three of the borrowing facilities secured by mortgage loans held for sale are in the form of mortgage loan sale and repurchase agreements. Eligible mortgage loans are sold at advance rates based on the loan type. Interest is charged at a rate based on the buyer’s overnight cost of funds rate for one agreement and on LIBOR for the other three agreements. Mortgage loans financed under these agreements may be re-pledged by the lenders. | |||||||||
Financial data pertaining to mortgage loans sold under agreements to repurchase are as follows: | |||||||||
Quarter ended March 31, | |||||||||
2015 | 2014 | ||||||||
(in thousands) | |||||||||
Period end: | |||||||||
Balance | $ | 992,187 | $ | 567,737 | |||||
Unused amount (1) | $ | 307,813 | $ | 432,263 | |||||
Weighted average interest rate (3) | 1.82 | % | 1.76 | % | |||||
Fair value of mortgage loans securing agreements to repurchase | $ | 1,132,568 | $ | 694,028 | |||||
Margin deposits placed with counterparties (2) | $ | 1,500 | $ | 1,500 | |||||
During the period: | |||||||||
Average balance of mortgage loans sold under agreements to repurchase | $ | 616,896 | $ | 291,093 | |||||
Weighted average interest rate (3) | 1.79 | % | 1.78 | % | |||||
Total interest expense | $ | 3,809 | $ | 2,329 | |||||
Maximum daily amount outstanding | $ | 992,187 | $ | 567,737 | |||||
-1 | The amount the Company is able to borrow under mortgage loan repurchase agreements is tied to the fair value of unencumbered mortgage loans eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the mortgage loans sold. | ||||||||
-2 | Margin deposits are included in Other assets on the consolidated balance sheet. | ||||||||
-3 | Excludes the effect of amortization of commitment fees totaling $980,000 and $1.0 million for the quarters ended March 31, 2015 and 2014, respectively. | ||||||||
Following is a summary of maturities of outstanding advances under repurchase agreements by maturity date: | |||||||||
Remaining maturity at March 31, 2015 | Balance | ||||||||
(in thousands) | |||||||||
Within 30 days | $ | 2,475 | |||||||
Over 30 to 90 days | 918,144 | ||||||||
Over 90 days to 180 days | — | ||||||||
Over 180 days | 71,568 | ||||||||
$ | 992,187 | ||||||||
Weighted average maturity (in months) | 2.7 | ||||||||
The amount at risk (the fair value of the assets pledged plus the related margin deposit, less the amount advanced by the counterparty and accrued interest) relating to the Company’s mortgage loans held for sale sold under agreements to repurchase is summarized by counterparty below as of March 31, 2015: | |||||||||
Weighted average | |||||||||
maturity of advances | |||||||||
under repurchase | |||||||||
Counterparty | Amount at risk | agreement | Facility maturity | ||||||
(in thousands) | |||||||||
Credit Suisse First Boston Mortgage Capital LLC | $ | 77,916 | 8-Jul-15 | 30-Oct-15 | |||||
Bank of America, N.A. | $ | 36,407 | 17-Jun-15 | 30-Jan-16 | |||||
Morgan Stanley Bank, N.A. | $ | 10,670 | 17-May-15 | 29-Jun-15 | |||||
Citibank, N.A. | $ | 15,519 | 6-May-15 | 7-Sep-15 | |||||
The Company is subject to margin calls during the period the agreements are outstanding and therefore may be required to repay a portion of the borrowings before the respective agreements mature if the fair value (as determined by the applicable lender) of the mortgage loans securing those agreements decreases. | |||||||||
Mortgage Loan Participation and Sale Agreement | |||||||||
One of the borrowing facilities secured by mortgage loans held for sale is in the form of a mortgage loan participation and sale agreement. Participation certificates, each of which represents an undivided beneficial ownership interest in mortgage loans that have been pooled with Fannie Mae, Freddie Mac or Ginnie Mae, are sold to the lender pending the securitization of the mortgage loans and sale of the resulting securities. A commitment to sell the securities resulting from the pending securitization between the Company and a non-affiliate is also assigned to the lender at the time a participation certificate is sold. | |||||||||
The purchase price paid by the lender for each participation certificate is based on the trade price of the security, plus an amount of interest expected to accrue on the security to its anticipated delivery date, minus a present value adjustment, any related hedging costs and a holdback amount that is based on a percentage of the purchase price 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 and sale agreement is summarized below: | |||||||||
Quarter ended, | |||||||||
March 31, 2015 | |||||||||
(in thousands) | |||||||||
Period end: | |||||||||
Mortgage loan participation and sale agreement secured by mortgage loans | $ | 190,762 | |||||||
Mortgage loans pledged to secure mortgage loan participation and sale agreement | $ | 196,716 | |||||||
During the period: | |||||||||
Average balance | $ | 143,638 | |||||||
Weighted average interest rate (1) | 1.25 | % | |||||||
Total interest expense | $ | 519 | |||||||
-1 | Excludes the effect of amortization of commitment fees totaling $98,000 for the quarter ended March 31, 2015. | ||||||||
Note Payable | |||||||||
The note payable is summarized below: | |||||||||
Quarter ended March 31, | |||||||||
2015 | 2014 | ||||||||
(in thousands) | |||||||||
Period end: | |||||||||
Note payable secured by: | |||||||||
Mortgage servicing rights | $ | 134,665 | $ | 48,819 | |||||
Servicing advances | — | — | |||||||
$ | 134,665 | $ | 48,819 | ||||||
Assets pledged to secure note payable: | |||||||||
Mortgage servicing rights | $ | 413,582 | $ | 272,115 | |||||
Servicing advances | $ | — | $ | — | |||||
During the period: | |||||||||
Average balance | $ | 141,280 | $ | 52,354 | |||||
Weighted average interest rate | 2.96 | % | 2.91 | % | |||||
Total interest expense | $ | 1,635 | $ | 659 | |||||
The note payable is secured by servicing advances and MSRs relating to certain loans in the Company’s servicing portfolio, and currently provides for advance rates of 50% of the carrying value of MSRs pledged and 85% of the amount of the servicing advances pledged. Interest is charged at a rate based on the lender’s overnight cost of funds. | |||||||||
Excess Servicing Spread Financing | |||||||||
In conjunction with the Company’s purchase from non-affiliates of certain MSRs on pools of Agency-backed residential mortgage loans, the Company has entered into sale and assignment agreements which are treated as financings and are carried at fair value with changes in fair value recognized in current period income. Under these agreements, the Company sold to PMT the right to receive ESS cash flows relating to certain MSRs. The Company retained a fixed base servicing fee and all ancillary income associated with servicing the mortgage loans. The Company continues to be the servicer of the mortgage loans and provides all servicing functions, including responsibility to make servicing advances. | |||||||||
Following is a summary of ESS: | |||||||||
Quarter ended March 31, | |||||||||
2015 | 2014 | ||||||||
(in thousands) | |||||||||
Balance at beginning of period | $ | 191,166 | $ | 138,723 | |||||
Issuances if excess servicing spread to PennyMac Mortgage Investment Trust: | |||||||||
For cash | 46,412 | 20,526 | |||||||
Pursuant to a recapture agreement | 1,246 | 1,113 | |||||||
Accrual of interest | 3,752 | 2,862 | |||||||
Repayments | -12,731 | -7,413 | |||||||
Change in fair value | -7,536 | -4,792 | |||||||
Balance at end of period | $ | 222,309 | $ | 151,019 | |||||
Liability_for_Losses_Under_Rep
Liability for Losses Under Representations and Warranties | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Liability for Losses Under Representations and Warranties | ||||||||
Liability for Losses Under Representations and Warranties | ||||||||
Note 14—Liability for Losses Under Representations and Warranties | ||||||||
Following is a summary of activity in the Company’s liability for representations and warranties: | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Balance at beginning of period | $ | 13,259 | $ | 8,123 | ||||
Provision for losses on loans sold | 1,495 | 851 | ||||||
Incurred losses | -65 | — | ||||||
Balance at end of period | $ | 14,689 | $ | 8,974 | ||||
Unpaid principal balance of mortgage loans subject to representations and warranties at period end | $ | 39,624,553 | $ | 26,304,717 | ||||
Income_Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2015 | |
Income Taxes | |
Income Taxes | Note 15—Income Taxes |
For the quarters ended March 31, 2015 and 2014, the Company’s effective tax rates were 11.5% and 11.3%, respectively. The difference between the Company’s effective tax rate and the statutory rate is primarily due to the allocation of earnings to the noncontrolling interest unitholders. As the noncontrolling interest unitholders convert their ownership units into the Company’s shares, the portion of the Company’s income that will be subject to corporate federal and state statutory tax rates will increase, which will in turn increase PFSI’s effective income tax rate. | |
Noncontrolling_Interest
Noncontrolling Interest | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Noncontrolling Interest | ||||||||
Noncontrolling Interest | Note 16—Noncontrolling Interest | |||||||
During the quarter ended March 31, 2015, PennyMac unitholders exchanged 44,000 Class A units for the Company’s Class A common stock. The effect of the exchanges reduced the percentage of the Noncontrolling interest in Private National Mortgage Acceptance Company, LLC from 71.6% at December 31, 2014 to 71.5% at March 31, 2015. | ||||||||
During the quarter ended March 31, 2014, PennyMac unitholders exchanged 66,709 Class A units for the Company’s Class A common stock. The effect of the exchanges reduced the percentage of the Noncontrolling interest in Private National Mortgage Acceptance Company, LLC from 72.6% at December 31, 2013 to 72.5% at March 31, 2014. | ||||||||
Net income attributable to the Company’s common stockholders and the effects of changes in noncontrolling ownership interest in PennyMac is summarized below: | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands, except share amounts) | ||||||||
Net income attributable to PennyMac Financial Services, Inc. common stockholders | $ | 9,028 | $ | 7,972 | ||||
Increase in the Company's additional paid-in capital for exchanges of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. (Class A shares issued, 44,000 and 66,709 during the quarters ended March 31, 2015 and 2014, respectively) | $ | 792 | $ | 563 | ||||
Net_Gains_on_Mortgage_Loans_He
Net Gains on Mortgage Loans Held for Sale | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Net Gains on Mortgage Loans Held for Sale | ||||||||
Net Gains on Mortgage Loans Held for Sale | Note 17—Net Gains on Mortgage Loans Held for Sale | |||||||
Net gains on mortgage loans held for sale at fair value is summarized below: | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Cash (loss) gain: | ||||||||
Sales proceeds | $ | 2,730 | $ | 4,481 | ||||
Hedging activities | -18,329 | -10,256 | ||||||
-15,599 | -5,775 | |||||||
Non-cash gain: | ||||||||
Mortgage servicing rights resulting from mortgage loan sales | 69,956 | 37,514 | ||||||
Mortgage servicing liabilities resulting from mortgage loan sales | -2,928 | — | ||||||
Excess servicing spread recapture payable to PennyMac Mortgage Investment Trust | -1,289 | -1,898 | ||||||
Provision for losses relating to representations and warranties on loans sold | -1,495 | -851 | ||||||
Change in fair value relating to loans and hedging derivatives held at period end: | ||||||||
Interest rate lock commitments | 21,991 | 7,536 | ||||||
Mortgage loans | 12,201 | 7,828 | ||||||
Hedging derivatives | -7,459 | -9,816 | ||||||
$ | 75,378 | $ | 34,538 | |||||
Net_Interest_Expense
Net Interest Expense | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Net Interest Expense | ||||||||
Net Interest Expense | Note 18—Net Interest Expense | |||||||
Net interest expense is summarized below: | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Interest income: | ||||||||
Short-term investments | $ | 512 | $ | 201 | ||||
Mortgage loans held for sale at fair value | 8,421 | 3,909 | ||||||
8,933 | 4,110 | |||||||
Interest expense: | ||||||||
Mortgage loans sold under agreements to repurchase | 3,809 | 2,329 | ||||||
Mortgage loan participation and sale agreement | 519 | — | ||||||
Note payable | 1,635 | 659 | ||||||
Excess servicing spread financing at fair value | 3,752 | 2,862 | ||||||
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations | 1,524 | 218 | ||||||
Interest on mortgage loan impound deposits | 590 | 318 | ||||||
11,829 | 6,386 | |||||||
$ | -2,896 | $ | -2,276 | |||||
Stockbased_Compensation
Stock-based Compensation | 3 Months Ended | ||||||||||
Mar. 31, 2015 | |||||||||||
Stock-based Compensation | |||||||||||
Stock-based Compensation | Note 19—Stock-based Compensation | ||||||||||
The Company’s 2013 Equity Incentive Plan provides for grants of stock options, time-based and performance-based restricted stock units (“RSUs”), stock appreciation rights, performance units and stock grants. As of March 31, 2015, the Company has 1.9 million units available for future awards. The Company estimates the cost of the stock options, time-based RSUs and performance-based RSUs awarded with reference to the fair value of the Company’s Class A common stock on the date of the grants. Compensation costs are fixed, except for the performance-based RSUs, at the grant’s estimated fair value on the grant date as all grantees are employees of PennyMac or directors of the Company. Expense relating to grants is included in Compensation in the consolidated statements of income. | |||||||||||
Following is a summary of the stock-based compensation expense by instrument awarded: | |||||||||||
Quarter ended March 31, | |||||||||||
2015 | 2014 | ||||||||||
(in thousands) | |||||||||||
Stock options | $ | 1,480 | $ | 1,187 | |||||||
Performance-based RSUs | 1,871 | 762 | |||||||||
Time-based RSUs | 535 | 436 | |||||||||
$ | 3,886 | $ | 2,385 | ||||||||
Following is a summary of equity awards: | |||||||||||
Quarter ended March 31, 2015 | |||||||||||
Stock options | Performance-based RSUs | Time-based RSUs | |||||||||
(in thousands) | |||||||||||
December 31, 2014 | 1,167 | 1,257 | 202 | ||||||||
Granted | 715 | 1,143 | 118 | ||||||||
Vested | — | — | -31 | ||||||||
Exercised | — | — | — | ||||||||
Forfeited or canceled | -1 | -2 | — | ||||||||
March 31, 2015 | 1,881 | 2,398 | 289 | ||||||||
Quarter ended March 31, 2014 | |||||||||||
Stock options | Performance-based RSUs | Time-based RSUs | |||||||||
(in thousands) | |||||||||||
December 31, 2013 | 419 | 491 | 100 | ||||||||
Granted | 747 | 609 | 97 | ||||||||
Vested | — | — | — | ||||||||
Exercised | — | — | — | ||||||||
Forfeited or canceled | -5 | -6 | -1 | ||||||||
March 31, 2014 | 1,161 | 1,094 | 196 | ||||||||
Supplemental_Cash_Flow_Informa
Supplemental Cash Flow Information | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Supplemental Cash Flow Information | ||||||||
Supplemental Cash Flow Information | Note 20—Supplemental Cash Flow Information | |||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Cash paid for interest | $ | 11,606 | $ | 6,223 | ||||
Cash paid for income taxes | $ | 1,902 | $ | 3 | ||||
Non-cash investing activity: | ||||||||
Mortgage servicing rights resulting from mortgage loan sales | $ | 69,956 | $ | 37,514 | ||||
Mortgage servicing liabilities resulting from mortgage loan sales | $ | 2,928 | $ | — | ||||
Non-cash financing activity: | ||||||||
Transfer of excess servicing spread pursuant to recapture agreement with PennyMac Mortgage Investment Trust | $ | 1,246 | $ | 1,113 | ||||
Issuance of common stock in settlement of director fees | $ | 74 | $ | — | ||||
Regulatory_Net_Worth_and_Agenc
Regulatory Net Worth and Agency Capital Requirements | 3 Months Ended | |||||||||||||
Mar. 31, 2015 | ||||||||||||||
Regulatory Net Worth and Agency Capital Requirements | ||||||||||||||
Regulatory Net Worth and Agency Capital Requirements | Note 21—Regulatory Net Worth and Agency Capital Requirements | |||||||||||||
The Company, through PLS and PennyMac, is required to maintain specified levels of equity to remain a seller/servicer in good standing with the Agencies. Such equity requirements generally are tied to the size of the Company’s loan servicing portfolio or loan origination volume. | ||||||||||||||
The Agencies’ capital requirements, the calculations of which are specified by each Agency, are summarized below: | ||||||||||||||
Agency capital | ||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||
Agency–company subject to requirement | Balance (1) | Requirement | Balance (1) | Requirement | ||||||||||
(in thousands) | ||||||||||||||
Fannie Mae–PLS | $ | 628,604 | $ | 35,267 | $ | 583,686 | $ | 35,507 | ||||||
Freddie Mac–PLS | $ | 628,693 | $ | 4,015 | $ | 583,819 | $ | 3,721 | ||||||
Ginnie Mae–PLS | $ | 581,518 | $ | 130,803 | $ | 536,009 | $ | 111,457 | ||||||
Ginnie Mae–PennyMac | $ | 815,745 | $ | 156,963 | $ | 763,907 | $ | 133,748 | ||||||
HUD–PLS | $ | 581,518 | $ | 2,500 | $ | 539,844 | $ | 2,500 | ||||||
-1 | Calculated in compliance with the respective Agency’s requirements. | |||||||||||||
Noncompliance with the respective Agencies’ capital requirements can result in the respective Agency taking various remedial actions up to and including removing PennyMac’s ability to sell loans to and service loans on behalf of the respective Agency. PennyMac and PLS had Agency capital in excess of the respective Agencies’ requirements at March 31, 2015. | ||||||||||||||
Commitments_and_Contingencies
Commitments and Contingencies | 3 Months Ended | ||||
Mar. 31, 2015 | |||||
Commitment and Contingencies. | |||||
Commitments and Contingencies | Note 22—Commitments and Contingencies | ||||
Litigation | |||||
The business of the Company involves the collection of numerous accounts, as well as the validation of liens and compliance with various state and federal lending and servicing laws. Accordingly, the Company may be involved in proceedings, claims, and legal actions arising in the ordinary course of business. As of March 31, 2015, the Company was not involved in any legal proceedings, claims, or actions that in management’s view would be reasonably likely to have a material adverse effect on the Company. | |||||
Commitments to Fund and Sell Mortgage Loans | |||||
March 31, 2015 | |||||
(in thousands) | |||||
Commitments to purchase mortgage loans from PennyMac Mortgage Investment Trust | $ | 2,141,582 | |||
Commitments to fund mortgage loans | 982,063 | ||||
$ | 3,123,645 | ||||
Commitments to sell mortgage loans | $ | 7,464,527 | |||
Segments_and_Related_Informati
Segments and Related Information | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Segments and Related Information | |||||||||||||||||
Segments and Related Information | Note 23—Segments and Related Information | ||||||||||||||||
The Company operates in three segments: loan production, loan servicing and investment management. | |||||||||||||||||
Two of the segments are in the mortgage banking business: loan production and loan servicing. The loan production segment performs origination, acquisition and sale activities. The loan servicing segment performs servicing of newly originated mortgage loans, execution and management of early buyout loans and servicing of mortgage loans sourced and managed by the investment management segment, including executing the loan resolution strategy identified by the investment management segment relating to distressed mortgage loans. | |||||||||||||||||
The investment management segment represents the activities of the Company’s investment manager, which include sourcing, performing diligence, bidding and closing investment asset acquisitions, managing correspondent lending activities for PMT and managing the acquired assets for the Advised Entities. | |||||||||||||||||
Financial highlights by segment are as follows: | |||||||||||||||||
Quarter ended March 31, 2015 | |||||||||||||||||
Mortgage Banking | Investment | ||||||||||||||||
Production | Servicing | Total | Management | Total | |||||||||||||
(in thousands) | |||||||||||||||||
Revenues (1) | |||||||||||||||||
Net gains on mortgage loans held for sale at fair value | $ | 76,979 | $ | -1,601 | $ | 75,378 | $ | — | $ | 75,378 | |||||||
Loan origination fees | 16,682 | — | 16,682 | — | 16,682 | ||||||||||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 12,866 | — | 12,866 | — | 12,866 | ||||||||||||
Net servicing fees | — | 26,776 | 26,776 | — | 26,776 | ||||||||||||
Management fees | — | — | — | 8,489 | 8,489 | ||||||||||||
Carried Interest from Investment Funds | — | — | — | 1,233 | 1,233 | ||||||||||||
Net interest income (expense): | |||||||||||||||||
Interest income | 7,016 | 1,917 | 8,933 | — | 8,933 | ||||||||||||
Interest expense | 3,641 | 8,188 | 11,829 | — | 11,829 | ||||||||||||
3,375 | -6,271 | -2,896 | — | -2,896 | |||||||||||||
Other | 913 | 618 | 1,531 | 255 | 1,786 | ||||||||||||
Total net revenue | 110,815 | 19,522 | 130,337 | 9,977 | 140,314 | ||||||||||||
Expenses | 40,132 | 38,067 | 78,199 | 8,877 | 87,076 | ||||||||||||
Income before provision for income taxes | $ | 70,683 | $ | -18,545 | $ | 52,138 | $ | 1,100 | $ | 53,238 | |||||||
Segment assets at period end (2) | $ | 1,399,817 | $ | 1,322,301 | $ | 2,722,118 | $ | 92,093 | $ | 2,814,211 | |||||||
-1 | All revenues are from external customers. | ||||||||||||||||
-2 | Excludes parent Company assets, which consist primarily of deferred tax asset of $42.1 million. | ||||||||||||||||
Quarter ended March 31, 2014 | |||||||||||||||||
Mortgage Banking | Investment | ||||||||||||||||
Production | Servicing | Total | Management | Total | |||||||||||||
(in thousands) | |||||||||||||||||
Revenues (1) | |||||||||||||||||
Net gains on mortgage loans held for sale at fair value | $ | 34,538 | $ | — | $ | 34,538 | $ | — | $ | 34,538 | |||||||
Loan origination fees | 6,880 | — | 6,880 | — | 6,880 | ||||||||||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 8,902 | — | 8,902 | — | 8,902 | ||||||||||||
Net servicing fees | — | 43,764 | 43,764 | — | 43,764 | ||||||||||||
Management fees | — | — | — | 10,109 | 10,109 | ||||||||||||
Carried Interest from Investment Funds | — | — | — | 2,157 | 2,157 | ||||||||||||
Net interest income (expense): | |||||||||||||||||
Interest income | 4,106 | — | 4,106 | 4 | 4,110 | ||||||||||||
Interest expense | 2,329 | 4,057 | 6,386 | — | 6,386 | ||||||||||||
1,777 | -4,057 | -2,280 | 4 | -2,276 | |||||||||||||
Other | 643 | 519 | 1,162 | 256 | 1,418 | ||||||||||||
Total net revenue | 52,740 | 40,226 | 92,966 | 12,526 | 105,492 | ||||||||||||
Expenses | 26,786 | 23,113 | 49,899 | 6,532 | 56,431 | ||||||||||||
Income before provision for income taxes | $ | 25,954 | $ | 17,113 | $ | 43,067 | $ | 5,994 | $ | 49,061 | |||||||
Segment assets at period end (2) | $ | 790,733 | $ | 807,252 | $ | 1,597,985 | $ | 103,698 | $ | 1,701,683 | |||||||
(1)All revenues are from external customers. | |||||||||||||||||
(2)Excludes parent Company assets, which consist primarily of deferred tax assets of $58.2 million. | |||||||||||||||||
Recently_Issued_Accounting_Pro
Recently Issued Accounting Pronouncements | 3 Months Ended |
Mar. 31, 2015 | |
Recently Issued Accounting Pronouncements | |
Recently Issued Accounting Pronouncements | Note 24—Recently Issued Accounting Pronouncements |
In April of 2015, the FASB issued Accounting Standards Update (“ASU”) No. 2015-03, Interest - Imputation of Interest (Subtopic 835-30): Simplifying the Presentation of Debt Issuance Costs. The amendments in this ASU require that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts. The recognition and measurement guidance for debt issuance costs are not affected by the amendments in this ASU. ASU 2015-03 should be applied on a retrospective basis and is effective for the Company for financial statements issued for fiscal years and interim periods within those fiscal years beginning after December 15, 2015. The adoption of ASU 2015-03 is not expected to have a material effect on the Company’s consolidated financial statements | |
Subsequent_Events
Subsequent Events | 3 Months Ended | |||
Mar. 31, 2015 | ||||
Subsequent Events | ||||
Subsequent Events | Note 25—Subsequent Events | |||
Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period: | ||||
· | On April 28, 2015, the Company entered into a letter of intent with a third party to purchase a $9.3 billion unpaid principal balance portfolio of Agency MSRs. The Company intends to sell to PennyMac Holdings, LLC (“PMH”), a subsidiary of PMT, approximately $74 million of ESS from this MSR portfolio. | |||
The MSR acquisition by the Company and its sale of ESS to PMH are subject to the negotiation and execution of definitive documentation, continuing due diligence and customary closing conditions, including required regulatory approvals. There can be no assurance that the committed amounts will ultimately be acquired or that the transactions will be completed at all. | ||||
· | On April 30, 2015, the Company, through PLS and PennyMac, entered into an amendment to its Third Amended and Restated Loan and Security Agreement, dated as of March 27, 2015, pursuant to which PLS may finance certain of its MSRs and servicing advance receivables with Credit Suisse First Boston Mortgage Capital LLC (“CSFB”) (the “Loan and Security Agreement”). The Loan and Security Agreement is guaranteed in full by PennyMac. | |||
Under the terms of the amendment, the maximum loan amount under the Loan and Security Agreement was increased from $257 million to $407 million. The $150 million increase was implemented for the purpose of facilitating the financing of ESS by PMT through one of its subsidiaries, PMH. The ESS is pledged by PMH under an underlying loan and security agreement (as described hereafter) by and between PMH and PLS and then re-pledged to CSFB by PLS under the Loan and Security Agreement. The aggregate loan amount outstanding under the Loan and Security Agreement and relating to re-pledged ESS by PLS is guaranteed in full by PMT. | ||||
· | On April 30, 2015, in connection with the amendment to the Loan and Security Agreement, PLS and PMH entered into an underlying loan and security agreement, pursuant to which PMH may borrow up to $150 million from PLS for the purpose of financing ESS. PLS then re-pledges the ESS to CSFB under the Loan and Security Agreement. | |||
· | On April 30, 2015, the Company, through PLS, entered into an Amended and Restated Master Spread Acquisition and MSR Servicing Agreement (“Spread Acquisition Agreement”) with PMH. The Spread Acquisition Agreement amends and restates that certain spread acquisition and MSR servicing agreement originally entered into by and between PLS and PMH on December 30, 2013. The primary purpose of the amendment and restatement was to evidence the ownership of the ESS under participation certificates and to otherwise incorporate the terms of previously executed amendments. | |||
· | On May 1, 2015, the Company completed its sale to PMH of $136 million in ESS relating to the Company’s acquisition of a $15 billion unpaid principal balance portfolio of Agency MSRs. | |||
Transactions_with_Affiliates_T
Transactions with Affiliates (Tables) | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
PMT | ||||||||
Transactions with Affiliates | ||||||||
Summary of lending activity between the Company and affiliate | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Fulfillment fee revenue | $ | 12,866 | $ | 8,902 | ||||
Unpaid principal balance of loans fulfilled for PennyMac Mortgage Investment Trust | $ | 2,890,132 | $ | 1,919,578 | ||||
Sourcing fees paid | $ | 1,421 | $ | 892 | ||||
Unpaid principal balance of loans purchased from PennyMac Mortgage Investment Trust | $ | 4,735,374 | $ | 2,974,077 | ||||
Sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust | $ | 8,405 | $ | — | ||||
Mortgage servicing rights recapture recognized | $ | — | $ | 8 | ||||
Summary of mortgage loan servicing fees earned from PMT | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Loan servicing fees relating to PennyMac Mortgage Investment Trust: | ||||||||
Mortgage loans acquired for sale at fair value: | ||||||||
Base and supplemental | $ | 26 | $ | 17 | ||||
Activity-based | 31 | 26 | ||||||
57 | 43 | |||||||
Mortgage loans at fair value: | ||||||||
Base and supplemental | 4,032 | 4,966 | ||||||
Activity-based | 2,894 | 6,386 | ||||||
6,926 | 11,352 | |||||||
Mortgage servicing rights: | ||||||||
Base and supplemental | 3,656 | 3,148 | ||||||
Activity-based | 31 | 48 | ||||||
3,687 | 3,196 | |||||||
$ | 10,670 | $ | 14,591 | |||||
Summary of management fees earned | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Management fees: | ||||||||
Base | $ | 5,730 | $ | 5,521 | ||||
Performance incentive | 1,273 | 2,553 | ||||||
$ | 7,003 | $ | 8,074 | |||||
Summary of financing activity between the Company and affiliate | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Issuance of excess servicing spread | $ | 46,412 | $ | 20,526 | ||||
Repayment of excess servicing spread | $ | -12,731 | $ | -7,413 | ||||
Change in fair value of excess servicing spread | $ | -7,536 | $ | -4,792 | ||||
Interest expense from excess servicing spread | $ | 3,752 | $ | 2,862 | ||||
Excess servicing spread recapture recognized | $ | 1,289 | $ | 1,890 | ||||
Summary of reimbursement of expenses | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Reimbursement of: | ||||||||
Common overhead incurred by the Company | $ | 2,729 | $ | 2,578 | ||||
Expenses incurred on PMT's behalf | 379 | 445 | ||||||
$ | 3,108 | $ | 3,023 | |||||
Payments and settlements during the period (1) | $ | 22,752 | $ | 18,386 | ||||
(1) Payments and settlements include payments for management fees and correspondent production activities | ||||||||
itemized in the preceding tables and netting settlements made pursuant to master netting agreements between | ||||||||
the Company and PMT. | ||||||||
Summary of amounts due from affiliate | ||||||||
March 31, | December 31, | |||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Management fees | $ | 7,003 | $ | 8,426 | ||||
Allocated expenses | 6,434 | 6,581 | ||||||
Servicing fees | 3,432 | 3,385 | ||||||
Underwriting fees | 980 | 1,137 | ||||||
Fulfillment fees | 870 | 506 | ||||||
Unsettled excess servicing spread issuance | — | 3,836 | ||||||
$ | 18,719 | $ | 23,871 | |||||
Investment Funds | ||||||||
Transactions with Affiliates | ||||||||
Summary of amounts due from affiliate | ||||||||
March 31, | December 31, | |||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Carried Interest due from Investment Funds: | ||||||||
PNMAC Mortgage Opportunity Fund, LLC | $ | 41,643 | $ | 40,771 | ||||
PNMAC Mortgage Opportunity Fund Investors, LLC | 26,888 | 26,527 | ||||||
$ | 68,531 | $ | 67,298 | |||||
Receivable from Investment Funds: | ||||||||
Management fees | $ | 1,488 | $ | 1,596 | ||||
Loan servicing fees | 459 | 476 | ||||||
Expense reimbursements | 345 | 30 | ||||||
Loan servicing rebate | 196 | 189 | ||||||
$ | 2,488 | $ | 2,291 | |||||
Earnings_Per_Share_of_Common_S1
Earnings Per Share of Common Stock (Tables) | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Earnings Per Share of Common Stock | ||||||||
Summary of basic and diluted earnings per share calculations | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands, except per share data) | ||||||||
Basic earnings per share of common stock: | ||||||||
Net income attributable to PennyMac Financial Services, Inc. common stockholders | $ | 9,028 | $ | 7,972 | ||||
Weighted average shares of common stock outstanding | 21,593 | 20,866 | ||||||
Basic earnings per share of common stock | $ | 0.42 | $ | 0.38 | ||||
Diluted earnings per share of common stock: | ||||||||
Net income | $ | 9,028 | $ | 7,972 | ||||
Effect of net income attributable to noncontrolling interest, net of income taxes | 22,762 | 21,010 | ||||||
Diluted net income attributable to common stockholders | $ | 31,790 | $ | 28,982 | ||||
Weighted average shares of common stock outstanding | 21,593 | 20,866 | ||||||
Dilutive shares: | ||||||||
PennyMac Class A units exchangeable to common stock | 53,562 | 55,051 | ||||||
Non-vested PennyMac Class A units issuable under unit-based stock compensation plan and exchangeable to common stock | 779 | — | ||||||
Shares issuable under stock-based compensation plans | 116 | 35 | ||||||
Diluted weighted average shares of common stock outstanding | 76,050 | 75,952 | ||||||
Diluted earnings per share of common stock | $ | 0.42 | $ | 0.38 | ||||
Loan_Sales_and_Servicing_Activ1
Loan Sales and Servicing Activities (Tables) | 3 Months Ended | ||||||||||
Mar. 31, 2015 | |||||||||||
Loan Sales and Servicing Activities | |||||||||||
Summary of cash flows between the Company and transferees upon sale of mortgage loans in transactions | |||||||||||
Quarter ended March 31, | |||||||||||
2015 | 2014 | ||||||||||
(in thousands) | |||||||||||
Cash flows: | |||||||||||
Sales proceeds | $ | 5,765,845 | $ | 3,298,915 | |||||||
Servicing fees received | $ | 58,969 | $ | 22,184 | |||||||
Net servicing advances | $ | 1,902 | $ | -608 | |||||||
Period end information: | |||||||||||
Unpaid principal balance of mortgage loans outstanding at end of period | $ | 39,624,553 | $ | 26,289,208 | |||||||
Delinquencies: | |||||||||||
30-89 days | $ | 756,211 | $ | 362,131 | |||||||
90 days or more or in foreclosure or bankruptcy | $ | 871,250 | $ | 176,608 | |||||||
Summary of mortgage servicing portfolio | |||||||||||
March 31, 2015 | |||||||||||
Contract | |||||||||||
Servicing | servicing and | Total | |||||||||
rights owned | subservicing | loans serviced | |||||||||
(in thousands) | |||||||||||
Investor: | |||||||||||
Non-affiliated entities | $ | 72,407,441 | $ | — | $ | 72,407,441 | |||||
Affiliated entities | — | 41,542,426 | 41,542,426 | ||||||||
Mortgage loans held for sale | 1,288,744 | — | 1,288,744 | ||||||||
$ | 73,696,185 | $ | 41,542,426 | $ | 115,238,611 | ||||||
Amount subserviced for the Company (1) | $ | 4,771,144 | $ | 29,786 | $ | 4,800,930 | |||||
Delinquent mortgage loans: | |||||||||||
30 days | $ | 1,272,111 | $ | 296,631 | $ | 1,568,742 | |||||
60 days | 391,777 | 134,358 | 526,135 | ||||||||
90 days or more | |||||||||||
Not in foreclosure | 806,491 | 970,183 | 1,776,674 | ||||||||
In foreclosure | 519,756 | 1,655,088 | 2,174,844 | ||||||||
Foreclosed | 30,294 | 547,863 | 578,157 | ||||||||
$ | 3,020,429 | $ | 3,604,123 | $ | 6,624,552 | ||||||
Custodial funds managed by the Company (2) | $ | 2,179,665 | $ | 587,846 | $ | 2,767,511 | |||||
-1 | Certain of the mortgage loans serviced by the Company are subserviced on the Company’s behalf by other mortgage loan servicers. Mortgage loans are subserviced for the Company on a transitional basis for loans where the Company has obtained the rights to service the loans but servicing of the loans has not yet transferred to the Company’s servicing system. | ||||||||||
-2 | Borrower and investor custodial cash accounts relate to mortgage loans serviced under the servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns interest on custodial funds it manages on behalf of the mortgage loans investors, which is recorded as part of the interest income in the Company’s consolidated statements of income. | ||||||||||
December 31, 2014 | |||||||||||
Contract | |||||||||||
Servicing | servicing and | Total | |||||||||
rights owned | subservicing | loans serviced | |||||||||
(in thousands) | |||||||||||
Investor: | |||||||||||
Non-affiliated entities | $ | 65,169,194 | $ | — | $ | 65,169,194 | |||||
Affiliated entities | — | 39,709,945 | 39,709,945 | ||||||||
Mortgage loans held for sale | 1,100,910 | — | 1,100,910 | ||||||||
$ | 66,270,104 | $ | 39,709,945 | $ | 105,980,049 | ||||||
Amount subserviced for the Company | $ | — | $ | 330,768 | $ | 330,768 | |||||
Delinquent mortgage loans: | |||||||||||
30 days | $ | 1,372,915 | $ | 302,091 | $ | 1,675,006 | |||||
60 days | 434,428 | 135,777 | 570,205 | ||||||||
90 days or more | |||||||||||
Not in foreclosure | 779,129 | 1,057,973 | 1,837,102 | ||||||||
In foreclosure | 422,330 | 1,544,762 | 1,967,092 | ||||||||
Foreclosed | 32,444 | 533,067 | 565,511 | ||||||||
$ | 3,041,246 | 3,573,670 | $ | 6,614,916 | |||||||
Custodial funds managed by the Company (1) | $ | 1,522,295 | $ | 388,498 | $ | 1,910,793 | |||||
-1 | Borrower and investor custodial cash accounts relate to mortgage loans serviced under the servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns interest on custodial funds it manages on behalf of the mortgage loans investors, which is recorded as part of the interest income in the Company’s consolidated statements of income. | ||||||||||
Summary of the geographical distribution of loans for the top five and all other states as measured by the total unpaid principal balance (UPB) | |||||||||||
March 31, | December 31, | ||||||||||
State | 2015 | 2014 | |||||||||
(in thousands) | |||||||||||
California | $ | 34,192,278 | $ | 33,751,630 | |||||||
Texas | 7,880,148 | 6,954,778 | |||||||||
Virginia | 6,795,903 | 6,360,171 | |||||||||
Florida | 6,315,648 | 5,573,215 | |||||||||
Washington | * | 3,830,587 | |||||||||
Maryland | 4,193,669 | * | |||||||||
All other states | 55,860,965 | 49,509,668 | |||||||||
$ | 115,238,611 | $ | 105,980,049 | ||||||||
* State did not represent a top five state as of the respective date. | |||||||||||
Netting_of_Financial_Instrumen1
Netting of Financial Instruments (Tables) | 3 Months Ended | |||||||||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||||||||
Netting of Financial Instruments | ||||||||||||||||||||||||||
Summaries of derivative assets and related netting amounts | ||||||||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||||
Gross | Gross amount | Net amount | Gross | Gross amount | Net amount | |||||||||||||||||||||
amount of | offset | of assets | amount of | offset | of assets | |||||||||||||||||||||
recognized | in the | in the | recognized | in the | in the | |||||||||||||||||||||
assets | balance sheet | balance sheet | assets | balance sheet | balance sheet | |||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||
Derivatives subject to master netting arrangements: | ||||||||||||||||||||||||||
Forward purchase contracts | $ | 33,048 | $ | — | $ | 33,048 | $ | 9,060 | $ | — | $ | 9,060 | ||||||||||||||
Forward sale contracts | 909 | — | 909 | 320 | — | 320 | ||||||||||||||||||||
MBS put options | 449 | — | 449 | 476 | — | 476 | ||||||||||||||||||||
MBS call options | — | — | — | — | — | — | ||||||||||||||||||||
Put options on interest rate futures purchase contracts | 894 | — | 894 | 862 | — | 862 | ||||||||||||||||||||
Call options on interest rate futures purchase contracts | 4,011 | — | 4,011 | 2,193 | — | 2,193 | ||||||||||||||||||||
Netting | — | -33,595 | -33,595 | — | -7,807 | -7,807 | ||||||||||||||||||||
39,311 | -33,595 | 5,716 | 12,911 | -7,807 | 5,104 | |||||||||||||||||||||
Derivatives not subject to master netting arrangements - IRLCs | 55,348 | — | 55,348 | 33,353 | — | 33,353 | ||||||||||||||||||||
$ | 94,659 | $ | -33,595 | $ | 61,064 | $ | 46,264 | $ | -7,807 | $ | 38,457 | |||||||||||||||
Summary of the amount of derivative asset positions by significant counterparty after considering master netting arrangements and financial instruments or cash pledged | ||||||||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||||
Gross amount not | Gross amount not | |||||||||||||||||||||||||
offset in the | offset in the | |||||||||||||||||||||||||
consolidated | consolidated | |||||||||||||||||||||||||
balance sheet | balance sheet | |||||||||||||||||||||||||
Net amount | Net amount | |||||||||||||||||||||||||
of assets | Cash | of assets | Cash | |||||||||||||||||||||||
in the | Financial | collateral | Net | in the | Financial | collateral | Net | |||||||||||||||||||
balance sheet | instruments | received | amount | balance sheet | instruments | received | amount | |||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||
Interest rate lock commitments | $ | 55,348 | $ | — | $ | — | $ | 55,348 | $ | 33,353 | $ | — | $ | — | $ | 33,353 | ||||||||||
RJ O'Brien | 4,023 | — | — | 4,023 | 2,005 | — | — | 2,005 | ||||||||||||||||||
Jefferies & Co. | 937 | — | — | 937 | 764 | — | — | 764 | ||||||||||||||||||
Cantor Fitzgerald, LP | 332 | — | — | 332 | — | — | — | — | ||||||||||||||||||
Bank of New York Mellon | 221 | — | — | 221 | — | — | — | — | ||||||||||||||||||
Goldman Sachs | — | — | — | — | 600 | — | — | 600 | ||||||||||||||||||
JP Morgan | — | — | — | — | 526 | — | — | 526 | ||||||||||||||||||
Wells Fargo | — | — | — | — | 379 | — | — | 379 | ||||||||||||||||||
Nomura | — | — | — | — | 322 | — | — | 322 | ||||||||||||||||||
Others | 203 | — | — | 203 | 508 | — | — | 508 | ||||||||||||||||||
$ | 61,064 | $ | — | $ | — | $ | 61,064 | $ | 38,457 | $ | — | $ | — | $ | 38,457 | |||||||||||
Summary of net derivative liabilities and assets sold under agreements to repurchase and related netting amounts | ||||||||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||||
Net | Net | |||||||||||||||||||||||||
amount | amount | |||||||||||||||||||||||||
Gross | Gross amount | of liabilities | Gross | Gross amount | of liabilities | |||||||||||||||||||||
amount of | offset in the | in the | amount of | offset in the | in the | |||||||||||||||||||||
recognized | consolidated | consolidated | recognized | consolidated | consolidated | |||||||||||||||||||||
liabilities | balance sheet | balance sheet | liabilities | balance sheet | balance sheet | |||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||
Derivatives subject to a master netting arrangement: | ||||||||||||||||||||||||||
Forward purchase contracts | $ | 909 | $ | — | $ | 909 | $ | 141 | $ | — | $ | 141 | ||||||||||||||
Forward sale contracts | 46,711 | — | 46,711 | 16,110 | — | 16,110 | ||||||||||||||||||||
Put options on interest rate futures sale contracts | 141 | — | 141 | 8 | — | 8 | ||||||||||||||||||||
Netting | — | -37,814 | -37,814 | — | -10,698 | -10,698 | ||||||||||||||||||||
47,761 | -37,814 | 9,947 | 16,259 | -10,698 | 5,561 | |||||||||||||||||||||
Derivatives not subject to a master netting arrangement - IRLCs | 956 | — | 956 | 952 | — | 952 | ||||||||||||||||||||
Total derivatives | 48,717 | -37,814 | 10,903 | 17,211 | -10,698 | 6,513 | ||||||||||||||||||||
Mortgage loans sold under agreements to repurchase | 992,187 | — | 992,187 | 822,621 | — | 822,621 | ||||||||||||||||||||
$ | 1,040,904 | $ | -37,814 | $ | 1,003,090 | $ | 839,832 | $ | -10,698 | $ | 829,134 | |||||||||||||||
Summary of amount of derivative liabilities and assets sold under agreements to repurchase by significant counterparty after considering master netting arrangements and financial instruments or cash pledged | ||||||||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||||
Gross amount | Gross amount | |||||||||||||||||||||||||
not offset in the | not offset in the | |||||||||||||||||||||||||
consolidated | consolidated | |||||||||||||||||||||||||
balance sheet | balance sheet | |||||||||||||||||||||||||
Net amount | Net amount | |||||||||||||||||||||||||
of liabilities | of liabilities | |||||||||||||||||||||||||
in the | Cash | in the | Cash | |||||||||||||||||||||||
consolidated | Financial | collateral | Net | consolidated | Financial | collateral | Net | |||||||||||||||||||
balance sheet | instruments | pledged | amount | balance sheet | instruments | pledged | amount | |||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||
Interest rate lock commitments | $ | 956 | $ | — | $ | — | $ | 956 | $ | 952 | $ | — | $ | — | $ | 952 | ||||||||||
Credit Suisse First Boston Mortgage Capital LLC | 501,400 | -498,333 | — | 3,067 | 464,737 | -463,541 | — | 1,196 | ||||||||||||||||||
Bank of America, N.A. | 272,970 | -271,868 | — | 1,102 | 236,909 | -236,771 | — | 138 | ||||||||||||||||||
Morgan Stanley Bank, N.A. | 122,263 | -121,986 | — | 277 | 122,148 | -122,031 | — | 117 | ||||||||||||||||||
Citibank, N.A. | 101,126 | -100,000 | — | 1,126 | 699 | -278 | — | 421 | ||||||||||||||||||
Nomura | 1,110 | — | — | 1,110 | — | — | — | — | ||||||||||||||||||
JP Morgan | 704 | — | — | 704 | — | — | — | — | ||||||||||||||||||
Daiwa Capital Markets | 598 | — | — | 598 | 291 | — | — | 291 | ||||||||||||||||||
Bank of Oklahoma | 481 | — | — | 481 | 486 | — | — | 486 | ||||||||||||||||||
Bank of New York Mellon | — | — | — | — | 1,552 | — | — | 1,552 | ||||||||||||||||||
Others | 1,482 | — | — | 1,482 | 1,360 | — | — | 1,360 | ||||||||||||||||||
$ | 1,003,090 | $ | -992,187 | $ | — | $ | 10,903 | $ | 829,134 | $ | -822,621 | $ | — | $ | 6,513 | |||||||||||
Fair_Value_Tables
Fair Value (Tables) | 3 Months Ended | |||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||
Fair Value | ||||||||||||||||||||
Summary of financial statement items measured at estimated fair value on a recurring basis | ||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
(in thousands) | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Short-term investments | $ | 30,275 | $ | — | $ | — | $ | 30,275 | ||||||||||||
Mortgage loans held for sale at fair value | — | 1,270,260 | 83,684 | 1,353,944 | ||||||||||||||||
Derivative assets: | ||||||||||||||||||||
Interest rate lock commitments | — | — | 55,348 | 55,348 | ||||||||||||||||
Forward purchase contracts | — | 33,048 | — | 33,048 | ||||||||||||||||
Forward sales contracts | — | 909 | — | 909 | ||||||||||||||||
MBS put options | — | 449 | — | 449 | ||||||||||||||||
Put options on interest rate futures purchase contracts | 894 | — | — | 894 | ||||||||||||||||
Call options on interest rate futures purchase contracts | 4,011 | — | — | 4,011 | ||||||||||||||||
Total derivative assets before netting | 4,905 | 34,406 | 55,348 | 94,659 | ||||||||||||||||
Netting (1) | — | — | — | -33,595 | ||||||||||||||||
Total derivative assets | 4,905 | 34,406 | 55,348 | 61,064 | ||||||||||||||||
Investment in PennyMac Mortgage Investment Trust | 1,597 | — | — | 1,597 | ||||||||||||||||
Mortgage servicing rights at fair value | — | — | 361,413 | 361,413 | ||||||||||||||||
$ | 36,777 | $ | 1,304,666 | $ | 500,445 | $ | 1,808,293 | |||||||||||||
Liabilities: | ||||||||||||||||||||
Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust | $ | — | $ | — | $ | 222,309 | $ | 222,309 | ||||||||||||
Derivative liabilities: | ||||||||||||||||||||
Interest rate lock commitments | — | — | 956 | 956 | ||||||||||||||||
Forward purchase contracts | — | 909 | — | 909 | ||||||||||||||||
Forward sales contracts | — | 46,711 | — | 46,711 | ||||||||||||||||
Put options on interest rate futures sale contracts | 141 | — | — | 141 | ||||||||||||||||
Total derivative liabilities before netting | 141 | 47,620 | 956 | 48,717 | ||||||||||||||||
Netting (1) | — | — | — | -37,814 | ||||||||||||||||
Total derivative liabilities | 141 | 47,620 | 956 | 10,903 | ||||||||||||||||
Mortgage servicing liabilities | — | — | 6,529 | 6,529 | ||||||||||||||||
$ | 141 | $ | 47,620 | $ | 229,794 | $ | 239,741 | |||||||||||||
-1 | Derivatives are reported net of cash collateral received and paid and, to the extent that the criteria of the accounting guidance covering the offsetting of amounts related to certain contracts are met, positions with the same counterparty are netted as part of a legally enforceable master netting agreement. | |||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
(in thousands) | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Short-term investments | $ | 21,687 | $ | — | $ | — | $ | 21,687 | ||||||||||||
Mortgage loans held for sale at fair value | — | 937,976 | 209,908 | 1,147,884 | ||||||||||||||||
Derivative assets: | ||||||||||||||||||||
Interest rate lock commitments | — | — | 33,353 | 33,353 | ||||||||||||||||
Forward purchase contracts | — | 9,060 | — | 9,060 | ||||||||||||||||
Forward sales contracts | — | 320 | — | 320 | ||||||||||||||||
MBS put options | — | 476 | — | 476 | ||||||||||||||||
Put options on interest rate futures purchase contracts | 862 | — | — | 862 | ||||||||||||||||
Call options on interest rate futures purchase contracts | 2,193 | — | — | 2,193 | ||||||||||||||||
Total derivative assets before netting | 3,055 | 9,856 | 33,353 | 46,264 | ||||||||||||||||
Netting (1) | — | — | — | -7,807 | ||||||||||||||||
Total derivative assets | 3,055 | 9,856 | 33,353 | 38,457 | ||||||||||||||||
Investment in PennyMac Mortgage Investment Trust | 1,582 | 1,582 | ||||||||||||||||||
Mortgage servicing rights at fair value | — | — | 325,383 | 325,383 | ||||||||||||||||
$ | 26,324 | $ | 947,832 | $ | 568,644 | $ | 1,534,993 | |||||||||||||
Liabilities: | ||||||||||||||||||||
Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust | $ | — | $ | — | $ | 191,166 | $ | 191,166 | ||||||||||||
Derivative liabilities: | ||||||||||||||||||||
Interest rate lock commitments | — | — | 952 | 952 | ||||||||||||||||
Forward purchase contracts | — | 141 | — | 141 | ||||||||||||||||
Forward sales contracts | — | 16,110 | — | 16,110 | ||||||||||||||||
Put options on interest rate futures sale contracts | 8 | — | — | 8 | ||||||||||||||||
Total derivative liabilities before netting | 8 | 16,251 | 952 | 17,211 | ||||||||||||||||
Netting (1) | — | — | — | -10,698 | ||||||||||||||||
Total derivative liabilities | 8 | 16,251 | 952 | 6,513 | ||||||||||||||||
Mortgage servicing liabilities | — | — | 6,306 | 6,306 | ||||||||||||||||
$ | 8 | $ | 16,251 | $ | 198,424 | $ | 203,985 | |||||||||||||
-1 | Derivatives are reported net of cash collateral received and paid and, to the extent that the criteria of the accounting guidance covering the offsetting of amounts related to certain contracts are met, positions with the same counterparty are netted as part of a legally enforceable master netting agreement. | |||||||||||||||||||
Summary of roll forward of items measured using Level 3 inputs on a recurring basis | ||||||||||||||||||||
Quarter ended March 31, 2015 | ||||||||||||||||||||
Mortgage | Net interest | Mortgage | ||||||||||||||||||
loans held | rate lock | servicing | ||||||||||||||||||
for sale | commitments (1) | rights | Total | |||||||||||||||||
(in thousands) | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Balance, December 31, 2014 | $ | 209,908 | $ | 32,401 | $ | 325,383 | $ | 567,692 | ||||||||||||
Purchases | 65,613 | — | 63,137 | 128,750 | ||||||||||||||||
Sales | -125,268 | — | — | -125,268 | ||||||||||||||||
Repayments | -8,392 | — | — | -8,392 | ||||||||||||||||
Interest rate lock commitments issued, net | — | 82,780 | — | 82,780 | ||||||||||||||||
Mortgage servicing rights resulting from mortgage loan sales | — | — | 2,675 | 2,675 | ||||||||||||||||
Changes in fair value included in income arising from: | — | — | — | |||||||||||||||||
Changes in instrument-specific credit risk | -33 | — | — | -33 | ||||||||||||||||
Other factors | 778 | -47 | -29,782 | -29,051 | ||||||||||||||||
745 | -47 | -29,782 | -29,084 | |||||||||||||||||
Transfers to Level 2 mortgage loans held for sale (2) | -58,922 | — | — | -58,922 | ||||||||||||||||
Transfers of interest rate lock commitments to mortgage loans held for sale | — | -60,742 | — | -60,742 | ||||||||||||||||
Balance, March 31, 2015 | $ | 83,684 | $ | 54,392 | $ | 361,413 | $ | 499,489 | ||||||||||||
Changes in fair value recognized during the period relating to assets still held at March 31, 2015 | $ | 640 | $ | -47 | $ | -29,782 | $ | -29,189 | ||||||||||||
-1 | For the purpose of this table, the interest rate lock asset and liability positions are shown net. | |||||||||||||||||||
-2 | Mortgage loans held for sale transferred from Level 3 to Level 2 as a result of the mortgage loan becoming saleable into active mortgage markets pursuant to a loan modification, borrower reperformance or resolution of deficiencies. | |||||||||||||||||||
Quarter ended March 31, 2015 | ||||||||||||||||||||
Excess | ||||||||||||||||||||
servicing | Mortgage | |||||||||||||||||||
spread | servicing | |||||||||||||||||||
financing | liabilities | Total | ||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Liabilities: | ||||||||||||||||||||
Balance, December 31, 2014 | $ | 191,166 | $ | 6,306 | $ | 197,472 | ||||||||||||||
Proceeds received from issuance of excess servicing spread | 46,412 | — | 46,412 | |||||||||||||||||
Mortgage servicing liabilities resulting from mortgage loan sales | — | 2,928 | 2,928 | |||||||||||||||||
Excess servicing spread issued pursuant to a recapture agreement with PennyMac Mortgage Investment Trust | 1,246 | — | 1,246 | |||||||||||||||||
Accrual of interest on excess servicing spread | 3,752 | — | 3,752 | |||||||||||||||||
Repayments | -12,731 | — | -12,731 | |||||||||||||||||
Changes in fair value included in income | -7,536 | -2,705 | -10,241 | |||||||||||||||||
Balance, March 31, 2015 | $ | 222,309 | $ | 6,529 | $ | 228,838 | ||||||||||||||
Changes in fair value recognized during the period relating to liabilities still held at March 31, 2015 | $ | -7,536 | $ | -2,705 | $ | -10,241 | ||||||||||||||
Quarter ended March 31, 2014 | ||||||||||||||||||||
Mortgage | Net interest | Mortgage | ||||||||||||||||||
loans held | rate lock | servicing | ||||||||||||||||||
for sale | commitments (1) | rights | Total | |||||||||||||||||
(in thousands) | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Balance, December 31, 2013 | $ | 3,933 | $ | 6,761 | $ | 224,913 | $ | 235,607 | ||||||||||||
Purchases | — | — | 25,866 | 25,866 | ||||||||||||||||
Repayments | -14 | — | — | -14 | ||||||||||||||||
Interest rate lock commitments issued, net | — | 36,438 | — | 36,438 | ||||||||||||||||
Mortgage servicing rights resulting from mortgage loan sales | — | — | 6,933 | 6,933 | ||||||||||||||||
Changes in fair value included in income arising from: | ||||||||||||||||||||
Changes in instrument-specific credit risk | — | — | — | |||||||||||||||||
Other factors | 66 | 5,353 | -10,728 | -5,309 | ||||||||||||||||
66 | 5,353 | -10,728 | -5,309 | |||||||||||||||||
Transfers of interest rate lock commitments to mortgage loans held for sale | — | -34,255 | — | -34,255 | ||||||||||||||||
Balance, March 31, 2014 | $ | 3,985 | $ | 14,297 | $ | 246,984 | $ | 265,266 | ||||||||||||
Changes in fair value recognized during the period relating to assets still held at March 31, 2014 | $ | 66 | $ | 14,297 | $ | -10,728 | $ | 3,635 | ||||||||||||
-1 | For the purpose of this table, the interest rate lock asset and liability positions are shown net. | |||||||||||||||||||
Excess | ||||||||||||||||||||
servicing | ||||||||||||||||||||
spread | ||||||||||||||||||||
financing | ||||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Liability: | ||||||||||||||||||||
Balance, December 31, 2013 | $ | 138,723 | ||||||||||||||||||
Proceeds received from issuance of excess servicing spread | 20,526 | |||||||||||||||||||
Excess servicing spread issued pursuant to a recapture agreement with PennyMac Mortgage Investment | 1,113 | |||||||||||||||||||
Accrual of interest on excess servicing spread | 2,862 | |||||||||||||||||||
Repayments | -7,413 | |||||||||||||||||||
Changes in fair value included in income | -4,792 | |||||||||||||||||||
Balance, March 31, 2014 | $ | 151,019 | ||||||||||||||||||
Changes in fair value recognized during the period relating to liability still held at March 31, 2014 | $ | -4,792 | ||||||||||||||||||
Summary of net gains (losses) from changes in fair values included in earnings for financial statement items carried at fair value | ||||||||||||||||||||
Quarter ended March 31, | ||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||
Net gains on | Net gains on | |||||||||||||||||||
mortgage | mortgage | |||||||||||||||||||
loans held | Net loan | loans held | Net loan | |||||||||||||||||
for sale at | servicing | for sale at | servicing | |||||||||||||||||
fair value | fees | Total | fair value | fees | Total | |||||||||||||||
(in thousands) | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Mortgage loans held for sale at fair value | $ | 84,531 | $ | — | $ | 84,531 | $ | 49,902 | $ | — | $ | 49,902 | ||||||||
Mortgage servicing rights at fair value | — | -29,782 | -29,782 | — | -10,728 | -10,728 | ||||||||||||||
$ | 84,531 | $ | -29,782 | $ | 54,749 | $ | 49,902 | $ | -10,728 | $ | 39,174 | |||||||||
Liabilities: | ||||||||||||||||||||
Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust | $ | — | $ | 7,536 | $ | 7,536 | $ | — | $ | 4,792 | $ | 4,792 | ||||||||
Mortgage servicing liabilities | — | 2,705 | 2,705 | — | — | — | ||||||||||||||
$ | — | $ | 10,241 | $ | 10,241 | $ | — | $ | 4,792 | $ | 4,792 | |||||||||
Schedule of fair value and related principal amounts due upon maturity of assets and liabilities accounted for under the fair value option | ||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||
Principal | ||||||||||||||||||||
amount | ||||||||||||||||||||
Fair | due upon | |||||||||||||||||||
value | maturity | Difference | ||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Mortgage loans held for sale: | ||||||||||||||||||||
Current through 89 days delinquent | $ | 1,284,168 | $ | 1,209,848 | $ | 74,320 | ||||||||||||||
90 days or more delinquent: | ||||||||||||||||||||
Not in foreclosure | 43,214 | 45,670 | -2,456 | |||||||||||||||||
In foreclosure | 26,562 | 27,588 | -1,026 | |||||||||||||||||
$ | 1,353,944 | $ | 1,283,106 | $ | 70,838 | |||||||||||||||
December 31, 2014 | ||||||||||||||||||||
Principal | ||||||||||||||||||||
amount | ||||||||||||||||||||
Fair | due upon | |||||||||||||||||||
value | maturity | Difference | ||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Mortgage loans held for sale: | ||||||||||||||||||||
Current through 89 days delinquent | $ | 950,697 | $ | 894,924 | $ | 55,773 | ||||||||||||||
90 days or more delinquent: | ||||||||||||||||||||
Not in foreclosure | 126,171 | 128,533 | -2,362 | |||||||||||||||||
In foreclosure | 71,016 | 72,039 | -1,023 | |||||||||||||||||
$ | 1,147,884 | $ | 1,095,496 | $ | 52,388 | |||||||||||||||
Summary of financial statement items measured at estimated fair value on a nonrecurring basis | ||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
(in thousands) | ||||||||||||||||||||
Mortgage servicing rights at lower of amortized cost or fair value | $ | — | $ | — | $ | 305,005 | $ | 305,005 | ||||||||||||
$ | — | $ | — | $ | 305,005 | $ | 305,005 | |||||||||||||
December 31, 2014 | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
(in thousands) | ||||||||||||||||||||
Mortgage servicing rights at lower of amortized cost or fair value | $ | — | $ | — | $ | 139,505 | $ | 139,505 | ||||||||||||
$ | — | $ | — | $ | 139,505 | $ | 139,505 | |||||||||||||
Summary of total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | ||||||||||||||||||||
Quarter ended March 31, | ||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Mortgage servicing rights at lower of amortized cost or fair value | $ | -31,692 | $ | -421 | ||||||||||||||||
$ | -31,692 | $ | -421 | |||||||||||||||||
Schedule of key inputs used in determining the fair value of ESS financing | ||||||||||||||||||||
Key inputs | March 31, 2015 | December 31, 2014 | ||||||||||||||||||
Discount rate | ||||||||||||||||||||
Range | 2.4% - 9.7% | 2.3% - 9.6% | ||||||||||||||||||
Weighted average | 2.60% | 2.40% | ||||||||||||||||||
Twelve-month projected housing price index change | ||||||||||||||||||||
Range | 3.3% - 6.1% | 4.2% - 5.4% | ||||||||||||||||||
Weighted average | 3.70% | 4.50% | ||||||||||||||||||
Prepayment/resale speed (1) | ||||||||||||||||||||
Range | 0.8% - 17.1% | 1.3% - 15.5% | ||||||||||||||||||
Weighted average | 15.70% | 15.10% | ||||||||||||||||||
Total prepayment speed (2) | ||||||||||||||||||||
Range | 1.0% - 39.1% | 2.1% - 38.1% | ||||||||||||||||||
Weighted average | 34.70% | 35.70% | ||||||||||||||||||
(1)Voluntary prepayment/resale speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”). | ||||||||||||||||||||
(2)Total prepayment speed is measured using Life Total CPR. | ||||||||||||||||||||
Interest rate lock commitments | ||||||||||||||||||||
Fair Value | ||||||||||||||||||||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ||||||||||||||||||||
Key inputs | March 31, 2015 | December 31, 2014 | ||||||||||||||||||
Pull-through rate | ||||||||||||||||||||
Range | 54.1% - 100.0% | 55.4% - 99.9% | ||||||||||||||||||
Weighted average | 87.50% | 85.50% | ||||||||||||||||||
Mortgage servicing rights value expressed as: | ||||||||||||||||||||
Servicing fee multiple | ||||||||||||||||||||
Range | 1.9 - 4.8 | 2.0 - 5.0 | ||||||||||||||||||
Weighted average | 3.2 | 3.7 | ||||||||||||||||||
Percentage of unpaid principal balance | ||||||||||||||||||||
Range | 0.4% - 3.0% | 0.4% - 3.1% | ||||||||||||||||||
Weighted average | 1.40% | 1.20% | ||||||||||||||||||
Mortgage servicing rights | ||||||||||||||||||||
Fair Value | ||||||||||||||||||||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ||||||||||||||||||||
Quarter ended March 31, | ||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||
Fair | Amortized | Fair | Amortized | |||||||||||||||||
value | cost | value | cost | |||||||||||||||||
(Amount recognized and unpaid principal balance of underlying mortgage loans in thousands) | ||||||||||||||||||||
MSR and pool characteristics: | ||||||||||||||||||||
Amount recognized | $2,675 | $67,281 | $6,933 | $30,581 | ||||||||||||||||
Unpaid principal balance of underlying mortgage loans | $241,518 | $5,137,085 | $511,467 | $2,623,599 | ||||||||||||||||
Weighted average servicing fee rate (in basis points) | 31 | 33 | 32 | 30 | ||||||||||||||||
Inputs: | ||||||||||||||||||||
Pricing spread (1) | ||||||||||||||||||||
Range | 7.3% - 14.4% | 6.8% - 15.9% | 8.5% - 13.8% | 7.3% - 14.8% | ||||||||||||||||
Weighted average | 10.70% | 9.80% | 11.20% | 10.50% | ||||||||||||||||
Annual total prepayment speed (2) | ||||||||||||||||||||
Range | 7.8% - 62.4% | 7.6% - 39.4% | 7.9% - 17.2% | 7.6% - 45.3% | ||||||||||||||||
Weighted average | 11.90% | 8.90% | 8.50% | 8.10% | ||||||||||||||||
Life (in years) | ||||||||||||||||||||
Range | 1.1 – 7.3 | 1.8 – 7.3 | 2.7 – 7.5 | 1.5 – 7.5 | ||||||||||||||||
Weighted average | 6.1 | 6.9 | 7.2 | 7.1 | ||||||||||||||||
Per-loan annual cost of servicing | ||||||||||||||||||||
Range | $59 – $82 | $59 – $82 | $68 – $100 | $68 – $100 | ||||||||||||||||
Weighted average | $74 | $75 | $97 | $100 | ||||||||||||||||
-1 | Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar London Interbank Offered Rate (“LIBOR”) curve for purposes of discounting cash flows relating to MSRs acquired as proceeds from the sale of mortgage loans. | |||||||||||||||||||
-2 | Prepayment speed is measured using Life Total CPR. | |||||||||||||||||||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ||||||||||||||||||||
Quarter ended March 31, | ||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||
Fair | Amortized | Fair | Amortized | |||||||||||||||||
value | cost | value | cost | |||||||||||||||||
(Amount recognized and unpaid principal balance of underlying mortgage loans in thousands) | ||||||||||||||||||||
MSR and pool characteristics: | ||||||||||||||||||||
Amount recognized | $2,675 | $67,281 | $6,933 | $30,581 | ||||||||||||||||
Unpaid principal balance of underlying mortgage loans | $241,518 | $5,137,085 | $511,467 | $2,623,599 | ||||||||||||||||
Weighted average servicing fee rate (in basis points) | 31 | 33 | 32 | 30 | ||||||||||||||||
Inputs: | ||||||||||||||||||||
Pricing spread (1) | ||||||||||||||||||||
Range | 7.3% - 14.4% | 6.8% - 15.9% | 8.5% - 13.8% | 7.3% - 14.8% | ||||||||||||||||
Weighted average | 10.70% | 9.80% | 11.20% | 10.50% | ||||||||||||||||
Annual total prepayment speed (2) | ||||||||||||||||||||
Range | 7.8% - 62.4% | 7.6% - 39.4% | 7.9% - 17.2% | 7.6% - 45.3% | ||||||||||||||||
Weighted average | 11.90% | 8.90% | 8.50% | 8.10% | ||||||||||||||||
Life (in years) | ||||||||||||||||||||
Range | 1.1 – 7.3 | 1.8 – 7.3 | 2.7 – 7.5 | 1.5 – 7.5 | ||||||||||||||||
Weighted average | 6.1 | 6.9 | 7.2 | 7.1 | ||||||||||||||||
Per-loan annual cost of servicing | ||||||||||||||||||||
Range | $59 – $82 | $59 – $82 | $68 – $100 | $68 – $100 | ||||||||||||||||
Weighted average | $74 | $75 | $97 | $100 | ||||||||||||||||
-1 | Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar London Interbank Offered Rate (“LIBOR”) curve for purposes of discounting cash flows relating to MSRs acquired as proceeds from the sale of mortgage loans. | |||||||||||||||||||
-2 | Prepayment speed is measured using Life Total CPR. | |||||||||||||||||||
Other Mortgage Servicing Rights | ||||||||||||||||||||
Fair Value | ||||||||||||||||||||
Quantitative summary of key inputs used in the valuation of the MSRs at period end and the effect on estimated fair value from adverse changes in those assumptions | ||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||
Fair | Amortized | Fair | Amortized | |||||||||||||||||
value | cost | value | cost | |||||||||||||||||
(Carrying value, unpaid principal balance of underlying | ||||||||||||||||||||
mortgage loans and effect on fair value amounts in thousands) | ||||||||||||||||||||
MSR and pool characteristics: | ||||||||||||||||||||
Carrying value | $361,413 | $428,998 | $325,383 | $405,445 | ||||||||||||||||
Unpaid principal balance of underlying mortgage loans | $35,738,618 | $36,247,371 | $30,945,000 | $33,745,613 | ||||||||||||||||
Weighted average note interest rate | 4.15% | 3.81% | 4.24% | 3.82% | ||||||||||||||||
Weighted average servicing fee rate (in basis points) | 30 | 30 | 31 | 30 | ||||||||||||||||
Inputs: | ||||||||||||||||||||
Pricing spread (1) (2) | ||||||||||||||||||||
Range | 3.4% – 21.3% | 6.3% – 16.4% | 2.9% – 21.3% | 6.3% – 15.3% | ||||||||||||||||
Weighted average | 9.20% | 9.30% | 9.20% | 9.70% | ||||||||||||||||
Effect on fair value of: | ||||||||||||||||||||
5% adverse change | ($6,167) | ($8,680) | ($5,550) | ($8,710) | ||||||||||||||||
10% adverse change | ($12,120) | ($17,037) | ($10,908) | ($17,083) | ||||||||||||||||
20% adverse change | ($23,429) | ($32,848) | ($21,084) | ($32,890) | ||||||||||||||||
Average life (in years) | ||||||||||||||||||||
Range | 0.4 – 8.2 | 1.3 – 7.3 | 0.4 – 8.2 | 1.6 – 7.3 | ||||||||||||||||
Weighted average | 5.7 | 6.7 | 5.8 | 6.8 | ||||||||||||||||
Prepayment speed (1) (3) | ||||||||||||||||||||
Range | 7.6% – 66.4% | 7.7% – 56.5% | 7.6% – 60.5% | 7.6% – 42.8% | ||||||||||||||||
Weighted average | 11.80% | 9.40% | 11.20% | 8.50% | ||||||||||||||||
Effect on fair value of: | ||||||||||||||||||||
5% adverse change | ($8,094) | ($8,635) | ($7,052) | ($7,359) | ||||||||||||||||
10% adverse change | ($15,866) | ($16,977) | ($13,835) | ($14,494) | ||||||||||||||||
20% adverse change | ($30,519) | ($32,837) | ($26,654) | ($28,132) | ||||||||||||||||
Annual per-loan cost of servicing (1) | ||||||||||||||||||||
Range | $60 – $99 | $59 – $82 | $59 – $109 | $59 – $81 | ||||||||||||||||
Weighted average | $76 | $76 | $76 | $75 | ||||||||||||||||
Effect on fair value of: | ||||||||||||||||||||
5% adverse change | ($3,344) | ($3,201) | ($2,910) | ($2,992) | ||||||||||||||||
10% adverse change | ($6,688) | ($6,402) | ($5,819) | ($5,983) | ||||||||||||||||
20% adverse change | ($13,377) | ($12,803) | ($11,638) | ($11,967) | ||||||||||||||||
-1 | The effect on value of an adverse change in one of the above-mentioned key inputs may result in recognition of MSR impairment. The extent of the recognized MSR impairment will depend on the relationship of fair value to the carrying value of such MSRs. | |||||||||||||||||||
-2 | Pricing spread represents a margin that is applied to a reference interest rate’s forward curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs acquired as proceeds from the sale of mortgage loans and purchased MSRs not backed by pools of distressed mortgage loans. | |||||||||||||||||||
-3 | Prepayment speed is measured using Life Total CPR. | |||||||||||||||||||
Mortgage loans held for sale | ||||||||||||||||||||
Fair Value | ||||||||||||||||||||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ||||||||||||||||||||
March 31, | December 31, | |||||||||||||||||||
Key inputs | 2015 | 2014 | ||||||||||||||||||
Unpaid principal balance of underlying loans (in thousands) | $33,621,619 | $28,227,340 | ||||||||||||||||||
Average servicing fee rate (in basis points) | 30 | 31 | ||||||||||||||||||
Average excess servicing spread (in basis points) | 16 | 16 | ||||||||||||||||||
Pricing spread (1) | ||||||||||||||||||||
Range | 1.7% - 12.4% | 1.7% - 12.0% | ||||||||||||||||||
Weighted average | 5.50% | 5.30% | ||||||||||||||||||
Average life (in years) | ||||||||||||||||||||
Range | 0.3 - 7.3 | 0.4 - 7.3 | ||||||||||||||||||
Weighted average | 5.7 | 5.8 | ||||||||||||||||||
Annualized prepayment speed (2) | ||||||||||||||||||||
Range | 7.6% - 77.3% | 7.6% - 74.6% | ||||||||||||||||||
Weighted average | 11.60% | 11.20% | ||||||||||||||||||
(1)Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States LIBOR curve for purposes of discounting cash flows relating to ESS. | ||||||||||||||||||||
(2)Prepayment speed is measured using Life Total CPR. | ||||||||||||||||||||
Mortgage_Loans_Held_for_Sale_a1
Mortgage Loans Held for Sale at Fair Value (Tables) | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Mortgage Loans Held for Sale at Fair Value | ||||||||
Summary of mortgage loans held for sale at fair value | ||||||||
March 31, | December 31, | |||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Government-insured or guaranteed | $ | 1,183,544 | $ | 866,148 | ||||
Conventional conforming | 86,716 | 66,229 | ||||||
Jumbo | — | 5,599 | ||||||
Delinquent mortgage loans purchased from Ginnie Mae pools serviced by the Company | 75,569 | 206,331 | ||||||
Mortgage loans repurchased pursuant to representations and warranties | 8,115 | 3,577 | ||||||
$ | 1,353,944 | $ | 1,147,884 | |||||
Fair value of mortgage loans pledged to secure mortgage loans sold under agreements to repurchase | $ | 1,132,568 | $ | 976,772 | ||||
Fair value of mortgage loans pledged to secure mortgage loan participation and sale agreement | $ | 196,716 | $ | 148,133 | ||||
Derivative_Financial_Instrumen1
Derivative Financial Instruments (Tables) | 3 Months Ended | |||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||
Derivative Financial Instruments | ||||||||||||||||||
Summary of derivative financial instruments | ||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||
Fair value | Fair value | |||||||||||||||||
Notional | Derivative | Derivative | Notional | Derivative | Derivative | |||||||||||||
Instrument | amount | assets | liabilities | amount | assets | liabilities | ||||||||||||
(in thousands) | ||||||||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||||
Free-standing derivatives: | ||||||||||||||||||
Interest rate lock commitments | 3,123,645 | $ | 55,348 | $ | 956 | 1,765,597 | $ | 33,353 | $ | 952 | ||||||||
Forward purchase contracts | 5,124,867 | 33,048 | 909 | 2,634,218 | 9,060 | 141 | ||||||||||||
Forward sales contracts | 7,464,527 | 909 | 46,711 | 3,901,851 | 320 | 16,110 | ||||||||||||
MBS put options | 450,000 | 449 | — | 340,000 | 476 | — | ||||||||||||
Put options on interest rate futures purchase contracts | 1,470,500 | 894 | — | 755,000 | 862 | — | ||||||||||||
Call options on interest rate futures purchase contracts | 870,000 | 4,011 | — | 630,000 | 2,193 | — | ||||||||||||
Put options on interest rate futures sale contracts | 100,000 | — | 141 | 50,000 | — | 8 | ||||||||||||
Total derivatives before netting | 94,659 | 48,717 | 46,264 | 17,211 | ||||||||||||||
Netting | -33,595 | -37,814 | -7,807 | -10,698 | ||||||||||||||
$ | 61,064 | $ | 10,903 | $ | 38,457 | $ | 6,513 | |||||||||||
Margin deposits with (collateral received from) derivative counterparties, net | $ | -4,219 | $ | -2,891 | ||||||||||||||
Summary of the notional value activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans held for sale at fair value and MSRs | ||||||||||||||||||
Quarter ended March 31, 2015 | ||||||||||||||||||
Balance | Balance | |||||||||||||||||
beginning of | Dispositions/ | end of | ||||||||||||||||
Instrument | period | Additions | expirations | period | ||||||||||||||
(in thousands) | ||||||||||||||||||
Forward purchase contracts | 2,634,218 | 19,635,850 | -17,145,201 | 5,124,867 | ||||||||||||||
Forward sale contracts | 3,901,851 | 26,740,272 | -23,177,596 | 7,464,527 | ||||||||||||||
MBS put options | 340,000 | 785,000 | -675,000 | 450,000 | ||||||||||||||
Put options on interest rate futures purchase contracts | 755,000 | 1,540,500 | -825,000 | 1,470,500 | ||||||||||||||
Call options on interest rate futures purchase contracts | 630,000 | 745,000 | -505,000 | 870,000 | ||||||||||||||
Put options on interest rate futures sale contracts | 50,000 | 50,000 | — | 100,000 | ||||||||||||||
Call options on interest rate futures sale contracts | — | 35,100 | -35,100 | — | ||||||||||||||
Quarter ended March 31, 2014 | ||||||||||||||||||
Balance | Balance | |||||||||||||||||
beginning of | Dispositions/ | end of | ||||||||||||||||
Period/Instrument | period | Additions | expirations | period | ||||||||||||||
(in thousands) | ||||||||||||||||||
Forward purchase contracts | 1,418,527 | 6,899,388 | -6,811,248 | 1,506,667 | ||||||||||||||
Forward sale contracts | 2,659,000 | 10,540,119 | -10,369,943 | 2,829,176 | ||||||||||||||
MBS put options | 185,000 | 385,000 | -395,000 | 175,000 | ||||||||||||||
MBS call options | 105,000 | 395,000 | -340,000 | 160,000 | ||||||||||||||
Put options on interest rate futures sales contracts | — | 325,000 | — | 325,000 | ||||||||||||||
Call options on interest rate futures sales contracts | — | 175,000 | -75,000 | 100,000 | ||||||||||||||
Treasury futures purchase contracts | — | 21,600 | -21,600 | — | ||||||||||||||
Treasury futures sale contracts | — | 30,700 | -30,700 | — | ||||||||||||||
Mortgage_Servicing_Rights_Tabl
Mortgage Servicing Rights (Tables) | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Mortgage Servicing Rights | ||||||||
Schedule of activity in MSRs carried at fair value | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Balance at beginning of period | $ | 325,383 | $ | 224,913 | ||||
Additions: | ||||||||
Purchases | 63,137 | 25,866 | ||||||
Mortgage servicing rights resulting from mortgage loan sales | 2,675 | 6,933 | ||||||
65,812 | 32,799 | |||||||
Change in fair value due to: | ||||||||
Changes in valuation inputs or assumptions used in valuation model (1) | -17,715 | -2,956 | ||||||
Other changes in fair value (2) | -12,067 | -7,772 | ||||||
Total change in fair value | -29,782 | -10,728 | ||||||
Balance at end of period | $ | 361,413 | $ | 246,984 | ||||
Fair value of mortgage servicing rights pledged to secure note payable | $ | 413,582 | $ | 272,115 | ||||
-1 | Principally reflects changes in discount rates and prepayment speed inputs, primarily due to changes in market mortgage interest rates. | |||||||
-2 | Represents changes due to realization of cash flows. | |||||||
Schedule of activity in MSRs carried at lower of amortized cost or fair value | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Amortized cost: | ||||||||
Balance at beginning of period | $ | 415,245 | $ | 263,373 | ||||
Mortgage servicing rights resulting from mortgage loan sales | 67,281 | 30,581 | ||||||
Amortization | -12,036 | -6,767 | ||||||
Application of valuation allowance to write down mortgage servicing rights with other-than-temporary impairment | — | — | ||||||
Balance at end of period | 470,490 | 287,187 | ||||||
Valuation allowance: | ||||||||
Balance at beginning of period | -9,800 | -4,622 | ||||||
Additions | -31,692 | -421 | ||||||
Application of valuation allowance to write down mortgage servicing rights with other-than-temporary impairment | — | — | ||||||
Balance at end of period | -41,492 | -5,043 | ||||||
Mortgage servicing rights, net | $ | 428,998 | $ | 282,144 | ||||
Fair value of mortgage servicing rights at end of period | $ | 437,824 | $ | 291,535 | ||||
Fair value of mortgage servicing rights at beginning of period | $ | 416,802 | $ | 269,422 | ||||
Summary of estimate of future amortization of existing MSRs | ||||||||
Estimated MSR | ||||||||
Twelve month period ending March 31, | amortization | |||||||
(in thousands) | ||||||||
2016 | $ | 49,285 | ||||||
2017 | 47,769 | |||||||
2018 | 44,250 | |||||||
2019 | 40,463 | |||||||
2020 | 36,640 | |||||||
Thereafter | 252,083 | |||||||
$ | 470,490 | |||||||
Summary of servicing fees, late fees and ancillary and other fees relating to MSRs recorded on the consolidated statements of income | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Contractual servicing fees | $ | 50,101 | $ | 36,100 | ||||
Ancillary and other fees: | ||||||||
Late charges | 1,651 | 887 | ||||||
Other | 711 | 176 | ||||||
$ | 52,463 | $ | 37,163 | |||||
Schedule of activity in mortgage servicing liability carried at fair value | ||||||||
Quarter ended | ||||||||
March 31, 2015 | ||||||||
(in thousands) | ||||||||
Amortized cost: | ||||||||
Balance at beginning of period | $ | 6,306 | ||||||
Mortgage servicing liabilities resulting from mortgage loan sales | 2,928 | |||||||
Change in fair value | -2,705 | |||||||
Balance at end of period | $ | 6,529 | ||||||
Carried_Interest_Due_from_Inve1
Carried Interest Due from Investment Funds (Tables) | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Carried Interest Due from Investment Funds | ||||||||
Summary of activity in the Company's Carried interest due from Investment Funds | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Balance at beginning of period | $ | 67,298 | $ | 61,142 | ||||
Carried Interest recognized during the period | 1,233 | 2,157 | ||||||
Proceeds received during the period | — | — | ||||||
Balance at end of period | $ | 68,531 | $ | 63,299 | ||||
Investment_in_PennyMac_Mortgag1
Investment in PennyMac Mortgage Investment Trust at Fair Value (Tables) | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Investment in PennyMac Mortgage Investment Trust at Fair Value | ||||||||
Summary of change in fair value of investment in and dividends received from PennyMac Mortgage Investment Trust | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Dividends | $ | 92 | $ | 44 | ||||
Change in fair value | 15 | 71 | ||||||
$ | 107 | $ | 115 | |||||
Fair value of PennyMac Mortgage Investment Trust shares at period end | $ | 1,597 | $ | 1,793 | ||||
Borrowings_Tables
Borrowings (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2015 | |||||||||
Borrowings | |||||||||
Summary of financial data pertaining to mortgage loans sold under agreements to repurchase | |||||||||
Quarter ended March 31, | |||||||||
2015 | 2014 | ||||||||
(in thousands) | |||||||||
Period end: | |||||||||
Balance | $ | 992,187 | $ | 567,737 | |||||
Unused amount (1) | $ | 307,813 | $ | 432,263 | |||||
Weighted average interest rate (3) | 1.82 | % | 1.76 | % | |||||
Fair value of mortgage loans securing agreements to repurchase | $ | 1,132,568 | $ | 694,028 | |||||
Margin deposits placed with counterparties (2) | $ | 1,500 | $ | 1,500 | |||||
During the period: | |||||||||
Average balance of mortgage loans sold under agreements to repurchase | $ | 616,896 | $ | 291,093 | |||||
Weighted average interest rate (3) | 1.79 | % | 1.78 | % | |||||
Total interest expense | $ | 3,809 | $ | 2,329 | |||||
Maximum daily amount outstanding | $ | 992,187 | $ | 567,737 | |||||
-1 | The amount the Company is able to borrow under mortgage loan repurchase agreements is tied to the fair value of unencumbered mortgage loans eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the mortgage loans sold. | ||||||||
-2 | Margin deposits are included in Other assets on the consolidated balance sheet. | ||||||||
-3 | Excludes the effect of amortization of commitment fees totaling $980,000 and $1.0 million for the quarters ended March 31, 2015 and 2014, respectively. | ||||||||
Summary of maturities of outstanding advances under repurchase agreements by maturity date | |||||||||
Remaining maturity at March 31, 2015 | Balance | ||||||||
(in thousands) | |||||||||
Within 30 days | $ | 2,475 | |||||||
Over 30 to 90 days | 918,144 | ||||||||
Over 90 days to 180 days | — | ||||||||
Over 180 days | 71,568 | ||||||||
$ | 992,187 | ||||||||
Weighted average maturity (in months) | 2.7 | ||||||||
Summary of amount at risk relating to the mortgage loans held for sale sold under agreements to repurchase by counterparty | |||||||||
Weighted average | |||||||||
maturity of advances | |||||||||
under repurchase | |||||||||
Counterparty | Amount at risk | agreement | Facility maturity | ||||||
(in thousands) | |||||||||
Credit Suisse First Boston Mortgage Capital LLC | $ | 77,916 | 8-Jul-15 | 30-Oct-15 | |||||
Bank of America, N.A. | $ | 36,407 | 17-Jun-15 | 30-Jan-16 | |||||
Morgan Stanley Bank, N.A. | $ | 10,670 | 17-May-15 | 29-Jun-15 | |||||
Citibank, N.A. | $ | 15,519 | 6-May-15 | 7-Sep-15 | |||||
Summary of mortgage loan participations | Quarter ended, | ||||||||
March 31, 2015 | |||||||||
(in thousands) | |||||||||
Period end: | |||||||||
Mortgage loan participation and sale agreement secured by mortgage loans | $ | 190,762 | |||||||
Mortgage loans pledged to secure mortgage loan participation and sale agreement | $ | 196,716 | |||||||
During the period: | |||||||||
Average balance | $ | 143,638 | |||||||
Weighted average interest rate (1) | 1.25 | % | |||||||
Total interest expense | $ | 519 | |||||||
-1 | Excludes the effect of amortization of commitment fees totaling $98,000 for the quarter ended March 31, 2015. | ||||||||
Summary of note payable | |||||||||
Quarter ended March 31, | |||||||||
2015 | 2014 | ||||||||
(in thousands) | |||||||||
Period end: | |||||||||
Note payable secured by: | |||||||||
Mortgage servicing rights | $ | 134,665 | $ | 48,819 | |||||
Servicing advances | — | — | |||||||
$ | 134,665 | $ | 48,819 | ||||||
Assets pledged to secure note payable: | |||||||||
Mortgage servicing rights | $ | 413,582 | $ | 272,115 | |||||
Servicing advances | $ | — | $ | — | |||||
During the period: | |||||||||
Average balance | $ | 141,280 | $ | 52,354 | |||||
Weighted average interest rate | 2.96 | % | 2.91 | % | |||||
Total interest expense | $ | 1,635 | $ | 659 | |||||
Summary of roll forward of Excess Servicing Spread Financing | |||||||||
Quarter ended March 31, | |||||||||
2015 | 2014 | ||||||||
(in thousands) | |||||||||
Balance at beginning of period | $ | 191,166 | $ | 138,723 | |||||
Issuances if excess servicing spread to PennyMac Mortgage Investment Trust: | |||||||||
For cash | 46,412 | 20,526 | |||||||
Pursuant to a recapture agreement | 1,246 | 1,113 | |||||||
Accrual of interest | 3,752 | 2,862 | |||||||
Repayments | -12,731 | -7,413 | |||||||
Change in fair value | -7,536 | -4,792 | |||||||
Balance at end of period | $ | 222,309 | $ | 151,019 | |||||
Liability_for_Losses_Under_Rep1
Liability for Losses Under Representations and Warranties (Tables) | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Liability for Losses Under Representations and Warranties | ||||||||
Summary of repurchase activity | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Balance at beginning of period | $ | 13,259 | $ | 8,123 | ||||
Provision for losses on loans sold | 1,495 | 851 | ||||||
Incurred losses | -65 | — | ||||||
Balance at end of period | $ | 14,689 | $ | 8,974 | ||||
Unpaid principal balance of mortgage loans subject to representations and warranties at period end | $ | 39,624,553 | $ | 26,304,717 | ||||
Noncontrolling_Interest_Tables
Noncontrolling Interest (Tables) | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Noncontrolling Interest | ||||||||
Noncontrolling Interest | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands, except share amounts) | ||||||||
Net income attributable to PennyMac Financial Services, Inc. common stockholders | $ | 9,028 | $ | 7,972 | ||||
Increase in the Company's additional paid-in capital for exchanges of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. (Class A shares issued, 44,000 and 66,709 during the quarters ended March 31, 2015 and 2014, respectively) | $ | 792 | $ | 563 | ||||
Net_Gains_on_Mortgage_Loans_He1
Net Gains on Mortgage Loans Held for Sale (Tables) | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Net Gains on Mortgage Loans Held for Sale | ||||||||
Net Gains on Mortgage Loans Held for Sale | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Cash (loss) gain: | ||||||||
Sales proceeds | $ | 2,730 | $ | 4,481 | ||||
Hedging activities | -18,329 | -10,256 | ||||||
-15,599 | -5,775 | |||||||
Non-cash gain: | ||||||||
Mortgage servicing rights resulting from mortgage loan sales | 69,956 | 37,514 | ||||||
Mortgage servicing liabilities resulting from mortgage loan sales | -2,928 | — | ||||||
Excess servicing spread recapture payable to PennyMac Mortgage Investment Trust | -1,289 | -1,898 | ||||||
Provision for losses relating to representations and warranties on loans sold | -1,495 | -851 | ||||||
Change in fair value relating to loans and hedging derivatives held at period end: | ||||||||
Interest rate lock commitments | 21,991 | 7,536 | ||||||
Mortgage loans | 12,201 | 7,828 | ||||||
Hedging derivatives | -7,459 | -9,816 | ||||||
$ | 75,378 | $ | 34,538 | |||||
Net_Interest_Expense_Tables
Net Interest Expense (Tables) | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Net Interest Expense | ||||||||
Summary of net interest income (expense) | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Interest income: | ||||||||
Short-term investments | $ | 512 | $ | 201 | ||||
Mortgage loans held for sale at fair value | 8,421 | 3,909 | ||||||
8,933 | 4,110 | |||||||
Interest expense: | ||||||||
Mortgage loans sold under agreements to repurchase | 3,809 | 2,329 | ||||||
Mortgage loan participation and sale agreement | 519 | — | ||||||
Note payable | 1,635 | 659 | ||||||
Excess servicing spread financing at fair value | 3,752 | 2,862 | ||||||
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations | 1,524 | 218 | ||||||
Interest on mortgage loan impound deposits | 590 | 318 | ||||||
11,829 | 6,386 | |||||||
$ | -2,896 | $ | -2,276 | |||||
Stockbased_Compensation_Tables
Stock-based Compensation (Tables) | 3 Months Ended | ||||||||||
Mar. 31, 2015 | |||||||||||
Stock-based Compensation | |||||||||||
Summary of the stock-based compensation expense by instrument awarded | |||||||||||
Quarter ended March 31, | |||||||||||
2015 | 2014 | ||||||||||
(in thousands) | |||||||||||
Stock options | $ | 1,480 | $ | 1,187 | |||||||
Performance-based RSUs | 1,871 | 762 | |||||||||
Time-based RSUs | 535 | 436 | |||||||||
$ | 3,886 | $ | 2,385 | ||||||||
Summary of equity awards | |||||||||||
Quarter ended March 31, 2015 | |||||||||||
Stock options | Performance-based RSUs | Time-based RSUs | |||||||||
(in thousands) | |||||||||||
December 31, 2014 | 1,167 | 1,257 | 202 | ||||||||
Granted | 715 | 1,143 | 118 | ||||||||
Vested | — | — | -31 | ||||||||
Exercised | — | — | — | ||||||||
Forfeited or canceled | -1 | -2 | — | ||||||||
March 31, 2015 | 1,881 | 2,398 | 289 | ||||||||
Quarter ended March 31, 2014 | |||||||||||
Stock options | Performance-based RSUs | Time-based RSUs | |||||||||
(in thousands) | |||||||||||
December 31, 2013 | 419 | 491 | 100 | ||||||||
Granted | 747 | 609 | 97 | ||||||||
Vested | — | — | — | ||||||||
Exercised | — | — | — | ||||||||
Forfeited or canceled | -5 | -6 | -1 | ||||||||
March 31, 2014 | 1,161 | 1,094 | 196 | ||||||||
Supplemental_Cash_Flow_Informa1
Supplemental Cash Flow Information (Tables) | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Supplemental Cash Flow Information | ||||||||
Schedule of supplemental cash flow information | ||||||||
Quarter ended March 31, | ||||||||
2015 | 2014 | |||||||
(in thousands) | ||||||||
Cash paid for interest | $ | 11,606 | $ | 6,223 | ||||
Cash paid for income taxes | $ | 1,902 | $ | 3 | ||||
Non-cash investing activity: | ||||||||
Mortgage servicing rights resulting from mortgage loan sales | $ | 69,956 | $ | 37,514 | ||||
Mortgage servicing liabilities resulting from mortgage loan sales | $ | 2,928 | $ | — | ||||
Non-cash financing activity: | ||||||||
Transfer of excess servicing spread pursuant to recapture agreement with PennyMac Mortgage Investment Trust | $ | 1,246 | $ | 1,113 | ||||
Issuance of common stock in settlement of director fees | $ | 74 | $ | — | ||||
Regulatory_Net_Worth_and_Agenc1
Regulatory Net Worth and Agency Capital Requirements (Tables) | 3 Months Ended | |||||||||||||
Mar. 31, 2015 | ||||||||||||||
Regulatory Net Worth and Agency Capital Requirements | ||||||||||||||
Summary of agencies' capital requirements by each agency | ||||||||||||||
Agency capital | ||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||
Agency–company subject to requirement | Balance (1) | Requirement | Balance (1) | Requirement | ||||||||||
(in thousands) | ||||||||||||||
Fannie Mae–PLS | $ | 628,604 | $ | 35,267 | $ | 583,686 | $ | 35,507 | ||||||
Freddie Mac–PLS | $ | 628,693 | $ | 4,015 | $ | 583,819 | $ | 3,721 | ||||||
Ginnie Mae–PLS | $ | 581,518 | $ | 130,803 | $ | 536,009 | $ | 111,457 | ||||||
Ginnie Mae–PennyMac | $ | 815,745 | $ | 156,963 | $ | 763,907 | $ | 133,748 | ||||||
HUD–PLS | $ | 581,518 | $ | 2,500 | $ | 539,844 | $ | 2,500 | ||||||
-1 | Calculated in compliance with the respective Agency’s requirements. | |||||||||||||
Commitments_and_Contingencies_
Commitments and Contingencies (Tables) | 3 Months Ended | ||||
Mar. 31, 2015 | |||||
Commitment and Contingencies. | |||||
Schedule of commitments to fund and sell mortgage loans | |||||
March 31, 2015 | |||||
(in thousands) | |||||
Commitments to purchase mortgage loans from PennyMac Mortgage Investment Trust | $ | 2,141,582 | |||
Commitments to fund mortgage loans | 982,063 | ||||
$ | 3,123,645 | ||||
Commitments to sell mortgage loans | $ | 7,464,527 | |||
Segments_and_Related_Informati1
Segments and Related Information (Tables) | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Segments and Related Information | |||||||||||||||||
Summary of financial highlights by segment | |||||||||||||||||
Quarter ended March 31, 2015 | |||||||||||||||||
Mortgage Banking | Investment | ||||||||||||||||
Production | Servicing | Total | Management | Total | |||||||||||||
(in thousands) | |||||||||||||||||
Revenues (1) | |||||||||||||||||
Net gains on mortgage loans held for sale at fair value | $ | 76,979 | $ | -1,601 | $ | 75,378 | $ | — | $ | 75,378 | |||||||
Loan origination fees | 16,682 | — | 16,682 | — | 16,682 | ||||||||||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 12,866 | — | 12,866 | — | 12,866 | ||||||||||||
Net servicing fees | — | 26,776 | 26,776 | — | 26,776 | ||||||||||||
Management fees | — | — | — | 8,489 | 8,489 | ||||||||||||
Carried Interest from Investment Funds | — | — | — | 1,233 | 1,233 | ||||||||||||
Net interest income (expense): | |||||||||||||||||
Interest income | 7,016 | 1,917 | 8,933 | — | 8,933 | ||||||||||||
Interest expense | 3,641 | 8,188 | 11,829 | — | 11,829 | ||||||||||||
3,375 | -6,271 | -2,896 | — | -2,896 | |||||||||||||
Other | 913 | 618 | 1,531 | 255 | 1,786 | ||||||||||||
Total net revenue | 110,815 | 19,522 | 130,337 | 9,977 | 140,314 | ||||||||||||
Expenses | 40,132 | 38,067 | 78,199 | 8,877 | 87,076 | ||||||||||||
Income before provision for income taxes | $ | 70,683 | $ | -18,545 | $ | 52,138 | $ | 1,100 | $ | 53,238 | |||||||
Segment assets at period end (2) | $ | 1,399,817 | $ | 1,322,301 | $ | 2,722,118 | $ | 92,093 | $ | 2,814,211 | |||||||
-1 | All revenues are from external customers. | ||||||||||||||||
-2 | Excludes parent Company assets, which consist primarily of deferred tax asset of $42.1 million. | ||||||||||||||||
Quarter ended March 31, 2014 | |||||||||||||||||
Mortgage Banking | Investment | ||||||||||||||||
Production | Servicing | Total | Management | Total | |||||||||||||
(in thousands) | |||||||||||||||||
Revenues (1) | |||||||||||||||||
Net gains on mortgage loans held for sale at fair value | $ | 34,538 | $ | — | $ | 34,538 | $ | — | $ | 34,538 | |||||||
Loan origination fees | 6,880 | — | 6,880 | — | 6,880 | ||||||||||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 8,902 | — | 8,902 | — | 8,902 | ||||||||||||
Net servicing fees | — | 43,764 | 43,764 | — | 43,764 | ||||||||||||
Management fees | — | — | — | 10,109 | 10,109 | ||||||||||||
Carried Interest from Investment Funds | — | — | — | 2,157 | 2,157 | ||||||||||||
Net interest income (expense): | |||||||||||||||||
Interest income | 4,106 | — | 4,106 | 4 | 4,110 | ||||||||||||
Interest expense | 2,329 | 4,057 | 6,386 | — | 6,386 | ||||||||||||
1,777 | -4,057 | -2,280 | 4 | -2,276 | |||||||||||||
Other | 643 | 519 | 1,162 | 256 | 1,418 | ||||||||||||
Total net revenue | 52,740 | 40,226 | 92,966 | 12,526 | 105,492 | ||||||||||||
Expenses | 26,786 | 23,113 | 49,899 | 6,532 | 56,431 | ||||||||||||
Income before provision for income taxes | $ | 25,954 | $ | 17,113 | $ | 43,067 | $ | 5,994 | $ | 49,061 | |||||||
Segment assets at period end (2) | $ | 790,733 | $ | 807,252 | $ | 1,597,985 | $ | 103,698 | $ | 1,701,683 | |||||||
(1)All revenues are from external customers. | |||||||||||||||||
(2)Excludes parent Company assets, which consist primarily of deferred tax assets of $58.2 million. | |||||||||||||||||
Organization_and_Basis_of_Pres1
Organization and Basis of Presentation (Details) | 3 Months Ended |
Mar. 31, 2015 | |
Organization and Basis of Presentation | |
Amount of tax benefits under the tax sharing agreement (as a percent) | 85.00% |
Concentration_of_Risk_Details
Concentration of Risk (Details) (Sales Revenue, Services, Net [Member], Customer Concentration Risk [Member]) | 3 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | |
Sales Revenue, Services, Net [Member] | Customer Concentration Risk [Member] | ||
Concentration of Risk | ||
Percentage of total net revenue | 26.00% | 35.00% |
Transactions_with_Affiliates_S
Transactions with Affiliates (Summary of mortgage lending activity) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Lending activity between the entity and affiliate | ||
Sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust | $75,378 | $34,538 |
Loan servicing fees | 10,670 | 14,591 |
PMT | ||
Lending activity between the entity and affiliate | ||
Fulfillment fee revenue | 12,866 | 8,902 |
PMT | Mortgage Lending | ||
Lending activity between the entity and affiliate | ||
Fulfillment fee revenue | 12,866 | 8,902 |
Unpaid principal balance of loans fulfilled for PennyMac Mortgage Investment Trust | 2,890,132 | 1,919,578 |
Sourcing fees paid | 1,421 | 892 |
Unpaid principal balance of loans purchased from PennyMac Mortgage Investment Trust | 4,735,374 | 2,974,077 |
Sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust | 8,405 | |
MSR recapture recognized | 8 | |
PMT | Mortgage loans acquired for sale at fair value | ||
Lending activity between the entity and affiliate | ||
Base and supplemental | 26 | 17 |
Activity-based | 31 | 26 |
Loan servicing fees | 57 | 43 |
PMT | Purchased MSRs Backed by Distressed Mortgage Loans | ||
Lending activity between the entity and affiliate | ||
Base and supplemental | 4,032 | 4,966 |
Activity-based | 2,894 | 6,386 |
Loan servicing fees | 6,926 | 11,352 |
PMT | Mortgage servicing rights | ||
Lending activity between the entity and affiliate | ||
Base and supplemental | 3,656 | 3,148 |
Activity-based | 31 | 48 |
Loan servicing fees | $3,687 | $3,196 |
Transactions_with_Affiliates_S1
Transactions with Affiliates (Summary of management fees earned) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Management fees earned | ||
Management fees | $8,489 | $10,109 |
PMT | ||
Management fees earned | ||
Management fees | 7,003 | 8,074 |
Period for calculating average annual fees | 24 months | |
Multiplier for calculating the termination fee | 3 | |
PMT | Management Fees | ||
Management fees earned | ||
Base | 5,730 | 5,521 |
Performance incentive | 1,273 | 2,553 |
Management fees | 7,003 | 8,074 |
Investment Funds | ||
Management fees earned | ||
Management fees | $1,486 | $2,035 |
Transactions_with_Affiliates_S2
Transactions with Affiliates (Summary of financing and mortgage loan sourcing activity) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Financing activity between the Company and affiliate | ||
Issuance of excess servicing spread financing to PennyMac Mortgage Investment Trust | ($46,412) | ($20,526) |
Interest expense from excess servicing spread financing | -3,752 | -2,862 |
PMT | Financing And Mortgage Loan Sourcing Activities | ||
Financing activity between the Company and affiliate | ||
Issuance of excess servicing spread financing to PennyMac Mortgage Investment Trust | 46,412 | 20,526 |
Repayments of excess servicing spread | -12,731 | -7,413 |
Change in fair value of excess servicing spread financing | -7,536 | -4,792 |
Interest expense from excess servicing spread financing | 3,752 | 2,862 |
Excess servicing spread recapture recognized | $1,289 | $1,890 |
Transactions_with_Affiliates_O
Transactions with Affiliates (Other transactions) (PMT, Conditional Reimbursement, USD $) | 0 Months Ended | 3 Months Ended | 20 Months Ended | ||
Feb. 01, 2013 | Mar. 31, 2015 | Mar. 31, 2014 | Sep. 30, 2014 | Aug. 04, 2009 | |
Transactions with Affiliates | |||||
Conditional reimbursement | $2,900,000 | ||||
Performance incentive fees reimbursement under the management agreement for every $100 of performance incentive fees earned | 10 | ||||
Performance incentive fee, threshold base | 100 | ||||
Maximum performance incentive fees reimbursement within 12-month period | 1,000,000 | ||||
Payments received | 157,000 | 36,000 | |||
Maximum | |||||
Transactions with Affiliates | |||||
Conditional reimbursement | $2,900,000 |
Transactions_with_Affiliates_R
Transactions with Affiliates (Reimbursement of common overhead/expenses) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Reimbursement of common overhead/expenses incurred on behalf of affiliates | ||
Reimbursement of common overhead incurred by the Company | $3,108 | $3,023 |
Payments and settlements during the period | 22,752 | 18,386 |
PCM | ||
Reimbursement of common overhead/expenses incurred on behalf of affiliates | ||
Reimbursement of common overhead incurred by the Company | 2,729 | 2,578 |
PMT | ||
Reimbursement of common overhead/expenses incurred on behalf of affiliates | ||
Reimbursement of common overhead incurred by the Company | $379 | $445 |
Transactions_with_Affiliates_A
Transactions with Affiliates (Amounts due from affiliate) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
PMT | ||
Amounts due from affiliate | ||
Management fees | $7,003,000 | $8,426,000 |
Allocated expenses | 6,434,000 | 6,581,000 |
Servicing fees | 3,432,000 | 3,385,000 |
Underwriting fees | 980,000 | 1,137,000 |
Fulfillment fees | 870,000 | 506,000 |
Unsettled excess servicing spread issuance | 3,836,000 | |
Total due from affiliate | 18,719,000 | 23,871,000 |
Investment in affiliate, common shares of beneficial interest (in shares) | 75,000 | 75,000 |
Investment in affiliates, at fair value | 1,600,000 | |
Amounts due to affiliates | 130,870,000 | 123,315,000 |
Servicing advances | 125,100,000 | 116,700,000 |
Servicing advances, other expenses | 5,300,000 | 6,200,000 |
Servicing advances, MSR recapture payable to PMT | 503,000 | 460,000 |
Investment Funds | ||
Amounts due from affiliate | ||
Management fees | 1,488,000 | 1,596,000 |
Total due from affiliate | 2,488,000 | 2,291,000 |
Amounts due to affiliates | $32,011,000 | $35,908,000 |
Transactions_with_Affiliates_A1
Transactions with Affiliates (Amounts due from Investment Funds) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||||
Investment Funds | ||||
Amounts due from affiliate | ||||
Carried Interest due from Investment Funds | $68,531 | $67,298 | $63,299 | $61,142 |
Management fees | 1,488 | 1,596 | ||
Loan servicing fees | 459 | 476 | ||
Expense reimbursements | 345 | 30 | ||
Loan servicing rebate | 196 | 189 | ||
Total due from affiliate | 2,488 | 2,291 | ||
Due to Affiliate | 32,011 | 35,908 | ||
PNMAC Mortgage Opportunity Fund, LLC | ||||
Amounts due from affiliate | ||||
Carried Interest due from Investment Funds | 41,643 | 40,771 | ||
PNMAC Mortgage Opportunity Fund Investors, LLC | ||||
Amounts due from affiliate | ||||
Carried Interest due from Investment Funds | $26,888 | $26,527 |
Transactions_with_Affiliates_T1
Transactions with Affiliates (Transactions with affiliates) (USD $) | 3 Months Ended |
In Millions, unless otherwise specified | Mar. 31, 2015 |
Transactions with Affiliates | |
Amount of tax benefits under the tax sharing agreement (as a percent) | 85.00% |
Amount of tax liability under the tax sharing agreement | $71.10 |
Payment of tax liability under the tax receivable agreement to Private National Mortgage Acceptance Company, LLC unitholders | $4.30 |
Earnings_Per_Share_of_Common_S2
Earnings Per Share of Common Stock (Details) (USD $) | 3 Months Ended | |
In Thousands, except Share data, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Basic earnings per share of common stock: | ||
Net income attributable to PennyMac Financial Services, Inc common stockholders | $9,028 | $7,972 |
Weighted-average common stock outstanding | 21,593 | 20,866 |
Basic earnings per share of common stock (in dollars per share) | $0.42 | $0.38 |
Diluted earnings per share of common stock: | ||
Net income | 9,028 | 7,972 |
Effect of net income attributable to noncontrolling interest, net of tax | 22,762 | 21,010 |
Diluted net income attributable to common stockholders | $31,790 | $28,982 |
Weighted-average common stock outstanding | 21,593 | 20,866 |
Dilutive shares: | ||
PennyMac Class A units exchangeable to common stock | 53,562 | 55,051 |
Non-vested PennyMac Class A units issuable under unit-based stock compensation plan and exchangeable to common stock | 779 | |
Shares issuable under stock-based compensation plans (in shares) | 116 | 35 |
Diluted weighted-average common stock outstanding | 76,050 | 75,952 |
Diluted earnings per share of common stock (in dollars per share) | $0.42 | $0.38 |
Loan_Sales_and_Servicing_Activ2
Loan Sales and Servicing Activities (Summary of cash flows with transferees) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Cash flows : | ||
Sales proceeds | $5,765,845 | $3,298,915 |
Servicing fees received | 58,969 | 22,184 |
Net servicing advances (recoveries) | 1,902 | -608 |
Period end information: | ||
Unpaid principal balance (UPB) of loans outstanding at end of period | 39,624,553 | 26,289,208 |
30-89 days | 756,211 | 362,131 |
90 days or more or in foreclosure or bankruptcy | $871,250 | $176,608 |
Loan_Sales_and_Servicing_Activ3
Loan Sales and Servicing Activities (Summary of mortgage servicing portfolio) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Mortgage servicing portfolio | ||
Mortgage loans held for sale | $1,288,744 | $1,100,910 |
Total loans serviced | 115,238,611 | 105,980,049 |
Amount subserviced for the Company | 4,800,930 | 330,768 |
Delinquent mortgage loans: | ||
30 days | 1,568,742 | 1,675,006 |
60 days | 526,135 | 570,205 |
90 days or more - Not in foreclosure | 1,776,674 | 1,837,102 |
90 days or more - In foreclosure | 2,174,844 | 1,967,092 |
90 days or more - Foreclosed | 578,157 | 565,511 |
Total delinquent mortgage loans | 6,624,552 | 6,614,916 |
Custodial funds managed by the Company | 2,767,511 | 1,910,793 |
Non affiliated entities | ||
Mortgage servicing portfolio | ||
Total loans serviced, excluding loans held for sale | 72,407,441 | 65,169,194 |
Affiliated entities | ||
Mortgage servicing portfolio | ||
Total loans serviced, excluding loans held for sale | 41,542,426 | 39,709,945 |
Servicing rights owned | ||
Mortgage servicing portfolio | ||
Mortgage loans held for sale | 1,288,744 | 1,100,910 |
Total loans serviced | 73,696,185 | 66,270,104 |
Amount subserviced for the Company | 4,771,144 | |
Delinquent mortgage loans: | ||
30 days | 1,272,111 | 1,372,915 |
60 days | 391,777 | 434,428 |
90 days or more - Not in foreclosure | 806,491 | 779,129 |
90 days or more - In foreclosure | 519,756 | 422,330 |
90 days or more - Foreclosed | 30,294 | 32,444 |
Total delinquent mortgage loans | 3,020,429 | 3,041,246 |
Custodial funds managed by the Company | 2,179,665 | 1,522,295 |
Servicing rights owned | Non affiliated entities | ||
Mortgage servicing portfolio | ||
Total loans serviced, excluding loans held for sale | 72,407,441 | 65,169,194 |
Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Total loans serviced | 41,542,426 | 39,709,945 |
Amount subserviced for the Company | 29,786 | 330,768 |
Delinquent mortgage loans: | ||
30 days | 296,631 | 302,091 |
60 days | 134,358 | 135,777 |
90 days or more - Not in foreclosure | 970,183 | 1,057,973 |
90 days or more - In foreclosure | 1,655,088 | 1,544,762 |
90 days or more - Foreclosed | 547,863 | 533,067 |
Total delinquent mortgage loans | 3,604,123 | 3,573,670 |
Custodial funds managed by the Company | 587,846 | 388,498 |
Contract servicing and subservicing | Affiliated entities | ||
Mortgage servicing portfolio | ||
Total loans serviced, excluding loans held for sale | $41,542,426 | $39,709,945 |
Loan_Sales_and_Servicing_Activ4
Loan Sales and Servicing Activities (Geographical distriubtion of loans) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | $115,238,611 | $105,980,049 |
California | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 34,192,278 | 33,751,630 |
Texas | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 7,880,148 | 6,954,778 |
Virginia | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 6,795,903 | 6,360,171 |
Florida | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 6,315,648 | 5,573,215 |
Washington | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 3,830,587 | |
Maryland | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 4,193,669 | |
All other states | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | $55,860,965 | $49,509,668 |
Netting_of_Financial_Instrumen2
Netting of Financial Instruments (Offsetting of derivative assets) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | $39,311 | $12,911 |
Gross amounts offset in the balance sheet | -33,595 | -7,807 |
Net amounts of assets presented in the balance sheet | 5,716 | 5,104 |
Total | ||
Gross amounts of recognized assets | 94,659 | 46,264 |
Net amounts of assets presented in the balance sheet | 61,064 | 38,457 |
MBS put options | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 449 | 476 |
Net amounts of assets presented in the balance sheet | 449 | 476 |
Forward contracts | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 33,048 | 9,060 |
Net amounts of assets presented in the balance sheet | 33,048 | 9,060 |
Forward contracts | Sales | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 909 | 320 |
Net amounts of assets presented in the balance sheet | 909 | 320 |
Interest rate lock commitments | ||
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized assets | 55,348 | 33,353 |
Total | ||
Net amounts of assets presented in the balance sheet | 55,348 | 33,353 |
Put options on interest rate futures | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 894 | 862 |
Net amounts of assets presented in the balance sheet | 894 | 862 |
Call options on interest rate futures | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 4,011 | 2,193 |
Net amounts of assets presented in the balance sheet | $4,011 | $2,193 |
Netting_of_Financial_Instrumen3
Netting of Financial Instruments (Derivative assets, financial assets, and collateral held by counterparty) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Total | ||
Net amounts of assets presented in the balance sheet | $61,064 | $38,457 |
Net amount | 61,064 | 38,457 |
RJ O'Brien | ||
Total | ||
Net amounts of assets presented in the balance sheet | 4,023 | 2,005 |
Net amount | 4,023 | 2,005 |
Jefferies & Co. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 937 | 764 |
Net amount | 937 | 764 |
Goldman Sachs | ||
Total | ||
Net amounts of assets presented in the balance sheet | 600 | |
Net amount | 600 | |
Cantor Fitzgerald, LP Member | ||
Total | ||
Net amounts of assets presented in the balance sheet | 332 | |
Net amount | 332 | |
JP Morgan | ||
Total | ||
Net amounts of assets presented in the balance sheet | 526 | |
Net amount | 526 | |
Wells Fargo | ||
Total | ||
Net amounts of assets presented in the balance sheet | 379 | |
Net amount | 379 | |
Nomura | ||
Total | ||
Net amounts of assets presented in the balance sheet | 322 | |
Net amount | 322 | |
Credit Suisse First Boston Mortgage Capital LLC | ||
Total | ||
Net amounts of assets presented in the balance sheet | 221 | |
Net amount | 221 | |
Other | ||
Total | ||
Net amounts of assets presented in the balance sheet | 203 | 508 |
Net amount | 203 | 508 |
Interest rate lock commitments | ||
Total | ||
Net amounts of assets presented in the balance sheet | 55,348 | 33,353 |
Net amount | $55,348 | $33,353 |
Netting_of_Financial_Instrumen4
Netting of Financial Instruments (Offsetting of derivative and financial liabilites) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Derivatives: Subject to a master netting arrangement: | ||
Gross amounts of recognized liabilities | $47,761 | $16,259 |
Netting | -37,814 | -10,698 |
Net amounts of liabilities presented in the balance sheet | 9,947 | 5,561 |
Total | ||
Gross amounts of recognized liabilities | 48,717 | 17,211 |
Net amounts of liabilities presented in the consolidated balance sheet | 10,903 | 6,513 |
Total | ||
Gross amounts of recognized liabilities | 1,040,904 | 839,832 |
Gross amounts offset in the consolidated balance sheet | -37,814 | -10,698 |
Net amounts of liabilities presented in the consolidated balance sheet | 1,003,090 | 829,134 |
Net amount | 10,903 | 6,513 |
Mortgage loans held for sale | ||
Mortgage loans sold under agreements to repurchase | ||
Gross amounts of recognized liabilities | 992,187 | 822,621 |
Net amounts of liabilities presented in the consolidated balance sheet | 992,187 | 822,621 |
Forward contracts | Purchases | ||
Derivatives: Subject to a master netting arrangement: | ||
Gross amounts of recognized liabilities | 909 | 141 |
Net amounts of liabilities presented in the balance sheet | 909 | 141 |
Forward contracts | Sales | ||
Derivatives: Subject to a master netting arrangement: | ||
Gross amounts of recognized liabilities | 46,711 | 16,110 |
Net amounts of liabilities presented in the balance sheet | 46,711 | 16,110 |
Interest rate lock commitments | ||
Derivatives not subject to a master netting arrangement | ||
Gross amounts of recognized liabilities | 956 | 952 |
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 956 | 952 |
Net amount | 956 | 952 |
Put options on interest rate futures | ||
Derivatives: Subject to a master netting arrangement: | ||
Gross amounts of recognized liabilities | 141 | 8 |
Net amounts of liabilities presented in the balance sheet | $141 | $8 |
Netting_of_Financial_Instrumen5
Netting of Financial Instruments (Derivative liabilites, financial liabilities, and collateral held by counterparty)) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | $1,003,090 | $829,134 |
Financial instruments | -992,187 | -822,621 |
Net amount | 10,903 | 6,513 |
Credit Suisse First Boston Mortgage Capital LLC | ||
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 501,400 | 464,737 |
Financial instruments | -498,333 | -463,541 |
Net amount | 3,067 | 1,196 |
Bank of America, N.A. | ||
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 272,970 | 236,909 |
Financial instruments | -271,868 | -236,771 |
Net amount | 1,102 | 138 |
Morgan Stanley Bank | ||
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 122,263 | 122,148 |
Financial instruments | -121,986 | -122,031 |
Net amount | 277 | 117 |
Citigroup | ||
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 101,126 | 699 |
Financial instruments | -100,000 | -278 |
Net amount | 1,126 | 421 |
Bank of NY Mellon | ||
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,552 | |
Net amount | 1,552 | |
Bank of Oklahoma | ||
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 481 | 486 |
Net amount | 481 | 486 |
JP Morgan | ||
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 704 | |
Net amount | 704 | |
Daiwa Capital Markets Inc. | ||
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 598 | 291 |
Net amount | 598 | 291 |
Nomura | ||
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,110 | |
Net amount | 1,110 | |
Other | ||
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,482 | 1,360 |
Net amount | 1,482 | 1,360 |
Interest rate lock commitments | ||
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 956 | 952 |
Net amount | $956 | $952 |
Fair_Value_Measurement_Basis_R
Fair Value - Measurement Basis, Recurring (Details) (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2014 |
Fair value | |||
Interest rate threshold used in determination of accounting for loans underlying mortgage servicing rights (as a percent) | 4.50% | ||
Assets: | |||
Short-term investments at fair value | $30,275 | $21,687 | |
Mortgage loans held for sale at fair value | 1,353,944 | 1,147,884 | |
Derivative assets: | |||
Total derivative assets before netting | 94,659 | 46,264 | |
Netting | -33,595 | -7,807 | |
Total derivative assets | 61,064 | 38,457 | |
Mortgage servicing rights at fair value | 361,413 | 325,383 | |
Derivative liabilities: | |||
Total derivative liabilities before netting | 48,717 | 17,211 | |
Netting | -37,814 | -10,698 | |
Total derivative liabilities | 10,903 | 6,513 | |
Mortgage servicing liabilities | 6,529 | 6,306 | |
PMT | |||
Derivative assets: | |||
Investment in PennyMac Mortgage Investment Trust | 1,597 | 1,582 | 1,793 |
Recurring basis | Level 1 | |||
Assets: | |||
Short-term investments at fair value | 30,275 | 21,687 | |
Derivative assets: | |||
Total derivative assets before netting | 4,905 | 3,055 | |
Total derivative assets | 4,905 | 3,055 | |
Total assets | 36,777 | 26,324 | |
Derivative liabilities: | |||
Total derivative liabilities before netting | 141 | 8 | |
Total derivative liabilities | 141 | 8 | |
Total liabilities | 141 | 8 | |
Recurring basis | Level 1 | PMT | |||
Derivative assets: | |||
Investment in PennyMac Mortgage Investment Trust | 1,597 | 1,582 | |
Recurring basis | Level 1 | Put options on interest rate futures | Purchases | |||
Derivative assets: | |||
Total derivative assets before netting | 894 | 862 | |
Recurring basis | Level 1 | Put options on interest rate futures | Sales | |||
Derivative liabilities: | |||
Total derivative liabilities before netting | 141 | ||
Netting | 8 | ||
Recurring basis | Level 1 | Call options on interest rate futures | Purchases | |||
Derivative assets: | |||
Total derivative assets before netting | 4,011 | 2,193 | |
Recurring basis | Level 2 | |||
Assets: | |||
Mortgage loans held for sale at fair value | 1,270,260 | 937,976 | |
Derivative assets: | |||
Total derivative assets before netting | 34,406 | 9,856 | |
Total derivative assets | 34,406 | 9,856 | |
Total assets | 1,304,666 | 947,832 | |
Derivative liabilities: | |||
Total derivative liabilities before netting | 47,620 | 16,251 | |
Total derivative liabilities | 47,620 | 16,251 | |
Total liabilities | 47,620 | 16,251 | |
Recurring basis | Level 2 | MBS put options | |||
Derivative assets: | |||
Total derivative assets before netting | 449 | 476 | |
Recurring basis | Level 2 | Forward contracts | Purchases | |||
Derivative assets: | |||
Total derivative assets before netting | 33,048 | 9,060 | |
Derivative liabilities: | |||
Total derivative liabilities before netting | 909 | 141 | |
Recurring basis | Level 2 | Forward contracts | Sales | |||
Derivative assets: | |||
Total derivative assets before netting | 909 | 320 | |
Derivative liabilities: | |||
Total derivative liabilities before netting | 46,711 | 16,110 | |
Recurring basis | Level 3 | |||
Assets: | |||
Mortgage loans held for sale at fair value | 83,684 | 209,908 | |
Derivative assets: | |||
Total derivative assets before netting | 55,348 | 33,353 | |
Total derivative assets | 55,348 | 33,353 | |
Mortgage servicing rights at fair value | 361,413 | 325,383 | |
Total assets | 500,445 | 568,644 | |
Derivative liabilities: | |||
Excess servicing spread financing at fair value to affiliate | 222,309 | ||
Total derivative liabilities before netting | 956 | 952 | |
Total derivative liabilities | 956 | 952 | |
Mortgage servicing liabilities | 6,529 | 6,306 | |
Total liabilities | 229,794 | 198,424 | |
Recurring basis | Level 3 | PMT | |||
Derivative liabilities: | |||
Excess servicing spread financing at fair value to affiliate | 191,166 | ||
Recurring basis | Level 3 | Interest rate lock commitments | |||
Derivative assets: | |||
Total derivative assets before netting | 55,348 | 33,353 | |
Derivative liabilities: | |||
Total derivative liabilities before netting | 956 | 952 | |
Recurring basis | Total | |||
Assets: | |||
Short-term investments at fair value | 30,275 | 21,687 | |
Mortgage loans held for sale at fair value | 1,353,944 | 1,147,884 | |
Derivative assets: | |||
Total derivative assets before netting | 94,659 | 46,264 | |
Netting | -33,595 | -7,807 | |
Total derivative assets | 61,064 | 38,457 | |
Mortgage servicing rights at fair value | 361,413 | 325,383 | |
Total assets | 1,808,293 | 1,534,993 | |
Derivative liabilities: | |||
Excess servicing spread financing at fair value to affiliate | 222,309 | ||
Total derivative liabilities before netting | 48,717 | 17,211 | |
Netting | -37,814 | -10,698 | |
Total derivative liabilities | 10,903 | 6,513 | |
Mortgage servicing liabilities | 6,529 | 6,306 | |
Total liabilities | 239,741 | 203,985 | |
Recurring basis | Total | PMT | |||
Derivative assets: | |||
Investment in PennyMac Mortgage Investment Trust | 1,597 | 1,582 | |
Derivative liabilities: | |||
Excess servicing spread financing at fair value to affiliate | 191,166 | ||
Recurring basis | Total | Interest rate lock commitments | |||
Derivative assets: | |||
Total derivative assets before netting | 55,348 | 33,353 | |
Derivative liabilities: | |||
Total derivative liabilities before netting | 956 | 952 | |
Recurring basis | Total | MBS put options | |||
Derivative assets: | |||
Total derivative assets before netting | 449 | 476 | |
Recurring basis | Total | Forward contracts | Purchases | |||
Derivative assets: | |||
Total derivative assets before netting | 33,048 | 9,060 | |
Derivative liabilities: | |||
Total derivative liabilities before netting | 909 | 141 | |
Recurring basis | Total | Forward contracts | Sales | |||
Derivative assets: | |||
Total derivative assets before netting | 909 | 320 | |
Derivative liabilities: | |||
Total derivative liabilities before netting | 46,711 | 16,110 | |
Recurring basis | Total | Put options on interest rate futures | Purchases | |||
Derivative assets: | |||
Total derivative assets before netting | 894 | 862 | |
Recurring basis | Total | Put options on interest rate futures | Sales | |||
Derivative liabilities: | |||
Total derivative liabilities before netting | 141 | ||
Netting | 8 | ||
Recurring basis | Total | Call options on interest rate futures | Purchases | |||
Derivative assets: | |||
Total derivative assets before netting | $4,011 | $2,193 |
Fair_Value_Level_3_Rollforward
Fair Value - Level 3 Rollforward (Details) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||
Accrual Of Mortgage Servicing Liability As Proceeds From Sales Of Loans | $2,928 | |
Excess servicing spread financing | ||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||
Balance at the beginning of the period | 138,723 | |
Proceeds received from excess servicing spread financing | 20,526 | |
ESS issued Pursuant to a recapture agreement with PennyMac Mortgage Investment Trust | 1,113 | |
Accrual of interest | 2,862 | |
Repayments | -7,413 | |
Changes in fair value included in income | -4,792 | |
Balance at the end of the period | 151,019 | |
Changes in fair value recognized during the period relating to liability still held at the end of the period | -4,792 | |
Recurring basis | ||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||
Balance at the beginning of the period | 567,692 | 235,607 |
Purchases | 128,750 | 25,866 |
Sales | -125,268 | |
Repayments | -8,392 | -14 |
Interest rate lock commitments issued, net | 82,780 | 36,438 |
Mortgage servicing rights resulting from mortgage loan sales | 2,675 | 6,933 |
Changes in fair value included in income arising from: | ||
Changes in instrument specific credit risk | -33 | |
Other factors | -29,051 | -5,309 |
Total changes in fair value included in income | -29,084 | -5,309 |
Transfers to Level 2 mortgage loans held for sale | -58,922 | |
Transfers of interest rate lock commitments to mortgage loans held for sale | -60,742 | -34,255 |
Balance at the end of the period | 499,489 | 265,266 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | -29,189 | 3,635 |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||
Balance at the beginning of the period | 197,472 | |
Proceeds received from excess servicing spread financing | 46,412 | |
Accrual Of Mortgage Servicing Liability As Proceeds From Sales Of Loans | 2,928 | |
ESS issued Pursuant to a recapture agreement with PennyMac Mortgage Investment Trust | 1,246 | |
Accrual of interest | 3,752 | |
Repayments | -12,731 | |
Changes in fair value included in income | -10,241 | |
Balance at the end of the period | 228,838 | |
Changes in fair value recognized during the period relating to liability still held at the end of the period | -10,241 | |
Recurring basis | Excess servicing spread financing | ||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||
Balance at the beginning of the period | 191,166 | 138,723 |
Proceeds received from excess servicing spread financing | 46,412 | |
ESS issued Pursuant to a recapture agreement with PennyMac Mortgage Investment Trust | 1,246 | 1,113 |
Accrual of interest | 3,752 | 2,862 |
Repayments | -12,731 | -7,413 |
Changes in fair value included in income | -7,536 | -4,792 |
Balance at the end of the period | 222,309 | 151,019 |
Changes in fair value recognized during the period relating to liability still held at the end of the period | -7,536 | |
Recurring basis | Mortgage servicing liabilities | ||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||
Balance at the beginning of the period | 6,306 | |
Accrual Of Mortgage Servicing Liability As Proceeds From Sales Of Loans | 2,928 | |
Changes in fair value included in income | -2,705 | |
Balance at the end of the period | 6,529 | |
Changes in fair value recognized during the period relating to liability still held at the end of the period | -2,705 | |
Recurring basis | Mortgage loans held for sale | ||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||
Balance at the beginning of the period | 209,908 | 3,933 |
Purchases | 65,613 | |
Sales | -125,268 | |
Repayments | -8,392 | -14 |
Changes in fair value included in income arising from: | ||
Changes in instrument specific credit risk | -33 | |
Other factors | 778 | 66 |
Total changes in fair value included in income | 745 | 66 |
Transfers to Level 2 mortgage loans held for sale | -58,922 | |
Balance at the end of the period | 83,684 | 3,985 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | 640 | 66 |
Recurring basis | Interest rate lock commitments | ||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||
Balance at the beginning of the period | 32,401 | 6,761 |
Interest rate lock commitments issued, net | 82,780 | 36,438 |
Changes in fair value included in income arising from: | ||
Other factors | -47 | 5,353 |
Total changes in fair value included in income | -47 | 5,353 |
Transfers of interest rate lock commitments to mortgage loans held for sale | -60,742 | -34,255 |
Balance at the end of the period | 54,392 | 14,297 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | -47 | 14,297 |
Recurring basis | Mortgage servicing rights | ||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||
Balance at the beginning of the period | 325,383 | 224,913 |
Purchases | 63,137 | 25,866 |
Mortgage servicing rights resulting from mortgage loan sales | 2,675 | 6,933 |
Changes in fair value included in income arising from: | ||
Other factors | -29,782 | -10,728 |
Total changes in fair value included in income | -29,782 | -10,728 |
Balance at the end of the period | 361,413 | 246,984 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | ($29,782) | ($10,728) |
Fair_Value_Fair_Value_Option_D
Fair Value - Fair Value Option (Details) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Liability [Member] | ||
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ||
Total gains (losses) from changes in estimated fair values included in earnings | $10,241 | $4,792 |
Liability [Member] | Net loan servicing fees | ||
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ||
Total gains (losses) from changes in estimated fair values included in earnings | 10,241 | 4,792 |
Excess servicing spread financing | ||
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ||
Total gains (losses) from changes in estimated fair values included in earnings | 7,536 | 4,792 |
Excess servicing spread financing | Net loan servicing fees | ||
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ||
Total gains (losses) from changes in estimated fair values included in earnings | 7,536 | 4,792 |
Mortgage servicing liabilities | ||
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ||
Total gains (losses) from changes in estimated fair values included in earnings | 2,705 | |
Mortgage servicing liabilities | Net loan servicing fees | ||
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ||
Total gains (losses) from changes in estimated fair values included in earnings | 2,705 | |
Assets | ||
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ||
Total gains (losses) from changes in estimated fair values included in earnings | 54,749 | 39,174 |
Assets | Net gains on mortgage loans held for sale at fair value | ||
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ||
Total gains (losses) from changes in estimated fair values included in earnings | 84,531 | 49,902 |
Assets | Net loan servicing fees | ||
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ||
Total gains (losses) from changes in estimated fair values included in earnings | -29,782 | -10,728 |
Mortgage loans held for sale | ||
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ||
Total gains (losses) from changes in estimated fair values included in earnings | 84,531 | 49,902 |
Mortgage loans held for sale | Net gains on mortgage loans held for sale at fair value | ||
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ||
Total gains (losses) from changes in estimated fair values included in earnings | 84,531 | 49,902 |
Mortgage servicing rights at fair value | ||
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ||
Total gains (losses) from changes in estimated fair values included in earnings | -29,782 | -10,728 |
Mortgage servicing rights at fair value | Net loan servicing fees | ||
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ||
Total gains (losses) from changes in estimated fair values included in earnings | ($29,782) | ($10,728) |
Fair_Value_Fair_Value_Option_M
Fair Value - Fair Value Option Maturities (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Fair value | ||
Total fair value | $1,353,944 | $1,147,884 |
Mortgage loans held for sale | ||
Fair value | ||
Current through 89 days delinquent | 1,284,168 | 950,697 |
Not in foreclosure | 43,214 | 126,171 |
In foreclosure | 26,562 | 71,016 |
Total fair value | 1,353,944 | 1,147,884 |
Principal amount due upon maturity | ||
Current through 89 days delinquent | 1,209,848 | 894,924 |
Not in foreclosure | 45,670 | 128,533 |
In foreclosure | 27,588 | 72,039 |
Total principal amount due upon maturity | 1,283,106 | 1,095,496 |
Difference | ||
Current through 89 days delinquent | 74,320 | 55,773 |
Not in foreclosure | -2,456 | -2,362 |
In foreclosure | -1,026 | -1,023 |
Total difference | $70,838 | $52,388 |
Fair_Value_Measurement_Basis_N
Fair Value - Measurement Basis, Nonrecurring (Details) (Nonrecurring basis, USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 |
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||
Mortgage servicing rights at lower of amortized cost or fair value | ($31,692) | ($421) | |
Total gains on assets measured at estimated fair values on a nonrecurring basis | -31,692 | -421 | |
Level 3 | |||
Financial statement items measured at fair value on a nonrecurring basis | |||
Mortgage servicing rights at lower of amortized cost or fair value | 305,005 | 139,505 | |
Total assets | 305,005 | 139,505 | |
Total | |||
Financial statement items measured at fair value on a nonrecurring basis | |||
Mortgage servicing rights at lower of amortized cost or fair value | 305,005 | 139,505 | |
Total assets | $305,005 | $139,505 |
Fair_Value_Level_3_Unobservabl
Fair Value - Level 3 Unobservable Inputs, Mortgage Loans and IRLC (Details) | 3 Months Ended | 12 Months Ended | 3 Months Ended |
Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2014 | |
Mortgage loans held for sale | Level 3 | Minimum | |||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | |||
Discount rate (as a percent) | 2.40% | 2.30% | |
Twelve-month projected housing price index change (as a percent) | 3.30% | 4.20% | |
Prepayment / resale speed (1) | 0.80% | 1.30% | |
Total prepayment speed (as a percent) | 1.00% | 2.10% | |
Mortgage loans held for sale | Level 3 | Maximum | |||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | |||
Discount rate (as a percent) | 9.70% | 9.60% | |
Twelve-month projected housing price index change (as a percent) | 6.10% | 5.40% | |
Prepayment / resale speed (1) | 17.10% | 15.50% | |
Total prepayment speed (as a percent) | 39.10% | 38.10% | |
Mortgage loans held for sale | Level 3 | Weighted average | |||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | |||
Discount rate (as a percent) | 2.60% | 2.40% | |
Twelve-month projected housing price index change (as a percent) | 3.70% | 4.50% | |
Prepayment / resale speed (1) | 15.70% | 15.10% | |
Total prepayment speed (as a percent) | 34.70% | 35.70% | |
Interest rate lock commitments | Weighted average | |||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | |||
Mortgage servicing rights value expressed as: Percentage of unpaid principal balance | 1.40% | 1.20% | |
Interest rate lock commitments | Level 3 | Minimum | |||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | |||
Pull-through rate (as a percent) | 54.10% | 55.40% | |
Mortgage servicing rights value expressed as: Servicing fee multiple | 1.9 | 2 | |
Mortgage servicing rights value expressed as: Percentage of unpaid principal balance | 0.40% | 0.40% | |
Interest rate lock commitments | Level 3 | Maximum | |||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | |||
Pull-through rate (as a percent) | 100.00% | 99.90% | |
Mortgage servicing rights value expressed as: Servicing fee multiple | 4.8 | 5 | |
Mortgage servicing rights value expressed as: Percentage of unpaid principal balance | 3.00% | 3.10% | |
Interest rate lock commitments | Level 3 | Weighted average | |||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | |||
Pull-through rate (as a percent) | 87.50% | 85.50% | |
Mortgage servicing rights value expressed as: Servicing fee multiple | 3.2 | 3.7 |
Fair_Value_Level_3_Unobservabl1
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Rights - Initial Recognition (Details) (Mortgage servicing rights, Initial recognition, USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Fair values | Weighted average | ||
Inputs: | ||
Annual total prepayment speed (as a percent) | 11.90% | 8.50% |
Fair values | Level 3 | ||
MSR and pool characteristics | ||
Amount recognized | 2,675 | 6,933 |
Unpaid principal balance of underlying mortgage loans | 241,518 | 511,467 |
Weighted-average servicing fee rate (as a percent) | 31.00% | 32.00% |
Fair values | Level 3 | Minimum | ||
Inputs: | ||
Pricing spread (as a percent) | 7.30% | 8.50% |
Annual total prepayment speed (as a percent) | 7.80% | 7.90% |
Life (in years) | 1 year 1 month 6 days | 2 years 8 months 12 days |
Annual per-loan cost of servicing | 59 | 68 |
Fair values | Level 3 | Maximum | ||
Inputs: | ||
Pricing spread (as a percent) | 14.40% | 13.80% |
Annual total prepayment speed (as a percent) | 62.40% | 17.20% |
Life (in years) | 7 years 3 months 18 days | 7 years 6 months |
Annual per-loan cost of servicing | 82 | 100 |
Fair values | Level 3 | Weighted average | ||
Inputs: | ||
Pricing spread (as a percent) | 10.70% | 11.20% |
Life (in years) | 6 years 1 month 6 days | 7 years 2 months 12 days |
Annual per-loan cost of servicing | 74 | 97 |
Amortized cost | Weighted average | ||
Inputs: | ||
Annual total prepayment speed (as a percent) | 8.90% | 8.10% |
Amortized cost | Level 3 | ||
MSR and pool characteristics | ||
Amount recognized | 67,281 | 30,581 |
Unpaid principal balance of underlying mortgage loans | 5,137,085 | 2,623,599 |
Weighted-average servicing fee rate (as a percent) | 33.00% | 30.00% |
Amortized cost | Level 3 | Minimum | ||
Inputs: | ||
Pricing spread (as a percent) | 6.80% | 7.30% |
Annual total prepayment speed (as a percent) | 7.60% | 7.60% |
Life (in years) | 1 year 9 months 18 days | 1 year 6 months |
Annual per-loan cost of servicing | 59 | 68 |
Amortized cost | Level 3 | Maximum | ||
Inputs: | ||
Pricing spread (as a percent) | 15.90% | 14.80% |
Annual total prepayment speed (as a percent) | 39.40% | 45.30% |
Life (in years) | 7 years 3 months 18 days | 7 years 6 months |
Annual per-loan cost of servicing | 82 | 100 |
Amortized cost | Level 3 | Weighted average | ||
Inputs: | ||
Pricing spread (as a percent) | 9.80% | 10.50% |
Life (in years) | 6 years 10 months 24 days | 7 years 1 month 6 days |
Annual per-loan cost of servicing | 75 | 100 |
Fair_Value_Level_3_Unobservabl2
Fair Value - Level 3 Unobservable Inputs, Mortgage Services Rights, Effect of Change In Inputs on Fair Value (Details 8) (USD $) | 3 Months Ended | 12 Months Ended | 3 Months Ended |
Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2014 | |
Excess servicing spread financing | |||
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | |||
Unpaid principal balance of underlying mortgage loans | $33,621,619,000 | $28,227,340,000 | |
Average servicing fee rate (as a percent) | 0.30% | 0.31% | |
Average excess servicing spread (as a percent) | 16.00% | 16.00% | |
Weighted average | Excess servicing spread financing | |||
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | |||
Pricing spread (as a percent) | 5.50% | 5.30% | |
Prepayment speed | |||
Average life of ESS (in years) | 5 years 8 months 12 days | 5 years 9 months 18 days | |
Prepayment speed of ESS (as a percent) | 11.60% | 11.20% | |
Level 3 | Minimum | Excess servicing spread financing | |||
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | |||
Pricing spread (as a percent) | 1.70% | 1.70% | |
Prepayment speed | |||
Average life of ESS (in years) | 3 months 18 days | 4 months 24 days | |
Prepayment speed of ESS (as a percent) | 7.60% | 7.60% | |
Level 3 | Maximum | Excess servicing spread financing | |||
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | |||
Pricing spread (as a percent) | 12.40% | 12.00% | |
Prepayment speed | |||
Average life of ESS (in years) | 7 years 3 months 18 days | 7 years 3 months 18 days | |
Prepayment speed of ESS (as a percent) | 77.30% | 74.60% | |
Period end | Fair values | |||
Prepayment speed | |||
Effect on fair value of 20% adverse change | -26,654,000 | ||
Period end | Fair values | Level 3 | |||
Prepayment speed | |||
Effect on fair value of 20% adverse change | -30,519,000 | ||
Period end | Amortized cost | |||
Prepayment speed | |||
Effect on fair value of 20% adverse change | -32,837,000 | -28,132,000 | |
Period end | Amortized cost | Level 3 | Minimum | |||
Prepayment speed | |||
Prepayment speed of MSRs (as a percent) | 7.60% | ||
Period end | Amortized cost | Level 3 | Maximum | |||
Prepayment speed | |||
Prepayment speed of MSRs (as a percent) | 42.80% | ||
Mortgage servicing rights | Period end | Fair values | |||
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | |||
Carrying value | 325,383,000 | ||
Unpaid principal balance of underlying mortgage loans | 30,945,000 | ||
Weighted-average note interest rate (as a percent) | 4.24% | ||
Prepayment speed | |||
Effect on fair value of 5% adverse change | -7,052,000 | ||
Effect on fair value of 10% adverse change | -13,835,000 | ||
Per-loan annual cost of servicing | |||
Effect on fair value of 5% adverse change | -2,910,000 | ||
Effect on fair value of 10% adverse change | -5,819,000 | ||
Effect on fair value of 20% adverse change | -11,638,000 | ||
Mortgage servicing rights | Period end | Fair values | Weighted average | |||
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | |||
Weighted-average servicing fee rate (as a percent) | 0.31% | ||
Pricing spread (as a percent) | 9.20% | ||
Prepayment speed | |||
Average life of MSRs (in years) | 5 years 9 months 18 days | ||
Prepayment speed of MSRs (as a percent) | 11.20% | ||
Annual per-loan cost of servicing | 76,000 | ||
Mortgage servicing rights | Period end | Fair values | Level 3 | |||
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | |||
Carrying value | 361,413,000 | ||
Unpaid principal balance of underlying mortgage loans | 35,738,618 | ||
Weighted-average note interest rate (as a percent) | 4.15% | ||
Prepayment speed | |||
Effect on fair value of 5% adverse change | -8,094,000 | ||
Effect on fair value of 10% adverse change | -15,866,000 | ||
Per-loan annual cost of servicing | |||
Effect on fair value of 5% adverse change | -3,344,000 | ||
Effect on fair value of 10% adverse change | -6,688,000 | ||
Effect on fair value of 20% adverse change | -13,377,000 | ||
Mortgage servicing rights | Period end | Fair values | Level 3 | Minimum | |||
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | |||
Pricing spread (as a percent) | 3.40% | 2.90% | |
Prepayment speed | |||
Prepayment speed of MSRs (as a percent) | 7.60% | 7.60% | |
Annual per-loan cost of servicing | 60,000 | 59,000 | |
Mortgage servicing rights | Period end | Fair values | Level 3 | Maximum | |||
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | |||
Pricing spread (as a percent) | 21.30% | 21.30% | |
Prepayment speed | |||
Prepayment speed of MSRs (as a percent) | 66.40% | 60.50% | |
Annual per-loan cost of servicing | 99,000 | 109,000 | |
Mortgage servicing rights | Period end | Fair values | Level 3 | Weighted average | |||
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | |||
Weighted-average servicing fee rate (as a percent) | 0.30% | ||
Pricing spread (as a percent) | 9.20% | ||
Prepayment speed | |||
Average life of MSRs (in years) | 5 years 8 months 12 days | ||
Prepayment speed of MSRs (as a percent) | 11.80% | ||
Annual per-loan cost of servicing | 76,000 | ||
Mortgage servicing rights | Period end | Amortized cost | |||
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | |||
Carrying value | 428,998,000 | 405,445,000 | |
Unpaid principal balance of underlying mortgage loans | 36,247,371 | 33,745,613 | |
Weighted-average note interest rate (as a percent) | 3.81% | 3.82% | |
Prepayment speed | |||
Effect on fair value of 5% adverse change | -8,635,000 | -7,359,000 | |
Effect on fair value of 10% adverse change | -16,977,000 | -14,494,000 | |
Per-loan annual cost of servicing | |||
Effect on fair value of 5% adverse change | -3,201,000 | -2,992,000 | |
Effect on fair value of 10% adverse change | -6,402,000 | -5,983,000 | |
Effect on fair value of 20% adverse change | -12,803,000 | -11,967,000 | |
Mortgage servicing rights | Period end | Amortized cost | Weighted average | |||
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | |||
Weighted-average servicing fee rate (as a percent) | 0.30% | 0.30% | |
Pricing spread (as a percent) | 9.30% | 9.70% | |
Prepayment speed | |||
Average life of MSRs (in years) | 6 years 8 months 12 days | 6 years 9 months 18 days | |
Prepayment speed of MSRs (as a percent) | 9.40% | 8.50% | |
Annual per-loan cost of servicing | 76,000 | 75,000 | |
Mortgage servicing rights | Period end | Amortized cost | Level 3 | Minimum | |||
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | |||
Pricing spread (as a percent) | 6.30% | 6.30% | |
Prepayment speed | |||
Prepayment speed of MSRs (as a percent) | 7.70% | ||
Annual per-loan cost of servicing | 59,000 | 59,000 | |
Mortgage servicing rights | Period end | Amortized cost | Level 3 | Maximum | |||
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | |||
Pricing spread (as a percent) | 16.40% | 15.30% | |
Prepayment speed | |||
Prepayment speed of MSRs (as a percent) | 56.50% | ||
Annual per-loan cost of servicing | 82,000 | 81,000 | |
Other Mortgage Servicing Rights | Period end | Fair values | |||
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | |||
Effect on fair value of 5% adverse change | -5,550,000 | ||
Effect on fair value of 10% adverse change | -10,908,000 | ||
Effect on fair value of 20% adverse change | -21,084,000 | ||
Other Mortgage Servicing Rights | Period end | Fair values | Level 3 | |||
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | |||
Effect on fair value of 5% adverse change | -6,167,000 | ||
Effect on fair value of 10% adverse change | -12,120,000 | ||
Effect on fair value of 20% adverse change | -23,429,000 | ||
Other Mortgage Servicing Rights | Period end | Fair values | Level 3 | Minimum | |||
Prepayment speed | |||
Average life of MSRs (in years) | 4 months 24 days | 4 months 24 days | |
Other Mortgage Servicing Rights | Period end | Fair values | Level 3 | Maximum | |||
Prepayment speed | |||
Average life of MSRs (in years) | 8 years 2 months 12 days | 8 years 2 months 12 days | |
Other Mortgage Servicing Rights | Period end | Amortized cost | |||
Quantitative summary of key inputs used in the valuation and the effect on estimated fair value from adverse changes in those assumptions | |||
Effect on fair value of 5% adverse change | -8,680,000 | -8,710,000 | |
Effect on fair value of 10% adverse change | -17,037,000 | -17,083,000 | |
Effect on fair value of 20% adverse change | ($32,848,000) | ($32,890,000) | |
Other Mortgage Servicing Rights | Period end | Amortized cost | Level 3 | Minimum | |||
Prepayment speed | |||
Average life of MSRs (in years) | 1 year 3 months 18 days | 1 year 7 months 6 days | |
Other Mortgage Servicing Rights | Period end | Amortized cost | Level 3 | Maximum | |||
Prepayment speed | |||
Average life of MSRs (in years) | 7 years 3 months 18 days | 7 years 3 months 18 days |
Mortgage_Loans_Held_for_Sale_a2
Mortgage Loans Held for Sale at Fair Value (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale at fair value | $1,353,944 | $1,147,884 |
Fair value of mortgage loans pledged to secure mortgage loans sold under agreements to repurchase | 1,132,568 | 976,772 |
Fair value of mortgage loans pledged to secure mortgage loan participation and sale agreement | 196,716 | 148,133 |
Government-insured or guaranteed | ||
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale at fair value | 1,183,544 | 866,148 |
Conventional mortgage loans | ||
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale at fair value | 86,716 | 66,229 |
Jumbo Loan | ||
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale at fair value | 5,599 | |
Mortgage loans purchased from Ginnie Mae pools serviced by the entity | ||
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale at fair value | 75,569 | 206,331 |
Mortgage loans repurchased pursuant to representations and warranties | ||
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale at fair value | $8,115 | $3,577 |
Derivative_Financial_Instrumen2
Derivative Financial Instruments (Details) (USD $) | 3 Months Ended | ||
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | |
Total | |||
Total derivative assets before netting | $94,659,000 | $46,264,000 | |
Netting | -33,595,000 | -7,807,000 | |
Total derivative assets | 61,064,000 | 38,457,000 | |
Derivative liabilities, fair value | |||
Total derivative liabilities before netting | 48,717,000 | 17,211,000 | |
Netting | -37,814,000 | -10,698,000 | |
Total derivative liabilities | 10,903,000 | 6,513,000 | |
Net gains on mortgage loans held for sale at fair value | |||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Net gains (losses) on derivative financial instruments used to hedge the IRLCs and mortgage loans held for sale at fair value | 25,800,000 | 20,100,000 | |
Amortization Impairment and Changes in Estimated Fair Value of Mortgage Servicing Rights [Member] | |||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Net gains (losses) on derivative financial instruments used to hedge the IRLCs and mortgage loans held for sale at fair value | 17,100,000 | 431,000 | |
Margin Deposits | |||
Total | |||
Total derivative assets before netting | -4,219,000 | -2,891,000 | |
Not designated as hedging instrument | Interest rate lock commitments | |||
Derivative Instruments | |||
Notional amount | 3,123,645,000 | 1,765,597,000 | |
Total | |||
Total derivative assets before netting | 55,348,000 | 33,353,000 | |
Derivative liabilities, fair value | |||
Total derivative liabilities before netting | 956,000 | 952,000 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Balance at beginning of period | 1,765,597,000 | ||
Balance end of period | 3,123,645,000 | 1,765,597,000 | |
Not designated as hedging instrument | Forward contracts | Purchases | |||
Derivative Instruments | |||
Notional amount | 5,124,867,000 | 1,506,667,000 | |
Total | |||
Total derivative assets before netting | 33,048,000 | 9,060,000 | |
Derivative liabilities, fair value | |||
Total derivative liabilities before netting | 909,000 | 141,000 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Balance at beginning of period | 2,634,218,000 | 1,418,527,000 | |
Additions | 19,635,850,000 | 6,899,388,000 | |
Dispositions/expirations | -17,145,201,000 | -6,811,248,000 | |
Balance end of period | 5,124,867,000 | 1,506,667,000 | |
Not designated as hedging instrument | Forward contracts | Sales | |||
Derivative Instruments | |||
Notional amount | 7,464,527,000 | 2,829,176,000 | |
Total | |||
Total derivative assets before netting | 909,000 | 320,000 | |
Derivative liabilities, fair value | |||
Total derivative liabilities before netting | 46,711,000 | 16,110,000 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Balance at beginning of period | 3,901,851,000 | 2,659,000,000 | |
Additions | 26,740,272,000 | 10,540,119,000 | |
Dispositions/expirations | -23,177,596,000 | -10,369,943,000 | |
Balance end of period | 7,464,527,000 | 2,829,176,000 | |
Not designated as hedging instrument | MBS put options | |||
Derivative Instruments | |||
Notional amount | 450,000,000 | 175,000,000 | |
Total | |||
Total derivative assets before netting | 449,000 | 476,000 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Balance at beginning of period | 340,000,000 | 185,000,000 | |
Additions | 785,000,000 | 385,000,000 | |
Dispositions/expirations | -675,000,000 | -395,000,000 | |
Balance end of period | 450,000,000 | 175,000,000 | |
Not designated as hedging instrument | MBS call options | |||
Derivative Instruments | |||
Notional amount | 160,000,000 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Balance at beginning of period | 105,000,000 | ||
Additions | 395,000,000 | ||
Dispositions/expirations | -340,000,000 | ||
Balance end of period | 160,000,000 | ||
Not designated as hedging instrument | Put options on interest rate futures | Purchases | |||
Derivative Instruments | |||
Notional amount | 1,470,500,000 | ||
Total | |||
Total derivative assets before netting | 894,000 | 862,000 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Balance at beginning of period | 755,000,000 | ||
Additions | 1,540,500,000 | ||
Dispositions/expirations | -825,000,000 | ||
Balance end of period | 1,470,500,000 | ||
Not designated as hedging instrument | Put options on interest rate futures | Sales | |||
Derivative Instruments | |||
Notional amount | 100,000,000 | 325,000,000 | |
Derivative liabilities, fair value | |||
Total derivative liabilities before netting | 141,000 | 8,000 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Balance at beginning of period | 50,000,000 | ||
Additions | 50,000,000 | 325,000,000 | |
Balance end of period | 100,000,000 | 325,000,000 | |
Not designated as hedging instrument | Call options on interest rate futures | Purchases | |||
Derivative Instruments | |||
Notional amount | 870,000,000 | ||
Total | |||
Total derivative assets before netting | 4,011,000 | 2,193,000 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Balance at beginning of period | 630,000,000 | ||
Additions | 745,000,000 | ||
Dispositions/expirations | -505,000,000 | ||
Balance end of period | 870,000,000 | ||
Not designated as hedging instrument | Call options on interest rate futures | Sales | |||
Derivative Instruments | |||
Notional amount | 100,000,000 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Additions | 35,100,000 | 175,000,000 | |
Dispositions/expirations | -35,100,000 | -75,000,000 | |
Balance end of period | 100,000,000 | ||
Not designated as hedging instrument | Treasury future | Purchases | |||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Additions | 21,600,000 | ||
Dispositions/expirations | -21,600,000 | ||
Not designated as hedging instrument | Treasury future | Sales | |||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Additions | 30,700,000 | ||
Dispositions/expirations | ($30,700,000) |
Mortgage_Servicing_Rights_Acti
Mortgage Servicing Rights (Activity in MSRs at fair value) (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 |
Activity in MSRs carried at fair value | |||
Balance at beginning of period | $325,383 | ||
Change in fair value: | |||
Balance at end of period | 361,413 | 325,383 | |
Mortgage servicing rights | |||
Activity in MSRs carried at fair value | |||
Balance at beginning of period | 325,383 | 224,913 | |
Additions - Purchases | 63,137 | 25,866 | |
Additions - Mortgage servicing rights resulting from mortgage loan sales | 2,675 | 6,933 | |
Additions | 65,812 | 32,799 | |
Change in fair value: | |||
Changes in valuation inputs or assumptions used in valuation model | -17,715 | -2,956 | |
Other changes in fair value | -12,067 | -7,772 | |
Total change in fair value | -29,782 | -10,728 | |
Balance at end of period | 361,413 | 246,984 | |
Fair value of mortgage servicing rights pledged to secure note payable | $413,582 | $272,115 |
Mortgage_Servicing_Rights_Acti1
Mortgage Servicing Rights (Activity in MSRs carried at lower of Amortize Cost or FV) (USD $) | 3 Months Ended | |||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2013 |
Estimated amortization | ||||
2016 | $49,285 | |||
2017 | 47,769 | |||
2018 | 44,250 | |||
2019 | 40,463 | |||
2020 | 36,640 | |||
Thereafter | 252,083 | |||
Total | 470,490 | |||
Mortgage servicing rights | ||||
Amortized cost: | ||||
Amortized cost at beginning of period | 415,245 | 263,373 | ||
Mortgage servicing rights resulting from mortgage loan sales | -67,281 | -30,581 | ||
Amortization | -12,036 | -6,767 | ||
Amortized cost at end of period | 470,490 | 287,187 | ||
Valuation allowance: | ||||
Balance at beginning of period | -9,800 | -4,622 | ||
(Additions) reversals | -31,692 | -421 | ||
Balance at of period end | -41,492 | -5,043 | ||
Additional disclosures | ||||
Mortgage servicing rights, net | 428,998 | 282,144 | ||
Fair value of mortgage servicing rights at end of period | 437,824 | 291,535 | 416,802 | 269,422 |
Fair value of mortgage servicing rights at beginning of period | $437,824 | $291,535 | $416,802 | $269,422 |
Mortgage_Servicing_Rights_Esti
Mortgage Servicing Rights (Estimate of future amortization) (USD $) | Mar. 31, 2014 |
In Thousands, unless otherwise specified | |
Estimated amortization | |
2016 | $49,285 |
2017 | 47,769 |
2018 | 44,250 |
2019 | 40,463 |
2020 | 36,640 |
Thereafter | 252,083 |
Total | $470,490 |
Mortgage_Servicing_Rights_Serv
Mortgage Servicing Rights (Servicing, late, ancillary and other fees relating to MSRs) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Net servicing income | ||
Contractual servicing fees | $50,101 | $36,100 |
Ancillary and other fees | ||
Other | 11,185 | 5,151 |
Net loan servicing fees | 26,776 | 43,764 |
Mortgage servicing rights | ||
Net servicing income | ||
Contractual servicing fees | 50,101 | 36,100 |
Ancillary and other fees | ||
Late charges | 1,651 | 887 |
Other | 711 | 176 |
Net loan servicing fees | $52,463 | $37,163 |
Mortgage_Servicing_Rights_Mort
Mortgage Servicing Rights (Mortgage servicing liabilities carried at FV) (USD $) | 3 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2015 |
Amortized cost: | |
Balance at beginning of period | $6,306 |
Change in fair value due to: | |
Accrual of mortgage servicing liabilities resulting from mortgage loan sales | 2,928 |
Change in fair value | -2,705 |
Balance at end of period | $6,529 |
Carried_Interest_Due_from_Inve2
Carried Interest Due from Investment Funds (Details) (Investment Funds, USD $) | 3 Months Ended | 9 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | Sep. 30, 2014 |
item | |||
Investment Funds | |||
Activity in the carried interest | |||
Balance at beginning of period | $67,298 | $61,142 | $61,142 |
Carried Interest recognized during the period | 1,233 | 2,157 | |
Balance at end of period | $68,531 | $63,299 | |
Additional disclosures | |||
Number of times when agreement will be extended | 3 | ||
Agreement extensions term | 1 year |
Investment_in_PennyMac_Mortgag2
Investment in PennyMac Mortgage Investment Trust at Fair Value (Details) (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 |
Investment in PennyMac Mortgage Investment Trust at Fair Value | |||
Change in fair value and dividends received | $1,786 | $1,418 | |
PMT | |||
Investment in PennyMac Mortgage Investment Trust at Fair Value | |||
Dividends | 92 | 44 | |
Change in fair value | 15 | 71 | |
Change in fair value and dividends received | 107 | 115 | |
Fair value of PennyMac Mortgage Investment Trust shares at period end | $1,597 | $1,793 | $1,582 |
Borrowings_Details
Borrowings (Details) (USD $) | 3 Months Ended | ||
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | |
item | |||
Mortgage loans sold under agreement to repurchase | |||
Number of borrowing facilities | 6 | ||
Number of borrowing facilities that provide for sales of mortgage loans under agreements to repurchase | 4 | ||
Number of facilities that provide for sale of mortgage loan participants certificates | 1 | ||
Number of secured note payable borrowing facilities | 1 | ||
Period end: | |||
Balance | $992,187,000 | $822,621,000 | |
Fair value of mortgage loans securing agreements to repurchase | 1,132,568,000 | 976,772,000 | |
During the period: | |||
Amortization of commitment fees excluded from calculation of Weighted average interest rate | 1,708,000 | 1,213,000 | |
Weighted-average maturity | 2 years 8 months 12 days | ||
Within 30 days | |||
Period end: | |||
Balance | 2,475,000 | ||
Over 30 to 90 days | |||
Period end: | |||
Balance | 918,144,000 | ||
Over 180 days | |||
Period end: | |||
Balance | 71,568,000 | ||
Loan Repo Facility | |||
Period end: | |||
Balance | 992,187,000 | 567,737,000 | |
Unused amount | 307,813,000 | 432,263,000 | |
Weighted average interest rate (as a percent) | 1.82% | 1.76% | |
Fair value of mortgage loans securing agreements to repurchase | 1,132,568,000 | 694,028,000 | |
Margin deposits placed with counterparties | 1,500,000 | 1,500,000 | |
During the period: | |||
Average balance of mortgage loans sold under agreements to repurchase | 616,896,000 | 291,093,000 | |
Weighted-average interest rate (as a percent) | 1.79% | 1.78% | |
Total interest expense | 3,809,000 | 2,329,000 | |
Maximum daily amount outstanding | 992,187,000 | 567,737,000 | |
Amortization of commitment fees excluded from calculation of Weighted average interest rate | 980,000 | 1,000,000 | |
Loan Repo Facility | Credit Suisse First Boston Mortgage Capital LLC | |||
During the period: | |||
Amount at risk | 77,916,000 | ||
Loan Repo Facility | Bank of America, N.A. | |||
During the period: | |||
Amount at risk | 36,407,000 | ||
Loan Repo Facility | Morgan Stanley Bank | |||
During the period: | |||
Amount at risk | 10,670,000 | ||
Loan Repo Facility | Citibank, N.A. | |||
During the period: | |||
Amount at risk | $15,519,000 | ||
Loan Repo Facility | Overnight cost-of funds rate | |||
Mortgage loans sold under agreement to repurchase | |||
Number of borrowing facilities that provide for sales of mortgage loans under agreements to repurchase | 1 | ||
Loan Repo Facility | LIBOR | |||
Mortgage loans sold under agreement to repurchase | |||
Number of borrowing facilities that provide for sales of mortgage loans under agreements to repurchase | 3 |
Borrowings_Details_2
Borrowings (Details 2) (USD $) | 3 Months Ended | ||
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | |
item | |||
Period end: | |||
Mortgage loan participation and sale agreement secured by mortgage loans | $190,762,000 | $143,638,000 | |
Note Payable | 134,665,000 | 146,855,000 | |
During the period: | |||
Total interest expense | 519,000 | ||
Number of facilities that provide for sale of mortgage loan participants certificates | 1 | ||
Amortization of debt issuance costs and commitment fees relating to financing facilities | 1,708,000 | 1,213,000 | |
Mortgage Loan Participation and Sale Agreement member | |||
Period end: | |||
Mortgage loan participation and sale agreement secured by mortgage loans | 190,762,000 | ||
Assets pledged to secure note payable | 196,716,000 | ||
During the period: | |||
Average balance | 143,638,000 | ||
Weighted-average interest rate (as a percent) | 1.25% | ||
Total interest expense | 519,000 | ||
Amortization of debt issuance costs and commitment fees relating to financing facilities | 98,000 | ||
Note Payable | |||
Period end: | |||
Note Payable | 134,665,000 | 48,819,000 | |
During the period: | |||
Average balance | 141,280,000 | 52,354,000 | |
Weighted-average interest rate (as a percent) | 2.96% | 2.91% | |
Total interest expense | 1,635,000 | 659,000 | |
Note Payable | Minimum | |||
During the period: | |||
Advance rate to secure note payable (as a percent) | 50.00% | ||
Note Payable | Maximum | |||
During the period: | |||
Advance rate to secure note payable (as a percent) | 85.00% | ||
Note Payable | Mortgage servicing rights | |||
Period end: | |||
Note Payable | 134,665,000 | 48,819,000 | |
Assets pledged to secure note payable | $413,582,000 | $272,115,000 |
Borrowings_Details_3
Borrowings (Details 3) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Recurring basis | ||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||
Balance at the beginning of the period | $197,472 | |
ESS issued Pursuant to a recapture agreement with PennyMac Mortgage Investment Trust | 1,246 | |
Accrual of interest expense | 3,752 | |
Repayments | -12,731 | |
Change in fair value | -10,241 | |
Balance at the end of the period | 228,838 | |
Excess servicing spread financing | ||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||
Balance at the beginning of the period | 138,723 | |
ESS issued Pursuant to a recapture agreement with PennyMac Mortgage Investment Trust | 1,113 | |
Accrual of interest expense | 2,862 | |
Repayments | -7,413 | |
Change in fair value | -4,792 | |
Balance at the end of the period | 151,019 | |
Excess servicing spread financing | Recurring basis | ||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||
Balance at the beginning of the period | 191,166 | 138,723 |
Proceeds received from excess servicing spread financing | 46,412 | 20,526 |
ESS issued Pursuant to a recapture agreement with PennyMac Mortgage Investment Trust | 1,246 | 1,113 |
Accrual of interest expense | 3,752 | 2,862 |
Repayments | -12,731 | -7,413 |
Change in fair value | -7,536 | -4,792 |
Balance at the end of the period | $222,309 | $151,019 |
Liability_for_Losses_Under_Rep2
Liability for Losses Under Representations and Warranties (Details) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
During the period: | ||
Balance at beginning of period | $13,259 | $8,123 |
Provision for losses on loans sold | 1,495 | 851 |
Incurred losses | -65 | |
Balance at end of period | 14,689 | 8,974 |
Unpaid principal balance of mortgage loans subject to representations and warranties at period end | $39,624,553 | $26,304,717 |
Income_Taxes_Details
Income Taxes (Details) | 3 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | |
Reconciliation of the entity's provision for income taxes at statutory rates to the provision for income taxes at the entity's effective tax rate | ||
Effective tax rate (as a percent) | 11.50% | 11.30% |
Noncontrolling_Interest_Detail
Noncontrolling Interest (Details) (USD $) | 3 Months Ended | |||
In Thousands, except Share data, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2013 |
Noncontrolling Interest [Line Items] | ||||
Noncontrolling interest in Private National Mortgage Acceptance Company, LLC (as a percent) | 71.50% | 72.50% | 71.60% | 72.60% |
Net Income (Loss) Available to Common Stockholders, Basic | $9,028 | $7,972 | ||
Stock Issued During Period, Value, Conversion of Units | $792 | $563 | ||
Class A Common Stock | ||||
Noncontrolling Interest [Line Items] | ||||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. (in shares) | 44,000 | 66,709 | ||
Stock Issued During Period, Shares, Conversion of Units | 44,000 | 66,709 |
Net_Gains_on_Mortgage_Loans_He2
Net Gains on Mortgage Loans Held for Sale (Details) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Cash (loss) gain: | ||
Sales proceeds | $2,730 | $4,481 |
Hedging activities | -18,329 | -10,256 |
Cash gain (loss), net of effects of cash hedging, on sale of mortgage loans held for sale | -15,599 | -5,775 |
Non-cash gain: | ||
Mortgage servicing rights resulting from mortgage loan sales | 69,956 | 37,514 |
Accrual of mortgage servicing liabilities resulting from mortgage loan sales | -2,928 | |
MSR and ESS recapture payable to PennyMac Mortgage Investment Trust | -1,289 | -1,898 |
Provision for losses relating to representations and warranties on loans sold | -1,495 | -851 |
Change in fair value relating to loans and hedging derivatives held at period end: | ||
Interest rate lock commitments | 21,991 | 7,536 |
Mortgage loans | 12,201 | 7,828 |
Hedging derivatives | -7,459 | -9,816 |
Net gains on mortgage loans held for sale at fair value | $75,378 | $34,538 |
Net_Interest_Expense_Details
Net Interest Expense (Details) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Interest income: | ||
Short-term investments | $512 | $201 |
Mortgage loans held for sale at fair value | 8,421 | 3,909 |
Interest income | 8,933 | 4,110 |
Interest expense: | ||
Mortgage loans sold under agreements to repurchase | 3,809 | 2,329 |
Mortgage loan participation and sale agreement | 519 | |
Note payable | 1,635 | 659 |
Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust | 3,752 | 2,862 |
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations | 1,524 | 218 |
Interest on mortgage loan impound deposits | 590 | 318 |
Interest expense | 11,829 | 6,386 |
Net interest expense: | ($2,896) | ($2,276) |
Stockbased_Compensation_Detail
Stock-based Compensation (Details) (USD $) | 3 Months Ended | |
In Thousands, except Share data in Millions, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Stock-Based Compensation | ||
Units available for future awards under 2013 Equity Incentive Plan (in units) | 1.9 | |
Stock-based compensation expense | $3,886 | $2,385 |
Stock Options | ||
Stock-Based Compensation | ||
Stock-based compensation expense | 1,480 | 1,187 |
Performance-based RSUs | ||
Stock-Based Compensation | ||
Stock-based compensation expense | 1,871 | 762 |
Time-based RSUs | ||
Stock-Based Compensation | ||
Stock-based compensation expense | $535 | $436 |
Stockbased_Compensation_Detail1
Stock-based Compensation (Details 2) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Stock Options | ||
Summary of equity awards, options | ||
Balance at beginning of period (in units) | 1,167 | 419 |
Granted (in units) | 715 | 747 |
Expired or canceled (in units) | -1 | -5 |
Balance at end of period (in units) | 1,881 | 1,161 |
Performance-based RSUs | ||
Summary of equity awards, options | ||
Balance at beginning of period (in units) | 1,257 | 491 |
Granted (in units) | 1,143 | 609 |
Expired or canceled (in units) | -2 | -6 |
Balance at end of period (in units) | 2,398 | 1,094 |
Time-based RSUs | ||
Summary of equity awards, options | ||
Balance at beginning of period (in units) | 202 | 100 |
Granted (in units) | 118 | 97 |
Vested (in units) | -31 | |
Expired or canceled (in units) | -1 | |
Balance at end of period (in units) | 289 | 196 |
Supplemental_Cash_Flow_Informa2
Supplemental Cash Flow Information (Details) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Supplemental Cash Flow Information | ||
Cash paid for interest | $11,606 | $6,223 |
Cash paid for income taxes | 1,902 | 3 |
Non-cash investing activity: | ||
Mortgage servicing rights resulting from mortgage loan sales | 69,956 | 37,514 |
Mortgage servicing liabilities resulting from mortgage loan sales | 2,928 | |
Non-cash financing activity: | ||
Transfer of excess servicing spread pursuant to recapture agreement with PennyMac Mortgage Investment Trust | 1,246 | 1,113 |
Issuance of common stock in settlement of director fees | $74 |
Regulatory_Net_Worth_and_Agenc2
Regulatory Net Worth and Agency Capital Requirements (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Fannie Mae-PLS | ||
Regulatory Net Worth and Agency Capital Requirements | ||
Net worth | $628,604 | $583,686 |
Required | 35,267 | 35,507 |
Freddie Mac-PLS | ||
Regulatory Net Worth and Agency Capital Requirements | ||
Net worth | 628,693 | 583,819 |
Required | 4,015 | 3,721 |
Ginnie Mae - Issuer - PLS | ||
Regulatory Net Worth and Agency Capital Requirements | ||
Net worth | 581,518 | 536,009 |
Required | 130,803 | 111,457 |
Ginnie Mae - Issuer's parent - PennyMac | ||
Regulatory Net Worth and Agency Capital Requirements | ||
Net worth | 815,745 | 763,907 |
Required | 156,963 | 133,748 |
HUD - PLS | ||
Regulatory Net Worth and Agency Capital Requirements | ||
Net worth | 581,518 | 539,844 |
Required | $2,500 | $2,500 |
Commitments_and_Contingencies_1
Commitments and Contingencies (Details) (USD $) | Mar. 31, 2015 |
In Thousands, unless otherwise specified | |
Commitment and Contingencies. | |
Commitments to purchase mortgage loans from PennyMac Mortgage Investment Trust | $2,141,582 |
Commitments to fund mortgage loans | 982,063 |
Total commitments to purchase and fund mortgage loans | 3,123,645 |
Commitments to sell mortgage loans | $7,464,527 |
Segments_and_Related_Informati2
Segments and Related Information (Details) (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 |
item | |||
Segments and Related Information | |||
Number of segments | 3 | ||
Revenues: | |||
Net gains on mortgage loans held for sale at fair value | $75,378 | $34,538 | |
Loan origination fees | 16,682 | 6,880 | |
Net servicing fees | 26,776 | 43,764 | |
Management fees | 8,489 | 10,109 | |
Net interest (expense) income: | |||
Interest income | 8,933 | 4,110 | |
Interest expense | 11,829 | 6,386 | |
Net interest expense: | -2,896 | -2,276 | |
Other | 1,786 | 1,418 | |
Total net revenue | 140,314 | 105,492 | |
Expenses | 87,076 | 56,431 | |
Income before provision for income taxes | 53,238 | 49,061 | |
Assets | |||
Segment assets at period end | 2,858,001 | 2,507,125 | |
Deferred tax asset | 42,141 | 46,038 | |
PMT | |||
Revenues: | |||
Fulfillment fees from PennyMac Mortgage Investment Trust | 12,866 | 8,902 | |
Management fees | 7,003 | 8,074 | |
Net interest (expense) income: | |||
Other | 107 | 115 | |
Investment Funds | |||
Revenues: | |||
Management fees | 1,486 | 2,035 | |
Carried Interest from Investment Funds | 1,233 | 2,157 | |
Operating segment | |||
Assets | |||
Segment assets at period end | 2,814,211 | 1,701,683 | |
Deferred tax asset | 42,100 | 58,200 | |
Operating segment | Investment management | |||
Revenues: | |||
Management fees | 8,489 | 10,109 | |
Net interest (expense) income: | |||
Interest income | 4 | ||
Net interest expense: | 4 | ||
Other | 255 | 256 | |
Total net revenue | 9,977 | 12,526 | |
Expenses | 8,877 | 6,532 | |
Income before provision for income taxes | 1,100 | 5,994 | |
Assets | |||
Segment assets at period end | 92,093 | 103,698 | |
Operating segment | Investment management | Investment Funds | |||
Revenues: | |||
Carried Interest from Investment Funds | 1,233 | 2,157 | |
Operating segment | Mortgage banking | |||
Revenues: | |||
Net gains on mortgage loans held for sale at fair value | 75,378 | 34,538 | |
Loan origination fees | 16,682 | 6,880 | |
Net servicing fees | 26,776 | 43,764 | |
Net interest (expense) income: | |||
Interest income | 8,933 | 4,106 | |
Interest expense | 11,829 | 6,386 | |
Net interest expense: | -2,896 | -2,280 | |
Other | 1,531 | 1,162 | |
Total net revenue | 130,337 | 92,966 | |
Expenses | 78,199 | 49,899 | |
Income before provision for income taxes | 52,138 | 43,067 | |
Assets | |||
Segment assets at period end | 2,722,118 | 1,597,985 | |
Operating segment | Mortgage banking | PMT | |||
Revenues: | |||
Fulfillment fees from PennyMac Mortgage Investment Trust | 12,866 | 8,902 | |
Operating segment | Mortgage banking Production | |||
Revenues: | |||
Net gains on mortgage loans held for sale at fair value | 76,979 | 34,538 | |
Loan origination fees | 16,682 | 6,880 | |
Net interest (expense) income: | |||
Interest income | 7,016 | 4,106 | |
Interest expense | 3,641 | 2,329 | |
Net interest expense: | 3,375 | 1,777 | |
Other | 913 | 643 | |
Total net revenue | 110,815 | 52,740 | |
Expenses | 40,132 | 26,786 | |
Income before provision for income taxes | 70,683 | 25,954 | |
Assets | |||
Segment assets at period end | 1,399,817 | 790,733 | |
Operating segment | Mortgage banking Production | PMT | |||
Revenues: | |||
Fulfillment fees from PennyMac Mortgage Investment Trust | 12,866 | 8,902 | |
Operating segment | Mortgage banking Servicing | |||
Revenues: | |||
Net gains on mortgage loans held for sale at fair value | -1,601 | ||
Net servicing fees | 26,776 | 43,764 | |
Net interest (expense) income: | |||
Interest income | 1,917 | ||
Interest expense | 8,188 | 4,057 | |
Net interest expense: | -6,271 | -4,057 | |
Other | 618 | 519 | |
Total net revenue | 19,522 | 40,226 | |
Expenses | 38,067 | 23,113 | |
Income before provision for income taxes | -18,545 | 17,113 | |
Assets | |||
Segment assets at period end | $1,322,301 | $807,252 |
Subsequent_Events_Details
Subsequent Events (Details) (USD $) | 0 Months Ended | |||
1-May-15 | Mar. 27, 2015 | Apr. 28, 2015 | Apr. 30, 2015 | |
PMT | ||||
Subsequent Event [Line Items] | ||||
Maximum loan amount | $257,000,000 | |||
Subsequent Event [Member] | Agency MSR | ||||
Subsequent Event [Line Items] | ||||
Contract to purchase mortgage servicing rights | 9,300,000,000 | |||
Investment in excess servicing spread associated with MSR portfolio | 74,000,000 | |||
Additions - Purchases | 15,000,000,000 | |||
Proceeds received from excess servicing spread financing | 136,000,000 | |||
Subsequent Event [Member] | PMT | ||||
Subsequent Event [Line Items] | ||||
Maximum loan amount | 407,000,000 | |||
Increase in loan for the purpose of facilitating the financing of ESS | $150,000,000 |