Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2016 | Nov. 07, 2016 | |
Entity Registrant Name | PENNYMAC FINANCIAL SERVICES, INC. | |
Entity Central Index Key | 1,568,669 | |
Document Type | 10-Q | |
Document Period End Date | Sep. 30, 2016 | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Entity Current Reporting Status | Yes | |
Entity Filer Category | Accelerated Filer | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q3 | |
Class A Common Stock | ||
Entity Common Stock, Shares Outstanding | 22,309,354 | |
Class B Common Stock | ||
Entity Common Stock, Shares Outstanding | 49 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
ASSETS | ||
Cash (includes $84,851 and $93,757 pledged to creditors) | $ 94,727 | $ 105,472 |
Short-term investments at fair value | 58,749 | 46,319 |
Mortgage loans held for sale at fair value (includes $3,094,617 and $1,079,489 pledged to creditors) | 3,127,377 | 1,101,204 |
Derivative assets | 135,777 | 50,280 |
Servicing advances, net (includes valuation allowance of $38,031 and $33,458) | 306,150 | 299,354 |
Mortgage servicing rights (includes $492,028 and $660,247 at fair value; $1,333,078 and $803,560 pledged to creditors) | 1,337,674 | 1,411,935 |
Real estate acquired in settlement of loans | 1,996 | |
Furniture, fixtures, equipment and building improvements, net (includes $22,281 and $14,034 pledged to creditors) | 29,121 | 16,311 |
Capitalized software, net (includes $444 and $783 pledged to creditors) | 8,361 | 3,025 |
Deferred tax asset | 18,378 | |
Mortgage loans eligible for repurchase | 197,819 | 166,070 |
Other | 60,061 | 45,594 |
Total assets | 5,596,194 | 3,505,294 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 2,491,366 | 1,166,731 |
Mortgage Loan Participation and Sale Agreement | 782,913 | 234,872 |
Note payable | 110,619 | 61,136 |
Obligations under capital lease | 20,700 | 13,579 |
Derivative liabilities | 4,426 | 9,083 |
Accounts payable and accrued expenses | 106,684 | 89,915 |
Mortgage servicing liabilities at fair value | 13,045 | 1,399 |
Income taxes payable | 11,415 | |
Liability for loans eligible for repurchase | 197,819 | 166,070 |
Liability for losses under representations and warranties | 18,473 | 20,611 |
Total liabilities | 4,305,790 | 2,442,944 |
Commitments and contingencies | ||
STOCKHOLDERS' EQUITY | ||
Additional paid-in capital | 179,134 | 172,354 |
Retained earnings | 141,805 | 98,470 |
Total stockholders' equity attributable to PennyMac Financial Services, Inc. common stockholders | 320,941 | 270,826 |
Noncontrolling interest in Private National Mortgage Acceptance Company, LLC | 969,463 | 791,524 |
Total stockholders' equity | 1,290,404 | 1,062,350 |
Total liabilities and stockholders' equity | 5,596,194 | 3,505,294 |
Class A Common Stock | ||
STOCKHOLDERS' EQUITY | ||
Common stock | 2 | 2 |
Total stockholders' equity | 2 | 2 |
Class B Common Stock | ||
STOCKHOLDERS' EQUITY | ||
Common stock | ||
Investment Funds | ||
ASSETS | ||
Carried Interest due from Investment Funds pledged to creditors | 70,870 | 69,926 |
Receivable, from affiliates | 1,596 | 1,316 |
LIABILITIES | ||
Payable to affiliates | 27,265 | 30,429 |
PMT | ||
ASSETS | ||
Investment in PennyMac Mortgage Investment Trust at fair value | 1,169 | 1,145 |
Note receivable from PennyMac Mortgage Investment Trust | 150,000 | 150,000 |
Receivable, from affiliates | 14,747 | 18,965 |
LIABILITIES | ||
Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value | 280,367 | 412,425 |
Payable to affiliates | 165,264 | 162,379 |
Private National Mortgage Acceptance Company, LLC | ||
LIABILITIES | ||
Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | $ 75,434 | $ 74,315 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Cash pledged to creditors | $ 84,851 | $ 93,757 |
Mortgage loans held for sale, pledged to creditors | 3,094,617 | 1,079,489 |
Servicing advances, net, valuation allowance | 38,031 | 33,458 |
Mortgage servicing rights, at fair value | 492,028 | 660,247 |
Furniture, fixtures, equipment and building improvements pledged to creditors | 22,281 | 14,034 |
Capitalized software pledged to creditors | 444 | 783 |
Mortgage servicing rights, pledged to secure note payable | $ 1,333,078 | $ 803,560 |
Class A Common Stock | ||
Common stock, shares authorized | 200,000,000 | 200,000,000 |
Common stock, par value (in dollars per share) | $ 0.0001 | $ 0.0001 |
Common stock, shares issued | 22,274,145 | 21,990,831 |
Common stock, shares outstanding | 22,274,145 | 21,990,831 |
Class B Common Stock | ||
Common stock, shares authorized | 1,000 | 1,000 |
Common stock, par value (in dollars per share) | $ 0.0001 | $ 0.0001 |
Common stock, shares issued | 49 | 51 |
Common stock, shares outstanding | 49 | 51 |
CONSOLIDATED STATEMENTS OF INCO
CONSOLIDATED STATEMENTS OF INCOME - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Net gains (losses) on mortgage loans held for sale at fair value: | ||||
From non-affiliates | $ 183,811 | $ 85,744 | $ 409,405 | $ 247,822 |
Net gains (losses) on mortgage loans held for sale at fair value | 182,121 | 82,646 | 403,848 | 241,979 |
Mortgage loan origination fees | 34,621 | 29,448 | 85,962 | 70,551 |
Mortgage loan servicing fees | ||||
From non-affiliates and affiliates | 98,865 | 83,424 | 282,962 | 200,392 |
Ancillary and other fees | 11,913 | 10,096 | 34,183 | 33,131 |
Net servicing fees | 122,587 | 106,052 | 358,258 | 269,982 |
Amortization, impairment and change in fair value of mortgage servicing rights | (80,830) | (59,065) | (309,304) | (128,073) |
Change in fair value of excess servicing spread payable to PennyMac Mortgage Investment Trust | (76,723) | (48,794) | (268,320) | (117,399) |
Net mortgage loan servicing fees | 45,864 | 57,258 | 89,938 | 152,583 |
Management fees: | ||||
Management fees | 5,521 | 6,456 | 17,163 | 21,908 |
Interest income: | ||||
From non-affiliates | 20,735 | 13,764 | 50,994 | 35,348 |
Interest income | 22,709 | 15,053 | 56,792 | 37,170 |
Interest expense: | ||||
To non-affiliates | 22,689 | 12,918 | 56,414 | 31,526 |
Interest expense | 27,516 | 20,944 | 73,969 | 49,122 |
Net interest expense: | (4,807) | (5,891) | (17,177) | (11,952) |
Result of real estate acquired in settlement of loans | 42 | |||
Other | 684 | 410 | 2,493 | 2,446 |
Total net revenue | 291,395 | 189,205 | 642,602 | 525,870 |
Expenses | ||||
Compensation | 96,132 | 74,129 | 247,577 | 202,695 |
Servicing | 22,177 | 16,770 | 56,494 | 55,108 |
Technology | 9,733 | 6,676 | 24,313 | 18,104 |
Professional services | 4,631 | 3,803 | 12,923 | 10,710 |
Loan origination | 6,471 | 4,314 | 15,567 | 12,813 |
Other | 12,973 | 9,590 | 32,053 | 24,480 |
Total expenses | 152,117 | 115,282 | 388,927 | 323,910 |
Income before provision for income taxes | 139,278 | 73,923 | 253,675 | 201,960 |
Provision for income taxes | 16,976 | 8,575 | 30,535 | 23,308 |
Net income | 122,302 | 65,348 | 223,140 | 178,652 |
Less: Net income attributable to noncontrolling interest | 98,617 | 52,668 | 179,805 | 144,195 |
Net income attributable to PennyMac Financial Services, Inc. common stockholders | $ 23,685 | $ 12,680 | $ 43,335 | $ 34,457 |
Earnings per common share | ||||
Basic (in dollars per share) | $ 1.07 | $ 0.58 | $ 1.96 | $ 1.59 |
Diluted (in dollars per share) | $ 1.06 | $ 0.58 | $ 1.95 | $ 1.58 |
Weighted-average common shares outstanding | ||||
Basic (in shares) | 22,217 | 21,810 | 22,101 | 21,702 |
Diluted (in shares) | 76,355 | 76,138 | 76,331 | 76,098 |
PMT | ||||
Net gains (losses) on mortgage loans held for sale at fair value: | ||||
Recapture payable to PennyMac Mortgage Investment Trust | $ (1,690) | $ (3,098) | $ (5,557) | $ (5,843) |
Fulfillment fees from PennyMac Mortgage Investment Trust | 27,255 | 17,553 | 59,301 | 45,752 |
Mortgage loan servicing fees | ||||
From non-affiliates and affiliates | 11,039 | 11,736 | 38,919 | 34,542 |
Management fees: | ||||
Management fees | 5,025 | 5,742 | 15,576 | 18,524 |
Interest income: | ||||
From PennyMac Mortgage Investment Trust | 1,974 | 1,289 | 5,798 | 1,822 |
Interest expense: | ||||
To PennyMac Mortgage Investment Trust | 4,827 | 8,026 | 17,555 | 17,596 |
Change in fair value of investment in and dividends received from affiliate | (13) | (158) | 130 | (295) |
Investment Funds | ||||
Mortgage loan servicing fees | ||||
From non-affiliates and affiliates | 770 | 796 | 2,194 | 1,917 |
Change in fair value of excess servicing spread payable to PennyMac Mortgage Investment Trust | 4,107 | 10,271 | 40,984 | 10,674 |
Management fees: | ||||
Management fees | 496 | 714 | 1,587 | 3,384 |
Carried Interest from Investment Funds | $ 107 | $ 1,483 | $ 944 | $ 2,898 |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) shares in Thousands, $ in Thousands | Additional paid-in capital | Retained earnings | Noncontrolling interest | Class A Common Stock | Total |
Balance at Dec. 31, 2014 | $ 162,720 | $ 51,242 | $ 593,302 | $ 2 | $ 807,266 |
Balance (in shares) at Dec. 31, 2014 | 21,578 | ||||
Changes in stockholders' equity | |||||
Net income | 34,457 | 144,195 | 178,652 | ||
Distributions | (9,627) | (9,627) | |||
Stock and unit-based compensation | 3,746 | 9,358 | 13,104 | ||
Stock and unit-based compensation (in shares) | 75 | ||||
Issuance of common stock in settlement of director fees | 223 | 223 | |||
Issuance of common stock in settlement of directors' fees (in shares) | 13 | ||||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. | 2,919 | (2,919) | 2,919 | ||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. (in shares) | 177 | ||||
Tax effect of exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. | (311) | (311) | |||
Balance at Sep. 30, 2015 | 169,297 | 85,699 | 734,309 | $ 2 | 989,307 |
Balance (in shares) at Sep. 30, 2015 | 21,843 | ||||
Balance at Dec. 31, 2015 | 172,354 | 98,470 | 791,524 | $ 2 | 1,062,350 |
Balance (in shares) at Dec. 31, 2015 | 21,991 | ||||
Changes in stockholders' equity | |||||
Net income | 43,335 | 179,805 | 223,140 | ||
Distributions | (6,742) | (6,742) | |||
Stock and unit-based compensation | 3,341 | 8,914 | 12,255 | ||
Stock and unit-based compensation (in shares) | 99 | ||||
Issuance of common stock in settlement of director fees | 230 | 230 | |||
Issuance of common stock in settlement of directors' fees (in shares) | 18 | ||||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. | 4,038 | (4,038) | 4,038 | ||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. (in shares) | 166 | ||||
Tax effect of exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. | (829) | (829) | |||
Balance at Sep. 30, 2016 | $ 179,134 | $ 141,805 | $ 969,463 | $ 2 | $ 1,290,404 |
Balance (in shares) at Sep. 30, 2016 | 22,274 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2016 | Sep. 30, 2015 | |
Cash flow from operating activities | ||
Net income | $ 223,140 | $ 178,652 |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||
Net gains on mortgage loans held for sale at fair value | (403,848) | (241,979) |
Amortization, impairment and change in fair value of mortgage servicing rights and excess servicing spread | 268,320 | 117,399 |
Capitalization of interest on mortgage loans held for sale at fair value | (20,451) | (11,703) |
Accrual of interest on excess servicing spread financing | 17,555 | 17,596 |
Amortization of debt issuance costs and commitment fees relating to financing facilities | 7,944 | 5,688 |
Stock and unit-based compensation expense | 12,255 | 13,104 |
Provision for servicing advance losses | 19,799 | 23,538 |
Depreciation and amortization | 3,965 | 1,585 |
Originations of mortgage loans held for sale | (4,428,426) | (3,106,147) |
Purchase of mortgage loans from Ginnie Mae securities and early buyout investors for modification and subsequent sale | (1,588,711) | (989,009) |
Sale and principal payments of mortgage loans held for sale | 33,124,241 | 28,346,871 |
Repurchase of mortgage loans subject to representations and warranties | (13,525) | (17,112) |
Increase in servicing advances | (28,591) | (47,080) |
Decrease in deferred tax asset | 18,668 | 21,399 |
Payments to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | 0 | (4,299) |
Increase in other assets | (24,325) | (23,113) |
Increase in accounts payable and accrued expenses | (12,992) | (22,280) |
Net cash used in operating activities | (1,916,072) | (519,157) |
Cash flow from investing activities | ||
Increase in short-term investments | (12,430) | (3,079) |
Advance on note receivable from PennyMac Mortgage Investment Trust | (168,546) | |
Repayment of note receivable from PennyMac Mortgage Investment Trust | 18,546 | |
Purchase of mortgage servicing rights | (23) | (379,264) |
Net settlement of derivative financial instruments used for hedging | 173,696 | (3,678) |
Purchase of furniture, fixtures, equipment and leasehold improvements | (17,539) | (5,716) |
Acquisition of capitalized software | (5,572) | (1,745) |
(Increase) decrease in margin deposits and restricted cash | (39,467) | 5,331 |
Net cash provided by (used in) investing activities | 98,665 | (538,151) |
Cash flow from financing activities | ||
Sale of assetss under agreements to repurchase | 31,708,423 | 25,947,385 |
Repurchase of assets sold under agreements to repurchase | (30,384,066) | (25,482,890) |
Issuance of mortgage loan participation certificates | (21,895,964) | (13,265,896) |
Repayment of mortgage loan participation certificates | (21,347,920) | (13,162,123) |
Advances on notes payable | 97,000 | 289,556 |
Repayments of notes payable | (48,661) | (29,411) |
Issuance of excess servicing spread | 271,452 | |
Repayment of excess servicing spread financing | (54,623) | (55,800) |
Repurchases of excess servicing spread financing | (59,045) | |
Advances of obligations under capital lease | 12,651 | |
Repayments of obligations under capital lease | (5,530) | (6) |
Payment of debt issuance costs | (6,525) | (5,965) |
Assumption of mortgage servicing liability | 5,736 | |
Distributions to Private National Mortgage Acceptance Company, LLC members | (6,742) | (9,627) |
Net cash provided by financing activities | 1,806,662 | 1,028,467 |
Net decrease in cash | (10,745) | (28,841) |
Cash at beginning of year | 105,472 | 76,256 |
Cash at end of year | 94,727 | 47,415 |
Investment Funds | ||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||
Accrual of servicing rebate to Investment Funds | 209 | 1,193 |
Amortization, impairment and change in fair value of mortgage servicing rights and excess servicing spread | (40,984) | (10,674) |
Carried Interest from Investment Funds | (944) | (2,898) |
(Increase) decrease in receivable from affiliates | (489) | (444) |
(Decrease) increase in payable to affiliate | (3,164) | (5,697) |
PMT | ||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||
Change in fair value of investment in common shares of PennyMac Mortgage Investment Trust | (24) | 422 |
Purchase of mortgage loans held for sale from PennyMac Mortgage Investment Trust | (29,144,685) | (24,864,698) |
Sale of mortgage loans held for sale to Penny Mac Mortgage Investment Trust | 13,146 | 13,708 |
(Increase) decrease in receivable from affiliates | 5,491 | 8,889 |
(Decrease) increase in payable to affiliate | 1,971 | $ 22,698 |
Increase in income tax payable | $ 11,415 |
Organization
Organization | 9 Months Ended |
Sep. 30, 2016 | |
Organization | |
Organization | 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 mortgage loan servicing activities are conducted on behalf of entities 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, 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 registered funds, PNMAC Mortgage Opportunity Fund Investors, LLC (collectively, the “Investment Funds”) and PennyMac Mortgage Investment Trust (“PMT”), a publicly held real estate investment trust (“REIT”). 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 residential mortgage loans on behalf of non-affiliates and the Advised Entities, purchases and 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 Nonsupervised Title II Lender with the U.S. Department of Housing and Urban Development (“HUD”) and a lender/servicer with the Veterans Administration (“VA”) and U.S. Department of Agriculture (“USDA”) (each an “Agency” and collectively the “Agencies”). · PNMAC 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 accounting principles generally accepted in the United States (“GAAP”) as codified in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (“ASC”) for interim financial information and with the SEC’s instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Accordingly, these financial statements and notes do not include all of the information required by GAAP for complete financial statements. The interim consolidated information should be read together with the Company’s Annual Report on Form 10-K for the year ended December 31, 2015. The accompanying unaudited consolidated financial statements reflect all normal recurring adjustments necessary to present fairly the financial position, income, and cash flows for the interim periods, but are not necessarily indicative of income to be anticipated for the full year ending December 31, 2016. Intercompany accounts and transactions have been eliminated. Preparation of financial statements in compliance with GAAP requires management to make estimates and judgments that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements, and revenues and expenses during the reporting period. Actual results will likely differ from those estimates. |
Concentration of Risk
Concentration of Risk | 9 Months Ended |
Sep. 30, 2016 | |
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 (generally comprised of fulfillment fees, mortgage loan servicing fees, management fees, Carried Interest and servicing recapture fees) and interest charged to these entities totaled 15% and 20% of total net revenue for the quarters ended September 30, 2016 and 2015, respectively, and 22% and 18% for the nine months ended September 30, 2016 and 2015, respectively. |
Transactions with Affiliates
Transactions with Affiliates | 9 Months Ended |
Sep. 30, 2016 | |
Transactions with Affiliates | |
Transactions with Affiliates | Note 3—Transactions with Affiliates Transactions with PMT Operating Activities Mortgage Loan Production Activities Following is a summary of mortgage lending and sourcing activity between the Company and PMT: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Mortgage servicing rights and excess servicing spread recapture incurred $ $ $ $ Fulfillment fee revenue $ $ $ $ Unpaid principal balance of mortgage loans fulfilled for PMT $ 7,263,557 $ 4,073,201 $ 15,696,940 $ 10,542,411 Sourcing fees paid to PMT $ $ $ $ Unpaid principal balance of mortgage loans purchased from PMT $ 11,694,065 $ 10,783,882 $ 27,599,186 $ 23,602,020 Proceeds from sale of mortgage loans held for sale to PMT $ $ $ $ Tax service fees received from PMT $ $ $ $ Early purchase program fees earned from PMT $ $ — $ $ — Mortgage Loan Servicing Activities Following is a summary of mortgage loan servicing fees earned from PMT: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Mortgage loans acquired for sale at fair value: Base and supplemental $ $ $ $ Activity-based Mortgage loans at fair value: Base and supplemental Activity-based Mortgage servicing rights: Base and supplemental Activity-based $ $ $ $ Investment Management Activities The base management fee and the performance incentive fee are both receivable quarterly in arrears. The performance incentive fee may be paid in cash or a combination of cash and PMT’s common shares (subject to a limit of no more than 50% paid in common shares), at PMT’s option. Following is a summary of the base management and performance incentive fees earned from PMT: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Base management $ $ $ $ Performance incentive — — — $ $ $ $ The management agreement, as amended, expires on September 12, 2020, subject to automatic renewal for additional 18‑month periods, unless terminated earlier in accordance with the terms of the management agreement. In the event of termination of the management agreement between PMT and the Company, the Company may be entitled to a termination fee in certain circumstances. The termination fee is equal to three times the sum of (a) the average annual base management fee, and (b) the average annual performance incentive fee earned by the Company, in each case during the 24-month period immediately preceding the date of termination. Expense Reimbursement 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Reimbursement of: Common overhead incurred by the Company $ $ $ $ Expenses incurred on PMT's (the Company's) behalf, net $ $ $ $ Payments and settlements during the period (1) $ $ $ $ (1) Payments and settlements include payments for operating, investment and financing activities itemized in this Note and netting settlements made pursuant to master netting agreements between the Company and PMT. Amounts due from and payable to PMT are summarized below: September 30, December 31, 2016 2015 (in thousands) Receivable from PMT: Management fees $ $ Servicing fees Allocated expenses and expenses incurred on PMT's behalf Fulfillment fees Conditional reimbursement Interest on note receivable Correspondent production fees $ $ Payable to PMT: Deposits made by PMT to fund servicing advances $ $ Mortgage servicing rights ("MSR") recapture payable Other $ $ Conditional Reimbursement of Underwriting Fees In connection with its initial public offering of common shares on August 4, 2009 (“IPO”), PMT conditionally agreed to reimburse the Company up to $2.9 million for underwriting fees paid to the IPO underwriters by the Company on PMT’s behalf. The Company received reimbursement payments from PMT totaling $7,000 and $237,000 for the quarter and nine months ended September 30, 2015, respectively, and received no reimbursement from PMT during the nine months ended September 30, 2016. In the event a termination fee is payable to the Company under the management agreement, and the Company has not received the full amount of the reimbursements and payments under the reimbursement agreement, such amount will be paid in full. The term of the reimbursement agreement expires on February 1, 2019. Investing Activities Following is a summary of investing activities between the Company and PMT: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Note receivable from PennyMac Mortgage Investment Trust: Interest income $ $ $ $ Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Dividends received and change in fair value $ $ $ $ September 30, December 31, 2016 2015 (in thousands) Note receivable from PennyMac Mortgage Investment Trust: $ $ Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Fair value $ $ Number of shares Financing Activities Following is a summary of financing activities between the Company and PMT: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Excess servicing spread financing: Issuance: Cash $ — $ $ — $ Pursuant to recapture agreement $ $ $ $ Repayment $ $ $ $ Repurchase $ — $ — $ $ — Change in fair value $ $ $ $ Interest expense $ $ $ $ Excess servicing spread recapture incurred pursuant to refinancings by the Company of mortgage loans subject to excess servicing spread $ $ $ $ Investment Funds Amounts due from and payable to the Investment Funds are summarized below: September 30, December 31, 2016 2015 (in thousands) Carried Interest due from Investment Funds: PNMAC Mortgage Opportunity Fund, LLC $ $ PNMAC Mortgage Opportunity Fund Investors, LLC $ $ Receivable from Investment Funds: Management fees $ $ Expense reimbursements Mortgage loan servicing fees Mortgage loan servicing rebate $ $ Payable to Investment Funds—Servicing advances $ $ 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 the Company to PennyMac’s exchanged unitholders an amount equal to 85% of the amount of the benefits, if any, that the Company is deemed to realize as a result of (i) increases in tax basis of PennyMac’s assets resulting from 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 $75.4 million and $74.3 million Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement as of September 30, 2016 and December 31, 2015, respectively. The Company made payments under the tax receivable agreement totaling $4.3 million during the nine months ended September 30, 2015. There were no payments made during the nine months ended September 30, 2016. |
Earnings Per Share of Common St
Earnings Per Share of Common Stock | 9 Months Ended |
Sep. 30, 2016 | |
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 diluted net income attributable to the Company’s common stockholders by the weighted average number of shares of common stock outstanding, assuming all dilutive shares of common stock were issued. Potentially dilutive shares of common stock include non-vested unit and stock-based compensation awards and PennyMac Class A units. The Company applies the treasury stock method to determine the diluted weighted average shares of common stock outstanding represented by the non-vested unit and stock-based compensation awards. The diluted earnings per share calculation assumes the exchange of 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 that would be applicable to such earnings. The following table summarizes the basic and diluted earnings per share calculations: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands, except per share amounts) Basic earnings per share of common stock: Net income attributable to PennyMac Financial Services, Inc. common stockholders $ $ $ $ Weighted average shares of common stock outstanding Basic earnings per share of common stock $ $ $ $ Diluted earnings per share of common stock: Net income attributable to PennyMac Financial Services, Inc. common stockholders $ $ $ $ Effect of net income attributable to PennyMac Class A units exchangeable to common stock, net of income taxes Diluted net income attributable to common stockholders $ $ $ $ Weighted average shares of common stock outstanding Dilutive shares: PennyMac Class A units exchangeable to common stock Non-vested PennyMac Class A units issuable under unit-based stock compensation plan and exchangeable to common stock — — Common shares issuable under stock-based compensation plan Diluted weighted average shares of common stock outstanding Diluted earnings per share of common stock $ $ $ $ Potentially dilutive securities are excluded from the calculation of diluted earnings per share when their inclusion would be anti-dilutive. The following table summarizes the anti-dilutive weighted-average number of outstanding stock options and performance-based restricted stock units (“RSUs”) excluded from the calculation of diluted earnings per share: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands except for weighted-average exercise price) Stock options (1) Performance-based RSUs (2) Total anti-dilutive stock-based compensation units Weighted-average exercise price of anti-dilutive stock options (1) $ $ $ $ (1) Certain stock options were outstanding but not included in the computation of diluted earnings per share because the weighted-average exercise prices were anti-dilutive. (2) Certain performance-based RSUs were outstanding but not included in the computation of diluted earnings per share because the performance thresholds included in such RSUs have not been achieved. |
Loan Sales and Servicing Activi
Loan Sales and Servicing Activities | 9 Months Ended |
Sep. 30, 2016 | |
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 sold in the form of servicing arrangements and the liability under representations and warranties it makes to purchasers and insurers of the mortgage loans sold. 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: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Cash flows: Sales proceeds $ $ $ $ Servicing fees received (1) $ $ $ $ Net servicing advance recoveries $ $ $ $ (1) Net of guarantee fees paid to the Agencies. September 30, December 31, 2016 2015 (in thousands) Unpaid principal balance of mortgage loans outstanding at end of period $ $ Delinquencies: 30-89 days $ $ 90 days or more: Not in foreclosure $ $ In foreclosure or bankruptcy $ $ Foreclosed $ $ The unpaid principal balance (“UPB”) of the Company’s mortgage loan servicing portfolio is summarized as follows: September 30, 2016 Contract Total Servicing servicing and mortgage rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities $ $ — $ Affiliated entities — Mortgage loans held for sale — $ $ $ Commercial real estate loans subserviced for the Company $ $ — $ Delinquent mortgage loans: 30 days $ $ $ 60 days 90 days or more: Not in foreclosure In foreclosure or bankruptcy Foreclosed $ $ $ Custodial funds managed by the Company (1) $ $ $ (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 placement fees on certain of the custodial funds it manages on behalf of the mortgage loans’ investors, which is included in Interest income in the Company’s consolidated statements of income. December 31, 2015 Contract Total Servicing servicing and mortgage rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities $ $ — $ Affiliated entities — Mortgage loans held for sale — $ $ $ Commercial real estate loans subserviced for the Company $ $ — $ Delinquent mortgage loans: 30 days $ $ $ 60 days 90 days or more: Not in foreclosure In foreclosure or bankruptcy Foreclosed $ $ $ Custodial funds managed by the Company (1) $ $ $ (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 placement fees on custodial funds it manages on behalf of the mortgage loans’ investors, which is included in Interest income in the Company’s consolidated statements of income. Following is a summary of the geographical distribution of mortgage loans included in the Company’s servicing portfolio for the top five and all other states as measured by UPB: September 30, December 31, State 2016 2015 (in thousands) California $ $ Texas Virginia Florida Maryland All other states $ $ |
Netting of Financial Instrument
Netting of Financial Instruments | 9 Months Ended |
Sep. 30, 2016 | |
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. Offsetting of Derivative Assets Following are summaries of derivative assets and related netting amounts. September 30, 2016 December 31, 2015 Gross Gross amount Net amount Gross Gross amount Net amount amount of offset in the of assets in the amount of offset in the of assets in the recognized consolidated consolidated recognized consolidated consolidated assets balance sheet balance sheet assets balance sheet balance sheet (in thousands) Derivatives not subject to a master netting arrangement - Interest rate lock commitments $ $ — $ $ $ — $ Derivatives subject to a master netting arrangement: Forward purchase contracts — — Forward sale contracts — — Mortgage-backed security ("MBS") put options — — Put options on interest rate futures purchase contracts — — Call options on interest rate futures purchase contracts — — Netting — — $ $ $ $ $ $ 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 qualify for set off accounting. September 30, 2016 December 31, 2015 Gross amount not Gross amount not offset in the offset in the consolidated consolidated balance sheet balance sheet Net amount Net amount of assets in the Cash of assets in the Cash consolidated Financial collateral Net consolidated Financial collateral Net balance sheet instruments received amount balance sheet instruments received amount (in thousands) Interest rate lock commitments $ $ — $ — $ $ $ — $ — $ RJ O'Brien — — — — Barclays Capital — — — — JP Morgan — — — — — — Federal National Mortgage Association — — — — Citibank, N.A. — — — — — — Goldman Sachs — — — — Morgan Stanley Bank, N.A. — — — — — — Jefferies & Co. — — — — Wells Fargo Bank, N.A. — — — — — — Others — — — — $ $ — $ — $ $ $ — $ — $ 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 set off accounting. September 30, 2016 December 31, 2015 Net Net amount amount Gross Gross amount of liabilities Gross Gross amount of liabilities amount of offset in the in the amount of offset in the in the recognized consolidated consolidated recognized consolidated consolidated liabilities balance sheet balance sheet liabilities balance sheet balance sheet (in thousands) Derivatives not subject to a master netting arrangement - IRLCs $ $ — $ $ $ — $ Derivatives subject to a master netting arrangement: Forward purchase contracts — — Forward sale contracts — — Put options on interest rate futures purchase contracts — — Call options on interest rate futures purchase contracts — — Netting — — Total derivatives Mortgage loans sold under agreements to repurchase: Amount outstanding — — Unamortized debt issuance costs — — — — $ $ $ $ $ $ Derivative Liabilities, Financial Liabilities, and Collateral Held by Counterparty The following table summarizes by significant counterparty the amount of derivative liabilities and assets sold under agreements to repurchase after considering master netting arrangements and financial instruments or cash pledged that do not qualify under the accounting guidance for netting. All assets sold under agreements to repurchase are secured by sufficient collateral or have fair value that exceeds the liability amount recorded on the consolidated balance sheets. September 30, 2016 December 31, 2015 Gross amounts Gross amounts not offset in the not offset in the Net amount consolidated Net amount consolidated of liabilities balance sheet of liabilities balance sheet in the Cash in the Cash consolidated Financial collateral Net consolidated Financial collateral Net balance sheet instruments pledged amount balance sheet instruments pledged amount (in thousands) Interest rate lock commitments $ $ — $ — $ $ $ — $ — $ Credit Suisse First Boston Mortgage Capital LLC — — Bank of America, N.A. — — Citibank, N.A. — — — Morgan Stanley Bank, N.A. — — — Barclays Capital — — — — — — JP Morgan Chase Bank, N.A. — — — — Wells Fargo Bank, N.A. — — — — — — Nomura Securities International, Inc. — — — — — — Raymond James & Associates — — — — — — Bank of Oklahoma — — — — BNP Paribas — — — — Bank of New York Mellon — — — — Others — — — — $ $ $ — $ $ $ $ — $ |
Fair Value
Fair Value | 9 Months Ended |
Sep. 30, 2016 | |
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. The Company groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the inputs used to determine fair value. These levels are: · Level 1—Quoted prices in active markets for identical assets or liabilities. · Level 2—Prices determined or determinable using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing an asset or liability and are developed based on market data obtained from sources independent of the Company. These may include quoted prices for similar assets and liabilities, interest rates, prepayment speeds, credit risk and other inputs. · Level 3—Prices determined using significant unobservable inputs. In situations where observable inputs are unavailable, unobservable inputs may be used. Unobservable inputs reflect the Company’s own judgments about the factors that market participants use in pricing an asset or liability, and are based on the best information available in the circumstances. As a result of the difficulty in observing certain significant valuation inputs affecting “Level 3” fair value assets and liabilities, the Company is required to make judgments regarding these items’ fair values. Different persons in possession of the same facts may reasonably arrive at different conclusions as to the inputs to be applied in valuing these assets and liabilities and their fair values. Likewise, due to the general illiquidity of some of these assets and liabilities, subsequent transactions may be at values significantly different from those reported. Fair Value Accounting Elections Management identified all of its non-cash financial assets, its originated MSRs relating to loans with initial interest rates of more than 4.5%, purchased MSRs subject to excess servicing spread financing (“ESS”) and mortgage servicing liabilities (“MSLs”) 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 elected to account for its ESS at fair value as a means of hedging the related MSRs’ fair value risk. 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: September 30, 2016 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ $ — $ — $ Mortgage loans held for sale at fair value — Derivative assets: Interest rate lock commitments — — Forward purchase contracts — — Forward sales contracts — — MBS put options — — Put options on interest rate futures purchase contracts — — Call options on interest rate futures purchase contracts — — Total derivative assets before netting Netting — — — Total derivative assets Investment in PennyMac Mortgage Investment Trust — — Mortgage servicing rights at fair value — — $ $ $ $ Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ — $ $ Derivative liabilities: Interest rate lock commitments — — Forward purchase contracts — — Forward sales contracts — — Put options on interest rate futures purchase contracts — — Call options on interest rate futures purchase contracts — — Total derivative liabilities before netting Netting — — — Total derivative liabilities Mortgage servicing liabilities — — $ $ $ $ December 31, 2015 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ $ — $ — $ Mortgage loans held for sale at fair value — Derivative assets: Interest rate lock commitments — — Forward purchase contracts — — Forward sales contracts — — MBS put options — — Put options on interest rate futures purchase contracts — — Call options on interest rate futures purchase contracts — — Total derivative assets before netting Netting — — — Total derivative assets Investment in PennyMac Mortgage Investment Trust — — Mortgage servicing rights at fair value — — $ $ $ $ Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ — $ $ Derivative liabilities: Interest rate lock commitments — — Forward purchase contracts — — Forward sales contracts — — Put options on interest rate futures purchase contracts — — Call options on interest rate futures purchase contracts — — Total derivative liabilities before netting Netting — — — Total derivative liabilities Mortgage servicing liabilities — — $ $ $ $ As shown above, all or a portion of the Company’s mortgage loans held for sale, IRLCs, MSRs, ESS and MSLs are measured using Level 3 fair value inputs. Following are roll forwards of these items for the quarters and nine month periods ended September 30, 2016 and 2015: Quarter ended September 30, 2016 Mortgage Net interest Mortgage loans held rate lock servicing for sale commitments (1) rights Total (in thousands) Assets: Balance, June 30, 2016 $ $ $ $ Purchases — Sales — — Repayments — — Interest rate lock commitments issued, net — — Mortgage servicing rights resulting from mortgage loan sales — — Changes in fair value included in income arising from: Changes in instrument-specific credit risk — — Other factors — Transfers of mortgage loans held for sale from Level 3 to Level 2 (2) — — Transfers of interest rate lock commitments to mortgage loans held for sale — — Balance, September 30, 2016 $ $ $ $ Changes in fair value recognized during the period relating to assets still held at September 30, 2016 $ $ $ $ (1) For the purpose of this table, the IRLC asset and liability positions are shown net. (2) Mortgage loans held for sale are 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 found in the borrowers’ credit files. Quarter ended September 30, 2016 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance, June 30, 2016 $ $ $ Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust — Accrual of interest — Repayments — Mortgage servicing liabilities assumed — Mortgage servicing liabilities resulting from mortgage loan sales — Changes in fair value included in income Balance, September 30, 2016 $ $ $ Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2016 $ $ $ Quarter ended September 30, 2015 Mortgage Net interest Mortgage loans held rate lock servicing for sale commitments (1) rights Total (in thousands) Assets: Balance, June 30, 2015 $ $ $ $ Purchases — Sales — — Repayments — — Interest rate lock commitments issued, net — — Mortgage servicing rights resulting from mortgage loan sales — — Changes in fair value included in income arising from: Changes in instrument-specific credit risk — — — — Other factors Transfers of mortgage loans held for sale from Level 3 to Level 2 (2) — — Transfers of interest rate lock commitments to mortgage loans held for sale — — Balance, September 30, 2015 $ $ $ $ Changes in fair value recognized during the period relating to assets still held at September 30, 2015 $ $ $ $ (1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. (2) Mortgage loans held for sale are 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 found in the borrowers’ credit files. Quarter ended September 30, 2015 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance, June 30, 2015 $ $ $ Issuance of excess servicing spread financing: For cash — Pursuant to a recapture agreement with PennyMac Mortgage Investment Trust — Mortgage servicing liabilities resulting from mortgage loan sales — Accrual of interest — Repayments — Changes in fair value included in income Balance, September 30, 2015 $ $ $ Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2015 $ $ $ Nine months ended September 30, 2016 Mortgage Net interest Mortgage loans held rate lock servicing for sale commitments (1) rights Total (in thousands) Assets: Balance, December 31, 2015 $ $ $ $ Purchases — Sales — — Repayments — — Interest rate lock commitments issued, net — — Mortgage servicing rights resulting from mortgage loan sales — — Changes in fair value included in income arising from: Changes in instrument-specific credit risk — — Other factors — Transfers of mortgage loans held for sale from Level 3 to Level 2 (2) — — Transfers of interest rate lock commitments to mortgage loans held for sale — — Balance, September 30, 2016 $ $ $ $ Changes in fair value recognized during the period relating to assets still held at September 30, 2016 $ $ $ $ (1) For the purpose of this table, the IRLC asset and liability positions are shown net. (2) Mortgage loans held for sale are 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 found in the borrowers’ credit files. Nine months ended September 30, 2016 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance, December 31, 2015 $ $ $ Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust — Accrual of interest — Repurchase — Repayments — Mortgage servicing liabilities resulting from mortgage loan sales — Mortgage servicing liabilities assumed — Changes in fair value included in income Balance, September 30, 2016 $ $ $ Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2016 $ $ $ Nine months ended September 30, 2015 Mortgage Net interest Mortgage loans held rate lock servicing for sale commitments (1) rights Total (in thousands) Assets: Balance December 31, 2014 $ $ $ $ Purchases — Sales — — Repayments — — Interest rate lock commitments issued, net — — Mortgage servicing rights resulting from mortgage loan sales — — Changes in fair value included in income arising from: Changes in instrument-specific credit risk — — Other factors Transfers of mortgage loans held for sale from Level 3 to Level 2 (2) — — Transfers of interest rate lock commitments to mortgage loans held for sale — — Balance, September 30, 2015 $ $ $ $ Changes in fair value recognized during the period relating to assets still held at September 30, 2015 $ $ $ $ (1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. (2) Mortgage loans held for sale are 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 found in the borrowers’ credit files. Nine months ended September 30, 2015 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance December 31, 2014 $ $ $ Issuance of excess servicing spread financing: For cash — Pursuant to a recapture agreement with PennyMac Mortgage Investment Trust — Mortgage servicing liabilities resulting from mortgage loan sales — Accrual of interest — Repayments — Changes in fair value included in income Balance, September 30, 2015 $ $ $ Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2015 $ $ $ The information used in the preceding roll forwards represents activity for any financial statement items measured at fair value on a recurring basis and identified as using “Level 3” significant fair value inputs at either the beginning or the end of the periods presented. The Company had transfers among the fair value levels arising from transfers of IRLCs to 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 mortgage loans held for sale. Financial Statement Items Measured at Fair Value under the Fair Value Option 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 September 30, 2016 2015 Net gains on Net gains on mortgage Net mortgage mortgage Net mortgage loans held loan loans held 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 $ $ — $ $ $ — $ Mortgage servicing rights at fair value — — $ $ $ $ $ $ Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ $ $ — $ $ Mortgage servicing liabilities at fair value — — $ — $ $ $ — $ $ Nine months ended September 30, 2016 2015 Net gains on Net Net gains on Net mortgage mortgage mortgage mortgage loans held loan loans held 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 $ $ — $ $ $ — $ Mortgage servicing rights at fair value — — $ $ $ $ $ $ Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ $ $ — $ $ Mortgage servicing liabilities at fair value — — $ — $ $ $ — $ $ Following are the fair value and related principal amounts due upon maturity of assets accounted for under the fair value option: September 30, 2016 Principal amount Fair due upon value maturity Difference (in thousands) Mortgage loans held for sale: Current through 89 days delinquent $ $ $ 90 days or more delinquent: Not in foreclosure In foreclosure $ $ $ December 31, 2015 Principal amount Fair due upon value maturity Difference (in thousands) Mortgage loans held for sale: Current through 89 days delinquent $ $ $ 90 days or more delinquent: Not in foreclosure In foreclosure $ $ $ Financial Statement Items Measured at Fair Value on a Nonrecurring Basis Following is a summary of financial statement items that were measured at fair value on a nonrecurring basis during the periods presented: September 30, 2016 Level 1 Level 2 Level 3 Total (in thousands) Mortgage servicing rights at lower of amortized cost or fair value $ — $ — $ $ Real estate acquired in settlement of loans — — $ — $ — $ $ December 31, 2015 Level 1 Level 2 Level 3 Total (in thousands) Mortgage servicing rights at lower of amortized cost or fair value $ — $ — $ $ $ — $ — $ $ The following table summarizes the total gains (losses) on assets measured at fair value on a nonrecurring basis: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Mortgage servicing rights at lower of amortized cost or fair value $ $ $ $ Real estate acquired in settlement of loans — — — $ $ $ $ Fair Value of Financial Instruments Carried at Amortized Cost The Company’s Cash as well as its Carried Interest due from Investment Funds , Note receivable from PMT, Assets sold under agreements to repurchase , Mortgage loan participation and sale agreements , Notes payable , Obligations under capital lease and amounts receivable from and payable to the Advised Entities are carried at amortized cost. Cash is measured using a “Level 1” fair value input. The Company 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 borrowings carried at amortized cost 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 management judgment or estimation. The Company has classified these financial instruments as “Level 3” fair value financial statement items due to the lack of observable inputs to estimate their fair values. The Company has concluded that the fair value of the Note receivable from PMT and the receivables from and payables to the Advised Entities approximate the carrying value due to their short terms and/or variable interest rates. Valuation Techniques and Inputs Most of the Company’s financial assets, a portion of its MSRs and its ESS financing and MSLs are carried at fair value with changes in fair value recognized in current period income. Certain of the Company’s financial assets and all of its MSRs, ESS and MSLs are “Level 3” fair value 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 judgments about the factors that market participants use in pricing an asset or liability, and are based on the best information available under the circumstances. Due to the difficulty in estimating the fair values of “Level 3” fair value financial statement items, management has assigned the responsibility for estimating the fair value of these items to specialized staff and subjects the valuation process to significant senior management oversight. The Company’s Financial Analysis and Valuation group (the “FAV group”) is the Company’s specialized staff responsible for estimating the fair values of “Level 3” fair value financial statement items other than IRLCs and maintaining its valuation policies and procedures. With respect to the non-IRLC “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” fair value 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 the Company’s chief executive, financial, operating, risk, business development 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 “Level 3” fair value financial statement items, 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. With respect to IRLCs, the Company has assigned responsibility for developing fair values to its Capital Markets Risk Management staff. The fair values developed by the Capital Markets Risk Management staff are reviewed by the Company’s Capital Markets Operations group. 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 Most 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 selling price or market price equivalent. Certain of the Company’s mortgage loans held for sale may become non-saleable into active markets due to identification of a defect by the Company or to the repurchase by the Company of a mortgage loan with an identified defect. The Company may also purchase certain delinquent government guaranteed or insured mortgage loans from Ginnie Mae guaranteed pools in its mortgage loan servicing portfolio. The Company’s right to purchase delinquent government guaranteed or insured 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. Such repurchased mortgage loans may be resold to third-party investors and thereafter may be repurchased to the extent eligible for resale into a new Ginnie Mae guaranteed pool. To the extent such mortgage 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 mortgage loans with identified defects using “Level 3” fair value inputs. The significant unobservable inputs used in the fair value measurement of the Company’s “Level 3” fair value mortgage loans held for sale at fair value are discount rates, home price projections, voluntary prepayment/resale speeds and total prepayment speeds. Significant changes in any of those inputs in isolation could result in a significant change to the 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” fair value inputs used in the valuation of mortgage loans held for sale at fair value: Key inputs September 30, 2016 December 31, 2015 Discount rate Range 2.5% – 8.1% 2.5% – 9.1% Weighted average 3.1% 2.8% Twelve-month projected housing price index change Range 2.8% – 5.2% 1.8% – 5.0% Weighted average 4.5% 3.7% Voluntary prepayment / resale speed (1) Range 0.1% – 25.8% 0.6% – 20.1% Weighted average 20.8% 16.6% Total prepayment speed (2) Range 0.1% – 41.3% 0.7% – 37.6% Weighted average 33.1% 30.9% (1) Voluntary prepayment/resale speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”). (2) Changes in fair value attributable to changes in instrument specific credit risk are measured by reference to the change in the respective mortgage loan’s delinquency status and performance history at period end from the later of the beginning of the period or acquisition date. Changes in fair value of mortgage loans held for sale are included in Net gains on mortgage loans held for sale at fair value in the Company’s consolidated statements of income. Derivative Financial Instruments Interest Rate Lock Commitments The Company categorizes IRLCs as a “Level 3” fair value financial statement item. The Company estimates the fair value of an IRLC based on quoted Agency 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 fair value of the mortgage loans it has committed to purchase. Significant changes in the pull-through rate or the MSR component of the IRLCs, in isolation, could result in significant changes in fair value measurement. The financial effects of changes in these inputs are generally inversely correlated as increasing interest rates have a positive effect on the fair value of the MSR component of IRLC fair value, but increase the pull-through rate for the mortgage loan principal and interest payment cash flow component, which has decreased in fair value. Changes in fair value of IRLCs are included in Net gains on mortgage loans acquired for sale at fair value in the consolidated statements of income. Following is a quantitative summary of key “Level 3” fair value inputs used in the valuation of IRLCs: Key inputs September 30, 2016 December 31, 2015 Pull-through rate Range 35.0% – 100.0% 54.1% – 100.0% Weighted average 83.7% 90.1% Mortgage servicing rights value expressed as: Servicing fee multiple Range 1.2 – 5.5 1.0 – 5.8 Weighted average 4.2 4.4 Percentage of unpaid principal balance Range 0.2% – 2.7% 0.2% – 3.8% Weighted average 1.2% 1.5% Hedging Derivatives The Company estimates the fair value of commitments to sell mortgage loans based on quoted MBS prices. These derivative financial instruments are categorized by the Company as “Level 1” fair value financial statement items for those based on exchange traded market prices or as “Level 2” fair value financial statement items for those based on observable MBS prices or interest rate volatilities in the MBS market. Changes in the fair value of hedging derivatives are included in Net gains on mortgage loans acquired for sale at fair value, or Net mortgage loan servicing fees , as applicable, 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 the prepayment rates of the underlying mortgage loans, the applicable pricing spread (discount rate), 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 “Level 3” fair value inputs used in determining the fair value of MSRs at the time of initial recognition, excluding MSR purchases: Quarter ended September 30, 2016 2015 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 $3,913 $146,448 $6,989 $154,707 Unpaid principal balance of underlying mortgage loans $340,562 $12,313,082 $550,073 $11,369,493 Weighted average servicing fee rate (in basis points) 33 29 32 34 Key inputs: Pricing spread (1) Range 7.6% – 10.5% 7.6% – 14.4% 7.0% – 14.4% 6.8% – 16.2% Weighted average 9.3% 9.5% 8.9% 9.1% Annual total prepayment speed (2) Range 5.0% – 42.8% 3.4% – 42.9% 7.7% – 52.3% 7.5% – 35.0% Weighted average 12.4% 9.7% 11.9% 9.2% Life (in years) Range 1.7 – 10.8 1.7 – 12.2 1.4 – 7.5 1.9 – 9.1 Weighted average 6.5 7.6 6.5 7.0 Per-loan annual cost of servicing Range $78 – $103 $78 – $102 $59 – $101 $59 – $95 Weighted average $92 $91 $75 $78 (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. (2) Prepayment speed is measured using Life Total CPR. Nine months ended September 30, 2016 2015 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 $13,201 $370,414 $13,107 $347,549 Unpaid principal balance of underlying mortgage loans $1,108,802 $29,667,803 $1,072,203 $25,268,602 Weighted average servicing fee rate (in basis points) 33 30 32 35 Key inputs: Pricing spread (1) Range 7.2% – 10.5% 7.2% – 14.4% 7.0% – 14.4% 6.8% – 16.2% Weighted average 8.9% 9.2% 9.4% 9.2% Annual total prepayment speed (2) Range 3.3% – 52.3% 3.4% – 50.9% 7.7% – 62.4% 7.5% – 39.4% Weighted average 12.6% 10.0% 11.6% 8.8% Life (in years) Range 1.3 – 11.8 1.3 – 12.2 1.1 – 7.5 1.8 – 9.1 Weighted average 6.5 7.5 6.5 7.0 Per-loan annual cost of servicing Range $68 – $105 $68 – $106 $59 – $101 $59 – $95 Weighted average $87 $88 $75 $76 (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. (2) Prepayment speed is measured using Life Total CPR. Following is a quantitative summary of key inputs used in the valuation and assessment for impairment of the Company’s MSRs at period end and the effect on fair value from adverse changes in those inputs (weighted averages are based upon UPB): September 30, 2016 December 31, 2015 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 $ $ $ $ Unpaid principal balance of underlying mortgage loans $ $ $ $ Weighted average note interest rate 4.1% 3.8% 4.1% 3.8% Weighted average servicing fee rate (in basis points) 32 31 32 32 Key inputs: Pricing spread (1) Range 7.6% – 14.4% 7.6% – 14.4% 7.2% – 14.1% 7.2% – 12.8% Weighted average 9.7% 10.2% 8.9% 8.9% Effect on fair value of (2): 5% adverse change $ $ $ $ 10% adverse change $ $ $ $ 20% adverse change $ $ $ $ Average life (in years) Range 2.1 – 8.9 1.5 – 9.3 1.9 – 9.0 1.8 – 9.1 Weighted average 6.0 6.5 6.9 7.4 Prepayment speed (3) Range 6.7% – 26.5% 6.7% – 46.7% 5.3% – 43.8% 5.7% – 46.7% Weighted average 12.3% 12.1% 9.7% 9.5% Effect on fair value of (2): 5% adverse change $ $ $ $ 10% adverse change $ $ $ $ 20% adverse change $ $ $ $ Annual per-loan cost of servicing Range $78 – $102 $79 – $102 $68 – $97 $68 – $95 Weighted average $93 $92 $86 $84 Effect on fair value of (2): 5% adverse change $ $ $ $ 10% adverse change $ $ $ $ 20% adverse change $ $ $ $ (1) The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs. (2) For MSRs carried at fair value, an adverse change in one of the above-mentioned key inputs is expected to result in a reduction in fair value which will be recognized in income. For MSRs carried at lower of amortized cost or fair value, 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. (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 inputs; do not incorporate changes to other inputs; are subject to the accuracy of various models and inputs used; and do not incorporate other factors that would affect the Company’s overall financial performance in such events, including operational adjustments made by management to account for changing circumstances. For these reasons, the preceding estimates should not be viewed as earnings forecasts. Excess Servicing Spread Financing at Fair Value The Company categorizes ESS as a “Level 3” fair value financial statement item. The Company uses a discounted cash flow approach to estimate the fair value of ESS. 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 fair value of ESS. Changes in these key inputs are not necessarily directly related. ESS is generally subject to fair value increases when mortgage interest rates increase. Increasing mortgage interest rates normally slow mortgage refinancing activity. Decreased refinancing activity increases the life of the mortgage loans underlying the ESS, thereby increasing its fair value, which is owed to PMT. Increases in the fair value of ESS decrease income and are included in Net mortgage loan servicing fees. Interest expense for ESS is accrued using the interest method based upon the expected cash flows from the ESS through the expect |
Mortgage Loans Held for Sale at
Mortgage Loans Held for Sale at Fair Value | 9 Months Ended |
Sep. 30, 2016 | |
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: September 30, December 31, 2016 2015 (in thousands) Government-insured or guaranteed $ $ Conventional conforming Delinquent mortgage loans purchased from Ginnie Mae pools serviced by the Company Mortgage loans repurchased pursuant to representations and warranties $ $ Fair value of mortgage loans pledged to secure: Assets sold under agreements to repurchase $ $ Mortgage loan participation and sale agreement $ $ |
Derivative Financial Instrument
Derivative Financial Instruments | 9 Months Ended |
Sep. 30, 2016 | |
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 process of purchasing or originating 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: September 30, 2016 December 31, 2015 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: Interest rate lock commitments $ $ $ $ Forward purchase contracts Forward sales contracts MBS put options — — Put options on interest rate futures purchase contracts Call options on interest rate futures purchase contracts Treasury futures purchase contracts — — — — — Total derivatives before netting Netting $ $ $ $ Deposits received from derivative counterparties, net $ $ The following table summarizes the notional value activity for derivative contracts used in the Company’s hedging activities: Quarter ended September 30, 2016 Balance Balance beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts Forward sale contracts MBS put options Put options on interest rate futures purchase contracts Call options on interest rate futures purchase contracts Treasury futures purchase contracts — Treasury futures sale contracts — — Quarter ended September 30, 2015 Balance Balance beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts Forward sale contracts MBS put options MBS call options — — Put options on interest rate futures purchase contracts Call options on interest rate futures purchase contracts Nine months ended September 30, 2016 Balance Balance beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts Forward sale contracts MBS put options Put options on interest rate futures purchase contracts Call options on interest rate futures purchase contracts Treasury futures purchase contracts — Treasury futures sale contracts — — Nine months ended September 30, 2015 Balance Balance beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts Forward sale contracts MBS put options MBS call options — — Put options on interest rate futures purchase contracts Call options on interest rate futures purchase contracts Put options on interest rate futures sale contracts — Call options on interest rate futures sales contracts — — Following are the gains and (losses) recognized by the Company on derivative financial instruments and the income statement line items where such gains and losses are included: Quarter ended September 30, Nine months ended September 30, Hedged item Income statement line 2016 2015 2016 2015 (in thousands) Interest rate lock commitments and mortgage loans held for sale Net gains on mortgage loans held for sale $ $ $ $ Mortgage servicing rights Net mortgage loan servicing fees $ $ $ $ |
Mortgage Servicing Rights
Mortgage Servicing Rights | 9 Months Ended |
Sep. 30, 2016 | |
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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Balance at beginning of period $ $ $ $ Additions: Purchases Mortgage servicing rights resulting from mortgage loan sales Change in fair value due to: Changes in valuation inputs used in valuation model (1) Other changes in fair value (2) Total change in fair value Balance at end of period $ $ $ $ September 30, December 31, 2016 2015 Fair value of mortgage servicing rights pledged to secure: Assets sold under agreements to repurchase $ $ Note payable $ $ (1) Principally reflects changes in discount rates and prepayment speed inputs, primarily due to changes in market 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Amortized cost: Balance at beginning of period $ $ $ $ Mortgage servicing rights resulting from mortgage loan sales Amortization Application of valuation allowance to write down mortgage servicing rights with other-than-temporary-impairment — — Balance at end of period Valuation allowance: Balance at beginning of period Additions Application of valuation allowance to write down mortgage servicing rights with other-than-temporary-impairment — — Balance at end of period Mortgage servicing rights, net $ $ $ $ Fair value of mortgage servicing rights at beginning of period $ $ $ $ Fair value of mortgage servicing rights at end of period $ $ September 30, December 31, 2016 2015 Fair value of mortgage servicing rights pledged to secure: Assets sold under agreements to repurchase $ $ Note payable — $ $ The following table summarizes the Company’s estimate of future amortization of its existing MSRs. This estimate was developed with the inputs applicable to the September 30, 2016 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 September 30, amortization (in thousands) 2017 $ 2018 2019 2020 2021 Thereafter $ Servicing fees relating to MSRs are recorded in Net mortgage loan 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 Company’s consolidated statements of income. The fees are summarized below: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Contractual servicing fees $ $ $ $ Ancillary and other fees: Late charges Other $ $ $ $ Mortgage Servicing Liabilities Carried at Fair Value The activity in mortgage servicing liabilities carried at fair value is summarized below: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Balance at beginning of period $ $ $ $ Mortgage servicing liabilities assumed — — Mortgage servicing liabilities resulting from mortgage loan sales Change in fair value Balance at end of period $ $ $ $ |
Carried Interest Due from Inves
Carried Interest Due from Investment Funds | 9 Months Ended |
Sep. 30, 2016 | |
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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Balance at beginning of period $ $ $ $ Carried Interest recognized during the period Proceeds received during the period — — — — Balance at end of period $ $ $ $ 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 limited liability company and limited partnership agreements of the Investment Funds specify that the funds will continue in existence through December 31, 2016, subject to three one-year extensions by PCM at its discretion. PCM has elected to extend the relevant agreements of the Investment Funds for the first of such three one-year extensions. |
Borrowings
Borrowings | 9 Months Ended |
Sep. 30, 2016 | |
Borrowings | |
Borrowings | Note 12—Borrowings The borrowing facilities described throughout this Note 12 contain various covenants, including financial covenants governing the Company’s net worth, debt-to-equity ratio, profitability and liquidity. Management believes that the Company was in compliance with these covenants as of September 30, 2016. Assets Sold Under Agreement to Repurchase The Company has multiple borrowing facilities in the form of asset sales under agreements to repurchase. These borrowing facilities are secured by mortgage loans held for sale at fair value or participation certificates backed by MSRs. Eligible mortgage loans and participation certificates backed by MSRs are sold at advance rates based on the fair value of the assets sold. Interest is charged at a rate based on the buyer’s overnight cost of funds rate or on LIBOR depending on the terms of the respective agreement. Mortgage loans and MSRs financed under these agreements may be re-pledged by the lenders. Following is a summary of financial information relating to assets sold under agreements to repurchase: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ $ $ $ Weighted average interest rate (1) % % % % Total interest expense $ $ $ $ Maximum daily amount outstanding $ $ $ $ September 30, December 31, 2016 2015 (dollars in thousands) Carrying value: Unpaid principal balance $ $ Unamortized debt issuance costs $ $ Unused amount (2) $ $ Fair value of assets securing repurchase agreements Mortgage loans held for sale $ $ Mortgage servicing rights $ $ Weighted average interest rate % % Margin deposits placed with counterparties (3) $ $ (1) Excludes the effect of amortization of commitment fees totaling $1.8 million and $1.1 million for the quarters ended September 30, 2016 and 2015, respectively, and $5.4 million and $3.1 million for the nine months ended September 30, 2016 and 2015, respectively. (2) The amount the Company is able to borrow under asset repurchase agreements is tied to the fair value of unencumbered assets eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the assets sold. (3) Margin deposits are included in Other assets on the Company’s consolidated balance sheet. Following is a summary of maturities of outstanding advances under repurchase agreements by maturity date: Remaining maturity at September 30, 2016 Balance (dollars in thousands) Within 30 days $ Over 30 to 90 days Over 90 days Unamortized debt issuance costs Total loans sold under agreements to repurchase $ Weighted average maturity (in months) The amount at risk (the fair value of the assets pledged plus the related margin deposit, less the amount advanced by the counterparty and interest payable) relating to the Company’s mortgage loans held for sale sold under agreements to repurchase is summarized by counterparty below as of September 30, 2016: Weighted average maturity of advances under repurchase Counterparty Amount at risk agreement Facility maturity (in thousands) Credit Suisse First Boston Mortgage Capital LLC $ December 26, 2016 December 26, 2016 Credit Suisse First Boston Mortgage Capital LLC $ December 7, 2016 March 30, 2017 Banc of America, N.A. $ December 18, 2016 March 29, 2017 JP Morgan Chase Bank, N.A. $ December 24, 2016 August 18, 2017 Morgan Stanley Bank, N.A. $ November 18, 2016 August 25, 2017 Citibank, N.A. $ November 6, 2016 December 2, 2016 Barclays Bank PLC $ December 2, 2016 December 2, 2016 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 assets securing those agreements decreases. Mortgage Loan Participation and Sale Agreements Certain of the borrowing facilities secured by mortgage loans held for sale are in the form of a mortgage loan participation and sale agreements. Participation certificates, each of which represents an undivided beneficial ownership interest in mortgage loans that have been pooled with Fannie Mae, Freddie Mac or Ginnie Mae, are sold to 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. The holdback amount is not required to be paid to the Company until the settlement of the security and its delivery to the lender. The mortgage loan participation and sale agreements are summarized below: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (dollars in thousands) Average balance $ $ $ $ Weighted average interest rate (1) % % % % Total interest expense $ $ $ $ Maximum daily amount outstanding $ $ $ $ September 30, December 31, 2016 2015 (dollars in thousands) Carrying value: Unpaid principal balance $ $ Unamortized debt issuance costs $ $ Weighted average interest rate % % Fair value of mortgage loans pledged to secure mortgage loan participation and sale agreement $ $ (1) Excludes the effect of amortization of facility fees totaling $250,000 and $74,000 for the quarters ended September 30, 2016 and 2015, respectively, and $435,000 and $276,000 for the nine months ended September 30, 2016 and 2015, respectively. Notes Payable The Company entered into a revolving credit agreement classified as a note payable, dated as of December 30, 2015, pursuant to which the lenders have agreed to make revolving loans in an amount not to exceed $100,000,000. Interest on the note payable accrues at an annual rate of interest equal to, at the election of the Company, either LIBOR plus the applicable contract margin or an alternate base rate. The maturity date of the note payable is 364 days following the date of the revolving credit agreement. The proceeds of the note payable are to be used solely for working capital and general corporate purposes of the Company and its subsidiaries. During December 2015, the Company entered into a second note payable which is secured by MSRs relating to certain mortgage loans in the Company’s servicing portfolio. Interest is charged at a rate based on LIBOR plus the applicable contract margin. Notes payable are summarized below: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (dollars in thousands) Average balance $ $ $ $ Weighted average interest rate (1) % % % % Total interest expense $ $ $ $ Maximum daily amount outstanding $ $ $ $ September 30, December 31, 2016 2015 (in thousands) Carrying value: Unpaid principal balance $ $ Unamortized debt issuance costs $ $ Unused amount $ $ Assets pledged to secure notes payable: Mortgage servicing rights $ $ Cash $ $ Carried Interest $ $ (1) Excluding the effect of amortization of debt issuance costs totaling $ 760,000 and $2.1 million during the quarter and nine months ended September 30, 2016. Obligations under Capital Lease In December 2015, the Company entered into a capital lease transaction secured by certain fixed assets and capitalized software. The capital lease matures on December 9, 2019 and bears interest at a spread over one month LIBOR. Obligations under capital lease are summarized below: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (dollars in thousands) Average balance $ $ — $ $ — Weighted average interest rate % — % % — % Total interest expense $ $ — $ $ — Maximum daily amount outstanding $ $ — $ $ — September 30, December 31, 2016 2015 (in thousands) Unpaid principal balance $ $ Assets pledged to secure obligations under capital lease: Furniture, fixtures and equipment $ $ Capitalized software $ $ Excess Servicing Spread Financing In conjunction with the Company’s purchase from non-affiliates of certain MSRs relating to pools of Agency-backed residential mortgage loans, the Company has entered into sale and assignment agreements with PMT. Under these agreements, the Company sold to PMT the right to receive ESS cash flows relating to certain MSRs. The Company retained a fixed base servicing fee and all ancillary income associated with servicing the mortgage loans. The Company continues to be the servicer of the mortgage loans and provides all servicing functions, including the responsibility to make servicing advances. Following is a summary of ESS: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Balance at beginning of period $ $ $ $ Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: For cash — — Pursuant to a recapture agreement with PennyMac Mortgage Investment Trust Accrual of interest Repayment Repurchase (1) — — — Change in fair value Balance at end of period $ $ $ $ (1) On February 29, 2016, the Company and PMT terminated that certain master spread acquisition and MSR servicing agreement that the parties entered into effective February 1, 2013 (the “2/1/13 Spread Acquisition Agreement”) and all amendments thereto. In connection with the termination of the 2/1/13 Spread Acquisition Agreement, the Company reacquired from PMT all of its right, title and interest in and to all of the Fannie Mae ESS previously sold by the Company to PMT under the 2/1/13 Spread Acquisition Agreement and then subject to such 2/1/13 Spread Acquisition Agreement. On February 29, 2016, the Company also reacquired from PMT all of its right, title and interest in and to all of the Freddie Mac ESS previously sold to PMT by the Company. |
Liability for Losses Under Repr
Liability for Losses Under Representations and Warranties | 9 Months Ended |
Sep. 30, 2016 | |
Liability for Losses Under Representations and Warranties | |
Liability for Losses Under Representations and Warranties | Note 13—Liability for Losses Under Representations and Warranties Following is a summary of the Company’s liability for losses under representations and warranties: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Balance at beginning of period $ $ $ $ Provision for losses on mortgage loans sold: Resulting from sales of mortgage loans Reduction in liability due to change in estimate — — Incurred losses Balance at end of period $ $ $ $ Unpaid principal balance of mortgage loans subject to representations and warranties at period end $ $ |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2016 | |
Income Taxes | |
Income Taxes | Note 14—Income Taxes The Company’s effective tax rates were 12.2% and 11.6% for the quarters ended September 30, 2016 and 2015, respectively, and 12.0% and 11.5% for the nine months ended September 30, 2016 and 2015, 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 the Company’s effective income tax rate. |
Noncontrolling Interest
Noncontrolling Interest | 9 Months Ended |
Sep. 30, 2016 | |
Noncontrolling Interest. | |
Noncontrolling Interest | Note 15—Noncontrolling Interest Net income attributable to the Company’s common stockholders and the effects of changes in noncontrolling ownership interest in PennyMac are summarized below: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Net income attributable to PennyMac Financial Services, Inc. common stockholders $ $ $ $ Increase in the Company's additional paid-in capital for exchanges of Class A units of Private National Mortgage Acceptance Company, LLC to Class A common stock of PennyMac Financial Services, Inc. $ $ $ $ Shares of Class A common stock of PennyMac Financial Services, Inc. issued pursuant to exchange of Class A units of Private National Mortgage Acceptance Company, LLC September 30, December 31, 2016 2015 Percentage of noncontrolling interest in Private National Mortgage Acceptance Company, LLC % % |
Net Gains on Mortgage Loans Hel
Net Gains on Mortgage Loans Held for Sale | 9 Months Ended |
Sep. 30, 2016 | |
Net Gains on Mortgage Loans Held for Sale | |
Net Gains on Mortgage Loans Held for Sale | Note 16—Net Gains on Mortgage Loans Held for Sale Net gains on mortgage loans held for sale at fair value is summarized below: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) From non-affiliates: Cash gain(loss) : Mortgage loans $ $ $ $ Hedging activities Non-cash gain: Mortgage servicing rights and mortgage servicing liabilities resulting from mortgage loan sales, net Provision for losses relating to representations and warranties: Pursuant to mortgage loan sales Reduction in liability due to change in estimate — — Change in fair value relating to mortgage loans and hedging derivatives held at period end: Interest rate lock commitments Mortgage loans Hedging derivatives Recapture payable to PennyMac Mortgage Investment Trust $ $ $ $ |
Net Interest Expense
Net Interest Expense | 9 Months Ended |
Sep. 30, 2016 | |
Net Interest Expense | |
Net Interest Expense | Note 17—Net Interest Expense Net interest expense is summarized below: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Interest income: From non-affiliates: Short-term investments $ $ $ $ Mortgage loans held for sale at fair value Placement fees relating to custodial funds From PennyMac Mortgage Investment Trust—Note receivable Interest expense: To non-affiliates: Assets sold under agreements to repurchase Mortgage loan participation and sale agreement Notes payable Obligations under capital lease — — Interest shortfall on repayments of mortgage loans serviced for Agency securitizations Interest on mortgage loan impound deposits To PennyMac Mortgage Investment Trust—Excess servicing spread financing at fair value $ $ $ $ |
Stock-based Compensation
Stock-based Compensation | 9 Months Ended |
Sep. 30, 2016 | |
Stock-based Compensation | |
Stock-based Compensation | Note 18—Stock-based Compensation Following is a summary of the stock-based compensation expense by type of instrument awarded: Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Performance-based RSUs $ $ $ $ Stock options Time-based RSUs Exchangeable PNMAC units $ $ $ $ Following is a summary of equity award activity: Quarter ended September 30, 2016 Performance- Stock Time-based Exchangeable based RSUs options RSUs PNMAC units (in thousands) June 30, 2016 Granted — — Vested — — Exercised — — — Forfeited or canceled — September 30, 2016 Quarter ended September 30, 2015 Performance- Stock Time-based Exchangeable based RSUs options RSUs PNMAC units (in thousands) June 30, 2015 Granted — — — Vested — — — Exercised — — — Forfeited or canceled — September 30, 2015 Nine months ended September 30, 2016 Performance- Stock Time-based Exchangeable based RSUs options RSUs PNMAC units (in thousands) December 31, 2015 Granted Vested — — Exercised — — — Forfeited or canceled — September 30, 2016 Nine months ended September 30, 2015 Performance- Stock Time-based Exchangeable based RSUs options RSUs PNMAC units (in thousands) December 31, 2014 Granted Vested — — Exercised — — — — Forfeited or canceled — September 30, 2015 |
Supplemental Cash Flow Informat
Supplemental Cash Flow Information | 9 Months Ended |
Sep. 30, 2016 | |
Supplemental Cash Flow Information | |
Supplemental Cash Flow Information | Note 19—Supplemental Cash Flow Information Nine months ended September 30, 2016 2015 (in thousands) Cash paid for interest $ $ Cash paid for income taxes $ $ Non-cash investing activity: Mortgage servicing rights resulting from mortgage loan sales $ $ Mortgage servicing liabilities resulting from mortgage loan sales $ $ Non-cash financing activity: Transfer of excess servicing spread to PennyMac Mortgage Investment Trust pursuant to a recapture agreement $ $ Issuance of common stock in settlement of director fees $ $ |
Regulatory Net Worth and Agency
Regulatory Net Worth and Agency Capital Requirements | 9 Months Ended |
Sep. 30, 2016 | |
Regulatory Net Worth and Agency Capital Requirements | |
Regulatory Capital and Liquidity Requirements | Note 20—Regulatory Capital and Liquidity Requirements The Company, through PLS and PennyMac, is required to maintain specified levels of liquidity and equity to remain a seller/servicer in good standing with the Agencies. Such requirements generally are tied to the size of the Company’s loan servicing portfolio or loan origination volume. The Agencies’ capital and liquidity requirements, the calculations of which are specified by each Agency, are summarized below: September 30, 2016 December 31, 2015 Agency–company subject to requirement Balance (1) Requirement Balance (1) Requirement (in thousands) Capital Fannie Mae & Freddie Mac - PLS $ $ $ $ Ginnie Mae - PLS $ $ $ $ Ginnie Mae - PennyMac $ $ $ $ HUD - PLS $ $ $ $ Liquidity Fannie Mae & Freddie Mac - PLS $ $ $ $ Ginnie Mae - PLS $ $ $ $ (1) Calculated in accordance with the respective Agency’s capital and liquidity requirements. Noncompliance with an Agency’s requirements can result in such Agency taking various remedial actions up to and including terminating PennyMac’s ability to sell loans to and service loans on behalf of the respective Agency. PennyMac and PLS had Agency capital and liquidity in excess of the respective Agencies’ requirements at September 30, 2016. |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2016 | |
Commitment and Contingencies. | |
Commitments and Contingencies | Note 21—Commitments and Contingencies Commitments to Fund and Sell Mortgage Loans September 30, 2016 (in thousands) Commitments to purchase mortgage loans from PennyMac Mortgage Investment Trust $ Commitments to fund mortgage loans $ 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 September 30, 2016, 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. Commitment to Make Distributions to PennyMac Owners Under the terms of its Limited Liability Company Agreement, PennyMac is required to make cash distributions to the Company’s noncontrolling interest holders in amounts sufficient to allow such noncontrolling interest holders to pay federal and state taxes on their allocable share of PennyMac taxable income. Such distributions are calculated and, if required, made quarterly. |
Segments and Related Informatio
Segments and Related Information | 9 Months Ended |
Sep. 30, 2016 | |
Segments and Related Information | |
Segments and Related Information | Note 22—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 mortgage loan origination, acquisition and sale activities. The loan servicing segment performs servicing of newly originated mortgage loans, execution and management of early buyout transactions and servicing of mortgage loans sourced and managed by the investment management segment for the Advised Entities, 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 production activities for PMT and managing the acquired assets for the Advised Entities. Financial performance and results by segment are as follows: Quarter ended September 30, 2016 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on mortgage loans held for sale at fair value $ $ $ $ — $ Mortgage loan origination fees — — Fulfillment fees from PennyMac Mortgage Investment Trust — — Net mortgage loan servicing fees — — Management fees — — — Carried Interest from Investment Funds — — — Net interest income (expense): Interest income — Interest expense Other — Total net revenue Expenses Income (loss) before provision for income taxes and non-segment activities Non-segment activities — — — — — Income (loss) before provision for income taxes $ $ $ $ $ Segment assets at period end (2) $ $ $ $ $ (1) All revenues are from external customers. (2) Excludes parent Company assets, which consist primarily of working capital of $6.9 million. Quarter ended September 30, 2015 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on mortgage loans held for sale at fair value $ $ $ $ — $ Mortgage loan origination fees — — Fulfillment fees from PennyMac Mortgage Investment Trust — — Net mortgage loan servicing fees — — Management fees — — — Carried Interest from Investment Funds — — — Net interest income (expense): Interest income — Interest expense — — Other Total net revenue Expenses Income (loss) before provision for income taxes Non-segment activities (2) — — — — Income (loss) before provision for income taxes $ $ $ $ $ Segment assets at period end (3) $ $ $ $ $ (1) All revenues are from external customers (2) Relates to parent Company interest expense eliminated in consolidation. (3) Deferred tax asset of $25.9 million. Nine months ended September 30, 2016 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains (losses) on mortgage loans held for sale at fair value $ $ $ $ — $ Loan origination fees — — Fulfillment fees from PennyMac Mortgage Investment Trust — — Net servicing fees — — Management fees — — — Carried Interest from Investment Funds — — — Net interest income (expense): Interest income Interest expense Other Total net revenue Expenses Income (loss) before provision for income taxes and non-segment activities Non-segment activities (2) — — — — Income (loss) before provision for income taxes $ $ $ $ $ Segment assets at period end (3) $ $ $ $ $ (1) All revenues are from external customers (2) Relates to parent Company interest expense eliminated in consolidation. (3) Excludes parent Company assets, which consist primarily of working capital of $6.9 million. Nine months ended September 30, 2015 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on mortgage loans held for sale at fair value $ $ $ $ — $ Loan origination fees — — Fulfillment fees from PennyMac Mortgage Investment Trust — — Net servicing fees — — Management fees — — — Carried Interest from Investment Funds — — — Net interest income (expense): Interest income — Interest expense — — Other Total net revenue Expenses Income (loss) before provision for income taxes and non-segment activities Non-segment activities (2) — — — — Income (loss) before provision for income taxes $ $ $ $ $ Segment assets at period end (3) $ $ $ $ $ (1) All revenues are from external customers (2) Relates to parent Company interest expense eliminated in consolidation. (3) Excludes parent Company assets, which consist primarily of Deferred tax asset of $25.9 million. |
Recently Issued Accounting Pron
Recently Issued Accounting Pronouncements | 9 Months Ended |
Sep. 30, 2016 | |
Recently Issued Accounting Pronouncements. | |
Recently Issued Accounting Pronouncements | Note 23—Recently Issued Accounting Pronouncements In May 2014, the FASB issued Accounting Standards Update (“ASU”) ASU 2014-09, Revenue from Contracts with Customers (Subtopic 606) (“ASU 2014-09”), which supersedes the guidance in ASC 605, Revenue Recognition . ASU 2014-09 clarifies the principles for recognizing revenue in order to improve comparability of revenue recognition practices across entities and industries with certain scope exceptions including financial instruments, leases, and guarantees. ASU 2014-09 provides guidance intended to assist in the identification of contracts with customers and separate performance obligations within those contracts, the determination and allocation of the transaction price to those identified performance obligations and the recognition of revenue when a performance obligation has been satisfied. ASU 2014-09 also requires disclosures regarding the nature, amount, timing, and uncertainty of revenues and cash flows from contracts with customers. Upon adoption, ASU 2014-09 provides for transition through either a full retrospective approach requiring the restatement of all presented prior periods or a modified retrospective approach, which allows the new recognition standard to be applied to only those contracts that are not completed at the date of transition. If the modified retrospective approach is adopted, a cumulative-effect adjustment to retained earnings is performed with additional disclosures required including the amount by which each line item is affected by the transition as compared to the guidance in effect before adoption and an explanation of the reasons for significant changes in these amounts. The FASB has issued several amendments to the new revenue standard ASU 2014-09, including: · In May 2014, ASU 2015-14, Revenue From Contracts With Customers (“ASU 2015-14”). This update deferred the initial effective date of ASU 2014-09. As a result of the issuance of ASU 2015-14, ASU 2014-09 is effective for annual reporting periods beginning on or after December 15, 2017, and interim periods within those annual periods. Early adoption is permitted only as of annual reporting periods beginning after December 15, 2016, including interim reporting periods within that reporting period. · In March 2015, ASU 2016-08, Principal Versus Agent Considerations (Reporting Revenue Gross versus Net). The amendments to this update are intended to improve the implementation guidance on principal versus agent considerations in ASU 2014-09 by clarifying how an entity should identify the unit of account (i.e. the specified good or service) and how an entity should apply the control principle to certain types of arrangements. · In May 2016, ASU 2016-12, Narrow-Scope Improvements and Practical Expedients. The amendments to this update clarify certain core recognition principles and provide practical expedients available at transition. The improvements address collectability, sales tax presentation, noncash consideration, contract modifications and completed contracts at transition. The Company is currently evaluating the pending adoption of ASU 2014-09 and its impact on its consolidated financial statements and has not yet identified which transition method will be applied upon adoption. In August 2014, the FASB issued Accounting Standards Update No. 2014-15, Presentation of Financial Statements—Going Concern (Subtopic 205-40): Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern (“ASU 2014-15”). ASU 2014-15 is intended to define management’s responsibility to evaluate whether there is substantial doubt about an organization’s ability to continue as a going concern and to provide related note disclosures. Under GAAP, financial statements are prepared under the presumption that the reporting organization will continue to operate as a going concern, except in limited circumstances. Financial reporting under this presumption is commonly referred to as the going concern basis of accounting. The going concern basis of accounting establishes the fundamental basis for measuring and classifying assets and liabilities. ASU 2014-15 extends the responsibility for performing the going-concern assessment to management and contains guidance on (1) how to perform a going-concern assessment and (2) when going-concern disclosures would be required under U.S. GAAP. Under ASU 2014-15, an entity would be required to evaluate its status as a going concern as part of its periodic financial statement preparation process and would be required to disclose information about its potential inability to continue as a going concern when “substantial doubt” about its ability to continue as a going concern for the period of one year from the earlier of the date its financial statements are issued or are ready to be issued. If management concludes that there is “substantial doubt about the entity’s ability to continue as a going concern, it must disclose the principal conditions or events causing substantial doubt to be raised, management’s evaluation of the conditions and management’s plans. If substantial doubt is not alleviated as a result of management’s plans, the company is required to include a statement that there is “substantial doubt about the entity’s ability to continue as a going concern.” ASU 2014-15 also requires an entity to disclose how the substantial doubt was resolved in the period that substantial doubt no longer exists. ASU 2014-15 is effective for the annual period ending December 31, 2016. The adoption of ASU 2014-15 is not expected to have an effect on the financial statements of the Company. In February 2015, the FASB issued ASU 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis (“ASU 2015-02”). ASU 2015-02 affects reporting entities that are required to evaluate whether they should consolidate certain legal entities. ASU 2015-02 modifies the evaluation of whether limited partnerships and similar legal entities are VIEs or voting interest entities, eliminates the presumption that a general partner should consolidate a limited partnership and affects the consolidation analysis of reporting entities that are involved with VIEs, particularly those that have fee arrangements and related party relationships. ASU 2015-02 is effective for fiscal years, and for interim periods within those fiscal years, beginning after December 15, 2015. The Company adopted ASU 2015-02 effective January 1, 2016. The adoption of ASU 2015-02 had no effect on the Company’s consolidated financial statements. In January 2016, the FASB issued ASU 2016-01, Financial Instruments–Overall: Recognition and Measurement of Financial Assets and Financial Liabilities (“ASU 2016-01”). ASU 2016-01 affects the accounting for equity investments, financial liabilities under the fair value option, the presentation and disclosure requirements for financial instruments, and the valuation allowance assessment when recognizing deferred tax assets resulting from unrealized losses on available-for-sale debt securities. ASU 2016-01 requires that: · All equity investments in unconsolidated entities (other than those accounted for using the equity method of accounting) with readily determinable fair values will generally be measured at fair value through earnings. · When the fair value option has been elected for financial liabilities, changes in fair value due to instrument-specific credit risk will be recognized separately in other comprehensive income. The accumulated gains and losses due to these changes will be reclassified from accumulated other comprehensive income to earnings if the financial liability is settled before maturity. · For financial instruments measured at amortized cost, public business entities will be required to use the exit price when measuring the fair value of financial instruments for disclosure purposes. · Financial assets and financial liabilities shall be presented separately in the notes to the financial statements, grouped by measurement category (e.g., fair value, amortized cost, lower of cost or fair value) and form of financial asset (e.g., loans, securities). · Public business entities will no longer be required to disclose the methods and significant assumptions used to estimate the fair value of financial instruments carried at amortized cost. · Entities will have to assess the realizability of a deferred tax asset related to a debt security classified as available for sale in combination with the entity’s other deferred tax assets. The classification and measurement guidance will be effective for public business entities in fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. Early adoption of the provision to record fair value changes for financial liabilities under the fair value option resulting from instrument-specific credit risk in other comprehensive income is permitted and can be elected for all financial statements of fiscal years and interim periods that have not yet been issued or that have not yet been made available for issuance. The Company is currently assessing the potential effect that the adoption of ASU 2016-01 will have on its consolidated financial statements. In February 2016, the FASB issued ASU No. 2016-02 , Leases (Topic 842) (“ASU 2016-02”). ASU 2016-02 sets out the principles for the recognition, measurement, presentation and disclosure of leases for both parties to a contract (i.e. lessees and lessors) and supersedes previous leasing standards. ASU 2016-02 requires lessees to apply a dual approach, classifying leases as either finance or operating leases based on the principle of whether or not the lease is effectively a financed purchase of the leased asset by the lessee. A lessee is also required to record a right-of-use asset and a lease liability for all leases with a term of greater than 12 months regardless of their classification. ASU 2016-02 is effective for the Company for reporting periods beginning after December 15, 2018, with early adoption permitted. The Company is currently assessing the potential impact that the adoption of ASU 2016-02 will have on its consolidated financial statements. In March 2016, The FASB issued ASU 2016-09, Compensation—Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting (“ASU 2016-09”). ASU 2016-09 simplifies several aspects of the accounting for share-based payment award transactions, including: · Modifies the accounting for income taxes relating to share-based payments. All excess tax benefits and tax deficiencies (including tax benefits of dividends on share-based payment awards) will be recognized as income tax expense or benefit in the consolidated income statement. The tax effects of exercised or vested awards will be treated as discrete items in the reporting period in which they occur. An entity will recognize excess tax benefits regardless of whether the benefit reduces taxes payable in the current period. Under current GAAP, excess tax benefits are recognized in additional paid-in capital; tax deficiencies are recognized either as an offset to accumulated excess tax benefits, if any, or in the consolidated income statement in the period they reduce income taxes payable. · Changes the classification of excess tax benefits on the consolidated statement of cash flows. In the consolidated statement of cash flows, excess tax benefits will be classified along with other income tax cash flows as an operating activity. Under current GAAP, excess tax benefits are separated from other income tax cash flows and classified as a financing activity. · Changes the requirement to estimate the number of awards that are expected to vest. Under ASC 2016-09, an entity can make an entity-wide accounting policy election to either estimate the number of awards that are expected to vest as presently required or account for forfeitures when they occur. Under current GAAP, accruals of compensation cost are based on the number of awards that are expected to vest. · Changes the tax withholding requirements for share-based payment awards to qualify for equity accounting. The threshold to qualify for equity classification permits withholding up to the maximum statutory tax rates in the applicable jurisdictions. Under current GAAP, for an award to qualify for equity classification is that an entity cannot partially settle the award in cash in excess of the employer’s minimum statutory withholding requirements. · Establishes GAAP for the classification of employee taxes paid when an employer withholds shares for tax withholding purposes. Cash paid by an employer when directly withholding shares for tax- withholding purposes should be classified as a financing activity. This guidance establishes GAAP related to the classification of withholding taxes in the statement of cash flows as there is no such guidance under current GAAP. ASU 2016-09 is effective for annual periods beginning after December 15, 2016, and interim periods within those annual periods. Early adoption is permitted for any organization in any interim or annual period. The Company is currently assessing the potential effect that the adoption of ASU 2016-09 will have on its consolidated financial statements. |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2016 | |
Subsequent Events | |
Subsequent Events | Note 24—Subsequent Events Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period: · On October 4, 2016, the Company, through PLS, amended the terms of its master repurchase agreement, dated July 2, 2013, by and among Morgan Stanley Bank, N.A. (“Morgan Stanley”), on the one hand, and PLS, on the other hand (the “MS Repurchase Agreement”), pursuant to which PLS, may sell, and later repurchase, newly originated mortgage loans that are originated through the PLS consumer direct lending channel or purchased from correspondent lenders through a subsidiary of PMT and, in either case, held by PLS pending sale and/or securitization. Prior to the amendment, the MS Repurchase Agreement provided for a maximum aggregate purchase price of $200 million. Of this amount, $125 million was committed and available for purchases under the MS Repurchase Agreement. Pursuant to the terms of the amendment, Morgan Stanley agreed to increase the maximum aggregate purchase price from $200 million to $300 million. Of this amount, $175 million is committed and available for purchases under the Repurchase Agreement. · On October 11, 2016, the Company, through PLS and PennyMac, executed a Second Amended and Restated Request for Temporary Increase (the “Temporary Increase”) in connection with that certain mortgage loan participation purchase and sale agreement, dated August 13, 2014, by and among Bank of America, N.A. (“BANA”), on the one hand, and PLS, as seller, and PNMAC, as guarantor, on the other hand (the “BANA Participation Agreement”). The Temporary Increase amends and supersedes that certain request for temporary increase entered into by PLS, PNMAC and BANA on August 25, 2016. Pursuant to the terms of the BANA Participation Agreement, PLS may sell to BANA participation certificates, each representing an undivided beneficial ownership interest in a pool of mortgage loans that have been pooled with Fannie Mae, Freddie Mac or Ginnie Mae and are pending securitization. Pursuant to the Temporary Increase, BANA agreed to temporarily maintain the aggregate transaction limit of purchase prices for participation certificates owned by BANA at any given time at up to $800 million until December 12, 2016, at which time the aggregate transaction limit of purchase prices will be reset to $250 million. · On October 14, 2016, the Company, through PLS, entered into an amendment to its master repurchase agreement, dated as of June 26, 2012, by and between Citibank, N.A. (“Citibank”) and PLS (the “Citi Repurchase Agreement”), pursuant to which PLS may sell, and later repurchase, newly originated mortgage loans that are originated through PLS’ consumer direct lending channel or purchased from correspondent lenders through a subsidiary of PMT and, in either case, held by PLS pending sale and/or securitization. Under the terms of this amendment, the uncommitted amount of the maximum aggregate purchase price provided for in the Citi Repurchase Agreement was increased from $50 million to $250 million and the maximum aggregate purchase price from $200 million to $400 million until December 2, 2016. · On October 20, 2016, the Company entered into another amendment to the Citi Repurchase Agreement pursuant to which the maturity date of the Citi Repurchase Agreement was extended from October 20, 2016 to December 2, 2016. · On October 17, 2016, the Company, through PLS and PNMAC, entered into amendments (the “October Amendments”) to the terms of (i) its Second Amended and Restated Master Repurchase Agreement, dated as of March 31, 2016, by and among Credit Suisse First Boston Mortgage Capital LLC (“CSFB”), PLS and PNMAC (the “CSFB Repurchase Agreement”), pursuant to which PLS may sell to, and later repurchase from, CSFB certain newly originated or recently acquired residential and small balance multifamily mortgage loans; and (ii) its Master Repurchase Agreement (Participation Certificates and Servicing) by and among CSFB, PLS and PNMAC and dated as of November 10, 2015 (the “MSR Repo”), pursuant to which PLS may finance certain of its mortgage servicing rights and related participation interests and loan servicing advance receivables. The original terms of the CSFB Repurchase Agreement and the MSR Repo collectively provided for a maximum combined purchase price of $907 million. Of this amount, $700 million was committed and available for purchases under the CSFB Repurchase Agreement to the extent not reduced by purchased amounts outstanding under the MSR Repo, while $407 million was committed and available for purchases under the MSR Repo to the extent not reduced by purchased amounts outstanding under the CSFB Repurchase Agreement. On September 26, 2016, CSFB previously agreed to increase the maximum combined purchase price provided for under the CSFB Repurchase Agreement and the MSR Repo from $907 million to $1.207 billion until October 26, 2016, at which time the maximum combined purchase price would be reset to $907 million. Pursuant to the terms of the October Amendments, CSFB agreed to extend such increase in the maximum combined purchase price to December 23, 2016. · On November 1, 2016, the Company, through PLS and PNMAC, entered into a master repurchase (the “JPM Repurchase Agreement”) agreement by and among JPMorgan Chase Bank, National Association (“JPM”), pursuant to which PLS may sell to JPM participation certificates, each of which represents an undivided beneficial ownership interest in a pool of mortgage loans that have been pooled with Fannie Mae, Freddie Mac or Ginnie Mae and are pending securitization, in an aggregate principal amount of up to $500 million. In connection with its sale of any participation certificate, PLS will also assign to JPM a take-out commitment, which evidences PLS’ right to sell to a third-party investor the security backed by the mortgage loans underlying the related participation certificate. The scheduled maturity date of the JPM Repurchase Agreement is October 31, 2017, and the obligations of PLS are fully guaranteed by PNMAC. · On November 3, 2016, the Company, through PNMAC, entered into Schedule Number 003 (the “Schedule”) to that certain Master Lease Agreement (the “Master Lease”), dated as of December 9, 2015, with Banc of America Leasing & Capital, LLC (“BALC”). Pursuant to the Master Lease, the Company may borrow funds from BALC on an uncommitted basis for the purpose of financing equipment and/or leasehold improvements described and on the terms set forth in schedules from time to time. The Master Lease is guaranteed in full by the Company’s indirect controlled subsidiary, PennyMac Loan Services, LLC. Pursuant to the Schedule, PNMAC is financing equipment with an aggregate cost of approximately $4.3 million. The Schedule has a three-year term and interim rent and base rent is payable pursuant to the terms thereof. At the expiration of the three-year term, the Company is obligated to purchase the leased equipment on an as-is, where-is basis for a nominal amount. All other terms and conditions of the Master Lease remain the same in all material respects. |
Transactions with Affiliates (T
Transactions with Affiliates (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Transactions with Affiliates | |
Summary of reimbursement of expenses | Expense Reimbursement 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 September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Reimbursement of: Common overhead incurred by the Company $ $ $ $ Expenses incurred on PMT's (the Company's) behalf, net $ $ $ $ Payments and settlements during the period (1) $ $ $ $ (1) Payments and settlements include payments for operating, investment and financing activities itemized in this Note and netting settlements made pursuant to master netting agreements between the Company and PMT. |
PMT | |
Transactions with Affiliates | |
Summary of lending activity between the Company and affiliate | Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Mortgage servicing rights and excess servicing spread recapture incurred $ $ $ $ Fulfillment fee revenue $ $ $ $ Unpaid principal balance of mortgage loans fulfilled for PMT $ 7,263,557 $ 4,073,201 $ 15,696,940 $ 10,542,411 Sourcing fees paid to PMT $ $ $ $ Unpaid principal balance of mortgage loans purchased from PMT $ 11,694,065 $ 10,783,882 $ 27,599,186 $ 23,602,020 Proceeds from sale of mortgage loans held for sale to PMT $ $ $ $ Tax service fees received from PMT $ $ $ $ Early purchase program fees earned from PMT $ $ — $ $ — |
Summary of mortgage loan servicing fees earned from PMT | Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Mortgage loans acquired for sale at fair value: Base and supplemental $ $ $ $ Activity-based Mortgage loans at fair value: Base and supplemental Activity-based Mortgage servicing rights: Base and supplemental Activity-based $ $ $ $ |
Summary of management fees earned | Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Base management $ $ $ $ Performance incentive — — — $ $ $ $ |
Summary of investing activity between the Company and affiliate | Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Note receivable from PennyMac Mortgage Investment Trust: Interest income $ $ $ $ Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Dividends received and change in fair value $ $ $ $ September 30, December 31, 2016 2015 (in thousands) Note receivable from PennyMac Mortgage Investment Trust: $ $ Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Fair value $ $ Number of shares |
Summary of financing activty between the Company and affiliate | Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Excess servicing spread financing: Issuance: Cash $ — $ $ — $ Pursuant to recapture agreement $ $ $ $ Repayment $ $ $ $ Repurchase $ — $ — $ $ — Change in fair value $ $ $ $ Interest expense $ $ $ $ Excess servicing spread recapture incurred pursuant to refinancings by the Company of mortgage loans subject to excess servicing spread $ $ $ $ |
Summary of amounts due from and payable to affiliate | September 30, December 31, 2016 2015 (in thousands) Receivable from PMT: Management fees $ $ Servicing fees Allocated expenses and expenses incurred on PMT's behalf Fulfillment fees Conditional reimbursement Interest on note receivable Correspondent production fees $ $ Payable to PMT: Deposits made by PMT to fund servicing advances $ $ Mortgage servicing rights ("MSR") recapture payable Other $ $ |
Investment Funds | |
Transactions with Affiliates | |
Summary of amounts due from and payable to affiliate | September 30, December 31, 2016 2015 (in thousands) Carried Interest due from Investment Funds: PNMAC Mortgage Opportunity Fund, LLC $ $ PNMAC Mortgage Opportunity Fund Investors, LLC $ $ Receivable from Investment Funds: Management fees $ $ Expense reimbursements Mortgage loan servicing fees Mortgage loan servicing rebate $ $ Payable to Investment Funds—Servicing advances $ $ |
Earnings Per Share of Common 32
Earnings Per Share of Common Stock (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Earnings Per Share of Common Stock | |
Summary of basic and diluted earnings per share calculations | Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands, except per share amounts) Basic earnings per share of common stock: Net income attributable to PennyMac Financial Services, Inc. common stockholders $ $ $ $ Weighted average shares of common stock outstanding Basic earnings per share of common stock $ $ $ $ Diluted earnings per share of common stock: Net income attributable to PennyMac Financial Services, Inc. common stockholders $ $ $ $ Effect of net income attributable to PennyMac Class A units exchangeable to common stock, net of income taxes Diluted net income attributable to common stockholders $ $ $ $ Weighted average shares of common stock outstanding Dilutive shares: PennyMac Class A units exchangeable to common stock Non-vested PennyMac Class A units issuable under unit-based stock compensation plan and exchangeable to common stock — — Common shares issuable under stock-based compensation plan Diluted weighted average shares of common stock outstanding Diluted earnings per share of common stock $ $ $ $ |
Schedule of anti-dilutive shares outstanding | Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands except for weighted-average exercise price) Stock options (1) Performance-based RSUs (2) Total anti-dilutive stock-based compensation units Weighted-average exercise price of anti-dilutive stock options (1) $ $ $ $ (1) Certain stock options were outstanding but not included in the computation of diluted earnings per share because the weighted-average exercise prices were anti-dilutive. Certain performance-based RSUs were outstanding but not included in the computation of diluted earnings per share because the performance thresholds included in such RSUs have not been achieved. |
Loan Sales and Servicing Acti33
Loan Sales and Servicing Activities (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Loan Sales and Servicing Activities | |
Summary of cash flows between the Company and transferees upon sale of mortgage loans in transactions | Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Cash flows: Sales proceeds $ $ $ $ Servicing fees received (1) $ $ $ $ Net servicing advance recoveries $ $ $ $ (1) Net of guarantee fees paid to the Agencies. September 30, December 31, 2016 2015 (in thousands) Unpaid principal balance of mortgage loans outstanding at end of period $ $ Delinquencies: 30-89 days $ $ 90 days or more: Not in foreclosure $ $ In foreclosure or bankruptcy $ $ Foreclosed $ $ |
Summary of mortgage servicing portfolio | September 30, 2016 Contract Total Servicing servicing and mortgage rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities $ $ — $ Affiliated entities — Mortgage loans held for sale — $ $ $ Commercial real estate loans subserviced for the Company $ $ — $ Delinquent mortgage loans: 30 days $ $ $ 60 days 90 days or more: Not in foreclosure In foreclosure or bankruptcy Foreclosed $ $ $ Custodial funds managed by the Company (1) $ $ $ (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 placement fees on certain of the custodial funds it manages on behalf of the mortgage loans’ investors, which is included in Interest income in the Company’s consolidated statements of income. December 31, 2015 Contract Total Servicing servicing and mortgage rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities $ $ — $ Affiliated entities — Mortgage loans held for sale — $ $ $ Commercial real estate loans subserviced for the Company $ $ — $ Delinquent mortgage loans: 30 days $ $ $ 60 days 90 days or more: Not in foreclosure In foreclosure or bankruptcy Foreclosed $ $ $ Custodial funds managed by the Company (1) $ $ $ (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 placement fees on custodial funds it manages on behalf of the mortgage loans’ investors, which is included in Interest income in the Company’s consolidated statements of income. |
Summary of the geographical distribution of loans for the top five and all other states as measured by the total unpaid principal balance (UPB) | September 30, December 31, State 2016 2015 (in thousands) California $ $ Texas Virginia Florida Maryland All other states $ $ |
Netting of Financial Instrume34
Netting of Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Netting of Financial Instruments | |
Summaries of derivative assets and related netting amounts | September 30, 2016 December 31, 2015 Gross Gross amount Net amount Gross Gross amount Net amount amount of offset in the of assets in the amount of offset in the of assets in the recognized consolidated consolidated recognized consolidated consolidated assets balance sheet balance sheet assets balance sheet balance sheet (in thousands) Derivatives not subject to a master netting arrangement - Interest rate lock commitments $ $ — $ $ $ — $ Derivatives subject to a master netting arrangement: Forward purchase contracts — — Forward sale contracts — — Mortgage-backed security ("MBS") put options — — Put options on interest rate futures purchase contracts — — Call options on interest rate futures purchase contracts — — Netting — — $ $ $ $ $ $ |
Summary of the amount of derivative asset positions by significant counterparty after considering master netting arrangements and financial instruments or cash pledged | September 30, 2016 December 31, 2015 Gross amount not Gross amount not offset in the offset in the consolidated consolidated balance sheet balance sheet Net amount Net amount of assets in the Cash of assets in the Cash consolidated Financial collateral Net consolidated Financial collateral Net balance sheet instruments received amount balance sheet instruments received amount (in thousands) Interest rate lock commitments $ $ — $ — $ $ $ — $ — $ RJ O'Brien — — — — Barclays Capital — — — — JP Morgan — — — — — — Federal National Mortgage Association — — — — Citibank, N.A. — — — — — — Goldman Sachs — — — — Morgan Stanley Bank, N.A. — — — — — — Jefferies & Co. — — — — Wells Fargo Bank, N.A. — — — — — — Others — — — — $ $ — $ — $ $ $ — $ — $ |
Summary of net derivative liabilities and assets sold under agreements to repurchase and related netting amounts | September 30, 2016 December 31, 2015 Net Net amount amount Gross Gross amount of liabilities Gross Gross amount of liabilities amount of offset in the in the amount of offset in the in the recognized consolidated consolidated recognized consolidated consolidated liabilities balance sheet balance sheet liabilities balance sheet balance sheet (in thousands) Derivatives not subject to a master netting arrangement - IRLCs $ $ — $ $ $ — $ Derivatives subject to a master netting arrangement: Forward purchase contracts — — Forward sale contracts — — Put options on interest rate futures purchase contracts — — Call options on interest rate futures purchase contracts — — Netting — — Total derivatives Mortgage loans sold under agreements to repurchase: Amount outstanding — — Unamortized debt issuance costs — — — — $ $ $ $ $ $ |
Summary of amount of derivative liabilities and assets sold under agreements to repurchase by significant counterparty after considering master netting arrangements and financial instruments or cash pledged | September 30, 2016 December 31, 2015 Gross amounts Gross amounts not offset in the not offset in the Net amount consolidated Net amount consolidated of liabilities balance sheet of liabilities balance sheet in the Cash in the Cash consolidated Financial collateral Net consolidated Financial collateral Net balance sheet instruments pledged amount balance sheet instruments pledged amount (in thousands) Interest rate lock commitments $ $ — $ — $ $ $ — $ — $ Credit Suisse First Boston Mortgage Capital LLC — — Bank of America, N.A. — — Citibank, N.A. — — — Morgan Stanley Bank, N.A. — — — Barclays Capital — — — — — — JP Morgan Chase Bank, N.A. — — — — Wells Fargo Bank, N.A. — — — — — — Nomura Securities International, Inc. — — — — — — Raymond James & Associates — — — — — — Bank of Oklahoma — — — — BNP Paribas — — — — Bank of New York Mellon — — — — Others — — — — $ $ $ — $ $ $ $ — $ |
Fair Value (Tables)
Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Fair Value | |
Summary of financial statement items measured at estimated fair value on a recurring basis | September 30, 2016 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ $ — $ — $ Mortgage loans held for sale at fair value — Derivative assets: Interest rate lock commitments — — Forward purchase contracts — — Forward sales contracts — — MBS put options — — Put options on interest rate futures purchase contracts — — Call options on interest rate futures purchase contracts — — Total derivative assets before netting Netting — — — Total derivative assets Investment in PennyMac Mortgage Investment Trust — — Mortgage servicing rights at fair value — — $ $ $ $ Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ — $ $ Derivative liabilities: Interest rate lock commitments — — Forward purchase contracts — — Forward sales contracts — — Put options on interest rate futures purchase contracts — — Call options on interest rate futures purchase contracts — — Total derivative liabilities before netting Netting — — — Total derivative liabilities Mortgage servicing liabilities — — $ $ $ $ December 31, 2015 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ $ — $ — $ Mortgage loans held for sale at fair value — Derivative assets: Interest rate lock commitments — — Forward purchase contracts — — Forward sales contracts — — MBS put options — — Put options on interest rate futures purchase contracts — — Call options on interest rate futures purchase contracts — — Total derivative assets before netting Netting — — — Total derivative assets Investment in PennyMac Mortgage Investment Trust — — Mortgage servicing rights at fair value — — $ $ $ $ Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ — $ $ Derivative liabilities: Interest rate lock commitments — — Forward purchase contracts — — Forward sales contracts — — Put options on interest rate futures purchase contracts — — Call options on interest rate futures purchase contracts — — Total derivative liabilities before netting Netting — — — Total derivative liabilities Mortgage servicing liabilities — — $ $ $ $ |
Summary of roll forward of items measured using Level 3 inputs on a recurring basis | Quarter ended September 30, 2016 Mortgage Net interest Mortgage loans held rate lock servicing for sale commitments (1) rights Total (in thousands) Assets: Balance, June 30, 2016 $ $ $ $ Purchases — Sales — — Repayments — — Interest rate lock commitments issued, net — — Mortgage servicing rights resulting from mortgage loan sales — — Changes in fair value included in income arising from: Changes in instrument-specific credit risk — — Other factors — Transfers of mortgage loans held for sale from Level 3 to Level 2 (2) — — Transfers of interest rate lock commitments to mortgage loans held for sale — — Balance, September 30, 2016 $ $ $ $ Changes in fair value recognized during the period relating to assets still held at September 30, 2016 $ $ $ $ (1) For the purpose of this table, the IRLC asset and liability positions are shown net. (2) Mortgage loans held for sale are 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 found in the borrowers’ credit files. Quarter ended September 30, 2016 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance, June 30, 2016 $ $ $ Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust — Accrual of interest — Repayments — Mortgage servicing liabilities assumed — Mortgage servicing liabilities resulting from mortgage loan sales — Changes in fair value included in income Balance, September 30, 2016 $ $ $ Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2016 $ $ $ Quarter ended September 30, 2015 Mortgage Net interest Mortgage loans held rate lock servicing for sale commitments (1) rights Total (in thousands) Assets: Balance, June 30, 2015 $ $ $ $ Purchases — Sales — — Repayments — — Interest rate lock commitments issued, net — — Mortgage servicing rights resulting from mortgage loan sales — — Changes in fair value included in income arising from: Changes in instrument-specific credit risk — — — — Other factors Transfers of mortgage loans held for sale from Level 3 to Level 2 (2) — — Transfers of interest rate lock commitments to mortgage loans held for sale — — Balance, September 30, 2015 $ $ $ $ Changes in fair value recognized during the period relating to assets still held at September 30, 2015 $ $ $ $ (1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. (2) Mortgage loans held for sale are 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 found in the borrowers’ credit files. Quarter ended September 30, 2015 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance, June 30, 2015 $ $ $ Issuance of excess servicing spread financing: For cash — Pursuant to a recapture agreement with PennyMac Mortgage Investment Trust — Mortgage servicing liabilities resulting from mortgage loan sales — Accrual of interest — Repayments — Changes in fair value included in income Balance, September 30, 2015 $ $ $ Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2015 $ $ $ Nine months ended September 30, 2016 Mortgage Net interest Mortgage loans held rate lock servicing for sale commitments (1) rights Total (in thousands) Assets: Balance, December 31, 2015 $ $ $ $ Purchases — Sales — — Repayments — — Interest rate lock commitments issued, net — — Mortgage servicing rights resulting from mortgage loan sales — — Changes in fair value included in income arising from: Changes in instrument-specific credit risk — — Other factors — Transfers of mortgage loans held for sale from Level 3 to Level 2 (2) — — Transfers of interest rate lock commitments to mortgage loans held for sale — — Balance, September 30, 2016 $ $ $ $ Changes in fair value recognized during the period relating to assets still held at September 30, 2016 $ $ $ $ (1) For the purpose of this table, the IRLC asset and liability positions are shown net. (2) Mortgage loans held for sale are 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 found in the borrowers’ credit files. Nine months ended September 30, 2016 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance, December 31, 2015 $ $ $ Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust — Accrual of interest — Repurchase — Repayments — Mortgage servicing liabilities resulting from mortgage loan sales — Mortgage servicing liabilities assumed — Changes in fair value included in income Balance, September 30, 2016 $ $ $ Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2016 $ $ $ Nine months ended September 30, 2015 Mortgage Net interest Mortgage loans held rate lock servicing for sale commitments (1) rights Total (in thousands) Assets: Balance December 31, 2014 $ $ $ $ Purchases — Sales — — Repayments — — Interest rate lock commitments issued, net — — Mortgage servicing rights resulting from mortgage loan sales — — Changes in fair value included in income arising from: Changes in instrument-specific credit risk — — Other factors Transfers of mortgage loans held for sale from Level 3 to Level 2 (2) — — Transfers of interest rate lock commitments to mortgage loans held for sale — — Balance, September 30, 2015 $ $ $ $ Changes in fair value recognized during the period relating to assets still held at September 30, 2015 $ $ $ $ (1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. (2) Mortgage loans held for sale are 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 found in the borrowers’ credit files. Nine months ended September 30, 2015 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance December 31, 2014 $ $ $ Issuance of excess servicing spread financing: For cash — Pursuant to a recapture agreement with PennyMac Mortgage Investment Trust — Mortgage servicing liabilities resulting from mortgage loan sales — Accrual of interest — Repayments — Changes in fair value included in income Balance, September 30, 2015 $ $ $ Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2015 $ $ $ |
Summary of net gains (losses) from changes in fair values included in earnings for financial statement items carried at fair value | Quarter ended September 30, 2016 2015 Net gains on Net gains on mortgage Net mortgage mortgage Net mortgage loans held loan loans held 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 $ $ — $ $ $ — $ Mortgage servicing rights at fair value — — $ $ $ $ $ $ Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ $ $ — $ $ Mortgage servicing liabilities at fair value — — $ — $ $ $ — $ $ Nine months ended September 30, 2016 2015 Net gains on Net Net gains on Net mortgage mortgage mortgage mortgage loans held loan loans held 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 $ $ — $ $ $ — $ Mortgage servicing rights at fair value — — $ $ $ $ $ $ Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ $ $ — $ $ Mortgage servicing liabilities at fair value — — $ — $ $ $ — $ $ |
Schedule of fair value and related principal amounts due upon maturity of assets and liabilities accounted for under the fair value option | September 30, 2016 Principal amount Fair due upon value maturity Difference (in thousands) Mortgage loans held for sale: Current through 89 days delinquent $ $ $ 90 days or more delinquent: Not in foreclosure In foreclosure $ $ $ December 31, 2015 Principal amount Fair due upon value maturity Difference (in thousands) Mortgage loans held for sale: Current through 89 days delinquent $ $ $ 90 days or more delinquent: Not in foreclosure In foreclosure $ $ $ |
Summary of financial statement items measured at estimated fair value on a nonrecurring basis | September 30, 2016 Level 1 Level 2 Level 3 Total (in thousands) Mortgage servicing rights at lower of amortized cost or fair value $ — $ — $ $ Real estate acquired in settlement of loans — — $ — $ — $ $ December 31, 2015 Level 1 Level 2 Level 3 Total (in thousands) Mortgage servicing rights at lower of amortized cost or fair value $ — $ — $ $ $ — $ — $ $ |
Summary of total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Mortgage servicing rights at lower of amortized cost or fair value $ $ $ $ Real estate acquired in settlement of loans — — — $ $ $ $ |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items, excluding MSR purchases | Quarter ended September 30, 2016 2015 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 $3,913 $146,448 $6,989 $154,707 Unpaid principal balance of underlying mortgage loans $340,562 $12,313,082 $550,073 $11,369,493 Weighted average servicing fee rate (in basis points) 33 29 32 34 Key inputs: Pricing spread (1) Range 7.6% – 10.5% 7.6% – 14.4% 7.0% – 14.4% 6.8% – 16.2% Weighted average 9.3% 9.5% 8.9% 9.1% Annual total prepayment speed (2) Range 5.0% – 42.8% 3.4% – 42.9% 7.7% – 52.3% 7.5% – 35.0% Weighted average 12.4% 9.7% 11.9% 9.2% Life (in years) Range 1.7 – 10.8 1.7 – 12.2 1.4 – 7.5 1.9 – 9.1 Weighted average 6.5 7.6 6.5 7.0 Per-loan annual cost of servicing Range $78 – $103 $78 – $102 $59 – $101 $59 – $95 Weighted average $92 $91 $75 $78 (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. (2) Prepayment speed is measured using Life Total CPR. Nine months ended September 30, 2016 2015 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 $13,201 $370,414 $13,107 $347,549 Unpaid principal balance of underlying mortgage loans $1,108,802 $29,667,803 $1,072,203 $25,268,602 Weighted average servicing fee rate (in basis points) 33 30 32 35 Key inputs: Pricing spread (1) Range 7.2% – 10.5% 7.2% – 14.4% 7.0% – 14.4% 6.8% – 16.2% Weighted average 8.9% 9.2% 9.4% 9.2% Annual total prepayment speed (2) Range 3.3% – 52.3% 3.4% – 50.9% 7.7% – 62.4% 7.5% – 39.4% Weighted average 12.6% 10.0% 11.6% 8.8% Life (in years) Range 1.3 – 11.8 1.3 – 12.2 1.1 – 7.5 1.8 – 9.1 Weighted average 6.5 7.5 6.5 7.0 Per-loan annual cost of servicing Range $68 – $105 $68 – $106 $59 – $101 $59 – $95 Weighted average $87 $88 $75 $76 (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. (2) Prepayment speed is measured using Life Total CPR. |
Quantitative summary of key inputs used in the valuation of the MSRs at year end and the effect on estimated fair value from adverse changes in those inputs | September 30, 2016 December 31, 2015 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 $ $ $ $ Unpaid principal balance of underlying mortgage loans $ $ $ $ Weighted average note interest rate 4.1% 3.8% 4.1% 3.8% Weighted average servicing fee rate (in basis points) 32 31 32 32 Key inputs: Pricing spread (1) Range 7.6% – 14.4% 7.6% – 14.4% 7.2% – 14.1% 7.2% – 12.8% Weighted average 9.7% 10.2% 8.9% 8.9% Effect on fair value of (2): 5% adverse change $ $ $ $ 10% adverse change $ $ $ $ 20% adverse change $ $ $ $ Average life (in years) Range 2.1 – 8.9 1.5 – 9.3 1.9 – 9.0 1.8 – 9.1 Weighted average 6.0 6.5 6.9 7.4 Prepayment speed (3) Range 6.7% – 26.5% 6.7% – 46.7% 5.3% – 43.8% 5.7% – 46.7% Weighted average 12.3% 12.1% 9.7% 9.5% Effect on fair value of (2): 5% adverse change $ $ $ $ 10% adverse change $ $ $ $ 20% adverse change $ $ $ $ Annual per-loan cost of servicing Range $78 – $102 $79 – $102 $68 – $97 $68 – $95 Weighted average $93 $92 $86 $84 Effect on fair value of (2): 5% adverse change $ $ $ $ 10% adverse change $ $ $ $ 20% adverse change $ $ $ $ (1) The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs. (2) For MSRs carried at fair value, an adverse change in one of the above-mentioned key inputs is expected to result in a reduction in fair value which will be recognized in income. For MSRs carried at lower of amortized cost or fair value, 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. (3) Prepayment speed is measured using Life Total CPR. |
Schedule of key inputs used in determining the fair value of ESS financing | September 30, December 31, 2016 2015 Carrying value (in thousands) $280,367 $412,425 ESS and pool characteristics: Unpaid principal balance of underlying mortgage loans (in thousands) $34,189,425 $51,966,405 Average servicing fee rate (in basis points) 34 32 Average excess servicing spread (in basis points) 19 17 Key inputs: Pricing spread (1) Range 4.7% – 5.9% 4.8% – 6.5% Weighted average 5.5% 5.7% Average life (in years) Range 2.2 – 8.9 1.4 – 9.0 Weighted average 6.2 6.9 Annualized prepayment speed (2) Range 6.7% – 23.3% 5.2% – 52.4% Weighted average 12.2% 9.6% (1) (2) |
Interest rate lock commitments | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | Key inputs September 30, 2016 December 31, 2015 Pull-through rate Range 35.0% – 100.0% 54.1% – 100.0% Weighted average 83.7% 90.1% Mortgage servicing rights value expressed as: Servicing fee multiple Range 1.2 – 5.5 1.0 – 5.8 Weighted average 4.2 4.4 Percentage of unpaid principal balance Range 0.2% – 2.7% 0.2% – 3.8% Weighted average 1.2% 1.5% |
Mortgage loans held for sale | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | Key inputs September 30, 2016 December 31, 2015 Discount rate Range 2.5% – 8.1% 2.5% – 9.1% Weighted average 3.1% 2.8% Twelve-month projected housing price index change Range 2.8% – 5.2% 1.8% – 5.0% Weighted average 4.5% 3.7% Voluntary prepayment / resale speed (1) Range 0.1% – 25.8% 0.6% – 20.1% Weighted average 20.8% 16.6% Total prepayment speed (2) Range 0.1% – 41.3% 0.7% – 37.6% Weighted average 33.1% 30.9% (1) Voluntary prepayment/resale speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”). (2) |
Mortgage Loans Held for Sale 36
Mortgage Loans Held for Sale at Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Mortgage Loans Held for Sale at Fair Value | |
Summary of mortgage loans held for sale at fair value | September 30, December 31, 2016 2015 (in thousands) Government-insured or guaranteed $ $ Conventional conforming Delinquent mortgage loans purchased from Ginnie Mae pools serviced by the Company Mortgage loans repurchased pursuant to representations and warranties $ $ Fair value of mortgage loans pledged to secure: Assets sold under agreements to repurchase $ $ Mortgage loan participation and sale agreement $ $ |
Derivative Financial Instrume37
Derivative Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Derivative Financial Instruments | |
Summary of derivative financial instruments | September 30, 2016 December 31, 2015 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: Interest rate lock commitments $ $ $ $ Forward purchase contracts Forward sales contracts MBS put options — — Put options on interest rate futures purchase contracts Call options on interest rate futures purchase contracts Treasury futures purchase contracts — — — — — Total derivatives before netting Netting $ $ $ $ Deposits received from derivative counterparties, net $ $ |
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 September 30, 2016 Balance Balance beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts Forward sale contracts MBS put options Put options on interest rate futures purchase contracts Call options on interest rate futures purchase contracts Treasury futures purchase contracts — Treasury futures sale contracts — — Quarter ended September 30, 2015 Balance Balance beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts Forward sale contracts MBS put options MBS call options — — Put options on interest rate futures purchase contracts Call options on interest rate futures purchase contracts Nine months ended September 30, 2016 Balance Balance beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts Forward sale contracts MBS put options Put options on interest rate futures purchase contracts Call options on interest rate futures purchase contracts Treasury futures purchase contracts — Treasury futures sale contracts — — Nine months ended September 30, 2015 Balance Balance beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts Forward sale contracts MBS put options MBS call options — — Put options on interest rate futures purchase contracts Call options on interest rate futures purchase contracts Put options on interest rate futures sale contracts — Call options on interest rate futures sales contracts — — |
Summary of gains (losses) recognized on derivative financial instruments and the respective income statement line items | Quarter ended September 30, Nine months ended September 30, Hedged item Income statement line 2016 2015 2016 2015 (in thousands) Interest rate lock commitments and mortgage loans held for sale Net gains on mortgage loans held for sale $ $ $ $ Mortgage servicing rights Net mortgage loan servicing fees $ $ $ $ |
Mortgage Servicing Rights (Tabl
Mortgage Servicing Rights (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Mortgage Servicing Rights | |
Schedule of activity in MSRs carried at fair value | Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Balance at beginning of period $ $ $ $ Additions: Purchases Mortgage servicing rights resulting from mortgage loan sales Change in fair value due to: Changes in valuation inputs used in valuation model (1) Other changes in fair value (2) Total change in fair value Balance at end of period $ $ $ $ September 30, December 31, 2016 2015 Fair value of mortgage servicing rights pledged to secure: Assets sold under agreements to repurchase $ $ Note payable $ $ (1) Principally reflects changes in discount rates and prepayment speed inputs, primarily due to changes in market interest rates. (2) Represents changes due to realization of cash flows. |
Schedule of activity in MSRs carried at lower of amortized cost or fair value | Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Amortized cost: Balance at beginning of period $ $ $ $ Mortgage servicing rights resulting from mortgage loan sales Amortization Application of valuation allowance to write down mortgage servicing rights with other-than-temporary-impairment — — Balance at end of period Valuation allowance: Balance at beginning of period Additions Application of valuation allowance to write down mortgage servicing rights with other-than-temporary-impairment — — Balance at end of period Mortgage servicing rights, net $ $ $ $ Fair value of mortgage servicing rights at beginning of period $ $ $ $ Fair value of mortgage servicing rights at end of period $ $ September 30, December 31, 2016 2015 Fair value of mortgage servicing rights pledged to secure: Assets sold under agreements to repurchase $ $ Note payable — $ $ |
Summary of estimate of future amortization of existing MSRs | Estimated MSR Twelve month period ending September 30, amortization (in thousands) 2017 $ 2018 2019 2020 2021 Thereafter $ |
Summary of servicing fees, late fees and ancillary and other fees relating to MSRs recorded on the consolidated statements of income | Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Contractual servicing fees $ $ $ $ Ancillary and other fees: Late charges Other $ $ $ $ |
Schedule of activity in mortgage servicing liability carried at fair value | Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Balance at beginning of period $ $ $ $ Mortgage servicing liabilities assumed — — Mortgage servicing liabilities resulting from mortgage loan sales Change in fair value Balance at end of period $ $ $ $ |
Carried Interest Due from Inv39
Carried Interest Due from Investment Funds (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Carried Interest Due from Investment Funds | |
Summary of activity in the Company's Carried interest due from Investment Funds | Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Balance at beginning of period $ $ $ $ Carried Interest recognized during the period Proceeds received during the period — — — — Balance at end of period $ $ $ $ |
Borrowings (Tables)
Borrowings (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Borrowings | |
Summary of financial data pertaining to mortgage loans sold under agreements to repurchase | Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ $ $ $ Weighted average interest rate (1) % % % % Total interest expense $ $ $ $ Maximum daily amount outstanding $ $ $ $ September 30, December 31, 2016 2015 (dollars in thousands) Carrying value: Unpaid principal balance $ $ Unamortized debt issuance costs $ $ Unused amount (2) $ $ Fair value of assets securing repurchase agreements Mortgage loans held for sale $ $ Mortgage servicing rights $ $ Weighted average interest rate % % Margin deposits placed with counterparties (3) $ $ (1) Excludes the effect of amortization of commitment fees totaling $1.8 million and $1.1 million for the quarters ended September 30, 2016 and 2015, respectively, and $5.4 million and $3.1 million for the nine months ended September 30, 2016 and 2015, respectively. (2) The amount the Company is able to borrow under asset repurchase agreements is tied to the fair value of unencumbered assets eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the assets sold. (3) Margin deposits are included in Other assets on the Company’s consolidated balance sheet. |
Summary of maturities of outstanding advances under repurchase agreements by maturity date | Remaining maturity at September 30, 2016 Balance (dollars in thousands) Within 30 days $ Over 30 to 90 days Over 90 days Unamortized debt issuance costs Total loans sold under agreements to repurchase $ Weighted average maturity (in months) |
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 $ December 26, 2016 December 26, 2016 Credit Suisse First Boston Mortgage Capital LLC $ December 7, 2016 March 30, 2017 Banc of America, N.A. $ December 18, 2016 March 29, 2017 JP Morgan Chase Bank, N.A. $ December 24, 2016 August 18, 2017 Morgan Stanley Bank, N.A. $ November 18, 2016 August 25, 2017 Citibank, N.A. $ November 6, 2016 December 2, 2016 Barclays Bank PLC $ December 2, 2016 December 2, 2016 |
Summary of mortgage loan participations | Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (dollars in thousands) Average balance $ $ $ $ Weighted average interest rate (1) % % % % Total interest expense $ $ $ $ Maximum daily amount outstanding $ $ $ $ September 30, December 31, 2016 2015 (dollars in thousands) Carrying value: Unpaid principal balance $ $ Unamortized debt issuance costs $ $ Weighted average interest rate % % Fair value of mortgage loans pledged to secure mortgage loan participation and sale agreement $ $ Excludes the effect of amortization of facility fees totaling $250,000 and $74,000 for the quarters ended September 30, 2016 and 2015, respectively, and $435,000 and $276,000 for the nine months ended September 30, 2016 and 2015, respectively. |
Summary of note payable | Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (dollars in thousands) Average balance $ $ $ $ Weighted average interest rate (1) % % % % Total interest expense $ $ $ $ Maximum daily amount outstanding $ $ $ $ September 30, December 31, 2016 2015 (in thousands) Carrying value: Unpaid principal balance $ $ Unamortized debt issuance costs $ $ Unused amount $ $ Assets pledged to secure notes payable: Mortgage servicing rights $ $ Cash $ $ Carried Interest $ $ (1) Excluding the effect of amortization of debt issuance costs totaling $ 760,000 and $2.1 million during the quarter and nine months ended September 30, 2016. |
Summary of obligations under capital lease | Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (dollars in thousands) Average balance $ $ — $ $ — Weighted average interest rate % — % % — % Total interest expense $ $ — $ $ — Maximum daily amount outstanding $ $ — $ $ — September 30, December 31, 2016 2015 (in thousands) Unpaid principal balance $ $ Assets pledged to secure obligations under capital lease: Furniture, fixtures and equipment $ $ Capitalized software $ $ |
Summary of roll forward of Excess Servicing Spread Financing | Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Balance at beginning of period $ $ $ $ Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: For cash — — Pursuant to a recapture agreement with PennyMac Mortgage Investment Trust Accrual of interest Repayment Repurchase (1) — — — Change in fair value Balance at end of period $ $ $ $ On February 29, 2016, the Company and PMT terminated that certain master spread acquisition and MSR servicing agreement that the parties entered into effective February 1, 2013 (the “2/1/13 Spread Acquisition Agreement”) and all amendments thereto. In connection with the termination of the 2/1/13 Spread Acquisition Agreement, the Company reacquired from PMT all of its right, title and interest in and to all of the Fannie Mae ESS previously sold by the Company to PMT under the 2/1/13 Spread Acquisition Agreement and then subject to such 2/1/13 Spread Acquisition Agreement. On February 29, 2016, the Company also reacquired from PMT all of its right, title and interest in and to all of the Freddie Mac ESS previously sold to PMT by the Company. |
Liability for Losses Under Re41
Liability for Losses Under Representations and Warranties (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Liability for Losses Under Representations and Warranties | |
Summary of repurchase activity | Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Balance at beginning of period $ $ $ $ Provision for losses on mortgage loans sold: Resulting from sales of mortgage loans Reduction in liability due to change in estimate — — Incurred losses Balance at end of period $ $ $ $ Unpaid principal balance of mortgage loans subject to representations and warranties at period end $ $ |
Noncontrolling Interest (Tables
Noncontrolling Interest (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Noncontrolling Interest. | |
Noncontrolling Interest | Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Net income attributable to PennyMac Financial Services, Inc. common stockholders $ $ $ $ Increase in the Company's additional paid-in capital for exchanges of Class A units of Private National Mortgage Acceptance Company, LLC to Class A common stock of PennyMac Financial Services, Inc. $ $ $ $ Shares of Class A common stock of PennyMac Financial Services, Inc. issued pursuant to exchange of Class A units of Private National Mortgage Acceptance Company, LLC September 30, December 31, 2016 2015 Percentage of noncontrolling interest in Private National Mortgage Acceptance Company, LLC % % |
Net Gains on Mortgage Loans H43
Net Gains on Mortgage Loans Held for Sale (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Net Gains on Mortgage Loans Held for Sale | |
Net Gains on Mortgage Loans Held for Sale | Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) From non-affiliates: Cash gain(loss) : Mortgage loans $ $ $ $ Hedging activities Non-cash gain: Mortgage servicing rights and mortgage servicing liabilities resulting from mortgage loan sales, net Provision for losses relating to representations and warranties: Pursuant to mortgage loan sales Reduction in liability due to change in estimate — — Change in fair value relating to mortgage loans and hedging derivatives held at period end: Interest rate lock commitments Mortgage loans Hedging derivatives Recapture payable to PennyMac Mortgage Investment Trust $ $ $ $ |
Net Interest Expense (Tables)
Net Interest Expense (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Net Interest Expense | |
Summary of net interest income (expense) | Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Interest income: From non-affiliates: Short-term investments $ $ $ $ Mortgage loans held for sale at fair value Placement fees relating to custodial funds From PennyMac Mortgage Investment Trust—Note receivable Interest expense: To non-affiliates: Assets sold under agreements to repurchase Mortgage loan participation and sale agreement Notes payable Obligations under capital lease — — Interest shortfall on repayments of mortgage loans serviced for Agency securitizations Interest on mortgage loan impound deposits To PennyMac Mortgage Investment Trust—Excess servicing spread financing at fair value $ $ $ $ |
Stock-based Compensation (Table
Stock-based Compensation (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Stock-based Compensation | |
Summary of the stock-based compensation expense by instrument awarded | Quarter ended September 30, Nine months ended September 30, 2016 2015 2016 2015 (in thousands) Performance-based RSUs $ $ $ $ Stock options Time-based RSUs Exchangeable PNMAC units $ $ $ $ |
Summary of equity awards | Quarter ended September 30, 2016 Performance- Stock Time-based Exchangeable based RSUs options RSUs PNMAC units (in thousands) June 30, 2016 Granted — — Vested — — Exercised — — — Forfeited or canceled — September 30, 2016 Quarter ended September 30, 2015 Performance- Stock Time-based Exchangeable based RSUs options RSUs PNMAC units (in thousands) June 30, 2015 Granted — — — Vested — — — Exercised — — — Forfeited or canceled — September 30, 2015 Nine months ended September 30, 2016 Performance- Stock Time-based Exchangeable based RSUs options RSUs PNMAC units (in thousands) December 31, 2015 Granted Vested — — Exercised — — — Forfeited or canceled — September 30, 2016 Nine months ended September 30, 2015 Performance- Stock Time-based Exchangeable based RSUs options RSUs PNMAC units (in thousands) December 31, 2014 Granted Vested — — Exercised — — — — Forfeited or canceled — September 30, 2015 |
Supplemental Cash Flow Inform46
Supplemental Cash Flow Information (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Supplemental Cash Flow Information | |
Schedule of supplemental cash flow information | Nine months ended September 30, 2016 2015 (in thousands) Cash paid for interest $ $ Cash paid for income taxes $ $ Non-cash investing activity: Mortgage servicing rights resulting from mortgage loan sales $ $ Mortgage servicing liabilities resulting from mortgage loan sales $ $ Non-cash financing activity: Transfer of excess servicing spread to PennyMac Mortgage Investment Trust pursuant to a recapture agreement $ $ Issuance of common stock in settlement of director fees $ $ |
Regulatory Net Worth and Agen47
Regulatory Net Worth and Agency Capital Requirements (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Regulatory Net Worth and Agency Capital Requirements | |
Summary of agencies' capital and liquidity requirements by each agency | September 30, 2016 December 31, 2015 Agency–company subject to requirement Balance (1) Requirement Balance (1) Requirement (in thousands) Capital Fannie Mae & Freddie Mac - PLS $ $ $ $ Ginnie Mae - PLS $ $ $ $ Ginnie Mae - PennyMac $ $ $ $ HUD - PLS $ $ $ $ Liquidity Fannie Mae & Freddie Mac - PLS $ $ $ $ Ginnie Mae - PLS $ $ $ $ (1) Calculated in accordance with the respective Agency’s capital and liquidity requirements. |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Commitment and Contingencies. | |
Schedule of commitments to fund and sell mortgage loans | September 30, 2016 (in thousands) Commitments to purchase mortgage loans from PennyMac Mortgage Investment Trust $ Commitments to fund mortgage loans $ |
Segments and Related Informat49
Segments and Related Information (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Segments and Related Information | |
Summary of financial highlights by segment | Quarter ended September 30, 2016 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on mortgage loans held for sale at fair value $ $ $ $ — $ Mortgage loan origination fees — — Fulfillment fees from PennyMac Mortgage Investment Trust — — Net mortgage loan servicing fees — — Management fees — — — Carried Interest from Investment Funds — — — Net interest income (expense): Interest income — Interest expense Other — Total net revenue Expenses Income (loss) before provision for income taxes and non-segment activities Non-segment activities — — — — — Income (loss) before provision for income taxes $ $ $ $ $ Segment assets at period end (2) $ $ $ $ $ (1) All revenues are from external customers. (2) Excludes parent Company assets, which consist primarily of working capital of $6.9 million. Quarter ended September 30, 2015 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on mortgage loans held for sale at fair value $ $ $ $ — $ Mortgage loan origination fees — — Fulfillment fees from PennyMac Mortgage Investment Trust — — Net mortgage loan servicing fees — — Management fees — — — Carried Interest from Investment Funds — — — Net interest income (expense): Interest income — Interest expense — — Other Total net revenue Expenses Income (loss) before provision for income taxes Non-segment activities (2) — — — — Income (loss) before provision for income taxes $ $ $ $ $ Segment assets at period end (3) $ $ $ $ $ (1) All revenues are from external customers (2) Relates to parent Company interest expense eliminated in consolidation. (3) Deferred tax asset of $25.9 million. Nine months ended September 30, 2016 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains (losses) on mortgage loans held for sale at fair value $ $ $ $ — $ Loan origination fees — — Fulfillment fees from PennyMac Mortgage Investment Trust — — Net servicing fees — — Management fees — — — Carried Interest from Investment Funds — — — Net interest income (expense): Interest income Interest expense Other Total net revenue Expenses Income (loss) before provision for income taxes and non-segment activities Non-segment activities (2) — — — — Income (loss) before provision for income taxes $ $ $ $ $ Segment assets at period end (3) $ $ $ $ $ (1) All revenues are from external customers (2) Relates to parent Company interest expense eliminated in consolidation. (3) Excludes parent Company assets, which consist primarily of working capital of $6.9 million. Nine months ended September 30, 2015 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on mortgage loans held for sale at fair value $ $ $ $ — $ Loan origination fees — — Fulfillment fees from PennyMac Mortgage Investment Trust — — Net servicing fees — — Management fees — — — Carried Interest from Investment Funds — — — Net interest income (expense): Interest income — Interest expense — — Other Total net revenue Expenses Income (loss) before provision for income taxes and non-segment activities Non-segment activities (2) — — — — Income (loss) before provision for income taxes $ $ $ $ $ Segment assets at period end (3) $ $ $ $ $ (1) All revenues are from external customers (2) Relates to parent Company interest expense eliminated in consolidation. Excludes parent Company assets, which consist primarily of Deferred tax asset of $25.9 million. |
Concentration of Risk (Details)
Concentration of Risk (Details) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Sales Revenue, Services, Net [Member] | Customer Concentration Risk [Member] | ||||
Concentration of Risk | ||||
Percentage of total net revenue | 15.00% | 20.00% | 22.00% | 18.00% |
Transactions with Affiliates -
Transactions with Affiliates - Correspondent Production (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Lending activity between the entity and affiliate | ||||
Unpaid principal balance of loans fulfilled for PennyMac Mortgage Investment Trust | $ 7,263,557 | $ 4,073,201 | $ 15,696,940 | $ 10,542,411 |
Unpaid principal balance of loans purchased from PennyMac Mortgage Investment Trust | 11,694,065 | 10,783,882 | 27,599,186 | 23,602,020 |
Proceeds from sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust | 182,121 | 82,646 | 403,848 | 241,979 |
PMT | ||||
Lending activity between the entity and affiliate | ||||
Fulfillment fee revenue | 27,255 | 17,553 | 59,301 | 45,752 |
PMT | Mortgage Lending | ||||
Lending activity between the entity and affiliate | ||||
Mortgage servicing rights and excess servicing spread recapture incurred | 1,690 | 3,098 | 5,557 | 5,843 |
Fulfillment fee revenue | 27,255 | 17,553 | 59,301 | 45,752 |
Sourcing fees paid | 3,509 | 3,236 | 8,282 | 7,084 |
Proceeds from sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust | 5,007 | 1,047 | 13,146 | 11,875 |
Tax service fee | 2,006 | $ 1,291 | 4,537 | $ 3,293 |
Early purchase program fees earned from PMT | $ 5 | $ 7 |
Transactions with Affiliates 52
Transactions with Affiliates - Mortgage Loan Servicing (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Summary of mortgage loan servicing fees earned | ||||
Loan servicing fees | $ 11,039 | $ 11,736 | $ 38,919 | $ 34,542 |
PMT | Mortgage loans acquired for sale at fair value | ||||
Summary of mortgage loan servicing fees earned | ||||
Base and supplemental | 90 | 130 | 225 | 198 |
Activity-based | 210 | 153 | 497 | 243 |
Loan servicing fees | 300 | 283 | 722 | 441 |
PMT | Mortgage loans at fair value | ||||
Summary of mortgage loan servicing fees earned | ||||
Base and supplemental | 2,615 | 3,930 | 8,881 | 12,145 |
Activity-based | 3,014 | 2,961 | 14,981 | 8,948 |
Loan servicing fees | 5,629 | 6,891 | 23,862 | 21,093 |
PMT | Mortgage servicing rights | ||||
Summary of mortgage loan servicing fees earned | ||||
Base and supplemental | 4,978 | 4,473 | 13,999 | 12,783 |
Activity-based | 132 | 89 | 336 | 225 |
Loan servicing fees | $ 5,110 | $ 4,562 | $ 14,335 | $ 13,008 |
Transactions with Affiliates 53
Transactions with Affiliates - Management Fees (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016USD ($) | Sep. 30, 2015USD ($) | Sep. 30, 2016USD ($)item | Sep. 30, 2015USD ($) | |
Management Fees Revenue [Abstract] | ||||
Management fees | $ 5,521 | $ 6,456 | $ 17,163 | $ 21,908 |
Maximum | ||||
Transactions with Affiliates | ||||
Percentage of performance incentive fee payable by issuance of common shares | 50.00% | |||
PMT | ||||
Management Fees Revenue [Abstract] | ||||
Management fees | 5,025 | 5,742 | $ 15,576 | 18,524 |
PMT | Management Agreement | ||||
Management Fees Revenue [Abstract] | ||||
Base management fee | 5,025 | 5,742 | 15,576 | 17,181 |
Performance incentive | 1,343 | |||
Management fees | $ 5,025 | $ 5,742 | $ 15,576 | $ 18,524 |
Automatic renewal additional period | 18 months | |||
Period for calculating average annual fees | 24 months | |||
Multiplier for calculating the termination fee | item | 3 |
Transactions with Affiliates 54
Transactions with Affiliates - Investing and Financing Activities (Details) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
Investing activities: | |||||
Advance on note receivable from PennyMac Mortgage Investment Trust | $ 168,546 | ||||
Repayment of note receivable from PennyMac Mortgage Investment Trust | 18,546 | ||||
Financing activities: | |||||
Issuance: Cash | 271,452 | ||||
Issuance: Pursuant to recapture agreement | $ 5,039 | 4,833 | |||
Interest expense from excess servicing spread financing | 17,555 | 17,596 | |||
PMT | |||||
Investing activities: | |||||
Interest income on note receivable from PennyMac Mortgage Investment Trust | $ 1,974 | $ 1,289 | 5,798 | 1,822 | |
Activity during the period: | |||||
Dividends received and change in fair value | (13) | (158) | 130 | (295) | |
Note receivable from PennyMac Mortgage Investment Trust | 150,000 | 150,000 | $ 150,000 | ||
Fair value of PennyMac Mortgage Investment Trust shares | 1,169 | 1,169 | 1,145 | ||
PMT | Investing and Financing Activity | |||||
Investing activities: | |||||
Interest income on note receivable from PennyMac Mortgage Investment Trust | 1,974 | 1,289 | 5,798 | 1,822 | |
Activity during the period: | |||||
Dividends received and change in fair value | (13) | (158) | 130 | (295) | |
Note receivable from PennyMac Mortgage Investment Trust | 150,000 | 150,000 | 150,000 | ||
Fair value of PennyMac Mortgage Investment Trust shares | $ 1,169 | $ 1,169 | $ 1,145 | ||
Number of shares | 75 | 75 | 75 | ||
Excess servicing spread financing | PMT | Investing and Financing Activity | |||||
Financing activities: | |||||
Issuance: Cash | 84,165 | 271,452 | |||
Issuance: Pursuant to recapture agreement | $ 1,438 | 2,268 | $ 5,039 | 4,833 | |
Repayments of excess servicing spread | (16,342) | (24,717) | (54,623) | (55,800) | |
Repurchases | (59,045) | ||||
Changes in fair value included in income | (4,107) | (10,271) | (40,984) | (10,674) | |
Interest expense from excess servicing spread financing | 4,827 | 8,026 | 17,555 | 17,596 | |
Excess servicing spread recapture recognized | $ 1,283 | $ 2,428 | $ 4,709 | $ 5,173 |
Transactions with Affiliates 55
Transactions with Affiliates - Investing and Financing Activities - additional information (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
PMT | ||
Note Receivable | ||
Note receivable, related party | $ 150,000 | $ 150,000 |
Transactions with Affiliates 56
Transactions with Affiliates - Other transactions, Conditional Reimbursement (Details) - PMT - Conditional Reimbursement - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Aug. 04, 2009 | |
Conditional reimbursement | ||||
Payments received | $ 7,000 | $ 0 | $ 237,000 | |
Maximum | ||||
Conditional reimbursement | ||||
Conditional reimbursement | $ 2,900,000 |
Transactions with Affiliates 57
Transactions with Affiliates - Other Transactions, Reimbursement of Common Overhead Expenses (Details) - PMT - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Reimbursement of common overhead and expenses incurred on behalf of affiliates | ||||
Reimbursement of common overhead and expenses incurred by the Company | $ 1,430 | $ 2,609 | $ 6,311 | $ 8,502 |
Payments and settlements during the period | 45,988 | 17,709 | 102,600 | 64,575 |
Common overhead incurred | ||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | ||||
Reimbursement of common overhead and expenses incurred by the Company | 1,417 | 2,694 | 6,413 | 8,125 |
Expenses incurred | ||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | ||||
Reimbursement of common overhead and expenses incurred by the Company | $ 13 | $ (85) | $ (102) | $ 377 |
Transactions with Affiliates 58
Transactions with Affiliates - Amounts due from Affilate (Details) - PMT - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Amounts due from affiliate | ||
Management fees | $ 5,025 | $ 5,670 |
Servicing fees | 3,641 | 3,682 |
Allocated expenses | 3,227 | 4,490 |
Fulfillment fees | 926 | 1,082 |
Conditional Reimbursement | 900 | 900 |
Interest on note receivable | 536 | 412 |
Correspondent production fees | 492 | 2,729 |
Total due from affiliate | 14,747 | 18,965 |
Payable to affiliate | ||
Deposits made by PMT | 159,488 | 153,573 |
MSR recapture payable to PMT | 450 | 781 |
Other expenses | 5,326 | 8,025 |
Total payable | $ 165,264 | $ 162,379 |
Transactions with Affiliates 59
Transactions with Affiliates - Amounts due from Investment Funds (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Dec. 31, 2014 |
Investment Funds | ||||||
Amounts due from affiliate | ||||||
Carried Interest from Investment Funds | $ 70,870 | $ 70,763 | $ 69,926 | $ 70,196 | $ 68,713 | $ 67,298 |
Management fees | 503 | 655 | ||||
Expense reimbursements | 429 | 45 | ||||
Loan servicing fees | 425 | 392 | ||||
Loan servicing rebate | 239 | 224 | ||||
Total due from affiliate | 1,596 | 1,316 | ||||
Due to Affiliate | 27,265 | 30,429 | ||||
PNMAC Mortgage Opportunity Fund, LLC | ||||||
Amounts due from affiliate | ||||||
Carried Interest from Investment Funds | 42,357 | 41,893 | ||||
PNMAC Mortgage Opportunity Fund Investors, LLC | ||||||
Amounts due from affiliate | ||||||
Carried Interest from Investment Funds | $ 28,513 | $ 28,033 |
Transactions with Affiliates 60
Transactions with Affiliates - Exchanged Private National Mortgage Acceptance Company, LLC Unitholders (Details) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Dec. 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 | $ 75,400 | $ 74,300 | |
Payment of liability to exchange PNMAC unit holders under tax receivable agreement | $ 0 | $ 4,299 |
Earnings Per Share of Common 61
Earnings Per Share of Common Stock (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Basic earnings per share of common stock: | ||||
Net income attributable to PennyMac Financial Services, Inc common stockholders | $ 23,685 | $ 12,680 | $ 43,335 | $ 34,457 |
Weighted-average common stock outstanding | 22,217 | 21,810 | 22,101 | 21,702 |
Basic earnings per share of common stock (in dollars per share) | $ 1.07 | $ 0.58 | $ 1.96 | $ 1.59 |
Diluted earnings per share of common stock: | ||||
Net income attributable to PennyMac Financial Services, Inc common stockholders | $ 23,685 | $ 12,680 | $ 43,335 | $ 34,457 |
Effect of net income attributable to noncontrolling interest, net of tax | 57,444 | 31,418 | 105,480 | 86,012 |
Diluted net income attributable to common stockholders | $ 81,129 | $ 44,098 | $ 148,815 | $ 120,469 |
Weighted-average common stock outstanding | 22,217 | 21,810 | 22,101 | 21,702 |
Dilutive shares: | ||||
PennyMac Class A units exchangeable to common stock | 215 | 123 | 234 | 124 |
PennyMac Class A units exchangeable to common stock | 53,923 | 54,042 | 53,996 | 53,744 |
Non-vested PennyMac Class A units issuable under unit-based stock compensation plan and exchangeable to common stock | 163 | 528 | ||
Diluted weighted-average common stock outstanding | 76,355 | 76,138 | 76,331 | 76,098 |
Diluted earnings per share of common stock (in dollars per share) | $ 1.06 | $ 0.58 | $ 1.95 | $ 1.58 |
Total anti-dilutive stock-based compensation units | 5,273 | 4,241 | 5,069 | 3,922 |
Stock Options | ||||
Dilutive shares: | ||||
Total anti-dilutive stock-based compensation units | 2,768 | 1,864 | 2,559 | 1,712 |
Weighted-average exercise price of anti-dilutive stock options | $ 15.81 | $ 18.17 | $ 15.82 | $ 18.17 |
Performance-based RSUs | ||||
Dilutive shares: | ||||
Total anti-dilutive stock-based compensation units | 2,505 | 2,377 | 2,510 | 2,210 |
Loan Sales and Servicing Acti62
Loan Sales and Servicing Activities - Summary of Cash Flows with Transferees (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
Cash flows: | |||||
Sales proceeds | $ 13,947,544 | $ 12,738,035 | $ 33,124,241 | $ 28,357,226 | |
Servicing fees received | 67,371 | 33,745 | 186,474 | 103,057 | |
Net servicing advance recoveries | 4,608 | $ 9,778 | 14,153 | $ 18,733 | |
Period end information: | |||||
Unpaid principal balance of mortgage loans outstanding at end of period | 78,942,489 | 78,942,489 | $ 60,687,246 | ||
30-89 days | 2,157,646 | 2,157,646 | 1,539,568 | ||
90 days or more - Not in foreclosure | 457,909 | 457,909 | 340,313 | ||
90 days or more - In foreclosure | 328,396 | 328,396 | 227,025 | ||
90 days or more - Foreclosed | $ 2,435 | $ 2,435 | $ 755 |
Loan Sales and Servicing Acti63
Loan Sales and Servicing Activities - Summary of Mortgage Servicing Portfolio (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Mortgage servicing portfolio | ||
Mortgage loans held for sale | $ 2,945,465 | $ 1,052,485 |
Total loans serviced | 182,076,643 | 160,272,718 |
Commercial real estate loans subserviced for the Company | 16,403 | 14,454 |
Delinquent mortgage loans: | ||
30 days | 3,321,042 | 3,016,294 |
60 days | 1,115,795 | 971,541 |
90 days or more - Not in foreclosure | 2,332,604 | 2,058,646 |
90 days or more - In foreclosure | 1,600,046 | 1,836,631 |
90 days or more - Foreclosed | 501,516 | 565,403 |
Total delinquent mortgage loans | 8,871,003 | 8,448,515 |
Custodial funds managed by the Company | 4,813,492 | 2,744,897 |
Servicing rights owned | ||
Mortgage servicing portfolio | ||
Mortgage loans held for sale | 2,945,465 | 1,052,485 |
Total loans serviced | 125,976,312 | 112,462,086 |
Commercial real estate loans subserviced for the Company | 16,403 | 14,454 |
Delinquent mortgage loans: | ||
30 days | 2,954,504 | 2,666,435 |
60 days | 989,384 | 834,617 |
90 days or more - Not in foreclosure | 1,740,732 | 1,270,236 |
90 days or more - In foreclosure | 801,461 | 656,617 |
90 days or more - Foreclosed | 29,560 | 23,372 |
Total delinquent mortgage loans | 6,515,641 | 5,451,277 |
Custodial funds managed by the Company | 3,754,860 | 2,242,146 |
Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Total loans serviced | 56,100,331 | 47,810,632 |
Delinquent mortgage loans: | ||
30 days | 366,538 | 349,859 |
60 days | 126,411 | 136,924 |
90 days or more - Not in foreclosure | 591,872 | 788,410 |
90 days or more - In foreclosure | 798,585 | 1,180,014 |
90 days or more - Foreclosed | 471,956 | 542,031 |
Total delinquent mortgage loans | 2,355,362 | 2,997,238 |
Custodial funds managed by the Company | 1,058,632 | 502,751 |
Non affiliated entities | ||
Mortgage servicing portfolio | ||
Total loans serviced, excluding loans held for sale | 123,030,847 | 111,409,601 |
Non affiliated entities | Servicing rights owned | ||
Mortgage servicing portfolio | ||
Total loans serviced, excluding loans held for sale | 123,030,847 | 111,409,601 |
Affiliated entities | ||
Mortgage servicing portfolio | ||
Total loans serviced, excluding loans held for sale | 56,100,331 | 47,810,632 |
Affiliated entities | Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Total loans serviced, excluding loans held for sale | $ 56,100,331 | $ 47,810,632 |
Loan Sales and Servicing Acti64
Loan Sales and Servicing Activities - Geographical Distriubtion of Loans (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 182,076,643 | $ 160,272,718 |
California | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 40,854,288 | 39,007,363 |
Texas | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 14,851,369 | 12,191,722 |
Virginia | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 12,164,535 | 9,816,114 |
Florida | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 11,830,839 | 9,709,940 |
Maryland | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 7,755,698 | 6,151,945 |
All other states | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 94,619,914 | $ 83,395,634 |
Netting of Financial Instrume65
Netting of Financial Instruments - Offsetting of Derivative Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized assets | $ 107,127 | $ 45,885 |
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 75,318 | 12,937 |
Gross amounts offset in the consolidated balance sheet | (46,668) | (8,542) |
Net amounts of assets presented in the consolidated balance sheet | 28,650 | 4,395 |
Total | ||
Gross amounts of recognized assets | 182,445 | 58,822 |
Net amounts of assets presented in the balance sheet | 135,777 | 50,280 |
Margin Deposits | ||
Total | ||
Gross amounts of recognized assets | (82) | (1,238) |
MBS put options | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 6,019 | 404 |
Net amounts of assets presented in the consolidated balance sheet | 6,019 | 404 |
Forward contracts | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 54,574 | 4,181 |
Net amounts of assets presented in the consolidated balance sheet | 54,574 | 4,181 |
Forward contracts | Sales | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 3,588 | 4,965 |
Net amounts of assets presented in the consolidated balance sheet | 3,588 | 4,965 |
Interest rate lock commitments | ||
Total | ||
Net amounts of assets presented in the balance sheet | 107,127 | 45,885 |
Put options on interest rate futures | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 6,707 | 1,832 |
Net amounts of assets presented in the consolidated balance sheet | 6,707 | 1,832 |
Call options on interest rate futures | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 4,430 | 1,555 |
Net amounts of assets presented in the consolidated balance sheet | $ 4,430 | $ 1,555 |
Netting of Financial Instrume66
Netting of Financial Instruments - Derivative Assets, Financial Assets, and Collateral Held by Counterparty (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Total | ||
Net amounts of assets presented in the balance sheet | $ 135,777 | $ 50,280 |
Net amount | 135,777 | 50,280 |
Barclays | ||
Total | ||
Net amounts of assets presented in the balance sheet | 8,431 | 72 |
Net amount | 8,431 | 72 |
RJ O'Brien | ||
Total | ||
Net amounts of assets presented in the balance sheet | 8,634 | 2,246 |
Net amount | 8,634 | 2,246 |
JP Morgan | ||
Total | ||
Net amounts of assets presented in the balance sheet | 4,067 | |
Net amount | 4,067 | |
Fannie Mae | ||
Total | ||
Net amounts of assets presented in the balance sheet | 3,471 | 453 |
Net amount | 3,471 | 453 |
Citibank, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 1,738 | |
Net amount | 1,738 | |
Morgan Stanley Bank | ||
Total | ||
Net amounts of assets presented in the balance sheet | 731 | |
Net amount | 731 | |
Wells Fargo Bank, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 53 | |
Net amount | 53 | |
Goldman Sachs | ||
Total | ||
Net amounts of assets presented in the balance sheet | 836 | 471 |
Net amount | 836 | 471 |
Jefferies & Co. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 343 | 888 |
Net amount | 343 | 888 |
Other | ||
Total | ||
Net amounts of assets presented in the balance sheet | 399 | 212 |
Net amount | 399 | 212 |
Interest rate lock commitments | ||
Total | ||
Net amounts of assets presented in the balance sheet | 107,127 | 45,885 |
Net amount | $ 107,127 | $ 45,885 |
Netting of Financial Instrume67
Netting of Financial Instruments - Offsetting of Derivative and Financial Liabilites (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2016 | Dec. 31, 2015 | |
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized liabilities | $ 1,609 | $ 2,112 |
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | 49,567 | 16,751 |
Netting | (46,750) | (9,780) |
Net amounts of liabilities presented in the balance sheet | 2,817 | 6,971 |
Total | ||
Gross amounts of recognized liabilities | 51,176 | 18,863 |
Net amounts of liabilities presented in the consolidated balance sheet | 4,426 | 9,083 |
Mortgage loans sold under agreements to repurchase | ||
Net amounts of liabilities presented in the consolidated balance sheet | 2,491,762 | |
Debt Issuance Costs | ||
Debt issuance costs, gross | (396) | (674) |
Debt issuance costs | (396) | (674) |
Gross amounts of recognized liabilities | 2,491,366 | 1,166,731 |
Net amount of liabilities in the consolidated balance sheet | 2,491,366 | 1,166,731 |
Total | ||
Gross amounts of recognized liabilities | 2,542,542 | 1,185,594 |
Gross amounts offset in the consolidated balance sheet | (46,750) | (9,780) |
Net amounts of liabilities presented in the consolidated balance sheet | 2,496,188 | 1,175,814 |
Net amount of liabilities in the consolidated balance sheet | 4,426 | 9,083 |
Receivable from Counterparties | ||
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 2,495,792 | 1,175,814 |
Assets sold under agreements to repurchase | ||
Mortgage loans sold under agreements to repurchase | ||
Gross amounts of recognized liabilities | 2,491,762 | 1,167,405 |
Net amounts of liabilities presented in the consolidated balance sheet | 2,491,762 | 1,167,405 |
Net amounts of liabilities presented in the consolidated balance sheet | 2,491,762 | 1,167,405 |
Debt Issuance Costs | ||
Debt issuance costs | (396) | (674) |
Net amount of liabilities in the consolidated balance sheet | 2,491,366 | 1,166,731 |
Forward contracts | Purchases | ||
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | 2,584 | 9,004 |
Net amounts of liabilities presented in the balance sheet | 2,584 | 9,004 |
Forward contracts | Sales | ||
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | 45,085 | 7,497 |
Net amounts of liabilities presented in the balance sheet | 45,085 | 7,497 |
Interest rate lock commitments | ||
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,609 | 2,112 |
Net amount of liabilities in the consolidated balance sheet | 1,609 | 2,112 |
Put options on interest rate futures | Purchases | ||
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | 1,500 | 203 |
Net amounts of liabilities presented in the balance sheet | 1,500 | 203 |
Call options on interest rate futures | Purchases | ||
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | 398 | 47 |
Net amounts of liabilities presented in the balance sheet | $ 398 | $ 47 |
Netting of Financial Instrume68
Netting of Financial Instruments - Derivative Liabilites, Financial Liabilities, and Collateral Held by Counterparty (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | $ 2,496,188 | $ 1,175,814 |
Financial instruments | (2,491,762) | (1,166,731) |
Net amount of liabilities in the consolidated balance sheet | 4,426 | 9,083 |
Credit Suisse First Boston Mortgage Capital LLC | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,174,487 | 795,179 |
Financial instruments | (1,174,288) | (794,470) |
Net amount of liabilities in the consolidated balance sheet | 199 | 709 |
Bank of America, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 449,502 | 271,130 |
Financial instruments | (449,371) | (269,510) |
Net amount of liabilities in the consolidated balance sheet | 131 | 1,620 |
Citibank, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 396,423 | 55,948 |
Financial instruments | (396,423) | (53,904) |
Net amount of liabilities in the consolidated balance sheet | 2,044 | |
Morgan Stanley Bank | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 185,688 | 49,763 |
Financial instruments | (185,688) | (49,521) |
Net amount of liabilities in the consolidated balance sheet | 242 | |
Barclays | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 154,665 | |
Financial instruments | (154,665) | |
JP Morgan | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 131,327 | 672 |
Financial instruments | (131,327) | |
Net amount of liabilities in the consolidated balance sheet | 672 | |
Wells Fargo Bank, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,323 | |
Net amount of liabilities in the consolidated balance sheet | 1,323 | |
Nomura | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 396 | |
Net amount of liabilities in the consolidated balance sheet | 396 | |
Raymond James & Associates | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 232 | |
Net amount of liabilities in the consolidated balance sheet | 232 | |
Bank of Oklahoma | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 167 | 135 |
Net amount of liabilities in the consolidated balance sheet | 167 | 135 |
BNP Paribas | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 128 | 738 |
Net amount of liabilities in the consolidated balance sheet | 128 | 738 |
Bank of NY Mellon | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 77 | 154 |
Net amount of liabilities in the consolidated balance sheet | 77 | 154 |
Other | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 164 | 657 |
Net amount of liabilities in the consolidated balance sheet | 164 | 657 |
Interest rate lock commitments | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,609 | 2,112 |
Net amount of liabilities in the consolidated balance sheet | $ 1,609 | $ 2,112 |
Fair Value - Financial Statemen
Fair Value - Financial Statement Items Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2016 | Dec. 31, 2015 | |
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 | $ 58,749 | $ 46,319 |
Mortgage loans held for sale at fair value | 3,127,377 | 1,101,204 |
Derivative assets: | ||
Derivative asset, before netting | 182,445 | 58,822 |
Netting | (46,668) | (8,542) |
Total derivative assets | 135,777 | 50,280 |
Mortgage servicing rights at fair value | 492,028 | 660,247 |
Derivative liabilities: | ||
Derivative liability, before netting | 51,176 | 18,863 |
Netting | (46,750) | (9,780) |
Net amounts of liabilities presented in the consolidated balance sheet | 4,426 | 9,083 |
Mortgage servicing liabilities | 13,045 | 1,399 |
PMT | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 1,169 | 1,145 |
Recurring basis | ||
Assets: | ||
Short-term investments at fair value | 58,749 | 46,319 |
Mortgage loans held for sale at fair value | 3,127,377 | 1,101,204 |
Derivative assets: | ||
Derivative asset, before netting | 182,445 | 58,822 |
Netting | (46,668) | (8,542) |
Total derivative assets | 135,777 | 50,280 |
Mortgage servicing rights at fair value | 492,028 | 660,247 |
Total assets | 3,815,100 | 1,859,195 |
Derivative liabilities: | ||
Derivative liability, before netting | 51,176 | 18,863 |
Netting | (46,750) | (9,780) |
Net amounts of liabilities presented in the consolidated balance sheet | 4,426 | 9,083 |
Mortgage servicing liabilities | 13,045 | 1,399 |
Total liabilities | 297,838 | 422,907 |
Recurring basis | PMT | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 1,169 | 1,145 |
Derivative liabilities: | ||
Excess servicing spread financing at fair value to affiliate | 280,367 | 412,425 |
Recurring basis | Interest rate lock commitments | ||
Derivative assets: | ||
Derivative asset, before netting | 107,127 | 45,885 |
Derivative liabilities: | ||
Derivative liability, before netting | 1,609 | 2,112 |
Recurring basis | Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 54,574 | 4,181 |
Derivative liabilities: | ||
Derivative liability, before netting | 2,584 | 9,004 |
Recurring basis | Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 3,588 | 4,965 |
Derivative liabilities: | ||
Derivative liability, before netting | 45,085 | 7,497 |
Recurring basis | MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 6,019 | 404 |
Recurring basis | Call options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 4,430 | 1,555 |
Derivative liabilities: | ||
Derivative liability, before netting | 398 | 47 |
Recurring basis | Put options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 6,707 | 1,832 |
Derivative liabilities: | ||
Derivative liability, before netting | 1,500 | 203 |
Recurring basis | Level 1 | ||
Assets: | ||
Short-term investments at fair value | 58,749 | 46,319 |
Derivative assets: | ||
Derivative asset, before netting | 11,137 | 3,387 |
Total derivative assets | 11,137 | 3,387 |
Total assets | 71,055 | 50,851 |
Derivative liabilities: | ||
Derivative liability, before netting | 1,898 | 250 |
Net amounts of liabilities presented in the consolidated balance sheet | 1,898 | 250 |
Total liabilities | 1,898 | 250 |
Recurring basis | Level 1 | PMT | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 1,169 | 1,145 |
Recurring basis | Level 1 | Call options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 4,430 | 1,555 |
Derivative liabilities: | ||
Derivative liability, before netting | 398 | 47 |
Recurring basis | Level 1 | Put options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 6,707 | 1,832 |
Derivative liabilities: | ||
Derivative liability, before netting | 1,500 | 203 |
Recurring basis | Level 2 | ||
Assets: | ||
Mortgage loans held for sale at fair value | 3,081,003 | 1,052,673 |
Derivative assets: | ||
Derivative asset, before netting | 64,181 | 9,550 |
Total derivative assets | 64,181 | 9,550 |
Total assets | 3,145,184 | 1,062,223 |
Derivative liabilities: | ||
Derivative liability, before netting | 47,669 | 16,501 |
Net amounts of liabilities presented in the consolidated balance sheet | 47,669 | 16,501 |
Total liabilities | 47,669 | 16,501 |
Recurring basis | Level 2 | Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 54,574 | 4,181 |
Derivative liabilities: | ||
Derivative liability, before netting | 2,584 | 9,004 |
Recurring basis | Level 2 | Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 3,588 | 4,965 |
Derivative liabilities: | ||
Derivative liability, before netting | 45,085 | 7,497 |
Recurring basis | Level 2 | MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 6,019 | 404 |
Recurring basis | Level 3 | ||
Assets: | ||
Mortgage loans held for sale at fair value | 46,374 | 48,531 |
Derivative assets: | ||
Derivative asset, before netting | 107,127 | 45,885 |
Total derivative assets | 107,127 | 45,885 |
Mortgage servicing rights at fair value | 492,028 | 660,247 |
Total assets | 645,529 | 754,663 |
Derivative liabilities: | ||
Derivative liability, before netting | 1,609 | 2,112 |
Net amounts of liabilities presented in the consolidated balance sheet | 1,609 | 2,112 |
Mortgage servicing liabilities | 13,045 | 1,399 |
Total liabilities | 295,021 | 415,936 |
Recurring basis | Level 3 | PMT | ||
Derivative liabilities: | ||
Excess servicing spread financing at fair value to affiliate | 280,367 | 412,425 |
Recurring basis | Level 3 | Interest rate lock commitments | ||
Derivative assets: | ||
Derivative asset, before netting | 107,127 | 45,885 |
Derivative liabilities: | ||
Derivative liability, before netting | $ 1,609 | $ 2,112 |
Fair Value - Level 3 Input Roll
Fair Value - Level 3 Input Roll Forward, Recurring Basis (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Assumption of mortgage servicing liability | $ 5,736 | |||
Mortgage servicing liabilities resulting from mortgage loan sales | 11,810 | $ 20,442 | ||
Recurring basis | ||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the year | $ 654,635 | $ 643,091 | 752,551 | 567,692 |
Purchases | 750,721 | 500,709 | 1,239,530 | 1,237,127 |
Sales | (621,446) | (286,481) | (899,763) | (798,335) |
Repayments | (9,629) | (14,465) | (29,488) | (34,467) |
Interest rate lock commitments issued, net | 148,315 | 73,133 | 329,533 | 217,278 |
Mortgage servicing rights resulting from mortgage loan sales | 3,913 | 6,989 | 13,201 | 13,107 |
Changes in fair value included in income arising from: | ||||
Changes in instrument specific credit risk | 2,487 | 3,178 | 4,054 | |
Other factors | 30,050 | 31,763 | 35,986 | 315 |
Total changes in fair value included in income | 32,537 | 31,763 | 39,164 | 4,369 |
Transfers of mortgage loans held for sale from Level 3 to Level 2 | (113,826) | (61,921) | (315,591) | (175,436) |
Transfers of interest rate lock commitments to mortgage loans held for sale | (201,300) | (115,991) | (485,217) | (254,508) |
Balance at the end of the year | 643,920 | 776,827 | 643,920 | 776,827 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | 67,093 | 15,202 | (75,419) | (5,694) |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the year | 299,232 | 370,893 | 413,824 | 197,472 |
Accrual of interest on excess servicing spread financing | 4,827 | 8,026 | 17,555 | 17,596 |
Repayments | (16,342) | (24,717) | (54,623) | (55,800) |
Repurchases | (59,045) | |||
Assumption of mortgage servicing liability | 5,736 | 5,736 | ||
Mortgage servicing liabilities resulting from mortgage loan sales | 6,401 | 8,358 | 11,810 | 20,442 |
Changes in fair value included in income | (7,880) | (19,696) | (46,884) | (26,698) |
Balance at the end of the year | 293,412 | 429,297 | 293,412 | 429,297 |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (7,880) | (19,696) | (39,674) | (26,698) |
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 year | 294,551 | 359,102 | 412,425 | 191,166 |
Accrual of interest on excess servicing spread financing | 4,827 | 8,026 | 17,555 | 17,596 |
Repayments | (16,342) | (24,717) | (54,623) | (55,800) |
Repurchases | (59,045) | |||
Changes in fair value included in income | (4,107) | (10,271) | (40,984) | (10,674) |
Balance at the end of the year | 280,367 | 418,573 | 280,367 | 418,573 |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (4,107) | (10,271) | (33,774) | (10,674) |
Recurring basis | Excess Servicing Spread Financing for Cash | ||||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Issuances | 84,165 | 271,452 | ||
Recurring basis | Excess Servicing Spread Financing Pursuant to Recapture Agreement | ||||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Issuances | 1,438 | 2,268 | 5,039 | 4,833 |
Recurring basis | Mortgage servicing liabilities | ||||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the year | 4,681 | 11,791 | 1,399 | 6,306 |
Assumption of mortgage servicing liability | 5,736 | 5,736 | ||
Mortgage servicing liabilities resulting from mortgage loan sales | 6,401 | 8,358 | 11,810 | 20,442 |
Changes in fair value included in income | (3,773) | (9,425) | (5,900) | (16,024) |
Balance at the end of the year | 13,045 | 10,724 | 13,045 | 10,724 |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (3,773) | (9,425) | (5,900) | (16,024) |
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 year | 38,079 | 34,085 | 48,531 | 209,908 |
Purchases | 750,709 | 391,578 | 1,239,507 | 857,863 |
Sales | (621,446) | (286,481) | (899,763) | (798,335) |
Repayments | (9,629) | (14,465) | (29,488) | (34,467) |
Changes in fair value included in income arising from: | ||||
Changes in instrument specific credit risk | 2,487 | 3,178 | 4,054 | |
Other factors | 826 | 35 | ||
Total changes in fair value included in income | 2,487 | 826 | 3,178 | 4,089 |
Transfers of mortgage loans held for sale from Level 3 to Level 2 | (113,826) | (61,921) | (315,591) | (175,436) |
Balance at the end of the year | 46,374 | 63,622 | 46,374 | 63,622 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | (234) | (614) | 506 | (1,145) |
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 year | 90,262 | 27,737 | 43,773 | 32,401 |
Interest rate lock commitments issued, net | 148,315 | 73,133 | 329,533 | 217,278 |
Changes in fair value included in income arising from: | ||||
Other factors | 68,241 | 58,659 | 217,429 | 48,367 |
Total changes in fair value included in income | 68,241 | 58,659 | 217,429 | 48,367 |
Transfers of interest rate lock commitments to mortgage loans held for sale | (201,300) | (115,991) | (485,217) | (254,508) |
Balance at the end of the year | 105,518 | 43,538 | 105,518 | 43,538 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | 105,518 | 43,538 | 105,518 | 43,538 |
Recurring basis | Mortgage servicing rights | ||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the year | 526,294 | 581,269 | 660,247 | 325,383 |
Purchases | 12 | 109,131 | 23 | 379,264 |
Mortgage servicing rights resulting from mortgage loan sales | 3,913 | 6,989 | 13,201 | 13,107 |
Changes in fair value included in income arising from: | ||||
Other factors | (38,191) | (27,722) | (181,443) | (48,087) |
Total changes in fair value included in income | (38,191) | (27,722) | (181,443) | (48,087) |
Balance at the end of the year | 492,028 | 669,667 | 492,028 | 669,667 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | $ (38,191) | $ (27,722) | $ (181,443) | $ (48,087) |
Fair Value - Changes in Fair Va
Fair Value - Changes in Fair Value, Fair Value Option, Recurring Basis (Details) - Recurring basis - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
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 | $ 7,880 | $ 19,696 | $ 46,884 | $ 26,698 |
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 | 7,880 | 19,696 | 46,884 | 26,698 |
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 | 4,107 | 10,271 | 40,984 | 10,674 |
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 | 4,107 | 10,271 | 40,984 | 10,674 |
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 | 3,773 | 9,425 | 5,900 | 16,024 |
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 | 3,773 | 9,425 | 5,900 | 16,024 |
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 | 160,258 | 108,397 | 317,615 | 237,849 |
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 | 198,449 | 136,119 | 499,058 | 285,936 |
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 | (38,191) | (27,722) | (181,443) | (48,087) |
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 | 198,449 | 136,119 | 499,058 | 285,936 |
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 | 198,449 | 136,119 | 499,058 | 285,936 |
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 | (38,191) | (27,722) | (181,443) | (48,087) |
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 | $ (38,191) | $ (27,722) | $ (181,443) | $ (48,087) |
Fair Value - Fair Value Option
Fair Value - Fair Value Option Maturities, Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Fair value | ||
Total fair value | $ 3,127,377 | $ 1,101,204 |
Recurring basis | ||
Fair value | ||
Total fair value | 3,127,377 | 1,101,204 |
Mortgage loans held for sale | Recurring basis | ||
Fair value | ||
Current through 89 days delinquent | 3,107,437 | 1,068,548 |
Not in foreclosure | 15,223 | 26,399 |
In foreclosure | 4,717 | 6,257 |
Total fair value | 3,127,377 | 1,101,204 |
Principal amount due upon maturity | ||
Current through 89 days delinquent | 2,924,778 | 1,016,314 |
Not in foreclosure | 15,343 | 26,999 |
In foreclosure | 5,344 | 6,598 |
Total principal amount due upon maturity | 2,945,465 | 1,049,911 |
Difference | ||
Current through 89 days delinquent | 182,659 | 52,234 |
Not in foreclosure | (120) | (600) |
In foreclosure | (627) | (341) |
Total difference | $ 181,912 | $ 51,293 |
Fair Value - Measurement Basis,
Fair Value - Measurement Basis, Nonrecurring (Details) - Nonrecurring basis - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
Financial statement items measured at fair value on a nonrecurring basis | |||||
Mortgage servicing rights at lower of amortized cost or fair value | $ 845,646 | $ 845,646 | $ 202,991 | ||
Real estate acquired in settlement of loans | 173 | 173 | |||
Total assets | 845,819 | 845,819 | 202,991 | ||
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 | (25,206) | $ (33,301) | (174,926) | $ (51,427) | |
Real estate acquired in settlement of loans | 42 | ||||
Total gains on assets measured at estimated fair values on a nonrecurring basis | (25,164) | $ (33,301) | (174,926) | $ (51,427) | |
Level 3 | |||||
Financial statement items measured at fair value on a nonrecurring basis | |||||
Mortgage servicing rights at lower of amortized cost or fair value | 845,646 | 845,646 | 202,991 | ||
Real estate acquired in settlement of loans | 173 | 173 | |||
Total assets | $ 845,819 | $ 845,819 | $ 202,991 |
Fair Value - Level 3 Unobservab
Fair Value - Level 3 Unobservable Inputs, Mortgage Loans and IRLC (Details) - Level 3 | 9 Months Ended | 12 Months Ended |
Sep. 30, 2016 | Dec. 31, 2015 | |
Mortgage loans held for sale | Minimum | ||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ||
Discount rate (as a percent) | 2.50% | 2.50% |
Twelve-month projected housing price index change (as a percent) | 2.80% | 1.80% |
Prepayment / resale speed (1) | 0.10% | 0.60% |
Total prepayment speed (as a percent) | 0.10% | 0.70% |
Mortgage loans held for sale | Maximum | ||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ||
Discount rate (as a percent) | 8.10% | 9.10% |
Twelve-month projected housing price index change (as a percent) | 5.20% | 5.00% |
Prepayment / resale speed (1) | 25.80% | 20.10% |
Total prepayment speed (as a percent) | 41.30% | 37.60% |
Mortgage loans held for sale | Weighted average | ||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ||
Discount rate (as a percent) | 3.10% | 2.80% |
Twelve-month projected housing price index change (as a percent) | 4.50% | 3.70% |
Prepayment / resale speed (1) | 20.80% | 16.60% |
Total prepayment speed (as a percent) | 33.10% | 30.90% |
Interest rate lock commitments | Minimum | ||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ||
Pull-through rate (as a percent) | 35.00% | 54.10% |
Mortgage servicing rights value expressed as: Servicing fee multiple | 1.2 | 1 |
Mortgage servicing rights value expressed as: Percentage of unpaid principal balance | 0.20% | 0.20% |
Interest rate lock commitments | Maximum | ||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ||
Pull-through rate (as a percent) | 100.00% | 100.00% |
Mortgage servicing rights value expressed as: Servicing fee multiple | 5.5 | 5.8 |
Mortgage servicing rights value expressed as: Percentage of unpaid principal balance | 2.70% | 3.80% |
Interest rate lock commitments | Weighted average | ||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ||
Pull-through rate (as a percent) | 83.70% | 90.10% |
Mortgage servicing rights value expressed as: Servicing fee multiple | 4.2 | 4.4 |
Mortgage servicing rights value expressed as: Percentage of unpaid principal balance | 1.20% | 1.50% |
Fair Value - Level 3 Unobserv75
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Rights - Initial Recognition (Details) - Level 3 - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
Fair Values | Mortgage servicing rights | |||||
MSR and pool characteristics | |||||
Weighted-average servicing fee rate (as a percent) | 0.32% | 0.32% | |||
Fair Values | Mortgage servicing rights | Minimum | |||||
Inputs: | |||||
Pricing spread (as a percent) | 7.60% | 7.20% | |||
Annual total prepayment speed (as a percent) | 6.70% | 5.30% | |||
Life (in years) | 2 years 1 month 6 days | 1 year 10 months 24 days | |||
Annual per-loan cost of servicing | $ 78 | $ 68 | |||
Fair Values | Mortgage servicing rights | Maximum | |||||
Inputs: | |||||
Pricing spread (as a percent) | 14.40% | 14.10% | |||
Annual total prepayment speed (as a percent) | 26.50% | 43.80% | |||
Life (in years) | 8 years 10 months 24 days | 9 years | |||
Annual per-loan cost of servicing | $ 102 | $ 97 | |||
Fair Values | Mortgage servicing rights | Weighted average | |||||
Inputs: | |||||
Pricing spread (as a percent) | 9.70% | 8.90% | |||
Annual total prepayment speed (as a percent) | 12.30% | 9.70% | |||
Life (in years) | 6 years | 6 years 10 months 24 days | |||
Annual per-loan cost of servicing | $ 93 | $ 86 | |||
Fair Values | MSRs at the time of initial reconition, excluding MSR purchases | |||||
MSR and pool characteristics | |||||
Amount recognized | $ 0 | $ 6,989 | 0 | $ 13,107 | |
Unpaid principal balance of underlying mortgage loans | $ 0 | $ 550,073 | $ 0 | $ 1,072,203 | |
Weighted-average servicing fee rate (as a percent) | 0.33% | 0.32% | 0.33% | 0.32% | |
Fair Values | MSRs at the time of initial reconition, excluding MSR purchases | Minimum | |||||
Inputs: | |||||
Pricing spread (as a percent) | 7.60% | 7.00% | 7.20% | 7.00% | |
Annual total prepayment speed (as a percent) | 5.00% | 7.70% | 3.30% | 7.70% | |
Life (in years) | 1 year 8 months 12 days | 1 year 4 months 24 days | 1 year 3 months 18 days | 1 year 1 month 6 days | |
Annual per-loan cost of servicing | $ 78 | $ 59 | $ 68 | $ 59 | |
Fair Values | MSRs at the time of initial reconition, excluding MSR purchases | Maximum | |||||
Inputs: | |||||
Pricing spread (as a percent) | 10.50% | 14.40% | 10.50% | 14.40% | |
Annual total prepayment speed (as a percent) | 42.80% | 52.30% | 52.30% | 62.40% | |
Life (in years) | 10 years 9 months 18 days | 7 years 6 months | 11 years 9 months 18 days | 7 years 6 months | |
Annual per-loan cost of servicing | $ 103 | $ 101 | $ 105 | $ 101 | |
Fair Values | MSRs at the time of initial reconition, excluding MSR purchases | Weighted average | |||||
Inputs: | |||||
Pricing spread (as a percent) | 9.30% | 8.90% | 8.90% | 9.40% | |
Annual total prepayment speed (as a percent) | 12.40% | 11.90% | 12.60% | 11.60% | |
Life (in years) | 6 years 6 months | 6 years 6 months | 6 years 6 months | 6 years 6 months | |
Annual per-loan cost of servicing | $ 92 | $ 75 | $ 87 | $ 75 | |
Amortized cost | Mortgage servicing rights | |||||
MSR and pool characteristics | |||||
Weighted-average servicing fee rate (as a percent) | 0.31% | 0.32% | |||
Amortized cost | Mortgage servicing rights | Minimum | |||||
Inputs: | |||||
Pricing spread (as a percent) | 7.60% | 7.20% | |||
Annual total prepayment speed (as a percent) | 6.70% | 5.70% | |||
Life (in years) | 1 year 6 months | 1 year 9 months 18 days | |||
Annual per-loan cost of servicing | $ 79 | $ 68 | |||
Amortized cost | Mortgage servicing rights | Maximum | |||||
Inputs: | |||||
Pricing spread (as a percent) | 14.40% | 12.80% | |||
Annual total prepayment speed (as a percent) | 46.70% | 46.70% | |||
Life (in years) | 9 years 3 months 18 days | 9 years 1 month 6 days | |||
Annual per-loan cost of servicing | $ 102 | $ 95 | |||
Amortized cost | Mortgage servicing rights | Weighted average | |||||
Inputs: | |||||
Pricing spread (as a percent) | 10.20% | 8.90% | |||
Annual total prepayment speed (as a percent) | 12.10% | 9.50% | |||
Life (in years) | 6 years 6 months | 7 years 4 months 24 days | |||
Annual per-loan cost of servicing | $ 92 | $ 84 | |||
Amortized cost | MSRs at the time of initial reconition, excluding MSR purchases | |||||
MSR and pool characteristics | |||||
Amount recognized | 0 | 154,707 | 0 | 347,549 | |
Unpaid principal balance of underlying mortgage loans | $ 0 | $ 11,369,493 | $ 0 | $ 25,268,602 | |
Weighted-average servicing fee rate (as a percent) | 0.29% | 0.34% | 0.30% | 0.35% | |
Amortized cost | MSRs at the time of initial reconition, excluding MSR purchases | Minimum | |||||
Inputs: | |||||
Pricing spread (as a percent) | 7.60% | 6.80% | 7.20% | 6.80% | |
Annual total prepayment speed (as a percent) | 3.40% | 7.50% | 3.40% | 7.50% | |
Life (in years) | 1 year 8 months 12 days | 1 year 10 months 24 days | 1 year 3 months 18 days | 1 year 9 months 18 days | |
Annual per-loan cost of servicing | $ 78 | $ 59 | $ 68 | $ 59 | |
Amortized cost | MSRs at the time of initial reconition, excluding MSR purchases | Maximum | |||||
Inputs: | |||||
Pricing spread (as a percent) | 14.40% | 16.20% | 14.40% | 16.20% | |
Annual total prepayment speed (as a percent) | 42.90% | 35.00% | 50.90% | 39.40% | |
Life (in years) | 12 years 2 months 12 days | 9 years 1 month 6 days | 12 years 2 months 12 days | 9 years 1 month 6 days | |
Annual per-loan cost of servicing | $ 102 | $ 95 | $ 106 | $ 95 | |
Amortized cost | MSRs at the time of initial reconition, excluding MSR purchases | Weighted average | |||||
Inputs: | |||||
Pricing spread (as a percent) | 9.50% | 9.10% | 9.20% | 9.20% | |
Annual total prepayment speed (as a percent) | 9.70% | 9.20% | 10.00% | 8.80% | |
Life (in years) | 7 years 7 months 6 days | 7 years | 7 years 6 months | 7 years | |
Annual per-loan cost of servicing | $ 91 | $ 78 | $ 88 | $ 76 |
Fair Value - Level 3 Unobserv76
Fair Value - Level 3 Unobservable Inputs, Mortgage Services Rights, Effect of Change In Inputs on Fair Value (Details) - Mortgage servicing rights - Level 3 - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2016 | Dec. 31, 2015 | |
Fair Values | ||
MSR and pool characteristics | ||
Carrying value | $ 492,028 | $ 660,247 |
Unpaid principal balance of underlying mortgage loans | $ 46,236,558 | $ 54,182,477 |
Weighted-average note interest rate (as a percent) | 4.70% | 4.10% |
Weighted-average servicing fee rate (as a percent) | 0.32% | 0.32% |
Pricing spread | ||
Effect on fair value of 5% adverse change | $ (8,318) | $ (11,115) |
Effect on fair value of 10% adverse change | (16,346) | (21,857) |
Effect on fair value of 20% adverse change | (31,585) | (42,293) |
Prepayment speed | ||
Effect on fair value of 5% adverse change | (10,448) | (12,475) |
Effect on fair value of 10% adverse change | (20,482) | (24,499) |
Effect on fair value of 20% adverse change | (39,396) | (47,286) |
Annual per-loan cost of servicing | ||
Effect on fair value of 5% adverse change | (5,720) | (6,812) |
Effect on fair value of 10% adverse change | (11,441) | (13,624) |
Effect on fair value of 20% adverse change | $ (22,882) | $ (27,247) |
Fair Values | Minimum | ||
Inputs | ||
Pricing spread (as a percent) | 7.60% | 7.20% |
Pricing spread | ||
Average life of MSRs (in years) | 2 years 1 month 6 days | 1 year 10 months 24 days |
Prepayment speed of MSRs (as a percent) | 6.70% | 5.30% |
Prepayment speed | ||
Annual per-loan cost of servicing | $ 78 | $ 68 |
Fair Values | Maximum | ||
Inputs | ||
Pricing spread (as a percent) | 14.40% | 14.10% |
Pricing spread | ||
Average life of MSRs (in years) | 8 years 10 months 24 days | 9 years |
Prepayment speed of MSRs (as a percent) | 26.50% | 43.80% |
Prepayment speed | ||
Annual per-loan cost of servicing | $ 102 | $ 97 |
Fair Values | Weighted average | ||
Inputs | ||
Pricing spread (as a percent) | 9.70% | 8.90% |
Pricing spread | ||
Average life of MSRs (in years) | 6 years | 6 years 10 months 24 days |
Prepayment speed of MSRs (as a percent) | 12.30% | 9.70% |
Prepayment speed | ||
Annual per-loan cost of servicing | $ 93 | $ 86 |
Amortized cost | ||
MSR and pool characteristics | ||
Carrying value | 845,646 | 751,688 |
Unpaid principal balance of underlying mortgage loans | $ 75,076,431 | $ 56,420,227 |
Weighted-average note interest rate (as a percent) | 3.80% | 3.80% |
Weighted-average servicing fee rate (as a percent) | 0.31% | 0.32% |
Pricing spread | ||
Effect on fair value of 5% adverse change | $ (15,356) | $ (13,467) |
Effect on fair value of 10% adverse change | (30,149) | (26,472) |
Effect on fair value of 20% adverse change | (58,160) | (51,183) |
Prepayment speed | ||
Effect on fair value of 5% adverse change | (18,008) | (14,360) |
Effect on fair value of 10% adverse change | (35,280) | (28,197) |
Effect on fair value of 20% adverse change | (67,777) | (54,406) |
Annual per-loan cost of servicing | ||
Effect on fair value of 5% adverse change | (7,101) | (5,725) |
Effect on fair value of 10% adverse change | (14,202) | (11,451) |
Effect on fair value of 20% adverse change | $ (28,405) | $ (22,901) |
Amortized cost | Minimum | ||
Inputs | ||
Pricing spread (as a percent) | 7.60% | 7.20% |
Pricing spread | ||
Average life of MSRs (in years) | 1 year 6 months | 1 year 9 months 18 days |
Prepayment speed of MSRs (as a percent) | 6.70% | 5.70% |
Prepayment speed | ||
Annual per-loan cost of servicing | $ 79 | $ 68 |
Amortized cost | Maximum | ||
Inputs | ||
Pricing spread (as a percent) | 14.40% | 12.80% |
Pricing spread | ||
Average life of MSRs (in years) | 9 years 3 months 18 days | 9 years 1 month 6 days |
Prepayment speed of MSRs (as a percent) | 46.70% | 46.70% |
Prepayment speed | ||
Annual per-loan cost of servicing | $ 102 | $ 95 |
Amortized cost | Weighted average | ||
Inputs | ||
Pricing spread (as a percent) | 10.20% | 8.90% |
Pricing spread | ||
Average life of MSRs (in years) | 6 years 6 months | 7 years 4 months 24 days |
Prepayment speed of MSRs (as a percent) | 12.10% | 9.50% |
Prepayment speed | ||
Annual per-loan cost of servicing | $ 92 | $ 84 |
Fair Value - Level 3 Unobserv77
Fair Value - Level 3 Unobservable Inputs, ESS (Details) - Level 3 - Excess servicing spread financing - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2016 | Dec. 31, 2015 | |
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Carrying value | $ 280,367 | $ 412,425 |
Unpaid principal balance of underlying mortgage loans | $ 34,189,425 | $ 51,966,405 |
Average servicing fee rate (as a percent) | 0.34% | 0.32% |
Average excess servicing spread (as a percent) | 0.19% | 0.17% |
Minimum | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Pricing spread (as a percent) | 4.70% | 4.80% |
Average life of ESS (in years) | 2 years 2 months 12 days | 1 year 4 months 24 days |
Annualized prepayment speed of ESS (as a percent) | 6.70% | 5.20% |
Maximum | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Pricing spread (as a percent) | 5.90% | 6.50% |
Average life of ESS (in years) | 8 years 10 months 24 days | 9 years |
Annualized prepayment speed of ESS (as a percent) | 23.30% | 52.40% |
Weighted average | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Pricing spread (as a percent) | 5.50% | 5.70% |
Average life of ESS (in years) | 6 years 2 months 12 days | 6 years 10 months 24 days |
Annualized prepayment speed of ESS (as a percent) | 12.20% | 9.60% |
Mortgage Loans Held for Sale 78
Mortgage Loans Held for Sale at Fair Value (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale at fair value | $ 3,127,377 | $ 1,101,204 |
Fair value of mortgage loans pledged to secure assets sold under agreements to repurchase | 2,278,952 | 833,748 |
Fair value of mortgage loans pledged to secure mortgage loan participation and sale agreement | 815,665 | 245,741 |
Pledged Assets Separately Reported, Loans Pledged as Collateral, at Fair Value, Total | 3,094,617 | 1,079,489 |
Government-insured or guaranteed | ||
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale at fair value | 2,971,838 | 992,805 |
Conventional mortgage loans | ||
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale at fair value | 109,165 | 59,868 |
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 | 38,433 | 42,600 |
Mortgage loans repurchased pursuant to representations and warranties | ||
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale at fair value | $ 7,941 | $ 5,931 |
Derivative Financial Instrume79
Derivative Financial Instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Dec. 31, 2015 | |
Derivative assets: | ||||||
Derivative asset, before netting | $ 182,445 | $ 58,822 | ||||
Netting | (46,668) | (8,542) | ||||
Total derivative assets | 135,777 | 50,280 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 51,176 | 18,863 | ||||
Netting | (46,750) | (9,780) | ||||
Net amounts of liabilities presented in the consolidated balance sheet | 4,426 | 9,083 | ||||
Net gains on mortgage loans held for sale at fair value | Interest rate lock commitments and mortgage loans held for sale | ||||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Gains (losses) recognized on derivative financial instruments | $ (27,546) | $ (63,954) | $ (145,665) | $ (44,713) | ||
Net loan servicing fees | Mortgage servicing rights | ||||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Gains (losses) recognized on derivative financial instruments | 19,026 | 30,455 | 142,694 | 19,259 | ||
Margin Deposits | ||||||
Derivative assets: | ||||||
Derivative asset, before netting | (82) | (1,238) | ||||
Not designated as hedging instrument | Interest rate lock commitments | ||||||
Derivative Instruments | ||||||
Notional amount | 4,674,721 | 3,487,366 | 4,674,721 | 3,487,366 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 107,127 | 45,885 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 1,609 | 2,112 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 3,487,366 | |||||
Balance end of period | 4,674,721 | 4,674,721 | ||||
Not designated as hedging instrument | Forward contracts | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 13,510,863 | 6,202,418 | 5,254,293 | 2,634,218 | 17,116,174 | 5,254,293 |
Derivative assets: | ||||||
Derivative asset, before netting | 54,574 | 4,181 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 2,584 | 9,004 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 13,510,863 | 6,202,418 | 5,254,293 | 2,634,218 | ||
Additions | 63,091,757 | 33,050,370 | 140,774,477 | 78,426,073 | ||
Dispositions/expirations | (59,486,446) | (33,189,047) | (128,912,596) | (74,996,550) | ||
Balance end of period | 17,116,174 | 6,063,741 | 17,116,174 | 6,063,741 | ||
Not designated as hedging instrument | Forward contracts | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 13,614,196 | 9,789,564 | 6,230,811 | 3,901,851 | 17,768,293 | 6,230,811 |
Derivative assets: | ||||||
Derivative asset, before netting | 3,588 | 4,965 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 45,085 | 7,497 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 13,614,196 | 9,789,564 | 6,230,811 | 3,901,851 | ||
Additions | 77,956,736 | 42,709,764 | 173,875,141 | 107,084,874 | ||
Dispositions/expirations | (73,802,639) | (45,383,082) | (162,337,659) | (103,870,479) | ||
Balance end of period | 17,768,293 | 7,116,246 | 17,768,293 | 7,116,246 | ||
Not designated as hedging instrument | MBS put options | ||||||
Derivative Instruments | ||||||
Notional amount | 3,550,000 | 327,500 | 1,275,000 | 340,000 | 5,500,000 | 1,275,000 |
Derivative assets: | ||||||
Derivative asset, before netting | 6,019 | 404 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 3,550,000 | 327,500 | 1,275,000 | 340,000 | ||
Additions | 6,150,000 | 1,260,000 | 15,600,000 | 2,502,500 | ||
Dispositions/expirations | (4,200,000) | (677,500) | (11,375,000) | (1,932,500) | ||
Balance end of period | 5,500,000 | 910,000 | 5,500,000 | 910,000 | ||
Not designated as hedging instrument | MBS call options | ||||||
Derivative Instruments | ||||||
Notional amount | 160,000 | |||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 160,000 | |||||
Additions | 160,000 | |||||
Dispositions/expirations | (160,000) | (160,000) | ||||
Not designated as hedging instrument | Put options on interest rate futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 1,000,000 | 2,019,500 | 1,650,000 | 755,000 | 3,525,000 | 1,650,000 |
Derivative assets: | ||||||
Derivative asset, before netting | 6,707 | 1,832 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 1,500 | 203 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 1,000,000 | 2,019,500 | 1,650,000 | 755,000 | ||
Additions | 4,025,000 | 3,365,000 | 8,700,000 | 7,190,000 | ||
Dispositions/expirations | (1,500,000) | (2,009,500) | (6,825,000) | (4,570,000) | ||
Balance end of period | 3,525,000 | 3,375,000 | 3,525,000 | 3,375,000 | ||
Not designated as hedging instrument | Put options on interest rate futures | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 50,000 | |||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 50,000 | |||||
Additions | 50,000 | |||||
Dispositions/expirations | (100,000) | |||||
Not designated as hedging instrument | Call options on interest rate futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 452,100 | 1,025,000 | 600,000 | 630,000 | 300,000 | 600,000 |
Derivative assets: | ||||||
Derivative asset, before netting | 4,430 | 1,555 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 398 | $ 47 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 452,100 | 1,025,000 | 600,000 | 630,000 | ||
Additions | 900,000 | 2,140,000 | 4,537,500 | 5,055,000 | ||
Dispositions/expirations | (1,052,100) | (1,990,000) | (4,837,500) | (4,510,000) | ||
Balance end of period | 300,000 | $ 1,175,000 | 300,000 | 1,175,000 | ||
Not designated as hedging instrument | Call options on interest rate futures | Sales | ||||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Additions | 35,100 | |||||
Dispositions/expirations | $ (35,100) | |||||
Not designated as hedging instrument | Treasury future | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 325,000 | 325,000 | $ 325,000 | |||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Additions | 493,700 | 493,700 | ||||
Dispositions/expirations | (168,700) | (168,700) | ||||
Balance end of period | 325,000 | 325,000 | ||||
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 | 168,700 | 168,700 | ||||
Dispositions/expirations | $ (168,700) | $ (168,700) |
Mortgage Servicing Rights (Acti
Mortgage Servicing Rights (Activity in MSRs at fair value) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
Activity in MSRs carried at fair value | |||||
Balance at beginning of year | $ 660,247 | ||||
Change in fair value: | |||||
Balance at end of year | $ 492,028 | 492,028 | |||
Mortgage servicing rights | |||||
Activity in MSRs carried at fair value | |||||
Balance at beginning of year | 526,294 | $ 581,269 | 660,247 | $ 325,383 | |
Additions - Purchases | 12 | 109,131 | 23 | 379,264 | |
Additions - Mortgage servicing rights resulting from mortgage loan sales | 3,913 | 6,989 | 13,201 | 13,107 | |
Additions | 3,925 | 116,120 | 13,224 | 392,371 | |
Change in fair value: | |||||
Changes in valuation inputs used in valuation model | (17,573) | (5,651) | (118,304) | 2,942 | |
Other changes in fair value | (20,618) | (22,071) | (63,139) | (51,029) | |
Total change in fair value | (38,191) | (27,722) | (181,443) | (48,087) | |
Balance at end of year | 492,028 | $ 669,667 | 492,028 | $ 669,667 | |
Fair value of mortgage servicing rights pledged to secure: Assets sold under agreements to repurchase | 391,563 | 391,563 | $ 37,705 | ||
Fair value of mortgage servicing rights pledged to secure: Note payable | 99,805 | 99,805 | 20,881 | ||
Total | $ 491,368 | $ 491,368 | $ 58,586 |
Mortgage Servicing Rights (Ac81
Mortgage Servicing Rights (Activity in MSRs carried at lower of Amortize Cost or FV) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Jun. 30, 2016 | Dec. 31, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | |
Estimated amortization | ||||||||
2,017 | $ 149,968 | $ 149,968 | ||||||
2,018 | 126,485 | 126,485 | ||||||
2,019 | 108,364 | 108,364 | ||||||
2,020 | 93,669 | 93,669 | ||||||
2,021 | 81,397 | 81,397 | ||||||
Thereafter | 495,149 | 495,149 | ||||||
Total | 1,055,032 | 1,055,032 | ||||||
Mortgage servicing rights | ||||||||
Amortized cost: | ||||||||
Amortized cost at beginning of year | 961,591 | $ 581,558 | 798,925 | $ 415,245 | ||||
Mortgage servicing rights resulting from mortgage loan sales | 146,448 | 154,707 | 370,414 | 347,549 | ||||
Amortization | (40,230) | (19,522) | (101,530) | (46,051) | ||||
Application of valuation allowance to write down mortgage servicing rights with other-than-temporary impairment | (12,777) | (12,777) | ||||||
Amortized cost at end of year | 1,055,032 | 716,743 | 1,055,032 | 716,743 | ||||
Valuation allowance: | ||||||||
Balance at beginning of year | (196,957) | (27,317) | (47,237) | (9,800) | ||||
(Additions) reversals | (25,206) | (51,701) | (174,926) | (69,218) | ||||
Application of valuation allowance to write down mortgage servicing rights with other-than-temporary impairment | 12,777 | 12,777 | ||||||
Balance at end of year | (209,386) | (79,018) | (209,386) | (79,018) | ||||
Additional disclosures | ||||||||
Mortgage servicing rights, net | 845,646 | 637,725 | 845,646 | 637,725 | ||||
Fair value of mortgage servicing rights at beginning of year | 845,646 | 647,942 | 845,646 | 647,942 | $ 764,634 | $ 766,345 | $ 569,969 | $ 416,802 |
Fair value of mortgage servicing rights at end of year | 845,646 | $ 647,942 | 845,646 | $ 647,942 | $ 764,634 | 766,345 | $ 569,969 | $ 416,802 |
Fair value of mortgage servicing rights pledged to secure: Assets sold under agreements to repurchase | 818,321 | 818,321 | 744,974 | |||||
Fair value of mortgage servicing rights pledged to secure: Note payable | 23,389 | 23,389 | ||||||
Total | $ 841,710 | $ 841,710 | $ 744,974 |
Mortgage Servicing Rights (Esti
Mortgage Servicing Rights (Estimate of future amortization) (Details) $ in Thousands | Sep. 30, 2016USD ($) |
Estimated amortization | |
2,017 | $ 149,968 |
2,018 | 126,485 |
2,019 | 108,364 |
2,020 | 93,669 |
2,021 | 81,397 |
Thereafter | 495,149 |
Total | $ 1,055,032 |
Mortgage Servicing Rights (Serv
Mortgage Servicing Rights (Servicing, late, ancillary and other fees relating to MSRs) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Contractually Specified Servicing Fees, Late Fees, and Ancillary Fees Earned in Exchange for Servicing Financial Assets [Line Items] | ||||
Contractually Specified Servicing Fees, Amount | $ 98,865 | $ 83,424 | $ 282,962 | $ 200,392 |
Late Fees and Ancillary Fees Earned in Exchange for Servicing Financial Assets [Abstract] | ||||
Ancillary Fee Income Generated by Servicing Financial Assets, Amount | 11,913 | 10,096 | 34,183 | 33,131 |
Bank Servicing Fees | 45,864 | 57,258 | 89,938 | 152,583 |
Mortgage servicing rights | ||||
Contractually Specified Servicing Fees, Late Fees, and Ancillary Fees Earned in Exchange for Servicing Financial Assets [Line Items] | ||||
Contractually Specified Servicing Fees, Amount | 98,865 | 83,424 | 282,962 | 200,392 |
Late Fees and Ancillary Fees Earned in Exchange for Servicing Financial Assets [Abstract] | ||||
Late Fee Income Generated by Servicing Financial Assets, Amount | 4,798 | 1,420 | 14,164 | 4,538 |
Ancillary Fee Income Generated by Servicing Financial Assets, Amount | 1,316 | 478 | 3,393 | 1,880 |
Bank Servicing Fees | $ 104,979 | $ 85,322 | $ 300,519 | $ 206,810 |
Mortgage Servicing Rights (Mort
Mortgage Servicing Rights (Mortgage servicing liabilities carried at FV) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Amortized cost: | ||||
Assumption of mortgage servicing liability | $ 5,736 | |||
Mortgage servicing liabilities resulting from mortgage loan sales | 11,810 | $ 20,442 | ||
Mortgage servicing liabilities | ||||
Amortized cost: | ||||
Balance at beginning of year | $ 4,681 | $ 11,791 | 1,399 | 6,306 |
Assumption of mortgage servicing liability | 5,736 | 5,736 | ||
Mortgage servicing liabilities resulting from mortgage loan sales | 6,401 | 8,358 | 11,810 | 20,442 |
Change in fair value | (3,773) | (9,425) | (5,900) | (16,024) |
Balance at end of year | $ 13,045 | $ 10,724 | $ 13,045 | $ 10,724 |
Carried Interest Due from Inv85
Carried Interest Due from Investment Funds (Details) - Investment Funds $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016USD ($) | Sep. 30, 2015USD ($) | Sep. 30, 2016USD ($)item | Sep. 30, 2015USD ($) | |
Activity in the carried interest | ||||
Balance at beginning of year | $ 70,763 | $ 68,713 | $ 69,926 | $ 67,298 |
Carried Interest recognized during the year | 107 | 1,483 | 944 | 2,898 |
Balance at end of year | $ 70,870 | $ 70,196 | $ 70,870 | $ 70,196 |
Additional disclosures | ||||
Number of times when agreement will be extended | item | 3 | |||
Agreement extensions term | 1 year |
Borrowings - Assets Sold Under
Borrowings - Assets Sold Under Agreement to Repurchase (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
During the period: | |||||
Total interest expense | $ 12,951 | $ 5,661 | $ 33,863 | $ 14,159 | |
Carrying value: | |||||
Unpaid principal balance | 2,491,762 | 2,491,762 | |||
Unamortized issuance costs | (396) | (396) | $ (674) | ||
Total loans sold under agreements to repurchase | 2,491,366 | 2,491,366 | 1,166,731 | ||
Amortization of commitment fees excluded from calculation of Weighted average interest rate | 7,944 | 5,688 | |||
Assets sold under agreements to repurchase | |||||
During the period: | |||||
Average balance of mortgage loans sold under agreements to repurchase | $ 1,515,632 | $ 975,724 | $ 1,303,313 | $ 805,517 | |
Weighted-average interest rate (as a percent) | 2.87% | 1.84% | 2.87% | 1.82% | |
Total interest expense | $ 12,951 | $ 5,661 | $ 33,863 | $ 14,159 | |
Maximum daily amount outstanding | 2,550,035 | 1,496,306 | 2,550,035 | 1,496,306 | |
Carrying value: | |||||
Unpaid principal balance | 2,491,762 | 2,491,762 | 1,167,405 | ||
Unamortized issuance costs | (396) | (396) | (674) | ||
Total loans sold under agreements to repurchase | 2,491,366 | 2,491,366 | 1,166,731 | ||
Unused amount | 350,238 | 350,238 | 40,178 | ||
Fair value of assets pledged to secure | $ 3,488,836 | $ 3,488,836 | $ 1,616,427 | ||
Weighted average interest rate (as a percent) | 2.63% | 2.63% | 2.50% | ||
Margin deposits placed with counterparties | $ 3,000 | $ 3,000 | $ 2,500 | ||
Amortization of commitment fees excluded from calculation of Weighted average interest rate | 1,800 | $ 1,100 | 5,400 | $ 3,100 | |
Assets sold under agreements to repurchase | Mortgage Loans | |||||
Carrying value: | |||||
Fair value of assets pledged to secure | 2,278,952 | 2,278,952 | 833,748 | ||
Assets sold under agreements to repurchase | Mortgage servicing rights | |||||
Carrying value: | |||||
Fair value of assets pledged to secure | $ 1,209,884 | $ 1,209,884 | $ 782,679 |
Borrowings - Maturities of Outs
Borrowings - Maturities of Outstanding Advances Under Repurchase Agreements (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2016 | Dec. 31, 2015 | |
Mortgage loans sold under agreement to repurchase | ||
Unpaid principal balance | $ 2,491,762 | |
Unamortized issuance costs | (396) | $ (674) |
Total loans sold under agreements to repurchase | $ 2,491,366 | $ 1,166,731 |
Weighted-average maturity (in months) | 1 month 21 days | |
Within 30 days | ||
Mortgage loans sold under agreement to repurchase | ||
Unpaid principal balance | $ 161,828 | |
Over 30 to 90 days | ||
Mortgage loans sold under agreement to repurchase | ||
Unpaid principal balance | 2,325,774 | |
Over 90 days | ||
Mortgage loans sold under agreement to repurchase | ||
Unpaid principal balance | $ 4,160 |
Borrowings - Mortgage Loans Sol
Borrowings - Mortgage Loans Sold Under Agreement to Repurchase by Counterparty (Details) - Assets sold under agreements to repurchase $ in Thousands | Sep. 30, 2016USD ($) |
Credit Suisse First Boston Mortgage Capital LLC Tranche One | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 820,256 |
Credit Suisse First Boston Mortgage Capital LLC Tranche Two | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 70,451 |
Bank of America, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 47,433 |
JP Morgan | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 11,800 |
Morgan Stanley Bank | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 20,279 |
Citibank, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 27,027 |
Barclays | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 76,502 |
Borrowings - Mortgage Loan Part
Borrowings - Mortgage Loan Particpation and Sale Agreement (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
During the period: | |||||
Total interest expense | $ 1,887,000 | $ 814,000 | $ 3,585,000 | $ 2,053,000 | |
Carrying value: | |||||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 782,913,000 | 782,913,000 | $ 234,872,000 | ||
Amortization of debt issuance costs and commitment fees relating to financing facilities | 7,944,000 | 5,688,000 | |||
Mortgage Loan Participation and Sale Agreement member | |||||
During the period: | |||||
Average balance | $ 365,112,000 | $ 200,510,000 | $ 241,131,000 | $ 163,365,000 | |
Weighted-average interest rate (as a percent) | 1.75% | 1.44% | 1.72% | 1.43% | |
Total interest expense | $ 1,887,000 | $ 814,000 | $ 3,585,000 | $ 2,053,000 | |
Carrying value: | |||||
Unpaid principal balance of mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 782,942,000 | 782,942,000 | 234,898,000 | ||
Unamortized issuance costs | (29,000) | (29,000) | (26,000) | ||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 782,913,000 | $ 782,913,000 | $ 234,872,000 | ||
Weighted-average interest rate (as a percent) | 1.77% | 1.77% | 1.45% | ||
Fair value of mortgage servicing rights pledged to secure: Note payable | $ 815,665,000 | $ 815,665,000 | $ 245,741,000 | ||
Amortization of debt issuance costs and commitment fees relating to financing facilities | 250,000 | 74,000 | 435,000 | 276,000 | |
Maximum | Mortgage Loan Participation and Sale Agreement member | |||||
Carrying value: | |||||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 793,395,000 | $ 250,325,000 | $ 793,395,000 | $ 250,325,000 |
Borrowings - Note Payable (Deta
Borrowings - Note Payable (Details) - USD ($) | Dec. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 |
Carrying value: | ||||||
Note Payable | $ 110,619,000 | $ 110,619,000 | $ 61,136,000 | |||
During the period: | ||||||
Total interest expense | 2,129,000 | $ 3,760,000 | 6,018,000 | $ 7,858,000 | ||
Amortization of Financing Costs | 7,944,000 | 5,688,000 | ||||
Note Payable | ||||||
Carrying value: | ||||||
Unpaid principal balance | 111,014,000 | 111,014,000 | 62,677,000 | |||
Unamortized issuance costs | (395,000) | (395,000) | (1,541,000) | |||
Note Payable | 110,619,000 | 110,619,000 | 61,136,000 | |||
Unused amount | 88,986,000 | 88,986,000 | 57,328,000 | |||
During the period: | ||||||
Average balance | $ 100,390,000 | $ 361,488,000 | $ 102,492,000 | $ 239,935,000 | ||
Weighted-average interest rate (as a percent) | 4.55% | 3.07% | 4.50% | 3.03% | ||
Total interest expense | $ 2,129,000 | $ 3,760,000 | $ 6,018,000 | $ 7,858,000 | ||
Maximum daily amount outstanding | 115,006,000 | $ 407,000,000 | 128,849,000 | $ 407,000,000 | ||
Amortization of Financing Costs | 760,000 | 2,100,000 | ||||
Note Payable | Revolving credit agreement | ||||||
During the period: | ||||||
Maximum loan amount | $ 100,000,000 | |||||
Term of loan | 364 days | |||||
Note Payable | Mortgage servicing rights | ||||||
Carrying value: | ||||||
Assets pledged to secure | 123,194,000 | 123,194,000 | 20,881,000 | |||
Note Payable | Cash. | ||||||
Carrying value: | ||||||
Assets pledged to secure | 84,851,000 | 84,851,000 | 93,757,000 | |||
Note Payable | Carried interest | ||||||
Carrying value: | ||||||
Assets pledged to secure | $ 70,870,000 | $ 70,870,000 | $ 69,296,000 |
Borrowings - Obligations Under
Borrowings - Obligations Under Capital Lease (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |
Sep. 30, 2016 | Sep. 30, 2016 | Dec. 31, 2015 | |
Obligations Under Capital Lease | |||
Average balance | $ 21,975 | $ 17,451 | |
Weighted average interest rate | 2.46% | 2.45% | |
Total interest expense | $ 139 | $ 363 | |
Unpaid principal balance | 20,700 | 20,700 | $ 13,579 |
Furniture, fixtures, equipment and building improvements pledged to creditors | 22,281 | 22,281 | 14,034 |
Capitalized software pledged to creditors | 444 | 444 | $ 783 |
Maximum | |||
Obligations Under Capital Lease | |||
Maximum daily amount outstanding | $ 23,263 | $ 24,720 |
Borrowings - ESS (Details)
Borrowings - ESS (Details) - Recurring basis - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the year | $ 299,232 | $ 370,893 | $ 413,824 | $ 197,472 |
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: | ||||
Accrual of interest expense | 4,827 | 8,026 | 17,555 | 17,596 |
Repurchases | (59,045) | |||
Change in fair value | (7,880) | (19,696) | (46,884) | (26,698) |
Balance at the end of the year | 293,412 | 429,297 | 293,412 | 429,297 |
Excess servicing spread financing | ||||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the year | 294,551 | 359,102 | 412,425 | 191,166 |
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: | ||||
Accrual of interest expense | 4,827 | 8,026 | 17,555 | 17,596 |
Repayments | (16,342) | (24,717) | (54,623) | (55,800) |
Repurchases | (59,045) | |||
Change in fair value | (4,107) | (10,271) | (40,984) | (10,674) |
Balance at the end of the year | 280,367 | 418,573 | 280,367 | 418,573 |
Excess Servicing Spread Financing for Cash | ||||
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: | ||||
Issuances | 84,165 | 271,452 | ||
Excess Servicing Spread Financing Pursuant to Recapture Agreement | ||||
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: | ||||
Issuances | $ 1,438 | $ 2,268 | $ 5,039 | $ 4,833 |
Liability for Losses Under Re93
Liability for Losses Under Representations and Warranties (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
During the year: | ||||
Balance at beginning of year | $ 24,277 | $ 16,257 | $ 20,611 | $ 13,259 |
Provision for losses relating to representations and warranties on loans sold pursuant to mortgage loan sales | 852 | 2,292 | 5,220 | 5,535 |
Provision for losses relating to representations and warranties on loans sold reduction in liability due to change in estimate | (6,648) | (6,648) | ||
Incurred losses | (8) | (71) | (710) | (316) |
Balance at end of year | 18,473 | 18,478 | 18,473 | 18,478 |
Unpaid principal balance of mortgage loans subject to representations and warranties at year end | $ 80,050,420 | $ 54,259,297 | $ 80,050,420 | $ 54,259,297 |
Income Taxes - Effective Tax Ra
Income Taxes - Effective Tax Rates (Details) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
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) | 12.20% | 11.60% | 12.00% | 11.50% |
Noncontrolling Interest (Detail
Noncontrolling Interest (Details) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
Noncontrolling Interest [Line Items] | |||||
Noncontrolling interest in Private National Mortgage Acceptance Company, LLC (as a percent) | 70.70% | 70.70% | 71.10% | ||
Net income and the effects of changes in noncontrolling interest | |||||
Net Income (Loss) Available to Common Stockholders, Basic | $ 23,685 | $ 12,680 | $ 43,335 | $ 34,457 | |
Stock Issued During Period, Value, Conversion of Units | $ 1,398 | $ 487 | $ 4,038 | $ 2,919 | |
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) | 73 | 44 | 166 | 177 |
Net Gains on Mortgage Loans H96
Net Gains on Mortgage Loans Held for Sale (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Cash gain (loss): | ||||
Mortgage Loans | $ 40,381 | $ (33,957) | $ 82,612 | $ (70,171) |
Hedging activities | (13,526) | (51,469) | (163,659) | (51,803) |
Cash gain (loss), net of effects of cash hedging, on sale of mortgage loans held for sale | 26,855 | (85,426) | (81,047) | (121,974) |
Non-cash gain: | ||||
Mortgage servicing rights and mortgage servicing liabilities resulting from mortgage loan sales, net | 143,960 | 153,338 | 371,805 | 340,214 |
Provision for losses relating to representations and warranties on loans sold pursuant to mortgage loan sales | (852) | (2,292) | (5,220) | (5,535) |
Provision for losses relating to representations and warranties on loans sold reduction in liability due to change in estimate | 6,648 | 6,648 | ||
Change in fair value relating to loans and hedging derivatives held at period end: | ||||
Interest rate lock commitments | 15,256 | 15,800 | 61,744 | 11,137 |
Mortgage loans | 5,964 | 16,809 | 37,481 | 16,890 |
Hedging derivatives | (14,020) | (12,485) | 17,994 | 7,090 |
From non-affiliates | 183,811 | 85,744 | 409,405 | 247,822 |
Recapture payable to PennyMac Mortgage Investment Trust | (1,690) | (3,098) | (5,557) | (5,843) |
Net gains on mortgage loans held for sale at fair value | $ 182,121 | $ 82,646 | $ 403,848 | $ 241,979 |
Net Interest Expense (Details)
Net Interest Expense (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Interest income: | ||||
Short-term investments | $ 1,756 | $ 94 | $ 2,212 | $ 428 |
Mortgage loans held for sale at fair value | 14,835 | 12,518 | 38,578 | 32,657 |
Custodial funds | 4,144 | 1,152 | 10,204 | 2,263 |
Interest income, excluding related parties | 20,735 | 13,764 | 50,994 | 35,348 |
Interest income | 22,709 | 15,053 | 56,792 | 37,170 |
Interest expense: | ||||
Assets sold under agreements to repurchase | 12,951 | 5,661 | 33,863 | 14,159 |
Mortgage loan participation and sale agreement | 1,887 | 814 | 3,585 | 2,053 |
Note payable | 2,129 | 3,760 | 6,018 | 7,858 |
Obligations under capital lease | 139 | 363 | ||
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations | 4,587 | 1,803 | 10,114 | 5,003 |
Interest on mortgage loan impound deposits | 996 | 880 | 2,471 | 2,453 |
Interest expense, non-affiliates | 22,689 | 12,918 | 56,414 | 31,526 |
Interest expense | 27,516 | 20,944 | 73,969 | 49,122 |
Net interest expense: | (4,807) | (5,891) | (17,177) | (11,952) |
PMT | ||||
Interest income: | ||||
From PennyMac Mortgage Investment Trust | 1,974 | 1,289 | 5,798 | 1,822 |
Interest expense: | ||||
To PennyMac Mortgage Investment Trust Excess servicing spread financing at fair value | 4,827 | 8,026 | 17,555 | 17,596 |
Assets sold under agreements to repurchase | ||||
Interest expense: | ||||
Assets sold under agreements to repurchase | $ 12,951 | $ 5,661 | $ 33,863 | $ 14,159 |
Stock-based Compensation - Comp
Stock-based Compensation - Compensation Expense by Award (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Stock-Based Compensation | ||||
Stock-based compensation expense | $ 4,233 | $ 4,506 | $ 12,560 | $ 13,104 |
Stock Options | ||||
Stock-Based Compensation | ||||
Stock-based compensation expense | 1,073 | 1,396 | 3,576 | 4,392 |
Performance-based RSUs | ||||
Stock-Based Compensation | ||||
Stock-based compensation expense | 2,514 | 2,474 | 6,947 | 6,819 |
Time-based RSUs | ||||
Stock-Based Compensation | ||||
Stock-based compensation expense | 632 | 581 | 1,980 | 1,718 |
Exchangable PNMAC Units | ||||
Stock-Based Compensation | ||||
Stock-based compensation expense | $ 14 | $ 55 | $ 57 | $ 175 |
Stock-based Compensation - Acti
Stock-based Compensation - Activity of Equity Awards (Details) - shares shares in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Stock Options | ||||
Summary of equity awards, options | ||||
Balance at beginning of period (in units) | 2,786 | 1,869 | 1,845 | 1,167 |
Granted (in units) | 962 | 715 | ||
Exercised (in units) | (2) | (2) | ||
Forfeited or canceled (in units) | (28) | (11) | (49) | (24) |
Balance at end of period (in units) | 2,756 | 1,858 | 2,756 | 1,858 |
Performance-based RSUs | ||||
Summary of equity award grants, RSUs | ||||
Balance at beginning of period (in units) | 2,673 | 2,381 | 2,351 | 1,257 |
Granted (in units) | 813 | 1,143 | ||
Forfeited or canceled (in units) | (189) | (19) | (680) | (38) |
Balance at end of period (in units) | 2,484 | 2,362 | 2,484 | 2,362 |
Time-based RSUs | ||||
Summary of equity award grants, RSUs | ||||
Balance at beginning of period (in units) | 398 | 276 | 271 | 202 |
Granted (in units) | 10 | 261 | 150 | |
Vested (in units) | (6) | (121) | (75) | |
Exercised (in units) | (4) | |||
Forfeited or canceled (in units) | (11) | (4) | (20) | (9) |
Balance at end of period (in units) | 391 | 268 | 391 | 268 |
Exchangable PNMAC Units | ||||
Summary of equity award grants, RSUs | ||||
Balance at beginning of period (in units) | 76,109 | 76,015 | 76,029 | 75,936 |
Granted (in units) | 37 | 9 | 117 | 88 |
Balance at end of period (in units) | 76,146 | 76,024 | 76,146 | 76,024 |
Supplemental Cash Flow Infor100
Supplemental Cash Flow Information (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2016 | Sep. 30, 2015 | |
Supplemental Cash Flow Information | ||
Cash paid for interest | $ 70,897 | $ 47,867 |
Cash paid for income taxes | 452 | 1,909 |
Non-cash investing activity: | ||
Mortgage servicing rights resulting from mortgage loan sales | 383,615 | 360,656 |
Mortgage servicing liabilities resulting from mortgage loan sales | 11,810 | 20,442 |
Non-cash financing activity: | ||
Transfer of excess servicing spread pursuant to recapture agreement with PennyMac Mortgage Investment Trust | 5,039 | 4,833 |
Issuance of common stock in settlement of director fees | $ 230 | $ 223 |
Regulatory Net Worth and Age101
Regulatory Net Worth and Agency Capital Requirements (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Fannie Mae / Freddie Mac - PLS | ||
Regulatory Net Worth and Agency Capital Requirements | ||
Net worth | $ 1,166,706 | $ 835,157 |
Capital Requirement | 317,441 | 283,655 |
Liquidity | 132,969 | 145,431 |
Liquidity requirement | 43,055 | 38,936 |
Ginnie Mae - PLS | ||
Regulatory Net Worth and Agency Capital Requirements | ||
Net worth | 957,613 | 633,222 |
Capital Requirement | 390,520 | 386,732 |
Liquidity | 132,969 | 145,431 |
Liquidity requirement | 107,079 | 95,868 |
Ginnie Mae - PennyMac | ||
Regulatory Net Worth and Agency Capital Requirements | ||
Net worth | 1,135,605 | 894,731 |
Capital Requirement | 429,572 | 425,405 |
HUD - PLS | ||
Regulatory Net Worth and Agency Capital Requirements | ||
Net worth | 957,613 | 633,222 |
Capital Requirement | $ 2,500 | $ 2,500 |
Commitments and Contingencie102
Commitments and Contingencies (Details) $ in Thousands | Sep. 30, 2016USD ($) |
Commitment and Contingencies. | |
Commitments to purchase mortgage loans from PennyMac Mortgage Investment Trust | $ 2,383,191 |
Commitments to fund mortgage loans | 2,291,530 |
Total commitments to purchase and fund mortgage loans | $ 4,674,721 |
Segments and Related Informa103
Segments and Related Information - Effect of Change in Allocations (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Segments and Related Information | ||||
Operating Expenses | $ 152,117 | $ 115,282 | $ 388,927 | $ 323,910 |
Segments and Related Informa104
Segments and Related Information - Financial Hilights by Segment (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016USD ($) | Sep. 30, 2015USD ($) | Sep. 30, 2016USD ($)item | Sep. 30, 2015USD ($) | Dec. 31, 2015USD ($) | |
Segments and Related Information | |||||
Number of segments | item | 3 | ||||
Revenues: | |||||
Net gains (losses) on mortgage loans held for sale at fair value | $ 182,121 | $ 82,646 | $ 403,848 | $ 241,979 | |
Mortgage loan origination fees | 34,621 | 29,448 | 85,962 | 70,551 | |
Net servicing fees | 45,864 | 57,258 | 89,938 | 152,583 | |
Management fees | 5,521 | 6,456 | 17,163 | 21,908 | |
Net interest (expense) income: | |||||
Interest income | 22,709 | 15,053 | 56,792 | 37,170 | |
Interest expense | 27,516 | 20,944 | 73,969 | 49,122 | |
Net interest expense: | (4,807) | (5,891) | (17,177) | (11,952) | |
Interest expense, before non-segment activities | 27,516 | 21,004 | 74,019 | 49,182 | |
Net interest expense, before non-segment activities | (4,807) | (5,951) | (17,227) | (12,012) | |
Other | 713 | 252 | 2,624 | 2,151 | |
Total net revenues, before non-segment activities | 291,395 | 189,145 | 642,553 | 525,810 | |
Expenses | 152,117 | 115,282 | 388,927 | 323,910 | |
Income (loss) before provision for income taxes and non-segement activites | 139,278 | 73,863 | 253,626 | 201,900 | |
Non-segment activities | 60 | 49 | 60 | ||
Income before provision for income taxes | 139,278 | 73,923 | 253,675 | 201,960 | |
Assets: | |||||
Segment assets at period end | 5,596,194 | 5,596,194 | $ 3,505,294 | ||
Deferred tax asset | $ 18,378 | ||||
PMT | |||||
Revenues: | |||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 27,255 | 17,553 | 59,301 | 45,752 | |
Management fees | 5,025 | 5,742 | 15,576 | 18,524 | |
Investment Funds | |||||
Revenues: | |||||
Management fees | 496 | 714 | 1,587 | 3,384 | |
Carried Interest from Investment Funds | 107 | 1,483 | $ 944 | 2,898 | |
Mortgage banking | |||||
Segments and Related Information | |||||
Number of segments | item | 2 | ||||
Operating segment | |||||
Assets: | |||||
Segment assets at period end | 5,589,338 | 3,789,754 | $ 5,589,338 | 3,789,754 | |
Deferred tax asset | 25,900 | 25,900 | |||
Working capital | 6,900 | 6,900 | |||
Operating segment | Investment management | |||||
Revenues: | |||||
Management fees | 5,521 | 6,456 | 17,163 | 21,908 | |
Net interest (expense) income: | |||||
Interest income | 1 | ||||
Interest expense, before non-segment activities | 11 | 37 | |||
Net interest expense, before non-segment activities | (11) | (36) | |||
Other | (141) | 204 | (109) | ||
Total net revenues, before non-segment activities | 5,617 | 7,798 | 18,275 | 24,697 | |
Expenses | 5,413 | 5,618 | 16,205 | 17,631 | |
Income (loss) before provision for income taxes and non-segement activites | 204 | 2,180 | 2,070 | 7,066 | |
Income before provision for income taxes | 204 | 2,180 | 2,070 | 7,066 | |
Assets: | |||||
Segment assets at period end | 90,746 | 87,365 | 90,746 | 87,365 | |
Operating segment | Investment management | Investment Funds | |||||
Revenues: | |||||
Carried Interest from Investment Funds | 107 | 1,483 | 944 | 2,898 | |
Operating segment | Mortgage banking | |||||
Revenues: | |||||
Net gains (losses) on mortgage loans held for sale at fair value | 182,121 | 82,646 | 403,848 | 241,979 | |
Mortgage loan origination fees | 34,621 | 29,448 | 85,962 | 70,551 | |
Net servicing fees | 45,864 | 57,258 | 89,938 | 152,583 | |
Net interest (expense) income: | |||||
Interest income | 22,709 | 15,053 | 56,791 | 37,170 | |
Interest expense, before non-segment activities | 27,505 | 21,004 | 73,982 | 49,182 | |
Net interest expense, before non-segment activities | (4,796) | (5,951) | (17,191) | (12,012) | |
Other | 713 | 393 | 2,420 | 2,260 | |
Total net revenues, before non-segment activities | 285,778 | 181,347 | 624,278 | 501,113 | |
Expenses | 146,704 | 109,664 | 372,722 | 306,279 | |
Income (loss) before provision for income taxes and non-segement activites | 139,074 | 71,683 | 251,556 | 194,834 | |
Income before provision for income taxes | 139,074 | 71,683 | 251,556 | 194,834 | |
Assets: | |||||
Segment assets at period end | 5,498,592 | 3,702,389 | 5,498,592 | 3,702,389 | |
Operating segment | Mortgage banking | PMT | |||||
Revenues: | |||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 27,255 | 17,553 | 59,301 | 45,752 | |
Operating segment | Mortgage banking Production | |||||
Revenues: | |||||
Net gains (losses) on mortgage loans held for sale at fair value | 166,506 | 81,005 | 360,614 | 244,361 | |
Mortgage loan origination fees | 34,621 | 29,448 | 85,962 | 70,551 | |
Net interest (expense) income: | |||||
Interest income | 13,013 | 13,228 | 32,918 | 30,041 | |
Interest expense, before non-segment activities | 9,323 | 6,290 | 21,031 | 15,131 | |
Net interest expense, before non-segment activities | 3,690 | 6,938 | 11,887 | 14,910 | |
Other | 508 | 272 | 1,596 | 1,420 | |
Total net revenues, before non-segment activities | 232,580 | 135,216 | 519,360 | 376,994 | |
Expenses | 82,767 | 57,477 | 196,634 | 155,542 | |
Income (loss) before provision for income taxes and non-segement activites | 149,813 | 77,739 | 322,726 | 221,452 | |
Income before provision for income taxes | 149,813 | 77,739 | 322,726 | 221,452 | |
Assets: | |||||
Segment assets at period end | 3,221,446 | 1,723,137 | 3,221,446 | 1,723,137 | |
Operating segment | Mortgage banking Production | PMT | |||||
Revenues: | |||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 27,255 | 17,553 | 59,301 | 45,752 | |
Operating segment | Mortgage banking Servicing | |||||
Revenues: | |||||
Net gains (losses) on mortgage loans held for sale at fair value | 15,615 | 1,641 | 43,234 | (2,382) | |
Net servicing fees | 45,864 | 57,258 | 89,938 | 152,583 | |
Net interest (expense) income: | |||||
Interest income | 9,696 | 1,825 | 23,873 | 7,129 | |
Interest expense, before non-segment activities | 18,182 | 14,714 | 52,951 | 34,051 | |
Net interest expense, before non-segment activities | (8,486) | (12,889) | (29,078) | (26,922) | |
Other | 205 | 121 | 824 | 840 | |
Total net revenues, before non-segment activities | 53,198 | 46,131 | 104,918 | 124,119 | |
Expenses | 63,937 | 52,187 | 176,088 | 150,737 | |
Income (loss) before provision for income taxes and non-segement activites | (10,739) | (6,056) | (71,170) | (26,618) | |
Income before provision for income taxes | (10,739) | (6,056) | (71,170) | (26,618) | |
Assets: | |||||
Segment assets at period end | $ 2,277,146 | $ 1,979,252 | $ 2,277,146 | $ 1,979,252 |
Recently Issued Accounting P105
Recently Issued Accounting Pronouncements (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Recently Issued Accounting Pronouncements. | ||
Amount reclassified from Other assets | $ 60,061 | $ 45,594 |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) $ in Millions | Nov. 03, 2016 | Dec. 12, 2016 | Nov. 01, 2016 | Oct. 17, 2016 | Oct. 14, 2016 | Oct. 11, 2016 | Oct. 04, 2016 | Sep. 30, 2016 |
Morgan Stanley Bank | ||||||||
Securities Sold under Agreements to Repurchase [Abstract] | ||||||||
Maximum aggregate purchase price | $ 200 | |||||||
Aggregate purchase price, amount committed | 125 | |||||||
Bank of America, N.A. | Forecast [Member] | ||||||||
Securities Sold under Agreements to Repurchase [Abstract] | ||||||||
Maximum aggregate transaction amount | $ 250 | |||||||
Citibank, N.A. | ||||||||
Securities Sold under Agreements to Repurchase [Abstract] | ||||||||
Maximum aggregate purchase price | 200 | |||||||
Aggregate purchase price, uncommitted amount | 50 | |||||||
Credit Suisse First Boston Mortgage Capital LLC | ||||||||
Securities Sold under Agreements to Repurchase [Abstract] | ||||||||
Maximum aggregate purchase price | 907 | |||||||
Credit Suisse First Boston Mortgage Capital LLC | CSFB Repurchase Agreement | ||||||||
Securities Sold under Agreements to Repurchase [Abstract] | ||||||||
Aggregate purchase price, amount committed | 700 | |||||||
Credit Suisse First Boston Mortgage Capital LLC | MSR Repo | ||||||||
Securities Sold under Agreements to Repurchase [Abstract] | ||||||||
Aggregate purchase price, amount committed | $ 407 | |||||||
Subsequent Event [Member] | Morgan Stanley Bank | ||||||||
Securities Sold under Agreements to Repurchase [Abstract] | ||||||||
Maximum aggregate purchase price | $ 300 | |||||||
Aggregate purchase price, amount committed | $ 175 | |||||||
Subsequent Event [Member] | Bank of America, N.A. | ||||||||
Securities Sold under Agreements to Repurchase [Abstract] | ||||||||
Maximum aggregate transaction amount | $ 800 | |||||||
Subsequent Event [Member] | Citibank, N.A. | ||||||||
Securities Sold under Agreements to Repurchase [Abstract] | ||||||||
Maximum aggregate purchase price | $ 400 | |||||||
Aggregate purchase price, uncommitted amount | $ 250 | |||||||
Subsequent Event [Member] | Credit Suisse First Boston Mortgage Capital LLC | ||||||||
Securities Sold under Agreements to Repurchase [Abstract] | ||||||||
Maximum aggregate purchase price | $ 1,207 | |||||||
Subsequent Event [Member] | JP Morgan | ||||||||
Securities Sold under Agreements to Repurchase [Abstract] | ||||||||
Maximum aggregate transaction amount | $ 500 | |||||||
Subsequent Event [Member] | BALC | ||||||||
Securities Sold under Agreements to Repurchase [Abstract] | ||||||||
Leased equipment | $ 4.3 | |||||||
Lease term | 3 years |