Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2017 | Nov. 06, 2017 | |
Entity Registrant Name | PENNYMAC FINANCIAL SERVICES, INC. | |
Entity Central Index Key | 1,568,669 | |
Document Type | 10-Q | |
Document Period End Date | Sep. 30, 2017 | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Entity Current Reporting Status | Yes | |
Entity Filer Category | Accelerated Filer | |
Document Fiscal Year Focus | 2,017 | |
Document Fiscal Period Focus | Q3 | |
Class A Common Stock | ||
Entity Common Stock, Shares Outstanding | 23,288,705 | |
Class B Common Stock | ||
Entity Common Stock, Shares Outstanding | 48 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
ASSETS | ||
Cash (includes $55,537 and $91,788 pledged to creditors) | $ 67,708 | $ 99,367 |
Short-term investments at fair value | 136,217 | 85,964 |
Mortgage loans held for sale at fair value (includes $2,907,421 and $2,125,174 pledged to creditors) | 2,935,593 | 2,172,815 |
Derivative assets | 76,709 | 82,905 |
Servicing advances, net (includes valuation allowance of $51,889 and $45,425; $65,074 and $81,306 pledged to creditors) | 262,650 | 348,306 |
Carried Interest due from Investment Funds pledged to creditors | 8,500 | |
Mortgage servicing rights (includes $655,984 and $515,925 at fair value; $1,994,876 and $1,617,617 pledged to creditors) | 2,016,485 | 1,627,672 |
Real estate acquired in settlement of loans | 986 | 1,418 |
Furniture, fixtures, equipment and building improvements, net (includes $25,700 and $25,134 pledged to creditors) | 30,037 | 31,321 |
Capitalized software, net (includes $1,681 and $515 pledged to creditors) | 21,625 | 11,205 |
Mortgage loans eligible for repurchase | 584,394 | 382,268 |
Other | 81,380 | 50,892 |
Total assets | 6,388,369 | 5,133,902 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 2,096,492 | 1,735,114 |
Mortgage loans participation purchase and sale agreements | 531,776 | 671,426 |
Notes payable | 890,884 | 150,942 |
Obligations under capital lease | 24,373 | 23,424 |
Derivative liabilities | 11,474 | 22,362 |
Accounts payable and accrued expenses | 122,698 | 134,611 |
Mortgage servicing liabilities at fair value | 16,076 | 15,192 |
Income taxes payable | 49,620 | 25,088 |
Liability for mortgage loans eligible for repurchase | 584,394 | 382,268 |
Liability for losses under representations and warranties | 19,673 | 19,067 |
Total liabilities | 4,798,078 | 3,734,546 |
Commitments and contingencies - Note 14 | ||
STOCKHOLDERS' EQUITY | ||
Additional paid-in capital | 196,346 | 182,772 |
Retained earnings | 202,988 | 164,549 |
Total stockholders' equity attributable to PennyMac Financial Services, Inc. common stockholders | 399,336 | 347,323 |
Noncontrolling interest in Private National Mortgage Acceptance Company, LLC | 1,190,955 | 1,052,033 |
Total stockholders' equity | 1,590,291 | 1,399,356 |
Total liabilities and stockholders' equity | 6,388,369 | 5,133,902 |
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 | 8,547 | 70,906 |
Receivable, from affiliates | 654 | 1,219 |
LIABILITIES | ||
Payable to affiliates | 2,190 | 20,393 |
PMT | ||
ASSETS | ||
Investment in PennyMac Mortgage Investment Trust at fair value | 1,304 | 1,228 |
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell pledged to creditors | 148,072 | 150,000 |
Receivable, from affiliates | 16,008 | 16,416 |
LIABILITIES | ||
Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value | 248,763 | 288,669 |
Payable to affiliates | 124,589 | 170,036 |
Private National Mortgage Acceptance Company, LLC | ||
LIABILITIES | ||
Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | $ 75,076 | $ 75,954 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Cash pledged to creditors | $ 55,537 | $ 91,788 |
Mortgage loans held for sale, pledged to creditors | 2,907,421 | 2,125,174 |
Servicing advances, net, valuation allowance | 51,889 | 45,425 |
Servicing advances pledged to creditors | 65,074 | 81,306 |
Mortgage servicing rights, at fair value | 655,984 | 515,925 |
Mortgage servicing rights pledged to creditors | 1,994,876 | 1,617,671 |
Furniture, fixtures, equipment and building improvements pledged to creditors | 25,700 | 25,134 |
Capitalized software pledged to creditors | $ 1,681 | $ 515 |
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 | 23,219,088 | 22,426,779 |
Common stock, shares outstanding | 23,219,088 | 22,426,779 |
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 | 49 |
Common stock, shares outstanding | 49 | 49 |
CONSOLIDATED STATEMENTS OF INCO
CONSOLIDATED STATEMENTS OF INCOME - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Net gains on mortgage loans held for sale at fair value: | ||||
From non-affiliates | $ 98,235 | $ 183,811 | $ 285,599 | $ 409,405 |
Net gains on mortgage loans held for sale at fair value | 108,136 | 182,121 | 293,183 | 403,848 |
Mortgage loan origination fees from non-affiliates | 31,060 | 32,555 | 83,558 | 81,425 |
Mortgage loan origination fees | 33,168 | 34,621 | 88,935 | 85,962 |
Mortgage loan servicing fees | ||||
From non-affiliates and affiliates | 126,416 | 98,865 | 345,231 | 282,962 |
Ancillary and other fees | 15,548 | 11,913 | 38,616 | 34,183 |
Net servicing fees | 153,782 | 122,587 | 417,289 | 358,258 |
Amortization, impairment and change in fair value of mortgage servicing rights and mortgage servicing liabilities | (80,529) | (80,830) | (232,889) | (309,304) |
Change in fair value of excess servicing spread payable to PennyMac Mortgage Investment Trust | (75,701) | (76,723) | (218,132) | (268,320) |
Net mortgage loan servicing fees | 78,081 | 45,864 | 199,157 | 89,938 |
Management fees: | ||||
Management fees | 6,216 | 5,521 | 17,597 | 17,163 |
Interest income: | ||||
From non-affiliates | 42,326 | 20,735 | 97,328 | 50,994 |
Interest income | 44,442 | 22,709 | 103,274 | 56,792 |
Interest income (expense): | ||||
To non-affiliates | 38,494 | 22,689 | 95,832 | 56,414 |
Interest expense | 42,492 | 27,516 | 108,843 | 73,969 |
Net interest income (expense): | 1,950 | (4,807) | (5,569) | (17,177) |
Result of real estate acquired in settlement of loans | 281 | 42 | 137 | |
Other | 487 | 684 | 3,068 | 2,493 |
Total net revenue | 250,635 | 291,395 | 656,829 | 642,602 |
Expenses | ||||
Compensation | 93,417 | 96,132 | 261,624 | 247,577 |
Servicing | 24,968 | 22,177 | 76,513 | 56,494 |
Technology | 13,926 | 9,733 | 36,863 | 24,313 |
Loan origination | 5,581 | 6,471 | 14,830 | 15,567 |
Professional services | 4,636 | 4,631 | 12,977 | 12,923 |
Other | 13,963 | 12,973 | 39,886 | 32,053 |
Total expenses | 156,491 | 152,117 | 442,693 | 388,927 |
Income before provision for income taxes | 94,144 | 139,278 | 214,136 | 253,675 |
Provision for income taxes | 11,652 | 16,976 | 26,512 | 30,535 |
Net income | 82,492 | 122,302 | 187,624 | 223,140 |
Less: Net income attributable to noncontrolling interest | 65,411 | 98,617 | 149,185 | 179,805 |
Net income attributable to PennyMac Financial Services, Inc. common stockholders | $ 17,081 | $ 23,685 | $ 38,439 | $ 43,335 |
Earnings per common share | ||||
Basic (in dollars per share) | $ 0.73 | $ 1.07 | $ 1.66 | $ 1.96 |
Diluted (in dollars per share) | $ 0.71 | $ 1.06 | $ 1.62 | $ 1.95 |
Weighted-average common shares outstanding | ||||
Basic (in shares) | 23,426 | 22,217 | 23,147 | 22,101 |
Diluted (in shares) | 78,416 | 76,355 | 78,231 | 76,331 |
PMT | ||||
Net gains on mortgage loans held for sale at fair value: | ||||
From PennyMac Mortgage Investment Trust | $ 9,901 | $ (1,690) | $ 7,584 | $ (5,557) |
Mortgage loan origination fees from PennyMac Mortgage Investment Trust | 2,108 | 2,066 | 5,377 | 4,537 |
Fulfillment fees from PennyMac Mortgage Investment Trust | 23,507 | 27,255 | 61,184 | 59,301 |
Mortgage loan servicing fees | ||||
From non-affiliates and affiliates | 11,402 | 11,039 | 31,987 | 38,919 |
Change in fair value of excess servicing spread payable to PennyMac Mortgage Investment Trust | 4,828 | 4,107 | 14,757 | 40,984 |
Management fees: | ||||
Management fees | 6,038 | 5,025 | 16,684 | 15,576 |
Interest income: | ||||
From PennyMac Mortgage Investment Trust | 2,116 | 1,974 | 5,946 | 5,798 |
Interest income (expense): | ||||
To PennyMac Mortgage Investment Trust | 3,998 | 4,827 | 13,011 | 17,555 |
Change in fair value of investment in and dividends received from affiliate | (33) | (13) | 182 | 130 |
Investment Funds | ||||
Mortgage loan servicing fees | ||||
From non-affiliates and affiliates | 416 | 770 | 1,455 | 2,194 |
Management fees: | ||||
Management fees | 178 | 496 | 913 | 1,587 |
Carried Interest from Investment Funds | $ (1,158) | $ 107 | $ (1,045) | $ 944 |
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, 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 | ||
Stock and unit-based compensation | 3,341 | 8,914 | 12,255 | ||
Stock and unit-based compensation (in shares) | 99 | ||||
Distributions | (6,742) | (6,742) | |||
Issuance of Class A common stock in settlement of director fees | 230 | 230 | |||
Issuance of Class A 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 | 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 | ||||
Balance at Dec. 31, 2016 | 182,772 | 164,549 | 1,052,033 | $ 2 | 1,399,356 |
Balance (in shares) at Dec. 31, 2016 | 22,427 | ||||
Changes in stockholders' equity | |||||
Net income | 38,439 | 149,185 | 187,624 | ||
Stock and unit-based compensation | 4,861 | 10,200 | 15,061 | ||
Issuance of Class A common stock in settlement of director fees | 133 | 120 | 253 | ||
Repurchase of Class A common stock | (8,599) | $ (8,599) | (8,599) | ||
Shares of Class A common stock repurchased | (505) | ||||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. | 20,583 | (20,583) | $ 20,583 | ||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. (in shares) | 1,297 | 1,297 | |||
Tax effect of exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. | (3,404) | $ (3,404) | |||
Balance at Sep. 30, 2017 | $ 196,346 | $ 202,988 | $ 1,190,955 | $ 2 | $ 1,590,291 |
Balance (in shares) at Sep. 30, 2017 | 23,219 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) | 9 Months Ended | |
Sep. 30, 2017 | Sep. 30, 2016 | |
Cash flow from operating activities | ||
Net income | $ 187,624,000 | $ 223,140,000 |
Adjustments to reconcile net income to net cash used in operating activities: | ||
Net gains on mortgage loans held for sale at fair value | (293,183,000) | (403,848,000) |
Amortization, impairment and change in fair value of mortgage servicing rights, mortgage servicing liabilities and excess servicing spread | 218,132,000 | 268,320,000 |
Capitalization of interest on mortgage loans held for sale at fair value | (32,883,000) | (20,451,000) |
Accrual of interest on excess servicing spread financing | 13,011,000 | 17,555,000 |
Amortization of debt issuance costs and premium | 11,472,000 | 7,944,000 |
Results of real estate acquired in settlement of loans | (137,000) | |
Stock based compensation expense | 14,634,000 | 12,255,000 |
Provision for servicing advance losses | 26,157,000 | 19,799,000 |
Loss from disposition of fixed assets | 389,000 | |
Depreciation and amortization | 6,229,000 | 3,965,000 |
Originations of mortgage loans held for sale | (3,906,688,000) | (4,428,426,000) |
Purchase of mortgage loans from Ginnie Mae securities and early buyout investors for modification and subsequent sale | (2,629,907,000) | (1,588,711,000) |
Sale and principal payments of mortgage loans held for sale to non-affiliates | 38,097,411,000 | 33,124,241,000 |
Repurchase of mortgage loans subject to representations and warranties | (16,867,000) | (13,525,000) |
Decrease (increase) in servicing advances | 57,310,000 | (28,591,000) |
Collection of Carried Interest | 61,314,000 | |
Proceeds from sale of real estate acquired in settlement of loans | 2,758,000 | |
Decrease in deferred tax asset | 18,668,000 | |
Payments to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | (6,221,000) | 0 |
Increase in other assets | (35,636,000) | (24,325,000) |
(Decrease) increase in accounts payable and accrued expenses | (34,102,000) | 12,992,000 |
Net cash used in operating activities | (646,441,000) | (1,916,072,000) |
Cash flow from investing activities | ||
Increase in short-term investments | (50,253,000) | (12,430,000) |
Net settlement of derivative financial instruments used for hedging | (19,487,000) | 173,696,000 |
Purchase of mortgage servicing rights | (167,466,000) | (23,000) |
Purchase of furniture, fixtures, equipment and leasehold improvements | (5,276,000) | (17,539,000) |
Acquisition of capitalized software | (11,576,000) | (5,572,000) |
Increase in margin deposits and restricted cash | (33,171,000) | (39,467,000) |
Net cash (used in) provided by investing activities | (285,301,000) | 98,665,000 |
Cash flow from financing activities | ||
Sale of assets under agreements to repurchase | 24,376,644,000 | 31,708,423,000 |
Repurchase of assets sold under agreements to repurchase | (24,016,601,000) | (30,384,066,000) |
Issuance of mortgage loan participation certificates | 13,780,569,000 | 21,895,964,000 |
Repayment of mortgage loan participation certificates | (13,919,864,000) | (21,347,920,000) |
Advances on notes payable | 935,000,000 | 97,000,000 |
Repayments of notes payable | (186,935,000) | (48,661,000) |
Advances of obligations under capital lease | 10,298,000 | 12,651,000 |
Repayments of obligations under capital lease | (9,349,000) | (5,530,000) |
Repayment of excess servicing spread financing | (42,320,000) | (54,623,000) |
Settlement of excess servicing spread financing | (59,045,000) | |
Payment of debt issuance costs | (19,187,000) | (6,525,000) |
Assumption of mortgage servicing liability | 5,736,000 | |
Repurchase of common stock | (8,599,000) | |
Proceeds from common stock options exercised | 427,000 | |
Distributions to Private National Mortgage Acceptance Company, LLC members | (6,742,000) | |
Net cash provided by financing activities | 900,083,000 | 1,806,662,000 |
Net decrease in cash | (31,659,000) | (10,745,000) |
Cash at beginning of period | 99,367,000 | 105,472,000 |
Cash at end of period | 67,708,000 | 94,727,000 |
Investment Funds | ||
Adjustments to reconcile net income to net cash used in operating activities: | ||
Accrual of servicing rebate payable to Investment Funds | 129,000 | 209,000 |
Carried Interest from Investment Funds | 1,045,000 | (944,000) |
Collection of Carried Interest | (61,314,000) | |
Decrease (increase) in receivable from affiliates | 436,000 | (489,000) |
(Decrease) increase in payable to affiliate | (18,203,000) | (3,164,000) |
PMT | ||
Adjustments to reconcile net income to net cash used in operating activities: | ||
Amortization, impairment and change in fair value of mortgage servicing rights, mortgage servicing liabilities and excess servicing spread | (14,757,000) | (40,984,000) |
Change in fair value of investment in common shares of PennyMac Mortgage Investment Trust | (76,000) | (24,000) |
Purchase of mortgage loans held for sale from PennyMac Mortgage Investment Trust | (32,724,487,000) | (29,144,685,000) |
Sale of mortgage loans held for sale to Penny Mac Mortgage Investment Trust | 373,108,000 | 13,146,000 |
Decrease (increase) in receivable from affiliates | 332,000 | 5,491,000 |
(Decrease) increase in payable to affiliate | (46,013,000) | 1,971,000 |
Increase in income taxes payable | 26,471,000 | $ 11,415,000 |
Cash flow from investing activities | ||
Sale of assets purchased from PMT under agreement to resell | $ 1,928,000 |
Organization
Organization | 9 Months Ended |
Sep. 30, 2017 | |
Organization | |
Organization | Note 1—Organization 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. |
Basis of Presentation
Basis of Presentation | 9 Months Ended |
Sep. 30, 2017 | |
Basis of Presentation | |
Basis of Presentation | Note 2—Basis of Presentation The accompanying consolidated financial statements have been prepared in compliance with accounting principles generally accepted in the United States (“GAAP”) as codified in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (“ASC”) for interim financial information and with the 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. This interim consolidated information should be read together with the Company’s Annual Report on Form 10-K for the year ended December 31, 2016. 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, 2017. Intercompany accounts and transactions have been eliminated. Preparation of financial statements in compliance with GAAP requires management to make judgments and estimates that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements, and revenues and expenses during the reporting period. Actual results will likely differ from those estimates. |
Concentration of Risk
Concentration of Risk | 9 Months Ended |
Sep. 30, 2017 | |
Concentration of Risk | |
Concentration of Risk | Note 3—Concentration of Risk A substantial portion of the Company’s activities relate to the Advised Entities. Revenues generated from these entities (generally comprised of gains on mortgage loans held for sale, mortgage loan origination fees, fulfillment fees, mortgage loan servicing fees, management fees, Carried Interest, and net interest charged to these entities) totaled 22% and 15% of total net revenue for the quarters ended September 30, 2017 and 2016, respectively, and 20% and 22% for the nine months ended September 30, 2017 and 2016, respectively. |
Transactions with Affiliates
Transactions with Affiliates | 9 Months Ended |
Sep. 30, 2017 | |
Transactions with Affiliates | |
Transactions with Affiliates | Note 4—Transactions with Affiliates Transactions with PMT Operating Activities Mortgage Loan Production Activities and Mortgage Servicing Rights (“MSR”) Recapture The Company provides fulfillment and other services to PMT under a mortgage banking services agreement. Before September 12, 2016, the Company was entitled to a fulfillment fee based on the type of mortgage loan that PMT acquired and equal to a percentage of the unpaid principal balance (“UPB”) of such mortgage loan. The applicable fulfillment fee percentages were (i) 0.50% for conventional mortgage loans, (ii) 0.88% for loans sold in accordance with the Ginnie Mae Mortgage‑Backed Securities Guide, and (iii) 0.50% for all other mortgage loans not contemplated above; provided, however, that the Company was permitted, in its sole discretion, to reduce the amount of the applicable fulfillment fee and credit the amount of such reduction to the reimbursement otherwise due as described below. This reduction was only credited to the reimbursement applicable to the month in which the related mortgage loan was funded. Effective September 12, 2016, pursuant to the terms of an amended and restated mortgage banking services agreement, the applicable fulfillment fee percentages are (i) 0.35% for mortgage loans sold or delivered to Fannie Mae or Freddie Mac, and (ii) 0.85% for all other mortgage loans; provided, however, that no fulfillment fee shall be due or payable to the Company with respect to any mortgage loans underwritten to the Ginnie Mae Mortgage‑Backed Securities Guide. PMT does not hold the Ginnie Mae approval required to issue Ginnie Mae mortgage-backed securities (“MBS”) and act as a servicer. Accordingly, under the agreement, the Company currently purchases mortgage loans underwritten in accordance with the Ginnie Mae Mortgage-Backed Securities Guide “as is” and without recourse of any kind from PMT at PMT’s cost less an administrative fee plus accrued interest and a sourcing fee ranging from two to three and one-half basis points, generally based on the average number of calendar days mortgage loans are held by PMT before being purchased by the Company. In consideration for the mortgage banking services provided by the Company with respect to PMT’s acquisition of mortgage loans under the Company’s early purchase program, the Company is entitled to fees accruing (i) at a rate equal to $1,500 per year per early purchase facility administered by the Company, and (ii) in the amount of $35 for each mortgage loan that PMT acquires thereunder. The Company sells newly originated loans to PMT under a mortgage loan purchase agreement and a flow commercial mortgage loan purchase agreement. Historically, the Company has used the mortgage loan purchase agreement for the purpose of selling to PMT prime jumbo residential mortgage loans originated through its consumer direct lending channel. Beginning in the quarter ended September 30, 2017, the Company also sells non-government insured or guaranteed mortgage loans originated through its consumer direct lending channel to PMT under the mortgage loan purchase agreement. The Company sells to PMT small balance commercial mortgage loans, including multifamily mortgage loans, originated as part of its commercial lending activities using the flow commercial mortgage loan purchase agreement. Pursuant to the terms of an amended and restated MSR recapture agreement, effective September 12, 2016, if the Company refinances mortgage loans for which PMT previously held the MSRs, the Company is generally required to transfer and convey to one of PMT’s wholly‑owned subsidiaries, without cost to PMT, the MSRs with respect to new mortgage loans originated in those refinancings (or, under certain circumstances, other mortgage loans) that have an aggregate UPB that is not less than 30% of the aggregate UPB of all the mortgage loans so originated. Where the fair value of the aggregate MSRs to be transferred for the applicable month is less than $200,000, the Company may, at its option, pay cash to PMT in an amount equal to such fair value instead of transferring such MSRs. The MSR recapture agreement expires, unless terminated earlier in accordance with the agreement, on September 12, 2020, subject to automatic renewal for additional 18-month periods, unless terminated earlier in accordance with the terms of the agreement. Following is a summary of mortgage loan production activities and MSR recapture between the Company and PMT: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Net gain (loss) on mortgage loans held for sale at fair value: Net gain on mortgage loans held for sale to PMT $ 11,396 $ — $ 12,280 $ — Mortgage servicing rights and excess servicing spread recapture incurred (1,495) (1,690) (4,696) (5,557) $ 9,901 $ (1,690) $ 7,584 $ (5,557) Fair value of mortgage loans sold to PMT $ 332,886 5,007 373,108 13,146 Fulfillment fee revenue $ 23,507 $ 27,255 $ 61,184 $ 59,301 Unpaid principal balance of mortgage loans fulfilled for PMT $ 6,530,036 $ 7,263,557 $ 17,079,969 $ 15,696,940 Sourcing fees paid to PMT $ 3,275 $ 3,509 $ 9,340 $ 8,282 Unpaid principal balance of mortgage loans purchased from PMT $ 10,915,194 $ 11,694,065 $ 31,131,154 $ 27,599,186 Tax service fees received from PMT included in Mortgage loan origination fees $ 2,108 $ 2,006 $ 5,377 $ 4,537 Property management fees received from PMT included in Other income $ 95 $ 10 $ 261 $ 95 Early purchase program fees earned from PMT included in Mortgage loan servicing fees $ 1 $ 5 $ 7 $ 7 Mortgage Loan Servicing The Company has a mortgage loan servicing agreement with PMT (“Servicing Agreement”). The Servicing Agreement provides for servicing fees of per‑loan monthly amounts based on the delinquency, bankruptcy and/or foreclosure status of the serviced mortgage loan or the real estate acquired in settlement of loans (“REO”). The Company also remains entitled to customary ancillary income and market-based fees and charges, including boarding and deboarding fees, liquidation and disposition fees, assumption, modification and origination fees and late charges relating to mortgage loans it services for PMT. The Servicing Agreement was amended and restated as of September 12, 2016; however, the fee structure was not amended in any material respect. · The base servicing fee rates for distressed whole mortgage loans range from $30 per month for current loans up to $100 per month for loans where the borrower has declared bankruptcy. The base servicing fee rate for REO is $75 per month. To the extent the Company facilitates rentals of PMT's REO under its REO rental program, the Company collects an REO rental fee of $30 per month per REO, an REO property lease renewal fee of $100 per lease renewal, and a property management fee in an amount equal to the Company’s cost if property management services and/or any related software costs are outsourced to a third-party property management firm or 9% of gross rental income if the Company provides property management services directly. The Company is also entitled to retain any tenant paid application fees and late rent fees and seek reimbursement for certain third-party vendor fees. · The base servicing fees for non-distressed mortgage loans are calculated through a monthly per-loan dollar amount, with the actual dollar amount for each loan based on whether the mortgage loan is a fixed-rate or adjustable-rate loan. The base servicing fee rates are $7.50 per month and $8.50 per month for fixed-rate loans and adjustable-rate loans, respectively. · The Company is also entitled to certain activity-based fees for distressed whole mortgage loans that are charged based on the achievement of certain events. These fees range from 0.50% for a streamline modification to 1.50% for a liquidation and $500 for a deed-in-lieu of foreclosure. The Company is not entitled to earn more than one liquidation fee, reperformance fee or modification fee per mortgage loan in any 18-month period. · Because PMT has limited employees and infrastructure, the Company is required to provide a range of services and activities significantly greater in scope than the services provided in connection with a customary servicing arrangement. For these services, the Company receives a supplemental servicing fee of $25 per month for each distressed mortgage loan. The Company is entitled to reimbursement for all customary, good faith reasonable and necessary out-of-pocket expenses incurred by the Company in performance of its servicing obligations. · Except as otherwise provided in the MSR recapture agreement, when the Company effects a refinancing of a mortgage loan on behalf of PMT and not through a third-party lender and the resulting mortgage loan is readily saleable, or the Company originates a loan to facilitate the disposition of a REO, the Company is entitled to receive from PMT market-based fees and compensation consistent with pricing and terms the Company offers unaffiliated parties on a retail basis. · The Company is entitled to retain any incentive payments made to it and to which it is entitled under the U.S. Department of Treasury’s Home Affordable Modification Plan (“HAMP”); provided, however, that with respect to any such incentive payments paid to the Company in connection with a mortgage loan modification for which PMT previously paid the Company a modification fee, the Company is required to reimburse PMT an amount equal to the incentive payments. The Servicing Agreement expires on September 12, 2020, subject to automatic renewal for additional 18-month periods, unless terminated earlier in accordance with the terms of the agreement. Following is a summary of mortgage loan servicing fees earned from PMT: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Mortgage loans acquired for sale at fair value: Base and supplemental $ 88 $ 90 $ 235 $ 225 Activity-based 188 210 507 497 276 300 742 722 Mortgage loans at fair value: Base and supplemental 1,571 2,615 5,284 8,881 Activity-based 2,702 3,014 6,859 14,981 4,273 5,629 12,143 23,862 Mortgage servicing rights: Base and supplemental 6,702 4,978 18,727 13,999 Activity-based 151 132 375 336 6,853 5,110 19,102 14,335 $ 11,402 $ 11,039 $ 31,987 $ 38,919 Investment Management Activities The Company has a management agreement with PMT (“Management Agreement”). The Management Agreement provides that: · The base management fee is calculated quarterly and is equal to the sum of (i) 1.5% per year of PMT’s average shareholders’ equity up to $2 billion, (ii) 1.375% per year of PMT’s average shareholders’ equity in excess of $2 billion and up to $5 billion, and (iii) 1.25% per year of PMT’s average shareholders’ equity in excess of $5 billion. · The performance incentive fee is calculated quarterly at a defined annualized percentage of the amount by which PMT’s “net income,” on a rolling four‑quarter basis and before deducting the incentive fee, exceeds certain levels of return on “equity.” The performance incentive fee is equal to the sum of: (a) 10% of the amount by which PMT’s net income attributable to its common shares of beneficial interest and for the quarter exceeds (i) an 8% return on equity plus the “high watermark,” up to (ii) a 12% return on PMT’s equity; plus (b) 15% of the amount by which PMT’s net income for the quarter exceeds (i) a 12% return on PMT’s equity plus the “high watermark,” up to (ii) a 16% return on PMT’s equity; plus (c) 20% of the amount by which PMT’s net income for the quarter exceeds a 16% return on equity plus the “high watermark.” For the purpose of determining the amount of the performance incentive fee: “Net income” is defined as net income or loss attributable to its common shares of beneficial interest computed in accordance with GAAP adjusted for certain other non‑cash charges determined after discussions between the Company and PMT’s independent trustees and approval by a majority of PMT’s independent trustees. “Equity” is the weighted average of the issue price per common share of all of PMT’s public offerings, multiplied by the weighted average number of common shares outstanding (including restricted share units) in the rolling four‑quarter period. The “high watermark” is the quarterly adjustment that reflects the amount by which the net income (stated as a percentage of return on equity) in that quarter exceeds or falls short of the lesser of 8% and the average Fannie Mae 30‑year MBS yield (the “Target Yield”) for the four quarters then ended. If the net income is lower than the Target Yield, the high watermark is increased by the difference. If the net income is higher than the Target Yield, the high watermark is reduced by the difference. Each time a performance incentive fee is earned, the high watermark returns to zero. As a result, the threshold amounts required for the Company to earn a performance incentive fee are adjusted cumulatively based on the performance of PMT’s net income over (or under) the Target Yield, until the net income in excess of the Target Yield exceeds the then‑current cumulative high watermark amount, and a performance incentive fee is earned. The base management fee and the performance incentive fee are both receivable quarterly in arrears. The performance incentive fee may be paid in cash or a combination of cash and PMT’s common shares (subject to a limit of no more than 50% paid in common shares), at PMT’s option. The Management Agreement expires on September 12, 2020, subject to automatic renewal for additional 18-month periods, unless terminated earlier in accordance with the terms of the 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. Following is a summary of the base management and performance incentive fees earned from PMT: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Base management $ 6,038 $ 5,025 $ 16,380 $ 15,576 Performance incentive — — 304 — $ 6,038 $ 5,025 $ 16,684 $ 15,576 Expense Reimbursement Under the Management Agreement, PMT reimburses the Company for its organizational and operating expenses, including third-party expenses, incurred on PMT’s behalf, it being understood that the Company and its affiliates shall allocate a portion of their personnel’s time to provide certain legal, tax and investor relations services for the direct benefit of PMT. With respect to the allocation of the Company’s and its affiliates’ personnel, from and after September 12, 2016, the Company shall be reimbursed $120,000 per fiscal quarter, such amount to be reviewed annually and not preclude reimbursement for any other services performed by the Company or its affiliates. PMT is also required to pay its pro rata portion of rent, telephone, utilities, office furniture, equipment, machinery and other office, internal and overhead expenses of the Company and its affiliates required for PMT’s and its subsidiaries’ operations. These expenses will be allocated based on the ratio of PMT’s proportion of gross assets compared to all remaining gross assets managed by the Company as calculated at each fiscal quarter end. The Company received reimbursements from PMT for expenses as follows: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Reimbursement of: Common overhead incurred by the Company $ 1,193 $ 1,417 $ 4,220 $ 6,413 Expenses incurred on PMT's (the Company's) behalf, net 196 13 849 (102) $ 1,389 $ 1,430 $ 5,069 $ 6,311 Payments and settlements during the period (1) $ 22,786 $ 45,988 $ 63,249 $ 102,600 (1) Payments and settlements include payments for management fees and correspondent production activities itemized in the preceding tables and netting settlements made pursuant to master netting agreements between the Company and PMT. Conditional Reimbursement of Underwriting Fees In connection with its initial public offering of common shares of beneficial interest on August 4, 2009 (“IPO”), PMT conditionally agreed to reimburse the Company up to $2.9 million for underwriting fees paid to the IPO underwriters by the Company on PMT’s behalf. The Company received $30,000 in reimbursement from PMT during the quarter and nine months ended September 30, 2017 and received no reimbursement 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 Master Repurchase Agreement with the Issuer Trust On December 19, 2016, the Company, through PLS, entered into a master repurchase agreement with one of PMT’s wholly-owned subsidiaries, PennyMac Holdings, LLC (“PMH”) (the “PMH Repurchase Agreement”), pursuant to which PMH may borrow from the Company for the purpose of financing PMH’s participation certificates representing beneficial ownership in excess servicing spread (“ESS”). PLS then re-pledges such participation certificates to PNMAC GMSR ISSUER TRUST (the “Issuer Trust”) under a master repurchase agreement by and among PLS, the Issuer Trust and PennyMac, as guarantor (the “PC Repurchase Agreement”). The Issuer Trust was formed for the purpose of allowing PLS to finance MSRs and ESS relating to such MSRs (the “GNMA MSR Facility”). In connection with the GNMA MSR Facility, PLS pledges and/or sells to the Issuer Trust participation certificates representing beneficial interests in MSRs and ESS pursuant to the terms of the PC Repurchase Agreement. In return, the Issuer Trust (a) has issued to PLS, pursuant to the terms of an indenture, the Series 2016-MSRVF1 Variable Funding Note, dated December 19, 2016, known as the “PNMAC GMSR ISSUER TRUST MSR Collateralized Notes, Series 2016-MSRVF1” (the “VFN”), and (b) has issued and may, from time to time pursuant to the terms of any supplemental indenture, issue to institutional investors additional term notes (“Term Notes”), in each case secured on a pari passu basis by the participation certificates relating to the MSRs and ESS. The maximum principal balance of the VFN is $1,000,000,000. The principal amount paid by PLS for the participation certificates under the PMH Repurchase Agreement is based upon a percentage of the market value of the underlying ESS. Upon PMH’s repurchase of the participation certificates, PMH is required to repay PLS the principal amount relating thereto plus accrued interest (at a rate reflective of the current market and consistent with the weighted average note rate of the VFN and any outstanding Term Notes) to the date of such repurchase. PLS is then required to repay the Issuer Trust the corresponding amount under the PC Repurchase Agreement. Prior to the Company’s entry into the PMH Repurchase Agreement and PC Repurchase Agreement in connection with the GNMA MSR Facility, the Company was a party to a repurchase agreement with Credit Suisse First Boston Mortgage Capital LLC (“CSFB”) (the “MSR Repo”), pursuant to which it financed Ginnie Mae MSRs and servicing advance receivables and pledged to CSFB all of its rights and interests in any Ginnie Mae MSRs it owned or acquired, and a separate acknowledgement agreement with respect thereto, by and among Ginnie Mae, CSFB and the Company. In connection with the MSR Repo described above, the Company and PMT entered into an underlying loan and security agreement, dated as of April 30, 2015, pursuant to which PMT was able to borrow up to $150 million from the Company for the purpose of financing ESS (the “Underlying LSA”). In order to secure its borrowings, PMT pledged its ESS to the Company under the Underlying LSA and the Company, in turn, re-pledged such ESS to CSFB under the MSR Repo. The principal amount of the borrowings under the Underlying LSA was based upon a percentage of the market value of the ESS pledged by PMT, subject to the $150 million sublimit described above. Pursuant to the Underlying LSA, PMT granted to the Company a security interest in all of its right, title and interest in, to and under the ESS pledged to secure the borrowings. The Company and PMT agreed in connection with the Underlying LSA that PMT was required to repay the Company the principal amount of borrowings plus accrued interest to the date of such repayment, and the Company was required to repay CSFB the corresponding amount under the MSR Repo. Interest accrued on PMT’s note relating to the Underlying LSA at a rate based on CSFB’s cost of funds under the MSR Repo. PMT was also required to pay the Company a fee for the structuring of the Underlying LSA in an amount equal to the portion of the corresponding fee paid by the Company to CSFB and allocable to the $150 million relating to the ESS financing. The note receivable was replaced by the PMH Repurchase Agreement upon the closing of the GNMA MSR facility. The Company holds an investment in PMT in the form of 75,000 common shares of beneficial interest. Following is a summary of investing activities between the Company and PMT: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Interest income: Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 2,116 $ — $ 5,946 $ — Note receivable from PennyMac Mortgage Investment Trust $ — $ 1,974 $ — $ 5,798 Common shares of beneficial interest of PennyMac Dividends received from PennyMac Mortgage Investment $ 35 $ 35 $ 106 $ 106 Change in fair value of investment in common shares of (68) (48) 76 24 $ (33) $ (13) $ 182 $ 130 September 30, December 31, 2017 2016 (in thousands) Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 148,072 $ 150,000 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Fair value $ 1,304 $ 1,228 Number of shares 75 75 Financing Activities Spread Acquisition and MSR Servicing Agreements Effective February 1, 2013, the Company entered into a master spread acquisition and MSR servicing agreement (the “2/1/13 Spread Acquisition Agreement”), pursuant to which it sold to PMT or one of its wholly-owned subsidiaries the rights to receive certain ESS from MSRs acquired by the Company from banks and other third party financial institutions. The Company was generally required to service or subservice the related mortgage loans for the applicable Agency or investor. The terms of each transaction under the 2/1/13 Spread Acquisition Agreement were subject to the terms thereof, as modified and supplemented by the terms of a confirmation executed in connection with such transaction. To the extent the Company refinanced any of the mortgage loans relating to the ESS sold to PMT, the 2/1/13 Spread Acquisition Agreement contained recapture provisions requiring that the Company transfer to PMT, at no cost, the ESS relating to a certain percentage of the UPB of the newly originated mortgage loans. To the extent the fair value of the aggregate ESS to be transferred for the applicable month was less than $200,000, the Company was, at its option, permitted to pay cash to PMT in an amount equal to such fair value instead of transferring such ESS. On February 29, 2016, the parties terminated the 2/1/13 Spread Acquisition Agreement and all amendments thereto. In connection with the termination of the 2/1/13 Spread Acquisition Agreement, PLS reacquired from PMH all of its right, title and interest in and to all of the Fannie Mae ESS previously sold by PLS to PMH and then subject to such 2/1/13 Spread Acquisition Agreement. On December 19, 2014, the Company entered into a second master spread acquisition and MSR servicing agreement with PMT (the “12/19/14 Spread Acquisition Agreement”). The terms of the 12/19/14 Spread Acquisition Agreement are substantially similar to the terms of the 2/1/13 Spread Acquisition Agreement, except that the Company only intends to sell ESS relating to Freddie Mac MSRs under the 12/19/14 Spread Acquisition Agreement. To the extent the Company refinances any of the mortgage loans relating to the ESS it sells to PMT, the 12/19/14 Spread Acquisition Agreement also contains recapture provisions requiring that the Company transfer to PMT, at no cost, the ESS relating to a certain percentage of the UPB of the newly originated mortgage loans. To the extent the fair market value of the aggregate ESS to be transferred for the applicable month is less than $200,000, the Company may, at its option, pay cash to PMT in an amount equal to such fair market value in lieu of transferring such ESS. On February 29, 2016, PLS also reacquired from PMT all of its right, title and interest in and to all of the Freddie Mac ESS previously sold by PLS to PMT and then subject to such 12/19/14 Spread Acquisition Agreement. The 12/19/14 Spread Acquisition Agreement remains in full force and effect. On December 19, 2016, the Company amended and restated a third master spread acquisition and MSR servicing agreement with PMT (the “12/19/16 Spread Acquisition Agreement”). The terms of the 12/19/16 Spread Acquisition Agreement are substantially similar to the terms of the 2/1/13 Spread Acquisition Agreement and the 12/19/14 Spread Acquisition Agreement, except that the Company only intends to sell ESS relating to Ginnie Mae MSRs under the 12/19/16 Spread Acquisition Agreement. Pursuant to the 12/19/16 Spread Acquisition Agreement, the Company may sell to PMT, from time to time, the right to receive participation certificates representing beneficial ownership in ESS arising from Ginnie Mae MSRs acquired by the Company, in which case the Company generally would be required to service or subservice the related mortgage loans for Ginnie Mae. The primary purpose of the amendment and restatement was to facilitate the continued financing of the ESS owned by PMT in connection with the parties’ participation in the GNMA MSR Facility. To the extent the Company refinances any of the mortgage loans relating to the ESS it has acquired, the 12/19/16 Spread Acquisition Agreement also contains recapture provisions requiring that the Company transfer to PMT, at no cost, the ESS relating to a certain percentage of the unpaid principal balance of the newly originated mortgage loans. However, under the 12/19/16 Spread Acquisition Agreement, in any month where the transferred ESS relating to newly originated Ginnie Mae mortgage loans is not equivalent to at least 90% of the product of the excess servicing fee rate and the unpaid principal balance of the refinanced mortgage loans, the Company is also required to transfer additional ESS or cash in the amount of such shortfall. Similarly, in any month where the transferred ESS relating to modified Ginnie Mae mortgage loans is not equivalent to at least 90% of the product of the excess servicing fee rate and the unpaid principal balance of the modified mortgage loans, the 12/19/16 Spread Acquisition Agreement contains provisions that require the Company to transfer additional ESS or cash in the amount of such shortfall. To the extent the fair market value of the aggregate ESS to be transferred for the applicable month is less than $200,000, the Company may, at its option, wire cash to PMT in an amount equal to such fair market value in lieu of transferring such ESS. Following is a summary of financing activities between the Company and PMT: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Excess servicing spread financing: Issuance pursuant to recapture agreement $ 1,207 $ 1,438 $ 4,160 $ 5,039 Repayment $ 13,410 $ 16,342 $ 42,320 $ 54,623 Settlement $ — $ — $ — $ 59,045 Change in fair value $ (4,828) $ (4,107) $ (14,757) $ (40,984) Interest expense $ 3,998 $ 4,827 $ 13,011 $ 17,555 Recapture incurred pursuant to refinancings by the Company of mortgage loans subject to excess servicing spread financing included in Net gains on mortgage loans held for sale at fair value $ 1,163 $ 1,283 $ 3,837 $ 4,709 Receivable from and Payable to PMT Amounts receivable from and payable to PMT are summarized below: September 30, December 31, 2017 2016 (in thousands) Receivable from PMT: Management fees $ 6,038 $ 5,081 Servicing fees 5,329 5,465 Allocated expenses and expenses incurred on PMT's behalf 1,541 1,046 Correspondent production fees 1,430 2,371 Conditional Reimbursement 870 900 Fulfillment fees 662 1,300 Interest on assets purchased under agreements to resell 138 253 $ 16,008 $ 16,416 Payable to PMT: Deposits made by PMT to fund servicing advances $ 119,864 $ 162,945 Mortgage servicing rights recapture payable 384 707 Other 4,341 6,384 $ 124,589 $ 170,036 Investment Funds The Company has investment management agreements with the Investment Funds pursuant to which it receives management fees consisting of base management fees and Carried Interest. The management fees are based on the lesser of the funds’ net asset values or aggregate capital contributions. The base management fees accrue at annual rates ranging from 1.5% to 2.0% of the applicable amounts on which they are based. The Carried Interest that the Company recognizes from the Investment Funds is determined by the Investment Funds’ performance and its contractual rights to share in the Investments Funds’ returns in excess of the preferred returns, if any, accruing to the funds’ investors. The Company recognizes Carried Interest as a participation in the profits in the Investment Funds after the investors in the Investment Funds have achieved a preferred return as defined in the fund agreements. After the investors have achieved the preferred returns specified in the respective fund agreements, a “catch up” return accrues to the Company until it receives a specified percentage of the preferred return. Thereafter, the Company participates in future returns in excess of the preferred return at the rates specified in the fund agreements. The Company also has loan servicing agreements with the Investment Funds. The loan servicing to be provided by the Company under the loan servicing agreements with the Investment Funds includes collecting principal, interest and escrow account payments, if any, with respect to mortgage loans, as well as managing loss mitigation, which may include, among other things, collection activities, loan workouts, modifications, foreclosures and short sales. The Company may also engage in certain loan origination activities that include refinancing mortgage loans and arranging financings that facilitate sales of REOs. The loan servicing agreements with the Investment Funds generally provide for fee revenue, which varies depending on the type and quality of the loans being serviced. The Company is also entitled to certain customary market-based fees and charges. On August 9, 2017, the Investment Funds completed the sale of substantially all of their remaining assets. Accordingly, future management and servicing fees from the Investment Funds will be substantially curtailed. In a related distribution of the sale proceeds, the Company received $61.3 million in cash in settlement of the majority of its Carried Interest. The Investment Funds are scheduled to remain in existence through December 31, 2018, subject to a one-year extension at the Company’s discretion, in accordance with the terms of the limited liability company and limited partnership agreements that govern the Investment Funds. Amounts due from and payable to the Investment Funds are summarized below: September 30, December 31, 2017 2016 (in thousands) Carried Interest due from Investment Funds: PNMAC Mortgage Opportunity Fund, LLC $ 6,381 $ 42,427 PNMAC Mortgage Opportunity Fund Investors, LLC 2,166 28,479 $ 8,547 $ 70,906 Receivable from Investment Funds: Expense reimbursements $ 188 $ 238 Management fees 186 500 Mortgage loan servicing fee rebate deposit 270 250 Mortgage loan servicing fees 10 231 $ 654 $ 1,219 Payable to Investment Funds: Deposits received to fund servicing advances $ 2,092 $ 20,221 Other 98 172 $ 2,190 $ 20,393 Exchanged Private National Mortgage Acceptance Company, LLC Unitholders The Company entered into a tax receivable agreement with owners of PennyMac other than the Compan |
Loan Sales and Servicing Activi
Loan Sales and Servicing Activities | 9 Months Ended |
Sep. 30, 2017 | |
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 as servicer with the mortgage loans: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Cash flows: Sales proceeds $ 13,600,232 $ 13,947,544 $ 38,097,411 $ 33,124,241 Servicing fees received (1) $ 97,312 $ 67,371 $ 272,303 $ 186,474 Net servicing (recoveries) advances $ (15,061) $ 4,608 $ (1,271) $ 14,153 (1) Net of guarantee fees paid to the Agencies. The following table summarizes the outstanding balance of the mortgage loans sold by the Company in which it maintains continuing involvement: September 30, December 31, 2017 2016 (in thousands) Unpaid principal balance of mortgage loans outstanding $ 114,565,019 $ 89,516,155 Delinquencies: 30-89 days $ 4,625,124 $ 2,545,970 90 days or more: Not in foreclosure $ 1,389,729 $ 735,263 In foreclosure $ 486,893 $ 137,856 Foreclosed $ 26,673 $ 2,552 Bankruptcy $ 580,616 $ 256,471 The following tables summarize the Company’s entire mortgage loan servicing portfolio: September 30, 2017 Contract Total Servicing servicing and mortgage rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 114,565,019 $ — $ 114,565,019 Purchased 49,747,190 — 49,747,190 164,312,209 — 164,312,209 Affiliated entities — 71,201,957 71,201,957 Mortgage loans held for sale 2,858,642 — 2,858,642 $ 167,170,851 $ 71,201,957 $ 238,372,808 Commercial real estate loans subserviced for the Company $ — $ 84,605 $ 84,605 Delinquent mortgage loans: 30 days $ 5,537,378 $ 555,714 $ 6,093,092 60 days 1,374,485 123,033 1,497,518 90 days or more: Not in foreclosure 2,290,211 421,033 2,711,244 In foreclosure 847,885 421,484 1,269,369 Foreclosed 37,546 310,025 347,571 $ 10,087,505 $ 1,831,289 $ 11,918,794 Bankruptcy $ 993,512 $ 213,274 $ 1,206,786 Custodial funds managed by the Company (1) $ 3,844,655 $ 1,077,340 $ 4,921,995 (1) Custodial funds include borrower and investor custodial cash accounts relating 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 are included in Interest income in the Company’s consolidated statements of income. December 31, 2016 Contract Total Servicing servicing and mortgage rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 89,516,155 $ — $ 89,516,155 Purchased 41,735,847 — 41,735,847 131,252,002 — 131,252,002 Affiliated entities — 60,886,717 60,886,717 Mortgage loans held for sale 2,101,283 — 2,101,283 $ 133,353,285 $ 60,886,717 $ 194,240,002 Commercial real estate loans subserviced for the Company $ — $ 22,338 $ 22,338 Delinquent mortgage loans: 30 days $ 3,240,640 $ 407,177 $ 3,647,817 60 days 1,035,871 145,720 1,181,591 90 days or more: Not in foreclosure 2,203,895 566,496 2,770,391 In foreclosure 937,204 685,001 1,622,205 Foreclosed 28,943 448,017 476,960 $ 7,446,553 $ 2,252,411 $ 9,698,964 Bankruptcy $ 793,517 $ 280,459 $ 1,073,976 Custodial funds managed by the Company (1) $ 3,097,365 $ 736,398 $ 3,833,763 (1) Custodial funds include borrower and investor custodial cash accounts relating 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 are 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 mortgage loan servicing portfolio for the top five and all other states as measured by UPB: September 30, December 31, State 2017 2016 (in thousands) California $ 45,688,146 $ 42,303,952 Texas 19,187,903 16,037,426 Florida 16,638,346 12,817,627 Virginia 15,723,658 13,143,510 Maryland 10,832,044 8,564,923 All other states 130,302,711 101,372,564 $ 238,372,808 $ 194,240,002 |
Fair Value
Fair Value | 9 Months Ended |
Sep. 30, 2017 | |
Fair Value | |
Fair Value | Note 6—Fair Value Most of the Company’s assets and certain of its liabilities 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 other than Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell , as well as its originated MSRs relating to loans with initial interest rates of more than 4.5%, its purchased MSRs and its 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 identified its ESS financing to be accounted for at fair value as a means of hedging the related MSRs’ fair value risk. Originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5% are accounted for using the amortization method. Assets and Liabilities Measured at Fair Value on a Recurring Basis Following is a summary of assets and liabilities that are measured at fair value on a recurring basis: September 30, 2017 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 136,217 $ — $ — $ 136,217 Mortgage loans held for sale at fair value — 2,559,353 376,240 2,935,593 Derivative assets: Interest rate lock commitments — — 57,304 57,304 Repurchase agreement derivatives — — 469 469 Forward purchase contracts — 404 — 404 Forward sales contracts — 9,961 — 9,961 MBS put options — 11,423 — 11,423 MBS call options — 171 — 171 Put options on interest rate futures purchase contracts 7,867 — — 7,867 Call options on interest rate futures purchase contracts 918 — — 918 Total derivative assets before netting 8,785 21,959 57,773 88,517 Netting — — — (11,808) Total derivative assets 8,785 21,959 57,773 76,709 Investment in PennyMac Mortgage Investment Trust 1,304 — — 1,304 Mortgage servicing rights at fair value — — 655,984 655,984 $ 146,306 $ 2,581,312 $ 1,089,997 $ 3,805,807 Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ — $ 248,763 $ 248,763 Derivative liabilities: Interest rate lock commitments — — 2,920 2,920 Forward purchase contracts — 26,678 — 26,678 Forward sales contracts — 1,310 — 1,310 MBS put options — 5,026 — 5,026 Call options on interest rate futures sale contracts 586 — — 586 Total derivative liabilities before netting 586 33,014 2,920 36,520 Netting — — — (25,046) Total derivative liabilities 586 33,014 2,920 11,474 Mortgage servicing liabilities at fair value — — 16,076 16,076 $ 586 $ 33,014 $ 267,759 $ 276,313 December 31, 2016 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 85,964 $ — $ — $ 85,964 Mortgage loans held for sale at fair value — 2,125,544 47,271 2,172,815 Derivative assets: Interest rate lock commitments — — 65,848 65,848 Forward purchase contracts — 77,905 — 77,905 Forward sales contracts — 28,324 — 28,324 MBS put options — 3,934 — 3,934 MBS call options — 217 — 217 Put options on interest rate futures purchase contracts 3,109 — — 3,109 Call options on interest rate futures purchase contracts 203 — — 203 Total derivative assets before netting 3,312 110,380 65,848 179,540 Netting — — — (96,635) Total derivative assets 3,312 110,380 65,848 82,905 Investment in PennyMac Mortgage Investment Trust 1,228 — — 1,228 Mortgage servicing rights at fair value — — 515,925 515,925 $ 90,504 $ 2,235,924 $ 629,044 $ 2,858,837 Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ — $ 288,669 $ 288,669 Derivative liabilities: Interest rate lock commitments — — 6,457 6,457 Forward purchase contracts — 16,914 — 16,914 Forward sales contracts — 85,035 — 85,035 Total derivative liabilities before netting — 101,949 6,457 108,406 Netting — — — (86,044) Total derivative liabilities — 101,949 6,457 22,362 Mortgage servicing liabilities at fair value — — 15,192 15,192 $ — $ 101,949 $ 310,318 $ 326,223 As shown above, all or a portion of the Company’s mortgage loans held for sale, Interest Rate Lock Commitments (“IRLCs”), MSRs at fair value, ESS and MSLs are measured using Level 3 fair value inputs. Following are roll forwards of these items for the quarters and nine months ended September 30, 2017 and 2016: Quarter ended September 30, 2017 Mortgage Net interest Repurchase Mortgage loans held rate lock agreement servicing for sale commitments (1) derivatives rights Total (in thousands) Assets: Balance, June 30, 2017 $ 380,084 $ 46,158 $ — $ 678,441 $ 1,104,683 Purchases and issuances, net 499,546 83,798 469 41 583,854 Sales and repayments (306,458) — — — (306,458) Mortgage servicing rights resulting from mortgage loan sales — — — 5,773 5,773 Changes in fair value included in income arising from: — Changes in instrument-specific credit risk (1,130) — — — (1,130) Other factors — 41,693 — (28,271) 13,422 (1,130) 41,693 — (28,271) 12,292 Transfers from Level 3 to Level 2 (195,802) — — — (195,802) Transfers of interest rate lock commitments to mortgage loans held for sale — (117,265) — — (117,265) Balance, September 30, 2017 $ 376,240 $ 54,384 $ 469 $ 655,984 $ 1,087,077 Changes in fair value recognized during the period relating to assets still held at September 30, 2017 $ (2,851) $ 54,384 $ — $ (28,271) $ 23,262 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended September 30, 2017 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance, June 30, 2017 $ 261,796 $ 18,295 $ 280,091 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 1,207 — 1,207 Accrual of interest 3,998 — 3,998 Repayments (13,410) — (13,410) Mortgage servicing liabilities resulting from mortgage loan sales — 4,071 4,071 Changes in fair value included in income (4,828) (6,290) (11,118) Balance, September 30, 2017 $ 248,763 $ 16,076 $ 264,839 Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2017 $ (4,828) $ (6,290) $ (11,118) 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 $ 38,079 $ 90,262 $ 526,294 $ 654,635 Purchases 750,709 — 12 750,721 Sales and repayments (631,075) — — (631,075) Interest rate lock commitments issued, net — 148,315 — 148,315 Mortgage servicing rights resulting from mortgage loan sales — — 3,913 3,913 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 2,487 — — 2,487 Other factors — 68,241 (38,191) 30,050 2,487 68,241 (38,191) 32,537 Transfers from Level 3 to Level 2 (113,826) — — (113,826) Transfers of interest rate lock commitments to mortgage loans held for sale — (201,300) — (201,300) Balance, September 30, 2016 $ 46,374 $ 105,518 $ 492,028 $ 643,920 Changes in fair value recognized during the period relating to assets still held at September 30, 2016 $ (234) $ 105,518 $ (38,191) $ 67,093 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended September 30, 2016 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance, June 30, 2016 $ 294,551 $ 4,681 $ 299,232 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 1,438 — 1,438 Accrual of interest 4,827 — 4,827 Repayments (16,342) — (16,342) Mortgage servicing liabilities resulting from mortgage loan sales — 6,401 6,401 Mortgage servicing liabilities assumed — 5,736 5,736 Changes in fair value included in income (4,107) (3,773) (7,880) Balance, September 30, 2016 $ 280,367 $ 13,045 $ 293,412 Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2016 $ (4,107) $ (3,773) $ (7,880) Nine months ended September 30, 2017 Mortgage Net interest Repurchase Mortgage loans held rate lock agreement servicing for sale commitments (1) derivatives rights Total (in thousands) Assets: Balance, December 31, 2016 $ 47,271 $ 59,391 $ — $ 515,925 $ 622,587 Purchases and issuances, net 1,815,509 226,617 469 183,830 2,226,425 Sales and repayments (845,318) — — — (845,318) Mortgage servicing rights resulting from mortgage loan sales — — — 19,702 19,702 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (6,104) — — — (6,104) Other factors — 99,425 — (63,473) 35,952 (6,104) 99,425 — (63,473) 29,848 Transfers from Level 3 to Level 2 (635,118) — — — (635,118) Transfers of interest rate lock commitments to mortgage loans held for sale — (331,049) — — (331,049) Balance, September 30, 2017 $ 376,240 $ 54,384 $ 469 $ 655,984 $ 1,087,077 Changes in fair value recognized during the period relating to assets still held at September 30, 2017 $ (3,733) $ 54,384 $ — $ (63,473) $ (12,822) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Nine months ended September 30, 2017 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance, December 31, 2016 $ 288,669 $ 15,192 $ 303,861 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 4,160 — 4,160 Accrual of interest 13,011 — 13,011 Repayments (42,320) — (42,320) Mortgage servicing liabilities resulting from mortgage loan sales — 11,940 11,940 Changes in fair value included in income (14,757) (11,056) (25,813) Balance, September 30, 2017 $ 248,763 $ 16,076 $ 264,839 Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2017 $ (14,757) $ (11,056) $ (25,813) 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 $ 48,531 $ 43,773 $ 660,247 $ 752,551 Purchases 1,239,507 — 23 1,239,530 Sales and repayments (929,251) — — (929,251) Interest rate lock commitments issued, net — 329,533 — 329,533 Mortgage servicing rights resulting from mortgage loan sales — — 13,201 13,201 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 3,178 — — 3,178 Other factors — 217,429 (181,443) 35,986 3,178 217,429 (181,443) 39,164 Transfers from Level 3 to Level 2 (315,591) — — (315,591) Transfers of interest rate lock commitments to mortgage loans held for sale — (485,217) — (485,217) Balance, September 30, 2016 $ 46,374 $ 105,518 $ 492,028 $ 643,920 Changes in fair value recognized during the year relating to assets still held at September 30, 2016 $ 506 $ 105,518 $ (181,443) $ (75,419) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Nine months ended September 30, 2016 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance December 31, 2015 $ 412,425 $ 1,399 $ 413,824 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 5,039 — 5,039 Accrual of interest 17,555 — 17,555 Settlement (59,045) — (59,045) Repayments (54,623) — (54,623) Mortgage servicing liabilities resulting from mortgage loan sales — 11,810 11,810 Mortgage servicing liabilities assumed — 5,736 5,736 Changes in fair value included in income (40,984) (5,900) (46,884) Balance, September 30, 2016 $ 280,367 $ 13,045 $ 293,412 Changes in fair value recognized during the year relating to liabilities still outstanding at September 30, 2016 $ (33,774) $ (5,900) $ (39,674) The information used in the preceding roll forwards represents activity for assets and liabilities measured at fair value on a recurring basis and identified as using “Level 3” fair value inputs that are significant to the fair value measurement 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. Assets and Liabilities Measured at Fair Value under the Fair Value Option Net changes in fair values included in income for assets and liabilities carried at fair value as a result of management’s election of the fair value option by income statement line item are summarized below: Quarter ended September 30, 2017 2016 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 $ 130,869 $ — $ 130,869 $ 198,449 $ — $ 198,449 Mortgage servicing rights at fair value — (28,271) (28,271) — (38,191) (38,191) $ 130,869 $ (28,271) $ 102,598 $ 198,449 $ (38,191) $ 160,258 Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ 4,828 $ 4,828 $ — $ 4,107 $ 4,107 Mortgage servicing liabilities at fair value — 6,290 6,290 — 3,773 3,773 $ — $ 11,118 $ 11,118 $ — $ 7,880 $ 7,880 Nine months ended September 30, 2017 2016 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 $ 336,836 $ — $ 336,836 $ 499,058 $ — $ 499,058 Mortgage servicing rights at fair value — (63,473) (63,473) — (181,443) (181,443) $ 336,836 $ (63,473) $ 273,363 $ 499,058 $ (181,443) $ 317,615 Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ 14,757 $ 14,757 $ — $ 40,984 $ 40,984 Mortgage servicing liabilities at fair value — 11,056 11,056 — 5,900 5,900 $ — $ 25,813 $ 25,813 $ — $ 46,884 $ 46,884 Following are the fair value and related principal amounts due upon maturity of assets accounted for under the fair value option: September 30, 2017 Principal amount Fair due upon value maturity Difference (in thousands) Mortgage loans held for sale: Current through 89 days delinquent $ 2,652,858 $ 2,572,370 $ 80,488 90 days or more delinquent: Not in foreclosure 224,477 227,395 (2,918) In foreclosure 58,258 58,877 (619) $ 2,935,593 $ 2,858,642 $ 76,951 December 31, 2016 Principal amount Fair due upon value maturity Difference (in thousands) Mortgage loans held for sale: Current through 89 days delinquent $ 2,148,947 $ 2,077,034 $ 71,913 90 days or more delinquent: Not in foreclosure 19,227 19,399 (172) In foreclosure 4,641 4,850 (209) $ 2,172,815 $ 2,101,283 $ 71,532 Assets Measured at Fair Value on a Nonrecurring Basis Following is a summary of assets and liabilities that were measured at fair value on a nonrecurring basis during the periods presented: September 30, 2017 Level 1 Level 2 Level 3 Total (in thousands) Mortgage servicing rights at lower of amortized cost or fair value $ — $ — $ 1,341,959 $ 1,341,959 Real estate acquired in settlement of loans — — 717 717 $ — $ — $ 1,342,676 $ 1,342,676 December 31, 2016 Level 1 Level 2 Level 3 Total (in thousands) Mortgage servicing rights at lower of amortized cost or fair value $ — $ — $ 1,093,242 $ 1,093,242 Real estate acquired in settlement of loans — — 1,152 1,152 $ — $ — $ 1,094,394 $ 1,094,394 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, 2017 2016 2017 2016 (in thousands) Mortgage servicing rights at lower of amortized cost or fair value $ (17,270) $ (25,206) $ (33,906) $ (174,926) Real estate acquired in settlement of loans 17 42 102 — $ (17,253) $ (25,164) $ (33,804) $ (174,926) Fair Value of Financial Instruments Carried at Amortized Cost The Company’s Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell , Assets sold under agreements to repurchase , Mortgage loan participation purchase and sale agreements , Notes payable , Obligations under capital lease and amounts receivable from and payable to the Advised Entities are carried at amortized cost. These assets and liabilities 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 liabilities due to the lack of observable inputs to estimate their fair values and has concluded that those liabilities’ fair values 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 assets and liabilities 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 assets and liabilities, 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 assets and liabilities other than IRLCs. With respect to the non-IRLC “Level 3” valuations, the FAV group reports to the Company’s senior management valuation committee, which oversees and approves the valuations. The FAV group monitors the models used for valuation of the Company’s “Level 3” fair value assets and liabilities, including the models’ performance versus actual results, and reports those results to the Company’s senior management valuation committee. The Company’s senior management valuation committee includes the Company’s executive chairman and chief executive, chief financial, chief risk, chief enterprise operations and deputy chief financial 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 assets and liabilities, including major factors affecting the valuation and any changes in model methods and inputs. To assess the reasonableness of its valuations, the FAV group presents an analysis of the effect on the valuation of changes to the significant inputs to the models. 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 assets and liabilities: 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 assets 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 are non-saleable into active markets and are therefore categorized as “Level 3” fair value assets. Mortgage loans held for sale categorized as “Level 3” fair value assets include: · Certain delinquent government guaranteed or insured mortgage loans purchased by the Company 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. Such eligibility for resale generally occurs when the repurchased mortgage loans become current either through the borrower’s reperformance or through completion of a modification of the mortgage loan’s terms. · Certain of the Company’s mortgage loans held for sale that 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 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, 2017 December 31, 2016 Discount rate: Range 2.9% – 9.2% 2.6% – 8.8% Weighted average 2.9% 3.0% Twelve-month projected housing price index change: Range 2.9% – 5.5% 2.0% – 4.5% Weighted average 4.4% 3.7% Voluntary prepayment / resale speed (1): Range 0.1% – 21.5% 0.1% – 24.4% Weighted average 19.4% 20.9% Total prepayment speed (2): Range 0.1% – 40.3% 0.1% – 39.8% Weighted average 38.5% 34.3% (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 asset or liability. 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 and may be allocated to Net mortgage loan servicing fees as a hedge of the fair value of MSRs in the consolidated statements of income when it is included as a component of the MSR hedging strategy. Following is a quantitative summary of key “Level 3” fair value inputs used in the valuation of IRLCs: Key inputs September 30, 2017 December 31, 2016 Pull-through rate: Range 15.0% – 100.0% 35.0% – 100.0% Weighted average 85.9% 84.9% Mortgage servicing rights value expressed as: Servicing fee multiple: Range 1.2 – 6.0 1.2 – 5.9 Weighted average 4.0 4.3 Percentage of unpaid principal balance: Range 0.3% – 2.6% 0.3% – 2.8% Weighted average 1.4% 1.3% Hedging Derivatives Fair value of exchange-traded hedging derivative financial instruments are categorized by the Company as “Level 1” fair value assets and liabilities. Fair value of hedging derivative financial instruments based on observable MBS prices or interest rate volatilities in the MBS market are categorized as “Level 2” fair value assets and liabilities. 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 – Amortization, impairment and change in fair value of mortgage servicing rights and mortgage servicing liabilities , as applicable, in the consolidated statements of income. Repurchase Agreement Derivatives The Company has a master repurchase agreement that includes incentives for financing mortgage loans approved for satisfying certain consumer relief characteristics. These incentives are classified as embedded derivatives in the master repurchase agreement and are accounted for separate from the master repurchase agreement. The Company classifies these derivatives as “Level 3” fair value assets. The significant unobservable input into the valuation of these derivative assets is the expected approval rate of the mortgage loans financed under the master repurchase agreement. The approval rate included in the fair value estimate was 80% at September 30, 2017. Mortgage Servicing Rights MSRs are categorized as “Level 3” fair value assets. The Company uses a discounted cash flow approach to estimate the fair value of MSRs. 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 applicable pricing spread (discount rate), the prepayment rates of the underlying mortgage loans, 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 and mortgage servicing liabilities in the consolidated statements of income. Following are the key inputs used in determining the fair value of MSRs at the time of initial recognition, excluding MSR purchases: Quarter ended September 30, 2017 2016 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 $ 5,773 $ 153,061 $ 3,913 $ 146,448 Unpaid principal balance of underlying mortgage loans $ 573,463 $ 12,184,003 $ 340,562 $ 12,313,082 Weighted average servicing fee rate (in basis points) 31 32 33 29 Key inputs: Pricing spread (1) Range 7.6% – 11.2% 7.6% – 14.6% 7.6% – 10.5% 7.6% – 14.4% Weighted average 10.7% 10.8% 9.3% 9.5% Annual total prepayment speed (2) Range 3.9% – 46.8% 4.4% – 47.6% 5.0% – 42.8% 3.4% – 42.9% Weighted average 13.3% 9.5% 12.4% 9.7% Life (in years) Range 1.4 – 11.4 1.5 – 11.4 1.7 – 10.8 1.7 – 12.2 Weighted average 6.3 7.9 6.5 7.6 Per-loan annual cost of servicing Range $78 – $98 $79 – $98 $78 – 103 $78 – $102 Weighted average $89 $89 $92 $91 (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, 2017 2016 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 $19,702 $412,206 $13,201 $370,414 Unpaid principal balance of underlying mortgage loans $1,873,404 $33,890,209 $1,108,802 $29,667,803 Weighted average servicing fee rate (in basis points) 31 30 33 30 Key inputs: Pricing spread (1) Range 7.6% – 11.2% 7.6% – 15.2% 7.2% – 10.5% 7.2% – 14.4% Weighted average 10.5% 10.7% 8.9% 9.2% Annual total prepayment speed (2) Range 3.9% – 71.8% 3.4% – 47.6% 3.3% – 52.3% 3.4% – 50.9% Weighted average 12.5% 9.1% 12.6% 10.0% Life (in years) Range 0.8 – 11.5 1.5 – 12.2 1.3 – 11.8 1.3 – 12.2 Weighted average 6.6 8.1 6.5 7.5 Per-loan annual cost of servicing Range $78 – $101 $79 – $101 $68 – $105 $68 – $106 Weighted average $89 $89 $87 $88 (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 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 as of the dates presented and the effect on fair value from adverse changes in those inputs (weighted averages are based upon UPB): September 30, 2017 December 31, 2016 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 $ 655,984 $ 1,360,501 $ 515,925 $ 1,111,747 Unpaid principal balance of underlying mortgage loans $ 54,381,902 $ 108,417,676 $ 43,667,165 $ 85,509,941 Weighted average note interest rate 4.0% 3.8% 4.1% 3.7% Weighted average servicing fee rate (in basis points) 32 31 32 31 Key inputs: Pricing spread (1): Range 7.6% – 14.6% 7.6% – 14.6% 7.6% – 14.9% 7.6% – 14.9% Weighted average 10.2% 10.8% 10.1% 10.7% Effect on fair value of (2): 5% adverse change $ (11,631) $ (26 |
Mortgage Loans Held for Sale at
Mortgage Loans Held for Sale at Fair Value | 9 Months Ended |
Sep. 30, 2017 | |
Mortgage Loans Held for Sale at Fair Value | |
Mortgage Loans Held for Sale at Fair Value | Note 7—Mortgage Loans Held for Sale at Fair Value Mortgage loans held for sale at fair value include the following: September 30, December 31, 2017 2016 (in thousands) Government-insured or guaranteed $ 2,422,378 $ 1,984,020 Conventional conforming 136,975 141,524 Purchased from Ginnie Mae pools serviced by the Company 371,852 40,437 Repurchased pursuant to representations and warranties 4,388 6,834 $ 2,935,593 $ 2,172,815 Fair value of mortgage loans pledged to secure: Assets sold under agreements to repurchase $ 2,352,842 $ 1,422,255 Mortgage loan participation purchase and sale agreements 554,579 702,919 $ 2,907,421 $ 2,125,174 |
Derivative Activities
Derivative Activities | 9 Months Ended |
Sep. 30, 2017 | |
Derivative Activities | |
Derivative Activities | Note 8—Derivative Activities The Company holds and issues derivative financial instruments in connection with its operating activities. Derivative financial instruments are created as a result of certain of the Company’s operations and the Company also enters into derivative transactions as part of its interest rate management activities. Derivative financial instruments created as a result of the Company’s operations include: · IRLCs that are created when the Company commits to purchase or originate a mortgage loan acquired for sale. · Derivatives that are embedded in a master repurchase agreement that provides for the Company to receive incentives for financing mortgage loans that satisfy certain consumer relief characteristics under the master repurchase agreement. The Company also 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 the portion of its MSRs not financed with ESS. The Company records all derivative financial instruments at fair value and records changes in fair value in current period income. Derivative Notional Amounts and Fair Value of Derivatives The Company had the following derivative financial instruments recorded on its consolidated balance sheets: September 30, 2017 December 31, 2016 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: Not subject to master netting arrangements: Interest rate lock commitments 3,759,403 $ 57,304 $ 2,920 4,279,611 $ 65,848 $ 6,457 Repurchase agreement derivatives — 469 — — — — Used for hedging purposes: Forward purchase contracts 7,300,518 404 26,678 12,746,191 77,905 16,914 Forward sales contracts 7,584,893 9,961 1,310 16,577,942 28,324 85,035 MBS put options 5,650,000 11,423 5,026 1,175,000 3,934 — MBS call options 650,000 171 — 1,600,000 217 — Put options on interest rate futures purchase contracts 1,025,000 7,867 — 1,125,000 3,109 — Call options on interest rate futures purchase contracts 125,000 918 — 900,000 203 — Call options on interest rate futures sale contracts 125,000 — 586 — — — Interest rate swap futures purchase contracts 1,400,000 — — 200,000 — — Total derivatives before netting 88,517 36,520 179,540 108,406 Netting (11,808) (25,046) (96,635) (86,044) $ 76,709 $ 11,474 $ 82,905 $ 22,362 Deposits placed with derivative counterparties $ 13,238 $ 10,591 The following table summarizes the notional value activity for derivative contracts used in the Company’s hedging activities: Quarter ended September 30, 2017 Balance Balance beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts 7,819,706 47,723,376 (48,242,564) 7,300,518 Forward sale contracts 7,641,979 61,239,459 (61,296,545) 7,584,893 MBS put options 6,075,000 6,825,000 (7,250,000) 5,650,000 MBS call options — 7,900,000 (7,250,000) 650,000 Put options on interest rate futures purchase contracts 1,250,000 2,950,000 (3,175,000) 1,025,000 Call options on interest rate futures purchase contracts 200,000 125,000 (200,000) 125,000 Put options on interest rate futures sale contracts 200,000 2,975,000 (3,175,000) — Call options on interest rate futures sale contracts — 325,000 (200,000) 125,000 Treasury futures purchase contracts — 46,500 (46,500) — Treasury futures sale contracts — 46,500 (46,500) — Interest rate swap futures purchase contracts 325,000 1,075,000 — 1,400,000 Quarter ended September 30, 2016 Balance Balance beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts 13,510,863 63,091,757 (59,486,446) 17,116,174 Forward sale contracts 13,614,196 77,956,736 (73,802,639) 17,768,293 MBS put options 3,550,000 6,150,000 (4,200,000) 5,500,000 Put options on interest rate futures purchase contracts 1,000,000 4,025,000 (1,500,000) 3,525,000 Call options on interest rate futures purchase contracts 452,100 900,000 (1,052,100) 300,000 Treasury futures purchase contracts — 493,700 (168,700) 325,000 Treasury futures sale contracts — 168,700 (168,700) — Nine months ended September 30, 2017 Balance Balance beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts 12,746,191 136,663,951 (142,109,624) 7,300,518 Forward sale contracts 16,577,942 169,173,906 (178,166,955) 7,584,893 MBS put options 1,175,000 19,675,000 (15,200,000) 5,650,000 MBS call options 1,600,000 12,100,000 (13,050,000) 650,000 Put options on interest rate futures purchase contracts 1,125,000 7,410,000 (7,510,000) 1,025,000 Call options on interest rate futures purchase contracts 900,000 1,614,300 (2,389,300) 125,000 Put options on interest rate futures sale contracts — 7,510,000 (7,510,000) — Call options on interest rate futures sale contracts — 2,514,300 (2,389,300) 125,000 Treasury futures purchase contracts — 212,600 (212,600) — Treasury futures sale contracts — 212,600 (212,600) — Interest rate swap futures purchase contracts 200,000 1,600,000 (400,000) 1,400,000 Interest rate swap futures sales contracts — 400,000 (400,000) — Nine months ended September 30, 2016 Balance Balance beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts 5,254,293 140,774,477 (128,912,596) 17,116,174 Forward sale contracts 6,230,811 173,875,141 (162,337,659) 17,768,293 MBS put options 1,275,000 15,600,000 (11,375,000) 5,500,000 Put options on interest rate futures purchase contracts 1,650,000 8,700,000 (6,825,000) 3,525,000 Call options on interest rate futures purchase contracts 600,000 4,537,500 (4,837,500) 300,000 Treasury futures purchase contracts — 493,700 (168,700) 325,000 Treasury futures sale contracts — 168,700 (168,700) — Derivative Balances and Netting of Financial Instruments The Company has elected to present net derivative asset and liability positions, and cash collateral obtained from (or posted to) its counterparties when subject to a master netting arrangement that is legally enforceable on all counterparties in the event of default. The derivatives that are not subject to a master netting arrangement are IRLCs and repurchase agreement derivatives. Offsetting of Derivative Assets Following are summaries of derivative assets and related netting amounts. September 30, 2017 December 31, 2016 Gross Gross amount Net amount Gross Gross amount Net amount amount of offset in the of assets in the amount of offset in the of assets in the recognized consolidated consolidated recognized consolidated consolidated assets balance sheet balance sheet assets balance sheet balance sheet (in thousands) Derivatives not subject to master netting arrangements: Interest rate lock commitments $ 57,304 $ — $ 57,304 $ 65,848 $ — $ 65,848 Repurchase agreement derivatives 469 — 469 — — — 57,773 — 57,773 65,848 — 65,848 Derivatives subject to master netting arrangements: Forward purchase contracts 404 — 404 77,905 — 77,905 Forward sale contracts 9,961 — 9,961 28,324 — 28,324 MBS put options 11,423 — 11,423 3,934 — 3,934 MBS call options 171 — 171 217 — 217 Put options on interest rate futures purchase contracts 7,867 — 7,867 3,109 — 3,109 Call options on interest rate futures purchase contracts 918 — 918 203 — 203 Netting — (11,808) (11,808) — (96,635) (96,635) 30,744 (11,808) 18,936 113,692 (96,635) 17,057 $ 88,517 $ (11,808) $ 76,709 $ 179,540 $ (96,635) $ 82,905 Derivative Assets, Financial Instruments, and Cash Collateral Held by Counterparty The following table summarizes by significant counterparty the amount of derivative asset positions after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance qualifying for netting. September 30, 2017 December 31, 2016 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) IRLCs $ 57,304 $ — $ — $ 57,304 $ 65,848 $ — $ — $ 65,848 Repurchase agreement derivatives 469 — — 469 — — — — RJ O'Brien 8,199 — — 8,199 2,750 — — 2,750 Barclays Capital 4,388 — — 4,388 12,002 — — 12,002 Citibank, N.A. 3,275 — — 3,275 — — — — JPMorgan Chase Bank, N.A. 2,508 — — 2,508 99 — — 99 Others 566 — — 566 2,206 — — 2,206 $ 76,709 $ — $ — $ 76,709 $ 82,905 $ — $ — $ 82,905 Offsetting of Derivative Liabilities and Financial Liabilities Following is a summary of net derivative liabilities and assets sold under agreements to repurchase and related netting amounts. Assets sold under agreements to repurchase do not qualify for netting. September 30, 2017 December 31, 2016 Net Net amount amount Gross Gross amount of liabilities Gross Gross amount of liabilities amount of offset in the in the amount of offset in the in the recognized consolidated consolidated recognized consolidated consolidated liabilities balance sheet balance sheet liabilities balance sheet balance sheet (in thousands) Derivatives not subject to master netting arrangements – IRLCs $ 2,920 $ — $ 2,920 $ 6,457 $ — $ 6,457 Derivatives subject to a master netting arrangement: Forward purchase contracts 26,678 — 26,678 16,914 — 16,914 Forward sale contracts 1,310 — 1,310 85,035 — 85,035 MBS put options 5,026 — 5,026 — — — Call options on interest rate futures sale contracts 586 — 586 — — — Netting — (25,046) (25,046) — (86,044) (86,044) 33,600 (25,046) 8,554 101,949 (86,044) 15,905 Total derivatives 36,520 (25,046) 11,474 108,406 (86,044) 22,362 Mortgage loans sold under agreements to repurchase: Amount outstanding 2,096,965 — 2,096,965 1,736,922 — 1,736,922 Unamortized debt issuance costs and premiums (473) — (473) (1,808) — (1,808) 2,096,492 — 2,096,492 1,735,114 — 1,735,114 $ 2,133,012 $ (25,046) $ 2,107,966 $ 1,843,520 $ (86,044) $ 1,757,476 Derivative Liabilities, Financial Instruments, and Collateral Held by Counterparty The following table summarizes by significant counterparty the amount of derivative liabilities and assets sold under agreements to repurchase after considering master netting arrangements and financial instruments or cash pledged that do not qualify under the accounting guidance for netting. All assets sold under agreements to repurchase are secured by sufficient collateral or have fair value that exceeds the liability amount recorded on the consolidated balance sheets. September 30, 2017 December 31, 2016 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) IRLCs $ 2,920 $ — $ — $ 2,920 $ 6,457 $ — $ — $ 6,457 Credit Suisse First Boston Mortgage Capital LLC 901,424 (901,424) — — 961,533 (960,988) — 545 Bank of America, N.A. 495,640 (491,083) — 4,557 349,638 (342,769) — 6,869 Deutsche Bank 204,079 (204,079) — — — — — — JPMorgan Chase Bank, N.A. 183,216 (183,216) — — 135,322 (135,322) — — Morgan Stanley Bank, N.A. 105,235 (105,235) — — 189,756 (188,851) — 905 Citibank, N.A. 99,413 (99,413) — — 81,555 (80,525) — 1,030 Barclays Capital 26,149 (26,149) — — 28,467 (28,467) — — Royal Bank of Canada 86,834 (86,366) — 468 2,937 — — 2,937 Federal National Mortgage Association 2,197 — — 2,197 1,033 — — 1,033 BNP Paribas — — — — 1,151 — — 1,151 Others 1,332 — — 1,332 1,435 — — 1,435 $ 2,108,439 $ (2,096,965) $ — $ 11,474 $ 1,759,284 $ (1,736,922) $ — $ 22,362 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 2017 2016 2017 2016 (in thousands) Interest rate lock commitments and mortgage loans held for sale Net gains on mortgage loans held for sale $ (26,981) $ (27,546) $ (27,191) $ (145,665) Mortgage servicing rights Net mortgage loan servicing fees – Amortization, impairment and change in fair value of mortgage servicing rights and mortgage servicing liabilities $ 7,174 $ 19,026 $ (17,018) $ 142,694 |
Carried Interest Due from Inves
Carried Interest Due from Investment Funds | 9 Months Ended |
Sep. 30, 2017 | |
Carried Interest Due from Investment Funds | |
Carried Interest Due from Investment Funds | Note 9—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, 2017 2016 2017 2016 (in thousands) Balance at beginning of period $ 71,019 $ 70,763 $ 70,906 $ 69,926 Carried Interest recognized during the period (1,158) 107 (1,045) 944 Cash received during the period (61,314) — (61,314) — Balance at end of period $ 8,547 $ 70,870 $ 8,547 $ 70,870 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. On August 9, 2017, the Investment Funds completed the sale of substantially all of their remaining assets. The Company collected a substantial portion of its Carried Interest during the quarter ended September 30, 2017 and expects to collect the remaining balance, adjusted for intervening income or losses through the date of liquidation of the Investment Funds. |
Mortgage Servicing Rights and M
Mortgage Servicing Rights and Mortgage Servicing Liabilities | 9 Months Ended |
Sep. 30, 2017 | |
Mortgage Servicing Rights and Mortgage Servicing Liabilities | |
Mortgage Servicing Rights and Mortgage Servicing Liabilities | Note 10—Mortgage Servicing Rights and Mortgage Servicing Liabilities Carried at Fair Value The activity in MSRs carried at fair value is as follows: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Balance at beginning of period $ 678,441 $ 526,294 $ 515,925 $ 660,247 Additions: Purchases 41 12 183,830 23 Mortgage servicing rights resulting from mortgage loan sales 5,773 3,913 19,702 13,201 5,814 3,925 203,532 13,224 Change in fair value due to: Changes in valuation inputs used in valuation model (1) (4,857) (17,573) (4,453) (118,304) Other changes in fair value (2) (23,414) (20,618) (59,020) (63,139) Total change in fair value (28,271) (38,191) (63,473) (181,443) Balance at end of period $ 655,984 $ 492,028 $ 655,984 $ 492,028 September 30, December 31, 2017 2016 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and Notes payable $ 647,301 $ 509,847 (1) Principally reflects changes in discount rate and prepayment speed inputs, primarily due to changes in market interest rates, and changes in expected borrower performance and servicer losses given default. (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, 2017 2016 2017 2016 (in thousands) Amortized cost: Balance at beginning of period $ 1,384,741 $ 961,591 $ 1,206,694 $ 798,925 Mortgage servicing rights resulting from mortgage loan sales 153,061 146,448 412,206 370,414 Amortization (48,448) (40,230) (129,546) (101,530) Application of valuation allowance to write down mortgage servicing rights with other-than-temporary-impairment — (12,777) — (12,777) Balance at end of period 1,489,354 1,055,032 1,489,354 1,055,032 Valuation allowance: Balance at beginning of period (111,583) (196,957) (94,947) (47,237) Additions (17,270) (25,206) (33,906) (174,926) Application of valuation allowance to write down mortgage servicing rights with other-than-temporary-impairment — 12,777 — 12,777 Balance at end of period (128,853) (209,386) (128,853) (209,386) Mortgage servicing rights, net at end of period $ 1,360,501 $ 845,646 $ 1,360,501 $ 845,646 Fair value of mortgage servicing rights at beginning of period $ 1,273,364 $ 764,634 $ 1,112,302 $ 766,345 Fair value of mortgage servicing rights at end of period $ 1,360,578 $ 845,646 September 30, December 31, 2017 2016 (in thousands) Fair value of mortgage servicing rights pledged to secure assets sold under agreements to repurchase and note payable $ 1,347,575 $ 1,107,824 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, 2017 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) 2018 $ 178,253 2019 159,165 2020 142,554 2021 127,245 2022 113,872 Thereafter 768,265 $ 1,489,354 Mortgage Servicing Liabilities Carried at Fair Value The activity in MSLs carried at fair value is summarized below: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Balance at beginning of period $ 18,295 $ 4,681 $ 15,192 $ 1,399 Mortgage servicing liabilities resulting from mortgage loan sales 4,071 6,401 11,940 11,810 Mortgage servicing liabilities assumed — 5,736 — 5,736 Changes in fair value due to: Changes in valuation inputs used in valuation model (1) (176) 438 7,819 4,365 Other changes in fair value (2) (6,114) (4,211) (18,875) (10,265) Total change in fair value (6,290) (3,773) (11,056) (5,900) Balance at end of period $ 16,076 $ 13,045 $ 16,076 $ 13,045 (1) Principally reflects changes in expected borrower performance and servicer losses given default. (2) Represents changes due to realization of cash flows. Servicing fees relating to MSRs and MSLs are recorded in Net mortgage loan servicing fees—Mortgage loan servicing fees—From non-affiliates on the consolidated statements of income; late charges and other ancillary fees relating to MSRs and MSLs are recorded in Net mortgage loan servicing fees—Mortgage loan servicing fees—Ancillary and other fees on the Company’s consolidated statements of income. Such amounts are summarized below: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Contractual servicing fees $ 126,416 $ 98,865 $ 345,231 $ 282,962 Ancillary and other fees: Late charges 6,326 4,932 18,915 14,461 Other 1,270 1,330 3,296 3,430 $ 134,012 $ 105,127 $ 367,442 $ 300,853 |
Borrowings
Borrowings | 9 Months Ended |
Sep. 30, 2017 | |
Borrowings | |
Borrowings | Note 11—Borrowings The borrowing facilities described throughout this Note 11 contain various covenants, including financial covenants governing the Company’s net worth, debt-to-equity ratio, profitability and liquidity. Management believes that the Company was in compliance with these covenants as of September 30, 2017. 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 and servicing advances 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 agreements. Mortgage loans and MSRs financed under these agreements may be re-pledged by the lenders. Assets sold under agreements to repurchase are summarized below: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ 1,960,332 $ 1,515,632 $ 1,854,786 $ 1,303,313 Weighted average interest rate (1) 3.23 % 2.87 % 3.15 % 2.87 % Total interest expense $ 19,203 $ 12,951 $ 52,249 $ 33,863 Maximum daily amount outstanding $ 2,564,756 $ 2,550,035 $ 2,581,199 $ 2,550,035 September 30, December 31, 2017 2016 (dollars in thousands) Carrying value: Unpaid principal balance $ 2,096,965 $ 1,736,922 Unamortized debt issuance costs and premiums (473) (1,808) $ 2,096,492 $ 1,735,114 Weighted average interest rate 2.93 % 3.02 % Available borrowing capacity (2): Committed $ 245,352 $ 347,487 Uncommitted 2,612,683 857,591 $ 2,858,035 $ 1,205,078 Fair value of assets securing repurchase agreements: Mortgage loans held for sale $ 2,352,842 $ 1,422,255 Servicing advances $ 65,074 $ 81,306 Mortgage servicing rights $ 366,164 $ 1,479,322 Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 148,072 $ 150,000 Margin deposits placed with counterparties (3) $ 5,250 $ 3,000 (1) Excludes the effect of amortization of commitment fees totaling $3.0 million and $1.8 million for the quarters ended September 30, 2017 and 2016, respectively, and $7.9 million and $5.4 million for the nine months ended September 30, 2017 and 2016, 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 those assets. (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, 2017 Balance (dollars in thousands) Within 30 days $ 442,558 Over 30 to 90 days 1,554,407 Over 180 days to one year 100,000 Total loans sold under agreements to repurchase $ 2,096,965 Weighted average maturity (in months) 2.2 The amount at risk (the fair value of the assets pledged plus the related margin deposit, less the amount advanced by the counterparty and interest payable) relating to the Company’s assets sold under agreements to repurchase is summarized by counterparty below as of September 30, 2017: Weighted average maturity of advances under repurchase Counterparty Amount at risk agreement Facility maturity (in thousands) Credit Suisse First Boston Mortgage Capital LLC $ 331,238 April 27, 2018 April 27, 2018 Credit Suisse First Boston Mortgage Capital LLC $ 141,057 November 10, 2017 April 27, 2018 Bank of America, N.A. $ 105,122 December 21, 2017 May 25, 2018 JP Morgan Chase Bank, N.A. $ 70,425 October 13, 2017 October 13, 2017 Deutsche Bank AG $ 16,532 December 23, 2017 March 31, 2018 Morgan Stanley Bank, N.A. $ 8,109 November 15, 2017 August 24, 2018 Royal Bank of Canada $ 6,970 December 14, 2017 December 29, 2017 Citibank, N.A. $ 6,523 October 30, 2017 March 2, 2018 Barclays Bank PLC $ 2,533 December 1, 2017 December 1, 2017 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 Purchase and Sale Agreements Certain of the borrowing facilities secured by mortgage loans held for sale are in the form of mortgage loan participation purchase and sale agreements. Participation certificates, each of which represents an undivided beneficial ownership interest in mortgage loans that have been pooled with Fannie Mae, Freddie Mac or Ginnie Mae, are sold to 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 purchase and sale agreements are summarized below: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (dollars in thousands) Average balance $ 213,486 $ 365,112 $ 200,119 $ 241,131 Weighted average interest rate (1) 2.48 % 1.75 % 2.25 % 1.72 % Total interest expense $ 1,484 $ 1,887 $ 3,780 $ 3,585 Maximum daily amount outstanding $ 532,266 $ 793,395 $ 532,266 $ 793,395 (1) Excludes the effect of amortization of facility fees totaling $134,000 and $250,000 for the quarters ended September 30, 2017 and 2016, respectively, and $365,000 and $435,000 for the nine months ended September 30, 2017 and 2016, respectively. September 30, December 31, 2017 2016 (dollars in thousands) Carrying value: Unpaid principal balance $ 532,266 $ 671,562 Unamortized debt issuance costs (490) (136) $ 531,776 $ 671,426 Weighted average interest rate 2.49 % 2.02 % Fair value of mortgage loans pledged to secure mortgage loan participation and sale agreements $ 554,579 $ 702,919 Notes Payable On February 16, 2017, the Company, through the Issuer Trust, issued an aggregate principal amount of $400 million in Term Notes to qualified institutional buyers under Rule 144A of the Securities Act of 1933, as amended. The Term Notes bear interest at a rate equal to one-month LIBOR plus 4.75% per annum. The Term Notes will mature on February 25, 2020 or, if extended pursuant to the terms of the related indenture supplement, February 25, 2021 (unless earlier redeemed in accordance with the terms of the Term Notes). On August 10, 2017, the Company, through the Issuer Trust, issued an aggregate principal amount of $500 million in Term Notes to qualified institutional buyers under Rule 144A of the Securities Act of 1933, as amended. The Term Notes bear interest at a rate equal to one-month LIBOR plus 4.0% per annum. The Term Notes will mature on August 25, 2022 or, if extended pursuant to the terms of the related indenture supplement, August 25, 2023 (unless earlier redeemed in accordance with the terms of the Term Notes). The Term Notes rank pari passu with each other and with the VFN issued by Issuer Trust to PLS and are secured by certain participation certificates relating to Ginnie Mae MSRs and ESS that are financed pursuant to the GNMA MSR Facility. The Company entered into a revolving credit agreement, dated as of December 30, 2015, pursuant to which the lenders agreed to make revolving loans in an amount not to exceed $100 million. On November 18, 2016, the credit agreement was amended and restated. Pursuant to the amended and restated credit agreement (“Credit Agreement”), the lenders have agreed to make revolving loans in an amount not to exceed $150 million. The proceeds of the loans are to be used solely for working capital and general corporate purposes of the Company and its subsidiaries. Interest on the loans accrues at a per annum rate of interest equal to, at an election of the Company, either LIBOR plus the applicable margin or an alternate base rate (as defined in the Credit Agreement). During the existence of certain events of default, interest accrues at a higher rate. The maturity date of the loans is 364 days following the date of the Credit Agreement. During December 2015, the Company entered into a note payable which is secured by Fannie Mae and Freddie Mac MSRs. 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, 2017 2016 2017 2016 (dollars in thousands) Average balance $ 689,417 $ 100,390 $ 483,370 $ 102,492 Weighted average interest rate (1) 5.85 % 4.55 % 5.87 % 4.50 % Total interest expense $ 11,747 $ 2,129 $ 24,746 $ 6,018 Maximum daily amount outstanding $ 890,879 $ 115,006 $ 891,011 $ 128,849 (1) Excluding the effect of amortization of debt issuance costs totaling $1.2 million and $0. 8 million for the quarters ended September 30, 2017 and 2016, respectively, and $3.2 million and $2.1 million for the nine months ended September 30, 2017 and 2016, respectively. September 30, December 31, 2017 2016 (dollars in thousands) Carrying value: Unpaid principal balance $ 900,004 $ 151,935 Unamortized debt issuance costs (9,120) (993) $ 890,884 $ 150,942 Weighted average interest rate 5.57 % 4.67 % Unused amount $ 280,000 $ 98,065 Assets pledged to secure notes payable: Cash $ 55,537 $ 91,788 Carried Interest $ 8,547 $ 70,906 Mortgage servicing rights $ 1,628,712 $ 138,349 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 March 23, 2020 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, 2017 2016 2017 2016 (dollars in thousands) Average balance $ 25,507 $ 21,975 $ 25,573 $ 17,451 Weighted average interest rate 3.25 % 2.46 % 3.01 % 2.45 % Total interest expense $ 205 $ 139 $ 585 $ 363 Maximum daily amount outstanding $ 26,641 $ 23,263 $ 30,044 $ 24,720 September 30, December 31, 2017 2016 (in thousands) Unpaid principal balance $ 24,373 $ 23,424 Weighted average interest rate 3.23 % 2.48 % Assets pledged to secure obligations under capital lease: Furniture, fixtures and equipment $ 25,700 $ 25,134 Capitalized software $ 1,681 $ 515 Excess Servicing Spread Financing In conjunction with the Company’s purchase from non-affiliates of certain MSRs on pools of Agency-backed residential mortgage loans, the Company has entered into sale and assignment agreements with PMT. Under these agreements, the Company sold to PMT the right to receive ESS cash flows relating to certain MSRs. The Company retained all ancillary income associated with servicing the mortgage loans and a fixed base servicing fee. The Company continues to be the servicer of the mortgage loans and retains all servicing obligations, including responsibility to make servicing advances. The agreements are accounted for as financings and are carried at fair value with changes in fair value recognized in current period income. Following is a summary of ESS: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Balance at beginning of period $ 261,796 $ 294,551 $ 288,669 $ 412,425 Issuances of excess servicing spread to PennyMac Mortgage Investment Trust 1,207 1,438 4,160 5,039 Accrual of interest 3,998 4,827 13,011 17,555 Repayment (13,410) (16,342) (42,320) (54,623) Settlement (1) — — — (59,045) Change in fair value (4,828) (4,107) (14,757) (40,984) Balance at end of period $ 248,763 $ 280,367 $ 248,763 $ 280,367 (1) On February 29, 2016, the Company and PMT terminated 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, 2017 | |
Liability for Losses Under Representations and Warranties | |
Liability for Losses Under Representations and Warranties | Note 12—Liability for Losses Under Representations and Warranties Following is a summary of the Company’s liability for losses under representations and warranties: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Balance at beginning of period $ 19,568 $ 24,277 $ 19,067 $ 20,611 Provision for losses on mortgage loans sold: Resulting from sales of mortgage loans 1,596 852 4,294 5,220 Reduction in liability due to change in estimate (1,194) (6,648) (3,086) (6,648) Incurred losses (297) (8) (602) (710) Balance at end of period $ 19,673 $ 18,473 $ 19,673 $ 18,473 Unpaid principal balance of mortgage loans subject to representations and warranties at end of period $ 114,531,205 $ 80,050,420 |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2017 | |
Income Taxes | |
Income Taxes | Note 13—Income Taxes The Company’s effective tax rates were 12.4% and 12.2% for the quarters ended September 30, 2017 and 2016, respectively, and 12.4% and 12.0% for the nine months ended September 30, 2017 and 2016, 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 Class A common stock, 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. The repurchase of Company shares under the Repurchase Program as described in Note 15 – Stockholders’ Equity has the opposite effect and results in a corresponding redemption of PennyMac units from the Company pursuant to the PennyMac Limited Liability Agreement. |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2017 | |
Commitments and Contingencies. | |
Commitments and Contingencies | Note 14—Commitments and Contingencies Litigation The business of the Company involves the collection of numerous accounts, as well as the validation of liens and compliance with various state and federal lending and servicing laws. Accordingly, the Company may be involved in proceedings, claims, and legal actions arising in the ordinary course of business. As of September 30, 2017, the Company was not involved in any legal proceedings, claims, or actions that in management’s view would be reasonably likely to have a material adverse effect on the Company. Commitments to Purchase and Fund Mortgage Loans September 30, 2017 (in thousands) Commitments to purchase mortgage loans from PennyMac Mortgage Investment Trust $ 1,798,347 Commitments to fund mortgage loans 1,961,056 $ 3,759,403 Leases The Company leases office facilities. Rent expense was $3.0 million and $2.0 million for the quarters ended September 30, 2017 and 2016, respectively and $8.8 million and $5.3 million for the nine months ended September 30, 2017 and 2016, respectively. The following table provides a summary of future minimum lease payments required under lease agreements as of September 30, 2017: Twelve months ended September 30: Future minimum lease payments (in thousands) 2018 $ 12,943 2019 14,281 2020 14,660 2021 12,529 2022 10,060 Thereafter 34,559 $ 99,032 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. |
Stockholders' Equity
Stockholders' Equity | 9 Months Ended |
Sep. 30, 2017 | |
Stockholders' Equity. | |
Stockholders' Equity | Note 15—Stockholders’ Equity In June 2017, the Company’s Board of Directors authorized a stock repurchase program (“Repurchase Program”) under which the Company may repurchase up to $50 million of its outstanding Class A common stock. The following table summarizes the Company’s stock repurchase activity: Quarter ended September 30, Nine months ended September 30, Cumulative 2017 2016 2017 2016 Total (1) (in thousands) Shares of Class A common stock repurchased 505 — 505 — 505 Cost of shares of Class A common stock repurchased $ 8,599 $ — $ 8,599 $ — $ 8,599 (1) Amounts represent the total shares of Class A common stock repurchased under the stock repurchase program through September 30, 2017. The shares of repurchased Class A common stock were canceled upon settlement of the repurchase transactions and returned to the authorized but unissued common stock pool. |
Noncontrolling Interest
Noncontrolling Interest | 9 Months Ended |
Sep. 30, 2017 | |
Noncontrolling Interest. | |
Noncontrolling Interest | Note 16—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, 2017 2016 2017 2016 (in thousands) Net income attributable to PennyMac Financial Services, Inc. common stockholders $ 17,081 $ 23,685 $ 38,439 $ 43,335 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. $ 3,656 $ 1,398 $ 20,583 $ 4,038 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 251 73 1,297 166 September 30, December 31, 2017 2016 Percentage of noncontrolling interest in Private National Mortgage Acceptance Company, LLC 69.6 % 70.6 % |
Net Gains on Mortgage Loans Hel
Net Gains on Mortgage Loans Held for Sale | 9 Months Ended |
Sep. 30, 2017 | |
Net Gains on Mortgage Loans Held for Sale | |
Net Gains on Mortgage Loans Held for Sale | Note 17—Net Gains on Mortgage Loans Held for Sale Net gains on mortgage loans held for sale at fair value is summarized below: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) From non-affiliates: Cash (loss) gain: Mortgage loans $ (40,747) $ 40,381 $ (98,408) $ 82,612 Hedging activities (14,592) (13,526) (8,168) (163,659) (55,339) 26,855 (106,576) (81,047) Non-cash gain: Mortgage servicing rights and mortgage servicing liabilities resulting from mortgage loan sales 154,763 143,960 419,968 371,805 Provision for losses relating to representations and warranties: Pursuant to mortgage loan sales (1,596) (852) (4,294) (5,220) Reduction in liability due to change in estimate 1,194 6,648 3,086 6,648 Change in fair value relating to mortgage loans and hedging derivatives held at period end: Interest rate lock commitments 8,226 15,256 (5,008) 61,744 Mortgage loans 3,376 5,964 (2,554) 37,481 Hedging derivatives (12,389) (14,020) (19,023) 17,994 98,235 183,811 285,599 409,405 From PennyMac Mortgage Investment Trust 9,901 (1,690) 7,584 (5,557) $ 108,136 $ 182,121 $ 293,183 $ 403,848 |
Net Interest Income (Expense)
Net Interest Income (Expense) | 9 Months Ended |
Sep. 30, 2017 | |
Net Interest Income (Expense) | |
Net Interest Income (Expense) | Note 18—Net Interest Income (Expense) Net interest expense is summarized below: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Interest income: From non-affiliates: Short-term investments $ 733 $ 1,756 $ 1,727 $ 2,212 Mortgage loans held for sale at fair value 28,199 14,835 68,528 38,578 Placement fees relating to custodial funds 13,394 4,144 27,073 10,204 42,326 20,735 97,328 50,994 From PennyMac Mortgage Investment Trust—Financings receivable 2,116 1,974 5,946 5,798 44,442 22,709 103,274 56,792 Interest expense: To non-affiliates: Assets sold under agreements to repurchase 19,203 12,951 52,249 33,863 Mortgage loan participation purchase and sale agreements 1,484 1,887 3,780 3,585 Notes payable 11,747 2,129 24,746 6,018 Obligations under capital lease 205 139 585 363 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 4,602 4,587 11,529 10,114 Interest on mortgage loan impound deposits 1,253 996 2,943 2,471 38,494 22,689 95,832 56,414 To PennyMac Mortgage Investment Trust—Excess servicing spread financing at fair value 3,998 4,827 13,011 17,555 42,492 27,516 108,843 73,969 $ 1,950 $ (4,807) $ (5,569) $ (17,177) |
Stock-based Compensation
Stock-based Compensation | 9 Months Ended |
Sep. 30, 2017 | |
Stock-based Compensation | |
Stock-based Compensation | Note 19—Stock-based Compensation As of September 30, 2017 and December 31, 2016, the Company had one stock-based compensation plan. Following is a summary of the stock-based compensation activity: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Performance-based RSUs granted — — 694 813 Stock options granted — — 861 962 Time-based RSUs granted 3 10 408 261 Grant date fair value of Performance-based RSUs granted $ — $ — $ 12,512 $ 9,171 Grant date fair value of Stock options granted — — 5,772 3,412 Grant date fair value of Time-based RSUs granted 58 160 7,359 3,072 Total $ 58 $ 160 $ 25,643 $ 15,655 Performance-based RSUs vested — — 446 — Stock options exercised 9 2 34 2 Time-based RSUs vested 4 6 165 121 Compensation expense $ 4,243 $ 4,233 $ 14,633 $ 12,560 |
Earnings Per Share of Common St
Earnings Per Share of Common Stock | 9 Months Ended |
Sep. 30, 2017 | |
Earnings Per Share of Common Stock | |
Earnings Per Share of Common Stock | Note 20—Earnings Per Share of Common Stock Basic earnings per share of common stock is determined using net income attributable to the Company’s common stockholders divided by the weighted average number of shares of common stock outstanding during the period. Diluted earnings per share of common stock is determined by dividing net income attributable to the Company’s common stockholders by the weighted average number of shares of common stock outstanding, assuming all dilutive shares of common stock were issued. Potentially dilutive shares of common stock include non-vested stock-based compensation awards 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 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, 2017 2016 2017 2016 (in thousands, except per share amounts) Basic earnings per share of common stock: Net income attributable to PennyMac Financial Services, Inc. common stockholders $ 17,081 $ 23,685 $ 38,439 $ 43,335 Weighted average shares of common stock outstanding 23,426 22,217 23,147 22,101 Basic earnings per share of common stock $ 0.73 $ 1.07 $ 1.66 $ 1.96 Diluted earnings per share of common stock: Net income attributable to PennyMac Financial Services, Inc. common stockholders $ 17,081 $ 23,685 $ 38,439 $ 43,335 Effect of net income attributable to PennyMac Class A units exchangeable to common stock, net of income taxes 38,884 57,444 88,289 105,480 Diluted net income attributable to common stockholders $ 55,965 $ 81,129 $ 126,728 $ 148,815 Weighted average shares of common stock outstanding 23,426 22,217 23,147 22,101 Dilutive shares: PennyMac Class A units exchangeable to common stock 53,239 53,923 53,400 53,996 Common shares issuable under stock-based compensation plan 1,751 215 1,684 234 Diluted weighted average shares of common stock outstanding 78,416 76,355 78,231 76,331 Diluted earnings per share of common stock $ 0.71 $ 1.06 $ 1.62 $ 1.95 Calculations of diluted earnings per share require certain potentially dilutive shares to be excluded when their inclusion in the diluted earnings per share calculation would be anti-dilutive. The following table summarizes the anti-dilutive weighted-average number of outstanding stock options and restricted stock units (“RSUs”) excluded from the calculation of diluted earnings per share: Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands except for weighted-average exercise price) Performance-based RSUs (2) — 2,505 475 2,510 Time-based RSUs 1 — 1 — Stock options (1) 2,622 2,768 2,434 2,559 Total anti-dilutive stock-based compensation units 2,623 5,273 2,910 5,069 Weighted average exercise price of anti-dilutive stock options (1) $ 16.39 $ 15.81 $ 16.39 $ 15.82 (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. |
Supplemental Cash Flow Informat
Supplemental Cash Flow Information | 9 Months Ended |
Sep. 30, 2017 | |
Supplemental Cash Flow Information | |
Supplemental Cash Flow Information | Note 21—Supplemental Cash Flow Information Nine months ended September 30, 2017 2016 (in thousands) Cash paid for interest $ 115,710 $ 70,897 Cash paid for income taxes $ 41 $ 452 Non-cash investing activity: Mortgage servicing rights resulting from mortgage loan sales $ 431,908 $ 383,615 Mortgage servicing liabilities resulting from mortgage loan sales $ 11,940 $ 11,810 Unsettled portion of MSR acquisitions $ 16,364 $ — Non-cash financing activity: Transfer of excess servicing spread pursuant to a recapture agreement with PennyMac Mortgage Investment Trust $ 4,160 $ 5,039 Issuance of common stock in settlement of director fees $ 253 $ 230 |
Regulatory Capital and Liquidit
Regulatory Capital and Liquidity Requirements | 9 Months Ended |
Sep. 30, 2017 | |
Regulatory Capital and Liquidity Requirements | |
Regulatory Capital and Liquidity Requirements | Note 22—Regulatory Capital and Liquidity Requirements The Company, through PLS and PennyMac, is required to maintain specified levels of capital and liquidity to remain a seller/servicer, issuer or lender, as applicable, 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, 2017 December 31, 2016 Agency–company subject to requirement Actual (1) Requirement (1) Actual (1) Requirement (1) (dollars in thousands) Capital Fannie Mae & Freddie Mac – PLS $ 1,482,475 $ 420,427 $ 1,289,464 $ 335,883 Ginnie Mae – PLS $ 1,253,593 $ 590,901 $ 1,085,549 $ 455,542 Ginnie Mae – PennyMac $ 1,443,982 $ 649,991 $ 1,261,565 $ 501,097 HUD – PLS $ 1,253,593 $ 2,500 $ 1,085,549 $ 2,500 Liquidity Fannie Mae & Freddie Mac – PLS $ 200,862 $ 57,509 $ 179,230 $ 45,930 Ginnie Mae – PLS $ 200,862 $ 149,493 $ 179,230 $ 115,304 Tangible net worth / Total assets ratio Fannie Mae & Freddie Mac – PLS 23 % 6 % % % (1) Calculated in compliance with the respective Agency’s requirements. Noncompliance with an Agency’s requirements can result in such Agency taking various remedial actions up to and including terminating PennyMac’s ability to sell mortgage loans to and service mortgage loans on behalf of the respective Agency. |
Segments and Related Informatio
Segments and Related Information | 9 Months Ended |
Sep. 30, 2017 | |
Segments and Related Information | |
Segments and Related Information | Note 23—Segments and Related Information The Company operates in three segments: loan production, loan servicing and investment management. Two of the segments are in the mortgage banking business: loan production and loan servicing. The loan production segment performs 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, 2017 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on mortgage loans held for sale at fair value $ 79,983 $ 28,153 $ 108,136 $ — $ 108,136 Mortgage loan origination fees 33,168 — 33,168 — 33,168 Fulfillment fees from PennyMac Mortgage Investment Trust 23,507 — 23,507 — 23,507 Net mortgage loan servicing fees — 78,081 78,081 — 78,081 Management fees — — — 6,216 6,216 Carried Interest from Investment Funds — — — (1,158) (1,158) Net interest income (expense): Interest income 17,651 26,791 44,442 — 44,442 Interest expense 12,355 30,124 42,479 13 42,492 5,296 (3,333) 1,963 (13) 1,950 Other 235 525 760 (25) 735 Total net revenue 142,189 103,426 245,615 5,020 250,635 Expenses 73,231 78,955 152,186 4,305 156,491 Income before provision for income taxes $ 68,958 $ 24,471 $ 93,429 $ 715 $ 94,144 Segment assets at period end (2) $ 2,737,666 $ 3,628,689 $ 6,366,355 $ 20,369 $ 6,386,724 (1) All revenues are from external customers. (2) Excludes parent Company assets, which consist primarily of working capital of $1.6 million. 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 $ 166,506 $ 15,615 $ 182,121 $ — $ 182,121 Mortgage loan origination fees 34,621 — 34,621 — 34,621 Fulfillment fees from PennyMac Mortgage Investment Trust 27,255 — 27,255 — 27,255 Net mortgage loan servicing fees — 45,864 45,864 — 45,864 Management fees — — — 5,521 5,521 Carried Interest from Investment Funds — — — 107 107 Net interest income (expense): Interest income 13,013 9,696 22,709 — 22,709 Interest expense 9,323 18,182 27,505 11 27,516 3,690 (8,486) (4,796) (11) (4,807) Other 508 205 713 — 713 Total net revenue 232,580 53,198 285,778 5,617 291,395 Expenses 82,767 63,937 146,704 5,413 152,117 Income (loss) before provision for income taxes $ 149,813 $ (10,739) $ 139,074 $ 204 $ 139,278 Segment assets at period end (2) $ 3,221,446 $ 2,277,146 $ 5,498,592 $ 90,746 $ 5,589,338 (1) All revenues are from external customers. (2) Excludes parent Company assets, which consist primarily of working capital of $6.9 million. Nine months ended September 30, 2017 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains (losses) on mortgage loans held for sale at fair value $ 217,526 $ 75,657 $ 293,183 $ — $ 293,183 Loan origination fees 88,935 — 88,935 — 88,935 Fulfillment fees from PennyMac Mortgage Investment Trust 61,184 — 61,184 — 61,184 Net servicing fees — 199,157 199,157 — 199,157 Management fees — — — 17,597 17,597 Carried Interest from Investment Funds — — — (1,045) (1,045) Net interest income (expense): Interest income 45,866 57,408 103,274 — 103,274 Interest expense 32,507 76,299 108,806 37 108,843 13,359 (18,891) (5,532) (37) (5,569) Other 1,711 1,442 3,153 234 3,387 Total net revenue 382,715 257,365 640,080 16,749 656,829 Expenses 199,547 230,691 430,238 12,455 442,693 Income before provision for income taxes $ 183,168 $ 26,674 $ 209,842 $ 4,294 $ 214,136 Segment assets at period end (2) $ 2,737,666 $ 3,628,689 $ 6,366,355 $ 20,369 $ 6,386,724 (1) All revenues are from external customers. (2) Excludes parent Company assets, which consist primarily of working capital of $1.6 million. Nine months 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 $ 360,614 $ 43,234 $ 403,848 $ — $ 403,848 Loan origination fees 85,962 — 85,962 — 85,962 Fulfillment fees from PennyMac Mortgage Investment Trust 59,301 — 59,301 — 59,301 Net servicing fees — 89,938 89,938 — 89,938 Management fees — — — 17,163 17,163 Carried Interest from Investment Funds — — — 944 944 Net interest income (expense): Interest income 32,918 23,873 56,791 1 56,792 Interest expense 21,031 52,951 73,982 37 74,019 11,887 (29,078) (17,191) (36) (17,227) Other 1,596 824 2,420 204 2,624 Total net revenue 519,360 104,918 624,278 18,275 642,553 Expenses 196,634 176,088 372,722 16,205 388,927 Income before provision for income taxes and non-segment activities 322,726 (71,170) 251,556 2,070 253,626 Non-segment activities (2) — — — — 49 Income before provision for income taxes $ 322,726 $ (71,170) $ 251,556 $ 2,070 $ 253,675 Segment assets at period end (3) $ 3,221,446 $ 2,277,146 $ 5,498,592 $ 90,746 $ 5,589,338 (1) All revenues are from external customers. (2) Relates to parent Company interest expenses eliminated in consolidation. (3) Excludes parent Company assets, which consist primarily of working capital of $6.9 million. |
Recently Issued Accounting Pron
Recently Issued Accounting Pronouncements | 9 Months Ended |
Sep. 30, 2017 | |
Recently Issued Accounting Pronouncements. | |
Recently Issued Accounting Pronouncements | Note 24—Recently Issued Accounting Pronouncements Revenue Recognition In May 2014, the FASB issued Accounting Standards Update (“ASU”) 2014-09, Revenue from Contracts with Customers (Subtopic 606) (“ASU 2014-09”), which supersedes the guidance in the Revenue Recognition topic of the ASC. 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 August 2015, 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 2016, 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 accounting (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. · In December 2016, ASU 2016-20, Technical Corrections and Improvements to Topic 606, Revenue from Contracts with Customers . The amendments to this update: o Clarify that guarantee fees within the scope of the Guarantees topic of the ASC (other than product or service warranties) are not within the scope of the Revenue from Contracts with Customers topic of the ASC. The Derivatives and Hedging topic provides guidance relating to guarantees accounted for as derivatives. o Clarify guidance contained in the Other Assets and Deferred Costs—Contracts with Customers subtopic of the ASC that when performing impairment testing an entity should (a) consider expected contract renewals and extensions and (b) include both the amount of consideration it already has received but has not recognized as revenue and the amount it expects to receive in the future. o Clarify the interaction of impairment testing with guidance in other ASC topics that impairment testing first should be performed on assets not within the scope of the Other Assets and Deferred Costs, Intangibles-Goodwill and Other or the Property, Plant, and Equipment topics of the ASC (such as assets within the Inventory topic of the ASC), then assets within the scope of the Other Assets and Deferred Costs topic of the ASC, then asset groups and reporting units within the scope of the Other Assets and Deferred Costs, Intangibles-Goodwill and Other and the Property, Plant, and Equipment topics of the ASC. o Clarify that all contracts within the scope of the Financial Services – Insurance topic of the ASC are excluded from the scope of the Revenue from Contracts with Customers topic. o Provide optional exemptions from the disclosure requirement for remaining performance obligations for specific situations in which an entity need not estimate variable consideration to recognize revenue and expands the information that is required to be disclosed when an entity applies one of the optional exemptions. o Clarify that the disclosure of revenue recognized from performance obligations satisfied (or partially satisfied) in previous periods applies to all performance obligations and is not limited to performance obligations with corresponding contract balances. o Align the cost-capitalization guidance for advisors to both public funds and private funds in the Financial Services— Investment Companies—Other Expenses subtopic of the ASC. · In February 2017, ASU 2017-05, Other Income—Gains and Losses from the Derecognition of Nonfinancial Assets (Subtopic 610-20) (“ASU 2017-05”). The amendments to this update clarify the scope of the Other Income—Gains and Losses from the Derecognition of Nonfinancial Assets subtopic of the ASC, and add guidance for partial sales of nonfinancial assets. ASU 2017-05 clarifies that: o A financial asset is within the scope of the Other Income—Gains and Losses from the Derecognition of Nonfinancial Assets subtopic of the ASC if it meets the definition of an in substance nonfinancial asset and defines the term in substance nonfinancial asset, in part, as a financial asset promised to a counterparty in a contract if substantially all of the fair value of the assets (recognized and unrecognized) that are promised to the counterparty in the contract is concentrated in nonfinancial assets. o It excludes all businesses and nonprofit activities from the scope of the Other Income – Gains and Losses from the Derecognition of Nonfinancial Assets subtopic of the ASC. Derecognition of all businesses and nonprofit activities should be accounted for in accordance with the Consolidation—Overall subtopic of the ASC. o An entity should identify each distinct nonfinancial asset or in substance nonfinancial asset promised to a counterparty and derecognize each asset when a counterparty obtains control of it. o An entity should allocate consideration to each distinct asset by applying the guidance in the Revenue from Contracts with Customers topic of the ASC on allocating the transaction price to performance obligations. o An entity must derecognize a distinct nonfinancial asset or distinct in substance nonfinancial asset in a partial sale transaction when it (1) does not have (or ceases to have) a controlling financial interest in the legal entity that holds the asset in accordance with the Consolidations topic of the ASC and (2) transfers control of the asset in accordance with the Revenue from Contracts with Customers topic of the ASC. Once an entity transfers control of a distinct nonfinancial asset or distinct in substance nonfinancial asset, it is required to measure any noncontrolling interest it receives (or retains) at fair value. The Company’s revenues from contracts with customers that are subject to ASU 2014-09 include fulfillment fees, management fees, Carried Interest and certain reimbursed overhead costs. The Company has concluded that: · The recognition and measurement of fulfillment fees and management fees is not expected to change as a result of the Company’s adoption of ASU 2014-09. · The Company’s Carried Interest arrangements with the Investment Funds represent capital allocations to the Company. As a result, the Company has concluded as part of its assessment of the effect of the adoption of ASU 2014-09 that its Carried Interest represents an equity method investment subject to the Investments – Equity Method and Joint Ventures topic of the ASC. Therefore, effective January 1, 2018, the Company will recharacterize its Carried Interest as financial instruments under the equity method of accounting. This change is not expected to change the timing or amount of the Company’s recognition of Carried Interest. At September 30, 2017, the Company had Carried Interest receivable totaling $8.5 million, which is expected to be realized in early 2018. · The effect of the adoption of ASU 2014-09 on the presentation of overhead reimbursements will be to increase Other income and the Company’s overhead expense categories by offsetting amounts. Under its management agreement, PMT is required to pay its pro rata portion of rent, telephone, utilities, office furniture, equipment, machinery and other office, internal and overhead expenses of the Company and its affiliates required for PMT’s and its subsidiaries’ operations. These expenses are allocated based on the ratio of PMT’s proportion of gross assets compared to all remaining gross assets managed by the Company as calculated at each fiscal quarter end. The Company recognizes such reimbursements as expense offsets in its consolidated statements of income. ASU 2014-09 requires such reimbursements to be treated as revenues. The Company included $1.2 million and $1.4 million and $4.2 million and $6.4 million of such common overhead as expense offsets in the quarter and nine month periods ended September 30, 2017 and 2016, respectively. The Company intends to adopt ASU 2014-09 using the modified retrospective method. The Company does not expect to record a cumulative effect adjustment to its beginning retained earnings as a result of adoption of ASU 2014-09. Fair Value of Financial Instruments 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 adoption of ASU 2016-01 is not expected to have an effect on the Company’s 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 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 effect that the adoption of ASU 2016-02 will have on its consolidated financial statements. As shown in Note 14 — Commitments and Contingencies , the Company had approximately $99.0 million in future minimum lease payment commitments as of September 30, 2017. Were the Company to adopt ASU 2016-02 as of September 30, 2017, it would be required to recognize a right-of-use asset and a corresponding liability based on the present value of such obligation as of September 30, 2017. The Company does not expect to recognize a significant cumulative effect adjustment to its stockholders’ equity as a result of adopting ASU 2016-02. Share-Based Compensation 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 ASU 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 adoption of ASU 2016-09 did not have a significant effect on the Company’s consolidated financial statements. |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2017 | |
Subsequent Events | |
Subsequent Events | Note 25—Subsequent Events The Company has evaluated the impacts of events that have occurred subsequent to September 30, 2017 through the filing date of the Consolidated Financial Statements with the SEC. Based on this evaluation, the Company has determined none of these events were required to be recognized or disclosed in the Consolidated Financial Statements and related Notes. |
Transactions with Affiliates (T
Transactions with Affiliates (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
PMT | |
Transactions with Affiliates | |
Summary of lending activity between the Company and affiliate | Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Net gain (loss) on mortgage loans held for sale at fair value: Net gain on mortgage loans held for sale to PMT $ 11,396 $ — $ 12,280 $ — Mortgage servicing rights and excess servicing spread recapture incurred (1,495) (1,690) (4,696) (5,557) $ 9,901 $ (1,690) $ 7,584 $ (5,557) Fair value of mortgage loans sold to PMT $ 332,886 5,007 373,108 13,146 Fulfillment fee revenue $ 23,507 $ 27,255 $ 61,184 $ 59,301 Unpaid principal balance of mortgage loans fulfilled for PMT $ 6,530,036 $ 7,263,557 $ 17,079,969 $ 15,696,940 Sourcing fees paid to PMT $ 3,275 $ 3,509 $ 9,340 $ 8,282 Unpaid principal balance of mortgage loans purchased from PMT $ 10,915,194 $ 11,694,065 $ 31,131,154 $ 27,599,186 Tax service fees received from PMT included in Mortgage loan origination fees $ 2,108 $ 2,006 $ 5,377 $ 4,537 Property management fees received from PMT included in Other income $ 95 $ 10 $ 261 $ 95 Early purchase program fees earned from PMT included in Mortgage loan servicing fees $ 1 $ 5 $ 7 $ 7 |
Summary of mortgage loan servicing fees earned from PMT | Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Mortgage loans acquired for sale at fair value: Base and supplemental $ 88 $ 90 $ 235 $ 225 Activity-based 188 210 507 497 276 300 742 722 Mortgage loans at fair value: Base and supplemental 1,571 2,615 5,284 8,881 Activity-based 2,702 3,014 6,859 14,981 4,273 5,629 12,143 23,862 Mortgage servicing rights: Base and supplemental 6,702 4,978 18,727 13,999 Activity-based 151 132 375 336 6,853 5,110 19,102 14,335 $ 11,402 $ 11,039 $ 31,987 $ 38,919 |
Summary of management fees earned | Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Base management $ 6,038 $ 5,025 $ 16,380 $ 15,576 Performance incentive — — 304 — $ 6,038 $ 5,025 $ 16,684 $ 15,576 |
Summary of reimbursement of expenses | Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Reimbursement of: Common overhead incurred by the Company $ 1,193 $ 1,417 $ 4,220 $ 6,413 Expenses incurred on PMT's (the Company's) behalf, net 196 13 849 (102) $ 1,389 $ 1,430 $ 5,069 $ 6,311 Payments and settlements during the period (1) $ 22,786 $ 45,988 $ 63,249 $ 102,600 (1) Payments and settlements include payments for management fees and correspondent production activities itemized in the preceding tables and netting settlements made pursuant to master netting agreements between the Company and PMT. |
Summary of investing activity between the Company and affiliate | Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Interest income: Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 2,116 $ — $ 5,946 $ — Note receivable from PennyMac Mortgage Investment Trust $ — $ 1,974 $ — $ 5,798 Common shares of beneficial interest of PennyMac Dividends received from PennyMac Mortgage Investment $ 35 $ 35 $ 106 $ 106 Change in fair value of investment in common shares of (68) (48) 76 24 $ (33) $ (13) $ 182 $ 130 September 30, December 31, 2017 2016 (in thousands) Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 148,072 $ 150,000 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Fair value $ 1,304 $ 1,228 Number of shares 75 75 |
Summary of financing activity between the Company and affiliate | Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Excess servicing spread financing: Issuance pursuant to recapture agreement $ 1,207 $ 1,438 $ 4,160 $ 5,039 Repayment $ 13,410 $ 16,342 $ 42,320 $ 54,623 Settlement $ — $ — $ — $ 59,045 Change in fair value $ (4,828) $ (4,107) $ (14,757) $ (40,984) Interest expense $ 3,998 $ 4,827 $ 13,011 $ 17,555 Recapture incurred pursuant to refinancings by the Company of mortgage loans subject to excess servicing spread financing included in Net gains on mortgage loans held for sale at fair value $ 1,163 $ 1,283 $ 3,837 $ 4,709 |
Summary of amounts due from and payable to affiliate | September 30, December 31, 2017 2016 (in thousands) Receivable from PMT: Management fees $ 6,038 $ 5,081 Servicing fees 5,329 5,465 Allocated expenses and expenses incurred on PMT's behalf 1,541 1,046 Correspondent production fees 1,430 2,371 Conditional Reimbursement 870 900 Fulfillment fees 662 1,300 Interest on assets purchased under agreements to resell 138 253 $ 16,008 $ 16,416 Payable to PMT: Deposits made by PMT to fund servicing advances $ 119,864 $ 162,945 Mortgage servicing rights recapture payable 384 707 Other 4,341 6,384 $ 124,589 $ 170,036 |
Investment Funds | |
Transactions with Affiliates | |
Summary of amounts due from and payable to affiliate | September 30, December 31, 2017 2016 (in thousands) Carried Interest due from Investment Funds: PNMAC Mortgage Opportunity Fund, LLC $ 6,381 $ 42,427 PNMAC Mortgage Opportunity Fund Investors, LLC 2,166 28,479 $ 8,547 $ 70,906 Receivable from Investment Funds: Expense reimbursements $ 188 $ 238 Management fees 186 500 Mortgage loan servicing fee rebate deposit 270 250 Mortgage loan servicing fees 10 231 $ 654 $ 1,219 Payable to Investment Funds: Deposits received to fund servicing advances $ 2,092 $ 20,221 Other 98 172 $ 2,190 $ 20,393 |
Loan Sales and Servicing Acti33
Loan Sales and Servicing Activities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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, 2017 2016 2017 2016 (in thousands) Cash flows: Sales proceeds $ 13,600,232 $ 13,947,544 $ 38,097,411 $ 33,124,241 Servicing fees received (1) $ 97,312 $ 67,371 $ 272,303 $ 186,474 Net servicing (recoveries) advances $ (15,061) $ 4,608 $ (1,271) $ 14,153 (1) Net of guarantee fees paid to the Agencies. |
Summary of sale of loans between the Company and transferees upon sale of mortgage loans in transactions | September 30, December 31, 2017 2016 (in thousands) Unpaid principal balance of mortgage loans outstanding $ 114,565,019 $ 89,516,155 Delinquencies: 30-89 days $ 4,625,124 $ 2,545,970 90 days or more: Not in foreclosure $ 1,389,729 $ 735,263 In foreclosure $ 486,893 $ 137,856 Foreclosed $ 26,673 $ 2,552 Bankruptcy $ 580,616 $ 256,471 |
Summary of mortgage servicing portfolio | September 30, 2017 Contract Total Servicing servicing and mortgage rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 114,565,019 $ — $ 114,565,019 Purchased 49,747,190 — 49,747,190 164,312,209 — 164,312,209 Affiliated entities — 71,201,957 71,201,957 Mortgage loans held for sale 2,858,642 — 2,858,642 $ 167,170,851 $ 71,201,957 $ 238,372,808 Commercial real estate loans subserviced for the Company $ — $ 84,605 $ 84,605 Delinquent mortgage loans: 30 days $ 5,537,378 $ 555,714 $ 6,093,092 60 days 1,374,485 123,033 1,497,518 90 days or more: Not in foreclosure 2,290,211 421,033 2,711,244 In foreclosure 847,885 421,484 1,269,369 Foreclosed 37,546 310,025 347,571 $ 10,087,505 $ 1,831,289 $ 11,918,794 Bankruptcy $ 993,512 $ 213,274 $ 1,206,786 Custodial funds managed by the Company (1) $ 3,844,655 $ 1,077,340 $ 4,921,995 (1) Custodial funds include borrower and investor custodial cash accounts relating 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 are included in Interest income in the Company’s consolidated statements of income. December 31, 2016 Contract Total Servicing servicing and mortgage rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 89,516,155 $ — $ 89,516,155 Purchased 41,735,847 — 41,735,847 131,252,002 — 131,252,002 Affiliated entities — 60,886,717 60,886,717 Mortgage loans held for sale 2,101,283 — 2,101,283 $ 133,353,285 $ 60,886,717 $ 194,240,002 Commercial real estate loans subserviced for the Company $ — $ 22,338 $ 22,338 Delinquent mortgage loans: 30 days $ 3,240,640 $ 407,177 $ 3,647,817 60 days 1,035,871 145,720 1,181,591 90 days or more: Not in foreclosure 2,203,895 566,496 2,770,391 In foreclosure 937,204 685,001 1,622,205 Foreclosed 28,943 448,017 476,960 $ 7,446,553 $ 2,252,411 $ 9,698,964 Bankruptcy $ 793,517 $ 280,459 $ 1,073,976 Custodial funds managed by the Company (1) $ 3,097,365 $ 736,398 $ 3,833,763 (1) Custodial funds include borrower and investor custodial cash accounts relating 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 are included in Interest income in the Company’s consolidated statements of income. |
Summary of the geographical distribution of loans for the top five and all other states as measured by the total unpaid principal balance (UPB) | September 30, December 31, State 2017 2016 (in thousands) California $ 45,688,146 $ 42,303,952 Texas 19,187,903 16,037,426 Florida 16,638,346 12,817,627 Virginia 15,723,658 13,143,510 Maryland 10,832,044 8,564,923 All other states 130,302,711 101,372,564 $ 238,372,808 $ 194,240,002 |
Fair Value (Tables)
Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Fair Value | |
Summary of financial statement items measured at estimated fair value on a recurring basis | September 30, 2017 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 136,217 $ — $ — $ 136,217 Mortgage loans held for sale at fair value — 2,559,353 376,240 2,935,593 Derivative assets: Interest rate lock commitments — — 57,304 57,304 Repurchase agreement derivatives — — 469 469 Forward purchase contracts — 404 — 404 Forward sales contracts — 9,961 — 9,961 MBS put options — 11,423 — 11,423 MBS call options — 171 — 171 Put options on interest rate futures purchase contracts 7,867 — — 7,867 Call options on interest rate futures purchase contracts 918 — — 918 Total derivative assets before netting 8,785 21,959 57,773 88,517 Netting — — — (11,808) Total derivative assets 8,785 21,959 57,773 76,709 Investment in PennyMac Mortgage Investment Trust 1,304 — — 1,304 Mortgage servicing rights at fair value — — 655,984 655,984 $ 146,306 $ 2,581,312 $ 1,089,997 $ 3,805,807 Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ — $ 248,763 $ 248,763 Derivative liabilities: Interest rate lock commitments — — 2,920 2,920 Forward purchase contracts — 26,678 — 26,678 Forward sales contracts — 1,310 — 1,310 MBS put options — 5,026 — 5,026 Call options on interest rate futures sale contracts 586 — — 586 Total derivative liabilities before netting 586 33,014 2,920 36,520 Netting — — — (25,046) Total derivative liabilities 586 33,014 2,920 11,474 Mortgage servicing liabilities at fair value — — 16,076 16,076 $ 586 $ 33,014 $ 267,759 $ 276,313 December 31, 2016 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 85,964 $ — $ — $ 85,964 Mortgage loans held for sale at fair value — 2,125,544 47,271 2,172,815 Derivative assets: Interest rate lock commitments — — 65,848 65,848 Forward purchase contracts — 77,905 — 77,905 Forward sales contracts — 28,324 — 28,324 MBS put options — 3,934 — 3,934 MBS call options — 217 — 217 Put options on interest rate futures purchase contracts 3,109 — — 3,109 Call options on interest rate futures purchase contracts 203 — — 203 Total derivative assets before netting 3,312 110,380 65,848 179,540 Netting — — — (96,635) Total derivative assets 3,312 110,380 65,848 82,905 Investment in PennyMac Mortgage Investment Trust 1,228 — — 1,228 Mortgage servicing rights at fair value — — 515,925 515,925 $ 90,504 $ 2,235,924 $ 629,044 $ 2,858,837 Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ — $ 288,669 $ 288,669 Derivative liabilities: Interest rate lock commitments — — 6,457 6,457 Forward purchase contracts — 16,914 — 16,914 Forward sales contracts — 85,035 — 85,035 Total derivative liabilities before netting — 101,949 6,457 108,406 Netting — — — (86,044) Total derivative liabilities — 101,949 6,457 22,362 Mortgage servicing liabilities at fair value — — 15,192 15,192 $ — $ 101,949 $ 310,318 $ 326,223 |
Summary of roll forward of items measured using Level 3 inputs on a recurring basis | Quarter ended September 30, 2017 Mortgage Net interest Repurchase Mortgage loans held rate lock agreement servicing for sale commitments (1) derivatives rights Total (in thousands) Assets: Balance, June 30, 2017 $ 380,084 $ 46,158 $ — $ 678,441 $ 1,104,683 Purchases and issuances, net 499,546 83,798 469 41 583,854 Sales and repayments (306,458) — — — (306,458) Mortgage servicing rights resulting from mortgage loan sales — — — 5,773 5,773 Changes in fair value included in income arising from: — Changes in instrument-specific credit risk (1,130) — — — (1,130) Other factors — 41,693 — (28,271) 13,422 (1,130) 41,693 — (28,271) 12,292 Transfers from Level 3 to Level 2 (195,802) — — — (195,802) Transfers of interest rate lock commitments to mortgage loans held for sale — (117,265) — — (117,265) Balance, September 30, 2017 $ 376,240 $ 54,384 $ 469 $ 655,984 $ 1,087,077 Changes in fair value recognized during the period relating to assets still held at September 30, 2017 $ (2,851) $ 54,384 $ — $ (28,271) $ 23,262 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended September 30, 2017 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance, June 30, 2017 $ 261,796 $ 18,295 $ 280,091 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 1,207 — 1,207 Accrual of interest 3,998 — 3,998 Repayments (13,410) — (13,410) Mortgage servicing liabilities resulting from mortgage loan sales — 4,071 4,071 Changes in fair value included in income (4,828) (6,290) (11,118) Balance, September 30, 2017 $ 248,763 $ 16,076 $ 264,839 Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2017 $ (4,828) $ (6,290) $ (11,118) 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 $ 38,079 $ 90,262 $ 526,294 $ 654,635 Purchases 750,709 — 12 750,721 Sales and repayments (631,075) — — (631,075) Interest rate lock commitments issued, net — 148,315 — 148,315 Mortgage servicing rights resulting from mortgage loan sales — — 3,913 3,913 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 2,487 — — 2,487 Other factors — 68,241 (38,191) 30,050 2,487 68,241 (38,191) 32,537 Transfers from Level 3 to Level 2 (113,826) — — (113,826) Transfers of interest rate lock commitments to mortgage loans held for sale — (201,300) — (201,300) Balance, September 30, 2016 $ 46,374 $ 105,518 $ 492,028 $ 643,920 Changes in fair value recognized during the period relating to assets still held at September 30, 2016 $ (234) $ 105,518 $ (38,191) $ 67,093 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended September 30, 2016 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance, June 30, 2016 $ 294,551 $ 4,681 $ 299,232 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 1,438 — 1,438 Accrual of interest 4,827 — 4,827 Repayments (16,342) — (16,342) Mortgage servicing liabilities resulting from mortgage loan sales — 6,401 6,401 Mortgage servicing liabilities assumed — 5,736 5,736 Changes in fair value included in income (4,107) (3,773) (7,880) Balance, September 30, 2016 $ 280,367 $ 13,045 $ 293,412 Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2016 $ (4,107) $ (3,773) $ (7,880) Nine months ended September 30, 2017 Mortgage Net interest Repurchase Mortgage loans held rate lock agreement servicing for sale commitments (1) derivatives rights Total (in thousands) Assets: Balance, December 31, 2016 $ 47,271 $ 59,391 $ — $ 515,925 $ 622,587 Purchases and issuances, net 1,815,509 226,617 469 183,830 2,226,425 Sales and repayments (845,318) — — — (845,318) Mortgage servicing rights resulting from mortgage loan sales — — — 19,702 19,702 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (6,104) — — — (6,104) Other factors — 99,425 — (63,473) 35,952 (6,104) 99,425 — (63,473) 29,848 Transfers from Level 3 to Level 2 (635,118) — — — (635,118) Transfers of interest rate lock commitments to mortgage loans held for sale — (331,049) — — (331,049) Balance, September 30, 2017 $ 376,240 $ 54,384 $ 469 $ 655,984 $ 1,087,077 Changes in fair value recognized during the period relating to assets still held at September 30, 2017 $ (3,733) $ 54,384 $ — $ (63,473) $ (12,822) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Nine months ended September 30, 2017 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance, December 31, 2016 $ 288,669 $ 15,192 $ 303,861 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 4,160 — 4,160 Accrual of interest 13,011 — 13,011 Repayments (42,320) — (42,320) Mortgage servicing liabilities resulting from mortgage loan sales — 11,940 11,940 Changes in fair value included in income (14,757) (11,056) (25,813) Balance, September 30, 2017 $ 248,763 $ 16,076 $ 264,839 Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2017 $ (14,757) $ (11,056) $ (25,813) 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 $ 48,531 $ 43,773 $ 660,247 $ 752,551 Purchases 1,239,507 — 23 1,239,530 Sales and repayments (929,251) — — (929,251) Interest rate lock commitments issued, net — 329,533 — 329,533 Mortgage servicing rights resulting from mortgage loan sales — — 13,201 13,201 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 3,178 — — 3,178 Other factors — 217,429 (181,443) 35,986 3,178 217,429 (181,443) 39,164 Transfers from Level 3 to Level 2 (315,591) — — (315,591) Transfers of interest rate lock commitments to mortgage loans held for sale — (485,217) — (485,217) Balance, September 30, 2016 $ 46,374 $ 105,518 $ 492,028 $ 643,920 Changes in fair value recognized during the year relating to assets still held at September 30, 2016 $ 506 $ 105,518 $ (181,443) $ (75,419) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Nine months ended September 30, 2016 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance December 31, 2015 $ 412,425 $ 1,399 $ 413,824 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 5,039 — 5,039 Accrual of interest 17,555 — 17,555 Settlement (59,045) — (59,045) Repayments (54,623) — (54,623) Mortgage servicing liabilities resulting from mortgage loan sales — 11,810 11,810 Mortgage servicing liabilities assumed — 5,736 5,736 Changes in fair value included in income (40,984) (5,900) (46,884) Balance, September 30, 2016 $ 280,367 $ 13,045 $ 293,412 Changes in fair value recognized during the year relating to liabilities still outstanding at September 30, 2016 $ (33,774) $ (5,900) $ (39,674) |
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, 2017 2016 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 $ 130,869 $ — $ 130,869 $ 198,449 $ — $ 198,449 Mortgage servicing rights at fair value — (28,271) (28,271) — (38,191) (38,191) $ 130,869 $ (28,271) $ 102,598 $ 198,449 $ (38,191) $ 160,258 Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ 4,828 $ 4,828 $ — $ 4,107 $ 4,107 Mortgage servicing liabilities at fair value — 6,290 6,290 — 3,773 3,773 $ — $ 11,118 $ 11,118 $ — $ 7,880 $ 7,880 Nine months ended September 30, 2017 2016 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 $ 336,836 $ — $ 336,836 $ 499,058 $ — $ 499,058 Mortgage servicing rights at fair value — (63,473) (63,473) — (181,443) (181,443) $ 336,836 $ (63,473) $ 273,363 $ 499,058 $ (181,443) $ 317,615 Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ 14,757 $ 14,757 $ — $ 40,984 $ 40,984 Mortgage servicing liabilities at fair value — 11,056 11,056 — 5,900 5,900 $ — $ 25,813 $ 25,813 $ — $ 46,884 $ 46,884 |
Schedule of fair value and related principal amounts due upon maturity of assets and liabilities accounted for under the fair value option | September 30, 2017 Principal amount Fair due upon value maturity Difference (in thousands) Mortgage loans held for sale: Current through 89 days delinquent $ 2,652,858 $ 2,572,370 $ 80,488 90 days or more delinquent: Not in foreclosure 224,477 227,395 (2,918) In foreclosure 58,258 58,877 (619) $ 2,935,593 $ 2,858,642 $ 76,951 December 31, 2016 Principal amount Fair due upon value maturity Difference (in thousands) Mortgage loans held for sale: Current through 89 days delinquent $ 2,148,947 $ 2,077,034 $ 71,913 90 days or more delinquent: Not in foreclosure 19,227 19,399 (172) In foreclosure 4,641 4,850 (209) $ 2,172,815 $ 2,101,283 $ 71,532 |
Summary of financial statement items measured at estimated fair value on a nonrecurring basis | September 30, 2017 Level 1 Level 2 Level 3 Total (in thousands) Mortgage servicing rights at lower of amortized cost or fair value $ — $ — $ 1,341,959 $ 1,341,959 Real estate acquired in settlement of loans — — 717 717 $ — $ — $ 1,342,676 $ 1,342,676 December 31, 2016 Level 1 Level 2 Level 3 Total (in thousands) Mortgage servicing rights at lower of amortized cost or fair value $ — $ — $ 1,093,242 $ 1,093,242 Real estate acquired in settlement of loans — — 1,152 1,152 $ — $ — $ 1,094,394 $ 1,094,394 |
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, 2017 2016 2017 2016 (in thousands) Mortgage servicing rights at lower of amortized cost or fair value $ (17,270) $ (25,206) $ (33,906) $ (174,926) Real estate acquired in settlement of loans 17 42 102 — $ (17,253) $ (25,164) $ (33,804) $ (174,926) |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items, excluding MSR purchases | Quarter ended September 30, 2017 2016 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 $ 5,773 $ 153,061 $ 3,913 $ 146,448 Unpaid principal balance of underlying mortgage loans $ 573,463 $ 12,184,003 $ 340,562 $ 12,313,082 Weighted average servicing fee rate (in basis points) 31 32 33 29 Key inputs: Pricing spread (1) Range 7.6% – 11.2% 7.6% – 14.6% 7.6% – 10.5% 7.6% – 14.4% Weighted average 10.7% 10.8% 9.3% 9.5% Annual total prepayment speed (2) Range 3.9% – 46.8% 4.4% – 47.6% 5.0% – 42.8% 3.4% – 42.9% Weighted average 13.3% 9.5% 12.4% 9.7% Life (in years) Range 1.4 – 11.4 1.5 – 11.4 1.7 – 10.8 1.7 – 12.2 Weighted average 6.3 7.9 6.5 7.6 Per-loan annual cost of servicing Range $78 – $98 $79 – $98 $78 – 103 $78 – $102 Weighted average $89 $89 $92 $91 (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, 2017 2016 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 $19,702 $412,206 $13,201 $370,414 Unpaid principal balance of underlying mortgage loans $1,873,404 $33,890,209 $1,108,802 $29,667,803 Weighted average servicing fee rate (in basis points) 31 30 33 30 Key inputs: Pricing spread (1) Range 7.6% – 11.2% 7.6% – 15.2% 7.2% – 10.5% 7.2% – 14.4% Weighted average 10.5% 10.7% 8.9% 9.2% Annual total prepayment speed (2) Range 3.9% – 71.8% 3.4% – 47.6% 3.3% – 52.3% 3.4% – 50.9% Weighted average 12.5% 9.1% 12.6% 10.0% Life (in years) Range 0.8 – 11.5 1.5 – 12.2 1.3 – 11.8 1.3 – 12.2 Weighted average 6.6 8.1 6.5 7.5 Per-loan annual cost of servicing Range $78 – $101 $79 – $101 $68 – $105 $68 – $106 Weighted average $89 $89 $87 $88 (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 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, 2017 December 31, 2016 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 $ 655,984 $ 1,360,501 $ 515,925 $ 1,111,747 Unpaid principal balance of underlying mortgage loans $ 54,381,902 $ 108,417,676 $ 43,667,165 $ 85,509,941 Weighted average note interest rate 4.0% 3.8% 4.1% 3.7% Weighted average servicing fee rate (in basis points) 32 31 32 31 Key inputs: Pricing spread (1): Range 7.6% – 14.6% 7.6% – 14.6% 7.6% – 14.9% 7.6% – 14.9% Weighted average 10.2% 10.8% 10.1% 10.7% Effect on fair value of (2): 5% adverse change $ (11,631) $ (26,802) $ (9,097) $ (22,382) 10% adverse change $ (22,846) $ (52,566) $ (17,872) $ (43,889) 20% adverse change $ (44,113) $ (101,200) $ (34,516) $ (84,464) Prepayment speed (3): Range 7.7% – 41.1% 7.5% – 44.8% 7.0% – 46.7% 6.6% – 43.9% Weighted average 10.4% 9.5% 10.3% 8.7% Average life (in years): Range 1.4 – 8.1 1.9 – 8.7 1.3 – 8.6 1.6 – 9.4 Weighted average 6.7 7.6 6.7 8.1 Effect on fair value of (2): 5% adverse change $ (11,201) $ (21,643) $ (8,818) $ (16,636) 10% adverse change $ (22,018) $ (42,573) $ (17,336) $ (32,750) 20% adverse change $ (42,577) $ (82,428) $ (33,533) $ (63,513) Annual per-loan cost of servicing: Range $78 – $97 $79 – $98 $78 – $101 $79 – $101 Weighted average $89 $89 $92 $92 Effect on fair value of (2): 5% adverse change $ (6,454) $ (10,527) $ (5,612) $ (8,890) 10% adverse change $ (12,908) $ (21,053) $ (11,225) $ (17,781) 20% adverse change $ (25,816) $ (42,107) $ (22,450) $ (35,562) (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 liabilities | September 30, December 31, 2017 2016 Carrying value (in thousands) $248,763 $288,669 ESS and pool characteristics: Unpaid principal balance of underlying mortgage loans (in thousands) $28,385,316 $32,376,359 Average servicing fee rate (in basis points) 34 34 Average excess servicing spread (in basis points) 19 19 Key inputs: Pricing spread (1): Range 3.8% – 4.4% 3.8% – 4.8% Weighted average 4.2% 4.4% Annualized prepayment speed (2): Range 7.7% – 37.2% 7.0% – 41.3% Weighted average 10.7% 10.5% Average life (in years): Range 1.5 – 8.1 1.4 – 8.6 Weighted average 6.6 6.8 (1) (2) |
Mortgage servicing liabilities | |
Fair Value | |
Schedule of key inputs used in determining the fair value of liabilities | September 30, December 31, 2017 2016 MSL and pool characteristics: Carrying value (in thousands) $ 16,076 $ Unpaid principal balance of underlying mortgage loans (in thousands) $ 1,512,632 $ Weighted average servicing fee rate (in basis points) 25 Key inputs: Pricing spread (1) Prepayment speed (2) Average life (in years) 3.5 Annual per-loan cost of servicing $ 419 $ (1) The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSLs. Prepayment speed is measured using Life Total CPR |
Interest rate lock commitments | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | Key inputs September 30, 2017 December 31, 2016 Pull-through rate: Range 15.0% – 100.0% 35.0% – 100.0% Weighted average 85.9% 84.9% Mortgage servicing rights value expressed as: Servicing fee multiple: Range 1.2 – 6.0 1.2 – 5.9 Weighted average 4.0 4.3 Percentage of unpaid principal balance: Range 0.3% – 2.6% 0.3% – 2.8% Weighted average 1.4% 1.3% |
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, 2017 December 31, 2016 Discount rate: Range 2.9% – 9.2% 2.6% – 8.8% Weighted average 2.9% 3.0% Twelve-month projected housing price index change: Range 2.9% – 5.5% 2.0% – 4.5% Weighted average 4.4% 3.7% Voluntary prepayment / resale speed (1): Range 0.1% – 21.5% 0.1% – 24.4% Weighted average 19.4% 20.9% Total prepayment speed (2): Range 0.1% – 40.3% 0.1% – 39.8% Weighted average 38.5% 34.3% (1) Voluntary prepayment/resale speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”). (2) |
Mortgage Loans Held for Sale 35
Mortgage Loans Held for Sale at Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Mortgage Loans Held for Sale at Fair Value | |
Summary of mortgage loans held for sale at fair value | September 30, December 31, 2017 2016 (in thousands) Government-insured or guaranteed $ 2,422,378 $ 1,984,020 Conventional conforming 136,975 141,524 Purchased from Ginnie Mae pools serviced by the Company 371,852 40,437 Repurchased pursuant to representations and warranties 4,388 6,834 $ 2,935,593 $ 2,172,815 Fair value of mortgage loans pledged to secure: Assets sold under agreements to repurchase $ 2,352,842 $ 1,422,255 Mortgage loan participation purchase and sale agreements 554,579 702,919 $ 2,907,421 $ 2,125,174 |
Derivative Activities (Tables)
Derivative Activities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Derivative Activities | |
Summary of derivative financial instruments | September 30, 2017 December 31, 2016 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: Not subject to master netting arrangements: Interest rate lock commitments 3,759,403 $ 57,304 $ 2,920 4,279,611 $ 65,848 $ 6,457 Repurchase agreement derivatives — 469 — — — — Used for hedging purposes: Forward purchase contracts 7,300,518 404 26,678 12,746,191 77,905 16,914 Forward sales contracts 7,584,893 9,961 1,310 16,577,942 28,324 85,035 MBS put options 5,650,000 11,423 5,026 1,175,000 3,934 — MBS call options 650,000 171 — 1,600,000 217 — Put options on interest rate futures purchase contracts 1,025,000 7,867 — 1,125,000 3,109 — Call options on interest rate futures purchase contracts 125,000 918 — 900,000 203 — Call options on interest rate futures sale contracts 125,000 — 586 — — — Interest rate swap futures purchase contracts 1,400,000 — — 200,000 — — Total derivatives before netting 88,517 36,520 179,540 108,406 Netting (11,808) (25,046) (96,635) (86,044) $ 76,709 $ 11,474 $ 82,905 $ 22,362 Deposits placed with derivative counterparties $ 13,238 $ 10,591 |
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, 2017 Balance Balance beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts 7,819,706 47,723,376 (48,242,564) 7,300,518 Forward sale contracts 7,641,979 61,239,459 (61,296,545) 7,584,893 MBS put options 6,075,000 6,825,000 (7,250,000) 5,650,000 MBS call options — 7,900,000 (7,250,000) 650,000 Put options on interest rate futures purchase contracts 1,250,000 2,950,000 (3,175,000) 1,025,000 Call options on interest rate futures purchase contracts 200,000 125,000 (200,000) 125,000 Put options on interest rate futures sale contracts 200,000 2,975,000 (3,175,000) — Call options on interest rate futures sale contracts — 325,000 (200,000) 125,000 Treasury futures purchase contracts — 46,500 (46,500) — Treasury futures sale contracts — 46,500 (46,500) — Interest rate swap futures purchase contracts 325,000 1,075,000 — 1,400,000 Quarter ended September 30, 2016 Balance Balance beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts 13,510,863 63,091,757 (59,486,446) 17,116,174 Forward sale contracts 13,614,196 77,956,736 (73,802,639) 17,768,293 MBS put options 3,550,000 6,150,000 (4,200,000) 5,500,000 Put options on interest rate futures purchase contracts 1,000,000 4,025,000 (1,500,000) 3,525,000 Call options on interest rate futures purchase contracts 452,100 900,000 (1,052,100) 300,000 Treasury futures purchase contracts — 493,700 (168,700) 325,000 Treasury futures sale contracts — 168,700 (168,700) — Nine months ended September 30, 2017 Balance Balance beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts 12,746,191 136,663,951 (142,109,624) 7,300,518 Forward sale contracts 16,577,942 169,173,906 (178,166,955) 7,584,893 MBS put options 1,175,000 19,675,000 (15,200,000) 5,650,000 MBS call options 1,600,000 12,100,000 (13,050,000) 650,000 Put options on interest rate futures purchase contracts 1,125,000 7,410,000 (7,510,000) 1,025,000 Call options on interest rate futures purchase contracts 900,000 1,614,300 (2,389,300) 125,000 Put options on interest rate futures sale contracts — 7,510,000 (7,510,000) — Call options on interest rate futures sale contracts — 2,514,300 (2,389,300) 125,000 Treasury futures purchase contracts — 212,600 (212,600) — Treasury futures sale contracts — 212,600 (212,600) — Interest rate swap futures purchase contracts 200,000 1,600,000 (400,000) 1,400,000 Interest rate swap futures sales contracts — 400,000 (400,000) — Nine months ended September 30, 2016 Balance Balance beginning of Dispositions/ end of Instrument period Additions expirations period (in thousands) Forward purchase contracts 5,254,293 140,774,477 (128,912,596) 17,116,174 Forward sale contracts 6,230,811 173,875,141 (162,337,659) 17,768,293 MBS put options 1,275,000 15,600,000 (11,375,000) 5,500,000 Put options on interest rate futures purchase contracts 1,650,000 8,700,000 (6,825,000) 3,525,000 Call options on interest rate futures purchase contracts 600,000 4,537,500 (4,837,500) 300,000 Treasury futures purchase contracts — 493,700 (168,700) 325,000 Treasury futures sale contracts — 168,700 (168,700) — |
Summaries of derivative assets and related netting amounts | September 30, 2017 December 31, 2016 Gross Gross amount Net amount Gross Gross amount Net amount amount of offset in the of assets in the amount of offset in the of assets in the recognized consolidated consolidated recognized consolidated consolidated assets balance sheet balance sheet assets balance sheet balance sheet (in thousands) Derivatives not subject to master netting arrangements: Interest rate lock commitments $ 57,304 $ — $ 57,304 $ 65,848 $ — $ 65,848 Repurchase agreement derivatives 469 — 469 — — — 57,773 — 57,773 65,848 — 65,848 Derivatives subject to master netting arrangements: Forward purchase contracts 404 — 404 77,905 — 77,905 Forward sale contracts 9,961 — 9,961 28,324 — 28,324 MBS put options 11,423 — 11,423 3,934 — 3,934 MBS call options 171 — 171 217 — 217 Put options on interest rate futures purchase contracts 7,867 — 7,867 3,109 — 3,109 Call options on interest rate futures purchase contracts 918 — 918 203 — 203 Netting — (11,808) (11,808) — (96,635) (96,635) 30,744 (11,808) 18,936 113,692 (96,635) 17,057 $ 88,517 $ (11,808) $ 76,709 $ 179,540 $ (96,635) $ 82,905 |
Summary of the amount of derivative asset positions by significant counterparty after considering master netting arrangements and financial instruments or cash pledged | September 30, 2017 December 31, 2016 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) IRLCs $ 57,304 $ — $ — $ 57,304 $ 65,848 $ — $ — $ 65,848 Repurchase agreement derivatives 469 — — 469 — — — — RJ O'Brien 8,199 — — 8,199 2,750 — — 2,750 Barclays Capital 4,388 — — 4,388 12,002 — — 12,002 Citibank, N.A. 3,275 — — 3,275 — — — — JPMorgan Chase Bank, N.A. 2,508 — — 2,508 99 — — 99 Others 566 — — 566 2,206 — — 2,206 $ 76,709 $ — $ — $ 76,709 $ 82,905 $ — $ — $ 82,905 |
Summary of net derivative liabilities and assets sold under agreements to repurchase and related netting amounts | September 30, 2017 December 31, 2016 Net Net amount amount Gross Gross amount of liabilities Gross Gross amount of liabilities amount of offset in the in the amount of offset in the in the recognized consolidated consolidated recognized consolidated consolidated liabilities balance sheet balance sheet liabilities balance sheet balance sheet (in thousands) Derivatives not subject to master netting arrangements – IRLCs $ 2,920 $ — $ 2,920 $ 6,457 $ — $ 6,457 Derivatives subject to a master netting arrangement: Forward purchase contracts 26,678 — 26,678 16,914 — 16,914 Forward sale contracts 1,310 — 1,310 85,035 — 85,035 MBS put options 5,026 — 5,026 — — — Call options on interest rate futures sale contracts 586 — 586 — — — Netting — (25,046) (25,046) — (86,044) (86,044) 33,600 (25,046) 8,554 101,949 (86,044) 15,905 Total derivatives 36,520 (25,046) 11,474 108,406 (86,044) 22,362 Mortgage loans sold under agreements to repurchase: Amount outstanding 2,096,965 — 2,096,965 1,736,922 — 1,736,922 Unamortized debt issuance costs and premiums (473) — (473) (1,808) — (1,808) 2,096,492 — 2,096,492 1,735,114 — 1,735,114 $ 2,133,012 $ (25,046) $ 2,107,966 $ 1,843,520 $ (86,044) $ 1,757,476 |
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, 2017 December 31, 2016 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) IRLCs $ 2,920 $ — $ — $ 2,920 $ 6,457 $ — $ — $ 6,457 Credit Suisse First Boston Mortgage Capital LLC 901,424 (901,424) — — 961,533 (960,988) — 545 Bank of America, N.A. 495,640 (491,083) — 4,557 349,638 (342,769) — 6,869 Deutsche Bank 204,079 (204,079) — — — — — — JPMorgan Chase Bank, N.A. 183,216 (183,216) — — 135,322 (135,322) — — Morgan Stanley Bank, N.A. 105,235 (105,235) — — 189,756 (188,851) — 905 Citibank, N.A. 99,413 (99,413) — — 81,555 (80,525) — 1,030 Barclays Capital 26,149 (26,149) — — 28,467 (28,467) — — Royal Bank of Canada 86,834 (86,366) — 468 2,937 — — 2,937 Federal National Mortgage Association 2,197 — — 2,197 1,033 — — 1,033 BNP Paribas — — — — 1,151 — — 1,151 Others 1,332 — — 1,332 1,435 — — 1,435 $ 2,108,439 $ (2,096,965) $ — $ 11,474 $ 1,759,284 $ (1,736,922) $ — $ 22,362 |
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 2017 2016 2017 2016 (in thousands) Interest rate lock commitments and mortgage loans held for sale Net gains on mortgage loans held for sale $ (26,981) $ (27,546) $ (27,191) $ (145,665) Mortgage servicing rights Net mortgage loan servicing fees – Amortization, impairment and change in fair value of mortgage servicing rights and mortgage servicing liabilities $ 7,174 $ 19,026 $ (17,018) $ 142,694 |
Carried Interest Due from Inv37
Carried Interest Due from Investment Funds (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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, 2017 2016 2017 2016 (in thousands) Balance at beginning of period $ 71,019 $ 70,763 $ 70,906 $ 69,926 Carried Interest recognized during the period (1,158) 107 (1,045) 944 Cash received during the period (61,314) — (61,314) — Balance at end of period $ 8,547 $ 70,870 $ 8,547 $ 70,870 |
Mortgage Servicing Rights and38
Mortgage Servicing Rights and Mortgage Servicing Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Mortgage Servicing Rights and Mortgage Servicing Liabilities | |
Schedule of activity in MSRs carried at fair value | Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Balance at beginning of period $ 678,441 $ 526,294 $ 515,925 $ 660,247 Additions: Purchases 41 12 183,830 23 Mortgage servicing rights resulting from mortgage loan sales 5,773 3,913 19,702 13,201 5,814 3,925 203,532 13,224 Change in fair value due to: Changes in valuation inputs used in valuation model (1) (4,857) (17,573) (4,453) (118,304) Other changes in fair value (2) (23,414) (20,618) (59,020) (63,139) Total change in fair value (28,271) (38,191) (63,473) (181,443) Balance at end of period $ 655,984 $ 492,028 $ 655,984 $ 492,028 September 30, December 31, 2017 2016 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and Notes payable $ 647,301 $ 509,847 (1) Principally reflects changes in discount rate and prepayment speed inputs, primarily due to changes in market interest rates, and changes in expected borrower performance and servicer losses given default. (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, 2017 2016 2017 2016 (in thousands) Amortized cost: Balance at beginning of period $ 1,384,741 $ 961,591 $ 1,206,694 $ 798,925 Mortgage servicing rights resulting from mortgage loan sales 153,061 146,448 412,206 370,414 Amortization (48,448) (40,230) (129,546) (101,530) Application of valuation allowance to write down mortgage servicing rights with other-than-temporary-impairment — (12,777) — (12,777) Balance at end of period 1,489,354 1,055,032 1,489,354 1,055,032 Valuation allowance: Balance at beginning of period (111,583) (196,957) (94,947) (47,237) Additions (17,270) (25,206) (33,906) (174,926) Application of valuation allowance to write down mortgage servicing rights with other-than-temporary-impairment — 12,777 — 12,777 Balance at end of period (128,853) (209,386) (128,853) (209,386) Mortgage servicing rights, net at end of period $ 1,360,501 $ 845,646 $ 1,360,501 $ 845,646 Fair value of mortgage servicing rights at beginning of period $ 1,273,364 $ 764,634 $ 1,112,302 $ 766,345 Fair value of mortgage servicing rights at end of period $ 1,360,578 $ 845,646 September 30, December 31, 2017 2016 (in thousands) Fair value of mortgage servicing rights pledged to secure assets sold under agreements to repurchase and note payable $ 1,347,575 $ 1,107,824 |
Summary of estimate of future amortization of existing MSRs | Estimated MSR Twelve month period ending September 30, amortization (in thousands) 2018 $ 178,253 2019 159,165 2020 142,554 2021 127,245 2022 113,872 Thereafter 768,265 $ 1,489,354 |
Schedule of activity in mortgage servicing liability carried at fair value | Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Balance at beginning of period $ 18,295 $ 4,681 $ 15,192 $ 1,399 Mortgage servicing liabilities resulting from mortgage loan sales 4,071 6,401 11,940 11,810 Mortgage servicing liabilities assumed — 5,736 — 5,736 Changes in fair value due to: Changes in valuation inputs used in valuation model (1) (176) 438 7,819 4,365 Other changes in fair value (2) (6,114) (4,211) (18,875) (10,265) Total change in fair value (6,290) (3,773) (11,056) (5,900) Balance at end of period $ 16,076 $ 13,045 $ 16,076 $ 13,045 (1) Principally reflects changes in expected borrower performance and servicer losses given default. (2) Represents changes due to realization of cash flows. |
Summary of servicing fees, late fees and ancillary and other fees relating to MSRs recorded on the consolidated statements of income | Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Contractual servicing fees $ 126,416 $ 98,865 $ 345,231 $ 282,962 Ancillary and other fees: Late charges 6,326 4,932 18,915 14,461 Other 1,270 1,330 3,296 3,430 $ 134,012 $ 105,127 $ 367,442 $ 300,853 |
Borrowings (Tables)
Borrowings (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Borrowings | |
Summary of financial data pertaining to assets sold under agreements to repurchase | Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ 1,960,332 $ 1,515,632 $ 1,854,786 $ 1,303,313 Weighted average interest rate (1) 3.23 % 2.87 % 3.15 % 2.87 % Total interest expense $ 19,203 $ 12,951 $ 52,249 $ 33,863 Maximum daily amount outstanding $ 2,564,756 $ 2,550,035 $ 2,581,199 $ 2,550,035 September 30, December 31, 2017 2016 (dollars in thousands) Carrying value: Unpaid principal balance $ 2,096,965 $ 1,736,922 Unamortized debt issuance costs and premiums (473) (1,808) $ 2,096,492 $ 1,735,114 Weighted average interest rate 2.93 % 3.02 % Available borrowing capacity (2): Committed $ 245,352 $ 347,487 Uncommitted 2,612,683 857,591 $ 2,858,035 $ 1,205,078 Fair value of assets securing repurchase agreements: Mortgage loans held for sale $ 2,352,842 $ 1,422,255 Servicing advances $ 65,074 $ 81,306 Mortgage servicing rights $ 366,164 $ 1,479,322 Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 148,072 $ 150,000 Margin deposits placed with counterparties (3) $ 5,250 $ 3,000 (1) Excludes the effect of amortization of commitment fees totaling $3.0 million and $1.8 million for the quarters ended September 30, 2017 and 2016, respectively, and $7.9 million and $5.4 million for the nine months ended September 30, 2017 and 2016, 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 those assets. (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, 2017 Balance (dollars in thousands) Within 30 days $ 442,558 Over 30 to 90 days 1,554,407 Over 180 days to one year 100,000 Total loans sold under agreements to repurchase $ 2,096,965 Weighted average maturity (in months) 2.2 |
Summary of amount at risk relating to the assets sold under agreements to repurchase by counterparty | Weighted average maturity of advances under repurchase Counterparty Amount at risk agreement Facility maturity (in thousands) Credit Suisse First Boston Mortgage Capital LLC $ 331,238 April 27, 2018 April 27, 2018 Credit Suisse First Boston Mortgage Capital LLC $ 141,057 November 10, 2017 April 27, 2018 Bank of America, N.A. $ 105,122 December 21, 2017 May 25, 2018 JP Morgan Chase Bank, N.A. $ 70,425 October 13, 2017 October 13, 2017 Deutsche Bank AG $ 16,532 December 23, 2017 March 31, 2018 Morgan Stanley Bank, N.A. $ 8,109 November 15, 2017 August 24, 2018 Royal Bank of Canada $ 6,970 December 14, 2017 December 29, 2017 Citibank, N.A. $ 6,523 October 30, 2017 March 2, 2018 Barclays Bank PLC $ 2,533 December 1, 2017 December 1, 2017 |
Summary of mortgage loan participations | Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (dollars in thousands) Average balance $ 213,486 $ 365,112 $ 200,119 $ 241,131 Weighted average interest rate (1) 2.48 % 1.75 % 2.25 % 1.72 % Total interest expense $ 1,484 $ 1,887 $ 3,780 $ 3,585 Maximum daily amount outstanding $ 532,266 $ 793,395 $ 532,266 $ 793,395 (1) Excludes the effect of amortization of facility fees totaling $134,000 and $250,000 for the quarters ended September 30, 2017 and 2016, respectively, and $365,000 and $435,000 for the nine months ended September 30, 2017 and 2016, respectively. September 30, December 31, 2017 2016 (dollars in thousands) Carrying value: Unpaid principal balance $ 532,266 $ 671,562 Unamortized debt issuance costs (490) (136) $ 531,776 $ 671,426 Weighted average interest rate 2.49 % 2.02 % Fair value of mortgage loans pledged to secure mortgage loan participation and sale agreements $ 554,579 $ 702,919 |
Summary of note payable | Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (dollars in thousands) Average balance $ 689,417 $ 100,390 $ 483,370 $ 102,492 Weighted average interest rate (1) 5.85 % 4.55 % 5.87 % 4.50 % Total interest expense $ 11,747 $ 2,129 $ 24,746 $ 6,018 Maximum daily amount outstanding $ 890,879 $ 115,006 $ 891,011 $ 128,849 (1) Excluding the effect of amortization of debt issuance costs totaling $1.2 million and $0. 8 million for the quarters ended September 30, 2017 and 2016, respectively, and $3.2 million and $2.1 million for the nine months ended September 30, 2017 and 2016, respectively. September 30, December 31, 2017 2016 (dollars in thousands) Carrying value: Unpaid principal balance $ 900,004 $ 151,935 Unamortized debt issuance costs (9,120) (993) $ 890,884 $ 150,942 Weighted average interest rate 5.57 % 4.67 % Unused amount $ 280,000 $ 98,065 Assets pledged to secure notes payable: Cash $ 55,537 $ 91,788 Carried Interest $ 8,547 $ 70,906 Mortgage servicing rights $ 1,628,712 $ 138,349 |
Summary of obligations under capital lease | Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (dollars in thousands) Average balance $ 25,507 $ 21,975 $ 25,573 $ 17,451 Weighted average interest rate 3.25 % 2.46 % 3.01 % 2.45 % Total interest expense $ 205 $ 139 $ 585 $ 363 Maximum daily amount outstanding $ 26,641 $ 23,263 $ 30,044 $ 24,720 September 30, December 31, 2017 2016 (in thousands) Unpaid principal balance $ 24,373 $ 23,424 Weighted average interest rate 3.23 % 2.48 % Assets pledged to secure obligations under capital lease: Furniture, fixtures and equipment $ 25,700 $ 25,134 Capitalized software $ 1,681 $ 515 |
Summary of roll forward of Excess Servicing Spread Financing | Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Balance at beginning of period $ 261,796 $ 294,551 $ 288,669 $ 412,425 Issuances of excess servicing spread to PennyMac Mortgage Investment Trust 1,207 1,438 4,160 5,039 Accrual of interest 3,998 4,827 13,011 17,555 Repayment (13,410) (16,342) (42,320) (54,623) Settlement (1) — — — (59,045) Change in fair value (4,828) (4,107) (14,757) (40,984) Balance at end of period $ 248,763 $ 280,367 $ 248,763 $ 280,367 On February 29, 2016, the Company and PMT terminated 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 Re40
Liability for Losses Under Representations and Warranties (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Liability for Losses Under Representations and Warranties | |
Summary of repurchase activity | Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Balance at beginning of period $ 19,568 $ 24,277 $ 19,067 $ 20,611 Provision for losses on mortgage loans sold: Resulting from sales of mortgage loans 1,596 852 4,294 5,220 Reduction in liability due to change in estimate (1,194) (6,648) (3,086) (6,648) Incurred losses (297) (8) (602) (710) Balance at end of period $ 19,673 $ 18,473 $ 19,673 $ 18,473 Unpaid principal balance of mortgage loans subject to representations and warranties at end of period $ 114,531,205 $ 80,050,420 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Commitments and Contingencies. | |
Schedule of commitments to fund and sell mortgage loans | September 30, 2017 (in thousands) Commitments to purchase mortgage loans from PennyMac Mortgage Investment Trust $ 1,798,347 Commitments to fund mortgage loans 1,961,056 $ 3,759,403 |
Summary of future minimum lease payments | Twelve months ended September 30: Future minimum lease payments (in thousands) 2018 $ 12,943 2019 14,281 2020 14,660 2021 12,529 2022 10,060 Thereafter 34,559 $ 99,032 |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Stockholders' Equity. | |
Summary of share repurchase activity | Quarter ended September 30, Nine months ended September 30, Cumulative 2017 2016 2017 2016 Total (1) (in thousands) Shares of Class A common stock repurchased 505 — 505 — 505 Cost of shares of Class A common stock repurchased $ 8,599 $ — $ 8,599 $ — $ 8,599 (1) Amounts represent the total shares of Class A common stock repurchased under the stock repurchase program through September 30, 2017. |
Noncontrolling Interest (Tables
Noncontrolling Interest (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Noncontrolling Interest. | |
Noncontrolling Interest | Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Net income attributable to PennyMac Financial Services, Inc. common stockholders $ 17,081 $ 23,685 $ 38,439 $ 43,335 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. $ 3,656 $ 1,398 $ 20,583 $ 4,038 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 251 73 1,297 166 September 30, December 31, 2017 2016 Percentage of noncontrolling interest in Private National Mortgage Acceptance Company, LLC 69.6 % 70.6 % |
Net Gains on Mortgage Loans H44
Net Gains on Mortgage Loans Held for Sale (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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, 2017 2016 2017 2016 (in thousands) From non-affiliates: Cash (loss) gain: Mortgage loans $ (40,747) $ 40,381 $ (98,408) $ 82,612 Hedging activities (14,592) (13,526) (8,168) (163,659) (55,339) 26,855 (106,576) (81,047) Non-cash gain: Mortgage servicing rights and mortgage servicing liabilities resulting from mortgage loan sales 154,763 143,960 419,968 371,805 Provision for losses relating to representations and warranties: Pursuant to mortgage loan sales (1,596) (852) (4,294) (5,220) Reduction in liability due to change in estimate 1,194 6,648 3,086 6,648 Change in fair value relating to mortgage loans and hedging derivatives held at period end: Interest rate lock commitments 8,226 15,256 (5,008) 61,744 Mortgage loans 3,376 5,964 (2,554) 37,481 Hedging derivatives (12,389) (14,020) (19,023) 17,994 98,235 183,811 285,599 409,405 From PennyMac Mortgage Investment Trust 9,901 (1,690) 7,584 (5,557) $ 108,136 $ 182,121 $ 293,183 $ 403,848 |
Net Interest Income (Expense) (
Net Interest Income (Expense) (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Net Interest Income (Expense) | |
Summary of net interest income (expense) | Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Interest income: From non-affiliates: Short-term investments $ 733 $ 1,756 $ 1,727 $ 2,212 Mortgage loans held for sale at fair value 28,199 14,835 68,528 38,578 Placement fees relating to custodial funds 13,394 4,144 27,073 10,204 42,326 20,735 97,328 50,994 From PennyMac Mortgage Investment Trust—Financings receivable 2,116 1,974 5,946 5,798 44,442 22,709 103,274 56,792 Interest expense: To non-affiliates: Assets sold under agreements to repurchase 19,203 12,951 52,249 33,863 Mortgage loan participation purchase and sale agreements 1,484 1,887 3,780 3,585 Notes payable 11,747 2,129 24,746 6,018 Obligations under capital lease 205 139 585 363 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 4,602 4,587 11,529 10,114 Interest on mortgage loan impound deposits 1,253 996 2,943 2,471 38,494 22,689 95,832 56,414 To PennyMac Mortgage Investment Trust—Excess servicing spread financing at fair value 3,998 4,827 13,011 17,555 42,492 27,516 108,843 73,969 $ 1,950 $ (4,807) $ (5,569) $ (17,177) |
Stock-based Compensation (Table
Stock-based Compensation (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Stock-based Compensation | |
Summary of the stock-based compensation activity | Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands) Performance-based RSUs granted — — 694 813 Stock options granted — — 861 962 Time-based RSUs granted 3 10 408 261 Grant date fair value of Performance-based RSUs granted $ — $ — $ 12,512 $ 9,171 Grant date fair value of Stock options granted — — 5,772 3,412 Grant date fair value of Time-based RSUs granted 58 160 7,359 3,072 Total $ 58 $ 160 $ 25,643 $ 15,655 Performance-based RSUs vested — — 446 — Stock options exercised 9 2 34 2 Time-based RSUs vested 4 6 165 121 Compensation expense $ 4,243 $ 4,233 $ 14,633 $ 12,560 |
Earnings Per Share of Common 47
Earnings Per Share of Common Stock (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Earnings Per Share of Common Stock | |
Summary of basic and diluted earnings per share calculations | Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands, except per share amounts) Basic earnings per share of common stock: Net income attributable to PennyMac Financial Services, Inc. common stockholders $ 17,081 $ 23,685 $ 38,439 $ 43,335 Weighted average shares of common stock outstanding 23,426 22,217 23,147 22,101 Basic earnings per share of common stock $ 0.73 $ 1.07 $ 1.66 $ 1.96 Diluted earnings per share of common stock: Net income attributable to PennyMac Financial Services, Inc. common stockholders $ 17,081 $ 23,685 $ 38,439 $ 43,335 Effect of net income attributable to PennyMac Class A units exchangeable to common stock, net of income taxes 38,884 57,444 88,289 105,480 Diluted net income attributable to common stockholders $ 55,965 $ 81,129 $ 126,728 $ 148,815 Weighted average shares of common stock outstanding 23,426 22,217 23,147 22,101 Dilutive shares: PennyMac Class A units exchangeable to common stock 53,239 53,923 53,400 53,996 Common shares issuable under stock-based compensation plan 1,751 215 1,684 234 Diluted weighted average shares of common stock outstanding 78,416 76,355 78,231 76,331 Diluted earnings per share of common stock $ 0.71 $ 1.06 $ 1.62 $ 1.95 |
Schedule of anti-dilutive shares outstanding | Quarter ended September 30, Nine months ended September 30, 2017 2016 2017 2016 (in thousands except for weighted-average exercise price) Performance-based RSUs (2) — 2,505 475 2,510 Time-based RSUs 1 — 1 — Stock options (1) 2,622 2,768 2,434 2,559 Total anti-dilutive stock-based compensation units 2,623 5,273 2,910 5,069 Weighted average exercise price of anti-dilutive stock options (1) $ 16.39 $ 15.81 $ 16.39 $ 15.82 (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. |
Supplemental Cash Flow Inform48
Supplemental Cash Flow Information (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Supplemental Cash Flow Information | |
Schedule of supplemental cash flow information | Nine months ended September 30, 2017 2016 (in thousands) Cash paid for interest $ 115,710 $ 70,897 Cash paid for income taxes $ 41 $ 452 Non-cash investing activity: Mortgage servicing rights resulting from mortgage loan sales $ 431,908 $ 383,615 Mortgage servicing liabilities resulting from mortgage loan sales $ 11,940 $ 11,810 Unsettled portion of MSR acquisitions $ 16,364 $ — Non-cash financing activity: Transfer of excess servicing spread pursuant to a recapture agreement with PennyMac Mortgage Investment Trust $ 4,160 $ 5,039 Issuance of common stock in settlement of director fees $ 253 $ 230 |
Regulatory Capital and Liquid49
Regulatory Capital and Liquidity Requirements (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Regulatory Capital and Liquidity Requirements | |
Summary of agencies' capital and liquidity requirements by each agency | September 30, 2017 December 31, 2016 Agency–company subject to requirement Actual (1) Requirement (1) Actual (1) Requirement (1) (dollars in thousands) Capital Fannie Mae & Freddie Mac – PLS $ 1,482,475 $ 420,427 $ 1,289,464 $ 335,883 Ginnie Mae – PLS $ 1,253,593 $ 590,901 $ 1,085,549 $ 455,542 Ginnie Mae – PennyMac $ 1,443,982 $ 649,991 $ 1,261,565 $ 501,097 HUD – PLS $ 1,253,593 $ 2,500 $ 1,085,549 $ 2,500 Liquidity Fannie Mae & Freddie Mac – PLS $ 200,862 $ 57,509 $ 179,230 $ 45,930 Ginnie Mae – PLS $ 200,862 $ 149,493 $ 179,230 $ 115,304 Tangible net worth / Total assets ratio Fannie Mae & Freddie Mac – PLS 23 % 6 % % % (1) Calculated in compliance with the respective Agency’s requirements. |
Segments and Related Informat50
Segments and Related Information (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Segments and Related Information | |
Summary of financial highlights by segment | Quarter ended September 30, 2017 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on mortgage loans held for sale at fair value $ 79,983 $ 28,153 $ 108,136 $ — $ 108,136 Mortgage loan origination fees 33,168 — 33,168 — 33,168 Fulfillment fees from PennyMac Mortgage Investment Trust 23,507 — 23,507 — 23,507 Net mortgage loan servicing fees — 78,081 78,081 — 78,081 Management fees — — — 6,216 6,216 Carried Interest from Investment Funds — — — (1,158) (1,158) Net interest income (expense): Interest income 17,651 26,791 44,442 — 44,442 Interest expense 12,355 30,124 42,479 13 42,492 5,296 (3,333) 1,963 (13) 1,950 Other 235 525 760 (25) 735 Total net revenue 142,189 103,426 245,615 5,020 250,635 Expenses 73,231 78,955 152,186 4,305 156,491 Income before provision for income taxes $ 68,958 $ 24,471 $ 93,429 $ 715 $ 94,144 Segment assets at period end (2) $ 2,737,666 $ 3,628,689 $ 6,366,355 $ 20,369 $ 6,386,724 (1) All revenues are from external customers. (2) Excludes parent Company assets, which consist primarily of working capital of $1.6 million. 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 $ 166,506 $ 15,615 $ 182,121 $ — $ 182,121 Mortgage loan origination fees 34,621 — 34,621 — 34,621 Fulfillment fees from PennyMac Mortgage Investment Trust 27,255 — 27,255 — 27,255 Net mortgage loan servicing fees — 45,864 45,864 — 45,864 Management fees — — — 5,521 5,521 Carried Interest from Investment Funds — — — 107 107 Net interest income (expense): Interest income 13,013 9,696 22,709 — 22,709 Interest expense 9,323 18,182 27,505 11 27,516 3,690 (8,486) (4,796) (11) (4,807) Other 508 205 713 — 713 Total net revenue 232,580 53,198 285,778 5,617 291,395 Expenses 82,767 63,937 146,704 5,413 152,117 Income (loss) before provision for income taxes $ 149,813 $ (10,739) $ 139,074 $ 204 $ 139,278 Segment assets at period end (2) $ 3,221,446 $ 2,277,146 $ 5,498,592 $ 90,746 $ 5,589,338 (1) All revenues are from external customers. (2) Excludes parent Company assets, which consist primarily of working capital of $6.9 million. Nine months ended September 30, 2017 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains (losses) on mortgage loans held for sale at fair value $ 217,526 $ 75,657 $ 293,183 $ — $ 293,183 Loan origination fees 88,935 — 88,935 — 88,935 Fulfillment fees from PennyMac Mortgage Investment Trust 61,184 — 61,184 — 61,184 Net servicing fees — 199,157 199,157 — 199,157 Management fees — — — 17,597 17,597 Carried Interest from Investment Funds — — — (1,045) (1,045) Net interest income (expense): Interest income 45,866 57,408 103,274 — 103,274 Interest expense 32,507 76,299 108,806 37 108,843 13,359 (18,891) (5,532) (37) (5,569) Other 1,711 1,442 3,153 234 3,387 Total net revenue 382,715 257,365 640,080 16,749 656,829 Expenses 199,547 230,691 430,238 12,455 442,693 Income before provision for income taxes $ 183,168 $ 26,674 $ 209,842 $ 4,294 $ 214,136 Segment assets at period end (2) $ 2,737,666 $ 3,628,689 $ 6,366,355 $ 20,369 $ 6,386,724 (1) All revenues are from external customers. (2) Excludes parent Company assets, which consist primarily of working capital of $1.6 million. Nine months 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 $ 360,614 $ 43,234 $ 403,848 $ — $ 403,848 Loan origination fees 85,962 — 85,962 — 85,962 Fulfillment fees from PennyMac Mortgage Investment Trust 59,301 — 59,301 — 59,301 Net servicing fees — 89,938 89,938 — 89,938 Management fees — — — 17,163 17,163 Carried Interest from Investment Funds — — — 944 944 Net interest income (expense): Interest income 32,918 23,873 56,791 1 56,792 Interest expense 21,031 52,951 73,982 37 74,019 11,887 (29,078) (17,191) (36) (17,227) Other 1,596 824 2,420 204 2,624 Total net revenue 519,360 104,918 624,278 18,275 642,553 Expenses 196,634 176,088 372,722 16,205 388,927 Income before provision for income taxes and non-segment activities 322,726 (71,170) 251,556 2,070 253,626 Non-segment activities (2) — — — — 49 Income before provision for income taxes $ 322,726 $ (71,170) $ 251,556 $ 2,070 $ 253,675 Segment assets at period end (3) $ 3,221,446 $ 2,277,146 $ 5,498,592 $ 90,746 $ 5,589,338 (1) All revenues are from external customers. (2) Relates to parent Company interest expenses eliminated in consolidation. Excludes parent Company assets, which consist primarily of working capital of $6.9 million. |
Concentration of Risk (Details)
Concentration of Risk (Details) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Sales Revenue, Services, Net [Member] | Customer Concentration Risk [Member] | ||||
Concentration of Risk | ||||
Percentage of total net revenue | 22.00% | 15.00% | 20.00% | 22.00% |
Transactions with Affiliates -
Transactions with Affiliates - Correspondent Production (Details) - PMT | Sep. 12, 2016USD ($)item | Sep. 11, 2016 | Sep. 30, 2017USD ($) | Sep. 30, 2016USD ($) | Sep. 30, 2017USD ($) | Sep. 30, 2016USD ($) |
Lending activity between the entity and affiliate | ||||||
Fulfillment fee revenue | $ 23,507,000 | $ 27,255,000 | $ 61,184,000 | $ 59,301,000 | ||
Proceeds from sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust | 373,108,000 | 13,146,000 | ||||
MBS Agreement | ||||||
Transactions with Affiliates | ||||||
Fulfillment fee as a percent of UPB for conventional mortgage loans | 0.50% | |||||
Fulfillment fee as a percent of UPB of loans sold in accordance with Ginne Mae Mortgage-Backed Securities Guide | 0.88% | |||||
Fulfillment fee as a percent of UPB of all other mortgage loans | 0.50% | |||||
Early purchase program facility fee per annum per early purchase facility | $ 1,500 | |||||
Early purchase facility fee per loan | $ 35 | |||||
Fulfillment fee as a percent of UPB for mortgage loans sold or delivered to Fannie Mae or Freddie Mac | 0.35% | |||||
Fulfillment fee as a percent of UPB of all other mortgage loans, excluding Ginnie Mae mortgage loans | 0.85% | |||||
MBS Agreement | Minimum | ||||||
Transactions with Affiliates | ||||||
The administrative fee plus accrued interest and sourcing fee percent | 0.02% | |||||
MBS Agreement | Maximum | ||||||
Transactions with Affiliates | ||||||
The administrative fee plus accrued interest and sourcing fee percent | 0.035% | |||||
MSR Recapture Agreement | ||||||
Transactions with Affiliates | ||||||
Related party transaction, automatic renewal period | 18 months | |||||
Lending activity between the entity and affiliate | ||||||
Number of subsidiaries of related party to which MSR of loan originated through refinancing must be transferred to, if related party previously held the refinanced loan's MSR | item | 1 | |||||
Minimum percent of total UPB of loans originated from refinancing of loans which a related party previously held the MSR required to be transferred | 30.00% | |||||
Fair value of MSRs to be transferred, per month, that may be paid in cash | $ 200,000 | |||||
Mortgage Lending | ||||||
Lending activity between the entity and affiliate | ||||||
Net gain on mortgage loans held for sale to PMT | 11,396,000 | 12,280,000 | ||||
Mortgage servicing rights and excess servicing spread recapture incurred | (1,495,000) | (1,690,000) | (4,696,000) | (5,557,000) | ||
Total of gain on sale of loans and MSR recapture | 9,901,000 | (1,690,000) | 7,584,000 | (5,557,000) | ||
Fair value of mortgage loans sold to PMT | 332,886,000 | 5,007,000 | 373,108,000 | 13,146,000 | ||
Fulfillment fee revenue | 23,507,000 | 27,255,000 | 61,184,000 | 59,301,000 | ||
Unpaid principal balance of loans fulfilled for PennyMac Mortgage Investment Trust | 6,530,036,000 | 7,263,557,000 | 17,079,969,000 | 15,696,940,000 | ||
Sourcing fees paid | 3,275,000 | 3,509,000 | 9,340,000 | 8,282,000 | ||
Unpaid principal balance of loans purchased from PennyMac Mortgage Investment Trust | 10,915,194,000 | 11,694,065,000 | 31,131,154,000 | 27,599,186,000 | ||
Tax service fee | 2,108,000 | 2,006,000 | 5,377,000 | 4,537,000 | ||
Property management fees received | 95,000 | 10,000 | 261,000 | 95,000 | ||
Early purchase program fees earned from PMT | $ 1,000 | $ 5,000 | $ 7,000 | $ 7,000 |
Transactions with Affiliates 53
Transactions with Affiliates - Mortgage Loan Servicing (Details) | Sep. 12, 2016USD ($)item | Sep. 30, 2017USD ($) | Sep. 30, 2016USD ($) | Sep. 30, 2017USD ($) | Sep. 30, 2016USD ($) |
Summary of mortgage loan servicing fees earned | |||||
Loan servicing fees | $ 11,402,000 | $ 11,039,000 | $ 31,987,000 | $ 38,919,000 | |
Mortgage Loan Servicing Agreement | |||||
Transactions with Affiliates | |||||
Base servicing fees per month for REO | $ 75 | ||||
Rental fee per month per REO | 30 | ||||
Renewal fee, per lease renewal, on REO property | $ 100 | ||||
Property management fees on REOs, as a percent of gross rental income | 9.00% | ||||
Base servicing fees per month for fixed-rate non-distressed loans subserviced | $ 7.50 | ||||
Base servicing fees per month for adjustable rate non-distressed loans subserviced | 8.50 | ||||
Supplemental fee per month for each distressed whole loan | $ 25 | ||||
Activity-based fee, percent, due to a streamline modification | 0.50% | ||||
Activity-based fee, percent, due to a liquidation | 1.50% | ||||
Activity-based fee due to a deed-in-lieu of foreclosure | $ 500 | ||||
Maximum number of liquidation, reperformance, or modification fees that can be earned during earnable period | item | 1 | ||||
Liquidation, reperformance, or modification fees earnable period | 18 months | ||||
Related party transaction, automatic renewal period | 18 months | ||||
Minimum | Mortgage Loan Servicing Agreement | |||||
Transactions with Affiliates | |||||
Servicing fees amount per month for current loans | $ 30 | ||||
Maximum | Mortgage Loan Servicing Agreement | |||||
Transactions with Affiliates | |||||
Servicing fees amount per month for severely delinquent loans | $ 100 | ||||
PMT | Mortgage loans acquired for sale at fair value | |||||
Summary of mortgage loan servicing fees earned | |||||
Base and supplemental | 88,000 | 90,000 | 235,000 | 225,000 | |
Activity-based | 188,000 | 210,000 | 507,000 | 497,000 | |
Loan servicing fees | 276,000 | 300,000 | 742,000 | 722,000 | |
PMT | Mortgage loans at fair value | |||||
Summary of mortgage loan servicing fees earned | |||||
Base and supplemental | 1,571,000 | 2,615,000 | 5,284,000 | 8,881,000 | |
Activity-based | 2,702,000 | 3,014,000 | 6,859,000 | 14,981,000 | |
Loan servicing fees | 4,273,000 | 5,629,000 | 12,143,000 | 23,862,000 | |
PMT | Mortgage servicing rights | |||||
Summary of mortgage loan servicing fees earned | |||||
Base and supplemental | 6,702,000 | 4,978,000 | 18,727,000 | 13,999,000 | |
Activity-based | 151,000 | 132,000 | 375,000 | 336,000 | |
Loan servicing fees | $ 6,853,000 | $ 5,110,000 | $ 19,102,000 | $ 14,335,000 |
Transactions with Affiliates 54
Transactions with Affiliates - Management Fees (Details) - USD ($) | Sep. 12, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 |
Management Fees Revenue [Abstract] | |||||
Management fees | $ 6,216,000 | $ 5,521,000 | $ 17,597,000 | $ 17,163,000 | |
PMT | |||||
Management Fees Revenue [Abstract] | |||||
Management fees | 6,038,000 | 5,025,000 | 16,684,000 | 15,576,000 | |
PMT | Management Agreement | |||||
Transactions with Affiliates | |||||
Percentage of change in net income due to quarterly adjustments | 8.00% | ||||
Related party transaction, automatic renewal period | 18 months | ||||
Management Fees Revenue [Abstract] | |||||
Base management fee | 6,038,000 | 5,025,000 | 16,380,000 | 15,576,000 | |
Performance incentive | 304,000 | ||||
Management fees | $ 6,038,000 | $ 5,025,000 | $ 16,684,000 | $ 15,576,000 | |
PMT | Management Agreement | Maximum | |||||
Transactions with Affiliates | |||||
Percentage of performance incentive fee payable by issuance of common shares | 50.00% | ||||
PMT | Management Agreement | Minimum | |||||
Transactions with Affiliates | |||||
High watermark | $ 0 | ||||
PMT | Shareholders Equity Up To 2 Billion Dollars | Maximum | |||||
Transactions with Affiliates | |||||
Base management fee annual rate (as a percent) | 1.50% | ||||
Base management fee shareholders' equity limit | $ 2,000,000,000 | ||||
PMT | Shareholders Equity In Excess Of 2 Billion Dollars And Upto 5 Billion Dollars | |||||
Transactions with Affiliates | |||||
Base management fee annual rate (as a percent) | 1.375% | ||||
PMT | Shareholders Equity In Excess Of 2 Billion Dollars And Upto 5 Billion Dollars | Maximum | |||||
Transactions with Affiliates | |||||
Base management fee shareholders' equity limit | $ 5,000,000,000 | ||||
PMT | Shareholders Equity In Excess Of 2 Billion Dollars And Upto 5 Billion Dollars | Minimum | |||||
Transactions with Affiliates | |||||
Base management fee shareholders' equity limit | $ 2,000,000,000 | ||||
PMT | Shareholders Equity In Excess Of 5 Billion Dollars | |||||
Transactions with Affiliates | |||||
Base management fee annual rate (as a percent) | 1.25% | ||||
PMT | Shareholders Equity In Excess Of 5 Billion Dollars | Maximum | |||||
Transactions with Affiliates | |||||
Base management fee shareholders' equity limit | $ 5,000,000,000 | ||||
PMT | Return on Shareholders Equity 8 Percent | |||||
Transactions with Affiliates | |||||
Percentage of net income for calculation of performance incentive fees | 10.00% | ||||
PMT | Return on Shareholders Equity 8 Percent | Maximum | |||||
Transactions with Affiliates | |||||
Percentage of return on affiliate's equity | 12.00% | ||||
PMT | Return on Shareholders Equity 8 Percent | Minimum | |||||
Transactions with Affiliates | |||||
Percentage of return on affiliate's equity | 8.00% | ||||
PMT | Return on Shareholders Equity 12 Percent | |||||
Transactions with Affiliates | |||||
Percentage of net income for calculation of performance incentive fees | 15.00% | ||||
Percentage of return on affiliate's equity | 12.00% | ||||
PMT | Return on Shareholders Equity 12 Percent | Maximum | |||||
Transactions with Affiliates | |||||
Percentage of return on affiliate's equity | 16.00% | ||||
PMT | Return on Shareholders Equity in Excess of 16 Percent | |||||
Transactions with Affiliates | |||||
Percentage of net income for calculation of performance incentive fees | 20.00% | ||||
Percentage of return on affiliate's equity | 16.00% |
Transactions with Affiliates 55
Transactions with Affiliates - Other Transactions, Reimbursement of Common Overhead Expenses (Details) - PMT - USD ($) | Sep. 12, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 |
Transactions with Affiliates | |||||
Expense reimbursement amount, per quarter, relating to personnel | $ 120,000 | ||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | |||||
Reimbursement of common overhead and expenses incurred by the Company | $ 1,389,000 | $ 1,430,000 | $ 5,069,000 | $ 6,311,000 | |
Payments and settlements during the period | 22,786,000 | 45,988,000 | 63,249,000 | 102,600,000 | |
Common overhead incurred | |||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | |||||
Reimbursement of common overhead and expenses incurred by the Company | 1,193,000 | 1,417,000 | 4,220,000 | 6,413,000 | |
Expenses incurred by related party (reporting entity), net | |||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | |||||
Reimbursement of common overhead and expenses incurred by the Company | $ 196,000 | $ 13,000 | $ 849,000 | $ (102,000) |
Transactions with Affiliates 56
Transactions with Affiliates - Other Transactions, Conditional Reimbursement (Details) - PMT - Conditional Reimbursement - USD ($) | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Aug. 04, 2009 | |
Conditional reimbursement | |||
Payments received | $ 30,000 | $ 0 | |
Maximum | |||
Conditional reimbursement | |||
Conditional reimbursement | $ 2,900,000 |
Transactions with Affiliates 57
Transactions with Affiliates - Investing Activities (Details) - PMT | Dec. 19, 2016USD ($)item | Sep. 30, 2017USD ($)shares | Sep. 30, 2016USD ($) | Sep. 30, 2017USD ($)shares | Sep. 30, 2016USD ($) | Dec. 31, 2016USD ($)shares | Apr. 30, 2015USD ($) |
Transactions with Affiliates | |||||||
Common shares of beneficial interest owned | shares | 75,000 | 75,000 | |||||
Repurchase agreement with PennyMac Mortgage Investment Trust: | |||||||
Financings receivable from PennyMac Mortgage Investment Trust (pledged to creditors at December 31, 2016) | $ 148,072,000 | $ 148,072,000 | $ 150,000,000 | $ 150,000,000 | |||
Activity during the year: | |||||||
Interest income on receivable from PennyMac Mortgage Investment Trust | 2,116,000 | $ 1,974,000 | 5,946,000 | $ 5,798,000 | |||
Activity during the period: | |||||||
Dividends received from PennyMac Mortgage Investment Trust | 35,000 | 35,000 | 106,000 | 106,000 | |||
Change in fair value of investment in Common shares of PennyMac Mortgage Investment Trust | (68,000) | (48,000) | 76,000 | 24,000 | |||
Balance at end of period | (33,000) | (13,000) | 182,000 | 130,000 | |||
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell | 148,072,000 | 148,072,000 | 150,000,000 | ||||
Fair value of PennyMac Mortgage Investment Trust shares | $ 1,304,000 | $ 1,304,000 | $ 1,228,000 | ||||
Number of shares | shares | 75,000 | 75,000 | 75,000 | ||||
PennyMac Holdings, L L C Repurchase Agreement [Member] | |||||||
Transactions with Affiliates | |||||||
Number of subsidiaries entered into master repurchase agreement | item | 1 | ||||||
Maximum principal balance of VFN | $ 1,000,000,000 | ||||||
Activity during the year: | |||||||
Interest income on receivable from PennyMac Mortgage Investment Trust | $ 2,116,000 | $ 5,946,000 | |||||
Notes Receivable [Member] | |||||||
Activity during the year: | |||||||
Interest income on receivable from PennyMac Mortgage Investment Trust | $ 1,974,000 | $ 5,798,000 |
Transactions with Affiliates 58
Transactions with Affiliates - Financing Activities (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Feb. 01, 2013 | |
Financing activities: | |||||
Issuance pursuant to recapture agreement | $ 4,160,000 | $ 5,039,000 | |||
Interest expense from excess servicing spread financing | 13,011,000 | 17,555,000 | |||
PMT | 2/1/13 Spread Acquisition Agreement | |||||
Financing activities: | |||||
Maximum ESS recapture obligation | $ 200,000 | ||||
Excess servicing spread financing | |||||
Financing activities: | |||||
Changes in fair value included in income | $ (4,828,000) | $ (4,107,000) | (14,757,000) | (40,984,000) | |
Excess servicing spread financing | PMT | |||||
Financing activities: | |||||
Issuance pursuant to recapture agreement | 1,207,000 | 1,438,000 | 4,160,000 | 5,039,000 | |
Repayments | 13,410,000 | 16,342,000 | 42,320,000 | 54,623,000 | |
Settlement | 59,045,000 | ||||
Changes in fair value included in income | (4,828,000) | (4,107,000) | (14,757,000) | (40,984,000) | |
Interest expense from excess servicing spread financing | 3,998,000 | 4,827,000 | 13,011,000 | 17,555,000 | |
Excess servicing spread recapture recognized | $ 1,163,000 | $ 1,283,000 | $ 3,837,000 | $ 4,709,000 |
Transactions with Affiliates 59
Transactions with Affiliates - Amounts due from Affiliate (Details) - PMT - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Amounts due from affiliate | ||
Management fees | $ 6,038 | $ 5,081 |
Servicing fees | 5,329 | 5,465 |
Allocated expenses | 1,541 | 1,046 |
Correspondent production fees | 1,430 | 2,371 |
Conditional Reimbursement | 870 | 900 |
Fulfillment fees | 662 | 1,300 |
Interest on assets purchased under agreements to resell | 138 | 253 |
Total due from affiliate | 16,008 | 16,416 |
Payable to affiliate | ||
Deposits made by PMT | 119,864 | 162,945 |
MSR Recapture Payable to PMT | 384 | 707 |
Other expenses | 4,341 | 6,384 |
Payable to affiliates | $ 124,589 | $ 170,036 |
Transactions with Affiliates 60
Transactions with Affiliates - Amounts due from Investment Funds (Details) $ in Thousands | 9 Months Ended | ||||||
Sep. 30, 2017USD ($)item | Aug. 09, 2017USD ($) | Jun. 30, 2017USD ($) | Dec. 31, 2016USD ($) | Sep. 30, 2016USD ($) | Jun. 30, 2016USD ($) | Dec. 31, 2015USD ($) | |
Amounts due from affiliate | |||||||
Carried Interest from Investment Funds | $ 8,500 | ||||||
Investment Funds | |||||||
Amounts due from affiliate | |||||||
Cash settlement | $ 61,300 | ||||||
Related party agreement, number of extensions | item | 1 | ||||||
Related party extension term | 1 year | ||||||
Carried Interest from Investment Funds | $ 8,547 | $ 71,019 | $ 70,906 | $ 70,870 | $ 70,763 | $ 69,926 | |
Expense reimbursements | 188 | 238 | |||||
Management fees | 186 | 500 | |||||
Loan servicing rebate | 270 | 250 | |||||
Loan servicing fees | 10 | 231 | |||||
Total due from affiliate | 654 | 1,219 | |||||
Deposits received to fund servicing advances | 2,092 | 20,221 | |||||
Other | 98 | 172 | |||||
Payable to affiliates | $ 2,190 | 20,393 | |||||
Investment Funds | Minimum | |||||||
Amounts due from affiliate | |||||||
Base management fees, annual accrual rate | 1.50% | ||||||
Investment Funds | Maximum | |||||||
Amounts due from affiliate | |||||||
Base management fees, annual accrual rate | 2.00% | ||||||
PNMAC Mortgage Opportunity Fund, LLC | |||||||
Amounts due from affiliate | |||||||
Carried Interest from Investment Funds | $ 6,381 | 42,427 | |||||
PNMAC Mortgage Opportunity Fund Investors, LLC | |||||||
Amounts due from affiliate | |||||||
Carried Interest from Investment Funds | $ 2,166 | $ 28,479 |
Transactions with Affiliates 61
Transactions with Affiliates - Exchanged Private National Mortgage Acceptance Company, LLC Unitholders (Details) - USD ($) | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Transactions with Affiliates | |||
Amount of tax benefits under the tax sharing agreement (as a percent) | 85.00% | ||
Payable to exchanged PNMAC unitholders under tax receivable agreement | $ 75,100,000 | $ 76,000,000 | |
Payment of liability to exchange PNMAC unit holders under tax receivable agreement | $ 6,221,000 | $ 0 |
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, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Cash flows: | |||||
Sales proceeds | $ 13,600,232 | $ 13,947,544 | $ 38,097,411 | $ 33,124,241 | |
Servicing fees received | 97,312 | 67,371 | 272,303 | 186,474 | |
Net servicing (recoveries) advances | (15,061) | $ 4,608 | (1,271) | $ 14,153 | |
Period end information: | |||||
Unpaid principal balance of mortgage loans outstanding | 114,565,019 | 114,565,019 | $ 89,516,155 | ||
30-89 days | 4,625,124 | 4,625,124 | 2,545,970 | ||
90 days or more - Not in foreclosure | 1,389,729 | 1,389,729 | 735,263 | ||
90 days or more - In foreclosure | 486,893 | 486,893 | 137,856 | ||
90 days or more - Foreclosed | 26,673 | 26,673 | 2,552 | ||
Bankruptcy | $ 580,616 | $ 580,616 | $ 256,471 |
Loan Sales and Servicing Acti63
Loan Sales and Servicing Activities - Summary of Mortgage Servicing Portfolio (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Mortgage servicing portfolio | ||
Mortgage loans held for sale | $ 2,858,642 | $ 2,101,283 |
Total loans serviced | 238,372,808 | 194,240,002 |
Commercial real estate loans subserviced for the Company | 84,605 | 22,338 |
Delinquent mortgage loans: | ||
30 days | 6,093,092 | 3,647,817 |
60 days | 1,497,518 | 1,181,591 |
90 days or more - Not in foreclosure | 2,711,244 | 2,770,391 |
90 days or more - In foreclosure | 1,269,369 | 1,622,205 |
90 days or more - Foreclosed | 347,571 | 476,960 |
Total delinquent mortgage loans | 11,918,794 | 9,698,964 |
Bankruptcy | 1,206,786 | 1,073,976 |
Custodial funds managed by the Company | 4,921,995 | 3,833,763 |
Servicing rights owned | ||
Mortgage servicing portfolio | ||
Mortgage loans held for sale | 2,858,642 | 2,101,283 |
Total loans serviced | 167,170,851 | 133,353,285 |
Delinquent mortgage loans: | ||
30 days | 5,537,378 | 3,240,640 |
60 days | 1,374,485 | 1,035,871 |
90 days or more - Not in foreclosure | 2,290,211 | 2,203,895 |
90 days or more - In foreclosure | 847,885 | 937,204 |
90 days or more - Foreclosed | 37,546 | 28,943 |
Total delinquent mortgage loans | 10,087,505 | 7,446,553 |
Bankruptcy | 993,512 | 793,517 |
Custodial funds managed by the Company | 3,844,655 | 3,097,365 |
Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Total loans serviced | 71,201,957 | 60,886,717 |
Commercial real estate loans subserviced for the Company | 84,605 | 22,338 |
Delinquent mortgage loans: | ||
30 days | 555,714 | 407,177 |
60 days | 123,033 | 145,720 |
90 days or more - Not in foreclosure | 421,033 | 566,496 |
90 days or more - In foreclosure | 421,484 | 685,001 |
90 days or more - Foreclosed | 310,025 | 448,017 |
Total delinquent mortgage loans | 1,831,289 | 2,252,411 |
Bankruptcy | 213,274 | 280,459 |
Custodial funds managed by the Company | 1,077,340 | 736,398 |
Non affiliated entities | ||
Mortgage servicing portfolio | ||
Originated | 114,565,019 | 89,516,155 |
Purchased | 49,747,190 | 41,735,847 |
Total loans serviced, excluding loans held for sale | 164,312,209 | 131,252,002 |
Non affiliated entities | Servicing rights owned | ||
Mortgage servicing portfolio | ||
Originated | 114,565,019 | 89,516,155 |
Purchased | 49,747,190 | 41,735,847 |
Total loans serviced, excluding loans held for sale | 164,312,209 | 131,252,002 |
Affiliated entities | ||
Mortgage servicing portfolio | ||
Total loans serviced, excluding loans held for sale | 71,201,957 | 60,886,717 |
Affiliated entities | Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Total loans serviced, excluding loans held for sale | $ 71,201,957 | $ 60,886,717 |
Loan Sales and Servicing Acti64
Loan Sales and Servicing Activities - Geographical Distribution of Loans (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 238,372,808 | $ 194,240,002 |
California | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 45,688,146 | 42,303,952 |
Texas | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 19,187,903 | 16,037,426 |
Florida | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 16,638,346 | 12,817,627 |
Virginia | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 15,723,658 | 13,143,510 |
Maryland | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 10,832,044 | 8,564,923 |
All other states | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 130,302,711 | $ 101,372,564 |
Fair Value - Financial Statemen
Fair Value - Financial Statement Items Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Sep. 30, 2017 | Dec. 31, 2016 | |
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 | $ 136,217 | $ 85,964 |
Mortgage loans held for sale at fair value | 2,935,593 | 2,172,815 |
Derivative assets: | ||
Derivative asset, before netting | 88,517 | 179,540 |
Netting | (11,808) | (96,635) |
Total derivative assets | 76,709 | 82,905 |
Mortgage servicing rights at fair value | 655,984 | 515,925 |
Derivative liabilities: | ||
Derivative liability, before netting | 36,520 | 108,406 |
Netting | (25,046) | (86,044) |
Net amounts of liabilities presented in the consolidated balance sheet | 11,474 | 22,362 |
Mortgage servicing liabilities | 16,076 | 15,192 |
PMT | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 1,304 | 1,228 |
Interest rate lock commitments | ||
Derivative assets: | ||
Total derivative assets | 57,304 | 65,848 |
Repurchase agreement derivatives | ||
Derivative assets: | ||
Total derivative assets | 469 | |
Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 404 | 77,905 |
Derivative liabilities: | ||
Derivative liability, before netting | 26,678 | 16,914 |
Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 9,961 | 28,324 |
Derivative liabilities: | ||
Derivative liability, before netting | 1,310 | 85,035 |
MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 11,423 | 3,934 |
Derivative liabilities: | ||
Derivative liability, before netting | 5,026 | |
MBS call options | ||
Derivative assets: | ||
Derivative asset, before netting | 171 | 217 |
Call options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 918 | 203 |
Call options on interest rate futures | Sales | ||
Derivative liabilities: | ||
Derivative liability, before netting | 586 | |
Put options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 7,867 | 3,109 |
Recurring basis | ||
Assets: | ||
Short-term investments at fair value | 136,217 | 85,964 |
Mortgage loans held for sale at fair value | 2,935,593 | 2,172,815 |
Derivative assets: | ||
Derivative asset, before netting | 88,517 | 179,540 |
Netting | (11,808) | (96,635) |
Total derivative assets | 76,709 | 82,905 |
Mortgage servicing rights at fair value | 655,984 | 515,925 |
Total assets | 3,805,807 | 2,858,837 |
Derivative liabilities: | ||
Derivative liability, before netting | 36,520 | 108,406 |
Netting | (25,046) | (86,044) |
Net amounts of liabilities presented in the consolidated balance sheet | 11,474 | 22,362 |
Mortgage servicing liabilities | 16,076 | 15,192 |
Total liabilities | 276,313 | 326,223 |
Recurring basis | PMT | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 1,304 | 1,228 |
Derivative liabilities: | ||
Excess servicing spread financing at fair value to affiliate | 248,763 | 288,669 |
Recurring basis | Interest rate lock commitments | ||
Derivative assets: | ||
Derivative asset, before netting | 57,304 | 65,848 |
Derivative liabilities: | ||
Derivative liability, before netting | 2,920 | 6,457 |
Recurring basis | Repurchase agreement derivatives | ||
Derivative assets: | ||
Derivative asset, before netting | 469 | |
Recurring basis | Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 404 | 77,905 |
Derivative liabilities: | ||
Derivative liability, before netting | 26,678 | 16,914 |
Recurring basis | Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 9,961 | 28,324 |
Derivative liabilities: | ||
Derivative liability, before netting | 1,310 | 85,035 |
Recurring basis | MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 11,423 | 3,934 |
Derivative liabilities: | ||
Derivative liability, before netting | 5,026 | |
Recurring basis | MBS call options | ||
Derivative assets: | ||
Derivative asset, before netting | 171 | 217 |
Recurring basis | Call options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 918 | 203 |
Recurring basis | Call options on interest rate futures | Sales | ||
Derivative liabilities: | ||
Derivative liability, before netting | 586 | |
Recurring basis | Put options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 7,867 | 3,109 |
Recurring basis | Level 1 | ||
Assets: | ||
Short-term investments at fair value | 136,217 | 85,964 |
Derivative assets: | ||
Derivative asset, before netting | 8,785 | 3,312 |
Total derivative assets | 8,785 | 3,312 |
Total assets | 146,306 | 90,504 |
Derivative liabilities: | ||
Derivative liability, before netting | 586 | |
Net amounts of liabilities presented in the consolidated balance sheet | 586 | |
Total liabilities | 586 | |
Recurring basis | Level 1 | PMT | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 1,304 | 1,228 |
Recurring basis | Level 1 | Call options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 918 | 203 |
Recurring basis | Level 1 | Call options on interest rate futures | Sales | ||
Derivative liabilities: | ||
Derivative liability, before netting | 586 | |
Recurring basis | Level 1 | Put options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 7,867 | 3,109 |
Recurring basis | Level 2 | ||
Assets: | ||
Mortgage loans held for sale at fair value | 2,559,353 | 2,125,544 |
Derivative assets: | ||
Derivative asset, before netting | 21,959 | 110,380 |
Total derivative assets | 21,959 | 110,380 |
Total assets | 2,581,312 | 2,235,924 |
Derivative liabilities: | ||
Derivative liability, before netting | 33,014 | 101,949 |
Net amounts of liabilities presented in the consolidated balance sheet | 33,014 | 101,949 |
Total liabilities | 33,014 | 101,949 |
Recurring basis | Level 2 | Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 404 | 77,905 |
Derivative liabilities: | ||
Derivative liability, before netting | 26,678 | 16,914 |
Recurring basis | Level 2 | Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 9,961 | 28,324 |
Derivative liabilities: | ||
Derivative liability, before netting | 1,310 | 85,035 |
Recurring basis | Level 2 | MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 11,423 | 3,934 |
Derivative liabilities: | ||
Derivative liability, before netting | 5,026 | |
Recurring basis | Level 2 | MBS call options | ||
Derivative assets: | ||
Derivative asset, before netting | 171 | 217 |
Recurring basis | Level 3 | ||
Assets: | ||
Mortgage loans held for sale at fair value | 376,240 | 47,271 |
Derivative assets: | ||
Derivative asset, before netting | 57,773 | 65,848 |
Total derivative assets | 57,773 | 65,848 |
Mortgage servicing rights at fair value | 655,984 | 515,925 |
Total assets | 1,089,997 | 629,044 |
Derivative liabilities: | ||
Derivative liability, before netting | 2,920 | 6,457 |
Net amounts of liabilities presented in the consolidated balance sheet | 2,920 | 6,457 |
Mortgage servicing liabilities | 16,076 | 15,192 |
Total liabilities | 267,759 | 310,318 |
Recurring basis | Level 3 | PMT | ||
Derivative liabilities: | ||
Excess servicing spread financing at fair value to affiliate | 248,763 | 288,669 |
Recurring basis | Level 3 | Interest rate lock commitments | ||
Derivative assets: | ||
Derivative asset, before netting | 57,304 | 65,848 |
Derivative liabilities: | ||
Derivative liability, before netting | 2,920 | $ 6,457 |
Recurring basis | Level 3 | Repurchase agreement derivatives | ||
Derivative assets: | ||
Derivative asset, before netting | $ 469 |
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, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Mortgage servicing liabilities resulting from mortgage loan sales | $ 11,940 | $ 11,810 | ||
Consideration received for acceptance of mortgage servicing liability | 5,736 | |||
Excess servicing spread financing | ||||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the year | $ 261,796 | $ 294,551 | 288,669 | 412,425 |
Accrual of interest on excess servicing spread financing | 3,998 | 4,827 | 13,011 | 17,555 |
Repayment | (13,410) | (16,342) | (42,320) | (54,623) |
Repurchases | 59,045 | |||
Changes in fair value included in income | (4,828) | (4,107) | (14,757) | (40,984) |
Balance at the end of the year | 248,763 | 280,367 | 248,763 | 280,367 |
Recurring basis | ||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the year | 1,104,683 | 654,635 | 622,587 | 752,551 |
Purchases | 583,854 | 750,721 | 2,226,425 | 1,239,530 |
Sales and repayments | (306,458) | (631,075) | (845,318) | (929,251) |
Interest rate lock commitments issued, net | 148,315 | 329,533 | ||
Mortgage servicing rights resulting from mortgage loan sales | 5,773 | 3,913 | 19,702 | 13,201 |
Changes in fair value included in income arising from: | ||||
Changes in instrument specific credit risk | (1,130) | 2,487 | (6,104) | 3,178 |
Other factors | 13,422 | 30,050 | 35,952 | 35,986 |
Total changes in fair value included in income | 12,292 | 32,537 | 29,848 | 39,164 |
Transfers from mortgage loans held for sale from Level 3 to Level 2 | (195,802) | (113,826) | (635,118) | (315,591) |
Transfers from interest rate lock commitments to mortgage loans held for sale | (117,265) | (201,300) | (331,049) | (485,217) |
Balance at the end of the year | 1,087,077 | 643,920 | 1,087,077 | 643,920 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | 23,262 | 67,093 | (12,822) | (75,419) |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the year | 280,091 | 299,232 | 303,861 | 413,824 |
Issuances | 4,160 | 5,039 | ||
Accrual of interest on excess servicing spread financing | 3,998 | 4,827 | 13,011 | 17,555 |
Repayment | (16,342) | (42,320) | (54,623) | |
Repurchases | (59,045) | |||
Settlement | (13,410) | |||
Mortgage servicing liabilities resulting from mortgage loan sales | 11,940 | 11,810 | ||
Mortgage servicing liabilities resulting from mortgage loan sales | 4,071 | 6,401 | ||
Consideration received for acceptance of mortgage servicing liability | 5,736 | 5,736 | ||
Changes in fair value included in income | (11,118) | (7,880) | (25,813) | (46,884) |
Balance at the end of the year | 264,839 | 293,412 | 264,839 | 293,412 |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (11,118) | (7,880) | (25,813) | (39,674) |
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 | 261,796 | 294,551 | 288,669 | 412,425 |
Issuances | 4,160 | 5,039 | ||
Accrual of interest on excess servicing spread financing | 3,998 | 4,827 | 13,011 | 17,555 |
Repayment | (16,342) | (42,320) | (54,623) | |
Repurchases | (59,045) | |||
Settlement | (13,410) | |||
Changes in fair value included in income | (4,828) | (4,107) | (14,757) | (40,984) |
Balance at the end of the year | 248,763 | 280,367 | 248,763 | 280,367 |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (4,828) | (4,107) | (14,757) | (33,774) |
Recurring basis | Excess Servicing Spread Financing Pursuant to Recapture Agreement | ||||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Issuances | 1,207 | 1,438 | ||
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 | 18,295 | 4,681 | 15,192 | 1,399 |
Mortgage servicing liabilities resulting from mortgage loan sales | 11,940 | 11,810 | ||
Mortgage servicing liabilities resulting from mortgage loan sales | 4,071 | 6,401 | ||
Consideration received for acceptance of mortgage servicing liability | 5,736 | 5,736 | ||
Changes in fair value included in income | (6,290) | (3,773) | (11,056) | (5,900) |
Balance at the end of the year | 16,076 | 13,045 | 16,076 | 13,045 |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (6,290) | (3,773) | (11,056) | (5,900) |
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 | 380,084 | 38,079 | 47,271 | 48,531 |
Purchases | 499,546 | 750,709 | 1,815,509 | 1,239,507 |
Sales and repayments | (306,458) | (631,075) | (845,318) | (929,251) |
Changes in fair value included in income arising from: | ||||
Changes in instrument specific credit risk | (1,130) | 2,487 | (6,104) | 3,178 |
Total changes in fair value included in income | (1,130) | 2,487 | (6,104) | 3,178 |
Transfers from mortgage loans held for sale from Level 3 to Level 2 | (195,802) | (113,826) | (635,118) | (315,591) |
Balance at the end of the year | 376,240 | 46,374 | 376,240 | 46,374 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | (2,851) | (234) | (3,733) | 506 |
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 | 46,158 | 90,262 | 59,391 | 43,773 |
Purchases | 83,798 | 226,617 | ||
Interest rate lock commitments issued, net | 148,315 | 329,533 | ||
Changes in fair value included in income arising from: | ||||
Other factors | 41,693 | 68,241 | 99,425 | 217,429 |
Total changes in fair value included in income | 41,693 | 68,241 | 99,425 | 217,429 |
Transfers from interest rate lock commitments to mortgage loans held for sale | (117,265) | (201,300) | (331,049) | (485,217) |
Balance at the end of the year | 54,384 | 105,518 | 54,384 | 105,518 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | 54,384 | 105,518 | 54,384 | 105,518 |
Recurring basis | Repurchase agreement derivatives | ||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||||
Purchases | 469 | 469 | ||
Changes in fair value included in income arising from: | ||||
Balance at the end of the year | 469 | 469 | ||
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 | 678,441 | 526,294 | 515,925 | 660,247 |
Purchases | 41 | 12 | 183,830 | 23 |
Mortgage servicing rights resulting from mortgage loan sales | 5,773 | 3,913 | 19,702 | 13,201 |
Changes in fair value included in income arising from: | ||||
Other factors | (28,271) | (38,191) | (63,473) | (181,443) |
Total changes in fair value included in income | (28,271) | (38,191) | (63,473) | (181,443) |
Balance at the end of the year | 655,984 | 492,028 | 655,984 | 492,028 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | $ (28,271) | $ (38,191) | $ (63,473) | $ (181,443) |
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, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
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 | $ 11,118 | $ 7,880 | $ 25,813 | $ 46,884 |
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 | 11,118 | 7,880 | 25,813 | 46,884 |
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 | 4,828 | 4,107 | 14,757 | 40,984 |
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 | 4,828 | 4,107 | 14,757 | 40,984 |
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 | 6,290 | 3,773 | 11,056 | 5,900 |
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 | 6,290 | 3,773 | 11,056 | 5,900 |
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 | 102,598 | 160,258 | 273,363 | 317,615 |
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 | 130,869 | 198,449 | 336,836 | 499,058 |
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 | (28,271) | (38,191) | (63,473) | (181,443) |
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 | 130,869 | 198,449 | 336,836 | 499,058 |
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 | 130,869 | 198,449 | 336,836 | 499,058 |
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 | (28,271) | (38,191) | (63,473) | (181,443) |
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 | $ (28,271) | $ (38,191) | $ (63,473) | $ (181,443) |
Fair Value - Fair Value Option
Fair Value - Fair Value Option Maturities, Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Fair value | ||
Total fair value | $ 2,935,593 | $ 2,172,815 |
Recurring basis | ||
Fair value | ||
Total fair value | 2,935,593 | 2,172,815 |
Mortgage loans held for sale | Recurring basis | ||
Fair value | ||
Current through 89 days delinquent | 2,652,858 | 2,148,947 |
Not in foreclosure | 224,477 | 19,227 |
In foreclosure | 58,258 | 4,641 |
Total fair value | 2,935,593 | 2,172,815 |
Principal amount due upon maturity | ||
Current through 89 days delinquent | 2,572,370 | 2,077,034 |
Not in foreclosure | 227,395 | 19,399 |
In foreclosure | 58,877 | 4,850 |
Total principal amount due upon maturity | 2,858,642 | 2,101,283 |
Difference | ||
Current through 89 days delinquent | 80,488 | 71,913 |
Not in foreclosure | (2,918) | (172) |
In foreclosure | (619) | (209) |
Total difference | $ 76,951 | $ 71,532 |
Fair Value - Measurement Basis,
Fair Value - Measurement Basis, Nonrecurring (Details) - Nonrecurring basis - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Financial statement items measured at fair value on a nonrecurring basis | |||||
Mortgage servicing rights at lower of amortized cost or fair value | $ 1,341,959 | $ 1,341,959 | $ 1,093,242 | ||
Real estate acquired in settlement of loans | 717 | 717 | 1,152 | ||
Total assets | 1,342,676 | 1,342,676 | 1,094,394 | ||
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 | (17,270) | $ (25,206) | (33,906) | $ (174,926) | |
Real estate acquired in settlement of loans | 17 | 42 | 102 | ||
Total gains on assets measured at estimated fair values on a nonrecurring basis | (17,253) | $ (25,164) | (33,804) | $ (174,926) | |
Level 3 | |||||
Financial statement items measured at fair value on a nonrecurring basis | |||||
Mortgage servicing rights at lower of amortized cost or fair value | 1,341,959 | 1,341,959 | 1,093,242 | ||
Real estate acquired in settlement of loans | 717 | 717 | 1,152 | ||
Total assets | $ 1,342,676 | $ 1,342,676 | $ 1,094,394 |
Fair Value - Level 3 Unobservab
Fair Value - Level 3 Unobservable Inputs, Mortgage Loans and IRLC (Details) | 3 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
Mortgage loans held for sale | Level 3 | Minimum | ||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ||
Discount rate (as a percent) | 2.90% | 2.60% |
Twelve-month projected housing price index change (as a percent) | 2.90% | 2.00% |
Prepayment / resale speed (1) | 0.10% | 0.10% |
Total prepayment speed (as a percent) | 0.10% | 0.10% |
Mortgage loans held for sale | Level 3 | Maximum | ||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ||
Discount rate (as a percent) | 9.20% | 8.80% |
Twelve-month projected housing price index change (as a percent) | 5.50% | 4.50% |
Prepayment / resale speed (1) | 21.50% | 24.40% |
Total prepayment speed (as a percent) | 40.30% | 39.80% |
Mortgage loans held for sale | Level 3 | Weighted average | ||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ||
Discount rate (as a percent) | 2.90% | 3.00% |
Twelve-month projected housing price index change (as a percent) | 4.40% | 3.70% |
Prepayment / resale speed (1) | 19.40% | 20.90% |
Total prepayment speed (as a percent) | 38.50% | 34.30% |
Interest rate lock commitments | Level 3 | Minimum | ||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ||
Pull-through rate (as a percent) | 15.00% | 35.00% |
Mortgage servicing rights value expressed as: Servicing fee multiple | 1.2 | 1.2 |
Mortgage servicing rights value expressed as: Percentage of unpaid principal balance | 0.30% | 0.30% |
Interest rate lock commitments | Level 3 | Maximum | ||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ||
Pull-through rate (as a percent) | 100.00% | 100.00% |
Mortgage servicing rights value expressed as: Servicing fee multiple | 6 | 5.9 |
Mortgage servicing rights value expressed as: Percentage of unpaid principal balance | 2.60% | 2.80% |
Interest rate lock commitments | Level 3 | Weighted average | ||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ||
Pull-through rate (as a percent) | 85.90% | 84.90% |
Mortgage servicing rights value expressed as: Servicing fee multiple | 4 | 4.3 |
Mortgage servicing rights value expressed as: Percentage of unpaid principal balance | 1.40% | 1.30% |
Repurchase agreement derivatives | ||
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | ||
Acceptance rate (as a percent) | 80.00% |
Fair Value - Level 3 Unobserv71
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Rights - Initial Recognition (Details) - Level 3 - USD ($) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
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% | 7.60% | |||
Annual total prepayment speed (as a percent) | 7.70% | 7.00% | |||
Life (in years) | 1 year 4 months 24 days | 1 year 3 months 18 days | |||
Annual per-loan cost of servicing | $ 78 | $ 78 | |||
Fair Values | Mortgage servicing rights | Maximum | |||||
Inputs: | |||||
Pricing spread (as a percent) | 14.60% | 14.90% | |||
Annual total prepayment speed (as a percent) | 41.10% | 46.70% | |||
Life (in years) | 8 years 1 month 6 days | 8 years 7 months 6 days | |||
Annual per-loan cost of servicing | $ 97 | $ 101 | |||
Fair Values | Mortgage servicing rights | Weighted average | |||||
Inputs: | |||||
Pricing spread (as a percent) | 10.20% | 10.10% | |||
Annual total prepayment speed (as a percent) | 10.40% | 10.30% | |||
Life (in years) | 6 years 8 months 12 days | 6 years 8 months 12 days | |||
Annual per-loan cost of servicing | $ 89 | $ 92 | |||
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | |||||
MSR and pool characteristics | |||||
Amount recognized | 5,773,000 | $ 3,913,000 | $ 19,702,000 | $ 13,201,000 | |
Unpaid principal balance of underlying mortgage loans | $ 573,463,000 | $ 340,562,000 | $ 1,873,404,000 | $ 1,108,802,000 | |
Weighted-average servicing fee rate (as a percent) | 0.31% | 0.33% | 31.00% | 33.00% | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Minimum | |||||
Inputs: | |||||
Pricing spread (as a percent) | 7.60% | 7.60% | 7.60% | 7.20% | |
Annual total prepayment speed (as a percent) | 3.90% | 5.00% | 3.90% | 3.30% | |
Life (in years) | 1 year 4 months 24 days | 1 year 8 months 12 days | 9 months 18 days | 1 year 3 months 18 days | |
Annual per-loan cost of servicing | $ 78 | $ 78 | $ 78 | $ 68 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Maximum | |||||
Inputs: | |||||
Pricing spread (as a percent) | 11.20% | 10.50% | 11.20% | 10.50% | |
Annual total prepayment speed (as a percent) | 46.80% | 42.80% | 71.80% | 52.30% | |
Life (in years) | 11 years 4 months 24 days | 10 years 9 months 18 days | 11 years 6 months | 11 years 9 months 18 days | |
Annual per-loan cost of servicing | $ 98 | $ 103 | $ 101 | $ 105 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Weighted average | |||||
Inputs: | |||||
Pricing spread (as a percent) | 10.70% | 9.30% | 10.50% | 8.90% | |
Annual total prepayment speed (as a percent) | 13.30% | 12.40% | 12.50% | 12.60% | |
Life (in years) | 6 years 3 months 18 days | 6 years 6 months | 6 years 7 months 6 days | 6 years 6 months | |
Annual per-loan cost of servicing | $ 89 | $ 92 | $ 89 | $ 87 | |
Amortized cost | Mortgage servicing rights | |||||
MSR and pool characteristics | |||||
Weighted-average servicing fee rate (as a percent) | 0.31% | 0.31% | |||
Amortized cost | Mortgage servicing rights | Minimum | |||||
Inputs: | |||||
Pricing spread (as a percent) | 7.60% | 7.60% | |||
Annual total prepayment speed (as a percent) | 7.50% | 6.60% | |||
Life (in years) | 1 year 10 months 24 days | 1 year 7 months 6 days | |||
Annual per-loan cost of servicing | $ 79 | $ 79 | |||
Amortized cost | Mortgage servicing rights | Maximum | |||||
Inputs: | |||||
Pricing spread (as a percent) | 14.60% | 14.90% | |||
Annual total prepayment speed (as a percent) | 44.80% | 43.90% | |||
Life (in years) | 8 years 8 months 12 days | 9 years 4 months 24 days | |||
Annual per-loan cost of servicing | $ 98 | $ 101 | |||
Amortized cost | Mortgage servicing rights | Weighted average | |||||
Inputs: | |||||
Pricing spread (as a percent) | 10.80% | 10.70% | |||
Annual total prepayment speed (as a percent) | 9.50% | 8.70% | |||
Life (in years) | 7 years 7 months 6 days | 8 years 1 month 6 days | |||
Annual per-loan cost of servicing | $ 89 | $ 92 | |||
Amortized cost | MSRs at the time of initial recognition, excluding MSR purchases | |||||
MSR and pool characteristics | |||||
Amount recognized | 153,061,000 | 146,448,000 | 412,206,000 | 370,414,000 | |
Unpaid principal balance of underlying mortgage loans | $ 12,184,003,000 | $ 12,313,082,000 | $ 33,890,209,000 | $ 29,667,803,000 | |
Weighted-average servicing fee rate (as a percent) | 0.32% | 0.29% | 30.00% | 30.00% | |
Amortized cost | MSRs at the time of initial recognition, excluding MSR purchases | Minimum | |||||
Inputs: | |||||
Pricing spread (as a percent) | 7.60% | 7.60% | 7.60% | 7.20% | |
Annual total prepayment speed (as a percent) | 4.40% | 3.40% | 3.40% | 3.40% | |
Life (in years) | 1 year 6 months | 1 year 8 months 12 days | 1 year 6 months | 1 year 3 months 18 days | |
Annual per-loan cost of servicing | $ 79 | $ 78 | $ 79 | $ 68 | |
Amortized cost | MSRs at the time of initial recognition, excluding MSR purchases | Maximum | |||||
Inputs: | |||||
Pricing spread (as a percent) | 14.60% | 14.40% | 15.20% | 14.40% | |
Annual total prepayment speed (as a percent) | 47.60% | 42.90% | 47.60% | 50.90% | |
Life (in years) | 11 years 4 months 24 days | 12 years 2 months 12 days | 12 years 2 months 12 days | 12 years 2 months 12 days | |
Annual per-loan cost of servicing | $ 98 | $ 102 | $ 101 | $ 106 | |
Amortized cost | MSRs at the time of initial recognition, excluding MSR purchases | Weighted average | |||||
Inputs: | |||||
Pricing spread (as a percent) | 10.80% | 9.50% | 10.70% | 9.20% | |
Annual total prepayment speed (as a percent) | 9.50% | 9.70% | 9.10% | 10.00% | |
Life (in years) | 7 years 10 months 24 days | 7 years 7 months 6 days | 8 years 1 month 6 days | 7 years 6 months | |
Annual per-loan cost of servicing | $ 89 | $ 91 | $ 89 | $ 88 |
Fair Value - Level 3 Unobserv72
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Rights, Effect of Change In Inputs on Fair Value (Details) - USD ($) | 3 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
Mortgage servicing liabilities | ||
MSR and pool characteristics | ||
Carrying value | $ 16,076,000 | $ 15,192,000 |
Unpaid principal balance of underlying mortgage loans | $ 1,512,632,000 | $ 2,074,896,000 |
Weighted-average servicing fee rate (as a percent) | 0.25% | 0.25% |
Inputs | ||
Pricing spread (as a percent) | 7.70% | 8.00% |
Prepayment speed | ||
Annual per-loan cost of servicing | $ 419 | $ 497 |
Fair Values | Mortgage servicing rights | Level 3 | ||
MSR and pool characteristics | ||
Carrying value | 655,984,000 | 515,925,000 |
Unpaid principal balance of underlying mortgage loans | $ 54,381,902,000 | $ 43,667,165,000 |
Weighted-average note interest rate (as a percent) | 4.00% | 4.10% |
Weighted-average servicing fee rate (as a percent) | 0.32% | 0.32% |
Pricing spread | ||
Effect on fair value of 5% adverse change | $ (11,631,000) | $ (9,097,000) |
Effect on fair value of 10% adverse change | (22,846,000) | (17,872,000) |
Effect on fair value of 20% adverse change | (44,113,000) | (34,516,000) |
Prepayment speed | ||
Effect on fair value of 5% adverse change | (11,201,000) | (8,818,000) |
Effect on fair value of 10% adverse change | (22,018,000) | (17,336,000) |
Effect on fair value of 20% adverse change | (42,577,000) | (33,533,000) |
Annual per-loan cost of servicing | ||
Effect on fair value of 5% adverse change | (6,454,000) | (5,612,000) |
Effect on fair value of 10% adverse change | (12,908,000) | (11,225,000) |
Effect on fair value of 20% adverse change | $ (25,816,000) | $ (22,450,000) |
Fair Values | Mortgage servicing rights | Level 3 | Minimum | ||
Inputs | ||
Pricing spread (as a percent) | 7.60% | 7.60% |
Pricing spread | ||
Average life (in years) | 1 year 4 months 24 days | 1 year 3 months 18 days |
Prepayment speed (as a percent) | 7.70% | 7.00% |
Prepayment speed | ||
Annual per-loan cost of servicing | $ 78 | $ 78 |
Fair Values | Mortgage servicing rights | Level 3 | Maximum | ||
Inputs | ||
Pricing spread (as a percent) | 14.60% | 14.90% |
Pricing spread | ||
Average life (in years) | 8 years 1 month 6 days | 8 years 7 months 6 days |
Prepayment speed (as a percent) | 41.10% | 46.70% |
Prepayment speed | ||
Annual per-loan cost of servicing | $ 97 | $ 101 |
Fair Values | Mortgage servicing rights | Level 3 | Weighted average | ||
Inputs | ||
Pricing spread (as a percent) | 10.20% | 10.10% |
Pricing spread | ||
Average life (in years) | 6 years 8 months 12 days | 6 years 8 months 12 days |
Prepayment speed (as a percent) | 10.40% | 10.30% |
Prepayment speed | ||
Annual per-loan cost of servicing | $ 89 | $ 92 |
Amortized cost | Mortgage servicing rights | Level 3 | ||
MSR and pool characteristics | ||
Carrying value | 1,360,501,000 | 1,111,747,000 |
Unpaid principal balance of underlying mortgage loans | $ 108,417,676,000 | $ 85,509,941,000 |
Weighted-average note interest rate (as a percent) | 3.80% | 3.70% |
Weighted-average servicing fee rate (as a percent) | 0.31% | 0.31% |
Pricing spread | ||
Effect on fair value of 5% adverse change | $ (26,802,000) | $ (22,382,000) |
Effect on fair value of 10% adverse change | (52,566,000) | (43,889,000) |
Effect on fair value of 20% adverse change | (101,200,000) | (84,464,000) |
Prepayment speed | ||
Effect on fair value of 5% adverse change | (21,643,000) | (16,636,000) |
Effect on fair value of 10% adverse change | (42,573,000) | (32,750,000) |
Effect on fair value of 20% adverse change | (82,428,000) | (63,513,000) |
Annual per-loan cost of servicing | ||
Effect on fair value of 5% adverse change | (10,527,000) | (8,890,000) |
Effect on fair value of 10% adverse change | (21,053,000) | (17,781,000) |
Effect on fair value of 20% adverse change | $ (42,107,000) | $ (35,562,000) |
Amortized cost | Mortgage servicing rights | Level 3 | Minimum | ||
Inputs | ||
Pricing spread (as a percent) | 7.60% | 7.60% |
Pricing spread | ||
Average life (in years) | 1 year 10 months 24 days | 1 year 7 months 6 days |
Prepayment speed (as a percent) | 7.50% | 6.60% |
Prepayment speed | ||
Annual per-loan cost of servicing | $ 79 | $ 79 |
Amortized cost | Mortgage servicing rights | Level 3 | Maximum | ||
Inputs | ||
Pricing spread (as a percent) | 14.60% | 14.90% |
Pricing spread | ||
Average life (in years) | 8 years 8 months 12 days | 9 years 4 months 24 days |
Prepayment speed (as a percent) | 44.80% | 43.90% |
Prepayment speed | ||
Annual per-loan cost of servicing | $ 98 | $ 101 |
Amortized cost | Mortgage servicing rights | Level 3 | Weighted average | ||
Inputs | ||
Pricing spread (as a percent) | 10.80% | 10.70% |
Pricing spread | ||
Average life (in years) | 7 years 7 months 6 days | 8 years 1 month 6 days |
Prepayment speed (as a percent) | 9.50% | 8.70% |
Prepayment speed | ||
Annual per-loan cost of servicing | $ 89 | $ 92 |
Fair Value - Level 3 Unobserv73
Fair Value - Level 3 Unobservable Inputs, ESS (Details) - Level 3 - Excess servicing spread financing - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
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 | $ 248,763 | $ 288,669 |
Unpaid principal balance of underlying mortgage loans | $ 28,385,316 | $ 32,376,359 |
Average servicing fee rate (as a percent) | 0.34% | 0.34% |
Average excess servicing spread (as a percent) | 0.19% | 0.19% |
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) | 3.80% | 3.80% |
Average life (in years) | 1 year 6 months | 1 year 4 months 24 days |
Prepayment speed (as a percent) | 7.70% | 7.00% |
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) | 4.40% | 4.80% |
Average life (in years) | 8 years 1 month 6 days | 8 years 7 months 6 days |
Prepayment speed (as a percent) | 37.20% | 41.30% |
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) | 4.20% | 4.40% |
Average life (in years) | 6 years 7 months 6 days | 6 years 9 months 18 days |
Prepayment speed (as a percent) | 10.70% | 10.50% |
Fair Value - Level 3 Unobserv74
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Liabilities (Details) - Mortgage servicing liabilities - USD ($) | 3 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
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 | $ 16,076,000 | $ 15,192,000 |
Unpaid principal balance of underlying mortgage loans | $ 1,512,632,000 | $ 2,074,896,000 |
Weighted-average servicing fee rate (as a percent) | 0.25% | 0.25% |
Pricing spread (as a percent) | 7.70% | 8.00% |
Prepayment speed (as a percent) | 32.90% | 31.70% |
Average life (in years) | 3 years 6 months | 3 years 8 months 12 days |
Annual per-loan cost of servicing | $ 419 | $ 497 |
Mortgage Loans Held for Sale 75
Mortgage Loans Held for Sale at Fair Value (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale at fair value | $ 2,935,593 | $ 2,172,815 |
Fair value of mortgage loans pledged to secure assets sold under agreements to repurchase | 2,352,842 | 1,422,255 |
Fair value of mortgage loans pledged to secure mortgage loan participation and sale agreement | 554,579 | 702,919 |
Pledged Assets Separately Reported, Loans Pledged as Collateral, at Fair Value, Total | 2,907,421 | 2,125,174 |
Government-insured or guaranteed | ||
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale at fair value | 2,422,378 | 1,984,020 |
Conventional mortgage loans | ||
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale at fair value | 136,975 | 141,524 |
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 | 371,852 | 40,437 |
Mortgage loans repurchased pursuant to representations and warranties | ||
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale at fair value | $ 4,388 | $ 6,834 |
Derivative Activities - Other I
Derivative Activities - Other Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Dec. 31, 2016 | |
Derivative assets: | ||||||
Derivative asset, before netting | $ 88,517 | $ 179,540 | ||||
Netting | (11,808) | (96,635) | ||||
Total derivative assets | 76,709 | 82,905 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 36,520 | 108,406 | ||||
Netting | (25,046) | (86,044) | ||||
Net amounts of liabilities presented in the consolidated balance sheet | 11,474 | 22,362 | ||||
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 | $ (26,981) | $ (27,546) | $ (27,191) | $ (145,665) | ||
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 | 7,174 | 19,026 | (17,018) | 142,694 | ||
Margin Deposits | ||||||
Derivative assets: | ||||||
Derivative asset, before netting | 13,238 | 10,591 | ||||
Repurchase agreement derivatives | ||||||
Derivative assets: | ||||||
Total derivative assets | 469 | |||||
Interest rate lock commitments | ||||||
Derivative assets: | ||||||
Total derivative assets | 57,304 | 65,848 | ||||
Forward contracts | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 7,300,518 | 12,746,191 | 7,300,518 | 12,746,191 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 404 | 77,905 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 26,678 | 16,914 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 12,746,191 | |||||
Balance end of period | 7,300,518 | 7,300,518 | ||||
Forward contracts | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 7,584,893 | 16,577,942 | 7,584,893 | 16,577,942 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 9,961 | 28,324 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 1,310 | 85,035 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 16,577,942 | |||||
Balance end of period | 7,584,893 | 7,584,893 | ||||
MBS put options | ||||||
Derivative Instruments | ||||||
Notional amount | 5,650,000 | 1,175,000 | 5,650,000 | 1,175,000 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 11,423 | 3,934 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 5,026 | |||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 1,175,000 | |||||
Balance end of period | 5,650,000 | 5,650,000 | ||||
MBS call options | ||||||
Derivative Instruments | ||||||
Notional amount | 650,000 | 1,600,000 | 650,000 | 1,600,000 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 171 | 217 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 1,600,000 | |||||
Balance end of period | 650,000 | 650,000 | ||||
Put options on interest rate futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 1,025,000 | 1,125,000 | 1,025,000 | 1,125,000 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 7,867 | 3,109 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 1,125,000 | |||||
Balance end of period | 1,025,000 | 1,025,000 | ||||
Call options on interest rate futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 125,000 | 900,000 | 125,000 | 900,000 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 918 | 203 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 900,000 | |||||
Balance end of period | 125,000 | 125,000 | ||||
Call options on interest rate futures | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 125,000 | 125,000 | 125,000 | |||
Derivative liabilities: | ||||||
Derivative liability, before netting | 586 | |||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance end of period | 125,000 | 125,000 | ||||
Interest rate swap futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 1,400,000 | 200,000 | 1,400,000 | 200,000 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 200,000 | |||||
Balance end of period | 1,400,000 | 1,400,000 | ||||
Not designated as hedging instrument | Repurchase agreement derivatives | ||||||
Derivative assets: | ||||||
Derivative asset, before netting | 469 | |||||
Not designated as hedging instrument | Interest rate lock commitments | ||||||
Derivative Instruments | ||||||
Notional amount | 3,759,403 | 4,279,611 | 3,759,403 | 4,279,611 | ||
Derivative assets: | ||||||
Derivative asset, before netting | 57,304 | 65,848 | ||||
Derivative liabilities: | ||||||
Derivative liability, before netting | 2,920 | 6,457 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 4,279,611 | |||||
Balance end of period | 3,759,403 | 3,759,403 | ||||
Not designated as hedging instrument | Forward contracts | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 7,819,706 | 13,510,863 | 12,746,191 | 5,254,293 | 7,300,518 | 12,746,191 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 7,819,706 | 13,510,863 | 12,746,191 | 5,254,293 | ||
Additions | 47,723,376 | 63,091,757 | 136,663,951 | 140,774,477 | ||
Dispositions/expirations | (48,242,564) | (59,486,446) | (142,109,624) | (128,912,596) | ||
Balance end of period | 7,300,518 | 17,116,174 | 7,300,518 | 17,116,174 | ||
Not designated as hedging instrument | Forward contracts | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 7,641,979 | 13,614,196 | 16,577,942 | 6,230,811 | 7,584,893 | 16,577,942 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 7,641,979 | 13,614,196 | 16,577,942 | 6,230,811 | ||
Additions | 61,239,459 | 77,956,736 | 169,173,906 | 173,875,141 | ||
Dispositions/expirations | (61,296,545) | (73,802,639) | (178,166,955) | (162,337,659) | ||
Balance end of period | 7,584,893 | 17,768,293 | 7,584,893 | 17,768,293 | ||
Not designated as hedging instrument | MBS put options | ||||||
Derivative Instruments | ||||||
Notional amount | 6,075,000 | 3,550,000 | 1,175,000 | 1,275,000 | 5,650,000 | 1,175,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 6,075,000 | 3,550,000 | 1,175,000 | 1,275,000 | ||
Additions | 6,825,000 | 6,150,000 | 19,675,000 | 15,600,000 | ||
Dispositions/expirations | (7,250,000) | (4,200,000) | (15,200,000) | (11,375,000) | ||
Balance end of period | 5,650,000 | 5,500,000 | 5,650,000 | 5,500,000 | ||
Not designated as hedging instrument | MBS call options | ||||||
Derivative Instruments | ||||||
Notional amount | 650,000 | 1,600,000 | 650,000 | 1,600,000 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 1,600,000 | |||||
Additions | 7,900,000 | 12,100,000 | ||||
Dispositions/expirations | (7,250,000) | (13,050,000) | ||||
Balance end of period | 650,000 | 650,000 | ||||
Not designated as hedging instrument | Put options on interest rate futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 1,250,000 | 1,000,000 | 1,125,000 | 1,650,000 | 1,025,000 | 1,125,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 1,250,000 | 1,000,000 | 1,125,000 | 1,650,000 | ||
Additions | 2,950,000 | 4,025,000 | 7,410,000 | 8,700,000 | ||
Dispositions/expirations | (3,175,000) | (1,500,000) | (7,510,000) | (6,825,000) | ||
Balance end of period | 1,025,000 | 3,525,000 | 1,025,000 | 3,525,000 | ||
Not designated as hedging instrument | Put options on interest rate futures | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 200,000 | |||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 200,000 | |||||
Additions | 2,975,000 | 7,510,000 | ||||
Dispositions/expirations | (3,175,000) | (7,510,000) | ||||
Not designated as hedging instrument | Call options on interest rate futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 200,000 | 452,100 | 900,000 | 600,000 | 125,000 | 900,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 200,000 | 452,100 | 900,000 | 600,000 | ||
Additions | 125,000 | 900,000 | 1,614,300 | 4,537,500 | ||
Dispositions/expirations | (200,000) | (1,052,100) | (2,389,300) | (4,837,500) | ||
Balance end of period | 125,000 | 300,000 | 125,000 | 300,000 | ||
Not designated as hedging instrument | Call options on interest rate futures | Sales | ||||||
Derivative Instruments | ||||||
Notional amount | 125,000 | 125,000 | 125,000 | |||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Additions | 325,000 | 2,514,300 | ||||
Dispositions/expirations | (200,000) | (2,389,300) | ||||
Balance end of period | 125,000 | 125,000 | ||||
Not designated as hedging instrument | Treasury future | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 325,000 | 325,000 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Additions | 46,500 | 493,700 | 212,600 | 493,700 | ||
Dispositions/expirations | (46,500) | (168,700) | (212,600) | (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 | 46,500 | 168,700 | 212,600 | 168,700 | ||
Dispositions/expirations | (46,500) | $ (168,700) | (212,600) | $ (168,700) | ||
Not designated as hedging instrument | Interest rate swap futures | Purchases | ||||||
Derivative Instruments | ||||||
Notional amount | 325,000 | 200,000 | $ 1,400,000 | $ 200,000 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Balance at beginning of period | 325,000 | 200,000 | ||||
Additions | 1,075,000 | 1,600,000 | ||||
Dispositions/expirations | (400,000) | |||||
Balance end of period | $ 1,400,000 | 1,400,000 | ||||
Not designated as hedging instrument | Interest rate swap futures | Sales | ||||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||||
Additions | 400,000 | |||||
Dispositions/expirations | $ (400,000) |
Derivative Activities - Offsett
Derivative Activities - Offsetting of Derivative Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized assets | $ 57,773 | $ 65,848 |
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 30,744 | 113,692 |
Gross amounts offset in the consolidated balance sheet | (11,808) | (96,635) |
Net amounts of assets presented in the consolidated balance sheet | 18,936 | 17,057 |
Total | ||
Gross amounts of recognized assets | 88,517 | 179,540 |
Net amounts of assets presented in the balance sheet | 76,709 | 82,905 |
Interest rate lock commitments | ||
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized assets | 57,304 | 65,848 |
Total | ||
Net amounts of assets presented in the balance sheet | 57,304 | 65,848 |
Repurchase agreement derivatives | ||
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized assets | 469 | |
Total | ||
Net amounts of assets presented in the balance sheet | 469 | |
MBS put options | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 11,423 | 3,934 |
Net amounts of assets presented in the consolidated balance sheet | 11,423 | 3,934 |
Total | ||
Gross amounts of recognized assets | 11,423 | 3,934 |
MBS call options | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 171 | 217 |
Net amounts of assets presented in the consolidated balance sheet | 171 | 217 |
Total | ||
Gross amounts of recognized assets | 171 | 217 |
Forward contracts | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 404 | 77,905 |
Net amounts of assets presented in the consolidated balance sheet | 404 | 77,905 |
Total | ||
Gross amounts of recognized assets | 404 | 77,905 |
Forward contracts | Sales | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 9,961 | 28,324 |
Net amounts of assets presented in the consolidated balance sheet | 9,961 | 28,324 |
Total | ||
Gross amounts of recognized assets | 9,961 | 28,324 |
Put options on interest rate futures | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 7,867 | 3,109 |
Net amounts of assets presented in the consolidated balance sheet | 7,867 | 3,109 |
Total | ||
Gross amounts of recognized assets | 7,867 | 3,109 |
Call options on interest rate futures | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 918 | 203 |
Net amounts of assets presented in the consolidated balance sheet | 918 | 203 |
Total | ||
Gross amounts of recognized assets | 918 | 203 |
Margin Deposits | ||
Total | ||
Gross amounts of recognized assets | $ 13,238 | $ 10,591 |
Derivative Activities - Offse78
Derivative Activities - Offsetting of Derivative Assets - Derivative Assets, Financial Assets, and Collateral Held by Counterparty (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Total | ||
Net amounts of assets presented in the balance sheet | $ 76,709 | $ 82,905 |
Net amount | 76,709 | 82,905 |
Barclays | ||
Total | ||
Net amounts of assets presented in the balance sheet | 4,388 | 12,002 |
Net amount | 4,388 | 12,002 |
RJ O'Brien | ||
Total | ||
Net amounts of assets presented in the balance sheet | 8,199 | 2,750 |
Net amount | 8,199 | 2,750 |
Citibank, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 3,275 | |
Net amount | 3,275 | |
JP Morgan | ||
Total | ||
Net amounts of assets presented in the balance sheet | 2,508 | 99 |
Net amount | 2,508 | 99 |
Other | ||
Total | ||
Net amounts of assets presented in the balance sheet | 566 | 2,206 |
Net amount | 566 | 2,206 |
Interest rate lock commitments | ||
Total | ||
Net amounts of assets presented in the balance sheet | 57,304 | 65,848 |
Net amount | 57,304 | $ 65,848 |
Repurchase agreement derivatives | ||
Total | ||
Net amounts of assets presented in the balance sheet | 469 | |
Net amount | $ 469 |
Derivative Activities - Offse79
Derivative Activities - Offsetting of Derivative Assets - Offsetting of Derivative and Financial Liabilities (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | $ 33,600 | $ 101,949 |
Netting | (25,046) | (86,044) |
Net amounts of liabilities presented in the balance sheet | 8,554 | 15,905 |
Total | ||
Gross amounts of recognized liabilities | 36,520 | 108,406 |
Net amounts of liabilities presented in the consolidated balance sheet | 11,474 | 22,362 |
Mortgage loans sold under agreements to repurchase | ||
Net amounts of liabilities presented in the consolidated balance sheet | 2,096,965 | |
Debt Issuance Costs | ||
Debt issuance costs, gross | (473) | (1,808) |
Debt issuance costs | (473) | (1,808) |
Gross amounts of recognized liabilities | 2,096,492 | 1,735,114 |
Net amount of liabilities in the consolidated balance sheet | 2,096,492 | 1,735,114 |
Total | ||
Gross amounts of recognized liabilities | 2,133,012 | 1,843,520 |
Gross amounts offset in the consolidated balance sheet | (25,046) | (86,044) |
Net amounts of liabilities presented in the consolidated balance sheet | 2,108,439 | 1,759,284 |
Net amount of liabilities in the consolidated balance sheet | 11,474 | 22,362 |
Receivable from Counterparties | ||
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 2,107,966 | 1,757,476 |
Assets sold under agreements to repurchase | ||
Mortgage loans sold under agreements to repurchase | ||
Gross amounts of recognized liabilities | 2,096,965 | 1,736,922 |
Net amounts of liabilities presented in the consolidated balance sheet | 2,096,965 | 1,736,922 |
Net amounts of liabilities presented in the consolidated balance sheet | 2,096,965 | 1,736,922 |
Debt Issuance Costs | ||
Debt issuance costs | (473) | (1,808) |
Net amount of liabilities in the consolidated balance sheet | 2,096,492 | 1,735,114 |
Forward contracts | Purchases | ||
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | 26,678 | 16,914 |
Net amounts of liabilities presented in the balance sheet | 26,678 | 16,914 |
Total | ||
Gross amounts of recognized liabilities | 26,678 | 16,914 |
Forward contracts | Sales | ||
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | 1,310 | 85,035 |
Net amounts of liabilities presented in the balance sheet | 1,310 | 85,035 |
Total | ||
Gross amounts of recognized liabilities | 1,310 | 85,035 |
Interest rate lock commitments | ||
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized liabilities | 2,920 | 6,457 |
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 2,920 | 6,457 |
Net amount of liabilities in the consolidated balance sheet | 2,920 | $ 6,457 |
MBS put options | ||
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | 5,026 | |
Net amounts of liabilities presented in the balance sheet | 5,026 | |
Total | ||
Gross amounts of recognized liabilities | 5,026 | |
Call options on interest rate futures | Sales | ||
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | 586 | |
Net amounts of liabilities presented in the balance sheet | 586 | |
Total | ||
Gross amounts of recognized liabilities | $ 586 |
Derivative Activities - Offse80
Derivative Activities - Offsetting of Derivative Assets - Derivative Liabilities, Financial Liabilities, and Collateral Held by Counterparty (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | $ 2,108,439 | $ 1,759,284 |
Financial instruments | (2,096,965) | (1,736,922) |
Net amount of liabilities in the consolidated balance sheet | 11,474 | 22,362 |
Unamortized debt issuance costs | 473 | 1,808 |
Credit Suisse First Boston Mortgage Capital LLC | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 901,424 | 961,533 |
Financial instruments | (901,424) | (960,988) |
Net amount of liabilities in the consolidated balance sheet | 545 | |
Bank of America, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 495,640 | 349,638 |
Financial instruments | (491,083) | (342,769) |
Net amount of liabilities in the consolidated balance sheet | 4,557 | 6,869 |
Deutsche Bank AG | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 204,079 | |
Financial instruments | (204,079) | |
Morgan Stanley Bank | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 105,235 | 189,756 |
Financial instruments | (105,235) | (188,851) |
Net amount of liabilities in the consolidated balance sheet | 905 | |
JP Morgan | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 183,216 | 135,322 |
Financial instruments | (183,216) | (135,322) |
Citibank, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 99,413 | 81,555 |
Financial instruments | (99,413) | (80,525) |
Net amount of liabilities in the consolidated balance sheet | 1,030 | |
Barclays | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 26,149 | 28,467 |
Financial instruments | (26,149) | (28,467) |
Royal Bank of Canada | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 86,834 | 2,937 |
Financial instruments | (86,366) | |
Net amount of liabilities in the consolidated balance sheet | 468 | 2,937 |
Federal National Mortgage Association | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 2,197 | 1,033 |
Net amount of liabilities in the consolidated balance sheet | 2,197 | 1,033 |
BNP Paribas | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,151 | |
Net amount of liabilities in the consolidated balance sheet | 1,151 | |
Other | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,332 | 1,435 |
Net amount of liabilities in the consolidated balance sheet | 1,332 | 1,435 |
Interest rate lock commitments | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 2,920 | 6,457 |
Net amount of liabilities in the consolidated balance sheet | $ 2,920 | $ 6,457 |
Carried Interest Due from Inv81
Carried Interest Due from Investment Funds (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Activity in the carried interest | ||||
Cash received during the period | $ 61,314 | |||
Balance at end of year | $ 8,500 | 8,500 | ||
Investment Funds | ||||
Activity in the carried interest | ||||
Balance at beginning of year | 71,019 | $ 70,763 | 70,906 | $ 69,926 |
Carried Interest recognized during the period | (1,158) | 107 | (1,045) | 944 |
Cash received during the period | (61,314) | (61,314) | ||
Balance at end of year | $ 8,547 | $ 70,870 | $ 8,547 | $ 70,870 |
Mortgage Servicing Rights and82
Mortgage Servicing Rights and Mortgage Servicing Liabilities - Activity in MSRs at Fair Value (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Activity in MSRs carried at fair value | |||||
Balance at beginning of year | $ 515,925 | ||||
Change in fair value: | |||||
Balance at end of year | $ 655,984 | 655,984 | |||
Mortgage servicing rights | |||||
Activity in MSRs carried at fair value | |||||
Balance at beginning of year | 678,441 | $ 526,294 | 515,925 | $ 660,247 | |
Additions - Purchases | 41 | 12 | 183,830 | 23 | |
Additions - Mortgage servicing rights resulting from mortgage loan sales | 5,773 | 3,913 | 19,702 | 13,201 | |
Additions | 5,814 | 3,925 | 203,532 | 13,224 | |
Change in fair value: | |||||
Changes in valuation inputs used in valuation model | (4,857) | (17,573) | (4,453) | (118,304) | |
Other changes in fair value | (23,414) | (20,618) | (59,020) | (63,139) | |
Total change in fair value | (28,271) | (38,191) | (63,473) | (181,443) | |
Balance at end of year | 655,984 | $ 492,028 | 655,984 | $ 492,028 | |
Total | $ 647,301 | $ 647,301 | $ 509,847 |
Mortgage Servicing Rights and83
Mortgage Servicing Rights and Mortgage Servicing Liabilities - Activity in MSRs Carried at Lower of Amortize Cost or FV (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Jun. 30, 2017 | Dec. 31, 2016 | Jun. 30, 2016 | Dec. 31, 2015 | |
Estimated amortization | ||||||||
2,018 | $ 178,253 | $ 178,253 | ||||||
2,019 | 159,165 | 159,165 | ||||||
2,020 | 142,554 | 142,554 | ||||||
2,021 | 127,245 | 127,245 | ||||||
2,022 | 113,872 | 113,872 | ||||||
Thereafter | 768,265 | 768,265 | ||||||
Total | 1,489,354 | 1,489,354 | ||||||
Mortgage servicing rights | ||||||||
Amortized cost: | ||||||||
Amortized cost at beginning of year | 1,384,741 | $ 961,591 | 1,206,694 | $ 798,925 | ||||
Mortgage servicing rights resulting from mortgage loan sales | 153,061 | 146,448 | 412,206 | 370,414 | ||||
Amortization | (48,448) | (40,230) | (129,546) | (101,530) | ||||
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 | 1,489,354 | 1,055,032 | 1,489,354 | 1,055,032 | ||||
Valuation allowance: | ||||||||
Balance at beginning of year | (111,583) | (196,957) | (94,947) | (47,237) | ||||
Additions | (17,270) | (25,206) | (33,906) | (174,926) | ||||
Application of valuation allowance to write down mortgage servicing rights with other-than-temporary impairment | 12,777 | 12,777 | ||||||
Balance at end of year | (128,853) | (209,386) | (128,853) | (209,386) | ||||
Additional disclosures | ||||||||
Mortgage servicing rights, net | 1,360,501 | 845,646 | 1,360,501 | 845,646 | ||||
Fair value of mortgage servicing rights at beginning of year | 1,360,578 | 845,646 | 1,360,578 | 845,646 | $ 1,273,364 | $ 1,112,302 | $ 764,634 | $ 766,345 |
Fair value of mortgage servicing rights at end of year | 1,360,578 | $ 845,646 | 1,360,578 | $ 845,646 | $ 1,273,364 | 1,112,302 | $ 764,634 | $ 766,345 |
Total | $ 1,347,575 | $ 1,347,575 | $ 1,107,824 |
Mortgage Servicing Rights and84
Mortgage Servicing Rights and Mortgage Servicing Liabilities - Mortgage Servicing Liabilities Carried at FV (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Amortized cost: | ||||
Mortgage servicing liabilities resulting from mortgage loan sales | $ 11,940 | $ 11,810 | ||
Mortgage servicing liability assumed | 5,736 | |||
Mortgage servicing liabilities | ||||
Amortized cost: | ||||
Balance at beginning of year | $ 18,295 | $ 4,681 | 15,192 | 1,399 |
Mortgage servicing liabilities resulting from mortgage loan sales | 4,071 | 6,401 | 11,940 | 11,810 |
Mortgage servicing liability assumed | 5,736 | 5,736 | ||
Changes in valuation inputs used in valuation model | (176) | 438 | 7,819 | 4,365 |
Other changes in fair value | (6,114) | (4,211) | (18,875) | (10,265) |
Total change in fair value | (6,290) | (3,773) | (11,056) | (5,900) |
Balance at end of year | $ 16,076 | $ 13,045 | $ 16,076 | $ 13,045 |
Mortgage Servicing Rights and85
Mortgage Servicing Rights and Mortgage Servicing Liabilities - Servicing, Late, Ancillary and Other Fees Relating to MSRs (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Contractually Specified Servicing Fees, Amount | $ 126,416 | $ 98,865 | $ 345,231 | $ 282,962 |
Late Fees and Ancillary Fees Earned in Exchange for Servicing Financial Assets [Abstract] | ||||
Ancillary Fee Income Generated by Servicing Financial Assets, Amount | 15,548 | 11,913 | 38,616 | 34,183 |
Bank Servicing Fees | 78,081 | 45,864 | 199,157 | 89,938 |
Mortgage servicing rights | ||||
Contractually Specified Servicing Fees, Amount | 126,416 | 98,865 | 345,231 | 282,962 |
Late Fees and Ancillary Fees Earned in Exchange for Servicing Financial Assets [Abstract] | ||||
Late Fee Income Generated by Servicing Financial Assets, Amount | 6,326 | 4,932 | 18,915 | 14,461 |
Ancillary Fee Income Generated by Servicing Financial Assets, Amount | 1,270 | 1,330 | 3,296 | 3,430 |
Bank Servicing Fees | $ 134,012 | $ 105,127 | $ 367,442 | $ 300,853 |
Borrowings - Assets Sold Under
Borrowings - Assets Sold Under Agreement to Repurchase (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
During the period: | |||||
Total interest expense | $ 19,203 | $ 12,951 | $ 52,249 | $ 33,863 | |
Carrying value: | |||||
Unpaid principal balance | 2,096,965 | 2,096,965 | |||
Unamortized debt issuance costs and premiums | (473) | (473) | $ (1,808) | ||
Total loans sold under agreements to repurchase | 2,096,492 | 2,096,492 | 1,735,114 | ||
Amortization of commitment fees excluded from calculation of Weighted average interest rate | 11,472 | 7,944 | |||
Assets sold under agreements to repurchase | |||||
During the period: | |||||
Average balance of mortgage loans sold under agreements to repurchase | $ 1,960,332 | $ 1,515,632 | $ 1,854,786 | $ 1,303,313 | |
Weighted-average interest rate (as a percent) | 3.23% | 2.87% | 3.15% | 2.87% | |
Total interest expense | $ 19,203 | $ 12,951 | $ 52,249 | $ 33,863 | |
Maximum daily amount outstanding | 2,564,756 | 2,550,035 | 2,581,199 | 2,550,035 | |
Carrying value: | |||||
Unpaid principal balance | 2,096,965 | 2,096,965 | 1,736,922 | ||
Unamortized debt issuance costs and premiums | (473) | (473) | (1,808) | ||
Total loans sold under agreements to repurchase | $ 2,096,492 | $ 2,096,492 | $ 1,735,114 | ||
Weighted average interest rate (as a percent) | 2.93% | 2.93% | 3.02% | ||
Available borrowing capacity committed | $ 245,352 | $ 245,352 | $ 347,487 | ||
Available borrowing capacity uncommitted | 2,612,683 | 2,612,683 | 857,591 | ||
Available borrowing capacity | 2,858,035 | 2,858,035 | 1,205,078 | ||
Margin deposits placed with counterparties | 5,250 | 5,250 | 3,000 | ||
Amortization of commitment fees excluded from calculation of Weighted average interest rate | 3,000 | $ 1,800 | 7,900 | $ 5,400 | |
Assets sold under agreements to repurchase | Mortgage Loans held for sale | |||||
Carrying value: | |||||
Fair value of assets pledged to secure | 2,352,842 | 2,352,842 | 1,422,255 | ||
Assets sold under agreements to repurchase | Mortgage servicing rights | |||||
Carrying value: | |||||
Fair value of assets pledged to secure | 65,074 | 65,074 | 81,306 | ||
Assets sold under agreements to repurchase | Servicing advances | |||||
Carrying value: | |||||
Fair value of assets pledged to secure | 366,164 | 366,164 | 1,479,322 | ||
Assets sold under agreements to repurchase | Financing receivable | |||||
Carrying value: | |||||
Fair value of assets pledged to secure | $ 148,072 | $ 148,072 | $ 150,000 |
Borrowings - Maturities of Outs
Borrowings - Maturities of Outstanding Advances Under Repurchase Agreements (Details) $ in Thousands | 3 Months Ended |
Sep. 30, 2017USD ($) | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 2,096,965 |
Weighted-average maturity (in months) | 2 months 6 days |
Within 30 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 442,558 |
Over 30 to 90 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | 1,554,407 |
Over 180 days to one year | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 100,000 |
Borrowings - Mortgage Loans Sol
Borrowings - Mortgage Loans Sold Under Agreement to Repurchase by Counterparty (Details) - Assets sold under agreements to repurchase $ in Thousands | Sep. 30, 2017USD ($) |
Credit Suisse First Boston Mortgage Capital LLC Tranche One | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 141,057 |
Credit Suisse First Boston Mortgage Capital LLC Tranche Two | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 331,238 |
Bank of America, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 105,122 |
JP Morgan | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 70,425 |
Barclays | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 2,533 |
Deutsche Bank AG | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 16,532 |
Citibank, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 6,523 |
Morgan Stanley Bank | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 8,109 |
Royal Bank of Canada | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 6,970 |
Borrowings - Mortgage Loan Part
Borrowings - Mortgage Loan Participation and Sale Agreement (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
During the period: | |||||
Total interest expense | $ 1,484,000 | $ 1,887,000 | $ 3,780,000 | $ 3,585,000 | |
Carrying value: | |||||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 531,776,000 | 531,776,000 | $ 671,426,000 | ||
Amortization of debt issuance costs and premium | 11,472,000 | 7,944,000 | |||
Mortgage Loan Participation and Sale Agreement member | |||||
During the period: | |||||
Average balance | $ 213,486,000 | $ 365,112,000 | $ 200,119,000 | $ 241,131,000 | |
Weighted-average interest rate (as a percent) | 2.48% | 1.75% | 2.25% | 1.72% | |
Total interest expense | $ 1,484,000 | $ 1,887,000 | $ 3,780,000 | $ 3,585,000 | |
Carrying value: | |||||
Unpaid principal balance of mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 532,266,000 | 532,266,000 | 671,562,000 | ||
Unamortized issuance costs | (490,000) | (490,000) | (136,000) | ||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 531,776,000 | $ 531,776,000 | $ 671,426,000 | ||
Weighted-average interest rate (as a percent) | 2.49% | 2.49% | 2.02% | ||
Fair value of mortgage loans pledged to secure | $ 554,579,000 | $ 554,579,000 | $ 702,919,000 | ||
Amortization of debt issuance costs and premium | 134,000 | 250,000 | 365,000 | 435,000 | |
Maximum | Mortgage Loan Participation and Sale Agreement member | |||||
Carrying value: | |||||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 532,266,000 | 532,266,000 | |||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 532,266,000 | $ 793,395,000 | $ 532,266,000 | $ 793,395,000 |
Borrowings - Note Payable (Deta
Borrowings - Note Payable (Details) - USD ($) $ in Thousands | Aug. 10, 2017 | Feb. 16, 2017 | Nov. 18, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | Dec. 30, 2015 |
During the period: | |||||||||
Total interest expense | $ 11,747 | $ 2,129 | $ 24,746 | $ 6,018 | |||||
Carrying value: | |||||||||
Notes payable | 890,884 | 890,884 | $ 150,942 | ||||||
Amortization of Financing Costs | 11,472 | 7,944 | |||||||
Note Payable | |||||||||
During the period: | |||||||||
Average balance | $ 689,417 | $ 100,390 | $ 483,370 | $ 102,492 | |||||
Weighted-average interest rate (as a percent) | 5.85% | 4.55% | 5.87% | 4.50% | |||||
Total interest expense | $ 11,747 | $ 2,129 | $ 24,746 | $ 6,018 | |||||
Maximum daily amount outstanding | 890,879 | 115,006 | 891,011 | 128,849 | |||||
Carrying value: | |||||||||
Unpaid principal balance | 900,004 | 900,004 | 151,935 | ||||||
Unamortized issuance costs | (9,120) | (9,120) | (993) | ||||||
Notes payable | $ 890,884 | $ 890,884 | $ 150,942 | ||||||
Weighted-average interest rate (as a percent) | 5.57% | 5.57% | 4.67% | ||||||
Unused amount | $ 280,000 | $ 280,000 | $ 98,065 | ||||||
Amortization of Financing Costs | 1,200 | $ 800 | 3,200 | $ 2,100 | |||||
Note Payable | Revolving credit agreement | |||||||||
Short-term Debt [Line Items] | |||||||||
Maximum loan amount | $ 150,000 | $ 100,000 | |||||||
Term of loan | 364 days | ||||||||
Note Payable | LIBOR | |||||||||
Notes payable | |||||||||
Maximum loan amount | $ 500,000 | $ 400,000 | |||||||
Description of variable rate | one-month LIBOR | one-month LIBOR | |||||||
Interest rate spread | 4.00% | 4.75% | |||||||
Note Payable | Mortgage servicing rights | |||||||||
Carrying value: | |||||||||
Assets pledged to secure | 1,628,712 | 1,628,712 | 138,349 | ||||||
Note Payable | Cash. | |||||||||
Carrying value: | |||||||||
Assets pledged to secure | 55,537 | 55,537 | 91,788 | ||||||
Note Payable | Carried interest | |||||||||
Carrying value: | |||||||||
Assets pledged to secure | $ 8,547 | $ 8,547 | $ 70,906 |
Borrowings - Obligations Under
Borrowings - Obligations Under Capital Lease (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Obligations Under Capital Lease | |||||
Average balance | $ 25,507 | $ 21,975 | $ 25,573 | $ 17,451 | |
Weighted average interest rate | 3.25% | 2.46% | 3.01% | 2.45% | |
Weighted average interest rate | 3.23% | 3.23% | 2.48% | ||
Total interest expense | $ 205 | $ 139 | $ 585 | $ 363 | |
Unpaid principal balance | 24,373 | 24,373 | $ 23,424 | ||
Furniture, fixtures, equipment and building improvements pledged to creditors | 25,700 | 25,700 | 25,134 | ||
Capitalized software pledged to creditors | 1,681 | 1,681 | $ 515 | ||
Maximum | |||||
Obligations Under Capital Lease | |||||
Maximum daily amount outstanding | $ 26,641 | $ 23,263 | $ 30,044 | $ 24,720 |
Borrowings - ESS (Details)
Borrowings - ESS (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: | |||||
MSRs pledged to secure excess servicing spread | $ 1,994,876 | $ 1,994,876 | $ 1,617,671 | ||
Excess servicing spread financing | |||||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | |||||
Balance at the beginning of the year | 261,796 | $ 294,551 | 288,669 | $ 412,425 | |
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: | |||||
Accrual of interest | 3,998 | 4,827 | 13,011 | 17,555 | |
Repayment | (13,410) | (16,342) | (42,320) | (54,623) | |
Settlement | (59,045) | ||||
Change in fair value | (4,828) | (4,107) | (14,757) | (40,984) | |
Balance at the end of the year | 248,763 | 280,367 | 248,763 | 280,367 | |
Excess servicing spread financing | PMT | |||||
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: | |||||
Issuances | 1,207 | 1,438 | 4,160 | 5,039 | |
Change in fair value | $ (4,828) | $ (4,107) | $ (14,757) | $ (40,984) |
Liability for Losses Under Re93
Liability for Losses Under Representations and Warranties (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
During the year: | ||||
Balance at beginning of year | $ 19,568 | $ 24,277 | $ 19,067 | $ 20,611 |
Provision for losses relating to representations and warranties on loans sold pursuant to mortgage loan sales | 1,596 | 852 | 4,294 | 5,220 |
Provision for losses relating to representations and warranties on loans sold reduction in liability due to change in estimate | (1,194) | (6,648) | (3,086) | (6,648) |
Incurred losses | (297) | (8) | (602) | (710) |
Balance at end of year | 19,673 | 18,473 | 19,673 | 18,473 |
Unpaid principal balance of mortgage loans subject to representations and warranties at period end | $ 114,531,205 | $ 80,050,420 | $ 114,531,205 | $ 80,050,420 |
Income Taxes (Details)
Income Taxes (Details) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
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) | 12.40% | 12.20% | 12.40% | 12.00% |
Commitments and Contingencies -
Commitments and Contingencies - Commitments to Fund and Sell Mortgage Loans (Details) $ in Thousands | Sep. 30, 2017USD ($) |
Commitments and Contingencies. | |
Commitments to purchase mortgage loans from PennyMac Mortgage Investment Trust | $ 1,798,347 |
Commitments to fund mortgage loans | 1,961,056 |
Total commitments to purchase and fund mortgage loans | $ 3,759,403 |
Commitments and Contingencies96
Commitments and Contingencies - Leases (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Commitments and Contingencies. | ||||
Rent expense | $ 3,000 | $ 2,000 | $ 8,800 | $ 5,300 |
Future minimum lease payments | ||||
2,018 | 12,943 | 12,943 | ||
2,019 | 14,281 | 14,281 | ||
2,020 | 14,660 | 14,660 | ||
2,021 | 12,529 | 12,529 | ||
2,022 | 10,060 | 10,060 | ||
Thereafter | 34,559 | 34,559 | ||
Total future minimum lease payments | $ 99,032 | $ 99,032 |
Stockholders' Equity (Details)
Stockholders' Equity (Details) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | |
Sep. 30, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | |
Stockholders' Equity | |||
Cost of shares of Class A common stock repurchased | $ 8,599 | ||
Class A Common Stock | |||
Stockholders' Equity | |||
Authorized stock repurchase amount | $ 50,000 | ||
Shares of Class A common stock repurchased | 505 | 505 | |
Cost of shares of Class A common stock repurchased | $ 8,599 | $ 8,599 |
Noncontrolling Interest (Detail
Noncontrolling Interest (Details) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Net income and the effects of changes in noncontrolling interest | |||||
Net Income (Loss) Available to Common Stockholders, Basic | $ 17,081 | $ 23,685 | $ 38,439 | $ 43,335 | |
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. | $ 3,656 | $ 1,398 | $ 20,583 | $ 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) | 251 | 73 | 1,297 | 166 | |
Noncontrolling interest in Private National Mortgage Acceptance Company, LLC (as a percent) | 69.60% | 69.60% | 70.60% | ||
Class A Common Stock | |||||
Net income and the effects of changes in noncontrolling interest | |||||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. (in shares) | 1,297 | 166 |
Net Gains on Mortgage Loans H99
Net Gains on Mortgage Loans Held for Sale (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Cash (loss) gain: | ||||
Mortgage Loans | $ (40,747) | $ 40,381 | $ (98,408) | $ 82,612 |
Hedging activities | (14,592) | (13,526) | (8,168) | (163,659) |
Cash gain (loss), net of effects of cash hedging, on sale of mortgage loans held for sale | (55,339) | 26,855 | (106,576) | (81,047) |
Non-cash gain: | ||||
Mortgage servicing rights and mortgage servicing liabilities resulting from mortgage loan sales, net | 154,763 | 143,960 | 419,968 | 371,805 |
Provision for losses relating to representations and warranties on loans sold pursuant to mortgage loan sales | (1,596) | (852) | (4,294) | (5,220) |
Provision for losses relating to representations and warranties on loans sold reduction in liability due to change in estimate | 1,194 | 6,648 | 3,086 | 6,648 |
Change in fair value relating to loans and hedging derivatives held at period end: | ||||
Interest rate lock commitments | 8,226 | 15,256 | (5,008) | 61,744 |
Mortgage loans | 3,376 | 5,964 | (2,554) | 37,481 |
Hedging derivatives | (12,389) | (14,020) | (19,023) | 17,994 |
From non-affiliates | 98,235 | 183,811 | 285,599 | 409,405 |
Recapture payable to PennyMac Mortgage Investment Trust | 9,901 | (1,690) | 7,584 | (5,557) |
Net gains on mortgage loans held for sale at fair value | $ 108,136 | $ 182,121 | $ 293,183 | $ 403,848 |
Net Interest Income (Expense100
Net Interest Income (Expense) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Interest income: | ||||
Short-term investments | $ 733 | $ 1,756 | $ 1,727 | $ 2,212 |
Mortgage loans held for sale at fair value | 28,199 | 14,835 | 68,528 | 38,578 |
Placement fees relating to custodial funds | 13,394 | 4,144 | 27,073 | 10,204 |
Interest income, excluding related parties | 42,326 | 20,735 | 97,328 | 50,994 |
Interest income | 44,442 | 22,709 | 103,274 | 56,792 |
Interest income (expense): | ||||
Assets sold under agreements to repurchase | 19,203 | 12,951 | 52,249 | 33,863 |
Mortgage loan participation purchase and sale agreements | 1,484 | 1,887 | 3,780 | 3,585 |
Notes payable | 11,747 | 2,129 | 24,746 | 6,018 |
Obligations under capital lease | 205 | 139 | 585 | 363 |
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations | 4,602 | 4,587 | 11,529 | 10,114 |
Interest on mortgage loan impound deposits | 1,253 | 996 | 2,943 | 2,471 |
Interest expense, non-affiliates | 38,494 | 22,689 | 95,832 | 56,414 |
Interest expense | 42,492 | 27,516 | 108,843 | 73,969 |
Net interest income (expense): | 1,950 | (4,807) | (5,569) | (17,177) |
PMT | ||||
Interest income: | ||||
From PennyMac Mortgage Investment Trust | 2,116 | 1,974 | 5,946 | 5,798 |
Interest income (expense): | ||||
To PennyMac Mortgage Investment Trust Excess servicing spread financing at fair value | 3,998 | 4,827 | 13,011 | 17,555 |
Assets sold under agreements to repurchase | ||||
Interest income (expense): | ||||
Assets sold under agreements to repurchase | $ 19,203 | $ 12,951 | $ 52,249 | $ 33,863 |
Stock-based Compensation - Comp
Stock-based Compensation - Compensation Expense by Award (Details) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Stock-Based Compensation | ||||
Grant date fair value | $ 58 | $ 160 | $ 25,643 | $ 15,655 |
Stock-based compensation expense | $ 4,243 | $ 4,233 | $ 14,633 | $ 12,560 |
Stock Options | ||||
Stock-Based Compensation | ||||
Granted (in units) | 861 | 962 | ||
Grant date fair value | $ 5,772 | $ 3,412 | ||
Vested (in units) | 9 | 2 | 34 | 2 |
Performance-based RSUs | ||||
Stock-Based Compensation | ||||
Granted (in units) | 694 | 813 | ||
Grant date fair value | $ 12,512 | $ 9,171 | ||
Vested (in units) | 446 | |||
Time-based RSUs | ||||
Stock-Based Compensation | ||||
Granted (in units) | 3 | 10 | 408 | 261 |
Grant date fair value | $ 58 | $ 160 | $ 7,359 | $ 3,072 |
Vested (in units) | 4 | 6 | 165 | 121 |
Earnings Per Share of Common102
Earnings Per Share of Common Stock (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Basic earnings per share of common stock: | ||||
Net income attributable to PennyMac Financial Services, Inc common stockholders | $ 17,081 | $ 23,685 | $ 38,439 | $ 43,335 |
Weighted-average common stock outstanding | 23,426 | 22,217 | 23,147 | 22,101 |
Basic earnings per share of common stock (in dollars per share) | $ 0.73 | $ 1.07 | $ 1.66 | $ 1.96 |
Diluted earnings per share of common stock: | ||||
Net income attributable to PennyMac Financial Services, Inc common stockholders | $ 17,081 | $ 23,685 | $ 38,439 | $ 43,335 |
Effect of net income attributable to noncontrolling interest, net of tax | 38,884 | 57,444 | 88,289 | 105,480 |
Diluted net income attributable to common stockholders | $ 55,965 | $ 81,129 | $ 126,728 | $ 148,815 |
Weighted-average common stock outstanding | 23,426 | 22,217 | 23,147 | 22,101 |
Dilutive shares: | ||||
PennyMac Class A units exchangeable to common stock | 53,239 | 53,923 | 53,400 | 53,996 |
Shares issuable under stock-based compensation plans (in shares) | 1,751 | 215 | 1,684 | 234 |
Diluted weighted-average common stock outstanding | 78,416 | 76,355 | 78,231 | 76,331 |
Diluted earnings per share of common stock (in dollars per share) | $ 0.71 | $ 1.06 | $ 1.62 | $ 1.95 |
Total anti-dilutive stock-based compensation units | 2,623 | 5,273 | 2,910 | 5,069 |
Stock Options | ||||
Dilutive shares: | ||||
Total anti-dilutive stock-based compensation units | 2,622 | 2,768 | 2,434 | 2,559 |
Weighted-average exercise price of anti-dilutive stock options | $ 16.39 | $ 15.81 | $ 16.39 | $ 15.82 |
Performance-based RSUs | ||||
Dilutive shares: | ||||
Total anti-dilutive stock-based compensation units | 2,505 | 475 | 2,510 | |
Time-based RSUs | ||||
Dilutive shares: | ||||
Total anti-dilutive stock-based compensation units | 1 | 1 |
Supplemental Cash Flow Infor103
Supplemental Cash Flow Information (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2017 | Sep. 30, 2016 | |
Cash paid for interest | $ 115,710 | $ 70,897 |
Cash paid for income taxes | 41 | 452 |
Non-cash investing activity: | ||
Mortgage servicing rights resulting from mortgage loan sales | 431,908 | 383,615 |
Mortgage servicing liabilities resulting from mortgage loan sales | 11,940 | 11,810 |
Unsettled portion of MSR acquisitions | 16,364 | |
Non-cash financing activity: | ||
Transfer of excess servicing spread pursuant to recapture agreement with PennyMac Mortgage Investment Trust | 4,160 | 5,039 |
Issuance of Class A common stock in settlement of director fees | $ 253 | $ 230 |
Regulatory Capital and Liqui104
Regulatory Capital and Liquidity Requirements (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Fannie Mae / Freddie Mac - PLS | ||
Regulatory Net Worth and Agency Capital Requirements | ||
Net worth | $ 1,482,475 | $ 1,289,464 |
Capital Requirement | 420,427 | 335,883 |
Liquidity | 200,862 | 179,230 |
Liquidity requirement | $ 57,509 | $ 45,930 |
Tangible net worth / Total assets ratio actual | 23.00% | 26.00% |
Tangible net worth / Total assets ratio requirement | 6.00% | 6.00% |
Ginnie Mae - PLS | ||
Regulatory Net Worth and Agency Capital Requirements | ||
Net worth | $ 1,253,593 | $ 1,085,549 |
Capital Requirement | 590,901 | 455,542 |
Liquidity | 200,862 | 179,230 |
Liquidity requirement | 149,493 | 115,304 |
Ginnie Mae - PennyMac | ||
Regulatory Net Worth and Agency Capital Requirements | ||
Net worth | 1,443,982 | 1,261,565 |
Capital Requirement | 649,991 | 501,097 |
HUD - PLS | ||
Regulatory Net Worth and Agency Capital Requirements | ||
Net worth | 1,253,593 | 1,085,549 |
Capital Requirement | $ 2,500 | $ 2,500 |
Segments and Related Informa105
Segments and Related Information - Financial Highlights by Segment (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017USD ($) | Sep. 30, 2016USD ($) | Sep. 30, 2017USD ($)item | Sep. 30, 2016USD ($) | Dec. 31, 2016USD ($) | |
Segments and Related Information | |||||
Number of segments | item | 3 | ||||
Revenues: | |||||
Net gains (losses) on mortgage loans held for sale at fair value | $ 108,136 | $ 182,121 | $ 293,183 | $ 403,848 | |
Mortgage loan origination fees | 33,168 | 34,621 | 88,935 | 85,962 | |
Net servicing fees | 78,081 | 45,864 | 199,157 | 89,938 | |
Management fees | 6,216 | 5,521 | 17,597 | 17,163 | |
Net interest income (expense): | |||||
Interest income | 44,442 | 22,709 | 103,274 | 56,792 | |
Interest expense, before non-segment activities | 42,492 | 27,516 | 108,843 | 74,019 | |
Net interest expense, before non-segment activities | 1,950 | (4,807) | (5,569) | (17,227) | |
Other | 735 | 713 | 3,387 | 2,624 | |
Total net revenues, before non-segment activities | 250,635 | 291,395 | 656,829 | 642,553 | |
Expenses | 156,491 | 152,117 | 442,693 | 388,927 | |
Income (loss) before provision for income taxes and non-segment activities | 253,626 | ||||
Non-segment activities | 49 | ||||
Income before provision for income taxes | 94,144 | 139,278 | 214,136 | 253,675 | |
Assets: | |||||
Segment assets at period end | 6,388,369 | 6,388,369 | $ 5,133,902 | ||
PMT | |||||
Revenues: | |||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 23,507 | 27,255 | 61,184 | 59,301 | |
Management fees | 6,038 | 5,025 | 16,684 | 15,576 | |
Investment Funds | |||||
Revenues: | |||||
Management fees | 178 | 496 | 913 | 1,587 | |
Carried Interest from Investment Funds | (1,158) | 107 | $ (1,045) | 944 | |
Mortgage banking | |||||
Segments and Related Information | |||||
Number of segments | item | 2 | ||||
Operating segment | |||||
Assets: | |||||
Segment assets at period end | 6,386,724 | 5,589,338 | $ 6,386,724 | 5,589,338 | |
Working capital | 1,600 | 6,900 | 1,600 | 6,900 | |
Operating segment | Investment management | |||||
Revenues: | |||||
Management fees | 6,216 | 5,521 | 17,597 | 17,163 | |
Net interest income (expense): | |||||
Interest income | 1 | ||||
Interest expense, before non-segment activities | 13 | 11 | 37 | 37 | |
Net interest expense, before non-segment activities | (13) | (11) | (37) | (36) | |
Other | (25) | 234 | 204 | ||
Total net revenues, before non-segment activities | 5,020 | 5,617 | 16,749 | 18,275 | |
Expenses | 4,305 | 5,413 | 12,455 | 16,205 | |
Income (loss) before provision for income taxes and non-segment activities | 2,070 | ||||
Income before provision for income taxes | 715 | 204 | 4,294 | 2,070 | |
Assets: | |||||
Segment assets at period end | 20,369 | 90,746 | 20,369 | 90,746 | |
Operating segment | Investment management | Investment Funds | |||||
Revenues: | |||||
Carried Interest from Investment Funds | (1,158) | 107 | (1,045) | 944 | |
Operating segment | Mortgage banking | |||||
Revenues: | |||||
Net gains (losses) on mortgage loans held for sale at fair value | 108,136 | 182,121 | 293,183 | 403,848 | |
Mortgage loan origination fees | 33,168 | 34,621 | 88,935 | 85,962 | |
Net servicing fees | 78,081 | 45,864 | 199,157 | 89,938 | |
Net interest income (expense): | |||||
Interest income | 44,442 | 22,709 | 103,274 | 56,791 | |
Interest expense, before non-segment activities | 42,479 | 27,505 | 108,806 | 73,982 | |
Net interest expense, before non-segment activities | 1,963 | (4,796) | (5,532) | (17,191) | |
Other | 760 | 713 | 3,153 | 2,420 | |
Total net revenues, before non-segment activities | 245,615 | 285,778 | 640,080 | 624,278 | |
Expenses | 152,186 | 146,704 | 430,238 | 372,722 | |
Income (loss) before provision for income taxes and non-segment activities | 251,556 | ||||
Income before provision for income taxes | 93,429 | 139,074 | 209,842 | 251,556 | |
Assets: | |||||
Segment assets at period end | 6,366,355 | 5,498,592 | 6,366,355 | 5,498,592 | |
Operating segment | Mortgage banking | PMT | |||||
Revenues: | |||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 23,507 | 27,255 | 61,184 | 59,301 | |
Operating segment | Mortgage banking Production | |||||
Revenues: | |||||
Net gains (losses) on mortgage loans held for sale at fair value | 79,983 | 166,506 | 217,526 | 360,614 | |
Mortgage loan origination fees | 33,168 | 34,621 | 88,935 | 85,962 | |
Net interest income (expense): | |||||
Interest income | 17,651 | 13,013 | 45,866 | 32,918 | |
Interest expense, before non-segment activities | 12,355 | 9,323 | 32,507 | 21,031 | |
Net interest expense, before non-segment activities | 5,296 | 3,690 | 13,359 | 11,887 | |
Other | 235 | 508 | 1,711 | 1,596 | |
Total net revenues, before non-segment activities | 142,189 | 232,580 | 382,715 | 519,360 | |
Expenses | 73,231 | 82,767 | 199,547 | 196,634 | |
Income (loss) before provision for income taxes and non-segment activities | 322,726 | ||||
Income before provision for income taxes | 68,958 | 149,813 | 183,168 | 322,726 | |
Assets: | |||||
Segment assets at period end | 2,737,666 | 3,221,446 | 2,737,666 | 3,221,446 | |
Operating segment | Mortgage banking Production | PMT | |||||
Revenues: | |||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 23,507 | 27,255 | 61,184 | 59,301 | |
Operating segment | Mortgage banking Servicing | |||||
Revenues: | |||||
Net gains (losses) on mortgage loans held for sale at fair value | 28,153 | 15,615 | 75,657 | 43,234 | |
Net servicing fees | 78,081 | 45,864 | 199,157 | 89,938 | |
Net interest income (expense): | |||||
Interest income | 26,791 | 9,696 | 57,408 | 23,873 | |
Interest expense, before non-segment activities | 30,124 | 18,182 | 76,299 | 52,951 | |
Net interest expense, before non-segment activities | (3,333) | (8,486) | (18,891) | (29,078) | |
Other | 525 | 205 | 1,442 | 824 | |
Total net revenues, before non-segment activities | 103,426 | 53,198 | 257,365 | 104,918 | |
Expenses | 78,955 | 63,937 | 230,691 | 176,088 | |
Income (loss) before provision for income taxes and non-segment activities | (71,170) | ||||
Income before provision for income taxes | 24,471 | (10,739) | 26,674 | (71,170) | |
Assets: | |||||
Segment assets at period end | $ 3,628,689 | $ 2,277,146 | $ 3,628,689 | $ 2,277,146 |
Recently Issued Accounting P106
Recently Issued Accounting Pronouncements (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Recently Issued Accounting Pronouncements. | ||||
Carried interest | $ 8,500 | $ 8,500 | ||
Common overhead expense reimbursements | 1,200 | $ 1,400 | 4,200 | $ 6,400 |
Future minimum lease payments | $ 99,032 | $ 99,032 |