Document and Entity Information
Document and Entity Information - USD ($) | 12 Months Ended | ||
Dec. 31, 2017 | Mar. 08, 2018 | Jun. 30, 2017 | |
Document and Entity Information | |||
Entity Registrant Name | PENNYMAC FINANCIAL SERVICES, INC. | ||
Entity Central Index Key | 1,568,669 | ||
Document Type | 10-K | ||
Document Period End Date | Dec. 31, 2017 | ||
Amendment Flag | false | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Filer Category | Accelerated Filer | ||
Entity Public Float | $ 328,317,641 | ||
Entity Common Stock, Shares Outstanding | 24,092,831 | ||
Document Fiscal Year Focus | 2,017 | ||
Document Fiscal Period Focus | FY |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
ASSETS | ||
Cash (includes $20,765 and $91,788 pledged to creditors) | $ 37,725 | $ 99,367 |
Short-term investments at fair value | 170,080 | 85,964 |
Mortgage loans held for sale at fair value (includes $3,081,987 and $2,125,174 pledged to creditors) | 3,099,103 | 2,172,815 |
Derivative assets | 78,179 | 82,905 |
Servicing advances, net (includes valuation allowance of $59,958 and $45,425; $114,643 and $81,306 pledged to creditors) | 318,066 | 348,306 |
Carried Interest due from Investment Funds pledged to creditors | 8,552 | 70,906 |
Mortgage servicing rights (includes $638,010 and $515,925 at fair value; $23,915 and $1,617,617 pledged to creditors) | 2,119,588 | 1,627,672 |
Real estate acquired in settlement of loans | 2,447 | 1,418 |
Furniture, fixtures, equipment and building improvements, net (includes $0 and $25,134 pledged to creditors) | 29,453 | 31,321 |
Capitalized software, net (includes $1,568 and $515 pledged to creditors) | 25,729 | 11,205 |
Mortgage loans eligible for repurchase | 1,208,195 | 382,268 |
Other | 98,107 | 50,892 |
Total assets | 7,368,093 | 5,133,902 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 2,381,538 | 1,735,114 |
Mortgage loans participation purchase and sale agreements | 527,395 | 671,426 |
Notes payable | 891,505 | 150,942 |
Obligations under capital lease | 20,971 | 23,424 |
Derivative liabilities | 5,796 | 22,362 |
Accounts payable and accrued expenses | 106,716 | 134,611 |
Mortgage servicing liabilities at fair value | 14,120 | 15,192 |
Income taxes payable | 52,160 | 25,088 |
Liability for mortgage loans eligible for repurchase | 1,208,195 | 382,268 |
Liability for losses under representations and warranties | 20,053 | 19,067 |
Total liabilities | 5,648,419 | 3,734,546 |
Commitments and contingencies - Note 16 | ||
STOCKHOLDERS' EQUITY | ||
Additional paid-in capital | 204,103 | 182,772 |
Retained earnings | 265,306 | 164,549 |
Total stockholders' equity attributable to PennyMac Financial Services, Inc. common stockholders | 469,411 | 347,323 |
Noncontrolling interest in Private National Mortgage Acceptance Company, LLC | 1,250,263 | 1,052,033 |
Total stockholders' equity | 1,719,674 | 1,399,356 |
Total liabilities and stockholders' equity | 7,368,093 | 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 | 8,552 | 70,906 |
Receivable, from affiliates | 417 | 1,219 |
LIABILITIES | ||
Payable to affiliates | 2,427 | 20,393 |
PMT | ||
ASSETS | ||
Investment in PennyMac Mortgage Investment Trust at fair value | 1,205 | 1,228 |
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell pledged to creditors | 144,128 | 150,000 |
Receivable, from affiliates | 27,119 | 16,416 |
LIABILITIES | ||
Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value | 236,534 | 288,669 |
Payable to affiliates | 136,998 | 170,036 |
Private National Mortgage Acceptance Company, LLC | ||
LIABILITIES | ||
Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | $ 44,011 | $ 75,954 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
Cash pledged to creditors | $ 20,765 | $ 91,788 |
Mortgage loans held for sale, pledged to creditors | 3,081,987 | 2,125,174 |
Servicing advances, net, valuation allowance | 59,958 | 45,425 |
Servicing advances pledged to creditors | 114,643 | 81,306 |
Mortgage servicing rights, at fair value | 638,010 | 515,925 |
Mortgage servicing rights pledged to creditors | 2,098,067 | 1,617,671 |
Furniture, fixtures, equipment and building improvements pledged to creditors | 23,915 | 25,134 |
Capitalized software pledged to creditors | $ 1,568 | $ 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 | 23,529,970 | 22,426,779 |
Common stock, shares outstanding | 23,529,970 | 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 | 46 | 49 |
Common stock, shares outstanding | 46 | 49 |
CONSOLIDATED STATEMENTS OF INCO
CONSOLIDATED STATEMENTS OF INCOME - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Net gains on mortgage loans held for sale at fair value: | |||
From non-affiliates | $ 369,815 | $ 539,872 | $ 328,551 |
Net gains on mortgage loans held for sale at fair value | 391,804 | 531,780 | 320,715 |
Mortgage loan origination fees from non-affiliates | 112,124 | 118,844 | 87,130 |
Mortgage loan origination fees | 119,202 | 125,534 | 91,520 |
Mortgage loan servicing fees | |||
From non-affiliates and affiliates | 475,848 | 385,633 | 290,474 |
Ancillary and other fees | 58,924 | 46,910 | 43,139 |
Net servicing fees | 579,297 | 485,741 | 382,672 |
Amortization, impairment and change in fair value of mortgage servicing rights and mortgage servicing liabilities | (292,588) | (324,198) | (156,939) |
Change in fair value of excess servicing spread payable to PennyMac Mortgage Investment Trust | (273,238) | (300,275) | (153,129) |
Net mortgage loan servicing fees | 306,059 | 185,466 | 229,543 |
Management fees: | |||
Management fees | 23,585 | 22,746 | 28,237 |
Carried Interest from Investment Funds | 2,628 | ||
Interest income: | |||
From non-affiliates | 135,141 | 73,297 | 45,812 |
Interest income | 143,179 | 81,127 | 49,155 |
Interest income (expense): | |||
To non-affiliates | 127,569 | 83,605 | 43,172 |
Interest expense | 144,520 | 106,206 | 68,537 |
Net interest expense: | (1,341) | (25,079) | (19,382) |
Result of real estate acquired in settlement of loans | 94 | (82) | |
Revaluation of payable to exchanged Private National Mortgage Acceptance Company , LLC unitholders under tax receivable agreement | 32,940 | 551 | (1,695) |
Other | 3,683 | 3,302 | 3,167 |
Total net revenue | 955,463 | 931,887 | 713,110 |
Expenses | |||
Compensation | 358,721 | 342,153 | 274,262 |
Servicing | 117,696 | 85,857 | 68,085 |
Technology | 52,013 | 35,322 | 25,164 |
Occupancy and equipment | 22,615 | 17,140 | 8,056 |
Loan origination | 20,429 | 22,528 | 17,396 |
Professional services | 17,845 | 18,078 | 15,473 |
Marketing | 9,118 | 5,264 | 5,664 |
Other | 21,117 | 22,462 | 19,817 |
Total expenses | 619,554 | 548,804 | 433,917 |
Income before provision for income taxes | 335,909 | 383,083 | 279,193 |
Provision for income taxes | 24,387 | 46,103 | 31,635 |
Net income | 311,522 | 336,980 | 247,558 |
Less: Net income attributable to noncontrolling interest | 210,765 | 270,901 | 200,330 |
Net income attributable to PennyMac Financial Services, Inc. common stockholders | $ 100,757 | $ 66,079 | $ 47,228 |
Earnings per share | |||
Basic (in dollars per share) | $ 4.34 | $ 2.98 | $ 2.17 |
Diluted (in dollars per share) | $ 4.03 | $ 2.94 | $ 2.17 |
Weighted-average shares outstanding | |||
Basic (in shares) | 23,199 | 22,161 | 21,755 |
Diluted (in shares) | 24,999 | 76,629 | 76,104 |
PMT | |||
Net gains on mortgage loans held for sale at fair value: | |||
Recapture payable to PennyMac Mortgage Investment Trust | $ 21,989 | $ (8,092) | $ (7,836) |
Mortgage loan origination fees from PennyMac Mortgage Investment Trust | 7,078 | 6,690 | 4,390 |
Fulfillment fees from PennyMac Mortgage Investment Trust | 80,359 | 86,465 | 58,607 |
Mortgage loan servicing fees | |||
From non-affiliates and affiliates | 43,064 | 50,615 | 46,423 |
Change in fair value of excess servicing spread payable to PennyMac Mortgage Investment Trust | 19,350 | 23,923 | 3,810 |
Management fees: | |||
Management fees | 22,584 | 20,657 | 24,194 |
Interest income: | |||
From PennyMac Mortgage Investment Trust | 8,038 | 7,830 | 3,343 |
Interest income (expense): | |||
To PennyMac Mortgage Investment Trust | 16,951 | 22,601 | 25,365 |
Change in fair value of investment in and dividends received from affiliate | 118 | 224 | (230) |
Investment Funds | |||
Mortgage loan servicing fees | |||
From non-affiliates and affiliates | 1,461 | 2,583 | 2,636 |
Management fees: | |||
Management fees | 1,001 | 2,089 | 4,043 |
Carried Interest from Investment Funds | $ (1,040) | $ 980 | $ 2,628 |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) shares in Thousands, $ in Thousands | Additional paid-in capital | Retained earnings | Noncontrolling interest | Class A Common Stock | Total |
Balance at Dec. 31, 2014 | $ 162,720 | $ 51,242 | $ 593,302 | $ 2 | $ 807,266 |
Balance (in shares) at Dec. 31, 2014 | 21,578 | ||||
Changes in stockholders' equity | |||||
Net income | 47,228 | 200,330 | 247,558 | ||
Stock and unit-based compensation | 5,017 | 12,504 | 17,521 | ||
Stock and unit-based compensation (in shares) | 77 | ||||
Distributions | (9,630) | (9,630) | |||
Issuance of Class A common stock in settlement of director fees | 297 | 297 | |||
Issuance of Class A common stock in settlement of directors' fees (in shares) | 17 | ||||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. | 4,982 | (4,982) | $ 4,982 | ||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. (in shares) | 319 | 319 | |||
Tax effect of exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. | (662) | $ (662) | |||
Balance at Dec. 31, 2015 | 172,354 | 98,470 | 791,524 | $ 2 | 1,062,350 |
Balance (in shares) at Dec. 31, 2015 | 21,991 | ||||
Balance at Dec. 31, 2014 | 162,720 | 51,242 | 593,302 | $ 2 | 807,266 |
Balance (in shares) at Dec. 31, 2014 | 21,578 | ||||
Changes in stockholders' equity | |||||
Repurchase of Class A common stock | $ (8,599) | ||||
Shares of Class A common stock repurchased | (505) | ||||
Balance at Dec. 31, 2017 | 204,103 | 265,306 | 1,250,263 | $ 2 | 1,719,674 |
Balance (in shares) at Dec. 31, 2017 | 23,530 | ||||
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 | 26,543 | ||||
Balance at Mar. 31, 2016 | 1,093,213 | ||||
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 | 66,079 | 270,901 | 336,980 | ||
Stock and unit-based compensation | 4,646 | 11,701 | 16,347 | ||
Stock and unit-based compensation (in shares) | 111 | ||||
Distributions | (15,216) | (15,216) | |||
Issuance of Class A common stock in settlement of director fees | 313 | 313 | |||
Issuance of Class A common stock in settlement of directors' fees (in shares) | 24 | ||||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. | 6,877 | (6,877) | $ 6,877 | ||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. (in shares) | 301 | 301 | |||
Tax effect of exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. | (1,418) | $ (1,418) | |||
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 | ||||
Balance at Mar. 31, 2016 | 1,093,213 | ||||
Changes in stockholders' equity | |||||
Net income | 74,295 | ||||
Balance at Jun. 30, 2016 | 1,170,853 | ||||
Changes in stockholders' equity | |||||
Net income | 122,302 | ||||
Balance at Sep. 30, 2016 | 1,290,404 | ||||
Changes in stockholders' equity | |||||
Net income | 113,840 | ||||
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 | 54,386 | ||||
Balance at Mar. 31, 2017 | 1,457,595 | ||||
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 | 100,757 | 210,765 | 311,522 | ||
Stock and unit-based compensation | 7,545 | 14,406 | 21,951 | ||
Issuance of Class A common stock in settlement of director fees | 160 | 178 | 338 | ||
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. | 27,119 | (27,119) | $ 27,119 | ||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. (in shares) | 1,608 | 1,608 | |||
Tax effect of exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. | (4,894) | $ (4,894) | |||
Balance at Dec. 31, 2017 | 204,103 | 265,306 | 1,250,263 | $ 2 | 1,719,674 |
Balance (in shares) at Dec. 31, 2017 | 23,530 | ||||
Balance at Mar. 31, 2017 | 1,457,595 | ||||
Changes in stockholders' equity | |||||
Net income | 50,746 | ||||
Balance at Jun. 30, 2017 | 1,511,252 | ||||
Changes in stockholders' equity | |||||
Net income | 82,492 | ||||
Balance at Sep. 30, 2017 | 1,590,291 | ||||
Changes in stockholders' equity | |||||
Net income | 123,898 | ||||
Balance at Dec. 31, 2017 | $ 204,103 | $ 265,306 | $ 1,250,263 | $ 2 | $ 1,719,674 |
Balance (in shares) at Dec. 31, 2017 | 23,530 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Cash flow from operating activities | |||
Net income | $ 311,522 | $ 336,980 | $ 247,558 |
Adjustments to reconcile net income to net cash used in operating activities: | |||
Net gains on mortgage loans held for sale at fair value | (391,804) | (531,780) | (320,715) |
Amortization, impairment and change in fair value of mortgage servicing rights, mortgage servicing liabilities and excess servicing spread | 273,238 | 300,275 | 153,129 |
Carried Interest from Investment Funds | (2,628) | ||
Capitalization of interest on mortgage loans held for sale at fair value | (44,922) | (29,234) | (16,875) |
Accrual of interest on excess servicing spread financing | 16,951 | 22,601 | 25,365 |
Amortization of debt issuance costs and premium | 6,348 | 11,052 | 7,775 |
Repricing of payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | (32,940) | (551) | 1,695 |
Results of real estate acquired in settlement of loans | (94) | 82 | |
Stock based compensation expense | 20,697 | 16,198 | 17,521 |
Provision for servicing advance losses | 43,249 | 35,503 | 29,782 |
Loss from disposition of fixed assets and impairment of capitalized software | 1,336 | ||
Depreciation and amortization | 8,395 | 5,849 | 2,423 |
Originations of mortgage loans held for sale | (5,557,244) | (6,491,107) | (4,143,240) |
Purchase of mortgage loans from Ginnie Mae securities and early buyout investors for modification and subsequent sale | (3,957,384) | (2,168,685) | (1,116,700) |
Sale and principal payments of mortgage loans held for sale to non-affiliates | 50,235,245 | 49,633,909 | 36,679,638 |
Repurchase of mortgage loans subject to representations and warranties | (20,324) | (19,248) | (22,601) |
Increase in servicing advances | (15,675) | (85,955) | (100,506) |
Sale of real estate acquired in settlement of loans | 4,655 | ||
Decrease in deferred tax asset | 18,668 | 29,726 | |
Increase in other assets | (46,068) | (19,282) | (18,100) |
(Decrease) increase in accounts payable and accrued expenses | (41,412) | 33,041 | 26,307 |
Increase in income taxes payable | 29,901 | 25,570 | |
Net cash used in operating activities | (883,585) | (938,522) | 53,144 |
Cash flow from investing activities | |||
Increase in short-term investments | (84,116) | (39,645) | (24,632) |
Net settlement of derivative financial instruments used for hedging | (36,618) | (27,315) | 2,033 |
Purchase of mortgage servicing rights | (178,531) | (146) | (382,824) |
Purchase of furniture, fixtures, equipment and leasehold improvements | (6,791) | (21,852) | (9,122) |
Acquisition of capitalized software | (16,992) | (8,537) | (2,782) |
Sale of assets purchased from PMT under agreement to resell | 5,872 | ||
(Increase) decrease in margin deposits and restricted cash | (22,055) | 62,756 | 4,185 |
Net cash used in investing activities | (339,231) | (34,739) | (563,142) |
Cash flow from financing activities | |||
Sale of assets under agreements to repurchase | 35,698,381 | 45,925,047 | 33,125,237 |
Repurchase of assets sold under agreements to repurchase | (35,054,437) | (45,355,531) | (33,187,830) |
Issuance of mortgage loan participation certificates | 23,011,607 | 32,336,793 | 17,722,964 |
Repayment of mortgage loan participation certificates | (23,155,463) | (31,900,130) | (17,631,704) |
Advances on notes payable | 935,000 | 122,920 | 352,243 |
Repayments of notes payable | (186,935) | (33,661) | (29,411) |
Advances of obligations under capital lease | 10,298 | 16,952 | 13,579 |
Repayments of obligations under capital lease | (12,751) | (7,107) | |
Issuance of excess servicing spread financing | 271,554 | ||
Repayment of excess servicing spread financing | (54,980) | (69,992) | (78,578) |
Settlement of excess servicing spread financing | (59,045) | ||
Payment of debt issuance costs | (22,201) | (11,747) | (9,210) |
Consideration received for acceptance of mortgage servicing liability | 10,139 | ||
Proceeds from exercise of common stock options | 1,254 | 149 | |
Repurchase of common stock | (8,599) | ||
Distributions to Private National Mortgage Acceptance Company, LLC members | (7,631) | (9,630) | |
Net cash provided by financing activities | 1,161,174 | 967,156 | 539,214 |
Net decrease in cash | (61,642) | (6,105) | 29,216 |
Cash at beginning of year | 99,367 | 105,472 | 76,256 |
Cash at end of year | 37,725 | 99,367 | 105,472 |
Investment Funds | |||
Adjustments to reconcile net income to net cash used in operating activities: | |||
Accrual of servicing rebate payable to Investment Funds | 129 | 306 | 1,269 |
Carried Interest from Investment Funds | 1,040 | (980) | (2,628) |
Collection of Carried Interest | 61,314 | ||
(Increase) decrease in receivable from affiliates | 673 | (209) | (294) |
(Decrease) increase in payable to affiliate | (17,966) | (10,036) | (5,479) |
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 | (19,350) | (23,923) | (3,810) |
Change in fair value of investment in common shares of PennyMac Mortgage Investment Trust | 23 | (83) | 437 |
Purchase of mortgage loans held for sale from PennyMac Mortgage Investment Trust | (42,624,288) | (42,051,505) | (31,490,920) |
Sale of mortgage loans held for sale to Penny Mac Mortgage Investment Trust | 904,097 | 21,541 | 28,445 |
(Increase) decrease in receivable from affiliates | (11,475) | 2,969 | 7,637 |
(Decrease) increase in payable to affiliate | (34,076) | $ 5,589 | 37,627 |
Payments to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | $ (6,726) | (5,132) | |
Cash flow from investing activities | |||
Advance on note receivable from PennyMac Mortgage Investment Trust | (168,546) | ||
Repayment of note receivable from PennyMac Mortgage Investment Trust | $ 18,546 |
Organization
Organization | 12 Months Ended |
Dec. 31, 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 it 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 and mortgage loan servicing. PennyMac’s investment management activities and a portion of its mortgage loan servicing activities are conducted on behalf of investment vehicles that invest in residential mortgage loans and related assets. PennyMac’s primary wholly owned subsidiaries are: · PNMAC Capital Management, LLC (“PCM”) —a Delaware limited liability company registered with the Securities and Exchange Commission (“SEC”) as an investment adviser under the Investment Advisers Act of 1940, as amended. PCM enters into investment management agreements with entities that invest in residential mortgage loans and related assets. Presently, PCM has management agreements with 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.” In 2017, the Investment Funds sold substantially all of their investments. PCM expects to complete liquidation of the Investment Funds during 2018. · PennyMac Loan Services, LLC (“PLS”) —a Delaware limited liability company that services portfolios of residential mortgage loans on behalf of non-affiliates and the Advised Entities, purchases, originates and sells 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 . |
Concentration of Risk
Concentration of Risk | 12 Months Ended |
Dec. 31, 2017 | |
Concentration of Risk | |
Concentration of Risk | Note 2—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 20%, 18%, and 16% of total net revenues for the years ended December 31, 2017, 2016 and 2015, respectively. |
Significant Accounting Policies
Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2017 | |
Significant Accounting Policies | |
Significant Accounting Policies | Note 3—Significant Accounting Policies A description of the Company’s significant accounting policies applied in the preparation of the accompanying consolidated financial statements follows. Basis of Presentation The Company’s consolidated financial statements have been prepared in compliance with accounting principles generally accepted in the United States (“GAAP”) as codified in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (the “ASC” or the “Codification”). Principles of Consolidation The consolidated financial statements include the accounts of PFSI, PennyMac and all of its wholly‑owned subsidiaries. Intercompany accounts and transactions have been eliminated. Use of Estimates The preparation of financial statements in conformity with GAAP requires management to make judgments and estimates that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results will likely differ from those estimates. Fair Value Most of the Company’s assets and certain of its liabilities are measured based on their fair values. The Company groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the 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 their 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. Short‑Term Investments Short‑term investments, which represent investments in accounts with a depository institution such as money market funds, are carried at fair value. Changes in fair value are recognized in current period income. The Company classifies its short‑term investments as “Level 1” fair value assets. Mortgage Loans Held for Sale at Fair Value Management has elected to account for mortgage loans held for sale at fair value, with changes in fair value recognized in current period income, to more timely reflect the Company’s performance. All changes in fair value, including changes arising from the passage of time, are recognized as a component of Net gains on mortgage loans held for sale at fair value . The Company classifies most of the mortgage loans held for sale at fair value as “Level 2” fair value assets. Certain of the Company’s mortgage loans held for sale may not be readily saleable due to identified defects or delinquency. Such mortgage loans are classified as “Level 3” fair value assets. Sale Recognition The Company recognizes transfers of mortgage loans as sales when it surrenders control over the mortgage loans. Control over transferred mortgage loans is deemed to be surrendered when (i) the mortgage loans have been isolated from the Company, (ii) the transferee has the right (free of conditions that constrain it from taking advantage of that right) to pledge or exchange the transferred mortgage loans, and (iii) the Company does not maintain effective control over the transferred mortgage loans through either (a) an agreement that entitles and obligates the Company to repurchase or redeem them before their maturity or (b) the ability to unilaterally cause the holder to return the specific mortgage loans. Interest Income Recognition Interest income on mortgage loans held for sale at fair value is recognized over the life of the mortgage loans using their contractual interest rates. Income recognition is suspended and the unpaid interest receivable is reversed against interest income when mortgage loans become 90 days delinquent, or when, in management’s opinion, a full recovery of interest and principal becomes doubtful. Income recognition is resumed when the mortgage loan becomes contractually current. Derivative Financial Instruments The Company holds and issues derivative financial instruments in connection with its operating activities. Derivative financial instruments are created as a result of certain of the Company’s operations and the Company also enters into derivative transactions as part of its interest rate risk management activities. Derivative financial instruments created as a result of the Company’s operations include: · Interest rate lock commitments (“IRLCs”) that are created when the Company commits to purchase or originate a mortgage loan acquired for sale at specified interest rates. · Derivatives that are embedded in a master repurchase agreement with a non-affiliate that provides for the Company to receive incentives for financing mortgage loans that satisfy certain consumer relief characteristics as provided in the master repurchase agreement. The Company is exposed to price risk relative to its mortgage loans held for sale as well as to IRLCs. The Company bears price risk from the time a commitment to fund a mortgage loan is made to a borrower or to purchase a mortgage loan from PMT, to the time the mortgage loan is sold. During this period, the Company is exposed to losses if mortgage market interest rates increase, because the fair value of the purchase commitment or prospective mortgage loan decreases. The Company also is exposed to risk relative to the fair value of its mortgage servicing rights (“MSRs”) when interest rates decrease. The Company engages in interest rate risk management activities in an effort to reduce the variability of earnings caused by changes in market interest rates. To manage this fair value risk resulting from interest rate risk, the Company uses derivative financial instruments acquired with the intention of reducing the risk that changes in market interest rates will result in unfavorable changes in the fair value of the Company’s IRLCs, inventory of mortgage loans held for sale and MSRs. IRLCs are accounted for as derivative financial instruments. The Company manages the risk created by IRLCs relating to mortgage loans held for sale by entering into forward sale agreements to sell the mortgage loans and by the purchase and sale of mortgage‑backed securities (“MBS”) options and futures. Such agreements are also accounted for as derivative financial instruments. These instruments and other interest-rate derivatives are also used to manage the risk created by changes in prepayment speeds on certain of the MSRs the Company holds. The Company classifies its IRLCs as “Level 3” fair value assets and liabilities and the derivative financial instruments it acquires to manage the risks created by IRLCs, mortgage loans held for sale and MSRs as “Level 1” or “Level 2” fair value assets and liabilities. The Company accounts for its derivative financial instruments as free‑standing derivatives. The Company does not designate its derivative financial instruments for hedge accounting. All derivative financial instruments are recognized on the consolidated balance sheet at fair value with changes in the fair values being reported in current period income. Changes in fair value of derivative financial instruments hedging IRLCs, mortgage loans held for sale at fair value and MSRs are included in Net gains on mortgage loans held for sale at fair value or in Amortization, impairment and change in fair value of mortgage servicing rights and mortgage servicing liabilities, as applicable, in the Company’s consolidated statements of income. Changes in fair value of derivative assets relating to a master repurchase agreement are included in Interest expense . When the Company has multiple derivative financial instruments with the same counterparty subject to a master netting arrangement, it offsets the amounts recorded as assets and liabilities and amounts recognized for the right to reclaim cash collateral it has deposited with the counterparty or the obligation to return cash collateral it has collected from the counterparty arising from that master netting arrangement. Such offset amounts are presented as either a net asset or liability by counterparty on the Company’s consolidated balance sheets. Servicing Advances Servicing advances represent advances made on behalf of borrowers and the mortgage loans’ investors to fund property taxes, insurance premiums and out-of-pocket collection costs (e.g., preservation and restoration of mortgaged or real estate owned property, legal fees, and appraisals). Servicing advances are made in accordance with the Company’s servicing agreements and, when made, are deemed recoverable. The Company periodically reviews servicing advances for collectability and provides a valuation allowance for amounts estimated to be uncollectable. Servicing advances are written off when they are deemed uncollectable. Carried Interest Due from Investment Funds Carried Interest, in general terms, is the share of any profits in excess of specified levels that the general partners receive as compensation. The Company has a general partnership interest or other Carried Interest arrangement with the Investment Funds, and earns Carried Interest thereunder. The amount of Carried Interest to be recorded each period is based on the cash flows that would be realized by all partners assuming liquidation of the Investment Funds’ remaining investments as of the measurement date. The Company receives Carried Interest in the priority of distribution as provided in the charter documents relating to the respective Investment Funds. Investment in PennyMac Mortgage Investment Trust at Fair Value Common shares of beneficial interest in PMT are carried at their fair value with changes in fair value recognized in current period income. Fair value for purposes of the Company’s holdings in PMT is based on the published closing price of the shares as of period end. The Company classifies its investment in common shares of PMT as a “Level 1” fair value asset. Mortgage Servicing Rights and Mortgage Servicing Liabilities MSRs and mortgage servicing liabilities (“MSLs”) arise from contractual agreements between the Company and investors (or their agents) in mortgage securities and mortgage loans. Under these contracts, the Company performs mortgage loan servicing functions in exchange for fees and other remuneration. The servicing functions typically performed include, among other responsibilities, collecting and remitting loan payments; responding to borrower inquiries; accounting for principal and interest; holding custodial (impound) funds for payment of property taxes and insurance premiums; counseling delinquent mortgagors; supervising the acquisition of real estate in settlement of loans (“REO”) and property disposition. REO represents real estate that collateralized the mortgage loans before the properties were acquired in settlement of loans. The fair value of MSRs and MSLs is derived from the net positive or negative, respectively, cash flows associated with the servicing contracts. The Company receives a servicing fee ranging generally from 0.19% to 0.57% annually, net of related guarantee fees, on the remaining outstanding principal balances of the mortgage loans subject to the servicing contracts. The servicing fees are collected from the monthly payments made by the mortgagors. The Company is contractually entitled to receive other remuneration including rights to various mortgagor‑contracted fees such as late charges and collateral reconveyance charges, and the Company is generally entitled to retain the interest earned on funds held pending remittance related to its collection of mortgagor payments. The Company also generally has the right to solicit the mortgagors for other products and services as well as for new mortgages for those considering refinancing or purchasing a new home. The Company recognizes MSRs and MSLs initially at fair value, either as proceeds from or liabilities incurred in, sales of mortgage loans where the Company assumes the obligation to service the mortgage loan in the sale transaction, or from the purchase of MSRs or receipt of cash for acceptance of MSLs. The Company’s subsequent accounting for MSRs and MSLs is based on the class of MSR or MSL. The Company has identified three classes of MSRs: originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5%; MSRs backed by mortgage loans with initial interest rates of more than 4.5%; and purchased MSRs financed in part through the transfer of the right to receive excess servicing spread (“ESS”) cash flows. 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. Originated MSRs backed by loans with initial interest rates of more than 4.5% and purchased MSRs financed in part by ESS are accounted for at fair value with changes in fair value recorded in current period income. MSLs are carried at fair value with changes in fair value recorded in current period income. The fair value of MSRs and MSLs is difficult to determine because MSRs and MSLs are not actively traded in observable stand‑alone markets. Considerable judgment is required to estimate the fair values of MSRs and MSLs and the exercise of such judgment can significantly affect the Company’s income. Therefore, the Company classifies its MSRs and MSLs as “Level 3” fair value assets and liabilities. MSRs and MSLs are generally subject to reduction in fair value when mortgage interest rates decrease. Decreasing mortgage interest rates normally encourage increased mortgage refinancing activity. Increased refinancing activity reduces the expected life of the mortgage loans underlying the MSRs and MSLs, thereby reducing their fair value. Reductions in the fair value of MSRs and MSLs affect earnings primarily through change in fair value and impairment charges. For MSRs backed by mortgage loans with historically low mortgage interest rates, factors other than interest rates (such as housing price changes) take on increasing influence on prepayment behavior of the underlying mortgage loans. MSRs Accounted for Using the Amortization Method The Company amortizes MSRs that are accounted for using the amortization method. MSR amortization is determined by applying the ratio of the net MSR cash flows projected for the current period to the estimated total remaining projected net MSR cash flows. The estimated total net MSR cash flows are determined at the beginning of each month using prepayment inputs applicable at that time. MSRs accounted for using the amortization method are periodically evaluated for impairment. Impairment occurs when the current fair value of the MSRs decreases below the asset’s amortized cost. If MSRs are impaired, the impairment is recognized in current‑period income and the carrying value (carrying value is the MSR’s amortized cost reduced by any related valuation allowance) of the MSRs is adjusted through a valuation allowance. If the fair value of impaired MSRs subsequently increases, the increase in fair value is recognized in current‑period income. When an increase in fair value of MSR is recognized, the valuation allowance is adjusted to increase the carrying value of the MSRs only to the extent of the valuation allowance. For impairment evaluation purposes, the Company stratifies its MSRs by predominant risk characteristic when evaluating for impairment. For purposes of performing its MSR impairment evaluation, the Company stratifies its servicing portfolio on the basis of certain risk characteristics including mortgage loan type (fixed‑rate or adjustable‑rate) and note interest rate. Fixed‑rate mortgage loans are stratified into note rate pools of 50 basis points for note rates between 3.0% and 4.5% and a single pool for note rates of less than or equal to 3.0%. If the fair value of MSRs in any of the note interest rate pools is below the carrying value of the MSRs for that pool, impairment is recognized to the extent of the difference between the estimated fair value and the carrying value of that pool. Management periodically reviews the various impairment strata to determine whether the fair value of the impaired MSRs in a given stratum is likely to recover. When management deems recovery of the fair value to be unlikely in the foreseeable future, a write‑down of the cost of the MSRs for that stratum to its estimated recoverable value is charged to the valuation allowance. Both amortization and changes in the amount of the MSR valuation allowance are recorded in current period income in Amortization, impairment and change in fair value of mortgage servicing rights and mortgage servicing liabilities in the consolidated statements of income. MSRs and MSLs Accounted for at Fair Value Changes in fair value of MSLs and MSRs accounted for at fair value are recognized in current period income in Amortization, impairment and change in fair value of mortgage servicing rights in the consolidated statements of income. Furniture, Fixtures, Equipment and Building Improvements Furniture, fixtures, equipment and building improvements are stated at historical cost less accumulated depreciation and amortization. Depreciation and amortization are computed using the straight‑line method over the estimated useful lives of the various classes of assets, which range from five to seven years for furniture and equipment and the lesser of the asset’s estimated useful life or the remaining lease term for fixtures and building improvements. Capitalized Software The Company capitalizes certain consulting, payroll, and payroll‑related costs related to computer software developed for internal use. Once development is complete and the software is placed in service, the Company amortizes the capitalized costs over five to seven years using the straight‑line method. The Company also periodically assesses capitalized software for recoverability when events or changes in circumstances indicate that their carrying amount may not be recoverable. If management identifies an indicator of impairment, it assesses recoverability by comparing the carrying amount of the asset to the sum of the undiscounted cash flows expected to result from the use and the eventual disposal of the asset. An impairment loss is recognized when the carrying amount is not recoverable and is measured as the excess of carrying value over fair value. Mortgage Loans Eligible for Repurchase The terms of the Ginnie Mae MBS program allow, but do not require, the Company to repurchase mortgage loans when the borrower has made no payments for three consecutive months. As a result of this right, the Company recognizes the mortgage loans in Mortgage loans eligible for repurchase at their unpaid principal balances and records a corresponding liability in Liability for mortgage loans eligible for repurchase on its consolidated balance sheets. Borrowings The carrying value of borrowings other than ESS are based on the accrued cost of the agreements. The costs of creating the facilities underlying the agreements are included in the carrying value of the agreements and are amortized to Interest expense over the terms of the respective borrowing facilities: · Debt issuance costs relating to revolving facilities, such as repurchase agreement and mortgage loan participation purchase and sale facilities are amortized on the straight line basis over the term of the facility; · Debt issuance cost relating to non-revolving debts, such as Notes payable are amortized using the interest method; · Premiums recorded as the results of recognition of repurchase agreement derivatives are amortized to Interest expense over the contractual term of the repurchase agreement. Unamortized premiums relating to repurchase agreements repaid before the transaction’s contractual maturity are credited to Interest expense . Excess Servicing Spread Financing at Fair Value The Company finances certain of its purchases of Agency MSRs through the sale to PMT of the right to receive the excess of the servicing fee rate over a specified rate of the underlying MSRs. This excess is referred to as the ESS. ESS is carried at its fair value. Changes in fair value are recognized in current period income in Change in fair value of excess servicing spread payable to PennyMac Mortgage Investment Trust . Interest expense for ESS is accrued using the interest method based upon the expected cash flows from the ESS through the expected life of the underlying mortgage loans. Liability for Losses Under Representations and Warranties The Company provides for its estimate of the losses that it expects to incur in the future as a result of its breach of the representations and warranties that it provides to the purchasers and insurers of the mortgage loans it has sold. The Company’s agreements with the Agencies and other investors include representations and warranties related to the mortgage loans the Company sells to the Agencies and other investors. The representations and warranties require adherence to Agency and other investor origination and underwriting guidelines, including but not limited to the validity of the lien securing the mortgage loan, property eligibility, borrower credit, income and asset requirements, and compliance with applicable federal, state and local law. In the event of a breach of its representations and warranties, the Company may be required to either repurchase the mortgage loans with the identified defects or indemnify the investor or insurer. In such cases, the Company bears any subsequent credit loss on the mortgage loans. The Company’s credit loss may be reduced by any recourse it may realize from correspondent mortgage loan sellers that, in turn, had sold such mortgage loans to PMT and breached similar or other representations and warranties. In such event, the Company has the right to seek a recovery of related repurchase losses from that correspondent mortgage loan sellers, through PMT. The Company records a provision for losses relating to representations and warranties as part of its mortgage loan sale transactions. The method used to estimate the liability for representations and warranties is a function of the representations and warranties given and considers a combination of factors, including, but not limited to, estimated future defaults and mortgage loan repurchase rates, the estimated severity of loss in the event of default and the probability of reimbursement by the correspondent mortgage loan seller. The Company establishes a liability at the time mortgage loans are sold and periodically updates its liability estimate. The level of the liability for representations and warranties is reviewed and approved by the Company’s management credit committee. The level of the liability for representations and warranties is difficult to estimate and requires considerable management judgment. The level of mortgage loan repurchase losses is dependent on economic factors, investor repurchase demand or insurer claim denial strategies, and other external conditions that may change over the lives of the underlying mortgage loans. The Company’s representations and warranties are generally not subject to stated limits of exposure. However, the Company believes that the current unpaid principal balance of mortgage loans sold to date represents the maximum exposure to repurchases related to representations and warranties. Fulfillment Fees Fulfillment fees represent fees the Company collects for services it performs on behalf of PMT in connection with the acquisition, packaging and sale of mortgage loans. Fulfillment fee amounts are based upon a negotiated fee schedule and the unpaid principal balance of the mortgage loans purchased by PMT. The Company’s obligation under the agreement is fulfilled when PMT completes the sale or securitization of a mortgage loan it purchases. Fulfillment fees are generally collected within 30 days of purchase by PMT, although a portion of the fulfillment fees may not be collected until 30 days following sale or securitization to the extent such sale or securitization does not occur in the month of purchase. Fulfillment fee revenue is recognized in the month the fee is earned. Mortgage Loan Servicing Fees Mortgage loan servicing fees are received by the Company for servicing residential mortgage loans. Mortgage loan servicing activities include loan administration, collection, and default management, including the collection and remittance of loan payments; response to customer inquiries; accounting for principal and interest; holding custodial (impounded) funds for the payment of property taxes and insurance premiums; counseling delinquent mortgagors; and supervising foreclosures and REO property dispositions. Mortgage loan servicing fee amounts are based upon fee schedules established by the applicable investor and on the unpaid principal balance of the mortgage loans serviced in the case of prime mortgage loans or the applicable mortgage loan’s collection status in the case of special servicing. The Company’s obligations under its mortgage loan servicing agreements are fulfilled as the Company services the mortgage loans and are collected when the mortgage loan payments are received from the borrowers in the case of prime mortgage loan servicing or within 30 days of the applicable month-end from the investor for special servicing. Prime mortgage loan servicing fees are recorded net of Agency guarantee fees paid by the Company and are recognized when the mortgage loan payments are received from the borrowers. Mortgage loan servicing fees relating to special servicing are recognized in the month in which the mortgage loans are serviced. Management fees Management fees represent compensation to the Company for its management services provided to the Advised Entities. Management fees are earned based on the Investment Funds’ net assets and PMT’s shareholders’ equity amounts and profitability in excess of specified thresholds, and are recognized as services are provided and are paid to the Company on a quarterly basis within 30 days of the end of the quarter. Stock‑Based Compensation The Company’s 2013 Equity Incentive Plan provides for awards of nonstatutory and incentive stock options, time‑based restricted stock units, performance‑based restricted stock units, stock appreciation rights, performance units and stock grants. The Company establishes the cost of its share-based awards at the awards’ fair values at the grant date of the awards. The Company estimates the fair value of time‑based restricted stock units and performance‑based restricted stock units awarded with reference to the fair value of its underlying common stock and expected forfeiture rates on the date of the award. The Company estimates the fair value of its stock option awards with reference to the expected price volatility of its shares of common stock and risk-free interest rate for the period that exercisable stock options are expected to be outstanding. Compensation costs are fixed, except for performance‑based restricted stock units, as of the award date as all grantees are employees of PennyMac or directors of the Company. The cost of performance‑based restricted stock units is adjusted in each reporting period after the grant for changes in expected performance attainment until the performance share units vest. The Company amortizes the cost of stock based awards to compensation expense over the vesting period using the graded vesting method. Expense relating to awards is included in Compensation expense in the consolidated statements of income. Income Taxes The Company is subject to federal and state income taxes. Income taxes are provided using the asset and liability method. Deferred tax assets and liabilities are recognized for the future tax consequences attributable to differences between financial statement carrying amounts of existing assets and liabilities and their respective tax bases. Deferred tax assets and liabilities are measured using the enacted tax rates expected to apply to taxable income in the years in which those temporary differences are expected to be recovered or settled. The effect on deferred taxes of a change in tax rates is recognized in income in the period in which the change occurs. A valuation allowance is established if, in management’s judgment, it is not more likely than not that a deferred tax asset will be realized. The Company recognizes tax benefits relating to its tax positions only if, in the opinion of management, it is more likely than not that the tax position will be sustained upon examination by the appropriate taxing authority. A tax position that meets this standard is recognized as the largest amount that is greater than 50% likely to be realized upon ultimate settlement with the appropriate taxing authority. The Company will classify any penalties and interest as a component of provision for income taxes. As a result of the PennyMac recapitalization and reorganization in 2013, the Company expects to benefit from amortization and other tax deductions due to increases in the tax basis of PennyMac’s assets from the exchange of PennyMac Class A units to the shares of the Company’s common stock. Those deductions will be allocated to the Company and will be taken into account in reporting the Company’s taxable income. The Company has entered into an agreement with the unitholders of PennyMac that will provide for the additional payment by the Company to exchanging unitholders of PennyMac equal to 85% of the amount of cash savings, if any, in U.S. federal, state and local income tax that PFSI realizes due to (i) increases in tax basis resulting from exchanges of the then‑existing unitholders and (ii) certain other tax benefits related to PFSI entering into the tax receivable agreement, including tax benefits attributable to payments under the tax receivable agreement. |
Transactions with Affiliates
Transactions with Affiliates | 12 Months Ended |
Dec. 31, 2017 | |
Transactions with Affiliates | |
Transactions with Affiliates | Note 4—Transactions with Affiliates Transactions with PMT Operating Activities Mortgage Loan Production Activities and MSR Recapture The Company provides fulfillment and other services to PMT under a mortgage banking services agreement for which it receives a fulfillment fee. Before September 12, 2016, the fulfillment fee was 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. Pursuant to the terms of an amended and restated mortgage banking services agreement, the monthly fulfillment fee is an amount that shall equal (a) no greater than the product of (i) 0.35% and (ii) the aggregate initial unpaid principal balance (the “Initial UPB”) of all mortgage loans purchased in such month, plus (b) in the case of all mortgage loans other than mortgage loans sold to or securitized through Fannie Mae or Freddie Mac, no greater than the product of (i) 0.50% and (ii) the aggregate Initial UPB of all such mortgage loans sold and securitized in such month; provided, however, that no fulfillment fee 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 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. Beginning in the quarter ended September 30, 2017, the Company also sells non-government insured or guaranteed mortgage loans 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 cash in an amount equal to 30% of the fair market value of the MSRs related to all the mortgage loans so originated. 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 loan production activities and MSR recapture between the Company and PMT: Year ended December 31, 2017 2016 2015 (in thousands) Net gain (loss) on mortgage loans held for sale at fair value: Net gain on mortgage loans held for sale to PMT $ 28,238 $ — $ — Mortgage servicing rights and excess servicing spread recapture incurred (6,249) (8,092) (7,836) $ 21,989 $ (8,092) $ (7,836) Fair value of mortgage loans sold to PMT 904,097 21,541 28,445 Fulfillment fee revenue $ 80,359 $ 86,465 $ 58,607 Unpaid principal balance of mortgage loans fulfilled for PMT $ 22,971,119 $ 23,188,386 $ 14,014,603 Sourcing fees paid to PMT $ 12,084 $ 11,976 $ 8,966 Unpaid principal balance of mortgage loans purchased from PMT $ 40,561,241 $ 39,908,163 $ 29,867,580 Tax service fees received from PMT included in Mortgage loan origination fees $ 7,078 $ 6,690 $ 4,390 Property management fees received from PMT included in Other income $ 350 $ $ 14 Early purchase program fees earned from PMT included in Mortgage loan servicing fees $ 7 $ 30 $ — 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 REO. The Company also remains entitled to customary ancillary income and market-based fees and charges relating to mortgage loans it services for PMT. These include boarding and deboarding fees, liquidation and disposition fees, assumption, modification and origination fees and a percentage of late charges. · The base servicing fee rates for distressed whole mortgage loans range from $30 per month for current loans 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. · 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 an 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. · Because PMT has a small number of employees and limited infrastructure, the Company is required to provide a range of services and activities significantly greater in scope than the services provided in connection with a customary servicing arrangement. For these services, the Company receives a supplemental servicing fee of $25 per month for each distressed 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. · 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 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. · 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 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: Year ended December 31, 2017 2016 2015 (in thousands) Mortgage loans acquired for sale at fair value: Base and supplemental $ 305 $ 330 $ 260 Activity-based 649 733 371 954 1,063 631 Mortgage loans at fair value: Base and supplemental 6,650 11,078 16,123 Activity-based 8,960 18,521 12,437 15,610 29,599 28,560 Mortgage servicing rights: Base and supplemental 25,991 19,461 16,911 Activity-based 509 492 321 26,500 19,953 17,232 $ 43,064 $ 50,615 $ 46,423 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 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: Year ended December 31, 2017 2016 2015 (in thousands) Base management $ 22,280 $ 20,657 $ 22,851 Performance incentive 304 — 1,343 $ 22,584 $ 20,657 $ 24,194 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: Year ended December 31, 2017 2016 2015 (in thousands) Reimbursement of: Common overhead incurred by the Company $ 5,306 $ 7,898 $ 10,742 Expenses incurred on PMT's (the Company's) behalf, net 2,257 (163) 582 $ 7,563 $ 7,735 $ 11,324 Payments and settlements during the period (1) $ 64,945 $ 143,542 $ 99,967 (1) Payments and settlements include payments for management fees and correspondent production activities itemized in the preceding tables and netting settlements made pursuant to master netting agreements between the Company and PMT. Conditional Reimbursement of Underwriting Fees In connection with its initial public offering of common shares of beneficial interest on August 4, 2009 (“IPO”), PMT conditionally agreed to reimburse the Company up to $2.9 million for underwriting fees paid to the IPO underwriters by the Company on PMT’s behalf. In the event a termination fee is payable to the Company under the Management Agreement, and the Company has not received the full amount of the reimbursements and payments under the reimbursement agreement, such amount will be paid in full. The term of the reimbursement agreement expires on February 1, 2019. The Company received $30,000, $0 and $237,000 in reimbursement from PMT during the years ended December 31, 2017, 2016 and 2015, respectively. Investing Activities Master Repurchase Agreement On December 19, 2016, the Company, through PLS, entered into a master repurchase agreement with one of PMT’s wholly-owned subsidiaries, PennyMac Holdings, LLC (“PMH”) (the “PMH Repurchase Agreement”), pursuant to which PMH may borrow from the Company for the purpose of financing PMH’s participation certificates representing beneficial ownership in ESS. PLS then re-pledges such participation certificates to PNMAC GMSR ISSUER TRUST (the “Issuer Trust”) under a master repurchase agreement by and among PLS, the Issuer Trust and PennyMac, as guarantor (the “PC Repurchase Agreement”). The Issuer Trust was formed for the purpose of allowing PLS to finance MSRs and ESS relating to such MSRs (the “GNMA MSR Facility”). In connection with the GNMA MSR Facility, PLS pledges and/or sells to the Issuer Trust participation certificates representing beneficial interests in MSRs and ESS pursuant to the terms of the PC Repurchase Agreement. In return, the Issuer Trust (a) has issued to PLS, pursuant to the terms of an indenture, the Series 2016-MSRVF1 Variable Funding Note, dated December 19, 2016, known as the “PNMAC GMSR ISSUER TRUST MSR Collateralized Notes, Series 2016-MSRVF1” (the “VFN”), and (b) has issued and may, from time to time pursuant to the terms of any supplemental indenture, issue to institutional investors additional term notes (“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: Year ended December 31, 2017 2016 2015 (in thousands) Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell: Activity during the year: Refinancing of note receivable from PennyMac Mortgage Investment Trust $ — $ 150,000 $ — Sale of assets purchased from PMT under agreement to resell $ 5,872 $ — $ — Interest income $ 8,038 $ 253 $ — Balance at end of year $ 144,128 $ 150,000 $ — Note receivable from PennyMac Mortgage Investment Trust: Activity during the year: Advances to PennyMac Mortgage Investment Trust $ — $ — $ 168,546 Repayments and refinancing with repurchase agreement from PennyMac Mortgage Investment Trust $ — $ 150,000 $ 18,546 Interest income $ — $ 7,577 $ 3,343 Balance at end of year $ — $ — $ 150,000 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Activity during the year: Dividends earned from PennyMac Mortgage Investment Trust $ 141 $ 141 $ 207 Change in fair value of investment in common shares of PennyMac Mortgage Investment Trust (23) 83 (437) $ 118 $ 224 $ (230) Balance at end of year: Fair value $ 1,205 $ 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: Year ended December 31, 2017 2016 2015 (in thousands) Excess servicing spread financing: Issuance: Cash $ — $ — $ 271,554 Pursuant to recapture agreement $ 5,244 $ 6,603 $ 6,728 Repayment $ 54,980 $ 69,992 $ 78,578 Settlement $ — $ 59,045 $ — Change in fair value $ (19,350) $ (23,923) $ (3,810) Interest expense $ 16,951 $ 22,601 $ 25,365 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 $ 4,820 $ 6,529 $ 7,049 Balance at end of year $ 236,534 $ 288,669 Receivable from and Payable to PMT Amounts due from and payable to PMT are summarized below: December 31, 2017 2016 (in thousands) Receivable from PMT: Allocated expenses and expenses incurred on PMT's behalf $ 11,542 $ 1,046 Servicing fees 6,583 5,465 Management fees 5,901 5,081 Correspondent production fees 1,735 2,371 Conditional Reimbursement 870 900 Fulfillment fees 346 1,300 Interest on assets purchased under agreements to resell 142 253 $ 27,119 $ 16,416 Payable to PMT: Deposits made by PMT to fund servicing advances $ 132,844 $ 162,945 Mortgage servicing rights recapture payable 282 707 Other 3,872 6,384 $ 136,998 $ 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 Investment Fund 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. In 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 discontinued. 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 terms of the Investment Funds currently run 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: December 31, 2017 2016 (in thousands) Carried Interest due from Investment Funds: PNMAC Mortgage Opportunity Fund, LLC $ 6,389 $ 42,427 PNMAC Mortgage Opportunity Fund Investors, LLC 2,163 28,479 $ 8,552 $ 70,906 Receivable from Investment Funds: Mortgage loan servicing fee rebate deposit $ 300 $ 250 Management fees 88 500 Expense reimbursements 27 238 Mortgage loan servicing fees 2 231 $ 417 $ 1,219 Payable to Investment Funds: Deposits received to fund servicing advances $ 2,329 $ 20,221 Other 98 172 $ 2,427 $ 20,393 Exchanged Private National Mortgage Acceptance Company, LLC Unitholders The Company entered into a tax receivable agreement with unitholders of PennyMac other than the Company on the date of the IPO that provides for the payment from time to time by the Company to PennyMac’s exchanged unitholders an amount equal to 85% of the amount of the net tax benefits, if any, that the Company is deemed to realize as a result of (i) increases in tax basis of PennyMac’s assets resulting from such unitholders’ exchanges and (ii) certain other tax benefits related to entering into the tax receivable agreement, including tax benefits attributable to payments under the tax receivable agreement. The enactment of the Tax Act on December 22, 2017 reduced the federal corporate tax rate to 21% from the previous maximu |
Loan Sales and Servicing Activi
Loan Sales and Servicing Activities | 12 Months Ended |
Dec. 31, 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 in the form of servicing arrangements and the liability under representations and warranties it makes to purchasers and insurers of the mortgage loans. The following table summarizes cash flows between the Company and transferees as a result of the sale of mortgage loans in transactions where the Company maintains continuing involvement as servicer with the mortgage loans: Year ended December 31, 2017 2016 2015 (in thousands) Cash flows: Sales proceeds $ 50,235,245 $ 49,633,909 $ 36,679,638 Servicing fees received (1) $ 376,160 $ 261,163 $ 140,767 Net servicing advances $ 52,353 $ 8,274 $ 9,842 (1) Net of guarantees paid to the Agencies The following table summarizes the UPB of the mortgage loans sold by the Company in which it maintains continuing involvement: December 31, 2017 2016 (in thousands) Unpaid principal balance of mortgage loans outstanding $ 120,853,138 $ 89,516,155 Delinquencies: 30-89 days $ 5,097,688 $ 2,545,970 90 days or more: Not in foreclosure $ 2,303,114 $ 735,263 In foreclosure $ 606,744 $ 137,856 Foreclosed $ 30,310 $ 2,552 Bankruptcy $ 657,368 $ 256,471 The following tables summarize the UPB of the Company’s mortgage loan servicing portfolio: December 31, 2017 Contract Total Servicing servicing and mortgage rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 120,853,138 $ — $ 120,853,138 Purchased 47,016,708 — 47,016,708 167,869,846 — 167,869,846 Advised Entities — 74,980,268 74,980,268 Mortgage loans held for sale 2,998,377 — 2,998,377 $ 170,868,223 $ 74,980,268 $ 245,848,491 Delinquent mortgage loans: 30 days $ 5,326,710 $ 515,922 $ 5,842,632 60 days 1,935,216 215,957 2,151,173 90 days or more: Not in foreclosure 3,690,159 541,945 4,232,104 In foreclosure 916,614 293,835 1,210,449 Foreclosed 41,244 278,890 320,134 $ 11,909,943 $ 1,846,549 $ 13,756,492 Bankruptcy $ 1,046,969 $ 176,324 $ 1,223,293 Custodial funds managed by the Company (1) $ 3,267,279 $ 901,041 $ 4,168,320 (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 is 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 Advised 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 is included in Interest income in the Company’s consolidated statements of income. Following is a summary of the geographical distribution of mortgage loans included in the Company’s servicing portfolio for the top five and all other states as measured by UPB: December 31, December 31, State 2017 2016 (in thousands) California $ 45,621,369 $ 42,303,952 Texas 19,741,970 16,037,426 Florida 17,490,194 12,817,627 Virginia 16,210,673 13,143,510 Maryland 11,350,939 8,564,923 All other states 135,433,346 101,372,564 $ 245,848,491 $ 194,240,002 |
Fair Value
Fair Value | 12 Months Ended |
Dec. 31, 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. 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 , its originated MSRs relating to loans with initial interest rates of more than 4.5%, its purchased MSRs and its 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: December 31, 2017 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 170,080 $ — $ — $ 170,080 Mortgage loans held for sale at fair value — 2,316,892 782,211 3,099,103 Derivative assets: Interest rate lock commitments — — 60,012 60,012 Repurchase agreement derivatives — — 10,656 10,656 Forward purchase contracts — 4,288 — 4,288 Forward sales contracts — 2,101 — 2,101 MBS put options — 3,481 — 3,481 Put options on interest rate futures purchase contracts 3,570 — — 3,570 Call options on interest rate futures purchase contracts 938 — — 938 Total derivative assets before netting 4,508 9,870 70,668 85,046 Netting — — — (6,867) Total derivative assets 4,508 9,870 70,668 78,179 Investment in PennyMac Mortgage Investment Trust 1,205 — — 1,205 Mortgage servicing rights at fair value — — 638,010 638,010 $ 175,793 $ 2,326,762 $ 1,490,889 $ 3,986,577 Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ — $ 236,534 $ 236,534 Derivative liabilities: Interest rate lock commitments — — 1,740 1,740 Forward purchase contracts — 1,272 — 1,272 Forward sales contracts — 7,031 — 7,031 Total derivative liabilities before netting — 8,303 1,740 10,043 Netting — — — (4,247) Total derivative liabilities — 8,303 1,740 5,796 Mortgage servicing liabilities at fair value — — 14,120 14,120 $ — $ 8,303 $ 252,394 $ 256,450 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, certain of the Company’s mortgage loans held for sale, IRLCs, repurchase agreement derivatives, MSRs at fair value, ESS financing at fair value and MSLs are measured using Level 3 fair value inputs. Following are roll forwards of these items for each of the three years ended December 31, 2017 where Level 3 fair value inputs were used: Year ended December 31, 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 2,928,249 302,389 10,986 183,850 3,425,474 Sales and repayments (1,339,580) — — — (1,339,580) Mortgage servicing rights resulting from mortgage loan sales — — — 24,471 24,471 Changes in fair value included in income arising from: — Changes in instrument-specific credit risk (1,794) — — — (1,794) Other factors — 115,434 (330) (86,236) 28,868 (1,794) 115,434 (330) (86,236) 27,404 Transfers from Level 3 to Level 2 (851,935) — — — (851,935) Transfers of interest rate lock commitments to mortgage loans held for sale — (418,942) — — (418,942) Balance, December 31, 2017 $ 782,211 $ 58,272 $ 10,656 $ 638,010 $ 1,489,149 Changes in fair value recognized during the year relating to assets still held at December 31, 2017 $ (556) $ 58,272 $ (330) $ (86,236) $ (28,850) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Year ended December 31, 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 5,244 — 5,244 Accrual of interest 16,951 — 16,951 Repayments (54,980) — (54,980) Mortgage servicing liabilities resulting from mortgage loan sales — 17,229 17,229 Changes in fair value included in income (19,350) (18,301) (37,651) Balance, December 31, 2017 $ 236,534 $ 14,120 $ 250,654 Changes in fair value recognized during the year relating to liabilities still outstanding at December 31, 2017 $ (19,350) $ (18,301) $ (37,651) Year ended December 31, 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 1,608,627 — 146 1,608,773 Sales and repayments (1,202,621) — — (1,202,621) Interest rate lock commitments issued, net — 429,598 — 429,598 Mortgage servicing rights resulting from mortgage loan sales — — 17,319 17,319 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 3,469 — — 3,469 Other factors — 143,867 (161,787) (17,920) 3,469 143,867 (161,787) (14,451) Transfers from Level 3 to Level 2 (410,735) — — (410,735) Transfers of interest rate lock commitments to mortgage loans held for sale — (557,847) — (557,847) Balance, December 31, 2016 $ 47,271 $ 59,391 $ 515,925 $ 622,587 Changes in fair value recognized during the year relating to assets still held at December 31, 2016 $ 936 $ 59,391 $ (161,787) $ (101,460) (1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. Year ended December 31, 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 6,603 — 6,603 Accrual of interest 22,601 — 22,601 Repayments (69,992) — (69,992) Settlement (59,045) — (59,045) Mortgage servicing liabilities resulting from mortgage loan sales — 14,991 14,991 Mortgage servicing liabilities assumed — 10,139 10,139 Changes in fair value included in income (23,923) (11,337) (35,260) Balance, December 31, 2016 $ 288,669 $ 15,192 $ 303,861 Changes in fair value recognized during the year relating to liabilities still outstanding at December 31, 2016 $ (16,713) $ (11,337) $ (28,050) Year ended December 31, 2015 Mortgage Net interest Mortgage loans held rate lock servicing for sale commitments (1) rights Total (in thousands) Assets: Balance December 31, 2014 $ 209,908 $ 32,401 $ 325,383 $ 567,692 Purchases 911,124 — 382,824 1,293,948 Sales and repayments (844,419) — — (844,419) Interest rate lock commitments issued, net — 271,692 — 271,692 Mortgage servicing rights resulting from mortgage loan sales — — 18,013 18,013 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 4,233 — — 4,233 Other factors — 73,068 (65,973) 7,095 4,233 73,068 (65,973) 11,328 Transfers from Level 3 to Level 2 (232,315) — — (232,315) Transfers of interest rate lock commitments to mortgage loans held for sale — (333,388) — (333,388) Balance, December 31, 2015 $ 48,531 $ 43,773 $ 660,247 $ 752,551 Changes in fair value recognized during the year relating to assets still held at December 31, 2015 $ 4,305 $ 43,773 $ (65,973) $ (17,895) (1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. Year ended December 31, 2015 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance December 31, 2014 $ 191,166 $ 6,306 $ 197,472 Issuance of excess servicing spread financing: For cash 271,554 — 271,554 Pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 6,728 — 6,728 Accrual of interest 25,365 — 25,365 Repayments (78,578) — (78,578) Mortgage servicing liabilities resulting from mortgage loan sales — 20,442 20,442 Mortgage servicing liabilities assumed — — — Changes in fair value included in income (3,810) (25,349) (29,159) Balance, December 31, 2015 $ 412,425 $ 1,399 $ 413,824 Changes in fair value recognized during the year relating to liabilities still outstanding at December 31, 2015 $ (3,810) $ (25,349) $ (29,159) The information used in the preceding roll forwards represents activity for any assets and liabilities measured at fair value on a recurring basis and identified as using “Level 3” significant fair value inputs at either the beginning or the end of the years 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: Year ended December 31, 2017 2016 2015 Net gains on Net Net gains on Net Net gains on Net mortgage mortgage mortgage mortgage mortgage mortgage loans held loan loans held loan loans held loan for sale at servicing for sale at servicing for sale at servicing fair value fees Total fair value fees Total fair value fees Total (in thousands) Assets: Mortgage loans held for sale at fair value $ 426,092 $ — $ 426,092 $ 513,331 $ — $ 513,331 $ 372,139 $ — $ 372,139 Mortgage servicing rights at fair value — (86,236) (86,236) — (161,787) (161,787) — (65,973) (65,973) $ 426,092 $ (86,236) $ 339,856 $ 513,331 $ (161,787) $ 351,544 $ 372,139 $ (65,973) $ 306,166 Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ 19,350 $ 19,350 $ — $ 23,923 $ 23,923 $ — $ 3,810 $ 3,810 Mortgage servicing liabilities at fair value — 18,301 18,301 — 11,337 11,337 — 25,349 25,349 $ — $ 37,651 $ 37,651 $ — $ 35,260 $ 35,260 $ — $ 29,159 $ 29,159 Following are the fair value and related principal amounts due upon maturity of assets accounted for under the fair value option: December 31, 2017 Principal amount Fair due upon value maturity Difference (in thousands) Mortgage loans held for sale: Current through 89 days delinquent $ 2,430,517 $ 2,326,772 $ 103,745 90 days or more delinquent: Not in foreclosure 614,329 614,357 (28) In foreclosure 54,257 57,248 (2,991) $ 3,099,103 $ 2,998,377 $ 100,726 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 that are measured at fair value on a nonrecurring basis: December 31, 2017 Level 1 Level 2 Level 3 Total (in thousands) Mortgage servicing rights at lower of amortized cost or fair value $ — $ — $ 1,463,552 $ 1,463,552 Real estate acquired in settlement of loans — — 2,355 2,355 $ — $ — $ 1,465,907 $ 1,465,907 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 values on a nonrecurring basis: Year ended December 31, 2017 2016 2015 (in thousands) Mortgage servicing rights at lower of amortized cost or fair value $ (6,853) $ (60,487) $ (37,437) Real estate acquired in settlement of loans (125) (86) — $ (6,978) $ (60,573) $ (37,437) 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 , and Obligations under capital lease are carried at amortized cost. These assets and liabilities’ fair values 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. Accordingly, the Company has classified these financial instruments as “Level 3” fair value assets and liabilities and has concluded that those assets and 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, 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, 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 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 Company uses a discounted cash flow model to estimate the fair value of its “Level 3” fair value mortgage loans held for sale at fair value. 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: December 31, Key inputs 2017 2016 Discount rate: Range 2.9% – 10.0% 2.6% – 8.8% Weighted average 2.9% 3.0% Twelve-month projected housing price index change: Range 3.1% – 5.6% 2.0% – 4.5% Weighted average 3.6% 3.7% Voluntary prepayment / resale speed (1): Range 0.2% – 72.2% 0.1% – 24.4% Weighted average 44.6% 20.9% Total prepayment speed (2): Range 0.2% – 75.2% 0.1% – 39.8% Weighted average 55.8% 34.3% (1) Voluntary prepayment/resale speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”). (2) Total prepayment speed is measured using Life Total CPR. Changes in fair value attributable to changes in instrument specific credit risk are measured by reference to the change in the respective mortgage loan’s delinquency status and performance history at year end from the later of the beginning of the year 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 the IRLC’s 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 – Amortization, impairment and change in fair value of mortgage servicing rights and mortgage servicing liabilities 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 unobservable inputs used in the valuation of IRLCs: December 31, Key inputs 2017 2016 Pull-through rate: Range 25.0% – 100% 35.0% – 100.0% Weighted average 85.6% 84.9% Mortgage servicing rights value expressed as: Servicing fee multiple: Range 1.4 – 5.8 1.2 – 5.9 Weighted average 4.0 4.3 Percentage of unpaid principal balance: Range 0.3% – 3.0% 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 for financial reporting purposes as embedded derivatives 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 ratio of derivative value to outstanding receivable due to the time value of money and the Company’s expected approval rate of the mortgage loans financed under the master repurchase agreement. The ratio included in the Company’s fair value estimate was 97% at December 31, 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 prepayment rates of the underlying mortgage loans, the applicable pricing spread (discount rate), and the per-loan annual cost to service the respective mortgage loans. Changes in the fair value of MSRs are included in Net mortgage loan 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: Year ended December 31, 2017 2016 2015 Fair Amortized Fair Amortized Fair Amortized value cost value cost value cost (Amount recognized and unpaid principal balance of underlying mortgage loans amounts in thousands) MSR and pool characteristics: Amount recognized $24,471 $556,630 $17,319 $560,212 $18,013 $454,840 Unpaid principal balance of underlying mortgage loans $2,316,539 $44,664,551 $1,452,779 $44,827,516 $1,463,150 $32,849,718 Weighted average servicing fee rate (in basis points) 31 31 33 30 33 34 Key inputs: Pricing spread (1): Range 7.6% – 11.2% 7.6% – 15.2% 7.2% – 10.5% 7.2% – 14.4% 7.0% – 14.4% 6.8% – 16.2% Weighted average 10.5% 10.7% 9.2% 9.5% 9.3% 9.2% Annual total prepayment speed (2): Range 3.9% – 71.8% 3.4% – 47.6% 3.3% – 53.8% 2.8% – 50.9% 1.9% – 62.4% 2.5% – 50.0% Weighted average 12.6% 9.1% 11.8% 9.0% 11.8% 8.9% Life (in years): Range 0.8 – 11.7 1.5 – 12.2 0.5 – 11.9 1.3 – 12.9 1.1 – 12.3 1.3 – 12.0 Weighted average 6.6 8.1 6.8 8.1 6.5 7.2 Per-loan annual cost of servicing: Range $78 – $101 $79 – $101 $68 – $105 $68 – $106 $59 – $101 $59 – $95 Weighted average $89 $89 $88 $89 $77 $78 (1) Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar London Interbank Offered Rate (“LIBOR”) curve for purposes of discounting cash flows relating to MSRs. (2) Prepayment speed is measured using Life Total CPR. Following is a quantitative summary of key inputs used in the valuation and assessment for impairment of the Company’s MSRs at year end and the effect on the fair value from adverse changes in those inputs (weighted averages are based upon UPB): December 31, 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 $638,010 $1,481,578 $515,925 $1,111,747 Unpaid principal balance of underlying mortgage loans $51,883,539 $114,365,698 $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% – 14.1% 7.6% – 14.1% 7.6% – 14.9% 7.6% – 14.9% Weighted average 9.8% 10.3% 10.1% 10.7% Effect on fair value of (2): 5% adverse change ($10,760) ($27,700) ($9,097) ($22,382) 10% adverse change ($21,155) ($54,376) ($17,872) ($43,889) 20% adverse change ($40,916) ($104,869) ($34,516) ($84,464) Prepayment speed (3): Range 7.9% – 46.2% 7.4% – 44.1% 7.0% – 46.7% 6.6% – 43.9% Weighted average 10.5% 9.7% 10.3% 8.7% Average life (in years): Range 1.2 – 7.8 2.0 – 8.3 1.3 – 8.6 1.6 – 9.4 Weighted average 6.6 7.5 6.7 8.1 Effect on fair value of (2): 5% adverse change ($10,809) ($23,544) ($8,818) ($16,636) 10% adverse change ($21,239) ($46,284) ($17,336) ($32,750) 20% adverse change ($41,038) ($89,514) ($33,533) ($63,513) Annual per-loan cost of servicing: Range $78 – $97 $79 – $97 $78 – $101 $79 – $101 Weighted average $89 $89 $92 $92 Effect on fair value of (2): 5% adverse change ($6,247) ($11,216) ($5,612) ($8,890) 10% adverse change ($12,494) ($22,431) ($11,225) ($17,781) 20% adverse change ($24,987) ($44,863) ($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. The preceding sensitivity analyses are limited in that they were performed at a particular point in time; only contemplate the movements in the indicated inputs; do not incorporate changes to other variables; are subject to the accuracy of various models and inputs used; and do not incorporate other factors that would affect the Company’s overall financial performance in such events, including operational adjustments made by management to account for changing circumstances. For these reasons, the preceding estimates should not be viewed as earnings forecasts. Excess Servicing Spread Financing at Fair Value The Company categorizes ESS as a “Level 3” fair value liability. Because the ESS is a claim to a portion of the cash flows from MSRs, the fair value measurement of the ESS is similar to that of MSRs. The Company uses the same discounted cash flow approach to measuring the ESS as used to measure MSRs except that certain inputs relating to the cost to service the mortgage loans underlying the MSR and certain ancillary income are not included as these cash flows do not accrue to the holder of the ESS. The key inputs used in the estimation of ESS fair value include pricing spread (discount rate) and prepayment speed. Significant changes to either of those inputs in isolation could result in a significant change in the fair value of ESS. Changes in these key inputs are not necessarily directly related. ESS is generally subject to fair value increases when mortgage interest rates increase. Increasing mortgage interest rates normally slow mortgage refinancing activity. Decreased refinancing activity increases the life of the mortgage loans underlying the ESS, thereby increasing its fair value. Changes in the fair value of ESS are included in Net mortgage loan servicing fees — Change in fair value of excess servicing spread payable to PennyMac Mortgage Investment. Following are the key inputs used in determining the fair value of ESS financing: December 31, 2017 2016 Carrying value (in thousands) $236,534 $288,669 ESS and pool characteristics: Unpaid principal balance of underlying mortgage loans (in thousands) $27,217,199 $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% – 4.3% 3.8% – 4.8% Weighted average 4.1% 4.4% Annualized prepayment speed (2): Range 8.4% – 41.4% 7.0% – 41.3% Weighted average 10.8% 10.5% Average life (in years): Range 1.4 – 7.7 1.4 – 8.6 Weighted average 6.5 6.8 (1) The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to ESS. (2) Prepayment speed is measured using Life Total CPR. Mortgage Servicing Liabilities MSLs are categorized as “Level 3” fair value liabilities. The Company uses a discounted cash flow approach to estimate the fair value of MSLs. 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 MSLs include the prepayment rates of the underlying mortgage loans, the applicable pricing spread (discount rate), and the per-loan annual cost to service the respective mortgage loans. Changes in the fair value of MSLs are included in Net servicing fees — Amortization, impairment and change in fair value of |
Mortgage Loans Held for Sale at
Mortgage Loans Held for Sale at Fair Value | 12 Months Ended |
Dec. 31, 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: December 31, December 31, 2017 2016 (in thousands) Government-insured or guaranteed $ 2,085,764 $ 1,984,020 Conventional conforming 231,128 141,524 Purchased from Ginnie Mae pools serviced by the Company 777,300 40,437 Repurchased pursuant to representations and warranties 4,911 6,834 $ 3,099,103 $ 2,172,815 Fair value of mortgage loans pledged to secure: Assets sold under agreements to repurchase $ 2,530,299 $ 1,422,255 Mortgage loan participation purchase and sale agreements 551,688 702,919 $ 3,081,987 $ 2,125,174 |
Derivative Activities
Derivative Activities | 12 Months Ended |
Dec. 31, 2017 | |
Derivative Activities | |
Derivative Activities | Note 8—Derivative Activities Derivative Notional Amounts and Fair Value of Derivatives The Company had the following derivative financial instruments recorded on its consolidated balance sheets: December 31, 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 3,654,955 $ 60,012 $ 1,740 4,279,611 $ 65,848 $ 6,457 Repurchase agreement derivatives 10,656 — — — Used for hedging purposes: Forward purchase contracts 4,920,883 4,288 1,272 12,746,191 77,905 16,914 Forward sales contracts 5,204,796 2,101 7,031 16,577,942 28,324 85,035 MBS put options 4,925,000 3,481 — 1,175,000 3,934 — MBS call options — — — 1,600,000 217 — Put options on interest rate futures purchase contracts 2,125,000 3,570 — 1,125,000 3,109 — Call options on interest rate futures purchase contracts 100,000 938 — 900,000 203 — Treasury futures purchase contracts 100,000 — — — — — Interest rate swap futures purchase contracts 1,400,000 — — 200,000 — — Total derivatives before netting 85,046 10,043 179,540 108,406 Netting (6,867) (4,247) (96,635) (86,044) $ 78,179 $ 5,796 $ 82,905 $ 22,362 Deposits placed with derivative counterparties $ 2,620 $ 10,591 The following table summarizes the notional value activity for derivative contracts used in the Company’s hedging activities: Year ended December 31, 2017 Balance Balance beginning of Dispositions/ end of Instrument year Additions expirations year (in thousands) Forward purchase contracts 12,746,191 181,761,564 (189,586,872) 4,920,883 Forward sale contracts 16,577,942 226,000,107 (237,373,253) 5,204,796 MBS put options 1,175,000 25,050,000 (21,300,000) 4,925,000 MBS call options 1,600,000 17,700,000 (19,300,000) — Put options on interest rate futures purchase contracts 1,125,000 11,360,000 (10,360,000) 2,125,000 Call options on interest rate futures purchase contracts 900,000 1,939,300 (2,739,300) 100,000 Put options on interest rate futures sale contracts — 10,010,000 (10,010,000) — Call options on interest rate futures sale contracts — 2,739,300 (2,739,300) — Treasury futures purchase contracts — 544,900 (444,900) 100,000 Treasury futures sale contracts — 444,900 (444,900) — Interest rate swap futures purchase contracts 200,000 2,100,000 (900,000) 1,400,000 Interest rate swap futures sale contracts — 900,000 (900,000) — Year ended December 31, 2016 Balance Balance beginning of Dispositions/ end of Instrument year Additions expirations year (in thousands) Forward purchase contracts 5,254,293 210,412,697 (202,920,799) 12,746,191 Forward sale contracts 6,230,811 262,202,884 (251,855,753) 16,577,942 MBS put options 1,275,000 19,225,000 (19,325,000) 1,175,000 MBS call options — 1,600,000 — 1,600,000 Put options on interest rate futures purchase contracts 1,650,000 15,331,000 (15,856,000) 1,125,000 Call options on interest rate futures purchase contracts 600,000 5,687,500 (5,387,500) 900,000 Put options on interest rate futures sale contracts — 9,436,000 (9,436,000) — Call options on interest rate futures sale contracts — 550,000 (550,000) — Treasury futures purchase contracts — 585,800 (585,800) — Treasury futures sale contracts — 585,800 (585,800) — Interest rate swap futures purchase contracts — 400,000 (200,000) 200,000 Interest rate swap futures sale contracts — 200,000 (200,000) — Year ended December 31, 2015 Balance Balance beginning of Dispositions/ end of Instrument year Additions expirations year (in thousands) Forward purchase contracts 2,634,218 103,571,212 (100,951,137) 5,254,293 Forward sale contracts 3,901,851 137,061,118 (134,732,158) 6,230,811 MBS put options 340,000 3,902,500 (2,967,500) 1,275,000 MBS call options — 160,000 (160,000) — Put options on interest rate futures purchase contracts 755,000 8,790,000 (7,895,000) 1,650,000 Call options on interest rate futures purchase contracts 630,000 6,055,000 (6,085,000) 600,000 Put options on interest rate futures sale contracts 50,000 50,000 (100,000) — Call options on interest rate futures sale contracts — 35,100 (35,100) — 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. December 31, 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 $ 60,012 $ — $ 60,012 $ 65,848 $ — $ 65,848 Repurchase agreement derivatives 10,656 — 10,656 — — — 70,668 — 70,668 65,848 — 65,848 Derivatives subject to master netting arrangements: Forward purchase contracts 4,288 — 4,288 77,905 — 77,905 Forward sale contracts 2,101 — 2,101 28,324 — 28,324 MBS put options 3,481 — 3,481 3,934 — 3,934 MBS call options — — — 217 — 217 Put options on interest rate futures purchase contracts 3,570 — 3,570 3,109 — 3,109 Call options on interest rate futures purchase contracts 938 — 938 203 — 203 Netting — (6,867) (6,867) — (96,635) (96,635) 14,378 (6,867) 7,511 113,692 (96,635) 17,057 $ 85,046 $ (6,867) $ 78,179 $ 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. December 31, 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) Interest rate lock commitments $ 60,012 $ — $ — $ 60,012 $ 65,848 $ — $ — $ 65,848 Deutsche Bank 10,656 — — 10,656 — — — — RJ O'Brien 4,508 — — 4,508 2,750 — — 2,750 Federal National Mortgage Association 1,092 — — 1,092 — — — — Goldman Sachs 540 — — 540 — — — — Jefferies & Co. 514 — — 514 540 — — 540 Cantor Fitzgerald LP 472 — — 472 265 — — 265 Barclays Capital — — — — 12,002 — — 12,002 Others 385 — — 385 1,500 — — 1,500 $ 78,179 $ — $ — $ 78,179 $ 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. December 31, 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 – Interest rate lock commitments $ 1,740 $ — $ 1,740 $ 6,457 $ — $ 6,457 Derivatives subject to a master netting arrangement: Forward purchase contracts 1,272 — 1,272 16,914 — 16,914 Forward sale contracts 7,031 — 7,031 85,035 — 85,035 Netting — (4,247) (4,247) — (86,044) (86,044) 8,303 (4,247) 4,056 101,949 (86,044) 15,905 Total derivatives 10,043 (4,247) 5,796 108,406 (86,044) 22,362 Mortgage loans sold under agreements to repurchase: Amount outstanding 2,380,866 — 2,380,866 1,736,922 — 1,736,922 Unamortized premiums and debt issuance costs, net 672 — 672 (1,808) — (1,808) 2,381,538 — 2,381,538 1,735,114 — 1,735,114 $ 2,391,581 $ (4,247) $ 2,387,334 $ 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. December 31, 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 $ 1,740 $ — $ — $ 1,740 $ 6,457 $ — $ — $ 6,457 Credit Suisse First Boston Mortgage Capital LLC 1,010,562 (1,010,320) — 242 961,533 (960,988) — 545 Deutsche Bank 593,864 (593,864) — — — — — — Bank of America, N.A. 406,787 (406,355) — 432 349,638 (342,769) — 6,869 Morgan Stanley Bank, N.A. 139,491 (138,983) — 508 189,756 (188,851) — 905 JPMorgan Chase Bank, N.A. 90,442 (90,442) — — 135,322 (135,322) — — BNP Paribas 87,753 (87,753) — — 1,151 — — 1,151 Royal Bank of Canada 24,835 (23,752) — 1,083 2,937 — — 2,937 Citibank, N.A. 23,010 (23,010) — — 81,555 (80,525) — 1,030 Barclays Capital 6,387 (6,387) — — 28,467 (28,467) — — Others 1,791 — — 1,791 2,468 — — 2,468 $ 2,386,662 $ (2,380,866) $ — $ 5,796 $ 1,759,284 $ (1,736,922) $ — $ 22,362 Following are the gains (losses) recognized by the Company on derivative financial instruments and the income statement line items where such gains and losses are included: Year ended December 31, Derivative activity Income statement line 2017 2016 2015 (in thousands) Repurchase agreement derivative Interest expense $ (330) $ — $ — Hedged item: Interest rate lock commitments and mortgage loans held for sale Net gains on mortgage loans held for sale $ (21,255) $ 20,619 $ (48,960) Mortgage servicing rights Net mortgage loan servicing fees – Amortization, impairment and change in fair value of mortgage servicing rights and mortgage servicing liabilities $ (37,855) $ 26,405 $ (7,717) |
Carried Interest Due from Inves
Carried Interest Due from Investment Funds | 12 Months Ended |
Dec. 31, 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: Year ended December 31, 2017 2016 2015 (in thousands) Balance at beginning of year $ 70,906 $ 69,926 $ 67,298 Carried Interest recognized during the year (1,040) 980 2,628 Cash received during the year (61,314) — — Balance at end of year $ 8,552 $ 70,906 $ 69,926 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 year 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. In 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 year ended December 31, 2017 and expects to collect the remaining balance, adjusted for intervening income or losses through the date of liquidation of the Investment Funds, in the year ending December 31, 2018. |
Mortgage Servicing Rights and M
Mortgage Servicing Rights and Mortgage Servicing Liabilities | 12 Months Ended |
Dec. 31, 2017 | |
Mortgage Servicing Rights and Mortgage Servicing Liabilities | |
Mortgage Servicing Rights and Mortgage Servicing Liabilities | Note 10—Mortgage Servicing Rights and Mortgage Servicing Liabilties Carried at Fair Value: The activity in MSRs carried at fair value is as follows: Year ended December 31, 2017 2016 2015 (in thousands) Balance at beginning of year $ 515,925 $ 660,247 $ 325,383 Additions: Purchases 183,850 146 382,824 Mortgage servicing rights resulting from mortgage loan sales 24,471 17,319 18,013 208,321 17,465 400,837 Change in fair value due to: Changes in valuation inputs used in valuation model (1) (4,771) (80,244) 7,352 Other changes in fair value (2) (81,465) (81,543) (73,325) Total change in fair value (86,236) (161,787) (65,973) Balance at end of year $ 638,010 $ 515,925 $ 660,247 December 31, 2017 2016 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and Notes payable $ 630,711 $ 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: Year ended December 31, 2017 2016 2015 (in thousands) Amortized cost: Balance at beginning of year $ 1,206,694 $ 798,925 $ 415,245 Mortgage servicing rights resulting from mortgage loan sales 556,630 560,212 454,840 Amortization (179,946) (139,666) (71,160) Application of valuation allowance to recognize other-than-temporary impairment — (12,777) — Balance at end of year 1,583,378 1,206,694 798,925 Valuation allowance: Balance at beginning of year (94,947) (47,237) (9,800) Additions (6,853) (60,487) (37,437) Application of valuation allowance to recognize other-than-temporary impairment — 12,777 — Balance at end of year (101,800) (94,947) (47,237) Mortgage servicing rights, net $ 1,481,578 $ 1,111,747 $ 751,688 Fair value of mortgage servicing rights at end of year $ 1,482,426 $ 1,112,302 $ 766,345 Fair value of mortgage servicing rights at beginning of year $ 1,112,302 $ 766,345 $ 416,802 December 31, 2017 2016 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and Notes payable $ 1,467,356 $ The following table summarizes the Company’s estimate of future amortization of its existing MSRs. This projection was developed using the inputs used by management in its December 31, 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 Year ending December 31, amortization (in thousands) 2018 $ 195,154 2019 174,729 2020 155,777 2021 138,141 2022 122,541 Thereafter 797,036 $ 1,583,378 Mortgage Servicing Liabilities at Fair Value: The activity in mortgage servicing liability carried at fair value is summarized below: Year ended December 31, 2017 2016 2015 (in thousands) Balance at beginning of year $ 15,192 $ 1,399 $ 6,306 Mortgage servicing liabilities resulting from mortgage loan sales 17,229 14,991 20,442 Mortgage servicing liabilities assumed — 10,139 — Changes in fair value due to: Changes in valuation inputs used in valuation model (1) 6,526 5,264 (15,653) Other changes in fair value (2) (24,827) (16,601) (9,696) Total change in fair value (18,301) (11,337) (25,349) Balance at end of year $ 14,120 $ 15,192 $ 1,399 (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—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—Loan servicing fees—Ancillary and other fees on the consolidated statements of income. The fees are summarized below: Year ended December 31, 2017 2016 2015 (in thousands) Contractual servicing fees $ 475,848 $ 385,633 $ 290,474 Ancillary and other fees: Late charges 25,097 19,341 5,835 Other 4,603 4,706 2,266 $ 505,548 $ 409,680 $ 298,575 |
Furniture, Fixtures, Equipment
Furniture, Fixtures, Equipment and Building Improvements | 12 Months Ended |
Dec. 31, 2017 | |
Furniture, Fixtures, Equipment and Building Improvements [Member] | |
Furniture, fixtures, equipment and building improvements | |
Furniture, Fixtures, Equipment and Building Improvements | Note 11—Furniture, Fixtures, Equipment and Building Improvements Furniture, fixtures, equipment and building improvements is summarized below: December 31, 2017 2016 (in thousands) Furniture, fixtures, equipment and building improvements $ 54,186 $ 48,713 Less: Accumulated depreciation and amortization (24,733) (17,392) $ 29,453 $ 31,321 Fixed assets pledged to secure obligations under capital lease $ 23,915 $ 25,134 Depreciation and amortization expenses are summarized below: Year ended December 31, 2017 2016 2015 (in thousands) Depreciation and amortization expenses $ 8,150 $ 6,842 $ 4,149 Less: Depreciation and amortization allocated to PMT (1) (1,396) (1,350) (2,051) Depreciation and amortization expenses included in Occupancy and equipment $ 6,754 $ 5,492 $ 2,098 (1) The Company’s management agreement with PMT provides for allocation by the Company of certain common overhead costs to PMT. |
Capitalized Software
Capitalized Software | 12 Months Ended |
Dec. 31, 2017 | |
Capitalized Software | |
Long-lived asset disclosures | |
Capitalized Software | Note 12—Capitalized Software Capitalized software is summarized below: December 31, 2017 2016 (in thousands) Cost $ 29,621 $ 13,457 Less: Accumulated amortization (3,892) (2,252) $ 25,729 $ 11,205 Capitalized software pledged to secure obligation under capital lease $ 1,568 $ 515 Software amortization expense totaled $1.6 million, $357,000 and $324,000 for the years ended December 31, 2017, 2016 and 2015, respectively. The Company recorded $827,000 of impairment of capitalized software during the year ended December 31, 2017. No such impairment was recorded during the years ended December 31, 2016 and 2015. |
Borrowings
Borrowings | 12 Months Ended |
Dec. 31, 2017 | |
Borrowings | |
Borrowings | Note 13—Borrowings The borrowing facilities described throughout this Note 13 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 December 31, 2017. Assets Sold Under Agreements to Repurchase The Company has multiple borrowing facilities in the form of asset sales under agreements to repurchase. These borrowing facilities are secured by mortgage loans held for sale at fair value or participation certificates backed by MSRs and servicing advances. 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: Year ended December 31, 2017 2016 2015 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ 1,829,257 $ 1,438,181 $ 823,490 Weighted average interest rate (1) 3.18 % 2.91 % 1.78 % Total interest expense $ 60,286 $ 49,791 $ 21,377 Maximum daily amount outstanding $ 3,022,656 $ 2,661,746 $ 1,976,744 December 31, 2017 2016 (dollars in thousands) Carrying value: Unpaid principal balance $ 2,380,866 $ 1,736,922 Unamortized premiums and debt issuance costs, net 672 (1,808) $ 2,381,538 $ 1,735,114 Weighted average interest rate 3.24 % 3.02 % Available borrowing capacity (2): Committed $ 316,503 $ 347,487 Uncommitted 2,257,631 857,591 $ 2,574,134 $ 1,205,078 Fair value of assets securing repurchase agreements: Mortgage loans held for sale $ 2,530,299 $ 1,422,255 Servicing advances $ 114,643 $ 81,306 Mortgage servicing rights $ 474,922 $ 1,479,322 Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 144,128 $ 150,000 Margin deposits placed with counterparties (3) $ 3,750 $ 3,000 (1) Excludes the effect of amortization of premium and debt issuance costs totaling $ 1.3 million, $ 7.3 million, and $7.4 million for the years ended December 31, 2017, 2016 and 2015, respectively. (2) The amount the Company is able to borrow under asset repurchase agreements is tied to the fair value of unencumbered assets eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the assets. (3) Margin deposits are included in Other assets on the Company’s consolidated balance sheets. Following is a summary of maturities of outstanding advances under repurchase agreements by maturity date: Remaining maturity at December 31, 2017 Balance (dollars in thousands) Within 30 days $ 768,906 Over 30 to 90 days 1,511,960 Over 90 to 180 days 100,000 Total loans sold under agreements to repurchase $ 2,380,866 Weighted average maturity (in months) 1.7 The amount at risk (the fair value of the assets pledged plus the related margin deposit, less the amount advanced by the counterparty and interest payable) relating to the Company’s mortgage loans held for sale sold under agreements to repurchase is summarized by counterparty below as of December 31, 2017: Weighted average maturity of advances under repurchase Counterparty Amount at risk agreement Facility maturity (in thousands) Credit Suisse First Boston Mortgage Capital LLC $ 489,565 April 27, 2018 April 27, 2018 Credit Suisse First Boston Mortgage Capital LLC $ 112,168 January 13, 2018 April 27, 2018 Deutsche Bank AG $ 76,542 March 17, 2018 June 30, 2018 Bank of America, N.A. $ 34,857 March 19, 2018 May 25, 2018 Morgan Stanley Bank, N.A. $ 10,339 February 15, 2018 August 24, 2018 JP Morgan Chase Bank, N.A. $ 7,662 February 16, 2018 October 12, 2018 BNP Paribas $ 5,280 March 20, 2018 November 16, 2018 Royal Bank of Canada $ 1,747 March 10, 2018 March 29, 2018 Citibank, N.A. $ 1,506 February 2, 2018 March 2, 2018 Barclays Bank PLC $ 686 February 1, 2018 February 1, 2018 The Company is subject to margin calls during the period the agreements are outstanding and therefore may be required to repay a portion of the borrowings before the respective agreements mature if the fair value (as determined by the applicable lender) of the mortgage loans securing those agreements decreases. Mortgage Loan Participation 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 and sale agreements are summarized below: Year ended December 31, 2017 2016 2015 (dollars in thousands) Average balance $ 208,613 $ 268,416 $ 157,918 Weighted average interest rate (1) 2.34 % 1.75 % 1.45 % Total interest expense $ 5,496 $ 5,523 $ 2,670 Maximum daily amount outstanding $ 532,266 $ 1,268,871 $ 250,325 (1) Excludes the effect of amortization of facility fees totaling $ 545,000 , $ 740,000 , and $355,000 for the years ended December 31, 2017, 2016 and 2015, respectively. December 31, 2017 2016 (dollars in thousands) Carrying value: Unpaid principal balance $ 527,706 $ 671,562 Unamortized debt issuance costs (311) (136) $ 527,395 $ 671,426 Weighted average interest rate 2.81 % 2.02 % Fair value of mortgage loans pledged to secure mortgage loan participation and sale agreements $ 551,688 $ 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, pursuant to which the lenders 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 is November 16, 2018. 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. The maturity date is February 1, 2018. Notes payable are summarized below: Year ended December 31, 2017 2016 2015 (dollars in thousands) Average balance $ 586,135 $ 108,475 $ 214,235 Weighted average interest rate (1) 5.86 % 5.13 % 3.28 % Total interest expense $ 39,369 $ 8,688 $ 9,336 Maximum daily amount outstanding $ 900,000 $ 153,849 $ 469,380 (1) Excluding the effect of amortization of debt issuance costs totaling $ 4.5 million, $ 3.0 million and 2.1 million for the years ended December 31, 2017, 2016 and 2015, respectively. December 31, 2017 2016 (dollars in thousands) Carrying value: Unpaid principal balance $ 900,006 $ 151,935 Unamortized debt issuance costs (8,501) (993) $ 891,505 $ 150,942 Weighted average interest rate 5.66 % 4.67 % Unused amount $ 280,000 $ 98,065 Assets pledged to secure notes payable: Cash $ 20,765 $ 91,788 Carried Interest $ 8,552 $ 70,906 Mortgage servicing rights $ 1,623,145 $ 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: Year ended December 31, 2017 2016 2015 (dollars in thousands) Average balance $ 24,830 $ 18,620 $ 1,132 Weighted average interest rate 3.07 % 2.47 % 2.34 % Total interest expense $ 769 $ 510 $ 18 Maximum daily amount outstanding $ 30,044 $ 24,242 $ 13,579 December 31, December 31, 2017 2016 (in thousands) Unpaid principal balance $ 20,971 $ 23,424 Weighted average interest rate 3.26 % 2.48 % Assets pledged to secure obligations under capital lease: Furniture, fixtures and equipment $ 23,915 $ 25,134 Capitalized software $ 1,568 $ 515 Excess Servicing Spread Financing at Fair Value 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 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. Following is a summary of ESS: Year ended December 31, 2017 2016 2015 (in thousands) Balance at beginning of year $ 288,669 $ 412,425 $ 191,166 Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: For cash — — 271,554 Pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 5,244 6,603 6,728 Accrual of interest 16,951 22,601 25,365 Repayment (54,980) (69,992) (78,578) Settlement (1) — (59,045) — Change in fair value (19,350) (23,923) (3,810) Balance at end of year $ 236,534 $ 288,669 $ 412,425 (1) On February 29, 2016, the Company and PMT terminated that certain master spread acquisition and MSR servicing agreement that the parties entered into effective February 1, 2013 (the “2/1/13 Spread Acquisition Agreement”) and all amendments thereto. In connection with the termination of the 2/1/13 Spread Acquisition Agreement, the Company reacquired from PMT all of its right, title and interest in and to all of the Fannie Mae ESS previously sold by the Company to PMT under the 2/1/13 Spread Acquisition Agreement and then subject to such 2/1/13 Spread Acquisition Agreement. On February 29, 2016, the Company also reacquired from PMT all of its right, title and interest in and to all of the Freddie Mac ESS previously sold to PMT by the Company. |
Liability for Losses Under Repr
Liability for Losses Under Representations and Warranties | 12 Months Ended |
Dec. 31, 2017 | |
Liability for Losses Under Representations and Warranties | |
Liability for Losses Under Representations and Warranties | Note 14—Liability for Losses Under Representations and Warranties Following is a summary of the Company’s liability for losses under representations and warranties: Year ended December 31, 2017 2016 2015 (in thousands) Balance at beginning of year $ 19,067 $ 20,611 $ 13,259 Provision for losses on mortgage loans sold: Resulting from sales of mortgage loans 5,890 7,090 7,512 Reduction in liability due to change in estimate (4,301) (7,672) — Incurred losses (603) (962) (160) Balance at end of year $ 20,053 $ 19,067 $ 20,611 Unpaid principal balance of mortgage loans subject to representations and warranties at end of year $ 120,855,101 $ 90,650,605 |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2017 | |
Income Taxes | |
Income Taxes | Note 15—Income Taxes The Company files U.S. federal and state corporate income tax returns for PFSI and partnership returns for PennyMac. The Company’s federal tax returns are subject to examination for 2014 and forward and its state tax returns are generally subject to examination for 2013 and forward. PennyMac’s federal partnership returns are subject to examination for 2014 and forward, and its state tax returns are generally subject to examination for 2013 and forward. No returns are currently under examination. The Company’s tax expense for the year ended December 31, 2017 was significantly impacted by the enactment on December 22, 2017 of H.R. 1, known as the Tax Cuts and Jobs Act (the “Tax Act”). The Tax Act reduces the U.S. federal corporate tax rate to 21% from the previous maximum rate of 35%, effective January 1, 2018. GAAP requires that the effect of tax legislation be recognized in the period in which the law was enacted. In the fourth quarter of 2017, the Company recorded a tax benefit of $13.7 million due to a re-measurement of deferred tax assets and liabilities resulting from a decrease in the federal tax rate . The re-measurement of the deferred tax assets and liabilities is predominantly based on a reduction to the federal rate as described above which will result in lower tax expense when these deferred tax assets and liabilities are realized. The Company is not aware of any areas of significant interpretation or judgment in the calculation of this benefit. However, if any additional interpretive guidance is released from taxing authorities or accounting standard setters, it is possible these amounts could change the calculation of the tax benefit in future reporting periods. The revaluation of the deferred tax asset resulting from PennyMac unitholder exchanges under the tax receivable agreement resulted in the repricing of the Company’s corresponding liability under the tax receivable agreement. The Company recorded a reduction of $32.0 million in the payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under the tax receivable agreement. The following table details the Company’s income tax expense: Year ended December 31, 2017 2016 2015 (in thousands) Current expense: Federal $ (81) $ (1,622) $ — State 56 (244) — Total current expense (25) (1,866) — Deferred expense: Federal 14,674 38,082 24,819 State 9,738 9,887 6,816 Total deferred expense 24,412 47,969 31,635 Total provision for income taxes $ 24,387 $ 46,103 $ 31,635 The provision for deferred income taxes for the years ended December 31, 2017, 2016, and 2015 primarily relates to the Company’s investment in PennyMac partially offset by the Company’s generation and utilization of a net operating loss and generation of tax credits. The portion attributable to its investment in PennyMac primarily relates to MSRs that PennyMac received pursuant to sales of mortgage loans held for sale at fair value and Carried Interest from the Investment Funds. The following table is a reconciliation of the Company’s provision for income taxes at statutory rates to the provision for income taxes at the Company’s effective tax rate: Year ended December 31, 2017 2016 2015 Federal income tax statutory rate % % 35.0 % Less: Rate attributable to noncontrolling interest (22.0) % (24.8) % (25.1) % State income taxes, net of federal benefit % % 1.6 % Tax rate revaluation (8.0) % % % Other % % (0.2) % Valuation allowance % % % Effective tax rate % % % The components of the Company’s provision for deferred income taxes are as follows: Year ended December 31, 2017 2016 2015 (in thousands) Investment in PennyMac $ 34,011 $ 40,493 $ 40,272 Net operating loss (9,675) 8,110 (8,637) Tax credits 76 (634) — Valuation allowance — — — Total provision for deferred income taxes $ 24,412 $ 47,969 $ 31,635 The components of Income taxes payable are as follows: December 31, 2017 2016 (in thousands) Taxes currently receivable $ (2,126) $ (7,615) Deferred income tax liability, net 54,286 32,703 Income taxes payable $ 52,160 $ 25,088 The tax effects of temporary differences that gave rise to deferred income tax assets and liabilities are presented below: December 31, 2017 2016 (in thousands) Deferred income tax liabilities: Investment in PennyMac $ 65,046 $ 33,864 Net operating loss carryforward (10,202) (527) Tax credits carryforward (558) (634) Deferred income tax liabilities, net $ 54,286 $ 32,703 The Company recorded a net deferred income tax liability in Income taxes payable in the consolidated balance sheet as of December 31, 2017 and 2016. The Company recorded a deferred tax asset of $10.2 million related to a net operating loss of approximately $37.4 million, with $1.3 million and $36.1 million generally expiring in 2035 and 2037, respectively. Net operating losses arising in tax years beginning after December 31, 2017 are limited in annual use to 80% of taxable income (without regard to net operating less deduction) but can be carried forward indefinitely. The Company has tax credits of $0.6 million, which generally have no expiration date. At December 31, 2017 and 2016, the Company had no unrecognized tax benefits and does not anticipate any unrecognized tax benefits. Should the recognition of any interest or penalties relative to unrecognized tax benefits be necessary, it is the Company’s policy to record such expenses in the Company’s income tax accounts. No such accruals existed at December 31, 2017 and 2016. |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2017 | |
Commitments and Contingencies. | |
Commitments and Contingencies | Note 16—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 December 31, 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. Regulatory Matters The Company and/or its subsidiaries are subject to various state and federal regulations related to its loan production and servicing operations by the various states it operates in as well as federal agencies such as the Consumer Financial Protection Bureau, HUD, the Federal Housing Administration as well as subject to the requirements of the Agencies it sells loans to and performs loan servicing for. As the result, the Company may become involved in information-gathering requests, reviews, investigations and proceedings (both formal and informal) by the various federal, state and local regulatory bodies. Commitments to Purchase and Fund Mortgage Loans December 31, 2017 (in thousands) Commitments to purchase mortgage loans from PennyMac Mortgage Investment Trust $ 2,245,579 Commitments to fund mortgage loans 1,409,376 $ 3,654,955 Leases The Company leases office facilities. Rent expense during the years ended December 31, 2017, 2016 and 2015 was $12.3 million, $9.1 million and $4.6 million, respectively. The following table provides a summary of future minimum lease payments required under lease agreements, which may also contain renewal options as of December 31, 2017: Twelve months ended December 31, Future minimum lease payments (in thousands) 2018 $ 13,688 2019 14,404 2020 14,203 2021 12,017 2022 9,875 Thereafter 32,067 $ 96,254 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 | 12 Months Ended |
Dec. 31, 2017 | |
Stockholders' Equity. | |
Stockholders' Equity | Note 17—Stockholders’ Equity In June 2017, the Company’s board of directors authorized a stock 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: Year ended December 31, Cumulative 2017 2016 2015 Total (1) (in thousands) Shares of Class A common stock repurchased 505 — — 505 Cost of shares of Class A common stock repurchased $ 8,599 $ — $ — $ 8,599 (1) Amounts represent the total shares of Class A common stock repurchased under the stock repurchase program through December 31, 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 | 12 Months Ended |
Dec. 31, 2017 | |
Noncontrolling Interest. | |
Noncontrolling Interest | Note 18—Noncontrolling Interest Net income attributable to the Company’s common stockholders and the effects of changes in noncontrolling ownership interest in PennyMac is summarized below: Year ended December 31, 2017 2016 2015 (in thousands) Net income attributable to PennyMac Financial Services, Inc. common stockholders $ 100,757 $ 66,079 $ 47,228 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. $ 27,119 $ 6,877 $ 4,982 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 1,608 301 319 December 31, December 31, 2017 2016 Percentage of noncontrolling interest in Private National Mortgage Acceptance Company, LLC 69.2 % 70.6 % |
Net Gains on Mortgage Loans Hel
Net Gains on Mortgage Loans Held for Sale | 12 Months Ended |
Dec. 31, 2017 | |
Net Gains on Mortgage Loans Held for Sale | |
Net Gains on Mortgage Loans Held for Sale | Note 19—Net Gains on Mortgage Loans Held for Sale Net gains on mortgage loans held for sale at fair value is summarized below: Year ended December 31, 2017 2016 2015 (in thousands) From non-affiliates: Cash (loss) gain: Mortgage loans $ (174,669) $ (62,283) $ (82,709) Hedging activities (16,866) 10,275 (47,150) (191,535) (52,008) (129,859) Non-cash gain: Mortgage servicing rights and mortgage servicing liabilities resulting from mortgage loan sales 563,872 562,540 452,411 Provision for losses relating to representations and warranties: Pursuant to mortgage loan sales (5,890) (7,090) (7,512) Reduction in liability due to change in estimate 4,301 7,672 — Change in fair value relating to mortgage loans and hedging derivatives held at year end: Interest rate lock commitments (1,120) 15,618 11,372 Mortgage loans 4,576 2,796 3,949 Hedging derivatives (4,389) 10,344 (1,810) 369,815 539,872 328,551 From PennyMac Mortgage Investment Trust 21,989 (8,092) (7,836) $ 391,804 $ 531,780 $ 320,715 |
Net Interest Expense
Net Interest Expense | 12 Months Ended |
Dec. 31, 2017 | |
Net Interest Expense | |
Net Interest Expense | Note 20—Net Interest Expense Net interest expense is summarized below: Year ended December 31, 2017 2016 2015 (in thousands) Interest income: From non-affiliates: Short-term investments $ 2,356 $ 2,558 $ 506 Mortgage loans held for sale at fair value 91,972 54,584 42,008 Placement fees relating to custodial funds 40,813 16,155 3,298 135,141 73,297 45,812 From PennyMac Mortgage Investment Trust—Financings receivable 8,038 7,830 3,343 143,179 81,127 49,155 Interest expense: To non-affiliates: Assets sold under agreements to repurchase (1) 60,286 49,791 21,377 Mortgage loan participation purchase and sale agreements 5,496 5,523 2,670 Notes payable 39,369 8,688 9,336 Obligations under capital lease 769 510 18 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 16,933 15,102 6,883 Interest on mortgage loan impound deposits 4,716 3,991 2,888 127,569 83,605 43,172 To PennyMac Mortgage Investment Trust—Excess servicing spread financing at fair value 16,951 22,601 25,365 144,520 106,206 68,537 $ (1,341) $ (25,079) $ (19,382) (1) In 2017, the Company entered a master repurchase agreement that provides the Company with incentives to finance mortgage loans approved for satisfying certain consumer relief characteristics as provided in the agreement. During the year ended December 31, 2017, the Company included $9.2 million of such incentives as a reduction in Interest expense . The master repurchase agreement has an initial term of six months renewable for three additional six-month terms at the option of the lender. There can be no assurance whether the lender will renew this agreement upon its maturity. |
Stock-based Compensation
Stock-based Compensation | 12 Months Ended |
Dec. 31, 2017 | |
Stock-based Compensation | |
Stock-based Compensation | Note 21—Stock‑based Compensation The Company’s 2013 Equity Incentive Plan provides for grants of stock options, time-based and performance-based restricted stock units (“RSUs”), stock appreciation rights, performance units and stock grants. As of December 31, 2017, the Company has 18.8 million units available for future awards. Following is a summary of the stock-based compensation expense by instrument awarded: Year ended December 31, 2017 2016 2015 (in thousands) Performance-based RSUs $ 11,020 $ 9,475 $ 9,293 Stock options 4,909 4,464 5,713 Time-based RSUs 4,768 2,494 2,294 Exchangeable PNMAC units — 72 221 $ 20,697 $ 16,505 $ 17,521 Performance‑Based RSUs The performance‑based RSUs provide for the issuance of shares of the Company’s Class A common stock based on the attainment of earnings per share and/or return on equity and are generally adjusted for grantee job performance ratings. The satisfaction of the performance goals and issuance of shares will be approved by a committee of the Company’s board of directors. Approximately 779,000 shares vested under the grants with a performance period ended December 31, 2017 will be issued to the grantees in April 2018. The fair value of the performance‑based RSUs is measured based on the fair value of the Company’s common stock at the grant date, taking into consideration management’s estimate of the expected outcome of the performance goal, and the number of shares to be forfeited during the vesting period. The Company assumes forfeiture rates of 0% ‑ 21.1% per year based on the grantees’ employee classification. The actual amount of shares earned could vary from zero, if the performance goals are not met, to as much as 130% of target, if the performance goals are meaningfully exceeded. The table below summarizes performance‑based RSU activity: Year ended December 31, 2017 2016 2015 (in thousands, except per unit amounts) Number of units: Outstanding at beginning of year 2,475 2,350 1,257 Granted 694 813 1,143 Vested (446) — — Forfeited or cancelled (334) (688) (50) Outstanding at end of year 2,389 2,475 2,350 Weighted average grant date fair value per unit: Outstanding at beginning of year $ 14.24 $ 16.30 $ 15.48 Granted $ 18.04 $ 11.28 $ 17.21 Vested $ 13.65 $ — $ — Forfeited $ 14.45 $ 16.87 $ 16.46 Outstanding at end of year $ 15.57 $ 14.24 $ 16.30 Compensation expense recorded during the year $ 11,020 $ 9,475 $ 9,293 December 31, 2017 Unamortized compensation cost (in thousands) $ 10,098 Number of shares expected to vest (in thousands) 1,967 Weighted average remaining vesting period (in months) 11 Stock Options The stock option award agreements provide for the award of stock options to purchase the optioned Class A common stock. In general, and except as otherwise provided by the agreement, one‑third of the stock option awards vests on each of the first, second, and third anniversaries of the grant date, subject to the recipient’s continued service through each anniversary. Each stock option has a term of ten years from the date of grant but expires (1) immediately upon termination of the holder’s employment or other association with the Company for cause, (2) one year after the holder’s employment or other association is terminated due to death or disability and (3) three months after the holder’s employment or other association is terminated for any other reason. The fair value of each stock option award is estimated on the date of grant using a variant of the Black Scholes model based on the following inputs: Year ended December 31, 2017 2016 2015 Expected volatility (1) 31% 28% 41% Expected dividends 0% 0% 0% Risk-free interest rate 0.8% -2.7% 0.3% - 2.1% 0.1% - 2.3% Expected grantee forfeiture rate 0.0% -21.1% 0.0% -20.2% 0.0% -18.7% (1) Based on historical volatilities of the Company’s common stock for 2017 and 2016 grants and based on historical volatilities of comparable companies’ common stock for 2015 grants. The Company uses its historical employee departure behavior to estimate the grantee forfeiture rates used in its option‑pricing model. The expected term of common stock options granted is derived from the Company’s option pricing model and represents the period that common stock options granted are expected to be outstanding. The risk‑free interest rate for periods within the contractual term of the common stock option is based on the U.S. Treasury yield curve in effect at the time of grant. The table below summarizes stock option award activity: Year ended December 31, 2017 2016 2015 (in thousands, except per option amounts) Number of stock options: Outstanding at beginning of year 2,738 1,845 1,167 Granted 861 962 715 Exercised (90) (9) — Forfeited (52) (60) (37) Outstanding at end of year 3,457 2,738 1,845 Weighted average exercise price per option: Outstanding at beginning of year $ 15.81 $ 18.17 $ 18.23 Granted $ 18.05 $ 11.29 $ 17.52 Exercised $ 15.04 $ 17.33 $ 17.26 Forfeited $ 15.58 $ 15.66 $ 17.88 Outstanding at end of year $ 16.40 $ 15.81 $ 18.17 Compensation expense recorded during the year $ 4,909 $ 4,464 $ 5,713 December 31, 2017 Number of options exercisable at end of year (in thousands) 1,781 Weighted average exercise price per exercisable option $ 17.21 Weighted average remaining contractual term (in years): Outstanding 7.5 Exercisable 6.6 Aggregate intrinsic value: Outstanding (in thousands) $ 20,583 Exercisable (in thousands) $ 9,151 Expected vesting amounts at year end: Number of options expected to vest (in thousands) 1,541 Weighted average vesting period (in months) 10 Time‑Based RSUs The RSU grant agreements provide for the award of time‑based RSUs, entitling the award recipient to one share of the Company’s Class A common stock for each RSU. One‑third of the time‑based RSUs vest on each of the first, second, and third anniversaries of the grant date, subject to the recipient’s continued service through each anniversary. Compensation cost relating to time‑based RSUs is based on the grant date fair value of the Company’s Class A common stock and the number of shares expected to vest. For purposes of estimating the cost of the time‑based RSUs granted, the Company assumes forfeiture rates of 0% ‑ 21.1% per year based on the grantees’ employee classification. The table below summarizes time‑based RSU activity: Year ended December 31, 2017 2016 2015 (in thousands, except per unit amounts) Number of units: Outstanding at beginning of year 382 271 202 Granted 408 261 150 Vested (173) (127) (75) Forfeited (17) (23) (6) Outstanding at end of year 600 382 271 Weighted average grant date fair value per unit: Outstanding at beginning of year $ 13.71 $ 17.81 $ 17.92 Granted $ 18.02 $ 11.77 $ 17.87 Vested $ 14.66 $ 17.99 $ 18.25 Forfeited $ 14.87 $ 15.55 $ 26.07 Outstanding at end of year $ 16.37 $ 13.71 $ 17.81 Compensation expense recorded during the year $ 4,768 $ 2,494 $ 2,294 December 31, 2017 Unamortized compensation cost (in thousands) $ 3,626 Number of shares expected to vest (in thousands) 535 Weighted average remaining vesting period (in months) 12 |
Earnings Per Share of Common St
Earnings Per Share of Common Stock | 12 Months Ended |
Dec. 31, 2017 | |
Earnings Per Share of Common Stock | |
Earnings Per Share of Common Stock | Note 22—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 year. 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: Year ended December 31, 2017 2016 2015 (in thousands, except per share data) Basic earnings per share of common stock: Net income attributable to common stockholders $ 100,757 $ 66,079 $ 47,228 Weighted average shares of common stock outstanding 23,199 22,161 21,755 Basic earnings per share of common stock $ 4.34 $ 2.98 $ 2.17 Diluted earnings per share of common stock: Net income attributable to common stockholders $ 100,757 $ 66,079 $ 47,228 Effect of net income attributable to PennyMac Class A units exchangeable to Class A common stock, net of income taxes — 159,570 119,697 Net income attributable to common stockholders for diluted earnings per share $ 100,757 $ 225,649 $ 166,925 Weighted average shares of common stock outstanding applicable to basic earnings per share 23,199 22,161 21,755 Effect of dilutive shares: PennyMac Class A units exchangeable to Class A common stock — 53,951 53,803 Non-vested PennyMac Class A units issuable under unit-based stock — — 427 Common shares issuable under stock-based compensation plan 1,800 517 119 Weighted average shares of common stock outstanding applicable to diluted earnings per share 24,999 76,629 76,104 Diluted earnings per share of common stock $ 4.03 $ 2.94 $ 2.17 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: Year ended December 31, 2017 2016 2015 (in thousands, except exercise price data) Performance-based RSUs (1) 497 2,054 2,358 Stock options (2) 1,323 1,829 1,748 Exchangeable PNMAC Class A units (3) 53,299 — — Total anti-dilutive stock-based compensation units 55,119 3,883 4,106 Weighted average exercise price of anti-dilutive stock options (2) $ 16.40 $ $ (1) Certain performance-based RSUs were outstanding but not included in the computation of earnings per share because the performance thresholds included in such RSUs have not been achieved (2) Certain stock options were outstanding but not included in the computation of diluted earnings per share because the weighted-average exercise prices were above the average stock prices during the year. (3) Exchangeable PNMAC units were anti-dilutive during 2017 primarily due to the effect of adoption of the Tax Act on earnings attributable to PNMAC unitholders. |
Supplemental Cash Flow Informat
Supplemental Cash Flow Information | 12 Months Ended |
Dec. 31, 2017 | |
Supplemental Cash Flow Information | |
Supplemental Cash Flow Information | Note 23—Supplemental Cash Flow Information Year ended December 31, 2017 2016 2015 (in thousands) Cash paid for interest $ 158,147 $ 104,938 $ 69,317 (Refunds received) cash paid for income taxes, net $ (5,513) $ 1,866 $ 1,909 Non-cash investing activity: Mortgage servicing rights resulting from mortgage loan sales $ 581,101 $ 577,531 $ 472,853 Mortgage servicing liabilities resulting from mortgage loan sales $ 17,229 $ 14,991 $ 20,442 Unsettled portion of MSR acquisitions $ 5,319 $ — $ — Transfer of Note receivable from PennyMac Mortgage Investment Trust to Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell pledged to creditors $ — $ 150,000 $ — Non-cash financing activity: Transfer of E xcess servicing spread payable to PennyMac Mortgage Investment Trust pursuant to a recapture agreement $ 5,244 $ 6,603 $ 6,728 Unpaid distribution to Private National Mortgage Acceptance Company, LLC members $ — $ 7,585 $ — Issuance of Class A common stock in settlement of director fees $ 338 $ 313 $ 297 |
Regulatory Capital and Liquidit
Regulatory Capital and Liquidity Requirements | 12 Months Ended |
Dec. 31, 2017 | |
Regulatory Capital and Liquidity Requirements | |
Regulatory Capital and Liquidity Requirements | Note 24—Regulatory Capital and Liquidity Requirements The Company, through PLS and PennyMac, is required to maintain specified levels of equity to remain a seller/servicer in good standing with the Agencies. Such equity requirements generally are tied to the size of the Company’s loan servicing portfolio or loan origination volume. The Company is subject to financial eligibility requirements for sellers/servicers eligible to sell or service mortgage loans with Fannie Mae and Freddie Mac. The eligibility requirements include tangible net worth of $2.5 million plus 25 basis points (0.25%) of the Company’s total 1-4 unit servicing portfolio, excluding mortgage loans subserviced for others and a liquidity requirement equal to 3.5 basis points of the aggregate UPB serviced for the Agencies plus 200 basis points of total nonperforming Agency servicing UPB in excess of 6.0%. The Company is also subject to financial eligibility requirements for Ginnie Mae single-family issuers. The eligibility requirements include net worth of $2.5 million plus 35 basis points of PLS' outstanding Ginnie Mae single-family obligations and a liquidity requirement equal to the greater of $1.0 million or 10 basis points of PLS' outstanding Ginnie Mae single-family securities. The Agencies’ capital and liquidity requirements, the calculations of which are specified by each Agency, are summarized below: December 31, 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 $ 1,561,977 $ 429,671 $ 1,289,464 $ 335,883 Ginnie Mae – PLS $ 1,307,580 $ 674,133 $ 1,085,549 $ 455,542 Ginnie Mae – PennyMac $ 1,511,201 $ 741,574 $ 1,261,565 $ 501,097 HUD – PLS $ 1,307,580 $ 2,500 $ 1,085,549 $ 2,500 Liquidity Fannie Mae & Freddie Mac – PLS $ 196,415 $ 58,754 $ 179,230 $ 45,930 Ginnie Mae – PLS $ 196,415 $ 153,431 $ 179,230 $ 115,304 Tangible net worth / Total assets ratio Fannie Mae & Freddie Mac – PLS 21 % 6 % % % (1) Calculated in compliance with the respective Agency’s requirements. Noncompliance with an Agency’s requirements can result in such Agency taking various remedial actions up to and including terminating PennyMac’s ability to sell loans to and service loans on behalf of the respective Agency. |
Segments
Segments | 12 Months Ended |
Dec. 31, 2017 | |
Segments | |
Segments | Note 25—Segments The Company operates in three segments: production, servicing and investment management. Two of the segments are in the mortgage banking business: production and servicing. The production segment performs mortgage loan origination, acquisition and sale activities. The 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: Year ended December 31, 2017 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on mortgage loans held for sale at fair value $ 286,242 $ 105,562 $ 391,804 $ — $ 391,804 Loan origination fees 119,202 — 119,202 — 119,202 Fulfillment fees from PennyMac Mortgage Investment Trust 80,359 — 80,359 — 80,359 Net servicing fees — 306,059 306,059 — 306,059 Management fees — — — 23,585 23,585 Carried Interest from Investment Funds — — — (1,040) (1,040) Net interest income (expense): Interest income 61,195 81,984 143,179 — 143,179 Interest expense 35,359 109,112 144,471 49 144,520 25,836 (27,128) (1,292) (49) (1,341) Other 2,002 1,710 3,712 183 3,895 Total net revenue 513,641 386,203 899,844 22,679 922,523 Expenses 275,133 327,531 602,664 16,890 619,554 Income before provision for income taxes and non-segment activities 238,508 58,672 297,180 5,789 302,969 Non-segment activities (2) — — — — 32,940 Income before provision for income taxes $ 238,508 $ 58,672 $ 297,180 $ 5,789 $ 335,909 Segment assets at year end (3) $ 2,459,014 $ 4,886,594 $ 7,345,608 $ 19,880 $ 7,365,488 (1) All revenues are from external customers. (2) Primarily represents repricing Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement, of which, $32.0 million is the result of the change in the federal tax rate under the Tax Act. (3) Excludes parent company assets, which consist of working capital of $ 2.6 million. Year ended December 31, 2016 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on mortgage loans held for sale at fair value $ 464,027 $ 67,753 $ 531,780 $ — $ 531,780 Loan origination fees 125,534 — 125,534 — 125,534 Fulfillment fees from PennyMac Mortgage Investment Trust 86,465 — 86,465 — 86,465 Net servicing fees — 185,466 185,466 — 185,466 Management fees — — — 22,746 22,746 Carried Interest from Investment Funds — — — 980 980 Net interest income (expense): Interest income 48,944 32,182 81,126 1 81,127 Interest expense 32,669 73,537 106,206 50 106,256 16,275 (41,355) (25,080) (49) (25,129) Other 2,104 1,022 3,126 319 3,445 Total net revenue 694,405 212,886 907,291 23,996 931,287 Expenses 278,309 248,985 527,294 21,510 548,804 Income (loss) before provision for income taxes and non-segment activities 416,096 (36,099) 379,997 2,486 382,483 Non-segment activities (2) — — — — 600 Income (loss) before provision for income taxes $ 416,096 $ (36,099) $ 379,997 $ 2,486 $ 383,083 Segment assets at year end (3) $ 2,195,330 $ 2,841,551 $ 5,036,881 $ 91,517 $ 5,128,398 (1) All revenues are from external customers (2) Primarily represents repricing of Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement . (3) Excludes parent company assets, which consist primarily of working capital of $ 5.5 million. Year ended December 31, 2015 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on mortgage loans held for sale at fair value $ 310,254 $ 10,461 $ 320,715 $ — $ 320,715 Loan origination fees 91,520 — 91,520 — 91,520 Fulfillment fees from PennyMac Mortgage Investment Trust 58,607 — 58,607 — 58,607 Net servicing fees — 229,543 229,543 — 229,543 Management fees — — — 28,237 28,237 Carried Interest from Investment Funds — — — 2,628 2,628 Net interest income (expense): Interest income 39,238 9,917 49,155 — 49,155 Interest expense 19,851 48,686 68,537 — 68,537 19,387 (38,769) (19,382) — (19,382) Other 1,868 1,087 2,955 (18) 2,937 Total net revenue 481,636 202,322 683,958 30,847 714,805 Expenses 209,767 201,025 410,792 23,125 433,917 Income before provision for income taxes and non-segment activities 271,869 1,297 273,166 7,722 280,888 Non-segment activities (2) — — — — (1,695) Income before provision for income taxes $ 271,869 $ 1,297 $ 273,166 $ 7,722 $ 279,193 Segment assets at year end (3) $ 1,122,242 $ 2,270,940 $ 3,393,182 $ 92,893 $ 3,486,075 (1) All revenues are from external customers. (2) Represents repricing of Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement . (3) Excludes parent Company assets, which consist primarily of deferred tax asset of $ 18.4 million |
Selected Quarterly Data (Unaudi
Selected Quarterly Data (Unaudited) | 12 Months Ended |
Dec. 31, 2017 | |
Selected Quarterly Data (Unaudited) | |
Selected Quarterly Data (Unaudited) | Note 26—Selected Quarterly Data (Unaudited) Following is a presentation of selected quarterly financial data: Quarter ended 2017 2016 Dec. 31 Sept. 30 June. 30 Mar. 31 Dec. 31 Sept. 30 June. 30 Mar. 31 (in thousands, except per share data) During the quarter: Net gains on mortgage loans held for sale at fair value $ 98,621 $ 108,136 $ 98,091 $ 86,956 $ 127,932 $ 182,121 $ 130,203 $ 91,524 Fulfillment fees from PennyMac Mortgage Investment Trust 19,175 23,507 21,107 16,570 27,164 27,255 19,111 12,935 Net mortgage loan servicing fees 106,902 78,081 46,913 74,163 95,528 45,864 26,555 17,519 Management fees and Carried Interest 5,993 5,058 6,248 5,246 5,619 5,628 5,974 6,505 Other income 67,943 35,853 29,362 21,538 33,042 30,527 25,963 14,918 298,634 250,635 201,721 204,473 289,285 291,395 207,806 143,401 Expenses 176,861 156,491 143,761 142,441 159,877 152,117 123,548 113,262 Income before (benefit from) provision for income taxes 121,773 94,144 57,960 62,032 129,408 139,278 84,258 30,139 (Benefit from) provision for income taxes (2,125) 11,652 7,214 7,646 15,568 16,976 9,963 3,596 Net income 123,898 82,492 50,746 54,386 113,840 122,302 74,295 26,543 Less: Net income attributable to noncontrolling interest 61,580 65,411 40,267 43,507 91,096 98,617 59,820 21,368 Net income attributable to PennyMac Financial Services, Inc. common stockholders $ 62,318 $ 17,081 $ 10,479 $ 10,879 $ 22,744 $ 23,685 $ 14,475 $ 5,175 Earnings per share of common stock: Basic $ 2.67 $ 0.73 $ 0.45 $ 0.48 $ 1.02 $ 1.07 $ 0.66 $ 0.24 Diluted $ 2.44 $ 0.71 $ 0.44 $ 0.47 $ 1.00 $ 1.06 $ 0.65 $ 0.23 At quarter end: Mortgage loans held for sale at fair value $ 3,099,103 $ 2,935,593 $ 3,037,602 $ 2,277,751 $ 2,172,815 $ 3,127,377 $ 2,097,138 $ 1,653,963 Mortgage servicing rights 2,119,588 2,016,485 1,951,599 1,725,061 1,627,672 1,337,674 1,290,928 1,337,082 Carried Interest from Investment Funds 8,552 8,547 71,019 70,778 70,906 70,870 70,763 70,519 Servicing advances, net 318,066 262,650 291,907 317,513 348,306 306,150 296,581 284,140 Other assets 1,822,784 1,165,094 1,052,611 860,274 914,203 754,123 860,910 635,559 Total assets $ 7,368,093 $ 6,388,369 $ 6,404,738 $ 5,251,377 $ 5,133,902 $ 5,596,194 $ 4,616,320 $ 3,981,263 Assets sold under agreements to repurchase $ 2,381,538 $ 2,096,492 $ 3,021,328 $ 2,034,808 $ 1,735,114 $ 2,491,366 $ 1,591,798 $ 1,658,578 Mortgage loan participation and sale agreement 527,395 531,776 243,361 241,638 671,426 782,913 737,176 246,636 Notes payable 891,505 890,884 429,692 436,725 150,942 110,619 114,235 127,693 Excess servicing spread financing at fair value to PennyMac Mortgage Investment Trust 236,534 248,763 261,796 277,484 288,669 280,367 294,551 321,976 Other liabilities 1,611,447 1,030,163 937,309 803,127 888,395 640,525 707,707 533,167 Total liabilities 5,648,419 4,798,078 4,893,486 3,793,782 3,734,546 4,305,790 3,445,467 2,888,050 Total equity 1,719,674 1,590,291 1,511,252 1,457,595 1,399,356 1,290,404 1,170,853 1,093,213 Total liabilities and equity $ 7,368,093 $ 6,388,369 $ 6,404,738 $ 5,251,377 $ 5,133,902 $ 5,596,194 $ 4,616,320 $ 3,981,263 |
Parent Company Information
Parent Company Information | 12 Months Ended |
Dec. 31, 2017 | |
Parent Company Information | |
Parent Company Information | Note 27—Parent Company Information The Company’s debt financing agreements require PLS, the Company’s indirect controlled subsidiary, to comply with financial covenants that include a minimum tangible net worth of $500 million. PLS is limited from transferring funds to the Parent by this minimum tangible net worth requirement. PENNYMAC FINANCIAL SERVICES, INC. CONDENSED BALANCE SHEETS December 31, 2017 2016 (in thousands) ASSETS Cash $ 2,605 $ 5,505 Investments in subsidiaries 556,439 472,792 Due from subsidiaries 6,538 3,585 Total assets $ 565,582 $ 481,882 LIABILITIES AND STOCKHOLDERS' EQUITY Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement $ 44,011 $ 75,954 Income taxes payable 52,160 25,077 Total liabilities 96,171 101,031 Stockholders' equity 469,411 380,851 Total liabilities and stockholders' equity $ 565,582 $ 481,882 PENNYMAC FINANCIAL SERVICES, INC. CONDENSED STATEMENTS OF INCOME Year ended December 31, 2017 2016 2015 (in thousands) Revenues Dividends from subsidiary $ — $ 6,418 $ 3,825 Interest — 49 121 Revaluation of Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement 32,940 551 (1,695) Total revenue 32,940 7,018 2,251 Expenses Interest — — 6 Total expenses — — 6 Income before provision for income taxes and equity in undistributed earnings in subsidiaries 32,940 7,018 2,245 Provision for income taxes 24,387 46,103 31,635 Income before equity in undistributed earnings of subsidiaries 8,553 (39,085) (29,390) Equity in undistributed earnings of subsidiaries 92,204 105,164 76,618 Net income $ 100,757 $ 66,079 $ 47,228 PENNYMAC FINANCIAL SERVICES, INC. CONDENSED STATEMENTS OF CASH FLOWS Year ended December 31, 2017 2016 2015 (in thousands) Cash flows from operating activities Net income $ 100,757 $ 66,079 $ 47,228 Adjustments to reconcile net income to net cash provided by (used in ) operating activities Equity in undistributed earnings of subsidiaries (92,204) (105,164) (76,618) Revaluation of Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement (32,940) (551) 1,695 Decrease in deferred tax asset — 18,668 29,730 Decrease (increase) in intercompany receivable 5,646 (76) (3,819) Payments to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement (6,726) — (5,132) Increase in income taxes payable 29,912 25,559 — Net cash provided by (used in) operating activities 4,445 4,515 (6,916) Cash flows from financing activities Repurchase of common stock (8,599) — — Proceeds from common stock options exercised 1,254 149 — Net cash provided by financing activities (7,345) 149 — Net change in cash (2,900) 4,664 (6,916) Cash at beginning of year 5,505 841 7,757 Cash at end of year $ 2,605 $ 5,505 $ 841 |
Recently Issued Accounting Pron
Recently Issued Accounting Pronouncements | 12 Months Ended |
Dec. 31, 2017 | |
Recently Issued Accounting Pronouncements. | |
Recently Issued Accounting Pronouncements | Note 28—Recently Issued Accounting Pronouncements Revenue Recognition In May 2014, the Financial Accounting Standards Board (“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. · 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 December 31, 2017, the Company had Carried Interest receivable totaling $8.6 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 $5.3 million, $7.9 million and $10.7 million of such common overhead as expense offsets in the years ended December 31, 2017, 2016 and 2015, 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 of 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 with changes in fair value recognized through current period Income. · 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 income 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. Leases 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 16 - Commitments and Contingencies, the Company had approximately $96.3 million in future minimum lease payment commitments as of December 31, 2017. Were the Company to adopt ASU 2016-02 as of December 31, 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 December 31, 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. Statement of Cash Flows In November of 2016, the FASB issued ASU 2016-18, Statement of Cash Flows (Topic 230) (“ASU 2016-18”). ASU 2016-18 requires that a statement of cash flows explain the change during the reporting period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. Therefore, amounts generally described as restricted cash and restricted cash equivalents should be included with cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts shown on the statement of cash flows. The amendments in ASU 2016-18 do not provide a definition of restricted cash or restricted cash equivalents. The amendments in ASU 2016-18 are effective for the Company’s fiscal year, including interim periods within the fiscal year ending December 31, 2018. The Company does not believe the adoption of ASU 2016-18 will have a significant effect on the Company’s consolidated statement of cash flows. |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2017 | |
Subsequent Events | |
Subsequent Events | Note 29—Subsequent Events · Through December 31, 2017, the Company accounted for certain of its MSRs using the amortization method. Beginning January 1, 2018, the Company will account for all MSRs at fair value prospectively. Management determined that a single accounting treatment across all MSRs is consistent with lender valuation under its financing arrangements and simplifies hedging activities. The accounting change will result in a $0.8 million increase in MSRs, a $71,000 increase in deferred tax liability and a $0.7 million increase in stockholders’ equity. The consolidated statement of income will not be affected by this change. · On February 1, 2018, the Company, through PLS, entered into a Loan and Security Agreement with Credit Suisse AG, Cayman Islands Branch (“CSCIB”), as lender (the “CS Loan Agreement”). Pursuant to the CS Loan Agreement, PLS may finance certain mortgage servicing rights and related excess servicing spread relating to mortgage loans pooled into Fannie Mae and Freddie Mac securities. Pursuant to the terms of the CS Loan Agreement, the Company may, subject to certain conditions, borrow up to a committed amount of $407 million, which amount is reduced by the aggregate outstanding amounts under various other credit facilities between the Company and its subsidiaries and CSCIB and its affiliates. · On February 28, 2018, the Company, through the Issuer Trust, issued an aggregate principal amount of $650 million in secured term notes (the “2018-GT1 Notes”) to qualified institutional buyers under Rule 144A of the Securities Act of 1933, as amended. The 2018-GT1 Notes are secured by certain participation certificates relating to Ginnie Mae MSRs and ESS that are financed pursuant to the GNMA MSR Facility and bear interest at a rate equal to one-month LIBOR plus 2.85% per annum, payable each month beginning in March 2018, on the 25th day of such month or, if such 25th day is not a business day, the next business day. The 2018-GT1 Notes will mature on February 25, 2023 or, if extended pursuant to the terms of the related indenture supplement, February 25, 2025 (unless earlier redeemed in accordance with their terms). The 2018-GT1 Notes will rank pari passu with the VFN issued by the Issuer Trust to PLS and the secured term notes due August 25, 2022 issued by Issuer Trust on August 10, 2017 (the “2017-GT2 Notes”). On February 28, 2018, the Company also redeemed all of the secured term notes due February 25, 2020 (the “2017-GT1 Notes”) previously issued by Issuer Trust. The redemption amount for the 2017-GT1 Notes was $400 million plus all accrued and unpaid interest. |
Significant Accounting Polici36
Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2017 | |
Significant Accounting Policies | |
Basis of Presentation | Basis of Presentation The Company’s consolidated financial statements have been prepared in compliance with accounting principles generally accepted in the United States (“GAAP”) as codified in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (the “ASC” or the “Codification”). |
Principles of Consolidation | Principles of Consolidation The consolidated financial statements include the accounts of PFSI, PennyMac and all of its wholly‑owned subsidiaries. Intercompany accounts and transactions have been eliminated. |
Use of Estimates | Use of Estimates The preparation of financial statements in conformity with GAAP requires management to make judgments and estimates that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results will likely differ from those estimates. |
Fair Value | Fair Value Most of the Company’s assets and certain of its liabilities are measured based on their fair values. The Company groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the 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 their 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. |
Short-Term Investments | Short‑Term Investments Short‑term investments, which represent investments in accounts with a depository institution such as money market funds, are carried at fair value. Changes in fair value are recognized in current period income. The Company classifies its short‑term investments as “Level 1” fair value assets. |
Mortgage Loans Held for Sale at Fair Value | Mortgage Loans Held for Sale at Fair Value Management has elected to account for mortgage loans held for sale at fair value, with changes in fair value recognized in current period income, to more timely reflect the Company’s performance. All changes in fair value, including changes arising from the passage of time, are recognized as a component of Net gains on mortgage loans held for sale at fair value . The Company classifies most of the mortgage loans held for sale at fair value as “Level 2” fair value assets. Certain of the Company’s mortgage loans held for sale may not be readily saleable due to identified defects or delinquency. Such mortgage loans are classified as “Level 3” fair value assets. Sale Recognition The Company recognizes transfers of mortgage loans as sales when it surrenders control over the mortgage loans. Control over transferred mortgage loans is deemed to be surrendered when (i) the mortgage loans have been isolated from the Company, (ii) the transferee has the right (free of conditions that constrain it from taking advantage of that right) to pledge or exchange the transferred mortgage loans, and (iii) the Company does not maintain effective control over the transferred mortgage loans through either (a) an agreement that entitles and obligates the Company to repurchase or redeem them before their maturity or (b) the ability to unilaterally cause the holder to return the specific mortgage loans. |
Interest Income Recognition | Interest Income Recognition Interest income on mortgage loans held for sale at fair value is recognized over the life of the mortgage loans using their contractual interest rates. Income recognition is suspended and the unpaid interest receivable is reversed against interest income when mortgage loans become 90 days delinquent, or when, in management’s opinion, a full recovery of interest and principal becomes doubtful. Income recognition is resumed when the mortgage loan becomes contractually current. |
Derivative Financial Instruments | Derivative Financial Instruments The Company holds and issues derivative financial instruments in connection with its operating activities. Derivative financial instruments are created as a result of certain of the Company’s operations and the Company also enters into derivative transactions as part of its interest rate risk management activities. Derivative financial instruments created as a result of the Company’s operations include: · Interest rate lock commitments (“IRLCs”) that are created when the Company commits to purchase or originate a mortgage loan acquired for sale at specified interest rates. · Derivatives that are embedded in a master repurchase agreement with a non-affiliate that provides for the Company to receive incentives for financing mortgage loans that satisfy certain consumer relief characteristics as provided in the master repurchase agreement. The Company is exposed to price risk relative to its mortgage loans held for sale as well as to IRLCs. The Company bears price risk from the time a commitment to fund a mortgage loan is made to a borrower or to purchase a mortgage loan from PMT, to the time the mortgage loan is sold. During this period, the Company is exposed to losses if mortgage market interest rates increase, because the fair value of the purchase commitment or prospective mortgage loan decreases. The Company also is exposed to risk relative to the fair value of its mortgage servicing rights (“MSRs”) when interest rates decrease. The Company engages in interest rate risk management activities in an effort to reduce the variability of earnings caused by changes in market interest rates. To manage this fair value risk resulting from interest rate risk, the Company uses derivative financial instruments acquired with the intention of reducing the risk that changes in market interest rates will result in unfavorable changes in the fair value of the Company’s IRLCs, inventory of mortgage loans held for sale and MSRs. IRLCs are accounted for as derivative financial instruments. The Company manages the risk created by IRLCs relating to mortgage loans held for sale by entering into forward sale agreements to sell the mortgage loans and by the purchase and sale of mortgage‑backed securities (“MBS”) options and futures. Such agreements are also accounted for as derivative financial instruments. These instruments and other interest-rate derivatives are also used to manage the risk created by changes in prepayment speeds on certain of the MSRs the Company holds. The Company classifies its IRLCs as “Level 3” fair value assets and liabilities and the derivative financial instruments it acquires to manage the risks created by IRLCs, mortgage loans held for sale and MSRs as “Level 1” or “Level 2” fair value assets and liabilities. The Company accounts for its derivative financial instruments as free‑standing derivatives. The Company does not designate its derivative financial instruments for hedge accounting. All derivative financial instruments are recognized on the consolidated balance sheet at fair value with changes in the fair values being reported in current period income. Changes in fair value of derivative financial instruments hedging IRLCs, mortgage loans held for sale at fair value and MSRs are included in Net gains on mortgage loans held for sale at fair value or in Amortization, impairment and change in fair value of mortgage servicing rights and mortgage servicing liabilities, as applicable, in the Company’s consolidated statements of income. Changes in fair value of derivative assets relating to a master repurchase agreement are included in Interest expense . When the Company has multiple derivative financial instruments with the same counterparty subject to a master netting arrangement, it offsets the amounts recorded as assets and liabilities and amounts recognized for the right to reclaim cash collateral it has deposited with the counterparty or the obligation to return cash collateral it has collected from the counterparty arising from that master netting arrangement. Such offset amounts are presented as either a net asset or liability by counterparty on the Company’s consolidated balance sheets. |
Servicing Advances | Servicing Advances Servicing advances represent advances made on behalf of borrowers and the mortgage loans’ investors to fund property taxes, insurance premiums and out-of-pocket collection costs (e.g., preservation and restoration of mortgaged or real estate owned property, legal fees, and appraisals). Servicing advances are made in accordance with the Company’s servicing agreements and, when made, are deemed recoverable. The Company periodically reviews servicing advances for collectability and provides a valuation allowance for amounts estimated to be uncollectable. Servicing advances are written off when they are deemed uncollectable. |
Carried Interest Due from Investment Funds | Carried Interest Due from Investment Funds Carried Interest, in general terms, is the share of any profits in excess of specified levels that the general partners receive as compensation. The Company has a general partnership interest or other Carried Interest arrangement with the Investment Funds, and earns Carried Interest thereunder. The amount of Carried Interest to be recorded each period is based on the cash flows that would be realized by all partners assuming liquidation of the Investment Funds’ remaining investments as of the measurement date. The Company receives Carried Interest in the priority of distribution as provided in the charter documents relating to the respective Investment Funds. |
Investment in PennyMac Mortgage Investment Trust at Fair Value | Investment in PennyMac Mortgage Investment Trust at Fair Value Common shares of beneficial interest in PMT are carried at their fair value with changes in fair value recognized in current period income. Fair value for purposes of the Company’s holdings in PMT is based on the published closing price of the shares as of period end. The Company classifies its investment in common shares of PMT as a “Level 1” fair value asset. |
Mortgage Servicing Rights and Mortgage Servicing Liabilities | Mortgage Servicing Rights and Mortgage Servicing Liabilities MSRs and mortgage servicing liabilities (“MSLs”) arise from contractual agreements between the Company and investors (or their agents) in mortgage securities and mortgage loans. Under these contracts, the Company performs mortgage loan servicing functions in exchange for fees and other remuneration. The servicing functions typically performed include, among other responsibilities, collecting and remitting loan payments; responding to borrower inquiries; accounting for principal and interest; holding custodial (impound) funds for payment of property taxes and insurance premiums; counseling delinquent mortgagors; supervising the acquisition of real estate in settlement of loans (“REO”) and property disposition. REO represents real estate that collateralized the mortgage loans before the properties were acquired in settlement of loans. The fair value of MSRs and MSLs is derived from the net positive or negative, respectively, cash flows associated with the servicing contracts. The Company receives a servicing fee ranging generally from 0.19% to 0.57% annually, net of related guarantee fees, on the remaining outstanding principal balances of the mortgage loans subject to the servicing contracts. The servicing fees are collected from the monthly payments made by the mortgagors. The Company is contractually entitled to receive other remuneration including rights to various mortgagor‑contracted fees such as late charges and collateral reconveyance charges, and the Company is generally entitled to retain the interest earned on funds held pending remittance related to its collection of mortgagor payments. The Company also generally has the right to solicit the mortgagors for other products and services as well as for new mortgages for those considering refinancing or purchasing a new home. The Company recognizes MSRs and MSLs initially at fair value, either as proceeds from or liabilities incurred in, sales of mortgage loans where the Company assumes the obligation to service the mortgage loan in the sale transaction, or from the purchase of MSRs or receipt of cash for acceptance of MSLs. The Company’s subsequent accounting for MSRs and MSLs is based on the class of MSR or MSL. The Company has identified three classes of MSRs: originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5%; MSRs backed by mortgage loans with initial interest rates of more than 4.5%; and purchased MSRs financed in part through the transfer of the right to receive excess servicing spread (“ESS”) cash flows. 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. Originated MSRs backed by loans with initial interest rates of more than 4.5% and purchased MSRs financed in part by ESS are accounted for at fair value with changes in fair value recorded in current period income. MSLs are carried at fair value with changes in fair value recorded in current period income. The fair value of MSRs and MSLs is difficult to determine because MSRs and MSLs are not actively traded in observable stand‑alone markets. Considerable judgment is required to estimate the fair values of MSRs and MSLs and the exercise of such judgment can significantly affect the Company’s income. Therefore, the Company classifies its MSRs and MSLs as “Level 3” fair value assets and liabilities. MSRs and MSLs are generally subject to reduction in fair value when mortgage interest rates decrease. Decreasing mortgage interest rates normally encourage increased mortgage refinancing activity. Increased refinancing activity reduces the expected life of the mortgage loans underlying the MSRs and MSLs, thereby reducing their fair value. Reductions in the fair value of MSRs and MSLs affect earnings primarily through change in fair value and impairment charges. For MSRs backed by mortgage loans with historically low mortgage interest rates, factors other than interest rates (such as housing price changes) take on increasing influence on prepayment behavior of the underlying mortgage loans. MSRs Accounted for Using the Amortization Method The Company amortizes MSRs that are accounted for using the amortization method. MSR amortization is determined by applying the ratio of the net MSR cash flows projected for the current period to the estimated total remaining projected net MSR cash flows. The estimated total net MSR cash flows are determined at the beginning of each month using prepayment inputs applicable at that time. MSRs accounted for using the amortization method are periodically evaluated for impairment. Impairment occurs when the current fair value of the MSRs decreases below the asset’s amortized cost. If MSRs are impaired, the impairment is recognized in current‑period income and the carrying value (carrying value is the MSR’s amortized cost reduced by any related valuation allowance) of the MSRs is adjusted through a valuation allowance. If the fair value of impaired MSRs subsequently increases, the increase in fair value is recognized in current‑period income. When an increase in fair value of MSR is recognized, the valuation allowance is adjusted to increase the carrying value of the MSRs only to the extent of the valuation allowance. For impairment evaluation purposes, the Company stratifies its MSRs by predominant risk characteristic when evaluating for impairment. For purposes of performing its MSR impairment evaluation, the Company stratifies its servicing portfolio on the basis of certain risk characteristics including mortgage loan type (fixed‑rate or adjustable‑rate) and note interest rate. Fixed‑rate mortgage loans are stratified into note rate pools of 50 basis points for note rates between 3.0% and 4.5% and a single pool for note rates of less than or equal to 3.0%. If the fair value of MSRs in any of the note interest rate pools is below the carrying value of the MSRs for that pool, impairment is recognized to the extent of the difference between the estimated fair value and the carrying value of that pool. Management periodically reviews the various impairment strata to determine whether the fair value of the impaired MSRs in a given stratum is likely to recover. When management deems recovery of the fair value to be unlikely in the foreseeable future, a write‑down of the cost of the MSRs for that stratum to its estimated recoverable value is charged to the valuation allowance. Both amortization and changes in the amount of the MSR valuation allowance are recorded in current period income in Amortization, impairment and change in fair value of mortgage servicing rights and mortgage servicing liabilities in the consolidated statements of income. MSRs and MSLs Accounted for at Fair Value Changes in fair value of MSLs and MSRs accounted for at fair value are recognized in current period income in Amortization, impairment and change in fair value of mortgage servicing rights in the consolidated statements of income. |
Furniture, Fixtures, Equipment and Building Improvements | Furniture, Fixtures, Equipment and Building Improvements Furniture, fixtures, equipment and building improvements are stated at historical cost less accumulated depreciation and amortization. Depreciation and amortization are computed using the straight‑line method over the estimated useful lives of the various classes of assets, which range from five to seven years for furniture and equipment and the lesser of the asset’s estimated useful life or the remaining lease term for fixtures and building improvements. |
Capitalized Software | Capitalized Software The Company capitalizes certain consulting, payroll, and payroll‑related costs related to computer software developed for internal use. Once development is complete and the software is placed in service, the Company amortizes the capitalized costs over five to seven years using the straight‑line method. The Company also periodically assesses capitalized software for recoverability when events or changes in circumstances indicate that their carrying amount may not be recoverable. If management identifies an indicator of impairment, it assesses recoverability by comparing the carrying amount of the asset to the sum of the undiscounted cash flows expected to result from the use and the eventual disposal of the asset. An impairment loss is recognized when the carrying amount is not recoverable and is measured as the excess of carrying value over fair value. |
Mortgage Loans Eligible for Repurchase | Mortgage Loans Eligible for Repurchase The terms of the Ginnie Mae MBS program allow, but do not require, the Company to repurchase mortgage loans when the borrower has made no payments for three consecutive months. As a result of this right, the Company recognizes the mortgage loans in Mortgage loans eligible for repurchase at their unpaid principal balances and records a corresponding liability in Liability for mortgage loans eligible for repurchase on its consolidated balance sheets. |
Borrowings | Borrowings The carrying value of borrowings other than ESS are based on the accrued cost of the agreements. The costs of creating the facilities underlying the agreements are included in the carrying value of the agreements and are amortized to Interest expense over the terms of the respective borrowing facilities: · Debt issuance costs relating to revolving facilities, such as repurchase agreement and mortgage loan participation purchase and sale facilities are amortized on the straight line basis over the term of the facility; · Debt issuance cost relating to non-revolving debts, such as Notes payable are amortized using the interest method; · Premiums recorded as the results of recognition of repurchase agreement derivatives are amortized to Interest expense over the contractual term of the repurchase agreement. Unamortized premiums relating to repurchase agreements repaid before the transaction’s contractual maturity are credited to Interest expense . |
Excess Servicing Spread Financing at Fair Value | Excess Servicing Spread Financing at Fair Value The Company finances certain of its purchases of Agency MSRs through the sale to PMT of the right to receive the excess of the servicing fee rate over a specified rate of the underlying MSRs. This excess is referred to as the ESS. ESS is carried at its fair value. Changes in fair value are recognized in current period income in Change in fair value of excess servicing spread payable to PennyMac Mortgage Investment Trust . Interest expense for ESS is accrued using the interest method based upon the expected cash flows from the ESS through the expected life of the underlying mortgage loans. |
Liability for Losses Under Representations and Warranties | Liability for Losses Under Representations and Warranties The Company provides for its estimate of the losses that it expects to incur in the future as a result of its breach of the representations and warranties that it provides to the purchasers and insurers of the mortgage loans it has sold. The Company’s agreements with the Agencies and other investors include representations and warranties related to the mortgage loans the Company sells to the Agencies and other investors. The representations and warranties require adherence to Agency and other investor origination and underwriting guidelines, including but not limited to the validity of the lien securing the mortgage loan, property eligibility, borrower credit, income and asset requirements, and compliance with applicable federal, state and local law. In the event of a breach of its representations and warranties, the Company may be required to either repurchase the mortgage loans with the identified defects or indemnify the investor or insurer. In such cases, the Company bears any subsequent credit loss on the mortgage loans. The Company’s credit loss may be reduced by any recourse it may realize from correspondent mortgage loan sellers that, in turn, had sold such mortgage loans to PMT and breached similar or other representations and warranties. In such event, the Company has the right to seek a recovery of related repurchase losses from that correspondent mortgage loan sellers, through PMT. The Company records a provision for losses relating to representations and warranties as part of its mortgage loan sale transactions. The method used to estimate the liability for representations and warranties is a function of the representations and warranties given and considers a combination of factors, including, but not limited to, estimated future defaults and mortgage loan repurchase rates, the estimated severity of loss in the event of default and the probability of reimbursement by the correspondent mortgage loan seller. The Company establishes a liability at the time mortgage loans are sold and periodically updates its liability estimate. The level of the liability for representations and warranties is reviewed and approved by the Company’s management credit committee. The level of the liability for representations and warranties is difficult to estimate and requires considerable management judgment. The level of mortgage loan repurchase losses is dependent on economic factors, investor repurchase demand or insurer claim denial strategies, and other external conditions that may change over the lives of the underlying mortgage loans. The Company’s representations and warranties are generally not subject to stated limits of exposure. However, the Company believes that the current unpaid principal balance of mortgage loans sold to date represents the maximum exposure to repurchases related to representations and warranties. |
FulFillment Fees | Fulfillment Fees Fulfillment fees represent fees the Company collects for services it performs on behalf of PMT in connection with the acquisition, packaging and sale of mortgage loans. Fulfillment fee amounts are based upon a negotiated fee schedule and the unpaid principal balance of the mortgage loans purchased by PMT. The Company’s obligation under the agreement is fulfilled when PMT completes the sale or securitization of a mortgage loan it purchases. Fulfillment fees are generally collected within 30 days of purchase by PMT, although a portion of the fulfillment fees may not be collected until 30 days following sale or securitization to the extent such sale or securitization does not occur in the month of purchase. Fulfillment fee revenue is recognized in the month the fee is earned. |
Mortgage Loan Servicing Fees | Mortgage Loan Servicing Fees Mortgage loan servicing fees are received by the Company for servicing residential mortgage loans. Mortgage loan servicing activities include loan administration, collection, and default management, including the collection and remittance of loan payments; response to customer inquiries; accounting for principal and interest; holding custodial (impounded) funds for the payment of property taxes and insurance premiums; counseling delinquent mortgagors; and supervising foreclosures and REO property dispositions. Mortgage loan servicing fee amounts are based upon fee schedules established by the applicable investor and on the unpaid principal balance of the mortgage loans serviced in the case of prime mortgage loans or the applicable mortgage loan’s collection status in the case of special servicing. The Company’s obligations under its mortgage loan servicing agreements are fulfilled as the Company services the mortgage loans and are collected when the mortgage loan payments are received from the borrowers in the case of prime mortgage loan servicing or within 30 days of the applicable month-end from the investor for special servicing. Prime mortgage loan servicing fees are recorded net of Agency guarantee fees paid by the Company and are recognized when the mortgage loan payments are received from the borrowers. Mortgage loan servicing fees relating to special servicing are recognized in the month in which the mortgage loans are serviced. |
Management fees | Management fees Management fees represent compensation to the Company for its management services provided to the Advised Entities. Management fees are earned based on the Investment Funds’ net assets and PMT’s shareholders’ equity amounts and profitability in excess of specified thresholds, and are recognized as services are provided and are paid to the Company on a quarterly basis within 30 days of the end of the quarter. |
Stock-Based Compensation | Stock‑Based Compensation The Company’s 2013 Equity Incentive Plan provides for awards of nonstatutory and incentive stock options, time‑based restricted stock units, performance‑based restricted stock units, stock appreciation rights, performance units and stock grants. The Company establishes the cost of its share-based awards at the awards’ fair values at the grant date of the awards. The Company estimates the fair value of time‑based restricted stock units and performance‑based restricted stock units awarded with reference to the fair value of its underlying common stock and expected forfeiture rates on the date of the award. The Company estimates the fair value of its stock option awards with reference to the expected price volatility of its shares of common stock and risk-free interest rate for the period that exercisable stock options are expected to be outstanding. Compensation costs are fixed, except for performance‑based restricted stock units, as of the award date as all grantees are employees of PennyMac or directors of the Company. The cost of performance‑based restricted stock units is adjusted in each reporting period after the grant for changes in expected performance attainment until the performance share units vest. The Company amortizes the cost of stock based awards to compensation expense over the vesting period using the graded vesting method. Expense relating to awards is included in Compensation expense in the consolidated statements of income. |
Income Taxes | Income Taxes The Company is subject to federal and state income taxes. Income taxes are provided using the asset and liability method. Deferred tax assets and liabilities are recognized for the future tax consequences attributable to differences between financial statement carrying amounts of existing assets and liabilities and their respective tax bases. Deferred tax assets and liabilities are measured using the enacted tax rates expected to apply to taxable income in the years in which those temporary differences are expected to be recovered or settled. The effect on deferred taxes of a change in tax rates is recognized in income in the period in which the change occurs. A valuation allowance is established if, in management’s judgment, it is not more likely than not that a deferred tax asset will be realized. The Company recognizes tax benefits relating to its tax positions only if, in the opinion of management, it is more likely than not that the tax position will be sustained upon examination by the appropriate taxing authority. A tax position that meets this standard is recognized as the largest amount that is greater than 50% likely to be realized upon ultimate settlement with the appropriate taxing authority. The Company will classify any penalties and interest as a component of provision for income taxes. As a result of the PennyMac recapitalization and reorganization in 2013, the Company expects to benefit from amortization and other tax deductions due to increases in the tax basis of PennyMac’s assets from the exchange of PennyMac Class A units to the shares of the Company’s common stock. Those deductions will be allocated to the Company and will be taken into account in reporting the Company’s taxable income. The Company has entered into an agreement with the unitholders of PennyMac that will provide for the additional payment by the Company to exchanging unitholders of PennyMac equal to 85% of the amount of cash savings, if any, in U.S. federal, state and local income tax that PFSI realizes due to (i) increases in tax basis resulting from exchanges of the then‑existing unitholders and (ii) certain other tax benefits related to PFSI entering into the tax receivable agreement, including tax benefits attributable to payments under the tax receivable agreement. |
Transactions with Affiliates (T
Transactions with Affiliates (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Transactions with Affiliates | |
Summary of activity in Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | Year ended December 31, 2017 2016 2015 (in thousands) Activity during the year: Liability resulting from unit exchanges $ 7,723 $ 2,190 $ 2,728 Payments under tax receivable agreement $ (6,726) $ — $ (5,132) Repricing of liability (1) $ (32,940) $ (551) $ 1,695 Balance at end of year $ 44,011 $ 75,954 |
PMT | |
Transactions with Affiliates | |
Summary of lending activity between the Company and affiliate | Year ended December 31, 2017 2016 2015 (in thousands) Net gain (loss) on mortgage loans held for sale at fair value: Net gain on mortgage loans held for sale to PMT $ 28,238 $ — $ — Mortgage servicing rights and excess servicing spread recapture incurred (6,249) (8,092) (7,836) $ 21,989 $ (8,092) $ (7,836) Fair value of mortgage loans sold to PMT 904,097 21,541 28,445 Fulfillment fee revenue $ 80,359 $ 86,465 $ 58,607 Unpaid principal balance of mortgage loans fulfilled for PMT $ 22,971,119 $ 23,188,386 $ 14,014,603 Sourcing fees paid to PMT $ 12,084 $ 11,976 $ 8,966 Unpaid principal balance of mortgage loans purchased from PMT $ 40,561,241 $ 39,908,163 $ 29,867,580 Tax service fees received from PMT included in Mortgage loan origination fees $ 7,078 $ 6,690 $ 4,390 Property management fees received from PMT included in Other income $ 350 $ $ 14 Early purchase program fees earned from PMT included in Mortgage loan servicing fees $ 7 $ 30 $ — |
Summary of mortgage loan servicing fees earned from PMT | Year ended December 31, 2017 2016 2015 (in thousands) Mortgage loans acquired for sale at fair value: Base and supplemental $ 305 $ 330 $ 260 Activity-based 649 733 371 954 1,063 631 Mortgage loans at fair value: Base and supplemental 6,650 11,078 16,123 Activity-based 8,960 18,521 12,437 15,610 29,599 28,560 Mortgage servicing rights: Base and supplemental 25,991 19,461 16,911 Activity-based 509 492 321 26,500 19,953 17,232 $ 43,064 $ 50,615 $ 46,423 |
Summary of management fees earned | Year ended December 31, 2017 2016 2015 (in thousands) Base management $ 22,280 $ 20,657 $ 22,851 Performance incentive 304 — 1,343 $ 22,584 $ 20,657 $ 24,194 |
Summary of reimbursement of expenses | Year ended December 31, 2017 2016 2015 (in thousands) Reimbursement of: Common overhead incurred by the Company $ 5,306 $ 7,898 $ 10,742 Expenses incurred on PMT's (the Company's) behalf, net 2,257 (163) 582 $ 7,563 $ 7,735 $ 11,324 Payments and settlements during the period (1) $ 64,945 $ 143,542 $ 99,967 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 | Year ended December 31, 2017 2016 2015 (in thousands) Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell: Activity during the year: Refinancing of note receivable from PennyMac Mortgage Investment Trust $ — $ 150,000 $ — Sale of assets purchased from PMT under agreement to resell $ 5,872 $ — $ — Interest income $ 8,038 $ 253 $ — Balance at end of year $ 144,128 $ 150,000 $ — Note receivable from PennyMac Mortgage Investment Trust: Activity during the year: Advances to PennyMac Mortgage Investment Trust $ — $ — $ 168,546 Repayments and refinancing with repurchase agreement from PennyMac Mortgage Investment Trust $ — $ 150,000 $ 18,546 Interest income $ — $ 7,577 $ 3,343 Balance at end of year $ — $ — $ 150,000 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Activity during the year: Dividends earned from PennyMac Mortgage Investment Trust $ 141 $ 141 $ 207 Change in fair value of investment in common shares of PennyMac Mortgage Investment Trust (23) 83 (437) $ 118 $ 224 $ (230) Balance at end of year: Fair value $ 1,205 $ 1,228 Number of shares 75 75 |
Summary of financing activity between the Company and affiliate | Year ended December 31, 2017 2016 2015 (in thousands) Excess servicing spread financing: Issuance: Cash $ — $ — $ 271,554 Pursuant to recapture agreement $ 5,244 $ 6,603 $ 6,728 Repayment $ 54,980 $ 69,992 $ 78,578 Settlement $ — $ 59,045 $ — Change in fair value $ (19,350) $ (23,923) $ (3,810) Interest expense $ 16,951 $ 22,601 $ 25,365 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 $ 4,820 $ 6,529 $ 7,049 Balance at end of year $ 236,534 $ 288,669 |
Summary of amounts due from and payable to affiliate | December 31, 2017 2016 (in thousands) Receivable from PMT: Allocated expenses and expenses incurred on PMT's behalf $ 11,542 $ 1,046 Servicing fees 6,583 5,465 Management fees 5,901 5,081 Correspondent production fees 1,735 2,371 Conditional Reimbursement 870 900 Fulfillment fees 346 1,300 Interest on assets purchased under agreements to resell 142 253 $ 27,119 $ 16,416 Payable to PMT: Deposits made by PMT to fund servicing advances $ 132,844 $ 162,945 Mortgage servicing rights recapture payable 282 707 Other 3,872 6,384 $ 136,998 $ 170,036 |
Investment Funds | |
Transactions with Affiliates | |
Summary of amounts due from and payable to affiliate | December 31, 2017 2016 (in thousands) Carried Interest due from Investment Funds: PNMAC Mortgage Opportunity Fund, LLC $ 6,389 $ 42,427 PNMAC Mortgage Opportunity Fund Investors, LLC 2,163 28,479 $ 8,552 $ 70,906 Receivable from Investment Funds: Mortgage loan servicing fee rebate deposit $ 300 $ 250 Management fees 88 500 Expense reimbursements 27 238 Mortgage loan servicing fees 2 231 $ 417 $ 1,219 Payable to Investment Funds: Deposits received to fund servicing advances $ 2,329 $ 20,221 Other 98 172 $ 2,427 $ 20,393 |
Loan Sales and Servicing Acti38
Loan Sales and Servicing Activities (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Loan Sales and Servicing Activities | |
Summary of cash flows between the Company and transferees upon sale of mortgage loans in transactions | Year ended December 31, 2017 2016 2015 (in thousands) Cash flows: Sales proceeds $ 50,235,245 $ 49,633,909 $ 36,679,638 Servicing fees received (1) $ 376,160 $ 261,163 $ 140,767 Net servicing advances $ 52,353 $ 8,274 $ 9,842 (1) Net of guarantees paid to the Agencies |
Summary of sale of loans between the Company and transferees upon sale of mortgage loans in transactions | December 31, 2017 2016 (in thousands) Unpaid principal balance of mortgage loans outstanding $ 120,853,138 $ 89,516,155 Delinquencies: 30-89 days $ 5,097,688 $ 2,545,970 90 days or more: Not in foreclosure $ 2,303,114 $ 735,263 In foreclosure $ 606,744 $ 137,856 Foreclosed $ 30,310 $ 2,552 Bankruptcy $ 657,368 $ 256,471 |
Summary of mortgage servicing portfolio | December 31, 2017 Contract Total Servicing servicing and mortgage rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 120,853,138 $ — $ 120,853,138 Purchased 47,016,708 — 47,016,708 167,869,846 — 167,869,846 Advised Entities — 74,980,268 74,980,268 Mortgage loans held for sale 2,998,377 — 2,998,377 $ 170,868,223 $ 74,980,268 $ 245,848,491 Delinquent mortgage loans: 30 days $ 5,326,710 $ 515,922 $ 5,842,632 60 days 1,935,216 215,957 2,151,173 90 days or more: Not in foreclosure 3,690,159 541,945 4,232,104 In foreclosure 916,614 293,835 1,210,449 Foreclosed 41,244 278,890 320,134 $ 11,909,943 $ 1,846,549 $ 13,756,492 Bankruptcy $ 1,046,969 $ 176,324 $ 1,223,293 Custodial funds managed by the Company (1) $ 3,267,279 $ 901,041 $ 4,168,320 (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 is 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 Advised 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 is included in Interest income in the Company’s consolidated statements of income. |
Summary of the geographical distribution of loans for the top five and all other states as measured by the total unpaid principal balance (UPB) | December 31, December 31, State 2017 2016 (in thousands) California $ 45,621,369 $ 42,303,952 Texas 19,741,970 16,037,426 Florida 17,490,194 12,817,627 Virginia 16,210,673 13,143,510 Maryland 11,350,939 8,564,923 All other states 135,433,346 101,372,564 $ 245,848,491 $ 194,240,002 |
Fair Value (Tables)
Fair Value (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Fair Value | |
Summary of financial statement items measured at estimated fair value on a recurring basis | December 31, 2017 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 170,080 $ — $ — $ 170,080 Mortgage loans held for sale at fair value — 2,316,892 782,211 3,099,103 Derivative assets: Interest rate lock commitments — — 60,012 60,012 Repurchase agreement derivatives — — 10,656 10,656 Forward purchase contracts — 4,288 — 4,288 Forward sales contracts — 2,101 — 2,101 MBS put options — 3,481 — 3,481 Put options on interest rate futures purchase contracts 3,570 — — 3,570 Call options on interest rate futures purchase contracts 938 — — 938 Total derivative assets before netting 4,508 9,870 70,668 85,046 Netting — — — (6,867) Total derivative assets 4,508 9,870 70,668 78,179 Investment in PennyMac Mortgage Investment Trust 1,205 — — 1,205 Mortgage servicing rights at fair value — — 638,010 638,010 $ 175,793 $ 2,326,762 $ 1,490,889 $ 3,986,577 Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ — $ 236,534 $ 236,534 Derivative liabilities: Interest rate lock commitments — — 1,740 1,740 Forward purchase contracts — 1,272 — 1,272 Forward sales contracts — 7,031 — 7,031 Total derivative liabilities before netting — 8,303 1,740 10,043 Netting — — — (4,247) Total derivative liabilities — 8,303 1,740 5,796 Mortgage servicing liabilities at fair value — — 14,120 14,120 $ — $ 8,303 $ 252,394 $ 256,450 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 | Year ended December 31, 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 2,928,249 302,389 10,986 183,850 3,425,474 Sales and repayments (1,339,580) — — — (1,339,580) Mortgage servicing rights resulting from mortgage loan sales — — — 24,471 24,471 Changes in fair value included in income arising from: — Changes in instrument-specific credit risk (1,794) — — — (1,794) Other factors — 115,434 (330) (86,236) 28,868 (1,794) 115,434 (330) (86,236) 27,404 Transfers from Level 3 to Level 2 (851,935) — — — (851,935) Transfers of interest rate lock commitments to mortgage loans held for sale — (418,942) — — (418,942) Balance, December 31, 2017 $ 782,211 $ 58,272 $ 10,656 $ 638,010 $ 1,489,149 Changes in fair value recognized during the year relating to assets still held at December 31, 2017 $ (556) $ 58,272 $ (330) $ (86,236) $ (28,850) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Year ended December 31, 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 5,244 — 5,244 Accrual of interest 16,951 — 16,951 Repayments (54,980) — (54,980) Mortgage servicing liabilities resulting from mortgage loan sales — 17,229 17,229 Changes in fair value included in income (19,350) (18,301) (37,651) Balance, December 31, 2017 $ 236,534 $ 14,120 $ 250,654 Changes in fair value recognized during the year relating to liabilities still outstanding at December 31, 2017 $ (19,350) $ (18,301) $ (37,651) Year ended December 31, 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 1,608,627 — 146 1,608,773 Sales and repayments (1,202,621) — — (1,202,621) Interest rate lock commitments issued, net — 429,598 — 429,598 Mortgage servicing rights resulting from mortgage loan sales — — 17,319 17,319 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 3,469 — — 3,469 Other factors — 143,867 (161,787) (17,920) 3,469 143,867 (161,787) (14,451) Transfers from Level 3 to Level 2 (410,735) — — (410,735) Transfers of interest rate lock commitments to mortgage loans held for sale — (557,847) — (557,847) Balance, December 31, 2016 $ 47,271 $ 59,391 $ 515,925 $ 622,587 Changes in fair value recognized during the year relating to assets still held at December 31, 2016 $ 936 $ 59,391 $ (161,787) $ (101,460) (1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. Year ended December 31, 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 6,603 — 6,603 Accrual of interest 22,601 — 22,601 Repayments (69,992) — (69,992) Settlement (59,045) — (59,045) Mortgage servicing liabilities resulting from mortgage loan sales — 14,991 14,991 Mortgage servicing liabilities assumed — 10,139 10,139 Changes in fair value included in income (23,923) (11,337) (35,260) Balance, December 31, 2016 $ 288,669 $ 15,192 $ 303,861 Changes in fair value recognized during the year relating to liabilities still outstanding at December 31, 2016 $ (16,713) $ (11,337) $ (28,050) Year ended December 31, 2015 Mortgage Net interest Mortgage loans held rate lock servicing for sale commitments (1) rights Total (in thousands) Assets: Balance December 31, 2014 $ 209,908 $ 32,401 $ 325,383 $ 567,692 Purchases 911,124 — 382,824 1,293,948 Sales and repayments (844,419) — — (844,419) Interest rate lock commitments issued, net — 271,692 — 271,692 Mortgage servicing rights resulting from mortgage loan sales — — 18,013 18,013 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 4,233 — — 4,233 Other factors — 73,068 (65,973) 7,095 4,233 73,068 (65,973) 11,328 Transfers from Level 3 to Level 2 (232,315) — — (232,315) Transfers of interest rate lock commitments to mortgage loans held for sale — (333,388) — (333,388) Balance, December 31, 2015 $ 48,531 $ 43,773 $ 660,247 $ 752,551 Changes in fair value recognized during the year relating to assets still held at December 31, 2015 $ 4,305 $ 43,773 $ (65,973) $ (17,895) (1) For the purpose of this table, the interest rate lock asset and liability positions are shown net. Year ended December 31, 2015 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance December 31, 2014 $ 191,166 $ 6,306 $ 197,472 Issuance of excess servicing spread financing: For cash 271,554 — 271,554 Pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 6,728 — 6,728 Accrual of interest 25,365 — 25,365 Repayments (78,578) — (78,578) Mortgage servicing liabilities resulting from mortgage loan sales — 20,442 20,442 Mortgage servicing liabilities assumed — — — Changes in fair value included in income (3,810) (25,349) (29,159) Balance, December 31, 2015 $ 412,425 $ 1,399 $ 413,824 Changes in fair value recognized during the year relating to liabilities still outstanding at December 31, 2015 $ (3,810) $ (25,349) $ (29,159) |
Summary of net gains (losses) from changes in fair values included in earnings for financial statement items carried at fair value | Year ended December 31, 2017 2016 2015 Net gains on Net Net gains on Net Net gains on Net mortgage mortgage mortgage mortgage mortgage mortgage loans held loan loans held loan loans held loan for sale at servicing for sale at servicing for sale at servicing fair value fees Total fair value fees Total fair value fees Total (in thousands) Assets: Mortgage loans held for sale at fair value $ 426,092 $ — $ 426,092 $ 513,331 $ — $ 513,331 $ 372,139 $ — $ 372,139 Mortgage servicing rights at fair value — (86,236) (86,236) — (161,787) (161,787) — (65,973) (65,973) $ 426,092 $ (86,236) $ 339,856 $ 513,331 $ (161,787) $ 351,544 $ 372,139 $ (65,973) $ 306,166 Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ — $ 19,350 $ 19,350 $ — $ 23,923 $ 23,923 $ — $ 3,810 $ 3,810 Mortgage servicing liabilities at fair value — 18,301 18,301 — 11,337 11,337 — 25,349 25,349 $ — $ 37,651 $ 37,651 $ — $ 35,260 $ 35,260 $ — $ 29,159 $ 29,159 |
Schedule of fair value and related principal amounts due upon maturity of assets and liabilities accounted for under the fair value option | December 31, 2017 Principal amount Fair due upon value maturity Difference (in thousands) Mortgage loans held for sale: Current through 89 days delinquent $ 2,430,517 $ 2,326,772 $ 103,745 90 days or more delinquent: Not in foreclosure 614,329 614,357 (28) In foreclosure 54,257 57,248 (2,991) $ 3,099,103 $ 2,998,377 $ 100,726 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 | December 31, 2017 Level 1 Level 2 Level 3 Total (in thousands) Mortgage servicing rights at lower of amortized cost or fair value $ — $ — $ 1,463,552 $ 1,463,552 Real estate acquired in settlement of loans — — 2,355 2,355 $ — $ — $ 1,465,907 $ 1,465,907 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 | Year ended December 31, 2017 2016 2015 (in thousands) Mortgage servicing rights at lower of amortized cost or fair value $ (6,853) $ (60,487) $ (37,437) Real estate acquired in settlement of loans (125) (86) — $ (6,978) $ (60,573) $ (37,437) |
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 | December 31, 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 $638,010 $1,481,578 $515,925 $1,111,747 Unpaid principal balance of underlying mortgage loans $51,883,539 $114,365,698 $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% – 14.1% 7.6% – 14.1% 7.6% – 14.9% 7.6% – 14.9% Weighted average 9.8% 10.3% 10.1% 10.7% Effect on fair value of (2): 5% adverse change ($10,760) ($27,700) ($9,097) ($22,382) 10% adverse change ($21,155) ($54,376) ($17,872) ($43,889) 20% adverse change ($40,916) ($104,869) ($34,516) ($84,464) Prepayment speed (3): Range 7.9% – 46.2% 7.4% – 44.1% 7.0% – 46.7% 6.6% – 43.9% Weighted average 10.5% 9.7% 10.3% 8.7% Average life (in years): Range 1.2 – 7.8 2.0 – 8.3 1.3 – 8.6 1.6 – 9.4 Weighted average 6.6 7.5 6.7 8.1 Effect on fair value of (2): 5% adverse change ($10,809) ($23,544) ($8,818) ($16,636) 10% adverse change ($21,239) ($46,284) ($17,336) ($32,750) 20% adverse change ($41,038) ($89,514) ($33,533) ($63,513) Annual per-loan cost of servicing: Range $78 – $97 $79 – $97 $78 – $101 $79 – $101 Weighted average $89 $89 $92 $92 Effect on fair value of (2): 5% adverse change ($6,247) ($11,216) ($5,612) ($8,890) 10% adverse change ($12,494) ($22,431) ($11,225) ($17,781) 20% adverse change ($24,987) ($44,863) ($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 | December 31, 2017 2016 Carrying value (in thousands) $236,534 $288,669 ESS and pool characteristics: Unpaid principal balance of underlying mortgage loans (in thousands) $27,217,199 $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% – 4.3% 3.8% – 4.8% Weighted average 4.1% 4.4% Annualized prepayment speed (2): Range 8.4% – 41.4% 7.0% – 41.3% Weighted average 10.8% 10.5% Average life (in years): Range 1.4 – 7.7 1.4 – 8.6 Weighted average 6.5 6.8 (1) The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to ESS. (2) Prepayment speed is measured using Life Total CPR. |
Mortgage servicing liabilities | |
Fair Value | |
Schedule of key inputs used in determining the fair value of liabilities | December 31, 2017 2016 MSL and pool characteristics: Carrying value (in thousands) $ $ Unpaid principal balance of underlying mortgage loans (in thousands) $ $ Weighted average servicing fee rate (in basis points) Key inputs: Pricing spread (1) Prepayment speed (2) Average life (in years) Annual per-loan cost of servicing $ $ (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 | December 31, Key inputs 2017 2016 Pull-through rate: Range 25.0% – 100% 35.0% – 100.0% Weighted average 85.6% 84.9% Mortgage servicing rights value expressed as: Servicing fee multiple: Range 1.4 – 5.8 1.2 – 5.9 Weighted average 4.0 4.3 Percentage of unpaid principal balance: Range 0.3% – 3.0% 0.3% – 2.8% Weighted average 1.4% 1.3% |
Mortgage servicing rights | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items, excluding MSR purchases | Year ended December 31, 2017 2016 2015 Fair Amortized Fair Amortized Fair Amortized value cost value cost value cost (Amount recognized and unpaid principal balance of underlying mortgage loans amounts in thousands) MSR and pool characteristics: Amount recognized $24,471 $556,630 $17,319 $560,212 $18,013 $454,840 Unpaid principal balance of underlying mortgage loans $2,316,539 $44,664,551 $1,452,779 $44,827,516 $1,463,150 $32,849,718 Weighted average servicing fee rate (in basis points) 31 31 33 30 33 34 Key inputs: Pricing spread (1): Range 7.6% – 11.2% 7.6% – 15.2% 7.2% – 10.5% 7.2% – 14.4% 7.0% – 14.4% 6.8% – 16.2% Weighted average 10.5% 10.7% 9.2% 9.5% 9.3% 9.2% Annual total prepayment speed (2): Range 3.9% – 71.8% 3.4% – 47.6% 3.3% – 53.8% 2.8% – 50.9% 1.9% – 62.4% 2.5% – 50.0% Weighted average 12.6% 9.1% 11.8% 9.0% 11.8% 8.9% Life (in years): Range 0.8 – 11.7 1.5 – 12.2 0.5 – 11.9 1.3 – 12.9 1.1 – 12.3 1.3 – 12.0 Weighted average 6.6 8.1 6.8 8.1 6.5 7.2 Per-loan annual cost of servicing: Range $78 – $101 $79 – $101 $68 – $105 $68 – $106 $59 – $101 $59 – $95 Weighted average $89 $89 $88 $89 $77 $78 (1) Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar London Interbank Offered Rate (“LIBOR”) curve for purposes of discounting cash flows relating to MSRs. (2) Prepayment speed is measured using Life Total CPR. |
Mortgage loans held for sale | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | December 31, Key inputs 2017 2016 Discount rate: Range 2.9% – 10.0% 2.6% – 8.8% Weighted average 2.9% 3.0% Twelve-month projected housing price index change: Range 3.1% – 5.6% 2.0% – 4.5% Weighted average 3.6% 3.7% Voluntary prepayment / resale speed (1): Range 0.2% – 72.2% 0.1% – 24.4% Weighted average 44.6% 20.9% Total prepayment speed (2): Range 0.2% – 75.2% 0.1% – 39.8% Weighted average 55.8% 34.3% (1) Voluntary prepayment/resale speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”). (2) Total prepayment speed is measured using Life Total CPR. |
Mortgage Loans Held for Sale 40
Mortgage Loans Held for Sale at Fair Value (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Mortgage Loans Held for Sale at Fair Value | |
Summary of mortgage loans held for sale at fair value | December 31, December 31, 2017 2016 (in thousands) Government-insured or guaranteed $ 2,085,764 $ 1,984,020 Conventional conforming 231,128 141,524 Purchased from Ginnie Mae pools serviced by the Company 777,300 40,437 Repurchased pursuant to representations and warranties 4,911 6,834 $ 3,099,103 $ 2,172,815 Fair value of mortgage loans pledged to secure: Assets sold under agreements to repurchase $ 2,530,299 $ 1,422,255 Mortgage loan participation purchase and sale agreements 551,688 702,919 $ 3,081,987 $ 2,125,174 |
Derivative Activities (Tables)
Derivative Activities (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Derivative Activities | |
Summary of derivative financial instruments | December 31, 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 3,654,955 $ 60,012 $ 1,740 4,279,611 $ 65,848 $ 6,457 Repurchase agreement derivatives 10,656 — — — Used for hedging purposes: Forward purchase contracts 4,920,883 4,288 1,272 12,746,191 77,905 16,914 Forward sales contracts 5,204,796 2,101 7,031 16,577,942 28,324 85,035 MBS put options 4,925,000 3,481 — 1,175,000 3,934 — MBS call options — — — 1,600,000 217 — Put options on interest rate futures purchase contracts 2,125,000 3,570 — 1,125,000 3,109 — Call options on interest rate futures purchase contracts 100,000 938 — 900,000 203 — Treasury futures purchase contracts 100,000 — — — — — Interest rate swap futures purchase contracts 1,400,000 — — 200,000 — — Total derivatives before netting 85,046 10,043 179,540 108,406 Netting (6,867) (4,247) (96,635) (86,044) $ 78,179 $ 5,796 $ 82,905 $ 22,362 Deposits placed with derivative counterparties $ 2,620 $ 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 | Year ended December 31, 2017 Balance Balance beginning of Dispositions/ end of Instrument year Additions expirations year (in thousands) Forward purchase contracts 12,746,191 181,761,564 (189,586,872) 4,920,883 Forward sale contracts 16,577,942 226,000,107 (237,373,253) 5,204,796 MBS put options 1,175,000 25,050,000 (21,300,000) 4,925,000 MBS call options 1,600,000 17,700,000 (19,300,000) — Put options on interest rate futures purchase contracts 1,125,000 11,360,000 (10,360,000) 2,125,000 Call options on interest rate futures purchase contracts 900,000 1,939,300 (2,739,300) 100,000 Put options on interest rate futures sale contracts — 10,010,000 (10,010,000) — Call options on interest rate futures sale contracts — 2,739,300 (2,739,300) — Treasury futures purchase contracts — 544,900 (444,900) 100,000 Treasury futures sale contracts — 444,900 (444,900) — Interest rate swap futures purchase contracts 200,000 2,100,000 (900,000) 1,400,000 Interest rate swap futures sale contracts — 900,000 (900,000) — Year ended December 31, 2016 Balance Balance beginning of Dispositions/ end of Instrument year Additions expirations year (in thousands) Forward purchase contracts 5,254,293 210,412,697 (202,920,799) 12,746,191 Forward sale contracts 6,230,811 262,202,884 (251,855,753) 16,577,942 MBS put options 1,275,000 19,225,000 (19,325,000) 1,175,000 MBS call options — 1,600,000 — 1,600,000 Put options on interest rate futures purchase contracts 1,650,000 15,331,000 (15,856,000) 1,125,000 Call options on interest rate futures purchase contracts 600,000 5,687,500 (5,387,500) 900,000 Put options on interest rate futures sale contracts — 9,436,000 (9,436,000) — Call options on interest rate futures sale contracts — 550,000 (550,000) — Treasury futures purchase contracts — 585,800 (585,800) — Treasury futures sale contracts — 585,800 (585,800) — Interest rate swap futures purchase contracts — 400,000 (200,000) 200,000 Interest rate swap futures sale contracts — 200,000 (200,000) — Year ended December 31, 2015 Balance Balance beginning of Dispositions/ end of Instrument year Additions expirations year (in thousands) Forward purchase contracts 2,634,218 103,571,212 (100,951,137) 5,254,293 Forward sale contracts 3,901,851 137,061,118 (134,732,158) 6,230,811 MBS put options 340,000 3,902,500 (2,967,500) 1,275,000 MBS call options — 160,000 (160,000) — Put options on interest rate futures purchase contracts 755,000 8,790,000 (7,895,000) 1,650,000 Call options on interest rate futures purchase contracts 630,000 6,055,000 (6,085,000) 600,000 Put options on interest rate futures sale contracts 50,000 50,000 (100,000) — Call options on interest rate futures sale contracts — 35,100 (35,100) — |
Summaries of derivative assets and related netting amounts | December 31, 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 $ 60,012 $ — $ 60,012 $ 65,848 $ — $ 65,848 Repurchase agreement derivatives 10,656 — 10,656 — — — 70,668 — 70,668 65,848 — 65,848 Derivatives subject to master netting arrangements: Forward purchase contracts 4,288 — 4,288 77,905 — 77,905 Forward sale contracts 2,101 — 2,101 28,324 — 28,324 MBS put options 3,481 — 3,481 3,934 — 3,934 MBS call options — — — 217 — 217 Put options on interest rate futures purchase contracts 3,570 — 3,570 3,109 — 3,109 Call options on interest rate futures purchase contracts 938 — 938 203 — 203 Netting — (6,867) (6,867) — (96,635) (96,635) 14,378 (6,867) 7,511 113,692 (96,635) 17,057 $ 85,046 $ (6,867) $ 78,179 $ 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 | December 31, 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) Interest rate lock commitments $ 60,012 $ — $ — $ 60,012 $ 65,848 $ — $ — $ 65,848 Deutsche Bank 10,656 — — 10,656 — — — — RJ O'Brien 4,508 — — 4,508 2,750 — — 2,750 Federal National Mortgage Association 1,092 — — 1,092 — — — — Goldman Sachs 540 — — 540 — — — — Jefferies & Co. 514 — — 514 540 — — 540 Cantor Fitzgerald LP 472 — — 472 265 — — 265 Barclays Capital — — — — 12,002 — — 12,002 Others 385 — — 385 1,500 — — 1,500 $ 78,179 $ — $ — $ 78,179 $ 82,905 $ — $ — $ 82,905 |
Summary of net derivative liabilities and assets sold under agreements to repurchase and related netting amounts | December 31, 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 – Interest rate lock commitments $ 1,740 $ — $ 1,740 $ 6,457 $ — $ 6,457 Derivatives subject to a master netting arrangement: Forward purchase contracts 1,272 — 1,272 16,914 — 16,914 Forward sale contracts 7,031 — 7,031 85,035 — 85,035 Netting — (4,247) (4,247) — (86,044) (86,044) 8,303 (4,247) 4,056 101,949 (86,044) 15,905 Total derivatives 10,043 (4,247) 5,796 108,406 (86,044) 22,362 Mortgage loans sold under agreements to repurchase: Amount outstanding 2,380,866 — 2,380,866 1,736,922 — 1,736,922 Unamortized premiums and debt issuance costs, net 672 — 672 (1,808) — (1,808) 2,381,538 — 2,381,538 1,735,114 — 1,735,114 $ 2,391,581 $ (4,247) $ 2,387,334 $ 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 | December 31, 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 $ 1,740 $ — $ — $ 1,740 $ 6,457 $ — $ — $ 6,457 Credit Suisse First Boston Mortgage Capital LLC 1,010,562 (1,010,320) — 242 961,533 (960,988) — 545 Deutsche Bank 593,864 (593,864) — — — — — — Bank of America, N.A. 406,787 (406,355) — 432 349,638 (342,769) — 6,869 Morgan Stanley Bank, N.A. 139,491 (138,983) — 508 189,756 (188,851) — 905 JPMorgan Chase Bank, N.A. 90,442 (90,442) — — 135,322 (135,322) — — BNP Paribas 87,753 (87,753) — — 1,151 — — 1,151 Royal Bank of Canada 24,835 (23,752) — 1,083 2,937 — — 2,937 Citibank, N.A. 23,010 (23,010) — — 81,555 (80,525) — 1,030 Barclays Capital 6,387 (6,387) — — 28,467 (28,467) — — Others 1,791 — — 1,791 2,468 — — 2,468 $ 2,386,662 $ (2,380,866) $ — $ 5,796 $ 1,759,284 $ (1,736,922) $ — $ 22,362 |
Summary of gains (losses) recognized on derivative financial instruments and the respective income statement line items | Year ended December 31, Derivative activity Income statement line 2017 2016 2015 (in thousands) Repurchase agreement derivative Interest expense $ (330) $ — $ — Hedged item: Interest rate lock commitments and mortgage loans held for sale Net gains on mortgage loans held for sale $ (21,255) $ 20,619 $ (48,960) Mortgage servicing rights Net mortgage loan servicing fees – Amortization, impairment and change in fair value of mortgage servicing rights and mortgage servicing liabilities $ (37,855) $ 26,405 $ (7,717) |
Carried Interest Due from Inv42
Carried Interest Due from Investment Funds (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Carried Interest Due from Investment Funds | |
Summary of activity in the Company's Carried interest due from Investment Funds | Year ended December 31, 2017 2016 2015 (in thousands) Balance at beginning of year $ 70,906 $ 69,926 $ 67,298 Carried Interest recognized during the year (1,040) 980 2,628 Cash received during the year (61,314) — — Balance at end of year $ 8,552 $ 70,906 $ 69,926 |
Mortgage Servicing Rights and43
Mortgage Servicing Rights and Mortgage Servicing Liabilities (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Mortgage Servicing Rights and Mortgage Servicing Liabilities | |
Schedule of activity in MSRs carried at fair value | Year ended December 31, 2017 2016 2015 (in thousands) Balance at beginning of year $ 515,925 $ 660,247 $ 325,383 Additions: Purchases 183,850 146 382,824 Mortgage servicing rights resulting from mortgage loan sales 24,471 17,319 18,013 208,321 17,465 400,837 Change in fair value due to: Changes in valuation inputs used in valuation model (1) (4,771) (80,244) 7,352 Other changes in fair value (2) (81,465) (81,543) (73,325) Total change in fair value (86,236) (161,787) (65,973) Balance at end of year $ 638,010 $ 515,925 $ 660,247 December 31, 2017 2016 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and Notes payable $ 630,711 $ 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 | Year ended December 31, 2017 2016 2015 (in thousands) Amortized cost: Balance at beginning of year $ 1,206,694 $ 798,925 $ 415,245 Mortgage servicing rights resulting from mortgage loan sales 556,630 560,212 454,840 Amortization (179,946) (139,666) (71,160) Application of valuation allowance to recognize other-than-temporary impairment — (12,777) — Balance at end of year 1,583,378 1,206,694 798,925 Valuation allowance: Balance at beginning of year (94,947) (47,237) (9,800) Additions (6,853) (60,487) (37,437) Application of valuation allowance to recognize other-than-temporary impairment — 12,777 — Balance at end of year (101,800) (94,947) (47,237) Mortgage servicing rights, net $ 1,481,578 $ 1,111,747 $ 751,688 Fair value of mortgage servicing rights at end of year $ 1,482,426 $ 1,112,302 $ 766,345 Fair value of mortgage servicing rights at beginning of year $ 1,112,302 $ 766,345 $ 416,802 December 31, 2017 2016 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and Notes payable $ 1,467,356 $ |
Summary of estimate of future amortization of existing MSRs | Estimated MSR Year ending December 31, amortization (in thousands) 2018 $ 195,154 2019 174,729 2020 155,777 2021 138,141 2022 122,541 Thereafter 797,036 $ 1,583,378 |
Schedule of activity in mortgage servicing liability carried at fair value | Year ended December 31, 2017 2016 2015 (in thousands) Balance at beginning of year $ 15,192 $ 1,399 $ 6,306 Mortgage servicing liabilities resulting from mortgage loan sales 17,229 14,991 20,442 Mortgage servicing liabilities assumed — 10,139 — Changes in fair value due to: Changes in valuation inputs used in valuation model (1) 6,526 5,264 (15,653) Other changes in fair value (2) (24,827) (16,601) (9,696) Total change in fair value (18,301) (11,337) (25,349) Balance at end of year $ 14,120 $ 15,192 $ 1,399 |
Summary of servicing fees, late fees and ancillary and other fees relating to MSRs recorded on the consolidated statements of income | Year ended December 31, 2017 2016 2015 (in thousands) Contractual servicing fees $ 475,848 $ 385,633 $ 290,474 Ancillary and other fees: Late charges 25,097 19,341 5,835 Other 4,603 4,706 2,266 $ 505,548 $ 409,680 $ 298,575 |
Furniture, Fixtures, Equipmen44
Furniture, Fixtures, Equipment and Building Improvements (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Furniture, fixtures, equipment and building improvements | |
Summary of depreciation and amortization expenses | Year ended December 31, 2017 2016 2015 (in thousands) Depreciation and amortization expenses $ 8,150 $ 6,842 $ 4,149 Less: Depreciation and amortization allocated to PMT (1) (1,396) (1,350) (2,051) Depreciation and amortization expenses included in Occupancy and equipment $ 6,754 $ 5,492 $ 2,098 The Company’s management agreement with PMT provides for allocation by the Company of certain common overhead costs to PMT. |
Furniture, Fixtures, Equipment and Building Improvements [Member] | |
Furniture, fixtures, equipment and building improvements | |
Schedule of furniture, fixtures, equipment and building improvements | December 31, 2017 2016 (in thousands) Furniture, fixtures, equipment and building improvements $ 54,186 $ 48,713 Less: Accumulated depreciation and amortization (24,733) (17,392) $ 29,453 $ 31,321 Fixed assets pledged to secure obligations under capital lease $ 23,915 $ 25,134 |
Capitalized Software (Tables)
Capitalized Software (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Capitalized Software | |
Long-lived asset disclosures | |
Summary of capitalized software | December 31, 2017 2016 (in thousands) Cost $ 29,621 $ 13,457 Less: Accumulated amortization (3,892) (2,252) $ 25,729 $ 11,205 Capitalized software pledged to secure obligation under capital lease $ 1,568 $ 515 |
Borrowings (Tables)
Borrowings (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Borrowings | |
Summary of financial data pertaining to assets sold under agreements to repurchase | Year ended December 31, 2017 2016 2015 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ 1,829,257 $ 1,438,181 $ 823,490 Weighted average interest rate (1) 3.18 % 2.91 % 1.78 % Total interest expense $ 60,286 $ 49,791 $ 21,377 Maximum daily amount outstanding $ 3,022,656 $ 2,661,746 $ 1,976,744 December 31, 2017 2016 (dollars in thousands) Carrying value: Unpaid principal balance $ 2,380,866 $ 1,736,922 Unamortized premiums and debt issuance costs, net 672 (1,808) $ 2,381,538 $ 1,735,114 Weighted average interest rate 3.24 % 3.02 % Available borrowing capacity (2): Committed $ 316,503 $ 347,487 Uncommitted 2,257,631 857,591 $ 2,574,134 $ 1,205,078 Fair value of assets securing repurchase agreements: Mortgage loans held for sale $ 2,530,299 $ 1,422,255 Servicing advances $ 114,643 $ 81,306 Mortgage servicing rights $ 474,922 $ 1,479,322 Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 144,128 $ 150,000 Margin deposits placed with counterparties (3) $ 3,750 $ 3,000 (1) Excludes the effect of amortization of premium and debt issuance costs totaling $ 1.3 million, $ 7.3 million, and $7.4 million for the years ended December 31, 2017, 2016 and 2015, respectively. (2) The amount the Company is able to borrow under asset repurchase agreements is tied to the fair value of unencumbered assets eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the assets. (3) Margin deposits are included in Other assets on the Company’s consolidated balance sheets. |
Summary of maturities of outstanding advances under repurchase agreements by maturity date | Remaining maturity at December 31, 2017 Balance (dollars in thousands) Within 30 days $ 768,906 Over 30 to 90 days 1,511,960 Over 90 to 180 days 100,000 Total loans sold under agreements to repurchase $ 2,380,866 Weighted average maturity (in months) 1.7 |
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 $ 489,565 April 27, 2018 April 27, 2018 Credit Suisse First Boston Mortgage Capital LLC $ 112,168 January 13, 2018 April 27, 2018 Deutsche Bank AG $ 76,542 March 17, 2018 June 30, 2018 Bank of America, N.A. $ 34,857 March 19, 2018 May 25, 2018 Morgan Stanley Bank, N.A. $ 10,339 February 15, 2018 August 24, 2018 JP Morgan Chase Bank, N.A. $ 7,662 February 16, 2018 October 12, 2018 BNP Paribas $ 5,280 March 20, 2018 November 16, 2018 Royal Bank of Canada $ 1,747 March 10, 2018 March 29, 2018 Citibank, N.A. $ 1,506 February 2, 2018 March 2, 2018 Barclays Bank PLC $ 686 February 1, 2018 February 1, 2018 |
Summary of participating mortgage loans | Year ended December 31, 2017 2016 2015 (dollars in thousands) Average balance $ 208,613 $ 268,416 $ 157,918 Weighted average interest rate (1) 2.34 % 1.75 % 1.45 % Total interest expense $ 5,496 $ 5,523 $ 2,670 Maximum daily amount outstanding $ 532,266 $ 1,268,871 $ 250,325 (1) Excludes the effect of amortization of facility fees totaling $ 545,000 , $ 740,000 , and $355,000 for the years ended December 31, 2017, 2016 and 2015, respectively. December 31, 2017 2016 (dollars in thousands) Carrying value: Unpaid principal balance $ 527,706 $ 671,562 Unamortized debt issuance costs (311) (136) $ 527,395 $ 671,426 Weighted average interest rate 2.81 % 2.02 % Fair value of mortgage loans pledged to secure mortgage loan participation and sale agreements $ 551,688 $ 702,919 |
Summary of note payable | Year ended December 31, 2017 2016 2015 (dollars in thousands) Average balance $ 586,135 $ 108,475 $ 214,235 Weighted average interest rate (1) 5.86 % 5.13 % 3.28 % Total interest expense $ 39,369 $ 8,688 $ 9,336 Maximum daily amount outstanding $ 900,000 $ 153,849 $ 469,380 (1) Excluding the effect of amortization of debt issuance costs totaling $ 4.5 million, $ 3.0 million and 2.1 million for the years ended December 31, 2017, 2016 and 2015, respectively. December 31, 2017 2016 (dollars in thousands) Carrying value: Unpaid principal balance $ 900,006 $ 151,935 Unamortized debt issuance costs (8,501) (993) $ 891,505 $ 150,942 Weighted average interest rate 5.66 % 4.67 % Unused amount $ 280,000 $ 98,065 Assets pledged to secure notes payable: Cash $ 20,765 $ 91,788 Carried Interest $ 8,552 $ 70,906 Mortgage servicing rights $ 1,623,145 $ 138,349 |
Summary of obligations under capital lease | Year ended December 31, 2017 2016 2015 (dollars in thousands) Average balance $ 24,830 $ 18,620 $ 1,132 Weighted average interest rate 3.07 % 2.47 % 2.34 % Total interest expense $ 769 $ 510 $ 18 Maximum daily amount outstanding $ 30,044 $ 24,242 $ 13,579 December 31, December 31, 2017 2016 (in thousands) Unpaid principal balance $ 20,971 $ 23,424 Weighted average interest rate 3.26 % 2.48 % Assets pledged to secure obligations under capital lease: Furniture, fixtures and equipment $ 23,915 $ 25,134 Capitalized software $ 1,568 $ 515 |
Summary of roll forward of Excess Servicing Spread Financing | Year ended December 31, 2017 2016 2015 (in thousands) Balance at beginning of year $ 288,669 $ 412,425 $ 191,166 Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: For cash — — 271,554 Pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 5,244 6,603 6,728 Accrual of interest 16,951 22,601 25,365 Repayment (54,980) (69,992) (78,578) Settlement (1) — (59,045) — Change in fair value (19,350) (23,923) (3,810) Balance at end of year $ 236,534 $ 288,669 $ 412,425 On February 29, 2016, the Company and PMT terminated that certain master spread acquisition and MSR servicing agreement that the parties entered into effective February 1, 2013 (the “2/1/13 Spread Acquisition Agreement”) and all amendments thereto. In connection with the termination of the 2/1/13 Spread Acquisition Agreement, the Company reacquired from PMT all of its right, title and interest in and to all of the Fannie Mae ESS previously sold by the Company to PMT under the 2/1/13 Spread Acquisition Agreement and then subject to such 2/1/13 Spread Acquisition Agreement. On February 29, 2016, the Company also reacquired from PMT all of its right, title and interest in and to all of the Freddie Mac ESS previously sold to PMT by the Company |
Liability for Losses Under Re47
Liability for Losses Under Representations and Warranties (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Liability for Losses Under Representations and Warranties | |
Summary of repurchase activity | Year ended December 31, 2017 2016 2015 (in thousands) Balance at beginning of year $ 19,067 $ 20,611 $ 13,259 Provision for losses on mortgage loans sold: Resulting from sales of mortgage loans 5,890 7,090 7,512 Reduction in liability due to change in estimate (4,301) (7,672) — Incurred losses (603) (962) (160) Balance at end of year $ 20,053 $ 19,067 $ 20,611 Unpaid principal balance of mortgage loans subject to representations and warranties at end of year $ 120,855,101 $ 90,650,605 |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Income Taxes | |
Schedule of the Company's income tax expense (benefit) | Year ended December 31, 2017 2016 2015 (in thousands) Current expense: Federal $ (81) $ (1,622) $ — State 56 (244) — Total current expense (25) (1,866) — Deferred expense: Federal 14,674 38,082 24,819 State 9,738 9,887 6,816 Total deferred expense 24,412 47,969 31,635 Total provision for income taxes $ 24,387 $ 46,103 $ 31,635 |
Schedule of reconciliation of the Company's provision for income taxes at statutory rates to the provision for income taxes at the Company's effective tax rate | Year ended December 31, 2017 2016 2015 Federal income tax statutory rate % % 35.0 % Less: Rate attributable to noncontrolling interest (22.0) % (24.8) % (25.1) % State income taxes, net of federal benefit % % 1.6 % Tax rate revaluation (8.0) % % % Other % % (0.2) % Valuation allowance % % % Effective tax rate % % % |
Schedule of components of the Company's provision for deferred income taxes | Year ended December 31, 2017 2016 2015 (in thousands) Investment in PennyMac $ 34,011 $ 40,493 $ 40,272 Net operating loss (9,675) 8,110 (8,637) Tax credits 76 (634) — Valuation allowance — — — Total provision for deferred income taxes $ 24,412 $ 47,969 $ 31,635 |
Schedule of components of income taxes payable, net | December 31, 2017 2016 (in thousands) Taxes currently receivable $ (2,126) $ (7,615) Deferred income tax liability, net 54,286 32,703 Income taxes payable $ 52,160 $ 25,088 |
Schedule of tax effects of temporary differences that gave rise to deferred income tax assets and liabilities | December 31, 2017 2016 (in thousands) Deferred income tax liabilities: Investment in PennyMac $ 65,046 $ 33,864 Net operating loss carryforward (10,202) (527) Tax credits carryforward (558) (634) Deferred income tax liabilities, net $ 54,286 $ 32,703 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Commitments and Contingencies. | |
Schedule of commitments to fund and sell mortgage loans | December 31, 2017 (in thousands) Commitments to purchase mortgage loans from PennyMac Mortgage Investment Trust $ 2,245,579 Commitments to fund mortgage loans 1,409,376 $ 3,654,955 |
Summary of future minimum lease payments | Twelve months ended December 31, Future minimum lease payments (in thousands) 2018 $ 13,688 2019 14,404 2020 14,203 2021 12,017 2022 9,875 Thereafter 32,067 $ 96,254 |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Stockholders' Equity. | |
Summary of share repurchase activity | Year ended December 31, Cumulative 2017 2016 2015 Total (1) (in thousands) Shares of Class A common stock repurchased 505 — — 505 Cost of shares of Class A common stock repurchased $ 8,599 $ — $ — $ 8,599 (1) Amounts represent the total shares of Class A common stock repurchased under the stock repurchase program through December 31, 2017. |
Noncontrolling Interest (Tables
Noncontrolling Interest (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Noncontrolling Interest. | |
Noncontrolling Interest | Year ended December 31, 2017 2016 2015 (in thousands) Net income attributable to PennyMac Financial Services, Inc. common stockholders $ 100,757 $ 66,079 $ 47,228 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. $ 27,119 $ 6,877 $ 4,982 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 1,608 301 319 December 31, December 31, 2017 2016 Percentage of noncontrolling interest in Private National Mortgage Acceptance Company, LLC 69.2 % 70.6 % |
Net Gains on Mortgage Loans H52
Net Gains on Mortgage Loans Held for Sale (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Net Gains on Mortgage Loans Held for Sale | |
Net Gains on Mortgage Loans Held for Sale | Year ended December 31, 2017 2016 2015 (in thousands) From non-affiliates: Cash (loss) gain: Mortgage loans $ (174,669) $ (62,283) $ (82,709) Hedging activities (16,866) 10,275 (47,150) (191,535) (52,008) (129,859) Non-cash gain: Mortgage servicing rights and mortgage servicing liabilities resulting from mortgage loan sales 563,872 562,540 452,411 Provision for losses relating to representations and warranties: Pursuant to mortgage loan sales (5,890) (7,090) (7,512) Reduction in liability due to change in estimate 4,301 7,672 — Change in fair value relating to mortgage loans and hedging derivatives held at year end: Interest rate lock commitments (1,120) 15,618 11,372 Mortgage loans 4,576 2,796 3,949 Hedging derivatives (4,389) 10,344 (1,810) 369,815 539,872 328,551 From PennyMac Mortgage Investment Trust 21,989 (8,092) (7,836) $ 391,804 $ 531,780 $ 320,715 |
Net Interest Expense (Tables)
Net Interest Expense (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Net Interest Expense | |
Summary of net interest income (expense) | Year ended December 31, 2017 2016 2015 (in thousands) Interest income: From non-affiliates: Short-term investments $ 2,356 $ 2,558 $ 506 Mortgage loans held for sale at fair value 91,972 54,584 42,008 Placement fees relating to custodial funds 40,813 16,155 3,298 135,141 73,297 45,812 From PennyMac Mortgage Investment Trust—Financings receivable 8,038 7,830 3,343 143,179 81,127 49,155 Interest expense: To non-affiliates: Assets sold under agreements to repurchase (1) 60,286 49,791 21,377 Mortgage loan participation purchase and sale agreements 5,496 5,523 2,670 Notes payable 39,369 8,688 9,336 Obligations under capital lease 769 510 18 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 16,933 15,102 6,883 Interest on mortgage loan impound deposits 4,716 3,991 2,888 127,569 83,605 43,172 To PennyMac Mortgage Investment Trust—Excess servicing spread financing at fair value 16,951 22,601 25,365 144,520 106,206 68,537 $ (1,341) $ (25,079) $ (19,382) In 2017, the Company entered a master repurchase agreement that provides the Company with incentives to finance mortgage loans approved for satisfying certain consumer relief characteristics as provided in the agreement. During the year ended December 31, 2017, the Company included $9.2 million of such incentives as a reduction in Interest expense . The master repurchase agreement has an initial term of six months renewable for three additional six-month terms at the option of the lender. There can be no assurance whether the lender will renew this agreement upon its maturity. |
Stock-based Compensation (Table
Stock-based Compensation (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Summary of the stock-based compensation expense by instrument awarded | Year ended December 31, 2017 2016 2015 (in thousands) Performance-based RSUs $ 11,020 $ 9,475 $ 9,293 Stock options 4,909 4,464 5,713 Time-based RSUs 4,768 2,494 2,294 Exchangeable PNMAC units — 72 221 $ 20,697 $ 16,505 $ 17,521 |
Summary of valuation assumptions, stock options | Year ended December 31, 2017 2016 2015 Expected volatility (1) 31% 28% 41% Expected dividends 0% 0% 0% Risk-free interest rate 0.8% -2.7% 0.3% - 2.1% 0.1% - 2.3% Expected grantee forfeiture rate 0.0% -21.1% 0.0% -20.2% 0.0% -18.7% (1) Based on historical volatilities of the Company’s common stock for 2017 and 2016 grants and based on historical volatilities of comparable companies’ common stock for 2015 grants. |
Summary of Stock Option award activity | Year ended December 31, 2017 2016 2015 (in thousands, except per option amounts) Number of stock options: Outstanding at beginning of year 2,738 1,845 1,167 Granted 861 962 715 Exercised (90) (9) — Forfeited (52) (60) (37) Outstanding at end of year 3,457 2,738 1,845 Weighted average exercise price per option: Outstanding at beginning of year $ 15.81 $ 18.17 $ 18.23 Granted $ 18.05 $ 11.29 $ 17.52 Exercised $ 15.04 $ 17.33 $ 17.26 Forfeited $ 15.58 $ 15.66 $ 17.88 Outstanding at end of year $ 16.40 $ 15.81 $ 18.17 Compensation expense recorded during the year $ 4,909 $ 4,464 $ 5,713 December 31, 2017 Number of options exercisable at end of year (in thousands) 1,781 Weighted average exercise price per exercisable option $ 17.21 Weighted average remaining contractual term (in years): Outstanding 7.5 Exercisable 6.6 Aggregate intrinsic value: Outstanding (in thousands) $ 20,583 Exercisable (in thousands) $ 9,151 Expected vesting amounts at year end: Number of options expected to vest (in thousands) 1,541 Weighted average vesting period (in months) 10 |
Performance-based RSUs | |
Summary of RSU activity and compensation expense | Year ended December 31, 2017 2016 2015 (in thousands, except per unit amounts) Number of units: Outstanding at beginning of year 2,475 2,350 1,257 Granted 694 813 1,143 Vested (446) — — Forfeited or cancelled (334) (688) (50) Outstanding at end of year 2,389 2,475 2,350 Weighted average grant date fair value per unit: Outstanding at beginning of year $ 14.24 $ 16.30 $ 15.48 Granted $ 18.04 $ 11.28 $ 17.21 Vested $ 13.65 $ — $ — Forfeited $ 14.45 $ 16.87 $ 16.46 Outstanding at end of year $ 15.57 $ 14.24 $ 16.30 Compensation expense recorded during the year $ 11,020 $ 9,475 $ 9,293 December 31, 2017 Unamortized compensation cost (in thousands) $ 10,098 Number of shares expected to vest (in thousands) 1,967 Weighted average remaining vesting period (in months) 11 |
Time-based RSUs | |
Summary of RSU activity and compensation expense | Year ended December 31, 2017 2016 2015 (in thousands, except per unit amounts) Number of units: Outstanding at beginning of year 382 271 202 Granted 408 261 150 Vested (173) (127) (75) Forfeited (17) (23) (6) Outstanding at end of year 600 382 271 Weighted average grant date fair value per unit: Outstanding at beginning of year $ 13.71 $ 17.81 $ 17.92 Granted $ 18.02 $ 11.77 $ 17.87 Vested $ 14.66 $ 17.99 $ 18.25 Forfeited $ 14.87 $ 15.55 $ 26.07 Outstanding at end of year $ 16.37 $ 13.71 $ 17.81 Compensation expense recorded during the year $ 4,768 $ 2,494 $ 2,294 December 31, 2017 Unamortized compensation cost (in thousands) $ 3,626 Number of shares expected to vest (in thousands) 535 Weighted average remaining vesting period (in months) 12 |
Earnings Per Share of Common 55
Earnings Per Share of Common Stock (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Earnings Per Share of Common Stock | |
Summary of basic and diluted earnings per share calculations | Year ended December 31, 2017 2016 2015 (in thousands, except per share data) Basic earnings per share of common stock: Net income attributable to common stockholders $ 100,757 $ 66,079 $ 47,228 Weighted average shares of common stock outstanding 23,199 22,161 21,755 Basic earnings per share of common stock $ 4.34 $ 2.98 $ 2.17 Diluted earnings per share of common stock: Net income attributable to common stockholders $ 100,757 $ 66,079 $ 47,228 Effect of net income attributable to PennyMac Class A units exchangeable to Class A common stock, net of income taxes — 159,570 119,697 Net income attributable to common stockholders for diluted earnings per share $ 100,757 $ 225,649 $ 166,925 Weighted average shares of common stock outstanding applicable to basic earnings per share 23,199 22,161 21,755 Effect of dilutive shares: PennyMac Class A units exchangeable to Class A common stock — 53,951 53,803 Non-vested PennyMac Class A units issuable under unit-based stock — — 427 Common shares issuable under stock-based compensation plan 1,800 517 119 Weighted average shares of common stock outstanding applicable to diluted earnings per share 24,999 76,629 76,104 Diluted earnings per share of common stock $ 4.03 $ 2.94 $ 2.17 |
Schedule of anti-dilutive shares outstanding | Year ended December 31, 2017 2016 2015 (in thousands, except exercise price data) Performance-based RSUs (1) 497 2,054 2,358 Stock options (2) 1,323 1,829 1,748 Exchangeable PNMAC Class A units (3) 53,299 — — Total anti-dilutive stock-based compensation units 55,119 3,883 4,106 Weighted average exercise price of anti-dilutive stock options (2) $ 16.40 $ $ (1) Certain performance-based RSUs were outstanding but not included in the computation of earnings per share because the performance thresholds included in such RSUs have not been achieved (2) Certain stock options were outstanding but not included in the computation of diluted earnings per share because the weighted-average exercise prices were above the average stock prices during the year. Exchangeable PNMAC units were anti-dilutive during 2017 primarily due to the effect of adoption of the Tax Act on earnings attributable to PNMAC unitholders. |
Supplemental Cash Flow Inform56
Supplemental Cash Flow Information (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Supplemental Cash Flow Information | |
Schedule of supplemental cash flow information | Year ended December 31, 2017 2016 2015 (in thousands) Cash paid for interest $ 158,147 $ 104,938 $ 69,317 (Refunds received) cash paid for income taxes, net $ (5,513) $ 1,866 $ 1,909 Non-cash investing activity: Mortgage servicing rights resulting from mortgage loan sales $ 581,101 $ 577,531 $ 472,853 Mortgage servicing liabilities resulting from mortgage loan sales $ 17,229 $ 14,991 $ 20,442 Unsettled portion of MSR acquisitions $ 5,319 $ — $ — Transfer of Note receivable from PennyMac Mortgage Investment Trust to Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell pledged to creditors $ — $ 150,000 $ — Non-cash financing activity: Transfer of E xcess servicing spread payable to PennyMac Mortgage Investment Trust pursuant to a recapture agreement $ 5,244 $ 6,603 $ 6,728 Unpaid distribution to Private National Mortgage Acceptance Company, LLC members $ — $ 7,585 $ — Issuance of Class A common stock in settlement of director fees $ 338 $ 313 $ 297 |
Regulatory Capital and Liquid57
Regulatory Capital and Liquidity Requirements (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Regulatory Capital and Liquidity Requirements | |
Summary of agencies' capital and liquidity requirements by each agency | December 31, 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 $ 1,561,977 $ 429,671 $ 1,289,464 $ 335,883 Ginnie Mae – PLS $ 1,307,580 $ 674,133 $ 1,085,549 $ 455,542 Ginnie Mae – PennyMac $ 1,511,201 $ 741,574 $ 1,261,565 $ 501,097 HUD – PLS $ 1,307,580 $ 2,500 $ 1,085,549 $ 2,500 Liquidity Fannie Mae & Freddie Mac – PLS $ 196,415 $ 58,754 $ 179,230 $ 45,930 Ginnie Mae – PLS $ 196,415 $ 153,431 $ 179,230 $ 115,304 Tangible net worth / Total assets ratio Fannie Mae & Freddie Mac – PLS 21 % 6 % % % (1) Calculated in compliance with the respective Agency’s requirements. |
Segments (Tables)
Segments (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Segments | |
Summary of financial highlights by segment | Year ended December 31, 2017 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on mortgage loans held for sale at fair value $ 286,242 $ 105,562 $ 391,804 $ — $ 391,804 Loan origination fees 119,202 — 119,202 — 119,202 Fulfillment fees from PennyMac Mortgage Investment Trust 80,359 — 80,359 — 80,359 Net servicing fees — 306,059 306,059 — 306,059 Management fees — — — 23,585 23,585 Carried Interest from Investment Funds — — — (1,040) (1,040) Net interest income (expense): Interest income 61,195 81,984 143,179 — 143,179 Interest expense 35,359 109,112 144,471 49 144,520 25,836 (27,128) (1,292) (49) (1,341) Other 2,002 1,710 3,712 183 3,895 Total net revenue 513,641 386,203 899,844 22,679 922,523 Expenses 275,133 327,531 602,664 16,890 619,554 Income before provision for income taxes and non-segment activities 238,508 58,672 297,180 5,789 302,969 Non-segment activities (2) — — — — 32,940 Income before provision for income taxes $ 238,508 $ 58,672 $ 297,180 $ 5,789 $ 335,909 Segment assets at year end (3) $ 2,459,014 $ 4,886,594 $ 7,345,608 $ 19,880 $ 7,365,488 (1) All revenues are from external customers. (2) Primarily represents repricing Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement, of which, $32.0 million is the result of the change in the federal tax rate under the Tax Act. (3) Excludes parent company assets, which consist of working capital of $ 2.6 million. Year ended December 31, 2016 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on mortgage loans held for sale at fair value $ 464,027 $ 67,753 $ 531,780 $ — $ 531,780 Loan origination fees 125,534 — 125,534 — 125,534 Fulfillment fees from PennyMac Mortgage Investment Trust 86,465 — 86,465 — 86,465 Net servicing fees — 185,466 185,466 — 185,466 Management fees — — — 22,746 22,746 Carried Interest from Investment Funds — — — 980 980 Net interest income (expense): Interest income 48,944 32,182 81,126 1 81,127 Interest expense 32,669 73,537 106,206 50 106,256 16,275 (41,355) (25,080) (49) (25,129) Other 2,104 1,022 3,126 319 3,445 Total net revenue 694,405 212,886 907,291 23,996 931,287 Expenses 278,309 248,985 527,294 21,510 548,804 Income (loss) before provision for income taxes and non-segment activities 416,096 (36,099) 379,997 2,486 382,483 Non-segment activities (2) — — — — 600 Income (loss) before provision for income taxes $ 416,096 $ (36,099) $ 379,997 $ 2,486 $ 383,083 Segment assets at year end (3) $ 2,195,330 $ 2,841,551 $ 5,036,881 $ 91,517 $ 5,128,398 (1) All revenues are from external customers (2) Primarily represents repricing of Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement . (3) Excludes parent company assets, which consist primarily of working capital of $ 5.5 million. Year ended December 31, 2015 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on mortgage loans held for sale at fair value $ 310,254 $ 10,461 $ 320,715 $ — $ 320,715 Loan origination fees 91,520 — 91,520 — 91,520 Fulfillment fees from PennyMac Mortgage Investment Trust 58,607 — 58,607 — 58,607 Net servicing fees — 229,543 229,543 — 229,543 Management fees — — — 28,237 28,237 Carried Interest from Investment Funds — — — 2,628 2,628 Net interest income (expense): Interest income 39,238 9,917 49,155 — 49,155 Interest expense 19,851 48,686 68,537 — 68,537 19,387 (38,769) (19,382) — (19,382) Other 1,868 1,087 2,955 (18) 2,937 Total net revenue 481,636 202,322 683,958 30,847 714,805 Expenses 209,767 201,025 410,792 23,125 433,917 Income before provision for income taxes and non-segment activities 271,869 1,297 273,166 7,722 280,888 Non-segment activities (2) — — — — (1,695) Income before provision for income taxes $ 271,869 $ 1,297 $ 273,166 $ 7,722 $ 279,193 Segment assets at year end (3) $ 1,122,242 $ 2,270,940 $ 3,393,182 $ 92,893 $ 3,486,075 (1) All revenues are from external customers. (2) Represents repricing of Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement . Excludes parent Company assets, which consist primarily of deferred tax asset of $18.4 million |
Selected Quarterly Data (Unau59
Selected Quarterly Data (Unaudited) (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Selected Quarterly Data (Unaudited) | |
Schedule of selected quarterly financial data | Quarter ended 2017 2016 Dec. 31 Sept. 30 June. 30 Mar. 31 Dec. 31 Sept. 30 June. 30 Mar. 31 (in thousands, except per share data) During the quarter: Net gains on mortgage loans held for sale at fair value $ 98,621 $ 108,136 $ 98,091 $ 86,956 $ 127,932 $ 182,121 $ 130,203 $ 91,524 Fulfillment fees from PennyMac Mortgage Investment Trust 19,175 23,507 21,107 16,570 27,164 27,255 19,111 12,935 Net mortgage loan servicing fees 106,902 78,081 46,913 74,163 95,528 45,864 26,555 17,519 Management fees and Carried Interest 5,993 5,058 6,248 5,246 5,619 5,628 5,974 6,505 Other income 67,943 35,853 29,362 21,538 33,042 30,527 25,963 14,918 298,634 250,635 201,721 204,473 289,285 291,395 207,806 143,401 Expenses 176,861 156,491 143,761 142,441 159,877 152,117 123,548 113,262 Income before (benefit from) provision for income taxes 121,773 94,144 57,960 62,032 129,408 139,278 84,258 30,139 (Benefit from) provision for income taxes (2,125) 11,652 7,214 7,646 15,568 16,976 9,963 3,596 Net income 123,898 82,492 50,746 54,386 113,840 122,302 74,295 26,543 Less: Net income attributable to noncontrolling interest 61,580 65,411 40,267 43,507 91,096 98,617 59,820 21,368 Net income attributable to PennyMac Financial Services, Inc. common stockholders $ 62,318 $ 17,081 $ 10,479 $ 10,879 $ 22,744 $ 23,685 $ 14,475 $ 5,175 Earnings per share of common stock: Basic $ 2.67 $ 0.73 $ 0.45 $ 0.48 $ 1.02 $ 1.07 $ 0.66 $ 0.24 Diluted $ 2.44 $ 0.71 $ 0.44 $ 0.47 $ 1.00 $ 1.06 $ 0.65 $ 0.23 At quarter end: Mortgage loans held for sale at fair value $ 3,099,103 $ 2,935,593 $ 3,037,602 $ 2,277,751 $ 2,172,815 $ 3,127,377 $ 2,097,138 $ 1,653,963 Mortgage servicing rights 2,119,588 2,016,485 1,951,599 1,725,061 1,627,672 1,337,674 1,290,928 1,337,082 Carried Interest from Investment Funds 8,552 8,547 71,019 70,778 70,906 70,870 70,763 70,519 Servicing advances, net 318,066 262,650 291,907 317,513 348,306 306,150 296,581 284,140 Other assets 1,822,784 1,165,094 1,052,611 860,274 914,203 754,123 860,910 635,559 Total assets $ 7,368,093 $ 6,388,369 $ 6,404,738 $ 5,251,377 $ 5,133,902 $ 5,596,194 $ 4,616,320 $ 3,981,263 Assets sold under agreements to repurchase $ 2,381,538 $ 2,096,492 $ 3,021,328 $ 2,034,808 $ 1,735,114 $ 2,491,366 $ 1,591,798 $ 1,658,578 Mortgage loan participation and sale agreement 527,395 531,776 243,361 241,638 671,426 782,913 737,176 246,636 Notes payable 891,505 890,884 429,692 436,725 150,942 110,619 114,235 127,693 Excess servicing spread financing at fair value to PennyMac Mortgage Investment Trust 236,534 248,763 261,796 277,484 288,669 280,367 294,551 321,976 Other liabilities 1,611,447 1,030,163 937,309 803,127 888,395 640,525 707,707 533,167 Total liabilities 5,648,419 4,798,078 4,893,486 3,793,782 3,734,546 4,305,790 3,445,467 2,888,050 Total equity 1,719,674 1,590,291 1,511,252 1,457,595 1,399,356 1,290,404 1,170,853 1,093,213 Total liabilities and equity $ 7,368,093 $ 6,388,369 $ 6,404,738 $ 5,251,377 $ 5,133,902 $ 5,596,194 $ 4,616,320 $ 3,981,263 |
Parent Company Information (Tab
Parent Company Information (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Parent Company Information | |
Schedule of condensed balance sheets | December 31, 2017 2016 (in thousands) ASSETS Cash $ 2,605 $ 5,505 Investments in subsidiaries 556,439 472,792 Due from subsidiaries 6,538 3,585 Total assets $ 565,582 $ 481,882 LIABILITIES AND STOCKHOLDERS' EQUITY Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement $ 44,011 $ 75,954 Income taxes payable 52,160 25,077 Total liabilities 96,171 101,031 Stockholders' equity 469,411 380,851 Total liabilities and stockholders' equity $ 565,582 $ 481,882 |
Schedule of condensed statements of income | Year ended December 31, 2017 2016 2015 (in thousands) Revenues Dividends from subsidiary $ — $ 6,418 $ 3,825 Interest — 49 121 Revaluation of Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement 32,940 551 (1,695) Total revenue 32,940 7,018 2,251 Expenses Interest — — 6 Total expenses — — 6 Income before provision for income taxes and equity in undistributed earnings in subsidiaries 32,940 7,018 2,245 Provision for income taxes 24,387 46,103 31,635 Income before equity in undistributed earnings of subsidiaries 8,553 (39,085) (29,390) Equity in undistributed earnings of subsidiaries 92,204 105,164 76,618 Net income $ 100,757 $ 66,079 $ 47,228 |
Schedule of condensed statements of cash flows | Year ended December 31, 2017 2016 2015 (in thousands) Cash flows from operating activities Net income $ 100,757 $ 66,079 $ 47,228 Adjustments to reconcile net income to net cash provided by (used in ) operating activities Equity in undistributed earnings of subsidiaries (92,204) (105,164) (76,618) Revaluation of Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement (32,940) (551) 1,695 Decrease in deferred tax asset — 18,668 29,730 Decrease (increase) in intercompany receivable 5,646 (76) (3,819) Payments to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement (6,726) — (5,132) Increase in income taxes payable 29,912 25,559 — Net cash provided by (used in) operating activities 4,445 4,515 (6,916) Cash flows from financing activities Repurchase of common stock (8,599) — — Proceeds from common stock options exercised 1,254 149 — Net cash provided by financing activities (7,345) 149 — Net change in cash (2,900) 4,664 (6,916) Cash at beginning of year 5,505 841 7,757 Cash at end of year $ 2,605 $ 5,505 $ 841 |
Concentration of Risk (Details)
Concentration of Risk (Details) | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Sales Revenue, Services, Net [Member] | Customer Concentration Risk [Member] | |||
Concentration of Risk | |||
Percentage of total net revenue | 20.00% | 18.00% | 16.00% |
Significant Accounting Polici62
Significant Accounting Policies - Mortgage Servicing Rights and Mortgage Servicing Liabilities (Details) | 12 Months Ended |
Dec. 31, 2017item | |
Mortgage servicing rights | |
Mortgage Servicing Rights | |
Number of classes of MSRs | 3 |
Mortgage servicing rights | Minimum | |
Mortgage Servicing Rights | |
Servicing fee (as a percent) | 0.19% |
Mortgage servicing rights | Maximum | |
Mortgage Servicing Rights | |
Servicing fee (as a percent) | 0.57% |
Mortgage servicing rights | Fixed Rate Stratified Mortgage Pool | |
Mortgage Servicing Rights | |
Stratification range, as a percent | 0.50% |
Mortgage servicing rights | Fixed Rate Stratified Mortgage Pool | Minimum | |
Mortgage Servicing Rights | |
Note rates (as a percent) | 3.00% |
Mortgage servicing rights | Fixed Rate Stratified Mortgage Pool | Maximum | |
Mortgage Servicing Rights | |
Note rates (as a percent) | 4.50% |
Mortgage servicing rights | Fixed Rate Single Mortgage Pool | Maximum | |
Mortgage Servicing Rights | |
Note rates (as a percent) | 3.00% |
Mortgage Servicing Rights Class One [Member] | |
Mortgage Servicing Rights | |
Interest rate (as a percent) | 4.50% |
Mortgage Servicing Rights Class Two [Member] | |
Mortgage Servicing Rights | |
Interest rate (as a percent) | 4.50% |
Significant Accounting Polici63
Significant Accounting Policies - Long-lived Assets (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Long-lived asset disclosures | |||
Period of payment default | 3 months | ||
Furniture, Fixtures, Equipment and Building Improvements [Member] | Minimum | |||
Long-lived asset disclosures | |||
Estimated useful lives | 5 years | ||
Furniture, Fixtures, Equipment and Building Improvements [Member] | Maximum | |||
Long-lived asset disclosures | |||
Estimated useful lives | 7 years | ||
Capitalized Software | |||
Long-lived asset disclosures | |||
Impairment of capitalized software | $ 827,000 | $ 0 | $ 0 |
Capitalized Software | Minimum | |||
Long-lived asset disclosures | |||
Estimated useful lives | 5 years | ||
Capitalized Software | Maximum | |||
Long-lived asset disclosures | |||
Estimated useful lives | 7 years |
Significant Accounting Polici64
Significant Accounting Policies - Fulfillment Fees and Management Fees (Details) | 12 Months Ended |
Dec. 31, 2017 | |
Fulfillment Fees | |
Number of days from purchase fulfillment fees are collected | 30 days |
Management fees | |
The period from quarter end that management fees are collected | 30 days |
Significant Accounting Polici65
Significant Accounting Policies - Income Taxes (Details) | 12 Months Ended |
Dec. 31, 2017 | |
Income Taxes | |
Amount of tax benefits under the tax sharing agreement (as a percent) | 85.00% |
Transactions with Affiliates -
Transactions with Affiliates - Correspondent Production (Details) - PMT - USD ($) | Sep. 12, 2016 | Sep. 11, 2016 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 |
Lending activity between the entity and affiliate | |||||||||||||
Fulfillment fee revenue | $ 19,175,000 | $ 23,507,000 | $ 21,107,000 | $ 16,570,000 | $ 27,164,000 | $ 27,255,000 | $ 19,111,000 | $ 12,935,000 | $ 80,359,000 | $ 86,465,000 | $ 58,607,000 | ||
Proceeds from sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust | 904,097,000 | 21,541,000 | 28,445,000 | ||||||||||
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 | 0.50% | ||||||||||||
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 | |||||||||||||
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% | ||||||||||||
Mortgage Lending | |||||||||||||
Lending activity between the entity and affiliate | |||||||||||||
Net gain on mortgage loans held for sale to PMT | 28,238,000 | ||||||||||||
Mortgage servicing rights and excess servicing spread recapture incurred | (6,249,000) | (8,092,000) | (7,836,000) | ||||||||||
Total of gain on sale of loans and MSR recapture | 21,989,000 | (8,092,000) | (7,836,000) | ||||||||||
Fair value of mortgage loans sold to PMT | 904,097,000 | 21,541,000 | 28,445,000 | ||||||||||
Fulfillment fee revenue | 80,359,000 | 86,465,000 | 58,607,000 | ||||||||||
Unpaid principal balance of loans fulfilled for PennyMac Mortgage Investment Trust | 22,971,119,000 | 23,188,386,000 | 14,014,603,000 | ||||||||||
Sourcing fees paid | 12,084,000 | 11,976,000 | 8,966,000 | ||||||||||
Unpaid principal balance of loans purchased from PennyMac Mortgage Investment Trust | 40,561,241,000 | 39,908,163,000 | 29,867,580,000 | ||||||||||
Tax service fee | 7,078,000 | 6,690,000 | 4,390,000 | ||||||||||
Property management fees received | 350,000 | 138,000 | $ 14,000 | ||||||||||
Early purchase program fees earned from PMT | $ 7,000 | $ 30,000 |
Transactions with Affiliates 67
Transactions with Affiliates - Mortgage Loan Servicing (Details) | Sep. 12, 2016USD ($)item | Dec. 31, 2017USD ($) | Dec. 31, 2016USD ($) | Dec. 31, 2015USD ($) |
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 current loans | $ 100 | |||
PMT | ||||
Summary of mortgage loan servicing fees earned | ||||
Loan servicing fees | 43,064,000 | $ 50,615,000 | $ 46,423,000 | |
PMT | Mortgage loans acquired for sale at fair value | ||||
Summary of mortgage loan servicing fees earned | ||||
Base and supplemental | 305,000 | 330,000 | 260,000 | |
Activity-based | 649,000 | 733,000 | 371,000 | |
Loan servicing fees | 954,000 | 1,063,000 | 631,000 | |
PMT | Mortgage loans at fair value | ||||
Summary of mortgage loan servicing fees earned | ||||
Base and supplemental | 6,650,000 | 11,078,000 | 16,123,000 | |
Activity-based | 8,960,000 | 18,521,000 | 12,437,000 | |
Loan servicing fees | 15,610,000 | 29,599,000 | 28,560,000 | |
PMT | Mortgage servicing rights | ||||
Summary of mortgage loan servicing fees earned | ||||
Base and supplemental | 25,991,000 | 19,461,000 | 16,911,000 | |
Activity-based | 509,000 | 492,000 | 321,000 | |
Loan servicing fees | $ 26,500,000 | $ 19,953,000 | $ 17,232,000 |
Transactions with Affiliates 68
Transactions with Affiliates - Management Fees (Details) - USD ($) $ in Thousands | Sep. 12, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 |
Management Fees Revenue [Abstract] | ||||
Management fees | $ 23,585 | $ 22,746 | $ 28,237 | |
PMT | ||||
Management Fees Revenue [Abstract] | ||||
Management fees | 22,584 | 20,657 | 24,194 | |
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 | 22,280 | 20,657 | 22,851 | |
Performance incentive | 304 | 1,343 | ||
Management fees | $ 22,584 | $ 20,657 | $ 24,194 | |
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 | ||||
Transactions with Affiliates | ||||
Base management fee annual rate (as a percent) | 1.50% | |||
Base management fee shareholders' equity limit | $ 2,000,000 | |||
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 | |||
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 | |||
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 | |||
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 69
Transactions with Affiliates - Other Transactions, Reimbursement of Common Overhead Expenses (Details) - USD ($) | Sep. 12, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 |
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 | $ 7,563,000 | $ 7,735,000 | $ 11,324,000 | |
Payments and settlements during the period | 64,945,000 | 143,542,000 | 99,967,000 | |
Common overhead incurred | ||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | ||||
Reimbursement of common overhead and expenses incurred by the Company | 5,306,000 | 7,898,000 | 10,742,000 | |
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 | $ 2,257,000 | $ (163,000) | $ 582,000 |
Transactions with Affiliates 70
Transactions with Affiliates - Other Transactions, Conditional Reimbursement (Details) - Conditional Reimbursement - USD ($) | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Conditional reimbursement | |||
Payments received | $ 30,000 | $ 0 | $ 237,000 |
Maximum | |||
Conditional reimbursement | |||
Conditional reimbursement | $ 2,900,000 |
Transactions with Affiliates 71
Transactions with Affiliates - Investing Activities (Details) - PMT | Dec. 19, 2016USD ($)item | Dec. 31, 2017USD ($)shares | Dec. 31, 2016USD ($)shares | Dec. 31, 2015USD ($) | Apr. 30, 2015USD ($) |
Transactions with Affiliates | |||||
Common shares of beneficial interest owned | shares | 75,000 | ||||
Repurchase agreement with PennyMac Mortgage Investment Trust: | |||||
Financings receivable from PennyMac Mortgage Investment Trust (pledged to creditors at December 31, 2016) | $ 144,128,000 | $ 150,000,000 | $ 150,000,000 | ||
Activity during the year: | |||||
Advances to PennyMac Mortgage Investment Trust | $ 168,546,000 | ||||
Repayment of note receivable from PennyMac Mortgage Investment Trust | 18,546,000 | ||||
Interest income on receivable from PennyMac Mortgage Investment Trust | 8,038,000 | 7,830,000 | 3,343,000 | ||
Activity during the period: | |||||
Dividends received from PennyMac Mortgage Investment Trust | 141,000 | 141,000 | 207,000 | ||
Change in fair value of investment in Common shares of PennyMac Mortgage Investment Trust | (23,000) | 83,000 | (437,000) | ||
Balance at end of period | 118,000 | 224,000 | (230,000) | ||
Fair value of PennyMac Mortgage Investment Trust shares | $ 1,205,000 | $ 1,228,000 | |||
Number of shares | shares | 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 | ||||
Repurchase agreement with PennyMac Mortgage Investment Trust: | |||||
Refinancing from PennyMac Mortgage Investment Trust | $ 150,000,000 | ||||
Sale of assets purchased from PMT under agreement to resell | $ 5,872,000 | ||||
Financings receivable from PennyMac Mortgage Investment Trust (pledged to creditors at December 31, 2016) | 144,128,000 | 150,000,000 | |||
Activity during the year: | |||||
Interest income on receivable from PennyMac Mortgage Investment Trust | $ 8,038,000 | 253,000 | |||
Notes Receivable [Member] | |||||
Activity during the year: | |||||
Advances to PennyMac Mortgage Investment Trust | 168,546,000 | ||||
Repayment of note receivable from PennyMac Mortgage Investment Trust | 150,000,000 | 18,546,000 | |||
Interest income on receivable from PennyMac Mortgage Investment Trust | $ 7,577,000 | 3,343,000 | |||
Activity during the period: | |||||
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell | $ 150,000,000 |
Transactions with Affiliates 72
Transactions with Affiliates - Financing Activities (Details) - USD ($) | 12 Months Ended | |||||||||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Feb. 01, 2013 | |
Financing activities: | ||||||||||
Issuance: Cash | $ 271,554,000 | |||||||||
Interest expense from excess servicing spread financing | $ 16,951,000 | $ 22,601,000 | 25,365,000 | |||||||
PMT | ||||||||||
Financing activities: | ||||||||||
Issuance pursuant to recapture agreement | 5,244,000 | 6,603,000 | 6,728,000 | |||||||
Excess servicing spread financing at fair value payable to affiliate | 236,534,000 | 288,669,000 | $ 248,763,000 | $ 261,796,000 | $ 277,484,000 | $ 280,367,000 | $ 294,551,000 | $ 321,976,000 | ||
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 | (19,350,000) | (23,923,000) | (3,810,000) | |||||||
Excess servicing spread financing | PMT | ||||||||||
Financing activities: | ||||||||||
Issuance: Cash | 271,554,000 | |||||||||
Issuance pursuant to recapture agreement | 5,244,000 | 6,603,000 | 6,728,000 | |||||||
Repayments | 54,980,000 | 69,992,000 | 78,578,000 | |||||||
Settlement | 59,045,000 | |||||||||
Changes in fair value included in income | (19,350,000) | (23,923,000) | (3,810,000) | |||||||
Interest expense from excess servicing spread financing | 16,951,000 | 22,601,000 | 25,365,000 | |||||||
Excess servicing spread recapture recognized | 4,820,000 | 6,529,000 | $ 7,049,000 | |||||||
Excess servicing spread financing at fair value payable to affiliate | $ 236,534,000 | $ 288,669,000 |
Transactions with Affiliates 73
Transactions with Affiliates - Amounts due from Affiliate (Details) - PMT - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
Amounts due from affiliate | ||
Allocated expenses | $ 6,583 | $ 5,465 |
Servicing fees | 5,901 | 5,081 |
Management fees | 1,735 | 2,371 |
Correspondent production fees | 346 | 1,300 |
Conditional Reimbursement | 11,542 | 1,046 |
Fulfillment fees | 870 | 900 |
Interest on assets purchased under agreements to resell | 142 | 253 |
Total due from affiliate | 27,119 | 16,416 |
Payable to affiliate | ||
Deposits made by PMT | 132,844 | 162,945 |
MSR Recapture Payable to PMT | 282 | 707 |
Other expenses | 3,872 | 6,384 |
Payable to affiliates | $ 136,998 | $ 170,036 |
Transactions with Affiliates 74
Transactions with Affiliates - Amounts due from Investment Funds (Details) $ in Thousands | 12 Months Ended | |||||||||
Dec. 31, 2017USD ($)item | Sep. 30, 2017USD ($) | Jun. 30, 2017USD ($) | Mar. 31, 2017USD ($) | Dec. 31, 2016USD ($) | Sep. 30, 2016USD ($) | Jun. 30, 2016USD ($) | Mar. 31, 2016USD ($) | Dec. 31, 2015USD ($) | Dec. 31, 2014USD ($) | |
Amounts due from affiliate | ||||||||||
Carried Interest from Investment Funds | $ 8,552 | $ 8,547 | $ 71,019 | $ 70,778 | $ 70,906 | $ 70,870 | $ 70,763 | $ 70,519 | ||
Investment Funds | ||||||||||
Amounts due from affiliate | ||||||||||
Cash received during the period | $ 61,314 | |||||||||
Related party agreement, number of extensions | item | 1 | |||||||||
Related party extension term | 1 year | |||||||||
Carried Interest from Investment Funds | $ 8,552 | 70,906 | $ 69,926 | $ 67,298 | ||||||
Loan servicing rebate | 300 | 250 | ||||||||
Management fees | 88 | 500 | ||||||||
Expense reimbursements | 27 | 238 | ||||||||
Loan servicing fees | 2 | 231 | ||||||||
Total due from affiliate | 417 | 1,219 | ||||||||
Deposits received to fund servicing advances | 2,329 | 20,221 | ||||||||
Other | 98 | 172 | ||||||||
Payable to affiliates | $ 2,427 | 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 | $ 6,389 | 42,427 | ||||||||
PNMAC Mortgage Opportunity Fund Investors, LLC | ||||||||||
Amounts due from affiliate | ||||||||||
Carried Interest from Investment Funds | $ 2,163 | $ 28,479 |
Transactions with Affiliates 75
Transactions with Affiliates - Exchanged Private National Mortgage Acceptance Company, LLC Unitholders (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Transactions with Affiliates | ||||
Amount of tax benefits under the tax sharing agreement (as a percent) | 85.00% | |||
Federal income tax statutory rate (as a percent) | 21.00% | 35.00% | 35.00% | 35.00% |
Repricing of payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | $ (32,940) | $ (551) | $ 1,695 | |
Private National Mortgage Acceptance Company, LLC | ||||
Transactions with Affiliates | ||||
Reduction in payable to exchanged Private National Mortgage Acceptance Company, LLC | 32,000 | |||
Liability resulting from unit exchanges | 7,723 | 2,190 | 2,728 | |
Payment of liability to exchange PNMAC unit holders under tax receivable agreement | 6,726 | 5,132 | ||
Repricing of payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | (32,940) | (551) | $ 1,695 | |
Payable to exchanged PNMAC unitholders under tax receivable agreement | $ 44,011 | $ 75,954 |
Loan Sales and Servicing Acti76
Loan Sales and Servicing Activities - Summary of Cash Flows with Transferees (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Cash flows: | |||
Sales proceeds | $ 50,235,245 | $ 49,633,909 | $ 36,679,638 |
Servicing fees received | 376,160 | 261,163 | 140,767 |
Net servicing advances | 52,353 | 8,274 | $ 9,842 |
Period end information: | |||
Unpaid principal balance of mortgage loans outstanding | 120,853,138 | 89,516,155 | |
30-89 days | 5,097,688 | 2,545,970 | |
90 days or more - Not in foreclosure | 2,303,114 | 735,263 | |
90 days or more - In foreclosure | 606,744 | 137,856 | |
90 days or more - Foreclosed | 30,310 | 2,552 | |
Bankruptcy | $ 657,368 | $ 256,471 |
Loan Sales and Servicing Acti77
Loan Sales and Servicing Activities - Summary of Mortgage Servicing Portfolio (Details) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
Mortgage servicing portfolio | ||
Mortgage loans held for sale | $ 2,101,283 | |
Total loans serviced | $ 245,848,491 | 194,240,002 |
Commercial real estate loans subserviced for the Company | 22,338 | |
Delinquent mortgage loans: | ||
30 days | 3,647,817 | |
60 days | 1,181,591 | |
90 days or more - Not in foreclosure | 2,770,391 | |
90 days or more - In foreclosure | 1,622,205 | |
90 days or more - Foreclosed | 476,960 | |
Total delinquent mortgage loans | 9,698,964 | |
Bankruptcy | 1,073,976 | |
Custodial funds managed by the Company | 3,833,763 | |
Mortgage servicing rights | ||
Mortgage servicing portfolio | ||
Mortgage loans held for sale | 2,998,377 | |
Total loans serviced | 245,848,491 | |
Delinquent mortgage loans: | ||
30 days | 5,842,632 | |
60 days | 2,151,173 | |
90 days or more - Not in foreclosure | 4,232,104 | |
90 days or more - In foreclosure | 1,210,449 | |
90 days or more - Foreclosed | 320,134 | |
Total delinquent mortgage loans | 13,756,492 | |
Bankruptcy | 1,223,293 | |
Custodial funds managed by the Company | 4,168,320 | |
Servicing rights owned | ||
Mortgage servicing portfolio | ||
Mortgage loans held for sale | 2,998,377 | 2,101,283 |
Total loans serviced | 170,868,223 | 133,353,285 |
Delinquent mortgage loans: | ||
30 days | 5,326,710 | 3,240,640 |
60 days | 1,935,216 | 1,035,871 |
90 days or more - Not in foreclosure | 3,690,159 | 2,203,895 |
90 days or more - In foreclosure | 916,614 | 937,204 |
90 days or more - Foreclosed | 41,244 | 28,943 |
Total delinquent mortgage loans | 11,909,943 | 7,446,553 |
Bankruptcy | 1,046,969 | 793,517 |
Custodial funds managed by the Company | 3,267,279 | 3,097,365 |
Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Total loans serviced | 74,980,268 | 60,886,717 |
Commercial real estate loans subserviced for the Company | 22,338 | |
Delinquent mortgage loans: | ||
30 days | 515,922 | 407,177 |
60 days | 215,957 | 145,720 |
90 days or more - Not in foreclosure | 541,945 | 566,496 |
90 days or more - In foreclosure | 293,835 | 685,001 |
90 days or more - Foreclosed | 278,890 | 448,017 |
Total delinquent mortgage loans | 1,846,549 | 2,252,411 |
Bankruptcy | 176,324 | 280,459 |
Custodial funds managed by the Company | 901,041 | 736,398 |
Non affiliated entities | ||
Mortgage servicing portfolio | ||
Originated | 89,516,155 | |
Purchased | 41,735,847 | |
Total loans serviced, excluding loans held for sale | 131,252,002 | |
Non affiliated entities | Mortgage servicing rights | ||
Mortgage servicing portfolio | ||
Originated | 120,853,138 | |
Purchased | 47,016,708 | |
Total loans serviced, excluding loans held for sale | 167,869,846 | |
Non affiliated entities | Servicing rights owned | ||
Mortgage servicing portfolio | ||
Originated | 120,853,138 | 89,516,155 |
Purchased | 47,016,708 | 41,735,847 |
Total loans serviced, excluding loans held for sale | 167,869,846 | 131,252,002 |
Affiliated entities | ||
Mortgage servicing portfolio | ||
Affiliated entities | 60,886,717 | |
Affiliated entities | Mortgage servicing rights | ||
Mortgage servicing portfolio | ||
Affiliated entities | 74,980,268 | |
Affiliated entities | Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Affiliated entities | $ 74,980,268 | $ 60,886,717 |
Loan Sales and Servicing Acti78
Loan Sales and Servicing Activities - Geographical Distribution of Loans (Details) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 245,848,491 | $ 194,240,002 |
California | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 45,621,369 | 42,303,952 |
Texas | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 19,741,970 | 16,037,426 |
Florida | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 17,490,194 | 12,817,627 |
Virginia | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 16,210,673 | 13,143,510 |
Maryland | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 11,350,939 | 8,564,923 |
All other states | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 135,433,346 | $ 101,372,564 |
Fair Value - Financial Statemen
Fair Value - Financial Statement Items Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | 12 Months Ended | |||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 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 | $ 170,080 | $ 85,964 | ||||||
Mortgage loans held for sale at fair value | 3,099,103 | $ 2,935,593 | $ 3,037,602 | $ 2,277,751 | 2,172,815 | $ 3,127,377 | $ 2,097,138 | $ 1,653,963 |
Derivative assets: | ||||||||
Derivative asset, before netting | 85,046 | 179,540 | ||||||
Netting | (6,867) | (96,635) | ||||||
Total derivative assets | 78,179 | 82,905 | ||||||
Mortgage servicing rights at fair value | 638,010 | 515,925 | ||||||
Derivative liabilities: | ||||||||
Derivative liability, before netting | 10,043 | 108,406 | ||||||
Netting | (4,247) | (86,044) | ||||||
Net amounts of liabilities presented in the consolidated balance sheet | 5,796 | 22,362 | ||||||
Mortgage servicing liabilities | 14,120 | 15,192 | ||||||
PMT | ||||||||
Derivative assets: | ||||||||
Investment in PennyMac Mortgage Investment Trust | 1,205 | 1,228 | ||||||
Interest rate lock commitments | ||||||||
Derivative assets: | ||||||||
Total derivative assets | 60,012 | 65,848 | ||||||
Recurring basis | ||||||||
Assets: | ||||||||
Short-term investments at fair value | 170,080 | 85,964 | ||||||
Mortgage loans held for sale at fair value | 3,099,103 | 2,172,815 | ||||||
Derivative assets: | ||||||||
Derivative asset, before netting | 85,046 | 179,540 | ||||||
Netting | (6,867) | (96,635) | ||||||
Total derivative assets | 78,179 | 82,905 | ||||||
Mortgage servicing rights at fair value | 638,010 | 515,925 | ||||||
Total assets | 3,986,577 | 2,858,837 | ||||||
Derivative liabilities: | ||||||||
Derivative liability, before netting | 10,043 | 108,406 | ||||||
Netting | (4,247) | (86,044) | ||||||
Net amounts of liabilities presented in the consolidated balance sheet | 5,796 | 22,362 | ||||||
Mortgage servicing liabilities | 14,120 | 15,192 | ||||||
Total liabilities | 256,450 | 326,223 | ||||||
Recurring basis | PMT | ||||||||
Derivative assets: | ||||||||
Investment in PennyMac Mortgage Investment Trust | 1,205 | 1,228 | ||||||
Derivative liabilities: | ||||||||
Excess servicing spread financing at fair value to affiliate | 236,534 | 288,669 | ||||||
Recurring basis | Interest rate lock commitments | ||||||||
Derivative assets: | ||||||||
Derivative asset, before netting | 60,012 | 65,848 | ||||||
Derivative liabilities: | ||||||||
Derivative liability, before netting | 1,740 | 6,457 | ||||||
Recurring basis | Repurchase agreement derivatives | ||||||||
Derivative assets: | ||||||||
Derivative asset, before netting | 10,656 | |||||||
Recurring basis | Forward contracts | Purchases | ||||||||
Derivative assets: | ||||||||
Derivative asset, before netting | 4,288 | 77,905 | ||||||
Derivative liabilities: | ||||||||
Derivative liability, before netting | 1,272 | 16,914 | ||||||
Recurring basis | Forward contracts | Sales | ||||||||
Derivative assets: | ||||||||
Derivative asset, before netting | 2,101 | 28,324 | ||||||
Derivative liabilities: | ||||||||
Derivative liability, before netting | 7,031 | 85,035 | ||||||
Recurring basis | MBS put options | ||||||||
Derivative assets: | ||||||||
Derivative asset, before netting | 3,481 | 3,934 | ||||||
Recurring basis | MBS call options | ||||||||
Derivative assets: | ||||||||
Derivative asset, before netting | 217 | |||||||
Recurring basis | Call options on interest rate futures | Purchases | ||||||||
Derivative assets: | ||||||||
Derivative asset, before netting | 938 | 203 | ||||||
Recurring basis | Put options on interest rate futures | Purchases | ||||||||
Derivative assets: | ||||||||
Derivative asset, before netting | 3,570 | 3,109 | ||||||
Recurring basis | Level 1 | ||||||||
Assets: | ||||||||
Short-term investments at fair value | 170,080 | 85,964 | ||||||
Derivative assets: | ||||||||
Derivative asset, before netting | 4,508 | 3,312 | ||||||
Total derivative assets | 4,508 | 3,312 | ||||||
Total assets | 175,793 | 90,504 | ||||||
Recurring basis | Level 1 | PMT | ||||||||
Derivative assets: | ||||||||
Investment in PennyMac Mortgage Investment Trust | 1,205 | 1,228 | ||||||
Recurring basis | Level 1 | Call options on interest rate futures | Purchases | ||||||||
Derivative assets: | ||||||||
Derivative asset, before netting | 938 | 203 | ||||||
Recurring basis | Level 1 | Put options on interest rate futures | Purchases | ||||||||
Derivative assets: | ||||||||
Derivative asset, before netting | 3,570 | 3,109 | ||||||
Recurring basis | Level 2 | ||||||||
Assets: | ||||||||
Mortgage loans held for sale at fair value | 2,316,892 | 2,125,544 | ||||||
Derivative assets: | ||||||||
Derivative asset, before netting | 9,870 | 110,380 | ||||||
Total derivative assets | 9,870 | 110,380 | ||||||
Total assets | 2,326,762 | 2,235,924 | ||||||
Derivative liabilities: | ||||||||
Derivative liability, before netting | 8,303 | 101,949 | ||||||
Net amounts of liabilities presented in the consolidated balance sheet | 8,303 | 101,949 | ||||||
Total liabilities | 8,303 | 101,949 | ||||||
Recurring basis | Level 2 | Forward contracts | Purchases | ||||||||
Derivative assets: | ||||||||
Derivative asset, before netting | 4,288 | 77,905 | ||||||
Derivative liabilities: | ||||||||
Derivative liability, before netting | 1,272 | 16,914 | ||||||
Recurring basis | Level 2 | Forward contracts | Sales | ||||||||
Derivative assets: | ||||||||
Derivative asset, before netting | 2,101 | 28,324 | ||||||
Derivative liabilities: | ||||||||
Derivative liability, before netting | 7,031 | 85,035 | ||||||
Recurring basis | Level 2 | MBS put options | ||||||||
Derivative assets: | ||||||||
Derivative asset, before netting | 3,481 | 3,934 | ||||||
Recurring basis | Level 2 | MBS call options | ||||||||
Derivative assets: | ||||||||
Derivative asset, before netting | 217 | |||||||
Recurring basis | Level 3 | ||||||||
Assets: | ||||||||
Mortgage loans held for sale at fair value | 782,211 | 47,271 | ||||||
Derivative assets: | ||||||||
Derivative asset, before netting | 70,668 | 65,848 | ||||||
Total derivative assets | 70,668 | 65,848 | ||||||
Mortgage servicing rights at fair value | 638,010 | 515,925 | ||||||
Total assets | 1,490,889 | 629,044 | ||||||
Derivative liabilities: | ||||||||
Derivative liability, before netting | 1,740 | 6,457 | ||||||
Net amounts of liabilities presented in the consolidated balance sheet | 1,740 | 6,457 | ||||||
Mortgage servicing liabilities | 14,120 | 15,192 | ||||||
Total liabilities | 252,394 | 310,318 | ||||||
Recurring basis | Level 3 | PMT | ||||||||
Derivative liabilities: | ||||||||
Excess servicing spread financing at fair value to affiliate | 236,534 | 288,669 | ||||||
Recurring basis | Level 3 | Interest rate lock commitments | ||||||||
Derivative assets: | ||||||||
Derivative asset, before netting | 60,012 | 65,848 | ||||||
Derivative liabilities: | ||||||||
Derivative liability, before netting | 1,740 | $ 6,457 | ||||||
Recurring basis | Level 3 | Repurchase agreement derivatives | ||||||||
Derivative assets: | ||||||||
Derivative asset, before netting | $ 10,656 |
Fair Value - Level 3 Input Roll
Fair Value - Level 3 Input Roll Forward, Recurring Basis (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | |||
Mortgage servicing liabilities resulting from mortgage loan sales | $ 17,229 | $ 14,991 | $ 20,442 |
Excess servicing spread financing | |||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | |||
Balance at the beginning of the year | 288,669 | 412,425 | 191,166 |
Accrual of interest on excess servicing spread financing | 16,951 | 22,601 | 25,365 |
Repayment | (54,980) | (69,992) | (78,578) |
Repurchases | 59,045 | ||
Changes in fair value included in income | (19,350) | (23,923) | (3,810) |
Balance at the end of the year | 236,534 | 288,669 | 412,425 |
Unused Element [Abstract] | |||
ESS issued pursuant to a recapture agreement with PennyMac Mortgage Investment Trust | 5,244 | 6,603 | 6,728 |
Recurring basis | |||
Roll forward of assets measured using Level 3 inputs on a recurring basis | |||
Balance at the beginning of the year | 622,587 | 752,551 | 567,692 |
Purchases | 3,425,474 | 1,608,773 | 1,293,948 |
Sales | (1,339,580) | (1,202,621) | (844,419) |
Interest rate lock commitments issued, net | 429,598 | 271,692 | |
Mortgage servicing rights resulting from mortgage loan sales | 24,471 | 17,319 | 18,013 |
Changes in fair value included in income arising from: | |||
Changes in instrument specific credit risk | (1,794) | 3,469 | 4,233 |
Other factors | 28,868 | (17,920) | 7,095 |
Total changes in fair value included in income | 27,404 | (14,451) | 11,328 |
Transfers from mortgage loans held for sale from Level 3 to Level 2 | 851,935 | (410,735) | (232,315) |
Transfers from interest rate lock commitments to mortgage loans held for sale | (418,942) | (557,847) | (333,388) |
Balance at the end of the year | 1,489,149 | 622,587 | 752,551 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | (28,850) | (101,460) | (17,895) |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | |||
Balance at the beginning of the year | 303,861 | 413,824 | 197,472 |
Issuances | 5,244 | 6,603 | |
Accrual of interest on excess servicing spread financing | 16,951 | 22,601 | 25,365 |
Repayment | (54,980) | (69,992) | (78,578) |
Settlement | (59,045) | ||
Mortgage servicing liabilities resulting from mortgage loan sales | 17,229 | 14,991 | 20,442 |
Mortgage servicing liability assumed | 10,139 | ||
Changes in fair value included in income | (37,651) | (35,260) | (29,159) |
Balance at the end of the year | 250,654 | 303,861 | 413,824 |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (37,651) | (28,050) | (29,159) |
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 | 288,669 | 412,425 | 191,166 |
Issuances | 5,244 | 6,603 | |
Accrual of interest on excess servicing spread financing | 16,951 | 22,601 | 25,365 |
Repayment | (54,980) | (69,992) | (78,578) |
Settlement | (59,045) | ||
Changes in fair value included in income | (19,350) | (23,923) | (3,810) |
Balance at the end of the year | 236,534 | 288,669 | 412,425 |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (19,350) | (16,713) | (3,810) |
Recurring basis | Excess Servicing Spread Financing for Cash | |||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | |||
Issuances | 271,554 | ||
Recurring basis | Excess Servicing Spread Financing Pursuant to Recapture Agreement | |||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | |||
Issuances | 6,728 | ||
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 | 15,192 | 1,399 | 6,306 |
Mortgage servicing liabilities resulting from mortgage loan sales | 17,229 | 14,991 | 20,442 |
Mortgage servicing liability assumed | 10,139 | ||
Changes in fair value included in income | (18,301) | (11,337) | (25,349) |
Balance at the end of the year | 14,120 | 15,192 | 1,399 |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (18,301) | (11,337) | (25,349) |
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 | 47,271 | 48,531 | 209,908 |
Purchases | 2,928,249 | 1,608,627 | 911,124 |
Sales | (1,339,580) | (1,202,621) | (844,419) |
Changes in fair value included in income arising from: | |||
Changes in instrument specific credit risk | (1,794) | 3,469 | 4,233 |
Total changes in fair value included in income | (1,794) | 3,469 | 4,233 |
Transfers from mortgage loans held for sale from Level 3 to Level 2 | 851,935 | (410,735) | (232,315) |
Balance at the end of the year | 782,211 | 47,271 | 48,531 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | (556) | 936 | 4,305 |
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 | 59,391 | 43,773 | 32,401 |
Purchases | 302,389 | ||
Interest rate lock commitments issued, net | 429,598 | 271,692 | |
Changes in fair value included in income arising from: | |||
Other factors | 115,434 | 143,867 | 73,068 |
Total changes in fair value included in income | 115,434 | 143,867 | 73,068 |
Transfers from interest rate lock commitments to mortgage loans held for sale | (418,942) | (557,847) | (333,388) |
Balance at the end of the year | 58,272 | 59,391 | 43,773 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | 58,272 | 59,391 | 43,773 |
Recurring basis | Repurchase agreement derivatives | |||
Roll forward of assets measured using Level 3 inputs on a recurring basis | |||
Purchases | 10,986 | ||
Changes in fair value included in income arising from: | |||
Other factors | (330) | ||
Total changes in fair value included in income | (330) | ||
Balance at the end of the year | 10,656 | ||
Changes in fair value recognized during the period relating to assets still held at the end of the period | (330) | ||
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 | 515,925 | 660,247 | 325,383 |
Purchases | 183,850 | 146 | 382,824 |
Mortgage servicing rights resulting from mortgage loan sales | 24,471 | 17,319 | 18,013 |
Changes in fair value included in income arising from: | |||
Other factors | (86,236) | (161,787) | (65,973) |
Total changes in fair value included in income | (86,236) | (161,787) | (65,973) |
Balance at the end of the year | 638,010 | 515,925 | 660,247 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | $ (86,236) | $ (161,787) | $ (65,973) |
Fair Value - Changes in Fair Va
Fair Value - Changes in Fair Value, Fair Value Option, Recurring Basis (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Liabilities. | |||
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | |||
Total gains (losses) from changes in estimated fair values included in earnings | $ 37,651 | $ 35,260 | $ 29,159 |
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 | 37,651 | 35,260 | 29,159 |
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 | 19,350 | 23,923 | 3,810 |
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 | 19,350 | 23,923 | 3,810 |
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 | 18,301 | 11,337 | 25,349 |
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 | 18,301 | 11,337 | 25,349 |
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 | 339,856 | 351,544 | 306,166 |
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 | 426,092 | 513,331 | 372,139 |
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 | (86,236) | (161,787) | (65,973) |
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 | 426,092 | 513,331 | 372,139 |
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 | 426,092 | 513,331 | 372,139 |
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 | (86,236) | (161,787) | (65,973) |
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 | $ (86,236) | $ (161,787) | $ (65,973) |
Fair Value - Fair Value Option
Fair Value - Fair Value Option Maturities, Recurring Basis (Details) - USD ($) $ in Thousands | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 |
Fair value | ||||||||
Total fair value | $ 3,099,103 | $ 2,935,593 | $ 3,037,602 | $ 2,277,751 | $ 2,172,815 | $ 3,127,377 | $ 2,097,138 | $ 1,653,963 |
Recurring basis | ||||||||
Fair value | ||||||||
Total fair value | 3,099,103 | 2,172,815 | ||||||
Mortgage loans held for sale | ||||||||
Fair value | ||||||||
Current through 89 days delinquent | 2,430,517 | 2,148,947 | ||||||
Not in foreclosure | 614,329 | 19,227 | ||||||
In foreclosure | 54,257 | 4,641 | ||||||
Total fair value | 3,099,103 | 2,172,815 | ||||||
Principal amount due upon maturity | ||||||||
Current through 89 days delinquent | 2,326,772 | 2,077,034 | ||||||
Not in foreclosure | 614,357 | 19,399 | ||||||
In foreclosure | 57,248 | 4,850 | ||||||
Total principal amount due upon maturity | 2,998,377 | 2,101,283 | ||||||
Difference | ||||||||
Current through 89 days delinquent | 103,745 | 71,913 | ||||||
Not in foreclosure | (28) | (172) | ||||||
In foreclosure | (2,991) | (209) | ||||||
Total difference | $ 100,726 | $ 71,532 |
Fair Value - Measurement Basis,
Fair Value - Measurement Basis, Nonrecurring (Details) - Nonrecurring basis - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Financial statement items measured at fair value on a nonrecurring basis | |||
Mortgage servicing rights at lower of amortized cost or fair value | $ 1,463,552 | $ 1,093,242 | |
Real estate acquired in settlement of loans | 2,355 | 1,152 | |
Total assets | 1,465,907 | 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 | (6,853) | (60,487) | $ (37,437) |
Real estate acquired in settlement of loans | (125) | (86) | |
Total gains on assets measured at estimated fair values on a nonrecurring basis | (6,978) | (60,573) | $ (37,437) |
Level 3 | |||
Financial statement items measured at fair value on a nonrecurring basis | |||
Mortgage servicing rights at lower of amortized cost or fair value | 1,463,552 | 1,093,242 | |
Real estate acquired in settlement of loans | 2,355 | 1,152 | |
Total assets | $ 1,465,907 | $ 1,094,394 |
Fair Value - Level 3 Unobservab
Fair Value - Level 3 Unobservable Inputs, Mortgage Loans and IRLC (Details) | 12 Months Ended | |
Dec. 31, 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) | 3.10% | 2.00% |
Prepayment / resale speed (1) | 0.20% | 0.10% |
Total prepayment speed (as a percent) | 0.20% | 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) | 10.00% | 8.80% |
Twelve-month projected housing price index change (as a percent) | 5.60% | 4.50% |
Prepayment / resale speed (1) | 72.20% | 24.40% |
Total prepayment speed (as a percent) | 75.20% | 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) | 3.60% | 3.70% |
Prepayment / resale speed (1) | 44.60% | 20.90% |
Total prepayment speed (as a percent) | 55.80% | 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) | 25.00% | 35.00% |
Mortgage servicing rights value expressed as: Servicing fee multiple | 1.4 | 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 | 5.8 | 5.9 |
Mortgage servicing rights value expressed as: Percentage of unpaid principal balance | 3.00% | 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) | 85.60% | 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) | 97.00% |
Fair Value - Level 3 Unobserv85
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Rights - Initial Recognition (Details) - Level 3 - USD ($) | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Fair Values | Mortgage servicing rights | |||
MSR and pool characteristics | |||
Amount recognized | $ 24,471,000 | $ 17,319,000 | $ 18,013,000 |
Weighted-average servicing fee rate (as a percent) | 32.00% | 32.00% | |
Fair Values | Mortgage servicing rights | Minimum | |||
Inputs: | |||
Pricing spread (as a percent) | 7.60% | 7.60% | |
Annual total prepayment speed (as a percent) | 7.90% | 7.00% | |
Life (in years) | 1 year 2 months 12 days | 1 year 3 months 18 days | |
Annual per-loan cost of servicing | $ 78,000 | $ 78,000 | |
Fair Values | Mortgage servicing rights | Maximum | |||
Inputs: | |||
Pricing spread (as a percent) | 14.10% | 14.90% | |
Annual total prepayment speed (as a percent) | 46.20% | 46.70% | |
Life (in years) | 7 years 9 months 18 days | 8 years 7 months 6 days | |
Annual per-loan cost of servicing | $ 97,000 | $ 101,000 | |
Fair Values | Mortgage servicing rights | Weighted average | |||
Inputs: | |||
Pricing spread (as a percent) | 9.80% | 10.10% | |
Annual total prepayment speed (as a percent) | 10.50% | 10.30% | |
Life (in years) | 6 years 7 months 6 days | 6 years 8 months 12 days | |
Annual per-loan cost of servicing | $ 89,000 | $ 92,000 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | |||
MSR and pool characteristics | |||
Unpaid principal balance of underlying mortgage loans | $ 2,316,539,000 | $ 1,452,779,000 | $ 1,463,150,000 |
Weighted-average servicing fee rate (as a percent) | 31.00% | 33.00% | 33.00% |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Minimum | |||
Inputs: | |||
Pricing spread (as a percent) | 7.60% | 7.20% | 7.00% |
Annual total prepayment speed (as a percent) | 3.90% | 3.30% | 1.90% |
Life (in years) | 9 months 18 days | 6 months | 1 year 1 month 6 days |
Annual per-loan cost of servicing | $ 78 | $ 68 | $ 59 |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Maximum | |||
Inputs: | |||
Pricing spread (as a percent) | 11.20% | 10.50% | 14.40% |
Annual total prepayment speed (as a percent) | 71.80% | 53.80% | 62.40% |
Life (in years) | 11 years 8 months 12 days | 11 years 10 months 24 days | 12 years 3 months 18 days |
Annual per-loan cost of servicing | $ 101 | $ 105 | $ 101 |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Weighted average | |||
Inputs: | |||
Pricing spread (as a percent) | 10.50% | 9.20% | 9.30% |
Annual total prepayment speed (as a percent) | 12.60% | 11.80% | 11.80% |
Life (in years) | 6 years 7 months 6 days | 6 years 9 months 18 days | 6 years 6 months |
Annual per-loan cost of servicing | $ 89 | $ 88 | $ 77 |
Amortized cost | Mortgage servicing rights | |||
MSR and pool characteristics | |||
Amount recognized | $ 556,630,000 | $ 560,212,000 | 454,840,000 |
Weighted-average servicing fee rate (as a percent) | 31.00% | 31.00% | |
Amortized cost | Mortgage servicing rights | Minimum | |||
Inputs: | |||
Pricing spread (as a percent) | 7.60% | 7.60% | |
Annual total prepayment speed (as a percent) | 7.40% | 6.60% | |
Life (in years) | 2 years | 1 year 7 months 6 days | |
Annual per-loan cost of servicing | $ 79,000 | $ 79,000 | |
Amortized cost | Mortgage servicing rights | Maximum | |||
Inputs: | |||
Pricing spread (as a percent) | 14.10% | 14.90% | |
Annual total prepayment speed (as a percent) | 44.10% | 43.90% | |
Life (in years) | 8 years 3 months 18 days | 9 years 4 months 24 days | |
Annual per-loan cost of servicing | $ 97,000 | $ 101,000 | |
Amortized cost | Mortgage servicing rights | Weighted average | |||
Inputs: | |||
Pricing spread (as a percent) | 10.30% | 10.70% | |
Annual total prepayment speed (as a percent) | 9.70% | 8.70% | |
Life (in years) | 7 years 6 months | 8 years 1 month 6 days | |
Annual per-loan cost of servicing | $ 89,000 | $ 92,000 | |
Amortized cost | MSRs at the time of initial recognition, excluding MSR purchases | |||
MSR and pool characteristics | |||
Unpaid principal balance of underlying mortgage loans | $ 44,664,551,000 | $ 44,827,516,000 | $ 32,849,718,000 |
Weighted-average servicing fee rate (as a percent) | 31.00% | 30.00% | 34.00% |
Amortized cost | MSRs at the time of initial recognition, excluding MSR purchases | Minimum | |||
Inputs: | |||
Pricing spread (as a percent) | 7.60% | 7.20% | 6.80% |
Annual total prepayment speed (as a percent) | 3.40% | 2.80% | 2.50% |
Life (in years) | 1 year 6 months | 1 year 3 months 18 days | 1 year 3 months 18 days |
Annual per-loan cost of servicing | $ 79 | $ 68 | $ 59 |
Amortized cost | MSRs at the time of initial recognition, excluding MSR purchases | Maximum | |||
Inputs: | |||
Pricing spread (as a percent) | 15.20% | 14.40% | 16.20% |
Annual total prepayment speed (as a percent) | 47.60% | 50.90% | 50.00% |
Life (in years) | 12 years 2 months 12 days | 12 years 10 months 24 days | 12 years |
Annual per-loan cost of servicing | $ 101 | $ 106 | $ 95 |
Amortized cost | MSRs at the time of initial recognition, excluding MSR purchases | Weighted average | |||
Inputs: | |||
Pricing spread (as a percent) | 10.70% | 9.50% | 9.20% |
Annual total prepayment speed (as a percent) | 9.10% | 9.00% | 8.90% |
Life (in years) | 8 years 1 month 6 days | 8 years 1 month 6 days | 7 years 2 months 12 days |
Annual per-loan cost of servicing | $ 89 | $ 89 | $ 78 |
Fair Value - Level 3 Unobserv86
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Rights, Effect of Change In Inputs on Fair Value (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Mortgage servicing liabilities | ||
MSR and pool characteristics | ||
Carrying value | $ 14,120,000 | $ 15,192,000 |
Unpaid principal balance of underlying mortgage loans | $ 1,620,609,000 | $ 2,074,896,000 |
Weighted-average note interest 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 | $ 404 | $ 497 |
Fair Values | Mortgage servicing rights | Level 3 | ||
MSR and pool characteristics | ||
Carrying value | 638,010,000 | 515,925,000 |
Unpaid principal balance of underlying mortgage loans | $ 51,883,539,000 | $ 43,667,165,000 |
Weighted-average note interest rate (as a percent) | 4.00% | 4.10% |
Weighted-average servicing fee rate (as a percent) | 32.00% | 32.00% |
Pricing spread | ||
Effect on fair value of 5% adverse change | $ (10,760,000) | $ (9,097,000) |
Effect on fair value of 10% adverse change | (21,155,000) | (17,872,000) |
Effect on fair value of 20% adverse change | (40,916,000) | (34,516,000) |
Prepayment speed | ||
Effect on fair value of 5% adverse change | (10,809,000) | (8,818,000) |
Effect on fair value of 10% adverse change | (21,239,000) | (17,336,000) |
Effect on fair value of 20% adverse change | (41,038,000) | (33,533,000) |
Annual per-loan cost of servicing | ||
Effect on fair value of 5% adverse change | (6,247,000) | (5,612,000) |
Effect on fair value of 10% adverse change | (12,494,000) | (11,225,000) |
Effect on fair value of 20% adverse change | $ (24,987,000) | $ (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 2 months 12 days | 1 year 3 months 18 days |
Prepayment speed (as a percent) | 7.90% | 7.00% |
Prepayment speed | ||
Annual per-loan cost of servicing | $ 78,000 | $ 78,000 |
Fair Values | Mortgage servicing rights | Level 3 | Maximum | ||
Inputs | ||
Pricing spread (as a percent) | 14.10% | 14.90% |
Pricing spread | ||
Average life (in years) | 7 years 9 months 18 days | 8 years 7 months 6 days |
Prepayment speed (as a percent) | 46.20% | 46.70% |
Prepayment speed | ||
Annual per-loan cost of servicing | $ 97,000 | $ 101,000 |
Fair Values | Mortgage servicing rights | Level 3 | Weighted average | ||
Inputs | ||
Pricing spread (as a percent) | 9.80% | 10.10% |
Pricing spread | ||
Average life (in years) | 6 years 7 months 6 days | 6 years 8 months 12 days |
Prepayment speed (as a percent) | 10.50% | 10.30% |
Prepayment speed | ||
Annual per-loan cost of servicing | $ 89,000 | $ 92,000 |
Amortized cost | Mortgage servicing rights | Level 3 | ||
MSR and pool characteristics | ||
Carrying value | 1,481,578,000 | 1,111,747,000 |
Unpaid principal balance of underlying mortgage loans | $ 114,365,698,000 | $ 85,509,941,000 |
Weighted-average note interest rate (as a percent) | 3.80% | 3.70% |
Weighted-average servicing fee rate (as a percent) | 31.00% | 31.00% |
Pricing spread | ||
Effect on fair value of 5% adverse change | $ (27,700,000) | $ (22,382,000) |
Effect on fair value of 10% adverse change | (54,376,000) | (43,889,000) |
Effect on fair value of 20% adverse change | (104,869,000) | (84,464,000) |
Prepayment speed | ||
Effect on fair value of 5% adverse change | (23,544,000) | (16,636,000) |
Effect on fair value of 10% adverse change | (46,284,000) | (32,750,000) |
Effect on fair value of 20% adverse change | (89,514,000) | (63,513,000) |
Annual per-loan cost of servicing | ||
Effect on fair value of 5% adverse change | (11,216,000) | (8,890,000) |
Effect on fair value of 10% adverse change | (22,431,000) | (17,781,000) |
Effect on fair value of 20% adverse change | $ (44,863,000) | $ (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) | 2 years | 1 year 7 months 6 days |
Prepayment speed (as a percent) | 7.40% | 6.60% |
Prepayment speed | ||
Annual per-loan cost of servicing | $ 79,000 | $ 79,000 |
Amortized cost | Mortgage servicing rights | Level 3 | Maximum | ||
Inputs | ||
Pricing spread (as a percent) | 14.10% | 14.90% |
Pricing spread | ||
Average life (in years) | 8 years 3 months 18 days | 9 years 4 months 24 days |
Prepayment speed (as a percent) | 44.10% | 43.90% |
Prepayment speed | ||
Annual per-loan cost of servicing | $ 97,000 | $ 101,000 |
Amortized cost | Mortgage servicing rights | Level 3 | Weighted average | ||
Inputs | ||
Pricing spread (as a percent) | 10.30% | 10.70% |
Pricing spread | ||
Average life (in years) | 7 years 6 months | 8 years 1 month 6 days |
Prepayment speed (as a percent) | 9.70% | 8.70% |
Prepayment speed | ||
Annual per-loan cost of servicing | $ 89,000 | $ 92,000 |
Fair Value - Level 3 Unobserv87
Fair Value - Level 3 Unobservable Inputs, ESS (Details) - Excess servicing spread financing - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 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 | $ 236,534 | $ 288,669 |
Unpaid principal balance of underlying mortgage loans | $ 27,217,199 | $ 32,376,359 |
Average servicing fee rate (as a percent) | 34.00% | 34.00% |
Average excess servicing spread (as a percent) | 19.00% | 19.00% |
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 4 months 24 days | 1 year 4 months 24 days |
Prepayment speed (as a percent) | 8.40% | 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) | 4.30% | 4.80% |
Average life (in years) | 7 years 8 months 12 days | 8 years 7 months 6 days |
Prepayment speed (as a percent) | 41.40% | 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) | 4.10% | 4.40% |
Average life (in years) | 6 years 6 months | 6 years 9 months 18 days |
Prepayment speed (as a percent) | 10.80% | 10.50% |
Fair Value - Level 3 Unobserv88
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Liabilities (Details) - Mortgage servicing liabilities - USD ($) | 12 Months Ended | |
Dec. 31, 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 | $ 14,120,000 | $ 15,192,000 |
Unpaid principal balance of underlying mortgage loans | $ 1,620,609,000 | $ 2,074,896,000 |
Weighted-average note interest 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 | $ 404 | $ 497 |
Mortgage Loans Held for Sale 89
Mortgage Loans Held for Sale at Fair Value (Details) - USD ($) $ in Thousands | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 |
Mortgage Loans Held for Sale at Fair Value | ||||||||
Mortgage loans held for sale at fair value | $ 3,099,103 | $ 2,935,593 | $ 3,037,602 | $ 2,277,751 | $ 2,172,815 | $ 3,127,377 | $ 2,097,138 | $ 1,653,963 |
Fair value of mortgage loans pledged to secure mortgage loans sold under agreements to repurchase | 2,530,299 | 1,422,255 | ||||||
Fair value of mortgage loans pledged to secure mortgage loan participation and sale agreement | 551,688 | 702,919 | ||||||
Pledged Assets Separately Reported, Loans Pledged as Collateral, at Fair Value, Total | 3,081,987 | 2,125,174 | ||||||
Government-insured or guaranteed | ||||||||
Mortgage Loans Held for Sale at Fair Value | ||||||||
Mortgage loans held for sale at fair value | 2,085,764 | 1,984,020 | ||||||
Conventional mortgage loans | ||||||||
Mortgage Loans Held for Sale at Fair Value | ||||||||
Mortgage loans held for sale at fair value | 231,128 | 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 | 777,300 | 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 | $ 4,911 | $ 6,834 |
Derivative Activities - Other I
Derivative Activities - Other Information (Details) - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2017 | Dec. 31, 2016 | |
Derivative assets: | |||||
Derivative asset, before netting | $ 85,046 | $ 179,540 | |||
Netting | (6,867) | (96,635) | |||
Total derivative assets | 78,179 | 82,905 | |||
Derivative liabilities: | |||||
Derivative liability, before netting | 10,043 | 108,406 | |||
Netting | (4,247) | (86,044) | |||
Net amounts of liabilities presented in the consolidated balance sheet | 5,796 | 22,362 | |||
Interest Expense. | Repurchase agreement derivative | |||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Gains (losses) recognized on derivative financial instruments | $ (330) | ||||
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 | (21,255) | $ 20,619 | $ (48,960) | ||
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 | (37,855) | 26,405 | (7,717) | ||
Margin Deposits | |||||
Derivative assets: | |||||
Derivative asset, before netting | 2,620 | 10,591 | |||
Interest rate lock commitments | |||||
Derivative assets: | |||||
Total derivative assets | 60,012 | 65,848 | |||
Not designated as hedging instrument | Repurchase agreement derivatives | |||||
Derivative assets: | |||||
Derivative asset, before netting | 10,656 | ||||
Not designated as hedging instrument | Interest rate lock commitments | |||||
Derivative Instruments | |||||
Notional amount | 4,279,611 | 4,279,611 | 3,654,955 | 4,279,611 | |
Derivative assets: | |||||
Derivative asset, before netting | 60,012 | 65,848 | |||
Derivative liabilities: | |||||
Derivative liability, before netting | 1,740 | 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 | 3,654,955 | 4,279,611 | |||
Not designated as hedging instrument | Forward contracts | Purchases | |||||
Derivative Instruments | |||||
Notional amount | 12,746,191 | 5,254,293 | 2,634,218 | 4,920,883 | 12,746,191 |
Derivative assets: | |||||
Derivative asset, before netting | 4,288 | 77,905 | |||
Derivative liabilities: | |||||
Derivative liability, before netting | 1,272 | 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 | 5,254,293 | 2,634,218 | ||
Additions | 181,761,564 | 210,412,697 | 103,571,212 | ||
Dispositions/expirations | (189,586,872) | (202,920,799) | (100,951,137) | ||
Balance end of period | 4,920,883 | 12,746,191 | 5,254,293 | ||
Not designated as hedging instrument | Forward contracts | Sales | |||||
Derivative Instruments | |||||
Notional amount | 16,577,942 | 6,230,811 | 3,901,851 | 5,204,796 | 16,577,942 |
Derivative assets: | |||||
Derivative asset, before netting | 2,101 | 28,324 | |||
Derivative liabilities: | |||||
Derivative liability, before netting | 7,031 | 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 | 6,230,811 | 3,901,851 | ||
Additions | 226,000,107 | 262,202,884 | 137,061,118 | ||
Dispositions/expirations | (237,373,253) | (251,855,753) | (134,732,158) | ||
Balance end of period | 5,204,796 | 16,577,942 | 6,230,811 | ||
Not designated as hedging instrument | MBS put options | |||||
Derivative Instruments | |||||
Notional amount | 1,175,000 | 1,275,000 | 340,000 | 4,925,000 | 1,175,000 |
Derivative assets: | |||||
Derivative asset, before netting | 3,481 | 3,934 | |||
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 | 1,275,000 | 340,000 | ||
Additions | 25,050,000 | 19,225,000 | 3,902,500 | ||
Dispositions/expirations | (21,300,000) | (19,325,000) | (2,967,500) | ||
Balance end of period | 4,925,000 | 1,175,000 | 1,275,000 | ||
Not designated as hedging instrument | MBS call options | |||||
Derivative Instruments | |||||
Notional amount | 1,600,000 | 1,600,000 | 1,600,000 | ||
Derivative assets: | |||||
Derivative asset, before netting | 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 | ||||
Additions | 17,700,000 | 1,600,000 | 160,000 | ||
Dispositions/expirations | (19,300,000) | (160,000) | |||
Balance end of period | 1,600,000 | ||||
Not designated as hedging instrument | Put options on interest rate futures | Purchases | |||||
Derivative Instruments | |||||
Notional amount | 1,125,000 | 1,650,000 | 755,000 | 2,125,000 | 1,125,000 |
Derivative assets: | |||||
Derivative asset, before netting | 3,570 | 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 | 1,650,000 | 755,000 | ||
Additions | 11,360,000 | 15,331,000 | 8,790,000 | ||
Dispositions/expirations | (10,360,000) | (15,856,000) | (7,895,000) | ||
Balance end of period | 2,125,000 | 1,125,000 | 1,650,000 | ||
Not designated as hedging instrument | Put options on interest rate futures | Sales | |||||
Derivative Instruments | |||||
Notional amount | 50,000 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 50,000 | ||||
Additions | 10,010,000 | 9,436,000 | 50,000 | ||
Dispositions/expirations | (10,010,000) | (9,436,000) | (100,000) | ||
Not designated as hedging instrument | Call options on interest rate futures | Purchases | |||||
Derivative Instruments | |||||
Notional amount | 900,000 | 600,000 | 630,000 | 100,000 | 900,000 |
Derivative assets: | |||||
Derivative asset, before netting | 938 | 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 | 600,000 | 630,000 | ||
Additions | 1,939,300 | 5,687,500 | 6,055,000 | ||
Dispositions/expirations | (2,739,300) | (5,387,500) | (6,085,000) | ||
Balance end of period | 100,000 | 900,000 | 600,000 | ||
Not designated as hedging instrument | Call options on interest rate futures | Sales | |||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Additions | 2,739,300 | 550,000 | 35,100 | ||
Dispositions/expirations | (2,739,300) | (550,000) | $ (35,100) | ||
Not designated as hedging instrument | Treasury future | |||||
Derivative Instruments | |||||
Notional amount | 100,000 | 100,000 | |||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance end of period | 100,000 | ||||
Not designated as hedging instrument | Treasury future | Purchases | |||||
Derivative Instruments | |||||
Notional amount | 100,000 | 100,000 | |||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Additions | 544,900 | 585,800 | |||
Dispositions/expirations | (444,900) | (585,800) | |||
Balance end of period | 100,000 | ||||
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 | 444,900 | 585,800 | |||
Dispositions/expirations | (444,900) | (585,800) | |||
Not designated as hedging instrument | Interest rate swap futures | Purchases | |||||
Derivative Instruments | |||||
Notional amount | 200,000 | 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 | ||||
Additions | 2,100,000 | 400,000 | |||
Dispositions/expirations | (900,000) | (200,000) | |||
Balance end of period | 1,400,000 | 200,000 | |||
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 | 900,000 | 200,000 | |||
Dispositions/expirations | $ (900,000) | $ (200,000) |
Derivative Activities - Offsett
Derivative Activities - Offsetting of Derivative Assets (Details) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized assets | $ 70,668 | $ 65,848 |
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 14,378 | 113,692 |
Gross amounts offset in the consolidated balance sheet | (6,867) | (96,635) |
Net amounts of assets presented in the consolidated balance sheet | 7,511 | 17,057 |
Total | ||
Gross amounts of recognized assets | 85,046 | 179,540 |
Net amounts of assets presented in the balance sheet | 78,179 | 82,905 |
Interest rate lock commitments | ||
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized assets | 60,012 | 65,848 |
Total | ||
Net amounts of assets presented in the balance sheet | 60,012 | 65,848 |
Repurchase agreement derivatives | ||
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized assets | 10,656 | |
MBS put options | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 3,481 | 3,934 |
Net amounts of assets presented in the consolidated balance sheet | 3,481 | 3,934 |
MBS call options | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 217 | |
Net amounts of assets presented in the consolidated balance sheet | 217 | |
Forward contracts | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 4,288 | 77,905 |
Net amounts of assets presented in the consolidated balance sheet | 4,288 | 77,905 |
Forward contracts | Sales | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 2,101 | 28,324 |
Net amounts of assets presented in the consolidated balance sheet | 2,101 | 28,324 |
Put options on interest rate futures | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 3,570 | 3,109 |
Net amounts of assets presented in the consolidated balance sheet | 3,570 | 3,109 |
Call options on interest rate futures | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 938 | 203 |
Net amounts of assets presented in the consolidated balance sheet | 938 | 203 |
Margin Deposits | ||
Total | ||
Gross amounts of recognized assets | $ 2,620 | $ 10,591 |
Derivative Activities - Offse92
Derivative Activities - Offsetting of Derivative Assets - Derivative Assets, Financial Assets, and Collateral Held by Counterparty (Details) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
Total | ||
Net amounts of assets presented in the balance sheet | $ 78,179 | $ 82,905 |
Net amount | 82,905 | |
Deutsche Bank AG | ||
Total | ||
Net amounts of assets presented in the balance sheet | 10,656 | |
RJ O'Brien | ||
Total | ||
Net amounts of assets presented in the balance sheet | 4,508 | 2,750 |
Net amount | 2,750 | |
Barclays | ||
Total | ||
Net amounts of assets presented in the balance sheet | 12,002 | |
Net amount | 12,002 | |
Jefferies & Co. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 514 | 540 |
Net amount | 540 | |
Goldman Sachs | ||
Total | ||
Net amounts of assets presented in the balance sheet | 540 | |
Federal National Mortgage Association | ||
Total | ||
Net amounts of assets presented in the balance sheet | 1,092 | |
Other | ||
Total | ||
Net amounts of assets presented in the balance sheet | 385 | 1,500 |
Net amount | 1,500 | |
Cantor Fitzgerald, LP | ||
Total | ||
Net amounts of assets presented in the balance sheet | 472 | 265 |
Net amount | 265 | |
Interest rate lock commitments | ||
Total | ||
Net amounts of assets presented in the balance sheet | $ 60,012 | 65,848 |
Net amount | $ 65,848 |
Derivative Activities - Offse93
Derivative Activities - Offsetting of Derivative Assets - Offsetting of Derivative and Financial Liabilities (Details) - USD ($) $ in Thousands | 12 Months Ended | |||||||
Dec. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | |
Derivatives: Subject to master netting arrangements: | ||||||||
Gross amounts of recognized liabilities | $ 8,303 | $ 101,949 | ||||||
Netting | (4,247) | (86,044) | ||||||
Net amounts of liabilities presented in the balance sheet | 4,056 | 15,905 | ||||||
Total | ||||||||
Gross amounts of recognized liabilities | 10,043 | 108,406 | ||||||
Net amounts of liabilities presented in the consolidated balance sheet | 5,796 | 22,362 | ||||||
Mortgage loans sold under agreements to repurchase | ||||||||
Net amounts of liabilities presented in the consolidated balance sheet | 2,380,866 | |||||||
Debt Issuance Costs | ||||||||
Debt issuance costs, gross | 672 | (1,808) | ||||||
Debt issuance costs | 672 | (1,808) | ||||||
Net amount of liabilities in the consolidated balance sheet | 2,381,538 | 1,735,114 | $ 2,096,492 | $ 3,021,328 | $ 2,034,808 | $ 2,491,366 | $ 1,591,798 | $ 1,658,578 |
Total | ||||||||
Gross amounts of recognized liabilities | 2,391,581 | 1,843,520 | ||||||
Gross amounts offset in the consolidated balance sheet | (4,247) | (86,044) | ||||||
Net amounts of liabilities presented in the consolidated balance sheet | 2,386,662 | 1,759,284 | ||||||
Net amount of liabilities in the consolidated balance sheet | 5,796 | 22,362 | ||||||
Receivable from Counterparties | ||||||||
Total | ||||||||
Net amounts of liabilities presented in the consolidated balance sheet | 2,387,334 | 1,757,476 | ||||||
Assets sold under agreements to repurchase | ||||||||
Mortgage loans sold under agreements to repurchase | ||||||||
Gross amounts of recognized liabilities | 2,380,866 | 1,736,922 | ||||||
Net amounts of liabilities presented in the consolidated balance sheet | 2,380,866 | 1,736,922 | ||||||
Net amounts of liabilities presented in the consolidated balance sheet | 2,380,866 | 1,736,922 | ||||||
Debt Issuance Costs | ||||||||
Debt issuance costs | 672 | (1,808) | ||||||
Gross amounts of recognized liabilities | 2,381,538 | 1,735,114 | ||||||
Net amount of liabilities in the consolidated balance sheet | 2,381,538 | 1,735,114 | ||||||
Forward contracts | Purchases | ||||||||
Derivatives: Subject to master netting arrangements: | ||||||||
Gross amounts of recognized liabilities | 1,272 | 16,914 | ||||||
Net amounts of liabilities presented in the balance sheet | 1,272 | 16,914 | ||||||
Forward contracts | Sales | ||||||||
Derivatives: Subject to master netting arrangements: | ||||||||
Gross amounts of recognized liabilities | 7,031 | 85,035 | ||||||
Net amounts of liabilities presented in the balance sheet | 7,031 | 85,035 | ||||||
Interest rate lock commitments | ||||||||
Derivatives not subject to master netting arrangements | ||||||||
Gross amounts of recognized liabilities | $ 1,740 | $ 6,457 |
Derivative Activities - Offse94
Derivative Activities - Offsetting of Derivative Assets - Derivative Liabilities, Financial Liabilities, and Collateral Held by Counterparty (Details) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | $ 2,386,662 | $ 1,759,284 |
Financial instruments | (2,380,866) | (1,736,922) |
Net amount of liabilities in the consolidated balance sheet | 5,796 | 22,362 |
Credit Suisse First Boston Mortgage Capital LLC | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,010,562 | 961,533 |
Financial instruments | (1,010,320) | (960,988) |
Net amount of liabilities in the consolidated balance sheet | 242 | 545 |
Bank of America, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 406,787 | 349,638 |
Financial instruments | (406,355) | (342,769) |
Net amount of liabilities in the consolidated balance sheet | 432 | 6,869 |
Deutsche Bank AG | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 593,864 | |
Financial instruments | (593,864) | |
JP Morgan | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 90,442 | 135,322 |
Financial instruments | (90,442) | (135,322) |
Morgan Stanley Bank | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 139,491 | 189,756 |
Financial instruments | (138,983) | (188,851) |
Net amount of liabilities in the consolidated balance sheet | 508 | 905 |
Citibank, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 23,010 | 81,555 |
Financial instruments | (23,010) | (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 | 6,387 | 28,467 |
Financial instruments | (6,387) | (28,467) |
Royal Bank of Canada | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 24,835 | 2,937 |
Financial instruments | (23,752) | |
Net amount of liabilities in the consolidated balance sheet | 1,083 | 2,937 |
BNP Paribas | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 87,753 | 1,151 |
Financial instruments | (87,753) | |
Net amount of liabilities in the consolidated balance sheet | 1,151 | |
Other | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,791 | 2,468 |
Net amount of liabilities in the consolidated balance sheet | 1,791 | 2,468 |
Interest rate lock commitments | Credit Suisse First Boston Mortgage Capital LLC | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,740 | 6,457 |
Net amount of liabilities in the consolidated balance sheet | $ 1,740 | $ 6,457 |
Carried Interest Due from Inv95
Carried Interest Due from Investment Funds (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Activity in the carried interest | |||
Balance at beginning of year | $ 70,906 | ||
Carried Interest recognized during the period | $ 2,628 | ||
Balance at end of year | 8,552 | $ 70,906 | |
Investment Funds | |||
Activity in the carried interest | |||
Balance at beginning of year | 70,906 | 69,926 | 67,298 |
Carried Interest recognized during the period | (1,040) | 980 | 2,628 |
Cash received during the period | (61,314) | ||
Balance at end of year | $ 8,552 | $ 70,906 | $ 69,926 |
Mortgage Servicing Rights and96
Mortgage Servicing Rights and Mortgage Servicing Liabilities - Activity in MSRs at Fair Value (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Activity in MSRs carried at fair value | |||
Balance at beginning of year | $ 515,925 | ||
Change in fair value: | |||
Balance at end of year | 638,010 | $ 515,925 | |
Mortgage servicing rights | |||
Activity in MSRs carried at fair value | |||
Balance at beginning of year | 515,925 | 660,247 | $ 325,383 |
Additions - Purchases | 183,850 | 146 | 382,824 |
Additions - Mortgage servicing rights resulting from mortgage loan sales | 24,471 | 17,319 | 18,013 |
Additions | 208,321 | 17,465 | 400,837 |
Change in fair value: | |||
Changes in valuation inputs used in valuation model | (4,771) | (80,244) | 7,352 |
Other changes in fair value | (81,465) | (81,543) | (73,325) |
Total change in fair value | (86,236) | (161,787) | (65,973) |
Balance at end of year | 638,010 | 515,925 | $ 660,247 |
Total | $ 630,711 | $ 509,847 |
Mortgage Servicing Rights and97
Mortgage Servicing Rights and Mortgage Servicing Liabilities - Activity in MSRs Carried at Lower of Amortize Cost or FV (Details) - Mortgage servicing rights - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Amortized cost: | ||||
Amortized cost at beginning of year | $ 1,206,694 | $ 798,925 | $ 415,245 | |
Mortgage servicing rights resulting from mortgage loan sales | 556,630 | 560,212 | 454,840 | |
Amortization | (179,946) | (139,666) | (71,160) | |
Application of valuation allowance to write down mortgage servicing rights with other-than-temporary impairment | (12,777) | |||
Amortized cost at end of year | 1,583,378 | 1,206,694 | 798,925 | |
Valuation allowance: | ||||
Balance at beginning of year | (94,947) | (47,237) | (9,800) | |
Additions | (6,853) | (60,487) | (37,437) | |
Application of valuation allowance to write down mortgage servicing rights with other-than-temporary impairment | 12,777 | |||
Balance at end of year | (101,800) | (94,947) | (47,237) | |
Additional disclosures | ||||
Mortgage servicing rights, net | 1,481,578 | 1,111,747 | 751,688 | |
Fair value of mortgage servicing rights at beginning of year | 1,482,426 | 1,112,302 | 766,345 | $ 416,802 |
Fair value of mortgage servicing rights at end of year | 1,482,426 | 1,112,302 | $ 766,345 | $ 416,802 |
Total | 1,467,356 | $ 1,107,824 | ||
Estimated amortization | ||||
2,018 | 195,154 | |||
2,019 | 174,729 | |||
2,020 | 155,777 | |||
2,021 | 138,141 | |||
2,022 | 122,541 | |||
Thereafter | 797,036 | |||
Total | $ 1,583,378 |
Mortgage Servicing Rights and98
Mortgage Servicing Rights and Mortgage Servicing Liabilities - Mortgage Servicing Liabilities Carried at FV (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Amortized cost: | |||
Mortgage servicing liabilities resulting from mortgage loan sales | $ 17,229 | $ 14,991 | $ 20,442 |
Mortgage servicing liabilities | |||
Amortized cost: | |||
Balance at beginning of year | 15,192 | 1,399 | 6,306 |
Mortgage servicing liabilities resulting from mortgage loan sales | 17,229 | 14,991 | 20,442 |
Mortgage servicing liability assumed | 10,139 | ||
Changes in valuation inputs used in valuation model | 6,526 | 5,264 | (15,653) |
Other changes in fair value | (24,827) | (16,601) | (9,696) |
Total change in fair value | (18,301) | (11,337) | (25,349) |
Balance at end of year | $ 14,120 | $ 15,192 | $ 1,399 |
Mortgage Servicing Rights and99
Mortgage Servicing Rights and Mortgage Servicing Liabilities - Servicing, Late, Ancillary and Other Fees Relating to MSRs (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Contractually Specified Servicing Fees, Amount | $ 475,848 | $ 385,633 | $ 290,474 |
Late Fees and Ancillary Fees Earned in Exchange for Servicing Financial Assets [Abstract] | |||
Ancillary Fee Income Generated by Servicing Financial Assets, Amount | 58,924 | 46,910 | 43,139 |
Bank Servicing Fees | 306,059 | 185,466 | 229,543 |
Mortgage servicing rights | |||
Contractually Specified Servicing Fees, Amount | 475,848 | 385,633 | 290,474 |
Late Fees and Ancillary Fees Earned in Exchange for Servicing Financial Assets [Abstract] | |||
Late Fee Income Generated by Servicing Financial Assets, Amount | 25,097 | 19,341 | 5,835 |
Ancillary Fee Income Generated by Servicing Financial Assets, Amount | 4,603 | 4,706 | 2,266 |
Bank Servicing Fees | $ 505,548 | $ 409,680 | $ 298,575 |
Furniture, Fixtures, Equipme100
Furniture, Fixtures, Equipment and Building Improvements (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Furniture, fixtures, equipment and building improvements | |||
Property, Plant and Equipment, Net, Total | $ 29,453 | $ 31,321 | |
Furniture, fixtures, equipment and building improvements pledged to creditors | 23,915 | 25,134 | |
Depreciation and amortization expense | 8,395 | 5,849 | $ 2,423 |
Furniture, Fixtures, Equipment and Building Improvements [Member] | |||
Furniture, fixtures, equipment and building improvements | |||
Furniture, fixtures, equipment and building improvements | 54,186 | 48,713 | |
Less: accumulated depreciation and amortization | (24,733) | (17,392) | |
Property, Plant and Equipment, Net, Total | 29,453 | 31,321 | |
Depreciation and amortization expense | 8,150 | 6,842 | 4,149 |
Furniture, Fixtures, Equipment and Building Improvements [Member] | Occupancy And Equipment | |||
Furniture, fixtures, equipment and building improvements | |||
Depreciation and amortization expense | 6,754 | 5,492 | 2,098 |
Furniture, Fixtures, Equipment and Building Improvements [Member] | PMT | Management Agreement | |||
Furniture, fixtures, equipment and building improvements | |||
Depreciation and amortization expense | $ 1,396 | $ 1,350 | $ 2,051 |
Capitalized Software (Detail)
Capitalized Software (Detail) - USD ($) | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Long-lived asset disclosures | |||
Cost | $ 29,621,000 | $ 13,457,000 | |
Less: Accumulated amortization | (3,892,000) | (2,252,000) | |
Capitalized Computer Software, Net, Total | 25,729,000 | 11,205,000 | |
Capitalized software pledged to creditors | 1,568,000 | 515,000 | |
Software amortization expense | 1,600,000 | 357,000 | $ 324,000 |
Capitalized Software | |||
Long-lived asset disclosures | |||
Impairment of capitalized software | $ 827,000 | $ 0 | $ 0 |
Borrowings - Assets Sold Under
Borrowings - Assets Sold Under Agreement to Repurchase (Details) - USD ($) $ in Thousands | 12 Months Ended | ||||||||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | |
Carrying value: | |||||||||
Unpaid principal balance | $ 2,380,866 | ||||||||
Unamortized debt issuance costs and premiums | 672 | $ (1,808) | |||||||
Total loans sold under agreements to repurchase | 2,381,538 | 1,735,114 | $ 2,096,492 | $ 3,021,328 | $ 2,034,808 | $ 2,491,366 | $ 1,591,798 | $ 1,658,578 | |
Amortization of premium and debt issuance costs excluded from calculation of Weighted average interest rate | 6,348 | 11,052 | $ 7,775 | ||||||
Assets sold under agreements to repurchase | |||||||||
During the period: | |||||||||
Average balance of mortgage loans sold under agreements to repurchase | $ 1,829,257 | $ 1,438,181 | $ 823,490 | ||||||
Weighted-average interest rate (as a percent) | 3.18% | 2.91% | 1.78% | ||||||
Total interest expense | $ 60,286 | $ 49,791 | $ 21,377 | ||||||
Maximum daily amount outstanding | 3,022,656 | 2,661,746 | 1,976,744 | ||||||
Carrying value: | |||||||||
Unpaid principal balance | 2,380,866 | 1,736,922 | |||||||
Unamortized debt issuance costs and premiums | 672 | (1,808) | |||||||
Total loans sold under agreements to repurchase | $ 2,381,538 | $ 1,735,114 | |||||||
Weighted average interest rate (as a percent) | 3.24% | 3.02% | |||||||
Available borrowing capacity committed | $ 316,503 | $ 347,487 | |||||||
Available borrowing capacity uncommitted | 2,257,631 | 857,591 | |||||||
Available borrowing capacity | 2,574,134 | 1,205,078 | |||||||
Margin deposits placed with counterparties | 3,750 | 3,000 | |||||||
Amortization of premium and debt issuance costs excluded from calculation of Weighted average interest rate | 1,300 | 7,300 | $ 7,400 | ||||||
Assets sold under agreements to repurchase | Mortgage Loans held for sale | |||||||||
Carrying value: | |||||||||
Fair value of assets pledged to secure | 2,530,299 | 1,422,255 | |||||||
Assets sold under agreements to repurchase | Mortgage servicing rights | |||||||||
Carrying value: | |||||||||
Fair value of assets pledged to secure | 474,922 | 1,479,322 | |||||||
Assets sold under agreements to repurchase | Servicing advances | |||||||||
Carrying value: | |||||||||
Fair value of assets pledged to secure | 114,643 | 81,306 | |||||||
Assets sold under agreements to repurchase | Financing receivable | PMT | |||||||||
Carrying value: | |||||||||
Fair value of assets pledged to secure | $ 144,128 | $ 150,000 |
Borrowings - Maturities of Outs
Borrowings - Maturities of Outstanding Advances Under Repurchase Agreements (Details) $ in Thousands | 12 Months Ended |
Dec. 31, 2017USD ($) | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 2,380,866 |
Weighted-average maturity (in months) | 1 month 21 days |
Within 30 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 768,906 |
Over 30 to 90 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | 1,511,960 |
Over 90 to 180 days | |
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 | Dec. 31, 2017USD ($) |
Credit Suisse First Boston Mortgage Capital LLC Tranche Two | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 489,565 |
Credit Suisse First Boston Mortgage Capital LLC Tranche One | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 112,168 |
Deutsche Bank AG | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 76,542 |
Bank of America, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 34,857 |
Morgan Stanley Bank | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 10,339 |
JP Morgan | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 7,662 |
BNP Paribas | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 5,280 |
Royal Bank of Canada | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 1,747 |
Citibank, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 1,506 |
Barclays | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 686 |
Borrowings - Mortgage Loan Part
Borrowings - Mortgage Loan Participation and Sale Agreement (Details) - USD ($) | 12 Months Ended | ||||||||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | |
During the period: | |||||||||
Total interest expense | $ 5,496,000 | $ 5,523,000 | $ 2,670,000 | ||||||
Carrying value: | |||||||||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 527,395,000 | 671,426,000 | $ 531,776,000 | $ 243,361,000 | $ 241,638,000 | $ 782,913,000 | $ 737,176,000 | $ 246,636,000 | |
Amortization of debt issuance costs and premium | 6,348,000 | 11,052,000 | 7,775,000 | ||||||
Mortgage Loan Participation and Sale Agreement member | |||||||||
During the period: | |||||||||
Average balance | $ 208,613,000 | $ 268,416,000 | $ 157,918,000 | ||||||
Weighted-average interest rate (as a percent) | 2.34% | 1.75% | 1.45% | ||||||
Total interest expense | $ 5,496,000 | $ 5,523,000 | $ 2,670,000 | ||||||
Maximum daily amount outstanding | 532,266,000 | 1,268,871,000 | 250,325,000 | ||||||
Carrying value: | |||||||||
Unpaid principal balance of mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 527,706,000 | 671,562,000 | |||||||
Unamortized issuance costs | (311,000) | (136,000) | |||||||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 527,395,000 | $ 671,426,000 | |||||||
Weighted-average interest rate (as a percent) | 2.81% | 2.02% | |||||||
Fair value of mortgage loans pledged to secure | $ 551,688,000 | $ 702,919,000 | |||||||
Amortization of debt issuance costs and premium | $ 545,000 | $ 740,000 | $ 355,000 |
Borrowings - Note Payable (Deta
Borrowings - Note Payable (Details) - USD ($) $ in Thousands | Aug. 10, 2017 | Feb. 16, 2017 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Nov. 17, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 |
During the period: | ||||||||||||
Total interest expense | $ 39,369 | $ 8,688 | $ 9,336 | |||||||||
Carrying value: | ||||||||||||
Notes payable | 891,505 | 150,942 | $ 890,884 | $ 429,692 | $ 436,725 | $ 110,619 | $ 114,235 | $ 127,693 | ||||
Amortization of Financing Costs | 6,348 | 11,052 | 7,775 | |||||||||
Note Payable | ||||||||||||
During the period: | ||||||||||||
Average balance | $ 586,135 | $ 108,475 | $ 214,235 | |||||||||
Weighted-average interest rate (as a percent) | 5.86% | 5.13% | 3.28% | |||||||||
Total interest expense | $ 39,369 | $ 8,688 | $ 9,336 | |||||||||
Maximum daily amount outstanding | 900,000 | 153,849 | 469,380 | |||||||||
Carrying value: | ||||||||||||
Unpaid principal balance | 900,006 | 151,935 | ||||||||||
Unamortized issuance costs | (8,501) | (993) | ||||||||||
Notes payable | $ 891,505 | $ 150,942 | ||||||||||
Weighted-average interest rate (as a percent) | 5.66% | 4.67% | ||||||||||
Unused amount | $ 280,000 | $ 98,065 | ||||||||||
Amortization of Financing Costs | 4,500 | 3,000 | $ 2,100 | |||||||||
Note Payable | Revolving credit agreement | ||||||||||||
Short-term Debt [Line Items] | ||||||||||||
Maximum loan amount | $ 150,000 | |||||||||||
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 | 1,623,145 | 138,349 | ||||||||||
Note Payable | Cash. | ||||||||||||
Carrying value: | ||||||||||||
Assets pledged to secure | 20,765 | 91,788 | ||||||||||
Note Payable | Carried interest | ||||||||||||
Carrying value: | ||||||||||||
Assets pledged to secure | $ 8,552 | $ 70,906 |
Borrowings - Obligations Under
Borrowings - Obligations Under Capital Lease (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Borrowings | |||
Average balance | $ 24,830 | $ 18,620 | $ 1,132 |
Weighted average interest rate | 3.07% | 2.47% | 2.34% |
Total interest expense | $ 769 | $ 510 | $ 18 |
Maximum daily amount outstanding | 30,044 | 24,242 | $ 13,579 |
Unpaid principal balance | $ 20,971 | $ 23,424 | |
Weighted average interest rate | 3.26% | 2.48% | |
Furniture, fixtures, equipment and building improvements pledged to creditors | $ 23,915 | $ 25,134 | |
Capitalized software pledged to creditors | $ 1,568 | $ 515 |
Borrowings - ESS (Details)
Borrowings - ESS (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: | |||
MSRs pledged to secure excess servicing spread | $ 2,098,067 | $ 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 | 288,669 | 412,425 | $ 191,166 |
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: | |||
For cash | 271,554 | ||
Pursuant to a recapture agreement | 5,244 | 6,603 | 6,728 |
Accrual of interest | 16,951 | 22,601 | 25,365 |
Repayment | (54,980) | (69,992) | (78,578) |
Settlement | (59,045) | ||
Change in fair value | (19,350) | (23,923) | (3,810) |
Balance at the end of the year | 236,534 | 288,669 | 412,425 |
Excess servicing spread financing | PMT | |||
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: | |||
Change in fair value | $ (19,350) | $ (23,923) | $ (3,810) |
Liability for Losses Under R109
Liability for Losses Under Representations and Warranties (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
During the year: | |||
Balance at beginning of year | $ 19,067 | $ 20,611 | $ 13,259 |
Provision for losses relating to representations and warranties on loans sold pursuant to mortgage loan sales | 5,890 | 7,090 | 7,512 |
Provision for losses relating to representations and warranties on loans sold reduction in liability due to change in estimate | (4,301) | (7,672) | |
Incurred losses | (603) | (962) | (160) |
Balance at end of year | 20,053 | 19,067 | $ 20,611 |
Unpaid principal balance of mortgage loans subject to representations and warranties at period end | $ 120,855,101 | $ 90,650,605 |
Income Taxes - Returns Currentl
Income Taxes - Returns Currently Under Examination (Details) item in Millions, $ in Millions | 3 Months Ended | 12 Months Ended | |||
Dec. 31, 2017USD ($) | Dec. 31, 2018 | Dec. 31, 2017USD ($)item | Dec. 31, 2016 | Dec. 31, 2015 | |
Returns currently under examination | item | 0 | ||||
Effective Income Tax Rate Reconciliation, at Federal Statutory Income Tax Rate, Percent | 21.00% | 35.00% | 35.00% | 35.00% | |
Amount of income tax benefit from effect of Tax Cuts and Jobs Act of 2017 | $ 13.7 | ||||
Private National Mortgage Acceptance Company, LLC | |||||
Reduction in payable to exchanged Private National Mortgage Acceptance Company, LLC | $ 32 | $ 32 |
Income Taxes - Income Tax Expen
Income Taxes - Income Tax Expense Details (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Current Income Tax Expense (Benefit), Continuing Operations [Abstract] | |||||||||||
Federal | $ (81) | $ (1,622) | |||||||||
State | 56 | (244) | |||||||||
Total current expense | (25) | (1,866) | |||||||||
Deferred Income Tax Expense (Benefit), Continuing Operations [Abstract] | |||||||||||
Federal | 14,674 | 38,082 | $ 24,819 | ||||||||
State | 9,738 | 9,887 | 6,816 | ||||||||
Total deferred expense | 24,412 | 47,969 | 31,635 | ||||||||
Income Tax Expense (Benefit), Total | $ (2,125) | $ 11,652 | $ 7,214 | $ 7,646 | $ 15,568 | $ 16,976 | $ 9,963 | $ 3,596 | $ 24,387 | $ 46,103 | $ 31,635 |
Income Taxes - Reconciliation o
Income Taxes - Reconciliation of statutory rates to provision for income taxes (Details) | 12 Months Ended | |||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Reconciliation of the entity's provision for income taxes at statutory rates to the provision for income taxes at the entity's effective tax rate | ||||
Federal income tax statutory rate (as a percent) | 21.00% | 35.00% | 35.00% | 35.00% |
Less: Rate attributable to non-controlling interest members (as a percent) | (22.00%) | (24.80%) | (25.10%) | |
State income taxes, net of federal benefit (as a percent) | 2.20% | 1.60% | 1.60% | |
Tax rate revaluation | (8.00%) | 0.00% | 0.00% | |
Other (as a percent) | 0.10% | 0.20% | (0.20%) | |
Valuation allowance (as a percent) | 0.00% | 0.00% | 0.00% | |
Effective tax rate (as a percent) | 7.30% | 12.00% | 11.30% |
Income Taxes - Deferred Tax Ass
Income Taxes - Deferred Tax Assets And Liabilities (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Deferred expense: | |||
Investment in PennyMac | $ 34,011 | $ 40,493 | $ 40,272 |
Net operating loss carryforward | (9,675) | 8,110 | (8,637) |
Tax credits | 76 | (634) | |
Total deferred expense | 24,412 | 47,969 | $ 31,635 |
Components of Deferred tax asset: | |||
Taxes currently receivable | (2,126) | (7,615) | |
Components of income taxes payable: | |||
Deferred income tax liabilities, net | 54,286 | 32,703 | |
Income taxes payable | 52,160 | 25,088 | |
Deferred income tax assets: | |||
Net operating loss carryforward | (10,202) | (527) | |
Tax credits carryforward | (558) | (634) | |
Deferred income tax liabilities: | |||
Investment in PennyMac | 65,046 | 33,864 | |
Deferred income tax liabilities, net | 54,286 | 32,703 | |
Net operating loss carryforward | 37,400 | ||
Net operating loss carryforward, expiring 2035 | 1,300 | ||
Net operating loss carryforward, expiring 2037 | 36,100 | ||
Tax credits with no expiration date | 600 | ||
Unrecognized tax benefits | 0 | 0 | |
Accrual of interest or penalties related to unrecognized tax benefits | $ 0 | $ 0 |
Commitments and Contingencies -
Commitments and Contingencies - Commitments to Fund and Sell Mortgage Loans (Details) $ in Thousands | Dec. 31, 2017USD ($) |
Commitments and Contingencies. | |
Commitments to purchase mortgage loans from PennyMac Mortgage Investment Trust | $ 2,245,579 |
Commitments to fund mortgage loans | 1,409,376 |
Total commitments to purchase and fund mortgage loans | $ 3,654,955 |
Commitments and Contingencie115
Commitments and Contingencies - Leases (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Commitments and Contingencies. | |||
Rent expense | $ 12,300 | $ 9,100 | $ 4,600 |
Future minimum lease payments | |||
2,018 | 13,688 | ||
2,019 | 14,404 | ||
2,020 | 14,203 | ||
2,021 | 12,017 | ||
2,022 | 9,875 | ||
Thereafter | 32,067 | ||
Total future minimum lease payments | $ 96,254 |
Stockholders' Equity (Details)
Stockholders' Equity (Details) - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | 36 Months Ended | |
Dec. 31, 2017 | Dec. 31, 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 | 12 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Net income and the effects of changes in noncontrolling interest | |||||||||||
Net income attributable to PennyMac Financial Services, Inc. common stockholders | $ 62,318 | $ 17,081 | $ 10,479 | $ 10,879 | $ 22,744 | $ 23,685 | $ 14,475 | $ 5,175 | $ 100,757 | $ 66,079 | $ 47,228 |
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. | $ 27,119 | $ 6,877 | $ 4,982 | ||||||||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A stock of PennyMac Financial Services, Inc. (in shares) | 1,608 | 301 | 319 | ||||||||
Noncontrolling interest in Private National Mortgage Acceptance Company, LLC (as a percent) | 69.20% | 70.60% | 69.20% | 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) | 1,608 | 301 | 319 |
Net Gains on Mortgage Loans 118
Net Gains on Mortgage Loans Held for Sale (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Cash (loss) gain: | |||||||||||
Mortgage Loans | $ (174,669) | $ (62,283) | $ (82,709) | ||||||||
Hedging activities | (16,866) | 10,275 | (47,150) | ||||||||
Cash gain (loss), net of effects of cash hedging, on sale of mortgage loans held for sale | (191,535) | (52,008) | (129,859) | ||||||||
Non-cash gain: | |||||||||||
Mortgage servicing rights and mortgage servicing liabilities resulting from mortgage loan sales, net | 563,872 | 562,540 | 452,411 | ||||||||
Provision for losses relating to representations and warranties on loans sold pursuant to mortgage loan sales | (5,890) | (7,090) | (7,512) | ||||||||
Provision for losses relating to representations and warranties on loans sold reduction in liability due to change in estimate | 4,301 | 7,672 | |||||||||
Change in fair value relating to loans and hedging derivatives held at period end: | |||||||||||
Interest rate lock commitments | (1,120) | 15,618 | 11,372 | ||||||||
Mortgage loans | 4,576 | 2,796 | 3,949 | ||||||||
Hedging derivatives | (4,389) | 10,344 | (1,810) | ||||||||
From non-affiliates | 369,815 | 539,872 | 328,551 | ||||||||
Net gains on mortgage loans held for sale at fair value | $ 98,621 | $ 108,136 | $ 98,091 | $ 86,956 | $ 127,932 | $ 182,121 | $ 130,203 | $ 91,524 | 391,804 | 531,780 | 320,715 |
PMT | |||||||||||
Change in fair value relating to loans and hedging derivatives held at period end: | |||||||||||
Recapture payable to PennyMac Mortgage Investment Trust | $ 21,989 | $ (8,092) | $ (7,836) |
Net Interest Expense (Details)
Net Interest Expense (Details) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017USD ($)item | Dec. 31, 2016USD ($) | Dec. 31, 2015USD ($) | |
Interest income: | |||
Short-term investments | $ 2,356 | $ 2,558 | $ 506 |
Mortgage loans held for sale at fair value | 91,972 | 54,584 | 42,008 |
Placement fees relating to custodial funds | 40,813 | 16,155 | 3,298 |
Interest income, excluding related parties | 135,141 | 73,297 | 45,812 |
Interest income | 143,179 | 81,127 | 49,155 |
Interest income (expense): | |||
Mortgage loan participation purchase and sale agreements | 5,496 | 5,523 | 2,670 |
Notes payable | 39,369 | 8,688 | 9,336 |
Obligations under capital lease | 769 | 510 | 18 |
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations | 16,933 | 15,102 | 6,883 |
Interest on mortgage loan impound deposits | 4,716 | 3,991 | 2,888 |
Interest expense, non-affiliates | 127,569 | 83,605 | 43,172 |
Interest expense | 144,520 | 106,206 | 68,537 |
Net interest expense: | (1,341) | (25,079) | (19,382) |
PMT | |||
Interest income: | |||
From PennyMac Mortgage Investment Trust | 8,038 | 7,830 | 3,343 |
Interest income (expense): | |||
To PennyMac Mortgage Investment Trust Excess servicing spread financing at fair value | 16,951 | 22,601 | 25,365 |
Assets sold under agreements to repurchase | |||
Interest income (expense): | |||
Assets sold under agreements to repurchase | 60,286 | $ 49,791 | $ 21,377 |
Incentives recorded | $ 9,200 | ||
Repurchase agreement initial term | 6 months | ||
Number of extensions available | item | 3 | ||
Repurchase agreement extension term | 6 months |
Stock-based Compensation - Comp
Stock-based Compensation - Compensation Expense by Award (Details) - USD ($) $ in Thousands, shares in Millions | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Stock-Based Compensation | |||
Units available for future awards under 2013 Equity Incentive Plan (in units) | 18.8 | ||
Stock-based compensation expense | $ 20,697 | $ 16,505 | $ 17,521 |
Stock Options | |||
Stock-Based Compensation | |||
Stock-based compensation expense | 4,909 | 4,464 | 5,713 |
Performance-based RSUs | |||
Stock-Based Compensation | |||
Stock-based compensation expense | 11,020 | 9,475 | 9,293 |
Time-based RSUs | |||
Stock-Based Compensation | |||
Stock-based compensation expense | $ 4,768 | 2,494 | 2,294 |
Exchangeable PNMAC Units | |||
Stock-Based Compensation | |||
Stock-based compensation expense | $ 72 | $ 221 |
Stock-based Compensation - Perf
Stock-based Compensation - Performance-Based RSUs (Details) - USD ($) $ / shares in Units, $ in Thousands | 1 Months Ended | 12 Months Ended | ||
Apr. 30, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Summary of equity award grants, RSUs | ||||
Compensation expense recorded during the year | $ 20,697 | $ 16,505 | $ 17,521 | |
Performance-based RSUs | ||||
Summary of equity award grants, RSUs | ||||
Balance at beginning of period (in units) | 2,475,000 | 2,350,000 | 1,257,000 | |
Granted (in units) | 694,000 | 813,000 | 1,143,000 | |
Vested (in units) | (779,000) | (446,000) | ||
Forfeited or canceled (in units) | (334,000) | (688,000) | (50,000) | |
Balance at end of period (in units) | 2,389,000 | 2,475,000 | 2,350,000 | |
Compensation expense recorded during the year | $ 11,020 | $ 9,475 | $ 9,293 | |
Weighted-average grant date fair value per unit: | ||||
Outstanding at beginning of year (in dollars per share) | $ 14.24 | $ 16.30 | $ 15.48 | |
Granted (in dollars per share) | 18.04 | 11.28 | 17.21 | |
Vested (in dollars per share) | 13.65 | |||
Forfeited (in dollars per share) | 14.45 | 16.87 | 16.46 | |
Outstanding at end of year (in dollars per share) | $ 15.57 | $ 14.24 | $ 16.30 | |
Unamortized compensation cost | $ 10,098 | |||
Number of shares expected to vest (in units) | 1,967,000 | |||
Weighted average remaining vesting period (in months) | 11 months | |||
Minimum | Performance-based RSUs | ||||
Stock-Based Compensation | ||||
Shares earned as a percent of performance goal achievement | 0.00% | |||
Fair Value Assumptions | ||||
Expected grantee forfeiture rate (as a percent) | 0.00% | |||
Maximum | Performance-based RSUs | ||||
Stock-Based Compensation | ||||
Shares earned as a percent of performance goal achievement | 130.00% | |||
Fair Value Assumptions | ||||
Expected grantee forfeiture rate (as a percent) | 21.10% |
Stock-based Compensation - Stoc
Stock-based Compensation - Stock Options (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Weighted-average exercise price per share: | |||
Compensation expense recorded during the year | $ 20,697 | $ 16,505 | $ 17,521 |
Stock Options | |||
Stock-Based Compensation | |||
Percentage of the award vesting at each of the three anniversaries | 33.00% | ||
Contractual term of the stock options | 10 years | ||
Fair Value Assumptions | |||
Expected volatility (as a percent) | 31.00% | 28.00% | 41.00% |
Expected dividends (as a percent) | 0.00% | 0.00% | 0.00% |
Risk-free rate, Minimum (as a percent) | 0.80% | 0.30% | 0.10% |
Risk-free rate, Maximum (as a percent) | 2.70% | 2.10% | 2.30% |
Summary of equity awards, options | |||
Balance at beginning of period (in units) | 2,738 | 1,845 | 1,167 |
Granted (in units) | 861 | 962 | 715 |
Exercised (in units) | (90) | (9) | |
Forfeited or canceled (in units) | (52) | (60) | (37) |
Balance at end of period (in units) | 3,457 | 2,738 | 1,845 |
Weighted-average exercise price per share: | |||
Outstanding at beginning of year (in dollars per share) | $ 15.81 | $ 18.17 | $ 18.23 |
Granted (in dollars per share) | 18.05 | 11.29 | 17.52 |
Exercised (in dollars per share) | 15.04 | 17.33 | 17.26 |
Forfeited | 15.58 | 15.66 | 17.88 |
Outstanding at end of year (in dollars per share) | $ 16.40 | $ 15.81 | $ 18.17 |
Compensation expense recorded during the year | $ 4,909 | $ 4,464 | $ 5,713 |
Number of options exercisable at end of year | 1,781 | ||
Weighted average exercise price per exercisable option | $ 17.21 | ||
Weighted-average remaining contractual term: | |||
Outstanding at end of year | 7 years 6 months | ||
Exercisable at end of year | 6 years 7 months 6 days | ||
Aggregate intrinsic value | |||
Outstanding at end of year | $ 20,583 | ||
Exercisable at end of year | $ 9,151 | ||
Number of shares expected to vest | 1,541 | ||
Weighted-average vesting period (in months) | 10 months | ||
Minimum | Stock Options | |||
Fair Value Assumptions | |||
Expected grantee forfeiture rate (as a percent) | 0.00% | 0.00% | 0.00% |
Maximum | Stock Options | |||
Fair Value Assumptions | |||
Expected grantee forfeiture rate (as a percent) | 21.10% | 20.20% | 18.70% |
Stock-based Compensation - Time
Stock-based Compensation - Time-Based RSUs (Details) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017USD ($)$ / sharesshares | Dec. 31, 2016USD ($)$ / sharesshares | Dec. 31, 2015USD ($)$ / sharesshares | |
Summary of equity award grants, RSUs | |||
Compensation expense recorded during the year | $ | $ 20,697 | $ 16,505 | $ 17,521 |
Time-based RSUs | |||
Stock-Based Compensation | |||
Percentage of the award vesting at each of the three anniversaries | 33.00% | ||
Summary of equity award grants, RSUs | |||
Balance at beginning of period (in units) | 382,000 | 271,000 | 202,000 |
Granted (in units) | 408,000 | 261,000 | 150,000 |
Vested (in units) | (173,000) | (127,000) | (75,000) |
Forfeited or canceled (in units) | (17,000) | (23,000) | (6,000) |
Balance at end of period (in units) | 600,000 | 382,000 | 271,000 |
Compensation expense recorded during the year | $ | $ 4,768 | $ 2,494 | $ 2,294 |
Weighted-average grant date fair value per unit: | |||
Outstanding at beginning of year (in dollars per share) | $ / shares | $ 13.71 | $ 17.81 | $ 17.92 |
Granted (in dollars per share) | $ / shares | 18.02 | 11.77 | 17.87 |
Vested (in dollars per share) | $ / shares | 14.66 | 17.99 | 18.25 |
Forfeited (in dollars per share) | $ / shares | 14.87 | 15.55 | 26.07 |
Outstanding at end of year (in dollars per share) | $ / shares | $ 16.37 | $ 13.71 | $ 17.81 |
Unamortized compensation cost | $ | $ 3,626 | ||
Number of shares expected to vest (in units) | 535,000 | ||
Weighted average remaining vesting period (in months) | 12 months | ||
Time-based RSUs | Minimum | |||
Stock-Based Compensation | |||
Turnover rates (as a percent) | 0 | ||
Time-based RSUs | Maximum | |||
Stock-Based Compensation | |||
Turnover rates (as a percent) | 21.1 | ||
Time-based RSUs | Class A Common Stock | |||
Stock-Based Compensation | |||
Number of share awarded for each RSU (in shares) | 1 |
Earnings Per Share of Common124
Earnings Per Share of Common Stock (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Basic earnings per share of common stock: | |||||||||||
Net income attributable to common stockholders | $ 62,318 | $ 17,081 | $ 10,479 | $ 10,879 | $ 22,744 | $ 23,685 | $ 14,475 | $ 5,175 | $ 100,757 | $ 66,079 | $ 47,228 |
Weighted-average common stock outstanding | 23,199,000 | 22,161,000 | 21,755,000 | ||||||||
Basic earnings per share of common stock (in dollars per share) | $ 2.67 | $ 0.73 | $ 0.45 | $ 0.48 | $ 1.02 | $ 1.07 | $ 0.66 | $ 0.24 | $ 4.34 | $ 2.98 | $ 2.17 |
Diluted earnings per share of common stock: | |||||||||||
Net income attributable to common stockholders | $ 62,318 | $ 17,081 | $ 10,479 | $ 10,879 | $ 22,744 | $ 23,685 | $ 14,475 | $ 5,175 | $ 100,757 | $ 66,079 | $ 47,228 |
Effect of net income attributable to noncontrolling interest, net of tax | 159,570 | 119,697 | |||||||||
Net income attributable to common stockholders for diluted earnings per share | $ 100,757 | $ 225,649 | $ 166,925 | ||||||||
Weighted-average common stock outstanding applicable to basic earnings per share | 23,199,000 | 22,161,000 | 21,755,000 | ||||||||
Effect of dilutive shares: | |||||||||||
PennyMac Class A units exchangeable to common stock | 53,951,000 | 53,803,000 | |||||||||
Non-vested PennyMac Class A units issuable under unit-based stock compensation plan and exchangeable to common stock | 427,000 | ||||||||||
Shares issuable under stock-based compensation plans (in shares) | 1,800,000 | 517,000 | 119,000 | ||||||||
Weighted-average shares of common stock outstanding applicable to diluted earnings per share | 24,999,000 | 76,629,000 | 76,104,000 | ||||||||
Diluted earnings per share of common stock (in dollars per share) | $ 2.44 | $ 0.71 | $ 0.44 | $ 0.47 | $ 1 | $ 1.06 | $ 0.65 | $ 0.23 | $ 4.03 | $ 2.94 | $ 2.17 |
Total anti-dilutive stock-based compensation units | 55,119 | 3,883 | 4,106 | ||||||||
Weighted-average exercise price of anti-dilutive stock options | $ 16.40 | $ 15.81 | $ 18.17 | ||||||||
Performance-based RSUs | |||||||||||
Effect of dilutive shares: | |||||||||||
Total anti-dilutive stock-based compensation units | 497 | 2,054 | 2,358 | ||||||||
Stock Options | |||||||||||
Effect of dilutive shares: | |||||||||||
Total anti-dilutive stock-based compensation units | 1,323 | 1,829 | 1,748 | ||||||||
Exchangeable PNMAC Units | |||||||||||
Effect of dilutive shares: | |||||||||||
Total anti-dilutive stock-based compensation units | 53,299 |
Supplemental Cash Flow Infor125
Supplemental Cash Flow Information (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Cash paid for interest | $ 158,147 | $ 104,938 | $ 69,317 |
Cash paid for income taxes, net | (5,513) | 1,866 | 1,909 |
Non-cash investing activity: | |||
Mortgage servicing rights resulting from mortgage loan sales | 581,101 | 577,531 | 472,853 |
Mortgage servicing liabilities resulting from mortgage loan sales | 17,229 | 14,991 | 20,442 |
Unsettled portion of MSR acquisitions | 5,319 | ||
Non-cash financing activity: | |||
Issuance of Class A common stock in settlement of director fees | 338 | 313 | 297 |
PMT | |||
Non-cash investing activity: | |||
Transfer of Note receivable from PennyMac Mortgage Investment Trust to Financing receivable from PennyMac Mortgage Investment Trust | 150,000 | ||
Non-cash financing activity: | |||
Transfer of excess servicing spread pursuant to recapture agreement with PennyMac Mortgage Investment Trust | $ 5,244 | 6,603 | $ 6,728 |
Unpaid distribution | $ 7,585 |
Regulatory Capital and Liqui126
Regulatory Capital and Liquidity Requirements (Details) - USD ($) | Dec. 31, 2015 | Dec. 31, 2017 | Dec. 31, 2016 |
Fannie Mae / Freddie Mac - PLS | |||
Regulatory Net Worth and Agency Capital Requirements | |||
Net worth | $ 1,561,977,000 | $ 1,289,464,000 | |
Capital Requirement | 429,671,000 | 335,883,000 | |
Liquidity | 196,415,000 | 179,230,000 | |
Liquidity requirement | $ 58,754,000 | $ 45,930,000 | |
Tangible net worth / Total assets ratio actual | 21.00% | 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 | $ 1,307,580,000 | $ 1,085,549,000 | |
Capital Requirement | 674,133,000 | 455,542,000 | |
Liquidity | 196,415,000 | 179,230,000 | |
Liquidity requirement | 153,431,000 | 115,304,000 | |
Ginnie Mae - PennyMac | |||
Regulatory Net Worth and Agency Capital Requirements | |||
Net worth | 1,511,201,000 | 1,261,565,000 | |
Capital Requirement | 741,574,000 | 501,097,000 | |
Ginnie Mae - PennyMac | 1-4 unit servicing portfolio | |||
Regulatory Net Worth and Agency Capital Requirements | |||
Net worth | $ 2,500,000 | ||
FHFA net worth requirement spread | 0.35% | ||
FHFA liquidity spread of UPB serviced | 0.10% | ||
Liquidity requirement | $ 1,000,000 | ||
HUD - PLS | |||
Regulatory Net Worth and Agency Capital Requirements | |||
Net worth | 1,307,580,000 | 1,085,549,000 | |
Capital Requirement | $ 2,500,000 | $ 2,500,000 | |
Federal Housing Finance Agency | |||
Regulatory Net Worth and Agency Capital Requirements | |||
Net worth | $ 2,500,000 | ||
FHFA liquidity spread of UPB serviced | 0.035% | ||
FHFA additional liquidity spread of UPB in excess of 6% | $ 2 | ||
Federal Housing Finance Agency | 1-4 unit servicing portfolio | |||
Regulatory Net Worth and Agency Capital Requirements | |||
FHFA net worth requirement spread | 0.25% |
Segments - Financial Highlights
Segments - Financial Highlights by Segment (Details) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2017USD ($) | Sep. 30, 2017USD ($) | Jun. 30, 2017USD ($) | Mar. 31, 2017USD ($) | Dec. 31, 2016USD ($) | Sep. 30, 2016USD ($) | Jun. 30, 2016USD ($) | Mar. 31, 2016USD ($) | Dec. 31, 2017USD ($)item | Dec. 31, 2016USD ($) | Dec. 31, 2015USD ($) | |
Segments and Related Information | |||||||||||
Number of segments | item | 3 | ||||||||||
Revenues: | |||||||||||
Net gains (losses) on mortgage loans held for sale at fair value | $ 98,621 | $ 108,136 | $ 98,091 | $ 86,956 | $ 127,932 | $ 182,121 | $ 130,203 | $ 91,524 | $ 391,804 | $ 531,780 | $ 320,715 |
Mortgage loan origination fees | 119,202 | 125,534 | 91,520 | ||||||||
Net servicing fees | 306,059 | 185,466 | 229,543 | ||||||||
Management fees | 23,585 | 22,746 | 28,237 | ||||||||
Carried Interest from Investment Funds | 2,628 | ||||||||||
Net interest income (expense): | |||||||||||
Interest income | 143,179 | 81,127 | 49,155 | ||||||||
Interest expense, before non-segment activities | 106,256 | 68,537 | |||||||||
Net interest expense, before non-segment activities | (25,129) | (19,382) | |||||||||
Other | 3,895 | 3,445 | 2,937 | ||||||||
Total net revenues, before non-segment activities | 922,523 | 931,287 | 714,805 | ||||||||
Expenses | 176,861 | 156,491 | 143,761 | 142,441 | 159,877 | 152,117 | 123,548 | 113,262 | 619,554 | 548,804 | 433,917 |
Income (loss) before provision for income taxes and non-segment activities | 302,969 | 382,483 | 280,888 | ||||||||
Non-segment activities | 32,940 | 600 | (1,695) | ||||||||
Income before provision for income taxes | 121,773 | 94,144 | 57,960 | 62,032 | 129,408 | 139,278 | 84,258 | 30,139 | 335,909 | 383,083 | 279,193 |
Assets: | |||||||||||
Segment assets at period end | 7,368,093 | 6,388,369 | 6,404,738 | 5,251,377 | 5,133,902 | 5,596,194 | 4,616,320 | 3,981,263 | 7,368,093 | 5,133,902 | |
Non-segment activities change in federal tax rate under the Tax Act | 32,000 | ||||||||||
PMT | |||||||||||
Revenues: | |||||||||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 19,175 | $ 23,507 | $ 21,107 | $ 16,570 | 27,164 | $ 27,255 | $ 19,111 | $ 12,935 | 80,359 | 86,465 | 58,607 |
Management fees | 22,584 | 20,657 | 24,194 | ||||||||
Investment Funds | |||||||||||
Revenues: | |||||||||||
Management fees | 1,001 | 2,089 | 4,043 | ||||||||
Carried Interest from Investment Funds | $ (1,040) | 980 | 2,628 | ||||||||
Mortgage banking | |||||||||||
Segments and Related Information | |||||||||||
Number of segments | item | 2 | ||||||||||
Operating segment | |||||||||||
Net interest income (expense): | |||||||||||
Interest expense, before non-segment activities | $ 144,520 | ||||||||||
Net interest expense, before non-segment activities | (1,341) | ||||||||||
Assets: | |||||||||||
Segment assets at period end | 7,365,488 | 5,128,398 | 7,365,488 | 5,128,398 | 3,486,075 | ||||||
Deferred tax asset | 18,400 | ||||||||||
Working capital | 2,600 | 5,500 | 2,600 | 5,500 | |||||||
Operating segment | Investment management | |||||||||||
Revenues: | |||||||||||
Management fees | 23,585 | 22,746 | 28,237 | ||||||||
Carried Interest from Investment Funds | 2,628 | ||||||||||
Net interest income (expense): | |||||||||||
Interest income | 1 | ||||||||||
Interest expense, before non-segment activities | 49 | 50 | |||||||||
Net interest expense, before non-segment activities | (49) | (49) | |||||||||
Other | 183 | 319 | (18) | ||||||||
Total net revenues, before non-segment activities | 22,679 | 23,996 | 30,847 | ||||||||
Expenses | 16,890 | 21,510 | 23,125 | ||||||||
Income (loss) before provision for income taxes and non-segment activities | 5,789 | 2,486 | 7,722 | ||||||||
Income before provision for income taxes | 5,789 | 2,486 | 7,722 | ||||||||
Assets: | |||||||||||
Segment assets at period end | 19,880 | 91,517 | 19,880 | 91,517 | 92,893 | ||||||
Operating segment | Investment management | Investment Funds | |||||||||||
Revenues: | |||||||||||
Carried Interest from Investment Funds | (1,040) | 980 | |||||||||
Operating segment | Mortgage banking | |||||||||||
Revenues: | |||||||||||
Net gains (losses) on mortgage loans held for sale at fair value | 391,804 | 531,780 | 320,715 | ||||||||
Mortgage loan origination fees | 119,202 | 125,534 | 91,520 | ||||||||
Net servicing fees | 306,059 | 185,466 | 229,543 | ||||||||
Net interest income (expense): | |||||||||||
Interest income | 143,179 | 81,126 | 49,155 | ||||||||
Interest expense, before non-segment activities | 144,471 | 106,206 | 68,537 | ||||||||
Net interest expense, before non-segment activities | (1,292) | (25,080) | (19,382) | ||||||||
Other | 3,712 | 3,126 | 2,955 | ||||||||
Total net revenues, before non-segment activities | 899,844 | 907,291 | 683,958 | ||||||||
Expenses | 602,664 | 527,294 | 410,792 | ||||||||
Income (loss) before provision for income taxes and non-segment activities | 297,180 | 379,997 | 273,166 | ||||||||
Income before provision for income taxes | 297,180 | 379,997 | 273,166 | ||||||||
Assets: | |||||||||||
Segment assets at period end | 7,345,608 | 5,036,881 | 7,345,608 | 5,036,881 | 3,393,182 | ||||||
Operating segment | Mortgage banking | PMT | |||||||||||
Revenues: | |||||||||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 80,359 | 86,465 | 58,607 | ||||||||
Operating segment | Mortgage banking Production | |||||||||||
Revenues: | |||||||||||
Net gains (losses) on mortgage loans held for sale at fair value | 286,242 | 464,027 | 310,254 | ||||||||
Mortgage loan origination fees | 119,202 | 125,534 | 91,520 | ||||||||
Net interest income (expense): | |||||||||||
Interest income | 61,195 | 48,944 | 39,238 | ||||||||
Interest expense, before non-segment activities | 35,359 | 32,669 | 19,851 | ||||||||
Net interest expense, before non-segment activities | 25,836 | 16,275 | 19,387 | ||||||||
Other | 2,002 | 2,104 | 1,868 | ||||||||
Total net revenues, before non-segment activities | 513,641 | 694,405 | 481,636 | ||||||||
Expenses | 275,133 | 278,309 | 209,767 | ||||||||
Income (loss) before provision for income taxes and non-segment activities | 238,508 | 416,096 | 271,869 | ||||||||
Income before provision for income taxes | 238,508 | 416,096 | 271,869 | ||||||||
Assets: | |||||||||||
Segment assets at period end | 2,459,014 | 2,195,330 | 2,459,014 | 2,195,330 | 1,122,242 | ||||||
Operating segment | Mortgage banking Production | PMT | |||||||||||
Revenues: | |||||||||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 80,359 | 86,465 | 58,607 | ||||||||
Operating segment | Mortgage banking Servicing | |||||||||||
Revenues: | |||||||||||
Net gains (losses) on mortgage loans held for sale at fair value | 105,562 | 67,753 | 10,461 | ||||||||
Net servicing fees | 306,059 | 185,466 | 229,543 | ||||||||
Net interest income (expense): | |||||||||||
Interest income | 81,984 | 32,182 | 9,917 | ||||||||
Interest expense, before non-segment activities | 109,112 | 73,537 | 48,686 | ||||||||
Net interest expense, before non-segment activities | (27,128) | (41,355) | (38,769) | ||||||||
Other | 1,710 | 1,022 | 1,087 | ||||||||
Total net revenues, before non-segment activities | 386,203 | 212,886 | 202,322 | ||||||||
Expenses | 327,531 | 248,985 | 201,025 | ||||||||
Income (loss) before provision for income taxes and non-segment activities | 58,672 | (36,099) | 1,297 | ||||||||
Income before provision for income taxes | 58,672 | (36,099) | 1,297 | ||||||||
Assets: | |||||||||||
Segment assets at period end | $ 4,886,594 | $ 2,841,551 | $ 4,886,594 | $ 2,841,551 | $ 2,270,940 |
Selected Quarterly Data (Una128
Selected Quarterly Data (Unaudited) (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | ||||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Revenue | ||||||||||||
Net gains (losses) on mortgage loans held for sale at fair value | $ 98,621 | $ 108,136 | $ 98,091 | $ 86,956 | $ 127,932 | $ 182,121 | $ 130,203 | $ 91,524 | $ 391,804 | $ 531,780 | $ 320,715 | |
Net servicing fees | 106,902 | 78,081 | 46,913 | 74,163 | 95,528 | 45,864 | 26,555 | 17,519 | 579,297 | 485,741 | 382,672 | |
Management fees and Carried Interest | 5,993 | 5,058 | 6,248 | 5,246 | 5,619 | 5,628 | 5,974 | 6,505 | ||||
Other income | 67,943 | 35,853 | 29,362 | 21,538 | 33,042 | 30,527 | 25,963 | 14,918 | 3,683 | 3,302 | 3,167 | |
Total net revenue | 298,634 | 250,635 | 201,721 | 204,473 | 289,285 | 291,395 | 207,806 | 143,401 | 955,463 | 931,887 | 713,110 | |
Expenses | 176,861 | 156,491 | 143,761 | 142,441 | 159,877 | 152,117 | 123,548 | 113,262 | 619,554 | 548,804 | 433,917 | |
Income before provision for income taxes | 121,773 | 94,144 | 57,960 | 62,032 | 129,408 | 139,278 | 84,258 | 30,139 | 335,909 | 383,083 | 279,193 | |
Provision for income taxes | (2,125) | 11,652 | 7,214 | 7,646 | 15,568 | 16,976 | 9,963 | 3,596 | 24,387 | 46,103 | 31,635 | |
Net income | 123,898 | 82,492 | 50,746 | 54,386 | 113,840 | 122,302 | 74,295 | 26,543 | 311,522 | 336,980 | 247,558 | |
Less: Net income attributable to noncontrolling interest | 61,580 | 65,411 | 40,267 | 43,507 | 91,096 | 98,617 | 59,820 | 21,368 | 210,765 | 270,901 | 200,330 | |
Net income attributable to PennyMac Financial Services, Inc. common stockholders | $ 62,318 | $ 17,081 | $ 10,479 | $ 10,879 | $ 22,744 | $ 23,685 | $ 14,475 | $ 5,175 | $ 100,757 | $ 66,079 | $ 47,228 | |
Earnings per share of Common Stock: | ||||||||||||
Basic (in dollars per share) | $ 2.67 | $ 0.73 | $ 0.45 | $ 0.48 | $ 1.02 | $ 1.07 | $ 0.66 | $ 0.24 | $ 4.34 | $ 2.98 | $ 2.17 | |
Diluted (in dollars per share) | $ 2.44 | $ 0.71 | $ 0.44 | $ 0.47 | $ 1 | $ 1.06 | $ 0.65 | $ 0.23 | $ 4.03 | $ 2.94 | $ 2.17 | |
Assets: | ||||||||||||
Mortgage loans held for sale at fair value | $ 3,099,103 | $ 2,935,593 | $ 3,037,602 | $ 2,277,751 | $ 2,172,815 | $ 3,127,377 | $ 2,097,138 | $ 1,653,963 | $ 3,099,103 | $ 2,172,815 | ||
Mortgage servicing rights | 2,119,588 | 2,016,485 | 1,951,599 | 1,725,061 | 1,627,672 | 1,337,674 | 1,290,928 | 1,337,082 | 2,119,588 | 1,627,672 | ||
Carried Interest from Investment Funds | 8,552 | 8,547 | 71,019 | 70,778 | 70,906 | 70,870 | 70,763 | 70,519 | 8,552 | 70,906 | ||
Servicing advances | 318,066 | 262,650 | 291,907 | 317,513 | 348,306 | 306,150 | 296,581 | 284,140 | 318,066 | 348,306 | ||
Other assets | 1,822,784 | 1,165,094 | 1,052,611 | 860,274 | 914,203 | 754,123 | 860,910 | 635,559 | 1,822,784 | 914,203 | ||
Total assets | 7,368,093 | 6,388,369 | 6,404,738 | 5,251,377 | 5,133,902 | 5,596,194 | 4,616,320 | 3,981,263 | 7,368,093 | 5,133,902 | ||
Liabilities: | ||||||||||||
Assets sold under agreements to repurchase | 2,381,538 | 2,096,492 | 3,021,328 | 2,034,808 | 1,735,114 | 2,491,366 | 1,591,798 | 1,658,578 | 2,381,538 | 1,735,114 | ||
Mortgage loans participation purchase and sale agreements | 527,395 | 531,776 | 243,361 | 241,638 | 671,426 | 782,913 | 737,176 | 246,636 | 527,395 | 671,426 | ||
Notes payable | 891,505 | 890,884 | 429,692 | 436,725 | 150,942 | 110,619 | 114,235 | 127,693 | 891,505 | 150,942 | ||
Other liabilities | 1,611,447 | 1,030,163 | 937,309 | 803,127 | 888,395 | 640,525 | 707,707 | 533,167 | 1,611,447 | 888,395 | ||
Total liabilities | 5,648,419 | 4,798,078 | 4,893,486 | 3,793,782 | 3,734,546 | 4,305,790 | 3,445,467 | 2,888,050 | 5,648,419 | 3,734,546 | ||
Total equity | 1,719,674 | 1,590,291 | 1,511,252 | 1,457,595 | 1,399,356 | 1,290,404 | 1,170,853 | 1,093,213 | 1,719,674 | 1,399,356 | $ 1,062,350 | $ 807,266 |
Total liabilities and stockholders' equity | 7,368,093 | 6,388,369 | 6,404,738 | 5,251,377 | 5,133,902 | 5,596,194 | 4,616,320 | 3,981,263 | 7,368,093 | 5,133,902 | ||
PMT | ||||||||||||
Revenue | ||||||||||||
Fulfillment fees from affiliate | 19,175 | 23,507 | 21,107 | 16,570 | 27,164 | 27,255 | 19,111 | 12,935 | 80,359 | 86,465 | $ 58,607 | |
Liabilities: | ||||||||||||
Excess servicing spread financing at fair value payable to affiliate | $ 236,534 | $ 248,763 | $ 261,796 | $ 277,484 | $ 288,669 | $ 280,367 | $ 294,551 | $ 321,976 | $ 236,534 | $ 288,669 |
Parent Company Information - Mi
Parent Company Information - Minimum Tangible Net Worth (Details) $ in Millions | Dec. 31, 2017USD ($) |
PLS | |
Parent Company Information | |
Minimum tangible net worth | $ 500 |
Parent Company Information - Co
Parent Company Information - Condensed Balance Sheets (Details) - USD ($) $ in Thousands | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 |
ASSETS | ||||||||||
Cash | $ 37,725 | $ 99,367 | $ 105,472 | $ 76,256 | ||||||
Total assets | 7,368,093 | $ 6,388,369 | $ 6,404,738 | $ 5,251,377 | 5,133,902 | $ 5,596,194 | $ 4,616,320 | $ 3,981,263 | ||
LIABILITIES AND STOCKHOLDERS' EQUITY | ||||||||||
Income taxes payable | 52,160 | 25,088 | ||||||||
Total liabilities | 5,648,419 | 4,798,078 | 4,893,486 | 3,793,782 | 3,734,546 | 4,305,790 | 3,445,467 | 2,888,050 | ||
Stockholders' equity | 469,411 | 347,323 | ||||||||
Total liabilities and stockholders' equity | 7,368,093 | $ 6,388,369 | $ 6,404,738 | $ 5,251,377 | 5,133,902 | $ 5,596,194 | $ 4,616,320 | $ 3,981,263 | ||
Parent Company [Member] | ||||||||||
ASSETS | ||||||||||
Cash | 2,605 | 5,505 | $ 841 | $ 7,757 | ||||||
Investment in PennyMac Mortgage Investment Trust at fair value | 556,439 | 472,792 | ||||||||
Due from subsidiaries | 6,538 | 3,585 | ||||||||
Total assets | 565,582 | 481,882 | ||||||||
LIABILITIES AND STOCKHOLDERS' EQUITY | ||||||||||
Payable to exchanged PNMAC unitholders under tax receivable agreement | 44,011 | 75,954 | ||||||||
Income taxes payable | 52,160 | 25,077 | ||||||||
Total liabilities | 96,171 | 101,031 | ||||||||
Stockholders' equity | 469,411 | 380,851 | ||||||||
Total liabilities and stockholders' equity | $ 565,582 | $ 481,882 |
Parent Company Information -131
Parent Company Information - Condensed Statements of Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Revenue | |||||||||||
Interest | $ 143,179 | $ 81,127 | $ 49,155 | ||||||||
Revaluation of Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | 32,940 | 551 | (1,695) | ||||||||
Total net revenue | $ 298,634 | $ 250,635 | $ 201,721 | $ 204,473 | $ 289,285 | $ 291,395 | $ 207,806 | $ 143,401 | 955,463 | 931,887 | 713,110 |
Expenses | |||||||||||
Interest | 144,520 | 106,206 | 68,537 | ||||||||
Total expenses | 176,861 | 156,491 | 143,761 | 142,441 | 159,877 | 152,117 | 123,548 | 113,262 | 619,554 | 548,804 | 433,917 |
Income before provision for income taxes | 121,773 | 94,144 | 57,960 | 62,032 | 129,408 | 139,278 | 84,258 | 30,139 | 335,909 | 383,083 | 279,193 |
Provision for income taxes | (2,125) | 11,652 | 7,214 | 7,646 | 15,568 | 16,976 | 9,963 | 3,596 | 24,387 | 46,103 | 31,635 |
Net income | $ 123,898 | $ 82,492 | $ 50,746 | $ 54,386 | $ 113,840 | $ 122,302 | $ 74,295 | $ 26,543 | 311,522 | 336,980 | 247,558 |
Private National Mortgage Acceptance Company, LLC | |||||||||||
Revenue | |||||||||||
Revaluation of Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | 32,940 | 551 | (1,695) | ||||||||
Parent Company [Member] | |||||||||||
Revenue | |||||||||||
Dividends from subsidiaries | 6,418 | 3,825 | |||||||||
Interest | 49 | 121 | |||||||||
Revaluation of Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | 32,940 | 551 | (1,695) | ||||||||
Total net revenue | 32,940 | 7,018 | 2,251 | ||||||||
Expenses | |||||||||||
Interest | 6 | ||||||||||
Total expenses | 6 | ||||||||||
Income before provision for income taxes | 32,940 | 7,018 | 2,245 | ||||||||
Provision for income taxes | 24,387 | 46,103 | 31,635 | ||||||||
Income before equity in undistributed earnings of subsidiaries | 8,553 | (39,085) | (29,390) | ||||||||
Equity in undistributed earnings of subsidiaries | 92,204 | 105,164 | 76,618 | ||||||||
Net income | 100,757 | 66,079 | 47,228 | ||||||||
Parent Company [Member] | Private National Mortgage Acceptance Company, LLC | |||||||||||
Revenue | |||||||||||
Revaluation of Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | $ 32,940 | $ 551 | $ (1,695) |
Parent Company Information -132
Parent Company Information - Condensed Statements of Cash Flows (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Cash flow from operating activities | |||||||||||
Net income | $ 123,898 | $ 82,492 | $ 50,746 | $ 54,386 | $ 113,840 | $ 122,302 | $ 74,295 | $ 26,543 | $ 311,522 | $ 336,980 | $ 247,558 |
Repricing of payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | (32,940) | (551) | 1,695 | ||||||||
Decrease in deferred tax asset | 18,668 | 29,726 | |||||||||
Increase in income taxes payable | 29,901 | 25,570 | |||||||||
Net cash used in operating activities | (883,585) | (938,522) | 53,144 | ||||||||
Cash flow from financing activities | |||||||||||
Repurchase of common stock | (8,599) | ||||||||||
Proceeds from Stock Options Exercised | 1,254 | 149 | |||||||||
Net cash provided by financing activities | 1,161,174 | 967,156 | 539,214 | ||||||||
Net change in cash | (61,642) | (6,105) | 29,216 | ||||||||
Cash at beginning of year | 99,367 | 105,472 | 99,367 | 105,472 | 76,256 | ||||||
Cash at end of year | 37,725 | 99,367 | 37,725 | 99,367 | 105,472 | ||||||
Parent Company [Member] | |||||||||||
Cash flow from operating activities | |||||||||||
Net income | 100,757 | 66,079 | 47,228 | ||||||||
Equity in undistributed earnings of subsidiaries | (92,204) | (105,164) | (76,618) | ||||||||
Repricing of payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | (32,940) | (551) | 1,695 | ||||||||
Decrease in deferred tax asset | 18,668 | 29,730 | |||||||||
Decrease (increase) in intercompany receivable | 5,646 | (76) | (3,819) | ||||||||
Payments to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | (6,726) | (5,132) | |||||||||
Increase in income taxes payable | 29,912 | 25,559 | |||||||||
Net cash used in operating activities | 4,445 | 4,515 | (6,916) | ||||||||
Cash flow from financing activities | |||||||||||
Proceeds from Stock Options Exercised | 1,254 | 149 | |||||||||
Net cash provided by financing activities | (7,345) | 149 | |||||||||
Net change in cash | (2,900) | 4,664 | (6,916) | ||||||||
Cash at beginning of year | $ 5,505 | $ 841 | 5,505 | 841 | 7,757 | ||||||
Cash at end of year | $ 2,605 | $ 5,505 | $ 2,605 | $ 5,505 | $ 841 |
Recently Issued Accounting P133
Recently Issued Accounting Pronouncements (Details) - USD ($) $ in Thousands | 12 Months Ended | ||||||||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | |
Recently Issued Accounting Pronouncements. | |||||||||
Carried interest | $ 8,552 | $ 70,906 | $ 8,547 | $ 71,019 | $ 70,778 | $ 70,870 | $ 70,763 | $ 70,519 | |
Common overhead expense reimbursements | 5,300 | $ 7,900 | $ 10,700 | ||||||
Future minimum lease payments | $ 96,254 |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) | Feb. 28, 2018 | Aug. 10, 2017 | Feb. 16, 2017 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Feb. 01, 2018 | Jan. 01, 2018 |
Subsequent Event | ||||||||
Repayments of notes payable | $ 186,935,000 | $ 33,661,000 | $ 29,411,000 | |||||
Note Payable | ||||||||
Subsequent Event | ||||||||
Available borrowing capacity | $ 280,000,000 | $ 98,065,000 | ||||||
LIBOR | Note Payable | ||||||||
Subsequent Event | ||||||||
Interest rate spread | 4.00% | 4.75% | ||||||
Subsequent Event | ||||||||
Subsequent Event | ||||||||
Increase in assets due to change in MSR's valuation technique | $ 800,000 | |||||||
Increase in deferred tax liability due to change in MSR's valuation technique | 71,000 | |||||||
Increase in stockholders equity due to change in MSR's valuation technique | $ 700,000 | |||||||
Subsequent Event | Note Payable | ||||||||
Subsequent Event | ||||||||
Proceeds from notes payable | $ 650,000,000 | |||||||
Repayments of notes payable | $ 400,000,000 | |||||||
Subsequent Event | Credit Suisse AG, Cayman Islands Branch | CS Loan Agreement | ||||||||
Subsequent Event | ||||||||
Available borrowing capacity | $ 407,000,000 | |||||||
Subsequent Event | LIBOR | Note Payable | ||||||||
Subsequent Event | ||||||||
Interest rate spread | 2.85% |