Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2019 | May 03, 2019 | |
Document and Entity Information | ||
Entity Registrant Name | PENNYMAC FINANCIAL SERVICES, INC. | |
Entity Central Index Key | 0001745916 | |
Document Type | 10-Q | |
Document Period End Date | Mar. 31, 2019 | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Entity Current Reporting Status | Yes | |
Entity Filer Category | Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 78,334,037 | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Document Fiscal Year Focus | 2019 | |
Document Fiscal Period Focus | Q1 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
ASSETS | ||
Cash (includes $93,372 and $108,174 pledged to creditors) | $ 144,266 | $ 155,289 |
Short-term investments at fair value | 149,372 | 117,824 |
Mortgage loans held for sale at fair value (includes $2,639,669 and $2,478,858 pledged to creditors) | 2,668,929 | 2,521,647 |
Derivative assets | 121,153 | 96,347 |
Servicing advances, net (includes valuation allowance of $65,696 and $70,582; $147,435 and $162,895 pledged to creditors) | 284,230 | 313,197 |
Mortgage servicing rights at fair value (includes $2,675,704 and $2,807,333 pledged to creditors) | 2,905,090 | 2,820,612 |
Real estate acquired in settlement of loans | 1,690 | 2,250 |
Operating lease right-of-use assets | 56,239 | |
Furniture, fixtures, equipment and building improvements, net (includes $15,254 and $16,281 pledged to creditors) | 33,423 | 33,374 |
Capitalized software, net (includes $940 and $1,017 pledged to creditors) | 45,416 | 39,748 |
Mortgage loans eligible for repurchase | 1,094,702 | 1,102,840 |
Other | 157,057 | 109,559 |
Total assets | 7,819,000 | 7,478,573 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 2,151,938 | 1,933,859 |
Mortgage loans participation purchase and sale agreements | 547,879 | 532,251 |
Notes payable | 1,292,736 | 1,292,291 |
Obligations under capital lease | 5,091 | 6,605 |
Derivative liabilities | 17,838 | 3,064 |
Operating lease liabilities | 76,373 | |
Accounts payable and accrued expenses | 162,677 | 156,212 |
Mortgage servicing liabilities at fair value | 7,844 | 8,681 |
Income taxes payable | 414,636 | 400,546 |
Liability for mortgage loans eligible for repurchase | 1,094,702 | 1,102,840 |
Liability for losses under representations and warranties | 17,982 | 21,155 |
Total liabilities | 6,117,808 | 5,824,782 |
Commitments and contingencies - Note 14 | ||
STOCKHOLDERS' EQUITY | ||
Additional paid-in capital | 1,311,914 | 1,310,648 |
Retained earnings | 389,270 | 343,135 |
Total stockholders' equity | 1,701,192 | 1,653,791 |
Total liabilities and stockholders' equity | 7,819,000 | 7,478,573 |
Common Stock | ||
STOCKHOLDERS' EQUITY | ||
Common stock - authorized 200,000,000 shares of $0.0001 par value; issued and outstanding, 78,317,843 and 77,494,332 shares respectively | 8 | 8 |
PMT | ||
ASSETS | ||
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell pledged to creditors | 125,929 | 131,025 |
Investment in PennyMac Mortgage Investment Trust at fair value | 1,553 | 1,397 |
Receivable, from affiliates | 29,951 | 33,464 |
LIABILITIES | ||
Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value | 205,081 | 216,110 |
Payable to affiliates | 76,494 | 104,631 |
Private National Mortgage Acceptance Company, LLC | ||
LIABILITIES | ||
Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | $ 46,537 | $ 46,537 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Cash pledged to creditors | $ 93,372 | $ 108,174 |
Mortgage loans held for sale, pledged to creditors | 2,639,669 | 2,478,858 |
Servicing advances, net, valuation allowance | 65,696 | 70,582 |
Servicing advances pledged to creditors | 147,435 | 162,895 |
Mortgage servicing rights, at fair value | 2,675,704 | 2,807,333 |
Furniture, fixtures, equipment and building improvements pledged to creditors | 15,254 | 16,281 |
Capitalized software pledged to creditors | $ 940 | $ 1,017 |
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 | 78,317,843 | 77,494,332 |
Common stock, shares outstanding | 78,317,843 | 77,494,332 |
CONSOLIDATED STATEMENTS OF INCO
CONSOLIDATED STATEMENTS OF INCOME - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Mortgage loan servicing fees | ||
From non-affiliates and affiliates | $ 166,790 | $ 135,483 |
Ancillary and other fees | 22,017 | 14,171 |
Mortgage loan servicing fees | 199,377 | 160,673 |
Change in fair value of mortgage servicing rights and mortgage servicing liabilities | (122,857) | (36,963) |
Change in fair value of excess servicing spread payable to PennyMac Mortgage Investment Trust | (118,806) | (43,884) |
Net mortgage loan servicing fees | 80,571 | 116,789 |
Net gains on mortgage loans held for sale at fair value: | ||
From non-affiliates | 58,753 | 59,028 |
Net gains on mortgage loans held for sale at fair value | 84,776 | 71,414 |
Mortgage loan origination fees from non-affiliates | 21,687 | 23,355 |
Mortgage loan origination fees | 23,930 | 24,563 |
Interest income: | ||
From non-affiliates | 56,537 | 40,639 |
Interest income | 58,333 | 42,615 |
Interest expense: | ||
To non-affiliates | 34,477 | 32,811 |
Interest expense | 37,543 | 36,745 |
Net interest income | 20,790 | 5,870 |
Management fees, net: | ||
Management fees | 7,248 | 5,775 |
Result of real estate acquired in settlement of loans | 274 | (28) |
Other | 2,350 | 1,872 |
Total net revenue | 247,705 | 238,201 |
Expenses | ||
Compensation | 106,600 | 102,013 |
Servicing | 30,293 | 26,299 |
Technology | 15,966 | 14,620 |
Loan origination | 14,497 | 2,115 |
Occupancy and equipment | 6,776 | 6,377 |
Professional services | 5,881 | 5,738 |
Marketing | 1,325 | 2,161 |
Other | 6,076 | 5,882 |
Total expenses | 187,414 | 165,205 |
Income before provision for income taxes | 60,291 | 72,996 |
Provision for income taxes | 14,156 | 6,070 |
Net income | 46,135 | 66,926 |
Less: Net income attributable to noncontrolling interest | 50,307 | |
Net income attributable to PennyMac Financial Services, Inc. common stockholders | $ 46,135 | $ 16,619 |
Earnings per share | ||
Basic (in dollars per share) | $ 0.59 | $ 0.70 |
Diluted (in dollars per share) | $ 0.58 | $ 0.67 |
Weighted-average shares outstanding | ||
Basic (in shares) | 77,653 | 23,832 |
Diluted (in shares) | 79,286 | 79,461 |
PMT | ||
Mortgage loan servicing fees | ||
From non-affiliates and affiliates | $ 10,570 | $ 11,019 |
Changes in fair value included in income | 4,051 | (6,921) |
Net gains on mortgage loans held for sale at fair value: | ||
From PennyMac Mortgage Investment Trust | 26,023 | 12,386 |
Mortgage loan origination fees from PennyMac Mortgage Investment Trust | 2,243 | 1,208 |
Fulfillment fees from PennyMac Mortgage Investment Trust | 27,574 | 11,944 |
Interest income: | ||
From PennyMac Mortgage Investment Trust | 1,796 | 1,976 |
Interest expense: | ||
To PennyMac Mortgage Investment Trust | 3,066 | 3,934 |
Management fees, net: | ||
Management fees | 7,248 | 5,696 |
Change in fair value of investment in and dividends received from affiliate | $ 192 | 182 |
Investment Funds | ||
Management fees, net: | ||
Management fees | 79 | |
Carried Interest from Investment Funds | $ (180) |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) shares in Thousands, $ in Thousands | Common Stock.Common Stock | Common Stock. | Additional paid-in capital | Retained earnings | Noncontrolling interest in Private National Mortgage Acceptance Company, LLC | Total |
Changes in stockholders' equity | ||||||
Cumulative effect of change in accounting principle - accounting for all existing classes of mortgage servicing rights at fair value | $ 189 | $ 587 | $ 776 | |||
Balance after adjustment | $ 2 | $ 204,103 | 265,495 | 1,250,850 | 1,720,450 | |
Balance after adjustment (in shares) | 23,530 | |||||
Balance at Dec. 31, 2017 | $ 2 | 204,103 | 265,306 | 1,250,263 | 1,719,674 | |
Balance (in shares) at Dec. 31, 2017 | 23,530 | |||||
Changes in stockholders' equity | ||||||
Net income | 16,619 | 50,307 | 66,926 | |||
Stock and unit-based compensation | 5,191 | 4,235 | 9,426 | |||
Issuance of Class A common stock in settlement of director fees | 24 | 55 | 79 | |||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A common stock of PennyMac Financial Services, Inc. | 14,859 | (14,859) | $ 14,859 | |||
Exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A common stock of PennyMac Financial Services, Inc. (in shares) | 748 | 748 | ||||
Tax effect of exchange of Class A units of Private National Mortgage Acceptance Company, LLC to Class A common stock of PennyMac Financial Services, Inc. | (2,682) | $ (2,682) | ||||
Balance at Mar. 31, 2018 | $ 2 | 221,495 | 282,114 | $ 1,290,588 | 1,794,199 | |
Balance (in shares) at Mar. 31, 2018 | 24,278 | |||||
Balance at Dec. 31, 2018 | $ 8 | 1,310,648 | 343,135 | 1,653,791 | ||
Balance (in shares) at Dec. 31, 2018 | 77,494 | |||||
Changes in stockholders' equity | ||||||
Net income | 46,135 | 46,135 | ||||
Stock and unit-based compensation | 1,180 | 1,180 | ||||
Stock and unit-based compensation (in shares) | 820 | |||||
Issuance of common stock in settlement of directors' fees | 86 | 86 | ||||
Issuance of common stock in settlement of directors' fees (in shares) | 4 | |||||
Balance at Mar. 31, 2019 | $ 8 | $ 1,311,914 | $ 389,270 | $ 1,701,192 | ||
Balance (in shares) at Mar. 31, 2019 | 78,318 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Cash flow from operating activities | ||
Net income | $ 46,135 | $ 66,926 |
Adjustments to reconcile net income to net cash used in operating activities: | ||
Change in fair value of mortgage servicing rights, mortgage servicing liabilities and excess servicing spread | 118,806 | 43,884 |
Net gains on mortgage loans held for sale at fair value | (84,776) | (71,414) |
Capitalization of interest on mortgage loans held for sale at fair value | (16,487) | (14,467) |
Accrual of interest on excess servicing spread financing | 3,066 | 3,934 |
Amortization of net debt issuance (premiums) and costs | (6,570) | (3,600) |
Results of real estate acquired in settlement of loans | (274) | 28 |
Stock based compensation expense | 4,531 | 6,171 |
Provision for servicing advance losses | 4,820 | 6,787 |
Depreciation and amortization | 3,159 | 2,592 |
Amortization of right-to-use assets | 2,359 | |
Originations of mortgage loans held for sale | (1,719,734) | (1,281,302) |
Purchase of mortgage loans from Ginnie Mae securities and early buyout investors for modification and subsequent sale | (941,154) | (911,585) |
Sale and principal payments of mortgage loans held for sale to non-affiliates | 8,536,430 | 11,103,785 |
Repurchase of mortgage loans subject to representations and warranties | (4,064) | (6,309) |
Settlement of repurchase agreement derivatives | 11,436 | |
Decrease in servicing advances | 24,087 | 27,450 |
Sale of real estate acquired in settlement of loans | 2,075 | 1,230 |
(Increase) decrease in other assets | (38,676) | 6,198 |
Decrease in operating lease liabilities | (2,977) | |
Increase in accounts payable and accrued expenses | 10,483 | 2,344 |
Net cash (used in) provided by operating activities | (134,247) | 537,392 |
Cash flow from investing activities | ||
(Increase) decrease in short-term investments | (31,548) | 64,190 |
Net settlement of derivative financial instruments used for hedging | 125,695 | (128,099) |
Purchase of mortgage servicing rights | (211,481) | (27,544) |
Purchase of furniture, fixtures, equipment and leasehold improvements | (2,126) | (2,779) |
Acquisition of capitalized software | (6,750) | (3,722) |
Decrease in margin deposits | 28,343 | 15,501 |
Net cash used in investing activities | (92,771) | (81,263) |
Cash flow from financing activities | ||
Sale of assets under agreements to repurchase | 8,382,013 | 9,771,234 |
Repurchase of assets sold under agreements to repurchase | (8,164,625) | (10,338,629) |
Issuance of mortgage loan participation purchase and sale certificates | 5,555,946 | 6,155,178 |
Repayment of mortgage loan participation purchase and sale certificates | (5,540,374) | (6,172,301) |
Advances on notes payable | 650,000 | |
Repayments of notes payable | (400,000) | |
Repayments of obligations under capital lease | (1,514) | (4,536) |
Repayment of excess servicing spread financing | (10,552) | (12,291) |
Payment of debt issuance costs | (1,536) | (7,891) |
Issuance of common stock pursuant to exercise of stock options | 1,283 | 3,255 |
Payment of withholding taxes relating to stock-based compensation | (4,634) | |
Net cash provided by (used in) financing activities | 216,007 | (355,981) |
Net increase (decrease) in cash and restricted cash | (11,011) | 100,148 |
Cash and restricted cash at beginning of quarter | 155,924 | 38,173 |
Cash and restricted cash at end of quarter | 144,913 | 138,321 |
Cash | 144,266 | 137,863 |
Restricted cash included in Other assets | 647 | 458 |
Investment Funds | ||
Adjustments to reconcile net income to net cash used in operating activities: | ||
Carried Interest from Investment Funds | 180 | |
PMT | ||
Adjustments to reconcile net income to net cash used in operating activities: | ||
Change in fair value of investment in common shares of PennyMac Mortgage Investment Trust | (156) | (147) |
Purchase of mortgage loans held for sale from PennyMac Mortgage Investment Trust | (6,959,389) | (9,212,188) |
Sale of mortgage loans held for sale to Penny Mac Mortgage Investment Trust | 884,510 | 781,326 |
Decrease (increase) in receivable from affiliates | 2,775 | (955) |
Decrease in payable to affiliate | (28,752) | (19,544) |
Increase in income taxes payable | 14,090 | 6,068 |
Cash flow from investing activities | ||
Net change in assets purchased from PMT under agreement to resell | $ 5,096 | $ 1,190 |
Organization
Organization | 3 Months Ended |
Mar. 31, 2019 | |
Organization | |
Organization | PENNYMAC FINANCIAL SERVICES, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) Note 1—Organization PennyMac Financial Services, Inc. (“PFSI” or the “Company”) is a holding corporation and its primary assets are direct and indirect equity interests 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 a management agreement with PennyMac Mortgage Investment Trust (“PMT”), a publicly held real estate investment trust. Previously, PCM had management agreements with PNMAC Mortgage Opportunity Fund, LLC and PNMAC Mortgage Opportunity Fund, L.P. an affiliate of these registered funds, and PNMAC Mortgage Opportunity Fund Investors, LLC (the “Private Fund”) (collectively, the “Investment Funds”). The Investment Funds were dissolved 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 PMT, 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 (“FHA”) Nonsupervised Title II Lender with the U.S. Department of Housing and Urban Development (“HUD”) and a lender/servicer with the Veterans Administration (“VA”) and U.S. Department of Agriculture (“USDA”) (each an “Agency” and collectively the “Agencies”). On November 1, 2018, the Company completed a corporate reorganization (the “Reorganization”) by which it changed its equity structure to create a single class of common stock held by all stockholders at a new top-level publicly traded parent holding corporation, as opposed to the two classes of common stock, Class A and Class B, that were in place before the Reorganization. The predecessor holding company became a consolidated subsidiary of the Company and is considered the predecessor of the Company for accounting purposes. Accordingly, the predecessor holding company's historical consolidated financial statements remain the Company’s historical financial statements. As part of the Reorganization, the Company retained its officers and directors in their previously existing roles and assumed the predecessor holding company's stock-based compensation plan. The details of the Reorganization are more fully described in Note 1 – Organization to Company’s Annual Report on Form 10-K for the year ended December 31, 2018. |
Basis of Presentation and Recen
Basis of Presentation and Recently Issued Accounting Pronouncements | 3 Months Ended |
Mar. 31, 2019 | |
Basis of Presentation and Recently Issued Accounting Pronouncements | |
Basis of Presentation and Recently Issued Accounting Pronouncements | Note 2—Basis of Presentation and Recently Issued Accounting Pronouncements Basis of Presentation The accompanying consolidated financial statements have been prepared in compliance with accounting principles generally accepted in the United States (“GAAP”) as codified in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (“ASC”) for interim financial information and with the SEC’s instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Accordingly, these financial statements and notes do not include all of the information required by GAAP for complete financial statements. This interim consolidated information should be read together with the Company’s Annual Report on Form 10-K for the year ended December 31, 2018. The accompanying unaudited consolidated financial statements reflect all normal recurring adjustments necessary to present fairly the financial position, income, and cash flows for the interim periods, but are not necessarily indicative of income to be anticipated for the full year ending December 31, 2019. Intercompany accounts and transactions have been eliminated. Preparation of financial statements in compliance with GAAP requires management to make judgments and estimates that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements, and revenues and expenses during the reporting period. Actual results will likely differ from those estimates. Accounting Change Effective January 1, 2019, the Company adopted Accounting Standards Update 2016-02, Leases (Topic 842) , as amended (“ASU 2016-02”), using the modified retrospective approach. As the result of this adoption, the Company recorded a $58.6 million right-of-use asset, a corresponding lease liability and reclassified $20.7 million of deferred rent from accrued liabilities to the lease liability for a total lease liability of $79.3 million. The Company did not adjust the prior comparative period. As part of its adoption of ASU 2016-02, the Company made the following accounting policy elections: · to retain its current classification of existing leases; and · to exclude from its consolidated balance sheet leases with initial terms that are less than or equal to 12 months. The adoption of ASU 2016-02 did not have any effect on the Company’s consolidated statements of income, stockholder’s equity or cash flows. The Company determines if an arrangement is a lease at inception. Operating leases are included in Operating lease right-of-use assets and Operating lease liabilities in its consolidated balance sheet. Operating lease right-of-use assets represent the Company’s right to use the underlying assets and operating lease liabilities represent its obligation to make the payments required by the leases. As most of the Company’s leases do not provide an implicit discount rate, PFSI uses its incremental borrowing rate based on information available at the commencement date to determine the present value of its lease payment obligations. The operating lease right-of-use assets also includes any lease payments made and is reduced by lease incentives. Lease expense is recognized on the straight-line basis over the lease term. The Company has lease agreements that include both lease and non-lease components (such as common area maintenance), which are generally included in the lease and are accounted for along with the lease component as a single lease component. Detailed lease disclosures are included in Note 10‒Leases . |
Concentration of Risk
Concentration of Risk | 3 Months Ended |
Mar. 31, 2019 | |
Concentration of Risk | |
Concentration of Risk | Note 3—Concentration of Risk A substantial portion of the Company’s activities relate to PMT. Revenues generated from PMT (generally comprised of mortgage loan servicing fees, gains on mortgage loans held for sale, mortgage loan origination fees, fulfillment fees, change in fair value of excess servicing spread financing (“ESS”), net interest paid to these entities, management fees, and change in fair value of investment and dividend received from PMT) totaled 31% and 15% of total net revenue for the quarters ended March 31, 2019 and 2018, respectively. |
Transactions with Affiliates
Transactions with Affiliates | 3 Months Ended |
Mar. 31, 2019 | |
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 sells newly originated loans to PMT under a 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. In the third quarter of 2017, the Company began selling conventional conforming balance mortgage loans to PMT under the agreement. Pursuant to the terms of an MSR recapture agreement by and between the Company and PMT, which was amended and restated effective September 12, 2016, if the Company refinances mortgage loans for which PMT previously held the MSRs, the Company is generally required to transfer and convey to PMT cash in an amount equal to 30% of the fair market value of the MSRs related to all such mortgage loans. The MSR recapture 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. Pursuant to a mortgage banking services agreement, which was amended and restated effective September 12, 2016, the Company provides PMT with certain mortgage banking services, including fulfillment and disposition-related services, for which it receives a fulfillment fee. Pursuant to the terms of the 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 (“MBS”) 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 MBS 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. Following is a summary of loan production activities, including MSR recapture between the Company and PMT: Quarter ended March 31, 2019 2018 (in thousands) Net gains (loss) on mortgage loans held for sale at fair value: Net gains on mortgage loans held for sale to PMT $ 27,146 $ 13,811 Mortgage servicing rights and excess servicing spread recapture incurred (1,123) (1,425) $ 26,023 $ 12,386 Sale of mortgage loans held for sale to PMT $ 884,510 $ 781,326 Fulfillment fee revenue $ 27,574 $ 11,944 Unpaid principal balance of mortgage loans fulfilled for PMT subject to fulfillment fees $ 8,135,552 $ 4,225,631 Sourcing fees paid to PMT $ 1,994 $ 2,641 Unpaid principal balance of mortgage loans purchased from PMT $ 6,647,338 $ 8,847,873 Tax service fees earned from PMT included in Mortgage loan origination fees $ 2,243 $ 1,208 Mortgage Loan Servicing The Company and PMT have entered into a loan servicing agreement (the “Servicing Agreement”), which was amended and restated effective September 12, 2016 and pursuant to which the Company provides servicing for PMT’s portfolio of residential mortgage loans and subservicing for its portfolio of MSRs. The Servicing Agreement provides for servicing fees of per‑loan monthly amounts based on the delinquency, bankruptcy and/or foreclosure status of the serviced mortgage loan or the real estate acquired in settlement of loans (“REO”). The Company also remains entitled to customary ancillary income and market-based fees and charges 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 up to $85 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 a REO, the Company is entitled to receive from PMT market-based fees and compensation consistent with pricing and terms the Company offers unaffiliated parties on a retail basis. · 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; 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 $750 for a streamline modification to $1,750 for a full modification or 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: Quarter ended March 31, 2019 2018 (in thousands) Mortgage loans acquired for sale at fair value $ 239 $ 178 Mortgage loans at fair value 463 3,085 Mortgage servicing rights 9,868 7,756 $ 10,570 $ 11,019 Property management fees received from PMT included in Other income $ 123 $ 99 Investment Management Activities The Company has a management agreement with PMT (“Management Agreement”), which was amended and restated effective September 12, 2016. Pursuant to the Management Agreement, the Company oversees PMT’s business affairs in conformity with the investment policies that are approved and monitored by its board of trustees, for which it collects a base management fee and may collect a performance incentive fee. 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” 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 PMT’s 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 Following is a summary of the base management and performance incentive fees earned from PMT: Quarter ended March 31, 2019 2018 (in thousands) Base management $ 6,109 $ 5,696 Performance incentive 1,139 — $ 7,248 $ 5,696 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 compensation, the Company shall be reimbursed $120,000 per fiscal quarter, such amount to be reviewed annually and not preclude reimbursement for any other services performed by the Company or its affiliates. PMT is also required to pay its pro rata portion of rent, telephone, utilities, office furniture, equipment, machinery and other office, internal and overhead expenses of the Company and its affiliates required for PMT’s and its subsidiaries’ operations. These expenses will be allocated based on the ratio of PMT’s proportion of gross assets compared to all remaining gross assets managed by the Company as calculated at each fiscal quarter end. The Company received reimbursements from PMT for expenses as follows: Quarter ended March 31, 2019 2018 (in thousands) Reimbursement of: Common overhead incurred by the Company included in Other revenue $ 1,236 $ 1,001 Compensation included in Other revenue 120 120 Expenses incurred on PMT's behalf, net 570 573 $ 1,926 $ 1,694 Payments and settlements during the quarter (1) $ 15,189 $ 7,658 (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. On February 1, 2019, the term of the reimbursement agreement was extended to February 1, 2023. The Company received $75,000 in reimbursement of underwriting fees from PMT during the quarter ended March 31, 2019. 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. The Company holds an investment in PMT in the form of 75,000 common shares of beneficial interest. Following is a summary of investing activities between the Company and PMT: Quarter ended March 31, 2019 2018 (in thousands) Interest income relating to Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 1,796 $ 1,976 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Dividends received $ 36 $ 35 Change in fair value of investment 156 147 $ 192 $ 182 March 31, December 31, 2019 2018 (in thousands) Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 125,929 $ 131,025 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Fair value $ 1,553 $ 1,397 Number of shares 75 75 Financing Activities Spread Acquisition and MSR Servicing Agreements On December 19, 2016, the Company amended and restated a master spread acquisition and MSR servicing agreement with PMT (the “Spread Acquisition Agreement”), pursuant to which 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 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 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 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, settle its obligation to PMT in cash in an amount equal to such fair market value in lieu of transferring such ESS. Following is a summary of financing activities between the Company and PMT: Quarter ended March 31, 2019 2018 (in thousands) Excess servicing spread financing: Issuance pursuant to recapture agreement $ 508 $ 904 Repayment $ 10,552 $ 12,291 Gain (loss) recognized $ 4,051 $ (6,921) Interest expense $ 3,066 $ 3,934 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 $ 489 $ 830 March 31, December 31, 2019 2018 (in thousands) Excess servicing spread financing at fair value $ 205,081 $ 216,110 Receivable from and Payable to PMT Amounts receivable from and payable to PMT are summarized below: March 31, December 31, 2019 2018 (in thousands) Receivable from PMT: Fulfillment fees $ 11,744 $ 10,006 Management fees 7,238 6,559 Servicing fees 4,350 4,841 Allocated expenses and expenses incurred on PMT's behalf 3,907 9,066 Correspondent production fees 1,852 2,071 Conditional Reimbursement 726 801 Interest on assets purchased under agreements to resell 134 120 $ 29,951 $ 33,464 Payable to PMT: Deposits made by PMT to fund servicing advances $ 73,149 $ 100,554 Mortgage servicing rights recapture payable 160 179 Other 3,185 3,898 $ 76,494 $ 104,631 Exchanged Private National Mortgage Acceptance Company, LLC Unitholders On May 8, 2013, the Company entered into a tax receivable agreement with certain former owners of PennyMac 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 exchanges of ownership interests in PennyMac 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. Although the Company’s reorganization in 2018 eliminated the potential for unitholders to exchange any additional units subject to this tax receivable agreement, the Company continues to be subject to the agreement and will be required to make payments, if any, under the tax receivable agreement to those certain prior owners of PennyMac who effected exchanges of ownership interests in PennyMac for the Company’s common stock prior to the closing of the Reorganization in November 2018. Based on the PennyMac unitholder exchanges to date, the Company has recorded a $46.5 million Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement as of March 31, 2019 and December 31, 2018. The Company did not make any payments under the tax receivable agreement during the quarters ended March 31, 2019 and 2018. |
Loan Sales and Servicing Activi
Loan Sales and Servicing Activities | 3 Months Ended |
Mar. 31, 2019 | |
Loan Sales and Servicing Activities | |
Loan Sales and Servicing Activities | Note 5—Loan Sales and Servicing Activities The Company originates or purchases and sells mortgage loans in the secondary mortgage market without recourse for credit losses. However, the Company maintains continuing involvement with the mortgage loans in the form of servicing arrangements and the liability under representations and warranties it makes to purchasers and insurers of the mortgage loans. The following table summarizes cash flows between the Company and transferees as a result of the sale of mortgage loans in transactions where the Company maintains continuing involvement with the mortgage loans as servicer: Quarter ended March 31, 2019 2018 (in thousands) Cash flows: Sales proceeds $ 8,536,430 $ 11,103,785 Servicing fees received (1) $ 137,148 $ 113,091 Net servicing recoveries $ (24,176) $ (10,637) (1) Net of guarantee fees paid to the Agencies. The following table summarizes unpaid principal balance (the “UPB”) of the mortgage loans sold by the Company in which it maintains continuing involvement: March 31, December 31, 2019 2018 (in thousands) Unpaid principal balance of mortgage loans outstanding $ 148,795,055 $ 145,224,596 Delinquencies: 30-89 days $ 5,489,000 $ 6,222,864 90 days or more: Not in foreclosure $ 2,085,034 $ 2,208,083 In foreclosure $ 710,297 $ 720,894 Foreclosed $ 24,875 $ 24,243 Bankruptcy $ 1,053,399 $ 970,329 The following tables summarize the UPB of the Company’s mortgage loan servicing portfolio: March 31, 2019 Contract Total Servicing servicing and mortgage rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 148,795,055 $ — $ 148,795,055 Purchased 72,039,709 — 72,039,709 220,834,764 — 220,834,764 PennyMac Mortgage Investment Trust — 101,287,428 101,287,428 Mortgage loans held for sale 2,573,121 — 2,573,121 $ 223,407,885 $ 101,287,428 $ 324,695,313 Subserviced for the Company (1) $ 16,270,233 $ — $ 16,270,233 Delinquent mortgage loans: 30 days $ 6,244,534 $ 479,185 $ 6,723,719 60 days 1,781,121 111,089 1,892,210 90 days or more: Not in foreclosure 3,100,186 223,231 3,323,417 In foreclosure 1,094,892 115,637 1,210,529 Foreclosed 35,354 157,762 193,116 $ 12,256,087 $ 1,086,904 $ 13,342,991 Bankruptcy $ 1,521,842 $ 118,609 $ 1,640,451 Custodial funds managed by the Company (2) $ 3,851,327 $ 1,384,404 $ 5,235,731 (1) Certain of the mortgage loans for which the Company has purchased the MSRs are subserviced on the Company’s behalf by other mortgage loan servicers on an interim basis when servicing of the loans has not yet been transferred to the Company’s loan servicing platform. (2) Custodial funds include cash accounts holding funds on behalf of borrowers and investors relating to mortgage loans serviced under servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns placement fees on certain of the custodial funds it manages on behalf of the mortgage loans’ borrowers and investors, which are included in Interest income in the Company’s consolidated statements of income. December 31, 2018 Contract Total Servicing servicing and mortgage rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 145,224,596 $ — $ 145,224,596 Purchased 56,990,486 — 56,990,486 202,215,082 — 202,215,082 PennyMac Mortgage Investment Trust — 94,658,154 94,658,154 Mortgage loans held for sale 2,420,636 — 2,420,636 $ 204,635,718 $ 94,658,154 $ 299,293,872 Subserviced for the Company (1) $ 414,219 $ — $ 414,219 Delinquent mortgage loans: 30 days $ 6,677,179 $ 525,989 $ 7,203,168 60 days 1,983,381 113,238 2,096,619 90 days or more: Not in foreclosure 3,102,492 217,115 3,319,607 In foreclosure 1,027,493 127,025 1,154,518 Foreclosed 33,493 176,377 209,870 $ 12,824,038 $ 1,159,744 $ 13,983,782 Bankruptcy $ 1,415,106 $ 107,083 $ 1,522,189 Custodial funds managed by the Company (2) $ 3,033,658 $ 970,328 $ 4,003,986 (1) Certain of the mortgage loans for which the Company has purchased the MSRs are subserviced on the Company’s behalf by other mortgage loan servicers on an interim basis when servicing of the loans has not yet been transferred to the Company’s loan servicing platform. (2) Custodial funds include cash accounts holding funds on behalf of borrowers and investors relating to mortgage loans serviced under servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns placement fees on certain of the custodial funds it manages on behalf of the mortgage loans’ borrowers and investors, which are included in Interest income in the Company’s consolidated statements of income. Following is a summary of the geographical distribution of mortgage loans included in the Company’s mortgage loan servicing portfolio for the top five and all other states as measured by UPB: March 31, December 31, State 2019 2018 (in thousands) California $ 54,790,956 $ 51,377,441 Florida 25,043,416 22,650,926 Texas 24,957,664 23,648,042 Virginia 19,845,177 19,011,950 Maryland 14,748,291 13,774,011 All other states 185,309,809 168,831,502 $ 324,695,313 $ 299,293,872 |
Fair Value
Fair Value | 3 Months Ended |
Mar. 31, 2019 | |
Fair Value | |
Fair Value | Note 6—Fair Value Most of the Company’s assets and certain of its liabilities are measured at or 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. · Level 3— Prices determined using significant unobservable inputs. In situations where observable inputs are unavailable, unobservable inputs may be used. Unobservable inputs reflect the Company’s own judgments about the factors that market participants use in pricing an asset or liability, and are based on the best information available in the circumstances. As a result of the difficulty in observing certain significant valuation inputs affecting “Level 3” fair value assets and liabilities, the Company is required to make judgments regarding these items’ fair values. Different persons in possession of the same facts may reasonably arrive at different conclusions as to the inputs to be applied in valuing these assets and liabilities and their fair values. Such differences may result in significantly different fair value measurements. Likewise, due to the general illiquidity of some of these assets and liabilities, subsequent transactions may be at values significantly different from those reported. Fair Value Accounting Elections The Company identified all of its MSRs, its mortgage servicing liabilities (“MSLs”) and all of its non-cash financial assets other than Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell , 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. 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: March 31, 2019 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 149,372 $ — $ — $ 149,372 Mortgage loans held for sale at fair value — 2,213,396 455,533 2,668,929 Derivative assets: Interest rate lock commitments — — 68,248 68,248 Repurchase agreement derivatives — — 24,632 24,632 Forward purchase contracts — 61,932 — 61,932 Forward sales contracts — 1,215 — 1,215 MBS put options — 6,287 — 6,287 MBS call options — 6,251 — 6,251 Put options on interest rate futures purchase contracts 2,639 — — 2,639 Call options on interest rate futures purchase contracts 14,078 — — 14,078 Total derivative assets before netting 16,717 75,685 92,880 185,282 Netting — — — (64,129) Total derivative assets 16,717 75,685 92,880 121,153 Investment in PennyMac Mortgage Investment Trust 1,553 — — 1,553 Mortgage servicing rights at fair value — — 2,905,090 2,905,090 $ 167,642 $ 2,289,081 $ 3,453,503 $ 5,846,097 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value $ — $ — $ 205,081 $ 205,081 Derivative liabilities: Interest rate lock commitments — — 2,183 2,183 Forward purchase contracts — 3,170 — 3,170 Forward sales contracts — 25,962 — 25,962 Total derivative liabilities before netting — 29,132 2,183 31,315 Netting — — — (13,477) Total derivative liabilities — 29,132 2,183 17,838 Mortgage servicing liabilities at fair value — — 7,844 7,844 $ — $ 29,132 $ 215,108 $ 230,763 December 31, 2018 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 117,824 $ — $ — $ 117,824 Mortgage loans held for sale at fair value — 2,261,639 260,008 2,521,647 Derivative assets: Interest rate lock commitments — — 50,507 50,507 Repurchase agreement derivatives — — 26,770 26,770 Forward purchase contracts — 35,916 — 35,916 Forward sales contracts — 437 — 437 MBS put options — 720 — 720 MBS call options — 2,135 — 2,135 Put options on interest rate futures purchase contracts 866 — — 866 Call options on interest rate futures purchase contracts 5,965 — — 5,965 Total derivative assets before netting 6,831 39,208 77,277 123,316 Netting — — — (26,969) Total derivative assets 6,831 39,208 77,277 96,347 Investment in PennyMac Mortgage Investment Trust 1,397 — — 1,397 Mortgage servicing rights at fair value — — 2,820,612 2,820,612 $ 126,052 $ 2,300,847 $ 3,157,897 $ 5,557,827 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value $ — $ — $ 216,110 $ 216,110 Derivative liabilities: Interest rate lock commitments — — 1,169 1,169 Forward purchase contracts — 215 — 215 Forward sales contracts — 26,762 — 26,762 Total derivative liabilities before netting — 26,977 1,169 28,146 Netting — — — (25,082) Total derivative liabilities — 26,977 1,169 3,064 Mortgage servicing liabilities at fair value — — 8,681 8,681 $ — $ 26,977 $ 225,960 $ 227,855 As shown above, all or a portion of the Company’s mortgage loans held for sale, Interest Rate Lock Commitments (“IRLCs”), repurchase agreement derivatives, MSRs, ESS and MSLs are measured using Level 3 fair value inputs. Following are rollforwards of these items for each of the quarters ended March 31, 2019 and 2018: Quarter ended March 31, 2019 Mortgage Net interest Repurchase Mortgage loans held rate lock agreement servicing for sale commitments (1) derivatives rights Total (in thousands) Assets: Balance, December 31, 2018 $ 260,008 $ 49,338 $ 26,770 $ 2,820,612 $ 3,156,728 Purchases and issuances, net 784,262 56,983 9,855 227,772 1,078,872 Sales and repayments (176,302) — (11,436) — (187,738) Mortgage servicing rights resulting from mortgage loan sales — — — 115,751 115,751 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (6,091) — — — (6,091) Other factors — 59,978 (557) (259,045) (199,624) (6,091) 59,978 (557) (259,045) (205,715) Transfers from Level 3 to Level 2 (405,163) — — — (405,163) Transfers to real estate acquired in settlement of loans (1,181) — — — (1,181) Transfers of interest rate lock commitments to mortgage loans held for sale — (100,234) — — (100,234) Balance, March 31, 2019 $ 455,533 $ 66,065 $ 24,632 $ 2,905,090 $ 3,451,320 Changes in fair value recognized during the quarter relating to assets still held at March 31, 2019 $ (3,540) $ 66,065 $ — $ (259,045) $ (196,520) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended March 31, 2019 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance, December 31, 2018 $ 216,110 $ 8,681 $ 224,791 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 508 — 508 Accrual of interest 3,066 — 3,066 Repayments (10,552) — (10,552) Mortgage servicing liabilities resulting from mortgage loan sales — 794 794 Changes in fair value included in income (4,051) (1,631) (5,682) Balance, March 31, 2019 $ 205,081 $ 7,844 $ 212,925 Changes in fair value recognized during the quarter relating to liabilities still outstanding at March 31, 2019 $ (4,051) $ (1,631) $ (5,682) Quarter ended March 31, 2018 Mortgage Net interest Repurchase Mortgage loans held rate lock agreement servicing for sale commitments (1) derivatives rights Total (in thousands) Assets: Balance December 31, 2017 $ 782,211 $ 58,272 $ 10,656 $ 638,010 $ 1,489,149 Reclassification of mortgage servicing rights previously accounted for under the amortization method pursuant to adoption of the fair value method of accounting — — — 1,482,426 1,482,426 Balance, January 1, 2018 782,211 58,272 10,656 2,120,436 2,971,575 Purchases and issuances, net 647,269 65,598 10,751 27,606 751,224 Sales and repayments (604,094) — (7) — (604,101) Mortgage servicing rights resulting from mortgage loan sales — — — 143,910 143,910 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (8,755) — — — (8,755) Other factors — (44,913) (426) 62,537 17,198 (8,755) (44,913) (426) 62,537 8,443 Transfers from Level 3 to Level 2 (356,232) — — — (356,232) Transfers of interest rate lock commitments to mortgage loans held for sale — (28,061) — — (28,061) Balance, March 31, 2018 $ 460,399 $ 50,896 $ 20,974 $ 2,354,489 $ 2,886,758 Changes in fair value recognized during the quarter relating to assets still held at March 31, 2018 $ (7,598) $ 50,896 $ (77) $ 62,537 $ 105,758 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended March 31, 2018 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance December 31, 2017 $ 236,534 $ 14,120 $ 250,654 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 904 — 904 Accrual of interest 3,934 — 3,934 Repayments (12,291) — (12,291) Mortgage servicing liabilities resulting from mortgage loan sales — 2,037 2,037 Changes in fair value included in income 6,921 (4,094) 2,827 Balance, March 31, 2018 $ 236,002 $ 12,063 $ 248,065 Changes in fair value recognized during the quarter relating to liabilities still outstanding at March 31, 2018 $ 6,921 $ (4,094) $ 2,827 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 quarters presented. The Company had transfers among the fair value levels arising from transfers of IRLCs to mortgage loans held for sale at fair value upon purchase or funding of the respective mortgage loans and from the return to salability in the active secondary market of certain mortgage loans held for sale. Assets and Liabilities Measured at Fair Value under the Fair Value Option Net changes in fair values included in income for assets and liabilities carried at fair value as a result of management’s election of the fair value option by income statement line item are summarized below: Quarter ended March 31, 2019 2018 Net Net gains on Net Net gains on mortgage mortgage mortgage mortgage loan loans held loan loans held servicing for sale at servicing for sale at fees fair value Total fees fair value Total (in thousands) Assets: Mortgage loans held for sale $ — $ 101,995 $ 101,995 $ — $ (6,118) $ (6,118) Mortgage servicing rights (259,045) — (259,045) 62,537 — 62,537 $ (259,045) $ 101,995 $ (157,050) $ 62,537 $ (6,118) $ 56,419 Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ 4,051 $ — $ 4,051 $ (6,921) $ — $ (6,921) Mortgage servicing liabilities 1,631 — 1,631 4,094 — 4,094 $ 5,682 $ — $ 5,682 $ (2,827) $ — $ (2,827) Following are the fair value and related principal amounts due upon maturity of assets accounted for under the fair value option: March 31, 2019 December 31, 2018 Principal Principal amount amount Fair due upon Fair due upon value maturity Difference value maturity Difference (in thousands) Mortgage loans held for sale: Current through 89 days delinquent $ 2,357,344 $ 2,252,816 $ 104,528 $ 2,324,203 $ 2,220,371 $ 103,832 90 days or more delinquent: Not in foreclosure 235,957 240,728 (4,771) 143,631 144,011 (380) In foreclosure 75,628 79,577 (3,949) 53,813 56,254 (2,441) $ 2,668,929 $ 2,573,121 $ 95,808 $ 2,521,647 $ 2,420,636 $ 101,011 Assets Measured at Fair Value on a Nonrecurring Basis Following is a summary of assets and liabilities that were measured at fair value on a nonrecurring basis: Real estate acquired in settlement of loans Level 1 Level 2 Level 3 Total (in thousands) March 31, 2019 $ — $ — $ 719 $ 719 December 31, 2018 $ — $ — $ 2,150 $ 2,150 The following table summarizes the total gains on assets measured at fair value on a nonrecurring basis: Quarter ended March 31, 2019 2018 (in thousands) Real estate acquired in settlement of loans $ 21 $ 27 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 are classified as “Level 3” fair value items due to the Company’s reliance on unobservable inputs to estimate these their fair values. The Company has concluded that the fair values of these assets and liabilities other than the Term Notes approximate their carrying values due to their short terms and/or variable interest rates. The fair value of the Term Notes at March 31, 2019 was $1.3 billion and was based on non-affiliate broker indications of value. The fair value of Term Notes at December 31, 2018 was $1.3 billion, and was estimated using a discounted cash flow approach using indications of market pricing spreads provided by non-affiliated brokers to develop an appropriate discount rate. Valuation Governance Most of the Company’s financial assets, and all of its MSRs, ESS, derivative liabilities 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 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 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 non-IRLC “Level 3” fair value assets and liabilities, including major factors affecting the valuation and any changes in model methods and inputs. To assess the reasonableness of its valuations, the FAV group presents an analysis of the effect on the valuation of changes to the significant inputs to the models. The Company has assigned responsibility for developing the fair values of IRLCs 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. Valuation Techniques and Inputs 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. The fair values of “Level 2” fair value mortgage loans 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 not 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 investors and thereafter may be repurchased to the extent eligible for resale into a new Ginnie Mae guaranteed pool. Such eligibility occurs when 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 are 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. The significant unobservable inputs used in the fair value measurement of the Company’s “Level 3” fair value mortgage loans held for sale 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: Key inputs (1) March 31, 2019 December 31, 2018 Discount rate: Range 3.1% – 9.2% 2.8% – 9.2% Weighted average 3.1% 2.9% Twelve-month projected housing price index change: Range 3.0% – 4.8% 2.2% – 5.0% Weighted average 3.3% 3.5% Voluntary prepayment / resale speed (2): Range 0.1% – 24.3% 0.1% – 21.8% Weighted average 22.0% 20.1% Total prepayment speed (3): Range 0.1% – 42.0% 0.1% – 40.5% Weighted average 39.2% 37.7% (1) Weighted average inputs are based on the fair value of mortgage loans. (2) Voluntary prepayment/resale speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”). (3) 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 quarter end from the later of the beginning of the quarter 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 “Level 3” fair value assets or liabilities. The Company estimates the fair value of IRLCs 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 IRLCs’ 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 decreases 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 – Change in fair value of mortgage servicing rights and mortgage servicing liabilities as an economic hedge of the fair value of MSRs in the consolidated statements of income when IRLCs are included as a component of the Company’s MSR hedging strategy. Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs: Key inputs (1) March 31, 2019 December 31, 2018 Pull-through rate: Range 12.2% – 100% 16.6% – 100% Weighted average 82.8% 84.1% Mortgage servicing rights value expressed as: Servicing fee multiple: Range 1.1 – 5.7 1.5 – 5.5 Weighted average 3.8 3.8 Percentage of unpaid principal balance: Range 0.3% – 2.7% 0.4% – 3.2% Weighted average 1.5% 1.5% (1) Weighted average inputs are based on the committed amounts. 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 – 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 separated for accounting purposes from the master repurchase agreement. The Company classifies these derivatives as “Level 3” fair value assets. The significant unobservable inputs into the valuation of these derivative assets are the discount rate and the Company’s expected approval rate of the mortgage loans financed under the master repurchase agreement. The resulting ratio included in the Company’s fair value estimate was 97% at March 31, 2019 and December 31, 2018. 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. The key inputs used in the estimation of the fair value of MSRs include the applicable pricing spread (discount rate), prepayment and default rates of the underlying mortgage loans, and annual per-loan cost to service mortgage loans, all of which are unobservable. Significant changes to any of those inputs in isolation could result in a significant change in the MSR fair value measurement. Changes in these key inputs are not necessarily directly related. Changes in the fair value of MSRs are included in Net mortgage loan servicing fees — 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 received by the Company when it retains the obligation to service the mortgage loans it sells: Quarter ended March 31, 2019 2018 (Amount recognized and unpaid principal balance of underlying mortgage loans in thousands) MSR and pool characteristics: Amount recognized $ 115,751 $ 143,910 Unpaid principal balance of underlying mortgage loans $ 8,145,850 $ 10,162,316 Weighted average servicing fee rate (in basis points) 39 35 Key inputs (1): Pricing spread (2) Range 5.8% – 15.6% 7.4% – 14.1% Weighted average 8.9% 10.3% Annual total prepayment speed (3) Range 5.8% – 73.0% 3.9% – 49.0% Weighted average 15.3% 8.9% Life (in years) Range 0.8 – 10.2 1.1 – 11.6 Weighted average 5.8 8.2 Per-loan annual cost of servicing Range $78 – $100 $78 – $98 Weighted average $95 $89 (1) Weighted average inputs are based on the UPB of the underlying mortgage loans. (2) 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”)/swap curve for purposes of discounting cash flows relating to MSRs. (3) Prepayment speed is measured using Life Total CPR. Following is a quantitative summary of key inputs used in the valuation and assessment for the Company’s MSRs and the effect on the fair value from adverse changes in those inputs: March 31, 2019 December 31, 2018 (Carrying value, unpaid principal balance of underlying mortgage loans and effect on fair value amounts in thousands) MSR and pool characteristics: Carrying value $2,905,090 $2,820,612 Unpaid principal balance of underlying mortgage loans $219,834,361 $201,054,144 Weighted average note interest rate 4.0% 4.0% Weighted average servicing fee rate (in basis points) 33 33 Key inputs (1): Pricing spread (2): Range 6.0% – 15.8% 5.8% – 16.1% Weighted average 8.7% 8.7% Effect on fair value of: 5% adverse change ($45,330) ($45,268) 10% adverse change ($89,217) ($89,073) 20% adverse change ($172,915) ($172,556) Prepayment speed (3): Range 9.0% – 33.5% 8.4% – 32.6% Weighted average 11.4% 9.9% Average life (in years): Range 1.5 – 7.6 1.5 – 7.9 Weighted average 6.6 7.2 Effect on fair value of: 5% adverse change ($54,920) ($47,687) 10% adverse change ($107,628) ($93,626) 20% adverse change ($206,907) ($180,623) Annual per-loan cost of servicing: Range $78 – $100 $78 – $99 Weighted average $97 $93 Effect on fair value of: 5% adverse change ($24,494) ($22,944) 10% adverse change ($49,004) ($45,888) 20% adverse change ($98,024) ($91,775) (1) Weighted average inputs are based on the UPB of the underlying mortgage loans. (2) The Company applies a pricing spread to the United States Dollar LIBOR/swap curve for purposes of discounting cash flows relating to MSRs. (3) Prepayment speed is measured using Life Total CPR. The preceding sensitivity analyses are limited in that they were performed as of a particular date; only contemplate the movements in the indicated inputs; do not incorporate changes to other inputs; are subject to the accuracy of the models and inputs used; and do not incorporate other factors that would affect the Company’s overall financial performance in such events, including operational adjustments 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 it uses 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 discourage 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 Trust. Following are the key inputs used in determining the fair value of ESS financing: March 31, December 31, 2019 2018 Carrying value (in thousands) $205,081 $216,110 ESS and pool characteristics: Unpaid principal balance of underlying mortgage loans (in thousands) $22,664,211 $23,196,033 Average servicing fee rate (in basis points) 34 34 Average excess servicing spread (in basis points) 19 19 Key inputs (1): Pricing spread (2): Range 3.0% – 3.3% 2.8% – 3.2% Weighted average 3.2% 3.1% Annualized prepayment speed (3): Range 8.5% – 29.9% 8.2% – 29.5% Weighted average 10.4% 9.7% Average life (in years): Range 1.5 – 7.4 1.6 – 7.6 Weighted average 6.5 6.8 (1) Weighted average inputs are based on the UPB of the underlying mortgage loans. (2) The Company applies a pricing spread to the United States Dollar LIBOR/swap curve for purposes of discounting cash flows relating to ESS. (3) 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 applicable pricing spread (discount rate), the prepayment rates of the underlying mortgage loans, and the per-loan annual cost to service the respective mortgage loans. Changes in the fair value of MSLs are included in Net servicing fees — 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 MSLs: March 31, December 31, 2019 2018 MSL and pool characteristics: Carrying value (in thousands) $ $ Unpaid principal balance of underlying mortgage loans (in thousands) $ $ 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/swap curve for purposes of discounting cash flows relating to MSLs. (2) Prepayment speed is measured using Life Total CPR. |
Mortgage Loans Held for Sale at
Mortgage Loans Held for Sale at Fair Value | 3 Months Ended |
Mar. 31, 2019 | |
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: March 31, December 31, 2019 2018 (in thousands) Government-insured or guaranteed $ 2,083,470 $ 2,116,126 Conventional conforming 129,926 145,513 Home equity lines of credit 86 — Purchased from Ginnie Mae pools serviced by the Company 446,290 250,585 Repurchased pursuant to representations and warranties 9,157 9,423 $ 2,668,929 $ 2,521,647 Fair value of mortgage loans pledged to secure: Assets sold under agreements to repurchase $ 2,065,151 $ 1,923,857 Mortgage loan participation purchase and sale agreements 574,518 555,001 $ 2,639,669 $ 2,478,858 |
Derivative Activities
Derivative Activities | 3 Months Ended |
Mar. 31, 2019 | |
Derivative Activities | |
Derivative Activities | Note 8—Derivative Activities The Company holds and issues derivative financial instruments in connection with its operating activities. Derivative financial instruments are created as a result of certain of the Company’s operations and the Company also enters into derivative transactions as part of its interest rate risk management activities. Derivative financial instruments created as a result of the Company’s operations include: · IRLCs that are created when the Company commits to purchase or originate a mortgage loan acquired for sale. · Derivatives that are embedded in a master repurchase agreement that provides for the Company to receive incentives for financing mortgage loans that satisfy certain consumer relief characteristics under the master repurchase agreement. The Company also engages in interest rate risk management activities in an effort to reduce the variability of earnings caused by changes in market interest rates. To manage this fair value risk resulting from interest rate risk, the Company uses derivative financial instruments acquired with the intention of reducing the risk that changes in market interest rates will result in unfavorable changes in the fair value of the Company’s IRLCs, inventory of mortgage loans held for sale and the portion of its MSRs not financed with ESS. The Company records all derivative financial instruments at fair value and records changes in fair value in current period income. Derivative Notional Amounts and Fair Value of Derivatives The Company had the following derivative financial instruments recorded on its consolidated balance sheets: March 31, 2019 December 31, 2018 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 3,821,942 $ 68,248 $ 2,183 2,805,400 $ 50,507 $ 1,169 Repurchase agreement derivatives 24,632 — 26,770 — Used for hedging purposes: Forward purchase contracts 9,313,389 61,932 3,170 6,657,026 35,916 215 Forward sales contracts 7,583,005 1,215 25,962 6,890,046 437 26,762 MBS put options 9,425,000 6,287 — 4,635,000 720 — MBS call options 3,350,000 6,251 — 1,450,000 2,135 — Put options on interest rate futures purchase contracts 3,350,000 2,639 — 3,085,000 866 — Call options on interest rate futures purchase contracts 2,250,000 14,078 — 1,512,500 5,965 — Treasury futures purchase contracts 1,810,000 — — 835,000 — — Treasury futures sale contracts 1,075,000 — — 1,450,000 — — Interest rate swap futures purchase contracts 1,025,000 — — 625,000 — — Total derivatives before netting 185,282 31,315 123,316 28,146 Netting (64,129) (13,477) (26,969) (25,082) $ 121,153 $ 17,838 $ 96,347 $ 3,064 Deposits placed with derivative counterparties $ 50,652 $ 1,887 The following table summarizes notional amount activity for derivative contracts used in the Company’s hedging activities: Quarter ended March 31, 2019 Notional Notional amount amount beginning of Dispositions/ end of Instrument quarter Additions expirations quarter (in thousands) Forward purchase contracts 6,657,026 52,621,845 (49,965,482) 9,313,389 Forward sale contracts 6,890,046 59,673,487 (58,980,528) 7,583,005 MBS put options 4,635,000 19,160,000 (14,370,000) 9,425,000 MBS call options 1,450,000 4,500,000 (2,600,000) 3,350,000 Put options on interest rate futures purchase contracts 3,085,000 6,675,000 (6,410,000) 3,350,000 Call options on interest rate futures purchase contracts 1,512,500 4,462,800 (3,725,300) 2,250,000 Put options on interest rate futures sale contracts — 10,135,300 (10,135,300) — Treasury futures purchase contracts 835,000 4,111,200 (3,136,200) 1,810,000 Treasury futures sale contracts 1,450,000 2,761,200 (3,136,200) 1,075,000 Interest rate swap futures purchase contracts 625,000 400,000 — 1,025,000 Quarter ended March 31, 2018 Notional Notional amount amount beginning of Dispositions/ end of Instrument quarter Additions expirations quarter (in thousands) Forward purchase contracts 4,920,883 45,330,785 (43,707,885) 6,543,783 Forward sale contracts 5,204,796 56,355,552 (54,636,002) 6,924,346 MBS put options 4,925,000 4,500,000 (5,675,000) 3,750,000 MBS call options — 5,675,000 (5,675,000) — Put options on interest rate futures purchase contracts 2,125,000 5,525,000 (4,850,000) 2,800,000 Call options on interest rate futures purchase contracts 100,000 375,000 (250,000) 225,000 Put options on interest rate futures sale contracts — 4,850,000 (4,850,000) — Call options on interest rate futures sale contracts — 250,000 (250,000) — Treasury futures purchase contracts 100,000 1,904,900 (1,494,900) 510,000 Treasury futures sale contracts — 3,406,200 (2,156,200) 1,250,000 Interest rate swap futures purchase contracts 1,400,000 465,000 (1,400,000) 465,000 Interest rate swap futures sale contracts — 1,400,000 (1,400,000) — 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: March 31, 2019 December 31, 2018 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 $ 68,248 $ — $ 68,248 $ 50,507 $ — $ 50,507 Repurchase agreement derivatives 24,632 — 24,632 26,770 — 26,770 92,880 — 92,880 77,277 — 77,277 Derivatives subject to master netting arrangements: Forward purchase contracts 61,932 — 61,932 35,916 — 35,916 Forward sale contracts 1,215 — 1,215 437 — 437 MBS put options 6,287 — 6,287 720 — 720 MBS call options 6,251 — 6,251 2,135 — 2,135 Put options on interest rate futures purchase contracts 2,639 — 2,639 866 — 866 Call options on interest rate futures purchase contracts 14,078 — 14,078 5,965 — 5,965 Netting (64,129) (64,129) — (26,969) (26,969) 92,402 (64,129) 28,273 46,039 (26,969) 19,070 $ 185,282 $ (64,129) $ 121,153 $ 123,316 $ (26,969) $ 96,347 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. March 31, 2019 December 31, 2018 Gross amount not Gross amount not offset in the offset in the consolidated consolidated Net amount balance sheet Net amount balance sheet 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 $ 68,248 $ — $ — $ 68,248 $ 50,507 $ — $ — $ 50,507 Deutsche Bank 24,632 — — 24,632 26,770 — — 26,770 RJ O'Brien 16,717 — — 16,717 6,831 — — 6,831 Bank of America, N.A. 4,052 — — 4,052 2,781 — — 2,781 JPMorgan Chase Bank, N.A. 3,494 — — 3,494 1,399 — — 1,399 Wells Fargo Bank, N.A. 2,275 — — 2,275 3,707 — — 3,707 Goldman Sachs 1,286 — — 1,286 — — — — Citibank, N.A. — — — — 2,488 — — 2,488 Others 449 — — 449 1,864 — — 1,864 $ 121,153 $ — $ — $ 121,153 $ 96,347 $ — $ — $ 96,347 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. March 31, 2019 December 31, 2018 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 $ 2,183 $ — $ 2,183 $ 1,169 $ — $ 1,169 Derivatives subject to a master netting arrangement: Forward purchase contracts 3,170 — 3,170 215 — 215 Forward sale contracts 25,962 — 25,962 26,762 — 26,762 Netting — (13,477) (13,477) — (25,082) (25,082) 29,132 (13,477) 15,655 26,977 (25,082) 1,895 Total derivatives 31,315 (13,477) 17,838 28,146 (25,082) 3,064 Assets sold under agreements to repurchase: Amount outstanding 2,152,588 — 2,152,588 1,935,200 — 1,935,200 Unamortized debt issuance premiums and costs, net (650) — (650) (1,341) — (1,341) 2,151,938 — 2,151,938 1,933,859 — 1,933,859 $ 2,183,253 $ (13,477) $ 2,169,776 $ 1,962,005 $ (25,082) $ 1,936,923 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. March 31, 2019 December 31, 2018 Gross amounts Gross amounts not offset in the not offset in the Net amount consolidated Net amount consolidated of liabilities balance sheet of liabilities balance sheet in the Cash in the Cash consolidated Financial collateral Net consolidated Financial collateral Net balance sheet instruments pledged amount balance sheet instruments pledged amount (in thousands) Interest rate lock commitments $ 2,183 $ — $ — $ 2,183 $ 1,169 $ — $ — $ 1,169 Credit Suisse First Boston Mortgage Capital LLC 848,914 (845,622) — 3,292 691,030 (690,766) — 264 Deutsche Bank 692,010 (692,010) — — 741,978 (741,978) — — BNP Paribas 199,395 (199,395) — — 149,675 (149,482) — 193 Bank of America, N.A. 170,859 (170,859) — — 170,820 (170,820) — — Citibank, N.A. 83,533 (82,659) — 874 14,960 (14,960) — — Morgan Stanley Bank, N.A. 80,998 (71,069) — 9,929 77,687 (77,687) — — JPMorgan Chase Bank, N.A. 50,875 (50,875) — — 54,326 (54,326) — — Royal Bank of Canada 40,099 (40,099) — — 35,181 (35,181) — — Federal National Mortgage Association 764 — — 764 — — — — Others 796 — — 796 1,438 — — 1,438 $ 2,170,426 $ (2,152,588) $ — $ 17,838 $ 1,938,264 $ (1,935,200) $ — $ 3,064 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: Quarter ended March 31, Derivative activity Income statement line 2019 2018 (in thousands) Interest rate lock commitments Net gains on mortgage loans held for sale at fair value $ 16,727 $ (7,376) Repurchase agreement derivatives Interest expense $ (557) $ (426) Hedged item: Interest rate lock commitments and mortgage loans held for sale Net gains on mortgage loans held for sale at fair value $ (34,668) $ 87,747 Mortgage servicing rights Net mortgage loan servicing fees –C hange in fair value of mortgage servicing rights and mortgage servicing liabilities $ 134,557 $ (103,593) |
Mortgage Servicing Rights and M
Mortgage Servicing Rights and Mortgage Servicing Liabilities | 3 Months Ended |
Mar. 31, 2019 | |
Mortgage Servicing Rights and Mortgage Servicing Liabilities | |
Mortgage Servicing Rights and Mortgage Servicing Liabilities | Note 9—Mortgage Servicing Rights and Mortgage Servicing Liabilities Mortgage Servicing Rights at Fair Value The activity in MSRs is as follows: Quarter ended March 31, 2019 2018 (in thousands) Balance at beginning of quarter $ 2,820,612 $ 638,010 Reclassification of mortgage servicing rights previously accounted for under the amortization method pursuant to adoption of the fair value method of accounting — 1,482,426 Balance after reclassification 2,820,612 2,120,436 Additions: Purchases 227,772 27,606 Resulting from mortgage loan sales 115,751 143,910 343,523 171,516 Change in fair value due to: Changes in inputs used in valuation model (1) (161,638) 130,449 Other changes in fair value (2) (97,407) (67,912) Total change in fair value (259,045) 62,537 Balance at end of quarter $ 2,905,090 $ 2,354,489 March 31, December 31, 2019 2018 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and Notes payable $ 2,675,704 $ 2,807,333 (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. Mortgage Servicing Liabilities at Fair Value The activity in MSLs is summarized below: Quarter ended March 31, 2019 2018 (in thousands) Balance at beginning of quarter $ 8,681 $ 14,120 Mortgage servicing liabilities resulting from mortgage loan sales 794 2,037 Changes in fair value due to: Changes in valuation inputs used in valuation model (1) 3,301 2,643 Other changes in fair value (2) (4,932) (6,737) Total change in fair value (1,631) (4,094) Balance at end of quarter $ 7,844 $ 12,063 (1) Principally reflects changes in expected borrower performance and servicer losses given default. (2) Represents changes due to realization of cash flows. Servicing fees relating to MSRs and MSLs are recorded in Net mortgage loan servicing fees—Mortgage loan servicing fees—From non-affiliates on the consolidated statements of income; late charges and other ancillary fees relating to MSRs and MSLs are recorded in Net mortgage loan servicing fees—Mortgage loan servicing fees—Ancillary and other fees on the Company’s consolidated statements of income. Such amounts are summarized below: Quarter ended March 31, 2019 2018 (in thousands) Contractual servicing fees $ 166,790 $ 135,483 Ancillary and other fees: Late charges 9,812 7,459 Other 1,661 1,562 $ 178,263 $ 144,504 |
Leases
Leases | 3 Months Ended |
Mar. 31, 2019 | |
Leases | |
Leases | Note 10—Leases The Company has operating lease agreements relating to its facilities. The Company’s operating lease agreements have remaining terms ranging from less than one year to ten years, some of which include options to extend for up to five years. None of the Company’s operating lease agreements require the Company to make variable lease payments. The Company’s lease agreements are summarized below: Quarter ended March 31, 2019 (dollars in thousands) Lease expense: Operating leases $ 3,229 Short-term leases 217 Sublease income (32) Net lease expense included in Occupancy and equipment $ 3,414 Other information: Cash payments for operating leases $ 3,846 Operating lease right-of-use assets recognized upon the adoption of ASU 2016-02 $ 58,598 Weighted averages: Remaining lease term (in years) 6.3 Discount rate 4.6% The maturities of the Company’s operating lease liabilities are summarized below: Twelve months ended March 31, Operating leases (in thousands) 2020 $ 15,683 2021 14,993 2022 13,397 2023 11,941 2024 10,343 Thereafter 21,999 Total lease payments 88,356 Less imputed interest (11,983) Total $ 76,373 As of March 31, 2019, the Company has one operating lease that has not yet commenced with an undiscounted minimum payment commitment totaling $1.5 million. The lease is expected to commence in May 2020. |
Borrowings
Borrowings | 3 Months Ended |
Mar. 31, 2019 | |
Borrowings | |
Borrowings | Note 11—Borrowings The borrowing facilities described throughout this Note 11 contain various covenants, including financial covenants governing the Company’s net worth, debt-to-equity ratio, profitability and liquidity. Management believes that the Company was in compliance with these covenants as of March 31, 2019. 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. Eligible mortgage loans and participation certificates backed by MSRs are sold at advance rates based on the fair value (as determined by the lender) of the assets sold. Interest is charged at a rate based on the lender’s overnight cost of funds rate or on LIBOR depending on the terms of the respective agreements. Mortgage loans and MSRs financed under these agreements may be re-pledged by the lenders. Assets sold under agreements to repurchase are summarized below: Quarter ended March 31, 2019 2018 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ 1,437,957 $ 1,643,443 Weighted average interest rate (1) 4.47 % 3.59 % Total interest expense (2) $ 8,635 $ 6,732 Maximum daily amount outstanding $ 2,152,588 $ 2,380,121 March 31, December 31, 2019 2018 (dollars in thousands) Carrying value: Unpaid principal balance $ 2,152,588 $ 1,935,200 Unamortized debt issuance premiums and costs, net (650) (1,341) $ 2,151,938 $ 1,933,859 Weighted average interest rate 4.35 % 4.22 % Available borrowing capacity (3): Committed $ 625,413 $ 695,767 Uncommitted 2,206,999 2,354,033 $ 2,832,412 $ 3,049,800 Fair value of assets securing repurchase agreements: Mortgage loans held for sale $ 2,065,151 $ 1,923,857 Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 125,929 $ 131,025 Servicing advances (4) $ 147,435 $ 162,895 Mortgage servicing rights (4) $ 2,574,228 $ 2,807,333 Margin deposits placed with counterparties (5) $ 3,750 $ 3,750 (1) Excludes the effect of amortization of net premiums totaling $7.4 million and $8.0 million for the quarters ended March 31, 2019 and 2018, respectively. (2) In 2017, PFSI entered into 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 quarters ended March 31, 2019 and 2018, the Company included $9.3 million and $10.2 million, respectively, of such incentives as reductions in Interest expense . The master repurchase agreement expires on August 21, 2019, unless terminated earlier at the option of the lender. The Company expects that it will cease to accrue the incentives under the repurchase agreement in the second quarter of 2019. (3) The amount the Company is able to borrow under asset repurchase agreements is tied to the fair value of unencumbered assets eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the assets financed. (4) Beneficial interests in the Ginnie Mae MSRs and servicing advances are pledged to the Issuer Trust and together serve as the collateral backing the VFN, 2018-GT1 Notes and 2018-GT2 Notes described in Notes Payable . The VFN financing is included in Assets sold under agreements to repurchase and 2018-GT1 Notes and 2018-GT2 Notes are included in Notes payable on the Company's consolidated balance sheet. (5) Margin deposits are included in Other assets on the Company’s consolidated balance sheet. Following is a summary of maturities of outstanding advances under repurchase agreements by maturity date: Remaining maturity at March 31, 2019 Balance (dollars in thousands) Within 30 days $ 518,972 Over 30 to 90 days 1,334,389 Over 90 to 180 days 44,227 Over one to two years 255,000 Total assets sold under agreements to repurchase $ 2,152,588 Weighted average maturity (in months) 2.5 The amount at risk (the fair value of the assets pledged plus the related margin deposit, less the amount advanced by the counterparty and interest payable) relating to the Company’s assets sold under agreements to repurchase is summarized by counterparty below as of March 31, 2019: Weighted average maturity of advances under repurchase Counterparty Amount at risk agreement Facility maturity (in thousands) Credit Suisse First Boston Mortgage Capital LLC $ 1,165,339 April 26, 2020 April 26, 2020 Credit Suisse First Boston Mortgage Capital LLC $ 26,541 April 16, 2019 April 26, 2019 Deutsche Bank AG $ 90,911 June 16, 2019 August 21, 2019 BNP Paribas $ 16,691 June 19, 2019 August 2, 2019 Bank of America, N.A. $ 14,405 May 4, 2019 October 28, 2019 Morgan Stanley Bank, N.A. $ 5,237 June 15, 2019 August 23, 2019 Citibank, N.A. $ 4,828 June 7, 2019 June 7, 2019 JP Morgan Chase Bank, N.A. $ 4,360 May 31, 2019 October 11, 2019 Royal Bank of Canada $ 2,631 June 28, 2019 June 28, 2019 The Company is subject to margin calls during the period the agreements are outstanding and therefore may be required to repay a portion of the borrowings before the respective agreements mature if the fair value (as determined by the applicable lender) of the assets securing those agreements decreases. Mortgage Loan Participation Purchase and Sale Agreements Certain of the borrowing facilities secured by mortgage loans held for sale are in the form of mortgage loan participation purchase and sale agreements. Participation certificates, each of which represents an undivided beneficial ownership interest in mortgage loans that have been pooled with Fannie Mae, Freddie Mac or Ginnie Mae, are sold to a lender pending the securitization of the mortgage loans and sale of the resulting securities. A commitment to sell the securities resulting from the pending securitization between the Company and a non-affiliate is also assigned to the lender at the time a participation certificate is sold. The purchase price paid by the lender for each participation certificate is based on the trade price of the security, plus an amount of interest expected to accrue on the security to its anticipated delivery date, minus a present value adjustment, any related hedging costs and a holdback amount that is based on a percentage of the purchase price. The holdback amount is not required to be paid to the Company until the settlement of the security and its delivery to the lender. The mortgage loan participation purchase and sale agreements are summarized below: Quarter ended March 31, 2019 2018 (dollars in thousands) Average balance $ 236,667 $ 215,614 Weighted average interest rate (1) 3.68 % 2.89 % Total interest expense $ 2,311 $ 1,727 Maximum daily amount outstanding $ 548,038 $ 527,706 (1) Excludes the effect of amortization of facility fees totaling $135,000 and $171,000 for the quarters ended March 31, 2019 and 2018, respectively. March 31, December 31, 2019 2018 (dollars in thousands) Carrying value: Unpaid principal balance $ 548,038 $ 532,466 Unamortized debt issuance costs (159) (215) $ 547,879 $ 532,251 Weighted average interest rate 3.75 % 3.77 % Fair value of mortgage loans pledged to secure mortgage loan participation purchase and sale agreements $ 574,518 $ 555,001 Notes Payable Term Notes On February 28, 2018, the Company, through the Issuer Trust, issued an aggregate principal amount of $650 million in Term Notes (the “2018-GT1 Notes”) to qualified institutional buyers under Rule 144A of the Securities Act. The 2018-GT1 Notes bear interest at a rate equal to one-month LIBOR plus 2.85% per annum. 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). Concurrent with issuance of the 2018-GT1 Notes, the Company also redeemed certain notes previously issued by the Issuer Trust. As a result, the Company recognized unamortized debt issuance costs of $3.4 million in Interest Expense during the quarter ended March 31, 2018. On August 10, 2018, the Company, through the Issuer Trust, issued an aggregate principal amount of $650 million in Term Notes (the “2018-GT2 Notes”) to qualified institutional buyers under Rule 144A of the Securities Act. The 2018-GT2 Notes bear interest at a rate equal to one-month LIBOR plus 2.65% per annum. The 2018-GT2 Notes will mature on August 25, 2023 or, if extended pursuant to the terms of the related indenture supplement, August 25, 2025 (unless earlier redeemed in accordance with their terms). Concurrent with the issuance of the 2018-GT2 Notes, the Company also redeemed certain notes previously issued by the Issuer Trust. As a result, the Company recognized unamortized debt issuance costs of $4.6 million in Interest Expense during the quarter ended September 31, 2018. All of the Term Notes rank pari passu with each other and with the VFN issued by the 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. Corporate Revolving Line of Credit On November 1, 2018, the Company, through its subsidiary, PennyMac (the “Borrower”), entered into amendments (the "Amendments") to that certain (i) amended and restated credit agreement, dated as of November 18, 2016, by and among the Borrower, the lenders that are parties thereto and Credit Suisse AG, as administrative agent and collateral agent, and Credit Suisse Securities (USA) LLC, as sole bookrunner and sole lead arranger (the “Credit Agreement”); and (ii) amended and restated collateral and guaranty agreement, dated as of November 18, 2016, by and among the Borrower, as grantor, Credit Suisse AG, Cayman Islands Branch (“CS Cayman”), as collateral agent, and PNMAC Holdings, Inc. (formerly known as PennyMac Financial Services, Inc.) and certain of its subsidiaries, PCM, PLS and PNMAC Opportunity Fund Associates, LLC (“Associates”), as guarantors and grantors (“the “Guaranty”). Pursuant to the Credit Agreement, the lenders have agreed to make revolving loans to the Borrower in an amount not to exceed $150 million. Interest on the loans shall accrue at a per annum rate of interest equal to, at the election of the Borrower, 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 shall accrue at a higher default rate. The proceeds of the loans are to be used solely for working capital and general corporate purposes of the Borrower and its subsidiaries. The primary purposes of the Amendments were to (i) extend the maturity date of the Credit Agreement to October 31, 2019; (ii) name the Company as an additional guarantor under the Credit Agreement; and (iii) release Associates from its obligations as a guarantor under the Credit Agreement. Accordingly, the obligations of the Borrower under the Credit Agreement are now guaranteed by PFSI, PNMAC Holdings, Inc., PCM and PLS, and secured by a grant by each of the referenced grantors of its respective right, title and interest in and to limited and otherwise unencumbered (other than specified permitted encumbrances) specified contract rights, specified deposit accounts, all documents and instruments related to such specified contract rights and specified deposit accounts, and any and all proceeds and products thereof. All other terms and conditions of the Credit Agreement and Guaranty remain the same in all material respects. MSR Note Payable On February 1, 2018, the Company issued a note payable in favor of CS Cayman that is secured by Fannie Mae and Freddie Mac MSRs. Interest is charged at a rate based on LIBOR plus the applicable contract margin. The facility expires on February 1, 2020. The maximum amount that the Company may borrow under the note payable is $400 million, less any amount outstanding under the agreement to repurchase pursuant to which the Company finances the VFN. The Company did not borrow under this note payable during the quarters ended March 31, 2019 or 2018. Notes payable are summarized below: Quarter ended March 31, 2019 2018 (dollars in thousands) Average balance $ 1,300,000 $ 979,868 Weighted average interest rate (1) 5.25 % 5.63 % Total interest expense $ 17,995 $ 18,222 Maximum daily amount outstanding $ 1,300,000 $ 1,150,000 (1) Excluding the effect of amortization of debt issuance costs totaling $0.7 million and $4.2 million for the quarters ended March 31, 2019 and 2018, respectively. Also excludes the effect of non-utilization fees of $196,000 and $192,000 for the quarters ended March 31, 2019 and 2018, respectively. March 31, December 31, 2019 2018 (dollars in thousands) Carrying value: Unpaid principal balance $ 1,300,000 $ 1,300,000 Unamortized debt issuance costs (7,264) (7,709) $ 1,292,736 $ 1,292,291 Weighted average interest rate 5.24 % 5.07 % Unused amount $ 150,000 $ 150,000 Assets pledged to secure notes payable: Cash $ 93,372 $ 108,174 Servicing advances (1) $ 147,435 $ 162,895 Mortgage servicing rights (1) $ 2,675,704 $ 2,807,333 (1) Beneficial interests in the Ginnie Mae MSRs and servicing advances are pledged to the Issuer Trust and together serve as the collateral backing the VFN, 2018-GT1 Notes and 2018-GT2 Notes. The VFN financing is included in Assets sold under agreements to repurchase and 2018-GT1 Notes and 2018-GT2 Notes are included in Notes payable on the Company's consolidated balance sheet. Obligations Under Capital Lease In December 2015, the Company entered into a capital lease transaction secured by certain fixed assets and capitalized software. The capital lease matures on March 23, 2020 and bears interest at a spread over one-month LIBOR. Obligations under capital lease are summarized below: Quarter ended March 31, 2019 2018 (dollars in thousands) Average balance $ 5,848 $ 18,703 Weighted average interest rate 4.50 % 3.64 % Total interest expense $ 66 $ 170 Maximum daily amount outstanding $ 6,605 $ 20,971 March 31, December 31, 2019 2018 (dollars in thousands) Unpaid principal balance $ 5,091 $ 6,605 Weighted average interest rate 4.48 % 4.46 % Assets pledged to secure obligations under capital lease: Furniture, fixtures and equipment $ 15,254 $ 16,281 Capitalized software $ 940 $ 1,017 Excess Servicing Spread Financing at Fair Value In conjunction with its 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 a fixed base servicing fee and all ancillary income associated with servicing the loans. 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: Quarter ended March 31, 2019 2018 (in thousands) Balance at beginning of quarter $ 216,110 $ 236,534 Issuances of excess servicing spread to PennyMac Mortgage Investment Trust pursuant to recapture agreement 508 904 Accrual of interest 3,066 3,934 Repayment (10,552) (12,291) Change in fair value (4,051) 6,921 Balance at end of quarter $ 205,081 $ 236,002 |
Liability for Losses Under Repr
Liability for Losses Under Representations and Warranties | 3 Months Ended |
Mar. 31, 2019 | |
Liability for Losses Under Representations and Warranties | |
Liability for Losses Under Representations and Warranties | Note 12—Liability for Losses Under Representations and Warranties Following is a summary of the Company’s liability for losses under representations and warranties: Quarter ended March 31, 2019 2018 (in thousands) Balance at beginning of quarter $ 21,155 $ 20,053 Provision for losses on mortgage loans sold: Resulting from sales of mortgage loans 1,067 1,492 Reduction in liability due to change in estimate (4,210) (1,113) Incurred losses, net (30) (3) Balance at end of quarter $ 17,982 $ 20,429 Unpaid principal balance of mortgage loans subject to representations and warranties at end of quarter $ 133,698,782 $ 127,056,220 |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2019 | |
Income Taxes | |
Income Taxes | Note 13—Income Taxes The Company’s effective income tax rates were 23.5% and 8.3% for the quarters ended March 31, 2019 and 2018, respectively. Beginning November 1, 2018, the Company’s income subject to income tax includes the portion of its income formerly attributed to the noncontrolling interest, which prior to the Reorganization was not subject to income tax at the Company level. As a result, the Company reported a higher effective tax rate for the quarter ended March 31, 2019 than for the quarter ended March 31, 2018. |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2019 | |
Commitments and Contingencies. | |
Commitments and Contingencies | Note 14—Commitments and Contingencies Litigation The Company is a party to legal proceedings and potential claims arising in the ordinary course of its business. The amount, if any, of ultimate liability with respect to such matters cannot be determined, but despite the inherent uncertainties of litigation, management believes that the ultimate disposition of such proceedings and exposure will not have a material adverse effect on the financial condition, results of operations, or cash flows of 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, and the FHA and is subject to the requirements of the Agencies to which it sells loans and for which it performs loan servicing activities. As a result, the Company may become involved in information-gathering requests, reviews, investigations and proceedings (both formal and informal) by such various federal, state and local regulatory bodies. Commitments to Purchase and Fund Mortgage Loans The Company’s commitments to purchase and fund mortgage loans totaled $3.8 billion as of March 31, 2019. |
Stockholders' Equity
Stockholders' Equity | 3 Months Ended |
Mar. 31, 2019 | |
Stockholders' Equity. | |
Stockholders' Equity | Note 15—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 common stock. The Company has repurchased and cancelled $13.9 million of shares of common stock under the stock repurchase program from its inception through March 31, 2019. |
Noncontrolling Interest
Noncontrolling Interest | 3 Months Ended |
Mar. 31, 2019 | |
Noncontrolling Interest. | |
Noncontrolling Interest | Note 16—Noncontrolling Interest As a result of the Reorganization, noncontrolling interest unitholders contributed their Class A units of PNMAC in exchange for shares of the Company’s common stock without any cash consideration on a one-for-one basis. Consequently, the noncontrolling interest was reclassified to the Company’s paid-in capital accounts, net of deferred income taxes attributable to the noncontrolling interests. Net income attributable to the Company’s common stockholders and the effects of changes in noncontrolling ownership interest in PennyMac are summarized below: Quarter ended March 31, 2018 (in thousands) Net income attributable to PennyMac Financial Services, Inc. common stockholders $ 16,619 Increase in the Company's paid-in capital accounts for exchanges of Class A units of Private National Mortgage Acceptance Company, LLC to Class A common stock of PennyMac Financial Services, Inc. $ 14,859 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 by noncontrolling interest unitholders and issued as equity compensation 748 |
Net Gains on Mortgage Loans Hel
Net Gains on Mortgage Loans Held for Sale | 3 Months Ended |
Mar. 31, 2019 | |
Net Gains on Mortgage Loans Held for Sale | |
Net Gains on Mortgage Loans Held for Sale | Note 17—Net Gains on Mortgage Loans Held for Sale Net gains on mortgage loans held for sale at fair value is summarized below: Quarter ended March 31, 2019 2018 (in thousands) From non-affiliates: Cash loss: Mortgage loans $ (41,242) $ (181,801) Hedging activities (8,927) 104,396 (50,169) (77,405) Non-cash gain: Mortgage servicing rights and mortgage servicing liabilities 114,957 141,873 Provision for losses relating to representations and warranties: Pursuant to mortgage loan sales (1,067) (1,492) Reduction in liability due to change in estimate 4,210 1,113 Change in fair value relating to mortgage loans and derivatives held at quarter end: Interest rate lock commitments 16,727 (7,376) Mortgage loans (164) 18,964 Hedging derivatives (25,741) (16,649) 58,753 59,028 From PennyMac Mortgage Investment Trust 26,023 12,386 $ 84,776 $ 71,414 |
Net Interest Income
Net Interest Income | 3 Months Ended |
Mar. 31, 2019 | |
Net Interest Income | |
Net Interest Income | Note 18—Net Interest Income Net interest income is summarized below: Quarter ended March 31, 2019 2018 (in thousands) Interest income: From non-affiliates: Cash and short-term investments $ 1,933 $ 608 Mortgage loans held for sale at fair value 31,343 26,607 Placement fees relating to custodial funds 23,261 13,424 56,537 40,639 From PennyMac Mortgage Investment Trust—Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell 1,796 1,976 58,333 42,615 Interest expense: To non-affiliates: Assets sold under agreements to repurchase (1) 8,635 6,732 Mortgage loan participation purchase and sale agreements 2,311 1,727 Notes payable 17,995 18,222 Obligations under capital lease 66 170 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 4,311 4,830 Interest on mortgage loan impound deposits 1,159 1,130 34,477 32,811 To PennyMac Mortgage Investment Trust—Excess servicing spread financing at fair value 3,066 3,934 37,543 36,745 $ 20,790 $ 5,870 (1) In 2017, the Company entered into 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 quarters ended March 31, 2019 and 2018, the Company included $9.3 million and $10.2 million, respectively, of such incentives as reductions in Interest expense . The master repurchase agreement expires on August 21, 2019, unless terminated earlier at the option of the lender. The Company expects that it will cease to accrue the financing incentives under the repurchase agreement in the second quarter of 2019. |
Stock-based Compensation
Stock-based Compensation | 3 Months Ended |
Mar. 31, 2019 | |
Stock-based Compensation | |
Stock-based Compensation | Note 19—Stock-based Compensation As of March 31, 2019, the Company had one stock-based compensation plan. Following is a summary of the stock-based compensation activity: Quarter ended March 31, 2019 2018 (in thousands) Grants: Units: Performance-based RSUs 665 524 Stock options 344 674 Time-based RSUs 330 316 Grant date fair value: Performance-based RSUs $ 15,253 $ 12,791 Stock options 2,965 6,147 Time-based RSUs 7,545 7,703 Total $ 25,763 $ 26,641 Vestings and exercises: Performance-based RSUs vested 648 — Stock options exercised 89 196 Time-based RSUs vested 291 234 Compensation expense $ 4,531 $ 6,171 |
Earnings Per Share of Common St
Earnings Per Share of Common Stock | 3 Months Ended |
Mar. 31, 2019 | |
Earnings Per Share of Common Stock | |
Earnings Per Share of Common Stock | Note 20—Earnings Per Share of Common Stock Basic earnings per share of common stock is determined using net income attributable to the Company’s common stockholders divided by the weighted average number of shares of common stock outstanding during the quarter. 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 based on the outstanding stock-based compensation awards. As a result of the Reorganization, all Class A units of PNMAC converted into shares of the Company’s common stock on a one-for-one basis. The following table summarizes the basic and diluted earnings per share calculations: Quarter ended March 31, 2019 2018 (in thousands, except per share amounts) Basic earnings per share of common stock: Net income attributable to common stockholders $ 46,135 $ 16,619 Weighted average shares of common stock outstanding 77,653 23,832 Basic earnings per share of common stock $ 0.59 $ 0.70 Diluted earnings per share of common stock: Net income attributable to common stockholders $ 46,135 $ 16,619 Net income attributable to dilutive stock-based compensation units — 1,400 Net income attributable to PennyMac Class A units exchangeable to Class A common stock, net of income taxes — 35,449 Net income attributable to common stockholders for diluted earnings per share $ 46,135 $ 53,468 Weighted average shares of common stock outstanding applicable to basic earnings per share 77,653 23,832 Effect of dilutive shares: Common shares issuable under stock-based compensation plan 1,633 2,947 PennyMac Class A units exchangeable to Class A common stock — 52,682 Weighted average shares of common stock applicable to diluted earnings per share 79,286 79,461 Diluted earnings per share of common stock $ 0.58 $ 0.67 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 performance-based restricted share units (“RSUs”), time-based RSUs, and stock options excluded from the calculation of diluted earnings per share: Quarter ended March 31, 2019 2018 (in thousands except for weighted-average exercise price) Performance-based RSUs (1) 1,279 134 Time-based RSUs 61 — Stock options (2) 706 172 Total anti-dilutive stock-based compensation 2,046 306 Weighted average exercise price of anti-dilutive stock options (2) $ 24.26 $ 24.40 (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 for the quarter. |
Supplemental Cash Flow Informat
Supplemental Cash Flow Information | 3 Months Ended |
Mar. 31, 2019 | |
Supplemental Cash Flow Information | |
Supplemental Cash Flow Information | Note 21—Supplemental Cash Flow Information Quarter ended March 31, 2019 2018 (in thousands) Cash paid for interest $ 33,952 $ 40,227 Cash paid for income taxes, net $ 66 $ 2 Non-cash investing activity: Mortgage servicing rights resulting from mortgage loan sales $ 115,751 $ 143,910 Mortgage servicing liabilities resulting from mortgage loan sales $ 794 $ 2,037 Unsettled portion of MSR acquisitions $ 16,291 $ 62 Operating right-of-use assets recognized upon the adoption of ASU 2016-02 $ 58,598 $ — Non-cash financing activity: Issuance of Excess servicing spread payable to PennyMac Mortgage Investment Trust pursuant to a recapture agreement $ 508 $ 904 Issuance of common stock and Class A common stock in settlement of director fees $ 86 $ 79 |
Regulatory Capital and Liquidit
Regulatory Capital and Liquidity Requirements | 3 Months Ended |
Mar. 31, 2019 | |
Regulatory Capital and Liquidity Requirements | |
Regulatory Capital and Liquidity Requirements | Note 22—Regulatory Capital and Liquidity Requirements The Company, through PLS and PennyMac, is required to maintain specified levels of capital and liquidity to remain a seller/servicer in good standing with the Agencies. Such capital and liquid asset 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 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 600 basis points. 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: March 31, 2019 December 31, 2018 Agency–company subject to requirement Actual (1) Requirement (1) Actual (1) Requirement (1) (dollars in thousands) Capital Fannie Mae & Freddie Mac – PLS $ 1,833,819 $ 561,020 $ 1,788,430 $ 514,089 Ginnie Mae – PLS $ 1,543,756 $ 819,028 $ 1,535,826 $ 733,342 Ginnie Mae – PennyMac $ 1,802,129 $ 900,931 $ 1,786,430 $ 806,676 HUD – PLS $ 1,543,756 $ 2,500 $ 1,535,826 $ 2,500 Liquidity Fannie Mae & Freddie Mac – PLS $ 287,089 $ 77,292 $ 271,802 $ 70,775 Ginnie Mae – PLS $ 287,089 $ 208,693 $ 271,802 $ 189,592 Tangible net worth / Total assets ratio Fannie Mae & Freddie Mac – PLS 20 % 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 | 3 Months Ended |
Mar. 31, 2019 | |
Segments | |
Segments | Note 23—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 mortgage loans, execution and management of early buyout loan transactions and servicing of mortgage loans sourced and managed by the investment management segment for PMT, 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 and managing the acquired assets and correspondent production activities for PMT. Financial performance and results by segment are as follows: Quarter ended March 31, 2019 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net mortgage loan servicing fees $ — $ 80,571 $ 80,571 $ — $ 80,571 Net gains on mortgage loans held for sale at fair value 66,721 18,055 84,776 — 84,776 Mortgage loan origination fees 23,930 — 23,930 — 23,930 Fulfillment fees from PennyMac Mortgage Investment Trust 27,574 — 27,574 — 27,574 Net interest income (expense): Interest income 14,369 43,964 58,333 — 58,333 Interest expense 3,915 33,621 37,536 7 37,543 10,454 10,343 20,797 (7) 20,790 Management fees — — — 7,248 7,248 Other 488 765 1,253 1,563 2,816 Total net revenue 129,167 109,734 238,901 8,804 247,705 Expenses 82,161 98,571 180,732 6,682 187,414 Income before provision for income taxes $ 47,006 $ 11,163 $ 58,169 $ 2,122 $ 60,291 Segment assets at quarter end $ 2,501,468 $ 5,299,813 $ 7,801,281 $ 17,719 $ 7,819,000 (1) All revenues are from external customers. Quarter ended March 31, 2018 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net mortgage loan servicing fees $ — $ 116,789 $ 116,789 $ — $ 116,789 Net gains on mortgage loans held for sale at fair value 36,198 35,216 71,414 — 71,414 Mortgage loan origination fees 24,563 — 24,563 — 24,563 Fulfillment fees from PennyMac Mortgage Investment Trust 11,944 — 11,944 — 11,944 Net interest income (expense): Interest income 14,248 28,367 42,615 — 42,615 Interest expense 2,102 34,627 36,729 16 36,745 12,146 (6,260) 5,886 (16) 5,870 Management fees — — — 5,775 5,775 Carried Interest from Investment Funds — — — (180) (180) Other 316 395 711 1,315 2,026 Total net revenue 85,167 146,140 231,307 6,894 238,201 Expenses 67,997 91,265 159,262 5,943 165,205 Income before provision for income taxes $ 17,170 $ 54,875 $ 72,045 $ 951 $ 72,996 Segment assets at quarter end (2) $ 2,251,354 $ 4,630,946 $ 6,882,300 $ 11,877 $ 6,894,177 (1) All revenues are from external customers. (2) Excludes parent Company assets, which consist of $8.7 million of cash. |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2019 | |
Subsequent Events | |
Subsequent Events | Note 24—Subsequent Events Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period, there have been no material events that would require recognition in our consolidated financial statements or disclosure in the notes to the consolidated financial statements. |
Transactions with Affiliates (T
Transactions with Affiliates (Tables) - PMT | 3 Months Ended |
Mar. 31, 2019 | |
Transactions with Affiliates | |
Summary of lending activity between the Company and affiliate | Quarter ended March 31, 2019 2018 (in thousands) Net gains (loss) on mortgage loans held for sale at fair value: Net gains on mortgage loans held for sale to PMT $ 27,146 $ 13,811 Mortgage servicing rights and excess servicing spread recapture incurred (1,123) (1,425) $ 26,023 $ 12,386 Sale of mortgage loans held for sale to PMT $ 884,510 $ 781,326 Fulfillment fee revenue $ 27,574 $ 11,944 Unpaid principal balance of mortgage loans fulfilled for PMT subject to fulfillment fees $ 8,135,552 $ 4,225,631 Sourcing fees paid to PMT $ 1,994 $ 2,641 Unpaid principal balance of mortgage loans purchased from PMT $ 6,647,338 $ 8,847,873 Tax service fees earned from PMT included in Mortgage loan origination fees $ 2,243 $ 1,208 |
Summary of mortgage loan servicing fees earned from PMT | Quarter ended March 31, 2019 2018 (in thousands) Mortgage loans acquired for sale at fair value $ 239 $ 178 Mortgage loans at fair value 463 3,085 Mortgage servicing rights 9,868 7,756 $ 10,570 $ 11,019 Property management fees received from PMT included in Other income $ 123 $ 99 |
Summary of management fees earned | Quarter ended March 31, 2019 2018 (in thousands) Base management $ 6,109 $ 5,696 Performance incentive 1,139 — $ 7,248 $ 5,696 |
Summary of reimbursement of expenses | Quarter ended March 31, 2019 2018 (in thousands) Reimbursement of: Common overhead incurred by the Company included in Other revenue $ 1,236 $ 1,001 Compensation included in Other revenue 120 120 Expenses incurred on PMT's behalf, net 570 573 $ 1,926 $ 1,694 Payments and settlements during the quarter (1) $ 15,189 $ 7,658 (1) Payments and settlements include payments for management fees and correspondent production activities itemized in the preceding tables and netting settlements made pursuant to master netting agreements between the Company and PMT. |
Summary of investing activity between the Company and affiliate | Quarter ended March 31, 2019 2018 (in thousands) Interest income relating to Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 1,796 $ 1,976 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Dividends received $ 36 $ 35 Change in fair value of investment 156 147 $ 192 $ 182 March 31, December 31, 2019 2018 (in thousands) Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 125,929 $ 131,025 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Fair value $ 1,553 $ 1,397 Number of shares 75 75 |
Summary of financing activity between the Company and affiliate | Quarter ended March 31, 2019 2018 (in thousands) Excess servicing spread financing: Issuance pursuant to recapture agreement $ 508 $ 904 Repayment $ 10,552 $ 12,291 Gain (loss) recognized $ 4,051 $ (6,921) Interest expense $ 3,066 $ 3,934 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 $ 489 $ 830 March 31, December 31, 2019 2018 (in thousands) Excess servicing spread financing at fair value $ 205,081 $ 216,110 |
Summary of amounts due from and payable to affiliate | March 31, December 31, 2019 2018 (in thousands) Receivable from PMT: Fulfillment fees $ 11,744 $ 10,006 Management fees 7,238 6,559 Servicing fees 4,350 4,841 Allocated expenses and expenses incurred on PMT's behalf 3,907 9,066 Correspondent production fees 1,852 2,071 Conditional Reimbursement 726 801 Interest on assets purchased under agreements to resell 134 120 $ 29,951 $ 33,464 Payable to PMT: Deposits made by PMT to fund servicing advances $ 73,149 $ 100,554 Mortgage servicing rights recapture payable 160 179 Other 3,185 3,898 $ 76,494 $ 104,631 |
Loan Sales and Servicing Acti_2
Loan Sales and Servicing Activities (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Loan Sales and Servicing Activities | |
Summary of cash flows between the Company and transferees upon sale of mortgage loans in transactions | Quarter ended March 31, 2019 2018 (in thousands) Cash flows: Sales proceeds $ 8,536,430 $ 11,103,785 Servicing fees received (1) $ 137,148 $ 113,091 Net servicing recoveries $ (24,176) $ (10,637) (1) Net of guarantee fees paid to the Agencies. |
Summary of sale of loans between the Company and transferees upon sale of mortgage loans in transactions | March 31, December 31, 2019 2018 (in thousands) Unpaid principal balance of mortgage loans outstanding $ 148,795,055 $ 145,224,596 Delinquencies: 30-89 days $ 5,489,000 $ 6,222,864 90 days or more: Not in foreclosure $ 2,085,034 $ 2,208,083 In foreclosure $ 710,297 $ 720,894 Foreclosed $ 24,875 $ 24,243 Bankruptcy $ 1,053,399 $ 970,329 |
Summary of mortgage servicing portfolio | March 31, 2019 Contract Total Servicing servicing and mortgage rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 148,795,055 $ — $ 148,795,055 Purchased 72,039,709 — 72,039,709 220,834,764 — 220,834,764 PennyMac Mortgage Investment Trust — 101,287,428 101,287,428 Mortgage loans held for sale 2,573,121 — 2,573,121 $ 223,407,885 $ 101,287,428 $ 324,695,313 Subserviced for the Company (1) $ 16,270,233 $ — $ 16,270,233 Delinquent mortgage loans: 30 days $ 6,244,534 $ 479,185 $ 6,723,719 60 days 1,781,121 111,089 1,892,210 90 days or more: Not in foreclosure 3,100,186 223,231 3,323,417 In foreclosure 1,094,892 115,637 1,210,529 Foreclosed 35,354 157,762 193,116 $ 12,256,087 $ 1,086,904 $ 13,342,991 Bankruptcy $ 1,521,842 $ 118,609 $ 1,640,451 Custodial funds managed by the Company (2) $ 3,851,327 $ 1,384,404 $ 5,235,731 (1) Certain of the mortgage loans for which the Company has purchased the MSRs are subserviced on the Company’s behalf by other mortgage loan servicers on an interim basis when servicing of the loans has not yet been transferred to the Company’s loan servicing platform. (2) Custodial funds include cash accounts holding funds on behalf of borrowers and investors relating to mortgage loans serviced under servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns placement fees on certain of the custodial funds it manages on behalf of the mortgage loans’ borrowers and investors, which are included in Interest income in the Company’s consolidated statements of income. December 31, 2018 Contract Total Servicing servicing and mortgage rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 145,224,596 $ — $ 145,224,596 Purchased 56,990,486 — 56,990,486 202,215,082 — 202,215,082 PennyMac Mortgage Investment Trust — 94,658,154 94,658,154 Mortgage loans held for sale 2,420,636 — 2,420,636 $ 204,635,718 $ 94,658,154 $ 299,293,872 Subserviced for the Company (1) $ 414,219 $ — $ 414,219 Delinquent mortgage loans: 30 days $ 6,677,179 $ 525,989 $ 7,203,168 60 days 1,983,381 113,238 2,096,619 90 days or more: Not in foreclosure 3,102,492 217,115 3,319,607 In foreclosure 1,027,493 127,025 1,154,518 Foreclosed 33,493 176,377 209,870 $ 12,824,038 $ 1,159,744 $ 13,983,782 Bankruptcy $ 1,415,106 $ 107,083 $ 1,522,189 Custodial funds managed by the Company (2) $ 3,033,658 $ 970,328 $ 4,003,986 (1) Certain of the mortgage loans for which the Company has purchased the MSRs are subserviced on the Company’s behalf by other mortgage loan servicers on an interim basis when servicing of the loans has not yet been transferred to the Company’s loan servicing platform. (2) Custodial funds include cash accounts holding funds on behalf of borrowers and investors relating to mortgage loans serviced under servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns placement fees on certain of the custodial funds it manages on behalf of the mortgage loans’ borrowers and investors, which are included in Interest income in the Company’s consolidated statements of income. |
Summary of the geographical distribution of loans for the top five and all other states as measured by the total unpaid principal balance (UPB) | March 31, December 31, State 2019 2018 (in thousands) California $ 54,790,956 $ 51,377,441 Florida 25,043,416 22,650,926 Texas 24,957,664 23,648,042 Virginia 19,845,177 19,011,950 Maryland 14,748,291 13,774,011 All other states 185,309,809 168,831,502 $ 324,695,313 $ 299,293,872 |
Fair Value (Tables)
Fair Value (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Fair Value | |
Summary of financial statement items measured at estimated fair value on a recurring basis | March 31, 2019 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 149,372 $ — $ — $ 149,372 Mortgage loans held for sale at fair value — 2,213,396 455,533 2,668,929 Derivative assets: Interest rate lock commitments — — 68,248 68,248 Repurchase agreement derivatives — — 24,632 24,632 Forward purchase contracts — 61,932 — 61,932 Forward sales contracts — 1,215 — 1,215 MBS put options — 6,287 — 6,287 MBS call options — 6,251 — 6,251 Put options on interest rate futures purchase contracts 2,639 — — 2,639 Call options on interest rate futures purchase contracts 14,078 — — 14,078 Total derivative assets before netting 16,717 75,685 92,880 185,282 Netting — — — (64,129) Total derivative assets 16,717 75,685 92,880 121,153 Investment in PennyMac Mortgage Investment Trust 1,553 — — 1,553 Mortgage servicing rights at fair value — — 2,905,090 2,905,090 $ 167,642 $ 2,289,081 $ 3,453,503 $ 5,846,097 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value $ — $ — $ 205,081 $ 205,081 Derivative liabilities: Interest rate lock commitments — — 2,183 2,183 Forward purchase contracts — 3,170 — 3,170 Forward sales contracts — 25,962 — 25,962 Total derivative liabilities before netting — 29,132 2,183 31,315 Netting — — — (13,477) Total derivative liabilities — 29,132 2,183 17,838 Mortgage servicing liabilities at fair value — — 7,844 7,844 $ — $ 29,132 $ 215,108 $ 230,763 December 31, 2018 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 117,824 $ — $ — $ 117,824 Mortgage loans held for sale at fair value — 2,261,639 260,008 2,521,647 Derivative assets: Interest rate lock commitments — — 50,507 50,507 Repurchase agreement derivatives — — 26,770 26,770 Forward purchase contracts — 35,916 — 35,916 Forward sales contracts — 437 — 437 MBS put options — 720 — 720 MBS call options — 2,135 — 2,135 Put options on interest rate futures purchase contracts 866 — — 866 Call options on interest rate futures purchase contracts 5,965 — — 5,965 Total derivative assets before netting 6,831 39,208 77,277 123,316 Netting — — — (26,969) Total derivative assets 6,831 39,208 77,277 96,347 Investment in PennyMac Mortgage Investment Trust 1,397 — — 1,397 Mortgage servicing rights at fair value — — 2,820,612 2,820,612 $ 126,052 $ 2,300,847 $ 3,157,897 $ 5,557,827 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value $ — $ — $ 216,110 $ 216,110 Derivative liabilities: Interest rate lock commitments — — 1,169 1,169 Forward purchase contracts — 215 — 215 Forward sales contracts — 26,762 — 26,762 Total derivative liabilities before netting — 26,977 1,169 28,146 Netting — — — (25,082) Total derivative liabilities — 26,977 1,169 3,064 Mortgage servicing liabilities at fair value — — 8,681 8,681 $ — $ 26,977 $ 225,960 $ 227,855 |
Summary of roll forward of items measured using Level 3 inputs on a recurring basis | Quarter ended March 31, 2019 Mortgage Net interest Repurchase Mortgage loans held rate lock agreement servicing for sale commitments (1) derivatives rights Total (in thousands) Assets: Balance, December 31, 2018 $ 260,008 $ 49,338 $ 26,770 $ 2,820,612 $ 3,156,728 Purchases and issuances, net 784,262 56,983 9,855 227,772 1,078,872 Sales and repayments (176,302) — (11,436) — (187,738) Mortgage servicing rights resulting from mortgage loan sales — — — 115,751 115,751 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (6,091) — — — (6,091) Other factors — 59,978 (557) (259,045) (199,624) (6,091) 59,978 (557) (259,045) (205,715) Transfers from Level 3 to Level 2 (405,163) — — — (405,163) Transfers to real estate acquired in settlement of loans (1,181) — — — (1,181) Transfers of interest rate lock commitments to mortgage loans held for sale — (100,234) — — (100,234) Balance, March 31, 2019 $ 455,533 $ 66,065 $ 24,632 $ 2,905,090 $ 3,451,320 Changes in fair value recognized during the quarter relating to assets still held at March 31, 2019 $ (3,540) $ 66,065 $ — $ (259,045) $ (196,520) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended March 31, 2019 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance, December 31, 2018 $ 216,110 $ 8,681 $ 224,791 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 508 — 508 Accrual of interest 3,066 — 3,066 Repayments (10,552) — (10,552) Mortgage servicing liabilities resulting from mortgage loan sales — 794 794 Changes in fair value included in income (4,051) (1,631) (5,682) Balance, March 31, 2019 $ 205,081 $ 7,844 $ 212,925 Changes in fair value recognized during the quarter relating to liabilities still outstanding at March 31, 2019 $ (4,051) $ (1,631) $ (5,682) Quarter ended March 31, 2018 Mortgage Net interest Repurchase Mortgage loans held rate lock agreement servicing for sale commitments (1) derivatives rights Total (in thousands) Assets: Balance December 31, 2017 $ 782,211 $ 58,272 $ 10,656 $ 638,010 $ 1,489,149 Reclassification of mortgage servicing rights previously accounted for under the amortization method pursuant to adoption of the fair value method of accounting — — — 1,482,426 1,482,426 Balance, January 1, 2018 782,211 58,272 10,656 2,120,436 2,971,575 Purchases and issuances, net 647,269 65,598 10,751 27,606 751,224 Sales and repayments (604,094) — (7) — (604,101) Mortgage servicing rights resulting from mortgage loan sales — — — 143,910 143,910 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (8,755) — — — (8,755) Other factors — (44,913) (426) 62,537 17,198 (8,755) (44,913) (426) 62,537 8,443 Transfers from Level 3 to Level 2 (356,232) — — — (356,232) Transfers of interest rate lock commitments to mortgage loans held for sale — (28,061) — — (28,061) Balance, March 31, 2018 $ 460,399 $ 50,896 $ 20,974 $ 2,354,489 $ 2,886,758 Changes in fair value recognized during the quarter relating to assets still held at March 31, 2018 $ (7,598) $ 50,896 $ (77) $ 62,537 $ 105,758 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended March 31, 2018 Excess servicing Mortgage spread servicing financing liabilities Total (in thousands) Liabilities: Balance December 31, 2017 $ 236,534 $ 14,120 $ 250,654 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 904 — 904 Accrual of interest 3,934 — 3,934 Repayments (12,291) — (12,291) Mortgage servicing liabilities resulting from mortgage loan sales — 2,037 2,037 Changes in fair value included in income 6,921 (4,094) 2,827 Balance, March 31, 2018 $ 236,002 $ 12,063 $ 248,065 Changes in fair value recognized during the quarter relating to liabilities still outstanding at March 31, 2018 $ 6,921 $ (4,094) $ 2,827 |
Summary of net gains (losses) from changes in fair values included in earnings for financial statement items carried at fair value | Quarter ended March 31, 2019 2018 Net Net gains on Net Net gains on mortgage mortgage mortgage mortgage loan loans held loan loans held servicing for sale at servicing for sale at fees fair value Total fees fair value Total (in thousands) Assets: Mortgage loans held for sale $ — $ 101,995 $ 101,995 $ — $ (6,118) $ (6,118) Mortgage servicing rights (259,045) — (259,045) 62,537 — 62,537 $ (259,045) $ 101,995 $ (157,050) $ 62,537 $ (6,118) $ 56,419 Liabilities: Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust $ 4,051 $ — $ 4,051 $ (6,921) $ — $ (6,921) Mortgage servicing liabilities 1,631 — 1,631 4,094 — 4,094 $ 5,682 $ — $ 5,682 $ (2,827) $ — $ (2,827) |
Schedule of fair value and related principal amounts due upon maturity of assets and liabilities accounted for under the fair value option | March 31, 2019 December 31, 2018 Principal Principal amount amount Fair due upon Fair due upon value maturity Difference value maturity Difference (in thousands) Mortgage loans held for sale: Current through 89 days delinquent $ 2,357,344 $ 2,252,816 $ 104,528 $ 2,324,203 $ 2,220,371 $ 103,832 90 days or more delinquent: Not in foreclosure 235,957 240,728 (4,771) 143,631 144,011 (380) In foreclosure 75,628 79,577 (3,949) 53,813 56,254 (2,441) $ 2,668,929 $ 2,573,121 $ 95,808 $ 2,521,647 $ 2,420,636 $ 101,011 |
Summary of financial statement items measured at estimated fair value on a nonrecurring basis | Real estate acquired in settlement of loans Level 1 Level 2 Level 3 Total (in thousands) March 31, 2019 $ — $ — $ 719 $ 719 December 31, 2018 $ — $ — $ 2,150 $ 2,150 |
Summary of total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | Quarter ended March 31, 2019 2018 (in thousands) Real estate acquired in settlement of loans $ 21 $ 27 |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items, excluding MSR purchases | Quarter ended March 31, 2019 2018 (Amount recognized and unpaid principal balance of underlying mortgage loans in thousands) MSR and pool characteristics: Amount recognized $ 115,751 $ 143,910 Unpaid principal balance of underlying mortgage loans $ 8,145,850 $ 10,162,316 Weighted average servicing fee rate (in basis points) 39 35 Key inputs (1): Pricing spread (2) Range 5.8% – 15.6% 7.4% – 14.1% Weighted average 8.9% 10.3% Annual total prepayment speed (3) Range 5.8% – 73.0% 3.9% – 49.0% Weighted average 15.3% 8.9% Life (in years) Range 0.8 – 10.2 1.1 – 11.6 Weighted average 5.8 8.2 Per-loan annual cost of servicing Range $78 – $100 $78 – $98 Weighted average $95 $89 (1) Weighted average inputs are based on the UPB of the underlying mortgage loans. (2) 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”)/swap curve for purposes of discounting cash flows relating to MSRs. (3) Prepayment speed is measured using Life Total CPR. |
Quantitative summary of key inputs used in the valuation of the MSRs at year end and the effect on estimated fair value from adverse changes in those inputs | Following is a quantitative summary of key inputs used in the valuation and assessment for the Company’s MSRs and the effect on the fair value from adverse changes in those inputs: March 31, 2019 December 31, 2018 (Carrying value, unpaid principal balance of underlying mortgage loans and effect on fair value amounts in thousands) MSR and pool characteristics: Carrying value $2,905,090 $2,820,612 Unpaid principal balance of underlying mortgage loans $219,834,361 $201,054,144 Weighted average note interest rate 4.0% 4.0% Weighted average servicing fee rate (in basis points) 33 33 Key inputs (1): Pricing spread (2): Range 6.0% – 15.8% 5.8% – 16.1% Weighted average 8.7% 8.7% Effect on fair value of: 5% adverse change ($45,330) ($45,268) 10% adverse change ($89,217) ($89,073) 20% adverse change ($172,915) ($172,556) Prepayment speed (3): Range 9.0% – 33.5% 8.4% – 32.6% Weighted average 11.4% 9.9% Average life (in years): Range 1.5 – 7.6 1.5 – 7.9 Weighted average 6.6 7.2 Effect on fair value of: 5% adverse change ($54,920) ($47,687) 10% adverse change ($107,628) ($93,626) 20% adverse change ($206,907) ($180,623) Annual per-loan cost of servicing: Range $78 – $100 $78 – $99 Weighted average $97 $93 Effect on fair value of: 5% adverse change ($24,494) ($22,944) 10% adverse change ($49,004) ($45,888) 20% adverse change ($98,024) ($91,775) (1) Weighted average inputs are based on the UPB of the underlying mortgage loans. (2) The Company applies a pricing spread to the United States Dollar LIBOR/swap curve for purposes of discounting cash flows relating to MSRs. (3) Prepayment speed is measured using Life Total CPR. |
Mortgage servicing liabilities | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | March 31, December 31, 2019 2018 MSL and pool characteristics: Carrying value (in thousands) $ $ Unpaid principal balance of underlying mortgage loans (in thousands) $ $ 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/swap curve for purposes of discounting cash flows relating to MSLs. Prepayment speed is measured using Life Total CPR |
Excess servicing spread financing | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | March 31, December 31, 2019 2018 Carrying value (in thousands) $205,081 $216,110 ESS and pool characteristics: Unpaid principal balance of underlying mortgage loans (in thousands) $22,664,211 $23,196,033 Average servicing fee rate (in basis points) 34 34 Average excess servicing spread (in basis points) 19 19 Key inputs (1): Pricing spread (2): Range 3.0% – 3.3% 2.8% – 3.2% Weighted average 3.2% 3.1% Annualized prepayment speed (3): Range 8.5% – 29.9% 8.2% – 29.5% Weighted average 10.4% 9.7% Average life (in years): Range 1.5 – 7.4 1.6 – 7.6 Weighted average 6.5 6.8 (1) Weighted average inputs are based on the UPB of the underlying mortgage loans. (2) The Company applies a pricing spread to the United States Dollar LIBOR/swap curve for purposes of discounting cash flows relating to ESS. (3) Prepayment speed is measured using Life Total CPR. |
Interest rate lock commitments | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | Key inputs (1) March 31, 2019 December 31, 2018 Pull-through rate: Range 12.2% – 100% 16.6% – 100% Weighted average 82.8% 84.1% Mortgage servicing rights value expressed as: Servicing fee multiple: Range 1.1 – 5.7 1.5 – 5.5 Weighted average 3.8 3.8 Percentage of unpaid principal balance: Range 0.3% – 2.7% 0.4% – 3.2% Weighted average 1.5% 1.5% (1) Weighted average inputs are based on the committed amounts. |
Mortgage loans held for sale | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | Key inputs (1) March 31, 2019 December 31, 2018 Discount rate: Range 3.1% – 9.2% 2.8% – 9.2% Weighted average 3.1% 2.9% Twelve-month projected housing price index change: Range 3.0% – 4.8% 2.2% – 5.0% Weighted average 3.3% 3.5% Voluntary prepayment / resale speed (2): Range 0.1% – 24.3% 0.1% – 21.8% Weighted average 22.0% 20.1% Total prepayment speed (3): Range 0.1% – 42.0% 0.1% – 40.5% Weighted average 39.2% 37.7% (1) Weighted average inputs are based on the fair value of mortgage loans. (2) Voluntary prepayment/resale speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”). (3) Total prepayment speed is measured using Life Total CPR. |
Mortgage Loans Held for Sale _2
Mortgage Loans Held for Sale at Fair Value (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Mortgage Loans Held for Sale at Fair Value | |
Summary of mortgage loans held for sale at fair value | March 31, December 31, 2019 2018 (in thousands) Government-insured or guaranteed $ 2,083,470 $ 2,116,126 Conventional conforming 129,926 145,513 Home equity lines of credit 86 — Purchased from Ginnie Mae pools serviced by the Company 446,290 250,585 Repurchased pursuant to representations and warranties 9,157 9,423 $ 2,668,929 $ 2,521,647 Fair value of mortgage loans pledged to secure: Assets sold under agreements to repurchase $ 2,065,151 $ 1,923,857 Mortgage loan participation purchase and sale agreements 574,518 555,001 $ 2,639,669 $ 2,478,858 |
Derivative Activities (Tables)
Derivative Activities (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Derivative Activities | |
Summary of derivative financial instruments | March 31, 2019 December 31, 2018 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 3,821,942 $ 68,248 $ 2,183 2,805,400 $ 50,507 $ 1,169 Repurchase agreement derivatives 24,632 — 26,770 — Used for hedging purposes: Forward purchase contracts 9,313,389 61,932 3,170 6,657,026 35,916 215 Forward sales contracts 7,583,005 1,215 25,962 6,890,046 437 26,762 MBS put options 9,425,000 6,287 — 4,635,000 720 — MBS call options 3,350,000 6,251 — 1,450,000 2,135 — Put options on interest rate futures purchase contracts 3,350,000 2,639 — 3,085,000 866 — Call options on interest rate futures purchase contracts 2,250,000 14,078 — 1,512,500 5,965 — Treasury futures purchase contracts 1,810,000 — — 835,000 — — Treasury futures sale contracts 1,075,000 — — 1,450,000 — — Interest rate swap futures purchase contracts 1,025,000 — — 625,000 — — Total derivatives before netting 185,282 31,315 123,316 28,146 Netting (64,129) (13,477) (26,969) (25,082) $ 121,153 $ 17,838 $ 96,347 $ 3,064 Deposits placed with derivative counterparties $ 50,652 $ 1,887 |
Summary of the notional value activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans held for sale at fair value and MSRs | Quarter ended March 31, 2019 Notional Notional amount amount beginning of Dispositions/ end of Instrument quarter Additions expirations quarter (in thousands) Forward purchase contracts 6,657,026 52,621,845 (49,965,482) 9,313,389 Forward sale contracts 6,890,046 59,673,487 (58,980,528) 7,583,005 MBS put options 4,635,000 19,160,000 (14,370,000) 9,425,000 MBS call options 1,450,000 4,500,000 (2,600,000) 3,350,000 Put options on interest rate futures purchase contracts 3,085,000 6,675,000 (6,410,000) 3,350,000 Call options on interest rate futures purchase contracts 1,512,500 4,462,800 (3,725,300) 2,250,000 Put options on interest rate futures sale contracts — 10,135,300 (10,135,300) — Treasury futures purchase contracts 835,000 4,111,200 (3,136,200) 1,810,000 Treasury futures sale contracts 1,450,000 2,761,200 (3,136,200) 1,075,000 Interest rate swap futures purchase contracts 625,000 400,000 — 1,025,000 Quarter ended March 31, 2018 Notional Notional amount amount beginning of Dispositions/ end of Instrument quarter Additions expirations quarter (in thousands) Forward purchase contracts 4,920,883 45,330,785 (43,707,885) 6,543,783 Forward sale contracts 5,204,796 56,355,552 (54,636,002) 6,924,346 MBS put options 4,925,000 4,500,000 (5,675,000) 3,750,000 MBS call options — 5,675,000 (5,675,000) — Put options on interest rate futures purchase contracts 2,125,000 5,525,000 (4,850,000) 2,800,000 Call options on interest rate futures purchase contracts 100,000 375,000 (250,000) 225,000 Put options on interest rate futures sale contracts — 4,850,000 (4,850,000) — Call options on interest rate futures sale contracts — 250,000 (250,000) — Treasury futures purchase contracts 100,000 1,904,900 (1,494,900) 510,000 Treasury futures sale contracts — 3,406,200 (2,156,200) 1,250,000 Interest rate swap futures purchase contracts 1,400,000 465,000 (1,400,000) 465,000 Interest rate swap futures sale contracts — 1,400,000 (1,400,000) — |
Summaries of derivative assets and related netting amounts | March 31, 2019 December 31, 2018 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 $ 68,248 $ — $ 68,248 $ 50,507 $ — $ 50,507 Repurchase agreement derivatives 24,632 — 24,632 26,770 — 26,770 92,880 — 92,880 77,277 — 77,277 Derivatives subject to master netting arrangements: Forward purchase contracts 61,932 — 61,932 35,916 — 35,916 Forward sale contracts 1,215 — 1,215 437 — 437 MBS put options 6,287 — 6,287 720 — 720 MBS call options 6,251 — 6,251 2,135 — 2,135 Put options on interest rate futures purchase contracts 2,639 — 2,639 866 — 866 Call options on interest rate futures purchase contracts 14,078 — 14,078 5,965 — 5,965 Netting (64,129) (64,129) — (26,969) (26,969) 92,402 (64,129) 28,273 46,039 (26,969) 19,070 $ 185,282 $ (64,129) $ 121,153 $ 123,316 $ (26,969) $ 96,347 |
Summary of the amount of derivative asset positions by significant counterparty after considering master netting arrangements and financial instruments or cash pledged | March 31, 2019 December 31, 2018 Gross amount not Gross amount not offset in the offset in the consolidated consolidated Net amount balance sheet Net amount balance sheet 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 $ 68,248 $ — $ — $ 68,248 $ 50,507 $ — $ — $ 50,507 Deutsche Bank 24,632 — — 24,632 26,770 — — 26,770 RJ O'Brien 16,717 — — 16,717 6,831 — — 6,831 Bank of America, N.A. 4,052 — — 4,052 2,781 — — 2,781 JPMorgan Chase Bank, N.A. 3,494 — — 3,494 1,399 — — 1,399 Wells Fargo Bank, N.A. 2,275 — — 2,275 3,707 — — 3,707 Goldman Sachs 1,286 — — 1,286 — — — — Citibank, N.A. — — — — 2,488 — — 2,488 Others 449 — — 449 1,864 — — 1,864 $ 121,153 $ — $ — $ 121,153 $ 96,347 $ — $ — $ 96,347 |
Summary of net derivative liabilities and assets sold under agreements to repurchase and related netting amounts | March 31, 2019 December 31, 2018 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 $ 2,183 $ — $ 2,183 $ 1,169 $ — $ 1,169 Derivatives subject to a master netting arrangement: Forward purchase contracts 3,170 — 3,170 215 — 215 Forward sale contracts 25,962 — 25,962 26,762 — 26,762 Netting — (13,477) (13,477) — (25,082) (25,082) 29,132 (13,477) 15,655 26,977 (25,082) 1,895 Total derivatives 31,315 (13,477) 17,838 28,146 (25,082) 3,064 Assets sold under agreements to repurchase: Amount outstanding 2,152,588 — 2,152,588 1,935,200 — 1,935,200 Unamortized debt issuance premiums and costs, net (650) — (650) (1,341) — (1,341) 2,151,938 — 2,151,938 1,933,859 — 1,933,859 $ 2,183,253 $ (13,477) $ 2,169,776 $ 1,962,005 $ (25,082) $ 1,936,923 |
Summary of amount of derivative liabilities and assets sold under agreements to repurchase by significant counterparty after considering master netting arrangements and financial instruments or cash pledged | March 31, 2019 December 31, 2018 Gross amounts Gross amounts not offset in the not offset in the Net amount consolidated Net amount consolidated of liabilities balance sheet of liabilities balance sheet in the Cash in the Cash consolidated Financial collateral Net consolidated Financial collateral Net balance sheet instruments pledged amount balance sheet instruments pledged amount (in thousands) Interest rate lock commitments $ 2,183 $ — $ — $ 2,183 $ 1,169 $ — $ — $ 1,169 Credit Suisse First Boston Mortgage Capital LLC 848,914 (845,622) — 3,292 691,030 (690,766) — 264 Deutsche Bank 692,010 (692,010) — — 741,978 (741,978) — — BNP Paribas 199,395 (199,395) — — 149,675 (149,482) — 193 Bank of America, N.A. 170,859 (170,859) — — 170,820 (170,820) — — Citibank, N.A. 83,533 (82,659) — 874 14,960 (14,960) — — Morgan Stanley Bank, N.A. 80,998 (71,069) — 9,929 77,687 (77,687) — — JPMorgan Chase Bank, N.A. 50,875 (50,875) — — 54,326 (54,326) — — Royal Bank of Canada 40,099 (40,099) — — 35,181 (35,181) — — Federal National Mortgage Association 764 — — 764 — — — — Others 796 — — 796 1,438 — — 1,438 $ 2,170,426 $ (2,152,588) $ — $ 17,838 $ 1,938,264 $ (1,935,200) $ — $ 3,064 |
Summary of gains (losses) recognized on derivative financial instruments and the respective income statement line items | Quarter ended March 31, Derivative activity Income statement line 2019 2018 (in thousands) Interest rate lock commitments Net gains on mortgage loans held for sale at fair value $ 16,727 $ (7,376) Repurchase agreement derivatives Interest expense $ (557) $ (426) Hedged item: Interest rate lock commitments and mortgage loans held for sale Net gains on mortgage loans held for sale at fair value $ (34,668) $ 87,747 Mortgage servicing rights Net mortgage loan servicing fees –C hange in fair value of mortgage servicing rights and mortgage servicing liabilities $ 134,557 $ (103,593) |
Mortgage Servicing Rights and_2
Mortgage Servicing Rights and Mortgage Servicing Liabilities (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Mortgage Servicing Rights and Mortgage Servicing Liabilities | |
Schedule of activity in MSRs carried at fair value | Quarter ended March 31, 2019 2018 (in thousands) Balance at beginning of quarter $ 2,820,612 $ 638,010 Reclassification of mortgage servicing rights previously accounted for under the amortization method pursuant to adoption of the fair value method of accounting — 1,482,426 Balance after reclassification 2,820,612 2,120,436 Additions: Purchases 227,772 27,606 Resulting from mortgage loan sales 115,751 143,910 343,523 171,516 Change in fair value due to: Changes in inputs used in valuation model (1) (161,638) 130,449 Other changes in fair value (2) (97,407) (67,912) Total change in fair value (259,045) 62,537 Balance at end of quarter $ 2,905,090 $ 2,354,489 March 31, December 31, 2019 2018 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and Notes payable $ 2,675,704 $ 2,807,333 (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 mortgage servicing liability carried at fair value | Quarter ended March 31, 2019 2018 (in thousands) Balance at beginning of quarter $ 8,681 $ 14,120 Mortgage servicing liabilities resulting from mortgage loan sales 794 2,037 Changes in fair value due to: Changes in valuation inputs used in valuation model (1) 3,301 2,643 Other changes in fair value (2) (4,932) (6,737) Total change in fair value (1,631) (4,094) Balance at end of quarter $ 7,844 $ 12,063 (1) Principally reflects changes in expected borrower performance and servicer losses given default. (2) Represents changes due to realization of cash flows. |
Summary of servicing fees, late fees and ancillary and other fees relating to MSRs recorded on the consolidated statements of income | Quarter ended March 31, 2019 2018 (in thousands) Contractual servicing fees $ 166,790 $ 135,483 Ancillary and other fees: Late charges 9,812 7,459 Other 1,661 1,562 $ 178,263 $ 144,504 |
Leases (Tables)
Leases (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Leases | |
Summary of Company's leases | Quarter ended March 31, 2019 (dollars in thousands) Lease expense: Operating leases $ 3,229 Short-term leases 217 Sublease income (32) Net lease expense included in Occupancy and equipment $ 3,414 Other information: Cash payments for operating leases $ 3,846 Operating lease right-of-use assets recognized upon the adoption of ASU 2016-02 $ 58,598 Weighted averages: Remaining lease term (in years) 6.3 Discount rate 4.6% |
Schedule of maturities of operating lease liabilities | Twelve months ended March 31, Operating leases (in thousands) 2020 $ 15,683 2021 14,993 2022 13,397 2023 11,941 2024 10,343 Thereafter 21,999 Total lease payments 88,356 Less imputed interest (11,983) Total $ 76,373 |
Borrowings (Tables)
Borrowings (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Borrowings | |
Summary of financial data pertaining to assets sold under agreements to repurchase | Quarter ended March 31, 2019 2018 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ 1,437,957 $ 1,643,443 Weighted average interest rate (1) 4.47 % 3.59 % Total interest expense (2) $ 8,635 $ 6,732 Maximum daily amount outstanding $ 2,152,588 $ 2,380,121 March 31, December 31, 2019 2018 (dollars in thousands) Carrying value: Unpaid principal balance $ 2,152,588 $ 1,935,200 Unamortized debt issuance premiums and costs, net (650) (1,341) $ 2,151,938 $ 1,933,859 Weighted average interest rate 4.35 % 4.22 % Available borrowing capacity (3): Committed $ 625,413 $ 695,767 Uncommitted 2,206,999 2,354,033 $ 2,832,412 $ 3,049,800 Fair value of assets securing repurchase agreements: Mortgage loans held for sale $ 2,065,151 $ 1,923,857 Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 125,929 $ 131,025 Servicing advances (4) $ 147,435 $ 162,895 Mortgage servicing rights (4) $ 2,574,228 $ 2,807,333 Margin deposits placed with counterparties (5) $ 3,750 $ 3,750 (1) Excludes the effect of amortization of net premiums totaling $7.4 million and $8.0 million for the quarters ended March 31, 2019 and 2018, respectively. (2) In 2017, PFSI entered into 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 quarters ended March 31, 2019 and 2018, the Company included $9.3 million and $10.2 million, respectively, of such incentives as reductions in Interest expense . The master repurchase agreement expires on August 21, 2019, unless terminated earlier at the option of the lender. The Company expects that it will cease to accrue the incentives under the repurchase agreement in the second quarter of 2019. (3) The amount the Company is able to borrow under asset repurchase agreements is tied to the fair value of unencumbered assets eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the assets financed. (4) Beneficial interests in the Ginnie Mae MSRs and servicing advances are pledged to the Issuer Trust and together serve as the collateral backing the VFN, 2018-GT1 Notes and 2018-GT2 Notes described in Notes Payable . The VFN financing is included in Assets sold under agreements to repurchase and 2018-GT1 Notes and 2018-GT2 Notes are included in Notes payable on the Company's consolidated balance sheet. (5) Margin deposits are included in Other assets on the Company’s consolidated balance sheet. |
Summary of maturities of outstanding advances under repurchase agreements by maturity date | Remaining maturity at March 31, 2019 Balance (dollars in thousands) Within 30 days $ 518,972 Over 30 to 90 days 1,334,389 Over 90 to 180 days 44,227 Over one to two years 255,000 Total assets sold under agreements to repurchase $ 2,152,588 Weighted average maturity (in months) 2.5 |
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 $ 1,165,339 April 26, 2020 April 26, 2020 Credit Suisse First Boston Mortgage Capital LLC $ 26,541 April 16, 2019 April 26, 2019 Deutsche Bank AG $ 90,911 June 16, 2019 August 21, 2019 BNP Paribas $ 16,691 June 19, 2019 August 2, 2019 Bank of America, N.A. $ 14,405 May 4, 2019 October 28, 2019 Morgan Stanley Bank, N.A. $ 5,237 June 15, 2019 August 23, 2019 Citibank, N.A. $ 4,828 June 7, 2019 June 7, 2019 JP Morgan Chase Bank, N.A. $ 4,360 May 31, 2019 October 11, 2019 Royal Bank of Canada $ 2,631 June 28, 2019 June 28, 2019 |
Summary of mortgage loan participations | Quarter ended March 31, 2019 2018 (dollars in thousands) Average balance $ 236,667 $ 215,614 Weighted average interest rate (1) 3.68 % 2.89 % Total interest expense $ 2,311 $ 1,727 Maximum daily amount outstanding $ 548,038 $ 527,706 (1) Excludes the effect of amortization of facility fees totaling $135,000 and $171,000 for the quarters ended March 31, 2019 and 2018, respectively. March 31, December 31, 2019 2018 (dollars in thousands) Carrying value: Unpaid principal balance $ 548,038 $ 532,466 Unamortized debt issuance costs (159) (215) $ 547,879 $ 532,251 Weighted average interest rate 3.75 % 3.77 % Fair value of mortgage loans pledged to secure mortgage loan participation purchase and sale agreements $ 574,518 $ 555,001 |
Summary of note payable | Quarter ended March 31, 2019 2018 (dollars in thousands) Average balance $ 1,300,000 $ 979,868 Weighted average interest rate (1) 5.25 % 5.63 % Total interest expense $ 17,995 $ 18,222 Maximum daily amount outstanding $ 1,300,000 $ 1,150,000 (1) Excluding the effect of amortization of debt issuance costs totaling $0.7 million and $4.2 million for the quarters ended March 31, 2019 and 2018, respectively. Also excludes the effect of non-utilization fees of $196,000 and $192,000 for the quarters ended March 31, 2019 and 2018, respectively. March 31, December 31, 2019 2018 (dollars in thousands) Carrying value: Unpaid principal balance $ 1,300,000 $ 1,300,000 Unamortized debt issuance costs (7,264) (7,709) $ 1,292,736 $ 1,292,291 Weighted average interest rate 5.24 % 5.07 % Unused amount $ 150,000 $ 150,000 Assets pledged to secure notes payable: Cash $ 93,372 $ 108,174 Servicing advances (1) $ 147,435 $ 162,895 Mortgage servicing rights (1) $ 2,675,704 $ 2,807,333 (1) Beneficial interests in the Ginnie Mae MSRs and servicing advances are pledged to the Issuer Trust and together serve as the collateral backing the VFN, 2018-GT1 Notes and 2018-GT2 Notes. The VFN financing is included in Assets sold under agreements to repurchase and 2018-GT1 Notes and 2018-GT2 Notes are included in Notes payable on the Company's consolidated balance sheet. |
Summary of obligations under capital lease | Quarter ended March 31, 2019 2018 (dollars in thousands) Average balance $ 5,848 $ 18,703 Weighted average interest rate 4.50 % 3.64 % Total interest expense $ 66 $ 170 Maximum daily amount outstanding $ 6,605 $ 20,971 March 31, December 31, 2019 2018 (dollars in thousands) Unpaid principal balance $ 5,091 $ 6,605 Weighted average interest rate 4.48 % 4.46 % Assets pledged to secure obligations under capital lease: Furniture, fixtures and equipment $ 15,254 $ 16,281 Capitalized software $ 940 $ 1,017 |
Summary of roll forward of Excess Servicing Spread Financing | Quarter ended March 31, 2019 2018 (in thousands) Balance at beginning of quarter $ 216,110 $ 236,534 Issuances of excess servicing spread to PennyMac Mortgage Investment Trust pursuant to recapture agreement 508 904 Accrual of interest 3,066 3,934 Repayment (10,552) (12,291) Change in fair value (4,051) 6,921 Balance at end of quarter $ 205,081 $ 236,002 |
Liability for Losses Under Re_2
Liability for Losses Under Representations and Warranties (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Liability for Losses Under Representations and Warranties | |
Summary of repurchase activity | Quarter ended March 31, 2019 2018 (in thousands) Balance at beginning of quarter $ 21,155 $ 20,053 Provision for losses on mortgage loans sold: Resulting from sales of mortgage loans 1,067 1,492 Reduction in liability due to change in estimate (4,210) (1,113) Incurred losses, net (30) (3) Balance at end of quarter $ 17,982 $ 20,429 Unpaid principal balance of mortgage loans subject to representations and warranties at end of quarter $ 133,698,782 $ 127,056,220 |
Noncontrolling Interest (Tables
Noncontrolling Interest (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Noncontrolling Interest. | |
Noncontrolling Interest | Quarter ended March 31, 2018 (in thousands) Net income attributable to PennyMac Financial Services, Inc. common stockholders $ 16,619 Increase in the Company's paid-in capital accounts for exchanges of Class A units of Private National Mortgage Acceptance Company, LLC to Class A common stock of PennyMac Financial Services, Inc. $ 14,859 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 by noncontrolling interest unitholders and issued as equity compensation 748 |
Net Gains on Mortgage Loans H_2
Net Gains on Mortgage Loans Held for Sale (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Net Gains on Mortgage Loans Held for Sale | |
Net Gains on Mortgage Loans Held for Sale | Quarter ended March 31, 2019 2018 (in thousands) From non-affiliates: Cash loss: Mortgage loans $ (41,242) $ (181,801) Hedging activities (8,927) 104,396 (50,169) (77,405) Non-cash gain: Mortgage servicing rights and mortgage servicing liabilities 114,957 141,873 Provision for losses relating to representations and warranties: Pursuant to mortgage loan sales (1,067) (1,492) Reduction in liability due to change in estimate 4,210 1,113 Change in fair value relating to mortgage loans and derivatives held at quarter end: Interest rate lock commitments 16,727 (7,376) Mortgage loans (164) 18,964 Hedging derivatives (25,741) (16,649) 58,753 59,028 From PennyMac Mortgage Investment Trust 26,023 12,386 $ 84,776 $ 71,414 |
Net Interest Income (Tables)
Net Interest Income (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Net Interest Income | |
Summary of net interest income | Quarter ended March 31, 2019 2018 (in thousands) Interest income: From non-affiliates: Cash and short-term investments $ 1,933 $ 608 Mortgage loans held for sale at fair value 31,343 26,607 Placement fees relating to custodial funds 23,261 13,424 56,537 40,639 From PennyMac Mortgage Investment Trust—Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell 1,796 1,976 58,333 42,615 Interest expense: To non-affiliates: Assets sold under agreements to repurchase (1) 8,635 6,732 Mortgage loan participation purchase and sale agreements 2,311 1,727 Notes payable 17,995 18,222 Obligations under capital lease 66 170 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 4,311 4,830 Interest on mortgage loan impound deposits 1,159 1,130 34,477 32,811 To PennyMac Mortgage Investment Trust—Excess servicing spread financing at fair value 3,066 3,934 37,543 36,745 $ 20,790 $ 5,870 In 2017, the Company entered into 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 quarters ended March 31, 2019 and 2018, the Company included $9.3 million and $10.2 million, respectively, of such incentives as reductions in Interest expense . The master repurchase agreement expires on August 21, 2019, unless terminated earlier at the option of the lender. The Company expects that it will cease to accrue the financing incentives under the repurchase agreement in the second quarter of 2019. |
Stock-based Compensation (Table
Stock-based Compensation (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Stock-based Compensation | |
Summary of the stock-based compensation activity | Quarter ended March 31, 2019 2018 (in thousands) Grants: Units: Performance-based RSUs 665 524 Stock options 344 674 Time-based RSUs 330 316 Grant date fair value: Performance-based RSUs $ 15,253 $ 12,791 Stock options 2,965 6,147 Time-based RSUs 7,545 7,703 Total $ 25,763 $ 26,641 Vestings and exercises: Performance-based RSUs vested 648 — Stock options exercised 89 196 Time-based RSUs vested 291 234 Compensation expense $ 4,531 $ 6,171 |
Earnings Per Share of Common _2
Earnings Per Share of Common Stock (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Earnings Per Share of Common Stock | |
Summary of basic and diluted earnings per share calculations | Quarter ended March 31, 2019 2018 (in thousands, except per share amounts) Basic earnings per share of common stock: Net income attributable to common stockholders $ 46,135 $ 16,619 Weighted average shares of common stock outstanding 77,653 23,832 Basic earnings per share of common stock $ 0.59 $ 0.70 Diluted earnings per share of common stock: Net income attributable to common stockholders $ 46,135 $ 16,619 Net income attributable to dilutive stock-based compensation units — 1,400 Net income attributable to PennyMac Class A units exchangeable to Class A common stock, net of income taxes — 35,449 Net income attributable to common stockholders for diluted earnings per share $ 46,135 $ 53,468 Weighted average shares of common stock outstanding applicable to basic earnings per share 77,653 23,832 Effect of dilutive shares: Common shares issuable under stock-based compensation plan 1,633 2,947 PennyMac Class A units exchangeable to Class A common stock — 52,682 Weighted average shares of common stock applicable to diluted earnings per share 79,286 79,461 Diluted earnings per share of common stock $ 0.58 $ 0.67 |
Schedule of anti-dilutive shares outstanding | Quarter ended March 31, 2019 2018 (in thousands except for weighted-average exercise price) Performance-based RSUs (1) 1,279 134 Time-based RSUs 61 — Stock options (2) 706 172 Total anti-dilutive stock-based compensation 2,046 306 Weighted average exercise price of anti-dilutive stock options (2) $ 24.26 $ 24.40 (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. 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 for the quarter. |
Supplemental Cash Flow Inform_2
Supplemental Cash Flow Information (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Supplemental Cash Flow Information | |
Schedule of supplemental cash flow information | Quarter ended March 31, 2019 2018 (in thousands) Cash paid for interest $ 33,952 $ 40,227 Cash paid for income taxes, net $ 66 $ 2 Non-cash investing activity: Mortgage servicing rights resulting from mortgage loan sales $ 115,751 $ 143,910 Mortgage servicing liabilities resulting from mortgage loan sales $ 794 $ 2,037 Unsettled portion of MSR acquisitions $ 16,291 $ 62 Operating right-of-use assets recognized upon the adoption of ASU 2016-02 $ 58,598 $ — Non-cash financing activity: Issuance of Excess servicing spread payable to PennyMac Mortgage Investment Trust pursuant to a recapture agreement $ 508 $ 904 Issuance of common stock and Class A common stock in settlement of director fees $ 86 $ 79 |
Regulatory Capital and Liquid_2
Regulatory Capital and Liquidity Requirements (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Regulatory Capital and Liquidity Requirements | |
Summary of agencies' capital and liquidity requirements by each agency | March 31, 2019 December 31, 2018 Agency–company subject to requirement Actual (1) Requirement (1) Actual (1) Requirement (1) (dollars in thousands) Capital Fannie Mae & Freddie Mac – PLS $ 1,833,819 $ 561,020 $ 1,788,430 $ 514,089 Ginnie Mae – PLS $ 1,543,756 $ 819,028 $ 1,535,826 $ 733,342 Ginnie Mae – PennyMac $ 1,802,129 $ 900,931 $ 1,786,430 $ 806,676 HUD – PLS $ 1,543,756 $ 2,500 $ 1,535,826 $ 2,500 Liquidity Fannie Mae & Freddie Mac – PLS $ 287,089 $ 77,292 $ 271,802 $ 70,775 Ginnie Mae – PLS $ 287,089 $ 208,693 $ 271,802 $ 189,592 Tangible net worth / Total assets ratio Fannie Mae & Freddie Mac – PLS 20 % 6 % % % (1) Calculated in compliance with the respective Agency’s requirements. |
Segments (Tables)
Segments (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Segments | |
Schedule of change in expense allocation, by segment | Quarter ended March 31, 2019 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net mortgage loan servicing fees $ — $ 80,571 $ 80,571 $ — $ 80,571 Net gains on mortgage loans held for sale at fair value 66,721 18,055 84,776 — 84,776 Mortgage loan origination fees 23,930 — 23,930 — 23,930 Fulfillment fees from PennyMac Mortgage Investment Trust 27,574 — 27,574 — 27,574 Net interest income (expense): Interest income 14,369 43,964 58,333 — 58,333 Interest expense 3,915 33,621 37,536 7 37,543 10,454 10,343 20,797 (7) 20,790 Management fees — — — 7,248 7,248 Other 488 765 1,253 1,563 2,816 Total net revenue 129,167 109,734 238,901 8,804 247,705 Expenses 82,161 98,571 180,732 6,682 187,414 Income before provision for income taxes $ 47,006 $ 11,163 $ 58,169 $ 2,122 $ 60,291 Segment assets at quarter end $ 2,501,468 $ 5,299,813 $ 7,801,281 $ 17,719 $ 7,819,000 (1) All revenues are from external customers. Quarter ended March 31, 2018 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net mortgage loan servicing fees $ — $ 116,789 $ 116,789 $ — $ 116,789 Net gains on mortgage loans held for sale at fair value 36,198 35,216 71,414 — 71,414 Mortgage loan origination fees 24,563 — 24,563 — 24,563 Fulfillment fees from PennyMac Mortgage Investment Trust 11,944 — 11,944 — 11,944 Net interest income (expense): Interest income 14,248 28,367 42,615 — 42,615 Interest expense 2,102 34,627 36,729 16 36,745 12,146 (6,260) 5,886 (16) 5,870 Management fees — — — 5,775 5,775 Carried Interest from Investment Funds — — — (180) (180) Other 316 395 711 1,315 2,026 Total net revenue 85,167 146,140 231,307 6,894 238,201 Expenses 67,997 91,265 159,262 5,943 165,205 Income before provision for income taxes $ 17,170 $ 54,875 $ 72,045 $ 951 $ 72,996 Segment assets at quarter end (2) $ 2,251,354 $ 4,630,946 $ 6,882,300 $ 11,877 $ 6,894,177 (1) All revenues are from external customers. Excludes parent Company assets, which consist of $8.7 million of cash. |
Organization (Details)
Organization (Details) - item | Nov. 01, 2018 | Oct. 31, 2018 |
Organization | ||
Number of classes of common stock | 1 | 2 |
Basis of Presentation and Rec_2
Basis of Presentation and Recently Issued Accounting Pronouncements (Details) - USD ($) $ in Thousands | Jan. 01, 2019 | Mar. 31, 2019 | Dec. 31, 2018 |
Recently Issued Accounting Pronouncements | |||
Lease liability | $ 76,373 | ||
Right-of-use assets obtained in exchange for lease obligations | 58,598 | ||
Deferred rent | $ 162,677 | $ 156,212 | |
Accounting Standards Update 2016-02: Leases | Restatement | |||
Recently Issued Accounting Pronouncements | |||
Lease liability | $ 79,300 | ||
Right-of-use assets obtained in exchange for lease obligations | 58,600 | ||
Deferred rent | $ (20,700) |
Concentration of Risk (Details)
Concentration of Risk (Details) | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Sales Revenue | Customer Concentration Risk | ||
Concentration of Risk | ||
Percentage of total net revenue | 31.00% | 15.00% |
Transactions with Affiliates -
Transactions with Affiliates - Correspondent Production (Details) - USD ($) $ in Thousands | Sep. 12, 2016 | Mar. 31, 2019 | Mar. 31, 2018 |
MBS Agreement | |||
Transactions with Affiliates | |||
The administrative fee plus accrued interest and sourcing fee percent | 0.35% | ||
Fulfillment fee as a percent of UPB of all other mortgage loans, excluding Ginnie Mae mortgage loans | 0.50% | ||
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% | ||
PMT | |||
Lending activity between the entity and affiliate | |||
Sale of mortgage loans held for sale to PMT | $ 884,510 | $ 781,326 | |
Fulfillment fee revenue | 27,574 | 11,944 | |
Proceeds from sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust | 884,510 | 781,326 | |
PMT | MBS Agreement | Minimum | |||
Transactions with Affiliates | |||
The administrative fee plus accrued interest and sourcing fee percent | 0.02% | ||
PMT | MBS Agreement | Maximum | |||
Transactions with Affiliates | |||
The administrative fee plus accrued interest and sourcing fee percent | 0.035% | ||
PMT | Mortgage Lending | |||
Lending activity between the entity and affiliate | |||
Net gain (loss) on mortgage loans held for sale to PMT | 27,146 | 13,811 | |
Mortgage servicing rights and excess servicing spread recapture incurred | (1,123) | (1,425) | |
Total of gain on sale of loans and MSR recapture | 26,023 | 12,386 | |
Sale of mortgage loans held for sale to PMT | 884,510 | 781,326 | |
Fulfillment fee revenue | 27,574 | 11,944 | |
Unpaid principal balance of mortgage loans fulfilled for PMT | 8,135,552 | 4,225,631 | |
Sourcing fees paid | 1,994 | 2,641 | |
Unpaid principal balance of mortgage loans purchased from PMT | 6,647,338 | 8,847,873 | |
Proceeds from sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust | 884,510 | 781,326 | |
Tax service fee | $ 2,243 | $ 1,208 |
Transactions with Affiliates _2
Transactions with Affiliates - Mortgage Loan Servicing (Details) | Sep. 12, 2016USD ($)item | Mar. 31, 2019USD ($) | Mar. 31, 2018USD ($) |
Summary of mortgage loan servicing fees earned | |||
Loan servicing fees | $ 166,790,000 | $ 135,483,000 | |
Mortgage Loan Servicing Agreement | |||
Transactions with Affiliates | |||
Base servicing fees per month for REO | $ 75 | ||
Rental fee per month per REO | 30 | ||
Renewal fee, per lease renewal, on REO property | $ 100 | ||
Property management fees on REOs, as a percent of gross rental income | 9.00% | ||
Base servicing fees per month for fixed-rate non-distressed loans subserviced | $ 7.50 | ||
Base servicing fees per month for adjustable rate non-distressed loans subserviced | 8.50 | ||
Supplemental fee per month for each distressed whole loan | 25 | ||
Activity-based fee, percent, due to a streamline modification | 750 | ||
Activity-based fee, percent, due to a liquidation | 1,750 | ||
Activity-based fee due to a deed-in-lieu of foreclosure | $ 500 | ||
Maximum number of liquidation, reperformance, or modification fees that can be earned during earnable period | item | 1 | ||
Liquidation, reperformance, or modification fees earnable period | 18 months | ||
Related party transaction, automatic renewal period | 18 months | ||
Minimum | Mortgage Loan Servicing Agreement | |||
Transactions with Affiliates | |||
Servicing fees amount per month for current loans | $ 30 | ||
Maximum | Mortgage Loan Servicing Agreement | |||
Transactions with Affiliates | |||
Servicing fees amount per month for severely delinquent loans | $ 85 | ||
PMT | |||
Summary of mortgage loan servicing fees earned | |||
Loan servicing fees | 10,570,000 | 11,019,000 | |
PMT | Mortgage loans acquired for sale at fair value | |||
Summary of mortgage loan servicing fees earned | |||
Loan servicing fees | 239,000 | 178,000 | |
PMT | Mortgage loans at fair value | |||
Summary of mortgage loan servicing fees earned | |||
Loan servicing fees | 463,000 | 3,085,000 | |
PMT | Mortgage servicing rights | |||
Summary of mortgage loan servicing fees earned | |||
Loan servicing fees | 9,868,000 | 7,756,000 | |
PMT | Other income. | |||
Summary of mortgage loan servicing fees earned | |||
Property management fees | $ 123,000 | $ 99,000 |
Transactions with Affiliates _3
Transactions with Affiliates - Management Fees (Details) - USD ($) | Sep. 12, 2016 | Mar. 31, 2019 | Mar. 31, 2018 |
Management Fee Revenue Abstract | |||
Management fees | $ 7,248,000 | $ 5,775,000 | |
PMT | |||
Management Fee Revenue Abstract | |||
Management fees | 7,248,000 | 5,696,000 | |
PMT | Management Agreement | |||
Transactions with Affiliates | |||
Percentage of change in net income due to quarterly adjustments | 8.00% | ||
Related party transaction, automatic renewal period | 18 months | ||
Management Fee Revenue Abstract | |||
Base management fee | 6,109,000 | 5,696,000 | |
Performance incentive | 1,139,000 | ||
Management fees | $ 7,248,000 | $ 5,696,000 | |
PMT | Management Agreement | Maximum | |||
Transactions with Affiliates | |||
Percentage of performance incentive fee payable by issuance of common shares | 50.00% | ||
PMT | Management Agreement | Minimum | |||
Transactions with Affiliates | |||
High watermark | $ 0 | ||
PMT | Shareholders Equity Up To 2 Billion Dollars | Maximum | |||
Transactions with Affiliates | |||
Base management fee annual rate (as a percent) | 1.50% | ||
Base management fee shareholders' equity limit | $ 2,000,000,000 | ||
PMT | Shareholders Equity In Excess Of 2 Billion Dollars And Upto 5 Billion Dollars | |||
Transactions with Affiliates | |||
Base management fee annual rate (as a percent) | 1.375% | ||
PMT | Shareholders Equity In Excess Of 2 Billion Dollars And Upto 5 Billion Dollars | Maximum | |||
Transactions with Affiliates | |||
Base management fee shareholders' equity limit | $ 5,000,000,000 | ||
PMT | Shareholders Equity In Excess Of 2 Billion Dollars And Upto 5 Billion Dollars | Minimum | |||
Transactions with Affiliates | |||
Base management fee shareholders' equity limit | $ 2,000,000,000 | ||
PMT | Shareholders Equity In Excess Of 5 Billion Dollars | |||
Transactions with Affiliates | |||
Base management fee annual rate (as a percent) | 1.25% | ||
PMT | Shareholders Equity In Excess Of 5 Billion Dollars | Maximum | |||
Transactions with Affiliates | |||
Base management fee shareholders' equity limit | $ 5,000,000,000 | ||
PMT | Return on Shareholders Equity 8 Percent | |||
Transactions with Affiliates | |||
Percentage of net income for calculation of performance incentive fees | 10.00% | ||
PMT | Return on Shareholders Equity 8 Percent | Maximum | |||
Transactions with Affiliates | |||
Percentage of return on affiliate's equity | 12.00% | ||
PMT | Return on Shareholders Equity 8 Percent | Minimum | |||
Transactions with Affiliates | |||
Percentage of return on affiliate's equity | 8.00% | ||
PMT | Return on Shareholders Equity 12 Percent | |||
Transactions with Affiliates | |||
Percentage of net income for calculation of performance incentive fees | 15.00% | ||
Percentage of return on affiliate's equity | 12.00% | ||
PMT | Return on Shareholders Equity 12 Percent | Maximum | |||
Transactions with Affiliates | |||
Percentage of return on affiliate's equity | 16.00% | ||
PMT | Return on Shareholders Equity in Excess of 16 Percent | |||
Transactions with Affiliates | |||
Percentage of net income for calculation of performance incentive fees | 20.00% | ||
Percentage of return on affiliate's equity | 16.00% |
Transactions with Affiliates _4
Transactions with Affiliates - Other Transactions, Reimbursement of Common Overhead Expenses (Details) - PMT - USD ($) | Sep. 12, 2016 | Mar. 31, 2019 | Mar. 31, 2018 |
Transactions with Affiliates | |||
Expense reimbursement amount, per quarter, relating to personnel | $ 120,000 | ||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | |||
Reimbursement of common overhead and expenses incurred by the Company | $ 1,926,000 | $ 1,694,000 | |
Payments and settlements during the period | 15,189,000 | 7,658,000 | |
Common overhead incurred | |||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | |||
Reimbursement of common overhead and expenses incurred by the Company | 1,236,000 | 1,001,000 | |
Compensation | |||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | |||
Reimbursement of common overhead and expenses incurred by the Company | 120,000 | 120,000 | |
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 | $ 570,000 | $ 573,000 |
Transactions with Affiliates _5
Transactions with Affiliates - Other Transactions, Conditional Reimbursement (Details) - PMT - Conditional Reimbursement - USD ($) | 3 Months Ended | |
Mar. 31, 2019 | Aug. 04, 2009 | |
Conditional reimbursement | ||
Payments received | $ 75,000 | |
Maximum | ||
Conditional reimbursement | ||
Conditional reimbursement | $ 2,900,000 |
Transactions with Affiliates _6
Transactions with Affiliates - Investing Activities (Details) | Dec. 19, 2016USD ($)item | Mar. 31, 2019USD ($)shares | Mar. 31, 2018USD ($) | Dec. 31, 2018USD ($)shares |
PennyMac Holdings, L L C Repurchase Agreement | ||||
Transactions with Affiliates | ||||
Number of subsidiaries entered into master repurchase agreement | item | 1 | |||
Maximum principal balance of VFN | $ 1,000,000,000 | |||
PMT | ||||
Transactions with Affiliates | ||||
Common shares of beneficial interest owned | shares | 75,000 | |||
Repurchase agreement with PennyMac Mortgage Investment Trust: | ||||
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell pledged to creditors | $ 125,929,000 | $ 131,025,000 | ||
Activity during the year: | ||||
Interest income on receivable from PennyMac Mortgage Investment Trust | 1,796,000 | $ 1,976,000 | ||
Activity during the period: | ||||
Dividends received from PennyMac Mortgage Investment Trust | 36,000 | 35,000 | ||
Change in fair value of investment in Common shares of PennyMac Mortgage Investment Trust | 156,000 | 147,000 | ||
Balance at end of period | 192,000 | 182,000 | ||
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell | 125,929,000 | 131,025,000 | ||
Fair value of PennyMac Mortgage Investment Trust shares | $ 1,553,000 | $ 1,397,000 | ||
Number of shares | shares | 75,000 | 75,000 | ||
PMT | PennyMac Holdings, L L C Repurchase Agreement | ||||
Activity during the year: | ||||
Interest income on receivable from PennyMac Mortgage Investment Trust | $ 1,796,000 | $ 1,976,000 |
Transactions with Affiliates _7
Transactions with Affiliates - Financing Activities (Details) - USD ($) | 3 Months Ended | |||
Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2018 | Feb. 01, 2013 | |
Financing activities: | ||||
Issuance pursuant to recapture agreement | $ 508,000 | $ 904,000 | ||
Repayments | 10,552,000 | 12,291,000 | ||
PMT | ||||
Financing activities: | ||||
Gain (loss) recognized | 4,051,000 | (6,921,000) | ||
Interest expense | 3,066,000 | 3,934,000 | ||
Excess servicing spread financing at fair value payable to affiliate | 205,081,000 | $ 216,110,000 | ||
PMT | 2/1/13 Spread Acquisition Agreement | ||||
Financing activities: | ||||
Maximum ESS recapture obligation | $ 200,000 | |||
Excess servicing spread financing | ||||
Financing activities: | ||||
Gain (loss) recognized | (4,051,000) | 6,921,000 | ||
Excess servicing spread financing | PMT | ||||
Financing activities: | ||||
Issuance pursuant to recapture agreement | 508,000 | 904,000 | ||
Repayments | 10,552,000 | 12,291,000 | ||
Gain (loss) recognized | 4,051,000 | (6,921,000) | ||
Interest expense | 3,066,000 | 3,934,000 | ||
Excess servicing spread recapture recognized | 489,000 | $ 830,000 | ||
Excess servicing spread financing at fair value payable to affiliate | $ 205,081,000 | $ 216,110,000 |
Transactions with Affiliates _8
Transactions with Affiliates - Amounts due from Affiliate (Details) - PMT - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Amounts due from affiliate | ||
Fulfillment fees | $ 3,907 | $ 9,066 |
Management fees | 4,350 | 4,841 |
Servicing fees | 7,238 | 6,559 |
Allocated expenses | 1,852 | 2,071 |
Correspondent production fees | 726 | 801 |
Conditional Reimbursement | 11,744 | 10,006 |
Interest on assets purchased under agreements to resell | 134 | 120 |
Total due from affiliate | 29,951 | 33,464 |
Payable to affiliate | ||
Deposits made by PMT | 73,149 | 100,554 |
MSR Recapture Payable to PMT | 160 | 179 |
Other expenses | 3,185 | 3,898 |
Payable to affiliates | $ 76,494 | $ 104,631 |
Transactions with Affiliates _9
Transactions with Affiliates - Exchanged Private National Mortgage Acceptance Company, LLC Unitholders (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2018 | |
Transactions with Affiliates | |||
Amount of tax benefits under the tax sharing agreement (as a percent) | 85.00% | ||
Payable to exchanged PNMAC unitholders under tax receivable agreement | $ 46.5 | $ 46.5 | |
Private National Mortgage Acceptance Company, LLC | |||
Transactions with Affiliates | |||
Payment of tax liability under the tax receivable agreement to Private National Mortgage Acceptance Company, LLC unitholders | $ 0 | $ 0 |
Loan Sales and Servicing Acti_3
Loan Sales and Servicing Activities - Summary of Cash Flows with Transferees (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2018 | |
Cash flows: | |||
Sales proceeds | $ 8,536,430 | $ 11,103,785 | |
Servicing fees received | 137,148 | 113,091 | |
Net servicing advances (recoveries) | (24,176) | $ (10,637) | |
Period end information: | |||
Unpaid principal balance of mortgage loans outstanding | 148,795,055 | $ 145,224,596 | |
30-89 days | 5,489,000 | 6,222,864 | |
90 days or more - Not in foreclosure | 2,085,034 | 2,208,083 | |
90 days or more - In foreclosure | 710,297 | 720,894 | |
90 days or more - Foreclosed | 24,875 | 24,243 | |
Bankruptcy | $ 1,053,399 | $ 970,329 |
Loan Sales and Servicing Acti_4
Loan Sales and Servicing Activities - Summary of Mortgage Servicing Portfolio (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Mortgage servicing portfolio | ||
Mortgage loans held for sale | $ 2,573,121 | $ 2,420,636 |
Total loans serviced | 324,695,313 | 299,293,872 |
Subserviced for the Company | 16,270,233 | 414,219 |
Delinquent mortgage loans: | ||
30 days | 6,723,719 | 7,203,168 |
60 days | 1,892,210 | 2,096,619 |
90 days or more - Not in foreclosure | 3,323,417 | 3,319,607 |
90 days or more - In foreclosure | 1,210,529 | 1,154,518 |
90 days or more - Foreclosed | 193,116 | 209,870 |
Total delinquent mortgage loans | 13,342,991 | 13,983,782 |
Bankruptcy | 1,640,451 | 1,522,189 |
Custodial funds managed by the Company | 5,235,731 | 4,003,986 |
Servicing rights owned | ||
Mortgage servicing portfolio | ||
Mortgage loans held for sale | 2,573,121 | 2,420,636 |
Total loans serviced | 223,407,885 | 204,635,718 |
Subserviced for the Company | 16,270,233 | 414,219 |
Delinquent mortgage loans: | ||
30 days | 6,244,534 | 6,677,179 |
60 days | 1,781,121 | 1,983,381 |
90 days or more - Not in foreclosure | 3,100,186 | 3,102,492 |
90 days or more - In foreclosure | 1,094,892 | 1,027,493 |
90 days or more - Foreclosed | 35,354 | 33,493 |
Total delinquent mortgage loans | 12,256,087 | 12,824,038 |
Bankruptcy | 1,521,842 | 1,415,106 |
Custodial funds managed by the Company | 3,851,327 | 3,033,658 |
Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Total loans serviced | 101,287,428 | 94,658,154 |
Delinquent mortgage loans: | ||
30 days | 479,185 | 525,989 |
60 days | 111,089 | 113,238 |
90 days or more - Not in foreclosure | 223,231 | 217,115 |
90 days or more - In foreclosure | 115,637 | 127,025 |
90 days or more - Foreclosed | 157,762 | 176,377 |
Total delinquent mortgage loans | 1,086,904 | 1,159,744 |
Bankruptcy | 118,609 | 107,083 |
Custodial funds managed by the Company | 1,384,404 | 970,328 |
Non affiliated entities | ||
Mortgage servicing portfolio | ||
Originated | 148,795,055 | 145,224,596 |
Purchased | 72,039,709 | 56,990,486 |
Total loans serviced, excluding loans held for sale | 220,834,764 | 202,215,082 |
Non affiliated entities | Servicing rights owned | ||
Mortgage servicing portfolio | ||
Originated | 148,795,055 | 145,224,596 |
Purchased | 72,039,709 | 56,990,486 |
Total loans serviced, excluding loans held for sale | 220,834,764 | 202,215,082 |
Affiliated entities | ||
Mortgage servicing portfolio | ||
Advised entities | 101,287,428 | 94,658,154 |
Affiliated entities | Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Advised entities | $ 101,287,428 | $ 94,658,154 |
Loan Sales and Servicing Acti_5
Loan Sales and Servicing Activities - Geographical Distribution of Loans (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 324,695,313 | $ 299,293,872 |
California | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 54,790,956 | 51,377,441 |
Florida | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 25,043,416 | 22,650,926 |
Texas | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 24,957,664 | 23,648,042 |
Virginia | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 19,845,177 | 19,011,950 |
Maryland | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 14,748,291 | 13,774,011 |
All other states | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 185,309,809 | $ 168,831,502 |
Fair Value - Financial Statemen
Fair Value - Financial Statement Items Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Assets: | ||
Short-term investments at fair value | $ 149,372 | $ 117,824 |
Mortgage loans held for sale | 2,668,929 | 2,521,647 |
Derivative assets: | ||
Derivative asset, before netting | 185,282 | 123,316 |
Netting | (64,129) | (26,969) |
Total derivative assets | 121,153 | 96,347 |
Mortgage servicing rights at fair value | 2,675,704 | 2,807,333 |
Derivative liabilities: | ||
Derivative liability, before netting | 31,315 | 28,146 |
Netting | (13,477) | (25,082) |
Net amounts of liabilities presented in the consolidated balance sheet | 17,838 | 3,064 |
Mortgage servicing liabilities | 7,844 | 8,681 |
PMT | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 1,553 | 1,397 |
Interest rate lock commitments | ||
Derivative assets: | ||
Total derivative assets | 68,248 | 50,507 |
Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 61,932 | 35,916 |
Derivative liabilities: | ||
Derivative liability, before netting | 3,170 | 215 |
Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 1,215 | 437 |
Derivative liabilities: | ||
Derivative liability, before netting | 25,962 | 26,762 |
MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 6,287 | 720 |
MBS call options | ||
Derivative assets: | ||
Derivative asset, before netting | 6,251 | 2,135 |
Call options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 14,078 | 5,965 |
Put options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 2,639 | 866 |
Recurring basis | ||
Assets: | ||
Short-term investments at fair value | 149,372 | 117,824 |
Mortgage loans held for sale | 2,668,929 | 2,521,647 |
Derivative assets: | ||
Derivative asset, before netting | 185,282 | 123,316 |
Netting | (64,129) | (26,969) |
Total derivative assets | 121,153 | 96,347 |
Mortgage servicing rights at fair value | 2,905,090 | 2,820,612 |
Total assets | 5,846,097 | 5,557,827 |
Derivative liabilities: | ||
Derivative liability, before netting | 31,315 | 28,146 |
Netting | (13,477) | (25,082) |
Net amounts of liabilities presented in the consolidated balance sheet | 17,838 | 3,064 |
Mortgage servicing liabilities | 7,844 | 8,681 |
Total liabilities | 230,763 | 227,855 |
Recurring basis | PMT | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 1,553 | 1,397 |
Derivative liabilities: | ||
Excess servicing spread financing at fair value to affiliate | 205,081 | 216,110 |
Recurring basis | Interest rate lock commitments | ||
Derivative assets: | ||
Derivative asset, before netting | 68,248 | 50,507 |
Derivative liabilities: | ||
Derivative liability, before netting | 2,183 | 1,169 |
Recurring basis | Repurchase agreement derivatives | ||
Derivative assets: | ||
Derivative asset, before netting | 24,632 | 26,770 |
Recurring basis | Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 61,932 | 35,916 |
Derivative liabilities: | ||
Derivative liability, before netting | 3,170 | 215 |
Recurring basis | Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 1,215 | 437 |
Derivative liabilities: | ||
Derivative liability, before netting | 25,962 | 26,762 |
Recurring basis | MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 6,287 | 720 |
Recurring basis | MBS call options | ||
Derivative assets: | ||
Derivative asset, before netting | 6,251 | 2,135 |
Recurring basis | Call options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 14,078 | 5,965 |
Recurring basis | Put options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 2,639 | 866 |
Recurring basis | Level 1 | ||
Assets: | ||
Short-term investments at fair value | 149,372 | 117,824 |
Derivative assets: | ||
Derivative asset, before netting | 16,717 | 6,831 |
Total derivative assets | 16,717 | 6,831 |
Total assets | 167,642 | 126,052 |
Recurring basis | Level 1 | PMT | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 1,553 | 1,397 |
Recurring basis | Level 1 | Call options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 14,078 | 5,965 |
Recurring basis | Level 1 | Put options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 2,639 | 866 |
Recurring basis | Level 2 | ||
Assets: | ||
Mortgage loans held for sale | 2,213,396 | 2,261,639 |
Derivative assets: | ||
Derivative asset, before netting | 75,685 | 39,208 |
Total derivative assets | 75,685 | 39,208 |
Total assets | 2,289,081 | 2,300,847 |
Derivative liabilities: | ||
Derivative liability, before netting | 29,132 | 26,977 |
Net amounts of liabilities presented in the consolidated balance sheet | 29,132 | 26,977 |
Total liabilities | 29,132 | 26,977 |
Recurring basis | Level 2 | Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 61,932 | 35,916 |
Derivative liabilities: | ||
Derivative liability, before netting | 3,170 | 215 |
Recurring basis | Level 2 | Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 1,215 | 437 |
Derivative liabilities: | ||
Derivative liability, before netting | 25,962 | 26,762 |
Recurring basis | Level 2 | MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 6,287 | 720 |
Recurring basis | Level 2 | MBS call options | ||
Derivative assets: | ||
Derivative asset, before netting | 6,251 | 2,135 |
Recurring basis | Level 3 | ||
Assets: | ||
Mortgage loans held for sale | 455,533 | 260,008 |
Derivative assets: | ||
Derivative asset, before netting | 92,880 | 77,277 |
Total derivative assets | 92,880 | 77,277 |
Mortgage servicing rights at fair value | 2,905,090 | 2,820,612 |
Total assets | 3,453,503 | 3,157,897 |
Derivative liabilities: | ||
Derivative liability, before netting | 2,183 | 1,169 |
Net amounts of liabilities presented in the consolidated balance sheet | 2,183 | 1,169 |
Mortgage servicing liabilities | 7,844 | 8,681 |
Total liabilities | 215,108 | 225,960 |
Recurring basis | Level 3 | PMT | ||
Derivative liabilities: | ||
Excess servicing spread financing at fair value to affiliate | 205,081 | 216,110 |
Recurring basis | Level 3 | Interest rate lock commitments | ||
Derivative assets: | ||
Derivative asset, before netting | 68,248 | 50,507 |
Derivative liabilities: | ||
Derivative liability, before netting | 2,183 | 1,169 |
Recurring basis | Level 3 | Repurchase agreement derivatives | ||
Derivative assets: | ||
Derivative asset, before netting | $ 24,632 | $ 26,770 |
Fair Value - Level 3 Input Roll
Fair Value - Level 3 Input Roll Forward, Recurring Basis (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | Jan. 01, 2018 | |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | |||
Mortgage servicing liabilities resulting from mortgage loan sales | $ 794 | $ 2,037 | |
Excess servicing spread financing | |||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | |||
Balance at the beginning of the quarter | 216,110 | 236,534 | |
Accrual of interest on excess servicing spread financing | 3,066 | 3,934 | |
Repayment | (10,552) | (12,291) | |
Changes in fair value included in income | (4,051) | 6,921 | |
Balance at the end of the quarter | 205,081 | 236,002 | |
Recurring basis | |||
Roll forward of assets measured using Level 3 inputs on a recurring basis | |||
Balance at the beginning of the quarter | 3,156,728 | 1,489,149 | |
Reclassification of mortgage servicing rights previously accounted for under the amortization method | $ 1,482,426 | ||
Balance after reclassification | 2,971,575 | ||
Purchases | 1,078,872 | 751,224 | |
Sales and repayments | (187,738) | (604,101) | |
Mortgage servicing rights resulting from mortgage loan sales | 115,751 | 143,910 | |
Changes in fair value included in income arising from: | |||
Changes in instrument specific credit risk | (6,091) | (8,755) | |
Other factors | (199,624) | 17,198 | |
Total changes in fair value included in income | (205,715) | 8,443 | |
Transfers from mortgage loans held for sale from Level 3 to Level 2 | (405,163) | (356,232) | |
Transfers to real estate acquired in settlement of loans | (1,181) | ||
Transfers from interest rate lock commitments to mortgage loans held for sale | (100,234) | (28,061) | |
Balance at the end of the quarter | 3,451,320 | 2,886,758 | |
Changes in fair value recognized during the period relating to assets still held at the end of the period | (196,520) | 105,758 | |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | |||
Balance at the beginning of the quarter | 224,791 | 250,654 | |
Issuances | 508 | 904 | |
Accrual of interest on excess servicing spread financing | 3,066 | 3,934 | |
Repayment | (10,552) | (12,291) | |
Mortgage servicing liabilities resulting from mortgage loan sales | 794 | 2,037 | |
Changes in fair value included in income | (5,682) | 2,827 | |
Balance at the end of the quarter | 212,925 | 248,065 | |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (5,682) | 2,827 | |
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 quarter | 216,110 | 236,534 | |
Issuances | 508 | 904 | |
Accrual of interest on excess servicing spread financing | 3,066 | 3,934 | |
Repayment | (10,552) | (12,291) | |
Changes in fair value included in income | (4,051) | 6,921 | |
Balance at the end of the quarter | 205,081 | 236,002 | |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (4,051) | 6,921 | |
Recurring basis | Mortgage servicing liabilities | |||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | |||
Balance at the beginning of the quarter | 8,681 | 14,120 | |
Mortgage servicing liabilities resulting from mortgage loan sales | 794 | 2,037 | |
Changes in fair value included in income | (1,631) | (4,094) | |
Balance at the end of the quarter | 7,844 | 12,063 | |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (1,631) | (4,094) | |
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 quarter | 260,008 | 782,211 | |
Balance after reclassification | 782,211 | ||
Purchases | 784,262 | 647,269 | |
Sales and repayments | (176,302) | (604,094) | |
Changes in fair value included in income arising from: | |||
Changes in instrument specific credit risk | (6,091) | (8,755) | |
Total changes in fair value included in income | (6,091) | (8,755) | |
Transfers from mortgage loans held for sale from Level 3 to Level 2 | (405,163) | (356,232) | |
Transfers to real estate acquired in settlement of loans | (1,181) | ||
Balance at the end of the quarter | 455,533 | 460,399 | |
Changes in fair value recognized during the period relating to assets still held at the end of the period | (3,540) | (7,598) | |
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 quarter | 49,338 | 58,272 | |
Balance after reclassification | 58,272 | ||
Purchases | 56,983 | 65,598 | |
Changes in fair value included in income arising from: | |||
Other factors | 59,978 | (44,913) | |
Total changes in fair value included in income | 59,978 | (44,913) | |
Transfers from interest rate lock commitments to mortgage loans held for sale | (100,234) | (28,061) | |
Balance at the end of the quarter | 66,065 | 50,896 | |
Changes in fair value recognized during the period relating to assets still held at the end of the period | 66,065 | 50,896 | |
Recurring basis | Repurchase agreement derivatives | |||
Roll forward of assets measured using Level 3 inputs on a recurring basis | |||
Balance at the beginning of the quarter | 26,770 | 10,656 | |
Balance after reclassification | 10,656 | ||
Purchases | 9,855 | 10,751 | |
Sales and repayments | (11,436) | (7) | |
Changes in fair value included in income arising from: | |||
Other factors | (557) | (426) | |
Total changes in fair value included in income | (557) | (426) | |
Balance at the end of the quarter | 24,632 | 20,974 | |
Changes in fair value recognized during the period relating to assets still held at the end of the period | (77) | ||
Recurring basis | Mortgage servicing rights | |||
Roll forward of assets measured using Level 3 inputs on a recurring basis | |||
Balance at the beginning of the quarter | 2,820,612 | 638,010 | |
Reclassification of mortgage servicing rights previously accounted for under the amortization method | 1,482,426 | ||
Balance after reclassification | $ 2,120,436 | ||
Purchases | 227,772 | 27,606 | |
Mortgage servicing rights resulting from mortgage loan sales | 115,751 | 143,910 | |
Changes in fair value included in income arising from: | |||
Other factors | (259,045) | 62,537 | |
Total changes in fair value included in income | (259,045) | 62,537 | |
Balance at the end of the quarter | 2,905,090 | 2,354,489 | |
Changes in fair value recognized during the period relating to assets still held at the end of the period | $ (259,045) | $ 62,537 |
Fair Value - Changes in Fair Va
Fair Value - Changes in Fair Value, Fair Value Option, Recurring Basis (Details) - Recurring basis - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
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 | $ 5,682 | $ (2,827) |
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 | 5,682 | (2,827) |
Excess servicing spread financing | ||
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ||
Total gains (losses) from changes in estimated fair values included in earnings | 4,051 | (6,921) |
Excess servicing spread financing | Net loan servicing fees | ||
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ||
Total gains (losses) from changes in estimated fair values included in earnings | 4,051 | (6,921) |
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 | 1,631 | 4,094 |
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 | 1,631 | 4,094 |
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 | (157,050) | 56,419 |
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 | 101,995 | (6,118) |
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 | (259,045) | 62,537 |
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 | 101,995 | (6,118) |
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 | 101,995 | (6,118) |
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 | (259,045) | 62,537 |
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 | $ (259,045) | $ 62,537 |
Fair Value - Fair Value Option
Fair Value - Fair Value Option Maturities, Recurring Basis (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Fair value | ||
Total fair value | $ 2,668,929 | $ 2,521,647 |
Recurring basis | ||
Fair value | ||
Total fair value | 2,668,929 | 2,521,647 |
Mortgage loans held for sale | Recurring basis | ||
Fair value | ||
Current through 89 days delinquent | 2,357,344 | 2,324,203 |
Not in foreclosure | 235,957 | 143,631 |
In foreclosure | 75,628 | 53,813 |
Total fair value | 2,668,929 | 2,521,647 |
Principal amount due upon maturity | ||
Current through 89 days delinquent | 2,252,816 | 2,220,371 |
Not in foreclosure | 240,728 | 144,011 |
In foreclosure | 79,577 | 56,254 |
Total principal amount due upon maturity | 2,573,121 | 2,420,636 |
Difference | ||
Current through 89 days delinquent | 104,528 | 103,832 |
Not in foreclosure | (4,771) | (380) |
In foreclosure | (3,949) | (2,441) |
Total difference | $ 95,808 | $ 101,011 |
Fair Value - Measurement Basis,
Fair Value - Measurement Basis, Nonrecurring (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2018 | |
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||
Notes Payable | $ 1,292,736 | $ 1,292,291 | |
Nonrecurring basis | |||
Financial statement items measured at fair value on a nonrecurring basis | |||
Real estate acquired in settlement of loans | 719 | 2,150 | |
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||
Real estate acquired in settlement of loans | 21 | $ 27 | |
Nonrecurring basis | Level 3 | |||
Financial statement items measured at fair value on a nonrecurring basis | |||
Real estate acquired in settlement of loans | 719 | 2,150 | |
Fair Values | |||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||
Notes Payable | $ 1,300,000 | $ 1,300,000 |
Fair Value - Level 3 Unobservab
Fair Value - Level 3 Unobservable Inputs, Mortgage Loans and IRLC (Details) - item | Mar. 31, 2019 | Dec. 31, 2018 |
Mortgage loans held for sale | Discount rate | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 3.1 | 2.8 |
Mortgage loans held for sale | Discount rate | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 9.2 | 9.2 |
Mortgage loans held for sale | Discount rate | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 3.1 | 2.9 |
Mortgage loans held for sale | Twelve-month projected housing price index Change | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 3 | 2.2 |
Mortgage loans held for sale | Twelve-month projected housing price index Change | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 4.8 | 5 |
Mortgage loans held for sale | Twelve-month projected housing price index Change | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 3.3 | 3.5 |
Mortgage loans held for sale | Prepayment/resale speed | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 0.1 | 0.1 |
Mortgage loans held for sale | Prepayment/resale speed | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 24.3 | 21.8 |
Mortgage loans held for sale | Prepayment/resale speed | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 22 | 20.1 |
Mortgage loans held for sale | Total prepayment speed | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 0.1 | 0.1 |
Mortgage loans held for sale | Total prepayment speed | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 42 | 40.5 |
Mortgage loans held for sale | Total prepayment speed | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 39.2 | 37.7 |
Interest rate lock commitments | Pull-through rate | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 12.2 | 16.6 |
Interest rate lock commitments | Pull-through rate | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 100 | 100 |
Interest rate lock commitments | Pull-through rate | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 82.8 | 84.1 |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 1.1 | 1.5 |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 5.7 | 5.5 |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 3.8 | 3.8 |
Interest rate lock commitments | Percentage of unpaid principal balance | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 0.3 | 0.4 |
Interest rate lock commitments | Percentage of unpaid principal balance | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 2.7 | 3.2 |
Interest rate lock commitments | Percentage of unpaid principal balance | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 1.5 | 1.5 |
Repurchase agreement derivatives | ||
Excess servicing spread financing | ||
Acceptance rate (as a percent) | 97.00% | 97.00% |
Fair Value - Level 3 Unobserv_2
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Rights - Initial Recognition (Details) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2019USD ($)item | Mar. 31, 2018USD ($)item | Dec. 31, 2018USD ($)item | |
Mortgage servicing rights | |||
Inputs | |||
Amount recognized | $ | $ 115,751,000 | $ 143,910,000 | |
Fair Values | Mortgage servicing rights | Level 3 | Minimum | |||
Inputs: | |||
Annual per-loan cost of servicing | $ | 78 | $ 78 | |
Fair Values | Mortgage servicing rights | Level 3 | Maximum | |||
Inputs: | |||
Annual per-loan cost of servicing | $ | 100 | 99 | |
Fair Values | Mortgage servicing rights | Level 3 | Weighted average | |||
Inputs: | |||
Annual per-loan cost of servicing | $ | $ 97 | $ 93 | |
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Minimum | |||
Inputs: | |||
Input | 6 | 5.8 | |
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Maximum | |||
Inputs: | |||
Input | 15.8 | 16.1 | |
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Weighted average | |||
Inputs: | |||
Input | 8.7 | 8.7 | |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Minimum | |||
Inputs: | |||
Input | 9 | 8.4 | |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Maximum | |||
Inputs: | |||
Input | 33.5 | 32.6 | |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Weighted average | |||
Inputs: | |||
Input | 11.4 | 9.9 | |
Fair Values | Mortgage servicing rights | Life | Level 3 | Minimum | |||
Inputs: | |||
Input | 1.5 | 1.5 | |
Fair Values | Mortgage servicing rights | Life | Level 3 | Maximum | |||
Inputs: | |||
Input | 7.6 | 7.9 | |
Fair Values | Mortgage servicing rights | Life | Level 3 | Weighted average | |||
Inputs: | |||
Input | 6.6 | 7.2 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | |||
Inputs | |||
Amount recognized | $ | $ 115,751,000 | 143,910,000 | |
Unpaid principal balance of underlying mortgage loans | $ | $ 8,145,850,000 | $ 10,162,316,000 | |
Weighted-average servicing fee rate (as a percent) | 0.39% | 0.35% | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Minimum | |||
Inputs: | |||
Annual per-loan cost of servicing | $ | $ 78 | $ 78 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Maximum | |||
Inputs: | |||
Annual per-loan cost of servicing | $ | 100 | 98 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Weighted average | |||
Inputs: | |||
Annual per-loan cost of servicing | $ | $ 95 | $ 89 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Minimum | |||
Inputs: | |||
Input | 5.8 | 7.4 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Maximum | |||
Inputs: | |||
Input | 15.6 | 14.1 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Weighted average | |||
Inputs: | |||
Input | 8.9 | 10.3 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Minimum | |||
Inputs: | |||
Input | 5.8 | 3.9 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Maximum | |||
Inputs: | |||
Input | 73 | 49 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Weighted average | |||
Inputs: | |||
Input | 15.3 | 8.9 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Minimum | |||
Inputs: | |||
Input | 0.8 | 1.1 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Maximum | |||
Inputs: | |||
Input | 10.2 | 11.6 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Weighted average | |||
Inputs: | |||
Input | 5.8 | 8.2 |
Fair Value - Level 3 Unobserv_3
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Rights, Effect of Change In Inputs on Fair Value (Details) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2019USD ($)item | Dec. 31, 2018USD ($)item | |
MSR and pool characteristics | ||
Carrying value | $ 2,905,090,000 | $ 2,820,612,000 |
Mortgage servicing liabilities | Level 3 | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 364 | 373 |
Fair Values | Mortgage servicing rights | Level 3 | ||
MSR and pool characteristics | ||
Carrying value | 2,905,090,000 | 2,820,612,000 |
Unpaid principal balance of underlying mortgage loans | $ 219,834,361,000 | $ 201,054,144,000 |
Weighted-average note interest rate (as a percent) | 4 | 4 |
Weighted-average servicing fee rate (as a percent) | 0.33% | 0.33% |
Pricing spread | ||
Effect on fair value of 5% adverse change | $ (45,330,000) | $ (45,268,000) |
Effect on fair value of 10% adverse change | (89,217,000) | (89,073,000) |
Effect on fair value of 20% adverse change | (172,915,000) | (172,556,000) |
Prepayment speed | ||
Effect on fair value of 5% adverse change | (54,920,000) | (47,687,000) |
Effect on fair value of 10% adverse change | (107,628,000) | (93,626,000) |
Effect on fair value of 20% adverse change | (206,907,000) | (180,623,000) |
Annual per-loan cost of servicing | ||
Effect on fair value of 5% adverse change | (24,494,000) | (22,944,000) |
Effect on fair value of 10% adverse change | (49,004,000) | (45,888,000) |
Effect on fair value of 20% adverse change | (98,024,000) | (91,775,000) |
Fair Values | Mortgage servicing rights | Level 3 | Minimum | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 78 | 78 |
Fair Values | Mortgage servicing rights | Level 3 | Maximum | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 100 | 99 |
Fair Values | Mortgage servicing rights | Level 3 | Weighted average | ||
Prepayment speed | ||
Annual per-loan cost of servicing | $ 97 | $ 93 |
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Minimum | ||
Inputs | ||
Input | item | 6 | 5.8 |
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Maximum | ||
Inputs | ||
Input | item | 15.8 | 16.1 |
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Weighted average | ||
Inputs | ||
Input | item | 8.7 | 8.7 |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Minimum | ||
Inputs | ||
Input | item | 9 | 8.4 |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Maximum | ||
Inputs | ||
Input | item | 33.5 | 32.6 |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Weighted average | ||
Inputs | ||
Input | item | 11.4 | 9.9 |
Fair Values | Mortgage servicing rights | Life | Level 3 | Minimum | ||
Inputs | ||
Input | item | 1.5 | 1.5 |
Fair Values | Mortgage servicing rights | Life | Level 3 | Maximum | ||
Inputs | ||
Input | item | 7.6 | 7.9 |
Fair Values | Mortgage servicing rights | Life | Level 3 | Weighted average | ||
Inputs | ||
Input | item | 6.6 | 7.2 |
Fair Value - Level 3 Unobserv_4
Fair Value - Level 3 Unobservable Inputs, ESS (Details) - Excess servicing spread financing - Level 3 $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2019USD ($)item | Dec. 31, 2018USD ($)item | |
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 | $ | $ 205,081 | $ 216,110 |
Unpaid principal balance of underlying mortgage loans | $ | $ 22,664,211 | $ 23,196,033 |
Average servicing fee rate (as a percent) | 0.34 | 0.34 |
Average excess servicing spread (as a percent) | 0.19 | 0.19 |
Pricing spread | 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] | ||
Input | 3 | 2.8 |
Pricing spread | 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] | ||
Input | 3.3 | 3.2 |
Pricing spread | 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] | ||
Input | 3.2 | 3.1 |
Annual total prepayment speed | 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] | ||
Input | 8.5 | 8.2 |
Annual total prepayment speed | 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] | ||
Input | 29.9 | 29.5 |
Annual total prepayment speed | 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] | ||
Input | 10.4 | 9.7 |
Life | 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] | ||
Input | 1.5 | 1.6 |
Life | 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] | ||
Input | 7.4 | 7.6 |
Life | 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] | ||
Input | 6.5 | 6.8 |
Fair Value - Level 3 Unobserv_5
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Liabilities (Details) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2019USD ($)item | Dec. 31, 2018USD ($)item | |
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 | $ 7,844,000 | $ 8,681,000 |
Mortgage servicing liabilities | Level 3 | ||
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 | 7,844,000 | 8,681,000 |
Unpaid principal balance of underlying mortgage loans | $ 1,000,403,000 | $ 1,160,938,000 |
Servicing fee rate (as a percent) | 0.0025 | 0.0025 |
Annual per-loan cost of servicing | $ 364 | $ 373 |
Mortgage servicing liabilities | Pricing spread | Level 3 | ||
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] | ||
Input | item | 7.4 | 7.3 |
Mortgage servicing liabilities | Annual total prepayment speed | Level 3 | ||
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] | ||
Input | item | 32.6 | 32.2 |
Mortgage servicing liabilities | Life | Level 3 | ||
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] | ||
Input | item | 3.6 | 3.8 |
Mortgage Loans Held for Sale _3
Mortgage Loans Held for Sale at Fair Value (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale | $ 2,668,929 | $ 2,521,647 |
Fair value of mortgage loans pledged to secure assets sold under agreements to repurchase | 2,065,151 | 1,923,857 |
Fair value of mortgage loans pledged to secure mortgage loan participation and sale agreement | 574,518 | 555,001 |
Pledged Assets Separately Reported, Loans Pledged as Collateral, at Fair Value, Total | 2,639,669 | 2,478,858 |
Government-insured or guaranteed | ||
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale | 2,083,470 | 2,116,126 |
Conventional mortgage loans | ||
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale | 129,926 | 145,513 |
Home equity lines of credit | ||
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale | 86 | |
Mortgage loans purchased from Ginnie Mae pools serviced by the entity | ||
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale | 446,290 | 250,585 |
Mortgage loans repurchased pursuant to representations and warranties | ||
Mortgage Loans Held for Sale at Fair Value | ||
Mortgage loans held for sale | $ 9,157 | $ 9,423 |
Derivative Activities - Other I
Derivative Activities - Other Information (Details) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2019 | Mar. 31, 2018 | Mar. 31, 2019 | Dec. 31, 2018 | |
Derivative assets: | ||||
Derivative asset, before netting | $ 185,282 | $ 123,316 | ||
Netting | (64,129) | (26,969) | ||
Total derivative assets | 121,153 | 96,347 | ||
Derivative liabilities: | ||||
Derivative liability, before netting | 31,315 | 28,146 | ||
Netting | (13,477) | (25,082) | ||
Net amounts of liabilities presented in the consolidated balance sheet | 17,838 | 3,064 | ||
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 | $ (557) | $ (426) | ||
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 | (34,668) | 87,747 | ||
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 | 134,557 | (103,593) | ||
Margin Deposits | ||||
Derivative assets: | ||||
Derivative asset, before netting | 50,652 | 1,887 | ||
Interest rate lock commitments | ||||
Derivative assets: | ||||
Total derivative assets | 68,248 | 50,507 | ||
Interest rate lock commitments | Net gains on mortgage loans held for sale at fair value | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Gains (losses) recognized on derivative financial instruments | 16,727 | (7,376) | ||
Forward contracts | Purchases | ||||
Derivative Instruments | ||||
Notional amount | 6,657,026 | 9,313,389 | 6,657,026 | |
Derivative assets: | ||||
Derivative asset, before netting | 61,932 | 35,916 | ||
Derivative liabilities: | ||||
Derivative liability, before netting | 3,170 | 215 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of quarter | 6,657,026 | |||
Balance end of quarter | 9,313,389 | |||
Forward contracts | Sales | ||||
Derivative Instruments | ||||
Notional amount | 6,890,046 | 7,583,005 | 6,890,046 | |
Derivative assets: | ||||
Derivative asset, before netting | 1,215 | 437 | ||
Derivative liabilities: | ||||
Derivative liability, before netting | 25,962 | 26,762 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of quarter | 6,890,046 | |||
Balance end of quarter | 7,583,005 | |||
MBS put options | ||||
Derivative Instruments | ||||
Notional amount | 4,635,000 | 9,425,000 | 4,635,000 | |
Derivative assets: | ||||
Derivative asset, before netting | 6,287 | 720 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of quarter | 4,635,000 | |||
Balance end of quarter | 9,425,000 | |||
MBS call options | ||||
Derivative Instruments | ||||
Notional amount | 1,450,000 | 3,350,000 | 1,450,000 | |
Derivative assets: | ||||
Derivative asset, before netting | 6,251 | 2,135 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of quarter | 1,450,000 | |||
Balance end of quarter | 3,350,000 | |||
Put options on interest rate futures | Purchases | ||||
Derivative Instruments | ||||
Notional amount | 3,085,000 | 3,350,000 | 3,085,000 | |
Derivative assets: | ||||
Derivative asset, before netting | 2,639 | 866 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of quarter | 3,085,000 | |||
Balance end of quarter | 3,350,000 | |||
Call options on interest rate futures | Purchases | ||||
Derivative Instruments | ||||
Notional amount | 1,512,500 | 2,250,000 | 1,512,500 | |
Derivative assets: | ||||
Derivative asset, before netting | 14,078 | 5,965 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of quarter | 1,512,500 | |||
Balance end of quarter | 2,250,000 | |||
Treasury future | Purchases | ||||
Derivative Instruments | ||||
Notional amount | 835,000 | 1,810,000 | 835,000 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of quarter | 835,000 | |||
Balance end of quarter | 1,810,000 | |||
Treasury future | Sales | ||||
Derivative Instruments | ||||
Notional amount | 1,450,000 | 1,075,000 | 1,450,000 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of quarter | 1,450,000 | |||
Balance end of quarter | 1,075,000 | |||
Interest rate swap futures | Purchases | ||||
Derivative Instruments | ||||
Notional amount | 625,000 | 1,025,000 | 625,000 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of quarter | 625,000 | |||
Balance end of quarter | 1,025,000 | |||
Not designated as hedging instrument | Repurchase agreement derivatives | ||||
Derivative assets: | ||||
Derivative asset, before netting | 24,632 | 26,770 | ||
Not designated as hedging instrument | Interest rate lock commitments | ||||
Derivative Instruments | ||||
Notional amount | 2,805,400 | 3,821,942 | 2,805,400 | |
Derivative assets: | ||||
Derivative asset, before netting | 68,248 | 50,507 | ||
Derivative liabilities: | ||||
Derivative liability, before netting | 2,183 | 1,169 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of quarter | 2,805,400 | |||
Balance end of quarter | 3,821,942 | |||
Not designated as hedging instrument | Forward contracts | Purchases | ||||
Derivative Instruments | ||||
Notional amount | 6,657,026 | 4,920,883 | 9,313,389 | 6,657,026 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of quarter | 6,657,026 | 4,920,883 | ||
Additions | 52,621,845 | 45,330,785 | ||
Dispositions/expirations | (49,965,482) | (43,707,885) | ||
Balance end of quarter | 9,313,389 | 6,543,783 | ||
Not designated as hedging instrument | Forward contracts | Sales | ||||
Derivative Instruments | ||||
Notional amount | 6,890,046 | 5,204,796 | 7,583,005 | 6,890,046 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of quarter | 6,890,046 | 5,204,796 | ||
Additions | 59,673,487 | 56,355,552 | ||
Dispositions/expirations | (58,980,528) | (54,636,002) | ||
Balance end of quarter | 7,583,005 | 6,924,346 | ||
Not designated as hedging instrument | MBS put options | ||||
Derivative Instruments | ||||
Notional amount | 4,635,000 | 4,925,000 | 9,425,000 | 4,635,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of quarter | 4,635,000 | 4,925,000 | ||
Additions | 19,160,000 | 4,500,000 | ||
Dispositions/expirations | (14,370,000) | (5,675,000) | ||
Balance end of quarter | 9,425,000 | 3,750,000 | ||
Not designated as hedging instrument | MBS call options | ||||
Derivative Instruments | ||||
Notional amount | 1,450,000 | 3,350,000 | 1,450,000 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of quarter | 1,450,000 | |||
Additions | 4,500,000 | 5,675,000 | ||
Dispositions/expirations | (2,600,000) | (5,675,000) | ||
Balance end of quarter | 3,350,000 | |||
Not designated as hedging instrument | Put options on interest rate futures | Purchases | ||||
Derivative Instruments | ||||
Notional amount | 3,085,000 | 2,125,000 | 3,350,000 | 3,085,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of quarter | 3,085,000 | 2,125,000 | ||
Additions | 6,675,000 | 5,525,000 | ||
Dispositions/expirations | (6,410,000) | (4,850,000) | ||
Balance end of quarter | 3,350,000 | 2,800,000 | ||
Not designated as hedging instrument | Put options on interest rate futures | Sales | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Additions | 10,135,300 | 4,850,000 | ||
Dispositions/expirations | (10,135,300) | (4,850,000) | ||
Not designated as hedging instrument | Call options on interest rate futures | Purchases | ||||
Derivative Instruments | ||||
Notional amount | 1,512,500 | 100,000 | 2,250,000 | 1,512,500 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of quarter | 1,512,500 | 100,000 | ||
Additions | 4,462,800 | 375,000 | ||
Dispositions/expirations | (3,725,300) | (250,000) | ||
Balance end of quarter | 2,250,000 | 225,000 | ||
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 | 250,000 | |||
Dispositions/expirations | (250,000) | |||
Not designated as hedging instrument | Treasury future | Purchases | ||||
Derivative Instruments | ||||
Notional amount | 835,000 | 100,000 | 1,810,000 | 835,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of quarter | 835,000 | 100,000 | ||
Additions | 4,111,200 | 1,904,900 | ||
Dispositions/expirations | (3,136,200) | (1,494,900) | ||
Balance end of quarter | 1,810,000 | 510,000 | ||
Not designated as hedging instrument | Treasury future | Sales | ||||
Derivative Instruments | ||||
Notional amount | 1,450,000 | 1,250,000 | 1,075,000 | 1,450,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of quarter | 1,450,000 | |||
Additions | 2,761,200 | 3,406,200 | ||
Dispositions/expirations | (3,136,200) | (2,156,200) | ||
Balance end of quarter | 1,075,000 | 1,250,000 | ||
Not designated as hedging instrument | Interest rate swap futures | Purchases | ||||
Derivative Instruments | ||||
Notional amount | 625,000 | 1,400,000 | $ 1,025,000 | $ 625,000 |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | ||||
Balance at beginning of quarter | 625,000 | 1,400,000 | ||
Additions | 400,000 | 465,000 | ||
Dispositions/expirations | (1,400,000) | |||
Balance end of quarter | $ 1,025,000 | 465,000 | ||
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 | 1,400,000 | |||
Dispositions/expirations | $ (1,400,000) |
Derivative Activities - Offsett
Derivative Activities - Offsetting of Derivative Assets (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized assets | $ 92,880 | $ 77,277 |
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 92,402 | 46,039 |
Gross amounts offset in the consolidated balance sheet | (64,129) | (26,969) |
Net amounts of assets presented in the consolidated balance sheet | 28,273 | 19,070 |
Total | ||
Gross amounts of recognized assets | 185,282 | 123,316 |
Net amounts of assets presented in the balance sheet | 121,153 | 96,347 |
Interest rate lock commitments | ||
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized assets | 68,248 | 50,507 |
Total | ||
Net amounts of assets presented in the balance sheet | 68,248 | 50,507 |
Repurchase agreement derivatives | ||
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized assets | 24,632 | 26,770 |
MBS put options | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 6,287 | 720 |
Net amounts of assets presented in the consolidated balance sheet | 6,287 | 720 |
Total | ||
Gross amounts of recognized assets | 6,287 | 720 |
MBS call options | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 6,251 | 2,135 |
Net amounts of assets presented in the consolidated balance sheet | 6,251 | 2,135 |
Total | ||
Gross amounts of recognized assets | 6,251 | 2,135 |
Forward contracts | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 61,932 | 35,916 |
Net amounts of assets presented in the consolidated balance sheet | 61,932 | 35,916 |
Total | ||
Gross amounts of recognized assets | 61,932 | 35,916 |
Forward contracts | Sales | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 1,215 | 437 |
Net amounts of assets presented in the consolidated balance sheet | 1,215 | 437 |
Total | ||
Gross amounts of recognized assets | 1,215 | 437 |
Put options on interest rate futures | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 2,639 | 866 |
Net amounts of assets presented in the consolidated balance sheet | 2,639 | 866 |
Total | ||
Gross amounts of recognized assets | 2,639 | 866 |
Call options on interest rate futures | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 14,078 | 5,965 |
Net amounts of assets presented in the consolidated balance sheet | 14,078 | 5,965 |
Total | ||
Gross amounts of recognized assets | 14,078 | 5,965 |
Margin Deposits | ||
Total | ||
Gross amounts of recognized assets | $ 50,652 | $ 1,887 |
Derivative Activities - Offse_2
Derivative Activities - Offsetting of Derivative Assets - Derivative Assets, Financial Assets, and Collateral Held by Counterparty (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Total | ||
Net amounts of assets presented in the balance sheet | $ 121,153 | $ 96,347 |
Net amount | 121,153 | 96,347 |
Deutsche Bank AG | ||
Total | ||
Net amounts of assets presented in the balance sheet | 24,632 | 26,770 |
Net amount | 24,632 | 26,770 |
RJ O'Brien | ||
Total | ||
Net amounts of assets presented in the balance sheet | 16,717 | 6,831 |
Net amount | 16,717 | 6,831 |
Wells Fargo Bank, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 2,275 | 3,707 |
Net amount | 2,275 | 3,707 |
Bank of America, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 4,052 | 2,781 |
Net amount | 4,052 | 2,781 |
Citibank, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 2,488 | |
Net amount | 2,488 | |
JP Morgan | ||
Total | ||
Net amounts of assets presented in the balance sheet | 3,494 | 1,399 |
Net amount | 3,494 | 1,399 |
Goldman Sachs | ||
Total | ||
Net amounts of assets presented in the balance sheet | 1,286 | |
Net amount | 1,286 | |
Other | ||
Total | ||
Net amounts of assets presented in the balance sheet | 449 | 1,864 |
Net amount | 449 | 1,864 |
Interest rate lock commitments | ||
Total | ||
Net amounts of assets presented in the balance sheet | 68,248 | 50,507 |
Net amount | $ 68,248 | $ 50,507 |
Derivative Activities - Offse_3
Derivative Activities - Offsetting of Derivative Assets - Offsetting of Derivative and Financial Liabilities (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2019 | Dec. 31, 2018 | |
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | $ 29,132 | $ 26,977 |
Netting | (13,477) | (25,082) |
Net amounts of liabilities presented in the balance sheet | 15,655 | 1,895 |
Total | ||
Gross amounts of recognized liabilities | 31,315 | 28,146 |
Net amounts of liabilities presented in the consolidated balance sheet | 17,838 | 3,064 |
Mortgage loans sold under agreements to repurchase | ||
Net amounts of liabilities presented in the consolidated balance sheet | 2,152,588 | |
Debt Issuance Costs | ||
Debt issuance costs, gross | (650) | (1,341) |
Debt issuance costs | (650) | (1,341) |
Gross amounts of recognized liabilities | 2,151,938 | 1,933,859 |
Net amount of liabilities in the consolidated balance sheet | 2,151,938 | 1,933,859 |
Total | ||
Gross amounts of recognized liabilities | 2,183,253 | 1,962,005 |
Gross amounts offset in the consolidated balance sheet | (13,477) | (25,082) |
Net amounts of liabilities presented in the consolidated balance sheet | 2,170,426 | 1,938,264 |
Net amount of liabilities in the consolidated balance sheet | 17,838 | 3,064 |
Receivable from Counterparties | ||
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 2,169,776 | 1,936,923 |
Assets sold under agreements to repurchase | ||
Mortgage loans sold under agreements to repurchase | ||
Gross amounts of recognized liabilities | 2,152,588 | 1,935,200 |
Net amounts of liabilities presented in the consolidated balance sheet | 2,152,588 | 1,935,200 |
Net amounts of liabilities presented in the consolidated balance sheet | 2,152,588 | 1,935,200 |
Debt Issuance Costs | ||
Debt issuance costs | (650) | (1,341) |
Net amount of liabilities in the consolidated balance sheet | 2,151,938 | 1,933,859 |
Forward contracts | Purchases | ||
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | 3,170 | 215 |
Net amounts of liabilities presented in the balance sheet | 3,170 | 215 |
Total | ||
Gross amounts of recognized liabilities | 3,170 | 215 |
Forward contracts | Sales | ||
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | 25,962 | 26,762 |
Net amounts of liabilities presented in the balance sheet | 25,962 | 26,762 |
Total | ||
Gross amounts of recognized liabilities | 25,962 | 26,762 |
Interest rate lock commitments | ||
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized liabilities | 2,183 | 1,169 |
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 2,183 | 1,169 |
Net amount of liabilities in the consolidated balance sheet | $ 2,183 | $ 1,169 |
Derivative Activities - Offse_4
Derivative Activities - Offsetting of Derivative Assets - Derivative Liabilities, Financial Liabilities, and Collateral Held by Counterparty (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | $ 2,170,426 | $ 1,938,264 |
Financial instruments | (2,152,588) | (1,935,200) |
Net amount of liabilities in the consolidated balance sheet | 17,838 | 3,064 |
Credit Suisse First Boston Mortgage Capital LLC | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 848,914 | 691,030 |
Financial instruments | (845,622) | (690,766) |
Net amount of liabilities in the consolidated balance sheet | 3,292 | 264 |
Bank of America, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 170,859 | 170,820 |
Financial instruments | (170,859) | (170,820) |
Deutsche Bank AG | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 692,010 | 741,978 |
Financial instruments | (692,010) | (741,978) |
Royal Bank of Canada | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 40,099 | 35,181 |
Financial instruments | (40,099) | (35,181) |
JP Morgan | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 50,875 | 54,326 |
Financial instruments | (50,875) | (54,326) |
Morgan Stanley Bank | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 80,998 | 77,687 |
Financial instruments | (71,069) | (77,687) |
Net amount of liabilities in the consolidated balance sheet | 9,929 | |
Citibank, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 83,533 | 14,960 |
Financial instruments | (82,659) | (14,960) |
Net amount of liabilities in the consolidated balance sheet | 874 | |
Federal National Mortgage Association | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 764 | |
Net amount of liabilities in the consolidated balance sheet | 764 | |
BNP Paribas | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 199,395 | 149,675 |
Financial instruments | (199,395) | (149,482) |
Net amount of liabilities in the consolidated balance sheet | 193 | |
Other | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 796 | 1,438 |
Net amount of liabilities in the consolidated balance sheet | 796 | 1,438 |
Interest rate lock commitments | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 2,183 | 1,169 |
Net amount of liabilities in the consolidated balance sheet | $ 2,183 | $ 1,169 |
Mortgage Servicing Rights and_3
Mortgage Servicing Rights and Mortgage Servicing Liabilities - Activity in MSRs at Fair Value (Details) - USD ($) $ in Thousands | 3 Months Ended | ||||
Mar. 31, 2019 | Mar. 31, 2018 | Jan. 01, 2019 | Dec. 31, 2018 | Jan. 01, 2018 | |
Activity in MSRs carried at fair value | |||||
Balance at beginning of quarter | $ 2,807,333 | ||||
Change in fair value: | |||||
Balance at end of quarter | 2,675,704 | ||||
Mortgage servicing rights | |||||
Activity in MSRs carried at fair value | |||||
Balance at beginning of quarter | 2,820,612 | $ 638,010 | |||
Reclassification of mortgage servicing rights previously accounted for under the amortization method | $ 1,482,426 | ||||
Balance after reclassification | $ 2,820,612 | $ 2,120,436 | |||
Additions - Purchases | 227,772 | 27,606 | |||
Additions - Mortgage servicing rights resulting from mortgage loan sales | 115,751 | 143,910 | |||
Additions | 343,523 | 171,516 | |||
Change in fair value: | |||||
Changes in inputs used in valuation model | (161,638) | 130,449 | |||
Other changes in fair value | (97,407) | (67,912) | |||
Total change in fair value | (259,045) | 62,537 | |||
Balance at end of quarter | 2,905,090 | $ 2,354,489 | |||
Total | $ 2,675,704 | $ 2,807,333 |
Mortgage Servicing Rights and_4
Mortgage Servicing Rights and Mortgage Servicing Liabilities - Mortgage Servicing Liabilities Carried at FV (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Amortized cost: | ||
Mortgage servicing liabilities resulting from mortgage loan sales | $ 794 | $ 2,037 |
Mortgage servicing liabilities | ||
Amortized cost: | ||
Balance at beginning of period | 8,681 | 14,120 |
Mortgage servicing liabilities resulting from mortgage loan sales | 794 | 2,037 |
Changes in valuation inputs used in valuation model | 3,301 | 2,643 |
Other changes in fair value | (4,932) | (6,737) |
Total change in fair value | (1,631) | (4,094) |
Balance at end of period | $ 7,844 | $ 12,063 |
Mortgage Servicing Rights and_5
Mortgage Servicing Rights and Mortgage Servicing Liabilities - Servicing, Late, Ancillary and Other Fees Relating to MSRs (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Contractual servicing fees | $ 166,790 | $ 135,483 |
Ancillary and other fees | ||
Other | 22,017 | 14,171 |
Bank Servicing Fees | 80,571 | 116,789 |
Mortgage servicing rights | ||
Contractual servicing fees | 166,790 | 135,483 |
Ancillary and other fees | ||
Late charges | 9,812 | 7,459 |
Other | 1,661 | 1,562 |
Bank Servicing Fees | $ 178,263 | $ 144,504 |
Leases (Details)
Leases (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2019USD ($)item | |
Leases | |
Operating lease option to extend | true |
Lease expenses: | |
Lease cost | $ 3,229 |
Short-term lease cost | 217 |
Sublease income | (32) |
Total lease cost | 3,414 |
Cash payments for operating leases | 3,846 |
Right-of-use assets obtained in exchange for lease obligations | $ 58,598 |
Remaining lease term (in year) | 6 years 3 months 18 days |
Discount rate (as a percent) | 4.60% |
Operating lease liabilities | |
2020 | $ 15,683 |
2021 | 14,993 |
2022 | 13,397 |
2023 | 11,941 |
2024 | 10,343 |
Thereafter | 21,999 |
Total lease payments | 88,356 |
Less imputed interest | (11,983) |
Total | $ 76,373 |
Number of operating leases not yet commenced. | item | 1 |
Lease expense from leases not yet commenced | $ 1,500 |
Minimum | |
Leases | |
Remaining operating lease term | 1 year |
Maximum | |
Leases | |
Remaining operating lease term | 10 years |
Operating lease renewal term | 5 years |
Borrowings - Assets Sold Under
Borrowings - Assets Sold Under Agreement to Repurchase (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2018 | |
During the period: | |||
Total interest expense | $ 8,635 | $ 6,732 | |
Carrying value: | |||
Unpaid principal balance | 2,152,588 | ||
Unamortized debt issuance costs and premiums | (650) | $ (1,341) | |
Total loans sold under agreements to repurchase | 2,151,938 | 1,933,859 | |
Servicing advances | 147,435 | 162,895 | |
Assets sold under agreements to repurchase | |||
During the period: | |||
Average balance of mortgage loans sold under agreements to repurchase | $ 1,437,957 | $ 1,643,443 | |
Weighted-average interest rate (as a percent) | 4.47% | 3.59% | |
Total interest expense | $ 8,635 | $ 6,732 | |
Maximum daily amount outstanding | 2,152,588 | 2,380,121 | |
Carrying value: | |||
Unpaid principal balance | 2,152,588 | 1,935,200 | |
Unamortized debt issuance costs and premiums | (650) | (1,341) | |
Total loans sold under agreements to repurchase | $ 2,151,938 | $ 1,933,859 | |
Weighted average interest rate (as a percent) | 4.35% | 4.22% | |
Available borrowing capacity committed | $ 625,413 | $ 695,767 | |
Available borrowing capacity uncommitted | 2,206,999 | 2,354,033 | |
Available borrowing capacity | 2,832,412 | 3,049,800 | |
Margin deposits placed with counterparties | 3,750 | 3,750 | |
Amortization of premium | 7,400 | 8,000 | |
Amount of Master Repurchase Agreement incentives to refinance include in interest expense | 9,300 | $ 10,200 | |
Assets sold under agreements to repurchase | Mortgage Loans held for sale | |||
Carrying value: | |||
Fair value of assets pledged to secure | 2,065,151 | 1,923,857 | |
Assets sold under agreements to repurchase | Mortgage servicing rights | |||
Carrying value: | |||
Fair value of assets pledged to secure | 2,574,228 | 2,807,333 | |
Assets sold under agreements to repurchase | Servicing advances | |||
Carrying value: | |||
Fair value of assets pledged to secure | 147,435 | 162,895 | |
Assets sold under agreements to repurchase | Financing receivable | |||
Carrying value: | |||
Fair value of assets pledged to secure | $ 125,929 | $ 131,025 |
Borrowings - Maturities of Outs
Borrowings - Maturities of Outstanding Advances Under Repurchase Agreements (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2019USD ($) | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 2,152,588 |
Weighted-average maturity (in months) | 2 months 15 days |
Within 30 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 518,972 |
Over 30 to 90 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | 1,334,389 |
Over 90 to 180 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | 44,227 |
Over one to two years | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 255,000 |
Borrowings - Mortgage Loans Sol
Borrowings - Mortgage Loans Sold Under Agreement to Repurchase by Counterparty (Details) - Assets sold under agreements to repurchase $ in Thousands | Mar. 31, 2019USD ($) |
Credit Suisse First Boston Mortgage Capital LLC Tranche Two | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 1,165,339 |
Credit Suisse First Boston Mortgage Capital LLC Tranche One | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 26,541 |
Deutsche Bank AG | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 90,911 |
Bank of America, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 14,405 |
Morgan Stanley Bank | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 5,237 |
JP Morgan | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 4,360 |
BNP Paribas | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 16,691 |
Royal Bank of Canada | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 2,631 |
Citibank, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 4,828 |
Borrowings - Mortgage Loan Part
Borrowings - Mortgage Loan Participation and Sale Agreement (Details) - USD ($) | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2018 | |
During the period: | |||
Total interest expense | $ 2,311,000 | $ 1,727,000 | |
Carrying value: | |||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 547,879,000 | $ 532,251,000 | |
Fair value of mortgage loans pledged to secure | 574,518,000 | 555,001,000 | |
Mortgage Loan Participation and Sale Agreement member | |||
During the period: | |||
Average balance | $ 236,667,000 | $ 215,614,000 | |
Short-term Debt, Weighted Average Interest Rate, over Time | 3.68% | 2.89% | |
Total interest expense | $ 2,311,000 | $ 1,727,000 | |
Carrying value: | |||
Unpaid principal balance of mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 548,038,000 | 532,466,000 | |
Unamortized issuance costs | (159,000) | (215,000) | |
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 547,879 | $ 532,251 | |
Weighted average interest rate (as a percent) | 3.75% | 3.77% | |
Fair value of mortgage loans pledged to secure | $ 574,518,000 | $ 555,001,000 | |
Amortization of debt issuance costs | 135,000 | 171,000 | |
Maximum | Mortgage Loan Participation and Sale Agreement member | |||
Carrying value: | |||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 527,706,000 | ||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 548,038,000 |
Borrowings - Note Payable (Deta
Borrowings - Note Payable (Details) - USD ($) | Aug. 10, 2018 | Feb. 28, 2018 | Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2018 | Nov. 01, 2018 | Feb. 01, 2018 |
During the period: | |||||||
Total interest expense | $ 17,995,000 | $ 18,222,000 | |||||
Carrying value: | |||||||
Notes payable | 1,292,736,000 | $ 1,292,291,000 | |||||
Notes payable | |||||||
Repayments of notes payable | 400,000,000 | ||||||
Debt issuance costs | 3,400,000 | ||||||
Note Payable | |||||||
During the period: | |||||||
Average balance | $ 1,300,000,000 | $ 979,868,000 | |||||
Weighted-average interest rate (as a percent) | 5.25% | 5.63% | |||||
Total interest expense | $ 17,995,000 | $ 18,222,000 | |||||
Maximum daily amount outstanding | 1,300,000,000 | 1,150,000,000 | |||||
Carrying value: | |||||||
Unpaid principal balance | 1,300,000,000 | 1,300,000,000 | |||||
Unamortized issuance costs | (7,264,000) | (7,709,000) | |||||
Notes payable | $ 1,292,736,000 | $ 1,292,291,000 | |||||
Weighted-average interest rate (as a percent) | 5.24% | 5.07% | |||||
Unused amount | $ 150,000,000 | $ 150,000,000 | |||||
Amortization of Financing Costs | 700,000 | 4,200,000 | |||||
Non-utilization fees | 196,000 | 192,000 | |||||
Notes payable | |||||||
Debt issuance costs | $ 4,600,000 | ||||||
Note Payable | Revolving credit agreement | |||||||
Short-term debt | |||||||
Maximum loan amount | $ 150,000,000 | ||||||
Note Payable | LIBOR | |||||||
Notes payable | |||||||
Maximum loan amount | $ 650,000,000 | $ 650,000,000 | |||||
Description of variable rate | one-month LIBOR | one-month LIBOR | |||||
Interest rate spread | 2.65% | 2.85% | |||||
Note Payable | Credit Suisse AG | |||||||
Short-term debt | |||||||
Maximum loan amount | $ 400,000,000 | ||||||
Note Payable | Mortgage servicing rights | |||||||
Carrying value: | |||||||
Assets pledged to secure | 2,675,704,000 | 2,807,333,000 | |||||
Note Payable | Cash. | |||||||
Carrying value: | |||||||
Assets pledged to secure | 93,372,000 | 108,174,000 | |||||
Note Payable | Servicing advances | |||||||
Carrying value: | |||||||
Assets pledged to secure | 147,435,000 | 162,895,000 | |||||
Mortgage Loan Participation and Sale Agreement member | |||||||
During the period: | |||||||
Average balance | 236,667,000 | 215,614,000 | |||||
Carrying value: | |||||||
Unamortized issuance costs | (159,000) | $ (215,000) | |||||
Amortization of Financing Costs | $ 135,000 | $ 171,000 |
Borrowings - Obligations Under
Borrowings - Obligations Under Capital Lease (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2018 | |
Obligations Under Capital Lease | |||
Average balance | $ 5,848 | $ 18,703 | |
Weighted average interest rate | 4.50% | 3.64% | |
Total interest expense | $ 66 | $ 170 | |
Unpaid principal balance | $ 5,091 | $ 6,605 | |
Weighted average interest rate | 4.48% | 4.46% | |
Furniture, fixtures, equipment and building improvements pledged to creditors | $ 15,254 | $ 16,281 | |
Capitalized software pledged to creditors | 940 | $ 1,017 | |
Maximum | |||
Obligations Under Capital Lease | |||
Maximum daily amount outstanding | $ 6,605 | $ 20,971 |
Borrowings - ESS (Details)
Borrowings - ESS (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
PMT | ||
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: | ||
Change in fair value | $ 4,051 | $ (6,921) |
Excess servicing spread financing | ||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||
Balance at the beginning of the quarter | 216,110 | 236,534 |
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: | ||
Accrual of interest | 3,066 | 3,934 |
Repayment | (10,552) | (12,291) |
Change in fair value | (4,051) | 6,921 |
Balance at the end of the quarter | 205,081 | 236,002 |
Excess servicing spread financing | PMT | ||
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust: | ||
Issuances | 508 | 904 |
Change in fair value | $ 4,051 | $ (6,921) |
Liability for Losses Under Re_3
Liability for Losses Under Representations and Warranties (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
During the year: | ||
Balance at beginning of quarter | $ 21,155 | $ 20,053 |
Provision for losses on mortgage loans sold resulting from sales of mortgage loans | 1,067 | 1,492 |
Provision for losses on mortgage loans sold reduction in liability due to change in estimate | (4,210) | (1,113) |
Incurred losses, net | (30) | (3) |
Balance at end of quarter | 17,982 | 20,429 |
Unpaid principal balance of mortgage loans subject to representations and warranties at end of quarter | $ 133,698,782 | $ 127,056,220 |
Income Taxes - General (Details
Income Taxes - General (Details) | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Reconciliation of the entity's provision for income taxes at statutory rates to the provision for income taxes at the entity's effective tax rate | ||
Effective tax rate (as a percent) | 23.50% | 8.30% |
Commitments and Contingencies (
Commitments and Contingencies (Details) $ in Billions | Mar. 31, 2019USD ($) |
Commitments and Contingencies. | |
Total commitments to purchase and fund mortgage loans | $ 3.8 |
Stockholders' Equity (Details)
Stockholders' Equity (Details) - Common Stock - USD ($) shares in Millions, $ in Millions | 22 Months Ended | |
Mar. 31, 2019 | Jun. 30, 2017 | |
Stockholders' Equity | ||
Authorized stock repurchase amount | $ 50 | |
Shares of common stock repurchased | 13.9 |
Noncontrolling Interest (Detail
Noncontrolling Interest (Details) - USD ($) shares in Thousands, $ in Thousands | Nov. 01, 2018 | Mar. 31, 2019 | Mar. 31, 2018 |
Net income and the effects of changes in noncontrolling interest | |||
Net income attributable to PennyMac Financial Services, Inc. common stockholders | $ 46,135 | $ 16,619 | |
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. | $ 14,859 | ||
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 by noncontrolling interest unitholders and issued as equity compensation (in shares) | 748 | ||
New PFSI | Class A Unit | |||
Noncontrolling Interest [Line Items] | |||
Common stock conversion ratio (as a percent) | 100.00% | ||
Noncontrolling interest in Private National Mortgage Acceptance Company, LLC | |||
Net income and the effects of changes in noncontrolling interest | |||
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. | $ (14,859) |
Net Gains on Mortgage Loans H_3
Net Gains on Mortgage Loans Held for Sale (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Cash loss: | ||
Mortgage Loans | $ (41,242) | $ (181,801) |
Hedging activities | (8,927) | 104,396 |
Cash gain (loss), net of effects of cash hedging, on sale of mortgage loans held for sale | (50,169) | (77,405) |
Non-cash gain: | ||
Mortgage servicing rights and mortgage servicing liabilities resulting from mortgage loan sales | 114,957 | 141,873 |
Provision for losses relating to representations and warranties on loans sold pursuant to mortgage loan sales | (1,067) | (1,492) |
Provision for losses relating to representations and warranties on loans sold reduction in liability due to change in estimate | 4,210 | 1,113 |
Change in fair value relating to mortgage loans and derivatives held at year end: | ||
Interest rate lock commitments | 16,727 | (7,376) |
Mortgage loans | (164) | 18,964 |
Hedging derivatives | (25,741) | (16,649) |
From non-affiliates | 58,753 | 59,028 |
Recapture payable to PennyMac Mortgage Investment Trust | 26,023 | 12,386 |
Net gains on mortgage loans held for sale at fair value | $ 84,776 | $ 71,414 |
Net Interest Income (Details)
Net Interest Income (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Interest income: | ||
Cash and short-term investments | $ 1,933 | $ 608 |
Mortgage loans held for sale at fair value | 31,343 | 26,607 |
Placement fees relating to custodial funds | 23,261 | 13,424 |
Interest income, excluding related parties | 56,537 | 40,639 |
Interest income | 58,333 | 42,615 |
Interest expense: | ||
Assets sold under agreements to repurchase | 8,635 | 6,732 |
Mortgage loan participation purchase and sale agreements | 2,311 | 1,727 |
Notes payable | 17,995 | 18,222 |
Obligations under capital lease | 66 | 170 |
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations | 4,311 | 4,830 |
Interest on mortgage loan impound deposits | 1,159 | 1,130 |
Interest expense, non-affiliates | 34,477 | 32,811 |
Interest expense | 37,543 | 36,745 |
Net interest income | 20,790 | 5,870 |
PMT | ||
Interest income: | ||
From PennyMac Mortgage Investment Trust | 1,796 | 1,976 |
Interest expense: | ||
To PennyMac Mortgage Investment Trust Excess servicing spread financing at fair value | 3,066 | 3,934 |
Assets sold under agreements to repurchase | ||
Interest expense: | ||
Assets sold under agreements to repurchase | 8,635 | 6,732 |
Incentives recorded | $ 9,300 | $ 10,200 |
Earnings Per Share of Common _3
Earnings Per Share of Common Stock (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | Nov. 01, 2018 | Mar. 31, 2019 | Mar. 31, 2018 |
Basic earnings per share of common stock: | |||
Net income attributable to common stockholders | $ 46,135 | $ 16,619 | |
Weighted-average common stock outstanding | 77,653 | 23,832 | |
Basic earnings per share of common stock (in dollars per share) | $ 0.59 | $ 0.70 | |
Diluted earnings per share of common stock: | |||
Net income attributable to common stockholders | $ 46,135 | $ 16,619 | |
Net income attributable to dilutive stock-based compensation units | 1,400 | ||
Effect of net income attributable to noncontrolling interest, net of tax | 35,449 | ||
Net income attributable to common stockholders for diluted earnings per share | $ 46,135 | $ 53,468 | |
Weighted-average common stock outstanding applicable to basic earnings per share | 77,653 | 23,832 | |
Effect of dilutive shares: | |||
Common shares issuable under stock-based compensation plan | $ 1,633 | $ 2,947 | |
PennyMac Class A units exchangeable to common stock | 52,682 | ||
Weighted-average shares of common stock outstanding applicable to diluted earnings per share | 79,286 | 79,461 | |
Diluted earnings per share of common stock (in dollars per share) | $ 0.58 | $ 0.67 | |
Total anti-dilutive stock-based compensation units | 2,046 | 306 | |
Performance-based RSUs | |||
Effect of dilutive shares: | |||
Total anti-dilutive stock-based compensation units | 1,279 | 134 | |
Stock Options | |||
Effect of dilutive shares: | |||
Total anti-dilutive stock-based compensation units | 706 | 172 | |
Weighted-average exercise price of anti-dilutive stock options | $ 24.26 | $ 24.40 | |
Time-based RSUs | |||
Effect of dilutive shares: | |||
Total anti-dilutive stock-based compensation units | 61 | ||
Class A Unit | New PFSI | |||
Common stock conversion ratio (as a percent) | 100.00% |
Supplemental Cash Flow Inform_3
Supplemental Cash Flow Information (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Cash paid for interest | $ 33,952 | $ 40,227 |
Cash paid for income taxes, net | 66 | 2 |
Non-cash investing activity: | ||
Mortgage servicing rights resulting from mortgage loan sales | 115,751 | 143,910 |
Mortgage servicing liabilities resulting from mortgage loan sales | 794 | 2,037 |
Unsettled portion of MSR acquisitions | 16,291 | 62 |
Operating lease right-of-use assets obtained in exchange for lease obligation | 58,598 | |
Non-cash financing activity: | ||
Issuance of Excess servicing spread payable to PennyMac Mortgage Investment Trust pursuant to a recapture agreement | 508 | 904 |
Issuance of Class A common stock and common stock in settlement of director fees | $ 86 | $ 79 |
Regulatory Capital and Liquid_3
Regulatory Capital and Liquidity Requirements (Details) - USD ($) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2019 | Dec. 31, 2015 | Dec. 31, 2018 | |
Fannie Mae / Freddie Mac - PLS | |||
Regulatory Net Worth and Agency Capital Requirements | |||
Net worth | $ 1,833,819,000 | $ 1,788,430,000 | |
Capital Requirement | 561,020,000 | 514,089,000 | |
Liquidity | 287,089,000 | 271,802,000 | |
Liquidity requirement | $ 77,292,000 | $ 70,775,000 | |
Tangible net worth / Total assets ratio actual | 20.00% | 21.00% | |
Tangible net worth / Total assets ratio requirement | 6.00% | 6.00% | |
Ginnie Mae - PLS | |||
Regulatory Net Worth and Agency Capital Requirements | |||
Net worth | $ 1,543,756,000 | $ 1,535,826,000 | |
Capital Requirement | 819,028,000 | 733,342,000 | |
Liquidity | 287,089,000 | 271,802,000 | |
Liquidity requirement | 208,693,000 | 189,592,000 | |
Ginnie Mae - PennyMac | |||
Regulatory Net Worth and Agency Capital Requirements | |||
Net worth | 1,802,129,000 | 1,786,430,000 | |
Capital Requirement | 900,931,000 | 806,676,000 | |
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 | 1,543,756,000 | 1,535,826,000 | |
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 (Details)
Segments (Details) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019USD ($)segment | Mar. 31, 2018USD ($) | Dec. 31, 2018USD ($) | |
Segments and Related Information | |||
Number of segments | segment | 3 | ||
Revenues: | |||
Net mortgage loan servicing fees | $ 80,571 | $ 116,789 | |
Net gains on mortgage loans held for sale at fair value | 84,776 | 71,414 | |
Mortgage loan origination fees | 23,930 | 24,563 | |
Net interest income (expense): | |||
Interest income | 58,333 | 42,615 | |
Interest expense, before non-segment activities | 37,543 | 36,745 | |
Net interest expense, before non-segment activities | 20,790 | 5,870 | |
Management fees | 7,248 | 5,775 | |
Other | 2,816 | 2,026 | |
Total net revenues, before non-segment activities | 247,705 | 238,201 | |
Expenses | 187,414 | 165,205 | |
Income before provision for income taxes | 60,291 | 72,996 | |
Assets: | |||
Segment assets at year end | 7,819,000 | $ 7,478,573 | |
PMT | |||
Revenues: | |||
Fulfillment fees from PennyMac Mortgage Investment Trust | 27,574 | 11,944 | |
Net interest income (expense): | |||
Management fees | 7,248 | 5,696 | |
Assets: | |||
Receivable | $ 29,951 | $ 33,464 | |
Investment Funds | |||
Net interest income (expense): | |||
Management fees | 79 | ||
Carried Interest from Investment Funds | (180) | ||
Mortgage banking | |||
Segments and Related Information | |||
Number of segments | segment | 2 | ||
Operating segment | |||
Assets: | |||
Segment assets at year end | $ 7,819,000 | 6,894,177 | |
Working capital | 8,700 | ||
Operating segment | Investment management | |||
Net interest income (expense): | |||
Interest expense, before non-segment activities | 7 | 16 | |
Net interest expense, before non-segment activities | (7) | (16) | |
Management fees | 7,248 | 5,775 | |
Other | 1,563 | 1,315 | |
Total net revenues, before non-segment activities | 8,804 | 6,894 | |
Expenses | 6,682 | 5,943 | |
Income before provision for income taxes | 2,122 | 951 | |
Assets: | |||
Segment assets at year end | 17,719 | 11,877 | |
Operating segment | Investment management | Investment Funds | |||
Net interest income (expense): | |||
Carried Interest from Investment Funds | (180) | ||
Operating segment | Mortgage banking | |||
Revenues: | |||
Net mortgage loan servicing fees | 80,571 | 116,789 | |
Net gains on mortgage loans held for sale at fair value | 84,776 | 71,414 | |
Mortgage loan origination fees | 23,930 | 24,563 | |
Net interest income (expense): | |||
Interest income | 58,333 | 42,615 | |
Interest expense, before non-segment activities | 37,536 | 36,729 | |
Net interest expense, before non-segment activities | 20,797 | 5,886 | |
Other | 1,253 | 711 | |
Total net revenues, before non-segment activities | 238,901 | 231,307 | |
Expenses | 180,732 | 159,262 | |
Income before provision for income taxes | 58,169 | 72,045 | |
Assets: | |||
Segment assets at year end | 7,801,281 | 6,882,300 | |
Operating segment | Mortgage banking | PMT | |||
Revenues: | |||
Fulfillment fees from PennyMac Mortgage Investment Trust | 27,574 | 11,944 | |
Operating segment | Mortgage banking Production | |||
Revenues: | |||
Net gains on mortgage loans held for sale at fair value | 66,721 | 36,198 | |
Mortgage loan origination fees | 23,930 | 24,563 | |
Net interest income (expense): | |||
Interest income | 14,369 | 14,248 | |
Interest expense, before non-segment activities | 3,915 | 2,102 | |
Net interest expense, before non-segment activities | 10,454 | 12,146 | |
Other | 488 | 316 | |
Total net revenues, before non-segment activities | 129,167 | 85,167 | |
Expenses | 82,161 | 67,997 | |
Income before provision for income taxes | 47,006 | 17,170 | |
Assets: | |||
Segment assets at year end | 2,501,468 | 2,251,354 | |
Operating segment | Mortgage banking Production | PMT | |||
Revenues: | |||
Fulfillment fees from PennyMac Mortgage Investment Trust | 27,574 | 11,944 | |
Operating segment | Mortgage banking Servicing | |||
Revenues: | |||
Net mortgage loan servicing fees | 80,571 | 116,789 | |
Net gains on mortgage loans held for sale at fair value | 18,055 | 35,216 | |
Net interest income (expense): | |||
Interest income | 43,964 | 28,367 | |
Interest expense, before non-segment activities | 33,621 | 34,627 | |
Net interest expense, before non-segment activities | 10,343 | (6,260) | |
Other | 765 | 395 | |
Total net revenues, before non-segment activities | 109,734 | 146,140 | |
Expenses | 98,571 | 91,265 | |
Income before provision for income taxes | 11,163 | 54,875 | |
Assets: | |||
Segment assets at year end | $ 5,299,813 | $ 4,630,946 |