Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2021 | Nov. 02, 2021 | |
Document and Entity Information | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Sep. 30, 2021 | |
Document Transition Report | false | |
Entity File Number | 001-38727 | |
Entity Registrant Name | PennyMac Financial Services, Inc. | |
Entity Central Index Key | 0001745916 | |
Entity Incorporation, State or Country Code | DE | |
Entity Tax Identification Number | 83-1098934 | |
Entity Address, Address Line One | 3043 Townsgate Road | |
Entity Address, City or Town | Westlake Village | |
Entity Address, State or Province | CA | |
Entity Address, Postal Zip Code | 91361 | |
City Area Code | 818 | |
Local Phone Number | 224-7442 | |
Title of 12(b) Security | Common Stock, $0.0001 par value | |
Trading Symbol | PFSI | |
Security Exchange Name | NYSE | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 59,029,210 | |
Document Fiscal Year Focus | 2021 | |
Document Fiscal Period Focus | Q3 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
ASSETS | ||
Cash | $ 476,497 | $ 532,716 |
Short-term investments at fair value | 5,046 | 15,217 |
Loans held for sale at fair value (includes $9,368,106 and $11,457,678 pledged to creditors) | 9,659,695 | 11,616,400 |
Derivative assets | 429,984 | 711,238 |
Servicing advances, net (includes valuation allowance of $127,453 and $181,433; $203,236 and $413,484 pledged to creditors) | 522,906 | 579,528 |
Mortgage servicing rights at fair value (includes $3,600,978 and $2,577,964 pledged to creditors) | 3,611,120 | 2,581,174 |
Operating lease right-of-use assets | 85,266 | 74,934 |
Loans eligible for repurchase | 4,335,378 | 14,625,447 |
Other (includes $74,364 and $166,418 pledged to creditors) | 567,776 | 692,169 |
Total assets | 19,745,138 | 31,597,795 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 6,897,157 | 9,654,797 |
Mortgage loans participation purchase and sale agreements | 519,784 | 521,477 |
Obligations under capital lease | 5,583 | 11,864 |
Notes payable secured by mortgage servicing assets | 1,297,176 | 1,295,840 |
Unsecured senior notes | 1,783,230 | 645,820 |
Derivative liabilities | 14,204 | 42,638 |
Mortgage servicing liabilities at fair value | 47,567 | 45,324 |
Accounts payable and accrued expenses | 358,944 | 308,398 |
Operating lease liabilities | 105,452 | 94,193 |
Income taxes payable | 659,768 | 622,700 |
Liability for loans eligible for repurchase | 4,335,378 | 14,625,447 |
Liability for losses under representations and warranties | 45,806 | 32,688 |
Total liabilities | 16,240,836 | 28,208,407 |
Commitments and contingencies - Note 16 | ||
STOCKHOLDERS' EQUITY | ||
Additional paid-in capital | 372,198 | 1,047,052 |
Retained earnings | 3,132,098 | 2,342,329 |
Total stockholders' equity | 3,504,302 | 3,389,388 |
Total liabilities and stockholders' equity | 19,745,138 | 31,597,795 |
Common Stock | ||
STOCKHOLDERS' EQUITY | ||
Common stock - authorized 200,000,000 shares of $0.0001 par value; issued and outstanding, 60,419,578 and 70,905,532 shares respectively | 6 | 7 |
PMT | ||
ASSETS | ||
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell pledged to creditors | 80,862 | |
Investment in PennyMac Mortgage Investment Trust at fair value | 1,477 | 1,105 |
Receivable from PennyMac Investment Trust | 49,993 | 87,005 |
LIABILITIES | ||
Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value | 131,750 | |
Payable to PennyMac Mortgage Investment Trust | 138,972 | 140,306 |
Private National Mortgage Acceptance Company, LLC | ||
LIABILITIES | ||
Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | $ 31,815 | $ 35,165 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Mortgage loans held for sale, pledged to creditors | $ 9,368,106 | $ 11,457,678 |
Servicing advances, net, valuation allowance | 127,453 | 181,433 |
Servicing advances pledged to creditors | 203,236 | 413,484 |
Mortgage servicing rights pledged to creditors | 3,600,978 | 2,577,964 |
Other assets pledged to creditors | $ 74,364 | $ 166,418 |
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 | 60,419,578 | 70,905,532 |
Common stock, shares outstanding | 60,419,578 | 70,905,532 |
CONSOLIDATED STATEMENTS OF INCO
CONSOLIDATED STATEMENTS OF INCOME - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Net gains on loans held for sale at fair value: | ||||
From non-affiliates | $ 639,730 | $ 865,044 | $ 2,002,515 | $ 1,819,175 |
Net gains on loans held for sale at fair value | 626,754 | 855,269 | 1,963,743 | 1,881,724 |
Loan origination fees from non-affiliates | 88,040 | 69,496 | 274,048 | 177,747 |
Loan origination fees | 94,581 | 75,572 | 295,909 | 192,091 |
Fulfillment fees from PennyMac Mortgage Investment Trust | 158,777 | 149,594 | ||
Loan servicing fees | ||||
From non-affiliates | 216,592 | 203,696 | 635,620 | 601,527 |
Other | 30,463 | 27,920 | 91,793 | 85,218 |
Loan servicing fees | 267,758 | 250,368 | 787,224 | 735,551 |
Change in fair value of mortgage servicing rights and mortgage servicing liabilities | 147,669 | 127,217 | 260,474 | 1,368,219 |
Mortgage servicing rights hedging results | (86,459) | 6,521 | (437,492) | 1,027,327 |
Change in fair value of excess servicing spread payable to PennyMac Mortgage Investment Trust | (234,128) | (117,561) | (699,003) | (322,599) |
Net loan servicing fees | 33,630 | 132,807 | 88,221 | 412,952 |
Interest income: | ||||
From non-affiliates | 68,312 | 52,276 | 230,803 | 170,148 |
Interest income | 68,312 | 52,952 | 231,190 | 172,834 |
Interest expense: | ||||
To non-affiliates | 90,711 | 61,109 | 299,575 | 171,482 |
Interest expense | 90,711 | 63,179 | 300,855 | 177,898 |
Net interest expense | (22,399) | (10,227) | (69,665) | (5,064) |
Management fees, net: | ||||
Management fees | 8,520 | 8,508 | 28,882 | 25,851 |
Result of real estate acquired in settlement of loans | 378 | 1,214 | 1,698 | 803 |
Other | 1,293 | 2,298 | 5,507 | 6,102 |
Total net revenue | 786,612 | 1,119,992 | 2,473,550 | 2,663,451 |
Expenses | ||||
Compensation | 249,183 | 202,440 | 773,079 | 550,762 |
Loan origination | 80,932 | 53,752 | 243,999 | 150,677 |
Technology | 32,406 | 28,964 | 100,314 | 69,976 |
Servicing | 27,892 | 71,110 | 78,365 | 169,779 |
Professional services | 24,429 | 18,307 | 62,549 | 44,211 |
Occupancy and equipment | 9,389 | 8,491 | 27,456 | 24,822 |
Other | 22,832 | 8,637 | 62,716 | 29,841 |
Total expenses | 447,063 | 391,701 | 1,348,478 | 1,040,068 |
Income before provision for income taxes | 339,549 | 728,291 | 1,125,072 | 1,623,383 |
Provision for income taxes | 90,239 | 193,131 | 294,665 | 429,303 |
Net income | 830,407 | 1,194,080 | ||
Net income attributable to PennyMac Financial Services, Inc. common stockholders | $ 249,310 | $ 535,160 | $ 830,407 | $ 1,194,080 |
Earnings per share | ||||
Basic (in dollars per share) | $ 4.02 | $ 7.39 | $ 12.65 | $ 15.65 |
Diluted (in dollars per share) | $ 3.80 | $ 7.03 | $ 11.98 | $ 15 |
Weighted-average shares outstanding | ||||
Basic (in shares) | 62,085 | 72,439 | 65,671 | 76,292 |
Diluted (in shares) | 65,652 | 76,138 | 69,341 | 79,618 |
PMT | ||||
Net gains on loans held for sale at fair value: | ||||
From PennyMac Mortgage Investment Trust | $ (12,976) | $ (9,775) | $ (38,772) | $ 62,549 |
Loan origination fees from PennyMac Mortgage Investment Trust | 6,541 | 6,076 | 21,861 | 14,344 |
Fulfillment fees from PennyMac Mortgage Investment Trust | 43,922 | 54,839 | 158,777 | 149,594 |
Loan servicing fees | ||||
Loan servicing fees from affiliates | 20,703 | 18,752 | 59,811 | 48,806 |
Changes in fair value included in income | 3,135 | (1,037) | 18,293 | |
Interest income: | ||||
From PennyMac Mortgage Investment Trust | 676 | 387 | 2,686 | |
Interest expense: | ||||
To PennyMac Mortgage Investment Trust | 2,070 | 1,280 | 6,416 | |
Management fees, net: | ||||
Management fees | 8,520 | 8,508 | 28,882 | 25,851 |
Change in fair value of investment in and dividends received from affiliate | $ (67) | $ (288) | $ 478 | $ (602) |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) shares in Thousands, $ in Thousands | Common Stock. | Additional paid-in capital | Retained earnings | Common Stock | Total |
Balance at Dec. 31, 2019 | $ 8 | $ 1,335,107 | $ 726,392 | $ 2,061,507 | |
Balance (in shares) at Dec. 31, 2019 | 78,515 | ||||
Changes in stockholders' equity | |||||
Net income | 1,194,080 | 1,194,080 | |||
Stock and unit-based compensation | 29,386 | 29,386 | |||
Stock and unit-based compensation (in shares) | 1,212 | ||||
Issuance of common stock in settlement of director fees | 144 | 144 | |||
Issuance of common stock in settlement of director fees (in shares) | 4 | ||||
Repurchase of common stock | $ (1) | (248,209) | $ (248,210) | (248,210) | |
Repurchase of common stock (in shares) | (7,331) | (7,331) | |||
Common stock dividends | (19,830) | (19,830) | |||
Balance at Sep. 30, 2020 | $ 7 | 1,116,428 | 1,900,642 | 3,017,077 | |
Balance (in shares) at Sep. 30, 2020 | 72,400 | ||||
Balance at Jun. 30, 2020 | $ 7 | 1,113,412 | 1,365,774 | 2,479,193 | |
Balance (in shares) at Jun. 30, 2020 | 72,358 | ||||
Changes in stockholders' equity | |||||
Net income | 535,160 | 535,160 | |||
Stock and unit-based compensation | 9,895 | 9,895 | |||
Stock and unit-based compensation (in shares) | 159 | ||||
Issuance of common stock in settlement of directors' fees | 48 | 48 | |||
Issuance of common stock in settlement of directors' fees (in shares) | 1 | ||||
Repurchase of common stock | (6,927) | $ (6,927) | (6,927) | ||
Repurchase of common stock (in shares) | (118) | (118) | |||
Common stock dividends | (292) | (292) | |||
Balance at Sep. 30, 2020 | $ 7 | 1,116,428 | 1,900,642 | 3,017,077 | |
Balance (in shares) at Sep. 30, 2020 | 72,400 | ||||
Balance at Dec. 31, 2020 | $ 7 | 1,047,052 | 2,342,329 | 3,389,388 | |
Balance (in shares) at Dec. 31, 2020 | 70,906 | ||||
Changes in stockholders' equity | |||||
Net income | 830,407 | 830,407 | |||
Stock and unit-based compensation | 25,787 | 25,787 | |||
Stock and unit-based compensation (in shares) | 933 | ||||
Issuance of common stock in settlement of director fees | 151 | 151 | |||
Issuance of common stock in settlement of director fees (in shares) | 3 | ||||
Repurchase of common stock | $ (1) | (700,792) | $ (700,793) | (700,793) | |
Repurchase of common stock (in shares) | (11,422) | (11,422) | |||
Common stock dividends | (40,638) | (40,638) | |||
Balance at Sep. 30, 2021 | $ 6 | 372,198 | 3,132,098 | 3,504,302 | |
Balance (in shares) at Sep. 30, 2021 | 60,420 | ||||
Balance at Jun. 30, 2021 | $ 6 | 618,337 | 2,895,486 | 3,513,829 | |
Balance (in shares) at Jun. 30, 2021 | 64,484 | ||||
Changes in stockholders' equity | |||||
Net income | 249,310 | 249,310 | |||
Stock and unit-based compensation | 11,165 | 11,165 | |||
Stock and unit-based compensation (in shares) | 130 | ||||
Issuance of common stock in settlement of director fees | 50 | 50 | |||
Issuance of common stock in settlement of director fees (in shares) | 1 | ||||
Repurchase of common stock | (257,354) | $ (257,354) | (257,354) | ||
Repurchase of common stock (in shares) | (4,195) | (4,195) | |||
Common stock dividends | (12,698) | (12,698) | |||
Balance at Sep. 30, 2021 | $ 6 | $ 372,198 | $ 3,132,098 | $ 3,504,302 | |
Balance (in shares) at Sep. 30, 2021 | 60,420 |
CONSOLIDATED STATEMENTS OF CH_2
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY | ||||
Common Stock dividends (in dollars per share) | $ 0.20 | $ 0.15 | $ 0.60 | $ 0.39 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2021 | Sep. 30, 2020 | |
Cash flow from operating activities | ||
Net income | $ 830,407 | $ 1,194,080 |
Adjustments to reconcile net income to net cash used in operating activities: | ||
Net gains on loans held for sale at fair value | (1,963,743) | (1,881,724) |
Change in fair value of mortgage servicing rights, mortgage servicing liabilities and excess servicing spread | 261,511 | 1,349,926 |
Mortgage servicing rights hedging gains | 437,492 | (1,027,327) |
Capitalization of interest and advance on loans held for sale | (4,573) | (55,920) |
Amortization debt issuance cost | 19,154 | 12,163 |
Results of real estate acquired in settlement of loans | (1,698) | (803) |
Stock based compensation expense | 28,595 | 26,220 |
(Reversal of) Provision for servicing advance losses | (44,535) | 79,402 |
Impairment of capitalized software | 728 | |
Depreciation and amortization | 21,729 | 17,126 |
Amortization of right-to-use assets | 10,539 | 9,176 |
Origination of loans held for sale | (41,634,531) | (20,580,388) |
Purchase of loans held for sale from non-affiliates | (3,867,782) | (2,515,624) |
Purchase of loans from Ginnie Mae securities and early buyout investors | (17,969,911) | (5,980,081) |
Sale to non-affiliates and principal payments of loans held for sale | 118,048,768 | 67,209,239 |
Repurchase of loans subject to representations and warranties | (75,023) | (43,664) |
Settlement of repurchase agreement derivatives | 8,270 | |
Sale of real estate acquired in settlement of loans | 11,712 | 27,842 |
Increase in servicing advances | (18,718) | (156,964) |
Decrease (increase) in other assets | 95,836 | (305,100) |
Increase in accounts payable and accrued expenses | 45,707 | 102,789 |
Decrease in operating lease liabilities | (12,457) | (10,378) |
Net cash provided by (used in) operating activities | 2,770,083 | (3,923,531) |
Cash flow from investing activities | ||
Decrease (increase) in short-term investments | 10,171 | (27,525) |
Net settlement of derivative financial instruments used for hedging of mortgage servicing rights | (471,322) | 1,000,865 |
Purchase of mortgage servicing rights | (25,473) | |
Purchase of furniture, fixtures, equipment and leasehold improvements | (5,999) | (5,584) |
Acquisition of capitalized software | (32,276) | (38,443) |
Decrease in margin deposits | 117,106 | 205 |
Net cash (used in) provided by investing activities | (301,458) | 924,599 |
Cash flow from financing activities | ||
Sale of assets under agreements to repurchase | 100,929,294 | 68,122,809 |
Repurchase of assets sold under agreements to repurchase | (103,689,987) | (64,997,443) |
Issuance of mortgage loan participation purchase and sale certificates | 17,990,980 | 17,814,845 |
Repayment of mortgage loan participation purchase and sale certificates | (17,992,673) | (17,777,414) |
Repayments of obligations under capital lease | (6,281) | (6,853) |
Issuance of unsecured senior notes | 1,150,000 | 500,000 |
Repayment of excess servicing spread financing | (134,624) | (25,112) |
Payment of debt issuance costs | (27,355) | (26,362) |
Issuance of common stock pursuant to exercise of stock options | 5,770 | 8,431 |
Payment of withholding taxes relating to stock-based compensation | (8,578) | (5,265) |
Payment of dividend to holders of common stock | (40,638) | (19,830) |
Repurchase of common stock | (700,793) | (248,210) |
Net cash (used in) provided by financing activities | (2,524,885) | 3,339,596 |
Net (decrease) increase in cash and restricted cash | (56,260) | 340,664 |
Cash and restricted cash at beginning of period | 532,781 | 188,578 |
Cash and restricted cash at end of period | 476,521 | 529,242 |
Cash | 476,497 | 529,166 |
Restricted cash included in Other assets | 24 | 76 |
PMT | ||
Adjustments to reconcile net income to net cash used in operating activities: | ||
Accrual of interest on excess servicing spread financing payable to PennyMac Mortgage Investment Trust | 1,280 | 6,416 |
Change in fair value of investment in common shares of PennyMac Mortgage Investment Trust | (372) | 681 |
Purchase of loans held for sale from PennyMac Mortgage Investment Trust | (51,471,399) | (43,721,458) |
Sale to Penny Mac Mortgage Investment Trust of loans held for sale | 2,248,896 | |
Decrease (increase) in receivable from affiliates | 27,404 | (80,531) |
Decrease in payable to affiliate | (39,755) | (14,001) |
Payments to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | (3,350) | (10,374) |
Increase in income taxes payable | 37,068 | 168,580 |
Cash flow from investing activities | ||
Net change in assets purchased from PMT under agreement to resell | $ 80,862 | $ 20,554 |
Organization
Organization | 9 Months Ended |
Sep. 30, 2021 | |
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, 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 servicing. PennyMac’s investment management activities and a portion of its loan servicing activities are conducted on behalf of PennyMac Mortgage Investment Trust (“PMT”), a publicly-traded real estate mortgage investment trust that invests primarily in mortgage-related assets. PennyMac’s primary wholly owned subsidiaries are: ● 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 of the above an “Agency” and collectively the “Agencies”). ● PNMAC Capital Management, LLC (“PCM”)— a Delaware limited liability company registered with the Securities and Exchange Commission as an investment adviser under the Investment Advisers Act of 1940, as amended. PCM has an investment management agreement with PMT. |
Basis of Presentation and Recen
Basis of Presentation and Recently Adopted Accounting Pronouncement | 9 Months Ended |
Sep. 30, 2021 | |
Basis of Presentation and Recently Adopted Accounting Pronouncement | |
Basis of Presentation and Recently Adopted Accounting Pronouncements | Note 2—Basis of Presentation and Recently Adopted Accounting Pronouncement 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 Accounting Standards Codification 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 presented, but are not necessarily indicative of income to be anticipated for the full year ending December 31, 2021. Intercompany accounts and transactions have been eliminated. Preparation of financial statements in compliance with GAAP requires management to make judgments and estimates that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements, and revenues and expenses during the reporting period. Actual results will likely differ from those estimates. |
Concentration of Risk
Concentration of Risk | 9 Months Ended |
Sep. 30, 2021 | |
Concentration of Risk | |
Concentration of Risk | Note 3—Concentration of Risk A portion of the Company’s activities relate to PMT. Revenues generated from PMT (generally comprised of gains on loans held for sale, loan origination and fulfillment fees, loan servicing fees, change in fair value of excess servicing spread financing (“ESS”), net interest, management fees, and change in fair value of investment in and dividends received from PMT) totaled 9% and 7% of total net revenue for the quarters ended September 30, 2021 and 2020, respectively, and 9% and 12% for the nine months ended September 30, 2021 and 2020, respectively. |
Related Party Transactions
Related Party Transactions | 9 Months Ended |
Sep. 30, 2021 | |
Related Party Transactions | |
Related Party Transactions | Note 4—Related Party Transactions Transactions with PMT Operating Activities Mortgage Loan Production Activities and MSR Recapture MSR Recapture ● 40% of the fair market value of the MSRs relating to the recaptured loans subject to the first 15% of the “recapture rate”; ● 35% of the fair market value of the MSRs relating to the recaptured loans subject to the “recapture rate” in excess of 15% and up to 30%; and ● 30% of the fair market value of the MSRs relating to the recaptured loans subject to the “recapture rate” in excess of 30%. Fulfillment Services 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 was due or payable to the Company with respect to any mortgage loans underwritten to the Ginnie Mae Mortgage-Backed Securities (“MBS”) Guide. Fulfillment fees shall not exceed the following: (a) the number of loan commitments multiplied by a pull-through factor of either .99 or .80 depending on whether the loan commitments are subject to a “mandatory trade confirmation” or a “best efforts lock confirmation”, respectively, and then multiplied by $585 for each pull-through adjusted loan commitment up to and including 16,500 per quarter and $355 for each pull-through adjusted loan commitment in excess of 16,500 per quarter, plus (b) $315 multiplied by the number of purchased loans that are sold to Fannie Mae and Freddie Mac up to the and including 16,500 per quarter and $195 multiplied by the number of such purchased loans in excess of 16,500 per quarter, plus (c) $750 multiplied by the number of all purchased loans that are sold or securitized to parties other than Fannie Mae and Freddie Mac; provided however, that no fulfillment fee shall be due or payable to PLS with respect to any Ginnie Mae loans. Sourcing Fees three Following is a summary of loan production activities, including MSR recapture between the Company and PMT: Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) Net gains on loans held for sale at fair value: Net gains on loans held for sale to PMT (primarily cash) $ — $ 1 $ — $ 81,295 Mortgage servicing rights and excess servicing spread recapture incurred (12,976) (9,776) (38,772) (18,746) $ (12,976) $ (9,775) $ (38,772) $ 62,549 Sale of loans held for sale to PMT $ — $ 27 $ — $ 2,248,896 Tax service fees earned from PMT included in Loan origination fees $ 6,541 $ 6,076 $ 21,861 $ 14,344 Fulfillment fee revenue $ 43,922 $ 54,839 $ 158,777 $ 149,594 Unpaid principal balance ("UPB") of loans fulfilled for PMT subject to fulfillment fees $ 28,605,098 $ 27,351,435 $ 92,846,231 $ 62,403,674 Sourcing fees included in cost of loans purchased from PMT $ 1,537 $ 1,658 $ 4,905 $ 9,143 Unpaid principal balance of loans purchased from PMT $ 15,249,441 $ 16,690,482 $ 49,106,232 $ 41,641,327 Loan Servicing The Company and PMT have entered into a loan servicing agreement (the “Servicing Agreement”), pursuant to which the Company provides servicing for PMT’s portfolio of distressed loans and subservicing for its portfolio of MSRs (prime servicing). The Servicing Agreement provides for servicing fees of per-loan monthly amounts based on the delinquency, bankruptcy and/or foreclosure status of the serviced 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 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. Prime Servicing ● The base servicing fees for prime loans are calculated through a monthly per-loan dollar amount, with the actual dollar amount for each loan based on whether the loan is a fixed-rate or adjustable-rate loan. The base servicing fee rates are $7.50 per month for fixed-rate loans and $8.50 per month for adjustable-rate loans. ● To the extent that prime loans become delinquent, the Company is entitled to an additional servicing fee per loan ranging from $10 to $55 per month based on the delinquency, bankruptcy and foreclosure status of the loan or $75 per month if the underlying mortgaged property becomes REO. The Company is also entitled to customary ancillary income and certain market-based fees and charges, including boarding and deboarding fees, liquidation and disposition fees, assumption, modification and origination fees. ● Effective July 1, 2020, the Company also receives certain fees for COVID-19-related forbearance and modification activities provided for under the Coronavirus Aid, Relief, and Economic Security Act (“CARES Act”). Special Servicing (Distressed loans) ● The base servicing fee rates for distressed loans range from $30 per month for current loans up to $95 per month for loans in foreclosure proceedings. The base servicing fee rate for REO is $75 per month. The Company also receives a supplemental servicing fee of $25 per month for each distressed loan. ● The Company receives activity-based fees for modifications, foreclosures and liquidations that it facilitates with respect to distressed loans, as well as other market-based refinancing and loan disposition fees. The Company may also receive REO rental fees, property lease renewal fees, property management fees, tenant paid application fees, late rent fees, and third-party vendor fees associated with its management of REO. Following is a summary of loan servicing fees earned from PMT: Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) Loan type serviced: Loans acquired for sale $ 698 $ 452 $ 1,871 $ 1,595 Distressed loans 89 187 306 675 Mortgage servicing rights 19,916 18,113 57,634 46,536 $ 20,703 $ 18,752 $ 59,811 $ 48,806 On June 30, 2020, the Servicing Agreement was amended and restated for a term of five years (the “2020 Servicing Agreement”). The terms of the 2020 Servicing Agreement are substantially similar to those in the prior servicing agreement except that they now include fees relating to COVID-19 related forbearance and modification activities provided for under the CARES Act. Investment Management Activities The Company has a management agreement with PMT ( the “Management Agreement”), pursuant to which 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 PFSI 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. In the event of termination of the Management Agreement between PMT and the Company, the Company may be entitled to a termination fee in certain circumstances. The termination fee is equal to three times the sum of (a) the average annual base management fee, and (b) the average annual performance incentive fee earned by the Company, in each case during the 24-month period immediately preceding the date of termination. Following is a summary of the base management and performance incentive fees earned from PMT: Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) Base management $ 8,778 $ 8,508 $ 25,875 $ 25,851 Performance incentive (adjustment) (258) — 3,007 — $ 8,520 $ 8,508 $ 28,882 $ 25,851 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 was reimbursed $120,000 per fiscal quarter through June 30, 2020. 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 are allocated based on the ratio of PMT’s proportion of gross assets compared to all remaining gross assets managed by the Company as calculated at each fiscal quarter end. On June 30, 2020, the Management Agreement was amended and restated for a term of five years (the “2020 Management Agreement”). The terms of the 2020 Management Agreement are materially consistent with those of the prior management agreement, except that, effective July 1, 2020, PMT’s reimbursement of PCM’s and its affiliates’ compensation expenses was increased from $120,000 to $165,000 per fiscal quarter, such amount to be reviewed annually and not preclude reimbursement for any other services performed by the Company or its affiliates. The Company received reimbursements from PMT for expenses as follows: Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) Reimbursement of: Common overhead incurred by the Company $ 1,548 $ 1,389 $ 3,387 $ 4,514 Compensation 165 165 495 405 Expenses incurred on PMT's behalf, net 4,396 2,852 13,536 5,561 $ 6,109 $ 4,406 $ 17,418 $ 10,480 Payments and settlements during the period (1) $ 51,020 $ 58,479 $ 238,202 $ 228,514 (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. 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 the first quarter of 2021, PLS repurchased the ESS from PMH at fair market value, effectively terminating the borrowing arrangements allowing PMH to finance its participation certificates representing beneficial ownership in ESS. Such ESS is now included in PLS's participation certificates representing beneficial ownership in ESS and MSRs, which PLS pledges in connection with the GNMA MSR Facility. The Company holds an investment in PMT in the form of 75,000 common shares of beneficial interest. Following is a summary of investing activities between the Company and PMT: Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) Interest income relating to Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ — $ 676 $ 387 $ 2,686 Change in fair value of investment in and dividends received from PennyMac Mortgage Investment Trust $ (67) $ (288) $ 478 $ (602) September 30, December 31, 2021 2020 (in thousands) Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ — $ 80,862 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Fair value $ 1,477 $ 1,105 Number of shares 75 75 Financing Activities Spread Acquisition and MSR Servicing Agreements The Company has a master spread acquisition and MSR servicing agreement with PMT (the “Spread Acquisition Agreement”) which was amended and restated effective December 19, 2016, 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 issued, 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 equal 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 equal 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. During the quarter ended March 31, 2021, the Company repaid its outstanding ESS financing through the repurchase of the ESS from PMT. Following is a summary of financing activities between the Company and PMT: Quarter ended Nine months ended September 30, September 30, 2020 2021 2020 (in thousands) Excess servicing spread financing: Balance at beginning of period $ 151,206 $ 131,750 $ 178,586 Issuance pursuant to recapture agreement 531 557 1,393 Accrual of interest 2,070 1,280 6,416 Repayment (7,682) (134,624) (25,112) Change in fair value (3,135) 1,037 (18,293) Balance at end of period $ 142,990 $ — $ 142,990 Recapture incurred pursuant to refinancings by the Company of mortgage loans subject to excess servicing spread financing included in Net gains on loans held for sale at fair value $ 525 $ 614 $ 1,441 Receivable from and Payable to PMT Amounts receivable from and payable to PMT are summarized below: September 30, December 31, 2021 2020 (in thousands) Receivable from PMT: Allocated expenses and expenses incurred on PMT's behalf $ 12,493 $ 38,142 Correspondent production fees 10,867 13,065 Fulfillment fees 10,709 20,873 Management fees 8,778 8,686 Servicing fees 7,146 6,213 Interest on assets purchased under agreements to resell — 26 $ 49,993 $ 87,005 Payable to PMT: Amounts advanced by PMT to fund its servicing advances $ 119,810 $ 132,154 Other 19,162 8,152 $ 138,972 $ 140,306 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 of 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 a reorganization in November 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, to the extent any of the tax benefits specified above are deemed to be realized, 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 before the closing of the reorganization. The Company has recorded $31.8 million and $35.2 million, Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement |
Loan Sales and Servicing Activi
Loan Sales and Servicing Activities | 9 Months Ended |
Sep. 30, 2021 | |
Loan Sales and Servicing Activities | |
Loan Sales and Servicing Activities | Note 5—Loan Sales and Servicing Activities The Company, through PLS, originates or purchases and sells loans in the secondary mortgage market without recourse for credit losses. However, the Company maintains continuing involvement with the loans in the form of servicing arrangements and the liability under representations and warranties it makes to purchasers and insurers of the loans. The following table summarizes cash flows between the Company and transferees as a result of the sale of loans in transactions where the Company maintains continuing involvement with the loans as servicer: Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) Cash flows: Sales proceeds $ 39,040,868 $ 26,683,234 $ 118,048,768 $ 67,209,239 Servicing fees received (1) $ 178,684 $ 166,316 $ 576,332 $ 491,743 (1) Net of guarantee fees paid to the Agencies. The following table summarizes the UPB of the loans sold by the Company in which it maintains continuing involvement in the form of owned servicing obligations: September 30, December 31, 2021 2020 (in thousands) UPB of loans outstanding $ 241,193,601 $ 199,655,361 Delinquencies (1): 30-89 days $ 5,630,358 $ 6,041,366 90 days or more: Not in foreclosure $ 11,538,275 $ 17,799,621 In foreclosure $ 453,155 $ 581,683 Foreclosed $ 5,949 $ 10,893 Bankruptcy $ 1,183,564 $ 1,230,696 Delinquent loans in COVID-19 pandemic-related forbearance: 30-89 days $ 1,464,126 $ 2,626,617 90 days or more 5,441,170 12,181,174 $ 6,905,296 $ 14,807,791 (1) Includes delinquent loans in COVID-19 pandemic-related forbearance plans that were requested by borrowers seeking payment relief in accordance with the CARES Act. The following tables summarize the UPB of the Company’s loan servicing portfolio: September 30, 2021 Contract Servicing servicing and Total rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 241,193,601 $ — $ 241,193,601 Purchased 26,913,132 — 26,913,132 268,106,733 — 268,106,733 PennyMac Mortgage Investment Trust — 218,013,788 218,013,788 Loans held for sale 9,295,126 — 9,295,126 $ 277,401,859 $ 218,013,788 $ 495,415,647 Delinquent loans (1): 30 days $ 4,979,570 $ 894,634 $ 5,874,204 60 days 1,622,154 203,932 1,826,086 90 days or more: Not in foreclosure 12,728,881 2,228,664 14,957,545 In foreclosure 586,596 29,219 615,815 Foreclosed 6,978 17,483 24,461 $ 19,924,179 $ 3,373,932 $ 23,298,111 Bankruptcy $ 1,474,614 $ 150,716 $ 1,625,330 Delinquent loans in COVID-19 pandemic-related forbearance: 30 days $ 852,327 $ 134,253 $ 986,580 60 days 790,683 123,813 914,496 90 days or more 5,922,433 1,408,078 7,330,511 $ 7,565,443 $ 1,666,144 $ 9,231,587 Custodial funds managed by the Company $ 9,930,772 $ 5,373,992 $ 15,304,764 (1) Includes delinquent loans in COVID-19 pandemic-related forbearance plans that were requested by borrowers seeking payment relief in accordance with the CARES Act. (2) Custodial funds include cash accounts holding funds on behalf of borrowers and investors relating to 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 loans’ borrowers and investors, which are included in Interest income in the Company’s consolidated statements of income. December 31, 2020 Contract Servicing servicing and Total rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 199,655,361 $ — $ 199,655,361 Purchased 41,612,940 — 41,612,940 241,268,301 — 241,268,301 PennyMac Mortgage Investment Trust — 174,418,591 174,418,591 Loans held for sale 11,063,938 — 11,063,938 $ 252,332,239 $ 174,418,591 $ 426,750,830 Delinquent loans (1): 30 days $ 5,217,949 $ 901,965 $ 6,119,914 60 days 2,393,267 348,416 2,741,683 90 days or more: Not in foreclosure 21,781,226 4,473,217 26,254,443 In foreclosure 751,586 33,312 784,898 Foreclosed 12,938 37,131 50,069 $ 30,156,966 $ 5,794,041 $ 35,951,007 Bankruptcy $ 1,698,418 $ 153,179 $ 1,851,597 Delinquent loans in COVID-19 pandemic-related forbearance: 30 days $ 1,745,257 $ 334,498 $ 2,079,755 60 days 1,479,753 259,019 1,738,772 90 days or more 14,904,052 3,690,505 18,594,557 $ 18,129,062 $ 4,284,022 $ 22,413,084 Custodial funds managed by the Company $ 10,660,517 $ 6,086,725 $ 16,747,242 (1) Includes delinquent loans in COVID-19 pandemic-related forbearance plans that were requested by borrowers seeking payment relief in accordance with the CARES Act. (2) Custodial funds include cash accounts holding funds on behalf of borrowers and investors relating to 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 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 loans included in the Company’s loan servicing portfolio for the top five and all other states as measured by UPB: September 30, December 31, State 2021 2020 (in thousands) California $ 66,810,277 $ 60,591,363 Florida 42,858,332 35,360,190 Texas 40,794,499 34,591,419 Virginia 30,720,994 26,209,701 Maryland 23,338,554 19,974,809 All other states 290,892,991 250,023,348 $ 495,415,647 $ 426,750,830 |
Fair Value
Fair Value | 9 Months Ended |
Sep. 30, 2021 | |
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 significant 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 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 pledged to creditors Assets and Liabilities Measured at Fair Value on a Recurring Basis Following is a summary of assets and liabilities that are measured at fair value on a recurring basis: September 30, 2021 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 5,046 $ — $ — $ 5,046 Loans held for sale at fair value — 7,544,350 2,115,345 9,659,695 Derivative assets: Interest rate lock commitments — — 367,851 367,851 Forward purchase contracts — 6,730 — 6,730 Forward sales contracts — 97,720 — 97,720 MBS put options — 42,067 — 42,067 MBS call options — 263 — 263 Swaption purchase contracts — 42,069 — 42,069 Put options on interest rate futures purchase contracts 8,664 — — 8,664 Call options on interest rate futures purchase contracts 328 — — 328 Total derivative assets before netting 8,992 188,849 367,851 565,692 Netting — — — (135,708) Total derivative assets 8,992 188,849 367,851 429,984 Mortgage servicing rights at fair value — — 3,611,120 3,611,120 Investment in PennyMac Mortgage Investment Trust 1,477 — — 1,477 $ 15,515 $ 7,733,199 $ 6,094,316 $ 13,707,322 Liabilities: Derivative liabilities: Interest rate lock commitments $ — $ — $ 6,928 $ 6,928 Forward purchase contracts — 86,766 — 86,766 Forward sales contracts — 22,648 — 22,648 Total derivative liabilities before netting — 109,414 6,928 116,342 Netting — — — (102,138) Total derivative liabilities — 109,414 6,928 14,204 Mortgage servicing liabilities at fair value — — 47,567 47,567 $ — $ 109,414 $ 54,495 $ 61,771 December 31, 2020 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 15,217 $ — $ — $ 15,217 Loans held for sale at fair value — 6,941,231 4,675,169 11,616,400 Derivative assets: Interest rate lock commitments — — 679,961 679,961 Forward purchase contracts — 133,267 — 133,267 Forward sales contracts — 1,451 — 1,451 MBS put options — 14,302 — 14,302 Swaption purchase contracts — 11,939 — 11,939 Put options on interest rate futures purchase contracts 5,520 — — 5,520 Call options on interest rate futures purchase contracts 1,391 — — 1,391 Total derivative assets before netting 6,911 160,959 679,961 847,831 Netting — — — (136,593) Total derivative assets 6,911 160,959 679,961 711,238 Mortgage servicing rights at fair value — — 2,581,174 2,581,174 Investment in PennyMac Mortgage Investment Trust 1,105 — — 1,105 $ 23,233 $ 7,102,190 $ 7,936,304 $ 14,925,134 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value $ — $ — $ 131,750 $ 131,750 Derivative liabilities: Interest rate lock commitments — — 2,935 2,935 Forward purchase contracts — 1,276 — 1,276 Forward sales contracts — 251,149 — 251,149 Total derivative liabilities before netting — 252,425 2,935 255,360 Netting — — — (212,722) Total derivative liabilities — 252,425 2,935 42,638 Mortgage servicing liabilities at fair value — — 45,324 45,324 $ — $ 252,425 $ 180,009 $ 219,712 As shown above, all or a portion of the Company’s loans held for sale, Interest Rate Lock Commitments (“IRLCs”), MSRs, ESS and MSLs are measured using Level 3 fair value inputs. Following are roll forwards of assets and liabilities measured at fair value using “Level 3” inputs at either the beginning or the end of the period presented: Quarter ended September 30, 2021 Net interest Mortgage Loans held rate lock servicing Assets for sale commitments (1) rights Total (in thousands) Balance, June 30, 2021 $ 3,818,261 $ 343,610 $ 3,412,648 $ 7,574,519 Purchases and issuances, net 5,573,766 449,834 — 6,023,600 Capitalization of interest and advances 40,035 — — 40,035 Sales and repayments (4,286,574) — — (4,286,574) Mortgage servicing rights resulting from loan sales — — 432,429 432,429 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 38,698 — — 38,698 Other factors — 236,316 (233,957) 2,359 38,698 236,316 (233,957) 41,057 Transfers from Level 3 to Level 2 (3,068,841) — — (3,068,841) Transfers to loans held for sale — (668,837) — (668,837) Balance, September 30, 2021 $ 2,115,345 $ 360,923 $ 3,611,120 $ 6,087,388 Changes in fair value recognized during the quarter relating to assets still held at September 30, 2021 $ 16,415 $ 360,923 $ (233,957) $ 143,381 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended Liabilities September 30, 2021 (in thousands) Mortgage servicing liabilities: Balance, June 30, 2021 $ 100,091 Mortgage servicing liabilities resulting from loan sales 33,764 Changes in fair value included in income (86,288) Balance, September 30, 2021 $ 47,567 Changes in fair value recognized during the quarter relating to liabilities still outstanding at September 30, 2021 $ (86,288) Quarter ended September 30, 2020 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) Balance, June 30, 2020 $ 661,719 $ 368,064 $ 8,187 $ 2,213,539 $ 3,251,509 Purchases (purchase adjustment) and issuances, net 2,734,321 593,065 — (287) 3,327,099 Capitalization of interest and advances 22,262 — — — 22,262 Sales and repayments (88,955) — (8,270) — (97,225) Mortgage servicing rights resulting from loan sales — — — 245,946 245,946 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 42,029 — — — 42,029 Other factors — 311,790 83 (125,377) 186,496 42,029 311,790 83 (125,377) 228,525 Transfers from Level 3 to Level 2 (597,134) — — — (597,134) Reinstatement from real estate acquired in settlement of loans 755 — — — 755 Transfers to loans held for sale — (731,474) — — (731,474) Balance, September 30, 2020 $ 2,774,997 $ 541,445 $ — $ 2,333,821 $ 5,650,263 Changes in fair value recognized during the quarter relating to assets still held at September 30, 2020 $ 38,217 $ 541,445 $ — $ (125,377) $ 454,285 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended September 30, 2020 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, June 30, 2020 $ 151,206 $ 29,858 $ 181,064 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 531 — 531 Accrual of interest 2,070 — 2,070 Repayments (7,682) — (7,682) Changes in fair value included in income (3,135) 1,840 (1,295) Balance, September 30, 2020 $ 142,990 $ 31,698 $ 174,688 Changes in fair value recognized during the quarter relating to liabilities still outstanding at September 30, 2020 $ (3,135) $ 1,840 $ (1,295) Nine months ended September 30, 2021 Net interest Mortgage Loans held rate lock servicing Assets for sale commitments (1) rights Total (in thousands) Balance, December 31, 2020 $ 4,675,169 $ 677,026 $ 2,581,174 $ 7,933,369 Purchases and issuances, net 16,630,301 1,279,701 — 17,910,002 Capitalization of interest and advances 118,879 — — 118,879 Sales and repayments (9,081,815) — — (9,081,815) Mortgage servicing rights resulting from loan sales — — 1,386,324 1,386,324 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 266,644 — — 266,644 Other factors — 389,138 (356,378) 32,760 266,644 389,138 (356,378) 299,404 Transfers from Level 3 to Level 2 (10,493,751) — — (10,493,751) Transfers to real estate acquired in settlement of loans (82) — — (82) Transfers to loans held for sale — (1,984,942) — (1,984,942) Balance, September 30, 2021 $ 2,115,345 $ 360,923 $ 3,611,120 $ 6,087,388 Changes in fair value recognized during the period relating to assets still held at September 30, 2021 $ 79,529 $ 360,923 $ (356,378) $ 84,074 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Nine months ended September 30, 2021 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, December 31, 2020 $ 131,750 $ 45,324 $ 177,074 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 557 — 557 Accrual of interest 1,280 — 1,280 Repayments (134,624) — (134,624) Mortgage servicing liabilities resulting from loan sales — 98,147 98,147 Changes in fair value included in income 1,037 (95,904) (94,867) Balance, September 30, 2021 $ — $ 47,567 $ 47,567 Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2021 $ — $ (95,904) $ (95,904) Nine months ended September 30, 2020 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) Balance, December 31, 2019 $ 383,878 $ 136,650 $ 8,187 $ 2,926,790 $ 3,455,505 Purchases and issuances, net 4,664,408 1,431,194 — 25,473 6,121,075 Capitalization of interest and advances 55,283 — — — 55,283 Sales and repayments (888,247) — (8,270) — (896,517) Mortgage servicing rights resulting from loan sales — — — 753,795 753,795 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 35,638 — — — 35,638 Other factors — 808,906 83 (1,372,237) (563,248) 35,638 808,906 83 (1,372,237) (527,610) Transfers from Level 3 to Level 2 (1,476,027) — — — (1,476,027) Transfers to real estate acquired in settlement of loans (691) — — — (691) Reinstatement from real estate acquired in settlement of loans 755 — — — 755 Transfers of interest rate lock commitments to loans held for sale — (1,835,305) — — (1,835,305) Balance, September 30, 2020 $ 2,774,997 $ 541,445 $ — $ 2,333,821 $ 5,650,263 Changes in fair value recognized during the period relating to assets still held at September 30, 2020 $ 31,389 $ 541,445 $ — $ (1,372,237) $ (799,403) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Nine months ended September 30, 2020 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, December 31, 2019 $ 178,586 $ 29,140 $ 207,726 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 1,393 — 1,393 Accrual of interest 6,416 — 6,416 Repayments (25,112) — (25,112) Mortgage servicing liabilities resulting from loan sales — 6,576 6,576 Changes in fair value included in income (18,293) (4,018) (22,311) Balance, September 30, 2020 $ 142,990 $ 31,698 $ 174,688 Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2020 $ (18,293) $ (4,018) $ (22,311) The Company had transfers among the fair value levels arising from the return to salability in the active secondary market of certain loans held for sale and from transfers of IRLCs to loans held for sale at fair value upon purchase or funding. Assets and Liabilities Measured at Fair Value under the Fair Value Option Net changes in fair values included in income for assets and liabilities carried at fair value as a result of management’s election of the fair value option by income statement line item are summarized below: Quarter ended September 30, 2021 2020 Net gains on Net Net gains on Net loans held loan loans held loan for sale at servicing for sale at servicing fair value fees Total fair value fees Total (in thousands) Assets: Loans held for sale $ 645,536 $ — $ 645,536 $ 773,313 $ — $ 773,313 Mortgage servicing rights — (233,957) (233,957) — (125,377) (125,377) $ 645,536 $ (233,957) $ 411,579 $ 773,313 $ (125,377) $ 647,936 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust $ — $ — $ — $ — $ 3,135 $ 3,135 Mortgage servicing liabilities — 86,288 86,288 — (1,840) (1,840) $ — $ 86,288 $ 86,288 $ — $ 1,295 $ 1,295 Nine months ended September 30, 2021 2020 Net gains on Net Net gains on Net loans held loan loans held loan for sale at servicing for sale at servicing fair value fees Total fair value fees Total (in thousands) Assets: Loans held for sale $ 2,057,496 $ — $ 2,057,496 $ 1,911,828 $ — $ 1,911,828 Mortgage servicing rights — (356,378) (356,378) — (1,372,237) (1,372,237) $ 2,057,496 $ (356,378) $ 1,701,118 $ 1,911,828 $ (1,372,237) $ 539,591 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust $ — $ (1,037) $ (1,037) $ — $ 18,293 $ 18,293 Mortgage servicing liabilities — 95,904 95,904 — 4,018 4,018 $ — $ 94,867 $ 94,867 $ — $ 22,311 $ 22,311 Following are the fair value and related principal amounts due upon maturity of loans held for sale: September 30, 2021 December 31, 2020 Principal Principal amount amount Fair due upon Fair due upon Loans held for sale value maturity Difference value maturity Difference (in thousands) Current through 89 days delinquent $ 9,418,521 $ 9,054,408 $ 364,113 $ 11,304,308 $ 10,743,814 $ 560,494 90 days or more delinquent: Not in foreclosure 220,072 218,659 1,413 275,419 280,595 (5,176) In foreclosure 21,102 22,059 (957) 36,673 39,529 (2,856) $ 9,659,695 $ 9,295,126 $ 364,569 $ 11,616,400 $ 11,063,938 $ 552,462 Assets Measured at Fair Value on a Nonrecurring Basis Following is a summary of assets 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) September 30, 2021 $ — $ — $ 2,948 $ 2,948 December 31, 2020 $ — $ — $ 1,450 $ 1,450 The following table summarizes the (losses) gains recognized on assets when they were remeasured at fair value on a nonrecurring basis: Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) Real estate acquired in settlement of loans $ (284) $ (825) $ (912) $ (2,059) Fair Value of Financial Instruments Carried at Amortized Cost The Company’s Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell pledged to creditors Assets sold under agreements to repurchase Mortgage loan participation purchase and sale agreements Obligations under capital lease, Notes payable secured by mortgage servicing assets Unsecured senior notes These assets and liabilities are classified as “Level 3” fair value items due to the Company’s reliance on unobservable inputs to estimate their fair values. The Company has concluded that the fair values of these assets and liabilities other than the GMSR 2018-GT1 Term Notes and GMSR 2018-GT2 Term Notes included in Notes payable secured by mortgage servicing assets Unsecured senior notes The Company estimates the fair value of the Notes payable secured by mortgage servicing assets Unsecured senior notes September 30, 2021 December 31, 2020 Fair value Carrying value Fair value Carrying value (in thousands) Notes payable secured by mortgage servicing assets $ 1,302,642 $ 1,297,176 $ 1,268,304 $ 1,295,840 Unsecured senior notes $ 1,781,250 $ 1,783,230 $ 685,750 $ 645,820 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 derivatives and all of its MSRs, ESS, and MSLs are “Level 3” fair value assets and liabilities which require 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, the Company 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 chief operating, financial, investment and risk officers as well as other senior members of the Company’s finance, capital markets and risk management staffs. 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: Loans Held for Sale Most of the Company’s 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 loans are determined using their contracted selling price or quoted market price or market price equivalent. Certain of the Company’s loans held for sale are not saleable into active markets and are therefore categorized as “Level 3” fair value assets. Loans held for sale categorized as “Level 3” fair value assets include: ● Government guaranteed or insured loans purchased by the Company from Ginnie Mae guaranteed pools in its loan servicing portfolio. The Company’s right to purchase government guaranteed or insured loans arises as the result of the loan being at least three months delinquent on the date of purchase 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 loans may be resold to investors and thereafter may be repurchased to the extent eligible for resale into a new Ginnie Mae guaranteed security. Loans become eligible for resale into a new Ginnie Mae security when the loans become current either through completion of a modification of the loan’s terms or after six months of timely payments following either the completion of certain types of payment deferral programs or borrower reperformance and when the issuance date of the new security is at least 210 days after the date the loan was last delinquent. ● Loans that are not saleable into active markets due to identification of a defect by the Company or to the repurchase by the Company of a loan with an identified defect. The Company uses a discounted cash flow model to estimate the fair value of its “Level 3” fair value loans held for sale. The significant unobservable inputs used in the fair value measurement of the Company’s “Level 3” fair value loans held for sale are discount rates, home price projections, voluntary prepayment/resale and total prepayment speeds. Significant changes in any of those inputs in isolation could result in a significant change to the 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 loans held for sale: September 30, 2021 December 31, 2020 Fair value (in thousands) $ 2,115,345 $ 4,675,169 Key inputs (1): Discount rate: Range 2.1% – 9.2% 2.8% – 9.2% Weighted average 2.2% 2.8% Twelve-month projected housing price index change: Range 5.9% – 6.8% 2.7% – 3.5% Weighted average 6.4% 3.0% Voluntary prepayment/resale speed (2): Range 0.4% – 33.9% 0.4% – 31.3% Weighted average 22.7% 21.9% Total prepayment speed (3): Range 0.4% – 42.9% 0.5% – 42.9% Weighted average 28.5% 29.2% (1) Weighted average inputs are based on the fair value of the “Level 3” 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, which includes both voluntary and involuntary prepayment and resale rates. Changes in fair value of loans held for sale attributable to changes in the loan’s instrument-specific credit risk are measured with reference to the change in the respective loan’s delinquency status and performance history at period end from the later of the beginning of the period or acquisition date. Changes in fair value of loans held for sale are included in Net gains on loans held for sale at fair value 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 loans and the probability that the loan will be funded or purchased (the “pull-through rate”). The significant unobservable inputs used in the fair value measurement of the Company’s IRLCs are the estimated fair value of MSRs attributable to the mortgage loans it has committed to purchase and the pull-through rate. 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 loan principal and interest payment cash flow component, which has decreased in fair value. Changes in fair value of IRLCs are included in Net gains on loans held for sale at fair value Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs: September 30, 2021 December 31, 2020 Fair value (in thousands) $ 360,923 $ 677,026 Key inputs Pull-through rate: Range 8.0% – 100% 10.1% – 100% Weighted average 80.3% 82.7% Mortgage servicing rights value expressed as: Servicing fee multiple: Range (9.7) – 6.5 0.7 – 5.3 Weighted average 4.1 3.6 Percentage of loan commitment amount Range (2.1)% – 3.0% 0.1% – 2.6% Weighted average 1.4% 1.2% (1) For purpose of this table, IRLC asset and liability positions are shown net. (2) Weighted average inputs are based on the committed amounts. Hedging Derivatives Fair values of derivative financial instruments actively traded on exchanges are categorized by the Company as “Level 1” fair value assets and liabilities; fair values of derivative financial instruments based on observable interest rates, volatilities and prices in the MBS or other markets are categorized by the Company as “Level 2” fair value assets and liabilities. Changes in the fair value of hedging derivatives are included in Net gains on loans held for sale at fair value, Net loan servicing fees – Hedging results . 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 rate (prepayment speed), and annual per-loan cost to service the underlying 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 directly related. Changes in the fair value of MSRs are included in Net loan servicing fees Change in fair value of mortgage servicing rights and mortgage servicing liabilities 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 September 30, Nine months ended September 30, 2021 2020 2021 2020 (Amount recognized and unpaid principal balance of underlying loans in thousands) MSR and pool characteristics: Amount recognized $ 432,429 $ 245,946 $ 1,386,324 $ 753,795 Unpaid principal balance of underlying loans $ 33,697,228 $ 25,369,941 $ 105,470,580 $ 63,766,627 Weighted average servicing fee rate (in basis points) 34 32 33 36 Key inputs (1): Pricing spread (2): Range 6.0% – 16.9% 8.0% – 17.6% 6.0% – 16.9% 6.8% – 18.1% Weighted average 8.5% 9.6% 9.0% 9.3% Annual total prepayment speed (3): Range 7.2% – 31.0% 7.2% – 41.0% 6.2% – 31.0% 7.2% – 49.8% Weighted average 9.2% 10.4% 8.5% 12.4% Equivalent average life (in years): Range 3.0 – 8.4 2.3 – 9.1 3.0 – 9.0 1.5 – 9.1 Weighted average 7.7 7.3 8.1 6.6 Per-loan annual cost of servicing: Range $80 – $117 $80 – $110 $80 – $117 $77 – $110 Weighted average $102 $102 $104 $100 (1) Weighted average inputs are based on the UPB of the underlying 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) Annual total prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information. Following is a quantitative summary of key inputs used in the valuation of the Company’s MSRs and the effect on the fair value |
Loans Held for Sale at Fair Val
Loans Held for Sale at Fair Value | 9 Months Ended |
Sep. 30, 2021 | |
Loans Held for Sale at Fair Value | |
Loans Held for Sale at Fair Value | Note 7—Loans Held for Sale at Fair Value Loans held for sale at fair value include the following: September 30, December 31, Loan type 2021 2020 (in thousands) Government-insured or guaranteed $ 5,588,553 $ 5,683,786 Conventional conforming 1,955,797 1,257,445 Purchased from Ginnie Mae pools serviced by the Company 2,069,120 4,661,378 Repurchased pursuant to representations and warranties 46,225 13,791 $ 9,659,695 $ 11,616,400 Fair value of loans pledged to secure: Assets sold under agreements to repurchase $ 8,826,793 $ 10,912,178 Mortgage loan participation purchase and sale agreements 541,313 545,500 $ 9,368,106 $ 11,457,678 |
Derivative Financial Instrument
Derivative Financial Instruments | 9 Months Ended |
Sep. 30, 2021 | |
Derivative Financial Instruments | |
Derivative Financial Instruments | Note 8—Derivative Financial Instruments The Company holds and issues derivative financial instruments in connection with its operating activities. Derivative financial instruments are created as a result of the Company’s loan production activities and when the Company enters into derivative transactions as part of its interest rate risk management activities. Derivative financial instruments created as a result of the Company’s loan production activities are IRLCs that are created when the Company commits to purchase or originate a loan for sale. The Company engages in interest rate risk management activities in an effort to moderate the effect of changes in market interest rates on the fair value of certain of the its assets. 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 loans held for sale and its MSRs. The Company does not designate and qualify any of its derivatives for hedge accounting. The Company records all derivative financial instruments at fair value and records changes in fair value in current period income. Derivative Notional Amounts and Fair Value of Derivatives The Company had the following derivative financial instruments recorded on its consolidated balance sheets: September 30, 2021 December 31, 2020 Fair value Fair value Notional Derivative Derivative Notional Derivative Derivative Instrument amount (1) assets liabilities amount (1) assets liabilities (in thousands) Not subject to master netting arrangements: Interest rate lock commitments 15,804,462 $ 367,851 $ 6,928 20,624,535 $ 679,961 $ 2,935 Used for hedging purposes (2): Forward purchase contracts 23,912,210 6,730 86,766 31,689,543 133,267 1,276 Forward sales contracts 35,679,195 97,720 22,648 50,438,967 1,451 251,149 MBS put options 10,000,000 42,067 — 12,025,000 14,302 — MBS call options 2,200,000 263 — — — — Swaption purchase contracts 8,150,000 42,069 — 3,375,000 11,939 — Put options on interest rate futures purchase contracts 800,000 8,664 — 4,750,000 5,520 — Call options on interest rate futures purchase contracts 1,450,000 328 — 850,000 1,391 — Treasury futures purchase contracts 755,000 — — 1,065,000 — — Treasury futures sale contracts 2,215,000 — — 1,555,000 — — Interest rate swap futures purchase contracts 5,225,000 — — 4,801,700 — — Interest rate swap futures sale contracts 1,800,000 — — 711,700 — — Total derivatives before netting 565,692 116,342 847,831 255,360 Netting (135,708) (102,138) (136,593) (212,722) $ 429,984 $ 14,204 $ 711,238 $ 42,638 Deposits (received from) placed with derivative counterparties, net $ (33,570) $ 76,129 (1) Notional amounts provide an indication of the volume of the Company’s derivative activity. (2) All of the derivatives used for hedging purposes are interest rate derivatives and are used as economic hedges. 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. Offsetting of Derivative Assets Following are summaries of derivative assets and related netting amounts: September 30, 2021 December 31, 2020 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 - IRLCs $ 367,851 $ — $ 367,851 $ 679,961 $ — $ 679,961 Derivatives subject to master netting arrangements: Forward purchase contracts 6,730 — 6,730 133,267 — 133,267 Forward sale contracts 97,720 — 97,720 1,451 — 1,451 MBS put options 42,067 — 42,067 14,302 — 14,302 MBS call options 263 — 263 — — — Swaption purchase contracts 42,069 — 42,069 11,939 — 11,939 Put options on interest rate futures purchase contracts 8,664 — 8,664 5,520 — 5,520 Call options on interest rate futures purchase contracts 328 — 328 1,391 — 1,391 Netting — (135,708) (135,708) — (136,593) (136,593) 197,841 (135,708) 62,133 167,870 (136,593) 31,277 $ 565,692 $ (135,708) $ 429,984 $ 847,831 $ (136,593) $ 711,238 Derivative Assets, Financial Instruments, and Cash Collateral Held by Counterparty The following table summarizes by significant counterparty the amount of derivative asset positions after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance qualifying for netting. September 30, 2021 December 31, 2020 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 $ 367,851 $ — $ — $ 367,851 $ 679,961 $ — $ — $ 679,961 Citibank, N.A. 17,481 — — 17,481 2,026 — — 2,026 Wells Fargo Bank, N.A. 9,995 — — 9,995 — — — — RJ O'Brien 8,992 — — 8,992 6,910 — — 6,910 Morgan Stanley Bank, N.A. 7,773 — — 7,773 2,443 — — 2,443 JPMorgan Chase Bank, N.A. 6,985 — — 6,985 17,149 — — 17,149 Bank of America, N.A. 6,963 — — 6,963 — — — — Others 3,944 — — 3,944 2,749 — — 2,749 $ 429,984 $ — $ — $ 429,984 $ 711,238 $ — $ — $ 711,238 Offsetting of Derivative Liabilities and Financial Liabilities Following is a summary of net derivative liabilities and assets sold under agreements to repurchase and related netting amounts. Assets sold under agreements to repurchase do not qualify for netting. September 30, 2021 December 31, 2020 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 – $ 6,928 $ — $ 6,928 $ 2,935 $ — $ 2,935 Derivatives subject to a master netting arrangement: Forward purchase contracts 86,766 — 86,766 1,276 — 1,276 Forward sale contracts 22,648 — 22,648 251,149 — 251,149 Netting — (102,138) (102,138) — (212,722) (212,722) 109,414 (102,138) 7,276 252,425 (212,722) 39,703 Total derivatives 116,342 (102,138) 14,204 255,360 (212,722) 42,638 Assets sold under agreements to repurchase: Amount outstanding 6,903,302 — 6,903,302 9,663,995 — 9,663,995 Unamortized debt issuance cost (6,145) — (6,145) (9,198) — (9,198) 6,897,157 — 6,897,157 9,654,797 — 9,654,797 $ 7,013,499 $ (102,138) $ 6,911,361 $ 9,910,157 $ (212,722) $ 9,697,435 Derivative Liabilities, Financial Instruments, and Collateral Held by Counterparty The following table summarizes by significant counterparty the amount of derivative liabilities and assets sold under agreements to repurchase after considering master netting arrangements and financial instruments or cash pledged that do not qualify under the accounting guidance for netting. All assets sold under agreements to repurchase are secured by sufficient collateral or have fair value that exceeds the liability amount recorded on the consolidated balance sheets. September 30, 2021 December 31, 2020 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 $ 6,928 $ — $ — $ 6,928 $ 2,935 $ — $ — $ 2,935 Credit Suisse First Boston Mortgage Capital LLC 2,016,825 (2,016,825) — — 3,947,752 (3,943,149) — 4,603 Bank of America, N.A. 1,374,800 (1,374,800) — — 634,523 (626,550) — 7,973 Royal Bank of Canada 881,805 (881,805) — — 406,348 (406,348) — — JPMorgan Chase Bank, N.A. 754,120 (754,120) — — 2,752,279 (2,752,279) — — Barclays Capital 658,392 (657,729) — 663 596,729 (596,729) — — Goldman Sachs 299,560 (297,957) — 1,603 — — — — BNP Paribas 298,357 (297,821) — 536 337,823 (336,545) — 1,278 Morgan Stanley Bank, N.A. 247,579 (247,579) — — 331,546 (331,546) — — Wells Fargo Bank, N.A. 223,713 (223,713) — — 169,085 (165,224) — 3,861 Citibank, N.A. 150,953 (150,953) — — 505,625 (505,625) — — Mizuho Securities 2,772 — — 2,772 6,491 — — 6,491 Federal Home Loan Mortgage Corporation — — — — 12,928 — — 12,928 Others 1,702 — — 1,702 2,569 — — 2,569 $ 6,917,506 $ (6,903,302) $ — $ 14,204 $ 9,706,633 $ (9,663,995) $ — $ 42,638 Following are the gains (losses) recognized by the Company on derivative financial instruments and the income statement lines where such gains and losses are included: Quarter ended September 30, Nine months ended September 30, Derivative activity Income statement line 2021 2020 2021 2020 (in thousands) Interest rate lock commitments Net gains on loans held for sale at fair value (1) $ 17,313 $ 173,381 $ (316,103) $ 404,795 Repurchase agreement derivatives Interest expense $ — $ 83 $ — $ 83 Hedged item: Interest rate lock commitments and loans held for sale Net gains on loans held for sale at fair value $ (19,294) $ (77,320) $ 275,510 $ (403,992) Mortgage servicing rights Net loan servicing fees – $ (86,459) $ 6,521 $ (437,492) $ 1,027,327 (1) Represents net increase (decrease) in fair value of IRLCs from the beginning to the end of the period. Amounts recognized at the date of commitment and fair value changes recognized during the period until purchase of the underlying loans or the cancellation of the commitment are shown in the rollforward of IRLCs for the period in Note 6 – Fair Value – Assets and Liabilities Measured at Fair Value on a Recurring Basis. |
Mortgage Servicing Rights and M
Mortgage Servicing Rights and Mortgage Servicing Liabilities | 9 Months Ended |
Sep. 30, 2021 | |
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 September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) Balance at beginning of period $ 3,412,648 $ 2,213,539 $ 2,581,174 $ 2,926,790 Additions: Resulting from loan sales 432,429 245,946 1,386,324 753,795 Purchases (purchase adjustments), net — (287) — 25,473 432,429 245,659 1,386,324 779,268 Change in fair value due to: Changes in valuation inputs used in valuation model (1) (119,674) (26,208) (46,298) (1,040,751) Other changes in fair value (2) (114,283) (99,169) (310,080) (331,486) Total change in fair value (233,957) (125,377) (356,378) (1,372,237) Balance at end of period $ 3,611,120 $ 2,333,821 $ 3,611,120 $ 2,333,821 September 30, December 31, 2021 2020 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 3,600,978 $ 2,577,964 (1) Principally reflects changes in pricing spread, annual total prepayment speed, per loan annual cost of servicing and UPB of underlying loan inputs. (2) Represents changes due to realization of cash flows. Mortgage Servicing Liabilities at Fair Value The activity in MSLs is summarized below: Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) Balance at beginning of period $ 100,091 $ 29,858 $ 45,324 $ 29,140 Mortgage servicing liabilities resulting from loan sales 33,764 — 98,147 6,576 Changes in fair value due to (1): Changes in valuation inputs used in valuation model (54,222) 10,822 (36,375) 24,927 Other changes in fair value (2) (32,066) (8,982) (59,529) (28,945) Total change in fair value (86,288) 1,840 (95,904) (4,018) Balance at end of period $ 47,567 $ 31,698 $ 47,567 $ 31,698 (1) Principally reflects changes in expected borrower performance and servicer losses given default. During the quarter and nine months ended September 30, 2021, significant changes were made to valuation inputs used to estimate the fair value of MSLs in recognition of the observed increase in the proportion of performing government insured or guaranteed loans and reduced expected costs and losses from defaulted government insured or guaranteed loans underlying the Company’s MSLs. (2) Represents changes due to realization of cash flows. Contractual servicing fees relating to MSRs and MSLs are recorded in Net loan servicing fees—Loan servicing fees—From non-affiliates Net loan servicing fees—Loan servicing fees—Other Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) Contractual servicing fees $ 216,592 $ 203,696 $ 635,620 $ 601,527 Other fees: Late charges 7,480 7,615 22,076 28,718 Other 7,457 6,960 23,079 17,781 $ 231,529 $ 218,271 $ 680,775 $ 648,026 |
Leases
Leases | 9 Months Ended |
Sep. 30, 2021 | |
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 the operating lease agreements include options to extend the term 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 September 30, Nine months ended September 30, 2021 2020 2021 2020 (dollars in thousands) Lease expense: Operating leases $ 4,671 $ 4,144 $ 13,545 $ 12,110 Short-term leases 196 457 666 937 Net lease expense included in Occupancy and equipment $ 4,867 $ 4,601 $ 14,211 $ 13,047 Other information: Payments for operating leases $ 5,210 $ 4,418 $ 15,395 $ 13,212 Operating lease right-of-use assets $ 13,058 $ 1,721 $ 20,871 $ 8,219 Period end weighted averages: Remaining lease term (in years) 6.0 6.4 Discount rate 4.0% 4.2% Lease payments of the Company’s operating lease liabilities are summarized below: Twelve months ending September 30, Operating leases (in thousands) 2022 $ 21,207 2023 21,875 2024 21,917 2025 21,529 2026 17,806 Thereafter 23,421 Total lease payments 127,755 Less imputed interest (22,303) Operating lease liability $ 105,452 |
Other Assets
Other Assets | 9 Months Ended |
Sep. 30, 2021 | |
Other Asset | |
Other Assets | Note 11—Other Assets Other September 30, December 31, 2021 2020 (in thousands) Capitalized software, net $ 97,627 $ 81,434 Margin deposits 93,318 116,881 Prepaid expenses 67,308 53,975 Deposits securing Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets 64,583 153,054 Furniture, fixture, equipment and building improvements, net 31,842 32,217 Servicing fees receivable, net 20,590 42,282 Real estate acquired in settlement of loans 7,643 12,158 Other 184,865 200,168 $ 567,776 $ 692,169 Deposits pledged to secure Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 64,583 $ 153,054 Assets pledged to secure Obligations under capital lease Capitalized software, net 5,277 7,675 Furniture, fixture, equipment and building improvements, net 4,504 5,689 $ 74,364 $ 166,418 |
Short-Term Borrowings
Short-Term Borrowings | 9 Months Ended |
Sep. 30, 2021 | |
Short-Term Borrowings | |
Short-Term Borrowings | Note 12—Short-Term Borrowings The borrowing facilities described throughout these Notes 12 and 13 contain various covenants, including financial covenants governing the Company’s net worth, debt-to-equity ratio, profitability and liquidity. Management believes that the Company was in compliance with these covenants as of September 30, 2021. 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 loans held for sale at fair value or participation certificates backed by mortgage servicing assets. Eligible assets 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 LIBOR. Loans and participation certificates financed under these agreements may be re-pledged by the lenders. Fannie Mae MSR Facility On April 28, 2021, the Company, through PLS, PennyMac, and PFSI Issuer Trust - FMSR, entered into a structured finance transaction, allowing PLS to finance Fannie Mae MSRs and ESS (the “Fannie Mae MSR Facility”). In connection with the Fannie Mae MSR Facility, PLS pledges and/or sells to PFSI Issuer Trust - FMSR participation certificates representing beneficial interests in MSRs and ESS pursuant to the terms of a master repurchase agreement, dated as of April 28, 2021, by and between PLS, PFSI Issuer Trust - FMSR and PennyMac (the “PC Repurchase Agreement”). In return, PFSI Issuer Trust - FMSR (a) has issued to PLS the Series 2021-MSRVF1 Note, dated April 28, 2021, known as the “PFSI ISSUER TRUST - FMSR Collateralized Notes, Series 2021-MSRVF1” (the “FMSR VFN”), and (b) may, from time to time, issue to institutional investors 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 FMSR VFN is $1 billion. Under the PC Repurchase Agreement, PLS grants to PFSI Issuer Trust – FMSR a security interest in all of its right, title and interest in, to and under participation certificates representing beneficial interests in MSRs and ESS, including all of its rights and interests in any MSRs and ESS it thereafter owns or acquires. The principal amount paid by PFSI Issuer Trust - FMSR for the participation certificates under the PC Repurchase Agreement is based upon a percentage of the market value of the underlying MSRs (inclusive of the ESS). Upon PLS’s repurchase of the participation certificates, PLS is required to repay PFSI Issuer Trust - FMSR 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 FMSR VFN and any outstanding term notes) to the date of such repurchase. The principal amount paid by CSCIB for the FMSR VFN is based upon a percentage of the market value of such FMSR VFN. Upon PLS’s repurchase of the FMSR VFN, PLS is required to repay CSCIB the principal amount relating thereto plus accrued interest (at a rate reflective of the current market based on a spread above LIBOR with index replacement provisions related to the transition from LIBOR) to the date of such repurchase. Under the FMSR VFN Repurchase Agreement, in the event any such transactions are deemed to be loans and not sales and purchases, PLS granted to CSCIB a security interest in all of its right, title and interest in, to and under the FMSR VFN and all rights to reimbursement or payment of the FMSR VFN and/or amounts due in respect thereof. Ginnie Mae 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, 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 billion. On July 30, 2021, the Company through two of its indirect, wholly owned subsidiaries, Issuer Trust and PLS, and its direct wholly owned subsidiary, PennyMac, entered into agreements to syndicate two existing variable funding note repurchase agreements, as part of the structured finance transaction that PLS uses to finance Ginnie Mae mortgage servicing rights and related excess servicing spread and servicing advance receivables. The Company entered into (i) an Amended and Restated Series 2016-MSRVF1 Master Repurchase Agreement by and among PLS, as seller, CSFB, as administrative agent to the buyers, CSCIB, as a buyer, Citibank, N.A., as a buyer, and PennyMac, as a guarantor (the “Syndicated GMSR Servicing Spread Agreement”), related to the servicing spread; and (ii) an Amended and Restated Series 2020-SPIADVF1 Master Repurchase Agreement by and among PLS, as seller, CSFB, as administrative agent to the buyers, CSCIB, as a buyer, Citibank, as a buyer, and PennyMac, as a guarantor (the “Syndicated GMSR SAR Agreement”), related to the servicing advance receivables. The purposes of the Syndicated GMSR Servicing Spread Agreement are to (1) add Citibank as a syndicate buyer, and (2) increase the maximum purchase price from $400 to $500 million, all of which is committed on a 50-50 pro rata basis between CSCIB and Citibank. The purpose of the Syndicated GMSR SAR Agreement is to add Citibank as a syndicate buyer, with the maximum purchase price of $600 million unchanged, all of which is committed on a 50-50 pro rata basis between CSCIB and Citibank. Ginnie Mae Servicing Advances On April 1, 2020, the Company issued a series of variable funding notes, the Series 2020-SPIADVF1 Notes (“GMSR Servicing Advance Notes”), to be sold under agreement to repurchase pursuant to a Master Repurchase Agreement, dated as of April 1, 2020, with Credit Suisse First Boston Mortgage Capital LLC, acting as administrative agent on behalf of Credit Suisse AG, Cayman Islands Branch, as buyer (the “GMSR Servicing Advances Repurchase Agreement”). The GMSR Servicing Advances Repurchase Agreement provides the Company with financing secured by its servicing advances to pay, in accordance with the Ginnie Mae requirements, in the event borrowers are delinquent: (i) regularly scheduled monthly principal and interest to mortgage-backed securities holders; (ii) taxes, homeowner’s insurance, and other escrowed items; and (iii) other expenses related to servicing delinquent loans as specified by (A) state and federal laws and (B) government agencies, including the FHA, the VA, and the USDA. The borrowing capacity under the GMSR Servicing Advances Repurchase Agreement, shared with VFN financing capacity, is $600 million, all of which is committed and may be used to finance the servicing advances related to delinquent FHA, VA, and USDA loans, including delinquencies caused by forbearance provided to the borrower in accordance with the CARES Act. Assets sold under agreements to repurchase are summarized below: Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ 6,031,491 $ 3,363,140 $ 7,336,341 $ 2,669,336 Weighted average interest rate (1) 2.11 % 2.68 % 2.12 % 3.06 % Total interest expense $ 35,783 $ 27,322 $ 132,585 $ 70,493 Maximum daily amount outstanding $ 8,044,148 $ 7,267,046 $ 10,969,029 $ 7,267,046 September 30, December 31, 2021 2020 (dollars in thousands) Carrying value: Unpaid principal balance $ 6,903,302 $ 9,663,995 Unamortized debt issuance costs (6,145) (9,198) $ 6,897,157 $ 9,654,797 Weighted average interest rate 1.82 % 1.90 % Available borrowing capacity (2): Committed $ 766,389 $ 372,803 Uncommitted 8,180,309 2,163,202 $ 8,946,698 $ 2,536,005 Fair value of assets securing repurchase agreements: Loans held for sale $ 8,826,793 $ 10,912,178 Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ — $ 80,862 Servicing advances (3) $ 203,236 $ 413,484 Mortgage servicing rights (3) $ 3,349,503 $ 2,490,267 Deposits (3) $ 64,583 $ 153,054 Margin deposits placed with counterparties (4) $ 10,875 $ 5,625 (1) Excludes the effect of amortization of net issuance costs and utilization fees of $3.7 million and $4.8 million for the quarters ended September 30, 2021 and 2020, respectively, and $15.5 million and $9.2 million for the nine months ended September 30, 2021 and 2020, respectively. (2) The amount the Company is able to borrow under asset repurchase agreements is tied to the fair value of unencumbered assets eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the assets financed. (3) Beneficial interests in the Ginnie Mae MSRs, servicing advances and deposits are pledged to the Issuer Trust and together serve as the collateral backing the VFN, GMSR Servicing Advance Notes, and the Term Notes described in Note 13 – Long-Term Debt - Notes payable secured by mortgage servicing assets . The VFN financing and the GMSR Servicing Advance Notes are included in Assets sold under agreements to repurchase and the Term Notes are included in Notes payable secured by mortgage servicing assets on the Company's consolidated balance sheets. (4) Margin deposits are included in Other assets on the Company’s consolidated balance sheets. Following is a summary of maturities of outstanding advances under repurchase agreements by maturity date: Remaining maturity at September 30, 2021 Unpaid principal balance (dollars in thousands) Within 30 days $ 1,791,971 Over 30 to 90 days 4,073,983 Over 90 to 180 days 824,526 Over 180 days to one year 112,822 Over one year to two years 100,000 Total assets sold under agreements to repurchase $ 6,903,302 Weighted average maturity (in months) 2.6 The amount at risk (the fair value of the assets pledged plus the related margin deposit, less the amount advanced by the counterparty and interest payable) relating to the Company’s assets sold under agreements to repurchase is summarized by counterparty below as of September 30, 2021: Weighted average Counterparties Amount at risk maturity of advances Facility maturity (in thousands) Credit Suisse First Boston Mortgage Capital LLC & Citibank, N.A. (1) $ 2,403,804 March 31, 2023 March 31, 2023 Credit Suisse First Boston Mortgage Capital LLC $ 255,253 November 18, 2021 March 31, 2023 Bank of America, N.A. $ 753,370 December 21, 2021 June 7, 2023 JP Morgan Chase Bank, N.A. $ 372,221 November 21, 2021 September 29, 2023 JP Morgan Chase Bank, N.A. $ 54,487 December 7, 2021 June 6, 2023 Goldman Sachs $ 246,809 November 11, 2021 December 23, 2022 BNP Paribas $ 152,152 December 21, 2021 July 31, 2023 Barclays Bank PLC $ 78,565 November 30, 2021 November 3, 2022 Royal Bank of Canada $ 78,230 January 3, 2022 September 14, 2022 Morgan Stanley Bank, N.A. $ 20,794 November 26, 2021 November 2, 2022 Wells Fargo Bank, N.A. $ 10,636 December 19, 2021 October 6, 2022 Citibank, N.A. $ 5,401 December 2, 2021 August 10, 2023 (1) The calculation of the amount at risk includes the VFN and the Term Notes because beneficial interests in the Ginnie Mae MSRs, Fannie Mae MSRs and servicing advances are pledged to the Issuer Trust and together serve as the collateral backing the VFN, and the Term Notes described in Notes payable secured by mortgage servicing assets below. The VFN financing is included in Assets sold under agreements to repurchase and the Term Notes are included in Notes payable secured by mortgage servicing assets on the Company's consolidated balance sheets. The Company is subject to margin calls during the period the repurchase 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 One of the borrowing facilities secured by loans held for sale is 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 September 30, Nine months ended September 30, 2021 2020 2021 2020 (dollars in thousands) Average balance $ 237,849 $ 235,713 $ 256,109 $ 227,460 Weighted average interest rate (1) 1.44 % 1.40 % 1.38 % 1.98 % Total interest expense $ 1,026 $ 999 $ 3,160 $ 3,870 Maximum daily amount outstanding $ 532,819 $ 538,074 $ 532,819 $ 540,977 (1) Excludes the effect of amortization of debt issuance costs totaling $172,000 and $172,000 for the quarters ended September 30, 2021 and 2020, respectively, and $516,000 and $490,000 for the nine months ended September 30, 2021 and 2020, respectively. September 30, December 31, 2021 2020 (dollars in thousands) Carrying value: Unpaid principal balance $ 519,784 $ 521,477 Unamortized debt issuance costs — — $ 519,784 $ 521,477 Weighted average interest rate 1.46 % 1.39 % Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements $ 541,313 $ 545,500 Corporate Revolving Line of Credit The Company, through its subsidiary PennyMac, entered into an amended and restated credit agreement on November 18, 2016, as amended (the “Credit Agreement”) under which PennyMac established a revolving line of credit in an amount not to exceed $150 million. PennyMac did not borrow under the revolving line of credit during the periods presented and terminated the Credit Agreement on September 29, 2020 concurrent with the issuance the Unsecured Senior Notes |
Long-Term Debt
Long-Term Debt | 9 Months Ended |
Sep. 30, 2021 | |
Long-Term Debt. | |
Long-Term Debt | Note 13—Long-Term Debt Obligations Under Capital Lease The Company has a capital lease transaction secured by certain fixed assets and capitalized software. The capital lease matures on June 13, 2022 and bears interest at a spread over one-month LIBOR. Obligations under capital lease are summarized below: Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (dollars in thousands) Average balance $ 6,804 $ 15,179 $ 9,072 $ 17,253 Weighted average interest rate 2.09 % 2.16 % 2.11 % 2.69 % Total interest expense $ 36 $ 83 $ 143 $ 354 Maximum daily amount outstanding $ 7,677 $ 16,749 $ 11,864 $ 20,810 September 30, December 31, 2021 2020 (dollars in thousands) Unpaid principal balance $ 5,583 $ 11,864 Weighted average interest rate 2.08 % 2.15 % Assets pledged to secure obligations under capital lease: Capitalized software $ 5,277 $ 7,675 Furniture, fixtures and equipment $ 4,504 $ 5,689 Notes Payable Secured by Mortgage Servicing Assets Term Notes The Company, through the Issuer Trust described in Note 4 – Related Party Transactions—Transactions with PMT—Investing Activities Short-Term Borrowings—Assets Sold Under Agreements to Repurchase Following is a summary of the issued and outstanding Term Notes: Issuance date Principal balance Stated interest rate (1) Stated maturity date (2) (in thousands) (Annual) February 28, 2018 (the "GMSR GT1 Notes") $ 650,000 2.85% 2/25/2023 August 10, 2018 (the "GMSR GT2 Notes") 650,000 2.65% 8/25/2023 $ 1,300,000 (1) Spread over one-month LIBOR. (2) The Term Notes’ indentures provide the Company with the option to extend the maturity of the Term Notes by two years after the stated maturity . MSR Note Payable On February 1, 2018, the Company issued a note payable that is secured by Freddie Mac MSRs. Interest is charged at a rate based on LIBOR plus the applicable contract margin. The facility expires on November 19, 2021. 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 Ginnie Mae MSRs and servicing advances and the Fannie Mae MSRs. The Company did not borrow under this note payable during the periods presented. Notes payable secured by mortgage servicing assets are summarized below: Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (dollars in thousands) Average balance $ 1,300,000 $ 1,300,000 $ 1,300,000 $ 1,300,000 Weighted average interest rate (1) 2.87 % 2.99 % 2.89 % 3.57 % Total interest expense $ 9,896 $ 10,177 $ 29,888 $ 36,131 (1) Excludes the effect of amortization of debt issuance costs totaling $570,000 and $459,000 for the quarters ended September 30, 2021 and 2020, respectively, and $1.7 million and $1.4 million for the nine months ended September 30, 2021 and 2020, respectively. September 30, December 31, 2021 2020 (dollars in thousands) Carrying value: Unpaid principal balance $ 1,300,000 $ 1,300,000 Unamortized debt issuance costs (2,824) (4,160) $ 1,297,176 $ 1,295,840 Weighted average interest rate 2.83 % 2.93 % Assets pledged to secure notes payable (1) (2): Servicing advances $ 203,236 $ 413,484 Mortgage servicing rights $ 3,600,978 $ 2,421,326 Deposits $ 64,583 $ 153,054 (1) Beneficial interests in the Ginnie Mae MSRs, servicing advances and deposits are pledged to the Issuer Trust and together serve as the collateral backing the VFN, GMSR Servicing Advance Notes and the Term Notes. The VFN financing and the GMSR Servicing Advance Notes are included in Assets sold under agreements to repurchase and the Term Notes are included in Notes payable secured by mortgage servicing assets on the Company's consolidated balance sheets. (2) Beneficial interests in the Fannie Mae MSRs are pledged to the PFSI Issuer Trust - FMSR and serve as the collateral backing the FMSR VFN and any FMSR Term Notes. The FMSR VFN financing is included in Assets sold under agreements to repurchase and the FMSR Term Note is included in Notes payable secured by mortgage servicing assets on the Company's consolidated balance sheets. Unsecured Senior Notes The Company issued unsecured senior notes (the “Unsecured Notes”) to qualified institutional buyers under Rule 144A of the Securities Act. The Unsecured Notes are senior unsecured obligations of the Company and will rank senior in right of payment to any future subordinated indebtedness of the Company, equally in right of payment with all existing and future senior indebtedness of the Company and effectively subordinated to any future secured indebtedness of the Company to the extent of the fair value of collateral securing such indebtedness. The Unsecured Notes are fully and unconditionally guaranteed, jointly and severally, on a senior unsecured basis by PFSI’s existing and future wholly-owned domestic subsidiaries (other than certain excluded subsidiaries defined in the indenture under which the Unsecured Notes were issued). The guarantees are senior unsecured obligations of the guarantors and will rank senior in right of payment to any future subordinated indebtedness of the guarantors, equally in right of payment with all existing and future senior indebtedness of the guarantors and effectively subordinated to any future secured indebtedness of the guarantors to the extent of the fair value of collateral securing such indebtedness. The Unsecured Notes and the guarantees are structurally subordinated to the indebtedness and liabilities of the Company’s subsidiaries that do not guarantee the Unsecured Notes. On September 16, 2021, the Company issued $500 million aggregate principal amount of 5.75% unsecured senior notes due on September 15, 2031. On October 7, 2021, the Company amended the indentures governing its 5.38% unsecured senior notes due 2025 and 4.25% unsecured senior notes due 2029 to conform the restricted payments covenant and the “permitted investments” definition to the terms contained in the indenture governing the 5.75% unsecured senior notes due 2031. Following is a summary of the Company’s outstanding Unsecured Notes issued: Issuance date Principal balance Coupon interest rate Maturity date Optional redemption date (1) (in thousands) (Annual) September 29, 2020 $ 500,000 5.38% October 15, 2025 October 15, 2022 October 19, 2020 150,000 5.38% October 15, 2025 October 15, 2022 February 11, 2021 650,000 4.25% February 15, 2029 February 15, 2024 September 16, 2021 500,000 5.75% September 15, 2031 September 15, 2026 $ 1,800,000 (1) Before the optional redemption date, the Company may redeem some or all of the Unsecured Notes for that issuance at a price equal to 100% of the principal amount, plus accrued and unpaid interest and a make-whole premium or the Company may redeem up to 40% of the Unsecured Notes for that issuance with an amount equal to or less than the net proceeds from certain equity offerings at the redemption price set forth in the indenture, plus accrued and unpaid interest. On or after the optional redemption date, the Company may redeem some or all of the Unsecured Notes for that issuance at the redemption prices set forth in the indenture, plus accrued and unpaid interest. Quarter ended Nine months ended September 30, 2021 September 30, 2021 (dollars in thousands) Average balance $ 1,381,522 $ 1,229,853 Weighted average interest rate (1) 4.91 % 4.86 % Total interest expense $ 17,442 $ 46,281 (1) Excludes the effect of amortization of debt issuance costs of $492,000 and $1.4 million for the quarter and nine months ended September 30, 2021, respectively. September 30, December 31, 2021 2020 (dollars in thousands) Carrying value: Unpaid principal balance $ 1,800,000 $ 650,000 Unamortized debt issuance costs, net of issuance premiums (16,770) (4,180) $ 1,783,230 $ 645,820 Weighted average interest rate 5.07 % 5.38 % Maturities of Long-Term Debt Maturities of long-term debt obligations (based on final maturity dates) are as follows: Twelve months ended September 30, 2022 2023 2024 2025 2026 Thereafter Total (in thousands) Obligations under capital lease $ 5,583 $ — $ — $ — $ — $ — $ 5,583 Notes payable secured by mortgage servicing assets — 1,300,000 — — — — 1,300,000 Unsecured Notes — — — — 650,000 1,150,000 1,800,000 Total $ 5,583 $ 1,300,000 $ — $ — $ 650,000 $ 1,150,000 $ 3,105,583 |
Liability for Losses Under Repr
Liability for Losses Under Representations and Warranties | 9 Months Ended |
Sep. 30, 2021 | |
Liability for Losses Under Representations and Warranties | |
Liability for Losses Under Representations and Warranties | Note 14—Liability for Losses Under Representations and Warranties Following is a summary of the Company’s liability for losses under representations and warranties: Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) Balance at beginning of period $ 44,335 $ 25,909 $ 32,688 $ 21,446 Provision for losses: Resulting from sales of loans 6,561 5,219 26,918 13,120 Reduction in liability due to change in estimate (4,355) (2,473) (11,680) (5,419) Losses incurred, net (735) (151) (2,120) (643) Balance at end of period $ 45,806 $ 28,504 $ 45,806 $ 28,504 Unpaid principal balance of loans subject to representations and warranties at end of period $ 245,528,045 $ 199,194,983 |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2021 | |
Income Taxes | |
Income Taxes | Note 15—Income Taxes The Company’s effective income tax rates were 26.6% and 26.5% for the quarters ended September 30, 2021 and 2020, respectively, and 26.2% and 26.4% for the nine months ended September 30, 2021 and 2020, respectively. The CARES Act, passed in March 2020, introduced a number of tax law changes which are generally taxpayer favorable and in December 2020, the Taxpayer Certainty and Disaster Tax Relief Act was signed into law. No material changes in the Company’s effective income tax rates resulted from either Act. |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2021 | |
Commitments and Contingencies. | |
Commitments and Contingencies | Note 16—Commitments and Contingencies Litigation From time to time, the Company may be a party to legal proceedings, lawsuits and other 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 any such proceedings and exposure will not have, individually or taken together, a material adverse effect on the financial condition, income, or cash flows of the Company. On November 5, 2019, Black Knight Servicing Technologies, LLC, a wholly-owned indirect subsidiary of Black Knight, Inc. (“BKI”), filed a Complaint and Demand for Jury Trial in the Fourth Judicial Circuit Court in and for Duval County, Florida (the “Florida State Court”), captioned Black Knight Servicing Technologies , LLC v. PennyMac Loan Services, LLC , Case No. 2019-CA-007908 (the “BKI Complaint”). Allegations contained within the BKI Complaint include breach of contract and misappropriation of MSP® System trade secrets in order to develop an imitation mortgage-processing system intended to replace the MSP® System. The BKI Complaint seeks damages for breach of contract and misappropriation of trade secrets, injunctive relief under the Florida Uniform Trade Secrets Act and declaratory judgment of ownership of all intellectual property and software developed by or on behalf of PLS as a result of its wrongful use of and access to the MSP® System and related trade secret and confidential information. On March 30, 2020, the Florida State Court granted a motion to compel arbitration filed by PLS. Consequently, on April 27, 2020, PLS dismissed its federal court action without prejudice to pursue those claims in arbitration as well. While no assurance can be provided as to the ultimate outcome of this claim or the account of any losses to the Company, the Company believes the BKI Complaint is without merit and plans to vigorously defend the matter, which remains pending. 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 (“CFPB”), 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. On January 7, 2021, PLS received a letter from the CFPB notifying PLS that, in accordance with the CFPB’s discretionary Notice and Opportunity to Respond and Advise (“NORA”) process, the CFPB’s Office of Enforcement was considering recommending that the CFPB take legal action against PLS for alleged violations of the Real Estate Settlement Procedures Act and Truth in Lending Act. The CFPB's examination covered the period from March 2015 through September 2016. Should the CFPB commence an action, it may seek restitution, civil monetary penalties, injunctive relief, or other corrective action, the extent of which remains uncertain at this time. Notably, certain of the alleged violations were originally self-identified by PLS and remediated prior to the CFPB's examination, and all alleged violations were fully remediated as of August 2017. PLS confirmed these remediation actions as well as full restitution to any affected borrowers in its response to the NORA letter submitted on February 8, 2021. While the NORA process remains open and pending at this time, and there can be no assurance as to the nature or extent of any actions taken by the CFPB with regard to these alleged violations, the Company does not believe that the ultimate resolution of this matter will have a material adverse effect on its financial statements or operations. Commitments to Purchase and Fund Mortgage Loans The Company’s commitments to purchase and fund loans totaled $15.8 billion as of September 30, 2021. |
Stockholders' Equity
Stockholders' Equity | 9 Months Ended |
Sep. 30, 2021 | |
Stockholders' Equity. | |
Stockholders' Equity | Note 17—Stockholders’ Equity In August 2021, the Company’s board of directors approved an increase to the Company’s common stock repurchase program from $1 billion to $2 billion. Following is a summary of activity under the stock repurchase program: Quarter ended September 30, Nine months ended September 30, Cumulative 2021 2020 2021 2020 total (1) (in thousands) Shares of common stock repurchased 4,195 118 11,422 7,331 21,128 Cost of shares of common stock repurchased $ 257,354 $ 6,927 $ 700,793 $ 248,210 $ 1,053,220 (1) Amounts represent the total shares of common stock repurchased under the stock repurchase program from inception through September 30, 2021 . |
Net Gains on Loans Held for Sal
Net Gains on Loans Held for Sale | 9 Months Ended |
Sep. 30, 2021 | |
Net Gains on Loans Held for Sale | |
Net Gains on Loans Held for Sale | Note 18—Net Gains on Loans Held for Sale Net gains on loans held for sale at fair value are summarized below: Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) From non-affiliates: Cash gains: Loans $ 135,841 $ 605,559 $ 605,858 $ 1,219,732 Hedging activities (9,788) (72,268) 400,786 (421,947) 126,053 533,291 1,006,644 797,785 Non-cash gains: Mortgage servicing rights and mortgage servicing liabilities resulting from loan sales 398,665 245,946 1,288,177 747,219 Provisions for losses relating to representations and warranties: Pursuant to loan sales (6,561) (5,219) (26,918) (13,120) Reductions in liability due to change in estimate 4,355 2,473 11,680 5,419 Changes in fair values of loans and derivatives held at period end: Interest rate lock commitments 17,313 173,381 (316,103) 404,795 Loans 109,411 (79,776) 164,311 (140,878) Hedging derivatives (9,506) (5,052) (125,276) 17,955 639,730 865,044 2,002,515 1,819,175 From PennyMac Mortgage Investment Trust (1) (12,976) (9,775) (38,772) 62,549 $ 626,754 $ 855,269 $ 1,963,743 $ 1,881,724 |
Net Interest Expense
Net Interest Expense | 9 Months Ended |
Sep. 30, 2021 | |
Net Interest Expense | |
Net Interest Expense | Note 19—Net Interest Expense Net interest expense is summarized below: Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) Interest income: From non-affiliates: Cash and short-term investments $ 768 $ 1,259 $ 2,502 $ 4,863 Loans held for sale at fair value 63,726 41,854 215,003 120,866 Placement fees relating to custodial funds 3,818 9,163 13,298 44,419 68,312 52,276 230,803 170,148 From PennyMac Mortgage Investment Trust— Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell — 676 387 2,686 68,312 52,952 231,190 172,834 Interest expense: To non-affiliates: Assets sold under agreements to repurchase 35,783 27,322 132,585 70,493 Mortgage loan participation purchase and sale agreements 1,026 999 3,160 3,870 Obligations under capital lease 36 83 143 354 Notes payable secured by mortgage servicing assets 9,896 10,177 29,888 36,131 Unsecured senior notes 17,442 — 46,281 — Corporate revolving line of credit — 561 — 1,537 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 24,886 20,711 83,466 54,536 Interest on mortgage loan impound deposits 1,642 1,256 4,052 4,561 90,711 61,109 299,575 171,482 To PennyMac Mortgage Investment Trust— Excess servicing spread financing at fair value — 2,070 1,280 6,416 90,711 63,179 300,855 177,898 $ (22,399) $ (10,227) $ (69,665) $ (5,064) |
Stock-based Compensation
Stock-based Compensation | 9 Months Ended |
Sep. 30, 2021 | |
Stock-based Compensation | |
Stock-based Compensation | Note 20—Stock-based Compensation As of September 30, 2021, the Company had one stock-based compensation plan. Following is a summary of the stock-based compensation activity: Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) Grants: Units: Performance-based restricted share units ("RSUs") — — 310 422 Stock options — — 249 273 Time-based RSUs — — 171 310 Grant date fair value: Performance-based RSUs $ — $ — $ 18,237 $ 14,788 Stock options — — 5,116 2,770 Time-based RSUs — — 10,066 10,823 Total $ — $ — $ 33,419 $ 28,381 Vestings and exercises: Performance-based RSUs vested — — 640 603 Stock options exercised 104 152 289 476 Time-based RSUs vested 2 7 309 355 Compensation expense $ 8,824 $ 7,095 $ 28,595 $ 26,220 |
Earnings Per Share
Earnings Per Share | 9 Months Ended |
Sep. 30, 2021 | |
Earnings Per Share | |
Earnings Per Share | Note 21—Earnings Per Share Basic earnings per share is determined by dividing net income by the weighted average number of shares of common stock outstanding during the quarter. Diluted earnings per share is determined by dividing net income by the weighted average number of shares of common stock outstanding, assuming all dilutive securities were issued. The Company’s potentially dilutive securities are stock-based compensation awards. The Company applies the treasury stock method to determine the diluted weighted average number of shares of common stock outstanding based on the outstanding stock-based compensation awards. The following table summarizes the basic and diluted earnings per share calculations: Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands, except per share amounts) Net income $ 249,310 $ 535,160 $ 830,407 $ 1,194,080 Weighted average basic shares of common stock outstanding 62,085 72,439 65,671 76,292 Effect of dilutive securities - Shares issuable under stock-based compensation plan 3,567 3,699 3,670 3,326 Weighted average shares of common stock applicable to diluted earnings per share 65,652 76,138 69,341 79,618 Basic earnings per share $ 4.02 $ 7.39 $ 12.65 $ 15.65 Diluted earnings per share $ 3.80 $ 7.03 $ 11.98 $ 15.00 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 weighted-average number of anti-dilutive outstanding performance-based RSUs and stock options excluded from the calculation of diluted earnings per share: Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands except for weighted-average exercise price) Performance-based RSUs (1) 302 — 244 335 Time-based RSUs — — 68 — Stock options (2) 249 — 199 217 Total anti-dilutive shares and units 551 — 511 552 Weighted average exercise price of anti-dilutive stock options (2) $ 58.85 $ — $ 58.85 $ 35.03 (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 period. |
Supplemental Cash Flow Informat
Supplemental Cash Flow Information | 9 Months Ended |
Sep. 30, 2021 | |
Supplemental Cash Flow Information | |
Supplemental Cash Flow Information | Note 22—Supplemental Cash Flow Information Nine months ended September 30, 2021 2020 (in thousands) Cash paid for interest $ 301,014 $ 184,087 Cash paid for income taxes, net $ 257,597 $ 260,723 Non-cash investing activity: Mortgage servicing rights resulting from loan sales $ 1,386,324 $ 753,795 Operating right-of-use assets $ 20,871 $ 8,219 Non-cash financing activity: Mortgage servicing liabilities resulting from loan sales $ 98,147 $ 6,576 Issuance of Excess servicing spread payable to PennyMac Mortgage Investment Trust $ 557 $ 1,393 Issuance of common stock in settlement of directors' fees $ 151 $ 144 |
Regulatory Capital and Liquidit
Regulatory Capital and Liquidity Requirements | 9 Months Ended |
Sep. 30, 2021 | |
Regulatory Capital and Liquidity Requirements | |
Regulatory Capital and Liquidity Requirements | Note 23—Regulatory Capital and Liquidity Requirements The Company, through PLS, 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, loan origination volume and delinquency rates. The Company is subject to financial eligibility requirements established by the Federal Housing Finance Agency (“FHFA”) 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 UPB of the Company’s total 1-4 unit servicing portfolio, excluding mortgage loans subserviced for others; ● 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 less 70% of such nonperforming Agency servicing UPB in excess of 600 basis points where the underlying loans are in COVID-19 forbearance but were current at the time they entered forbearance. 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: September 30, 2021 December 31, 2020 Agency requirement – PLS Actual (1) Requirement (1) Actual (1) Requirement (1) (dollars in thousands) Capital Fannie Mae & Freddie Mac $ 5,593,909 $ 696,005 $ 4,454,680 $ 633,331 Ginnie Mae $ 5,204,078 $ 1,048,132 $ 3,794,112 $ 1,058,641 HUD $ 5,204,078 $ 2,500 $ 3,794,112 $ 2,500 Liquidity Fannie Mae & Freddie Mac $ 432,263 $ 90,400 $ 506,096 $ 84,444 Ginnie Mae $ 432,263 $ 216,767 $ 506,096 $ 215,722 Adjusted net worth / Total assets ratio Ginnie Mae 27 % 6 % 12 % 6 % Tangible net worth / Total assets ratio Fannie Mae & Freddie Mac 29 % 6 % 14 % 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 | 9 Months Ended |
Sep. 30, 2021 | |
Segments | |
Segments | Note 24—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 loan origination, acquisition and sale activities. The servicing segment performs servicing of loans, execution and management of early buyout loan transactions and servicing of 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 September 30, 2021 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 496,568 $ 130,186 $ 626,754 $ — $ 626,754 Loan origination fees 94,581 — 94,581 — 94,581 Fulfillment fees from PennyMac Mortgage Investment Trust 43,922 — 43,922 — 43,922 Net loan servicing fees — 33,630 33,630 — 33,630 Net interest income (expense): Interest income 33,307 35,005 68,312 — 68,312 Interest expense 28,570 62,139 90,709 2 90,711 4,737 (27,134) (22,397) (2) (22,399) Management fees — — — 8,520 8,520 Other 218 148 366 1,238 1,604 Total net revenue 640,026 136,830 776,856 9,756 786,612 Expenses 309,460 128,876 438,336 8,727 447,063 Income before provision for income taxes $ 330,566 $ 7,954 $ 338,520 $ 1,029 $ 339,549 Segment assets at quarter end $ 7,926,709 $ 11,797,702 $ 19,724,411 $ 20,727 $ 19,745,138 (1) All revenues are from external customers. Quarter ended September 30, 2020 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 700,830 $ 154,439 $ 855,269 $ — $ 855,269 Loan origination fees 75,572 — 75,572 — 75,572 Fulfillment fees from PennyMac Mortgage Investment Trust 54,839 — 54,839 — 54,839 Net loan servicing fees — 132,807 132,807 — 132,807 Net interest income (expense): Interest income 26,050 26,902 52,952 — 52,952 Interest expense 18,325 44,850 63,175 4 63,179 7,725 (17,948) (10,223) (4) (10,227) Management fees — — — 8,508 8,508 Other 132 1,802 1,934 1,290 3,224 Total net revenue 839,098 271,100 1,110,198 9,794 1,119,992 Expenses 225,817 159,407 385,224 6,477 391,701 Income before provision for income taxes $ 613,281 $ 111,693 $ 724,974 $ 3,317 $ 728,291 Segment assets at quarter end $ 7,319,838 $ 23,843,110 $ 31,162,948 $ 17,917 $ 31,180,865 (1) All revenues are from external customers. Nine months ended September 30, 2021 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 1,431,824 $ 531,919 $ 1,963,743 $ — $ 1,963,743 Loan origination fees 295,909 — 295,909 — 295,909 Fulfillment fees from PennyMac Mortgage Investment Trust 158,777 — 158,777 — 158,777 Net loan servicing fees — 88,221 88,221 — 88,221 Net interest income (expense): — — Interest income 94,668 136,522 231,190 — 231,190 Interest expense 103,555 197,292 300,847 8 300,855 (8,887) (60,770) (69,657) (8) (69,665) Management fees — — — 28,882 28,882 Other 1,445 2,270 3,715 3,968 7,683 Total net revenue 1,879,068 561,640 2,440,708 32,842 2,473,550 Expenses 941,165 381,018 1,322,183 26,295 1,348,478 Income before provision for income taxes $ 937,903 $ 180,622 $ 1,118,525 $ 6,547 $ 1,125,072 Segment assets at period end $ 7,926,709 $ 11,797,702 $ 19,724,411 $ 20,727 $ 19,745,138 (1) All revenues are from external customers Nine months ended September 30, 2020 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 1,637,193 $ 244,531 $ 1,881,724 $ — $ 1,881,724 Loan origination fees 192,091 — 192,091 — 192,091 Fulfillment fees from PennyMac Mortgage Investment Trust 149,594 — 149,594 — 149,594 Net loan servicing fees — 412,952 412,952 — 412,952 Net interest income (expense): Interest income 71,840 100,994 172,834 — 172,834 Interest expense 51,124 126,756 177,880 18 177,898 20,716 (25,762) (5,046) (18) (5,064) Management fees — — — 25,851 25,851 Other 483 1,473 1,956 4,347 6,303 Total net revenue 2,000,077 633,194 2,633,271 30,180 2,663,451 Expenses 608,602 413,071 1,021,673 18,395 1,040,068 Income before provision for income taxes $ 1,391,475 $ 220,123 $ 1,611,598 $ 11,785 $ 1,623,383 Segment assets at period end $ 7,319,838 $ 23,843,110 $ 31,162,948 $ 17,917 $ 31,180,865 (1) All revenues are from external customers. |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2021 | |
Subsequent Events | |
Subsequent Events | Note 25—Subsequent Events Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period: ● On November 4, 2021, the Company’s board of directors declared a cash dividend of $0.20 per common share. The dividend will be paid on November 24, 2021 to common shareholders of record as of November 15, 2021. ● All agreements to repurchase assets that matured before the date of this Report were extended or renewed. |
Related Party Transactions (Tab
Related Party Transactions (Tables) - PMT | 9 Months Ended |
Sep. 30, 2021 | |
Transactions with Affiliates | |
Summary of lending activity between the Company and affiliate | Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) Net gains on loans held for sale at fair value: Net gains on loans held for sale to PMT (primarily cash) $ — $ 1 $ — $ 81,295 Mortgage servicing rights and excess servicing spread recapture incurred (12,976) (9,776) (38,772) (18,746) $ (12,976) $ (9,775) $ (38,772) $ 62,549 Sale of loans held for sale to PMT $ — $ 27 $ — $ 2,248,896 Tax service fees earned from PMT included in Loan origination fees $ 6,541 $ 6,076 $ 21,861 $ 14,344 Fulfillment fee revenue $ 43,922 $ 54,839 $ 158,777 $ 149,594 Unpaid principal balance ("UPB") of loans fulfilled for PMT subject to fulfillment fees $ 28,605,098 $ 27,351,435 $ 92,846,231 $ 62,403,674 Sourcing fees included in cost of loans purchased from PMT $ 1,537 $ 1,658 $ 4,905 $ 9,143 Unpaid principal balance of loans purchased from PMT $ 15,249,441 $ 16,690,482 $ 49,106,232 $ 41,641,327 |
Summary of loan servicing fees earned from PMT | Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) Loan type serviced: Loans acquired for sale $ 698 $ 452 $ 1,871 $ 1,595 Distressed loans 89 187 306 675 Mortgage servicing rights 19,916 18,113 57,634 46,536 $ 20,703 $ 18,752 $ 59,811 $ 48,806 |
Summary of management fees earned | Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) Base management $ 8,778 $ 8,508 $ 25,875 $ 25,851 Performance incentive (adjustment) (258) — 3,007 — $ 8,520 $ 8,508 $ 28,882 $ 25,851 |
Summary of reimbursement of expenses | Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) Reimbursement of: Common overhead incurred by the Company $ 1,548 $ 1,389 $ 3,387 $ 4,514 Compensation 165 165 495 405 Expenses incurred on PMT's behalf, net 4,396 2,852 13,536 5,561 $ 6,109 $ 4,406 $ 17,418 $ 10,480 Payments and settlements during the period (1) $ 51,020 $ 58,479 $ 238,202 $ 228,514 (1) Payments and settlements include payments for management fees and correspondent production activities itemized in the preceding tables and netting settlements made pursuant to master netting agreements between the Company and PMT. |
Summary of investing activity between the Company and affiliate | Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) Interest income relating to Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ — $ 676 $ 387 $ 2,686 Change in fair value of investment in and dividends received from PennyMac Mortgage Investment Trust $ (67) $ (288) $ 478 $ (602) September 30, December 31, 2021 2020 (in thousands) Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ — $ 80,862 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Fair value $ 1,477 $ 1,105 Number of shares 75 75 |
Summary of financing activity between the Company and affiliate | Quarter ended Nine months ended September 30, September 30, 2020 2021 2020 (in thousands) Excess servicing spread financing: Balance at beginning of period $ 151,206 $ 131,750 $ 178,586 Issuance pursuant to recapture agreement 531 557 1,393 Accrual of interest 2,070 1,280 6,416 Repayment (7,682) (134,624) (25,112) Change in fair value (3,135) 1,037 (18,293) Balance at end of period $ 142,990 $ — $ 142,990 Recapture incurred pursuant to refinancings by the Company of mortgage loans subject to excess servicing spread financing included in Net gains on loans held for sale at fair value $ 525 $ 614 $ 1,441 |
Summary of amounts due from and payable to affiliate | September 30, December 31, 2021 2020 (in thousands) Receivable from PMT: Allocated expenses and expenses incurred on PMT's behalf $ 12,493 $ 38,142 Correspondent production fees 10,867 13,065 Fulfillment fees 10,709 20,873 Management fees 8,778 8,686 Servicing fees 7,146 6,213 Interest on assets purchased under agreements to resell — 26 $ 49,993 $ 87,005 Payable to PMT: Amounts advanced by PMT to fund its servicing advances $ 119,810 $ 132,154 Other 19,162 8,152 $ 138,972 $ 140,306 |
Loan Sales and Servicing Acti_2
Loan Sales and Servicing Activities (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Loan Sales and Servicing Activities | |
Summary of cash flows between the Company and transferees upon sale of loans in transactions | Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) Cash flows: Sales proceeds $ 39,040,868 $ 26,683,234 $ 118,048,768 $ 67,209,239 Servicing fees received (1) $ 178,684 $ 166,316 $ 576,332 $ 491,743 (1) Net of guarantee fees paid to the Agencies. |
Summary of sale of loans between the Company and transferees upon sale of loans in transactions | September 30, December 31, 2021 2020 (in thousands) UPB of loans outstanding $ 241,193,601 $ 199,655,361 Delinquencies (1): 30-89 days $ 5,630,358 $ 6,041,366 90 days or more: Not in foreclosure $ 11,538,275 $ 17,799,621 In foreclosure $ 453,155 $ 581,683 Foreclosed $ 5,949 $ 10,893 Bankruptcy $ 1,183,564 $ 1,230,696 Delinquent loans in COVID-19 pandemic-related forbearance: 30-89 days $ 1,464,126 $ 2,626,617 90 days or more 5,441,170 12,181,174 $ 6,905,296 $ 14,807,791 (1) Includes delinquent loans in COVID-19 pandemic-related forbearance plans that were requested by borrowers seeking payment relief in accordance with the CARES Act. |
Summary of servicing portfolio | September 30, 2021 Contract Servicing servicing and Total rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 241,193,601 $ — $ 241,193,601 Purchased 26,913,132 — 26,913,132 268,106,733 — 268,106,733 PennyMac Mortgage Investment Trust — 218,013,788 218,013,788 Loans held for sale 9,295,126 — 9,295,126 $ 277,401,859 $ 218,013,788 $ 495,415,647 Delinquent loans (1): 30 days $ 4,979,570 $ 894,634 $ 5,874,204 60 days 1,622,154 203,932 1,826,086 90 days or more: Not in foreclosure 12,728,881 2,228,664 14,957,545 In foreclosure 586,596 29,219 615,815 Foreclosed 6,978 17,483 24,461 $ 19,924,179 $ 3,373,932 $ 23,298,111 Bankruptcy $ 1,474,614 $ 150,716 $ 1,625,330 Delinquent loans in COVID-19 pandemic-related forbearance: 30 days $ 852,327 $ 134,253 $ 986,580 60 days 790,683 123,813 914,496 90 days or more 5,922,433 1,408,078 7,330,511 $ 7,565,443 $ 1,666,144 $ 9,231,587 Custodial funds managed by the Company $ 9,930,772 $ 5,373,992 $ 15,304,764 (1) Includes delinquent loans in COVID-19 pandemic-related forbearance plans that were requested by borrowers seeking payment relief in accordance with the CARES Act. (2) Custodial funds include cash accounts holding funds on behalf of borrowers and investors relating to 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 loans’ borrowers and investors, which are included in Interest income in the Company’s consolidated statements of income. December 31, 2020 Contract Servicing servicing and Total rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 199,655,361 $ — $ 199,655,361 Purchased 41,612,940 — 41,612,940 241,268,301 — 241,268,301 PennyMac Mortgage Investment Trust — 174,418,591 174,418,591 Loans held for sale 11,063,938 — 11,063,938 $ 252,332,239 $ 174,418,591 $ 426,750,830 Delinquent loans (1): 30 days $ 5,217,949 $ 901,965 $ 6,119,914 60 days 2,393,267 348,416 2,741,683 90 days or more: Not in foreclosure 21,781,226 4,473,217 26,254,443 In foreclosure 751,586 33,312 784,898 Foreclosed 12,938 37,131 50,069 $ 30,156,966 $ 5,794,041 $ 35,951,007 Bankruptcy $ 1,698,418 $ 153,179 $ 1,851,597 Delinquent loans in COVID-19 pandemic-related forbearance: 30 days $ 1,745,257 $ 334,498 $ 2,079,755 60 days 1,479,753 259,019 1,738,772 90 days or more 14,904,052 3,690,505 18,594,557 $ 18,129,062 $ 4,284,022 $ 22,413,084 Custodial funds managed by the Company $ 10,660,517 $ 6,086,725 $ 16,747,242 (1) Includes delinquent loans in COVID-19 pandemic-related forbearance plans that were requested by borrowers seeking payment relief in accordance with the CARES Act. (2) Custodial funds include cash accounts holding funds on behalf of borrowers and investors relating to 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 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) | September 30, December 31, State 2021 2020 (in thousands) California $ 66,810,277 $ 60,591,363 Florida 42,858,332 35,360,190 Texas 40,794,499 34,591,419 Virginia 30,720,994 26,209,701 Maryland 23,338,554 19,974,809 All other states 290,892,991 250,023,348 $ 495,415,647 $ 426,750,830 |
Fair Value (Tables)
Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Fair Value | |
Summary of financial statement items measured at estimated fair value on a recurring basis | September 30, 2021 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 5,046 $ — $ — $ 5,046 Loans held for sale at fair value — 7,544,350 2,115,345 9,659,695 Derivative assets: Interest rate lock commitments — — 367,851 367,851 Forward purchase contracts — 6,730 — 6,730 Forward sales contracts — 97,720 — 97,720 MBS put options — 42,067 — 42,067 MBS call options — 263 — 263 Swaption purchase contracts — 42,069 — 42,069 Put options on interest rate futures purchase contracts 8,664 — — 8,664 Call options on interest rate futures purchase contracts 328 — — 328 Total derivative assets before netting 8,992 188,849 367,851 565,692 Netting — — — (135,708) Total derivative assets 8,992 188,849 367,851 429,984 Mortgage servicing rights at fair value — — 3,611,120 3,611,120 Investment in PennyMac Mortgage Investment Trust 1,477 — — 1,477 $ 15,515 $ 7,733,199 $ 6,094,316 $ 13,707,322 Liabilities: Derivative liabilities: Interest rate lock commitments $ — $ — $ 6,928 $ 6,928 Forward purchase contracts — 86,766 — 86,766 Forward sales contracts — 22,648 — 22,648 Total derivative liabilities before netting — 109,414 6,928 116,342 Netting — — — (102,138) Total derivative liabilities — 109,414 6,928 14,204 Mortgage servicing liabilities at fair value — — 47,567 47,567 $ — $ 109,414 $ 54,495 $ 61,771 December 31, 2020 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 15,217 $ — $ — $ 15,217 Loans held for sale at fair value — 6,941,231 4,675,169 11,616,400 Derivative assets: Interest rate lock commitments — — 679,961 679,961 Forward purchase contracts — 133,267 — 133,267 Forward sales contracts — 1,451 — 1,451 MBS put options — 14,302 — 14,302 Swaption purchase contracts — 11,939 — 11,939 Put options on interest rate futures purchase contracts 5,520 — — 5,520 Call options on interest rate futures purchase contracts 1,391 — — 1,391 Total derivative assets before netting 6,911 160,959 679,961 847,831 Netting — — — (136,593) Total derivative assets 6,911 160,959 679,961 711,238 Mortgage servicing rights at fair value — — 2,581,174 2,581,174 Investment in PennyMac Mortgage Investment Trust 1,105 — — 1,105 $ 23,233 $ 7,102,190 $ 7,936,304 $ 14,925,134 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value $ — $ — $ 131,750 $ 131,750 Derivative liabilities: Interest rate lock commitments — — 2,935 2,935 Forward purchase contracts — 1,276 — 1,276 Forward sales contracts — 251,149 — 251,149 Total derivative liabilities before netting — 252,425 2,935 255,360 Netting — — — (212,722) Total derivative liabilities — 252,425 2,935 42,638 Mortgage servicing liabilities at fair value — — 45,324 45,324 $ — $ 252,425 $ 180,009 $ 219,712 |
Summary of roll forward of items measured using Level 3 inputs on a recurring basis | Quarter ended September 30, 2021 Net interest Mortgage Loans held rate lock servicing Assets for sale commitments (1) rights Total (in thousands) Balance, June 30, 2021 $ 3,818,261 $ 343,610 $ 3,412,648 $ 7,574,519 Purchases and issuances, net 5,573,766 449,834 — 6,023,600 Capitalization of interest and advances 40,035 — — 40,035 Sales and repayments (4,286,574) — — (4,286,574) Mortgage servicing rights resulting from loan sales — — 432,429 432,429 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 38,698 — — 38,698 Other factors — 236,316 (233,957) 2,359 38,698 236,316 (233,957) 41,057 Transfers from Level 3 to Level 2 (3,068,841) — — (3,068,841) Transfers to loans held for sale — (668,837) — (668,837) Balance, September 30, 2021 $ 2,115,345 $ 360,923 $ 3,611,120 $ 6,087,388 Changes in fair value recognized during the quarter relating to assets still held at September 30, 2021 $ 16,415 $ 360,923 $ (233,957) $ 143,381 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended Liabilities September 30, 2021 (in thousands) Mortgage servicing liabilities: Balance, June 30, 2021 $ 100,091 Mortgage servicing liabilities resulting from loan sales 33,764 Changes in fair value included in income (86,288) Balance, September 30, 2021 $ 47,567 Changes in fair value recognized during the quarter relating to liabilities still outstanding at September 30, 2021 $ (86,288) Quarter ended September 30, 2020 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) Balance, June 30, 2020 $ 661,719 $ 368,064 $ 8,187 $ 2,213,539 $ 3,251,509 Purchases (purchase adjustment) and issuances, net 2,734,321 593,065 — (287) 3,327,099 Capitalization of interest and advances 22,262 — — — 22,262 Sales and repayments (88,955) — (8,270) — (97,225) Mortgage servicing rights resulting from loan sales — — — 245,946 245,946 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 42,029 — — — 42,029 Other factors — 311,790 83 (125,377) 186,496 42,029 311,790 83 (125,377) 228,525 Transfers from Level 3 to Level 2 (597,134) — — — (597,134) Reinstatement from real estate acquired in settlement of loans 755 — — — 755 Transfers to loans held for sale — (731,474) — — (731,474) Balance, September 30, 2020 $ 2,774,997 $ 541,445 $ — $ 2,333,821 $ 5,650,263 Changes in fair value recognized during the quarter relating to assets still held at September 30, 2020 $ 38,217 $ 541,445 $ — $ (125,377) $ 454,285 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended September 30, 2020 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, June 30, 2020 $ 151,206 $ 29,858 $ 181,064 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 531 — 531 Accrual of interest 2,070 — 2,070 Repayments (7,682) — (7,682) Changes in fair value included in income (3,135) 1,840 (1,295) Balance, September 30, 2020 $ 142,990 $ 31,698 $ 174,688 Changes in fair value recognized during the quarter relating to liabilities still outstanding at September 30, 2020 $ (3,135) $ 1,840 $ (1,295) Nine months ended September 30, 2021 Net interest Mortgage Loans held rate lock servicing Assets for sale commitments (1) rights Total (in thousands) Balance, December 31, 2020 $ 4,675,169 $ 677,026 $ 2,581,174 $ 7,933,369 Purchases and issuances, net 16,630,301 1,279,701 — 17,910,002 Capitalization of interest and advances 118,879 — — 118,879 Sales and repayments (9,081,815) — — (9,081,815) Mortgage servicing rights resulting from loan sales — — 1,386,324 1,386,324 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 266,644 — — 266,644 Other factors — 389,138 (356,378) 32,760 266,644 389,138 (356,378) 299,404 Transfers from Level 3 to Level 2 (10,493,751) — — (10,493,751) Transfers to real estate acquired in settlement of loans (82) — — (82) Transfers to loans held for sale — (1,984,942) — (1,984,942) Balance, September 30, 2021 $ 2,115,345 $ 360,923 $ 3,611,120 $ 6,087,388 Changes in fair value recognized during the period relating to assets still held at September 30, 2021 $ 79,529 $ 360,923 $ (356,378) $ 84,074 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Nine months ended September 30, 2021 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, December 31, 2020 $ 131,750 $ 45,324 $ 177,074 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 557 — 557 Accrual of interest 1,280 — 1,280 Repayments (134,624) — (134,624) Mortgage servicing liabilities resulting from loan sales — 98,147 98,147 Changes in fair value included in income 1,037 (95,904) (94,867) Balance, September 30, 2021 $ — $ 47,567 $ 47,567 Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2021 $ — $ (95,904) $ (95,904) Nine months ended September 30, 2020 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) Balance, December 31, 2019 $ 383,878 $ 136,650 $ 8,187 $ 2,926,790 $ 3,455,505 Purchases and issuances, net 4,664,408 1,431,194 — 25,473 6,121,075 Capitalization of interest and advances 55,283 — — — 55,283 Sales and repayments (888,247) — (8,270) — (896,517) Mortgage servicing rights resulting from loan sales — — — 753,795 753,795 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 35,638 — — — 35,638 Other factors — 808,906 83 (1,372,237) (563,248) 35,638 808,906 83 (1,372,237) (527,610) Transfers from Level 3 to Level 2 (1,476,027) — — — (1,476,027) Transfers to real estate acquired in settlement of loans (691) — — — (691) Reinstatement from real estate acquired in settlement of loans 755 — — — 755 Transfers of interest rate lock commitments to loans held for sale — (1,835,305) — — (1,835,305) Balance, September 30, 2020 $ 2,774,997 $ 541,445 $ — $ 2,333,821 $ 5,650,263 Changes in fair value recognized during the period relating to assets still held at September 30, 2020 $ 31,389 $ 541,445 $ — $ (1,372,237) $ (799,403) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Nine months ended September 30, 2020 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, December 31, 2019 $ 178,586 $ 29,140 $ 207,726 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 1,393 — 1,393 Accrual of interest 6,416 — 6,416 Repayments (25,112) — (25,112) Mortgage servicing liabilities resulting from loan sales — 6,576 6,576 Changes in fair value included in income (18,293) (4,018) (22,311) Balance, September 30, 2020 $ 142,990 $ 31,698 $ 174,688 Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2020 $ (18,293) $ (4,018) $ (22,311) |
Summary of changes in fair value relating to financial statement items | Quarter ended September 30, 2021 2020 Net gains on Net Net gains on Net loans held loan loans held loan for sale at servicing for sale at servicing fair value fees Total fair value fees Total (in thousands) Assets: Loans held for sale $ 645,536 $ — $ 645,536 $ 773,313 $ — $ 773,313 Mortgage servicing rights — (233,957) (233,957) — (125,377) (125,377) $ 645,536 $ (233,957) $ 411,579 $ 773,313 $ (125,377) $ 647,936 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust $ — $ — $ — $ — $ 3,135 $ 3,135 Mortgage servicing liabilities — 86,288 86,288 — (1,840) (1,840) $ — $ 86,288 $ 86,288 $ — $ 1,295 $ 1,295 Nine months ended September 30, 2021 2020 Net gains on Net Net gains on Net loans held loan loans held loan for sale at servicing for sale at servicing fair value fees Total fair value fees Total (in thousands) Assets: Loans held for sale $ 2,057,496 $ — $ 2,057,496 $ 1,911,828 $ — $ 1,911,828 Mortgage servicing rights — (356,378) (356,378) — (1,372,237) (1,372,237) $ 2,057,496 $ (356,378) $ 1,701,118 $ 1,911,828 $ (1,372,237) $ 539,591 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust $ — $ (1,037) $ (1,037) $ — $ 18,293 $ 18,293 Mortgage servicing liabilities — 95,904 95,904 — 4,018 4,018 $ — $ 94,867 $ 94,867 $ — $ 22,311 $ 22,311 |
Schedule of fair value and related principal amounts due upon maturity of assets and liabilities accounted for under the fair value option | September 30, 2021 December 31, 2020 Principal Principal amount amount Fair due upon Fair due upon Loans held for sale value maturity Difference value maturity Difference (in thousands) Current through 89 days delinquent $ 9,418,521 $ 9,054,408 $ 364,113 $ 11,304,308 $ 10,743,814 $ 560,494 90 days or more delinquent: Not in foreclosure 220,072 218,659 1,413 275,419 280,595 (5,176) In foreclosure 21,102 22,059 (957) 36,673 39,529 (2,856) $ 9,659,695 $ 9,295,126 $ 364,569 $ 11,616,400 $ 11,063,938 $ 552,462 |
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) September 30, 2021 $ — $ — $ 2,948 $ 2,948 December 31, 2020 $ — $ — $ 1,450 $ 1,450 |
Summary of total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) Real estate acquired in settlement of loans $ (284) $ (825) $ (912) $ (2,059) |
Summary of carrying value and fair value of debt | September 30, 2021 December 31, 2020 Fair value Carrying value Fair value Carrying value (in thousands) Notes payable secured by mortgage servicing assets $ 1,302,642 $ 1,297,176 $ 1,268,304 $ 1,295,840 Unsecured senior notes $ 1,781,250 $ 1,783,230 $ 685,750 $ 645,820 |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items, excluding MSR purchases | Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (Amount recognized and unpaid principal balance of underlying loans in thousands) MSR and pool characteristics: Amount recognized $ 432,429 $ 245,946 $ 1,386,324 $ 753,795 Unpaid principal balance of underlying loans $ 33,697,228 $ 25,369,941 $ 105,470,580 $ 63,766,627 Weighted average servicing fee rate (in basis points) 34 32 33 36 Key inputs (1): Pricing spread (2): Range 6.0% – 16.9% 8.0% – 17.6% 6.0% – 16.9% 6.8% – 18.1% Weighted average 8.5% 9.6% 9.0% 9.3% Annual total prepayment speed (3): Range 7.2% – 31.0% 7.2% – 41.0% 6.2% – 31.0% 7.2% – 49.8% Weighted average 9.2% 10.4% 8.5% 12.4% Equivalent average life (in years): Range 3.0 – 8.4 2.3 – 9.1 3.0 – 9.0 1.5 – 9.1 Weighted average 7.7 7.3 8.1 6.6 Per-loan annual cost of servicing: Range $80 – $117 $80 – $110 $80 – $117 $77 – $110 Weighted average $102 $102 $104 $100 (1) Weighted average inputs are based on the UPB of the underlying 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) Annual total prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information. |
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 of the Company’s MSRs and the effect on the fair value from adverse changes in those inputs: September 30, 2021 December 31, 2020 (Fair value, unpaid principal balance of underlying loans and effect on fair value amounts in thousands) Fair value $ 3,611,120 $ 2,581,174 Pool characteristics: Unpaid principal balance of underlying loans $ 259,220,948 $ 238,410,809 Weighted average note interest rate 3.2% 3.6% Weighted average servicing fee rate (in basis points) 34 35 Key inputs (1): Pricing spread (2): Range 5.3% – 16.0% 8.0% – 17.6% Weighted average 8.1% 10.1% Effect on fair value of: 5% adverse change ($59,086) ($46,356) 10% adverse change ($116,282) ($90,936) 20% adverse change ($225,331) ($175,137) Annual total prepayment speed (3): Range 7.9% – 28.2% 10.1% – 32.9% Weighted average 10.3% 13.7% Equivalent average life (in years): Range 3.0 – 7.8 2.3 – 7.7 Weighted average 6.9 6.0 Effect on fair value of: 5% adverse change ($76,847) ($66,536) 10% adverse change ($150,928) ($130,253) 20% adverse change ($291,339) ($249,843) Per-loan annual cost of servicing: Range $79 – $117 $79 – $117 Weighted average $106 $107 Effect on fair value of: 5% adverse change ($31,700) ($25,482) 10% adverse change ($63,399) ($50,964) 20% adverse change ($126,799) ($101,929) (1) Weighted average inputs are based on the UPB of the underlying 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) Annual total prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information. |
Mortgage servicing liabilities | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | September 30, December 31, 2021 2020 Fair value (in thousands) $ 47,567 $ 45,324 Pool characteristics: Unpaid principal balance of underlying loans (in thousands) $ 8,885,785 $ 2,857,492 Servicing fee rate (in basis points) 24 25 Key inputs (1): Pricing spread (2) 8.3% 7.6% Annual total prepayment speed (3) 29.1% 33.3% Equivalent average life (in years) 4.0 3.2 Per-loan annual cost of servicing $ 258 $ 305 (1) During the quarter ended September 30, 2021, significant changes were made to valuation inputs used to estimate the fair value of MSLs in recognition of the observed increase in the proportion of performing government loans and reduced expected costs and losses from defaulted government insured or guaranteed loans underlying the Company’s MSLs. (2) The Company applies a pricing spread to the United States Dollar LIBOR/swap curve for purposes of discounting cash flows relating to MSLs. (3) Annual total prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information. |
Excess servicing spread financing | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | December 31, 2020 Fair value (in thousands) $ 131,750 Pool characteristics: Unpaid principal balance of underlying loans (in thousands) $ 15,833,050 Average servicing fee rate (in basis points) 34 Average excess servicing spread (in basis points) 19 Key inputs (1): Pricing spread (2): Range 4.9% – 5.3% Weighted average 5.1% Annual total prepayment speed (3): Range 9.6% – 18.3% Weighted average 11.7% Equivalent average life (in years): Range 2.3 – 6.6 Weighted average 5.8 (1) Weighted average inputs are based on the UPB of the underlying 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) Annual total prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information. |
Interest rate lock commitments | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | September 30, 2021 December 31, 2020 Fair value (in thousands) $ 360,923 $ 677,026 Key inputs Pull-through rate: Range 8.0% – 100% 10.1% – 100% Weighted average 80.3% 82.7% Mortgage servicing rights value expressed as: Servicing fee multiple: Range (9.7) – 6.5 0.7 – 5.3 Weighted average 4.1 3.6 Percentage of loan commitment amount Range (2.1)% – 3.0% 0.1% – 2.6% Weighted average 1.4% 1.2% (1) For purpose of this table, IRLC asset and liability positions are shown net. (2) Weighted average inputs are based on the committed amounts. |
Loans held for sale | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | September 30, 2021 December 31, 2020 Fair value (in thousands) $ 2,115,345 $ 4,675,169 Key inputs (1): Discount rate: Range 2.1% – 9.2% 2.8% – 9.2% Weighted average 2.2% 2.8% Twelve-month projected housing price index change: Range 5.9% – 6.8% 2.7% – 3.5% Weighted average 6.4% 3.0% Voluntary prepayment/resale speed (2): Range 0.4% – 33.9% 0.4% – 31.3% Weighted average 22.7% 21.9% Total prepayment speed (3): Range 0.4% – 42.9% 0.5% – 42.9% Weighted average 28.5% 29.2% (1) Weighted average inputs are based on the fair value of the “Level 3” 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, which includes both voluntary and involuntary prepayment and resale rates. |
Loans Held for Sale at Fair V_2
Loans Held for Sale at Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Loans Held for Sale at Fair Value | |
Summary of loans held for sale at fair value | September 30, December 31, Loan type 2021 2020 (in thousands) Government-insured or guaranteed $ 5,588,553 $ 5,683,786 Conventional conforming 1,955,797 1,257,445 Purchased from Ginnie Mae pools serviced by the Company 2,069,120 4,661,378 Repurchased pursuant to representations and warranties 46,225 13,791 $ 9,659,695 $ 11,616,400 Fair value of loans pledged to secure: Assets sold under agreements to repurchase $ 8,826,793 $ 10,912,178 Mortgage loan participation purchase and sale agreements 541,313 545,500 $ 9,368,106 $ 11,457,678 |
Derivative Financial Instrume_2
Derivative Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Derivative Financial Instruments | |
Summary of derivative financial instruments | September 30, 2021 December 31, 2020 Fair value Fair value Notional Derivative Derivative Notional Derivative Derivative Instrument amount (1) assets liabilities amount (1) assets liabilities (in thousands) Not subject to master netting arrangements: Interest rate lock commitments 15,804,462 $ 367,851 $ 6,928 20,624,535 $ 679,961 $ 2,935 Used for hedging purposes (2): Forward purchase contracts 23,912,210 6,730 86,766 31,689,543 133,267 1,276 Forward sales contracts 35,679,195 97,720 22,648 50,438,967 1,451 251,149 MBS put options 10,000,000 42,067 — 12,025,000 14,302 — MBS call options 2,200,000 263 — — — — Swaption purchase contracts 8,150,000 42,069 — 3,375,000 11,939 — Put options on interest rate futures purchase contracts 800,000 8,664 — 4,750,000 5,520 — Call options on interest rate futures purchase contracts 1,450,000 328 — 850,000 1,391 — Treasury futures purchase contracts 755,000 — — 1,065,000 — — Treasury futures sale contracts 2,215,000 — — 1,555,000 — — Interest rate swap futures purchase contracts 5,225,000 — — 4,801,700 — — Interest rate swap futures sale contracts 1,800,000 — — 711,700 — — Total derivatives before netting 565,692 116,342 847,831 255,360 Netting (135,708) (102,138) (136,593) (212,722) $ 429,984 $ 14,204 $ 711,238 $ 42,638 Deposits (received from) placed with derivative counterparties, net $ (33,570) $ 76,129 (1) Notional amounts provide an indication of the volume of the Company’s derivative activity. (2) All of the derivatives used for hedging purposes are interest rate derivatives and are used as economic hedges. |
Summaries of derivative assets and related netting amounts | September 30, 2021 December 31, 2020 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 - IRLCs $ 367,851 $ — $ 367,851 $ 679,961 $ — $ 679,961 Derivatives subject to master netting arrangements: Forward purchase contracts 6,730 — 6,730 133,267 — 133,267 Forward sale contracts 97,720 — 97,720 1,451 — 1,451 MBS put options 42,067 — 42,067 14,302 — 14,302 MBS call options 263 — 263 — — — Swaption purchase contracts 42,069 — 42,069 11,939 — 11,939 Put options on interest rate futures purchase contracts 8,664 — 8,664 5,520 — 5,520 Call options on interest rate futures purchase contracts 328 — 328 1,391 — 1,391 Netting — (135,708) (135,708) — (136,593) (136,593) 197,841 (135,708) 62,133 167,870 (136,593) 31,277 $ 565,692 $ (135,708) $ 429,984 $ 847,831 $ (136,593) $ 711,238 |
Summary of the amount of derivative asset positions by significant counterparty after considering master netting arrangements and financial instruments or cash pledged | September 30, 2021 December 31, 2020 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 $ 367,851 $ — $ — $ 367,851 $ 679,961 $ — $ — $ 679,961 Citibank, N.A. 17,481 — — 17,481 2,026 — — 2,026 Wells Fargo Bank, N.A. 9,995 — — 9,995 — — — — RJ O'Brien 8,992 — — 8,992 6,910 — — 6,910 Morgan Stanley Bank, N.A. 7,773 — — 7,773 2,443 — — 2,443 JPMorgan Chase Bank, N.A. 6,985 — — 6,985 17,149 — — 17,149 Bank of America, N.A. 6,963 — — 6,963 — — — — Others 3,944 — — 3,944 2,749 — — 2,749 $ 429,984 $ — $ — $ 429,984 $ 711,238 $ — $ — $ 711,238 |
Summary of net derivative liabilities and assets sold under agreements to repurchase and related netting amounts | September 30, 2021 December 31, 2020 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 – $ 6,928 $ — $ 6,928 $ 2,935 $ — $ 2,935 Derivatives subject to a master netting arrangement: Forward purchase contracts 86,766 — 86,766 1,276 — 1,276 Forward sale contracts 22,648 — 22,648 251,149 — 251,149 Netting — (102,138) (102,138) — (212,722) (212,722) 109,414 (102,138) 7,276 252,425 (212,722) 39,703 Total derivatives 116,342 (102,138) 14,204 255,360 (212,722) 42,638 Assets sold under agreements to repurchase: Amount outstanding 6,903,302 — 6,903,302 9,663,995 — 9,663,995 Unamortized debt issuance cost (6,145) — (6,145) (9,198) — (9,198) 6,897,157 — 6,897,157 9,654,797 — 9,654,797 $ 7,013,499 $ (102,138) $ 6,911,361 $ 9,910,157 $ (212,722) $ 9,697,435 |
Summary of amount of derivative liabilities and assets sold under agreements to repurchase by significant counterparty after considering master netting arrangements and financial instruments or cash pledged | September 30, 2021 December 31, 2020 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 $ 6,928 $ — $ — $ 6,928 $ 2,935 $ — $ — $ 2,935 Credit Suisse First Boston Mortgage Capital LLC 2,016,825 (2,016,825) — — 3,947,752 (3,943,149) — 4,603 Bank of America, N.A. 1,374,800 (1,374,800) — — 634,523 (626,550) — 7,973 Royal Bank of Canada 881,805 (881,805) — — 406,348 (406,348) — — JPMorgan Chase Bank, N.A. 754,120 (754,120) — — 2,752,279 (2,752,279) — — Barclays Capital 658,392 (657,729) — 663 596,729 (596,729) — — Goldman Sachs 299,560 (297,957) — 1,603 — — — — BNP Paribas 298,357 (297,821) — 536 337,823 (336,545) — 1,278 Morgan Stanley Bank, N.A. 247,579 (247,579) — — 331,546 (331,546) — — Wells Fargo Bank, N.A. 223,713 (223,713) — — 169,085 (165,224) — 3,861 Citibank, N.A. 150,953 (150,953) — — 505,625 (505,625) — — Mizuho Securities 2,772 — — 2,772 6,491 — — 6,491 Federal Home Loan Mortgage Corporation — — — — 12,928 — — 12,928 Others 1,702 — — 1,702 2,569 — — 2,569 $ 6,917,506 $ (6,903,302) $ — $ 14,204 $ 9,706,633 $ (9,663,995) $ — $ 42,638 |
Summary of gains (losses) recognized on derivative financial instruments and the respective income statement line items | Following are the gains (losses) recognized by the Company on derivative financial instruments and the income statement lines where such gains and losses are included: Quarter ended September 30, Nine months ended September 30, Derivative activity Income statement line 2021 2020 2021 2020 (in thousands) Interest rate lock commitments Net gains on loans held for sale at fair value (1) $ 17,313 $ 173,381 $ (316,103) $ 404,795 Repurchase agreement derivatives Interest expense $ — $ 83 $ — $ 83 Hedged item: Interest rate lock commitments and loans held for sale Net gains on loans held for sale at fair value $ (19,294) $ (77,320) $ 275,510 $ (403,992) Mortgage servicing rights Net loan servicing fees – $ (86,459) $ 6,521 $ (437,492) $ 1,027,327 (1) Represents net increase (decrease) in fair value of IRLCs from the beginning to the end of the period. Amounts recognized at the date of commitment and fair value changes recognized during the period until purchase of the underlying loans or the cancellation of the commitment are shown in the rollforward of IRLCs for the period in Note 6 – Fair Value – Assets and Liabilities Measured at Fair Value on a Recurring Basis. |
Mortgage Servicing Rights and_2
Mortgage Servicing Rights and Mortgage Servicing Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Mortgage Servicing Rights and Mortgage Servicing Liabilities | |
Schedule of activity in MSRs carried at fair value | Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) Balance at beginning of period $ 3,412,648 $ 2,213,539 $ 2,581,174 $ 2,926,790 Additions: Resulting from loan sales 432,429 245,946 1,386,324 753,795 Purchases (purchase adjustments), net — (287) — 25,473 432,429 245,659 1,386,324 779,268 Change in fair value due to: Changes in valuation inputs used in valuation model (1) (119,674) (26,208) (46,298) (1,040,751) Other changes in fair value (2) (114,283) (99,169) (310,080) (331,486) Total change in fair value (233,957) (125,377) (356,378) (1,372,237) Balance at end of period $ 3,611,120 $ 2,333,821 $ 3,611,120 $ 2,333,821 September 30, December 31, 2021 2020 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 3,600,978 $ 2,577,964 (1) Principally reflects changes in pricing spread, annual total prepayment speed, per loan annual cost of servicing and UPB of underlying loan inputs. (2) Represents changes due to realization of cash flows. |
Schedule of activity in mortgage servicing liability carried at fair value | Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) Balance at beginning of period $ 100,091 $ 29,858 $ 45,324 $ 29,140 Mortgage servicing liabilities resulting from loan sales 33,764 — 98,147 6,576 Changes in fair value due to (1): Changes in valuation inputs used in valuation model (54,222) 10,822 (36,375) 24,927 Other changes in fair value (2) (32,066) (8,982) (59,529) (28,945) Total change in fair value (86,288) 1,840 (95,904) (4,018) Balance at end of period $ 47,567 $ 31,698 $ 47,567 $ 31,698 (1) Principally reflects changes in expected borrower performance and servicer losses given default. During the quarter and nine months ended September 30, 2021, significant changes were made to valuation inputs used to estimate the fair value of MSLs in recognition of the observed increase in the proportion of performing government insured or guaranteed loans and reduced expected costs and losses from defaulted government insured or guaranteed loans underlying the Company’s MSLs. (2) Represents changes due to realization of cash flows. |
Summary of servicing fees, late fees and ancillary and other fees relating to MSRs recorded on the consolidated statements of income | Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) Contractual servicing fees $ 216,592 $ 203,696 $ 635,620 $ 601,527 Other fees: Late charges 7,480 7,615 22,076 28,718 Other 7,457 6,960 23,079 17,781 $ 231,529 $ 218,271 $ 680,775 $ 648,026 |
Leases (Tables)
Leases (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Leases | |
Summary of Company's leases | Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (dollars in thousands) Lease expense: Operating leases $ 4,671 $ 4,144 $ 13,545 $ 12,110 Short-term leases 196 457 666 937 Net lease expense included in Occupancy and equipment $ 4,867 $ 4,601 $ 14,211 $ 13,047 Other information: Payments for operating leases $ 5,210 $ 4,418 $ 15,395 $ 13,212 Operating lease right-of-use assets $ 13,058 $ 1,721 $ 20,871 $ 8,219 Period end weighted averages: Remaining lease term (in years) 6.0 6.4 Discount rate 4.0% 4.2% |
Schedule of maturities of operating lease liabilities | Twelve months ending September 30, Operating leases (in thousands) 2022 $ 21,207 2023 21,875 2024 21,917 2025 21,529 2026 17,806 Thereafter 23,421 Total lease payments 127,755 Less imputed interest (22,303) Operating lease liability $ 105,452 |
Other Assets (Tables)
Other Assets (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Other Asset | |
Summary of other assets | September 30, December 31, 2021 2020 (in thousands) Capitalized software, net $ 97,627 $ 81,434 Margin deposits 93,318 116,881 Prepaid expenses 67,308 53,975 Deposits securing Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets 64,583 153,054 Furniture, fixture, equipment and building improvements, net 31,842 32,217 Servicing fees receivable, net 20,590 42,282 Real estate acquired in settlement of loans 7,643 12,158 Other 184,865 200,168 $ 567,776 $ 692,169 Deposits pledged to secure Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 64,583 $ 153,054 Assets pledged to secure Obligations under capital lease Capitalized software, net 5,277 7,675 Furniture, fixture, equipment and building improvements, net 4,504 5,689 $ 74,364 $ 166,418 |
Short-Term Borrowings (Tables)
Short-Term Borrowings (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Short-Term Borrowings | |
Summary of financial data pertaining to assets sold under agreements to repurchase | Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ 6,031,491 $ 3,363,140 $ 7,336,341 $ 2,669,336 Weighted average interest rate (1) 2.11 % 2.68 % 2.12 % 3.06 % Total interest expense $ 35,783 $ 27,322 $ 132,585 $ 70,493 Maximum daily amount outstanding $ 8,044,148 $ 7,267,046 $ 10,969,029 $ 7,267,046 September 30, December 31, 2021 2020 (dollars in thousands) Carrying value: Unpaid principal balance $ 6,903,302 $ 9,663,995 Unamortized debt issuance costs (6,145) (9,198) $ 6,897,157 $ 9,654,797 Weighted average interest rate 1.82 % 1.90 % Available borrowing capacity (2): Committed $ 766,389 $ 372,803 Uncommitted 8,180,309 2,163,202 $ 8,946,698 $ 2,536,005 Fair value of assets securing repurchase agreements: Loans held for sale $ 8,826,793 $ 10,912,178 Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ — $ 80,862 Servicing advances (3) $ 203,236 $ 413,484 Mortgage servicing rights (3) $ 3,349,503 $ 2,490,267 Deposits (3) $ 64,583 $ 153,054 Margin deposits placed with counterparties (4) $ 10,875 $ 5,625 (1) Excludes the effect of amortization of net issuance costs and utilization fees of $3.7 million and $4.8 million for the quarters ended September 30, 2021 and 2020, respectively, and $15.5 million and $9.2 million for the nine months ended September 30, 2021 and 2020, respectively. (2) The amount the Company is able to borrow under asset repurchase agreements is tied to the fair value of unencumbered assets eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the assets financed. (3) Beneficial interests in the Ginnie Mae MSRs, servicing advances and deposits are pledged to the Issuer Trust and together serve as the collateral backing the VFN, GMSR Servicing Advance Notes, and the Term Notes described in Note 13 – Long-Term Debt - Notes payable secured by mortgage servicing assets . The VFN financing and the GMSR Servicing Advance Notes are included in Assets sold under agreements to repurchase and the Term Notes are included in Notes payable secured by mortgage servicing assets on the Company's consolidated balance sheets. (4) Margin deposits are included in Other assets on the Company’s consolidated balance sheets. |
Summary of maturities of outstanding advances under repurchase agreements by maturity date | Remaining maturity at September 30, 2021 Unpaid principal balance (dollars in thousands) Within 30 days $ 1,791,971 Over 30 to 90 days 4,073,983 Over 90 to 180 days 824,526 Over 180 days to one year 112,822 Over one year to two years 100,000 Total assets sold under agreements to repurchase $ 6,903,302 Weighted average maturity (in months) 2.6 |
Summary of amount at risk relating to the assets sold under agreements to repurchase by counterparty | Weighted average Counterparties Amount at risk maturity of advances Facility maturity (in thousands) Credit Suisse First Boston Mortgage Capital LLC & Citibank, N.A. (1) $ 2,403,804 March 31, 2023 March 31, 2023 Credit Suisse First Boston Mortgage Capital LLC $ 255,253 November 18, 2021 March 31, 2023 Bank of America, N.A. $ 753,370 December 21, 2021 June 7, 2023 JP Morgan Chase Bank, N.A. $ 372,221 November 21, 2021 September 29, 2023 JP Morgan Chase Bank, N.A. $ 54,487 December 7, 2021 June 6, 2023 Goldman Sachs $ 246,809 November 11, 2021 December 23, 2022 BNP Paribas $ 152,152 December 21, 2021 July 31, 2023 Barclays Bank PLC $ 78,565 November 30, 2021 November 3, 2022 Royal Bank of Canada $ 78,230 January 3, 2022 September 14, 2022 Morgan Stanley Bank, N.A. $ 20,794 November 26, 2021 November 2, 2022 Wells Fargo Bank, N.A. $ 10,636 December 19, 2021 October 6, 2022 Citibank, N.A. $ 5,401 December 2, 2021 August 10, 2023 (1) The calculation of the amount at risk includes the VFN and the Term Notes because beneficial interests in the Ginnie Mae MSRs, Fannie Mae MSRs and servicing advances are pledged to the Issuer Trust and together serve as the collateral backing the VFN, and the Term Notes described in Notes payable secured by mortgage servicing assets below. The VFN financing is included in Assets sold under agreements to repurchase and the Term Notes are included in Notes payable secured by mortgage servicing assets on the Company's consolidated balance sheets. |
Summary of participating mortgage loans | Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (dollars in thousands) Average balance $ 237,849 $ 235,713 $ 256,109 $ 227,460 Weighted average interest rate (1) 1.44 % 1.40 % 1.38 % 1.98 % Total interest expense $ 1,026 $ 999 $ 3,160 $ 3,870 Maximum daily amount outstanding $ 532,819 $ 538,074 $ 532,819 $ 540,977 (1) Excludes the effect of amortization of debt issuance costs totaling $172,000 and $172,000 for the quarters ended September 30, 2021 and 2020, respectively, and $516,000 and $490,000 for the nine months ended September 30, 2021 and 2020, respectively. September 30, December 31, 2021 2020 (dollars in thousands) Carrying value: Unpaid principal balance $ 519,784 $ 521,477 Unamortized debt issuance costs — — $ 519,784 $ 521,477 Weighted average interest rate 1.46 % 1.39 % Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements $ 541,313 $ 545,500 |
Long-Term Debt (Tables)
Long-Term Debt (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Long-Term Debt. | |
Summary of obligations under capital lease | Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (dollars in thousands) Average balance $ 6,804 $ 15,179 $ 9,072 $ 17,253 Weighted average interest rate 2.09 % 2.16 % 2.11 % 2.69 % Total interest expense $ 36 $ 83 $ 143 $ 354 Maximum daily amount outstanding $ 7,677 $ 16,749 $ 11,864 $ 20,810 September 30, December 31, 2021 2020 (dollars in thousands) Unpaid principal balance $ 5,583 $ 11,864 Weighted average interest rate 2.08 % 2.15 % Assets pledged to secure obligations under capital lease: Capitalized software $ 5,277 $ 7,675 Furniture, fixtures and equipment $ 4,504 $ 5,689 |
Summary of term notes issued | Issuance date Principal balance Stated interest rate (1) Stated maturity date (2) (in thousands) (Annual) February 28, 2018 (the "GMSR GT1 Notes") $ 650,000 2.85% 2/25/2023 August 10, 2018 (the "GMSR GT2 Notes") 650,000 2.65% 8/25/2023 $ 1,300,000 (1) Spread over one-month LIBOR. (2) The Term Notes’ indentures provide the Company with the option to extend the maturity of the Term Notes by two years after the stated maturity . |
Summary of note payable | Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (dollars in thousands) Average balance $ 1,300,000 $ 1,300,000 $ 1,300,000 $ 1,300,000 Weighted average interest rate (1) 2.87 % 2.99 % 2.89 % 3.57 % Total interest expense $ 9,896 $ 10,177 $ 29,888 $ 36,131 (1) Excludes the effect of amortization of debt issuance costs totaling $570,000 and $459,000 for the quarters ended September 30, 2021 and 2020, respectively, and $1.7 million and $1.4 million for the nine months ended September 30, 2021 and 2020, respectively. September 30, December 31, 2021 2020 (dollars in thousands) Carrying value: Unpaid principal balance $ 1,300,000 $ 1,300,000 Unamortized debt issuance costs (2,824) (4,160) $ 1,297,176 $ 1,295,840 Weighted average interest rate 2.83 % 2.93 % Assets pledged to secure notes payable (1) (2): Servicing advances $ 203,236 $ 413,484 Mortgage servicing rights $ 3,600,978 $ 2,421,326 Deposits $ 64,583 $ 153,054 (1) Beneficial interests in the Ginnie Mae MSRs, servicing advances and deposits are pledged to the Issuer Trust and together serve as the collateral backing the VFN, GMSR Servicing Advance Notes and the Term Notes. The VFN financing and the GMSR Servicing Advance Notes are included in Assets sold under agreements to repurchase and the Term Notes are included in Notes payable secured by mortgage servicing assets on the Company's consolidated balance sheets. (2) Beneficial interests in the Fannie Mae MSRs are pledged to the PFSI Issuer Trust - FMSR and serve as the collateral backing the FMSR VFN and any FMSR Term Notes. The FMSR VFN financing is included in Assets sold under agreements to repurchase and the FMSR Term Note is included in Notes payable secured by mortgage servicing assets on the Company's consolidated balance sheets. |
Summary of Unsecured Notes issued | Issuance date Principal balance Coupon interest rate Maturity date Optional redemption date (1) (in thousands) (Annual) September 29, 2020 $ 500,000 5.38% October 15, 2025 October 15, 2022 October 19, 2020 150,000 5.38% October 15, 2025 October 15, 2022 February 11, 2021 650,000 4.25% February 15, 2029 February 15, 2024 September 16, 2021 500,000 5.75% September 15, 2031 September 15, 2026 $ 1,800,000 (1) Before the optional redemption date, the Company may redeem some or all of the Unsecured Notes for that issuance at a price equal to 100% of the principal amount, plus accrued and unpaid interest and a make-whole premium or the Company may redeem up to 40% of the Unsecured Notes for that issuance with an amount equal to or less than the net proceeds from certain equity offerings at the redemption price set forth in the indenture, plus accrued and unpaid interest. On or after the optional redemption date, the Company may redeem some or all of the Unsecured Notes for that issuance at the redemption prices set forth in the indenture, plus accrued and unpaid interest. |
Summary of unsecured notes payable | Quarter ended Nine months ended September 30, 2021 September 30, 2021 (dollars in thousands) Average balance $ 1,381,522 $ 1,229,853 Weighted average interest rate (1) 4.91 % 4.86 % Total interest expense $ 17,442 $ 46,281 (1) Excludes the effect of amortization of debt issuance costs of $492,000 and $1.4 million for the quarter and nine months ended September 30, 2021, respectively. September 30, December 31, 2021 2020 (dollars in thousands) Carrying value: Unpaid principal balance $ 1,800,000 $ 650,000 Unamortized debt issuance costs, net of issuance premiums (16,770) (4,180) $ 1,783,230 $ 645,820 Weighted average interest rate 5.07 % 5.38 % |
Summary of maturities of Long-Term Debt | Twelve months ended September 30, 2022 2023 2024 2025 2026 Thereafter Total (in thousands) Obligations under capital lease $ 5,583 $ — $ — $ — $ — $ — $ 5,583 Notes payable secured by mortgage servicing assets — 1,300,000 — — — — 1,300,000 Unsecured Notes — — — — 650,000 1,150,000 1,800,000 Total $ 5,583 $ 1,300,000 $ — $ — $ 650,000 $ 1,150,000 $ 3,105,583 |
Liability for Losses Under Re_2
Liability for Losses Under Representations and Warranties (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Liability for Losses Under Representations and Warranties | |
Summary of repurchase activity | Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) Balance at beginning of period $ 44,335 $ 25,909 $ 32,688 $ 21,446 Provision for losses: Resulting from sales of loans 6,561 5,219 26,918 13,120 Reduction in liability due to change in estimate (4,355) (2,473) (11,680) (5,419) Losses incurred, net (735) (151) (2,120) (643) Balance at end of period $ 45,806 $ 28,504 $ 45,806 $ 28,504 Unpaid principal balance of loans subject to representations and warranties at end of period $ 245,528,045 $ 199,194,983 |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Stockholders' Equity. | |
Summary of share repurchase activity | Quarter ended September 30, Nine months ended September 30, Cumulative 2021 2020 2021 2020 total (1) (in thousands) Shares of common stock repurchased 4,195 118 11,422 7,331 21,128 Cost of shares of common stock repurchased $ 257,354 $ 6,927 $ 700,793 $ 248,210 $ 1,053,220 (1) Amounts represent the total shares of common stock repurchased under the stock repurchase program from inception through September 30, 2021 . |
Net Gains on Loans Held for S_2
Net Gains on Loans Held for Sale (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Net Gains on Loans Held for Sale | |
Net Gains on Loans Held for Sale | Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) From non-affiliates: Cash gains: Loans $ 135,841 $ 605,559 $ 605,858 $ 1,219,732 Hedging activities (9,788) (72,268) 400,786 (421,947) 126,053 533,291 1,006,644 797,785 Non-cash gains: Mortgage servicing rights and mortgage servicing liabilities resulting from loan sales 398,665 245,946 1,288,177 747,219 Provisions for losses relating to representations and warranties: Pursuant to loan sales (6,561) (5,219) (26,918) (13,120) Reductions in liability due to change in estimate 4,355 2,473 11,680 5,419 Changes in fair values of loans and derivatives held at period end: Interest rate lock commitments 17,313 173,381 (316,103) 404,795 Loans 109,411 (79,776) 164,311 (140,878) Hedging derivatives (9,506) (5,052) (125,276) 17,955 639,730 865,044 2,002,515 1,819,175 From PennyMac Mortgage Investment Trust (1) (12,976) (9,775) (38,772) 62,549 $ 626,754 $ 855,269 $ 1,963,743 $ 1,881,724 |
Net Interest Expense (Tables)
Net Interest Expense (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Net Interest Expense | |
Summary of net interest expense | Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) Interest income: From non-affiliates: Cash and short-term investments $ 768 $ 1,259 $ 2,502 $ 4,863 Loans held for sale at fair value 63,726 41,854 215,003 120,866 Placement fees relating to custodial funds 3,818 9,163 13,298 44,419 68,312 52,276 230,803 170,148 From PennyMac Mortgage Investment Trust— Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell — 676 387 2,686 68,312 52,952 231,190 172,834 Interest expense: To non-affiliates: Assets sold under agreements to repurchase 35,783 27,322 132,585 70,493 Mortgage loan participation purchase and sale agreements 1,026 999 3,160 3,870 Obligations under capital lease 36 83 143 354 Notes payable secured by mortgage servicing assets 9,896 10,177 29,888 36,131 Unsecured senior notes 17,442 — 46,281 — Corporate revolving line of credit — 561 — 1,537 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 24,886 20,711 83,466 54,536 Interest on mortgage loan impound deposits 1,642 1,256 4,052 4,561 90,711 61,109 299,575 171,482 To PennyMac Mortgage Investment Trust— Excess servicing spread financing at fair value — 2,070 1,280 6,416 90,711 63,179 300,855 177,898 $ (22,399) $ (10,227) $ (69,665) $ (5,064) |
Stock-based Compensation (Table
Stock-based Compensation (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Stock-based Compensation | |
Summary of the stock-based compensation activity | Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands) Grants: Units: Performance-based restricted share units ("RSUs") — — 310 422 Stock options — — 249 273 Time-based RSUs — — 171 310 Grant date fair value: Performance-based RSUs $ — $ — $ 18,237 $ 14,788 Stock options — — 5,116 2,770 Time-based RSUs — — 10,066 10,823 Total $ — $ — $ 33,419 $ 28,381 Vestings and exercises: Performance-based RSUs vested — — 640 603 Stock options exercised 104 152 289 476 Time-based RSUs vested 2 7 309 355 Compensation expense $ 8,824 $ 7,095 $ 28,595 $ 26,220 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Earnings Per Share | |
Summary of basic and diluted earnings per share calculations | Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands, except per share amounts) Net income $ 249,310 $ 535,160 $ 830,407 $ 1,194,080 Weighted average basic shares of common stock outstanding 62,085 72,439 65,671 76,292 Effect of dilutive securities - Shares issuable under stock-based compensation plan 3,567 3,699 3,670 3,326 Weighted average shares of common stock applicable to diluted earnings per share 65,652 76,138 69,341 79,618 Basic earnings per share $ 4.02 $ 7.39 $ 12.65 $ 15.65 Diluted earnings per share $ 3.80 $ 7.03 $ 11.98 $ 15.00 |
Schedule of anti-dilutive shares outstanding | Quarter ended September 30, Nine months ended September 30, 2021 2020 2021 2020 (in thousands except for weighted-average exercise price) Performance-based RSUs (1) 302 — 244 335 Time-based RSUs — — 68 — Stock options (2) 249 — 199 217 Total anti-dilutive shares and units 551 — 511 552 Weighted average exercise price of anti-dilutive stock options (2) $ 58.85 $ — $ 58.85 $ 35.03 (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 period. |
Supplemental Cash Flow Inform_2
Supplemental Cash Flow Information (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Supplemental Cash Flow Information | |
Schedule of supplemental cash flow information | Nine months ended September 30, 2021 2020 (in thousands) Cash paid for interest $ 301,014 $ 184,087 Cash paid for income taxes, net $ 257,597 $ 260,723 Non-cash investing activity: Mortgage servicing rights resulting from loan sales $ 1,386,324 $ 753,795 Operating right-of-use assets $ 20,871 $ 8,219 Non-cash financing activity: Mortgage servicing liabilities resulting from loan sales $ 98,147 $ 6,576 Issuance of Excess servicing spread payable to PennyMac Mortgage Investment Trust $ 557 $ 1,393 Issuance of common stock in settlement of directors' fees $ 151 $ 144 |
Regulatory Capital and Liquid_2
Regulatory Capital and Liquidity Requirements (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Regulatory Capital and Liquidity Requirements | |
Summary of agencies' capital and liquidity requirements by each agency | September 30, 2021 December 31, 2020 Agency requirement – PLS Actual (1) Requirement (1) Actual (1) Requirement (1) (dollars in thousands) Capital Fannie Mae & Freddie Mac $ 5,593,909 $ 696,005 $ 4,454,680 $ 633,331 Ginnie Mae $ 5,204,078 $ 1,048,132 $ 3,794,112 $ 1,058,641 HUD $ 5,204,078 $ 2,500 $ 3,794,112 $ 2,500 Liquidity Fannie Mae & Freddie Mac $ 432,263 $ 90,400 $ 506,096 $ 84,444 Ginnie Mae $ 432,263 $ 216,767 $ 506,096 $ 215,722 Adjusted net worth / Total assets ratio Ginnie Mae 27 % 6 % 12 % 6 % Tangible net worth / Total assets ratio Fannie Mae & Freddie Mac 29 % 6 % 14 % 6 % (1) Calculated in compliance with the respective Agency’s requirements. |
Segments (Tables)
Segments (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Segments | |
Summary of financial highlights by segment | Financial performance and results by segment are as follows: Quarter ended September 30, 2021 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 496,568 $ 130,186 $ 626,754 $ — $ 626,754 Loan origination fees 94,581 — 94,581 — 94,581 Fulfillment fees from PennyMac Mortgage Investment Trust 43,922 — 43,922 — 43,922 Net loan servicing fees — 33,630 33,630 — 33,630 Net interest income (expense): Interest income 33,307 35,005 68,312 — 68,312 Interest expense 28,570 62,139 90,709 2 90,711 4,737 (27,134) (22,397) (2) (22,399) Management fees — — — 8,520 8,520 Other 218 148 366 1,238 1,604 Total net revenue 640,026 136,830 776,856 9,756 786,612 Expenses 309,460 128,876 438,336 8,727 447,063 Income before provision for income taxes $ 330,566 $ 7,954 $ 338,520 $ 1,029 $ 339,549 Segment assets at quarter end $ 7,926,709 $ 11,797,702 $ 19,724,411 $ 20,727 $ 19,745,138 (1) All revenues are from external customers. Quarter ended September 30, 2020 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 700,830 $ 154,439 $ 855,269 $ — $ 855,269 Loan origination fees 75,572 — 75,572 — 75,572 Fulfillment fees from PennyMac Mortgage Investment Trust 54,839 — 54,839 — 54,839 Net loan servicing fees — 132,807 132,807 — 132,807 Net interest income (expense): Interest income 26,050 26,902 52,952 — 52,952 Interest expense 18,325 44,850 63,175 4 63,179 7,725 (17,948) (10,223) (4) (10,227) Management fees — — — 8,508 8,508 Other 132 1,802 1,934 1,290 3,224 Total net revenue 839,098 271,100 1,110,198 9,794 1,119,992 Expenses 225,817 159,407 385,224 6,477 391,701 Income before provision for income taxes $ 613,281 $ 111,693 $ 724,974 $ 3,317 $ 728,291 Segment assets at quarter end $ 7,319,838 $ 23,843,110 $ 31,162,948 $ 17,917 $ 31,180,865 (1) All revenues are from external customers. Nine months ended September 30, 2021 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 1,431,824 $ 531,919 $ 1,963,743 $ — $ 1,963,743 Loan origination fees 295,909 — 295,909 — 295,909 Fulfillment fees from PennyMac Mortgage Investment Trust 158,777 — 158,777 — 158,777 Net loan servicing fees — 88,221 88,221 — 88,221 Net interest income (expense): — — Interest income 94,668 136,522 231,190 — 231,190 Interest expense 103,555 197,292 300,847 8 300,855 (8,887) (60,770) (69,657) (8) (69,665) Management fees — — — 28,882 28,882 Other 1,445 2,270 3,715 3,968 7,683 Total net revenue 1,879,068 561,640 2,440,708 32,842 2,473,550 Expenses 941,165 381,018 1,322,183 26,295 1,348,478 Income before provision for income taxes $ 937,903 $ 180,622 $ 1,118,525 $ 6,547 $ 1,125,072 Segment assets at period end $ 7,926,709 $ 11,797,702 $ 19,724,411 $ 20,727 $ 19,745,138 (1) All revenues are from external customers Nine months ended September 30, 2020 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 1,637,193 $ 244,531 $ 1,881,724 $ — $ 1,881,724 Loan origination fees 192,091 — 192,091 — 192,091 Fulfillment fees from PennyMac Mortgage Investment Trust 149,594 — 149,594 — 149,594 Net loan servicing fees — 412,952 412,952 — 412,952 Net interest income (expense): Interest income 71,840 100,994 172,834 — 172,834 Interest expense 51,124 126,756 177,880 18 177,898 20,716 (25,762) (5,046) (18) (5,064) Management fees — — — 25,851 25,851 Other 483 1,473 1,956 4,347 6,303 Total net revenue 2,000,077 633,194 2,633,271 30,180 2,663,451 Expenses 608,602 413,071 1,021,673 18,395 1,040,068 Income before provision for income taxes $ 1,391,475 $ 220,123 $ 1,611,598 $ 11,785 $ 1,623,383 Segment assets at period end $ 7,319,838 $ 23,843,110 $ 31,162,948 $ 17,917 $ 31,180,865 (1) All revenues are from external customers. |
Concentration of Risk (Details)
Concentration of Risk (Details) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
PMT | Sales Revenue | Customer Concentration Risk | ||||
Concentration of Risk | ||||
Percentage of total net revenue | 9.00% | 7.00% | 9.00% | 12.00% |
Related Party Transactions - Co
Related Party Transactions - Correspondent Production (Details) - USD ($) | Jul. 01, 2020 | Jun. 30, 2020 | Sep. 12, 2016 | Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 |
Lending activity between the entity and affiliate | |||||||
Fulfillment fee revenue | $ 158,777,000 | $ 149,594,000 | |||||
Ginnie Mae Mortgage Backed Securities Guide Loan | |||||||
Transactions with Affiliates | |||||||
Threshold limit of loan commitment | $ 16,500 | ||||||
Maximum Multiplier factor for each pull through adjusted loan commitment | 585 | ||||||
Multiplying factor for each pull through adjusted loan commitment in excess of threshold limit per quarter | 355 | ||||||
Multiplying factor for number of purchased loans | 315 | ||||||
Multiplying factor for number of purchased loans in excess of threshold limit per quarter | $ 195 | ||||||
Ginnie Mae Mortgage Backed Securities Guide Loan | Minimum | |||||||
Transactions with Affiliates | |||||||
Pull through factor as a percentage | 80.00% | ||||||
Ginnie Mae Mortgage Backed Securities Guide Loan | Maximum | |||||||
Transactions with Affiliates | |||||||
Pull through factor as a percentage | 99.00% | ||||||
Other mortgage loans | |||||||
Transactions with Affiliates | |||||||
Multiplying factor for number of purchased loans | $ 750 | ||||||
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 | |||||||
Target recapture rate | 15.00% | ||||||
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% | ||||||
Related party transaction, renewal period | 5 years | ||||||
MSR Recapture Agreement | First 15% | |||||||
Transactions with Affiliates | |||||||
Percentage of fair market value. | 40.00% | ||||||
Percentage of recapture rate. | 15.00% | ||||||
MSR Recapture Agreement | In excess of 15% and upto 30% | |||||||
Transactions with Affiliates | |||||||
Percentage of fair market value. | 35.00% | ||||||
MSR Recapture Agreement | In excess of 30% | |||||||
Transactions with Affiliates | |||||||
Percentage of fair market value. | 30.00% | ||||||
Percentage of recapture rate. | 30.00% | ||||||
MSR Recapture Agreement | Minimum | In excess of 15% and upto 30% | |||||||
Transactions with Affiliates | |||||||
Percentage of recapture rate. | 15.00% | ||||||
MSR Recapture Agreement | Maximum | In excess of 15% and upto 30% | |||||||
Transactions with Affiliates | |||||||
Percentage of recapture rate. | 30.00% | ||||||
PMT | |||||||
Lending activity between the entity and affiliate | |||||||
Total of gain on sale of loans and MSR recapture | $ (12,976,000) | $ (9,775,000) | (38,772,000) | 62,549,000 | |||
Sale of loans held for sale to PMT | 2,248,896,000 | ||||||
Fulfillment fee revenue | 43,922,000 | 54,839,000 | 158,777,000 | 149,594,000 | |||
Proceeds from sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust | 2,248,896,000 | ||||||
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 | Loan Lending | |||||||
Lending activity between the entity and affiliate | |||||||
Net gain on loans held for sale to PMT | 1,000 | 81,295,000 | |||||
Mortgage servicing rights and excess servicing spread recapture incurred | (12,976,000) | (9,776,000) | (38,772,000) | (18,746,000) | |||
Total of gain on sale of loans and MSR recapture | (12,976,000) | (9,775,000) | (38,772,000) | 62,549,000 | |||
Sale of loans held for sale to PMT | 27,000 | 2,248,896,000 | |||||
Tax service fee | 6,541,000 | 6,076,000 | 21,861,000 | 14,344,000 | |||
Fulfillment fee revenue | 43,922,000 | 54,839,000 | 158,777,000 | 149,594,000 | |||
Unpaid principal balance of loans fulfilled for PMT | 28,605,098,000 | 27,351,435,000 | 92,846,231,000 | 62,403,674,000 | |||
Sourcing fees paid | 1,537,000 | 1,658,000 | 4,905,000 | 9,143,000 | |||
Unpaid principal balance of loans purchased from PMT | $ 15,249,441,000 | 16,690,482,000 | $ 49,106,232,000 | 41,641,327,000 | |||
Proceeds from sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust | $ 27,000 | $ 2,248,896,000 | |||||
PLS | Minimum | |||||||
Transactions with Affiliates | |||||||
Sourcing fees (as a percent) | 0.01% | ||||||
PLS | Maximum | |||||||
Transactions with Affiliates | |||||||
Sourcing fees (as a percent) | 0.02% | ||||||
PLS | Ginnie Mae Mortgage Backed Securities Guide Loan | |||||||
Transactions with Affiliates | |||||||
Fulfilment fee payable | $ 0 |
Related Party Transactions - Mo
Related Party Transactions - Mortgage Loan Servicing (Details) - USD ($) | Jun. 30, 2020 | Sep. 12, 2016 | Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 |
Loan Servicing Agreement | ||||||
Transactions with Affiliates | ||||||
Base servicing fees per month for REO | $ 75 | |||||
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 | |||||
Minimum | Loan Servicing Agreement | ||||||
Transactions with Affiliates | ||||||
Servicing fees amount per month for current loans | 30 | |||||
Additional servicing fee amount per month for delinquent loans | 10 | |||||
Maximum | Loan Servicing Agreement | ||||||
Transactions with Affiliates | ||||||
Servicing fees amount per month for current loans | 95 | |||||
Additional servicing fee amount per month for delinquent loans | $ 55 | |||||
PMT | ||||||
Summary of mortgage loan servicing fees earned | ||||||
Loan servicing fees | $ 20,703,000 | $ 18,752,000 | $ 59,811,000 | $ 48,806,000 | ||
PMT | Loan Servicing Agreement | ||||||
Summary of mortgage loan servicing fees earned | ||||||
Related party transaction, renewal period | 5 years | |||||
PMT | Loans acquired for sale at fair value | ||||||
Summary of mortgage loan servicing fees earned | ||||||
Loan servicing fees | 698,000 | 452,000 | 1,871,000 | 1,595,000 | ||
PMT | Loans at fair value | ||||||
Summary of mortgage loan servicing fees earned | ||||||
Loan servicing fees | 89,000 | 187,000 | 306,000 | 675,000 | ||
PMT | Mortgage servicing rights | ||||||
Summary of mortgage loan servicing fees earned | ||||||
Loan servicing fees | $ 19,916,000 | $ 18,113,000 | $ 57,634,000 | $ 46,536,000 |
Related Party Transactions - Ma
Related Party Transactions - Management Fees (Details) - USD ($) | Sep. 12, 2016 | Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 |
Management Fee Revenue Abstract | |||||
Management fees | $ 8,520,000 | $ 8,508,000 | $ 28,882,000 | $ 25,851,000 | |
PMT | |||||
Management Fee Revenue Abstract | |||||
Management fees | 8,520,000 | 8,508,000 | 28,882,000 | 25,851,000 | |
PMT | Management Agreement | |||||
Transactions with Affiliates | |||||
Percentage of change in net income due to quarterly adjustments | 8.00% | ||||
Management Fee Revenue Abstract | |||||
Base management fee | 8,778,000 | 8,508,000 | 25,875,000 | 25,851,000 | |
Performance incentive | (258,000) | 3,007,000 | |||
Management fees | $ 8,520,000 | $ 8,508,000 | $ 28,882,000 | $ 25,851,000 | |
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% |
Related Party Transactions - Ot
Related Party Transactions - Other Transactions, Reimbursement of Common Overhead Expenses (Details) - USD ($) | Jul. 01, 2020 | Sep. 12, 2016 | Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 |
PMT | ||||||
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 | $ 6,109,000 | $ 4,406,000 | $ 17,418,000 | $ 10,480,000 | ||
Payments and settlements during the year | 51,020,000 | 58,479,000 | 238,202,000 | 228,514,000 | ||
PMT | Common overhead incurred | ||||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | ||||||
Reimbursement of common overhead and expenses incurred by the Company | 1,548,000 | 1,389,000 | 3,387,000 | 4,514,000 | ||
PMT | Compensation | ||||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | ||||||
Reimbursement of common overhead and expenses incurred by the Company | 165,000 | 165,000 | 495,000 | 405,000 | ||
PMT | 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 | $ 4,396,000 | $ 2,852,000 | $ 13,536,000 | $ 5,561,000 | ||
PCM | ||||||
Transactions with Affiliates | ||||||
Expense reimbursement amount, per quarter, relating to personnel | $ 165,000 | $ 120,000 | ||||
Related party transaction, renewal period | 5 years |
Related Party Transactions - In
Related Party Transactions - Investing Activities (Details) - PMT - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |
Transactions with Affiliates | |||||
Common shares of beneficial interest owned | 75,000 | 75,000 | |||
Repurchase agreement with PennyMac Mortgage Investment Trust: | |||||
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell pledged to creditors | $ 80,862 | ||||
Activity during the period: | |||||
Interest income on receivable from PennyMac Mortgage Investment Trust | $ 676 | $ 387 | $ 2,686 | ||
Activity during the period: | |||||
Balance at end of period | $ (67) | (288) | 478 | (602) | |
Loans and Leases Receivable, Related Parties | 80,862 | ||||
Fair value of PennyMac Mortgage Investment Trust shares | $ 1,477 | $ 1,477 | $ 1,105 | ||
Number of shares | 75,000 | 75,000 | 75,000 | ||
PennyMac Holdings, L L C Repurchase Agreement | |||||
Activity during the period: | |||||
Interest income on receivable from PennyMac Mortgage Investment Trust | 676 | $ 387 | 2,686 | ||
Activity during the period: | |||||
Change in fair value of investment in Common shares of PennyMac Mortgage Investment Trust | $ (67) | $ (288) | $ 478 | $ (602) |
Related Party Transactions - Fi
Related Party Transactions - Financing Activities (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | Feb. 01, 2013 | |
Financing activities: | |||||
Issuance pursuant to recapture agreement | $ 557,000 | $ 1,393,000 | |||
Repayments | 134,624,000 | 25,112,000 | |||
PMT | |||||
Financing activities: | |||||
Interest expense | $ 2,070,000 | 1,280,000 | 6,416,000 | ||
Change in fair value | 3,135,000 | (1,037,000) | 18,293,000 | ||
Excess servicing spread financing at fair value payable to affiliate | $ 131,750,000 | ||||
PMT | 2/1/13 Spread Acquisition Agreement | |||||
Financing activities: | |||||
Maximum ESS recapture obligation | $ 200,000 | ||||
Excess servicing spread financing | PMT | |||||
Financing activities: | |||||
Balance at the beginning of the period | 151,206,000 | 131,750,000 | 178,586,000 | ||
Issuance pursuant to recapture agreement | 531,000 | 557,000 | 1,393,000 | ||
Interest expense | 2,070,000 | 1,280,000 | 6,416,000 | ||
Repayments | (7,682,000) | (134,624,000) | (25,112,000) | ||
Change in fair value | (3,135,000) | 1,037,000 | (18,293,000) | ||
Balance at the end of the period | 142,990,000 | 142,990,000 | |||
Excess servicing spread recapture recognized | $ 525,000 | $ 614,000 | $ 1,441,000 |
Related Party Transactions - Am
Related Party Transactions - Amounts due from Affiliate (Details) - PMT - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Amounts due from affiliate | ||
Allocated expenses | $ 12,493 | $ 38,142 |
Correspondent production fees | 10,867 | 13,065 |
Fulfillment fees | 10,709 | 20,873 |
Management fees | 8,778 | 8,686 |
Servicing fees | 7,146 | 6,213 |
Interest on assets purchased under agreements to resell | 26 | |
Total due from affiliate | 49,993 | 87,005 |
Payable to affiliate | ||
Amounts advanced by PMT | 119,810 | 132,154 |
Other expenses | 19,162 | 8,152 |
Payable to affiliates | $ 138,972 | $ 140,306 |
Related Party Transactions - Ex
Related Party Transactions - Exchanged Private National Mortgage Acceptance Company, LLC Unitholders (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |
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 | $ 31.8 | $ 31.8 | $ 35.2 | ||
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 | $ 3.4 | $ 10.4 | $ 3.4 | $ 10.4 |
Loan Sales and Servicing Acti_3
Loan Sales and Servicing Activities - Summary of Cash Flows with Transferees (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |
Cash flows: | |||||
Sales proceeds | $ 39,040,868 | $ 26,683,234 | $ 118,048,768 | $ 67,209,239 | |
Servicing fees received | 178,684 | $ 166,316 | 576,332 | $ 491,743 | |
Period end information: | |||||
Unpaid principal balance of loans outstanding | 241,193,601 | 241,193,601 | $ 199,655,361 | ||
30-89 days | 5,630,358 | 5,630,358 | 6,041,366 | ||
90 days or more - Not in foreclosure | 11,538,275 | 11,538,275 | 17,799,621 | ||
90 days or more - In foreclosure | 453,155 | 453,155 | 581,683 | ||
90 days or more - Foreclosed | 5,949 | 5,949 | 10,893 | ||
Bankruptcy | 1,183,564 | 1,183,564 | 1,230,696 | ||
30-89 days delinquent under CARES Act | 1,464,126 | 1,464,126 | 2,626,617 | ||
90 days or more delinquent not in foreclosure under CARES Act | 5,441,170 | 5,441,170 | 12,181,174 | ||
Total delinquent loans in COVID-19 pandemic related forbearance | $ 6,905,296 | $ 6,905,296 | $ 14,807,791 |
Loan Sales and Servicing Acti_4
Loan Sales and Servicing Activities - Summary of Mortgage Servicing Portfolio (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Mortgage servicing portfolio | ||
Loans held for sale | $ 9,295,126 | $ 11,063,938 |
Total loans serviced | 495,415,647 | 426,750,830 |
Delinquent loans: | ||
30 days | 5,874,204 | 6,119,914 |
60 days | 1,826,086 | 2,741,683 |
90 days or more - Not in foreclosure | 14,957,545 | 26,254,443 |
90 days or more - In foreclosure | 615,815 | 784,898 |
90 days or more - Foreclosed | 24,461 | 50,069 |
Total delinquent mortgage loans | 23,298,111 | 35,951,007 |
Bankruptcy | 1,625,330 | 1,851,597 |
Delinquent loans in COVID-19 related forbearance | ||
30 days | 986,580 | 2,079,755 |
60 days | 914,496 | 1,738,772 |
90 days or more | 7,330,511 | 18,594,557 |
Total delinquent loans in COVID-19 related forbearance | 9,231,587 | 22,413,084 |
Custodial funds managed by the Company | 15,304,764 | 16,747,242 |
Servicing rights owned | ||
Mortgage servicing portfolio | ||
Loans held for sale | 9,295,126 | 11,063,938 |
Total loans serviced | 277,401,859 | 252,332,239 |
Delinquent loans: | ||
30 days | 4,979,570 | 5,217,949 |
60 days | 1,622,154 | 2,393,267 |
90 days or more - Not in foreclosure | 12,728,881 | 21,781,226 |
90 days or more - In foreclosure | 586,596 | 751,586 |
90 days or more - Foreclosed | 6,978 | 12,938 |
Total delinquent mortgage loans | 19,924,179 | 30,156,966 |
Bankruptcy | 1,474,614 | 1,698,418 |
Delinquent loans in COVID-19 related forbearance | ||
30 days | 852,327 | 1,745,257 |
60 days | 790,683 | 1,479,753 |
90 days or more | 5,922,433 | 14,904,052 |
Total delinquent loans in COVID-19 related forbearance | 7,565,443 | 18,129,062 |
Custodial funds managed by the Company | 9,930,772 | 10,660,517 |
Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Total loans serviced | 218,013,788 | 174,418,591 |
Delinquent loans: | ||
30 days | 894,634 | 901,965 |
60 days | 203,932 | 348,416 |
90 days or more - Not in foreclosure | 2,228,664 | 4,473,217 |
90 days or more - In foreclosure | 29,219 | 33,312 |
90 days or more - Foreclosed | 17,483 | 37,131 |
Total delinquent mortgage loans | 3,373,932 | 5,794,041 |
Bankruptcy | 150,716 | 153,179 |
Delinquent loans in COVID-19 related forbearance | ||
30 days | 134,253 | 334,498 |
60 days | 123,813 | 259,019 |
90 days or more | 1,408,078 | 3,690,505 |
Total delinquent loans in COVID-19 related forbearance | 1,666,144 | 4,284,022 |
Custodial funds managed by the Company | 5,373,992 | 6,086,725 |
Non affiliated entities | ||
Mortgage servicing portfolio | ||
Originated | 241,193,601 | 199,655,361 |
Purchased | 26,913,132 | 41,612,940 |
Total loans serviced, excluding loans held for sale | 268,106,733 | 241,268,301 |
Non affiliated entities | Servicing rights owned | ||
Mortgage servicing portfolio | ||
Originated | 241,193,601 | 199,655,361 |
Purchased | 26,913,132 | 41,612,940 |
Total loans serviced, excluding loans held for sale | 268,106,733 | 241,268,301 |
Affiliated entities | ||
Mortgage servicing portfolio | ||
Advised entities | 218,013,788 | 174,418,591 |
Affiliated entities | Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Advised entities | $ 218,013,788 | $ 174,418,591 |
Loan Sales and Servicing Acti_5
Loan Sales and Servicing Activities - Geographical Distribution of Loans (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 495,415,647 | $ 426,750,830 |
California | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 66,810,277 | 60,591,363 |
Florida | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 42,858,332 | 35,360,190 |
Texas | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 40,794,499 | 34,591,419 |
Virginia | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 30,720,994 | 26,209,701 |
Maryland | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 23,338,554 | 19,974,809 |
All other states | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 290,892,991 | $ 250,023,348 |
Fair Value - Financial Statemen
Fair Value - Financial Statement Items Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Assets: | ||
Short-term investments at fair value | $ 5,046 | $ 15,217 |
Loans held for sale | 9,659,695 | 11,616,400 |
Derivative assets: | ||
Derivative asset, before netting | 565,692 | 847,831 |
Netting | (135,708) | (136,593) |
Total derivative assets | 429,984 | 711,238 |
Derivative liabilities: | ||
Derivative liability, before netting | 116,342 | 255,360 |
Netting | (102,138) | (212,722) |
Net amounts of liabilities presented in the consolidated balance sheet | 14,204 | 42,638 |
Mortgage servicing liabilities | 47,567 | 45,324 |
PMT | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 1,477 | 1,105 |
Interest rate lock commitments | ||
Derivative assets: | ||
Total derivative assets | 367,851 | 679,961 |
Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 6,730 | 133,267 |
Derivative liabilities: | ||
Derivative liability, before netting | 86,766 | 1,276 |
Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 97,720 | 1,451 |
Derivative liabilities: | ||
Derivative liability, before netting | 22,648 | 251,149 |
MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 42,067 | 14,302 |
MBS call options | ||
Derivative assets: | ||
Derivative asset, before netting | 263 | |
Call options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 328 | 1,391 |
Put options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 8,664 | 5,520 |
Level 3 | ||
Assets: | ||
Loans held for sale | 2,115,345 | 4,675,169 |
Level 3 | Interest rate lock commitments | ||
Assets: | ||
Loans held for sale | 360,923 | 677,026 |
Recurring basis | ||
Assets: | ||
Short-term investments at fair value | 5,046 | 15,217 |
Loans held for sale | 9,659,695 | 11,616,400 |
Derivative assets: | ||
Derivative asset, before netting | 565,692 | 847,831 |
Netting | (135,708) | (136,593) |
Total derivative assets | 429,984 | 711,238 |
Mortgage servicing rights at fair value | 3,611,120 | 2,581,174 |
Total assets | 13,707,322 | 14,925,134 |
Derivative liabilities: | ||
Derivative liability, before netting | 116,342 | 255,360 |
Netting | (102,138) | (212,722) |
Net amounts of liabilities presented in the consolidated balance sheet | 14,204 | 42,638 |
Mortgage servicing liabilities | 47,567 | 45,324 |
Total liabilities | 61,771 | 219,712 |
Recurring basis | PMT | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 1,477 | 1,105 |
Derivative liabilities: | ||
Excess servicing spread financing at fair value to affiliate | 131,750 | |
Recurring basis | Interest rate lock commitments | ||
Derivative assets: | ||
Derivative asset, before netting | 367,851 | 679,961 |
Derivative liabilities: | ||
Derivative liability, before netting | 6,928 | 2,935 |
Recurring basis | Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 6,730 | 133,267 |
Derivative liabilities: | ||
Derivative liability, before netting | 86,766 | 1,276 |
Recurring basis | Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 97,720 | 1,451 |
Derivative liabilities: | ||
Derivative liability, before netting | 22,648 | 251,149 |
Recurring basis | MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 42,067 | 14,302 |
Recurring basis | MBS call options | ||
Derivative assets: | ||
Derivative asset, before netting | 263 | |
Recurring basis | Swaptions | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 42,069 | 11,939 |
Recurring basis | Call options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 328 | 1,391 |
Recurring basis | Put options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 8,664 | 5,520 |
Recurring basis | Level 1 | ||
Assets: | ||
Short-term investments at fair value | 5,046 | 15,217 |
Derivative assets: | ||
Derivative asset, before netting | 8,992 | 6,911 |
Total derivative assets | 8,992 | 6,911 |
Total assets | 15,515 | 23,233 |
Recurring basis | Level 1 | PMT | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 1,477 | 1,105 |
Recurring basis | Level 1 | Call options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 328 | 1,391 |
Recurring basis | Level 1 | Put options on interest rate futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 8,664 | 5,520 |
Recurring basis | Level 2 | ||
Assets: | ||
Loans held for sale | 7,544,350 | 6,941,231 |
Derivative assets: | ||
Derivative asset, before netting | 188,849 | 160,959 |
Total derivative assets | 188,849 | 160,959 |
Total assets | 7,733,199 | 7,102,190 |
Derivative liabilities: | ||
Derivative liability, before netting | 109,414 | 252,425 |
Net amounts of liabilities presented in the consolidated balance sheet | 109,414 | 252,425 |
Total liabilities | 109,414 | 252,425 |
Recurring basis | Level 2 | Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 6,730 | 133,267 |
Derivative liabilities: | ||
Derivative liability, before netting | 86,766 | 1,276 |
Recurring basis | Level 2 | Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 97,720 | 1,451 |
Derivative liabilities: | ||
Derivative liability, before netting | 22,648 | 251,149 |
Recurring basis | Level 2 | MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 42,067 | 14,302 |
Recurring basis | Level 2 | MBS call options | ||
Derivative assets: | ||
Derivative asset, before netting | 263 | |
Recurring basis | Level 2 | Swaptions | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 42,069 | 11,939 |
Recurring basis | Level 3 | ||
Assets: | ||
Loans held for sale | 2,115,345 | 4,675,169 |
Derivative assets: | ||
Derivative asset, before netting | 367,851 | 679,961 |
Total derivative assets | 367,851 | 679,961 |
Mortgage servicing rights at fair value | 3,611,120 | 2,581,174 |
Total assets | 6,094,316 | 7,936,304 |
Derivative liabilities: | ||
Derivative liability, before netting | 6,928 | 2,935 |
Net amounts of liabilities presented in the consolidated balance sheet | 6,928 | 2,935 |
Mortgage servicing liabilities | 47,567 | 45,324 |
Total liabilities | 54,495 | 180,009 |
Recurring basis | Level 3 | PMT | ||
Derivative liabilities: | ||
Excess servicing spread financing at fair value to affiliate | 131,750 | |
Recurring basis | Level 3 | Interest rate lock commitments | ||
Derivative assets: | ||
Derivative asset, before netting | 367,851 | 679,961 |
Derivative liabilities: | ||
Derivative liability, before netting | $ 6,928 | $ 2,935 |
Fair Value - Level 3 Input Roll
Fair Value - Level 3 Input Roll Forward, Recurring Basis (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Mortgage servicing liabilities resulting from loan sales | $ 98,147 | $ 6,576 | ||
Recurring basis | ||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | $ 7,574,519 | $ 3,251,509 | 7,933,369 | 3,455,505 |
Purchases and issuances, net | 6,023,600 | 3,327,099 | 17,910,002 | 6,121,075 |
Capitalization of interest and advances | 40,035 | 22,262 | 118,879 | 55,283 |
Sales and repayments | (4,286,574) | (97,225) | (9,081,815) | (896,517) |
Mortgage servicing rights resulting from loan sales | 432,429 | 245,946 | 1,386,324 | 753,795 |
Changes in fair value included in income arising from: | ||||
Changes in instrument specific credit risk | 38,698 | 42,029 | 266,644 | 35,638 |
Other factors | 2,359 | 186,496 | 32,760 | (563,248) |
Total changes in fair value included in income | 41,057 | 228,525 | 299,404 | (527,610) |
Transfers from mortgage loans held for sale from Level 3 to Level 2 | (3,068,841) | (597,134) | (10,493,751) | (1,476,027) |
Transfers to real estate acquired in settlement of loans | (82) | (691) | ||
Reinstatement from real estate acquired in settlement of loans | 755 | 755 | ||
Transfers from interest rate lock commitments to loans held for sale | (668,837) | (731,474) | (1,984,942) | (1,835,305) |
Balance at the end of the period | 6,087,388 | 5,650,263 | 6,087,388 | 5,650,263 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | 143,381 | 454,285 | 84,074 | (799,403) |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | 181,064 | 177,074 | 207,726 | |
Issuances | 531 | 557 | 1,393 | |
Accrual of interest on excess servicing spread financing | 2,070 | 1,280 | 6,416 | |
Repayment | (7,682) | (134,624) | (25,112) | |
Mortgage servicing liabilities resulting from loan sales | 98,147 | 6,576 | ||
Changes in fair value included in income | (1,295) | (94,867) | (22,311) | |
Balance at the end of the period | 47,567 | 174,688 | 47,567 | 174,688 |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (1,295) | (95,904) | (22,311) | |
Recurring basis | Excess servicing spread financing | ||||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | 100,091 | 151,206 | 131,750 | 178,586 |
Issuances | 531 | 557 | 1,393 | |
Accrual of interest on excess servicing spread financing | 2,070 | 1,280 | 6,416 | |
Repayment | (7,682) | (134,624) | (25,112) | |
Mortgage servicing liabilities resulting from loan sales | 33,764 | |||
Changes in fair value included in income | (86,288) | (3,135) | 1,037 | (18,293) |
Balance at the end of the period | 47,567 | 142,990 | 47,567 | 142,990 |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (86,288) | (3,135) | (18,293) | |
Recurring basis | Mortgage servicing liabilities | ||||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | 29,858 | 45,324 | 29,140 | |
Mortgage servicing liabilities resulting from loan sales | 98,147 | 6,576 | ||
Changes in fair value included in income | 1,840 | (95,904) | (4,018) | |
Balance at the end of the period | 47,567 | 31,698 | 47,567 | 31,698 |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | 1,840 | (95,904) | (4,018) | |
Recurring basis | Loans held for sale | ||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | 3,818,261 | 661,719 | 4,675,169 | 383,878 |
Purchases and issuances, net | 5,573,766 | 2,734,321 | 16,630,301 | 4,664,408 |
Capitalization of interest and advances | 40,035 | 22,262 | 118,879 | 55,283 |
Sales and repayments | (4,286,574) | (88,955) | (9,081,815) | (888,247) |
Changes in fair value included in income arising from: | ||||
Changes in instrument specific credit risk | 38,698 | 42,029 | 266,644 | 35,638 |
Total changes in fair value included in income | 38,698 | 42,029 | 266,644 | 35,638 |
Transfers from mortgage loans held for sale from Level 3 to Level 2 | (3,068,841) | (597,134) | (10,493,751) | (1,476,027) |
Transfers to real estate acquired in settlement of loans | (82) | (691) | ||
Reinstatement from real estate acquired in settlement of loans | 755 | 755 | ||
Balance at the end of the period | 2,115,345 | 2,774,997 | 2,115,345 | 2,774,997 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | 16,415 | 38,217 | 79,529 | 31,389 |
Recurring basis | Interest rate lock commitments | ||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | 343,610 | 368,064 | 677,026 | 136,650 |
Purchases and issuances, net | 449,834 | 593,065 | 1,279,701 | 1,431,194 |
Changes in fair value included in income arising from: | ||||
Other factors | 236,316 | 311,790 | 389,138 | 808,906 |
Total changes in fair value included in income | 236,316 | 311,790 | 389,138 | 808,906 |
Transfers from interest rate lock commitments to loans held for sale | (668,837) | (731,474) | (1,984,942) | (1,835,305) |
Balance at the end of the period | 360,923 | 541,445 | 360,923 | 541,445 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | 360,923 | 541,445 | 360,923 | 541,445 |
Recurring basis | Repurchase agreement derivatives | ||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | 8,187 | 8,187 | ||
Sales and repayments | (8,270) | (8,270) | ||
Changes in fair value included in income arising from: | ||||
Other factors | 83 | 83 | ||
Total changes in fair value included in income | 83 | 83 | ||
Recurring basis | Mortgage servicing rights | ||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | 3,412,648 | 2,213,539 | 2,581,174 | 2,926,790 |
Purchases and issuances, net | (287) | 25,473 | ||
Mortgage servicing rights resulting from loan sales | 432,429 | 245,946 | 1,386,324 | 753,795 |
Changes in fair value included in income arising from: | ||||
Other factors | (233,957) | (125,377) | (356,378) | (1,372,237) |
Total changes in fair value included in income | (233,957) | (125,377) | (356,378) | (1,372,237) |
Balance at the end of the period | 3,611,120 | 2,333,821 | 3,611,120 | 2,333,821 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | $ (233,957) | $ (125,377) | $ (356,378) | $ (1,372,237) |
Fair Value - Changes in Fair Va
Fair Value - Changes in Fair Value, Fair Value Option, Recurring Basis (Details) - Recurring basis - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
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 | $ 86,288 | $ 1,295 | $ 94,867 | $ 22,311 |
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 | 86,288 | 1,295 | 94,867 | 22,311 |
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 | 3,135 | (1,037) | 18,293 | |
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 | 3,135 | (1,037) | 18,293 | |
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 | 86,288 | (1,840) | 95,904 | 4,018 |
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 | 86,288 | (1,840) | 95,904 | 4,018 |
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 | 411,579 | 647,936 | 1,701,118 | 539,591 |
Assets | Net gains on 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 | 645,536 | 773,313 | 2,057,496 | 1,911,828 |
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 | (233,957) | (125,377) | (356,378) | (1,372,237) |
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 | 645,536 | 773,313 | 2,057,496 | 1,911,828 |
Loans held for sale | Net gains on 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 | 645,536 | 773,313 | 2,057,496 | 1,911,828 |
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 | (233,957) | (125,377) | (356,378) | (1,372,237) |
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 | $ (233,957) | $ (125,377) | $ (356,378) | $ (1,372,237) |
Fair Value - Fair Value Option
Fair Value - Fair Value Option Maturities, Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Fair value | ||
Total fair value | $ 9,659,695 | $ 11,616,400 |
Recurring basis | ||
Fair value | ||
Total fair value | 9,659,695 | 11,616,400 |
Loans held for sale | Recurring basis | ||
Fair value | ||
Current through 89 days delinquent | 9,418,521 | 11,304,308 |
Not in foreclosure | 220,072 | 275,419 |
In foreclosure | 21,102 | 36,673 |
Total fair value | 9,659,695 | 11,616,400 |
Principal amount due upon maturity | ||
Current through 89 days delinquent | 9,054,408 | 10,743,814 |
Not in foreclosure | 218,659 | 280,595 |
In foreclosure | 22,059 | 39,529 |
Total principal amount due upon maturity | 9,295,126 | 11,063,938 |
Difference | ||
Current through 89 days delinquent | 364,113 | 560,494 |
Not in foreclosure | 1,413 | (5,176) |
In foreclosure | (957) | (2,856) |
Total difference | $ 364,569 | $ 552,462 |
Fair Value - Measurement Basis,
Fair Value - Measurement Basis, Nonrecurring (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Notes Payable | $ 1,297,176 | $ 1,297,176 | $ 1,295,840 | ||
Term Notes | |||||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Notes Payable | 1,297,176 | 1,297,176 | 1,295,840 | ||
Unsecured senior note | |||||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Notes Payable | 1,783,230 | 1,783,230 | 645,820 | ||
Nonrecurring basis | |||||
Financial statement items measured at fair value on a nonrecurring basis | |||||
Real estate acquired in settlement of loans | 2,948 | 2,948 | 1,450 | ||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Real estate acquired in settlement of loans | (284) | $ (825) | (912) | $ (2,059) | |
Nonrecurring basis | Level 3 | |||||
Financial statement items measured at fair value on a nonrecurring basis | |||||
Real estate acquired in settlement of loans | 2,948 | 2,948 | 1,450 | ||
Fair Values | Term Notes | |||||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Notes Payable | 1,302,642 | 1,302,642 | 1,268,304 | ||
Fair Values | Unsecured senior note | |||||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Notes Payable | $ 1,781,250 | $ 1,781,250 | $ 685,750 |
Fair Value - Level 3 Unobservab
Fair Value - Level 3 Unobservable Inputs, Mortgage Loans and IRLC (Details) $ in Thousands | Sep. 30, 2021USD ($)item | Dec. 31, 2020USD ($)item |
Excess servicing spread financing | ||
Loans held for sale | $ | $ 9,659,695 | $ 11,616,400 |
Level 3 | ||
Excess servicing spread financing | ||
Loans held for sale | $ | $ 2,115,345 | $ 4,675,169 |
Loans held for sale | Discount rate | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 2.1 | 2.8 |
Loans held for sale | Discount rate | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 9.2 | 9.2 |
Loans held for sale | Discount rate | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 2.2 | 2.8 |
Loans held for sale | Twelve-month projected housing price index Change | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 5.9 | 2.7 |
Loans held for sale | Twelve-month projected housing price index Change | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 6.8 | 3.5 |
Loans held for sale | Twelve-month projected housing price index Change | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 6.4 | 3 |
Loans held for sale | Prepayment/resale speed | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 0.4 | 0.4 |
Loans held for sale | Prepayment/resale speed | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 33.9 | 31.3 |
Loans held for sale | Prepayment/resale speed | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 22.7 | 21.9 |
Loans held for sale | Total prepayment speed | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 0.4 | 0.5 |
Loans held for sale | Total prepayment speed | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 42.9 | 42.9 |
Loans held for sale | Total prepayment speed | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 28.5 | 29.2 |
Interest rate lock commitments | Level 3 | ||
Excess servicing spread financing | ||
Loans held for sale | $ | $ 360,923 | $ 677,026 |
Interest rate lock commitments | Pull-through rate | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 8 | 10.1 |
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 | 80.3 | 82.7 |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | (9.7) | 0.7 |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 6.5 | 5.3 |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 4.1 | 3.6 |
Interest rate lock commitments | Percentage of unpaid principal balance | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | (2.1) | 0.1 |
Interest rate lock commitments | Percentage of unpaid principal balance | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 3 | 2.6 |
Interest rate lock commitments | Percentage of unpaid principal balance | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 1.4 | 1.2 |
Fair Value - Level 3 Unobserv_2
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Rights - Initial Recognition (Details) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2021USD ($)item | Sep. 30, 2020USD ($)item | Sep. 30, 2021USD ($)item | Sep. 30, 2020USD ($)item | Dec. 31, 2020USD ($)item | |
Mortgage servicing rights | |||||
Inputs | |||||
Amount recognized | $ | $ 432,429,000 | $ 245,946,000 | $ 1,386,324,000 | $ 753,795,000 | |
Fair Values | Mortgage servicing rights | Level 3 | Minimum | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | 79 | $ 79 | |||
Fair Values | Mortgage servicing rights | Level 3 | Maximum | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | 117 | 117 | |||
Fair Values | Mortgage servicing rights | Level 3 | Weighted average | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | $ 106 | $ 107 | |||
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 5.3 | 5.3 | 8 | ||
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 17.6 | ||||
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 8.1 | 8.1 | 10.1 | ||
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 7.9 | 7.9 | 10.1 | ||
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 28.2 | 28.2 | 32.9 | ||
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 10.3 | 10.3 | 13.7 | ||
Fair Values | Mortgage servicing rights | Life | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 3 | 3 | 2.3 | ||
Fair Values | Mortgage servicing rights | Life | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 7.8 | 7.8 | 7.7 | ||
Fair Values | Mortgage servicing rights | Life | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 6.9 | 6.9 | 6 | ||
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | |||||
Inputs | |||||
Amount recognized | $ | $ 432,429,000 | 245,946,000 | $ 1,386,324,000 | 753,795,000 | |
Unpaid principal balance of underlying loans | $ | $ 33,697,228,000 | $ 25,369,941,000 | $ 105,470,580,000 | $ 63,766,627,000 | |
Weighted-average servicing fee rate (as a percent) | 0.34% | 0.32% | 0.33% | 0.36% | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Minimum | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | $ 80 | $ 80 | $ 77 | ||
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Maximum | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | 117 | 110 | $ 117 | 110 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Weighted average | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | $ 102 | $ 102 | $ 104 | $ 100 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 6 | 8 | 6 | 6.8 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 16.9 | 17.6 | 16.9 | 18.1 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 8.5 | 9.6 | 9 | 9.3 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 7.2 | 7.2 | 6.2 | 7.2 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 31 | 41 | 31 | 49.8 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 9.2 | 10.4 | 8.5 | 12.4 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 3 | 2.3 | 3 | 1.5 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 8.4 | 9.1 | 9 | 9.1 | |
Fair Values | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 7.7 | 7.3 | 8.1 | 6.6 |
Fair Value - Level 3 Unobserv_3
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Rights, Effect of Change In Inputs on Fair Value (Details) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2021USD ($)item | Dec. 31, 2020USD ($)item | |
MSR and pool characteristics | ||
Carrying value | $ 3,611,120,000 | $ 2,581,174,000 |
Mortgage servicing liabilities | Level 3 | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 258 | 305 |
Fair Values | Mortgage servicing liabilities | Level 3 | Minimum | ||
Prepayment speed | ||
Annual per-loan cost of servicing | $ 80 | |
Fair Values | Mortgage servicing liabilities | Pricing spread | Level 3 | Maximum | ||
Inputs | ||
Input | item | 16 | |
Fair Values | Mortgage servicing rights | Level 3 | ||
MSR and pool characteristics | ||
Carrying value | $ 3,611,120,000 | 2,581,174,000 |
Unpaid principal balance of underlying loans | $ 259,220,948,000 | $ 238,410,809,000 |
Weighted-average note interest rate (as a percent) | 3.20% | 3.60% |
Weighted-average servicing fee rate (as a percent) | 0.34% | 0.35% |
Pricing spread | ||
Effect on fair value of 5% adverse change | $ (59,086,000) | $ (46,356,000) |
Effect on fair value of 10% adverse change | (116,282,000) | (90,936,000) |
Effect on fair value of 20% adverse change | (225,331,000) | (175,137,000) |
Prepayment speed | ||
Effect on fair value of 5% adverse change | (76,847,000) | (66,536,000) |
Effect on fair value of 10% adverse change | (150,928,000) | (130,253,000) |
Effect on fair value of 20% adverse change | (291,339,000) | (249,843,000) |
Annual per-loan cost of servicing | ||
Effect on fair value of 5% adverse change | (31,700,000) | (25,482,000) |
Effect on fair value of 10% adverse change | (63,399,000) | (50,964,000) |
Effect on fair value of 20% adverse change | (126,799,000) | (101,929,000) |
Fair Values | Mortgage servicing rights | Level 3 | Minimum | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 79 | 79 |
Fair Values | Mortgage servicing rights | Level 3 | Maximum | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 117 | 117 |
Fair Values | Mortgage servicing rights | Level 3 | Weighted average | ||
Prepayment speed | ||
Annual per-loan cost of servicing | $ 106 | $ 107 |
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Minimum | ||
Inputs | ||
Input | item | 5.3 | 8 |
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Maximum | ||
Inputs | ||
Input | item | 17.6 | |
Fair Values | Mortgage servicing rights | Pricing spread | Level 3 | Weighted average | ||
Inputs | ||
Input | item | 8.1 | 10.1 |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Minimum | ||
Inputs | ||
Input | item | 7.9 | 10.1 |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Maximum | ||
Inputs | ||
Input | item | 28.2 | 32.9 |
Fair Values | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Weighted average | ||
Inputs | ||
Input | item | 10.3 | 13.7 |
Fair Values | Mortgage servicing rights | Life | Level 3 | Minimum | ||
Inputs | ||
Input | item | 3 | 2.3 |
Fair Values | Mortgage servicing rights | Life | Level 3 | Maximum | ||
Inputs | ||
Input | item | 7.8 | 7.7 |
Fair Values | Mortgage servicing rights | Life | Level 3 | Weighted average | ||
Inputs | ||
Input | item | 6.9 | 6 |
Fair Value - Level 3 Unobserv_4
Fair Value - Level 3 Unobservable Inputs, ESS (Details) - Excess servicing spread financing - Level 3 $ in Thousands | 12 Months Ended |
Dec. 31, 2020USD ($)item | |
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption | |
Carrying value | $ | $ 131,750 |
Unpaid principal balance of underlying mortgage loans | $ | $ 15,833,050 |
Average servicing fee rate (as a percent) | 0.34% |
Average excess servicing spread (as a percent) | 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 | |
Input | 4.9 |
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 | |
Input | 5.3 |
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 | |
Input | 5.1 |
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 | |
Input | 9.6 |
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 | |
Input | 18.3 |
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 | |
Input | 11.7 |
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 | |
Input | 2.3 |
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 | |
Input | 6.6 |
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 | |
Input | 5.8 |
Fair Value - Level 3 Unobserv_5
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Liabilities (Details) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2021USD ($)item | Dec. 31, 2020USD ($)item | |
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption | ||
Carrying value | $ 47,567,000 | $ 45,324,000 |
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 | ||
Carrying value | 47,567,000 | 45,324,000 |
Unpaid principal balance of underlying loans | $ 8,885,785,000 | $ 2,857,492,000 |
Servicing fee rate (as a percent) | 0.24% | 0.25% |
Annual per-loan cost of servicing | $ 258 | $ 305 |
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 | ||
Input | item | 8.3 | 7.6 |
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 | ||
Input | item | 29.1 | 33.3 |
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 | ||
Input | item | 4 | 3.2 |
Loans Held for Sale at Fair V_3
Loans Held for Sale at Fair Value (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | $ 9,659,695 | $ 11,616,400 |
Fair value of loans pledged to secure assets sold under agreements to repurchase | 8,826,793 | 10,912,178 |
Fair value of loans pledged to secure mortgage loan participation purchase and sale agreement | 541,313 | 545,500 |
Pledged Assets Separately Reported, Loans Pledged as Collateral, at Fair Value, Total | 9,368,106 | 11,457,678 |
Government-insured or guaranteed | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 5,588,553 | 5,683,786 |
Conventional conforming | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 1,955,797 | 1,257,445 |
Purchased from Ginnie Mae pools serviced by the Company | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 2,069,120 | 4,661,378 |
Repurchased pursuant to representations and warranties | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | $ 46,225 | $ 13,791 |
Derivative Financial Instrume_3
Derivative Financial Instruments - Other Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |
Derivative assets: | |||||
Derivative asset, before netting | $ 565,692 | $ 565,692 | $ 847,831 | ||
Netting | (135,708) | (135,708) | (136,593) | ||
Total derivative assets | 429,984 | 429,984 | 711,238 | ||
Derivative liabilities: | |||||
Derivative liability, before netting | 116,342 | 116,342 | 255,360 | ||
Netting | (102,138) | (102,138) | (212,722) | ||
Net amounts of liabilities presented in the consolidated balance sheet | 14,204 | 14,204 | 42,638 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Gains (losses) recognized on derivative financial instruments | (86,459) | $ 6,521 | (437,492) | $ 1,027,327 | |
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 | 83 | 83 | |||
Net gains on loans held for sale at fair value | Interest rate lock commitments and 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 | (19,294) | (77,320) | 275,510 | (403,992) | |
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 | (86,459) | 6,521 | (437,492) | 1,027,327 | |
Margin Deposits | |||||
Derivative assets: | |||||
Collateral placed with (received from) derivative counterparties | (33,570) | (33,570) | 76,129 | ||
Interest rate lock commitments | |||||
Derivative assets: | |||||
Total derivative assets | 367,851 | 367,851 | 679,961 | ||
Interest rate lock commitments | Net gains on 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 | 17,313 | $ 173,381 | (316,103) | $ 404,795 | |
Forward contracts | Purchases | |||||
Derivative Instruments | |||||
Notional amount | 23,912,210 | 23,912,210 | 31,689,543 | ||
Derivative assets: | |||||
Derivative asset, before netting | 6,730 | 6,730 | 133,267 | ||
Derivative liabilities: | |||||
Derivative liability, before netting | 86,766 | 86,766 | 1,276 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 31,689,543 | ||||
Balance at end of period | 23,912,210 | 23,912,210 | |||
Forward contracts | Sales | |||||
Derivative Instruments | |||||
Notional amount | 35,679,195 | 35,679,195 | 50,438,967 | ||
Derivative assets: | |||||
Derivative asset, before netting | 97,720 | 97,720 | 1,451 | ||
Derivative liabilities: | |||||
Derivative liability, before netting | 22,648 | 22,648 | 251,149 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 50,438,967 | ||||
Balance at end of period | 35,679,195 | 35,679,195 | |||
MBS put options | |||||
Derivative Instruments | |||||
Notional amount | 10,000,000 | 10,000,000 | 12,025,000 | ||
Derivative assets: | |||||
Derivative asset, before netting | 42,067 | 42,067 | 14,302 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 12,025,000 | ||||
Balance at end of period | 10,000,000 | 10,000,000 | |||
MBS call options | |||||
Derivative Instruments | |||||
Notional amount | 2,200,000 | 2,200,000 | |||
Derivative assets: | |||||
Derivative asset, before netting | 263 | 263 | |||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at end of period | 2,200,000 | 2,200,000 | |||
Swaptions | Purchases | |||||
Derivative Instruments | |||||
Notional amount | 8,150,000 | 8,150,000 | 3,375,000 | ||
Derivative assets: | |||||
Derivative asset, before netting | 42,069 | 42,069 | 11,939 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 3,375,000 | ||||
Balance at end of period | 8,150,000 | 8,150,000 | |||
Put options on interest rate futures | Purchases | |||||
Derivative Instruments | |||||
Notional amount | 800,000 | 800,000 | 4,750,000 | ||
Derivative assets: | |||||
Derivative asset, before netting | 8,664 | 8,664 | 5,520 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 4,750,000 | ||||
Balance at end of period | 800,000 | 800,000 | |||
Call options on interest rate futures | Purchases | |||||
Derivative Instruments | |||||
Notional amount | 1,450,000 | 1,450,000 | 850,000 | ||
Derivative assets: | |||||
Derivative asset, before netting | 328 | 328 | 1,391 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 850,000 | ||||
Balance at end of period | 1,450,000 | 1,450,000 | |||
Treasury future | Purchases | |||||
Derivative Instruments | |||||
Notional amount | 755,000 | 755,000 | 1,065,000 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 1,065,000 | ||||
Balance at end of period | 755,000 | 755,000 | |||
Treasury future | Sales | |||||
Derivative Instruments | |||||
Notional amount | 2,215,000 | 2,215,000 | 1,555,000 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 1,555,000 | ||||
Balance at end of period | 2,215,000 | 2,215,000 | |||
Interest rate swap futures | Purchases | |||||
Derivative Instruments | |||||
Notional amount | 5,225,000 | 5,225,000 | 4,801,700 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 4,801,700 | ||||
Balance at end of period | 5,225,000 | 5,225,000 | |||
Interest rate swap futures | Sales | |||||
Derivative Instruments | |||||
Notional amount | 1,800,000 | 1,800,000 | 711,700 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 711,700 | ||||
Balance at end of period | 1,800,000 | 1,800,000 | |||
Not designated as hedging instrument | Interest rate lock commitments | |||||
Derivative Instruments | |||||
Notional amount | 15,804,462 | 15,804,462 | 20,624,535 | ||
Derivative assets: | |||||
Derivative asset, before netting | 367,851 | 367,851 | 679,961 | ||
Derivative liabilities: | |||||
Derivative liability, before netting | 6,928 | 6,928 | $ 2,935 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 20,624,535 | ||||
Balance at end of period | $ 15,804,462 | $ 15,804,462 |
Derivative Financial Instrume_4
Derivative Financial Instruments - Offsetting of Derivative Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | $ 197,841 | $ 167,870 |
Gross amounts offset in the consolidated balance sheet | (135,708) | (136,593) |
Net amounts of assets presented in the consolidated balance sheet | 62,133 | 31,277 |
Total | ||
Gross amounts of recognized assets | 565,692 | 847,831 |
Net amounts of assets presented in the balance sheet | 429,984 | 711,238 |
Interest rate lock commitments | ||
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized assets | 367,851 | 679,961 |
Total | ||
Net amounts of assets presented in the balance sheet | 367,851 | 679,961 |
MBS put options | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 42,067 | 14,302 |
Net amounts of assets presented in the consolidated balance sheet | 42,067 | 14,302 |
Total | ||
Gross amounts of recognized assets | 42,067 | 14,302 |
MBS call options | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 263 | |
Net amounts of assets presented in the consolidated balance sheet | 263 | |
Total | ||
Gross amounts of recognized assets | 263 | |
Swaptions | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 42,069 | 11,939 |
Net amounts of assets presented in the consolidated balance sheet | 42,069 | 11,939 |
Total | ||
Gross amounts of recognized assets | 42,069 | 11,939 |
Forward contracts | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 6,730 | 133,267 |
Net amounts of assets presented in the consolidated balance sheet | 6,730 | 133,267 |
Total | ||
Gross amounts of recognized assets | 6,730 | 133,267 |
Forward contracts | Sales | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 97,720 | 1,451 |
Net amounts of assets presented in the consolidated balance sheet | 97,720 | 1,451 |
Total | ||
Gross amounts of recognized assets | 97,720 | 1,451 |
Put options on interest rate futures | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 8,664 | 5,520 |
Net amounts of assets presented in the consolidated balance sheet | 8,664 | 5,520 |
Total | ||
Gross amounts of recognized assets | 8,664 | 5,520 |
Call options on interest rate futures | Purchases | ||
Derivatives subject to master netting arrangements: | ||
Gross amounts of recognized assets | 328 | 1,391 |
Net amounts of assets presented in the consolidated balance sheet | 328 | 1,391 |
Total | ||
Gross amounts of recognized assets | $ 328 | $ 1,391 |
Derivative Financial Instrume_5
Derivative Financial Instruments - Offsetting of Derivative Assets - Derivative Assets, Financial Assets, and Collateral Held by Counterparty (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Total | ||
Net amounts of assets presented in the balance sheet | $ 429,984 | $ 711,238 |
Net amount | 429,984 | 711,238 |
JP Morgan | ||
Total | ||
Net amounts of assets presented in the balance sheet | 6,985 | 17,149 |
Net amount | 6,985 | 17,149 |
RJ O'Brien | ||
Total | ||
Net amounts of assets presented in the balance sheet | 8,992 | 6,910 |
Net amount | 8,992 | 6,910 |
Morgan Stanley Bank | ||
Total | ||
Net amounts of assets presented in the balance sheet | 7,773 | 2,443 |
Net amount | 7,773 | 2,443 |
Citibank, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 17,481 | 2,026 |
Net amount | 17,481 | 2,026 |
Wells Fargo Bank, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 9,995 | |
Net amount | 9,995 | |
Bank of America, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 6,963 | |
Net amount | 6,963 | |
Other | ||
Total | ||
Net amounts of assets presented in the balance sheet | 3,944 | 2,749 |
Net amount | 3,944 | 2,749 |
Interest rate lock commitments | ||
Total | ||
Net amounts of assets presented in the balance sheet | 367,851 | 679,961 |
Net amount | $ 367,851 | $ 679,961 |
Derivative Financial Instrume_6
Derivative Financial Instruments - Offsetting of Derivative Assets - Offsetting of Derivative and Financial Liabilities (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2021 | Dec. 31, 2020 | |
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | $ 109,414 | $ 252,425 |
Netting | (102,138) | (212,722) |
Net amounts of liabilities presented in the balance sheet | 7,276 | 39,703 |
Total | ||
Gross amounts of recognized liabilities | 116,342 | 255,360 |
Net amounts of liabilities presented in the consolidated balance sheet | 14,204 | 42,638 |
Mortgage loans sold under agreements to repurchase | ||
Net amounts of liabilities presented in the consolidated balance sheet | 6,903,302 | |
Debt Issuance Costs | ||
Debt issuance costs, gross | (6,145) | (9,198) |
Debt issuance costs | (6,145) | (9,198) |
Gross amounts of recognized liabilities | 6,897,157 | 9,654,797 |
Net amount of liabilities in the consolidated balance sheet | 6,897,157 | 9,654,797 |
Total | ||
Gross amounts of recognized liabilities | 7,013,499 | 9,910,157 |
Gross amounts offset in the consolidated balance sheet | (102,138) | (212,722) |
Net amounts of liabilities presented in the consolidated balance sheet | 6,917,506 | 9,706,633 |
Net amount of liabilities in the consolidated balance sheet | 14,204 | 42,638 |
Receivable from Counterparties | ||
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 6,911,361 | 9,697,435 |
Assets sold under agreements to repurchase | ||
Mortgage loans sold under agreements to repurchase | ||
Gross amounts of recognized liabilities | 6,903,302 | 9,663,995 |
Net amounts of liabilities presented in the consolidated balance sheet | 6,903,302 | 9,663,995 |
Net amounts of liabilities presented in the consolidated balance sheet | 6,903,302 | 9,663,995 |
Debt Issuance Costs | ||
Debt issuance costs | (6,145) | (9,198) |
Net amount of liabilities in the consolidated balance sheet | 6,897,157 | 9,654,797 |
Forward contracts | Purchases | ||
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | 86,766 | 1,276 |
Net amounts of liabilities presented in the balance sheet | 86,766 | 1,276 |
Total | ||
Gross amounts of recognized liabilities | 86,766 | 1,276 |
Forward contracts | Sales | ||
Derivatives: Subject to master netting arrangements: | ||
Gross amounts of recognized liabilities | 22,648 | 251,149 |
Net amounts of liabilities presented in the balance sheet | 22,648 | 251,149 |
Total | ||
Gross amounts of recognized liabilities | 22,648 | 251,149 |
Interest rate lock commitments | ||
Derivatives not subject to master netting arrangements | ||
Gross amounts of recognized liabilities | 6,928 | 2,935 |
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 6,928 | 2,935 |
Net amount of liabilities in the consolidated balance sheet | $ 6,928 | $ 2,935 |
Derivative Financial Instrume_7
Derivative Financial Instruments - Offsetting of Derivative Assets - Derivative Liabilities, Financial Liabilities, and Collateral Held by Counterparty (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | $ 6,917,506 | $ 9,706,633 |
Financial instruments | (6,903,302) | (9,663,995) |
Net amount of liabilities in the consolidated balance sheet | 14,204 | 42,638 |
Credit Suisse First Boston Mortgage Capital LLC | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 2,016,825 | 3,947,752 |
Financial instruments | (2,016,825) | (3,943,149) |
Net amount of liabilities in the consolidated balance sheet | 4,603 | |
JP Morgan | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 754,120 | 2,752,279 |
Financial instruments | (754,120) | (2,752,279) |
Bank of America, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,374,800 | 634,523 |
Financial instruments | (1,374,800) | (626,550) |
Net amount of liabilities in the consolidated balance sheet | 7,973 | |
Barclays | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 658,392 | 596,729 |
Financial instruments | (657,729) | (596,729) |
Net amount of liabilities in the consolidated balance sheet | 663 | |
Citibank, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 150,953 | 505,625 |
Financial instruments | (150,953) | (505,625) |
Royal Bank of Canada | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 881,805 | 406,348 |
Financial instruments | (881,805) | (406,348) |
BNP Paribas | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 298,357 | 337,823 |
Financial instruments | (297,821) | (336,545) |
Net amount of liabilities in the consolidated balance sheet | 536 | 1,278 |
Morgan Stanley Bank | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 247,579 | 331,546 |
Financial instruments | (247,579) | (331,546) |
Wells Fargo Bank, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 223,713 | 169,085 |
Financial instruments | (223,713) | (165,224) |
Net amount of liabilities in the consolidated balance sheet | 3,861 | |
Federal National Mortgage Association | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 12,928 | |
Net amount of liabilities in the consolidated balance sheet | 12,928 | |
Mizuho Securities | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 2,772 | 6,491 |
Net amount of liabilities in the consolidated balance sheet | 2,772 | 6,491 |
Goldman Sachs | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 299,560 | |
Financial instruments | (297,957) | |
Net amount of liabilities in the consolidated balance sheet | 1,603 | |
Other | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,702 | 2,569 |
Net amount of liabilities in the consolidated balance sheet | 1,702 | 2,569 |
Interest rate lock commitments | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 6,928 | 2,935 |
Net amount of liabilities in the consolidated balance sheet | $ 6,928 | $ 2,935 |
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 | 9 Months Ended | |||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |
Change in fair value due to: | |||||
Total change in fair value | $ 147,669 | $ 127,217 | $ 260,474 | $ 1,368,219 | |
Mortgage servicing rights | |||||
Activity in MSRs carried at fair value | |||||
Balance at beginning of period | 3,412,648 | 2,213,539 | 2,581,174 | 2,926,790 | |
Additions - Resulting from loan sales | 432,429 | 245,946 | 1,386,324 | 753,795 | |
Additions - Purchases (purchase adjustments) | (287) | 25,473 | |||
Additions | 432,429 | 245,659 | 1,386,324 | 779,268 | |
Change in fair value due to: | |||||
Changes in valuation inputs used in valuation model | (119,674) | (26,208) | (46,298) | (1,040,751) | |
Other changes in fair value | (114,283) | (99,169) | (310,080) | (331,486) | |
Total change in fair value | (233,957) | (125,377) | (356,378) | (1,372,237) | |
Balance at end of period | 3,611,120 | $ 2,333,821 | 3,611,120 | $ 2,333,821 | |
Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and Notes payable secured by mortgage servicing assets | $ 3,600,978 | $ 3,600,978 | $ 2,577,964 |
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 | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Amortized cost: | ||||
Mortgage servicing liabilities resulting from loan sales | $ 98,147 | $ 6,576 | ||
Mortgage servicing liabilities | ||||
Amortized cost: | ||||
Balance at beginning of period | $ 100,091 | $ 29,858 | 45,324 | 29,140 |
Mortgage servicing liabilities resulting from loan sales | 33,764 | 98,147 | 6,576 | |
Changes in valuation inputs used in valuation model | (54,222) | 10,822 | (36,375) | 24,927 |
Other changes in fair value | (32,066) | (8,982) | (59,529) | (28,945) |
Total change in fair value | (86,288) | 1,840 | (95,904) | (4,018) |
Balance at end of period | $ 47,567 | $ 31,698 | $ 47,567 | $ 31,698 |
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 | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Contractual servicing fees | $ 216,592 | $ 203,696 | $ 635,620 | $ 601,527 |
Other fees: | ||||
Other | 30,463 | 27,920 | 91,793 | 85,218 |
Mortgage servicing rights | ||||
Contractual servicing fees | 216,592 | 203,696 | 635,620 | 601,527 |
Other fees: | ||||
Late charges | 7,480 | 7,615 | 22,076 | 28,718 |
Other | 7,457 | 6,960 | 23,079 | 17,781 |
Bank Servicing Fees | $ 231,529 | $ 218,271 | $ 680,775 | $ 648,026 |
Leases (Details)
Leases (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |
Leases | |||||
Operating lease option to extend | true | ||||
Lease expenses: | |||||
Operating leases | $ 4,671 | $ 4,144 | $ 13,545 | $ 12,110 | |
Short-term leases | 196 | 457 | 666 | 937 | |
Total lease cost | 4,867 | 4,601 | 14,211 | 13,047 | |
Payments for operating leases | 5,210 | 4,418 | 15,395 | 13,212 | |
Right-of-use assets obtained in exchange for lease obligations | $ 13,058 | $ 1,721 | $ 20,871 | $ 8,219 | |
Remaining lease term (in year) | 6 years | 6 years 4 months 24 days | 6 years | 6 years 4 months 24 days | |
Discount rate (as a percent) | 4.00% | 4.20% | 4.00% | 4.20% | |
Operating lease liabilities | |||||
2022 | $ 21,207 | $ 21,207 | |||
2023 | 21,875 | 21,875 | |||
2024 | 21,917 | 21,917 | |||
2025 | 21,529 | 21,529 | |||
2026 | 17,806 | 17,806 | |||
Thereafter | 23,421 | 23,421 | |||
Total lease payments | 127,755 | 127,755 | |||
Less imputed interest | (22,303) | (22,303) | |||
Total | $ 105,452 | $ 105,452 | $ 94,193 | ||
Minimum | |||||
Leases | |||||
Remaining operating lease term | 1 year | 1 year | |||
Maximum | |||||
Leases | |||||
Remaining operating lease term | 10 years | 10 years | |||
Operating lease renewal term | 5 years | 5 years |
Other Assets - Other (Details)
Other Assets - Other (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Carrying value: | ||
Capitalized software, net | $ 97,627 | $ 81,434 |
Margin deposits | 93,318 | 116,881 |
Prepaid Expense | 67,308 | 53,975 |
Deposits | 64,583 | 153,054 |
Furniture, fixtures, equipment and building improvements, net | 31,842 | 32,217 |
Net servicing fee receivables | 20,590 | 42,282 |
Real estate acquired in settlement of loans | 7,643 | 12,158 |
Other | 184,865 | 200,168 |
Other assets | 567,776 | 692,169 |
Assets pledged to secure Obligation under capital lease: | ||
Capitalized software, net | 5,277 | 7,675 |
Furniture, fixture, equipment and building improvements, net | 4,504 | 5,689 |
Assets securing capital lease | $ 74,364 | $ 166,418 |
Short-Term Borrowings - Assets
Short-Term Borrowings - Assets Sold Under Agreement to Repurchase (Details) - USD ($) | Apr. 28, 2021 | Dec. 19, 2016 | Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | Apr. 01, 2020 |
During the period: | ||||||||
Total interest expense | $ 35,783,000 | $ 27,322,000 | $ 132,585,000 | $ 70,493,000 | ||||
Carrying value: | ||||||||
Unpaid principal balance | 6,903,302,000 | 6,903,302,000 | ||||||
Unamortized debt issuance costs and premiums | (6,145,000) | (6,145,000) | $ (9,198,000) | |||||
Total loans sold under agreements to repurchase | 6,897,157,000 | 6,897,157,000 | 9,654,797,000 | |||||
PennyMac Holdings, L L C Repurchase Agreement | ||||||||
Carrying value: | ||||||||
Related Party Transaction, Maximum Principal Balance of Variable Funding Note | $ 1,000,000,000 | |||||||
Fannie Mae Repurchase Agreement | ||||||||
Carrying value: | ||||||||
Related Party Transaction, Maximum Principal Balance of Variable Funding Note | $ 1,000,000,000 | |||||||
FMSR VFN Repurchase Agreement | ||||||||
Carrying value: | ||||||||
Related Party Transaction, Maximum Principal Balance of Variable Funding Note | $ 250,000,000 | |||||||
Note Payable | ||||||||
During the period: | ||||||||
Average balance of assets sold under agreements to repurchase | 1,300,000,000 | 1,300,000,000 | 1,300,000,000 | 1,300,000,000 | ||||
Carrying value: | ||||||||
Amortization of debt issuance costs | 570,000 | 459,000 | 1,700,000 | 1,400,000 | ||||
Assets sold under agreements to repurchase | ||||||||
During the period: | ||||||||
Average balance of assets sold under agreements to repurchase | $ 6,031,491,000 | $ 3,363,140,000 | $ 7,336,341,000 | $ 2,669,336,000 | ||||
Weighted-average interest rate (as a percent) | 2.11% | 2.68% | 2.12% | 3.06% | ||||
Total interest expense | $ 35,783,000 | $ 27,322,000 | $ 132,585,000 | $ 70,493,000 | ||||
Maximum daily amount outstanding | 8,044,148,000 | 7,267,046,000 | 10,969,029,000 | 7,267,046,000 | ||||
Carrying value: | ||||||||
Unpaid principal balance | 6,903,302,000 | 6,903,302,000 | 9,663,995,000 | |||||
Unamortized debt issuance costs | (6,145,000) | (6,145,000) | (9,198,000) | |||||
Total loans sold under agreements to repurchase | $ 6,897,157,000 | $ 6,897,157,000 | $ 9,654,797,000 | |||||
Weighted average interest rate (as a percent) | 1.82% | 1.82% | 1.90% | |||||
Available borrowing capacity committed | $ 766,389,000 | $ 766,389,000 | $ 372,803,000 | |||||
Available borrowing capacity uncommitted | 8,180,309,000 | 8,180,309,000 | 2,163,202,000 | |||||
Available borrowing capacity | 8,946,698,000 | 8,946,698,000 | 2,536,005,000 | |||||
Margin deposits placed with counterparties | 10,875,000 | 10,875,000 | 5,625,000 | |||||
Amortization of debt issuance costs | 3,700,000 | $ 4,800,000 | 15,500,000 | $ 9,200,000 | ||||
Assets sold under agreements to repurchase | Loans held for sale | ||||||||
Carrying value: | ||||||||
Fair value of assets pledged to secure | 8,826,793,000 | 8,826,793,000 | 10,912,178,000 | |||||
Assets sold under agreements to repurchase | Mortgage servicing rights | ||||||||
Carrying value: | ||||||||
Fair value of assets pledged to secure | 3,349,503,000 | 3,349,503,000 | 2,490,267,000 | |||||
Assets sold under agreements to repurchase | Servicing advances | ||||||||
Carrying value: | ||||||||
Fair value of assets pledged to secure | 203,236,000 | 203,236,000 | 413,484,000 | |||||
Assets sold under agreements to repurchase | Financing receivable | ||||||||
Carrying value: | ||||||||
Fair value of assets pledged to secure | 80,862,000 | |||||||
Assets sold under agreements to repurchase | Deposits | ||||||||
Carrying value: | ||||||||
Fair value of assets pledged to secure | $ 64,583,000 | $ 64,583,000 | $ 153,054,000 | |||||
PLS | Credit Suisse First Boston Mortgage Capital LLC | Note Payable | ||||||||
Mortgage loans sold under agreement to repurchase | ||||||||
Maximum loan amount | $ 600,000,000 |
Short-Term Borrowings - Maturit
Short-Term Borrowings - Maturities of Outstanding Advances Under Repurchase Agreements (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2021USD ($) | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 6,903,302 |
Weighted-average maturity (in months) | 2 months 18 days |
Within 30 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 1,791,971 |
Over 30 to 90 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | 4,073,983 |
Over 90 to 180 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | 824,526 |
Over 180 days to one year | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | 112,822 |
Over one year to two year | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 100,000 |
Short-Term Borrowings - Mortgag
Short-Term Borrowings - Mortgage Loans Sold Under Agreement to Repurchase by Counterparty (Details) - Assets sold under agreements to repurchase $ in Thousands | Sep. 30, 2021USD ($) |
Credit Suisse First Boston Mortgage Capital LLC Tranche Two | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 2,403,804 |
Credit Suisse First Boston Mortgage Capital LLC Tranche One | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 255,253 |
Bank of America, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 753,370 |
JP Morgan Chase Bank | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 372,221 |
JP Morgan | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 54,487 |
BNP Paribas | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 152,152 |
Barclays | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 78,565 |
Goldman Sachs | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 246,809 |
Citibank, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 5,401 |
Morgan Stanley Bank | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 20,794 |
Royal Bank of Canada | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 78,230 |
Wells Fargo Bank, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 10,636 |
Short-Term Borrowings - Mortg_2
Short-Term Borrowings - Mortgage Loan Participation and Sale Agreement (Details) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||||
Sep. 30, 2021USD ($) | Sep. 30, 2020USD ($) | Sep. 30, 2021USD ($) | Sep. 30, 2020USD ($) | Dec. 31, 2020USD ($) | Jul. 30, 2021USD ($)item | Nov. 01, 2018USD ($) | |
During the period: | |||||||
Total interest expense | $ 1,026,000 | $ 999,000 | $ 3,160,000 | $ 3,870,000 | |||
Carrying value: | |||||||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 519,784,000 | 519,784,000 | $ 521,477,000 | ||||
Fair value of loans pledged to secure | 541,313,000 | 541,313,000 | 545,500,000 | ||||
Mortgage Loan Participation and Sale Agreement member | |||||||
During the period: | |||||||
Average balance | $ 237,849,000 | $ 235,713,000 | $ 256,109,000 | $ 227,460,000 | |||
Weighted-average interest rate (as a percent) | 1.44% | 1.40% | 1.38% | 1.98% | |||
Total interest expense | $ 1,026,000 | $ 999,000 | $ 3,160,000 | $ 3,870,000 | |||
Carrying value: | |||||||
Unpaid principal balance of mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 519,784,000 | 519,784,000 | 521,477,000 | ||||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 519,784,000 | $ 519,784,000 | $ 521,477,000 | ||||
Weighted average interest rate (as a percent) | 1.46% | 1.46% | 1.39% | ||||
Fair value of loans pledged to secure | $ 541,313,000 | $ 541,313,000 | $ 545,500,000 | ||||
Amortization of debt issuance costs | 172,000 | 172,000 | 516,000 | 490,000 | |||
Mortgage Loan Participation and Sale Agreement member | Maximum | |||||||
Carrying value: | |||||||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 532,819,000 | 538,074,000 | 532,819,000 | 540,977,000 | |||
Note Payable | |||||||
Carrying value: | |||||||
Unamortized debt issuance costs | (2,824,000) | (2,824,000) | (4,160,000) | ||||
Amortization of debt issuance costs | $ 570,000 | $ 459,000 | 1,700,000 | $ 1,400,000 | |||
Syndicated Repurchase Agreement | |||||||
Short-term Debt [Line Items] | |||||||
Number of indirect wholly owned subsidiaries entered into agreements | item | 2 | ||||||
The number of existing variable funding note repurchase agreements | item | 2 | ||||||
Previous maximum aggregate purchase price | $ 400,000,000 | ||||||
Maximum aggregate purchase price | 500,000,000 | ||||||
Syndicated Repurchase Agreement SAR | |||||||
Short-term Debt [Line Items] | |||||||
Maximum aggregate purchase price | $ 600,000,000 | ||||||
Revolving credit agreement | Note Payable | |||||||
Carrying value: | |||||||
Maximum loan amount | $ 150,000,000 | ||||||
Increase in loan amount | $ 0 | $ 0 |
Long-Term Debt - Obligations Un
Long-Term Debt - Obligations Under Capital Lease (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |
Leases | |||||
Average balance | $ 6,804 | $ 15,179 | $ 9,072 | $ 17,253 | |
Weighted average interest rate | 2.09% | 2.16% | 2.11% | 2.69% | |
Total interest expense | $ 36 | $ 83 | $ 143 | $ 354 | |
Unpaid principal balance | $ 5,583 | $ 5,583 | $ 11,864 | ||
Weighted average interest rate | 2.08% | 2.08% | 2.15% | ||
Capitalized software pledged to creditors | $ 5,277 | $ 5,277 | $ 7,675 | ||
Furniture, fixtures, equipment and building improvements pledged to creditors | 4,504 | 4,504 | $ 5,689 | ||
Maximum | |||||
Leases | |||||
Maximum daily amount outstanding | $ 7,677 | $ 16,749 | $ 11,864 | $ 20,810 |
Long-Term Debt - Note Payable (
Long-Term Debt - Note Payable (Details) - USD ($) | Oct. 07, 2021 | Sep. 16, 2021 | Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | Feb. 01, 2018 |
During the period: | ||||||||
Total interest expense | $ 9,896,000 | $ 10,177,000 | $ 29,888,000 | $ 36,131,000 | ||||
Unpaid principal balance | 6,903,302,000 | 6,903,302,000 | ||||||
Unamortized debt issuance costs and premiums | (6,145,000) | (6,145,000) | $ (9,198,000) | |||||
Carrying value: | ||||||||
Notes payable | 1,297,176,000 | 1,297,176,000 | 1,295,840,000 | |||||
Notes payable | ||||||||
Maximum loan amount | 1,300,000,000 | 1,300,000,000 | ||||||
Note Payable | ||||||||
During the period: | ||||||||
Average balance | $ 1,300,000,000 | $ 1,300,000,000 | $ 1,300,000,000 | $ 1,300,000,000 | ||||
Weighted-average interest rate (as a percent) | 2.87% | 2.99% | 2.89% | 3.57% | ||||
Total interest expense | $ 9,896,000 | $ 10,177,000 | $ 29,888,000 | $ 36,131,000 | ||||
Carrying value: | ||||||||
Unpaid principal balance | 1,300,000,000 | 1,300,000,000 | 1,300,000,000 | |||||
Unamortized debt issuance costs | (2,824,000) | (2,824,000) | (4,160,000) | |||||
Notes payable | $ 1,297,176,000 | $ 1,297,176,000 | $ 1,295,840,000 | |||||
Weighted-average interest rate (as a percent) | 2.83% | 2.83% | 2.93% | |||||
Amortization of Financing Costs | $ 570,000 | 459,000 | $ 1,700,000 | 1,400,000 | ||||
Note Payable | Credit Suisse AG | ||||||||
Long-Term debt | ||||||||
Maximum loan amount | $ 400,000,000 | |||||||
Note Payable | Mortgage servicing rights | ||||||||
Carrying value: | ||||||||
Assets pledged to secure | 3,600,978,000 | 3,600,978,000 | $ 2,421,326,000 | |||||
Notes payable | ||||||||
Increase in loan amount | 0 | $ 0 | 0 | $ 0 | ||||
Note Payable | Servicing advances | ||||||||
Carrying value: | ||||||||
Assets pledged to secure | 203,236,000 | 203,236,000 | 413,484,000 | |||||
Note Payable | Deposits | ||||||||
Carrying value: | ||||||||
Assets pledged to secure | 64,583,000 | $ 64,583,000 | 153,054,000 | |||||
Notes Payable Term Loan 2018-GT1 | ||||||||
Notes payable | ||||||||
Debt instrument option to extend period | 2 years | |||||||
Notes Payable Term Loan 2018-GT1 | LIBOR | ||||||||
Notes payable | ||||||||
Maximum loan amount | 650,000,000 | $ 650,000,000 | ||||||
Interest rate spread | 2.85% | |||||||
Notes Payable Term Loan 2018-GT2 | ||||||||
Notes payable | ||||||||
Debt instrument option to extend period | 2 years | |||||||
Notes Payable Term Loan 2018-GT2 | LIBOR | ||||||||
Notes payable | ||||||||
Maximum loan amount | 650,000,000 | $ 650,000,000 | ||||||
Interest rate spread | 2.65% | |||||||
Unsecured Senior Note | ||||||||
During the period: | ||||||||
Average balance | $ 1,381,522,000 | $ 1,229,853,000 | ||||||
Weighted-average interest rate (as a percent) | 4.91% | 4.86% | ||||||
Total interest expense | $ 17,442,000 | $ 46,281,000 | ||||||
Unpaid principal balance | 1,800,000,000 | 1,800,000,000 | 650,000,000 | |||||
Unamortized debt issuance costs and premiums | (16,770,000) | (16,770,000) | (4,180,000) | |||||
Debt Instrument Unamortized Premium And Debt Issuance Costs Net | $ 1,783,230,000 | $ 1,783,230,000 | $ 645,820,000 | |||||
Weighted average interest rate (as a percent) | 5.07% | 5.07% | 5.38% | |||||
Carrying value: | ||||||||
Amortization of Financing Costs | $ 492,000 | $ 1,400,000 | ||||||
Notes payable | ||||||||
Maximum loan amount | 1,800,000,000 | $ 1,800,000,000 | ||||||
Redemption rate (as a percent) | 100.00% | |||||||
Unsecured Senior Note | Before October 15, 2022 with up to 40% principal redeemed | ||||||||
Notes payable | ||||||||
Redemption rate (as a percent) | 40.00% | |||||||
Unsecured Senior Notes One Due October 2025 | ||||||||
Notes payable | ||||||||
Maximum loan amount | 500,000,000 | $ 500,000,000 | ||||||
Interest rate spread | 5.38% | |||||||
Unsecured Senior Notes Two Due October 2025 | ||||||||
Notes payable | ||||||||
Maximum loan amount | 150,000,000 | $ 150,000,000 | ||||||
Interest rate spread | 5.38% | 5.38% | ||||||
Unsecured Senior Notes Due February 2029 | ||||||||
Notes payable | ||||||||
Maximum loan amount | 650,000,000 | $ 650,000,000 | ||||||
Interest rate spread | 4.25% | 4.25% | ||||||
Unsecured Senior Notes Due September 2031 | ||||||||
Notes payable | ||||||||
Maximum loan amount | $ 500,000,000 | $ 500,000,000 | $ 500,000,000 | |||||
Interest rate spread | 5.75% | 5.75% | 5.75% |
Long-Term Debt - Maturities (De
Long-Term Debt - Maturities (Details) $ in Thousands | Sep. 30, 2021USD ($) |
Long-Term debt | |
2022 | $ 5,583 |
2023 | 1,300,000 |
2026 | 650,000 |
Thereafter | 1,150,000 |
Total | 3,105,583 |
Obligations under capital lease | |
Long-Term debt | |
2022 | 5,583 |
Total | 5,583 |
Note Payable | |
Long-Term debt | |
2023 | 1,300,000 |
Total | 1,300,000 |
Unsecured Senior Note | |
Long-Term debt | |
2026 | 650,000 |
Thereafter | 1,150,000 |
Total | $ 1,800,000 |
Liability for Losses Under Re_3
Liability for Losses Under Representations and Warranties (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
During the year: | ||||
Balance at beginning of period | $ 44,335 | $ 25,909 | $ 32,688 | $ 21,446 |
Provision for losses on loans sold resulting from sales of loans | 6,561 | 5,219 | 26,918 | 13,120 |
Provision for losses on loans sold reduction in liability due to change in estimate | (4,355) | (2,473) | (11,680) | (5,419) |
Losses incurred, net | (735) | (151) | (2,120) | (643) |
Balance at end of period | 45,806 | 28,504 | 45,806 | 28,504 |
Unpaid principal balance of loans subject to representations and warranties at end of period | $ 245,528,045 | $ 199,194,983 | $ 245,528,045 | $ 199,194,983 |
Income Taxes (Details)
Income Taxes (Details) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
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) | 26.60% | 26.50% | 26.20% | 26.40% |
Commitments and Contingencies -
Commitments and Contingencies - Other (Details) $ in Billions | Sep. 30, 2021USD ($) |
Commitments and Contingencies. | |
Total commitments to purchase and fund mortgage loans | $ 15.8 |
Stockholders' Equity (Details)
Stockholders' Equity (Details) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | 52 Months Ended | ||||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Aug. 31, 2021 | Feb. 28, 2021 | |
Stockholders' Equity | |||||||
Cost of shares of common stock repurchased | $ 257,354 | $ 6,927 | $ 700,793 | $ 248,210 | |||
Common Stock | |||||||
Stockholders' Equity | |||||||
Authorized stock repurchase amount | $ 2,000,000 | $ 1,000,000 | |||||
Shares of common stock repurchased | 4,195 | 118 | 11,422 | 7,331 | 21,128 | ||
Cost of shares of common stock repurchased | $ 257,354 | $ 6,927 | $ 700,793 | $ 248,210 | $ 1,053,220 |
Net Gains on Loans Held for S_3
Net Gains on Loans Held for Sale (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Cash gains: | ||||
Loans | $ 135,841 | $ 605,559 | $ 605,858 | $ 1,219,732 |
Hedging activities | (9,788) | (72,268) | 400,786 | (421,947) |
Cash gain (loss), net of effects of cash hedging, on sale of loans held for sale | 126,053 | 533,291 | 1,006,644 | 797,785 |
Non-cash gain: | ||||
Mortgage servicing rights and mortgage servicing liabilities resulting from loan sales | 398,665 | 245,946 | 1,288,177 | 747,219 |
Provision for losses relating to representations and warranties on loans sold pursuant to loan sales | (6,561) | (5,219) | (26,918) | (13,120) |
Provision for losses relating to representations and warranties on loans sold reduction in liability due to change in estimate | 4,355 | 2,473 | 11,680 | 5,419 |
Change in fair value of loans and derivatives held at year end: | ||||
Interest rate lock commitments | 17,313 | 173,381 | (316,103) | 404,795 |
Loans | 109,411 | (79,776) | 164,311 | (140,878) |
Hedging derivatives | (9,506) | (5,052) | (125,276) | 17,955 |
From non-affiliates | 639,730 | 865,044 | 2,002,515 | 1,819,175 |
Recapture payable to PennyMac Mortgage Investment Trust | (12,976) | (9,775) | (38,772) | 62,549 |
Net gains on loans held for sale at fair value | $ 626,754 | $ 855,269 | $ 1,963,743 | $ 1,881,724 |
Net Interest Expense (Details)
Net Interest Expense (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Interest income: | ||||
Cash and short-term investments | $ 768 | $ 1,259 | $ 2,502 | $ 4,863 |
Loans held for sale at fair value | 63,726 | 41,854 | 215,003 | 120,866 |
Placement fees relating to custodial funds | 3,818 | 9,163 | 13,298 | 44,419 |
Interest income, excluding related parties | 68,312 | 52,276 | 230,803 | 170,148 |
Interest income | 68,312 | 52,952 | 231,190 | 172,834 |
Interest expense: | ||||
Assets sold under agreements to repurchase | 35,783 | 27,322 | 132,585 | 70,493 |
Mortgage loan participation purchase and sale agreements | 1,026 | 999 | 3,160 | 3,870 |
Obligations under capital lease | 36 | 83 | 143 | 354 |
Notes payable | 9,896 | 10,177 | 29,888 | 36,131 |
Unsecured senior notes | 17,442 | 46,281 | ||
Corporate revolving line of credit | 561 | 1,537 | ||
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations | 24,886 | 20,711 | 83,466 | 54,536 |
Interest on mortgage loan impound deposits | 1,642 | 1,256 | 4,052 | 4,561 |
Interest expense, non-affiliates | 90,711 | 61,109 | 299,575 | 171,482 |
Interest expense | 90,711 | 63,179 | 300,855 | 177,898 |
Net interest expense | (22,399) | (10,227) | (69,665) | (5,064) |
PMT | ||||
Interest income: | ||||
From PennyMac Mortgage Investment Trust | 676 | 387 | 2,686 | |
Interest expense: | ||||
To PennyMac Mortgage Investment Trust Excess servicing spread financing at fair value | 2,070 | 1,280 | 6,416 | |
Assets sold under agreements to repurchase | ||||
Interest expense: | ||||
Assets sold under agreements to repurchase | $ 35,783 | $ 27,322 | $ 132,585 | $ 70,493 |
Stock-based Compensation - Othe
Stock-based Compensation - Other (Details) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021USD ($)itemshares | Sep. 30, 2020USD ($)shares | Sep. 30, 2021USD ($)itemshares | Sep. 30, 2020USD ($)shares | |
Stock-Based Compensation | ||||
Number of stock based compensation plans | item | 1 | 1 | ||
Grant date fair value | $ | $ 33,419 | $ 28,381 | ||
Stock-based compensation expense | $ | $ 8,824 | $ 7,095 | $ 28,595 | $ 26,220 |
Stock Options | ||||
Stock-Based Compensation | ||||
Granted (in units) | 249 | 273 | ||
Grant date fair value | $ | $ 5,116 | $ 2,770 | ||
Exercised (in units) | 104 | 152 | 289 | 476 |
Performance-based RSUs | ||||
Stock-Based Compensation | ||||
Granted (in units) | 310 | 422 | ||
Grant date fair value | $ | $ 18,237 | $ 14,788 | ||
Vested (in units) | 640 | 603 | ||
Time-based RSUs | ||||
Stock-Based Compensation | ||||
Granted (in units) | 171 | 310 | ||
Grant date fair value | $ | $ 10,066 | $ 10,823 | ||
Vested (in units) | 2 | 7 | 309 | 355 |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Diluted earnings per share of common stock: | ||||
Net income attributable to common stockholders | $ 249,310 | $ 535,160 | $ 830,407 | $ 1,194,080 |
Weighted-average common stock outstanding applicable to basic earnings per share (in shares) | 62,085 | 72,439 | 65,671 | 76,292 |
Effect of dilutive shares: | ||||
Common shares issuable under stock-based compensation plans (in shares) | 3,567 | 3,699 | 3,670 | 3,326 |
Weighted-average shares of common stock applicable to diluted earnings per share (in shares) | 65,652 | 76,138 | 69,341 | 79,618 |
Basic earnings per share of common stock (in dollars per share) | $ 4.02 | $ 7.39 | $ 12.65 | $ 15.65 |
Diluted earnings per share of common stock (in dollars per share) | $ 3.80 | $ 7.03 | $ 11.98 | $ 15 |
Total anti-dilutive shares and units (in shares) | 551 | 511 | 552 | |
Performance-based RSUs | ||||
Effect of dilutive shares: | ||||
Total anti-dilutive shares and units (in shares) | 302 | 244 | 335 | |
Time-based RSUs | ||||
Effect of dilutive shares: | ||||
Total anti-dilutive shares and units (in shares) | 68 | |||
Stock Options | ||||
Effect of dilutive shares: | ||||
Total anti-dilutive shares and units (in shares) | 249 | 199 | 217 | |
Weighted-average exercise price of anti-dilutive stock options (in dollars per share) | $ 58.85 | $ 58.85 | $ 35.03 |
Supplemental Cash Flow Inform_3
Supplemental Cash Flow Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Cash paid for interest | $ 301,014 | $ 184,087 | ||
Cash paid for income taxes, net | 257,597 | 260,723 | ||
Non-cash investing activity: | ||||
Mortgage servicing rights resulting from loan sales | 1,386,324 | 753,795 | ||
Operating right-of-use assets recognized | $ 13,058 | $ 1,721 | 20,871 | 8,219 |
Mortgage servicing liabilities resulting from loan sales | 98,147 | 6,576 | ||
Non-cash financing activity: | ||||
Issuance of Excess servicing spread payable to PennyMac Mortgage Investment Trust pursuant to a recapture agreement | 557 | 1,393 | ||
Issuance of common stock in settlement of director fees | $ 50 | $ 151 | $ 144 |
Regulatory Capital and Liquid_3
Regulatory Capital and Liquidity Requirements (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Sep. 30, 2021 | Dec. 31, 2015 | Dec. 31, 2020 |
Fannie Mae / Freddie Mac - PLS | ||||
Regulatory Net Worth and Agency Capital Requirements | ||||
Net worth | $ 5,593,909 | $ 4,454,680 | ||
Capital Requirement | 696,005 | 633,331 | ||
Liquidity | 432,263 | 506,096 | ||
Liquidity requirement | $ 90,400 | $ 84,444 | ||
Tangible net worth / Total assets ratio actual | 29.00% | 14.00% | ||
Tangible net worth / Total assets ratio requirement | 6.00% | 6.00% | ||
Ginnie Mae - PLS | ||||
Regulatory Net Worth and Agency Capital Requirements | ||||
Net worth | $ 5,204,078 | $ 3,794,112 | ||
Capital Requirement | 1,048,132 | 1,058,641 | ||
Liquidity | 432,263 | 506,096 | ||
Liquidity requirement | $ 216,767 | $ 215,722 | ||
Adjusted net worth / Total assets ratio actual | 27.00% | 12.00% | ||
Adjusted net worth / Total assets ratio requirement | 6.00% | 6.00% | ||
Ginnie Mae - PennyMac | 1-4 unit servicing portfolio | ||||
Regulatory Net Worth and Agency Capital Requirements | ||||
Net worth | $ 2,500 | |||
FHFA net worth requirement spread | 0.35% | |||
FHFA liquidity spread of UPB serviced | 0.10% | |||
Liquidity requirement | $ 1,000 | |||
HUD - PLS | ||||
Regulatory Net Worth and Agency Capital Requirements | ||||
Net worth | 5,204,078 | $ 3,794,112 | ||
Capital Requirement | $ 2,500 | $ 2,500 | ||
Federal Housing Finance Agency | ||||
Regulatory Net Worth and Agency Capital Requirements | ||||
Net worth | $ 2,500 | |||
FHFA liquidity spread of UPB serviced | 0.035% | |||
FHFA additional liquidity spread of UPB in excess of set percent | 2.00% | |||
FHFA additional liquidity spread of UPB excluded | 70.00% | |||
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 | 9 Months Ended | |||
Sep. 30, 2021USD ($) | Sep. 30, 2020USD ($) | Sep. 30, 2021USD ($)segment | Sep. 30, 2020USD ($) | Dec. 31, 2020USD ($) | |
Segments and Related Information | |||||
Number of segments | segment | 3 | ||||
Revenues: | |||||
Net gains on loans held for sale at fair value | $ 626,754 | $ 855,269 | $ 1,963,743 | $ 1,881,724 | |
Loan origination fees | 94,581 | 75,572 | 295,909 | 192,091 | |
Fulfillment fees from PennyMac Mortgage Investment Trust | 158,777 | 149,594 | |||
Net loan servicing fees | 33,630 | 132,807 | 88,221 | 412,952 | |
Net interest income (expense): | |||||
Interest income | 68,312 | 52,952 | 231,190 | 172,834 | |
Interest expense, before non-segment activities | 90,711 | 63,179 | 300,855 | 177,898 | |
Net interest expense, before non-segment activities | (22,399) | (10,227) | (69,665) | (5,064) | |
Management fees | 8,520 | 8,508 | 28,882 | 25,851 | |
Other | 1,604 | 3,224 | 7,683 | 6,303 | |
Total net revenues, before non-segment activities | 786,612 | 1,119,992 | 2,473,550 | 2,663,451 | |
Expenses | 447,063 | 391,701 | 1,348,478 | 1,040,068 | |
Income before provision for income taxes | 339,549 | 728,291 | 1,125,072 | 1,623,383 | |
Assets: | |||||
Segment assets at year end | 19,745,138 | 31,180,865 | 19,745,138 | 31,180,865 | $ 31,597,795 |
PMT | |||||
Revenues: | |||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 43,922 | 54,839 | 158,777 | 149,594 | |
Net interest income (expense): | |||||
Management fees | 8,520 | 8,508 | $ 28,882 | 25,851 | |
Mortgage banking | |||||
Segments and Related Information | |||||
Number of segments | segment | 2 | ||||
Operating segment | |||||
Assets: | |||||
Segment assets at year end | 19,745,138 | 31,180,865 | $ 19,745,138 | 31,180,865 | |
Operating segment | Investment management | |||||
Net interest income (expense): | |||||
Interest expense, before non-segment activities | 2 | 4 | 8 | 18 | |
Net interest expense, before non-segment activities | (2) | (4) | (8) | (18) | |
Management fees | 8,520 | 8,508 | 28,882 | 25,851 | |
Other | 1,238 | 1,290 | 3,968 | 4,347 | |
Total net revenues, before non-segment activities | 9,756 | 9,794 | 32,842 | 30,180 | |
Expenses | 8,727 | 6,477 | 26,295 | 18,395 | |
Income before provision for income taxes | 1,029 | 3,317 | 6,547 | 11,785 | |
Assets: | |||||
Segment assets at year end | 20,727 | 17,917 | 20,727 | 17,917 | |
Operating segment | Mortgage banking | |||||
Revenues: | |||||
Net gains on loans held for sale at fair value | 626,754 | 855,269 | 1,963,743 | 1,881,724 | |
Loan origination fees | 94,581 | 75,572 | 295,909 | 192,091 | |
Fulfillment fees from PennyMac Mortgage Investment Trust | 158,777 | 149,594 | |||
Net loan servicing fees | 33,630 | 132,807 | 88,221 | 412,952 | |
Net interest income (expense): | |||||
Interest income | 68,312 | 52,952 | 231,190 | 172,834 | |
Interest expense, before non-segment activities | 90,709 | 63,175 | 300,847 | 177,880 | |
Net interest expense, before non-segment activities | (22,397) | (10,223) | (69,657) | (5,046) | |
Other | 366 | 1,934 | 3,715 | 1,956 | |
Total net revenues, before non-segment activities | 776,856 | 1,110,198 | 2,440,708 | 2,633,271 | |
Expenses | 438,336 | 385,224 | 1,322,183 | 1,021,673 | |
Income before provision for income taxes | 338,520 | 724,974 | 1,118,525 | 1,611,598 | |
Assets: | |||||
Segment assets at year end | 19,724,411 | 31,162,948 | 19,724,411 | 31,162,948 | |
Operating segment | Mortgage banking | PMT | |||||
Revenues: | |||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 43,922 | 54,839 | |||
Operating segment | Mortgage banking Production | |||||
Revenues: | |||||
Net gains on loans held for sale at fair value | 496,568 | 700,830 | 1,431,824 | 1,637,193 | |
Loan origination fees | 94,581 | 75,572 | 295,909 | 192,091 | |
Fulfillment fees from PennyMac Mortgage Investment Trust | 158,777 | 149,594 | |||
Net interest income (expense): | |||||
Interest income | 33,307 | 26,050 | 94,668 | 71,840 | |
Interest expense, before non-segment activities | 28,570 | 18,325 | 103,555 | 51,124 | |
Net interest expense, before non-segment activities | 4,737 | 7,725 | (8,887) | 20,716 | |
Other | 218 | 132 | 1,445 | 483 | |
Total net revenues, before non-segment activities | 640,026 | 839,098 | 1,879,068 | 2,000,077 | |
Expenses | 309,460 | 225,817 | 941,165 | 608,602 | |
Income before provision for income taxes | 330,566 | 613,281 | 937,903 | 1,391,475 | |
Assets: | |||||
Segment assets at year end | 7,926,709 | 7,319,838 | 7,926,709 | 7,319,838 | |
Operating segment | Mortgage banking Production | PMT | |||||
Revenues: | |||||
Fulfillment fees from PennyMac Mortgage Investment Trust | 43,922 | 54,839 | |||
Operating segment | Mortgage banking Servicing | |||||
Revenues: | |||||
Net gains on loans held for sale at fair value | 130,186 | 154,439 | 531,919 | 244,531 | |
Net loan servicing fees | 33,630 | 132,807 | 88,221 | 412,952 | |
Net interest income (expense): | |||||
Interest income | 35,005 | 26,902 | 136,522 | 100,994 | |
Interest expense, before non-segment activities | 62,139 | 44,850 | 197,292 | 126,756 | |
Net interest expense, before non-segment activities | (27,134) | (17,948) | (60,770) | (25,762) | |
Other | 148 | 1,802 | 2,270 | 1,473 | |
Total net revenues, before non-segment activities | 136,830 | 271,100 | 561,640 | 633,194 | |
Expenses | 128,876 | 159,407 | 381,018 | 413,071 | |
Income before provision for income taxes | 7,954 | 111,693 | 180,622 | 220,123 | |
Assets: | |||||
Segment assets at year end | $ 11,797,702 | $ 23,843,110 | $ 11,797,702 | $ 23,843,110 |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) $ / shares in Units, $ in Billions | Nov. 04, 2021 | Aug. 31, 2021 | Feb. 28, 2021 |
Common Stock | |||
Securities Repurchase Agreements | |||
Authorized stock repurchase amount | $ 2 | $ 1 | |
Subsequent Event | |||
Subsequent Event | |||
Dividends declared (in dollars per share) | $ 0.20 |