Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2022 | Oct. 31, 2022 | |
Document and Entity Information | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Sep. 30, 2022 | |
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, $0.0001 par value | |
Trading Symbol | PFSI | |
Security Exchange Name | NYSE | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 50,081,414 | |
Document Fiscal Year Focus | 2022 | |
Document Fiscal Period Focus | Q3 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
ASSETS | ||
Cash | $ 1,558,679 | $ 340,069 |
Short-term investment at fair value | 36,098 | 6,873 |
Loans held for sale at fair value (includes $4,012,264 and $9,135,577 pledged to creditors) | 4,149,726 | 9,742,483 |
Derivative assets | 164,160 | 333,695 |
Servicing advances, net (includes valuation allowance of $63,713 and $120,940; $253,370 and $232,107 pledged to creditors) | 455,083 | 702,160 |
Mortgage servicing rights at fair value (includes $5,604,447 and $3,856,791 pledged to creditors) | 5,661,672 | 3,878,078 |
Operating lease right-of-use assets | 72,138 | 89,040 |
Investment in PennyMac Mortgage Investment Trust at fair value | 884 | 1,300 |
Receivable from PennyMac Mortgage Investment Trust | 32,306 | 40,091 |
Loans eligible for repurchase | 3,757,538 | 3,026,207 |
Other (includes $9,886 and $45,294 pledged to creditors) | 473,527 | 616,616 |
Total assets | 16,361,811 | 18,776,612 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 3,487,335 | 7,292,735 |
Mortgage loans participation purchase and sale agreements | 367,473 | 479,845 |
Notes payable secured by mortgage servicing assets | 1,793,972 | 1,297,622 |
Unsecured senior notes | 1,778,988 | 1,776,219 |
Obligations under capital lease | 3,489 | |
Derivative liabilities | 125,487 | 22,606 |
Mortgage servicing liabilities at fair value | 2,214 | 2,816 |
Accounts payable and accrued expenses | 358,187 | 359,413 |
Operating lease liabilities | 92,380 | 110,003 |
Payable to PennyMac Mortgage Investment Trust | 87,978 | 228,019 |
Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | 26,675 | 30,530 |
Income taxes payable | 964,307 | 685,262 |
Liability for loans eligible for repurchase | 3,757,538 | 3,026,207 |
Liability for losses under representations and warranties | 37,187 | 43,521 |
Total liabilities | 12,879,721 | 15,358,287 |
Commitments and contingencies - Note 16 | ||
STOCKHOLDERS' EQUITY | ||
Additional paid-in capital | 125,396 | |
Retained earnings | 3,482,085 | 3,292,923 |
Total stockholders' equity | 3,482,090 | 3,418,325 |
Total liabilities and stockholders' equity | 16,361,811 | 18,776,612 |
Common Class A [Member] | ||
STOCKHOLDERS' EQUITY | ||
Common stock - authorized 200,000,000 shares of $0.0001 par value; issued and outstanding, 51,011,021 and 56,867,202 shares respectively | $ 5 | $ 6 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Mortgage loans held for sale, pledged to creditors | $ 4,012,264 | $ 9,135,577 |
Servicing advances, net, valuation allowance | 63,713 | 120,940 |
Servicing advances pledged to creditors | 253,370 | 232,107 |
Mortgage servicing rights pledged to creditors | 5,604,447 | 3,856,791 |
Other assets pledged to creditors | $ 9,886 | $ 45,294 |
Common Class A [Member] | ||
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 | 51,011,021 | 56,867,202 |
Common stock, shares outstanding | 51,011,021 | 56,867,202 |
CONSOLIDATED STATEMENTS OF INCO
CONSOLIDATED STATEMENTS OF INCOME - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Net gains on loans held for sale at fair value: | ||||
Net gains on loans held for sale at fair value | $ 168,694 | $ 626,754 | $ 689,720 | $ 1,963,743 |
Loan origination fees | 34,037 | 94,581 | 141,840 | 295,909 |
Fulfillment fees from PennyMac Mortgage Investment Trust | 18,407 | 43,922 | 55,807 | 158,777 |
Loan servicing fees | ||||
Loan servicing fees | 313,080 | 267,758 | 906,688 | 787,224 |
Change in fair value of mortgage servicing rights and mortgage servicing liabilities | 95,411 | (147,669) | 420,424 | (260,474) |
Changes in fair value included in income | (1,037) | |||
Mortgage servicing rights hedging results | (164,749) | (86,459) | (558,614) | (437,492) |
Change in fair value of excess servicing spread financing payable to PennyMac Mortgage Investment Trust | (69,338) | (234,128) | (138,190) | (699,003) |
Net loan servicing fees | 243,742 | 33,630 | 768,498 | 88,221 |
Interest income: | ||||
Interest income | 82,994 | 68,312 | 186,740 | 231,190 |
Interest expense: | ||||
Interest expense | 82,965 | 90,711 | 231,399 | 300,855 |
Net interest income (expense) | 29 | (22,399) | (44,659) | (69,665) |
Management fees, net: | ||||
Management fees from PennyMac Mortgage Investment Trust | 7,731 | 8,520 | 23,758 | 28,882 |
Change in fair value of investment in and dividends received from PennyMac Mortgage Investment Trust | (119) | (67) | (311) | 478 |
Result of real estate acquired in settlement of loans | 528 | 378 | 1,881 | 1,698 |
Other | 3,241 | 1,293 | 8,775 | 5,507 |
Total net revenue | 476,290 | 786,612 | 1,645,309 | 2,473,550 |
Expenses | ||||
Compensation | 157,793 | 249,183 | 601,532 | 773,079 |
Loan origination | 28,356 | 80,932 | 148,620 | 243,999 |
Technology | 35,647 | 32,406 | 105,054 | 100,314 |
Professional services | 16,230 | 24,429 | 57,126 | 62,549 |
Marketing and advertising | 7,601 | 11,360 | 43,011 | 28,238 |
Occupancy and equipment | 11,299 | 9,389 | 30,139 | 27,456 |
Servicing | 20,399 | 27,892 | 22,204 | 78,365 |
Other | 13,493 | 11,472 | 40,105 | 34,478 |
Total expenses | 290,818 | 447,063 | 1,047,791 | 1,348,478 |
Income before provision for income taxes | 185,472 | 339,549 | 597,518 | 1,125,072 |
Provision for income taxes | 50,338 | 90,239 | 159,628 | 294,665 |
Net income attributable to PennyMac Financial Services, Inc. common stockholders | $ 135,134 | $ 249,310 | $ 437,890 | $ 830,407 |
Earnings per share | ||||
Basic (in dollars per share) | $ 2.59 | $ 4.02 | $ 8.10 | $ 12.65 |
Diluted (in dollars per share) | $ 2.46 | $ 3.80 | $ 7.69 | $ 11.98 |
Weighted-average shares outstanding | ||||
Basic (in shares) | 52,170 | 62,085 | 54,043 | 65,671 |
Diluted (in shares) | 54,968 | 65,652 | 56,913 | 69,341 |
Non-affiliates | ||||
Net gains on loans held for sale at fair value: | ||||
Net gains on loans held for sale at fair value | $ 170,342 | $ 639,730 | $ 705,772 | $ 2,002,515 |
Loan origination fees | 31,845 | 88,040 | 134,902 | 274,048 |
Loan servicing fees | ||||
Loan servicing fees | 270,336 | 216,592 | 774,483 | 635,620 |
Interest income: | ||||
Interest income | 82,994 | 68,312 | 186,740 | 230,803 |
Interest expense: | ||||
Interest expense | 82,965 | 90,711 | 231,399 | 299,575 |
PennyMac Mortgage Investment Trust | ||||
Net gains on loans held for sale at fair value: | ||||
Net gains on loans held for sale at fair value | (1,648) | (12,976) | (16,052) | (38,772) |
Loan origination fees | 2,192 | 6,541 | 6,938 | 21,861 |
Loan servicing fees | ||||
Loan servicing fees | 20,247 | 20,703 | 61,670 | 59,811 |
Interest income: | ||||
Interest income | 387 | |||
Interest expense: | ||||
Interest expense | 1,280 | |||
Others | ||||
Loan servicing fees | ||||
Loan servicing fees | $ 22,497 | $ 30,463 | $ 70,535 | $ 91,793 |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) shares in Thousands, $ in Thousands | Common Stock. | Additional Paid-in Capital [Member] | Retained Earnings [Member] | Total |
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 based compensation | 25,787 | 25,787 | ||
Stock based compensation (in shares) | 933 | |||
Issuance of common stock in settlement of directors' fees | 151 | 151 | ||
Issuance of common stock in settlement of directors' fees (in shares) | 3 | |||
Common stock dividends | (40,638) | (40,638) | ||
Repurchase of common stock | $ (1) | (700,792) | (700,793) | |
Repurchase of common stock (in shares) | (11,422) | |||
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 based compensation | 11,165 | 11,165 | ||
Stock based compensation (in shares) | 130 | |||
Issuance of common stock in settlement of directors' fees | 50 | 50 | ||
Issuance of common stock in settlement of directors' fees (in shares) | 1 | |||
Common stock dividends | (12,698) | (12,698) | ||
Repurchase of common stock | (257,354) | (257,354) | ||
Repurchase of common stock (in shares) | (4,195) | |||
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 Dec. 31, 2021 | $ 6 | 125,396 | 3,292,923 | 3,418,325 |
Balance (in shares) at Dec. 31, 2021 | 56,867 | |||
Changes in stockholders' equity | ||||
Net income | 437,890 | 437,890 | ||
Stock based compensation | 24,686 | 24,686 | ||
Stock based compensation (in shares) | 837 | |||
Issuance of common stock in settlement of directors' fees | 154 | 154 | ||
Issuance of common stock in settlement of directors' fees (in shares) | 3 | |||
Common stock dividends | (44,206) | (44,206) | ||
Repurchase of common stock | $ (1) | (150,236) | (204,522) | (354,759) |
Repurchase of common stock (in shares) | (6,696) | |||
Balance at Sep. 30, 2022 | $ 5 | 3,482,085 | 3,482,090 | |
Balance (in shares) at Sep. 30, 2022 | 51,011 | |||
Balance at Jun. 30, 2022 | $ 5 | 3,461,380 | 3,461,385 | |
Balance (in shares) at Jun. 30, 2022 | 52,939 | |||
Changes in stockholders' equity | ||||
Net income | 135,134 | 135,134 | ||
Stock based compensation | 6,863 | 6,863 | ||
Stock based compensation (in shares) | 20 | |||
Issuance of common stock in settlement of directors' fees | 52 | 52 | ||
Issuance of common stock in settlement of directors' fees (in shares) | 1 | |||
Common stock dividends | (21,642) | (21,642) | ||
Repurchase of common stock | $ (6,915) | (92,787) | (99,702) | |
Repurchase of common stock (in shares) | (1,949) | |||
Balance at Sep. 30, 2022 | $ 5 | $ 3,482,085 | $ 3,482,090 | |
Balance (in shares) at Sep. 30, 2022 | 51,011 |
CONSOLIDATED STATEMENTS OF CH_2
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY | ||||
Common Stock dividends (in dollars per share) | $ 0.20 | $ 0.20 | $ 0.60 | $ 0.60 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2022 | Sep. 30, 2021 | |
Cash flow from operating activities | ||
Net income | $ 437,890 | $ 830,407 |
Adjustments to reconcile net income to net cash provided by operating activities: | ||
Net gains on loans held for sale at fair value | (689,720) | (1,963,743) |
Change in fair value of mortgage servicing rights, mortgage servicing liabilities and excess servicing spread | (420,424) | 261,511 |
Mortgage servicing rights hedging gains | 558,614 | 437,492 |
Capitalization of interest and advance on loans held for sale | (3,122) | (4,573) |
Accrual of interest on excess servicing spread financing payable to PennyMac Mortgage Investment Trust | 1,280 | |
Amortization of debt issuance costs | 14,560 | 19,154 |
Change in fair value of investment in common shares of PennyMac Mortgage Investment Trust | 416 | (372) |
Results of real estate acquired in settlement of loans | (1,881) | (1,698) |
Stock based compensation expense | 30,689 | 28,595 |
Reversal of provision for servicing advance losses | (52,113) | (44,535) |
Depreciation and amortization | 23,809 | 21,729 |
Impairment of capitalized software | 728 | |
Amortization of right-to-use assets | 11,796 | 10,539 |
Purchase of loans held for sale from PennyMac Mortgage Investment Trust | (36,544,166) | (51,471,399) |
Origination of loans held for sale | (18,343,547) | (41,634,531) |
Purchase of loans held for sale from non-affiliates | (1,564,173) | (3,867,782) |
Purchase of loans from Ginnie Mae securities and early buyout investors | (5,620,437) | (17,969,911) |
Sale to non-affiliates and principal payments of loans held for sale | 67,056,886 | 118,048,768 |
Sale of loans held for sale to PennyMac Mortgage Investment Trust | 298,862 | |
Repurchase of loans subject to representations and warranties | (76,865) | (75,023) |
Decrease (increase) in servicing advances | 234,529 | (18,718) |
Decrease in receivable from PennyMac Mortgage Investment Trust | 6,941 | 27,404 |
Sale of real estate acquired in settlement of loans | 15,419 | 11,712 |
Decrease (increase) in other assets | 74,433 | 95,836 |
(Decrease) increase in accounts payable and accrued expenses | (13,922) | 45,707 |
Decrease in operating lease liabilities | (12,562) | (12,457) |
Decrease in payable to PennyMac Mortgage Investment Trust | (153,276) | (39,755) |
Payments to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | (3,855) | (3,350) |
Increase in income taxes payable | 279,045 | 37,068 |
Net cash provided by operating activities | 5,543,826 | 2,770,083 |
Cash flow from investing activities | ||
(Increase) decrease in short-term investment | (29,225) | 10,171 |
Net change in assets purchased from PMT under agreement to resell | 80,862 | |
Net settlement of derivative financial instruments used for hedging of mortgage servicing rights | (810,749) | (471,322) |
Purchase of mortgage servicing rights | (3,927) | |
Acquisition of capitalized software | (59,631) | (32,276) |
Purchase of furniture, fixtures, equipment and leasehold improvements | (5,604) | (5,999) |
Decrease in margin deposits | 425,569 | 117,106 |
Net cash used in investing activities | (483,567) | (301,458) |
Cash flow from financing activities | ||
Sale of assets under agreements to repurchase | 58,606,620 | 100,929,294 |
Repurchase of assets sold under agreements to repurchase | (62,413,898) | (103,689,987) |
Issuance of mortgage loan participation purchase and sale certificates | 14,947,597 | 17,990,980 |
Repayment of mortgage loan participation purchase and sale certificates | (15,059,445) | (17,992,673) |
Repayments of obligations under capital lease | (3,489) | (6,281) |
Issuance of notes payable secured by mortgage servicing assets | 500,000 | |
Issuance of unsecured senior notes | 1,150,000 | |
Repayment of excess servicing spread financing | (134,624) | |
Payment of debt issuance costs | (14,087) | (27,355) |
Issuance of common stock pursuant to exercise of stock options | 1,777 | 5,770 |
Payment of withholding taxes relating to stock-based compensation | (7,780) | (8,578) |
Payment of dividend to holders of common stock | (44,206) | (40,638) |
Repurchase of common stock | (354,759) | (700,793) |
Net cash used in financing activities | (3,841,670) | (2,524,885) |
Net increase (decrease) in cash and restricted cash | 1,218,589 | (56,260) |
Cash and restricted cash at beginning of period | 340,093 | 532,781 |
Cash and restricted cash at end of period | 1,558,682 | 476,521 |
Cash | 1,558,679 | 476,497 |
Restricted cash included in Other assets | 3 | 24 |
Supplemental cash flow information: | ||
Cash paid for interest | 236,504 | 301,014 |
Cash (refunds received) paid for income taxes, net | (119,417) | 257,597 |
Non-cash investing activities: | ||
Mortgage servicing rights resulting from loan sales | 1,359,632 | 1,386,324 |
Operating right-of-use assets recognized | 1,364 | 20,871 |
Unsettled portion of MSR acquisitions | 213 | |
Non-cash financing activities: | ||
Mortgage servicing liabilities resulting from loan sales | 98,147 | |
Issuance of Excess servicing spread payable to PennyMac Mortgage Investment Trust pursuant to a recapture agreement | 557 | |
Issuance of common stock in settlement of directors' fees | $ 154 | $ 151 |
Organization
Organization | 9 Months Ended |
Sep. 30, 2022 | |
Organization | |
Organization | PENNYMAC FINANCIAL SERVICES, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) Note 1—Organization PennyMac Financial Services, Inc. (together, with its consolidated subsidiaries, unless the context indicated otherwise, “PFSI” or the “Company”) is a holding corporation and its primary assets are equity interests in Private National Mortgage Acceptance Company, LLC (“PNMAC”). The Company is the managing member of PNMAC, and it operates and controls all of the businesses and consolidates the financial results of PNMAC and its subsidiaries. PNMAC is a Delaware limited liability company which, through its subsidiaries, engages in mortgage banking and investment management activities. PNMAC’s mortgage banking activities consist of residential mortgage loan production and servicing. PNMAC’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. PNMAC’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 U.S. Department of Veterans Affairs (“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
Basis of Presentation | 9 Months Ended |
Sep. 30, 2022 | |
Basis of Presentation | |
Basis of Presentation | Note 2—Basis of Presentation The accompanying consolidated financial statements have been prepared in compliance with accounting principles generally accepted in the United States (“GAAP”) as codified in the Financial Accounting Standards Board’s Accounting Standards Codification The accompanying 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 that may be expected for the full year ending December 31, 2022. 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, 2022 | |
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, change in fair value of investment in and dividends received from PMT, and expense allocations charged to PMT) totaled 10% and 9% of total net revenue for the quarters ended September 30, 2022 and 2021, respectively, and 8% and 9% for the nine months ended September 30, 2022 and 2021, respectively. The Company also purchased 78% and 51% of its newly originated loan production from PMT during the quarters ended September 30, 2022 and 2021, respectively, and 65% and 53% during the nine months ended September 30, 2022 and 2021, respectively. |
Related Party Transactions
Related Party Transactions | 9 Months Ended |
Sep. 30, 2022 | |
Related Party Transactions | |
Related Party Transactions | Note 4—Related Party Transactions Transactions with PMT Operating Activities Mortgage Loan Production Activities and Mortgage Servicing Rights (“MSRs”) Recapture Loan Sales 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 ● 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 ● $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 ● $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 Following is a summary of loan production activities, including recapture, between the Company and PMT: Quarter ended September 30, Nine months ended September 30, 2022 2021 2022 2021 (in thousands) Net gains on loans held for sale at fair value: Net losses on loans held for sale to PMT (primarily cash) $ — $ — $ (2,820) $ — Mortgage servicing rights and excess servicing spread recapture incurred (1,648) (12,976) (13,232) (38,772) $ (1,648) $ (12,976) $ (16,052) $ (38,772) Sale of loans held for sale to PMT $ — $ — $ 298,862 $ — Tax service fees earned from PMT included in Loan origination fees $ 2,192 $ 6,541 $ 6,938 $ 21,861 Fulfillment fee revenue $ 18,407 $ 43,922 $ 55,807 $ 158,777 Unpaid principal balance ("UPB") of loans fulfilled for PMT subject to fulfillment fees $ 10,226,513 $ 28,605,098 $ 30,319,475 $ 92,846,231 Sourcing fees included in cost of loans purchased from PMT $ 1,203 $ 1,537 $ 3,562 $ 4,905 Unpaid principal balance of loans purchased from PMT $ 12,261,222 $ 15,249,441 $ 35,643,210 $ 49,106,232 Loan Servicing The Company and PMT have entered into a loan servicing agreement (the “Servicing Agreement”), pursuant to which the Company provides subservicing for PMT’s MSRs, loans at fair value held in consolidated variable interest entities and loans held for sale (“Prime Servicing”) and its portfolio of residential mortgage loans purchased with credit deterioration (“Special 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. 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 and a percentage of late charges. ● 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 ● 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, Loan type serviced 2022 2021 2022 2021 (in thousands) Loans acquired for sale $ 258 $ 698 $ 780 $ 1,871 Loans at fair value 111 89 427 306 Mortgage servicing rights 19,878 19,916 60,463 57,634 $ 20,247 $ 20,703 $ 61,670 $ 59,811 The Servicing Agreement expires on June 30, 2025. 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, 2022 2021 2022 2021 (in thousands) Base management $ 7,731 $ 8,778 $ 23,758 $ 25,875 Performance incentive (adjustment) — (258) — 3,007 $ 7,731 $ 8,520 $ 23,758 $ 28,882 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 is reimbursed $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. 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 owned or managed by the Company as calculated at each fiscal quarter end. The Company received reimbursements from PMT for expenses as follows: Quarter ended September 30, Nine months ended September 30, 2022 2021 2022 2021 (in thousands) Reimbursement of: Expenses incurred on PMT's behalf, net $ 705 $ 4,396 $ 8,896 $ 13,536 Common overhead incurred by the Company 2,574 1,548 6,247 3,387 Compensation 165 165 495 495 $ 3,444 $ 6,109 $ 15,638 $ 17,418 Payments and settlements during the period (1) $ 41,509 $ 51,020 $ 110,835 $ 238,202 (1) Payments and settlements include payments for the operating, investing and financing activities itemized in this Note. 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 PNMAC, 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. PMT Common Stock The Company owns 75,000 common shares of beneficial interest of PMT. Following is a summary of investing activities between the Company and PMT: Quarter ended September 30, Nine months ended September 30, 2022 2021 2022 2021 (in thousands) Interest income relating to Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ — $ — $ — $ 387 Change in fair value of investment in and dividends received from PennyMac Mortgage Investment Trust $ (119) $ (67) $ (311) $ 478 September 30, December 31, 2022 2021 (in thousands) Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Fair value $ 884 $ 1,300 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”) 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. 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. 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. 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 instead of transferring such ESS. During the nine months ended September 30, 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: Nine months ended September 30, 2021 (in thousands) Excess servicing spread financing: Balance at beginning of period $ 131,750 Issuance pursuant to recapture agreement 557 Accrual of interest 1,280 Change in fair value 1,037 Repayment (134,624) Balance at end of period $ — 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 $ 614 Receivable from and Payable to PMT Amounts receivable from and payable to PMT are summarized below: September 30, December 31, 2022 2021 (in thousands) Receivable from PMT: Management fees $ 7,731 $ 8,918 Correspondent production fees 6,812 8,894 Servicing fees 6,711 6,848 Allocated expenses and expenses incurred on PMT's behalf 5,571 15,431 Fulfillment fees 5,481 — $ 32,306 $ 40,091 Payable to PMT: Amounts advanced by PMT to fund its servicing advances $ 84,418 $ 212,066 Other 3,560 15,953 $ 87,978 $ 228,019 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 PNMAC that provides for the payment from time to time by the Company to PNMAC’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 PNMAC’s assets resulting from exchanges of ownership interests in PNMAC 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 PNMAC who effected exchanges of ownership interests in PNMAC for the Company’s common stock before the closing of the reorganization. The Company has recorded $26.7 million and $30.5 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, 2022 | |
Loan Sales and Servicing Activities | |
Loan Sales and Servicing Activities | Note 5—Loan Sales and Servicing Activities The Company 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, 2022 2021 2022 2021 (in thousands) Cash flows: Sales proceeds $ 16,215,098 $ 39,040,868 $ 67,056,886 $ 118,048,768 Servicing fees received (1) $ 242,622 $ 178,684 $ 676,384 $ 576,332 (1) Net of guarantee fees paid to the Agencies. The following table summarizes the UPB of the loans sold by the Company in transactions when it maintains continuing involvement with the loans as servicer: September 30, December 31, 2022 2021 (in thousands) UPB of loans outstanding $ 283,653,037 $ 254,524,015 Delinquent loans (1): 30-89 days $ 9,359,346 $ 6,129,597 90 days or more: Not in foreclosure $ 5,706,722 $ 8,399,299 In foreclosure $ 726,438 $ 715,016 Foreclosed $ 8,324 $ 6,900 Loans in bankruptcy $ 1,128,050 $ 1,039,362 Delinquent loans in COVID-19 pandemic-related forbearance plans: 30-89 days $ 1,501,578 $ 1,020,290 90 days or more 2,708,785 2,550,703 $ 4,210,363 $ 3,570,993 (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, 2022 Servicing Total rights owned Subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 283,653,037 $ — $ 283,653,037 Purchased 20,182,332 — 20,182,332 303,835,369 — 303,835,369 PennyMac Mortgage Investment Trust — 230,978,819 230,978,819 Loans held for sale 4,287,585 — 4,287,585 $ 308,122,954 $ 230,978,819 $ 539,101,773 Subserviced for the Company (1) $ 375,370 $ — $ 375,370 Delinquent loans (2): 30 days $ 7,604,547 $ 1,302,774 $ 8,907,321 60 days 2,447,898 247,285 2,695,183 90 days or more: Not in foreclosure 5,980,180 785,860 6,766,040 In foreclosure 807,860 71,060 878,920 Foreclosed 8,959 8,595 17,554 $ 16,849,444 $ 2,415,574 $ 19,265,018 Loans in bankruptcy $ 1,288,876 $ 126,299 $ 1,415,175 Delinquent loans in COVID-19 pandemic-related forbearance plans: 30 days $ 717,783 $ 121,966 $ 839,749 60 days 830,299 110,363 940,662 90 days or more 2,813,468 435,609 3,249,077 $ 4,361,550 $ 667,938 $ 5,029,488 Custodial funds managed by the Company (3) $ 5,385,565 $ 2,898,932 $ 8,284,497 (1) Certain of the mortgage loans for which the Company has purchased the MSRs are subserviced on the Company’s behalf by other mortgage loan servicers on an interim basis when servicing of the loans has not yet been transferred to the Company’s loan servicing platform. (2) Includes delinquent loans in COVID-19 pandemic-related forbearance plans that were requested by borrowers seeking payment relief in accordance with the CARES Act. (3) 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 these custodial funds where it owns the MSRs and they are included in Interest income in the Company’s consolidated statements of income. December 31, 2021 Servicing Total rights owned Subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 254,524,015 $ — $ 254,524,015 Purchased 23,861,358 — 23,861,358 278,385,373 — 278,385,373 PennyMac Mortgage Investment Trust — 221,892,142 221,892,142 Loans held for sale 9,430,766 — 9,430,766 $ 287,816,139 $ 221,892,142 $ 509,708,281 Delinquent loans (1): 30 days $ 5,338,545 $ 974,055 $ 6,312,600 60 days 1,604,782 190,727 1,795,509 90 days or more: Not in foreclosure 9,001,137 1,750,628 10,751,765 In foreclosure 829,494 43,793 873,287 Foreclosed 8,017 16,489 24,506 $ 16,781,975 $ 2,975,692 $ 19,757,667 Loans in bankruptcy $ 1,261,980 $ 133,655 $ 1,395,635 Delinquent loans in COVID-19 pandemic-related forbearance plans: 30 days $ 554,161 $ 81,580 $ 635,741 60 days 556,990 89,534 646,524 90 days or more 2,732,089 638,703 3,370,792 $ 3,843,240 $ 809,817 $ 4,653,057 Custodial funds managed by the Company $ 8,485,081 $ 3,823,527 $ 12,308,608 (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 these custodial funds where it owns the MSRs and they 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 2022 2021 (in thousands) California $ 67,949,538 $ 67,317,935 Florida 49,221,053 45,222,233 Texas 45,908,590 42,064,686 Virginia 33,026,449 31,442,370 Maryland 25,093,210 23,922,075 All other states 317,902,933 299,738,982 $ 539,101,773 $ 509,708,281 |
Fair Value
Fair Value | 9 Months Ended |
Sep. 30, 2022 | |
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 to be accounted for at fair value so changes in fair value will be reflected in income as they occur and more timely reflect the results of the Company’s performance. The Company has also identified its ESS financing to be accounted for at fair value as a means of hedging the related MSRs’ fair value risk. Assets and Liabilities Measured at Fair Value on a Recurring Basis Following is a summary of assets and liabilities that are measured at fair value on a recurring basis: September 30, 2022 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investment $ 36,098 $ — $ — $ 36,098 Loans held for sale at fair value — 3,805,090 344,636 4,149,726 Derivative assets: Interest rate lock commitments — — 12,195 12,195 Forward purchase contracts — 5,042 — 5,042 Forward sales contracts — 375,955 — 375,955 MBS put options — 17,152 — 17,152 MBS call options — 55 — 55 Put options on interest rate futures purchase contracts 70,577 — — 70,577 Call options on interest rate futures purchase contracts 4,680 — — 4,680 Total derivative assets before netting 75,257 398,204 12,195 485,656 Netting — — — (321,496) Total derivative assets 75,257 398,204 12,195 164,160 Mortgage servicing rights at fair value — — 5,661,672 5,661,672 Investment in PennyMac Mortgage Investment Trust 884 — — 884 $ 112,239 $ 4,203,294 $ 6,018,503 $ 10,012,540 Liabilities: Derivative liabilities: Interest rate lock commitments $ — $ — $ 68,398 $ 68,398 Forward purchase contracts — 226,369 — 226,369 Forward sales contracts — 8,819 — 8,819 MBS call options — 118 — 118 Put options on interest rate futures sales contracts 11,766 — — 11,766 Call options on interest rate futures sale contracts 375 — — 375 Total derivative liabilities before netting 12,141 235,306 68,398 315,845 Netting — — — (190,358) Total derivative liabilities 12,141 235,306 68,398 125,487 Mortgage servicing liabilities at fair value — — 2,214 2,214 $ 12,141 $ 235,306 $ 70,612 $ 127,701 December 31, 2021 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investment $ 6,873 $ — $ — $ 6,873 Loans held for sale at fair value — 8,613,607 1,128,876 9,742,483 Derivative assets: Interest rate lock commitments — — 323,473 323,473 Forward purchase contracts — 20,485 — 20,485 Forward sales contracts — 40,215 — 40,215 MBS put options — 7,655 — 7,655 Swaption purchase contracts — 1,625 — 1,625 Put options on interest rate futures purchase contracts 3,141 — — 3,141 Call options on interest rate futures purchase contracts 2,078 — — 2,078 Total derivative assets before netting 5,219 69,980 323,473 398,672 Netting — — — (64,977) Total derivative assets 5,219 69,980 323,473 333,695 Mortgage servicing rights at fair value — — 3,878,078 3,878,078 Investment in PennyMac Mortgage Investment Trust 1,300 — — 1,300 $ 13,392 $ 8,683,587 $ 5,330,427 $ 13,962,429 Liabilities: Derivative liabilities: Interest rate lock commitments $ — $ — $ 1,280 $ 1,280 Forward purchase contracts — 18,007 — 18,007 Forward sales contracts — 35,415 — 35,415 Total derivative liabilities before netting — 53,422 1,280 54,702 Netting — — — (32,096) Total derivative liabilities — 53,422 1,280 22,606 Mortgage servicing liabilities at fair value — — 2,816 2,816 $ — $ 53,422 $ 4,096 $ 25,422 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, 2022 Net interest Mortgage Loans held rate lock servicing Assets for sale commitments (1) rights Total (in thousands) Balance, June 30, 2022 $ 503,553 $ 65,151 $ 5,217,167 $ 5,785,871 Purchases and issuances, net 260,721 38,481 4,140 303,342 Capitalization of interest and advances 6,361 — — 6,361 Sales and repayments (71,078) — — (71,078) Mortgage servicing rights resulting from loan sales — — 345,077 345,077 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (9,217) — — (9,217) Other factors (4,801) (127,835) 95,288 (37,348) (14,018) (127,835) 95,288 (46,565) Transfers from Level 3 to Level 2 (340,903) — — (340,903) Transfers to loans held for sale — (32,000) — (32,000) Balance, September 30, 2022 $ 344,636 $ (56,203) $ 5,661,672 $ 5,950,105 Changes in fair value recognized during the quarter relating to assets still held at September 30, 2022 $ (16,166) $ (56,203) $ 95,288 $ 22,919 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended Liabilities September 30, 2022 (in thousands) Mortgage servicing liabilities: Balance, June 30, 2022 $ 2,337 Changes in fair value included in income (123) Balance, September 30, 2022 $ 2,214 Changes in fair value recognized during the quarter relating to liabilities still outstanding at September 30, 2022 $ (123) 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) Nine months ended September 30, 2022 Net interest Mortgage Loans held rate lock servicing Assets for sale commitments (1) rights Total (in thousands) Balance, December 31, 2021 $ 1,128,876 $ 322,193 $ 3,878,078 $ 5,329,147 Purchases and issuances, net 2,994,447 345,770 4,140 3,344,357 Capitalization of interest and advances 54,080 — — 54,080 Sales and repayments (1,335,966) — — (1,335,966) Mortgage servicing rights resulting from loan sales — — 1,359,632 1,359,632 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (39,427) — — (39,427) Other factors (26,119) (694,318) 419,822 (300,615) (65,546) (694,318) 419,822 (340,042) Transfers from Level 3 to Level 2 (2,430,869) — — (2,430,869) Transfers to real estate acquired in settlement of loans (386) — — (386) Transfers to loans held for sale — (29,848) — (29,848) Balance, September 30, 2022 $ 344,636 $ (56,203) $ 5,661,672 $ 5,950,105 Changes in fair value recognized during the period relating to assets still held at September 30, 2022 $ (31,587) $ (56,203) $ 419,822 $ 332,032 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Nine months ended Liabilities September 30, 2022 (in thousands) Mortgage servicing liabilities: Balance, December 31, 2021 $ 2,816 Changes in fair value included in income (602) Balance, September 30, 2022 $ 2,214 Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2022 $ (602) 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 of interest rate lock commitments 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 Mortgage servicing liabilities resulting from loan sales — 98,147 98,147 Changes in fair value included in income 1,037 (95,904) (94,867) Repayments (134,624) — (134,624) 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) 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, 2022 2021 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 $ (69,358) $ — $ (69,358) $ 645,536 $ — $ 645,536 Mortgage servicing rights — 95,288 95,288 — (233,957) (233,957) $ (69,358) $ 95,288 $ 25,930 $ 645,536 $ (233,957) $ 411,579 Liabilities: Mortgage servicing liabilities $ — $ 123 $ 123 $ — $ 86,288 $ 86,288 Nine months ended September 30, 2022 2021 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 $ (273,701) $ — $ (273,701) $ 2,057,496 $ — $ 2,057,496 Mortgage servicing rights — 419,822 419,822 — (356,378) (356,378) $ (273,701) $ 419,822 $ 146,121 $ 2,057,496 $ (356,378) $ 1,701,118 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust $ — $ — $ — $ — $ (1,037) $ (1,037) Mortgage servicing liabilities — 602 602 — 95,904 95,904 $ — $ 602 $ 602 $ — $ 94,867 $ 94,867 Following are the fair value and related principal amounts due upon maturity of loans held for sale: September 30, 2022 December 31, 2021 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 $ 4,087,039 $ 4,217,099 $ (130,060) $ 9,577,398 $ 9,263,242 $ 314,156 90 days or more delinquent: Not in foreclosure 50,232 54,141 (3,909) 153,162 153,875 (713) In foreclosure 12,455 16,345 (3,890) 11,923 13,649 (1,726) $ 4,149,726 $ 4,287,585 $ (137,859) $ 9,742,483 $ 9,430,766 $ 311,717 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, 2022 $ — $ — $ 911 $ 911 December 31, 2021 $ — $ — $ 2,588 $ 2,588 The following table summarizes the losses recognized on assets when they were remeasured at fair value on a nonrecurring basis: Quarter ended September 30, Nine months ended September 30, 2022 2021 2022 2021 (in thousands) Real estate acquired in settlement of loans $ (131) $ (284) $ (838) $ (912) Fair Value of Financial Instruments Carried at Amortized Cost The Company’s Assets sold under agreements to repurchase Mortgage loan participation purchase and sale agreements, Notes payable secured by mortgage servicing assets, Unsecured senior notes Obligations under capital lease These 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 liabilities other than 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, 2022 December 31, 2021 Fair value Carrying value Fair value Carrying value (in thousands) Notes payable secured by mortgage servicing assets $ 1,717,125 $ 1,793,972 $ 1,302,640 $ 1,297,622 Unsecured senior notes $ 1,371,500 $ 1,778,988 $ 1,790,375 $ 1,776,219 Valuation Governance Most of the Company’s financial assets, and all of its derivatives, MSRs, ESS, 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 responsibility for estimating the fair value of these assets and liabilities 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 responsible for estimating the fair values of “Level 3” fair value assets and liabilities other than IRLCs and maintaining its valuation policies and procedures. ● The Company’s Capital Markets Risk Management staff develops the fair value of the Company’s IRLCs which is reviewed by its Capital Markets Operations group. 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 as well as 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 the Company’s senior management valuation committee. 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’s senior management valuation committee includes the Company’s chief financial, investment and credit officers as well as other senior members of the Company’s finance, capital markets and risk management staffs. 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 securities in its loan servicing portfolio. The Company’s right to purchase a government guaranteed or insured loan 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 they become 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/resale 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, 2022 December 31, 2021 Fair value (in thousands) $ 344,636 $ 1,128,876 Key inputs (1): Discount rate: Range 3.3% – 10.2% 2.2% – 9.2% Weighted average 3.6% 2.3% Twelve-month projected housing price index change: Range (0.1)% – 0.1% 6.1% – 6.5% Weighted average 0.0% 6.2% Voluntary prepayment/resale speed (2): Range 4.7% – 27.6% 0.4% – 30.3% Weighted average 24.4% 22.0% Total prepayment/resale speed (3): Range 4.8% – 37.4% 0.4% – 39.3% Weighted average 31.9% 28.2% (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/resale speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayment/resale speeds. 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 pull-through rate and the estimated fair value of MSRs attributable to the mortgage loans it has committed to purchase. Significant changes in the pull-through rate or the MSR component of the IRLCs, in isolation, could result in significant changes in the IRLCs’ fair value measurement. The financial effects of changes in these inputs are generally inversely correlated as increasing interest rates have a positive effect on the fair value of the MSR component of IRLC fair value, but increase the pull-through rate for the 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, 2022 December 31, 2021 Fair value (in thousands) (1) $ (56,203) $ 322,193 Key inputs Pull-through rate: Range 7.9% – 100% 8.0% – 100% Weighted average 79.5% 78.4% Mortgage servicing rights fair value expressed as: Servicing fee multiple: Range (3.3) – 7.5 (8.5) – 6.7 Weighted average 4.4 3.8 Percentage of loan commitment amount Range (0.6)% – 3.8% (1.6)% – 3.6% Weighted average 2.0% 1.5% (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 – Mortgage servicing rights 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 prepayment rate (prepayment speed), pricing spread (discount rate), 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, 2022 2021 2022 2021 (Amount recognized and unpaid principal balance of underlying loans in thousands) MSR and pool characteristics: Amount recognized $ 345,077 $ 432,429 $ 1,359,632 $ 1,386,324 Unpaid principal balance of underlying loans $ 16,003,556 $ 33,697,228 $ 65,956,748 $ 105,470,580 Weighted average servicing fee rate (in basis points) 49 34 44 33 Key inputs (1): Annual total prepayment speed (2): Range 6.8% – 19.1% 7.2% – 31.0% 5.7% – 23.4% 6.2% – 31.0% Weighted average 11.1% 9.2% 9.0% 8.5% Equivalent average life (in years): Range 4.0 – 8.1 3.0 – 8.4 3.7 – 9.2 3.0 – 9.0 Weighted average 7.4 7.7 8.1 8.1 Pricing spread (3): Range 5.5% – 11.4% 6.0% – 16.9% 5.5% – 16.1% 6.0% – 16.9% Weighted average 8.1% 8.5% 7.8% 9.0% Per-loan annual cost of servicing: Range $79 – $116 $80 – $117 $79 – $177 $80 – $117 Weighted average $105 $102 $104 $104 (1) Weighted average inputs are based on the UPB of the underlying loans. (2) 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. (3) Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. Effective January 1, 2022, the Company applies a pricing spread to the United State Treasury Securities (the “Treasury”) yield curve for purposes of discounting cash flows relating to MSRs. Through December 31, 2021, the Company applied its pricing spread to the United States Dollar London Interbank Offered Rate (“LIBOR”)/swap curve. The change in reference interest rate from the LIBOR/swap curve to the Treasury yield curve did not have a significant effect on the Company’s fair value measurement of MSRs. 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, 2022 December 31, 2021 (Fair value, unpaid principal balance of underlying loans and effect on fair value amounts in thousands) Fair value $ 5,661,672 $ 3,878,078 Pool characteristics: Unpaid principal balance of underlying loans $ 303,800,226 $ 278,324,780 Weighted average note interest rate 3.3% 3.2% Weighted average servicing fee rate (in basis points) 36 34 Key inputs (1): Annual total prepayment speed (2): Range 5.1% – 17.1% 7.9% – 26.7% Weighted average 7.6% 10.7% Equivalent average life (in years): Range 3.8 – 9.3 3.1 – 7.7 Weighted average 8.3 6.8 Effect on fair value of (3): 5% adverse change ($75,034) ($80,109) 10% adverse change ($147,692) ($157,252) 20% adverse change ($286,318) ($303,259) Pricing spread (4): Range 4.9% – 14.8% 5.3% – 15.5% Weighted average 6.9% 7.7% Effect on fair value of (3): 5% adverse change ($80,798) ($59,577) 10% adverse change ($159,312) ($117,352) 20% adverse change ($309,839) ($227,791) Per-loan annual cost of servicing: Range $80 – $149 $79 – $197 Weighted average $106 $108 Effect on fair value of (3): 5% adverse change ($38,133) ($32,979) 10% adverse change ($76,265) ($65,958) 20% adverse change ($152,531) ($131,916) (1) Weighted average inputs are based on the UPB of the underlying loans. (2) Annual total prepayment speed is measu |
Loans Held for Sale at Fair Val
Loans Held for Sale at Fair Value | 9 Months Ended |
Sep. 30, 2022 | |
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 2022 2021 (in thousands) Government-insured or guaranteed $ 3,256,696 $ 6,030,518 Conventional conforming 536,800 2,583,089 Jumbo 11,594 — Home equity loans 972 — Purchased from Ginnie Mae securities serviced by the Company 299,157 1,082,444 Repurchased pursuant to representations and warranties 44,507 46,432 $ 4,149,726 $ 9,742,483 Fair value of loans pledged to secure: Assets sold under agreements to repurchase $ 3,626,320 $ 8,629,861 Mortgage loan participation purchase and sale agreements 385,944 505,716 $ 4,012,264 $ 9,135,577 |
Derivative Financial Instrument
Derivative Financial Instruments | 9 Months Ended |
Sep. 30, 2022 | |
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 in 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 in 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, Fair Value of Derivatives 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. The Company had the following derivative financial instruments recorded on its consolidated balance sheets: September 30, 2022 December 31, 2021 Fair value Fair value Notional Derivative Derivative Notional Derivative Derivative Derivative instrument amount (1) assets liabilities amount (1) assets liabilities (in thousands) Not subject to master netting arrangements: Interest rate lock commitments 7,070,065 $ 12,195 $ 68,398 14,111,795 $ 323,473 $ 1,280 Subject to master netting arrangements (2): Forward purchase contracts 9,477,520 5,042 226,369 22,007,383 20,485 18,007 Forward sales contracts 14,995,779 375,955 8,819 34,429,676 40,215 35,415 MBS put options 700,000 17,152 — 9,550,000 7,655 — MBS call options — 55 118 — — — Put options on interest rate futures purchase contracts 4,335,000 70,577 — 2,450,000 3,141 — Call options on interest rate futures purchase contracts 2,675,000 4,680 — 1,250,000 2,078 — Put options on interest rate futures sale contracts 300,000 — 11,766 — — — Call options on interest rate futures sale contracts 400,000 — 375 — — — Swaption purchase contracts — — — 5,375,000 1,625 — Treasury futures purchase contracts 4,143,200 — — 1,544,800 — — Treasury futures sale contracts 3,491,400 — — 1,925,000 — — Interest rate swap futures purchase contracts — — — 3,010,600 — — Interest rate swap futures sale contracts — — — 2,187,200 — — Total derivatives before netting 485,656 315,845 398,672 54,702 Netting (321,496) (190,358) (64,977) (32,096) $ 164,160 $ 125,487 $ 333,695 $ 22,606 Deposits received from derivative counterparties included in the derivative balances above, net $ 131,138 $ 32,881 (1) Notional amounts provide an indication of the volume of the Company’s derivative activity. (2) All derivatives used for hedging purposes are interest rate derivatives and are used as economic hedges. 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 to qualify for setoff accounting. September 30, 2022 December 31, 2021 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 $ 12,195 $ — $ — $ 12,195 $ 323,473 $ — $ — $ 323,473 RJ O'Brien 63,116 — — 63,116 5,219 — — 5,219 Morgan Stanley Bank, N.A. 54,619 — — 54,619 — — — Bank of America, N.A. 17,549 — — 17,549 3,005 — — 3,005 Citibank, N.A. 10,660 — — 10,660 — — — — Others 6,021 — — 6,021 1,998 — — 1,998 $ 164,160 $ — $ — $ 164,160 $ 333,695 $ — $ — $ 333,695 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 meet the accounting guidance to qualify for setoff accounting. 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, 2022 December 31, 2021 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 (1) pledged amount balance sheet instruments (1) pledged amount (in thousands) Interest rate lock commitments $ 68,398 $ — $ — $ 68,398 $ 1,280 $ — $ — $ 1,280 Credit Suisse First Boston Mortgage Capital LLC 1,116,556 (1,116,343) — 213 1,974,278 (1,969,670) — 4,608 Bank of America, N.A. 995,818 (995,818) — — 1,758,690 (1,758,690) — — Morgan Stanley Bank, N.A. 269,997 (269,997) — — 299,580 (292,105) — 7,475 BNP Paribas 242,282 (241,058) — 1,224 349,172 (349,172) — — Royal Bank of Canada 198,400 (198,400) — — 496,064 (496,064) — — Wells Fargo Bank, N.A. 194,706 (187,153) — 7,553 203,779 (200,338) — 3,441 Barclays Capital 184,647 (161,390) — 23,257 677,419 (676,685) — 734 Citibank, N.A. 157,702 (157,702) — — 403,003 (402,806) — 197 JPMorgan Chase Bank, N.A. 142,962 (139,205) — 3,757 300,912 (300,912) — — Goldman Sachs 36,515 (23,016) — 13,499 853,147 (850,918) — 2,229 Bank of Oklahoma 3,791 — — 3,791 603 — — 603 Nomura Securities International, Inc. 3,178 — — 3,178 273 — — 273 Others 617 — — 617 1,766 — — 1,766 $ 3,615,569 $ (3,490,082) $ — $ 125,487 $ 7,319,966 $ (7,297,360) $ — $ 22,606 (1) Amounts represent the UPB of Assets sold under agreements to repurchase . 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 2022 2021 2022 2021 (in thousands) Interest rate lock commitments Net gains on loans held for sale at fair value (1) $ (121,353) $ 17,313 $ (378,396) $ (316,103) Hedged item: Interest rate lock commitments and loans held for sale Net gains on loans held for sale at fair value $ 363,272 $ (19,294) $ 1,360,341 $ 275,510 Mortgage servicing rights Net loan servicing fees–Mortgage servicing rights hedging results $ (164,749) $ (86,459) $ (558,614) $ (437,492) (1) Represents net change 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, 2022 | |
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, 2022 2021 2022 2021 (in thousands) Balance at beginning of period $ 5,217,167 $ 3,412,648 $ 3,878,078 $ 2,581,174 Additions: MSRs resulting from loan sales 345,077 432,429 1,359,632 1,386,324 Purchases 4,140 — 4,140 — 349,217 432,429 1,363,772 1,386,324 Change in fair value due to: Changes in valuation inputs used in valuation model (1) 237,154 (119,674) 794,779 (46,298) Other changes in fair value (2) (141,866) (114,283) (374,957) (310,080) Total change in fair value 95,288 (233,957) 419,822 (356,378) Balance at end of period $ 5,661,672 $ 3,611,120 $ 5,661,672 $ 3,611,120 UPB of underlying loans at end of period $ 303,800,226 $ 259,220,948 September 30, December 31, 2022 2021 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 5,604,447 $ 3,856,791 (1) Principally reflects changes in annual total prepayment speed, pricing spread, 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, 2022 2021 2022 2021 (in thousands) Balance at beginning of period $ 2,337 $ 100,091 $ 2,816 $ 45,324 Mortgage servicing liabilities resulting from loan sales — 33,764 — 98,147 Changes in fair value due to: Changes in valuation inputs used in valuation model (1) (38) (54,222) (305) (36,375) Other changes in fair value (2) (85) (32,066) (297) (59,529) Total change in fair value (123) (86,288) (602) (95,904) Balance at end of period $ 2,214 $ 47,567 $ 2,214 $ 47,567 UPB of underlying loans at end of period $ 35,143 $ 8,885,785 (1) Principally reflects changes in expected borrower performance and servicer losses given default. 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 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, 2022 2021 2022 2021 (in thousands) Contractual servicing fees $ 270,336 $ 216,592 $ 774,483 $ 635,620 Other fees: Late charges 10,533 7,480 30,177 22,076 Other 2,952 7,457 11,487 23,079 $ 283,821 $ 231,529 $ 816,147 $ 680,775 |
Leases
Leases | 9 Months Ended |
Sep. 30, 2022 | |
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 eight 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, 2022 2021 2022 2021 (dollars in thousands) Lease expense: Operating leases $ 5,046 $ 4,671 $ 15,008 $ 13,545 Short-term leases 235 196 695 666 Net lease expense included in Occupancy and equipment $ 5,281 $ 4,867 $ 15,703 $ 14,211 Other information: Payments for operating leases $ 5,544 $ 5,210 $ 15,801 $ 15,395 Operating lease right-of-use assets $ 571 $ 13,058 $ 1,364 $ 20,871 Period end weighted averages: Remaining lease term (in years) 4.9 6.0 Discount rate 3.8% 4.0% Lease payments of the Company’s operating lease liabilities are summarized below: Twelve months ended September 30, Operating leases (in thousands) 2023 $ 24,786 2024 21,921 2025 18,855 2026 15,424 2027 8,896 Thereafter 13,263 Total lease payments 103,145 Less imputed interest (10,765) Operating lease liability $ 92,380 |
Other Assets
Other Assets | 9 Months Ended |
Sep. 30, 2022 | |
Other Asset | |
Other Assets | Note 11—Other Assets Other September 30, December 31, 2022 2021 (in thousands) Capitalized software, net $ 152,655 $ 109,480 Derivative settlements receivable 115,384 20,026 Prepaid expenses 47,008 64,924 Furniture, fixtures, equipment and building improvements, net 29,928 31,677 Servicing fees receivable, net 25,861 23,672 Other servicing receivables 19,928 113,820 Interest receivable 18,793 9,688 Deposits securing Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets 9,886 36,632 Real estate acquired in settlement of loans 7,963 7,474 Margin deposits 1,539 100,482 Other 44,582 98,741 $ 473,527 $ 616,616 Other assets pledged to secure: Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 9,886 $ 36,632 Obligations under capital lease Capitalized software, net — 4,546 Furniture, fixture, equipment and building improvements, net — 4,116 $ 9,886 $ 45,294 |
Short-Term Debt
Short-Term Debt | 9 Months Ended |
Sep. 30, 2022 | |
Short-Term Debt | |
Short-Term Debt | Note 12—Short-Term Debt 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 and liquidity. Management believes that the Company was in compliance with these covenants as of September 30, 2022. 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 the Secured Overnight Financing Rate (“SOFR”) or LIBOR, as applicable. 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 its wholly-owned subsidiaries, PLS, PNMAC, 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 PNMAC (the “FMSR PC Repurchase Agreement”). In return, PFSI ISSUER TRUST- FMSR 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 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 (the “FMSR Term Notes”). The maximum principal balance of the FMSR VFN is $1 billion. Under the FMSR 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 FMSR 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 SOFR to the date of such repurchase). Freddie Mac MSR Facility On December 7, 2021, the Company entered a Master Repurchase Agreement with CSCIB as purchaser secured by Freddie Mac MSRs with a maximum purchase price of $175 million which may be reduced by amounts outstanding with Credit Suisse under other financing facilities. The facility expires on May 31, 2024. The Company is not currently borrowing under this facility. Ginnie Mae MSR Facility The Company, through its wholly-owned subsidiaries PLS, PNMAC, and the Issuer Trust, have a structured finance transaction, in which 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 (the “GNMA MSR Facility”). In return, the Issuer Trust has issued to PLS, pursuant to the terms of an indenture, the Series 2016-MSRVF1 Variable Funding Note, known as the “PNMAC GMSR ISSUER TRUST MSR Collateralized Notes, Series 2016-MSRVF1” (the “VFN”), and 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 $2 billion. On July 30, 2021, the Company, through its wholly-owned subsidiaries PLS, PNMAC and the Issuer Trust, entered into agreements to syndicate existing variable funding note repurchase agreements as part of the Ginnie Mae MSR structured finance facility. The Company entered into 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 PNMAC, as a guarantor (the “Syndicated GMSR Servicing Spread Agreement”), related to the servicing spread. The Syndicated GMSR Servicing Spread Agreement added Citibank as a syndicate buyer of MSRs and related ESS, and increased the borrowing capacity from $400 to $500 million, 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, through its wholly-owned subsidiaries PLS, PNMAC and the PNMAC GMSR ISSUER TRUST, The GMSR Servicing Advances Repurchase Agreement provides the Company with financing secured by servicing advance receivables 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. On July 30, 2021, the Company, through its wholly-owned subsidiaries PLS, PNMAC and the Issuer Trust, entered into agreements to syndicate existing variable funding note repurchase agreements, as part of the Ginnie Mae servicing advance facility. 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 PNMAC, as a guarantor (the “Syndicated GMSR SAR Agreement”). The Syndicated GMSR SAR Agreement added Citibank as a syndicate buyer of servicing advances receivables and provides a $600 million borrowing capacity, all of which is committed on a 50-50 pro rata basis between CSCIB and Citibank. Assets sold under agreements to repurchase are summarized below: Quarter ended September 30, Nine months ended September 30, 2022 2021 2022 2021 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ 1,949,452 $ 6,031,491 $ 2,622,581 $ 7,336,341 Weighted average interest rate (1) 4.34 % 2.11 % 2.90 % 2.12 % Total interest expense $ 24,329 $ 35,783 $ 67,048 $ 132,585 Maximum daily amount outstanding $ 3,490,082 $ 8,044,148 $ 7,289,147 $ 10,969,029 September 30, December 31, 2022 2021 (dollars in thousands) Carrying value: Unpaid principal balance funded under: Committed facilities $ 2,703,673 $ 5,079,581 Uncommitted facilities 786,409 2,217,779 3,490,082 7,297,360 Unamortized debt issuance costs (2,747) (4,625) $ 3,487,335 $ 7,292,735 Weighted average interest rate 4.66 % 1.83 % Available borrowing capacity (2): Committed $ 801,328 $ 285,419 Uncommitted 5,333,590 8,417,221 $ 6,134,918 $ 8,702,640 Fair value of assets securing repurchase agreements: Loans held for sale $ 3,626,320 $ 8,629,861 Servicing advances (3) $ 253,370 $ 232,107 Mortgage servicing rights (3) $ 5,604,447 $ 3,552,812 Deposits (3) $ 9,886 $ 36,632 (1) Excludes the effect of amortization of debt issuance costs and utilization fees of $3.0 million and $3.7 million for the quarters ended September 30, 2022 and 2021, respectively, and $10.1 million and $15.5 million for the nine months ended September 30, 2022 and 2021, 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 for the VFN and GMSR Servicing Advance Notes described above, 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. Remaining maturity at September 30, 2022 Unpaid principal balance (dollars in thousands) Within 30 days $ 715,649 Over 30 to 90 days 2,469,343 Over 90 to 180 days 191,861 Over 180 days to one year 13,229 Over one year to two years 100,000 Total assets sold under agreements to repurchase $ 3,490,082 Weighted average maturity (in months) 3.1 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, 2022: Weighted average Counterparties Amount at risk maturity of advances Facility maturity (in thousands) Credit Suisse First Boston Mortgage Capital LLC & Citibank, N.A. (1) $ 3,451,397 May 31, 2024 May 31, 2024 JP Morgan Chase Bank, N.A. (warehouse facility) $ 77,947 December 4, 2022 June 17, 2024 JP Morgan Chase Bank, N.A. (EBO facility) $ 39,006 August 16, 2023 June 6, 2024 Credit Suisse First Boston Mortgage Capital LLC $ 39,317 November 13, 2022 May 31, 2024 Royal Bank of Canada $ 24,518 January 13, 2023 September 14, 2023 Morgan Stanley Bank, N.A. $ 23,564 December 10, 2022 January 3, 2024 BNP Paribas $ 13,192 December 16, 2022 July 31, 2023 Barclays Bank PLC $ 11,178 November 3, 2022 November 3, 2022 Citibank, N.A. $ 7,062 December 16, 2022 April 26, 2024 Bank of America, N.A. $ 5,367 December 15, 2022 June 5, 2024 Goldman Sachs $ 414 December 11, 2022 December 23, 2023 Wells Fargo Bank, N.A. $ — September 30, 2022 November 17, 2023 (1) The calculation of the amount at risk includes the VFN and the Term Notes because beneficial interests in the Ginnie Mae MSRs and servicing advances are pledged to the Issuer Trust and together serve as the collateral backing for 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 Two of the borrowing facilities secured by loans held for sale are in the form of mortgage loan participation purchase and sale agreements. Participation certificates, each of which represents an undivided beneficial ownership interest in mortgage loans that have been pooled with Fannie Mae, Freddie Mac or Ginnie Mae, are sold to a lender pending the securitization of the mortgage loans and sale of the resulting securities. A commitment to sell the securities resulting from the pending securitization between the Company and a non-affiliate is also assigned to the lender at the time a participation certificate is sold. The purchase price paid by the lender for each participation certificate is based on the trade price of the security, plus an amount of interest expected to accrue on the security to its anticipated delivery date, minus a present value adjustment, any related hedging costs and a holdback amount that is based on a percentage of the purchase price. The holdback amount is not required to be paid to the Company until the settlement of the security and its delivery to the lender. The mortgage loan participation purchase and sale agreements are summarized below: Quarter ended September 30, Nine months ended September 30, 2022 2021 2022 2021 (dollars in thousands) Average balance $ 210,639 $ 237,849 $ 216,167 $ 256,109 Weighted average interest rate (1) 3.65 % 1.44 % 2.53 % 1.38 % Total interest expense $ 2,073 $ 1,026 $ 4,570 $ 3,160 Maximum daily amount outstanding $ 507,297 $ 532,819 $ 515,043 $ 532,819 (1) Excludes the effect of amortization of debt issuance costs totaling $135,000 and $172,000 for the quarters ended September 30, 2022 and 2021, respectively, and $479,000 and $516,000 for the nine months ended September 30, 2022 and 2021, respectively. September 30, December 31, 2022 2021 (dollars in thousands) Carrying value: Unpaid principal balance $ 367,997 $ 479,845 Unamortized debt issuance costs (524) — $ 367,473 $ 479,845 Weighted average interest rate 4.48 % 1.48 % Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements $ 385,944 $ 505,716 |
Long-Term Debt
Long-Term Debt | 9 Months Ended |
Sep. 30, 2022 | |
Long-Term Debt. | |
Long-Term Debt | Note 13—Long-Term Debt Notes Payable Secured by Mortgage Servicing Assets Term Notes In connection with the GNMA MSR Facility, the Issuer Trust issued secured term notes (the “Term Notes”) to qualified institutional buyers under Rule 144A of the Securities Act of 1933, as amended (the “Securities Act”). The Term Notes are secured by participation certificates relating to Ginnie Mae mortgage servicing assets financed pursuant to the GNMA MSR Facility, and rank pari passu with the VFNs and the GMSR Servicing Advance Notes. Following is a summary of the issued and outstanding Term Notes: Annual interest rate Issuance date Principal balance Index Spread Stated maturity date (1) (in thousands) February 28, 2018 $ 650,000 One-month LIBOR 2.85% 2/25/2023 August 10, 2018 650,000 One-month LIBOR 2.65% 8/25/2023 June 3, 2022 500,000 SOFR 4.25% 5/25/2027 $ 1,800,000 (1) The Term Notes’ indentures provide the Company with the option to extend the maturity of the Term Notes by two years after their stated maturities . Notes payable secured by mortgage servicing assets are summarized below: Quarter ended September 30, Nine months ended September 30, 2022 2021 2022 2021 (dollars in thousands) Average balance $ 1,800,000 $ 1,300,000 $ 1,510,623 $ 1,300,000 Weighted average interest rate (1) 5.31% 2.87% 4.13% 2.89% Total interest expense $ 24,795 $ 9,896 $ 48,360 $ 29,888 (1) Excludes the effect of amortization of debt issuance costs totaling $726,000 and $570,000 for the quarters ended September 30, 2022 and 2021, respectively, and $1.7 million for the nine months ended September 30, 2022 and 2021. September 30, December 31, 2022 2021 (dollars in thousands) Carrying value: Unpaid principal balance $ 1,800,000 $ 1,300,000 Unamortized debt issuance costs (6,028) (2,378) $ 1,793,972 $ 1,297,622 Weighted average interest rate 6.12% 2.84% Assets pledged to secure notes payable (1): Servicing advances $ 253,370 $ 232,107 Mortgage servicing rights $ 5,089,648 $ 3,856,791 Deposits pledged to the Issuer Trust $ 9,886 $ 36,632 (1) Beneficial interests in the Ginnie Mae MSRs, servicing advances and deposits are pledged to the Issuer Trust and together serve as the collateral for the VFN, the GMSR Servicing Advance Notes and any outstanding 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. Beneficial interests in the Fannie Mae MSRs are pledged to the PFSI Issuer Trust - FMSR and serve as the collateral for the FMSR VFN and any outstanding FMSR Term Notes. The FMSR VFN financing is included in Assets sold under agreements to repurchase and any outstanding FMSR Term Note would be 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 existing and 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 existing and 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. 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 September 30, Nine months ended September 30, 2022 2021 2022 2021 (dollars in thousands) Average balance $ 1,800,000 $ 1,381,522 $ 1,800,000 $ 1,229,853 Weighted average interest rate (1) 5.07% 4.91% 5.07% 4.86% Total interest expense $ 23,949 $ 17,442 $ 71,065 $ 46,281 (1) Excludes the effect of amortization of debt issuance costs of $933,000 and $492,000 for the quarters ended September 30, 2022 and 2021, respectively, and $2.8 million and $1.4 million for the nine months ended September 30, 2022 and 2021, respectively. September 30, December 31, 2022 2021 (dollars in thousands) Carrying value: Unpaid principal balance $ 1,800,000 $ 1,800,000 Unamortized debt issuance costs and premiums, net (21,012) (23,781) $ 1,778,988 $ 1,776,219 Weighted average interest rate 5.07% 5.07% Maturities of Long-Term Debt Maturities of long-term debt obligations (based on stated maturity dates) are as follows: Twelve months ended September 30, 2023 2024 2025 2026 2027 Thereafter Total (in thousands) Notes payable secured by mortgage servicing assets (1) $ 1,300,000 $ — $ — $ — $ 500,000 $ — $ 1,800,000 Unsecured senior notes — — — 650,000 — 1,150,000 1,800,000 Total $ 1,300,000 $ — $ — $ 650,000 $ 500,000 $ 1,150,000 $ 3,600,000 (1) The Term Notes’ indentures provide the Company with the option to extend the maturity of the Term Notes by two years after their stated maturities. Obligations Under Capital Lease The Company had a capital lease transaction secured by certain fixed assets and capitalized software. The capital lease matured on June 13, 2022 and bore interest at a spread over one-month LIBOR. Obligations under capital lease are summarized below: Quarter ended Nine months ended September 30, September 30, 2021 2022 2021 (dollars in thousands) Average balance $ 6,804 $ 1,130 $ 9,072 Weighted average interest rate 2.09% 2.18% 2.11% Total interest expense $ 36 $ 20 $ 143 Maximum daily amount outstanding $ 7,677 $ 3,489 $ 11,864 December 31, 2021 (dollars in thousands) Unpaid principal balance $ 3,489 Weighted average interest rate 2.11% Assets pledged to secure obligations under capital lease: Capitalized software $ 4,546 Furniture, fixtures and equipment $ 4,116 |
Liability for Losses Under Repr
Liability for Losses Under Representations and Warranties | 9 Months Ended |
Sep. 30, 2022 | |
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, 2022 2021 2022 2021 (in thousands) Balance at beginning of period $ 39,336 $ 44,335 $ 43,521 $ 32,688 Provision for losses: Resulting from sales of loans 1,651 6,561 7,887 26,918 Reduction in liability due to change in estimate (1,769) (4,355) (7,165) (11,680) Losses incurred, net (2,031) (735) (7,056) (2,120) Balance at end of period $ 37,187 $ 45,806 $ 37,187 $ 45,806 Unpaid principal balance of loans subject to representations and warranties at end of period $ 285,532,190 $ 245,528,045 |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2022 | |
Income Taxes | |
Income Taxes | Note 15—Income Taxes The Company’s effective income tax rates were 27.1% and 26.6% for the quarters ended September 30, 2022 and 2021, respectively, and 26.7% and 26.2% for the nine months ended September 30, 2022 and 2021, respectively. The increases in the effective income tax rates for the quarter and nine month ended September 30, 2022, as compared to the same periods in 2021, were primarily attributable to an increase in nondeductible compensation. |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2022 | |
Commitments and Contingencies. | |
Commitments and Contingencies | Note 16—Commitments and Contingencies Commitments to Purchase and Fund Mortgage Loans The Company’s commitments to purchase and fund loans totaled $7.1 billion as of September 30, 2022. 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. 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 before 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. Cessation of the LIBOR Index |
Stockholders' Equity
Stockholders' Equity | 9 Months Ended |
Sep. 30, 2022 | |
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 2022 2021 2022 2021 total (1) (in thousands) Shares of common stock repurchased 1,949 4,195 6,696 11,422 31,770 Cost of shares of common stock repurchased $ 99,702 $ 257,354 $ 354,759 $ 700,793 $ 1,665,380 (1) Amounts represent the total shares of common stock repurchased under the stock repurchase program from inception through September 30, 2022 . |
Net Gains on Loans Held for Sal
Net Gains on Loans Held for Sale | 9 Months Ended |
Sep. 30, 2022 | |
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, 2022 2021 2022 2021 (in thousands) From non-affiliates: Cash (losses) gains: Loans $ (587,659) $ 135,841 $ (1,983,051) $ 605,858 Hedging activities 570,864 (9,788) 1,543,568 400,786 (16,795) 126,053 (439,483) 1,006,644 Non-cash gains: Mortgage servicing rights and mortgage servicing liabilities resulting from loan sales 345,077 398,665 1,359,632 1,288,177 Provisions for losses relating to representations and warranties: Pursuant to loan sales (1,651) (6,561) (7,887) (26,918) Reductions in liability due to change in estimate 1,769 4,355 7,165 11,680 Changes in fair values of loans and derivatives held at period end: Interest rate lock commitments (121,353) 17,313 (378,396) (316,103) Loans 170,887 109,411 347,968 164,311 Hedging derivatives (207,592) (9,506) (183,227) (125,276) 170,342 639,730 705,772 2,002,515 From PennyMac Mortgage Investment Trust (1) (1,648) (12,976) (16,052) (38,772) $ 168,694 $ 626,754 $ 689,720 $ 1,963,743 (1) Gains on sale of loans to PMT are described in Note 4– Related Party Transactions . |
Net Interest Income (Expense)
Net Interest Income (Expense) | 9 Months Ended |
Sep. 30, 2022 | |
Net Interest Income (Expense) | |
Net Interest Income (Expense) | Note 19—Net Interest Income (Expense) Net interest expense is summarized below: Quarter ended September 30, Nine months ended September 30, 2022 2021 2022 2021 (in thousands) Interest income: From non-affiliates: Cash and short-term investments $ 7,759 $ 768 $ 8,736 $ 2,502 Loans held for sale at fair value 38,945 63,726 124,835 215,003 Placement fees relating to custodial funds 36,290 3,818 53,169 13,298 82,994 68,312 186,740 230,803 From PennyMac Mortgage Investment Trust— Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell — — — 387 82,994 68,312 186,740 231,190 Interest expense: To non-affiliates: Assets sold under agreements to repurchase 24,329 35,783 67,048 132,585 Mortgage loan participation purchase and sale agreements 2,073 1,026 4,570 3,160 Obligations under capital lease — 36 20 143 Notes payable secured by mortgage servicing assets 24,795 9,896 48,360 29,888 Unsecured senior notes 23,949 17,442 71,065 46,281 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 5,620 24,886 35,385 83,466 Interest on mortgage loan impound deposits 2,199 1,642 4,951 4,052 82,965 90,711 231,399 299,575 To PennyMac Mortgage Investment Trust— Excess servicing spread financing at fair value — — — 1,280 82,965 90,711 231,399 300,855 $ 29 $ (22,399) $ (44,659) $ (69,665) |
Stock-based Compensation
Stock-based Compensation | 9 Months Ended |
Sep. 30, 2022 | |
Stock-based Compensation | |
Stock-based Compensation | Note 20—Stock-based Compensation On May 24, 2022, PFSI’s stockholders approved and adopted the 2022 Equity Incentive Plan and no additional equity awards will be issued from the Company’s 2013 Equity Incentive Plan. Following is a summary of the stock-based compensation activity: Quarter ended September 30, Nine months ended September 30, 2022 2021 2022 2021 (in thousands) Grants: Units: Performance-based restricted share units ("RSUs") — — 342 310 Stock options — — 574 249 Time-based RSUs — — 331 171 Grant date fair value: Performance-based RSUs $ — $ — $ 19,522 $ 18,237 Stock options — — 12,138 5,116 Time-based RSUs — — 18,903 10,066 Total $ — $ — $ 50,563 $ 33,419 Vestings and exercises: Performance-based RSUs vested — — 643 640 Stock options exercised 20 104 83 289 Time-based RSUs vested — 2 246 309 Stock-based compensation expense $ 6,466 $ 8,824 $ 30,689 $ 28,595 |
Earnings Per Share
Earnings Per Share | 9 Months Ended |
Sep. 30, 2022 | |
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 period. 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, 2022 2021 2022 2021 (in thousands, except per share amounts) Net income $ 135,134 $ 249,310 $ 437,890 $ 830,407 Weighted average basic shares of common stock outstanding 52,170 62,085 54,043 65,671 Effect of dilutive securities - shares issuable under stock-based compensation plan 2,798 3,567 2,870 3,670 Weighted average shares of common stock applicable to diluted earnings per share 54,968 65,652 56,913 69,341 Basic earnings per share $ 2.59 $ 4.02 $ 8.10 $ 12.65 Diluted earnings per share $ 2.46 $ 3.80 $ 7.69 $ 11.98 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 RSUs and stock options excluded from the calculation of diluted earnings per share: Quarter ended September 30, Nine months ended September 30, 2022 2021 2022 2021 (in thousands except for weighted average exercise price) Performance-based RSUs (1) 325 302 268 244 Time-based RSUs — — 116 68 Stock options (2) 1,423 249 1,312 199 Total anti-dilutive units and options 1,748 551 1,696 511 Weighted average exercise price of $ 58.49 $ 58.85 $ 58.61 $ 58.85 (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. |
Regulatory Capital and Liquidit
Regulatory Capital and Liquidity Requirements | 9 Months Ended |
Sep. 30, 2022 | |
Regulatory Capital and Liquidity Requirements | |
Regulatory Capital and Liquidity Requirements | Note 22—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 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 levels and requirements, the calculations of which are specified by each Agency, are summarized below: September 30, 2022 December 31, 2021 Requirement/Agency Actual (1) Requirement (1) Actual (1) Requirement (1) (dollars in thousands) Capital Fannie Mae & Freddie Mac $ 6,556,595 $ 772,807 $ 5,872,064 $ 722,040 Ginnie Mae $ 5,868,827 $ 933,482 $ 5,424,747 $ 976,303 HUD $ 5,868,827 $ 2,500 $ 5,424,747 $ 2,500 Liquidity Fannie Mae & Freddie Mac $ 1,545,995 $ 103,846 $ 316,659 $ 93,973 Ginnie Mae $ 1,545,995 $ 239,211 $ 316,659 $ 220,577 Adjusted net worth / Total assets ratio Ginnie Mae 36 % 6 % 29 % 6 % Tangible net worth / Total assets ratio Fannie Mae & Freddie Mac 40 % 6 % 32 % 6 % (1) Calculated in compliance with the respective Agency’s requirements. In August 2022, the Agencies issued revised capital and liquidity requirements. The requirements will be effective at various dates beginning September 30, 2023, for issuers of securities guaranteed by Ginnie Mae and seller/servicers of mortgage loans to Fannie Mae and Freddie Mac. The Company believes it is in compliance with Agencies’ revised requirements as currently interpreted as of September 30, 2022. Noncompliance with an Agency’s requirements can result in such Agency taking various remedial actions up to and including terminating the Company’s ability to sell loans to and service loans on behalf of the respective Agency. |
Segments
Segments | 9 Months Ended |
Sep. 30, 2022 | |
Segments | |
Segments | Note 23—Segments The Company conducts its business in three segments: production, servicing (together, production and servicing comprise its mortgage banking activities) and investment management: ● The production segment performs loan origination, acquisition and sale activities. ● The servicing segment performs loan servicing for loans held for sale and loans serviced for others, including for PMT. ● The investment management segment represents the Company’s investment management activities relating to PMT, which include the activities associated with investment asset acquisitions and dispositions such as sourcing, due diligence, negotiation and settlement. The Company’s reportable segments are identified based on their unique activities. The Company’s chief operating decision maker is its chief executive officer. The following disclosures about the Company’s business segments are presented consistent with the way the Company’s chief operating decision maker organizes and evaluates financial information for making operating decisions and assessing performance. Financial performance and results by segment are as follows: Quarter ended September 30, 2022 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 140,683 $ 28,011 $ 168,694 $ — $ 168,694 Loan origination fees 34,037 — 34,037 — 34,037 Fulfillment fees from PennyMac Mortgage Investment Trust 18,407 — 18,407 — 18,407 Net loan servicing fees — 243,742 243,742 — 243,742 Net interest income (expense): Interest income 30,825 52,169 82,994 — 82,994 Interest expense 24,970 57,995 82,965 — 82,965 5,855 (5,826) 29 — 29 Management fees — — — 7,731 7,731 Other 474 556 1,030 2,620 3,650 Total net revenue 199,456 266,483 465,939 10,351 476,290 Expenses 160,884 121,200 282,084 8,734 290,818 Income before provision for income taxes $ 38,572 $ 145,283 $ 183,855 $ 1,617 $ 185,472 Segment assets at quarter end $ 4,708,512 $ 11,626,311 $ 16,334,823 $ 26,988 $ 16,361,811 (1) All revenues are from external customers. 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. Nine months ended September 30, 2022 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on loans held for sale at fair value $ 515,188 $ 174,532 $ 689,720 $ — $ 689,720 Loan origination fees 141,840 — 141,840 — 141,840 Fulfillment fees from PennyMac Mortgage Investment Trust 55,807 — 55,807 — 55,807 Net loan servicing fees — 768,498 768,498 — 768,498 Net interest income (expense): Interest income 90,145 96,595 186,740 — 186,740 Interest expense 71,236 160,163 231,399 — 231,399 18,909 (63,568) (44,659) — (44,659) Management fees — — — 23,758 23,758 Other 1,842 2,072 3,914 6,431 10,345 Total net revenue 733,586 881,534 1,615,120 30,189 1,645,309 Expenses 676,090 343,473 1,019,563 28,228 1,047,791 Income before provision for income taxes $ 57,496 $ 538,061 $ 595,557 $ 1,961 $ 597,518 Segment assets at period end $ 4,708,512 $ 11,626,311 $ 16,334,823 $ 26,988 $ 16,361,811 (1) All revenues are from external customers. Nine months ended September 30, 2021 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (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. ( |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2022 | |
Subsequent Events | |
Subsequent Events | Note 24—Subsequent Events Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period: ● On October 25, 2022, the Company announced that the board of directors declared a cash dividend of $0.20 per common share. The dividend will be paid on November 23, 2022 to common shareholders of record as of November 14, 2022. ● 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) - PennyMac Mortgage Investment Trust | 9 Months Ended |
Sep. 30, 2022 | |
Transactions with Affiliates | |
Summary of lending activity between the Company and affiliate | Quarter ended September 30, Nine months ended September 30, 2022 2021 2022 2021 (in thousands) Net gains on loans held for sale at fair value: Net losses on loans held for sale to PMT (primarily cash) $ — $ — $ (2,820) $ — Mortgage servicing rights and excess servicing spread recapture incurred (1,648) (12,976) (13,232) (38,772) $ (1,648) $ (12,976) $ (16,052) $ (38,772) Sale of loans held for sale to PMT $ — $ — $ 298,862 $ — Tax service fees earned from PMT included in Loan origination fees $ 2,192 $ 6,541 $ 6,938 $ 21,861 Fulfillment fee revenue $ 18,407 $ 43,922 $ 55,807 $ 158,777 Unpaid principal balance ("UPB") of loans fulfilled for PMT subject to fulfillment fees $ 10,226,513 $ 28,605,098 $ 30,319,475 $ 92,846,231 Sourcing fees included in cost of loans purchased from PMT $ 1,203 $ 1,537 $ 3,562 $ 4,905 Unpaid principal balance of loans purchased from PMT $ 12,261,222 $ 15,249,441 $ 35,643,210 $ 49,106,232 |
Summary of loan servicing fees earned from PMT | Quarter ended September 30, Nine months ended September 30, Loan type serviced 2022 2021 2022 2021 (in thousands) Loans acquired for sale $ 258 $ 698 $ 780 $ 1,871 Loans at fair value 111 89 427 306 Mortgage servicing rights 19,878 19,916 60,463 57,634 $ 20,247 $ 20,703 $ 61,670 $ 59,811 |
Summary of management fees earned | Quarter ended September 30, Nine months ended September 30, 2022 2021 2022 2021 (in thousands) Base management $ 7,731 $ 8,778 $ 23,758 $ 25,875 Performance incentive (adjustment) — (258) — 3,007 $ 7,731 $ 8,520 $ 23,758 $ 28,882 |
Summary of reimbursement of expenses | Quarter ended September 30, Nine months ended September 30, 2022 2021 2022 2021 (in thousands) Reimbursement of: Expenses incurred on PMT's behalf, net $ 705 $ 4,396 $ 8,896 $ 13,536 Common overhead incurred by the Company 2,574 1,548 6,247 3,387 Compensation 165 165 495 495 $ 3,444 $ 6,109 $ 15,638 $ 17,418 Payments and settlements during the period (1) $ 41,509 $ 51,020 $ 110,835 $ 238,202 (1) Payments and settlements include payments for the operating, investing and financing activities itemized in this Note. |
Summary of investing activity between the Company and affiliate | Quarter ended September 30, Nine months ended September 30, 2022 2021 2022 2021 (in thousands) Interest income relating to Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ — $ — $ — $ 387 Change in fair value of investment in and dividends received from PennyMac Mortgage Investment Trust $ (119) $ (67) $ (311) $ 478 September 30, December 31, 2022 2021 (in thousands) Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Fair value $ 884 $ 1,300 Number of shares 75 75 |
Summary of financing activity between the Company and affiliate | Nine months ended September 30, 2021 (in thousands) Excess servicing spread financing: Balance at beginning of period $ 131,750 Issuance pursuant to recapture agreement 557 Accrual of interest 1,280 Change in fair value 1,037 Repayment (134,624) Balance at end of period $ — 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 $ 614 |
Summary of amounts due from and payable to affiliate | September 30, December 31, 2022 2021 (in thousands) Receivable from PMT: Management fees $ 7,731 $ 8,918 Correspondent production fees 6,812 8,894 Servicing fees 6,711 6,848 Allocated expenses and expenses incurred on PMT's behalf 5,571 15,431 Fulfillment fees 5,481 — $ 32,306 $ 40,091 Payable to PMT: Amounts advanced by PMT to fund its servicing advances $ 84,418 $ 212,066 Other 3,560 15,953 $ 87,978 $ 228,019 |
Loan Sales and Servicing Acti_2
Loan Sales and Servicing Activities (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
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, 2022 2021 2022 2021 (in thousands) Cash flows: Sales proceeds $ 16,215,098 $ 39,040,868 $ 67,056,886 $ 118,048,768 Servicing fees received (1) $ 242,622 $ 178,684 $ 676,384 $ 576,332 (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, 2022 2021 (in thousands) UPB of loans outstanding $ 283,653,037 $ 254,524,015 Delinquent loans (1): 30-89 days $ 9,359,346 $ 6,129,597 90 days or more: Not in foreclosure $ 5,706,722 $ 8,399,299 In foreclosure $ 726,438 $ 715,016 Foreclosed $ 8,324 $ 6,900 Loans in bankruptcy $ 1,128,050 $ 1,039,362 Delinquent loans in COVID-19 pandemic-related forbearance plans: 30-89 days $ 1,501,578 $ 1,020,290 90 days or more 2,708,785 2,550,703 $ 4,210,363 $ 3,570,993 (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, 2022 Servicing Total rights owned Subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 283,653,037 $ — $ 283,653,037 Purchased 20,182,332 — 20,182,332 303,835,369 — 303,835,369 PennyMac Mortgage Investment Trust — 230,978,819 230,978,819 Loans held for sale 4,287,585 — 4,287,585 $ 308,122,954 $ 230,978,819 $ 539,101,773 Subserviced for the Company (1) $ 375,370 $ — $ 375,370 Delinquent loans (2): 30 days $ 7,604,547 $ 1,302,774 $ 8,907,321 60 days 2,447,898 247,285 2,695,183 90 days or more: Not in foreclosure 5,980,180 785,860 6,766,040 In foreclosure 807,860 71,060 878,920 Foreclosed 8,959 8,595 17,554 $ 16,849,444 $ 2,415,574 $ 19,265,018 Loans in bankruptcy $ 1,288,876 $ 126,299 $ 1,415,175 Delinquent loans in COVID-19 pandemic-related forbearance plans: 30 days $ 717,783 $ 121,966 $ 839,749 60 days 830,299 110,363 940,662 90 days or more 2,813,468 435,609 3,249,077 $ 4,361,550 $ 667,938 $ 5,029,488 Custodial funds managed by the Company (3) $ 5,385,565 $ 2,898,932 $ 8,284,497 (1) Certain of the mortgage loans for which the Company has purchased the MSRs are subserviced on the Company’s behalf by other mortgage loan servicers on an interim basis when servicing of the loans has not yet been transferred to the Company’s loan servicing platform. (2) Includes delinquent loans in COVID-19 pandemic-related forbearance plans that were requested by borrowers seeking payment relief in accordance with the CARES Act. (3) 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 these custodial funds where it owns the MSRs and they are included in Interest income in the Company’s consolidated statements of income. December 31, 2021 Servicing Total rights owned Subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 254,524,015 $ — $ 254,524,015 Purchased 23,861,358 — 23,861,358 278,385,373 — 278,385,373 PennyMac Mortgage Investment Trust — 221,892,142 221,892,142 Loans held for sale 9,430,766 — 9,430,766 $ 287,816,139 $ 221,892,142 $ 509,708,281 Delinquent loans (1): 30 days $ 5,338,545 $ 974,055 $ 6,312,600 60 days 1,604,782 190,727 1,795,509 90 days or more: Not in foreclosure 9,001,137 1,750,628 10,751,765 In foreclosure 829,494 43,793 873,287 Foreclosed 8,017 16,489 24,506 $ 16,781,975 $ 2,975,692 $ 19,757,667 Loans in bankruptcy $ 1,261,980 $ 133,655 $ 1,395,635 Delinquent loans in COVID-19 pandemic-related forbearance plans: 30 days $ 554,161 $ 81,580 $ 635,741 60 days 556,990 89,534 646,524 90 days or more 2,732,089 638,703 3,370,792 $ 3,843,240 $ 809,817 $ 4,653,057 Custodial funds managed by the Company $ 8,485,081 $ 3,823,527 $ 12,308,608 (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 these custodial funds where it owns the MSRs and they 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 2022 2021 (in thousands) California $ 67,949,538 $ 67,317,935 Florida 49,221,053 45,222,233 Texas 45,908,590 42,064,686 Virginia 33,026,449 31,442,370 Maryland 25,093,210 23,922,075 All other states 317,902,933 299,738,982 $ 539,101,773 $ 509,708,281 |
Fair Value (Tables)
Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Fair Value | |
Summary of financial statement items measured at estimated fair value on a recurring basis | September 30, 2022 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investment $ 36,098 $ — $ — $ 36,098 Loans held for sale at fair value — 3,805,090 344,636 4,149,726 Derivative assets: Interest rate lock commitments — — 12,195 12,195 Forward purchase contracts — 5,042 — 5,042 Forward sales contracts — 375,955 — 375,955 MBS put options — 17,152 — 17,152 MBS call options — 55 — 55 Put options on interest rate futures purchase contracts 70,577 — — 70,577 Call options on interest rate futures purchase contracts 4,680 — — 4,680 Total derivative assets before netting 75,257 398,204 12,195 485,656 Netting — — — (321,496) Total derivative assets 75,257 398,204 12,195 164,160 Mortgage servicing rights at fair value — — 5,661,672 5,661,672 Investment in PennyMac Mortgage Investment Trust 884 — — 884 $ 112,239 $ 4,203,294 $ 6,018,503 $ 10,012,540 Liabilities: Derivative liabilities: Interest rate lock commitments $ — $ — $ 68,398 $ 68,398 Forward purchase contracts — 226,369 — 226,369 Forward sales contracts — 8,819 — 8,819 MBS call options — 118 — 118 Put options on interest rate futures sales contracts 11,766 — — 11,766 Call options on interest rate futures sale contracts 375 — — 375 Total derivative liabilities before netting 12,141 235,306 68,398 315,845 Netting — — — (190,358) Total derivative liabilities 12,141 235,306 68,398 125,487 Mortgage servicing liabilities at fair value — — 2,214 2,214 $ 12,141 $ 235,306 $ 70,612 $ 127,701 December 31, 2021 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investment $ 6,873 $ — $ — $ 6,873 Loans held for sale at fair value — 8,613,607 1,128,876 9,742,483 Derivative assets: Interest rate lock commitments — — 323,473 323,473 Forward purchase contracts — 20,485 — 20,485 Forward sales contracts — 40,215 — 40,215 MBS put options — 7,655 — 7,655 Swaption purchase contracts — 1,625 — 1,625 Put options on interest rate futures purchase contracts 3,141 — — 3,141 Call options on interest rate futures purchase contracts 2,078 — — 2,078 Total derivative assets before netting 5,219 69,980 323,473 398,672 Netting — — — (64,977) Total derivative assets 5,219 69,980 323,473 333,695 Mortgage servicing rights at fair value — — 3,878,078 3,878,078 Investment in PennyMac Mortgage Investment Trust 1,300 — — 1,300 $ 13,392 $ 8,683,587 $ 5,330,427 $ 13,962,429 Liabilities: Derivative liabilities: Interest rate lock commitments $ — $ — $ 1,280 $ 1,280 Forward purchase contracts — 18,007 — 18,007 Forward sales contracts — 35,415 — 35,415 Total derivative liabilities before netting — 53,422 1,280 54,702 Netting — — — (32,096) Total derivative liabilities — 53,422 1,280 22,606 Mortgage servicing liabilities at fair value — — 2,816 2,816 $ — $ 53,422 $ 4,096 $ 25,422 |
Summary of roll forward of items measured using Level 3 inputs on a recurring basis | Quarter ended September 30, 2022 Net interest Mortgage Loans held rate lock servicing Assets for sale commitments (1) rights Total (in thousands) Balance, June 30, 2022 $ 503,553 $ 65,151 $ 5,217,167 $ 5,785,871 Purchases and issuances, net 260,721 38,481 4,140 303,342 Capitalization of interest and advances 6,361 — — 6,361 Sales and repayments (71,078) — — (71,078) Mortgage servicing rights resulting from loan sales — — 345,077 345,077 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (9,217) — — (9,217) Other factors (4,801) (127,835) 95,288 (37,348) (14,018) (127,835) 95,288 (46,565) Transfers from Level 3 to Level 2 (340,903) — — (340,903) Transfers to loans held for sale — (32,000) — (32,000) Balance, September 30, 2022 $ 344,636 $ (56,203) $ 5,661,672 $ 5,950,105 Changes in fair value recognized during the quarter relating to assets still held at September 30, 2022 $ (16,166) $ (56,203) $ 95,288 $ 22,919 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended Liabilities September 30, 2022 (in thousands) Mortgage servicing liabilities: Balance, June 30, 2022 $ 2,337 Changes in fair value included in income (123) Balance, September 30, 2022 $ 2,214 Changes in fair value recognized during the quarter relating to liabilities still outstanding at September 30, 2022 $ (123) 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) Nine months ended September 30, 2022 Net interest Mortgage Loans held rate lock servicing Assets for sale commitments (1) rights Total (in thousands) Balance, December 31, 2021 $ 1,128,876 $ 322,193 $ 3,878,078 $ 5,329,147 Purchases and issuances, net 2,994,447 345,770 4,140 3,344,357 Capitalization of interest and advances 54,080 — — 54,080 Sales and repayments (1,335,966) — — (1,335,966) Mortgage servicing rights resulting from loan sales — — 1,359,632 1,359,632 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (39,427) — — (39,427) Other factors (26,119) (694,318) 419,822 (300,615) (65,546) (694,318) 419,822 (340,042) Transfers from Level 3 to Level 2 (2,430,869) — — (2,430,869) Transfers to real estate acquired in settlement of loans (386) — — (386) Transfers to loans held for sale — (29,848) — (29,848) Balance, September 30, 2022 $ 344,636 $ (56,203) $ 5,661,672 $ 5,950,105 Changes in fair value recognized during the period relating to assets still held at September 30, 2022 $ (31,587) $ (56,203) $ 419,822 $ 332,032 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Nine months ended Liabilities September 30, 2022 (in thousands) Mortgage servicing liabilities: Balance, December 31, 2021 $ 2,816 Changes in fair value included in income (602) Balance, September 30, 2022 $ 2,214 Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2022 $ (602) 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 of interest rate lock commitments 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 Mortgage servicing liabilities resulting from loan sales — 98,147 98,147 Changes in fair value included in income 1,037 (95,904) (94,867) Repayments (134,624) — (134,624) 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) |
Summary of changes in fair value relating to financial statement items | Quarter ended September 30, 2022 2021 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 $ (69,358) $ — $ (69,358) $ 645,536 $ — $ 645,536 Mortgage servicing rights — 95,288 95,288 — (233,957) (233,957) $ (69,358) $ 95,288 $ 25,930 $ 645,536 $ (233,957) $ 411,579 Liabilities: Mortgage servicing liabilities $ — $ 123 $ 123 $ — $ 86,288 $ 86,288 Nine months ended September 30, 2022 2021 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 $ (273,701) $ — $ (273,701) $ 2,057,496 $ — $ 2,057,496 Mortgage servicing rights — 419,822 419,822 — (356,378) (356,378) $ (273,701) $ 419,822 $ 146,121 $ 2,057,496 $ (356,378) $ 1,701,118 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust $ — $ — $ — $ — $ (1,037) $ (1,037) Mortgage servicing liabilities — 602 602 — 95,904 95,904 $ — $ 602 $ 602 $ — $ 94,867 $ 94,867 |
Schedule of fair value and related principal amounts due upon maturity of assets and liabilities accounted for under the fair value option | September 30, 2022 December 31, 2021 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 $ 4,087,039 $ 4,217,099 $ (130,060) $ 9,577,398 $ 9,263,242 $ 314,156 90 days or more delinquent: Not in foreclosure 50,232 54,141 (3,909) 153,162 153,875 (713) In foreclosure 12,455 16,345 (3,890) 11,923 13,649 (1,726) $ 4,149,726 $ 4,287,585 $ (137,859) $ 9,742,483 $ 9,430,766 $ 311,717 |
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, 2022 $ — $ — $ 911 $ 911 December 31, 2021 $ — $ — $ 2,588 $ 2,588 |
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, 2022 2021 2022 2021 (in thousands) Real estate acquired in settlement of loans $ (131) $ (284) $ (838) $ (912) |
Summary of carrying value and fair value of debt | September 30, 2022 December 31, 2021 Fair value Carrying value Fair value Carrying value (in thousands) Notes payable secured by mortgage servicing assets $ 1,717,125 $ 1,793,972 $ 1,302,640 $ 1,297,622 Unsecured senior notes $ 1,371,500 $ 1,778,988 $ 1,790,375 $ 1,776,219 |
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, 2022 2021 2022 2021 (Amount recognized and unpaid principal balance of underlying loans in thousands) MSR and pool characteristics: Amount recognized $ 345,077 $ 432,429 $ 1,359,632 $ 1,386,324 Unpaid principal balance of underlying loans $ 16,003,556 $ 33,697,228 $ 65,956,748 $ 105,470,580 Weighted average servicing fee rate (in basis points) 49 34 44 33 Key inputs (1): Annual total prepayment speed (2): Range 6.8% – 19.1% 7.2% – 31.0% 5.7% – 23.4% 6.2% – 31.0% Weighted average 11.1% 9.2% 9.0% 8.5% Equivalent average life (in years): Range 4.0 – 8.1 3.0 – 8.4 3.7 – 9.2 3.0 – 9.0 Weighted average 7.4 7.7 8.1 8.1 Pricing spread (3): Range 5.5% – 11.4% 6.0% – 16.9% 5.5% – 16.1% 6.0% – 16.9% Weighted average 8.1% 8.5% 7.8% 9.0% Per-loan annual cost of servicing: Range $79 – $116 $80 – $117 $79 – $177 $80 – $117 Weighted average $105 $102 $104 $104 (1) Weighted average inputs are based on the UPB of the underlying loans. (2) 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. (3) Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. Effective January 1, 2022, the Company applies a pricing spread to the United State Treasury Securities (the “Treasury”) yield curve for purposes of discounting cash flows relating to MSRs. Through December 31, 2021, the Company applied its pricing spread to the United States Dollar London Interbank Offered Rate (“LIBOR”)/swap curve. The change in reference interest rate from the LIBOR/swap curve to the Treasury yield curve did not have a significant effect on the Company’s fair value measurement of MSRs. |
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, 2022 December 31, 2021 (Fair value, unpaid principal balance of underlying loans and effect on fair value amounts in thousands) Fair value $ 5,661,672 $ 3,878,078 Pool characteristics: Unpaid principal balance of underlying loans $ 303,800,226 $ 278,324,780 Weighted average note interest rate 3.3% 3.2% Weighted average servicing fee rate (in basis points) 36 34 Key inputs (1): Annual total prepayment speed (2): Range 5.1% – 17.1% 7.9% – 26.7% Weighted average 7.6% 10.7% Equivalent average life (in years): Range 3.8 – 9.3 3.1 – 7.7 Weighted average 8.3 6.8 Effect on fair value of (3): 5% adverse change ($75,034) ($80,109) 10% adverse change ($147,692) ($157,252) 20% adverse change ($286,318) ($303,259) Pricing spread (4): Range 4.9% – 14.8% 5.3% – 15.5% Weighted average 6.9% 7.7% Effect on fair value of (3): 5% adverse change ($80,798) ($59,577) 10% adverse change ($159,312) ($117,352) 20% adverse change ($309,839) ($227,791) Per-loan annual cost of servicing: Range $80 – $149 $79 – $197 Weighted average $106 $108 Effect on fair value of (3): 5% adverse change ($38,133) ($32,979) 10% adverse change ($76,265) ($65,958) 20% adverse change ($152,531) ($131,916) (1) Weighted average inputs are based on the UPB of the underlying loans. (2) 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. (3) These sensitivity analyses are limited in that they were performed as of a particular date; only contemplate the movements in the indicated inputs; do not incorporate changes to other inputs; are subject to the accuracy of the models and inputs used; and do not incorporate other factors that would affect the Company’s overall financial performance in such events, including operational adjustments made to account for changing circumstances. For these reasons, the estimates should not be viewed as earnings forecasts. (4) Effective January 1, 2022, the Company applies a pricing spread to the Treasury yield curve for purposes of discounting cash flows relating to MSRs. Through December 31, 2021, the Company applied its pricing spread to the United States Dollar LIBOR/swap curve. The change in reference interest rate from the LIBOR/swap curve to the Treasury yield curve did not have a significant effect on the Company’s fair value measurement of MSRs. |
Mortgage servicing liabilities | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | September 30, December 31, 2022 2021 Fair value (in thousands) $ 2,214 $ 2,816 Pool characteristics: Unpaid principal balance of underlying loans (in thousands) $ 35,143 $ 60,593 Servicing fee rate (in basis points) 25 25 Key inputs (1): Annual total prepayment speed (2) 17.5% 19.8% Equivalent average life (in years) 4.8 4.1 Pricing spread (3) 7.7% 6.9% Per-loan annual cost of servicing $ 1,208 $ 1,406 (1) Weighted average inputs are based on UPB of the underlying mortgage loans. (2) 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. (3) Effective January 1, 2022, the Company applies a pricing spread to the Treasury yield curve for purposes of discounting cash flows relating to MSLs. Through December 31, 2021, the Company applied its pricing spread to the United States Dollar London LIBOR/swap curve. The change in reference interest rate from the LIBOR/swap curve to the Treasury yield curve did not have a significant effect on the Company’s fair value measurement of MSLs. |
Interest rate lock commitments | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | September 30, 2022 December 31, 2021 Fair value (in thousands) (1) $ (56,203) $ 322,193 Key inputs Pull-through rate: Range 7.9% – 100% 8.0% – 100% Weighted average 79.5% 78.4% Mortgage servicing rights fair value expressed as: Servicing fee multiple: Range (3.3) – 7.5 (8.5) – 6.7 Weighted average 4.4 3.8 Percentage of loan commitment amount Range (0.6)% – 3.8% (1.6)% – 3.6% Weighted average 2.0% 1.5% (1) For purpose of this table, IRLC asset and liability positions are shown net. (2) Weighted average inputs are based on the committed amounts. |
Mortgage loans held for sale | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | September 30, 2022 December 31, 2021 Fair value (in thousands) $ 344,636 $ 1,128,876 Key inputs (1): Discount rate: Range 3.3% – 10.2% 2.2% – 9.2% Weighted average 3.6% 2.3% Twelve-month projected housing price index change: Range (0.1)% – 0.1% 6.1% – 6.5% Weighted average 0.0% 6.2% Voluntary prepayment/resale speed (2): Range 4.7% – 27.6% 0.4% – 30.3% Weighted average 24.4% 22.0% Total prepayment/resale speed (3): Range 4.8% – 37.4% 0.4% – 39.3% Weighted average 31.9% 28.2% (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/resale speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayment/resale speeds. |
Loans Held for Sale at Fair V_2
Loans Held for Sale at Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Loans Held for Sale at Fair Value | |
Summary of loans held for sale at fair value | September 30, December 31, Loan type 2022 2021 (in thousands) Government-insured or guaranteed $ 3,256,696 $ 6,030,518 Conventional conforming 536,800 2,583,089 Jumbo 11,594 — Home equity loans 972 — Purchased from Ginnie Mae securities serviced by the Company 299,157 1,082,444 Repurchased pursuant to representations and warranties 44,507 46,432 $ 4,149,726 $ 9,742,483 Fair value of loans pledged to secure: Assets sold under agreements to repurchase $ 3,626,320 $ 8,629,861 Mortgage loan participation purchase and sale agreements 385,944 505,716 $ 4,012,264 $ 9,135,577 |
Derivative Financial Instrume_2
Derivative Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Derivative Financial Instruments | |
Summary of derivative financial instruments | September 30, 2022 December 31, 2021 Fair value Fair value Notional Derivative Derivative Notional Derivative Derivative Derivative instrument amount (1) assets liabilities amount (1) assets liabilities (in thousands) Not subject to master netting arrangements: Interest rate lock commitments 7,070,065 $ 12,195 $ 68,398 14,111,795 $ 323,473 $ 1,280 Subject to master netting arrangements (2): Forward purchase contracts 9,477,520 5,042 226,369 22,007,383 20,485 18,007 Forward sales contracts 14,995,779 375,955 8,819 34,429,676 40,215 35,415 MBS put options 700,000 17,152 — 9,550,000 7,655 — MBS call options — 55 118 — — — Put options on interest rate futures purchase contracts 4,335,000 70,577 — 2,450,000 3,141 — Call options on interest rate futures purchase contracts 2,675,000 4,680 — 1,250,000 2,078 — Put options on interest rate futures sale contracts 300,000 — 11,766 — — — Call options on interest rate futures sale contracts 400,000 — 375 — — — Swaption purchase contracts — — — 5,375,000 1,625 — Treasury futures purchase contracts 4,143,200 — — 1,544,800 — — Treasury futures sale contracts 3,491,400 — — 1,925,000 — — Interest rate swap futures purchase contracts — — — 3,010,600 — — Interest rate swap futures sale contracts — — — 2,187,200 — — Total derivatives before netting 485,656 315,845 398,672 54,702 Netting (321,496) (190,358) (64,977) (32,096) $ 164,160 $ 125,487 $ 333,695 $ 22,606 Deposits received from derivative counterparties included in the derivative balances above, net $ 131,138 $ 32,881 (1) Notional amounts provide an indication of the volume of the Company’s derivative activity. (2) All derivatives used for hedging purposes are interest rate derivatives and are used as economic hedges. |
Summary of the amount of derivative asset positions by significant counterparty after considering master netting arrangements and financial instruments or cash pledged | September 30, 2022 December 31, 2021 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 $ 12,195 $ — $ — $ 12,195 $ 323,473 $ — $ — $ 323,473 RJ O'Brien 63,116 — — 63,116 5,219 — — 5,219 Morgan Stanley Bank, N.A. 54,619 — — 54,619 — — — Bank of America, N.A. 17,549 — — 17,549 3,005 — — 3,005 Citibank, N.A. 10,660 — — 10,660 — — — — Others 6,021 — — 6,021 1,998 — — 1,998 $ 164,160 $ — $ — $ 164,160 $ 333,695 $ — $ — $ 333,695 |
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 | 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 meet the accounting guidance to qualify for setoff accounting. 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, 2022 December 31, 2021 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 (1) pledged amount balance sheet instruments (1) pledged amount (in thousands) Interest rate lock commitments $ 68,398 $ — $ — $ 68,398 $ 1,280 $ — $ — $ 1,280 Credit Suisse First Boston Mortgage Capital LLC 1,116,556 (1,116,343) — 213 1,974,278 (1,969,670) — 4,608 Bank of America, N.A. 995,818 (995,818) — — 1,758,690 (1,758,690) — — Morgan Stanley Bank, N.A. 269,997 (269,997) — — 299,580 (292,105) — 7,475 BNP Paribas 242,282 (241,058) — 1,224 349,172 (349,172) — — Royal Bank of Canada 198,400 (198,400) — — 496,064 (496,064) — — Wells Fargo Bank, N.A. 194,706 (187,153) — 7,553 203,779 (200,338) — 3,441 Barclays Capital 184,647 (161,390) — 23,257 677,419 (676,685) — 734 Citibank, N.A. 157,702 (157,702) — — 403,003 (402,806) — 197 JPMorgan Chase Bank, N.A. 142,962 (139,205) — 3,757 300,912 (300,912) — — Goldman Sachs 36,515 (23,016) — 13,499 853,147 (850,918) — 2,229 Bank of Oklahoma 3,791 — — 3,791 603 — — 603 Nomura Securities International, Inc. 3,178 — — 3,178 273 — — 273 Others 617 — — 617 1,766 — — 1,766 $ 3,615,569 $ (3,490,082) $ — $ 125,487 $ 7,319,966 $ (7,297,360) $ — $ 22,606 (1) Amounts represent the UPB of Assets sold under agreements to repurchase . |
Summary of gains (losses) recognized on derivative financial instruments and the respective income statement line items | Quarter ended September 30, Nine months ended September 30, Derivative activity Income statement line 2022 2021 2022 2021 (in thousands) Interest rate lock commitments Net gains on loans held for sale at fair value (1) $ (121,353) $ 17,313 $ (378,396) $ (316,103) Hedged item: Interest rate lock commitments and loans held for sale Net gains on loans held for sale at fair value $ 363,272 $ (19,294) $ 1,360,341 $ 275,510 Mortgage servicing rights Net loan servicing fees–Mortgage servicing rights hedging results $ (164,749) $ (86,459) $ (558,614) $ (437,492) (1) Represents net change 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, 2022 | |
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, 2022 2021 2022 2021 (in thousands) Balance at beginning of period $ 5,217,167 $ 3,412,648 $ 3,878,078 $ 2,581,174 Additions: MSRs resulting from loan sales 345,077 432,429 1,359,632 1,386,324 Purchases 4,140 — 4,140 — 349,217 432,429 1,363,772 1,386,324 Change in fair value due to: Changes in valuation inputs used in valuation model (1) 237,154 (119,674) 794,779 (46,298) Other changes in fair value (2) (141,866) (114,283) (374,957) (310,080) Total change in fair value 95,288 (233,957) 419,822 (356,378) Balance at end of period $ 5,661,672 $ 3,611,120 $ 5,661,672 $ 3,611,120 UPB of underlying loans at end of period $ 303,800,226 $ 259,220,948 September 30, December 31, 2022 2021 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 5,604,447 $ 3,856,791 (1) Principally reflects changes in annual total prepayment speed, pricing spread, 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, 2022 2021 2022 2021 (in thousands) Balance at beginning of period $ 2,337 $ 100,091 $ 2,816 $ 45,324 Mortgage servicing liabilities resulting from loan sales — 33,764 — 98,147 Changes in fair value due to: Changes in valuation inputs used in valuation model (1) (38) (54,222) (305) (36,375) Other changes in fair value (2) (85) (32,066) (297) (59,529) Total change in fair value (123) (86,288) (602) (95,904) Balance at end of period $ 2,214 $ 47,567 $ 2,214 $ 47,567 UPB of underlying loans at end of period $ 35,143 $ 8,885,785 (1) Principally reflects changes in expected borrower performance and servicer losses given default. 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 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, 2022 2021 2022 2021 (in thousands) Contractual servicing fees $ 270,336 $ 216,592 $ 774,483 $ 635,620 Other fees: Late charges 10,533 7,480 30,177 22,076 Other 2,952 7,457 11,487 23,079 $ 283,821 $ 231,529 $ 816,147 $ 680,775 |
Leases (Tables)
Leases (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Leases | |
Summary of Company's leases | Quarter ended September 30, Nine months ended September 30, 2022 2021 2022 2021 (dollars in thousands) Lease expense: Operating leases $ 5,046 $ 4,671 $ 15,008 $ 13,545 Short-term leases 235 196 695 666 Net lease expense included in Occupancy and equipment $ 5,281 $ 4,867 $ 15,703 $ 14,211 Other information: Payments for operating leases $ 5,544 $ 5,210 $ 15,801 $ 15,395 Operating lease right-of-use assets $ 571 $ 13,058 $ 1,364 $ 20,871 Period end weighted averages: Remaining lease term (in years) 4.9 6.0 Discount rate 3.8% 4.0% |
Schedule of maturities of operating lease liabilities | Twelve months ended September 30, Operating leases (in thousands) 2023 $ 24,786 2024 21,921 2025 18,855 2026 15,424 2027 8,896 Thereafter 13,263 Total lease payments 103,145 Less imputed interest (10,765) Operating lease liability $ 92,380 |
Other Assets (Tables)
Other Assets (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Other Asset | |
Summary of other assets | September 30, December 31, 2022 2021 (in thousands) Capitalized software, net $ 152,655 $ 109,480 Derivative settlements receivable 115,384 20,026 Prepaid expenses 47,008 64,924 Furniture, fixtures, equipment and building improvements, net 29,928 31,677 Servicing fees receivable, net 25,861 23,672 Other servicing receivables 19,928 113,820 Interest receivable 18,793 9,688 Deposits securing Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets 9,886 36,632 Real estate acquired in settlement of loans 7,963 7,474 Margin deposits 1,539 100,482 Other 44,582 98,741 $ 473,527 $ 616,616 Other assets pledged to secure: Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 9,886 $ 36,632 Obligations under capital lease Capitalized software, net — 4,546 Furniture, fixture, equipment and building improvements, net — 4,116 $ 9,886 $ 45,294 |
Short-Term Debt (Tables)
Short-Term Debt (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Short-Term Debt | |
Summary of financial data pertaining to assets sold under agreements to repurchase | Quarter ended September 30, Nine months ended September 30, 2022 2021 2022 2021 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ 1,949,452 $ 6,031,491 $ 2,622,581 $ 7,336,341 Weighted average interest rate (1) 4.34 % 2.11 % 2.90 % 2.12 % Total interest expense $ 24,329 $ 35,783 $ 67,048 $ 132,585 Maximum daily amount outstanding $ 3,490,082 $ 8,044,148 $ 7,289,147 $ 10,969,029 September 30, December 31, 2022 2021 (dollars in thousands) Carrying value: Unpaid principal balance funded under: Committed facilities $ 2,703,673 $ 5,079,581 Uncommitted facilities 786,409 2,217,779 3,490,082 7,297,360 Unamortized debt issuance costs (2,747) (4,625) $ 3,487,335 $ 7,292,735 Weighted average interest rate 4.66 % 1.83 % Available borrowing capacity (2): Committed $ 801,328 $ 285,419 Uncommitted 5,333,590 8,417,221 $ 6,134,918 $ 8,702,640 Fair value of assets securing repurchase agreements: Loans held for sale $ 3,626,320 $ 8,629,861 Servicing advances (3) $ 253,370 $ 232,107 Mortgage servicing rights (3) $ 5,604,447 $ 3,552,812 Deposits (3) $ 9,886 $ 36,632 (1) Excludes the effect of amortization of debt issuance costs and utilization fees of $3.0 million and $3.7 million for the quarters ended September 30, 2022 and 2021, respectively, and $10.1 million and $15.5 million for the nine months ended September 30, 2022 and 2021, 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 for the VFN and GMSR Servicing Advance Notes described above, 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. |
Summary of maturities of outstanding advances under repurchase agreements by maturity date | Remaining maturity at September 30, 2022 Unpaid principal balance (dollars in thousands) Within 30 days $ 715,649 Over 30 to 90 days 2,469,343 Over 90 to 180 days 191,861 Over 180 days to one year 13,229 Over one year to two years 100,000 Total assets sold under agreements to repurchase $ 3,490,082 Weighted average maturity (in months) 3.1 |
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) $ 3,451,397 May 31, 2024 May 31, 2024 JP Morgan Chase Bank, N.A. (warehouse facility) $ 77,947 December 4, 2022 June 17, 2024 JP Morgan Chase Bank, N.A. (EBO facility) $ 39,006 August 16, 2023 June 6, 2024 Credit Suisse First Boston Mortgage Capital LLC $ 39,317 November 13, 2022 May 31, 2024 Royal Bank of Canada $ 24,518 January 13, 2023 September 14, 2023 Morgan Stanley Bank, N.A. $ 23,564 December 10, 2022 January 3, 2024 BNP Paribas $ 13,192 December 16, 2022 July 31, 2023 Barclays Bank PLC $ 11,178 November 3, 2022 November 3, 2022 Citibank, N.A. $ 7,062 December 16, 2022 April 26, 2024 Bank of America, N.A. $ 5,367 December 15, 2022 June 5, 2024 Goldman Sachs $ 414 December 11, 2022 December 23, 2023 Wells Fargo Bank, N.A. $ — September 30, 2022 November 17, 2023 (1) The calculation of the amount at risk includes the VFN and the Term Notes because beneficial interests in the Ginnie Mae MSRs and servicing advances are pledged to the Issuer Trust and together serve as the collateral backing for 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, 2022 2021 2022 2021 (dollars in thousands) Average balance $ 210,639 $ 237,849 $ 216,167 $ 256,109 Weighted average interest rate (1) 3.65 % 1.44 % 2.53 % 1.38 % Total interest expense $ 2,073 $ 1,026 $ 4,570 $ 3,160 Maximum daily amount outstanding $ 507,297 $ 532,819 $ 515,043 $ 532,819 (1) Excludes the effect of amortization of debt issuance costs totaling $135,000 and $172,000 for the quarters ended September 30, 2022 and 2021, respectively, and $479,000 and $516,000 for the nine months ended September 30, 2022 and 2021, respectively. September 30, December 31, 2022 2021 (dollars in thousands) Carrying value: Unpaid principal balance $ 367,997 $ 479,845 Unamortized debt issuance costs (524) — $ 367,473 $ 479,845 Weighted average interest rate 4.48 % 1.48 % Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements $ 385,944 $ 505,716 |
Long-Term Debt (Tables)
Long-Term Debt (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Long-Term Debt. | |
Summary of obligations under capital lease | Quarter ended Nine months ended September 30, September 30, 2021 2022 2021 (dollars in thousands) Average balance $ 6,804 $ 1,130 $ 9,072 Weighted average interest rate 2.09% 2.18% 2.11% Total interest expense $ 36 $ 20 $ 143 Maximum daily amount outstanding $ 7,677 $ 3,489 $ 11,864 December 31, 2021 (dollars in thousands) Unpaid principal balance $ 3,489 Weighted average interest rate 2.11% Assets pledged to secure obligations under capital lease: Capitalized software $ 4,546 Furniture, fixtures and equipment $ 4,116 |
Summary of term notes issued | Annual interest rate Issuance date Principal balance Index Spread Stated maturity date (1) (in thousands) February 28, 2018 $ 650,000 One-month LIBOR 2.85% 2/25/2023 August 10, 2018 650,000 One-month LIBOR 2.65% 8/25/2023 June 3, 2022 500,000 SOFR 4.25% 5/25/2027 $ 1,800,000 (1) The Term Notes’ indentures provide the Company with the option to extend the maturity of the Term Notes by two years after their stated maturities . |
Summary of note payable | Quarter ended September 30, Nine months ended September 30, 2022 2021 2022 2021 (dollars in thousands) Average balance $ 1,800,000 $ 1,300,000 $ 1,510,623 $ 1,300,000 Weighted average interest rate (1) 5.31% 2.87% 4.13% 2.89% Total interest expense $ 24,795 $ 9,896 $ 48,360 $ 29,888 (1) Excludes the effect of amortization of debt issuance costs totaling $726,000 and $570,000 for the quarters ended September 30, 2022 and 2021, respectively, and $1.7 million for the nine months ended September 30, 2022 and 2021. September 30, December 31, 2022 2021 (dollars in thousands) Carrying value: Unpaid principal balance $ 1,800,000 $ 1,300,000 Unamortized debt issuance costs (6,028) (2,378) $ 1,793,972 $ 1,297,622 Weighted average interest rate 6.12% 2.84% Assets pledged to secure notes payable (1): Servicing advances $ 253,370 $ 232,107 Mortgage servicing rights $ 5,089,648 $ 3,856,791 Deposits pledged to the Issuer Trust $ 9,886 $ 36,632 (1) Beneficial interests in the Ginnie Mae MSRs, servicing advances and deposits are pledged to the Issuer Trust and together serve as the collateral for the VFN, the GMSR Servicing Advance Notes and any outstanding 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. Beneficial interests in the Fannie Mae MSRs are pledged to the PFSI Issuer Trust - FMSR and serve as the collateral for the FMSR VFN and any outstanding FMSR Term Notes. The FMSR VFN financing is included in Assets sold under agreements to repurchase and any outstanding FMSR Term Note would be 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 September 30, Nine months ended September 30, 2022 2021 2022 2021 (dollars in thousands) Average balance $ 1,800,000 $ 1,381,522 $ 1,800,000 $ 1,229,853 Weighted average interest rate (1) 5.07% 4.91% 5.07% 4.86% Total interest expense $ 23,949 $ 17,442 $ 71,065 $ 46,281 (1) Excludes the effect of amortization of debt issuance costs of $933,000 and $492,000 for the quarters ended September 30, 2022 and 2021, respectively, and $2.8 million and $1.4 million for the nine months ended September 30, 2022 and 2021, respectively. September 30, December 31, 2022 2021 (dollars in thousands) Carrying value: Unpaid principal balance $ 1,800,000 $ 1,800,000 Unamortized debt issuance costs and premiums, net (21,012) (23,781) $ 1,778,988 $ 1,776,219 Weighted average interest rate 5.07% 5.07% |
Summary of maturities of Long-Term Debt | Twelve months ended September 30, 2023 2024 2025 2026 2027 Thereafter Total (in thousands) Notes payable secured by mortgage servicing assets (1) $ 1,300,000 $ — $ — $ — $ 500,000 $ — $ 1,800,000 Unsecured senior notes — — — 650,000 — 1,150,000 1,800,000 Total $ 1,300,000 $ — $ — $ 650,000 $ 500,000 $ 1,150,000 $ 3,600,000 (1) The Term Notes’ indentures provide the Company with the option to extend the maturity of the Term Notes by two years after their stated maturities. |
Liability for Losses Under Re_2
Liability for Losses Under Representations and Warranties (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Liability for Losses Under Representations and Warranties | |
Summary of repurchase activity | Quarter ended September 30, Nine months ended September 30, 2022 2021 2022 2021 (in thousands) Balance at beginning of period $ 39,336 $ 44,335 $ 43,521 $ 32,688 Provision for losses: Resulting from sales of loans 1,651 6,561 7,887 26,918 Reduction in liability due to change in estimate (1,769) (4,355) (7,165) (11,680) Losses incurred, net (2,031) (735) (7,056) (2,120) Balance at end of period $ 37,187 $ 45,806 $ 37,187 $ 45,806 Unpaid principal balance of loans subject to representations and warranties at end of period $ 285,532,190 $ 245,528,045 |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Stockholders' Equity. | |
Summary of share repurchase activity | Quarter ended September 30, Nine months ended September 30, Cumulative 2022 2021 2022 2021 total (1) (in thousands) Shares of common stock repurchased 1,949 4,195 6,696 11,422 31,770 Cost of shares of common stock repurchased $ 99,702 $ 257,354 $ 354,759 $ 700,793 $ 1,665,380 (1) Amounts represent the total shares of common stock repurchased under the stock repurchase program from inception through September 30, 2022 . |
Net Gains on Loans Held for S_2
Net Gains on Loans Held for Sale (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Net Gains on Loans Held for Sale | |
Net Gains on Loans Held for Sale | Quarter ended September 30, Nine months ended September 30, 2022 2021 2022 2021 (in thousands) From non-affiliates: Cash (losses) gains: Loans $ (587,659) $ 135,841 $ (1,983,051) $ 605,858 Hedging activities 570,864 (9,788) 1,543,568 400,786 (16,795) 126,053 (439,483) 1,006,644 Non-cash gains: Mortgage servicing rights and mortgage servicing liabilities resulting from loan sales 345,077 398,665 1,359,632 1,288,177 Provisions for losses relating to representations and warranties: Pursuant to loan sales (1,651) (6,561) (7,887) (26,918) Reductions in liability due to change in estimate 1,769 4,355 7,165 11,680 Changes in fair values of loans and derivatives held at period end: Interest rate lock commitments (121,353) 17,313 (378,396) (316,103) Loans 170,887 109,411 347,968 164,311 Hedging derivatives (207,592) (9,506) (183,227) (125,276) 170,342 639,730 705,772 2,002,515 From PennyMac Mortgage Investment Trust (1) (1,648) (12,976) (16,052) (38,772) $ 168,694 $ 626,754 $ 689,720 $ 1,963,743 |
Net Interest Income (Expense) (
Net Interest Income (Expense) (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Net Interest Income (Expense) | |
Summary of net interest (expense) income | Quarter ended September 30, Nine months ended September 30, 2022 2021 2022 2021 (in thousands) Interest income: From non-affiliates: Cash and short-term investments $ 7,759 $ 768 $ 8,736 $ 2,502 Loans held for sale at fair value 38,945 63,726 124,835 215,003 Placement fees relating to custodial funds 36,290 3,818 53,169 13,298 82,994 68,312 186,740 230,803 From PennyMac Mortgage Investment Trust— Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell — — — 387 82,994 68,312 186,740 231,190 Interest expense: To non-affiliates: Assets sold under agreements to repurchase 24,329 35,783 67,048 132,585 Mortgage loan participation purchase and sale agreements 2,073 1,026 4,570 3,160 Obligations under capital lease — 36 20 143 Notes payable secured by mortgage servicing assets 24,795 9,896 48,360 29,888 Unsecured senior notes 23,949 17,442 71,065 46,281 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 5,620 24,886 35,385 83,466 Interest on mortgage loan impound deposits 2,199 1,642 4,951 4,052 82,965 90,711 231,399 299,575 To PennyMac Mortgage Investment Trust— Excess servicing spread financing at fair value — — — 1,280 82,965 90,711 231,399 300,855 $ 29 $ (22,399) $ (44,659) $ (69,665) |
Stock-based Compensation (Table
Stock-based Compensation (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Stock-based Compensation | |
Summary of the stock-based compensation activity | Quarter ended September 30, Nine months ended September 30, 2022 2021 2022 2021 (in thousands) Grants: Units: Performance-based restricted share units ("RSUs") — — 342 310 Stock options — — 574 249 Time-based RSUs — — 331 171 Grant date fair value: Performance-based RSUs $ — $ — $ 19,522 $ 18,237 Stock options — — 12,138 5,116 Time-based RSUs — — 18,903 10,066 Total $ — $ — $ 50,563 $ 33,419 Vestings and exercises: Performance-based RSUs vested — — 643 640 Stock options exercised 20 104 83 289 Time-based RSUs vested — 2 246 309 Stock-based compensation expense $ 6,466 $ 8,824 $ 30,689 $ 28,595 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Earnings Per Share | |
Summary of basic and diluted earnings per share calculations | Quarter ended September 30, Nine months ended September 30, 2022 2021 2022 2021 (in thousands, except per share amounts) Net income $ 135,134 $ 249,310 $ 437,890 $ 830,407 Weighted average basic shares of common stock outstanding 52,170 62,085 54,043 65,671 Effect of dilutive securities - shares issuable under stock-based compensation plan 2,798 3,567 2,870 3,670 Weighted average shares of common stock applicable to diluted earnings per share 54,968 65,652 56,913 69,341 Basic earnings per share $ 2.59 $ 4.02 $ 8.10 $ 12.65 Diluted earnings per share $ 2.46 $ 3.80 $ 7.69 $ 11.98 |
Schedule of anti-dilutive shares outstanding | Quarter ended September 30, Nine months ended September 30, 2022 2021 2022 2021 (in thousands except for weighted average exercise price) Performance-based RSUs (1) 325 302 268 244 Time-based RSUs — — 116 68 Stock options (2) 1,423 249 1,312 199 Total anti-dilutive units and options 1,748 551 1,696 511 Weighted average exercise price of $ 58.49 $ 58.85 $ 58.61 $ 58.85 (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. |
Regulatory Capital and Liquid_2
Regulatory Capital and Liquidity Requirements (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Regulatory Capital and Liquidity Requirements | |
Summary of agencies' capital and liquidity requirements by each agency | September 30, 2022 December 31, 2021 Requirement/Agency Actual (1) Requirement (1) Actual (1) Requirement (1) (dollars in thousands) Capital Fannie Mae & Freddie Mac $ 6,556,595 $ 772,807 $ 5,872,064 $ 722,040 Ginnie Mae $ 5,868,827 $ 933,482 $ 5,424,747 $ 976,303 HUD $ 5,868,827 $ 2,500 $ 5,424,747 $ 2,500 Liquidity Fannie Mae & Freddie Mac $ 1,545,995 $ 103,846 $ 316,659 $ 93,973 Ginnie Mae $ 1,545,995 $ 239,211 $ 316,659 $ 220,577 Adjusted net worth / Total assets ratio Ginnie Mae 36 % 6 % 29 % 6 % Tangible net worth / Total assets ratio Fannie Mae & Freddie Mac 40 % 6 % 32 % 6 % (1) Calculated in compliance with the respective Agency’s requirements. |
Segments (Tables)
Segments (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Segments | |
Summary of financial highlights by segment | Financial performance and results by segment are as follows: Quarter ended September 30, 2022 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 140,683 $ 28,011 $ 168,694 $ — $ 168,694 Loan origination fees 34,037 — 34,037 — 34,037 Fulfillment fees from PennyMac Mortgage Investment Trust 18,407 — 18,407 — 18,407 Net loan servicing fees — 243,742 243,742 — 243,742 Net interest income (expense): Interest income 30,825 52,169 82,994 — 82,994 Interest expense 24,970 57,995 82,965 — 82,965 5,855 (5,826) 29 — 29 Management fees — — — 7,731 7,731 Other 474 556 1,030 2,620 3,650 Total net revenue 199,456 266,483 465,939 10,351 476,290 Expenses 160,884 121,200 282,084 8,734 290,818 Income before provision for income taxes $ 38,572 $ 145,283 $ 183,855 $ 1,617 $ 185,472 Segment assets at quarter end $ 4,708,512 $ 11,626,311 $ 16,334,823 $ 26,988 $ 16,361,811 (1) All revenues are from external customers. 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. Nine months ended September 30, 2022 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on loans held for sale at fair value $ 515,188 $ 174,532 $ 689,720 $ — $ 689,720 Loan origination fees 141,840 — 141,840 — 141,840 Fulfillment fees from PennyMac Mortgage Investment Trust 55,807 — 55,807 — 55,807 Net loan servicing fees — 768,498 768,498 — 768,498 Net interest income (expense): Interest income 90,145 96,595 186,740 — 186,740 Interest expense 71,236 160,163 231,399 — 231,399 18,909 (63,568) (44,659) — (44,659) Management fees — — — 23,758 23,758 Other 1,842 2,072 3,914 6,431 10,345 Total net revenue 733,586 881,534 1,615,120 30,189 1,645,309 Expenses 676,090 343,473 1,019,563 28,228 1,047,791 Income before provision for income taxes $ 57,496 $ 538,061 $ 595,557 $ 1,961 $ 597,518 Segment assets at period end $ 4,708,512 $ 11,626,311 $ 16,334,823 $ 26,988 $ 16,361,811 (1) All revenues are from external customers. Nine months ended September 30, 2021 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (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. |
Concentration of Risk (Details)
Concentration of Risk (Details) - PennyMac Mortgage Investment Trust - Customer Concentration Risk | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Net Revenue | ||||
Concentration of Risk | ||||
Percentage of total | 10% | 9% | 8% | 9% |
Loan Production | ||||
Concentration of Risk | ||||
Percentage of total | 78% | 51% | 65% | 53% |
Related Party Transactions - Co
Related Party Transactions - Correspondent Production (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||||
Jul. 01, 2020 | Jun. 30, 2020 | Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Lending activity between the entity and affiliate | ||||||
Net gains on loans held for sale at fair value | $ (168,694,000) | $ (626,754,000) | $ (689,720,000) | $ (1,963,743,000) | ||
Sale of loans held for sale to PMT | 298,862,000 | |||||
Fulfillment fee revenue | 18,407,000 | 43,922,000 | 55,807,000 | 158,777,000 | ||
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% | |||||
Ginnie Mae Mortgage Backed Securities Guide Loan | Maximum | ||||||
Transactions with Affiliates | ||||||
Pull through factor as a percentage | 99% | |||||
Other mortgage loans | ||||||
Transactions with Affiliates | ||||||
Multiplying factor for number of purchased loans | $ 750 | |||||
MSR Recapture Agreement | ||||||
Transactions with Affiliates | ||||||
Target recapture rate | 15% | |||||
Lending activity between the entity and affiliate | ||||||
Related party transaction, renewal period | 5 years | |||||
MSR Recapture Agreement | First 15% | ||||||
Transactions with Affiliates | ||||||
Percentage of fair market value. | 40% | |||||
Percentage of recapture rate. | 15% | |||||
MSR Recapture Agreement | In excess of 15% and upto 30% | ||||||
Transactions with Affiliates | ||||||
Percentage of fair market value. | 35% | |||||
MSR Recapture Agreement | In excess of 15% and upto 30% | Minimum | ||||||
Transactions with Affiliates | ||||||
Percentage of recapture rate. | 15% | |||||
MSR Recapture Agreement | In excess of 15% and upto 30% | Maximum | ||||||
Transactions with Affiliates | ||||||
Percentage of recapture rate. | 30% | |||||
MSR Recapture Agreement | In excess of 30% | ||||||
Transactions with Affiliates | ||||||
Percentage of fair market value. | 30% | |||||
Percentage of recapture rate. | 30% | |||||
PennyMac Mortgage Investment Trust | ||||||
Lending activity between the entity and affiliate | ||||||
Net gains on loans held for sale at fair value | 1,648,000 | 12,976,000 | 16,052,000 | 38,772,000 | ||
PennyMac Mortgage Investment Trust | Mortgage Lending | ||||||
Lending activity between the entity and affiliate | ||||||
Net losses on loans held for sale to PMT | (2,820,000) | |||||
Mortgage servicing rights and excess servicing spread recapture incurred | (1,648,000) | (12,976,000) | (13,232,000) | (38,772,000) | ||
Net gains on loans held for sale at fair value | (1,648,000) | (12,976,000) | (16,052,000) | (38,772,000) | ||
Sale of loans held for sale to PMT | 298,862,000 | |||||
Tax service fee | 2,192,000 | 6,541,000 | 6,938,000 | 21,861,000 | ||
Fulfillment fee revenue | 18,407,000 | 43,922,000 | 55,807,000 | 158,777,000 | ||
Unpaid principal balance of loans fulfilled for PMT | 10,226,513,000 | 28,605,098,000 | 30,319,475,000 | 92,846,231,000 | ||
Sourcing fees paid | 1,203,000 | 1,537,000 | 3,562,000 | 4,905,000 | ||
Unpaid principal balance of loans purchased from PMT | $ 12,261,222,000 | $ 15,249,441,000 | $ 35,643,210,000 | $ 49,106,232,000 | ||
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 ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 12, 2016 | Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
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 | ||||
PennyMac Mortgage Investment Trust | |||||
Summary of mortgage loan servicing fees earned | |||||
Loan servicing fees | $ 20,247,000 | $ 20,703,000 | $ 61,670,000 | $ 59,811,000 | |
PennyMac Mortgage Investment Trust | Loans acquired for sale at fair value | |||||
Summary of mortgage loan servicing fees earned | |||||
Loan servicing fees | 258,000 | 698,000 | 780,000 | 1,871,000 | |
PennyMac Mortgage Investment Trust | Loans at fair value | |||||
Summary of mortgage loan servicing fees earned | |||||
Loan servicing fees | 111,000 | 89,000 | 427,000 | 306,000 | |
PennyMac Mortgage Investment Trust | Mortgage servicing rights | |||||
Summary of mortgage loan servicing fees earned | |||||
Loan servicing fees | $ 19,878,000 | $ 19,916,000 | $ 60,463,000 | $ 57,634,000 |
Related Party Transactions - Ma
Related Party Transactions - Management Fees (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 12, 2016 | Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Management Fee Revenue Abstract | |||||
Management fees | $ 7,731,000 | $ 8,520,000 | $ 23,758,000 | $ 28,882,000 | |
PennyMac Mortgage Investment Trust | Management Fees | |||||
Transactions with Affiliates | |||||
Percentage of change in net income due to quarterly adjustments | 8% | ||||
Management Fee Revenue Abstract | |||||
Base management fee | 7,731,000 | 8,778,000 | 23,758,000 | 25,875,000 | |
Performance incentive | (258,000) | 3,007,000 | |||
Management fees | $ 7,731,000 | $ 8,520,000 | $ 23,758,000 | $ 28,882,000 | |
PennyMac Mortgage Investment Trust | Management Fees | Maximum | |||||
Transactions with Affiliates | |||||
Percentage of performance incentive fee payable by issuance of common shares | 50% | ||||
PennyMac Mortgage Investment Trust | Management Fees | Minimum | |||||
Transactions with Affiliates | |||||
High watermark | $ 0 | ||||
PennyMac Mortgage Investment Trust | 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 | ||||
PennyMac Mortgage Investment Trust | 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% | ||||
PennyMac Mortgage Investment Trust | 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 | ||||
PennyMac Mortgage Investment Trust | 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 | ||||
PennyMac Mortgage Investment Trust | Shareholders Equity In Excess Of 5 Billion Dollars | |||||
Transactions with Affiliates | |||||
Base management fee annual rate (as a percent) | 1.25% | ||||
PennyMac Mortgage Investment Trust | Shareholders Equity In Excess Of 5 Billion Dollars | Maximum | |||||
Transactions with Affiliates | |||||
Base management fee shareholders' equity limit | $ 5,000,000,000 | ||||
PennyMac Mortgage Investment Trust | Return on Shareholders Equity 8 Percent | |||||
Transactions with Affiliates | |||||
Percentage of net income for calculation of performance incentive fees | 10% | ||||
PennyMac Mortgage Investment Trust | Return on Shareholders Equity 8 Percent | Maximum | |||||
Transactions with Affiliates | |||||
Percentage of return on affiliate's equity | 12% | ||||
PennyMac Mortgage Investment Trust | Return on Shareholders Equity 8 Percent | Minimum | |||||
Transactions with Affiliates | |||||
Percentage of return on affiliate's equity | 8% | ||||
PennyMac Mortgage Investment Trust | Return on Shareholders Equity 12 Percent | |||||
Transactions with Affiliates | |||||
Percentage of net income for calculation of performance incentive fees | 15% | ||||
Percentage of return on affiliate's equity | 12% | ||||
PennyMac Mortgage Investment Trust | Return on Shareholders Equity 12 Percent | Maximum | |||||
Transactions with Affiliates | |||||
Percentage of return on affiliate's equity | 16% | ||||
PennyMac Mortgage Investment Trust | Return on Shareholders Equity in Excess of 16 Percent | |||||
Transactions with Affiliates | |||||
Percentage of net income for calculation of performance incentive fees | 20% | ||||
Percentage of return on affiliate's equity | 16% |
Related Party Transactions - Ot
Related Party Transactions - Other Transactions, Reimbursement of Common Overhead Expenses (Details) - PennyMac Mortgage Investment Trust - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 12, 2016 | Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Transactions with Affiliates | |||||
Expense reimbursement amount, per quarter, relating to personnel | $ 165,000 | ||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | |||||
Reimbursement of common overhead and expenses incurred by the Company | $ 3,444,000 | $ 6,109,000 | $ 15,638,000 | $ 17,418,000 | |
Payments and settlements during the year | 41,509,000 | 51,020,000 | 110,835,000 | 238,202,000 | |
Common overhead incurred | |||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | |||||
Reimbursement of common overhead and expenses incurred by the Company | 2,574,000 | 1,548,000 | 6,247,000 | 3,387,000 | |
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 | 495,000 | |
Expenses incurred by related party (reporting entity), net | |||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | |||||
Reimbursement of common overhead and expenses incurred by the Company | $ 705,000 | $ 4,396,000 | $ 8,896,000 | $ 13,536,000 |
Related Party Transactions - In
Related Party Transactions - Investing Activities (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | |
Activity during the period: | |||||
Interest income | $ 82,994 | $ 68,312 | $ 186,740 | $ 231,190 | |
Activity during the period: | |||||
Balance at end of period | (119) | (67) | (311) | 478 | |
Fair value of PennyMac Mortgage Investment Trust shares | $ 884 | $ 884 | $ 1,300 | ||
PennyMac Mortgage Investment Trust | |||||
Transactions with Affiliates | |||||
Common shares of beneficial interest owned | 75,000 | 75,000 | 75,000 | ||
Common shares of beneficial interest owned | $ 884 | $ 884 | $ 1,300 | ||
Activity during the period: | |||||
Interest income | 387 | ||||
PennyMac Mortgage Investment Trust | PennyMac Holdings, L L C Repurchase Agreement | |||||
Activity during the period: | |||||
Interest income | 387 | ||||
Activity during the period: | |||||
Change in fair value of investment in Common shares of PennyMac Mortgage Investment Trust | $ (119) | $ (67) | $ (311) | $ 478 |
Related Party Transactions - Fi
Related Party Transactions - Financing Activities (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Feb. 01, 2013 | |
Financing activities: | |||||
Issuance pursuant to recapture agreement | $ 557,000 | ||||
Interest Expense | $ 82,965,000 | $ 90,711,000 | $ 231,399,000 | 300,855,000 | |
Repayments | 134,624,000 | ||||
Change in fair value | (1,037,000) | ||||
PennyMac Mortgage Investment Trust | |||||
Financing activities: | |||||
Interest Expense | 1,280,000 | ||||
PennyMac Mortgage Investment Trust | 2/1/13 Spread Acquisition Agreement | |||||
Financing activities: | |||||
Maximum ESS recapture obligation | $ 200,000 | ||||
Excess servicing spread financing | PennyMac Mortgage Investment Trust | |||||
Financing activities: | |||||
Balance at the beginning of the period | 131,750,000 | ||||
Issuance pursuant to recapture agreement | 557,000 | ||||
Interest Expense | 1,280,000 | ||||
Repayments | (134,624,000) | ||||
Change in fair value | 1,037,000 | ||||
Excess servicing spread recapture recognized | $ 614,000 |
Related Party Transactions - Am
Related Party Transactions - Amounts due from Affiliate (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Amounts due from affiliate | ||
Total due from affiliate | $ 32,306 | $ 40,091 |
Payable to affiliate | ||
Payable to affiliates | 87,978 | 228,019 |
PennyMac Mortgage Investment Trust | ||
Amounts due from affiliate | ||
Management fees | 7,731 | 8,918 |
Correspondent production fees | 6,812 | 8,894 |
Servicing fees | 6,711 | 6,848 |
Allocated expenses | 5,571 | 15,431 |
Fulfillment fees | 5,481 | |
Total due from affiliate | 32,306 | 40,091 |
Payable to affiliate | ||
Amounts advanced by PMT | 84,418 | 212,066 |
Other expenses | 3,560 | 15,953 |
Payable to affiliates | $ 87,978 | $ 228,019 |
Related Party Transactions - _2
Related Party Transactions - Amounts due from Investment Funds (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Amounts due from affiliate | ||
Total due from affiliate | $ 32,306 | $ 40,091 |
Payable to affiliates | $ 87,978 | $ 228,019 |
Related Party Transactions - Ex
Related Party Transactions - Exchanged Private National Mortgage Acceptance Company, LLC Unitholders (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | |
Transactions with Affiliates | ||||
Amount of tax benefits under the tax sharing agreement (as a percent) | 85% | |||
Payments to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | $ (3,855,000) | $ (3,350,000) | ||
Payable to exchanged PNMAC unitholders under tax receivable agreement | $ 26,700,000 | 26,700,000 | $ 30,500,000 | |
Private National Mortgage Acceptance Company [Member] | ||||
Transactions with Affiliates | ||||
Payment of tax liability under the tax receivable agreement to Private National Mortgage Acceptance Company, LLC unitholders | $ 340,000 | $ 3,900,000 | $ 3,400,000 |
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, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | |
Cash flows: | |||||
Sales proceeds | $ 16,215,098 | $ 39,040,868 | $ 67,056,886 | $ 118,048,768 | |
Servicing fees received | 242,622 | $ 178,684 | 676,384 | $ 576,332 | |
Period end information: | |||||
Unpaid principal balance of loans outstanding | 283,653,037 | 283,653,037 | $ 254,524,015 | ||
30-89 days | 9,359,346 | 9,359,346 | 6,129,597 | ||
90 days or more - Not in foreclosure | 5,706,722 | 5,706,722 | 8,399,299 | ||
90 days or more - In foreclosure | 726,438 | 726,438 | 715,016 | ||
90 days or more - Foreclosed | 8,324 | 8,324 | 6,900 | ||
Bankruptcy | 1,128,050 | 1,128,050 | 1,039,362 | ||
30-89 days delinquent under CARES Act | 1,501,578 | 1,501,578 | 1,020,290 | ||
90 days or more delinquent not in foreclosure under CARES Act | 2,708,785 | 2,708,785 | 2,550,703 | ||
Total delinquent loans in COVID-19 pandemic related forbearance | $ 4,210,363 | $ 4,210,363 | $ 3,570,993 |
Loan Sales and Servicing Acti_4
Loan Sales and Servicing Activities - Summary of Mortgage Servicing Portfolio (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Mortgage servicing portfolio | ||
Loans held for sale | $ 4,287,585 | $ 9,430,766 |
Total loans serviced | 539,101,773 | 509,708,281 |
Subserviced for the Company | 375,370 | |
Delinquent loans: | ||
30 days | 8,907,321 | 6,312,600 |
60 days | 2,695,183 | 1,795,509 |
90 days or more - Not in foreclosure | 6,766,040 | 10,751,765 |
90 days or more - In foreclosure | 878,920 | 873,287 |
90 days or more - Foreclosed | 17,554 | 24,506 |
Total delinquent mortgage loans | 19,265,018 | 19,757,667 |
Bankruptcy | 1,415,175 | 1,395,635 |
Delinquent loans in COVID-19 related forbearance | ||
30 days | 839,749 | 635,741 |
60 days | 940,662 | 646,524 |
90 days or more | 3,249,077 | 3,370,792 |
Total delinquent loans in COVID-19 related forbearance | 5,029,488 | 4,653,057 |
Custodial funds managed by the Company | 8,284,497 | 12,308,608 |
Servicing rights owned | ||
Mortgage servicing portfolio | ||
Loans held for sale | 4,287,585 | 9,430,766 |
Total loans serviced | 308,122,954 | 287,816,139 |
Subserviced for the Company | 375,370 | |
Delinquent loans: | ||
30 days | 7,604,547 | 5,338,545 |
60 days | 2,447,898 | 1,604,782 |
90 days or more - Not in foreclosure | 5,980,180 | 9,001,137 |
90 days or more - In foreclosure | 807,860 | 829,494 |
90 days or more - Foreclosed | 8,959 | 8,017 |
Total delinquent mortgage loans | 16,849,444 | 16,781,975 |
Bankruptcy | 1,288,876 | 1,261,980 |
Delinquent loans in COVID-19 related forbearance | ||
30 days | 717,783 | 554,161 |
60 days | 830,299 | 556,990 |
90 days or more | 2,813,468 | 2,732,089 |
Total delinquent loans in COVID-19 related forbearance | 4,361,550 | 3,843,240 |
Custodial funds managed by the Company | 5,385,565 | 8,485,081 |
Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Total loans serviced | 230,978,819 | 221,892,142 |
Delinquent loans: | ||
30 days | 1,302,774 | 974,055 |
60 days | 247,285 | 190,727 |
90 days or more - Not in foreclosure | 785,860 | 1,750,628 |
90 days or more - In foreclosure | 71,060 | 43,793 |
90 days or more - Foreclosed | 8,595 | 16,489 |
Total delinquent mortgage loans | 2,415,574 | 2,975,692 |
Bankruptcy | 126,299 | 133,655 |
Delinquent loans in COVID-19 related forbearance | ||
30 days | 121,966 | 81,580 |
60 days | 110,363 | 89,534 |
90 days or more | 435,609 | 638,703 |
Total delinquent loans in COVID-19 related forbearance | 667,938 | 809,817 |
Custodial funds managed by the Company | 2,898,932 | 3,823,527 |
Non affiliated entities | ||
Mortgage servicing portfolio | ||
Originated | 283,653,037 | 254,524,015 |
Purchased | 20,182,332 | 23,861,358 |
Total loans serviced, excluding loans held for sale | 303,835,369 | 278,385,373 |
Non affiliated entities | Servicing rights owned | ||
Mortgage servicing portfolio | ||
Originated | 283,653,037 | 254,524,015 |
Purchased | 20,182,332 | 23,861,358 |
Total loans serviced, excluding loans held for sale | 303,835,369 | 278,385,373 |
Affiliated entities | ||
Mortgage servicing portfolio | ||
Advised entities | 230,978,819 | 221,892,142 |
Affiliated entities | Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Advised entities | $ 230,978,819 | $ 221,892,142 |
Loan Sales and Servicing Acti_5
Loan Sales and Servicing Activities - Geographical Distribution of Loans (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 539,101,773 | $ 509,708,281 |
California | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 67,949,538 | 67,317,935 |
Florida | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 49,221,053 | 45,222,233 |
Texas | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 45,908,590 | 42,064,686 |
Virginia | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 33,026,449 | 31,442,370 |
Maryland | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 25,093,210 | 23,922,075 |
All other states | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 317,902,933 | $ 299,738,982 |
Fair Value - Financial Statemen
Fair Value - Financial Statement Items Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Assets: | ||
Short-term investment at fair value | $ 36,098 | $ 6,873 |
Loans held for sale | 4,149,726 | 9,742,483 |
Derivative assets: | ||
Derivative asset, before netting | 485,656 | 398,672 |
Netting | (321,496) | (64,977) |
Total derivative assets | 164,160 | 333,695 |
Investment in PennyMac Mortgage Investment Trust | 884 | 1,300 |
Derivative liabilities: | ||
Derivative liability, before netting | 315,845 | 54,702 |
Netting | (190,358) | (32,096) |
Net amounts of liabilities presented in the consolidated balance sheet | 125,487 | 22,606 |
Mortgage servicing liabilities | 2,214 | 2,816 |
Interest rate lock commitments | ||
Derivative assets: | ||
Total derivative assets | 12,195 | 323,473 |
Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 5,042 | 20,485 |
Derivative liabilities: | ||
Derivative liability, before netting | 226,369 | 18,007 |
Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 375,955 | 40,215 |
Derivative liabilities: | ||
Derivative liability, before netting | 8,819 | 35,415 |
MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 17,152 | 7,655 |
MBS call options | ||
Derivative assets: | ||
Derivative asset, before netting | 55 | |
Derivative liabilities: | ||
Derivative liability, before netting | 118 | |
Call options on Eurodollar futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 4,680 | 2,078 |
Call options on Eurodollar futures | Sales | ||
Derivative liabilities: | ||
Derivative liability, before netting | 375 | |
Put options on Eurodollar futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 70,577 | 3,141 |
Put options on Eurodollar futures | Sales | ||
Derivative liabilities: | ||
Derivative liability, before netting | 11,766 | |
Level 3 | ||
Assets: | ||
Loans held for sale | 344,636 | 1,128,876 |
Recurring basis | ||
Assets: | ||
Short-term investment at fair value | 36,098 | 6,873 |
Loans held for sale | 4,149,726 | 9,742,483 |
Derivative assets: | ||
Derivative asset, before netting | 485,656 | 398,672 |
Netting | (321,496) | (64,977) |
Total derivative assets | 164,160 | 333,695 |
Mortgage servicing rights at fair value | 5,661,672 | 3,878,078 |
Total assets | 10,012,540 | 13,962,429 |
Derivative liabilities: | ||
Derivative liability, before netting | 315,845 | 54,702 |
Netting | (190,358) | (32,096) |
Net amounts of liabilities presented in the consolidated balance sheet | 125,487 | 22,606 |
Mortgage servicing liabilities | 2,214 | 2,816 |
Total liabilities | 127,701 | 25,422 |
Recurring basis | PennyMac Mortgage Investment Trust | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 884 | 1,300 |
Recurring basis | Interest rate lock commitments | ||
Derivative assets: | ||
Derivative asset, before netting | 12,195 | 323,473 |
Derivative liabilities: | ||
Derivative liability, before netting | 68,398 | 1,280 |
Recurring basis | Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 5,042 | 20,485 |
Derivative liabilities: | ||
Derivative liability, before netting | 226,369 | 18,007 |
Recurring basis | Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 375,955 | 40,215 |
Derivative liabilities: | ||
Derivative liability, before netting | 8,819 | 35,415 |
Recurring basis | MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 17,152 | 7,655 |
Recurring basis | MBS call options | ||
Derivative assets: | ||
Derivative asset, before netting | 55 | |
Derivative liabilities: | ||
Derivative liability, before netting | 118 | |
Recurring basis | Swaptions | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 1,625 | |
Recurring basis | Call options on Eurodollar futures | ||
Derivative liabilities: | ||
Derivative liability, before netting | 375 | |
Recurring basis | Call options on Eurodollar futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 4,680 | 2,078 |
Recurring basis | Put options on Eurodollar futures | ||
Derivative liabilities: | ||
Derivative liability, before netting | 11,766 | |
Recurring basis | Put options on Eurodollar futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 70,577 | 3,141 |
Recurring basis | Level 1 | ||
Assets: | ||
Short-term investment at fair value | 36,098 | 6,873 |
Derivative assets: | ||
Derivative asset, before netting | 75,257 | 5,219 |
Total derivative assets | 75,257 | 5,219 |
Total assets | 112,239 | 13,392 |
Derivative liabilities: | ||
Derivative liability, before netting | 12,141 | |
Net amounts of liabilities presented in the consolidated balance sheet | 12,141 | |
Total liabilities | 12,141 | |
Recurring basis | Level 1 | PennyMac Mortgage Investment Trust | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 884 | 1,300 |
Recurring basis | Level 1 | Call options on Eurodollar futures | ||
Derivative liabilities: | ||
Derivative liability, before netting | 375 | |
Recurring basis | Level 1 | Call options on Eurodollar futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 4,680 | 2,078 |
Recurring basis | Level 1 | Put options on Eurodollar futures | ||
Derivative liabilities: | ||
Derivative liability, before netting | 11,766 | |
Recurring basis | Level 1 | Put options on Eurodollar futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 70,577 | 3,141 |
Recurring basis | Level 2 | ||
Assets: | ||
Loans held for sale | 3,805,090 | 8,613,607 |
Derivative assets: | ||
Derivative asset, before netting | 398,204 | 69,980 |
Total derivative assets | 398,204 | 69,980 |
Total assets | 4,203,294 | 8,683,587 |
Derivative liabilities: | ||
Derivative liability, before netting | 235,306 | 53,422 |
Net amounts of liabilities presented in the consolidated balance sheet | 235,306 | 53,422 |
Total liabilities | 235,306 | 53,422 |
Recurring basis | Level 2 | Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 5,042 | 20,485 |
Derivative liabilities: | ||
Derivative liability, before netting | 226,369 | 18,007 |
Recurring basis | Level 2 | Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 375,955 | 40,215 |
Derivative liabilities: | ||
Derivative liability, before netting | 8,819 | 35,415 |
Recurring basis | Level 2 | MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 17,152 | 7,655 |
Recurring basis | Level 2 | MBS call options | ||
Derivative assets: | ||
Derivative asset, before netting | 55 | |
Derivative liabilities: | ||
Derivative liability, before netting | 118 | |
Recurring basis | Level 2 | Swaptions | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 1,625 | |
Recurring basis | Level 3 | ||
Assets: | ||
Loans held for sale | 344,636 | 1,128,876 |
Derivative assets: | ||
Derivative asset, before netting | 12,195 | 323,473 |
Total derivative assets | 12,195 | 323,473 |
Mortgage servicing rights at fair value | 5,661,672 | 3,878,078 |
Total assets | 6,018,503 | 5,330,427 |
Derivative liabilities: | ||
Derivative liability, before netting | 68,398 | 1,280 |
Net amounts of liabilities presented in the consolidated balance sheet | 68,398 | 1,280 |
Mortgage servicing liabilities | 2,214 | 2,816 |
Total liabilities | 70,612 | 4,096 |
Recurring basis | Level 3 | Interest rate lock commitments | ||
Derivative assets: | ||
Derivative asset, before netting | 12,195 | 323,473 |
Derivative liabilities: | ||
Derivative liability, before netting | $ 68,398 | $ 1,280 |
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, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Mortgage servicing liabilities resulting from loan sales | $ 98,147 | |||
Changes in fair value included in income | (1,037) | |||
Recurring basis | ||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | $ 5,785,871 | $ 7,574,519 | $ 5,329,147 | 7,933,369 |
Purchases and issuances, net | 303,342 | 6,023,600 | 3,344,357 | 17,910,002 |
Capitalization of interest and advances | 6,361 | 40,035 | 54,080 | 118,879 |
Sales and repayments | (71,078) | (4,286,574) | (1,335,966) | (9,081,815) |
Mortgage servicing rights resulting from loan sales | 345,077 | 432,429 | 1,359,632 | 1,386,324 |
Changes in fair value included in income arising from: | ||||
Changes in instrument specific credit risk | (9,217) | 38,698 | (39,427) | 266,644 |
Other factors | (37,348) | 2,359 | (300,615) | 32,760 |
Total changes in fair value included in income | (46,565) | 41,057 | (340,042) | 299,404 |
Transfers from mortgage loans held for sale from Level 3 to Level 2 | (340,903) | (3,068,841) | (2,430,869) | (10,493,751) |
Transfers to real estate acquired in settlement of loans | (386) | (82) | ||
Transfers from interest rate lock commitments to loans held for sale | (32,000) | (668,837) | (29,848) | (1,984,942) |
Balance at the end of the period | 5,950,105 | 6,087,388 | 5,950,105 | 6,087,388 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | 22,919 | 143,381 | 332,032 | 84,074 |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | 177,074 | |||
Issuances | 557 | |||
Accrual of interest on excess servicing spread financing | 1,280 | |||
Repayment | (134,624) | |||
Mortgage servicing liabilities resulting from loan sales | 98,147 | |||
Changes in fair value included in income | (94,867) | |||
Balance at the end of the period | 47,567 | 47,567 | ||
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (95,904) | |||
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 | 2,337 | 131,750 | ||
Issuances | 557 | |||
Accrual of interest on excess servicing spread financing | 1,280 | |||
Repayment | (134,624) | |||
Changes in fair value included in income | (123) | 1,037 | ||
Balance at the end of the period | 2,214 | 2,214 | ||
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (123) | |||
Recurring basis | Mortgage servicing liabilities | ||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||||
Mortgage servicing rights resulting from change in method of accounting | 33,764 | |||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | 100,091 | 2,816 | 45,324 | |
Mortgage servicing liabilities resulting from loan sales | 98,147 | |||
Changes in fair value included in income | (86,288) | (602) | (95,904) | |
Balance at the end of the period | 2,214 | 47,567 | 2,214 | 47,567 |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (86,288) | (602) | (95,904) | |
Recurring basis | Mortgage loans held for sale | ||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | 503,553 | 3,818,261 | 1,128,876 | 4,675,169 |
Purchases and issuances, net | 260,721 | 5,573,766 | 2,994,447 | 16,630,301 |
Capitalization of interest and advances | 6,361 | 40,035 | 54,080 | 118,879 |
Sales and repayments | (71,078) | (4,286,574) | (1,335,966) | (9,081,815) |
Changes in fair value included in income arising from: | ||||
Changes in instrument specific credit risk | (9,217) | 38,698 | (39,427) | 266,644 |
Other factors | (4,801) | (26,119) | ||
Total changes in fair value included in income | (14,018) | 38,698 | (65,546) | 266,644 |
Transfers from mortgage loans held for sale from Level 3 to Level 2 | (340,903) | (3,068,841) | (2,430,869) | (10,493,751) |
Transfers to real estate acquired in settlement of loans | (386) | (82) | ||
Balance at the end of the period | 344,636 | 2,115,345 | 344,636 | 2,115,345 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | (16,166) | 16,415 | (31,587) | 79,529 |
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 | 65,151 | 343,610 | 322,193 | 677,026 |
Purchases and issuances, net | 38,481 | 449,834 | 345,770 | 1,279,701 |
Changes in fair value included in income arising from: | ||||
Other factors | (127,835) | 236,316 | (694,318) | 389,138 |
Total changes in fair value included in income | (127,835) | 236,316 | (694,318) | 389,138 |
Transfers from interest rate lock commitments to loans held for sale | (32,000) | (668,837) | (29,848) | (1,984,942) |
Balance at the end of the period | (56,203) | 360,923 | (56,203) | 360,923 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | (56,203) | 360,923 | (56,203) | 360,923 |
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 | 5,217,167 | 3,412,648 | 3,878,078 | 2,581,174 |
Purchases and issuances, net | 4,140 | 4,140 | ||
Mortgage servicing rights resulting from loan sales | 345,077 | 432,429 | 1,359,632 | 1,386,324 |
Changes in fair value included in income arising from: | ||||
Other factors | 95,288 | (233,957) | 419,822 | (356,378) |
Total changes in fair value included in income | 95,288 | (233,957) | 419,822 | (356,378) |
Balance at the end of the period | 5,661,672 | 3,611,120 | 5,661,672 | 3,611,120 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | $ 95,288 | $ (233,957) | $ 419,822 | $ (356,378) |
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, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Liability [Member] | ||||
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 | $ 602 | $ 94,867 | ||
Liability [Member] | 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 | 602 | 94,867 | ||
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 | (1,037) | |||
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 | (1,037) | |||
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 | $ 123 | $ 86,288 | 602 | 95,904 |
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 | 123 | 86,288 | 602 | 95,904 |
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 | 25,930 | 411,579 | 146,121 | 1,701,118 |
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 | (69,358) | 645,536 | (273,701) | 2,057,496 |
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 | 95,288 | (233,957) | 419,822 | (356,378) |
Mortgage loans held for sale | ||||
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value | ||||
Total gains (losses) from changes in estimated fair values included in earnings | (69,358) | 645,536 | (273,701) | 2,057,496 |
Mortgage 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 | (69,358) | 645,536 | (273,701) | 2,057,496 |
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 | 95,288 | (233,957) | 419,822 | (356,378) |
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 | $ 95,288 | $ (233,957) | $ 419,822 | $ (356,378) |
Fair Value - Fair Value Option
Fair Value - Fair Value Option Maturities, Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Fair value | ||
Total fair value | $ 4,149,726 | $ 9,742,483 |
Recurring basis | ||
Fair value | ||
Total fair value | 4,149,726 | 9,742,483 |
Mortgage loans held for sale | Recurring basis | ||
Fair value | ||
Current through 89 days delinquent | 4,087,039 | 9,577,398 |
Not in foreclosure | 50,232 | 153,162 |
In foreclosure | 12,455 | 11,923 |
Total fair value | 4,149,726 | 9,742,483 |
Principal amount due upon maturity | ||
Current through 89 days delinquent | 4,217,099 | 9,263,242 |
Not in foreclosure | 54,141 | 153,875 |
In foreclosure | 16,345 | 13,649 |
Total principal amount due upon maturity | 4,287,585 | 9,430,766 |
Difference | ||
Current through 89 days delinquent | (130,060) | 314,156 |
Not in foreclosure | (3,909) | (713) |
In foreclosure | (3,890) | (1,726) |
Total difference | $ (137,859) | $ 311,717 |
Fair Value - Measurement Basis,
Fair Value - Measurement Basis, Nonrecurring (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | |
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Notes payable secured by mortgage servicing assets | $ 1,793,972 | $ 1,793,972 | $ 1,297,622 | ||
Unsecured Senior Notes | 1,778,988 | 1,778,988 | 1,776,219 | ||
Term Notes | |||||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Notes payable secured by mortgage servicing assets | 1,793,972 | 1,793,972 | 1,297,622 | ||
Unsecured senior note | |||||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Unsecured Senior Notes | 1,778,988 | 1,778,988 | 1,776,219 | ||
Nonrecurring basis | |||||
Financial statement items measured at fair value on a nonrecurring basis | |||||
Real estate acquired in settlement of loans | 911 | 911 | 2,588 | ||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Real estate acquired in settlement of loans | (131) | $ (284) | (838) | $ (912) | |
Nonrecurring basis | Level 3 | |||||
Financial statement items measured at fair value on a nonrecurring basis | |||||
Real estate acquired in settlement of loans | 911 | 911 | 2,588 | ||
Total | Term Notes | |||||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Notes payable secured by mortgage servicing assets | 1,717,125 | 1,717,125 | 1,302,640 | ||
Total | Unsecured senior note | |||||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Unsecured Senior Notes | $ 1,371,500 | $ 1,371,500 | $ 1,790,375 |
Fair Value - Level 3 Unobservab
Fair Value - Level 3 Unobservable Inputs, Mortgage Loans and IRLC (Details) $ in Thousands | Sep. 30, 2022 USD ($) item | Dec. 31, 2021 USD ($) item |
Excess servicing spread financing | ||
Loans held for sale | $ | $ 4,149,726 | $ 9,742,483 |
Level 3 | ||
Excess servicing spread financing | ||
Loans held for sale | $ | $ 344,636 | $ 1,128,876 |
Mortgage loans held for sale | Discount rate | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 3.3 | 2.2 |
Mortgage loans held for sale | Discount rate | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 10.2 | 9.2 |
Mortgage loans held for sale | Discount rate | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 3.6 | 2.3 |
Mortgage loans held for sale | Twelve-month projected housing price index Change | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | (0.1) | 6.1 |
Mortgage loans held for sale | Twelve-month projected housing price index Change | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 0.1 | 6.5 |
Mortgage loans held for sale | Twelve-month projected housing price index Change | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 0 | 6.2 |
Mortgage loans held for sale | Prepayment/resale speed | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 4.7 | 0.4 |
Mortgage loans held for sale | Prepayment/resale speed | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 27.6 | 30.3 |
Mortgage loans held for sale | Prepayment/resale speed | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 24.4 | 22 |
Mortgage loans held for sale | Total prepayment speed | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 4.8 | 0.4 |
Mortgage loans held for sale | Total prepayment speed | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 37.4 | 39.3 |
Mortgage loans held for sale | Total prepayment speed | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 31.9 | 28.2 |
Interest rate lock commitments | Level 3 | ||
Excess servicing spread financing | ||
Fair Value | $ | $ (56,203) | $ 322,193 |
Interest rate lock commitments | Pull-through rate | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 7.9 | 8 |
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 | 79.5 | 78.4 |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | (3.3) | (8.5) |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 7.5 | 6.7 |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 4.4 | 3.8 |
Interest rate lock commitments | Percentage of unpaid principal balance | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | (0.6) | (1.6) |
Interest rate lock commitments | Percentage of unpaid principal balance | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 3.8 | 3.6 |
Interest rate lock commitments | Percentage of unpaid principal balance | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 2 | 1.5 |
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, 2022 USD ($) item | Sep. 30, 2021 USD ($) item | Sep. 30, 2022 USD ($) item | Sep. 30, 2021 USD ($) item | Dec. 31, 2021 USD ($) item | |
Mortgage servicing rights | |||||
Inputs | |||||
Amount recognized | $ | $ 345,077,000 | $ 432,429,000 | $ 1,359,632,000 | $ 1,386,324,000 | |
Total | Mortgage servicing rights | Level 3 | Minimum | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | 80 | $ 79 | |||
Total | Mortgage servicing rights | Level 3 | Maximum | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | 149 | 197 | |||
Total | Mortgage servicing rights | Level 3 | Weighted average | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | $ 106 | $ 108 | |||
Total | Mortgage servicing rights | Pricing spread | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 4.9 | 4.9 | 5.3 | ||
Total | Mortgage servicing rights | Pricing spread | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 14.8 | 14.8 | 15.5 | ||
Total | Mortgage servicing rights | Pricing spread | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 6.9 | 6.9 | 7.7 | ||
Total | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 5.1 | 5.1 | 7.9 | ||
Total | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 17.1 | 17.1 | 26.7 | ||
Total | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 7.6 | 7.6 | 10.7 | ||
Total | Mortgage servicing rights | Life | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 3.8 | 3.8 | 3.1 | ||
Total | Mortgage servicing rights | Life | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 9.3 | 9.3 | 7.7 | ||
Total | Mortgage servicing rights | Life | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 8.3 | 8.3 | 6.8 | ||
Total | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | |||||
Inputs | |||||
Amount recognized | $ | $ 345,077,000 | 432,429,000 | $ 1,359,632,000 | 1,386,324,000 | |
Unpaid principal balance of underlying loans | $ | $ 16,003,556,000 | $ 33,697,228,000 | $ 65,956,748,000 | $ 105,470,580,000 | |
Weighted-average servicing fee rate (as a percent) | 0.49% | 0.34% | 0.44% | 0.33% | |
Total | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Minimum | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | $ 79 | $ 80 | $ 79 | $ 80 | |
Total | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Maximum | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | 116 | 117 | 177 | 117 | |
Total | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Weighted average | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | $ 105 | $ 102 | $ 104 | $ 104 | |
Total | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 5.5 | 6 | 5.5 | 6 | |
Total | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 11.4 | 16.9 | 16.1 | 16.9 | |
Total | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 8.1 | 8.5 | 7.8 | 9 | |
Total | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 6.8 | 7.2 | 5.7 | 6.2 | |
Total | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 19.1 | 31 | 23.4 | 31 | |
Total | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 11.1 | 9.2 | 9 | 8.5 | |
Total | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 4 | 3 | 3.7 | 3 | |
Total | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 8.1 | 8.4 | 9.2 | 9 | |
Total | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 7.4 | 7.7 | 8.1 | 8.1 |
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, 2022 USD ($) item | Dec. 31, 2021 USD ($) item | |
MSR and pool characteristics | ||
Carrying value | $ 5,661,672,000 | $ 3,878,078,000 |
Mortgage servicing liabilities | Level 3 | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 1,208 | 1,406 |
Total | Mortgage servicing rights | Level 3 | ||
MSR and pool characteristics | ||
Carrying value | 5,661,672,000 | 3,878,078,000 |
Unpaid principal balance of underlying loans | $ 303,800,226,000 | $ 278,324,780,000 |
Weighted-average note interest rate (as a percent) | 3.30% | 3.20% |
Weighted-average servicing fee rate (as a percent) | 0.36% | 0.34% |
Pricing spread | ||
Effect on fair value of 5% adverse change | $ (80,798,000) | $ (59,577,000) |
Effect on fair value of 10% adverse change | (159,312,000) | (117,352,000) |
Effect on fair value of 20% adverse change | (309,839,000) | (227,791,000) |
Prepayment speed | ||
Effect on fair value of 5% adverse change | (75,034,000) | (80,109,000) |
Effect on fair value of 10% adverse change | (147,692,000) | (157,252,000) |
Effect on fair value of 20% adverse change | (286,318,000) | (303,259,000) |
Annual per-loan cost of servicing | ||
Effect on fair value of 5% adverse change | (38,133,000) | (32,979,000) |
Effect on fair value of 10% adverse change | (76,265,000) | (65,958,000) |
Effect on fair value of 20% adverse change | (152,531,000) | (131,916,000) |
Total | Mortgage servicing rights | Level 3 | Minimum | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 80 | 79 |
Total | Mortgage servicing rights | Level 3 | Maximum | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 149 | 197 |
Total | Mortgage servicing rights | Level 3 | Weighted average | ||
Prepayment speed | ||
Annual per-loan cost of servicing | $ 106 | $ 108 |
Total | Mortgage servicing rights | Pricing spread | Level 3 | Minimum | ||
Inputs | ||
Input | item | 4.9 | 5.3 |
Total | Mortgage servicing rights | Pricing spread | Level 3 | Maximum | ||
Inputs | ||
Input | item | 14.8 | 15.5 |
Total | Mortgage servicing rights | Pricing spread | Level 3 | Weighted average | ||
Inputs | ||
Input | item | 6.9 | 7.7 |
Total | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Minimum | ||
Inputs | ||
Input | item | 5.1 | 7.9 |
Total | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Maximum | ||
Inputs | ||
Input | item | 17.1 | 26.7 |
Total | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Weighted average | ||
Inputs | ||
Input | item | 7.6 | 10.7 |
Total | Mortgage servicing rights | Life | Level 3 | Minimum | ||
Inputs | ||
Input | item | 3.8 | 3.1 |
Total | Mortgage servicing rights | Life | Level 3 | Maximum | ||
Inputs | ||
Input | item | 9.3 | 7.7 |
Total | Mortgage servicing rights | Life | Level 3 | Weighted average | ||
Inputs | ||
Input | item | 8.3 | 6.8 |
Fair Value - Level 3 Unobserv_4
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Liabilities (Details) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 USD ($) item | Dec. 31, 2021 USD ($) item | |
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption | ||
Fair value | $ 2,214,000 | $ 2,816,000 |
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 | ||
Fair value | 2,214,000 | 2,816,000 |
Unpaid principal balance of underlying loans | $ 35,143,000 | $ 60,593,000 |
Servicing fee rate (as a percent) | 0.25% | 0.25% |
Annual per-loan cost of servicing | $ 1,208 | $ 1,406 |
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 | 7.7 | 6.9 |
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 | 17.5 | 19.8 |
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 | 4.8 | 4.1 |
Loans Held for Sale at Fair V_3
Loans Held for Sale at Fair Value (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | $ 4,149,726 | $ 9,742,483 |
Fair value of loans pledged to secure assets sold under agreements to repurchase | 3,626,320 | 8,629,861 |
Fair value of loans pledged to secure mortgage loan participation purchase and sale agreement | 385,944 | 505,716 |
Pledged Assets Separately Reported, Loans Pledged as Collateral, at Fair Value, Total | 4,012,264 | 9,135,577 |
Government-insured or guaranteed | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 3,256,696 | 6,030,518 |
Conventional mortgage loans | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 536,800 | 2,583,089 |
Jumbo Loan | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 11,594 | |
Mortgage loans purchased from Ginnie Mae pools serviced by the entity | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 299,157 | 1,082,444 |
Mortgage loans repurchased pursuant to representations and warranties | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 44,507 | $ 46,432 |
Home equity lines of credit | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | $ 972 |
Derivative Financial Instrume_3
Derivative Financial Instruments - Other Information (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | |
Derivative assets: | |||||
Derivative asset, before netting | $ 485,656,000 | $ 485,656,000 | $ 398,672,000 | ||
Netting | (321,496,000) | (321,496,000) | (64,977,000) | ||
Total derivative assets | 164,160,000 | 164,160,000 | 333,695,000 | ||
Derivative liabilities: | |||||
Derivative liability, before netting | 315,845,000 | 315,845,000 | 54,702,000 | ||
Netting | (190,358,000) | (190,358,000) | (32,096,000) | ||
Net amounts of liabilities presented in the consolidated balance sheet | 125,487,000 | 125,487,000 | 22,606,000 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Gains (losses) recognized on derivative financial instruments | (164,749,000) | $ (86,459,000) | (558,614,000) | $ (437,492,000) | |
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 | 363,272,000 | (19,294,000) | 1,360,341,000 | 275,510 | |
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 | (164,749,000) | (86,459,000) | (558,614,000) | (437,492) | |
Margin Deposits | |||||
Derivative assets: | |||||
Collateral placed with (received from) derivative counterparties | 131,138,000 | 131,138,000 | 32,881,000 | ||
Interest rate lock commitments | |||||
Derivative assets: | |||||
Total derivative assets | 12,195,000 | 12,195,000 | 323,473,000 | ||
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 | (121,353,000) | $ 17,313,000 | (378,396,000) | $ (316,103) | |
Forward contracts | Purchases | |||||
Derivative Instruments | |||||
Notional amount | 9,477,520,000 | 9,477,520,000 | 22,007,383,000 | ||
Derivative assets: | |||||
Derivative asset, before netting | 5,042,000 | 5,042,000 | 20,485,000 | ||
Derivative liabilities: | |||||
Derivative liability, before netting | 226,369,000 | 226,369,000 | 18,007,000 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 22,007,383,000 | ||||
Balance at end of period | 9,477,520,000 | 9,477,520,000 | |||
Forward contracts | Sales | |||||
Derivative Instruments | |||||
Notional amount | 14,995,779,000 | 14,995,779,000 | 34,429,676,000 | ||
Derivative assets: | |||||
Derivative asset, before netting | 375,955,000 | 375,955,000 | 40,215,000 | ||
Derivative liabilities: | |||||
Derivative liability, before netting | 8,819,000 | 8,819,000 | 35,415,000 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 34,429,676,000 | ||||
Balance at end of period | 14,995,779,000 | 14,995,779,000 | |||
MBS put options | |||||
Derivative Instruments | |||||
Notional amount | 700,000,000 | 700,000,000 | 9,550,000,000 | ||
Derivative assets: | |||||
Derivative asset, before netting | 17,152,000 | 17,152,000 | 7,655,000 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 9,550,000,000 | ||||
Balance at end of period | 700,000,000 | 700,000,000 | |||
MBS call options | |||||
Derivative assets: | |||||
Derivative asset, before netting | 55,000 | 55,000 | |||
Derivative liabilities: | |||||
Derivative liability, before netting | 118,000 | 118,000 | |||
Swaptions | Purchases | |||||
Derivative Instruments | |||||
Notional amount | 5,375,000,000 | ||||
Derivative assets: | |||||
Derivative asset, before netting | 1,625,000 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 5,375,000,000 | ||||
Put options on Eurodollar futures | Purchases | |||||
Derivative Instruments | |||||
Notional amount | 4,335,000,000 | 4,335,000,000 | 2,450,000,000 | ||
Derivative assets: | |||||
Derivative asset, before netting | 70,577,000 | 70,577,000 | 3,141,000 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 2,450,000,000 | ||||
Balance at end of period | 4,335,000,000 | 4,335,000,000 | |||
Put options on Eurodollar futures | Sales | |||||
Derivative Instruments | |||||
Notional amount | 300,000,000 | 300,000,000 | |||
Derivative liabilities: | |||||
Derivative liability, before netting | 11,766,000 | 11,766,000 | |||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at end of period | 300,000,000 | 300,000,000 | |||
Call options on Eurodollar futures | Purchases | |||||
Derivative Instruments | |||||
Notional amount | 2,675,000,000 | 2,675,000,000 | 1,250,000,000 | ||
Derivative assets: | |||||
Derivative asset, before netting | 4,680,000 | 4,680,000 | 2,078,000 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 1,250,000,000 | ||||
Balance at end of period | 2,675,000,000 | 2,675,000,000 | |||
Call options on Eurodollar futures | Sales | |||||
Derivative Instruments | |||||
Notional amount | 400,000,000 | 400,000,000 | |||
Derivative liabilities: | |||||
Derivative liability, before netting | 375,000 | 375,000 | |||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at end of period | 400,000,000 | 400,000,000 | |||
Treasury future | Purchases | |||||
Derivative Instruments | |||||
Notional amount | 4,143,200,000 | 4,143,200,000 | 1,544,800,000 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 1,544,800,000 | ||||
Balance at end of period | 4,143,200,000 | 4,143,200,000 | |||
Treasury future | Sales | |||||
Derivative Instruments | |||||
Notional amount | 3,491,400,000 | 3,491,400,000 | 1,925,000,000 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 1,925,000,000 | ||||
Balance at end of period | 3,491,400,000 | 3,491,400,000 | |||
Interest rate swap futures | Purchases | |||||
Derivative Instruments | |||||
Notional amount | 3,010,600,000 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 3,010,600,000 | ||||
Interest rate swap futures | Sales | |||||
Derivative Instruments | |||||
Notional amount | 2,187,200,000 | ||||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 2,187,200,000 | ||||
Not designated as hedging instrument | Interest rate lock commitments | |||||
Derivative Instruments | |||||
Notional amount | 7,070,065,000 | 7,070,065,000 | 14,111,795,000 | ||
Derivative assets: | |||||
Derivative asset, before netting | 12,195,000 | 12,195,000 | 323,473,000 | ||
Derivative liabilities: | |||||
Derivative liability, before netting | 68,398,000 | 68,398,000 | $ 1,280,000 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 14,111,795,000 | ||||
Balance at end of period | $ 7,070,065,000 | $ 7,070,065,000 |
Derivative Financial Instrume_4
Derivative Financial Instruments - Offsetting of Derivative Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Derivatives subject to master netting arrangements: | ||
Gross amounts offset in the consolidated balance sheet | $ (321,496) | $ (64,977) |
Total | ||
Gross amounts of recognized assets | 485,656 | 398,672 |
Net amounts of assets presented in the balance sheet | 164,160 | 333,695 |
Interest rate lock commitments | ||
Total | ||
Net amounts of assets presented in the balance sheet | 12,195 | 323,473 |
MBS put options | ||
Total | ||
Gross amounts of recognized assets | 17,152 | 7,655 |
MBS call options | ||
Total | ||
Gross amounts of recognized assets | 55 | |
Swaptions | Purchases | ||
Total | ||
Gross amounts of recognized assets | 1,625 | |
Forward contracts | Purchases | ||
Total | ||
Gross amounts of recognized assets | 5,042 | 20,485 |
Forward contracts | Sales | ||
Total | ||
Gross amounts of recognized assets | 375,955 | 40,215 |
Put options on Eurodollar futures | Purchases | ||
Total | ||
Gross amounts of recognized assets | 70,577 | 3,141 |
Call options on Eurodollar futures | Purchases | ||
Total | ||
Gross amounts of recognized assets | $ 4,680 | $ 2,078 |
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, 2022 | Dec. 31, 2021 |
Total | ||
Net amounts of assets presented in the balance sheet | $ 164,160 | $ 333,695 |
Net amount | 164,160 | 333,695 |
RJ O'Brien | ||
Total | ||
Net amounts of assets presented in the balance sheet | 63,116 | 5,219 |
Net amount | 63,116 | 5,219 |
Morgan Stanley Bank, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 54,619 | |
Net amount | 54,619 | |
Citibank, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 10,660 | |
Net amount | 10,660 | |
Bank of America, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 17,549 | 3,005 |
Net amount | 17,549 | 3,005 |
Other | ||
Total | ||
Net amounts of assets presented in the balance sheet | 6,021 | 1,998 |
Net amount | 6,021 | 1,998 |
Interest rate lock commitments | ||
Total | ||
Net amounts of assets presented in the balance sheet | 12,195 | 323,473 |
Net amount | $ 12,195 | $ 323,473 |
Derivative Financial Instrume_6
Derivative Financial Instruments - Offsetting of Derivative Assets - Offsetting of Derivative and Financial Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Derivatives: Subject to master netting arrangements: | ||
Netting | $ (190,358) | $ (32,096) |
Total. | ||
Gross amounts of recognized liabilities | 315,845 | 54,702 |
Net amounts of liabilities presented in the consolidated balance sheet | 125,487 | 22,606 |
Mortgage loans sold under agreements to repurchase | ||
Net amounts of liabilities presented in the consolidated balance sheet | 3,490,082 | |
Debt Issuance Costs | ||
Net amount of liabilities in the consolidated balance sheet | 3,487,335 | 7,292,735 |
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 3,615,569 | 7,319,966 |
Net amount of liabilities in the consolidated balance sheet | 125,487 | 22,606 |
Loan Repo Facility | ||
Mortgage loans sold under agreements to repurchase | ||
Net amounts of liabilities presented in the consolidated balance sheet | 3,490,082 | 7,297,360 |
Debt Issuance Costs | ||
Debt issuance costs | (2,747) | (4,625) |
Net amount of liabilities in the consolidated balance sheet | 3,487,335 | 7,292,735 |
Forward contracts | Purchases | ||
Total. | ||
Gross amounts of recognized liabilities | 226,369 | 18,007 |
Forward contracts | Sales | ||
Total. | ||
Gross amounts of recognized liabilities | 8,819 | 35,415 |
Interest rate lock commitments | ||
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 68,398 | 1,280 |
Net amount of liabilities in the consolidated balance sheet | 68,398 | $ 1,280 |
MBS call options | ||
Total. | ||
Gross amounts of recognized liabilities | 118 | |
Put options on Eurodollar futures | Sales | ||
Total. | ||
Gross amounts of recognized liabilities | 11,766 | |
Call options on Eurodollar futures | Sales | ||
Total. | ||
Gross amounts of recognized liabilities | $ 375 |
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, 2022 | Dec. 31, 2021 |
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | $ 3,615,569 | $ 7,319,966 |
Financial instruments | (3,490,082) | (7,297,360) |
Net amount of liabilities in the consolidated balance sheet | 125,487 | 22,606 |
Credit Suisse First Boston Mortgage Capital LLC | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,116,556 | 1,974,278 |
Financial instruments | (1,116,343) | (1,969,670) |
Net amount of liabilities in the consolidated balance sheet | 213 | 4,608 |
JP Morgan | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 142,962 | 300,912 |
Financial instruments | (139,205) | (300,912) |
Net amount of liabilities in the consolidated balance sheet | 3,757 | |
Bank of America, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 995,818 | 1,758,690 |
Financial instruments | (995,818) | (1,758,690) |
Barclays | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 184,647 | 677,419 |
Financial instruments | (161,390) | (676,685) |
Net amount of liabilities in the consolidated balance sheet | 23,257 | 734 |
Citibank, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 157,702 | 403,003 |
Financial instruments | (157,702) | (402,806) |
Net amount of liabilities in the consolidated balance sheet | 197 | |
Royal Bank of Canada | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 198,400 | 496,064 |
Financial instruments | (198,400) | (496,064) |
BNP Paribas | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 242,282 | 349,172 |
Financial instruments | (241,058) | (349,172) |
Net amount of liabilities in the consolidated balance sheet | 1,224 | |
Morgan Stanley Bank, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 269,997 | 299,580 |
Financial instruments | (269,997) | (292,105) |
Net amount of liabilities in the consolidated balance sheet | 7,475 | |
Wells Fargo Bank, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 194,706 | 203,779 |
Financial instruments | (187,153) | (200,338) |
Net amount of liabilities in the consolidated balance sheet | 7,553 | 3,441 |
Goldman Sachs | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 36,515 | 853,147 |
Financial instruments | (23,016) | (850,918) |
Net amount of liabilities in the consolidated balance sheet | 13,499 | 2,229 |
Nomura Securities International, Inc. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 3,178 | 273 |
Net amount of liabilities in the consolidated balance sheet | 3,178 | 273 |
Bank of Oklahoma | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 3,791 | 603 |
Net amount of liabilities in the consolidated balance sheet | 3,791 | 603 |
Other | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 617 | 1,766 |
Net amount of liabilities in the consolidated balance sheet | 617 | 1,766 |
Interest rate lock commitments | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 68,398 | 1,280 |
Net amount of liabilities in the consolidated balance sheet | $ 68,398 | $ 1,280 |
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, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | |
Change in fair value due to: | |||||
Total change in fair value | $ (95,411) | $ 147,669 | $ (420,424) | $ 260,474 | |
Mortgage servicing rights | |||||
Activity in MSRs carried at fair value | |||||
Balance at beginning of period | 5,217,167 | 3,412,648 | 3,878,078 | 2,581,174 | |
Additions - Resulting from loan sales | 345,077 | 432,429 | 1,359,632 | 1,386,324 | |
Additions - Purchases (purchase adjustments) | 4,140 | 4,140 | |||
Additions | 349,217 | 432,429 | 1,363,772 | 1,386,324 | |
Change in fair value due to: | |||||
Changes in valuation inputs used in valuation model | 237,154 | (119,674) | 794,779 | (46,298) | |
Other changes in fair value | (141,866) | (114,283) | (374,957) | (310,080) | |
Total change in fair value | 95,288 | (233,957) | 419,822 | (356,378) | |
Balance at end of period | 5,661,672 | 3,611,120 | 5,661,672 | 3,611,120 | |
UPB of underlying loan at end of period | 303,800,226 | $ 259,220,948 | 303,800,226 | $ 259,220,948 | |
Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and Notes payable secured by mortgage servicing assets | $ 5,604,447 | $ 5,604,447 | $ 3,856,791 |
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, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Amortized cost: | ||||
Mortgage servicing liabilities resulting from loan sales | $ 98,147 | |||
Mortgage servicing liabilities | ||||
Amortized cost: | ||||
Balance at beginning of period | $ 2,337 | $ 100,091 | $ 2,816 | 45,324 |
Mortgage servicing liabilities resulting from loan sales | 33,764 | 98,147 | ||
Changes in valuation inputs used in valuation model | (38) | (54,222) | (305) | (36,375) |
Other changes in fair value | (85) | (32,066) | (297) | (59,529) |
Total change in fair value | (123) | (86,288) | (602) | (95,904) |
Balance at end of period | 2,214 | 47,567 | 2,214 | 47,567 |
UPB of underlying loan at end of period | $ 35,143 | $ 8,885,785 | $ 35,143 | $ 8,885,785 |
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, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Other fees: | ||||
Loan servicing fees | $ 313,080 | $ 267,758 | $ 906,688 | $ 787,224 |
Mortgage servicing rights | ||||
Contractual servicing fees | 270,336 | 216,592 | 774,483 | 635,620 |
Other fees: | ||||
Late charges | 10,533 | 7,480 | 30,177 | 22,076 |
Other | 2,952 | 7,457 | 11,487 | 23,079 |
Loan servicing fees | $ 283,821 | $ 231,529 | $ 816,147 | $ 680,775 |
Leases (Details)
Leases (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | |
Leases | |||||
Operating lease option to extend | true | ||||
Lease expenses: | |||||
Operating leases | $ 5,046 | $ 4,671 | $ 15,008 | $ 13,545 | |
Short-term leases | 235 | 196 | 695 | 666 | |
Total lease cost | 5,281 | 4,867 | 15,703 | 14,211 | |
Payments for operating leases | 5,544 | 5,210 | 15,801 | 15,395 | |
Right-of-use assets obtained in exchange for lease obligations | $ 571 | $ 13,058 | $ 1,364 | $ 20,871 | |
Remaining lease term (in year) | 4 years 10 months 24 days | 6 years | 4 years 10 months 24 days | 6 years | |
Discount rate (as a percent) | 3.80% | 4% | 3.80% | 4% | |
Operating lease liabilities | |||||
2023 | $ 24,786 | $ 24,786 | |||
2024 | 21,921 | 21,921 | |||
2025 | 18,855 | 18,855 | |||
2026 | 15,424 | 15,424 | |||
2027 | 8,896 | 8,896 | |||
Thereafter | 13,263 | 13,263 | |||
Total lease payments | 103,145 | 103,145 | |||
Less imputed interest | (10,765) | (10,765) | |||
Total | $ 92,380 | $ 92,380 | $ 110,003 | ||
Minimum | |||||
Leases | |||||
Remaining operating lease term | 1 year | 1 year | |||
Maximum | |||||
Leases | |||||
Remaining operating lease term | 8 years | 8 years | |||
Operating lease renewal term | 5 years | 5 years |
Other Assets - Other (Details)
Other Assets - Other (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Carrying value: | ||
Capitalized software, net | $ 152,655 | $ 109,480 |
Derivative settlements receivable | 115,384 | 20,026 |
Prepaid Expense | 47,008 | 64,924 |
Furniture, fixtures, equipment and building improvements, net | 29,928 | 31,677 |
Servicing fee receivables, net | 25,861 | 23,672 |
Other servicing receivables | 19,928 | 113,820 |
Interest receivable | 18,793 | 9,688 |
Deposits | 9,886 | 36,632 |
Real estate acquired in settlement of loans | 7,963 | 7,474 |
Margin deposits | 1,539 | 100,482 |
Other | 44,582 | 98,741 |
Other assets | 473,527 | 616,616 |
Assets pledged to secure Obligation under capital lease: | ||
Capitalized software, net | 4,546 | |
Furniture, fixture, equipment and building improvements, net | 4,116 | |
Assets securing capital lease | $ 9,886 | $ 45,294 |
Short-Term Debt - Assets Sold U
Short-Term Debt - Assets Sold Under Agreement to Repurchase (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||||||
Apr. 28, 2021 | Dec. 19, 2016 | Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | Dec. 07, 2021 | |
Carrying value: | ||||||||
Net amounts of liabilities presented in the consolidated balance sheet | $ 3,490,082,000 | $ 3,490,082,000 | ||||||
Total loans sold under agreements to repurchase | 3,487,335,000 | 3,487,335,000 | $ 7,292,735,000 | |||||
Servicing advances | 253,370,000 | 253,370,000 | 232,107,000 | |||||
PennyMac Holdings, L L C Repurchase Agreement | ||||||||
Carrying value: | ||||||||
Related Party Transaction, Maximum Principal Balance of Variable Funding Note | $ 2,000,000,000 | |||||||
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 | 1,800,000,000 | $ 1,300,000,000 | 1,510,623,000 | $ 1,300,000,000 | ||||
Carrying value: | ||||||||
Amortization of debt issuance costs | 726,000 | 570,000 | 1,700,000 | 1,700,000 | ||||
Freddie Mac MSR Facility | ||||||||
Carrying value: | ||||||||
Amount Of Repurchase Agreement | $ 175,000,000 | |||||||
Loan Repo Facility | ||||||||
During the period: | ||||||||
Average balance of assets sold under agreements to repurchase | $ 1,949,452,000 | $ 6,031,491,000 | $ 2,622,581,000 | $ 7,336,341,000 | ||||
Weighted-average interest rate (as a percent) | 4.34% | 2.11% | 2.90% | 2.12% | ||||
Total interest expense | $ 24,329,000 | $ 35,783,000 | $ 67,048,000 | $ 132,585,000 | ||||
Maximum daily amount outstanding | 3,490,082,000 | 8,044,148,000 | 7,289,147,000 | 10,969,029,000 | ||||
Carrying value: | ||||||||
Unpaid principal balance under committed facilities | 2,703,673,000 | 2,703,673,000 | 5,079,581,000 | |||||
Unpaid principal balance under uncommitted facilities | 786,409,000 | 786,409,000 | 2,217,779,000 | |||||
Net amounts of liabilities presented in the consolidated balance sheet | 3,490,082,000 | 3,490,082,000 | 7,297,360,000 | |||||
Unamortized debt issuance costs | (2,747,000) | (2,747,000) | (4,625,000) | |||||
Total loans sold under agreements to repurchase | $ 3,487,335,000 | $ 3,487,335,000 | $ 7,292,735,000 | |||||
Weighted average interest rate (as a percent) | 4.66% | 4.66% | 1.83% | |||||
Available borrowing capacity committed | $ 801,328,000 | $ 801,328,000 | $ 285,419,000 | |||||
Available borrowing capacity uncommitted | 5,333,590,000 | 5,333,590,000 | 8,417,221,000 | |||||
Available borrowing capacity | 6,134,918,000 | 6,134,918,000 | 8,702,640,000 | |||||
Amortization of debt issuance costs | 3,000,000 | $ 3,700,000 | 10,100,000 | $ 15,500,000 | ||||
Loan Repo Facility | Loans held for sale | ||||||||
Carrying value: | ||||||||
Fair value of assets pledged to secure | 3,626,320,000 | 3,626,320,000 | 8,629,861,000 | |||||
Loan Repo Facility | Mortgage servicing rights | ||||||||
Carrying value: | ||||||||
Fair value of assets pledged to secure | 5,604,447,000 | 5,604,447,000 | 3,552,812,000 | |||||
Loan Repo Facility | Servicing advances | ||||||||
Carrying value: | ||||||||
Fair value of assets pledged to secure | 253,370,000 | 253,370,000 | 232,107,000 | |||||
Loan Repo Facility | Deposits | ||||||||
Carrying value: | ||||||||
Fair value of assets pledged to secure | $ 9,886,000 | $ 9,886,000 | $ 36,632,000 |
Short-Term Debt - Maturities of
Short-Term Debt - Maturities of Outstanding Advances Under Repurchase Agreements (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2022 USD ($) | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 3,490,082 |
Weighted-average maturity (in months) | 3 months 3 days |
Within 30 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 715,649 |
Over 30 to 90 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | 2,469,343 |
Over 90 to 180 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | 191,861 |
Over 180 days to one year | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | 13,229 |
Over one year to two year | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 100,000 |
Short-Term Debt - Mortgage Loan
Short-Term Debt - Mortgage Loans Sold Under Agreement to Repurchase by Counterparty (Details) - Loan Repo Facility $ in Thousands | Sep. 30, 2022 USD ($) |
Credit Suisse First Boston Mortgage Capital LLC Tranche Two | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 3,451,397 |
Credit Suisse First Boston Mortgage Capital LLC Tranche One | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 39,317 |
Bank of America, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 5,367 |
JP Morgan Chase Bank | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 39,006 |
JP Morgan | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 77,947 |
BNP Paribas | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 13,192 |
Barclays | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 11,178 |
Goldman Sachs | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 414 |
Citibank, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 7,062 |
Morgan Stanley Bank, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 23,564 |
Royal Bank of Canada | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 24,518 |
Short-Term Debt - Mortgage Lo_2
Short-Term Debt - Mortgage Loan Participation and Sale Agreement (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | Jul. 30, 2021 | |
Carrying value: | ||||||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 367,473,000 | $ 367,473,000 | $ 479,845,000 | |||
Fair value of loans pledged to secure | 385,944,000 | 385,944,000 | 505,716,000 | |||
Mortgage Loan Participation and Sale Agreement member | ||||||
During the period: | ||||||
Average balance | $ 210,639,000 | $ 237,849,000 | $ 216,167,000 | $ 256,109,000 | ||
Weighted-average interest rate (as a percent) | 3.65% | 1.44% | 2.53% | 1.38% | ||
Total interest expense | $ 2,073,000 | $ 1,026,000 | $ 4,570,000 | $ 3,160,000 | ||
Carrying value: | ||||||
Unpaid principal balance of mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 367,997,000 | 367,997,000 | 479,845,000 | |||
Unamortized debt issuance costs | (524,000) | (524,000) | ||||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 367,473,000 | $ 367,473,000 | $ 479,845,000 | |||
Weighted average interest rate (as a percent) | 4.48% | 4.48% | 1.48% | |||
Fair value of loans pledged to secure | $ 385,944,000 | $ 385,944,000 | $ 505,716,000 | |||
Amortization of debt issuance costs | 135,000 | 172,000 | 479,000 | 516,000 | ||
Mortgage Loan Participation and Sale Agreement member | Maximum | ||||||
Carrying value: | ||||||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 507,297,000 | 532,819,000 | 515,043,000 | 532,819,000 | ||
Note Payable | ||||||
Carrying value: | ||||||
Unamortized debt issuance costs | (6,028,000) | (6,028,000) | $ (2,378,000) | |||
Amortization of debt issuance costs | $ 726,000 | $ 570,000 | $ 1,700,000 | $ 1,700,000 | ||
Syndicated Repurchase Agreement | ||||||
Short-term Debt [Line Items] | ||||||
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 |
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, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | |
Leases | ||||
Average balance | $ 6,804 | $ 1,130 | $ 9,072 | |
Weighted average interest rate | 2.09% | 2.18% | 2.11% | |
Total interest expense | $ 36 | $ 20 | $ 143 | |
Unpaid principal balance | $ 3,489 | |||
Weighted average interest rate | 2.11% | |||
Capitalized software pledged to creditors | $ 4,546 | |||
Furniture, fixtures, equipment and building improvements pledged to creditors | $ 4,116 | |||
Maximum | ||||
Leases | ||||
Maximum daily amount outstanding | $ 7,677 | $ 3,489 | $ 11,864 |
Long-Term Debt - Note Payable (
Long-Term Debt - Note Payable (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | |
During the period: | |||||
Unpaid principal balance | $ 3,490,082,000 | $ 3,490,082,000 | |||
Carrying value: | |||||
Notes payable | 1,793,972,000 | 1,793,972,000 | $ 1,297,622,000 | ||
Unsecured senior notes | 1,778,988,000 | 1,778,988,000 | 1,776,219,000 | ||
Note Payable | |||||
During the period: | |||||
Average balance | $ 1,800,000,000 | $ 1,300,000,000 | $ 1,510,623,000 | $ 1,300,000,000 | |
Weighted-average interest rate (as a percent) | 5.31% | 2.87% | 4.13% | 2.89% | |
Total interest expense | $ 24,795,000 | $ 9,896,000 | $ 48,360,000 | $ 29,888,000 | |
Carrying value: | |||||
Unpaid principal balance | 1,800,000,000 | 1,800,000,000 | 1,300,000,000 | ||
Unamortized debt issuance costs | (6,028,000) | (6,028,000) | (2,378,000) | ||
Notes payable | $ 1,793,972,000 | $ 1,793,972,000 | $ 1,297,622,000 | ||
Weighted-average interest rate (as a percent) | 6.12% | 6.12% | 2.84% | ||
Amortization of Financing Costs | $ 726,000 | 570,000 | $ 1,700,000 | 1,700,000 | |
Notes payable | |||||
Maximum loan amount | 1,800,000,000 | $ 1,800,000,000 | |||
Debt instrument option to extend period | 2 years | ||||
Note Payable | Mortgage servicing rights | |||||
Carrying value: | |||||
Assets pledged to secure | 5,089,648,000 | $ 5,089,648,000 | $ 3,856,791,000 | ||
Note Payable | Servicing advances | |||||
Carrying value: | |||||
Assets pledged to secure | 253,370,000 | 253,370,000 | 232,107,000 | ||
Note Payable | Deposits | |||||
Carrying value: | |||||
Assets pledged to secure | 9,886,000 | $ 9,886,000 | 36,632,000 | ||
Notes Payable Term Loan 2018-GT1 | |||||
Notes payable | |||||
Debt instrument option to extend period | 2 years | ||||
Notes Payable Term Loan 2018-GT1 | SOFR | |||||
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 | SOFR | |||||
Notes payable | |||||
Maximum loan amount | 650,000,000 | $ 650,000,000 | |||
Interest rate spread | 2.65% | ||||
Notes Payable Term Loan 2022-GT1 | SOFR | |||||
Long-Term debt | |||||
Maximum loan amount | 500,000,000 | $ 500,000,000 | |||
Notes payable | |||||
Interest rate spread | 4.25% | ||||
Unsecured Senior Note | |||||
During the period: | |||||
Average balance | $ 1,800,000,000 | $ 1,381,522,000 | $ 1,800,000,000 | $ 1,229,853,000 | |
Weighted-average interest rate (as a percent) | 5.07% | 4.91% | 5.07% | 4.86% | |
Total interest expense | $ 23,949,000 | $ 17,442,000 | $ 71,065,000 | $ 46,281,000 | |
Unpaid principal balance | 1,800,000,000 | 1,800,000,000 | 1,800,000,000 | ||
Unamortized debt issuance costs and premiums | (21,012,000) | (21,012,000) | (23,781,000) | ||
Debt Instrument Unamortized Premium And Debt Issuance Costs Net | $ 1,778,988,000 | $ 1,778,988,000 | $ 1,776,219,000 | ||
Weighted average interest rate (as a percent) | 5.07% | 5.07% | 5.07% | ||
Carrying value: | |||||
Amortization of Financing Costs | $ 933,000 | $ 492,000 | $ 2,800,000 | $ 1,400,000 | |
Notes payable | |||||
Maximum loan amount | 1,800,000,000 | $ 1,800,000,000 | |||
Redemption rate (as a percent) | 100% | ||||
Unsecured Senior Note | Before October 15, 2022 with up to 40% principal redeemed | |||||
Notes payable | |||||
Redemption rate (as a percent) | 40% | ||||
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% | ||||
Unsecured Senior Notes Due February 2029 | |||||
Notes payable | |||||
Maximum loan amount | 650,000,000 | $ 650,000,000 | |||
Interest rate spread | 4.25% | ||||
Unsecured Senior Notes Due September 2031 | |||||
Notes payable | |||||
Maximum loan amount | $ 500,000,000 | $ 500,000,000 | |||
Interest rate spread | 5.75% |
Long-Term Debt - Maturities (De
Long-Term Debt - Maturities (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2022 USD ($) | |
Long-Term debt | |
2022 | $ 1,300,000 |
2025 | 650,000 |
2026 | 500,000 |
Thereafter | 1,150,000 |
Total | 3,600,000 |
Note Payable | |
Long-Term debt | |
2022 | 1,300,000 |
2026 | 500,000 |
Total | $ 1,800,000 |
Debt instrument option to extend period | 2 years |
Unsecured Senior Note | |
Long-Term debt | |
2025 | $ 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, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
During the period: | ||||
Balance at beginning of period | $ 39,336 | $ 44,335 | $ 43,521 | $ 32,688 |
Provision for losses on loans sold resulting from sales of loans | 1,651 | 6,561 | 7,887 | 26,918 |
Provision for losses on loans sold reduction in liability due to change in estimate | (1,769) | (4,355) | (7,165) | (11,680) |
Losses incurred, net | (2,031) | (735) | (7,056) | (2,120) |
Balance at end of period | 37,187 | 45,806 | 37,187 | 45,806 |
Unpaid principal balance of loans subject to representations and warranties at end of period | $ 285,532,190 | $ 245,528,045 | $ 285,532,190 | $ 245,528,045 |
Income Taxes - General (Details
Income Taxes - General (Details) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
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) | 27.10% | 26.60% | 26.70% | 26.20% |
Commitments and Contingencies -
Commitments and Contingencies - Other (Details) $ in Billions | Sep. 30, 2022 USD ($) |
Commitments and Contingencies. | |
Total commitments to purchase and fund mortgage loans | $ 7.1 |
Stockholders' Equity (Details)
Stockholders' Equity (Details) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | 64 Months Ended | ||||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Aug. 31, 2021 | Feb. 28, 2021 | |
Stockholders' Equity | |||||||
Cost of shares of common stock repurchased | $ 99,702 | $ 257,354 | $ 354,759 | $ 700,793 | |||
Common Class A [Member] | |||||||
Stockholders' Equity | |||||||
Authorized stock repurchase amount | $ 2,000,000 | $ 1,000,000 | |||||
Shares of common stock repurchased | 1,949 | 4,195 | 6,696 | 11,422 | 31,770 | ||
Cost of shares of common stock repurchased | $ 99,702 | $ 257,354 | $ 354,759 | $ 700,793 | $ 1,665,380 |
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, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Non-cash gain: | ||||
Provision for losses relating to representations and warranties on loans sold pursuant to loan sales | $ (1,651) | $ (6,561) | $ (7,887) | $ (26,918) |
Provision for losses relating to representations and warranties on loans sold reduction in liability due to change in estimate | 1,769 | 4,355 | 7,165 | 11,680 |
Change in fair value of loans and derivatives held at period end: | ||||
Net gains on loans held for sale at fair value | 168,694 | 626,754 | 689,720 | 1,963,743 |
PennyMac Mortgage Investment Trust | ||||
Change in fair value of loans and derivatives held at period end: | ||||
Net gains on loans held for sale at fair value | (1,648) | (12,976) | (16,052) | (38,772) |
Non-affiliates | ||||
Cash (losses) gains: | ||||
Loans | (587,659) | 135,841 | (1,983,051) | 605,858 |
Hedging activities | 570,864 | (9,788) | 1,543,568 | 400,786 |
Cash gain (loss), net of effects of cash hedging, on sale of loans held for sale | (16,795) | 126,053 | (439,483) | 1,006,644 |
Non-cash gain: | ||||
Mortgage servicing rights and mortgage servicing liabilities resulting from loan sales | 345,077 | 398,665 | 1,359,632 | 1,288,177 |
Provision for losses relating to representations and warranties on loans sold pursuant to loan sales | (1,651) | (6,561) | (7,887) | (26,918) |
Provision for losses relating to representations and warranties on loans sold reduction in liability due to change in estimate | 1,769 | 4,355 | 7,165 | 11,680 |
Change in fair value of loans and derivatives held at period end: | ||||
Interest rate lock commitments | (121,353) | 17,313 | (378,396) | (316,103) |
Loans | 170,887 | 109,411 | 347,968 | 164,311 |
Hedging derivatives | (207,592) | (9,506) | (183,227) | (125,276) |
Net gains on loans held for sale at fair value | $ 170,342 | $ 639,730 | $ 705,772 | $ 2,002,515 |
Net Interest Income (Expense)_2
Net Interest Income (Expense) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Interest income: | ||||
Interest income | $ 82,994 | $ 68,312 | $ 186,740 | $ 231,190 |
Interest expense: | ||||
Obligations under capital lease | 36 | 20 | 143 | |
Interest expense | 82,965 | 90,711 | 231,399 | 300,855 |
Net interest income (expense) | 29 | (22,399) | (44,659) | (69,665) |
PennyMac Mortgage Investment Trust | ||||
Interest income: | ||||
Interest income | 387 | |||
Interest expense: | ||||
Interest expense | 1,280 | |||
Non-affiliates | ||||
Interest income: | ||||
Cash and short-term investments | 7,759 | 768 | 8,736 | 2,502 |
Loans held for sale at fair value | 38,945 | 63,726 | 124,835 | 215,003 |
Placement fees relating to custodial funds | 36,290 | 3,818 | 53,169 | 13,298 |
Interest income | 82,994 | 68,312 | 186,740 | 230,803 |
Interest expense: | ||||
Assets sold under agreements to repurchase | 24,329 | 35,783 | 67,048 | 132,585 |
Mortgage loan participation purchase and sale agreements | 2,073 | 1,026 | 4,570 | 3,160 |
Obligations under capital lease | 36 | 20 | 143 | |
Notes payable | 24,795 | 9,896 | 48,360 | 29,888 |
Unsecured senior notes | 23,949 | 17,442 | 71,065 | 46,281 |
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations | 5,620 | 24,886 | 35,385 | 83,466 |
Interest on mortgage loan impound deposits | 2,199 | 1,642 | 4,951 | 4,052 |
Interest expense | 82,965 | 90,711 | 231,399 | 299,575 |
Loan Repo Facility | ||||
Interest expense: | ||||
Assets sold under agreements to repurchase | $ 24,329 | $ 35,783 | $ 67,048 | $ 132,585 |
Stock-based Compensation - Othe
Stock-based Compensation - Other (Details) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Stock-Based Compensation | ||||
Grant date fair value | $ 50,563 | $ 33,419 | ||
Stock-based compensation expense | $ 6,466 | $ 8,824 | $ 30,689 | $ 28,595 |
Stock Options | ||||
Stock-Based Compensation | ||||
Granted (in units) | 574 | 249 | ||
Grant date fair value | $ 12,138 | $ 5,116 | ||
Exercised (in units) | 20 | 104 | 83 | 289 |
Performance-based RSUs | ||||
Stock-Based Compensation | ||||
Granted (in units) | 342 | 310 | ||
Grant date fair value | $ 19,522 | $ 18,237 | ||
Vested (in units) | 643 | 640 | ||
Time-based RSUs | ||||
Stock-Based Compensation | ||||
Granted (in units) | 331 | 171 | ||
Grant date fair value | $ 18,903 | $ 10,066 | ||
Vested (in units) | 2 | 246 | 309 |
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, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Diluted earnings per share of common stock: | ||||
Net income attributable to common stockholders | $ 135,134 | $ 249,310 | $ 437,890 | $ 830,407 |
Weighted-average common stock outstanding applicable to basic earnings per share (in shares) | 52,170 | 62,085 | 54,043 | 65,671 |
Effect of dilutive shares: | ||||
Common shares issuable under stock-based compensation plans (in shares) | 2,798 | 3,567 | 2,870 | 3,670 |
Weighted-average shares of common stock applicable to diluted earnings per share (in shares) | 54,968 | 65,652 | 56,913 | 69,341 |
Basic earnings per share of common stock (in dollars per share) | $ 2.59 | $ 4.02 | $ 8.10 | $ 12.65 |
Diluted earnings per share of common stock (in dollars per share) | $ 2.46 | $ 3.80 | $ 7.69 | $ 11.98 |
Total anti-dilutive shares and units (in shares) | 1,748 | 551 | 1,696 | 511 |
Performance-based RSUs | ||||
Effect of dilutive shares: | ||||
Total anti-dilutive shares and units (in shares) | 325 | 302 | 268 | 244 |
Time-based RSUs | ||||
Effect of dilutive shares: | ||||
Total anti-dilutive shares and units (in shares) | 116 | 68 | ||
Stock Options | ||||
Effect of dilutive shares: | ||||
Total anti-dilutive shares and units (in shares) | 1,423 | 249 | 1,312 | 199 |
Weighted-average exercise price of anti-dilutive stock options (in dollars per share) | $ 58.49 | $ 58.85 | $ 58.61 | $ 58.85 |
Regulatory Capital and Liquid_3
Regulatory Capital and Liquidity Requirements (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | ||
Jun. 30, 2020 | Sep. 30, 2022 | Dec. 31, 2015 | Dec. 31, 2021 | |
Fannie Mae / Freddie Mac - PLS | ||||
Regulatory Net Worth and Agency Capital Requirements | ||||
Net worth | $ 6,556,595 | $ 5,872,064 | ||
Capital Requirement | 772,807 | 722,040 | ||
Liquidity | 1,545,995 | 316,659 | ||
Liquidity requirement | $ 103,846 | $ 93,973 | ||
Tangible net worth / Total assets ratio actual | 40% | 32% | ||
Tangible net worth / Total assets ratio requirement | 6% | 6% | ||
Ginnie Mae - Issuer - PLS | ||||
Regulatory Net Worth and Agency Capital Requirements | ||||
Net worth | $ 5,868,827 | $ 5,424,747 | ||
Capital Requirement | 933,482 | 976,303 | ||
Liquidity | 1,545,995 | 316,659 | ||
Liquidity requirement | $ 239,211 | $ 220,577 | ||
Adjusted net worth / Total assets ratio actual | 36% | 29% | ||
Adjusted net worth / Total assets ratio requirement | 6% | 6% | ||
Ginnie Mae - Issuer's parent - 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 | 5,868,827 | $ 5,424,747 | ||
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% | |||
FHFA additional liquidity spread of UPB excluded | 70% | |||
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, 2022 USD ($) | Sep. 30, 2021 USD ($) | Sep. 30, 2022 USD ($) segment | Sep. 30, 2021 USD ($) | Dec. 31, 2021 USD ($) | |
Segments and Related Information | |||||
Number of segments | segment | 3 | ||||
Revenues: | |||||
Net gains on loans held for sale at fair value | $ 168,694 | $ 626,754 | $ 689,720 | $ 1,963,743 | |
Loan origination fees | 34,037 | 94,581 | 141,840 | 295,909 | |
Fulfillment fees from PennyMac Mortgage Investment Trust | 18,407 | 43,922 | 55,807 | 158,777 | |
Net loan servicing fees | 243,742 | 33,630 | 768,498 | 88,221 | |
Net interest income (expense): | |||||
Interest income | 82,994 | 68,312 | 186,740 | 231,190 | |
Interest expense, before non-segment activities | 82,965 | 90,711 | 231,399 | 300,855 | |
Net interest expense, before non-segment activities | 29 | (22,399) | (44,659) | (69,665) | |
Management fees from PennyMac Mortgage Investment Trust | 7,731 | 8,520 | 23,758 | 28,882 | |
Other | 3,650 | 1,604 | 10,345 | 7,683 | |
Total net revenues, before non-segment activities | 476,290 | 786,612 | 1,645,309 | 2,473,550 | |
Expenses | 290,818 | 447,063 | 1,047,791 | 1,348,478 | |
Income before provision for income taxes | 185,472 | 339,549 | 597,518 | 1,125,072 | |
Assets: | |||||
Segment assets at quarter end | 16,361,811 | 19,745,138 | 16,361,811 | 19,745,138 | $ 18,776,612 |
PennyMac Mortgage Investment Trust | |||||
Revenues: | |||||
Net gains on loans held for sale at fair value | (1,648) | (12,976) | (16,052) | (38,772) | |
Net interest income (expense): | |||||
Interest income | 387 | ||||
Operating segment | |||||
Assets: | |||||
Segment assets at quarter end | 16,361,811 | 19,745,138 | 16,361,811 | 19,745,138 | |
Operating segment | Investment management | |||||
Net interest income (expense): | |||||
Interest expense, before non-segment activities | 2 | 8 | |||
Net interest expense, before non-segment activities | (2) | (8) | |||
Management fees from PennyMac Mortgage Investment Trust | 7,731 | 8,520 | 23,758 | 28,882 | |
Other | 2,620 | 1,238 | 6,431 | 3,968 | |
Total net revenues, before non-segment activities | 10,351 | 9,756 | 30,189 | 32,842 | |
Expenses | 8,734 | 8,727 | 28,228 | 26,295 | |
Income before provision for income taxes | 1,617 | 1,029 | 1,961 | 6,547 | |
Assets: | |||||
Segment assets at quarter end | 26,988 | 20,727 | 26,988 | 20,727 | |
Operating segment | Mortgage banking | |||||
Revenues: | |||||
Net gains on loans held for sale at fair value | 168,694 | 626,754 | 689,720 | 1,963,743 | |
Loan origination fees | 34,037 | 94,581 | 141,840 | 295,909 | |
Fulfillment fees from PennyMac Mortgage Investment Trust | 18,407 | 43,922 | 55,807 | 158,777 | |
Net loan servicing fees | 243,742 | 33,630 | 768,498 | 88,221 | |
Net interest income (expense): | |||||
Interest income | 82,994 | 68,312 | 186,740 | 231,190 | |
Interest expense, before non-segment activities | 82,965 | 90,709 | 231,399 | 300,847 | |
Net interest expense, before non-segment activities | 29 | (22,397) | (44,659) | (69,657) | |
Other | 1,030 | 366 | 3,914 | 3,715 | |
Total net revenues, before non-segment activities | 465,939 | 776,856 | 1,615,120 | 2,440,708 | |
Expenses | 282,084 | 438,336 | 1,019,563 | 1,322,183 | |
Income before provision for income taxes | 183,855 | 338,520 | 595,557 | 1,118,525 | |
Assets: | |||||
Segment assets at quarter end | 16,334,823 | 19,724,411 | 16,334,823 | 19,724,411 | |
Operating segment | Mortgage banking Production | |||||
Revenues: | |||||
Net gains on loans held for sale at fair value | 140,683 | 496,568 | 515,188 | 1,431,824 | |
Loan origination fees | 34,037 | 94,581 | 141,840 | 295,909 | |
Fulfillment fees from PennyMac Mortgage Investment Trust | 18,407 | 43,922 | 55,807 | 158,777 | |
Net interest income (expense): | |||||
Interest income | 30,825 | 33,307 | 90,145 | 94,668 | |
Interest expense, before non-segment activities | 24,970 | 28,570 | 71,236 | 103,555 | |
Net interest expense, before non-segment activities | 5,855 | 4,737 | 18,909 | (8,887) | |
Other | 474 | 218 | 1,842 | 1,445 | |
Total net revenues, before non-segment activities | 199,456 | 640,026 | 733,586 | 1,879,068 | |
Expenses | 160,884 | 309,460 | 676,090 | 941,165 | |
Income before provision for income taxes | 38,572 | 330,566 | 57,496 | 937,903 | |
Assets: | |||||
Segment assets at quarter end | 4,708,512 | 7,926,709 | 4,708,512 | 7,926,709 | |
Operating segment | Mortgage banking Servicing | |||||
Revenues: | |||||
Net gains on loans held for sale at fair value | 28,011 | 130,186 | 174,532 | 531,919 | |
Net loan servicing fees | 243,742 | 33,630 | 768,498 | 88,221 | |
Net interest income (expense): | |||||
Interest income | 52,169 | 35,005 | 96,595 | 136,522 | |
Interest expense, before non-segment activities | 57,995 | 62,139 | 160,163 | 197,292 | |
Net interest expense, before non-segment activities | (5,826) | (27,134) | (63,568) | (60,770) | |
Other | 556 | 148 | 2,072 | 2,270 | |
Total net revenues, before non-segment activities | 266,483 | 136,830 | 881,534 | 561,640 | |
Expenses | 121,200 | 128,876 | 343,473 | 381,018 | |
Income before provision for income taxes | 145,283 | 7,954 | 538,061 | 180,622 | |
Assets: | |||||
Segment assets at quarter end | $ 11,626,311 | $ 11,797,702 | $ 11,626,311 | $ 11,797,702 |
Subsequent Events (Details)
Subsequent Events (Details) | Oct. 25, 2022 $ / shares |
Subsequent Event | |
Subsequent Event | |
Dividends declared (in dollars per share) | $ 0.20 |