Document and Entity Information
Document and Entity Information - USD ($) | 12 Months Ended | ||
Dec. 31, 2022 | Feb. 20, 2023 | Jun. 30, 2022 | |
Document and Entity Information | |||
Document Type | 10-K | ||
Document Annual Report | true | ||
Document Period End Date | Dec. 31, 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 Well-known Seasoned Issuer | Yes | ||
Entity Voluntary Filers | No | ||
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 | ||
ICFR Auditor Attestation Flag | true | ||
Entity Public Float | $ 1,244,422,870 | ||
Entity Common Stock, Shares Outstanding | 50,033,203 | ||
Document Fiscal Year Focus | 2022 | ||
Document Fiscal Period Focus | FY | ||
Auditor Name | Deloitte & Touche LLP | ||
Auditor Firm ID | 34 | ||
Auditor Location | Los Angeles, California |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
ASSETS | ||
Cash | $ 1,328,536 | $ 340,069 |
Short-term investment at fair value | 12,194 | 6,873 |
Loans held for sale at fair value (includes $3,442,847 and $9,135,577 pledged to creditors) | 3,509,300 | 9,742,483 |
Derivative assets | 99,003 | 333,695 |
Servicing advances, net (includes valuation allowance of $78,992 and $120,940; $381,379 and $232,107 pledged to creditors) | 696,753 | 702,160 |
Mortgage servicing rights at fair value (includes $5,897,613 and $3,856,791 pledged to creditors) | 5,953,621 | 3,878,078 |
Operating lease right-of-use assets | 65,866 | 89,040 |
Investment in PennyMac Mortgage Investment Trust at fair value | 929 | 1,300 |
Receivable from PennyMac Mortgage Investment Trust | 36,372 | 40,091 |
Loans eligible for repurchase | 4,702,103 | 3,026,207 |
Other (includes $12,277 and $45,294 pledged to creditors) | 417,907 | 616,616 |
Total assets | 16,822,584 | 18,776,612 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 3,001,283 | 7,292,735 |
Mortgage loans participation purchase and sale agreements | 287,592 | 479,845 |
Notes payable secured by mortgage servicing assets | 1,942,646 | 1,297,622 |
Unsecured senior notes | 1,779,920 | 1,776,219 |
Obligations under capital lease | 3,489 | |
Derivative liabilities | 21,712 | 22,606 |
Mortgage servicing liabilities at fair value | 2,096 | 2,816 |
Accounts payable and accrued expenses | 262,358 | 359,413 |
Operating lease liabilities | 85,550 | 110,003 |
Payable to PennyMac Mortgage Investment Trust | 205,011 | 228,019 |
Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | 26,099 | 30,530 |
Income taxes payable | 1,002,744 | 685,262 |
Liability for loans eligible for repurchase | 4,702,103 | 3,026,207 |
Liability for losses under representations and warranties | 32,421 | 43,521 |
Total liabilities | 13,351,535 | 15,358,287 |
Commitments and contingencies - Note 16 | ||
STOCKHOLDERS' EQUITY | ||
Additional paid-in capital | 125,396 | |
Retained earnings | 3,471,044 | 3,292,923 |
Total stockholders' equity | 3,471,049 | 3,418,325 |
Total liabilities and stockholders' equity | 16,822,584 | 18,776,612 |
Common Class A [Member] | ||
STOCKHOLDERS' EQUITY | ||
Common stock - authorized 200,000,000 shares of $0.0001 par value; issued and outstanding, 49,988,4925 and 56,867,202 shares respectively | $ 5 | $ 6 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Loans held for sale | $ 3,509,300 | $ 9,742,483 |
Servicing advances, net | 696,753 | 702,160 |
Mortgage servicing rights, at fair value | 5,953,621 | 3,878,078 |
Other assets | 417,907 | 616,616 |
Servicing advances, net, valuation allowance | $ 78,992 | $ 120,940 |
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 | 49,988,492 | 56,867,202 |
Common stock, shares outstanding | 49,988,492 | 56,867,202 |
Asset Pledged as Collateral without Right | ||
Loans held for sale | $ 3,442,847 | $ 9,135,577 |
Servicing advances, net | 381,379 | 232,107 |
Mortgage servicing rights, at fair value | 5,897,613 | 3,856,791 |
Other assets | $ 12,277 | $ 45,294 |
Assets, Pledging Purpose [Extensible Enumeration] | Notes Payable | Notes Payable |
CONSOLIDATED STATEMENTS OF INCO
CONSOLIDATED STATEMENTS OF INCOME - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Net gains on loans held for sale at fair value: | |||
Net gains on loans held for sale at fair value | $ 791,633 | $ 2,464,401 | $ 2,740,785 |
Loan origination fees | 169,859 | 384,154 | 285,551 |
Fulfillment fees from PennyMac Mortgage Investment Trust | 67,991 | 178,927 | 222,200 |
Loan servicing fees | |||
Loan servicing fees | 1,228,637 | 1,075,112 | 998,291 |
Change in fair value of mortgage servicing rights and mortgage servicing liabilities | 354,176 | (415,906) | (1,501,993) |
Changes in fair value included in income | (1,037) | 24,970 | |
Mortgage servicing rights hedging results | (631,484) | (475,215) | 918,180 |
Change in fair value of excess servicing spread financing payable to PennyMac Mortgage Investment Trust | (277,308) | (892,158) | (558,843) |
Net loan servicing fees | 951,329 | 182,954 | 439,448 |
Interest income: | |||
Interest income | 294,062 | 300,169 | 247,026 |
Interest expense: | |||
Interest expense | 335,427 | 390,699 | 271,551 |
Net interest expense | (41,365) | (90,530) | (24,525) |
Management fees, net: | |||
Management fees from PennyMac Mortgage Investment Trust | 31,065 | 37,801 | 34,538 |
Change in fair value of investment in and dividends received from PennyMac Mortgage Investment Trust | (235) | 336 | (453) |
Result of real estate acquired in settlement of loans | 2,510 | 1,993 | 1,036 |
Repricing of payable to exchanged Private National Mortgage Acceptance Company , LLC unitholders | 576 | 280 | |
Other | 12,392 | 7,325 | 6,737 |
Total net revenue | 1,985,755 | 3,167,361 | 3,705,597 |
Expenses | |||
Compensation | 735,231 | 999,802 | 738,569 |
Loan origination | 173,622 | 330,788 | 219,746 |
Technology | 139,950 | 141,426 | 112,570 |
Professional services | 73,270 | 94,283 | 64,064 |
Servicing | 59,628 | 109,835 | 256,934 |
Marketing and advertising | 46,762 | 44,806 | 8,658 |
Occupancy and equipment | 40,124 | 35,810 | 33,357 |
Other | 51,921 | 51,428 | 31,090 |
Total expenses | 1,320,508 | 1,808,178 | 1,464,988 |
Income before provision for income taxes | 665,247 | 1,359,183 | 2,240,609 |
Provision for income taxes | 189,740 | 355,693 | 593,725 |
Net income attributable to PennyMac Financial Services, Inc. common stockholders | $ 475,507 | $ 1,003,490 | $ 1,646,884 |
Earnings per share | |||
Basic (in dollars per share) | $ 8.96 | $ 15.73 | $ 21.91 |
Diluted (in dollars per share) | $ 8.50 | $ 14.87 | $ 20.92 |
Weighted-average shares outstanding | |||
Basic (in shares) | 53,065 | 63,799 | 75,161 |
Diluted (in shares) | 55,950 | 67,471 | 78,728 |
Non-affiliates | |||
Net gains on loans held for sale at fair value: | |||
Net gains on loans held for sale at fair value | $ 808,197 | $ 2,515,874 | $ 2,690,104 |
Loan origination fees | 161,441 | 358,028 | 262,143 |
Loan servicing fees | |||
Loan servicing fees | 1,054,828 | 875,570 | 814,646 |
Interest income: | |||
Interest income | 294,062 | 299,782 | 243,701 |
Interest expense: | |||
Interest expense | 335,427 | 389,419 | 263,133 |
PennyMac Mortgage Investment Trust | |||
Net gains on loans held for sale at fair value: | |||
Net gains on loans held for sale at fair value | 16,564 | 51,473 | (50,681) |
Loan origination fees | 8,418 | 26,126 | 23,408 |
Loan servicing fees | |||
Loan servicing fees | 81,915 | 80,658 | 67,181 |
Interest income: | |||
Interest income | 387 | 3,325 | |
Interest expense: | |||
Interest expense | 1,280 | 8,418 | |
Others | |||
Loan servicing fees | |||
Loan servicing fees | $ 91,894 | $ 118,884 | $ 116,464 |
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, 2019 | $ 8 | $ 1,335,107 | $ 726,392 | $ 2,061,507 |
Balance (in shares) at Dec. 31, 2019 | 78,515 | |||
Changes in stockholders' equity | ||||
Net income | 1,646,884 | 1,646,884 | ||
Stock based compensation | 49,229 | 49,229 | ||
Stock based compensation (in shares) | 1,276 | |||
Issuance of common stock in settlement of director fees | 194 | 194 | ||
Issuance of common stock in settlement of director fees (in shares) | 5 | |||
Common stock dividends | (30,947) | (30,947) | ||
Repurchase of common stock | $ (1) | (337,478) | (337,479) | |
Repurchase of common stock (in shares) | (8,890) | |||
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 | 1,003,490 | 1,003,490 | ||
Stock based compensation | 36,337 | 36,337 | ||
Stock based compensation (in shares) | 1,326 | |||
Issuance of common stock in settlement of director fees | 200 | 200 | ||
Issuance of common stock in settlement of director fees (in shares) | 3 | |||
Common stock dividends | (52,896) | (52,896) | ||
Repurchase of common stock | $ (1) | (958,193) | (958,194) | |
Repurchase of common stock (in shares) | (15,368) | |||
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 | 475,507 | 475,507 | ||
Stock based compensation | 37,719 | 37,719 | ||
Stock based compensation (in shares) | 905 | |||
Issuance of common stock in settlement of director fees | 205 | 205 | ||
Issuance of common stock in settlement of director fees (in shares) | 4 | |||
Common stock dividends | (54,621) | (54,621) | ||
Repurchase of common stock | $ (1) | $ (163,320) | (242,765) | (406,086) |
Repurchase of common stock (in shares) | (7,788) | |||
Balance at Dec. 31, 2022 | $ 5 | $ 3,471,044 | $ 3,471,049 | |
Balance (in shares) at Dec. 31, 2022 | 49,988 |
CONSOLIDATED STATEMENTS OF CH_2
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Common Stock. | Common Class A [Member] | |||
Common Stock dividends (in dollars per share) | $ 0.80 | $ 0.80 | $ 0.54 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Cash flow from operating activities | |||
Net income | $ 475,507 | $ 1,003,490 | $ 1,646,884 |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||
Net gains on loans held for sale at fair value | (791,633) | (2,464,401) | (2,740,785) |
Change in fair value of mortgage servicing rights, mortgage servicing liabilities and excess servicing spread | (354,176) | 416,943 | 1,477,023 |
Mortgage servicing rights hedging gains | 631,484 | 475,215 | (918,180) |
Capitalization of interest on loans held for sale | (3,231) | (19,244) | (119,740) |
Accrual of interest on excess servicing spread financing payable to PennyMac Mortgage Investment Trust | 1,280 | 8,418 | |
Amortization of debt issuance costs | 19,198 | 24,321 | 19,048 |
Change in fair value of investment in common shares of PennyMac Mortgage Investment Trust | 371 | (195) | 567 |
Results of real estate acquired in settlement of loans | (2,510) | (1,993) | (1,036) |
Repricing of payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | (576) | (280) | |
Stock based compensation expense | 42,552 | 37,794 | 45,105 |
(Reversal of) provision for servicing advance losses | (36,075) | (47,878) | 125,898 |
Depreciation and amortization | 34,409 | 28,645 | 25,575 |
Impairment of capitalized software | 728 | 13,145 | |
Amortization of operating lease right-to-use assets | 15,831 | 14,295 | 12,284 |
Purchase of loans held for sale from PennyMac Mortgage Investment Trust | (50,575,617) | (67,851,634) | (63,618,185) |
Origination of loans held for sale | (20,297,064) | (54,857,114) | (31,783,465) |
Purchase of loans held for sale from non-affiliates | (1,802,769) | (4,896,527) | (3,799,336) |
Purchase of loans from Ginnie Mae securities and early buyout investors | (6,199,212) | (23,644,025) | (11,156,684) |
Sale to non-affiliates and principal payments of loans held for sale | 84,345,379 | 154,450,942 | 102,840,312 |
Sale of loans held for sale to PennyMac Mortgage Investment Trust | 298,862 | 2,248,896 | |
Repurchase of loans subject to representations and warranties | (92,924) | (99,508) | (58,375) |
Settlement of repurchase agreement derivatives | 8,270 | ||
Increase in servicing advances | (36,534) | (232,574) | (391,440) |
Decrease (increase) in receivable from PennyMac Mortgage Investment Trust | 2,776 | 35,243 | (48,320) |
Sale of real estate acquired in settlement of loans | 19,761 | 14,555 | 32,555 |
Decrease (increase) in other assets | 191,384 | 61,871 | (334,045) |
(Decrease) increase in accounts payable and accrued expenses | (109,485) | 34,666 | 135,314 |
Decrease in operating lease liabilities | (19,392) | (16,310) | (13,421) |
(Decrease) increase in payable to PennyMac Mortgage Investment Trust | (36,708) | 36,549 | 37,642 |
Payments to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | (3,855) | (4,635) | (10,713) |
Increase in income taxes payable | 317,482 | 62,562 | 118,131 |
Net cash provided by (used in) operating activities | 6,033,235 | 2,563,061 | (6,198,938) |
Cash flow from investing activities | |||
(Increase) decrease in short-term investment | (5,321) | 8,344 | 59,394 |
Net change in assets purchased from PMT under agreement to resell | 80,862 | 26,650 | |
Net settlement of derivative financial instruments used for hedging of mortgage servicing rights | (871,878) | (434,397) | 913,064 |
Purchase of mortgage servicing rights | (3,993) | (25,473) | |
Acquisition of capitalized software | (71,935) | (48,980) | (48,090) |
Purchase of furniture, fixtures, equipment and leasehold improvements | (7,159) | (7,899) | (10,671) |
Decrease (increase) in margin deposits | 238,704 | 97,701 | (131,840) |
Net cash (used in) provided by investing activities | (721,582) | (304,369) | 783,034 |
Cash flow from financing activities | |||
Sale of assets under agreements to repurchase | 75,076,185 | 136,179,744 | 102,232,005 |
Repurchase of assets sold under agreements to repurchase | (79,368,855) | (138,546,379) | (96,709,690) |
Issuance of mortgage loan participation purchase and sale certificates | 19,312,943 | 23,784,510 | 23,607,079 |
Repayment of mortgage loan participation purchase and sale certificates | (19,504,845) | (23,826,142) | (23,583,550) |
Issuance of notes payable secured by mortgage servicing assets | 650,000 | ||
Issuance of unsecured senior notes | 1,150,000 | 650,000 | |
Repayments of obligations under capital lease | (3,489) | (8,375) | (8,946) |
Repayment of excess servicing spread financing | (134,624) | (32,377) | |
Payment of debt issuance costs | (19,606) | (37,567) | (30,112) |
Issuance of common stock pursuant to exercise of stock options | 2,947 | 7,536 | 9,389 |
Payment of withholding taxes relating to stock-based compensation | (7,780) | (8,993) | (5,265) |
Payment of dividend to holders of common stock | (54,621) | (52,896) | (30,947) |
Repurchase of common stock | (406,086) | (958,194) | (337,479) |
Net cash (used in) provided by financing activities | (4,323,207) | (2,451,380) | 5,760,107 |
Net increase (decrease) in cash and restricted cash | 988,446 | (192,688) | 344,203 |
Cash and restricted cash at beginning of year | 340,093 | 532,781 | 188,578 |
Cash and restricted cash at end of year | 1,328,539 | 340,093 | 532,781 |
Cash | 1,328,536 | 340,069 | 532,716 |
Restricted cash included in Other assets | 3 | 24 | 65 |
Supplemental cash flow information: | |||
Cash paid for interest | 329,975 | 389,527 | 272,970 |
Cash (refunds received) paid for income taxes, net | (127,742) | 293,131 | 475,594 |
Non-cash investing activities: | |||
Mortgage servicing rights resulting from loan sales | 1,718,094 | 1,861,949 | 1,138,045 |
Operating right-of-use assets recognized | 1,364 | 28,401 | 14,128 |
Non-cash financing activities: | |||
Mortgage servicing liabilities resulting from loan sales | 106,631 | 23,325 | |
Issuance of Excess servicing spread payable to PennyMac Mortgage Investment Trust pursuant to a recapture agreement | 557 | 2,093 | |
Issuance of common stock in settlement of director fees | $ 205 | $ 200 | $ 194 |
Organization
Organization | 12 Months Ended |
Dec. 31, 2022 | |
Organization | |
Organization | 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 loan servicing. PNMAC’s investment management activities and a portion of its mortgage banking activities are conducted on behalf of PennyMac Mortgage Investment Trust (“PMT”), a publicly held real estate investment trust that invests in residential 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 account and the account of PMT. PLS is approved as a seller/servicer of mortgage loans by the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”) and as an issuer of securities guaranteed by the Government National Mortgage Association (“Ginnie Mae”). PLS is a licensed Federal Housing Administration Nonsupervised Title II Lender with the United States Department of Housing and Urban Development (“HUD”) and a lender/servicer with the Veterans Administration (“VA”) and United States 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. |
Concentration of Risk
Concentration of Risk | 12 Months Ended |
Dec. 31, 2022 | |
Concentration of Risk | |
Concentration of Risk | Note 2—Concentration of Risk A portion of the Company’s activities relate to PMT. Revenues generated from PMT and its subsidiaries (generally comprised of gains on mortgage loans held for sale, loan origination fees, fulfillment fees, loan servicing fees, management fees and net interest paid to PMT) totaled 9%, 9%, and 11% of total net revenues for the years ended December 31, 2022, 2021 and 2020, respectively. The Company also purchased 70%, 53% and 64% of its newly originated loan production from PMT during the years ended December 31, 2022, 2021 and 2020, respectively. |
Significant Accounting Policies
Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2022 | |
Significant Accounting Policies | |
Significant Accounting Policies | Note 3—Significant Accounting Policies A description of the Company’s significant accounting policies applied in the preparation of these consolidated financial statements follows. Basis of Presentation The Company’s consolidated financial statements have been prepared in compliance with accounting principles generally accepted in the United States (“GAAP”) as codified in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification Principles of Consolidation The consolidated financial statements include the accounts of PFSI and its wholly-owned subsidiaries. Intercompany accounts and transactions have been eliminated. Use of Estimates The preparation of financial statements in conformity with GAAP requires management to make judgments and estimates that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results will likely differ from those estimates. Cash Flows For the purpose of presentation in the statement of cash flows, the Company has identified tenant security deposits relating to rental properties owned by PMT and managed by the Company as restricted cash. Tenant security deposits are included in Other Fair Value Most of the Company’s assets and certain of its liabilities are measured at or based on their fair values. The Company groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the inputs used to determine fair value. These levels are: ● Level 1—Quoted prices in active markets for identical assets or liabilities. ● Level 2—Prices determined or determinable using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing an asset or liability and are developed based on market data obtained from sources independent of the Company. ● Level 3— Prices determined using significant unobservable inputs. In situations where observable inputs are unavailable, unobservable inputs may be used. Unobservable inputs reflect the Company’s own judgments about the factors that market participants use in pricing an asset or liability, and are based on the best information available in the circumstances. As a result of the difficulty in observing certain significant valuation inputs affecting “Level 3” fair value assets and liabilities, the Company is required to make judgments regarding these items’ fair values. Different persons in possession of the same facts may reasonably arrive at different conclusions as to the inputs to be applied in valuing these assets and liabilities and their fair values. Such differences may result in significantly different fair value measurements. Likewise, due to the general illiquidity of some of these assets and liabilities, subsequent transactions may be at values significantly different from those reported. Short-Term Investment Short-term investment, which represents an investment in an account with a depository institution, is carried at fair value. Changes in fair value are recognized in current period income. The Company classifies its short-term investment as a “Level 1” fair value asset. Loans Held for Sale at Fair Value The Company has elected to account for loans held for sale at fair value, with changes in fair value recognized in current period income, to more timely reflect the Company’s performance. All changes in fair value are recognized as a component of Net gains on loans held for sale at fair value Sale Recognition The Company recognizes transfers of loans as sales when it surrenders control over the loans. Control over transferred loans is deemed to be surrendered when (i) the loans have been isolated from the Company, (ii) the transferee has the right (free of conditions that constrain it from taking advantage of that right) to pledge or exchange the transferred loans, and (iii) the Company does not maintain effective control over the transferred loans through either (a) an agreement that entitles and obligates the Company to repurchase or redeem them before their maturity or (b) the ability to unilaterally cause the holder to return specific loans. Interest Income Recognition Interest income on loans held for sale at fair value is recognized over the life of the loans using their contractual interest rates. Income recognition is suspended and the interest receivable is reversed against interest income when loans become 90 days delinquent. Income recognition is resumed when the loan becomes contractually current. Derivative Financial Instruments The Company holds and issues derivative financial instruments that are created as a result of certain of its operations. The Company also enters into derivative transactions as part of its interest rate risk management activities. Derivative financial instruments created as a result of the Company’s operations include: ● Interest rate lock commitments (“IRLCs”) that are created when the Company commits to purchase or originate a loan for sale at specified interest rates. ● Derivatives that were embedded in a master repurchase agreement with a non-affiliate that provided for the Company to receive incentives for financing loans that satisfied certain consumer relief characteristics as provided in the master repurchase agreement. ● Loans held for sale and IRLCs. The Company bears price risk from the time a commitment to fund a loan is made to a borrower or to purchase a loan from PMT or a non-affiliated entity, to the time either the prospective transaction is cancelled or the loan is sold. During this period, the Company is exposed to losses if market interest rates increase, because the fair value of the purchase commitment or prospective loan decreases. ● Mortgage servicing rights (“MSRs”). MSRs are generally subject to reduction in fair value when mortgage interest rates decrease. Decreasing mortgage interest rates normally encourage increased mortgage refinancing activity. Increased refinancing activity reduces the expected life of the mortgage loans underlying the MSRs, thereby reducing their fair value. Reductions in the fair value of MSRs affect earnings primarily through recognition of the changes in fair value. To manage the 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 MSRs. IRLCs are accounted for as derivative financial instruments. The Company manages the risk created by IRLCs by entering into forward sale agreements to sell the expected mortgage loans or mortgage-backed securities (“MBS”) and by the purchase and sale of options on MBS. Such agreements are also accounted for as derivative financial instruments. These and other interest-rate derivatives are also used to manage the fair value risk created by changes in prepayment speeds on certain of the MSRs the Company holds. The Company classifies its IRLCs as “Level 3” fair value assets and liabilities. Fair value of hedging derivative financial instruments that are actively traded on an exchange are categorized by the Company as “Level 1” fair value assets and liabilities. Fair value of hedging derivative financial instruments based on observable MBS prices or interest rate volatilities in the MBS market are categorized as “Level 2” fair value assets and liabilities. The Company does not designate its derivative financial instruments for hedge accounting. Therefore, the Company accounts for its derivative financial instruments as free-standing derivatives. All derivative financial instruments are recognized on the consolidated balance sheet at fair value with changes in the fair values being reported in current period income. Changes in fair value of derivative financial instruments hedging IRLCs, loans held for sale at fair value and MSRs are included in Net gains on loans held for sale at fair value Mortgage servicing rights hedging results, Interest expense Cash flows from derivative financial instruments relating to hedging of IRLCs and loans acquired for sale are included in Cash flows from operating activities Sale and repayment of loans acquired for sale at fair value to nonaffiliates Cash flows from investing activities Cash flows from operating activities When the Company has multiple derivative financial instruments with the same counterparty subject to a master netting arrangement, it offsets the amounts recorded as assets and liabilities and amounts recognized for the right to reclaim cash collateral it has deposited with the counterparty or the obligation to return cash collateral it has collected from the counterparty arising from that master netting arrangement. Such offset amounts are presented as either a net asset or liability by counterparty on the Company’s consolidated balance sheets. Servicing Advances Servicing advances represent advances made on behalf of borrowers and the mortgage loans’ investors to fund property taxes, insurance premiums and out-of-pocket collection costs (e.g., preservation and restoration of mortgaged property or real estate acquired in the settlement of loans (“REO”), legal fees, and appraisals). Servicing advances are made in accordance with the Company’s servicing agreements. A valuation allowance is provided for amounts expected to become uncollectable. Servicing advances are written off when they are deemed uncollectable. Mortgage Servicing Rights and Mortgage Servicing Liabilities MSRs and mortgage servicing liabilities (“MSLs”) arise from contractual agreements between the Company and investors (or their agents) in mortgage securities and mortgage loans. Under these contracts, the Company performs loan servicing functions in exchange for fees and other remuneration. The servicing functions typically performed include, among other responsibilities, collecting and remitting loan payments; responding to borrower inquiries; accounting for principal and interest; holding custodial (impound) funds for payment of property taxes and insurance premiums; counseling delinquent mortgagors; administering loss mitigation activities, including modification and forbearance programs; and supervising foreclosures and property dispositions. The Company is contractually entitled to receive other remuneration including various mortgagor-contracted fees such as late charges and collateral reconveyance charges, and the Company is generally entitled to retain the placement fees earned on impounded funds and funds held pending remittance related to its collection of mortgagor payments. The Company also generally has the right to solicit the mortgagors for other products and services as well as for new mortgages for those considering refinancing their existing loan or purchasing a new home. The Company recognizes MSRs and MSLs initially at fair value, either as proceeds from or liabilities incurred in sales of mortgage loans where the Company assumes the obligation to service the mortgage loan in the sale transaction, or from the purchase of MSRs or receipt of cash for acceptance of MSLs. The fair value of MSRs and MSLs is derived from the net positive or negative, respectively, cash flows associated with the servicing contracts. For loans subject to MSR and MSL contracts, the Company receives a servicing fee, based on the remaining outstanding principal balances of the mortgage loans subject to the servicing contracts. The servicing fees are collected from the monthly payments made by the mortgagors. The fair value of MSRs and MSLs is difficult to determine because MSRs and MSLs are not actively traded in observable stand-alone markets. Considerable judgment is required to estimate the fair values of MSRs and MSLs and the exercise of such judgment can significantly affect the Company’s income. Therefore, the Company classifies its MSRs and MSLs as “Level 3” fair value assets and liabilities. Changes in fair value of MSLs and MSRs are recognized in current period income in Change in fair value of mortgage servicing rights and mortgage servicing liabilities Leases The Company determines if an arrangement is a lease at inception. If the arrangement is determined to be a lease, the Company recognizes both an Operating lease right-of-use asset Operating lease liability Occupancy and equipment The Company’s lease agreements include both lease and non-lease components (such as common area maintenance), which are generally included in the lease and are accounted for together with the lease as a single lease component. As such, lease payments represent payments on both lease and non-lease components. At lease commencement, lease liabilities are recognized based on the present value of the remaining lease payments and discounted using the Company’s incremental borrowing rate. Right-of-use assets initially equal the lease liability, adjusted for any lease payments made before lease commencement and for any lease incentives. Furniture, Fixtures, Equipment and Building Improvements Furniture, fixtures, equipment and building improvements are stated at historical cost less accumulated depreciation and amortization. Depreciation and amortization are computed using the straight-line method over the estimated useful lives of the various classes of assets, which range from five Capitalized Software The Company capitalizes certain consulting, payroll, and payroll-related costs related to the development of computer software for internal use. Once development is complete and the software is placed in service, the Company amortizes the capitalized costs over three The Company also periodically assesses capitalized software for recoverability when events or changes in circumstances indicate that its carrying amount may not be recoverable. If the Company identifies an indicator of impairment, it assesses recoverability by comparing the carrying amount of the asset to the sum of the undiscounted cash flows expected to result from the use and the eventual disposal of the asset. An impairment loss is recognized when the carrying amount is not recoverable and is measured as the excess of carrying value over fair value. Investment in PennyMac Mortgage Investment Trust at Fair Value Common shares of beneficial interest in PMT are carried at fair value with changes in fair value recognized in current period income. Fair value for purposes of the Company’s holdings in PMT is based on the published closing price of the shares as of period end. The Company classifies its investment in common shares of PMT as a “Level 1” fair value asset. Loans Eligible for Repurchase The terms of the Ginnie Mae MBS program allow, but do not require, the Company to repurchase loans when the loan is at least three months delinquent. As a result of this right, the Company recognizes the loans in Loans eligible for repurchase Liability for loans eligible for repurchase Borrowings The carrying values of borrowings other than excess servicing spread (“ESS”) are based on the accrued cost of the agreements. The costs of creating the facilities underlying the agreements (debt issuance costs) are included in the carrying value of the agreements and are charged to Interest expense ● Debt issuance costs relating to revolving facilities, such as repurchase agreement and mortgage loan participation purchase and sale facilities are amortized on the straight line basis over the term of the facility; and ● Debt issuance cost relating to non-revolving debts, such as the Company’s Notes payable secured by mortgage servicing assets and Unsecured senior notes are amortized over the contractual term of the non-revolving debt using the interest method. Excess Servicing Spread Financing at Fair Value The Company finances certain of its purchases of Agency MSRs through the sale to PMT of the right to receive the excess of the servicing fee rate over a specified rate of the underlying MSRs. This excess is referred to as ESS. ESS is carried at its fair value. Changes in fair value of ESS are recognized in current period income in Change in fair value of excess servicing spread payable to PennyMac Mortgage Investment Trust Interest expense for ESS is accrued using the interest method based upon the expected cash flows from the ESS through the expected life of the underlying mortgage loans. Liability for Losses Under Representations and Warranties The Company’s agreements with the Agencies and other investors include representations and warranties related to the loans the Company sells to the Agencies and other investors. The representations and warranties require adherence to Agency and other investor origination and underwriting guidelines, including but not limited to the validity of the lien securing the loan, property eligibility, borrower credit, income and asset requirements, and compliance with applicable federal, state and local law. In the event of a breach of its representations and warranties, the Company may be required to either repurchase the loans with the identified defects or indemnify the investor or insurer. In such cases, the Company bears any subsequent credit loss on the loans. The Company’s credit loss may be reduced by any recourse it may have to correspondent loan sellers that, in turn, had sold such mortgage loans to PMT and breached similar or other representations and warranties. In such event, the Company has the right to seek a recovery of related repurchase losses from that correspondent loan seller, through PMT. As a result of providing representations and warranties to investors and insurers, the Company records a provision for losses relating to representations and warranties as part of its loan sale transactions. The method used to estimate the liability for representations and warranties is a function of the representations and warranties given and considers a combination of factors, including, but not limited to, estimated future defaults and loan repurchase rates, the estimated severity of loss in the event of default and the probability of reimbursement by the correspondent loan seller. The Company establishes a liability at the time loans are sold and periodically updates its liability estimate. The level of the liability for representations and warranties is reviewed and approved by the Company’s management credit committee. Both the initial recognition of, and adjustments to the level of, the liability for representations and warranties are recorded in Net gains on loans held for sale at fair value The level of the liability for representations and warranties is difficult to estimate and requires considerable judgment. The level of loan repurchase losses is dependent on economic factors, investor repurchase demand or insurer claim denial strategies, and other external conditions that may change over the lives of the underlying loans. The Company’s representations and warranties are generally not subject to stated limits of exposure. However, the Company believes that the current unpaid principal balance (“UPB”) of loans sold to date represents the maximum exposure to repurchases related to representations and warranties. Loan Origination Fees Loan origination fees represent compensation to the Company for the origination or purchase of loans. Loan origination fees are earned and recognized upon funding or purchase of the loan by the Company and are collected either at purchase from the correspondent seller, at funding when paid by the borrower or upon sale of the loan when the origination fees are financed by the borrower. Loan Servicing Fees Loan servicing fees are received by the Company for servicing loans. Loan servicing activities are described in Mortgage Servicing Rights and Mortgage Servicing Liabilities The Company’s obligations under its loan servicing agreements are fulfilled as the Company services the loans. Fees are collected when the loan payments are received from the borrowers in the case of MSRs held by the Company or within 30 days of the applicable month-end for subserviced loans. Loan servicing fees relating to owned MSRs are recognized when earned. Loan servicing fees relating to loans subserviced for PMT are recognized in the month in which the loans are serviced. Fulfillment Fees Management Fees Management fees represent compensation to the Company for management services it provides to PMT. Management fees are based on PMT’s shareholders’ equity amounts and profitability in excess of specified thresholds. Management fees are recognized as services are provided and are paid to the Company on a quarterly basis within 30 days of the end of the quarter. Stock-Based Compensation The Company establishes the cost of its share-based awards at the awards’ fair values at the grant date of the awards. The Company estimates the fair value of time-based restricted stock units and performance-based restricted stock units awarded with reference to the fair value of its underlying common stock and expected forfeiture rates on the date of the award. The Company estimates the fair value of its stock option awards with reference to the expected price volatility of its shares of common stock, expected dividend yield, expected forfeiture rates, and risk-free interest rate for the period that exercisable stock options are expected to be outstanding. Compensation costs are fixed, except for performance-based restricted stock units, as of the award date. The cost of performance-based restricted stock units is adjusted in each reporting period after the grant for changes in expected performance attainment until the performance share units vest. The Company amortizes the cost of stock based compensation awards to Compensation Income Taxes The Company is subject to federal and state income taxes. Income taxes are provided using the asset and liability method. Deferred tax assets and liabilities are recognized for the future tax consequences attributable to differences between financial statement carrying amounts of existing assets and liabilities and their respective tax bases. Deferred tax assets and liabilities are measured using the enacted tax rates expected to apply to taxable income in the years in which those temporary differences are expected to be recovered or settled. The Company recognizes the effect on deferred taxes of a change in tax rates in income in the period in which the change occurs. The Company establishes a valuation allowance if, in management’s judgment, it is not more likely than not that a deferred tax asset will be realized. The Company recognizes tax benefits relating to its tax positions only if, in the opinion of management, it is more likely than not that the tax position will be sustained upon examination by the appropriate taxing authority. A tax position that meets this standard is recognized as the largest amount that is greater than 50% likely to be realized upon ultimate settlement with the appropriate taxing authority. The Company will classify any penalties and interest as a component of provision for income taxes. As a result of a recapitalization and reorganization of PNMAC in 2013, the Company expects to benefit from amortization and other tax deductions resulting from increases in the tax basis of PNMAC’s assets from the exchange of PennyMac Class A units to the shares of the Company’s common stock. Those deductions will be allocated to the Company and will be taken into account in reporting the Company’s taxable income. The Company assumed an agreement with certain of the former unitholders of PNMAC that provides for the additional payment by the Company to exchanging unitholders of PNMAC equal to 85% of the amount of cash savings, if any, in U.S. federal, state and local income tax that PFSI realizes due to (i) increases in tax basis resulting from exchanges of the then existing unitholders and (ii) certain other tax benefits related to PFSI entering into the tax receivable agreement, including tax benefits attributable to payments under the tax receivable agreement. Although a reorganization of the Company in 2018 eliminated the potential for unitholders to exchange any additional units subject to this tax receivable agreement, the Company continues to be subject to the agreement and provide payment when applicable for units exchanged before the reorganization. |
Transactions with Related Parti
Transactions with Related Parties | 12 Months Ended |
Dec. 31, 2022 | |
Transactions with Related Parties | |
Transactions with Related Parties | Note 4—Transactions with Related Parties Transactions with PMT Operating Activities Mortgage Loan Production Activities 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 ● no greater than the product of (i) 0.35% and (ii) the aggregate initial UPB (the “Initial UPB”) of all mortgage loans purchased in such month, plus ● in the case of all mortgage loans other than those sold to or securitized through Fannie Mae or Freddie Mac, no greater than the product of (i) 0.50% and (ii) the aggregate Initial UPB of all such mortgage loans sold and securitized in such month; provided, however, that no fulfillment fee was due or payable to the Company with respect to any mortgage loans underwritten to the Ginnie Mae MBS Guide. Fulfillment fees shall not exceed the following: ● 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 up to and including 16,500 per quarter and $195 multiplied by the number of 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, and as of October 1, 2022, certain Fannie Mae or Freddie Mac loans acquired by PLS. Sourcing Fees three Following is a summary of loan production activities, including MSR recapture, between the Company and PMT: Year ended December 31, 2022 2021 2020 (in thousands) Net (losses) gains on loans held for sale at fair value: Net (losses) gains on loans held for sale to PMT (primarily cash) $ (2,820) $ — $ 81,295 Mortgage servicing rights and excess servicing spread recapture incurred (13,744) (51,473) (30,614) $ (16,564) $ (51,473) $ 50,681 Sale of loans held for sale to PMT $ 298,862 $ — $ 2,248,896 Tax service fees earned from PMT included in Loan origination fees $ 8,418 $ 26,126 $ 23,408 Fulfillment fee revenue $ 67,991 $ 178,927 $ 222,200 Unpaid principal balance of loans fulfilled for PMT subject to fulfillment fees $ 37,090,031 $ 110,003,574 $ 100,389,252 Sourcing fees included in cost of loans purchased from PMT $ 4,968 $ 6,472 $ 11,037 Unpaid principal balance of loans purchased from PMT $ 49,680,267 $ 64,774,728 $ 60,540,530 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 portfolio of MSRs, loans at fair value other than special servicing loans 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 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 servicing 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 servicing loans become delinquent, the Company receives 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 entitled to customary ancillary income and certain market-based fees and charges, including boarding and deboarding fees, liquidation and disposition fees, assumption, modification, origination fees and a percentage of late charges. ● Effective July 1, 2020, the Company receives certain fees for COVID-19 pandemic-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 special servicing 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: Year ended December 31, Loan type serviced 2022 2021 2020 (in thousands) Loans acquired for sale $ 1,018 $ 2,363 $ 2,067 Loans at fair value 529 505 807 Mortgage servicing rights 80,368 77,790 64,307 $ 81,915 $ 80,658 $ 67,181 The Servicing Agreement expires on June 30, 2025. Investment Management Activities The Company has a management agreement with PMT (“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 less than the Target Yield, the high watermark is increased by the difference. If the “net income” is more 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: Year ended December 31, 2022 2021 2020 (in thousands) Base management $ 31,065 $ 34,794 $ 34,538 Performance incentive — 3,007 — $ 31,065 $ 37,801 $ 34,538 Expense Reimbursement Under the Management Agreement, PMT reimburses the Company for its organizational and operating expenses, including third-party expenses, incurred on PMT’s behalf, it being understood that the Company and its affiliates shall allocate a portion of their personnel’s time to provide certain legal, tax and investor relations services for the direct benefit of PMT. With respect to the allocation of the Company’s and its affiliates’ personnel compensation, the Company was reimbursed $120,000 per fiscal quarter through June 30, 2020. On June 30, 2020, the Management Agreement was amended and restated for a term of five years (the “2020 Management Agreement”). The terms of the 2020 Management Agreement are materially consistent with those of the prior management agreement, except that, effective July 1, 2020, PMT’s reimbursement of PCM’s and its affiliate’s compensation expenses was increased from $120,000 to $165,000 per fiscal quarter, such amount to be reviewed annually and not preclude reimbursement for any other services performed by the Company or its affiliates. PMT is also required to pay its pro rata portion of rent, telephone, utilities, office furniture, equipment, machinery and other office, internal and overhead expenses of the Company and its affiliates required for PMT’s and its subsidiaries’ operations. These expenses are allocated based on the ratio of PMT’s proportion of gross assets compared to all remaining gross assets managed or owned by the Company and/or its affiliates as calculated at each fiscal quarter end. The Company received reimbursements from PMT for expenses as follows: Year ended December 31, 2022 2021 2020 (in thousands) Reimbursement of: Expenses incurred on PMT's behalf, net $ 23,829 $ 18,812 $ 22,583 Common overhead incurred by the Company 8,588 4,906 5,172 Compensation 660 660 570 $ 33,077 $ 24,378 $ 28,325 Payments and settlements during the year (1) $ 144,012 $ 284,381 $ 378,162 (1) Payments and settlements include payments for the operating, investing and financing activities summarized in this note and netting settlements made pursuant to master netting agreements between the Company and PMT. Investing Activities Master Repurchase Agreement The Company, through PLS, has 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 under the Spread Acquisition Agreement. 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. The Company holds an investment in PMT in the form of 75,000 common shares of beneficial interest. Following is a summary of investing activities between the Company and PMT: Year ended December 31, 2022 2021 2020 (in thousands) Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell pledged to creditors: Activity during the year: Net repayments of assets purchased from PMT under agreement to resell $ 80,862 $ 26,650 Interest income $ 387 $ 3,325 Balance at end of year $ — $ 80,862 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Activity during the year: Dividends earned from PennyMac Mortgage Investment Trust $ 136 $ 141 $ 114 Change in fair value of investment in common shares of PennyMac Mortgage Investment Trust (371) 195 (567) $ (235) $ 336 $ (453) Balance at end of year: Fair value $ 929 $ 1,300 Number of shares 75 75 Financing Activities Spread Acquisition and MSR Servicing Agreements The Company has an amended and restated a master spread acquisition and MSR servicing agreement with PMT (the “Spread Acquisition Agreement”), pursuant to which the Company may sell to PMT, from time to time, the right to receive participation certificates representing beneficial ownership in ESS arising from Ginnie Mae MSRs acquired by the Company, in which case the Company generally would be required to service or subservice the related mortgage loans for Ginnie Mae. The primary purpose of the amendment and restatement was to facilitate the continued financing of the ESS owned by PMT in connection with the parties’ participation in the GNMA MSR Facility. To the extent the Company refinances any of the mortgage loans relating to the ESS it has acquired, the Spread Acquisition Agreement also contains recapture provisions requiring that the Company transfer to PMT, at no cost, the ESS relating to a certain percentage of the UPB of the newly originated mortgage loans. However, under the Spread Acquisition Agreement, in any month where the transferred ESS relating to newly originated Ginnie Mae mortgage loans is not equivalent to at least 90% of the product of the excess servicing fee rate and the UPB of the refinanced mortgage loans, the Company is also required to transfer additional ESS or cash in the amount of such shortfall. Similarly, in any month where the transferred ESS relating to modified Ginnie Mae mortgage loans is not equivalent to at least 90% of the product of the excess servicing fee rate and the UPB of the modified mortgage loans, the Spread Acquisition Agreement contains provisions that require the Company to transfer additional ESS or cash in the amount of such shortfall. To the extent the fair market value of the aggregate ESS to be transferred for the applicable month is less than $200,000, the Company may, at its option, pay cash to PMT in an amount equal to such fair market value in lieu of transferring such ESS. During the quarter ended March 31, 2021, the Company repaid its outstanding ESS financing through the repurchase of the ESS from PMT. Following is a summary of financing activities between the Company and PMT: Year ended December 31, 2021 2020 (in thousands) Excess servicing spread financing: Balance at beginning of year $ 131,750 $ 178,586 Issuance pursuant to recapture agreement 557 2,093 Accrual of interest 1,280 8,418 Change in fair value 1,037 (24,970) Repayment (134,624) (32,377) Balance at end of year $ — $ 131,750 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 $ 2,241 Receivable from and Payable to PMT Amounts receivable from and payable to PMT are summarized below: December 31, 2022 2021 (in thousands) Receivable from PMT: Allocated expenses and expenses incurred on PMT's behalf $ 11,447 $ 15,431 Management fees 7,307 8,918 Correspondent production fees 6,835 8,894 Servicing fees 6,740 6,848 Fulfillment fees 4,043 — $ 36,372 $ 40,091 Payable to PMT: Amounts advanced by PMT to fund its servicing advances $ 201,451 $ 212,066 Other 3,560 15,953 $ 205,011 $ 228,019 Exchanged Private National Mortgage Acceptance Company, LLC Unitholders On May 8, 2013, as part of a reorganization of PNMAC, 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. Following is a summary of activity in Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement Year ended December 31, 2022 2021 2020 (in thousands) Activity during the year: Payments under tax receivable agreement $ 3,855 $ 4,635 $ 10,713 Repricing of liability $ (576) $ — $ (280) Balance at end of year $ 26,099 $ 30,530 $ 35,165 Townsgate Closing Services LLC On December 27, 2022, the Company advanced $801,000 to one of its joint ventures, Townsgate Closing Services, LLC, under a revolving loan agreement. The revolving agreement has a maximum commitment amount of $1.5 million, matures on December 27, 2027 and earns interest, initially 10.75% per year, subject to semi-annual adjustment indexed to the 10+ year USD High Yield Corporate Bond Index as determined by Tradeweb/Bloomberg. The outstanding balance is included in Other Donor Advised Fund |
Loan Sales and Servicing Activi
Loan Sales and Servicing Activities | 12 Months Ended |
Dec. 31, 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 mortgage 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 for 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 as servicer with the loans as servicer: Year ended December 31, 2022 2021 2020 (in thousands) Cash flows: Sales proceeds $ 84,345,379 $ 154,450,942 $ 102,840,312 Servicing fees received $ 931,315 $ 840,104 $ 678,142 The following table summarizes the UPB of the loans sold by the Company in which it maintains continuing involvement: December 31, 2022 2021 (in thousands) Unpaid principal balance of loans outstanding $ 295,032,674 $ 254,524,015 Delinquent loans (1): 30-89 days $ 11,019,194 $ 6,129,597 90 days or more: Not in foreclosure $ 6,548,849 $ 8,399,299 In foreclosure $ 834,155 $ 715,016 Foreclosed $ 12,905 $ 6,900 Loans in bankruptcy $ 1,143,484 $ 1,039,362 Delinquent loans in COVID-19 pandemic-related forbearance plans: 30-89 days $ 950,172 $ 1,020,290 90 days or more 2,934,718 2,550,703 $ 3,884,890 $ 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: December 31, 2022 Servicing Total rights owned Subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 295,032,674 $ — $ 295,032,674 Purchased 19,568,122 — 19,568,122 314,600,796 — 314,600,796 PennyMac Mortgage Investment Trust — 233,575,672 233,575,672 Loans held for sale 3,498,214 — 3,498,214 $ 318,099,010 $ 233,575,672 $ 551,674,682 Delinquent loans (1): 30 days $ 8,903,829 $ 1,576,414 $ 10,480,243 60 days 2,855,176 337,081 3,192,257 90 days or more: Not in foreclosure 6,829,985 888,057 7,718,042 In foreclosure 914,213 75,012 989,225 Foreclosed 13,835 7,979 21,814 $ 19,517,038 $ 2,884,543 $ 22,401,581 Loans in bankruptcy $ 1,291,038 $ 125,719 $ 1,416,757 Delinquent loans in COVID-19 pandemic-related forbearance plans: 30 days $ 453,562 $ 88,024 $ 541,586 60 days 527,035 89,171 616,206 90 days or more 3,042,923 466,489 3,509,412 $ 4,023,520 $ 643,684 $ 4,667,204 Custodial funds managed by the Company (2) $ 3,329,709 $ 1,783,157 $ 5,112,866 (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 are cash accounts holding funds on behalf of borrowers and investors relating to loans serviced under servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns placement fees on certain of the custodial funds it manages on behalf of the loans’ borrowers and investors. Placement fees 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 are cash accounts holding funds on behalf of borrowers and investors relating to loans serviced under servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns placement fees on certain of the custodial funds it manages on behalf of the loans’ borrowers and investors. Placement fees 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 servicing portfolio for the top five and all other states as measured by UPB: December 31, State 2022 2021 (in thousands) California $ 68,542,279 $ 67,317,935 Florida 50,873,961 45,222,233 Texas 47,911,696 42,064,686 Virginia 33,478,151 31,442,370 Maryland 25,473,417 23,922,075 All other states 325,395,178 299,738,982 $ 551,674,682 $ 509,708,281 |
Fair Value
Fair Value | 12 Months Ended |
Dec. 31, 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 application of fair value may be on a recurring or nonrecurring basis depending on the accounting principles applicable to the specific asset or liability and whether the Company has elected to carry the item at its fair value as discussed in the following paragraphs. Fair Value Accounting Elections The Company identified its MSRs, its 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: December 31, 2022 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investment $ 12,194 $ — $ — $ 12,194 Loans held for sale at fair value — 3,163,528 345,772 3,509,300 Derivative assets: Interest rate lock commitments — — 36,728 36,728 Forward purchase contracts — 2,433 — 2,433 Forward sales contracts — 80,754 — 80,754 MBS put options — 6,057 — 6,057 Put options on interest rate futures purchase contracts 29,203 — — 29,203 Call options on interest rate futures purchase contracts 2,820 — — 2,820 Total derivative assets before netting 32,023 89,244 36,728 157,995 Netting — — — (58,992) Total derivative assets 32,023 89,244 36,728 99,003 Mortgage servicing rights at fair value — — 5,953,621 5,953,621 Investment in PennyMac Mortgage Investment Trust 929 — — 929 $ 45,146 $ 3,252,772 $ 6,336,121 $ 9,575,047 Liabilities: Derivative liabilities: Interest rate lock commitments $ — $ — $ 10,884 $ 10,884 Forward purchase contracts — 48,670 — 48,670 Forward sales contracts — 20,684 — 20,684 Put options on interest rate futures sales contracts 3,008 — — 3,008 Total derivative liabilities before netting 3,008 69,354 10,884 83,246 Netting — — — (61,534) Total derivative liabilities 3,008 69,354 10,884 21,712 Mortgage servicing liabilities at fair value — — 2,096 2,096 $ 3,008 $ 69,354 $ 12,980 $ 23,808 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, certain of the Company’s loans held for sale, IRLCs, repurchase agreement derivatives, 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” fair value inputs at either the beginning or the end of the year presented for each of the three years ended December 31, 2022: Year ended December 31, 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 3,338,743 369,769 3,993 3,712,505 Capitalization of interest and advances 60,589 — — 60,589 Sales and repayments (1,378,441) — — (1,378,441) Mortgage servicing rights resulting from loan sales — — 1,718,094 1,718,094 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (41,483) — — (41,483) Other factors (25,156) (624,905) 353,456 (296,605) (66,639) (624,905) 353,456 (338,088) Transfers from Level 3 to Level 2 (2,736,940) — — (2,736,940) Transfers to real estate acquired in settlement of loans (416) — — (416) Transfers to loans held for sale — (41,213) — (41,213) Balance, December 31, 2022 $ 345,772 $ 25,844 $ 5,953,621 $ 6,325,237 Changes in fair value recognized during the year relating to assets still held at December 31, 2022 $ (26,699) $ 25,844 $ 353,456 $ 352,601 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Year ended Liabilities December 31, 2022 (in thousands) Mortgage servicing liabilities: Balance, December 31, 2021 $ 2,816 Changes in fair value included in income (720) Balance, December 31, 2022 $ 2,096 Changes in fair value recognized during the year relating to liabilities still outstanding at December 31, 2022 $ (720) Year ended December 31, 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 20,330,785 1,654,476 — 21,985,261 Capitalization of interest and advances 169,053 — — 169,053 Sales and repayments (11,783,818) — — (11,783,818) Mortgage servicing rights resulting from loan sales — — 1,861,949 1,861,949 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 285,501 — — 285,501 Other factors — 489,547 (565,045) (75,498) 285,501 489,547 (565,045) 210,003 Transfers from Level 3 to Level 2 (12,547,732) — — (12,547,732) Transfer to real estate acquired in settlement of loans (82) — — (82) Transfers to loans held for sale — (2,498,856) — (2,498,856) Balance, December 31, 2021 $ 1,128,876 $ 322,193 $ 3,878,078 $ 5,329,147 Changes in fair value recognized during the year relating to assets still held at December 31, 2021 $ 22,516 $ 322,193 $ (565,045) $ (220,336) Year ended December 31, 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 — 106,631 106,631 Changes in fair value included in income 1,037 (149,139) (148,102) Repayments (134,624) — (134,624) Balance, December 31, 2021 $ — $ 2,816 $ 2,816 Changes in fair value recognized during the year relating to liabilities still outstanding at December 31, 2021 $ — $ (3,156) $ (3,156) Year ended December 31, 2020 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) Balance, December 31, 2019 $ 383,878 $ 136,650 $ 8,187 $ 2,926,790 $ 3,455,505 Purchases and issuances, net 9,672,322 2,028,957 — 25,473 11,726,752 Capitalization of interest and advances 119,037 — — — 119,037 Sales and repayments (2,381,493) — (8,270) — (2,389,763) Mortgage servicing rights resulting from loan sales — — — 1,138,045 1,138,045 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 127,780 — — — 127,780 Other factors — 1,254,235 83 (1,509,134) (254,816) 127,780 1,254,235 83 (1,509,134) (127,036) Transfers from Level 3 to Level 2 (3,246,282) — — — (3,246,282) Transfers to real estate acquired in settlement of loans (73) — — — (73) Transfers to loans held for sale — (2,742,816) — — (2,742,816) Balance, December 31, 2020 $ 4,675,169 $ 677,026 $ — $ 2,581,174 $ 7,933,369 Changes in fair value recognized during the year relating to assets still held at December 31, 2020 $ 153,474 $ 677,026 $ — $ (1,509,134) $ (678,634) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Year ended December 31, 2020 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, December 31, 2019 $ 178,586 $ 29,140 $ 207,726 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 2,093 — 2,093 Accrual of interest 8,418 — 8,418 Mortgage servicing liabilities resulting from loan sales — 23,325 23,325 Changes in fair value included in income (24,970) (7,141) (32,111) Repayments (32,377) — (32,377) Balance, December 31, 2020 $ 131,750 $ 45,324 $ 177,074 Changes in fair value recognized during the year relating to liabilities still outstanding at December 31, 2020 $ (24,970) $ (7,141) $ (32,111) 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 the Company’s election of the fair value option by income statement line item are summarized below: Year ended December 31, 2022 2021 2020 Net gains on Net Net gains on Net Net gains on Net loans held loan loans held loan loans held loan for sale at servicing for sale at servicing for sale at servicing fair value fees Total fair value fees Total fair value fees Total (in thousands) Assets: Loans held for sale $ (219,054) $ — $ (219,054) $ 2,568,318 $ — $ 2,568,318 $ 2,899,314 $ — $ 2,899,314 Mortgage servicing rights — 353,456 353,456 — (565,045) (565,045) — (1,509,134) (1,509,134) $ (219,054) $ 353,456 $ 134,402 $ 2,568,318 $ (565,045) $ 2,003,273 $ 2,899,314 $ (1,509,134) $ 1,390,180 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust $ — $ — $ — $ — $ (1,037) $ (1,037) $ — $ 24,970 $ 24,970 Mortgage servicing liabilities — 720 720 — 149,139 149,139 — 7,141 7,141 $ — $ 720 $ 720 $ — $ 148,102 $ 148,102 $ — $ 32,111 $ 32,111 Following are the fair value and related principal amounts due upon maturity of assets accounted for under the fair value option: December 31, 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 $ 3,450,578 $ 3,428,052 $ 22,526 $ 9,577,398 $ 9,263,242 $ 314,156 90 days or more delinquent: Not in foreclosure 47,252 53,351 (6,099) 153,162 153,875 (713) In foreclosure 11,470 16,811 (5,341) 11,923 13,649 (1,726) $ 3,509,300 $ 3,498,214 $ 11,086 $ 9,742,483 $ 9,430,766 $ 311,717 Assets Measured at Fair Value on a Nonrecurring Basis Following is a summary of assets held at year end that were measured based on fair value on a nonrecurring basis during the year: Real estate acquired in settlement of loans Level 1 Level 2 Level 3 Total (in thousands) December 31, 2022 $ — $ — $ 1,850 $ 1,850 December 31, 2021 $ — $ — $ 2,588 $ 2,588 The following table summarizes the total net losses recognized on assets measured based on fair values on a nonrecurring basis during the year: Year ended December 31, 2022 2021 2020 (in thousands) Real estate acquired in settlement of loans $ 523 $ 799 $ 814 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 assets and liabilities are classified as “Level 3” fair value items due to the Company’s reliance on unobservable inputs to estimate their fair values. The Company has concluded that the fair values of these liabilities other than the Notes payable secured by mortgage servicing assets Unsecured senior notes The Company estimates the fair value of the Term Notes and the Unsecured senior notes December 31, 2022 December 31, 2021 Fair value Carrying value Fair value Carrying value (in thousands) Term Notes $ 1,677,476 $ 1,794,475 $ 1,302,640 $ 1,297,622 Unsecured senior notes $ 1,550,750 $ 1,779,920 $ 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 and for MSRs, comparisons of its estimates of fair value to those procured from non-affiliate brokers and comparisons of the key inputs used in the Company’s valuation model to published surveys. The Company’s senior management valuation committee includes the Company’s chief financial, risk, credit and deputy chief investment officers as well as other senior members of the Company’s finance, capital markets and risk management staff. Valuation Techniques and Inputs Following is a description of the techniques and inputs used in estimating the fair values of “Level 2” and “Level 3” fair value assets and liabilities: Loans Held for Sale Most of the Company’s loans held for sale at fair value are saleable into active markets and are therefore categorized as “Level 2” fair value assets. The fair values of “Level 2” fair value loans are determined using their contracted selling price or quoted market price or market price equivalent. Certain of the Company’s loans held for sale are not saleable into active markets and are therefore categorized as “Level 3” fair value assets. Loans held for sale categorized as “Level 3” fair value assets include: ● Government guaranteed or insured loans purchased by the Company from Ginnie Mae guaranteed pools in its loan servicing portfolio. The Company’s right to purchase government guaranteed or insured loans arises as the result of the loan being at least three months delinquent on the date of purchase by the Company and provides an alternative to the Company’s obligation to continue advancing principal and interest at the coupon rate of the related Ginnie Mae security. Such loans may be resold to investors and thereafter may be repurchased to the extent eligible for resale into a new Ginnie Mae guaranteed security. Loans become eligible for resale into a new Ginnie Mae security when the loans become current either through completion of a modification of the loan’s terms or otherwise after three months of timely payments and when the issuance date of the new security is at least 120 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. ● Home equity loans. At present, there is no active market with observable inputs that are significant to the estimation of fair value of the home equity loans the Company produces. 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 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 at fair value: December 31, 2022 2021 Fair value (in thousands) $ 345,772 $ 1,128,876 Key inputs (1): Discount rate: Range 5.5% – 10.2% 2.2% – 9.2% Weighted average 5.7% 2.3% Twelve-month projected housing price index change: Range (1.9)% – (1.7)% 6.1% – 6.5% Weighted average (1.8)% 6.2% Voluntary prepayment/resale speed (2): Range 4.7% – 25.6% 0.4% – 30.3% Weighted average 21.6% 22.0% Total prepayment/resale speed (3): Range 4.8% – 36.1% 0.4% – 39.3% Weighted average 29.4% 28.2% (1) Weighted average inputs are based on fair value of the “Level 3” loans. (2) Voluntary prepayment/resale speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”). (3) Total prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayment/resale rates. Changes in fair value relating to loans held for sale as the result of changes in the loan’s instrument specific credit risk are indicated by successful modifications of the loan’s terms or changes in the respective loan’s delinquency status and performance history at year end from the later of the beginning of the year or acquisition date. Changes in fair value of 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 loans will fund or be purchased (the “pull-through rate”). The significant unobservable inputs used in the fair value measurement of the Company’s IRLCs are the pull-through rate and the MSR component of the Company’s estimate of the fair value of the mortgage loans it has committed to purchase. Significant changes in the pull-through rate or the MSR component of the IRLCs, in isolation, could result in significant changes in the IRLCs’ fair value measurement. The financial effects of changes in these inputs are generally inversely correlated as increasing interest rates have a positive effect on the 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. Initial recognition and changes in fair value of IRLCs are included in Net gains on loans acquired for sale at fair value Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs: December 31, 2022 2021 Fair value (in thousands) (1) $ 25,844 $ 322,193 Key inputs Pull-through rate: Range 10.3% – 100% 8.0% – 100% Weighted average 82.8% 78.4% Mortgage servicing rights fair value expressed as: Servicing fee multiple: Range (1.3) – 7.7 (8.5) – 6.7 Weighted average 4.3 3.8 Percentage of loan commitment amount Range (0.2)% – 3.8% (1.6)% – 3.6% Weighted average 2.0% 1.5% (1) For purposes of this table, the IRLC assets and liability positions are shown net. (2) Weighted average inputs are based on the committed amounts. Hedging Derivatives Hedging derivatives that are actively traded on exchanges are categorized by the Company as “Level 1” fair value assets and liabilities. Hedging derivatives whose fair values are based on observable MBS prices or interest rate volatilities in the MBS market are categorized as “Level 2” fair value assets and liabilities. Changes in the fair value of hedging derivatives are included in Net gains on loans acquired for sale at fair value, Net loan servicing fees – Mortgage servicing rights hedging results , as applicable, in the consolidated statements of income. 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: Year ended December 31, 2022 2021 2020 (Amount recognized and unpaid principal balance of underlying mortgage loans amounts in thousands) Amount recognized $1,718,094 $1,861,949 $1,138,045 Pool characteristics: Unpaid principal balance of underlying loans $83,569,657 $138,319,425 $96,571,835 Weighted average servicing fee rate (in basis points) 44 34 35 Key inputs (1): Annual total prepayment speed (2): Range 5.1% – 23.4% 6.1% – 31.4% 7.2% – 49.8% Weighted average 9.4% 8.6% 11.9% Equivalent average life (in years): Range 3.7 – 9.4 3.0 – 9.2 1.5 – 9.1 Weighted average 8.1 8.1 6.7 Pricing spread (3): Range 5.5% – 16.1% 6.0% – 16.9% 6.8% – 18.1% Weighted average 7.8% 8.8% 9.4% Annual per-loan cost of servicing: Range $71 – $177 $80 – $117 $77 – $117 Weighted average $104 $103 $102 (1) Weighted average inputs are based on 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 States Treasury (“Treasury”) Securities 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 at year end and the effect on the fair value from adverse changes in those inputs: December 31, 2022 2021 (Fair value, unpaid principal balance of underlying mortgage loans and effect on fair value amounts in thousands) Fair value $ 5,953,621 $ 3,878,078 Pool characteristics: Unpaid principal balance of underlying loans $ 314,567,639 $ 278,324,780 Weighted average note interest rate 3.4% 3.2% Weighted average servicing fee rate (in basis points) 36 34 Key inputs (1): Annual total prepayment speed (2): Range 5.0% – 17.7% 7.9% – 26.7% Weighted average 7.5% 10.7% Equivalent average life (in years): Range 3.7 – 9.3 3.1 – 7.7 Weighted average 8.4 6.8 Effect on fair value of (3): 5% adverse change ($77,346) ($80,109) 10% adverse change ($152,192) ($157,252) 20% adverse change ($294,872) ($303,259) Pricing spread (4): Range 4.9% – 14.3% 5.3% – 15.5% Weighted average 6.5% 7.7% Effect on fair value of (3): 5% adverse change ($81,021) ($59,577) 10% adverse change ($159,863) ($117,352) 20% adverse change ($311,329) ($227,791) Per-loan annual cost of servicing: Range $68 – $144 $79 – $197 Weighted average $109 $108 Effect on fair value of (3): 5% adverse change ($41,263) ($32,979) 10% adverse change ($82,527) ($65,958) 20% adverse change ($165,053) ($131,916) (1) Weighted average inputs are based on 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, these 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. Excess Servicing Spread Financing at Fair Value ESS is categorized as a “Level 3” fair value liability. Because ESS is a claim to a portion of the cash flows from MSRs, the Company’s approach to fair value measurement of ESS is similar to that of MSRs. The Company uses the same discounted cash flow approach to measuring ESS as it uses to measure MSRs except that certain inputs relating to the cost to service the mortgage loans underlying the MSRs and certain ancillary income are not included as these cash flows do not accrue to the holder of ESS. The key inputs used in the estimation of ESS fair value include pricing spread (discount rate) and prepayment speed. Significant changes to either of those inputs in isolation could result in a significant change in the fair value of ESS. Changes in these key inputs are not necessarily directly related. ESS is generally subject to fair value increases when mortgage interest rates increase. Increasing mortgage interest rates normally discourage mortgage refinancing activity. Decreased refinancing activity increases the life of the mortgage loans underlying the ESS, thereby increasing its fair value. Changes in the fair value of ESS are included in Net loan servicing fees—Change in fair value of excess servicing spread payable to PennyMac Mortgage Investment Trust. Mortgage Servicing Liabilities MSLs are categorized as “Level 3” fair value liabilities. The Company uses a discounted cash flow approach to estimate the fair value of MSLs. The key inputs used in the estimation of the fair value of MSLs include the applicable pricing spread, annual total prepayment speed, and the per-loan annual cost of servicing the underlying loans. Changes in the fair value of MSLs are included in Net servicing fees Change in fair value of mortgage servicing rights and mortgage servicing liabilities Following are the key inputs used in determining the fair value of MSLs: December 31, 2022 2021 Fair value (i |
Loans Held for Sale at Fair Val
Loans Held for Sale at Fair Value | 12 Months Ended |
Dec. 31, 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 are summarized below: December 31, Loan type 2022 2021 (in thousands) Government-insured or guaranteed $ 2,006,157 $ 6,030,518 Conventional conforming 1,145,053 2,583,089 Jumbo 12,318 — Home equity loans 46,589 — Purchased from Ginnie Mae securities serviced by the Company 257,175 1,082,444 Repurchased pursuant to representations and warranties 42,008 46,432 $ 3,509,300 $ 9,742,483 Fair value of loans pledged to secure: Assets sold under agreements to repurchase $ 3,139,870 $ 8,629,861 Mortgage loan participation purchase and sale agreements 302,977 505,716 $ 3,442,847 $ 9,135,577 |
Derivative Activities
Derivative Activities | 12 Months Ended |
Dec. 31, 2022 | |
Derivative Activities | |
Derivative Activities | Note 8—Derivative Activities Derivative Notional Amounts and Fair Value of Derivatives The Company had the following derivative financial instruments recorded on its consolidated balance sheets: December 31, 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 7,009,119 $ 36,728 $ 10,884 14,111,795 $ 323,473 $ 1,280 Subject to master netting arrangements (2): Forward purchase contracts 8,320,849 2,433 48,670 22,007,383 20,485 18,007 Forward sales contracts 12,487,760 80,754 20,684 34,429,676 40,215 35,415 MBS put options 1,750,000 6,057 — 9,550,000 7,655 — Swaption purchase contracts — — — 5,375,000 1,625 — Put options on interest rate futures purchase contracts 6,800,000 29,203 — 2,450,000 3,141 — Call options on interest rate futures purchase contracts 1,350,000 2,820 — 1,250,000 2,078 — Put options on interest rate futures sale contracts 250,000 — 3,008 — — — Treasury futures purchase contracts 3,709,200 — — 1,544,800 — — Treasury futures sale contracts 3,456,900 — — 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 157,995 83,246 398,672 54,702 Netting (58,992) (61,534) (64,977) (32,096) $ 99,003 $ 21,712 $ 333,695 $ 22,606 Deposits placed with (received from) derivative counterparties included in the derivative balances above, net $ 2,542 $ (32,881) (1) Notional amounts provide an indication of the volume of the Company’s derivative activity. (2) All of the derivatives used for hedging purposes are interest rate derivatives and are used as economic hedges. Derivative Assets, Financial Instruments, and Cash Collateral Held by Counterparty The following table summarizes by significant counterparty the amount of derivative asset positions after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance qualifying for netting. December 31, 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 $ 36,728 $ — $ — $ 36,728 $ 323,473 $ — $ — $ 323,473 RJ O'Brien 29,016 — — 29,016 5,219 — — 5,219 Morgan Stanley Bank, N.A. 18,501 — — 18,501 — — — — Goldman Sachs 5,757 — — 5,757 — — — — Citibank, N.A. 5,098 — — 5,098 — — — — Bank of America, N.A. 1,519 — — 1,519 3,005 — — 3,005 Others 2,384 — — 2,384 1,998 — — 1,998 $ 99,003 $ — $ — $ 99,003 $ 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 qualify under the accounting guidance for netting. All assets sold under agreements to repurchase are secured by sufficient collateral or have fair value that exceeds the liability amount recorded on the consolidated balance sheets. December 31, 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 $ 10,884 $ — $ — $ 10,884 $ 1,280 $ — $ — $ 1,280 Credit Suisse First Boston Mortgage Capital LLC 970,725 (968,804) — 1,921 1,974,278 (1,969,670) — 4,608 Bank of America, N.A. 567,745 (567,745) — — 1,758,690 (1,758,690) — — Royal Bank of Canada 381,893 (381,893) — — 496,064 (496,064) — — BNP Paribas 300,280 (300,280) — — 349,172 (349,172) — — Wells Fargo Bank, N.A. 228,181 (221,986) — 6,195 203,779 (200,338) — 3,441 JPMorgan Chase Bank, N.A. 211,713 (211,713) — — 300,912 (300,912) — — Morgan Stanley Bank, N.A. 114,277 (114,277) — — 299,580 (292,105) — 7,475 Citibank, N.A. 94,211 (94,211) — — 403,003 (402,806) — 197 Barclays Capital 80,276 (79,295) — 981 677,419 (676,685) — 734 Goldman Sachs 64,486 (64,486) — — 853,147 (850,918) — 2,229 Others 1,731 — — 1,731 2,642 — — 2,642 $ 3,026,402 $ (3,004,690) $ — $ 21,712 $ 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 line items where such gains and losses are included: Year ended December 31, Derivative activity Consolidated income statement line 2022 2021 2020 (in thousands) Interest rate lock commitments Net gains on loans held for sale at fair value (1) $ (296,349) $ (354,833) $ 540,376 Repurchase agreement derivatives Interest expense $ — $ — $ 83 Hedged item: Interest rate lock commitments and loans held for sale Net gains on loans held for sale at fair value $ 1,326,964 $ 319,141 $ (650,898) Mortgage servicing rights Net loan servicing fees–Mortgage servicing rights hedging results $ (631,484) $ (475,215) $ 918,180 (1) Represents net change in fair value of IRLCs from the beginning to the end of the year. Amounts recognized at the date of commitment and fair value changes recognized during the period until purchase of the underlying loans are shown in the rollforward of IRLCs for the year 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 | 12 Months Ended |
Dec. 31, 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 Carried at Fair Value: The activity in MSRs carried at fair value is as follows: Year ended December 31, 2022 2021 2020 (in thousands) Balance at beginning of year $ 3,878,078 $ 2,581,174 $ 2,926,790 Additions: MSRs resulting from loan sales 1,718,094 1,861,949 1,138,045 Purchases 3,993 — 25,473 1,722,087 1,861,949 1,163,518 Change in fair value due to: Changes in inputs used in valuation model (1) 877,324 (136,350) (1,078,084) Other changes in fair value (2) (523,868) (428,695) (431,050) Total change in fair value 353,456 (565,045) (1,509,134) Balance at end of year $ 5,953,621 $ 3,878,078 $ 2,581,174 Unpaid principal balance of underlying loans at end of year $ 314,567,639 $ 278,324,780 $ 238,410,809 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 $ 5,897,613 $ 3,856,791 (1) Principally reflects changes in pricing spread, annual total prepayment speed, per loan annual cost of servicing and UPB of underlying loan inputs. (2) Represents changes due to realization of cash flows. Mortgage Servicing Liabilities Carried at Fair Value: The activity in MSLs carried at fair value is summarized below: Year ended December 31, 2022 2021 2020 (in thousands) Balance at beginning of year $ 2,816 $ 45,324 $ 29,140 Mortgage servicing liabilities resulting from loan sales — 106,631 23,325 Changes in fair value due to: Changes in inputs used in valuation model (1) (347) (68,020) 31,757 Other changes in fair value (2) (373) (81,119) (38,898) Total change in fair value (720) (149,139) (7,141) Balance at end of period $ 2,096 $ 2,816 $ 45,324 Unpaid principal balance of underlying loans at end of year $ 33,157 $ 60,593 $ 2,857,492 (1) During the year ended December 31, 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 Year ended December 31, 2022 2021 2020 (in thousands) Contractual servicing fees $ 1,054,828 $ 875,570 $ 814,646 Other fees: Late charges 40,583 29,848 36,339 Other 13,742 29,505 25,543 $ 1,109,153 $ 934,923 $ 876,528 |
Leases
Leases | 12 Months Ended |
Dec. 31, 2022 | |
Leases | |
Leases | Note 10—Leases Substantially all of the Company’s lease agreements are operating leases and relate to its office facilities. The Company’s operating lease agreements have remaining terms ranging from less than one year to ten years; some of these operating lease agreements include options to extend their terms for up to five years. None of the Company’s operating lease agreements require the Company to make variable lease payments. The Company’s leases are summarized below: Year ended December 31, 2022 2021 2020 (dollars in thousands) Lease expense: Operating leases $ 19,779 $ 18,363 $ 16,223 Short-term leases 778 904 1,153 Sublease income (46) — — Net lease expense included in Occupancy and equipment $ 20,511 $ 19,267 $ 17,376 Other information: Payments for operating leases $ 23,475 $ 20,145 $ 16,524 Operating lease right-of-use assets $ 1,364 $ 28,401 $ 14,128 Period end weighted averages: Remaining lease term (in years) 4.8 5.7 6.3 Discount rate 3.8% 4.0% 4.1% The maturities of the Company’s operating lease liabilities are summarized below: Year ended December 31, Operating leases (in thousands) 2023 $ 24,228 2024 19,523 2025 18,645 2026 14,322 2027 6,799 Thereafter 12,039 Total lease payments 95,556 Less imputed interest (10,006) Operating lease liability $ 85,550 |
Other Assets
Other Assets | 12 Months Ended |
Dec. 31, 2022 | |
Other Asset | |
Other Assets | Note 11—Other Assets Other December 31, 2022 2021 (in thousands) Capitalized software, net $ 157,460 $ 109,480 Margin deposits 55,968 100,482 Prepaid expenses 38,780 64,924 Servicing fees receivable, net 31,356 23,672 Furniture, fixtures, equipment and building improvements, net 28,382 31,677 Other servicing receivables 24,854 113,820 Interest receivable 24,110 9,688 Deposits securing Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets 12,277 36,632 Real estate acquired in settlement of loans 11,497 7,474 Derivative settlements receivable 1,522 20,026 Other 31,701 98,741 $ 417,907 $ 616,616 Other assets pledged to secure: Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 12,277 $ 36,632 Obligations under capital lease Capitalized software, net — 4,546 Furniture, fixture, equipment and building improvements, net — 4,116 $ 12,277 $ 45,294 December 31, 2022 2021 (in thousands) Cost $ 231,341 $ 159,407 Less: Accumulated amortization (73,881) (49,927) $ 157,460 $ 109,480 Year ended December 31, Included in Technology 2022 2021 2020 (in thousands) Amortization $ 23,955 $ 20,206 $ 16,641 Impairment $ — $ 728 $ 13,145 Furniture, fixtures, equipment and building improvements are summarized below: December 31, 2022 2021 (in thousands) Furniture, fixtures, equipment and building improvements $ 82,721 $ 75,562 Less: Accumulated depreciation and amortization (54,339) (43,885) $ 28,382 $ 31,677 Depreciation and amortization expenses are summarized below: Year ended December 31, 2022 2021 2020 (in thousands) Depreciation and amortization expenses included in Occupancy and equipment $ 10,454 $ 8,439 $ 8,934 |
Short-Term Borrowings
Short-Term Borrowings | 12 Months Ended |
Dec. 31, 2022 | |
Short-Term Borrowings | |
Short-Term Borrowings | Note 12—Short-Term Borrowings The borrowing facilities described throughout these Notes 12 and 13 contain various covenants, including financial covenants governing the Company’s net worth, debt-to-equity ratio and liquidity. Management believes that the Company was in compliance with these covenants as of December 31, 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 their fair values (as determined by the lender). Interest is charged at a rate based on the Secured Overnight Financing Rate (“SOFR”). 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). 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: Year ended December 31, 2022 2021 2020 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ 2,580,513 $ 6,911,843 $ 3,348,928 Weighted average interest rate (1) 3.59% 2.09% 2.91% Total interest expense $ 105,459 $ 164,132 $ 112,778 Maximum daily amount outstanding $ 7,289,147 $ 10,969,029 $ 9,663,995 December 31, 2022 2021 (dollars in thousands) Carrying value: Unpaid principal balance funded under: Committed facilities $ 2,476,073 $ 5,079,581 Uncommitted facilities 528,617 2,217,779 3,004,690 7,297,360 Unamortized debt issuance costs (3,407) (4,625) $ 3,001,283 $ 7,292,735 Weighted average interest rate 6.00% 1.83% Available borrowing capacity (2): Committed $ 1,078,927 $ 285,419 Uncommitted 5,391,383 8,417,221 $ 6,470,310 $ 8,702,640 Fair value of assets securing repurchase agreements: Loans held for sale $ 3,139,870 $ 8,629,861 Servicing advances (3) $ 381,379 $ 232,107 Mortgage servicing rights (3) $ 5,339,513 $ 3,552,812 Deposits (3) $ 12,277 $ 36,632 (1) Excludes the effect of amortization of debt issuance costs totaling $12.9 million, $19.4 million and $15.3 million for the years ended December 31, 2022, 2021 and 2020, respectively. (2) The amount the Company is able to borrow under asset repurchase agreements is tied to the fair value of unencumbered assets eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the assets financed. Certain of the debt financing agreements contain a condition precedent to obtaining additional funding that requires PLS to maintain positive net income for at least one of the previous two consecutive quarters. (3) Beneficial interests in the Ginnie Mae MSRs, servicing advances and deposits are pledged to the Issuer Trust and together serve as the collateral backing the VFN, GMSR Servicing Advance Notes, and the Term Notes described in Note 13 – Long-Term Debt – Notes payable secured by mortgage servicing assets . The VFN financing and the GMSR Servicing Advance Notes financing 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. Following is a summary of maturities of outstanding advances under repurchase agreements by maturity date: Remaining maturity at December 31, 2022 (1) Unpaid principal balance (dollars in thousands) Within 30 days $ 300,240 Over 30 to 90 days 2,221,473 Over 90 to 180 days 372,517 Over 180 days to one year 10,460 Over one year to two years 100,000 Total assets sold under agreements to repurchase $ 3,004,690 Weighted average maturity (in months) 3.0 (1) The Company is subject to margin calls during the period the agreements are outstanding and therefore may be required to repay a portion of the borrowings before the respective agreements mature if the fair value (as determined by the applicable lender) of the assets securing those agreements decreases. The amounts at risk (the fair value of the assets pledged plus the related margin deposits, less the amounts advanced by the counterparty and interest payable) relating to the Company’s assets sold under agreements to repurchase are summarized by counterparty below as of December 31, 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) $ 3,831,311 May 31, 2024 May 31, 2024 Credit Suisse First Boston Mortgage Capital LLC $ 75,634 March 1, 2023 May 31, 2024 Bank of America, N.A. $ 68,918 March 16, 2023 June 5, 2024 Royal Bank of Canada $ 19,895 April 12, 2023 December 14, 2023 JP Morgan Chase Bank, N.A. (EBO facility) $ 13,316 February 14, 2023 October 11, 2024 JP Morgan Chase Bank, N.A. (warehouse facility) $ 11,908 February 26, 2023 June 17, 2024 BNP Paribas $ 11,131 March 19, 2023 July 31, 2024 Wells Fargo Bank, N.A. $ 9,664 March 16, 2023 November 17, 2023 Morgan Stanley Bank, N.A. $ 8,310 March 6, 2023 January 3, 2024 Barclays Bank PLC $ 7,248 November 13, 2024 November 13, 2024 Goldman Sachs $ 4,326 March 19, 2023 December 23, 2023 Citibank, N.A. $ 1,657 February 12, 2023 April 26, 2024 (1) The calculation of the amount at risk includes the VFN and the Term Notes because beneficial interests in the Ginnie Mae MSRs, Fannie Mae MSRs and servicing advances are pledged to the Issuer Trust and together serve as the collateral backing the VFN and the Term Notes described in Notes payable secured by mortgage servicing assets below. The VFN financing is included in Assets sold under agreements to repurchase and the Term Notes are included in Notes payable secured by mortgage servicing assets on the Company's consolidated balance sheets. Mortgage Loan Participation Purchase and Sale Agreements Certain of the borrowing facilities secured by mortgage loans held for sale are in the form of mortgage loan participation purchase and sale agreements. Participation certificates, each of which represents an undivided beneficial ownership interest in mortgage loans that have been pooled into Fannie Mae, Freddie Mac or Ginnie Mae securities, are sold to a lender pending the securitization of the mortgage loans and sale of the resulting securities which generally occurs within 30 days. 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: Year ended December 31, 2022 2021 2020 (dollars in thousands) Average balance $ 211,035 $ 249,255 $ 226,689 Weighted average interest rate (1) 3.16% 1.39% 1.88% Total interest expense $ 7,314 $ 4,153 $ 4,933 Maximum daily amount outstanding $ 515,043 $ 532,819 $ 540,977 (1) Excludes the effect of amortization of debt issuance costs totaling $651,000 , $688,000 and $662,000 for the years ended December 31, 2022, 2021 and 2020, respectively. December 31, 2022 2021 (dollars in thousands) Carrying value: Unpaid principal balance $ 287,943 $ 479,845 Unamortized debt issuance costs (351) — $ 287,592 $ 479,845 Weighted average interest rate 5.71% 1.48% Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements $ 302,977 $ 505,716 |
Long-Term Debt
Long-Term Debt | 12 Months Ended |
Dec. 31, 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 described in Note 4 – Transactions with Affiliates—Transactions with PMT—Investing Activities Short-Term Borrowings—Assets Sold Under Agreements to Repurchase Following is a summary of the issued and outstanding Term Notes: 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 (2) 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 the stated maturity. (2) In January 2023, the Company exercised its option to extend the maturity for two years . MSR Note Payable On December 16, 2022, the Company issued a note payable that is secured by Freddie Mac MSRs. Interest is charged at a rate based on SOFR plus a spread as defined in the agreement. The facility expires on November 13, 2024. The maximum amount that the Company may borrow under the note payable is $400 million, $350 million of which is committed and which may be reduced by other debt outstanding with the counterparty. Notes payable secured by mortgage servicing assets are summarized below: Year ended December 31, 2022 2021 2020 (dollars in thousands) Average balance $ 1,584,383 $ 1,300,000 $ 1,300,000 Weighted average interest rate (1) 4.88% 2.89% 3.42% Total interest expense $ 79,813 $ 39,782 $ 46,222 (1) Excludes the effect of amortization of debt issuance costs totaling $2.5 million, $2.2 million and $1.8 million for the years ended December 31, 2022, 2021 and 2020, respectively. December 31, 2022 2021 (dollars in thousands) Carrying value: Unpaid principal balance: Term Notes $ 1,800,000 $ 1,300,000 MSR Note Payable 150,000 — 1,950,000 1,300,000 Unamortized debt issuance costs (7,354) (2,378) $ 1,942,646 $ 1,297,622 Weighted average interest rate 7.46% 2.84% Assets pledged to secure notes payable (1): Servicing advances $ 381,379 $ 232,107 Mortgage servicing rights $ 5,897,613 $ 3,856,791 Deposits $ 12,277 $ 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 financing 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. 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 issued and outstanding Unsecured Notes: 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. Year ended December 31, 2022 2021 2020 (dollars in thousands) Average balance $ 1,800,000 $ 1,373,562 $ 158,743 Weighted average interest rate (1) 5.07% 4.94% 5.38% Total interest expense $ 95,014 $ 70,208 $ 8,774 (1) Excludes the effect of amortization of debt issuance costs of $3.7 million, $2.3 million and $225,000 for the years ended December 31, 2022, 2021 and 2020, respectively. 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 (20,080) (23,781) $ 1,779,920 $ 1,776,219 Weighted average interest rate 5.07% 5.07% 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: Year ended December 31, 2022 2021 2020 (dollars in thousands) Average balance $ 848 $ 7,999 $ 16,224 Weighted average interest rate 2.18% 2.11% 2.62% Total interest expense $ 20 $ 169 $ 425 Maximum daily amount outstanding $ 3,489 $ 11,864 $ 20,810 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 Maturities of Long-Term Debt Maturities of long-term debt obligations (based on final maturity dates) are as follows: Year ended December 31, 2023 2024 2025 2026 2027 Thereafter Total (in thousands) Notes payable secured by mortgage servicing assets $ 1,300,000 $ 150,000 $ — $ — $ 500,000 $ — $ 1,950,000 Unsecured senior notes — — 650,000 — — 1,150,000 1,800,000 Total $ 1,300,000 $ 150,000 $ 650,000 $ — $ 500,000 $ 1,150,000 $ 3,750,000 (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. In January 2023, the Company exercised its option to extend the maturity of $650 million Term Notes originally due on February 25, 2023 for two years . |
Liability for Losses Under Repr
Liability for Losses Under Representations and Warranties | 12 Months Ended |
Dec. 31, 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: Year ended December 31, 2022 2021 2020 (in thousands) Balance at beginning of year $ 43,521 $ 32,688 $ 21,446 Provision for losses: Resulting from sales of loans 9,617 31,590 21,035 Resulting from change in estimate (8,451) (16,037) (8,667) Losses incurred (12,266) (4,720) (1,126) Balance at end of year $ 32,421 $ 43,521 $ 32,688 Unpaid principal balance of loans subject to representations and warranties at end of year $ 296,774,121 $ 257,369,777 $ 210,222,447 |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2022 | |
Income Taxes | |
Income Taxes | Note 15—Income Taxes The Company files U.S. federal and state corporate income tax returns for PFSI and partnership returns for PNMAC. The Company’s federal tax returns are subject to examination for 2019 and forward and its state tax returns are generally subject to examination for 2018 and forward. PNMAC’s federal partnership returns are subject to examination for 2019 and forward, and its state tax returns are generally subject to examination for 2018 and forward. The returns of both PFSI and PNMAC are under an examination by New York State for years 2019 and 2020, and the returns of PFSI are in the initial stages of an examination by the state of South Carolina for years 2019, 2020 and 2021. The Company does not expect any material changes from these examinations. The following table details the Company’s provision for income taxes: Year ended December 31, 2022 2021 2020 (in thousands) Current (benefit) expense: Federal $ (2,944) $ 101,659 $ 378,984 State (249) 39,551 128,495 Total current (benefit) expense (3,193) 141,210 507,479 Deferred expense: Federal 131,670 160,587 61,592 State 61,263 53,896 24,654 Total deferred expense 192,933 214,483 86,246 Total provision for income taxes $ 189,740 $ 355,693 $ 593,725 The following table is a reconciliation of the Company’s provision for income taxes at statutory rates to the provision for income taxes at the Company’s effective tax rate: Year ended December 31, 2022 2021 2020 Federal income tax statutory rate 21.0% 21.0% 21.0% State income taxes, net of federal benefit 5.9% 5.4% 5.5% Tax rate revaluation 1.2% 0.0% (0.1)% Other 0.4% (0.2)% 0.1% Effective income tax rate 28.5% 26.2% 26.5% The components of the Company’s provision for deferred income taxes are as follows: Year ended December 31, 2022 2021 2020 (in thousands) Mortgage servicing rights $ 326,378 $ 196,697 $ 128,471 Net operating loss (160,605) — 581 Reserves and losses 13,480 15,736 (33,477) Compensation accruals 10,473 (11,456) (647) Additional tax basis in partnership from exchanges of partnership units into the Company's common stock 4,517 4,420 5,200 California franchise taxes 4,447 10,753 (15,200) Tax credits — 50 — Other (5,757) (1,717) 1,318 Total provision for deferred income taxes $ 192,933 $ 214,483 $ 86,246 The components of Income taxes payable December 31, 2022 2021 (in thousands) Current income tax receivable $ (1,993) $ (126,542) Deferred income tax liability, net 1,004,737 811,804 Income taxes payable $ 1,002,744 $ 685,262 The tax effects of temporary differences that gave rise to deferred income tax assets and liabilities are presented below: December 31, 2022 2021 (in thousands) Deferred income tax assets: Net operating loss carryforward $ 161,682 $ 1,077 Compensation accruals 42,668 53,141 Additional tax basis in partnership from exchanges of partnership units into the Company's common stock 25,760 30,277 Reserves and losses 33,795 47,275 California franchise tax — 4,447 Other 6,159 5,661 Gross deferred income tax assets 270,064 141,878 Deferred income tax liabilities: Mortgage servicing rights 1,260,181 933,803 Other 14,620 19,879 Gross deferred income tax liabilities 1,274,801 953,682 Net deferred income tax liability $ 1,004,737 $ 811,804 The Company recorded a deferred tax asset of $161.7 million, of which $160.6 million related to net operating losses incurred in 2022 and $1.1 million related to net operating losses incurred in 2018. The $126.1 million related to federal net operating loss carry forward has no expiration date but is subject to an annual utilization limitation of up to 80% of taxable income. The remaining $35.6 million in deferred tax assets, relating to state net operating losses, either have no expiration date or expire by 2042. The Company expects to fully utilize these net operating losses before their expiration dates. At December 31, 2022 and 2021, the Company had no unrecognized tax benefits and does not anticipate any unrecognized tax benefits. Should the recognition of any interest or penalties relative to unrecognized tax benefits be necessary, it is the Company’s policy to record such expenses in the Company’s income tax accounts. No such accruals existed at December 31, 2022 and 2021. |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2022 | |
Commitments and Contingencies. | |
Commitments and Contingencies | Note 16—Commitments and Contingencies Commitments to Purchase and Fund Loans Legal Proceedings From time to time, the Company may be involved in various claims, investigations, lawsuits and other legal proceedings 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. Litigation 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 | 12 Months Ended |
Dec. 31, 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. The following table summarizes the Company’s stock repurchase activity: Year ended December 31, Cumulative 2022 2021 2020 total (1) (in thousands) Shares of common stock repurchased 7,788 15,368 8,890 32,862 Cost of shares of common stock repurchased $ 406,086 $ 958,194 $ 337,479 $ 1,716,707 (1) Amounts represent the total shares of common stock repurchased under the stock repurchase program through December 31, 2022. The shares of repurchased common stock were canceled upon settlement of the repurchase transactions. |
Net Gains on Loans Held for Sal
Net Gains on Loans Held for Sale | 12 Months Ended |
Dec. 31, 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 mortgage loans held for sale at fair value are summarized below: Year ended December 31, 2022 2021 2020 (in thousands) From non-affiliates: Cash (losses) gains: Loans $ (2,128,195) $ 600,840 $ 2,025,260 Hedging activities 1,347,843 443,341 (767,588) (780,352) 1,044,181 1,257,672 Non-cash gains: Mortgage servicing rights and mortgage servicing liabilities resulting from loan sales 1,718,094 1,755,318 1,114,720 Provisions for losses relating to representations and warranties: Pursuant to loan sales (9,617) (31,590) (21,035) Reductions in liability due to change in estimate 8,451 16,037 8,667 Changes in fair values of loans and derivatives held at year end: Interest rate lock commitments (296,349) (354,833) 540,376 Loans 188,849 210,961 (326,986) Hedging derivatives (20,879) (124,200) 116,690 808,197 2,515,874 2,690,104 From PennyMac Mortgage Investment Trust (1) (16,564) (51,473) 50,681 $ 791,633 $ 2,464,401 $ 2,740,785 (1) Gains on sales of loans to PMT are described in Note 4– Transactions with Affiliates. |
Net Interest Expense
Net Interest Expense | 12 Months Ended |
Dec. 31, 2022 | |
Net Interest Expense | |
Net Interest Expense | Note 19—Net Interest Expense Net interest expense is summarized below: Year ended December 31, 2022 2021 2020 (in thousands) Interest income: From non-affiliates: Cash and short-term investments $ 19,839 $ 3,280 $ 6,154 Loans held for sale at fair value 172,124 275,176 184,789 Placement fees relating to custodial funds 102,099 21,326 52,758 294,062 299,782 243,701 From PennyMac Mortgage Investment Trust— Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell — 387 3,325 294,062 300,169 247,026 Interest expense: To non-affiliates: Assets sold under agreements to repurchase 105,459 164,132 112,778 Mortgage loan participation purchase and sale agreements 7,314 4,153 4,933 Notes payable secured by mortgage servicing assets 79,813 39,782 46,222 Unsecured senior notes 95,014 70,208 8,774 Obligations under capital lease 20 169 425 Corporate revolving line of credit — — 1,537 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 40,741 105,430 82,285 Interest on mortgage loan impound deposits 7,066 5,545 6,179 335,427 389,419 263,133 To PennyMac Mortgage Investment Trust— Excess servicing spread financing at fair value — 1,280 8,418 335,427 390,699 271,551 $ (41,365) $ (90,530) $ (24,525) |
Stock-based Compensation
Stock-based Compensation | 12 Months Ended |
Dec. 31, 2022 | |
Stock-based Compensation | |
Stock-based Compensation | Note 20—Stock-based Compensation The Company has adopted equity incentive plans that provide for grants of stock options, time-based and performance-based restricted stock units (“RSUs”), stock appreciation rights, performance units and stock grants. As of December 31, 2022, the Company has 4.6 million units available for future awards. Following is a summary of the stock-based compensation expense by instrument awarded: Year ended December 31, 2022 2021 2020 (in thousands) Performance-based RSUs $ 18,096 $ 23,166 $ 20,610 Time-based RSUs 14,837 10,184 9,515 Stock options 9,619 4,444 14,980 $ 42,552 $ 37,794 $ 45,105 Performance-Based RSUs The performance based RSUs provide for the issuance of shares of the Company’s common stock based on the achievement of performance goals and job performance ratings. Approximately 612,000 shares under the grants with performance periods ending December 31, 2022 are expected to vest and be issued to the grantees in the first quarter of 2023. The fair value of the performance-based RSUs is measured based on the fair value of the Company’s common stock at the grant date, taking into consideration management’s estimate of the expected outcome of the performance goal, and the number of shares to be forfeited during the vesting period. The Company assumes forfeiture rates of 0 – 20.3% per year based on the grantees’ employee classification. The actual number of shares that vest could vary from zero, if the performance goals are not met, to as much as 187.5% of the units granted, if the performance goals are meaningfully exceeded. The table below summarizes performance-based RSU activity: Year ended December 31, 2022 2021 2020 (in thousands, except per unit amounts) Number of units: Outstanding at beginning of year 1,226 1,583 1,807 Granted 342 310 440 Vested (1) (509) (634) (645) Forfeited or cancelled (83) (33) (19) Outstanding at end of year 976 1,226 1,583 Weighted average grant date fair value per unit: Outstanding at beginning of year $ 36.12 $ 27.02 $ 21.67 Granted $ 57.10 $ 58.85 $ 35.95 Vested $ 23.40 $ 24.47 $ 18.16 Forfeited $ 49.14 $ 36.91 $ 26.71 Outstanding at end of year $ 48.94 $ 36.12 $ 27.02 (1) The actual number of performance-based RSUs vested during the years ended December 31, 2022, 2021 and 2020 was 654,000 , 781,000 and 608,000 shares, respectively, which is approximately 128% , 123% and 94% of the 509,000 , 634,000 and 645,000 originally granted units, respectively, due to the performance varying from the established target for the respective grant. Unamortized compensation cost (in thousands) $ 12,021 Number of shares expected to vest (in thousands) 908 Weighted average remaining vesting period (in months) 11 Time-Based RSUs The RSU grant agreements provide for the award of time-based RSUs, entitling the award recipient to one share of the Company’s common stock for each RSU. In general, and except as otherwise provided by the agreement, one-third Compensation cost relating to time-based RSUs is based on the grant date fair value of the Company’s common stock and the number of shares expected to vest. For purposes of estimating the cost of the time-based RSUs granted, the Company assumes forfeiture rates of 0% – 20.3% per year based on the grantees’ employee classification. The table below summarizes time-based RSU activity: Year ended December 31, 2022 2021 2020 (in thousands, except per unit amounts) Number of units: Outstanding at beginning of year 434 587 642 Granted 331 173 311 Vested (246) (312) (357) Forfeited (36) (14) (9) Outstanding at end of year 483 434 587 Weighted average grant date fair value per unit: Outstanding at beginning of year $ 41.74 $ 29.37 $ 22.40 Granted $ 57.10 $ 58.90 $ 34.98 Vested $ 37.34 $ 28.08 $ 21.75 Forfeited $ 51.97 $ 39.48 $ 28.14 Outstanding at end of year $ 53.71 $ 41.74 $ 29.37 Unamortized compensation cost (in thousands) $ 7,214 Number of units expected to vest (in thousands) 460 Weighted average remaining vesting period (in months) 10 Stock Options The stock option award agreements provide for the award of stock options to purchase the optioned common stock. In general, and except as otherwise provided by the agreement, one-third During the year ended December 31, 2020, the Company awarded approximately 604,000 shares of stock options that vested on the grant date with a term of ten years from the date of grant, subject to certain transfer restrictions. Each stock option has a term of ten years from the date of grant but expires (1) immediately upon termination of the holder’s employment or other association with the Company for cause, (2) one year after the holder’s employment or other association is terminated due to death or disability and (3) three months after the holder’s employment or other association is terminated for any other reason. The fair value of each stock option award is estimated on the date of grant using a variant of the Black Scholes model based on the following inputs: Year ended December 31, 2022 2021 2020 Expected volatility (1) 37% 38% 34% Expected dividends 1.4% 1.4% 1.4% Risk-free interest rate 1.1% - 2.1% 0.1% - 1.7% 0.1% - 1.5% Expected grantee forfeiture rate 0% - 5.1% 0% - 6.7% 0% - 6.7% (1) Based on historical volatilities of the Company’s common stock. The Company uses its historical employee departure behavior to estimate the grantee forfeiture rates used in its option- pricing model. The expected term of common stock options granted is derived from the Company’s option pricing model and represents the period that common stock options granted are expected to be outstanding. The risk-free interest rate for periods within the contractual term of the common stock option is based on the U.S. Treasury yield curve in effect at the time of grant. The table below summarizes stock option award activity: Year ended December 31, 2022 2021 2020 (in thousands, except per option amounts) Number of stock options: Outstanding at beginning of year 3,906 4,040 3,699 Granted 574 249 876 Exercised (155) (377) (530) Forfeited (8) (6) (5) Outstanding at end of year 4,317 3,906 4,040 Weighted average exercise price per option: Outstanding at beginning of year $ 28.43 $ 28.01 $ 18.40 Granted $ 57.10 $ 58.85 $ 52.00 Exercised $ 21.09 $ 19.96 $ 17.72 Forfeited $ 53.10 $ 39.52 $ 20.61 Outstanding at end of year $ 32.46 $ 28.43 $ 28.01 Number of options exercisable at end of year (in thousands) 3,488 Weighted average exercise price per exercisable option $ 27.09 Weighted average remaining contractual term (in years): Outstanding 5.2 Exercisable 4.4 Aggregate intrinsic value: Outstanding (in thousands) $ 107,080 Exercisable (in thousands) $ 105,114 Expected vesting amounts: Number of options expected to vest (in thousands) 825 Weighted average vesting period (in months) 11 |
Earnings Per Share of Common St
Earnings Per Share of Common Stock | 12 Months Ended |
Dec. 31, 2022 | |
Earnings Per Share of Common Stock | |
Earnings Per Share of Common Stock | Note 21—Earnings Per Share of Common Stock Basic earnings per share of common stock is determined by dividing net income by the weighted average number of shares of common stock outstanding during the year. Diluted earnings per share of common stock is determined by dividing net income by the weighted average number of shares of common stock and dilutive securities outstanding. 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: Year ended December 31, 2022 2021 2020 (in thousands, except per share amounts) Net income $ 475,507 $ 1,003,490 $ 1,646,884 Weighted average shares of common stock outstanding 53,065 63,799 75,161 Effect of dilutive securities - shares issuable under stock-based compensation plan 2,885 3,672 3,567 Weighted average diluted shares of common stock outstanding 55,950 67,471 78,728 Basic earnings per share $ 8.96 $ 15.73 $ 21.91 Diluted earnings per share $ 8.50 $ 14.87 $ 20.92 Calculations of diluted earnings per share require certain potentially dilutive shares to be excluded when their inclusion in the diluted earnings per share calculation would be anti-dilutive. The following table summarizes the weighted-average number of anti-dilutive outstanding performance-based RSUs, time-based RSUs and stock options excluded from the calculation of diluted earnings per share: Year ended December 31, 2022 2021 2020 (in thousands except for weighted average exercise price) Performance-based RSUs (1) 281 223 322 Time-based RSUs 62 1 — Stock options (2) 1,339 211 83 Total anti-dilutive units and options 1,682 435 405 Weighted average exercise price of anti-dilutive stock options (2) $ 58.58 $ 58.85 $ 43.89 (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 price for the year. |
Regulatory Capital and Liquidit
Regulatory Capital and Liquidity Requirements | 12 Months Ended |
Dec. 31, 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. PLS is subject to financial eligibility requirements established by the Federal Housing Finance Agency (“FHFA”) for sellers/servicers eligible to sell or service mortgage loans with Fannie Mae and Freddie Mac. The eligibility requirements include: ● tangible net worth of $2.5 million plus 25 basis points of the UPB of the Company’s total 1-4 unit servicing portfolio, excluding mortgage loans subserviced for others; ● a liquidity requirement equal to 3.5 basis points of the aggregate UPB serviced for the Agencies plus 200 basis points of total nonperforming Agency servicing UPB less 70% of such nonperforming Agency servicing UPB in excess of 600 basis points where the underlying loans are in COVID-19 forbearance but were current at the time they entered forbearance. basis points of PLS' outstanding Ginnie Mae single-family securities. The Agencies’ capital and liquidity requirements, the calculations of which are specified by each Agency, are summarized below: December 31, 2022 December 31, 2021 Requirement/Agency Actual (1) Requirement (1) Actual (1) Requirement (1) (dollars in thousands) Capital Fannie Mae & Freddie Mac $ 6,632,627 $ 797,748 $ 5,872,064 $ 722,040 Ginnie Mae $ 5,899,892 $ 923,202 $ 5,424,747 $ 976,303 HUD $ 5,899,892 $ 2,500 $ 5,424,747 $ 2,500 Liquidity Fannie Mae & Freddie Mac $ 1,265,569 $ 107,768 $ 316,659 $ 93,973 Ginnie Mae $ 1,265,569 $ 246,953 $ 316,659 $ 220,577 Adjusted net worth / Total assets ratio Ginnie Mae 35 % 6 % 29 % 6 % Tangible net worth / Total assets ratio Fannie Mae & Freddie Mac 39 % 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 of December 31, 2022. Noncompliance with an Agency’s requirements can result in such Agency taking various remedial actions up to and including terminating PLS’s ability to sell loans to and service loans on behalf of the respective Agency. |
Segments
Segments | 12 Months Ended |
Dec. 31, 2022 | |
Segments | |
Segments | Note 23—Segments The Company operates in three segments: production, servicing and investment management. Two of the segments are in the mortgage banking business: production and servicing. The production segment performs loan origination, acquisition and sale activities. The servicing segment performs servicing of loans on behalf of PMT and non-affiliate investors, execution and management of early buyout transactions and servicing of loans sourced and managed by the investment management segment for PMT. The investment management segment represents the activities of the Company’s investment manager, which include sourcing, performing diligence, bidding and closing investment asset acquisitions, managing the acquired assets and correspondent production activities for PMT. Financial performance and results by segment are as follows: Year ended December 31, 2022 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on loans held for sale at fair value $ 599,896 $ 191,737 $ 791,633 $ — $ 791,633 Loan origination fees 169,859 — 169,859 — 169,859 Fulfillment fees from PennyMac Mortgage Investment Trust 67,991 — 67,991 — 67,991 Net loan servicing fees — 951,329 951,329 — 951,329 Net interest income (expense): Interest income 133,000 161,062 294,062 — 294,062 Interest expense 108,072 227,355 335,427 — 335,427 24,928 (66,293) (41,365) — (41,365) Management fees — — — 31,065 31,065 Other 2,503 3,727 6,230 9,013 15,243 Total net revenue 865,177 1,080,500 1,945,677 40,078 1,985,755 Expenses 816,697 466,874 1,283,571 36,937 1,320,508 Income before provision for income taxes $ 48,480 $ 613,626 $ 662,106 $ 3,141 $ 665,247 Segment assets at year end $ 3,866,934 $ 12,929,233 $ 16,796,167 $ 26,417 $ 16,822,584 (1) All revenues are from external customers. Year ended December 31, 2021 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on loans held for sale at fair value $ 1,746,650 $ 717,751 $ 2,464,401 $ — $ 2,464,401 Loan origination fees 384,154 — 384,154 — 384,154 Fulfillment fees from PennyMac Mortgage Investment Trust 178,927 — 178,927 — 178,927 Net loan servicing fees — 182,954 182,954 — 182,954 Net interest income (expense): Interest income 134,706 165,463 300,169 — 300,169 Interest expense 139,296 251,393 390,689 10 390,699 (4,590) (85,930) (90,520) (10) (90,530) Management fees — — — 37,801 37,801 Other 1,623 2,520 4,143 5,511 9,654 Total net revenue 2,306,764 817,295 3,124,059 43,302 3,167,361 Expenses 1,262,353 510,617 1,772,970 35,208 1,808,178 Income before provision for income taxes $ 1,044,411 $ 306,678 $ 1,351,089 $ 8,094 $ 1,359,183 Segment assets at year end $ 8,934,032 $ 9,821,436 $ 18,755,468 $ 21,144 $ 18,776,612 (1) All revenues are from external customers. Year ended December 31, 2020 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on loans held for sale at fair value $ 2,297,108 $ 443,677 $ 2,740,785 $ — $ 2,740,785 Loan origination fees 285,551 — 285,551 — 285,551 Fulfillment fees from PennyMac Mortgage Investment Trust 222,200 — 222,200 — 222,200 Net loan servicing fees — 439,448 439,448 — 439,448 Net interest income (expense): Interest income 101,605 145,421 247,026 — 247,026 Interest expense 82,160 189,368 271,528 23 271,551 19,445 (43,947) (24,502) (23) (24,525) Management fees — — — 34,538 34,538 Other 695 1,584 2,279 5,321 7,600 Total net revenue 2,824,999 840,762 3,665,761 39,836 3,705,597 Expenses 860,878 578,618 1,439,496 25,492 1,464,988 Income before provision for income taxes $ 1,964,121 $ 262,144 $ 2,226,265 $ 14,344 $ 2,240,609 Segment assets at year end $ 7,870,398 $ 23,709,122 $ 31,579,520 $ 18,275 $ 31,597,795 (1) All revenues are from external customers. |
Parent Company Information
Parent Company Information | 12 Months Ended |
Dec. 31, 2022 | |
Parent Company Information | |
Parent Company Information | Note 24—Parent Company Information The Company’s debt financing agreements require PLS, the Company’s indirect controlled subsidiary, to comply with financial covenants that include a minimum tangible net worth of $500 million. PLS is limited from transferring funds to the Parent by this minimum tangible net worth requirement. The Company’s Unsecured Notes are fully and unconditionally guaranteed, jointly and severally, on a senior unsecured basis by the Company’s existing and future wholly-owned domestic subsidiaries (other than certain excluded subsidiaries defined in the indentures under which the Unsecured Notes were issued). PENNYMAC FINANCIAL SERVICES, INC. CONDENSED BALANCE SHEETS December 31, 2022 2021 (in thousands) ASSETS Cash $ 45,496 $ 9,276 Investments in subsidiaries 4,421,906 4,217,461 Receivable from PennyMac Mortgage Investment Trust 27 27 Due from subsidiaries 1,509,103 1,477,332 Total assets $ 5,976,532 $ 5,704,096 LIABILITIES AND STOCKHOLDERS' EQUITY Unsecured senior notes $ 1,779,920 $ 1,776,219 Accounts payable and accrued expenses 26,356 28,135 Payable to subsidiaries 135 116 Income taxes payable 699,072 481,301 Total liabilities 2,505,483 2,285,771 Stockholders' equity 3,471,049 3,418,325 Total liabilities and stockholders' equity $ 5,976,532 $ 5,704,096 PENNYMAC FINANCIAL SERVICES, INC. CONDENSED STATEMENTS OF INCOME Year ended December 31, 2022 2021 2020 (in thousands) Revenues Dividends from subsidiaries $ 417,391 $ 982,740 $ 602,606 Net interest income: Interest income from subsidiary 121,452 77,162 15,830 Interest expense: To non-affiliates 95,014 70,208 8,774 To subsidiary — — 83 95,014 70,208 8,857 Net interest income 26,438 6,954 6,973 Total net revenues 443,829 989,694 609,579 Expenses Charitable contributions — 5,800 2,314 Professional services — 2,236 42 Other 267 449 327 Total expenses 267 8,485 2,683 Income before provision for income taxes and equity in undistributed earnings of subsidiaries 443,562 981,209 606,896 Provision for income taxes 129,948 238,803 395,340 Income before equity in undistributed earnings of subsidiaries 313,614 742,406 211,556 Equity in undistributed earnings of subsidiaries 161,893 261,084 1,435,328 Net income $ 475,507 $ 1,003,490 $ 1,646,884 PENNYMAC FINANCIAL SERVICES, INC. CONDENSED STATEMENTS OF CASH FLOWS Year ended December 31, 2022 2021 2020 (in thousands) Cash flows from operating activities Net income $ 475,507 $ 1,003,490 $ 1,646,884 Adjustments to reconcile net income to net cash provided by operating activities Equity in undistributed earnings of subsidiaries (161,893) (261,084) (1,435,328) Amortization of net debt issuance cost 3,701 2,321 225 Increase in receivable from PennyMac Mortgage Investment Trust — (27) — (Increase) decrease in intercompany receivable (31,566) (897,063) (574,518) Increase in accounts payable and accrued expenses (1,779) 13,545 14,590 (Decrease) increase in payable to subsidiaries 19 (22,289) 18,211 Increase in income taxes payable 217,771 35,839 65,406 Net cash provided by (used in) operating activities 501,760 (125,268) (264,530) Cash flows from financing activities Issuance of unsecured senior notes — 1,150,000 650,000 Payment of debt issuance costs — (21,922) (4,405) Payment of dividend to holders of common stock (54,621) (52,896) (30,947) Issuance of common stock pursuant to exercise of stock options 2,947 7,536 9,389 Payment of withholding taxes relating to stock-based compensation (7,780) (8,993) (5,265) Repurchase of common stock (406,086) (958,194) (337,479) Net cash (used in) provided by financing activities (465,540) 115,531 281,293 Net increase (decrease) in cash (1) 36,220 (9,737) 16,763 Cash at beginning of year 9,276 19,013 2,250 Cash at end of year $ 45,496 $ 9,276 $ 19,013 Supplemental cash flow information: Non-cash financing activity: Issuance of common stock in settlement of directors' fees $ 205 $ 200 $ 194 (1) The Company did no t hold restricted cash during the years presented. |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2022 | |
Subsequent Events | |
Subsequent Events | Note 25—Subsequent Events Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period: ● On January 31, 2023, the Company’s board of directors declared a cash dividend of $0.20 per common share. The dividend will be paid on February 24, 2023 to common stockholders of record as of February 14, 2023. ● In January 2023, the Company exercised its option to extend the maturity of $650 million of Term Notes secured by Ginnie Mae MSRs originally due in February 2023 for two years . ● On February 7, 2023, the Company, through the Issuer Trust, PLS and PNMAC entered into two new variable funding note repurchase agreements, as part of the structured finance transaction that PLS uses to finance Ginnie Mae mortgage servicing rights and related excess servicing spread and servicing advance receivables. ● All agreements to repurchase assets that matured before the date of this Report were extended or renewed. |
Significant Accounting Polici_2
Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2022 | |
Significant Accounting Policies | |
Basis of Presentation | Basis of Presentation The Company’s consolidated financial statements have been prepared in compliance with accounting principles generally accepted in the United States (“GAAP”) as codified in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification |
Principles of Consolidation | Principles of Consolidation The consolidated financial statements include the accounts of PFSI and its wholly-owned subsidiaries. Intercompany accounts and transactions have been eliminated. |
Use of Estimates | Use of Estimates The preparation of financial statements in conformity with GAAP requires management to make judgments and estimates that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results will likely differ from those estimates. |
Cash Flows | Cash Flows For the purpose of presentation in the statement of cash flows, the Company has identified tenant security deposits relating to rental properties owned by PMT and managed by the Company as restricted cash. Tenant security deposits are included in Other |
Fair Value | Fair Value Most of the Company’s assets and certain of its liabilities are measured at or based on their fair values. The Company groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the inputs used to determine fair value. These levels are: ● Level 1—Quoted prices in active markets for identical assets or liabilities. ● Level 2—Prices determined or determinable using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing an asset or liability and are developed based on market data obtained from sources independent of the Company. ● Level 3— Prices determined using significant unobservable inputs. In situations where observable inputs are unavailable, unobservable inputs may be used. Unobservable inputs reflect the Company’s own judgments about the factors that market participants use in pricing an asset or liability, and are based on the best information available in the circumstances. As a result of the difficulty in observing certain significant valuation inputs affecting “Level 3” fair value assets and liabilities, the Company is required to make judgments regarding these items’ fair values. Different persons in possession of the same facts may reasonably arrive at different conclusions as to the inputs to be applied in valuing these assets and liabilities and their fair values. Such differences may result in significantly different fair value measurements. Likewise, due to the general illiquidity of some of these assets and liabilities, subsequent transactions may be at values significantly different from those reported. |
Short-Term Investment | Short-Term Investment Short-term investment, which represents an investment in an account with a depository institution, is carried at fair value. Changes in fair value are recognized in current period income. The Company classifies its short-term investment as a “Level 1” fair value asset. |
Loans Held for Sale at Fair Value | Loans Held for Sale at Fair Value The Company has elected to account for loans held for sale at fair value, with changes in fair value recognized in current period income, to more timely reflect the Company’s performance. All changes in fair value are recognized as a component of Net gains on loans held for sale at fair value Sale Recognition The Company recognizes transfers of loans as sales when it surrenders control over the loans. Control over transferred loans is deemed to be surrendered when (i) the loans have been isolated from the Company, (ii) the transferee has the right (free of conditions that constrain it from taking advantage of that right) to pledge or exchange the transferred loans, and (iii) the Company does not maintain effective control over the transferred loans through either (a) an agreement that entitles and obligates the Company to repurchase or redeem them before their maturity or (b) the ability to unilaterally cause the holder to return specific loans. |
Interest Income Recognition | Interest Income Recognition Interest income on loans held for sale at fair value is recognized over the life of the loans using their contractual interest rates. Income recognition is suspended and the interest receivable is reversed against interest income when loans become 90 days delinquent. Income recognition is resumed when the loan becomes contractually current. |
Derivative Financial Instruments | Derivative Financial Instruments The Company holds and issues derivative financial instruments that are created as a result of certain of its operations. The Company also enters into derivative transactions as part of its interest rate risk management activities. Derivative financial instruments created as a result of the Company’s operations include: ● Interest rate lock commitments (“IRLCs”) that are created when the Company commits to purchase or originate a loan for sale at specified interest rates. ● Derivatives that were embedded in a master repurchase agreement with a non-affiliate that provided for the Company to receive incentives for financing loans that satisfied certain consumer relief characteristics as provided in the master repurchase agreement. ● Loans held for sale and IRLCs. The Company bears price risk from the time a commitment to fund a loan is made to a borrower or to purchase a loan from PMT or a non-affiliated entity, to the time either the prospective transaction is cancelled or the loan is sold. During this period, the Company is exposed to losses if market interest rates increase, because the fair value of the purchase commitment or prospective loan decreases. ● Mortgage servicing rights (“MSRs”). MSRs are generally subject to reduction in fair value when mortgage interest rates decrease. Decreasing mortgage interest rates normally encourage increased mortgage refinancing activity. Increased refinancing activity reduces the expected life of the mortgage loans underlying the MSRs, thereby reducing their fair value. Reductions in the fair value of MSRs affect earnings primarily through recognition of the changes in fair value. To manage the 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 MSRs. IRLCs are accounted for as derivative financial instruments. The Company manages the risk created by IRLCs by entering into forward sale agreements to sell the expected mortgage loans or mortgage-backed securities (“MBS”) and by the purchase and sale of options on MBS. Such agreements are also accounted for as derivative financial instruments. These and other interest-rate derivatives are also used to manage the fair value risk created by changes in prepayment speeds on certain of the MSRs the Company holds. The Company classifies its IRLCs as “Level 3” fair value assets and liabilities. Fair value of hedging derivative financial instruments that are actively traded on an exchange are categorized by the Company as “Level 1” fair value assets and liabilities. Fair value of hedging derivative financial instruments based on observable MBS prices or interest rate volatilities in the MBS market are categorized as “Level 2” fair value assets and liabilities. The Company does not designate its derivative financial instruments for hedge accounting. Therefore, the Company accounts for its derivative financial instruments as free-standing derivatives. All derivative financial instruments are recognized on the consolidated balance sheet at fair value with changes in the fair values being reported in current period income. Changes in fair value of derivative financial instruments hedging IRLCs, loans held for sale at fair value and MSRs are included in Net gains on loans held for sale at fair value Mortgage servicing rights hedging results, Interest expense Cash flows from derivative financial instruments relating to hedging of IRLCs and loans acquired for sale are included in Cash flows from operating activities Sale and repayment of loans acquired for sale at fair value to nonaffiliates Cash flows from investing activities Cash flows from operating activities When the Company has multiple derivative financial instruments with the same counterparty subject to a master netting arrangement, it offsets the amounts recorded as assets and liabilities and amounts recognized for the right to reclaim cash collateral it has deposited with the counterparty or the obligation to return cash collateral it has collected from the counterparty arising from that master netting arrangement. Such offset amounts are presented as either a net asset or liability by counterparty on the Company’s consolidated balance sheets. |
Servicing Advances | Servicing Advances Servicing advances represent advances made on behalf of borrowers and the mortgage loans’ investors to fund property taxes, insurance premiums and out-of-pocket collection costs (e.g., preservation and restoration of mortgaged property or real estate acquired in the settlement of loans (“REO”), legal fees, and appraisals). Servicing advances are made in accordance with the Company’s servicing agreements. A valuation allowance is provided for amounts expected to become uncollectable. Servicing advances are written off when they are deemed uncollectable. |
Mortgage Servicing Rights and Mortgage Servicing Liabilities | Mortgage Servicing Rights and Mortgage Servicing Liabilities MSRs and mortgage servicing liabilities (“MSLs”) arise from contractual agreements between the Company and investors (or their agents) in mortgage securities and mortgage loans. Under these contracts, the Company performs loan servicing functions in exchange for fees and other remuneration. The servicing functions typically performed include, among other responsibilities, collecting and remitting loan payments; responding to borrower inquiries; accounting for principal and interest; holding custodial (impound) funds for payment of property taxes and insurance premiums; counseling delinquent mortgagors; administering loss mitigation activities, including modification and forbearance programs; and supervising foreclosures and property dispositions. The Company is contractually entitled to receive other remuneration including various mortgagor-contracted fees such as late charges and collateral reconveyance charges, and the Company is generally entitled to retain the placement fees earned on impounded funds and funds held pending remittance related to its collection of mortgagor payments. The Company also generally has the right to solicit the mortgagors for other products and services as well as for new mortgages for those considering refinancing their existing loan or purchasing a new home. The Company recognizes MSRs and MSLs initially at fair value, either as proceeds from or liabilities incurred in sales of mortgage loans where the Company assumes the obligation to service the mortgage loan in the sale transaction, or from the purchase of MSRs or receipt of cash for acceptance of MSLs. The fair value of MSRs and MSLs is derived from the net positive or negative, respectively, cash flows associated with the servicing contracts. For loans subject to MSR and MSL contracts, the Company receives a servicing fee, based on the remaining outstanding principal balances of the mortgage loans subject to the servicing contracts. The servicing fees are collected from the monthly payments made by the mortgagors. The fair value of MSRs and MSLs is difficult to determine because MSRs and MSLs are not actively traded in observable stand-alone markets. Considerable judgment is required to estimate the fair values of MSRs and MSLs and the exercise of such judgment can significantly affect the Company’s income. Therefore, the Company classifies its MSRs and MSLs as “Level 3” fair value assets and liabilities. Changes in fair value of MSLs and MSRs are recognized in current period income in Change in fair value of mortgage servicing rights and mortgage servicing liabilities |
Lease | Leases The Company determines if an arrangement is a lease at inception. If the arrangement is determined to be a lease, the Company recognizes both an Operating lease right-of-use asset Operating lease liability Occupancy and equipment The Company’s lease agreements include both lease and non-lease components (such as common area maintenance), which are generally included in the lease and are accounted for together with the lease as a single lease component. As such, lease payments represent payments on both lease and non-lease components. At lease commencement, lease liabilities are recognized based on the present value of the remaining lease payments and discounted using the Company’s incremental borrowing rate. Right-of-use assets initially equal the lease liability, adjusted for any lease payments made before lease commencement and for any lease incentives. |
Furniture, Fixtures, Equipment and Building Improvements | Furniture, Fixtures, Equipment and Building Improvements Furniture, fixtures, equipment and building improvements are stated at historical cost less accumulated depreciation and amortization. Depreciation and amortization are computed using the straight-line method over the estimated useful lives of the various classes of assets, which range from five |
Capitalized Software | Capitalized Software The Company capitalizes certain consulting, payroll, and payroll-related costs related to the development of computer software for internal use. Once development is complete and the software is placed in service, the Company amortizes the capitalized costs over three The Company also periodically assesses capitalized software for recoverability when events or changes in circumstances indicate that its carrying amount may not be recoverable. If the Company identifies an indicator of impairment, it assesses recoverability by comparing the carrying amount of the asset to the sum of the undiscounted cash flows expected to result from the use and the eventual disposal of the asset. An impairment loss is recognized when the carrying amount is not recoverable and is measured as the excess of carrying value over fair value. |
Investment in PennyMac Mortgage Investment Trust at Fair Value | Investment in PennyMac Mortgage Investment Trust at Fair Value Common shares of beneficial interest in PMT are carried at fair value with changes in fair value recognized in current period income. Fair value for purposes of the Company’s holdings in PMT is based on the published closing price of the shares as of period end. The Company classifies its investment in common shares of PMT as a “Level 1” fair value asset. |
Loans Eligible for Repurchase | Loans Eligible for Repurchase The terms of the Ginnie Mae MBS program allow, but do not require, the Company to repurchase loans when the loan is at least three months delinquent. As a result of this right, the Company recognizes the loans in Loans eligible for repurchase Liability for loans eligible for repurchase |
Borrowings | Borrowings The carrying values of borrowings other than excess servicing spread (“ESS”) are based on the accrued cost of the agreements. The costs of creating the facilities underlying the agreements (debt issuance costs) are included in the carrying value of the agreements and are charged to Interest expense ● Debt issuance costs relating to revolving facilities, such as repurchase agreement and mortgage loan participation purchase and sale facilities are amortized on the straight line basis over the term of the facility; and ● Debt issuance cost relating to non-revolving debts, such as the Company’s Notes payable secured by mortgage servicing assets and Unsecured senior notes are amortized over the contractual term of the non-revolving debt using the interest method. |
Excess Servicing Spread Financing at Fair Value | Excess Servicing Spread Financing at Fair Value The Company finances certain of its purchases of Agency MSRs through the sale to PMT of the right to receive the excess of the servicing fee rate over a specified rate of the underlying MSRs. This excess is referred to as ESS. ESS is carried at its fair value. Changes in fair value of ESS are recognized in current period income in Change in fair value of excess servicing spread payable to PennyMac Mortgage Investment Trust Interest expense for ESS is accrued using the interest method based upon the expected cash flows from the ESS through the expected life of the underlying mortgage loans. |
Liability for Losses Under Representations and Warranties | Liability for Losses Under Representations and Warranties The Company’s agreements with the Agencies and other investors include representations and warranties related to the loans the Company sells to the Agencies and other investors. The representations and warranties require adherence to Agency and other investor origination and underwriting guidelines, including but not limited to the validity of the lien securing the loan, property eligibility, borrower credit, income and asset requirements, and compliance with applicable federal, state and local law. In the event of a breach of its representations and warranties, the Company may be required to either repurchase the loans with the identified defects or indemnify the investor or insurer. In such cases, the Company bears any subsequent credit loss on the loans. The Company’s credit loss may be reduced by any recourse it may have to correspondent loan sellers that, in turn, had sold such mortgage loans to PMT and breached similar or other representations and warranties. In such event, the Company has the right to seek a recovery of related repurchase losses from that correspondent loan seller, through PMT. As a result of providing representations and warranties to investors and insurers, the Company records a provision for losses relating to representations and warranties as part of its loan sale transactions. The method used to estimate the liability for representations and warranties is a function of the representations and warranties given and considers a combination of factors, including, but not limited to, estimated future defaults and loan repurchase rates, the estimated severity of loss in the event of default and the probability of reimbursement by the correspondent loan seller. The Company establishes a liability at the time loans are sold and periodically updates its liability estimate. The level of the liability for representations and warranties is reviewed and approved by the Company’s management credit committee. Both the initial recognition of, and adjustments to the level of, the liability for representations and warranties are recorded in Net gains on loans held for sale at fair value The level of the liability for representations and warranties is difficult to estimate and requires considerable judgment. The level of loan repurchase losses is dependent on economic factors, investor repurchase demand or insurer claim denial strategies, and other external conditions that may change over the lives of the underlying loans. The Company’s representations and warranties are generally not subject to stated limits of exposure. However, the Company believes that the current unpaid principal balance (“UPB”) of loans sold to date represents the maximum exposure to repurchases related to representations and warranties. |
Loan Origination Fees | Loan Origination Fees Loan origination fees represent compensation to the Company for the origination or purchase of loans. Loan origination fees are earned and recognized upon funding or purchase of the loan by the Company and are collected either at purchase from the correspondent seller, at funding when paid by the borrower or upon sale of the loan when the origination fees are financed by the borrower. |
Loan Servicing Fees | Loan Servicing Fees Loan servicing fees are received by the Company for servicing loans. Loan servicing activities are described in Mortgage Servicing Rights and Mortgage Servicing Liabilities The Company’s obligations under its loan servicing agreements are fulfilled as the Company services the loans. Fees are collected when the loan payments are received from the borrowers in the case of MSRs held by the Company or within 30 days of the applicable month-end for subserviced loans. Loan servicing fees relating to owned MSRs are recognized when earned. Loan servicing fees relating to loans subserviced for PMT are recognized in the month in which the loans are serviced. |
Fulfillment Fees | Fulfillment Fees |
Management fees | Management Fees Management fees represent compensation to the Company for management services it provides to PMT. Management fees are based on PMT’s shareholders’ equity amounts and profitability in excess of specified thresholds. Management fees are recognized as services are provided and are paid to the Company on a quarterly basis within 30 days of the end of the quarter. |
Stock-Based Compensation | Stock-Based Compensation The Company establishes the cost of its share-based awards at the awards’ fair values at the grant date of the awards. The Company estimates the fair value of time-based restricted stock units and performance-based restricted stock units awarded with reference to the fair value of its underlying common stock and expected forfeiture rates on the date of the award. The Company estimates the fair value of its stock option awards with reference to the expected price volatility of its shares of common stock, expected dividend yield, expected forfeiture rates, and risk-free interest rate for the period that exercisable stock options are expected to be outstanding. Compensation costs are fixed, except for performance-based restricted stock units, as of the award date. The cost of performance-based restricted stock units is adjusted in each reporting period after the grant for changes in expected performance attainment until the performance share units vest. The Company amortizes the cost of stock based compensation awards to Compensation |
Income Taxes | Income Taxes The Company is subject to federal and state income taxes. Income taxes are provided using the asset and liability method. Deferred tax assets and liabilities are recognized for the future tax consequences attributable to differences between financial statement carrying amounts of existing assets and liabilities and their respective tax bases. Deferred tax assets and liabilities are measured using the enacted tax rates expected to apply to taxable income in the years in which those temporary differences are expected to be recovered or settled. The Company recognizes the effect on deferred taxes of a change in tax rates in income in the period in which the change occurs. The Company establishes a valuation allowance if, in management’s judgment, it is not more likely than not that a deferred tax asset will be realized. The Company recognizes tax benefits relating to its tax positions only if, in the opinion of management, it is more likely than not that the tax position will be sustained upon examination by the appropriate taxing authority. A tax position that meets this standard is recognized as the largest amount that is greater than 50% likely to be realized upon ultimate settlement with the appropriate taxing authority. The Company will classify any penalties and interest as a component of provision for income taxes. As a result of a recapitalization and reorganization of PNMAC in 2013, the Company expects to benefit from amortization and other tax deductions resulting from increases in the tax basis of PNMAC’s assets from the exchange of PennyMac Class A units to the shares of the Company’s common stock. Those deductions will be allocated to the Company and will be taken into account in reporting the Company’s taxable income. The Company assumed an agreement with certain of the former unitholders of PNMAC that provides for the additional payment by the Company to exchanging unitholders of PNMAC equal to 85% of the amount of cash savings, if any, in U.S. federal, state and local income tax that PFSI realizes due to (i) increases in tax basis resulting from exchanges of the then existing unitholders and (ii) certain other tax benefits related to PFSI entering into the tax receivable agreement, including tax benefits attributable to payments under the tax receivable agreement. Although a reorganization of the Company in 2018 eliminated the potential for unitholders to exchange any additional units subject to this tax receivable agreement, the Company continues to be subject to the agreement and provide payment when applicable for units exchanged before the reorganization. |
Transactions with Related Par_2
Transactions with Related Parties (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Transactions with Affiliates | |
Summary of activity in Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | Year ended December 31, 2022 2021 2020 (in thousands) Activity during the year: Payments under tax receivable agreement $ 3,855 $ 4,635 $ 10,713 Repricing of liability $ (576) $ — $ (280) Balance at end of year $ 26,099 $ 30,530 $ 35,165 |
PennyMac Mortgage Investment Trust | |
Transactions with Affiliates | |
Summary of lending activity between the Company and affiliate | Year ended December 31, 2022 2021 2020 (in thousands) Net (losses) gains on loans held for sale at fair value: Net (losses) gains on loans held for sale to PMT (primarily cash) $ (2,820) $ — $ 81,295 Mortgage servicing rights and excess servicing spread recapture incurred (13,744) (51,473) (30,614) $ (16,564) $ (51,473) $ 50,681 Sale of loans held for sale to PMT $ 298,862 $ — $ 2,248,896 Tax service fees earned from PMT included in Loan origination fees $ 8,418 $ 26,126 $ 23,408 Fulfillment fee revenue $ 67,991 $ 178,927 $ 222,200 Unpaid principal balance of loans fulfilled for PMT subject to fulfillment fees $ 37,090,031 $ 110,003,574 $ 100,389,252 Sourcing fees included in cost of loans purchased from PMT $ 4,968 $ 6,472 $ 11,037 Unpaid principal balance of loans purchased from PMT $ 49,680,267 $ 64,774,728 $ 60,540,530 |
Summary of loan servicing fees earned from PMT | Year ended December 31, Loan type serviced 2022 2021 2020 (in thousands) Loans acquired for sale $ 1,018 $ 2,363 $ 2,067 Loans at fair value 529 505 807 Mortgage servicing rights 80,368 77,790 64,307 $ 81,915 $ 80,658 $ 67,181 |
Summary of management fees earned | Year ended December 31, 2022 2021 2020 (in thousands) Base management $ 31,065 $ 34,794 $ 34,538 Performance incentive — 3,007 — $ 31,065 $ 37,801 $ 34,538 |
Summary of reimbursement of expenses | Year ended December 31, 2022 2021 2020 (in thousands) Reimbursement of: Expenses incurred on PMT's behalf, net $ 23,829 $ 18,812 $ 22,583 Common overhead incurred by the Company 8,588 4,906 5,172 Compensation 660 660 570 $ 33,077 $ 24,378 $ 28,325 Payments and settlements during the year (1) $ 144,012 $ 284,381 $ 378,162 (1) Payments and settlements include payments for the operating, investing and financing activities summarized in this note and netting settlements made pursuant to master netting agreements between the Company and PMT. |
Summary of investing activity between the Company and affiliate | Year ended December 31, 2022 2021 2020 (in thousands) Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell pledged to creditors: Activity during the year: Net repayments of assets purchased from PMT under agreement to resell $ 80,862 $ 26,650 Interest income $ 387 $ 3,325 Balance at end of year $ — $ 80,862 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Activity during the year: Dividends earned from PennyMac Mortgage Investment Trust $ 136 $ 141 $ 114 Change in fair value of investment in common shares of PennyMac Mortgage Investment Trust (371) 195 (567) $ (235) $ 336 $ (453) Balance at end of year: Fair value $ 929 $ 1,300 Number of shares 75 75 |
Summary of financing activity between the Company and affiliate | Year ended December 31, 2021 2020 (in thousands) Excess servicing spread financing: Balance at beginning of year $ 131,750 $ 178,586 Issuance pursuant to recapture agreement 557 2,093 Accrual of interest 1,280 8,418 Change in fair value 1,037 (24,970) Repayment (134,624) (32,377) Balance at end of year $ — $ 131,750 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 $ 2,241 |
Summary of amounts due from and payable to affiliate | December 31, 2022 2021 (in thousands) Receivable from PMT: Allocated expenses and expenses incurred on PMT's behalf $ 11,447 $ 15,431 Management fees 7,307 8,918 Correspondent production fees 6,835 8,894 Servicing fees 6,740 6,848 Fulfillment fees 4,043 — $ 36,372 $ 40,091 Payable to PMT: Amounts advanced by PMT to fund its servicing advances $ 201,451 $ 212,066 Other 3,560 15,953 $ 205,011 $ 228,019 |
Loan Sales and Servicing Acti_2
Loan Sales and Servicing Activities (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Loan Sales and Servicing Activities | |
Summary of cash flows between the Company and transferees upon sale of loans in transactions | Year ended December 31, 2022 2021 2020 (in thousands) Cash flows: Sales proceeds $ 84,345,379 $ 154,450,942 $ 102,840,312 Servicing fees received $ 931,315 $ 840,104 $ 678,142 |
Summary of sale of loans between the Company and transferees upon sale of loans in transactions | December 31, 2022 2021 (in thousands) Unpaid principal balance of loans outstanding $ 295,032,674 $ 254,524,015 Delinquent loans (1): 30-89 days $ 11,019,194 $ 6,129,597 90 days or more: Not in foreclosure $ 6,548,849 $ 8,399,299 In foreclosure $ 834,155 $ 715,016 Foreclosed $ 12,905 $ 6,900 Loans in bankruptcy $ 1,143,484 $ 1,039,362 Delinquent loans in COVID-19 pandemic-related forbearance plans: 30-89 days $ 950,172 $ 1,020,290 90 days or more 2,934,718 2,550,703 $ 3,884,890 $ 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 | December 31, 2022 Servicing Total rights owned Subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 295,032,674 $ — $ 295,032,674 Purchased 19,568,122 — 19,568,122 314,600,796 — 314,600,796 PennyMac Mortgage Investment Trust — 233,575,672 233,575,672 Loans held for sale 3,498,214 — 3,498,214 $ 318,099,010 $ 233,575,672 $ 551,674,682 Delinquent loans (1): 30 days $ 8,903,829 $ 1,576,414 $ 10,480,243 60 days 2,855,176 337,081 3,192,257 90 days or more: Not in foreclosure 6,829,985 888,057 7,718,042 In foreclosure 914,213 75,012 989,225 Foreclosed 13,835 7,979 21,814 $ 19,517,038 $ 2,884,543 $ 22,401,581 Loans in bankruptcy $ 1,291,038 $ 125,719 $ 1,416,757 Delinquent loans in COVID-19 pandemic-related forbearance plans: 30 days $ 453,562 $ 88,024 $ 541,586 60 days 527,035 89,171 616,206 90 days or more 3,042,923 466,489 3,509,412 $ 4,023,520 $ 643,684 $ 4,667,204 Custodial funds managed by the Company (2) $ 3,329,709 $ 1,783,157 $ 5,112,866 (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 are cash accounts holding funds on behalf of borrowers and investors relating to loans serviced under servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns placement fees on certain of the custodial funds it manages on behalf of the loans’ borrowers and investors. Placement fees 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 are cash accounts holding funds on behalf of borrowers and investors relating to loans serviced under servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns placement fees on certain of the custodial funds it manages on behalf of the loans’ borrowers and investors. Placement fees 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) | December 31, State 2022 2021 (in thousands) California $ 68,542,279 $ 67,317,935 Florida 50,873,961 45,222,233 Texas 47,911,696 42,064,686 Virginia 33,478,151 31,442,370 Maryland 25,473,417 23,922,075 All other states 325,395,178 299,738,982 $ 551,674,682 $ 509,708,281 |
Fair Value (Tables)
Fair Value (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Fair Value | |
Summary of financial statement items measured at estimated fair value on a recurring basis | December 31, 2022 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investment $ 12,194 $ — $ — $ 12,194 Loans held for sale at fair value — 3,163,528 345,772 3,509,300 Derivative assets: Interest rate lock commitments — — 36,728 36,728 Forward purchase contracts — 2,433 — 2,433 Forward sales contracts — 80,754 — 80,754 MBS put options — 6,057 — 6,057 Put options on interest rate futures purchase contracts 29,203 — — 29,203 Call options on interest rate futures purchase contracts 2,820 — — 2,820 Total derivative assets before netting 32,023 89,244 36,728 157,995 Netting — — — (58,992) Total derivative assets 32,023 89,244 36,728 99,003 Mortgage servicing rights at fair value — — 5,953,621 5,953,621 Investment in PennyMac Mortgage Investment Trust 929 — — 929 $ 45,146 $ 3,252,772 $ 6,336,121 $ 9,575,047 Liabilities: Derivative liabilities: Interest rate lock commitments $ — $ — $ 10,884 $ 10,884 Forward purchase contracts — 48,670 — 48,670 Forward sales contracts — 20,684 — 20,684 Put options on interest rate futures sales contracts 3,008 — — 3,008 Total derivative liabilities before netting 3,008 69,354 10,884 83,246 Netting — — — (61,534) Total derivative liabilities 3,008 69,354 10,884 21,712 Mortgage servicing liabilities at fair value — — 2,096 2,096 $ 3,008 $ 69,354 $ 12,980 $ 23,808 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 | Year ended December 31, 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 3,338,743 369,769 3,993 3,712,505 Capitalization of interest and advances 60,589 — — 60,589 Sales and repayments (1,378,441) — — (1,378,441) Mortgage servicing rights resulting from loan sales — — 1,718,094 1,718,094 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (41,483) — — (41,483) Other factors (25,156) (624,905) 353,456 (296,605) (66,639) (624,905) 353,456 (338,088) Transfers from Level 3 to Level 2 (2,736,940) — — (2,736,940) Transfers to real estate acquired in settlement of loans (416) — — (416) Transfers to loans held for sale — (41,213) — (41,213) Balance, December 31, 2022 $ 345,772 $ 25,844 $ 5,953,621 $ 6,325,237 Changes in fair value recognized during the year relating to assets still held at December 31, 2022 $ (26,699) $ 25,844 $ 353,456 $ 352,601 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Year ended Liabilities December 31, 2022 (in thousands) Mortgage servicing liabilities: Balance, December 31, 2021 $ 2,816 Changes in fair value included in income (720) Balance, December 31, 2022 $ 2,096 Changes in fair value recognized during the year relating to liabilities still outstanding at December 31, 2022 $ (720) Year ended December 31, 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 20,330,785 1,654,476 — 21,985,261 Capitalization of interest and advances 169,053 — — 169,053 Sales and repayments (11,783,818) — — (11,783,818) Mortgage servicing rights resulting from loan sales — — 1,861,949 1,861,949 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 285,501 — — 285,501 Other factors — 489,547 (565,045) (75,498) 285,501 489,547 (565,045) 210,003 Transfers from Level 3 to Level 2 (12,547,732) — — (12,547,732) Transfer to real estate acquired in settlement of loans (82) — — (82) Transfers to loans held for sale — (2,498,856) — (2,498,856) Balance, December 31, 2021 $ 1,128,876 $ 322,193 $ 3,878,078 $ 5,329,147 Changes in fair value recognized during the year relating to assets still held at December 31, 2021 $ 22,516 $ 322,193 $ (565,045) $ (220,336) Year ended December 31, 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 — 106,631 106,631 Changes in fair value included in income 1,037 (149,139) (148,102) Repayments (134,624) — (134,624) Balance, December 31, 2021 $ — $ 2,816 $ 2,816 Changes in fair value recognized during the year relating to liabilities still outstanding at December 31, 2021 $ — $ (3,156) $ (3,156) Year ended December 31, 2020 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) Balance, December 31, 2019 $ 383,878 $ 136,650 $ 8,187 $ 2,926,790 $ 3,455,505 Purchases and issuances, net 9,672,322 2,028,957 — 25,473 11,726,752 Capitalization of interest and advances 119,037 — — — 119,037 Sales and repayments (2,381,493) — (8,270) — (2,389,763) Mortgage servicing rights resulting from loan sales — — — 1,138,045 1,138,045 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 127,780 — — — 127,780 Other factors — 1,254,235 83 (1,509,134) (254,816) 127,780 1,254,235 83 (1,509,134) (127,036) Transfers from Level 3 to Level 2 (3,246,282) — — — (3,246,282) Transfers to real estate acquired in settlement of loans (73) — — — (73) Transfers to loans held for sale — (2,742,816) — — (2,742,816) Balance, December 31, 2020 $ 4,675,169 $ 677,026 $ — $ 2,581,174 $ 7,933,369 Changes in fair value recognized during the year relating to assets still held at December 31, 2020 $ 153,474 $ 677,026 $ — $ (1,509,134) $ (678,634) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Year ended December 31, 2020 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, December 31, 2019 $ 178,586 $ 29,140 $ 207,726 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 2,093 — 2,093 Accrual of interest 8,418 — 8,418 Mortgage servicing liabilities resulting from loan sales — 23,325 23,325 Changes in fair value included in income (24,970) (7,141) (32,111) Repayments (32,377) — (32,377) Balance, December 31, 2020 $ 131,750 $ 45,324 $ 177,074 Changes in fair value recognized during the year relating to liabilities still outstanding at December 31, 2020 $ (24,970) $ (7,141) $ (32,111) |
Summary of net gains (losses) from changes in fair values included in earnings for financial statement items carried at fair value | Year ended December 31, 2022 2021 2020 Net gains on Net Net gains on Net Net gains on Net loans held loan loans held loan loans held loan for sale at servicing for sale at servicing for sale at servicing fair value fees Total fair value fees Total fair value fees Total (in thousands) Assets: Loans held for sale $ (219,054) $ — $ (219,054) $ 2,568,318 $ — $ 2,568,318 $ 2,899,314 $ — $ 2,899,314 Mortgage servicing rights — 353,456 353,456 — (565,045) (565,045) — (1,509,134) (1,509,134) $ (219,054) $ 353,456 $ 134,402 $ 2,568,318 $ (565,045) $ 2,003,273 $ 2,899,314 $ (1,509,134) $ 1,390,180 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust $ — $ — $ — $ — $ (1,037) $ (1,037) $ — $ 24,970 $ 24,970 Mortgage servicing liabilities — 720 720 — 149,139 149,139 — 7,141 7,141 $ — $ 720 $ 720 $ — $ 148,102 $ 148,102 $ — $ 32,111 $ 32,111 |
Schedule of fair value and related principal amounts due upon maturity of assets and liabilities accounted for under the fair value option | December 31, 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 $ 3,450,578 $ 3,428,052 $ 22,526 $ 9,577,398 $ 9,263,242 $ 314,156 90 days or more delinquent: Not in foreclosure 47,252 53,351 (6,099) 153,162 153,875 (713) In foreclosure 11,470 16,811 (5,341) 11,923 13,649 (1,726) $ 3,509,300 $ 3,498,214 $ 11,086 $ 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) December 31, 2022 $ — $ — $ 1,850 $ 1,850 December 31, 2021 $ — $ — $ 2,588 $ 2,588 |
Summary of total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | Year ended December 31, 2022 2021 2020 (in thousands) Real estate acquired in settlement of loans $ 523 $ 799 $ 814 |
Summary of carrying value and fair value of debt | December 31, 2022 December 31, 2021 Fair value Carrying value Fair value Carrying value (in thousands) Term Notes $ 1,677,476 $ 1,794,475 $ 1,302,640 $ 1,297,622 Unsecured senior notes $ 1,550,750 $ 1,779,920 $ 1,790,375 $ 1,776,219 |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items, excluding MSR purchases | Year ended December 31, 2022 2021 2020 (Amount recognized and unpaid principal balance of underlying mortgage loans amounts in thousands) Amount recognized $1,718,094 $1,861,949 $1,138,045 Pool characteristics: Unpaid principal balance of underlying loans $83,569,657 $138,319,425 $96,571,835 Weighted average servicing fee rate (in basis points) 44 34 35 Key inputs (1): Annual total prepayment speed (2): Range 5.1% – 23.4% 6.1% – 31.4% 7.2% – 49.8% Weighted average 9.4% 8.6% 11.9% Equivalent average life (in years): Range 3.7 – 9.4 3.0 – 9.2 1.5 – 9.1 Weighted average 8.1 8.1 6.7 Pricing spread (3): Range 5.5% – 16.1% 6.0% – 16.9% 6.8% – 18.1% Weighted average 7.8% 8.8% 9.4% Annual per-loan cost of servicing: Range $71 – $177 $80 – $117 $77 – $117 Weighted average $104 $103 $102 (1) Weighted average inputs are based on 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 States Treasury (“Treasury”) Securities 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 | December 31, 2022 2021 (Fair value, unpaid principal balance of underlying mortgage loans and effect on fair value amounts in thousands) Fair value $ 5,953,621 $ 3,878,078 Pool characteristics: Unpaid principal balance of underlying loans $ 314,567,639 $ 278,324,780 Weighted average note interest rate 3.4% 3.2% Weighted average servicing fee rate (in basis points) 36 34 Key inputs (1): Annual total prepayment speed (2): Range 5.0% – 17.7% 7.9% – 26.7% Weighted average 7.5% 10.7% Equivalent average life (in years): Range 3.7 – 9.3 3.1 – 7.7 Weighted average 8.4 6.8 Effect on fair value of (3): 5% adverse change ($77,346) ($80,109) 10% adverse change ($152,192) ($157,252) 20% adverse change ($294,872) ($303,259) Pricing spread (4): Range 4.9% – 14.3% 5.3% – 15.5% Weighted average 6.5% 7.7% Effect on fair value of (3): 5% adverse change ($81,021) ($59,577) 10% adverse change ($159,863) ($117,352) 20% adverse change ($311,329) ($227,791) Per-loan annual cost of servicing: Range $68 – $144 $79 – $197 Weighted average $109 $108 Effect on fair value of (3): 5% adverse change ($41,263) ($32,979) 10% adverse change ($82,527) ($65,958) 20% adverse change ($165,053) ($131,916) (1) Weighted average inputs are based on 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, these 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 | December 31, 2022 2021 Fair value (in thousands) $ 2,096 $ 2,816 Pool characteristics: Unpaid principal balance of underlying loans (in thousands) $ 33,157 $ 60,593 Servicing fee rate (in basis points) 25 25 Key inputs (1): Annual total prepayment speed (2) 17.2% 19.8% Equivalent average life (in years) 4.9 4.1 Pricing spread (3) 7.8% 6.9% Per-loan annual cost of servicing $ 1,177 $ 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 | December 31, 2022 2021 Fair value (in thousands) (1) $ 25,844 $ 322,193 Key inputs Pull-through rate: Range 10.3% – 100% 8.0% – 100% Weighted average 82.8% 78.4% Mortgage servicing rights fair value expressed as: Servicing fee multiple: Range (1.3) – 7.7 (8.5) – 6.7 Weighted average 4.3 3.8 Percentage of loan commitment amount Range (0.2)% – 3.8% (1.6)% – 3.6% Weighted average 2.0% 1.5% (1) For purposes of this table, the IRLC assets and liability positions are shown net. (2) Weighted average inputs are based on the committed amounts. |
Mortgage servicing rights | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items, excluding MSR purchases | Year ended December 31, 2022 2021 2020 (Amount recognized and unpaid principal balance of underlying mortgage loans amounts in thousands) Amount recognized $1,718,094 $1,861,949 $1,138,045 Pool characteristics: Unpaid principal balance of underlying loans $83,569,657 $138,319,425 $96,571,835 Weighted average servicing fee rate (in basis points) 44 34 35 Key inputs (1): Annual total prepayment speed (2): Range 5.1% – 23.4% 6.1% – 31.4% 7.2% – 49.8% Weighted average 9.4% 8.6% 11.9% Equivalent average life (in years): Range 3.7 – 9.4 3.0 – 9.2 1.5 – 9.1 Weighted average 8.1 8.1 6.7 Pricing spread (3): Range 5.5% – 16.1% 6.0% – 16.9% 6.8% – 18.1% Weighted average 7.8% 8.8% 9.4% Annual per-loan cost of servicing: Range $71 – $177 $80 – $117 $77 – $117 Weighted average $104 $103 $102 (1) Weighted average inputs are based on 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 States Treasury (“Treasury”) Securities 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. |
Mortgage loans held for sale | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | December 31, 2022 2021 Fair value (in thousands) $ 345,772 $ 1,128,876 Key inputs (1): Discount rate: Range 5.5% – 10.2% 2.2% – 9.2% Weighted average 5.7% 2.3% Twelve-month projected housing price index change: Range (1.9)% – (1.7)% 6.1% – 6.5% Weighted average (1.8)% 6.2% Voluntary prepayment/resale speed (2): Range 4.7% – 25.6% 0.4% – 30.3% Weighted average 21.6% 22.0% Total prepayment/resale speed (3): Range 4.8% – 36.1% 0.4% – 39.3% Weighted average 29.4% 28.2% (1) Weighted average inputs are based on fair value of the “Level 3” loans. (2) Voluntary prepayment/resale speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”). (3) Total prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayment/resale rates. |
Loans Held for Sale at Fair V_2
Loans Held for Sale at Fair Value (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Loans Held for Sale at Fair Value | |
Summary of loans held for sale at fair value | December 31, Loan type 2022 2021 (in thousands) Government-insured or guaranteed $ 2,006,157 $ 6,030,518 Conventional conforming 1,145,053 2,583,089 Jumbo 12,318 — Home equity loans 46,589 — Purchased from Ginnie Mae securities serviced by the Company 257,175 1,082,444 Repurchased pursuant to representations and warranties 42,008 46,432 $ 3,509,300 $ 9,742,483 Fair value of loans pledged to secure: Assets sold under agreements to repurchase $ 3,139,870 $ 8,629,861 Mortgage loan participation purchase and sale agreements 302,977 505,716 $ 3,442,847 $ 9,135,577 |
Derivative Activities (Tables)
Derivative Activities (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Derivative Activities | |
Summary of derivative financial instruments | December 31, 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 7,009,119 $ 36,728 $ 10,884 14,111,795 $ 323,473 $ 1,280 Subject to master netting arrangements (2): Forward purchase contracts 8,320,849 2,433 48,670 22,007,383 20,485 18,007 Forward sales contracts 12,487,760 80,754 20,684 34,429,676 40,215 35,415 MBS put options 1,750,000 6,057 — 9,550,000 7,655 — Swaption purchase contracts — — — 5,375,000 1,625 — Put options on interest rate futures purchase contracts 6,800,000 29,203 — 2,450,000 3,141 — Call options on interest rate futures purchase contracts 1,350,000 2,820 — 1,250,000 2,078 — Put options on interest rate futures sale contracts 250,000 — 3,008 — — — Treasury futures purchase contracts 3,709,200 — — 1,544,800 — — Treasury futures sale contracts 3,456,900 — — 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 157,995 83,246 398,672 54,702 Netting (58,992) (61,534) (64,977) (32,096) $ 99,003 $ 21,712 $ 333,695 $ 22,606 Deposits placed with (received from) derivative counterparties included in the derivative balances above, net $ 2,542 $ (32,881) (1) Notional amounts provide an indication of the volume of the Company’s derivative activity. (2) All of the derivatives used for hedging purposes are interest rate derivatives and are used as economic hedges. |
Summary of the amount of derivative asset positions by significant counterparty after considering master netting arrangements and financial instruments or cash pledged | December 31, 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 $ 36,728 $ — $ — $ 36,728 $ 323,473 $ — $ — $ 323,473 RJ O'Brien 29,016 — — 29,016 5,219 — — 5,219 Morgan Stanley Bank, N.A. 18,501 — — 18,501 — — — — Goldman Sachs 5,757 — — 5,757 — — — — Citibank, N.A. 5,098 — — 5,098 — — — — Bank of America, N.A. 1,519 — — 1,519 3,005 — — 3,005 Others 2,384 — — 2,384 1,998 — — 1,998 $ 99,003 $ — $ — $ 99,003 $ 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 | December 31, 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 $ 10,884 $ — $ — $ 10,884 $ 1,280 $ — $ — $ 1,280 Credit Suisse First Boston Mortgage Capital LLC 970,725 (968,804) — 1,921 1,974,278 (1,969,670) — 4,608 Bank of America, N.A. 567,745 (567,745) — — 1,758,690 (1,758,690) — — Royal Bank of Canada 381,893 (381,893) — — 496,064 (496,064) — — BNP Paribas 300,280 (300,280) — — 349,172 (349,172) — — Wells Fargo Bank, N.A. 228,181 (221,986) — 6,195 203,779 (200,338) — 3,441 JPMorgan Chase Bank, N.A. 211,713 (211,713) — — 300,912 (300,912) — — Morgan Stanley Bank, N.A. 114,277 (114,277) — — 299,580 (292,105) — 7,475 Citibank, N.A. 94,211 (94,211) — — 403,003 (402,806) — 197 Barclays Capital 80,276 (79,295) — 981 677,419 (676,685) — 734 Goldman Sachs 64,486 (64,486) — — 853,147 (850,918) — 2,229 Others 1,731 — — 1,731 2,642 — — 2,642 $ 3,026,402 $ (3,004,690) $ — $ 21,712 $ 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 | Year ended December 31, Derivative activity Consolidated income statement line 2022 2021 2020 (in thousands) Interest rate lock commitments Net gains on loans held for sale at fair value (1) $ (296,349) $ (354,833) $ 540,376 Repurchase agreement derivatives Interest expense $ — $ — $ 83 Hedged item: Interest rate lock commitments and loans held for sale Net gains on loans held for sale at fair value $ 1,326,964 $ 319,141 $ (650,898) Mortgage servicing rights Net loan servicing fees–Mortgage servicing rights hedging results $ (631,484) $ (475,215) $ 918,180 (1) Represents net change in fair value of IRLCs from the beginning to the end of the year. Amounts recognized at the date of commitment and fair value changes recognized during the period until purchase of the underlying loans are shown in the rollforward of IRLCs for the year 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) | 12 Months Ended |
Dec. 31, 2022 | |
Mortgage Servicing Rights and Mortgage Servicing Liabilities | |
Schedule of activity in MSRs carried at fair value | Year ended December 31, 2022 2021 2020 (in thousands) Balance at beginning of year $ 3,878,078 $ 2,581,174 $ 2,926,790 Additions: MSRs resulting from loan sales 1,718,094 1,861,949 1,138,045 Purchases 3,993 — 25,473 1,722,087 1,861,949 1,163,518 Change in fair value due to: Changes in inputs used in valuation model (1) 877,324 (136,350) (1,078,084) Other changes in fair value (2) (523,868) (428,695) (431,050) Total change in fair value 353,456 (565,045) (1,509,134) Balance at end of year $ 5,953,621 $ 3,878,078 $ 2,581,174 Unpaid principal balance of underlying loans at end of year $ 314,567,639 $ 278,324,780 $ 238,410,809 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 $ 5,897,613 $ 3,856,791 (1) Principally reflects changes in pricing spread, annual total prepayment speed, per loan annual cost of servicing and UPB of underlying loan inputs. (2) Represents changes due to realization of cash flows. |
Schedule of activity in mortgage servicing liability carried at fair value | Year ended December 31, 2022 2021 2020 (in thousands) Balance at beginning of year $ 2,816 $ 45,324 $ 29,140 Mortgage servicing liabilities resulting from loan sales — 106,631 23,325 Changes in fair value due to: Changes in inputs used in valuation model (1) (347) (68,020) 31,757 Other changes in fair value (2) (373) (81,119) (38,898) Total change in fair value (720) (149,139) (7,141) Balance at end of period $ 2,096 $ 2,816 $ 45,324 Unpaid principal balance of underlying loans at end of year $ 33,157 $ 60,593 $ 2,857,492 (1) During the year ended December 31, 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 | Year ended December 31, 2022 2021 2020 (in thousands) Contractual servicing fees $ 1,054,828 $ 875,570 $ 814,646 Other fees: Late charges 40,583 29,848 36,339 Other 13,742 29,505 25,543 $ 1,109,153 $ 934,923 $ 876,528 |
Leases (Tables)
Leases (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Leases | |
Summary of Company's leases | Year ended December 31, 2022 2021 2020 (dollars in thousands) Lease expense: Operating leases $ 19,779 $ 18,363 $ 16,223 Short-term leases 778 904 1,153 Sublease income (46) — — Net lease expense included in Occupancy and equipment $ 20,511 $ 19,267 $ 17,376 Other information: Payments for operating leases $ 23,475 $ 20,145 $ 16,524 Operating lease right-of-use assets $ 1,364 $ 28,401 $ 14,128 Period end weighted averages: Remaining lease term (in years) 4.8 5.7 6.3 Discount rate 3.8% 4.0% 4.1% |
Schedule of maturities of operating lease liabilities | Year ended December 31, Operating leases (in thousands) 2023 $ 24,228 2024 19,523 2025 18,645 2026 14,322 2027 6,799 Thereafter 12,039 Total lease payments 95,556 Less imputed interest (10,006) Operating lease liability $ 85,550 |
Other Assets (Tables)
Other Assets (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Summary of other assets | December 31, 2022 2021 (in thousands) Capitalized software, net $ 157,460 $ 109,480 Margin deposits 55,968 100,482 Prepaid expenses 38,780 64,924 Servicing fees receivable, net 31,356 23,672 Furniture, fixtures, equipment and building improvements, net 28,382 31,677 Other servicing receivables 24,854 113,820 Interest receivable 24,110 9,688 Deposits securing Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets 12,277 36,632 Real estate acquired in settlement of loans 11,497 7,474 Derivative settlements receivable 1,522 20,026 Other 31,701 98,741 $ 417,907 $ 616,616 Other assets pledged to secure: Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 12,277 $ 36,632 Obligations under capital lease Capitalized software, net — 4,546 Furniture, fixture, equipment and building improvements, net — 4,116 $ 12,277 $ 45,294 |
Summary of depreciation and amortization expenses | Year ended December 31, 2022 2021 2020 (in thousands) Depreciation and amortization expenses included in Occupancy and equipment $ 10,454 $ 8,439 $ 8,934 |
Furniture, Fixtures, Equipment and Building Improvements | |
Schedule of furniture, fixtures, equipment and building improvements and capitalized software | December 31, 2022 2021 (in thousands) Furniture, fixtures, equipment and building improvements $ 82,721 $ 75,562 Less: Accumulated depreciation and amortization (54,339) (43,885) $ 28,382 $ 31,677 |
Capitalized software | |
Schedule of furniture, fixtures, equipment and building improvements and capitalized software | December 31, 2022 2021 (in thousands) Cost $ 231,341 $ 159,407 Less: Accumulated amortization (73,881) (49,927) $ 157,460 $ 109,480 |
Summary of depreciation and amortization expenses | Year ended December 31, Included in Technology 2022 2021 2020 (in thousands) Amortization $ 23,955 $ 20,206 $ 16,641 Impairment $ — $ 728 $ 13,145 |
Short-Term Borrowings (Tables)
Short-Term Borrowings (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Short-Term Borrowings | |
Summary of financial data pertaining to assets sold under agreements to repurchase | Year ended December 31, 2022 2021 2020 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ 2,580,513 $ 6,911,843 $ 3,348,928 Weighted average interest rate (1) 3.59% 2.09% 2.91% Total interest expense $ 105,459 $ 164,132 $ 112,778 Maximum daily amount outstanding $ 7,289,147 $ 10,969,029 $ 9,663,995 December 31, 2022 2021 (dollars in thousands) Carrying value: Unpaid principal balance funded under: Committed facilities $ 2,476,073 $ 5,079,581 Uncommitted facilities 528,617 2,217,779 3,004,690 7,297,360 Unamortized debt issuance costs (3,407) (4,625) $ 3,001,283 $ 7,292,735 Weighted average interest rate 6.00% 1.83% Available borrowing capacity (2): Committed $ 1,078,927 $ 285,419 Uncommitted 5,391,383 8,417,221 $ 6,470,310 $ 8,702,640 Fair value of assets securing repurchase agreements: Loans held for sale $ 3,139,870 $ 8,629,861 Servicing advances (3) $ 381,379 $ 232,107 Mortgage servicing rights (3) $ 5,339,513 $ 3,552,812 Deposits (3) $ 12,277 $ 36,632 (1) Excludes the effect of amortization of debt issuance costs totaling $12.9 million, $19.4 million and $15.3 million for the years ended December 31, 2022, 2021 and 2020, respectively. (2) The amount the Company is able to borrow under asset repurchase agreements is tied to the fair value of unencumbered assets eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the assets financed. Certain of the debt financing agreements contain a condition precedent to obtaining additional funding that requires PLS to maintain positive net income for at least one of the previous two consecutive quarters. (3) Beneficial interests in the Ginnie Mae MSRs, servicing advances and deposits are pledged to the Issuer Trust and together serve as the collateral backing the VFN, GMSR Servicing Advance Notes, and the Term Notes described in Note 13 – Long-Term Debt – Notes payable secured by mortgage servicing assets . The VFN financing and the GMSR Servicing Advance Notes financing 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 December 31, 2022 (1) Unpaid principal balance (dollars in thousands) Within 30 days $ 300,240 Over 30 to 90 days 2,221,473 Over 90 to 180 days 372,517 Over 180 days to one year 10,460 Over one year to two years 100,000 Total assets sold under agreements to repurchase $ 3,004,690 Weighted average maturity (in months) 3.0 (1) The Company is subject to margin calls during the period the agreements are outstanding and therefore may be required to repay a portion of the borrowings before the respective agreements mature if the fair value (as determined by the applicable lender) of the assets securing those agreements decreases. |
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) $ 3,831,311 May 31, 2024 May 31, 2024 Credit Suisse First Boston Mortgage Capital LLC $ 75,634 March 1, 2023 May 31, 2024 Bank of America, N.A. $ 68,918 March 16, 2023 June 5, 2024 Royal Bank of Canada $ 19,895 April 12, 2023 December 14, 2023 JP Morgan Chase Bank, N.A. (EBO facility) $ 13,316 February 14, 2023 October 11, 2024 JP Morgan Chase Bank, N.A. (warehouse facility) $ 11,908 February 26, 2023 June 17, 2024 BNP Paribas $ 11,131 March 19, 2023 July 31, 2024 Wells Fargo Bank, N.A. $ 9,664 March 16, 2023 November 17, 2023 Morgan Stanley Bank, N.A. $ 8,310 March 6, 2023 January 3, 2024 Barclays Bank PLC $ 7,248 November 13, 2024 November 13, 2024 Goldman Sachs $ 4,326 March 19, 2023 December 23, 2023 Citibank, N.A. $ 1,657 February 12, 2023 April 26, 2024 (1) The calculation of the amount at risk includes the VFN and the Term Notes because beneficial interests in the Ginnie Mae MSRs, Fannie Mae MSRs and servicing advances are pledged to the Issuer Trust and together serve as the collateral backing the VFN and the Term Notes described in Notes payable secured by mortgage servicing assets below. The VFN financing is included in Assets sold under agreements to repurchase and the Term Notes are included in Notes payable secured by mortgage servicing assets on the Company's consolidated balance sheets. |
Summary of participating mortgage loans | Year ended December 31, 2022 2021 2020 (dollars in thousands) Average balance $ 211,035 $ 249,255 $ 226,689 Weighted average interest rate (1) 3.16% 1.39% 1.88% Total interest expense $ 7,314 $ 4,153 $ 4,933 Maximum daily amount outstanding $ 515,043 $ 532,819 $ 540,977 (1) Excludes the effect of amortization of debt issuance costs totaling $651,000 , $688,000 and $662,000 for the years ended December 31, 2022, 2021 and 2020, respectively. December 31, 2022 2021 (dollars in thousands) Carrying value: Unpaid principal balance $ 287,943 $ 479,845 Unamortized debt issuance costs (351) — $ 287,592 $ 479,845 Weighted average interest rate 5.71% 1.48% Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements $ 302,977 $ 505,716 |
Long-Term Debt (Tables)
Long-Term Debt (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Long-Term Debt. | |
Summary of term notes issued | 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 (2) 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 the stated maturity. (2) In January 2023, the Company exercised its option to extend the maturity for two years . |
Summary of note payable | Year ended December 31, 2022 2021 2020 (dollars in thousands) Average balance $ 1,584,383 $ 1,300,000 $ 1,300,000 Weighted average interest rate (1) 4.88% 2.89% 3.42% Total interest expense $ 79,813 $ 39,782 $ 46,222 (1) Excludes the effect of amortization of debt issuance costs totaling $2.5 million, $2.2 million and $1.8 million for the years ended December 31, 2022, 2021 and 2020, respectively. December 31, 2022 2021 (dollars in thousands) Carrying value: Unpaid principal balance: Term Notes $ 1,800,000 $ 1,300,000 MSR Note Payable 150,000 — 1,950,000 1,300,000 Unamortized debt issuance costs (7,354) (2,378) $ 1,942,646 $ 1,297,622 Weighted average interest rate 7.46% 2.84% Assets pledged to secure notes payable (1): Servicing advances $ 381,379 $ 232,107 Mortgage servicing rights $ 5,897,613 $ 3,856,791 Deposits $ 12,277 $ 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 financing 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 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 | Year ended December 31, 2022 2021 2020 (dollars in thousands) Average balance $ 1,800,000 $ 1,373,562 $ 158,743 Weighted average interest rate (1) 5.07% 4.94% 5.38% Total interest expense $ 95,014 $ 70,208 $ 8,774 (1) Excludes the effect of amortization of debt issuance costs of $3.7 million, $2.3 million and $225,000 for the years ended December 31, 2022, 2021 and 2020, respectively. 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 (20,080) (23,781) $ 1,779,920 $ 1,776,219 Weighted average interest rate 5.07% 5.07% |
Summary of maturities of Long-Term Debt | Year ended December 31, 2023 2024 2025 2026 2027 Thereafter Total (in thousands) Notes payable secured by mortgage servicing assets $ 1,300,000 $ 150,000 $ — $ — $ 500,000 $ — $ 1,950,000 Unsecured senior notes — — 650,000 — — 1,150,000 1,800,000 Total $ 1,300,000 $ 150,000 $ 650,000 $ — $ 500,000 $ 1,150,000 $ 3,750,000 (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. In January 2023, the Company exercised its option to extend the maturity of $650 million Term Notes originally due on February 25, 2023 for two years . |
Summary of obligations under capital lease | Year ended December 31, 2022 2021 2020 (dollars in thousands) Average balance $ 848 $ 7,999 $ 16,224 Weighted average interest rate 2.18% 2.11% 2.62% Total interest expense $ 20 $ 169 $ 425 Maximum daily amount outstanding $ 3,489 $ 11,864 $ 20,810 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 Re_2
Liability for Losses Under Representations and Warranties (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Liability for Losses Under Representations and Warranties | |
Summary of repurchase activity | Year ended December 31, 2022 2021 2020 (in thousands) Balance at beginning of year $ 43,521 $ 32,688 $ 21,446 Provision for losses: Resulting from sales of loans 9,617 31,590 21,035 Resulting from change in estimate (8,451) (16,037) (8,667) Losses incurred (12,266) (4,720) (1,126) Balance at end of year $ 32,421 $ 43,521 $ 32,688 Unpaid principal balance of loans subject to representations and warranties at end of year $ 296,774,121 $ 257,369,777 $ 210,222,447 |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Income Taxes | |
Schedule of the Company's income tax expense (benefit) | Year ended December 31, 2022 2021 2020 (in thousands) Current (benefit) expense: Federal $ (2,944) $ 101,659 $ 378,984 State (249) 39,551 128,495 Total current (benefit) expense (3,193) 141,210 507,479 Deferred expense: Federal 131,670 160,587 61,592 State 61,263 53,896 24,654 Total deferred expense 192,933 214,483 86,246 Total provision for income taxes $ 189,740 $ 355,693 $ 593,725 |
Schedule of reconciliation of the Company's provision for income taxes at statutory rates to the provision for income taxes at the Company's effective tax rate | Year ended December 31, 2022 2021 2020 Federal income tax statutory rate 21.0% 21.0% 21.0% State income taxes, net of federal benefit 5.9% 5.4% 5.5% Tax rate revaluation 1.2% 0.0% (0.1)% Other 0.4% (0.2)% 0.1% Effective income tax rate 28.5% 26.2% 26.5% |
Schedule of components of the Company's provision for deferred income taxes | Year ended December 31, 2022 2021 2020 (in thousands) Mortgage servicing rights $ 326,378 $ 196,697 $ 128,471 Net operating loss (160,605) — 581 Reserves and losses 13,480 15,736 (33,477) Compensation accruals 10,473 (11,456) (647) Additional tax basis in partnership from exchanges of partnership units into the Company's common stock 4,517 4,420 5,200 California franchise taxes 4,447 10,753 (15,200) Tax credits — 50 — Other (5,757) (1,717) 1,318 Total provision for deferred income taxes $ 192,933 $ 214,483 $ 86,246 |
Schedule of components of income taxes payable, net | December 31, 2022 2021 (in thousands) Current income tax receivable $ (1,993) $ (126,542) Deferred income tax liability, net 1,004,737 811,804 Income taxes payable $ 1,002,744 $ 685,262 |
Schedule of tax effects of temporary differences that gave rise to deferred income tax assets and liabilities | December 31, 2022 2021 (in thousands) Deferred income tax assets: Net operating loss carryforward $ 161,682 $ 1,077 Compensation accruals 42,668 53,141 Additional tax basis in partnership from exchanges of partnership units into the Company's common stock 25,760 30,277 Reserves and losses 33,795 47,275 California franchise tax — 4,447 Other 6,159 5,661 Gross deferred income tax assets 270,064 141,878 Deferred income tax liabilities: Mortgage servicing rights 1,260,181 933,803 Other 14,620 19,879 Gross deferred income tax liabilities 1,274,801 953,682 Net deferred income tax liability $ 1,004,737 $ 811,804 |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Stockholders' Equity. | |
Summary of share repurchase activity | Year ended December 31, Cumulative 2022 2021 2020 total (1) (in thousands) Shares of common stock repurchased 7,788 15,368 8,890 32,862 Cost of shares of common stock repurchased $ 406,086 $ 958,194 $ 337,479 $ 1,716,707 (1) Amounts represent the total shares of common stock repurchased under the stock repurchase program through December 31, 2022. |
Net Gains on Loans Held for S_2
Net Gains on Loans Held for Sale (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Net Gains on Loans Held for Sale | |
Net Gains on Loans Held for Sale | Year ended December 31, 2022 2021 2020 (in thousands) From non-affiliates: Cash (losses) gains: Loans $ (2,128,195) $ 600,840 $ 2,025,260 Hedging activities 1,347,843 443,341 (767,588) (780,352) 1,044,181 1,257,672 Non-cash gains: Mortgage servicing rights and mortgage servicing liabilities resulting from loan sales 1,718,094 1,755,318 1,114,720 Provisions for losses relating to representations and warranties: Pursuant to loan sales (9,617) (31,590) (21,035) Reductions in liability due to change in estimate 8,451 16,037 8,667 Changes in fair values of loans and derivatives held at year end: Interest rate lock commitments (296,349) (354,833) 540,376 Loans 188,849 210,961 (326,986) Hedging derivatives (20,879) (124,200) 116,690 808,197 2,515,874 2,690,104 From PennyMac Mortgage Investment Trust (1) (16,564) (51,473) 50,681 $ 791,633 $ 2,464,401 $ 2,740,785 (1) Gains on sales of loans to PMT are described in Note 4– Transactions with Affiliates. |
Net Interest Expense (Tables)
Net Interest Expense (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Net Interest Expense | |
Summary of net interest expense | Year ended December 31, 2022 2021 2020 (in thousands) Interest income: From non-affiliates: Cash and short-term investments $ 19,839 $ 3,280 $ 6,154 Loans held for sale at fair value 172,124 275,176 184,789 Placement fees relating to custodial funds 102,099 21,326 52,758 294,062 299,782 243,701 From PennyMac Mortgage Investment Trust— Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell — 387 3,325 294,062 300,169 247,026 Interest expense: To non-affiliates: Assets sold under agreements to repurchase 105,459 164,132 112,778 Mortgage loan participation purchase and sale agreements 7,314 4,153 4,933 Notes payable secured by mortgage servicing assets 79,813 39,782 46,222 Unsecured senior notes 95,014 70,208 8,774 Obligations under capital lease 20 169 425 Corporate revolving line of credit — — 1,537 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 40,741 105,430 82,285 Interest on mortgage loan impound deposits 7,066 5,545 6,179 335,427 389,419 263,133 To PennyMac Mortgage Investment Trust— Excess servicing spread financing at fair value — 1,280 8,418 335,427 390,699 271,551 $ (41,365) $ (90,530) $ (24,525) |
Stock-based Compensation (Table
Stock-based Compensation (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Summary of the stock-based compensation expense by instrument awarded | Year ended December 31, 2022 2021 2020 (in thousands) Performance-based RSUs $ 18,096 $ 23,166 $ 20,610 Time-based RSUs 14,837 10,184 9,515 Stock options 9,619 4,444 14,980 $ 42,552 $ 37,794 $ 45,105 |
Summary of valuation assumptions, stock options | Year ended December 31, 2022 2021 2020 Expected volatility (1) 37% 38% 34% Expected dividends 1.4% 1.4% 1.4% Risk-free interest rate 1.1% - 2.1% 0.1% - 1.7% 0.1% - 1.5% Expected grantee forfeiture rate 0% - 5.1% 0% - 6.7% 0% - 6.7% (1) Based on historical volatilities of the Company’s common stock. |
Summary of Stock Option award activity | Year ended December 31, 2022 2021 2020 (in thousands, except per option amounts) Number of stock options: Outstanding at beginning of year 3,906 4,040 3,699 Granted 574 249 876 Exercised (155) (377) (530) Forfeited (8) (6) (5) Outstanding at end of year 4,317 3,906 4,040 Weighted average exercise price per option: Outstanding at beginning of year $ 28.43 $ 28.01 $ 18.40 Granted $ 57.10 $ 58.85 $ 52.00 Exercised $ 21.09 $ 19.96 $ 17.72 Forfeited $ 53.10 $ 39.52 $ 20.61 Outstanding at end of year $ 32.46 $ 28.43 $ 28.01 Number of options exercisable at end of year (in thousands) 3,488 Weighted average exercise price per exercisable option $ 27.09 Weighted average remaining contractual term (in years): Outstanding 5.2 Exercisable 4.4 Aggregate intrinsic value: Outstanding (in thousands) $ 107,080 Exercisable (in thousands) $ 105,114 Expected vesting amounts: Number of options expected to vest (in thousands) 825 Weighted average vesting period (in months) 11 |
Performance-based RSUs | |
Summary of RSU activity and compensation expense | Year ended December 31, 2022 2021 2020 (in thousands, except per unit amounts) Number of units: Outstanding at beginning of year 1,226 1,583 1,807 Granted 342 310 440 Vested (1) (509) (634) (645) Forfeited or cancelled (83) (33) (19) Outstanding at end of year 976 1,226 1,583 Weighted average grant date fair value per unit: Outstanding at beginning of year $ 36.12 $ 27.02 $ 21.67 Granted $ 57.10 $ 58.85 $ 35.95 Vested $ 23.40 $ 24.47 $ 18.16 Forfeited $ 49.14 $ 36.91 $ 26.71 Outstanding at end of year $ 48.94 $ 36.12 $ 27.02 (1) The actual number of performance-based RSUs vested during the years ended December 31, 2022, 2021 and 2020 was 654,000 , 781,000 and 608,000 shares, respectively, which is approximately 128% , 123% and 94% of the 509,000 , 634,000 and 645,000 originally granted units, respectively, due to the performance varying from the established target for the respective grant. Unamortized compensation cost (in thousands) $ 12,021 Number of shares expected to vest (in thousands) 908 Weighted average remaining vesting period (in months) 11 |
Time-based RSUs | |
Summary of RSU activity and compensation expense | Year ended December 31, 2022 2021 2020 (in thousands, except per unit amounts) Number of units: Outstanding at beginning of year 434 587 642 Granted 331 173 311 Vested (246) (312) (357) Forfeited (36) (14) (9) Outstanding at end of year 483 434 587 Weighted average grant date fair value per unit: Outstanding at beginning of year $ 41.74 $ 29.37 $ 22.40 Granted $ 57.10 $ 58.90 $ 34.98 Vested $ 37.34 $ 28.08 $ 21.75 Forfeited $ 51.97 $ 39.48 $ 28.14 Outstanding at end of year $ 53.71 $ 41.74 $ 29.37 Unamortized compensation cost (in thousands) $ 7,214 Number of units expected to vest (in thousands) 460 Weighted average remaining vesting period (in months) 10 |
Earnings Per Share of Common _2
Earnings Per Share of Common Stock (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Earnings Per Share of Common Stock | |
Summary of basic and diluted earnings per share calculations | Year ended December 31, 2022 2021 2020 (in thousands, except per share amounts) Net income $ 475,507 $ 1,003,490 $ 1,646,884 Weighted average shares of common stock outstanding 53,065 63,799 75,161 Effect of dilutive securities - shares issuable under stock-based compensation plan 2,885 3,672 3,567 Weighted average diluted shares of common stock outstanding 55,950 67,471 78,728 Basic earnings per share $ 8.96 $ 15.73 $ 21.91 Diluted earnings per share $ 8.50 $ 14.87 $ 20.92 |
Schedule of anti-dilutive shares outstanding | Year ended December 31, 2022 2021 2020 (in thousands except for weighted average exercise price) Performance-based RSUs (1) 281 223 322 Time-based RSUs 62 1 — Stock options (2) 1,339 211 83 Total anti-dilutive units and options 1,682 435 405 Weighted average exercise price of anti-dilutive stock options (2) $ 58.58 $ 58.85 $ 43.89 (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 price for the year. |
Regulatory Capital and Liquid_2
Regulatory Capital and Liquidity Requirements (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Regulatory Capital and Liquidity Requirements | |
Summary of agencies' capital and liquidity requirements by each agency | December 31, 2022 December 31, 2021 Requirement/Agency Actual (1) Requirement (1) Actual (1) Requirement (1) (dollars in thousands) Capital Fannie Mae & Freddie Mac $ 6,632,627 $ 797,748 $ 5,872,064 $ 722,040 Ginnie Mae $ 5,899,892 $ 923,202 $ 5,424,747 $ 976,303 HUD $ 5,899,892 $ 2,500 $ 5,424,747 $ 2,500 Liquidity Fannie Mae & Freddie Mac $ 1,265,569 $ 107,768 $ 316,659 $ 93,973 Ginnie Mae $ 1,265,569 $ 246,953 $ 316,659 $ 220,577 Adjusted net worth / Total assets ratio Ginnie Mae 35 % 6 % 29 % 6 % Tangible net worth / Total assets ratio Fannie Mae & Freddie Mac 39 % 6 % 32 % 6 % (1) Calculated in compliance with the respective Agency’s requirements. |
Segments (Tables)
Segments (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Segments | |
Summary of financial highlights by segment | Year ended December 31, 2022 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on loans held for sale at fair value $ 599,896 $ 191,737 $ 791,633 $ — $ 791,633 Loan origination fees 169,859 — 169,859 — 169,859 Fulfillment fees from PennyMac Mortgage Investment Trust 67,991 — 67,991 — 67,991 Net loan servicing fees — 951,329 951,329 — 951,329 Net interest income (expense): Interest income 133,000 161,062 294,062 — 294,062 Interest expense 108,072 227,355 335,427 — 335,427 24,928 (66,293) (41,365) — (41,365) Management fees — — — 31,065 31,065 Other 2,503 3,727 6,230 9,013 15,243 Total net revenue 865,177 1,080,500 1,945,677 40,078 1,985,755 Expenses 816,697 466,874 1,283,571 36,937 1,320,508 Income before provision for income taxes $ 48,480 $ 613,626 $ 662,106 $ 3,141 $ 665,247 Segment assets at year end $ 3,866,934 $ 12,929,233 $ 16,796,167 $ 26,417 $ 16,822,584 (1) All revenues are from external customers. Year ended December 31, 2021 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on loans held for sale at fair value $ 1,746,650 $ 717,751 $ 2,464,401 $ — $ 2,464,401 Loan origination fees 384,154 — 384,154 — 384,154 Fulfillment fees from PennyMac Mortgage Investment Trust 178,927 — 178,927 — 178,927 Net loan servicing fees — 182,954 182,954 — 182,954 Net interest income (expense): Interest income 134,706 165,463 300,169 — 300,169 Interest expense 139,296 251,393 390,689 10 390,699 (4,590) (85,930) (90,520) (10) (90,530) Management fees — — — 37,801 37,801 Other 1,623 2,520 4,143 5,511 9,654 Total net revenue 2,306,764 817,295 3,124,059 43,302 3,167,361 Expenses 1,262,353 510,617 1,772,970 35,208 1,808,178 Income before provision for income taxes $ 1,044,411 $ 306,678 $ 1,351,089 $ 8,094 $ 1,359,183 Segment assets at year end $ 8,934,032 $ 9,821,436 $ 18,755,468 $ 21,144 $ 18,776,612 (1) All revenues are from external customers. Year ended December 31, 2020 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on loans held for sale at fair value $ 2,297,108 $ 443,677 $ 2,740,785 $ — $ 2,740,785 Loan origination fees 285,551 — 285,551 — 285,551 Fulfillment fees from PennyMac Mortgage Investment Trust 222,200 — 222,200 — 222,200 Net loan servicing fees — 439,448 439,448 — 439,448 Net interest income (expense): Interest income 101,605 145,421 247,026 — 247,026 Interest expense 82,160 189,368 271,528 23 271,551 19,445 (43,947) (24,502) (23) (24,525) Management fees — — — 34,538 34,538 Other 695 1,584 2,279 5,321 7,600 Total net revenue 2,824,999 840,762 3,665,761 39,836 3,705,597 Expenses 860,878 578,618 1,439,496 25,492 1,464,988 Income before provision for income taxes $ 1,964,121 $ 262,144 $ 2,226,265 $ 14,344 $ 2,240,609 Segment assets at year end $ 7,870,398 $ 23,709,122 $ 31,579,520 $ 18,275 $ 31,597,795 (1) All revenues are from external customers. |
Parent Company Information (Tab
Parent Company Information (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Parent Company Information | |
Schedule of condensed balance sheets of Parent Company | December 31, 2022 2021 (in thousands) ASSETS Cash $ 45,496 $ 9,276 Investments in subsidiaries 4,421,906 4,217,461 Receivable from PennyMac Mortgage Investment Trust 27 27 Due from subsidiaries 1,509,103 1,477,332 Total assets $ 5,976,532 $ 5,704,096 LIABILITIES AND STOCKHOLDERS' EQUITY Unsecured senior notes $ 1,779,920 $ 1,776,219 Accounts payable and accrued expenses 26,356 28,135 Payable to subsidiaries 135 116 Income taxes payable 699,072 481,301 Total liabilities 2,505,483 2,285,771 Stockholders' equity 3,471,049 3,418,325 Total liabilities and stockholders' equity $ 5,976,532 $ 5,704,096 |
Schedule of condensed statements of income of Parent Company | Year ended December 31, 2022 2021 2020 (in thousands) Revenues Dividends from subsidiaries $ 417,391 $ 982,740 $ 602,606 Net interest income: Interest income from subsidiary 121,452 77,162 15,830 Interest expense: To non-affiliates 95,014 70,208 8,774 To subsidiary — — 83 95,014 70,208 8,857 Net interest income 26,438 6,954 6,973 Total net revenues 443,829 989,694 609,579 Expenses Charitable contributions — 5,800 2,314 Professional services — 2,236 42 Other 267 449 327 Total expenses 267 8,485 2,683 Income before provision for income taxes and equity in undistributed earnings of subsidiaries 443,562 981,209 606,896 Provision for income taxes 129,948 238,803 395,340 Income before equity in undistributed earnings of subsidiaries 313,614 742,406 211,556 Equity in undistributed earnings of subsidiaries 161,893 261,084 1,435,328 Net income $ 475,507 $ 1,003,490 $ 1,646,884 |
Schedule of condensed statements of cash flows of Parent Company | Year ended December 31, 2022 2021 2020 (in thousands) Cash flows from operating activities Net income $ 475,507 $ 1,003,490 $ 1,646,884 Adjustments to reconcile net income to net cash provided by operating activities Equity in undistributed earnings of subsidiaries (161,893) (261,084) (1,435,328) Amortization of net debt issuance cost 3,701 2,321 225 Increase in receivable from PennyMac Mortgage Investment Trust — (27) — (Increase) decrease in intercompany receivable (31,566) (897,063) (574,518) Increase in accounts payable and accrued expenses (1,779) 13,545 14,590 (Decrease) increase in payable to subsidiaries 19 (22,289) 18,211 Increase in income taxes payable 217,771 35,839 65,406 Net cash provided by (used in) operating activities 501,760 (125,268) (264,530) Cash flows from financing activities Issuance of unsecured senior notes — 1,150,000 650,000 Payment of debt issuance costs — (21,922) (4,405) Payment of dividend to holders of common stock (54,621) (52,896) (30,947) Issuance of common stock pursuant to exercise of stock options 2,947 7,536 9,389 Payment of withholding taxes relating to stock-based compensation (7,780) (8,993) (5,265) Repurchase of common stock (406,086) (958,194) (337,479) Net cash (used in) provided by financing activities (465,540) 115,531 281,293 Net increase (decrease) in cash (1) 36,220 (9,737) 16,763 Cash at beginning of year 9,276 19,013 2,250 Cash at end of year $ 45,496 $ 9,276 $ 19,013 Supplemental cash flow information: Non-cash financing activity: Issuance of common stock in settlement of directors' fees $ 205 $ 200 $ 194 (1) The Company did no t hold restricted cash during the years presented. |
Concentration of Risk (Details)
Concentration of Risk (Details) - PennyMac Mortgage Investment Trust - Customer Concentration Risk | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Net Revenue | |||
Concentration of Risk | |||
Percentage of total | 9% | 9% | 11% |
Loan Production | |||
Concentration of Risk | |||
Percentage of total | 70% | 53% | 64% |
Significant Accounting Polici_3
Significant Accounting Policies - (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Significant Accounting Policies | ||||
Mortgage servicing rights, at fair value | $ 5,953,621 | $ 3,878,078 | ||
Income taxes payable | 1,002,744 | 685,262 | ||
Stockholders' equity | $ 3,471,049 | $ 3,418,325 | $ 3,389,388 | $ 2,061,507 |
Significant Accounting Polici_4
Significant Accounting Policies - Long-lived Assets (Details) | 12 Months Ended |
Dec. 31, 2022 | |
Capitalized Software | |
Period of payment default | 3 months |
Furniture, Fixtures, Equipment and Building Improvements | Minimum | |
Capitalized Software | |
Estimated useful lives | 5 years |
Furniture, Fixtures, Equipment and Building Improvements | Maximum | |
Capitalized Software | |
Estimated useful lives | 7 years |
Capitalized software | Minimum | |
Capitalized Software | |
Estimated useful lives | 3 years |
Capitalized software | Maximum | |
Capitalized Software | |
Estimated useful lives | 7 years |
Significant Accounting Polici_5
Significant Accounting Policies - Fulfillment Fees and Management Fees (Details) | 12 Months Ended |
Dec. 31, 2022 | |
Significant Accounting Policies | |
Number of days fees are collected from Advised Entities | 30 days |
Fulfillment Fees | |
Number of days from purchase fulfillment fees are collected | 30 days |
Management fees | |
The period from quarter end that management fees are collected | 30 days |
Significant Accounting Polici_6
Significant Accounting Policies - Income Taxes (Details) | 12 Months Ended |
Dec. 31, 2022 | |
Income Taxes | |
Amount of tax benefits under the tax sharing agreement (as a percent) | 85% |
Transactions with Related Par_3
Transactions with Related Parties - Correspondent Production (Details) - USD ($) | 12 Months Ended | |||||
Jul. 01, 2020 | Jun. 30, 2020 | Sep. 12, 2016 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Lending activity between the entity and affiliate | ||||||
Net gains on loans held for sale at fair value | $ (791,633,000) | $ (2,464,401,000) | $ (2,740,785,000) | |||
Sale of loans held for sale to PMT | 298,862,000 | 2,248,896,000 | ||||
Fulfillment fee revenue | 67,991,000 | 178,927,000 | 222,200,000 | |||
Proceeds from sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust | 298,862,000 | 2,248,896,000 | ||||
Ginnie Mae Mortgage Backed Securities Guide Loan | ||||||
Transactions with Affiliates | ||||||
Threshold limit of loan commitment | $ 16,500 | |||||
Threshold limit of loan | 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 | |||||
MBS Agreement | ||||||
Transactions with Affiliates | ||||||
The administrative fee plus accrued interest and sourcing fee percent | 0.35% | |||||
Fulfillment fee as a percent of UPB of all other mortgage loans, excluding Ginnie Mae mortgage loans | 0.50% | |||||
MSR Recapture Agreement | ||||||
Transactions with Affiliates | ||||||
Percentage of recapture rate. | 15% | |||||
Lending activity between the entity and affiliate | ||||||
Minimum percent of total UPB of loans originated from refinancing of loans which a related party previously held the MSR required to be transferred | 30% | |||||
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 | 16,564,000 | 51,473,000 | (50,681,000) | |||
Fulfillment fee revenue | 67,991,000 | 178,927,000 | 222,200,000 | |||
PennyMac Mortgage Investment Trust | MBS Agreement | Minimum | ||||||
Transactions with Affiliates | ||||||
The administrative fee plus accrued interest and sourcing fee percent | 0.02% | |||||
PennyMac Mortgage Investment Trust | MBS Agreement | Maximum | ||||||
Transactions with Affiliates | ||||||
The administrative fee plus accrued interest and sourcing fee percent | 0.035% | |||||
PennyMac Mortgage Investment Trust | Mortgage Lending | ||||||
Lending activity between the entity and affiliate | ||||||
Net (losses) gains on loans held for sale to PMT | (2,820,000) | 81,295,000 | ||||
Mortgage servicing rights and excess servicing spread recapture incurred | (13,744,000) | (51,473,000) | (30,614,000) | |||
Total of gain on sale of loans and MSR recapture | (16,564,000) | (51,473,000) | 50,681,000 | |||
Sale of loans held for sale to PMT | 298,862,000 | 2,248,896,000 | ||||
Tax service fee | 8,418,000 | 26,126,000 | 23,408,000 | |||
Fulfillment fee revenue | 67,991,000 | 178,927,000 | 222,200,000 | |||
Unpaid principal balance of loans fulfilled for PMT | 37,090,031,000 | 110,003,574,000 | 100,389,252,000 | |||
Sourcing fees paid | 4,968,000 | 6,472,000 | 11,037,000 | |||
Unpaid principal balance of loans purchased from PMT | 49,680,267,000 | $ 64,774,728,000 | 60,540,530,000 | |||
Proceeds from sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust | $ 298,862,000 | $ 2,248,896,000 | ||||
PLS | Minimum | ||||||
Transactions with Affiliates | ||||||
Sourcing fees (as a percent) | 0.01% | |||||
PLS | Maximum | ||||||
Transactions with Affiliates | ||||||
Sourcing fees (as a percent) | 0.02% | |||||
PLS | Ginnie Mae Mortgage Backed Securities Guide Loan | ||||||
Transactions with Affiliates | ||||||
Fulfilment fee payable | $ 0 |
Transactions with Related Par_4
Transactions with Related Parties - Mortgage Loan Servicing (Details) - USD ($) | 12 Months Ended | |||
Sep. 12, 2016 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Loan Servicing Agreement | ||||
Transactions with Affiliates | ||||
Base servicing fees per month for REO | $ 75 | |||
Base servicing fees per month for fixed-rate non-distressed loans subserviced | 7.50 | |||
Base servicing fees per month for adjustable rate non-distressed loans subserviced | 8.50 | |||
Supplemental fee per month for each distressed whole loan | 25 | |||
Minimum | Loan Servicing Agreement | ||||
Transactions with Affiliates | ||||
Servicing fees amount per month for current loans | 30 | |||
Additional servicing fee amount per month for delinquent loans | 10 | |||
Maximum | Loan Servicing Agreement | ||||
Transactions with Affiliates | ||||
Servicing fees amount per month for current loans | 95 | |||
Additional servicing fee amount per month for delinquent loans | $ 55 | |||
PennyMac Mortgage Investment Trust | ||||
Summary of mortgage loan servicing fees earned | ||||
Loan servicing fees | $ 81,915,000 | $ 80,658,000 | $ 67,181,000 | |
PennyMac Mortgage Investment Trust | Loans acquired for sale at fair value | ||||
Summary of mortgage loan servicing fees earned | ||||
Loan servicing fees | 1,018,000 | 2,363,000 | 2,067,000 | |
PennyMac Mortgage Investment Trust | Distressed loans | ||||
Summary of mortgage loan servicing fees earned | ||||
Loan servicing fees | 529,000 | 505,000 | 807,000 | |
PennyMac Mortgage Investment Trust | Mortgage servicing rights | ||||
Summary of mortgage loan servicing fees earned | ||||
Loan servicing fees | $ 80,368,000 | $ 77,790,000 | $ 64,307,000 |
Transactions with Related Par_5
Transactions with Related Parties - Management Fees (Details) - USD ($) | 12 Months Ended | |||
Sep. 12, 2016 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Management Fee Revenue Abstract | ||||
Management fees | $ 31,065,000 | $ 37,801,000 | $ 34,538,000 | |
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 | 31,065,000 | 34,794,000 | 34,538,000 | |
Performance incentive | 3,007,000 | |||
Management fees | $ 31,065,000 | $ 37,801,000 | $ 34,538,000 | |
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% |
Transactions with Related Par_6
Transactions with Related Parties - Other Transactions, Reimbursement of Common Overhead Expenses (Details) - USD ($) | 12 Months Ended | 30 Months Ended | 46 Months Ended | ||||
Jul. 01, 2020 | Sep. 12, 2016 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2022 | Jun. 30, 2020 | |
PennyMac Mortgage Investment Trust | |||||||
Transactions with Affiliates | |||||||
Expense reimbursement amount, per quarter, relating to personnel | $ 120,000 | ||||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | |||||||
Reimbursement of common overhead and expenses incurred by the Company | $ 33,077,000 | $ 24,378,000 | $ 28,325,000 | ||||
Payments and settlements during the year | 144,012,000 | 284,381,000 | 378,162,000 | ||||
PennyMac Mortgage Investment Trust | Common overhead incurred | |||||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | |||||||
Reimbursement of common overhead and expenses incurred by the Company | 8,588,000 | 4,906,000 | 5,172,000 | ||||
PennyMac Mortgage Investment Trust | Compensation | |||||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | |||||||
Reimbursement of common overhead and expenses incurred by the Company | 660,000 | 660,000 | 570,000 | ||||
PennyMac Mortgage Investment Trust | 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 | $ 23,829,000 | $ 18,812,000 | $ 22,583,000 | ||||
PCM | |||||||
Transactions with Affiliates | |||||||
Expense reimbursement amount, per quarter, relating to personnel | $ 165,000 | $ 120,000 | |||||
Related party transaction, renewal period | 5 years |
Transactions with Related Par_7
Transactions with Related Parties - Investing Activities (Details) $ in Thousands | 12 Months Ended | |||
Dec. 19, 2016 item | Dec. 31, 2022 USD ($) shares | Dec. 31, 2021 USD ($) shares | Dec. 31, 2020 USD ($) | |
Activity during the period: | ||||
Interest income | $ 294,062 | $ 300,169 | $ 247,026 | |
Activity during the period: | ||||
Balance at end of period | (235) | 336 | (453) | |
Fair value of PennyMac Mortgage Investment Trust shares | $ 929 | 1,300 | ||
PennyMac Holdings, L L C Repurchase Agreement | ||||
Transactions with Affiliates | ||||
Number of subsidiaries entered into master repurchase agreement | item | 1 | |||
PennyMac Mortgage Investment Trust | ||||
Transactions with Affiliates | ||||
Common shares of beneficial interest owned | shares | 75,000 | |||
Activity during the period: | ||||
Interest income | 387 | 3,325 | ||
Activity during the period: | ||||
Dividends received from PennyMac Mortgage Investment Trust | $ 136 | 141 | 114 | |
Change in fair value of investment in Common shares of PennyMac Mortgage Investment Trust | (371) | 195 | (567) | |
Balance at end of period | (235) | 336 | (453) | |
Fair value of PennyMac Mortgage Investment Trust shares | $ 929 | $ 1,300 | ||
Number of shares | shares | 75,000 | 75,000 | ||
PennyMac Mortgage Investment Trust | PennyMac Holdings, L L C Repurchase Agreement | ||||
Repurchase agreement with PennyMac Mortgage Investment Trust: | ||||
Net repayments of assets purchased from PMT under agreement to resell | $ 80,862 | 26,650 | ||
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell pledged to creditors | 80,862 | |||
Activity during the period: | ||||
Interest income on receivable from PennyMac Mortgage Investment Trust | $ 387 | 3,325 | ||
Activity during the period: | ||||
Loans and Leases Receivable, Related Parties | $ 80,862 |
Transactions with Related Par_8
Transactions with Related Parties - Financing Activities (Details) - USD ($) | 12 Months Ended | |||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 19, 2016 | |
Financing activities: | ||||
Issuance pursuant to recapture agreement | $ 557,000 | $ 2,093,000 | ||
Interest Expense | $ 335,427,000 | 390,699,000 | 271,551,000 | |
Repayments | 134,624,000 | 32,377,000 | ||
Change in fair value | (1,037,000) | 24,970,000 | ||
PennyMac Mortgage Investment Trust | ||||
Financing activities: | ||||
Interest Expense | 1,280,000 | 8,418,000 | ||
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 year | 131,750,000 | 178,586,000 | ||
Issuance pursuant to recapture agreement | 557,000 | 2,093,000 | ||
Repayments | (134,624,000) | (32,377,000) | ||
Change in fair value | 1,037,000 | (24,970,000) | ||
Balance at the end of the year | 131,750,000 | |||
interest expense | 1,280,000 | 8,418,000 | ||
Excess servicing spread recapture recognized | $ 614,000 | $ 2,241,000 |
Transactions with Related Par_9
Transactions with Related Parties - Amounts due from Affiliate (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Amounts due from affiliate | ||
Total due from affiliate | $ 36,372 | $ 40,091 |
Payable to affiliate | ||
Payable to affiliates | 205,011 | 228,019 |
PennyMac Mortgage Investment Trust | ||
Amounts due from affiliate | ||
Allocated expenses | 11,447 | 15,431 |
Management fees | 7,307 | 8,918 |
Correspondent production fees | 6,835 | 8,894 |
Servicing fees | 6,740 | 6,848 |
Fulfillment fees | 4,043 | |
Total due from affiliate | 36,372 | 40,091 |
Payable to affiliate | ||
Amounts advanced by PMT | 201,451 | 212,066 |
Other expenses | 3,560 | 15,953 |
Payable to affiliates | $ 205,011 | $ 228,019 |
Transactions with Related Pa_10
Transactions with Related Parties - Amounts due from Investment Funds (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Amounts due from affiliate | ||
Total due from affiliate | $ 36,372 | $ 40,091 |
Payable to affiliates | $ 205,011 | $ 228,019 |
Transactions with Related Pa_11
Transactions with Related Parties - Exchanged Private National Mortgage Acceptance Company, LLC Unitholders (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 27, 2022 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
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) | $ (4,635) | $ (10,713) | |
Repricing of payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | (576) | (280) | ||
Private National Mortgage Acceptance Company | ||||
Transactions with Affiliates | ||||
Payments to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | 3,855 | 4,635 | 10,713 | |
Repricing of payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | (576) | (280) | ||
Payable to exchanged PNMAC unitholders under tax receivable agreement | 26,099 | 30,530 | 35,165 | |
Related Party Donor Advised Fund | ||||
Transactions with Affiliates | ||||
Charitable contributions | $ 0 | $ 5,800 | $ 2,300 | |
Townsgate Closing Services, LLC | ||||
Transactions with Affiliates | ||||
Advances to related party | $ 801,000 | |||
Maximum commitment amount | $ 1,500 | |||
Advances stated percentage | 10.75% | |||
Advances variable rate | 10+ year USD High Yield Corporate Bond Index |
Loan Sales and Servicing Acti_3
Loan Sales and Servicing Activities - Summary of Cash Flows with Transferees (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Cash flows: | |||
Sales proceeds | $ 84,345,379 | $ 154,450,942 | $ 102,840,312 |
Servicing fees received | 931,315 | 840,104 | $ 678,142 |
Period end information: | |||
Unpaid principal balance of loans outstanding | 295,032,674 | 254,524,015 | |
30-89 days | 11,019,194 | 6,129,597 | |
90 days or more - Not in foreclosure | 6,548,849 | 8,399,299 | |
90 days or more - In foreclosure | 834,155 | 715,016 | |
90 days or more - Foreclosed | 12,905 | 6,900 | |
Bankruptcy | 1,143,484 | 1,039,362 | |
30-89 days delinquent under CARES Act | 950,172 | 1,020,290 | |
90 days or more delinquent not in foreclosure under CARES Act | 2,934,718 | 2,550,703 | |
Total delinquent loans in COVID-19 pandemic related forbearance | $ 3,884,890 | $ 3,570,993 |
Loan Sales and Servicing Acti_4
Loan Sales and Servicing Activities - Summary of Mortgage Servicing Portfolio (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Mortgage servicing portfolio | ||
Loans held for sale | $ 3,498,214 | $ 9,430,766 |
Total loans serviced | 551,674,682 | 509,708,281 |
Delinquent loans: | ||
30 days | 10,480,243 | 6,312,600 |
60 days | 3,192,257 | 1,795,509 |
90 days or more - Not in foreclosure | 7,718,042 | 10,751,765 |
90 days or more - In foreclosure | 989,225 | 873,287 |
90 days or more - Foreclosed | 21,814 | 24,506 |
Total delinquent mortgage loans | 22,401,581 | 19,757,667 |
Bankruptcy | 1,416,757 | 1,395,635 |
Delinquent loans in COVID-19 related forbearance | ||
30 days | 541,586 | 635,741 |
60 days | 616,206 | 646,524 |
90 days or more | 3,509,412 | 3,370,792 |
Total delinquent loans in COVID-19 related forbearance | 4,667,204 | 4,653,057 |
Custodial funds managed by the Company | 5,112,866 | 12,308,608 |
Servicing rights owned | ||
Mortgage servicing portfolio | ||
Loans held for sale | 3,498,214 | 9,430,766 |
Total loans serviced | 318,099,010 | 287,816,139 |
Delinquent loans: | ||
30 days | 8,903,829 | 5,338,545 |
60 days | 2,855,176 | 1,604,782 |
90 days or more - Not in foreclosure | 6,829,985 | 9,001,137 |
90 days or more - In foreclosure | 914,213 | 829,494 |
90 days or more - Foreclosed | 13,835 | 8,017 |
Total delinquent mortgage loans | 19,517,038 | 16,781,975 |
Bankruptcy | 1,291,038 | 1,261,980 |
Delinquent loans in COVID-19 related forbearance | ||
30 days | 453,562 | 554,161 |
60 days | 527,035 | 556,990 |
90 days or more | 3,042,923 | 2,732,089 |
Total delinquent loans in COVID-19 related forbearance | 4,023,520 | 3,843,240 |
Custodial funds managed by the Company | 3,329,709 | 8,485,081 |
Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Total loans serviced | 233,575,672 | 221,892,142 |
Delinquent loans: | ||
30 days | 1,576,414 | 974,055 |
60 days | 337,081 | 190,727 |
90 days or more - Not in foreclosure | 888,057 | 1,750,628 |
90 days or more - In foreclosure | 75,012 | 43,793 |
90 days or more - Foreclosed | 7,979 | 16,489 |
Total delinquent mortgage loans | 2,884,543 | 2,975,692 |
Bankruptcy | 125,719 | 133,655 |
Delinquent loans in COVID-19 related forbearance | ||
30 days | 88,024 | 81,580 |
60 days | 89,171 | 89,534 |
90 days or more | 466,489 | 638,703 |
Total delinquent loans in COVID-19 related forbearance | 643,684 | 809,817 |
Custodial funds managed by the Company | 1,783,157 | 3,823,527 |
Non affiliated entities | ||
Mortgage servicing portfolio | ||
Originated | 295,032,674 | 254,524,015 |
Purchased | 19,568,122 | 23,861,358 |
Total loans serviced, excluding loans held for sale | 314,600,796 | 278,385,373 |
Non affiliated entities | Servicing rights owned | ||
Mortgage servicing portfolio | ||
Originated | 295,032,674 | 254,524,015 |
Purchased | 19,568,122 | 23,861,358 |
Total loans serviced, excluding loans held for sale | 314,600,796 | 278,385,373 |
Affiliated entities | ||
Mortgage servicing portfolio | ||
Advised entities | 233,575,672 | 221,892,142 |
Affiliated entities | Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Advised entities | $ 233,575,672 | $ 221,892,142 |
Loan Sales and Servicing Acti_5
Loan Sales and Servicing Activities - Geographical Distribution of Loans (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 551,674,682 | $ 509,708,281 |
California | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 68,542,279 | 67,317,935 |
Florida | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 50,873,961 | 45,222,233 |
Texas | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 47,911,696 | 42,064,686 |
Virginia | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 33,478,151 | 31,442,370 |
Maryland | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 25,473,417 | 23,922,075 |
All other states | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 325,395,178 | $ 299,738,982 |
Fair Value - Financial Statemen
Fair Value - Financial Statement Items Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Assets: | ||
Short-term investment at fair value | $ 12,194 | $ 6,873 |
Loans held for sale | 3,509,300 | 9,742,483 |
Derivative assets: | ||
Derivative asset, before netting | 157,995 | 398,672 |
Netting | (58,992) | (64,977) |
Total derivative assets | 99,003 | 333,695 |
Investment in PennyMac Mortgage Investment Trust | 929 | 1,300 |
Derivative liabilities: | ||
Derivative liability, before netting | 83,246 | 54,702 |
Netting | (61,534) | (32,096) |
Net amounts of liabilities presented in the consolidated balance sheet | 21,712 | 22,606 |
Mortgage servicing liabilities | 2,096 | 2,816 |
PennyMac Mortgage Investment Trust | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 929 | 1,300 |
Interest rate lock commitments | ||
Derivative assets: | ||
Total derivative assets | 36,728 | 323,473 |
Recurring basis | ||
Assets: | ||
Short-term investment at fair value | 12,194 | 6,873 |
Loans held for sale | 3,509,300 | 9,742,483 |
Derivative assets: | ||
Derivative asset, before netting | 157,995 | 398,672 |
Netting | (58,992) | (64,977) |
Total derivative assets | 99,003 | 333,695 |
Mortgage servicing rights at fair value | 5,953,621 | 3,878,078 |
Total assets | 9,575,047 | 13,962,429 |
Derivative liabilities: | ||
Derivative liability, before netting | 83,246 | 54,702 |
Netting | (61,534) | (32,096) |
Net amounts of liabilities presented in the consolidated balance sheet | 21,712 | 22,606 |
Mortgage servicing liabilities | 2,096 | 2,816 |
Total liabilities | 23,808 | 25,422 |
Recurring basis | PennyMac Mortgage Investment Trust | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 929 | 1,300 |
Recurring basis | Interest rate lock commitments | ||
Derivative assets: | ||
Derivative asset, before netting | 36,728 | 323,473 |
Derivative liabilities: | ||
Derivative liability, before netting | 10,884 | 1,280 |
Recurring basis | Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 2,433 | 20,485 |
Derivative liabilities: | ||
Derivative liability, before netting | 48,670 | 18,007 |
Recurring basis | Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 80,754 | 40,215 |
Derivative liabilities: | ||
Derivative liability, before netting | 20,684 | 35,415 |
Recurring basis | MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 6,057 | 7,655 |
Recurring basis | Swaptions | ||
Derivative assets: | ||
Derivative asset, before netting | 1,625 | |
Recurring basis | Call options on Eurodollar futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 2,820 | 2,078 |
Recurring basis | Put options on Eurodollar futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 29,203 | 3,141 |
Recurring basis | Put options on Eurodollar futures | Sales | ||
Derivative liabilities: | ||
Derivative liability, before netting | 3,008 | |
Recurring basis | Level 1 | ||
Assets: | ||
Short-term investment at fair value | 12,194 | 6,873 |
Derivative assets: | ||
Derivative asset, before netting | 32,023 | 5,219 |
Total derivative assets | 32,023 | 5,219 |
Total assets | 45,146 | 13,392 |
Derivative liabilities: | ||
Derivative liability, before netting | 3,008 | |
Net amounts of liabilities presented in the consolidated balance sheet | 3,008 | |
Total liabilities | 3,008 | |
Recurring basis | Level 1 | PennyMac Mortgage Investment Trust | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 929 | 1,300 |
Recurring basis | Level 1 | Call options on Eurodollar futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 2,820 | 2,078 |
Recurring basis | Level 1 | Put options on Eurodollar futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 29,203 | 3,141 |
Recurring basis | Level 1 | Put options on Eurodollar futures | Sales | ||
Derivative liabilities: | ||
Derivative liability, before netting | 3,008 | |
Recurring basis | Level 2 | ||
Assets: | ||
Loans held for sale | 3,163,528 | 8,613,607 |
Derivative assets: | ||
Derivative asset, before netting | 89,244 | 69,980 |
Total derivative assets | 89,244 | 69,980 |
Total assets | 3,252,772 | 8,683,587 |
Derivative liabilities: | ||
Derivative liability, before netting | 69,354 | 53,422 |
Net amounts of liabilities presented in the consolidated balance sheet | 69,354 | 53,422 |
Total liabilities | 69,354 | 53,422 |
Recurring basis | Level 2 | Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 2,433 | 20,485 |
Derivative liabilities: | ||
Derivative liability, before netting | 48,670 | 18,007 |
Recurring basis | Level 2 | Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 80,754 | 40,215 |
Derivative liabilities: | ||
Derivative liability, before netting | 20,684 | 35,415 |
Recurring basis | Level 2 | MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 6,057 | 7,655 |
Recurring basis | Level 2 | Swaptions | ||
Derivative assets: | ||
Derivative asset, before netting | 1,625 | |
Recurring basis | Level 3 | ||
Assets: | ||
Loans held for sale | 345,772 | 1,128,876 |
Derivative assets: | ||
Derivative asset, before netting | 36,728 | 323,473 |
Total derivative assets | 36,728 | 323,473 |
Mortgage servicing rights at fair value | 5,953,621 | 3,878,078 |
Total assets | 6,336,121 | 5,330,427 |
Derivative liabilities: | ||
Derivative liability, before netting | 10,884 | 1,280 |
Net amounts of liabilities presented in the consolidated balance sheet | 10,884 | 1,280 |
Mortgage servicing liabilities | 2,096 | 2,816 |
Total liabilities | 12,980 | 4,096 |
Recurring basis | Level 3 | Interest rate lock commitments | ||
Derivative assets: | ||
Derivative asset, before netting | 36,728 | 323,473 |
Derivative liabilities: | ||
Derivative liability, before netting | $ 10,884 | $ 1,280 |
Fair Value - Level 3 Input Roll
Fair Value - Level 3 Input Roll Forward, Recurring Basis (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Changes in fair value included in income arising from: | |||
Fair Value, Asset, Recurring Basis, Unobservable Input Reconciliation, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Servicing Asset at Fair Value, Period Increase (Decrease) | Servicing Asset at Fair Value, Period Increase (Decrease) | Servicing Asset at Fair Value, Period Increase (Decrease) |
Fair Value, Asset, Recurring Basis, Still Held, Unrealized Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Servicing Asset at Fair Value, Period Increase (Decrease) | Servicing Asset at Fair Value, Period Increase (Decrease) | Servicing Asset at Fair Value, Period Increase (Decrease) |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | |||
Mortgage servicing liabilities resulting from loan sales | $ 106,631 | $ 23,325 | |
Changes in fair value included in income | (1,037) | 24,970 | |
Recurring basis | |||
Roll forward of assets measured using Level 3 inputs on a recurring basis | |||
Balance at the beginning of the year | $ 5,329,147 | 7,933,369 | 3,455,505 |
Purchases and issuances, net | 3,712,505 | 21,985,261 | 11,726,752 |
Capitalization of interest and advances | 60,589 | 169,053 | 119,037 |
Sales and repayments | (1,378,441) | (11,783,818) | (2,389,763) |
Mortgage servicing rights resulting from loan sales | 1,718,094 | 1,861,949 | 1,138,045 |
Changes in fair value included in income arising from: | |||
Changes in instrument specific credit risk | (41,483) | 285,501 | 127,780 |
Other factors | (296,605) | (75,498) | (254,816) |
Total changes in fair value included in income | (338,088) | 210,003 | (127,036) |
Transfers from mortgage loans held for sale from Level 3 to Level 2 | (2,736,940) | (12,547,732) | (3,246,282) |
Transfers to real estate acquired in settlement of loans | (416) | (82) | (73) |
Transfers from interest rate lock commitments to loans held for sale | (41,213) | (2,498,856) | (2,742,816) |
Balance at the end of the year | 6,325,237 | 5,329,147 | 7,933,369 |
Changes in fair value recognized during the period relating to assets still held at the end of the year | 352,601 | (220,336) | (678,634) |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | |||
Balance at the beginning of the year | 2,816 | 177,074 | 207,726 |
Issuances | 557 | 2,093 | |
Accrual of interest on excess servicing spread financing | 1,280 | 8,418 | |
Repayment | (134,624) | (32,377) | |
Mortgage servicing liabilities resulting from loan sales | 106,631 | 23,325 | |
Changes in fair value included in income | (720) | (148,102) | (32,111) |
Balance at the end of the year | 2,096 | 2,816 | 177,074 |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the year | (720) | (3,156) | (32,111) |
Recurring basis | Excess servicing spread financing | |||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | |||
Balance at the beginning of the year | 131,750 | 178,586 | |
Issuances | 557 | 2,093 | |
Accrual of interest on excess servicing spread financing | 1,280 | 8,418 | |
Repayment | (134,624) | (32,377) | |
Changes in fair value included in income | 1,037 | (24,970) | |
Balance at the end of the year | 131,750 | ||
Changes in fair value recognized during the period relating to liability still outstanding at the end of the year | (24,970) | ||
Recurring basis | Mortgage servicing liabilities | |||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | |||
Balance at the beginning of the year | 2,816 | 45,324 | 29,140 |
Mortgage servicing liabilities resulting from loan sales | 106,631 | 23,325 | |
Changes in fair value included in income | (149,139) | (7,141) | |
Balance at the end of the year | 2,816 | 45,324 | |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the year | (3,156) | (7,141) | |
Recurring basis | Mortgage loans held for sale | |||
Roll forward of assets measured using Level 3 inputs on a recurring basis | |||
Balance at the beginning of the year | 1,128,876 | 4,675,169 | 383,878 |
Purchases and issuances, net | 3,338,743 | 20,330,785 | 9,672,322 |
Capitalization of interest and advances | 60,589 | 169,053 | 119,037 |
Sales and repayments | (1,378,441) | (11,783,818) | (2,381,493) |
Changes in fair value included in income arising from: | |||
Changes in instrument specific credit risk | (41,483) | 285,501 | 127,780 |
Other factors | (25,156) | ||
Total changes in fair value included in income | (66,639) | 285,501 | 127,780 |
Transfers from mortgage loans held for sale from Level 3 to Level 2 | (2,736,940) | (12,547,732) | (3,246,282) |
Transfers to real estate acquired in settlement of loans | (416) | (82) | (73) |
Balance at the end of the year | 345,772 | 1,128,876 | 4,675,169 |
Changes in fair value recognized during the period relating to assets still held at the end of the year | (26,699) | 22,516 | 153,474 |
Recurring basis | Interest rate lock commitments | |||
Roll forward of assets measured using Level 3 inputs on a recurring basis | |||
Balance at the beginning of the year | 322,193 | 677,026 | 136,650 |
Purchases and issuances, net | 369,769 | 1,654,476 | 2,028,957 |
Changes in fair value included in income arising from: | |||
Other factors | (624,905) | 489,547 | 1,254,235 |
Total changes in fair value included in income | (624,905) | 489,547 | 1,254,235 |
Transfers from interest rate lock commitments to loans held for sale | (41,213) | (2,498,856) | (2,742,816) |
Balance at the end of the year | 25,844 | 322,193 | 677,026 |
Changes in fair value recognized during the period relating to assets still held at the end of the year | 25,844 | 322,193 | 677,026 |
Recurring basis | Repurchase agreement derivatives | |||
Roll forward of assets measured using Level 3 inputs on a recurring basis | |||
Balance at the beginning of the year | 8,187 | ||
Sales and repayments | (8,270) | ||
Changes in fair value included in income arising from: | |||
Other factors | 83 | ||
Total changes in fair value included in income | 83 | ||
Recurring basis | Mortgage servicing rights | |||
Roll forward of assets measured using Level 3 inputs on a recurring basis | |||
Balance at the beginning of the year | 3,878,078 | 2,581,174 | 2,926,790 |
Purchases and issuances, net | 3,993 | 25,473 | |
Mortgage servicing rights resulting from loan sales | 1,718,094 | 1,861,949 | 1,138,045 |
Changes in fair value included in income arising from: | |||
Other factors | 353,456 | (565,045) | (1,509,134) |
Total changes in fair value included in income | 353,456 | (565,045) | (1,509,134) |
Balance at the end of the year | 5,953,621 | 3,878,078 | 2,581,174 |
Changes in fair value recognized during the period relating to assets still held at the end of the year | $ 353,456 | $ (565,045) | $ (1,509,134) |
Fair Value - Changes in Fair Va
Fair Value - Changes in Fair Value, Fair Value Option, Recurring Basis (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
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 | $ 720 | $ 148,102 | $ 32,111 |
Liability [Member] | 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 | 32,111 | ||
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 | 720 | 148,102 | |
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) | 24,970 | |
Excess servicing spread financing | 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 | 24,970 | ||
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 | 720 | 149,139 | 7,141 |
Mortgage servicing liabilities | 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 | 7,141 | ||
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 | 720 | 149,139 | |
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 | 134,402 | 2,003,273 | 1,390,180 |
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 | (219,054) | 2,568,318 | (1,509,134) |
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 | 353,456 | (565,045) | 2,899,314 |
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 | (219,054) | 2,568,318 | 2,899,314 |
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 | (219,054) | 2,568,318 | |
Mortgage loans held for sale | 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 | 2,899,314 | ||
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 | 353,456 | (565,045) | (1,509,134) |
Mortgage servicing rights at fair value | 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 | $ (1,509,134) | ||
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 | $ 353,456 | $ (565,045) |
Fair Value - Fair Value Option
Fair Value - Fair Value Option Maturities, Recurring Basis (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Fair value | ||
Total fair value | $ 3,509,300 | $ 9,742,483 |
Recurring basis | ||
Fair value | ||
Total fair value | 3,509,300 | 9,742,483 |
Mortgage loans held for sale | ||
Fair value | ||
Current through 89 days delinquent | 3,450,578 | 9,577,398 |
Not in foreclosure | 47,252 | 153,162 |
In foreclosure | 11,470 | 11,923 |
Total fair value | 3,509,300 | 9,742,483 |
Principal amount due upon maturity | ||
Current through 89 days delinquent | 3,428,052 | 9,263,242 |
Not in foreclosure | 53,351 | 153,875 |
In foreclosure | 16,811 | 13,649 |
Total principal amount due upon maturity | 3,498,214 | 9,430,766 |
Difference | ||
Current through 89 days delinquent | 22,526 | 314,156 |
Not in foreclosure | (6,099) | (713) |
In foreclosure | (5,341) | (1,726) |
Total difference | $ 11,086 | $ 311,717 |
Fair Value - Measurement Basis,
Fair Value - Measurement Basis, Nonrecurring (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||
Notes payable secured by mortgage servicing assets | $ 1,942,646 | $ 1,297,622 | |
Unsecured Senior Notes | 1,779,920 | 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 | 1,794,475 | 1,297,622 | |
Unsecured senior note | |||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||
Unsecured Senior Notes | 1,779,920 | 1,776,219 | |
Nonrecurring basis | |||
Financial statement items measured at fair value on a nonrecurring basis | |||
Real estate acquired in settlement of loans | 1,850 | 2,588 | |
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||
Real estate acquired in settlement of loans | 523 | 799 | $ 814 |
Nonrecurring basis | Level 3 | |||
Financial statement items measured at fair value on a nonrecurring basis | |||
Real estate acquired in settlement of loans | 1,850 | 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 | 1,677,476 | 1,302,640 | |
Total | Unsecured senior note | |||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||
Unsecured Senior Notes | $ 1,550,750 | $ 1,790,375 |
Fair Value - Level 3 Unobservab
Fair Value - Level 3 Unobservable Inputs, Mortgage Loans and IRLC (Details) $ in Thousands | Dec. 31, 2022 USD ($) item | Dec. 31, 2021 USD ($) item |
Excess servicing spread financing | ||
Loans held for sale | $ | $ 3,509,300 | $ 9,742,483 |
Mortgage loans held for sale | ||
Excess servicing spread financing | ||
Loans held for sale | $ | 3,509,300 | 9,742,483 |
Mortgage loans held for sale | Level 3 | ||
Excess servicing spread financing | ||
Loans held for sale | $ | $ 345,772 | $ 1,128,876 |
Mortgage loans held for sale | Discount rate | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 5.5 | 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 | 5.7 | 2.3 |
Mortgage loans held for sale | Twelve-month projected housing price index Change | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | (1.9) | 6.1 |
Mortgage loans held for sale | Twelve-month projected housing price index Change | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | (1.7) | 6.5 |
Mortgage loans held for sale | Twelve-month projected housing price index Change | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | (1.8) | 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 | 25.6 | 30.3 |
Mortgage loans held for sale | Prepayment/resale speed | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 21.6 | 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 | 36.1 | 39.3 |
Mortgage loans held for sale | Total prepayment speed | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 29.4 | 28.2 |
Interest rate lock commitments | Level 3 | ||
Excess servicing spread financing | ||
Interest rate lock commitment | $ | $ 25,844 | $ 322,193 |
Interest rate lock commitments | Pull-through rate | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 10.3 | 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 | 82.8 | 78.4 |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | (1.3) | (8.5) |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 7.7 | 6.7 |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 4.3 | 3.8 |
Interest rate lock commitments | Percentage of unpaid principal balance | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | (0.2) | (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) | 12 Months Ended | ||
Dec. 31, 2022 USD ($) item | Dec. 31, 2021 USD ($) item | Dec. 31, 2020 USD ($) item | |
Mortgage servicing rights | |||
Inputs | |||
Amount recognized | $ | $ 1,718,094,000 | $ 1,861,949,000 | $ 1,138,045,000 |
Total | Mortgage servicing rights | Level 3 | Minimum | |||
Inputs: | |||
Annual per-loan cost of servicing | $ | 68 | 79 | |
Total | Mortgage servicing rights | Level 3 | Maximum | |||
Inputs: | |||
Annual per-loan cost of servicing | $ | 144 | 197 | |
Total | Mortgage servicing rights | Level 3 | Weighted average | |||
Inputs: | |||
Annual per-loan cost of servicing | $ | $ 109 | $ 108 | |
Total | Mortgage servicing rights | Pricing spread | Level 3 | Minimum | |||
Inputs: | |||
Input | 4.9 | 5.3 | |
Total | Mortgage servicing rights | Pricing spread | Level 3 | Maximum | |||
Inputs: | |||
Input | 14.3 | 15.5 | |
Total | Mortgage servicing rights | Pricing spread | Level 3 | Weighted average | |||
Inputs: | |||
Input | 6.5 | 7.7 | |
Total | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Minimum | |||
Inputs: | |||
Input | 5 | 7.9 | |
Total | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Maximum | |||
Inputs: | |||
Input | 17.7 | 26.7 | |
Total | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Weighted average | |||
Inputs: | |||
Input | 7.5 | 10.7 | |
Total | Mortgage servicing rights | Life | Level 3 | Minimum | |||
Inputs: | |||
Input | 3.7 | 3.1 | |
Total | Mortgage servicing rights | Life | Level 3 | Maximum | |||
Inputs: | |||
Input | 9.3 | 7.7 | |
Total | Mortgage servicing rights | Life | Level 3 | Weighted average | |||
Inputs: | |||
Input | 8.4 | 6.8 | |
Total | Mortgage servicing rights | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | |||
Inputs | |||
Amount recognized | $ | $ 1,718,094,000 | $ 1,861,949,000 | 1,138,045,000 |
Unpaid principal balance of underlying loans | $ | $ 83,569,657,000 | $ 138,319,425,000 | $ 96,571,835,000 |
Weighted-average servicing fee rate (as a percent) | 0.44% | 0.34% | 0.35% |
Total | Mortgage servicing rights | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Minimum | |||
Inputs: | |||
Annual per-loan cost of servicing | $ | $ 71 | $ 80 | $ 77 |
Total | Mortgage servicing rights | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Maximum | |||
Inputs: | |||
Annual per-loan cost of servicing | $ | 177 | 117 | 117 |
Total | Mortgage servicing rights | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Weighted average | |||
Inputs: | |||
Annual per-loan cost of servicing | $ | $ 104 | $ 103 | $ 102 |
Total | Mortgage servicing rights | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Minimum | |||
Inputs: | |||
Input | 5.5 | 6 | 6.8 |
Total | Mortgage servicing rights | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Maximum | |||
Inputs: | |||
Input | 16.1 | 16.9 | 18.1 |
Total | Mortgage servicing rights | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Weighted average | |||
Inputs: | |||
Input | 7.8 | 8.8 | 9.4 |
Total | Mortgage servicing rights | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Minimum | |||
Inputs: | |||
Input | 5.1 | 6.1 | 7.2 |
Total | Mortgage servicing rights | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Maximum | |||
Inputs: | |||
Input | 23.4 | 31.4 | 49.8 |
Total | Mortgage servicing rights | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Weighted average | |||
Inputs: | |||
Input | 9.4 | 8.6 | 11.9 |
Total | Mortgage servicing rights | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Minimum | |||
Inputs: | |||
Input | 3.7 | 3 | 1.5 |
Total | Mortgage servicing rights | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Maximum | |||
Inputs: | |||
Input | 9.4 | 9.2 | 9.1 |
Total | Mortgage servicing rights | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Weighted average | |||
Inputs: | |||
Input | 8.1 | 8.1 | 6.7 |
Fair Value - Level 3 Unobserv_3
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Rights, Effect of Change In Inputs on Fair Value (Details) | 12 Months Ended | |
Dec. 31, 2022 USD ($) item | Dec. 31, 2021 USD ($) item | |
MSR and pool characteristics | ||
Carrying value | $ 5,953,621,000 | $ 3,878,078,000 |
Mortgage servicing liabilities | Level 3 | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 1,177 | 1,406 |
Total | Mortgage servicing rights | Level 3 | ||
MSR and pool characteristics | ||
Carrying value | 5,953,621,000 | 3,878,078,000 |
Unpaid principal balance of underlying loans | $ 314,567,639,000 | $ 278,324,780,000 |
Weighted-average note interest rate (as a percent) | 3.40% | 3.20% |
Weighted-average servicing fee rate (as a percent) | 0.36% | 0.34% |
Pricing spread | ||
Effect on fair value of 5% adverse change | $ (81,021,000) | $ (59,577,000) |
Effect on fair value of 10% adverse change | (159,863,000) | (117,352,000) |
Effect on fair value of 20% adverse change | (311,329,000) | (227,791,000) |
Prepayment speed | ||
Effect on fair value of 5% adverse change | (77,346,000) | (80,109,000) |
Effect on fair value of 10% adverse change | (152,192,000) | (157,252,000) |
Effect on fair value of 20% adverse change | (294,872,000) | (303,259,000) |
Annual per-loan cost of servicing | ||
Effect on fair value of 5% adverse change | (41,263,000) | (32,979,000) |
Effect on fair value of 10% adverse change | (82,527,000) | (65,958,000) |
Effect on fair value of 20% adverse change | (165,053,000) | (131,916,000) |
Total | Mortgage servicing rights | Level 3 | Minimum | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 68 | 79 |
Total | Mortgage servicing rights | Level 3 | Maximum | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 144 | 197 |
Total | Mortgage servicing rights | Level 3 | Weighted average | ||
Prepayment speed | ||
Annual per-loan cost of servicing | $ 109 | $ 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 | 14.3 | 15.5 |
Total | Mortgage servicing rights | Pricing spread | Level 3 | Weighted average | ||
Inputs | ||
Input | item | 6.5 | 7.7 |
Total | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Minimum | ||
Inputs | ||
Input | item | 5 | 7.9 |
Total | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Maximum | ||
Inputs | ||
Input | item | 17.7 | 26.7 |
Total | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Weighted average | ||
Inputs | ||
Input | item | 7.5 | 10.7 |
Total | Mortgage servicing rights | Life | Level 3 | Minimum | ||
Inputs | ||
Input | item | 3.7 | 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 | 8.4 | 6.8 |
Fair Value - Level 3 Unobserv_4
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Liabilities (Details) | 12 Months Ended | |
Dec. 31, 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 | $ 2,096,000 | $ 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 | 2,096,000 | 2,816,000 |
Unpaid principal balance of underlying loans | $ 33,157,000 | $ 60,593,000 |
Servicing fee rate (as a percent) | 0.25% | 0.25% |
Annual per-loan cost of servicing | $ 1,177 | $ 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 | 7.8 | 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 | 17.2 | 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 | 4.9 | 4.1 |
Loans Held for Sale at Fair V_3
Loans Held for Sale at Fair Value (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | $ 3,509,300 | $ 9,742,483 |
Government-insured or guaranteed | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 2,006,157 | 6,030,518 |
Conventional mortgage loans | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 1,145,053 | 2,583,089 |
Jumbo Loan | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 12,318 | |
Mortgage loans purchased from Ginnie Mae pools serviced by the entity | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 257,175 | 1,082,444 |
Mortgage loans repurchased pursuant to representations and warranties | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 42,008 | 46,432 |
Home equity lines of credit | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 46,589 | |
Asset Pledged as Collateral without Right | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 3,442,847 | 9,135,577 |
Asset Pledged as Collateral without Right | Loan Repo Facility | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 3,139,870 | 8,629,861 |
Asset Pledged as Collateral without Right | Mortgage Loan Participation and Sale Agreement member | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | $ 302,977 | $ 505,716 |
Derivative Activities - Other I
Derivative Activities - Other Information (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Derivative assets: | |||
Margin deposits placed with counterparties | $ (55,968) | $ (100,482) | |
Derivative asset, before netting | 157,995 | 398,672 | |
Netting | (58,992) | (64,977) | |
Total derivative assets | 99,003 | 333,695 | |
Derivative liabilities: | |||
Derivative liability, before netting | 83,246 | 54,702 | |
Netting | (61,534) | (32,096) | |
Net amounts of liabilities presented in the consolidated balance sheet | 21,712 | 22,606 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Gains (losses) recognized on derivative financial instruments | (631,484) | (475,215) | $ 918,180 |
Repurchase agreement derivative | |||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Gains (losses) recognized on derivative financial instruments | 83 | ||
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 | 1,326,964 | 319,141 | (650,898) |
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 | (631,484) | (475,215) | 918,180 |
Margin Deposits | |||
Derivative assets: | |||
Collateral placed with (received from) derivative counterparties | 2,542 | (32,881) | |
Interest rate lock commitments | |||
Derivative assets: | |||
Total derivative assets | 36,728 | 323,473 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Gains (losses) recognized on derivative financial instruments | (296,349) | (354,833) | $ 540,376 |
Not designated as hedging instrument | Interest rate lock commitments | |||
Derivative Instruments | |||
Notional amount | 7,009,119 | 14,111,795 | |
Derivative assets: | |||
Derivative asset, before netting | 36,728 | 323,473 | |
Derivative liabilities: | |||
Derivative liability, before netting | 10,884 | 1,280 | |
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 | ||
Balance at end of period | 7,009,119 | 14,111,795 | |
Not designated as hedging instrument | Forward contracts | Purchases | |||
Derivative Instruments | |||
Notional amount | 8,320,849 | 22,007,383 | |
Derivative assets: | |||
Derivative asset, before netting | 2,433 | 20,485 | |
Derivative liabilities: | |||
Derivative liability, before netting | 48,670 | 18,007 | |
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 | ||
Balance at end of period | 8,320,849 | 22,007,383 | |
Not designated as hedging instrument | Forward contracts | Sales | |||
Derivative Instruments | |||
Notional amount | 12,487,760 | 34,429,676 | |
Derivative assets: | |||
Derivative asset, before netting | 80,754 | 40,215 | |
Derivative liabilities: | |||
Derivative liability, before netting | 20,684 | 35,415 | |
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 | ||
Balance at end of period | 12,487,760 | 34,429,676 | |
Not designated as hedging instrument | MBS put options | |||
Derivative Instruments | |||
Notional amount | 1,750,000 | 9,550,000 | |
Derivative assets: | |||
Derivative asset, before netting | 6,057 | 7,655 | |
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 | ||
Balance at end of period | 1,750,000 | 9,550,000 | |
Not designated as hedging instrument | Swaptions | Purchases | |||
Derivative Instruments | |||
Notional amount | 5,375,000 | ||
Derivative assets: | |||
Derivative asset, before netting | 1,625 | ||
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 | ||
Balance at end of period | 5,375,000 | ||
Not designated as hedging instrument | Put options on Eurodollar futures | Purchases | |||
Derivative Instruments | |||
Notional amount | 6,800,000 | 2,450,000 | |
Derivative assets: | |||
Derivative asset, before netting | 29,203 | 3,141 | |
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 | ||
Balance at end of period | 6,800,000 | 2,450,000 | |
Not designated as hedging instrument | Put options on Eurodollar futures | Sales | |||
Derivative Instruments | |||
Notional amount | 250,000 | ||
Derivative liabilities: | |||
Derivative liability, before netting | 3,008 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Balance at end of period | 250,000 | ||
Not designated as hedging instrument | Call options on Eurodollar futures | Purchases | |||
Derivative Instruments | |||
Notional amount | 1,350,000 | 1,250,000 | |
Derivative assets: | |||
Derivative asset, before netting | 2,820 | 2,078 | |
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 | ||
Balance at end of period | 1,350,000 | 1,250,000 | |
Not designated as hedging instrument | Treasury future | Purchases | |||
Derivative Instruments | |||
Notional amount | 3,709,200 | 1,544,800 | |
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 | ||
Balance at end of period | 3,709,200 | 1,544,800 | |
Not designated as hedging instrument | Treasury future | Sales | |||
Derivative Instruments | |||
Notional amount | 3,456,900 | 1,925,000 | |
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 | ||
Balance at end of period | 3,456,900 | 1,925,000 | |
Not designated as hedging instrument | Interest rate swap futures | Purchases | |||
Derivative Instruments | |||
Notional amount | 3,010,600 | ||
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 | ||
Balance at end of period | 3,010,600 | ||
Not designated as hedging instrument | Interest rate swap futures | Sales | |||
Derivative Instruments | |||
Notional amount | 2,187,200 | ||
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 | ||
Balance at end of period | $ 2,187,200 |
Derivative Activities - Offsett
Derivative Activities - Offsetting of Derivative Assets (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Derivatives subject to master netting arrangements: | ||
Gross amounts offset in the consolidated balance sheet | $ (58,992) | $ (64,977) |
Total | ||
Gross amounts of recognized assets | 157,995 | 398,672 |
Net amounts of assets presented in the balance sheet | 99,003 | 333,695 |
Interest rate lock commitments | ||
Total | ||
Net amounts of assets presented in the balance sheet | $ 36,728 | $ 323,473 |
Derivative Activities - Offse_2
Derivative Activities - Offsetting of Derivative Assets - Derivative Assets, Financial Assets, and Collateral Held by Counterparty (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Total | ||
Net amounts of assets presented in the balance sheet | $ 99,003 | $ 333,695 |
Net amount | 333,695 | |
RJ O'Brien | ||
Total | ||
Net amounts of assets presented in the balance sheet | 29,016 | 5,219 |
Net amount | 5,219 | |
Morgan Stanley Bank, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 18,501 | |
Citibank, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 5,098 | |
Goldman Sachs | ||
Total | ||
Net amounts of assets presented in the balance sheet | 5,757 | |
Bank of America, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 1,519 | 3,005 |
Net amount | 3,005 | |
Other | ||
Total | ||
Net amounts of assets presented in the balance sheet | 2,384 | 1,998 |
Net amount | 1,998 | |
Interest rate lock commitments | ||
Total | ||
Net amounts of assets presented in the balance sheet | $ 36,728 | 323,473 |
Net amount | $ 323,473 |
Derivative Activities - Offse_3
Derivative Activities - Offsetting of Derivative Assets - Offsetting of Derivative and Financial Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Derivatives: Subject to master netting arrangements: | ||
Netting | $ (61,534) | $ (32,096) |
Total. | ||
Gross amounts of recognized liabilities | 83,246 | 54,702 |
Net amounts of liabilities presented in the consolidated balance sheet | 21,712 | 22,606 |
Mortgage loans sold under agreements to repurchase | ||
Net amounts of liabilities presented in the consolidated balance sheet | 3,004,690 | |
Debt Issuance Costs | ||
Net amount of liabilities in the consolidated balance sheet | 3,001,283 | 7,292,735 |
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 3,026,402 | 7,319,966 |
Net amount of liabilities in the consolidated balance sheet | 21,712 | 22,606 |
Loan Repo Facility | ||
Mortgage loans sold under agreements to repurchase | ||
Net amounts of liabilities presented in the consolidated balance sheet | 3,004,690 | 7,297,360 |
Debt Issuance Costs | ||
Debt issuance costs, gross | (3,407) | (4,625) |
Net amount of liabilities in the consolidated balance sheet | 3,001,283 | 7,292,735 |
Interest rate lock commitments | ||
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 10,884 | 1,280 |
Net amount of liabilities in the consolidated balance sheet | $ 10,884 | $ 1,280 |
Derivative Activities - Offse_4
Derivative Activities - Offsetting of Derivative Assets - Derivative Liabilities, Financial Liabilities, and Collateral Held by Counterparty (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | $ 3,026,402 | $ 7,319,966 |
Financial instruments | (3,004,690) | (7,297,360) |
Net amount of liabilities in the consolidated balance sheet | 21,712 | 22,606 |
Credit Suisse First Boston Mortgage Capital LLC | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 970,725 | 1,974,278 |
Financial instruments | (968,804) | (1,969,670) |
Net amount of liabilities in the consolidated balance sheet | 1,921 | 4,608 |
JP Morgan | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 211,713 | 300,912 |
Financial instruments | (211,713) | (300,912) |
Bank of America, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 567,745 | 1,758,690 |
Financial instruments | (567,745) | (1,758,690) |
Barclays | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 80,276 | 677,419 |
Financial instruments | (79,295) | (676,685) |
Net amount of liabilities in the consolidated balance sheet | 981 | 734 |
Citibank, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 94,211 | 403,003 |
Financial instruments | (94,211) | (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 | 381,893 | 496,064 |
Financial instruments | (381,893) | (496,064) |
BNP Paribas | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 300,280 | 349,172 |
Financial instruments | (300,280) | (349,172) |
Morgan Stanley Bank, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 114,277 | 299,580 |
Financial instruments | (114,277) | (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 | 228,181 | 203,779 |
Financial instruments | (221,986) | (200,338) |
Net amount of liabilities in the consolidated balance sheet | 6,195 | 3,441 |
Goldman Sachs | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 64,486 | 853,147 |
Financial instruments | (64,486) | (850,918) |
Net amount of liabilities in the consolidated balance sheet | 2,229 | |
Other | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,731 | 2,642 |
Net amount of liabilities in the consolidated balance sheet | 1,731 | 2,642 |
Interest rate lock commitments | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 10,884 | 1,280 |
Net amount of liabilities in the consolidated balance sheet | $ 10,884 | $ 1,280 |
Mortgage Servicing Rights and_3
Mortgage Servicing Rights and Mortgage Servicing Liabilities - Activity in MSRs at Fair Value (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Change in fair value due to: | |||
Total change in fair value | $ (354,176) | $ 415,906 | $ 1,501,993 |
Mortgage servicing rights | |||
Activity in MSRs carried at fair value | |||
Balance at beginning of period | 3,878,078 | 2,581,174 | 2,926,790 |
Additions - Resulting from loan sales | 1,718,094 | 1,861,949 | 1,138,045 |
Additions - Purchases (purchase adjustments) | 3,993 | 25,473 | |
Additions | 1,722,087 | 1,861,949 | 1,163,518 |
Change in fair value due to: | |||
Changes in valuation inputs used in valuation model | 877,324 | (136,350) | (1,078,084) |
Other changes in fair value | (523,868) | (428,695) | (431,050) |
Total change in fair value | 353,456 | (565,045) | (1,509,134) |
Balance at end of period | 5,953,621 | 3,878,078 | 2,581,174 |
UPB of underlying loan at end of period | $ 314,567,639 | $ 278,324,780 | $ 238,410,809 |
Asset Pledged as Collateral without Right | |||
Change in fair value due to: | |||
Assets, Pledging Purpose [Extensible Enumeration] | Notes Payable | Notes Payable | |
Asset Pledged as Collateral without Right | Mortgage servicing rights | |||
Activity in MSRs carried at fair value | |||
Balance at beginning of period | $ 3,856,791 | ||
Change in fair value due to: | |||
Balance at end of period | $ 5,897,613 | $ 3,856,791 | |
Assets, Pledging Purpose [Extensible Enumeration] | Notes Payable | Notes Payable |
Mortgage Servicing Rights and_4
Mortgage Servicing Rights and Mortgage Servicing Liabilities - Mortgage Servicing Liabilities Carried at FV (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Amortized cost: | |||
Mortgage servicing liabilities resulting from loan sales | $ 106,631 | $ 23,325 | |
Mortgage servicing liabilities | |||
Amortized cost: | |||
Balance at beginning of year | $ 2,816 | 45,324 | 29,140 |
Mortgage servicing liabilities resulting from loan sales | 106,631 | 23,325 | |
Changes in valuation inputs used in valuation model | (347) | (68,020) | 31,757 |
Other changes in fair value | (373) | (81,119) | (38,898) |
Total change in fair value | (720) | (149,139) | (7,141) |
Balance at end of year | 2,096 | 2,816 | 45,324 |
UPB of underlying loan at end of period | $ 33,157 | $ 60,593 | $ 2,857,492 |
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 | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Other fees: | |||
Loan servicing fees | $ 1,228,637 | $ 1,075,112 | $ 998,291 |
Mortgage servicing rights | |||
Contractual servicing fees | 1,054,828 | 875,570 | 814,646 |
Other fees: | |||
Late charges | 40,583 | 29,848 | 36,339 |
Other | 13,742 | 29,505 | 25,543 |
Loan servicing fees | $ 1,109,153 | $ 934,923 | $ 876,528 |
Leases (Details)
Leases (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Leases | |||
Operating lease option to extend | true | ||
Lease expenses: | |||
Operating leases | $ 19,779 | $ 18,363 | $ 16,223 |
Short-term leases | 778 | 904 | 1,153 |
Sublease income | (46) | ||
Total lease cost | 20,511 | 19,267 | 17,376 |
Payments for operating leases | 23,475 | 20,145 | 16,524 |
Right-of-use assets obtained in exchange for lease obligations | $ 1,364 | $ 28,401 | $ 14,128 |
Remaining lease term (in year) | 4 years 9 months 18 days | 5 years 8 months 12 days | 6 years 3 months 18 days |
Discount rate (as a percent) | 3.80% | 4% | 4.10% |
Operating lease liabilities | |||
2023 | $ 24,228 | ||
2024 | 19,523 | ||
2025 | 18,645 | ||
2026 | 14,322 | ||
2027 | 6,799 | ||
Thereafter | 12,039 | ||
Total lease payments | 95,556 | ||
Less imputed interest | (10,006) | ||
Total | $ 85,550 | $ 110,003 | |
Minimum | |||
Leases | |||
Remaining operating lease term | 1 year | ||
Maximum | |||
Leases | |||
Remaining operating lease term | 10 years | ||
Operating lease renewal term | 5 years |
Other Assets - Other (Details)
Other Assets - Other (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Carrying value: | ||
Capitalized software, net | $ 157,460 | $ 109,480 |
Derivative settlements receivable | 1,522 | 20,026 |
Prepaid Expense | 38,780 | 64,924 |
Servicing fee receivables, net | 31,356 | 23,672 |
Furniture, fixtures, equipment and building improvements, net | 28,382 | 31,677 |
Other servicing receivables | 24,854 | 113,820 |
Interest receivable | 24,110 | 9,688 |
Deposits | 12,277 | 36,632 |
Real estate acquired in settlement of loans | 11,497 | 7,474 |
Margin deposits | 55,968 | 100,482 |
Other | 31,701 | 98,741 |
Other assets | 417,907 | 616,616 |
Asset Pledged as Collateral without Right | ||
Carrying value: | ||
Other assets | 12,277 | 45,294 |
Asset Pledged as Collateral without Right | Deposits. | ||
Carrying value: | ||
Other assets | $ 12,277 | 36,632 |
Asset Pledged as Collateral without Right | Capitalized software | ||
Carrying value: | ||
Other assets | 4,546 | |
Asset Pledged as Collateral without Right | Furniture, fixtures and equipment | ||
Carrying value: | ||
Other assets | $ 4,116 |
Other Assets - Furniture, Fixtu
Other Assets - Furniture, Fixtures, Equipment and Building Improvements (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Furniture, fixtures, equipment and building improvements | |||
Furniture, Fixtures, Equipment and Building Improvements, net | $ 28,382 | $ 31,677 | |
Depreciation and amortization expense | 34,409 | 28,645 | $ 25,575 |
Furniture, Fixtures, Equipment and Building Improvements | |||
Furniture, fixtures, equipment and building improvements | |||
Furniture, fixtures, equipment and building improvements | 82,721 | 75,562 | |
Less: accumulated depreciation and amortization | (54,339) | (43,885) | |
Furniture, Fixtures, Equipment and Building Improvements, net | 28,382 | 31,677 | |
Depreciation and amortization expense | $ 10,454 | $ 8,439 | $ 8,934 |
Other Assets - Capitalized Soft
Other Assets - Capitalized Software (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Capitalized Software | |||
Capitalized Computer Software, Net, Total | $ 157,460 | $ 109,480 | |
Software amortization expense | 23,955 | 20,206 | $ 16,641 |
Impairment of capitalized software | 728 | $ 13,145 | |
Capitalized software | |||
Capitalized Software | |||
Cost | 231,341 | 159,407 | |
Less: Accumulated amortization | (73,881) | (49,927) | |
Capitalized Computer Software, Net, Total | $ 157,460 | $ 109,480 |
Short-Term Borrowings - Assets
Short-Term Borrowings - Assets Sold Under Agreement to Repurchase (Details) - USD ($) $ in Thousands | 12 Months Ended | ||||
Apr. 28, 2021 | Dec. 19, 2016 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Carrying value: | |||||
Net amounts of liabilities presented in the consolidated balance sheet | $ 3,004,690 | ||||
Total loans sold under agreements to repurchase | 3,001,283 | $ 7,292,735 | |||
Loans held for sale | 3,509,300 | 9,742,483 | |||
Servicing advances, net | 696,753 | 702,160 | |||
Mortgage servicing rights, at fair value | 5,953,621 | 3,878,078 | |||
Other Assets | 417,907 | 616,616 | |||
Margin deposits placed with counterparties | 55,968 | 100,482 | |||
PennyMac Holdings, L L C Repurchase Agreement | |||||
Carrying value: | |||||
Maximum principal balance of VFN | $ 2,000,000 | ||||
Note Payable | |||||
During the period: | |||||
Average balance of assets sold under agreements to repurchase | 1,584,383 | 1,300,000 | $ 1,300,000 | ||
Carrying value: | |||||
Amortization of debt issuance costs | 2,500 | 2,200 | 1,800 | ||
Loan Repo Facility | |||||
During the period: | |||||
Average balance of assets sold under agreements to repurchase | $ 2,580,513 | $ 6,911,843 | $ 3,348,928 | ||
Weighted-average interest rate (as a percent) | 3.59% | 2.09% | 2.91% | ||
Total interest expense | $ 105,459 | $ 164,132 | $ 112,778 | ||
Maximum daily amount outstanding | 7,289,147 | 10,969,029 | 9,663,995 | ||
Carrying value: | |||||
Unpaid principal balance under committed facilities | 2,476,073 | 5,079,581 | |||
Unpaid principal balance under uncommitted facilities | 528,617 | 2,217,779 | |||
Net amounts of liabilities presented in the consolidated balance sheet | 3,004,690 | 7,297,360 | |||
Unamortized debt issuance costs and premiums | (3,407) | (4,625) | |||
Total loans sold under agreements to repurchase | $ 3,001,283 | $ 7,292,735 | |||
Weighted average interest rate (as a percent) | 6% | 1.83% | |||
Available borrowing capacity committed | $ 1,078,927 | $ 285,419 | |||
Available borrowing capacity uncommitted | 5,391,383 | 8,417,221 | |||
Available borrowing capacity | 6,470,310 | 8,702,640 | |||
Amortization of debt issuance costs | 12,900 | 19,400 | $ 15,300 | ||
FMSR VFN Repurchase Agreement | |||||
Carrying value: | |||||
Maximum principal balance of VFN | $ 250,000 | ||||
Maximum principal balance of VFN | $ 1,000,000 | ||||
Asset Pledged as Collateral without Right | |||||
Carrying value: | |||||
Loans held for sale | 3,442,847 | 9,135,577 | |||
Servicing advances, net | $ 381,379 | $ 232,107 | |||
Assets, Pledging Purpose [Extensible Enumeration] | Notes Payable | Notes Payable | |||
Mortgage servicing rights, at fair value | $ 5,897,613 | $ 3,856,791 | |||
Other Assets | $ 12,277 | $ 45,294 | |||
Asset Pledged as Collateral without Right | Mortgage servicing rights | |||||
Carrying value: | |||||
Assets, Pledging Purpose [Extensible Enumeration] | Notes Payable | Notes Payable | |||
Asset Pledged as Collateral without Right | Mortgage servicing rights | |||||
Carrying value: | |||||
Assets, Pledging Purpose [Extensible Enumeration] | Notes Payable | Notes Payable | |||
Asset Pledged as Collateral without Right | Note Payable | Mortgage servicing rights | |||||
Carrying value: | |||||
Mortgage servicing rights, at fair value | $ 5,897,613 | $ 3,856,791 | |||
Asset Pledged as Collateral without Right | Note Payable | Servicing advances | |||||
Carrying value: | |||||
Servicing advances, net | 381,379 | 232,107 | |||
Asset Pledged as Collateral without Right | Loan Repo Facility | Servicing advances | |||||
Carrying value: | |||||
Servicing advances, net | 381,379 | 232,107 | |||
Asset Pledged as Collateral without Right | Loan Repo Facility | Mortgage servicing rights | |||||
Carrying value: | |||||
Mortgage servicing rights, at fair value | 5,339,513 | 3,552,812 | |||
Asset Pledged as Collateral without Right | Mortgage loans held for sale | Loan Repo Facility | Loans held for sale | |||||
Carrying value: | |||||
Loans held for sale | 3,139,870 | 8,629,861 | |||
Asset Pledged as Collateral without Right | Deposits. | |||||
Carrying value: | |||||
Other Assets | 12,277 | 36,632 | |||
Asset Pledged as Collateral without Right | Deposits. | Loan Repo Facility | Deposits | |||||
Carrying value: | |||||
Other Assets | $ 12,277 | $ 36,632 |
Short-Term Borrowings - Maturit
Short-Term Borrowings - Maturities of Outstanding Advances Under Repurchase Agreements (Details) $ in Thousands | 12 Months Ended |
Dec. 31, 2022 USD ($) | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 3,004,690 |
Weighted-average maturity (in months) | 3 months |
Within 30 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 300,240 |
Over 30 to 90 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | 2,221,473 |
Over 90 to 180 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | 372,517 |
Over 180 days to one year | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | 10,460 |
Over one year to two year | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 100,000 |
Short-Term Borrowings - Mortgag
Short-Term Borrowings - Mortgage Loans Sold Under Agreement to Repurchase by Counterparty (Details) - Loan Repo Facility $ in Thousands | Dec. 31, 2022 USD ($) |
Credit Suisse First Boston Mortgage Capital LLC Tranche Two | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 3,831,311 |
Credit Suisse First Boston Mortgage Capital LLC Tranche One | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 75,634 |
Bank of America, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 68,918 |
JP Morgan Chase Bank | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 13,316 |
JP Morgan | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 11,908 |
BNP Paribas | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 11,131 |
Barclays | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 7,248 |
Goldman Sachs | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 4,326 |
Citibank, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 1,657 |
Morgan Stanley Bank, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 8,310 |
Royal Bank of Canada | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 19,895 |
Wells Fargo Bank, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 9,664 |
Short-Term Borrowings - Mortg_2
Short-Term Borrowings - Mortgage Loan Participation and Sale Agreement (Details) - USD ($) | 12 Months Ended | |||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Jul. 30, 2021 | |
Carrying value: | ||||
Loans held for sale | $ 3,509,300,000 | $ 9,742,483,000 | ||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 287,592,000 | 479,845,000 | ||
Mortgage Loan Participation and Sale Agreement member | ||||
During the period: | ||||
Average balance | $ 211,035,000 | $ 249,255,000 | $ 226,689,000 | |
Weighted-average interest rate (as a percent) | 3.16% | 1.39% | 1.88% | |
Total interest expense | $ 7,314,000 | $ 4,153,000 | $ 4,933,000 | |
Maximum daily amount outstanding | 515,043,000 | 532,819,000 | 540,977,000 | |
Carrying value: | ||||
Unpaid principal balance of mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 287,943,000 | 479,845,000 | ||
Unamortized debt issuance costs | (351,000) | |||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 287,592,000 | $ 479,845,000 | ||
Weighted average interest rate (as a percent) | 5.71% | 1.48% | ||
Amortization of debt issuance costs | $ 651,000 | $ 688,000 | 662,000 | |
Note Payable | ||||
Carrying value: | ||||
Unamortized debt issuance costs | (7,354,000) | (2,378,000) | ||
Amortization of debt issuance costs | 2,500,000 | 2,200,000 | $ 1,800,000 | |
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 | |||
Asset Pledged as Collateral without Right | ||||
Carrying value: | ||||
Loans held for sale | 3,442,847,000 | 9,135,577,000 | ||
Asset Pledged as Collateral without Right | Mortgage Loan Participation and Sale Agreement member | ||||
Carrying value: | ||||
Loans held for sale | 302,977,000 | 505,716,000 | ||
Asset Pledged as Collateral without Right | Mortgage Loan Participation and Sale Agreement member | Mortgage Loan Participation and Sale Agreement member | ||||
Carrying value: | ||||
Loans held for sale | $ 302,977,000 | $ 505,716,000 |
Long-Term Debt - Note Payable (
Long-Term Debt - Note Payable (Details) - USD ($) | 1 Months Ended | 3 Months Ended | 12 Months Ended | |||
Dec. 16, 2022 | Jan. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
During the period: | ||||||
Unpaid principal balance | $ 3,004,690,000 | $ 3,004,690,000 | ||||
Carrying value: | ||||||
Notes payable | 1,942,646,000 | 1,942,646,000 | $ 1,297,622,000 | |||
Unsecured senior notes | 1,779,920,000 | 1,779,920,000 | 1,776,219,000 | |||
Servicing advances, net | 696,753,000 | 696,753,000 | 702,160,000 | |||
Mortgage servicing rights, at fair value | 5,953,621,000 | 5,953,621,000 | 3,878,078,000 | |||
Other Assets | $ 417,907,000 | 417,907,000 | 616,616,000 | |||
Notes payable | ||||||
Debt instrument option to extend period | 2 years | |||||
Asset Pledged as Collateral without Right | ||||||
Carrying value: | ||||||
Servicing advances, net | $ 381,379,000 | 381,379,000 | 232,107,000 | |||
Mortgage servicing rights, at fair value | $ 5,897,613,000 | $ 5,897,613,000 | $ 3,856,791,000 | |||
Assets, Pledging Purpose [Extensible Enumeration] | Notes payable | Notes payable | Notes payable | |||
Other Assets | $ 12,277,000 | $ 12,277,000 | $ 45,294,000 | |||
Asset Pledged as Collateral without Right | Mortgage servicing rights | ||||||
Carrying value: | ||||||
Assets, Pledging Purpose [Extensible Enumeration] | Notes payable | Notes payable | Notes payable | |||
Asset Pledged as Collateral without Right | Deposits. | ||||||
Carrying value: | ||||||
Other Assets | $ 12,277,000 | $ 12,277,000 | $ 36,632,000 | |||
Note Payable | ||||||
During the period: | ||||||
Average balance | $ 1,584,383,000 | $ 1,300,000,000 | $ 1,300,000,000 | |||
Weighted-average interest rate (as a percent) | 4.88% | 2.89% | 3.42% | |||
Total interest expense | $ 79,813,000 | $ 39,782,000 | $ 46,222,000 | |||
Carrying value: | ||||||
Unpaid principal balance | 1,950,000,000 | 1,950,000,000 | 1,300,000,000 | |||
Unamortized debt issuance costs | (7,354,000) | (7,354,000) | (2,378,000) | |||
Notes payable | $ 1,942,646,000 | $ 1,942,646,000 | $ 1,297,622,000 | |||
Weighted-average interest rate (as a percent) | 7.46% | 7.46% | 2.84% | |||
Amortization of Financing Costs | $ 2,500,000 | $ 2,200,000 | 1,800,000 | |||
Notes payable | ||||||
Maximum loan amount | $ 1,800,000,000 | 1,800,000,000 | ||||
Debt instrument extension period | 2 years | |||||
Note Payable | SOFR | ||||||
Notes payable | ||||||
Maximum loan amount | $ 400,000,000 | |||||
Committed amount of debt instrument | $ 350,000,000 | |||||
Description of variable rate | SOFR | |||||
Note Payable | Asset Pledged as Collateral without Right | Mortgage servicing rights | ||||||
Carrying value: | ||||||
Mortgage servicing rights, at fair value | 5,897,613,000 | 5,897,613,000 | 3,856,791,000 | |||
Note Payable | Asset Pledged as Collateral without Right | Servicing advances | ||||||
Carrying value: | ||||||
Servicing advances, net | 381,379,000 | 381,379,000 | 232,107,000 | |||
Note Payable | Asset Pledged as Collateral without Right | Deposits. | Deposit | ||||||
Carrying value: | ||||||
Other Assets | 12,277,000 | $ 12,277,000 | 36,632,000 | |||
Notes Payable Term Loan 2018-GT1 | ||||||
Notes payable | ||||||
Debt instrument option to extend period | 2 years | |||||
Debt instrument extension period | 2 years | |||||
Notes Payable Term Loan 2018-GT1 | LIBOR | ||||||
Notes payable | ||||||
Maximum loan amount | 650,000,000 | $ 650,000,000 | ||||
Interest rate spread | 2.85% | |||||
Notes Payable Term Loan 2018-GT2 | ||||||
Notes payable | ||||||
Debt instrument option to extend period | 2 years | |||||
Notes Payable Term Loan 2018-GT2 | LIBOR | ||||||
Notes payable | ||||||
Maximum loan amount | 650,000,000 | $ 650,000,000 | ||||
Interest rate spread | 2.65% | |||||
Notes Payable Term Loan 2022-GT1 | SOFR | ||||||
Notes payable | ||||||
Maximum loan amount | 500,000,000 | $ 500,000,000 | ||||
Interest rate spread | 4.25% | |||||
Unsecured Senior Note | ||||||
During the period: | ||||||
Average balance | $ 1,800,000,000 | $ 1,373,562,000 | $ 158,743,000 | |||
Weighted-average interest rate (as a percent) | 5.07% | 4.94% | 5.38% | |||
Total interest expense | $ 95,014,000 | $ 70,208,000 | $ 8,774,000 | |||
Carrying value: | ||||||
Unpaid principal balance | 1,800,000,000 | 1,800,000,000 | 1,800,000,000 | |||
Unamortized debt issuance costs | (20,080,000) | (20,080,000) | (23,781,000) | |||
Unsecured senior notes | $ 1,779,920,000 | $ 1,779,920,000 | $ 1,776,219,000 | |||
Weighted-average interest rate (as a percent) | 5.07% | 5.07% | 5.07% | |||
Amortization of Financing Costs | $ 3,700,000 | $ 2,300,000 | $ 225,000 | |||
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 | ||||
Coupon Rate (as a percent) | 5.38% | |||||
Unsecured Senior Notes Two Due October 2025 | ||||||
Notes payable | ||||||
Maximum loan amount | 150,000,000 | $ 150,000,000 | ||||
Coupon Rate (as a percent) | 5.38% | |||||
Unsecured Senior Notes Due February 2029 | ||||||
Notes payable | ||||||
Maximum loan amount | 650,000,000 | $ 650,000,000 | ||||
Coupon Rate (as a percent) | 4.25% | |||||
Unsecured Senior Notes Due September 2031 | ||||||
Notes payable | ||||||
Maximum loan amount | 500,000,000 | $ 500,000,000 | ||||
Coupon Rate (as a percent) | 5.75% | |||||
Loan and Security Agreement | ||||||
Carrying value: | ||||||
Unpaid principal balance | 150,000,000 | $ 150,000,000 | ||||
Term Loan Notes Payable | ||||||
Carrying value: | ||||||
Unpaid principal balance | $ 1,800,000,000 | $ 1,800,000,000 | $ 1,300,000,000 |
Long-Term Debt - Maturities (De
Long-Term Debt - Maturities (Details) - USD ($) $ in Thousands | 1 Months Ended | |
Jan. 31, 2023 | Dec. 31, 2022 | |
Long-Term debt | ||
2023 | $ 1,300,000 | |
2024 | 150,000 | |
2025 | 650,000 | |
2027 | 500,000 | |
Thereafter | 1,150,000 | |
Total | 3,750,000 | |
Note Payable | ||
Long-Term debt | ||
2023 | 1,300,000 | |
2024 | 150,000 | |
2027 | 500,000 | |
Total | 1,950,000 | |
Debt instrument extension amount | $ 650,000 | |
Debt instrument extension period | 2 years | |
Unsecured Senior Note | ||
Long-Term debt | ||
2025 | 650,000 | |
Thereafter | 1,150,000 | |
Total | $ 1,800,000 |
Long-Term Debt - Obligations Un
Long-Term Debt - Obligations Under Capital Lease (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Leases | |||
Average balance | $ 848 | $ 7,999 | $ 16,224 |
Weighted average interest rate | 2.18% | 2.11% | 2.62% |
Total interest expense | $ 20 | $ 169 | $ 425 |
Maximum daily amount outstanding | 3,489 | 11,864 | $ 20,810 |
Unpaid principal balance | $ 3,489 | ||
Weighted average interest rate | 2.11% | ||
Other Assets | 417,907 | $ 616,616 | |
Asset Pledged as Collateral without Right | |||
Leases | |||
Other Assets | $ 12,277 | 45,294 | |
Asset Pledged as Collateral without Right | Capitalized software | |||
Leases | |||
Other Assets | 4,546 | ||
Asset Pledged as Collateral without Right | Furniture, fixtures and equipment | |||
Leases | |||
Other Assets | $ 4,116 |
Liability for Losses Under Re_3
Liability for Losses Under Representations and Warranties (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
During the period: | |||
Balance at beginning of year | $ 43,521 | $ 32,688 | $ 21,446 |
Provision for losses on loans sold resulting from sales of loans | 9,617 | 31,590 | 21,035 |
Provision for losses on loans sold resulting from change in estimate | (8,451) | (16,037) | (8,667) |
Losses incurred, net | (12,266) | (4,720) | (1,126) |
Balance at end of year | 32,421 | 43,521 | 32,688 |
Unpaid principal balance of loans subject to representations and warranties at end of period | $ 296,774,121 | $ 257,369,777 | $ 210,222,447 |
Income Taxes - Income Tax Expen
Income Taxes - Income Tax Expense Details (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Current (benefit) expense: | |||
Federal | $ (2,944) | $ 101,659 | $ 378,984 |
State | (249) | 39,551 | 128,495 |
Total current expense | (3,193) | 141,210 | 507,479 |
Deferred (benefit) expense: | |||
Federal | 131,670 | 160,587 | 61,592 |
State | 61,263 | 53,896 | 24,654 |
Total provision for deferred income taxes | 192,933 | 214,483 | 86,246 |
Total provision for income taxes | $ 189,740 | $ 355,693 | $ 593,725 |
Income Taxes - General (Details
Income Taxes - General (Details) | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Reconciliation of the entity's provision for income taxes at statutory rates to the provision for income taxes at the entity's effective tax rate | |||
Federal income tax statutory rate (as a percent) | 21% | 21% | 21% |
State income taxes, net of federal benefit (as a percent) | 5.90% | 5.40% | 5.50% |
Tax rate revaluation ( as a percent) | 1.20% | 0% | (0.10%) |
Other (as a percent) | 0.40% | (0.20%) | 0.10% |
Effective income tax rate (as a percent) | 28.50% | 26.20% | 26.50% |
Income Taxes - Deferred Tax Ass
Income Taxes - Deferred Tax Assets And Liabilities (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2018 | |
Deferred (benefit) expense: | ||||
Mortgage servicing rights | $ 326,378 | $ 196,697 | $ 128,471 | |
Net operating loss | (160,605) | 581 | ||
Reserves and losses | 13,480 | 15,736 | (33,477) | |
Compensation accruals | 10,473 | (11,456) | (647) | |
Additional tax basis in partnership from exchanges of partnership units into the Company's common stock | 4,517 | 4,420 | 5,200 | |
California franchise taxes | 4,447 | 10,753 | (15,200) | |
Tax credits | 50 | |||
Other | (5,757) | (1,717) | 1,318 | |
Total provision for deferred income taxes | 192,933 | 214,483 | $ 86,246 | |
Components of income taxes payable: | ||||
Income taxes currently (receivable) | (1,993) | (126,542) | ||
Deferred income tax liabilities, net | 1,004,737 | 811,804 | ||
Income taxes payable | 1,002,744 | 685,262 | ||
Deferred income tax assets: | ||||
Net operating loss carryforward | 161,682 | 1,077 | ||
Compensation accruals | 42,668 | 53,141 | ||
Additional tax basis in partnership from exchanges of partnership units into the Company's common stock | 25,760 | 30,277 | ||
Reserves and losses | 33,795 | 47,275 | ||
California franchise tax | 4,447 | |||
Other | 6,159 | 5,661 | ||
Gross deferred income tax assets | 270,064 | 141,878 | ||
Deferred income tax liabilities: | ||||
Mortgage servicing rights | 1,260,181 | 933,803 | ||
Other | 14,620 | 19,879 | ||
Gross deferred income tax liabilities | 1,274,801 | 953,682 | ||
Deferred income tax liabilities, net | 1,004,737 | 811,804 | ||
Net operating loss carryforward | 160,600 | $ 1,100 | ||
Net operating loss carryforward, no expiration date | 126,100 | |||
Net operating loss carryforwards with most having no expiration or expiring 2042 | 35,600 | |||
Unrecognized tax benefits | 0 | 0 | ||
Accrual of interest or penalties related to unrecognized tax benefits | $ 0 | $ 0 |
Commitments and Contingencies -
Commitments and Contingencies - Other (Details) $ in Billions | Dec. 31, 2022 USD ($) |
Commitments and Contingencies. | |
Total commitments to purchase and fund mortgage loans | $ 7 |
Stockholders' Equity (Details)
Stockholders' Equity (Details) - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | 96 Months Ended | ||||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2022 | Aug. 31, 2021 | Feb. 28, 2021 | |
Stockholders' Equity | ||||||
Cost of shares of common stock repurchased | $ 406,086 | $ 958,194 | $ 337,479 | |||
Common Class A [Member] | ||||||
Stockholders' Equity | ||||||
Authorized stock repurchase amount | $ 2,000,000 | $ 1,000,000 | ||||
Shares of common stock repurchased | 7,788 | 15,368 | 8,890 | 32,862 | ||
Cost of shares of common stock repurchased | $ 406,086 | $ 958,194 | $ 337,479 | $ 1,716,707 |
Net Gains on Loans Held for S_3
Net Gains on Loans Held for Sale (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Cash (losses) gains: | |||
Loans | $ (2,128,195) | $ 600,840 | $ 2,025,260 |
Hedging activities | 1,347,843 | 443,341 | (767,588) |
Cash gain (loss), net of effects of cash hedging, on sale of loans held for sale | (780,352) | 1,044,181 | 1,257,672 |
Non-cash gain: | |||
Mortgage servicing rights and mortgage servicing liabilities resulting from loan sales | 1,718,094 | 1,755,318 | 1,114,720 |
Provision for losses relating to representations and warranties on loans sold pursuant to loan sales | (9,617) | (31,590) | (21,035) |
Provision for losses relating to representations and warranties on loans sold reduction in liability due to change in estimate | 8,451 | 16,037 | 8,667 |
Change in fair value of loans and derivatives held at period end: | |||
Interest rate lock commitments | (296,349) | (354,833) | 540,376 |
Loans | 188,849 | 210,961 | (326,986) |
Hedging derivatives | (20,879) | (124,200) | 116,690 |
Net gains on loans held for sale at fair value | 791,633 | 2,464,401 | 2,740,785 |
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 | (16,564) | (51,473) | 50,681 |
Non-affiliates | |||
Change in fair value of loans and derivatives held at period end: | |||
Net gains on loans held for sale at fair value | $ 808,197 | $ 2,515,874 | $ 2,690,104 |
Net Interest Expense (Details)
Net Interest Expense (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Interest income: | |||
Interest income | $ 294,062 | $ 300,169 | $ 247,026 |
Interest expense: | |||
Obligations under capital lease | 20 | 169 | 425 |
Interest expense | 335,427 | 390,699 | 271,551 |
Net interest expense | (41,365) | (90,530) | (24,525) |
PennyMac Mortgage Investment Trust | |||
Interest income: | |||
Interest income | 387 | 3,325 | |
Interest expense: | |||
Interest expense | 1,280 | 8,418 | |
Non-affiliates | |||
Interest income: | |||
Cash and short-term investments | 19,839 | 3,280 | 6,154 |
Loans held for sale at fair value | 172,124 | 275,176 | 184,789 |
Placement fees relating to custodial funds | 102,099 | 21,326 | 52,758 |
Interest income | 294,062 | 299,782 | 243,701 |
Interest expense: | |||
Mortgage loan participation purchase and sale agreements | 7,314 | 4,153 | 4,933 |
Obligations under capital lease | 20 | 169 | 425 |
Notes payable | 79,813 | 39,782 | 46,222 |
Unsecured senior notes | 95,014 | 70,208 | 8,774 |
Corporate revolving line of credit | 1,537 | ||
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations | 40,741 | 105,430 | 82,285 |
Interest on mortgage loan impound deposits | 7,066 | 5,545 | 6,179 |
Other | 335,427 | 389,419 | 263,133 |
Loan Repo Facility | |||
Interest expense: | |||
Assets sold under agreements to repurchase | 105,459 | 164,132 | 112,778 |
Loan Repo Facility | Non-affiliates | |||
Interest expense: | |||
Assets sold under agreements to repurchase | $ 105,459 | $ 164,132 | $ 112,778 |
Stock-based Compensation - Othe
Stock-based Compensation - Other (Details) - USD ($) $ in Thousands | 1 Months Ended | 12 Months Ended | ||
Mar. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Stock-Based Compensation | ||||
Units available for future awards under 2013 Equity Incentive Plan (in units) | 4,600,000 | |||
Stock-based compensation expense | $ 42,552 | $ 37,794 | $ 45,105 | |
Stock Options | ||||
Stock-Based Compensation | ||||
Granted (in units) | 574,000 | 249,000 | 876,000 | |
Stock-based compensation expense | $ 9,619 | $ 4,444 | $ 14,980 | |
Performance-based RSUs | ||||
Stock-Based Compensation | ||||
Granted (in units) | 342,000 | 310,000 | 440,000 | |
Vested (in units) | 612,000 | 509,000 | 634,000 | 645,000 |
Stock-based compensation expense | $ 18,096 | $ 23,166 | $ 20,610 | |
Time-based RSUs | ||||
Stock-Based Compensation | ||||
Granted (in units) | 331,000 | 173,000 | 311,000 | |
Vested (in units) | 246,000 | 312,000 | 357,000 | |
Stock-based compensation expense | $ 14,837 | $ 10,184 | $ 9,515 | |
Minimum | Stock Options | ||||
Stock-Based Compensation | ||||
Expected grantee forfeiture rate (as a percent) | 0% | 0% | 0% | |
Minimum | Performance-based RSUs | ||||
Stock-Based Compensation | ||||
Expected grantee forfeiture rate (as a percent) | 0% | |||
Shares earned as a percent of performance goal achievement | 0% | |||
Maximum | Stock Options | ||||
Stock-Based Compensation | ||||
Expected grantee forfeiture rate (as a percent) | 5.10% | 6.70% | 6.70% | |
Maximum | Performance-based RSUs | ||||
Stock-Based Compensation | ||||
Expected grantee forfeiture rate (as a percent) | 20.30% | |||
Shares earned as a percent of performance goal achievement | 187.50% |
Stock-based Compensation - Perf
Stock-based Compensation - Performance-Based RSUs (Details) $ / shares in Units, $ in Thousands | 1 Months Ended | 12 Months Ended | ||
Mar. 31, 2023 shares | Dec. 31, 2022 USD ($) $ / shares shares | Dec. 31, 2021 USD ($) $ / shares shares | Dec. 31, 2020 USD ($) $ / shares shares | |
Weighted-average grant date fair value per unit: | ||||
Compensation expense recorded during the year | $ | $ 42,552 | $ 37,794 | $ 45,105 | |
Performance-based RSUs | ||||
Summary of equity award grants, RSUs | ||||
Balance at beginning of year (in units) | 1,226,000 | 1,583,000 | 1,807,000 | |
Granted (in units) | 342,000 | 310,000 | 440,000 | |
Vested (in units) | (612,000) | (509,000) | (634,000) | (645,000) |
Forfeited or canceled (in units) | (83,000) | (33,000) | (19,000) | |
Balance at end of year (in units) | 976,000 | 1,226,000 | 1,583,000 | |
Weighted-average grant date fair value per unit: | ||||
Outstanding at beginning of year (in dollars per share) | $ / shares | $ 36.12 | $ 27.02 | $ 21.67 | |
Granted (in dollars per share) | $ / shares | 57.10 | 58.85 | 35.95 | |
Vested (in dollars per share) | $ / shares | 23.40 | 24.47 | 18.16 | |
Forfeited (in dollars per share) | $ / shares | 49.14 | 36.91 | 26.71 | |
Outstanding at end of year (in dollars per share) | $ / shares | $ 48.94 | $ 36.12 | $ 27.02 | |
Compensation expense recorded during the year | $ | $ 18,096 | $ 23,166 | $ 20,610 | |
Actually vested (in shares) | 654,000 | 781,000 | 608,000 | |
Vesting percentage | 128 | 123 | 94 | |
Unamortized compensation cost | $ | $ 12,021 | |||
Number of shares expected to vest (in units) | 908,000 | |||
Weighted average remaining vesting period (in months) | 11 months | |||
Minimum | Performance-based RSUs | ||||
Stock-Based Compensation | ||||
Shares earned as a percent of performance goal achievement | 0% | |||
Expected grantee forfeiture rate (as a percent) | 0% | |||
Maximum | Performance-based RSUs | ||||
Stock-Based Compensation | ||||
Shares earned as a percent of performance goal achievement | 187.50% | |||
Expected grantee forfeiture rate (as a percent) | 20.30% |
Stock-based Compensation - Time
Stock-based Compensation - Time-Based RSUs (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Weighted-average grant date fair value per unit: | |||
Compensation expense recorded during the year | $ 42,552 | $ 37,794 | $ 45,105 |
Time-based RSUs | |||
Stock-Based Compensation | |||
Percentage of the award vesting at each of the three anniversaries | 33% | ||
Summary of equity award grants, RSUs | |||
Balance at beginning of year (in units) | 434,000 | 587,000 | 642,000 |
Granted (in units) | 331,000 | 173,000 | 311,000 |
Vested (in units) | (246,000) | (312,000) | (357,000) |
Forfeited or canceled (in units) | (36,000) | (14,000) | (9,000) |
Balance at end of year (in units) | 483,000 | 434,000 | 587,000 |
Weighted-average grant date fair value per unit: | |||
Outstanding at beginning of year (in dollars per share) | $ 41.74 | $ 29.37 | $ 22.40 |
Granted (in dollars per share) | 57.10 | 58.90 | 34.98 |
Vested (in dollars per share) | 37.34 | 28.08 | 21.75 |
Forfeited (in dollars per share) | 51.97 | 39.48 | 28.14 |
Outstanding at end of year (in dollars per share) | $ 53.71 | $ 41.74 | $ 29.37 |
Compensation expense recorded during the year | $ 14,837 | $ 10,184 | $ 9,515 |
Unamortized compensation cost | $ 7,214 | ||
Number of shares expected to vest (in units) | 460,000 | ||
Weighted average remaining vesting period (in months) | 10 months | ||
Time-based RSUs | Minimum | |||
Stock-Based Compensation | |||
Turnover rates (as a percent) | 0 | ||
Time-based RSUs | Maximum | |||
Stock-Based Compensation | |||
Turnover rates (as a percent) | 20.3 | ||
Time-based RSUs | Common Class A [Member] | |||
Stock-Based Compensation | |||
Number of share awarded for each RSU (in shares) | 1 |
Stock-based Compensation - Stoc
Stock-based Compensation - Stock Options (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Weighted-average exercise price per share: | |||
Compensation expense recorded during the year | $ 42,552 | $ 37,794 | $ 45,105 |
Stock Options | |||
Stock-Based Compensation | |||
Percentage of the award vesting at each of the three anniversaries | 33% | ||
Contractual term of the stock options | 10 years | 10 years | |
Fair Value Assumptions | |||
Expected volatility (as a percent) | 37% | 38% | 34% |
Expected dividends (as a percent) | 1.40% | 1.40% | 1.40% |
Risk-free rate, Minimum (as a percent) | 1.10% | 0.10% | 0.10% |
Risk-free rate, Maximum (as a percent) | 2.10% | 1.70% | 1.50% |
Summary of equity awards, options | |||
Balance at beginning of year (in units) | 3,906,000 | 4,040,000 | 3,699,000 |
Granted (in units) | 574,000 | 249,000 | 876,000 |
Exercised (in units) | (155,000) | (377,000) | (530,000) |
Forfeited or canceled (in units) | (8,000) | (6,000) | (5,000) |
Balance at end of year (in units) | 4,317,000 | 3,906,000 | 4,040,000 |
Weighted-average exercise price per share: | |||
Outstanding at beginning of year (in dollars per share) | $ 28.43 | $ 28.01 | $ 18.40 |
Granted (in dollars per share) | 57.10 | 58.85 | 52 |
Exercised (in dollars per share) | 21.09 | 19.96 | 17.72 |
Forfeited | 53.10 | 39.52 | 20.61 |
Outstanding at end of year (in dollars per share) | $ 32.46 | $ 28.43 | $ 28.01 |
Compensation expense recorded during the year | $ 9,619 | $ 4,444 | $ 14,980 |
Number of options exercisable at end of year | 3,488,000 | ||
Weighted average exercise price per exercisable option | $ 27.09 | ||
Weighted-average remaining contractual term: | |||
Outstanding at end of year | 5 years 2 months 12 days | ||
Exercisable at end of year | 4 years 4 months 24 days | ||
Aggregate intrinsic value | |||
Outstanding at end of year | $ 107,080 | ||
Exercisable at end of year | $ 105,114 | ||
Number of shares expected to vest | 825,000 | ||
Weighted-average vesting period (in months) | 11 months | ||
Stock Options | Share-Based Payment Arrangement, Tranche One | |||
Stock-Based Compensation | |||
Contractual term of the stock options | 1 year | ||
Stock Options | Share-Based Payment Arrangement, Tranche Two | |||
Stock-Based Compensation | |||
Contractual term of the stock options | 3 months | ||
Employee Stock Option Ten Year Term | |||
Summary of equity awards, options | |||
Granted (in units) | 604,000 | ||
Minimum | Stock Options | |||
Fair Value Assumptions | |||
Expected grantee forfeiture rate (as a percent) | 0% | 0% | 0% |
Maximum | Stock Options | |||
Fair Value Assumptions | |||
Expected grantee forfeiture rate (as a percent) | 5.10% | 6.70% | 6.70% |
Earnings Per Share of Common _3
Earnings Per Share of Common Stock (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Diluted earnings per share of common stock: | |||
Net income attributable to common stockholders | $ 475,507 | $ 1,003,490 | $ 1,646,884 |
Weighted-average common stock outstanding applicable to basic earnings per share (in shares) | 53,065 | 63,799 | 75,161 |
Effect of dilutive shares: | |||
Common shares issuable under stock-based compensation plans (in shares) | 2,885 | 3,672 | 3,567 |
Weighted-average shares of common stock applicable to diluted earnings per share (in shares) | 55,950 | 67,471 | 78,728 |
Basic earnings per share of common stock (in dollars per share) | $ 8.96 | $ 15.73 | $ 21.91 |
Diluted earnings per share of common stock (in dollars per share) | $ 8.50 | $ 14.87 | $ 20.92 |
Total anti-dilutive shares and units (in shares) | 1,682 | 435 | 405 |
Weighted-average exercise price of anti-dilutive stock options (in dollars per share) | $ 58.58 | $ 58.85 | $ 43.89 |
Performance-based RSUs | |||
Effect of dilutive shares: | |||
Total anti-dilutive shares and units (in shares) | 281 | 223 | 322 |
Time-based RSUs | |||
Effect of dilutive shares: | |||
Total anti-dilutive shares and units (in shares) | 62 | 1 | |
Stock Options | |||
Effect of dilutive shares: | |||
Total anti-dilutive shares and units (in shares) | 1,339 | 211 | 83 |
Regulatory Capital and Liquid_3
Regulatory Capital and Liquidity Requirements (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Jun. 30, 2020 | Dec. 31, 2022 | Dec. 31, 2015 | Dec. 31, 2021 | |
Fannie Mae / Freddie Mac - PLS | ||||
Regulatory Net Worth and Agency Capital Requirements | ||||
Net worth | $ 6,632,627 | $ 5,872,064 | ||
Capital Requirement | 797,748 | 722,040 | ||
Liquidity | 1,265,569 | 316,659 | ||
Liquidity requirement | $ 107,768 | $ 93,973 | ||
Tangible net worth / Total assets ratio actual | 39% | 32% | ||
Tangible net worth / Total assets ratio requirement | 6% | 6% | ||
Ginnie Mae - Issuer - PLS | ||||
Regulatory Net Worth and Agency Capital Requirements | ||||
Net worth | $ 5,899,892 | $ 5,424,747 | ||
Capital Requirement | 923,202 | 976,303 | ||
Liquidity | 1,265,569 | 316,659 | ||
Liquidity requirement | $ 246,953 | $ 220,577 | ||
Adjusted net worth / Total assets ratio actual | 35% | 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 | 5,899,892 | $ 5,424,747 | ||
Capital Requirement | $ 2,500 | $ 2,500 | $ 2,500 | |
Federal Housing Finance Agency | ||||
Regulatory Net Worth and Agency Capital Requirements | ||||
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 | 12 Months Ended | ||
Dec. 31, 2022 USD ($) item | Dec. 31, 2021 USD ($) | Dec. 31, 2020 USD ($) | |
Segments and Related Information | |||
Number of segments | item | 3 | ||
Revenues: | |||
Net gains on loans held for sale at fair value | $ 791,633 | $ 2,464,401 | $ 2,740,785 |
Loan origination fees | 169,859 | 384,154 | 285,551 |
Fulfillment fees from PennyMac Mortgage Investment Trust | 67,991 | 178,927 | 222,200 |
Net loan servicing fees | 951,329 | 182,954 | 439,448 |
Net interest income (expense): | |||
Interest income | 294,062 | 300,169 | 247,026 |
Interest expense, before non-segment activities | 335,427 | 390,699 | 271,551 |
Net interest expense, before non-segment activities | (41,365) | (90,530) | (24,525) |
Management fees from PennyMac Mortgage Investment Trust | 31,065 | 37,801 | 34,538 |
Other | 15,243 | 9,654 | 7,600 |
Total net revenues, before non-segment activities | 1,985,755 | 3,167,361 | 3,705,597 |
Expenses | 1,320,508 | 1,808,178 | 1,464,988 |
Income (loss) before provision for income taxes and non-segment activities | 1,359,183 | 2,240,609 | |
Income before provision for income taxes | 665,247 | 1,359,183 | 2,240,609 |
Assets: | |||
Segment assets at quarter end | 16,822,584 | 18,776,612 | |
PennyMac Mortgage Investment Trust | |||
Revenues: | |||
Net gains on loans held for sale at fair value | (16,564) | (51,473) | 50,681 |
Fulfillment fees from PennyMac Mortgage Investment Trust | $ 67,991 | 178,927 | 222,200 |
Net interest income (expense): | |||
Interest income | 387 | 3,325 | |
Mortgage banking | |||
Segments and Related Information | |||
Number of segments | item | 2 | ||
Operating segment | |||
Assets: | |||
Segment assets at quarter end | $ 16,822,584 | 18,776,612 | 31,597,795 |
Operating segment | Investment management | |||
Net interest income (expense): | |||
Interest expense, before non-segment activities | 10 | 23 | |
Net interest expense, before non-segment activities | (10) | (23) | |
Management fees from PennyMac Mortgage Investment Trust | 31,065 | 37,801 | 34,538 |
Other | 9,013 | 5,511 | 5,321 |
Total net revenues, before non-segment activities | 40,078 | 43,302 | 39,836 |
Expenses | 36,937 | 35,208 | 25,492 |
Income (loss) before provision for income taxes and non-segment activities | 8,094 | 14,344 | |
Income before provision for income taxes | 3,141 | ||
Assets: | |||
Segment assets at quarter end | 26,417 | 21,144 | 18,275 |
Operating segment | Mortgage banking | |||
Revenues: | |||
Net gains on loans held for sale at fair value | 791,633 | 2,464,401 | 2,740,785 |
Loan origination fees | 169,859 | 384,154 | 285,551 |
Net loan servicing fees | 951,329 | 182,954 | 439,448 |
Net interest income (expense): | |||
Interest income | 294,062 | 300,169 | 247,026 |
Interest expense, before non-segment activities | 335,427 | 390,689 | 271,528 |
Net interest expense, before non-segment activities | (41,365) | (90,520) | (24,502) |
Other | 6,230 | 4,143 | 2,279 |
Total net revenues, before non-segment activities | 1,945,677 | 3,124,059 | 3,665,761 |
Expenses | 1,283,571 | 1,772,970 | 1,439,496 |
Income (loss) before provision for income taxes and non-segment activities | 1,351,089 | 2,226,265 | |
Income before provision for income taxes | 662,106 | ||
Assets: | |||
Segment assets at quarter end | 16,796,167 | 18,755,468 | 31,579,520 |
Operating segment | Mortgage banking | PennyMac Mortgage Investment Trust | |||
Revenues: | |||
Fulfillment fees from PennyMac Mortgage Investment Trust | 67,991 | 178,927 | 222,200 |
Operating segment | Mortgage banking Production | |||
Revenues: | |||
Net gains on loans held for sale at fair value | 599,896 | 1,746,650 | 2,297,108 |
Loan origination fees | 169,859 | 384,154 | 285,551 |
Net interest income (expense): | |||
Interest income | 133,000 | 134,706 | 101,605 |
Interest expense, before non-segment activities | 108,072 | 139,296 | 82,160 |
Net interest expense, before non-segment activities | 24,928 | (4,590) | 19,445 |
Other | 2,503 | 1,623 | 695 |
Total net revenues, before non-segment activities | 865,177 | 2,306,764 | 2,824,999 |
Expenses | 816,697 | 1,262,353 | 860,878 |
Income (loss) before provision for income taxes and non-segment activities | 1,044,411 | 1,964,121 | |
Income before provision for income taxes | 48,480 | ||
Assets: | |||
Segment assets at quarter end | 3,866,934 | 8,934,032 | 7,870,398 |
Operating segment | Mortgage banking Production | PennyMac Mortgage Investment Trust | |||
Revenues: | |||
Fulfillment fees from PennyMac Mortgage Investment Trust | 67,991 | 178,927 | 222,200 |
Operating segment | Mortgage banking Servicing | |||
Revenues: | |||
Net gains on loans held for sale at fair value | 191,737 | 717,751 | 443,677 |
Net loan servicing fees | 951,329 | 182,954 | 439,448 |
Net interest income (expense): | |||
Interest income | 161,062 | 165,463 | 145,421 |
Interest expense, before non-segment activities | 227,355 | 251,393 | 189,368 |
Net interest expense, before non-segment activities | (66,293) | (85,930) | (43,947) |
Other | 3,727 | 2,520 | 1,584 |
Total net revenues, before non-segment activities | 1,080,500 | 817,295 | 840,762 |
Expenses | 466,874 | 510,617 | 578,618 |
Income (loss) before provision for income taxes and non-segment activities | 306,678 | 262,144 | |
Income before provision for income taxes | 613,626 | ||
Assets: | |||
Segment assets at quarter end | $ 12,929,233 | $ 9,821,436 | $ 23,709,122 |
Parent Company Information - Mi
Parent Company Information - Minimum Tangible Net Worth (Details) $ in Millions | Dec. 31, 2022 USD ($) |
PLS | |
Parent Company Information | |
Minimum tangible net worth | $ 500 |
Parent Company Information - Co
Parent Company Information - Condensed Balance Sheets (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 |
ASSETS | |||
Cash | $ 1,328,536 | $ 340,069 | $ 532,716 |
Investment in subsidiaries | 929 | 1,300 | |
Receivable from PennyMac Mortgage Investment Trust | 36,372 | 40,091 | |
Total assets | 16,822,584 | 18,776,612 | |
LIABILITIES AND STOCKHOLDERS' EQUITY | |||
Unsecured senior notes | 1,779,920 | 1,776,219 | |
Accounts payable and accrued expenses | 262,358 | 359,413 | |
Income taxes payable | 1,002,744 | 685,262 | |
Total liabilities | 13,351,535 | 15,358,287 | |
Total liabilities and stockholders' equity | 16,822,584 | 18,776,612 | |
PennyMac Financial Services, Inc. | Parent Company [Member] | |||
ASSETS | |||
Cash | 45,496 | 9,276 | |
Investment in subsidiaries | 4,421,906 | 4,217,461 | |
Receivable from PennyMac Mortgage Investment Trust | 27 | 27 | |
Due from subsidiaries | 1,509,103 | 1,477,332 | |
Total assets | 5,976,532 | 5,704,096 | |
LIABILITIES AND STOCKHOLDERS' EQUITY | |||
Unsecured senior notes | 1,779,920 | 1,776,219 | |
Accounts payable and accrued expenses | 26,356 | 28,135 | |
Payables to subsidiaries | 135 | 116 | |
Income taxes payable | 699,072 | 481,301 | |
Total liabilities | 2,505,483 | 2,285,771 | |
Stockholders' equity | 3,471,049 | 3,418,325 | |
Total liabilities and stockholders' equity | $ 5,976,532 | $ 5,704,096 |
Parent Company Information - _2
Parent Company Information - Condensed Statements of Income (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Revenue | |||
Repricing of payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | $ 576 | $ 280 | |
Interest expense: | |||
Interest expense | 335,427 | $ 390,699 | 271,551 |
Net interest income (expense) | (41,365) | (90,530) | (24,525) |
Expenses | |||
Professional services | 73,270 | 94,283 | 64,064 |
Other | 51,921 | 51,428 | 31,090 |
Total expenses | 1,320,508 | 1,808,178 | 1,464,988 |
Income before provision for income taxes | 665,247 | 1,359,183 | 2,240,609 |
Provision for income taxes | 189,740 | 355,693 | 593,725 |
Net income | 475,507 | 1,003,490 | 1,646,884 |
Private National Mortgage Acceptance Company | |||
Revenue | |||
Repricing of payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | 576 | 280 | |
Non-affiliates | |||
Interest expense: | |||
Interest expense | 335,427 | 389,419 | 263,133 |
PennyMac Financial Services, Inc. | Parent Company [Member] | |||
Revenue | |||
Dividends from subsidiaries | 417,391 | 982,740 | 602,606 |
Interest income from subsidiary | 121,452 | 77,162 | 15,830 |
Interest expense: | |||
Interest expense | 95,014 | 70,208 | 8,857 |
Net interest income (expense) | 26,438 | 6,954 | 6,973 |
Total net revenue | 443,829 | 989,694 | 609,579 |
Expenses | |||
Charitable contributions | 5,800 | 2,314 | |
Professional services | 2,236 | 42 | |
Other | 267 | 449 | 327 |
Total expenses | 267 | 8,485 | 2,683 |
Income before provision for income taxes | 443,562 | 981,209 | 606,896 |
Provision for income taxes | 129,948 | 238,803 | 395,340 |
Income before equity in undistributed earnings of subsidiaries | 313,614 | 742,406 | 211,556 |
Equity in undistributed earnings of subsidiaries | 161,893 | 261,084 | 1,435,328 |
Net income | 475,507 | 1,003,490 | 1,646,884 |
PennyMac Financial Services, Inc. | Non-affiliates | Parent Company [Member] | |||
Interest expense: | |||
Interest expense | $ 95,014 | $ 70,208 | 8,774 |
PennyMac Financial Services, Inc. | Subsidiary | Parent Company [Member] | |||
Interest expense: | |||
Interest expense | $ 83 |
Parent Company Information - _3
Parent Company Information - Condensed Statements of Cash Flows (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Cash flow from operating activities | |||
Net income | $ 475,507 | $ 1,003,490 | $ 1,646,884 |
Amortization of debt issuance costs | 19,198 | 24,321 | 19,048 |
Increase in receivable from PennyMac Mortgage Investment Trust | 2,776 | 35,243 | (48,320) |
Repricing of payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | (576) | (280) | |
Payments to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | (3,855) | (4,635) | (10,713) |
(Decrease) increase in accounts payable and accrued expenses | (109,485) | 34,666 | 135,314 |
Increase in income taxes payable | 317,482 | 62,562 | 118,131 |
Net cash provided by (used in) operating activities | 6,033,235 | 2,563,061 | (6,198,938) |
Cash flow from investing activities | |||
Net cash (used in) provided by investing activities | (721,582) | (304,369) | 783,034 |
Cash flow from financing activities | |||
Issuance of unsecured senior notes | 1,150,000 | 650,000 | |
Payment of debt issuance costs | (19,606) | (37,567) | (30,112) |
Issuance of common stock pursuant to exercise of stock options | 2,947 | 7,536 | 9,389 |
Repurchase of common stock and Class A common stock | (406,086) | (958,194) | (337,479) |
Payment of withholding taxes relating to stock-based compensation | (7,780) | (8,993) | (5,265) |
Net cash (used in) provided by financing activities | (4,323,207) | (2,451,380) | 5,760,107 |
Net increase (decrease) in cash and restricted cash | 988,446 | (192,688) | 344,203 |
Non-cash financing activity: | |||
Restricted Cash | 3 | 24 | 65 |
PennyMac Financial Services, Inc. | |||
Non-cash financing activity: | |||
Issuance of common stock in settlement of directors' fees | 205 | 200 | 194 |
PennyMac Financial Services, Inc. | Parent Company [Member] | |||
Cash flow from operating activities | |||
Net income | 475,507 | 1,003,490 | 1,646,884 |
Equity in undistributed earnings of subsidiaries | (161,893) | (261,084) | (1,435,328) |
Amortization of debt issuance costs | 3,701 | 2,321 | 225 |
Increase in receivable from PennyMac Mortgage Investment Trust | (27) | ||
(Increase) decrease in intercompany receivable | (31,566) | (897,063) | (574,518) |
(Decrease) increase in accounts payable and accrued expenses | (1,779) | 13,545 | 14,590 |
Increase in payable to subsidiaries | 19 | (22,289) | 18,211 |
Increase in income taxes payable | 217,771 | 35,839 | 65,406 |
Net cash provided by (used in) operating activities | 501,760 | (125,268) | (264,530) |
Cash flow from financing activities | |||
Issuance of unsecured senior notes | 1,150,000 | 650,000 | |
Payment of debt issuance costs | (21,922) | (4,405) | |
Payment of dividend to common stock and Class A common stockholders | (54,621) | (52,896) | (30,947) |
Issuance of common stock pursuant to exercise of stock options | 2,947 | 7,536 | 9,389 |
Repurchase of common stock and Class A common stock | (406,086) | (958,194) | (337,479) |
Payment of withholding taxes relating to stock-based compensation | (7,780) | (8,993) | (5,265) |
Net cash (used in) provided by financing activities | (465,540) | 115,531 | 281,293 |
Net increase (decrease) in cash and restricted cash | 36,220 | (9,737) | 16,763 |
Cash at beginning of year | 9,276 | 19,013 | 2,250 |
Cash at end of year | 45,496 | 9,276 | 19,013 |
Non-cash financing activity: | |||
Restricted Cash | $ 0 | $ 0 | $ 0 |
Subsequent Events (Details)
Subsequent Events (Details) $ / shares in Units, $ in Thousands | 1 Months Ended | ||
Feb. 07, 2023 item | Jan. 31, 2023 USD ($) $ / shares | Dec. 31, 2022 USD ($) | |
Note Payable | |||
Subsequent Event | |||
Maximum loan amount | $ 1,800,000 | ||
Securities Repurchase Agreements | |||
Debt instrument extension amount | $ 650,000 | ||
Debt instrument extension period | 2 years | ||
Subsequent Event | |||
Subsequent Event | |||
Dividends declared (in dollars per share) | $ / shares | $ 0.20 | ||
Number of new variable funding repurchase agreements | item | 2 | ||
Subsequent Event | Note Payable | |||
Securities Repurchase Agreements | |||
Debt instrument extension amount | $ 650,000 | ||
Debt instrument extension period | 2 years |