Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2023 | Oct. 27, 2023 | |
Document and Entity Information | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Sep. 30, 2023 | |
Document Transition Report | false | |
Entity File Number | 001-38727 | |
Entity Registrant Name | PennyMac Financial Services, Inc. | |
Entity Central Index Key | 0001745916 | |
Entity Incorporation, State or Country Code | DE | |
Entity Tax Identification Number | 83-1098934 | |
Entity Address, Address Line One | 3043 Townsgate Road | |
Entity Address, City or Town | Westlake Village | |
Entity Address, State or Province | CA | |
Entity Address, Postal Zip Code | 91361 | |
City Area Code | 818 | |
Local Phone Number | 224-7442 | |
Title of 12(b) Security | Common Stock, $0.0001 par value | |
Trading Symbol | PFSI | |
Security Exchange Name | NYSE | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 49,925,752 | |
Document Fiscal Year Focus | 2023 | |
Document Fiscal Period Focus | Q3 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
ASSETS | ||
Cash | $ 1,177,304 | $ 1,328,536 |
Short-term investment at fair value | 5,553 | 12,194 |
Loans held for sale at fair value (includes $5,026,818 and $3,442,847 pledged to creditors) | 5,186,656 | 3,509,300 |
Derivative assets | 103,366 | 99,003 |
Servicing advances, net (includes valuation allowance of $65,644 and $78,992; $268,987 and $381,379 pledged to creditors) | 399,281 | 696,753 |
Mortgage servicing rights at fair value (includes $7,018,069 and $5,897,613 pledged to creditors) | 7,084,356 | 5,953,621 |
Operating lease right-of-use assets | 53,419 | 65,866 |
Investment in PennyMac Mortgage Investment Trust at fair value | 930 | 929 |
Receivable from PennyMac Mortgage Investment Trust | $ 27,613 | $ 36,372 |
Other Receivable, after Allowance for Credit Loss, Related Party, Type [Extensible Enumeration] | Affiliated entities | Affiliated entities |
Loans eligible for repurchase | $ 4,445,814 | $ 4,702,103 |
Other (includes $30,021 and $12,277 pledged to creditors) | 465,022 | 417,907 |
Total assets | 18,949,314 | 16,822,584 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 4,411,747 | 3,001,283 |
Mortgage loan participation purchase and sale agreements | 498,392 | 287,592 |
Notes payable secured by mortgage servicing assets | 2,673,402 | 1,942,646 |
Unsecured senior notes | 1,782,689 | 1,779,920 |
Derivative liabilities | 41,200 | 21,712 |
Mortgage servicing liabilities at fair value | 1,818 | 2,096 |
Accounts payable and accrued expenses | 236,611 | 262,358 |
Operating lease liabilities | 70,210 | 85,550 |
Other liabilities | $ 97,975 | $ 205,011 |
Other Liability, Related Party, Type [Extensible Enumeration] | Affiliated entities | Affiliated entities |
Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | $ 26,099 | $ 26,099 |
Income taxes payable | 1,059,993 | 1,002,744 |
Liability for loans eligible for repurchase | 4,445,814 | 4,702,103 |
Liability for losses under representations and warranties | 30,491 | 32,421 |
Total liabilities | 15,376,441 | 13,351,535 |
Commitments and contingencies - Note 16 | ||
STOCKHOLDERS' EQUITY | ||
Additional paid-in capital | 11,475 | |
Retained earnings | 3,561,393 | 3,471,044 |
Total stockholders' equity | 3,572,873 | 3,471,049 |
Total liabilities and stockholders' equity | 18,949,314 | 16,822,584 |
Common Class A [Member] | ||
STOCKHOLDERS' EQUITY | ||
Common stock - authorized 200,000,000 shares of $0.0001 par value; issued and outstanding, 49,925,752 and 49,988,492 shares respectively | $ 5 | $ 5 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Loans held for sale | $ 5,186,656 | $ 3,509,300 |
Servicing advances, net | 399,281 | 696,753 |
Mortgage servicing rights, at fair value | 7,084,356 | 5,953,621 |
Other assets | 465,022 | 417,907 |
Servicing advances, net, valuation allowance | $ 65,644 | $ 78,992 |
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 | 49,925,752 | 49,988,492 |
Common stock, shares outstanding | 49,925,752 | 49,988,492 |
Asset Pledged as Collateral without Right | ||
Loans held for sale | $ 5,026,818 | $ 3,442,847 |
Servicing advances, net | 268,987 | 381,379 |
Mortgage servicing rights, at fair value | 7,018,069 | 5,897,613 |
Other assets | $ 30,021 | $ 12,277 |
CONSOLIDATED STATEMENTS OF INCO
CONSOLIDATED STATEMENTS OF INCOME - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Net gains on loans held for sale at fair value: | ||||
Net gains on loans held for sale at fair value | $ 151,374 | $ 168,694 | $ 397,178 | $ 689,720 |
Loan origination fees | 37,701 | 34,037 | 108,059 | 141,840 |
Fulfillment fees from PennyMac Mortgage Investment Trust | 5,531 | 18,407 | 22,895 | 55,807 |
Loan servicing fees: | ||||
Loan servicing fees | 387,934 | 313,080 | 1,082,462 | 906,688 |
Change in fair value of mortgage servicing rights and mortgage servicing liabilities | 221,096 | 95,411 | (70,608) | 420,424 |
Mortgage servicing rights hedging results | (423,656) | (164,749) | (531,565) | (558,614) |
Change in fair value of excess servicing spread financing payable to PennyMac Mortgage Investment Trust | (202,560) | (69,338) | (602,173) | (138,190) |
Net loan servicing fees | 185,374 | 243,742 | 480,289 | 768,498 |
Interest income: | ||||
Interest income | 166,552 | 82,994 | 467,982 | 186,740 |
Interest expense: | ||||
Interest expense | 156,863 | 82,965 | 467,276 | 231,399 |
Net interest income (expense) | 9,689 | 29 | 706 | (44,659) |
Management fees, net: | ||||
Management fees from PennyMac Mortgage Investment Trust | 7,175 | 7,731 | 21,510 | 23,758 |
Change in fair value of investment in and dividends received from PennyMac Mortgage Investment Trust | (51) | (119) | 91 | (311) |
Results of real estate acquired in settlement of loans | 637 | 528 | 978 | 1,881 |
Other | 2,878 | 3,241 | 8,011 | 8,775 |
Total net revenues | 400,308 | 476,290 | 1,039,717 | 1,645,309 |
Expenses | ||||
Compensation | 156,909 | 157,793 | 441,826 | 601,532 |
Technology | 39,000 | 35,647 | 110,282 | 105,054 |
Loan origination | 28,889 | 28,356 | 87,621 | 148,620 |
Professional services | 11,942 | 16,230 | 50,837 | 57,126 |
Servicing | 13,242 | 20,399 | 40,526 | 22,204 |
Occupancy and equipment | 8,900 | 11,299 | 27,786 | 30,139 |
Marketing and advertising | 4,632 | 7,601 | 13,451 | 43,011 |
Other | 9,997 | 13,493 | 29,527 | 40,105 |
Total expenses | 273,511 | 290,818 | 801,856 | 1,047,791 |
Income before provision for income taxes | 126,797 | 185,472 | 237,861 | 597,518 |
Provision for income taxes | 33,927 | 50,338 | 56,363 | 159,628 |
Net income | $ 92,870 | $ 135,134 | $ 181,498 | $ 437,890 |
Earnings per share | ||||
Basic (in dollars per share) | $ 1.86 | $ 2.59 | $ 3.63 | $ 8.10 |
Diluted (in dollars per share) | $ 1.77 | $ 2.46 | $ 3.44 | $ 7.69 |
Weighted-average shares outstanding | ||||
Basic (in shares) | 49,902 | 52,170 | 49,975 | 54,043 |
Diluted (in shares) | 52,561 | 54,968 | 52,735 | 56,913 |
Related Party | ||||
Net gains on loans held for sale at fair value: | ||||
Net gains on loans held for sale at fair value | $ (500) | $ (1,648) | $ (1,494) | $ (16,052) |
Loan origination fees | 579 | 2,192 | 2,690 | 6,938 |
Nonrelated Party | ||||
Net gains on loans held for sale at fair value: | ||||
Net gains on loans held for sale at fair value | 151,874 | 170,342 | 398,672 | 705,772 |
Loan origination fees | 37,122 | 31,845 | 105,369 | 134,902 |
Interest expense: | ||||
Interest expense | 156,863 | 82,965 | 467,276 | 231,399 |
Non-affiliates | Nonrelated Party | ||||
Loan servicing fees: | ||||
Loan servicing fees | 328,049 | 270,336 | 925,865 | 774,483 |
PennyMac Mortgage Investment Trust | Related Party | ||||
Net gains on loans held for sale at fair value: | ||||
Net gains on loans held for sale at fair value | (500) | (1,648) | (1,494) | (16,052) |
Loan servicing fees: | ||||
Loan servicing fees | 20,257 | 20,247 | 61,023 | 61,670 |
Others | Nonrelated Party | ||||
Loan servicing fees: | ||||
Loan servicing fees | $ 39,628 | $ 22,497 | $ 95,574 | $ 70,535 |
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, 2021 | $ 6 | $ 125,396 | $ 3,292,923 | $ 3,418,325 |
Balance (in shares) at Dec. 31, 2021 | 56,867 | |||
Changes in stockholders' equity | ||||
Net income | 437,890 | 437,890 | ||
Stock based compensation | 24,686 | 24,686 | ||
Stock based compensation (in shares) | 837 | |||
Issuance of common stock in settlement of directors' fees | 154 | 154 | ||
Issuance of common stock in settlement of directors' fees (in shares) | 3 | |||
Common stock dividends | (44,206) | (44,206) | ||
Repurchase of common stock | $ (1) | (150,236) | (204,522) | (354,759) |
Repurchase of common stock (in shares) | (6,696) | |||
Balance at Sep. 30, 2022 | $ 5 | 3,482,085 | 3,482,090 | |
Balance (in shares) at Sep. 30, 2022 | 51,011 | |||
Balance at Jun. 30, 2022 | $ 5 | 3,461,380 | 3,461,385 | |
Balance (in shares) at Jun. 30, 2022 | 52,939 | |||
Changes in stockholders' equity | ||||
Net income | 135,134 | 135,134 | ||
Stock based compensation | 6,863 | 6,863 | ||
Stock based compensation (in shares) | 20 | |||
Issuance of common stock in settlement of directors' fees | 52 | 52 | ||
Issuance of common stock in settlement of directors' fees (in shares) | 1 | |||
Common stock dividends | (21,642) | (21,642) | ||
Repurchase of common stock | (6,915) | (92,787) | (99,702) | |
Repurchase of common stock (in shares) | (1,949) | |||
Balance at Sep. 30, 2022 | $ 5 | 3,482,085 | 3,482,090 | |
Balance (in shares) at Sep. 30, 2022 | 51,011 | |||
Balance at Dec. 31, 2022 | $ 5 | 3,471,044 | 3,471,049 | |
Balance (in shares) at Dec. 31, 2022 | 49,988 | |||
Changes in stockholders' equity | ||||
Net income | 181,498 | 181,498 | ||
Stock based compensation | 23,005 | 23,005 | ||
Stock based compensation (in shares) | 1,137 | |||
Issuance of common stock in settlement of directors' fees | 102 | 102 | ||
Issuance of common stock in settlement of directors' fees (in shares) | 2 | |||
Common stock dividends | (31,206) | (31,206) | ||
Repurchase of common stock | (11,632) | (59,943) | (71,575) | |
Repurchase of common stock (in shares) | (1,201) | |||
Balance at Sep. 30, 2023 | $ 5 | 11,475 | 3,561,393 | 3,572,873 |
Balance (in shares) at Sep. 30, 2023 | 49,926 | |||
Balance at Jun. 30, 2023 | $ 5 | 3,478,755 | 3,478,760 | |
Balance (in shares) at Jun. 30, 2023 | 49,858 | |||
Changes in stockholders' equity | ||||
Net income | 92,870 | 92,870 | ||
Stock based compensation | 11,475 | 11,475 | ||
Stock based compensation (in shares) | 68 | |||
Common stock dividends | (10,232) | (10,232) | ||
Balance at Sep. 30, 2023 | $ 5 | $ 11,475 | $ 3,561,393 | $ 3,572,873 |
Balance (in shares) at Sep. 30, 2023 | 49,926 |
CONSOLIDATED STATEMENTS OF CH_2
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY | ||||
Common Stock dividends (in dollars per share) | $ 0.20 | $ 0.20 | $ 0.60 | $ 0.60 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2023 | Sep. 30, 2022 | |
Cash flow from operating activities | ||
Net income | $ 181,498 | $ 437,890 |
Adjustments to reconcile net income to net cash (used in) provided by operating activities: | ||
Net gains on loans held for sale at fair value | (397,178) | (689,720) |
Change in fair value of mortgage servicing rights and mortgage servicing liabilities | 70,608 | (420,424) |
Mortgage servicing rights hedging results | 531,565 | 558,614 |
Capitalization of interest on loans held for sale | (678) | (3,122) |
Amortization of debt issuance costs | 14,925 | 14,560 |
Change in fair value of investment in common shares of PennyMac Mortgage Investment Trust | (1) | 416 |
Results of real estate acquired in settlement in loans | (978) | (1,881) |
Stock-based compensation expense | 20,839 | 30,689 |
Reversal of provision for servicing advance losses | (7,603) | (52,113) |
Depreciation and amortization | 39,122 | 23,809 |
Amortization of operating lease right-of-use assets | 13,311 | 11,796 |
Purchase of loans held for sale from PennyMac Mortgage Investment Trust | (50,812,386) | (36,544,166) |
Origination of loans held for sale | (8,277,117) | (18,343,547) |
Purchase of loans held for sale from non-affiliates | (1,507,346) | (1,564,173) |
Purchase of loans from Ginnie Mae securities and early buyout investors | (2,045,156) | (5,620,437) |
Sale to non-affiliates and principal payment of loans held for sale | 60,061,205 | 67,056,886 |
Sale of loans held for sale to PennyMac Mortgage Investment Trust | 298,862 | |
Repurchase of loans subject to representations and warranties | (38,943) | (76,865) |
Decrease in servicing advances | 248,115 | 234,529 |
Decrease in receivable from PennyMac Mortgage Investment Trust | 8,229 | 6,941 |
Sale of real estate acquired in settlement of loans | 25,039 | 15,419 |
(Increase) decrease in other assets | (47,226) | 74,433 |
Decrease in accounts payable and accrued expenses | (24,641) | (13,922) |
Decrease in operating lease liabilities | (16,992) | (12,562) |
Decrease in payable to PennyMac Mortgage Investment Trust | (107,968) | (153,276) |
Payments to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | (3,855) | |
Increase in income taxes payable | 57,249 | 279,045 |
Net cash (used in) provided by operating activities | (2,012,508) | 5,543,826 |
Cash flow from investing activities | ||
Decrease (increase) in short-term investment | 6,641 | (29,225) |
Sale of interest-only stripped securities | 98,066 | |
Net settlement of derivative financial instruments used for hedging of mortgage servicing rights | (450,193) | (810,749) |
Purchase of mortgage servicing rights | (3,927) | |
Transfer of mortgage servicing rights related to delinquent loans to Agency | 305 | |
Acquisition of capitalized software | (27,650) | (59,631) |
Purchase of furniture, fixtures, equipment and leasehold improvements | (891) | (5,604) |
(Increase) decrease in margin deposits | (4,254) | 425,569 |
Net cash used in investing activities | (377,976) | (483,567) |
Cash flow from financing activities | ||
Sale of assets under agreements to repurchase | 61,277,758 | 58,606,620 |
Repurchase of assets sold under agreements to repurchase | (59,864,151) | (62,413,898) |
Issuance of mortgage loan participation purchase and sale certificates | 16,137,040 | 14,947,597 |
Repayment of mortgage loan participation purchase and sale certificates | (15,926,067) | (15,059,445) |
Issuance of notes payable secured by mortgage servicing assets | 880,000 | 500,000 |
Repayment of notes payable secured by mortgage servicing assets | (150,000) | |
Repayment of obligations under capital lease | (3,489) | |
Payment of debt issuance costs | (14,716) | (14,087) |
Issuance of common stock pursuant to exercise of stock options | 11,308 | 1,777 |
Payment of withholding taxes relating to stock-based compensation | (9,142) | (7,780) |
Payment of dividends to holders of common stock | (31,206) | (44,206) |
Repurchase of common stock | (71,575) | (354,759) |
Net cash provided by (used in) financing activities | 2,239,249 | (3,841,670) |
Net (decrease) increase in cash and restricted cash | (151,235) | 1,218,589 |
Cash and restricted cash at beginning of period | 1,328,539 | 340,093 |
Cash and restricted cash at end of period | 1,177,304 | 1,558,682 |
Cash | 1,177,304 | 1,558,679 |
Restricted cash included in Other assets | 3 | |
Supplemental cash flow information: | ||
Cash paid for interest | 463,567 | 236,504 |
Cash refunds received for income taxes, net | 886 | 119,417 |
Non-cash investing activities: | ||
Mortgage servicing rights resulting from loan sales | 1,299,992 | 1,359,632 |
Exchange of mortgage servicing spread for interest-only stripped securities | 98,066 | |
Operating right-of-use assets recognized | 2,893 | 1,364 |
Unsettled portion of MSR acquisitions | 213 | |
Non-cash financing activities: | ||
Issuance of common stock in settlement of directors' fees | $ 102 | $ 154 |
Organization
Organization | 9 Months Ended |
Sep. 30, 2023 | |
Organization | |
Organization | PENNYMAC FINANCIAL SERVICES, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) Note 1—Organization PennyMac Financial Services, Inc. (together, with its consolidated subsidiaries, unless the context indicates otherwise, “PFSI” or the “Company”) is a holding corporation and its primary assets are equity interests in Private National Mortgage Acceptance Company, LLC (“PNMAC”). The Company is the managing member of PNMAC, and it operates and controls all of the businesses and consolidates the financial results of PNMAC and its subsidiaries. PNMAC is a Delaware limited liability company which, through its subsidiaries, engages in mortgage banking and investment management activities. PNMAC’s mortgage banking activities consist of residential mortgage loan production and servicing. PNMAC’s investment management activities and a portion of its mortgage banking activities are conducted on behalf of PennyMac Mortgage Investment Trust, a real estate investment trust that invests in residential mortgage-related assets and is separately listed on the New York Stock Exchange under the ticker symbol “PMT”. PNMAC’s primary wholly owned subsidiaries are: ● PennyMac Loan Services, LLC (“PLS”) — a Delaware limited liability company that services portfolios of residential mortgage loans on behalf of non-affiliates and PMT , purchases, originates and sells new prime credit quality residential mortgage loans and engages in other mortgage banking activities for its own account and the account of PMT. PLS has mortgage banking, loan servicing and mortgage loan recapture agreements with PMT. PLS is approved as a seller/servicer of mortgage loans by the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”) and as an issuer of securities guaranteed by the Government National Mortgage Association (“Ginnie Mae”). PLS is a licensed Federal Housing Administration (“FHA”) Nonsupervised Title II Lender with the U.S. Department of Housing and Urban Development (“HUD”) and a lender/servicer with the U.S. Department of Veterans Affairs (“VA”) and U.S. Department of Agriculture (“USDA”) (each of the above an “Agency” and collectively the “Agencies”). ● PNMAC Capital Management, LLC (“PCM”) — a Delaware limited liability company registered with the Securities and Exchange Commission as an investment adviser under the Investment Advisers Act of 1940, as amended. PCM has an investment management agreement with PMT. |
Basis of Presentation
Basis of Presentation | 9 Months Ended |
Sep. 30, 2023 | |
Basis of Presentation | |
Basis of Presentation | Note 2—Basis of Presentation The accompanying consolidated financial statements have been prepared in compliance with accounting principles generally accepted in the United States (“GAAP”) as codified in the Financial Accounting Standards Board’s Accounting Standards Codification The accompanying consolidated financial statements reflect all normal recurring adjustments necessary to present fairly the financial position, income, and cash flows for the interim periods presented, but are not necessarily indicative of income that may be expected for the full year ending December 31, 2023. Intercompany accounts and transactions have been eliminated. Preparation of financial statements in compliance with GAAP requires management to make judgments and estimates that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements, and revenues and expenses during the reporting period. Actual results will likely differ from those estimates. |
Concentration of Risk
Concentration of Risk | 9 Months Ended |
Sep. 30, 2023 | |
Concentration of Risk | |
Concentration of Risk | Note 3—Concentration of Risk A portion of the Company’s activities relate to PMT. Revenues generated from PMT (generally comprised of gains on loans held for sale, loan origination and fulfillment fees, loan servicing fees, management fees, change in fair value of investment in and dividends received from PMT, and expense allocations charged to PMT) totaled 9% and 10% of total net revenues for the quarters ended September 30, 2023 and 2022, respectively, and 11% and 8% for the nine months ended September 30, 2023 and 2022, respectively. The Company also purchased 84% and 78% of its newly originated loan production from PMT during the quarters ended September 30, 2023 and 2022, respectively, and 84% and 65% during the nine months ended September 30, 2023 and 2022, respectively. |
Related Party Transactions
Related Party Transactions | 9 Months Ended |
Sep. 30, 2023 | |
Related Party Transactions | |
Related Party Transactions | Note 4—Related Party Transactions PennyMac Mortgage Investment Trust Operating Activities Mortgage Loan Production Activities and Mortgage Servicing Rights (“MSRs”) Recapture Loan Sales MSR Recapture ● 40% of the fair market value of the MSRs relating to the recaptured loans subject to the first 15% of the “recapture rate”; ● 35% of the fair market value of the MSRs relating to the recaptured loans subject to the “recapture rate” in excess of 15% and up to 30% ; and ● 30% of the fair market value of the MSRs relating to the recaptured loans subject to the “recapture rate” in excess of 30% . Fulfillment Services ● the number of loan commitments issued 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 loan commitments per quarter and $355 for each pull-through adjusted loan commitment in excess of 16,500 per quarter, plus ● $315 multiplied by the number of purchased loans that are sold to Fannie Mae and Freddie Mac up to the and including 16,500 loans per quarter and $195 multiplied by the number of such purchased loans in excess of 16,500 per quarter, plus ● $750 multiplied by the number of all purchased loans that are sold or securitized to parties other than Fannie Mae and Freddie Mac; provided, however, that no fulfillment fee shall be due or payable to PLS with respect to any Ginnie Mae loans and certain Fannie Mae or Freddie Mac loans acquired by PLS. Sourcing Fees Following is a summary of loan production and MSR recapture activities, between the Company and PMT: Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) Net losses on loans held for sale at fair value: Net losses on loans sold to PMT (primarily cash) $ — $ — $ — $ (2,820) Mortgage servicing rights recapture incurred (500) (1,648) (1,494) (13,232) $ (500) $ (1,648) $ (1,494) $ (16,052) Sales of loans held for sale to PMT $ — $ — $ — $ 298,862 Tax service fees earned from PMT included in Loan origination fees $ 579 $ 2,192 $ 2,690 $ 6,938 Fulfillment fee revenue $ 5,531 $ 18,407 $ 22,895 $ 55,807 Unpaid principal balance of loans fulfilled for PMT subject to fulfillment fees $ 2,760,000 $ 10,226,513 $ 12,418,084 $ 30,319,475 Sourcing fees included in cost of loans purchased from PMT $ 1,854 $ 1,203 $ 5,014 $ 3,562 Unpaid principal balance of loans purchased from PMT: Government guaranteed or insured $ 8,606,835 $ 12,261,222 $ 29,127,889 $ 35,643,210 Conventional conforming 9,932,593 — 21,013,357 — $ 18,539,428 $ 12,261,222 $ 50,141,246 $ 35,643,210 Loan Servicing The Company and PMT have entered into a loan servicing agreement (the “Servicing Agreement”), pursuant to which the Company provides subservicing for PMT’s MSRs, loans at fair value held in consolidated variable interest entities and loans held for sale (prime servicing) and its portfolio of residential mortgage loans purchased with credit deterioration (special servicing). The Servicing Agreement provides for servicing fees of per-loan monthly amounts based on the delinquency, bankruptcy and/or foreclosure status of the serviced loan or the real estate acquired in settlement of loans (“REO”). The Company also remains entitled to customary ancillary income and market-based fees and charges relating to loans it services for PMT. Prime Servicing ● The base servicing fees for prime loans are calculated through a monthly per-loan dollar amount, with the actual dollar amount for each loan based on whether the loan is a fixed-rate or adjustable-rate loan. The base servicing fee rates are $7.50 per month for fixed-rate loans and $8.50 per month for adjustable-rate loans. ● To the extent that prime loans become delinquent, the Company is entitled to an additional servicing fee per loan ranging from $10 to $55 per month based on the delinquency, bankruptcy and foreclosure status of the loan or $75 per month if the underlying mortgaged property becomes REO. The Company is also entitled to customary ancillary income and certain market-based fees and charges, including boarding and deboarding fees, liquidation and disposition fees, assumption, modification and origination fees and a percentage of late charges. ● The Company receives certain fees for COVID-19-related forbearance and modification activities provided for under the Coronavirus Aid, Relief, and Economic Security Act. Special Servicing ● The base servicing fee rates for special servicing 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 special servicing 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. Following is a summary of loan servicing fees earned from PMT: Quarter ended September 30, Nine months ended September 30, Loan type serviced 2023 2022 2023 2022 (in thousands) Prime servicing $ 20,224 $ 20,136 $ 60,839 $ 61,243 Special servicing 33 111 184 427 $ 20,257 $ 20,247 $ 61,023 $ 61,670 Investment Management Activities The Company has a management agreement with PMT (the “Management Agreement”), pursuant to which the Company oversees PMT’s business affairs in conformity with PMT’s investment policies 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. “High watermark” is the quarterly adjustment that reflects the amount by which the “net income” (stated as a percentage of return on “equity”) in that quarter exceeds or falls short of the lesser of 8% and the average Fannie Mae 30-year MBS yield (the “Target Yield”) for the four quarters then ended. If the “net income” is lower than the Target Yield, the high watermark is increased by the difference. If the “net income” is higher than the Target Yield, the high watermark is reduced by the difference. Each time a performance incentive fee is earned, the high watermark returns to zero. As a result, the threshold amounts required for the Company to earn a performance incentive fee are adjusted cumulatively based on the performance of PMT’s “net income” over (or under) the Target Yield, until the “net income” in excess of the Target Yield exceeds the then-current cumulative high watermark amount, and a performance incentive fee is earned. The base management fee and the performance incentive fee are both receivable quarterly in arrears. The performance incentive fee may be paid in cash or a combination of cash and PMT’s common shares (subject to a limit of no more than 50% paid in common shares), at PMT’s option. In the event of termination of the Management Agreement between PMT and the Company, the Company may be entitled to a termination fee in certain circumstances. The termination fee is equal to three times the sum of (a) the average annual base management fee, and (b) the average annual performance incentive fee earned by the Company, in each case during the 24-month period immediately preceding the date of termination. Following is a summary of the base management and performance incentive fees earned from PMT: Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) Base management $ 7,175 $ 7,731 $ 21,510 $ 23,758 Performance incentive — — — — $ 7,175 $ 7,731 $ 21,510 $ 23,758 Expense Reimbursement Under the Management Agreement, PMT reimburses the Company for its organizational and operating expenses, including third-party expenses, incurred on PMT’s behalf, it being understood that the Company and its affiliates shall allocate a portion of their personnel’s time to provide certain legal, tax and investor relations services for the direct benefit of PMT. With respect to the allocation of the Company’s and its affiliates’ personnel compensation, the Company is reimbursed $165,000 per fiscal quarter, such amount to be reviewed annually and not preclude reimbursement for any other services performed by the Company or its affiliates. PMT is also required to pay its pro rata portion of rent, telephone, utilities, office furniture, equipment, machinery and other office, internal and overhead expenses of the Company and its affiliates required for PMT’s and its subsidiaries’ operations. These expenses are allocated based on the ratio of PMT’s proportion of gross assets compared to all remaining gross assets owned or managed by the Company as calculated at each fiscal quarter end. The Company received reimbursements from PMT for expenses as follows: Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) Reimbursement of: Expenses incurred on PMT's behalf, net $ 5,893 $ 705 $ 15,532 $ 8,896 Common overhead incurred by the Company 1,489 2,574 5,450 6,247 Compensation 165 165 495 495 $ 7,547 $ 3,444 $ 21,477 $ 15,638 Payments and settlements during the period (1) $ 9,190 $ 41,509 $ 72,446 $ 110,835 (1) Payments and settlements include payments for the operating, investing and financing activities itemized in this Note. Investing Activities The Company owns 75,000 common shares of beneficial interest of PMT. Following is a summary of investing activities between the Company and PMT: Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) Change in fair value of investment in and dividends received from PennyMac Mortgage Investment Trust $ (51) $ (119) $ 91 $ (311) September 30, December 31, 2023 2022 (in thousands) Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Fair value $ 930 $ 929 Number of shares 75 75 Receivable from and Payable to PMT Amounts receivable from and payable to PMT are summarized below: September 30, December 31, 2023 2022 (in thousands) Receivable from PMT: Correspondent production fees $ 9,183 $ 6,835 Management fees 7,175 7,307 Servicing fees 6,760 6,740 Allocated expenses and expenses incurred on PMT's behalf 2,672 11,447 Fulfillment fees 1,823 4,043 $ 27,613 $ 36,372 Payable to PMT: Amounts advanced by PMT to fund its servicing advances $ 95,723 $ 201,451 Other 2,252 3,560 $ 97,975 $ 205,011 Exchanged Private National Mortgage Acceptance Company, LLC Unitholders 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. The Company has recorded a $26.1 million Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement 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 loan agreement has a maximum commitment amount of $1.5 million, matures on December 27, 2027, and earns interest, at 10.13% per year as of September 30, 2023, 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 |
Loan Sales and Servicing Activi
Loan Sales and Servicing Activities | 9 Months Ended |
Sep. 30, 2023 | |
Loan Sales and Servicing Activities | |
Loan Sales and Servicing Activities | Note 5—Loan Sales and Servicing Activities The Company originates or purchases and sells loans in the secondary mortgage market without recourse for credit losses. However, the Company maintains continuing involvement with the loans in the form of servicing arrangements and the liability under representations and warranties it makes to purchasers and insurers of the loans. The following table summarizes cash flows between the Company and transferees as a result of the sale of loans in transactions where the Company maintains continuing involvement with the loans as servicer: Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) Cash flows: Sales proceeds $ 21,651,096 $ 16,215,098 $ 60,061,205 $ 67,056,886 Servicing fees received $ 303,224 $ 242,622 $ 853,962 $ 676,384 The Company is contractually responsible for making the payments required to protect its beneficial interest holders’ interests in the properties collateralizing their loans and may, therefore, be required to advance amounts in excess of insurer or guarantor reimbursement limits. Therefore, the Company provides a valuation allowance on the servicing advances for these amounts in excess of amounts that are expected to ultimately be recovered from the loans’ insurers, guarantors, or beneficial interest holders. The servicing advance valuation allowance is estimated based on relevant qualitative and quantitative information about past events, including historical collection and loss experience, current conditions, and reasonable and supportable forecasts that affect collectable amounts. The provision for losses on servicing advances is included in Servicing The following is a summary of the allowance for losses on servicing advances: Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) Balance at beginning of period $ 70,070 $ 66,143 $ 78,992 $ 120,940 Reversals of provision for losses (2,554) (820) (7,603) (52,113) Charge-offs, net (1,872) (1,610) (5,745) (5,114) Balance at end of period $ 65,644 $ 63,713 $ 65,644 $ 63,713 The following table summarizes the UPB of the loans sold by the Company in transactions when it maintains continuing involvement with the loans as servicer: September 30, December 31, 2023 2022 (in thousands) Unpaid principal balance of loans outstanding $ 333,372,910 $ 295,032,674 Delinquent loans: 30-89 days $ 12,534,532 $ 11,019,194 90 days or more: Not in foreclosure $ 6,176,470 $ 6,548,849 In foreclosure $ 748,004 $ 834,155 Foreclosed $ 8,172 $ 12,905 Loans in bankruptcy $ 1,319,689 $ 1,143,484 The following tables summarize the Company’s loan servicing portfolio as measured by UPB: September 30, 2023 Servicing Total rights owned Subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 333,372,910 $ — $ 333,372,910 Purchased 17,924,005 — 17,924,005 351,296,915 — 351,296,915 PennyMac Mortgage Investment Trust — 232,914,107 232,914,107 Loans held for sale 5,181,866 — 5,181,866 $ 356,478,781 $ 232,914,107 $ 589,392,888 Delinquent loans: 30 days $ 10,279,914 $ 1,634,924 $ 11,914,838 60 days 2,891,309 377,754 3,269,063 90 days or more: Not in foreclosure 6,390,779 946,456 7,337,235 In foreclosure 804,958 76,663 881,621 Foreclosed 9,180 5,136 14,316 $ 20,376,140 $ 3,040,933 $ 23,417,073 Loans in bankruptcy $ 1,441,034 $ 171,598 $ 1,612,632 Custodial funds managed by the Company (1) $ 5,310,846 $ 2,760,857 $ 8,071,703 (1) Custodial funds include cash accounts holding funds on behalf of borrowers and investors relating to loans serviced under servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns placement fees on certain of these custodial funds where it owns the MSRs and these fees are included in Interest income in the Company’s consolidated statements of income. 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: 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 Custodial funds managed by the Company $ 3,329,709 $ 1,783,157 $ 5,112,866 (1) Custodial funds include cash accounts holding funds on behalf of borrowers and investors relating to loans serviced under servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns placement fees on certain of these custodial funds where it owns the MSRs and these 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 loan servicing portfolio for the top five and all other states as measured by UPB: September 30, December 31, State 2023 2022 (in thousands) California $ 70,097,836 $ 68,542,279 Florida 55,873,979 50,873,961 Texas 54,118,039 47,911,696 Virginia 34,798,867 33,478,151 Maryland 26,367,206 25,473,417 All other states 348,136,961 325,395,178 $ 589,392,888 $ 551,674,682 |
Fair Value
Fair Value | 9 Months Ended |
Sep. 30, 2023 | |
Fair Value. | |
Fair Value | Note 6—Fair Value Most of the Company’s assets and certain of its liabilities are measured at or based on their fair values. The Company groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the significant inputs used to determine fair value. These levels are: ● Level 1—Quoted prices in active markets for identical assets or liabilities. ● Level 2—Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing an asset or liability and are developed based on market data obtained from sources independent of the Company. ● Level 3— Prices determined using significant unobservable inputs. In situations where observable inputs are unavailable, unobservable inputs may be used. Unobservable inputs reflect the Company’s own judgments about the factors that market participants use in pricing an asset or liability, and are based on the best information available in the circumstances. As a result of the difficulty in observing certain significant valuation inputs affecting “Level 3” fair value assets and liabilities, the Company is required to make judgments regarding these items’ fair values. Different persons in possession of the same facts may reasonably arrive at different conclusions as to the inputs to be applied in valuing these assets and liabilities and their fair values. Such differences may result in significantly different fair value measurements. Likewise, due to the general illiquidity of some of these assets and liabilities, subsequent transactions may be at values significantly different from those reported. Fair Value Accounting Elections The Company identified its MSRs, its mortgage servicing liabilities (“MSLs”) and all of its non-cash financial assets to be accounted for at fair value so changes in fair value will be reflected in income as they occur and more timely reflect the results of the Company’s performance. Assets and Liabilities Measured at Fair Value on a Recurring Basis Following is a summary of assets and liabilities that are measured at fair value on a recurring basis: September 30, 2023 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investment $ 5,553 $ — $ — $ 5,553 Loans held for sale at fair value — 4,787,472 399,184 5,186,656 Derivative assets: Interest rate lock commitments — — 42,385 42,385 Forward purchase contracts — 7,227 — 7,227 Forward sales contracts — 115,778 — 115,778 MBS put options — 4,408 — 4,408 Put options on interest rate futures purchase contracts 36,391 — — 36,391 Call options on interest rate futures purchase contracts 2,324 — — 2,324 Total derivative assets before netting 38,715 127,413 42,385 208,513 Netting — — — (105,147) Total derivative assets 38,715 127,413 42,385 103,366 Mortgage servicing rights at fair value — — 7,084,356 7,084,356 Investment in PennyMac Mortgage Investment Trust 930 — — 930 $ 45,198 $ 4,914,885 $ 7,525,925 $ 12,380,861 Liabilities: Derivative liabilities: Interest rate lock commitments $ — $ — $ 21,611 $ 21,611 Forward purchase contracts — 41,538 — 41,538 Forward sales contracts — 14,808 — 14,808 MBS put options — 4,301 — 4,301 Put options on interest rate futures sales contracts 4,945 — — 4,945 Total derivative liabilities before netting 4,945 60,647 21,611 87,203 Netting — — — (46,003) Total derivative liabilities 4,945 60,647 21,611 41,200 Mortgage servicing liabilities at fair value — — 1,818 1,818 $ 4,945 $ 60,647 $ 23,429 $ 43,018 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 As shown above, certain of the Company’s loans held for sale, Interest Rate Lock Commitments (“IRLCs”), MSRs and MSLs are measured using Level 3 fair value inputs. Following are roll forwards of assets and liabilities measured at fair value using “Level 3” inputs at either the beginning or the end of the period presented: Quarter ended September 30, 2023 Net interest Mortgage Loans held rate lock servicing Assets for sale commitments (1) rights Total (in thousands) Balance, June 30, 2023 $ 392,758 $ 30,636 $ 6,510,585 $ 6,933,979 Purchases and issuances, net 681,022 46,991 — 728,013 Capitalization of interest and servicing advances 10,770 — — 10,770 Sales and repayments (202,892) — (73) (202,965) Mortgage servicing rights resulting from loan sales — — 450,936 450,936 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 15,520 — — 15,520 Other factors (1,831) (32,161) 220,974 186,982 13,689 (32,161) 220,974 202,502 Transfers from Level 3 to Level 2 (496,019) — — (496,019) Transfers to real estate acquired in settlement of loans (144) — — (144) Transfers to loans held for sale — (24,692) — (24,692) Exchange of mortgage servicing spread for interest-only stripped securities — — (98,066) (98,066) Balance, September 30, 2023 $ 399,184 $ 20,774 $ 7,084,356 $ 7,504,314 Changes in fair value recognized during the quarter relating to assets still held at September 30, 2023 $ 6,519 $ 20,774 $ 220,974 $ 248,267 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended Liabilities September 30, 2023 (in thousands) Mortgage servicing liabilities: Balance, June 30, 2023 $ 1,940 Changes in fair value included in income (122) Balance, September 30, 2023 $ 1,818 Changes in fair value recognized during the quarter relating to liabilities still outstanding at September 30, 2023 $ (122) Quarter ended September 30, 2022 Net interest Mortgage Loans held rate lock servicing Assets for sale commitments (1) rights Total (in thousands) Balance, June 30, 2022 $ 503,553 $ 65,151 $ 5,217,167 $ 5,785,871 Purchases and issuances, net 260,721 38,481 4,140 303,342 Capitalization of interest and servicing advances 6,361 — — 6,361 Sales and repayments (71,078) — — (71,078) Mortgage servicing rights resulting from loan sales — — 345,077 345,077 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (9,217) — — (9,217) Other factors (4,801) (127,835) 95,288 (37,348) (14,018) (127,835) 95,288 (46,565) Transfers from Level 3 to Level 2 (340,903) — — (340,903) Transfers to loans held for sale — (32,000) — (32,000) Balance, September 30, 2022 $ 344,636 $ (56,203) $ 5,661,672 $ 5,950,105 Changes in fair value recognized during the quarter relating to assets still held at September 30, 2022 $ (16,166) $ (56,203) $ 95,288 $ 22,919 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Liabilities Quarter ended September 30, 2022 (in thousands) Mortgage servicing liabilities Balance, June 30, 2022 $ 2,337 Changes in fair value included in income (123) Balance, September 30, 2022 $ 2,214 Changes in fair value recognized during the quarter relating to liabilities still outstanding at September 30, 2022 $ (123) Nine months ended September 30, 2023 Net interest Mortgage Loans held rate lock servicing Assets for sale commitments (1) rights Total (in thousands) Balance, December 31, 2022 $ 345,772 $ 25,844 $ 5,953,621 $ 6,325,237 Purchases and issuances, net 1,733,158 177,377 — 1,910,535 Capitalization of interest and servicing advances 31,608 — — 31,608 Sales and repayments (472,039) — (305) (472,344) Mortgage servicing rights resulting from loan sales — — 1,299,992 1,299,992 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 36,014 — — 36,014 Other factors (1,967) 18,559 (70,886) (54,294) 34,047 18,559 (70,886) (18,280) Transfers from Level 3 to Level 2 (1,272,912) — — (1,272,912) Transfers to real estate acquired in settlement of loans (450) — — (450) Transfers to loans held for sale — (201,006) — (201,006) Exchange of mortgage servicing spread for interest-only stripped securities — — (98,066) (98,066) Balance, September 30, 2023 $ 399,184 $ 20,774 $ 7,084,356 $ 7,504,314 Changes in fair value recognized during the period relating to assets still held at September 30, 2023 $ 10,465 $ 20,774 $ (70,886) $ (39,647) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Nine months ended Liabilities September 30, 2023 (in thousands) Mortgage servicing liabilities: Balance, December 31, 2022 $ 2,096 Changes in fair value included in income (278) Balance, September 30, 2023 $ 1,818 Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2023 $ (278) Nine months ended September 30, 2022 Net interest Mortgage Loans held rate lock servicing Assets for sale commitments (1) rights Total (in thousands) Balance, December 31, 2021 $ 1,128,876 $ 322,193 $ 3,878,078 $ 5,329,147 Purchases and issuances, net 2,994,447 345,770 4,140 3,344,357 Capitalization of interest and servicing advances 54,080 — — 54,080 Sales and repayments (1,335,966) — — (1,335,966) Mortgage servicing rights resulting from loan sales — — 1,359,632 1,359,632 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (39,427) — — (39,427) Other factors (26,119) (694,318) 419,822 (300,615) (65,546) (694,318) 419,822 (340,042) Transfers from Level 3 to Level 2 (2,430,869) — — (2,430,869) Transfers to real estate acquired in settlement of loans (386) — — (386) Transfers to loans held for sale — (29,848) — (29,848) Balance, September 30, 2022 $ 344,636 $ (56,203) $ 5,661,672 $ 5,950,105 Changes in fair value recognized during the period relating to assets still held at September 30, 2022 $ (31,587) $ (56,203) $ 419,822 $ 332,032 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Nine months ended Liabilities September 30, 2022 (in thousands) Mortgage servicing liabilities: Balance, December 31, 2021 $ 2,816 Changes in fair value included in income (602) Balance, September 30, 2022 $ 2,214 Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2022 $ (602) The Company had transfers among the fair value levels arising from the return to salability in the active secondary market of certain loans held for sale and from transfers of IRLCs to loans held for sale at fair value upon purchase or funding. Assets and Liabilities Measured at Fair Value under the Fair Value Option Net changes in fair values included in income for assets and liabilities carried at fair value as a result of management’s election of the fair value option by income statement line item are summarized below: Quarter ended September 30, 2023 2022 Net gains on Net Net gains on Net loans held loan loans held loan for sale at servicing for sale at servicing fair value fees Total fair value fees Total (in thousands) Assets: Loans held for sale $ 762 $ — $ 762 $ (69,358) $ — $ (69,358) Mortgage servicing rights — 220,974 220,974 — 95,288 95,288 $ 762 $ 220,974 $ 221,736 $ (69,358) $ 95,288 $ 25,930 Liabilities: Mortgage servicing liabilities $ — $ 122 $ 122 $ — $ 123 $ 123 Nine months ended September 30, 2023 2022 Net gains on Net Net gains on Net loans held loan loans held loan for sale at servicing for sale at servicing fair value fees Total fair value fees Total (in thousands) Assets: Loans held for sale $ 187,462 $ — $ 187,462 $ (273,701) $ — $ (273,701) Mortgage servicing rights — (70,886) (70,886) — 419,822 419,822 $ 187,462 $ (70,886) $ 116,576 $ (273,701) $ 419,822 $ 146,121 Liabilities: Mortgage servicing liabilities $ — $ 278 $ 278 $ — $ 602 $ 602 Following are the fair value and related principal amounts due upon maturity of loans held for sale: September 30, 2023 December 31, 2022 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 $ 5,142,606 $ 5,118,234 $ 24,372 $ 3,450,578 $ 3,428,052 $ 22,526 90 days or more delinquent: Not in foreclosure 38,422 44,694 (6,272) 47,252 53,351 (6,099) In foreclosure 5,628 18,938 (13,310) 11,470 16,811 (5,341) $ 5,186,656 $ 5,181,866 $ 4,790 $ 3,509,300 $ 3,498,214 $ 11,086 Assets Measured at Fair Value on a Nonrecurring Basis Following is a summary of assets that were measured at fair value on a nonrecurring basis: Real estate acquired in settlement of loans Level 1 Level 2 Level 3 Total (in thousands) September 30, 2023 $ — $ — $ 3,178 $ 3,178 December 31, 2022 $ — $ — $ 1,850 $ 1,850 The following table summarizes the losses recognized on assets when they were remeasured at fair value on a nonrecurring basis: Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) Real estate acquired in settlement of loans $ (494) $ (131) $ (791) $ (838) Fair Value of Financial Instruments Carried at Amortized Cost The Company’s Assets sold under agreements to repurchase Mortgage loan participation purchase and sale agreements, Notes payable secured by mortgage servicing assets, Unsecured senior notes Obligations under capital lease These liabilities are classified as “Level 3” fair value items due to the Company’s reliance on unobservable inputs to estimate their fair values. The Company has concluded that the fair values of these liabilities other than term notes and term loans included in Notes payable secured by mortgage servicing assets Unsecured senior notes The Company estimates the fair value of the term notes, term loans and the Unsecured senior notes September 30, 2023 December 31, 2022 Fair value Carrying value Fair value Carrying value (in thousands) Term notes and term loans $ 2,479,425 $ 2,474,515 $ 1,677,476 $ 1,794,475 Unsecured senior notes $ 1,553,962 $ 1,782,689 $ 1,550,750 $ 1,779,920 Valuation Governance Most of the Company’s financial assets, and all of its derivatives, MSRs 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 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 values of these assets and liabilities to specialized staff within its capital markets group and subjects the valuation process to significant senior management oversight. With respect to “Level 3” valuations other than IRLCs, the capital markets valuation staff group reports to the Company’s senior management valuation committee, which oversees the valuations. Capital markets valuation staff 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 valuations and any changes in model methods and inputs, to PFSI’s senior management valuation committee. The Company’s senior management valuation committee includes the Company’s chief financial, risk, and capital markets officers as well as other senior members of the Company’s finance, capital markets and risk management staffs. To assess the reasonableness of its valuations, the capital markets valuation staff presents an analysis of the effect on the valuations of changes to the significant inputs to the models and, for MSRs, comparisons of its estimates of fair value of key inputs to those procured from nonaffiliated brokers and published surveys. The fair value of the Company’s IRLCs is developed by its capital markets risk management staff and is reviewed by its capital markets operations 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 prices or quoted market prices or market price equivalents. 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: ● Early buy out (“EBO”) loans. EBO loans are government guaranteed or insured loans purchased by the Company from Ginnie Mae guaranteed securities in its loan servicing portfolio. The Company’s right to purchase a government guaranteed or insured loan arises as the result of the loan being at least three months delinquent on the date of purchase by the Company and provides an alternative to the Company’s obligation to continue advancing principal and interest at the coupon rate of the related Ginnie Mae security. Such a loan may be resold to an investor and thereafter may be repurchased to the extent it becomes eligible for resale into a new Ginnie Mae guaranteed security. A loan becomes eligible for resale into a new Ginnie Mae security when the loan becomes current either through completion of a modification of the loan’s terms or after three months of timely payments following either the completion of certain types of payment deferral programs or borrower reperformance and when the issuance date of the new security is at least 120 days after the date the loan was last delinquent. ● Loans with identified defects. 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. ● Closed-end second lien mortgage loans. At present, there is no active market with observable inputs that are significant to the estimation of fair value of the closed-end lien second mortgage 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 prepayment/resale and total prepayment/resale speeds. Significant changes in any of those inputs in isolation could result in a significant change to the loans’ fair value measurement. Increases in home price projections are generally accompanied by an increase in voluntary prepayment speeds. Following is a quantitative summary of key “Level 3” fair value inputs used in the valuation of loans held for sale: September 30, 2023 December 31, 2022 Fair value (in thousands) $ 399,184 $ 345,772 Key inputs (1): Discount rate: Range 7.9% – 10.2% 5.5% – 10.2% Weighted average 7.9% 5.7% Twelve-month projected housing price index change: Range 0.2% – 0.3% (1.9)% – (1.7)% Weighted average 0.2% (1.8)% Voluntary prepayment/resale speed (2): Range 4.0% – 43.0% 4.7% – 25.6% Weighted average 28.0% 21.6% Total prepayment/resale speed (3): Range 4.1% – 55.4% 4.8% – 36.1% Weighted average 35.2% 29.4% (1) Weighted average inputs are based on the fair values of the “Level 3” fair value loans. (2) Voluntary prepayment/resale speed is measured using life voluntary Conditional Prepayment Rate (“CPR”). (3) Total prepayment/resale speed is measured using life total CPR, which includes both voluntary and involuntary prepayment/resale speeds. Changes in fair value of loans held for sale attributable to changes in the loan’s instrument-specific credit risk are measured with reference to the change in the respective loan’s delinquency status and performance history at period end from the later of the beginning of the period or acquisition date. Changes in fair value of loans held for sale are included in Net gains on loans held for sale at fair value Derivative Financial Instruments Interest Rate Lock Commitments The Company categorizes IRLCs as “Level 3” fair value assets or liabilities. The Company estimates the fair values 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 be funded or purchased (the “pull-through rate”). The significant unobservable inputs used in the fair value measurement of the Company’s IRLCs are the pull-through rate and the estimated fair values of MSRs attributable to the mortgage loans it has committed to originate or 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 measurements. The financial effects of changes in these inputs are generally inversely correlated as increasing interest rates have a positive effect on the fair value of the MSR component of IRLC fair value, but increase the pull-through rate for the loan principal and interest payment cash flow component, which has decreased in fair value. Changes in fair value of IRLCs are included in Net gains on loans held for sale at fair value Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs: September 30, 2023 December 31, 2022 Fair value (in thousands) (1) $ 20,774 $ 25,844 Committed amount $ 7,527,726 $ 7,009,119 Key inputs Pull-through rate: Range 14.7% – 100% 10.3% – 100% Weighted average 86.9% 82.8% Mortgage servicing rights fair value expressed as: Servicing fee multiple: Range 1.1 – 8.2 (1.3) – 7.7 Weighted average 5.0 4.3 Percentage of loan commitment amount: Range 0.3% – 4.5% (0.2)% – 3.8% Weighted average 2.1% 2.0% (1) For purpose of this table, IRLC asset and liability positions are shown net. (2) Weighted average inputs are based on the committed amounts. Hedging Derivatives Fair values of derivative financial instruments actively traded on exchanges are categorized by the Company as “Level 1” fair value assets and liabilities; fair values of derivative financial instruments based on observable interest rates, volatilities and prices in the MBS or other markets are categorized by the Company as “Level 2” fair value assets and liabilities. Changes in the fair values of hedging derivatives are included in Net gains on loans held for sale at fair value, Net loan servicing fees – Mortgage servicing rights hedging results . Mortgage Servicing Rights MSRs are categorized as “Level 3” fair value assets. The Company uses a discounted cash flow approach to estimate the fair value of MSRs. The key inputs used in the estimation of the fair value of MSRs include the applicable prepayment rate (prepayment speed), pricing spread (discount rate), and annual per-loan cost to service the underlying loans, all of which are unobservable. Significant changes to any of those inputs in isolation could result in a significant change in the MSR fair value measurement. Changes in these key inputs are not directly related. Changes in the fair value of MSRs are included in Net loan servicing fees Change in fair value of mortgage servicing rights and mortgage servicing liabilities Following are the key inputs used in determining the fair value of MSRs received by the Company when it retains the obligation to service the mortgage loans it sells: Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (Amount recognized and unpaid principal balance of underlying loans in thousands) MSR and pool characteristics: Amount recognized $ 450,936 $ 345,077 $ 1,299,992 $ 1,359,632 Unpaid principal balance of underlying loans $ 21,861,437 $ 16,003,556 $ 60,549,919 $ 65,956,748 Weighted average servicing fee rate (in basis points) 42 49 47 44 Key inputs (1): Annual total prepayment speed (2): Range 7.5% – 20.4% 6.8% – 19.1% 7.5% – 23.2% 5.7% – 23.4% Weighted average 10.3% 11.1% 10.9% 9.0% Equivalent average life (in years): Range 3.6 – 9.4 4.0 – 8.1 3.0 – 9.4 3.7 – 9.2 Weighted average 7.7 7.4 7.6 8.1 Pricing spread (3): Range 5.5% – 12.6% 5.5% – 11.4% 5.5% – 12.6% 5.5% – 16.1% Weighted average 6.1% 8.1% 7.0% 7.8% Per-loan annual cost of servicing: Range $68 – $127 $79 – $116 $68 – $127 $79 – $177 Weighted average $97 $105 $99 $104 (1) Weighted average inputs are based on the UPB of the underlying loans. (2) Annual total prepayment speed is measured using life total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information. (3) Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United State Treasury Securities (the “Treasury”) yield curve for purposes of discounting cash flows relating to MSRs. Following is a quantitative summary of key inputs used in the valuation of the Company’s MSRs and the effect on the fair value from adverse changes in those inputs: September 30, 2023 December 31, 2022 (Fair value, unpaid principal balance of underlying loans and effect on fair value amounts in thousands) Fair value $ 7,084,356 $ 5,953,621 Pool characteristics: Unpaid principal balance of underlying loans $ 351,269,905 $ 314,567,639 Weighted average note interest rate 3.9% 3.4% Weighted average servicing fee rate (in basis points) 38 36 Key inputs (1): Annual total prepayment speed (2): Range 5.4% – 16.4% 5.0% – 17.7% Weighted average 6.7% 7.5% Equivalent average life (in years): Range 3.2 – 9.4 3.7 – 9.3 Weighted average 8.8 8.4 Effect on fair value of (3): 5% adverse change ($89,373) ($77,346) 10% adverse change ($176,093) ($152,192) 20% adverse change ($342,038) ($294,872) Pricing spread (4): Range 5.6% – 12.6% 4.9% – 14.3% Weighted average 6.5% 6.5% Effect on fair value of (3): 5% adverse change ($96,272) ($81,021) 10% adverse change ($189,990) ($159,863) 20% adverse change ($370,130) ($311,329) Per-loan annual cost of servicing: Range $68 – $135 $68 – $144 Weighted average $107 $109 Effect on fair value of (3): 5% adverse change ($43,810) ($41,263) 10% adverse change ($87,619) ($82,527) 20% adverse change ($175,238) ($165,053) (1) Weighted average inputs are based on the UPB of the underlying loans. (2) Annual total prepayment speed is measured using life total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information. (3) These sensitivity analyses are limited in that they were performed as of a particular date; only contemplate the movements in the indicated inputs; do not incorporate changes to other inputs; are subject to the accuracy of the models and inputs used; and do not incorporate other factors that would affect the Company’s overall financial performance in such events, including operational adjustments made to account for changing circumstances. For these reasons, these analyses should not be viewed as earnings forecasts. (4) The Company applies a pricing spread to the Treasury yield curve for purposes of discounting cash flows relating to MSRs. |
Loans Held for Sale at Fair Val
Loans Held for Sale at Fair Value | 9 Months Ended |
Sep. 30, 2023 | |
Loans Held for Sale at Fair Value | |
Loans Held for Sale at Fair Value | Note 7—Loans Held for Sale at Fair Value Loans held for sale at fair value include the following: September 30, December 31, Loan type 2023 2022 (in thousands) Government-insured or guaranteed $ 2,589,859 $ 2,006,157 Conventional conforming 2,181,524 1,145,053 Jumbo 16,089 12,318 Closed-end second lien mortgage loans 217,251 46,589 Purchased from Ginnie Mae securities serviced by the Company 170,347 257,175 Repurchased pursuant to representations and warranties 11,586 42,008 $ 5,186,656 $ 3,509,300 Fair value of loans pledged to secure: Assets sold under agreements to repurchase $ 4,500,588 $ 3,139,870 Mortgage loan participation purchase and sale agreements 526,230 302,977 $ 5,026,818 $ 3,442,847 |
Derivative Financial Instrument
Derivative Financial Instruments | 9 Months Ended |
Sep. 30, 2023 | |
Derivative Financial Instruments | |
Derivative Financial Instruments | Note 8—Derivative Financial Instruments The Company holds and issues derivative financial instruments in connection with its operating and investing activities. Derivative financial instruments are created in the Company’s loan production activities and when the Company enters into derivative transactions as part of its interest rate risk management activities. Derivative financial instruments created in the Company’s loan production activities are IRLCs that are created when the Company commits to purchase or originate a loan for sale. The Company engages in interest rate risk management activities in an effort to moderate the effect of changes in market interest rates on the fair value of certain of the its assets. To manage this fair value risk resulting from interest rate risk, the Company uses derivative financial instruments acquired with the intention of reducing the risk that changes in market interest rates will result in unfavorable changes in the fair value of the Company’s IRLCs, inventory of loans held for sale and its MSRs. The Company does not designate and qualify any of its derivatives for hedge accounting. The Company records all derivative financial instruments at fair value and records changes in fair value in current period income. Derivative Notional Amounts, Fair Value of Derivatives and Netting of Financial Instruments The Company has elected to present net derivative asset and liability positions, and cash collateral obtained from or posted to its counterparties when subject to a master netting arrangement that is legally enforceable on all counterparties in the event of default. The derivatives that are not subject to a master netting arrangement are IRLCs. The Company had the following derivative financial instruments recorded on its consolidated balance sheets: September 30, 2023 December 31, 2022 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 7,527,726 $ 42,385 $ 21,611 7,009,119 $ 36,728 $ 10,884 Subject to master netting arrangements (2): Forward purchase contracts 10,768,362 7,227 41,538 8,320,849 2,433 48,670 Forward sales contracts 16,995,313 115,778 14,808 12,487,760 80,754 20,684 MBS put options 400,000 4,408 4,301 1,750,000 6,057 — Put options on interest rate futures purchase contracts 3,775,000 36,391 — 6,800,000 29,203 — Call options on interest rate futures purchase contracts 2,125,000 2,324 — 1,350,000 2,820 — Put options on interest rate futures sale contracts 325,000 — 4,945 250,000 — 3,008 Treasury futures purchase contracts 3,559,500 — — 3,709,200 — — Treasury futures sale contracts 7,036,000 — — 3,456,900 — — Total derivatives before netting 208,513 87,203 157,995 83,246 Netting (105,147) (46,003) (58,992) (61,534) $ 103,366 $ 41,200 $ 99,003 $ 21,712 Deposits (received from) placed with derivative counterparties included in the derivative balances above, net $ (59,144) $ 2,542 (1) Notional amounts provide an indication of the volume of the Company’s derivative activity. (2) All derivatives subject to master netting agreements are interest rate derivatives that are used as economic hedges. Derivative Assets, Financial Instruments, and Cash Collateral Held by Counterparty The following table summarizes by significant counterparty the amount of derivative asset positions after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance to qualify for setoff accounting. September 30, 2023 December 31, 2022 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 $ 42,385 $ — $ — $ 42,385 $ 36,728 $ — $ — $ 36,728 RJ O'Brien 33,770 — — 33,770 29,016 — — 29,016 Morgan Stanley Bank, N.A. 17,820 — — 17,820 18,501 — — 18,501 Bank of America, N.A. 2,170 — — 2,170 1,519 — — 1,519 Athene Annuity & Life Assurance Company 1,449 — — 1,449 — — — — Federal National Mortgage Association 1,338 — — 1,338 — — — — Barclays Capital 1,129 — — 1,129 — — — — Goldman Sachs — — — — 5,757 — — 5,757 Citibank, N.A. — — — — 5,098 — — 5,098 Others 3,305 — — 3,305 2,384 — — 2,384 $ 103,366 $ — $ — $ 103,366 $ 99,003 $ — $ — $ 99,003 Derivative Liabilities, Financial Instruments and Collateral Held by Counterparty The following table summarizes by significant counterparty the amount of derivative liabilities and assets sold under agreements to repurchase after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance to qualify for setoff accounting. All assets sold under agreements to repurchase are secured by sufficient collateral or have fair values that exceed the liability amounts recorded on the consolidated balance sheets. September 30, 2023 December 31, 2022 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 $ 21,611 $ — $ — $ 21,611 $ 10,884 $ — $ — $ 10,884 Atlas Securitized Products, L.P. 1,213,620 (1,213,620) — — — — — — Credit Suisse First Boston Mortgage Capital LLC — — — — 970,725 (968,804) — 1,921 Bank of America, N.A. 912,887 (912,887) — — 567,745 (567,745) — — JPMorgan Chase Bank, N.A. 426,244 (423,721) — 2,523 211,713 (211,713) — — BNP Paribas 405,501 (405,498) — 3 300,280 (300,280) — — Royal Bank of Canada 330,880 (330,880) — — 381,893 (381,893) — — Wells Fargo Bank, N.A. 305,603 (304,986) — 617 228,181 (221,986) — 6,195 Barclays Capital 280,160 (280,160) — — 80,276 (79,295) — 981 Citibank, N.A. 248,656 (243,891) — 4,765 94,211 (94,211) — — Goldman Sachs 138,954 (134,542) — 4,412 64,486 (64,486) — — Morgan Stanley Bank, N.A. 120,735 (118,112) — 2,623 114,277 (114,277) — — Nomura Corporate Funding Americas 50,165 (50,000) — 165 — — — — Bank of Oklahoma 2,738 — — 2,738 — — — — Others 1,743 — — 1,743 1,731 — — 1,731 $ 4,459,497 $ (4,418,297) $ — $ 41,200 $ 3,026,402 $ (3,004,690) $ — $ 21,712 (1) Amounts represent the UPB of Assets sold under agreements to repurchase . Following are the gains (losses) recognized by the Company on derivative financial instruments and the income statement lines where such gains and losses are included: Quarter ended September 30, Nine months ended September 30, Derivative activity Consolidated income statement line 2023 2022 2023 2022 (in thousands) Interest rate lock commitments Net gains on loans held for sale at fair value (1) $ (9,862) $ (121,353) $ (5,069) $ (378,396) Hedged item: Interest rate lock commitments and loans held for sale Net gains on loans held for sale at fair value $ 162,006 $ 363,272 $ 217,968 $ 1,360,341 Mortgage servicing rights Net loan servicing fees–Mortgage servicing rights hedging results $ (423,656) $ (164,749) $ (531,565) $ (558,614) (1) Represents net change in fair value of IRLCs from the beginning to the end of the period. Amounts recognized at the date of commitment and fair value changes recognized during the period until purchase of the underlying loans or the cancellation of the commitment are shown in the rollforward of IRLCs for the period in Note 6 – Fair Value – Assets and Liabilities Measured at Fair Value on a Recurring Basis . |
Mortgage Servicing Rights and M
Mortgage Servicing Rights and Mortgage Servicing Liabilities | 9 Months Ended |
Sep. 30, 2023 | |
Mortgage Servicing Rights and Mortgage Servicing Liabilities | |
Mortgage Servicing Rights and Mortgage Servicing Liabilities | Note 9—Mortgage Servicing Rights and Mortgage Servicing Liabilities Mortgage Servicing Rights at Fair Value The activity in MSRs is as follows: Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) Balance at beginning of period $ 6,510,585 $ 5,217,167 $ 5,953,621 $ 3,878,078 Additions (deductions): MSRs resulting from loan sales 450,936 345,077 1,299,992 1,359,632 Purchases — 4,140 — 4,140 Sales (73) — (305) — Exchange of mortgage servicing spread for interest-only stripped securities (98,066) — (98,066) — 352,797 349,217 1,201,621 1,363,772 Change in fair value due to: Changes in inputs used in valuation model (1) 398,807 237,154 427,426 794,779 Other changes in fair value (2) (177,833) (141,866) (498,312) (374,957) Total change in fair value 220,974 95,288 (70,886) 419,822 Balance at end of period $ 7,084,356 $ 5,661,672 $ 7,084,356 $ 5,661,672 Unpaid principal balance of underlying loans at end of period $ 351,269,905 $ 303,800,226 September 30, December 31, 2023 2022 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 7,018,069 $ 5,897,613 (1) Principally reflects changes in annual total prepayment speed, pricing spread, per loan annual cost of servicing and UPB of underlying loan inputs. (2) Represents changes due to realization of cash flows. Mortgage Servicing Liabilities at Fair Value The activity in MSLs is summarized below: Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) Balance at beginning of period $ 1,940 $ 2,337 $ 2,096 $ 2,816 Changes in fair value due to: Changes in inputs used in valuation model (64) (38) (86) (305) Other changes in fair value (1) (58) (85) (192) (297) Total change in fair value (122) (123) (278) (602) Balance at end of period $ 1,818 $ 2,214 $ 1,818 $ 2,214 Unpaid principal balance of underlying loans at end of period $ 27,010 $ 35,143 (1) Represents changes due to realization of cash flows. Contractual servicing fees relating to MSRs and MSLs are recorded in Net loan servicing fees—Loan servicing fees—From non-affiliates Net loan servicing fees—Loan servicing fees—Other Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) Contractual servicing fees $ 328,049 $ 270,336 $ 925,865 $ 774,483 Other fees: Late charges 14,486 10,533 39,984 30,177 Other 2,708 2,952 7,664 11,487 $ 345,243 $ 283,821 $ 973,513 $ 816,147 |
Leases
Leases | 9 Months Ended |
Sep. 30, 2023 | |
Leases | |
Leases | Note 10—Leases The Company has operating lease agreements relating to its facilities. The Company’s operating lease agreements have remaining terms ranging from less than one year to eight years. Some of the operating lease agreements include options to extend the term for up to five years. None of the Company’s operating lease agreements require the Company to make variable lease payments. The Company’s lease agreements are summarized below: Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (dollars in thousands) Lease expense: Operating leases $ 4,862 $ 5,046 $ 14,665 $ 15,008 Short-term leases 114 235 351 695 Sublease income (315) — (584) — Net lease expense included in Occupancy and equipment $ 4,661 $ 5,281 $ 14,432 $ 15,703 Other information: Payments for operating leases $ 7,617 $ 5,544 $ 19,217 $ 15,801 Operating lease right-of-use assets $ 1,166 $ 571 $ 2,893 $ 1,364 Period end weighted averages: Remaining lease term (in years) 4.4 4.9 Discount rate 3.8% 3.8% Lease payments attributable to the Company’s operating lease liabilities are summarized below: Twelve months ended September 30, Operating leases (in thousands) 2024 $ 21,926 2025 19,376 2026 16,037 2027 9,246 2028 5,123 Thereafter 8,320 Total lease payments 80,028 Less imputed interest (9,818) Operating lease liability $ 70,210 |
Other Assets
Other Assets | 9 Months Ended |
Sep. 30, 2023 | |
Other Asset | |
Other Assets | Note 11—Other Assets Other September 30, December 31, 2023 2022 (in thousands) Capitalized software, net $ 153,501 $ 157,460 Margin deposits 64,242 55,968 Interest receivable 39,784 24,110 Prepaid expenses 36,165 38,780 Servicing fees receivable, net 34,654 31,356 Other servicing receivables 30,572 24,854 Deposits securing Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets 30,021 12,277 Furniture, fixtures, equipment and building improvements, net 20,760 28,382 Real estate acquired in settlement of loans 13,850 11,497 Other 41,473 33,223 $ 465,022 $ 417,907 Deposits securing Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 30,021 $ 12,277 |
Short-Term Debt
Short-Term Debt | 9 Months Ended |
Sep. 30, 2023 | |
Short-Term Debt | |
Short-Term Debt | Note 12—Short-Term Debt The borrowing facilities described throughout these Notes 12 and 13 contain various covenants, including financial covenants governing the Company’s net worth, debt-to-equity ratio and liquidity. Management believes that the Company was in compliance with these covenants as of September 30, 2023. Assets Sold Under Agreements to Repurchase The Company has multiple borrowing facilities in the form of asset sales under agreements to repurchase. These borrowing facilities are secured by loans held for sale at fair value or participation certificates backed by mortgage servicing assets. Eligible assets are sold at advance rates based on the fair value (as determined by the lender) of the assets sold. Interest is charged at a rate based on the Secured Overnight Financing Rate (“SOFR”). Loans and participation certificates financed under these agreements may be re-pledged by the lenders. Assets sold under agreements to repurchase are summarized below: Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ 3,208,434 $ 1,949,452 $ 3,800,502 $ 2,622,581 Weighted average interest rate (1) 7.19% 4.34% 7.01% 2.90% Total interest expense $ 62,758 $ 24,329 $ 209,461 $ 67,048 Maximum daily amount outstanding $ 4,418,359 $ 3,490,082 $ 6,358,007 $ 7,289,147 September 30, December 31, 2023 2022 (dollars in thousands) Carrying value: Unpaid principal balance $ 4,418,297 $ 3,004,690 Unamortized debt issuance costs (6,550) (3,407) $ 4,411,747 $ 3,001,283 Weighted average interest rate 6.94% 6.00% Available borrowing capacity (2): Committed $ 771,567 $ 1,078,927 Uncommitted 5,235,136 5,391,383 $ 6,006,703 $ 6,470,310 Assets securing repurchase agreements: Loans held for sale $ 4,500,588 $ 3,139,870 Servicing advances (3) $ 268,987 $ 381,379 Mortgage servicing rights (3) $ 6,293,514 $ 5,339,513 Deposits (3) $ 30,021 $ 12,277 (1) Excludes the effect of amortization of debt issuance costs and utilization fees of $4.6 million and $3.0 million for the quarters ended September 30, 2023 and 2022, respectively, and $10.1 million for each of the nine months ended September 30, 2023 and 2022. (2) The amount the Company is able to borrow under asset repurchase agreements is tied to the fair value of unencumbered assets eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the assets financed. (3) Beneficial interests in the Ginnie Mae MSRs, servicing advances and deposits together serve as the collateral backing servicing asset facilities that are included in Assets sold under agreements to repurchase and the term notes and term loans included in Notes payable secured by mortgage servicing assets . The term notes and term loans are described in Note 13 — Long-Term Debt - Notes payable secured by mortgage servicing assets. Remaining maturity at September 30, 2023 (1) Unpaid principal balance (dollars in thousands) Within 30 days $ 700,101 Over 30 to 90 days 3,248,232 Over 90 to 180 days 57,266 Over one year to two years 412,698 Total assets sold under agreements to repurchase $ 4,418,297 Weighted average maturity (in months) 3.6 (1) The Company is subject to margin calls during the periods the agreements are outstanding and therefore may be required to repay a portion of the borrowings before the respective agreements mature if the fair values (as determined by the applicable lender) of the assets securing those agreements decrease. The amount at risk (the fair value of the assets pledged plus the related margin deposit, less the amount advanced by the counterparty and interest payable) relating to the Company’s assets sold under agreements to repurchase is summarized by counterparty below as of September 30, 2023: Weighted average Counterparty Amount at risk maturity of advances Facility maturity (in thousands) Atlas Securitized Products, L.P. & Citibank, N.A. & Goldman Sachs Bank USA & Nomura Corporate Funding Americas (1) $ 3,223,281 March 2, 2025 June 27, 2025 Atlas Securitized Products, L.P. $ 89,951 March 2, 2024 June 27, 2025 Bank of America, N.A. $ 60,451 October 30, 2023 June 12, 2025 Barclays Bank PLC $ 34,571 December 28, 2023 November 13, 2024 JP Morgan Chase Bank, N.A. $ 29,343 December 1, 2023 June 16, 2025 BNP Paribas $ 16,378 December 17, 2023 September 30, 2025 Goldman Sachs Bank USA $ 12,769 December 17, 2023 December 23, 2023 Royal Bank of Canada $ 12,753 October 21, 2023 August 9, 2024 Citibank, N.A. $ 8,819 December 6, 2023 June 27, 2025 Wells Fargo Bank, N.A. $ 6,740 December 16, 2023 May 3, 2025 Morgan Stanley Bank, N.A. $ 5,368 December 16, 2023 January 27, 2025 JP Morgan Chase Bank, N.A. (EBO facility) $ 4,056 June 9, 2025 June 9, 2025 (1) The amount at risk includes the beneficial interests in Ginnie Mae MSRs and servicing advances pledged to serve as the collateral backing servicing asset facilities included in Assets sold under agreements to repurchase and the term notes and term loans included in Notes payable secured by mortgage servicing assets . Mortgage Loan Participation Purchase and Sale Agreements Two of the borrowing facilities secured by loans held for sale are in the form of mortgage loan participation purchase and sale agreements. Participation certificates, each of which represents an undivided beneficial ownership interest in mortgage loans that have been pooled with Fannie Mae, Freddie Mac or Ginnie Mae, are sold to a lender pending the securitization of the mortgage loans and sale of the resulting securities. A commitment to sell the securities resulting from the pending securitization between the Company and a non-affiliate is also assigned to the lender at the time a participation certificate is sold. The purchase price paid by the lender for each participation certificate is based on the trade price of the security, plus an amount of interest expected to accrue on the security to its anticipated delivery date, minus a present value adjustment, any related hedging costs and a holdback amount that is based on a percentage of the purchase price. The holdback amount is not required to be paid to the Company until the settlement of the security and its delivery to the lender. The mortgage loan participation purchase and sale agreements are summarized below: Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (dollars in thousands) Average balance $ 251,904 $ 210,639 $ 234,583 $ 216,167 Weighted average interest rate (1) 6.63% 3.65% 6.41% 2.53% Total interest expense $ 4,383 $ 2,073 $ 11,768 $ 4,570 Maximum daily amount outstanding $ 508,062 $ 507,297 $ 515,537 $ 515,043 (1) Excludes the effect of amortization of debt issuance costs totaling $172,000 and $135,000 for the quarters ended September 30, 2023 and 2022, respectively, and $516,000 and $479,000 for the nine months ended September 30, 2023 and 2022, respectively. September 30, December 31, 2023 2022 (dollars in thousands) Carrying value: Unpaid principal balance $ 498,916 $ 287,943 Unamortized debt issuance costs (524) (351) $ 498,392 $ 287,592 Weighted average interest rate 6.57% 5.71% Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements $ 526,230 $ 302,977 |
Long-Term Debt
Long-Term Debt | 9 Months Ended |
Sep. 30, 2023 | |
Long-Term Debt. | |
Long-Term Debt | Note 13—Long-Term Debt Notes Payable Secured by Mortgage Servicing Assets Term Notes and Term Loans The Company, through its wholly-owned subsidiaries PLS, PNMAC, and the PNMAC GMSR ISSUER TRUST (“Issuer Trust”) has entered into a structured finance transaction, in which PLS pledges and/or sells to the Issuer Trust participation certificates representing beneficial interests in Ginnie Mae mortgage servicing assets pursuant to a repurchase agreement. The Issuer Trust has issued a variable funding note to PLS, has issued secured term notes (the “Term Notes”) to qualified institutional buyers under Rule 144A of the Securities Act of 1933, as amended (the “Securities Act”), and has entered into a series of syndicated term loans with various lenders (the “Term Loans”). The Term Notes and Term Loans are secured by participation certificates relating to Ginnie Mae mortgage servicing assets financed pursuant to the servicing asset repurchase facilities, and rank pari passu with the mortgage servicing assets variable funding notes. Following is a summary of the issued and outstanding Term Notes and Term Loans: Maturity date Issuance date Principal balance Annual interest rate spread (1) Stated Optional extension (2) (in thousands) Term Notes: February 28, 2018 $ 650,000 3.85% 2/25/2025 (3) August 10, 2018 650,000 3.40% 8/25/2025 (3) June 3, 2022 500,000 4.25% 5/25/2027 5/25/2029 Term Loans: February 28, 2023 680,000 3.00% 2/25/2028 2/25/2029 $ 2,480,000 (1) Interest is charged at a rate based on SOFR plus a spread. (2) The Term Notes and Term Loans’ indentures provide the Company with the option to extend the maturity of the Term Notes or Term Loans as specified in the respective agreements. (3) Stated maturity date reflects the exercise by the Company of its option to extend the maturity of this issuance. Freddie Mac MSR Note Payable On December 16, 2022, the Company issued a note payable to a lender 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: Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (dollars in thousands) Average balance $ 2,484,348 $ 1,800,000 $ 2,353,572 $ 1,510,623 Weighted average interest rate (1) 8.78% 5.31% 8.40% 4.13% Total interest expense $ 55,676 $ 24,795 $ 150,271 $ 48,360 (1) Excludes the effect of amortization of debt issuance costs totaling $689,000 and $726,000 for the quarters ended September 30, 2023 and 2022, respectively, and $2.4 million and $1.7 million for the nine months ended September 30, 2023 and 2022, respectively. September 30, December 31, 2023 2022 (dollars in thousands) Carrying value: Unpaid principal balance: Term Notes and Term Loans $ 2,480,000 $ 1,800,000 Freddie Mac MSR Note Payable 200,000 150,000 2,680,000 1,950,000 Unamortized debt issuance costs (6,598) (7,354) $ 2,673,402 $ 1,942,646 Weighted average interest rate 8.73% 7.46% Assets pledged to secure notes payable (1): Servicing advances $ 268,987 $ 381,379 Mortgage servicing rights $ 7,018,069 $ 5,897,613 Deposits $ 22,236 $ 12,277 (1) Beneficial interests in the Ginnie Mae MSRs, servicing advances and deposits together serve as the collateral backing servicing asset facilities that are included in Assets sold under agreements to repurchase and the Term Notes and Term Loans included in Notes payable secured by mortgage servicing assets. Unsecured Senior Notes The Company has 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 subordinate indebtedness of the Company, equally in right of payment with all existing and future senior indebtedness of the Company and effectively subordinate 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 subordinate indebtedness of the guarantors, equally in right of payment with all existing and future senior indebtedness of the guarantors and effectively subordinate 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 subordinate to the indebtedness and liabilities of the Company’s subsidiaries that do not guarantee the Unsecured Notes. Following is a summary of the Company’s outstanding Unsecured Notes issued: Issuance date Principal balance Coupon interest rate Maturity date Optional redemption date (1) (in thousands) (annual) September 29, 2020 $ 500,000 5.38% October 15, 2025 October 15, 2022 October 19, 2020 150,000 5.38% October 15, 2025 October 15, 2022 February 11, 2021 650,000 4.25% February 15, 2029 February 15, 2024 September 16, 2021 500,000 5.75% September 15, 2031 September 15, 2026 $ 1,800,000 (1) Before the optional redemption date, the Company may redeem some or all of the Unsecured Notes for that issuance at a price equal to 100% of the principal amount, plus accrued and unpaid interest and a make-whole premium or the Company may redeem up to 40% of the Unsecured Notes for that issuance with an amount equal to or less than the net proceeds from certain equity offerings at the redemption price set forth in the indenture, plus accrued and unpaid interest. On or after the optional redemption date, the Company may redeem some or all of the Unsecured Notes for that issuance at the redemption prices set forth in the indenture, plus accrued interest. Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (dollars in thousands) Average balance $ 1,800,000 $ 1,800,000 $ 1,800,000 $ 1,800,000 Weighted average interest rate (1) 5.07% 5.07% 5.07% 5.07% Total interest expense $ 23,949 $ 23,949 $ 71,065 $ 71,065 (1) Excludes the effect of amortization of debt issuance costs of $933,000 for each of the quarters ended September 30, 2023 and 2022, and $2.8 million for the nine months ended September 30, 2023 and 2022. September 30, December 31, 2023 2022 (dollars in thousands) Carrying value: Unpaid principal balance $ 1,800,000 $ 1,800,000 Unamortized debt issuance costs and premiums, net (17,311) (20,080) $ 1,782,689 $ 1,779,920 Weighted average interest rate 5.07% 5.07% Maturities of Long-Term Debt Maturities of long-term debt (based on stated maturity dates) are as follows: Twelve months ended September 30, 2024 2025 2026 2027 2028 Thereafter Total (in thousands) Notes payable secured by mortgage servicing assets (1) $ — $ 1,500,000 $ — $ 500,000 $ 680,000 $ — $ 2,680,000 Unsecured senior notes — — 650,000 — — 1,150,000 1,800,000 Total $ — $ 1,500,000 $ 650,000 $ 500,000 $ 680,000 $ 1,150,000 $ 4,480,000 (1) The Term Notes and Term Loans’ indentures provide the Company with the option to extend the maturity of the Term Notes and Term Loans as specified in the respective agreements. Obligation Under Capital Lease The Company had a capital lease transaction secured by certain fixed assets and capitalized software. The outstanding amount under the capital lease was repaid on June 13, 2022 and bore interest at a spread over one-month LIBOR. Obligations under capital lease are summarized below: Nine months ended September 30, 2022 (dollars in thousands) Average balance $ 1,130 Weighted average interest rate 2.18% Total interest expense $ 20 Maximum daily amount outstanding $ 3,489 |
Liability for Losses Under Repr
Liability for Losses Under Representations and Warranties | 9 Months Ended |
Sep. 30, 2023 | |
Liability for Losses Under Representations and Warranties | |
Liability for Losses Under Representations and Warranties | Note 14—Liability for Losses Under Representations and Warranties Following is a summary of the Company’s liability for losses under representations and warranties: Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) Balance at beginning of period $ 30,146 $ 39,336 $ 32,421 $ 43,521 Provision for losses: Resulting from sales of loans 4,011 1,651 8,885 7,887 Resulting from change in estimate (2,552) (1,769) (6,005) (7,165) Losses incurred (1,114) (2,031) (4,810) (7,056) Balance at end of period $ 30,491 $ 37,187 $ 30,491 $ 37,187 Unpaid principal balance of loans subject to representations and warranties at end of period $ 335,044,546 $ 285,532,190 |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2023 | |
Income Taxes | |
Income Taxes | Note 15—Income Taxes The Company’s effective income tax rates were 26.8% and 27.1% for the quarters ended September 30, 2023 and 2022, respectively, and 23.7% and 26.7% for the nine months ended September 30, 2023 and 2022, respectively. The decrease in the effective income tax rates for the quarter and nine months ended September 30, 2023 when compared to the same periods for 2022 results from an increase in favorable permanent tax adjustments and a decrease in income before income taxes in 2023. The Company has favorable permanent tax adjustments of $0.1 million and $7.5 million with corresponding income before income taxes of $126.8 million and $237.9 million in the quarter and nine months ended September 30, 2023, respectively. For the quarter and nine months ended September 30, 2022, the Company reported unfavorable permanent tax adjustments of |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2023 | |
Commitments and Contingencies. | |
Commitments and Contingencies | Note 16—Commitments and Contingencies Commitments to Purchase and Fund Mortgage Loans The Company’s commitments to purchase and fund loans totaled $7.5 billion as of September 30, 2023. Legal and Regulatory Proceedings From time to time, the Company may be a party to legal proceedings, lawsuits and other claims arising in the ordinary course of its business. The amount, if any, of ultimate liability with respect to such matters cannot be determined, but despite the inherent uncertainties of litigation, management believes that the ultimate disposition of any such proceedings and exposure will not have, individually or taken together, a material adverse effect on the financial condition, income, or cash flows of the Company. 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 in excess of $340 million, 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. No assurance can be provided as to the ultimate outcome of these claims or the amount of any losses to the Company, and any such amount could be material. However, the Company believes the BKI Complaint is without merit and is vigorously defending the matter, which is currently in arbitration. The arbitration hearing concluded on June 16, 2023, and a final order is expected later this year. 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. As previously disclosed, 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. PLS responded to the NORA letter on February 8, 2021 and thereafter engaged in discussions with the CFPB. On July 13, 2023, PLS received a closing letter from the Bureau stating that it had completed its investigation, that it did not intend to take enforcement action, and that PLS was relieved from the document-retention obligations required by the Bureau’s investigation. |
Stockholders' Equity
Stockholders' Equity | 9 Months Ended |
Sep. 30, 2023 | |
Stockholders' Equity. | |
Stockholders' Equity | Note 17—Stockholders’ Equity The Company’s board of directors previously approved the Company’s common stock repurchase program in the revised amount of $2 billion before transaction costs and excise tax. Following is a summary of activity under the stock repurchase program: Quarter ended September 30, Nine months ended September 30, Cumulative 2023 2022 2023 2022 total (1) (in thousands) Shares of common stock repurchased — 1,949 1,201 6,696 34,063 Cost of shares of common stock repurchased $ — $ 99,702 $ 71,575 $ 354,759 $ 1,788,282 (1) Amounts represent the total shares of common stock repurchased under the stock repurchase program from inception through September 30, 2023. Cumulative total cost of common stock repurchased includes $621,000 , of transaction fees and excise tax. |
Net Gains on Loans Held for Sal
Net Gains on Loans Held for Sale | 9 Months Ended |
Sep. 30, 2023 | |
Net Gains on Loans Held for Sale | |
Net Gains on Loans Held for Sale | Note 18—Net Gains on Loans Held for Sale Net gains on loans held for sale at fair value are summarized below: Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) From non-affiliates: Cash (losses) gains: Loans $ (471,830) $ (587,659) $ (1,136,101) $ (1,983,051) Hedging activities 220,585 570,864 305,133 1,543,568 (251,245) (16,795) (830,968) (439,483) Non-cash gains: Mortgage servicing rights resulting from loan sales 450,936 345,077 1,299,992 1,359,632 Provisions for losses relating to representations and warranties: Pursuant to loan sales (4,011) (1,651) (8,885) (7,887) Reductions in liability due to changes in estimate 2,552 1,769 6,005 7,165 Changes in fair values of loans and derivatives held at period end: Interest rate lock commitments (9,862) (121,353) (5,069) (378,396) Loans 22,083 170,887 24,762 347,968 Hedging derivatives (58,579) (207,592) (87,165) (183,227) 151,874 170,342 398,672 705,772 From PennyMac Mortgage Investment Trust (1) (500) (1,648) (1,494) (16,052) $ 151,374 $ 168,694 $ 397,178 $ 689,720 (1) Gains on sale of loans to PMT are described in Note 4– Related Party Transactions – Transactions with PMT–Operating Activities. |
Net Interest Income (Expense)
Net Interest Income (Expense) | 9 Months Ended |
Sep. 30, 2023 | |
Net Interest Income (Expense) | |
Net Interest Income (Expense) | Note 19—Net Interest Income (Expense) Net interest income (expense) is summarized below: Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) Interest income: Cash and short-term investments $ 15,814 $ 7,759 $ 53,186 $ 8,736 Loans held for sale at fair value 65,641 38,945 205,414 124,835 Placement fees relating to custodial funds 85,076 36,290 209,319 53,169 From Townsgate Closing Services, LLC 21 — 63 — 166,552 82,994 467,982 186,740 Interest expense: Assets sold under agreements to repurchase 62,758 24,329 209,461 67,048 Mortgage loan participation purchase and sale agreements 4,383 2,073 11,768 4,570 Obligations under capital lease — — — 20 Notes payable secured by mortgage servicing assets 55,676 24,795 150,271 48,360 Unsecured senior notes 23,949 23,949 71,065 71,065 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 6,857 5,620 16,781 35,385 Interest on mortgage loan impound deposits 2,888 2,199 7,080 4,951 Other 352 — 850 — 156,863 82,965 467,276 231,399 $ 9,689 $ 29 $ 706 $ (44,659) |
Stock-based Compensation
Stock-based Compensation | 9 Months Ended |
Sep. 30, 2023 | |
Stock-based Compensation | |
Stock-based Compensation | Note 20—Stock-based Compensation On May 24, 2022, PFSI’s stockholders approved and adopted the 2022 Equity Incentive Plan and no additional equity awards were issued from the Company’s 2013 Equity Incentive Plan. Following is a summary of the stock-based compensation activity: Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) Grants: Units: Performance-based restricted share units ("RSUs") — — 307 342 Stock options — — 221 574 Time-based RSUs — — 187 331 Grant date fair value: Performance-based RSUs $ — $ — $ 18,611 $ 19,522 Stock options — — 5,492 12,138 Time-based RSUs — — 11,341 18,903 Total $ — $ — $ 35,444 $ 50,563 Vestings and exercises: Performance-based RSUs vested — — 612 643 Stock options exercised 61 20 412 83 Time-based RSUs vested — — 246 246 Stock-based compensation expense $ 8,814 $ 6,466 $ 20,839 $ 30,689 |
Earnings Per Share
Earnings Per Share | 9 Months Ended |
Sep. 30, 2023 | |
Earnings Per Share | |
Earnings Per Share | Note 21—Earnings Per Share Basic earnings per share is determined by dividing net income by the weighted average number of shares of common stock outstanding during the period. Diluted earnings per share is determined by dividing net income by the weighted average number of shares of common stock outstanding, assuming all dilutive securities were issued. The Company’s potentially dilutive securities are stock-based compensation awards. The Company applies the treasury stock method to determine the diluted weighted average number of shares of common stock outstanding based on the outstanding stock-based compensation awards. The following table summarizes the basic and diluted earnings per share calculations: Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands, except per share amounts) Net income $ 92,870 $ 135,134 $ 181,498 $ 437,890 Weighted average shares of common stock outstanding 49,902 52,170 49,975 54,043 Effect of dilutive securities - shares issuable under stock-based compensation plan 2,659 2,798 2,760 2,870 Weighted average diluted shares of common stock outstanding 52,561 54,968 52,735 56,913 Basic earnings per share $ 1.86 $ 2.59 $ 3.63 $ 8.10 Diluted earnings per share $ 1.77 $ 2.46 $ 3.44 $ 7.69 Calculations of diluted earnings per share require certain potentially dilutive shares to be excluded when their inclusion in the diluted earnings per share calculation would be anti-dilutive. The following table summarizes the weighted-average number of anti-dilutive outstanding RSUs and stock options excluded from the calculation of diluted earnings per share: Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands except for weighted average exercise price) Performance-based RSUs (1) 604 325 548 268 Time-based RSUs — — 46 116 Stock options (2) 219 1,423 287 1,312 Total anti-dilutive units and options 823 1,748 881 1,696 Weighted average exercise price of anti-dilutive stock options (2) $ 60.69 $ 58.49 $ 59.31 $ 58.61 (1) Certain performance-based RSUs were outstanding but not included in the computation of earnings per share because the performance thresholds included in such RSUs have not been achieved. (2) Certain stock options were outstanding but not included in the computation of diluted earnings per share because the weighted-average exercise prices were above the average stock prices for the period. |
Regulatory Capital and Liquidit
Regulatory Capital and Liquidity Requirements | 9 Months Ended |
Sep. 30, 2023 | |
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 liquidity requirements generally are tied to the size of the PLS’s loan servicing portfolio, loan origination volume and delinquency rates. The Agencies’ capital and liquidity levels and requirements, the calculations of which are specified by each Agency, are summarized below: September 30, 2023 (1) December 31, 2022 Requirement/Agency Actual (2) Requirement (2) Actual (2) Requirement (2) (dollars in thousands) Capital Fannie Mae & Freddie Mac $ 6,227,418 $ 1,157,832 $ 6,632,627 $ 797,748 Ginnie Mae $ 5,968,665 $ 1,251,726 $ 5,899,892 $ 923,202 HUD $ 5,968,665 $ 2,500 $ 5,899,892 $ 2,500 Liquidity Fannie Mae & Freddie Mac $ 1,383,986 $ 472,121 $ 1,265,569 $ 107,768 Ginnie Mae $ 1,583,911 $ 323,892 $ 1,265,569 $ 246,953 Adjusted net worth / Total assets ratio Ginnie Mae 40 % 6 % 35 % 6 % Tangible net worth / Total assets ratio Fannie Mae & Freddie Mac 32 % 6 % 39 % 6 % (1) The Agencies adopted revised capital and liquidity requirements, most of which became effective on September 30, 2023. The amounts shown for September 30, 2023 are in accordance with those Agency requirements. The Agencies have issued origination liquidity requirements and Ginnie Mae has issued risk-based capital requirements in addition to those presented above. The origination liquidity and risk-based capital requirements will be effective on December 31, 2023 and December 31, 2024, respectively. The Company believes it is in compliance with the Agencies’ pending requirements as of September 30, 2023. (2) Calculated in accordance with the respective Agency’s requirements. Noncompliance with an Agency’s requirements can result in such Agency taking various remedial actions up to and including terminating the Company’s ability to sell loans to and service loans on behalf of the respective Agency. |
Segments
Segments | 9 Months Ended |
Sep. 30, 2023 | |
Segments | |
Segments | Note 23—Segments The Company conducts its business in three segments: production, servicing (together, production and servicing comprise its mortgage banking activities) and investment management: ● The production segment performs loan origination, acquisition and sale activities. ● The servicing segment performs loan servicing for loans held for sale and loans serviced for others, including for PMT. ● The investment management segment represents the Company’s investment management activities relating to PMT, which include the activities associated with investment asset acquisitions and dispositions such as sourcing, due diligence, negotiation and settlement. The Company’s reportable segments are identified based on their unique activities. The following disclosures about the Company’s business segments are presented consistent with the way the Company’s chief operating decision maker organizes and evaluates financial information for making operating decisions and assessing performance. The Company’s chief operating decision maker is its chief executive officer. Financial performance and results by segment are as follows: Quarter ended September 30, 2023 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on loans held for sale at fair value $ 127,821 $ 23,553 $ 151,374 $ — $ 151,374 Loan origination fees 37,701 — 37,701 — 37,701 Fulfillment fees from PennyMac Mortgage Investment Trust 5,531 — 5,531 — 5,531 Net loan servicing fees — 185,374 185,374 — 185,374 Net interest expense: Interest income 62,150 104,402 166,552 — 166,552 Interest expense 59,614 97,249 156,863 — 156,863 2,536 7,153 9,689 — 9,689 Management fees — — — 7,175 7,175 Other 823 1,037 1,860 1,604 3,464 Total net revenues 174,412 217,117 391,529 8,779 400,308 Expenses 149,219 115,913 265,132 8,379 273,511 Income before provision for income taxes $ 25,193 $ 101,204 $ 126,397 $ 400 $ 126,797 Segment assets at quarter end $ 5,485,039 $ 13,441,925 $ 18,926,964 $ 22,350 $ 18,949,314 (1) All revenues are from external customers. Quarter ended September 30, 2022 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on loans held for sale at fair value $ 140,683 $ 28,011 $ 168,694 $ — $ 168,694 Loan origination fees 34,037 — 34,037 — 34,037 Fulfillment fees from PennyMac Mortgage Investment Trust 18,407 — 18,407 — 18,407 Net loan servicing fees — 243,742 243,742 — 243,742 Net interest expense: Interest income 30,825 52,169 82,994 — 82,994 Interest expense 24,970 57,995 82,965 — 82,965 5,855 (5,826) 29 — 29 Management fees — — — 7,731 7,731 Other 474 556 1,030 2,620 3,650 Total net revenues 199,456 266,483 465,939 10,351 476,290 Expenses 160,884 121,200 282,084 8,734 290,818 Income before provision for income taxes $ 38,572 $ 145,283 $ 183,855 $ 1,617 $ 185,472 Segment assets at quarter end $ 4,708,512 $ 11,626,311 $ 16,334,823 $ 26,988 $ 16,361,811 (1) All revenues are from external customers. Nine months ended September 30, 2023 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on loans held for sale at fair value $ 328,796 $ 68,382 $ 397,178 $ — $ 397,178 Loan origination fees 108,059 — 108,059 — 108,059 Fulfillment fees from PennyMac Mortgage Investment Trust 22,895 — 22,895 — 22,895 Net loan servicing fees — 480,289 480,289 — 480,289 Net interest expense: Interest income 194,566 273,416 467,982 — 467,982 Interest expense 189,691 277,585 467,276 — 467,276 4,875 (4,169) 706 — 706 Management fees — — — 21,510 21,510 Other 1,925 1,118 3,043 6,037 9,080 Total net revenue 466,550 545,620 1,012,170 27,547 1,039,717 Expenses 436,582 340,425 777,007 24,849 801,856 Income before provision for income taxes $ 29,968 $ 205,195 $ 235,163 $ 2,698 $ 237,861 Segment assets at period end $ 5,485,039 $ 13,441,925 $ 18,926,964 $ 22,350 $ 18,949,314 (1) All revenues are from external customers. Nine months ended September 30, 2022 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on loans held for sale at fair value $ 515,188 $ 174,532 $ 689,720 $ — $ 689,720 Loan origination fees 141,840 — 141,840 — 141,840 Fulfillment fees from PennyMac Mortgage Investment Trust 55,807 — 55,807 — 55,807 Net loan servicing fees — 768,498 768,498 — 768,498 Net interest expense: Interest income 90,145 96,595 186,740 — 186,740 Interest expense 71,236 160,163 231,399 — 231,399 18,909 (63,568) (44,659) — (44,659) Management fees — — — 23,758 23,758 Other 1,842 2,072 3,914 6,431 10,345 Total net revenue 733,586 881,534 1,615,120 30,189 1,645,309 Expenses 676,090 343,473 1,019,563 28,228 1,047,791 Income before provision for income taxes $ 57,496 $ 538,061 $ 595,557 $ 1,961 $ 597,518 Segment assets at period end $ 4,708,512 $ 11,626,311 $ 16,334,823 $ 26,988 $ 16,361,811 (1) All revenues are from external customers. |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2023 | |
Subsequent Events | |
Subsequent Events | Note 24—Subsequent Events Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period: ● On October 25, 2023, the Company, through the Issuer Trust issued a $125 million syndicated term loan secured by Ginnie Mae MSRs. ● On October 26, 2023, the Company announced that the board of directors declared a cash dividend of $0.20 per common share. The dividend will be paid on November 22, 2023 to common stockholders of record as of November 13, 2023. ● All agreements to sell assets under agreements to repurchase assets that matured before the date of this Report were extended or renewed. |
Related Party Transactions (Tab
Related Party Transactions (Tables) - Related Party - PennyMac Mortgage Investment Trust | 9 Months Ended |
Sep. 30, 2023 | |
Transactions with Affiliates | |
Summary of lending activity between the Company and affiliate | Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) Net losses on loans held for sale at fair value: Net losses on loans sold to PMT (primarily cash) $ — $ — $ — $ (2,820) Mortgage servicing rights recapture incurred (500) (1,648) (1,494) (13,232) $ (500) $ (1,648) $ (1,494) $ (16,052) Sales of loans held for sale to PMT $ — $ — $ — $ 298,862 Tax service fees earned from PMT included in Loan origination fees $ 579 $ 2,192 $ 2,690 $ 6,938 Fulfillment fee revenue $ 5,531 $ 18,407 $ 22,895 $ 55,807 Unpaid principal balance of loans fulfilled for PMT subject to fulfillment fees $ 2,760,000 $ 10,226,513 $ 12,418,084 $ 30,319,475 Sourcing fees included in cost of loans purchased from PMT $ 1,854 $ 1,203 $ 5,014 $ 3,562 Unpaid principal balance of loans purchased from PMT: Government guaranteed or insured $ 8,606,835 $ 12,261,222 $ 29,127,889 $ 35,643,210 Conventional conforming 9,932,593 — 21,013,357 — $ 18,539,428 $ 12,261,222 $ 50,141,246 $ 35,643,210 |
Summary of loan servicing fees earned from PMT | Quarter ended September 30, Nine months ended September 30, Loan type serviced 2023 2022 2023 2022 (in thousands) Prime servicing $ 20,224 $ 20,136 $ 60,839 $ 61,243 Special servicing 33 111 184 427 $ 20,257 $ 20,247 $ 61,023 $ 61,670 |
Summary of management fees earned | Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) Base management $ 7,175 $ 7,731 $ 21,510 $ 23,758 Performance incentive — — — — $ 7,175 $ 7,731 $ 21,510 $ 23,758 |
Summary of reimbursement of expenses | Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) Reimbursement of: Expenses incurred on PMT's behalf, net $ 5,893 $ 705 $ 15,532 $ 8,896 Common overhead incurred by the Company 1,489 2,574 5,450 6,247 Compensation 165 165 495 495 $ 7,547 $ 3,444 $ 21,477 $ 15,638 Payments and settlements during the period (1) $ 9,190 $ 41,509 $ 72,446 $ 110,835 (1) Payments and settlements include payments for the operating, investing and financing activities itemized in this Note. |
Summary of investing activity between the Company and affiliate | Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) Change in fair value of investment in and dividends received from PennyMac Mortgage Investment Trust $ (51) $ (119) $ 91 $ (311) September 30, December 31, 2023 2022 (in thousands) Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Fair value $ 930 $ 929 Number of shares 75 75 |
Summary of amounts due from and payable to affiliate | September 30, December 31, 2023 2022 (in thousands) Receivable from PMT: Correspondent production fees $ 9,183 $ 6,835 Management fees 7,175 7,307 Servicing fees 6,760 6,740 Allocated expenses and expenses incurred on PMT's behalf 2,672 11,447 Fulfillment fees 1,823 4,043 $ 27,613 $ 36,372 Payable to PMT: Amounts advanced by PMT to fund its servicing advances $ 95,723 $ 201,451 Other 2,252 3,560 $ 97,975 $ 205,011 |
Loan Sales and Servicing Acti_2
Loan Sales and Servicing Activities (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Loan Sales and Servicing Activities | |
Summary of cash flows between the Company and transferees upon sale of loans in transactions | Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) Cash flows: Sales proceeds $ 21,651,096 $ 16,215,098 $ 60,061,205 $ 67,056,886 Servicing fees received $ 303,224 $ 242,622 $ 853,962 $ 676,384 |
Summary of the allowance for losses | Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) Balance at beginning of period $ 70,070 $ 66,143 $ 78,992 $ 120,940 Reversals of provision for losses (2,554) (820) (7,603) (52,113) Charge-offs, net (1,872) (1,610) (5,745) (5,114) Balance at end of period $ 65,644 $ 63,713 $ 65,644 $ 63,713 |
Summary of sale of loans between the Company and transferees upon sale of loans in transactions | September 30, December 31, 2023 2022 (in thousands) Unpaid principal balance of loans outstanding $ 333,372,910 $ 295,032,674 Delinquent loans: 30-89 days $ 12,534,532 $ 11,019,194 90 days or more: Not in foreclosure $ 6,176,470 $ 6,548,849 In foreclosure $ 748,004 $ 834,155 Foreclosed $ 8,172 $ 12,905 Loans in bankruptcy $ 1,319,689 $ 1,143,484 |
Summary of servicing portfolio | September 30, 2023 Servicing Total rights owned Subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 333,372,910 $ — $ 333,372,910 Purchased 17,924,005 — 17,924,005 351,296,915 — 351,296,915 PennyMac Mortgage Investment Trust — 232,914,107 232,914,107 Loans held for sale 5,181,866 — 5,181,866 $ 356,478,781 $ 232,914,107 $ 589,392,888 Delinquent loans: 30 days $ 10,279,914 $ 1,634,924 $ 11,914,838 60 days 2,891,309 377,754 3,269,063 90 days or more: Not in foreclosure 6,390,779 946,456 7,337,235 In foreclosure 804,958 76,663 881,621 Foreclosed 9,180 5,136 14,316 $ 20,376,140 $ 3,040,933 $ 23,417,073 Loans in bankruptcy $ 1,441,034 $ 171,598 $ 1,612,632 Custodial funds managed by the Company (1) $ 5,310,846 $ 2,760,857 $ 8,071,703 (1) Custodial funds include cash accounts holding funds on behalf of borrowers and investors relating to loans serviced under servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns placement fees on certain of these custodial funds where it owns the MSRs and these fees are included in Interest income in the Company’s consolidated statements of income. 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: 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 Custodial funds managed by the Company $ 3,329,709 $ 1,783,157 $ 5,112,866 (1) Custodial funds include cash accounts holding funds on behalf of borrowers and investors relating to loans serviced under servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns placement fees on certain of these custodial funds where it owns the MSRs and these 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) | September 30, December 31, State 2023 2022 (in thousands) California $ 70,097,836 $ 68,542,279 Florida 55,873,979 50,873,961 Texas 54,118,039 47,911,696 Virginia 34,798,867 33,478,151 Maryland 26,367,206 25,473,417 All other states 348,136,961 325,395,178 $ 589,392,888 $ 551,674,682 |
Fair Value (Tables)
Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Fair Value | |
Summary of financial statement items measured at estimated fair value on a recurring basis | September 30, 2023 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investment $ 5,553 $ — $ — $ 5,553 Loans held for sale at fair value — 4,787,472 399,184 5,186,656 Derivative assets: Interest rate lock commitments — — 42,385 42,385 Forward purchase contracts — 7,227 — 7,227 Forward sales contracts — 115,778 — 115,778 MBS put options — 4,408 — 4,408 Put options on interest rate futures purchase contracts 36,391 — — 36,391 Call options on interest rate futures purchase contracts 2,324 — — 2,324 Total derivative assets before netting 38,715 127,413 42,385 208,513 Netting — — — (105,147) Total derivative assets 38,715 127,413 42,385 103,366 Mortgage servicing rights at fair value — — 7,084,356 7,084,356 Investment in PennyMac Mortgage Investment Trust 930 — — 930 $ 45,198 $ 4,914,885 $ 7,525,925 $ 12,380,861 Liabilities: Derivative liabilities: Interest rate lock commitments $ — $ — $ 21,611 $ 21,611 Forward purchase contracts — 41,538 — 41,538 Forward sales contracts — 14,808 — 14,808 MBS put options — 4,301 — 4,301 Put options on interest rate futures sales contracts 4,945 — — 4,945 Total derivative liabilities before netting 4,945 60,647 21,611 87,203 Netting — — — (46,003) Total derivative liabilities 4,945 60,647 21,611 41,200 Mortgage servicing liabilities at fair value — — 1,818 1,818 $ 4,945 $ 60,647 $ 23,429 $ 43,018 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 |
Summary of roll forward of items measured using Level 3 inputs on a recurring basis | Quarter ended September 30, 2023 Net interest Mortgage Loans held rate lock servicing Assets for sale commitments (1) rights Total (in thousands) Balance, June 30, 2023 $ 392,758 $ 30,636 $ 6,510,585 $ 6,933,979 Purchases and issuances, net 681,022 46,991 — 728,013 Capitalization of interest and servicing advances 10,770 — — 10,770 Sales and repayments (202,892) — (73) (202,965) Mortgage servicing rights resulting from loan sales — — 450,936 450,936 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 15,520 — — 15,520 Other factors (1,831) (32,161) 220,974 186,982 13,689 (32,161) 220,974 202,502 Transfers from Level 3 to Level 2 (496,019) — — (496,019) Transfers to real estate acquired in settlement of loans (144) — — (144) Transfers to loans held for sale — (24,692) — (24,692) Exchange of mortgage servicing spread for interest-only stripped securities — — (98,066) (98,066) Balance, September 30, 2023 $ 399,184 $ 20,774 $ 7,084,356 $ 7,504,314 Changes in fair value recognized during the quarter relating to assets still held at September 30, 2023 $ 6,519 $ 20,774 $ 220,974 $ 248,267 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended Liabilities September 30, 2023 (in thousands) Mortgage servicing liabilities: Balance, June 30, 2023 $ 1,940 Changes in fair value included in income (122) Balance, September 30, 2023 $ 1,818 Changes in fair value recognized during the quarter relating to liabilities still outstanding at September 30, 2023 $ (122) Quarter ended September 30, 2022 Net interest Mortgage Loans held rate lock servicing Assets for sale commitments (1) rights Total (in thousands) Balance, June 30, 2022 $ 503,553 $ 65,151 $ 5,217,167 $ 5,785,871 Purchases and issuances, net 260,721 38,481 4,140 303,342 Capitalization of interest and servicing advances 6,361 — — 6,361 Sales and repayments (71,078) — — (71,078) Mortgage servicing rights resulting from loan sales — — 345,077 345,077 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (9,217) — — (9,217) Other factors (4,801) (127,835) 95,288 (37,348) (14,018) (127,835) 95,288 (46,565) Transfers from Level 3 to Level 2 (340,903) — — (340,903) Transfers to loans held for sale — (32,000) — (32,000) Balance, September 30, 2022 $ 344,636 $ (56,203) $ 5,661,672 $ 5,950,105 Changes in fair value recognized during the quarter relating to assets still held at September 30, 2022 $ (16,166) $ (56,203) $ 95,288 $ 22,919 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Liabilities Quarter ended September 30, 2022 (in thousands) Mortgage servicing liabilities Balance, June 30, 2022 $ 2,337 Changes in fair value included in income (123) Balance, September 30, 2022 $ 2,214 Changes in fair value recognized during the quarter relating to liabilities still outstanding at September 30, 2022 $ (123) Nine months ended September 30, 2023 Net interest Mortgage Loans held rate lock servicing Assets for sale commitments (1) rights Total (in thousands) Balance, December 31, 2022 $ 345,772 $ 25,844 $ 5,953,621 $ 6,325,237 Purchases and issuances, net 1,733,158 177,377 — 1,910,535 Capitalization of interest and servicing advances 31,608 — — 31,608 Sales and repayments (472,039) — (305) (472,344) Mortgage servicing rights resulting from loan sales — — 1,299,992 1,299,992 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 36,014 — — 36,014 Other factors (1,967) 18,559 (70,886) (54,294) 34,047 18,559 (70,886) (18,280) Transfers from Level 3 to Level 2 (1,272,912) — — (1,272,912) Transfers to real estate acquired in settlement of loans (450) — — (450) Transfers to loans held for sale — (201,006) — (201,006) Exchange of mortgage servicing spread for interest-only stripped securities — — (98,066) (98,066) Balance, September 30, 2023 $ 399,184 $ 20,774 $ 7,084,356 $ 7,504,314 Changes in fair value recognized during the period relating to assets still held at September 30, 2023 $ 10,465 $ 20,774 $ (70,886) $ (39,647) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Nine months ended Liabilities September 30, 2023 (in thousands) Mortgage servicing liabilities: Balance, December 31, 2022 $ 2,096 Changes in fair value included in income (278) Balance, September 30, 2023 $ 1,818 Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2023 $ (278) Nine months ended September 30, 2022 Net interest Mortgage Loans held rate lock servicing Assets for sale commitments (1) rights Total (in thousands) Balance, December 31, 2021 $ 1,128,876 $ 322,193 $ 3,878,078 $ 5,329,147 Purchases and issuances, net 2,994,447 345,770 4,140 3,344,357 Capitalization of interest and servicing advances 54,080 — — 54,080 Sales and repayments (1,335,966) — — (1,335,966) Mortgage servicing rights resulting from loan sales — — 1,359,632 1,359,632 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (39,427) — — (39,427) Other factors (26,119) (694,318) 419,822 (300,615) (65,546) (694,318) 419,822 (340,042) Transfers from Level 3 to Level 2 (2,430,869) — — (2,430,869) Transfers to real estate acquired in settlement of loans (386) — — (386) Transfers to loans held for sale — (29,848) — (29,848) Balance, September 30, 2022 $ 344,636 $ (56,203) $ 5,661,672 $ 5,950,105 Changes in fair value recognized during the period relating to assets still held at September 30, 2022 $ (31,587) $ (56,203) $ 419,822 $ 332,032 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Nine months ended Liabilities September 30, 2022 (in thousands) Mortgage servicing liabilities: Balance, December 31, 2021 $ 2,816 Changes in fair value included in income (602) Balance, September 30, 2022 $ 2,214 Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2022 $ (602) |
Summary of changes in fair value relating to financial statement items | Quarter ended September 30, 2023 2022 Net gains on Net Net gains on Net loans held loan loans held loan for sale at servicing for sale at servicing fair value fees Total fair value fees Total (in thousands) Assets: Loans held for sale $ 762 $ — $ 762 $ (69,358) $ — $ (69,358) Mortgage servicing rights — 220,974 220,974 — 95,288 95,288 $ 762 $ 220,974 $ 221,736 $ (69,358) $ 95,288 $ 25,930 Liabilities: Mortgage servicing liabilities $ — $ 122 $ 122 $ — $ 123 $ 123 Nine months ended September 30, 2023 2022 Net gains on Net Net gains on Net loans held loan loans held loan for sale at servicing for sale at servicing fair value fees Total fair value fees Total (in thousands) Assets: Loans held for sale $ 187,462 $ — $ 187,462 $ (273,701) $ — $ (273,701) Mortgage servicing rights — (70,886) (70,886) — 419,822 419,822 $ 187,462 $ (70,886) $ 116,576 $ (273,701) $ 419,822 $ 146,121 Liabilities: Mortgage servicing liabilities $ — $ 278 $ 278 $ — $ 602 $ 602 |
Schedule of fair value and related principal amounts due upon maturity of assets and liabilities accounted for under the fair value option | September 30, 2023 December 31, 2022 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 $ 5,142,606 $ 5,118,234 $ 24,372 $ 3,450,578 $ 3,428,052 $ 22,526 90 days or more delinquent: Not in foreclosure 38,422 44,694 (6,272) 47,252 53,351 (6,099) In foreclosure 5,628 18,938 (13,310) 11,470 16,811 (5,341) $ 5,186,656 $ 5,181,866 $ 4,790 $ 3,509,300 $ 3,498,214 $ 11,086 |
Summary of financial statement items measured at estimated fair value on a nonrecurring basis | Real estate acquired in settlement of loans Level 1 Level 2 Level 3 Total (in thousands) September 30, 2023 $ — $ — $ 3,178 $ 3,178 December 31, 2022 $ — $ — $ 1,850 $ 1,850 |
Summary of total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) Real estate acquired in settlement of loans $ (494) $ (131) $ (791) $ (838) |
Summary of carrying value and fair value of debt | September 30, 2023 December 31, 2022 Fair value Carrying value Fair value Carrying value (in thousands) Term notes and term loans $ 2,479,425 $ 2,474,515 $ 1,677,476 $ 1,794,475 Unsecured senior notes $ 1,553,962 $ 1,782,689 $ 1,550,750 $ 1,779,920 |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items, excluding MSR purchases | Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (Amount recognized and unpaid principal balance of underlying loans in thousands) MSR and pool characteristics: Amount recognized $ 450,936 $ 345,077 $ 1,299,992 $ 1,359,632 Unpaid principal balance of underlying loans $ 21,861,437 $ 16,003,556 $ 60,549,919 $ 65,956,748 Weighted average servicing fee rate (in basis points) 42 49 47 44 Key inputs (1): Annual total prepayment speed (2): Range 7.5% – 20.4% 6.8% – 19.1% 7.5% – 23.2% 5.7% – 23.4% Weighted average 10.3% 11.1% 10.9% 9.0% Equivalent average life (in years): Range 3.6 – 9.4 4.0 – 8.1 3.0 – 9.4 3.7 – 9.2 Weighted average 7.7 7.4 7.6 8.1 Pricing spread (3): Range 5.5% – 12.6% 5.5% – 11.4% 5.5% – 12.6% 5.5% – 16.1% Weighted average 6.1% 8.1% 7.0% 7.8% Per-loan annual cost of servicing: Range $68 – $127 $79 – $116 $68 – $127 $79 – $177 Weighted average $97 $105 $99 $104 (1) Weighted average inputs are based on the UPB of the underlying loans. (2) Annual total prepayment speed is measured using life total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information. (3) Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United State Treasury Securities (the “Treasury”) yield curve for purposes of discounting cash flows relating to MSRs. |
Quantitative summary of key inputs used in the valuation of the MSRs at year end and the effect on estimated fair value from adverse changes in those inputs | Following is a quantitative summary of key inputs used in the valuation of the Company’s MSRs and the effect on the fair value from adverse changes in those inputs: September 30, 2023 December 31, 2022 (Fair value, unpaid principal balance of underlying loans and effect on fair value amounts in thousands) Fair value $ 7,084,356 $ 5,953,621 Pool characteristics: Unpaid principal balance of underlying loans $ 351,269,905 $ 314,567,639 Weighted average note interest rate 3.9% 3.4% Weighted average servicing fee rate (in basis points) 38 36 Key inputs (1): Annual total prepayment speed (2): Range 5.4% – 16.4% 5.0% – 17.7% Weighted average 6.7% 7.5% Equivalent average life (in years): Range 3.2 – 9.4 3.7 – 9.3 Weighted average 8.8 8.4 Effect on fair value of (3): 5% adverse change ($89,373) ($77,346) 10% adverse change ($176,093) ($152,192) 20% adverse change ($342,038) ($294,872) Pricing spread (4): Range 5.6% – 12.6% 4.9% – 14.3% Weighted average 6.5% 6.5% Effect on fair value of (3): 5% adverse change ($96,272) ($81,021) 10% adverse change ($189,990) ($159,863) 20% adverse change ($370,130) ($311,329) Per-loan annual cost of servicing: Range $68 – $135 $68 – $144 Weighted average $107 $109 Effect on fair value of (3): 5% adverse change ($43,810) ($41,263) 10% adverse change ($87,619) ($82,527) 20% adverse change ($175,238) ($165,053) (1) Weighted average inputs are based on the UPB of the underlying loans. (2) Annual total prepayment speed is measured using life total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information. (3) These sensitivity analyses are limited in that they were performed as of a particular date; only contemplate the movements in the indicated inputs; do not incorporate changes to other inputs; are subject to the accuracy of the models and inputs used; and do not incorporate other factors that would affect the Company’s overall financial performance in such events, including operational adjustments made to account for changing circumstances. For these reasons, these analyses should not be viewed as earnings forecasts. (4) The Company applies a pricing spread to the Treasury yield curve for purposes of discounting cash flows relating to MSRs. |
Mortgage servicing liabilities | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | September 30, December 31, 2023 2022 Fair value (in thousands) $ 1,818 $ 2,096 Pool characteristics: Unpaid principal balance of underlying loans (in thousands) $ 27,010 $ 33,157 Servicing fee rate (in basis points) 25 25 Key inputs (1): Pricing spread (2) 8.4% 7.8% Annual total prepayment speed (3) 15.9% 17.2% Equivalent average life (in years) 5.2 4.9 Per-loan annual cost of servicing $ 1,040 $ 1,177 (1) Weighted average inputs are based on UPB of the underlying mortgage loans. (2) The Company applies a pricing spread to the Treasury yield curve for purposes of discounting cash flows relating to MSLs. (3) Annual total prepayment speed is measured using life total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information. |
Interest rate lock commitments | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | September 30, 2023 December 31, 2022 Fair value (in thousands) (1) $ 20,774 $ 25,844 Committed amount $ 7,527,726 $ 7,009,119 Key inputs Pull-through rate: Range 14.7% – 100% 10.3% – 100% Weighted average 86.9% 82.8% Mortgage servicing rights fair value expressed as: Servicing fee multiple: Range 1.1 – 8.2 (1.3) – 7.7 Weighted average 5.0 4.3 Percentage of loan commitment amount: Range 0.3% – 4.5% (0.2)% – 3.8% Weighted average 2.1% 2.0% (1) For purpose of this table, IRLC asset and liability positions are shown net. (2) Weighted average inputs are based on the committed amounts. |
Mortgage loans held for sale | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | September 30, 2023 December 31, 2022 Fair value (in thousands) $ 399,184 $ 345,772 Key inputs (1): Discount rate: Range 7.9% – 10.2% 5.5% – 10.2% Weighted average 7.9% 5.7% Twelve-month projected housing price index change: Range 0.2% – 0.3% (1.9)% – (1.7)% Weighted average 0.2% (1.8)% Voluntary prepayment/resale speed (2): Range 4.0% – 43.0% 4.7% – 25.6% Weighted average 28.0% 21.6% Total prepayment/resale speed (3): Range 4.1% – 55.4% 4.8% – 36.1% Weighted average 35.2% 29.4% (1) Weighted average inputs are based on the fair values of the “Level 3” fair value loans. (2) Voluntary prepayment/resale speed is measured using life voluntary Conditional Prepayment Rate (“CPR”). (3) Total prepayment/resale speed is measured using life total CPR, which includes both voluntary and involuntary prepayment/resale speeds. |
Loans Held for Sale at Fair V_2
Loans Held for Sale at Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Loans Held for Sale at Fair Value | |
Summary of loans held for sale at fair value | September 30, December 31, Loan type 2023 2022 (in thousands) Government-insured or guaranteed $ 2,589,859 $ 2,006,157 Conventional conforming 2,181,524 1,145,053 Jumbo 16,089 12,318 Closed-end second lien mortgage loans 217,251 46,589 Purchased from Ginnie Mae securities serviced by the Company 170,347 257,175 Repurchased pursuant to representations and warranties 11,586 42,008 $ 5,186,656 $ 3,509,300 Fair value of loans pledged to secure: Assets sold under agreements to repurchase $ 4,500,588 $ 3,139,870 Mortgage loan participation purchase and sale agreements 526,230 302,977 $ 5,026,818 $ 3,442,847 |
Derivative Financial Instrume_2
Derivative Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Derivative Financial Instruments | |
Summary of derivative financial instruments | September 30, 2023 December 31, 2022 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 7,527,726 $ 42,385 $ 21,611 7,009,119 $ 36,728 $ 10,884 Subject to master netting arrangements (2): Forward purchase contracts 10,768,362 7,227 41,538 8,320,849 2,433 48,670 Forward sales contracts 16,995,313 115,778 14,808 12,487,760 80,754 20,684 MBS put options 400,000 4,408 4,301 1,750,000 6,057 — Put options on interest rate futures purchase contracts 3,775,000 36,391 — 6,800,000 29,203 — Call options on interest rate futures purchase contracts 2,125,000 2,324 — 1,350,000 2,820 — Put options on interest rate futures sale contracts 325,000 — 4,945 250,000 — 3,008 Treasury futures purchase contracts 3,559,500 — — 3,709,200 — — Treasury futures sale contracts 7,036,000 — — 3,456,900 — — Total derivatives before netting 208,513 87,203 157,995 83,246 Netting (105,147) (46,003) (58,992) (61,534) $ 103,366 $ 41,200 $ 99,003 $ 21,712 Deposits (received from) placed with derivative counterparties included in the derivative balances above, net $ (59,144) $ 2,542 (1) Notional amounts provide an indication of the volume of the Company’s derivative activity. (2) All derivatives subject to master netting agreements are interest rate derivatives that are used as economic hedges. |
Summary of the amount of derivative asset positions by significant counterparty after considering master netting arrangements and financial instruments or cash pledged | September 30, 2023 December 31, 2022 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 $ 42,385 $ — $ — $ 42,385 $ 36,728 $ — $ — $ 36,728 RJ O'Brien 33,770 — — 33,770 29,016 — — 29,016 Morgan Stanley Bank, N.A. 17,820 — — 17,820 18,501 — — 18,501 Bank of America, N.A. 2,170 — — 2,170 1,519 — — 1,519 Athene Annuity & Life Assurance Company 1,449 — — 1,449 — — — — Federal National Mortgage Association 1,338 — — 1,338 — — — — Barclays Capital 1,129 — — 1,129 — — — — Goldman Sachs — — — — 5,757 — — 5,757 Citibank, N.A. — — — — 5,098 — — 5,098 Others 3,305 — — 3,305 2,384 — — 2,384 $ 103,366 $ — $ — $ 103,366 $ 99,003 $ — $ — $ 99,003 |
Summary of amount of derivative liabilities and assets sold under agreements to repurchase by significant counterparty after considering master netting arrangements and financial instruments or cash pledged | Derivative Liabilities, Financial Instruments and Collateral Held by Counterparty The following table summarizes by significant counterparty the amount of derivative liabilities and assets sold under agreements to repurchase after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance to qualify for setoff accounting. All assets sold under agreements to repurchase are secured by sufficient collateral or have fair values that exceed the liability amounts recorded on the consolidated balance sheets. September 30, 2023 December 31, 2022 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 $ 21,611 $ — $ — $ 21,611 $ 10,884 $ — $ — $ 10,884 Atlas Securitized Products, L.P. 1,213,620 (1,213,620) — — — — — — Credit Suisse First Boston Mortgage Capital LLC — — — — 970,725 (968,804) — 1,921 Bank of America, N.A. 912,887 (912,887) — — 567,745 (567,745) — — JPMorgan Chase Bank, N.A. 426,244 (423,721) — 2,523 211,713 (211,713) — — BNP Paribas 405,501 (405,498) — 3 300,280 (300,280) — — Royal Bank of Canada 330,880 (330,880) — — 381,893 (381,893) — — Wells Fargo Bank, N.A. 305,603 (304,986) — 617 228,181 (221,986) — 6,195 Barclays Capital 280,160 (280,160) — — 80,276 (79,295) — 981 Citibank, N.A. 248,656 (243,891) — 4,765 94,211 (94,211) — — Goldman Sachs 138,954 (134,542) — 4,412 64,486 (64,486) — — Morgan Stanley Bank, N.A. 120,735 (118,112) — 2,623 114,277 (114,277) — — Nomura Corporate Funding Americas 50,165 (50,000) — 165 — — — — Bank of Oklahoma 2,738 — — 2,738 — — — — Others 1,743 — — 1,743 1,731 — — 1,731 $ 4,459,497 $ (4,418,297) $ — $ 41,200 $ 3,026,402 $ (3,004,690) $ — $ 21,712 (1) Amounts represent the UPB of Assets sold under agreements to repurchase . |
Summary of gains (losses) recognized on derivative financial instruments and the respective income statement line items | Quarter ended September 30, Nine months ended September 30, Derivative activity Consolidated income statement line 2023 2022 2023 2022 (in thousands) Interest rate lock commitments Net gains on loans held for sale at fair value (1) $ (9,862) $ (121,353) $ (5,069) $ (378,396) Hedged item: Interest rate lock commitments and loans held for sale Net gains on loans held for sale at fair value $ 162,006 $ 363,272 $ 217,968 $ 1,360,341 Mortgage servicing rights Net loan servicing fees–Mortgage servicing rights hedging results $ (423,656) $ (164,749) $ (531,565) $ (558,614) (1) Represents net change in fair value of IRLCs from the beginning to the end of the period. Amounts recognized at the date of commitment and fair value changes recognized during the period until purchase of the underlying loans or the cancellation of the commitment are shown in the rollforward of IRLCs for the period in Note 6 – Fair Value – Assets and Liabilities Measured at Fair Value on a Recurring Basis . |
Mortgage Servicing Rights and_2
Mortgage Servicing Rights and Mortgage Servicing Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Mortgage Servicing Rights and Mortgage Servicing Liabilities | |
Schedule of activity in MSRs carried at fair value | Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) Balance at beginning of period $ 6,510,585 $ 5,217,167 $ 5,953,621 $ 3,878,078 Additions (deductions): MSRs resulting from loan sales 450,936 345,077 1,299,992 1,359,632 Purchases — 4,140 — 4,140 Sales (73) — (305) — Exchange of mortgage servicing spread for interest-only stripped securities (98,066) — (98,066) — 352,797 349,217 1,201,621 1,363,772 Change in fair value due to: Changes in inputs used in valuation model (1) 398,807 237,154 427,426 794,779 Other changes in fair value (2) (177,833) (141,866) (498,312) (374,957) Total change in fair value 220,974 95,288 (70,886) 419,822 Balance at end of period $ 7,084,356 $ 5,661,672 $ 7,084,356 $ 5,661,672 Unpaid principal balance of underlying loans at end of period $ 351,269,905 $ 303,800,226 September 30, December 31, 2023 2022 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 7,018,069 $ 5,897,613 (1) Principally reflects changes in annual total prepayment speed, pricing spread, per loan annual cost of servicing and UPB of underlying loan inputs. (2) Represents changes due to realization of cash flows. |
Schedule of activity in mortgage servicing liability carried at fair value | Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) Balance at beginning of period $ 1,940 $ 2,337 $ 2,096 $ 2,816 Changes in fair value due to: Changes in inputs used in valuation model (64) (38) (86) (305) Other changes in fair value (1) (58) (85) (192) (297) Total change in fair value (122) (123) (278) (602) Balance at end of period $ 1,818 $ 2,214 $ 1,818 $ 2,214 Unpaid principal balance of underlying loans at end of period $ 27,010 $ 35,143 (1) Represents changes due to realization of cash flows. |
Summary of servicing fees, late fees and ancillary and other fees relating to MSRs recorded on the consolidated statements of income | Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) Contractual servicing fees $ 328,049 $ 270,336 $ 925,865 $ 774,483 Other fees: Late charges 14,486 10,533 39,984 30,177 Other 2,708 2,952 7,664 11,487 $ 345,243 $ 283,821 $ 973,513 $ 816,147 |
Leases (Tables)
Leases (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Leases | |
Summary of Company's leases | Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (dollars in thousands) Lease expense: Operating leases $ 4,862 $ 5,046 $ 14,665 $ 15,008 Short-term leases 114 235 351 695 Sublease income (315) — (584) — Net lease expense included in Occupancy and equipment $ 4,661 $ 5,281 $ 14,432 $ 15,703 Other information: Payments for operating leases $ 7,617 $ 5,544 $ 19,217 $ 15,801 Operating lease right-of-use assets $ 1,166 $ 571 $ 2,893 $ 1,364 Period end weighted averages: Remaining lease term (in years) 4.4 4.9 Discount rate 3.8% 3.8% |
Schedule of maturities of operating lease liabilities | Twelve months ended September 30, Operating leases (in thousands) 2024 $ 21,926 2025 19,376 2026 16,037 2027 9,246 2028 5,123 Thereafter 8,320 Total lease payments 80,028 Less imputed interest (9,818) Operating lease liability $ 70,210 |
Other Assets (Tables)
Other Assets (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Other Asset | |
Summary of other assets | September 30, December 31, 2023 2022 (in thousands) Capitalized software, net $ 153,501 $ 157,460 Margin deposits 64,242 55,968 Interest receivable 39,784 24,110 Prepaid expenses 36,165 38,780 Servicing fees receivable, net 34,654 31,356 Other servicing receivables 30,572 24,854 Deposits securing Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets 30,021 12,277 Furniture, fixtures, equipment and building improvements, net 20,760 28,382 Real estate acquired in settlement of loans 13,850 11,497 Other 41,473 33,223 $ 465,022 $ 417,907 Deposits securing Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 30,021 $ 12,277 |
Short-Term Debt (Tables)
Short-Term Debt (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Short-Term Debt | |
Summary of financial data pertaining to assets sold under agreements to repurchase | Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ 3,208,434 $ 1,949,452 $ 3,800,502 $ 2,622,581 Weighted average interest rate (1) 7.19% 4.34% 7.01% 2.90% Total interest expense $ 62,758 $ 24,329 $ 209,461 $ 67,048 Maximum daily amount outstanding $ 4,418,359 $ 3,490,082 $ 6,358,007 $ 7,289,147 September 30, December 31, 2023 2022 (dollars in thousands) Carrying value: Unpaid principal balance $ 4,418,297 $ 3,004,690 Unamortized debt issuance costs (6,550) (3,407) $ 4,411,747 $ 3,001,283 Weighted average interest rate 6.94% 6.00% Available borrowing capacity (2): Committed $ 771,567 $ 1,078,927 Uncommitted 5,235,136 5,391,383 $ 6,006,703 $ 6,470,310 Assets securing repurchase agreements: Loans held for sale $ 4,500,588 $ 3,139,870 Servicing advances (3) $ 268,987 $ 381,379 Mortgage servicing rights (3) $ 6,293,514 $ 5,339,513 Deposits (3) $ 30,021 $ 12,277 (1) Excludes the effect of amortization of debt issuance costs and utilization fees of $4.6 million and $3.0 million for the quarters ended September 30, 2023 and 2022, respectively, and $10.1 million for each of the nine months ended September 30, 2023 and 2022. (2) The amount the Company is able to borrow under asset repurchase agreements is tied to the fair value of unencumbered assets eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the assets financed. (3) Beneficial interests in the Ginnie Mae MSRs, servicing advances and deposits together serve as the collateral backing servicing asset facilities that are included in Assets sold under agreements to repurchase and the term notes and term loans included in Notes payable secured by mortgage servicing assets . The term notes and term loans are described in Note 13 — Long-Term Debt - Notes payable secured by mortgage servicing assets. |
Summary of maturities of outstanding advances under repurchase agreements by maturity date | Remaining maturity at September 30, 2023 (1) Unpaid principal balance (dollars in thousands) Within 30 days $ 700,101 Over 30 to 90 days 3,248,232 Over 90 to 180 days 57,266 Over one year to two years 412,698 Total assets sold under agreements to repurchase $ 4,418,297 Weighted average maturity (in months) 3.6 (1) The Company is subject to margin calls during the periods the agreements are outstanding and therefore may be required to repay a portion of the borrowings before the respective agreements mature if the fair values (as determined by the applicable lender) of the assets securing those agreements decrease. |
Summary of amount at risk relating to the assets sold under agreements to repurchase by counterparty | Weighted average Counterparty Amount at risk maturity of advances Facility maturity (in thousands) Atlas Securitized Products, L.P. & Citibank, N.A. & Goldman Sachs Bank USA & Nomura Corporate Funding Americas (1) $ 3,223,281 March 2, 2025 June 27, 2025 Atlas Securitized Products, L.P. $ 89,951 March 2, 2024 June 27, 2025 Bank of America, N.A. $ 60,451 October 30, 2023 June 12, 2025 Barclays Bank PLC $ 34,571 December 28, 2023 November 13, 2024 JP Morgan Chase Bank, N.A. $ 29,343 December 1, 2023 June 16, 2025 BNP Paribas $ 16,378 December 17, 2023 September 30, 2025 Goldman Sachs Bank USA $ 12,769 December 17, 2023 December 23, 2023 Royal Bank of Canada $ 12,753 October 21, 2023 August 9, 2024 Citibank, N.A. $ 8,819 December 6, 2023 June 27, 2025 Wells Fargo Bank, N.A. $ 6,740 December 16, 2023 May 3, 2025 Morgan Stanley Bank, N.A. $ 5,368 December 16, 2023 January 27, 2025 JP Morgan Chase Bank, N.A. (EBO facility) $ 4,056 June 9, 2025 June 9, 2025 (1) The amount at risk includes the beneficial interests in Ginnie Mae MSRs and servicing advances pledged to serve as the collateral backing servicing asset facilities included in Assets sold under agreements to repurchase and the term notes and term loans included in Notes payable secured by mortgage servicing assets . |
Summary of participating mortgage loans | Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (dollars in thousands) Average balance $ 251,904 $ 210,639 $ 234,583 $ 216,167 Weighted average interest rate (1) 6.63% 3.65% 6.41% 2.53% Total interest expense $ 4,383 $ 2,073 $ 11,768 $ 4,570 Maximum daily amount outstanding $ 508,062 $ 507,297 $ 515,537 $ 515,043 (1) Excludes the effect of amortization of debt issuance costs totaling $172,000 and $135,000 for the quarters ended September 30, 2023 and 2022, respectively, and $516,000 and $479,000 for the nine months ended September 30, 2023 and 2022, respectively. September 30, December 31, 2023 2022 (dollars in thousands) Carrying value: Unpaid principal balance $ 498,916 $ 287,943 Unamortized debt issuance costs (524) (351) $ 498,392 $ 287,592 Weighted average interest rate 6.57% 5.71% Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements $ 526,230 $ 302,977 |
Long-Term Debt (Tables)
Long-Term Debt (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Long-Term Debt. | |
Summary of term notes issued | Maturity date Issuance date Principal balance Annual interest rate spread (1) Stated Optional extension (2) (in thousands) Term Notes: February 28, 2018 $ 650,000 3.85% 2/25/2025 (3) August 10, 2018 650,000 3.40% 8/25/2025 (3) June 3, 2022 500,000 4.25% 5/25/2027 5/25/2029 Term Loans: February 28, 2023 680,000 3.00% 2/25/2028 2/25/2029 $ 2,480,000 (1) Interest is charged at a rate based on SOFR plus a spread. (2) The Term Notes and Term Loans’ indentures provide the Company with the option to extend the maturity of the Term Notes or Term Loans as specified in the respective agreements. (3) Stated maturity date reflects the exercise by the Company of its option to extend the maturity of this issuance. |
Summary of note payable | Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (dollars in thousands) Average balance $ 2,484,348 $ 1,800,000 $ 2,353,572 $ 1,510,623 Weighted average interest rate (1) 8.78% 5.31% 8.40% 4.13% Total interest expense $ 55,676 $ 24,795 $ 150,271 $ 48,360 (1) Excludes the effect of amortization of debt issuance costs totaling $689,000 and $726,000 for the quarters ended September 30, 2023 and 2022, respectively, and $2.4 million and $1.7 million for the nine months ended September 30, 2023 and 2022, respectively. September 30, December 31, 2023 2022 (dollars in thousands) Carrying value: Unpaid principal balance: Term Notes and Term Loans $ 2,480,000 $ 1,800,000 Freddie Mac MSR Note Payable 200,000 150,000 2,680,000 1,950,000 Unamortized debt issuance costs (6,598) (7,354) $ 2,673,402 $ 1,942,646 Weighted average interest rate 8.73% 7.46% Assets pledged to secure notes payable (1): Servicing advances $ 268,987 $ 381,379 Mortgage servicing rights $ 7,018,069 $ 5,897,613 Deposits $ 22,236 $ 12,277 (1) Beneficial interests in the Ginnie Mae MSRs, servicing advances and deposits together serve as the collateral backing servicing asset facilities that are included in Assets sold under agreements to repurchase and the Term Notes and Term Loans included in Notes payable secured by mortgage servicing assets. |
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 interest. |
Summary of unsecured notes payable | Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (dollars in thousands) Average balance $ 1,800,000 $ 1,800,000 $ 1,800,000 $ 1,800,000 Weighted average interest rate (1) 5.07% 5.07% 5.07% 5.07% Total interest expense $ 23,949 $ 23,949 $ 71,065 $ 71,065 (1) Excludes the effect of amortization of debt issuance costs of $933,000 for each of the quarters ended September 30, 2023 and 2022, and $2.8 million for the nine months ended September 30, 2023 and 2022. September 30, December 31, 2023 2022 (dollars in thousands) Carrying value: Unpaid principal balance $ 1,800,000 $ 1,800,000 Unamortized debt issuance costs and premiums, net (17,311) (20,080) $ 1,782,689 $ 1,779,920 Weighted average interest rate 5.07% 5.07% |
Summary of maturities of Long-Term Debt | Maturities of long-term debt (based on stated maturity dates) are as follows: Twelve months ended September 30, 2024 2025 2026 2027 2028 Thereafter Total (in thousands) Notes payable secured by mortgage servicing assets (1) $ — $ 1,500,000 $ — $ 500,000 $ 680,000 $ — $ 2,680,000 Unsecured senior notes — — 650,000 — — 1,150,000 1,800,000 Total $ — $ 1,500,000 $ 650,000 $ 500,000 $ 680,000 $ 1,150,000 $ 4,480,000 (1) The Term Notes and Term Loans’ indentures provide the Company with the option to extend the maturity of the Term Notes and Term Loans as specified in the respective agreements. |
Summary of obligations under capital lease | Nine months ended September 30, 2022 (dollars in thousands) Average balance $ 1,130 Weighted average interest rate 2.18% Total interest expense $ 20 Maximum daily amount outstanding $ 3,489 |
Liability for Losses Under Re_2
Liability for Losses Under Representations and Warranties (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Liability for Losses Under Representations and Warranties | |
Summary of repurchase activity | Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) Balance at beginning of period $ 30,146 $ 39,336 $ 32,421 $ 43,521 Provision for losses: Resulting from sales of loans 4,011 1,651 8,885 7,887 Resulting from change in estimate (2,552) (1,769) (6,005) (7,165) Losses incurred (1,114) (2,031) (4,810) (7,056) Balance at end of period $ 30,491 $ 37,187 $ 30,491 $ 37,187 Unpaid principal balance of loans subject to representations and warranties at end of period $ 335,044,546 $ 285,532,190 |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Stockholders' Equity. | |
Summary of share repurchase activity | Quarter ended September 30, Nine months ended September 30, Cumulative 2023 2022 2023 2022 total (1) (in thousands) Shares of common stock repurchased — 1,949 1,201 6,696 34,063 Cost of shares of common stock repurchased $ — $ 99,702 $ 71,575 $ 354,759 $ 1,788,282 (1) Amounts represent the total shares of common stock repurchased under the stock repurchase program from inception through September 30, 2023. Cumulative total cost of common stock repurchased includes $621,000 , of transaction fees and excise tax. |
Net Gains on Loans Held for S_2
Net Gains on Loans Held for Sale (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Net Gains on Loans Held for Sale | |
Net Gains on Loans Held for Sale | Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) From non-affiliates: Cash (losses) gains: Loans $ (471,830) $ (587,659) $ (1,136,101) $ (1,983,051) Hedging activities 220,585 570,864 305,133 1,543,568 (251,245) (16,795) (830,968) (439,483) Non-cash gains: Mortgage servicing rights resulting from loan sales 450,936 345,077 1,299,992 1,359,632 Provisions for losses relating to representations and warranties: Pursuant to loan sales (4,011) (1,651) (8,885) (7,887) Reductions in liability due to changes in estimate 2,552 1,769 6,005 7,165 Changes in fair values of loans and derivatives held at period end: Interest rate lock commitments (9,862) (121,353) (5,069) (378,396) Loans 22,083 170,887 24,762 347,968 Hedging derivatives (58,579) (207,592) (87,165) (183,227) 151,874 170,342 398,672 705,772 From PennyMac Mortgage Investment Trust (1) (500) (1,648) (1,494) (16,052) $ 151,374 $ 168,694 $ 397,178 $ 689,720 (1) Gains on sale of loans to PMT are described in Note 4– Related Party Transactions – Transactions with PMT–Operating Activities. |
Net Interest Income (Expense) (
Net Interest Income (Expense) (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Net Interest Income (Expense) | |
Summary of net interest expense | Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) Interest income: Cash and short-term investments $ 15,814 $ 7,759 $ 53,186 $ 8,736 Loans held for sale at fair value 65,641 38,945 205,414 124,835 Placement fees relating to custodial funds 85,076 36,290 209,319 53,169 From Townsgate Closing Services, LLC 21 — 63 — 166,552 82,994 467,982 186,740 Interest expense: Assets sold under agreements to repurchase 62,758 24,329 209,461 67,048 Mortgage loan participation purchase and sale agreements 4,383 2,073 11,768 4,570 Obligations under capital lease — — — 20 Notes payable secured by mortgage servicing assets 55,676 24,795 150,271 48,360 Unsecured senior notes 23,949 23,949 71,065 71,065 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 6,857 5,620 16,781 35,385 Interest on mortgage loan impound deposits 2,888 2,199 7,080 4,951 Other 352 — 850 — 156,863 82,965 467,276 231,399 $ 9,689 $ 29 $ 706 $ (44,659) |
Stock-based Compensation (Table
Stock-based Compensation (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Stock-based Compensation | |
Summary of the stock-based compensation activity | Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands) Grants: Units: Performance-based restricted share units ("RSUs") — — 307 342 Stock options — — 221 574 Time-based RSUs — — 187 331 Grant date fair value: Performance-based RSUs $ — $ — $ 18,611 $ 19,522 Stock options — — 5,492 12,138 Time-based RSUs — — 11,341 18,903 Total $ — $ — $ 35,444 $ 50,563 Vestings and exercises: Performance-based RSUs vested — — 612 643 Stock options exercised 61 20 412 83 Time-based RSUs vested — — 246 246 Stock-based compensation expense $ 8,814 $ 6,466 $ 20,839 $ 30,689 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Earnings Per Share | |
Summary of basic and diluted earnings per share calculations | Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands, except per share amounts) Net income $ 92,870 $ 135,134 $ 181,498 $ 437,890 Weighted average shares of common stock outstanding 49,902 52,170 49,975 54,043 Effect of dilutive securities - shares issuable under stock-based compensation plan 2,659 2,798 2,760 2,870 Weighted average diluted shares of common stock outstanding 52,561 54,968 52,735 56,913 Basic earnings per share $ 1.86 $ 2.59 $ 3.63 $ 8.10 Diluted earnings per share $ 1.77 $ 2.46 $ 3.44 $ 7.69 |
Schedule of anti-dilutive shares outstanding | Quarter ended September 30, Nine months ended September 30, 2023 2022 2023 2022 (in thousands except for weighted average exercise price) Performance-based RSUs (1) 604 325 548 268 Time-based RSUs — — 46 116 Stock options (2) 219 1,423 287 1,312 Total anti-dilutive units and options 823 1,748 881 1,696 Weighted average exercise price of anti-dilutive stock options (2) $ 60.69 $ 58.49 $ 59.31 $ 58.61 (1) Certain performance-based RSUs were outstanding but not included in the computation of earnings per share because the performance thresholds included in such RSUs have not been achieved. (2) Certain stock options were outstanding but not included in the computation of diluted earnings per share because the weighted-average exercise prices were above the average stock prices for the period. |
Regulatory Capital and Liquid_2
Regulatory Capital and Liquidity Requirements (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Regulatory Capital and Liquidity Requirements | |
Summary of agencies' capital and liquidity requirements by each agency | September 30, 2023 (1) December 31, 2022 Requirement/Agency Actual (2) Requirement (2) Actual (2) Requirement (2) (dollars in thousands) Capital Fannie Mae & Freddie Mac $ 6,227,418 $ 1,157,832 $ 6,632,627 $ 797,748 Ginnie Mae $ 5,968,665 $ 1,251,726 $ 5,899,892 $ 923,202 HUD $ 5,968,665 $ 2,500 $ 5,899,892 $ 2,500 Liquidity Fannie Mae & Freddie Mac $ 1,383,986 $ 472,121 $ 1,265,569 $ 107,768 Ginnie Mae $ 1,583,911 $ 323,892 $ 1,265,569 $ 246,953 Adjusted net worth / Total assets ratio Ginnie Mae 40 % 6 % 35 % 6 % Tangible net worth / Total assets ratio Fannie Mae & Freddie Mac 32 % 6 % 39 % 6 % (1) The Agencies adopted revised capital and liquidity requirements, most of which became effective on September 30, 2023. The amounts shown for September 30, 2023 are in accordance with those Agency requirements. The Agencies have issued origination liquidity requirements and Ginnie Mae has issued risk-based capital requirements in addition to those presented above. The origination liquidity and risk-based capital requirements will be effective on December 31, 2023 and December 31, 2024, respectively. The Company believes it is in compliance with the Agencies’ pending requirements as of September 30, 2023. (2) Calculated in accordance with the respective Agency’s requirements. |
Segments (Tables)
Segments (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Segments | |
Summary of financial highlights by segment | Financial performance and results by segment are as follows: Quarter ended September 30, 2023 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on loans held for sale at fair value $ 127,821 $ 23,553 $ 151,374 $ — $ 151,374 Loan origination fees 37,701 — 37,701 — 37,701 Fulfillment fees from PennyMac Mortgage Investment Trust 5,531 — 5,531 — 5,531 Net loan servicing fees — 185,374 185,374 — 185,374 Net interest expense: Interest income 62,150 104,402 166,552 — 166,552 Interest expense 59,614 97,249 156,863 — 156,863 2,536 7,153 9,689 — 9,689 Management fees — — — 7,175 7,175 Other 823 1,037 1,860 1,604 3,464 Total net revenues 174,412 217,117 391,529 8,779 400,308 Expenses 149,219 115,913 265,132 8,379 273,511 Income before provision for income taxes $ 25,193 $ 101,204 $ 126,397 $ 400 $ 126,797 Segment assets at quarter end $ 5,485,039 $ 13,441,925 $ 18,926,964 $ 22,350 $ 18,949,314 (1) All revenues are from external customers. Quarter ended September 30, 2022 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on loans held for sale at fair value $ 140,683 $ 28,011 $ 168,694 $ — $ 168,694 Loan origination fees 34,037 — 34,037 — 34,037 Fulfillment fees from PennyMac Mortgage Investment Trust 18,407 — 18,407 — 18,407 Net loan servicing fees — 243,742 243,742 — 243,742 Net interest expense: Interest income 30,825 52,169 82,994 — 82,994 Interest expense 24,970 57,995 82,965 — 82,965 5,855 (5,826) 29 — 29 Management fees — — — 7,731 7,731 Other 474 556 1,030 2,620 3,650 Total net revenues 199,456 266,483 465,939 10,351 476,290 Expenses 160,884 121,200 282,084 8,734 290,818 Income before provision for income taxes $ 38,572 $ 145,283 $ 183,855 $ 1,617 $ 185,472 Segment assets at quarter end $ 4,708,512 $ 11,626,311 $ 16,334,823 $ 26,988 $ 16,361,811 (1) All revenues are from external customers. Nine months ended September 30, 2023 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on loans held for sale at fair value $ 328,796 $ 68,382 $ 397,178 $ — $ 397,178 Loan origination fees 108,059 — 108,059 — 108,059 Fulfillment fees from PennyMac Mortgage Investment Trust 22,895 — 22,895 — 22,895 Net loan servicing fees — 480,289 480,289 — 480,289 Net interest expense: Interest income 194,566 273,416 467,982 — 467,982 Interest expense 189,691 277,585 467,276 — 467,276 4,875 (4,169) 706 — 706 Management fees — — — 21,510 21,510 Other 1,925 1,118 3,043 6,037 9,080 Total net revenue 466,550 545,620 1,012,170 27,547 1,039,717 Expenses 436,582 340,425 777,007 24,849 801,856 Income before provision for income taxes $ 29,968 $ 205,195 $ 235,163 $ 2,698 $ 237,861 Segment assets at period end $ 5,485,039 $ 13,441,925 $ 18,926,964 $ 22,350 $ 18,949,314 (1) All revenues are from external customers. Nine months ended September 30, 2022 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on loans held for sale at fair value $ 515,188 $ 174,532 $ 689,720 $ — $ 689,720 Loan origination fees 141,840 — 141,840 — 141,840 Fulfillment fees from PennyMac Mortgage Investment Trust 55,807 — 55,807 — 55,807 Net loan servicing fees — 768,498 768,498 — 768,498 Net interest expense: Interest income 90,145 96,595 186,740 — 186,740 Interest expense 71,236 160,163 231,399 — 231,399 18,909 (63,568) (44,659) — (44,659) Management fees — — — 23,758 23,758 Other 1,842 2,072 3,914 6,431 10,345 Total net revenue 733,586 881,534 1,615,120 30,189 1,645,309 Expenses 676,090 343,473 1,019,563 28,228 1,047,791 Income before provision for income taxes $ 57,496 $ 538,061 $ 595,557 $ 1,961 $ 597,518 Segment assets at period end $ 4,708,512 $ 11,626,311 $ 16,334,823 $ 26,988 $ 16,361,811 |
Concentration of Risk (Details)
Concentration of Risk (Details) - PennyMac Mortgage Investment Trust - Customer Concentration Risk | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Net Revenue | ||||
Concentration of Risk | ||||
Percentage of total | 9% | 10% | 11% | 8% |
Loan Production | ||||
Concentration of Risk | ||||
Percentage of total | 84% | 78% | 84% | 65% |
Related Party Transactions - Co
Related Party Transactions - Correspondent Production (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Jul. 01, 2020 | Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Lending activity between the entity and affiliate | |||||
Net gains on loans held for sale at fair value | $ (151,374,000) | $ (168,694,000) | $ (397,178,000) | $ (689,720,000) | |
Sales of loans held for sale to PMT | 298,862,000 | ||||
Fulfillment fee revenue | 5,531,000 | 18,407,000 | 22,895,000 | 55,807,000 | |
Ginnie Mae Mortgage Backed Securities Guide Loan | |||||
Transactions with Affiliates | |||||
Threshold limit of loan commitment | $ 16,500 | ||||
Maximum Multiplier factor for each pull through adjusted loan commitment | 585 | ||||
Multiplying factor for each pull through adjusted loan commitment in excess of threshold limit per quarter | 355 | ||||
Multiplying factor for number of purchased loans | 315 | ||||
Multiplying factor for number of purchased loans in excess of threshold limit per quarter | $ 195 | ||||
Ginnie Mae Mortgage Backed Securities Guide Loan | Minimum | |||||
Transactions with Affiliates | |||||
Pull through factor as a percentage | 80% | ||||
Ginnie Mae Mortgage Backed Securities Guide Loan | Maximum | |||||
Transactions with Affiliates | |||||
Pull through factor as a percentage | 99% | ||||
Other mortgage loans | |||||
Transactions with Affiliates | |||||
Multiplying factor for number of purchased loans | $ 750 | ||||
MSR Recapture Agreement | |||||
Transactions with Affiliates | |||||
Target recapture rate | 15% | ||||
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% | ||||
Related Party | |||||
Lending activity between the entity and affiliate | |||||
Net gains on loans held for sale at fair value | 500,000 | 1,648,000 | 1,494,000 | 16,052,000 | |
Related Party | PennyMac Mortgage Investment Trust | |||||
Lending activity between the entity and affiliate | |||||
Net gains on loans held for sale at fair value | 500,000 | 1,648,000 | 1,494,000 | 16,052,000 | |
Related Party | Mortgage Lending | PennyMac Mortgage Investment Trust | |||||
Lending activity between the entity and affiliate | |||||
Net losses on loans sold to PMT (primarily cash) | (2,820,000) | ||||
Mortgage servicing rights and excess servicing spread recapture incurred | (500,000) | (1,648,000) | (1,494,000) | (13,232,000) | |
Net gains on loans held for sale at fair value | 500,000 | 1,648,000 | 1,494,000 | 16,052,000 | |
Sales of loans held for sale to PMT | 298,862,000 | ||||
Tax service fee | 579,000 | 2,192,000 | 2,690,000 | 6,938,000 | |
Fulfillment fee revenue | 5,531,000 | 18,407,000 | 22,895,000 | 55,807,000 | |
Unpaid principal balance of loans fulfilled for PMT | 2,760,000,000 | 10,226,513,000 | 12,418,084,000 | 30,319,475,000 | |
Sourcing fees paid | 1,854,000 | 1,203,000 | 5,014,000 | 3,562,000 | |
Government guaranteed or insured | 8,606,835,000 | 12,261,222,000 | 29,127,889,000 | 35,643,210,000 | |
Conventional conforming | 9,932,593,000 | 21,013,357,000 | |||
Unpaid principal balance of loans purchased from PMT | $ 18,539,428,000 | $ 12,261,222,000 | $ 50,141,246,000 | $ 35,643,210,000 | |
PLS | Minimum | |||||
Transactions with Affiliates | |||||
Sourcing fees (as a percent) | 0.01% | ||||
PLS | Maximum | |||||
Transactions with Affiliates | |||||
Sourcing fees (as a percent) | 0.02% | ||||
PLS | Ginnie Mae Mortgage Backed Securities Guide Loan | |||||
Transactions with Affiliates | |||||
Fulfilment fee payable | $ 0 |
Related Party Transactions - Mo
Related Party Transactions - Mortgage Loan Servicing (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 12, 2016 | Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
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 | ||||
Related Party | PennyMac Mortgage Investment Trust | |||||
Summary of mortgage loan servicing fees earned | |||||
Loan servicing fees | $ 20,257,000 | $ 20,247,000 | $ 61,023,000 | $ 61,670,000 | |
Related Party | Loans acquired for sale at fair value | PennyMac Mortgage Investment Trust | |||||
Summary of mortgage loan servicing fees earned | |||||
Loan servicing fees | 20,224,000 | 20,136,000 | 60,839,000 | 61,243,000 | |
Related Party | Loans at fair value | PennyMac Mortgage Investment Trust | |||||
Summary of mortgage loan servicing fees earned | |||||
Loan servicing fees | $ 33,000 | $ 111,000 | $ 184,000 | $ 427,000 |
Related Party Transactions - Ma
Related Party Transactions - Management Fees (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 12, 2016 | Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Management Fee Revenue Abstract | |||||
Management fees | $ 7,175,000 | $ 7,731,000 | $ 21,510,000 | $ 23,758,000 | |
Related Party | Management Fees | PennyMac Mortgage Investment Trust | |||||
Transactions with Affiliates | |||||
Percentage of change in net income due to quarterly adjustments | 8% | ||||
Management Fee Revenue Abstract | |||||
Base management fee | 7,175,000 | 7,731,000 | 21,510,000 | 23,758,000 | |
Management fees | $ 7,175,000 | $ 7,731,000 | $ 21,510,000 | $ 23,758,000 | |
Related Party | Management Fees | Maximum | PennyMac Mortgage Investment Trust | |||||
Transactions with Affiliates | |||||
Percentage of performance incentive fee payable by issuance of common shares | 50% | ||||
Related Party | Management Fees | Minimum | PennyMac Mortgage Investment Trust | |||||
Transactions with Affiliates | |||||
High watermark | $ 0 | ||||
Related Party | Shareholders Equity Up To 2 Billion Dollars | Maximum | PennyMac Mortgage Investment Trust | |||||
Transactions with Affiliates | |||||
Base management fee annual rate (as a percent) | 1.50% | ||||
Base management fee shareholders' equity limit | $ 2,000,000,000 | ||||
Related Party | Shareholders Equity In Excess Of 2 Billion Dollars And Upto 5 Billion Dollars | PennyMac Mortgage Investment Trust | |||||
Transactions with Affiliates | |||||
Base management fee annual rate (as a percent) | 1.375% | ||||
Related Party | Shareholders Equity In Excess Of 2 Billion Dollars And Upto 5 Billion Dollars | Maximum | PennyMac Mortgage Investment Trust | |||||
Transactions with Affiliates | |||||
Base management fee shareholders' equity limit | $ 5,000,000,000 | ||||
Related Party | Shareholders Equity In Excess Of 2 Billion Dollars And Upto 5 Billion Dollars | Minimum | PennyMac Mortgage Investment Trust | |||||
Transactions with Affiliates | |||||
Base management fee shareholders' equity limit | $ 2,000,000,000 | ||||
Related Party | Shareholders Equity In Excess Of 5 Billion Dollars | PennyMac Mortgage Investment Trust | |||||
Transactions with Affiliates | |||||
Base management fee annual rate (as a percent) | 1.25% | ||||
Related Party | Shareholders Equity In Excess Of 5 Billion Dollars | Maximum | PennyMac Mortgage Investment Trust | |||||
Transactions with Affiliates | |||||
Base management fee shareholders' equity limit | $ 5,000,000,000 | ||||
Related Party | Return on Shareholders Equity 8 Percent | PennyMac Mortgage Investment Trust | |||||
Transactions with Affiliates | |||||
Percentage of net income for calculation of performance incentive fees | 10% | ||||
Related Party | Return on Shareholders Equity 8 Percent | Maximum | PennyMac Mortgage Investment Trust | |||||
Transactions with Affiliates | |||||
Percentage of return on affiliate's equity | 12% | ||||
Related Party | Return on Shareholders Equity 8 Percent | Minimum | PennyMac Mortgage Investment Trust | |||||
Transactions with Affiliates | |||||
Percentage of return on affiliate's equity | 8% | ||||
Related Party | Return on Shareholders Equity 12 Percent | PennyMac Mortgage Investment Trust | |||||
Transactions with Affiliates | |||||
Percentage of net income for calculation of performance incentive fees | 15% | ||||
Percentage of return on affiliate's equity | 12% | ||||
Related Party | Return on Shareholders Equity 12 Percent | Maximum | PennyMac Mortgage Investment Trust | |||||
Transactions with Affiliates | |||||
Percentage of return on affiliate's equity | 16% | ||||
Related Party | Return on Shareholders Equity in Excess of 16 Percent | PennyMac Mortgage Investment Trust | |||||
Transactions with Affiliates | |||||
Percentage of net income for calculation of performance incentive fees | 20% | ||||
Percentage of return on affiliate's equity | 16% |
Related Party Transactions - Ot
Related Party Transactions - Other Transactions, Reimbursement of Common Overhead Expenses (Details) - Related Party - PennyMac Mortgage Investment Trust - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 12, 2016 | Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Transactions with Affiliates | |||||
Expense reimbursement amount, per quarter, relating to personnel | $ 165,000 | ||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | |||||
Reimbursement of common overhead and expenses incurred by the Company | $ 7,547,000 | $ 3,444,000 | $ 21,477,000 | $ 15,638,000 | |
Payments and settlements during the period | 9,190,000 | 41,509,000 | 72,446,000 | 110,835,000 | |
Common overhead incurred | |||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | |||||
Reimbursement of common overhead and expenses incurred by the Company | 1,489,000 | 2,574,000 | 5,450,000 | 6,247,000 | |
Compensation | |||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | |||||
Reimbursement of common overhead and expenses incurred by the Company | 165,000 | 165,000 | 495,000 | 495,000 | |
Expenses incurred by related party (reporting entity), net | |||||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | |||||
Reimbursement of common overhead and expenses incurred by the Company | $ 5,893,000 | $ 705,000 | $ 15,532,000 | $ 8,896,000 |
Related Party Transactions - In
Related Party Transactions - Investing Activities (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | Dec. 31, 2022 | |
Activity during the period: | |||||
Interest income | $ 166,552 | $ 82,994 | $ 467,982 | $ 186,740 | |
Interest | 166,552 | 82,994 | 467,982 | 186,740 | |
Activity during the period: | |||||
Balance at end of period | (51) | (119) | 91 | (311) | |
Fair value of PennyMac Mortgage Investment Trust shares | $ 930 | $ 930 | $ 929 | ||
Related Party | PennyMac Mortgage Investment Trust | |||||
Transactions with Affiliates | |||||
Common shares of beneficial interest owned | 75,000 | 75,000 | 75,000 | ||
Common shares of beneficial interest owned | $ 930 | $ 930 | $ 929 | ||
Activity during the period: | |||||
Common shares of beneficial interest owned | 75,000 | 75,000 | 75,000 | ||
Related Party | PennyMac Holdings, L L C Repurchase Agreement | PennyMac Mortgage Investment Trust | |||||
Activity during the period: | |||||
Change in fair value of investment in Common shares of PennyMac Mortgage Investment Trust | $ (51) | $ (119) | $ 91 | $ (311) |
Related Party Transactions - Fi
Related Party Transactions - Financing Activities (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Financing activities: | ||||
Interest Expense | $ 156,863 | $ 82,965 | $ 467,276 | $ 231,399 |
Interest expense | $ 156,863 | $ 82,965 | $ 467,276 | $ 231,399 |
Related Party Transactions - Am
Related Party Transactions - Amounts due from Affiliate (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Amounts due from affiliate | ||
Total due from affiliate | $ 27,613 | $ 36,372 |
Payable to affiliate | ||
Other Liabilities, Total | 97,975 | 205,011 |
Related Party | PennyMac Mortgage Investment Trust | ||
Amounts due from affiliate | ||
Correspondent production fees | 9,183 | 6,835 |
Allocated expenses and expenses incurred on PMT's behalf | 2,672 | 11,447 |
Management fees | 7,175 | 7,307 |
Servicing fees | 6,760 | 6,740 |
Fulfillment fees | 1,823 | 4,043 |
Payable to affiliate | ||
Amounts advanced by PMT | 95,723 | 201,451 |
Other expenses | 2,252 | 3,560 |
Affiliated entities | PennyMac Mortgage Investment Trust | ||
Amounts due from affiliate | ||
Total due from affiliate | 27,613 | 36,372 |
Payable to affiliate | ||
Other Liabilities, Total | $ 97,975 | $ 205,011 |
Related Party Transactions - _2
Related Party Transactions - Amounts due from Investment Funds (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Amounts due from affiliate | ||
Total due from affiliate | $ 27,613 | $ 36,372 |
Other Liabilities, Total | $ 97,975 | $ 205,011 |
Related Party Transactions - Ex
Related Party Transactions - Exchanged Private National Mortgage Acceptance Company, LLC Unitholders (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||||
Dec. 27, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | Dec. 31, 2022 | |
Transactions with Affiliates | ||||||
Amount of tax benefits under the tax sharing agreement (as a percent) | 85% | |||||
Payments to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement | $ (3,855,000) | |||||
Payable to exchanged PNMAC unitholders under tax receivable agreement | $ 26,100,000 | $ 26,100,000 | $ 26,100,000 | |||
Interest income | 166,552,000 | $ 82,994,000 | 467,982,000 | 186,740,000 | ||
Related Party | Private National Mortgage Acceptance Company | ||||||
Transactions with Affiliates | ||||||
Payment of tax liability under the tax receivable agreement to Private National Mortgage Acceptance Company, LLC unitholders | 0 | $ 340,000 | $ 0 | $ 3,900,000 | ||
Related Party | Townsgate Closing Services, LLC | ||||||
Transactions with Affiliates | ||||||
Advances to related party | $ 801,000 | |||||
Maximum commitment amount | $ 1,500,000 | |||||
Advances stated percentage | 10.13% | |||||
Advances variable rate | 10+ year USD High Yield Corporate Bond Index | |||||
Interest income | $ 21,000 | $ 63,000 |
Loan Sales and Servicing Acti_3
Loan Sales and Servicing Activities - Summary of Cash Flows with Transferees (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | Dec. 31, 2022 | |
Cash flows: | |||||
Sales proceeds | $ 21,651,096 | $ 16,215,098 | $ 60,061,205 | $ 67,056,886 | |
Servicing fees received | 303,224 | 242,622 | 853,962 | 676,384 | |
Allowance for losses rollforward | |||||
Balance at beginning of period | 70,070 | 66,143 | 78,992 | 120,940 | |
Reversal of provision for losses | (2,554) | (820) | (7,603) | (52,113) | |
Charge-offs, net | (1,872) | (1,610) | (5,745) | (5,114) | |
Balance at end of period | 65,644 | $ 63,713 | 65,644 | $ 63,713 | |
Period end information: | |||||
Unpaid principal balance of loans outstanding | 333,372,910 | 333,372,910 | $ 295,032,674 | ||
30-89 days | 12,534,532 | 12,534,532 | 11,019,194 | ||
90 days or more - Not in foreclosure | 6,176,470 | 6,176,470 | 6,548,849 | ||
90 days or more - In foreclosure | 748,004 | 748,004 | 834,155 | ||
90 days or more - Foreclosed | 8,172 | 8,172 | 12,905 | ||
Bankruptcy | $ 1,319,689 | $ 1,319,689 | $ 1,143,484 |
Loan Sales and Servicing Acti_4
Loan Sales and Servicing Activities - Summary of Mortgage Servicing Portfolio (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Mortgage servicing portfolio | ||
Loans held for sale | $ 5,181,866 | $ 3,498,214 |
Total loans serviced | 589,392,888 | 551,674,682 |
Delinquent loans: | ||
30 days | 11,914,838 | 10,480,243 |
60 days | 3,269,063 | 3,192,257 |
90 days or more - Not in foreclosure | 7,337,235 | 7,718,042 |
90 days or more - In foreclosure | 881,621 | 989,225 |
90 days or more - Foreclosed | 14,316 | 21,814 |
Total delinquent mortgage loans | 23,417,073 | 22,401,581 |
Bankruptcy | 1,612,632 | 1,416,757 |
Custodial funds managed by the Company | 8,071,703 | 5,112,866 |
Servicing rights owned | ||
Mortgage servicing portfolio | ||
Loans held for sale | 5,181,866 | 3,498,214 |
Total loans serviced | 356,478,781 | 318,099,010 |
Delinquent loans: | ||
30 days | 10,279,914 | 8,903,829 |
60 days | 2,891,309 | 2,855,176 |
90 days or more - Not in foreclosure | 6,390,779 | 6,829,985 |
90 days or more - In foreclosure | 804,958 | 914,213 |
90 days or more - Foreclosed | 9,180 | 13,835 |
Total delinquent mortgage loans | 20,376,140 | 19,517,038 |
Bankruptcy | 1,441,034 | 1,291,038 |
Custodial funds managed by the Company | 5,310,846 | 3,329,709 |
Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Total loans serviced | 232,914,107 | 233,575,672 |
Delinquent loans: | ||
30 days | 1,634,924 | 1,576,414 |
60 days | 377,754 | 337,081 |
90 days or more - Not in foreclosure | 946,456 | 888,057 |
90 days or more - In foreclosure | 76,663 | 75,012 |
90 days or more - Foreclosed | 5,136 | 7,979 |
Total delinquent mortgage loans | 3,040,933 | 2,884,543 |
Bankruptcy | 171,598 | 125,719 |
Custodial funds managed by the Company | 2,760,857 | 1,783,157 |
Non affiliated entities | ||
Mortgage servicing portfolio | ||
Originated | 333,372,910 | 295,032,674 |
Purchased | 17,924,005 | 19,568,122 |
Total loans serviced, excluding loans held for sale | 351,296,915 | 314,600,796 |
Non affiliated entities | Servicing rights owned | ||
Mortgage servicing portfolio | ||
Originated | 333,372,910 | 295,032,674 |
Purchased | 17,924,005 | 19,568,122 |
Total loans serviced, excluding loans held for sale | 351,296,915 | 314,600,796 |
Affiliated entities | ||
Mortgage servicing portfolio | ||
Advised entities | 232,914,107 | 233,575,672 |
Affiliated entities | Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Advised entities | $ 232,914,107 | $ 233,575,672 |
Loan Sales and Servicing Acti_5
Loan Sales and Servicing Activities - Geographical Distribution of Loans (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 589,392,888 | $ 551,674,682 |
California | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 70,097,836 | 68,542,279 |
Florida | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 55,873,979 | 50,873,961 |
Texas | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 54,118,039 | 47,911,696 |
Virginia | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 34,798,867 | 33,478,151 |
Maryland | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 26,367,206 | 25,473,417 |
All other states | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 348,136,961 | $ 325,395,178 |
Fair Value - Financial Statemen
Fair Value - Financial Statement Items Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Assets: | ||
Short-term investment at fair value | $ 5,553 | $ 12,194 |
Loans held for sale | 5,186,656 | 3,509,300 |
Derivative assets: | ||
Derivative asset, before netting | 208,513 | 157,995 |
Netting | (105,147) | (58,992) |
Total derivative assets | 103,366 | 99,003 |
Investment in PennyMac Mortgage Investment Trust | 930 | 929 |
Derivative liabilities: | ||
Derivative liability, before netting | 87,203 | 83,246 |
Netting | (46,003) | (61,534) |
Net amounts of liabilities presented in the consolidated balance sheet | 41,200 | 21,712 |
Mortgage servicing liabilities | 1,818 | 2,096 |
Interest rate lock commitments | ||
Derivative assets: | ||
Total derivative assets | 42,385 | 36,728 |
Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 7,227 | 2,433 |
Derivative liabilities: | ||
Derivative liability, before netting | 41,538 | 48,670 |
Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 115,778 | 80,754 |
Derivative liabilities: | ||
Derivative liability, before netting | 14,808 | 20,684 |
MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 4,408 | 6,057 |
Derivative liabilities: | ||
Derivative liability, before netting | 4,301 | |
Call options on Eurodollar futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 2,324 | 2,820 |
Put options on Eurodollar futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 36,391 | 29,203 |
Put options on Eurodollar futures | Sales | ||
Derivative liabilities: | ||
Derivative liability, before netting | 4,945 | 3,008 |
Level 3 | ||
Assets: | ||
Loans held for sale | 399,184 | 345,772 |
Recurring basis | ||
Assets: | ||
Short-term investment at fair value | 5,553 | 12,194 |
Loans held for sale | 5,186,656 | 3,509,300 |
Derivative assets: | ||
Derivative asset, before netting | 208,513 | 157,995 |
Netting | (105,147) | (58,992) |
Total derivative assets | 103,366 | 99,003 |
Mortgage servicing rights at fair value | 7,084,356 | 5,953,621 |
Total assets | 12,380,861 | 9,575,047 |
Derivative liabilities: | ||
Derivative liability, before netting | 87,203 | 83,246 |
Netting | (46,003) | (61,534) |
Net amounts of liabilities presented in the consolidated balance sheet | 41,200 | 21,712 |
Mortgage servicing liabilities | 1,818 | 2,096 |
Total liabilities | 43,018 | 23,808 |
Recurring basis | Related Party | PennyMac Mortgage Investment Trust | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 930 | 929 |
Recurring basis | Interest rate lock commitments | ||
Derivative assets: | ||
Derivative asset, before netting | 42,385 | 36,728 |
Derivative liabilities: | ||
Derivative liability, before netting | 21,611 | 10,884 |
Recurring basis | Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 7,227 | 2,433 |
Derivative liabilities: | ||
Derivative liability, before netting | 41,538 | 48,670 |
Recurring basis | Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 115,778 | 80,754 |
Derivative liabilities: | ||
Derivative liability, before netting | 14,808 | 20,684 |
Recurring basis | MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 4,408 | 6,057 |
Derivative liabilities: | ||
Derivative liability, before netting | 4,301 | |
Recurring basis | MBS put options | Sales | ||
Derivative liabilities: | ||
Derivative liability, before netting | 4,945 | |
Recurring basis | Call options on Eurodollar futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 2,324 | 2,820 |
Recurring basis | Put options on Eurodollar futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 36,391 | 29,203 |
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 | 5,553 | 12,194 |
Derivative assets: | ||
Derivative asset, before netting | 38,715 | 32,023 |
Total derivative assets | 38,715 | 32,023 |
Total assets | 45,198 | 45,146 |
Derivative liabilities: | ||
Derivative liability, before netting | 4,945 | 3,008 |
Net amounts of liabilities presented in the consolidated balance sheet | 4,945 | 3,008 |
Total liabilities | 4,945 | 3,008 |
Recurring basis | Level 1 | Related Party | PennyMac Mortgage Investment Trust | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 930 | 929 |
Recurring basis | Level 1 | MBS put options | Sales | ||
Derivative liabilities: | ||
Derivative liability, before netting | 4,945 | |
Recurring basis | Level 1 | Call options on Eurodollar futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 2,324 | 2,820 |
Recurring basis | Level 1 | Put options on Eurodollar futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 36,391 | 29,203 |
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 | 4,787,472 | 3,163,528 |
Derivative assets: | ||
Derivative asset, before netting | 127,413 | 89,244 |
Total derivative assets | 127,413 | 89,244 |
Total assets | 4,914,885 | 3,252,772 |
Derivative liabilities: | ||
Derivative liability, before netting | 60,647 | 69,354 |
Net amounts of liabilities presented in the consolidated balance sheet | 60,647 | 69,354 |
Total liabilities | 60,647 | 69,354 |
Recurring basis | Level 2 | Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 7,227 | 2,433 |
Derivative liabilities: | ||
Derivative liability, before netting | 41,538 | 48,670 |
Recurring basis | Level 2 | Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 115,778 | 80,754 |
Derivative liabilities: | ||
Derivative liability, before netting | 14,808 | 20,684 |
Recurring basis | Level 2 | MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 4,408 | 6,057 |
Derivative liabilities: | ||
Derivative liability, before netting | 4,301 | |
Recurring basis | Level 3 | ||
Assets: | ||
Loans held for sale | 399,184 | 345,772 |
Derivative assets: | ||
Derivative asset, before netting | 42,385 | 36,728 |
Total derivative assets | 42,385 | 36,728 |
Mortgage servicing rights at fair value | 7,084,356 | 5,953,621 |
Total assets | 7,525,925 | 6,336,121 |
Derivative liabilities: | ||
Derivative liability, before netting | 21,611 | 10,884 |
Net amounts of liabilities presented in the consolidated balance sheet | 21,611 | 10,884 |
Mortgage servicing liabilities | 1,818 | 2,096 |
Total liabilities | 23,429 | 12,980 |
Recurring basis | Level 3 | Interest rate lock commitments | ||
Derivative assets: | ||
Derivative asset, before netting | 42,385 | 36,728 |
Derivative liabilities: | ||
Derivative liability, before netting | $ 21,611 | $ 10,884 |
Fair Value - Level 3 Input Roll
Fair Value - Level 3 Input Roll Forward, Recurring Basis (Details) - Recurring basis - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | $ 6,933,979 | $ 5,785,871 | $ 6,325,237 | $ 5,329,147 |
Purchases and issuances, net | 728,013 | 303,342 | 1,910,535 | 3,344,357 |
Capitalization of interest and advances | 10,770 | 6,361 | 31,608 | 54,080 |
Sales and repayments | (202,965) | (71,078) | (472,344) | (1,335,966) |
Mortgage servicing rights resulting from loan sales | 450,936 | 345,077 | 1,299,992 | 1,359,632 |
Changes in fair value included in income arising from: | ||||
Changes in instrument specific credit risk | 15,520 | (9,217) | 36,014 | (39,427) |
Other factors | 186,982 | (37,348) | (54,294) | (300,615) |
Total changes in fair value included in income | 202,502 | (46,565) | (18,280) | (340,042) |
Transfers from Level 3 to Level 2 | (496,019) | (340,903) | (1,272,912) | (2,430,869) |
Transfers to real estate acquired in settlement of loans | (144) | (450) | (386) | |
Transfers to loans held for sale | (24,692) | (32,000) | (201,006) | (29,848) |
Exchange of mortgage servicing spread for interest only stripped securities | (98,066) | (98,066) | ||
Balance at the end of the period | 7,504,314 | 5,950,105 | 7,504,314 | 5,950,105 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | 248,267 | 22,919 | (39,647) | 332,032 |
Excess servicing spread financing | ||||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | 1,940 | |||
Changes in fair value included in income | (122) | |||
Balance at the end of the period | 1,818 | 1,818 | ||
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (122) | |||
Mortgage servicing liabilities | ||||
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | 2,337 | 2,096 | 2,816 | |
Changes in fair value included in income | (123) | (278) | (602) | |
Balance at the end of the period | 1,818 | 2,214 | 1,818 | 2,214 |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period | (123) | (278) | (602) | |
Mortgage loans held for sale | ||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | 392,758 | 503,553 | 345,772 | 1,128,876 |
Purchases and issuances, net | 681,022 | 260,721 | 1,733,158 | 2,994,447 |
Capitalization of interest and advances | 10,770 | 6,361 | 31,608 | 54,080 |
Sales and repayments | (202,892) | (71,078) | (472,039) | (1,335,966) |
Changes in fair value included in income arising from: | ||||
Changes in instrument specific credit risk | 15,520 | (9,217) | 36,014 | (39,427) |
Other factors | (1,831) | (4,801) | (1,967) | (26,119) |
Total changes in fair value included in income | 13,689 | (14,018) | 34,047 | (65,546) |
Transfers from Level 3 to Level 2 | (496,019) | (340,903) | (1,272,912) | (2,430,869) |
Transfers to real estate acquired in settlement of loans | (144) | (450) | (386) | |
Balance at the end of the period | 399,184 | 344,636 | 399,184 | 344,636 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | 6,519 | (16,166) | 10,465 | (31,587) |
Interest rate lock commitments | ||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | 30,636 | 65,151 | 25,844 | 322,193 |
Purchases and issuances, net | 46,991 | 38,481 | 177,377 | 345,770 |
Changes in fair value included in income arising from: | ||||
Other factors | (32,161) | (127,835) | 18,559 | (694,318) |
Total changes in fair value included in income | (32,161) | (127,835) | 18,559 | (694,318) |
Transfers to loans held for sale | (24,692) | (32,000) | (201,006) | (29,848) |
Balance at the end of the period | 20,774 | (56,203) | 20,774 | (56,203) |
Changes in fair value recognized during the period relating to assets still held at the end of the period | 20,774 | (56,203) | 20,774 | (56,203) |
Mortgage servicing rights | ||||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||||
Balance at the beginning of the period | 6,510,585 | 5,217,167 | 5,953,621 | 3,878,078 |
Purchases and issuances, net | 4,140 | 4,140 | ||
Sales and repayments | (73) | (305) | ||
Mortgage servicing rights resulting from loan sales | 450,936 | 345,077 | 1,299,992 | 1,359,632 |
Changes in fair value included in income arising from: | ||||
Other factors | 220,974 | 95,288 | (70,886) | 419,822 |
Total changes in fair value included in income | 220,974 | 95,288 | (70,886) | 419,822 |
Exchange of mortgage servicing spread for interest only stripped securities | (98,066) | (98,066) | ||
Balance at the end of the period | 7,084,356 | 5,661,672 | 7,084,356 | 5,661,672 |
Changes in fair value recognized during the period relating to assets still held at the end of the period | $ 220,974 | $ 95,288 | $ (70,886) | $ 419,822 |
Fair Value - Changes in Fair Va
Fair Value - Changes in Fair Value, Fair Value Option, Recurring Basis (Details) - Recurring basis - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
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 | $ 122 | $ 123 | $ 278 | $ 602 |
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 | 122 | 123 | 278 | 602 |
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 | 221,736 | 25,930 | 116,576 | 146,121 |
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 | 762 | (69,358) | 187,462 | (273,701) |
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 | 220,974 | 95,288 | (70,886) | 419,822 |
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 | 762 | (69,358) | 187,462 | (273,701) |
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 | 762 | (69,358) | 187,462 | (273,701) |
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 | 220,974 | 95,288 | (70,886) | 419,822 |
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 | $ 220,974 | $ 95,288 | $ (70,886) | $ 419,822 |
Fair Value - Fair Value Option
Fair Value - Fair Value Option Maturities, Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Fair value | ||
Total fair value | $ 5,186,656 | $ 3,509,300 |
Recurring basis | ||
Fair value | ||
Total fair value | 5,186,656 | 3,509,300 |
Mortgage loans held for sale | Recurring basis | ||
Fair value | ||
Current through 89 days delinquent | 5,142,606 | 3,450,578 |
Not in foreclosure | 38,422 | 47,252 |
In foreclosure | 5,628 | 11,470 |
Total fair value | 5,186,656 | 3,509,300 |
Principal amount due upon maturity | ||
Current through 89 days delinquent | 5,118,234 | 3,428,052 |
Not in foreclosure | 44,694 | 53,351 |
In foreclosure | 18,938 | 16,811 |
Total principal amount due upon maturity | 5,181,866 | 3,498,214 |
Difference | ||
Current through 89 days delinquent | 24,372 | 22,526 |
Not in foreclosure | (6,272) | (6,099) |
In foreclosure | (13,310) | (5,341) |
Total difference | $ 4,790 | $ 11,086 |
Fair Value - Measurement Basis,
Fair Value - Measurement Basis, Nonrecurring (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | Dec. 31, 2022 | |
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Notes payable secured by mortgage servicing assets | $ 2,673,402 | $ 2,673,402 | $ 1,942,646 | ||
Unsecured Senior Notes | 1,782,689 | 1,782,689 | 1,779,920 | ||
Term Notes and Term Loans | |||||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Notes payable secured by mortgage servicing assets | 2,474,515 | 2,474,515 | 1,794,475 | ||
Unsecured senior notes. | |||||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Unsecured Senior Notes | 1,782,689 | 1,782,689 | 1,779,920 | ||
Nonrecurring basis | |||||
Financial statement items measured at fair value on a nonrecurring basis | |||||
Real estate acquired in settlement of loans | 3,178 | 3,178 | 1,850 | ||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Real estate acquired in settlement of loans | (494) | $ (131) | (791) | $ (838) | |
Nonrecurring basis | Level 3 | |||||
Financial statement items measured at fair value on a nonrecurring basis | |||||
Real estate acquired in settlement of loans | 3,178 | 3,178 | 1,850 | ||
Total | Term Notes and Term Loans | |||||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Notes payable secured by mortgage servicing assets | 2,479,425 | 2,479,425 | 1,677,476 | ||
Total | Unsecured senior notes. | |||||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||||
Unsecured Senior Notes | $ 1,553,962 | $ 1,553,962 | $ 1,550,750 |
Fair Value - Level 3 Unobservab
Fair Value - Level 3 Unobservable Inputs, Mortgage Loans and IRLC (Details) $ in Thousands | Sep. 30, 2023 USD ($) item | Dec. 31, 2022 USD ($) item |
Excess servicing spread financing | ||
Loans held for sale | $ | $ 5,186,656 | $ 3,509,300 |
Level 3 | ||
Excess servicing spread financing | ||
Loans held for sale | $ | $ 399,184 | $ 345,772 |
Mortgage loans held for sale | Discount rate | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 7.9 | 5.5 |
Mortgage loans held for sale | Discount rate | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 10.2 | 10.2 |
Mortgage loans held for sale | Discount rate | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 7.9 | 5.7 |
Mortgage loans held for sale | Twelve-month projected housing price index Change | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 0.2 | (1.9) |
Mortgage loans held for sale | Twelve-month projected housing price index Change | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 0.3 | (1.7) |
Mortgage loans held for sale | Twelve-month projected housing price index Change | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 0.2 | (1.8) |
Mortgage loans held for sale | Prepayment/resale speed | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 4 | 4.7 |
Mortgage loans held for sale | Prepayment/resale speed | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 43 | 25.6 |
Mortgage loans held for sale | Prepayment/resale speed | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 28 | 21.6 |
Mortgage loans held for sale | Total prepayment speed | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 4.1 | 4.8 |
Mortgage loans held for sale | Total prepayment speed | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 55.4 | 36.1 |
Mortgage loans held for sale | Total prepayment speed | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 35.2 | 29.4 |
Interest rate lock commitments | Level 3 | ||
Excess servicing spread financing | ||
Fair Value | $ | $ 20,774 | $ 25,844 |
Committed amount | $ | $ 7,527,726 | $ 7,009,119 |
Interest rate lock commitments | Pull-through rate | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 14.7 | 10.3 |
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 | 86.9 | 82.8 |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 1.1 | (1.3) |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 8.2 | 7.7 |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 5 | 4.3 |
Interest rate lock commitments | Percentage of unpaid principal balance | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 0.3 | (0.2) |
Interest rate lock commitments | Percentage of unpaid principal balance | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 4.5 | 3.8 |
Interest rate lock commitments | Percentage of unpaid principal balance | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 2.1 | 2 |
Fair Value - Level 3 Unobserv_2
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Rights - Initial Recognition (Details) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2023 USD ($) item | Sep. 30, 2022 USD ($) item | Sep. 30, 2023 USD ($) item | Sep. 30, 2022 USD ($) item | Dec. 31, 2022 USD ($) item | |
Mortgage servicing rights | |||||
Inputs | |||||
Amount recognized | $ | $ 450,936,000 | $ 345,077,000 | $ 1,299,992,000 | $ 1,359,632,000 | |
Total | Mortgage servicing rights | Level 3 | Minimum | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | 68 | $ 68 | |||
Total | Mortgage servicing rights | Level 3 | Maximum | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | 135 | 144 | |||
Total | Mortgage servicing rights | Level 3 | Weighted average | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | $ 107 | $ 109 | |||
Total | Mortgage servicing rights | Pricing spread | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 5.6 | 5.6 | 4.9 | ||
Total | Mortgage servicing rights | Pricing spread | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 12.6 | 12.6 | 14.3 | ||
Total | Mortgage servicing rights | Pricing spread | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 6.5 | 6.5 | 6.5 | ||
Total | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 5.4 | 5.4 | 5 | ||
Total | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 16.4 | 16.4 | 17.7 | ||
Total | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 6.7 | 6.7 | 7.5 | ||
Total | Mortgage servicing rights | Life | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 3.2 | 3.2 | 3.7 | ||
Total | Mortgage servicing rights | Life | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 9.4 | 9.4 | 9.3 | ||
Total | Mortgage servicing rights | Life | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 8.8 | 8.8 | 8.4 | ||
Total | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | |||||
Inputs | |||||
Amount recognized | $ | $ 450,936,000 | 345,077,000 | $ 1,299,992,000 | 1,359,632,000 | |
Unpaid principal balance of underlying loans | $ | $ 21,861,437,000 | $ 16,003,556,000 | $ 60,549,919,000 | $ 65,956,748,000 | |
Weighted-average servicing fee rate (as a percent) | 0.42% | 0.49% | 0.47% | 0.44% | |
Total | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Minimum | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | $ 68 | $ 79 | $ 68 | $ 79 | |
Total | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Maximum | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | 127 | 116 | 127 | 177 | |
Total | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Weighted average | |||||
Inputs: | |||||
Annual per-loan cost of servicing | $ | $ 97 | $ 105 | $ 99 | $ 104 | |
Total | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 5.5 | 5.5 | 5.5 | 5.5 | |
Total | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 12.6 | 11.4 | 12.6 | 16.1 | |
Total | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 6.1 | 8.1 | 7 | 7.8 | |
Total | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 7.5 | 6.8 | 7.5 | 5.7 | |
Total | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 20.4 | 19.1 | 23.2 | 23.4 | |
Total | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 10.3 | 11.1 | 10.9 | 9 | |
Total | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Minimum | |||||
Inputs: | |||||
Input | 3.6 | 4 | 3 | 3.7 | |
Total | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Maximum | |||||
Inputs: | |||||
Input | 9.4 | 8.1 | 9.4 | 9.2 | |
Total | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Weighted average | |||||
Inputs: | |||||
Input | 7.7 | 7.4 | 7.6 | 8.1 |
Fair Value - Level 3 Unobserv_3
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Rights, Effect of Change In Inputs on Fair Value (Details) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2023 USD ($) item | Dec. 31, 2022 USD ($) item | |
MSR and pool characteristics | ||
Carrying value | $ 7,084,356,000 | $ 5,953,621,000 |
Mortgage servicing liabilities | Level 3 | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 1,040 | 1,177 |
Total | Mortgage servicing rights | Level 3 | ||
MSR and pool characteristics | ||
Carrying value | 7,084,356,000 | 5,953,621,000 |
Unpaid principal balance of underlying loans | $ 351,269,905,000 | $ 314,567,639,000 |
Weighted-average note interest rate (as a percent) | 3.90% | 3.40% |
Weighted-average servicing fee rate (as a percent) | 0.38% | 0.36% |
Pricing spread | ||
Effect on fair value of 5% adverse change | $ (96,272,000) | $ (81,021,000) |
Effect on fair value of 10% adverse change | (189,990,000) | (159,863,000) |
Effect on fair value of 20% adverse change | (370,130,000) | (311,329,000) |
Prepayment speed | ||
Effect on fair value of 5% adverse change | (89,373,000) | (77,346,000) |
Effect on fair value of 10% adverse change | (176,093,000) | (152,192,000) |
Effect on fair value of 20% adverse change | (342,038,000) | (294,872,000) |
Annual per-loan cost of servicing | ||
Effect on fair value of 5% adverse change | (43,810,000) | (41,263,000) |
Effect on fair value of 10% adverse change | (87,619,000) | (82,527,000) |
Effect on fair value of 20% adverse change | (175,238,000) | (165,053,000) |
Total | Mortgage servicing rights | Level 3 | Minimum | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 68 | 68 |
Total | Mortgage servicing rights | Level 3 | Maximum | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 135 | 144 |
Total | Mortgage servicing rights | Level 3 | Weighted average | ||
Prepayment speed | ||
Annual per-loan cost of servicing | $ 107 | $ 109 |
Total | Mortgage servicing rights | Pricing spread | Level 3 | Minimum | ||
Inputs | ||
Input | item | 5.6 | 4.9 |
Total | Mortgage servicing rights | Pricing spread | Level 3 | Maximum | ||
Inputs | ||
Input | item | 12.6 | 14.3 |
Total | Mortgage servicing rights | Pricing spread | Level 3 | Weighted average | ||
Inputs | ||
Input | item | 6.5 | 6.5 |
Total | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Minimum | ||
Inputs | ||
Input | item | 5.4 | 5 |
Total | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Maximum | ||
Inputs | ||
Input | item | 16.4 | 17.7 |
Total | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Weighted average | ||
Inputs | ||
Input | item | 6.7 | 7.5 |
Total | Mortgage servicing rights | Life | Level 3 | Minimum | ||
Inputs | ||
Input | item | 3.2 | 3.7 |
Total | Mortgage servicing rights | Life | Level 3 | Maximum | ||
Inputs | ||
Input | item | 9.4 | 9.3 |
Total | Mortgage servicing rights | Life | Level 3 | Weighted average | ||
Inputs | ||
Input | item | 8.8 | 8.4 |
Fair Value - Level 3 Unobserv_4
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Liabilities (Details) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2023 USD ($) item | Dec. 31, 2022 USD ($) 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 | $ 1,818,000 | $ 2,096,000 |
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 | 1,818,000 | 2,096,000 |
Unpaid principal balance of underlying loans | $ 27,010,000 | $ 33,157,000 |
Servicing fee rate (as a percent) | 0.25% | 0.25% |
Annual per-loan cost of servicing | $ 1,040 | $ 1,177 |
Mortgage servicing liabilities | Pricing spread | Level 3 | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption | ||
Input | item | 8.4 | 7.8 |
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 | 15.9 | 17.2 |
Mortgage servicing liabilities | Life | Level 3 | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption | ||
Input | item | 5.2 | 4.9 |
Loans Held for Sale at Fair V_3
Loans Held for Sale at Fair Value (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | $ 5,186,656 | $ 3,509,300 |
Government-insured or guaranteed | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 2,589,859 | 2,006,157 |
Conventional mortgage loans | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 2,181,524 | 1,145,053 |
Jumbo Loan | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 16,089 | 12,318 |
Closed-end second lien mortgage loans | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 217,251 | 46,589 |
Mortgage loans purchased from Ginnie Mae pools serviced by the entity | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 170,347 | 257,175 |
Mortgage loans repurchased pursuant to representations and warranties | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 11,586 | 42,008 |
Asset Pledged as Collateral without Right | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 5,026,818 | 3,442,847 |
Asset Pledged as Collateral without Right | Loan Repo Facility | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 4,500,588 | 3,139,870 |
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 | $ 526,230 | $ 302,977 |
Derivative Financial Instrume_3
Derivative Financial Instruments - Other Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | Dec. 31, 2022 | |
Derivative assets: | |||||
Derivative asset, before netting | $ 208,513 | $ 208,513 | $ 157,995 | ||
Netting | (105,147) | (105,147) | (58,992) | ||
Total derivative assets | 103,366 | 103,366 | 99,003 | ||
Derivative liabilities: | |||||
Derivative liability, before netting | 87,203 | 87,203 | 83,246 | ||
Netting | (46,003) | (46,003) | (61,534) | ||
Net amounts of liabilities presented in the consolidated balance sheet | 41,200 | 41,200 | 21,712 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Gains (losses) recognized on derivative financial instruments | (423,656) | $ (164,749) | (531,565) | $ (558,614) | |
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 | 162,006 | 363,272 | 217,968 | 1,360,341 | |
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 | (423,656) | (164,749) | (531,565) | (558,614) | |
Margin Deposits | |||||
Derivative assets: | |||||
Collateral placed with (received from) derivative counterparties | (59,144) | (59,144) | 2,542 | ||
Interest rate lock commitments | |||||
Derivative assets: | |||||
Total derivative assets | 42,385 | 42,385 | 36,728 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Gains (losses) recognized on derivative financial instruments | (9,862) | $ (121,353) | (5,069) | $ (378,396) | |
Forward contracts | Purchases | |||||
Derivative Instruments | |||||
Notional amount | 10,768,362 | 10,768,362 | 8,320,849 | ||
Derivative assets: | |||||
Derivative asset, before netting | 7,227 | 7,227 | 2,433 | ||
Derivative liabilities: | |||||
Derivative liability, before netting | 41,538 | 41,538 | 48,670 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 8,320,849 | ||||
Balance at end of period | 10,768,362 | 10,768,362 | |||
Forward contracts | Sales | |||||
Derivative Instruments | |||||
Notional amount | 16,995,313 | 16,995,313 | 12,487,760 | ||
Derivative assets: | |||||
Derivative asset, before netting | 115,778 | 115,778 | 80,754 | ||
Derivative liabilities: | |||||
Derivative liability, before netting | 14,808 | 14,808 | 20,684 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 12,487,760 | ||||
Balance at end of period | 16,995,313 | 16,995,313 | |||
MBS put options | |||||
Derivative Instruments | |||||
Notional amount | 400,000 | 400,000 | 1,750,000 | ||
Derivative assets: | |||||
Derivative asset, before netting | 4,408 | 4,408 | 6,057 | ||
Derivative liabilities: | |||||
Derivative liability, before netting | 4,301 | 4,301 | |||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 1,750,000 | ||||
Balance at end of period | 400,000 | 400,000 | |||
Put options on Eurodollar futures | Purchases | |||||
Derivative Instruments | |||||
Notional amount | 3,775,000 | 3,775,000 | 6,800,000 | ||
Derivative assets: | |||||
Derivative asset, before netting | 36,391 | 36,391 | 29,203 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 6,800,000 | ||||
Balance at end of period | 3,775,000 | 3,775,000 | |||
Put options on Eurodollar futures | Sales | |||||
Derivative Instruments | |||||
Notional amount | 325,000 | 325,000 | 250,000 | ||
Derivative liabilities: | |||||
Derivative liability, before netting | 4,945 | 4,945 | 3,008 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 250,000 | ||||
Balance at end of period | 325,000 | 325,000 | |||
Call options on Eurodollar futures | Purchases | |||||
Derivative Instruments | |||||
Notional amount | 2,125,000 | 2,125,000 | 1,350,000 | ||
Derivative assets: | |||||
Derivative asset, before netting | 2,324 | 2,324 | 2,820 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 1,350,000 | ||||
Balance at end of period | 2,125,000 | 2,125,000 | |||
Treasury future | Purchases | |||||
Derivative Instruments | |||||
Notional amount | 3,559,500 | 3,559,500 | 3,709,200 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 3,709,200 | ||||
Balance at end of period | 3,559,500 | 3,559,500 | |||
Treasury future | Sales | |||||
Derivative Instruments | |||||
Notional amount | 7,036,000 | 7,036,000 | 3,456,900 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 3,456,900 | ||||
Balance at end of period | 7,036,000 | 7,036,000 | |||
Not designated as hedging instrument | Interest rate lock commitments | |||||
Derivative Instruments | |||||
Notional amount | 7,527,726 | 7,527,726 | 7,009,119 | ||
Derivative assets: | |||||
Derivative asset, before netting | 42,385 | 42,385 | 36,728 | ||
Derivative liabilities: | |||||
Derivative liability, before netting | 21,611 | 21,611 | $ 10,884 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||||
Balance at beginning of period | 7,009,119 | ||||
Balance at end of period | $ 7,527,726 | $ 7,527,726 |
Derivative Financial Instrume_4
Derivative Financial Instruments - Offsetting of Derivative Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Derivatives subject to master netting arrangements: | ||
Gross amounts offset in the consolidated balance sheet | $ (105,147) | $ (58,992) |
Total | ||
Gross amounts of recognized assets | 208,513 | 157,995 |
Net amounts of assets presented in the balance sheet | 103,366 | 99,003 |
Interest rate lock commitments | ||
Total | ||
Net amounts of assets presented in the balance sheet | 42,385 | 36,728 |
MBS put options | ||
Total | ||
Gross amounts of recognized assets | 4,408 | 6,057 |
Forward contracts | Purchases | ||
Total | ||
Gross amounts of recognized assets | 7,227 | 2,433 |
Forward contracts | Sales | ||
Total | ||
Gross amounts of recognized assets | 115,778 | 80,754 |
Put options on Eurodollar futures | Purchases | ||
Total | ||
Gross amounts of recognized assets | 36,391 | 29,203 |
Call options on Eurodollar futures | Purchases | ||
Total | ||
Gross amounts of recognized assets | $ 2,324 | $ 2,820 |
Derivative Financial Instrume_5
Derivative Financial Instruments - Offsetting of Derivative Assets - Derivative Assets, Financial Assets, and Collateral Held by Counterparty (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Total | ||
Net amounts of assets presented in the balance sheet | $ 103,366 | $ 99,003 |
Net amount | 103,366 | 99,003 |
RJ O'Brien | ||
Total | ||
Net amounts of assets presented in the balance sheet | 33,770 | 29,016 |
Net amount | 33,770 | 29,016 |
Morgan Stanley Bank, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 17,820 | 18,501 |
Net amount | 17,820 | 18,501 |
Citibank, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 5,098 | |
Net amount | 5,098 | |
Goldman Sachs | ||
Total | ||
Net amounts of assets presented in the balance sheet | 5,757 | |
Net amount | 5,757 | |
Athene Annuity & Life Assurance Company | ||
Total | ||
Net amounts of assets presented in the balance sheet | 1,449 | |
Net amount | 1,449 | |
Federal National Mortgage Association | ||
Total | ||
Net amounts of assets presented in the balance sheet | 1,338 | |
Net amount | 1,338 | |
Barclays | ||
Total | ||
Net amounts of assets presented in the balance sheet | 1,129 | |
Net amount | 1,129 | |
Bank of America, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 2,170 | 1,519 |
Net amount | 2,170 | 1,519 |
Other | ||
Total | ||
Net amounts of assets presented in the balance sheet | 3,305 | 2,384 |
Net amount | 3,305 | 2,384 |
Interest rate lock commitments | ||
Total | ||
Net amounts of assets presented in the balance sheet | 42,385 | 36,728 |
Net amount | $ 42,385 | $ 36,728 |
Derivative Financial Instrume_6
Derivative Financial Instruments - Offsetting of Derivative Assets - Offsetting of Derivative and Financial Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Derivatives: Subject to master netting arrangements: | ||
Netting | $ (46,003) | $ (61,534) |
Total. | ||
Gross amounts of recognized liabilities | 87,203 | 83,246 |
Net amounts of liabilities presented in the consolidated balance sheet | 41,200 | 21,712 |
Mortgage loans sold under agreements to repurchase | ||
Net amounts of liabilities presented in the consolidated balance sheet | 4,418,297 | |
Debt Issuance Costs | ||
Net amount of liabilities in the consolidated balance sheet | 4,411,747 | 3,001,283 |
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 4,459,497 | 3,026,402 |
Net amount of liabilities in the consolidated balance sheet | 41,200 | 21,712 |
Loan Repo Facility | ||
Mortgage loans sold under agreements to repurchase | ||
Net amounts of liabilities presented in the consolidated balance sheet | 4,418,297 | 3,004,690 |
Debt Issuance Costs | ||
Debt issuance costs | (6,550) | (3,407) |
Net amount of liabilities in the consolidated balance sheet | 4,411,747 | 3,001,283 |
Forward contracts | Purchases | ||
Total. | ||
Gross amounts of recognized liabilities | 41,538 | 48,670 |
Forward contracts | Sales | ||
Total. | ||
Gross amounts of recognized liabilities | 14,808 | 20,684 |
Interest rate lock commitments | ||
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 21,611 | 10,884 |
Net amount of liabilities in the consolidated balance sheet | 21,611 | 10,884 |
MBS put options | ||
Total. | ||
Gross amounts of recognized liabilities | 4,301 | |
Put options on Eurodollar futures | Sales | ||
Total. | ||
Gross amounts of recognized liabilities | $ 4,945 | $ 3,008 |
Derivative Financial Instrume_7
Derivative Financial Instruments - Offsetting of Derivative Assets - Derivative Liabilities, Financial Liabilities, and Collateral Held by Counterparty (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | $ 4,459,497 | $ 3,026,402 |
Financial instruments | (4,418,297) | (3,004,690) |
Net amount of liabilities in the consolidated balance sheet | 41,200 | 21,712 |
Atlas Securitized Products, L.P. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,213,620 | |
Financial instruments | (1,213,620) | |
Credit Suisse First Boston Mortgage Capital LLC | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 970,725 | |
Financial instruments | (968,804) | |
Net amount of liabilities in the consolidated balance sheet | 1,921 | |
JP Morgan | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 426,244 | 211,713 |
Financial instruments | (423,721) | (211,713) |
Net amount of liabilities in the consolidated balance sheet | 2,523 | |
Bank of America, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 912,887 | 567,745 |
Financial instruments | (912,887) | (567,745) |
Barclays | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 280,160 | 80,276 |
Financial instruments | (280,160) | (79,295) |
Net amount of liabilities in the consolidated balance sheet | 981 | |
Citibank, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 248,656 | 94,211 |
Financial instruments | (243,891) | (94,211) |
Net amount of liabilities in the consolidated balance sheet | 4,765 | |
Royal Bank of Canada | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 330,880 | 381,893 |
Financial instruments | (330,880) | (381,893) |
BNP Paribas | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 405,501 | 300,280 |
Financial instruments | (405,498) | (300,280) |
Net amount of liabilities in the consolidated balance sheet | 3 | |
Morgan Stanley Bank, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 120,735 | 114,277 |
Financial instruments | (118,112) | (114,277) |
Net amount of liabilities in the consolidated balance sheet | 2,623 | |
Wells Fargo Bank, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 305,603 | 228,181 |
Financial instruments | (304,986) | (221,986) |
Net amount of liabilities in the consolidated balance sheet | 617 | 6,195 |
Goldman Sachs | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 138,954 | 64,486 |
Financial instruments | (134,542) | (64,486) |
Net amount of liabilities in the consolidated balance sheet | 4,412 | |
Nomura | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 50,165 | |
Financial instruments | (50,000) | |
Net amount of liabilities in the consolidated balance sheet | 165 | |
Bank of Oklahoma | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 2,738 | |
Net amount of liabilities in the consolidated balance sheet | 2,738 | |
Other | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,743 | 1,731 |
Net amount of liabilities in the consolidated balance sheet | 1,743 | 1,731 |
Interest rate lock commitments | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 21,611 | 10,884 |
Net amount of liabilities in the consolidated balance sheet | $ 21,611 | $ 10,884 |
Mortgage Servicing Rights and_3
Mortgage Servicing Rights and Mortgage Servicing Liabilities - Activity in MSRs at Fair Value (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | Dec. 31, 2022 | |
Activity in MSRs carried at fair value | |||||
Additions - Exchange of mortgage servicing spread for interest only stripped securities | $ 98,066 | ||||
Change in fair value due to: | |||||
Total change in fair value | $ (221,096) | $ (95,411) | 70,608 | $ (420,424) | |
Mortgage servicing rights | |||||
Activity in MSRs carried at fair value | |||||
Balance at beginning of period | 6,510,585 | 5,217,167 | 5,953,621 | 3,878,078 | |
Additions - Resulting from loan sales | 450,936 | 345,077 | 1,299,992 | 1,359,632 | |
Additions - Purchases (purchase adjustments) | 4,140 | 4,140 | |||
Additions - Exchange of mortgage servicing spread for interest only stripped securities | (98,066) | (98,066) | |||
Additions | 352,797 | 349,217 | 1,201,621 | 1,363,772 | |
Sales | (73) | (305) | |||
Change in fair value due to: | |||||
Changes in valuation inputs used in valuation model | 398,807 | 237,154 | 427,426 | 794,779 | |
Other changes in fair value | (177,833) | (141,866) | (498,312) | (374,957) | |
Total change in fair value | 220,974 | 95,288 | (70,886) | 419,822 | |
Balance at end of period | 7,084,356 | 5,661,672 | 7,084,356 | 5,661,672 | |
UPB of underlying loan at end of period | 351,269,905 | $ 303,800,226 | 351,269,905 | $ 303,800,226 | |
Asset Pledged as Collateral without Right | Mortgage servicing rights | |||||
Activity in MSRs carried at fair value | |||||
Balance at beginning of period | 5,897,613 | ||||
Change in fair value due to: | |||||
Balance at end of period | $ 7,018,069 | $ 7,018,069 | |||
Assets, Pledging Purpose [Extensible Enumeration] | Notes Payable | Notes Payable | Notes Payable |
Mortgage Servicing Rights and_4
Mortgage Servicing Rights and Mortgage Servicing Liabilities - Mortgage Servicing Liabilities Carried at FV (Details) - Mortgage servicing liabilities - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Amortized cost: | ||||
Balance at beginning of period | $ 1,940 | $ 2,337 | $ 2,096 | $ 2,816 |
Changes in valuation inputs used in valuation model | (64) | (38) | (86) | (305) |
Other changes in fair value | (58) | (85) | (192) | (297) |
Total change in fair value | (122) | (123) | (278) | (602) |
Balance at end of period | 1,818 | 2,214 | 1,818 | 2,214 |
UPB of underlying loan at end of period | $ 27,010 | $ 35,143 | $ 27,010 | $ 35,143 |
Mortgage Servicing Rights and_5
Mortgage Servicing Rights and Mortgage Servicing Liabilities - Servicing, Late, Ancillary and Other Fees Relating to MSRs (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Other fees: | ||||
Loan servicing fees | $ 387,934 | $ 313,080 | $ 1,082,462 | $ 906,688 |
Mortgage servicing rights | ||||
Contractual servicing fees | 328,049 | 270,336 | 925,865 | 774,483 |
Other fees: | ||||
Late charges | 14,486 | 10,533 | 39,984 | 30,177 |
Other | 2,708 | 2,952 | 7,664 | 11,487 |
Loan servicing fees | $ 345,243 | $ 283,821 | $ 973,513 | $ 816,147 |
Leases (Details)
Leases (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | Dec. 31, 2022 | |
Leases | |||||
Operating lease option to extend | true | ||||
Lease expenses: | |||||
Operating leases | $ 4,862 | $ 5,046 | $ 14,665 | $ 15,008 | |
Short-term leases | 114 | 235 | 351 | 695 | |
Sublease income | (315) | (584) | |||
Net lease expense included in Occupancy and equipment | 4,661 | 5,281 | 14,432 | 15,703 | |
Payments for operating leases | 7,617 | 5,544 | 19,217 | 15,801 | |
Operating lease right-of-use assets recognized | $ 1,166 | $ 571 | $ 2,893 | $ 1,364 | |
Remaining lease term (in year) | 4 years 4 months 24 days | 4 years 10 months 24 days | 4 years 4 months 24 days | 4 years 10 months 24 days | |
Discount rate (as a percent) | 3.80% | 3.80% | 3.80% | 3.80% | |
Operating lease liabilities | |||||
2024 | $ 21,926 | $ 21,926 | |||
2025 | 19,376 | 19,376 | |||
2026 | 16,037 | 16,037 | |||
2027 | 9,246 | 9,246 | |||
2028 | 5,123 | 5,123 | |||
Thereafter | 8,320 | 8,320 | |||
Total lease payments | 80,028 | 80,028 | |||
Less imputed interest | (9,818) | (9,818) | |||
Operating lease liability | $ 70,210 | $ 70,210 | $ 85,550 | ||
Minimum | |||||
Leases | |||||
Remaining operating lease term | 1 year | 1 year | |||
Maximum | |||||
Leases | |||||
Remaining operating lease term | 8 years | 8 years | |||
Operating lease renewal term | 5 years | 5 years |
Other Assets - Other (Details)
Other Assets - Other (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Carrying value: | ||
Capitalized software, net | $ 153,501 | $ 157,460 |
Margin deposits | 64,242 | 55,968 |
Servicing fee receivables, net | 34,654 | 31,356 |
Other servicing receivables | 30,572 | 24,854 |
Prepaid expenses | 36,165 | 38,780 |
Interest receivable | 39,784 | 24,110 |
Furniture, fixtures, equipment and building improvements, net | 20,760 | 28,382 |
Deposits securing Assets sold under agreements to repurchase and Notes payable secured by mortgage servicing assets | 30,021 | 12,277 |
Real estate acquired in settlement of loans | 13,850 | 11,497 |
Other | 41,473 | 33,223 |
Other assets | 465,022 | 417,907 |
Asset Pledged as Collateral without Right | ||
Carrying value: | ||
Other assets | 30,021 | 12,277 |
Asset Pledged as Collateral without Right | Deposits. | ||
Carrying value: | ||
Other assets | $ 30,021 | $ 12,277 |
Short-Term Debt - Assets Sold U
Short-Term Debt - Assets Sold Under Agreement to Repurchase (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | Dec. 31, 2022 | |
Carrying value: | |||||
Net amounts of liabilities presented in the consolidated balance sheet | $ 4,418,297,000 | $ 4,418,297,000 | |||
Total loans sold under agreements to repurchase | 4,411,747,000 | 4,411,747,000 | $ 3,001,283,000 | ||
Loans held for sale | 5,186,656,000 | 5,186,656,000 | 3,509,300,000 | ||
Servicing advances, net | 399,281,000 | 399,281,000 | 696,753,000 | ||
Mortgage servicing rights, at fair value | 7,084,356,000 | 7,084,356,000 | 5,953,621,000 | ||
Other Assets | 465,022,000 | 465,022,000 | 417,907,000 | ||
Note Payable | |||||
During the period: | |||||
Average balance of assets sold under agreements to repurchase | 2,484,348,000 | $ 1,800,000,000 | 2,353,572,000 | $ 1,510,623,000 | |
Carrying value: | |||||
Amortization of debt issuance costs | 689,000 | 726,000 | 2,400,000 | 1,700,000 | |
Loan Repo Facility | |||||
During the period: | |||||
Average balance of assets sold under agreements to repurchase | $ 3,208,434,000 | $ 1,949,452,000 | $ 3,800,502,000 | $ 2,622,581,000 | |
Weighted-average interest rate (as a percent) | 7.19% | 4.34% | 7.01% | 2.90% | |
Total interest expense | $ 62,758,000 | $ 24,329,000 | $ 209,461,000 | $ 67,048,000 | |
Maximum daily amount outstanding | 4,418,359,000 | 3,490,082,000 | 6,358,007,000 | 7,289,147,000 | |
Carrying value: | |||||
Net amounts of liabilities presented in the consolidated balance sheet | 4,418,297,000 | 4,418,297,000 | 3,004,690,000 | ||
Unamortized debt issuance costs | (6,550,000) | (6,550,000) | (3,407,000) | ||
Total loans sold under agreements to repurchase | $ 4,411,747,000 | $ 4,411,747,000 | $ 3,001,283,000 | ||
Weighted average interest rate (as a percent) | 6.94% | 6.94% | 6% | ||
Available borrowing capacity committed | $ 771,567,000 | $ 771,567,000 | $ 1,078,927,000 | ||
Available borrowing capacity uncommitted | 5,235,136,000 | 5,235,136,000 | 5,391,383,000 | ||
Available borrowing capacity | 6,006,703,000 | 6,006,703,000 | 6,470,310,000 | ||
Amortization of debt issuance costs | 4,600,000 | $ 3,000,000 | 10,100,000 | $ 10,100,000 | |
Asset Pledged as Collateral without Right | |||||
Carrying value: | |||||
Loans held for sale | 5,026,818,000 | 5,026,818,000 | 3,442,847,000 | ||
Servicing advances, net | 268,987,000 | 268,987,000 | 381,379,000 | ||
Mortgage servicing rights, at fair value | 7,018,069,000 | 7,018,069,000 | 5,897,613,000 | ||
Other Assets | $ 30,021,000 | $ 30,021,000 | $ 12,277,000 | ||
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 | Note Payable | Mortgage servicing rights | |||||
Carrying value: | |||||
Mortgage servicing rights, at fair value | $ 7,018,069,000 | $ 7,018,069,000 | $ 5,897,613,000 | ||
Asset Pledged as Collateral without Right | Note Payable | Servicing advances | |||||
Carrying value: | |||||
Servicing advances, net | 268,987,000 | 268,987,000 | 381,379,000 | ||
Asset Pledged as Collateral without Right | Loan Repo Facility | Mortgage servicing rights | |||||
Carrying value: | |||||
Mortgage servicing rights, at fair value | 6,293,514,000 | 6,293,514,000 | 5,339,513,000 | ||
Asset Pledged as Collateral without Right | Loan Repo Facility | Servicing advances | |||||
Carrying value: | |||||
Servicing advances, net | 268,987,000 | 268,987,000 | 381,379,000 | ||
Asset Pledged as Collateral without Right | Mortgage loans held for sale | Loan Repo Facility | Loans held for sale | |||||
Carrying value: | |||||
Loans held for sale | 4,500,588,000 | 4,500,588,000 | 3,139,870,000 | ||
Asset Pledged as Collateral without Right | Deposits. | |||||
Carrying value: | |||||
Other Assets | 30,021,000 | 30,021,000 | 12,277,000 | ||
Asset Pledged as Collateral without Right | Deposits. | Note Payable | Deposits | |||||
Carrying value: | |||||
Other Assets | 22,236,000 | 22,236,000 | 12,277,000 | ||
Asset Pledged as Collateral without Right | Deposits. | Loan Repo Facility | Deposits | |||||
Carrying value: | |||||
Other Assets | $ 30,021,000 | $ 30,021,000 | $ 12,277,000 |
Short-Term Debt - Maturities of
Short-Term Debt - Maturities of Outstanding Advances Under Repurchase Agreements (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2023 USD ($) | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 4,418,297 |
Weighted-average maturity (in months) | 3 months 18 days |
Within 30 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 700,101 |
Over 30 to 90 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | 3,248,232 |
Over 90 to 180 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | 57,266 |
Over one year to two year | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 412,698 |
Short-Term Debt - Mortgage Loan
Short-Term Debt - Mortgage Loans Sold Under Agreement to Repurchase by Counterparty (Details) - Loan Repo Facility $ in Thousands | Sep. 30, 2023 USD ($) |
Atlas Securitized Products L.P. & Citibank, N.A. & Goldman Sachs Bank USA | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 3,223,281 |
Bank of America, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 60,451 |
JP Morgan Chase Bank | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 4,056 |
JP Morgan | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 29,343 |
BNP Paribas | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 16,378 |
Atlas Securitized Products, L.P. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 89,951 |
Barclays | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 34,571 |
Goldman Sachs | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 12,769 |
Citibank, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 8,819 |
Morgan Stanley Bank, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 5,368 |
Royal Bank of Canada | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 12,753 |
Wells Fargo Bank, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 6,740 |
Short-Term Debt - Mortgage Lo_2
Short-Term Debt - Mortgage Loan Participation and Sale Agreement (Details) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2023 USD ($) item | Sep. 30, 2022 USD ($) | Sep. 30, 2023 USD ($) item | Sep. 30, 2022 USD ($) | Dec. 31, 2022 USD ($) | |
Carrying value: | |||||
Loans held for sale | $ 5,186,656,000 | $ 5,186,656,000 | $ 3,509,300,000 | ||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 498,392,000 | $ 498,392,000 | 287,592,000 | ||
Mortgage Loan Participation and Sale Agreement member | |||||
Short-term Debt [Line Items] | |||||
Number of borrowing facilities secured by loans held for sale | item | 2 | 2 | |||
During the period: | |||||
Average balance | $ 251,904,000 | $ 210,639,000 | $ 234,583,000 | $ 216,167,000 | |
Weighted-average interest rate (as a percent) | 6.63% | 3.65% | 6.41% | 2.53% | |
Total interest expense | $ 4,383,000 | $ 2,073,000 | $ 11,768,000 | $ 4,570,000 | |
Carrying value: | |||||
Amortization of debt issuance costs | 172,000 | 135,000 | 516,000 | 479,000 | |
Mortgage Loan Participation and Sale Agreement member | Maximum | |||||
Carrying value: | |||||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 508,062,000 | 507,297,000 | 515,537,000 | 515,043,000 | |
Note Payable | |||||
Carrying value: | |||||
Unamortized debt issuance costs | (6,598,000) | (6,598,000) | (7,354,000) | ||
Amortization of debt issuance costs | 689,000 | $ 726,000 | 2,400,000 | $ 1,700,000 | |
Mortgage Loan Participation and Sale Agreement member | |||||
Carrying value: | |||||
Unpaid principal balance of mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 498,916,000 | 498,916,000 | 287,943,000 | ||
Unamortized debt issuance costs | (524,000) | (524,000) | (351,000) | ||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 498,392,000 | $ 498,392,000 | $ 287,592,000 | ||
Weighted average interest rate (as a percent) | 6.57% | 6.57% | 5.71% | ||
Asset Pledged as Collateral without Right | |||||
Carrying value: | |||||
Loans held for sale | $ 5,026,818,000 | $ 5,026,818,000 | $ 3,442,847,000 | ||
Asset Pledged as Collateral without Right | Mortgage Loan Participation and Sale Agreement member | |||||
Carrying value: | |||||
Loans held for sale | $ 526,230,000 | $ 526,230,000 | $ 302,977,000 |
Long-Term Debt - Note Payable (
Long-Term Debt - Note Payable (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | Dec. 31, 2022 | Dec. 16, 2022 | |
During the period: | ||||||
Unpaid principal balance | $ 4,418,297,000 | $ 4,418,297,000 | ||||
Carrying value: | ||||||
Notes payable | 2,673,402,000 | 2,673,402,000 | $ 1,942,646,000 | |||
Unsecured senior notes | 1,782,689,000 | 1,782,689,000 | 1,779,920,000 | |||
Servicing advances, net | 399,281,000 | 399,281,000 | 696,753,000 | |||
Mortgage servicing rights, at fair value | 7,084,356,000 | 7,084,356,000 | 5,953,621,000 | |||
Other Assets | 465,022,000 | 465,022,000 | 417,907,000 | |||
Notes payable | ||||||
Repayments of Notes Payable | 150,000,000 | |||||
Asset Pledged as Collateral without Right | ||||||
Carrying value: | ||||||
Servicing advances, net | 268,987,000 | 268,987,000 | 381,379,000 | |||
Mortgage servicing rights, at fair value | 7,018,069,000 | 7,018,069,000 | 5,897,613,000 | |||
Other Assets | $ 30,021,000 | $ 30,021,000 | $ 12,277,000 | |||
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 | $ 30,021,000 | $ 30,021,000 | $ 12,277,000 | |||
Note Payable | ||||||
During the period: | ||||||
Average balance | $ 2,484,348,000 | $ 1,800,000,000 | $ 2,353,572,000 | $ 1,510,623,000 | ||
Weighted-average interest rate (as a percent) | 8.78% | 5.31% | 8.40% | 4.13% | ||
Total interest expense | $ 55,676,000 | $ 24,795,000 | $ 150,271,000 | $ 48,360,000 | ||
Carrying value: | ||||||
Unpaid principal balance | 2,680,000,000 | 2,680,000,000 | 1,950,000,000 | |||
Unamortized debt issuance costs | (6,598,000) | (6,598,000) | (7,354,000) | |||
Notes payable | $ 2,673,402,000 | $ 2,673,402,000 | $ 1,942,646,000 | |||
Weighted-average interest rate (as a percent) | 8.73% | 8.73% | 7.46% | |||
Amortization of Financing Costs | $ 689,000 | 726,000 | $ 2,400,000 | 1,700,000 | ||
Notes payable | ||||||
Maximum loan amount | 2,480,000,000 | 2,480,000,000 | ||||
Note Payable | SOFR | ||||||
Notes payable | ||||||
Maximum loan amount | $ 400,000,000 | |||||
Committed amount of debt instrument | $ 350,000,000 | |||||
Note Payable | Asset Pledged as Collateral without Right | Mortgage servicing rights | ||||||
Carrying value: | ||||||
Mortgage servicing rights, at fair value | 7,018,069,000 | 7,018,069,000 | $ 5,897,613,000 | |||
Note Payable | Asset Pledged as Collateral without Right | Servicing advances | ||||||
Carrying value: | ||||||
Servicing advances, net | 268,987,000 | 268,987,000 | 381,379,000 | |||
Note Payable | Asset Pledged as Collateral without Right | Deposits. | Deposits | ||||||
Carrying value: | ||||||
Other Assets | 22,236,000 | 22,236,000 | 12,277,000 | |||
Notes Payable Term Loan 2018-GT1 | LIBOR | ||||||
Notes payable | ||||||
Maximum loan amount | 650,000,000 | $ 650,000,000 | ||||
Interest rate spread | 3.85% | |||||
Notes Payable Term Loan 2018-GT2 | LIBOR | ||||||
Notes payable | ||||||
Maximum loan amount | 650,000,000 | $ 650,000,000 | ||||
Interest rate spread | 3.40% | |||||
Notes Payable Term Loan 2022-GT1 | SOFR | ||||||
Long-Term debt | ||||||
Maximum loan amount | 500,000,000 | $ 500,000,000 | ||||
Notes payable | ||||||
Interest rate spread | 4.25% | |||||
Notes Payable Term Loan 2023-GT1 | SOFR | ||||||
Notes payable | ||||||
Maximum loan amount | 680,000,000 | $ 680,000,000 | ||||
Interest rate spread | 3% | |||||
Unsecured Senior Note | ||||||
During the period: | ||||||
Average balance | $ 1,800,000,000 | $ 1,800,000,000 | $ 1,800,000,000 | $ 1,800,000,000 | ||
Weighted-average interest rate (as a percent) | 5.07% | 5.07% | 5.07% | 5.07% | ||
Total interest expense | $ 23,949,000 | $ 23,949,000 | $ 71,065,000 | $ 71,065,000 | ||
Unpaid principal balance | 1,800,000,000 | 1,800,000,000 | 1,800,000,000 | |||
Unamortized debt issuance costs and premiums | (17,311,000) | (17,311,000) | (20,080,000) | |||
Debt Instrument Unamortized Premium And Debt Issuance Costs Net | $ 1,782,689,000 | $ 1,782,689,000 | $ 1,779,920,000 | |||
Weighted average interest rate (as a percent) | 5.07% | 5.07% | 5.07% | |||
Carrying value: | ||||||
Amortization of Financing Costs | $ 933,000 | $ 933,000 | $ 2,800,000 | $ 2,800,000 | ||
Notes payable | ||||||
Maximum loan amount | 1,800,000,000 | $ 1,800,000,000 | ||||
Redemption rate (as a percent) | 100% | |||||
Unsecured Senior Note | Before October 15, 2022 with up to 40% principal redeemed | ||||||
Notes payable | ||||||
Redemption rate (as a percent) | 40% | |||||
Unsecured Senior Notes One Due October 2025 | ||||||
Notes payable | ||||||
Maximum loan amount | 500,000,000 | $ 500,000,000 | ||||
Interest rate spread | 5.38% | |||||
Unsecured Senior Notes Two Due October 2025 | ||||||
Notes payable | ||||||
Maximum loan amount | 150,000,000 | $ 150,000,000 | ||||
Interest rate spread | 5.38% | |||||
Unsecured Senior Notes Due February 2029 | ||||||
Notes payable | ||||||
Maximum loan amount | 650,000,000 | $ 650,000,000 | ||||
Interest rate spread | 4.25% | |||||
Unsecured Senior Notes Due September 2031 | ||||||
Notes payable | ||||||
Maximum loan amount | 500,000,000 | $ 500,000,000 | ||||
Interest rate spread | 5.75% | |||||
Loan and Security Agreement | ||||||
Carrying value: | ||||||
Unpaid principal balance | 200,000,000 | $ 200,000,000 | $ 150,000,000 | |||
Term Notes and Term Loans | ||||||
Carrying value: | ||||||
Unpaid principal balance | $ 2,480,000,000 | $ 2,480,000,000 | $ 1,800,000,000 |
Long-Term Debt - Maturities (De
Long-Term Debt - Maturities (Details) $ in Thousands | Sep. 30, 2023 USD ($) |
Long-Term debt | |
2025 | $ 1,500,000 |
2026 | 650,000 |
2027 | 500,000 |
2028 | 680,000 |
Thereafter | 1,150,000 |
Total | 4,480,000 |
Note Payable | |
Long-Term debt | |
2025 | 1,500,000 |
2027 | 500,000 |
2028 | 680,000 |
Total | 2,680,000 |
Unsecured Senior Note | |
Long-Term debt | |
2026 | 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 | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2023 | Dec. 31, 2022 | |
Leases | |||
Average balance | $ 1,130 | ||
Weighted average interest rate | 2.18% | ||
Total interest expense | $ 20 | ||
Maximum daily amount outstanding | $ 3,489 | ||
Other Assets | $ 465,022 | $ 417,907 | |
Asset Pledged as Collateral without Right | |||
Leases | |||
Other Assets | $ 30,021 | $ 12,277 |
Liability for Losses Under Re_3
Liability for Losses Under Representations and Warranties (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
During the period: | ||||
Balance at beginning of period | $ 30,146 | $ 39,336 | $ 32,421 | $ 43,521 |
Provision for losses on loans sold resulting from sales of loans | 4,011 | 1,651 | 8,885 | 7,887 |
Provision for losses on loans sold resulting from change in estimate | (2,552) | (1,769) | (6,005) | (7,165) |
Losses incurred, net | (1,114) | (2,031) | (4,810) | (7,056) |
Balance at end of period | 30,491 | 37,187 | 30,491 | 37,187 |
Unpaid principal balance of loans subject to representations and warranties at end of period | $ 335,044,546 | $ 285,532,190 | $ 335,044,546 | $ 285,532,190 |
Income Taxes - General (Details
Income Taxes - General (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Reconciliation of the entity's provision for income taxes at statutory rates to the provision for income taxes at the entity's effective tax rate | ||||
Effective tax rate (as a percent) | 26.80% | 27.10% | 23.70% | 26.70% |
Increase (decrease) in permanent differences | $ 100 | $ (1,200) | $ 7,500 | $ (1,300) |
Income before provision for income taxes | $ 126,797 | $ 185,472 | $ 237,861 | $ 597,518 |
Commitments and Contingencies -
Commitments and Contingencies - Other (Details) $ in Millions | 9 Months Ended |
Sep. 30, 2023 USD ($) | |
Contingencies | |
Total commitments to purchase and fund mortgage loans | $ 7,500 |
Black Knight Servicing Technologies, LLC | Pending Litigation | Minimum | |
Contingencies | |
Damages for breach of contract and misappropriation of trade secrets | $ 340 |
Stockholders' Equity (Details)
Stockholders' Equity (Details) - USD ($) shares in Thousands | 3 Months Ended | 9 Months Ended | 76 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Aug. 31, 2021 | |
Stockholders' Equity | |||||
Cost of shares of common stock repurchased | $ 99,702,000 | $ 71,575,000 | $ 354,759,000 | ||
Cumulative common stock repurchase transactions fees. | $ 621,000 | ||||
Common Class A [Member] | |||||
Stockholders' Equity | |||||
Authorized stock repurchase amount | $ 2,000,000,000 | ||||
Shares of common stock repurchased | 1,949 | 1,201 | 6,696 | 34,063 | |
Cost of shares of common stock repurchased | $ 99,702,000 | $ 71,575,000 | $ 354,759,000 | $ 1,788,282,000 |
Net Gains on Loans Held for S_3
Net Gains on Loans Held for Sale (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Non-cash gain: | ||||
Provision for losses relating to representations and warranties on loans sold pursuant to loan sales | $ (4,011) | $ (1,651) | $ (8,885) | $ (7,887) |
Provision for losses relating to representations and warranties on loans sold reduction in liability due to change in estimate | 2,552 | 1,769 | 6,005 | 7,165 |
Change in fair value of loans and derivatives held at period end: | ||||
Net gains on loans held for sale at fair value | 151,374 | 168,694 | 397,178 | 689,720 |
Nonrelated Party | ||||
Cash (losses) gains: | ||||
Loans | (471,830) | (587,659) | (1,136,101) | (1,983,051) |
Hedging activities | 220,585 | 570,864 | 305,133 | 1,543,568 |
Cash gain (loss), net of effects of cash hedging, on sale of loans held for sale | (251,245) | (16,795) | (830,968) | (439,483) |
Non-cash gain: | ||||
Mortgage servicing rights and mortgage servicing liabilities resulting from loan sales | 450,936 | 345,077 | 1,299,992 | 1,359,632 |
Provision for losses relating to representations and warranties on loans sold pursuant to loan sales | (4,011) | (1,651) | (8,885) | (7,887) |
Provision for losses relating to representations and warranties on loans sold reduction in liability due to change in estimate | 2,552 | 1,769 | 6,005 | 7,165 |
Change in fair value of loans and derivatives held at period end: | ||||
Interest rate lock commitments | (9,862) | (121,353) | (5,069) | (378,396) |
Loans | 22,083 | 170,887 | 24,762 | 347,968 |
Hedging derivatives | (58,579) | (207,592) | (87,165) | (183,227) |
Net gains on loans held for sale at fair value | 151,874 | 170,342 | 398,672 | 705,772 |
Related Party | ||||
Change in fair value of loans and derivatives held at period end: | ||||
Net gains on loans held for sale at fair value | (500) | (1,648) | (1,494) | (16,052) |
Related Party | 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 | $ (500) | $ (1,648) | $ (1,494) | $ (16,052) |
Net Interest Income (Expense)_2
Net Interest Income (Expense) (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Interest income: | ||||
Interest income | $ 166,552,000 | $ 82,994,000 | $ 467,982,000 | $ 186,740,000 |
Interest expense: | ||||
Obligations under capital lease | 20,000 | |||
Interest expense | 156,863,000 | 82,965,000 | 467,276,000 | 231,399,000 |
Net interest income (expense) | 9,689,000 | 29,000 | 706,000 | (44,659,000) |
Nonrelated Party | ||||
Interest income: | ||||
Cash and short-term investments | 15,814,000 | 7,759,000 | 53,186,000 | 8,736,000 |
Loans held for sale at fair value | 65,641,000 | 38,945,000 | 205,414,000 | 124,835,000 |
Placement fees relating to custodial funds | 85,076,000 | 36,290,000 | 209,319,000 | 53,169,000 |
Interest expense: | ||||
Assets sold under agreements to repurchase | 62,758,000 | 24,329,000 | 209,461,000 | 67,048,000 |
Mortgage loan participation purchase and sale agreements | 4,383,000 | 2,073,000 | 11,768,000 | 4,570,000 |
Notes payable | 55,676,000 | 24,795,000 | 150,271,000 | 48,360,000 |
Unsecured senior notes | 23,949,000 | 23,949,000 | 71,065,000 | 71,065,000 |
Obligations under capital lease | 20,000 | |||
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations | 6,857,000 | 5,620,000 | 16,781,000 | 35,385,000 |
Interest on mortgage loan impound deposits | 2,888,000 | 2,199,000 | 7,080,000 | 4,951,000 |
Other | 352,000 | 850,000 | ||
Interest expense | 156,863,000 | 82,965,000 | 467,276,000 | 231,399,000 |
Related Party | Townsgate Closing Services, LLC | ||||
Interest income: | ||||
Interest income | 21,000 | 63,000 | ||
Loan Repo Facility | ||||
Interest expense: | ||||
Assets sold under agreements to repurchase | $ 62,758,000 | $ 24,329,000 | $ 209,461,000 | $ 67,048,000 |
Stock-based Compensation - Othe
Stock-based Compensation - Other (Details) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Stock-Based Compensation | ||||
Grant date fair value | $ 35,444 | $ 50,563 | ||
Stock-based compensation expense | $ 8,814 | $ 6,466 | $ 20,839 | $ 30,689 |
Employee Stock Option [Member] | ||||
Stock-Based Compensation | ||||
Granted (in units) | 221 | 574 | ||
Grant date fair value | $ 5,492 | $ 12,138 | ||
Exercised (in units) | 61 | 20 | 412 | 83 |
Performance-based RSUs | ||||
Stock-Based Compensation | ||||
Granted (in units) | 307 | 342 | ||
Grant date fair value | $ 18,611 | $ 19,522 | ||
Vested (in units) | 612 | 643 | ||
Time-based RSUs | ||||
Stock-Based Compensation | ||||
Granted (in units) | 187 | 331 | ||
Grant date fair value | $ 11,341 | $ 18,903 | ||
Vested (in units) | 246 | 246 |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Diluted earnings per share of common stock: | ||||
Net Income (Loss) | $ 92,870 | $ 135,134 | $ 181,498 | $ 437,890 |
Weighted-average common stock outstanding applicable to basic earnings per share (in shares) | 49,902 | 52,170 | 49,975 | 54,043 |
Effect of dilutive shares: | ||||
Common shares issuable under stock-based compensation plans (in shares) | 2,659 | 2,798 | 2,760 | 2,870 |
Weighted-average shares of common stock applicable to diluted earnings per share (in shares) | 52,561 | 54,968 | 52,735 | 56,913 |
Basic earnings per share of common stock (in dollars per share) | $ 1.86 | $ 2.59 | $ 3.63 | $ 8.10 |
Diluted earnings per share of common stock (in dollars per share) | $ 1.77 | $ 2.46 | $ 3.44 | $ 7.69 |
Total anti-dilutive shares and units (in shares) | 823 | 1,748 | 881 | 1,696 |
Performance-based RSUs | ||||
Effect of dilutive shares: | ||||
Total anti-dilutive shares and units (in shares) | 604 | 325 | 548 | 268 |
Time-based RSUs | ||||
Effect of dilutive shares: | ||||
Total anti-dilutive shares and units (in shares) | 46 | 116 | ||
Employee Stock Option [Member] | ||||
Effect of dilutive shares: | ||||
Total anti-dilutive shares and units (in shares) | 219 | 1,423 | 287 | 1,312 |
Weighted-average exercise price of anti-dilutive stock options (in dollars per share) | $ 60.69 | $ 58.49 | $ 59.31 | $ 58.61 |
Regulatory Capital and Liquid_3
Regulatory Capital and Liquidity Requirements (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Fannie Mae / Freddie Mac - PLS | ||
Regulatory Net Worth and Agency Capital Requirements | ||
Net worth | $ 6,227,418 | $ 6,632,627 |
Capital Requirement | 1,157,832 | 797,748 |
Liquidity | 1,383,986 | 1,265,569 |
Liquidity requirement | $ 472,121 | $ 107,768 |
Tangible net worth / Total assets ratio actual | 32% | 39% |
Tangible net worth / Total assets ratio requirement | 6% | 6% |
Ginnie Mae - Issuer - PLS | ||
Regulatory Net Worth and Agency Capital Requirements | ||
Net worth | $ 5,968,665 | $ 5,899,892 |
Capital Requirement | 1,251,726 | 923,202 |
Liquidity | 1,583,911 | 1,265,569 |
Liquidity requirement | $ 323,892 | $ 246,953 |
Adjusted net worth / Total assets ratio actual | 40% | 35% |
Adjusted net worth / Total assets ratio requirement | 6% | 6% |
HUD - PLS | ||
Regulatory Net Worth and Agency Capital Requirements | ||
Net worth | $ 5,968,665 | $ 5,899,892 |
Capital Requirement | $ 2,500 | $ 2,500 |
Segments (Details)
Segments (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2023 USD ($) | Sep. 30, 2022 USD ($) | Sep. 30, 2023 USD ($) segment | Sep. 30, 2022 USD ($) | Dec. 31, 2022 USD ($) | |
Segments and Related Information | |||||
Number of segments | segment | 3 | ||||
Revenues: | |||||
Net gains on loans held for sale at fair value | $ 151,374 | $ 168,694 | $ 397,178 | $ 689,720 | |
Loan origination fees | 37,701 | 34,037 | 108,059 | 141,840 | |
Fulfillment fees from PennyMac Mortgage Investment Trust | 5,531 | 18,407 | 22,895 | 55,807 | |
Net loan servicing fees | 185,374 | 243,742 | 480,289 | 768,498 | |
Net interest income (expense): | |||||
Interest income | 166,552 | 82,994 | 467,982 | 186,740 | |
Interest expense, before non-segment activities | 156,863 | 82,965 | 467,276 | 231,399 | |
Net interest expense, before non-segment activities | 9,689 | 29 | 706 | (44,659) | |
Management fees from PennyMac Mortgage Investment Trust | 7,175 | 7,731 | 21,510 | 23,758 | |
Other | 3,464 | 3,650 | 9,080 | 10,345 | |
Total net revenues, before non-segment activities | 400,308 | 476,290 | 1,039,717 | 1,645,309 | |
Expenses | 273,511 | 290,818 | 801,856 | 1,047,791 | |
Income before provision for income taxes | 126,797 | 185,472 | 237,861 | 597,518 | |
Assets: | |||||
Segment assets at period end | 18,949,314 | 16,361,811 | 18,949,314 | 16,361,811 | $ 16,822,584 |
Related Party | |||||
Revenues: | |||||
Net gains on loans held for sale at fair value | (500) | (1,648) | (1,494) | (16,052) | |
Loan origination fees | 579 | 2,192 | 2,690 | 6,938 | |
Related Party | PennyMac Mortgage Investment Trust | |||||
Revenues: | |||||
Net gains on loans held for sale at fair value | (500) | (1,648) | (1,494) | (16,052) | |
Operating segment | |||||
Assets: | |||||
Segment assets at period end | 18,949,314 | 16,361,811 | 18,949,314 | 16,361,811 | |
Operating segment | Investment management | |||||
Net interest income (expense): | |||||
Management fees from PennyMac Mortgage Investment Trust | 7,175 | 7,731 | 21,510 | 23,758 | |
Other | 1,604 | 2,620 | 6,037 | 6,431 | |
Total net revenues, before non-segment activities | 8,779 | 10,351 | 27,547 | 30,189 | |
Expenses | 8,379 | 8,734 | 24,849 | 28,228 | |
Income before provision for income taxes | 400 | 1,617 | 2,698 | 1,961 | |
Assets: | |||||
Segment assets at period end | 22,350 | 26,988 | 22,350 | 26,988 | |
Operating segment | Mortgage banking | |||||
Revenues: | |||||
Net gains on loans held for sale at fair value | 151,374 | 168,694 | 397,178 | 689,720 | |
Loan origination fees | 37,701 | 34,037 | 108,059 | 141,840 | |
Fulfillment fees from PennyMac Mortgage Investment Trust | 5,531 | 18,407 | 22,895 | 55,807 | |
Net loan servicing fees | 185,374 | 243,742 | 480,289 | 768,498 | |
Net interest income (expense): | |||||
Interest income | 166,552 | 82,994 | 467,982 | 186,740 | |
Interest expense, before non-segment activities | 156,863 | 82,965 | 467,276 | 231,399 | |
Net interest expense, before non-segment activities | 9,689 | 29 | 706 | (44,659) | |
Other | 1,860 | 1,030 | 3,043 | 3,914 | |
Total net revenues, before non-segment activities | 391,529 | 465,939 | 1,012,170 | 1,615,120 | |
Expenses | 265,132 | 282,084 | 777,007 | 1,019,563 | |
Income before provision for income taxes | 126,397 | 183,855 | 235,163 | 595,557 | |
Assets: | |||||
Segment assets at period end | 18,926,964 | 16,334,823 | 18,926,964 | 16,334,823 | |
Operating segment | Mortgage banking Production | |||||
Revenues: | |||||
Net gains on loans held for sale at fair value | 127,821 | 140,683 | 328,796 | 515,188 | |
Loan origination fees | 37,701 | 34,037 | 108,059 | 141,840 | |
Fulfillment fees from PennyMac Mortgage Investment Trust | 5,531 | 18,407 | 22,895 | 55,807 | |
Net interest income (expense): | |||||
Interest income | 62,150 | 30,825 | 194,566 | 90,145 | |
Interest expense, before non-segment activities | 59,614 | 24,970 | 189,691 | 71,236 | |
Net interest expense, before non-segment activities | 2,536 | 5,855 | 4,875 | 18,909 | |
Other | 823 | 474 | 1,925 | 1,842 | |
Total net revenues, before non-segment activities | 174,412 | 199,456 | 466,550 | 733,586 | |
Expenses | 149,219 | 160,884 | 436,582 | 676,090 | |
Income before provision for income taxes | 25,193 | 38,572 | 29,968 | 57,496 | |
Assets: | |||||
Segment assets at period end | 5,485,039 | 4,708,512 | 5,485,039 | 4,708,512 | |
Operating segment | Mortgage banking Servicing | |||||
Revenues: | |||||
Net gains on loans held for sale at fair value | 23,553 | 28,011 | 68,382 | 174,532 | |
Net loan servicing fees | 185,374 | 243,742 | 480,289 | 768,498 | |
Net interest income (expense): | |||||
Interest income | 104,402 | 52,169 | 273,416 | 96,595 | |
Interest expense, before non-segment activities | 97,249 | 57,995 | 277,585 | 160,163 | |
Net interest expense, before non-segment activities | 7,153 | (5,826) | (4,169) | (63,568) | |
Other | 1,037 | 556 | 1,118 | 2,072 | |
Total net revenues, before non-segment activities | 217,117 | 266,483 | 545,620 | 881,534 | |
Expenses | 115,913 | 121,200 | 340,425 | 343,473 | |
Income before provision for income taxes | 101,204 | 145,283 | 205,195 | 538,061 | |
Assets: | |||||
Segment assets at period end | $ 13,441,925 | $ 11,626,311 | $ 13,441,925 | $ 11,626,311 |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) $ / shares in Units, $ in Thousands | Oct. 26, 2023 | Oct. 25, 2023 | Sep. 30, 2023 |
Note Payable | |||
Subsequent Event | |||
Syndicated loan amount | $ 2,480,000 | ||
Subsequent Event | |||
Subsequent Event | |||
Dividends declared (in dollars per share) | $ 0.20 | ||
Subsequent Event | Ginnie Mae - Issuer - PLS | |||
Subsequent Event | |||
Syndicated loan amount | $ 125,000 |
Pay vs Performance Disclosure
Pay vs Performance Disclosure - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Pay vs Performance Disclosure | ||||
Net Income (Loss) | $ 92,870 | $ 135,134 | $ 181,498 | $ 437,890 |
Insider Trading Arrangements
Insider Trading Arrangements | 3 Months Ended |
Sep. 30, 2023 | |
Trading Arrangements, by Individual | |
Rule 10b5-1 Arrangement Adopted | false |
Non-Rule 10b5-1 Arrangement Adopted | false |
Rule 10b5-1 Arrangement Terminated | false |
Non-Rule 10b5-1 Arrangement Terminated | false |