Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2024 | Apr. 29, 2024 | |
Document and Entity Information | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Mar. 31, 2024 | |
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, $0.0001 par value | |
Trading Symbol | PFSI | |
Security Exchange Name | NYSE | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 50,922,737 | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2024 | |
Document Fiscal Period Focus | Q1 | |
Amendment Flag | false |
CONSOLIDATED BALANCE SHEETS (UN
CONSOLIDATED BALANCE SHEETS (UNAUDITED) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
ASSETS | ||
Cash | $ 927,394 | $ 938,371 |
Short-term investment at fair value | 69 | 10,268 |
Principal-only stripped mortgage-backed securities at fair value pledged to creditors | 524,576 | |
Loans held for sale at fair value (includes $5,127,134 and $4,329,501 pledged to creditors) | 5,200,350 | 4,420,691 |
Derivative assets | 108,987 | 179,079 |
Servicing advances, net (includes valuation allowance of $67,327 and $73,991; $271,947 and $354,831 pledged to creditors) | 499,955 | 694,038 |
Mortgage servicing rights at fair value (includes $7,406,892 and $7,033,892 pledged to creditors) | 7,483,210 | 7,099,348 |
Investment in PennyMac Mortgage Investment Trust at fair value | 1,101 | 1,121 |
Receivable from PennyMac Mortgage Investment Trust | $ 30,835 | $ 29,262 |
Other Receivable, after Allowance for Credit Loss, Related Party, Type [Extensible Enumeration] | Affiliated entities | Affiliated entities |
Loans eligible for repurchase | $ 4,401,896 | $ 4,889,925 |
Other (includes $16,175 and $15,653 pledged to creditors) | 623,368 | 582,460 |
Total assets | 19,801,741 | 18,844,563 |
LIABILITIES | ||
Assets sold under agreements to repurchase | 5,435,354 | 3,763,956 |
Mortgage loan participation purchase and sale agreements | 363,798 | 446,054 |
Notes payable secured by mortgage servicing assets | 1,972,020 | 1,873,415 |
Unsecured senior notes | 2,521,031 | 2,519,651 |
Derivative liabilities | 40,784 | 53,275 |
Mortgage servicing liabilities at fair value | 1,732 | 1,805 |
Accounts payable and accrued expenses | 263,338 | 449,896 |
Payable to PennyMac Mortgage Investment Trust | $ 127,993 | $ 208,210 |
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 | 1,047,337 | 1,042,886 |
Liability for loans eligible for repurchase | 4,401,896 | 4,889,925 |
Liability for losses under representations and warranties | 29,976 | 30,788 |
Total liabilities | 16,231,358 | 15,305,960 |
Commitments and contingencies - Note 18 | ||
STOCKHOLDERS' EQUITY | ||
Common stock-authorized 200,000,000 shares of $0.0001 par value; issued and outstanding, 50,907,865 and 50,178,963 shares, respectively | 5 | 5 |
Additional paid-in capital | 27,179 | 24,287 |
Retained earnings | 3,543,199 | 3,514,311 |
Total stockholders' equity | 3,570,383 | 3,538,603 |
Total liabilities and stockholders' equity | $ 19,801,741 | $ 18,844,563 |
CONSOLIDATED BALANCE SHEETS (_2
CONSOLIDATED BALANCE SHEETS (UNAUDITED) (Parenthetical) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Loans held for sale | $ 5,200,350 | $ 4,420,691 |
Servicing advances, net | 499,955 | 694,038 |
Mortgage servicing rights, at fair value | $ 7,483,210 | $ 7,099,348 |
Assets, Pledging Purpose [Extensible Enumeration] | Notes Payable | Notes Payable |
Other assets | $ 623,368 | $ 582,460 |
Servicing advances, net, valuation allowance | $ 67,327 | $ 73,991 |
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 | 50,907,865 | 50,178,963 |
Common stock, shares outstanding | 50,907,865 | 50,178,963 |
Asset Pledged as Collateral without Right | ||
Loans held for sale | $ 5,127,134 | $ 4,329,501 |
Servicing advances, net | 271,947 | 354,831 |
Mortgage servicing rights, at fair value | $ 7,406,892 | $ 7,033,892 |
Assets, Pledging Purpose [Extensible Enumeration] | Notes Payable | Notes Payable |
Other assets | $ 16,175 | $ 15,653 |
CONSOLIDATED STATEMENTS OF INCO
CONSOLIDATED STATEMENTS OF INCOME (UNAUDITED) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Net gains on loans held for sale at fair value: | ||
Net gains on loans held for sale at fair value | $ 162,441 | $ 104,385 |
Loan origination fees | 36,371 | 31,390 |
Fulfillment fees from PennyMac Mortgage Investment Trust | 4,016 | 11,923 |
Loan servicing fees: | ||
Loan servicing fees | 424,184 | 338,057 |
Change in fair value of mortgage servicing rights and mortgage servicing liabilities | (28,585) | (236,447) |
Mortgage servicing rights hedging results | (294,645) | 47,227 |
Change in fair value of excess servicing spread financing payable to PennyMac Mortgage Investment Trust | (323,230) | (189,220) |
Net loan servicing fees | 100,954 | 148,837 |
Net interest expense: | ||
Interest income | 156,426 | 128,478 |
Interest expense | 165,769 | 131,771 |
Net interest expense | (9,343) | (3,293) |
Management fees from PennyMac Mortgage Investment Trust | 7,188 | 7,257 |
Change in fair value of investment in and dividends received from PennyMac Mortgage Investment Trust | 10 | 26 |
Results of real estate acquired in settlement of loans | 406 | 142 |
Other | 3,617 | 2,195 |
Total net revenues | 305,660 | 302,862 |
Expenses | ||
Compensation | 146,376 | 147,935 |
Technology | 35,967 | 36,038 |
Loan origination | 30,568 | 27,086 |
Servicing | 16,104 | 12,632 |
Professional services | 9,262 | 21,007 |
Occupancy and equipment | 8,676 | 8,820 |
Marketing and advertising | 3,671 | 3,241 |
Other | 11,153 | 7,956 |
Total expenses | 261,777 | 264,715 |
Income before provision for income taxes | 43,883 | 38,147 |
Provision for income taxes | 4,575 | 7,769 |
Net income | $ 39,308 | $ 30,378 |
Earnings per share | ||
Basic (in dollars per share) | $ 0.78 | $ 0.61 |
Diluted (in dollars per share) | $ 0.74 | $ 0.57 |
Weighted-average shares outstanding | ||
Basic (in shares) | 50,547 | 50,154 |
Diluted (in shares) | 53,100 | 53,352 |
Related Party | ||
Net gains on loans held for sale at fair value: | ||
Net gains on loans held for sale at fair value | $ (353) | $ (485) |
Loan origination fees | 359 | 1,410 |
Nonrelated Party | ||
Net gains on loans held for sale at fair value: | ||
Net gains on loans held for sale at fair value | 162,794 | 104,870 |
Loan origination fees | 36,012 | 29,980 |
Net interest expense: | ||
Interest expense | 165,769 | 131,771 |
Non-affiliates | Nonrelated Party | ||
Loan servicing fees: | ||
Loan servicing fees | 358,026 | 290,697 |
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 | (353) | (485) |
Loan servicing fees: | ||
Loan servicing fees | 20,262 | 20,449 |
Net interest expense: | ||
Change in fair value of investment in and dividends received from PennyMac Mortgage Investment Trust | 10 | 26 |
Others | Nonrelated Party | ||
Loan servicing fees: | ||
Loan servicing fees | $ 45,896 | $ 26,911 |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (UNAUDITED) - USD ($) shares in Thousands, $ in Thousands | Common Stock | Additional Paid-in Capital | Retained Earnings | Total |
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 | 30,378 | 30,378 | ||
Stock based compensation | $ 6,850 | 6,850 | ||
Stock based compensation (in shares) | 876 | |||
Issuance of common stock in settlement of director fees | 51 | 51 | ||
Issuance of common stock in settlement of director fees (in shares) | 1 | |||
Common stock dividends | (10,777) | (10,777) | ||
Repurchase of common stock | (6,901) | (38,460) | (45,361) | |
Repurchase of common stock (in shares) | (768) | |||
Balance at Mar. 31, 2023 | $ 5 | 3,452,185 | 3,452,190 | |
Balance (in shares) at Mar. 31, 2023 | 50,097 | |||
Balance at Dec. 31, 2023 | $ 5 | 24,287 | 3,514,311 | 3,538,603 |
Balance (in shares) at Dec. 31, 2023 | 50,179 | |||
Changes in stockholders' equity | ||||
Net income | 39,308 | 39,308 | ||
Stock based compensation | 2,808 | 2,808 | ||
Stock based compensation (in shares) | 728 | |||
Issuance of common stock in settlement of director fees | 84 | 84 | ||
Issuance of common stock in settlement of director fees (in shares) | 1 | |||
Common stock dividends | $ 0 | 0 | (10,420) | (10,420) |
Balance at Mar. 31, 2024 | $ 5 | $ 27,179 | $ 3,543,199 | $ 3,570,383 |
Balance (in shares) at Mar. 31, 2024 | 50,908 |
CONSOLIDATED STATEMENTS OF CH_2
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (UNAUDITED) (Parenthetical) - $ / shares | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (UNAUDITED) | ||
Common Stock dividends (in dollars per share) | $ 0.20 | $ 0.20 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Cash flow from operating activities | ||
Net income | $ 39,308 | $ 30,378 |
Adjustments to reconcile net income to net cash used in operating activities: | ||
Net gains on loans held for sale at fair value | (162,441) | (104,385) |
Change in fair value of mortgage servicing rights and mortgage servicing liabilities | 28,585 | 236,447 |
Mortgage servicing rights hedging results | 294,645 | (47,227) |
Accrual of unearned discounts on mortgage-backed securities | (264) | |
Capitalization of interest on loans held for sale | (128) | (223) |
Amortization of debt issuance costs | 7,357 | 4,708 |
Change in fair value of investment in common shares of PennyMac Mortgage Investment Trust | 20 | 4 |
Results of real estate acquired in settlement in loans | (406) | (142) |
Stock-based compensation expense | 4,583 | 11,650 |
Reversal of provision for servicing advance losses | (1,541) | (3,081) |
Depreciation and amortization | 14,164 | 12,705 |
Amortization of operating lease right-of-use assets | 3,436 | 5,055 |
Purchase of loans held for sale from PennyMac Mortgage Investment Trust | (16,302,059) | (13,451,030) |
Origination of loans held for sale | (3,073,792) | (2,194,780) |
Purchase of loans held for sale from non-affiliates | (496,609) | (404,963) |
Purchase of loans from Ginnie Mae securities and early buyout investors | (791,726) | (714,110) |
Sale to non-affiliates and principal payment of loans held for sale | 19,676,917 | 13,385,341 |
Repurchase of loans subject to representations and warranties | (21,395) | (10,460) |
Decrease in servicing advances | 168,554 | 138,018 |
(Increase) decrease in receivable from PennyMac Mortgage Investment Trust | (1,999) | 1,872 |
Sale of real estate acquired in settlement of loans | 13,165 | 7,533 |
Increase in other assets | (33,707) | (64,777) |
Decrease in accounts payable and accrued expenses | (182,097) | (43,767) |
Decrease in operating lease liabilities | (4,380) | (4,914) |
Decrease in payable to PennyMac Mortgage Investment Trust | (80,581) | (62,927) |
Increase in income taxes payable | 4,451 | 8,184 |
Net cash used in operating activities | (897,940) | (3,264,891) |
Cash flow from investing activities | ||
Decrease in short-term investment | 10,199 | 8,610 |
Purchase of principal-only stripped mortgage-backed securities | (524,739) | |
Repayment of principal-only stripped mortgage-backed securities | 116 | |
Net settlement of derivative financial instruments used for hedging of mortgage servicing rights | (224,750) | 78,438 |
Transfer of mortgage servicing rights relating to delinquent loans to Agency | 232 | |
Acquisition of capitalized software | (3,864) | (10,590) |
Purchase of furniture, fixtures, equipment and leasehold improvements | (918) | (173) |
Increase in margin deposits | (38,656) | (97,450) |
Net cash used in investing activities | (782,612) | (20,933) |
Cash flow from financing activities | ||
Sale of assets under agreements to repurchase | 20,836,772 | 16,713,811 |
Repurchase of assets sold under agreements to repurchase | (19,165,094) | (13,949,931) |
Issuance of mortgage loan participation purchase and sale certificates | 5,399,717 | 4,170,792 |
Repayment of mortgage loan participation purchase and sale certificates | (5,482,145) | (3,943,198) |
Issuance of notes payable secured by mortgage servicing assets | 725,000 | 680,000 |
Repayment of notes payable secured by mortgage servicing assets | (625,000) | (150,000) |
Payment of debt issuance costs | (7,480) | (5,345) |
Issuance of common stock pursuant to exercise of stock options | 7,626 | 4,342 |
Payment of withholding taxes relating to stock-based compensation | (9,401) | (9,142) |
Payment of dividends to holders of common stock | (10,420) | (10,777) |
Repurchase of common stock | (45,361) | |
Net cash provided by financing activities | 1,669,575 | 3,455,191 |
Net (decrease) increase in cash and restricted cash | (10,977) | 169,367 |
Cash and restricted cash at beginning of quarter | 938,371 | 1,328,539 |
Cash and restricted cash at end of quarter | 927,394 | 1,497,906 |
Supplemental cash flow information: | ||
Cash paid for interest | 152,261 | 129,791 |
Cash paid (refunds received) for income taxes, net | 124 | (415) |
Non-cash investing activities: | ||
Mortgage servicing rights received from loan sales | 412,520 | 286,533 |
Operating right-of-use assets recognized | 1,727 | |
Non-cash financing activities: | ||
Issuance of common stock in settlement of director fees | $ 84 | $ 51 |
CONSOLIDATED STATEMENTS OF CA_2
CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED) (Parenthetical) $ in Thousands | Mar. 31, 2023 USD ($) |
CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED) | |
Cash | $ 1,497,903 |
Restricted cash included in Other assets | 3 |
Cash and restricted cash at end of period | $ 1,497,906 |
Organization
Organization | 3 Months Ended |
Mar. 31, 2024 | |
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 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 and U.S. Department of Agriculture (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 (“SEC”) as an investment adviser under the Investment Advisers Act of 1940, as amended. PCM has an investment management agreement with PMT. |
Basis of Presentation and Recen
Basis of Presentation and Recently Issued Accounting Pronouncements | 3 Months Ended |
Mar. 31, 2024 | |
Basis of Presentation and Recently Issued Accounting Pronouncements | |
Basis of Presentation and Recently Issued Accounting Pronouncements | Note 2—Basis of Presentation and Recently Issued Accounting Pronouncements Basis of Presentation The accompanying consolidated financial statements have been prepared in compliance with accounting principles generally accepted in the United States (“GAAP”) as codified in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification 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, 2024. 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. Recently Issued Accounting Pronouncements During 2023, the FASB issued two Accounting Standards Updates (“ASUs”) aimed at increasing the amount of detail provided to financial statement users in certain existing disclosures. The ASUs do not require changes to the Company’s accounting. The ASUs are discussed below: Segment Disclosures The FASB issued ASU No. 2023-07, Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures (“ASU 2023-07”), that is intended to improve disclosures about a public entity’s reportable segments and addresses requests from investors and other allocators of capital for more detailed information about a reportable segment’s expenses. The amendments in ASU 2023-07 are intended to improve reportable segment disclosure requirements primarily through enhanced disclosures about significant segment expenses. The key amendments will require that the Company supplement its existing disclosures to include disclosure of: ● significant segment expenses that are regularly provided to the chief operating decision maker included within each reported measure of segment profit or loss; and ● an amount for other segment items by reportable segment and a description of its composition. The other segment items category is the difference between segment revenue less the significant expenses disclosed and each reported measure of segment profit or loss. The Company will be required to apply the reporting specified by ASU 2023-07 in annual periods beginning with its fiscal year ending December 31, 2024 and for quarterly periods ended thereafter. Income Tax Disclosures The FASB issued ASU 2023-09, Improvements to Income Tax Disclosures (“ASU 2023-09”), that is intended to enhance the level of detail and decision usefulness of income tax disclosures. ASU 2023-09 requires disclosures of: ● Reconciliation of the expected tax at the applicable statutory federal income tax rate to the reported tax in a tabular format, using both percentages and amounts, broken out into specific categories with certain reconciling items of five percent or greater of the expected tax further broken out by nature and/or jurisdiction; and ● Income taxes paid, net of refunds received, broken out between federal and state and local income taxes. Payments to individual jurisdictions representing five percent or more of the total income tax payments must also be separately disclosed. The disclosures specified by ASU 2023-09 are required in the Company’s annual financial statements beginning with the year ended December 31, 2025, with early adoption permitted. |
Concentration of Risk
Concentration of Risk | 3 Months Ended |
Mar. 31, 2024 | |
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 11% and 14% of total net revenues for the quarters ended March 31, 2024 and 2023, respectively. The Company also purchased 82% and 84% of its loan production from PMT during the quarters ended March 31, 2024 and 2023, respectively. The Company maintains cash and short-term investment balances at financial institutions in excess of the Federal Deposit Insurance Corporation (“FDIC”) insurance limits. Should one or more of the financial institutions at which the Company’s deposits are maintained fail, there is no guarantee as to the extent that the Company would recover the funds deposited, whether through FDIC coverage or otherwise, or the timing of any recovery. |
Variable Interest Entities
Variable Interest Entities | 3 Months Ended |
Mar. 31, 2024 | |
Variable Interest Entities | |
Variable Interest Entities | Note 4—Variable Interest Entities The Company entered into securitization transactions in which variable interest entities (“VIEs”) may issue variable funding notes and term debt backed by beneficial interests in Ginnie Mae and Fannie Mae mortgage servicing rights (“MSRs”). The Company acts as guarantor of the variable funding notes and term debt. The Company determined that it is the primary beneficiary of the VIEs because as the holder and guarantor of the variable funding notes, it holds the variable interest in the VIEs. Therefore, PFSI consolidates the VIEs. For financial reporting purposes, the MSRs financed by the consolidated VIEs are included in Mortgage servicing rights at fair value Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets Short Term Borrowings Long Term Debt |
Related Party Transactions
Related Party Transactions | 3 Months Ended |
Mar. 31, 2024 | |
Related Party Transactions | |
Related Party Transactions | Note 5—Related Party Transactions PennyMac Mortgage Investment Trust Operating Activities Mortgage Loan Production Activities and MSR 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 March 31, 2024 2023 (in thousands) Mortgage servicing rights recapture incurred included in Net gains on loans held for sale at fair value $ (353) $ (485) Tax service fees earned from PMT included in Loan origination fees $ 359 $ 1,410 Fulfillment fee revenue $ 4,016 $ 11,923 Unpaid principal balance of loans fulfilled for PMT subject to fulfillment fees $ 1,771,681 $ 6,628,810 Sourcing fees included in cost of loans purchased from PMT $ 1,605 $ 1,328 Unpaid principal balance of loans purchased from PMT: Government guaranteed or insured $ 7,856,925 $ 9,213,712 Conventional conforming 8,189,930 4,062,874 $ 16,046,855 $ 13,276,586 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 and loans in its prime and special servicing portfolios. 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 is also 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. 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 March 31, Loan type serviced 2024 2023 (in thousands) Prime servicing $ 20,200 $ 20,329 Special servicing 62 120 $ 20,262 $ 20,449 The Servicing Agreement expires on June 30, 2025. Investment Management Activities The Company has a management agreement with PMT (the “Management Agreement”), pursuant to which the Company oversees PMT’s business affairs in conformity with 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: ● 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 ● 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 ● 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 beneficial interest of all of PMT’s public offerings, multiplied by the weighted average number of common shares of beneficial interest 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 of beneficial interest (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 March 31, 2024 2023 (in thousands) Base management $ 7,188 $ 7,257 Performance incentive — — $ 7,188 $ 7,257 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 March 31, 2024 2023 (in thousands) Reimbursement of: Expenses incurred on PMT's behalf, net $ 6,414 $ 5,661 Common overhead incurred by the Company 1,944 1,821 Compensation 165 165 $ 8,523 $ 7,647 Payments and settlements during the quarter (1) $ 30,085 $ 32,384 (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 March 31, 2024 2023 (in thousands) Change in fair value of investment in and dividends received from PennyMac Mortgage Investment Trust $ 10 $ 26 March 31, December 31, 2024 2023 (in thousands) Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Fair value $ 1,101 $ 1,121 Number of shares 75 75 Receivable from and Payable to PMT Amounts receivable from and payable to PMT are summarized below: March 31, December 31, 2024 2023 (in thousands) Receivable from PMT: Allocated expenses and expenses incurred on PMT's behalf $ 8,194 $ 5,612 Correspondent production fees 7,368 8,288 Management fees 7,188 7,252 Servicing fees 6,730 6,809 Fulfillment fees 1,355 1,301 $ 30,835 $ 29,262 Payable to PMT: Amounts advanced by PMT to fund its servicing advances $ 127,992 $ 208,154 Other 1 56 $ 127,993 $ 208,210 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 The Company advanced $801,000 to 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 9.75% per year as of March 31, 2024, 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 | 3 Months Ended |
Mar. 31, 2024 | |
Loan Sales and Servicing Activities | |
Loan Sales and Servicing Activities | Note 6—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 March 31, 2024 2023 (in thousands) Cash flows: Sales proceeds $ 19,676,917 $ 13,385,341 Servicing fees received $ 336,248 $ 268,423 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 March 31, 2024 2023 (in thousands) Balance at beginning of quarter $ 73,991 $ 78,992 Reversals of provision for losses (1,541) (3,081) Charge-offs, net (5,123) (733) Balance at end of quarter $ 67,327 $ 75,178 The following table summarizes the UPB of the loans sold by the Company in transactions where it maintains continuing involvement with the loans as servicer: March 31, December 31, 2024 2023 (in thousands) Unpaid principal balance of loans outstanding $ 364,441,567 $ 352,790,614 Delinquent loans: 30-89 days $ 12,128,892 $ 13,775,493 90 days or more: Not in foreclosure $ 6,251,718 $ 6,754,282 In foreclosure $ 647,459 $ 618,694 Foreclosed $ 8,441 $ 7,565 Loans in bankruptcy $ 1,479,461 $ 1,415,614 The following tables summarize the Company’s loan servicing portfolio as measured by UPB: March 31, 2024 Servicing Total rights owned Subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 364,441,567 $ — $ 364,441,567 Purchased 17,051,740 — 17,051,740 381,493,307 — 381,493,307 PennyMac Mortgage Investment Trust — 230,819,012 230,819,012 Loans held for sale 5,111,719 — 5,111,719 $ 386,605,026 $ 230,819,012 $ 617,424,038 Delinquent loans: 30 days $ 9,940,684 $ 1,607,081 $ 11,547,765 60 days 2,738,951 370,879 3,109,830 90 days or more: Not in foreclosure 6,426,292 875,189 7,301,481 In foreclosure 692,930 111,713 804,643 Foreclosed 9,652 4,482 14,134 $ 19,808,509 $ 2,969,344 $ 22,777,853 Loans in bankruptcy $ 1,583,758 $ 215,218 $ 1,798,976 Custodial funds managed by the Company (1) $ 5,429,348 $ 2,468,707 $ 7,898,055 (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, 2023 Servicing Total rights owned Subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 352,790,614 $ — $ 352,790,614 Purchased 17,478,397 — 17,478,397 370,269,011 — 370,269,011 PennyMac Mortgage Investment Trust — 232,653,069 232,653,069 Loans held for sale 4,294,689 — 4,294,689 $ 374,563,700 $ 232,653,069 $ 607,216,769 Delinquent loans: 30 days $ 11,097,929 $ 1,808,516 $ 12,906,445 60 days 3,316,494 399,786 3,716,280 90 days or more: Not in foreclosure 6,941,325 1,031,299 7,972,624 In foreclosure 686,359 92,618 778,977 Foreclosed 8,133 4,295 12,428 $ 22,050,240 $ 3,336,514 $ 25,386,754 Loans in bankruptcy $ 1,523,218 $ 186,593 $ 1,709,811 Custodial funds managed by the Company $ 3,741,978 $ 1,759,974 $ 5,501,952 (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: March 31, December 31, State 2024 2023 (in thousands) California $ 73,344,855 $ 72,788,272 Florida 59,174,541 57,824,310 Texas 58,318,589 56,437,082 Virginia 35,562,555 35,376,266 Maryland 26,865,117 26,746,355 All other states 364,158,381 358,044,484 $ 617,424,038 $ 607,216,769 |
Fair Value
Fair Value | 3 Months Ended |
Mar. 31, 2024 | |
Fair Value. | |
Fair Value | Note 7—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: March 31, 2024 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investment $ 69 $ — $ — $ 69 Principal-only mortgage-backed securities — 524,576 — 524,576 Loans held for sale — 4,733,958 466,392 5,200,350 Derivative assets: Interest rate lock commitments — — 74,545 74,545 Forward purchase contracts — 21,887 — 21,887 Forward sales contracts — 18,622 — 18,622 MBS put options — 1,970 — 1,970 Put options on interest rate futures purchase contracts 25,353 — — 25,353 Call options on interest rate futures purchase contracts 3,301 — — 3,301 Total derivative assets before netting 28,654 42,479 74,545 145,678 Netting — — — (36,691) Total derivative assets 28,654 42,479 74,545 108,987 Mortgage servicing rights — — 7,483,210 7,483,210 Investment in PennyMac Mortgage Investment Trust 1,101 — — 1,101 $ 29,824 $ 5,301,013 $ 8,024,147 $ 13,318,293 Liabilities: Derivative liabilities: Interest rate lock commitments $ — $ — $ 4,737 $ 4,737 Forward purchase contracts — 6,049 — 6,049 Forward sales contracts — 35,649 — 35,649 Total derivative liabilities before netting — 41,698 4,737 46,435 Netting — — — (5,651) Total derivative liabilities — 41,698 4,737 40,784 Mortgage servicing liabilities — — 1,732 1,732 $ — $ 41,698 $ 6,469 $ 42,516 December 31, 2023 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investment $ 10,268 $ — $ — $ 10,268 Loans held for sale — 3,942,127 478,564 4,420,691 Derivative assets: Interest rate lock commitments — — 90,313 90,313 Forward purchase contracts — 78,448 — 78,448 Forward sales contracts — 6,151 — 6,151 MBS put options — 413 — 413 MBS call options — 6,265 — 6,265 Put options on interest rate futures purchase contracts 11,043 — — 11,043 Call options on interest rate futures purchase contracts 66,176 — — 66,176 Total derivative assets before netting 77,219 91,277 90,313 258,809 Netting — — — (79,730) Total derivative assets 77,219 91,277 90,313 179,079 Mortgage servicing rights — — 7,099,348 7,099,348 Investment in PennyMac Mortgage Investment Trust 1,121 — — 1,121 $ 88,608 $ 4,033,404 $ 7,668,225 $ 11,710,507 Liabilities: Derivative liabilities: Interest rate lock commitments $ — $ — $ 720 $ 720 Forward purchase contracts — 5,141 — 5,141 Forward sales contracts — 92,796 — 92,796 Call options on interest rate futures sales contracts 3,209 — — 3,209 Total derivative liabilities before netting 3,209 97,937 720 101,866 Netting — — — (48,591) Total derivative liabilities 3,209 97,937 720 53,275 Mortgage servicing liabilities — — 1,805 1,805 $ 3,209 $ 97,937 $ 2,525 $ 55,080 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 quarter presented: Quarter ended March 31, 2024 Net interest Mortgage Loans held rate lock servicing Assets for sale commitments (1) rights Total (in thousands) Balance, December 31, 2023 $ 478,564 $ 89,593 $ 7,099,348 $ 7,667,505 Purchases and issuances, net 905,860 100,271 — 1,006,131 Capitalization of interest and servicing advances 11,226 — — 11,226 Sales and repayments (383,999) — — (383,999) Mortgage servicing rights resulting from loan sales — — 412,520 412,520 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 17,142 — — 17,142 Other factors (572) 11,524 (28,658) (17,706) 16,570 11,524 (28,658) (564) Transfers from Level 3 to Level 2 (561,829) — — (561,829) Transfers to loans held for sale — (131,580) — (131,580) Balance, March 31, 2024 $ 466,392 $ 69,808 $ 7,483,210 $ 8,019,410 Changes in fair value recognized during the quarter relating to assets still held at March 31, 2024 $ 19,043 $ 69,808 $ (28,658) $ 60,193 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended Liabilities March 31, 2024 (in thousands) Mortgage servicing liabilities: Balance, December 31, 2023 $ 1,805 Changes in fair value included in income (73) Balance, March 31, 2024 $ 1,732 Changes in fair value recognized during the quarter relating to liabilities still outstanding at March 31, 2024 $ (73) Quarter ended March 31, 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 437,650 62,508 — 500,158 Capitalization of interest and servicing advances 7,655 — — 7,655 Sales and repayments (122,858) — (232) (123,090) Mortgage servicing rights resulting from loan sales — — 286,533 286,533 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 9,543 — — 9,543 Other factors 793 72,412 (236,532) (163,327) 10,336 72,412 (236,532) (153,784) Transfers: From Level 3 to Level 2 (365,714) — — (365,714) To real estate acquired in settlement of loans (52) — — (52) To loans held for sale — (101,918) — (101,918) Balance, March 31, 2023 $ 312,789 $ 58,846 $ 6,003,390 $ 6,375,025 Changes in fair value recognized during the quarter relating to assets still held at March 31, 2023 $ 8,413 $ 58,846 $ (236,532) $ (169,273) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Liabilities Quarter ended March 31, 2023 (in thousands) Mortgage servicing liabilities: Balance, December 31, 2022 $ 2,096 Changes in fair value included in income (85) Balance, March 31, 2023 $ 2,011 Changes in fair value recognized during the quarter relating to liabilities still outstanding at March 31, 2023 $ (85) 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 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: 2024 2023 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: Principal-only stripped mortgage-backed securities $ — $ (311) $ (311) $ — $ — $ — Loans held for sale 129,329 — 129,329 165,947 — 165,947 Mortgage servicing rights — (28,658) (28,658) — (236,532) (236,532) $ 129,329 $ (28,969) $ 100,360 $ 165,947 $ (236,532) $ (70,585) Liabilities: Mortgage servicing liabilities $ — $ 73 $ 73 $ — $ 85 $ 85 Following are the fair value and related principal amounts due upon maturity of loans held for sale: March 31, 2024 December 31, 2023 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 $ 5,162,089 $ 5,062,370 $ 99,719 $ 4,378,042 $ 4,233,764 $ 144,278 90 days or more delinquent: Not in foreclosure 32,071 35,496 (3,425) 35,253 38,922 (3,669) In foreclosure 6,190 13,853 (7,663) 7,396 22,003 (14,607) $ 5,200,350 $ 5,111,719 $ 88,631 $ 4,420,691 $ 4,294,689 $ 126,002 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) March 31, 2024 $ — $ — $ 2,473 $ 2,473 December 31, 2023 $ — $ — $ 2,669 $ 2,669 The following table summarizes the losses recognized on assets when they were remeasured at fair value on a nonrecurring basis: Quarter ended March 31, 2024 2023 (in thousands) Real estate acquired in settlement of loans $ (1,210) $ (558) 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 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 March 31, 2024 December 31, 2023 Fair value Carrying value Fair value Carrying value (in thousands) Term notes and term loans $ 1,736,738 $ 1,722,656 $ 1,730,000 $ 1,724,290 Unsecured senior notes $ 2,472,415 $ 2,521,031 $ 2,467,750 $ 2,519,651 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 and 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: Principal-Only Stripped Mortgage-Backed Securities The Company categorizes principal-only stripped securities as “Level 2” fair value financial instruments. Fair values of these securities are established based on quoted market prices for these or similar securities. 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 from a Ginnie Mae security 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 a payment deferral program 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 second lien 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: March 31, 2024 December 31, 2023 Fair value (in thousands) $ 466,392 $ 478,564 Key inputs (1): Discount rate: Range 6.7% – 10.2% 7.1% – 10.2% Weighted average 7.4% 7.2% Twelve-month projected housing price index change: Range 1.8% – 1.9% 0.3% – 0.5% Weighted average 1.8% 0.5% Voluntary prepayment/resale speed (2): Range 6.2% – 38.9% 4.0% – 36.9% Weighted average 25.9% 24.8% Total prepayment/resale speed (3): Range 6.3% – 47.3% 4.0% – 50.3% Weighted average 29.3% 32.2% (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 components 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: March 31, 2024 December 31, 2023 Fair value (in thousands) (1) $ 69,808 $ 89,593 Committed amount (in thousands) $ 7,270,122 $ 6,349,628 Key inputs Pull-through rate: Range 19.6% – 100% 10.2% – 100% Weighted average 79.1% 81.1% Mortgage servicing rights fair value expressed as: Servicing fee multiple: Range 1.1 – 7.8 1.1 – 7.3 Weighted average 4.4 4.2 Percentage of loan commitment amount: Range 0.3% – 4.3% 0.3% – 4.3% Weighted average 2.1% 1.9% (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 March 31, 2024 2023 (Amount recognized and unpaid principal balance of underlying loans in thousands) MSR and pool characteristics: Amount recognized $ 412,520 $ 286,533 Unpaid principal balance of underlying loans $ 19,484,815 $ 13,695,364 Weighted average servicing fee rate (in basis points) 44 50 Key inputs (1): Annual total prepayment speed (2): Range 7.9% – 15.9% 9.2% – 23.2% Weighted average 11.0% 11.7% Equivalent average life (in years): Range 3.5 – 9.3 3.0 – 8.4 Weighted average 7.5 7.3 Pricing spread (3): Range 5.5% – 12.6% 5.5% – 11.7% Weighted average 6.3% 7.7% Per-loan annual cost of servicing: Range $71 – $127 $68 – $125 Weighted average $99 $103 (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 a derived United State Treasury Securities (“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: March 31, 2024 December 31, 2023 (Fair value, unpaid principal balance of underlying loans and effect on fair value amounts in thousands) Fair value $ 7,483,210 $ 7,099,348 Pool characteristics: Unpaid principal balance of underlying mortgage loans $ 381,470,663 $ 370,244,119 Weighted average note interest rate 4.2% 4.1% Weighted average servicing fee rate (in basis points) 38 38 Key inputs (1): Annual total prepayment speed (2): Range 6.0% – 17.6% 6.1% – 17.8% Weighted average 7.9% 8.3% Equivalent average life (in years): Range 3.0 – 9.0 3.0 – 9.0 Weighted average 8.2 8.1 Effect on fair value of (3): 5% adverse change ($110,071) ($107,757) 10% adverse change ($216,317) ($211,643) 20% adverse change ($418,132) ($408,638) Pricing spread (4): Range 5.5% – 12.6% 5.5% – 12.6% Weighted average 6.4% 6.4% Effect on fair value of (3): 5% adverse change ($98,475) ($94,307) 10% adverse change ($194,382) ($186,129) 20% adverse change ($378,857) ($362,671) Per-loan annual cost of servicing: Range $70 – $132 $70 – $135 Weighted average $107 $107 Effect on fair value of (3): 5% adverse change ($45,114) ($44,572) 10% adverse change ($90,228) ($89,145) 20% adverse change ($180,457) ($178,289) (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 a derived Treasury yield curve for purposes of discounting cash flows relating to MSRs. Mortgage Servicing Liabilities MSLs are categorized as “Level 3” fair value liabilities. The Company uses a discounted cash flow approach to estimate the fair value of MSLs. The key inputs used in the estimation of the fair value of MSLs include the applicable annual total prepayment speed, pricing spread, and the per-loan annual cost of servicing the underlying loans. Changes in the fair value of MSLs are included in Net servicing fees Change in fair value of mortgage servicing rights and mortgage servicing liabilities Following are the key inputs used in determining the fair value of MSLs: March 31, December 31, 2024 2023 Fair value (in thousands) $ 1,732 $ 1,805 Pool characteristics: Unpaid principal balance of underlying loans (in thousands) $ 22,644 $ 24,892 Servicing fee rate (in basis points) 25 25 Key inputs (1): Annual total prepayment speed (2) 15.9% 16.1% Pricing spread (3) 8.5% 8.3% Equivalent average life (in years) 5.1 5.1 Per-loan annual cost of servicing $ 992 $ 1,043 (1) Weighted average inputs are based on UPB of the underlying mortgage loans. (2) Annual total prepayment speed is measured using life total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information. (3) The Company applies a pricing spread to a derived Treasury yield curve for purposes of discounting cash flows relating to MSLs. |
Mortgage-Backed Securities
Mortgage-Backed Securities | 3 Months Ended |
Mar. 31, 2024 | |
Mortgage-Backed Securities | |
Mortgage-Backed Securities | Note 8—Mortgage-Backed Securities During the quarter ended March 31, 2024, the Company began to invest in Agency principal-only stripped MBS for the purpose of hedging the fair value of its MSRs. MBS are carried at fair value with changes in fair value recognized in current period income. Changes in fair value arising from accrual of unearned discounts are recognized using the interest method and are included in Interest income Mortgage servicing rights hedging results Following is a summary of the Company’s investment in principal-only stripped MBS: March 31, 2024 (in thousands) Principal balance $ 654,884 Unearned discounts (129,997) Cumulative valuation changes (311) Fair value $ 524,576 |
Loans Held for Sale at Fair Val
Loans Held for Sale at Fair Value | 3 Months Ended |
Mar. 31, 2024 | |
Loans Held for Sale at Fair Value | |
Loans Held for Sale at Fair Value | Note 9—Loans Held for Sale at Fair Value Loans held for sale at fair value include the following: March 31, December 31, Loan type 2024 2023 (in thousands) Government-insured or guaranteed $ 2,517,566 $ 2,099,135 Conventional conforming 2,158,242 1,821,085 Jumbo 58,150 21,907 Closed-end second lien mortgage loans 230,639 322,015 Purchased from Ginnie Mae securities serviced by the Company 222,286 146,585 Repurchased pursuant to representations and warranties 13,467 9,964 $ 5,200,350 $ 4,420,691 Fair value of loans pledged to secure: Assets sold under agreements to repurchase $ 4,741,330 $ 3,858,977 Mortgage loan participation purchase and sale agreements 385,804 470,524 $ 5,127,134 $ 4,329,501 |
Derivative Financial Instrument
Derivative Financial Instruments | 3 Months Ended |
Mar. 31, 2024 | |
Derivative Financial Instruments | |
Derivative Financial Instruments | Note 10—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: March 31, 2024 December 31, 2023 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 7,270,122 $ 74,545 $ 4,737 6,349,628 $ 90,313 $ 720 Subject to master netting arrangements (2): Forward purchase contracts 14,624,053 21,887 6,049 15,863,667 78,448 5,141 Forward sales contracts 17,168,191 18,622 35,649 14,477,159 6,151 92,796 MBS put options 2,700,000 1,970 — 2,925,000 413 — MBS call options — — — 1,000,000 6,265 — Put options on interest rate futures purchase contracts 8,917,500 25,353 — 8,717,500 11,043 — Call options on interest rate futures purchase contracts 1,625,000 3,301 — 4,250,000 66,176 3,209 Treasury futures purchase contracts 8,068,300 — — 5,986,500 — — Treasury futures sale contracts 9,408,000 — — 10,677,000 — — Total derivatives before netting 145,678 46,435 258,809 101,866 Netting (36,691) (5,651) (79,730) (48,591) $ 108,987 $ 40,784 $ 179,079 $ 53,275 Deposits received from derivative counterparties included in the derivative balances above, net $ (31,040) $ (31,139) (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. March 31, 2024 December 31, 2023 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 $ 74,545 $ — $ — $ 74,545 $ 90,313 $ — $ — $ 90,313 RJ O' Brien 28,654 — — 28,654 74,010 — — 74,010 Citibank, N.A. 3,476 — — 3,476 2,947 — — 2,947 Goldman Sachs — — — — 8,473 — — 8,473 Mizuho Securities — — — — 1,467 — — 1,467 Others 2,312 — — 2,312 1,869 — — 1,869 $ 108,987 $ — $ — $ 108,987 $ 179,079 $ — $ — $ 179,079 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. March 31, 2024 December 31, 2023 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 $ 4,737 $ — $ — $ 4,737 $ 720 $ — $ — $ 720 Atlas Securitized Products, L.P. 1,203,385 (1,203,385) — — 1,210,473 (1,210,473) — — Bank of America, N.A. 1,087,182 (1,086,753) — 429 875,766 (872,148) — 3,618 Royal Bank of Canada 666,511 (666,511) — — 457,743 (457,743) — — Wells Fargo Bank, N.A. 443,386 (416,035) — 27,351 116,275 (114,647) — 1,628 JPMorgan Chase Bank, N.A. 412,478 (412,448) — 30 243,225 (243,225) — — BNP Paribas 322,871 (322,871) — — 185,425 (185,425) — — Goldman Sachs 299,387 (299,205) — 182 178,751 (178,751) — — Citibank, N.A. 293,885 (293,885) — — 174,221 (174,221) — — Morgan Stanley Bank, N.A. 227,757 (223,410) — 4,347 195,714 (164,149) — 31,565 Barclays Capital 197,489 (196,316) — 1,173 128,488 (118,667) — 9,821 Santander US Capital Markets LLC 195,541 (195,307) — 234 — — — — Nomura Corporate Funding Americas 125,036 (125,000) — 36 50,000 (50,000) — — Athene Annuity & Life Assurance Company 661 — — 661 2,111 — — 2,111 Federal National Mortgage Association 189 — — 189 1,337 — — 1,337 Others 1,415 — — 1,415 2,475 — — 2,475 $ 5,481,910 $ (5,441,126) $ — $ 40,784 $ 3,822,724 $ (3,769,449) $ — $ 53,275 (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 March 31, Derivative activity Consolidated income statement line 2024 2023 (in thousands) Interest rate lock commitments Net gains on loans held for sale at fair value (1) $ (19,786) $ 33,002 Hedged item: Interest rate lock commitments and Net gains on loans held for sale at fair value $ 52,237 $ (94,798) Mortgage servicing rights Net loan servicing fees–Mortgage servicing rights hedging results $ (294,334) $ 47,227 (1) Represents net change in fair value of IRLCs from the beginning to the end of the quarter. Amounts recognized at the date of commitment and fair value changes recognized during the quarter until purchase of the underlying loans or the cancellation of the commitment are shown in the rollforward of IRLCs for the quarter in Note 7 – 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 | 3 Months Ended |
Mar. 31, 2024 | |
Mortgage Servicing Rights and Mortgage Servicing Liabilities | |
Mortgage Servicing Rights and Mortgage Servicing Liabilities | Note 11—Mortgage Servicing Rights and Mortgage Servicing Liabilities Mortgage Servicing Rights at Fair Value The activity in MSRs is as follows: Quarter ended March 31, 2024 2023 (in thousands) Balance at beginning of quarter $ 7,099,348 $ 5,953,621 Additions (deductions): MSRs resulting from loan sales 412,520 286,533 Transfer of mortgage servicing rights relating to delinquent loans to Agency — (232) 412,520 286,301 Change in fair value due to: Changes in inputs used in valuation model (1) 169,952 (90,279) Other changes in fair value (2) (198,610) (146,253) Total change in fair value (28,658) (236,532) Balance at end of quarter $ 7,483,210 $ 6,003,390 Unpaid principal balance of underlying loans at end of quarter $ 381,470,663 $ 321,263,982 March 31, December 31, 2024 2023 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 7,406,892 $ 7,033,892 (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 March 31, 2024 2023 (in thousands) Balance at beginning of quarter $ 1,805 $ 2,096 Changes in fair value due to: Changes in inputs used in valuation model (1) (27) (15) Other changes in fair value (2) (46) (70) Total change in fair value (73) (85) Balance at end of quarter $ 1,732 $ 2,011 Unpaid principal balance of underlying loans at end of quarter $ 22,644 $ 28,380 (1) Principally reflects changes in annual total prepayment speed and per loan annual cost of servicing. (2) Represents changes due to realization of cash flows. Contractual servicing fees relating to MSRs and MSLs are recorded in Net loan servicing fees—Loan servicing fees—From non-affiliates Net loan servicing fees—Loan servicing fees—Other Quarter ended March 31, 2024 2023 (in thousands) Contractual servicing fees $ 358,026 $ 290,697 Other fees: Late charges 17,609 12,601 Other 2,640 2,181 $ 378,275 $ 305,479 |
Other Assets
Other Assets | 3 Months Ended |
Mar. 31, 2024 | |
Other Asset | |
Other Assets | Note 12—Other Assets Other March 31, December 31, 2024 2023 (in thousands) Margin deposits $ 154,321 $ 135,645 Capitalized software, net 140,419 148,736 Operating lease right-of-use assets 46,490 49,926 Servicing fees receivable, net 34,312 37,271 Other servicing receivables 45,280 30,530 Interest receivable 39,837 35,196 Prepaid expenses 35,325 36,044 Real estate acquired in settlement of loans 18,195 14,982 Furniture, fixtures, equipment and building improvements, net 17,951 19,016 Deposits securing Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets 16,175 15,653 Other 75,063 59,461 $ 623,368 $ 582,460 Deposits securing Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 16,175 $ 15,653 |
Leases
Leases | 3 Months Ended |
Mar. 31, 2024 | |
Leases | |
Leases | Note 13—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 seven 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 March 31, 2024 2023 (dollars in thousands) Lease expense: Operating leases $ 4,031 $ 4,949 Short-term leases 84 163 Sublease income (425) (96) Net lease expense included in Occupancy and equipment $ 3,690 $ 5,016 Other information: Payments for operating leases $ 4,974 $ 5,696 Operating lease right-of-use assets recognized $ — $ 1,727 Quarter end weighted averages: Remaining lease term (in years) 4.1 4.6 Discount rate 3.8% 3.8% Lease payments attributable to the Company’s operating lease liabilities are summarized below: Twelve months ended March 31, Operating leases (in thousands) 2025 $ 19,540 2026 18,635 2027 13,385 2028 5,791 2029 5,009 Thereafter 5,791 Total lease payments 68,151 Less imputed interest (6,487) Operating lease liability included in Accounts payable and accrued expenses $ 61,664 |
Short-Term Debt
Short-Term Debt | 3 Months Ended |
Mar. 31, 2024 | |
Short-Term Debt | |
Short-Term Debt | Note 14—Short-Term Debt The borrowing facilities described throughout these Notes 14 and 15 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 March 31, 2024. 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 principal-only stripped mortgage-backed securities at fair value, 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 March 31, 2024 2023 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ 3,542,537 $ 3,508,262 Weighted average interest rate (1) 7.24% 6.54% Total interest expense $ 70,435 $ 59,223 Maximum daily amount outstanding $ 5,442,438 $ 5,768,570 (1) Excludes the effect of amortization of debt issuance costs and utilization fees of $6.7 million and $2.6 million for the quarters ended March 31, 2024 and 2023, respectively. March 31, December 31, 2024 2023 (dollars in thousands) Carrying value: Unpaid principal balance $ 5,441,126 $ 3,769,449 Unamortized debt issuance costs (5,772) (5,493) $ 5,435,354 $ 3,763,956 Weighted average interest rate 6.92% 7.05% Available borrowing capacity (1): Committed $ 712,341 $ 1,282,040 Uncommitted 4,838,453 5,548,511 $ 5,550,794 $ 6,830,551 Assets securing repurchase agreements: Principal-only stripped MBS $ 524,576 — Loans held for sale $ 4,741,330 $ 3,858,977 Servicing advances (2) $ 271,947 $ 354,831 Mortgage servicing rights (2) $ 6,533,305 $ 6,284,239 Deposits (2) $ 16,175 $ 15,653 (1) 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. (2) Beneficial interests in the Ginnie Mae MSRs, Fannie Mae MSRs, servicing advances and deposits together serve as the collateral backing servicing asset financing 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 15 — Long-Term Debt - Notes payable secured by mortgage servicing assets. Remaining maturity at March 31, 2024 (1) Unpaid principal balance (dollars in thousands) Within 30 days $ 1,291,192 Over 30 to 90 days 3,225,500 Over 90 to 180 days 139,760 Over 180 days to one year 210,923 Over one year to two years 573,751 Total assets sold under agreements to repurchase $ 5,441,126 Weighted average maturity (in months) 3.5 (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 March 31, 2024: Loans held for sale and MSRs 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) $ 4,537,873 March 13, 2025 June 27, 2025 Atlas Securitized Products, L.P. $ 121,197 September 10, 2024 June 27, 2025 Bank of America, N.A. $ 73,125 April 28, 2024 June 12, 2025 Barclays Bank PLC $ 30,560 August 1, 2024 March 6, 2026 Royal Bank of Canada $ 29,023 April 28, 2024 February 12, 2025 JP Morgan Chase Bank, N.A. $ 21,732 July 20, 2024 June 9, 2025 BNP Paribas $ 13,954 June 15, 2024 September 30, 2025 Goldman Sachs Bank USA $ 12,362 July 16, 2024 December 8, 2025 Wells Fargo Bank, N.A. $ 11,917 June 11, 2024 May 3, 2025 Morgan Stanley Bank, N.A. $ 11,023 June 18, 2024 February 6, 2026 Citibank, N.A. $ 7,661 June 4, 2024 June 27, 2025 (1) The amount at risk includes the beneficial interests in Ginnie Mae MSRs, Fannie 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 . Principal-only stripped MBS Counterparty Amount at risk Maturity (in thousands) Wells Fargo Bank, N.A. $ 11,838 April 26, 2024 JP Morgan Chase Bank, N.A. $ 11,546 April 26, 2024 Santander US Capital Markets LLC $ 8,968 April 30, 2024 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 securitization of the mortgage loans and sale of the resulting securities. A commitment to sell the securities resulting from the pending securitization between the Company and a non-affiliate is also assigned to the lender at the time a participation certificate is sold. The purchase price paid by the lender for each participation certificate is based on the trade price of the security, plus an amount of interest expected to accrue on the security to its anticipated delivery date, minus a present value adjustment, any related hedging costs and a holdback amount that is based on a percentage of the purchase price. The holdback amount is not required to be paid to the Company until the settlement of the security and its delivery to the lender. The mortgage loan participation purchase and sale agreements are summarized below: Quarter ended March 31, 2024 2023 Average balance $ 234,874 $ 184,193 Weighted average interest rate (1) 6.69% 6.06% Total interest expense $ 4,077 $ 2,923 Maximum daily amount outstanding $ 515,990 $ 515,537 (1) Excludes the effect of amortization of debt issuance costs totaling $172,000 for the quarters ended March 31, 2024 and 2023. March 31, December 31, 2024 2023 (dollars in thousands) Carrying value: Unpaid principal balance $ 363,978 $ 446,406 Unamortized debt issuance costs (180) (352) $ 363,798 $ 446,054 Weighted average interest rate 6.58% 6.60% Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements $ 385,804 $ 470,524 |
Long-Term Debt
Long-Term Debt | 3 Months Ended |
Mar. 31, 2024 | |
Long-Term Debt. | |
Long-Term Debt | Note 15—Long-Term Debt Notes Payable Secured by Mortgage Servicing Assets Term Notes and Term Loans The Company, through its wholly-owned subsidiaries PNMAC, PLS 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 variable funding notes 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: June 3, 2022 $ 500,000 4.25% 5/25/2027 5/25/2029 February 29, 2024 425,000 3.20% 3/26/2029 3/25/2031 Term Loans: February 28, 2023 680,000 3.00% 2/25/2028 2/25/2029 October 25, 2023 125,000 3.00% 10/25/2028 $ 1,730,000 (1) Interest is charged at a rate of SOFR plus a spread. (2) The Term Notes and Term Loans’ indentures provide the Company with the option to extend the maturity of certain of the Term Notes or Term Loans as specified in the respective agreements. 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 of 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 March 31, 2024 2023 (dollars in thousands) Average balance $ 1,950,330 $ 2,092,056 Weighted average interest rate (1) 8.92% 7.72% Total interest expense $ 44,006 $ 40,778 (1) Excludes the effect of amortization of debt issuance costs totaling $750,000 and $932,000 for the quarters ended March 31, 2024 and 2023, respectively. March 31, December 31, 2024 2023 (dollars in thousands) Carrying value: Unpaid principal balance: Term Notes and Term Loans $ 1,730,000 $ 1,730,000 Freddie Mac MSR Note Payable 250,000 150,000 1,980,000 1,880,000 Unamortized debt issuance costs (7,980) (6,585) $ 1,972,020 $ 1,873,415 Weighted average interest rate 8.69% 8.82% Assets pledged to secure notes payable (1): Servicing advances $ 271,947 $ 354,831 Mortgage servicing rights $ 7,406,892 $ 7,033,892 Deposits $ 16,175 $ 15,653 (1) Beneficial interests in the Ginnie Mae MSRs, Fannie Mae MSRs, servicing advances and deposits together serve as the collateral backing servicing asset facilities that include 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 5.375% October 15, 2025 October 15, 2022 October 19, 2020 150,000 5.375% 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 December 11, 2023 750,000 7.875% December 15, 2029 December 15, 2026 $ 2,550,000 (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 March 31, 2024 2023 (dollars in thousands) Average balance $ 2,550,000 $ 1,800,000 Weighted average interest rate (1) 5.90% 5.07% Total interest expense $ 38,832 $ 23,428 (1) Excludes the effect of amortization of debt issuance costs of $1.4 million and $913,000 for the quarters ended March 31, 2024 and 2023, respectively. March 31, December 31, 2024 2023 (dollars in thousands) Carrying value: Unpaid principal balance $ 2,550,000 $ 2,550,000 Unamortized debt issuance costs and premiums, net (28,969) (30,349) $ 2,521,031 $ 2,519,651 Weighted average interest rate 5.90% 5.90% Maturities of Long-Term Debt Maturities of long-term debt (based on stated maturity dates) are as follows: Twelve months ended March 31, 2025 2026 2027 2028 2029 Thereafter Total (in thousands) Notes payable secured by mortgage servicing assets (1) $ 250,000 $ — $ — $ 1,180,000 $ 550,000 $ — $ 1,980,000 Unsecured senior notes — 650,000 — — 650,000 1,250,000 2,550,000 Total $ 250,000 $ 650,000 $ — $ 1,180,000 $ 1,200,000 $ 1,250,000 $ 4,530,000 (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. |
Liability for Losses Under Repr
Liability for Losses Under Representations and Warranties | 3 Months Ended |
Mar. 31, 2024 | |
Liability for Losses Under Representations and Warranties | |
Liability for Losses Under Representations and Warranties | Note 16—Liability for Losses Under Representations and Warranties Following is a summary of the Company’s liability for losses under representations and warranties: Quarter ended March 31, 2024 2023 (in thousands) Balance at beginning of quarter $ 30,788 $ 32,421 Provision for losses: Resulting from sales of loans 3,952 1,735 Resulting from change in estimate (3,320) (1,445) Losses incurred (1,444) (1,608) Balance at end of quarter $ 29,976 $ 31,103 Unpaid principal balance of loans subject to representations and warranties at end of quarter $ 366,147,661 $ 303,983,805 |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2024 | |
Income Taxes | |
Income Taxes | Note 17—Income Taxes The Company’s effective income tax rates were 10.4% and 20.4% for the quarters ended March 31, 2024 and 2023, respectively. The decrease in the effective income tax rate for the quarter ended March 31, 2024 when compared to the same period for 2023 was primarily due to a decrease in the permanent adjustment related to non-deductible compensation and an increase in excess tax benefits of options exercised and equity awards vested during the quarter. |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2024 | |
Commitments and Contingencies. | |
Commitments and Contingencies | Note 18—Commitments and Contingencies Commitments to Purchase and Fund Mortgage Loans The Company’s commitments to purchase and fund loans totaled $7.3 billion as of March 31, 2024. Legal 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 (“Black Knight”), now a wholly-owned subsidiary of Intercontinental Exchange, Inc. (NYSE: ICE), 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 (“PLS”), Case No. 2019-CA-007908, alleging breach of contract and misappropriation of MSP® System trade secrets. On November 6, 2019, PLS filed unlawful monopolization claims against Black Knight pursuant to the Sherman Act and Clayton Act seeking injunctive relief. On March 30, 2020, the Florida State Court granted a motion to compel arbitration filed by the Company, after which all claims of the Company and Black Knight were consolidated into a binding arbitration. On November 28, 2023, the arbitrator issued an interim award (the “Interim Award”) granting in part and denying in part Black Knight’s breach of contract claim. The arbitrator’s Interim Award also denied in full Black Knight’s claim of trade secrets misappropriation. The Interim Award granted Black Knight monetary damages in the amount of $155.2 million, plus prejudgment interest and reasonable attorneys’ fees, and it denied in full all of Black Knight’s claims for injunctive and declaratory relief. The Interim Award also granted PLS’ claim that Black Knight violated federal antitrust laws, specifically unlawful monopolization in violation of Section 2 of the Sherman Act, and granted PLS’ claim for injunctive relief under the Sherman Act and Clayton Act, as well as its reasonable attorneys’ fees and costs. The parties subsequently agreed not to seek attorneys’ fees or costs on any claims. As a result of the Interim Award, PLS’ loan servicing technology, known as Servicing Systems Environment, or SSE, and all related intellectual property and software developed by or on behalf of PLS, remain the proprietary technology of PLS, free and clear of any restrictions on use. To this end, the arbitrator expressly enjoined Black Knight from claiming ownership to any portion of SSE or preventing the Company from commercializing SSE. Black Knight is also enjoined from enforcing any of its contract clauses requiring that its clients process their loans exclusively on the MSP platform. On January 12, 2024, the arbitrator issued the final award (the “Final Award”), reducing Black Knight’s monetary damages to $150.2 million, plus interest. As a result of the Final Award, the Company reported a pretax expense accrual of $158.4 million in its financial results for the fourth quarter of fiscal year 2023 on February 1, 2024. On February 14, 2024, the Company paid in full and Black Knight accepted payment of all damages and accrued interest due under the Final Award. On March 15, 2024, the Florida State Court confirmed the Final Award, giving the rulings and remedies therein preclusive effect. |
Stockholders' Equity
Stockholders' Equity | 3 Months Ended |
Mar. 31, 2024 | |
Stockholders' Equity. | |
Stockholders' Equity | Note 19—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 March 31, Cumulative 2024 2023 total (1) (in thousands) Shares of common stock repurchased — 768 34,063 Cost of shares of common stock repurchased $ — $ 45,361 $ 1,788,198 (1) Amounts represent the total shares of common stock repurchased under the stock repurchase program from inception through March 31, 2024. Cumulative total cost of common stock repurchased includes $537,000 of transaction fees as of March 31, 2024. |
Net Gains on Loans Held for Sal
Net Gains on Loans Held for Sale | 3 Months Ended |
Mar. 31, 2024 | |
Net Gains on Loans Held for Sale | |
Net Gains on Loans Held for Sale | Note 20—Net Gains on Loans Held for Sale Net gains on loans held for sale at fair value are summarized below: Quarter ended March 31, 2024 2023 (in thousands) From non-affiliates: Cash losses: Loans $ (309,190) $ (55,386) Hedging activities 150,219 (216,138) (158,971) (271,524) Non-cash gains: Mortgage servicing rights resulting from loan sales 412,520 286,533 Provisions for losses relating to representations and warranties: Pursuant to loan sales (3,952) (1,735) Reductions in liability due to changes in estimate 3,320 1,445 Changes in fair values of loans and derivatives held at end of quarter: Interest rate lock commitments (19,786) 33,002 Loans 27,645 (64,191) Hedging derivatives (97,982) 121,340 162,794 104,870 From PennyMac Mortgage Investment Trust (1) (353) (485) $ 162,441 $ 104,385 (1) Gains on sales of loans to PMT are described in Note 4– Related Party Transactions – Transactions with PMT–Operating Activities. |
Net Interest Expense
Net Interest Expense | 3 Months Ended |
Mar. 31, 2024 | |
Net Interest Expense | |
Net Interest Expense | Note 21—Net Interest Expense Net interest expense is summarized below: Quarter ended March 31, 2024 2023 (in thousands) Interest income: Cash and short-term investments $ 14,582 $ 16,245 Principal-only stripped mortgage-backed securities 270 — Loans held for sale at fair value 65,421 60,993 Placement fees relating to custodial funds 76,133 51,219 From Townsgate Closing Services, LLC 20 21 156,426 128,478 Interest expense: Assets sold under agreements to repurchase 70,435 59,223 Mortgage loan participation purchase and sale agreements 4,077 2,923 Notes payable secured by mortgage servicing assets 44,006 40,778 Unsecured senior notes 38,832 23,428 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 6,121 3,210 Interest on mortgage loan impound deposits 1,987 1,967 Other 311 242 165,769 131,771 $ (9,343) $ (3,293) |
Stock-based Compensation
Stock-based Compensation | 3 Months Ended |
Mar. 31, 2024 | |
Stock-based Compensation | |
Stock-based Compensation | Note 22—Stock-based Compensation Following is a summary of the stock-based compensation activity: Quarter ended March 31, 2024 2023 (in thousands) Grants: Units: Performance-based restricted share units ("RSUs") 246 307 Stock options 188 221 Time-based RSUs 145 182 Grant date fair value: Performance-based RSUs $ 20,915 $ 18,611 Stock options 6,935 5,492 Time-based RSUs 12,333 11,041 Total $ 40,183 $ 35,144 Vestings and exercises: Performance-based RSUs vested 309 612 Stock options exercised 331 156 Time-based RSUs vested 209 245 Stock-based compensation expense $ 4,583 $ 11,650 |
Earnings Per Share
Earnings Per Share | 3 Months Ended |
Mar. 31, 2024 | |
Earnings Per Share | |
Earnings Per Share | Note 23—Earnings Per Share Basic earnings per share is determined by dividing net income by the weighted average number of shares of common stock outstanding during the quarter. Diluted earnings per share is determined by dividing net income by the weighted average number of shares of common stock outstanding, assuming all dilutive securities were issued. The Company’s potentially dilutive securities are stock-based compensation awards. The Company applies the treasury stock method to determine the diluted weighted average number of shares of common stock outstanding based on the outstanding stock-based compensation awards. The following table summarizes the basic and diluted earnings per share calculations: Quarter ended March 31, 2024 2023 (in thousands, except per share amounts) Net income $ 39,308 $ 30,378 Weighted average shares of common stock outstanding 50,547 50,154 Effect of dilutive securities - shares issuable under stock-based compensation plan 2,553 3,198 Weighted average diluted shares of common stock outstanding 53,100 53,352 Basic earnings per share $ 0.78 $ 0.61 Diluted earnings per share $ 0.74 $ 0.57 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 March 31, 2024 2023 (in thousands except for weighted average exercise price) Performance-based RSUs (1) 681 431 Time-based RSUs 51 72 Stock options (2) 66 348 Total anti-dilutive units and options 798 851 Weighted average exercise price of anti-dilutive stock options (2) $ 84.93 $ 58.21 (1) Certain performance-based RSUs were outstanding but not included in the computation of earnings per share because the performance thresholds included in such RSUs have not been achieved. (2) Certain stock options were outstanding but not included in the computation of diluted earnings per share because the weighted-average exercise prices were above the average stock prices for the quarter. |
Regulatory Capital and Liquidit
Regulatory Capital and Liquidity Requirements | 3 Months Ended |
Mar. 31, 2024 | |
Regulatory Capital and Liquidity Requirements | |
Regulatory Capital and Liquidity Requirements | Note 24—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 and loan origination volume. The Agencies’ capital and liquidity levels and requirements, the calculations of which are specified by each Agency, are summarized below: March 31, 2024 December 31, 2023 Requirement/Agency Actual (1) Requirement (1) Actual (1) Requirement (1) (dollars in thousands) Capital Fannie Mae & Freddie Mac $ 6,975,317 $ 1,245,241 $ 6,890,144 $ 1,211,365 Ginnie Mae (2) $ 6,587,372 $ 1,375,796 $ 6,559,001 $ 1,314,677 HUD $ 6,587,372 $ 2,500 $ 6,559,001 $ 2,500 Liquidity Fannie Mae & Freddie Mac $ 1,147,108 $ 564,427 $ 1,243,927 $ 543,913 Ginnie Mae $ 1,394,563 $ 406,799 $ 1,684,457 $ 389,501 Adjusted net worth / Total assets ratio Ginnie Mae 43 % 6 % 48 % 6 % Tangible net worth / Total assets ratio Fannie Mae & Freddie Mac 35 % 6 % 37 % 6 % (1) Calculated in accordance with the respective Agency’s requirements. (2) Ginnie Mae has issued a risk-based capital requirement that will become effective December 31, 2024. The Company believes it is in compliance with the Agency’s pending requirement as of March 31, 2024. 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 | 3 Months Ended |
Mar. 31, 2024 | |
Segments | |
Segments | Note 25—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 March 31, 2024 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on loans held for sale at fair value $ 141,431 $ 21,010 $ 162,441 $ — $ 162,441 Loan origination fees 36,371 — 36,371 — 36,371 Fulfillment fees from PennyMac Mortgage Investment Trust 4,016 — 4,016 — 4,016 Net loan servicing fees — 100,954 100,954 — 100,954 Net interest expense: Interest income 63,931 92,411 156,342 84 156,426 Interest expense 61,896 103,873 165,769 — 165,769 2,035 (11,462) (9,427) 84 (9,343) Management fees — — — 7,188 7,188 Other 818 1,096 1,914 2,119 4,033 Total net revenues 184,671 111,598 296,269 9,391 305,660 Expenses 148,779 106,662 255,441 6,336 261,777 Income before provision for income taxes $ 35,892 $ 4,936 $ 40,828 $ 3,055 $ 43,883 Segment assets at quarter end $ 5,413,277 $ 14,373,780 $ 19,787,057 $ 14,684 $ 19,801,741 (1) All revenues are from external customers. Quarter ended March 31, 2023 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on loans held for sale at fair value $ 74,726 $ 29,659 $ 104,385 $ — $ 104,385 Loan origination fees 31,390 — 31,390 — 31,390 Fulfillment fees from PennyMac Mortgage Investment Trust 11,923 — 11,923 — 11,923 Net loan servicing fees — 148,837 148,837 — 148,837 Net interest expense: Interest income 56,993 71,485 128,478 — 128,478 Interest expense 54,083 77,688 131,771 — 131,771 2,910 (6,203) (3,293) — (3,293) Management fees — — — 7,257 7,257 Other 574 (223) 351 2,012 2,363 Total net revenues 121,523 172,070 293,593 9,269 302,862 Expenses 141,163 114,623 255,786 8,929 264,715 Income before provision for income taxes $ (19,640) $ 57,447 $ 37,807 $ 340 $ 38,147 Segment assets at quarter end $ 7,543,466 $ 12,534,419 $ 20,077,885 $ 25,300 $ 20,103,185 (1) All revenues are from external customers. |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2024 | |
Subsequent Events | |
Subsequent Events | Note 26—Subsequent Events Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period: ● On April 24, 2024, the Company announced a cash dividend of $0.20 per common share. The dividend will be paid on May 24, 2024 to common stockholders of record as of May 14, 2024. ● 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 | 3 Months Ended |
Mar. 31, 2024 | |
Transactions with Affiliates | |
Summary of lending activity between the Company and affiliate | Quarter ended March 31, 2024 2023 (in thousands) Mortgage servicing rights recapture incurred included in Net gains on loans held for sale at fair value $ (353) $ (485) Tax service fees earned from PMT included in Loan origination fees $ 359 $ 1,410 Fulfillment fee revenue $ 4,016 $ 11,923 Unpaid principal balance of loans fulfilled for PMT subject to fulfillment fees $ 1,771,681 $ 6,628,810 Sourcing fees included in cost of loans purchased from PMT $ 1,605 $ 1,328 Unpaid principal balance of loans purchased from PMT: Government guaranteed or insured $ 7,856,925 $ 9,213,712 Conventional conforming 8,189,930 4,062,874 $ 16,046,855 $ 13,276,586 |
Summary of loan servicing fees earned from PMT | Quarter ended March 31, Loan type serviced 2024 2023 (in thousands) Prime servicing $ 20,200 $ 20,329 Special servicing 62 120 $ 20,262 $ 20,449 |
Summary of management fees earned | Quarter ended March 31, 2024 2023 (in thousands) Base management $ 7,188 $ 7,257 Performance incentive — — $ 7,188 $ 7,257 |
Summary of reimbursement of expenses | Quarter ended March 31, 2024 2023 (in thousands) Reimbursement of: Expenses incurred on PMT's behalf, net $ 6,414 $ 5,661 Common overhead incurred by the Company 1,944 1,821 Compensation 165 165 $ 8,523 $ 7,647 Payments and settlements during the quarter (1) $ 30,085 $ 32,384 (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 March 31, 2024 2023 (in thousands) Change in fair value of investment in and dividends received from PennyMac Mortgage Investment Trust $ 10 $ 26 March 31, December 31, 2024 2023 (in thousands) Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Fair value $ 1,101 $ 1,121 Number of shares 75 75 |
Summary of amounts due from and payable to affiliate | March 31, December 31, 2024 2023 (in thousands) Receivable from PMT: Allocated expenses and expenses incurred on PMT's behalf $ 8,194 $ 5,612 Correspondent production fees 7,368 8,288 Management fees 7,188 7,252 Servicing fees 6,730 6,809 Fulfillment fees 1,355 1,301 $ 30,835 $ 29,262 Payable to PMT: Amounts advanced by PMT to fund its servicing advances $ 127,992 $ 208,154 Other 1 56 $ 127,993 $ 208,210 |
Loan Sales and Servicing Acti_2
Loan Sales and Servicing Activities (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Loan Sales and Servicing Activities | |
Summary of cash flows between the Company and transferees upon sale of loans in transactions | Quarter ended March 31, 2024 2023 (in thousands) Cash flows: Sales proceeds $ 19,676,917 $ 13,385,341 Servicing fees received $ 336,248 $ 268,423 |
Summary of the allowance for losses | Quarter ended March 31, 2024 2023 (in thousands) Balance at beginning of quarter $ 73,991 $ 78,992 Reversals of provision for losses (1,541) (3,081) Charge-offs, net (5,123) (733) Balance at end of quarter $ 67,327 $ 75,178 |
Summary of sale of loans between the Company and transferees upon sale of loans in transactions | March 31, December 31, 2024 2023 (in thousands) Unpaid principal balance of loans outstanding $ 364,441,567 $ 352,790,614 Delinquent loans: 30-89 days $ 12,128,892 $ 13,775,493 90 days or more: Not in foreclosure $ 6,251,718 $ 6,754,282 In foreclosure $ 647,459 $ 618,694 Foreclosed $ 8,441 $ 7,565 Loans in bankruptcy $ 1,479,461 $ 1,415,614 |
Summary of servicing portfolio | March 31, 2024 Servicing Total rights owned Subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 364,441,567 $ — $ 364,441,567 Purchased 17,051,740 — 17,051,740 381,493,307 — 381,493,307 PennyMac Mortgage Investment Trust — 230,819,012 230,819,012 Loans held for sale 5,111,719 — 5,111,719 $ 386,605,026 $ 230,819,012 $ 617,424,038 Delinquent loans: 30 days $ 9,940,684 $ 1,607,081 $ 11,547,765 60 days 2,738,951 370,879 3,109,830 90 days or more: Not in foreclosure 6,426,292 875,189 7,301,481 In foreclosure 692,930 111,713 804,643 Foreclosed 9,652 4,482 14,134 $ 19,808,509 $ 2,969,344 $ 22,777,853 Loans in bankruptcy $ 1,583,758 $ 215,218 $ 1,798,976 Custodial funds managed by the Company (1) $ 5,429,348 $ 2,468,707 $ 7,898,055 (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, 2023 Servicing Total rights owned Subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 352,790,614 $ — $ 352,790,614 Purchased 17,478,397 — 17,478,397 370,269,011 — 370,269,011 PennyMac Mortgage Investment Trust — 232,653,069 232,653,069 Loans held for sale 4,294,689 — 4,294,689 $ 374,563,700 $ 232,653,069 $ 607,216,769 Delinquent loans: 30 days $ 11,097,929 $ 1,808,516 $ 12,906,445 60 days 3,316,494 399,786 3,716,280 90 days or more: Not in foreclosure 6,941,325 1,031,299 7,972,624 In foreclosure 686,359 92,618 778,977 Foreclosed 8,133 4,295 12,428 $ 22,050,240 $ 3,336,514 $ 25,386,754 Loans in bankruptcy $ 1,523,218 $ 186,593 $ 1,709,811 Custodial funds managed by the Company $ 3,741,978 $ 1,759,974 $ 5,501,952 (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) | March 31, December 31, State 2024 2023 (in thousands) California $ 73,344,855 $ 72,788,272 Florida 59,174,541 57,824,310 Texas 58,318,589 56,437,082 Virginia 35,562,555 35,376,266 Maryland 26,865,117 26,746,355 All other states 364,158,381 358,044,484 $ 617,424,038 $ 607,216,769 |
Fair Value (Tables)
Fair Value (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Fair Value | |
Summary of financial statement items measured at estimated fair value on a recurring basis | March 31, 2024 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investment $ 69 $ — $ — $ 69 Principal-only mortgage-backed securities — 524,576 — 524,576 Loans held for sale — 4,733,958 466,392 5,200,350 Derivative assets: Interest rate lock commitments — — 74,545 74,545 Forward purchase contracts — 21,887 — 21,887 Forward sales contracts — 18,622 — 18,622 MBS put options — 1,970 — 1,970 Put options on interest rate futures purchase contracts 25,353 — — 25,353 Call options on interest rate futures purchase contracts 3,301 — — 3,301 Total derivative assets before netting 28,654 42,479 74,545 145,678 Netting — — — (36,691) Total derivative assets 28,654 42,479 74,545 108,987 Mortgage servicing rights — — 7,483,210 7,483,210 Investment in PennyMac Mortgage Investment Trust 1,101 — — 1,101 $ 29,824 $ 5,301,013 $ 8,024,147 $ 13,318,293 Liabilities: Derivative liabilities: Interest rate lock commitments $ — $ — $ 4,737 $ 4,737 Forward purchase contracts — 6,049 — 6,049 Forward sales contracts — 35,649 — 35,649 Total derivative liabilities before netting — 41,698 4,737 46,435 Netting — — — (5,651) Total derivative liabilities — 41,698 4,737 40,784 Mortgage servicing liabilities — — 1,732 1,732 $ — $ 41,698 $ 6,469 $ 42,516 December 31, 2023 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investment $ 10,268 $ — $ — $ 10,268 Loans held for sale — 3,942,127 478,564 4,420,691 Derivative assets: Interest rate lock commitments — — 90,313 90,313 Forward purchase contracts — 78,448 — 78,448 Forward sales contracts — 6,151 — 6,151 MBS put options — 413 — 413 MBS call options — 6,265 — 6,265 Put options on interest rate futures purchase contracts 11,043 — — 11,043 Call options on interest rate futures purchase contracts 66,176 — — 66,176 Total derivative assets before netting 77,219 91,277 90,313 258,809 Netting — — — (79,730) Total derivative assets 77,219 91,277 90,313 179,079 Mortgage servicing rights — — 7,099,348 7,099,348 Investment in PennyMac Mortgage Investment Trust 1,121 — — 1,121 $ 88,608 $ 4,033,404 $ 7,668,225 $ 11,710,507 Liabilities: Derivative liabilities: Interest rate lock commitments $ — $ — $ 720 $ 720 Forward purchase contracts — 5,141 — 5,141 Forward sales contracts — 92,796 — 92,796 Call options on interest rate futures sales contracts 3,209 — — 3,209 Total derivative liabilities before netting 3,209 97,937 720 101,866 Netting — — — (48,591) Total derivative liabilities 3,209 97,937 720 53,275 Mortgage servicing liabilities — — 1,805 1,805 $ 3,209 $ 97,937 $ 2,525 $ 55,080 |
Summary of roll forward of items measured using Level 3 inputs on a recurring basis | Quarter ended March 31, 2024 Net interest Mortgage Loans held rate lock servicing Assets for sale commitments (1) rights Total (in thousands) Balance, December 31, 2023 $ 478,564 $ 89,593 $ 7,099,348 $ 7,667,505 Purchases and issuances, net 905,860 100,271 — 1,006,131 Capitalization of interest and servicing advances 11,226 — — 11,226 Sales and repayments (383,999) — — (383,999) Mortgage servicing rights resulting from loan sales — — 412,520 412,520 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 17,142 — — 17,142 Other factors (572) 11,524 (28,658) (17,706) 16,570 11,524 (28,658) (564) Transfers from Level 3 to Level 2 (561,829) — — (561,829) Transfers to loans held for sale — (131,580) — (131,580) Balance, March 31, 2024 $ 466,392 $ 69,808 $ 7,483,210 $ 8,019,410 Changes in fair value recognized during the quarter relating to assets still held at March 31, 2024 $ 19,043 $ 69,808 $ (28,658) $ 60,193 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended Liabilities March 31, 2024 (in thousands) Mortgage servicing liabilities: Balance, December 31, 2023 $ 1,805 Changes in fair value included in income (73) Balance, March 31, 2024 $ 1,732 Changes in fair value recognized during the quarter relating to liabilities still outstanding at March 31, 2024 $ (73) Quarter ended March 31, 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 437,650 62,508 — 500,158 Capitalization of interest and servicing advances 7,655 — — 7,655 Sales and repayments (122,858) — (232) (123,090) Mortgage servicing rights resulting from loan sales — — 286,533 286,533 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 9,543 — — 9,543 Other factors 793 72,412 (236,532) (163,327) 10,336 72,412 (236,532) (153,784) Transfers: From Level 3 to Level 2 (365,714) — — (365,714) To real estate acquired in settlement of loans (52) — — (52) To loans held for sale — (101,918) — (101,918) Balance, March 31, 2023 $ 312,789 $ 58,846 $ 6,003,390 $ 6,375,025 Changes in fair value recognized during the quarter relating to assets still held at March 31, 2023 $ 8,413 $ 58,846 $ (236,532) $ (169,273) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Liabilities Quarter ended March 31, 2023 (in thousands) Mortgage servicing liabilities: Balance, December 31, 2022 $ 2,096 Changes in fair value included in income (85) Balance, March 31, 2023 $ 2,011 Changes in fair value recognized during the quarter relating to liabilities still outstanding at March 31, 2023 $ (85) |
Summary of changes in fair value relating to financial statement items | 2024 2023 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: Principal-only stripped mortgage-backed securities $ — $ (311) $ (311) $ — $ — $ — Loans held for sale 129,329 — 129,329 165,947 — 165,947 Mortgage servicing rights — (28,658) (28,658) — (236,532) (236,532) $ 129,329 $ (28,969) $ 100,360 $ 165,947 $ (236,532) $ (70,585) Liabilities: Mortgage servicing liabilities $ — $ 73 $ 73 $ — $ 85 $ 85 |
Schedule of fair value and related principal amounts due upon maturity of assets and liabilities accounted for under the fair value option | March 31, 2024 December 31, 2023 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 $ 5,162,089 $ 5,062,370 $ 99,719 $ 4,378,042 $ 4,233,764 $ 144,278 90 days or more delinquent: Not in foreclosure 32,071 35,496 (3,425) 35,253 38,922 (3,669) In foreclosure 6,190 13,853 (7,663) 7,396 22,003 (14,607) $ 5,200,350 $ 5,111,719 $ 88,631 $ 4,420,691 $ 4,294,689 $ 126,002 |
Summary of financial statement items measured at estimated fair value on a nonrecurring basis | Real estate acquired in settlement of loans Level 1 Level 2 Level 3 Total (in thousands) March 31, 2024 $ — $ — $ 2,473 $ 2,473 December 31, 2023 $ — $ — $ 2,669 $ 2,669 |
Summary of total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | Quarter ended March 31, 2024 2023 (in thousands) Real estate acquired in settlement of loans $ (1,210) $ (558) |
Summary of carrying value and fair value of debt | March 31, 2024 December 31, 2023 Fair value Carrying value Fair value Carrying value (in thousands) Term notes and term loans $ 1,736,738 $ 1,722,656 $ 1,730,000 $ 1,724,290 Unsecured senior notes $ 2,472,415 $ 2,521,031 $ 2,467,750 $ 2,519,651 |
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 | March 31, 2024 December 31, 2023 (Fair value, unpaid principal balance of underlying loans and effect on fair value amounts in thousands) Fair value $ 7,483,210 $ 7,099,348 Pool characteristics: Unpaid principal balance of underlying mortgage loans $ 381,470,663 $ 370,244,119 Weighted average note interest rate 4.2% 4.1% Weighted average servicing fee rate (in basis points) 38 38 Key inputs (1): Annual total prepayment speed (2): Range 6.0% – 17.6% 6.1% – 17.8% Weighted average 7.9% 8.3% Equivalent average life (in years): Range 3.0 – 9.0 3.0 – 9.0 Weighted average 8.2 8.1 Effect on fair value of (3): 5% adverse change ($110,071) ($107,757) 10% adverse change ($216,317) ($211,643) 20% adverse change ($418,132) ($408,638) Pricing spread (4): Range 5.5% – 12.6% 5.5% – 12.6% Weighted average 6.4% 6.4% Effect on fair value of (3): 5% adverse change ($98,475) ($94,307) 10% adverse change ($194,382) ($186,129) 20% adverse change ($378,857) ($362,671) Per-loan annual cost of servicing: Range $70 – $132 $70 – $135 Weighted average $107 $107 Effect on fair value of (3): 5% adverse change ($45,114) ($44,572) 10% adverse change ($90,228) ($89,145) 20% adverse change ($180,457) ($178,289) (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 a derived 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 | March 31, December 31, 2024 2023 Fair value (in thousands) $ 1,732 $ 1,805 Pool characteristics: Unpaid principal balance of underlying loans (in thousands) $ 22,644 $ 24,892 Servicing fee rate (in basis points) 25 25 Key inputs (1): Annual total prepayment speed (2) 15.9% 16.1% Pricing spread (3) 8.5% 8.3% Equivalent average life (in years) 5.1 5.1 Per-loan annual cost of servicing $ 992 $ 1,043 (1) Weighted average inputs are based on UPB of the underlying mortgage loans. (2) Annual total prepayment speed is measured using life total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information. (3) The Company applies a pricing spread to a derived Treasury yield curve for purposes of discounting cash flows relating to MSLs. |
Interest rate lock commitments | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | March 31, 2024 December 31, 2023 Fair value (in thousands) (1) $ 69,808 $ 89,593 Committed amount (in thousands) $ 7,270,122 $ 6,349,628 Key inputs Pull-through rate: Range 19.6% – 100% 10.2% – 100% Weighted average 79.1% 81.1% Mortgage servicing rights fair value expressed as: Servicing fee multiple: Range 1.1 – 7.8 1.1 – 7.3 Weighted average 4.4 4.2 Percentage of loan commitment amount: Range 0.3% – 4.3% 0.3% – 4.3% Weighted average 2.1% 1.9% (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 servicing rights | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items, excluding MSR purchases | Quarter ended March 31, 2024 2023 (Amount recognized and unpaid principal balance of underlying loans in thousands) MSR and pool characteristics: Amount recognized $ 412,520 $ 286,533 Unpaid principal balance of underlying loans $ 19,484,815 $ 13,695,364 Weighted average servicing fee rate (in basis points) 44 50 Key inputs (1): Annual total prepayment speed (2): Range 7.9% – 15.9% 9.2% – 23.2% Weighted average 11.0% 11.7% Equivalent average life (in years): Range 3.5 – 9.3 3.0 – 8.4 Weighted average 7.5 7.3 Pricing spread (3): Range 5.5% – 12.6% 5.5% – 11.7% Weighted average 6.3% 7.7% Per-loan annual cost of servicing: Range $71 – $127 $68 – $125 Weighted average $99 $103 (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 a derived United State Treasury Securities (“Treasury”) yield curve for purposes of discounting cash flows relating to MSRs. |
Mortgage loans held for sale | |
Fair Value | |
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items | March 31, 2024 December 31, 2023 Fair value (in thousands) $ 466,392 $ 478,564 Key inputs (1): Discount rate: Range 6.7% – 10.2% 7.1% – 10.2% Weighted average 7.4% 7.2% Twelve-month projected housing price index change: Range 1.8% – 1.9% 0.3% – 0.5% Weighted average 1.8% 0.5% Voluntary prepayment/resale speed (2): Range 6.2% – 38.9% 4.0% – 36.9% Weighted average 25.9% 24.8% Total prepayment/resale speed (3): Range 6.3% – 47.3% 4.0% – 50.3% Weighted average 29.3% 32.2% (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. |
Mortgage-Backed Securities (Tab
Mortgage-Backed Securities (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Mortgage-Backed Securities | |
Summary of principal-only stripped MBS | March 31, 2024 (in thousands) Principal balance $ 654,884 Unearned discounts (129,997) Cumulative valuation changes (311) Fair value $ 524,576 |
Loans Held for Sale at Fair V_2
Loans Held for Sale at Fair Value (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Loans Held for Sale at Fair Value | |
Summary of loans held for sale at fair value | March 31, December 31, Loan type 2024 2023 (in thousands) Government-insured or guaranteed $ 2,517,566 $ 2,099,135 Conventional conforming 2,158,242 1,821,085 Jumbo 58,150 21,907 Closed-end second lien mortgage loans 230,639 322,015 Purchased from Ginnie Mae securities serviced by the Company 222,286 146,585 Repurchased pursuant to representations and warranties 13,467 9,964 $ 5,200,350 $ 4,420,691 Fair value of loans pledged to secure: Assets sold under agreements to repurchase $ 4,741,330 $ 3,858,977 Mortgage loan participation purchase and sale agreements 385,804 470,524 $ 5,127,134 $ 4,329,501 |
Derivative Financial Instrume_2
Derivative Financial Instruments (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Derivative Financial Instruments | |
Summary of derivative financial instruments | March 31, 2024 December 31, 2023 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 7,270,122 $ 74,545 $ 4,737 6,349,628 $ 90,313 $ 720 Subject to master netting arrangements (2): Forward purchase contracts 14,624,053 21,887 6,049 15,863,667 78,448 5,141 Forward sales contracts 17,168,191 18,622 35,649 14,477,159 6,151 92,796 MBS put options 2,700,000 1,970 — 2,925,000 413 — MBS call options — — — 1,000,000 6,265 — Put options on interest rate futures purchase contracts 8,917,500 25,353 — 8,717,500 11,043 — Call options on interest rate futures purchase contracts 1,625,000 3,301 — 4,250,000 66,176 3,209 Treasury futures purchase contracts 8,068,300 — — 5,986,500 — — Treasury futures sale contracts 9,408,000 — — 10,677,000 — — Total derivatives before netting 145,678 46,435 258,809 101,866 Netting (36,691) (5,651) (79,730) (48,591) $ 108,987 $ 40,784 $ 179,079 $ 53,275 Deposits received from derivative counterparties included in the derivative balances above, net $ (31,040) $ (31,139) (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 | March 31, 2024 December 31, 2023 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 $ 74,545 $ — $ — $ 74,545 $ 90,313 $ — $ — $ 90,313 RJ O' Brien 28,654 — — 28,654 74,010 — — 74,010 Citibank, N.A. 3,476 — — 3,476 2,947 — — 2,947 Goldman Sachs — — — — 8,473 — — 8,473 Mizuho Securities — — — — 1,467 — — 1,467 Others 2,312 — — 2,312 1,869 — — 1,869 $ 108,987 $ — $ — $ 108,987 $ 179,079 $ — $ — $ 179,079 |
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. March 31, 2024 December 31, 2023 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 $ 4,737 $ — $ — $ 4,737 $ 720 $ — $ — $ 720 Atlas Securitized Products, L.P. 1,203,385 (1,203,385) — — 1,210,473 (1,210,473) — — Bank of America, N.A. 1,087,182 (1,086,753) — 429 875,766 (872,148) — 3,618 Royal Bank of Canada 666,511 (666,511) — — 457,743 (457,743) — — Wells Fargo Bank, N.A. 443,386 (416,035) — 27,351 116,275 (114,647) — 1,628 JPMorgan Chase Bank, N.A. 412,478 (412,448) — 30 243,225 (243,225) — — BNP Paribas 322,871 (322,871) — — 185,425 (185,425) — — Goldman Sachs 299,387 (299,205) — 182 178,751 (178,751) — — Citibank, N.A. 293,885 (293,885) — — 174,221 (174,221) — — Morgan Stanley Bank, N.A. 227,757 (223,410) — 4,347 195,714 (164,149) — 31,565 Barclays Capital 197,489 (196,316) — 1,173 128,488 (118,667) — 9,821 Santander US Capital Markets LLC 195,541 (195,307) — 234 — — — — Nomura Corporate Funding Americas 125,036 (125,000) — 36 50,000 (50,000) — — Athene Annuity & Life Assurance Company 661 — — 661 2,111 — — 2,111 Federal National Mortgage Association 189 — — 189 1,337 — — 1,337 Others 1,415 — — 1,415 2,475 — — 2,475 $ 5,481,910 $ (5,441,126) $ — $ 40,784 $ 3,822,724 $ (3,769,449) $ — $ 53,275 (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 March 31, Derivative activity Consolidated income statement line 2024 2023 (in thousands) Interest rate lock commitments Net gains on loans held for sale at fair value (1) $ (19,786) $ 33,002 Hedged item: Interest rate lock commitments and Net gains on loans held for sale at fair value $ 52,237 $ (94,798) Mortgage servicing rights Net loan servicing fees–Mortgage servicing rights hedging results $ (294,334) $ 47,227 (1) Represents net change in fair value of IRLCs from the beginning to the end of the quarter. Amounts recognized at the date of commitment and fair value changes recognized during the quarter until purchase of the underlying loans or the cancellation of the commitment are shown in the rollforward of IRLCs for the quarter in Note 7 – 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) | 3 Months Ended |
Mar. 31, 2024 | |
Mortgage Servicing Rights and Mortgage Servicing Liabilities | |
Schedule of activity in MSRs carried at fair value | Quarter ended March 31, 2024 2023 (in thousands) Balance at beginning of quarter $ 7,099,348 $ 5,953,621 Additions (deductions): MSRs resulting from loan sales 412,520 286,533 Transfer of mortgage servicing rights relating to delinquent loans to Agency — (232) 412,520 286,301 Change in fair value due to: Changes in inputs used in valuation model (1) 169,952 (90,279) Other changes in fair value (2) (198,610) (146,253) Total change in fair value (28,658) (236,532) Balance at end of quarter $ 7,483,210 $ 6,003,390 Unpaid principal balance of underlying loans at end of quarter $ 381,470,663 $ 321,263,982 March 31, December 31, 2024 2023 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 7,406,892 $ 7,033,892 (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 March 31, 2024 2023 (in thousands) Balance at beginning of quarter $ 1,805 $ 2,096 Changes in fair value due to: Changes in inputs used in valuation model (1) (27) (15) Other changes in fair value (2) (46) (70) Total change in fair value (73) (85) Balance at end of quarter $ 1,732 $ 2,011 Unpaid principal balance of underlying loans at end of quarter $ 22,644 $ 28,380 (1) Principally reflects changes in annual total prepayment speed and per loan annual cost of servicing. (2) Represents changes due to realization of cash flows. |
Summary of servicing fees, late fees and ancillary and other fees relating to MSRs recorded on the consolidated statements of income | Quarter ended March 31, 2024 2023 (in thousands) Contractual servicing fees $ 358,026 $ 290,697 Other fees: Late charges 17,609 12,601 Other 2,640 2,181 $ 378,275 $ 305,479 |
Other Assets (Tables)
Other Assets (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Other Asset | |
Summary of other assets | March 31, December 31, 2024 2023 (in thousands) Margin deposits $ 154,321 $ 135,645 Capitalized software, net 140,419 148,736 Operating lease right-of-use assets 46,490 49,926 Servicing fees receivable, net 34,312 37,271 Other servicing receivables 45,280 30,530 Interest receivable 39,837 35,196 Prepaid expenses 35,325 36,044 Real estate acquired in settlement of loans 18,195 14,982 Furniture, fixtures, equipment and building improvements, net 17,951 19,016 Deposits securing Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets 16,175 15,653 Other 75,063 59,461 $ 623,368 $ 582,460 Deposits securing Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 16,175 $ 15,653 |
Leases (Tables)
Leases (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Leases | |
Summary of Company's leases | Quarter ended March 31, 2024 2023 (dollars in thousands) Lease expense: Operating leases $ 4,031 $ 4,949 Short-term leases 84 163 Sublease income (425) (96) Net lease expense included in Occupancy and equipment $ 3,690 $ 5,016 Other information: Payments for operating leases $ 4,974 $ 5,696 Operating lease right-of-use assets recognized $ — $ 1,727 Quarter end weighted averages: Remaining lease term (in years) 4.1 4.6 Discount rate 3.8% 3.8% |
Schedule of maturities of operating lease liabilities | Twelve months ended March 31, Operating leases (in thousands) 2025 $ 19,540 2026 18,635 2027 13,385 2028 5,791 2029 5,009 Thereafter 5,791 Total lease payments 68,151 Less imputed interest (6,487) Operating lease liability included in Accounts payable and accrued expenses $ 61,664 |
Short-Term Debt (Tables)
Short-Term Debt (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Short-Term Debt | |
Summary of financial data pertaining to assets sold under agreements to repurchase | Quarter ended March 31, 2024 2023 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ 3,542,537 $ 3,508,262 Weighted average interest rate (1) 7.24% 6.54% Total interest expense $ 70,435 $ 59,223 Maximum daily amount outstanding $ 5,442,438 $ 5,768,570 (1) Excludes the effect of amortization of debt issuance costs and utilization fees of $6.7 million and $2.6 million for the quarters ended March 31, 2024 and 2023, respectively. March 31, December 31, 2024 2023 (dollars in thousands) Carrying value: Unpaid principal balance $ 5,441,126 $ 3,769,449 Unamortized debt issuance costs (5,772) (5,493) $ 5,435,354 $ 3,763,956 Weighted average interest rate 6.92% 7.05% Available borrowing capacity (1): Committed $ 712,341 $ 1,282,040 Uncommitted 4,838,453 5,548,511 $ 5,550,794 $ 6,830,551 Assets securing repurchase agreements: Principal-only stripped MBS $ 524,576 — Loans held for sale $ 4,741,330 $ 3,858,977 Servicing advances (2) $ 271,947 $ 354,831 Mortgage servicing rights (2) $ 6,533,305 $ 6,284,239 Deposits (2) $ 16,175 $ 15,653 (1) 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. (2) Beneficial interests in the Ginnie Mae MSRs, Fannie Mae MSRs, servicing advances and deposits together serve as the collateral backing servicing asset financing 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 15 — 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 March 31, 2024 (1) Unpaid principal balance (dollars in thousands) Within 30 days $ 1,291,192 Over 30 to 90 days 3,225,500 Over 90 to 180 days 139,760 Over 180 days to one year 210,923 Over one year to two years 573,751 Total assets sold under agreements to repurchase $ 5,441,126 Weighted average maturity (in months) 3.5 (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) $ 4,537,873 March 13, 2025 June 27, 2025 Atlas Securitized Products, L.P. $ 121,197 September 10, 2024 June 27, 2025 Bank of America, N.A. $ 73,125 April 28, 2024 June 12, 2025 Barclays Bank PLC $ 30,560 August 1, 2024 March 6, 2026 Royal Bank of Canada $ 29,023 April 28, 2024 February 12, 2025 JP Morgan Chase Bank, N.A. $ 21,732 July 20, 2024 June 9, 2025 BNP Paribas $ 13,954 June 15, 2024 September 30, 2025 Goldman Sachs Bank USA $ 12,362 July 16, 2024 December 8, 2025 Wells Fargo Bank, N.A. $ 11,917 June 11, 2024 May 3, 2025 Morgan Stanley Bank, N.A. $ 11,023 June 18, 2024 February 6, 2026 Citibank, N.A. $ 7,661 June 4, 2024 June 27, 2025 (1) The amount at risk includes the beneficial interests in Ginnie Mae MSRs, Fannie 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 . Principal-only stripped MBS Counterparty Amount at risk Maturity (in thousands) Wells Fargo Bank, N.A. $ 11,838 April 26, 2024 JP Morgan Chase Bank, N.A. $ 11,546 April 26, 2024 Santander US Capital Markets LLC $ 8,968 April 30, 2024 |
Summary of participating mortgage loans | Quarter ended March 31, 2024 2023 Average balance $ 234,874 $ 184,193 Weighted average interest rate (1) 6.69% 6.06% Total interest expense $ 4,077 $ 2,923 Maximum daily amount outstanding $ 515,990 $ 515,537 (1) Excludes the effect of amortization of debt issuance costs totaling $172,000 for the quarters ended March 31, 2024 and 2023. March 31, December 31, 2024 2023 (dollars in thousands) Carrying value: Unpaid principal balance $ 363,978 $ 446,406 Unamortized debt issuance costs (180) (352) $ 363,798 $ 446,054 Weighted average interest rate 6.58% 6.60% Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements $ 385,804 $ 470,524 |
Long-Term Debt (Tables)
Long-Term Debt (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
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: June 3, 2022 $ 500,000 4.25% 5/25/2027 5/25/2029 February 29, 2024 425,000 3.20% 3/26/2029 3/25/2031 Term Loans: February 28, 2023 680,000 3.00% 2/25/2028 2/25/2029 October 25, 2023 125,000 3.00% 10/25/2028 $ 1,730,000 (1) Interest is charged at a rate of SOFR plus a spread. (2) The Term Notes and Term Loans’ indentures provide the Company with the option to extend the maturity of certain of the Term Notes or Term Loans as specified in the respective agreements. |
Summary of note payable | Quarter ended March 31, 2024 2023 (dollars in thousands) Average balance $ 1,950,330 $ 2,092,056 Weighted average interest rate (1) 8.92% 7.72% Total interest expense $ 44,006 $ 40,778 (1) Excludes the effect of amortization of debt issuance costs totaling $750,000 and $932,000 for the quarters ended March 31, 2024 and 2023, respectively. March 31, December 31, 2024 2023 (dollars in thousands) Carrying value: Unpaid principal balance: Term Notes and Term Loans $ 1,730,000 $ 1,730,000 Freddie Mac MSR Note Payable 250,000 150,000 1,980,000 1,880,000 Unamortized debt issuance costs (7,980) (6,585) $ 1,972,020 $ 1,873,415 Weighted average interest rate 8.69% 8.82% Assets pledged to secure notes payable (1): Servicing advances $ 271,947 $ 354,831 Mortgage servicing rights $ 7,406,892 $ 7,033,892 Deposits $ 16,175 $ 15,653 (1) Beneficial interests in the Ginnie Mae MSRs, Fannie Mae MSRs, servicing advances and deposits together serve as the collateral backing servicing asset facilities that include 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 5.375% October 15, 2025 October 15, 2022 October 19, 2020 150,000 5.375% 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 December 11, 2023 750,000 7.875% December 15, 2029 December 15, 2026 $ 2,550,000 (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 March 31, 2024 2023 (dollars in thousands) Average balance $ 2,550,000 $ 1,800,000 Weighted average interest rate (1) 5.90% 5.07% Total interest expense $ 38,832 $ 23,428 (1) Excludes the effect of amortization of debt issuance costs of $1.4 million and $913,000 for the quarters ended March 31, 2024 and 2023, respectively. March 31, December 31, 2024 2023 (dollars in thousands) Carrying value: Unpaid principal balance $ 2,550,000 $ 2,550,000 Unamortized debt issuance costs and premiums, net (28,969) (30,349) $ 2,521,031 $ 2,519,651 Weighted average interest rate 5.90% 5.90% |
Summary of maturities of Long-Term Debt | Maturities of long-term debt (based on stated maturity dates) are as follows: Twelve months ended March 31, 2025 2026 2027 2028 2029 Thereafter Total (in thousands) Notes payable secured by mortgage servicing assets (1) $ 250,000 $ — $ — $ 1,180,000 $ 550,000 $ — $ 1,980,000 Unsecured senior notes — 650,000 — — 650,000 1,250,000 2,550,000 Total $ 250,000 $ 650,000 $ — $ 1,180,000 $ 1,200,000 $ 1,250,000 $ 4,530,000 (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. |
Liability for Losses Under Re_2
Liability for Losses Under Representations and Warranties (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Liability for Losses Under Representations and Warranties | |
Summary of repurchase activity | Quarter ended March 31, 2024 2023 (in thousands) Balance at beginning of quarter $ 30,788 $ 32,421 Provision for losses: Resulting from sales of loans 3,952 1,735 Resulting from change in estimate (3,320) (1,445) Losses incurred (1,444) (1,608) Balance at end of quarter $ 29,976 $ 31,103 Unpaid principal balance of loans subject to representations and warranties at end of quarter $ 366,147,661 $ 303,983,805 |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Stockholders' Equity. | |
Summary of share repurchase activity | Quarter ended March 31, Cumulative 2024 2023 total (1) (in thousands) Shares of common stock repurchased — 768 34,063 Cost of shares of common stock repurchased $ — $ 45,361 $ 1,788,198 (1) Amounts represent the total shares of common stock repurchased under the stock repurchase program from inception through March 31, 2024. Cumulative total cost of common stock repurchased includes $537,000 of transaction fees as of March 31, 2024. |
Net Gains on Loans Held for S_2
Net Gains on Loans Held for Sale (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Net Gains on Loans Held for Sale | |
Net Gains on Loans Held for Sale | Quarter ended March 31, 2024 2023 (in thousands) From non-affiliates: Cash losses: Loans $ (309,190) $ (55,386) Hedging activities 150,219 (216,138) (158,971) (271,524) Non-cash gains: Mortgage servicing rights resulting from loan sales 412,520 286,533 Provisions for losses relating to representations and warranties: Pursuant to loan sales (3,952) (1,735) Reductions in liability due to changes in estimate 3,320 1,445 Changes in fair values of loans and derivatives held at end of quarter: Interest rate lock commitments (19,786) 33,002 Loans 27,645 (64,191) Hedging derivatives (97,982) 121,340 162,794 104,870 From PennyMac Mortgage Investment Trust (1) (353) (485) $ 162,441 $ 104,385 (1) Gains on sales of loans to PMT are described in Note 4– Related Party Transactions – Transactions with PMT–Operating Activities. |
Net Interest Expense (Tables)
Net Interest Expense (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Net Interest Expense | |
Summary of net interest expense | Quarter ended March 31, 2024 2023 (in thousands) Interest income: Cash and short-term investments $ 14,582 $ 16,245 Principal-only stripped mortgage-backed securities 270 — Loans held for sale at fair value 65,421 60,993 Placement fees relating to custodial funds 76,133 51,219 From Townsgate Closing Services, LLC 20 21 156,426 128,478 Interest expense: Assets sold under agreements to repurchase 70,435 59,223 Mortgage loan participation purchase and sale agreements 4,077 2,923 Notes payable secured by mortgage servicing assets 44,006 40,778 Unsecured senior notes 38,832 23,428 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 6,121 3,210 Interest on mortgage loan impound deposits 1,987 1,967 Other 311 242 165,769 131,771 $ (9,343) $ (3,293) |
Stock-based Compensation (Table
Stock-based Compensation (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Stock-based Compensation | |
Summary of the stock-based compensation activity | Quarter ended March 31, 2024 2023 (in thousands) Grants: Units: Performance-based restricted share units ("RSUs") 246 307 Stock options 188 221 Time-based RSUs 145 182 Grant date fair value: Performance-based RSUs $ 20,915 $ 18,611 Stock options 6,935 5,492 Time-based RSUs 12,333 11,041 Total $ 40,183 $ 35,144 Vestings and exercises: Performance-based RSUs vested 309 612 Stock options exercised 331 156 Time-based RSUs vested 209 245 Stock-based compensation expense $ 4,583 $ 11,650 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Earnings Per Share | |
Summary of basic and diluted earnings per share calculations | Quarter ended March 31, 2024 2023 (in thousands, except per share amounts) Net income $ 39,308 $ 30,378 Weighted average shares of common stock outstanding 50,547 50,154 Effect of dilutive securities - shares issuable under stock-based compensation plan 2,553 3,198 Weighted average diluted shares of common stock outstanding 53,100 53,352 Basic earnings per share $ 0.78 $ 0.61 Diluted earnings per share $ 0.74 $ 0.57 |
Schedule of anti-dilutive shares outstanding | Quarter ended March 31, 2024 2023 (in thousands except for weighted average exercise price) Performance-based RSUs (1) 681 431 Time-based RSUs 51 72 Stock options (2) 66 348 Total anti-dilutive units and options 798 851 Weighted average exercise price of anti-dilutive stock options (2) $ 84.93 $ 58.21 (1) Certain performance-based RSUs were outstanding but not included in the computation of earnings per share because the performance thresholds included in such RSUs have not been achieved. (2) Certain stock options were outstanding but not included in the computation of diluted earnings per share because the weighted-average exercise prices were above the average stock prices for the quarter. |
Regulatory Capital and Liquid_2
Regulatory Capital and Liquidity Requirements (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Regulatory Capital and Liquidity Requirements | |
Summary of agencies' capital and liquidity requirements by each agency | March 31, 2024 December 31, 2023 Requirement/Agency Actual (1) Requirement (1) Actual (1) Requirement (1) (dollars in thousands) Capital Fannie Mae & Freddie Mac $ 6,975,317 $ 1,245,241 $ 6,890,144 $ 1,211,365 Ginnie Mae (2) $ 6,587,372 $ 1,375,796 $ 6,559,001 $ 1,314,677 HUD $ 6,587,372 $ 2,500 $ 6,559,001 $ 2,500 Liquidity Fannie Mae & Freddie Mac $ 1,147,108 $ 564,427 $ 1,243,927 $ 543,913 Ginnie Mae $ 1,394,563 $ 406,799 $ 1,684,457 $ 389,501 Adjusted net worth / Total assets ratio Ginnie Mae 43 % 6 % 48 % 6 % Tangible net worth / Total assets ratio Fannie Mae & Freddie Mac 35 % 6 % 37 % 6 % (1) Calculated in accordance with the respective Agency’s requirements. (2) Ginnie Mae has issued a risk-based capital requirement that will become effective December 31, 2024. The Company believes it is in compliance with the Agency’s pending requirement as of March 31, 2024. |
Segments (Tables)
Segments (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Segments | |
Summary of financial highlights by segment | Financial performance and results by segment are as follows: Quarter ended March 31, 2024 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on loans held for sale at fair value $ 141,431 $ 21,010 $ 162,441 $ — $ 162,441 Loan origination fees 36,371 — 36,371 — 36,371 Fulfillment fees from PennyMac Mortgage Investment Trust 4,016 — 4,016 — 4,016 Net loan servicing fees — 100,954 100,954 — 100,954 Net interest expense: Interest income 63,931 92,411 156,342 84 156,426 Interest expense 61,896 103,873 165,769 — 165,769 2,035 (11,462) (9,427) 84 (9,343) Management fees — — — 7,188 7,188 Other 818 1,096 1,914 2,119 4,033 Total net revenues 184,671 111,598 296,269 9,391 305,660 Expenses 148,779 106,662 255,441 6,336 261,777 Income before provision for income taxes $ 35,892 $ 4,936 $ 40,828 $ 3,055 $ 43,883 Segment assets at quarter end $ 5,413,277 $ 14,373,780 $ 19,787,057 $ 14,684 $ 19,801,741 (1) All revenues are from external customers. Quarter ended March 31, 2023 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenues: (1) Net gains on loans held for sale at fair value $ 74,726 $ 29,659 $ 104,385 $ — $ 104,385 Loan origination fees 31,390 — 31,390 — 31,390 Fulfillment fees from PennyMac Mortgage Investment Trust 11,923 — 11,923 — 11,923 Net loan servicing fees — 148,837 148,837 — 148,837 Net interest expense: Interest income 56,993 71,485 128,478 — 128,478 Interest expense 54,083 77,688 131,771 — 131,771 2,910 (6,203) (3,293) — (3,293) Management fees — — — 7,257 7,257 Other 574 (223) 351 2,012 2,363 Total net revenues 121,523 172,070 293,593 9,269 302,862 Expenses 141,163 114,623 255,786 8,929 264,715 Income before provision for income taxes $ (19,640) $ 57,447 $ 37,807 $ 340 $ 38,147 Segment assets at quarter end $ 7,543,466 $ 12,534,419 $ 20,077,885 $ 25,300 $ 20,103,185 (1) All revenues are from external customers. |
Concentration of Risk (Details)
Concentration of Risk (Details) - PennyMac Mortgage Investment Trust - Customer Concentration Risk | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Net Revenue | ||
Concentration of Risk | ||
Percentage of total | 11% | 14% |
Loan Production | ||
Concentration of Risk | ||
Percentage of total | 82% | 84% |
Related Party Transactions - Co
Related Party Transactions - Correspondent Production (Details) - USD ($) | 3 Months Ended | ||
Jul. 01, 2020 | Mar. 31, 2024 | Mar. 31, 2023 | |
Lending activity between the entity and affiliate | |||
Net gains on loans held for sale at fair value | $ 162,441,000 | $ 104,385,000 | |
Fulfillment fee revenue | 4,016,000 | 11,923,000 | |
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 | (353,000) | (485,000) | |
Related Party | PennyMac Mortgage Investment Trust | |||
Lending activity between the entity and affiliate | |||
Net gains on loans held for sale at fair value | (353,000) | (485,000) | |
Related Party | Mortgage Lending | PennyMac Mortgage Investment Trust | |||
Lending activity between the entity and affiliate | |||
Net gains on loans held for sale at fair value | (353,000) | (485,000) | |
Tax service fee | 359,000 | 1,410,000 | |
Fulfillment fee revenue | 4,016,000 | 11,923,000 | |
Unpaid principal balance of loans fulfilled for PMT | 1,771,681,000 | 6,628,810,000 | |
Sourcing fees paid | 1,605,000 | 1,328,000 | |
Government guaranteed or insured | 7,856,925,000 | 9,213,712,000 | |
Conventional conforming | 8,189,930,000 | 4,062,874,000 | |
Unpaid principal balance of loans purchased from PMT | $ 16,046,855,000 | $ 13,276,586,000 | |
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 | ||
Sep. 12, 2016 | Mar. 31, 2024 | Mar. 31, 2023 | |
Summary of mortgage loan servicing fees earned | |||
Loan servicing fees | $ 424,184,000 | $ 338,057,000 | |
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 | 20,262,000 | 20,449,000 | |
Related Party | Loans acquired for sale at fair value | PennyMac Mortgage Investment Trust | |||
Summary of mortgage loan servicing fees earned | |||
Loan servicing fees | 20,200,000 | 20,329,000 | |
Related Party | Loans at fair value | PennyMac Mortgage Investment Trust | |||
Summary of mortgage loan servicing fees earned | |||
Loan servicing fees | $ 62,000 | $ 120,000 |
Related Party Transactions - Ma
Related Party Transactions - Management Fees (Details) - USD ($) | 3 Months Ended | ||
Sep. 12, 2016 | Mar. 31, 2024 | Mar. 31, 2023 | |
Management Fee Revenue Abstract | |||
Management fees | $ 7,188,000 | $ 7,257,000 | |
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 | 7,188,000 | 7,257,000 | |
Management fees | $ 7,188,000 | $ 7,257,000 | |
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 | ||
Sep. 12, 2016 | Mar. 31, 2024 | Mar. 31, 2023 | |
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 | $ 8,523,000 | $ 7,647,000 | |
Payments and settlements during the period | 30,085,000 | 32,384,000 | |
Common overhead incurred | |||
Reimbursement of common overhead and expenses incurred on behalf of affiliates | |||
Reimbursement of common overhead and expenses incurred by the Company | 1,944,000 | 1,821,000 | |
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 | |
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 | $ 6,414,000 | $ 5,661,000 |
Related Party Transactions - In
Related Party Transactions - Investing Activities (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2024 | Mar. 31, 2023 | Dec. 31, 2023 | |
Activity during the period: | |||
Change in fair value of investment in and dividends received from PennyMac Mortgage Investment Trust | $ 10 | $ 26 | |
Fair value of PennyMac Mortgage Investment Trust shares | $ 1,101 | $ 1,121 | |
Related Party | PennyMac Mortgage Investment Trust | |||
Transactions with Affiliates | |||
Common shares of beneficial interest owned | 75,000 | 75,000 | |
Common shares of beneficial interest owned | $ 1,101 | $ 1,121 | |
Activity during the period: | |||
Change in fair value of investment in and dividends received from PennyMac Mortgage Investment Trust | $ 10 | $ 26 |
Related Party Transactions - Am
Related Party Transactions - Amounts due from Affiliate (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Amounts due from affiliate | ||
Total due from affiliate | $ 30,835 | $ 29,262 |
Payable to affiliate | ||
Other Liabilities, Total | 127,993 | 208,210 |
Related Party | PennyMac Mortgage Investment Trust | ||
Amounts due from affiliate | ||
Correspondent production fees | 7,368 | 8,288 |
Allocated expenses and expenses incurred on PMT's behalf | 8,194 | 5,612 |
Management fees | 7,188 | 7,252 |
Servicing fees | 6,730 | 6,809 |
Fulfillment fees | 1,355 | 1,301 |
Payable to affiliate | ||
Amounts advanced by PMT | 127,992 | 208,154 |
Other expenses | 1 | 56 |
Affiliated entities | PennyMac Mortgage Investment Trust | ||
Amounts due from affiliate | ||
Total due from affiliate | 30,835 | 29,262 |
Payable to affiliate | ||
Other Liabilities, Total | $ 127,993 | $ 208,210 |
Related Party Transactions - Ex
Related Party Transactions - Exchanged Private National Mortgage Acceptance Company, LLC Unitholders (Details) - USD ($) | 3 Months Ended | |||
Dec. 27, 2022 | Mar. 31, 2024 | Mar. 31, 2023 | Dec. 31, 2023 | |
Transactions with Affiliates | ||||
Amount of tax benefits under the tax sharing agreement (as a percent) | 85% | |||
Payable to exchanged PNMAC unitholders under tax receivable agreement | $ 26,100,000 | $ 26,100,000 | ||
Interest income | 156,426,000 | $ 128,478,000 | ||
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 | 0 | ||
Related Party | Townsgate Closing Services, LLC | ||||
Transactions with Affiliates | ||||
Advances to related party | $ 801,000 | |||
Maximum commitment amount | $ 1,500,000 | |||
Advances stated percentage | 9.75% | |||
Advances variable rate | 10+ year USD High Yield Corporate Bond Index | |||
Interest income | $ 20,000 | $ 21,000 |
Loan Sales and Servicing Acti_3
Loan Sales and Servicing Activities - Summary of Cash Flows with Transferees (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2024 | Mar. 31, 2023 | Dec. 31, 2023 | |
Cash flows: | |||
Sales proceeds | $ 19,676,917 | $ 13,385,341 | |
Servicing fees received | 336,248 | 268,423 | |
Allowance for losses rollforward | |||
Balance at beginning of quarter | 73,991 | 78,992 | |
Provision (reversal of provision) for losses | (1,541) | (3,081) | |
Charge-offs, net | (5,123) | (733) | |
Balance at end of quarter | 67,327 | $ 75,178 | |
Period end information: | |||
Unpaid principal balance of loans outstanding | 364,441,567 | $ 352,790,614 | |
30-89 days | 12,128,892 | 13,775,493 | |
90 days or more - Not in foreclosure | 6,251,718 | 6,754,282 | |
90 days or more - In foreclosure | 647,459 | 618,694 | |
90 days or more - Foreclosed | 8,441 | 7,565 | |
Bankruptcy | $ 1,479,461 | $ 1,415,614 |
Loan Sales and Servicing Acti_4
Loan Sales and Servicing Activities - Summary of Mortgage Servicing Portfolio (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Mortgage servicing portfolio | ||
Loans held for sale | $ 5,111,719 | $ 4,294,689 |
Total loans serviced | 617,424,038 | 607,216,769 |
Delinquent loans: | ||
30 days | 11,547,765 | 12,906,445 |
60 days | 3,109,830 | 3,716,280 |
90 days or more - Not in foreclosure | 7,301,481 | 7,972,624 |
90 days or more - In foreclosure | 804,643 | 778,977 |
90 days or more - Foreclosed | 14,134 | 12,428 |
Total delinquent mortgage loans | 22,777,853 | 25,386,754 |
Bankruptcy | 1,798,976 | 1,709,811 |
Custodial funds managed by the Company | 7,898,055 | 5,501,952 |
Servicing rights owned | ||
Mortgage servicing portfolio | ||
Loans held for sale | 5,111,719 | 4,294,689 |
Total loans serviced | 386,605,026 | 374,563,700 |
Delinquent loans: | ||
30 days | 9,940,684 | 11,097,929 |
60 days | 2,738,951 | 3,316,494 |
90 days or more - Not in foreclosure | 6,426,292 | 6,941,325 |
90 days or more - In foreclosure | 692,930 | 686,359 |
90 days or more - Foreclosed | 9,652 | 8,133 |
Total delinquent mortgage loans | 19,808,509 | 22,050,240 |
Bankruptcy | 1,583,758 | 1,523,218 |
Custodial funds managed by the Company | 5,429,348 | 3,741,978 |
Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Total loans serviced | 230,819,012 | 232,653,069 |
Delinquent loans: | ||
30 days | 1,607,081 | 1,808,516 |
60 days | 370,879 | 399,786 |
90 days or more - Not in foreclosure | 875,189 | 1,031,299 |
90 days or more - In foreclosure | 111,713 | 92,618 |
90 days or more - Foreclosed | 4,482 | 4,295 |
Total delinquent mortgage loans | 2,969,344 | 3,336,514 |
Bankruptcy | 215,218 | 186,593 |
Custodial funds managed by the Company | 2,468,707 | 1,759,974 |
Non affiliated entities | ||
Mortgage servicing portfolio | ||
Originated | 364,441,567 | 352,790,614 |
Purchased | 17,051,740 | 17,478,397 |
Total loans serviced, excluding loans held for sale | 381,493,307 | 370,269,011 |
Non affiliated entities | Servicing rights owned | ||
Mortgage servicing portfolio | ||
Originated | 364,441,567 | 352,790,614 |
Purchased | 17,051,740 | 17,478,397 |
Total loans serviced, excluding loans held for sale | 381,493,307 | 370,269,011 |
Affiliated entities | ||
Mortgage servicing portfolio | ||
Advised entities | 230,819,012 | 232,653,069 |
Affiliated entities | Contract servicing and subservicing | ||
Mortgage servicing portfolio | ||
Advised entities | $ 230,819,012 | $ 232,653,069 |
Loan Sales and Servicing Acti_5
Loan Sales and Servicing Activities - Geographical Distribution of Loans (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 617,424,038 | $ 607,216,769 |
California | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 73,344,855 | 72,788,272 |
Florida | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 59,174,541 | 57,824,310 |
Texas | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 58,318,589 | 56,437,082 |
Virginia | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 35,562,555 | 35,376,266 |
Maryland | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | 26,865,117 | 26,746,355 |
All other states | ||
Loan Sales and Servicing Activities | ||
Total loans serviced | $ 364,158,381 | $ 358,044,484 |
Fair Value - Financial Statemen
Fair Value - Financial Statement Items Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Assets: | ||
Short-term investment at fair value | $ 69 | $ 10,268 |
Principal-only stripped mortgage-backed securities at fair value pledged to creditors | 524,576 | |
Loans held for sale | 5,200,350 | 4,420,691 |
Derivative assets: | ||
Derivative asset, before netting | 145,678 | 258,809 |
Netting | (36,691) | (79,730) |
Total derivative assets | 108,987 | 179,079 |
Investment in PennyMac Mortgage Investment Trust | 1,101 | 1,121 |
Derivative liabilities: | ||
Derivative liability, before netting | 46,435 | 101,866 |
Netting | (5,651) | (48,591) |
Net amounts of liabilities presented in the consolidated balance sheet | 40,784 | 53,275 |
Mortgage servicing liabilities | 1,732 | 1,805 |
Interest rate lock commitments | ||
Derivative assets: | ||
Total derivative assets | 74,545 | 90,313 |
Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 21,887 | 78,448 |
Derivative liabilities: | ||
Derivative liability, before netting | 6,049 | 5,141 |
Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 18,622 | 6,151 |
Derivative liabilities: | ||
Derivative liability, before netting | 35,649 | 92,796 |
MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 1,970 | 413 |
MBS call options | ||
Derivative assets: | ||
Derivative asset, before netting | 6,265 | |
Call options on Eurodollar futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 3,301 | 66,176 |
Derivative liabilities: | ||
Derivative liability, before netting | 3,209 | |
Put options on Eurodollar futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 25,353 | 11,043 |
Principal-Only-Strip MBS | ||
Assets: | ||
Principal-only stripped mortgage-backed securities at fair value pledged to creditors | 524,576 | |
Recurring basis | ||
Assets: | ||
Short-term investment at fair value | 69 | 10,268 |
Principal-only stripped mortgage-backed securities at fair value pledged to creditors | 524,576 | |
Loans held for sale | 5,200,350 | 4,420,691 |
Derivative assets: | ||
Derivative asset, before netting | 145,678 | 258,809 |
Netting | (36,691) | (79,730) |
Total derivative assets | 108,987 | 179,079 |
Mortgage servicing rights | 7,483,210 | 7,099,348 |
Total assets | 13,318,293 | 11,710,507 |
Derivative liabilities: | ||
Derivative liability, before netting | 46,435 | 101,866 |
Netting | (5,651) | (48,591) |
Net amounts of liabilities presented in the consolidated balance sheet | 40,784 | 53,275 |
Mortgage servicing liabilities | 1,732 | 1,805 |
Total liabilities | 42,516 | 55,080 |
Recurring basis | Related Party | PennyMac Mortgage Investment Trust | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 1,101 | 1,121 |
Recurring basis | Interest rate lock commitments | ||
Derivative assets: | ||
Derivative asset, before netting | 74,545 | 90,313 |
Derivative liabilities: | ||
Derivative liability, before netting | 4,737 | 720 |
Recurring basis | Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 21,887 | 78,448 |
Derivative liabilities: | ||
Derivative liability, before netting | 6,049 | 5,141 |
Recurring basis | Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 18,622 | 6,151 |
Derivative liabilities: | ||
Derivative liability, before netting | 35,649 | 92,796 |
Recurring basis | MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 1,970 | 413 |
Recurring basis | MBS call options | ||
Derivative assets: | ||
Derivative asset, before netting | 6,265 | |
Recurring basis | Call options on Eurodollar futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 3,301 | 66,176 |
Recurring basis | Call options on Eurodollar futures | Sales | ||
Derivative liabilities: | ||
Derivative liability, before netting | 3,209 | |
Recurring basis | Put options on Eurodollar futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 25,353 | 11,043 |
Recurring basis | Level 1 | ||
Assets: | ||
Short-term investment at fair value | 69 | 10,268 |
Derivative assets: | ||
Derivative asset, before netting | 28,654 | 77,219 |
Total derivative assets | 28,654 | 77,219 |
Total assets | 29,824 | 88,608 |
Derivative liabilities: | ||
Derivative liability, before netting | 3,209 | |
Net amounts of liabilities presented in the consolidated balance sheet | 3,209 | |
Total liabilities | 3,209 | |
Recurring basis | Level 1 | Related Party | PennyMac Mortgage Investment Trust | ||
Derivative assets: | ||
Investment in PennyMac Mortgage Investment Trust | 1,101 | 1,121 |
Recurring basis | Level 1 | Call options on Eurodollar futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 3,301 | 66,176 |
Recurring basis | Level 1 | Call options on Eurodollar futures | Sales | ||
Derivative liabilities: | ||
Derivative liability, before netting | 3,209 | |
Recurring basis | Level 1 | Put options on Eurodollar futures | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 25,353 | 11,043 |
Recurring basis | Level 2 | ||
Assets: | ||
Principal-only stripped mortgage-backed securities at fair value pledged to creditors | 524,576 | |
Loans held for sale | 4,733,958 | 3,942,127 |
Derivative assets: | ||
Derivative asset, before netting | 42,479 | 91,277 |
Total derivative assets | 42,479 | 91,277 |
Total assets | 5,301,013 | 4,033,404 |
Derivative liabilities: | ||
Derivative liability, before netting | 41,698 | 97,937 |
Net amounts of liabilities presented in the consolidated balance sheet | 41,698 | 97,937 |
Total liabilities | 41,698 | 97,937 |
Recurring basis | Level 2 | Forward contracts | Purchases | ||
Derivative assets: | ||
Derivative asset, before netting | 21,887 | 78,448 |
Derivative liabilities: | ||
Derivative liability, before netting | 6,049 | 5,141 |
Recurring basis | Level 2 | Forward contracts | Sales | ||
Derivative assets: | ||
Derivative asset, before netting | 18,622 | 6,151 |
Derivative liabilities: | ||
Derivative liability, before netting | 35,649 | 92,796 |
Recurring basis | Level 2 | MBS put options | ||
Derivative assets: | ||
Derivative asset, before netting | 1,970 | 413 |
Recurring basis | Level 2 | MBS call options | ||
Derivative assets: | ||
Derivative asset, before netting | 6,265 | |
Recurring basis | Level 3 | ||
Assets: | ||
Loans held for sale | 466,392 | 478,564 |
Derivative assets: | ||
Derivative asset, before netting | 74,545 | 90,313 |
Total derivative assets | 74,545 | 90,313 |
Mortgage servicing rights | 7,483,210 | 7,099,348 |
Total assets | 8,024,147 | 7,668,225 |
Derivative liabilities: | ||
Derivative liability, before netting | 4,737 | 720 |
Net amounts of liabilities presented in the consolidated balance sheet | 4,737 | 720 |
Mortgage servicing liabilities | 1,732 | 1,805 |
Total liabilities | 6,469 | 2,525 |
Recurring basis | Level 3 | Interest rate lock commitments | ||
Derivative assets: | ||
Derivative asset, before netting | 74,545 | 90,313 |
Derivative liabilities: | ||
Derivative liability, before netting | $ 4,737 | $ 720 |
Fair Value - Level 3 Input Roll
Fair Value - Level 3 Input Roll Forward, Recurring Basis (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Changes in fair value included in income arising from: | ||
Fair Value, Asset, Recurring Basis, Still Held, Unrealized Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Servicing Asset at Fair Value, Period Increase (Decrease) | Servicing Asset at Fair Value, Period Increase (Decrease) |
Recurring basis | ||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||
Balance at the beginning of the quarter | $ 7,667,505 | $ 6,325,237 |
Purchases and issuances, net | 1,006,131 | 500,158 |
Capitalization of interest and advances | 11,226 | 7,655 |
Sales and repayments | (383,999) | (123,090) |
Mortgage servicing rights resulting from loan sales | 412,520 | 286,533 |
Changes in fair value included in income arising from: | ||
Changes in instrument specific credit risk | 17,142 | 9,543 |
Other factors | (17,706) | (163,327) |
Total changes in fair value included in income | (564) | (153,784) |
Transfers from Level 3 to Level 2 | (561,829) | (365,714) |
Transfers to real estate acquired in settlement of loans | (52) | |
Transfers to loans held for sale | (131,580) | (101,918) |
Balance at the end of the quarter | 8,019,410 | 6,375,025 |
Changes in fair value recognized during the period relating to assets still held at the end of the quarter | 60,193 | (169,273) |
Roll forward of liabilities measured using Level 3 inputs on a recurring basis | ||
Balance at the beginning of the quarter | 1,805 | 2,096 |
Changes in fair value included in income | (73) | (85) |
Balance at the end of the quarter | 1,732 | 2,011 |
Changes in fair value recognized during the period relating to liability still outstanding at the end of the quarter | (73) | (85) |
Recurring basis | Mortgage loans held for sale | ||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||
Balance at the beginning of the quarter | 478,564 | 345,772 |
Purchases and issuances, net | 905,860 | 437,650 |
Capitalization of interest and advances | 11,226 | 7,655 |
Sales and repayments | (383,999) | (122,858) |
Changes in fair value included in income arising from: | ||
Changes in instrument specific credit risk | 17,142 | 9,543 |
Other factors | (572) | 793 |
Total changes in fair value included in income | 16,570 | 10,336 |
Transfers from Level 3 to Level 2 | (561,829) | (365,714) |
Transfers to real estate acquired in settlement of loans | (52) | |
Balance at the end of the quarter | 466,392 | 312,789 |
Changes in fair value recognized during the period relating to assets still held at the end of the quarter | 19,043 | 8,413 |
Recurring basis | Interest rate lock commitments | ||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||
Balance at the beginning of the quarter | 89,593 | 25,844 |
Purchases and issuances, net | 100,271 | 62,508 |
Changes in fair value included in income arising from: | ||
Other factors | 11,524 | 72,412 |
Total changes in fair value included in income | 11,524 | 72,412 |
Transfers to loans held for sale | (131,580) | (101,918) |
Balance at the end of the quarter | 69,808 | 58,846 |
Changes in fair value recognized during the period relating to assets still held at the end of the quarter | 69,808 | 58,846 |
Recurring basis | Mortgage servicing rights | ||
Roll forward of assets measured using Level 3 inputs on a recurring basis | ||
Balance at the beginning of the quarter | 7,099,348 | 5,953,621 |
Sales and repayments | (232) | |
Mortgage servicing rights resulting from loan sales | 412,520 | 286,533 |
Changes in fair value included in income arising from: | ||
Other factors | (28,658) | (236,532) |
Total changes in fair value included in income | (28,658) | (236,532) |
Balance at the end of the quarter | 7,483,210 | 6,003,390 |
Changes in fair value recognized during the period relating to assets still held at the end of the quarter | $ (28,658) | $ (236,532) |
Fair Value - Changes in Fair Va
Fair Value - Changes in Fair Value, Fair Value Option, Recurring Basis (Details) - Recurring basis - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
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 | $ 73 | $ 85 |
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 | 73 | 85 |
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 | 100,360 | (70,585) |
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 | 129,329 | 165,947 |
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 | (28,969) | (236,532) |
Principal-only stripped mortgage-backed securities | ||
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 | (311) | |
Principal-only stripped mortgage-backed securities | 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 | (311) | |
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 | 129,329 | 165,947 |
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 | 129,329 | 165,947 |
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 | (28,658) | (236,532) |
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 | $ (28,658) | $ (236,532) |
Fair Value - Fair Value Option
Fair Value - Fair Value Option Maturities, Recurring Basis (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Fair value | ||
Total fair value | $ 5,200,350 | $ 4,420,691 |
Recurring basis | ||
Fair value | ||
Total fair value | 5,200,350 | 4,420,691 |
Mortgage loans held for sale | Recurring basis | ||
Fair value | ||
Current through 89 days delinquent | 5,162,089 | 4,378,042 |
Not in foreclosure | 32,071 | 35,253 |
In foreclosure | 6,190 | 7,396 |
Total fair value | 5,200,350 | 4,420,691 |
Principal amount due upon maturity | ||
Current through 89 days delinquent | 5,062,370 | 4,233,764 |
Not in foreclosure | 35,496 | 38,922 |
In foreclosure | 13,853 | 22,003 |
Total principal amount due upon maturity | 5,111,719 | 4,294,689 |
Difference | ||
Current through 89 days delinquent | 99,719 | 144,278 |
Not in foreclosure | (3,425) | (3,669) |
In foreclosure | (7,663) | (14,607) |
Total difference | $ 88,631 | $ 126,002 |
Fair Value - Measurement Basis,
Fair Value - Measurement Basis, Nonrecurring (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2024 | Mar. 31, 2023 | Dec. 31, 2023 | |
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||
Notes payable secured by mortgage servicing assets | $ 1,972,020 | $ 1,873,415 | |
Unsecured Senior Notes | 2,521,031 | 2,519,651 | |
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 | 1,722,656 | 1,724,290 | |
Unsecured senior notes. | |||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||
Unsecured Senior Notes | 2,521,031 | 2,519,651 | |
Nonrecurring basis | |||
Financial statement items measured at fair value on a nonrecurring basis | |||
Real estate acquired in settlement of loans | 2,473 | 2,669 | |
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||
Real estate acquired in settlement of loans | (1,210) | $ (558) | |
Nonrecurring basis | Level 3 | |||
Financial statement items measured at fair value on a nonrecurring basis | |||
Real estate acquired in settlement of loans | 2,473 | 2,669 | |
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 | 1,736,738 | 1,730,000 | |
Total | Unsecured senior notes. | |||
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis | |||
Unsecured Senior Notes | $ 2,472,415 | $ 2,467,750 |
Fair Value - Level 3 Unobservab
Fair Value - Level 3 Unobservable Inputs, Mortgage Loans and IRLC (Details) $ in Thousands | Mar. 31, 2024 USD ($) item | Dec. 31, 2023 USD ($) item |
Excess servicing spread financing | ||
Loans held for sale | $ 5,200,350 | $ 4,420,691 |
Mortgage loans held for sale | Level 3 | ||
Excess servicing spread financing | ||
Loans held for sale | $ 466,392 | $ 478,564 |
Mortgage loans held for sale | Discount rate | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 0.067 | 0.071 |
Mortgage loans held for sale | Discount rate | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 0.102 | 0.102 |
Mortgage loans held for sale | Discount rate | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 0.074 | 0.072 |
Mortgage loans held for sale | Twelve-month projected housing price index Change | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 0.018 | 0.003 |
Mortgage loans held for sale | Twelve-month projected housing price index Change | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 0.019 | 0.005 |
Mortgage loans held for sale | Twelve-month projected housing price index Change | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 0.018 | 0.005 |
Mortgage loans held for sale | Prepayment/resale speed | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 0.062 | 0.040 |
Mortgage loans held for sale | Prepayment/resale speed | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 0.389 | 0.369 |
Mortgage loans held for sale | Prepayment/resale speed | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 0.259 | 0.248 |
Mortgage loans held for sale | Total prepayment speed | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 0.063 | 0.040 |
Mortgage loans held for sale | Total prepayment speed | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 0.473 | 0.503 |
Mortgage loans held for sale | Total prepayment speed | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 0.293 | 0.322 |
Interest rate lock commitments | Level 3 | ||
Excess servicing spread financing | ||
Fair Value | $ 69,808 | $ 89,593 |
Committed amount | $ 7,270,122 | $ 6,349,628 |
Interest rate lock commitments | Pull-through rate | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 0.196 | 0.102 |
Interest rate lock commitments | Pull-through rate | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 1 | 1 |
Interest rate lock commitments | Pull-through rate | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 0.791 | 0.811 |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | item | 1.1 | 1.1 |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | item | 7.8 | 7.3 |
Interest rate lock commitments | Mortgage servicing rights value expressed as servicing fee multiple | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | item | 4.4 | 4.2 |
Interest rate lock commitments | Percentage of unpaid principal balance | Level 3 | Minimum | ||
Excess servicing spread financing | ||
Input | 0.003 | 0.003 |
Interest rate lock commitments | Percentage of unpaid principal balance | Level 3 | Maximum | ||
Excess servicing spread financing | ||
Input | 0.043 | 0.043 |
Interest rate lock commitments | Percentage of unpaid principal balance | Level 3 | Weighted average | ||
Excess servicing spread financing | ||
Input | 0.021 | 0.019 |
Fair Value - Level 3 Unobserv_2
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Rights - Initial Recognition (Details) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2024 USD ($) Y | Mar. 31, 2023 USD ($) Y | Dec. 31, 2023 USD ($) Y | |
Mortgage servicing rights | |||
Inputs | |||
Amount recognized | $ 412,520,000 | $ 286,533,000 | |
Total | Mortgage servicing rights | Level 3 | Minimum | |||
Inputs: | |||
Annual per-loan cost of servicing | 70 | $ 70 | |
Total | Mortgage servicing rights | Level 3 | Maximum | |||
Inputs: | |||
Annual per-loan cost of servicing | 132 | 135 | |
Total | Mortgage servicing rights | Level 3 | Weighted average | |||
Inputs: | |||
Annual per-loan cost of servicing | $ 107 | $ 107 | |
Total | Mortgage servicing rights | Pricing spread | Level 3 | Minimum | |||
Inputs: | |||
Input | 0.055 | 0.055 | |
Total | Mortgage servicing rights | Pricing spread | Level 3 | Maximum | |||
Inputs: | |||
Input | 0.126 | 0.126 | |
Total | Mortgage servicing rights | Pricing spread | Level 3 | Weighted average | |||
Inputs: | |||
Input | 0.064 | 0.064 | |
Total | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Minimum | |||
Inputs: | |||
Input | 0.060 | 0.061 | |
Total | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Maximum | |||
Inputs: | |||
Input | 0.176 | 0.178 | |
Total | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Weighted average | |||
Inputs: | |||
Input | 0.079 | 0.083 | |
Total | Mortgage servicing rights | Life | Level 3 | Minimum | |||
Inputs: | |||
Input | Y | 3 | 3 | |
Total | Mortgage servicing rights | Life | Level 3 | Maximum | |||
Inputs: | |||
Input | Y | 9 | 9 | |
Total | Mortgage servicing rights | Life | Level 3 | Weighted average | |||
Inputs: | |||
Input | Y | 8.2 | 8.1 | |
Total | Mortgage servicing rights | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | |||
Inputs | |||
Amount recognized | $ 412,520,000 | 286,533,000 | |
Unpaid principal balance of underlying loans | $ 19,484,815,000 | $ 13,695,364,000 | |
Weighted-average servicing fee rate (as a percent) | 0.44% | 0.50% | |
Total | Mortgage servicing rights | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Minimum | |||
Inputs: | |||
Annual per-loan cost of servicing | $ 71 | $ 68 | |
Total | Mortgage servicing rights | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Maximum | |||
Inputs: | |||
Annual per-loan cost of servicing | 127 | 125 | |
Total | Mortgage servicing rights | MSRs at the time of initial recognition, excluding MSR purchases | Level 3 | Weighted average | |||
Inputs: | |||
Annual per-loan cost of servicing | $ 99 | $ 103 | |
Total | Mortgage servicing rights | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Minimum | |||
Inputs: | |||
Input | 0.055 | 0.055 | |
Total | Mortgage servicing rights | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Maximum | |||
Inputs: | |||
Input | 0.126 | 0.117 | |
Total | Mortgage servicing rights | MSRs at the time of initial recognition, excluding MSR purchases | Pricing spread | Level 3 | Weighted average | |||
Inputs: | |||
Input | 0.063 | 0.077 | |
Total | Mortgage servicing rights | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Minimum | |||
Inputs: | |||
Input | 0.079 | 0.092 | |
Total | Mortgage servicing rights | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Maximum | |||
Inputs: | |||
Input | 0.159 | 0.232 | |
Total | Mortgage servicing rights | MSRs at the time of initial recognition, excluding MSR purchases | Annual total prepayment speed | Level 3 | Weighted average | |||
Inputs: | |||
Input | 0.110 | 0.117 | |
Total | Mortgage servicing rights | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Minimum | |||
Inputs: | |||
Input | Y | 3.5 | 3 | |
Total | Mortgage servicing rights | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Maximum | |||
Inputs: | |||
Input | Y | 9.3 | 8.4 | |
Total | Mortgage servicing rights | MSRs at the time of initial recognition, excluding MSR purchases | Life | Level 3 | Weighted average | |||
Inputs: | |||
Input | Y | 7.5 | 7.3 |
Fair Value - Level 3 Unobserv_3
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Rights, Effect of Change In Inputs on Fair Value (Details) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2024 USD ($) Y | Dec. 31, 2023 USD ($) Y | |
MSR and pool characteristics | ||
Carrying value | $ 7,483,210,000 | $ 7,099,348,000 |
Mortgage servicing liabilities | Level 3 | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 992 | 1,043 |
Total | Mortgage servicing rights | Level 3 | ||
MSR and pool characteristics | ||
Carrying value | 7,483,210,000 | 7,099,348,000 |
Unpaid principal balance of underlying loans | $ 381,470,663,000 | $ 370,244,119,000 |
Weighted-average note interest rate (as a percent) | 4.20% | 4.10% |
Weighted-average servicing fee rate (as a percent) | 0.38% | 0.38% |
Pricing spread | ||
Effect on fair value of 5% adverse change | $ (98,475,000) | $ (94,307,000) |
Effect on fair value of 10% adverse change | (194,382,000) | (186,129,000) |
Effect on fair value of 20% adverse change | (378,857,000) | (362,671,000) |
Prepayment speed | ||
Effect on fair value of 5% adverse change | (110,071,000) | (107,757,000) |
Effect on fair value of 10% adverse change | (216,317,000) | (211,643,000) |
Effect on fair value of 20% adverse change | (418,132,000) | (408,638,000) |
Annual per-loan cost of servicing | ||
Effect on fair value of 5% adverse change | (45,114,000) | (44,572,000) |
Effect on fair value of 10% adverse change | (90,228,000) | (89,145,000) |
Effect on fair value of 20% adverse change | (180,457,000) | (178,289,000) |
Total | Mortgage servicing rights | Level 3 | Minimum | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 70 | 70 |
Total | Mortgage servicing rights | Level 3 | Maximum | ||
Prepayment speed | ||
Annual per-loan cost of servicing | 132 | 135 |
Total | Mortgage servicing rights | Level 3 | Weighted average | ||
Prepayment speed | ||
Annual per-loan cost of servicing | $ 107 | $ 107 |
Total | Mortgage servicing rights | Pricing spread | Level 3 | Minimum | ||
Inputs | ||
Input | 0.055 | 0.055 |
Total | Mortgage servicing rights | Pricing spread | Level 3 | Maximum | ||
Inputs | ||
Input | 0.126 | 0.126 |
Total | Mortgage servicing rights | Pricing spread | Level 3 | Weighted average | ||
Inputs | ||
Input | 0.064 | 0.064 |
Total | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Minimum | ||
Inputs | ||
Input | 0.060 | 0.061 |
Total | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Maximum | ||
Inputs | ||
Input | 0.176 | 0.178 |
Total | Mortgage servicing rights | Annual total prepayment speed | Level 3 | Weighted average | ||
Inputs | ||
Input | 0.079 | 0.083 |
Total | Mortgage servicing rights | Life | Level 3 | Minimum | ||
Inputs | ||
Input | Y | 3 | 3 |
Total | Mortgage servicing rights | Life | Level 3 | Maximum | ||
Inputs | ||
Input | Y | 9 | 9 |
Total | Mortgage servicing rights | Life | Level 3 | Weighted average | ||
Inputs | ||
Input | Y | 8.2 | 8.1 |
Fair Value - Level 3 Unobserv_4
Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Liabilities (Details) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2024 USD ($) Y | Dec. 31, 2023 USD ($) Y | |
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 | $ 1,732,000 | $ 1,805,000 |
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 | 1,732,000 | 1,805,000 |
Unpaid principal balance of underlying loans | $ 22,644,000 | $ 24,892,000 |
Servicing fee rate (as a percent) | 0.25% | 0.25% |
Annual per-loan cost of servicing | $ 992 | $ 1,043 |
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 | 0.085 | 0.083 |
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 | 0.159 | 0.161 |
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 | Y | 5.1 | 5.1 |
Mortgage-Backed Securities (Det
Mortgage-Backed Securities (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2024 USD ($) | |
Mortgage-backed securities | |
Fair Value | $ 524,576 |
Principal-Only-Strip MBS | |
Mortgage-backed securities | |
Contractual maturities term | 10 years |
Principal Balance | $ 654,884 |
Unearned discounts | (129,997) |
Cumulative valuation changes | (311) |
Fair Value | $ 524,576 |
Loans Held for Sale at Fair V_3
Loans Held for Sale at Fair Value (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | $ 5,200,350 | $ 4,420,691 |
Government-insured or guaranteed | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 2,517,566 | 2,099,135 |
Conventional mortgage loans | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 2,158,242 | 1,821,085 |
Jumbo Loan | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 58,150 | 21,907 |
Closed-end second lien mortgage loans | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 230,639 | 322,015 |
Mortgage loans purchased from Ginnie Mae pools serviced by the entity | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 222,286 | 146,585 |
Mortgage loans repurchased pursuant to representations and warranties | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 13,467 | 9,964 |
Asset Pledged as Collateral without Right | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 5,127,134 | 4,329,501 |
Asset Pledged as Collateral without Right | Loan Repo Facility | ||
Mortgage Loans Held for Sale at Fair Value | ||
Loans held for sale | 4,741,330 | 3,858,977 |
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 | $ 385,804 | $ 470,524 |
Derivative Financial Instrume_3
Derivative Financial Instruments - Other Information (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2024 | Mar. 31, 2023 | Dec. 31, 2023 | |
Derivative assets: | |||
Margin deposits placed with counterparties | $ (154,321) | $ (135,645) | |
Derivative asset, before netting | 145,678 | 258,809 | |
Netting | (36,691) | (79,730) | |
Total derivative assets | 108,987 | 179,079 | |
Derivative liabilities: | |||
Derivative liability, before netting | 46,435 | 101,866 | |
Netting | (5,651) | (48,591) | |
Net amounts of liabilities presented in the consolidated balance sheet | 40,784 | 53,275 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Gains (losses) recognized on derivative financial instruments | (294,645) | $ 47,227 | |
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 | 52,237 | (94,798) | |
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 | (294,334) | 47,227 | |
Margin Deposits | |||
Derivative assets: | |||
Collateral placed with (received from) derivative counterparties | (31,040) | (31,139) | |
Interest rate lock commitments | |||
Derivative assets: | |||
Total derivative assets | 74,545 | 90,313 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Gains (losses) recognized on derivative financial instruments | (19,786) | $ 33,002 | |
Forward contracts | Purchases | |||
Derivative Instruments | |||
Notional amount | 14,624,053 | 15,863,667 | |
Derivative assets: | |||
Derivative asset, before netting | 21,887 | 78,448 | |
Derivative liabilities: | |||
Derivative liability, before netting | 6,049 | 5,141 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Balance at beginning of year | 15,863,667 | ||
Balance at end of year | 14,624,053 | ||
Forward contracts | Sales | |||
Derivative Instruments | |||
Notional amount | 17,168,191 | 14,477,159 | |
Derivative assets: | |||
Derivative asset, before netting | 18,622 | 6,151 | |
Derivative liabilities: | |||
Derivative liability, before netting | 35,649 | 92,796 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Balance at beginning of year | 14,477,159 | ||
Balance at end of year | 17,168,191 | ||
MBS put options | |||
Derivative Instruments | |||
Notional amount | 2,700,000 | 2,925,000 | |
Derivative assets: | |||
Derivative asset, before netting | 1,970 | 413 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Balance at beginning of year | 2,925,000 | ||
Balance at end of year | 2,700,000 | ||
MBS call options | |||
Derivative Instruments | |||
Notional amount | 1,000,000 | ||
Derivative assets: | |||
Derivative asset, before netting | 6,265 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Balance at beginning of year | 1,000,000 | ||
Put options on Eurodollar futures | Purchases | |||
Derivative Instruments | |||
Notional amount | 8,917,500 | 8,717,500 | |
Derivative assets: | |||
Derivative asset, before netting | 25,353 | 11,043 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Balance at beginning of year | 8,717,500 | ||
Balance at end of year | 8,917,500 | ||
Call options on Eurodollar futures | Purchases | |||
Derivative Instruments | |||
Notional amount | 1,625,000 | 4,250,000 | |
Derivative assets: | |||
Derivative asset, before netting | 3,301 | 66,176 | |
Derivative liabilities: | |||
Derivative liability, before netting | 3,209 | ||
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Balance at beginning of year | 4,250,000 | ||
Balance at end of year | 1,625,000 | ||
Treasury future | Purchases | |||
Derivative Instruments | |||
Notional amount | 8,068,300 | 5,986,500 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Balance at beginning of year | 5,986,500 | ||
Balance at end of year | 8,068,300 | ||
Treasury future | Sales | |||
Derivative Instruments | |||
Notional amount | 9,408,000 | 10,677,000 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Balance at beginning of year | 10,677,000 | ||
Balance at end of year | 9,408,000 | ||
Not designated as hedging instrument | Interest rate lock commitments | |||
Derivative Instruments | |||
Notional amount | 7,270,122 | 6,349,628 | |
Derivative assets: | |||
Derivative asset, before netting | 74,545 | 90,313 | |
Derivative liabilities: | |||
Derivative liability, before netting | 4,737 | $ 720 | |
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value | |||
Balance at beginning of year | 6,349,628 | ||
Balance at end of year | $ 7,270,122 |
Derivative Financial Instrume_4
Derivative Financial Instruments - Offsetting of Derivative Assets (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Derivatives subject to master netting arrangements: | ||
Gross amounts offset in the consolidated balance sheet | $ (36,691) | $ (79,730) |
Total | ||
Gross amounts of recognized assets | 145,678 | 258,809 |
Net amounts of assets presented in the balance sheet | 108,987 | 179,079 |
Interest rate lock commitments | ||
Total | ||
Net amounts of assets presented in the balance sheet | 74,545 | 90,313 |
MBS put options | ||
Total | ||
Gross amounts of recognized assets | 1,970 | 413 |
MBS call options | ||
Total | ||
Gross amounts of recognized assets | 6,265 | |
Forward contracts | Purchases | ||
Total | ||
Gross amounts of recognized assets | 21,887 | 78,448 |
Forward contracts | Sales | ||
Total | ||
Gross amounts of recognized assets | 18,622 | 6,151 |
Put options on Eurodollar futures | Purchases | ||
Total | ||
Gross amounts of recognized assets | 25,353 | 11,043 |
Call options on Eurodollar futures | Purchases | ||
Total | ||
Gross amounts of recognized assets | $ 3,301 | $ 66,176 |
Derivative Financial Instrume_5
Derivative Financial Instruments - Offsetting of Derivative Assets - Derivative Assets, Financial Assets, and Collateral Held by Counterparty (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Total | ||
Net amounts of assets presented in the balance sheet | $ 108,987 | $ 179,079 |
Net amount | 108,987 | 179,079 |
RJ O'Brien | ||
Total | ||
Net amounts of assets presented in the balance sheet | 28,654 | 74,010 |
Net amount | 28,654 | 74,010 |
Citibank, N.A. | ||
Total | ||
Net amounts of assets presented in the balance sheet | 3,476 | 2,947 |
Net amount | 3,476 | 2,947 |
Goldman Sachs | ||
Total | ||
Net amounts of assets presented in the balance sheet | 8,473 | |
Net amount | 8,473 | |
Mizuho Securities | ||
Total | ||
Net amounts of assets presented in the balance sheet | 1,467 | |
Net amount | 1,467 | |
Other | ||
Total | ||
Net amounts of assets presented in the balance sheet | 2,312 | 1,869 |
Net amount | 2,312 | 1,869 |
Interest rate lock commitments | ||
Total | ||
Net amounts of assets presented in the balance sheet | 74,545 | 90,313 |
Net amount | $ 74,545 | $ 90,313 |
Derivative Financial Instrume_6
Derivative Financial Instruments - Offsetting of Derivative Assets - Offsetting of Derivative and Financial Liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Derivatives: Subject to master netting arrangements: | ||
Netting | $ (5,651) | $ (48,591) |
Total. | ||
Gross amounts of recognized liabilities | 46,435 | 101,866 |
Net amounts of liabilities presented in the consolidated balance sheet | 40,784 | 53,275 |
Mortgage loans sold under agreements to repurchase | ||
Net amounts of liabilities presented in the consolidated balance sheet | 5,441,126 | |
Debt Issuance Costs | ||
Net amount of liabilities in the consolidated balance sheet | 5,435,354 | 3,763,956 |
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 5,481,910 | 3,822,724 |
Net amount of liabilities in the consolidated balance sheet | 40,784 | 53,275 |
Loan Repo Facility | ||
Mortgage loans sold under agreements to repurchase | ||
Net amounts of liabilities presented in the consolidated balance sheet | 5,441,126 | 3,769,449 |
Debt Issuance Costs | ||
Debt issuance costs | (5,772) | (5,493) |
Net amount of liabilities in the consolidated balance sheet | 5,435,354 | 3,763,956 |
Forward contracts | Purchases | ||
Total. | ||
Gross amounts of recognized liabilities | 6,049 | 5,141 |
Forward contracts | Sales | ||
Total. | ||
Gross amounts of recognized liabilities | 35,649 | 92,796 |
Interest rate lock commitments | ||
Total | ||
Net amounts of liabilities presented in the consolidated balance sheet | 4,737 | 720 |
Net amount of liabilities in the consolidated balance sheet | $ 4,737 | 720 |
Call options on Eurodollar futures | Purchases | ||
Total. | ||
Gross amounts of recognized liabilities | $ 3,209 |
Derivative Financial Instrume_7
Derivative Financial Instruments - Offsetting of Derivative Assets - Derivative Liabilities, Financial Liabilities, and Collateral Held by Counterparty (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | $ 5,481,910 | $ 3,822,724 |
Financial instruments | (5,441,126) | (3,769,449) |
Net amount of liabilities in the consolidated balance sheet | 40,784 | 53,275 |
Atlas Securitized Products, L.P. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,203,385 | 1,210,473 |
Financial instruments | (1,203,385) | (1,210,473) |
JP Morgan | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 412,478 | 243,225 |
Financial instruments | (412,448) | (243,225) |
Net amount of liabilities in the consolidated balance sheet | 30 | |
Bank of America, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,087,182 | 875,766 |
Financial instruments | (1,086,753) | (872,148) |
Net amount of liabilities in the consolidated balance sheet | 429 | 3,618 |
Barclays | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 197,489 | 128,488 |
Financial instruments | (196,316) | (118,667) |
Net amount of liabilities in the consolidated balance sheet | 1,173 | 9,821 |
Santander US Capital Markets LLC | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 195,541 | |
Financial instruments | (195,307) | |
Net amount of liabilities in the consolidated balance sheet | 234 | |
Citibank, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 293,885 | 174,221 |
Financial instruments | (293,885) | (174,221) |
Royal Bank of Canada | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 666,511 | 457,743 |
Financial instruments | (666,511) | (457,743) |
BNP Paribas | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 322,871 | 185,425 |
Financial instruments | (322,871) | (185,425) |
Morgan Stanley Bank, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 227,757 | 195,714 |
Financial instruments | (223,410) | (164,149) |
Net amount of liabilities in the consolidated balance sheet | 4,347 | 31,565 |
Wells Fargo Bank, N.A. | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 443,386 | 116,275 |
Financial instruments | (416,035) | (114,647) |
Net amount of liabilities in the consolidated balance sheet | 27,351 | 1,628 |
Federal National Mortgage Association | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 189 | 1,337 |
Net amount of liabilities in the consolidated balance sheet | 189 | 1,337 |
Goldman Sachs | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 299,387 | 178,751 |
Financial instruments | (299,205) | (178,751) |
Net amount of liabilities in the consolidated balance sheet | 182 | |
Nomura | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 125,036 | 50,000 |
Financial instruments | (125,000) | (50,000) |
Net amount of liabilities in the consolidated balance sheet | 36 | |
Athene Annuity & Life Assurance Company | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 661 | 2,111 |
Net amount of liabilities in the consolidated balance sheet | 661 | 2,111 |
Other | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,415 | 2,475 |
Net amount of liabilities in the consolidated balance sheet | 1,415 | 2,475 |
Interest rate lock commitments | ||
Derivative liabilities: | ||
Net amounts of liabilities presented in the consolidated balance sheet | 4,737 | 720 |
Net amount of liabilities in the consolidated balance sheet | $ 4,737 | $ 720 |
Mortgage Servicing Rights and_3
Mortgage Servicing Rights and Mortgage Servicing Liabilities - Activity in MSRs at Fair Value (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2024 | Mar. 31, 2023 | Dec. 31, 2023 | |
Change in fair value due to: | |||
Total change in fair value | $ 28,585 | $ 236,447 | |
Assets, Pledging Purpose [Extensible Enumeration] | Notes Payable | Notes Payable | |
Mortgage servicing rights | |||
Activity in MSRs carried at fair value | |||
Balance at beginning of quarter | $ 7,099,348 | 5,953,621 | |
Additions - Resulting from loan sales | 412,520 | 286,533 | |
Additions | 412,520 | 286,301 | |
Sales | (232) | ||
Change in fair value due to: | |||
Changes in valuation inputs used in valuation model | 169,952 | (90,279) | |
Other changes in fair value | (198,610) | (146,253) | |
Total change in fair value | (28,658) | (236,532) | |
Balance at end of quarter | 7,483,210 | 6,003,390 | |
UPB of underlying loan at end of quarter | $ 381,470,663 | $ 321,263,982 | |
Asset Pledged as Collateral without Right | |||
Change in fair value due to: | |||
Assets, Pledging Purpose [Extensible Enumeration] | Notes Payable | Notes Payable | |
Asset Pledged as Collateral without Right | Mortgage servicing rights | |||
Activity in MSRs carried at fair value | |||
Balance at beginning of quarter | $ 7,033,892 | ||
Change in fair value due to: | |||
Balance at end of quarter | $ 7,406,892 | ||
Assets, Pledging Purpose [Extensible Enumeration] | Notes Payable | Notes Payable |
Mortgage Servicing Rights and_4
Mortgage Servicing Rights and Mortgage Servicing Liabilities - Mortgage Servicing Liabilities Carried at FV (Details) - Mortgage servicing liabilities - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Amortized cost: | ||
Balance at beginning of quarter | $ 1,805 | $ 2,096 |
Changes in valuation inputs used in valuation model | (27) | (15) |
Other changes in fair value | (46) | (70) |
Total change in fair value | (73) | (85) |
Balance at end of quarter | 1,732 | 2,011 |
UPB of underlying loan at end of quarter | $ 22,644 | $ 28,380 |
Mortgage Servicing Rights and_5
Mortgage Servicing Rights and Mortgage Servicing Liabilities - Servicing, Late, Ancillary and Other Fees Relating to MSRs (Details) - Mortgage servicing rights - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Contractual servicing fees | $ 358,026 | $ 290,697 |
Other fees: | ||
Late charges | 17,609 | 12,601 |
Other | 2,640 | 2,181 |
Loan servicing fees | $ 378,275 | $ 305,479 |
Other Assets - Other (Details)
Other Assets - Other (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Carrying value: | ||
Margin deposits | $ 154,321 | $ 135,645 |
Capitalized software, net | 140,419 | 148,736 |
Operating lease right-of-use assets | $ 46,490 | $ 49,926 |
Operating Lease, Right-of-Use Asset, Statement of Financial Position [Extensible Enumeration] | Other assets | Other assets |
Servicing fee receivables, net | $ 34,312 | $ 37,271 |
Other servicing receivables | 45,280 | 30,530 |
Interest receivable | 39,837 | 35,196 |
Prepaid expenses | 35,325 | 36,044 |
Real estate acquired in settlement of loans | 18,195 | 14,982 |
Furniture, fixtures, equipment and building improvements, net | 17,951 | 19,016 |
Deposits securing Assets sold under agreements to repurchase and Notes payable secured by mortgage servicing assets | 16,175 | 15,653 |
Other | 75,063 | 59,461 |
Other assets | 623,368 | 582,460 |
Asset Pledged as Collateral without Right | ||
Carrying value: | ||
Other assets | 16,175 | 15,653 |
Asset Pledged as Collateral without Right | Deposits. | ||
Carrying value: | ||
Other assets | $ 16,175 | $ 15,653 |
Leases (Details)
Leases (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Leases | ||
Operating lease option to extend | true | |
Lease expenses: | ||
Operating leases | $ 4,031 | $ 4,949 |
Short-term leases | 84 | 163 |
Sublease income | (425) | (96) |
Net lease expense included in Occupancy and equipment | 3,690 | 5,016 |
Payments for operating leases | $ 4,974 | 5,696 |
Operating lease right-of-use assets recognized | $ 1,727 | |
Remaining lease term (in year) | 4 years 1 month 6 days | 4 years 7 months 6 days |
Discount rate (as a percent) | 3.80% | 3.80% |
Operating lease liabilities | ||
2025 | $ 19,540 | |
2026 | 18,635 | |
2027 | 13,385 | |
2028 | 5,791 | |
2029 | 5,009 | |
Thereafter | 5,791 | |
Total lease payments | 68,151 | |
Less imputed interest | (6,487) | |
Operating lease liability included in Accounts payable and accrued expenses | $ 61,664 | |
Operating Lease, Liability, Statement of Financial Position [Extensible Enumeration] | Accounts Payable and Accrued Liabilities | |
Minimum | ||
Leases | ||
Remaining operating lease term | 1 year | |
Maximum | ||
Leases | ||
Remaining operating lease term | 7 years | |
Operating lease renewal term | 5 years |
Short-Term Debt - Assets Sold U
Short-Term Debt - Assets Sold Under Agreement to Repurchase (Details) - USD ($) | 3 Months Ended | ||
Mar. 31, 2024 | Mar. 31, 2023 | Dec. 31, 2023 | |
Carrying value: | |||
Unpaid principal balance | $ 5,441,126,000 | ||
Total loans sold under agreements to repurchase | 5,435,354,000 | $ 3,763,956,000 | |
Loans held for sale | 5,200,350,000 | 4,420,691,000 | |
Servicing advances, net | $ 499,955,000 | $ 694,038,000 | |
Assets, Pledging Purpose [Extensible Enumeration] | Notes Payable | Notes Payable | |
Mortgage servicing rights, at fair value | $ 7,483,210,000 | $ 7,099,348,000 | |
Other Assets | 623,368,000 | 582,460,000 | |
Note Payable | |||
During the period: | |||
Average balance of assets sold under agreements to repurchase | 1,950,330,000 | $ 2,092,056,000 | |
Carrying value: | |||
Amortization of debt issuance costs | 750,000 | 932,000 | |
Loan Repo Facility | |||
During the period: | |||
Average balance of assets sold under agreements to repurchase | $ 3,542,537,000 | $ 3,508,262,000 | |
Weighted-average interest rate | 7.24% | 6.54% | |
Total interest expense | $ 70,435,000 | $ 59,223,000 | |
Maximum daily amount outstanding | 5,442,438,000 | 5,768,570,000 | |
Carrying value: | |||
Unpaid principal balance | 5,441,126,000 | 3,769,449,000 | |
Unamortized debt issuance costs | (5,772,000) | (5,493,000) | |
Total loans sold under agreements to repurchase | $ 5,435,354,000 | $ 3,763,956,000 | |
Weighted average interest rate | 6.92% | 7.05% | |
Available borrowing capacity committed | $ 712,341,000 | $ 1,282,040,000 | |
Available borrowing capacity uncommitted | 4,838,453,000 | 5,548,511,000 | |
Available borrowing capacity | 5,550,794,000 | 6,830,551,000 | |
Amortization of debt issuance costs | 6,700,000 | $ 2,600,000 | |
Asset Pledged as Collateral without Right | |||
Carrying value: | |||
Loans held for sale | 5,127,134,000 | 4,329,501,000 | |
Servicing advances, net | $ 271,947,000 | $ 354,831,000 | |
Assets, Pledging Purpose [Extensible Enumeration] | Notes Payable | Notes Payable | |
Mortgage servicing rights, at fair value | $ 7,406,892,000 | $ 7,033,892,000 | |
Other Assets | $ 16,175,000 | $ 15,653,000 | |
Asset Pledged as Collateral without Right | Mortgage servicing rights | |||
Carrying value: | |||
Assets, Pledging Purpose [Extensible Enumeration] | Notes Payable | Notes Payable | |
Asset Pledged as Collateral without Right | Note Payable | Mortgage servicing rights | |||
Carrying value: | |||
Mortgage servicing rights, at fair value | $ 7,406,892,000 | $ 7,033,892,000 | |
Asset Pledged as Collateral without Right | Note Payable | Servicing advances | |||
Carrying value: | |||
Servicing advances, net | 271,947,000 | 354,831,000 | |
Asset Pledged as Collateral without Right | Loan Repo Facility | Principal-only stripped MBS | |||
Carrying value: | |||
Principal-only stripped MBS | 524,576,000 | ||
Asset Pledged as Collateral without Right | Loan Repo Facility | Mortgage servicing rights | |||
Carrying value: | |||
Mortgage servicing rights, at fair value | 6,533,305,000 | 6,284,239,000 | |
Asset Pledged as Collateral without Right | Loan Repo Facility | Servicing advances | |||
Carrying value: | |||
Servicing advances, net | 271,947,000 | 354,831,000 | |
Asset Pledged as Collateral without Right | Mortgage loans held for sale | Loan Repo Facility | Loans held for sale | |||
Carrying value: | |||
Loans held for sale | 4,741,330,000 | 3,858,977,000 | |
Asset Pledged as Collateral without Right | Deposits. | |||
Carrying value: | |||
Other Assets | 16,175,000 | 15,653,000 | |
Asset Pledged as Collateral without Right | Deposits. | Note Payable | Deposits | |||
Carrying value: | |||
Other Assets | 16,175,000 | 15,653,000 | |
Asset Pledged as Collateral without Right | Deposits. | Loan Repo Facility | Deposits | |||
Carrying value: | |||
Other Assets | $ 16,175,000 | $ 15,653,000 |
Short-Term Debt - Maturities of
Short-Term Debt - Maturities of Outstanding Advances Under Repurchase Agreements (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2024 USD ($) | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 5,441,126 |
Weighted-average maturity (in months) | 3 months 15 days |
Within 30 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 1,291,192 |
Over 30 to 90 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | 3,225,500 |
Over 90 to 180 days | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | 139,760 |
Over 180 days to one year | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | 210,923 |
Over one year to two year | |
Mortgage loans sold under agreement to repurchase | |
Unpaid principal balance | $ 573,751 |
Short-Term Debt - Mortgage Loan
Short-Term Debt - Mortgage Loans Sold Under Agreement to Repurchase by Counterparty (Details) - Loan Repo Facility $ in Thousands | Mar. 31, 2024 USD ($) |
Atlas Securitized Products L.P. & Citibank, N.A. & Goldman Sachs Bank USA | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 4,537,873 |
Bank of America, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 73,125 |
JP Morgan | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 21,732 |
BNP Paribas | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 13,954 |
Atlas Securitized Products, L.P. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 121,197 |
Barclays | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 30,560 |
Goldman Sachs | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 12,362 |
Citibank, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 7,661 |
Morgan Stanley Bank, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 11,023 |
Royal Bank of Canada | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 29,023 |
Wells Fargo Bank, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 11,917 |
Short-Term Debt - Principal onl
Short-Term Debt - Principal only stripped MBS (Details) $ in Thousands | Mar. 31, 2024 USD ($) |
Wells Fargo Bank, N.A. | Principal-only stripped MBS | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 11,838 |
JP Morgan Chase Bank | Principal-only stripped MBS | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 11,546 |
Santander US Capital Markets LLC | Principal-only stripped MBS | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | 8,968 |
Loan Repo Facility | Wells Fargo Bank, N.A. | |
Mortgage loans sold under agreement to repurchase | |
Amount at risk | $ 11,917 |
Short-Term Debt - Mortgage Lo_2
Short-Term Debt - Mortgage Loan Participation and Sale Agreement (Details) | 3 Months Ended | ||
Mar. 31, 2024 USD ($) item | Mar. 31, 2023 USD ($) | Dec. 31, 2023 USD ($) | |
Carrying value: | |||
Loans held for sale | $ 5,200,350,000 | $ 4,420,691,000 | |
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 363,798,000 | 446,054,000 | |
Mortgage Loan Participation and Sale Agreement member | |||
Short-term Debt [Line Items] | |||
Number of borrowing facilities secured by loans held for sale | item | 2 | ||
During the year: | |||
Average balance | $ 234,874,000 | $ 184,193,000 | |
Weighted-average interest rate | 6.69% | 6.06% | |
Total interest expense | $ 4,077,000 | $ 2,923,000 | |
Carrying value: | |||
Amortization of debt issuance costs | 172,000 | 172,000 | |
Mortgage Loan Participation and Sale Agreement member | Maximum | |||
Carrying value: | |||
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | 515,990,000 | 515,537,000 | |
Note Payable | |||
Carrying value: | |||
Unamortized debt issuance costs | (7,980,000) | (6,585,000) | |
Amortization of debt issuance costs | 750,000 | $ 932,000 | |
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 | 363,978,000 | 446,406,000 | |
Unamortized debt issuance costs | (180,000) | (352,000) | |
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates | $ 363,798,000 | $ 446,054,000 | |
Weighted average interest rate | 6.58% | 6.60% | |
Asset Pledged as Collateral without Right | |||
Carrying value: | |||
Loans held for sale | $ 5,127,134,000 | $ 4,329,501,000 | |
Asset Pledged as Collateral without Right | Mortgage Loan Participation and Sale Agreement member | |||
Carrying value: | |||
Loans held for sale | $ 385,804,000 | $ 470,524,000 |
Long-Term Debt - Note Payable (
Long-Term Debt - Note Payable (Details) - USD ($) | 3 Months Ended | |||
Mar. 31, 2024 | Mar. 31, 2023 | Dec. 31, 2023 | Dec. 16, 2022 | |
During the year: | ||||
Unpaid principal balance | $ 5,441,126,000 | |||
Carrying value: | ||||
Notes payable | 1,972,020,000 | $ 1,873,415,000 | ||
Unsecured senior notes | 2,521,031,000 | 2,519,651,000 | ||
Servicing advances, net | 499,955,000 | 694,038,000 | ||
Mortgage servicing rights, at fair value | $ 7,483,210,000 | $ 7,099,348,000 | ||
Assets, Pledging Purpose [Extensible Enumeration] | Notes payable | Notes payable | ||
Other Assets | $ 623,368,000 | $ 582,460,000 | ||
Notes payable | ||||
Repayments of Notes Payable | 625,000,000 | $ 150,000,000 | ||
Asset Pledged as Collateral without Right | ||||
Carrying value: | ||||
Servicing advances, net | 271,947,000 | 354,831,000 | ||
Mortgage servicing rights, at fair value | $ 7,406,892,000 | $ 7,033,892,000 | ||
Assets, Pledging Purpose [Extensible Enumeration] | Notes payable | Notes payable | ||
Other Assets | $ 16,175,000 | $ 15,653,000 | ||
Asset Pledged as Collateral without Right | Mortgage servicing rights | ||||
Carrying value: | ||||
Assets, Pledging Purpose [Extensible Enumeration] | Notes payable | Notes payable | ||
Asset Pledged as Collateral without Right | Deposits. | ||||
Carrying value: | ||||
Other Assets | $ 16,175,000 | $ 15,653,000 | ||
Note Payable | ||||
During the year: | ||||
Average balance | $ 1,950,330,000 | $ 2,092,056,000 | ||
Weighted-average interest rate (as a percent) | 8.92% | 7.72% | ||
Total interest expense | $ 44,006,000 | $ 40,778,000 | ||
Carrying value: | ||||
Unpaid principal balance | 1,980,000,000 | 1,880,000,000 | ||
Unamortized debt issuance costs | (7,980,000) | (6,585,000) | ||
Notes payable | $ 1,972,020,000 | $ 1,873,415,000 | ||
Weighted-average interest rate (as a percent) | 8.69% | 8.82% | ||
Amortization of Financing Costs | $ 750,000 | 932,000 | ||
Notes payable | ||||
Maximum loan amount | 1,730,000,000 | |||
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 | 7,406,892,000 | $ 7,033,892,000 | ||
Note Payable | Asset Pledged as Collateral without Right | Servicing advances | ||||
Carrying value: | ||||
Servicing advances, net | 271,947,000 | 354,831,000 | ||
Note Payable | Asset Pledged as Collateral without Right | Deposits. | Deposits | ||||
Carrying value: | ||||
Other Assets | 16,175,000 | 15,653,000 | ||
Notes Payable Term Loan 2022-GT1 | SOFR | ||||
Long-Term debt | ||||
Maximum loan amount | $ 500,000,000 | |||
Notes payable | ||||
Interest rate spread | 4.25% | |||
Notes Payable Term Loan 2024-GT1 | SOFR | ||||
Notes payable | ||||
Maximum loan amount | $ 425,000,000 | |||
Interest rate spread | 3.20% | |||
Notes Payable Term Loan 2023-GT1 | SOFR | ||||
Notes payable | ||||
Maximum loan amount | $ 680,000,000 | |||
Interest rate spread | 3% | |||
Notes Payable Term Loan 2023-GT2 | SOFR | ||||
Notes payable | ||||
Maximum loan amount | $ 125,000,000 | |||
Interest rate spread | 3% | |||
Unsecured Senior Note | ||||
During the year: | ||||
Average balance | $ 2,550,000,000 | $ 1,800,000,000 | ||
Weighted-average interest rate (as a percent) | 5.90% | 5.07% | ||
Total interest expense | $ 38,832,000 | $ 23,428,000 | ||
Unpaid principal balance | 2,550,000,000 | 2,550,000,000 | ||
Unamortized debt issuance costs and premiums | (28,969,000) | (30,349,000) | ||
Debt Instrument Unamortized Premium And Debt Issuance Costs Net | $ 2,521,031,000 | $ 2,519,651,000 | ||
Weighted average interest rate (as a percent) | 5.90% | 5.90% | ||
Carrying value: | ||||
Amortization of Financing Costs | $ 1,400,000 | $ 913,000 | ||
Notes payable | ||||
Maximum loan amount | $ 2,550,000,000 | |||
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 | |||
Interest rate spread | 5.375% | |||
Unsecured Senior Notes Two Due October 2025 | ||||
Notes payable | ||||
Maximum loan amount | $ 150,000,000 | |||
Interest rate spread | 5.375% | |||
Unsecured Senior Notes Due February 2029 | ||||
Notes payable | ||||
Maximum loan amount | $ 650,000,000 | |||
Interest rate spread | 4.25% | |||
Unsecured Senior Notes Due September 2031 | ||||
Notes payable | ||||
Maximum loan amount | $ 500,000,000 | |||
Interest rate spread | 5.75% | |||
Unsecured Senior Notes Due December 2029 | ||||
Notes payable | ||||
Maximum loan amount | $ 750,000,000 | |||
Interest rate spread | 7.875% | |||
Term Notes and Term Loans | ||||
Carrying value: | ||||
Unpaid principal balance | $ 1,730,000,000 | $ 1,730,000,000 | ||
Freddie Mac MSR Note Payable | ||||
Carrying value: | ||||
Unpaid principal balance | $ 250,000,000 | $ 150,000,000 |
Long-Term Debt - Maturities (De
Long-Term Debt - Maturities (Details) $ in Thousands | Mar. 31, 2024 USD ($) |
Long-Term debt | |
2025 | $ 250,000 |
2026 | 650,000 |
2028 | 1,180,000 |
2029 | 1,200,000 |
Thereafter | 1,250,000 |
Total | 4,530,000 |
Note Payable | |
Long-Term debt | |
2025 | 250,000 |
2028 | 1,180,000 |
2029 | 550,000 |
Total | 1,980,000 |
Unsecured Senior Note | |
Long-Term debt | |
2026 | 650,000 |
2029 | 650,000 |
Thereafter | 1,250,000 |
Total | $ 2,550,000 |
Long-Term Debt - Obligations Un
Long-Term Debt - Obligations Under Capital Lease (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Leases | ||
Other Assets | $ 623,368 | $ 582,460 |
Asset Pledged as Collateral without Right | ||
Leases | ||
Other Assets | $ 16,175 | $ 15,653 |
Liability for Losses Under Re_3
Liability for Losses Under Representations and Warranties (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
During the period: | ||
Balance at beginning of quarter | $ 30,788 | $ 32,421 |
Provision for losses on loans sold resulting from sales of loans | 3,952 | 1,735 |
Provision for losses on loans sold resulting from change in estimate | (3,320) | (1,445) |
Losses incurred, net | (1,444) | (1,608) |
Balance at end of quarter | 29,976 | 31,103 |
Unpaid principal balance of loans subject to representations and warranties at end of quarter | $ 366,147,661 | $ 303,983,805 |
Income Taxes - General (Details
Income Taxes - General (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
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) | 10.40% | 20.40% |
Income before provision for income taxes | $ 43,883 | $ 38,147 |
Commitments and Contingencies -
Commitments and Contingencies - Other (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | ||
Jan. 12, 2024 | Dec. 31, 2023 | Dec. 31, 2023 | Mar. 31, 2024 | |
Contingencies | ||||
Total commitments to purchase and fund mortgage loans | $ 7,300 | |||
Black Knight Servicing Technologies, LLC | Pending Litigation | ||||
Contingencies | ||||
Damages for breach of contract and misappropriation of trade secrets | $ 150.2 | |||
Litigation settlement amount | $ 158.4 | |||
Black Knight Servicing Technologies, LLC | Pending Litigation | Minimum | ||||
Contingencies | ||||
Damages for breach of contract and misappropriation of trade secrets | $ 155.2 |
Stockholders' Equity (Details)
Stockholders' Equity (Details) - USD ($) shares in Thousands | 3 Months Ended | 82 Months Ended | ||
Mar. 31, 2024 | Mar. 31, 2023 | Mar. 31, 2024 | Aug. 31, 2021 | |
Stockholders' Equity | ||||
Cost of shares of common stock repurchased | $ 45,361,000 | |||
Cumulative common stock repurchase transactions fees. | $ 537,000 | |||
Common Class A [Member] | ||||
Stockholders' Equity | ||||
Authorized stock repurchase amount | $ 2,000,000,000 | |||
Shares of common stock repurchased | 768 | 34,063 | ||
Cost of shares of common stock repurchased | $ 45,361,000 | $ 1,788,198,000 |
Net Gains on Loans Held for S_3
Net Gains on Loans Held for Sale (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Non-cash gain: | ||
Provision for losses relating to representations and warranties on loans sold pursuant to loan sales | $ (3,952) | $ (1,735) |
Provision for losses relating to representations and warranties on loans sold reduction in liability due to change in estimate | 3,320 | 1,445 |
Changes in fair values of loans and derivatives held at end of quarter: | ||
Net gains on loans held for sale at fair value | 162,441 | 104,385 |
Nonrelated Party | ||
Cash losses: | ||
Loans | (309,190) | (55,386) |
Hedging activities | 150,219 | (216,138) |
Cash gain (loss), net of effects of cash hedging, on sale of loans held for sale | (158,971) | (271,524) |
Non-cash gain: | ||
Mortgage servicing rights and mortgage servicing liabilities resulting from loan sales | 412,520 | 286,533 |
Provision for losses relating to representations and warranties on loans sold pursuant to loan sales | (3,952) | (1,735) |
Provision for losses relating to representations and warranties on loans sold reduction in liability due to change in estimate | 3,320 | 1,445 |
Changes in fair values of loans and derivatives held at end of quarter: | ||
Interest rate lock commitments | (19,786) | 33,002 |
Loans | 27,645 | (64,191) |
Hedging derivatives | (97,982) | 121,340 |
Net gains on loans held for sale at fair value | 162,794 | 104,870 |
Related Party | ||
Changes in fair values of loans and derivatives held at end of quarter: | ||
Net gains on loans held for sale at fair value | (353) | (485) |
Related Party | PennyMac Mortgage Investment Trust | ||
Changes in fair values of loans and derivatives held at end of quarter: | ||
Net gains on loans held for sale at fair value | $ (353) | $ (485) |
Net Interest Expense (Details)
Net Interest Expense (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Interest income: | ||
Interest income | $ 156,426,000 | $ 128,478,000 |
Interest expense: | ||
Interest expense | 165,769,000 | 131,771,000 |
Net interest expense | (9,343,000) | (3,293,000) |
Nonrelated Party | ||
Interest income: | ||
Cash and short-term investments | 14,582,000 | 16,245,000 |
Principal-only stripped mortgage-backed securities | 270,000 | |
Loans held for sale at fair value | 65,421,000 | 60,993,000 |
Placement fees relating to custodial funds | 76,133,000 | 51,219,000 |
Interest expense: | ||
Assets sold under agreements to repurchase | 70,435,000 | 59,223,000 |
Mortgage loan participation purchase and sale agreements | 4,077,000 | 2,923,000 |
Notes payable | 44,006,000 | 40,778,000 |
Unsecured senior notes | 38,832,000 | 23,428,000 |
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations | 6,121,000 | 3,210,000 |
Interest on mortgage loan impound deposits | 1,987,000 | 1,967,000 |
Other | 311,000 | 242,000 |
Interest expense | 165,769,000 | 131,771,000 |
Related Party | Townsgate Closing Services, LLC | ||
Interest income: | ||
Interest income | 20,000 | 21,000 |
Loan Repo Facility | ||
Interest expense: | ||
Assets sold under agreements to repurchase | $ 70,435,000 | $ 59,223,000 |
Stock-based Compensation - Othe
Stock-based Compensation - Other (Details) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Stock-Based Compensation | ||
Grant date fair value | $ 40,183 | $ 35,144 |
Stock-based compensation expense | $ 4,583 | $ 11,650 |
Employee Stock Option [Member] | ||
Stock-Based Compensation | ||
Granted (in units) | 188 | 221 |
Grant date fair value | $ 6,935 | $ 5,492 |
Exercised (in units) | 331 | 156 |
Performance-based RSUs | ||
Stock-Based Compensation | ||
Granted (in units) | 246 | 307 |
Grant date fair value | $ 20,915 | $ 18,611 |
Vested (in units) | 309 | 612 |
Time-based RSUs | ||
Stock-Based Compensation | ||
Granted (in units) | 145 | 182 |
Grant date fair value | $ 12,333 | $ 11,041 |
Vested (in units) | 209 | 245 |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Diluted earnings per share of common stock: | ||
Net Income (Loss) | $ 39,308 | $ 30,378 |
Weighted-average common stock outstanding applicable to basic earnings per share (in shares) | 50,547 | 50,154 |
Effect of dilutive shares: | ||
Common shares issuable under stock-based compensation plans (in shares) | 2,553 | 3,198 |
Weighted-average shares of common stock applicable to diluted earnings per share (in shares) | 53,100 | 53,352 |
Basic earnings per share of common stock (in dollars per share) | $ 0.78 | $ 0.61 |
Diluted earnings per share of common stock (in dollars per share) | $ 0.74 | $ 0.57 |
Total anti-dilutive shares and units (in shares) | 798 | 851 |
Performance-based RSUs | ||
Effect of dilutive shares: | ||
Total anti-dilutive shares and units (in shares) | 681 | 431 |
Time-based RSUs | ||
Effect of dilutive shares: | ||
Total anti-dilutive shares and units (in shares) | 51 | 72 |
Employee Stock Option [Member] | ||
Effect of dilutive shares: | ||
Total anti-dilutive shares and units (in shares) | 66 | 348 |
Weighted-average exercise price of anti-dilutive stock options (in dollars per share) | $ 84.93 | $ 58.21 |
Regulatory Capital and Liquid_3
Regulatory Capital and Liquidity Requirements (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Fannie Mae / Freddie Mac - PLS | ||
Regulatory Net Worth and Agency Capital Requirements | ||
Net worth | $ 6,975,317 | $ 6,890,144 |
Capital Requirement | 1,245,241 | 1,211,365 |
Liquidity | 1,147,108 | 1,243,927 |
Liquidity requirement | $ 564,427 | $ 543,913 |
Tangible net worth / Total assets ratio actual | 35% | 37% |
Tangible net worth / Total assets ratio requirement | 6% | 6% |
Ginnie Mae - Issuer - PLS | ||
Regulatory Net Worth and Agency Capital Requirements | ||
Net worth | $ 6,587,372 | $ 6,559,001 |
Capital Requirement | 1,375,796 | 1,314,677 |
Liquidity | 1,394,563 | 1,684,457 |
Liquidity requirement | $ 406,799 | $ 389,501 |
Adjusted net worth / Total assets ratio actual | 43% | 48% |
Adjusted net worth / Total assets ratio requirement | 6% | 6% |
HUD - PLS | ||
Regulatory Net Worth and Agency Capital Requirements | ||
Net worth | $ 6,587,372 | $ 6,559,001 |
Capital Requirement | $ 2,500 | $ 2,500 |
Segments (Details)
Segments (Details) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2024 USD ($) segment | Mar. 31, 2023 USD ($) | Dec. 31, 2023 USD ($) | |
Segments and Related Information | |||
Number of segments | segment | 3 | ||
Revenues: | |||
Net gains on loans held for sale at fair value | $ 162,441 | $ 104,385 | |
Loan origination fees | 36,371 | 31,390 | |
Fulfillment fees from PennyMac Mortgage Investment Trust | 4,016 | 11,923 | |
Net loan servicing fees | 100,954 | 148,837 | |
Net interest expense: | |||
Interest income | 156,426 | 128,478 | |
Interest expense, before non-segment activities | 165,769 | 131,771 | |
Net interest expense, before non-segment activities | (9,343) | (3,293) | |
Management fees from PennyMac Mortgage Investment Trust | 7,188 | 7,257 | |
Other | 4,033 | 2,363 | |
Total net revenues, before non-segment activities | 305,660 | 302,862 | |
Expenses | 261,777 | 264,715 | |
Income before provision for income taxes | 43,883 | 38,147 | |
Assets: | |||
Segment assets at year end | 19,801,741 | $ 18,844,563 | |
Operating segment | |||
Assets: | |||
Segment assets at year end | 19,801,741 | 20,103,185 | |
Operating segment | Investment management | |||
Net interest expense: | |||
Interest income | 84 | ||
Net interest expense, before non-segment activities | 84 | ||
Management fees from PennyMac Mortgage Investment Trust | 7,188 | 7,257 | |
Other | 2,119 | 2,012 | |
Total net revenues, before non-segment activities | 9,391 | 9,269 | |
Expenses | 6,336 | 8,929 | |
Income before provision for income taxes | 3,055 | 340 | |
Assets: | |||
Segment assets at year end | 14,684 | 25,300 | |
Operating segment | Mortgage banking | |||
Revenues: | |||
Net gains on loans held for sale at fair value | 162,441 | 104,385 | |
Loan origination fees | 36,371 | 31,390 | |
Fulfillment fees from PennyMac Mortgage Investment Trust | 4,016 | 11,923 | |
Net loan servicing fees | 100,954 | 148,837 | |
Net interest expense: | |||
Interest income | 156,342 | 128,478 | |
Interest expense, before non-segment activities | 165,769 | 131,771 | |
Net interest expense, before non-segment activities | (9,427) | (3,293) | |
Other | 1,914 | 351 | |
Total net revenues, before non-segment activities | 296,269 | 293,593 | |
Expenses | 255,441 | 255,786 | |
Income before provision for income taxes | 40,828 | 37,807 | |
Assets: | |||
Segment assets at year end | 19,787,057 | 20,077,885 | |
Operating segment | Mortgage banking Production | |||
Revenues: | |||
Net gains on loans held for sale at fair value | 141,431 | 74,726 | |
Loan origination fees | 36,371 | 31,390 | |
Fulfillment fees from PennyMac Mortgage Investment Trust | 4,016 | 11,923 | |
Net interest expense: | |||
Interest income | 63,931 | 56,993 | |
Interest expense, before non-segment activities | 61,896 | 54,083 | |
Net interest expense, before non-segment activities | 2,035 | 2,910 | |
Other | 818 | 574 | |
Total net revenues, before non-segment activities | 184,671 | 121,523 | |
Expenses | 148,779 | 141,163 | |
Income before provision for income taxes | 35,892 | (19,640) | |
Assets: | |||
Segment assets at year end | 5,413,277 | 7,543,466 | |
Operating segment | Mortgage banking Servicing | |||
Revenues: | |||
Net gains on loans held for sale at fair value | 21,010 | 29,659 | |
Net loan servicing fees | 100,954 | 148,837 | |
Net interest expense: | |||
Interest income | 92,411 | 71,485 | |
Interest expense, before non-segment activities | 103,873 | 77,688 | |
Net interest expense, before non-segment activities | (11,462) | (6,203) | |
Other | 1,096 | (223) | |
Total net revenues, before non-segment activities | 111,598 | 172,070 | |
Expenses | 106,662 | 114,623 | |
Income before provision for income taxes | 4,936 | 57,447 | |
Assets: | |||
Segment assets at year end | $ 14,373,780 | $ 12,534,419 |
Subsequent Events (Details)
Subsequent Events (Details) | Apr. 24, 2024 $ / shares |
Subsequent Event | |
Subsequent Event | |
Dividends declared (in dollars per share) | $ 0.20 |
Pay vs Performance Disclosure
Pay vs Performance Disclosure - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Pay vs Performance Disclosure | ||
Net Income (Loss) | $ 39,308 | $ 30,378 |
Insider Trading Arrangements
Insider Trading Arrangements | 3 Months Ended |
Mar. 31, 2024 | |
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 |