XML 55 R35.htm IDEA: XBRL DOCUMENT v3.10.0.1
Fair Value (Tables)
 9 Months Ended
Sep. 30, 2018
Fair Value  
Summary of financial statement items measured at estimated fair value on a recurring basis

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

September 30, 2018

 

    

Level 1

    

Level 2

    

Level 3

    

Total

 

 

(in thousands)

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Short-term investments

 

$

145,476

 

$

 —

 

$

 —

 

$

145,476

Mortgage loans held for sale at fair value

 

 

 —

 

 

2,051,652

 

 

365,303

 

 

2,416,955

Derivative assets:

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate lock commitments

 

 

 —

 

 

 —

 

 

41,075

 

 

41,075

Repurchase agreement derivatives

 

 

 —

 

 

 —

 

 

26,475

 

 

26,475

Forward purchase contracts

 

 

 —

 

 

821

 

 

 —

 

 

821

Forward sales contracts

 

 

 —

 

 

16,892

 

 

 —

 

 

16,892

MBS put options

 

 

 —

 

 

4,413

 

 

 —

 

 

4,413

MBS call options

 

 

 —

 

 

12

 

 

 —

 

 

12

Put options on interest rate futures purchase contracts

 

 

3,063

 

 

 —

 

 

 —

 

 

3,063

Call options on interest rate futures purchase contracts

 

 

63

 

 

 —

 

 

 —

 

 

63

Total derivative assets before netting

 

 

3,126

 

 

22,138

 

 

67,550

 

 

92,814

Netting

 

 

 —

 

 

 —

 

 

 —

 

 

(19,196)

Total derivative assets

 

 

3,126

 

 

22,138

 

 

67,550

 

 

73,618

Investment in PennyMac Mortgage Investment Trust

 

 

1,518

 

 

 —

 

 

 —

 

 

1,518

Mortgage servicing rights at fair value

 

 

 —

 

 

 —

 

 

2,785,964

 

 

2,785,964

 

 

$

150,120

 

$

2,073,790

 

$

3,218,817

 

$

5,423,531

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value

 

$

 —

 

$

 —

 

$

223,275

 

$

223,275

Derivative liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate lock commitments

 

 

 —

 

 

 —

 

 

3,912

 

 

3,912

Forward purchase contracts

 

 

 —

 

 

29,569

 

 

 —

 

 

29,569

Forward sales contracts

 

 

 —

 

 

2,780

 

 

 —

 

 

2,780

Total derivative liabilities before netting

 

 

 —

 

 

32,349

 

 

3,912

 

 

36,261

Netting

 

 

 —

 

 

 —

 

 

 —

 

 

(23,568)

Total derivative liabilities

 

 

 —

 

 

32,349

 

 

3,912

 

 

12,693

Mortgage servicing liabilities at fair value

 

 

 —

 

 

 —

 

 

9,769

 

 

9,769

 

 

$

 —

 

$

32,349

 

$

236,956

 

$

245,737

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2017

 

    

Level 1

    

Level 2

    

Level 3

    

Total

 

 

(in thousands)

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Short-term investments

 

$

170,080

 

$

 —

 

$

 —

 

$

170,080

Mortgage loans held for sale at fair value

 

 

 —

 

 

2,316,892

 

 

782,211

 

 

3,099,103

Derivative assets:

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate lock commitments

 

 

 —

 

 

 —

 

 

60,012

 

 

60,012

Repurchase agreement derivatives

 

 

 —

 

 

 —

 

 

10,656

 

 

10,656

Forward purchase contracts

 

 

 —

 

 

4,288

 

 

 —

 

 

4,288

Forward sales contracts

 

 

 —

 

 

2,101

 

 

 —

 

 

2,101

MBS put options

 

 

 —

 

 

3,481

 

 

 —

 

 

3,481

Put options on interest rate futures purchase contracts

 

 

3,570

 

 

 —

 

 

 —

 

 

3,570

Call options on interest rate futures purchase contracts

 

 

938

 

 

 —

 

 

 —

 

 

938

Total derivative assets before netting

 

 

4,508

 

 

9,870

 

 

70,668

 

 

85,046

Netting

 

 

 —

 

 

 —

 

 

 —

 

 

(6,867)

Total derivative assets

 

 

4,508

 

 

9,870

 

 

70,668

 

 

78,179

Investment in PennyMac Mortgage Investment Trust

 

 

1,205

 

 

 —

 

 

 —

 

 

1,205

Mortgage servicing rights at fair value

 

 

 —

 

 

 —

 

 

638,010

 

 

638,010

 

 

$

175,793

 

$

2,326,762

 

$

1,490,889

 

$

3,986,577

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value

 

$

 —

 

$

 —

 

$

236,534

 

$

236,534

Derivative liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate lock commitments

 

 

 —

 

 

 —

 

 

1,740

 

 

1,740

Forward purchase contracts

 

 

 —

 

 

1,272

 

 

 —

 

 

1,272

Forward sales contracts

 

 

 —

 

 

7,031

 

 

 —

 

 

7,031

Total derivative liabilities before netting

 

 

 —

 

 

8,303

 

 

1,740

 

 

10,043

Netting

 

 

 —

 

 

 —

 

 

 —

 

 

(4,247)

Total derivative liabilities

 

 

 —

 

 

8,303

 

 

1,740

 

 

5,796

Mortgage servicing liabilities at fair value

 

 

 —

 

 

 —

 

 

14,120

 

 

14,120

 

 

$

 —

 

$

8,303

 

$

252,394

 

$

256,450

 

Summary of roll forward of items measured using Level 3 inputs on a recurring basis

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Quarter ended September 30, 2018

 

 

 

Mortgage

 

Net interest 

 

Repurchase

 

Mortgage 

 

 

 

 

 

 

loans held

 

rate lock

 

agreement

 

servicing 

 

 

 

 

 

    

for sale

    

commitments (1)

    

derivatives

    

rights

    

 

Total

 

 

 

(in thousands)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, June 30, 2018

 

$

334,166

 

$

55,689

 

$

25,781

 

$

2,486,157

 

$

2,901,793

 

Purchases and issuances, net

 

 

1,008,662

 

 

41,721

 

 

12,903

 

 

163,511

 

 

1,226,797

 

Sales and repayments

 

 

(231,921)

 

 

 —

 

 

(11,982)

 

 

 —

 

 

(243,903)

 

Mortgage servicing rights resulting from mortgage loan sales

 

 

 —

 

 

 —

 

 

 —

 

 

149,000

 

 

149,000

 

Changes in fair value included in income arising from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in instrument-specific credit risk

 

 

84

 

 

 —

 

 

 —

 

 

 —

 

 

84

 

Other factors

 

 

 —

 

 

10,696

 

 

(227)

 

 

(12,704)

 

 

(2,235)

 

 

 

 

84

 

 

10,696

 

 

(227)

 

 

(12,704)

 

 

(2,151)

 

Transfers from Level 3 to Level 2

 

 

(744,324)

 

 

 —

 

 

 —

 

 

 —

 

 

(744,324)

 

Transfers to real estate acquired in settlement of loans

 

 

(1,364)

 

 

 —

 

 

 —

 

 

 —

 

 

(1,364)

 

Transfers of interest rate lock commitments to mortgage loans held for sale

 

 

 —

 

 

(70,943)

 

 

 —

 

 

 —

 

 

(70,943)

 

Balance, September 30, 2018

 

$

365,303

 

$

37,163

 

$

26,475

 

$

2,785,964

 

$

3,214,905

 

Changes in fair value recognized during the quarter relating to assets still held at September 30, 2018

 

$

(4,811)

 

$

37,163

 

$

 —

 

$

(12,704)

 

$

19,648

 

(1)

For the purpose of this table, the IRLC asset and liability positions are shown net.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Quarter ended September 30, 2018

 

 

 

Excess

 

 

 

 

 

 

 

 

servicing

 

Mortgage

 

 

 

 

 

 

spread

 

servicing

 

 

 

 

 

    

financing

    

liabilities

    

Total

  

 

 

(in thousands)

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

Balance, June 30, 2018

 

$

229,470

 

$

10,253

 

$

239,723

 

Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust

 

 

499

 

 

 —

 

 

499

 

Accrual of interest

 

 

3,740

 

 

 —

 

 

3,740

 

Repayments

 

 

(11,543)

 

 

 —

 

 

(11,543)

 

Mortgage servicing liabilities resulting from mortgage loan sales

 

 

 —

 

 

1,741

 

 

1,741

 

Changes in fair value included in income

 

 

1,109

 

 

(2,225)

 

 

(1,116)

 

Balance, September 30, 2018

 

$

223,275

 

$

9,769

 

$

233,044

 

Changes in fair value recognized during the quarter relating to liabilities still outstanding at September 30, 2018

 

$

1,109

 

$

(2,225)

 

$

(1,116)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Quarter ended September 30, 2017

 

 

 

 

 

Mortgage

 

Net interest 

 

Repurchase

 

Mortgage

 

 

 

 

 

 

 

 

loans held

 

rate lock

 

agreement

 

servicing

 

 

 

 

 

 

 

 

for sale

    

commitments (1)

    

derivatives

    

rights

    

 

Total

 

 

 

 

(in thousands)

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, June 30, 2017

    

$

380,084

 

$

46,158

 

$

 —

 

$

678,441

 

$

1,104,683

 

 

 

Purchases and issuances, net

 

 

499,546

 

 

83,798

 

 

469

 

 

41

 

 

583,854

 

 

 

Sales and repayments

 

 

(306,458)

 

 

 —

 

 

 —

 

 

 —

 

 

(306,458)

 

 

 

Interest rate lock commitments issued, net

 

 

 —

 

 

 —

 

 

 —

 

 

 —

 

 

 —

 

 

 

Mortgage servicing rights resulting from mortgage loan sales

 

 

 —

 

 

 —

 

 

 —

 

 

5,773

 

 

5,773

 

 

 

Changes in fair value included in income arising from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in instrument-specific credit risk

 

 

(1,130)

 

 

 —

 

 

 —

 

 

 —

 

 

(1,130)

 

 

 

Other factors

 

 

 —

 

 

41,693

 

 

 —

 

 

(28,271)

 

 

13,422

 

 

 

 

 

 

(1,130)

 

 

41,693

 

 

 —

 

 

(28,271)

 

 

12,292

 

 

 

Transfers from Level 3 to Level 2

 

 

(195,802)

 

 

 —

 

 

 —

 

 

 —

 

 

(195,802)

 

 

 

Transfers of interest rate lock commitments to mortgage loans held for sale

 

 

 —

 

 

(117,265)

 

 

 —

 

 

 —

 

 

(117,265)

 

 

 

Balance, September 30, 2017

 

$

376,240

 

$

54,384

 

$

469

 

$

655,984

 

$

1,087,077

 

 

 

Changes in fair value recognized during the quarter relating to assets still held at September 30, 2017

 

$

(2,851)

 

$

54,384

 

$

 —

 

$

(28,271)

 

$

23,262

 

 

 

(1)

For the purpose of this table, the IRLC asset and liability positions are shown net.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Quarter ended September 30, 2017

 

 

 

 

 

 

Excess

 

 

 

 

 

 

 

 

 

 

servicing

 

Mortgage 

 

 

 

 

 

 

 

 

spread

 

servicing

 

 

 

 

 

 

 

    

financing

    

liabilities

    

Total

 

 

 

 

 

 

(in thousands)

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, June 30, 2017

 

$

261,796

 

$

18,295

 

$

280,091

 

 

 

 

Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust

 

 

1,207

 

 

 —

 

 

1,207

 

 

 

 

Accrual of interest

 

 

3,998

 

 

 —

 

 

3,998

 

 

 

 

Repayments

 

 

(13,410)

 

 

 —

 

 

(13,410)

 

 

 

 

Mortgage servicing liabilities resulting from mortgage loan sales

 

 

 —

 

 

4,071

 

 

4,071

 

 

 

 

Changes in fair value included in income

 

 

(4,828)

 

 

(6,290)

 

 

(11,118)

 

 

 

 

Balance, September 30, 2017

 

$

248,763

 

$

16,076

 

$

264,839

 

 

 

 

Changes in fair value recognized during the quarter relating to liabilities still outstanding at September 30, 2017

 

$

(4,828)

 

$

(6,290)

 

$

(11,118)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Nine months ended September 30, 2018

 

 

 

Mortgage

 

Net interest 

 

Repurchase

 

Mortgage 

 

 

 

 

 

 

loans held

 

rate lock

 

agreement

 

servicing 

 

 

 

 

 

 

for sale

 

commitments (1)

 

derivatives

 

rights

 

 

Total

 

 

    

(in thousands)

 

Assets:

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Balance, December 31, 2017

 

$

782,211

 

$

58,272

 

$

10,656

 

$

638,010

 

$

1,489,149

 

Reclassification of mortgage servicing rights previously accounted for under the amortization method pursuant to a change in accounting principle

 

 

 —

 

 

 —

 

 

 —

 

 

1,482,426

 

 

1,482,426

 

Balance, January 1, 2018

 

 

782,211

 

 

58,272

 

 

10,656

 

 

2,120,436

 

 

2,971,575

 

Purchases and issuances, net

 

 

2,480,523

 

 

157,649

 

 

36,624

 

 

193,640

 

 

2,868,436

 

Sales and repayments

 

 

(1,122,448)

 

 

 —

 

 

(19,460)

 

 

 —

 

 

(1,141,908)

 

Mortgage servicing rights resulting from mortgage loan sales

 

 

 —

 

 

 —

 

 

 —

 

 

448,604

 

 

448,604

 

Changes in fair value included in income arising from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in instrument-specific credit risk

 

 

(4,944)

 

 

 —

 

 

 —

 

 

 —

 

 

(4,944)

 

Other factors

 

 

 —

 

 

(28,627)

 

 

(1,345)

 

 

23,284

 

 

(6,688)

 

 

 

 

(4,944)

 

 

(28,627)

 

 

(1,345)

 

 

23,284

 

 

(11,632)

 

Transfers from Level 3 to Level 2

 

 

(1,765,854)

 

 

 —

 

 

 —

 

 

 —

 

 

(1,765,854)

 

Transfers to real estate acquired in settlement of loans

 

 

(4,185)

 

 

 —

 

 

 —

 

 

 —

 

 

(4,185)

 

Transfers of interest rate lock commitments to mortgage loans held for sale

 

 

 —

 

 

(150,131)

 

 

 —

 

 

 —

 

 

(150,131)

 

Balance, September 30, 2018

 

$

365,303

 

$

37,163

 

$

26,475

 

$

2,785,964

 

$

3,214,905

 

Changes in fair value recognized during the period relating to assets still held at September 30, 2018

 

$

(4,912)

 

$

37,163

 

$

 —

 

$

23,284

 

$

55,535

 

(1)

For the purpose of this table, the IRLC asset and liability positions are shown net.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Nine months ended September 30, 2018

 

 

 

Excess

 

 

 

 

 

 

 

 

servicing

 

Mortgage

 

 

 

 

 

 

spread

 

servicing

 

 

 

 

 

 

financing

 

liabilities

 

Total

 

 

 

(in thousands)

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

Balance, December 31, 2017

    

$

236,534

    

$

14,120

    

$

250,654

 

Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust

 

 

1,983

 

 

 —

 

 

1,983

 

Accrual of interest

 

 

11,584

 

 

 —

 

 

11,584

 

Repayments

 

 

(35,852)

 

 

 —

 

 

(35,852)

 

Mortgage servicing liabilities resulting from mortgage loan sales

 

 

 —

 

 

5,548

 

 

5,548

 

Changes in fair value included in income

 

 

9,026

 

 

(9,899)

 

 

(873)

 

Balance, September 30, 2018

 

$

223,275

 

$

9,769

 

$

233,044

 

Changes in fair value recognized during the period relating to liabilities still outstanding at September 30, 2018

 

$

9,026

 

$

(9,899)

 

$

(873)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Nine months ended September 30, 2017

 

 

 

 

 

Mortgage

 

Net interest 

 

Repurchase

 

Mortgage

 

 

 

 

 

 

 

 

loans held

 

rate lock

 

agreement

 

servicing

 

 

 

 

 

 

 

    

for sale

 

commitments (1)

 

derivatives

    

rights

 

Total

 

 

 

 

 

(in thousands)

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance December 31, 2016

    

$

47,271

    

$

59,391

    

$

 —

 

$

515,925

    

$

622,587

 

 

 

Purchases

 

 

1,815,509

 

 

226,617

 

 

469

 

 

183,830

 

 

2,226,425

 

 

 

Sales and repayments

 

 

(845,318)

 

 

 —

 

 

 —

 

 

 —

 

 

(845,318)

 

 

 

Interest rate lock commitments issued, net

 

 

 —

 

 

 —

 

 

 —

 

 

 —

 

 

 —

 

 

 

Mortgage servicing rights resulting from mortgage loan sales

 

 

 —

 

 

 —

 

 

 —

 

 

19,702

 

 

19,702

 

 

 

Changes in fair value included in income arising from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in instrument-specific credit risk

 

 

(6,104)

 

 

 —

 

 

 —

 

 

 —

 

 

(6,104)

 

 

 

Other factors

 

 

 —

 

 

99,425

 

 

 —

 

 

(63,473)

 

 

35,952

 

 

 

 

 

 

(6,104)

 

 

99,425

 

 

 —

 

 

(63,473)

 

 

29,848

 

 

 

Transfers from Level 3 to Level 2

 

 

(635,118)

 

 

 —

 

 

 —

 

 

 —

 

 

(635,118)

 

 

 

Transfers of interest rate lock commitments to mortgage loans held for sale

 

 

 —

 

 

(331,049)

 

 

 —

 

 

 —

 

 

(331,049)

 

 

 

Balance, September 30, 2017

 

$

376,240

 

$

54,384

 

$

469

 

$

655,984

 

$

1,087,077

 

 

 

Changes in fair value recognized during the year relating to assets still held at September 30, 2017

 

$

(3,733)

 

$

54,384

 

$

 —

 

$

(63,473)

 

$

(12,822)

 

 

 

(1)

For the purpose of this table, the IRLC asset and liability positions are shown net.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Nine months ended September 30, 2017

 

 

 

 

 

 

Excess

 

 

 

 

 

 

 

 

 

 

 

 

servicing

 

Mortgage 

 

 

 

 

 

 

 

 

 

spread

 

servicing

 

 

 

 

 

 

 

 

    

financing

    

liabilities

    

Total

 

 

 

 

 

 

(in thousands)

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance December 31, 2016

 

$

288,669

    

$

15,192

    

$

303,861

 

 

 

 

Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust

 

 

4,160

 

 

 —

 

 

4,160

 

 

 

 

Accrual of interest

 

 

13,011

 

 

 —

 

 

13,011

 

 

 

 

Repayments

 

 

(42,320)

 

 

 —

 

 

(42,320)

 

 

 

 

Mortgage servicing liabilities resulting from mortgage loan sales

 

 

 —

 

 

11,940

 

 

11,940

 

 

 

 

Mortgage servicing liabilities assumed

 

 

 —

 

 

 —

 

 

 —

 

 

 

 

Changes in fair value included in income

 

 

(14,757)

 

 

(11,056)

 

 

(25,813)

 

 

 

 

Balance, September 30, 2017

 

$

248,763

 

$

16,076

 

$

264,839

 

 

 

 

Changes in fair value recognized during the year relating to liabilities still outstanding at September 30, 2017

 

$

(14,757)

 

$

(11,056)

 

$

(25,813)

 

 

 

 

 

Summary of net gains (losses) from changes in fair values included in earnings for financial statement items carried at fair value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Quarter ended September 30, 

 

 

 

2018

 

2017

 

 

    

Net

    

Net gains on 

    

 

    

Net

    

Net gains on 

    

 

 

 

 

mortgage

 

mortgage

 

 

 

mortgage

 

mortgage

 

 

 

 

 

loan

 

loans held

 

 

 

loan

 

loans held

 

 

 

 

 

servicing

 

for sale at 

 

 

 

servicing

 

for sale at 

 

 

 

 

 

fees

 

fair value

 

Total

 

fees

 

fair value

 

Total

 

 

 

(in thousands)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage loans held for sale at fair value

 

$

 —

 

$

67,709

 

$

67,709

 

$

 —

 

$

130,869

 

$

130,869

 

Mortgage servicing rights at fair value

 

 

(12,704)

 

 

 —

 

 

(12,704)

 

 

(28,271)

 

 

 —

 

 

(28,271)

 

 

 

$

(12,704)

 

$

67,709

 

$

55,005

 

$

(28,271)

 

$

130,869

 

$

102,598

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust

 

$

(1,109)

 

$

 —

 

$

(1,109)

 

$

4,828

 

$

 —

 

$

4,828

 

Mortgage servicing liabilities at fair value

 

 

2,225

 

 

 —

 

 

2,225

 

 

6,290

 

 

 —

 

 

6,290

 

 

 

$

1,116

 

$

 —

 

$

1,116

 

$

11,118

 

$

 —

 

$

11,118

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Nine months ended September 30, 

 

 

 

2018

 

2017

 

 

    

Net

   

Net gains on 

   

 

 

   

Net

 

Net gains on 

   

 

 

 

 

 

mortgage

 

mortgage

 

 

 

 

mortgage

 

mortgage

 

 

 

 

 

 

loan

 

loans held

 

 

 

 

loan

 

loans held

 

 

 

 

 

 

servicing

 

for sale at 

 

 

 

 

servicing

 

for sale at 

 

 

 

 

 

    

fees

    

fair value

    

Total

    

fees

    

fair value

    

Total

 

 

 

(in thousands)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage loans held for sale at fair value

 

$

 —

 

$

118,452

 

$

118,452

 

$

 —

 

$

336,836

 

$

336,836

 

Mortgage servicing rights at fair value

 

 

23,284

 

 

 —

 

 

23,284

 

 

(63,473)

 

 

 —

 

 

(63,473)

 

 

 

$

23,284

 

$

118,452

 

$

141,736

 

$

(63,473)

 

$

336,836

 

$

273,363

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Excess servicing spread financing at fair value payable to PennyMac Mortgage Investment Trust

 

$

(9,026)

 

$

 —

 

$

(9,026)

 

$

14,757

 

$

 —

 

$

14,757

 

Mortgage servicing liabilities at fair value

 

 

9,899

 

 

 —

 

 

9,899

 

 

11,056

 

 

 —

 

 

11,056

 

 

 

$

873

 

$

 —

 

$

873

 

$

25,813

 

$

 —

 

$

25,813

 

 

Schedule of fair value and related principal amounts due upon maturity of assets and liabilities accounted for under the fair value option

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

September 30, 2018

 

December 31, 2017

 

 

 

 

Principal

 

 

 

 

 

Principal

 

 

 

 

 

 

amount

 

 

 

 

 

amount

 

 

 

 

Fair

 

 due upon 

 

 

 

Fair

 

 due upon 

 

 

 

    

value

    

maturity

    

Difference

    

value

    

maturity

    

Difference

 

 

(in thousands)

Mortgage loans held for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Current through 89 days delinquent

 

$

2,148,919

 

$

2,078,047

 

$

70,872

 

$

2,430,517

 

$

2,326,772

 

$

103,745

90 days or more delinquent:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Not in foreclosure

 

 

215,712

 

 

218,623

 

 

(2,911)

 

 

614,329

 

 

614,357

 

 

(28)

In foreclosure

 

 

52,324

 

 

56,101

 

 

(3,777)

 

 

54,257

 

 

57,248

 

 

(2,991)

 

 

$

2,416,955

 

$

2,352,771

 

$

64,184

 

$

3,099,103

 

$

2,998,377

 

$

100,726

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Summary of financial statement items measured at estimated fair value on a nonrecurring basis

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

September 30, 2018

 

    

Level 1

    

Level 2

    

Level 3

    

Total

 

 

(in thousands)

Real estate acquired in settlement of loans

 

$

 —

 

$

 —

 

$

2,134

 

$

2,134

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2017

 

    

Level 1

    

Level 2

    

Level 3

    

Total

 

 

(in thousands)

Mortgage servicing rights at lower of amortized cost or fair value

 

$

 —

 

$

 —

 

$

1,463,552

 

$

1,463,552

Real estate acquired in settlement of loans

 

 

 —

 

 

 —

 

 

2,355

 

 

2,355

 

 

$

 —

 

$

 —

 

$

1,465,907

 

$

1,465,907

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Summary of total gains (losses) on assets measured at estimated fair values on a nonrecurring basis

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Quarter ended September 30, 

 

Nine months ended September 30, 

 

 

    

2018

    

2017

    

2018

    

2017

 

 

 

(in thousands)

 

Mortgage servicing rights at lower of amortized cost or fair value

 

$

 —

 

$

(17,270)

 

$

 —

 

$

(33,906)

 

Real estate acquired in settlement of loans

 

 

(41)

 

 

17

 

 

(72)

 

 

102

 

 

 

$

(41)

 

$

(17,253)

 

$

(72)

 

$

(33,804)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Quantitative summary of key inputs or assumptions used in the valuation of financial statement items, excluding MSR purchases

 

 

 

 

 

 

 

 

 

 

 

 

 

Quarter ended September 30, 

 

 

 

2018

 

2017

 

 

 

Fair

 

Fair

 

Amortized

 

 

    

value

    

value

    

cost

 

 

 

(Amount recognized and unpaid principal balance of underlying mortgage loans in thousands)

 

MSR and pool characteristics:

 

 

 

    

 

 

    

 

 

 

Amount recognized

 

$

149,000

 

$

5,773

 

$

153,061

 

Unpaid principal balance of underlying mortgage loans

 

$

10,790,398

 

$

573,463

 

$

12,184,003

 

Weighted average servicing fee rate (in basis points)

 

 

37

 

 

31

 

 

32

 

Key inputs (1):

 

 

 

 

 

 

 

 

 

 

Pricing spread (2) 

 

 

 

 

 

 

 

 

 

 

Range

 

 

7.3% – 13.6%

 

 

7.6% – 11.2%

 

 

7.6% – 14.6%

 

Weighted average

 

 

10.1%

 

 

10.7%

 

 

10.8%

 

Annual total prepayment speed (3) 

 

 

 

 

 

 

 

 

 

 

Range

 

 

4.4% – 55.7%

 

 

3.9% – 46.8%

 

 

4.4% – 47.6%

 

Weighted average

 

 

11.8%

 

 

13.3%

 

 

9.5%

 

Life (in years)

 

 

 

 

 

 

 

 

 

 

Range

 

 

0.5 – 11.3

 

 

1.4 – 11.4

 

 

1.5 – 11.4

 

Weighted average

 

 

6.9

 

 

6.3

 

 

7.9

 

Per-loan annual cost of servicing

 

 

 

 

 

 

 

 

 

 

Range

 

 

$78 – $98

 

 

$78 – $98

 

 

$79 – $98

 

Weighted average

 

 

$92

 

 

$89

 

 

$89

 

(1)

Weighted average inputs are based on UPB of the underlying mortgage loans.

 

(2)

Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar London Interbank Offered Rate (“LIBOR”) curve for purposes of discounting cash flows relating to MSRs.

(3)

Prepayment speed is measured using Life Total CPR.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Nine months ended September 30, 

 

 

 

 

2018

 

 

2017

 

 

 

 

Fair

 

 

Fair

 

 

Amortized

 

 

 

 

value

 

 

value

 

 

cost

 

 

 

 

(Amount recognized and unpaid principal balance of underlying mortgage loans in thousands)

 

MSR and pool characteristics:

    

 

 

    

 

 

    

 

 

 

Amount recognized

 

 

$448,604

 

 

$19,702

 

 

$412,206

 

Unpaid principal balance of underlying mortgage loans

 

 

$32,095,458

 

 

$1,873,404

 

 

$33,890,209

 

Weighted average servicing fee rate (in basis points)

 

 

36

 

 

31

 

 

30

 

Key inputs (1):

 

 

 

 

 

 

 

 

 

 

Pricing spread (2) 

 

 

 

 

 

 

 

 

 

 

Range

 

 

7.3% – 14.1%

 

 

7.6% – 11.2%

 

 

7.6% – 15.2%

 

Weighted average

 

 

10.2%

 

 

10.5%

 

 

10.7%

 

Annual total prepayment speed (3) 

 

 

 

 

 

 

 

 

 

 

Range

 

 

3.9% – 61.8%

 

 

3.9% – 71.8%

 

 

3.4% – 47.6%

 

Weighted average

 

 

10.6%

 

 

12.5%

 

 

9.1%

 

Life (in years)

 

 

 

 

 

 

 

 

 

 

Range

 

 

0.5 – 11.6

 

 

0.8 – 11.5

 

 

1.5 – 12.2

 

Weighted average

 

 

7.5

 

 

6.6

 

 

8.1

 

Per-loan annual cost of servicing

 

 

 

 

 

 

 

 

 

 

Range

 

 

$78 – $98

 

 

$78 – $101

 

 

$79 – $101

 

Weighted average

 

 

$90

 

 

$89

 

 

$89

 

(1)

Weighted average inputs are based on UPB of the underlying mortgage loans.

 

(2)

Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs.

(3)

Prepayment speed is measured using Life Total CPR.

 

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

 

 

 

 

 

 

 

 

 

 

 

 

September 30, 2018

 

December 31, 2017

 

 

 

Fair

 

Fair

 

Amortized

 

 

    

value

    

value

    

cost

 

 

 

(Carrying value, unpaid principal balance of underlying 

 

 

 

mortgage loans and effect on fair value amounts in thousands)

 

MSR and pool characteristics:

 

 

 

 

 

 

 

Carrying value

 

$2,785,964

 

$638,010

 

$1,481,578

 

Unpaid principal balance of underlying mortgage loans

 

$193,659,378

 

$51,883,539

 

$114,365,698

 

Weighted average note interest rate

 

3.9%

 

4.0%

 

3.8%

 

Weighted average servicing fee rate (in basis points)

 

32

 

32

 

31

 

Key inputs (1):

 

 

 

 

 

 

 

Pricing spread (2):

 

 

 

 

 

 

 

Range

 

7.3% – 13.6%

 

7.6% – 14.1%

 

7.6% – 14.1%

 

Weighted average

 

10.0%

 

9.8%

 

10.3%

 

Effect on fair value of (3):

 

 

 

 

 

 

 

5% adverse change

 

($51,013)

 

($10,760)

 

($27,700)

 

10% adverse change

 

($100,182)

 

($21,155)

 

($54,376)

 

20% adverse change

 

($193,355)

 

($40,916)

 

($104,869)

 

Prepayment speed (4):

 

 

 

 

 

 

 

Range

 

6.9% – 41.6%

 

7.9% – 46.2%

 

7.4% – 44.1%

 

Weighted average

 

8.2%

 

10.5%

 

9.7%

 

Average life (in years):

 

 

 

 

 

 

 

Range

 

1.3 – 8.5

 

1.2 – 7.8

 

2.0 – 8.3

 

Weighted average

 

8.1

 

6.6

 

7.5

 

Effect on fair value of (3):

 

 

 

 

 

 

 

5% adverse change

 

($36,453)

 

($10,809)

 

($23,544)

 

10% adverse change

 

($71,779)

 

($21,239)

 

($46,284)

 

20% adverse change

 

($139,263)

 

($41,038)

 

($89,514)

 

Annual per-loan cost of servicing:

 

 

 

 

 

 

 

Range

 

$78 – $98

 

$78 – $97

 

$79 – $97

 

Weighted average

 

$93

 

$89

 

$89

 

Effect on fair value of (3):

 

 

 

 

 

 

 

5% adverse change

 

($22,201)

 

($6,247)

 

($11,216)

 

10% adverse change

 

($44,402)

 

($12,494)

 

($22,431)

 

20% adverse change

 

($88,803)

 

($24,987)

 

($44,863)

 

(1)

Weighted average inputs are based on UPB of the underlying mortgage loans.

 

(2)

The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs.

(3)

For MSRs carried at fair value, an adverse change in one of the above-mentioned key inputs is expected to result in a reduction in fair value which would be recognized in income. For MSRs carried at lower of amortized cost or fair value, an adverse change in one of the above-mentioned key inputs may have resulted in recognition of MSR impairment. The extent of the recognized MSR impairment depended on the relationship of fair value to the carrying value of such MSRs.

(4)

Prepayment speed is measured using Life Total CPR.
Mortgage servicing liabilities  
Fair Value  
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items

 

 

 

 

 

 

 

 

 

 

September 30, 

 

 

December 31, 

 

 

 

2018

 

 

2017

MSL and pool characteristics:

 

 

 

 

    

 

Carrying value (in thousands)

 

$
9,769

 

$
14,120

Unpaid principal balance of underlying mortgage loans (in thousands)

 

$
1,265,461

 

$
1,620,609

Servicing fee rate (in basis points)

 

 
25

 

 
25

Key inputs (1):

 

 

 

 

 

 

Pricing spread (2)

 

 
7.8%

 

 
7.7%

Prepayment speed (3) 

 

 
31.6%

 

 
32.9%

Average life (in years)

 

 
3.9

 

 
3.5

Annual per-loan cost of servicing

 

$
372

 

$
404

(1)

Weighted average inputs are based on UPB of the underlying mortgage loans.

 

(2)

The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSLs.

Prepayment speed is measured using Life Total CPR

Excess servicing spread financing  
Fair Value  
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items

 

 

 

 

 

 

 

 

September 30, 

 

December 31, 

 

    

2018

   

2017

Carrying value (in thousands)

 

$223,275

 

$236,534

ESS and pool characteristics:

 

 

 

 

Unpaid principal balance of underlying mortgage loans (in thousands)

 

$24,058,366

 

$27,217,199

Average servicing fee rate (in basis points)

 

34

 

34

Average excess servicing spread (in basis points)

 

19

 

19

Key inputs (1):

 

 

 

 

Pricing spread (2):

 

 

 

 

Range

 

3.4% – 3.9%

 

3.8% – 4.3%

Weighted average

 

3.7%

 

4.1%

Annualized prepayment speed (3):

 

 

 

 

Range

 

7.6% – 38.4%

 

8.4% – 41.4%

Weighted average

 

9.0%

 

10.8%

Average life (in years):

 

 

 

 

Range

 

1.4 – 8.0

 

1.4 – 7.7

Weighted average

 

7.1

 

6.5

(1)

Weighted average inputs are based on UPB of the underlying mortgage loans.

(2)

The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to ESS.

(3)

Prepayment speed is measured using Life Total CPR.

 

Interest rate lock commitments  
Fair Value  
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items

 

 

 

 

 

 

 

 

 

 

Key inputs (1)

    

September 30, 2018

    

December 31, 2017

Pull-through rate:

 

 

 

 

Range

 

16.6% – 100%

 

25.0% – 100%

Weighted average

 

85.7%

 

85.6%

Mortgage servicing rights value expressed as:

 

 

 

 

Servicing fee multiple:

 

 

 

 

Range

 

1.6 – 5.9

 

1.4 – 5.8

Weighted average

 

4.0

 

4.0

Percentage of unpaid principal balance:

 

 

 

 

Range

 

0.4% – 2.8%

 

0.3% – 3.0%

Weighted average

 

1.4%

 

1.4%

(1)

Weighted average inputs are based on notional amount of IRLCs.

 

Mortgage loans held for sale  
Fair Value  
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items

 

 

 

 

 

 

 

 

 

 

 

 

Key inputs (1)

    

September 30, 2018

    

December 31, 2017

 

Discount rate:

 

 

 

 

 

Range

 

2.8% – 9.2%

 

2.9% – 10.0%

 

Weighted average

 

2.9%

 

2.9%

 

Twelve-month projected housing price index change:

 

 

 

 

 

Range

 

3.5% – 6.1%

 

3.1% – 5.6%

 

Weighted average

 

3.9%

 

3.6%

 

Voluntary prepayment / resale speed (2):

 

 

 

 

 

Range

 

0.1% – 71.0%

 

0.2% – 72.2%

 

Weighted average

 

24.2%

 

44.6%

 

Total prepayment speed (3):

 

 

 

 

 

Range

 

0.1% – 72.1%

 

0.2% – 75.2%

 

Weighted average

 

41.3%

 

55.8%

 

(1)

Weighted average inputs are based on fair value of mortgage loans.

 

(2)

Voluntary prepayment/resale speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”).

 

(3)

Total prepayment speed is measured using Life Total CPR.