Fair Value (Tables)

12 Months Ended

Dec. 31, 2021

Fair Value

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

	December 31, 2021
	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets:
Short-term investment	$	6,873	$	—	$	—	$	6,873
Loans held for sale at fair value		—		8,613,607		1,128,876		9,742,483
Derivative assets:
Interest rate lock commitments		—		—		323,473		323,473
Forward purchase contracts		—		20,485		—		20,485
Forward sales contracts		—		40,215		—		40,215
MBS put options		—		7,655		—		7,655
Swaption purchase contracts		—		1,625		—		1,625
Put options on interest rate futures purchase contracts		3,141		—		—		3,141
Call options on interest rate futures purchase contracts		2,078		—		—		2,078
Total derivative assets before netting		5,219		69,980		323,473		398,672
Netting		—		—		—		(64,977)
Total derivative assets		5,219		69,980		323,473		333,695
Mortgage servicing rights at fair value		—		—		3,878,078		3,878,078
Investment in PennyMac Mortgage Investment Trust		1,300		—		—		1,300
	$	13,392	$	8,683,587	$	5,330,427	$	13,962,429
Liabilities:
Derivative liabilities:
Interest rate lock commitments	$	—	$	—	$	1,280	$	1,280
Forward purchase contracts		—		18,007		—		18,007
Forward sales contracts		—		35,415		—		35,415
Total derivative liabilities before netting		—		53,422		1,280		54,702
Netting		—		—		—		(32,096)
Total derivative liabilities		—		53,422		1,280		22,606
Mortgage servicing liabilities at fair value		—		—		2,816		2,816
	$	—	$	53,422	$	4,096	$	25,422

	December 31, 2020
	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets:
Short-term investments	$	15,217	$	—	$	—	$	15,217
Loans held for sale at fair value		—		6,941,231		4,675,169		11,616,400
Derivative assets:
Interest rate lock commitments		—		—		679,961		679,961
Forward purchase contracts		—		133,267		—		133,267
Forward sales contracts		—		1,451		—		1,451
MBS put options		—		14,302		—		14,302
Swaption purchase contracts		—		11,939		—		11,939
Put options on interest rate futures purchase contracts		5,520		—		—		5,520
Call options on interest rate futures purchase contracts		1,391		—		—		1,391
Total derivative assets before netting		6,911		160,959		679,961		847,831
Netting		—		—		—		(136,593)
Total derivative assets		6,911		160,959		679,961		711,238
Mortgage servicing rights at fair value		—		—		2,581,174		2,581,174
Investment in PennyMac Mortgage Investment Trust		1,105		—		—		1,105
	$	23,233	$	7,102,190	$	7,936,304	$	14,925,134
Liabilities:
Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value	$	—	$	—	$	131,750	$	131,750
Derivative liabilities:
Interest rate lock commitments		—		—		2,935		2,935
Forward purchase contracts		—		1,276		—		1,276
Forward sales contracts		—		251,149		—		251,149
Total derivative liabilities before netting		—		252,425		2,935		255,360
Netting		—		—		—		(212,722)
Total derivative liabilities		—		252,425		2,935		42,638
Mortgage servicing liabilities at fair value		—		—		45,324		45,324
	$	—	$	252,425	$	180,009	$	219,712

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

	Year ended December 31, 2021
			Net interest		Mortgage
	Loans held		rate lock		servicing
Assets	for sale		commitments (1)		rights		Total
	(in thousands)
Balance, December 31, 2020	$	4,675,169	$	677,026	$	2,581,174	$	7,933,369
Purchases and issuances, net		20,330,785		1,654,476		—		21,985,261
Capitalization of interest and advances		169,053		—		—		169,053
Sales and repayments		(11,783,818)		—		—		(11,783,818)
Mortgage servicing rights resulting from loan sales		—		—		1,861,949		1,861,949
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		285,501		—		—		285,501
Other factors		—		489,547		(565,045)		(75,498)
		285,501		489,547		(565,045)		210,003
Transfers from Level 3 to Level 2		(12,547,732)		—		—		(12,547,732)
Transfers to real estate acquired in settlement of loans		(82)		—		—		(82)
Transfers to loans held for sale		—		(2,498,856)		—		(2,498,856)
Balance, December 31, 2021	$	1,128,876	$	322,193	$	3,878,078	$	5,329,147
Changes in fair value recognized during the period relating to assets still held at December 31, 2021	$	22,516	$	322,193	$	(565,045)	$	(220,336)

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

	Year ended December 31, 2021
	Excess
	servicing		Mortgage
	spread		servicing
Liabilities	financing		liabilities		Total
	(in thousands)
Balance, December 31, 2020	$	131,750	$	45,324	$	177,074
Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust		557		—		557
Accrual of interest		1,280		—		1,280
Mortgage servicing liabilities resulting from loan sales		—		106,631		106,631
Changes in fair value included in income		1,037		(149,139)		(148,102)
Repayments		(134,624)		—		(134,624)
Balance, December 31, 2021	$	—	$	2,816	$	2,816
Changes in fair value recognized during the period relating to liabilities still outstanding at December 31, 2021	$	—	$	(3,156)	$	(3,156)

	Year ended December 31, 2020
			Net interest		Repurchase		Mortgage
	Loans held		rate lock		agreement		servicing
Assets	for sale		commitments (1)		derivatives		rights		Total
	(in thousands)
Balance, December 31, 2019	$	383,878	$	136,650	$	8,187	$	2,926,790	$	3,455,505
Purchases and issuances, net		9,672,322		2,028,957		—		25,473		11,726,752
Capitalization of interest and advances		119,037		—		—		—		119,037
Sales and repayments		(2,381,493)		—		(8,270)		—		(2,389,763)
Mortgage servicing rights resulting from loan sales		—		—		—		1,138,045		1,138,045
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		127,780		—		—		—		127,780
Other factors		—		1,254,235		83		(1,509,134)		(254,816)
		127,780		1,254,235		83		(1,509,134)		(127,036)
Transfers from Level 3 to Level 2		(3,246,282)		—		—		—		(3,246,282)
Transfers to real estate acquired in settlement of loans		(73)		—		—		—		(73)
Transfers of interest rate lock commitments to loans held for sale		—		(2,742,816)		—		—		(2,742,816)
Balance, December 31, 2020	$	4,675,169	$	677,026	$	—	$	2,581,174	$	7,933,369
Changes in fair value recognized during the year relating to assets still held at December 31, 2020	$	153,474	$	677,026	$	—	$	(1,509,134)	$	(678,634)

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

	Year ended December 31, 2020
	Excess
	servicing		Mortgage
	spread		servicing
Liabilities	financing		liabilities		Total
	(in thousands)
Balance, December 31, 2019	$	178,586	$	29,140	$	207,726
Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust		2,093		—		2,093
Accrual of interest		8,418		—		8,418
Mortgage servicing liabilities resulting from loan sales		—		23,325		23,325
Changes in fair value included in income		(24,970)		(7,141)		(32,111)
Repayments		(32,377)		—		(32,377)
Balance, December 31, 2020	$	131,750	$	45,324	$	177,074
Changes in fair value recognized during the year relating to liabilities still outstanding at December 31, 2020	$	(24,970)	$	(7,141)	$	(32,111)

	Year ended December 31, 2019
			Net interest		Repurchase		Mortgage
	Loans held		rate lock		agreement		servicing
Assets	for sale		commitments (1)		derivatives		rights			Total
	(in thousands)
Balance, December 31, 2018	$	260,008	$	49,338	$	26,770	$	2,820,612	$	3,156,728
Purchases and issuances, net		5,163,730		570,072		15,019		227,445		5,976,266
Capitalization of interest and advances		72,302		—		—		—		72,302
Sales and repayments		(3,456,856)		—		(31,993)		—		(3,488,849)
Mortgage servicing rights resulting from loan sales		—		—		—		884,876		884,876
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		(6,332)		—		—		—		(6,332)
Other factors		—		331,067		(1,609)		(1,006,143)		(676,685)
		(6,332)		331,067		(1,609)		(1,006,143)		(683,017)
Transfers from Level 3 to Level 2		(1,646,554)		—		—		—		(1,646,554)
Transfer to real estate acquired in settlement of loans		(2,420)		—		—		—		(2,420)
Transfers to loans held for sale		—		(813,827)		—		—		(813,827)
Balance, December 31, 2019	$	383,878	$	136,650	$	8,187	$	2,926,790	$	3,455,505
Changes in fair value recognized during the year relating to assets still held at December 31, 2019	$	(5,755)	$	136,650	$	165	$	(1,006,143)	$	(875,083)

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

	Year ended December 31, 2019
	Excess
	servicing		Mortgage
	spread		servicing
Liabilities	financing		liabilities		Total
	(in thousands)
Balance, December 31, 2018	$	216,110	$	8,681	$	224,791
Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust		1,757		—		1,757
Accrual of interest		10,291		—		10,291
Mortgage servicing liabilities resulting from loan sales		—		37,988		37,988
Changes in fair value included in income		(9,256)		(17,529)		(26,785)
Repayments		(40,316)		—		(40,316)
Balance, December 31, 2019	$	178,586	$	29,140	$	207,726
Changes in fair value recognized during the year relating to liabilities still outstanding at December 31, 2019	$	(9,256)	$	(17,529)	$	(26,785)

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

	Year ended December 31,
	2021						2020						2019
	Net gains on		Net				Net gains on		Net				Net gains on		Net
	loans held		loan				loans held		loan				loans held		loan
	for sale at		servicing				for sale at		servicing				for sale at		servicing
	fair value		fees		Total		fair value		fees		Total		fair value		fees		Total
	(in thousands)
Assets:
Loans held for sale	$	2,568,318	$	—	$	2,568,318	$	2,899,314	$	—	$	2,899,314	$	811,895	$	—	$	811,895
Mortgage servicing rights		—		(565,045)		(565,045)		—		(1,509,134)		(1,509,134)		—		(1,006,143)		(1,006,143)
	$	2,568,318	$	(565,045)	$	2,003,273	$	2,899,314	$	(1,509,134)	$	1,390,180	$	811,895	$	(1,006,143)	$	(194,248)
Liabilities:
Excess servicing spread financing payable to PennyMac Mortgage Investment Trust	$	—	$	(1,037)	$	(1,037)	$	—	$	24,970	$	24,970	$	—	$	9,256	$	9,256
Mortgage servicing liabilities		—		149,139		149,139		—		7,141		7,141		—		17,529		17,529
	$	—	$	148,102	$	148,102	$	—	$	32,111	$	32,111	$	—	$	26,785	$	26,785

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

	December 31, 2021						December 31, 2020
			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	$	9,577,398	$	9,263,242	$	314,156	$	11,304,308	$	10,743,814	$	560,494
90 days or more delinquent:
Not in foreclosure		153,162		153,875		(713)		275,419		280,595		(5,176)
In foreclosure		11,923		13,649		(1,726)		36,673		39,529		(2,856)
	$	9,742,483	$	9,430,766	$	311,717	$	11,616,400	$	11,063,938	$	552,462

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

Real estate acquired in settlement of loans	Level 1		Level 2		Level 3		Total
	(in thousands)
December 31, 2021	$	—	$	—	$	2,588	$	2,588
December 31, 2020	$	—	$	—	$	1,450	$	1,450

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

	Year ended December 31,
	2021		2020		2019
	(in thousands)
Real estate acquired in settlement of loans	$	799	$	814	$	1,913

Summary of carrying value and fair value of debt

	December 31, 2021				December 31, 2020
	Fair value		Carrying value		Fair value		Carrying value
	(in thousands)
Notes payable secured by mortgage servicing assets	$	1,302,640	$	1,297,622	$	1,268,304	$	1,295,840
Unsecured senior notes	$	1,790,375	$	1,776,219	$	685,750	$	645,820

Quantitative summary of key inputs used in the valuation of the MSRs at year end and the effect on estimated fair value from adverse changes in those inputs

	December 31,
	2021	2020
	(Fair value, unpaid principal balance of underlying mortgage
	loans and effect on fair value amounts in thousands)
Fair value	$ 3,878,078	$ 2,581,174
Pool characteristics:
Unpaid principal balance of underlying mortgage loans	$ 278,324,780	$ 238,410,809
Weighted average note interest rate	3.2%	3.6%
Weighted average servicing fee rate (in basis points)	34	35
Key inputs (1):
Pricing spread (2):
Range	5.3% – 15.5%	8.0% – 17.6%
Weighted average	7.7%	10.1%
Effect on fair value of:
5% adverse change	($59,577)	($46,356)
10% adverse change	($117,352)	($90,936)
20% adverse change	($227,791)	($175,137)
Annual total prepayment speed (3):
Range	7.9% – 26.7%	10.1% – 32.9%
Weighted average	10.7%	13.7%
Equivalent average life (in years):
Range	3.1 – 7.7	2.3 – 7.7
Weighted average	6.8	6.0
Effect on fair value of:
5% adverse change	($80,109)	($66,536)
10% adverse change	($157,252)	($130,253)
20% adverse change	($303,259)	($249,843)
Per-loan annual cost of servicing:
Range	$79 – $197	$79 – $117
Weighted average	$108	$107
Effect on fair value of:
5% adverse change	($32,979)	($25,482)
10% adverse change	($65,958)	($50,964)
20% adverse change	($131,916)	($101,929)

(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/swap curve for purposes of discounting cash flows relating to MSRs.

(3) Annual total prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information.

Mortgage servicing liabilities

Fair Value

Quantitative summary of key inputs or assumptions used in the valuation of financial statement items

	December 31,
		2021		2020
Fair value (in thousands)	$	2,816	$	45,324
Pool characteristics (1):
Unpaid principal balance of underlying mortgage loans (in thousands)	$	60,593	$	2,857,492
Servicing fee rate (in basis points)		25		25
Key inputs (1) (2):
Pricing spread (3)		6.9%		7.6%
Annual total prepayment speed (4)		19.8%		33.3%
Equivalent average life (in years)		4.1		3.2
Per-loan annual cost of servicing	$	1,406	$	305

(1) During the year ended December 31, 2021, significant changes were made to valuation inputs used to estimate the fair value of MSLs in recognition of the observed increase in the proportion of performing government guaranteed or insured mortgage loans and reduced expected costs and losses from defaulted government-insured or guaranteed mortgage loans underlying the Company’s MSLs. As a result of this improved performance, a significant portion of the servicing relating to these loans became servicing assets and are classified as MSRs at December 31, 2021.

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

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

(4) 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.

Excess servicing spread financing

Fair Value

Quantitative summary of key inputs or assumptions used in the valuation of financial statement items

	December 31,
	2020
Fair value (in thousands)	$ 131,750
Pool characteristics:
Unpaid principal balance of underlying loans (in thousands)	$ 15,833,050
Average servicing fee rate (in basis points)	34
Average excess servicing spread (in basis points)	19
Key inputs (1):
Pricing spread (2):
Range	4.9% – 5.3%
Weighted average	5.1%
Annual total prepayment speed (3):
Range	9.6% – 18.3%
Weighted average	11.7%
Equivalent average life (in years):
Range	2.3 – 6.6
Weighted average	5.8

(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/swap curve for purposes of discounting cash flows relating to ESS.

(3) Annual total prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information.

Interest rate lock commitments

Fair Value

Quantitative summary of key inputs or assumptions used in the valuation of financial statement items

	December 31,
	2021		2020
Fair value (in thousands) (1)	$	322,193	$	677,026
Key inputs (2):
Pull-through rate:
Range		8.0% – 100%		10.1% – 100%
Weighted average		78.4%		82.7%
Mortgage servicing rights fair value expressed as:
Servicing fee multiple:
Range		(8.5) – 6.7		0.7 – 5.3
Weighted average		3.8		3.6
Percentage of loan commitment amount
Range		(1.6)% – 3.6%		0.1% – 2.6%
Weighted average		1.5%		1.2%

(1) For purposes of this table, the IRLC assets and liability positions are shown net.

(2) Weighted average inputs are based on the committed amounts.

Mortgage servicing rights

Fair Value

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

	Year ended December 31,
	2021	2020	2019
	(Amount recognized and unpaid principal balance of  underlying mortgage loans amounts in thousands)
Amount recognized	$1,861,949	$1,138,045	$884,876
Pool characteristics:
Unpaid principal balance of underlying mortgage loans	$138,319,425	$96,571,835	$56,038,354
Weighted average servicing fee rate (in basis points)	34	35	41
Key inputs (1):
Pricing spread (2):
Range	6.0% – 16.9%	6.8% – 18.1%	5.5% – 16.2%
Weighted average	8.8%	9.4%	8.5%
Annual total prepayment speed (3):
Range	6.1% – 31.4%	7.2% – 49.8%	7.7% – 32.8%
Weighted average	8.6%	11.9%	13.5%
Equivalent average life (in years):
Range	3.0 – 9.2	1.5 – 9.1	2.6 – 8.2
Weighted average	8.1	6.7	6.2
Annual per-loan cost of servicing:
Range	$80 – $117	$77 – $117	$78 – $100
Weighted average	$103	$102	$97

(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”)/swap curve for purposes of discounting cash flows relating to MSRs.

(3) Annual total prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information.

Mortgage loans held for sale

Fair Value

Quantitative summary of key inputs or assumptions used in the valuation of financial statement items

	December 31,
	2021		2020
Fair value (in thousands)	$	1,128,876	$	4,675,169
Key inputs (1):
Discount rate:
Range		2.2% – 9.2%		2.8% – 9.2%
Weighted average		2.3%		2.8%
Twelve-month projected housing price index change:
Range		6.1% – 6.5%		2.7% – 3.5%
Weighted average		6.2%		3.0%
Voluntary prepayment/resale speed (2):
Range		0.4% – 30.3%		0.4% – 31.3%
Weighted average		22.0%		21.9%
Total prepayment speed (3):
Range		0.4% – 39.3%		0.5% – 42.9%
Weighted average		28.2%		29.2%

(1) Weighted average inputs are based on fair value of the “Level 3” loans.

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

(3) Total prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayment and resale rates.