Fair Value (Tables)

12 Months Ended

Dec. 31, 2022

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


	December 31, 2022
	Level 1		Level 2		Level 3		Total

	(in thousands)
Assets:
Short-term investment	$	12,194	$	—	$	—	$	12,194
Loans held for sale at fair value		—		3,163,528		345,772		3,509,300
Derivative assets:
Interest rate lock commitments		—		—		36,728		36,728
Forward purchase contracts		—		2,433		—		2,433
Forward sales contracts		—		80,754		—		80,754
MBS put options		—		6,057		—		6,057
Put options on interest rate futures purchase contracts		29,203		—		—		29,203
Call options on interest rate futures purchase contracts		2,820		—		—		2,820
Total derivative assets before netting		32,023		89,244		36,728		157,995
Netting		—		—		—		(58,992)
Total derivative assets		32,023		89,244		36,728		99,003
Mortgage servicing rights at fair value		—		—		5,953,621		5,953,621
Investment in PennyMac Mortgage Investment Trust		929		—		—		929
	$	45,146	$	3,252,772	$	6,336,121	$	9,575,047
Liabilities:
Derivative liabilities:
Interest rate lock commitments	$	—	$	—	$	10,884	$	10,884
Forward purchase contracts		—		48,670		—		48,670
Forward sales contracts		—		20,684		—		20,684
Put options on interest rate futures sales contracts		3,008		—		—		3,008
Total derivative liabilities before netting		3,008		69,354		10,884		83,246
Netting		—		—		—		(61,534)
Total derivative liabilities		3,008		69,354		10,884		21,712
Mortgage servicing liabilities at fair value		—		—		2,096		2,096
	$	3,008	$	69,354	$	12,980	$	23,808


	December 31, 2021
	Level 1		Level 2		Level 3		Total

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

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


	Year ended December 31, 2022
			Net interest		Mortgage
	Loans held		rate lock		servicing
Assets	for sale		commitments (1)		rights		Total

	(in thousands)
Balance, December 31, 2021	$	1,128,876	$	322,193	$	3,878,078	$	5,329,147
Purchases and issuances, net		3,338,743		369,769		3,993		3,712,505
Capitalization of interest and advances		60,589		—		—		60,589
Sales and repayments		(1,378,441)		—		—		(1,378,441)
Mortgage servicing rights resulting from loan sales		—		—		1,718,094		1,718,094
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		(41,483)		—		—		(41,483)
Other factors		(25,156)		(624,905)		353,456		(296,605)
		(66,639)		(624,905)		353,456		(338,088)
Transfers from Level 3 to Level 2		(2,736,940)		—		—		(2,736,940)
Transfers to real estate acquired in settlement of loans		(416)		—		—		(416)
Transfers to loans held for sale		—		(41,213)		—		(41,213)
Balance, December 31, 2022	$	345,772	$	25,844	$	5,953,621	$	6,325,237
Changes in fair value recognized during the year relating to assets still held at December 31, 2022	$	(26,699)	$	25,844	$	353,456	$	352,601

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



	Year ended
Liabilities	December 31, 2022
	(in thousands)
Mortgage servicing liabilities:
Balance, December 31, 2021	$	2,816
Changes in fair value included in income		(720)
Balance, December 31, 2022	$	2,096
Changes in fair value recognized during the year relating to liabilities still outstanding at December 31, 2022	$	(720)


	Year ended December 31, 2021
			Net interest		Mortgage
	Loans held		rate lock		servicing
Assets	for sale		commitments (1)		rights			Total

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


	Year ended December 31, 2021
	Excess
	servicing		Mortgage
	spread		servicing
Liabilities	financing		liabilities		Total

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


	Year ended December 31, 2020
			Net interest		Repurchase		Mortgage
	Loans held		rate lock		agreement		servicing
Assets	for sale		commitments (1)		derivatives		rights		Total

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

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


	Year ended December 31, 2020
	Excess
	servicing		Mortgage
	spread		servicing
Liabilities	financing		liabilities		Total

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

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


	Year ended December 31,
	2022						2021						2020
	Net gains on		Net				Net gains on		Net				Net gains on		Net
	loans held		loan				loans held		loan				loans held		loan
	for sale at		servicing				for sale at		servicing				for sale at		servicing
	fair value		fees		Total		fair value		fees		Total		fair value		fees		Total

	(in thousands)
Assets:
Loans held for sale	$	(219,054)	$	—	$	(219,054)	$	2,568,318	$	—	$	2,568,318	$	2,899,314	$	—	$	2,899,314
Mortgage servicing rights		—		353,456		353,456		—		(565,045)		(565,045)		—		(1,509,134)		(1,509,134)
	$	(219,054)	$	353,456	$	134,402	$	2,568,318	$	(565,045)	$	2,003,273	$	2,899,314	$	(1,509,134)	$	1,390,180
Liabilities:
Excess servicing spread financing payable to PennyMac Mortgage Investment Trust	$	—	$	—	$	—	$	—	$	(1,037)	$	(1,037)	$	—	$	24,970	$	24,970
Mortgage servicing liabilities		—		720		720		—		149,139		149,139		—		7,141		7,141
	$	—	$	720	$	720	$	—	$	148,102	$	148,102	$	—	$	32,111	$	32,111

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


	December 31, 2022						December 31, 2021
			Principal						Principal
			amount						amount
	Fair		due upon				Fair		due upon
Loans held for sale	value		maturity		Difference		value		maturity		Difference

	(in thousands)
Current through 89 days delinquent	$	3,450,578	$	3,428,052	$	22,526	$	9,577,398	$	9,263,242	$	314,156
90 days or more delinquent:
Not in foreclosure		47,252		53,351		(6,099)		153,162		153,875		(713)
In foreclosure		11,470		16,811		(5,341)		11,923		13,649		(1,726)
	$	3,509,300	$	3,498,214	$	11,086	$	9,742,483	$	9,430,766	$	311,717

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


Real estate acquired in settlement of loans	Level 1		Level 2		Level 3		Total

	(in thousands)
December 31, 2022	$	—	$	—	$	1,850	$	1,850
December 31, 2021	$	—	$	—	$	2,588	$	2,588

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


	Year ended December 31,
	2022		2021		2020

	(in thousands)
Real estate acquired in settlement of loans	$	523	$	799	$	814

Summary of carrying value and fair value of debt


	December 31, 2022				December 31, 2021
	Fair value		Carrying value		Fair value		Carrying value

	(in thousands)
Term Notes	$	1,677,476	$	1,794,475	$	1,302,640	$	1,297,622
Unsecured senior notes	$	1,550,750	$	1,779,920	$	1,790,375	$	1,776,219

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


	Year ended December 31,
	2022	2021	2020

	(Amount recognized and unpaid principal balance of underlying mortgage loans amounts in thousands)
Amount recognized	$1,718,094	$1,861,949	$1,138,045
Pool characteristics:
Unpaid principal balance of underlying loans	$83,569,657	$138,319,425	$96,571,835
Weighted average servicing fee rate (in basis points)	44	34	35
Key inputs (1):
Annual total prepayment speed (2):
Range	5.1% – 23.4%	6.1% – 31.4%	7.2% – 49.8%
Weighted average	9.4%	8.6%	11.9%
Equivalent average life (in years):
Range	3.7 – 9.4	3.0 – 9.2	1.5 – 9.1
Weighted average	8.1	8.1	6.7
Pricing spread (3):
Range	5.5% – 16.1%	6.0% – 16.9%	6.8% – 18.1%
Weighted average	7.8%	8.8%	9.4%
Annual per-loan cost of servicing:
Range	$71 – $177	$80 – $117	$77 – $117
Weighted average	$104	$103	$102

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

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

(3)

Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. Effective January 1, 2022, the Company applies a pricing spread to the United States Treasury (“Treasury”) Securities yield curve for purposes of discounting cash flows relating to MSRs. Through December 31, 2021, the Company applied its pricing spread to the United States Dollar London Interbank Offered Rate (“LIBOR”)/swap curve. The change in reference interest rate from the LIBOR/swap curve to the Treasury yield curve did not have a significant effect on the Company’s fair value measurement of MSRs.

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


	December 31,
	2022	2021

	(Fair value, unpaid principal balance of underlying mortgage
	loans and effect on fair value amounts in thousands)
Fair value	$ 5,953,621	$ 3,878,078
Pool characteristics:
Unpaid principal balance of underlying loans	$ 314,567,639	$ 278,324,780
Weighted average note interest rate	3.4%	3.2%
Weighted average servicing fee rate (in basis points)	36	34
Key inputs (1):
Annual total prepayment speed (2):
Range	5.0% – 17.7%	7.9% – 26.7%
Weighted average	7.5%	10.7%
Equivalent average life (in years):
Range	3.7 – 9.3	3.1 – 7.7
Weighted average	8.4	6.8
Effect on fair value of (3):
5% adverse change	($77,346)	($80,109)
10% adverse change	($152,192)	($157,252)
20% adverse change	($294,872)	($303,259)
Pricing spread (4):
Range	4.9% – 14.3%	5.3% – 15.5%
Weighted average	6.5%	7.7%
Effect on fair value of (3):
5% adverse change	($81,021)	($59,577)
10% adverse change	($159,863)	($117,352)
20% adverse change	($311,329)	($227,791)
Per-loan annual cost of servicing:
Range	$68 – $144	$79 – $197
Weighted average	$109	$108
Effect on fair value of (3):
5% adverse change	($41,263)	($32,979)
10% adverse change	($82,527)	($65,958)
20% adverse change	($165,053)	($131,916)

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

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

(3)

These sensitivity analyses are limited in that they were performed as of a particular date; only contemplate the movements in the indicated inputs; do not incorporate changes to other inputs; are subject to the accuracy of the models and inputs used; and do not incorporate other factors that would affect the Company’s overall financial performance in such events, including operational adjustments made to account for changing circumstances. For these reasons, these estimates should not be viewed as earnings forecasts.

(4)

Effective January 1, 2022, the Company applies a pricing spread to the Treasury yield curve for purposes of discounting cash flows relating to MSRs. Through December 31, 2021, the Company applied its pricing spread to the United States Dollar LIBOR/swap curve. The change in reference interest rate from the LIBOR/swap curve to the Treasury yield curve did not have a significant effect on the Company’s fair value measurement of MSRs.

Mortgage servicing liabilities

Fair Value

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


	December 31,
		2022		2021
Fair value (in thousands)	$	2,096	$	2,816
Pool characteristics:
Unpaid principal balance of underlying loans (in thousands)	$	33,157	$	60,593
Servicing fee rate (in basis points)		25		25
Key inputs (1):
Annual total prepayment speed (2)		17.2%		19.8%
Equivalent average life (in years)		4.9		4.1
Pricing spread (3)		7.8%		6.9%
Per-loan annual cost of servicing	$	1,177	$	1,406

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

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

(3)

Effective January 1, 2022, the Company applies a pricing spread to the Treasury yield curve for purposes of discounting cash flows relating to MSLs. Through December 31, 2021, the Company applied its pricing spread to the United States Dollar London LIBOR/swap curve. The change in reference interest rate from the LIBOR/swap curve to the Treasury yield curve did not have a significant effect on the Company’s fair value measurement of MSLs.

Interest rate lock commitments

Fair Value

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


	December 31,
	2022		2021
Fair value (in thousands) (1)	$	25,844	$	322,193
Key inputs (2):
Pull-through rate:
Range		10.3% – 100%		8.0% – 100%
Weighted average		82.8%		78.4%
Mortgage servicing rights fair value expressed as:
Servicing fee multiple:
Range		(1.3) – 7.7		(8.5) – 6.7
Weighted average		4.3		3.8
Percentage of loan commitment amount
Range		(0.2)% – 3.8%		(1.6)% – 3.6%
Weighted average		2.0%		1.5%

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

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

Mortgage servicing rights

Fair Value

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


	Year ended December 31,
	2022	2021	2020

	(Amount recognized and unpaid principal balance of underlying mortgage loans amounts in thousands)
Amount recognized	$1,718,094	$1,861,949	$1,138,045
Pool characteristics:
Unpaid principal balance of underlying loans	$83,569,657	$138,319,425	$96,571,835
Weighted average servicing fee rate (in basis points)	44	34	35
Key inputs (1):
Annual total prepayment speed (2):
Range	5.1% – 23.4%	6.1% – 31.4%	7.2% – 49.8%
Weighted average	9.4%	8.6%	11.9%
Equivalent average life (in years):
Range	3.7 – 9.4	3.0 – 9.2	1.5 – 9.1
Weighted average	8.1	8.1	6.7
Pricing spread (3):
Range	5.5% – 16.1%	6.0% – 16.9%	6.8% – 18.1%
Weighted average	7.8%	8.8%	9.4%
Annual per-loan cost of servicing:
Range	$71 – $177	$80 – $117	$77 – $117
Weighted average	$104	$103	$102

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

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

(3)

Mortgage loans held for sale

Fair Value

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


	December 31,
	2022		2021
Fair value (in thousands)	$	345,772	$	1,128,876
Key inputs (1):
Discount rate:
Range		5.5% – 10.2%		2.2% – 9.2%
Weighted average		5.7%		2.3%
Twelve-month projected housing price index change:
Range		(1.9)% – (1.7)%		6.1% – 6.5%
Weighted average		(1.8)%		6.2%
Voluntary prepayment/resale speed (2):
Range		4.7% – 25.6%		0.4% – 30.3%
Weighted average		21.6%		22.0%
Total prepayment/resale speed (3):
Range		4.8% – 36.1%		0.4% – 39.3%
Weighted average		29.4%		28.2%

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

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

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