Fair Value (Tables)

3 Months Ended

Mar. 31, 2026

Summary of Financial Statement Items Measured at Fair Value on Recurring Basis

Following is a summary of financial statement items that are measured at fair value on a recurring basis:


	March 31, 2026
	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets:
Short-term investments	$	187,689	$	—	$	—	$	187,689
Mortgage-backed securities		—		3,694,110		71,429		3,765,539
Loans held for sale		—		2,347,811		2,084		2,349,895
Loans held for investment		—		10,866,292		1,650		10,867,942
Derivative assets with nonaffiliates:
Call options on interest rate futures purchase contracts		2,141		—		—		2,141
Put options on interest rate futures purchase contracts		10,859		—		—		10,859
Forward purchase contracts		—		1,492		—		1,492
Forward sale contracts		—		31,957		—		31,957
Credit risk transfer derivatives		—		—		30,174		30,174
Total derivative assets with nonaffiliates before netting		13,000		33,449		30,174		76,623
Netting		—		—		—		(25,857	)
Total derivative assets with nonaffiliates after netting		13,000		33,449		30,174		50,766
Derivative assets with PennyMac Financial Services, Inc.:
Forward purchase contracts		—		1,225		—		1,225
Interest rate lock commitments		—		—		2,613		2,613
Total derivative assets with PennyMac Financial Services, Inc. before netting		—		1,225		2,613		3,838
Netting		—		—		—		(15	)
Total derivative assets with PennyMac Financial Services, Inc. after netting		—		1,225		2,613		3,823
Mortgage servicing rights		—		—		3,623,979		3,623,979
	$	200,689	$	16,942,887	$	3,731,929	$	20,849,633
Liabilities:
Interest-only security payable	$	—	$	—	$	34,232	$	34,232
Asset-backed financings of variable interest entities		—		9,903,515		—		9,903,515
Derivative and credit risk transfer strip liabilities with nonaffiliates:
Forward purchase contracts		—		8,491		—		8,491
Forward sales contracts		—		11,922		—		11,922
Total derivative liabilities with nonaffiliates before netting		—		20,413		—		20,413
Netting		—		—		—		(3,146	)
Total derivative liabilities with nonaffiliates after netting		—		20,413		—		17,267
Credit risk transfer strips		—		—		4,062		4,062
Total derivative and credit risk transfer strip liabilities with nonaffiliates		—		20,413		4,062		21,329
Derivative liabilities with PennyMac Financial Services, Inc:
Forward purchase contracts		—		15		—		15
Interest rate lock commitments		—		—		5,886		5,886
Total derivative liabilities with PennyMac Financial Services, Inc before netting		—		15		5,886		5,901
Netting		—		—		—		(15	)
Total derivative liabilities with PennyMac Financial Services, Inc after netting:		—		15		5,886		5,886
	$	—	$	9,923,943	$	44,180	$	9,964,962


	December 31, 2025
	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets:
Short-term investments	$	190,518	$	—	$	—	$	190,518
Mortgage-backed securities		—		4,380,357		72,502		4,452,859
Loans held for sale		—		2,695,817		3,581		2,699,398
Loans held for investment		—		8,530,939		1,705		8,532,644
Derivative assets with nonaffiliates:
Call options on interest rate futures purchase contracts		1,289		—		—		1,289
Put options on interest rate futures purchase contracts		4,109		—		—		4,109
Forward purchase contracts		—		4,113		—		4,113
Forward sale contracts		—		2,381		—		2,381
Credit risk transfer derivatives		—		—		32,659		32,659
Total derivative assets with nonaffiliates before netting		5,398		6,494		32,659		44,551
Netting		—		—		—		5,145
Total derivative assets with nonaffiliates after netting		5,398		6,494		32,659		49,696
Derivative assets with PennyMac Financial Services, Inc.:
Interest rate lock commitments		—		—		4,605		4,605
Forward purchase contracts		—		1,784		—		1,784
Total derivative assets with PennyMac Financial Services, Inc. before netting		—		1,784		4,605		6,389
Netting		—		—		—		(142	)
Total derivative assets with PennyMac Financial Services, Inc. after netting		—		1,784		4,605		6,247
Mortgage servicing rights		—		—		3,644,702		3,644,702
	$	195,916	$	15,615,391	$	3,759,754	$	19,576,064
Liabilities:
Interest-only security payable	$	—	$	—	$	37,650	$	37,650
Asset-backed financings of variable interest entities		—		7,789,303		—		7,789,303
Derivative and credit risk transfer strip liabilities with nonaffiliates:
Forward purchase contracts		—		158		—		158
Forward sales contracts		—		17,340		—		17,340
Total derivative liabilities with nonaffiliates before netting		—		17,498		—		17,498
Netting		—		—		—		(16,565	)
Total derivative liabilities with nonaffiliates after netting		—		17,498		—		933
Credit risk transfer strips		—		—		5,999		5,999
Total derivative and credit risk transfer strip liabilities with nonaffiliates		—		17,498		5,999		6,932
Derivative liabilities with PennyMac Financial Services, Inc:
Interest rate lock commitments		—		—		2,257		2,257
Forward purchase contracts		—		142		—		142
Total derivative liabilities with PennyMac Financial Services, Inc before netting		—		142		2,257		2,399
Netting		—		—		—		(142	)
Total derivative liabilities with PennyMac Financial Services, Inc after netting:		—		142		2,257		2,257
	$	—	$	7,806,943	$	45,906	$	7,836,142

Summary of Changes in Items Measured Using Level 3 Inputs on Recurring Basis

The following is a summary of changes in items measured at fair value on a recurring basis using Level 3 inputs that are significant to the estimation of the fair values of the assets and liabilities at either the beginning or end of the quarters presented:


	Quarter ended March 31, 2026
Assets (1)	Interest-only stripped mortgage-backed securities			Loans held for sale			Loans held for investment			CRT derivatives			Interest rate lock commitments with PFSI			CRT strips			Mortgage servicing rights			Total
	(in thousands)
Balance, December 31, 2025	$	72,502		$	3,581		$	1,705		$	32,659		$	2,348		$	(5,999	)	$	3,644,702		$	3,751,498
Purchases and issuances		—			3,601			—			—			5,270			—			—			8,871
Repayments and sales		(4,107	)		(4,950	)		(16	)		(2,617	)		—			(8,424	)		—			(20,114	)
Accrual of unearned discounts		1,965			—			—			—			—			—			—			1,965
Amounts received pursuant to sales of loans		—			—			—			—			—			—			40,281			40,281
Changes in fair value included in income arising from:
Changes in instrument - specific credit risk		—			—			—			—			—			—			—			—
Other factors		1,069			(148	)		(39	)		132			(3,936	)		10,361			(61,299	)		(53,860	)
		1,069			(148	)		(39	)		132			(3,936	)		10,361			(61,299	)		(53,860	)
Transfers of:
Interest rate lock commitments to loans held for sale (2)		—			—			—			—			(6,955	)		—			—			(6,955	)
Mortgage servicing rights relating to delinquent loans to Agency		—			—			—			—			—			—			295			295
Balance, March 31, 2026	$	71,429		$	2,084		$	1,650		$	30,174		$	(3,273	)	$	(4,062	)	$	3,623,979		$	3,721,981
Changes in fair value recognized during the quarter relating to assets still held at March 31, 2026	$	1,069		$	(219	)	$	(39	)	$	(2,416	)	$	(3,273	)	$	1,806		$	(61,299	)	$	(64,371	)

(1)

For the purpose of this table, CRT derivative, interest rate lock commitment (“IRLC”), and CRT strip asset and liability positions are shown net.

(2)

The Company had transfers among the fair value levels arising from transfers of IRLCs to Loans held for sale at fair value upon purchase of the respective loans.


Liabilities	Quarter ended March 31, 2026
	(in thousands)
Interest-only security payable:
Balance, December 31, 2025	$	37,650
Change in fair value included in income arising from:
Change in instrument - specific credit risk		—
Other factors		(3,418	)
		(3,418	)
Balance, March 31, 2026	$	34,232
Change in fair value recognized during the quarter relating to liability outstanding at March 31, 2026	$	(3,418	)


	Quarter ended March 31, 2025
Assets (1)	Interest-only stripped mortgage-backed securities			Loans held for sale			Loans held for investment			CRT derivatives			Interest rate lock commitments			CRT strips			Mortgage servicing rights			Total
	(in thousands)
Balance, December 31, 2024	$	86,260		$	7,971		$	1,866		$	29,377		$	444		$	(4,060	)	$	3,867,394		$	3,989,252
Purchases and issuances		—			28			—			—			4,599			—			—			4,627
Repayments and sales		(4,636	)		(2,678	)		(20	)		(2,883	)		—			(9,777	)		—			(19,994	)
Accrual of unearned discount		2,285			—			—			—			—			—			—			2,285
Amounts received pursuant to sales of loans		—			—			—			—			—			—			47,009			47,009
Changes in fair value included in income arising from:
Changes in instrument - specific credit risk		—			—			—			—			—			—			—			—
Other factors		(2,866	)		130			(31	)		1,980			7,391			(2,048	)		(144,590	)		(140,034	)
		(2,866	)		130			(31	)		1,980			7,391			(2,048	)		(144,590	)		(140,034	)
Transfers of:
Interest rate lock commitments to loans held for sale (2)		—			—			—			—			(7,815	)		—			—			(7,815	)
Mortgage servicing rights relating to delinquent loans to Agency		—			—			—			—			—			—			221			221
Balance, March 31, 2025	$	81,043		$	5,451		$	1,815		$	28,474		$	4,619		$	(15,885	)	$	3,770,034		$	3,875,551
Changes in fair value recognized during the quarter relating to assets still held at March 31, 2025	$	(2,866	)	$	(14	)	$	(31	)	$	(823	)	$	4,619		$	(11,825	)	$	(144,590	)	$	(155,530	)

(1)

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

(2)

The Company had transfers among the fair value levels arising from transfers of IRLCs to Loans held for sale at fair value upon purchase of the respective loans.


Liabilities	Quarter ended March 31, 2025
	(in thousands)
Interest-only security payable:
Balance, December 31, 2024	$	34,222
Change in fair value included in income arising from:
Change in instrument - specific credit risk		—
Other factors		1,732
		1,732
Balance, March 31, 2025	$	35,954
Change in fair value recognized during the quarter relating to liability outstanding at March 31, 2025	$	1,732

Fair Values and Related Principal Amounts Due upon Maturity of Mortgage Loans Accounted for Under Fair Value Option

Following are the fair values and related principal amounts due upon maturity of loans accounted for under the fair value option:


	March 31, 2026							December 31, 2025
	Fair value		Principal amount due upon maturity		Difference			Fair value		Principal amount due upon maturity		Difference
	(in thousands)
Loans held for sale:
Current through 89 days delinquent	$	2,347,431	$	2,303,642	$	43,789		$	2,696,128	$	2,627,441	$	68,687
90 or more days delinquent:
Not in foreclosure		1,177		1,234		(57	)		1,273		1,271		2
In foreclosure		1,287		1,699		(412	)		1,997		2,289		(292	)
		2,464		2,933		(469	)		3,270		3,560		(290	)
	$	2,349,895	$	2,306,575	$	43,320		$	2,699,398	$	2,631,001	$	68,397
Loans held for investment:
Held in consolidated VIEs:
Current through 89 days delinquent	$	10,863,057	$	10,578,933	$	284,124		$	8,529,906	$	8,353,814	$	176,092
90 or more days delinquent:
Not in foreclosure		3,087		3,499		(412	)		700		844		(144	)
In foreclosure		148		195		(47	)		333		428		(95	)
		3,235		3,694		(459	)		1,033		1,272		(239	)
		10,866,292		10,582,627		283,665			8,530,939		8,355,086		175,853
Distressed:
Current through 89 days delinquent		362		457		(95	)		371		476		(105	)
90 or more days delinquent:
Not in foreclosure		901		2,413		(1,512	)		942		2,553		(1,611	)
In foreclosure		387		1,264		(877	)		392		1,120		(728	)
		1,288		3,677		(2,389	)		1,334		3,673		(2,339	)
		1,650		4,134		(2,484	)		1,705		4,149		(2,444	)
	$	10,867,942	$	10,586,761	$	281,181		$	8,532,644	$	8,359,235	$	173,409

Summary of Changes in Fair Value Included in Current Period Results of Operations

Following are the changes in fair value included in current period results of operations by consolidated statements of operations line item, for financial statement items accounted for under the fair value option:


	Quarter ended March 31, 2026
	Net loan servicing fees			Net gains on loans held for sale			Net (losses) gains on investments and financings			Net interest expense			Total
	(in thousands)
Assets:
Mortgage-backed securities	$	—		$	—		$	(33,407	)	$	8,400		$	(25,007	)
Loans held for sale		—			(419	)		—			—			(419	)
Loans held for investment		—			—			(65,803	)		(9,224	)		(75,027	)
Credit risk transfer strips		—			—			10,361			—			10,361
Mortgage servicing rights		(61,299	)		—			—			—			(61,299	)
	$	(61,299	)	$	(419	)	$	(88,849	)	$	(824	)	$	(151,391	)
Liabilities:
Interest-only security payable	$	—		$	—		$	3,418		$	—		$	3,418
Asset-backed financings of VIEs		—			—			62,236			3,931			66,167
	$	—		$	—		$	65,654		$	3,931		$	69,585


	Quarter ended March 31, 2025
	Net loan servicing fees			Net gains on loans held for sale		Net (losses) gains on investments and financings			Net interest expense			Total
	(in thousands)
Assets:
Mortgage-backed securities	$	—		$	—	$	64,855		$	10,070		$	74,925
Loans held for sale		—			46,511		—			—			46,511
Loans held for investment		—			—		28,681			(687	)		27,994
Credit risk transfer strips		—			—		(2,048	)		—			(2,048	)
Mortgage servicing rights		(144,590	)		—		—			—			(144,590	)
	$	(144,590	)	$	46,511	$	91,488		$	9,383		$	2,792
Liabilities:
Interest-only security payable	$	—		$	—	$	(1,732	)	$	—		$	(1,732	)
Asset-backed financings of VIEs		—			—		(29,423	)		1,368			(28,055	)
	$	—		$	—	$	(31,155	)	$	1,368		$	(29,787	)

Summary of Carrying Value of Financial Statement Items Remeasured Based on Fair Value on Nonrecurring Basis

Following is a summary of the carrying value of assets that were remeasured during the quarter based on fair value on a nonrecurring basis:


Real estate acquired in settlement of loans	Level 1		Level 2		Level 3		Total
	(in thousands)
March 31, 2026	$	—	$	—	$	25	$	25
December 31, 2025	$	—	$	—	$	30	$	30

Summary of Changes in Fair Value Recognized in Assets that Remeasured at Fair Value on a Nonrecurring Basis

The following table summarizes the fair value changes recognized during the quarter on assets held at quarter end that were remeasured at fair value on a nonrecurring basis:


	Quarter ended March 31,
	2026			2025
	(in thousands)
Real estate acquired in settlement of loans	$	(5	)	$	(140	)

Carrying and Fair Values of Notes Payable Secured by Credit Risk Transfer and Mortgage Servicing Rights and Exchangeable Senior Notes

The fair values and carrying values of these liabilities are summarized below:


	March 31, 2026				December 31, 2025
Instrument	Carrying value		Fair value		Carrying value		Fair value
	(in thousands)
Notes payable secured by credit risk transfer and mortgage servicing assets	$	2,396,545	$	2,405,192	$	2,258,128	$	2,268,438
Unsecured senior notes	$	684,506	$	712,515	$	1,028,300	$	1,073,341

Key Inputs Used in Determining Fair Value of IO Securities

Following are the key inputs used in determining the fair value of IO stripped MBS:


	March 31, 2026		December 31, 2025
Fair value (in thousands)	$	71,429	$	72,502
Key inputs (1)
Option-adjusted spread (2)
Range	3.8% – 4.2%		4.7% – 4.7%
Weighted average	3.8%		4.7%
Annual total prepayment speed (3)
Range	10.8% – 13.3%		11.0% – 13.6%
Weighted average	10.8%		11.0%
Equivalent life (in years)
Range	4.0 – 7.4		4.0 – 7.7
Weighted average	7.4		7.6

(1)

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

(2)

The Company applies an OAS to multiple simulated paths of a derived United States Treasury securities (“Treasury") yield curve for purposes of discounting cash flows relating to IO stripped MBS.

(3)

Prepayment speed is measured using life total Conditional Prepayment Rate (“CPR”). Equivalent life is provided as supplementary information.

Quantitative Summary of Key Unobservable Inputs Used in Valuation of CRT Derivatives

Following is a quantitative summary of key unobservable inputs used in the Company’s review and approval of broker-provided fair values for CRT derivatives:


	March 31, 2026		December 31, 2025
	(dollars in thousands)
Fair value	$	30,174	$	32,659
UPB of loans in reference pools	$	4,046,852	$	4,555,682
Key inputs (1)
Discount rate
Range	8.8% – 10.1%		8.6% – 14.1%
Weighted average	8.8%		8.8%
Voluntary prepayment speed (2)
Range	7.4% – 8.3%		6.3% – 7.6%
Weighted average	7.6%		7.3%
Involuntary prepayment speed (3)
Range	0.2% – 0.2%		0.1% – 0.3%
Weighted average	0.2%		0.1%
Remaining loss expectation
Range	0.0% – 0.1%		0.0% – 0.1%
Weighted average	0.1%		0.1%

(1)

Weighted average inputs are based on fair value amounts of the CRT arrangements, except for remaining loss expectation which is based on the UPB of the loans in the reference pools.

(2)

Voluntary prepayment speed is measured using life voluntary CPR.

(3)

Involuntary prepayment speed is measured using life involuntary CPR.

Quantitative Summary of Key Unobservable Inputs Used in Valuation of Interest Rate Lock Commitments

Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs:


	March 31, 2026			December 31, 2025
Fair value of net (liabilities) assets (in thousands) (1)	$	(3,273	)	$	2,348
Committed amount (in thousands)	$	1,338,161		$	1,207,859
Key inputs (2)
Pull-through rate
Range	60.1% – 100%			50.5% – 100%
Weighted average	87.9%			90.9%
MSR fair value expressed as
Servicing fee multiple
Range	1.6 – 8.4			1.7 – 8.4
Weighted average	5.2			5.4
Percentage of unpaid principal balance
Range	0.4% – 2.9%			0.4% – 3.2%
Weighted average	1.5%			1.9%

(1)

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

(2)

Weighted-average inputs are based on the committed amounts.

Summary of Key Unobservable Inputs Used in Valuation of Credit Risk Transfer Strip Liabilities

Following is a quantitative summary of key unobservable inputs used in the Company’s review and approval of the broker-provided fair values used to derive the fair value of the CRT strip liabilities:


	March 31, 2026		December 31, 2025
	(dollars in thousands)
Fair value	$	4,062	$	5,999
Unpaid principal balance of loans in the reference pools	$	14,669,085	$	14,961,848
Key inputs (1)
Discount rate
Range	4.9% – 8.7%		5.0% – 8.6%
Weighted average	8.2%		8.1%
Voluntary prepayment speed (2)
Range	7.1% – 7.5%		7.0% – 7.5%
Weighted average	7.2%		7.1%
Involuntary prepayment speed (3)
Range	0.1% – 0.3%		0.1% – 0.3%
Weighted average	0.2%		0.1%
Remaining loss expectation
Range	0.4% – 1.4%		0.4% – 1.4%
Weighted average	0.5%		0.5%

(1)

Weighted average inputs are based on fair value amounts of the CRT arrangements, except for remaining loss expectation which is based on the UPB of the loans in the reference pools.

(2)

Voluntary prepayment speed is measured using life voluntary CPR.

(3)

Involuntary prepayment speed is measured using life involuntary CPR.

Key Assumptions Used in Determining Fair Value of MSRs at Time of Initial Recognition

Following are the key inputs used in determining the fair value of MSRs at the time of initial recognition:


	Quarter ended March 31,
	2026		2025
MSRs recognized (in thousands)	$	40,281	$	47,009
Unpaid principal balance of underlying loans (in thousands)	$	2,197,665	$	2,594,638
Weighted average annual servicing fee rate (in basis points)	34		32
Key inputs (1)
Prepayment speed (2)
Range	8.6% – 14.9%		9.4% - 15.3%
Weighted average	9.4%		9.9%
Equivalent average life (in years)
Range	3.7 – 8.7		3.7– 8.2
Weighted average	8.2		7.9
Pricing spread (3)
Range	5.2% – 10.0%		5.2% - 7.3%
Weighted average	6.2%		5.5%
Annual per-loan cost of servicing
Range	$69 – $113		$68 – $87
Weighted average	$72		$69

(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 Treasury yield curve for purposes of discounting cash flows in its initial recognition of MSRs.

Quantitative Summary of Key Assumptions Used in Valuation of MSRs as of Dates Presented, and Effect on Estimated Fair Value from Adverse Changes in Those Inputs

Following is a quantitative summary of key inputs used in the valuation of MSRs as of the dates presented, and the effect on the fair value from adverse changes in those inputs:


	March 31, 2026		December 31, 2025
Fair value (in thousands)	$	3,623,979	$	3,644,702
Unpaid principal balance of underlying loans (in thousands)	$	212,198,589	$	215,781,639
Weighted average annual servicing fee rate (in basis points)	28		28
Weighted average note interest rate	3.9%		3.9%
Key inputs (1)
Prepayment speed (2)
Range	7.0% – 25.6%		7.0% – 21.5%
Weighted average	7.2%		8.4%
Equivalent average life (in years)
Range	2.0 – 8.9		2.1 – 7.9
Weighted average	8.5		7.7
Effect on fair value (in thousands) of (3):
5% adverse change	$(49,635)		$(61,563)
10% adverse change	$(97,738)		$(120,960)
20% adverse change	$(189,634)		$(233,683)
Option-adjusted spread (4)
Range	3.2% – 6.4%		3.6% – 6.2%
Weighted average	4.6%		3.6%
Effect on fair value (in thousands) of (3):
5% adverse change	$(39,505)		$(30,295)
10% adverse change	$(78,085)		$(60,089)
20% adverse change	$(152,590)		$(118,218)
Annual per-loan cost of servicing
Range	$69 – $94		$68 – $90
Weighted average	$69		$68
Effect on fair value (in thousands) of (3):
5% adverse change	$(15,791)		$(15,979)
10% adverse change	$(31,582)		$(31,959)
20% adverse change	$(63,164)		$(63,918)

(1)

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

(2)

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 projections of the effect of shock events or as earnings forecasts.

(4)

The OAS is a margin that is applied to a reference interest rate’s projected curve to develop periodic discount rates. The Company applies an OAS to multiple simulated paths of a derived Treasury yield curve for purposes of discounting cash flows relating to period-end MSRs.