Fair Value (Tables)

3 Months Ended

Mar. 31, 2026

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


		March 31, 2026
		Level 1			Level 2			Level 3			Total

		(in thousands)
Assets:
Short-term investment		$	434,220		$	—		$	—		$	434,220
Principal-only stripped mortgage-backed securities			—			659,235			—			659,235
Loans held for sale			—			9,525,538			428,957			9,954,495
Derivative assets from non-affiliates:
Interest rate lock commitments			—			—			138,031			138,031
Forward purchase contracts			—			24,588			—			24,588
Forward sales contracts			—			165,645			—			165,645
MBS put options			—			4,840			—			4,840
Total return swap			—			119			—			119
Put options on interest rate futures purchase contracts			41,688			—			—			41,688
Call options on interest rate futures purchase contracts			9,414			—			—			9,414
Total derivative assets before netting			51,102			195,192			138,031			384,325
Netting			—			—			—			(107,616)
Total derivative assets from non-affiliates			51,102			195,192			138,031			276,709
Derivative assets from PennyMac Mortgage Investment Trust:
Interest rate lock commitments			—			—			5,886			5,886
Forward sales contracts			—			15			—			15
Total before netting			—			15			5,886			5,901
Netting			—			—			—			(15)
Total derivative assets from PennyMac Mortgage Investment Trust			—			15			5,886			5,886
Mortgage servicing rights			—			—			10,149,036			10,149,036
Investment in PennyMac Mortgage Investment Trust			875			—			—			875
		$	486,197		$	10,379,980		$	10,721,910		$	21,480,456
Liabilities:
Derivative liabilities to non-affiliates:
Interest rate lock commitments		$	—		$	—		$	35,368		$	35,368
Forward purchase contracts			—			67,863			—			67,863
Forward sales contracts			—			42,663			—			42,663
Total derivative liabilities before netting			—			110,526			35,368			145,894
Netting			—			—			—			(79,065)
Total derivative liabilities to non-affiliates			—			110,526			35,368			66,829
Derivative liabilities to PennyMac Mortgage Investment Trust:
Interest rate lock commitments			—			—			2,613			2,613
Forward sales contracts			—			1,225			—			1,225
Total derivative liabilities to PennyMac Mortgage Investment Trust before netting			—			1,225			2,613			3,838
Netting			—			—			—			(15)
Total derivative liabilities to PennyMac Mortgage Investment Trust			—			1,225			2,613			3,823
Mortgage servicing liabilities			—			—			1,568			1,568
		$	—		$	111,751		$	39,549		$	72,220


		December 31, 2025
		Level 1			Level 2			Level 3			Total

		(in thousands)
Assets:
Short-term investment		$	410,037		$	—		$	—		$	410,037
Principal-only stripped mortgage-backed securities			—			722,528			—			722,528
Loans held for sale			—			8,815,699			307,711			9,123,410
Derivative assets from non-affiliates:
Interest rate lock commitments			—			—			131,536			131,536
Forward purchase contracts			—			49,499			—			49,499
Forward sales contracts			—			16,399			—			16,399
Total return swap			—			8			—			8
Put options on interest rate futures purchase contracts			22,769			—			—			22,769
Call options on interest rate futures purchase contracts			2,086			—			—			2,086
Total derivative assets before netting			24,855			65,906			131,536			222,297
Netting			—			—			—			(36,779)
Total derivative assets from non-affiliates			24,855			65,906			131,536			185,518
Derivative assets from PennyMac Mortgage Investment Trust:
Interest rate lock commitments			—			—			2,257			2,257
Forward sales contracts			—			142			—			142
Total before netting			—			142			2,257			2,399
Netting			—			—			—			(142)
Total derivative assets from PennyMac Mortgage Investment Trust			—			142			2,257			2,257
Mortgage servicing rights			—			—			9,598,941			9,598,941
Investment in PennyMac Mortgage Investment Trust			941			—			—			941
		$	435,833		$	9,604,275		$	10,040,445		$	20,043,632
Liabilities:
Derivative liabilities to non-affiliates:
Interest rate lock commitments		$	—		$	—		$	4,260		$	4,260
Forward purchase contracts			—			2,845			—			2,845
Forward sales contracts			—			47,692			—			47,692
Total derivative liabilities before netting			—			50,537			4,260			54,797
Netting			—			—			—			(45,238)
Total derivative liabilities to non-affiliates			—			50,537			4,260			9,559
Derivative liabilities to PennyMac Mortgage Investment Trust:
Interest rate lock commitments			—			—			4,605			4,605
Forward sales contracts			—			1,784			—			1,784
Total derivative liabilities to PennyMac Mortgage Investment Trust before netting			—			1,784			4,605			6,389
Netting			—			—			—			(142)
Total derivative liabilities to PennyMac Mortgage Investment Trust			—			1,784			4,605			6,247
Mortgage servicing liabilities			—			—			1,572			1,572
		$	—		$	52,321		$	10,437		$	17,378

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


		Quarter ended March 31, 2026
					Interest rate lock			Interest rate lock			Mortgage
		Loans held			commitments to			commitments to			servicing
Assets		for sale			non-affiliates, net (1)			PMT, net (1)			rights			Total

		(in thousands)
Balance, December 31, 2025		$	307,711		$	127,276		$	(2,348)		$	9,598,941		$	10,031,580
Purchases and issuances, net			947,556			254,337			(5,270)			—			1,196,623
Capitalization of interest and servicing advances			17,502			—			—			—			17,502
Sales, sales adjustments and repayments			(342,604)			—			—			2,506			(340,098)
Mortgage servicing rights resulting from loan sales			—			—			—			719,586			719,586
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk			22,201			—			—			—			22,201
Other factors			2,580			19,347			3,936			(171,997)			(146,134)
			24,781			19,347			3,936			(171,997)			(123,933)
Transfers:
From Level 3 to Level 2			(525,141)			—			—			—			(525,141)
To real estate acquired in settlement of loans			(848)			—			—			—			(848)
To loans held for sale			—			(298,297)			6,955			—			(291,342)
Balance, March 31, 2026		$	428,957		$	102,663		$	3,273		$	10,149,036		$	10,683,929
Changes in fair value recognized during the quarter relating to assets still held at March 31, 2026		$	12,402		$	102,663		$	3,273		$	(171,997)		$	(53,659)

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


		Quarter ended
Liabilities		March 31, 2026
		(in thousands)
Mortgage servicing liabilities:
Balance, December 31, 2025		$	1,572
Changes in fair value included in income			(4)
Balance, March 31, 2026		$	1,568
Changes in fair value recognized during the quarter relating to liabilities still outstanding at March 31, 2026		$	(4)


	Quarter ended March 31, 2025
				Interest			Mortgage
	Loans held			rate lock			servicing
Assets	for sale			commitments, net (1)			rights				Total

	(in thousands)
Balance, December 31, 2024	$	434,053		$	33,565		$	8,744,528		$	9,212,146
Purchases and issuances, net		1,383,885			182,543			—			1,566,428
Capitalization of interest and servicing advances		10,632			—			—			10,632
Sales and repayments		(514,646)			—			—			(514,646)
Mortgage servicing rights resulting from loan sales		—			—			650,349			650,349
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		1,986			—			—			1,986
Other factors		36,948			116,113			(430,988)			(277,927)
		38,934			116,113			(430,988)			(275,941)
Transfers:											—
From Level 3 to Level 2		(911,237)			—			—			(911,237)
To loans held for sale		—			(222,279)			—			(222,279)
Balance, March 31, 2025	$	441,621		$	109,942		$	8,963,889		$	9,515,452
Changes in fair value recognized during the quarter relating to assets still held at March 31, 2025	$	23,715		$	109,942		$	(430,988)		$	(297,331)

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


Liabilities	Quarter ended March 31, 2025
	(in thousands)
Mortgage servicing liabilities:
Balance, December 31, 2024	$	1,683
Changes in fair value included in income		(32)
Balance, March 31, 2025	$	1,651
Changes in fair value recognized during the quarter relating to liabilities still outstanding at March 31, 2025	$	(32)

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


		Quarter ended March 31,
		2026												2025
		Net gains on			Net									Net gains on			Net
		loans held			loan			Net						loans held			loan
		for sale at			servicing			interest						for sale at			servicing
		fair value			fees			expense			Total			fair value			fees			Total

		(in thousands)
Assets:
Principal-only stripped mortgage-backed securities		$	—		$	(39)		$	(5,185)		$	(5,224)		$	—		$	18,134		$	18,134
Loans held for sale			252,324			—			—			252,324			292,143			—			292,143
Mortgage servicing rights			—			(171,997)			—			(171,997)			—			(430,988)			(430,988)
		$	252,324		$	(172,036)		$	(5,185)		$	75,103		$	292,143		$	(412,854)		$	(120,711)
Liabilities:
Mortgage servicing liabilities		$	—		$	4		$	—		$	4		$	—		$	32		$	32

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


		March 31, 2026									December 31, 2025
					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		$	9,904,215		$	9,755,026		$	149,189		$	9,080,781		$	8,874,884		$	205,897
90 days or more delinquent:
Not in foreclosure			35,749			38,436			(2,687)			32,364			35,669			(3,305)
In foreclosure			14,531			28,024			(13,493)			10,265			19,924			(9,659)
		$	9,954,495		$	9,821,486		$	133,009		$	9,123,410		$	8,930,477		$	192,933

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


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

		(in thousands)
March 31, 2026		$	—		$	—		$	26,736		$	26,736
December 31, 2025		$	—		$	—		$	8,731		$	8,731

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

Summary of carrying value and fair value of debt


		March 31, 2026					December 31, 2025
		Fair value		Carrying value			Fair value		Carrying value

		(in thousands)
Term notes and term loans		$	1,334,166	$	1,326,325		$	1,334,248	$	1,326,021
Unsecured senior notes		$	4,748,252	$	4,834,396		$	5,075,675	$	4,831,742

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


	March 31, 2026	December 31, 2025

	(Fair value, unpaid principal balance of underlying
	loans and effect on fair value amounts in thousands)
Fair value	$ 10,149,036	$ 9,598,941
Underlying loan characteristics:
Unpaid principal balance	$ 473,980,146	$ 462,020,147
Weighted average note interest rate	5.1%	4.7%
Weighted average servicing fee rate (in basis points)	39	39
Key inputs (1):
Annual total prepayment speed (2):
Range	5.0% – 25.7%	6.0% – 22.7%
Weighted average	8.3%	9.0%
Equivalent average life (in years):
Range	2.5 – 9.7	2.5 – 9.0
Weighted average	8.7	8.0
Effect on fair value of (3):
5% adverse change	($137,759)	($168,856)
10% adverse change	($271,449)	($331,359)
20% adverse change	($527,347)	($638,689)
Option-adjusted spread (4):
Range	2.0% – 13.2%	2.6% – 13.2%
Weighted average	4.6%	4.7%
Effect on fair value of (3):
5% adverse change	($101,516)	($95,530)
10% adverse change	($200,579)	($189,008)
20% adverse change	($391,692)	($370,059)
Per-loan annual cost of servicing:
Range	$70 – $128	$70 – $127
Weighted average	$108	$106
Effect on fair value of (3):
5% adverse change	($54,079)	($50,531)
10% adverse change	($108,157)	($101,061)
20% adverse change	($216,314)	($202,122)

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

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

(3)

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

Mortgage servicing liabilities

Fair Value

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


		March 31,		December 31,
		2026		2025
Fair value (in thousands)	$	1,568	$	1,572
Underlying loan characteristics:
Unpaid principal balance of underlying loans (in thousands)	$	15,219	$	15,298
Servicing fee rate (in basis points)		25		25
Key inputs (1):
Annual total prepayment speed (2)		14.3%		14.2%
Equivalent average life (in years)		5.5		5.5
Option-adjusted spread (3)		9.1%		9.1%
Per-loan annual cost of servicing	$	861	$	853

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

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

(3)	The 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 MSLs.

Interest rate lock commitments

Fair Value

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



		March 31, 2026			December 31, 2025
Fair value (in thousands) (1)		$	105,936		$	127,276
Committed amount (in thousands)		$	16,241,426		$	13,474,638
Key inputs (2):
Pull-through rate:
Range			16.0% – 100%			14.1% – 100%
Weighted average			81.6%			81.0%
Mortgage servicing rights fair value expressed as:
Servicing fee multiple:
Range			1.0 – 8.7			1.0 – 8.7
Weighted average			5.5			5.4
Percentage of loan commitment amount:
Range			0.3% – 4.4%			0.3% – 4.6%
Weighted average			1.9%			2.2%

(1)	Amounts include IRLCs with non-affiliates and with PMT. For purpose of this table, IRLC asset and liability positions are shown net.

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

Mortgage servicing rights

Fair Value

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


	Quarter ended March 31,
	2026		2025

	(Amount recognized and unpaid principal balance of underlying loans in thousands)
MSR and underlying loan characteristics:
Amount recognized	$	719,586	$	650,349
Unpaid principal balance	$	32,477,245	$	27,664,977
Weighted average servicing fee rate (in basis points)		41		43
Key inputs (1):
Annual total prepayment speed (2):
Range		6.4% – 16.0%		6.6% – 15.0%
Weighted average		8.2%		8.8%
Equivalent average life (in years):
Range		3.7 – 10.3		3.8 – 10.2
Weighted average		8.9		8.7
Pricing spread (3):
Range		4.9% – 12.6%		4.9% – 12.6%
Weighted average		5.7%		5.5%
Per-loan annual cost of servicing:
Range		$70 – $128		$70 – $127
Weighted average		$99		$101

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

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

(3)

Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to a derived United State Treasury Securities (“Treasury”) yield curve for purposes of discounting cash flows relating to its initial recognition of MSRs.

Mortgage loans held for sale

Fair Value

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



		March 31, 2026			December 31, 2025
Fair value (in thousands)		$	428,957		$	307,711
Key inputs (1):
Discount rate:
Range			5.7% – 9.3%			5.6% – 9.3%
Weighted average			6.5%			6.3%
Twelve-month projected housing price index change:
Range			1.1% – 1.6%			0.8% – 1.3%
Weighted average			1.3%			1.0%
Voluntary prepayment/resale speed (2):
Range			6.8% – 22.2%			6.9% – 22.7%
Weighted average			16.8%			18.9%
Total prepayment/resale speed (3):
Range			6.9% – 40.5%			7.0% – 37.5%
Weighted average			22.2%			24.1%

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

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

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

Quarter ended March 31,

(in thousands)

Real estate acquired in settlement of loans

PennyMac Financial Services, Inc. 10-Q