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


	June 30, 2023
	Level 1		Level 2		Level 3		Total

	(in thousands)
Assets:
Short-term investment	$	8,088	$	—	$	—	$	8,088
Loans held for sale at fair value		—		3,877,736		392,758		4,270,494
Derivative assets:
Interest rate lock commitments		—		—		41,379		41,379
Forward purchase contracts		—		2,545		—		2,545
Forward sales contracts		—		67,764		—		67,764
MBS put options		—		2,790		—		2,790
Put options on interest rate futures purchase contracts		25,249		—		—		25,249
Call options on interest rate futures purchase contracts		844		—		—		844
Total derivative assets before netting		26,093		73,099		41,379		140,571
Netting		—		—		—		(55,054)
Total derivative assets		26,093		73,099		41,379		85,517
Mortgage servicing rights at fair value		—		—		6,510,585		6,510,585
Investment in PennyMac Mortgage Investment Trust		1,011		—		—		1,011
	$	35,192	$	3,950,835	$	6,944,722	$	10,875,695
Liabilities:
Derivative liabilities:
Interest rate lock commitments	$	—	$	—	$	10,743	$	10,743
Forward purchase contracts		—		45,997		—		45,997
Forward sales contracts		—		7,894		—		7,894
Total derivative liabilities before netting		—		53,891		10,743		64,634
Netting		—		—		—		(42,595)
Total derivative liabilities		—		53,891		10,743		22,039
Mortgage servicing liabilities at fair value		—		—		1,940		1,940
	$	—	$	53,891	$	12,683	$	23,979


	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

Summary of changes in fair value relating to financial statement items


	Quarter ended June 30,
	2023						2022
	Net gains on		Net				Net gains on		Net
	loans held		loan				loans held		loan
	for sale at		servicing				for sale at		servicing
	fair value		fees		Total		fair value		fees		Total

	(in thousands)
Assets:
Loans held for sale	$	20,753	$	—	$	20,753	$	(96,365)	$	—	$	(96,365)
Mortgage servicing rights		—		(55,328)		(55,328)		—		111,875		111,875
	$	20,753	$	(55,328)	$	(34,575)	$	(96,365)	$	111,875	$	15,510
Liabilities:
Mortgage servicing liabilities	$	—	$	71	$	71	$	—	$	227	$	227


	Six months ended June 30,
	2023						2022
	Net gains on		Net				Net gains on		Net
	loans held		loan				loans held		loan
	for sale at		servicing				for sale at		servicing
	fair value		fees		Total		fair value		fees		Total

	(in thousands)
Assets:
Loans held for sale	$	186,700	$	—	$	186,700	$	(204,343)	$	—	$	(204,343)
Mortgage servicing rights		—		(291,860)		(291,860)		—		324,534		324,534
	$	186,700	$	(291,860)	$	(105,160)	$	(204,343)	$	324,534	$	120,191
Liabilities:
Mortgage servicing liabilities	$	—	$	156	$	156	$	—	$	479	$	479

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)
June 30, 2023	$	—	$	—	$	2,873	$	2,873
December 31, 2022	$	—	$	—	$	1,850	$	1,850

Summary of carrying value and fair value of debt


	June 30, 2023				December 31, 2022
	Fair value		Carrying value		Fair value		Carrying value

	(in thousands)
Term notes and term loans	$	2,469,563	$	2,472,726	$	1,677,476	$	1,794,475
Unsecured senior notes	$	1,551,467	$	1,781,756	$	1,550,750	$	1,779,920

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

Following is a quantitative summary of key inputs used in the valuation of the Company’s MSRs and the effect on the fair value from adverse changes in those inputs:


	June 30, 2023	December 31, 2022

	(Fair value, unpaid principal balance of underlying
	loans and effect on fair value amounts in thousands)
Fair value	$ 6,510,585	$ 5,953,621
Pool characteristics:
Unpaid principal balance of underlying loans	$ 337,695,442	$ 314,567,639
Weighted average note interest rate	3.7%	3.4%
Weighted average servicing fee rate (in basis points)	38	36
Key inputs (1):
Annual total prepayment speed (2):
Range	6.3% – 17.4%	5.0% – 17.7%
Weighted average	7.7%	7.5%
Equivalent average life (in years):
Range	3.2 – 9.3	3.7 – 9.3
Weighted average	8.2	8.4
Effect on fair value of (3):
5% adverse change	($93,045)	($77,346)
10% adverse change	($182,826)	($152,192)
20% adverse change	($353,270)	($294,872)
Pricing spread (4):
Range	5.4% – 12.6%	4.9% – 14.3%
Weighted average	6.4%	6.5%
Effect on fair value of (3):
5% adverse change	($84,331)	($81,021)
10% adverse change	($166,478)	($159,863)
20% adverse change	($324,529)	($311,329)
Per-loan annual cost of servicing:
Range	$67 – $130	$68 – $144
Weighted average	$108	$109
Effect on fair value of (3):
5% adverse change	($42,395)	($41,263)
10% adverse change	($84,790)	($82,527)
20% adverse change	($169,580)	($165,053)

(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, the estimates should not be viewed as earnings forecasts.

(4)	The Company applies a pricing spread to the Treasury yield curve for purposes of discounting cash flows relating to MSRs.

Fair Value

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



	June 30, 2023		December 31, 2022
Fair value (in thousands) (1)	$	30,636	$	25,844
Key inputs (2):
Pull-through rate:
Range		8.5% – 100%		10.3% – 100%
Weighted average		81.5%		82.8%
Mortgage servicing rights fair value expressed as:
Servicing fee multiple:
Range		1.7 – 7.8		(1.3) – 7.7
Weighted average		4.3		4.3
Percentage of loan commitment amount:
Range		0.4% – 4.2%		(0.2)% – 3.8%
Weighted average		1.8%		2.0%

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

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

Fair Value