Derivative and Credit Risk Transfer Strip Assets and Liabilities (Tables)
|
6 Months Ended |
Jun. 30, 2025 |
|---|
| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
|
| Summary of Derivative and Credit Risk Transfer Assets and Liabilities |
Derivative and credit risk transfer assets and liabilities are summarized below:
|
|
|
|
|
|
|
|
|
|
|
June 30, 2025 |
|
|
December 31, 2024 |
|
|
|
(in thousands) |
|
Derivative assets |
|
$ |
51,926 |
|
|
$ |
56,840 |
|
Derivative assets with PennyMac Financial Services, Inc. |
|
$ |
1,038 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
Derivative liabilities |
|
$ |
2,995 |
|
|
$ |
3,291 |
|
Credit risk transfer strip liabilities |
|
|
10,479 |
|
|
|
4,060 |
|
|
|
$ |
13,474 |
|
|
$ |
7,351 |
|
|
| Derivative Assets and Derivative and Credit Risk Transfer Liabilities and Related Margin Deposits |
The Company had the following derivative assets and liabilities recorded within Derivative assets and Derivative and credit risk transfer strip liabilities and related margin deposits on the consolidated balance sheets:
|
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|
|
|
|
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|
June 30, 2025 |
|
|
December 31, 2024 |
|
|
|
|
|
|
Fair value |
|
|
|
|
|
Fair value |
|
|
|
Notional |
|
|
Derivative |
|
|
Derivative |
|
|
Notional |
|
|
Derivative |
|
|
Derivative |
|
Instrument |
|
amount (1) |
|
|
assets |
|
|
liabilities |
|
|
amount (1) |
|
|
assets |
|
|
liabilities |
|
|
|
(in thousands) |
|
Hedging derivatives subject to master netting
arrangements (2): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Call options on interest rate futures purchase
contracts |
|
|
2,395,000 |
|
|
$ |
8,638 |
|
|
$ |
— |
|
|
|
500,000 |
|
|
$ |
156 |
|
|
$ |
— |
|
Put options on interest rate futures purchase
contracts |
|
|
775,000 |
|
|
|
59 |
|
|
|
— |
|
|
|
1,690,000 |
|
|
|
6,372 |
|
|
|
— |
|
Forward purchase contracts |
|
|
2,977,196 |
|
|
|
21,510 |
|
|
|
16 |
|
|
|
1,154,515 |
|
|
|
614 |
|
|
|
6,336 |
|
Forward sale contracts |
|
|
6,799,629 |
|
|
|
227 |
|
|
|
75,443 |
|
|
|
7,080,982 |
|
|
|
54,056 |
|
|
|
1,753 |
|
MBS put options |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
450,000 |
|
|
|
2,114 |
|
|
|
— |
|
Bond futures |
|
|
1,962,000 |
|
|
|
— |
|
|
|
— |
|
|
|
1,713,000 |
|
|
|
— |
|
|
|
— |
|
Swap futures |
|
|
951,200 |
|
|
|
— |
|
|
|
— |
|
|
|
951,200 |
|
|
|
— |
|
|
|
— |
|
Other derivatives not subject to master netting
arrangements: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CRT derivatives |
|
|
4,731,905 |
|
|
|
31,147 |
|
|
|
— |
|
|
|
4,961,644 |
|
|
|
29,377 |
|
|
|
— |
|
Interest rate lock commitments |
|
|
936,725 |
|
|
|
6,666 |
|
|
|
181 |
|
|
|
1,166,566 |
|
|
|
3,562 |
|
|
|
3,118 |
|
Total derivative instruments before netting |
|
|
|
|
|
68,247 |
|
|
|
75,640 |
|
|
|
|
|
|
96,251 |
|
|
|
11,207 |
|
Netting |
|
|
|
|
|
(16,321 |
) |
|
|
(72,645 |
) |
|
|
|
|
|
(39,411 |
) |
|
|
(7,916 |
) |
|
|
|
|
|
$ |
51,926 |
|
|
$ |
2,995 |
|
|
|
|
|
$ |
56,840 |
|
|
$ |
3,291 |
|
Forward purchase contract with PennyMac
Financial Services, Inc. |
|
|
84,070 |
|
|
$ |
1,038 |
|
|
$ |
— |
|
|
|
— |
|
|
$ |
— |
|
|
$ |
— |
|
Margin deposits placed with (received from)
derivative counterparties included
in derivative balances above, net |
|
|
|
|
$ |
56,325 |
|
|
|
|
|
|
|
|
$ |
(31,497 |
) |
|
|
|
Derivative assets pledged to secure: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets Sold Under Agreements to Repurchase
and Notes payable secured by credit risk
transfer and mortgage servicing assets |
|
|
|
|
$ |
31,147 |
|
|
|
|
|
|
|
|
$ |
29,377 |
|
|
|
|
(1) Notional amounts provide an indication of the volume of the Company’s derivative activity. (2) All hedging derivatives are interest rate derivatives that are used as economic hedges.
|
| Summary of Derivative Assets, Financial Instruments and Collateral Held by Counterparty |
The following table summarizes by significant counterparty the amounts of derivative asset positions after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance qualifying for setoff accounting:
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|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2025 |
|
|
December 31, 2024 |
|
|
|
Net amount |
|
|
Gross amounts |
|
|
|
|
|
Net amount |
|
|
Gross amounts |
|
|
|
|
|
|
of assets |
|
|
not offset in the |
|
|
|
|
|
of assets |
|
|
not offset in the |
|
|
|
|
|
|
presented |
|
|
consolidated |
|
|
|
|
|
presented |
|
|
consolidated |
|
|
|
|
|
|
in the |
|
|
balance sheet |
|
|
|
|
|
in the |
|
|
balance sheet |
|
|
|
|
|
|
consolidated |
|
|
|
|
|
Cash |
|
|
|
|
|
consolidated |
|
|
|
|
|
Cash |
|
|
|
|
|
|
balance |
|
|
Financial |
|
|
collateral |
|
|
Net |
|
|
balance |
|
|
Financial |
|
|
collateral |
|
|
Net |
|
Counterparty |
|
sheet |
|
|
instruments |
|
|
received |
|
|
amount |
|
|
sheet |
|
|
instruments |
|
|
received |
|
|
amount |
|
|
|
(in thousands) |
|
CRT derivatives |
|
$ |
31,147 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
31,147 |
|
|
$ |
29,377 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
29,377 |
|
Interest rate lock commitments |
|
|
6,666 |
|
|
|
— |
|
|
|
— |
|
|
|
6,666 |
|
|
|
3,562 |
|
|
|
— |
|
|
|
— |
|
|
|
3,562 |
|
RJ O’Brien & Associates, LLC |
|
|
8,696 |
|
|
|
— |
|
|
|
— |
|
|
|
8,696 |
|
|
|
6,528 |
|
|
|
— |
|
|
|
— |
|
|
|
6,528 |
|
Mizuho Financial Group |
|
|
1,819 |
|
|
|
— |
|
|
|
— |
|
|
|
1,819 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Bank of America, N.A. |
|
|
1,352 |
|
|
|
— |
|
|
|
— |
|
|
|
1,352 |
|
|
|
3,150 |
|
|
|
— |
|
|
|
— |
|
|
|
3,150 |
|
PennyMac Financial Services, Inc. |
|
|
1,038 |
|
|
|
— |
|
|
|
— |
|
|
|
1,038 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
J.P. Morgan Securities LLC |
|
|
565 |
|
|
|
— |
|
|
|
— |
|
|
|
565 |
|
|
|
1,237 |
|
|
|
— |
|
|
|
— |
|
|
|
1,237 |
|
Morgan Stanley & Co. LLC |
|
|
486 |
|
|
|
— |
|
|
|
— |
|
|
|
486 |
|
|
|
9,303 |
|
|
|
— |
|
|
|
— |
|
|
|
9,303 |
|
Citigroup Global Markets Inc. |
|
|
277 |
|
|
|
— |
|
|
|
— |
|
|
|
277 |
|
|
|
712 |
|
|
|
— |
|
|
|
— |
|
|
|
712 |
|
Wells Fargo Securities, LLC |
|
|
246 |
|
|
|
— |
|
|
|
— |
|
|
|
246 |
|
|
|
895 |
|
|
|
— |
|
|
|
— |
|
|
|
895 |
|
Goldman Sachs & Co. LLC |
|
|
159 |
|
|
|
— |
|
|
|
— |
|
|
|
159 |
|
|
|
251 |
|
|
|
— |
|
|
|
— |
|
|
|
251 |
|
Other |
|
|
513 |
|
|
|
— |
|
|
|
— |
|
|
|
513 |
|
|
|
1,825 |
|
|
|
— |
|
|
|
— |
|
|
|
1,825 |
|
|
|
$ |
52,964 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
52,964 |
|
|
$ |
56,840 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
56,840 |
|
|
| Summary of Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty |
The following table summarizes by significant counterparty the amounts of derivative liabilities and assets sold under agreements to repurchase after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance to qualify for setoff accounting. All assets sold under agreements to repurchase are secured by sufficient collateral with fair values that exceed the liability amounts recorded on the consolidated balance sheets.
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2025 |
|
|
December 31, 2024 |
|
|
|
Net amount |
|
|
Gross amounts |
|
|
|
|
|
Net amount |
|
|
Gross amounts |
|
|
|
|
|
|
of liabilities |
|
|
not offset in the |
|
|
|
|
|
of liabilities |
|
|
not offset in the |
|
|
|
|
|
|
presented |
|
|
consolidated |
|
|
|
|
|
presented |
|
|
consolidated |
|
|
|
|
|
|
in the |
|
|
balance sheet |
|
|
|
|
|
in the |
|
|
balance sheet |
|
|
|
|
|
|
consolidated |
|
|
Financial |
|
|
Cash |
|
|
|
|
|
consolidated |
|
|
Financial |
|
|
Cash |
|
|
|
|
|
|
balance |
|
|
instruments |
|
|
collateral |
|
|
Net |
|
|
balance |
|
|
instruments |
|
|
collateral |
|
|
Net |
|
Counterparty |
|
sheet |
|
|
(1) |
|
|
pledged |
|
|
amount |
|
|
sheet |
|
|
(1) |
|
|
pledged |
|
|
amount |
|
|
|
(in thousands) |
|
Interest rate lock commitments |
|
$ |
181 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
181 |
|
|
$ |
3,118 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
3,118 |
|
J.P. Morgan Securities LLC |
|
|
1,523,520 |
|
|
|
(1,523,520 |
) |
|
|
— |
|
|
|
— |
|
|
|
1,695,007 |
|
|
|
(1,695,007 |
) |
|
|
— |
|
|
|
— |
|
Bank of America, N.A. |
|
|
791,070 |
|
|
|
(791,070 |
) |
|
|
— |
|
|
|
— |
|
|
|
787,883 |
|
|
|
(787,883 |
) |
|
|
— |
|
|
|
— |
|
Wells Fargo Securities, LLC |
|
|
702,271 |
|
|
|
(702,271 |
) |
|
|
— |
|
|
|
— |
|
|
|
670,605 |
|
|
|
(670,605 |
) |
|
|
— |
|
|
|
— |
|
Barclays Capital Inc. |
|
|
691,210 |
|
|
|
(690,578 |
) |
|
|
— |
|
|
|
632 |
|
|
|
545,678 |
|
|
|
(545,678 |
) |
|
|
— |
|
|
|
— |
|
Goldman Sachs & Co. LLC |
|
|
605,240 |
|
|
|
(605,240 |
) |
|
|
— |
|
|
|
— |
|
|
|
311,997 |
|
|
|
(311,997 |
) |
|
|
— |
|
|
|
— |
|
Atlas Securitized Products, L.P. |
|
|
592,090 |
|
|
|
(592,090 |
) |
|
|
— |
|
|
|
— |
|
|
|
609,780 |
|
|
|
(609,780 |
) |
|
|
— |
|
|
|
— |
|
Citigroup Global Markets Inc. |
|
|
454,057 |
|
|
|
(454,057 |
) |
|
|
— |
|
|
|
— |
|
|
|
431,201 |
|
|
|
(431,201 |
) |
|
|
— |
|
|
|
— |
|
RBC Capital Markets, L.P. |
|
|
362,033 |
|
|
|
(362,033 |
) |
|
|
— |
|
|
|
— |
|
|
|
353,765 |
|
|
|
(353,765 |
) |
|
|
— |
|
|
|
— |
|
Santander US Capital |
|
|
356,698 |
|
|
|
(356,698 |
) |
|
|
— |
|
|
|
— |
|
|
|
362,196 |
|
|
|
(362,196 |
) |
|
|
— |
|
|
|
— |
|
Morgan Stanley & Co. LLC |
|
|
244,469 |
|
|
|
(244,469 |
) |
|
|
— |
|
|
|
— |
|
|
|
280,561 |
|
|
|
(280,561 |
) |
|
|
— |
|
|
|
— |
|
Daiwa Capital Markets |
|
|
206,910 |
|
|
|
(206,910 |
) |
|
|
— |
|
|
|
— |
|
|
|
230,033 |
|
|
|
(230,033 |
) |
|
|
— |
|
|
|
— |
|
BNP Paribas |
|
|
113,354 |
|
|
|
(112,939 |
) |
|
|
— |
|
|
|
415 |
|
|
|
59,729 |
|
|
|
(59,729 |
) |
|
|
— |
|
|
|
— |
|
Mizuho Financial Group |
|
|
87,675 |
|
|
|
(87,675 |
) |
|
|
— |
|
|
|
— |
|
|
|
98,196 |
|
|
|
(98,121 |
) |
|
|
— |
|
|
|
75 |
|
Bank of Montreal |
|
|
67,368 |
|
|
|
(67,187 |
) |
|
|
— |
|
|
|
181 |
|
|
|
72,859 |
|
|
|
(72,859 |
) |
|
|
— |
|
|
|
— |
|
Nomura Holdings America, Inc |
|
|
36,349 |
|
|
|
(36,349 |
) |
|
|
— |
|
|
|
— |
|
|
|
36 |
|
|
|
— |
|
|
|
— |
|
|
|
36 |
|
Other |
|
|
1,586 |
|
|
|
— |
|
|
|
— |
|
|
|
1,586 |
|
|
|
62 |
|
|
|
— |
|
|
|
— |
|
|
|
62 |
|
|
|
$ |
6,836,081 |
|
|
$ |
(6,833,086 |
) |
|
$ |
— |
|
|
$ |
2,995 |
|
|
$ |
6,512,706 |
|
|
$ |
(6,509,415 |
) |
|
$ |
— |
|
|
$ |
3,291 |
|
(1)Amounts represent the UPB of Assets sold under agreements to repurchase.
|
| Net Gains (Losses) Recognized on Derivative Financial Instruments |
Following are the net gains (losses) recognized by the Company on derivative financial instruments and the consolidated statements of operations line items where such gains and losses are included:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quarter ended June 30, |
|
|
Six months ended June 30, |
|
Derivative activity |
|
Consolidated statements of operations line |
|
2025 |
|
|
2024 |
|
|
2025 |
|
|
2024 |
|
|
|
|
|
|
|
|
|
|
|
(in thousands) |
|
Interest rate lock commitments |
|
Net gains on loans acquired for sale (1) |
|
$ |
2,904 |
|
|
$ |
(3,292 |
) |
|
$ |
7,078 |
|
|
$ |
(5,980 |
) |
CRT derivatives |
|
Net gains (losses) on investments and
financings |
|
$ |
5,375 |
|
|
$ |
5,039 |
|
|
$ |
7,355 |
|
|
$ |
15,229 |
|
Hedged item: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate lock
commitments and loans
acquired for sale |
|
Net gains on loans acquired for sale |
|
$ |
(12,338 |
) |
|
$ |
7,163 |
|
|
$ |
(38,697 |
) |
|
$ |
9,773 |
|
Mortgage servicing rights |
|
Net loan servicing fees |
|
$ |
(60,637 |
) |
|
$ |
(18,365 |
) |
|
$ |
(100,581 |
) |
|
$ |
(108,179 |
) |
Assets sold under agreements
to repurchase |
|
Net gains (losses) on investments and
financings |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
20,098 |
|
(1)Represents net change in fair value of IRLCs from the beginning to the end of the period. Amounts recognized at the date of commitment and fair value changes recognized during the period until purchase of the underlying loan or cancellation of the commitment are shown in the rollforwards of IRLCs for the period in Note 7 – Fair Value – Financial Statement Items Measured at Fair Value on a Recurring Basis.
|