Derivative and Credit Risk Transfer Strip Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2026

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summary of Derivative and Credit Risk Transfer Strip Assets and Liabilities

Derivative and credit risk transfer strip assets and liabilities are summarized below:


	March 31, 2026		December 31, 2025
	(in thousands)
Derivative assets with nonaffiliates	$	50,766	$	49,696
Derivative assets with PennyMac Financial Services, Inc.	$	3,823	$	6,247

Derivative liabilities with nonaffiliates	$	17,267	$	933
Credit risk transfer strip liabilities		4,062		5,999
	$	21,329	$	6,932
Derivative liabilities with PennyMac Financial Services, Inc.	$	5,886	$	2,257

Derivative Assets and Derivative and Credit Risk Transfer Strip Liabilities at Fair Value 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 at fair value and related margin deposits on the consolidated balance sheets:


	March 31, 2026								December 31, 2025
			Fair value								Fair value
	Notional		Derivative			Derivative			Notional		Derivative			Derivative
Instrument	amount (1)		assets			liabilities			amount (1)		assets			liabilities
	(in thousands)
Nonaffiliates:
Hedging derivatives subject to master netting arrangements (2):
Call options on interest rate futures purchase contracts		1,712,500	$	2,141		$	—			3,250,000	$	1,289		$	—
Put options on interest rate futures purchase contracts		2,375,000		10,859			—			2,500,000		4,109			—
Forward purchase contracts		6,632,514		1,492			8,491			3,703,628		4,113			158
Forward sale contracts		9,957,359		31,957			11,922			7,933,760		2,381			17,340
Bond futures		1,571,100		—			—			1,896,100		—			—
Swap futures		790,200		—			—			751,200		—			—
Other derivatives not subject to master netting arrangements:
CRT derivatives		4,046,852		30,174			—			455,682		32,659			—
Total derivative instruments before netting				76,623			20,413					44,551			17,498
Netting				(25,857	)		(3,146	)				5,145			(16,565	)
			$	50,766		$	17,267				$	49,696		$	933
PennyMac Financial Services, Inc.:
Interest rate lock commitments not subject to master netting arrangements		1,338,161		2,613			5,886			1,207,859		4,605			2,257
Forward purchase contract subject to master netting arrangement		92,618		1,225			15			250,638		1,784			142
Total derivatives before netting				3,838			5,901					6,389			2,399
Netting				(15	)		(15	)				(142	)		(142	)
			$	3,823		$	5,886				$	6,247		$	2,257
Margin deposits (received from) placed with derivative counterparties included in derivative balances above, net			$	(22,711	)						$	21,710
Derivative assets pledged to secure:
Assets Sold Under Agreements to Repurchase and Notes payable secured by credit risk transfer and mortgage servicing assets			$	30,174							$	32,659

(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.


	March 31, 2026								December 31, 2025
	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)
Non-affiliates:
CRT derivatives	$	30,174	$	—	$	—	$	30,174	$	32,659	$	—	$	—	$	32,659
RJ O’Brien & Associates, LLC		13,000		—		—		13,000		5,398		—		—		5,398
Bank of America, N.A.		2,261		—		—		2,261		4,745		—		—		4,745
AB Carval		2,072		—		—		2,072		—		—		—		—
J.P. Morgan Securities LLC		1,348		—		—		1,348		102		—		—		102
National Life Group		579		—		—		579		—		—		—		—
Fannie Cap Markets		417		—		—		417		—		—		—		—
Morgan Stanley & Co. LLC		338		—		—		338		3,500		—		—		3,500
Wells Fargo Securities, LLC		111		—		—		111		603		—		—		603
Nomura		59		—		—		59		137		—		—		137
Goldman Sachs & Co. LLC		—		—		—		—		950		—		—		950
Mizuho Financial Group		—		—		—		—		442		—		—		442
BNP Paribas		—		—		—		—		236		—		—		236
Citigroup Global Markets Inc.		—		—		—		—		217		—		—		217
Ellington Management		—		—		—		—		198		—		—		198
Metro Life Ins Co		—		—		—		—		151		—		—		151
Barclays Capital Inc.		—		—		—		—		103		—		—		103
Other		407		—		—		407		255		—		—		255
	$	50,766	$	—	$	—	$	50,766	$	49,696	$	—	$	—	$	49,696
PennyMac Financial Services, Inc.	$	3,823	$	—	$	—	$	3,823	$	6,247	$	—	$	—	$	6,247

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 were backed by sufficient collateral with fair values that exceeded the liability amounts recorded on the consolidated balance sheets.


	March 31, 2026									December 31, 2025
	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)
Non-affiliates:
J.P. Morgan Securities LLC	$	1,090,645	$	(1,090,645	)	$	—	$	—	$	1,536,038	$	(1,536,038	)	$	—	$	—
Bank of America, N.A.		1,012,219		(1,012,219	)		—		—		1,074,334		(1,074,334	)		—		—
Atlas Securitized Products, L.P.		984,628		(984,628	)		—		—		1,216,779		(1,216,779	)		—		—
Santander US Capital		973,270		(973,270	)		—		—		952,951		(952,933	)		—		18
Wells Fargo Securities, LLC		721,550		(721,550	)		—		—		782,547		(782,547	)		—		—
Goldman Sachs & Co. LLC		466,672		(458,388	)		—		8,284		151,274		(151,274	)		—		—
RBC Capital Markets, L.P.		381,942		(381,942	)		—		—		438,781		(438,781	)		—		—
Barclays Capital Inc.		332,396		(331,360	)		—		1,036		431,016		(431,016	)		—		—
Morgan Stanley & Co. LLC		300,073		(295,956	)		—		4,117		319,500		(319,500	)		—		—
Nomura Holdings America, Inc		272,553		(272,553	)		—		—		231,308		(231,308	)		—		—
Citigroup Global Markets Inc.		273,174		(272,324	)		—		850		397,162		(397,162	)		—		—
Daiwa Capital Markets		189,890		(189,699	)		—		191		195,268		(195,268	)		—		—
Bank of Montreal		145,344		(144,928	)		—		416		160,388		(160,324	)		—		64
BNP Paribas		99,518		(98,923	)		—		595		54,191		(54,191	)		—		—
Mizuho Financial Group		76,637		(75,826	)		—		811		81,701		(81,701	)		—		—
Other		967		—			—		967		851		—			—		851
	$	7,321,478	$	(7,304,211	)	$	—	$	17,267	$	8,024,089	$	(8,023,156	)	$	—	$	933
PennyMac Financial Services, Inc.	$	5,886	$	—		$	—	$	5,886	$	2,257	$	—		$	—	$	2,257

(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 March 31,
Derivative activity	Consolidated statements of operations line	2026			2025
		(in thousands)
Interest rate lock commitments	Net gains on loans held for sale (1)	$	(5,621	)	$	4,174
CRT derivatives	Net (losses) gains on investments and financings	$	132		$	1,980
Hedged item:
Interest rate lock commitments and loans held for sale	Net gains on loans held for sale	$	15,071		$	(26,359	)
Mortgage servicing rights	Net loan servicing fees	$	(11,881	)	$	(39,944	)

(1)

Represents net change in fair value of IRLCs from the beginning to the end of the quarter. Amounts recognized at the date of commitment and fair value changes recognized during the quarter until purchase of the underlying loan or cancellation of the commitment are shown in the rollforwards of IRLCs for the quarter in Note 7 – Fair Value – Financial Statement Items Measured at Fair Value on a Recurring Basis.

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

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