Derivative Financial Instruments (Tables)
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3 Months Ended |
Mar. 31, 2026 |
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| Derivative Financial Instruments |
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| Summary of derivative financial instruments |
| | | | | | | | | | | | | | | | | | | March 31, 2026 | | December 31, 2025 | | | | | Fair value | | | | Fair value | | | Notional | | Derivative | | Derivative | | Notional | | Derivative | | Derivative | Derivative instrument | | amount (1) | | assets | | liabilities | | amount (1) | | assets | | liabilities | | | | (in thousands) | Non-affiliates: | | | | | | | | | | | | | | | | | Not subject to master netting arrangements: | | | | | | | | | | | | | | | | | Interest rate lock commitments | | 16,241,426 | | $ | 138,031 | | $ | 35,368 | | 13,474,638 | | $ | 131,536 | | $ | 4,260 | | | | | | | | | | | | | | | | | | Subject to master netting arrangements (2): | | | | | | | | | | | | | | | | | Forward purchase contracts | | 20,029,168 | | | 24,588 | | | 67,863 | | 14,311,234 | | | 49,499 | | | 2,845 | Forward sales contracts | | 31,244,365 | | | 165,645 | | | 42,663 | | 22,291,811 | | | 16,399 | | | 47,692 | MBS put options | | 500,000 | | | 4,840 | | | — | | — | | | — | | | — | Put options on interest rate futures purchase contracts | | 8,975,000 | | | 41,688 | | | — | | 12,625,000 | | | 22,769 | | | — | Call options on interest rate futures purchase contracts | | 9,600,000 | | | 9,414 | | | — | | 7,750,000 | | | 2,086 | | | — | Total return swap | | 39,998 | | | 119 | | | — | | 39,998 | | | 8 | | | — | Treasury futures purchase contracts | | 24,242,000 | | | — | | | — | | 11,841,400 | | | — | | | — | Treasury futures sale contracts | | 20,027,000 | | | — | | | — | | 8,607,100 | | | — | | | — | Total derivatives before netting | | | | | 384,325 | | | 145,894 | | | | | 222,297 | | | 54,797 | Netting | | | | | (107,616) | | | (79,065) | | | | | (36,779) | | | (45,238) | | | | | $ | 276,709 | | $ | 66,829 | | | | $ | 185,518 | | $ | 9,559 | PennyMac Mortgage Investment Trust: | | | | | | | | | | | | | | | | | Interest rate lock commitments not subject to master netting arrangements | | 1,338,161 | | | 5,886 | | | 2,613 | | 1,207,859 | | | 2,257 | | | 4,605 | Forward sales contracts subject to master netting arrangements (2) | | 92,618 | | | 15 | | | 1,225 | | 250,638 | | | 142 | | | 1,784 | Total derivatives before netting | | | | | 5,901 | | | 3,838 | | | | | 2,399 | | | 6,389 | Netting | | | | | (15) | | | (15) | | | | | (142) | | | (142) | | | | | $ | 5,886 | | $ | 3,823 | | | | $ | 2,257 | | $ | 6,247 | Deposits (received from) placed with derivative counterparties included in the derivative balances above, net | | | | $ | (28,551) | | | | | | | $ | 8,459 | | | |
| (1) | Notional amounts provide an indication of the volume of the Company’s derivative activity. |
| (2) | All derivatives subject to master netting agreements are interest rate derivatives that are used as economic hedges. |
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| Summary of the amount of derivative asset positions by significant counterparty after considering master netting arrangements and financial instruments or cash pledged |
| | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2026 | | December 31, 2025 | | | | | Gross amount not | | | | | | Gross amount not | | | | | | | offset in the | | | | | | offset in the | | | | | | | consolidated | | | | | | consolidated | | | | | Net amount | | balance sheet | | | | Net amount | | balance sheet | | | | | of assets in the | | | | Cash | | | | of assets in the | | | | Cash | | | | | consolidated | | Financial | | collateral | | Net | | consolidated | | Financial | | collateral | | Net | Counterparty | | balance sheet | | instruments | | received | | amount | | balance sheet | | instruments | | received | | amount | | | | (in thousands) | Non-affiliates: | | | | | | | | | | | | | | | | | | | | | | | | | Interest rate lock commitments | | $ | 138,031 | | $ | — | | $ | — | | $ | 138,031 | | $ | 131,536 | | $ | — | | $ | — | | $ | 131,536 | RJ O' Brien | | | 51,102 | | | — | | | — | | | 51,102 | | | 24,855 | | | — | | | — | | | 24,855 | Morgan Stanley Bank, N.A. | | | 44,316 | | | — | | | — | | | 44,316 | | | 10,673 | | | — | | | — | | | 10,673 | Goldman Sachs | | | 15,291 | | | — | | | — | | | 15,291 | | | 1,769 | | | — | | | — | | | 1,769 | Santander US Capital Markets LLC | | | 7,371 | | | — | | | — | | | 7,371 | | | 1,723 | | | — | | | — | | | 1,723 | Bank of America, N.A. | | | 5,039 | | | — | | | — | | | 5,039 | | | — | | | — | | | — | | | — | Ellington Management | | | 4,665 | | | — | | | — | | | 4,665 | | | — | | | — | | | — | | | — | Federal National Mortgage Association | | | 2,261 | | | — | | | — | | | 2,261 | | | — | | | — | | | — | | | — | Barclays Capital | | | — | | | — | | | — | | | — | | | 3,919 | | | — | | | — | | | 3,919 | Bank of Montreal | | | — | | | — | | | — | | | — | | | 2,676 | | | — | | | — | | | 2,676 | Others | | | 8,633 | | | — | | | — | | | 8,633 | | | 8,367 | | | — | | | — | | | 8,367 | | | $ | 276,709 | | $ | — | | $ | — | | $ | 276,709 | | $ | 185,518 | | $ | — | | $ | — | | $ | 185,518 | PennyMac Mortgage Investment Trust | | $ | 5,886 | | $ | — | | $ | — | | $ | 5,886 | | $ | 2,257 | | $ | — | | $ | — | | $ | 2,257 |
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| Summary of amount of derivative liabilities and assets sold under agreements to repurchase by significant counterparty after considering master netting arrangements and financial instruments or cash pledged |
| | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2026 | | December 31, 2025 | | | | | Gross amounts | | | | | | Gross amounts | | | | | | | not offset in the | | | | | | not offset in the | | | | | Net amount | | consolidated | | | | Net amount | | consolidated | | | | | of liabilities | | balance sheet | | | | of liabilities | | balance sheet | | | | | in the | | | | Cash | | | | in the | | | | Cash | | | | | consolidated | | Financial | | collateral | | Net | | consolidated | | Financial | | collateral | | Net | Counterparty | | balance sheet | | instruments (1) | | pledged | | amount | | balance sheet | | instruments (1) | | pledged | | amount | | | | (in thousands) | Non-affiliates: | | | | | | | | | | | | | | | | | | | | | | | | | Interest rate lock commitments | | $ | 35,368 | | $ | — | | $ | — | | $ | 35,368 | | $ | 4,260 | | $ | — | | $ | — | | $ | 4,260 | Atlas Securitized Products, L.P. | | | 2,454,287 | | | (2,454,287) | | | — | | | — | | | 3,151,222 | | | (3,151,222) | | | — | | | — | Bank of America, N.A. | | | 2,066,088 | | | (2,066,088) | | | — | | | — | | | 1,121,585 | | | (1,120,457) | | | — | | | 1,128 | Royal Bank of Canada | | | 860,139 | | | (860,139) | | | — | | | — | | | 534,163 | | | (534,163) | | | — | | | — | JPMorgan Chase Bank, N.A. | | | 806,606 | | | (806,048) | | | — | | | 558 | | | 767,903 | | | (767,903) | | | — | | | — | Morgan Stanley Bank, N.A. | | | 556,464 | | | (556,464) | | | — | | | — | | | 407,678 | | | (407,678) | | | — | | | — | Nomura Corporate Funding Americas | | | 556,423 | | | (555,870) | | | — | | | 553 | | | 596,608 | | | (596,608) | | | — | | | — | Wells Fargo Bank, N.A. | | | 553,223 | | | (551,651) | | | — | | | 1,572 | | | 650,094 | | | (650,094) | | | — | | | — | BNP Paribas | | | 544,439 | | | (543,094) | | | — | | | 1,345 | | | 342,500 | | | (342,500) | | | — | | | — | Goldman Sachs | | | 499,713 | | | (499,713) | | | — | | | — | | | 168,428 | | | (168,428) | | | — | | | — | Barclays Capital | | | 446,599 | | | (437,561) | | | — | | | 9,038 | | | 229,055 | | | (229,055) | | | — | | | — | Mizuho Bank, Ltd. | | | 405,972 | | | (397,464) | | | — | | | 8,508 | | | 149,588 | | | (149,588) | | | — | | | — | Citibank, N.A. | | | 233,606 | | | (233,606) | | | — | | | — | | | 444,851 | | | (444,851) | | | — | | | — | Santander US Capital Markets LLC | | | 221,919 | | | (221,919) | | | — | | | — | | | 238,668 | | | (238,668) | | | — | | | — | Others | | | 9,887 | | | — | | | — | | | 9,887 | | | 4,171 | | | — | | | — | | | 4,171 | | | $ | 10,250,733 | | $ | (10,183,904) | | $ | — | | $ | 66,829 | | $ | 8,810,774 | | $ | (8,801,215) | | $ | — | | $ | 9,559 | PennyMac Mortgage Investment Trust | | $ | 3,823 | | $ | — | | $ | — | | $ | 3,823 | | $ | 6,247 | | $ | — | | $ | — | | $ | 6,247 |
| (1) | Amounts represent the UPB of Assets sold under agreements to repurchase. |
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| Summary of gains (losses) recognized on derivative financial instruments and the respective income statement line items |
| | | | | | | | | | | | | Quarter ended March 31, | Derivative activity | | Consolidated statement of income line | | 2026 | | 2025 | | | | | | (in thousands) | Interest rate lock commitments | | Net gains on loans held for sale at fair value (1) | | $ | (18,991) | | $ | 76,377 | Hedged item: | | | | | | | | | Interest rate lock commitments and loans held for sale | | Net gains on loans held for sale at fair value | | $ | 101,470 | | $ | (145,046) | Mortgage servicing rights | | Net loan servicing fees–Mortgage servicing rights hedging results | | $ | (207,247) | | $ | 88,640 |
| (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 loans or the cancellation of the commitment are shown in the rollforward of IRLCs for the quarter in Note 7 – Fair Value – Assets and Liabilities Measured at Fair Value on a Recurring Basis. |
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